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 811-05010
Mutual Fund and Variable Insurance Trust
(Exact name of registrant as specified in charter)
36 North New York Avenue
Huntington, NY 11743
(Address of principal executive offices) (Zip code)
The Corporation Trust Company
Corporate Trust Center
1209 Orange Street
Wilmington, DE 19801
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-631-629-4237
Date of fiscal year end: December 31
Date of reporting period: June 30, 2021
Item 1. | Reports to Stockholders. |
Semi-Annual Shareholder Report
June 30, 2021
INSTITUTIONAL SHARES
CLASS A SHARES
CLASS C SHARES
Rational Equity Armor Fund |
PORTFOLIO REVIEW (Unaudited) |
June 30, 2021 |
The Fund’s performance figures* for each of the periods ended June 30, 2021, compared to its benchmarks:
Annualized | Annualized | Annualized | Annualized | |||
Six Month Return | 1 Year Return | 5 Year Return | 10 Year Return | Since Inception(a) | Since Inception(b) | |
Institutional | 8.38% | 17.12% | 3.40% | 6.10% | 5.87% | N/A |
Class A | 8.12% | 16.88% | 3.14% | 5.83% | 5.62% | N/A |
Class A with load | 2.94% | 11.33% | 2.14% | 5.31% | 5.36% | N/A |
Class C | 7.81% | 15.97% | 2.46% | N/A | N/A | 3.36% |
S&P 500 Value Total Return Index (c) | 16.30% | 39.54% | 12.54% | 11.85% | 7.50% | 10.43% |
S&P 500 Total Return Index (d) | 15.25% | 40.79% | 17.65% | 14.84% | 8.42% | 14.31% |
* | The performance data quoted here represents past performance. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Past performance is no guarantee of future results. Performance figures for periods greater than 1 year are annualized. Per the fee table in the Fund’s May 1, 2021 prospectus, the total annual operating expense are 1.33% for Institutional shares, 1.70% for A shares and 2.40% for C shares before fee waivers. See the financial highlights for current expense ratios. For performance information current to the most recent month-end, please call toll-free 1-800-253-0412. Class A shares are subject to a maximum load of 4.75%. |
Performance information for the period prior to December 2019 does not reflect the Fund’s current strategy and the Fund’s portfolio was not managed by the Fund’s current Sub-Advisor.
(a) | Inception date is February 28, 2001 for Class A, Institutional and the benchmarks. |
(b) | Inception date is January 2, 2014 for Class C and the benchmarks. |
(c) | The S&P 500 Value Total Return Index uses a numerical ranking system based on four value factors and three growth factors to determine the constituents and their weightings. Investors cannot invest directly in an Index. |
(d) | The S&P 500 Total Return Index, a registered trademark of S&P Global., Inc., is a market capitalization-weighted index of 500 widely held common stocks. Investors cannot invest directly in an Index. |
Top 10 Holdings by Industry ^ | % of Net Assets | |||
Banking | 11.1 | % | ||
Internet Media & Services | 5.3 | % | ||
Biotech & Pharma | 5.1 | % | ||
Institutional Financial Services | 4.7 | % | ||
Machinery | 4.5 | % | ||
Oil & Gas Producers | 4.4 | % | ||
Electric Utilities | 4.0 | % | ||
Semiconductores | 3.9 | % | ||
Chemicals | 3.8 | % | ||
Health Care Facilities & Services | 3.8 | % | ||
Other/Short-Term Investments | 49.4 | % | ||
100.0 | % |
^ Does not include derivatives in which the Fund invests.
Please refer to the Portfolio of Investments for a more detailed breakdown of the Fund’s assets.
1
Rational Tactical Return Fund |
PORTFOLIO REVIEW (Unaudited) |
June 30, 2021 |
The Fund’s performance figures* for each of the periods ended June 30, 2021, compared to its benchmarks:
Annualized | Annualized | Annualized | Annualized | |||
Six Month Return | 1 Year Return | 5 Year Return | 10 Year Return | Since Inception(a) | Since Inception(b) | |
Institutional | 2.46% | 3.52% | 6.44% | 0.05% | (1.00)% | N/A |
Class A | 2.45% | 3.51% | 6.26% | (0.09)% | (1.17)% | N/A |
Class A with load | (2.50)% | (1.44)% | 5.25% | (0.58)% | (1.51)% | N/A |
Class C | 1.96% | 2.68% | 5.45% | N/A | N/A | 5.48% |
S&P 500 Total Return Index (c) | 15.25% | 40.79% | 17.65% | 14.84% | 10.05% | 17.40% |
* | The performance data quoted here represents past performance. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Past performance is no guarantee of future results. Performance figures for periods greater than 1 year are annualized. Per the fee table in the Fund’s May 1, 2021 prospectus, the total annual operating expense are 2.10% for Institutional Class shares, 2.38% for Class A shares and 3.09% for Class C shares before fee waivers. See the financial highlights for current expense ratios. For performance information current to the most recent month-end, please call toll-free 1-800-253-0412. Class A shares are subject to a maximum load of 4.75%. |
Performance information for the period prior to December 2017 does not reflect the Fund’s current strategy and the Fund’s portfolio was not managed by the Fund’s current Sub-Advisor.
(a) | Inception date is May 1, 2007 for Class A, Institutional and the benchmark. |
(b) | Inception date is May 31, 2016 for Class C and the benchmark. |
(c) | The S&P 500 Total Return Index, a registered trademark of S&P Global., Inc., is a market capitalization-weighted index of 500 widely held common stocks. Investors cannot invest directly in an Index. |
Top Holdings by Asset Type ^ | % of Net Assets | |||
Short-Term Investments | 46.4 | % | ||
Other/Cash & Equivalents | 53.6 | % | ||
100.0 | % |
^ Does not include derivatives in which the Fund invests.
Please refer to the Portfolio of Investments for a more detailed breakdown of the Fund’s assets.
2
Rational Dynamic Brands Fund |
PORTFOLIO REVIEW (Unaudited) |
June 30, 2021 |
The Fund’s performance figures* for each of the periods ended June 30, 2021, compared to its benchmarks:
Annualized | Annualized | Annualized | Annualized | |||
Six Month Return | 1 Year Return | 5 Year Return | 10 Year Return | Since Inception(a) | Since Inception(b) | |
Institutional | 14.41% | 47.00% | 20.78% | 13.12% | 12.76% | N/A |
Class A | 14.26% | 46.60% | 20.50% | 12.83% | 12.48% | N/A |
Class A with load | 8.84% | 39.61% | 19.34% | 12.28% | 12.19% | N/A |
Class C | 13.88% | 45.54% | 19.68% | N/A | N/A | 11.46% |
S&P 500 Total Return Index (c) | 15.25% | 40.79% | 17.65% | 14.84% | 11.40% | 14.31% |
* | The performance data quoted here represents past performance. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Past performance is no guarantee of future results. Performance figures for periods greater than 1 year are annualized. Per the fee table in the Fund’s May 1, 2020 prospectus, the total annual operating expense are 1.26% for Institutional shares, 1.53% for Class A shares and 2.42% for Class C shares before fee waivers. See the financial highlights for current expense ratios. For performance information current to the most recent month-end, please call toll-free 1-800-253-0412. Class A shares are subject to a maximum load of 4.75%. |
Performance information for the period prior to October 2017 does not reflect the Fund’s current strategy and the Fund’s portfolio was not managed by the Fund’s current Sub-Advisor.
(a) | Inception date is September 27, 2002, for Class A, Institutional and the benchmark. |
(b) | Inception date is January 2, 2014 for Class C and the benchmark. |
(c) | The S&P 500 Total Return Index, a registered trademark of S&P Global., Inc., is a market capitalization-weighted index of 500 widely held common stocks. Investors cannot invest directly in an Index. |
Top 10 Holdings by Industry | % of Net Assets | |||
Technology Services | 16.4 | % | ||
Internet Media & Services | 15.3 | % | ||
Apparel & Textile Products | 12.9 | % | ||
E-Commerce Discretionary | 9.0 | % | ||
Leisure Facilities & Services | 8.1 | % | ||
Retail - Consumer Staples | 7.4 | % | ||
Retail - Discretionary | 7.3 | % | ||
Software | 3.7 | % | ||
Technology Hardware | 3.1 | % | ||
Asset Management | 2.9 | % | ||
Other/Short-Term Investments | 13.9 | % | ||
100.0 | % |
Please refer to the Portfolio of Investments for a more detailed breakdown of the Fund’s assets.
3
Rational Strategic Allocation Fund |
PORTFOLIO REVIEW (Unaudited) |
June 30, 2021 |
The Fund’s performance figures* for each of the periods ended June 30, 2021, compared to its benchmarks:
Annualized | Annualized | Annualized | Annualized | |||
Six Month Return | 1 Year Return | 5 Year Return | 10 Year Return | Since Inception(a) | Since Inception(b) | |
Institutional | 17.59% | 38.82% | 7.67% | N/A | N/A | 7.82% |
Class A | 17.35% | 38.41% | 7.39% | 5.76% | 6.61% | N/A |
Class A with load | 11.76% | 31.80% | 6.36% | 5.24% | 6.18% | N/A |
Class C | 16.99% | 37.56% | 6.59% | N/A | N/A | 6.77% |
S&P 500 Total Return Index (c) | 15.25% | 40.79% | 17.65% | 14.84% | 15.47% | 17.40% |
* | The performance data quoted here represents past performance. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Past performance is no guarantee of future results. Performance figures for periods greater than 1 year are annualized. Per the fee table in the Fund’s May 1, 2020 prospectus, the total annual operating expense are 2.45% for Institutional shares, 2.79% for Class A shares and 3.47% for Class C shares before fee waivers. See the financial highlights for current expense ratios. For performance information current to the most recent month-end, please call toll-free 1-800-253-0412. Class A shares are subject to a maximum load of 4.75%. |
Performance information for the period prior to January 2016 does not reflect the Fund’s current strategy and the Fund’s portfolio was not managed by the Fund’s current Sub-Advisor.
(a) | Inception date is July 30, 2009 for Class A and the benchmark. |
(b) | Inception date is May 31, 2016 for Class C, Institutional and the benchmark. |
(c) | The S&P 500 Total Return Index, a registered trademark of S&P Global., Inc., is a market capitalization-weighted index of 500 widely held common stocks. Investors cannot invest directly in an Index. |
Top Holdings by Asset Type ^ | % of Net Assets | |||
Fixed Income | 77.6 | % | ||
Alternative | 10.4 | % | ||
Other/Short-Term Investments | 12.0 | % | ||
100.0 | % |
^ Does not include derivatives in which the Fund invests.
Please refer to the Portfolio of Investments for a more detailed breakdown of the Fund’s total investments.
4
Rational/ReSolve Adaptive Asset Allocation Fund |
PORTFOLIO REVIEW (Unaudited) |
June 30, 2021 |
The Fund’s performance figures* for each of the periods ended June 30, 2021, compared to its benchmarks:
Annualized | Annualized | Annualized | Annualized | |||
Six Month Return | 1 Year Return | 5 Year Return | 10 Year Return | Since Inception(a) | Since Inception(b) | |
Institutional (c) | 6.56% | 14.49% | 3.32% | 3.17% | N/A | 6.10% |
Class A | 6.44% | 14.18% | N/A | N/A | 3.36% | N/A |
Class A with load | 0.32% | 7.62% | N/A | N/A | 2.08% | N/A |
Class C | 6.04% | 13.32% | N/A | N/A | 2.63% | N/A |
S&P 500 Total Return Index (d) | 15.25% | 40.79% | 17.65% | 14.84% | 17.72% | 10.58% |
Barclay Hedge CTA Index (e) | 4.73% | 9.68% | 1.91% | 1.29% | 3.97% | 4.35% |
* | The performance data quoted here represents past performance. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Past performance is no guarantee of future results. Performance figures for periods greater than 1 year are annualized. Per the fee table in the Fund’s May 1 , 2021 prospectus, the total annual operating expense are 2.29% for Institutional shares, 2.58% for Class A shares and 3.46% for Class C shares before fee waivers. See the financial highlights for current expense ratios. For performance information current to the most recent month-end, please call toll-free 1-800-253-0412. Class A shares are subject to a maximum load of 5.75%. |
Performance information for the period prior to February 2018 does not reflect the Fund’s current strategy and the Fund’s portfolio was not managed by the Fund’s current Sub-Advisor.
(a) | Inception date is September 30, 2016 for Class A, Class C and the benchmarks. |
(b) | Inception date is February 28, 1994 for Institutional and the benchmarks. |
(c) | The Fund acquired all of the assets and liabilities of Chesapeake Fund LLC (the “Predecessor Fund”) in a tax-free reorganization on September 30, 2016. In connection with this acquisition, shares of the Predecessor Fund were exchanged for Institutional shares of the Fund, so the Predecessor Fund became the Institutional shares of the Fund. The Fund’s investment objective, policies and guidelines are, in all material respects, equivalent to the Predecessor Fund’s investment objectives, policies and guidelines. The Predecessor Fund commenced operations on February 28,1994. Updated performance information will be available at no cost by calling 1-800-253-0412 or visiting the Fund’s website at www.RationalMF.com. |
(d) | The S&P 500 Total Return Index, a registered trademark of S&P Global., Inc., is a market capitalization-weighted index of 500 widely held common stocks. Investors cannot invest directly in an Index. |
(e) | The Barclay Hedge CTA Index is a leading industry benchmark of representative performance of commodity trading advisors. |
Holdings by Asset Type ^ | % of Net Assets | |||
Short-Term Investments | 85.2 | % | ||
Other/Cash & Equivalents | 14.8 | % | ||
100.0 | % |
^ Does not include derivatives in which the Fund invests.
Please refer to the Consolidated Portfolio of Investments for a more detailed breakdown of the Fund’s assets.
5
Rational/Pier 88 Convertible Securities Fund |
PORTFOLIO REVIEW (Unaudited) |
June 30, 2021 |
The Fund’s performance figures* for each of the periods ended June 30, 2021, compared to its benchmarks:
Annualized | Annualized | |||
Six Month Return | 1 Year Return | Since Inception(a) | Since Inception(b) | |
Institutional (c) | 4.44% | 20.27% | N/A | 11.39% |
Class A | 4.33% | 20.03% | 14.78% | N/A |
Class A with load | (0.60)% | 14.29% | 11.26% | N/A |
Class C | 3.98% | 19.20% | 14.13% | N/A |
S&P 500 Total Return Index (d) | 15.25% | 40.79% | 24.11% | 16.97% |
ICE BofA Investment Grade U.S. Convertible 5% Constrained Index (e) | 7.08% | 22.36% | 36.55% | 11.89% |
Bloomberg U.S. Aggregate Bond Index | 6.24% | 47.72% | 37.28% | 19.21% |
* | The performance data quoted here represents past performance. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Past performance is no guarantee of future results. Performance figures for periods greater than 1 year are annualized. Per the fee table in the Fund’s May 1, 2021 prospectus, the total annual operating expense are 1.00% for Institutional shares, 1.25% for Class A shares and 2.00% for Class C shares before fee waivers. See the financial highlights for current expense ratios. For performance information current to the most recent month-end, please call toll-free 1-800-253-0412. Class A shares are subject to a maximum load of 4.75%. |
(a) | Inception date is December 6, 2019 for Class A, Class C and the benchmark. |
(b) | Inception date is March 1, 2017 for Institutional and the benchmark. |
(c) | The Fund acquired all of the assets and liabilities of Lake Como Convertible Bond Fund L.P. (the “Predecessor Fund”) in a tax-free reorganization on December 6, 2019. In connection with this acquisition, shares of the Predecessor Fund were exchanged for Institutional shares of the Fund, so the Predecessor Fund became the Institutional shares of the Fund. The Fund’s investment objective, policies and guidelines are, in all material respects, equivalent to the Predecessor Fund’s investment objectives, policies and guidelines. The Predecessor Fund commenced operations in March 2017. Updated performance information will be available at no cost by calling 1-800-253-0412 or visiting the Fund’s website at www.rationalmf.com. |
(d) | The S&P 500 Total Return Index, a registered trademark of S&P Global., Inc., is a market capitalization-weighted index of 500 widely held common stocks. Investors cannot invest directly in an Index. |
(e) | The ICE BofA Investment Grade U.S. Convertible 5% Constrained Index (VX5C) is a market-capitalization-weighted index of domestic corporate convertible securities. Bonds and preferred stocks must be convertible only to common stock, ADRs or cash equivalent and have a market value of at least $50 million. It includes Coupon, OID, or zero coupon convertible bonds rated by Moody’s and/or S&P with an average rating of Baa3/BBB- or higher. All positions are capped at 5% of market value. |
(f) | The Bloomberg Barclays U.S. Aggregate Bond Index, or the Agg, is a broad base,market capitalization-weighted bond market index representing intermediate term investment grade bonds traded in the United States. Investors frequently use the index as a stand-in for measuring the performance of the USbond market. |
Top 10 Holdings by Industry | % of Net Assets | |||
Medical Equipment & Devices | 14.8 | % | ||
Asset Management | 14.3 | % | ||
Software | 13.1 | % | ||
Electric Utilities | 11.8 | % | ||
Semiconductors | 6.9 | % | ||
Banking | 5.3 | % | ||
Internet Media & Services | 4.8 | % | ||
Machinery | 4.6 | % | ||
Technology Hardware | 4.4 | % | ||
Technology Services | 3.7 | % | ||
Other/Short-Term Investments | 16.3 | % | ||
100.0 | % |
Please refer to the Portfolio of Investments for a more detailed breakdown of the Fund’s assets.
6
Rational Special Situations Income Fund |
PORTFOLIO REVIEW (Unaudited) |
June 30, 2021 |
The Fund’s performance figures* for each of the periods ended June 30, 2021, compared to its benchmarks:
Annualized | Annualized | Annualized | Annualized | |||
Six Month Return | 1 Year Return | 5 Year Return | 10 Year Return | Since Inception(a) | Since Inception(b) | |
Institutional (c) | 3.06% | 6.65% | 9.01% | 10.65% | N/A | 14.47% |
Class A | 2.94% | 6.40% | N/A | N/A | 3.75% | N/A |
Class A with load | (1.95)% | 1.35% | N/A | N/A | 1.19% | N/A |
Class C | 2.55% | 5.62% | N/A | N/A | 2.98% | N/A |
Bloomberg U.S. Aggregate Bond Index (d) | (1.60)% | (0.33)% | 3.03% | 3.39% | 4.24% | 4.03% |
Bloomberg U.S. Mortgage Backed Securities Index (e) | (0.77)% | (0.42)% | 2.27% | 2.64% | 2.52% | 3.24% |
* | The performance data quoted here represents past performance. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Past performance is no guarantee of future results. Performance figures for periods greater than 1 year are annualized. Per the fee table in the Fund’s May 1, 2021 prospectus, the total annual operating expense are 1.76% for Institutional shares, 2.01% for Class A shares and 2.76% for Class C shares before fee waivers. See the financial highlights for current expense ratios. For performance information current to the most recent month-end, please call toll-free 1-800-253-0412. Class A shares are subject to a maximum load of 4.75%. |
(a) | Inception date is July 17, 2019 for Class A, Class C and the benchmarks. |
(b) | Inception date is February 1, 2009 for Institutional and the benchmarks. |
(c) | The Fund acquired all of the assets and liabilities of ESM Fund I, L.P. (the “Predecessor Fund”) in a tax-free reorganization on July 17, 2019. In connection with this acquisition, shares of the Predecessor Fund were exchanged for Institutional shares of the Fund, so the Predecessor Fund became the Institutional shares of the Fund. The Fund’s investment objective, policies and guidelines are, in all material respects, equivalent to the Predecessor Fund’s investment objectives, policies and guidelines. The Predecessor Fund commenced operations in February 2009. Updated performance information will be available at no cost by calling 1-800-253-0412 or visiting the Fund’s website at www.RationalMF.com. |
(d) | The Bloomberg Barclays U.S. Aggregate Bond Index is a market capitalization-weighted index that is designed to measure the performance of the U.S. investment grade bond market with maturities of more than one year. Investors cannot invest directly in an Index. |
(e) | The Bloomberg Barclays U.S. Mortgage Backed Securities Index tracks agency mortgage pass-through securities. Investors cannot invest directly in an Index. |
Holdings by Asset Type | % of Net Assets | |||
Collateralized Mortgage Obligations | 42.3 | % | ||
Home Equity | 13.5 | % | ||
Non Agency CMBS | 11.3 | % | ||
Insurance | 6.8 | % | ||
Residential Mortgage | 6.3 | % | ||
CDO | 4.1 | % | ||
Syndicated Loan | 3.7 | % | ||
Other ABS | 2.4 | % | ||
Manufactured Housing | 2.3 | % | ||
Transportation & Logistics | 0.5 | % | ||
Other/Short-Term Investments | 6.8 | % | ||
100.0 | % |
Please refer to the Portfolio of Investments for a more detailed breakdown of the Fund’s assets.
7
RATIONAL EQUITY ARMOR FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
June 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 85.9% | ||||||||
APPAREL & TEXTILE PRODUCTS - 1.1% | ||||||||
17,641 | Tapestry, Inc. (a) | $ | 767,031 | |||||
ASSET MANAGEMENT - 2.4% | ||||||||
1,925 | BlackRock, Inc. | 1,684,317 | ||||||
BANKING - 11.1% | ||||||||
55,388 | Bank of America Corporation | 2,283,647 | ||||||
34,871 | Fifth Third Bancorp | 1,333,118 | ||||||
17,351 | JPMorgan Chase & Company | 2,698,775 | ||||||
27,038 | US Bancorp | 1,540,355 | ||||||
7,855,895 | ||||||||
BIOTECH & PHARMA - 5.1% | ||||||||
10,818 | AbbVie, Inc. | 1,218,539 | ||||||
14,590 | Johnson & Johnson | 2,403,556 | ||||||
3,622,095 | ||||||||
CABLE & SATELLITE - 3.1% | ||||||||
38,480 | Comcast Corporation, Class A | 2,194,130 | ||||||
CHEMICALS - 3.8% | ||||||||
9,129 | Celanese Corporation | 1,383,956 | ||||||
37,631 | Chemours Company (The) | 1,309,559 | ||||||
2,693,515 | ||||||||
COMMERCIAL SUPPORT SERVICES - 1.6% | ||||||||
8,038 | Waste Management, Inc. | 1,126,204 | ||||||
ELECTRIC UTILITIES - 4.0% | ||||||||
31,153 | Exelon Corporation | 1,380,389 | ||||||
24,097 | Southern Company (The) | 1,458,110 | ||||||
2,838,499 | ||||||||
HEALTH CARE FACILITIES & SERVICES - 3.8% | ||||||||
20,922 | Cardinal Health, Inc. | 1,194,437 | ||||||
3,682 | UnitedHealth Group, Inc. | 1,474,420 | ||||||
2,668,857 |
See accompanying notes to consolidated financial statements.
8
RATIONAL EQUITY ARMOR FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 85.9% (Continued) | ||||||||
HEALTH CARE REIT - 1.8% | ||||||||
39,443 | Healthpeak Properties, Inc. | $ | 1,313,057 | |||||
HOME CONSTRUCTION - 3.7% | ||||||||
22,559 | Masco Corporation | 1,328,950 | ||||||
23,579 | PulteGroup, Inc. | 1,286,706 | ||||||
2,615,656 | ||||||||
HOUSEHOLD PRODUCTS - 1.8% | ||||||||
9,608 | Procter & Gamble Company (The) | 1,296,407 | ||||||
INSTITUTIONAL FINANCIAL SERVICES - 4.7% | ||||||||
4,396 | Goldman Sachs Group, Inc. (The) | 1,668,414 | ||||||
18,227 | Morgan Stanley | 1,671,234 | ||||||
3,339,648 | ||||||||
INTERNET MEDIA & SERVICES - 5.3% | ||||||||
769 | Alphabet, Inc., Class A(a) | 1,877,737 | ||||||
4,103 | Roku, Inc.(a) | 1,884,302 | ||||||
3,762,039 | ||||||||
LEISURE FACILITIES & SERVICES - 2.5% | ||||||||
12,212 | Darden Restaurants, Inc. | 1,782,830 | ||||||
MACHINERY - 4.5% | ||||||||
7,345 | Caterpillar, Inc. | 1,598,492 | ||||||
4,632 | Deere & Company | 1,633,754 | ||||||
3,232,246 | ||||||||
MEDICAL EQUIPMENT & DEVICES – 1.9% | ||||||||
9,359 | Agilent Technologies, Inc. | 1,383,354 | ||||||
METALS & MINING - 2.0% | ||||||||
38,623 | Freeport-McMoRan, Inc. | 1,433,300 | ||||||
OIL & GAS PRODUCERS - 4.4% | ||||||||
16,426 | Chevron Corporation | 1,720,459 | ||||||
22,715 | ConocoPhillips | 1,383,344 | ||||||
3,103,803 |
See accompanying notes to consolidated financial statements.
9
RATIONAL EQUITY ARMOR FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 85.9% (Continued) | ||||||||
RETAIL - DISCRETIONARY – 2.9% | ||||||||
11,418 | Best Buy Company, Inc. | $ | 1,312,842 | |||||
7,711 | Dick’s Sporting Goods, Inc. | 772,565 | ||||||
2,085,407 | ||||||||
SEMICONDUCTORS - 3.9% | ||||||||
23,018 | Intel Corporation | 1,292,231 | ||||||
4,650 | QUALCOMM, Inc. | 664,625 | ||||||
4,179 | Skyworks Solutions, Inc. | 801,323 | ||||||
2,758,179 | ||||||||
SOFTWARE - 2.3% | ||||||||
8,271 | Akamai Technologies, Inc.(a) | 964,398 | ||||||
8,358 | Oracle Corporation | 650,587 | ||||||
1,614,985 | ||||||||
TECHNOLOGY HARDWARE - 1.0% | ||||||||
4,951 | Apple, Inc. | 678,089 | ||||||
TECHNOLOGY SERVICES - 1.8% | ||||||||
4,337 | Accenture plc, Class A | 1,278,504 | ||||||
TRANSPORTATION & LOGISTICS - 2.4% | ||||||||
5,789 | FedEx Corporation | 1,727,032 | ||||||
TRANSPORTATION EQUIPMENT – 1.9% | ||||||||
5,647 | Cummins, Inc. | 1,376,795 | ||||||
WHOLESALE - CONSUMER STAPLES - 1.0% | ||||||||
8,819 | Bunge Ltd. | 689,205 | ||||||
TOTAL COMMON STOCKS (Cost $48,740,486) | 60,921,079 | |||||||
See accompanying notes to consolidated financial statements.
10
RATIONAL EQUITY ARMOR FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Shares | Fair Value | |||||||
EXCHANGE-TRADED FUNDS — 2.4% | ||||||||
EQUITY - 2.4% | ||||||||
8,676 | iShares S&P 100 ETF (Cost $1,666,962) | $ | 1,702,058 | |||||
SHORT-TERM INVESTMENTS — 6.4% | ||||||||
MONEY MARKET FUNDS - 6.4% | ||||||||
4,542,283 | First American Government Obligations Fund, Class U, 0.03% (Cost $4,542,283)(b) | 4,542,283 | ||||||
TOTAL INVESTMENTS – 94.7% (Cost $54,949,731) | $ | 67,165,420 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 5.3% | 3,746,859 | |||||||
NET ASSETS - 100.0% | $ | 70,912,279 | ||||||
OPEN FUTURES CONTRACTS | ||||||||||||||
Number of Contracts | Open Long Futures Contracts | Expiration | Notional Amount(c) | Unrealized Depreciation | ||||||||||
208 | CBOE Volatility Index Future | 09/15/2021 | $ | 4,370,912 | $ | (161,005 | ) | |||||||
�� | 169 | CBOE Volatility Index Future | 10/20/2021 | 3,693,394 | (23,738 | ) | ||||||||
TOTAL FUTURES CONTRACTS | $ | (184,743 | ) | |||||||||||
OPEN FUTURES CONTRACTS | ||||||||||||||
Number of Contracts | Open Short Futures Contracts | Expiration | Notional Amount | Unrealized Appreciation | ||||||||||
56 | CBOE Volatility Index Future | 07/21/2021 | $ | 1,002,585 | $ | 8,215 | ||||||||
58 | CBOE Volatility Index Future | 08/18/2021 | $ | 1,145,425 | 17,511 | |||||||||
TOTAL FUTURES CONTRACTS | $ | 25,726 | ||||||||||||
ETF | - Exchange-Traded Fund |
LTD | - Limited Company |
PLC | - Public Limited Company |
REIT | - Real Estate Investment Trust |
(a) | Non-income producing security. |
(b) | Rate disclosed is the seven day effective yield as of June 30, 2021. |
See accompanying notes to consolidated financial statements.
11
RATIONAL TACTICAL RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
June 30, 2021 |
Shares | Fair Value | |||||||
SHORT-TERM INVESTMENTS — 46.4% | ||||||||
MONEY MARKET FUNDS - 46.4% | ||||||||
117,413,730 | First American Government Obligations Fund, Class U, 0.03% (Cost $117,413,730)(a) | $ | 117,413,730 | |||||
TOTAL INVESTMENTS - 46.4% (Cost $117,413,730) | $ | 117,413,730 | ||||||
CALL OPTIONS WRITTEN - 0.0% (Proceeds - $105,923) | (24,451 | ) | ||||||
PUT OPTIONS WRITTEN – (0.1)% (Proceeds - $182,571) | (125,759 | ) | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 53.7% | 135,770,209 | |||||||
NET ASSETS - 100.0% | $ | 253,033,729 | ||||||
Contracts(b) | Counterparty | Expiration Date | Exercise Price | Notional Value | Fair Value | |||||||||||||||
WRITTEN FUTURE OPTIONS - 0.1% | ||||||||||||||||||||
CALL OPTIONS WRITTEN- 0.0%(c) | ||||||||||||||||||||
$ | 56 | S&P 1st Week Optn Jul21C 1DN1C 4360 Index | ADM | 07/02/2021 | $ | 4,360 | $ | 61,040,000 | $ | 2,100 | ||||||||||
74 | S&P 1st Week Optn Jul21C 1DN1C 4360 Index | EDF | 07/02/2021 | 4,360 | 80,660,000 | 2,775 | ||||||||||||||
47 | S&P 1st Week Optn Jul21C 1DN1C 4360 Index | GAIN | 07/02/2021 | 4,360 | 51,230,000 | 1,763 | ||||||||||||||
56 | S&P 1st Week Optn Jul21C 1DN1C 4360 Index | RCG | 07/02/2021 | 4,360 | 61,040,000 | 2,100 | ||||||||||||||
308 | S&P 1st Week Optn Jul21C 1DN1C 4395 Index | ADM | 07/02/2021 | 4,395 | 338,415,000 | 3,850 | ||||||||||||||
338 | S&P 1st Week Optn Jul21C 1DN1C 4395 Index | EDF | 07/02/2021 | 4,395 | 371,377,500 | 4,225 | ||||||||||||||
256 | S&P 1st Week Optn Jul21C 1DN1C 4395 Index | GAIN | 07/02/2021 | 4,395 | 281,280,000 | 3,200 | ||||||||||||||
308 | S&P 1st Week Optn Jul21C 1DN1C 4395 Index | RCG | 07/02/2021 | 4,395 | 338,415,000 | 3,850 | ||||||||||||||
235 | S&P Emini 1st Wee Jul21C 1EN1C 4400 Index | EDF | 07/02/2021 | 4,400 | 258,500,000 | 588 | ||||||||||||||
TOTAL CALL OPTIONS WRITTEN (Proceeds - $105,923) | 24,451 | |||||||||||||||||||
PUT OPTIONS WRITTEN – 0.1% | ||||||||||||||||||||
64 | S&P 1st Week Optn Jul21P 1DN1P 4045 Index | ADM | 07/02/2021 | $ | 4,045 | $ | 64,720,000 | $ | 4,000 | |||||||||||
79 | S&P 1st Week Optn Jul21P 1DN1P 4045 Index | EDF | 07/02/2021 | 4,045 | 79,888,750 | 4,938 | ||||||||||||||
52 | S&P 1st Week Optn Jul21P 1DN1P 4045 Index | GAIN | 07/02/2021 | 4,045 | 52,585,000 | 3,250 | ||||||||||||||
64 | S&P 1st Week Optn Jul21P 1DN1P 4045 Index | RCG | 07/02/2021 | 4,045 | 64,720,000 | 4,000 | ||||||||||||||
144 | S&P 1st Week Optn Jul21P 1DN1P 4050 Index | ADM | 07/02/2021 | 4,050 | 145,800,000 | 9,000 | ||||||||||||||
77 | S&P 1st Week Optn Jul21P 1DN1P 4050 Index | EDF | 07/02/2021 | 4,050 | 77,962,500 | 4,813 | ||||||||||||||
121 | S&P 1st Week Optn Jul21P 1DN1P 4050 Index | GAIN | 07/02/2021 | 4,050 | 122,512,500 | 7,563 | ||||||||||||||
144 | S&P 1st Week Optn Jul21P 1DN1P 4050 Index | RCG | 07/02/2021 | 4,050 | 145,800,000 | 9,000 | ||||||||||||||
100 | S&P 1st Week Optn Jul21P 1DN1P 4060 Index | ADM | 07/02/2021 | 4,060 | 101,500,000 | 6,250 | ||||||||||||||
80 | S&P 1st Week Optn Jul21P 1DN1P 4060 Index | EDF | 07/02/2021 | 4,060 | 81,200,000 | 5,000 | ||||||||||||||
84 | S&P 1st Week Optn Jul21P 1DN1P 4060 Index | GAIN | 07/02/2021 | 4,060 | 85,260,000 | 5,250 | ||||||||||||||
100 | S&P 1st Week Optn Jul21P 1DN1P 4060 Index | RCG | 07/02/2021 | 4,060 | 101,500,000 | 6,250 | ||||||||||||||
153 | S&P 1st Week Optn Jul21P 1DN1P 4110 Index | ADM | 07/02/2021 | 4,110 | 157,207,500 | 11,474 | ||||||||||||||
98 | S&P 1st Week Optn Jul21P 1DN1P 4110 Index | GAIN | 07/02/2021 | 4,110 | 100,695,000 | 7,350 | ||||||||||||||
153 | S&P 1st Week Optn Jul21P 1DN1P 4110 Index | RCG | 07/02/2021 | 4,110 | 157,207,500 | 11,474 | ||||||||||||||
385 | S&P Emini 1st Wee Jul21P 1EN1P 4050 Index | EDF | 07/02/2021 | 4,050 | 389,812,500 | 4,813 | ||||||||||||||
120 | S&P Emini 1st Wee Jul21P 1EN1P 4055 Index | EDF | 07/02/2021 | 4,055 | 121,650,000 | 1,500 | ||||||||||||||
250 | S&P Emini 1st Wee Jul21P 1EN1P 4060 Index | EDF | 07/02/2021 | 4,060 | 253,750,000 | 3,125 | ||||||||||||||
253 | S&P Emini 1st Wee Jul21P 1EN1P 4105 Index | EDF | 07/02/2021 | 4,105 | 259,641,250 | 3,795 |
See accompanying notes to consolidated financial statements.
12
RATIONAL TACTICAL RETURN FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Contracts(b) (continued) | Counterparty | Expiration Date | Exercise Price | Notional Value | Fair Value | |||||||||||||||
WRITTEN FUTURE OPTIONS - 0.0% (c) | ||||||||||||||||||||
PUT OPTIONS WRITTEN – 0.1% (Continued) | ||||||||||||||||||||
711 | S&P Emini 1st Wee Jul21P 1EN1P 4110 Index | EDF | 07/02/2021 | $ | 4,110 | $ | 730,552,500 | $ | 10,664 | |||||||||||
150 | S&P Emini 1st Wee Jul21P 1EN1P 4110 Index | GAIN | 07/02/2021 | 4,110 | 154,125,000 | 2,250 | ||||||||||||||
TOTAL PUT OPTIONS WRITTEN (Proceeds - $182,571) | 125,759 | |||||||||||||||||||
TOTAL FUTURE OPTIONS WRITTEN (Proceeds - $288,494) | $ | 150,210 | ||||||||||||||||||
ADM | ADM Investor Services, Inc. |
EDF | ED&F Man Capital Markets, Inc. |
GAIN | Gain Capital Group, LLC |
RCG | Rosenthal Collins Group |
(a) | Rate disclosed is the seven day effective yield as of June 30, 2021. |
(b) | Each contract is equivalent to one futures contract. |
(c) | Percentage rounds to greater than (0.1%). |
See accompanying notes to consolidated financial statements.
13
RATIONAL DYNAMIC BRANDS FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
June 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 92.0% | ||||||||
APPAREL & TEXTILE PRODUCTS - 12.9% | ||||||||
23,000 | adidas A.G. - ADR | $ | 4,295,940 | |||||
20,500 | LVMH Moet Hennessy Louis Vuitton S.E. - ADR | 3,234,900 | ||||||
30,639 | NIKE, Inc., Class B | 4,733,419 | ||||||
12,264,259 | ||||||||
ASSET MANAGEMENT - 2.9% | ||||||||
15,000 | Blackstone Group, Inc. (The) | 1,457,100 | ||||||
22,000 | KKR & Company, Inc. | 1,303,280 | ||||||
2,760,380 | ||||||||
AUTOMOTIVE - 1.8% | ||||||||
2,575 | Tesla, Inc.(a) | 1,750,227 | ||||||
E-COMMERCE DISCRETIONARY - 9.0% | ||||||||
9,000 | Alibaba Group Holding Ltd. - ADR(a) | 2,041,020 | ||||||
1,491 | Amazon.com, Inc.(a) | 5,129,279 | ||||||
918 | MercadoLibre, Inc.(a) | 1,430,051 | ||||||
8,600,350 | ||||||||
INTERNET MEDIA & SERVICES - 15.3% | ||||||||
9,900 | Airbnb, Inc.(a) | 1,516,086 | ||||||
1,720 | Alphabet, Inc., Class A(a) | 4,199,879 | ||||||
16,500 | IAC/InterActiveCorporation(a) | 2,543,805 | ||||||
1,137 | Shopify, Inc., Class A(a) | 1,661,134 | ||||||
6,788 | Spotify Technology S.A.(a) | 1,870,705 | ||||||
36,505 | Tencent Holdings Ltd. - ADR | 2,748,827 | ||||||
14,540,436 | ||||||||
LEISURE FACILITIES & SERVICES - 8.1% | ||||||||
41,500 | Caesars Entertainment, Inc.(a) | 4,305,624 | ||||||
2,200 | Chipotle Mexican Grill, Inc.(a) | 3,410,748 | ||||||
7,716,372 | ||||||||
LEISURE PRODUCTS - 1.5% | ||||||||
11,500 | Peloton Interactive, Inc.(a) | 1,426,230 | ||||||
RETAIL - CONSUMER STAPLES - 7.4% | ||||||||
7,374 | Costco Wholesale Corporation | 2,917,671 |
See accompanying notes to consolidated financial statements.
14
RATIONAL DYNAMIC BRANDS FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 92.0% (Continued) | ||||||||
RETAIL - CONSUMER STAPLES - 7.4% (Continued) | ||||||||
17,000 | Target Corporation | $ | 4,109,580 | |||||
7,027,251 | ||||||||
RETAIL - DISCRETIONARY - 7.3% | ||||||||
2,261 | Lululemon Athletica, Inc.(a) | 825,197 | ||||||
9,100 | RH(a) | 6,178,900 | ||||||
7,004,097 | ||||||||
SEMICONDUCTORS - 1.2% | ||||||||
9,500 | Taiwan Semiconductor Manufacturing Company Ltd. - ADR | 1,141,520 | ||||||
SOFTWARE - 3.7% | ||||||||
13,097 | Microsoft Corporation | 3,547,977 | ||||||
SPECIALTY FINANCE - 1.4% | ||||||||
14,800 | Afterpay Ltd., Institutional Class - ADR(a) | 1,306,692 | ||||||
TECHNOLOGY HARDWARE - 3.1% | ||||||||
21,656 | Apple, Inc. | 2,966,006 | ||||||
TECHNOLOGY SERVICES - 16.4% | ||||||||
11,778 | Mastercard, Inc., Class A | 4,300,030 | ||||||
15,945 | PayPal Holdings, Inc.(a) | 4,647,649 | ||||||
6,328 | Square, Inc., Class A(a) | 1,542,766 | ||||||
21,828 | Visa, Inc., Class A | 5,103,823 | ||||||
15,594,268 | ||||||||
TOTAL COMMON STOCKS (Cost $68,613,959) | 87,646,065 | |||||||
SHORT-TERM INVESTMENTS — 5.3% | ||||||||
MONEY MARKET FUNDS - 5.3% | ||||||||
5,086,028 | First American Government Obligations Fund, Class U, 0.03% (Cost $5,086,028)(b) | 5,086,028 | ||||||
TOTAL INVESTMENTS - 97.3% (Cost $73,699,987) | $ | 92,732,093 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 2.7% | 2,610,756 | |||||||
NET ASSETS - 100.0% | $ | 95,342,849 |
ADR | - American Depositary Receipt |
LTD | - Limited Company |
S/A | - Société Anonyme |
(a) | Non-income producing security. |
(b) | Rate disclosed is the seven day effective yield as of June 30, 2021. |
See accompanying notes to consolidated financial statements.
