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 811-08542
The Saratoga Advantage Trust
(Exact name of registrant as specified in charter)
1616 N. Litchfield Rd, Suite 165, Goodyear, AZ 85395
(Address of principal executive offices) (Zip code)
Emile R. Molineaux, Gemini Fund Services, LLC
80 Arkay Drive, Suite 110, Hauppauge, NY 11788
(Name and address of agent for service)
Registrant's telephone number, including area code: 623-266-4567
Date of fiscal year end: 8/31
Date of reporting period: 8/31/20
Item 1. Reports to Stockholders.
Class I and S Shares | ||
ANNUAL REPORT | ||
As Of AUGUST 31, 2020 | ||
THIS REPORT IS AUTHORIZED FOR DISTRIBUTION ONLY TO SHAREHOLDERS | ||
AND TO OTHERS WHO HAVE RECEIVED A COPY OF THE PROSPECTUS. | ||
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website www.saratogacap.com, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically or to continue receiving paper copies of shareholder reports, which are available free of charge, by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, by following the instructions included with paper Fund documents that have been mailed to you.
TABLE OF CONTENTS
Chairman’s Letter | Page 1 |
Investment Review | Page 5 |
Schedules of Investments | Page 52 |
Statements of Assets and Liabilities | Page 106 |
Statements of Operations | Page 111 |
Statements of Changes in Net Assets | Page 116 |
Notes to Financials | Page 124 |
Financial Highlights | Page 151 |
Report of Independent Registered Public Accounting Firm | Page 166 |
Supplemental Information | Page 169 |
Privacy Notice | Page 181 |
TRUSTEES AND OFFICERS
Bruce E. Ventimiglia | Trustee, Chairman, President & CEO |
Patrick H. McCollough | Trustee |
Udo W. Koopmann | Trustee |
Floyd E. Seal | Trustee |
Stephen H. Hamrick | Trustee |
Stephen Ventimiglia | Vice President & Secretary |
Jonathan W. Ventimiglia | Vice President, Assistant Secretary, |
Treasurer & Chief Financial Officer | |
James S. Vitalie | Vice President |
Emile R. Molineaux | Chief Compliance Officer |
Aaron J. Smith | Assistant Treasurer |
Investment Manager | Distributor |
Saratoga Capital Management, LLC | Northern Lights Distributors, LLC |
1616 N. Litchfield Rd., Suite 165 | 4221 N 203rd Street, Suite 100 |
Goodyear, Arizona 85395 | Elkhorn, Nebraska 68022 |
Transfer & Shareholder Servicing Agent | Custodian |
Gemini Fund Services, LLC | BNY Mellon Corp. |
4221 N 203rd Street, Suite 100 | 225 Liberty Street |
Elkhorn, Nebraska 68022 | New York, New York 10286 |
Administrator & Fund Accounting Agent | Custody Administrator |
Gemini Fund Services, LLC | Gemini Fund Services, LLC |
80 Arkay Drive, Suite 110 | 80 Arkay Drive, Suite 110 |
Hauppauge, New York 11788 | Hauppauge, New York 11788 |
THE SARATOGA ADVANTAGE TRUST
Annual Report to Shareholders
October 23, 2020
Dear Shareholder:
We are pleased to provide you with this annual report on the investment strategies and performance of the portfolios in the Saratoga Advantage Trust (the “Trust”). This report covers the twelve months from September 1, 2019 through August 31, 2020.
We believe that successful investing requires discipline and patience. Try to stay focused on your long-term investment goals. Don’t let short-term stock and bond market fluctuations or investment manias change your long-term investment strategy. The Saratoga Advantage Trust’s portfolios are managed by some of the world’s leading institutional investment advisory firms. Combining the strength of the Trust’s performance with a well-designed asset allocation plan can help you to achieve your long-term investment goals.
ECONOMIC OVERVIEW
As measured by Real Gross Domestic Product (GDP), the value of the production of goods and services in the United States declined by an annualized growth rate (AGR) of -31.4% during the second quarter of 2020. Most sectors of our economy were either shut down or working with a skeleton crew. As economies reopened in the third quarter, the bounce-back in many metrics was sharp, though there are signs the recovery is slowing. Personal Consumption Expenditures (PCE) 3-month annualized percent change has averaged more than 45% for the past 2 months. New Home Sales were up to an annualized cycle-high of over 1 million sales in August; Housing Permits and Housing Starts are also approaching cycle highs. The auto industry suffered a massive decline in production from November 2019 to April 2020, but has recovered each month since, with a respectable cycle high in July 2020. Retail Sales and Total Manufacturing New Orders of Durable Goods are up more than 25% from recent lows. Unemployment declined from 14.7% in April to 7.9% in September, and the number or people unemployed has dropped by over 45% from April. Unemployment claims is an important leading indicator in our work, specifically the 4-week sum of weekly Initial Claims data. That number has dropped to 3.4m from a pandemic peak of over 23 million claims. For perspective, the historic average from 1967 to present is about 1.4m. While we may be leveling off from an initially sharp, ‘V-shaped’ recovery, many important economic indicators continue to march back towards their pre-pandemic levels. The Federal Reserve Open Market Committee (the Committee) released the following statement, in part, at its September 16, 2020 meeting: “The Committee seeks to achieve maximum employment and inflation at the rate of 2 percent over the longer run. With inflation running persistently below this longer-run goal, the Committee will aim to achieve inflation moderately above 2 percent for some time so that inflation averages 2 percent over time and longer-term inflation expectations remain
1
well anchored at 2 percent.” The Fed’s language around inflation has meaningfully changed recently from symmetric targeting to an average targeting environment in which inflation above targets may be deemed acceptable for a period of time. A few days later, the Federal Reserve (Fed) released a subsequent statement: “The Federal Reserve is committed to using its full range of tools to support the U.S. economy in this challenging time, thereby promoting its maximum employment and price stability goals… Overall financial conditions have improved in recent months, in part reflecting policy measures to support the economy and the flow of credit to U.S. households and businesses.” The Fed continues to sustain historic balance sheet levels.
Monetary Policy: In its most recent FOMC statement, the Committee stated that it will “keep the target range for the federal funds rate at 0 to 1/4 percent and expects it will be appropriate to maintain this target range until labor market conditions have reached levels consistent with the Committee’s assessments of maximum employment and inflation has risen to 2 percent and is on track to moderately exceed 2 percent for some time.” The Fed is committed to increasing its holdings of “Treasury securities and agency mortgage-backed securities at least at the current pace to sustain smooth market functioning and help foster accommodative financial conditions, thereby supporting the flow of credit to households and businesses.” The Fed has rapidly increased most measures of the money supply and interest rates under Fed purview have declined to historically low levels on an absolute and relative basis. The Fed is signaling to banks that money is ready and available to loan at, or near, all-time lows; and, importantly, it is signaling that this will likely be the case for some time. Like the Fed, we have a wider range of information at our fingertips than ever before. To wit, the Fed recently stated that it will watch “readings on public health” as it builds its policy positions. We do not recall this type of sentiment in our many decades parsing Fed statements, and believe it is yet further signaling on the Fed’s part that their policy will be heavily context-dependent relative to the pandemic. In what seems to be complimentary fashion, the Fed has developed an increasingly complex money system with which to deliver accommodative policy, likely for some time to come.
Interest Rates: As the Fed has lowered the federal funds (FF) rate, short-term rates have declined from recent highs and have stabilized around their near-term lows. Intermediate rates and long-term rates have been increasing from their recent lows. Most of the interest rate yield curve has achieved near term lows and started to advance across the spectrum. As the economy regains its footing and inflation remains low, yield spreads should be able to advance; however, we do not expect that advance to find its upper range until the economy shows it is resolute.
We believe the interest rate environment has improved slightly for both stocks and bonds, though we see a positive case for short-term bonds and a negative case for longer-term bonds.
Equity Valuations: As of September 30, 2020, the S&P 500 index sits at 3,363. Our proprietary valuation work uses both fundamental and technical analysis and provides support for the S&P 500 at roughly 3,025 at the end of September. Uncertainty surrounding short-term earnings projections indicates to us that the market should remain in the fair value range. Inflation and interest rates can have a significant impact on total earnings. From 1960 to present, average CPI has declined by 35%, while the 1-year T-Bill average is down 40.5%. Over the same period, the PE’s average is up over 26%. The dramatic change in PE from 1960 to present suggests investors have rewarded businesses in this lower inflation and low interest rate environment.
Inflation: Inflation, as measured by the consumer price index (CPI), was up only 1.31% y-o-y in August 2020, while CPI Less Food & Energy (Core CPI) was up 1.73%. The Fed favors the Core
2
CPI over the headline CPI because it believes that food and energy are overly volatile parts of the CPI. Over the near-term, we believe inflation should remain muted, keeping it below the Fed’s target rate of 2%. We find that there are three highly correlative wage growth measures to CPI; while wage growth signals are mixed, certain wage growth indicators are negative enough to suggest muted CPI and a Fed with room to remain accommodative. Over various segments of the past year, much of the Producer Price complex has been posting negative y-o-y percent changes. The Final Demand for Finished Goods index was -0.17% y-o-y in August, though that is well off its April low of - 1.52%. Final Demand for Personal Consumption Less Foods & Energy was up 0.90% y-o-y and is trending with Core CPI. Most of the PPI spectrum is negative y-o-y and shows little pricing strength. There is a great deal of slack on the cost-side of inflation. We currently see room for the Fed to keep its control group of interest rates bottomed-out, with the demand for goods and the cost of goods looking to be well in balance.
COMPARING THE PORTFOLIOS’ PERFORMANCE TO BENCHMARKS
When reviewing the performance of the portfolios against their benchmarks, it is important to note that the Trust is designed to help investors to implement an asset allocation strategy to meet their individual needs as well as select individual investments within each asset category among the myriad of choices available. Each Saratoga portfolio was formed to represent an asset class, and each portfolio’s institutional money manager was selected based on their ability to manage money within that class.
