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James Alpha Funds Trust

Filed: 8 Feb 22, 12:20pm

 

 

united states
securities and exchange commission
washington, d.c. 20549

form n-csr

certified shareholder report of registered management
investment companies

Investment Company Act file number 811-23611

 

Easterly Funds Trust

(Exact name of registrant as specified in charter)

 

515 Madison Avenue, 24th Floor, New York, NY 10022

(Address of principal executive offices) (Zip code)

 

Emile R. Molineaux, Gemini Fund Services, LLC

80 Arkay Drive, Suite 110, Hauppauge, NY 11788

(Name and address of agent for service)

 

Registrant's telephone number, including area code: 623-266-4567

 

Date of fiscal year end: 11/30

 

Date of reporting period: 11/30/21

 

 

Item 1. Reports to Stockholders.

 

 

 
 
 
 
 
(EASTERLY FUNDS LOGO) 
 
 
JAMES ALPHA FUNDS TRUST d/b/a EASTERLY FUNDS TRUST
 
 
 
 
CLASS A, C, I AND R6 SHARES
 
 
 
 
 
 
 
ANNUAL REPORT
NOVEMBER 30, 2021
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
THIS REPORT IS AUTHORIZED FOR DISTRIBUTION ONLY TO SHAREHOLDERS AND TO OTHERS WHO HAVE RECEIVED A COPY OF THE PROSPECTUS.

 

 

James Alpha Funds Trust d/b/a Easterly Funds Trust
ANNUAL REPORT TO SHAREHOLDERS

 

January 26, 2022

 

Dear Shareholder:

 

We are pleased to provide you with this annual report on the investment strategies and performance of the funds in the James Alpha Funds Trust d/b/a Easterly Funds Trust (the “Trust”). This report covers the twelve months from December 1, 2020 through November 30, 2021.

 

We believe that successful investing requires discipline and patience. Try to stay focused on your long-term investment goals. Don’t let short-term stock and bond market fluctuations or investment manias change your long-term investment strategy. In our opinion, the Easterly Funds are managed by some of the world’s leading institutional investment advisory firms. It is our belief that combining the strength of the Trust’s performance with a well-designed asset allocation plan can help you to achieve your long-term investment goals.

 

ECONOMIC OVERVIEW

 

As measured by Real Gross Domestic Product (GDP), the value of the production of goods and services in the United States increased by an annualized growth rate (AGR) of 4.9% during the third quarter of 2021, a significant growth rate driven by technical ‘base effects’ from Q3 2020. The primary driver of strong performance in the markets in the past 12 months has been the continued recovery in the post-Covid world. Successful vaccination programs, continued support from both monetary and fiscal sources, and consumers who are ready to spend have all supported a robust recovery. New Home Sales were down from their cycle high (around 1 million) to an annualized 744 thousand units in November 2021, still far above average from the past decade. The auto industry suffered a massive decline in sales during the first half of 2020, experienced a cycle high in April 2021 (where an annualized 18.5 million auto sales occurred; a five year high), but has been on a decline each month since. The unemployment rate declined from 14.7% in April 2020 to 4.2% in November 2021. The unemployment claims is an important leading indicator in our work, specifically the 4-week sum of weekly Initial Claims data. That number has dropped to 879 thousand from a pandemic peak of over 21 million claims. For perspective, the historic average from 1967 to present is about 1.5 million. The overall economy in 2021 could be characterized as a ‘boom’ economy, with expanding equity valuations, rising interest rates, and shortages of good and services across the economy driven by robust consumer demand and lingering supply chain issues that have been morphing since the beginning of the pandemic. This market has been largely controlled by the Federal Reserve, who have signaled their commitment to support economic demand through extremely easy monetary policy and continued massive liquidity injections. The Fed’s language around inflation in the past year has meaningfully changed from an absolute target to an inflation averaging target where they have let inflation run hot (above target) in order to achieve a long-term average of their target of 2%. The Fed continues to sustain historic emergency measures even with the strong economic backdrop.

 

Monetary Policy: The Federal Reserve has remained extraordinarily accommodative since the beginning of the pandemic, but with falling unemployment, strong demand, and persistently high inflation, the tone at the Fed has begun to shift towards reining in their emergency measures. In its most recent FOMC statement, the Committee stated that they “should be prepared to adjust the pace of asset purchases and raise the target range of the federal funds rate sooner than participants currently anticipated if inflation continued to run higher than levels consistent with the Committee’s objectives”. They also said they would “not hesitate to take appropriate actions to address inflation pressures that posed risks to its longer-run price stability and employment objectives”. This constitutes a major pivot as the median forecast now shows balance sheet tapering finishing in March 2022 (previous forecast was for summer of 2022). In

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terms of the benchmark Fed Funds rate, the Committee’s updated projection (i.e., the Dot Plot) signaled that rate hikes may come sooner than expected with the median forecast showing one rate hike in 2022 and three more hikes in 2023. Market participants / traders are pricing in three rate hikes over the next twelve months.

 

Interest Rates: Treasury yields bottomed in August 2020 and have generally increased ever since, although the rise has been volatile. In the twelve months since the end of November 2020, the yield curve has steepened with the 5-year treasury rate moving from 0.36% to 1.16%, the 10-year rate going from 0.84% to 1.44%, and the 30-year rate going from 1.57% to 1.79%. Ultra-short-term rates are largely unchanged; however, there has been a sizeable tick up in the 2-year rate (from 0.15% to 0.57%). With the Fed setting the stage for tapering their asset purchases (and raising the Fed Funds rate soon thereafter), we believe the environment is supportive of rates and yields will remain steady to higher over the next 12 months.

 

Equity Valuations: Equity markets have rebounded strongly off the pandemic lows with the S&P 500 up 27.9% since the end of November 2020. During 2021, the S&P 500 achieved a new record high close on 67 separate trading sessions with a maximum drawdown of only 5.2%. Depending on the metric, valuations range anywhere from fairly valued to strongly overvalued. As an example, Warren Buffett’s favorite indicator is the ratio of total equity market cap to GDP (termed “the Buffett Indicator”) is near a record high level of 202% with the previous record high of 143% set in March 2000, indicating the market is strongly overvalued. However, the S&P 500 is currently trading at a forward P/E ratio of approximately 22.2 times, which is only modestly above its 30-year average of 21.2 times.

 

Inflation: Inflation, as measured by the consumer price index (CPI) was up 6.81% y-o-y in November 2021, a rate not seen since the early 1980’s. For the last year and a half, the Fed’s objective has been to run the economy hot through ultra-easy monetary policy with the intention of spurring inflation above their target to achieve a long-term average of 2%. Inflation data has come in much higher than forecast throughout 2021, which the Fed has called ‘transitory’ due to shortages and supply chain issues. Recently, they have stopped using the term ‘transitory’ with Powell now calling inflation pressures ‘frustrating’, a possible signal of future monetary tightening if inflation persists above forecast into next year.

 

COMPARING THE FUND PERFORMANCE TO BENCHMARKS

 

When reviewing the performance of the funds against their benchmarks, it is important to note that the Trust is designed to help investors to implement an asset allocation strategy to meet their individual needs as well as select individual investments within each asset category among the myriad of choices available. Each Easterly Fund was formed to represent an asset class, and each portfolio’s institutional money manager was selected based on their experience managing money within that class.

 

Therefore, we believe that Easterly Funds may be able to help investors to properly implement their asset allocation decisions and keep their investments within the risk parameters that they establish with their investment consultants. We feel that without the intended asset class consistency of the Easterly Funds, even the most carefully crafted allocation strategy could be negated. Furthermore, we believe the benchmarks do not necessarily provide precise standards against which to measure the portfolios, in that the characteristics of the benchmarks can vary widely at different points in time from the Easterly Funds (e.g., characteristics such as: average market capitalizations, price-to-earnings and price-to-book ratios, bond quality ratings and maturities, etc.). In addition, the benchmarks can potentially have a survivor bias built into them (i.e., the performance of only funds that are still in existence may remain part of the benchmark’s performance while funds that do not exist anymore may be removed from the benchmark’s performance).

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ELECTRONIC DELIVERY AVAILABLE

 

This report can be delivered to you electronically. Electronic delivery can help simplify your record keeping. With electronic delivery, you’ll receive an email with a link to your James Alpha Funds Trust quarterly statement, daily confirmations and/or semi-annual and annual reports each time one is available. You have the ability to choose which items you want delivered electronically. Choose one item or all items. It’s up to you. Please call our Customer Service Department toll-free at (833) 999-2636 for instructions on how to establish electronic delivery.

 

Investors should consider the investment objectives, risks, charges and expenses of the Easterly Funds carefully. This and other information about the Easterly Funds is contained in your prospectus, which should be read carefully. To obtain an additional copy of the prospectus, please call 888.814.8180. Past performance is not indicative of future results. Investments in stocks, bonds and mutual funds are not guaranteed and the principal value and investment return can fluctuate. Consequently, investors may receive back less than invested.

 

The S&P 500 is an unmanaged, capitalization-weighted index. It is not possible to invest directly in the S&P 500.

 

The security holdings discussed may not be representative of the Funds’ current or future investments. Fund holdings are subject to change and should not be considered to be investment advice. Any statements not of a factual nature constitute opinions which are subject to change without notice. Information contained herein was obtained from recognized statistical services and other sources believed to be reliable and we therefore cannot make any representation as to its completeness or accuracy. The Easterly Funds are distributed by Ultimus Fund Distributors, LLC, member FINRA/SIPC.

 

14360851-UFD-01272022

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Easterly EHS Fund
PORTFOLIO REVIEW (Unaudited)
November 30, 2021

 

The Fund’s performance figures* for each of the periods ended November 30, 2021, compared to its benchmarks:

 

  AnnualizedAnnualized
 1 Year Return3 Year ReturnSince Inception*
Class I11.81%11.73%9.20%
Class R612.18%12.07%9.43%
HFRI Equity Hedge Total Index(a)16.13%12.26%8.79%

 

Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated March 22, 2021, is 4.96% and 4.53% for the I and R6 Classes, respectively.

 

(a)HFRI Equity Hedge Total Index: Investment Managers who maintain positions both long and short in primarily equity and equity derivative securities. A wide variety of investment processes can be employed to arrive at an investment decision, including both quantitative and fundamental techniques; strategies can be broadly diversified or narrowly focused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed, holding period, concentrations of market capitalizations and valuation ranges of typical portfolios. EH managers would typically maintain at least 50% exposure to, and may in some cases be entirely invested in, equities, both long and short. The returns for the Index have been calculated from July 31, 2017.

 

*Inception date is August 18, 2017.

 

A HYPOTHETICAL COMPARISON OF THE GROWTH OF $1,000,000 INVESTED IN THE

EASTERLY EHS FUND VS. BENCHMARKS

 

(LINE GRAPH)

 

Top 10 Holdings by Industry % of Net Assets 
Equity  63.5%
Fixed Income  25.3%
Commodity  0.6%
Specialty  0.1%
Other/Cash & Equivalents  10.5%
   100.0%

 

Please refer to the Portfolio of Investments for a more detailed breakdown of the Fund’s assets.

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Easterly Total Hedge Portfolio
PORTFOLIO REVIEW (Unaudited)
November 30, 2021

 

The Fund’s performance figures* for each of the periods ended November 30, 2021, compared to its benchmarks:

 

  AnnualizedAnnualized
 1 Year Return3 Year ReturnSince Inception*
Class I8.51%8.14%5.98%
Class R69.01%8.49%6.24%
HRFI Fund Weighted Composite Index(a)13.72%9.38%6.86%

 

Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated March 22, 2021, is 2.69% and 2.69% for the I and R6 Classes, respectively.

 

(a)The HFRI Fund Weighted Composite Index is a global, equal-weighted index of appx. 1,900 single-manager funds that report to HFR Database. Constituent funds report monthly net of all fees performance in US Dollar and have a minimum of $50 Million under management or a twelve (12) month track record of active performance. The HFRI Fund Weighted Composite Index does not include Funds of Hedge Funds.

 

*Inception date is June 30, 2017.

 

A HYPOTHETICAL COMPARISON OF THE GROWTH OF $1,000,000 INVESTED IN THE

EASTERLY TOTAL HEDGE PORTFOLIO VS. BENCHMARKS

 

(LINE GRAPH)

 

Top 10 Holdings by Industry % of Net Assets 
Fixed Income  44.9%
Equity  34.1%
Alternative  9.4%
Commodity  1.9%
Mixed Allocation  0.7%
Specialty  0.2%
Other/Cash & Equivalents  8.8%
   100.0%

 

Please refer to the Portfolio of Investments for a more detailed breakdown of the Fund’s assets.

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Easterly Structured Credit Value Fund
PORTFOLIO REVIEW (Unaudited)
November 30, 2021

 

The Fund’s performance figures* for each of the periods ended November 30, 2021, compared to its benchmarks:

 

   Annualized
 1 Year Return3 Year ReturnSince Inception*
Class A5.44%9.17%8.89%
Class A With Load-0.60%7.03%6.94%
Class C4.71%7.82%7.66%
Class I5.74%8.78%8.50%
Class R66.16%9.19%8.91%
Bloomberg Barclays US Aggregate Bond Index(a)-1.15%5.52%4.76%

 

Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated March 22, 2021, is 1.80%, 2.60%, 1.58%%, and 1.59% for the A, C, I and R6 Classes, respectively.

 

(a)The Barclays Aggregate Bond Index is an unmanaged index which represents the U.S. investmen-grade fixed-rate bond market (including government and corporate securities, mortgage pass-through securities and asset-backed securities). Investors cannot invest directly in an index or benchmark.

 

*Inception date is August 21, 2018.

 

A HYPOTHETICAL COMPARISON OF THE GROWTH OF $1,000,000 INVESTED IN THE

EASTERLY STRUCTURED CREDIT VALUE FUND VS. BENCHMARKS

 

(LINE GRAPH)

 

Top 10 Holdings by Industry % of Net Assets 
Collateralized Mortgage Obligations  28.8%
Non Agency CMBS  16.2%
CLO  7.4%
CDO  5.7%
Banking  5.3%
Institutional Financial Services  5.2%
Specialty Finance  4.5%
U.S. Treasury Bills  4.4%
Home Equity  3.5%
Residential Mortgage  2.5%
Other/Cash & Equivalents  16.5%
   100.0%

 

Please refer to the Portfolio of Investments for a more detailed breakdown of the Fund’s assets.

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EASTERLY EHS FUND
SCHEDULE OF INVESTMENTS
November 30, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 66.9%    
    COMMODITY - 0.6%    
 68  KraneShares Global Carbon Strategy ETF(a) $3,252 
 27  SPDR Gold Shares(a)  4,468 
       7,720 
    EQUITY - 63.5%    
 50  Alerian MLP ETF  1,584 
 335  ALPS Medical Breakthroughs ETF(a)  14,372 
 125  Columbia India Consumer ETF  6,999 
 8  Consumer Discretionary Select Sector SPDR Fund  1,636 
 640  ETFMG Travel Tech ETF  15,040 
 10  First Trust Dow Jones Internet Index Fund(a)  2,298 
 576  First Trust Financial AlphaDEX Fund  25,955 
 150  First Trust MultiCap Growth AlphaDEX Fund  18,498 
 250  First Trust Small Cap Growth AlphaDEX Fund  18,365 
 17  Global X MSCI China Consumer Discretionary ETF  480 
 144  Global X MSCI Nigeria ETF  1,460 
 228  Goldman Sachs Hedge Industry VIP ETF  23,041 
 593  Invesco S&P 500 Equal Weight ETF, N  91,078 
 56  Invesco S&P 500 Pure Value ETF  4,272 
 1,139  Invesco S&P SmallCap Energy ETF  8,053 
 64  Invesco S&P SmallCap Health Care ETF(a)  11,037 
 42  Invesco S&P SmallCap Information Technology ETF  6,139 
 12  Invesco S&P SmallCap Utilities & Communication  772 
 31  Invesco Water Resources ETF  1,778 
 176  iShares Biotechnology ETF  27,142 
 50  iShares China Large-Cap ETF  1,910 
 20  iShares Expanded Tech-Software Sector ETF(a)  8,298 
 169  iShares Latin America 40 ETF  4,021 
 165  iShares Micro-Cap ETF  23,072 
 77  iShares MSCI Brazil ETF  2,232 
 40  iShares MSCI China Small-Cap ETF  2,071 
 15  iShares MSCI EAFE ETF, EQUITY  1,153 
 27  iShares MSCI Emerging Markets ETF, EQUITY  1,319 
 166  iShares MSCI Emerging Markets Small-Cap ETF  9,930 
 444  iShares MSCI Frontier and Sele  15,216 

 

See accompanying notes to financial statements.

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EASTERLY EHS FUND
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 66.9% (Continued)    
    EQUITY - 63.5% (Continued)    
 476  iShares MSCI India Small-Cap ETF $28,231 
 53  iShares MSCI Indonesia ETF  1,236 
 47  iShares MSCI Ireland ETF  2,463 
 107  iShares MSCI Japan ETF  7,097 
 19  iShares MSCI Japan Small-Cap ETF  1,417 
 6  iShares MSCI South Africa ETF  269 
 43  iShares MSCI Taiwan ETF  2,782 
 20  iShares MSCI Thailand ETF  1,457 
 652  iShares MSCI UAE ETF  10,810 
 158  iShares MSCI United Kingdom Small-Cap ETF  7,056 
 81  iShares Russell 1000 Growth ETF  24,290 
 88  iShares Russell 1000 Value ETF  13,963 
 162  iShares Russell 2000 ETF, EQUITY  35,343 
 51  iShares Russell 2000 Growth ETF  14,897 
 327  iShares Russell 2000 Value ETF  52,473 
 73  iShares Russell Mid-Cap Growth ETF  8,388 
 300  iShares Russell Mid-Cap Value ETF  34,679 
 15  iShares U.S. Financial Services ETF  2,820 
 19  iShares U.S. Healthcare Providers ETF  4,946 
 21  iShares US Financials ETF  1,774 
 9  iShares US Pharmaceuticals ETF  1,685 
 203  KraneShares CSI China Internet ETF  8,942 
 61  Materials Select Sector SPDR Fund  5,164 
 72  SPDR FactSet Innovative Technology ETF  14,668 
 41  SPDR S&P 500 ETF Trust  18,678 
 321  SPDR S&P Emerging Asia Pacific ETF  39,629 
 2  SPDR S&P Oil & Gas Exploration & Production ETF  195 
 43  SPDR S&P Regional Banking ETF  3,002 
 862  VanEck Africa Index ETF  17,382 
 407  VanEck Brazil Small-Cap ETF  6,502 
 167  VanEck Egypt Index ETF  4,359 
 21  VanEck Israel ETF  1,009 
 365  VanEck Russia ETF  10,322 
 122  VanEck Russia Small-Cap ETF  4,335 

 

See accompanying notes to financial statements.

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EASTERLY EHS FUND
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 66.9% (Continued)    
    EQUITY - 63.5% (Continued)    
 9  VanEck Semiconductor ETF $2,744 
 446  VanEck Vectors ChinaAMC SME-Ch  24,222 
 453  VanEck Vietnam ETF  9,400 
 401  Vanguard FTSE Emerging Markets ETF  19,725 
 140  Vanguard Total World Stock ETF  14,598 
 72  WisdomTree Emerging Markets SmallCap Dividend Fund  3,694 
 244  WisdomTree Japan Hedged SmallCap Equity Fund  10,180 
 435  Xtrackers Harvest CSI 300 China A-Shares ETF  16,739 
 28  Xtrackers Harvest CSI 500 China A-Shares ETF  1,155 
 76  Xtrackers MSCI All China Equity ETF  3,034 
       846,975 
    FIXED INCOME - 2.7%    
 300  Invesco Financial Preferred ETF  5,514 
 366  SPDR Bloomberg Convertible Securities ETF  30,726 
       36,240 
    SPECIALTY - 0.1%    
 15  ProShares Short VIX Short-Term Futures ETF(a)  806 
         
    TOTAL EXCHANGE-TRADED FUNDS (Cost $915,447)  891,741 
         
    EXCHANGE-TRADED NOTES — 0.0%    
    SPECIALTY - 0.0%    
 11  iPath Series B S&P 500 VIX Short-Term Futures ETN(a)  280 
         
    TOTAL EXCHANGE-TRADED NOTES (Cost $223)  280 
         
    OPEN END FUNDS — 22.6%    
    FIXED INCOME - 22.6%    
 26,962  Easterly Structured Credit Value Fund, Class R6(b)  300,628 
         
    TOTAL OPEN END FUNDS (Cost $301,699)  300,628 

 

See accompanying notes to financial statements.

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EASTERLY EHS FUND
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

 

    TOTAL INVESTMENTS - 89.5% (Cost $1,217,369) $1,192,649 
    OTHER ASSETS IN EXCESS OF LIABILITIES - 10.5%  139,520 
    NET ASSETS - 100.0% $1,332,169 

 

EAFE- Europe, Australasia and Far East
  
ETF- Exchange-Traded Fund
  
MSCI- Morgan Stanley Capital International
  
SPDR- Standard & Poor’s Depositary Receipt

 

            Unrealized 
Foreign Currency Settlement Date Counterparty Local Currency  U.S. Dollar Value  Appreciation/(Depreciation) 
To Buy:                
Mexican Peso 12/22/2021 Brown Brothers Harriman  47,206  $2,187  $(79)
          $2,187  $(79)
                 
To Sell:                
Australian Dollar 12/22/2021 Brown Brothers Harriman  3,694  $2,620  $68 
British Pound 12/22/2021 Brown Brothers Harriman  19,434   25,726   433 
Canadian Dollar 12/22/2021 Brown Brothers Harriman  6,320   4,928   97 
Euro 12/22/2021 Brown Brothers Harriman  15,177   17,100   71 
Japanese Yen 12/22/2021 Brown Brothers Harriman  3,036,234   26,754   (227)
          $77,128  $442 
                 
Total             $363 

 

(a)Non-income producing security.

 

(b)Affiliate issuer.

 

See accompanying notes to financial statements.