15
RATIONAL STRATEGIC ALLOCATION FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
June 30, 2021 |
Shares | Fair Value | |||||||||||
OPEN END FUNDS — 88.0% | ||||||||||||
ALTERNATIVE - 10.4% | ||||||||||||
91,480 | Catalyst Insider Income Fund, Class I(a) | $ | 905,657 | |||||||||
FIXED INCOME - 77.6% | ||||||||||||
44,595 | AlphaCentric Income Opportunities Fund, Class I(a) | 520,426 | ||||||||||
140,394 | Catalyst Enhanced Income Strategy Fund, Class I(a) | 1,573,804 | ||||||||||
96,712 | Catalyst/CIFC Floating Rate Income Fund, Class I(a) | 931,334 | ||||||||||
86,138 | Catalyst/Stone Beach Income Opportunity Fund, Class I(a) | 756,301 | ||||||||||
80,450 | Rational Special Situations Income Fund, Institutional Class(a) | 1,589,697 | ||||||||||
117,326 | Rational/Pier 88 Convertible Securities Fund, Institutional Class(a) | 1,424,347 | ||||||||||
6,795,909 | ||||||||||||
TOTAL OPEN END FUNDS (Cost $7,307,894) | 7,701,566 | |||||||||||
Principal Amount ($) | Coupon Rate (%) | Maturity | ||||||||||
U.S. GOVERNMENT & AGENCIES — 4.6% | ||||||||||||
U.S. TREASURY BILLS — 4.6% | ||||||||||||
400,000 | United States Treasury Bill | 0.055 | 12/30/21 | 399,889 | ||||||||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost $399,858) | 399,889 | |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS — 2.8% | ||||||||||||
MONEY MARKET FUNDS - 2.8% | ||||||||||||
241,642 | First American Government Obligations Fund, Class U, 0.03% (Cost $241,642)(b) | 241,642 | ||||||||||
TOTAL INVESTMENTS - 95.4% (Cost $7,949,394) | $ | 8,343,097 | ||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 4.6% | 400,814 | |||||||||||
NET ASSETS - 100.0% | $ | 8,743,911 | ||||||||||
OPEN FUTURES CONTRACTS | ||||||||||||||
Number of Contracts | Open Long Futures Contracts | Expiration | Notional Amount | Unrealized Appreciation | ||||||||||
41 | CME E-Mini Standard & Poor’s 500 Index Future | 09/17/2021 | $ | 8,791,630 | $ | 106,498 | ||||||||
TOTAL FUTURES CONTRACTS | ||||||||||||||
(a) | Affiliated Issuer. |
(b) | Rate disclosed is the seven day effective yield as of June 30, 2021. |
See accompanying notes to consolidated financial statements.
16
RATIONAL/RESOLVE ADAPTIVE ASSET ALLOCATION FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) |
June 30, 2021 |
Shares | Fair Value | |||||||
SHORT-TERM INVESTMENTS — 85.2% | ||||||||
MONEY MARKET FUNDS - 85.2% | ||||||||
57,493,861 | First American Government Obligations Fund, Class U, 0.03%(a) (Cost $57,493,861) | $ | 57,493,861 | |||||
TOTAL INVESTMENTS - 85.2% (Cost $57,493,861) | $ | 57,493,861 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 14.8% | 9,952,476 | |||||||
NET ASSETS - 100.0% | $ | 67,446,337 | ||||||
OPEN FUTURES CONTRACTS | ||||||||||||||
Number of Contracts | Open Long Futures Contracts | Expiration | Notional Amount(b) | Unrealized Appreciation (Depreciation) | ||||||||||
47 | CBOT $5 Mini Dow Jones Industrial Average e-CBOT | 09/17/2021 | $ | 8,083,764 | $ | 33,178 | ||||||||
28 | CBOT 10 Year US Treasury Note | 09/21/2021 | 3,710,000 | 9,203 | ||||||||||
20 | CBOT 5 Year US Treasury Note | 09/30/2021 | 2,468,600 | (470 | ) | |||||||||
11 | CBOT Corn Future(b) | 12/14/2021 | 323,675 | 23,675 | ||||||||||
48 | CBOT Soybean Meal Future(b) | 12/14/2021 | 1,832,160 | 31,790 | ||||||||||
2 | CBOT Soybean Oil Future(b) | 12/14/2021 | 75,312 | 5,574 | ||||||||||
69 | CBOT US Long Bond Future | 09/21/2021 | 11,091,750 | 144,703 | ||||||||||
12 | CBOT Wheat Future(b) | 09/14/2021 | 407,700 | 13,875 | ||||||||||
22 | CME Australian Dollar Currency Future | 09/13/2021 | 1,649,560 | (18,990 | ) | |||||||||
247 | CME Canadian Dollar Currency Future | 09/14/2021 | 19,913,140 | (283,745 | ) | |||||||||
2 | CME E-Mini NASDAQ 100 Index Future | 09/17/2021 | 581,960 | 12,175 | ||||||||||
7 | CME E-mini Russell 2000 Index Futures | 09/17/2021 | 807,730 | 11,880 | ||||||||||
1 | CME Euro Foreign Exchange Currency Future | 09/13/2021 | 148,313 | (912 | ) | |||||||||
56 | CME Feeder Cattle Future(b) | 08/26/2021 | 4,329,500 | 82,225 | ||||||||||
46 | CME Lean Hogs Future(b) | 08/13/2021 | 1,899,800 | (150,900 | ) | |||||||||
74 | CME Live Cattle Future(b) | 08/31/2021 | 3,632,660 | 48,820 | ||||||||||
212 | CME New Zealand Dollar Currency Future | 09/13/2021 | 14,803,960 | (327,750 | ) | |||||||||
13 | CME Nikkei 225 Index Future | 09/09/2021 | 1,871,025 | (150 | ) | |||||||||
46 | CME Swiss Franc Currency Future | 09/13/2021 | 6,220,925 | (206,275 | ) | |||||||||
46 | COMEX Copper Future(b) | 09/28/2021 | 4,932,350 | 89,200 | ||||||||||
93 | COMEX Gold 100 Troy Ounces Future(b) | 08/27/2021 | 16,475,880 | (939,020 | ) | |||||||||
3 | COMEX Silver Future(b) | 09/28/2021 | 392,910 | (90 | ) | |||||||||
87 | Eurex 10 Year Euro BUND Future | 09/08/2021 | 17,808,752 | 43,659 | ||||||||||
86 | Eurex 30 Year Euro BUXL Future | 09/08/2021 | 20,727,930 | 103,908 | ||||||||||
107 | Eurex 5 Year Euro BOBL Future | 09/08/2021 | 17,022,476 | 3,706 | ||||||||||
29 | Eurex EURO STOXX 50 Future | 09/17/2021 | 1,394,732 | (13,649 | ) | |||||||||
10 | Euro-BTP Italian Bond Futures | 09/08/2021 | 1,795,572 | 12,854 | ||||||||||
11 | Euronext Amsterdam Index Future | 07/16/2021 | 1,902,808 | (4,965 | ) | |||||||||
26 | Euronext CAC 40 Index Future | 07/16/2021 | 2,005,714 | (25,107 | ) | |||||||||
101 | Euronext Milling Wheat Future(b) | 09/10/2021 | 1,253,156 | (16,777 | ) |
See accompanying notes to consolidated financial statements.
17
RATIONAL/RESOLVE ADAPTIVE ASSET ALLOCATION FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
OPEN FUTURES CONTRACTS (Continued) | ||||||||||||||
Number of Contracts | Open Long Futures Contracts | Expiration | Notional Amount(b) | Unrealized Appreciation (Depreciation) | ||||||||||
14 | French Government Bond Futures | 09/08/2021 | $ | 2,640,479 | $ | 11,335 | ||||||||
9 | FTSE 100 Index Future | 09/17/2021 | 867,889 | (4,289 | ) | |||||||||
20 | FTSE/MIB Index Future | 09/17/2021 | 2,965,226 | (57,913 | ) | |||||||||
8 | FVSA index - Mini-Futures on VSTOXX(b) | 08/18/2021 | 18,073 | 160 | ||||||||||
27 | HKG Hang Seng Index Future | 07/29/2021 | 4,976,983 | 21,356 | ||||||||||
34 | ICE Brent Crude Oil Future(b) | 07/30/2021 | 2,537,080 | (6,860 | ) | |||||||||
8 | ICE Carbon Emissions Future(b) | 12/20/2021 | 534,794 | 22,667 | ||||||||||
42 | ICE Gas Oil Future(b) | 08/12/2021 | 2,512,650 | (13,675 | ) | |||||||||
5 | ICE Natural Gas Future(b) | 07/29/2021 | 183,869 | 17,549 | ||||||||||
3 | ICE US MSCI Emerging Markets EM Index Futures | 09/17/2021 | 204,720 | 625 | ||||||||||
11 | KCBT Hard Red Winter Wheat Future(b) | 09/14/2021 | 362,450 | 25,487 | ||||||||||
93 | Long Gilt Future | 09/28/2021 | 16,457,630 | 90,462 | ||||||||||
32 | MEFF Madrid IBEX 35 Index Future | 07/16/2021 | 3,335,056 | (63,226 | ) | |||||||||
5 | Montreal Exchange S&P/TSX 60 Index Future | 09/16/2021 | 971,251 | 162 | ||||||||||
2 | NYBOT CSC C Coffee Future(b) | 09/20/2021 | 119,813 | 282 | ||||||||||
181 | NYBOT CSC Cocoa Future(b) | 09/15/2021 | 4,324,089 | (13,031 | ) | |||||||||
101 | NYBOT CSC Number 11 World Sugar Future(b) | 09/30/2021 | 2,023,717 | 37,722 | ||||||||||
32 | NYBOT CTN Number 2 Cotton Future(b) | 12/08/2021 | 1,358,400 | (27,155 | ) | |||||||||
28 | NYMEX Henry Hub Natural Gas Futures(b) | 07/28/2021 | 1,022,000 | 25,400 | ||||||||||
31 | NYMEX Light Sweet Crude Oil Future(b) | 07/20/2021 | 2,277,570 | 63,600 | ||||||||||
12 | NYMEX NY Harbor ULSD Futures(b) | 07/30/2021 | 1,072,663 | 20,693 | ||||||||||
14 | SFE S&P ASX Share Price Index 200 Future | 09/16/2021 | 1,897,934 | (10,584 | ) | |||||||||
114 | SGX FTSE China A50 Futures Contract | 07/29/2021 | 1,972,200 | 17,463 | ||||||||||
11 | SGX Nifty 50 Index Futures | 07/29/2021 | 346,434 | (3,179 | ) | |||||||||
5 | SGX Nikkei 225 Stock Index Future | 09/09/2021 | 647,356 | (6,695 | ) | |||||||||
48 | TSE Japanese 10 Year Bond Futures | 09/13/2021 | 65,601,586 | 134,774 | ||||||||||
9 | TSE TOPIX (Tokyo Price Index) Future | 09/09/2021 | 1,575,547 | (8,352 | ) | |||||||||
TOTAL FUTURES CONTRACTS | $ | (1,043,597 | ) | |||||||||||
OPEN FUTURES CONTRACTS | ||||||||||||||
Number of Contracts | Open Short Futures Contracts | Expiration | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||
9 | CBOT Soybean Future(b) | 11/12/2021 | $ | 629,550 | $ | (49,700 | ) | |||||||
27 | CME British Pound Currency Future | 09/13/2021 | 2,329,594 | 6,794 | �� | |||||||||
176 | CME Japanese Yen Currency Future | 09/13/2021 | 19,815,400 | 228,663 | ||||||||||
36 | NYMEX Platinum Future(b) | 10/27/2021 | 1,931,220 | (12,175 | ) | |||||||||
5 | NYMEX Reformulated Gasoline Blendstock for Oxygen(b) | 07/30/2021 | 470,778 | 7,623 | ||||||||||
TOTAL FUTURES CONTRACTS | $ | 181,205 | ||||||||||||
(a) | Rate disclosed is the seven day effective yield as of June 30, 2021. |
(b) | All or a portion of this investment is a holding of the RDMF Fund Ltd. |
See accompanying notes to consolidated financial statements.
18
RATIONAL/PIER 88 CONVERTIBLE SECURITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
June 30, 2021 |
Shares | Fair Value | |||||||||||
COMMON STOCKS — 0.8% | ||||||||||||
BIOTECH & PHARMA - 0.8% | ||||||||||||
8,333 | Horizon Therapeutics plc(a) (Cost $372,291) | $ | 780,302 | |||||||||
Dividend Rate (%) | Maturity | |||||||||||
PREFERRED STOCKS — 42.4% | ||||||||||||
ASSET MANAGEMENT - 6.6% | ||||||||||||
27,200 | AMG Capital Trust II | 2.5800 | 10/15/2037 | 1,631,728 | ||||||||
63,400 | KKR & Company, Inc. | 6.0000 | 9/15/2023 | 4,885,604 | ||||||||
6,517,332 | ||||||||||||
BANKING - 5.3% | ||||||||||||
1,748 | Bank of America Corporation | 7.2500 | Perpetual | 2,475,168 | ||||||||
1,783 | Wells Fargo & Company - Series L | 7.5000 | Perpetual | 2,721,232 | ||||||||
5,196,400 | ||||||||||||
ELECTRIC UTILITIES - 11.8% | ||||||||||||
58,650 | American Electric Power Company, Inc. | 6.1250 | 3/15/2022 | 2,881,474 | ||||||||
18,366 | Dominion Energy, Inc. | 7.2500 | 6/1/2022 | 1,783,890 | ||||||||
39,755 | DTE Energy Company | 6.2500 | 11/1/2022 | 1,965,090 | ||||||||
34,713 | NextEra Energy, Inc. | 5.2790 | 3/1/2023 | 1,949,135 | ||||||||
25,118 | NextEra Energy, Inc. | 4.8720 | 9/1/2022 | 1,229,777 | ||||||||
35,313 | Southern Company (The) - Series 2019 | 6.7500 | 8/1/2022 | 1,787,897 | ||||||||
11,597,263 | ||||||||||||
MACHINERY - 4.6% | ||||||||||||
37,390 | Stanley Black & Decker, Inc. | 5.2500 | Perpetual | 4,514,095 | ||||||||
MEDICAL EQUIPMENT & DEVICES - 9.6% | ||||||||||||
39,335 | Boston Scientific Corporation | 5.5000 | 6/1/2023 | 4,539,259 | ||||||||
805 | Danaher Corporation(a) | 4.7500 | 4/1/2022 | 1,450,795 | ||||||||
2,345 | Danaher Corporation(a) | 5.0000 | 4/1/2023 | 3,431,908 | ||||||||
9,421,962 | ||||||||||||
SEMICONDUCTORS - 4.5% | ||||||||||||
2,924 | Broadcom, Inc. - Series A | 8.0000 | 9/30/2022 | 4,444,100 |
See accompanying notes to consolidated financial statements.
19
RATIONAL/PIER 88 CONVERTIBLE SECURITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Shares | Fair Value | |||||||||||
PREFERRED STOCKS — 42.4% (Continued) | ||||||||||||
TOTAL PREFERRED STOCKS (Cost $37,705,601) | $ | 41,691,152 | ||||||||||
Principal Amount ($) | Coupon Rate (%) | Maturity | Fair Value | |||||||||
CONVERTIBLE BONDS — 53.9% | ||||||||||||
ASSET MANAGEMENT — 7.7% | ||||||||||||
4,220,000 | Ares Capital Corporation | 4.6250 | 03/01/24 | 4,591,782 | ||||||||
1,690,886 | New Mountain Finance Corporation | 5.7500 | 08/15/23 | 1,802,992 | ||||||||
1,056,540 | Sixth Street Specialty Lending, Inc. | 4.5000 | 08/01/22 | 1,217,028 | ||||||||
7,611,802 | ||||||||||||
CONSUMER SERVICES — 1.9% | ||||||||||||
1,795,000 | Chegg, Inc.(b),(c) | 0.0000 | 09/01/26 | 1,865,005 | ||||||||
ELECTRICAL EQUIPMENT — 1.5% | ||||||||||||
1,430,000 | Fortive Corporation | 0.8750 | 02/15/22 | 1,433,575 | ||||||||
ENGINEERING & CONSTRUCTION — 0.9% | ||||||||||||
560,000 | KBR, Inc. | 2.5000 | 11/01/23 | 878,080 | ||||||||
HEALTH CARE FACILITIES & SERVICES — 2.7% | ||||||||||||
492,616 | Anthem, Inc. | 2.7500 | 10/15/42 | 2,658,993 | ||||||||
INTERNET MEDIA & SERVICES — 4.8% | ||||||||||||
4,395,000 | Expedia Group, Inc.(b),(c) | 0.0000 | 02/15/26 | 4,746,600 | ||||||||
LEISURE FACILITIES & SERVICES — 0.5% | ||||||||||||
170,000 | Carnival Corporation | 5.7500 | 04/01/23 | 465,800 | ||||||||
MEDICAL EQUIPMENT & DEVICES — 5.2% | ||||||||||||
2,120,000 | Insulet Corporation | 0.3750 | 09/01/26 | 2,881,875 | ||||||||
2,170,000 | NuVasive, Inc. | 1.0000 | 06/01/23 | 2,262,225 | ||||||||
5,144,100 | ||||||||||||
OIL & GAS PRODUCERS — 2.0% | ||||||||||||
1,245,000 | Pioneer Natural Resources Company | 0.2500 | 05/15/25 | 1,986,398 |
See accompanying notes to consolidated financial statements.
20
RATIONAL/PIER 88 CONVERTIBLE SECURITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Principal Amount ($) | Coupon Rate (%) | Maturity | Fair Value | |||||||||
CONVERTIBLE BONDS — 53.9% (Continued) | ||||||||||||
SEMICONDUCTORS — 2.4% | ||||||||||||
510,000 | ON Semiconductor Corporation | 1.6250 | 10/15/23 | $ | 969,351 | |||||||
1,320,000 | ON Semiconductor Corporation(b),(c) | 0.0000 | 05/01/27 | 1,373,592 | ||||||||
2,342,943 | ||||||||||||
SOFTWARE — 13.1% | ||||||||||||
600,000 | Cloudflare, Inc. | 0.7500 | 05/15/25 | 1,708,500 | ||||||||
1,645,000 | CyberArk Software Ltd.(c) | 0.0000 | 11/15/24 | 1,778,739 | ||||||||
449,599 | DocuSign, Inc. | 0.5000 | 09/15/23 | 1,753,436 | ||||||||
1,865,000 | FireEye, Inc. | 0.8750 | 06/01/24 | 2,106,284 | ||||||||
1,670,000 | PROS Holdings, Inc. | 1.0000 | 05/15/24 | 1,714,881 | ||||||||
3,365,000 | RingCentral, Inc.(c) | 0.0000 | 03/01/25 | 3,716,221 | ||||||||
12,778,061 | ||||||||||||
TECHNOLOGY HARDWARE — 4.4% | ||||||||||||
4,083,080 | Western Digital Corporation B | 1.6500 | 02/01/24 | 4,361,240 | ||||||||
TECHNOLOGY SERVICES — 3.7% | ||||||||||||
3,180,928 | Euronet Worldwide, Inc. | 0.7500 | 03/15/49 | 3,622,282 | ||||||||
TRANSPORTATION & LOGISTICS — 0.7% | ||||||||||||
440,000 | Southwest Airlines Company | 1.2500 | 05/01/25 | 666,325 | ||||||||
TRANSPORTATION EQUIPMENT — 2.4% | ||||||||||||
2,311,118 | Meritor, Inc. | 3.2500 | 10/15/37 | 2,452,790 | ||||||||
TOTAL CONVERTIBLE BONDS (Cost $50,339,099) | 53,013,994 | |||||||||||
See accompanying notes to consolidated financial statements.
21
RATIONAL/PIER 88 CONVERTIBLE SECURITIES FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Shares | Fair Value | |||||||
SHORT-TERM INVESTMENTS — 2.6% | ||||||||
MONEY MARKET FUNDS - 2.6% | ||||||||
2,554,893 | First American Government Obligations Fund, Class U, 0.03% (Cost $2,554,893)(d) | $ | 2,554,893 | |||||
TOTAL INVESTMENTS - 99.7% (Cost $90,971,884) | $ | 98,040,341 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 0.3% | 240,555 | |||||||
NET ASSETS - 100.0% | $ | 98,280,896 | ||||||
LTD | - Limited Company |
PLC | - Public Limited Company |
(a) | Non-income producing security. |
(b) | 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 June 30, 2021 the total market value of 144A securities is 7,985,197 or 8.1% of net assets. |
(c) | Zero coupon bond. |
(d) | Rate disclosed is the seven day effective yield as of June 30, 2021. |
See accompanying notes to consolidated financial statements.
22
RATIONAL SPECIAL SITUATIONS INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) |
June 30, 2021 |
Shares | Dividend Rate (%) | Maturity | Fair Value | |||||||||||
PREFERRED STOCKS — 0.4% | ||||||||||||||
REAL ESTATE INVESTMENT TRUSTS - 0.4% | ||||||||||||||
80,000 | Vinebrook Homes Trust, Inc. 144A(a) (Cost $2,002,560) | 6.5000 | $ | 2,060,000 | ||||||||||
Principal Amount ($) | Spread | Coupon Rate (%) | Fair Value | |||||||||||
ASSET BACKED SECURITIES — 82.0% | ||||||||||||||
CDO — 4.1% | ||||||||||||||
2,401,884 | Aspen Funding I Ltd.(a) | 9.0600 | 07/10/37 | 2,540,922 | ||||||||||
10,000,000 | Bleecker Structured Asset Funding Ltd. | 1.1020 | 04/01/35 | 930,000 | ||||||||||
4,750,000 | Capitalsource Real Estate Loan Trust(a),(g) | US0003M + 0.650% | 0.8380 | 01/20/37 | 4,348,701 | |||||||||
5,892,061 | Fulton Street CDO Ltd.(a),(g) | US0003M + 0.420% | 0.6080 | 04/20/32 | 3,534,288 | |||||||||
6,683,810 | Nomura CRE CDO 2007-2 Ltd.(a),(g) | US0003M + 0.450% | 0.5990 | 05/21/42 | 3,812,846 | |||||||||
1,137,370 | RAIT CRE CDO I Ltd.(a),(g) | US0001M + 0.600% | 0.6930 | 11/20/46 | 1,060,688 | |||||||||
5,021,943 | RAIT CRE CDO I Ltd.(a),(g) | US0001M + 0.700% | 0.7930 | 11/20/46 | 4,268,651 | |||||||||
2,000,000 | Taberna Preferred Funding II Ltd.(a),(g) | US0003M + 0.650% | 0.8260 | 11/05/35 | 1,120,000 | |||||||||
200,000 | Tropic CDO V Ltd.(a) | 0.0000 | 07/15/36 | 127,038 | ||||||||||
797,398 | Wachovia Repackaged Asset Participating Securities(a),(g) | US0003M + 0.550% | 0.7120 | 02/08/35 | 653,866 | |||||||||
521,498 | Wachovia Repackaged Asset Participating Securities(a),(g) | US0003M + 0.550% | 0.7120 | 02/08/35 | 470,652 | |||||||||
22,867,652 | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 42.0% | ||||||||||||||
204,248 | ABN Amro Mortgage Corporation | 5.7500 | 12/25/32 | 207,516 | ||||||||||
25,368 | Adjustable Rate Mortgage Trust 2004-5 | 2.8080 | 04/25/35 | 25,663 | ||||||||||
225,888 | Adjustable Rate Mortgage Trust 2005-10(g) | US0001M + 0.540% | 0.6320 | 01/25/36 | 222,094 | |||||||||
531,834 | Adjustable Rate Mortgage Trust 2005-10 | 2.7040 | 01/25/36 | 510,585 | ||||||||||
357,465 | Adjustable Rate Mortgage Trust 2005-10 | 2.7040 | 01/25/36 | 346,913 | ||||||||||
121,366 | Adjustable Rate Mortgage Trust 2005-10 | 2.8840 | 01/25/36 | 114,409 | ||||||||||
226,299 | Adjustable Rate Mortgage Trust 2005-2 | 2.8550 | 06/25/35 | 227,364 | ||||||||||
182,324 | Adjustable Rate Mortgage Trust 2005-5 | 2.7210 | 09/25/35 | 173,416 | ||||||||||
16,606 | Alternative Loan Trust 2003-4CB | 5.7500 | 04/25/33 | 16,902 | ||||||||||
99,016 | Alternative Loan Trust 2003-J3 | 5.2500 | 11/25/33 | 100,341 | ||||||||||
515,691 | Alternative Loan Trust 2004-2CB | 5.0000 | 08/25/54 | 516,477 | ||||||||||
2,605 | Alternative Loan Trust 2004-33 | 3.0180 | 12/25/34 | 2,629 | ||||||||||
91,930 | Alternative Loan Trust 2005-17(g) | US0001M + 0.560% | 0.6510 | 07/25/35 | 66,613 | |||||||||
900,170 | Alternative Loan Trust 2005-43 | 3.3670 | 09/25/35 | 865,579 |
See accompanying notes to consolidated financial statements.
23
RATIONAL SPECIAL SITUATIONS INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 82.0% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 42.0% (Continued) | ||||||||||||||
119,891 | Alternative Loan Trust 2005-51(g) | US0001M + 0.600% | 0.6910 | 11/20/35 | $ | 114,571 | ||||||||
67,794 | Alternative Loan Trust 2005-63 | 3.3050 | 12/25/35 | 65,414 | ||||||||||
483,616 | Alternative Loan Trust 2006-32CB(g) | US0001M + 0.670% | 0.7620 | 11/25/36 | 257,541 | |||||||||
802,803 | Alternative Loan Trust 2006-32CB(c), (g) | US0001M + 5.330% | 5.2390 | 11/25/36 | 164,607 | |||||||||
1,470,601 | Alternative Loan Trust 2006-J6(g) | US0001M + 0.500% | 0.5920 | 09/25/36 | 727,272 | |||||||||
1,794,133 | Alternative Loan Trust 2006-J6,(c), (g) | US0001M + 5.500% | 5.4080 | 09/25/36 | 375,199 | |||||||||
221,464 | Alternative Loan Trust 2006-OA7(g) | US0001M + 0.420% | 0.5110 | 06/25/46 | 177,008 | |||||||||
1,407 | Alternative Loan Trust 2006-OC11(g) | US0001M + 0.340% | 0.2620 | 01/25/37 | 4,545 | |||||||||
367,634 | Alternative Loan Trust 2007-5CB(d) | 0.0000 | 04/25/37 | 110,954 | ||||||||||
453,135 | Alternative Loan Trust 2007-5CB(c), (g) | US0001M + 5.650% | 5.5590 | 04/25/37 | 125,865 | |||||||||
710,510 | Alternative Loan Trust Resecuritization 2005-12R | 6.0000 | 11/25/34 | 708,954 | ||||||||||
536,917 | American Home Mortgage Assets Trust 2006-1(g) | US0001M + 0.380% | 0.4710 | 05/25/46 | 479,597 | |||||||||
32,099 | American Home Mortgage Investment Trust 2004-1(g) | US0001M + 0.900% | 0.9920 | 04/25/44 | 31,932 | |||||||||
37,535 | American Home Mortgage Investment Trust 2004-3 Class IV-A(g) | US0006M + 1.500% | 1.7070 | 10/25/34 | 38,175 | |||||||||
49,651 | American Home Mortgage Investment Trust 2005-1(g) | US0006M + 2.000% | 2.2110 | 06/25/45 | 50,919 | |||||||||
1,977,021 | American Home Mortgage Investment Trust 2005-2(e) | 5.3280 | 09/25/35 | 1,715,290 | ||||||||||
1,152,085 | American Home Mortgage Investment Trust 2005-4(g) | US0006M + 1.750% | 1.9560 | 11/25/45 | 710,322 | |||||||||
438,008 | American Home Mortgage Investment Trust 2006-2(g) | US0001M + 0.220% | 0.3120 | 06/25/36 | 28,184 | |||||||||
1,016,515 | American Home Mortgage Investment Trust 2006-3(g) | US0001M + 0.380% | 0.4710 | 12/25/46 | 1,016,567 | |||||||||
1,527,125 | American Home Mortgage Investment Trust 2007-1(g) | US0001M + 0.160% | 0.2510 | 05/25/47 | 1,104,728 | |||||||||
702,577 | Banc of America Alternative Loan Trust 2006-4(g) | US0001M + 0.850% | 0.9420 | 05/25/46 | 595,934 | |||||||||
709,011 | Banc of America Alternative Loan Trust 2006-4(c),(g) | US0001M + 5.150% | 5.0590 | 05/25/46 | 113,476 | |||||||||
359,613 | Banc of America Alternative Loan Trust 2006-4 | 6.0000 | 05/25/46 | 359,269 | ||||||||||
385,038 | Banc of America Alternative Loan Trust 2006-4 | 6.0000 | 05/25/46 | 384,669 | ||||||||||
310,728 | Banc of America Alternative Loan Trust 2006-4 | 6.0000 | 05/25/46 | 311,834 | ||||||||||
574,128 | Banc of America Funding 2004-B Trust | 2.2060 | 12/20/34 | 513,538 | ||||||||||
98,429 | Banc of America Funding 2005-8 Trust(d) | 0.0000 | 01/25/36 | 73,353 | ||||||||||
263,497 | Banc of America Funding 2005-B Trust | 2.7120 | 04/20/35 | 253,319 | ||||||||||
2,646,582 | Banc of America Funding 2005-E Trust | 2.9840 | 05/20/35 | 2,541,062 | ||||||||||
132,679 | Banc of America Funding 2005-E Trust(g) | COF 11 + 1.430% | 1.7730 | 06/20/35 | 111,719 | |||||||||
322,360 | Banc of America Funding 2006-B Trust | 2.2460 | 03/20/36 | 319,382 | ||||||||||
172,291 | Banc of America Funding 2006-B Trust | 2.6190 | 03/20/36 | 157,717 | ||||||||||
236,247 | Banc of America Funding 2006-C Trust | 2.9390 | 04/20/36 | 235,446 | ||||||||||
188,682 | Banc of America Funding 2006-D Trust | 3.4990 | 05/20/36 | 185,820 |
See accompanying notes to consolidated financial statements.
24
RATIONAL SPECIAL SITUATIONS INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 82.0% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 42.0% (Continued) | ||||||||||||||
244,675 | Banc of America Funding 2006-F Trust | 2.6030 | 07/20/36 | $ | 270,407 | |||||||||
55,950 | Banc of America Funding 2006-G Trust(g) | US0012M + 1.750% | 1.9990 | 07/20/36 | 58,049 | |||||||||
157,410 | Banc of America Funding 2006-I Trust | 2.8230 | 10/20/46 | 142,622 | ||||||||||
119,779 | Banc of America Funding 2007-4 Trust | 5.5000 | 11/25/34 | 119,175 | ||||||||||
158,562 | Banc of America Funding 2007-7 Trust(d) | 0.0000 | 09/25/37 | 97,290 | ||||||||||
589,420 | Banc of America Funding 2007-8 Trust | 6.0000 | 09/25/22 | 455,855 | ||||||||||
195,518 | Banc of America Funding 2007-C Trust(g) | US0001M + 0.540% | 0.6330 | 05/20/47 | 188,965 | |||||||||
135,626 | Banc of America Funding 2016-R2 Trust(a) | 4.7000 | 05/01/33 | 130,805 | ||||||||||
90,921 | Banc of America Mortgage 2005-A Trust | 2.5810 | 02/25/35 | 94,025 | ||||||||||
679,412 | Banc of America Mortgage 2005-G Trust | 3.2280 | 08/25/35 | 664,129 | ||||||||||
1,920,502 | Banc of America Mortgage 2005-I Trust | 2.5000 | 10/25/35 | 1,861,789 | ||||||||||
123,223 | Banc of America Mortgage 2006-A Trust | 3.2290 | 02/25/36 | 109,063 | ||||||||||
131,162 | Banc of America Mortgage 2006-B Trust | 3.1090 | 11/20/46 | 125,853 | ||||||||||
33,435 | Banc of America Mortgage Trust 2005-3 | 5.5000 | 03/25/35 | 33,243 | ||||||||||
3,845,184 | BCAP, LLC 2010-RR11-I Trust(a) | 2.7550 | 06/27/36 | 3,783,211 | ||||||||||
3,114,110 | BCAP, LLC 2011-RR4-I Trust(a) | 5.2500 | 04/26/37 | 2,301,312 | ||||||||||
4,228,279 | BCAP, LLC 2013-RR7 Trust(a) | 2.9270 | 12/27/34 | 3,970,782 | ||||||||||
209,057 | BCAP, LLC Trust 2007-AA2 | 6.0000 | 03/25/22 | 208,516 | ||||||||||
18,777 | Bear Stearns ALT-A Trust 2004-9 | 3.1640 | 09/25/34 | 20,694 | ||||||||||
4,936,496 | Bear Stearns ALT-A Trust 2005-10(g) | US0001M + 0.500% | 0.5920 | 01/25/36 | 6,188,347 | |||||||||
128,243 | Bear Stearns ALT-A Trust 2005-10 | 2.9200 | 01/25/36 | 124,823 | ||||||||||
93,024 | Bear Stearns ALT-A Trust 2005-4 | 2.1000 | 05/25/35 | 93,176 | ||||||||||
3,809,803 | Bear Stearns ALT-A Trust 2006-1(g) | US0001M + 0.480% | 0.5720 | 02/25/36 | 3,837,214 | |||||||||
2,626,918 | Bear Stearns ALT-A Trust 2006-2(g) | US0001M + 0.440% | 0.5320 | 04/25/36 | 3,360,693 | |||||||||
266,108 | Bear Stearns ALT-A Trust 2006-3(g) | US0001M + 0.380% | 0.4710 | 05/25/36 | 292,110 | |||||||||
531,927 | Bear Stearns ALT-A Trust 2006-3 | 3.1490 | 05/25/36 | 359,656 | ||||||||||
108,572 | Bear Stearns ALT-A Trust 2006-3 | 3.1620 | 05/25/36 | 84,328 | ||||||||||
48,135 | Bear Stearns ALT-A Trust II 2007-1 | 3.1370 | 09/25/47 | 32,042 | ||||||||||
52,285 | Bear Stearns ARM Trust 2003-8 | 2.3750 | 01/25/34 | 51,505 | ||||||||||
14,762 | Bear Stearns ARM Trust 2004-1 | 2.1300 | 04/25/34 | 14,872 | ||||||||||
80,819 | Bear Stearns ARM Trust 2004-10 | 3.1470 | 01/25/35 | 85,110 | ||||||||||
319,705 | Bear Stearns ARM Trust 2005-3 | 3.0170 | 06/25/35 | 325,014 | ||||||||||
166,731 | Bear Stearns ARM Trust 2005-8(a) | 3.2550 | 08/25/35 | 163,098 | ||||||||||
76,723 | Bear Stearns ARM Trust 2007-5 | 3.3600 | 08/25/47 | 75,887 |
See accompanying notes to consolidated financial statements.
25
RATIONAL SPECIAL SITUATIONS INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 82.0% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 42.0% (Continued) | ||||||||||||||
211,493 | Bear Stearns Asset Backed Securities I Trust(g) | US0001M + 1.000% | 1.0910 | 08/25/35 | $ | 159,499 | ||||||||
1,687,569 | Bear Stearns Mortgage Funding Trust 2006-SL5(g) | US0001M + 0.300% | 0.3920 | 12/25/36 | 1,709,969 | |||||||||
28,267 | Bear Stearns Mortgage Securities, Inc. | 6.2960 | 03/25/31 | 28,271 | ||||||||||
210,404 | Chase Mortgage Finance Trust Series 2005-S1 | 5.0000 | 05/25/35 | 210,437 | ||||||||||
17,004 | CHL Mortgage Pass-Through Trust 2003-56 | 2.6560 | 12/25/33 | 16,973 | ||||||||||
306,152 | CHL Mortgage Pass-Through Trust 2004-2 | 2.6510 | 02/25/34 | 292,042 | ||||||||||
49,569 | CHL Mortgage Pass-Through Trust 2004-7 | 2.4540 | 06/25/34 | 50,178 | ||||||||||
73,822 | CHL Mortgage Pass-Through Trust 2004-8(d) | 0.0000 | 07/25/34 | 58,567 | ||||||||||
3,607 | CHL Mortgage Pass-Through Trust 2005-11(g) | US0001M + 0.320% | 0.4120 | 04/25/35 | 2,105 | |||||||||
147,114 | CHL Mortgage Pass-Through Trust 2005-15 | 5.1000 | 08/25/35 | 149,836 | ||||||||||
2,931 | CHL Mortgage Pass-Through Trust 2005-7(g) | US0001M + 0.720% | 0.8120 | 03/25/35 | 1,108 | |||||||||
275,187 | CHL Mortgage Pass-Through Trust 2005-J2 | 5.0000 | 08/25/35 | 208,494 | ||||||||||
162,515 | Citicorp Mortgage Securities Trust Series 2006-1 | 6.0000 | 02/25/36 | 167,980 | ||||||||||
500,333 | Citicorp Mortgage Securities, Inc. | 5.5000 | 03/25/35 | 505,839 | ||||||||||
172,164 | Citigroup Mortgage Loan Trust 2004-HYB2 | 2.7900 | 03/25/34 | 174,966 | ||||||||||
96,263 | Citigroup Mortgage Loan Trust 2005-11(g) | H15T1Y + 2.400% | 2.5200 | 11/25/35 | 96,783 | |||||||||
436,265 | Citigroup Mortgage Loan Trust 2006-AR2 | 2.5690 | 03/25/36 | 421,918 | ||||||||||
170,177 | Citigroup Mortgage Loan Trust 2006-AR5 | 2.8500 | 07/25/36 | 157,945 | ||||||||||
2,378,064 | Citigroup Mortgage Loan Trust 2008-RR1(a),(g) | US0001M + 0.070% | 0.1610 | 01/25/37 | 2,164,626 | |||||||||
619,820 | Citigroup Mortgage Loan Trust 2010-8(a) | 3.1470 | 11/19/35 | 560,492 | ||||||||||
433,399 | Citigroup Mortgage Loan Trust 2013-8(a) | 2.6300 | 11/25/36 | 356,538 | ||||||||||
402,719 | Citigroup Mortgage Loan Trust 2019-C(a),(e) | 3.2280 | 09/25/59 | 404,083 | ||||||||||
1,003,187 | Citigroup Mortgage Loan Trust, Inc.(a),(g) | US0001M + 0.400% | 0.4920 | 01/25/29 | 923,892 | |||||||||
1,091,599 | Citigroup Mortgage Loan Trust, Inc. | 5.7500 | 11/25/35 | 994,579 | ||||||||||
120,153 | CitiMortgage Alternative Loan Trust Series 2007-A1(d) | 0.0000 | 01/25/37 | 79,513 | ||||||||||
225,335 | CitiMortgage Alternative Loan Trust Series 2007-A1(c),(g) | US0001M + 5.400% | 5.3080 | 01/25/37 | 37,186 | |||||||||
23,583 | CitiMortgage Alternative Loan Trust Series 2007-A1 | 6.0000 | 01/25/37 | 23,877 | ||||||||||
31,827,712 | COMM 2007-C9 Mortgage Trust(a),(c) | 0.6210 | 12/10/49 | 297,344 | ||||||||||
688,799 | Credit Suisse First Boston Mortgage Securities | 5.5000 | 08/25/25 | 665,172 | ||||||||||
461,082 | Credit Suisse First Boston Mortgage Securities(a) | 0.7140 | 03/25/32 | 439,458 | ||||||||||
129,581 | Credit Suisse First Boston Mortgage Securities | 7.0000 | 06/25/32 | 127,793 | ||||||||||
118,605 | Credit Suisse First Boston Mortgage Securities | 2.2570 | 11/25/32 | 119,998 | ||||||||||
30,203 | Credit Suisse First Boston Mortgage Securities | 2.2570 | 11/25/32 | 26,756 | ||||||||||
26,047 | Credit Suisse First Boston Mortgage Securities | 6.9690 | 12/25/32 | 27,262 |
See accompanying notes to consolidated financial statements.