Therefore, the Saratoga portfolios can help investors to properly implement their asset allocation decisions and keep their investments within the risk parameters that they establish with their investment consultants. Without the intended asset class consistency of the Saratoga portfolios, even the most carefully crafted allocation strategy could be negated. Furthermore, the benchmarks do not necessarily provide precise standards against which to measure the portfolios, in that the characteristics of the benchmarks can vary widely at different points in time from the Saratoga portfolios (e.g., characteristics such as: average market capitalizations, price-to-earnings and price-to-book ratios, bond quality ratings and maturities, etc.). In addition, the benchmarks can potentially have a survivor bias built into them (i.e., the performance of only funds that are still in existence may remain part of the benchmark’s performance while funds that do not exist anymore may be removed from the benchmark’s performance).
ELECTRONIC DELIVERY AVAILABLE
This report can be delivered to you electronically. Electronic delivery can help simplify your record keeping. With electronic delivery, you’ll receive an email with a link to your Saratoga Advantage Trust quarterly statement, daily confirmations and/or semi-annual and annual reports each time one is available. You have the ability to choose which items you want delivered electronically. Choose one item or all items. It’s up to you. Please call our Customer Service Department toll-free at 1-888-672-4839 for instructions on how to establish electronic delivery.
3
AUTOMATED ACCOUNT UPDATES
I am pleased to inform you that you can get automated updates on your investments in the Saratoga Advantage Trust 24 hours a day, every day, by calling toll-free 1-888- 672-4839. For additional information about the Trust, please call your financial advisor, visit our website at www.saratogacap.com or call 1-800-807-FUND.
Finally, following you will find specific information on the investment strategy and performance of each of the Trust’s portfolios. Please speak with your financial advisor if you have any questions about your investment in the Saratoga Advantage Trust or your allocation of assets among the Trust’s portfolios.
We remain dedicated to serving your investment needs.
Thank you for investing with us.
Best wishes,
Bruce E. Ventimiglia
Chairman, President and
Chief Executive Officer
Investors should consider the investment objectives, risks, charges and expenses of the Saratoga Funds carefully. This and other information about the Saratoga Funds is contained in your prospectus, which should be read carefully. To obtain an additional copy of the prospectus, please call (800) 807-FUND. Past performance is not indicative of future results. Investments in stocks, bonds and mutual funds are not guaranteed and the principal value and investment return can fluctuate. Consequently, investors may receive back less than invested.
The security holdings discussed may not be representative of the Funds’ current or future investments. Portfolio holdings are subject to change and should not be considered to be investment advice. Any statements not of a factual nature constitute opinions which are subject to change without notice. Information contained herein was obtained from recognized statistical services and other sources believed to be reliable and we therefore cannot make any representation as to its completeness or accuracy. The Funds of the Saratoga Advantage Trust are distributed by Northern Lights Distributors, LLC, member FINRA/SIPC; the Saratoga Advantage Trust and Northern Lights Distributors, LLC are not affiliated entities.
6210-NLD-11/05/20
4
INVESTMENT REVIEW |
LARGE CAPITALIZATION VALUE PORTFOLIO
Advised by: M.D. Sass Investor Services, Inc., New York, New York
Objective: The Portfolio seeks total return consisting of capital appreciation and dividend income.
Total Aggregate Return for the Period Ended August 31, 2020 | ||
Class I | ||
Inception: | 9/1/94 — 8/31/20* | 6.01% |
Ten Year: | 9/1/10 — 8/31/20* | 9.97% |
Five Year: | 9/1/15 — 8/31/20* | 4.08% |
One Year: | 9/1/19 — 8/31/20 | 5.43% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 27, 2019 is 1.14%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
In determining which securities to buy, hold or sell, the Portfolio’s Adviser focuses its investment selection on finding high quality companies with compelling valuations, measurable catalysts to unlock value and above-average long-term earnings growth potential. In general, the Adviser looks for companies that have value-added product lines to help preserve pricing power, a strong history of free cash flow generation, strong balance sheets, competent management with no record of misleading shareholders, and financially sound customers. Independent research is used to produce estimates for future earnings, which are inputs into the Adviser’s proprietary valuation model. The Adviser focuses its investments where it has a differentiated view and there exists, in its view, significant price appreciation potential to its estimate of the stocks’ intrinsic value.
PORTFOLIO ADVISER COMMENTARY
The Federal Reserve’s favorable monetary policies, including its commitment to its 0-0.25% Fed Funds target, further helped equity valuations during the period and the economy continued to gradually recover from the early onset of the pandemic. However, volatility remains elevated and uncertainty still persists around the path of the virus. We continue to gradually deploy cash reserves in an attempt to capitalize on opportunities in what we believe are dislocated, undervalued shares of high quality companies with compelling long-term capital appreciation potential.
One of the portfolio’s top contributors during the period was Target (2.99%). The company benefited from the consumer shift to digital purchases and took market share from department stores and other brick-and-mortar retailers. The revenue beat was coupled with increased gross margins, leading to street estimates being revised up significantly. Charles River Laboratories (3.51%) was also a bright spot after the company showed improving margins and biotech spending continues to be robust. Other positive contributors to performance were Crown Holdings (5.12%), Facebook (3.82%), Formula One (4.33%) and Qorvo (3.48%). Main detractors from performance were W.R. Grace (3.82%), Perrigo (3.99%) and Bausch Health (3.78%). W.R. Grace gave back all of its 2Q returns, as the recovery in automotive miles driven stalled and investors are questioning the long-term demand outlook for transportation fuels and plastic end markets. Perrigo had a strong 2Q20, but the full-year outlook implied a weaker cadence through the rest of the year. Bausch Health gave strong 2H20 guidance and has already rallied off its lows.
Within the discussion above, the percentages shown next to specific securities are the percentages of the Portfolio represented by the security on 8/31/20. The securities held in the Portfolio are subject to change and any discussion of those securities should not be considered investment advice.
5
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
LARGE CAPITALIZATION VALUE PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Crown Holdings, Inc. | 5.1% |
LKQ Corp. | 5.0% |
Charles Schwab Corp. | 4.6% |
NRG Energy, Inc. | 4.6% |
Sony Corp. | 4.6% |
AmerisourceBergen Corp. | 4.5% |
Axalta Coating Systems Ltd. | 4.4% |
Liberty Media Corp.-Liberty Formula One | 4.3% |
Mohawk Industries, Inc. | 4.3% |
Alphabet, Inc. | 4.1% |
* | Based on total net assets as of August 31, 2020. |
Excludes short-term investments.
Portfolio Composition*
The Morningstar Large Value Average (“Large Value Average”), as of August 31, 2020, consisted of 1,181 mutual funds comprised of large market capitalization value stocks. The Large Value Average is not managed and it is not possible to invest directly in the Large Value Average
The S&P 500/Citigroup Value Index, is broad, unmanaged-capitalization weighted index which is the successor to the S&P 500/BARRA Value Index, uses a multifactor methodology to score constituents, which are weighted according to market cap and classified as growth, value, or a mix of growth and value. The S&P 500/Citigroup Value Index does not include fees and expenses, and investor may not invest directly in an index.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
6
INVESTMENT REVIEW |
LARGE CAPITALIZATION GROWTH PORTFOLIO
Advised by: Smith Group Asset Management, Dallas, Texas
Objective: The Portfolio seeks capital appreciation.
Total Aggregate Return for the Period Ended August 31, 2020 | ||
Class I | ||
Inception: | 9/1/94 — 8/31/20* | 9.12% |
Ten Year: | 9/1/10 — 8/31/20* | 18.00% |
Five Year: | 9/1/15 — 8/31/20* | 16.83% |
One Year: | 9/1/19 — 8/31/20 | 35.93% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 27, 2019 is 1.06%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio’s Adviser employs quantitative and qualitative analysis that seeks to identify high quality companies that it believes have the ability to accelerate earnings growth and exceed investor expectations. The Adviser’s selection process consists of three steps. First, the Adviser reviews a series of screens utilizing the Adviser’s investment models, which are based on fundamental characteristics, designed to eliminate companies that the Adviser’s research shows have a high probability of underperformance. Factors considered when reviewing the screens include a multi-factor valuation framework, earnings quality, capital structure and financial quality. Next, securities that pass the initial screens are then evaluated to try to identify stocks with the highest probability of producing an earnings growth rate that exceeds investor expectations. This process incorporates changes in earnings expectations and earnings quality analysis. Finally, these steps produce a list of eligible companies which are subjected to analysis by the Adviser to further understand each company’s business prospects and earnings potential. The Adviser uses the results of this analysis to construct the Portfolio’s security positions.
PORTFOLIO ADVISOR COMMENTARY
The past 12-months have provided dramatic shifts in both economic and market fundamentals. A year ago, the global economy was exiting a period of flat year-over-year earnings and markets were off to a good start. In January, COVID-19 did not feel like a real threat to the US economy as it was taking place on the other side of the world and only causing modest supply-chain disruptions. COVID-19 proved to be a threat to our collective health, economy and, by extension, our livelihood and assets. The recession that began in February likely ended rather quickly thanks to unprecedented fiscal and monetary efforts. The first half of 2020 saw the steepest global recession in recorded economic history, including the two World Wars and the Great Depression of the 1930s. The good news is that the third quarter looks positive. The point is not that the economy is great. There are still lots of things that can go wrong, but some segments are getting better, and that improvement tends to support stock prices.
Portfolio holdings in Information Technology were the best absolute performers for the period, while Consumer Staples holdings provided the best relative performance. Overweights to the economically sensitive Industrials and Financials sectors were a drag on performance. The largest individual stock headwind to performance was an underweight to Tesla (1.24%) due to our concerns over the company’s valuation. The top performing holdings were concentrated in the Information Technology sector. NVIDIA (2.56%), inventor of the graphics processing unit, returned 216% as the company is benefitting from gaming, work/learn from home, and Hyperscale demand trends. The largest overweight industry group over the past year was Pharmaceuticals, Biotechnology & Life Sciences while the largest underweight group was Food, Beverage & Tobacco.