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EASTERLY TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS
November 30, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 70.6%    
    ALTERNATIVE - 4.0%    
 146  AlphaClone Alternative Alpha ETF $11,984 
 10,988  iM DBi Managed Futures Strategy ETF  311,839 
 6,048  IQ Merger Arbitrage ETF  195,471 
 24,103  ProShares Merger ETF  995,016 
       1,514,310 
    COMMODITY - 1.9%    
 120  Invesco DB Agriculture Fund(a)  2,323 
 162  Invesco Optimum Yield Diversified Commodity  3,284 
 104  iShares GSCI Commodity Dynamic  3,547 
 22,464  iShares S&P GSCI Commodity Indexed Trust(a)  358,525 
 843  KraneShares Global Carbon Strategy ETF(a)  40,321 
 1,131  ProShares UltraShort Bloomberg Crude Oil(a)  18,922 
 462  SPDR Gold Shares(a)  76,461 
 4,623  United States Commodity Index Fund(a)  187,278 
 2,783  United States Natural Gas Fund, L.P.(a)  41,968 
       732,629 
    EQUITY - 34.1%    
 17  AdvisorShares STAR Global Buy-Write ETF  685 
 5,024  Alerian MLP ETF  159,160 
 82  ARK Innovation ETF  8,667 
 1  CI Active Utility & Infrastructure ETF  10 
 1,697  Columbia India Consumer ETF  95,015 
 48  Consumer Discretionary Select Sector SPDR Fund  9,813 
 1,042  Core Alternative ETF  30,594 
 142  Direxion NASDAQ-100 Equal Weighted Index Shares  12,198 
 2,475  Energy Select Sector SPDR Fund  135,110 
 8,955  ETFMG Travel Tech ETF  210,443 
 139  First Trust Dow Jones Internet Index Fund(a)  31,945 
 9,365  First Trust Financial AlphaDEX Fund  421,987 
 2,096  First Trust MultiCap Growth AlphaDEX Fund  258,479 
 3,497  First Trust Small Cap Growth AlphaDEX Fund  256,890 
 890  Global SuperDividend US ETF  17,693 
 202  Global X MSCI Argentina ETF  5,874 
 213  Global X MSCI China Consumer Discretionary ETF  6,015 

 

See accompanying notes to financial statements.

11

 

EASTERLY TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 70.6% (Continued)    
    EQUITY - 34.1% (Continued)    
 2,014  Global X MSCI Nigeria ETF $20,422 
 6,743  Global X SuperDividend ETF  82,332 
 3,279  Goldman Sachs Hedge Industry VIP ETF  331,364 
 59  Invesco DWA Consumer Cyclicals Momentum ETF  5,599 
 191  Invesco DWA Energy Momentum ETF  5,856 
 1,178  Invesco DWA Financial Momentum ETF  64,401 
 683  Invesco KBW High Dividend Yield Financial ETF  13,701 
 427  Invesco KBW Property & Casualty ETF  31,871 
 786  Invesco S&P 500 Pure Value ETF  59,956 
 24,210  Invesco S&P SmallCap Energy ETF  171,165 
 123  Invesco S&P SmallCap Financials ETF  7,186 
 902  Invesco S&P SmallCap Health Care ETF(a)  155,550 
 633  Invesco S&P SmallCap Information Technology ETF  92,526 
 102  Invesco S&P SmallCap Utilities & Communication  6,559 
 456  Invesco Water Resources ETF  26,147 
 262  IQ US Real Estate Small Cap ETF  6,659 
 2,583  iShares Biotechnology ETF  398,350 
 748  iShares China Large-Cap ETF  28,566 
 367  iShares EURO STOXX Mid UCITS ETF  28,560 
 218  iShares Expanded Tech-Software Sector ETF(a)  90,448 
 128  iShares Exponential Technologies ETF  8,294 
 6  iShares Global Financials ETF  466 
 206  iShares Global Materials ETF  17,901 
 78  iShares Global Timber & Forestry ETF  6,586 
 2,462  iShares Latin America 40 ETF  58,571 
 2,655  iShares Micro-Cap ETF  371,249 
 461  iShares Mortgage Real Estate ETF  16,287 
 770  iShares MSCI All Country Asia ex Japan ETF  64,133 
 1,371  iShares MSCI Australia ETF  33,535 
 1,208  iShares MSCI Brazil ETF  35,020 
 287  iShares MSCI Chile ETF  7,261 
 1,164  iShares MSCI China Small-Cap ETF  60,255 
 337  iShares MSCI EAFE ETF, EQUITY  25,895 
 388  iShares MSCI Emerging Markets ETF, EQUITY  18,950 

 

See accompanying notes to financial statements.

12

 

EASTERLY TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 70.6% (Continued)    
    EQUITY - 34.1% (Continued)    
 2,325  iShares MSCI Emerging Markets Small-Cap ETF $139,082 
 6,469  iShares MSCI Frontier and Sele  221,693 
 1,832  iShares MSCI Global Multifactor ETF  68,608 
 1,035  iShares MSCI Hong Kong ETF  24,105 
 6,657  iShares MSCI India Small-Cap ETF  394,827 
 735  iShares MSCI Indonesia ETF  17,140 
 674  iShares MSCI Ireland ETF  35,326 
 4,636  iShares MSCI Japan ETF  307,506 
 1,789  iShares MSCI Japan Small-Cap ETF  133,380 
 79  iShares MSCI South Africa ETF  3,546 
 606  iShares MSCI Taiwan ETF  39,202 
 238  iShares MSCI Thailand ETF  17,343 
 9,130  iShares MSCI UAE ETF  151,375 
 3  iShares MSCI United Kingdom ETF  96 
 2,770  iShares MSCI United Kingdom Small-Cap ETF  123,708 
 1,136  iShares Russell 1000 Growth ETF  340,664 
 1,237  iShares Russell 1000 Value ETF  196,275 
 3,511  iShares Russell 2000 ETF, EQUITY  765,995 
 832  iShares Russell 2000 Growth ETF  243,019 
 6,623  iShares Russell 2000 Value ETF  1,062,793 
 1,090  iShares Russell Mid-Cap Growth ETF  125,252 
 5,095  iShares Russell Mid-Cap Value ETF  588,982 
 734  iShares S&P Mid-Cap 400 Growth ETF  60,269 
 803  iShares S&P/TSX Capped Materials Index ETF  11,036 
 5  iShares S&P/TSX Global Gold Index ETF  70 
 1,329  iShares STOXX Europe 600 Banks UCITS ETF DE  20,524 
 56  iShares STOXX Europe 600 Basic Resources UCITS ETF  3,537 
 137  iShares STOXX Europe 600 Insurance UCITS ETF DE  4,705 
 54  iShares STOXX Europe 600 Utilities UCITS ETF DE  2,339 
 216  iShares U.S. Financial Services ETF  40,612 
 266  iShares U.S. Healthcare Providers ETF  69,240 
 85  iShares U.S. Medical Devices ETF  5,251 
 57  iShares US Consumer Discretionary ETF  4,726 
 300  iShares US Financials ETF  25,344 

 

See accompanying notes to financial statements.

13

 

EASTERLY TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 70.6% (Continued)    
    EQUITY - 34.1% (Continued)    
 3,183  KraneShares CSI China Internet ETF $140,211 
 850  Materials Select Sector SPDR Fund  71,953 
 55  SPDR Dow Jones Global Real Estate ETF  2,934 
 1,008  SPDR FactSet Innovative Technology ETF  205,350 
 145  SPDR S&P 500 ETF Trust  66,056 
 4,450  SPDR S&P Emerging Asia Pacific ETF  549,386 
 1,188  SPDR S&P Insurance ETF  45,382 
 200  SPDR S&P Metals & Mining ETF  8,236 
 27  SPDR S&P Oil & Gas Exploration & Production ETF  2,630 
 610  SPDR S&P Regional Banking ETF  42,584 
 31  SPDR S&P Retail ETF  2,912 
 12,400  VanEck Africa Index ETF  250,046 
 5,691  VanEck Brazil Small-Cap ETF  90,913 
 2,340  VanEck Egypt Index ETF  61,074 
 194  VanEck Israel ETF  9,321 
 608  VanEck Mortgage REIT Income ETF  11,053 
 2  VanEck Rare Earth/Strategic Metals ETF  246 
 9,430  VanEck Russia ETF  266,680 
 1,630  VanEck Russia Small-Cap ETF  57,914 
 6,246  VanEck Vectors ChinaAMC SME-Ch  339,220 
 6,345  VanEck Vietnam ETF  131,659 
 6,395  Vanguard FTSE Emerging Markets ETF  314,570 
 238  Vanguard Real Estate ETF  25,404 
 2,014  Vanguard Total World Stock ETF  210,000 
 962  WisdomTree Emerging Markets SmallCap Dividend Fund  49,351 
 854  WisdomTree International SmallCap Dividend Fund  60,198 
 4,448  WisdomTree Japan Hedged SmallCap Equity Fund  185,584 
 6,154  Xtrackers Harvest CSI 300 China A-Shares ETF  236,806 
 761  Xtrackers Harvest CSI 500 China A-Shares ETF  31,391 
 1,173  Xtrackers MSCI All China Equity ETF  46,820 
       12,775,653 
    FIXED INCOME - 29.8%    
 3  Direxion Daily 20 Year Plus Treasury Bull 3x  91 
 39  First Trust Emerging Markets Local Currency Bond  1,207 

 

See accompanying notes to financial statements.

14

 

EASTERLY TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 70.6% (Continued)    
    FIXED INCOME - 29.8% (Continued)    
 3,182  First Trust Municipal High Income ETF $178,319 
 53,250  First Trust Senior Loan ETF  2,528,844 
 1,670  Global X SuperIncome Preferred ETF  19,405 
 44,458  High Yield ETF  1,399,093 
 4,619  Highland/iBoxx Senior Loan ETF  73,188 
 5,118  Invesco Financial Preferred ETF  94,069 
 36,544  Invesco Global Short Term High Yield Bond ETF  781,676 
 997  Invesco Senior Loan ETF  21,735 
 2,929  Invesco Variable Rate Preferred ETF  75,041 
 759  iShares 7-10 Year Treasury Bond ETF  87,892 
 16,007  iShares Barclays USD Asia High Yield Bond Index  139,101 
 24  iShares CMBS ETF  1,288 
 122  iShares Convertible Bond ETF  11,855 
 16  iShares Core U.S. Aggregate Bond ETF  1,836 
 403  iShares Floating Rate Bond ETF  20,444 
 5,256  iShares iBoxx High Yield Corporate Bond ETF  450,124 
 2,360  iShares JP Morgan EM Corporate Bond ETF  120,030 
 1,906  iShares JPMorgan USD Emerging Markets Bond ETF  204,838 
 1,071  iShares MBS ETF  115,207 
 315  iShares National Muni Bond ETF  36,735 
 738  iShares Preferred & Income Securities ETF  28,347 
 1,757  PIMCO Enhanced Short Maturity Active ETF  178,669 
 21,233  SPDR Blackstone Senior Loan ET  963,129 
 6,050  SPDR Bloomberg Barclays Euro High Yield Bond UCITS  385,902 
 8,945  SPDR Bloomberg Convertible Securities ETF  750,933 
 170  SPDR Bloomberg High Yield Bond ETF  18,161 
 19,426  SPDR Doubleline Total Return Tactical ETF  930,700 
 22,053  VanEck Emerging Markets High Yield Bond ETF  490,459 
 14,365  VanEck Fallen Angel High Yield Bond ETF  465,713 
 8,800  VanEck International High Yield Bond ETF  210,408 
 535  Vanguard Mortgage-Backed Securities ETF  28,376 
 4,463  Vanguard Total International Bond Index Fund, ETF SHARES  255,417 
 3,384  WisdomTree Emerging Markets Local Debt Fund  100,743 

 

See accompanying notes to financial statements.

15

 

EASTERLY TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

 

Shares    Fair Value 
    EXCHANGE-TRADED FUNDS — 70.6% (Continued)    
    FIXED INCOME - 29.8% (Continued)    
 1,251  WisdomTree Interest Rate Hedged High Yield Bond $27,272 
       11,196,247 
    MIXED ALLOCATION - 0.7%    
 3,714  iShares Morningstar Multi-Asset Income ETF  88,282 
 945  SPDR SSgA Income Allocation ETF  33,110 
 5,091  SPDR SSgA Multi-Asset Real Return ETF  145,093 
       266,485 
    SPECIALTY - 0.1%    
 1,197  Invesco DB US Dollar Index Bullish Fund(a)  30,763 
 198  ProShares Short VIX Short-Term Futures ETF(a)  10,644 
       41,407 
         
    TOTAL EXCHANGE-TRADED FUNDS (Cost $27,290,191)  26,526,731 
         
    EXCHANGE-TRADED NOTES — 0.1%    
    COMMODITY - 0.0%    
 68  iPath Series B Bloomberg Coffee Subindex Total(a)  4,284 
 61  iPath Series B Bloomberg Grains Subindex Total(a)  3,891 
       8,175 
    SPECIALTY - 0.1%    
 585  iPath Series B S&P 500 VIX Short-Term Futures ETN(a)  14,894 
         
    TOTAL EXCHANGE-TRADED NOTES (Cost $22,622)  23,069 
         
    OPEN END FUNDS — 20.5%    
    ALTERNATIVE - 5.4%    
 119,446  Easterly Hedged Equity Fund, Class R6(b)  1,396,321 
 60,875  Kellner Merger Fund, Institutional Class  639,186 
 624  Merger Fund (The), Class V  10,807 
       2,046,314 

 

See accompanying notes to financial statements.

16

 

EASTERLY TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

 

Shares    Fair Value 
    OPEN END FUNDS — 20.5% (Continued)    
    FIXED INCOME - 15.1%    
 508,773  Easterly Structured Credit Value Fund, Class R6(b) $5,672,814 
         
    TOTAL OPEN END FUNDS (Cost $7,691,989)  7,719,128 

 

Contracts    Broker/Counterparty Expiration Date Exercise Price  Notional Value  Fair Value 
    INDEX OPTIONS PURCHASED - 0.1%                
    PUT OPTIONS PURCHASED - 0.1%                
 1,467  S&P 500 Index (European Style) GS 12/01/2021 $4,588.90  $6,731,920  $39,829 
    TOTAL PUT OPTIONS PURCHASED (Cost - $9,088)                
                     
    TOTAL INVESTMENTS - 91.3% (Cost $35,013,890)             $34,308,757 
    PUT OPTIONS WRITTEN - (0.1)% (Proceeds - $9,088)              (37,194)
    OTHER ASSETS IN EXCESS OF LIABILITIES- 8.8%              3,325,724 
    NET ASSETS - 100.0%             $37,597,287 
                     
Contracts    Counterparty Expiration Date Exercise Price  Notional Value  Fair Value 
    WRITTEN INDEX OPTIONS - (0.1)%                
    PUT OPTIONS WRITTEN - (0.1)%                
 1,141  S&P 500 Index (European Style) GS 12/01/2021 $4,479.25  $5,110,824  $3,395 
 1,842  S&P 500 Index (European Style) GS 12/01/2021  4,567.91   8,414,090   33,799 
    TOTAL PUT OPTIONS WRITTEN (Proceeds - $9,088)              37,194 

 

            Unrealized 
Foreign Currency Settlement Date Counterparty Local Currency  U.S. Dollar Value  Appreciation/(Depreciation) 
To Sell:                
Australian Dollar 12/22/2021 Brown Brothers Harriman  123,512  $87,605  $2,280 
British Pound 12/22/2021 Brown Brothers Harriman  326,616   432,355   7,280 
Canadian Dollar 12/22/2021 Brown Brothers Harriman  123,093   95,987   1,877 
Euro 12/22/2021 Brown Brothers Harriman  296,208   333,732   1,392 
Japanese Yen 12/22/2021 Brown Brothers Harriman  83,412,858   734,992   (6,223)
Mexican Peso 12/22/2021 Brown Brothers Harriman  287,412   13,315   482 
Swiss Franc 12/22/2021 Brown Brothers Harriman  2,792   3,020   (15)
          $1,701,006  $7,073 
                 
Total             $7,073 

 

See accompanying notes to financial statements.

17

 

EASTERLY TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

 

GSGoldman Sachs
  
EAFE- Europe, Australasia and Far East
  
ETF- Exchange-Traded Fund
  
LP- Limited Partnership
  
MSCI- Morgan Stanley Capital International
  
REIT- Real Estate Investment Trust
  
SPDR- Standard & Poor’s Depositary Receipt

 

(a)Non-income producing security.

 

(b)Affiliated issuer.

 

See accompanying notes to financial statements.

18

 

EASTERLY TOTAL HEDGE PORTFOLIO
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

 

TOTAL RETURN SWAP - 0.0%
 
                Unrealized 
                Appreciation/ 
Notional Amount  Reference Entity Shares  Counterparty Maturity Date Pay/Receive Fixed Rate Variable Rate (Depreciation) 
 205,619  S&P 500 Equal Weighted Index  33  Goldman Sachs 5/20/2022 Pay 0.1196 $ 
 1,439,329  S&P 500 Equal Weighted Index  231  Goldman Sachs 5/20/2022 Pay 0.1196 $ 
                  $ 

 

  Unrealized 
  Appreciation/ 
TOTAL RETURN SWAP - 0.0% (Depreciation) 
    
The Deutsche Bank Total Return Swap provides exposure to the daily, total returns of the Easterly Index, a proprietary index of the London Branch of Deutsche Bank AG. The number of shares is 56,900 and requires the fund to pay interest at the rate of 0.38% on the Notional Value outstanding. The Easterly Index features a basket of commodity trading advisor (“CTA”) programs selected by Easterly Funds, LLC from an approved list of third-party managers offered through Deutsche Bank AG on its DB Select platform. The Easterly Index comprises a diversified collection of strategy and style types, including trend following, short-term trading, discretionary, global macro, and sector specialists. According to the terms of the swap, Easterly Funds, LLC can modify the Easterly Index as frequently as daily, on a T+1 basis, by adjusting the notional value of the Easterly Index, or by adding, deleting, or re-weighting the constituent CTA programs. The swap became effective on August 2, 2018, and expires on July 30, 2024. (Notional Value $6,337,613) $7,365 
  $7,365 
TOTAL RETURN SWAP - (0.0)%    
The Goldman Sachs Calls-vs-Calls US Series 2 Total Return Strategy is designed to extract dislocated call premiums from S&P 500 constituents; the strategy sells call options on a daily basis across top 100 constituents of the SPX where the term structure is most inverted. The stocks are picked with constraints on leverage, beta towards SPX and tracking error. The strategy also purchases an ATM call option on SPX to mitigate market risk. The number of shares is 7,713 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on May 28, 2021 and expires on February 4, 2022. (Notional Value $927,470) $ 
  $ 
TOTAL RETURN SWAP - (0.0)%    
     
The Goldman Sachs i-Select III Series 88 Excess Return Strategy (“GS i-Select”) is a synthetic rules-based proprietary strategy created by Goldman Sachs International as strategy sponsor. The GS i- Select Index includes strategies of the GS Risk Premia Universe that were selected by Easterly . The GS i-Select Index is actively managed by Easterly . The Index features 15 Portfolio Constituents that Easterly Funds, LLC determines the daily waiting of each constituent within the GS i-Select Index. The GS i-Select Index is comprised a diversified collection of strategy and style types, including equity, interest rates, FX, commodities, and credit based strategies such as imbalance, volatility carry, carry, momentum, low beta, and quality. According to the terms of the GS i-Select Index, Easterly Funds, LLC can modify the GS i-Select Index as frequently as daily, by adjusting the notional value of the GS i-Select Index, or by adding, deleting, or re-weighting the constituent Indexes in the GS i-Select Index. The number of shares is 18,117 and requires the fund to pay interest at the rate of 0.25% on the Notional Value outstanding. The swap became effective on May 28, 2021 and expires on February 9, 2022. (Notional Value $1,805,563) $ 
  $ 
TOTAL RETURN SWAP - (0.0)%    
     
The Goldman Sachs Intraday Momentum ES Series 1 Excess Return Strategy aims to capture intraday trend risk premium on the S&P 500. There is empirical evidence that the returns in the earlier part of the day tend to continue in the same direction in the subsequent part of the day, across several markets, including equities. The strategy attempts to monetize this historical tendency for intraday trends from the previous close to extend unto the following close: 1) Every day after the open, the strategy buys futures if markets are rising since the previous close; conversely, it sells futures if markets are falling since previous close. 2) The strategy monitors market moves every 30-minutes to reactively modify its positioning if a new trend appears. 3) All positions are exited at the close. The number of shares is 8,295 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on August 2, 2021 and expires on February 4, 2022. (Notional Value $941,817) $(1,285)
  $(1,285)
     
TOTAL RETURN SWAP - 0.1%    
     
Goldman Sachs Long Gamma US Series 10 Excess Return Strategy attempts to provide protection in tail scenarios through a levered position in delta-hedged put options. The strategy buys 12m 10- delta S&P Put options and delta-hedges them to attempt to neutralize the inherent short market exposure in typical markets. The strategy takes a long position in volatility and is best-positioned for left-tail events with very high realized volatility. The number of shares is 8,739 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on August 2, 2021 and expires on February 4, 2022. (Notional Value $1,228,811) $20,616 
  $20,616 
TOTAL RETURN SWAP - 0.1%    
     
The Goldman Sachs Systematic Skew US Series 1D Total Return Strategy is designed to capture the spot-volatility covariance risk premium in equity markets, while minimizing exposure to volatility risk. The strategy sells 3m 15d puts and buys 3m 40d calls (delta and gamma hedged) that target a constant exposure to skew, with performance driven by Vanna. The strategy also buys 5d tail puts for added risk management. The number of shares is 6,979 and requires the fund to pay interest at the rate of 0.20% on the Notional Value outstanding. The swap became effective on August 30, 2021 and expires on February 4, 2022. (Notional Value $995,792) $ 
  $ 

19

 

EASTERLY TOTAL HEDGE PORTFOLIO 

SCHEDULE OF INVESTMENTS (Continued) 

November 30, 2021

 

Easterly Deutsche Bank Swap Top 50 Holdings

 

FUTURES CONTRACTS*

 