26
RATIONAL SPECIAL SITUATIONS INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 82.0% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 42.0% (Continued) | ||||||||||||||
100,792 | Credit Suisse First Boston Mortgage Securities | 5.6700 | 04/25/33 | $ | 96,188 | |||||||||
52,994 | Credit Suisse First Boston Mortgage Securities | 5.0000 | 09/25/34 | 53,455 | ||||||||||
663,267 | CSFB Mortgage-Backed Pass-Through Certificates | 7.0000 | 10/25/32 | 678,453 | ||||||||||
97,734 | CSFB Mortgage-Backed Pass-Through Certificates | 6.5000 | 12/25/33 | 100,360 | ||||||||||
161,300 | CSFB Mortgage-Backed Pass-Through Certificates | 2.2710 | 06/25/34 | 164,117 | ||||||||||
11,014 | CSFB Mortgage-Backed Pass-Through Certificates | 2.3820 | 06/25/34 | 11,564 | ||||||||||
5,496 | CSFB Mortgage-Backed Pass-Through Certificates | 5.5000 | 07/25/35 | 5,515 | ||||||||||
1,027,999 | CSFB Mortgage-Backed Pass-Through Certificates(g) | US0001M + 0.350% | 0.4420 | 10/25/35 | 869,400 | |||||||||
48,099 | CSFB Mortgage-Backed Trust Series 2004-AR6 | 2.6810 | 10/25/34 | 48,946 | ||||||||||
2,497,133 | CSMC Mortgage-Backed Trust 2006-9 | 6.5000 | 11/25/36 | 2,196,906 | ||||||||||
331,226 | CSMC Mortgage-Backed Trust 2007-1 | 6.0000 | 02/25/37 | 290,880 | ||||||||||
245,400 | CSMC Mortgage-Backed Trust 2007-3(g) | US0001M + 0.250% | 0.3410 | 04/25/37 | 207,417 | |||||||||
684,794 | CSMC Mortgage-Backed Trust 2007-3 | 5.0000 | 04/25/37 | 680,801 | ||||||||||
748,420 | CSMC Mortgage-Backed Trust 2007-3 | 5.8370 | 04/25/37 | 279,290 | ||||||||||
340,302 | CSMC Mortgage-Backed Trust 2007-4(g) | US0001M + 0.400% | 0.4920 | 06/25/37 | 244,094 | |||||||||
62,482 | CSMC Mortgage-Backed Trust 2007-5 | 6.0000 | 04/25/29 | 62,018 | ||||||||||
161,283 | CSMC Series 2011-6R(a) | 3.3250 | 04/28/37 | 164,820 | ||||||||||
167,570 | CSMC Series 2014-4R(a),(g) | US0001M + 0.200% | 0.2920 | 02/27/36 | 163,088 | |||||||||
239,258 | Deutsche Alt-B Securities Inc Mortgage Loan Trust | 4.9660 | 06/25/36 | 237,751 | ||||||||||
37,611 | Deutsche Mortgage Sec Inc Mort Loan Tr Ser 2004-1 | 5.5000 | 09/25/33 | 33,720 | ||||||||||
191,422 | Deutsche Mortgage Securities Inc Mortgage Loan(a),(g) | US0001M + 0.280% | 0.3530 | 04/15/36 | 168,967 | |||||||||
17,411 | DSLA Mortgage Loan Trust 2004-AR1(g) | US0001M + 0.840% | 0.9330 | 09/19/44 | 16,745 | |||||||||
451,801 | DSLA Mortgage Loan Trust 2004-AR2(g) | US0001M + 0.800% | 0.8930 | 11/19/44 | 434,980 | |||||||||
1,889,873 | DSLA Mortgage Loan Trust 2004-AR4(g) | US0001M + 0.700% | 0.7930 | 01/19/45 | 1,711,154 | |||||||||
2,943,210 | DSLA Mortgage Loan Trust 2007-AR1(g) | US0001M + 0.140% | 0.2330 | 04/19/47 | 2,601,411 | |||||||||
510,717 | First Horizon Alternative Mortgage Securities | 2.6030 | 12/25/34 | 495,578 | ||||||||||
356,144 | First Horizon Alternative Mortgage Securities | 2.3100 | 02/25/35 | 338,076 | ||||||||||
38,237 | First Horizon Alternative Mortgage Securities | 2.9330 | 03/25/35 | 29,488 | ||||||||||
1,082,220 | First Horizon Alternative Mortgage Securities | 2.4480 | 05/25/35 | 706,208 | ||||||||||
65,426 | First Horizon Alternative Mortgage Securities | 2.1250 | 07/25/36 | 55,919 | ||||||||||
699,563 | First Horizon Mortgage Pass-Through Trust | 2.6250 | 01/25/36 | 516,530 | ||||||||||
29,986 | First Horizon Mortgage Pass-Through Trust 2000-H | 2.3460 | 05/25/30 | 29,345 | ||||||||||
29,976 | First Horizon Mortgage Pass-Through Trust 2000-H | 2.4510 | 05/25/30 | 28,452 | ||||||||||
87,286 | First Horizon Mortgage Pass-Through Trust 2004-FL1(g) | US0001M + 0.270% | 0.3620 | 02/25/35 | 82,921 |
See accompanying notes to consolidated financial statements.
27
RATIONAL SPECIAL SITUATIONS INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 82.0% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 42.0% (Continued) | ||||||||||||||
359,855 | First Horizon Mortgage Pass-Through Trust 2005-AR4 | 2.9420 | 10/25/35 | $ | 361,932 | |||||||||
979,543 | Global Mortgage Securitization Ltd.(a),(g) | US0001M + 0.320% | 0.4120 | 11/25/32 | 945,521 | |||||||||
170,135 | GMACM Mortgage Loan Trust 2005-AR6 | 3.1470 | 11/19/35 | 143,129 | ||||||||||
738,955 | GreenPoint Mortgage Funding Trust 2005-AR4(g) | US0001M + 0.520% | 0.6110 | 10/25/45 | 748,520 | |||||||||
372,248 | GreenPoint Mortgage Funding Trust 2005-AR5(g) | US0001M + 0.540% | 0.6320 | 11/25/45 | 337,265 | |||||||||
370,613 | GreenPoint Mortgage Funding Trust 2005-AR5(g) | US0001M + 0.560% | 0.6510 | 11/25/45 | 291,231 | |||||||||
1,219,781 | GreenPoint Mortgage Funding Trust 2006-AR2(g) | 12MTA + 2.000% | 2.1160 | 03/25/36 | 1,206,835 | |||||||||
127,359 | GreenPoint Mortgage Funding Trust 2006-AR3(g) | US0001M + 0.420% | 0.5110 | 04/25/36 | 124,416 | |||||||||
40 | GreenPoint Mortgage Funding Trust Series 2006-AR5(g) | US0001M + 0.080% | 0.1720 | 10/25/46 | 158 | |||||||||
690,219 | GreenPoint Mortgage Loan Trust 2004-1(g) | US0001M + 1.150% | 1.2410 | 10/25/34 | 622,467 | |||||||||
210,497 | GSMPS Mortgage Loan Trust(a) | 7.7500 | 05/19/27 | 210,265 | ||||||||||
580,276 | GSMPS Mortgage Loan Trust 2001-2(a) | 7.5000 | 06/19/32 | 581,224 | ||||||||||
61,913 | GSR Mortgage Loan Trust 2003-1(g) | H15T1Y + 1.750% | 1.8400 | 03/25/33 | 63,100 | |||||||||
175,013 | GSR Mortgage Loan Trust 2003-1 | 2.2310 | 03/25/33 | 169,551 | ||||||||||
154,953 | GSR Mortgage Loan Trust 2003-3F | 5.9740 | 04/25/33 | 159,340 | ||||||||||
213,796 | GSR Mortgage Loan Trust 2003-4F | 5.6750 | 05/25/33 | 213,006 | ||||||||||
13,707 | GSR Mortgage Loan Trust 2004-10F | 4.5000 | 09/25/34 | 13,764 | ||||||||||
55,872 | GSR Mortgage Loan Trust 2004-13F | 6.0000 | 11/25/34 | 58,131 | ||||||||||
3,079 | GSR Mortgage Loan Trust 2004-14 | 2.8150 | 12/25/34 | 3,082 | ||||||||||
40,576 | GSR Mortgage Loan Trust 2005-7F | 5.5000 | 09/25/35 | 41,906 | ||||||||||
597 | GSR Mortgage Loan Trust 2005-8F | 5.0000 | 11/25/35 | 597 | ||||||||||
135,541 | GSR Mortgage Loan Trust 2005-8F | 5.5000 | 11/25/35 | 142,733 | ||||||||||
252,064 | GSR Mortgage Loan Trust 2005-AR5 | 2.7250 | 10/25/35 | 252,238 | ||||||||||
19,849 | GSR Mortgage Loan Trust 2005-AR6 Series 2005-AR6-1 | 2.8350 | 09/25/35 | 20,059 | ||||||||||
27,332 | GSR Mortgage Loan Trust 2005-AR6 | 2.9490 | 09/25/35 | 27,561 | ||||||||||
79,042 | GSR Mortgage Loan Trust 2005-AR7 | 2.8210 | 11/25/35 | 76,271 | ||||||||||
387,039 | GSR Mortgage Loan Trust 2005-AR7 | 3.2130 | 11/25/35 | 369,186 | ||||||||||
28,512 | GSR Mortgage Loan Trust 2007-1F | 5.5000 | 01/25/37 | 33,176 | ||||||||||
708,255 | GSR Mortgage Loan Trust 2007-1F | 6.0000 | 01/25/37 | 608,464 | ||||||||||
2,506,924 | GSR Mortgage Loan Trust 2007-3F | 5.7500 | 05/25/37 | 3,836,533 | ||||||||||
104,313 | GSR Mortgage Loan Trust 2007-4F | 5.0000 | 07/25/37 | 137,180 | ||||||||||
8,014 | GSR Mortgage Loan Trust 2007-AR1 | 1.8100 | 03/25/37 | 7,800 | ||||||||||
1,302,540 | GSR Mortgage Loan Trust 2007-AR1 | 2.6620 | 03/25/37 | 1,222,597 | ||||||||||
90,627 | HarborView Mortgage Loan Trust 2003-1 | 2.2000 | 05/19/33 | 75,957 |
See accompanying notes to consolidated financial statements.
28
RATIONAL SPECIAL SITUATIONS INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 82.0% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 42.0% (Continued) | ||||||||||||||
570,231 | HarborView Mortgage Loan Trust 2004-1 | 2.2770 | 04/19/34 | $ | 488,890 | |||||||||
2,304,076 | HarborView Mortgage Loan Trust 2004-8(g) | US0001M + 0.800% | 0.8930 | 11/19/34 | 2,219,736 | |||||||||
129,522 | HarborView Mortgage Loan Trust 2004-9(g) | US0001M + 0.780% | 0.8730 | 12/19/34 | 121,372 | |||||||||
5,458 | HarborView Mortgage Loan Trust 2005-1(g) | US0001M + 0.660% | 0.7530 | 03/19/35 | 3,769 | |||||||||
229,331 | HarborView Mortgage Loan Trust 2005-14 | 2.6550 | 12/19/35 | 222,004 | ||||||||||
29,784 | HarborView Mortgage Loan Trust 2005-14 | 2.7110 | 12/19/35 | 28,784 | ||||||||||
1,240,813 | HarborView Mortgage Loan Trust 2005-16(g) | 12MTA + 2.000% | 2.1160 | 01/19/37 | 1,096,063 | |||||||||
2,599,545 | HarborView Mortgage Loan Trust 2005-2(g) | US0001M + 0.520% | 0.6130 | 05/19/35 | 1,252,549 | |||||||||
378,920 | HarborView Mortgage Loan Trust 2005-4 | 2.6480 | 07/19/35 | 369,206 | ||||||||||
26,845 | HarborView Mortgage Loan Trust 2005-8(g) | US0001M + 0.660% | 0.7530 | 09/19/35 | 22,535 | |||||||||
32,234 | Impac CMB Trust Series 2003-11(g) | US0001M + 4.500% | 4.5920 | 10/25/33 | 32,058 | |||||||||
3,034 | Impac CMB Trust Series 2003-8(g) | US0001M + 2.625% | 2.7160 | 10/25/33 | 3,037 | |||||||||
5,521 | Impac CMB Trust Series 2003-8(g) | US0001M + 4.500% | 4.5920 | 10/25/33 | 5,376 | |||||||||
258,019 | Impac CMB Trust Series 2004-10(g) | US0001M + 0.800% | 0.8920 | 03/25/35 | 240,731 | |||||||||
43,046 | Impac CMB Trust Series 2004-10(g) | US0001M + 1.500% | 1.5910 | 03/25/35 | 42,144 | |||||||||
200,608 | Impac CMB Trust Series 2004-10(g) | US0001M + 2.775% | 2.8660 | 03/25/35 | 203,388 | |||||||||
200,308 | Impac Secured Assets Trust 2006-2(g) | US0001M + 1.650% | 1.1910 | 08/25/36 | 201,087 | |||||||||
167,830 | IndyMac ARM Trust 2001-H1 | 2.2740 | 08/25/31 | 95,257 | ||||||||||
84,912 | IndyMac IMSC Mortgage Loan Trust 2007-F3(d) | 0.0000 | 09/25/37 | 55,875 | ||||||||||
129,467 | IndyMac INDA Mortgage Loan Trust 2005-AR1 | 2.8800 | 11/25/35 | 126,507 | ||||||||||
31,054 | IndyMac INDA Mortgage Loan Trust 2005-AR2 | 3.0360 | 01/25/36 | 30,436 | ||||||||||
107,357 | IndyMac INDA Mortgage Loan Trust 2007-AR4 | 3.4750 | 08/25/37 | 108,629 | ||||||||||
203,429 | IndyMac INDX Mortgage Loan Trust 2004-AR5(g) | US0001M + 0.860% | 0.9520 | 08/25/34 | 193,405 | |||||||||
2,323,658 | IndyMac INDX Mortgage Loan Trust 2005-AR9 | 3.0080 | 07/25/35 | 2,310,685 | ||||||||||
207,474 | IndyMac INDX Mortgage Loan Trust 2006-AR2(g) | US0001M + 0.420% | 0.5110 | 02/25/46 | 166,202 | |||||||||
135,471 | IndyMac INDX Mortgage Loan Trust 2006-AR33 | 3.5300 | 01/25/37 | 132,471 | ||||||||||
1,225,580 | Jefferies Resecuritization Trust 2009-R7(a) | 2.7110 | 10/21/35 | 1,307,416 | ||||||||||
447,543 | JP Morgan Alternative Loan Trust | 5.0000 | 12/25/35 | 437,567 | ||||||||||
144,439 | JP Morgan Alternative Loan Trust(e) | 6.6900 | 05/25/36 | 145,520 | ||||||||||
74,538 | JP Morgan Mortgage Trust 2004-S2 | 5.5000 | 11/25/24 | 75,010 | ||||||||||
306,443 | JP Morgan Mortgage Trust 2004-S2 | 6.0000 | 11/25/34 | 306,140 | ||||||||||
2,606,610 | JP Morgan Mortgage Trust 2005-A6 | 2.8630 | 08/25/35 | 2,547,214 | ||||||||||
1,070,439 | JP Morgan Mortgage Trust 2005-A8 | 3.0480 | 11/25/35 | 990,494 | ||||||||||
266,490 | JP Morgan Mortgage Trust 2006-A6 | 3.1370 | 10/25/36 | 236,970 |
See accompanying notes to consolidated financial statements.
29
RATIONAL SPECIAL SITUATIONS INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 82.0% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 42.0% (Continued) | ||||||||||||||
77,735 | JP Morgan Mortgage Trust 2007-A2 | 2.9720 | 04/25/37 | $ | 69,026 | |||||||||
217,185 | Lehman Mortgage Trust 2006-4 | 6.0000 | 08/25/21 | 212,600 | ||||||||||
488,321 | Lehman Mortgage Trust 2006-7 | 4.8950 | 09/25/36 | 186,897 | ||||||||||
246,188 | Lehman Mortgage Trust 2007-10 | 6.5000 | 01/25/38 | 118,137 | ||||||||||
182,197 | Lehman Mortgage Trust 2007-3(d) | 0.0000 | 03/25/37 | 141,554 | ||||||||||
844,754 | Lehman XS Trust Series 2005-5N(g) | US0001M + 0.360% | 0.4520 | 11/25/35 | 792,054 | |||||||||
371,016 | Lehman XS Trust Series 2006-2N(g) | US0001M + 0.520% | 0.6110 | 02/25/46 | 341,156 | |||||||||
25,691 | Luminent Mortgage Trust 2006-7(g) | US0001M + 0.170% | 0.2620 | 12/25/36 | 23,991 | |||||||||
469,969 | Luminent Mortgage Trust 2006-7(g) | US0001M + 0.360% | 0.4520 | 12/25/36 | 442,603 | |||||||||
767,399 | Luminent Mortgage Trust 2007-2(g) | US0001M + 0.460% | 0.5510 | 05/25/37 | 720,685 | |||||||||
350,000 | MASTR Adjustable Rate Mortgages Trust 2004-11(g) | US0001M + 2.250% | 2.3420 | 11/25/34 | 351,606 | |||||||||
1,252,157 | MASTR Adjustable Rate Mortgages Trust 2004-14(g) | US0001M + 3.400% | 3.4910 | 01/25/35 | 1,076,577 | |||||||||
100,363 | MASTR Adjustable Rate Mortgages Trust 2004-5 | 4.1250 | 06/25/34 | 103,537 | ||||||||||
1,149,549 | MASTR Adjustable Rate Mortgages Trust 2005-6 | 2.6730 | 07/25/35 | 630,518 | ||||||||||
4,750,215 | MASTR Adjustable Rate Mortgages Trust 2006-OA2(g) | 12MTA + 0.800% | 0.9270 | 12/25/46 | 4,244,173 | |||||||||
460,396 | MASTR Adjustable Rate Mortgages Trust 2006-OA2(g) | 12MTA + 0.800% | 0.9270 | 12/25/46 | 438,397 | |||||||||
3,526,072 | MASTR Adjustable Rate Mortgages Trust 2006-OA2(g) | 12MTA + 0.850% | 0.9770 | 12/25/46 | 3,216,697 | |||||||||
2,104,507 | MASTR Adjustable Rate Mortgages Trust 2006-OA2(g) | 12MTA + 1.200% | 1.3270 | 12/25/46 | 1,924,767 | |||||||||
590,000 | MASTR Adjustable Rate Mortgages Trust 2007-1 | 2.8920 | 11/25/36 | 441,837 | ||||||||||
43,848 | MASTR Adjustable Rate Mortgages Trust 2007-1(g) | US0001M + 0.160% | 0.2510 | 01/25/47 | 53,735 | |||||||||
5,073,502 | MASTR Adjustable Rate Mortgages Trust 2007-1(g) | 12MTA + 0.740% | 0.8560 | 01/25/47 | 10,169,006 | |||||||||
183,638 | MASTR Adjustable Rate Mortgages Trust 2007-3(g) | US0001M + 0.680% | 0.7720 | 05/25/47 | 219,159 | |||||||||
36,488 | MASTR Alternative Loan Trust 2003-5 | 5.5000 | 07/25/33 | 37,801 | ||||||||||
19,696 | MASTR Alternative Loan Trust 2004-10 | 6.0000 | 09/25/34 | 20,094 | ||||||||||
16,116 | MASTR Alternative Loan Trust 2004-12 | 5.5000 | 12/25/34 | 16,752 | ||||||||||
741,695 | MASTR Alternative Loan Trust 2004-13 | 5.5000 | 01/25/35 | 576,903 | ||||||||||
77,691 | MASTR Alternative Loan Trust 2005-6(d) | 0.0000 | 12/25/35 | 34,028 | ||||||||||
41,026 | MASTR Alternative Loan Trust 2006-2(d) | 0.0000 | 03/25/36 | 20,187 | ||||||||||
59,855 | MASTR Asset Securitization Trust 2004-3 | 5.2500 | 03/25/24 | 60,005 | ||||||||||
115,021 | MASTR Asset Securitization Trust 2004-9 | 5.2500 | 07/25/34 | 113,099 | ||||||||||
68,480 | MASTR Seasoned Securitization Trust 2003-1(g) | US0001M + 0.400% | 0.4920 | 02/25/33 | 65,565 | |||||||||
147,568 | Mellon Residential Funding Cor Mor Pas Thr Tr Ser(a) | 2.6100 | 10/20/29 | 136,218 | ||||||||||
90,575 | Mellon Residential Funding Cor Mor Pas Thr Tr Ser(a) | 2.6100 | 10/20/29 | 83,601 | ||||||||||
455,132 | Merrill Lynch Alternative Note Asset Trust Series | 5.7500 | 05/25/37 | 463,822 |
See accompanying notes to consolidated financial statements.
30
RATIONAL SPECIAL SITUATIONS INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 82.0% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 42.0% (Continued) | ||||||||||||||
410,886 | Merrill Lynch Mortgage Backed Securities Trust | 2.7980 | 04/25/37 | $ | 419,621 | |||||||||
75,210 | Merrill Lynch Mortgage Investors Trust MLMI Series | 1.9060 | 03/25/33 | 64,417 | ||||||||||
172,605 | Merrill Lynch Mortgage Investors Trust Series(d) | 0.0000 | 08/25/36 | 26,201 | ||||||||||
134,565 | Merrill Lynch Mortgage Investors Trust Series MLCC(g) | US0001M + 0.945% | 1.0370 | 08/25/28 | 124,448 | |||||||||
101,383 | Merrill Lynch Mortgage Investors Trust Series MLCC(g) | US0001M + 2.250% | 2.3420 | 08/25/28 | 90,313 | |||||||||
946,011 | Merrill Lynch Mortgage Investors Trust Series MLCC | 1.9680 | 06/25/37 | 901,134 | ||||||||||
1,803,132 | Merrill Lynch Mortgage Investors Trust Series MLMI | 3.1590 | 09/25/35 | 1,670,478 | ||||||||||
20,319 | Morgan Stanley Mortgage Loan Trust 2004-3 | 6.0000 | 04/25/34 | 21,533 | ||||||||||
378,554 | Morgan Stanley Mortgage Loan Trust 2005-10 | 5.5000 | 12/25/35 | 307,298 | ||||||||||
192,163 | Morgan Stanley Mortgage Loan Trust 2005-4 | 5.0000 | 08/25/35 | 192,151 | ||||||||||
145,016 | Morgan Stanley Mortgage Loan Trust 2006-2 | 5.2500 | 07/25/21 | 141,253 | ||||||||||
19,630 | Morgan Stanley Mortgage Loan Trust 2006-7 | 5.0000 | 07/25/21 | 16,079 | ||||||||||
10,097,372 | Mortgage Loan Resecuritization Trust(a),(g) | US0001M + 0.340% | 0.4320 | 04/16/36 | 9,336,258 | |||||||||
3,745,886 | MortgageIT Mortgage Loan Trust 2006-1(g) | US0001M + 0.400% | 0.4920 | 04/25/36 | 3,088,021 | |||||||||
239,923 | MortgageIT Mortgage Loan Trust 2006-1(g) | US0001M + 0.460% | 0.5510 | 04/25/36 | 230,865 | |||||||||
402,650 | MortgageIT Trust 2004-1(g) | US0001M + 3.225% | 3.3160 | 11/25/34 | 406,677 | |||||||||
12,278,780 | New Residential Mortgage Loan Trust 2019-5(a),(c) | 0.5000 | 08/25/59 | 356,085 | ||||||||||
17,257,197 | New Residential Mortgage Loan Trust 2019-5(a),(c) | 0.7500 | 08/25/59 | 750,688 | ||||||||||
329,389 | New York Mortgage Trust 2006-1 | 2.7580 | 05/25/36 | 305,667 | ||||||||||
171,847 | Nomura Asset Acceptance Corp Alternative Loan(g) | US0001M + 1.020% | 1.1120 | 08/25/34 | 184,464 | |||||||||
6,220 | Nomura Asset Acceptance Corp Alternative Loan(e) | 6.0710 | 10/25/34 | 6,306 | ||||||||||
76,417 | Nomura Asset Acceptance Corp Alternative Loan | 5.6880 | 07/25/35 | 77,846 | ||||||||||
263,320 | Nomura Asset Acceptance Corp Alternative Loan | 2.9900 | 12/25/35 | 260,922 | ||||||||||
452,676 | Nomura Asset Acceptance Corp Alternative Loan | 3.8430 | 06/25/36 | 457,767 | ||||||||||
84,085 | Nomura Asset Acceptance Corp Alternative Loan(e) | 5.9570 | 03/25/47 | 87,302 | ||||||||||
1,068,987 | Nomura Asset Acceptance Corp Alternative Loan(e) | 6.1380 | 03/25/47 | 1,109,730 | ||||||||||
187,608 | NovaStar Mortgage Funding Trust Series 2006-MTA1(g) | US0001M + 0.380% | 0.4710 | 09/25/46 | 183,382 | |||||||||
302,860 | Ocwen Residential MBS Corporation(a) | 1.0240 | 06/25/39 | 164,439 | ||||||||||
506,214 | PHHMC Series 2006-4 Trust | 6.2930 | 12/18/36 | 509,536 | ||||||||||
217,789 | Prime Mortgage Trust 2004-1 | 5.2500 | 08/25/34 | 221,867 | ||||||||||
104,523 | Prime Mortgage Trust 2005-4 | 5.2500 | 07/25/21 | 104,463 | ||||||||||
14,037 | Prime Mortgage Trust 2005-4 | 5.0000 | 10/25/35 | 14,028 | ||||||||||
2,629,163 | Prime Mortgage Trust 2006-DR1(a) | 5.5000 | 05/25/35 | 2,406,169 | ||||||||||
661,765 | Prime Mortgage Trust 2006-DR1(a) | 6.0000 | 05/25/35 | 598,515 |
See accompanying notes to consolidated financial statements.
31
RATIONAL SPECIAL SITUATIONS INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 82.0% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 42.0% (Continued) | ||||||||||||||
151,253 | PRPM 2019-GS1(a) | 4.7500 | 10/25/24 | $ | 152,102 | |||||||||
721,630 | RALI Series 2004-QA4 Trust | 0.3110 | 09/25/34 | 660,566 | ||||||||||
437,947 | RALI Series 2004-QA4 Trust | 3.2160 | 09/25/34 | 452,292 | ||||||||||
74,545 | RALI Series 2004-QA6 Trust | 3.0700 | 12/26/34 | 62,649 | ||||||||||
4,163,580 | RALI Series 2005-QA11 Trust | 4.1600 | 10/25/35 | 4,086,951 | ||||||||||
1,865,565 | RALI Series 2005-QA12 Trust | 4.3800 | 12/25/35 | 1,802,245 | ||||||||||
236,471 | RALI Series 2005-QA2 Trust | 3.5430 | 02/25/35 | 204,544 | ||||||||||
239,450 | RALI Series 2005-QA3 Trust | 2.3250 | 03/25/35 | 2 | ||||||||||
90,590 | RALI Series 2005-QA4 Trust | 4.0580 | 04/25/35 | 74,296 | ||||||||||
135,982 | RALI Series 2005-QA6 Trust | 3.7350 | 05/25/35 | 87,381 | ||||||||||
123,261 | RALI Series 2005-QA8 Trust | 3.5120 | 07/25/35 | 113,456 | ||||||||||
535,952 | RALI Series 2005-QA8 Trust | 3.5660 | 07/25/35 | 398,812 | ||||||||||
195,354 | RALI Series 2005-QA9 Trust | 3.1880 | 08/25/35 | 105,902 | ||||||||||
2,432,980 | RALI Series 2005-QA9 Trust | 3.4750 | 08/25/35 | 2,375,835 | ||||||||||
794,726 | RALI Series 2005-QO4 Trust(g) | US0001M + 0.560% | 0.6510 | 12/25/45 | 643,018 | |||||||||
1,709,478 | RALI Series 2005-QS5 Trust | 5.7000 | 04/25/35 | 1,670,394 | ||||||||||
22,131 | RALI Series 2006-QA1 Trust | 5.3180 | 01/25/36 | 19,874 | ||||||||||
173,189 | RALI Series 2006-QA2 Trust | 5.4450 | 02/25/36 | 145,384 | ||||||||||
8,352,493 | RALI Series 2006-QS11 Trust | 6.5000 | 08/25/36 | 4,499,500 | ||||||||||
79,781 | RALI Series 2006-QS12 Trust | 5.0000 | 09/25/36 | 74,489 | ||||||||||
369,748 | RALI Series 2007-QS4 Trust | 6.2500 | 03/25/37 | 345,144 | ||||||||||
174,168 | RAMP Series 2003-SL1 Trust | 8.0000 | 04/25/31 | 177,813 | ||||||||||
632,268 | RAMP Series 2004-SL1 Trust | 6.5000 | 11/25/31 | 623,576 | ||||||||||
321,387 | RAMP Series 2004-SL4 Trust | 7.5000 | 07/25/32 | 199,310 | ||||||||||
168,055 | RAMP Series 2005-SL1 Trust | 7.5000 | 05/25/32 | 33,018 | ||||||||||
603,950 | RAMP Series 2005-SL1 Trust | 8.0000 | 05/25/32 | 472,030 | ||||||||||
294,281 | RAMP Series 2005-SL2 Trust | 8.0000 | 10/25/31 | 204,079 | ||||||||||
792,411 | RBSGC Mortgage Loan Trust 2005-A | 6.0000 | 04/25/35 | 784,578 | ||||||||||
1,709,063 | RBSSP Resecuritization Trust 2009-6(a) | 6.0000 | 08/26/35 | 1,070,444 | ||||||||||
161,822 | Reperforming Loan REMIC Trust 2004-R1(a) | 6.5000 | 11/25/34 | 161,933 | ||||||||||
661,381 | Reperforming Loan REMIC Trust 2006-R2(a),(g) | US0001M + 0.420% | 0.5110 | 07/25/36 | 614,177 | |||||||||
288,384 | Residential Asset Securitization Trust 2004-A2(g) | US0001M + 0.550% | 0.6410 | 05/25/34 | 279,403 | |||||||||
259,456 | Residential Asset Securitization Trust 2006-A3CB(d) | 0.0000 | 01/25/46 | 59,752 | ||||||||||
252,592 | Residential Asset Securitization Trust 2006-A3CB(c) | 6.0000 | 01/25/46 | 63,363 |
See accompanying notes to consolidated financial statements.
32
RATIONAL SPECIAL SITUATIONS INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 82.0% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 42.0% (Continued) | ||||||||||||||
1,499,548 | RFMSI Series 2005-SA1 Trust | 2.6180 | 03/25/35 | $ | 1,276,301 | |||||||||
4,564 | RFMSI Series 2005-SA2 Trust | 2.9300 | 06/25/35 | 4,576 | ||||||||||
1,185,398 | RFMSI Series 2005-SA5 Trust | 3.5420 | 11/25/35 | 1,135,761 | ||||||||||
2,435,606 | RFMSI Series 2006-SA2 Trust | 4.2700 | 08/25/36 | 2,225,230 | ||||||||||
163,434 | RFMSI Series 2006-SA3 Trust | 4.2580 | 09/25/36 | 154,717 | ||||||||||
236,519 | RFMSI Series 2006-SA4 Trust | 4.7050 | 11/25/36 | 229,493 | ||||||||||
256,215 | Sequoia Mortgage Trust 2004-1(g) | US0001M + 0.825% | 0.9180 | 02/20/34 | 213,456 | |||||||||
120,433 | Sequoia Mortgage Trust 2004-6(g) | US0001M + 0.750% | 0.8430 | 07/20/34 | 114,267 | |||||||||
238,954 | Sequoia Mortgage Trust 2007-1 | 2.9850 | 01/20/47 | 206,492 | ||||||||||
78,375 | Sofi Mortgage Trust 2016-1(a) | 3.0000 | 11/25/46 | 78,176 | ||||||||||
59,868 | Structured Adjustable Rate Mortgage Loan Trust | 2.9640 | 03/25/34 | 60,204 | ||||||||||
2,092,692 | Structured Adjustable Rate Mortgage Loan Trust(g) | US0001M + 0.405% | 0.4970 | 06/25/34 | 1,984,463 | |||||||||
8,484 | Structured Adjustable Rate Mortgage Loan Trust | 3.1210 | 09/25/34 | 8,663 | ||||||||||
351,624 | Structured Adjustable Rate Mortgage Loan Trust(g) | US0001M + 0.310% | 0.4020 | 07/25/35 | 259,680 | |||||||||
311,839 | Structured Adjustable Rate Mortgage Loan Trust | 3.3250 | 04/25/47 | 317,938 | ||||||||||
318,340 | Structured Asset Mortgage Investments II Trust | 2.7560 | 10/19/34 | 310,809 | ||||||||||
259,365 | Structured Asset Mortgage Investments II Trust(g) | US0001M + 0.400% | 0.4930 | 02/19/35 | 249,237 | |||||||||
1,679,330 | Structured Asset Mortgage Investments II Trust(g) | US0001M + 0.400% | 0.4920 | 02/25/36 | 1,467,869 | |||||||||
713,323 | Structured Asset Mortgage Investments II Trust(g) | US0001M + 0.460% | 0.5510 | 02/25/36 | 681,965 | |||||||||
173,521 | Structured Asset Mortgage Investments II Trust(g) | US0001M + 0.460% | 0.5510 | 02/25/36 | 162,119 | |||||||||
4,889,311 | Structured Asset Mortgage Investments II Trust | 2.4560 | 05/25/36 | 1,754,943 | ||||||||||
172,903 | Structured Asset Mortgage Investments II Trust | 2.5900 | 05/25/36 | 109,118 | ||||||||||
85,427 | Structured Asset Mortgage Investments II Trust(g) | US0001M + 0.150% | 0.3920 | 02/25/37 | 82,796 | |||||||||
820,930 | Structured Asset Mortgage Investments II Trust(g) | US0001M + 0.260% | 0.3520 | 03/25/37 | 336,541 | |||||||||
1,205,974 | Structured Asset Mortgage Investments II Trust(g) | US0001M + 0.460% | 0.5510 | 05/25/45 | 1,011,941 | |||||||||
438,983 | Structured Asset Mortgage Investments II Trust(g) | US0001M + 0.420% | 0.5110 | 05/25/46 | 390,439 | |||||||||
1,936,655 | Structured Asset Mortgage Investments II Trust(g) | US0001M + 0.420% | 0.5110 | 05/25/46 | 1,208,022 | |||||||||
740,242 | Structured Asset Mortgage Investments Trust(g) | US0001M + 1.200% | 1.2930 | 05/19/33 | 691,584 | |||||||||
469,560 | Structured Asset Sec Corp Mort Pass Thr Certs | 6.5000 | 07/25/28 | 241,956 | ||||||||||
2,107 | Structured Asset Sec Corp Mort Pass-thr Cert Ser | 2.1190 | 07/25/32 | 2,030 | ||||||||||
1,740,175 | Structured Asset Sec Corp Mort Passthr Certs Ser(b) | 2.4630 | 01/25/34 | 1,193,481 | ||||||||||
117,732 | Structured Asset Sec Mortgage Pass-Through | 2.3150 | 11/25/32 | 118,204 | ||||||||||
145,735 | Structured Asset Securities Corp Mortgage(e) | 4.1310 | 08/25/33 | 151,330 | ||||||||||
293,353 | Structured Asset Securities Corp Mortgage Loan(a) | 2.8890 | 10/25/36 | 293,212 |
See accompanying notes to consolidated financial statements.
33
RATIONAL SPECIAL SITUATIONS INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 82.0% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 42.0% (Continued) | ||||||||||||||
526,199 | TBW Mortgage-Backed Pass-Through Certificates | 6.5000 | 04/25/36 | $ | 452,807 | |||||||||
1,398,419 | TBW Mortgage-Backed Trust 2006-6(e) | 5.6600 | 01/25/37 | 545,296 | ||||||||||
489,254 | TBW Mortgage-Backed Trust Series 2006-2 | 6.0000 | 07/25/36 | 250,263 | ||||||||||
1,050,000 | Terwin Mortgage Trust 2006-9HGA(a),(g) | US0001M + 0.560% | 0.6510 | 10/25/37 | 450,468 | |||||||||
421,568 | Terwin Mortgage Trust 2007-6ALT(a),(g) | US0001M + 0.300% | 0.3920 | 08/25/38 | 366,941 | |||||||||
187,719 | Thornburg Mortgage Securities Trust 2007-3(g) | US0012M + 1.250% | 1.4930 | 06/25/47 | 188,548 | |||||||||
1,874,116 | Voyager CNTYW Delaware Trust(a) | 0.3730 | 12/16/33 | 1,785,000 | ||||||||||
6,773,569 | Voyager CNTYW Delaware Trust(a) | 0.3130 | 02/16/36 | 6,039,064 | ||||||||||
1,902,648 | Voyager CNTYW Delaware Trust(a) | 0.3130 | 02/16/36 | 1,706,927 | ||||||||||
16,321,708 | Voyager CNTYW Delaware Trust(a) | 0.2730 | 05/16/36 | 14,527,842 | ||||||||||
162,620 | Voyager OPTONE Delaware Trust(a),(c) | 0.3410 | 02/25/38 | 48,926 | ||||||||||
2,360,655 | Wachovia Mortgage Loan Trust, LLC Series 2005-A | 2.8800 | 08/20/35 | 2,373,093 | ||||||||||
98,587 | Wachovia Mortgage Loan Trust, LLC Series 2006-A | 2.8590 | 05/20/36 | 101,350 | ||||||||||
43,201 | Wachovia Mortgage Loan Trust, LLC Series 2006-A | 2.9950 | 05/20/36 | 42,027 | ||||||||||
157,019 | WaMu Mortgage Backed Pass Through Certificates | 2.0960 | 12/19/39 | 151,315 | ||||||||||
39,349 | WaMu Mortgage Backed Pass Through Certificates(a) | 2.0960 | 12/19/39 | 33,932 | ||||||||||
69,403 | WaMu Mortgage Backed Pass Through Certificates(a) | 2.0960 | 12/19/39 | 56,925 | ||||||||||
52,444 | WaMu Mortgage Backed Pass Through Certificates(a) | 2.0960 | 12/19/39 | 47,763 | ||||||||||
151,217 | WaMu Mortgage Pass-Through Certificates Series | 2.4950 | 10/25/32 | 148,205 | ||||||||||
278,136 | WaMu Mortgage Pass-Through Certificates Series | 5.7500 | 01/25/33 | 283,932 | ||||||||||
487,943 | WaMu Mortgage Pass-Through Certificates Series | 2.5720 | 02/25/33 | 483,681 | ||||||||||
1,333,092 | WaMu Mortgage Pass-Through Certificates Series | 1.5300 | 06/25/33 | 782,929 | ||||||||||
261,998 | WaMu Mortgage Pass-Through Certificates Series | 2.7450 | 09/25/33 | 241,675 | ||||||||||
24,057 | WaMu Mortgage Pass-Through Certificates Series | 5.5000 | 07/25/34 | 25,524 | ||||||||||
72,473 | WaMu Mortgage Pass-Through Certificates Series | 3.2500 | 10/25/36 | 69,535 | ||||||||||
301,845 | WaMu Mortgage Pass-Through Certificates Series | 1.5390 | 11/25/41 | 269,884 | ||||||||||
27,407 | WaMu Mortgage Pass-Through Certificates Series(a),(g) | 12MTA + 1.400% | 1.5160 | 06/25/42 | 6,173 | |||||||||
289,827 | WaMu Mortgage Pass-Through Certificates Series(g) | 12MTA + 1.400% | 1.5160 | 06/25/42 | 274,259 | |||||||||
146,676 | WaMu Mortgage Pass-Through Certificates Series(g) | 12MTA + 1.400% | 1.5160 | 06/25/42 | 136,222 | |||||||||
145,240 | WaMu Mortgage Pass-Through Certificates Series(g) | 12MTA + 1.400% | 1.5160 | 06/25/42 | 136,688 | |||||||||
81,203 | WaMu Mortgage Pass-Through Certificates Series(g) | 12MTA + 1.400% | 1.5160 | 08/25/42 | 78,428 | |||||||||
2,768,421 | WaMu Mortgage Pass-Through Certificates Series(g) | 12MTA + 0.980% | 1.0960 | 07/25/46 | 2,600,601 | |||||||||
87,926 | WaMu Pass Through Certificates Series 2002-AR12 | 2.3250 | 10/25/32 | 83,338 | ||||||||||
142,951 | WaMu Pass Through Certificates Series 2002-AR12 | 2.3250 | 10/25/32 | 141,123 |
See accompanying notes to consolidated financial statements.
34
RATIONAL SPECIAL SITUATIONS INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 82.0% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 42.0% (Continued) | ||||||||||||||
117,089 | Washington Mutual Mortgage Pass-Through | 5.5000 | 03/25/35 | $ | 119,013 | |||||||||
2,394,785 | Washington Mutual Mortgage Pass-Through(g) | US0001M + 0.500% | 0.5920 | 02/25/36 | 2,059,542 | |||||||||
407,106 | Washington Mutual Mortgage Pass-Through | 6.0000 | 03/25/36 | 363,293 | ||||||||||
405,119 | Washington Mutual Mortgage Pass-Through | 6.0000 | 04/25/37 | 404,504 | ||||||||||
71,995 | Washington Mutual Mortgage Pass-Through(g) | 12MTA + 0.940% | 1.0560 | 04/25/46 | 67,378 | |||||||||
473,823 | Washington Mutual Mortgage Pass-Through(g) | 12MTA + 0.940% | 1.0560 | 07/25/46 | 328,144 | |||||||||
813,195 | Washington Mutual Mortgage Pass-Through(g) | 12MTA + 0.960% | 1.0760 | 08/25/46 | 545,831 | |||||||||
63,422 | Washington Mutual Mortgage Pass-Through(g) | 12MTA + 0.850% | 0.9660 | 10/25/46 | 57,190 | |||||||||
48,773 | Washington Mutual MSC Mortgage Pass-Through(a) | 6.5000 | 10/19/29 | 48,336 | ||||||||||
48,773 | Washington Mutual MSC Mortgage Pass-Through(a) | 6.5000 | 10/19/29 | 48,297 | ||||||||||
89,929 | Washington Mutual MSC Mortgage Pass-Through | 3.3820 | 02/25/33 | 91,946 | ||||||||||
77,781 | Washington Mutual MSC Mortgage Pass-Through | 5.7500 | 03/25/33 | 78,204 | ||||||||||
54,643 | Washington Mutual MSC Mortgage Pass-Through | 7.5000 | 04/25/33 | 56,216 | ||||||||||
797,379 | Washington Mutual MSC Mortgage Pass-Through | 2.3850 | 05/25/33 | 789,412 | ||||||||||
872,466 | Washington Mutual MSC Mortgage Pass-Through | 6.9980 | 07/25/33 | 861,975 | ||||||||||
136,872 | Wells Fargo Alternative Loan 2007-PA2 Trust | 5.5000 | 06/25/22 | 136,305 | ||||||||||
70,941 | Wells Fargo Mortgage Backed Securities 2003-I | 2.7040 | 09/25/33 | 55,654 | ||||||||||
47,320 | Wells Fargo Mortgage Backed Securities 2004-K | 2.6150 | 07/25/34 | 46,788 | ||||||||||
78,509 | Wells Fargo Mortgage Backed Securities 2004-K | 2.6150 | 07/25/34 | 77,627 | ||||||||||
10,286 | Wells Fargo Mortgage Backed Securities 2006-20 | 5.5000 | 12/25/21 | 10,250 | ||||||||||
236,678,725 | ||||||||||||||
HOME EQUITY — 13.5% | ||||||||||||||
3,301,085 | ABFS Mortgage Loan Trust 2002-1(e) | 7.0100 | 12/15/32 | 3,326,779 | ||||||||||
1,194,844 | ABFS Mortgage Loan Trust 2003-1(g) | US0001M + 2.250% | 2.3230 | 08/15/33 | 1,183,310 | |||||||||
649,834 | Accredited Mortgage Loan Trust 2003-3(e) | 5.2100 | 01/25/34 | 678,565 | ||||||||||
892,823 | Accredited Mortgage Loan Trust 2005-1(g) | US0001M + 3.300% | 3.3910 | 04/25/35 | 924,814 | |||||||||
25,808 | ACE Securities Corp Home Equity Loan Trust Series(g) | US0001M + 1.275% | 1.3660 | 08/25/32 | 24,536 | |||||||||
342,628 | ACE Securities Corp Home Equity Loan Trust Series(a),(g) | US0001M + 5.250% | 5.3420 | 07/25/34 | 338,112 | |||||||||
1,531,310 | ACE Securities Corp Home Equity Loan Trust Series(g) | US0001M + 3.500% | 3.5920 | 05/25/35 | 1,633,256 | |||||||||
9,078 | ACE Securities Corp Home Equity Loan Trust Series(g) | US0001M + 0.070% | 0.1610 | 11/25/36 | 4,676 | |||||||||
243,640 | ACE Securities Corp Home Equity Loan Trust Series(g) | US0001M + 0.180% | 0.2720 | 02/25/37 | 136,495 | |||||||||
58,518 | AFC Home Equity Loan Trust(g) | US0001M + 0.720% | 0.8120 | 09/22/28 | 57,955 | |||||||||
519,808 | AFC Trust Series 2000-2(g) | US0001M + 0.700% | 0.7910 | 06/25/30 | 493,700 | |||||||||
1,264,494 | AFC Trust Series 2000-2(g) | US0001M + 0.790% | 0.8810 | 06/25/30 | 1,209,310 |
See accompanying notes to consolidated financial statements.