Within the discussion above, the percentages shown next to specific securities are the percentages of the Portfolio represented by the security on 8/31/20. The securities held in the Portfolio are subject to change and any discussion of those securities should not be considered investment advice.
7
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
LARGE CAPITALIZATION GROWTH PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Apple, Inc. | 10.1% |
Microsoft Corp. | 7.8% |
Amazon.Com, Inc. | 6.4% |
Facebook, Inc. | 4.5% |
PayPal Holdings, Inc. | 3.5% |
The Procter & Gamble Co. | 2.8% |
AbbVie, Inc. | 2.7% |
NVIDIA Corp. | 2.6% |
Cadence Design Systems, Inc. | 2.3% |
Charter Communications, Inc. | 2.3% |
* | Based on total net assets as of August 31, 2020. |
Excludes short-term investments.
Portfolio Composition*
The Morningstar Large Growth Average (“Large Growth Average”), as of August 31, 2020, consisted of 1,323 mutual funds comprised of large market capitalization growth stocks. The Large Growth Average is not managed and it is not possible to invest directly in the Large Growth Average
The S&P 500/Citigroup Growth Index, is broad, unmanaged-capitalization weighted index which is the successor to the S&P 500/BARRA Growth Index, uses a multifactor methodology to score constituents, which are weighted according to market cap and classified as growth, value, or a mix of growth and value. The S&P 500/Citigroup Value Index does not include fees and expenses, and investor may not invest directly in an index.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
8
INVESTMENT REVIEW |
MID CAPITALIZATION PORTFOLIO
Advised by: Vaughn Nelson Investment Management, L.P., Houston, Texas
Objective: The Portfolio seeks long-term capital appreciation.
Total Aggregate Return for the Period Ended August 31, 2020 | ||
Class I | ||
Inception: | 1/7/03 – 8/31/20* | 8.42% |
Ten Year: | 9/1/10 — 8/31/20* | 9.86% |
Five Year: | 9/1/15 — 8/31/20* | 2.43% |
One Year: | 9/1/19 — 8/31/20 | -0.38% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus December 27, 2019 is 1.39%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio invests in securities of companies that are believed by the Adviser to be undervalued, thereby offering above-average potential for capital appreciation. The Portfolio may also invest in equity securities of foreign companies. The Adviser invests in medium capitalization companies with a focus on total return using a bottom-up value oriented investment process. The Adviser seeks companies with the following characteristics, although not all of the companies it selects will have these attributes: (i) companies earning a positive economic margin with stable-to-improving returns; (ii) companies valued at a discount to their asset value; and (iii) companies with an attractive dividend yield and minimal basis risk. In selecting investments, the Adviser generally employs the following strategy:
(i) value-driven investment philosophy that selects stocks selling at attractive values based upon business fundamentals, economic margin analysis, discounted cash flow models and historical valuation multiples. The Adviser reviews companies that it believes are out-of-favor or misunderstood; (ii) use of value-driven screens to create a research universe of companies with market capitalizations of at least $1 billion; and (iii) use of fundamental and risk analysis to construct a portfolio of securities that the Adviser believes has an attractive return potential.
PORTFOLIO ADVISER COMMENTARY
During the fourth quarter of 2019, equity markets continued to move higher driven by stabilizing economic data overseas and the rapid expansion of the Federal Reserve’s balance sheet to support interbank lending markets. During the first quarter of 2020, the CV-19 Pandemic accelerated the liquidity recession to its conclusion and added a global economic contraction that was comparable to the Great Depression. Despite fiscal and monetary policy commitments equal to 40% of GDP, equity markets experienced some of the largest quarterly declines on record. The slowdown materially spread causing a softening in employment activity and a reduction in inflationary pressures. In 2Q20, markets rallied back, consistent with the unprecedented monetary and fiscal policy support that went into the economy and with the bottoming of economic activity in late March to early April.
For the twelve-month period ending 8/31/20, the portfolio underperformed on a relative basis, as the Mid Cap sector’s performance was heavily driven by high P/E names we often seek to avoid. Stock selection within Information Technology and Consumer Discretionary detracted the most from relative performance. Also, the portfolio was underweight Healthcare, which performed well during the year, and overweight Financials, which underperformed. The portfolio’s material underweight to REITs and security selection in Energy provided positive attribution.
The recovery in financial markets continued in the third quarter. While markets continued to improve, the rate of the recovery in the economy has started to slow. With a delay in additional stimulus for households and the poor results of the Treasury’s Main Street Lending Program, the recovery in the services sector of the economy has started to moderate. Industrial recovery remains strong, boosted by rebuilding inventories and demand for housing leaving home supply at record low levels. Without additional shocks to the economy, we expect the inventory rebuilding process to last several months and hopefully jumpstart a broader self-reinforcing recovery.
9
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
MID CAPITALIZATION PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Nexstar Media Group, Inc. | 3.2% |
Motorola Solutions, Inc. | 3.0% |
WillScot Mobile Mini Holdings Corp. | 3.0% |
The Timken Co. | 2.5% |
VISTRA Corp. | 2.5% |
Otis Worldwide Corp. | 2.5% |
nVent Electric PLC | 2.4% |
AMETEK, Inc. | 2.3% |
Raymond James Financial, Inc. | 2.3% |
IAA, Inc. | 2.2% |
* | Based on total net assets as of August 31, 2020. |
Excludes short-term investments.
Portfolio Composition*
The Morningstar Mid Capitalization Blend Average (“Mid Cap Blend Average”), as of August 31, 2020, consisted of 395 mutual funds comprised of mid market capitalization stocks. The Mid Cap Blend Average is not managed and it is not possible to invest directly in the Mid Cap Blend Average
The Russell Midcap® Index measures the performance of the 800 smallest companies in the Russell 1000 Index. Which represents approximately 27% of the total market capitalization of the Russell 1000 Index. As of the latest reconstitution, the average market capitalization was approximately $5.9 billion; the median market capitalization was approximately $3.2 billion. The Index had a total market capitalization range of approximately $.8 billion to $12.2 billion. Investors may not invest in the Index directly; unlike the Portfolio’s return. the Index does not reflect any fees or expenses.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
10
INVESTMENT REVIEW |
SMALL CAPITALIZATION PORTFOLIO
Advised by: Zacks Investment Management, Inc., Chicago, Illinois
Objective: The Portfolio seeks maximum capital appreciation.
Total Aggregate Return for the Period Ended August 31, 2020 | ||
Class I | ||
Inception: | 9/1/94 — 8/31/20* | 8.05% |
Ten Year: | 9/1/10 — 8/31/20* | 8.08% |
Five Year: | 9/1/15 — 8/31/20* | 5.95% |
One Year: | 9/1/19 — 8/31/20 | 9.19% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 27, 2019 is 1.44%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
In selecting securities for the Portfolio, the Adviser begins with a screening process that seeks to identify growing companies whose stocks sell at discounted price-to-earnings and price-to- cash flow multiples. The Adviser also attempts to discern situations where intrinsic asset values are not widely recognized. The Adviser favors such higher-quality companies that generate strong cash flow, provide above-average free cash flow yields and maintain sound balance sheets. Rigorous fundamental analysis, from both a quantitative and qualitative standpoint, is applied to all investment candidates. While the Adviser employs a disciplined “bottom -up” approach that attempts to identify undervalued stocks, it nonetheless is sensitive to emerging secular trends. The Adviser does not, however, rely on macroeconomic forecasts in its stock selection efforts and prefers to remain fully invested.
PORTFOLIO ADVISER COMMENTARY
Over the course of the 4th quarter of 2019, the Small Cap sector outperformed the Mid and Large Cap sectors. Investor expectations of easier monetary policy (for longer) and reduced trade headwinds led to pricing-in a potential economic acceleration, which favored many Small Caps. In the Small Cap space, Technology, Healthcare and Materials outperformed. Utilities and Financials underperformed. Our underweight to Healthcare and Materials hurt relative performance, but our overweight to Technology and our underweight to Financials helped relative performance.
Emergence of the COVID- 19 crisis during the first quarter of 2020, the lockdowns and economic disruptions that accompanied it, and the aggressive Fiscal and Monetary responses by the Congress and Federal reserve continued into the second quarter. Throughout the second quarter the markets seemingly gained confidence that the COVID crisis in its current form was not as dangerous as initially thought. Stimulus measures seemed to be proving effective in absorbing the economic shock and early steps in reopening the economy were effective in improving the unemployment situation. In this environment investors were willing to take on more risk, benefitting the Small Cap sector.
11
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
SMALL CAPITALIZATION PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Five9, Inc. | 2.9% |
Livongo Health, Inc. | 2.3% |
PennyMac Financial Services, Inc. | 2.2% |
Acushnet Holdings Corp. | 2.0% |
SPS Commerce, Inc. | 2.0% |
Fate Therapeutics, Inc. | 1.9% |
Molina Healthcare, Inc. | 1.9% |
Installed Building Products, Inc. | 1.9% |
TopBuild Corp. | 1.9% |
Generac Holdings, Inc. | 1.8% |
* | Based on total net assets as of August 31, 2020. |
Excludes short-term investments.
Portfolio Composition*
The Morningstar Small Blend Average (“Small Blend Average”), as of August 31, 2020, consisted of 648 mutual funds comprised of small market capitalization stocks. The Small Blend Average is not managed and it is not possible to invest directly in the Small Blend Average.