             Unrealized  Percentage of Total 
Number of        Notional Value at     Appreciation/  Return Swap 
Contracts  Open Long Future Contracts Counterparty November 30, 2021  Expiration  (Depreciation)  Unrealized Gain/Loss 
 5  3 month Euro (EURIBOR) Deutsche Bank  1,333,710   12/18/2023  $(1,936)  (26.29)%
 1  10 Year Italian Bond Deutsche Bank  173,250   12/8/2021   2,624   35.63%
 1  10 Year Japanese Government Bond Deutsche Bank  824,747   12/13/2021   805   10.93%
 2  30 Year US Treasury Bonds Deutsche Bank  269,188   3/22/2022   2,255   30.62%
 1  DAX Index Future Deutsche Bank  266,196   12/17/2021   (311)  (4.22)%
 48  DJ EURO STOXX Banks Future Deutsche Bank  256,557   12/17/2021   (2,547)  (34.58)%
 2  E-Mini Nasdaq-100 Deutsche Bank  674,319   12/17/2021   3,917   53.18%
 5  EURO STOXX 50 Index Future Deutsche Bank  223,319   12/17/2021   (7,040)  (95.59)%
 2  Euro-BUND Deutsche Bank  378,749   12/8/2021   871   11.83%
 2  FTSE 100 Index Future Deutsche Bank  194,766   12/17/2021   (838)  (11.38)%
 1  S&P Canada 60 Index Future Deutsche Bank  195,539   12/16/2021   2,023   27.47%
 5  S&P CNX Nifty Index Future Deutsche Bank  163,823   12/30/2021   (4,349)  (59.05)%
 1  Ultra Long-Term T Bond Deutsche Bank  191,947   3/22/2022   6,796   92.27%
                 2,270     
                       
                 Unrealized   Percentage of Total 
 Number of         Notional Value at       Appreciation/   Return Swap 
 Contracts  Open Short Future Contracts Counterparty  November 30, 2021   Expiration   (Depreciation)   Unrealized Gain 
 (10) 2 Year Euro-Schatz Deutsche Bank  1,268,198   12/8/2021   (4,733)  (64.26)%
 (2) 2 Year Euro-Schatz Deutsche Bank  207,154   3/8/2022   63   0.86%
 (1) 2 Year US Treasury Notes Deutsche Bank  280,355   3/31/2022   (231)  (3.14)%
 (2) 3 Month SONIA Index Futures Deutsche Bank  529,402   12/19/2023   (136)  (1.85)%
 (2) 3 Month Sterling Deutsche Bank  250,345   9/20/2023   (249)  (3.38)%
 (2) 3 Month Sterling Deutsche Bank  250,599   9/18/2024   (516)  (7.01)%
 (11) 3 Year Australian Treasury Bond Deutsche Bank  921,354   12/15/2021   10,108   137.24%
 (5) 5 Year US Treasury Notes Deutsche Bank  612,394   3/31/2022   (1,146)  (15.56)%
 (4) 10 Year US Treasury Notes Deutsche Bank  473,665   3/22/2022   (742)  (10.07)%
 (3) AUD/USD Deutsche Bank  179,159   12/13/2021   2,119   28.77%
 (3) CAD/USD Deutsche Bank  233,519   12/14/2021   1,494   20.29%
 (5) EUR/USD Deutsche Bank  647,046   12/13/2021   3,942   53.52%
 (1) Eurodollar Deutsche Bank  212,216   9/19/2022   (247)  (3.35)%
 (2) Eurodollar Deutsche Bank  458,945   9/18/2023   (997)  (13.54)%
 (1) Eurodollar Deutsche Bank  212,596   3/18/2024   (201)  (2.73)%
 (2) Eurodollar Deutsche Bank  564,199   6/17/2024   2,002   27.18%
 (1) Eurodollar Deutsche Bank  224,925   9/16/2024   (441)  (5.99)%
 (3) GBP/USD Deutsche Bank  277,419   12/13/2021   3,947   53.59%
 (1) Hang Seng Index Deutsche Bank  180,247   12/30/2021   2,416   32.80%
 (4) JPY/USD Deutsche Bank  474,459   12/13/2021   (21)  (0.29)%
 (1) Long Gilt Future Deutsche Bank  233,825   3/29/2022   (173)  (2.35)%
                 16,258     
                       
    TOTAL FUTURES CONTRACTS  $18,528     

 

PURCHASED CALL OPTIONS*
                   
                 Percentage of Total 
     Notional Value at           Return Swap 
Description  Counterparty November 30, 2021  Expiration  Strike Price  Unrealized Appreciation  Unrealized Gain 
 JPY/CAD  Deutsche Bank  693,548   12/1/2021   95.00  $   0.00%
 JPY/USD  Deutsche Bank  277,419   12/9/2021   112.00   4,284   58.17%
 JPY/USD  Deutsche Bank  346,774   12/13/2021   116.75   79   1.07%
 USD/EUR  Deutsche Bank  277,419   12/6/2021   1.22      0.00%
 USD/EUR  Deutsche Bank  520,161   1/3/2022   1.21   23   0.31%
 USD/EUR  Deutsche Bank  277,419   1/6/2022   1.19   63   0.86%
 USD/EUR  Deutsche Bank  208,064   1/19/2022   1.24   7   0.10%
                   4,456     

 

WRITTEN CALL OPTIONS*
                   
                 Percentage of Total 
     Notional Value at           Return Swap 
Description  Counterparty November 30, 2021  Expiration  Strike Price  Unrealized Appreciation  Unrealized Gain 
 JPY/USD  Deutsche Bank  554,838   12/9/2021   114.00   (2,037)  (27.66)%
 JPY/USD  Deutsche Bank  277,419   12/9/2021   114.00   (1,095)  (14.87)%
 USD/GBP  Deutsche Bank  174,774   1/3/2022   1.41   (7)  (0.10)%
                  $(3,139)    

  

FORWARD CURRENCY CONTRACTS +*
                       
                  Unrealized  Percentage of Total 
Settlement                 Appreciation /  Return Swap 
Date Units to Receive/Deliver  Counterparty In Exchange For US Dollar Value  (Depreciation)  Unrealized Gain/Loss 
To Buy:                            
12/7/2021  (211,527) Deutsche Bank CHF  230,252   USD   231,066   814   11.05%
12/7/2021  (230,825) Deutsche Bank USD  308,454   AUD   296,605   (11,850)  (160.90)%
                      (11,036)    
To Sell:                            
12/2/2021  420,911  Deutsche Bank CHF  (457,055)  USD   456,488   (567)  (7.70)%
12/2/2021  65,262,355  Deutsche Bank JPY  (577,553)  USD   574,860   (2,694)  (36.58)%
12/7/2021  17,485,731  Deutsche Bank JPY  (154,239)  USD   154,042   (197)  (2.67)%
12/7/2021  3,447,543  Deutsche Bank MXN  (169,565)  USD   160,313   (9,252)  (125.62)%
                       (12,710)    
   TOTAL FORWARD CURRENCY CONTRACTS             
        All Other Investments   11,266     
        Total Unrealized Appreciation of Swap  $7,365     

 

+Foreign currency transactions are done by notional and not by contracts

 

*Non-income producing securities

 

Currency Abbreviations:

 

AUD - Australian Dollar

 

See accompanying notes to financial statements.

20

 

EASTERLY TOTAL HEDGE PORTFOLIO 

SCHEDULE OF INVESTMENTS (Continued) 

November 30, 2021

 

CAD - Canadian Dollar

 

CHF - Swiss Franc

 

CNH - Chinese Yuan Renminbi

 

EUR - Euro

 

GBP - Great Britain Pound

 

JPY - Japanese Yen

 

MXN - Mexican Peso

 

USD - U.S. Dollar

 

See accompanying notes to financial statements. 

21

 

EASTERLY TOTAL HEDGE PORTFOLIO 

SCHEDULE OF INVESTMENTS (Continued) 

November 30, 2021

 

Goldman Sachs Calls-vs-Calls US Series 2 Total Return Strategy Top 50 Holdings 

 

PURCHASED CALL OPTIONS
 
Number of        Notional Value at          
Contracts  Open Purchased Call Options Counterparty November 30, 2021  Expiration  Exercise Price  Market Value 
 6  S&P 500 Index Goldman Sachs  28,108   12/17/2021  $4,350  $1,537 
 8  S&P 500 Index Goldman Sachs  38,366   12/17/2021  $4,360   2,025 
 11  S&P 500 Index Goldman Sachs  51,730   12/17/2021  $4,365   2,682 
 5  S&P 500 Index Goldman Sachs  24,978   12/17/2021  $4,400   1,136 
 5  S&P 500 Index Goldman Sachs  22,238   12/17/2021  $4,435   874 
 5  S&P 500 Index Goldman Sachs  21,207   12/17/2021  $4,450   779 
 5  S&P 500 Index Goldman Sachs  24,770   12/17/2021  $4,470   827 
 5  S&P 500 Index Goldman Sachs  24,476   12/17/2021  $4,485   757 
 3  S&P 500 Index Goldman Sachs  15,861   12/17/2021  $4,515   415 
 3  S&P 500 Index Goldman Sachs  15,860   12/17/2021  $4,525   391 
 4  S&P 500 Index Goldman Sachs  17,207   12/17/2021  $4,535   399 
 7  S&P 500 Index Goldman Sachs  31,312   12/17/2021  $4,540   702 
 4  S&P 500 Index Goldman Sachs  18,540   12/17/2021  $4,545   402 
 5  S&P 500 Index Goldman Sachs  24,062   12/17/2021  $4,550   505 
 5  S&P 500 Index Goldman Sachs  21,239   12/17/2021  $4,565   400 
 5  S&P 500 Index Goldman Sachs  22,451   12/17/2021  $4,570   407 
 15  S&P 500 Index Goldman Sachs  69,882   12/17/2021  $4,595   1,036 
 6  S&P 500 Index Goldman Sachs  26,563   12/17/2021  $4,605   360 
 6  S&P 500 Index Goldman Sachs  28,043   12/17/2021  $4,610   363 
 6  S&P 500 Index Goldman Sachs  29,323   12/17/2021  $4,625   327 
 16  S&P 500 Index Goldman Sachs  75,351   12/17/2021  $4,645   676 
 16  S&P 500 Index Goldman Sachs  71,504   12/17/2021  $4,655   569 
 7  S&P 500 Index Goldman Sachs  31,636   12/17/2021  $4,675   194 
 18  S&P 500 Index Goldman Sachs  80,389   12/17/2021  $4,680   459 
 20  S&P 500 Index Goldman Sachs  89,132   12/17/2021  $4,685   473 
 21  S&P 500 Index Goldman Sachs  94,034   12/17/2021  $4,690   463 
 20  S&P 500 Index Goldman Sachs  89,518   12/17/2021  $4,695   408 
 27  S&P 500 Index Goldman Sachs  123,399   12/17/2021  $4,700   520 
 13  S&P 500 Index Goldman Sachs  59,078   12/17/2021  $4,705   230 
 4  S&P 500 Index Goldman Sachs  19,764   1/21/2022  $4,360   1,258 
 7  S&P 500 Index Goldman Sachs  29,841   1/21/2022  $4,370   1,848 
 4  S&P 500 Index Goldman Sachs  17,598   1/21/2022  $4,555   569 
 6  S&P 500 Index Goldman Sachs  27,106   1/21/2022  $4,605   687 
 6  S&P 500 Index Goldman Sachs  29,142   1/21/2022  $4,665   521 
 9  S&P 500 Index Goldman Sachs  40,527   1/21/2022  $4,690   612 
 7  S&P 500 Index Goldman Sachs  31,964   1/21/2022  $4,700   450 
 8  S&P 500 Index Goldman Sachs  38,243   1/21/2022  $4,705   519 
 9  S&P 500 Index Goldman Sachs  39,088   1/21/2022  $4,710   511 
 3  S&P 500 Index Goldman Sachs  14,785   2/18/2022  $4,610   470 
 3  S&P 500 Index Goldman Sachs  15,807   2/18/2022  $4,665   392 
 6  S&P 500 Index Goldman Sachs  28,784   2/18/2022  $4,690   631 
 3  S&P 500 Index Goldman Sachs  15,569   2/18/2022  $4,700   324 
 5  S&P 500 Index Goldman Sachs  22,189   2/18/2022  $4,705   450 
 5  S&P 500 Index Goldman Sachs  20,829   2/18/2022  $4,710   411 
                     29,969 
                       
WRITTEN CALL OPTIONS
                       
 Number of         Notional Value at             
 Contracts  Open Written Call Options Counterparty  November 30, 2021   Expiration   Exercise Price   Market Value 
 43  Accenture plc Goldman Sachs  15,326   12/17/2021  $370  $221 
 510  Cisco Systems, Inc. Goldman Sachs  27,942   12/17/2021  $58   154 
 45  Deere & Company Goldman Sachs  15,419   12/17/2021  $360   212 
 152  Medtronic plc Goldman Sachs  16,201   12/17/2021  $120   10 
 299  Pfizer, Inc. Goldman Sachs  16,062   12/17/2021  $50   1,253 
 119  Walmart, Inc. Goldman Sachs  16,680   12/17/2021  $150   38 
                     1,888 

 

See accompanying notes to financial statements. 

22

 

EASTERLY TOTAL HEDGE PORTFOLIO 

SCHEDULE OF INVESTMENTS (Continued) 

November 30, 2021

 

Goldman Sachs i-Select III Series 88 Excess Return Strategy Top 50 Holdings

  

FUTURES CONTRACTS*
            
Number of        Notional Value at    
Contracts  Open Long Future Contracts Counterparty November 30, 2021  Expiration 
 1  CBOT 2 Year US Treasury Note Future Goldman Sachs  $122,642   3/31/2022 
 1  CBOT 5 Year US Treasury Note Goldman Sachs  103,265   3/31/2022 
 1  CBOT Corn Future Goldman Sachs  28,058   5/13/2022 
 1  CBOT Soybean Future Goldman Sachs  47,959   5/13/2022 
 0  CBOT US Long Bond Future Goldman Sachs  33,159   3/22/2022 
 1  CBOT Wheat Future Goldman Sachs  42,146   5/13/2022 
 2  CME E-Mini NASDAQ 100 Index Future Goldman Sachs  26,232   12/17/2021 
 6  CME E-Mini Standard & Poor’s 500 Index Future Goldman Sachs  25,471   12/17/2021 
 0  CME Live Cattle Future Goldman Sachs  12,261   4/29/2022 
 0  COMEX Gold 100 Troy Ounces Future Goldman Sachs  10,360   2/24/2022 
 0  Cotton No.2 Future Goldman Sachs  20,725   5/6/2022 
 0  Eurex 10 Year Euro BUND Future Goldman Sachs  8,983   12/8/2021 
 0  Eurex 10 Year Euro BUND Future Goldman Sachs  17,681   3/8/2022 
 0  Eurex 2 Year Euro SCHATZ Future Goldman Sachs  54,393   12/8/2021 
 1  Eurex 2 Year Euro SCHATZ Future Goldman Sachs  108,743   3/8/2022 
 1  Eurex 5 Year Euro BOBL Future Goldman Sachs  97,091   12/8/2021 
 0  Eurex 5 Year Euro BOBL Future Goldman Sachs  12,471   12/8/2021 
 0  Eurex 5 Year Euro BOBL Future Goldman Sachs  24,813   3/8/2022 
 2  Eurex EURO STOXX 50 Future Goldman Sachs  7,374   12/17/2021 
 2  Eurex Swiss Market New Index Future Goldman Sachs  24,580   12/17/2021 
 29  Euronext Amsterdam Index Future Goldman Sachs  25,498   12/17/2021 
 2  Euronext CAC 40 Index Future Goldman Sachs  12,139   12/17/2021 
 0  FTSE/MIB Index Future 12/17/2021 Goldman Sachs  8,892   12/17/2021 
 0  ICE Gas Oil Future Goldman Sachs  7,522   1/12/2022 
 0  Live Cattle Future Goldman Sachs  14,473   6/30/2022 
 0  Live Cattle Future Goldman Sachs  7,618   8/31/2022 
 0  LME Copper Future Goldman Sachs  7,587   1/17/2022 
 0  LME Copper Future Goldman Sachs  18,754   1/17/2022 
 0  LME Copper Future Goldman Sachs  22,870   2/14/2022 
 0  LME Copper Future Goldman Sachs  7,555   2/14/2022 
 0  LME Nickel Future Goldman Sachs  21,097   1/17/2022 
 0  LME Nickel Future Goldman Sachs  7,739   1/17/2022 
 0  LME Nickel Future Goldman Sachs  25,730   2/14/2022 
 0  LME Nickel Future Goldman Sachs  9,438   2/14/2022 
 0  LME Primary Aluminum Future Goldman Sachs  7,630   1/17/2022 
 0  LME Zinc Future Goldman Sachs  7,389   1/17/2022 
 26  Montreal Exchange S&P/TSX 60 Index Future Goldman Sachs  25,302   12/17/2021 
 0  NYBOT CSC C Coffee Future Goldman Sachs  8,419   3/21/2022 
 1  NYBOT CSC Number 11 World Sugar Future Goldman Sachs  22,092   4/29/2022 
 0  NYBOT CTN Number 2 Cotton Future Goldman Sachs  7,352   3/9/2022 
 0  NYMEX Henry Hub Natural Gas Futures Goldman Sachs  7,427   12/29/2021 
 0  NYMEX Henry Hub Natural Gas Futures Goldman Sachs  9,987   3/29/2022 
 0  NYMEX Henry Hub Natural Gas Futures Goldman Sachs  12,100   4/27/2022 
 56  OML Stockholm OMXS30 Index Future Goldman Sachs  13,921   12/17/2021 
 2  SFE S&P ASX Share Price Index 200 Future Goldman Sachs  11,236   12/16/2021 
 0  TSE Japanese 10 Year Bond Futures Goldman Sachs  60,543   12/9/2021 
 620  TSE TOPIX (Tokyo Price Index) Future Goldman Sachs  10,355   12/10/2021 

 

CREDIT DEFAULT SWAPS
               
Number of        Notional Value at       
Contracts  Open Credit Default Swaps Counterparty November 30, 2021  Expiration  Value 
 59,087  Markit CDX North America High Yield Index Goldman Sachs  59,087   12/20/2026  $1,331 
 8,687  Markit CDX North America Investment Grade Index Goldman Sachs  8,687   12/20/2026   750 
 15,444  Markit iTraxx Europe Index Goldman Sachs  17,384   12/20/2026   405 
                 2,486 

 

*The GS i-Select invests in 15 Portfolio Constituents which do not trade individual futures, therefore the Futures do not have any individual unrealized gains/losses.

 

See accompanying notes to financial statements.

23

 

EASTERLY TOTAL HEDGE PORTFOLIO 

SCHEDULE OF INVESTMENTS (Continued) 

November 30, 2021

 

Goldman Sachs Intraday Momentum ES Series 1 Excess Return Strategy Top 50 Holdings

 

No Open Positions

 

See accompanying notes to financial statements. 

24

 

EASTERLY TOTAL HEDGE PORTFOLIO 

SCHEDULE OF INVESTMENTS (Continued) 

November 30, 2021

 

Goldman Sachs Long Gamma US Series 10 Total Return Strategy Top 50 Holdings

  

EQUITY FORWARDS

  

Number of        Notional Value at          
Contracts  Open Long Equity Forwards Counterparty November 30, 2021  Expiration  Exercise Price  Market Value 
 27  S&P 500 Index Goldman Sachs  124,095   3/18/2022  $4,660  $2,745 
 20  S&P 500 Index Goldman Sachs  93,445   4/14/2022  $4,660   2,107 
 22  S&P 500 Index Goldman Sachs  100,009   5/20/2022  $4,660   2,336 
 35  S&P 500 Index Goldman Sachs  161,956   6/17/2022  $4,650   3,546 
 16  S&P 500 Index Goldman Sachs  73,618   8/19/2022  $4,650   1,674 
 28  S&P 500 Index Goldman Sachs  128,932   9/16/2022  $4,650   2,995 
 17  S&P 500 Index Goldman Sachs  77,114   10/21/2022  $4,650   1,807 
 15  S&P 500 Index Goldman Sachs  70,015   11/18/2022  $4,650   1,672 
 37  S&P 500 Index Goldman Sachs  168,478   12/16/2022  $4,650   4,110 
                     22,992 
                       
PURCHASED PUT OPTIONS
                  
Number of        Notional Value at          
Contracts  Open Purchased Put Options Counterparty November 30, 2021  Expiration  Exercise Price  Market Value 
 16  S&P 500 Index Goldman Sachs  72,337   12/17/2021  $1,775  $2 
 18  S&P 500 Index Goldman Sachs  80,629   12/17/2021  $1,800   2 
 15  S&P 500 Index Goldman Sachs  69,147   12/17/2021  $2,075   3 
 19  S&P 500 Index Goldman Sachs  87,507   12/17/2021  $2,100   4 
 37  S&P 500 Index Goldman Sachs  169,319   12/17/2021  $2,125   8 
 30  S&P 500 Index Goldman Sachs  136,540   12/17/2021  $2,150   7 
 29  S&P 500 Index Goldman Sachs  130,429   12/17/2021  $2,175   6 
 23  S&P 500 Index Goldman Sachs  103,368   12/17/2021  $2,200   5 
 27  S&P 500 Index Goldman Sachs  123,847   12/17/2021  $2,250   7 
 18  S&P 500 Index Goldman Sachs  82,239   12/17/2021  $2,425   7 
 26  S&P 500 Index Goldman Sachs  119,661   12/17/2021  $2,450   10 
 25  S&P 500 Index Goldman Sachs  114,222   12/17/2021  $2,500   11 
 36  S&P 500 Index Goldman Sachs  162,237   12/17/2021  $2,525   17 
 25  S&P 500 Index Goldman Sachs  115,078   12/17/2021  $2,550   13 
 23  S&P 500 Index Goldman Sachs  107,229   12/17/2021  $2,575   13 
 16  S&P 500 Index Goldman Sachs  74,722   12/17/2021  $2,675   11 
 17  S&P 500 Index Goldman Sachs  76,384   12/17/2021  $2,700   12 
 34  S&P 500 Index Goldman Sachs  153,919   12/17/2021  $2,800   31 
 20  S&P 500 Index Goldman Sachs  90,796   12/17/2021  $2,825   19 
 25  S&P 500 Index Goldman Sachs  112,768   3/18/2022  $2,050   136 
 26  S&P 500 Index Goldman Sachs  117,080   3/18/2022  $2,100   152 
 35  S&P 500 Index Goldman Sachs  157,580   3/18/2022  $2,150   223 
 16  S&P 500 Index Goldman Sachs  74,462   3/18/2022  $2,250   121 
 21  S&P 500 Index Goldman Sachs  94,082   3/18/2022  $2,500   216 
 16  S&P 500 Index Goldman Sachs  73,411   3/18/2022  $2,550   181 
 22  S&P 500 Index Goldman Sachs  98,738   3/18/2022  $2,600   260 
 15  S&P 500 Index Goldman Sachs  69,253   3/18/2022  $2,775   229 
 17  S&P 500 Index Goldman Sachs  78,353   3/18/2022  $2,875   295 
 17  S&P 500 Index Goldman Sachs  79,452   3/18/2022  $2,925   318 
 23  S&P 500 Index Goldman Sachs  103,314   4/14/2022  $2,500   311 
 16  S&P 500 Index Goldman Sachs  75,053   6/17/2022  $2,050   198 
 19  S&P 500 Index Goldman Sachs  86,291   6/17/2022  $2,500   412 
 16  S&P 500 Index Goldman Sachs  70,901   6/17/2022  $2,550   362 
 22  S&P 500 Index Goldman Sachs  101,237   7/15/2022  $2,600   642 
 15  S&P 500 Index Goldman Sachs  69,158   8/19/2022  $2,600   521 
 16  S&P 500 Index Goldman Sachs  73,289   8/19/2022  $2,650   588 
 20  S&P 500 Index Goldman Sachs  93,491   9/16/2022  $2,500   698 
 21  S&P 500 Index Goldman Sachs  94,330   9/16/2022  $2,550   749 
 17  S&P 500 Index Goldman Sachs  79,447   9/16/2022  $2,600   672 
 15  S&P 500 Index Goldman Sachs  70,491   10/21/2022  $2,500   585 
 16  S&P 500 Index Goldman Sachs  71,157   11/18/2022  $2,750   882 
                     8,939 

 

See accompanying notes to financial statements. 