35
RATIONAL SPECIAL SITUATIONS INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 82.0% (Continued) | ||||||||||||||
HOME EQUITY — 13.5% (Continued) | ||||||||||||||
168,877 | AFC Trust Series 2000-3(a),(g) | US0001M + 0.640% | 0.7310 | 10/25/30 | $ | 164,379 | ||||||||
985,392 | AFC Trust Series 2000-3(a),(g) | US0001M + 0.750% | 0.8420 | 10/25/30 | 941,218 | |||||||||
60,888 | Ameriquest Mortgage Securities Asset-Backed(g) | US0001M + 2.850% | 2.9410 | 08/25/32 | 61,206 | |||||||||
261,174 | Ameriquest Mortgage Securities Asset-Backed(g) | US0001M + 4.500% | 3.4790 | 01/25/33 | 265,266 | |||||||||
1,468,663 | Amresco Residential Securities Corp Mort Loan(g) | US0001M + 0.750% | 1.3420 | 11/25/29 | 1,486,250 | |||||||||
127,621 | Amresco Residential Securities Corp Mortgage Loan(e) | 7.3920 | 10/25/27 | 131,435 | ||||||||||
1,980,836 | Asset Backed Securities Corp Home Equity Loan(g) | US0001M + 5.250% | 5.3230 | 01/15/33 | 2,014,111 | |||||||||
208,031 | Asset Backed Securities Corp Home Equity Loan(g) | US0001M + 3.525% | 3.5980 | 06/15/33 | 211,025 | |||||||||
601,270 | Asset Backed Securities Corp Home Equity Loan(g) | US0001M + 6.375% | 4.2100 | 09/15/33 | 604,739 | |||||||||
8,582 | Asset Backed Securities Corp Home Equity Loan(g) | US0001M + 0.080% | 0.1720 | 05/25/37 | 6,791 | |||||||||
337,436 | Bayview Financial Asset Trust 2007-SSR1(a),(g) | US0001M + 0.800% | 0.8920 | 03/25/37 | 322,612 | |||||||||
199,329 | Bayview Financial Asset Trust 2007-SSR1(a),(g) | US0001M + 1.150% | 1.2410 | 03/25/37 | 193,576 | |||||||||
61,820 | Bayview Financial Mortgage Pass-Through(g) | US0001M + 2.850% | 2.9450 | 08/28/44 | 63,075 | |||||||||
9,082,000 | Bear Stearns Asset Backed Securities I Trust(g) | US0001M + 6.000% | 6.0910 | 10/25/34 | 9,781,154 | |||||||||
148,728 | Bear Stearns Asset Backed Securities I Trust(g) | US0001M + 4.650% | 4.7410 | 12/25/34 | 159,317 | |||||||||
572,024 | Bear Stearns Asset Backed Securities I Trust(g) | US0001M + 2.550% | 2.6420 | 05/25/35 | 580,264 | |||||||||
3,547,332 | Bear Stearns Asset Backed Securities I Trust(a),(g) | US0001M + 4.500% | 4.5920 | 08/25/35 | 3,827,406 | |||||||||
851,258 | Bear Stearns Asset Backed Securities I Trust(g) | US0001M + 0.320% | 0.4120 | 08/25/36 | 820,453 | |||||||||
277,663 | Bear Stearns Asset Backed Securities I Trust(g) | US0001M + 0.270% | 0.3620 | 01/25/37 | 899,990 | |||||||||
101,029 | Bear Stearns Asset Backed Securities I Trust(g) | US0001M + 0.320% | 0.4120 | 03/25/37 | 92,776 | |||||||||
35,350 | Bear Stearns Second Lien Trust 2007-1(g) | US0001M + 0.440% | 0.5320 | 08/25/37 | 33,330 | |||||||||
166,554 | Centex Home Equity Loan Trust 2004-C(g) | US0001M + 0.795% | 0.8860 | 06/25/34 | 161,378 | |||||||||
332,914 | Centex Home Equity Loan Trust 2004-D(e) | 6.0600 | 09/25/34 | 351,482 | ||||||||||
523,534 | Citigroup Mortgage Loan Trust 2007-OPX1(e) | 5.8630 | 01/25/37 | 272,666 | ||||||||||
23,871 | Citigroup Mortgage Loan Trust, Inc.(g) | US0001M + 2.400% | 2.4910 | 12/25/33 | 24,201 | |||||||||
163 | Countrywide Asset-Backed Certificates(b) | 5.0910 | 05/25/32 | 160 | ||||||||||
1,430 | Countrywide Asset-Backed Certificates(b) | 5.8340 | 07/25/34 | 1,427 | ||||||||||
54,326 | Countrywide Asset-Backed Certificates(e) | 5.2520 | 02/25/35 | 54,212 | ||||||||||
808,767 | Countrywide Home Equity Loan Trust(g) | US0001M + 0.150% | 0.2230 | 11/15/36 | 709,805 | |||||||||
37,003 | Countrywide Home Equity Loan Trust(g) | US0001M + 0.150% | 0.2230 | 11/15/36 | 32,976 | |||||||||
788,720 | Credit Suisse First Boston Mortgage Securities(g) | US0001M + 0.740% | 0.8310 | 08/25/32 | 772,059 | |||||||||
578,775 | Credit Suisse First Boston Mortgage Securities(g) | US0001M + 3.250% | 3.3410 | 04/25/34 | 587,618 | |||||||||
1,725,000 | Credit Suisse Seasoned Loan Trust 2006-1(a),(g) | US0001M + 0.550% | 0.6410 | 10/25/34 | 1,632,634 | |||||||||
8,855 | CWABS Revolving Home Equity Loan Trust Series(g) | US0001M + 0.290% | 0.3630 | 12/15/33 | 8,697 |
See accompanying notes to consolidated financial statements.
36
RATIONAL SPECIAL SITUATIONS INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 82.0% (Continued) | ||||||||||||||
HOME EQUITY — 13.5% (Continued) | ||||||||||||||
99,557 | CWABS Revolving Home Equity Loan Trust Series(g) | US0001M + 0.280% | 0.3530 | 02/15/34 | $ | 97,689 | ||||||||
71,691 | CWABS Revolving Home Equity Loan Trust Series(g) | US0001M + 0.280% | 0.3530 | 02/15/34 | 68,100 | |||||||||
4,583,880 | CWHEQ Home Equity Loan Trust Series 2006-S5 | 6.1550 | 06/25/35 | 5,539,739 | ||||||||||
794,734 | CWHEQ Revolving Home Equity Loan Trust Series(g) | US0001M + 0.240% | 0.3130 | 02/15/36 | 751,713 | |||||||||
1,258,492 | CWHEQ Revolving Home Equity Loan Trust Series(g) | US0001M + 0.340% | 0.4130 | 02/15/36 | 1,192,500 | |||||||||
1,476,410 | CWHEQ Revolving Home Equity Loan Trust Series(g) | US0001M + 0.200% | 0.2730 | 05/15/36 | 1,399,977 | |||||||||
86,766 | CWHEQ Revolving Home Equity Loan Trust Series(g) | US0001M + 0.140% | 0.2130 | 01/15/37 | 83,589 | |||||||||
398,040 | FirstCity Capital Home Equity Loan Trust 1998-2(a),(g) | US0001M + 1.600% | 1.6910 | 01/25/29 | 394,771 | |||||||||
290,559 | GMACM Home Equity Loan Trust 2004-HE1(g) | US0001M + 0.500% | 0.6090 | 06/25/34 | 285,612 | |||||||||
87,943 | GMACM Home Equity Loan Trust 2004-HE3(a),(g) | US0001M + 0.500% | 0.5920 | 10/25/34 | 83,999 | |||||||||
8,895 | GMACM Home Equity Loan Trust 2005-HE1(a),(g) | US0001M + 0.500% | 0.5920 | 08/25/35 | 13,527 | |||||||||
2,209,224 | GMACM Home Equity Loan Trust 2007-HE2(g) | US0001M + 0.140% | 0.2320 | 12/25/37 | 2,120,528 | |||||||||
1,756,738 | GMACM Home Equity Loan Trust 2007-HE2(e) | 7.4240 | 12/25/37 | 1,830,527 | ||||||||||
547,645 | GMACM Mortgage Loan Trust 2004-GH1(e) | 5.5000 | 07/25/35 | 381,018 | ||||||||||
72,202 | GreenPoint Home Equity Loan Trust 2004-4(g) | US0001M + 0.560% | 0.3530 | 08/15/30 | 71,379 | |||||||||
591,557 | GSAA Home Equity Trust 2005-2(g) | US0001M + 2.175% | 2.2660 | 12/25/34 | 651,344 | |||||||||
22,243 | GSAA Trust 2004-3(e) | 6.7200 | 04/25/34 | 22,865 | ||||||||||
56,790 | Home Equity Asset Trust(g) | US0001M + 1.500% | 1.5910 | 03/25/33 | 57,311 | |||||||||
18,412 | Home Equity Asset Trust 2002-2(g) | US0001M + 2.600% | 2.6920 | 06/25/32 | 28,588 | |||||||||
13,011 | Home Equity Mortgage Trust 2007-1(g) | US0001M + 0.340% | 0.4310 | 05/25/37 | 12,401 | |||||||||
135,108 | IMC Home Equity Loan Trust 1998-5(e) | 6.0510 | 12/20/29 | 141,810 | ||||||||||
71,617 | Irwin Home Equity Loan Trust 2004-1(g) | US0001M + 1.875% | 1.9660 | 12/25/34 | 70,277 | |||||||||
893,256 | Irwin Home Equity Loan Trust 2006-P1(a),(g) | US0001M + 0.280% | 0.3710 | 12/25/36 | 861,186 | |||||||||
1,220,368 | Irwin Home Equity Loan Trust 2006-P1(a),(e) | 6.3000 | 06/25/37 | 1,246,693 | ||||||||||
470,603 | MAFI II Remic Trust 1999-A(a), (b) | 8.0000 | 03/20/25 | 480,198 | ||||||||||
444,664 | Mastr Asset Backed Securities Trust 2003-NC1(g) | US0001M + 5.250% | 4.3190 | 04/25/33 | 459,568 | |||||||||
15,801 | Mastr Asset Backed Securities Trust 2004-WMC2(g) | US0001M + 3.225% | 3.3160 | 04/25/34 | 17,314 | |||||||||
916,421 | Mastr Asset Backed Securities Trust 2005-NC2(g) | US0001M + 0.500% | 0.5920 | 11/25/35 | 660,433 | |||||||||
1,467,147 | Mastr Asset Backed Securities Trust 2005-NC2(g) | US0001M + 0.700% | 0.7910 | 11/25/35 | 1,073,871 | |||||||||
84,341 | Merrill Lynch Mortgage Investors Trust Series(g) | US0001M + 3.075% | 3.1660 | 10/25/35 | 85,261 | |||||||||
5,668,784 | Merrill Lynch Mortgage Investors Trust Series(a),(g) | US0001M + 1.125% | 1.2170 | 08/25/36 | 6,277,711 | |||||||||
133,689 | Morgan Stanley A.B.S Capital I Inc Trust 2003-NC8(g) | US0001M + 3.150% | 3.2420 | 09/25/33 | 135,278 | |||||||||
2,274 | Morgan Stanley A.B.S Capital I Inc Trust 2007-HE4(g) | US0001M + 0.110% | 0.2010 | 02/25/37 | 984 | |||||||||
92,733 | Morgan Stanley Dean Witter Capital I Inc Trust(g) | US0001M + 2.100% | 2.1920 | 02/25/32 | 92,996 |
See accompanying notes to consolidated financial statements.
37
RATIONAL SPECIAL SITUATIONS INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 82.0% (Continued) | ||||||||||||||
HOME EQUITY — 13.5% (Continued) | ||||||||||||||
112,842 | Morgan Stanley Mortgage Loan Trust 2006-16AX(g) | US0001M + 0.170% | 0.2620 | 11/25/36 | $ | 45,024 | ||||||||
1,787,945 | Morgan Stanley Mortgage Loan Trust 2007-8XS(b) | 6.0000 | 04/25/37 | 1,468,586 | ||||||||||
124,811 | New Century Home Equity Loan Trust 2003-6(g) | US0001M + 1.080% | 1.1720 | 01/25/34 | 124,776 | |||||||||
55,728 | New Century Home Equity Loan Trust Series 2005-A-A4W(e) | 4.7000 | 08/25/35 | 56,107 | ||||||||||
887,520 | Option One Mortgage Loan Trust 2007-FXD1(e) | 5.8660 | 01/25/37 | 891,189 | ||||||||||
357,946 | Option One Mortgage Loan Trust 2007-FXD2(e) | 6.1020 | 03/25/37 | 365,531 | ||||||||||
360,975 | RAAC Series 2004-SP1 Trust(e) | 5.6180 | 03/25/34 | 365,089 | ||||||||||
13,646 | RASC Series 2003-KS4 Trust(e) | 4.6700 | 06/25/33 | 13,916 | ||||||||||
2,742,835 | RASC Series 2004-KS11 Trust(g) | US0001M + 1.000% | 1.5910 | 12/25/34 | 2,834,485 | |||||||||
67,659 | Renaissance Home Equity Loan Trust 2002-4(e) | 7.5720 | 03/25/33 | 65,400 | ||||||||||
726,064 | Renaissance Home Equity Loan Trust 2004-2(g) | US0001M + 0.960% | 1.0510 | 07/25/34 | 698,334 | |||||||||
213,301 | Renaissance Home Equity Loan Trust 2004-3(e) | 5.3240 | 11/25/34 | 216,609 | ||||||||||
329,454 | Renaissance Home Equity Loan Trust 2005-4(e) | 5.8250 | 02/25/36 | 332,998 | ||||||||||
41,274 | Saco I Trust 2007-1(g) | US0001M + 0.320% | 0.4120 | 01/25/37 | 41,436 | |||||||||
65,724 | Saco I Trust 2007-2(g) | US0001M + 0.320% | 0.4120 | 02/25/37 | 66,011 | |||||||||
38,173,487 | Soundview Home Loan Trust 2007-OPT4(b),(c) | 0.5800 | 09/25/37 | 1,216,780 | ||||||||||
779,825 | Structured Asset Securities Corp Mortgage Pass | 3.3750 | 08/25/31 | 762,100 | ||||||||||
431,376 | Terwin Mortgage Trust 2004-1HE(a),(g) | US0001M + 2.475% | 2.5670 | 02/25/34 | 421,913 | |||||||||
69,850 | Terwin Mortgage Trust 2006-10SL(a), (b) | 4.7500 | 10/25/37 | 39,054 | ||||||||||
1,414,796 | Terwin Mortgage Trust 2006-4SL(a), (b) | 4.5000 | 05/25/37 | 917,416 | ||||||||||
1,888,486 | Terwin Mortgage Trust 2006-6(a), (b) | 0.3450 | 07/25/37 | 1,034,644 | ||||||||||
19,853 | United National Home Loan Owner Trust 1999-1(e) | 6.9100 | 03/25/25 | 19,758 | ||||||||||
57,043 | Wells Fargo Home Equity Asset-Backed Securities(b) | 4.9800 | 04/25/34 | 58,698 | ||||||||||
76,027,807 | ||||||||||||||
MANUFACTURED HOUSING — 2.3% | ||||||||||||||
754 | ACE Securities Corp Manufactured Housing Trust(a), (b) | 6.5000 | 08/15/30 | 754 | ||||||||||
2,765,525 | Conseco Finance Corporation(b) | 7.0200 | 10/15/27 | 2,842,757 | ||||||||||
414,287 | Conseco Finance Corporation(b) | 7.5300 | 03/15/28 | 425,861 | ||||||||||
3,557,047 | Conseco Finance Corporation(b) | 7.5400 | 06/15/28 | 3,721,816 | ||||||||||
520,361 | Conseco Finance Corporation(b) | 6.9400 | 12/01/28 | 534,601 | ||||||||||
408,780 | Conseco Finance Corporation(b) | 7.5000 | 03/01/30 | 226,141 | ||||||||||
27,689 | Credit-Based Asset Servicing and Securitization,(a),(e) | 6.2500 | 10/25/36 | 28,095 | ||||||||||
2,206,918 | Deutsche Financial Capital Securitization, LLC | 7.2750 | 04/15/28 | 2,284,301 |
See accompanying notes to consolidated financial statements.
38
RATIONAL SPECIAL SITUATIONS INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 82.0% (Continued) | ||||||||||||||
MANUFACTURED HOUSING — 2.3% (Continued) | ||||||||||||||
16,380 | MERIT Securities Corporation(e) | 7.6300 | 07/28/33 | $ | 16,821 | |||||||||
12,273 | Mid-State Capital Trust 2010-1(a) | 5.2500 | 12/15/45 | 12,524 | ||||||||||
14,779 | Oakwood Mortgage Investors, Inc. (b) | 7.3250 | 02/15/28 | 14,648 | ||||||||||
1,751,400 | Oakwood Mortgage Investors, Inc.(a), (b) | 7.4150 | 01/15/29 | 1,835,429 | ||||||||||
95,447 | Oakwood Mortgage Investors, Inc. | 5.1900 | 06/15/32 | 97,449 | ||||||||||
835,326 | Origen Manufactured Housing Contract Trust 2007-A(b) | 2.7570 | 04/15/37 | 802,839 | ||||||||||
39,000 | Origen Manufactured Housing Contract Trust 2007-B(a),(g) | US0001M + 1.200% | 1.2730 | 10/15/37 | 38,853 | |||||||||
12,245 | UCFC Manufactured Housing Contract | 6.2270 | 01/15/30 | 12,572 | ||||||||||
12,895,461 | ||||||||||||||
NON AGENCY CMBS — 11.3% | ||||||||||||||
565,000 | Banc of America Commercial Mortgage Trust | 3.1670 | 09/15/48 | 368,490 | ||||||||||
841,605 | Banc of America Commercial Mortgage Trust 2006-4(b) | 5.7540 | 07/10/46 | 828,981 | ||||||||||
6,440,728 | Banc of America Commercial Mortgage Trust 2007-1(b) | 5.5230 | 01/15/49 | 4,061,957 | ||||||||||
467,914 | Bear Stearns Asset Backed Securities Trust 2003-3(g) | US0001M + 1.230% | 1.3210 | 06/25/43 | 468,606 | |||||||||
213,673 | Bear Stearns Commercial Mortgage Securities Trust(a), (b) | 6.1670 | 04/12/38 | 214,066 | ||||||||||
920,527 | Bear Stearns Commercial Mortgage Securities Trust(a) | 5.4120 | 12/11/38 | 708,805 | ||||||||||
2,295,475 | Bear Stearns Commercial Mortgage Securities Trust(a), (b) | 5.9300 | 06/11/40 | 2,078,782 | ||||||||||
877,358 | Bear Stearns Commercial Mortgage Securities Trust(a), (b) | 5.7500 | 09/11/41 | 826,556 | ||||||||||
1,223,000 | Bear Stearns Commercial Mortgage Securities Trust 2007-T26AJ(b) | 5.5400 | 01/12/45 | 1,013,940 | ||||||||||
2,327,963 | CD 2005-CD1 Commercial Mortgage Trust(a), (b) | 5.3710 | 07/15/44 | 2,240,665 | ||||||||||
416,648 | CD 2007-CD5 Mortgage Trust(a), (b) | 6.5820 | 11/15/44 | 410,398 | ||||||||||
19,067,848 | CFCRE Commercial Mortgage Trust Series 2017-C8 Class X-A(b),(c) | 1.7550 | 06/15/50 | 1,241,038 | ||||||||||
781,000 | COMM 2010-C1 Mortgage Trust(a), (b) | 5.9370 | 07/10/46 | 795,032 | ||||||||||
25,175 | Credit Suisse Commercial Mortgage Trust Series(a), (b) | 5.7970 | 01/15/49 | 24,910 | ||||||||||
53,033 | Credit Suisse First Boston Mortgage Securities(a), (b) | 4.2310 | 05/15/38 | 53,505 | ||||||||||
2,935,145 | CSMC 2014-USA OA, LLC(a), (b) ,(c) | 0.6860 | 09/15/37 | 58,921 | ||||||||||
56,788 | GMAC Commercial Mortgage Securities Inc Series(b) | 5.3490 | 11/10/45 | 55,084 | ||||||||||
1,634,855 | Greenwich Capital Commercial Mortgage Trust(a), (b) | 5.6580 | 03/18/49 | 1,417,746 | ||||||||||
2,500,000 | GS Mortgage Securities Corporation II(a),(g) | US0001M + 1.300% | 1.6230 | 09/15/31 | 2,315,919 | |||||||||
760,000 | GS Mortgage Securities Corporation II(a),(g) | US0001M + 2.500% | 2.8230 | 09/15/31 | 585,205 | |||||||||
37,516 | GS Mortgage Securities Trust 2010-C1(a) | 4.5920 | 08/10/43 | 37,515 | ||||||||||
1,500,000 | GS Mortgage Securities Trust 2010-C1(a) | 5.1480 | 08/10/43 | 1,507,520 | ||||||||||
3,000,000 | GS Mortgage Securities Trust 2010-C1(a), (b) | 5.6350 | 08/10/43 | 2,810,083 |
See accompanying notes to consolidated financial statements.
39
RATIONAL SPECIAL SITUATIONS INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 82.0% (Continued) | ||||||||||||||
NON AGENCY CMBS — 11.3% (Continued) | ||||||||||||||
3,500,000 | GS Mortgage Securities Trust 2010-C1(a), (b) | 6.1850 | 08/10/43 | $ | 2,624,197 | |||||||||
1,228,962 | GS Mortgage Securities Trust 2011-GC5(a), (b) | 5.2090 | 08/10/44 | 1,228,441 | ||||||||||
481,000 | GS Mortgage Securities Trust 2011-GC5(a), (b) | 5.4280 | 08/10/44 | 264,560 | ||||||||||
169,288 | Impac CMB Trust Series 2004-8(g) | US0001M + 1.575% | 1.6670 | 08/25/34 | 170,355 | |||||||||
1,228,000 | JP MORGAN CHASE COMMERCIAL MORTGAGE ADJ% 02/15/46(a), (b) | 5.7070 | 02/15/46 | 744,834 | ||||||||||
2,335,391 | JP Morgan Chase Commercial Mortgage Securities(a) | 3.9100 | 05/05/30 | 2,037,763 | ||||||||||
4,700,000 | JP Morgan Chase Commercial Mortgage Securities(a),(g) | US0001M + 4.250% | 4.3230 | 11/15/31 | 1,794,643 | |||||||||
1,613,753 | JP Morgan Chase Commercial Mortgage Securities(a), (b) | 6.6290 | 07/12/35 | 1,603,110 | ||||||||||
74,762 | JP Morgan Chase Commercial Mortgage Securities(b) | 5.6850 | 07/15/41 | 74,896 | ||||||||||
1,000,000 | JP Morgan Chase Commercial Mortgage Securities(a), (b) | 5.0750 | 11/15/43 | 998,940 | ||||||||||
1,342,000 | JP Morgan Chase Commercial Mortgage Securities(a), (b) | 5.8740 | 11/15/43 | 1,338,511 | ||||||||||
1,300,000 | JP Morgan Chase Commercial Mortgage Securities 2010-C2 D(a), (b) | 5.8740 | 11/15/43 | 1,270,754 | ||||||||||
2,000,000 | JP Morgan Chase Commercial Mortgage Securities(a), (b) | 5.8740 | 11/15/43 | 1,385,006 | ||||||||||
1,530,202 | JP Morgan Chase Commercial Mortgage Securities(b) | 5.4890 | 12/12/43 | 1,116,313 | ||||||||||
1,277,342 | JP Morgan Chase Commercial Mortgage Securities(a), (b) | 5.0130 | 02/15/46 | 1,300,683 | ||||||||||
107,000 | JP Morgan Chase Commercial Mortgage Securities(b) | 4.3050 | 04/15/46 | 81,482 | ||||||||||
200,804 | JP Morgan Chase Commercial Mortgage Securities(a), (b) | 5.5750 | 07/15/46 | 201,716 | ||||||||||
2,058,000 | JP Morgan Chase Commercial Mortgage Securities(a), (b) | 5.7130 | 07/15/46 | 2,065,337 | ||||||||||
500,000 | JP Morgan Chase Commercial Mortgage Securities(a), (b) | 5.6110 | 08/15/46 | 500,931 | ||||||||||
3,996,596 | JP Morgan Chase Commercial Mortgage Securities 2006-LDP9 A-MS | 5.3370 | 05/15/47 | 3,451,056 | ||||||||||
978,252 | JP Morgan Chase Commercial Mortgage Securities(b) | 0.0000 | 01/15/49 | 133,297 | ||||||||||
32,278 | JP Morgan Chase Commercial Mortgage Securities(b) | 6.1010 | 02/12/49 | 36,775 | ||||||||||
138,357 | LB Commercial Mortgage Trust 2007-C3(a),(g) | US0001M + 0.350% | 0.4320 | 07/15/44 | 135,632 | |||||||||
840,847 | LBSBC NIM Company 2005-2(a) | 7.8600 | 09/27/30 | 1,146,869 | ||||||||||
64,671 | LB-UBS Commercial Mortgage Trust 2004-C4(a), (b) | 8.5630 | 06/15/36 | 64,534 | ||||||||||
3,724 | LB-UBS Commercial Mortgage Trust 2008-C1(b) | 6.2720 | 04/15/41 | 3,725 | ||||||||||
66,970 | Merrill Lynch Mortgage Trust 2005-CKI1(a), (b) | 5.3420 | 11/12/37 | 53,911 | ||||||||||
408,238 | Merrill Lynch Mortgage Trust 2006-C1(b) | 6.4980 | 05/12/39 | 397,495 | ||||||||||
891,252 | ML-CFC Commercial Mortgage Trust 2007-9(b) | 6.1930 | 09/12/49 | 855,141 | ||||||||||
478,930 | ML-CFC Commercial Mortgage Trust 2007-9(b) | 6.2220 | 09/12/49 | 459,513 | ||||||||||
2,989,230 | Morgan Stanley Capital I Trust 2006-TOP21(a), (b) | 5.6770 | 10/12/52 | 3,082,280 | ||||||||||
162,757 | Morgan Stanley Capital I Trust 2011-C2 Series 2011-C2 D(a), (b) | 5.4200 | 06/15/44 | 154,779 | ||||||||||
545,000 | Morgan Stanley Capital I Trust 2011-C2(a), (b) | 5.4200 | 06/15/44 | 414,094 | ||||||||||
60,000 | Morgan Stanley Capital I Trust 2012-C4(a), (b) | 5.2130 | 03/15/45 | 60,620 |
See accompanying notes to consolidated financial statements.
40
RATIONAL SPECIAL SITUATIONS INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 82.0% (Continued) | ||||||||||||||
NON AGENCY CMBS — 11.3% (Continued) | ||||||||||||||
8,000,000 | TMSQ 2014-1500 Mortgage Trust(a), (b) ,(c) | 0.2830 | 10/10/36 | $ | 44,560 | |||||||||
163,000 | UBS Commercial Mortgage Trust 2012-C1(a), (b) | 5.7540 | 05/10/45 | 156,164 | ||||||||||
265,000 | UBS-Citigroup Commercial Mortgage Trust 2011-C1 E(a), (b) | 6.2820 | 01/10/45 | 101,446 | ||||||||||
2,494,477 | Wachovia Bank Commercial Mortgage Trust Series(a), (b) | 5.3100 | 01/15/41 | 2,476,502 | ||||||||||
1,371,386 | Wachovia Bank Commercial Mortgage Trust Series(a), (b) | 5.2740 | 10/15/44 | 1,321,459 | ||||||||||
3,000,000 | XCALI 2020-5 Mortgage Trust(a),(g) | US0001M + 3.250% | 4.2500 | 10/15/23 | 3,017,793 | |||||||||
1,000,000 | XCALI 2020-5 Mortgage Trust(a),(g) | US0001M + 8.250% | 9.2500 | 10/15/23 | 1,007,244 | |||||||||
63,501,085 | ||||||||||||||
OTHER ABS — 2.6% | ||||||||||||||
130,139 | AFC Trust Series 2000-4(a),(g) | US0001M + 0.770% | 0.8620 | 01/25/31 | 127,622 | |||||||||
361,538 | Global Container Assets Ltd.(a) | 4.5000 | 02/05/30 | 362,539 | ||||||||||
3,837,581 | Legal Fee Funding 2006-1, LLC(a) | 8.0000 | 07/20/36 | 3,973,972 | ||||||||||
30,175,837 | Mastr Adjustable Rate Mortgages Trust 2007-3 22A2 (g),(h),(i),(j) | US0001M + 0.420% | 0.3186 | 5/25/2047 | 3,400,000 | |||||||||
535,155 | Mosaic Solar Loans 2017-1, LLC(a) | 0.0000 | 06/20/42 | 512,369 | ||||||||||
288,085 | Oakwood Mortgage Investors, Inc.(a) | 8.4500 | 10/15/26 | 288,384 | ||||||||||
3,623,068 | PEAR 2020-1, LLC(a) | 3.7500 | 12/15/32 | 3,622,241 | ||||||||||
2,506,567 | SolarCity LMC Series III, LLC(a) | 5.4400 | 07/20/44 | 2,521,048 | ||||||||||
14,808,175 | ||||||||||||||
RESIDENTIAL MORTGAGE — 6.3% | ||||||||||||||
992,136 | Ameriquest Mortgage Securities Asset-Backed(g) | US0001M + 2.760% | 2.8510 | 05/25/34 | 1,008,831 | |||||||||
76,612 | Bear Stearns Asset Backed Securities Trust(b) | US0001M + 0.900% | 0.9920 | 12/25/33 | 75,219 | |||||||||
72,651 | Bear Stearns Asset Backed Securities Trust(b) | 3.0570 | 07/25/36 | 73,014 | ||||||||||
76,220 | Bear Stearns Asset Backed Securities Trust | 5.5000 | 08/25/36 | 76,848 | ||||||||||
332,370 | Bear Stearns Asset Backed Securities Trust(g) | 12MTA + 0.980% | 1.0960 | 10/25/36 | 126,173 | |||||||||
387,659 | Bear Stearns Asset Backed Securities Trust | 6.0000 | 10/25/36 | 260,572 | ||||||||||
277,237 | Bear Stearns Asset Backed Securities Trust(g) | US0001M + 3.150% | 3.2420 | 11/25/39 | 282,327 | |||||||||
550,000 | Bear Stearns Asset Backed Securities Trust(g) | US0001M + 3.150% | 3.2420 | 12/25/42 | 572,167 | |||||||||
47,842 | Bear Stearns Asset Backed Securities Trust(d) | 0.0000 | 09/25/46 | 33,935 | ||||||||||
221,789 | Bear Stearns Asset Backed Securities Trust | 5.5000 | 09/25/46 | 223,503 | ||||||||||
74,534 | Chase Funding Trust Series 2003-6(e) | 4.9730 | 11/25/34 | 78,323 | ||||||||||
12,725 | Citicorp Residential Mortgage Trust Series 2006-1(e) | 4.9490 | 07/25/36 | 12,751 | ||||||||||
146,393 | Citigroup Mortgage Loan Trust, Inc.(g) | US0001M + 2.625% | 2.7160 | 11/25/34 | 921,614 | |||||||||
14,267 | Citigroup Mortgage Loan Trust, Inc.(e) | 5.5300 | 11/25/34 | 14,463 | ||||||||||
452,008 | Countrywide Asset-Backed Certificates(g) | US0001M + 2.625% | 2.7160 | 10/25/33 | 461,331 |
See accompanying notes to consolidated financial statements.
41
RATIONAL SPECIAL SITUATIONS INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 82.0% (Continued) | ||||||||||||||
RESIDENTIAL MORTGAGE — 6.3% (Continued) | ||||||||||||||
2,003,088 | Countrywide Asset-Backed Certificates(g) | US0001M + 0.660% | 0.7520 | 11/25/33 | $ | 1,925,275 | ||||||||
668,199 | Countrywide Asset-Backed Certificates(e) | 4.1160 | 01/25/37 | 671,202 | ||||||||||
1,164,981 | Countrywide Asset-Backed Certificates(g) | US0001M + 0.500% | 0.5920 | 05/25/37 | 994,443 | |||||||||
571,000 | Credit-Based Asset Servicing and(a),(e) | 4.8750 | 12/25/37 | 637,413 | ||||||||||
17,678 | Credit-Based Asset Servicing and Securitization,(a), (b) | 5.7960 | 02/03/29 | 13,851 | ||||||||||
33,280 | Credit-Based Asset Servicing and Securitization,(g) | US0001M + 2.850% | 2.9410 | 06/25/32 | 33,353 | |||||||||
384,696 | Credit-Based Asset Servicing and Securitization,(a),(g) | US0001M + 1.600% | 1.6910 | 09/25/35 | 389,435 | |||||||||
331,401 | Credit-Based Asset Servicing and Securitization,(e) | 3.1140 | 12/25/36 | 333,722 | ||||||||||
753,596 | Credit-Based Asset Servicing and Securitization,(a),(g) | US0001M + 0.460% | 0.5510 | 02/25/37 | 637,017 | |||||||||
553,042 | CSFB Mortgage-Backed Pass-Through Certificates(g) | US0001M + 4.000% | 4.0920 | 02/25/32 | 585,361 | |||||||||
6,701 | CWABS Asset-Backed Certificates Trust 2004-15(e) | 4.5670 | 05/25/35 | 6,731 | ||||||||||
25,929 | CWABS Asset-Backed Certificates Trust 2005-1 Series 2005-1-AF5A(e) | 5.1590 | 07/25/35 | 26,299 | ||||||||||
111,158 | CWABS Asset-Backed Certificates Trust 2005-16(b) | 4.4040 | 05/25/36 | 112,467 | ||||||||||
286,271 | CWABS Asset-Backed Certificates Trust 2005-17(e) | 4.0200 | 05/25/36 | 288,038 | ||||||||||
532,730 | Equity One Mortgage Pass-Through Trust 2002-1(b) | 6.2820 | 08/25/32 | 541,712 | ||||||||||
209,469 | Finance America Mortgage Loan Trust 2004-3(g) | US0001M + 0.945% | 1.0370 | 11/25/34 | 204,313 | |||||||||
195,762 | Finance America Mortgage Loan Trust 2004-3(g) | US0001M + 1.020% | 1.1120 | 11/25/34 | 190,461 | |||||||||
190,049 | First Franklin Mortgage Loan Trust 2003-FF3(g) | US0001M + 0.750% | 1.2170 | 07/25/33 | 175,377 | |||||||||
1,452,838 | Fremont Home Loan Trust 2002-2(g) | US0001M + 1.725% | 1.8160 | 10/25/33 | 1,473,889 | |||||||||
35,506 | Fremont Home Loan Trust 2004-B(g) | US0001M + 3.000% | 3.0920 | 05/25/34 | 38,182 | |||||||||
51,408 | Fremont Home Loan Trust 2005-A(g) | US0001M + 0.735% | 0.8260 | 01/25/35 | 51,060 | |||||||||
650,000 | Fremont Home Loan Trust 2005-E(g) | US0001M + 0.675% | 0.7670 | 01/25/36 | 589,969 | |||||||||
45,218 | GSAMP Trust 2003-SEA2(e) | 5.4210 | 07/25/33 | 45,713 | ||||||||||
124,398 | GSAMP Trust 2004-HE1(g) | US0001M + 0.825% | 0.9160 | 05/25/34 | 121,379 | |||||||||
1,434,972 | GSRPM Mortgage Loan Trust Series 2004-1(a),(g) | US0001M + 3.750% | 3.8410 | 09/25/42 | 1,453,038 | |||||||||
799,561 | Lehman XS Trust 2007-3(g) | US0001M + 0.320% | 0.4120 | 03/25/37 | 718,439 | |||||||||
3,486,972 | Lehman XS Trust Series 2005-4(g) | US0001M + 0.750% | 0.8420 | 10/25/35 | 4,642,982 | |||||||||
144,926 | Park Place Securities Inc Asset-Backed(g) | US0001M + 0.975% | 1.0660 | 10/25/34 | 146,932 | |||||||||
168,047 | PFCA Home Equity Investment Trust(a), (b) | 4.2640 | 01/22/35 | 173,477 | ||||||||||
361,785 | PFCA Home Equity Investment Trust(a), (b) | 3.4070 | 08/25/35 | 361,001 | ||||||||||
3,080,000 | RAAC Series 2005-RP2 Trust(a),(g) | US0001M + 2.000% | 2.0910 | 06/25/35 | 3,123,672 | |||||||||
2,759,324 | RAAC Series 2006-RP1 Trust(g) | US0001M + 1.875% | 1.9670 | 10/25/45 | 2,879,865 | |||||||||
770,724 | RAMP Series 2004-SL3 Trust | 8.5000 | 12/25/31 | 500,644 | ||||||||||
522,642 | RASC Series 2006-KS9 Trust(g) | US0001M + 0.160% | 0.2510 | 11/25/36 | 566,800 |
See accompanying notes to consolidated financial statements.
42
RATIONAL SPECIAL SITUATIONS INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
ASSET BACKED SECURITIES — 82.0% (Continued) | ||||||||||||||
RESIDENTIAL MORTGAGE — 6.3% (Continued) | ||||||||||||||
177,084 | RFSC Series 2002-RP2 Trust(a),(g) | US0001M + 1.500% | 1.5910 | 10/25/32 | $ | 172,509 | ||||||||
12,120 | SACO I Trust 2005-9(g) | US0001M + 0.690% | 0.7810 | 12/25/35 | 133,187 | |||||||||
102,924 | SACO I Trust 2005-WM2(g) | US0001M + 0.825% | 0.9160 | 07/25/35 | 104,202 | |||||||||
104,357 | SACO I Trust 2006-6(g) | US0001M + 0.260% | 0.3520 | 06/25/36 | 102,909 | |||||||||
3,330,000 | SASCO ARC NIM 2003-5 20330627(a) | 6.0000 | 06/27/33 | 3,105,000 | ||||||||||
95,493 | Soundview Home Loan Trust 2004-1(g) | US0001M + 2.925% | 3.0170 | 07/25/34 | 93,211 | |||||||||
739,165 | Soundview Home Loan Trust 2004-1(g) | US0001M + 4.875% | 4.9660 | 07/25/34 | 761,354 | |||||||||
525,000 | Structured Asset Securities Corp Mortgage(e) | 5.7500 | 05/25/34 | 594,879 | ||||||||||
94,326 | Structured Asset Securities Corp Mortgage Loan(g) | US0001M + 0.630% | 0.7220 | 05/25/35 | 92,749 | |||||||||
454,478 | Structured Asset Securities Corp Mortgage Loan(g) | US0001M + 0.900% | 0.9920 | 05/25/35 | 431,385 | |||||||||
470,541 | Structured Asset Securities Corp Mortgage Loan(g) | US0001M + 0.945% | 1.0370 | 05/25/35 | 437,273 | |||||||||
357,135 | Structured Asset Securities Corp Mortgage Loan(g) | US0001M + 0.990% | 1.0820 | 05/25/35 | 334,771 | |||||||||
145,141 | Structured Asset Securities Corp Mortgage Loan(g) | US0001M + 1.650% | 1.7420 | 05/25/35 | 136,573 | |||||||||
43,515 | Structured Asset Securities Corp Mortgage Loan(g) | US0001M + 0.435% | 0.5260 | 06/25/35 | 43,437 | |||||||||
35,418,022 | ||||||||||||||
TOTAL ASSET BACKED SECURITIES (Cost $450,884,058) | 462,196,927 | |||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.5% | ||||||||||||||
CMBS — 0.2% | ||||||||||||||
14,743,161 | Ginnie Mae Strip(c) | 1.4000 | 09/16/45 | 1,333,150 | ||||||||||
8,197,891 | Government National Mortgage Association(c) | 0.2630 | 06/16/40 | 5,723 | ||||||||||
3,577,090 | Government National Mortgage Association (b),(c) | 0.0880 | 08/16/48 | 15,836 | ||||||||||
1,354,709 | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.3% | ||||||||||||||
218,446 | Fannie Mae Interest Strip(c) | 6.5000 | 10/25/23 | 11,934 | ||||||||||
523,080 | Fannie Mae Interest Strip(b),(c) | 3.5000 | 04/25/27 | 27,984 | ||||||||||
211,814 | Fannie Mae Interest Strip(c) | 6.0000 | 01/25/35 | 39,706 | ||||||||||
542,986 | Fannie Mae Interest Strip(c) | 4.5000 | 08/25/35 | 77,938 | ||||||||||
338,654 | Fannie Mae Interest Strip(b),(c) | 5.0000 | 03/25/38 | 53,890 | ||||||||||
666,651 | Fannie Mae Interest Strip(c) | 5.0000 | 01/25/40 | 121,820 | ||||||||||
542,984 | Fannie Mae REMICS(c),(g) | US0001M + 6.500% | 6.4090 | 05/25/40 | 44,056 |
See accompanying notes to consolidated financial statements.