The Russell 2000 Index is comprised of the 2,000 smallest U.S domicile publicly traded common stock which are included in the Russell 3000 Index. The common stock included in the Russell 2000 Index represent approximately 10% of the U.S equity market as measured by market capitalization. The Russell 3000 Index is an unmanaged index of the 3,000 largest U.S domicile publicity traded common stocks by market capitalization representing approximately 98% of the U.S publicity traded equity market. The Russell 2000 Index is an unmanaged index which does not include fees and expenses, and whose performance reflects reinvested dividends. Investors may not invest in the Index directly.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
12
INVESTMENT REVIEW |
INTERNATIONAL EQUITY PORTFOLIO
Advised by: Smith Group Asset Management, Dallas, Texas
Objective: The Portfolio seeks long-term capital appreciation.
Total Aggregate Return for the Period Ended August 31, 2020 | ||
Class I | ||
Inception: | 9/1/94 — 8/31/20* | 0.76% |
Ten Year: | 9/1/10 — 8/31/20* | 0.22% |
Five Year: | 9/1/15 — 8/31/20* | -0.70% |
One Year: | 9/1/19 — 8/31/20 | 1.80% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 27, 2019 is 1.61%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Adviser seeks to purchase reasonably valued stocks it believes have the ability to accelerate earnings growth and exceed investor expectations. The Adviser utilizes a three step process in stock selection. First, the Adviser reviews a series of screens utilizing the Adviser’s investment models, which are based on fundamental characteristics, designed to eliminate companies that the Adviser’s research shows have a high probability of underperformance. Factors considered when reviewing the screens include a multi-factor valuation framework, earnings quality, capital structure and financial quality. Next, securities that pass the initial screens are then evaluated to try to identify stocks with the highest probability of producing an earnings growth rate that exceeds investor expectations. This process incorporates changes in earnings expectations and earnings quality analysis. Finally, these steps produce a list of eligible companies which are subjected to analysis by the Adviser to further understand each company’s business prospects and earnings potential. A stock is sold when it no longer meets the Adviser’s criteria.
PORTFOLIO ADVISER COMMENTARY
Region performance during the annual period within the International Equity space varied widely with Emerging Asia up double-digits and Emerging Americas down over 20%. Emerging Asia was the portfolio’s best absolute performer, thanks to large gains in India and China. Three of the top five individual performers in the portfolio hailed from this region. Emerging Americas had the worst showing on an absolute basis but the best on a relative basis. Developed Europe was the worst performing region on a relative basis. From a sector standpoint, Consumer Discretionary and Health Care were the top performing sectors while Communication Services and Information Technology were the largest detractors.
The portfolio’s largest overweight is to Financials while the largest underweight is to Industrials. Over the course of the period, the Fund weight to Emerging Asia increased the most and the weight to Developed Americas decreased the most.
13
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
INTERNATIONAL EQUITY PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Telefonaktiebolaget LM Ericsson | 3.0% |
Sony Corp. | 3.0% |
JD.com, Inc. | 2.9% |
Lenovo Group Ltd. | 2.9% |
Otsuka Corp. | 2.9% |
HUSQVARNA AB | 2.8% |
Carlsberg A/S | 2.7% |
Weichai Power Co Ltd. | 2.7% |
Macquarie Group Ltd. | 2.6% |
BHP Group Ltd. | 2.6% |
* | Based on total net assets as of August 31, 2020. |
Excludes short-term investments.
Portfolio Composition*
MSCI ACWI ex USA Index captures large and mid cap representation across 22 of 23 Developed Markets countries (excluding the US) and 21 Emerging Markets countries. With 1,824 constituents, the index covers approximately 85% for the global equity opportunity set outside the US.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
14
INVESTMENT REVIEW |
HEALTH & BIOTECHNOLOGY PORTFOLIO
Advised by: Oak Associates, Ltd., Akron, Ohio
Objective: The Portfolio seeks long-term capital growth.
Total Aggregate Return for the Period Ended August 31, 2020 | ||
Class I | ||
Inception: | 1/28/03 — 8/31/20* | 8.54% |
Ten Year: | 9/1/10 — 8/31/20* | 11.97% |
Five Year: | 9/1/15 — 8/31/20* | 4.48% |
One Year: | 9/1/19 — 8/31/20 | 13.22% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 27, 2019 is 1.82%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Adviser utilizes a top -down investment approach focused on long-term economic trends. The Adviser begins with the overall outlook for the economy, then seeks to identify specific industries with attractive characteristics and long-term growth potential. Ultimately, the Adviser seeks to identify high-quality companies within the selected industries and to acquire them at attractive prices. The Adviser’s stock selection process is based on an analysis of individual companies’ fundamental values, such as earnings growth potential and the quality of corporate management.
PORTFOLIO ADVISER COMMENTARY
The Healthcare industry remains in the spotlight as COVID-19 cases have jumped recently with increased economic activity and students returning to schools and campuses. Within the sector, companies in the Tools & Services category have seen strength as testing labs re-open and doctors return to scheduling elective procedures that were cancelled at the outset of the pandemic. Traditional Pharmaceutical and Biotechnology companies have lagged after bouncing strongly off lows in April as they raced to find treatments and cures for Covid-19. Longer term, we expect increased capital spending will flow towards the Healthcare sector as we re-arm for the next crisis, potentially creating a strong backdrop for the industry looking out over the next three to five years. The effort to ‘flatten the curve’ and prevent the healthcare system from being over-run has been largely successful on the medical front, however, the adverse economic impact has been historic. That said, the economy is beginning to regain its footing as we are learning to better work, live and play with COVID-19 through a growth in knowledge as well as improved processes such as social distancing and cleaning protocols. Many uncertainties remain, though, from a permanent COVID-19 solution (vaccine or treatment protocol), to the pace of the economic recovery and of course the upcoming election. All of these and more have the potential to impact markets in the short run. More importantly for the long-term, the healing has begun, and we believe the stage is set favorably for equities on the back of low rates, no inflation and the likelihood of further stimulus.
15
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
HEALTH & BIOTECHNOLOGY PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Amgen, Inc. | 5.3% |
Biogen, Inc. | 5.2% |
Charles River Laboratories International, Inc. | 5.0% |
McKesson Corp. | 5.0% |
GlaxoSmithKline PLC | 4.6% |
Cigna Corp. | 4.6% |
Gilead Sciences, Inc. | 4.5% |
Pfizer, Inc. | 4.2% |
Medtronic PLC | 4.2% |
Novartis AG | 3.9% |
* | Based on total net assets as of August 31, 2020. |
Excludes short-term investments.
Portfolio Composition*
The S&P 500®Healthcare Index is a widely-recognized, unmanaged, equally-weighted Index, adjusted for capital gains distribution and income dividends, of securities of companies engaged in the healthcare/biotechnology and medical industries. Index returns assume reinvestment of dividends; unlike the Portfolio’s returns, however, Index returns do not reflect any fees or expenses. Such costs would lower performance. It is not possible to invest directly in an Index.
The S&P 500™ Index is an unmanaged index. Index returns assume reinvestment of dividends. Investors may not invest in the Index directly; unlike the Portfolio’s returns, the Index does not reflect any fees or expenses.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
16
INVESTMENT REVIEW |
TECHNOLOGY & COMMUNICATIONS PORTFOLIO
Advised by: Oak Associates, Ltd., Akron, Ohio
Objective: The Portfolio seeks long-term growth of capital.
Total Aggregate Return for the Period Ended August 31, 2020 | ||
Class I | ||
Inception: | 1/7/03 — 8/31/20* | 14.06% |
Ten Year: | 9/1/10 — 8/31/20* | 18.20% |
Five Year: | 9/1/15 — 8/31/20* | 21.05% |
One Year: | 9/1/19 — 8/31/20 | 35.28% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 27, 2019 is 1.68%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
In buying and selling securities for the Portfolio, the Adviser relies on fundamental analysis of each issuer and its potential for success in light of its current financial condition, its industry position and economic and market conditions. Factors considered include growth potential, earnings, valuation, competitive advantages and management.
PORTFOLIO ADVISER COMMENTARY
Over the past several years, we have observed that Technology’s continued leadership has consolidated to the point where a few of the largest companies have been doing the heavy lifting of pulling markets higher. Today, the five largest companies (all Technology sector names) in the S&P 500 represent over 22% of the index. Extremes such as these can persist but tend not to go on indefinitely, as size ultimately becomes an impediment to growth. We believe attractive long-term growth characteristics will continue to draw investors to technology- oriented companies, but we are watching closely for a transition of leadership to relatively smaller players and other exciting areas such as Fintech (Financial Technology) as cashless transactions have benefitted handsomely in this environment.
Despite the turmoil of 2020, the current backdrop continues to be potentially supportive of equities overall. Rates are low, there is little inflation and large amounts of stimulus have been injected into the system. Further, the Fed has made clear their intention of keeping interest rates low, and we will likely see further fiscal stimulus before calendar year end. As a result, we expect those companies that have been winners to continue in that role for now, though we remain vigilant in watching for signs of a change in this leadership.
17
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
TECHNOLOGY & COMMUNICATIONS PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Amazon.com, Inc. | 9.8% |
Apple, Inc. | 8.7% |
Alphabet, Inc. - Class C | 7.3% |
Facebook, Inc. | 6.4% |
Alphabet, Inc. - Class A | 4.8% |
Microsoft Corp. | 4.3% |
QUALCOMM, Inc. | 4.1% |
Xilinx, Inc. | 3.6% |
Oracle Corp. | 3.4% |
eBay, Inc. | 3.4% |
* | Based on total net assets as of August 31, 2020. |
Excludes short-term investments.
Portfolio Composition*
The Lipper Science & Technology Funds Index is an equal-weighted performance Index, adjusted for capital gain distribution and income dividends, of the largest qualifying funds within the Science and Technology fund classification, as defined by Lipper. Indexes are not managed and it is not possible directly in an Index.