25

 

EASTERLY TOTAL HEDGE PORTFOLIO 

SCHEDULE OF INVESTMENTS (Continued) 

November 30, 2021

 

Goldman Sachs Systematic Skew US Series 1D Total Return Strategy Top 50 Holdings

 

EQUITY FORWARDS 
                  
Number of        Notional Value at          
Contracts  Open Short Equity Forwards Counterparty November 30, 2021  Expiration  Exercise Price  Market Value 
 269  S&P 500 Index Goldman Sachs  1,226,881   12/17/2021  $4,655  $24,250 
 205  S&P 500 Index Goldman Sachs  934,077   1/21/2022  $4,655   18,157 
 132  S&P 500 Index Goldman Sachs  601,903   2/18/2022  $4,655   12,212 
 41  S&P 500 Index Goldman Sachs  185,654   3/18/2022  $4,660   4,107 
                     58,726 
                       
PURCHASED PUT OPTIONS
                  
Number of        Notional Value at          
Contracts  Open Purchased Put Options Counterparty November 30, 2021  Expiration  Exercise Price  Market Value 
 60  S&P 500 Index Goldman Sachs  274,500   3/18/2022  $2,450  $590 
 45  S&P 500 Index Goldman Sachs  205,740   2/18/2022  $2,250   213 
 45  S&P 500 Index Goldman Sachs  206,209   2/18/2022  $2,300   231 
 56  S&P 500 Index Goldman Sachs  255,441   2/18/2022  $2,550   410 
 42  S&P 500 Index Goldman Sachs  191,868   2/18/2022  $2,600   330 
 76  S&P 500 Index Goldman Sachs  345,282   2/18/2022  $2,650   641 
 78  S&P 500 Index Goldman Sachs  356,144   2/18/2022  $2,700   709 
 41  S&P 500 Index Goldman Sachs  189,258   1/21/2022  $2,300   97 
 64  S&P 500 Index Goldman Sachs  291,778   1/21/2022  $2,500   221 
 46  S&P 500 Index Goldman Sachs  209,207   1/21/2022  $2,800   251 
 62  S&P 500 Index Goldman Sachs  284,196   1/21/2022  $2,825   354 
 38  S&P 500 Index Goldman Sachs  173,178   1/21/2022  $2,850   225 
 43  S&P 500 Index Goldman Sachs  195,191   1/21/2022  $2,925   283 
 45  S&P 500 Index Goldman Sachs  206,053   1/21/2022  $2,950   308 
 49  S&P 500 Index Goldman Sachs  221,830   1/21/2022  $3,000   352 
 49  S&P 500 Index Goldman Sachs  222,465   1/21/2022  $3,025   373 
 75  S&P 500 Index Goldman Sachs  342,154   12/17/2021  $2,500   34 
 74  S&P 500 Index Goldman Sachs  337,996   12/17/2021  $2,525   36 
 67  S&P 500 Index Goldman Sachs  306,796   12/17/2021  $2,550   34 
 70  S&P 500 Index Goldman Sachs  318,314   12/17/2021  $2,575   38 
 46  S&P 500 Index Goldman Sachs  209,719   12/17/2021  $2,650   30 
 61  S&P 500 Index Goldman Sachs  278,862   12/17/2021  $2,700   45 
 53  S&P 500 Index Goldman Sachs  242,854   12/17/2021  $2,800   49 
 49  S&P 500 Index Goldman Sachs  221,589   12/17/2021  $2,825   47 
 39  S&P 500 Index Goldman Sachs  177,302   12/17/2021  $3,000   54 
 40  S&P 500 Index Goldman Sachs  181,139   12/17/2021  $3,075   65 
 43  S&P 500 Index Goldman Sachs  197,091   12/17/2021  $3,100   74 
 39  S&P 500 Index Goldman Sachs  180,376   12/17/2021  $3,125   72 
 64  S&P 500 Index Goldman Sachs  293,244   12/17/2021  $3,200   137 
 47  S&P 500 Index Goldman Sachs  215,156   12/17/2021  $3,225   106 
 64  S&P 500 Index Goldman Sachs  291,543   12/17/2021  $3,400   206 
                     6,615 
                       
WRITTEN PUT OPTIONS
                  
Number of        Notional Value at          
Contracts  Open Written Put Options Counterparty November 30, 2021  Expiration  Exercise Price  Market Value 
 39  S&P 500 Index Goldman Sachs  177,035   12/17/2021  $3,890  $333 
 53  S&P 500 Index Goldman Sachs  242,854   12/17/2021  $3,935   507 
 59  S&P 500 Index Goldman Sachs  267,392   12/17/2021  $3,940   566 
 45  S&P 500 Index Goldman Sachs  206,021   12/17/2021  $3,945   443 
 40  S&P 500 Index Goldman Sachs  183,020   12/17/2021  $3,950   397 
 55  S&P 500 Index Goldman Sachs  252,906   12/17/2021  $3,960   563 
 39  S&P 500 Index Goldman Sachs  177,302   12/17/2021  $4,075   542 
 40  S&P 500 Index Goldman Sachs  181,139   12/17/2021  $4,095   588 
 43  S&P 500 Index Goldman Sachs  197,091   12/17/2021  $4,140   736 
 39  S&P 500 Index Goldman Sachs  180,376   12/17/2021  $4,160   720 
 41  S&P 500 Index Goldman Sachs  185,321   12/17/2021  $4,175   777 
 39  S&P 500 Index Goldman Sachs  178,729   12/17/2021  $4,185   776 
 59  S&P 500 Index Goldman Sachs  270,902   12/17/2021  $4,215   1,304 
 53  S&P 500 Index Goldman Sachs  239,980   1/21/2022  $3,830   1,427 
 43  S&P 500 Index Goldman Sachs  197,491   1/21/2022  $4,090   2,002 
                     11,681 

 

See accompanying notes to financial statements. 

26

 

EASTERLY STRUCTURED CREDIT VALUE FUND
SCHEDULE OF INVESTMENTS
November 30, 2021

 

Principal      Coupon Rate      
Amount ($)    Spread (%) Maturity  Fair Value 
    ASSET BACKED SECURITIES — 67.9%            
    CMBS — 0.8%            
 847,054  Freddie Mac Multifamily Structured Pass Through(c),(e)   2.2460  05/25/47  $124,181 
 2,457,346  FREMF 2018-KF46(a),(b) US0001M + 1.950% 2.0370  03/25/28   2,402,927 
 147,061  Government National Mortgage Association(c),(e)   0.7390  04/16/53   1,559 
               2,528,667 
    CDO — 5.7%            
 109,993  ARCap 2003-1 Resecuritization Trust(a)   7.1100  08/20/38   111,199 
 899,045  Aspen Funding I Ltd.   9.0600  07/10/37   935,771 
 7,603,080  DWRS 2016-1(a),(g)   1.0440  04/23/32   2,509,017 
 4,008,978  Galleria CDO V Ltd.(a),(b) US0003M + 2.400% 2.5220  09/19/37   3,821,302 
 3,817,593  Mid Ocean CBO 2001-1 Ltd.(b),(g) US0003M + 0.500% 2.3910  11/05/36   1,142,350 
 1,756,000  MMcapS Funding XVII Ltd.(a),(b) US0003M + 0.600% 0.7200  12/01/35   1,492,600 
 5,396,000  Trapeza Cdo Xii Ltd.(a),(b) US0003M + 0.460% 0.5870  04/06/42   4,384,250 
 3,000,000  Tropic CDO IV Ltd.(a),(b) US0003M + 1.000% 1.1240  04/15/35   2,610,000 
               17,006,489 
    CLO — 7.4%            
 750,000  BlueMountain CLO 2013-2 Ltd.(a),(b) US0003M + 1.300% 1.4280  10/22/30   749,998 
 828,620  Cutwater 2014-I Ltd.(a),(b) US0003M + 1.700% 1.8240  07/15/26   828,956 
 1,000,000  Deerpath Capital CLO 2018-1 LTD(a),(b) US0003M + 3.500% 3.6240  01/15/31   1,001,110 
 1,000,000  Deerpath Capital CLO 2020-1 LTD(a),(b) US0003M + 3.900% 4.0220  04/17/32   998,987 
 2,500,000  Ellington Clo II Ltd.(a),(b) US0003M + 2.900% 3.0560  02/15/29   2,490,964 
 500,000  Ellington Clo III Ltd.(a),(b) US0003M + 3.740% 3.8720  07/20/30   484,618 
 200,000  GC FTPYME Pastor 4 FTA EUR003M + 2.400% 1.8370  07/15/45   123,081 
 1,345,014  Halcyon Loan Advisors Funding 2013-1 Ltd.(a),(b) US0003M + 3.500% 3.6240  04/15/25   1,316,621 
 3,140,785  Halcyon Loan Advisors Funding 2013-2 Ltd.(a),(b),(g) US0003M + 3.800% 3.9320  08/01/25   2,788,087 
 1,193,948  Halcyon Loan Advisors Funding 2014-2 Ltd.(a),(b) US0003M + 2.700% 2.8360  04/28/25   1,196,073 
 1,500,000  Halcyon Loan Advisors Funding 2014-2 Ltd.(a),(b) US0003M + 3.500% 3.6360  04/28/25   1,469,604 
 1,500,000  Halcyon Loan Advisors Funding 2014-3 Ltd.(a),(b) US0003M + 3.650% 3.7780  10/22/25   1,303,332 
 250,000  Nassau 2018-I Ltd.(a),(b) US0003M + 5.850% 5.9740  07/15/31   216,743 
 500,000  Peaks CLO 2 Ltd.(a),(b) US0003M + 3.600% 3.7320  07/20/31   500,125 
 2,750,000  Peaks CLO 2 Ltd.(a),(b) US0003M + 5.000% 5.1320  07/20/31   2,709,665 
 500,000  Steele Creek Clo 2018-2 Ltd.(a),(b) US0003M + 3.400% 3.5600  08/18/31   489,108 
 1,000,000  Z Capital Credit Partners CLO 2018-1 Ltd.(a),(b) US0003M + 2.450% 2.5720  01/16/31   1,000,550 
 500,000  Zais Clo 13 Ltd.(a),(b) US0003M + 4.520% 4.6440  07/15/32   477,261 

 

See accompanying notes to financial statements.

27

 

EASTERLY STRUCTURED CREDIT VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

 

Principal      Coupon Rate      
Amount ($)    Spread (%) Maturity  Fair Value 
    ASSET BACKED SECURITIES — 67.9% (Continued)            
    CLO — 7.4% (Continued)            
 2,000,000  Zais CLO 2 Ltd(a),(b) US0003M + 3.650% 3.7740  07/25/26  $2,006,900 
               22,151,783 
    COLLATERALIZED MORTGAGE OBLIGATIONS — 28.8%            
 231,345  ABN Amro Mortgage Corporation   5.5000  10/25/33   238,050 
 739,150  Adjustable Rate Mortgage Trust 2005-6A(b) US0001M + 0.840% 0.9320  11/25/35   274,578 
 93,266  Agate Bay Mortgage Trust 2014-3(a),(b)   3.8300  11/25/44   93,893 
 52,622  Alternative Loan Trust 1998-4(d)   6.4920  08/25/28   53,957 
 24,797  Alternative Loan Trust 2003-22CB   5.7500  12/25/33   25,836 
 130,961  Alternative Loan Trust 2003-J2 Series 2003-J2 Class A1   6.0000  10/25/33   135,038 
 157,168  Alternative Loan Trust 2003-J3   5.2500  11/25/33   162,106 
 48,600  Alternative Loan Trust 2003-J3   6.2500  12/25/33   50,234 
 67,370  Alternative Loan Trust 2004-15(b)   2.2410  09/25/34   65,343 
 13,684  Alternative Loan Trust 2004-16CB   5.5000  07/25/34   14,051 
 9,177,588  Alternative Loan Trust 2004-24CB   6.0000  11/25/34   9,596,546 
 526,466  Alternative Loan Trust 2004-28CB   5.7500  01/25/35   536,585 
 99,894  Alternative Loan Trust 2004-28CB   6.0000  01/25/35   102,436 
 140,697  Alternative Loan Trust 2004-J10   6.0000  09/25/34   146,517 
 695,611  Alternative Loan Trust 2004-J10   5.5000  11/25/34   713,862 
 26,377  Alternative Loan Trust 2004-J10   5.0000  10/25/53   26,332 
 72,677  Alternative Loan Trust 2004-J11   7.2500  08/25/32   77,615 
 150,444  Alternative Loan Trust 2004-J8   7.0000  08/25/34   146,904 
 102,677  Alternative Loan Trust 2005-14(b) US0001M + 0.420% 0.3020  05/25/35   95,298 
 237,938  Alternative Loan Trust 2005-27(b) 12MTA + 1.350% 1.4330  08/25/35   214,072 
 41,726  Alternative Loan Trust 2005-3CB   5.0000  03/25/35   37,567 
 45,073  Alternative Loan Trust 2005-54CB   5.5000  11/25/35   42,104 
 125,352  Alternative Loan Trust 2005-61(b) US0001M + 0.560% 0.6520  12/25/35   125,290 
 172,536  Alternative Loan Trust 2005-6CB   5.5000  04/25/35   170,940 
 180,511  Alternative Loan Trust 2005-72(b) US0001M + 0.600% 0.6920  01/25/36   161,787 
 50,027  Alternative Loan Trust 2005-J11   6.0000  10/25/35   35,364 
 58,138  Alternative Loan Trust 2005-J11   5.5000  11/25/35   43,873 
 165,095  Alternative Loan Trust 2005-J8   5.5000  07/25/35   153,663 
 106,976  Alternative Loan Trust 2006-40T1   6.0000  12/25/36   49,066 
 50,000  Alternative Loan Trust Resecuritization 2005-12R   6.0000  11/25/34   50,636 
 117,451  American Home Mortgage Investment Trust 2004-1(b) US0006M + 2.000% 2.1940  04/25/44   110,223 

 

See accompanying notes to financial statements.

28

 

EASTERLY STRUCTURED CREDIT VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

 

Principal      Coupon Rate      
Amount ($)    Spread (%) Maturity  Fair Value 
    ASSET BACKED SECURITIES — 67.9% (Continued)            
    COLLATERALIZED MORTGAGE OBLIGATIONS — 28.8% (Continued)      
 3,000,000  Angel Oak Mortgage Trust I, LLC 2019-2   6.2860  03/25/49  $3,023,275 
 3,000,000  Angel Oak Mortgage Trust I, LLC 2019-4(a),(c)   4.4120  07/26/49   3,004,808 
 287,728  Banc of America Alternative Loan Trust 2003-8   5.5000  10/25/33   298,674 
 203,617  Banc of America Alternative Loan Trust 2004-6   6.0000  07/25/34   209,575 
 45,340  Banc of America Funding 2004-C Trust(b) US0001M + 0.660% 0.4210  12/20/34   45,042 
 46,370  Banc of America Funding 2005-E Trust(b) COF 11 + 1.430% 1.6550  06/20/35   39,472 
 1,052,075  Banc of America Funding 2006-I Trust(c)   3.1740  10/20/46   927,704 
 108,007  Banc of America Funding 2007-2 Trust(e)   6.0000  03/25/37   21,557 
 101,987  Banc of America Funding 2015-R4 Trust(a),(b) US0001M + 0.150% 0.2390  10/25/36   100,920 
 27,506  Banc of America Mortgage 2002-L Trust(c)   3.0770  12/25/32   24,179 
 56,464  Banc of America Mortgage 2005-F Trust(c)   2.4790  07/25/35   51,114 
 370,741  BCAP, LLC 2011-RR5-I Trust(a),(d)   4.7900  03/26/37   385,145 
 6,712  Bear Stearns ALT-A Trust 2004-11(c)   2.5290  11/25/34   6,637 
 63,959  Bear Stearns ARM Trust 2003-5(c)   2.2500  08/25/33   63,884 
 6,825  Bear Stearns ARM Trust 2003-7(c)   2.3230  10/25/33   7,037 
 13,976  Bear Stearns ARM Trust 2004-1(c)   2.0700  04/25/34   13,129 
 156,424  Bear Stearns ARM Trust 2004-1(c)   2.8000  04/25/34   153,784 
 59,701  Bear Stearns ARM Trust 2004-10(c)   2.7590  01/25/35   60,861 
 150,238  Bear Stearns ARM Trust 2004-6(c)   2.0880  09/25/34   138,549 
 55,575  Bear Stearns ARM Trust 2004-8(c)   2.1580  11/25/34   53,769 
 603,472  Bear Stearns Asset Backed Securities I Trust   6.0000  03/25/36   291,237 
 718,113  Bear Stearns Asset Backed Securities Trust(d)   5.5000  01/25/34   733,844 
 62,596  Bear Stearns Structured Products Inc Trust 2007-R6(c)   2.7110  01/26/36   51,488 
 54,772  Bella Vista Mortgage Trust 2004-1(b) US0001M + 0.700% 0.7890  11/20/34   54,236 
 107,164  BlackRock Capital Finance, L.P.(a),(c)   3.5020  12/25/35   81,086 
 562,822  Cascade Funding Mortgage Trust 2018-RM2(a),(c),(f)     10/25/68   563,826 
 275,238  Cascade Funding Mortgage Trust 2019-RM3(a),(c)   4.0000  06/25/69   271,403 
 105,094  CDMC Mortgage Pass-Through Certificates Series(c)   5.4790  09/25/34   106,532 
 84,403  CDMC Mortgage Pass-Through Certificates Series(c)   5.1050  02/18/35   86,581 
 1,085,959  Cendant Mortgage Capital, LLC CDMC Mort Pas Thr Ce   5.5000  02/25/34   1,127,246 
 203,635  Chase Mortgage Finance Trust Series 2004-S2   5.5000  02/25/34   210,299 
 523,444  Chase Mortgage Finance Trust Series 2007-S3(f)     05/25/37   174,957 
 290,967  Chase Mortgage Finance Trust Series 2007-S3(e)   6.0000  05/25/37   69,323 
 282,057  Chevy Chase Funding, LLC Mortgage-Backed(a),(b) US0001M + 0.250% 0.3420  10/25/36   209,466 

 

See accompanying notes to financial statements.

29

 

EASTERLY STRUCTURED CREDIT VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

 

Principal      Coupon Rate      
Amount ($)    Spread (%) Maturity  Fair Value 
    ASSET BACKED SECURITIES — 67.9% (Continued)            
    COLLATERALIZED MORTGAGE OBLIGATIONS — 28.8% (Continued)      
 125,996  CHL Mortgage Pass-Through Trust 2002-19   6.2500  11/25/32  $127,657 
 152,377  CHL Mortgage Pass-Through Trust 2002-39   5.7500  02/25/33   153,071 
 850,779  CHL Mortgage Pass-Through Trust 2003-48(c)   2.2870  10/25/33   804,826 
 108,327  CHL Mortgage Pass-Through Trust 2003-60(c)   2.2410  02/25/34   105,392 
 44,122  CHL Mortgage Pass-Through Trust 2004-14(c)   2.4440  08/25/34   43,608 
 186,220  CHL Mortgage Pass-Through Trust 2004-23(c)   2.1010  11/25/34   162,825 
 41,487  CHL Mortgage Pass-Through Trust 2004-3   5.7500  04/25/34   42,612 
 95,055  CHL Mortgage Pass-Through Trust 2004-5   5.2500  05/25/34   99,305 
 118,695  CHL Mortgage Pass-Through Trust 2004-5   5.5000  05/25/34   124,160 
 92,857  CHL Mortgage Pass-Through Trust 2004-6(c)   2.3900  05/25/34   95,374 
 29,000  CHL Mortgage Pass-Through Trust 2004-8   5.7500  07/25/34   29,616 
 74,737  CHL Mortgage Pass-Through Trust 2004-HYB2(c)   2.3660  07/20/34   72,482 
 73,407  CHL Mortgage Pass-Through Trust 2004-HYB5(c)   2.5030  04/20/35   70,146 
 169,423  CHL Mortgage Pass-Through Trust 2004-J5   5.5000  07/25/34   169,848 
 82,086  CHL Mortgage Pass-Through Trust 2004-J9   5.5000  01/25/35   84,391 
 605,080  CHL Mortgage Pass-Through Trust 2005-J2   5.0000  08/25/35   455,716 
 141,639  CHL Mortgage Pass-Through Trust 2006-J1   6.0000  02/25/36   91,965 
 52,635  CHL Mortgage Pass-Through Trust 2007-15   6.5000  09/25/37   29,396 
 166,058  Citicorp Mortgage Securities REMIC Pass-Through   5.5000  07/25/35   169,965 
 31,299  Citicorp Mortgage Securities Trust Series 2005-7   5.0000  10/25/55   32,397 
 55,462  Citicorp Mortgage Securities Trust Series 2006-6   6.0000  11/25/36   56,771 
 82,896  Citicorp Mortgage Securities Trust Series 2007-2(f)     02/25/37   52,978 
 222,600  Citicorp Mortgage Securities Trust Series 2007-4   6.0000  05/25/37   224,801 
 116,758  Citigroup Global Markets Mortgage Securities VII(c),(g)   5.7320  07/25/24   16,958 
 4,582  Citigroup Global Markets Mortgage Securities VII(c)   2.2320  09/25/32   4,132 
 338,316  Citigroup Mortgage Loan Trust 2009-4(a),(c)   5.4750  05/25/35   340,117 
 102,633  Citigroup Mortgage Loan Trust 2010-7(a),(c)   4.8260  07/25/36   102,466 
 11,390  Citigroup Mortgage Loan Trust 2010-9(a),(d)   5.7020  03/25/37   11,298 
 126,196  Citigroup Mortgage Loan Trust 2014-10(a),(c)   0.2580  02/25/37   122,872 
 145,027  Citigroup Mortgage Loan Trust 2019-C(a),(d)   3.2280  09/25/59   145,318 
 98,581  Citigroup Mortgage Loan Trust, Inc.   7.0000  06/25/31   98,646 
 20,213  Citigroup Mortgage Loan Trust, Inc.   5.2500  09/25/33   19,960 
 59,353  Citigroup Mortgage Loan Trust, Inc.   6.7500  08/25/34   63,017 
 200,175  Citigroup Mortgage Loan Trust, Inc.(c)   2.5310  10/25/35   132,367 

 

See accompanying notes to financial statements.