43
RATIONAL SPECIAL SITUATIONS INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Principal Amount ($) | Spread | Coupon Rate (%) | Maturity | Fair Value | ||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.5% (Continued) | ||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.3% (Continued) | ||||||||||||||
518,871 | Fannie Mae REMICS(c),(g) | US0001M + 6.150% | 6.0590 | 01/25/49 | $ | 101,422 | ||||||||
498,566 | FREDDIE MAC FHR 3753 SB ADJ% 11/15/2040(c),(g) | US0001M + 6.000% | 5.9270 | 11/15/40 | 95,523 | |||||||||
412,913 | Freddie Mac Strips(c) | 6.0000 | 06/15/39 | 96,925 | ||||||||||
476,770 | Freddie Mac Strips(b),(c) | 4.5000 | 05/15/49 | 85,886 | ||||||||||
3,603,916 | Freddie Mac Structured Pass-Through Certificates(b),(c) | 0.5240 | 05/25/43 | 75,904 | ||||||||||
933,246 | Government National Mortgage Association(c),(e) | 4.0000 | 09/16/25 | 48,473 | ||||||||||
250,331 | Government National Mortgage Association(c),(g) | US0001M + 7.550% | 6.6160 | 02/20/33 | 35,031 | |||||||||
262,705 | Government National Mortgage Association(c) | 5.0000 | 10/20/39 | 46,366 | ||||||||||
197,769 | Government National Mortgage Association(c),(g) | US0001M + 5.400% | 5.3070 | 05/20/41 | 28,817 | |||||||||
244,340 | Government National Mortgage Association(c),(g) | US0001M + 5.450% | 5.3570 | 06/20/41 | 47,559 | |||||||||
422,663 | Wachovia Mortgage Loan Trust, LLC Series 2005-A(b) | 2.4830 | 08/20/35 | 430,873 | ||||||||||
1,470,107 | ||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $3,244,614) | 2,824,816 | |||||||||||||
Principal Amount ($) | Coupon Rate (%) | Maturity | Fair Value | |||||||||||
CORPORATE BONDS — 11.0% | ||||||||||||||
INSURANCE — 6.8% | ||||||||||||||
18,448,008 | Ambac Assurance Corporation(a) | – | 06/07/69 | 25,873,330 | ||||||||||
8,176,011 | AMBAC Assurance Corporation(a) | 8.5000 | 02/12/55 | 7,930,731 | ||||||||||
14,997,678 | MBIA Global Funding, LLC(d) | – | 12/15/33 | 4,465,743 | ||||||||||
460,059 | MZ Funding, LLC(a) | 12.0000 | 01/20/22 | 471,975 | ||||||||||
38,741,779 | ||||||||||||||
SYNDICATED LOANS — 3.7% | ||||||||||||||
9,750,000 | DEER FINANCE SYNDICATED LOAN (h) | 8.0000 | 10/07/23 | 9,807,209 | ||||||||||
3,307,563 | MILBERG COLEMAN BRYSON PHILLIPS GROSSMAN SYNDICATE | 17.5000 | 04/28/25 | 3,307,563 | ||||||||||
7,500,000 | MSP DEER FINANCE SYNDICATED LOAN(h) | 17.0000 | 04/09/25 | 7,500,000 | ||||||||||
20,614,772 | ||||||||||||||
TRANSPORTATION & LOGISTICS — 0.5% | ||||||||||||||
1,710,705 | American Airlines 2013-1 Class A Pass Through Series 2013-1 Class A | 4.0000 | 01/15/27 | 1,664,168 | ||||||||||
263,897 | American Airlines 2013-2 Class A Pass Through Series 2013-2 Class A | 4.9500 | 01/15/23 | 267,762 | ||||||||||
903,069 | US Airways 2013-1 Class A Pass Through Trust Series 13-1 A | 3.9500 | 11/15/25 | 909,736 |
See accompanying notes to consolidated financial statements.
44
RATIONAL SPECIAL SITUATIONS INCOME FUND |
SCHEDULE OF INVESTMENTS (Unaudited) (Continued) |
June 30, 2021 |
Principal Amount ($) | Coupon Rate (%) | Maturity | Fair Value | |||||||||
CORPORATE BONDS — 11.0% (Continued) | ||||||||||||
TRANSPORTATION & LOGISTICS — 0.5% (Continued) | ||||||||||||
$ | 2,841,666 | |||||||||||
TOTAL CORPORATE BONDS (Cost $61,654,601) | 62,198,217 | |||||||||||
U.S. GOVERNMENT & AGENCIES — 0.1% | ||||||||||||
U.S. TREASURY BONDS — 0.1% | ||||||||||||
643,100 | United States Treasury Strip Principal(d) (Cost $450,170) | 0.0000 | 02/15/37 | 490,790 | ||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS — 5.5% | ||||||||||||
MONEY MARKET FUNDS - 5.5% | ||||||||||||
30,936,153 | First American Government Obligations Fund, Class U, 0.03% (Cost $30,936,153)(f) | 30,936,153 | ||||||||||
TOTAL INVESTMENTS - 99.5% (Cost $549,172,156) | $ | 560,706,903 | ||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 0.5% | 2,535,476 | |||||||||||
NET ASSETS - 100.0% | $ | 563,242,379 | ||||||||||
LLC | - Limited Liability Company |
LTD | - Limited Company |
REMIC | - Real Estate Mortgage Investment Conduit |
12MTA | Federal Reserve US 12 Month Cumulative Avg 1 Year CMT |
COF 11 | Cost of Funds for the 11th District of San Francisco |
H15T1Y | US Treasury Yield Curve Rate T Note Constant Maturity 1 Year |
US0001M | ICE LIBOR USD 1 Month |
US0003M | ICE LIBOR USD 3 Month |
US0006M | ICE LIBOR USD 6 Month |
US0012M | ICE LIBOR USD 12 Month |
(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 June 30, 2021 the total market value of 144A securities is 209,778,451 or 37.2% of net assets. |
(b) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
(c) | Interest only securities. |
(d) | Zero coupon bond. |
(e) | Step bond. Coupon rate is fixed rate that changes on a specified date. The rate shown is the current rate at June 30, 2021. |
(f) | Rate disclosed is the seven day effective yield as of June 30, 2021. |
(g) | Variable rate security; the rate shown represents the rate on June 30, 2021. |
(h) | Fair Valued Security |
(i) | Security currently in litigation. |
(j) | Non-income producing |
See accompanying notes to consolidated financial statements.
45
RATIONAL FUNDS |
Statements of Assets and Liabilities (Unaudited) |
June 30, 2021 |
Rational | Rational | Rational | Rational | |||||||||||||
Equity Armor | Tactical Return | Dynamic Brands | Strategic Allocation | |||||||||||||
Fund | Fund | Fund | Fund | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in Unaffiliated securities, at cost | $ | 54,949,731 | $ | 117,413,730 | $ | 73,699,987 | $ | 641,500 | ||||||||
Investments in Affiliated securities, at cost | — | — | — | 7,307,894 | ||||||||||||
Total Securities at Cost | 54,949,731 | 117,413,730 | 73,699,987 | 7,949,394 | ||||||||||||
Investments in Unaffiliated securities, at value | $ | 67,165,420 | $ | 117,413,730 | $ | 92,732,093 | $ | 641,530 | ||||||||
Investments in Affiliated securities, at value | — | — | — | 7,701,567 | ||||||||||||
Total Securities at Value | $ | 67,165,420 | $ | 117,413,730 | $ | 92,732,093 | $ | 8,343,097 | ||||||||
Cash | — | — | — | — | ||||||||||||
Deposits with Brokers for futures and options | 3,993,065 | 134,404,265 | — | 313,715 | ||||||||||||
Receivable for securities sold | 108,709 | — | 5,250,241 | — | ||||||||||||
Receivable for Fund shares sold | 369,783 | 1,852,245 | 25,516 | — | ||||||||||||
Unrealized appreciation from open futures contracts | 25,726 | — | — | 106,498 | ||||||||||||
Dividends and interest receivable | 57,294 | 2,985 | 53,888 | 33,187 | ||||||||||||
Due from Advisor | — | — | — | 4,719 | ||||||||||||
Prepaid expenses and other assets | 38,083 | 63,039 | 32,836 | 5,440 | ||||||||||||
Total Assets | 71,758,080 | 253,736,264 | 98,094,574 | 8,806,656 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Options written (premiums received $0, $288,494, $0, $0) | — | 150,210 | — | — | ||||||||||||
Payable for securities purchased | 560,663 | — | 2,611,859 | 33,211 | ||||||||||||
Management fees payable | 43,152 | 342,299 | 46,969 | — | ||||||||||||
Unrealized depreciation from open futures contracts | 184,743 | — | — | — | ||||||||||||
Payable for Fund shares redeemed | 13,421 | 132,109 | 46,225 | 171 | ||||||||||||
Payable to related parties | 12,631 | 35,272 | 11,830 | 3,416 | ||||||||||||
Shareholder services fees payable | 2,005 | 1,009 | 2,479 | 658 | ||||||||||||
Accrued 12b-1 fees | 2,510 | 21,702 | 15,329 | 1,858 | ||||||||||||
Trustee fees payable | 1,943 | 2,631 | 2,556 | 2,586 | ||||||||||||
Accrued expenses and other liabilities | 24,733 | 17,303 | 14,478 | 20,845 | ||||||||||||
Total Liabilities | 845,801 | 702,535 | 2,751,725 | 62,745 | ||||||||||||
Net Assets | $ | 70,912,279 | $ | 253,033,729 | $ | 95,342,849 | $ | 8,743,911 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid in capital | $ | 68,024,156 | $ | 246,308,897 | $ | 67,277,190 | $ | 7,897,509 | ||||||||
Accumulated earnings | 2,888,123 | 6,724,832 | 28,065,659 | 846,402 | ||||||||||||
Net Assets | $ | 70,912,279 | $ | 253,033,729 | $ | 95,342,849 | $ | 8,743,911 | ||||||||
Institutional Shares | ||||||||||||||||
Net Assets | $ | 56,781,521 | $ | 226,417,771 | $ | 69,270,550 | $ | 287,800 | ||||||||
Shares of beneficial interest outstanding (a) | 6,636,636 | 38,801,116 | 1,077,333 | 27,734 | ||||||||||||
Net asset value per share | $ | 8.56 | $ | 5.84 | $ | 64.30 | $ | 10.38 | ||||||||
Class A Shares | ||||||||||||||||
Net Assets | $ | 12,563,609 | $ | 17,602,263 | $ | 22,392,223 | $ | 8,454,954 | ||||||||
Shares of beneficial interest outstanding (a) | 1,470,235 | 3,002,939 | 527,369 | 811,037 | ||||||||||||
Net asset value and redemption price per share | $ | 8.55 | $ | 5.86 | $ | 42.46 | $ | 10.42 | ||||||||
Maximum offering price per share (b) | $ | 8.98 | $ | 6.15 | $ | 44.58 | $ | 10.94 | ||||||||
Class C Shares | ||||||||||||||||
Net Assets | $ | 1,567,149 | $ | 9,013,695 | $ | 3,680,076 | 1,157 | |||||||||
Shares of beneficial interest outstanding (a) | 184,480 | 1,577,518 | 99,917 | 111 | ||||||||||||
Net asset value, offering price and redemption price per share (c) | $ | 8.49 | $ | 5.71 | $ | 36.83 | $ | 10.39 | (d) |
(a) | Unlimited number of shares of no par value beneficial interest authorized. |
(b) | There is a maximum front-end sales charge (load) of 4.75% imposed on purchases of Class A shares for each Fund. |
(c) | A contingent deferred sales charge (“CDSC”) of 1.00% may be charged on shares held less than 12 months. |
(d) | Does not calculate due to rounding. |
See accompanying notes to consolidated financial statements.
46
RATIONAL FUNDS |
Statements of Assets and Liabilities (Unaudited) (Continued) |
June 30, 2021 |
Rational/ | Rational/Pier 88 | Rational | ||||||||||
ReSolve Adaptive | Convertible Securities | Special Situations | ||||||||||
Asset Allocation Fund | Fund | Income Fund | ||||||||||
(Consolidated) | ||||||||||||
ASSETS: | ||||||||||||
Investments in securities, at cost | $ | 57,493,861 | $ | 90,971,884 | $ | 549,172,156 | ||||||
Investments, at value | $ | 57,493,861 | $ | 98,040,341 | $ | 560,706,903 | ||||||
Cash | — | 203 | — | |||||||||
Deposits with Brokers for futures | 7,788,132 | — | — | |||||||||
Unrealized appreciation from open futures contracts | 1,403,243 | — | — | |||||||||
Foreign Deposits with Brokers for futures (Cost $2,631,967) | 2,609,015 | — | — | |||||||||
Receivable for securities sold | — | 394,463 | 196,776 | |||||||||
Dividends and interest receivable | 1,228 | 284,387 | 2,156,611 | |||||||||
Receivable for Fund shares sold | 524,436 | 32,500 | 4,254,075 | |||||||||
Prepaid expenses and other assets | 23,304 | 23,065 | 91,978 | |||||||||
Total Assets | 69,843,219 | 98,774,959 | 567,406,343 | |||||||||
LIABILITIES: | ||||||||||||
Payable for securities purchased | — | 394,620 | 3,112,212 | |||||||||
Unrealized depreciation from open futures contracts | 2,265,635 | — | — | |||||||||
Management fees payable | 86,919 | 53,744 | 665,224 | |||||||||
Payable for Fund shares redeemed | 2,434 | — | 200,129 | |||||||||
Payable to related parties | 12,513 | 13,929 | 82,471 | |||||||||
Accrued 12b-1 fees | 215 | 566 | 54,726 | |||||||||
Due to custodian | — | — | 25,136 | |||||||||
Shareholder services fees payable | 6,607 | 3,145 | 7,368 | |||||||||
Trustee fees payable | 779 | 2,609 | 2,754 | |||||||||
Accrued expenses and other liabilities | 21,780 | 25,450 | 13,944 | |||||||||
Total Liabilities | 2,396,882 | 494,063 | 4,163,964 | |||||||||
Net Assets | $ | 67,446,337 | $ | 98,280,896 | $ | 563,242,379 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid in capital | $ | 66,209,869 | $ | 86,890,401 | $ | 557,492,610 | ||||||
Accumulated earnings | 1,236,468 | 11,390,495 | 5,749,769 | |||||||||
Net Assets | $ | 67,446,337 | $ | 98,280,896 | $ | 563,242,379 | ||||||
Institutional Shares | ||||||||||||
Net Assets | $ | 66,610,520 | $ | 93,382,043 | $ | 487,305,327 | ||||||
Shares of beneficial interest outstanding (a) | 2,629,524 | 7,691,998 | 24,657,278 | |||||||||
Net asset value per share | $ | 25.33 | $ | 12.14 | $ | 19.76 | ||||||
Class A Shares | ||||||||||||
Net Assets | $ | 576,731 | $ | 4,729,861 | $ | 49,632,126 | ||||||
Shares of beneficial interest outstanding (a) | 22,951 | 389,612 | 2,514,106 | |||||||||
Net asset value and redemption price per share | $ | 25.13 | $ | 12.14 | $ | 19.74 | ||||||
Maximum offering price per share (b) | $ | 26.66 | $ | 12.75 | $ | 20.72 | ||||||
Class C Shares | ||||||||||||
Net Assets | $ | 259,086 | $ | 168,992 | $ | 26,304,926 | ||||||
Shares of beneficial interest outstanding (a) | 10,608 | 13,969 | 1,335,676 | |||||||||
Net asset value, offering price and redemption price per share (c) | $ | 24.42 | $ | 12.10 | $ | 19.69 |
(a) | Unlimited number of shares of no par value beneficial interest authorized. |
(b) | There is a maximum front-end sales charge (load) of 4.75% imposed on purchases of Class A shares for each Fund except Resolve Adaptive Asset Allocation Fund whose maximum front-end sales charge (load) is 5.75%. |
(c) | A contingent deferred sales charge (“CDSC”) of 1.00% may be charged on shares held less than 12 months. |
See accompanying notes to consolidated financial statements.
47
RATIONAL FUNDS |
Statements of Operations (Unaudited) |
For the Six Months Ended June 30, 2021 |
Rational | Rational | Rational | Rational | |||||||||||||
Equity Armor | Tactical Return | Dynamic Brands | Strategic Allocation | |||||||||||||
Fund | Fund | Fund | Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Dividend income | $ | 631,455 | $ | — | $ | 196,767 | $ | — | ||||||||
Interest income | 703 | 16,105 | 223 | 180 | ||||||||||||
Dividend income - affiliated companies (Note 3) | — | — | — | 154,820 | ||||||||||||
Foreign tax withheld | — | — | (14,434 | ) | — | |||||||||||
Total Investment Income | 632,158 | 16,105 | 182,556 | 155,000 | ||||||||||||
Operating Expenses: | ||||||||||||||||
Investment management fees | 243,580 | 2,000,328 | 305,793 | 4,128 | ||||||||||||
12b-1 Fees - Class C Shares | 6,737 | 44,208 | 12,404 | 5 | ||||||||||||
12b-1 Fees - Class A Shares | 15,559 | 10,313 | 25,008 | 10,040 | ||||||||||||
Shareholder Services Fees - Institutional Shares | 14,519 | 90,080 | 20,071 | — | ||||||||||||
Shareholder Services Fees - Class A Shares | 6,274 | 4,012 | 9,349 | 3,297 | ||||||||||||
Shareholder Services Fees - Class C Shares | 297 | 3,270 | 303 | — | ||||||||||||
Administration fees | 28,449 | 79,118 | 34,683 | 10,735 | ||||||||||||
Registration fees | 30,242 | 42,179 | 28,105 | 4,065 | ||||||||||||
Management Service Fees | 15,837 | 49,519 | 19,236 | 4,178 | ||||||||||||
Legal fees | 8,709 | 6,226 | 6,194 | 6,337 | ||||||||||||
Audit fees | 6,654 | 6,574 | 5,769 | 6,677 | ||||||||||||
Compliance officer fees | 6,258 | 8,241 | 6,430 | 3,217 | ||||||||||||
Printing expense | 4,871 | 10,212 | 2,914 | 1,981 | ||||||||||||
Trustees’ fees | 4,943 | 4,954 | 4,954 | 4,954 | ||||||||||||
Custody fees | 7,092 | 3,378 | 4,152 | 2,107 | ||||||||||||
Insurance expense | 1,158 | 5,877 | 1,557 | 276 | ||||||||||||
Interest expense | 1,002 | 1,002 | 1,128 | 1,002 | ||||||||||||
Miscellaneous expenses | 1,191 | 1,169 | 1,191 | 1,191 | ||||||||||||
Total Operating Expenses | 403,372 | 2,370,660 | 489,241 | 64,190 | ||||||||||||
Less: Expenses waived/reimbursed by Advisor | (38,723 | ) | (38,525 | ) | — | (34,452 | ) | |||||||||
Plus: Waived Fees Recaptured by Advisor | — | — | 26,208 | |||||||||||||
Net Operating Expenses | 364,649 | 2,332,135 | 515,449 | 29,738 | ||||||||||||
Net Investment Income (Loss) | 267,509 | (2,316,030 | ) | (332,893 | ) | 125,262 | ||||||||||
Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||||||
Net Realized Gain (Loss) from: | ||||||||||||||||
Investments | 2,654,357 | — | 6,162,680 | — | ||||||||||||
Options purchased | (164,642 | ) | (864,737 | ) | — | — | ||||||||||
Options written | (175 | ) | 8,927,280 | — | — | |||||||||||
Futures | (2,805,909 | ) | — | — | 1,249,725 | |||||||||||
Foreign currency transactions | — | — | 11 | — | ||||||||||||
Net Realized Gain (Loss) | (316,369 | ) | 8,062,543 | 6,162,691 | 1,249,725 | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | ||||||||||||||||
Investments | 5,138,128 | — | 5,113,181 | 30 | ||||||||||||
Affiliated companies | — | — | — | 44,720 | ||||||||||||
Options written | — | 105,018 | — | — | ||||||||||||
Futures | (98,955 | ) | — | — | (77,882 | ) | ||||||||||
Foreign currency translations | — | — | (97 | ) | — | |||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Investments | 5,039,173 | 105,018 | 5,113,084 | (33,132 | ) | |||||||||||
Net Realized and Unrealized Gain on Investments | 4,722,804 | 8,167,561 | 11,275,775 | 1,216,593 | ||||||||||||
Net Increase in Net Assets Resulting From Operations | $ | 4,990,313 | $ | 5,851,531 | $ | 10,942,882 | $ | 1,341,855 |
See accompanying notes to consolidated financial statements.
48
RATIONAL FUNDS |
Statements of Operations (Unaudited) (Continued) |
For the Six Months Ended June 30, 2021 |
Rational/ | Rational/ Pier 88 | Rational | ||||||||||
ReSolve Adaptive | Convertible Securities | Special Situations | ||||||||||
Asset Allocation Fund | Fund | Income Fund | ||||||||||
(Consolidated) | ||||||||||||
Investment Income: | ||||||||||||
Dividend income | $ | — | $ | 859,616 | $ | 32,500 | ||||||
Interest income | 3,139 | 159,766 | 13,671,481 | |||||||||
Total Investment Income | 3,139 | 1,019,382 | 13,703,981 | |||||||||
Operating Expenses: | ||||||||||||
Investment management fees | 561,449 | 389,816 | 3,544,213 | |||||||||
12b-1 Fees - Class A Shares | 804 | 4,806 | 53,675 | |||||||||
12b-1 Fees - Class C Shares | 1,247 | 587 | 98,863 | |||||||||
Shareholder Services Fees - Institutional Shares | 29,225 | 37,377 | 154,692 | |||||||||
Shareholder Services Fees - Class A Shares | 245 | 712 | 19,639 | |||||||||
Shareholder Services Fees - Class C Shares | 123 | — | 2,919 | |||||||||
Administrative fees | 29,477 | 38,361 | 220,302 | |||||||||
Management Service Fees | 15,681 | 21,340 | 99,528 | |||||||||
Registration fees | 18,584 | 14,656 | 44,635 | |||||||||
Printing expenses | 4,051 | 5,412 | 16,509 | |||||||||
Legal fees | 10,874 | 8,011 | 31,221 | |||||||||
Audit fees | 6,738 | 6,431 | 11,825 | |||||||||
Compliance officer fees | 6,297 | 6,520 | 10,852 | |||||||||
Custody fees | 2,942 | 2,207 | 17,600 | |||||||||
Trustees’ fees | 5,398 | 4,953 | 4,953 | |||||||||
Insurance Expense | 1,722 | 2,175 | 7,822 | |||||||||
Interest expense | 1,002 | 1,002 | 1,002 | |||||||||
Miscellaneous expense | 1,191 | 1,191 | 2,079 | |||||||||
Total Operating Expenses | 697,050 | 545,557 | 4,342,329 | |||||||||
Less: Expenses waived/reimbursed by Advisor | (61,795 | ) | (84,437 | ) | (25,387 | ) | ||||||
Net Operating Expenses | 635,255 | 461,120 | 4,316,942 | |||||||||
Net Investment Income (Loss) | (632,116 | ) | 558,262 | 9,387,039 | ||||||||
Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net Realized Gain (Loss) from: | ||||||||||||
Investments | — | 3,840,225 | 3,927,473 | |||||||||
Futures | 8,088,559 | — | — | |||||||||
Foreign currency translations | 66,738 | — | — | |||||||||
Net Realized Gain (Loss) | 8,155,297 | 3,840,225 | 3,927,473 | |||||||||
Net Change in Unrealized Depreciation on Investments | ||||||||||||
Investments | — | (1,020,591 | ) | 710,428 | ||||||||
Futures | (3,266,080 | ) | — | — | ||||||||
Foreign currency translations | (115,620 | ) | — | — | ||||||||
Net Change in Unrealized Depreciation on Investments | (3,381,700 | ) | (1,020,591 | ) | 710,428 | |||||||
Net Realized and Unrealized Gain (Loss) on Investments | 4,773,597 | 2,819,634 | 4,637,901 | |||||||||
Net Increase in Net Assets Resulting From Operations | $ | 4,141,481 | $ | 3,377,896 | $ | 14,024,940 |
See accompanying notes to consolidated financial statements.
49
RATIONAL FUNDS |
Statements of Changes in Net Assets |
Rational Equity Armor Fund | Rational Tactical Return Fund | Rational Dynamic Brands Fund | ||||||||||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||||||||
June 30, 2021 | December 31, 2020 | June 30, 2021 | December 31, 2020 | June 30, 2021 | December 31, 2020 | |||||||||||||||||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 267,509 | $ | 347,932 | $ | (2,316,030 | ) | $ | (3,163,857 | ) | $ | (332,893 | ) | $ | (290,828 | ) | ||||||||
Net realized gain (loss) on investments, Futures and options | (316,369 | ) | (1,410,495 | ) | 8,062,543 | 8,094,845 | 6,162,691 | 10,520,258 | ||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments, foreign currency, options and Futures | 5,039,173 | 6,860,503 | 105,018 | (4,908 | ) | 5,113,084 | 7,987,040 | |||||||||||||||||
Net increase in net assets resulting from operations | 4,990,313 | 5,797,940 | 5,851,531 | 4,926,080 | 10,942,882 | 18,216,470 | ||||||||||||||||||
Distributions to Shareholders from: | ||||||||||||||||||||||||
Total Distributions : | ||||||||||||||||||||||||
Institutional | (344,464 | ) | (453,360 | ) | — | (4,130,182 | ) | — | (5,481,617 | ) | ||||||||||||||
Class A | (67,229 | ) | (105,252 | ) | — | (153,641 | ) | — | (2,718,838 | ) | ||||||||||||||
Class C | (2,996 | ) | (5,581 | ) | — | (194,050 | ) | — | (248,596 | ) | ||||||||||||||
Total distributions to shareholders | (414,689 | ) | (564,193 | ) | — | (4,477,873 | ) | — | (8,449,051 | ) | ||||||||||||||
Share Transactions of Beneficial Interest: | ||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||
Institutional | 13,697,477 | 44,970,883 | 63,526,156 | 191,749,850 | 18,674,335 | 28,554,449 | ||||||||||||||||||
Class A | 491,034 | 2,091,540 | 11,408,202 | 6,172,898 | 3,288,023 | 2,596,224 | ||||||||||||||||||
Class C | 528,757 | 172,712 | 808,105 | 3,883,968 | 1,868,494 | 1,197,830 | ||||||||||||||||||
Reinvestment of distributions | ||||||||||||||||||||||||
Institutional | 208,890 | 233,417 | — | 3,914,858 | — | 5,090,472 | ||||||||||||||||||
Class A | 60,901 | 94,487 | — | 149,294 | — | 2,671,413 | ||||||||||||||||||
Class C | 2,177 | 2,956 | — | 184,052 | — | 234,552 | ||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||
Institutional | (7,161,528 | ) | (9,494,876 | ) | (42,545,882 | ) | (147,243,068 | ) | (10,443,140 | ) | (9,523,310 | ) | ||||||||||||
Class A | (993,415 | ) | (3,055,029 | ) | (1,445,706 | ) | (14,008,530 | ) | (1,536,312 | ) | (2,125,183 | ) | ||||||||||||
Class C | (212,127 | ) | (404,081 | ) | (1,108,837 | ) | (1,330,893 | ) | (50,311 | ) | (63,151 | ) | ||||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | 6,622,166 | 34,612,009 | 30,642,038 | 43,472,429 | 11,801,089 | 28,633,296 | ||||||||||||||||||
Total Increase in Net Assets | 11,197,790 | 39,845,756 | 36,493,569 | 43,920,636 | 22,743,971 | 38,400,715 | ||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of period | 59,714,489 | 19,868,733 | 216,540,160 | 172,619,524 | 72,598,878 | 34,198,163 | ||||||||||||||||||
End of period | $ | 70,912,279 | $ | 59,714,489 | $ | 253,033,729 | $ | 216,540,160 | $ | 95,342,849 | $ | 72,598,878 | ||||||||||||
Share Activity: | ||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||
Shares Sold | 1,626,544 | 6,038,880 | 11,035,495 | 33,529,962 | 309,737 | 555,404 | ||||||||||||||||||
Shares Reinvested | 24,707 | 30,046 | — | 689,236 | — | 89,922 | ||||||||||||||||||
Shares Redeemed | (853,591 | ) | (1,261,579 | ) | (7,392,356 | ) | (25,764,629 | ) | (177,317 | ) | (199,858 | ) | ||||||||||||
Net increase in shares of Beneficial interest | 797,660 | 4,807,347 | 3,643,139 | 8,454,569 | 132,420 | 445,468 | ||||||||||||||||||
Class A | ||||||||||||||||||||||||
Shares Sold | 59,342 | 282,090 | 1,955,117 | 1,069,707 | 83,191 | 66,023 | ||||||||||||||||||
Shares Reinvested | 7,213 | 12,186 | — | 26,146 | — | 71,371 | ||||||||||||||||||
Shares Redeemed | (118,866 | ) | (426,210 | ) | (250,025 | ) | (2,446,070 | ) | (39,459 | ) | (62,938 | ) | ||||||||||||
Net increase (decrease) in shares of Beneficial interest | (52,311 | ) | (131,934 | ) | 1,705,092 | (1,350,217 | ) | 43,732 | 74,456 | |||||||||||||||
Class C | ||||||||||||||||||||||||
Shares Sold | 63,165 | 22,902 | 142,673 | 686,028 | 54,228 | 35,459 | ||||||||||||||||||
Shares Reinvested | 257 | 380 | — | 32,925 | — | 7,197 | ||||||||||||||||||
Shares Redeemed | (26,296 | ) | (57,096 | ) | (196,260 | ) | (235,139 | ) | (1,464 | ) | (2,278 | ) | ||||||||||||
Net increase (decrease) in shares of Beneficial interest | 37,126 | (33,814 | ) | (53,587 | ) | 483,814 | 52,764 | 40,378 |
See accompanying notes to consolidated financial statements.
50
RATIONAL FUNDS |
Statements of Changes in Net Assets (Continued) |
Rational/ReSolve Adaptive | ||||||||||||||||
Rational Strategic Allocation Fund | Asset Allocation Fund | |||||||||||||||
(Consolidated) | ||||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||
June 30, 2021 | December 31, 2020 | June 30, 2021 | December 31, 2020 | |||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 125,262 | $ | 232,735 | $ | (632,116 | ) | $ | (1,026,697 | ) | ||||||
Net realized gain (loss) on investments, affiliated companies foreign currency transactions and futures | 1,249,725 | (889,114 | ) | 8,155,297 | (2,929,535 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) on investments, affiliated companies, foreign currency transactions and futures | (33,132 | ) | 162,176 | (3,381,700 | ) | 4,280,789 | ||||||||||
Net increase (decrease) in net assets resulting from operations | 1,341,855 | (494,203 | ) | 4,141,481 | 324,557 | |||||||||||
Distributions to Shareholders: | ||||||||||||||||
From return of capital: | ||||||||||||||||
Institutional | — | (564 | ) | — | (88,954 | ) | ||||||||||
Class A | — | (18,057 | ) | — | — | |||||||||||
Class C | — | (2 | ) | — | — | |||||||||||
Total Distributions Paid : | ||||||||||||||||
Institutional | (3,539 | ) | (7,668 | ) | — | (205,777 | ) | |||||||||
Class A | (94,294 | ) | (225,046 | ) | — | — | ||||||||||
Class C | (9 | ) | (21 | ) | — | — | ||||||||||
Total distributions to shareholders | (97,842 | ) | (251,358 | ) | — | (294,731 | ) | |||||||||
Share Transactions of Beneficial Interest: | ||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||
Institutional | — | — | 8,036,234 | 34,738,337 | ||||||||||||
Class A | 41,047 | 44,999 | 20,174 | 9,754,139 | ||||||||||||
Class C | — | — | 1,800 | 31,295 | ||||||||||||
Reinvestment of distributions | ||||||||||||||||
Institutional | — | — | — | 245,746 | ||||||||||||
Class A | 91,078 | 235,629 | — | — | ||||||||||||
Class C | — | — | — | — | ||||||||||||
Cost of shares redeemed | ||||||||||||||||
Institutional | — | — | (7,691,513 | ) | (24,056,010 | ) | ||||||||||
Class A | (594,256 | ) | (1,234,592 | ) | (256,657 | ) | (14,414,075 | ) | ||||||||
Class C | — | — | (8,000 | ) | (210,779 | ) | ||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | (462,131 | ) | (953,964 | ) | 102,038 | 6,088,653 | ||||||||||
Total Increase (Decrease) in Net Assets | 781,882 | (1,699,525 | ) | 4,243,519 | 6,118,479 | |||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 7,962,029 | 9,661,554 | 63,202,818 | 57,084,339 | ||||||||||||
End of period | $ | 8,743,911 | $ | 7,962,029 | $ | 67,446,337 | $ | 63,202,818 | ||||||||
Share Activity: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares Sold | — | — | 327,403 | 1,494,929 | ||||||||||||
Shares Reinvested | — | — | — | 10,506 | ||||||||||||
Shares Redeemed | — | — | (314,096 | ) | (1,047,952 | ) | ||||||||||
Net increase in shares of Beneficial interest | — | — | 13,307 | 457,483 | ||||||||||||
Class A | ||||||||||||||||
Shares Sold | 4,181 | 5,447 | 831 | 407,554 | ||||||||||||
Shares Reinvested | 9,030 | 29,250 | — | — | ||||||||||||
Shares Redeemed | (60,593 | ) | (152,303 | ) | (10,758 | ) | (605,271 | ) | ||||||||
Net decrease in shares of Beneficial interest | (47,382 | ) | (117,606 | ) | (9,927 | ) | (197,717 | ) | ||||||||
Class C | ||||||||||||||||
Shares Sold | — | — | 76 | 1,382 | ||||||||||||
Shares Reinvested | — | — | — | — | ||||||||||||
Shares Redeemed | — | — | (345 | ) | (9,460 | ) | ||||||||||
Net decrease in shares of Beneficial interest | — | — | (269 | ) | (8,078 | ) |
See accompanying notes to consolidated financial statements.
51
RATIONAL FUNDS |
Statements of Changes in Net Assets (Continued) |
Rational/ Pier 88 Convertible Securities Fund | Rational Special Situations Income Fund | |||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||
June 30, 2021 | December 31, 2020 | June 30, 2021 | December 31, 2020 | |||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 558,262 | $ | 967,798 | $ | 9,387,039 | $ | 5,782,835 | ||||||||
Net realized gain (loss) on investments | 3,840,225 | 685,976 | 3,927,473 | 241,732 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investments | (1,020,591 | ) | 7,676,411 | 710,428 | 4,315,358 | |||||||||||
Net increase in net assets resulting from operations | 3,377,896 | 9,330,185 | 14,024,940 | 10,339,925 | ||||||||||||
Distributions to Shareholders: | ||||||||||||||||
From return of capital: | ||||||||||||||||
Institutional Class | — | — | — | (549,867 | ) | |||||||||||
Class A | — | — | — | (56,508 | ) | |||||||||||
Class C | — | — | — | (16,854 | ) | |||||||||||
Total Distributions : | ||||||||||||||||
Institutional | (522,580 | ) | (1,243,586 | ) | (10,588,470 | ) | (11,887,080 | ) | ||||||||
Class A | (20,946 | ) | (4,253 | ) | (1,049,830 | ) | (1,173,195 | ) | ||||||||
Class C | (313 | ) | (623 | ) | (426,021 | ) | (311,996 | ) | ||||||||
Total distributions to shareholders | (543,839 | ) | (1,248,462 | ) | (12,064,321 | ) | (13,995,500 | ) | ||||||||
Share Transactions of Beneficial Interest: | ||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||
Institutional | 18,374,651 | 65,326,825 | 198,447,842 | 359,188,223 | ||||||||||||
Class A | 4,363,835 | 348,047 | 19,751,807 | 37,959,162 | ||||||||||||
Class C | 112,100 | 50,000 | 12,934,578 | 13,980,430 | ||||||||||||
Reinvestment of distributions | ||||||||||||||||
Institutional | 167,909 | 177,486 | 8,727,426 | 9,575,043 | ||||||||||||
Class A | 2,755 | 4,253 | 891,370 | 1,047,397 | ||||||||||||
Class C | 313 | 623 | 347,988 | 272,495 | ||||||||||||
Cost of shares redeemed | ||||||||||||||||
Institutional | (1,878,255 | ) | (5,326,333 | ) | (74,477,153 | ) | (89,158,528 | ) | ||||||||
Class A | (34,130 | ) | (31,969 | ) | (8,422,690 | ) | (7,198,360 | ) | ||||||||
Class C | — | — | (1,158,329 | ) | (1,342,540 | ) | ||||||||||
Net increase in net assets from share transactions of beneficial interest | 21,109,178 | 60,548,932 | 157,042,839 | 324,323,322 | ||||||||||||
Total Increase in Net Assets | 23,943,235 | 68,630,655 | 159,003,458 | 320,667,747 | ||||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 74,337,661 | 5,707,006 | 404,238,921 | 83,571,174 | ||||||||||||
End of period | $ | 98,280,896 | $ | 74,337,661 | $ | 563,242,379 | $ | 404,238,921 | ||||||||
Share Activity: | ||||||||||||||||
Institutional | ||||||||||||||||
Shares Sold | 1,507,399 | 6,322,918 | 10,027,392 | 18,243,801 | ||||||||||||
Shares Reinvested | 13,929 | 15,655 | 441,999 | 489,738 | ||||||||||||
Shares Redeemed | (157,447 | ) | (571,547 | ) | (3,764,163 | ) | (4,604,174 | ) | ||||||||
Net increase in shares of Beneficial interest | 1,363,881 | 5,767,026 | 6,705,228 | 14,129,365 | ||||||||||||
Class A | ||||||||||||||||
Shares Sold | 363,386 | 31,516 | 999,624 | 1,937,859 | ||||||||||||
Shares Reinvested | 228 | 374 | 45,191 | 53,707 | ||||||||||||
Shares Redeemed | (2,824 | ) | (3,069 | ) | (426,248 | ) | (367,362 | ) | ||||||||
Net increase in shares of Beneficial interest | 360,790 | 28,821 | 618,567 | 1,624,204 | ||||||||||||
Class C | ||||||||||||||||
Shares Sold | 9,265 | 4,622 | 656,087 | 711,234 | ||||||||||||
Shares Reinvested | 26 | 55 | 17,681 | 13,986 | ||||||||||||
Shares Redeemed | — | — | (58,766 | ) | (68,807 | ) | ||||||||||
Net increase in shares of Beneficial interest | 9,291 | 4,677 | 615,002 | 656,413 |
See accompanying notes to consolidated financial statements.
52
RATIONAL FUNDS |
Rational Equity Armor Fund |
Financial Highlights |
For a Share Outstanding Throughout Each Year/Period |
Institutional | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
June 30, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 7.96 | $ | 6.94 | $ | 6.58 | $ | 8.02 | $ | 8.64 | $ | 8.41 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (A) | 0.04 | 0.08 | 0.22 | 0.34 | 0.30 | 0.29 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.62 | 1.03 | 0.51 | (1.26 | ) | (0.47 | ) | 0.22 | ||||||||||||||||
Total from investment operations | 0.66 | 1.11 | 0.73 | (0.92 | ) | (0.17 | ) | 0.51 | ||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.06 | ) | (0.09 | ) | (0.37 | ) | (0.52 | ) | (0.45 | ) | (0.26 | ) | ||||||||||||
From net realized gains on investments | — | — | — | — | — | (0.02 | ) | |||||||||||||||||
Total distributions | (0.06 | ) | (0.09 | ) | (0.37 | ) | (0.52 | ) | (0.45 | ) | (0.28 | ) | ||||||||||||
Net asset value, end of year/period | $ | 8.56 | $ | 7.96 | $ | 6.94 | $ | 6.58 | $ | 8.02 | $ | 8.64 | ||||||||||||
Total return (B) | 8.24 | % (E,F) | 16.00 | % (E) | 11.32 | % | (11.96 | )% | (1.99 | )% | 6.15 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 56,782 | $ | 46,451 | $ | 7,155 | $ | 4,940 | $ | 12,188 | $ | 47,544 | ||||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement (C) | 1.16 | % (G) | 1.32 | % | 1.75 | % | 1.58 | % | 1.33 | % | 1.42 | % | ||||||||||||
Expenses, net waiver and reimbursement (C) | 1.05 | % (G) | 1.01 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||||
Net investment income | 0.89 | % (G) | 1.10 | % | 3.12 | % | 4.32 | % | 3.53 | % | 3.37 | % | ||||||||||||
Portfolio turnover rate | 101 | % (F) | 480 | % | 394 | % | 307 | % | 224 | % | 159 | % | ||||||||||||
Class A | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
June 30, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2018 | 2016 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 7.95 | $ | 6.93 | $ | 6.57 | $ | 8.01 | $ | 8.63 | $ | 8.40 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (A) | 0.03 | 0.04 | 0.20 | 0.32 | 0.30 | 0.27 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.62 | 1.05 | 0.51 | (1.26 | ) | (0.49 | ) | 0.22 | ||||||||||||||||
Total from investment operations | 0.65 | 1.09 | 0.71 | (0.94 | ) | (0.19 | ) | 0.49 | ||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.05 | ) | (0.07 | ) | (0.35 | ) | (0.50 | ) | (0.43 | ) | (0.24 | ) | ||||||||||||
From net realized gains on investments | — | — | — | — | — | (0.02 | ) | |||||||||||||||||
Total distributions | (0.05 | ) | (0.07 | ) | (0.35 | ) | (0.50 | ) | (0.43 | ) | (0.26 | ) | ||||||||||||
Net asset value, end of year/period | $ | 8.55 | $ | 7.95 | $ | 6.93 | $ | 6.57 | $ | 8.01 | $ | 8.63 | ||||||||||||
Total return (B) | 8.12 | % (F) | 15.74 | % | 11.03 | % | (12.22 | )% | (2.24 | )% | 5.89 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 12,564 | $ | 12,099 | $ | 11,462 | $ | 12,629 | $ | 20,327 | $ | 32,269 | ||||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement (D) | 1.46 | % (G) | 1.69 | % | 2.00 | % | 1.82 | % | 1.57 | % | 1.67 | % | ||||||||||||
Expenses, net waiver and reimbursement (D) | 1.30 | % (G) | 1.26 | % | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | ||||||||||||
Net investment income | 0.65 | % (G) | 0.58 | % | 2.90 | % | 4.17 | % | 3.52 | % | 3.12 | % | ||||||||||||
Portfolio turnover rate | 101 | % (F) | 480 | % | 394 | % | 307 | % | 224 | % | 159 | % |
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year. |
(B) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges. Had the Advisor not waived its fees and reimbursed expenses, total return would have been lower. |
(C) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement | 1.16 | % | 1.31 | % | 1.75 | % | 1.58 | % | 1.33 | % | 1.42 | % | ||||||||||||
Expenses, net waiver and reimbursement | 1.05 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % |
(D) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement | 1.46 | % | 1.68 | % | 2.00 | % | 1.82 | % | 1.57 | % | 1.67 | % | ||||||||||||
Expenses, net waiver and reimbursement | 1.30 | % | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % |
(E) | 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. |
(F) | Not Annualized |
(G) | Annualized |
See accompanying notes to financial statements.