The S&P 500™ Index is an unmanaged index. Index returns assume reinvestment of dividends. Investors may not invest in the Index directly; unlike the Portfolio’s returns, the Index does not reflect any fees or expenses.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
18
INVESTMENT REVIEW |
ENERGY & BASIC MATERIALS PORTFOLIO
Advised by: Smith Group Asset Management, Dallas, Texas
Objective: The Portfolio seeks long-term growth of capital.
Total Aggregate Return for the Period Ended August 31, 2020 | ||
Class I | ||
Inception: | 1/7/03 — 8/31/20* | 2.30% |
Ten Year: | 9/1/10 — 8/31/20* | -3.12% |
Five Year: | 9/1/15 — 8/31/20* | -7.02% |
One Year: | 9/1/19 — 8/31/20 | -18.50% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 27, 2019 is 3.07%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Adviser employs quantitative and qualitative analysis that seeks to identify reasonably valued, high quality companies within the energy and basic materials sectors. The Adviser’s selection process incorporates a multi-factor valuation framework, capital structure, and financial quality analysis. The valuation framework includes, but is not limited to, analysis of price to earnings, price to sales, price to book, and price to operating cash flow. Valuation methodology is industry-specific within the energy and basic materials sectors. This process produces a list of eligible companies which are then subjected to analysis by the Adviser to further understand each company’s business prospects and earnings potential. The Adviser uses the results of this analysis to construct the Portfolio’s security positions.
PORTFOLIO ADVISER COMMENTARY
The past 12-months have provided dramatic shifts in both economic and market fundamentals. A year ago, the global economy was exiting a period of flat year-over-year earnings and markets were off to a good start. In January, COVID-19 did not feel like a real threat to the US economy as it was taking place on the other side of the world and only causing modest supply-chain disruptions. COVID-19 proved to be a threat to our collective health, economy and, by extension, our livelihood and assets. The recession that began in February likely ended rather quickly thanks to unprecedented fiscal and monetary efforts. The first half of 2020 saw the steepest global recession in recorded economic history, including the two World Wars and the Great Depression of the 1930s. The good news is that the third quarter looks positive. The point is not that the economy is great. There are still lots of things that can go wrong, but some segments are getting better, and that improvement tends to support stock prices.
For the period, the Energy sector was down double-digits, while the Materials sector was up double-digits. West Texas Intermediate Crude (“WTI”) experienced huge price swings and for the year fell 22% from $55 to $43. Energy prices are still fighting the demand shock from the global Coronavirus pandemic. The portfolio’s Energy holdings (58% of portfolio weight on average) fell 29.3% for the year. Oil and Gas Storage and Transportation holdings were the top performers, returning -7.7%. Integrated Oil and Gas is the largest overweight and the largest underweight is to Oil and Gas Storage and Transportation. The portfolio’s Basic Materials holdings (40% of portfolio weight on average) returned 5.3% for the year. Diversified Chemicals were the biggest relative return contributors while Gold stocks were the best absolute performers. The largest overweight is to Containers and Packaging while the largest underweight is to Metals and Mining.
19
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
ENERGY & BASIC MATERIALS PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
BHP Group Ltd. | 5.2% |
Exxon Mobil Corp. | 4.7% |
TOTAL SA - ADR | 4.7% |
Chevron Corp. | 4.4% |
Enbridge, Inc. | 3.9% |
CNOOC Ltd. - ADR | 3.8% |
Linde PLC | 3.8% |
LUKOIL PJSC | 3.5% |
LyondellBasell Industries NV | 3.0% |
BP PLC | 2.9% |
* | Based on total net assets as of August 31, 2020. |
Excludes short-term investments.
Portfolio Composition*
The Lipper Natural Resources Funds Index is an equal-weighted performance Index, adjusted for capital gain distributions and income dividends, of the largest qualifying funds within the Natural Resources fund classification, as defined by Lipper. Indexes are not managed and it is not possible to invest directly in an Index.
The S&P 500™ Index is an unmanaged index. Index returns assume reinvestment of dividends. Investors may not invest in the Index directly; unlike the Portfolio’s returns, the Index does not reflect any fees or expenses.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
20
INVESTMENT REVIEW |
FINANCIAL SERVICES PORTFOLIO
Advised by: Smith Group Asset Management, Dallas, Texas
Objective: The Portfolio seeks long-term growth of capital.
Total Aggregate Return for the Period Ended August 31, 2020 | ||
Class I | ||
Inception: | 1/7/03 — 8/31/20* | 2.05% |
Ten Year: | 9/1/10 — 8/31/20* | 5.60% |
Five Year: | 9/1/15 — 8/31/20* | 2.32% |
One Year: | 9/1/19 — 8/31/20 | -9.60% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 27, 2019 is 3.41%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Adviser employs quantitative and qualitative analysis that seeks to identify reasonably valued, high quality financial services companies that it believes have the ability to accelerate earnings growth and exceed investor expectations. The Adviser’s selection process consists of three steps. First, the Adviser reviews a series of screens utilizing the Adviser’s investment models, which are based on fundamental characteristics designed to eliminate companies that the Adviser’s research shows have a high probability of underperformance. Factors considered when reviewing the screens include a multi-factor valuation framework, earnings quality, and capital structure. The valuation framework includes, but is not limited to, analysis of price to earnings, price to sales, price to book, cash held to price and various cash flow ratios. Valuation methodology is industry-specific within the financial services sector. Next, securities that pass the initial screens are then evaluated to try to identify stocks with the highest probability of producing an earnings growth rate that exceeds investor expectations. This process incorporates changes in earnings expectations and earnings quality analysis. Finally, these steps produce a list of eligible companies which are subjected to analysis by the Adviser to further understand each company’s business prospects and earnings potential. The Adviser uses the results of this analysis to construct the Portfolio’s security positions.
PORTFOLIO ADVISER COMMENTARY
The past 12-months have provided dramatic shifts in both economic and market fundamentals. A year ago, the global economy was exiting a period of flat year-over-year earnings and markets were off to a good start. In January, COVID-19 did not feel like a real threat to the US economy as it was taking place on the other side of the world and only causing modest supply-chain disruptions. COVID-19 proved to be a threat to our collective health, economy and, by extension, our livelihood and assets. The recession that began in February likely ended rather quickly thanks to unprecedented fiscal and monetary efforts. The first half of 2020 saw the steepest global recession in recorded economic history, including the two World Wars and the Great Depression of the 1930s. The good news is that the third quarter looks positive. The point is not that the economy is great. There are still lots of things that can go wrong, but some segments are getting better, and that improvement tends to support stock prices.
During the period, Financial Services companies significantly trailed the broad market averages as the sector fell while equities generally performed very well. The portfolio had favorable stock selection in capital markets companies but an underweight to insurance brokers, one of the top performing groups in the financial services sector, proved a significant drag on performance. Financial Exchanges and Data was the top performing group in the portfolio on a relative basis and absolute basis, returning 35.3%, as financial market trading activity expanded dramatically with the market sell-off that began in February 2020. Multi-line Insurance was the weakest performing group in the portfolio. The portfolio is positioned with an underweight to Diversified Banks (the largest banks) and an overweight to Asset Management and Custody Banks.
21
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
FINANCIAL SERVICES PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Berkshire Hathaway, Inc. | 11.8% |
S&P Global, Inc. | 5.5% |
Bank of America Corp. | 4.3% |
JPMorgan Chase & Co. | 4.2% |
Intercontinental Exchange, Inc. | 4.2% |
BlackRock, Inc. | 4.0% |
Citigroup, Inc. | 3.9% |
Wells Fargo & Co. | 3.5% |
Ameriprise Financial, Inc. | 3.3% |
US Bancorp | 3.3% |
* | Based on total net assets as of August 31, 2020. |
Excludes short-term investments.
Portfolio Composition*
The Lipper Financial Services Funds Index is an equal, dollar-weighted Index of the 30 largest mutual funds within the Financial Services fund classification defined by Lipper. The Index is adjusted for the reinvestment of capital gains income dividends. Indexes are not managed and it is not possible to invest directly in an Index.
The S&P 500™ Index is an unmanaged index. Index returns assume reinvestment of dividends. Investors may not invest in the Index directly; unlike the Portfolio’s returns, the Index does not reflect any fees or expenses.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
22
INVESTMENT REVIEW |
INVESTMENT QUALITY BOND PORTFOLIO
Advised by: Saratoga Capital Management, LLC, Goodyear, Arizona
Objective: The Portfolio seeks current income and reasonable stability of principal.
Total Aggregate Return for the Period Ended August 31, 2020 | ||
Class I | ||
Inception: | 9/1/94 — 8/31/20* | 3.63% |
Ten Year: | 9/1/10 — 8/31/20* | 1.33% |
Five Year: | 9/1/15 — 8/31/20* | 1.66% |
One Year: | 9/1/19 — 8/31/20 | 3.24% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 27, 2019 is 1.37%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
As of March 7, 2018, the Portfolio is a “fund of funds.” The Portfolio’s main investment strategy is to invest in unaffiliated registered investment companies and exchange -traded funds (“ETFs”) (the “Underlying Funds”). The Portfolio will normally invest at least 80% of its total assets in Underlying Funds which invest in investment grade fixed-income securities or mortgage pass-through securities rated within the four highest grades by Moody’s Investors Service, Inc. (“Moody’s”), Standard & Poor’s Corporation (“S&P”) or Fitch Inc. (“Fitch”) or, if not rated, securities considered by an Underlying Fund’s adviser to be of comparable quality. In deciding which Underlying Funds to buy, hold or sell in pursuing the Portfolio’s investment objective, the Manager considers economic developments, interest rate trends, and performance history of an Underlying Fund’s management team, among other factors. The average maturity of the securities held by an Underlying Fund will generally range from three to ten years. In addition, the Portfolio may invest up to 5% of its net assets in Underlying Funds that invest in fixed-income securities of any grade, including those that are rated lower than investment grade at the time of purchase, commonly known as “junk bonds.”