30

 

EASTERLY STRUCTURED CREDIT VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

 

Principal      Coupon Rate      
Amount ($)    Spread (%) Maturity  Fair Value 
    ASSET BACKED SECURITIES — 67.9% (Continued)            
    COLLATERALIZED MORTGAGE OBLIGATIONS — 28.8% (Continued)      
 71,741  CitiMortgage Alternative Loan Trust Series 2007-A6   6.0000  06/25/37  $74,790 
 300,000  COLT 2020-2 Mortgage Loan Trust(a),(c)   5.2500  03/25/65   305,277 
 156,321  Credit Suisse First Boston Mortgage Securities(c)   4.3820  11/25/31   159,099 
 532,449  Credit Suisse First Boston Mortgage Securities(c)   7.2000  01/25/32   532,504 
 91,825  Credit Suisse First Boston Mortgage Securities Series 2003-11- 1A31 5.5000  06/25/33   94,321 
 767,716  Credit Suisse First Boston Mortgage Securities   5.2500  07/25/33   786,386 
 33,542  Credit Suisse First Boston Mortgage Securities   5.2500  09/25/33   33,479 
 82,457  Credit Suisse First Boston Mortgage Securities   5.5000  10/25/33   86,711 
 247,370  Credit Suisse First Boston Mortgage Securities   5.5000  10/25/33   260,464 
 246,429  Credit Suisse First Boston Mortgage Securities   5.5000  10/25/34   248,154 
 129,846  Credit Suisse First Boston Mortgage Securities(b) US0001M + 0.650% 0.7420  09/25/35   93,684 
 7,154  CSFB Mortgage-Backed Pass-Through Certificates   5.2500  11/25/22   1,833 
 358,379  CSFB Mortgage-Backed Pass-Through Certificates   7.5000  03/25/32   387,352 
 109,159  CSFB Mortgage-Backed Pass-Through Certificates(c)   1.8020  10/25/33   110,511 
 83,839  CSFB Mortgage-Backed Pass-Through Certificates   5.7500  11/25/33   86,464 
 134,100  CSFB Mortgage-Backed Pass-Through Certificates(b) US0001M + 0.740% 0.8320  06/25/34   135,104 
 549,459  CSFB Mortgage-Backed Pass-Through Certificates   6.0000  08/25/34   556,562 
 38,928  CSFB Mortgage-Backed Pass-Through Certificates   5.7500  07/25/35   40,314 
 71,684  CSMC Series 2010-18R(a),(c)   2.4010  04/26/38   71,916 
 312,818  CSMC Trust 2007-5R   6.5000  07/26/36   115,926 
 1,346,980  CSMC Trust 2010-16(a),(c)   3.6220  06/25/50   1,233,563 
 1,364,346  CSMC Trust 2013-IVR5(a),(c)   3.6130  10/25/43   1,372,985 
 37,305  Deutsche Mortgage Sec Inc Mort Loan Tr Ser 2004-1   5.5000  09/25/33   38,549 
 1,080,592  Deutsche Mortgage Securities Inc REMIC Trust(a),(c)   3.1800  04/28/37   1,089,929 
 2,121  DLJ Mortgage Acceptance Corporation   6.7500  01/25/24   1,917 
 50,785  DSLA Mortgage Loan Trust 2004-AR4(b) US0001M + 0.720% 0.8090  01/19/45   44,494 
 281,667  Fannie Mae Trust 2005-W3(c)   3.3050  04/25/45   293,537 
 83,374  First Horizon Alternative Mortgage Securities   6.2500  08/25/37   52,916 
 82,563  First Horizon Mortgage Pass-Through Trust 2005-AR5(c)   2.6250  10/25/35   48,560 
 66,464  First Horizon Mortgage Pass-Through Trust 2005-AR5(c)   2.6250  11/25/35   64,558 
 143,015  First Horizon Mortgage Pass-Through Trust 2006-AR3(c)   2.5660  11/25/36   109,272 
 28,809  Freddie Mac Structured Pass-Through Certificates(b) 12MTA + 1.400% 1.4830  07/25/44   29,667 
 27,337  Freddie Mac Structured Pass-Through Certificates(b) 12MTA + 1.200% 1.2830  10/25/44   28,022 
 2,149,379  Galton Funding Mortgage Trust 2017-1(a),(c)   4.3370  07/25/56   2,238,963 

 

See accompanying notes to financial statements.

31

 

EASTERLY STRUCTURED CREDIT VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

 

Principal      Coupon Rate      
Amount ($)    Spread (%) Maturity  Fair Value 
    ASSET BACKED SECURITIES — 67.9% (Continued)            
    COLLATERALIZED MORTGAGE OBLIGATIONS — 28.8% (Continued)      
 132,570  GMACM Mortgage Loan Trust 2004-J2   5.7500  06/25/34  $135,126 
 19,922  GMACM Mortgage Loan Trust 2005-AR3(c)   2.7910  06/19/35   19,641 
 1,937,549  GMACM Mortgage Loan Trust 2005-AR4(c)   3.5600  07/19/35   1,897,297 
 660,253  Government National Mortgage Association(c),(e)   1.7550  10/20/62   26,643 
 1,725,779  Government National Mortgage Association(c),(e)   2.0670  11/20/66   130,546 
 211,405  GS Mortgage Securities Corporation II(a),(b) US0001M + 0.350% 0.4410  03/20/23   199,405 
 749,351  GS Mortgage-Backed Securities Trust(a),(c)   2.4560  07/25/44   750,374 
 1,576,046  GSMPS Mortgage Loan Trust(a),(c)   8.5000  06/19/29   1,546,955 
 1,304,207  GSMPS Mortgage Loan Trust 2004-4(a),(b) US0001M + 0.400% 0.4920  06/25/34   1,156,291 
 738,353  GSMPS Mortgage Loan Trust 2004-4(a)   7.5000  06/25/34   782,614 
 403,153  GSMPS Mortgage Loan Trust 2004-4(a)   8.0000  06/25/34   435,351 
 40,672  GSMPS Mortgage Loan Trust 2005-RP2(a),(b) US0001M + 0.350% 0.4420  03/25/35   38,651 
 203,794  GSMPS Mortgage Loan Trust 2005-RP3(a),(b) US0001M + 0.350% 0.4420  09/25/35   169,747 
 147,192  GSMPS Mortgage Loan Trust 2006-RP1(a)   7.5000  01/25/36   152,940 
 847,901  GSMSC Pass-Through Trust 2008-2R(a),(c)   7.5000  10/25/36   331,942 
 204,862  GSR Mortgage Loan Trust 2004-13F   4.2500  11/25/34   211,631 
 52,495  GSR Mortgage Loan Trust 2005-4F   6.5000  02/25/35   53,398 
 10,909  GSR Mortgage Loan Trust 2005-6F   5.2500  07/25/35   11,124 
 29,068  GSR Mortgage Loan Trust 2005-8F   6.0000  11/25/35   16,998 
 63,861  GSR Mortgage Loan Trust 2005-AR3(b) US0001M + 0.440% 0.5320  05/25/35   59,378 
 14,846  GSR Mortgage Loan Trust 2005-AR3(b) US0001M + 0.440% 0.5320  05/25/35   14,190 
 138,005  GSR Mortgage Loan Trust 2006-1F   6.0000  02/25/36   95,755 
 87,884  GSR Mortgage Loan Trust 2007-AR2(c)   2.7890  05/25/37   65,409 
 85,000  HomeBanc Mortgage Trust 2005-3(b) US0001M + 0.765% 0.8570  07/25/35   85,411 
 215,545  HSI Asset Loan Obligation Trust 2007-1   6.5000  06/25/37   119,956 
 286,155  HSI Asset Loan Obligation Trust 2007-AR1(c)   4.0540  01/25/37   263,156 
 205,975  HSI Asset Loan Obligation Trust 2007-AR2(c)   2.4390  09/25/37   187,509 
 84,818  Impac CMB Trust Series 2003-2F(d)   6.5700  01/25/33   86,555 
 82,577  Impac CMB Trust Series 2003-4(d)   5.7290  07/25/33   84,206 
 37,436  Impac CMB Trust Series 2004-7(b) US0001M + 1.800% 1.8920  11/25/34   37,144 
 168,489  Impac CMB Trust Series 2005-4(b) US0001M + 0.750% 1.2170  05/25/35   159,742 
 261,712  Impac Secured Assets CMN Owner Trust   6.0000  08/25/33   263,509 
 117,500  Impac Secured Assets Trust 2006-1 Series 2006-1-2A1(b) US0001M + 0.700% 0.7920  05/25/36   114,334 
 10,170  IndyMac INDX Mortgage Loan Trust 2004-AR11(c)   2.9210  12/25/34   10,539 

 

See accompanying notes to financial statements.

32

 

EASTERLY STRUCTURED CREDIT VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

 

Principal      Coupon Rate      
Amount ($)    Spread (%) Maturity  Fair Value 
    ASSET BACKED SECURITIES — 67.9% (Continued)            
    COLLATERALIZED MORTGAGE OBLIGATIONS — 28.8% (Continued)      
 255,698  JP Morgan Alternative Loan Trust(b),(e) US0001M + 7.150% 7.0580  12/25/35  $68,808 
 31,633  JP Morgan Mortgage Trust 2004-S2   6.0000  11/25/34   32,126 
 39,202  JP Morgan Mortgage Trust 2005-A7(c)   2.8510  10/25/35   41,050 
 20,515  JP Morgan Mortgage Trust 2006-A4(c)   2.9750  06/25/36   16,869 
 859,433  JP Morgan Mortgage Trust 2014-IVR3(a),(c)   2.3970  09/25/44   863,934 
 3,450,838  JP Morgan Mortgage Trust 2014-IVR3(a),(c)   2.3970  09/25/44   3,467,697 
 159,887  JP Morgan Tax-Exempt Pass-Through Trust Series(a),(c)   3.0000  10/27/42   166,810 
 1,000,000  Multifamily Connecticut Avenue Securities Trust 2019-01(a),(c)   3.3416  10/15/49   1,008,451 
 1,000,000  La Hipotecaria Panamanian Mortgage Trust 2021-1(a)   4.3500  06/13/51   1,022,000 
 180,850  Lehman Mortgage Trust 2006-2   5.7500  04/25/36   184,034 
 39,988  MASTR Adjustable Rate Mortgages Trust 2003-1(c)   2.9980  12/25/32   37,525 
 28,862  MASTR Adjustable Rate Mortgages Trust 2003-2(c)   2.2790  07/25/33   29,400 
 34,658  MASTR Adjustable Rate Mortgages Trust 2003-6(c)   1.8150  12/25/33   34,467 
 23,921  MASTR Adjustable Rate Mortgages Trust 2003-6(c)   2.2500  12/25/33   23,570 
 246,193  MASTR Adjustable Rate Mortgages Trust 2004-15(c)   2.1970  12/25/34   244,802 
 201,684  MASTR Alternative Loan Trust 2003-3(c)   6.1530  05/25/33   198,442 
 54,596  MASTR Alternative Loan Trust 2003-5   5.5000  06/25/33   56,894 
 61,629  MASTR Alternative Loan Trust 2003-7   6.5000  12/25/33   66,428 
 203,756  MASTR Alternative Loan Trust 2004-1   5.5000  02/25/34   213,435 
 95,706  MASTR Alternative Loan Trust 2004-3   6.2500  04/25/34   100,327 
 530,125  MASTR Alternative Loan Trust 2004-3   6.5000  04/25/34   567,229 
 41,933  MASTR Alternative Loan Trust 2004-4   5.5000  05/25/34   43,642 
 439,455  MASTR Alternative Loan Trust 2004-6   5.5000  07/25/34   458,759 
 90,758  MASTR Alternative Loan Trust 2004-6   6.0000  07/25/34   95,214 
 76,886  MASTR Alternative Loan Trust 2004-6   6.0000  07/25/34   79,536 
 1,430,112  MASTR Alternative Loan Trust 2004-6   6.2500  07/25/34   1,483,019 
 594,952  MASTR Alternative Loan Trust 2004-6   6.5000  07/25/34   599,480 
 62,529  MASTR Alternative Loan Trust 2004-7   6.0000  06/25/34   67,773 
 1,556,517  MASTR Alternative Loan Trust 2004-7   6.0000  08/25/34   1,658,346 
 2,336  MASTR Alternative Loan Trust 2005-1   5.5000  01/25/23   2,326 
 300,341  MASTR Alternative Loan Trust 2005-2   5.0000  03/25/43   292,026 
 36,312  MASTR Alternative Loan Trust 2007-1(f)     10/25/36   24,315 
 866,093  MASTR Alternative Loan Trust 2007-HF1(f)     10/25/47   68,823 
 50,016  MASTR Asset Securitization Trust 2003-11   5.5000  12/25/33   50,664 

 

See accompanying notes to financial statements.

33

 

EASTERLY STRUCTURED CREDIT VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

  

Principal      Coupon Rate      
Amount ($)    Spread (%) Maturity  Fair Value 
    ASSET BACKED SECURITIES — 67.9% (Continued)            
    COLLATERALIZED MORTGAGE OBLIGATIONS — 28.8% (Continued)      
 25,104  MASTR Asset Securitization Trust 2003-11   5.5000  12/25/33  $25,597 
 20,913  MASTR Asset Securitization Trust 2003-12   5.0000  12/25/33   21,338 
 51,971  MASTR Asset Securitization Trust 2003-12   5.0000  12/25/33   47,443 
 16,221  MASTR Asset Securitization Trust 2004-1   5.5000  02/25/34   16,443 
 81,518  MASTR Asset Securitization Trust 2005-1   5.5000  05/25/35   73,324 
 53,591  MASTR Reperforming Loan Trust 2005-1(a)   8.0000  08/25/34   54,654 
 21,251  MASTR Reperforming Loan Trust 2005-2(a)   8.0000  05/25/35   20,805 
 169,053  MASTR Reperforming Loan Trust 2006-2(a),(c)   3.4020  05/25/36   167,694 
 394,050  MASTR Seasoned Securitization Trust 2003-1   6.0000  02/25/33   412,918 
 51,512  MASTR Seasoned Securitization Trust 2005-1(c)   2.3800  10/25/32   45,819 
 880,000  Mello Mortgage Capital Acceptance 2018-MTG2(a),(c)   4.4040  10/25/48   886,820 
 40,202  Merrill Lynch Mortgage Investors Trust MLMI Series(c)   2.3310  05/25/33   38,596 
 38,022  Merrill Lynch Mortgage Investors Trust Series(c)   2.4640  09/25/33   38,001 
 116,359  Morgan Stanley Dean Witter Capital I Inc Trust(c)   1.5440  03/25/33   112,106 
 47,029  Morgan Stanley Mortgage Loan Trust 2004-10AR(c)   2.5070  11/25/34   47,124 
 31,518  Morgan Stanley Mortgage Loan Trust 2004-8AR(c)   1.0830  10/25/34   29,840 
 33,027  Morgan Stanley Mortgage Loan Trust 2004-8AR(c)   2.4150  10/25/34   33,868 
 80,065  Morgan Stanley Mortgage Loan Trust 2005-10   6.0000  12/25/35   44,853 
 24,755  Morgan Stanley Mortgage Loan Trust 2006-8AR(c)   2.0000  06/25/36   24,973 
 206,131  MortgageIT Trust 2004-2(b) US0001M + 3.225% 3.3170  12/25/34   213,384 
 413,754  MortgageIT Trust 2005-3(b) US0001M + 0.795% 0.8870  08/25/35   406,150 
 262,918  MRFC Mortgage Pass-Through Trust Series 2000-TBC3(a),(c)   2.4120  12/15/30   242,939 
 946,390  National City Mortgage Capital Trust   6.0000  03/25/38   984,074 
 46,153  National City Mortgage Capital Trust   6.0000  03/25/38   48,016 
 418,179  New Residential Mortgage Loan Trust 2017-2(a),(c)   4.7500  03/25/57   425,611 
 124,750  New Residential Mortgage Loan Trust 2020-1(a),(c)   3.5000  10/25/59   129,866 
 188,221  Nomura Asset Acceptance Corp Alternative Loan(a)   7.5000  03/25/34   193,439 
 108,195  Nomura Asset Acceptance Corp Alternative Loan(d)   5.9570  03/25/47   113,324 
 2,113  PHH Mortgage Trust Series 2008-CIM1(b) US0001M + 2.250% 2.3360  05/25/38   2,123 
 488,010  PHH Mortgage Trust Series 2008-CIM1   6.0000  05/25/38   513,048 
 656,381  PHHMC Series 2005-4 Trust(c)   5.3110  07/18/35   673,141 
 1,923,055  Point Securitization Trust (a),(c)   3.2280  02/25/52   1,930,266 
 623,068  Prime Mortgage Trust 2003-3   5.5000  01/25/34   638,366 
 34,526  RAAC Series 2005-SP1 Trust   7.0000  09/25/34   36,034 

 

See accompanying notes to financial statements.

34

 

EASTERLY STRUCTURED CREDIT VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

 

Principal      Coupon Rate      
Amount ($)    Spread (%) Maturity  Fair Value 
    ASSET BACKED SECURITIES — 67.9% (Continued)            
    COLLATERALIZED MORTGAGE OBLIGATIONS — 28.8% (Continued)      
 223,485  Radnor RE 2019-1 Ltd.(a),(b) US0001M + 1.950% 2.0420  02/25/29  $223,654 
 121,394  RALI Series 2005-QA12 Trust(c)   3.5040  12/25/35   68,381 
 23,517  RBSGC Mortgage Loan Trust 2007-B(c)   3.8120  07/25/35   21,816 
 438,468  RBSGC Structured Trust 2008-A(a),(c)   5.5000  11/25/35   424,071 
 16,797  RBSSP Resecuritization Trust 2009-10(a),(c)   35.7440  01/26/37   19,206 
 132,204  Reperforming Loan REMIC Trust 2006-R2(a),(b) US0001M + 0.420% 0.5120  07/25/36   120,284 
 171,675  Resecuritization Pass-Through Trust 2005-8R   6.0000  10/25/34   179,156 
 11,000  Residential Asset Securitization Trust 2002-A12   5.7500  11/25/32   11,370 
 171,000  Residential Asset Securitization Trust 2003-A10   5.2000  09/25/33   175,729 
 153,665  RESIMAC Bastille Trust Series 2019-1NC(a),(b) US0001M + 0.930% 1.0150  09/05/57   154,456 
 21,829  RFMSI Series 2005-SA4 Trust(c)   2.2530  09/25/35   19,304 
 1,000,000  RMF Proprietary Issuance Trust(a),(c)   2.1250  09/25/61   909,563 
 2,916  Ryland Mortgage Securities Corporation(c)   1.6150  04/29/30   2,928 
 1,376,302  Saluda Grade Alternative Mortgage Trust 2020-FIG1(a)   3.3210  09/25/50   1,384,333 
 47,402  Seasoned Credit Risk Transfer Trust Series 2017-3(a),(f)     07/25/56   16,571 
 52,441  Sequoia Mortgage Trust 2004-10(b) US0001M + 0.620% 0.7110  11/20/34   51,984 
 80,369  Sequoia Mortgage Trust 2005-2(b) US0001M + 0.440% 0.5310  03/20/35   79,486 
 1,377,610  Sequoia Mortgage Trust 2013-10(a),(c)   3.5500  08/25/43   1,393,302 
 100,000  Spruce Hill Mortgage Loan Trust 2020-SH1(a),(c)   4.6760  01/28/50   100,477 
 82,311  Structured Adjustable Rate Mortgage Loan Trust(c)   2.6170  03/25/34   79,684 
 79,508  Structured Adjustable Rate Mortgage Loan Trust(c)   2.6470  12/25/34   76,957 
 105,223  Structured Adjustable Rate Mortgage Loan Trust(c)   2.5560  03/25/35   96,710 
 445,937  Structured Adjustable Rate Mortgage Loan Trust(c)   2.9670  07/25/35   332,581 
 8,648  Structured Adjustable Rate Mortgage Loan Trust(b) US0001M + 0.380% 0.4720  09/25/36   8,184 
 41,358  Structured Asset Sec Corp Mort Passthr Certs Ser(c)   2.8320  01/25/34   42,011 
 72,423  Structured Asset Securities Corp Mortgage(c)   2.5200  11/25/30   37,369 
 14,990  Structured Asset Securities Corporation(b) US0001M + 0.780% 0.8660  12/25/33   13,951 
 17,878  Structured Asset Securities Corporation(d)   5.1340  02/25/34   18,261 
 98,772  Structured Asset Securities Corporation(a),(b) US0001M + 0.350% 0.4420  04/25/35   93,303 
 159,220  Structured Asset Securities Corporation(a),(c)   3.3980  06/25/35   146,102 
 593,000  Verus Securitization Trust 2020-INV1(a),(c)   5.5000  04/25/60   622,298 
 538,000  Vista Point Securitization Trust 2020-1(a),(c)   4.1510  03/25/65   548,365 
 65,553  WaMu Mortgage Pass-Through Certificates Series(c)   2.6670  11/25/32   61,514 
 57,442  WaMu Mortgage Pass-Through Certificates Series(c)   2.5720  01/25/33   59,247 

 

See accompanying notes to financial statements.