53
RATIONAL FUNDS |
Rational Equity Armor Fund (Continued) |
Financial Highlights |
For a Share Outstanding Throughout Each Year/Period |
Class C | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
June 30, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 7.90 | $ | 6.91 | $ | 6.55 | $ | 7.99 | $ | 8.61 | $ | 8.38 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss) (A) | (0.00 | ) (B) | (0.01 | ) | 0.15 | 0.27 | 0.29 | 0.22 | ||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.61 | 1.04 | 0.51 | (1.27 | ) | (0.52 | ) | 0.22 | ||||||||||||||||
Total from investment operations | 0.61 | 1.03 | 0.66 | (1.00 | ) | (0.23 | ) | 0.44 | ||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.02 | ) | (0.04 | ) | (0.30 | ) | (0.44 | ) | (0.39 | ) | (0.19 | ) | ||||||||||||
From net realized gains on investments | — | — | — | — | — | (0.02 | ) | |||||||||||||||||
Total distributions | (0.02 | ) | (0.04 | ) | (0.30 | ) | (0.44 | ) | (0.39 | ) | (0.21 | ) | ||||||||||||
Net asset value, end of year/period | $ | 8.49 | $ | 7.90 | $ | 6.91 | $ | 6.55 | $ | 7.99 | $ | 8.61 | ||||||||||||
Total return (C) | 7.68 | % (D,F) | 14.88 | % | 10.23 | % (D) | (12.92 | )% (D) | (2.68 | )% | 5.34 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 1,567 | $ | 1,164 | $ | 1,252 | $ | 1,664 | $ | 2,799 | $ | 1,654 | ||||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement (E) | 2.14 | % (G) | 2.39 | % | 2.75 | % | 2.59 | % | 2.31 | % | 2.17 | % | ||||||||||||
Expenses, net waiver and reimbursement (E) | 2.04 | % (G) | 2.01 | % | 2.00 | % | 1.90 | % | 1.75 | % | 1.75 | % | ||||||||||||
Net investment income (loss) | (0.10 | )% (G) | (0.18 | )% | 2.16 | % | 3.52 | % | 3.50 | % | 2.61 | % | ||||||||||||
Portfolio turnover rate | 101 | % (F) | 480 | % | 394 | % | 307 | % | 224 | % | 159 | % | ||||||||||||
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year. |
(B) | Amount is less than $0.005. |
(C) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends. Had the Advisor not waived its fees and reimbursed expenses, total return would have been lower. |
(D) | 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. |
(E) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement | 2.14 | % | 2.38 | % | 2.75 | % | 2.59 | % | 2.31 | % | 2.17 | % | ||||||||||||
Expenses, net waiver and reimbursement | 2.04 | % | 2.00 | % | 2.00 | % | 1.90 | % | 1.75 | % | 1.75 | % |
(F) | Not Annualized. |
(G) | Annualized. |
See accompanying notes to financial statements.
54
RATIONAL FUNDS |
Rational Tactical Return Fund |
Financial Highlights |
For a Share Outstanding Throughout Each Year/Period |
Institutional | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
June 30, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 5.69 | $ | 5.66 | $ | 5.40 | $ | 4.99 | $ | 5.12 | $ | 5.39 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss) (A) | (0.06 | ) | (0.09 | ) | (0.01 | ) | (0.06 | ) | 0.01 | 0.06 | ||||||||||||||
Net realized and unrealized gain on investments | 0.21 | 0.24 | 0.46 | 0.55 | 0.14 | 0.37 | ||||||||||||||||||
Total from investment operations | 0.15 | 0.15 | 0.45 | 0.49 | 0.15 | 0.43 | ||||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | — | — | — | (0.01 | ) | (0.28 | ) | (0.70 | ) | |||||||||||||||
From net realized gains on investments | — | (0.12 | ) | (0.19 | ) | (0.07 | ) | — | — | |||||||||||||||
Total distributions | — | (0.12 | ) | (0.19 | ) | (0.08 | ) | (0.28 | ) | (0.70 | ) | |||||||||||||
Net asset value, end of year/period | $ | 5.84 | $ | 5.69 | $ | 5.66 | $ | 5.40 | $ | 4.99 | $ | 5.12 | ||||||||||||
Total return (B) | 2.64 | % (C,E) | 2.65 | % | 8.35 | % | 9.66 | % | 2.89 | % (C) | 7.82 | % (C) | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 226,419 | $ | 199,987 | $ | 151,070 | $ | 18,333 | $ | 5,451 | $ | 4,747 | ||||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement | 2.02 | % (F) | 2.05 | % | 2.15 | % | 3.16 | % | 4.29 | % | 2.61 | % | ||||||||||||
Expenses, net waiver and reimbursement | 1.98 | % (F) | 1.99 | % | 1.99 | % | 1.99 | % | 1.17 | % | 1.00 | % | ||||||||||||
Net investment income (loss) | (1.98 | )% (F) | (1.54 | )% | (0.15 | )% | (1.20 | )% | 0.22 | % | 1.07 | % | ||||||||||||
Portfolio turnover rate | 0 | % (E) | 0 | % | 0 | % | 0 | % | 199 | % | 246 | % | ||||||||||||
Class A | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
June 30, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
$ | 5.72 | $ | 5.70 | $ | 5.45 | $ | 5.04 | $ | 5.16 | $ | 5.43 | |||||||||||||
Net asset value, beginning of year/period | ||||||||||||||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss) (A) | (0.06 | ) | (0.09 | ) | (0.02 | ) | (0.07 | ) | 0.01 | 0.05 | ||||||||||||||
Net realized and unrealized gain on investments | 0.20 | 0.23 | 0.46 | 0.55 | 0.14 | 0.37 | ||||||||||||||||||
Total from investment operations | 0.14 | 0.14 | 0.44 | 0.48 | 0.15 | 0.42 | ||||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | — | — | — | (0.00 | ) (D) | (0.27 | ) | (0.69 | ) | |||||||||||||||
From net realized gains on investments | — | (0.12 | ) | (0.19 | ) | (0.07 | ) | — | — | |||||||||||||||
Total distributions | — | (0.12 | ) | (0.19 | ) | (0.07 | ) | (0.27 | ) | (0.69 | ) | |||||||||||||
Net asset value, end of year/period | $ | 5.86 | $ | 5.72 | $ | 5.70 | $ | 5.45 | $ | 5.04 | $ | 5.16 | ||||||||||||
Total return (B) | 2.45 | % (E) | 2.45 | % | 8.09 | % | 9.45 | % | 2.98 | % (C) | 7.48 | % (C) | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 17,602 | $ | 7,423 | $ | 15,097 | $ | 18,327 | $ | 449 | $ | 964 | ||||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement | 2.28 | % (F) | 2.33 | % | 2.51 | % | 3.50 | % | 4.54 | % | 2.86 | % | ||||||||||||
Expenses, net waiver and reimbursement | 2.23 | % (F) | 2.24 | % | 2.24 | % | 2.24 | % | 1.35 | % | 1.25 | % | ||||||||||||
Net investment income (loss) | (2.23 | )% (F) | (1.64 | )% | (0.31 | )% | (1.20 | )% | 0.19 | % | 0.92 | % | ||||||||||||
Portfolio turnover rate | 0 | % (E) | 0 | % | 0 | % | 0 | % | 199 | % | 246 | % | ||||||||||||
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year. |
(B) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges. Had the Advisor not waived its fees and reimbursed expenses, total return would have been lower. |
(C) | 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. |
(D) | Amount is less than $0.005. |
(E) | Not Annualized |
(F) | Annualized. |
See accompanying notes to financial statements.
55
RATIONAL FUNDS |
Rational Tactical Return Fund |
Financial Highlights |
For a Share Outstanding Throughout Each Year/Period |
Class C | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||||||||
June 30, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||
2021 | 2019 | 2019 | 2018 | 2017 | 2016(A) | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 5.60 | $ | 5.43 | $ | 5.43 | $ | 5.06 | $ | 5.16 | $ | 5.49 | ||||||||||||
LOSS FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss) (B) | (0.08 | ) | (0.07 | ) | (0.07 | ) | (0.12 | ) | (0.03 | ) | 0.00 | (C) | ||||||||||||
Net realized and unrealized gain on investments | 0.19 | 0.45 | 0.45 | 0.56 | 0.15 | 0.35 | ||||||||||||||||||
Total from investment operations | 0.11 | 0.38 | 0.38 | 0.44 | 0.12 | 0.35 | ||||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | — | — | — | — | (0.22 | ) | (0.68 | ) | ||||||||||||||||
From net realized gains on investments | — | (0.19 | ) | (0.19 | ) | (0.07 | ) | — | — | |||||||||||||||
Total distributions | — | (0.19 | ) | (0.19 | ) | (0.07 | ) | (0.22 | ) | (0.68 | ) | |||||||||||||
Net asset value, end of year/period | $ | 5.71 | $ | 5.62 | $ | 5.62 | $ | 5.43 | $ | 5.06 | $ | 5.16 | ||||||||||||
Total return (D) | 1.96 | % (F) | 7.01 | % | 7.01 | % | 8.62 | % | 2.42 | % (E) | 6.13 | % (E, F) | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 9,014 | $ | 6,453 | $ | 6,453 | $ | 1 | $ | 1 | $ | 1 | ||||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement | 3.01 | % (G) | 3.11 | % | 3.11 | % | 4.16 | % | 5.29 | % | 3.61 | % (G) | ||||||||||||
Expenses, net waiver and reimbursement | 2.99 | % (G) | 2.99 | % | 2.99 | % | 2.99 | % | 2.17 | % | 2.00 | % (G) | ||||||||||||
Net investment (loss) | (2.98 | )% (G) | (1.18 | )% | (1.18 | )% | (2.34 | )% | (0.53 | )% | (0.14 | )% (G) | ||||||||||||
Portfolio turnover rate | 0 | % (F) | 0 | % | 0 | % | 0 | % | 199 | % | 246 | % (F) |
(A) | The Rational Tactical Return Fund Class C shares commenced operations on May 31, 2016. |
(B) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year/period. |
(C) | Amount is less than $0.005. |
(D) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends. Had the Advisor not waived its fees and reimbursed expenses, total return would have been lower. |
(E) | 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. |
(F) | Not Annualized |
(G) | Annualized. |
See accompanying notes to financial statements.
56
RATIONAL FUNDS |
Rational Dynamic Brands Fund |
Financial Highlights |
For a Share Outstanding Throughout Each Year/Period |
Institutional | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
June 30, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||
2021 | 2020 | 2019 | 2018(A) | 2017(A) | 2016(A) | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 56.20 | $ | 43.30 | $ | 34.20 | $ | 34.90 | $ | 37.80 | $ | 46.90 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss) (B) | (0.21 | ) | (0.33 | ) | (0.14 | ) | 0.16 | 0.20 | 0.50 | |||||||||||||||
Net realized and unrealized gain on investments | 8.31 | 19.98 | 9.38 | 0.07 | (D) | 5.40 | 3.10 | |||||||||||||||||
Total from investment operations | 8.10 | 19.65 | 9.24 | 0.23 | 5.60 | 3.60 | ||||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | — | — | — | (0.09 | ) | (0.20 | ) | (0.60 | ) | |||||||||||||||
From net realized gains on investments | — | (6.75 | ) | (0.14 | ) | (0.84 | ) | (8.30 | ) | (12.10 | ) | |||||||||||||
Total distributions | — | (6.75 | ) | (0.14 | ) | (0.93 | ) | (8.50 | ) | (12.70 | ) | |||||||||||||
Net asset value, end of year/period | $ | 64.30 | $ | 56.20 | $ | 43.30 | $ | 34.20 | $ | 34.90 | $ | 37.80 | ||||||||||||
Total return (C) | 14.41 | % (E) | 45.28 | % | 27.03 | % | 0.72 | % | 14.66 | % | 7.21 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 69,271 | $ | 53,102 | $ | 21,627 | $ | 16,725 | $ | 3,269 | $ | 3,445 | ||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement | 1.12 | % (F) | 1.25 | % | 1.45 | % | 1.67 | % | 1.69 | % | 1.76 | % | ||||||||||||
Expenses, net waiver and reimbursement | 1.17 | % (F) | 1.24 | % | 1.17 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||||
Net investment income (loss) | (0.72 | )% (F) | (0.56 | )% | (0.36 | )% | 0.42 | % | 0.60 | % | 1.17 | % | ||||||||||||
Portfolio turnover rate | 119 | % (E) | 320 | % | 220 | % | 411 | % | 305 | % | 178 | % | ||||||||||||
Class A | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
June 30, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||
2021 | 2020 | 2019 | 2018(A) | 2018(A) | 2017(A) | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 37.16 | $ | 30.27 | $ | 24.00 | $ | 24.70 | $ | 28.90 | $ | 38.60 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss) (B) | (0.20 | ) | (0.28 | ) | (0.16 | ) | 0.02 | 0.10 | 0.30 | |||||||||||||||
Net realized and unrealized gain on investments | 5.50 | 13.92 | 6.57 | 0.12 | (D) | 4.10 | 2.60 | |||||||||||||||||
Total from investment operations | 5.30 | 13.64 | 6.41 | 0.14 | 4.20 | 2.90 | ||||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | — | — | — | — | (0.10 | ) | (0.50 | ) | ||||||||||||||||
From net realized gains on investments | — | (6.75 | ) | (0.14 | ) | (0.84 | ) | (8.30 | ) | (12.10 | ) | |||||||||||||
Total distributions | — | (6.75 | ) | (0.14 | ) | (0.84 | ) | (8.40 | ) | (12.60 | ) | |||||||||||||
Net asset value, end of year/period | $ | 42.46 | $ | 37.16 | $ | 30.27 | $ | 24.00 | $ | 24.70 | $ | 28.90 | ||||||||||||
Total return (C) | 14.26 | % (E) | 44.91 | % | 26.72 | % | 0.63 | % | 14.30 | % | 6.91 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 22,392 | $ | 17,972 | $ | 12,387 | $ | 11,154 | $ | 12,870 | $ | 16,180 | ||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement | 1.40 | % (F) | 1.52 | % | 1.74 | % | 2.05 | % | 1.94 | % | 2.01 | % | ||||||||||||
Expenses, net waiver and reimbursement | 1.43 | % (F) | 1.49 | % | 1.41 | % | 1.25 | % | 1.25 | % | 1.25 | % | ||||||||||||
Net investment income (loss) | (0.99 | )% (F) | (0.82 | )% | (0.59 | )% | 0.08 | % | 0.35 | % | 0.86 | % | ||||||||||||
Portfolio turnover rate | 119 | % (E) | 320 | % | 220 | % | 411 | % | 305 | % | 178 | % |
(A) | Effective September 21, 2018, the Fund had a one-to-ten reverse stock split. Per Share amounts for the periods have been adjusted to give effect to the one-to-ten stock split. |
(B) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year/period. |
(C) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges. |
(D) | As required by SEC standard per share data calculation methodology, this represents a balancing figure derived from the other amounts in the financial highlights tables that captures all other changes affecting net asset value per share. This per share gain amount does not correlate to the aggregate of the net realized and unrealized loss in the Statement of Operations for the year ended December 31, 2018, primarily due to the timing of sales and repurchases of the Fund’s shares in relation to fluctuating market values of the Fund’s portfolio. |
(E) | Not Annualized |
(F) | Annualized. |
See accompanying notes to financial statements.
57
RATIONAL FUNDS |
Rational Dynamic Brands Fund (Continued) |
Financial Highlights |
For a Share Outstanding Throughout Each Year/Period |
Class C | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
June 30, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||
2021 | 2020 | 2019 | 2018(A) | 2017(A) | 2016(A) | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 32.34 | $ | 27.15 | $ | 21.70 | $ | 22.60 | $ | 27.10 | $ | 36.90 | ||||||||||||
�� | ||||||||||||||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (loss) (B) | (0.28 | ) | (0.50 | ) | (0.32 | ) | (0.14 | ) | (0.00 | ) (C) | 0.10 | |||||||||||||
Net realized and unrealized gain on investments | 4.77 | 12.44 | 5.91 | 0.08 | (F) | 3.80 | 2.40 | |||||||||||||||||
Total from investment operations | 4.49 | 11.94 | 5.59 | (0.06 | ) | 3.80 | 2.50 | |||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | — | — | — | — | — | (0.20 | ) | |||||||||||||||||
From net realized gains on investments | — | (6.75 | ) | (0.14 | ) | (0.84 | ) | (8.30 | ) | (12.10 | ) | |||||||||||||
Total distributions | — | (6.75 | ) | (0.14 | ) | (0.84 | ) | (8.30 | ) | (12.30 | ) | |||||||||||||
Net asset value, end of year/period | $ | 36.83 | $ | 32.34 | $ | 27.15 | $ | 21.70 | $ | 22.60 | $ | 27.10 | ||||||||||||
Total return (D) | 13.88 | % (G) | 43.80 | % | 25.78 | % (E) | (0.20 | )% (E) | 14.03 | % | 6.19 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 3,680 | $ | 1,525 | $ | 184 | $ | 214 | $ | 231 | $ | 394 | ||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement | 2.08 | % (H) | 2.41 | % | 2.68 | % | 2.73 | % | 2.65 | % | 2.51 | % | ||||||||||||
Expenses, net waiver and reimbursement | 2.12 | % (H) | 2.24 | % | 2.15 | % | 1.91 | % | 1.75 | % | 1.75 | % | ||||||||||||
Net investment income (loss) | (1.65 | )% (H) | (1.54 | )% | (1.30 | )% | (0.59 | )% | (0.14 | )% | 0.28 | % | ||||||||||||
Portfolio turnover rate | 119 | % (G) | 320 | % | 220 | % | 411 | % | 305 | % | 178 | % |
(A) | Effective September 21, 2018, the Fund had a one-to-ten reverse stock split. Per Share amounts for the periods have been adjusted to give effect to the one-to-ten stock split. |
(B) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year/period. |
(C) | Amount is less than $0.005. |
(D) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges. |
(E) | 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. |
(F) | As required by SEC standard per share data calculation methodology, this represents a balancing figure derived from the other amounts in the financial highlights tables that captures all other changes affecting net asset value per share. This per share gain amount does not correlate to the aggregate of the net realized and unrealized loss in the Statement of Operations for the year ended December 31, 2018, primarily due to the timing of sales and repurchases of the Fund’s shares in relation to fluctuating market values of the Fund’s portfolio. |
(G) | Not Annualized |
(H) | Annualized. |
See accompanying notes to financial statements.
58
RATIONAL FUNDS |
Rational Strategic Allocation Fund |
Financial Highlights |
For a Share Outstanding Throughout Each Year/Period |
Institutional | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||||||||
June 30, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016(A) | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 8.94 | $ | 9.58 | $ | 9.12 | $ | 10.02 | $ | 9.37 | $ | 9.99 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (B) | 0.16 | 0.27 | 0.36 | 0.39 | 0.33 | 0.43 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.41 | (0.61 | ) | 0.79 | (0.67 | ) | 0.78 | 0.09 | (C) | |||||||||||||||
Total from investment operations | 1.57 | (0.34 | ) | 1.15 | (0.28 | ) | 1.11 | 0.52 | ||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.13 | ) | (0.28 | ) | (0.41 | ) | (0.36 | ) | (0.46 | ) | (0.17 | ) | ||||||||||||
From net realized gains on investments | — | — | (0.22 | ) | (0.26 | ) | — | (0.97 | ) | |||||||||||||||
From Return of capital | — | (0.02 | ) | (0.06 | ) | — | — | — | ||||||||||||||||
Total distributions | (0.13 | ) | (0.30 | ) | (0.69 | ) | (0.62 | ) | (0.46 | ) | (1.14 | ) | ||||||||||||
Net asset value, end of year/period | $ | 10.38 | $ | 8.94 | $ | 9.58 | $ | 9.12 | $ | 10.02 | $ | 9.37 | ||||||||||||
Total return (D) | 17.59 | % (E) | (3.19 | )% | 12.64 | % | (2.81 | )% | 11.95 | % | 5.11 | % (E) | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 288 | $ | 248 | $ | 266 | $ | 253 | $ | 278 | $ | 260 | ||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement (F) | 1.20 | % (G) | 1.31 | % | 0.98 | % | 1.04 | % | 0.85 | % | 1.36 | % (G) | ||||||||||||
Expenses, net waiver and reimbursement (F) | 0.45 | % (G) | 0.45 | % | 0.45 | % | 0.45 | % | 0.45 | % | 0.45 | % (G) | ||||||||||||
Net investment income (F,H) | 3.30 | % (G) | 3.26 | % | 3.67 | % | 3.91 | % | 3.35 | % | 6.98 | % (G) | ||||||||||||
Portfolio turnover rate | 0 | % (E) | 89 | % | 62 | % | 53 | % | 17 | % | 27 | % (E) | ||||||||||||
Class A | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
June 30, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 8.99 | $ | 9.63 | $ | 9.15 | $ | 10.05 | $ | 9.40 | $ | 9.78 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (B) | 0.15 | 0.25 | 0.32 | 0.33 | 0.26 | 0.18 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.40 | (0.61 | ) | 0.82 | (0.63 | ) | 0.83 | 0.62 | ||||||||||||||||
Total from investment operations | 1.55 | (0.36 | ) | 1.14 | (0.30 | ) | 1.09 | 0.80 | ||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.12 | ) | (0.26 | ) | (0.38 | ) | (0.34 | ) | (0.44 | ) | (0.21 | ) | ||||||||||||
From net realized gains on investments | — | — | (0.22 | ) | (0.26 | ) | — | (0.97 | ) | |||||||||||||||
From Return of capital | — | (0.02 | ) | (0.06 | ) | — | — | — | ||||||||||||||||
Total distributions | (0.12 | ) | (0.28 | ) | (0.66 | ) | (0.60 | ) | (0.44 | ) | (1.18 | ) | ||||||||||||
Net asset value, end of year/period | $ | 10.42 | $ | 8.99 | $ | 9.63 | $ | 9.15 | $ | 10.05 | $ | 9.40 | ||||||||||||
Total return (D) | 17.24 | % (E,I) | (3.42 | )% | 12.49 | % | (3.05 | )% | 11.61 | % | 8.16 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 8,455 | $ | 7,713 | $ | 9,395 | $ | 9,842 | $ | 13,033 | $ | 14,822 | ||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement (F) | 1.53 | % (G) | 1.65 | % | 1.35 | % | 1.37 | % | 1.14 | % | 1.30 | % | ||||||||||||
Expenses, net waiver and reimbursement (F) | 0.70 | % (G) | 0.70 | % | 0.70 | % | 0.70 | % | 0.70 | % | 0.70 | % | ||||||||||||
Net Investment income (F,H) | 3.03 | % (G) | 2.98 | % | 3.25 | % | 3.25 | % | 2.60 | % | 1.82 | % | ||||||||||||
Portfolio turnover rate | 0 | % (E) | 89 | % | 62 | % | 53 | % | 17 | % | 27 | % |
(A) | The Rational Strategic Allocation Fund Institutional Class shares commenced operations on May 31, 2016. |
(B) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year/period. |
(C) | As required by SEC standard per share data calculation methodology, this represents a balancing figure derived from the other amounts in the financial highlights tables that captures all other changes affecting net asset value per share. This per share gain amount does not correlate to the aggregate of the net realized and unrealized loss in the Statement of Operations for the period ended December 31, 2016, primarily due to the timing of sales and repurchases of the Fund’s shares in relation to fluctuating market values of the Fund’s portfolio. |
(D) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges. Had the Advisor not waived its fees and reimbursed expenses, total return would have been lower. |
(E) | Not annualized. |
(F) | The ratios of expenses to average net assets and net investment income (loss) to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests. |
(G) | Annualized. |
(H) | Recognition of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
(I) | 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. |
See accompanying notes to financial statements.
59
RATIONAL FUNDS |
Rational Strategic Allocation Fund (Continued) |
Financial Highlights |
For a Share Outstanding Throughout Each Year/Period |
Class C | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||||||||
June 30, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2018 | 2016(A) | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 8.95 | $ | 9.58 | $ | 9.11 | $ | 10.03 | $ | 9.39 | $ | 9.99 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (B) | 0.11 | 0.19 | 0.26 | 0.29 | 0.23 | 0.24 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.41 | (0.61 | ) | 0.80 | (0.67 | ) | 0.78 | 0.22 | (C) | |||||||||||||||
Total from investment operations | 1.52 | (0.42 | ) | 1.06 | (0.38 | ) | 1.01 | 0.46 | ||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.08 | ) | (0.19 | ) | (0.31 | ) | (0.28 | ) | (0.37 | ) | (0.09 | ) | ||||||||||||
From net realized gains on investments | — | — | (0.22 | ) | (0.26 | ) | — | (0.97 | ) | |||||||||||||||
From Return of capital | — | (0.02 | ) | (0.06 | ) | — | — | — | ||||||||||||||||
Total distributions | (0.08 | ) | (0.21 | ) | (0.59 | ) | (0.54 | ) | (0.37 | ) | (1.06 | ) | ||||||||||||
Net asset value, end of year/period | $ | 10.39 | $ | 8.95 | $ | 9.58 | $ | 9.11 | $ | 10.03 | $ | 9.39 | ||||||||||||
Total return (D) | 16.99 | % (E) | (4.13 | )% | 11.61 | % | (3.83 | )% | 10.80 | % | 4.56 | % (E) | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 1 | ||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement (F) | 2.36 | % (G) | 2.33 | % | 2.02 | % | 1.92 | % | 1.82 | % | 1.89 | % (G) | ||||||||||||
Expenses, net waiver and reimbursement (F) | 1.45 | % (G) | 1.45 | % | 1.45 | % | 1.45 | % | 1.45 | % | 1.45 | % (G) | ||||||||||||
Net investment income (F,H) | 2.35 | % (G) | 2.26 | % | 2.65 | % | 2.89 | % | 2.31 | % | 3.92 | % (G) | ||||||||||||
Portfolio turnover rate | 0 | % (E) | 89 | % | 62 | % | 53 | % | 17 | % | 27 | % (E) |
(A) | The Rational Strategic Allocation Fund Class C shares commenced operations on May 31, 2016. |
(B) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year/period. |
(C) | As required by SEC standard per share data calculation methodology, this represents a balancing figure derived from the other amounts in the financial highlights tables that captures all other changes affecting net asset value per share. This per share gain amount does not correlate to the aggregate of the net realized and unrealized loss in the Statement of Operations for the period ended December 31, 2016, primarily due to the timing of sales and repurchases of the Fund’s shares in relation to fluctuating market values of the Fund’s portfolio. |
(D) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges. Had the Advisor not waived its fees and reimbursed expenses, total return would have been lower. |
(E) | Not annualized. |
(F) | The ratios of expenses to average net assets and net investment income (loss) to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests. |
(G) | Annualized. |
(H) | Recognition of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
See accompanying notes to financial statements.
60
RATIONAL FUNDS |
Rational/ReSolve Adaptive Asset Allocation Fund |
Financial Highlights (Consolidated) |
For a Share Outstanding Throughout Each Year/Period |
Institutional | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||||||||
June 30, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2018 | 2016(A) | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 23.77 | $ | 23.73 | $ | 23.10 | $ | 25.25 | $ | 24.33 | $ | 25.00 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment loss (B) | (0.24 | ) | (0.37 | ) | (0.02 | ) | (0.04 | ) | (0.32 | ) | (0.12 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investments | 1.80 | 0.52 | 4.32 | (1.89 | ) | 1.26 | (0.55 | ) | ||||||||||||||||
Total from investment operations | 1.56 | 0.15 | 4.30 | (1.93 | ) | 0.94 | (0.67 | ) | ||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | — | (0.08 | ) | (0.69 | ) | — | — | — | ||||||||||||||||
From net realized gains on investments | — | — | (2.94 | ) | (0.22 | ) | (0.02 | ) | — | |||||||||||||||
From Return of capital | — | (0.03 | ) | (0.04 | ) | — | — | — | ||||||||||||||||
Total distributions | — | (0.11 | ) | (3.67 | ) | (0.22 | ) | (0.02 | ) | — | ||||||||||||||
Net asset value, end of year/period | $ | 25.33 | $ | 23.77 | $ | 23.73 | $ | 23.10 | $ | 25.25 | $ | 24.33 | ||||||||||||
Total return (C) | 6.56 | % (D) | 0.65 | % | 18.32 | % | (7.64 | )% | 3.85 | % | (2.68 | )% (D) | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 66,611 | $ | 62,176 | $ | 51,221 | $ | 27,460 | $ | 5,883 | $ | 15,083 | ||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement | 2.17 | % (E) | 2.18 | % | 2.32 | % | 2.90 | % | 2.49 | % | 3.27 | % (E) | ||||||||||||
Expenses, net waiver and reimbursement | 1.97 | % (E) | 1.97 | % | 1.97 | % | 1.97 | % | 1.97 | % | 1.99 | % (E) | ||||||||||||
Net investment loss | (1.96 | )% (E) | (1.61 | )% | (0.06 | )% | (0.17 | )% | (1.33 | )% | (1.74 | )% (E) | ||||||||||||
Portfolio turnover rate | 0 | % (D) | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % (D) | ||||||||||||
Class A | ||||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||||||||
June 30, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2018 | 2016(A) | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 23.61 | $ | 23.52 | $ | 22.96 | $ | 25.16 | $ | 24.30 | $ | 25.00 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment loss (B) | (0.27 | ) | (0.36 | ) | (0.10 | ) | (0.11 | ) | (0.21 | ) | (0.13 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investments | 1.79 | 0.45 | 4.30 | (1.87 | ) | 1.09 | (0.57 | ) | ||||||||||||||||
Total from investment operations | 1.52 | 0.09 | 4.20 | (1.98 | ) | 0.88 | (0.70 | ) | ||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | — | — | (0.66 | ) | — | — | — | |||||||||||||||||
From net realized gains on investments | — | — | (2.94 | ) | (0.22 | ) | (0.02 | ) | — | |||||||||||||||
From Return of capital | — | — | (0.04 | ) | — | — | — | |||||||||||||||||
Total distributions | — | — | (3.64 | ) | (0.22 | ) | (0.02 | ) | — | |||||||||||||||
Net asset value, end of year/period | $ | 25.13 | $ | 23.61 | $ | 23.52 | $ | 22.96 | $ | 25.16 | $ | 24.30 | ||||||||||||
Total return (C) | 6.44 | % (D) | 0.38 | % | 18.01 | % | (7.87 | )% (F) | 3.57 | % | (2.80 | )% (D) | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 577 | $ | 776 | $ | 5,425 | $ | 2,169 | $ | 130 | $ | 1 | ||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement | 2.40 | % (E) | 2.47 | % | 2.60 | % | 3.14 | % | 2.90 | % | 3.52 | % (E) | ||||||||||||
Expenses, net waiver and reimbursement | 2.22 | % (E) | 2.22 | % | 2.22 | % | 2.22 | % | 2.22 | % | 2.24 | % (E) | ||||||||||||
Net investment (loss) | (2.11 | )% (E) | (1.43 | )% | (0.39 | )% | (0.45 | )% | (0.88 | )% | (2.09 | )% (E) | ||||||||||||
Portfolio turnover rate | 0 | % (D) | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % (D) |
(A) | The Rational/ReSolve Adaptive Asset Allocation Fund Institutional Class and Class A shares commenced operations on September 30, 2016. |
(B) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year/period. |
(C) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges. Had the Advisor not waived its fees and reimbursed expenses, total return would have been lower. |
(D) | Not annualized. |
(E) | Annualized. |
(F) | 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. |
See accompanying notes to consolidated financial statements.
61
RATIONAL FUNDS |
Rational/ReSolve Adaptive Asset Allocation Fund (Continued) |
Financial Highlights (Consolidated) |
For a Share Outstanding Throughout Each Year/Period |
�� | Class C | |||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||||||||
June 30, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2018 | 2016(A) | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 23.03 | $ | 23.11 | $ | 22.61 | $ | 24.96 | $ | 24.29 | $ | 25.00 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment loss (B) | (0.35 | ) | (0.57 | ) | (0.26 | ) | (0.31 | ) | (0.54 | ) | (0.17 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investments | 1.74 | 0.49 | 4.20 | (1.82 | ) | 1.23 | (0.54 | ) | ||||||||||||||||
Total from investment operations | 1.39 | (0.08 | ) | 3.94 | (2.13 | ) | 0.69 | (0.71 | ) | |||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | — | — | (0.46 | ) | — | — | — | |||||||||||||||||
From net realized gains on investments | — | — | (2.94 | ) | (0.22 | ) | (0.02 | ) | — | |||||||||||||||
From Return of capital | — | — | (0.04 | ) | — | — | — | |||||||||||||||||
Total distributions | — | — | (3.44 | ) | (0.22 | ) | (0.02 | ) | — | |||||||||||||||
Net asset value, end of year/period | $ | 24.42 | $ | 23.03 | $ | 23.11 | $ | 22.61 | $ | 24.96 | $ | 24.29 | ||||||||||||
Total return (C) | 6.04 | % (D) | (0.35 | )% | 17.15 | % | (8.53 | )% | 2.83 | % | (2.84 | )% (D) | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 259 | $ | 250 | $ | 438 | $ | 322 | $ | 371 | $ | 21 | ||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement | 3.17 | % (E) | 3.35 | % | 3.37 | % | 4.65 | % | 3.60 | % | 4.27 | % (E) | ||||||||||||
Expenses, net waiver and reimbursement | 2.97 | % (E) | 2.97 | % | 2.97 | % | 2.97 | % | 2.97 | % | 2.99 | % (E) | ||||||||||||
Net investment (loss) | (2.96 | )% (E) | (2.51 | )% | (1.04 | )% | (1.24 | )% | (2.26 | )% | (2.69 | )% (E) | ||||||||||||
Portfolio turnover rate | 0 | % (D) | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % (D) |
(A) | The Rational/ReSolve Adaptive Asset Allocation Fund Class C shares commenced operations on September 30, 2016. |
(B) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year/period. |
(C) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges. Had the Advisor not waived its fees and reimbursed expenses, total return would have been lower. |
(D) | Not annualized. |
(E) | Annualized. |
See accompanying notes to consolidated financial statements.
62
RATIONAL FUNDS |
Rational/Pier 88 Convertible Securities Fund |
Financial Highlights |
For a Share Outstanding Throughout Each Year/Period |
Institutional | Class A | |||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Period Ended | Six Months Ended | Year Ended | Period Ended | |||||||||||||||||||
June 30, | December 31, | December 31, | June 30, | December 31, | December 31, | |||||||||||||||||||
2021 | 2020 | 2019(A) | 2021 | 2020 | 2019(A) | |||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 11.69 | $ | 10.17 | $ | 10.00 | $ | 11.69 | $ | 10.17 | $ | 10.00 | ||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (B) | 0.07 | 0.17 | 0.03 | 0.07 | 0.39 | 0.02 | ||||||||||||||||||
Net realized and unrealized gain on investments | 0.45 | 1.56 | 0.14 | 0.44 | 1.33 | 0.15 | ||||||||||||||||||
Total from investment operations | 0.52 | 1.73 | 0.17 | 0.51 | 1.72 | 0.17 | ||||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.07 | ) | (0.20 | ) | — | (0.06 | ) | (0.19 | ) | — | ||||||||||||||
From net realized gains on investments | — | (0.01 | ) | — | — | (0.01 | ) | — | ||||||||||||||||
Total distributions | (0.07 | ) | (0.21 | ) | — | (0.06 | ) | (0.20 | ) | — | ||||||||||||||
Net asset value, end of year/period | $ | 12.14 | $ | 11.69 | $ | 10.17 | $ | 12.14 | $ | 11.69 | $ | 10.17 | ||||||||||||
Total return (C) | 4.44 | % (D) | 17.08 | % | 1.70 | % (D) | 4.33 | % (D) | 16.97 | % | 1.70 | % (D) | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 93,382 | $ | 73,946 | $ | 5,707 | $ | 4,730 | $ | 337 | $ | 0 | (F) | |||||||||||
Ratios to average net assets | ||||||||||||||||||||||||
Expenses, before waiver and reimbursement | 1.18 | % (E) | 1.25 | % | 7.22 | % (E) | 1.38 | % (E) | 1.40 | % | 7.47 | % (E) | ||||||||||||
Expenses, net waiver and reimbursement | 0.99 | % (E) | 0.99 | % | 0.99 | % (E) | 1.24 | % (E) | 1.24 | % | 1.24 | % (E) | ||||||||||||
Net investment income | 1.22 | % (E) | 1.62 | % | 4.22 | % (E) | 1.14 | % (E) | 3.50 | % | 3.17 | % (E) | ||||||||||||
Portfolio turnover rate | 67 | % (D) | 140 | % | 5 | % (D) | 67 | % (D) | 140 | % | 5 | % (D) |
(A) | The Rational/Pier 88 Convertible Securities Fund Institutional Class, Class A and Class C Shares commenced operations December 6, 2019. |
(B) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the period. |
(C) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges. |
(D) | Not Annualized |
(E) | Annualized |
(F) | Amount is less than $1000. |
See accompanying notes to financial statements.
63
RATIONAL FUNDS |
Rational/Pier 88 Convertible Securities Fund |
Financial Highlights |
For a Share Outstanding Throughout Each Year/Period |
Class C | ||||||||||||
For the | For the | For the | ||||||||||
Six Months Ended | Year Ended | Period Ended | ||||||||||
June 30, | December 31, | December 31, | ||||||||||
2021 | 2020 | 2019(A) | ||||||||||
(Unaudited) | ||||||||||||
Net asset value, beginning of year/period | $ | 11.66 | $ | 10.17 | $ | 10.00 | ||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||
Net investment income (B) | 0.03 | 0.32 | 0.02 | |||||||||
Net realized and unrealized gain on investments | 0.43 | 1.34 | 0.15 | |||||||||
Total from investment operations | 0.46 | 1.66 | 0.17 | |||||||||
LESS DISTRIBUTIONS: | ||||||||||||
From net investment income | (0.02 | ) | (0.16 | ) | — | |||||||
From net realized gains on investments | — | (0.01 | ) | — | ||||||||
Total distributions | (0.02 | ) | (0.17 | ) | — | |||||||
Net asset value, end of year/period | $ | 12.10 | $ | 11.66 | $ | 10.17 | ||||||
Total return (C) | 3.98 | % (D) | 16.33 | % | 1.70 | % (D) | ||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||
Net assets, end of year/period (in 000’s) | $ | 169 | $ | 55 | (F) | $ | 0 | (F) | ||||
Ratios to average net assets | ||||||||||||
Expenses, before waiver and reimbursement | 2.09 | % (E) | 2.13 | % | 8.22 | % (E) | ||||||
Expenses, net waiver and reimbursement | 1.99 | % (E) | 1.99 | % | 1.99 | % (E) | ||||||
Net investment income | 0.58 | % (E) | 2.87 | % | 3.17 | % (E) | ||||||
Portfolio turnover rate | 67 | % (D) | 140 | % | 5 | % (D) |
(A) | The Rational/Pier 88 Convertible Securities Fund Institutional Class, Class A and Class C Shares commenced operations December 6, 2019. |
(B) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the period. |
(C) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges. |
(D) | Not Annualized |
(E) | Annualized |
(F) | Amount is less than $1000. |
See accompanying notes to financial statements.