PORTFOLIO ADVISER COMMENTARY
As the Fed has lowered the federal funds (FF) rate, short-term rates have declined from recent highs and have stabilized around their near-term lows. Intermediate rates and long-term rates have been increasing from their recent lows. Most of the interest rate yield curve has achieved near term lows and started to advance across the spectrum. As the economy regains its footing and inflation remains low, yield spreads should be able to advance; however, we do not expect that advance to find its upper range until the economy shows it is resolute. Regarding long-term corporate bonds, the quality spread as measured by Baa bonds minus Aaa bonds continues to change rapidly. The quality spread has historically been a good predictor of confidence in the corporate bond market and helps us establish a baseline expectation for corporate earnings. During the second week of April the spread hit a cycle high of 1.95 and then settled in near 1. 00 during September. This is a more comforting level for the spread, but we need to see the trend decline further before we will believe it is signaling ‘all clear.’ We continue to watch this metric closely as we gauge potential uncertainty in corporate earnings, and the general economy.
We believe the interest rate environment has improved slightly for bonds, though we see a positive case for short-term bonds and a negative case for longer-term bonds.
The Saratoga Investment Quality Bond Portfolio utilizes Saratoga’s dynamic allocation process to allocate to the Portfolio’s underlying funds. Currently the Portfolio’s allocation is overweight the short-term bond strategy with a lesser allocation to the intermediate-term bond strategy and no allocation to the long-term bond strategy. During the period, the portfolio removed its floating rate bond position.
23
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
INVESTMENT QUALITY BOND PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Vanguard Short-Term Bond Index Fund | 78.5% |
Vanguard Intermediate-Term Bond Index Fund | 17.4% |
* | Based on total net assets as of August 31, 2020. |
Excludes short-term investments.
Portfolio Composition*
The Lipper Short-Intermediate Investment Grade Debt Funds Index consists of the 30 largest mutual funds that invest at least 65% of their assets in investment grade debt issues (rated in the top four grades) with dollar-weighted average maturities of 1 to 5 years. Indexes are not managed and it is not possible to invest directly in an Index.
The Barclays Intermediate Government/ Credit Bond Index is composed of the bonds in the Barclays Government/Credit Bond Index that have maturities between 1 and 9.99 years. The Barclays Government/Credit Bond Index consist of approximately 5,400 issues. The securities must be investment grade (BAA or higher) with amounts outstanding in excess of $1 million and have at least one year to maturity. The Barclays Index is an unmanaged index which does not included fees and expenses. Investor may not invest directly in the Index.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
24
INVESTMENT REVIEW |
MUNICIPAL BOND PORTFOLIO
Advised by: Saratoga Capital Management, LLC, Goodyear, Arizona
Objective: The Portfolio seeks a high level of interest income that is excluded from federal income taxation
to the extent consistent with prudent investment management and the preservation of capital.
Total Aggregate Return for the Period Ended August 31, 2020 | ||
Class I | ||
Inception: | 9/1/94 — 8/31/20* | 2.65% |
Ten Year: | 9/1/09 — 8/31/20* | 0.41% |
Five Year: | 9/1/14 — 8/31/20* | 0.14% |
One Year: | 9/1/18 — 8/31/20 | 0.77% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 27, 2019, is 3.02%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
As of March 7, 2018, the Portfolio is a “fund of funds.” The Portfolio’s main investment strategy is to invest in unaffiliated registered investment companies and exchange-traded funds (“ETFs”) (the “Underlying Funds”). As a matter of fundamental policy, the Portfolio will normally invest at least 80% of its total assets in securities that pay interest exempt from federal income taxes. The Manager generally invests the Portfolio’s assets in Underlying Funds that invest in municipal obligations. There are no maturity limitations on the securities held by the Underlying Funds. Municipal obligations are bonds, notes or short-term commercial paper issued by state governments, local governments, and their respective agencies. In pursuing the Portfolio’s investment objective, the Manager has considerable leeway in deciding which Underlying Funds it buys, holds or sells on a day-to-day basis. The Underlying Fund’s adviser will invest primarily in municipal bonds rated within the four highest grades by Moody’s Investors Service, Inc. (“Moody’s”), Standard & Poor’s Corporation (“S&P”) or Fitch Inc. (“Fitch”) or, if not rated, of comparable quality in the opinion of an Underlying Fund’s adviser. An Underlying Fund may invest without limit in municipal obligations such as private activity bonds that pay interest income subject to the “alternative minimum tax,” although the Portfolio does not currently expect to invest more than 20% of its total assets in such instruments.
PORTFOLIO ADVISOR COMMENTARY
As the Fed has lowered the federal funds (FF) rate, short-term rates have declined from recent highs and have stabilized around their near-term lows. Intermediate rates and long-term rates have been increasing from their recent lows. Most of the interest rate yield curve has achieved near term lows and started to advance across the spectrum. As the economy regains its footing and inflation remains low, yield spreads should be able to advance; however, we do not expect that advance to find its upper range until the economy shows it is resolute.
We believe the Fed has started a wave of monetary inflation. While this inflationary pressure should not present a near-term danger, the Fed is in a potentially precarious position in the long-term, where they will need to deftly time monetary policy to avoid rapid consumer inflation. Inflation, as measured by the consumer price index (CPI), was up only 1.31% y-o-y in August 2020, while CPI Less Food & Energy (Core CPI) was up 1.73%. The Fed favors the Core CPI over the headline CPI because it believes that food and energy are overly volatile parts of the CPI. Over the near-term, we believe inflation should remain muted, keeping it below the Fed’s target rate of 2%. We find that there are three highly correlative wage growth measures to CPI; while wage growth signals are mixed, certain wage growth indicators are negative enough to suggest muted CPI and a Fed with room to remain accommodative.
We believe the interest rate environment has improved slightly for bonds, though we see a positive case for short-term bonds and a negative case for longer-term bonds.
The Saratoga Municipal Bond Portfolio utilizes Saratoga’s dynamic allocation process to allocate to the Portfolio’s underlying funds. Currently the Portfolio’s allocation is overweight the short-term municipal bond strategy with a lesser allocation to the intermediate-term municipal bond strategy and no allocation to the long-term bond strategy. During the period, the Portfolio removed its floating-rate bond position.
25
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
MUNICIPAL BOND PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Vanguard Short-Term Tax-Exempt Fund | 71.7% |
Vanguard Intermediate-Term Tax-Exempt Fund | 21.2% |
* | Based on total net assets as of August 31, 2020. |
Excludes short-term investments.
Portfolio Composition*
The Lipper General Municipal Debt Funds Index consists of the 30 largest mutual funds that invest at least 65% of their assets in municipal debt issues in the top four credit rating. Indexes are not managed, and it is not possible to invest directly in the Index.
The Barclays Municipal Bond Index consist of approximately 25,000 municipal bonds which are selected to be representative of the long-term, investment grade tax-exempt bond market. The bonds selected for the index have the following characteristic: a minimum credit rating of at least Baa; an original issue of at least $50 million; at least $3 million of the issue outstanding; issued within the last five years; and a maturity of at least one year. The Barclays Index is an unmanaged index which does not include fees and expenses. Investors may nit invest directly in the Index.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
26
INVESTMENT REVIEW |
U.S. GOVERNMENT MONEY MARKET PORTFOLIO
Advised by: CLS Investments, LLC, Omaha, Nebraska
Objective: The U.S. Government Money Market Portfolio seeks to provide maximum current income to the
extent consistent with the maintenance of liquidity and the preservation of capital.
7-Day Compounded Yield¹ | U.S. Government Money Market Portfolio (Class I) |
8/31/20 | 0.01% |
Total Aggregate Return for the Period Ended August 31, 2020 | ||
�� | Class I | |
Inception: | 9/1/94 — 8/31/20* | 1.77% |
Ten Year: | 9/1/10 — 8/31/20* | 0.16% |
Five Year: | 9/1/15 — 8/31/20* | 0.32% |
One Year: | 9/1/19 — 8/31/20 | 0.20% |
1 | The current 7-day yield more closely reflects the current earnings of the Portfolio than the total return quotation. |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 27, 2019 is 1.24%.
An investment in the U.S. Government Money Market Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the U.S. Government Money Market Portfolio seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Portfolio.
27
INVESTMENT REVIEW |
AGGRESSIVE BALANCED ALLOCATION PORTFOLIO
Advised by: Saratoga Capital Management, LLC, Goodyear, Arizona
Objective: The Portfolio seeks total return consisting of capital appreciation and income.
Total Aggregate Return for the Period Ended August 31, 2020 | ||
Class I | ||
Inception: | 1/4/18 — 8/31/20*+ | 3.87% |
One Year: | 9/1/19 — 8/31/20 | 8.76% |
* | Annualized performance for periods greater than one year. |
+ | Commencement of offering is December 29, 2017. Start of performance is January 4, 2018. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 27, 2019 is 3.65%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio is a “fund of funds.” The Portfolio’s main investment strategy is to invest in other Saratoga Advantage Trust mutual funds (the “Saratoga Funds”) and/or unaffiliated registered investment companies and exchange-traded funds (“ETFs”) (together with the Saratoga Funds, the “Underlying Funds”). The Portfolio’s Manager allocates the Portfolio’s investments in Underlying Funds based on a propriety asset allocation model developed by the Manager (the “SaratogaSHARP® model”). Consistent with the SaratogaSHARP® model, the Manager allocates the Portfolio’s investments based on an analysis of capital markets that includes an examination of current economic conditions, historical asset class behavior and current market assumptions. In constructing the Portfolio, the Manager typically allocates assets among asset classes in the following investment categories: core equity, sector equity, fixed income, money market and alternative investments. Currently, the Manager intends to allocate approximately 44.25%-64.25% of the Portfolio’s assets to core equity investments; 8.75%-18.75% to sector equity investments; 2%-10% to fixed income investments; 5%-15% to money market investments and 11%-21% to alternative investments. The Portfolio will invest in equity, fixed income and alternative instruments through its investments in the Underlying Funds. The Manager regularly evaluates how individual economic sectors and statistics are effecting the general economy and markets in order to develop the asset allocation parameters. Accordingly, asset allocation parameters may vary widely over time in response to changing market and/or economic conditions. The sectors in which the Portfolio typically invests include: health and biotechnology, technology and communications, financial services, energy and basic materials and global real estate.