35

 

EASTERLY STRUCTURED CREDIT VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

  

Principal      Coupon Rate      
Amount ($)    Spread (%) Maturity  Fair Value 
    ASSET BACKED SECURITIES — 67.9% (Continued)            
    COLLATERALIZED MORTGAGE OBLIGATIONS — 28.8% (Continued)      
 71,958  WaMu Mortgage Pass-Through Certificates Series   5.5000  06/25/33  $72,627 
 62,961  WaMu Mortgage Pass-Through Certificates Series   5.5000  06/25/33   63,092 
 591,338  WaMu Mortgage Pass-Through Certificates Series(c)   5.6350  06/25/33   616,232 
 23,154  WaMu Mortgage Pass-Through Certificates Series(c)   2.5140  09/25/33   22,246 
 33,948  WaMu Mortgage Pass-Through Certificates Series Series 2002-AR2-A(b) COF 11 + 1.250% 1.4750  02/27/34   32,288 
 101,276  WaMu Mortgage Pass-Through Certificates Series   6.0000  07/25/34   104,476 
 61,859  WaMu Mortgage Pass-Through Certificates Series(c)   2.9520  03/25/36   62,144 
 57,138  WaMu Mortgage Pass-Through Certificates Series(b) US0001M + 0.640% 0.7320  01/25/45   57,064 
 146,896  WaMu Mortgage Pass-Through Certificates Series(c)   2.8550  08/25/46   108,398 
 102,831  Washington Mutual MSC Mortgage Pass-Through   5.7500  02/25/33   103,927 
 199,938  Washington Mutual MSC Mortgage Pass-Through   5.5000  03/25/33   207,237 
 91,709  Washington Mutual MSC Mortgage Pass-Through   7.5000  04/25/33   94,395 
 14,481  Washington Mutual MSC Mortgage Pass-Through(a),(c)   2.5390  01/25/35   12,563 
 3,093,952  Wells Fargo Mortgage Backed Securities 2018-1(a),(c)   3.6940  07/25/47   3,142,881 
               85,660,504 
    CREDIT CARD — 0.3%            
 750,000  Mercury Financial Credit Card Master Trust Series 2021-1A B(a) 2.3300  03/20/26   750,765 
               
    HOME EQUITY — 3.5%            
 68,106  ABFC 2004-OPT2 Trust(b) US0001M + 0.560% 0.6520  10/25/33   66,127 
 92,977  American Residential Home Equity Loan Trust 1998-1(b) US0001M + 2.175% 2.2670  05/25/29   97,009 
 631,331  Ameriquest Mort Sec Inc Ass Bk Pas Thr Certs Ser(b) US0001M + 2.655% 2.7470  08/25/32   638,556 
 104,608  Ameriquest Mortgage Securities, Inc.(d)   3.9830  05/25/34   106,176 
 571,948  Argent Securities Inc Asset-Backed Pass-Through(b) US0001M + 5.625% 3.9460  09/25/33   578,066 
 634,261  Bayview Financial Asset Trust 2007-SSR1(a),(b) US0001M + 0.450% 0.5420  03/25/37   618,860 
 1,905,229  Bayview Financial Mortgage Pass-Through Trust(a),(b) US0001M + 1.500% 1.5930  02/28/40   1,756,746 
 177,898  Bear Stearns Asset Backed Securities I Trust(b) US0001M + 2.100% 2.1920  06/25/34   179,642 
 470,576  Bear Stearns Asset Backed Securities Trust 2004-1(b) US0001M + 0.975% 1.0670  06/25/34   480,102 
 224,633  Bear Stearns Home Loan Owner Trust 2001-A(d)   10.5000  02/15/31   233,284 
 48,899  Chase Funding Loan Acquisition Trust Series   4.7500  12/25/34   48,698 
 318,985  CHEC Loan Trust 2004-1(a),(b) US0001M + 0.975% 1.0670  07/25/34   317,287 
 199,576  Delta Funding Home Equity Loan Trust 1999-2(b) US0001M + 0.320% 0.7300  08/15/30   189,106 
 173,539  Delta Funding Home Equity Loan Trust 1999-3(d)   8.0610  09/15/29   174,282 

 

See accompanying notes to financial statements.

36

 

EASTERLY STRUCTURED CREDIT VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

  

Principal      Coupon Rate      
Amount ($)    Spread (%) Maturity  Fair Value 
    ASSET BACKED SECURITIES — 67.9% (Continued)            
    HOME EQUITY — 3.5% (Continued)            
 424,490  Delta Funding Home Equity Loan Trust 2000-1(d)   8.0900  05/15/30  $422,326 
 78,875  First Alliance Mortgage Loan Trust 1999-1(d)   7.1800  06/20/30   81,228 
 111,590  GE Capital Mortgage Services Inc 1999-HE1 Trust(c)   6.7000  04/25/29   113,513 
 1,389,000  Mastr Asset Backed Securities Trust 2004-FRE1(b) US0001M + 2.700% 2.7920  07/25/34   1,391,838 
 288,094  Mastr Asset Backed Securities Trust 2005-NC1(b) US0001M + 0.750% 0.8420  12/25/34   287,047 
 213,627  Morgan Stanley A.B.S Capital I Inc Trust Series(b) US0001M + 3.900% 3.9920  03/25/33   215,171 
 279,823  New Century Home Equity Loan Trust Series 2003-B(b) US0001M + 0.975% 1.0670  10/25/33   265,999 
 5,697  NovaStar Mortgage Funding Trust Series 2003-2(b) US0001M + 4.725% 4.8170  09/25/33   5,943 
 66,480  RAAC Series 2004-SP1 Trust(b) US0001M + 0.700% 0.7920  03/25/34   64,256 
 288,051  RBSSP Resecuritization Trust 2010-4(a),(d)   5.8250  02/26/36   292,252 
 647,895  Renaissance Home Equity Loan Trust 2002-3(b) US0001M + 1.500% 1.5920  12/25/32   638,056 
 139,036  Renaissance Home Equity Loan Trust 2002-3(b) US0001M + 2.550% 2.6420  12/25/32   138,994 
 43,021  Saxon Asset Securities Trust 2001-2(d)   7.1700  03/25/29   45,424 
 61,432  Saxon Asset Securities Trust 2003-3(b) US0001M + 2.400% 2.4920  12/25/33   61,647 
 283,651  Saxon Asset Securities Trust 2003-3(d)   4.3170  12/25/33   280,288 
 477,539  Security National Mortgage Loan Trust 2005-2(a),(c)   6.2130  02/25/36   488,393 
 122,702  Soundview Home Loan Trust 2006-OPT4(b) US0001M + 0.300% 0.3920  06/25/36   121,752 
 213,328  Southern Pacific Secured Asset Corporation   7.3200  05/25/27   225,044 
               10,623,112 
    MANUFACTURED HOUSING — 1.4%            
 1,000,000  Cascade MH Asset Trust 2019-MH1 Series 2019-MH1 M(a),(c)   5.9850  11/01/44   1,046,712 
 473,411  Mid-State Capital Corp 2004-1 Trust   8.1140  08/15/37   500,977 
 2,500,000  Towd Point Mortgage Trust 2019-MH1(a),(c)   3.7500  11/25/58   2,528,889 
               4,076,578 
    NON AGENCY CMBS — 16.2%            
 723,000  Arbor Multifamily Mortgage Securities Trust(a)   1.7500  05/15/53   646,176 
 1,000,000  Arbor Multifamily Mortgage Securities Trust(a)   1.7500  05/15/53   859,715 
 175,000  Bancorp Commercial Mortgage 2018-CRE3 Trust Series 2018-CR3 D(a),(b) US0001M + 2.700% 2.7890  01/15/33   174,445 
 165,893  Bayview Commercial Asset Trust 2004-2(a),(b) US0001M + 1.770% 1.8620  08/25/34   166,127 
 70,092  Bayview Commercial Asset Trust 2005-2(a),(b) US0001M + 1.725% 1.8170  08/25/35   66,705 
 521,891  Bayview Commercial Asset Trust 2007-3(a),(b) US0001M + 0.340% 0.4320  07/25/37   487,067 
 1,290,101  Bayview Commercial Asset Trust 2007-3(a),(b) US0001M + 0.500% 0.5920  07/25/37   1,177,819 
 330,000  BMD2 Re-Remic Trust 2019-FRR1(a),(c)   3.4960  05/25/52   331,472 

 

See accompanying notes to financial statements.

37

 

EASTERLY STRUCTURED CREDIT VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

 

Principal      Coupon Rate      
Amount ($)    Spread (%) Maturity  Fair Value 
    ASSET BACKED SECURITIES — 67.9% (Continued)            
    NON AGENCY CMBS — 16.2% (Continued)            
 1,000,000  Capital Funding Mortgage Trust 2021-15(a),(b) US0001M + 3.150% 4.1500  03/15/24  $1,011,554 
 72,000  CD 2017-CD3 Mortgage Trust(a)   3.2500  02/10/50   57,153 
 3,872  CFCRE Commercial Mortgage Trust 2011-C2(a),(c)   5.3590  12/15/47   3,742 
 1,990,236  CG-CCRE Commercial Mortgage Trust 2014-FL1(a),(b) US0001M + 1.150% 1.2400  06/15/31   1,944,042 
 738,208  CG-CCRE Commercial Mortgage Trust 2014-FL2(a),(b) US0001M + 1.854% 1.9430  11/15/31   708,397 
 631,984  CNL Commercial Mortgage Loan Trust 2003-1(a),(b) US0001M + 0.500% 0.5900  05/15/31   612,531 
 23,845  COMM 2010-C1 Mortgage Trust(a),(c)   5.8070  07/10/46   23,898 
 175,000  COMM 2012-LC4 Mortgage Trust(c)   4.9340  12/10/44   175,112 
 90,000  COMM 2013-CCRE12 Mortgage Trust(c)   4.7620  10/10/46   90,756 
 265,000  CSAIL 2018-C14 Commercial Mortgage Trust(a),(c)   5.0880  11/15/51   277,043 
 520,000  CSMC 2014-USA OA, LLC(a)   4.3730  09/15/37   488,855 
 1,702,000  GS Mortgage Securities Trust 2014-GC18(c)   4.8850  01/10/47   1,691,208 
 26,000  GS Mortgage Securities Trust 2014-GC20(c)   5.1210  04/10/47   25,317 
 1,300,000  Harvest Commercial Capital Loan Trust 2019-1(a),(c)   5.7300  11/25/31   1,247,211 
 900,000  Harvest Commercial Capital Loan Trust 2020-1(a),(c)   5.9640  04/25/52   883,861 
 2,366,000  Hudsons Bay Simon JV Trust 2015-HBS(a)   3.9140  08/05/34   2,299,162 
 128,833  JP Morgan Chase Commercial Mortgage Securities(a),(b) US0001M + 3.750% 1.6200  05/15/28   111,698 
 3,169,733  JP Morgan Chase Commercial Mortgage Securities(a)   3.9100  05/05/30   2,721,712 
 331,786  JP Morgan Chase Commercial Mortgage Securities(a),(c)   3.9770  10/15/45   335,270 
 193,000  JP Morgan Chase Commercial Mortgage Securities(a),(c)   5.7070  02/15/46   77,072 
 500,000  JP Morgan Chase Commercial Mortgage Securities(a),(c)   3.2500  04/15/46   354,303 
 612,222  JP Morgan Chase Commercial Mortgage Securities(a),(c)   5.5740  07/15/46   634,434 
 1,109,640  JP Morgan Chase Commercial Mortgage Securities Series 2006-LDP9 Class A-MS 5.3370  05/15/47   972,748 
 676,726  JP Morgan Chase Commercial Mortgage Securities(b)   6.0180  06/15/49   239,137 
 339,000  JPMBB Commercial Mortgage Securities Trust Series 2015- C29 Class C(b) 4.3390  05/15/48   322,642 
 50,750  LB-UBS Commercial Mortgage Trust 2007-C6(c)   7.0880  07/15/40   40,468 
 4,315,000  Morgan Stanley Bank of America Merrill Lynch Trust(c)   4.4960  08/15/46   4,247,471 
 200,000  Morgan Stanley Capital I Trust 2015-MS1(a),(c)   4.1660  05/15/48   186,998 
 242,836  Multi Security Asset Trust, L.P. Commercial(a),(c)   4.7800  11/28/35   169,904 
 190,000  Olympic Tower 2017-OT Mortgage Trust(a),(c)   4.0770  05/10/39   161,500 
 2,000,000  ReadyCap Commercial Mortgage Trust 2015-SBC2(a),(c)   5.1240  06/25/55   2,009,238 
 7,630,000  ReadyCap Commercial Mortgage Trust 2018-4(a),(c)   5.2460  02/27/51   7,979,683 
 105,000  UBS-Barclays Commercial Mortgage Trust 2012-C2(a),(b)   4.9710  05/10/63   97,589 

 

See accompanying notes to financial statements.

38

 

EASTERLY STRUCTURED CREDIT VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

  

Principal      Coupon Rate      
Amount ($)    Spread (%) Maturity  Fair Value 
    ASSET BACKED SECURITIES — 67.9% (Continued)            
    NON AGENCY CMBS — 16.2% (Continued)            
 445,000  UBS-Barclays Commercial Mortgage Trust 2012-C2 Series 2012-C2 D(a),(c)
 5.0430  05/10/63  $89,791 
 750,000  UBS-Barclays Commercial Mortgage Trust 2012-C4   2.7920  12/10/45   753,339 
 171,000  UBS-Barclays Commercial Mortgage Trust 2012-C4(a),(c)   4.6100  12/10/45   153,280 
 75,000  UBS-Barclays Commercial Mortgage Trust 2013-C5(a),(c)   4.2160  03/10/46   69,962 
 176,450  Velocity Commercial Capital Loan Trust 2015-1(a),(c)   7.2040  06/25/45   176,872 
 3,144,000  Velocity Commercial Capital Loan Trust 2016-2(c)   8.2760  10/25/46   3,212,360 
 3,055,000  Velocity Commercial Capital Loan Trust 2017-1(a),(c)   7.9500  05/25/47   3,099,305 
 717,097  Velocity Commercial Capital Loan Trust 2018-1(a)   7.2600  04/25/48   735,473 
 686,321  Velocity Commercial Capital Loan Trust 2018-2(a),(c)   6.3600  10/26/48   707,150 
 2,206,428  Wachovia Bank Commercial Mortgage Trust Series(a),(c),(e)   0.8260  07/15/41   4,751 
 246,000  Wells Fargo Commercial Mortgage Trust 2013-LC12(c)   4.4410  07/15/46   245,177 
 139,147  WFRBS Commercial Mortgage Trust 2011-C4(a),(c)   5.0240  06/15/44   136,327 
 2,322,000  WFRBS Commercial Mortgage Trust 2012-C7(c)   4.8810  06/15/45   2,233,987 
 100,000  WFRBS Commercial Mortgage Trust 2014-C24(c)   4.2040  11/15/47   100,147 
 460,148  WFRBS Commercial Mortgage Trust 2014-C25(a),(c)   3.8030  11/15/47   417,364 
               48,246,520 
    OTHER ABS — 0.3%            
 300,000  Finance of America HECM Buyout 2021-HB1 Series 2021-HB1 M3(a),(c)   3.6400  02/25/31   296,906 
 97,881  HERO Funding Trust 2015-2(a)   3.9900  09/20/40   99,440 
 5,424,000  LendingClub Issuance Trust Series 2016-NP1(a),(g)     06/15/22    
 98,019  Longtrain Leasing III, LLC 2015-1 Series 2015-1A Class A2(a)   4.0600  01/15/45   98,242 
 300,135  Sprite 2017-1 Ltd.(a)   4.2500  12/15/37   296,162 
               790,750 
    RESIDENTIAL MORTGAGE — 2.5%            
 388,517  Amresco Residential Securities Corp Mort Loan(b) US0001M + 0.470% 1.0320  06/25/29   372,149 
 1,638,146  Belvedere SPV Srl(b) EUR006M + 3.250% 2.7370  12/31/38   1,701,363 
 81,736  Carrington Mortgage Loan Trust Series 2006-NC2(b) US0001M + 0.150% 0.2420  06/25/36   81,574 
 9,889  Chase Funding Trust Series 2002-4(b) US0001M + 0.740% 0.8320  10/25/32   9,851 
 75,256  Countrywide Asset-Backed Certificates(a),(b) US0001M + 4.500% 4.5920  11/25/32   75,815 
 104,213  Credit-Based Asset Servicing and Securitization,(b) US0001M + 2.775% 2.8670  03/25/34   111,503 
 1,301,168  Credit-Based Asset Servicing and Securitization,(d)   6.7800  05/25/35   1,334,489 
 57,255  Credit-Based Asset Servicing and Securitization,(a),(d)   4.7740  12/25/37   57,591 
 23,841  CWABS Asset-Backed Certificates Trust 2006-18(b) US0001M + 0.160% 0.2520  03/25/37   23,832 

 

See accompanying notes to financial statements.

39

 

EASTERLY STRUCTURED CREDIT VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

  

Principal      Coupon Rate      
Amount ($)    Spread (%) Maturity  Fair Value 
    ASSET BACKED SECURITIES — 67.9% (Continued)            
    RESIDENTIAL MORTGAGE — 2.5% (Continued)            
 362,293  First Franklin Mortgage Loan Trust 2002-FF1(b) US0001M + 1.800% 1.8920  04/25/32  $353,787 
 82,457  GE-WMC Asset-Backed Pass-Through Certificates(b) US0001M + 0.660% 0.7520  12/25/35   84,312 
 72,785  GSAMP Trust 2002-WF(b) US0001M + 1.100% 1.1910  10/20/32   72,797 
 255,184  Interstar Millennium Series 2004-4E Trust(b) EUR003M + 0.400%   11/14/36   272,017 
 127,722  Long Beach Mortgage Loan Trust 2003-2(b) US0001M + 2.850% 2.9420  06/25/33   133,598 
 92,260  Mastr Specialized Loan Trust(a),(b) US0001M + 0.750% 0.8420  11/25/35   92,421 
 560,607  RAAC Series 2005-SP2 Trust(b) US0001M + 0.600% 0.6920  06/25/44   487,079 
 734,527  RAAC Series 2007-RP3 Trust(a),(b) US0001M + 0.380% 0.8520  10/25/46   724,905 
 527,273  Structured Asset Investment Loan Trust 2003-BC9(b) US0001M + 3.150% 3.2420  08/25/33   550,797 
 1,000,000  Towd Point Mortgage Trust 2019-SJ2(a),(c)   5.0000  11/25/58   1,012,867 
               7,552,747 
    STUDENT LOANS — 0.6%            
 36,635  AccessLex Institute(b) US0003M + 0.700% 0.8240  01/25/43   35,145 
 760,000  EdLinc Student Loan Funding Trust 2012-1(a),(b) US0001M + 4.240% 4.3320  11/26/40   929,092 
 488,989  EdLinc Student Loan Funding Trust 2017-A(a),(b) Prime Rate - 1.150% 2.1000  12/01/47   464,661 
 152,378  L2L Education Loan Trust 2006-1(a),(b) US0001M + 0.340% 0.4300  06/15/31   146,713 
 50,922  National Collegiate Trust 2005-GATE (The)(a),(b) US0001M + 0.450% 0.5420  04/26/23   46,039 
 35,818  SLM Student Loan Trust 2005-8(b) US0003M + 0.310% 0.4340  01/25/55   34,179 
               1,655,829 
    WHOLE BUSINESS — 0.4%            
 37,752  Business Loan Express Business Loan Trust 2005-A(a),(b) US0001M + 1.100% 1.1920  09/25/38   34,649 
 174,504  Business Loan Express Business Loan Trust 2007-A(a),(b) US0001M + 0.400% 0.4910  10/20/40   162,681 
 92,928  Business Loan Express SBA Loan Trust 2006-1(a),(b) US0001M + 0.950% 1.0410  10/20/38   85,615 
 937,178  Harvest SBA Loan Trust 2021-1(a),(b) US0001M + 2.000% 2.0890  04/25/48   922,410 
               1,205,355 
    TOTAL ASSET BACKED SECURITIES (Cost $198,104,866)    202,249,099 
           
    CORPORATE BONDS — 15.2%            
    ASSET MANAGEMENT — 0.2%            
 70,000  Morgan Stanley & Company, LLC(b) (5*(USISDA30*USISDA02)) 6.0800  01/21/26   70,175 
 274,000  Nomura America Finance, LLC(c)   5.8000  12/31/33   254,820 
 65,000  Nomura America Finance, LLC(b) (4*(USISDA30*USISDA02)) 3.7800  02/28/34   60,039 
 355,000  Nomura America Finance, LLC(c)   4.3960  07/29/34   318,612 
               703,646 

 

See accompanying notes to financial statements.