64
RATIONAL FUNDS |
Rational Special Situations Income Fund |
Financial Highlights |
For a Share Outstanding Throughout Each Year/Period |
Institutional | Class A | |||||||||||||||||||||||
For the | For the | For the | For the | For the | For the | |||||||||||||||||||
Six Months Ended | Year Ended | Period Ended | Six Months Ended | Year Ended | Period Ended | |||||||||||||||||||
June 30, | December 31, | December 31, | June 30, | December 31, | December 31, | |||||||||||||||||||
2021 | 2020 | 2019(A) | 2021 | 2020 | 2019(A) | |||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||
Net asset value, beginning of year/period | $ | 19.66 | $ | 20.10 | $ | 20.00 | $ | 19.64 | $ | 20.08 | $ | 20.00 | ||||||||||||
INCOME FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||
Net investment income (B) | 0.40 | 0.43 | 0.32 | 0.38 | 0.37 | 0.30 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.20 | 0.11 | 0.06 | 0.19 | 0.13 | 0.05 | ||||||||||||||||||
Total from investment operations | 0.60 | 0.54 | 0.38 | 0.57 | 0.50 | 0.35 | ||||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||||||
From net investment income | (0.50 | ) | (0.93 | ) | (0.25 | ) | (0.47 | ) | (0.89 | ) | (0.24 | ) | ||||||||||||
From net realized gains on investments | — | — | (0.03 | ) | — | — | (0.03 | ) | ||||||||||||||||
From Return of capital | — | (0.05 | ) | — | — | (0.05 | ) | — | ||||||||||||||||
Total distributions | (0.50 | ) | (0.98 | ) | (0.28 | ) | (0.47 | ) | (0.94 | ) | (0.27 | ) | ||||||||||||
Net asset value, end of year/period | $ | 19.76 | $ | 19.66 | $ | 20.10 | $ | 19.74 | $ | 19.64 | $ | 20.08 | ||||||||||||
Total return (C) | 3.06 | % (D) | 2.83 | % | 1.91 | % (D) | 2.94 | % (D) | 2.60 | % | 1.74 | % (D) | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 487,310 | $ | 352,892 | $ | 76,833 | $ | 49,633 | $ | 37,224 | $ | 5,449 | ||||||||||||
Ratios to average net assets | �� | |||||||||||||||||||||||
Expenses, before waiver and reimbursement | 1.76 | % (E) | 1.80 | % | 2.06 | % (E) | 2.03 | % (E) | 2.10 | % | 2.21 | % (E) | ||||||||||||
Expenses, net waiver and reimbursement | 1.75 | % (E) | 1.75 | % | 1.75 | % (E) | 2.00 | % (E) | 2.00 | % | 2.00 | % (E) | ||||||||||||
Net investment income | 4.03 | % (E) | 2.17 | % | 3.48 | % (E) | 3.86 | % (E) | 1.88 | % | 3.22 | % (E) | ||||||||||||
Portfolio turnover rate | 21 | % (D) | 4 | % | 14 | % (D) | 21 | % (D) | 4 | % | 14 | % (D) |
(A) | The Rational Special Situtations Income Fund Institutional Class, Class A and Class C Shares commenced operations July 17, 2019. |
(B) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the period. |
(C) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges. |
(D) | Not Annualized |
(E) | Annualized |
See accompanying notes to financial statements.
65
RATIONAL FUNDS |
Rational Special Situations Income Fund |
Financial Highlights |
For a Share Outstanding Throughout Each Year/Period |
Class C | ||||||||||||
For the | For the | For the | ||||||||||
Six Months Ended | Year Ended | Period Ended | ||||||||||
June 30, | December 31, | December 31, | ||||||||||
2021 | 2020 | 2019(A) | ||||||||||
(Unaudited) | ||||||||||||
Net asset value, beginning of year/period | $ | 19.60 | $ | 20.06 | $ | 20.00 | ||||||
INCOME FROM INVESTMENT OPERATIONS: | ||||||||||||
Net investment income (B) | 0.28 | 0.21 | 0.23 | |||||||||
Net realized and unrealized gain (loss) on investments | 0.22 | 0.14 | 0.05 | |||||||||
Total from investment operations | 0.50 | 0.35 | 0.28 | |||||||||
LESS DISTRIBUTIONS: | ||||||||||||
From net investment income | (0.41 | ) | (0.76 | ) | (0.19 | ) | ||||||
From net realized gains on investments | — | — | (0.03 | ) | ||||||||
From Return of capital | — | (0.05 | ) | — | ||||||||
Total distributions | (0.41 | ) | (0.81 | ) | (0.22 | ) | ||||||
Net asset value, end of year/period | $ | 19.69 | $ | 19.60 | $ | 20.06 | ||||||
Total return (C) | 2.55 | % (D) | 1.82 | % | 1.43 | % (D) | ||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||
Net assets, end of year/period (in 000’s) | $ | 26,305 | $ | 14,123 | $ | 1,289 | ||||||
Ratios to average net assets | ||||||||||||
Expenses, before waiver and reimbursement | 2.72 | % (E) | 2.77 | % | 2.97 | % (E) | ||||||
Expenses, net waiver and reimbursement | 2.73 | % (E) | 2.75 | % | 2.75 | % (E) | ||||||
Net investment income | 2.82 | % (E) | 1.05 | % | 2.47 | % (E) | ||||||
Portfolio turnover rate | 21 | % (D) | 4 | % | 14 | % (D) |
(A) | The Rational Special Situtations Income Fund Institutional Class, Class A and Class C Shares commenced operations July 17, 2019. |
(B) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the period. Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of |
(C) | dividends and does not reflect the impact of sales charges. |
(D) | Not Annualized |
(E) | Annualized |
See accompanying notes to financial statements.
66
RATIONAL FUNDS | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Unaudited) | |
June 30, 2021 | SEMI - ANNUAL REPORT |
(1) ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Mutual Fund and Variable Insurance Trust (the “Trust”) was organized as a Delaware statutory trust on June 23, 2006. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. As of June 30, 2021, the Trust operated 9 separate series, or mutual funds, each with its own investment objective and strategy. This report contains financial statements and financial highlights of the funds listed below (individually referred to as a “Fund”, or collectively as the “Funds”):
Fund | Sub-Advisor | Primary Objective |
Rational Equity Armor Fund | Equity Armor Investments, LLC | Total return on investment, with dividend income |
(“Equity Armor”) | an important component of that return. | |
(Formerly, Rational Dividend Capture Fund) | ||
Rational Tactical Return Fund | Warrington Asset Management, LLC | Total return consisting of long-term |
(“Tactical Return”) | capital appreciation and income. | |
Rational Dynamic Brands Fund | Accuvest Global Advisors, Inc. | Long-term capital appreciation. |
(“Dynamic Brands”) | ||
Rational Strategic Allocation Fund | Current income and moderate appreciation | |
(“Strategic Allocation”) | of capital. | |
Rational/ReSolve Adaptive Asset Allocation Fund | ReSolve Asset Management, Inc. | Long-term capital appreciation. |
(“ReSolve Adaptive”) | ||
Rational/Pier 88 Convertible Securities Fund | Pier 88 Investment Partners, LLC | Total return consisting of capital appreciation |
(“Pier 88”) | and income. | |
Rational Special Situations Income Fund | ESM Management, LLC | Total return consisting of capital appreciation |
(“Special Situations”) | and income. |
The Funds are classified as diversified funds under the 1940 Act, except Special Situations and Pier 88, which are classified as non-diversified funds.
Currently, all Funds offer Class A, Class C and Institutional shares. Each class of shares for each Fund has identical rights and privileges except with respect to distribution (12b-1) and service fees, if any, voting rights on matters affecting a single class of shares, exchange privileges of each class of shares and sales charges. The price at which the Funds will offer or redeem shares is the net asset value (“NAV”) per share next determined after the order is considered received, subject to any applicable front end or contingent deferred sales charges. Class A shares have a maximum sales charge on purchases of 5.75% for ReSolve Adaptive and 4.75% for all other Funds as a percentage of the original purchase price. Class C shares have a contingent deferred sales charge of 1.00% on shares sold within one year of purchase. Each Fund’s prospectus provides a description of each Fund’s investment objectives, policies and strategies along with information on the classes of shares currently being offered.
(2) SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Funds and are in accordance with accounting principles generally accepted in the United States of America (“GAAP”). Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 Financial Services – Investment Companies.
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts of assets, liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
A. Investment Valuations
In computing the NAV of the Funds, fair value is based on market valuations with respect to portfolio securities for which market quotations are readily available. Pursuant to Trustee-approved policies, the Trust relies on certain security pricing services to provide the current market value of securities. Those security pricing services value equity securities (including foreign equity securities, exchange-traded funds and closed-end funds) traded on a securities exchange at the last reported sales price on the principal exchange. Equity securities quoted by NASDAQ are valued at the NASDAQ official closing price. If there is no reported sale on the principal exchange, and in the case of over-the counter securities, equity securities are valued at a bid price estimated by the security pricing service. Debt securities (other than short-term obligations) are
67
RATIONAL FUNDS | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) | |
June 30, 2021 | SEMI - ANNUAL REPORT |
valued each day by an independent pricing service approved by the Board of Trustees (the “Board”) using methods which include current market quotations from a major market maker in the securities and based on methods which include the consideration of yields or prices of securities of comparable quality, coupon, maturity and type. Option contracts are generally valued at the close. If the close price is outside the bid and the ask price; the quote closest to the close is used. When there is no trading volume the mean of the bid and ask is used. Foreign securities quoted in foreign currencies are translated into U.S. dollars at the foreign exchange rate in effect as of the close of the NYSE. Investments in open-end investment companies (except for exchange-traded funds) are valued at their respective net asset value as reported by such companies. Futures, which are traded on an exchange, are valued at the settlement price determined by the exchange. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost.
Securities for which market quotations are not readily available are valued at fair value under Trust procedures approved by the Board. In these cases, a Pricing Committee, established and appointed by the Board, determines in good faith, subject to Trust procedures, the fair value of portfolio securities held by a Fund (“good faith fair valuation”). When a good faith fair valuation of a security is required, consideration is generally given to a number of factors including, but not limited to the following: dealer quotes, published analyses by dealers or analysts regarding the security, transactions which provide implicit valuation of the security (such as a merger or tender offer transaction), the value of other securities or contracts which derive their value from the security at issue, and the implications of any other circumstances which have caused trading in the security to halt. With respect to certain categories of securities, the procedures utilized by the Pricing Committee detail specific valuation methodologies to be applied in lieu of considering the aforementioned list of factors.
Fair valuation procedures are also used when a significant event affecting the value of a portfolio security is determined to have occurred between the time when the price of the portfolio security is determined and the close of trading on the NYSE, which is when each Fund’s NAV is computed. An event is considered significant if there is both an affirmative expectation that the security’s value will change in response to the event and a reasonable basis for quantifying the resulting change in value. Significant events include significant securities’ market movements occurring between the time the price of the portfolio security is determined and the close of trading on the NYSE. For securities normally priced at their last sale price in a foreign market, such events can occur between the close of trading in the foreign market and the close of trading on the NYSE.
In some cases, events affecting the issuer of a portfolio security may be considered significant events. Examples of potentially significant events include announcements concerning earnings, acquisitions, new products, management changes, litigation developments, a strike or natural disaster affecting the company’s operations or regulatory changes or market developments affecting the issuer’s industry occurring between the time when the price of the portfolio security is determined and the close of trading on the NYSE. For securities of foreign issuers, such events could also include political or other developments affecting the economy or markets in which the issuer conducts its operations or its securities are traded.
There can be no assurance that a Fund could purchase or sell a portfolio security at the price used to calculate the Fund’s NAV. In the case of good faith fair valued portfolio securities, lack of information and uncertainty as to the significance of information may lead to a conclusion that a prior valuation is the best indication of a portfolio security’s present value. Good faith fair valuations generally remain unchanged until new information becomes available. Consequently, changes in good faith fair valuation of portfolio securities may be less frequent and of greater magnitude than changes in the price of portfolio securities valued at their last sale price, by an independent pricing service, or based on market quotations.
Valuation of Fund of Funds – The Funds may invest in portfolios of open-end or closed-end investment companies (the “Underlying Funds”). The Underlying Funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value based upon the methods established by the board of directors of the Underlying Funds.
Open-end investment companies are valued at their respective net asset values as reported by such investment companies. The shares of many closed-end investment companies, after their initial public offering, frequently trade at a price per
68
RATIONAL FUNDS | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) | |
June 30, 2021 | SEMI - ANNUAL REPORT |
share, which is different than the net asset value per share. The difference represents a market premium or market discount of such shares. There can be no assurances that the market discount or market premium on shares of any closed-end investment company purchased by the Funds will not change.
The Trust calculates the NAV for each of the Funds by valuing securities held based on fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The valuation techniques described below maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Funds’ investments are summarized in the three broad levels listed below:
● | Level 1 - unadjusted quoted prices in active markets for identical investments and/or registered investment companies where the value per share is determined and published and is the basis for current transactions for identical assets or liabilities at the valuation date. |
● | Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
● | Level 3 - significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of June 30, 2021, for each Fund’s assets and liabilities measured at fair value:
Equity Armor
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 60,921,079 | $ | — | $ | — | $ | 60,921,079 | ||||||||
Exchange Traded Fund | 1,702,058 | — | — | 1,702,058 | ||||||||||||
Short-Term Investments | 4,542,283 | — | — | 4,542,283 | ||||||||||||
Derivatives | ||||||||||||||||
Future Contracts | $ | 25,726 | $ | — | $ | — | $ | 25,726 | ||||||||
Total Assets | $ | 67,191,146 | $ | — | $ | — | $ | 67,191,146 | ||||||||
Liabilities* | ||||||||||||||||
Derivatives | ||||||||||||||||
Future Contracts | $ | 184,743 | $ | — | $ | — | $ | 184,743 | ||||||||
Total Liabilities | $ | 184,743 | $ | — | $ | — | $ | 184,743 |
Tactical Return
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments | $ | 117,413,730 | $ | — | $ | — | $ | 117,413,730 | ||||||||
Liabilities* | ||||||||||||||||
Derivatives | ||||||||||||||||
Written Options | $ | 150,210 | $ | — | $ | — | $ | 150,210 |
69
RATIONAL FUNDS
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
June 30, 2021 | SEMI - ANNUAL REPORT |
Dynamic Brands | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 87,646,065 | $ | — | $ | — | $ | 87,646,065 | ||||||||
Short-Term Investments | 5,086,028 | — | — | 5,086,028 | ||||||||||||
Total Assets | $ | 92,732,093 | $ | — | $ | — | $ | 92,732,093 |
Strategic Allocation
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 7,701,566 | $ | — | $ | — | $ | 7,701,566 | ||||||||
U.S. Government & Agencies | — | 399,889 | — | 399,889 | ||||||||||||
Short-Term Investments | 241,642 | — | — | 241,642 | ||||||||||||
Derivatives | ||||||||||||||||
Futures Contract | $ | 106,498 | $ | — | $ | — | $ | 106,498 | ||||||||
Total Assets | $ | 8,049,706 | $ | 399,889 | $ | — | $ | 8,449,595 |
ReSolve Adaptive
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments | $ | 57,493,861 | $ | — | $ | — | $ | 57,493,861 | ||||||||
Derivatives | ||||||||||||||||
Futures Contracts | $ | 1,403,243 | $ | — | $ | — | $ | 1,403,243 | ||||||||
Total Assets �� | $ | 58,897,104 | $ | — | $ | — | $ | 58,897,104 | ||||||||
Liabilities* | ||||||||||||||||
Derivatives | ||||||||||||||||
Futures Contracts | $ | 2,265,635 | $ | — | $ | — | $ | 2,265,635 | ||||||||
Total Liabilities | $ | 2,265,635 | $ | — | $ | — | $ | 2,265,635 |
Pier 88
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 780,302 | $ | — | $ | — | $ | 780,302 | ||||||||
Preferred Stocks | 41,691,152 | — | — | 41,691,152 | ||||||||||||
Convertible Bonds | — | 53,013,994 | — | 53,013,994 | ||||||||||||
Short-Term Investments | 2,554,893 | — | — | 2,554,893 | ||||||||||||
Total Assets | $ | 45,026,347 | $ | 53,013,994 | $ | — | $ | 98,040,341 |
70
RATIONAL FUNDS
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
June 30, 2021 | SEMI - ANNUAL REPORT |
Special Situations
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Preferred Stocks | $ | 2,060,000 | $ | — | $ | — | $ | 2,060,000 | ||||||||
Asset Backed Securities | — | 462,196,927 | — | 462,196,927 | ||||||||||||
Collateralized Mortgage Obligations | — | 2,824,816 | — | 2,824,816 | ||||||||||||
Corporate Bonds | 62,198,217 | — | 62,198,217 | |||||||||||||
U.S. Government & Agencies | — | 490,790 | — | 490,790 | ||||||||||||
Short-Term Investments | 30,936,153 | — | — | 30,936,153 | ||||||||||||
Total Assets | $ | 32,996,153 | $ | 527,710,750 | $ | — | $ | 560,706,903 |
* | Refer to the Portfolios of Investments for industry classifications. |
There were no level 3 securities held during the period for any Fund.
Consolidation of Subsidiaries – The consolidated financial statements of the ReSolve Adaptive include the accounts of RDMF Fund Ltd. (“RDMF” or “CFC”), a wholly-owned and controlled foreign subsidiary. All inter-company accounts and transactions have been eliminated in consolidation.
Each Fund may invest up to 25% of its total assets in a controlled foreign corporation, which acts as an investment vehicle in order to affect certain investments consistent with ReSolve Adaptive’s respective investment objectives and policies.
Inception Date of | CFC Net Assets as of | % of Net Assets as of | |
CFC | June 30, 2021 | June 30, 2021 | |
RDMF Fund, Ltd. | 8/5/2016 | $ 7,617,233 | 11.3% |
For tax purposes, this is an exempted Cayman investment company. The CFC has received an undertaking from the Government of the Cayman Islands exempting it from all local income, profits and capital gains taxes. No such taxes are levied in the Cayman Islands at the present time. For U.S. income tax purposes, a CFC is a Controlled Foreign Corporation which generates and is allocated no income which is considered effectively connected with U.S. trade or business and as such is not subject to U.S. income tax. However, as a wholly -owned Controlled Foreign Corporation, RDMF’s net income and capital gain, to the extent of its earnings and profits, will be included each year in the ReSolve Adaptive’s investment company taxable income.
B. Foreign Currency Translation
The accounting records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange each business day to determine the value of investments, and other assets and liabilities. Purchases and sales of foreign securities, and income and expenses, are translated at the prevailing rate of exchange on the respective date of these transactions. The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuation arising from changes in market prices of securities held. These fluctuations are included with the net realized and unrealized gain or loss from investments and foreign currency transactions.
Reported net realized foreign exchange gains or losses arise from sales of portfolio securities; sales and maturities of short term securities; sales of foreign currencies; currency gains or losses realized between the trade and settlement dates on securities transactions; and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, including investments in securities at fiscal period-end, resulting from changes in the exchange rate.
71
RATIONAL FUNDS | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) | |
June 30, 2021 | SEMI - ANNUAL REPORT |
C. Derivative Instruments
Certain of the Funds may be subject to equity price risk, commodity risk, interest rate risk and foreign currency exchange risk in the normal course of pursuing their investment objectives. Certain of the Funds may invest in various financial instruments including positions in foreign currency contracts, written and purchased option contracts and futures contracts to gain exposure to or hedge against changes in the value of equities or foreign currencies. The following is a description of the derivative instruments utilized by the Funds, including the primary underlying risk exposure related to each instrument type.
Futures Contracts – Certain of the Funds may purchase and sell futures contracts. A Fund may use futures contracts to gain exposure to, or hedge against changes in the value of underlying reference assets, such as equities, interest rates, commodities prices or foreign currencies. Upon entering into a contract, the Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as “variation margin” and are recorded by the Fund as unrealized gains and losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. As collateral for futures contracts, the Fund is required under the 1940 Act to maintain assets consisting of cash, cash equivalents or liquid securities. This collateral is required to be adjusted daily to reflect the market value of the purchase obligation for long futures contracts or the market value of the instrument underlying the contract, but not less than the market price at which the futures contract was established, for short futures contracts.
Options Contracts – Certain Funds may purchase put and call options and write put and call options. The premium paid for a purchased put or call option plus any transaction costs will reduce the benefit, if any, realized by a Fund upon exercise of the option, and, unless the price of the underlying security rises or declines sufficiently, the option may expire worthless to the Funds. In addition, in the event that the price of the security in connection with which an option was purchased moves in a direction favorable to the Funds, the benefits realized by the Funds as a result of such favorable movement will be reduced by the amount of the premium paid for the option and related transaction costs.
When a Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current fair value of the option written. Premiums received from writing options that expire unexercised are treated by the Funds on the expiration date as realized gains from investments. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or, if the premium is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security or currency in determining whether the Funds have realized gains or losses. If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Funds.
Written and purchased options are non-income producing securities. With options, there is minimal counterparty risk to the Funds since these options are exchange traded and the exchange’s clearinghouse acts as counterparty to all exchange traded options and guarantees against a possible default. Initial margin deposits required upon entering into options contracts are satisfied by the deposits of cash as collateral for the account of the broker (the Fund’s agent in acquiring the options).
Convertible Securities – Pier 88 invests in convertible securities, which include fixed income securities that may be exchanged or converted into a predetermined number of shares of the issuer’s underlying common stock at the option of the holder during a specified period. Convertible securities may take the form of convertible preferred stock, convertible bonds or debentures, units consisting of “usable” bonds and warrants or a combination of the features of several of these securities. The investment characteristics of each convertible security vary widely, which allows convertible securities to be employed for a variety of investment strategies. The Fund will exchange or convert the convertible securities held in its portfolio into shares of the underlying common stock when, in the Advisor’s or Sub-Advisor’s opinion, the investment characteristics of the underlying common shares will assist the Fund in achieving its investment objective. Otherwise the Fund may hold or trade convertible securities.
72
RATIONAL FUNDS | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) | |
June 30, 2021 | SEMI - ANNUAL REPORT |
The derivatives are not accounted for as hedging instruments under GAAP. The effect of derivative instruments on the Statements of Assets and Liabilities and Consolidated Statements of Assets and Liabilities at June 30, 2021, were as follows:
Location of derivatives on Statements of | Fair value of asset/liability | ||||||
Fund | Derivative | Risk Type | Assets and Liabilities | derivatives | |||
Equity Armor | |||||||
Futures | Equity | Futures unrealized appreciation | $ | 25,726 | |||
Futures unrealized depreciation | (184,743) | ||||||
Totals | $ | (159,017) | |||||
Tactical Return | |||||||
Futures | Interest Rate | Options Written | $ | 150,210 | |||
Totals | $ | 150,210 | |||||
Strategic Allocation | |||||||
Futures | Equity | Futures unrealized appreciation | $ | 106,498 | |||
Totals | $ | 106,498 | |||||
ReSolve Adaptive | |||||||
Futures | Equity | Futures unrealized appreciation | $ | 97,001 | |||
Futures unrealized depreciation | (198,111) | ||||||
Commodity | Futures unrealized appreciation | 516,181 | |||||
Futures unrealized depreciation | (1,229,382) | ||||||
Currency | Futures unrealized appreciation | 235,456 | |||||
Futures unrealized depreciation | (837,671) | ||||||
Interest | Futures unrealized appreciation | 554,604 | |||||
Futures unrealized depreciation | (470) | ||||||
Totals | $ | (862,392) |
73
RATIONAL FUNDS | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) | |
June 30, 2021 | SEMI - ANNUAL REPORT |
The effect of derivative instruments on the Statements of Operations and Consolidated Statements of Operations for the Funds, for the six months ended June 30, 2021, were as follows:
Realized and unrealized gain | ||||||||||
Fund | Derivative | Risk Type | Location of gain (loss) on derivatives | (loss) on derivatives | ||||||
Equity Armor | ||||||||||
Options Purchased | Equity | Net realized loss from options purchased | $ | (164,642 | ) | |||||
Options Written | Equity | Net realized loss from options written | (175 | ) | ||||||
Futures | Equity | Net realized loss from futures | (2,805,909 | ) | ||||||
$ | (2,970,726 | ) | ||||||||
Futures | Equity | Net change in unrealized depreciation on futures | $ | (98,955 | ) | |||||
Tactical Return | ||||||||||
Options Purchased | Equity | Net realized loss from options purchased | $ | (864,737 | ) | |||||
Options Written | Equity | Net realized gain from options written | 8,927,280 | |||||||
$ | 8,062,543 | |||||||||
Options Written | Equity | Net change in unrealized gain from options written | $ | 105,018 | ||||||
Strategic Allocation | ||||||||||
Futures | Equity | Net realized gain from futures | $ | 1,249,725 | ||||||
Futures | Equity | Net change in unrealized depreciation on futures | (77,882 | ) | ||||||
$ | 1,171,843 | |||||||||
ReSolve Adaptive | ||||||||||
Futures | Equity | Net realized gain from futures | $ | 2,824,374 | ||||||
Commodity | Net realized gain from futures | 9,607,460 | ||||||||
Currency | Net realized loss from futures | (1,823,627 | ) | |||||||
Interest | Net realized loss from futures | (2,519,649 | ) | |||||||
Totals | $ | 8,088,558 | ||||||||
Futures | Equity | Net change in unrealized depreciation on futures | $ | (444,669 | ) | |||||
Commodity | Net change in unrealized depreciation on futures | (2,337,601 | ) | |||||||
Currency | Net change in unrealized depreciation on futures | (874,961 | ) | |||||||
Interest | Net change in unrealized appreciation on futures | 391,151 | ||||||||
Totals | $ | (3,266,080 | ) |
The value of derivative instruments outstanding as of June 30, 2021 as disclosed in the Portfolios of Investments (Consolidated Portfolios of Investments for ReSolve Adaptive) and the amounts realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed above and within the Statements of Operations (Consolidated Statements of Operations for ReSolve Adaptive) serve as indicators of the volume of derivative activity for the Funds.
74
RATIONAL FUNDS | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) | |
June 30, 2021 | SEMI - ANNUAL REPORT |
Balance Sheet Offsetting Information
The following table provides a summary of offsetting financial assets and liabilities derivatives and the effect of the derivative instruments on the Statements of Assets and Liabilities and Consolidated Statements of Assets and Liabilities as of June 30, 2021:
Gross Amounts of Assets Presented in the | ||||||||||||||||||||||||
(Consolidated) Statement of Assets & Liabilities | ||||||||||||||||||||||||
Gross Amounts | Net Amounts | |||||||||||||||||||||||
Gross Amounts | Offset in the | Presented in the | ||||||||||||||||||||||
Recognized in the | (Consolidated) | (Consolidated) | ||||||||||||||||||||||
(Consolidated) | Statements of | Statements of | ||||||||||||||||||||||
Statements of Assets | Assets and | Assets and | Financial | Cash Collateral | ||||||||||||||||||||
and Liabilities | Liabilities | Liabilities | Instruments | Pledged/Received (1) | Net Amount | |||||||||||||||||||
Equity Armor | ||||||||||||||||||||||||
Description of Asset: | ||||||||||||||||||||||||
Futures Contracts | $ | 25,726 | $ | — | $ | 25,726 | $ | (25,726 | ) | $ | — | $ | — | |||||||||||
Description of Liability: | ||||||||||||||||||||||||
Futures Contracts | $ | 184,743 | $ | — | $ | 184,743 | $ | 25,726 | $ | (159,017 | ) | $ | — | |||||||||||
Strategic Allocation | ||||||||||||||||||||||||
Description of Asset: | ||||||||||||||||||||||||
Futures Contracts | $ | 106,498 | $ | — | $ | 106,498 | $ | — | $ | — | $ | 106,498 | ||||||||||||
ReSolve Adaptive | ||||||||||||||||||||||||
Description of Asset: | ||||||||||||||||||||||||
Futures Contracts | $ | 1,403,243 | $ | — | $ | 1,403,243 | $ | (1,403,243 | ) | $ | — | $ | — | |||||||||||
Description of Liability: | ||||||||||||||||||||||||
Futures Contracts | $ | 2,265,635 | $ | — | $ | 2,265,635 | $ | 1,403,243 | $ | (862,392 | ) | $ | — |
(1) | The amount is limited to the derivative liability balance and accordingly does not include excess collateral pledged. |
D. Security Transactions and Related Income
During the period, investment transactions are accounted for no later than the first calculation of the NAV on the business day following the trade date. For financial reporting purposes, however, security transactions are accounted for on the trade date on the last business day of the reporting period. Discounts and premiums on securities purchased are accreted and amortized over the lives of the respective securities using the effective interest method. For convertible securities, premiums attributable to the conversion feature are not amortized. Securities gains and losses are calculated on the identified cost basis. Interest income and expenses are accrued daily. Dividends, less foreign tax withholding (if any), are recorded on the ex-dividend date. Withholding taxes and capital gains on foreign dividends have been provided for in accordance with the Funds’ understanding of the applicable country’s tax rules and rates.
E. Dividends and Distributions to Shareholders
The amount of dividends from net investment income and net realized gains recorded on the ex-dividend date are determined in accordance with the federal income tax regulations, which may differ from GAAP and are recorded on ex-date. These “book/tax” differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature (e.g. tax treatment of foreign currency gain/loss, non -deductible stock issuance costs, distributions and income received from pass through investments and net investment loss adjustments), such amounts are reclassified within the capital accounts based on their nature for federal income tax purposes; temporary differences do not require reclassification. Temporary differences are primarily due to market discounts, capital loss carryforwards and losses deferred due to wash sales, straddles and return of capital from investments. Dividends are declared separately for each class. No class has preferential rights; differences in per share dividend rates are generally due to differences in separate class expenses.
75
RATIONAL FUNDS
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
June 30, 2021 | SEMI - ANNUAL REPORT |
Fund | Income Dividends | Capital Gains |
Equity Armor | Monthly | Annually |
Tactical Return | Annually | Annually |
Dynamic Brands | Annually | Annually |
Strategic Allocation | Quarterly | Annually |
ReSolve Adaptive | Annually | Annually |
Pier 88 | Quarterly | Annually |
Special Situations | Monthly | Annually |
Certain Funds may own shares of real estate investments trusts (“REITs”) which report information on the source of their distributions annually. Distributions received from investments in REITs in excess of income from underlying investments are recorded as realized gain and/or as a reduction to the cost of the individual REIT.
F. Allocation of Expenses, Income, and Gains and Losses
Expenses directly attributable to a Fund are charged to that Fund. Expenses not directly attributable to a Fund are allocated proportionally among various Funds or all Funds within the Trust in relation to the net assets of each Fund or on another reasonable basis. Income, non-class specific expenses and realized/unrealized gains or losses are allocated to each class based on relative net assets. Distribution fees are charged to each respective share class in accordance with the distribution plan.
G. Federal Income Taxes
It is the policy of each Fund to qualify or continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code, and to make distributions of net investment income and net realized capital gains sufficient to relieve it from all, or substantially all, federal income taxes.
The Funds recognize the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed each Fund’s tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years ended December 31, 2018 to December 31, 2020 (as applicable), or expected to be taken in the Funds’ December 31, 2021 year-end tax returns. Each Fund identifies its major tax jurisdictions as U.S. Federal, and foreign jurisdictions where the Funds make significant investments; however the Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits, as income tax expenses in the Statements of Operations. As of June 30, 2021, the Funds did not incur any interest or penalties.
H. Indemnification
The Trust indemnifies its Officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties and which provide general indemnities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the risk of loss due to these warranties and indemnities appears to be remote.
I. Market Risk
Overall market risks may also affect the value of a Fund. The market values of securities or other investments owned by a Fund will go up or down, sometimes rapidly or unpredictably. Factors such as economic growth and market conditions, interest rate levels, exchange rates and political events affect the securities markets. Changes in market conditions and interest rates generally do not have the same impact on all types of securities and instruments. Unexpected local, regional or global events and their aftermath, such as war; acts of terrorism; financial, political or social disruptions; natural,
76
RATIONAL FUNDS | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) | |
June 30, 2021 | SEMI - ANNUAL REPORT |
environmental or man-made disasters; the spread of infectious illnesses or other public health issues; recessions and depressions; or other tragedies, catastrophes and events could have a significant impact on a Fund and its investments and could result in increased premiums or discounts to the Fund’s net asset value, and may impair market liquidity, thereby increasing liquidity risk. Such events can cause investor fear and panic, which can adversely affect the economies of many companies, sectors, nations, regions and the market in general, in ways that cannot necessarily be foreseen. A Fund could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. During a general market downturn, multiple asset classes may be negatively affected. In times of severe market disruptions, you could lose your entire investment.
An outbreak of infectious respiratory illness caused by a novel coronavirus known as COVID-19 was first detected in China in December 2019 and subsequently spread globally. This coronavirus has resulted in, among other things, travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, significant disruptions to business operations, market closures, cancellations and restrictions, supply chain disruptions, lower consumer demand, and significant volatility and declines in global financial markets, as well as general concern and uncertainty. The impact of COVID-19 has adversely affected, and other infectious illness outbreaks that may arise in the future could adversely affect, the economies of many nations and the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak and its effects cannot be determined with certainty.
(3) FEES AND OTHER TRANSACTIONS WITH AFFILIATES AND OTHER SERVICE PROVIDERS
Investment Advisory Fee— Rational Advisors, Inc., (the “Advisor”) serves as the Funds’ investment adviser. Under the terms of the Advisory Agreement, the Advisor manages the investment operations of the Funds in accordance with each Fund’s respective investment policies and restrictions. The Funds’ sub-advisors are responsible for the day-to-day management of each Fund’s portfolios. The Advisor provides the Funds with investment advice and supervision and furnishes an investment program for the Funds. For its investment management services, the Funds pay to the Advisor, as of the last day of each month, an annualized fee as shown in the below table, such fees to be computed daily based upon daily average net assets of the Funds. The Funds’ sub-advisors are paid by the Advisor, not the Funds.
Fund | Advisory Fee Tiered Annual Rate | |||
Equity Armor | Rate for the First $500 Million | Rate for the Next $500 Million | Rate for Excess Over $1 Billion | |
0.75% | 0.70% | 0.65% | ||
Dynamic Brands | 0.75% | 0.70% | 0.65% |
Strategic Allocation | Advisory Fee Annual Rate | |
0.10% | ||
ReSolve Adaptive | 1.75% | |
Tactical Return | 1.75% | |
Pier 88 | 0.85% | |
Special Situations | 1.50% |
77
RATIONAL FUNDS
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
June 30, 2021 | SEMI - ANNUAL REPORT |
The Advisor has contractually agreed to waive all or a portion of its investment advisory fee (based on average daily net assets) and/or reimburse certain operating expenses of each Fund to the extent necessary in order to limit each Fund’s total annual fund operating expenses (exclusive of acquired fund fees and expenses, brokerage commissions and trading costs, interest (including borrowing costs and overdraft charges), taxes, short sale dividends and interest expenses, non-routine or extraordinary expenses (such as litigation or reorganizational costs), and costs and expenses of litigation or claims on behalf of the Fund regarding portfolio investments initiated (or threatened) by the investment advisor or sub-advisor) as listed below:
Fund | Expense Caps | Expiration | ||
Institutional Class Shares | Class A Shares | Class C Shares | ||
Tactical Return | 1.99% | 2.24% | 2.99% | April 30, 2022 |
Dynamic Brands | 1.24% | 1.49% | 2.24% | April 30, 2022 |
Strategic Allocation | 0.45% | 0.70% | 1.45% | April 30, 2022 |
ReSolve Adaptive | 1.97% | 2.22% | 2.97% | April 30, 2022 |
Pier 88 | 0.99% | 1.24% | 1.99% | April 30, 2022 |
Special Situations | 1.75% | 2.00% | 2.75% | April 30, 2022 |
Equity Armor expense limitation agreement expired April 30, 2021. The expense limitation prior to April 30, 2021 was 1.00% for Institutional shares, 1.25% for class A shares and 2.00$ for class C shares.
Amounts waived or reimbursed in the contractual period may be recouped by the Advisor within three years of the waiver and/or reimbursement. As of June 30, 2021, the following amounts have been waived or reimbursed by the Advisor and are subject to repayment by the respective Fund:
Amount Waived or | Expiring Beginning | |||||||
Fund | Reimbursed | December 31, | ||||||
Equity Armor | $ | 156,337 | 2021 | |||||
137,069 | 2022 | |||||||
135,785 | 2023 | |||||||
Tactical Return | 148,732 | 2021 | ||||||
179,111 | 2022 | |||||||
127,155 | 2023 | |||||||
Dynamic Brands | 175,690 | 2021 | ||||||
94,974 | 2022 | |||||||
0 | 2023 | |||||||
Strategic Allocation | 79,043 | 2021 | ||||||
63,678 | 2022 | |||||||
72,877 | 2023 | |||||||
34,452 | 2024 | |||||||
ReSolve Adaptive | 148,267 | 2021 | ||||||
140,730 | 2022 | |||||||
137,538 | 2023 | |||||||
Pier 88 | 21,532 | 2022 | ||||||
155,789 | 2023 | |||||||
Special Situations | 66,286 | 2022 | ||||||
159,379 | 2023 |
The Independent Trustees are paid a quarterly retainer, and receive compensation for each committee meeting, telephonic Board meeting, and special in-person Board meeting attended. Officers receive no compensation from the Trust. The Trust reimburses each of the Independent Trustees for travel and other expenses incurred in connection with attendance at such meetings. The Trust has no retirement or pension plans. Additional information regarding the Trust’s Trustees is available in the Funds’ Statement of Additional Information.
78
RATIONAL FUNDS
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
June 30, 2021 | SEMI - ANNUAL REPORT |
The Board has adopted the Trust’s Distribution Plan (the “12b-1 Plan”) which allows each Fund to pay fees up to 0.25% for Class A shares and up to 1.00% for Class C shares based on average daily net assets of each class to financial intermediaries (which may be paid through the Funds’ distributor) for the sale and distribution of these shares. Pursuant to the 12b-1 Plan, the Funds may finance from their assets certain activities or expenses that are intended primarily to result in the sale of Fund shares and to reimburse Northern Lights Distributors, LLC., the Funds’ distributor (the “Distributor or NLD”), and the Advisor for distribution related expenses. For the year ended June 30, 2021, the amounts accrued by the Funds were as follows:
12b-1 Fees | ||||||||
Fund | Class A | Class C | ||||||
Equity Armor | $ | 15,559 | $ | 6,737 | ||||
Tactical Return | 10,313 | 44,208 | ||||||
Dynamic Brands | 25,008 | 12,404 | ||||||
Strategic Allocation | 10,040 | 5 | ||||||
ReSolve Adaptive | 804 | 1,247 | ||||||
Pier 88 | 4,806 | 587 | ||||||
Special Situations | 53,675 | 98,863 |
Shareholder Servicing Fees - The Trust has adopted a Shareholder Services Plan pursuant to which the Funds may pay Shareholder Services Fees up to 0.25% of the average daily net assets to financial intermediaries for providing shareholder assistance, maintaining shareholder accounts and communicating or facilitating purchases and redemptions of shares for Institutional, Class A and Class C Shares.
In addition, certain affiliates of the Distributor provide services to the Funds as follows:
Gemini Fund Services, LLC (“GFS”) – GFS an affiliate of the Distributor, provides administrative, fund accounting, and transfer agency services to the Funds pursuant to agreements with the Trust, for which it receives from each Fund the greater of an annual minimum fee or an asset based fee, which scales downward based upon net assets for fund administration, fund accounting and transfer agency services and are reflected as such on the Statements of Operations. The Funds also pay GFS for any out-of-pocket expenses. Officers of the Trust are also employees of GFS, and are not paid any fees directly by the Trust for serving in such capacity.
Blu Giant, LLC (“Blu Giant”) – Blu Giant, an affiliate of GFS and the Distributor, provides EDGAR conversion and filing services as well as print management services for the Funds on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from the Funds, which are included in printing expenses on the Statements of Operations.
Pursuant to the Management Services Agreement between the Trust and MFund Services LLC (“MFund”), an affiliate of the Advisor, MFund provides the Funds with various management and administrative services. For these services, the Funds pay MFund an annual base fee plus an annual asset-based fee, which scales downward based upon net assets. In addition, the Funds reimburse MFund for any reasonable out- of- pocket expenses incurred in the performance of its duties under the Management Services Agreement. These fees are included in Management Service Fees on the Statements of Operations.
Pursuant to the Compliance Services Agreement, MFund provides chief compliance officer services to the Funds. For these services, the Funds pay MFund an annual base fee plus an annual asset-based fee based upon net assets. In addition, the Funds reimburse MFund for any reasonable out - of- pocket expenses incurred in the performance of its duties under the Compliance Services Agreement. These fees are included in Compliance Officer Fees on the Statements of Operations. The amounts due to MFund at June 30, 2021 for management and chief compliance officer services are listed in the Statements of Assets and Liabilities under Payable to related parties.
An Officer of the Trust is also the controlling member of MFund and the Advisor, and is not paid any fees directly by the Trust for serving in such capacity.