PORTFOLIO ADVISOR COMMENTARY
As measured by Real Gross Domestic Product (GDP), the value of the production of goods and services in the United States declined by an annualized growth rate (AGR) of -31.4% during the second quarter of 2020. Most sectors of our economy were either shut down or working with a skeleton crew. As economies reopened in the third quarter, the bounce-back in many metrics was sharp, though there are signs the recovery is slowing. Personal Consumption Expenditures (PCE) 3-month annualized percent change has averaged more than 45% for the past 2 months. New Home Sales were up to an annualized cycle-high of over 1 million sales in August; Housing Permits and Housing Starts are also approaching cycle highs. The auto industry suffered a massive decline in production from November 2019 to April 2020, but has recovered each month since, with a respectable cycle high in July 2020. Retail Sales and Total Manufacturing New Orders of Durable Goods are up more than 25% from recent lows. Unemployment declined from 14.7% in April to 7.9% in September, and the number or people unemployed has dropped by over 45% from April. Unemployment claims is an important leading indicator in our work, specifically the 4-week sum of weekly Initial Claims data. That number has dropped to 3.4m from a pandemic peak of over 23 million claims. For perspective, the historic average from 1967 to present is about 1.4m. While we may be leveling off from an initially sharp, ‘V-shaped’ recovery, many important economic indicators continue to march back towards their pre-pandemic levels. The Federal Reserve Open Market Committee (the Committee) released the following statement, in part, at its September 16, 2020 meeting: “The Committee seeks to achieve maximum employment and inflation at the rate of 2 percent over the longer run. With inflation running persistently below this longer-run goal, the Committee will aim to achieve inflation moderately above 2 percent for some time so that inflation averages 2 percent over time and longer-term inflation expectations remain well anchored at 2 percent.” The Fed’s language around inflation has meaningfully changed recently from symmetric targeting to an average targeting environment in which inflation above targets may be deemed acceptable for a period of time. A few days later, the Federal Reserve (Fed) released a subsequent statement: “The Federal Reserve is committed to using its full range of tools to support the U.S. economy in this challenging time, thereby promoting its maximum employment and price stability goals… Overall financial conditions have improved in recent months, in part reflecting policy measures to support the economy and the flow of credit to U.S. households and businesses.” The Fed continues to sustain historic balance sheet levels.
We rely on roughly 50 macro-economic indicators when assembling our allocation strategy for the Saratoga Asset Allocation Portfolios. These indicators fall into four categories: monetary policy, interest rates, valuations, and inflation. As of the annual period ending August 31, 2020, we believe monetary policy statistics are neutral for the stock and bond sectors, interest rates statistics are slightly positive for the stock sector and neutral for the bond sector, valuation statistics are slightly positive for the stock sector, and inflation statistics are slightly positive for the stock sector and neutral for the bond sector.
28
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
AGGRESSIVE BALANCED ALLOCATION PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Saratoga Large Capitalization Growth Portfolio, Class I | 25.8% |
Vanguard Value Index Fund | 19.2% |
Saratoga Mid Capitalization Portfolio, Class I | 8.1% |
Vanguard Total Bond Market Index Fund | 5.7% |
Vanguard Small-Cap Index Fund | 5.1% |
James Alpha Macro Portfolio, Class I | 5.0% |
Vanguard Total International Stock Index Fund | 4.4% |
Saratoga Technology & Communications Portfolio, Class I | 4.0% |
Saratoga Health & Biotechnology Portfolio, Class I | 3.3% |
Vanguard Financials Index Fund | 2.5% |
* | Based on total net assets as of August 31, 2020. |
Excludes short-term investments.
Portfolio Composition*
The Morningstar US Fund Allocation 70% -85% Equity Category seeks to provide income and capital appreciation by investing in multiple asset classes. The Funds typically have 70%-85% equity exposure in domestic holdings.
The Morningstar Moderately Aggressive Target Risk Index represents a portfolio of global equities, bonds and traditional inflation hedges such as commodities and TIPS. This portfolio is held in a static allocation appropriate for U.S. investors who seek a slightly above-average exposure to equity market risk and returns.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
29
INVESTMENT REVIEW |
CONSERVATIVE BALANCED ALLOCATION PORTFOLIO
Advised by: Saratoga Capital Management, LLC, Goodyear, Arizona
Objective: The Portfolio seeks total return consisting of capital appreciation and income.
Total Aggregate Return for the Period Ended August 31, 2020 | ||
Class I | ||
Inception: | 1/4/18 — 8/31/20*+ | 4.14% |
One Year: | 9/1/19 — 8/31/20 | 7.45% |
* | Annualized performance for periods greater than one year. |
+ | Commencement of offering is December 29, 2017. Start of performance is January 4, 2018. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 27, 2019 is 2.23%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio is a “fund of funds.” The Portfolio’s main investment strategy is to invest in other Saratoga Advantage Trust mutual funds (the “Saratoga Funds”) and/or unaffiliated registered investment companies and exchange-traded funds (“ETFs”) (together with the Saratoga Funds, the “Underlying Funds”). The Portfolio’s Manager allocates the Portfolio’s investments in Underlying Funds based on a propriety asset allocation model developed by the Manager (the “SaratogaSHARP® model”). Consistent with the SaratogaSHARP® model, the Manager allocates the Portfolio’s investments based on an analysis of capital markets that includes an examination of current economic conditions, historical asset class behavior and current market assumptions. In constructing the Portfolio, the Manager typically allocates assets among asset classes in the following investment categories: core equity, fixed income, money market and alternative investments. Currently, the Manager intends to allocate approximately 40%-60% of the Portfolio’s assets to core equity investments; 8.5%-18.5% to fixed income investments, 17.5%-32.5% to money market investments and 6.5%-16.5% to alternative investments. The Manager does not currently intend to allocate any of the Portfolio’s assets to sector equity investments; however, it may do so in the future. The Portfolio will invest in equity, fixed income and alternative instruments through its investments in the Underlying Funds. The Manager regularly evaluates how individual economic sectors and statistics are affecting the general economy and markets in order to develop the asset allocation parameters. Accordingly, asset allocation parameters may vary widely over time in response to changing market and/or economic conditions.
PORTFOLIO ADVISOR COMMENTARY
As measured by Real Gross Domestic Product (GDP), the value of the production of goods and services in the United States declined by an annualized growth rate (AGR) of -31.4% during the second quarter of 2020. Most sectors of our economy were either shut down or working with a skeleton crew. As economies reopened in the third quarter, the bounce-back in many metrics was sharp, though there are signs the recovery is slowing. Personal Consumption Expenditures (PCE) 3-month annualized percent change has averaged more than 45% for the past 2 months. New Home Sales were up to an annualized cycle-high of over 1 million sales in August; Housing Permits and Housing Starts are also approaching cycle highs. The auto industry suffered a massive decline in production from November 2019 to April 2020, but has recovered each month since, with a respectable cycle high in July 2020. Retail Sales and Total Manufacturing New Orders of Durable Goods are up more than 25% from recent lows. Unemployment declined from 14.7% in April to 7.9% in September, and the number or people unemployed has dropped by over 45% from April. Unemployment claims is an important leading indicator in our work, specifically the 4-week sum of weekly Initial Claims data. That number has dropped to 3.4m from a pandemic peak of over 23 million claims. For perspective, the historic average from 1967 to present is about 1.4m. While we may be leveling off from an initially sharp, ‘V-shaped’ recovery, many important economic indicators continue to march back towards their pre-pandemic levels. The Federal Reserve Open Market Committee (the Committee) released the following statement, in part, at its September 16, 2020 meeting: “The Committee seeks to achieve maximum employment and inflation at the rate of 2 percent over the longer run. With inflation running persistently below this longer-run goal, the Committee will aim to achieve inflation moderately above 2 percent for some time so that inflation averages 2 percent over time and longer-term inflation expectations remain well anchored at 2 percent.” The Fed’s language around inflation has meaningfully changed recently from symmetric targeting to an average targeting environment in which inflation above targets may be deemed acceptable for a period of time. A few days later, the Federal Reserve (Fed) released a subsequent statement: “The Federal Reserve is committed to using its full range of tools to support the U.S. economy in this challenging time, thereby promoting its maximum employment and price stability goals… Overall financial conditions have improved in recent months, in part reflecting policy measures to support the economy and the flow of credit to U.S. households and businesses.” The Fed continues to sustain historic balance sheet levels.
We rely on roughly 50 macro-economic indicators when assembling our allocation strategy for the Saratoga Asset Allocation Portfolios. These indicators fall into four categories: monetary policy, interest rates, valuations, and inflation. As of the annual period ending August 31, 2020, we believe monetary policy statistics are neutral for the stock and bond sectors, interest rates statistics are slightly positive for the stock sector and neutral for the bond sector, valuation statistics are slightly positive for the stock sector, and inflation statistics are slightly positive for the stock sector and neutral for the bond sector.
30
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
CONSERVATIVE BALANCED ALLOCATION PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Saratoga Large Capitalization Growth Portfolio, Class I | 25.2% |
Vanguard Total Bond Market Index Fund | 21.8% |
Vanguard Value Index Fund | 15.1% |
Saratoga Mid Capitalization Portfolio, Class I | 5.3% |
James Alpha Macro Portfolio, Class I | 3.0% |
Vanguard Small-Cap Index Fund | 0.8% |
Vanguard Total International Stock Index Fund | 0.7% |
Eaton Vance Global Macro Absolute Return Fund | 0.6% |
* | Based on total net assets as of August 31, 2020. |
Excludes short-term investments.