40

 

EASTERLY STRUCTURED CREDIT VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

 

Principal      Coupon Rate      
Amount ($)    Spread (%) Maturity  Fair Value 
    CORPORATE BONDS — 15.2% (Continued)            
    BANKING — 5.3%            
 190,000  Bank of Nova Scotia (The)(b) (4*(USISDA30-USISDA02)) 2.7440  06/27/33  $153,425 
 120,000  Bank of Nova Scotia (The)(b) 4*(CMS30-CMS2) 4.0800  01/30/34   108,000 
 100,000  Bank of Nova Scotia (The)(c)   1.7800  08/28/34   82,500 
 75,000  Barclays Bank plc(c)     01/23/26   74,996 
 525,000  Barclays Bank plc(c)   5.8740  09/13/28   509,250 
 50,000  Barclays Bank plc(c)   5.5320  10/18/28   48,313 
 75,000  Barclays Bank plc(c)   2.2880  08/15/33   65,250 
 58,000  Barclays Bank plc(c)   3.2840  04/25/34   47,560 
 70,000  Barclays Bank plc(c)   2.3920  07/31/34   59,238 
 177,000  BNP Paribas S.A.(b) 4*(CMS30-CMS5) 3.3720  04/30/33   155,760 
 430,000  Citigroup, Inc.(c)   2.1960  06/11/33   350,450 
 1,037,000  Citigroup, Inc.(c)   1.7960  11/26/33   887,931 
 507,000  Citigroup, Inc.(c)   4.4880  12/29/34   454,399 
 55,000  Citigroup, Inc.(c)   10.0000  08/31/35   46,750 
 300,000  Credit Suisse A.G.(c)   10.8970  09/30/30   303,000 
 655,000  Credit Suisse A.G.(c)   9.9960  04/29/31   671,375 
 1,024,000  Credit Suisse A.G.(c)   8.0000  10/31/31   1,064,960 
 120,000  Deutsche Bank A.G.(c)   1.9400  01/31/33   92,400 
 245,000  Deutsche Bank A.G.(c)   4.2000  06/30/34   199,981 
 1,257,000  Deutsche Bank A.G.(b) (4*(USISDA30-USISDA02)) 1.7800  08/28/34   1,005,600 
 3,949,000  Deutsche Bank A.G.(c)   3.9020  10/31/34   3,514,609 
 961,000  Deutsche Bank A.G.(c)   2.9520  11/26/34   837,271 
 738,000  Deutsche Bank A.G.(c)   4.1200  03/27/35   616,230 
 75,000  Deutsche Bank A.G.(c)   4.8720  12/23/35   62,250 
 100,000  HSBC USA, Inc.(c)   7.3310  05/21/29   97,500 
 200,000  Lloyds Bank plc(b) USISDA30 - 0.500% 0.2110  01/31/33   155,750 
 136,000  Lloyds Bank plc(c)   4.2840  10/25/33   120,360 
 655,000  Lloyds Bank plc(c)   2.3800  11/27/33   574,196 
 177,000  Natixis US Medium-Term Note Program, LLC(c)   1.0800  04/30/34   167,486 
 1,414,000  Natixis US Medium-Term Note Program, LLC(b) (7.5*(USISDA30-USISDA05)) 2.2430  07/31/34   1,237,250 
 194,000  Natixis US Medium-Term Note Program, LLC(c)   10.0000  03/31/36   188,423 
 125,000  NatWest Markets plc(c)   3.1120  08/18/31   111,250 
 100,000  NatWest Markets plc(c)   1.9520  08/26/31   84,250 

 

See accompanying notes to financial statements.

41

 

EASTERLY STRUCTURED CREDIT VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

  

Principal      Coupon Rate      
Amount ($)    Spread (%) Maturity  Fair Value 
    CORPORATE BONDS — 15.2% (Continued)            
    BANKING — 5.3% (Continued)            
 202,000  SG Structured Products, Inc.(c)   1.0000  03/31/26   192,405 
 185,000  SG Structured Products, Inc.(c)   3.4680  07/29/31   161,875 
 644,000  Societe Generale S.A.(c)   12.7000  10/29/32   634,340 
 203,000  Societe Generale S.A.(b)   12.5000  01/31/35   201,477 
 135,000  STRATS, LLC(c) US0006M + 1.000% 1.2280  02/15/34   106,127 
               15,444,187 
    INSTITUTIONAL FINANCIAL SERVICES — 5.2%            
 41,000  Citigroup Global Markets Holdings, Inc.(c)   11.7680  04/25/32   37,073 
 35,000  Citigroup Global Markets Holdings, Inc.(c)   1.7850  11/22/32   33,250 
 200,000  Citigroup Global Markets Holdings, Inc.   10.0000  03/29/34   198,000 
 50,000  Citigroup Global Markets Holdings, Inc.(c)   5.5150  12/14/36   45,000 
 365,000  Goldman Sachs Group, Inc. (The)(c)   3.5500  03/19/29   338,081 
 97,000  Jefferies Group, LLC / Jefferies Group Capital(c)   7.1480  05/31/34   98,455 
 30,000  Jefferies Group, LLC / Jefferies Group Capital(c)   8.1800  06/30/37   30,750 
 310,000  Jefferies Group, LLC / Jefferies Group Capital(c)   8.5770  07/31/37   323,950 
 229,000  Jefferies Group, LLC / Jefferies Group Capital(b) (9*(USISDA10-USISDA02)) 8.0000  08/31/37   232,435 
 150,000  Jefferies Group, LLC / Jefferies Group Capital(c)   8.1800  08/31/37   153,750 
 248,000  Jefferies Group, LLC / Jefferies Group Capital(c)   6.5440  09/30/37   247,070 
 110,000  Jefferies Group, LLC / Jefferies Group Capital(c)   7.6240  01/31/38   113,575 
 762,000  Jefferies Group, LLC / Jefferies Group Capital(b) (7.5*(USISDA30-USISDA02)) 2.4300  02/28/38   640,080 
 280,000  Jefferies Group, LLC / Jefferies Group Capital(b) US0003M + 4.000% 5.0000  03/20/40   279,192 
 115,000  Morgan Stanley(c)   8.0000  03/21/27   124,775 
 1,015,000  Morgan Stanley(c)   6.5360  09/27/28   990,894 
 3,588,000  Morgan Stanley(b) (10*(USISDA30-USISDA02)) 10.0000  04/30/30   3,767,399 
 1,388,000  Morgan Stanley(b) (10*(USISDA30-USISDA02)) 10.0000  05/29/30   1,460,870 
 363,000  Morgan Stanley(c)   10.0000  06/30/30   377,520 
 182,000  Morgan Stanley(b) (8*(USISDA30-USISDA02)) 8.9360  07/31/30   187,460 
 290,000  Morgan Stanley(b) (8.5*(USISDA30-USISDA02)) 10.0000  08/19/30   301,600 
 216,000  Morgan Stanley(b) (8*(USISDA30-USISDA02)) 8.9360  08/31/30   222,480 
 285,000  Morgan Stanley(c)   10.0000  09/30/30   294,263 
 171,000  Morgan Stanley(c)   7.2500  10/30/30   148,782 
 151,000  Morgan Stanley(b) (5*(USISDA30-USISDA02)) 9.4500  10/30/30   153,265 
 50,000  Morgan Stanley(c)   5.5850  11/30/30   48,500 
 20,000  Morgan Stanley(c)   8.0000  03/31/31   21,400 

 

See accompanying notes to financial statements.

42

 

EASTERLY STRUCTURED CREDIT VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

 

Principal      Coupon Rate      
Amount ($)    Spread (%) Maturity  Fair Value 
    CORPORATE BONDS — 15.2% (Continued)            
    INSTITUTIONAL FINANCIAL SERVICES — 5.2% (Continued)      
 89,000  Morgan Stanley(c)   8.5000  05/31/31  $96,231 
 100,000  Morgan Stanley(c)   9.0000  06/30/31   109,500 
 114,000  Morgan Stanley(c)   8.5000  07/29/31   122,123 
 228,200  Morgan Stanley(c)   8.1400  09/16/31   233,905 
 117,000  Morgan Stanley(c)   6.7020  01/30/34   118,901 
 220,000  Morgan Stanley(c)   4.4680  07/31/34   191,400 
 121,000  Morgan Stanley(c)   5.5450  08/29/34   107,690 
 120,000  Morgan Stanley(c)   6.7500  09/30/34   106,800 
 238,000  Morgan Stanley(b) (5*(USISDA30-USISDA02)) 7.0700  10/08/34   211,523 
 233,000  Morgan Stanley(c)   7.8190  10/31/34   226,010 
 30,000  Morgan Stanley(b) (7*(USISDA30-USISDA02)) 6.2750  11/28/34   26,663 
 304,000  Morgan Stanley(b) (4.5*(USISDA30-USISDA02)) 8.9360  01/30/35   307,040 
 438,000  Morgan Stanley(b) (6*(USISDA30-USISDA02)) 6.7020  03/31/35   416,100 
 532,000  Morgan Stanley(b) (9*(USISDA30-USISDA02)) 9.0000  04/30/35   579,880 
 73,000  Morgan Stanley(c)   9.0000  05/29/35   79,570 
 120,000  Morgan Stanley(c)   9.0000  06/30/35   131,100 
 268,000  Morgan Stanley(c)   9.0000  07/31/35   292,120 
 79,000  Morgan Stanley(c)   9.0000  09/30/35   86,110 
 109,000  Morgan Stanley(c)   9.0000  11/30/35   118,810 
 134,000  Morgan Stanley(b) (9*(USISDA30-USISDA02)) 9.0000  12/23/35   146,060 
 816,000  Morgan Stanley(b) (10*(USISDA30-USISDA02)) 10.0000  02/29/36   844,560 
               15,421,965 
    SPECIALTY FINANCE — 4.5%            
 498,000  Morgan Stanley Finance, LLC(c)   10.0000  04/30/33   521,033 
 541,000  Morgan Stanley Finance, LLC(b) (10*(USISDA30-USISDA02)) 10.0000  06/30/36   559,935 
 215,000  Morgan Stanley Finance, LLC(b) (15*(USISDA30-USISDA02)) 10.0000  07/29/36   226,288 
 2,574,000  Morgan Stanley Finance, LLC(b) (20*(USISDA30-USISDA02)) 9.0000  08/31/36   2,709,134 
 788,000  Morgan Stanley Finance, LLC(c)   9.0000  09/30/36   829,370 
 4,218,000  Morgan Stanley Finance, LLC(b) (20*(USISDA30-USISDA02)) 9.0000  11/29/36   4,439,444 
 1,269,000  Morgan Stanley Finance, LLC(b) (20*(USISDA30-USISDA02)) 9.0000  01/31/37   1,335,623 
 361,000  Morgan Stanley Finance, LLC(b) (20*(USISDA30-USISDA02)) 9.0000  04/28/37   379,050 
 267,000  Morgan Stanley Finance, LLC(c)   8.0000  07/31/37   280,350 

 

See accompanying notes to financial statements.

43

 

EASTERLY STRUCTURED CREDIT VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

 

Principal      Coupon Rate      
Amount ($)    Spread (%) Maturity  Fair Value 
    CORPORATE BONDS — 15.2% (Continued)            
    SPECIALTY FINANCE — 4.5% (Continued)            
 158,000  Morgan Stanley Finance, LLC(c)   8.0000  09/29/37  $165,900 
 996,000  Morgan Stanley Finance, LLC(b) 10*(CMS30-CMS5) 10.0000  09/29/37   1,030,860 
 359,284  Preferred Term Securities IV Ltd. / Preferred Term(a),(b) US0003M + 2.250% 2.3720  12/23/31   352,098 
 87,245  Preferred Term Securities X Ltd. / Preferred Term(a),(b) US0003M + 0.860% 0.9890  07/03/33   82,525 
 600,908  Select Notes Trust LT 2003-1   5.9100  02/22/33   607,847 
               13,519,457 
    TOTAL CORPORATE BONDS (Cost $43,286,078)       45,089,255 
                 
    NON U.S. GOVERNMENT & AGENCIES — 0.3%            
    SOVEREIGN — 0.0%            
 24,086  Argentine Republic Government International Bond   1.0000  07/09/29   8,069 
 485,000  Argentine Republic Government International Bond(d)   1.1250  07/09/35   137,139 
               145,208 
    SUPRANATIONAL — 0.3%            
 964,000  International Bank for Reconstruction & Development(c)   2.8120  06/30/34   804,940 
                 
    TOTAL NON U.S. GOVERNMENT & AGENCIES (Cost $1,205,997)    950,148 
           
    U.S. GOVERNMENT & AGENCIES — 6.7%            
    AGENCY MBS OTHER — 0.0%            
 38,681  Fannie Mae Pool 257064   4.5000  11/01/37   39,937 
    U.S. TREASURY BILLS — 4.4%            
 8,000,000  United States Treasury Bill   0.0246  01/25/22   7,999,695 
 5,000,000  United States Treasury Bill   0.0410  02/24/22   4,999,510 
               12,999,205 
    U.S. TREASURY NOTES — 2.3%            
 4,000,000  United States Treasury Note   0.7500  03/31/26   3,942,656 
 3,000,000  United States Treasury Note   1.6250  11/15/50   2,880,469 
               6,823,125 
    TOTAL U.S. GOVERNMENT & AGENCIES (Cost $20,039,688)    19,862,267 
                 
   TOTAL INVESTMENTS - 90.1% (Cost $262,636,629)      $268,150,769 
    OTHER ASSETS IN EXCESS OF LIABILITIES- 9.9%      29,420,222 
    NET ASSETS - 100.0%         $297,570,991 

 

See accompanying notes to financial statements.

44

 

EASTERLY STRUCTURED CREDIT VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
November 30, 2021

  

CREDIT DEFAULT SWAP AGREEMENTS               

 

              Amortized Upfront  Unrealized 
Description Counterparty Fixed Deal (Pay)Rate Maturity Date Notional Value  Fair Value  Payments Paid  Depreciation 
Morgan Stanley, 3.75%, 02/25/2023
 Goldman Sachs 1.00% 6/20/2025 $20,000,000   (380,752)  (279,419) $(101,333)

 

LLC- Limited Liability Company

 

LP- Limited Partnership

 

LTD- Limited Company

 

PLC- Public Limited Company

 

REMIC- Real Estate Mortgage Investment Conduit

 

S/A- Société Anonyme

 

12MTAFederal Reserve US 12 Month Cumulative Avg 1 Year CMT

 

CMS22 Year Constant Maturity Swap Rate

 

CMS55 Year Constant Maturity Swap Rate

 

CMS3030 Year Constant Maturity Swap Rate

 

COF11 Cost of Funds for the 11th District of San Francisco

 

EUR003MEuribor 3 Month ACT/360

 

EUR006MEuribor 6 Month ACT/360

 

Prime RatePrime Lending Rate by Country United States

 

US0001MICE LIBOR USD 1 Month

 

US0003MICE LIBOR USD 3 Month

 

US0006MICE LIBOR USD 6 Month

 

USISDA022 Year Swap

 

USISDA1010 Year Swap

 

USISDA3030 Year Swap

 

(a)Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of November 30, 2021 the total market value of 144A securities is $124,239,321 or 41.8% of net assets.

 

(b)Variable rate security; the rate shown represents the rate on November 30, 2021.

 

(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)Step bond. Coupon rate is fixed rate that changes on a specified date. The rate shown is the current rate at November 30, 2021.

 

(e)Interest only securities.

 

(f)Zero coupon bond.

 

(g)The security is illiquid; total illiquid securities represent 2.2% of net assets.

 

See accompanying notes to financial statements.

45

 

EASTERLY FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
November 30, 2021

 

  Easterly  Easterly  Easterly 
  EHS  Total Hedge  Structured Credit 
  Fund  Portfolio  Value Fund 
Assets:            
Investments in Affiliates, at cost $301,699  $7,037,989  $ 
Investments in Unaffiliated securities, at cost  915,670   27,975,901   262,636,629 
Total Investments, at cost $1,217,369  $35,013,890  $262,636,629 
             
Investments in Affiliates, at value $300,628  $7,069,136  $ 
Investments in Unaffiliated securities, at value  892,021   27,239,621   268,150,769 
Total Investments, at value $1,192,649  $34,308,757  $268,150,769 
Cash  146,753   667,844   31,789,630 
Foreign Cash ($9, $26 and $17,987)  9   26   17,675 
Deposit in collateral account for Swaps     2,727,263   830,000 
Unrealized appreciation on swaps     26,696    
Unrealized appreciation on forward currency exchange contracts  669   13,311    
Receivable for securities sold     9,088   16,654 
Receivable for open swaps  496       
Receivable for fund shares sold        398,135 
Interest and dividends receivable     1,495   694,542 
Receivable from manager  10,425       
Prepaid expenses and other assets  5,195   8,233   342,353 
Total Assets  1,356,196   37,762,713   302,239,758 
             
Liabilities:            
Options Written (premiums received $0, $9,088, $0)     37,194    
Payable for securities purchased     38,788   3,843,821 
Payable for fund shares redeemed     1,407   103,523 
Unrealized depreciation on swaps        101,333 
Premiums received on swaps     33,159   279,419 
Interest Payable     1,042    
Administration fees payable  4,644   8,114   28,268 
Unrealized depreciation on forward currency exchange contracts  306   6,238    
Payable to manager     20,467   259,212 
Trustee fees payable  3,670   3,610   3,858 
Payable for distribution (12b-1) fees        32,665 
Accrued expenses and other liabilities  15,407   15,407   16,668 
Total Liabilities  24,027   165,426   4,668,767 
             
Net Assets $1,332,169  $37,597,287  $297,570,991 
             
Net Assets:            
Par value of shares of beneficial interest $1,195  $31,585  $269,444 
Paid in capital  1,373,285   36,472,370   287,249,560 
Accumulated earnings (loss)  (42,311)  1,093,332   10,051,987 
Net Assets $1,332,169  $37,597,287  $297,570,991 
             
Net Asset Value Per Share            
Class A            
Net Assets $  $  $15,663,873 
Shares of beneficial interest outstanding        1,391,208 
Net asset value $  $  $11.26 
Offering price per share (maximum sales charge of 2.00%) $  $  $11.49 
             
Class C            
Net Assets $  $  $5,615,580 
Shares of beneficial interest outstanding        510,529 
Net asset value/offering price per share $  $  $11.00 
             
Class I            
Net Assets $1,064,592  $7,048,515  $215,002,719 
Shares of beneficial interest outstanding  95,683   597,274   19,544,038 
Net asset value/offering price per share $11.13  $11.80  $11.00 
             
Class R6            
Net Assets $267,577  $30,548,772  $61,288,819 
Shares of beneficial interest outstanding $23,789  $2,561,236  $5,498,627 
Net asset value/offering price per share $11.25  $11.93  $11.15 
             

See accompanying notes to financial statements.

46

 

EASTERLY FUNDS
STATEMENTS OF OPERATIONS
For Year Ended November 30, 2021

 

  Easterly  Easterly  Easterly 
  EHS  Total Hedge  Structured Credit 
  Fund  Portfolio  Value Fund 
Investment Income:            
Dividend income $40,314  $355,326  $ 
Interest income  11   58   12,333,792 
Dividend income from Affiliates  10,744   80,801    
Less: Foreign withholding taxes  (48)  (98)   
Total Investment Income  51,021   436,087   12,333,792 
             
Operating Expenses:            
Management fees  36,693   212,420   3,005,465 
Distribution (12b-1) fees            
Class A Shares     43   38,157 
Class C Shares  22   144   46,969 
Administration fees  13,890   27,212   354,604 
Supervisory fees  2,697   2,688   42,474 
Registration fees  12,049   15,966   88,279 
Custodian fees  18,063   19,097   44,745 
Shareholder servicing fees  4,713   16,200   222,143 
Transfer Agent fees  13,989   17,440   51,933 
Legal fees  17,122   17,006   27,236 
Audit fees  6,466   13,896   31,268 
Printing and postage expense  3,178   5,392   52,542 
Trustees’ fees  6,130   6,220   22,481 
Interest expenses  2,279   6,123   62,954 
Compliance officer fees  5,054   5,334   10,164 
Insurance expense  139   387   6,903 
Miscellaneous expenses  3,036   3,635   11,656 
Total Operating Expenses  145,520   369,203   4,119,973 
             
Less: Expenses waived  (99,399)  (101,288)  (472,087)
Total Waivers  (99,399)  (101,288)  (472,087)
             
Net Operating Expenses  46,121   267,915   3,647,886 
             
Net Investment Income  4,900   168,172   8,685,906 
             
Realized and Unrealized Gain (Loss) on Investments:            
Net realized gain (loss) from:            
Investments and Foreign currency transactions  911,479   1,692,195   5,101,871 
Distribution of realized gain (loss) by underlying            
Affiliated Investments  18,885   57,367    
Options Purchased     (83,615)   
Options Written     83,615    
Swaps  6,064   24,835   (202,778)
Net realized gain  936,428   1,774,397   4,899,093 
             
Net change in unrealized appreciation (depreciation) on:            
Investments and Foreign currency translations  (334,338)  (1,172,954)  (870,724)
Affiliated Investments  (17,211)  (41,817)   
Options Purchased     30,741    
Options Written     (28,106)   
Swaps     (35,178)  94,129 
Net change in unrealized appreciation (depreciation)  (351,549)  (1,247,314)  (776,595)
Net Realized and Unrealized Gain/(Loss) on investments  584,879   527,083   4,122,498 
             
Net Increase in Net Assets Resulting From Operations $589,779  $695,255  $12,808,404 
             

See accompanying notes to financial statements.