79
RATIONAL FUNDS
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
June 30, 2021 | SEMI - ANNUAL REPORT |
Affiliated Funds — Affiliated companies are mutual funds that are advised by Catalyst Capital Advisors, AlphaCentric Advisors, LLC or Rational Advisors, Inc. Companies that are affiliates of the Funds at June 30, 2021, are noted in the Strategic Allocation’s Portfolio of Investments. A summary of these investments in affiliated funds is set forth below:
Shares Balance | Change in | Dividends | Amount of Gain | |||||||||||||||||||||||||||||
December 31, | Shares Balance | Unrealized | Credited to | (Loss) Realized on | ||||||||||||||||||||||||||||
Fund | 2020 | Purchases | Sales | June 30, 2021 | Fair Value | Gain/(Loss) | Income | Sale of Shares | ||||||||||||||||||||||||
AlphaCentric Income Opportunities Fund, Inst. Sh. | 39,468 | 5,127 | — | 44,595 | $ | 520,426 | $ | 25,377 | $ | 9,726 | $ | — | ||||||||||||||||||||
Catalyst Enhanced Income Strategy Fund, Inst. Sh. | 124,639 | 15,755 | — | 140,394 | 1,573,804 | (9,049 | ) | 53,163 | — | |||||||||||||||||||||||
Catalyst Insider Income Fund Inst. Sh. | 77,855 | 13,625 | — | 91,480 | 905,657 | 3,271 | 10,516 | — | ||||||||||||||||||||||||
Catalyst/CIFC Floating Rate Income Fund | 82,210 | 14,502 | — | 96,712 | 931,334 | 5,596 | 14,786 | — | ||||||||||||||||||||||||
Catalyst/Stone Beach Income Opportunity Fund, Inst. Sh. | 70,017 | 16,121 | — | 86,138 | 756,301 | (37,950 | ) | 20,892 | — | |||||||||||||||||||||||
Rational Special Situations Income Fund, Inst. Sh. | 70,961 | 9,489 | — | 80,450 | 1,589,697 | 6,738 | 37,862 | — | ||||||||||||||||||||||||
Rational/Pier 88 Convertible Securities Fund CL. I | 112,557 | 4,769 | — | 117,326 | 1,424,347 | 50,737 | 7,875 | — | ||||||||||||||||||||||||
Total | 577,707 | 79,388 | — | 657,095 | 7,701,566 | 44,720 | 154,820 | — |
(4) INVESTMENT TRANSACTIONS
For the six months ended June 30, 2021, aggregate purchases and proceeds from sales of investment securities (excluding short-term investments) for the Funds were as follows:
Fund | Purchases | Sales | ||||||
Equity Armor | $ | 60,481,213 | $ | 57,778,436 | ||||
Tactical Return | — | — | ||||||
Dynamic Brands | 102,166,041 | 95,295,295 | ||||||
Strategic Allocation | 906,332 | 655 | ||||||
ReSolve Adaptive | — | — | ||||||
Pier 88 | 80,172,763 | 58,930,132 | ||||||
Special Situations | 234,529,751 | 94,877,940 |
(5) INVESTMENT RISK
In accordance with its investment objectives and through its exposure to the managed futures programs, each of Equity Armor, Strategic Allocation and ReSolve Adaptive may have increased or decreased exposure to one or more of the following risk factors defined below:
Commodity Risk – Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.
Foreign Exchange Rate Risk – Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk – Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk – Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
80
RATIONAL FUNDS | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) | |
June 30, 2021 | SEMI - ANNUAL REPORT |
In accordance with its investment objectives and through its exposure to options, Tactical Return may have increased or decreased exposure to Option Risk factors defined below:
Options Risk – Tactical Return are subject to equity price risks in the normal course of pursuing their investment objective and may purchase or sell options. The seller (writer) of a call option which is covered (e.g., the writer holds the underlying security) assumes the risk of a decline in the market price of an underlying security below the purchase price of an underlying security less the premium received, and gives up the opportunity for gain on the underlying security above the exercise price of the option. The seller of an uncovered call option assumes the risk of a theoretical unlimited increase in the market price of an underlying security above the exercise price of the option. The securities necessary to satisfy the exercise of the call option may be unavailable for purchase except at much higher prices. Purchasing securities to satisfy the exercise of the call option can itself cause the price of securities to rise further, sometimes by a significant amount, thereby exacerbating the loss. The buyer of a call option assumes the risk of losing its entire premium invested in the call option. The seller (writer) of a put option which is covered (e.g., the writer has a short position in the underlying security) assumes the risk of an increase in the market price of the underlying security above the sales price (in establishing the short position) of the underlying security plus the premium received, and gives up the opportunity for gain on the underlying security below the exercise price of the option. The seller of an uncovered put option assumes the risk of a decline in the market price of the underlying security below the exercise price of the option. The buyer of a put option assumes the risk of losing his entire premium invested in the put option.
Activist Strategies Risk – As part of Special Situation’s principal investment strategy, the Sub-Advisor seeks to identify “special situations” where it can seek to remedy legal, technical or structural issues it has identified in the securities held by the Fund through activist strategies, including through litigation or the threat of litigation. Such activist strategies may not be successful and may have a negative impact on the Fund, including causing the Fund to incur legal related costs and expenses and portfolio turnover if the Sub-Advisor determines to sell such securities.
Please refer to the Funds’ prospectus for a full listing of risks associated with these investments.
(6) AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS
The identified cost of investments in securities owned by each Fund for federal income tax purposes (including options written), and its respective gross unrealized appreciation and depreciation at June 30, 2021, were as follows:
Gross | Gross | Net Unrealized | ||||||||||||||
Tax | Unrealized | Unrealized | Appreciation/ | |||||||||||||
Cost | Appreciation | Depreciation | (Depreciation) | |||||||||||||
Equity Armor | $ | 55,605,234 | $ | 12,523,025 | $ | (1,121,856 | ) | $ | 11,401,169 | |||||||
Tactical Return | 117,125,236 | 138,284 | — | 138,284 | ||||||||||||
Dynamic Brands | 74,078,771 | 19,124,924 | (471,602 | ) | 18,653,322 | |||||||||||
Strategic Allocation | 7,951,982 | 578,612 | (80,999 | ) | 497,613 | |||||||||||
ReSolve Adaptive | 57,493,861 | 1,403,243 | (2,265,635 | ) | (862,392 | ) | ||||||||||
Pier 88 | 91,238,241 | 7,704,232 | (902,132 | ) | 6,802,100 | |||||||||||
Special Situations | 549,172,156 | 22,847,262 | (11,312,515 | ) | 11,534,747 |
81
RATIONAL FUNDS | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) | |
June 30, 2021 | SEMI - ANNUAL REPORT |
(7) DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL
The tax character of fund distributions paid for the year ended December 31, 2020 and December 31, 2019 was as follows:
For fiscal year ended | Ordinary | Long-Term | Return of | |||||||||||||
12/31/2020 | Income | Capital Gains | Capital | Total | ||||||||||||
Equity Armor | $ | 564,193 | $ | — | $ | — | $ | 564,193 | ||||||||
Tactical Return | 1,086,680 | 3,391,193 | — | 4,477,873 | ||||||||||||
Dynamic Brands | 5,764,896 | 2,684,155 | — | 8,449,051 | ||||||||||||
Strategic Allocation | 232,735 | — | 18,623 | 251,358 | ||||||||||||
ReSolve Adaptive | 205,777 | — | 88,954 | 294,731 | ||||||||||||
Pier 88 | 1,229,024 | 19,438 | — | 1,248,462 | ||||||||||||
Special Situations | 13,372,271 | — | 623,229 | 13,995,500 |
For fiscal year or period ended | Ordinary | Long-Term | Return of | |||||||||||||
12/31/2019 | Income | Capital Gains | Capital | Total | ||||||||||||
Equity Armor | $ | 957,035 | $ | — | $ | — | $ | 957,035 | ||||||||
Tactical Return | 1,761,554 | 3,657,076 | — | 5,418,630 | ||||||||||||
Dynamic Brands | — | 129,486 | — | 129,486 | ||||||||||||
Strategic Allocation | 427,376 | 159,642 | 57,104 | 644,122 | ||||||||||||
ReSolve Adaptive | 4,161,597 | 3,441,482 | 82,748 | 7,685,827 | ||||||||||||
Pier 88 | — | — | — | — | ||||||||||||
Special Situations | 829,344 | — | — | 829,344 |
As of December 31, 2020, the components of distributable earnings/ (accumulated deficit) on a tax basis were as follows:
Undistributed | Undistributed | Post October Loss | Capital Loss | Other | Unrealized | Total | ||||||||||||||||||||||
Ordinary | Long-Term | and | Carry | Book/Tax | Appreciation/ | Distributable Earnings/ | ||||||||||||||||||||||
Income | Capital Gains | Late Year Loss | Forwards | Differences | (Depreciation) | (Accumulated Deficits) | ||||||||||||||||||||||
Equity Armor | $ | 336,070 | $ | — | $ | (1,383,973 | ) | $ | (7,061,656 | ) | $ | — | $ | 6,422,058 | $ | (1,687,501 | ) | |||||||||||
Tactical Return | 354,239 | 2,704,255 | — | (2,185,193 | ) | — | — | 873,301 | ||||||||||||||||||||
Dynamic Brands | 3,180,375 | 402,164 | — | — | — | 13,540,238 | 17,122,777 | |||||||||||||||||||||
Strategic Allocation | — | — | — | (743,977 | ) | — | 346,366 | (397,611 | ) | |||||||||||||||||||
ReSolve Adaptive | — | — | (166,515 | ) | (3,148,869 | ) | — | 410,371 | (2,905,013 | ) | ||||||||||||||||||
Pier 88 | 886,308 | 65,873 | — | — | — | 7,604,257 | 8,556,438 | |||||||||||||||||||||
Special Situations | — | — | (939,552 | ) | (6,095,617 | ) | — | 10,824,319 | 3,789,150 |
The difference between book basis and tax basis unrealized appreciation (depreciation), undistributed ordinary income (loss) and accumulated net realized gain (loss) from investments is primarily attributable to the tax deferral of losses on wash sales, mark-to-market on open futures and options 1256 contracts, and adjustments for trust preferred securities and income on contingent convertible debt securities. The unrealized appreciation (depreciation) in the table above includes unrealized foreign currency gains of $97 and $92,668 for the Dynamic Brands and ReSolve Adaptive, respectively.
82
RATIONAL FUNDS | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) | |
June 30, 2021 | SEMI - ANNUAL REPORT |
Late year losses incurred after December 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Funds incurred and elected to defer such late year losses as follows:
Late Year Losses | ||||
Equity Armor | $ | — | ||
Tactical Return | — | |||
Dynamic Brands | — | |||
Strategic Allocation | — | |||
ReSolve Adaptive | 166,515 | |||
Pier 88 | — | |||
Special Situations | — |
Capital losses incurred after October 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Funds incurred and elected to defer such capital losses as follows:
Post October | ||||
Losses | ||||
Equity Armor | $ | 1,383,973 | ||
Tactical Return | — | |||
Dynamic Brands | — | |||
Strategic Allocation | — | |||
ReSolve Adaptive | — | |||
Pier 88 | — | |||
Special Situations | 939,552 |
At December 31, 2020, the Funds had capital loss carry forwards for federal income tax purposes available to offset future capital gains along with capital loss carry forwards utilized in the current year as follows:
Non- Expiring | Non-Expiring | Capital Loss Carry | ||||||||||||||
Short-Term | Long-Term | Total | Forwards Utilized | |||||||||||||
Equity Armor | $ | 3,164,565 | $ | 3,897,091 | $ | 7,061,656 | $ | 523,351 | ||||||||
Tactical Return* | 356,948 | 1,828,245 | 2,185,193 | 92,691 | ||||||||||||
Dynamic Brands | — | — | — | — | ||||||||||||
Strategic Allocation | 378,805 | 365,172 | 743,977 | — | ||||||||||||
ReSolve Adaptive | 2,974,209 | 174,660 | 3,148,869 | — | ||||||||||||
Pier 88 | — | — | — | — | ||||||||||||
Special Situations | 5,552,134 | 543,483 | 6,095,617 | — |
* | The Rational Tactical Return Fund experienced a shareholder change in ownership resulting in an annual limitation on the amount of pre-change capital loss carry forwards available to be recognized in each year. Due to IRC Section 382 limitations, utilization of these carry forwards is limited to a maximum of $92,691 per year. |
83
RATIONAL FUNDS | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) | |
June 30, 2021 | SEMI - ANNUAL REPORT |
Permanent book and tax differences, primarily attributable to the book/tax basis treatment of non-deductible expenses, net operating losses, the reclassification of Fund distributions, and adjustments for the Resolve Adaptive Asset Allocation Fund’s wholly owned subsidiary, which has a November 30 tax year end, resulted in reclassifications for the Funds for the fiscal year ended December 31, 2020 as follows:
Paid In | Accumulated | |||||||
Capital | Earnings (Deficit) | |||||||
Equity Armor | $ | — | $ | — | ||||
Tactical Return | (323,039 | ) | 323,039 | |||||
Dynamic Brands | — | — | ||||||
Strategic Allocation | (18,623 | ) | 18,623 | |||||
ReSolve Adaptive | 580,324 | (580,324 | ) | |||||
Pier 88 | (706 | ) | 706 | |||||
Special Situations | (16,468 | ) | 16,468 |
(8) LINE OF CREDIT
Effective December 10, 2020, the Trust has a $100,000,000 uncommitted line of credit provided by U.S. Bank National Association (the “Bank”) under an agreement (the “Uncommitted Line”). Any advance under the Uncommitted Line is contemplated primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Interest on borrowings is payable on a monthly basis. The Uncommitted Line is not a “committed” line of credit, which is to say that the Bank is not obligated to lend money to the Funds. Accordingly, it is possible that the Funds may wish to borrow money for a temporary or emergency purpose but may not be able to do so.
During the six months ended June 30, 2021, the average amount of borrowings outstanding was as follows:
Average borrowings | Average | |||||||||||
Fund | outstanding | Interest Expense | borrowings rate | |||||||||
Dynamic Brands | $ | 282,000 | $ | 126 | 3.25 | % |
The largest outstanding borrowing during the six months ended June 30, 2021 was $596,000 for Dynamic Brands Fund. As of June 30, 2021, Dynamic Brands Fund had $0 in outstanding borrowings.
(9) UNDERLYING INVESTMENTS IN OTHER INVESTMENT COMPANIES
Each underlying fund, including each exchange -traded fund (“ETF”), is subject to specific risks, depending on the nature of the underlying fund. These risks could include liquidity risk, sector risk, foreign and related currency risk, as well as risks associated with real estate investments and commodities. Investors in the Funds will indirectly bear fees and expenses charged by the underlying investment companies in which the Funds invest in addition to the Funds’ direct fees and expenses.
The performance of Tactical Return and ReSolve Adaptive will be directly affected by the performance of the First American Government Obligations Fund, U Class. The financial statements of the First American Government Obligations Fund, U, including the portfolio of investments, can be found at the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the Fund’s financial statements. As of June 30, 2021, the percentage of Tactical Return and ReSolve Adaptive’s net assets invested in the First American Government Obligations Fund were 46.4% and 85.2%, respectively.
84
RATIONAL FUNDS | |
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) | |
June 30, 2021 | SEMI - ANNUAL REPORT |
(10) BENEFICIAL OWNERSHIP
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates a presumption of control of the fund, under Section 2(a)(9) of the 1940 Act. As of June 30, 2021, the companies that held more than 25% of the voting securities of the Funds, and may be deemed to control each respective Fund, are as follows:
Equity | Tactical | Strategic | ReSolve | Pier | Special | |||||||||||||||||||
Armor | Return | Allocation | Adaptive | 88 | Situations | |||||||||||||||||||
NFS LLC(1) | 35.29 | % | — | 86.98 | % | — | 81.58 | % | — | |||||||||||||||
Charles Schwab (1) | — | — | — | 58.70 | % | — | 26.07 | % | ||||||||||||||||
LPL Financial (1) | — | 32.18 | % | — | — | — | — | |||||||||||||||||
TD Ameritrade | 28.38 | % | — | — | — | — | — |
(1) | This owner is comprised of multiple investors and accounts. |
(11) SUBSEQUENT EVENTS
Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has determined that no events or transactions occurred requiring adjustment or disclosure in the financial statements.
85
RATIONAL FUNDS
INFORMATION ABOUT YOUR FUNDS’ EXPENSES (Unaudited)
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees; and other Fund expenses. The example below is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The example below illustrates an investment of $1,000 invested at the beginning of the period 01/01/21 and held for the entire period through 6/30/21
Actual Expenses
The first section of each table below provides information about actual account values and actual expenses. You may use the information in these sections, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multipl the result by the number in the first row under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of each table provides information about the hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or exchange fees. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. For more information on transactional costs, please refer to the Funds’ prospectus.
Hypothetical | ||||||||||||||||||||||||
Actual | (5% return before expenses) | |||||||||||||||||||||||
Fund’s | Beginning | Ending | Expenses Paid | Ending | ||||||||||||||||||||
Annualized | Account Value | Account Value | During Period | Account Value | Expenses Paid | |||||||||||||||||||
Expense Ratio | 01/01/2021 | 6/30/2021 | * | 6/30/2021 | During Period * | |||||||||||||||||||
Rational Equity Armor Fund - Class A ** | 1.30 | % | $ | 1,000.00 | $ | 1,081.20 | $ | 6.71 | $ | 1,018.35 | $ | 6.51 | ||||||||||||
Rational Equity Armor Fund - Class C ** | 2.05 | % | 1,000.00 | 1,078.10 | 10.56 | 1,014.63 | 10.24 | |||||||||||||||||
Rational Equity Armor Fund - Institutional ** | 1.05 | % | 1,000.00 | 1,082.40 | 5.42 | 1,019.59 | 5.26 | |||||||||||||||||
Rational Tactical Return Fund - Class A ** | 2.24 | % | 1,000.00 | 1,024.50 | 11.24 | 1,013.69 | 11.18 | |||||||||||||||||
Rational Tactical Return Fund - Class C ** | 2.99 | % | 1,000.00 | 1,019.60 | 14.97 | 1,009.97 | 14.90 | |||||||||||||||||
Rational Tactical Return Fund - Institutional ** | 1.99 | % | 1,000.00 | 1,024.60 | 9.99 | 1,014.93 | 9.94 | |||||||||||||||||
Rational Dynamic Brands Fund - Class A | 1.43 | % | 1,000.00 | 1,142.60 | 7.60 | 1,017.70 | 7.15 | |||||||||||||||||
Rational Dynamic Brands Fund - Class C | 2.12 | % | 1,000.00 | 1,138.80 | 11.24 | 1,014.28 | 10.59 | |||||||||||||||||
Rational Dynamic Brands Fund - Institutional | 1.17 | % | 1,000.00 | 1,144.10 | 6.22 | 1,018.99 | 5.86 | |||||||||||||||||
Rational Strategic Allocation Fund - Class A | 0.70 | % | 1,000.00 | 1,173.50 | 3.77 | 1,021.32 | 3.51 | |||||||||||||||||
Rational Strategic Allocation Fund - Class C | 1.45 | % | 1,000.00 | 1,169.90 | 7.80 | 1,017.60 | 7.25 | |||||||||||||||||
Rational Strategic Allocation Fund - Institutional | 0.45 | % | 1,000.00 | 1,175.90 | 2.43 | 1,022.56 | 2.26 | |||||||||||||||||
Rational/ReSolve Adaptive Asset Allocation Fund - Class A | 2.22 | % | 1,000.00 | 1,064.40 | 11.36 | 1,013.79 | 11.08 | |||||||||||||||||
Rational/ReSolve Adaptive Asset Allocation Fund - Class C | 2.97 | % | 1,000.00 | 1,060.40 | 15.17 | 1,010.07 | 14.80 | |||||||||||||||||
Rational/ReSolve Adaptive Asset Allocation Fund - Institutional | 1.97 | % | 1,000.00 | 1,065.60 | 10.09 | 1,015.03 | 9.84 | |||||||||||||||||
Rational Special Situations Income Fund - Class A | 2.00 | % | 1,000.00 | 1,029.40 | 10.06 | 1,014.88 | 9.99 | |||||||||||||||||
Rational Special Situations Income Fund - Class C | 2.73 | % | 1,000.00 | 1,025.50 | 13.71 | 1,011.26 | 13.61 | |||||||||||||||||
Rational Special Situations Income Fund - Institutional | 1.75 | % | 1,000.00 | 1,030.60 | 8.81 | 1,016.12 | 8.75 | |||||||||||||||||
Rational/Pier 88 Convertible Securities Fund - Class A | 1.24 | % | 1,000.00 | 1,112.10 | 6.49 | 1,018.65 | 6.21 | |||||||||||||||||
Rational/Pier 88 Convertible Securities Fund - Class C | 1.99 | % | 1,000.00 | 1,107.90 | 10.40 | 1,014.93 | 9.94 | |||||||||||||||||
Rational/Pier 88 Convertible Securities Fund - Institutional ** | 0.99 | % | 1,000.00 | 1,113.10 | 5.19 | 1,019.89 | 4.96 |
* | Expenses are equal to the Funds’ annualized expense ratios multiplied by the average account value over the period, multiplied by 181/365 to reflect the one-half year period. |
** | Annualized expense ratio does not include interest expenses or dividend expenses. |
86
RATIONAL FUNDS
SUPPLEMENTAL INFORMATION (Unaudited) | |
June 31, 2021 | SEMI-ANNUAL REPORT |
Consideration and Approval of Amended Sub-Advisory Agreement between Rational Advisors, Inc. and ReSolve Asset Management Inc. with respect to Rational/ReSolve Adaptive Asset Allocation Fund.
In connection with a special telephonic meeting held on January 29, 2021, the Board of Trustees (the “Board” or the “Trustees”) of Mutual Fund and Variable Insurance Trust (the “Trust”), including a majority of the Trustees who are not “interested persons,” as that term is defined in the Investment Company Act of 1940, as amended, of the Trust, discussed and approved an amended sub-advisory agreement between Rational Advisors, Inc. (“Rational”) and ReSolve Asset Management Inc. (“ReSolve Canada”) with respect to Rational/ReSolve Adaptive Asset Allocation Fund (the “Fund”), a series of the Trust (the “Amended Sub-Advisory Agreement”).
The Board considered that the proposed revisions would reflect the appointment of Resolve Asset Management SEZC (Cayman) (“ReSolve Global”) as a trading advisor to the Fund and adjustment to the fee payable to ReSolve Canada. The Board was assisted by legal counsel throughout the review process. The Board relied upon the advice of legal counsel and its own business judgment in evaluating the Amended Sub-Advisory Agreement and the weight to be given to each factor considered. The conclusions reached by the Board were based upon a comprehensive evaluation and discussion of all the information provided and were not the result of any one factor. Moreover, each Trustee might have afforded different weight to the various factors in reaching his conclusions with respect to the Amended Sub-Advisory Agreement. In connection with its deliberations regarding approval of the Amended Sub-Advisory Agreement, the Board reviewed other materials provided by ReSolve Canada as well as materials prepared by Rational. The Board also considered the information presented at the December 13, 2019, Board meeting with respect to the approval of the current sub-advisory agreement with ReSolve Canada. The Board also considered the information presented at Board meetings throughout the year.
Nature, Extent, and Quality of Services. The Board reviewed the nature, extent, and quality of the services that ReSolve Canada would provide to the Fund pursuant to the Amended Sub-Advisory Agreement. The Board reviewed information concerning the background and experience of the portfolio management team and other personnel who would provide services to the Fund, as well as information concerning the financial condition and resources, business, operations, and compliance program of ReSolve Canada. The Board acknowledged the expertise of the portfolio management team. After further discussion, the Board concluded that ReSolve Canada had personnel, resources, and operations suitable to performing its duties under the Amended Sub-Advisory Agreement and would provide an acceptable level of services to the Fund.
Performance. The Board reviewed a report on the Fund’s recent performance, noting that the Fund’s current portfolio managers would continue to participate in the management of the Fund’s investment in futures contracts as employees of ReSolve Global. The Board considered that the Fund had outperformed the average of the Morningstar Multialternative category for the quarter ended December 31, 2020. The Board also considered performance information presented at the September 18, 2020, Board meeting, noting that although a composite of ReSolve Canada accounts had underperformed a Global Balanced Portfolio benchmark (a blended index of equity and fixed-income ETFs prepared by ReSolve) for various periods ended August 31, 2020, the composite was competitive within the Morningstar category. After further discussion, the Board concluded that
87
RATIONAL FUNDS
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) | |
June 31, 2021 | SEMI-ANNUAL REPORT |
the Fund’s performance under ReSolve Canada’s management was acceptable and expected the performance to continue under the Amended Sub-Advisory Agreement.
Fees and Expenses. The Board considered that the fees to be paid to ReSolve Canada pursuant to the Amended Sub-Advisory Agreement would be paid entirely by Rational. The Board noted that the fees payable to ReSolve Canada, 50% of Rational’s 1.75% advisory fee (as adjusted by an allocation of fees to ReSolve Global pursuant to a trading advisory agreement), was lower than the 1.45% fee charged by ReSolve Global to manage other accounts following a similar strategy. The Board acknowledged that this represented no fee increase from the current sub-advisory agreement with ReSolve Canada. After further discussion, the Board concluded that the fees payable to ReSolve Canada pursuant to the Amended Sub-Advisory Agreement with respect to the Fund were reasonable.
The Board considered the respective duties of Rational and ReSolve Canada and analyzed how fees were allocated between ReSolve Canada (with a portion paid to ReSolve Global) and Rational. After consideration and discussion, the Board decided that the Fund’s investment management fees were allocated appropriately between ReSolve Canada and Rational.
Profitability. The Board reviewed a profitability analysis provided by ReSolve Canada that projected that ReSolve Canada would realize a profit from providing sub-advisory services to the Fund. After further discussion, the Board concluded that ReSolve Canada’s expected profitability with respect to the Fund did not raise any concerns.
“Fall-out” Benefits. The Board considered fall-out benefits that ReSolve Canada expected to receive from its relationship with the Fund.
Economies of Scale. The Board agreed that economies of scale are primarily an advisor-level issue and should be considered with respect to the overall management agreement with Rational, taking into consideration the impact of the trading advisory expense.
Conclusion. The Board considered many factors, and no single factor was determinative to the decision of the Board concerning the approval of the Amended Sub-Advisory Agreement. Having requested, reviewed, and discussed in depth such information from ReSolve Canada as the Board believed to be reasonably necessary to evaluate the terms of the Amended Sub-Advisory Agreement, and as assisted by the advice of counsel, the Board concluded that approval of the Amended Sub-Advisory Agreement was in the best interests of the Fund and its shareholders.
Consideration and Approval of Trading Advisory Agreement between Rational Advisors, Inc. and ReSolve Asset Management SEZC (Cayman) with respect to Rational/ReSolve Adaptive Asset Allocation Fund.
In connection with a special telephonic meeting held on January 29, 2021, the Board of Trustees (the “Board” or the “Trustees”) of Mutual Fund and Variable Insurance Trust (the “Trust”), including a majority of the Trustees who are not “interested persons,” as that term is defined in the Investment Company Act of 1940, as amended, of the Trust, discussed and approved a proposed trading advisory agreement between Rational Advisors, Inc. (“Rational”) and ReSolve Asset
88
RATIONAL FUNDS
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) | |
June 31, 2021 | SEMI-ANNUAL REPORT |
Management SECZ (Cayman) (“ReSolve Global”) with respect to Rational/ReSolve Adaptive Asset Allocation Fund (the “Fund”), a series of the Trust (the “Trading Advisory Agreement”).
The Board was assisted by legal counsel throughout the review process. The Board relied upon the advice of legal counsel and its own business judgment in evaluating the Trading Advisory Agreement and the weight to be given to each factor considered. The conclusions reached by the Board were based upon a comprehensive evaluation and discussion of all the information provided and were not the result of any one factor. Moreover, each Trustee might have afforded different weight to the various factors in reaching his conclusions with respect to the Trading Advisory Agreement. In connection with its deliberations regarding approval of the Trading Advisory Agreement, the Board reviewed other materials provided by ReSolve Global as well as materials prepared by Rational. The Board also considered the information presented at the September 18, 2020 Board meeting with respect to ReSolve Global.
Nature, Extent, and Quality of Services. The Board reviewed the nature, extent, and quality of the services that ReSolve Global would provide to the Fund pursuant to the Trading Advisory Agreement. The Board reviewed information concerning the background and experience of the portfolio management team and other personnel who would provide services to the Fund, as well as information concerning the financial condition and resources, business, operations, and compliance program of ReSolve Global. The Board considered that the portfolio managers who would provide trading advisory services to the Fund currently or previously served as portfolio managers of the Fund as employees of ReSolve Canada. The Board acknowledged the expertise of the portfolio management team. The Board reviewed a copy of ReSolve Global’s Code of Ethics and noted that the Trust’s Chief Compliance Officer had determined that it was appropriate. After further discussion, the Board concluded that ReSolve Global had personnel, resources, and operations suitable to performing its duties under the Trading Advisory Agreement and would provide an acceptable level of services to the Fund.
Performance. The Board reviewed a report on the Fund’s recent performance, noting that the Fund’s current portfolio managers would continue to participate in the management of the Fund’s investment in futures contracts as employees of ReSolve Global. The Board considered that the Fund had outperformed the average of the Morningstar Multialternative category for the quarter ended December 31, 2020. The Board also considered performance information presented at the September 18, 2020 Board meeting, noting that although a composite of ReSolve Canada accounts had underperformed a Global Balanced Portfolio benchmark (a blended index of equity and fixed-income ETFs prepared by ReSolve) for various periods ended August 31, 2020, the composite was competitive within the Morningstar category. After further discussion, the Board concluded that the Fund’s performance under ReSolve Canada’s management was acceptable and expected the performance to continue under the Trading Advisory Agreement.
Fees and Expenses. The Board considered that the fees to be paid to ReSolve Global pursuant to the Trading Advisory Agreement would be paid entirely by Rational. The Board noted that the fees payable to ReSolve Global, 50% of Rational’s 1.75% advisory fee (as adjusted by an allocation of fees to ReSolve Canada pursuant to a revised sub-advisory agreement), was lower than the 1.45% fee charged by ReSolve Global to manage other accounts following a similar strategy. The Board acknowledged that this represented no fee increase from the current sub-
89
RATIONAL FUNDS
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) | |
June 31, 2021 | SEMI-ANNUAL REPORT |
advisory agreement with ReSolve Canada. After further discussion, the Board concluded that the fees payable to ReSolve Global pursuant to the Trading Advisory Agreement with respect to the Fund were reasonable.
The Board considered the respective duties of Rational and ReSolve Global and analyzed how fees were allocated between ReSolve Global (with a portion paid to ReSolve Canada) and Rational. After consideration and discussion, the Board decided that the Fund’s investment management fees were allocated appropriately between ReSolve Global and Rational.
Profitability. The Board reviewed a profitability analysis provided by ReSolve Global that projected that ReSolve Global would realize a profit from providing trading advisory services to the Fund. After further discussion, the Board concluded that ReSolve Global’s expected profitability with respect to the Fund did not raise any concerns.
“Fall-out” Benefits. The Board considered fall-out benefits that ReSolve Global expected to receive from its relationship with the Fund.
Economies of Scale. The Board agreed that economies of scale are primarily an advisor-level issue and should be considered with respect to the overall management agreement with Rational, taking into consideration the impact of the trading advisory expense.
Conclusion. The Board considered many factors, and no single factor was determinative to the decision of the Board concerning the approval of the Trading Advisory Agreement. Having requested, reviewed and discussed in depth such information from ReSolve Global as the Board believed to be reasonably necessary to evaluate the terms of the Trading Advisory Agreement, and as assisted by the advice of counsel, the Board concluded that approval of the Trading Advisory Agreement was in the best interests of the Fund and its shareholders.
90
RATIONAL FUNDS
SUPPLEMENTAL INFORMATION (Unaudited) | |
June 31, 2021 | SEMI-ANNUAL REPORT |
Consideration and Renewal of Management and Sub-Advisory Agreements for Rational Special Situations Income Fund, June 18, 2021
At a meeting held on June 18, 2021, the Board of Trustees (the “Board” or the “Trustees”) of Mutual Fund and Variable Insurance Trust (the “Trust”), including a majority of the Trustees who are not “interested persons,” as that term is defined in the Investment Company Act of 1940, as amended, of the Trust, approved the renewal of the Management Agreement between the Trust and Rational Advisors, Inc. (“Rational”) with respect to Rational Special Situations Income Fund (the “Fund”), a series of the Trust (the “Management Agreement”); and the renewal of the sub-advisory agreement between Rational and ESM Management, LLC (“ESM”) with respect to the Fund (the “Sub-Advisory Agreement”).
The Board was assisted by legal counsel throughout the review process. The Board relied upon the advice of legal counsel and its own business judgment in evaluating the Management and Sub-Advisory Agreements and the weight to be given to each factor considered. The conclusions reached by the Board were based upon a comprehensive evaluation and discussion of all the information provided and were not the result of any one factor. Moreover, each Trustee might have afforded different weight to the various factors in reaching his conclusions with respect to either Agreement. In connection with its deliberations regarding approval of the Management and Sub-Advisory Agreements, the Board reviewed materials prepared by Rational (the “Rational 15(c) Response”) and ESM (the “ESM 15(c) Response”), respectively. The Board also considered the information presented at Board meetings throughout the year.
Review of Rational 15(c) Responses
Nature, Extent and Quality of Services. The Board reviewed the services Rational provides to the Fund and information concerning Rational’s financial condition, resources, personnel, business, operations, and compliance program. The Board considered its familiarity with the key personnel serving the Fund and discussed the consistency and quality services provided by the dedicated team of qualified professionals at Rational. The Board then discussed the firm’s culture of compliance and risk management programs. After further discussion and review of the Rational 15(c) Response, the Board concluded that Rational would continue to provide an acceptable level of services to the Fund.
Performance. The Board compared the returns of the Fund to those of its peer group, the Morningstar Multisector Bond and Nontraditional Bond categories, and its benchmarks, the Bloomberg Barclays U.S. Aggregate Bond TR Index and the Bloomberg MBS TR Index, for various periods ended March 31, 2021. The Board considered that the Fund had outperformed its peer group, Morningstar category averages, and benchmark indices, for the three-, five-, and ten-year periods. The Board considered that the Fund had underperformed its peer group and Morningstar category averages for the one-year period but outperformed its benchmark indices for the same period. The Board considered Rational’s attribution of the Fund’s positive relative performance to the Fund’s investment approach that focused on reducing traditional fixed income risk and finding situations that offer asymmetric upside return potential. After further discussion, the Board determined that the Fund’s performance was acceptable.
Fees and Expenses. The Board considered that Rational’s management fee for the Fund was higher than the average and median advisory fees of the Fund’s peer group. The Board noted that Rational’s management fee was at the high end of the Morningstar Multisector Bond category and below the high end of the Morningstar Nontraditional Bond category.
91
RATIONAL FUNDS
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) | |
June 31, 2021 | SEMI-ANNUAL REPORT |
The Board considered that the Fund’s gross expense ratio was higher than the median expense ratios of the peer group and both Morningstar categories, and that the Fund’s net expense ratio (after waivers and reimbursements) was within the range of net expenses for the peer group and both Morningstar categories. The Board favorably viewed the contractual expense limitation agreement whereby Rational and ESM agree to limit fund expenses.
Profitability. The Board reviewed a report from Rational analyzing the firm’s profitability with respect to its management of the Fund. The Board concluded that the level of Rational’s profitability with respect to the Fund did not raise any concerns.
“Fall-out” Benefits. The Board considered fall-out benefits received by Rational from its relationship with the Fund and the Trust.
Economies of Scale. The Board considered Rational’s statement that the Fund’s asset level had not yet reached the point where the Fund would benefit from economies of scale. The Board considered that advisory fee breakpoints were currently not in place. The Board also considered the Fund’s unique strategy and the specialized expertise necessary to manage the Fund’s portfolio-related litigations. The Board determined, after further discussion, that economies of scale had not been reached and agreed that the matter of economies of scale and breakpoints would be revisited as the Fund’s assets materially increased.
Conclusion. The Board considered many factors, and no single factor was determinative to the decision of the Board concerning the renewal of the Management Agreement. Having requested, reviewed, and discussed in depth such information from Rational as the Board believed to be reasonably necessary to evaluate the terms of the Management Agreement, and as assisted by the advice of counsel, the Board concluded that renewal of the Management Agreement was in the best interests of the Fund and its shareholders.
Review of ESM’s 15(c) Responses
Nature and Extent of Services. The Board reviewed the nature, extent and quality of services provided by the investment professionals at ESM. The Board reviewed information concerning ESM’s financial condition and resources, personnel, business operations, and compliance program. The Board considered that ESM managed the Fund’s portfolio in accordance with its principal strategies in seeking to achieve the Fund’s investment objective. The Board reviewed a copy of ESM’s Form ADV. After further discussion and review of the ESM 15(c) Response, the Board concluded that ESM would continue to provide an acceptable level of services to the Fund.
Performance. The Board compared the returns of the Fund to those of its peer group, the Morningstar Multisector Bond and Nontraditional Bond categories, and its benchmarks, the Bloomberg Barclays U.S. Aggregate Bond TR Index, and the Bloomberg MBS TR Index, for various periods ended March 31, 2021. The Board considered that the Fund had outperformed its peer group and Morningstar category averages, and its benchmark indices, for the three-, five-, and ten-year periods. The Board considered that the Fund had underperformed its peer group and Morningstar category averages for the one-year period but outperformed its benchmark indices for the same period. The Board considered Rational’s attribution of the Fund’s positive relative performance to the Fund’s investment approach that focused on reducing
92
RATIONAL FUNDS
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) | |
June 31, 2021 | SEMI-ANNUAL REPORT |
traditional fixed income risk and finding situations that offer asymmetric upside return potential. After further discussion, the Board determined that the Fund’s performance was acceptable.
Fees and Expenses. The Board considered that the sub-advisory fees paid to ESM with respect to the Fund were paid entirely by Rational. The Board noted that the sub-advisory fees payable to ESM were 50% of the 1.50% fee charged by Rational and considered Rational and ESM’s view that the sub-advisory fee was reasonable in light of the specialized and active nature of the Fund’s portfolio management style. The Board noted that with the contractual expense cap in place, Rational and ESM were waiving a portion of their fees. After further discussion, the Board concluded that the sub-advisory fees payable to ESM with respect to the Fund were reasonable.
Profitability. The Board reviewed a profitability analysis provided by ESM with respect to the Fund and noted that ESM managed the Fund at a net profit. After further discussion, the Board concluded that the level of ESM’s profitability with respect to the Fund did not raise any concerns.
“Fall-out” Benefits . The Board considered fall-out benefits received by ESM from its relationship with the Fund and the Trust.
Economies of Scale. The Board agreed that economies of scale are primarily an advisor-level issue and should be considered with respect to the overall Management Agreement, taking into consideration the impact of the sub-advisory expense.
Conclusion. The Board considered many factors, and no single factor was determinative to the decision of the Board concerning the renewal of the Sub-Advisory Agreement. Having requested, reviewed, and discussed in depth such information from ESM as the Board believed to be reasonably necessary to evaluate the terms of the Sub-Advisory Agreement, and as assisted by the advice of counsel, the Board concluded that renewal of the Sub-Advisory Agreement was in the best interests of the Fund and its shareholders.
93
PRIVACY NOTICE
Mutual Fund & Variable Insurance Trust
Rev. July 2017
FACTS | WHAT DOES MUTUAL FUND & VARIABLE INSURANCE TRUST DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some, but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depends on the product or service that you have with us. This information can include:
● Social Security number and wire transfer instructions
● account transactions and transaction history
● investment experience and purchase history
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Mutual Fund & Variable Insurance Trust chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information: | Does Mutual Fund & Variable Insurance Trust share information? | Can you limit this sharing? |
For our everyday business purposes - such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus. | YES | NO |
For our marketing purposes - to offer our products and services to you. | NO | We don’t share |
For joint marketing with other financial companies. | NO | We don’t share |
For our affiliates’ everyday business purposes - information about your transactions and records. | NO | We don’t share |
For our affiliates’ everyday business purposes - information about your credit worthiness. | NO | We don’t share |
For our affiliates to market to you | NO | We don’t share |
For non-affiliates to market to you | NO | We don’t share |
QUESTIONS? | Call 1-800-253-0412 |
94
PRIVACY NOTICE
Mutual Fund & Variable Insurance Trust
What we do: | |
How does Mutual Fund & Variable Insurance Trust protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.
Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information. |
How does Mutual Fund & Variable Insurance Trust collect my personal information? | We collect your personal information, for example, when you: ● open an account or deposit money
● direct us to buy securities or direct us to sell your securities
● seek advice about your investments
We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only: ● sharing for affiliates’ everyday business purposes – information about your creditworthiness.
● affiliates from using your information to market to you.
● sharing for non-affiliates to market to you.
State laws and individual companies may give you additional rights to limit sharing. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and non-financial companies.
● Mutual Fund & Variable Insurance Trust does not share with affiliates. |
Non-affiliates | Companies not related by common ownership or control. They can be financial and non-financial companies.
● Mutual Fund & Variable Insurance Trust doesn’t share with non-affiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
● Mutual Fund & Variable Insurance Trust doesn’t jointly market. |
95
A copy of the policies and procedures that the Funds use to determine how to vote proxies relating to securities held in the Funds’ portfolios, as well as a record of how the Funds voted any such proxies during the most recent 12-month period ended June 30, is available without charge and upon request by calling 800-253-0412. This information is also available from the EDGAR database on the SEC’s website at www.sec.gov.
The Funds file with the SEC a complete schedule of their portfolio holdings, as of the close of the first and third quarters of their fiscal year, on Form N-Port. Prior to April 30, 2020, the Funds made these filings on Form N-Q. These filings are available on the SEC’s website at www.sec.gov. You may also access this information at www.rationalmf.com by selecting “Form N-PORT” or for fillings made prior to April 30, 2020, “Form N-Q.”
Rational Advisors, Inc., serves as Investment Advisor to the Funds.
This report is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus which contains facts concerning the Funds’ objectives and policies, management fees, expenses and other information.
Shareholder Services: 800-253-0412
Rational-SA21
Item 2. | Code of Ethics. |
Not applicable.
Item 3. | Audit Committee Financial Expert. |
Not applicable.
Item 4. | Principal Accountant Fees and Services. |
Not applicable.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Schedule of Investments. |
See Item 1.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
Not applicable.
Item 11. | Controls and Procedures. |
(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-2 under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing of this report on Form N-CSR.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-Ended Management Investment Companies
Not applicable.
Item 13. | Exhibits. |
(a)(1) Not applicable.
(a)(3) Not applicable.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Mutual Fund and Variable Insurance Trust
By (Signature and Title) | /s/ Jerry Szilagyi | ||||
Jerry Szilagyi, President and Principal Executive Officer | |||||
Date | 09/07/2021 | ||||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Jerry Szilagyi | |
Jerry Szilagyi, President and Principal Executive Officer |
Date | 09/07/2021 |
By (Signature and Title) | /s/ Erik Naviloff | ||||
Erik Naviloff, Treasurer and Principal Financial Officer | |||||
Date | 09/07/2021 | ||||