47

 

EASTERLY FUNDS
STATEMENTS OF CHANGES IN NET ASSETS

 

  Easterly EHS Fund  Easterly Total Hedge Portfolio  Easterly Structured Credit Value Fund 
          
  Year Ended  Year Ended  Year Ended  Year Ended  Year Ended  Year Ended 
  November 30, 2021  November 30, 2020  November 30, 2021  November 30, 2020  November 30, 2021  November 30, 2020 
Operations:                        
Net investment income $4,900  $31,553  $168,172  $240,858  $8,685,906  $4,504,190 
Net realized gain (loss) on investments  936,428   66,619  $1,774,397   240,514   4,899,093   5,597,564 
Net change in unrealized appreciation on investments  (351,549)  367,117  $(1,247,314)  462,562   (776,595)  5,475,283 
Net increase in net assets resulting from operations  589,779   465,289   695,255   943,934   12,808,404   15,577,037 
                         
Distributions to Shareholders:                        
From Return of Capital:                        
Class I  (1,937)               
Class R6  (7,639)               
Total Distributions:                        
Class I  (175,537)  (5,181)  (86,170)  (192,097)  (9,539,450)  (2,386,869)
Class A     (0) *  (845)  (1,656)  (838,592)  (292,186)
Class C     (77)  (745)  (1,171)  (215,709)  (117,041)
Class R6  (711,784)  (39,002)  (85,657)  (208,942)  (3,808,909)  (2,931,598)
Total Dividends and Distributions to Shareholders  (896,897)  (44,260)  (173,417)  (403,866)  (14,402,660)  (5,727,694)
                         
Share Transactions of Beneficial Interest:                        
Net proceeds from shares sold                        
Class I  745,105 **     1,569,771 **  41,555   164,764,377   125,085,076 
Class A        3,700      15,195,711   20,284,097 
Class C              3,836,898   2,320,531 
Class R6  610,482   2,803,013   28,113,250   1,865,826   22,396,032   43,689,978 
Reinvestment of dividends and distributions                        
Class I  177,474   5,181   86,170   192,097   7,698,232   1,868,577 
Class A     0 *  845   1,656   746,916   263,345 
Class C     77   457   1,171   141,008   75,191 
Class R6  556,028   24,865   67,479   157,561   2,820,353   1,517,647 
Cost of shares redeemed                        
Class I  (8,673)  (4,328)  (240,231)  (351,607)  (68,480,268)  (24,900,945)
Class A  (14) **     (58,467) **     (12,679,013)  (9,172,331)
Class C  (7,270) **     (47,536) **     (1,586,860)  (759,065)
Class R6  (4,716,351)  (923,515)  (3,060,040)  (2,557,176)  (26,011,648)  (16,892,252)
Net increase (decrease) in net assets from share transactions of beneficial interest  (2,643,219)  1,905,293   26,435,398   (648,917)  108,841,738   143,379,849 
                         
Total Increase (Decrease) in Net Assets  (2,950,337)  2,326,322   26,957,236   (108,849)  107,247,482   153,229,192 
                         
Net Assets:                        
Beginning of year/period  4,282,506   1,956,184   10,640,051   10,748,900   190,323,509   37,094,317 
End of year $1,332,169  $4,282,506  $37,597,287  $10,640,051  $297,570,991  $190,323,509 
                         
Share Activity                        
Shares sold                        
Class I  58,885 **     135,321 **  4,023   14,925,443   11,803,882 
Class A        325      1,346,418   1,868,358 
Class C              347,401   219,343 
Class R6  46,286   258,687   2,333,709   186,794   2,002,196   4,142,915 
Shares Reinvested                        
Class I  15,733   498   7,680   18,705   702,539   176,511 
Class A     0 ***  76   161   66,701   24,314 
Class C     7   41   114   12,887   7,225 
Class R6  48,728   2,386   5,972   15,297   255,138   144,072 
Shares redeemed                        
Class I  (760)  (399)  (20,480)  (33,555)  (6,191,715)  (2,348,929)
Class A  (1) **     (5,053) **     (1,120,620)  (834,692)
Class C  (563) **     (4,148) **     (143,536)  (73,332)
Class R6  (405,197)  (92,629)  (254,635)  (254,897)  (2,327,404)  (1,592,686)
Net Increase (decrease) in shares of beneficial interest  (236,889)  168,550   2,198,808   (63,358)  9,875,448   13,536,981 
                         
*Less than $1.00.

 

**Share Transactions of Beneficial Interest and Share Activity include the Conversion of Class A and C shares into I shares (see note 1).

 

***Less than 1 share.

 

See accompanying notes to financial statements.

48

 

EASTERLY FUNDS
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period)

 

  Easterly EHS Fund 
  Class I 
  For the  For the  For the  For the  For the 
  Year Ended  Year Ended  Year Ended  Year Ended  Period Ended 
  November 30,  November 30,  November 30,  November 30,  November 30, 
  2021  2020  2019  2018  2017 (1) 
Net Asset Value, Beginning of Year/Period $11.95  $10.40  $10.37  $10.58  $10.00 
Income (Loss) from Investment Operations:                    
Net investment income (loss) (2)  (0.09)  0.16   0.13   0.11   0.00 **
Net realized and unrealized gain (loss)  1.52   1.63   0.45   (0.24)  0.58 
Total from investment operations  1.43   1.79   0.58   (0.13)  0.58 
                     
Dividends and Distributions:                    
Dividends from return of capital  (0.02)            
Dividends from net investment income  (0.08)  (0.24)  (0.16)  (0.04)   
Distributions from realized gains  (2.15)     (0.39)  (0.04)   
Total dividends and distributions  (2.25)  (0.24)  (0.56)  (0.08)   
Net Asset Value, End of Year/Period $11.13  $11.95  $10.40  $10.37  $10.58 
                     
Total Return*  11.81%  17.55%  6.12%  (1.20)%  5.80%
Ratios and Supplemental Data:                    
Net assets, end of year/period (000s) $1,065  $261  $226  $209  $212 
                     
Ratio of gross operating expenses to average net assets including interest expense (3,6)  6.90%  4.60%  4.11%  2.99%  17.28% (5)
Ratio of net operating expenses to average net assets including interest expense (3,7)  1.68%  1.49%  1.50%  1.49%  1.49% (5)
Ratio of net investment income (loss) after expense reimbursement to average net assets (3,10)  (0.72)%  1.52%  1.35%  0.99%  0.12% (5)
Portfolio Turnover Rate  400%  145%  143%  181%  125% (4)
                     
  Easterly EHS Fund 
  Class R6 
  For the  For the  For the  For the  For the 
  Year Ended  Year Ended  Year Ended  Year Ended  Period Ended 
  November 30,  November 30,  November 30,  November 30,  November 30, 
  2021  2020  2019  2018  2017 (1) 
Net Asset Value, Beginning of Year/Period $12.02  $10.42  $10.37  $10.59  $10.00 
Income (Loss) from Investment Operations:                    
Net investment income (2)  0.05   0.19   0.19   0.10   0.00 **
Net realized and unrealized gain (loss)  1.43   1.65   0.41   (0.24)  0.59 
Total from investment operations  1.48   1.84   0.60   (0.14)  0.59 
                     
Dividends and Distributions:                    
Dividends from return of capital  (0.02)            
Dividends from net investment income  (0.08)  (0.24)  (0.16)  (0.04)   
Distributions from realized gains  (2.15)     (0.39)  (0.04)   
Total dividends and distributions  (2.25)  (0.24)  (0.56)  (0.08)   
Net Asset Value, End of Year/Period $11.25  $12.02  $10.42  $10.37  $10.59 
                     
Total Return*  12.18%  18.00%  6.32%  (1.30)%  5.90%
Ratios and Supplemental Data:                    
Net assets, end of year/period (000s) $268  $4,015  $1,725  $5,298  $2,668 
                     
Ratio of gross operating expenses to average net assets including interest expense (3,8)  3.14%  4.17%  4.01%  2.79%  7.83% (5)
Ratio of net operating expenses to average net assets including interest expense (3,9)  1.14%  1.12%  1.36%  1.49%  1.49% (5)
Ratio of net investment income (loss) after expense reimbursement to average net assets (3,6)  0.38%  1.85%  1.90%  0.90%  (0.15)% (5)
Portfolio Turnover Rate  400%  145%  143%  181%  125% (4)
                     
(1)Class I and Class R6 commenced operations on August 18, 2017.

 

(2)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year/period.

 

(3)The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests.

 

(4)Not annualized.

 

(5)Annualized for periods less than one year.

  

(6)Ratio of gross operating expenses to average net assets excluding interest expense (3)  6.70%  4.60%  4.10%  2.99%  17.28% (5)
                      
(7)Ratio of net operating expenses to average net assets excluding interest expense (3)  1.48%  1.49%  1.49%  1.49%  1.49% (5)
                      
(8)Ratio of gross operating expenses to average net assets excluding interest expense (3)  3.11%  4.17%  4.00%  2.79%  7.83% (5)
                      
(9)Ratio of net operating expenses to average net assets excluding interest expense (3)  1.11%  1.12%  1.35%  1.49%  1.49% (5)
                      
(10)Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests.

 

*Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

**Per share amount represents less than $0.01 per share.

 

See accompanying notes to financial statements.

49

 

EASTERLY FUNDS
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period)

 

  Easterly Total Hedge Portfolio 
  Class I 
  For the  For the  For the  For the  For the 
  Year Ended  Year Ended  Year Ended  Year Ended  Period Ended 
  November 30,  November 30,  November 30,  November 30,  November 30, 
  2021  2020  2019  2018  2017 (1) 
Net Asset Value, Beginning of Year/Period $11.05  $10.49  $10.13  $10.40  $10.00 
Income (Loss) from Investment Operations:                    
Net investment income (2)  0.08   0.21   0.18   0.12   0.04 
Net realized and unrealized gain (loss)  0.85   0.74   0.46   (0.30)  0.36 
Total from investment operations  0.93   0.95   0.64   (0.18)  0.40 
                     
Dividends and Distributions:                    
Dividends from net investment income     (0.39)  (0.17)  (0.07)   
Distributions from realized gains  (0.18)     (0.11)  (0.02)   
Total dividends and distributions  (0.18)  (0.39)  (0.28)  (0.09)   
Net Asset Value, End of Year/Period $11.80  $11.05  $10.49  $10.13  $10.40 
                     
Total Return*  8.51%  9.39%  6.54%  (1.73)%  4.00%
Ratios and Supplemental Data:                    
Net assets, end of period (000s) $7,049  $5,247  $5,095  $4,523  $520 
                     
Ratio of gross operating expenses to average net assets including interest expense (3,6)  1.89%  2.25%  2.53%  2.50%  12.24% (5)
Ratio of net operating expenses to average net assets including interest expense (3,7)  1.51%  1.52%  1.52%  1.49%  1.49% (5)
Ratio of net investment income (loss) after expense reimbursement to average net assets (3,10)  0.70%  2.10%  1.74%  1.19%  0.84% (5)
Portfolio Turnover Rate  127%  117%  114%  195%  83% (4)
                     
  Easterly Total Hedge Portfolio 
  Class R6 
  For the  For the  For the  For the  For the 
  Year Ended  Year Ended  Year Ended  Year Ended  Period Ended 
  November 30,  November 30,  November 30,  November 30,  November 30, 
  2021  2020  2019  2018  2017 (1) 
Net Asset Value, Beginning of Year/Period $11.12  $10.52  $10.14  $10.40  $10.00 
Income (Loss) from Investment Operations:                    
Net investment income (2)  0.10   0.25   0.20   0.16   0.03 
Net realized and unrealized gain (loss)  0.89   0.74   0.46   (0.33)  0.37 
Total from investment operations  0.99   0.99   0.66   (0.17)  0.40 
                     
Dividends and Distributions:                    
Dividends from net investment income     (0.39)  (0.17)  (0.07)   
Distributions from realized gains  (0.18)     (0.11)  (0.02)   
Total dividends and distributions  (0.18)  (0.39)  (0.28)  (0.09)   
Net Asset Value, End of Year/Period $11.93  $11.12  $10.52  $10.14  $10.40 
                     
Total Return*  9.01%  9.75%  6.73%  (1.63)%  4.00%
Ratios and Supplemental Data:                    
Net assets, end of period (000s) $30,549  $5,297  $5,565  $8,233  $1,753 
                     
Ratio of gross operating expenses to average net assets including interest expense (3,8)  1.66%  2.25%  2.53%  2.38%  6.30% (5)
Ratio of net operating expenses to average net assets including interest expense (3,9)  1.14%  1.15%  1.35%  1.39%  1.49% (5)
Ratio of net investment income after expense reimbursement to average net assets (3,10)  0.83%  2.50%  2.00%  1.54%  0.66% (5)
Portfolio Turnover Rate  127%  117%  114%  195%  83% (4)
                     
(1)Class I and Class R6 commenced operations on June 30, 2017.

 

(2)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year/period.

 

(3)The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests.

 

(4)Not annualized.

 

(5)Annualized for periods less than one year.

 

(6)Ratio of gross operating expenses to average net assets excluding interest expense (3)  1.86%  2.22%  2.50%  2.50%  12.24% (5)
                      
(7)Ratio of net operating expenses to average net assets excluding interest expense (3)  1.48%  1.49%  1.49%  1.49%  1.49% (5)
                      
(8)Ratio of gross operating expenses to average net assets excluding interest expense (3)  1.63%  2.22%  2.50%  2.38%  6.30% (5)
                      
(9)Ratio of net operating expenses to average net assets excluding interest expense (3)  1.11%  1.12%  1.32%  1.39%  1.49% (5)
                      
(10)Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests.

 

*Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

See accompanying notes to financial statements.

50

 

EASTERLY FUNDS
FINANCIAL HIGHLIGHTS (For a share outstanding throughout the year/period)

 

  Easterly Structured Credit Value Fund 
  Class A 
  For the  For the  For the  For the 
  Year Ended  Year Ended  Year Ended  Period Ended 
  November 30,  November 30,  November 30,  November 30, 
  2021  2020  2019  2018 (1) 
Net Asset Value, Beginning of Year/Period $11.35  $10.68  $10.16  $10.00 
Income (Loss) from Investment Operations:                
Net investment income (2)  0.36   0.42   0.41   0.10 
Net realized and unrealized gain  0.24   0.95   0.46   0.06 
Total from investment operations  0.60   1.37   0.87   0.16 
                 
Dividends and Distributions:                
Dividends from net investment income  (0.38)  (0.52)  (0.34)   
Distributions from realized gains  (0.31)  (0.18)  (0.01)   
Total dividends and distributions  (0.69)  (0.70)  (0.35)   
                 
Redemption Fees        0.00 **   
                 
Net Asset Value, End of Year/Period $11.26  $11.35  $10.68  $10.16 
                 
Total Return*  5.44% #  13.54% #  8.67% #  1.60%
Ratios and Supplemental Data:                
Net assets, end of period (000s) $15,664  $12,466  $435  $19 
                 
Ratio of gross operating expenses to average net assets including interest expense (5,6)  1.86%  2.01%  2.38%  2.18% (3)
Ratio of net operating expenses to average net assets including interest expense (5,7)  1.76%  1.79%  1.74%  1.74% (3)
Ratio of net investment income (loss) after expense reimbursement to average net assets (5,10)  3.18%  3.89%  3.84%  3.27% (3)
Portfolio Turnover Rate  84%  132%  111%  37% (4)
                 
  Easterly Structured Credit Value Fund 
  Class C 
  For the  For the  For the  For the 
  Year Ended  Year Ended  Year Ended  Period Ended 
  November 30,  November 30,  November 30,  November 30, 
  2021  2020  2019  2018 (1) 
Net Asset Value, Beginning of Year/Period $11.10  $10.45  $10.16  $10.00 
Income (Loss) from Investment Operations:                
Net investment income (2)  0.27   0.33   0.32   0.10 
Net realized and unrealized gain  0.24   0.93   0.31   0.06 
Total from investment operations  0.51   1.26   0.63   0.16 
                 
Dividends and Distributions:                
Dividends from net investment income  (0.30)  (0.43)  (0.33)   
Distributions from realized gains  (0.31)  (0.18)  (0.01)   
Total dividends and distributions  (0.61)  (0.61)  (0.34)   
                 
Redemption Fees            
                 
Net Asset Value, End of Year/Period $11.00  $11.10  $10.45  $10.16 
                 
Total Return*  4.71%  12.62%  6.24% #  1.60%
Ratios and Supplemental Data:                
Net assets, end of period (000s) $5,616  $3,262  $1,468  $0 ***
                 
Ratio of gross operating expenses to average net assets including interest expense (5,8)  2.61%  2.81%  3.11%  3.01% (3)
Ratio of net operating expenses to average net assets including interest expense (5,9)  2.51%  2.54%  2.49%  2.49% (3)
Ratio of net investment income (loss) after expense reimbursement to average net assets (5,10)  2.41%  3.12%  3.09%  3.27% (3)
Portfolio Turnover Rate  84%  132%  111%  37% (4)
                 
(1)Class A and Class C commenced operations on August 14, 2018. Start of performance is August 21, 2018.

 

(2)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year/period.

 

(3)Annualized for periods less than one year.

 

(4)Not annualized.

 

(5)The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests.

 

(6)Ratio of gross operating expenses to average net assets excluding interest expense (5)  1.83%  1.96%  2.38%  2.18% (3)
                  
(7)Ratio of net operating expenses to average net assets excluding interest expense (5)  1.73%  1.74%  1.74%  1.74% (3)
                  
(8)Ratio of gross operating expenses to average net assets excluding interest expense (5)  2.58%  2.76%  3.11%  3.01% (3)
                  
(9)Ratio of net operating expenses to average net assets excluding interest expense (5)  2.48%  2.49%  2.49%  2.49% (3)
                  
(10)Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests.

 

*Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

**Per share amount represents less than $0.01 per share.

 

***Less than 1,000.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

 

See accompanying notes to financial statements.

51

 

EASTERLY FUNDS
FINANCIAL HIGHLIGHTS (For a share outstanding throughout the year/period)

 

  Easterly Structured Credit Value Fund 
  Class I 
  For the  For the  For the  For the 
  Year Ended  Year Ended  Year Ended  Period Ended 
  November 30,  November 30,  November 30,  November 30, 
  2021  2020  2019  2018 (1) 
Net Asset Value, Beginning of Year/Period $11.10  $10.46  $10.15  $10.00 
Income (Loss) from Investment Operations:                
Net investment income (2)  0.38   0.44   0.40   0.07 
Net realized and unrealized gain  0.23   0.93   0.30   0.08 
Total from investment operations  0.61   1.37   0.70   0.15 
                 
Dividends and Distributions:                
Dividends from net investment income  (0.40)  (0.55)  (0.38)   
Distributions from realized gains  (0.31)  (0.18)  (0.01)   
Total dividends and distributions  (0.71)  (0.73)  (0.39)   
                 
Redemption Fees        0.00 **  0.00 **
                 
Net Asset Value, End of Year/Period $11.00  $11.10  $10.46  $10.15 
                 
Total Return*  5.74%  13.80%  6.97%  1.50%
Ratios and Supplemental Data:                
Net assets, end of period (000s) $215,003  $112,226  $4,982  $1,007 
                 
Ratio of gross operating expenses to average net assets including interest expense (5,6)  1.61%  1.79%  1.99%  2.01% (3)
Ratio of net operating expenses to average net assets including interest expense (5,7)  1.51%  1.54%  1.49%  1.49% (3)
Ratio of net investment income (loss) after expense reimbursement to average net assets (5,10)  3.40%  4.11%  3.88%  2.30% (3)
Portfolio Turnover Rate  84%  132%  111%  37% (4)
                 
  Easterly Structured Credit Value Fund 
  Class R6 
  For the  For the  For the  For the 
  Year Ended  Year Ended  Year Ended  Year Ended 
  November 30,  November 30,  November 30,  November 30, 
  2021  2020  2019  2018 (1) 
Net Asset Value, Beginning of Year/Period $11.20  $10.51  $10.16  $10.00 
Income (Loss) from Investment Operations:                
Net investment income (2)  0.43   0.48   0.43   0.07 
Net realized and unrealized gain  0.23   0.94   0.31   0.08 
Total from investment operations  0.66   1.42   0.74   0.15 
                 
Dividends and Distributions:                
Dividends from net investment income  (0.40)  (0.55)  (0.38)   
Distributions from realized gains  (0.31)  (0.18)  (0.01)   
Total dividends and distributions  (0.71)  (0.73)  (0.39)   
                 
Redemption Fees        0.00 **  0.01 
                 
Net Asset Value, End of Year/Period $11.15  $11.20  $10.51  $10.16 
                 
Total Return*  6.16%  14.23%  7.36%  1.60%
Ratios and Supplemental Data:                
Net assets, end of period (000s) $61,289  $62,369  $30,209  $34,604 
                 
Ratio of gross operating expenses to average net assets including interest expense (5,8)  1.63%  1.80%  1.93%  1.87% (3)
Ratio of net operating expenses to average net assets including interest expense (5,9)  1.14%  1.17%  1.13%  1.49% (3)
Ratio of net investment income (loss) after expense reimbursement to average net assets (5,10)  3.82%  4.51%  4.11%  2.27% (3)
Portfolio Turnover Rate  84%  132%  111%  37% (4)
                 
(1)Class I and Class R6 commenced operations on August 14, 2018. Start of performance is August 21, 2018.

 

(2)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year/period.

 

(3)Annualized for periods less than one year.

 

(4)Not annualized.

 

(5)The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests.

 

(6)Ratio of gross operating expenses to average net assets excluding interest expense (5)  1.58%  1.74%  2.00%  2.01% (3)
                  
(7)Ratio of net operating expenses to average net assets excluding interest expense (5)  1.48%  1.49%  1.49%  1.49% (3)
                  
(8)Ratio of gross operating expenses to average net assets excluding interest expense (5)  1.61%  1.75%  1.93%  1.87% (3)
                  
(9)Ratio of net operating expenses to average net assets excluding interest expense (5)  1.11%  1.12%  1.13%  1.49% (3)
                  
(10)Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests.

 

*Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

**Per share amount represents less than $0.01 per share.

 

#Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes.

 

See accompanying notes to financial statements.

52

 

EASTERLY FUNDS
NOTES TO FINANCIAL STATEMENTS
Year Ended November 30, 2021

 

1.ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

 

James Alpha Fund Trust dba Easterly Funds Trust (the “Trust”) was organized in 2020, as a Delaware Statutory Trust and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The Trust currently consists of nine series. These financial statements include the following three series:

 

New Fund Name Effective August 23, 2021 Formerly Known As Prior to August 23, 2021
Easterly EHS Fund James Alpha EHS Fund
Easterly Total Hedge Portfolio James Alpha Total Hedge Portfolio
Easterly Structured Credit Value Fund James Alpha Structured Credit Value Fund

 

The Easterly EHS Fund, Easterly Total Hedge Portfolio and Easterly Structured Credit Value Fund are diversified funds.

 

Easterly Funds LLC serves as the Funds’ Advisor. Orange Investment Advisors LLC serves as Easterly Structured Credit Value Fund’s Sub-Advisor.

 

The James Alpha EHS Portfolio, the James Alpha Total Hedge Portfolio and the James Alpha Structured Credit Value Portfolio (each an “Existing Fund”) were reorganized on March 19, 2021, from a series of The Saratoga Advantage Trust, a Delaware statutory trust, to a series of the Trust, into the Easterly EHS Fund, Easterly Total Hedge Portfolio and Easterly Structured Credit Value Fund (each a “Survivor Fund”). As a series of the Trust, Class I and Class S of the Existing Funds converted to Class I and Class R6 of the Surviving Funds, respectively. Class A and Class C for all Existing Funds except James Alpha Structured Credit Value Portfolio converted to Class I of the Surviving Fund. Easterly Structured Credit Value Fund is a continuation of the predecessor for Class A and Class C. Each Existing Fund and its corresponding Survivor Fund have the same investment objective, principal investment strategies. The details of this re-organization are shown below.

 

At the Close of Business on March 19, 2021

 

  James Alpha EHS Portfolio  Easterly EHS Fund  NAVs 
Net Assets Class A  14        
Net Assets Class C  7,270        
Net Assets Class I  286,204   293,488   12.98 
Net Asset Class S/R6  4,196,394   4,196,394   13.07 
             
Shares Redeemed/ Received Class A  1        
Shares Redeemed/ Received Class C  563        
Shares Redeemed/ Re