Portfolio Composition*
The Morningstar US Fund Allocation 30%-50% Equity Category invests in both stocks and bonds and maintains a relatively smaller position in stocks. The Funds typically have 30%-50% of assets in equities and 50%-70% of assets in fixed income and cash.
The Morningstar Moderately Conservative Target Risk Index represents a portfolio of global equities, bonds and traditional inflation hedges such as commodities and TIPS. This portfolio is held in a static allocation appropriate for U.S. investors who seek a slightly below-average exposure to equity market risk and returns.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
31
INVESTMENT REVIEW |
MODERATE BALANCED ALLOCATION PORTFOLIO
Advised by: Saratoga Capital Management, LLC, Goodyear, Arizona
Objective: The Portfolio seeks total return consisting of capital appreciation and income.
Total Aggregate Return for the Period Ended August 31, 2020 | ||
Class I | ||
Inception: | 1/4/18 — 8/31/20*+ | 4.81% |
One Year: | 9/1/19 — 8/31/20 | 8.93% |
* | Annualized performance for periods greater than one year. |
+ | Commencement of offering is December 29, 2017. Start of performance is January 4, 2018. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 27, 2019 is 2.73%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio is a “fund of funds.” The Portfolio’s main investment strategy is to invest in other Saratoga Advantage Trust mutual funds (the “Saratoga Funds”) and/or unaffiliated registered investment companies and exchange-traded funds (“ETFs”) (together with the Saratoga Funds, the “Underlying Funds”). The Portfolio’s Manager allocates the Portfolio’s investments in Underlying Funds based on a propriety asset allocation model developed by the Manager (the “SaratogaSHARP® model”). Consistent with the SaratogaSHARP® model, the Manager allocates the Portfolio’s investments based on an analysis of capital markets that includes an examination of current economic conditions, historical asset class behavior and current market assumptions. In constructing the Portfolio, the Manager typically allocates assets among asset classes in the following investment categories: core equity, sector equity, fixed income, money market and alternative investments. Currently, the Manager intends to allocate approximately 43%-63% of the Portfolio’s assets to core equity investments; 3.75%-13.75% to sector equity investments; 4%-14% to fixed income investments; 10%-20% to money market investments and 9.25%-19.25% to alternative investments. The Portfolio will invest in equity, fixed income and alternative instruments through its investments in the Underlying Funds. The Manager regularly evaluates how individual economic sectors and statistics are effecting the general economy and markets in order to develop the asset allocation parameters. Accordingly, asset allocation parameters may vary widely over time in response to changing market and/or economic conditions. The sectors in which the Portfolio typically invests include: health and biotechnology, technology and communications, financial services, energy and basic materials and global real estate.
PORTFOLIO ADVISOR COMMENTARY
As measured by Real Gross Domestic Product (GDP), the value of the production of goods and services in the United States declined by an annualized growth rate (AGR) of -31.4% during the second quarter of 2020. Most sectors of our economy were either shut down or working with a skeleton crew. As economies reopened in the third quarter, the bounce-back in many metrics was sharp, though there are signs the recovery is slowing. Personal Consumption Expenditures (PCE) 3-month annualized percent change has averaged more than 45% for the past 2 months. New Home Sales were up to an annualized cycle-high of over 1 million sales in August; Housing Permits and Housing Starts are also approaching cycle highs. The auto industry suffered a massive decline in production from November 2019 to April 2020, but has recovered each month since, with a respectable cycle high in July 2020. Retail Sales and Total Manufacturing New Orders of Durable Goods are up more than 25% from recent lows. Unemployment declined from 14.7% in April to 7.9% in September, and the number or people unemployed has dropped by over 45% from April. Unemployment claims is an important leading indicator in our work, specifically the 4-week sum of weekly Initial Claims data. That number has dropped to 3.4m from a pandemic peak of over 23 million claims. For perspective, the historic average from 1967 to present is about 1.4m. While we may be leveling off from an initially sharp, ‘V-shaped’ recovery, many important economic indicators continue to march back towards their pre-pandemic levels. The Federal Reserve Open Market Committee (the Committee) released the following statement, in part, at its September 16, 2020 meeting: “The Committee seeks to achieve maximum employment and inflation at the rate of 2 percent over the longer run. With inflation running persistently below this longer-run goal, the Committee will aim to achieve inflation moderately above 2 percent for some time so that inflation averages 2 percent over time and longer-term inflation expectations remain well anchored at 2 percent.” The Fed’s language around inflation has meaningfully changed recently from symmetric targeting to an average targeting environment in which inflation above targets may be deemed acceptable for a period of time. A few days later, the Federal Reserve (Fed) released a subsequent statement: “The Federal Reserve is committed to using its full range of tools to support the U.S. economy in this challenging time, thereby promoting its maximum employment and price stability goals… Overall financial conditions have improved in recent months, in part reflecting policy measures to support the economy and the flow of credit to U.S. households and businesses.” The Fed continues to sustain historic balance sheet levels.
We rely on roughly 50 macro-economic indicators when assembling our allocation strategy for the Saratoga Asset Allocation Portfolios. These indicators fall into four categories: monetary policy, interest rates, valuations, and inflation. As of the annual period ending August 31, 2020, we believe monetary policy statistics are neutral for the stock and bond sectors, interest rates statistics are slightly positive for the stock sector and neutral for the bond sector, valuation statistics are slightly positive for the stock sector, and inflation statistics are slightly positive for the stock sector and neutral for the bond sector.
32
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
MODERATE BALANCED ALLOCATION PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Saratoga Large Capitalization Growth Portfolio, Class I | 26.0% |
Vanguard Total Bond Market Index Fund | 14.0% |
Vanguard Value Index Fund | 13.8% |
Saratoga Mid Capitalization Portfolio, Class I | 10.6% |
Vanguard Small-Cap Index Fund | 2.6% |
Saratoga Technology & Communications Portfolio, Class I | 2.5% |
James Alpha Macro Portfolio, Class I | 2.3% |
Saratoga Health & Biotechnology Portfolio, Class I | 2.2% |
Eaton Vance Global Macro Absolute Return Fund | 2.0% |
Vanguard Total International Stock Index Fund | 1.8% |
* | Based on total net assets as of August 31, 2020. |
Excludes short-term investments.
Portfolio Composition*
The Morningstar US Fund Allocation 50%-70% Equity Category invests in stocks and bonds and maintains a relatively higher position in stocks. The Funds typically have 50%-70% of assets in equities and the remainder in fixed income and cash.
The Morningstar Moderate Target Risk Index represents a portfolio of global equities, bonds and traditional inflation hedges such as commodities and TIPS. This portfolio is held in a static allocation appropriate for U.S. investors who seek average exposure to equity market risk and returns.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
33
INVESTMENT REVIEW |
MODERATELY AGGRESSIVE BALANCED ALLOCATION PORTFOLIO
Advised by: Saratoga Capital Management, LLC, Goodyear, Arizona
Objective: The Portfolio seeks total return consisting of capital appreciation and income.
Total Aggregate Return for the Period Ended August 31, 2020 | ||
Class I | ||
Inception: | 1/4/18 — 8/31/20*+ | 3.75% |
One Year: | 9/1/19 — 8/31/20 | 8.14% |
* | Annualized performance for periods greater than one year. |
+ | Commencement of offering is December 29, 2017. Start of performance is January 4, 2018. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 27, 2019 is 3.25%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio is a “fund of funds.” The Portfolio’s main investment strategy is to invest in other Saratoga Advantage Trust mutual funds (the “Saratoga Funds”) and/or unaffiliated registered investment companies and exchange-traded funds (“ETFs”) (together with the Saratoga Funds, the “Underlying Funds”). The Portfolio’s Manager allocates the Portfolio’s investments in Underlying Funds based on a propriety asset allocation model developed by the Manager (the “SaratogaSHARP® model”). Consistent with the SaratogaSHARP® model, the Manager allocates the Portfolio’s investments based on an analysis of capital markets that includes an examination of current economic conditions, historical asset class behavior and current market assumptions. In constructing the Portfolio, the Manager typically allocates assets among asset classes in the following investment categories: core equity, sector equity, fixed income, money market and alternative investments. Currently, the Manager intends to allocate approximately 45%-65% of the Portfolio’s assets to core equity investments; 5.5%-15.5% to sector equity investments; 2.5%-12.5% to fixed income investments; 7%-17% to money market investments and 10%-20% to alternative investments. The Portfolio will invest in equity, fixed income and alternative instruments through its investments in the Underlying Funds. The Manager regularly evaluates how individual economic sectors and statistics are effecting the general economy and markets in order to develop the asset allocation parameters. Accordingly, asset allocation parameters may vary widely over time in response to changing market and/or economic conditions. The sectors in which the Portfolio typically invests include: health and biotechnology, technology and communications, financial services, energy and basic materials and global real estate.
PORTFOLIO ADVISOR COMMENTARY
As measured by Real Gross Domestic Product (GDP), the value of the production of goods and services in the United States declined by an annualized growth rate (AGR) of -31.4% during the second quarter of 2020. Most sectors of our economy were either shut down or working with a skeleton crew. As economies reopened in the third quarter, the bounce-back in many metrics was sharp, though there are signs the recovery is slowing. Personal Consumption Expenditures (PCE) 3-month annualized percent change has averaged more than 45% for the past 2 months. New Home Sales were up to an annualized cycle-high of over 1 million sales in August; Housing Permits and Housing Starts are also approaching cycle highs. The auto industry suffered a massive decline in production from November 2019 to April 2020, but has recovered each month since, with a respectable cycle high in July 2020. Retail Sales and Total Manufacturing New Orders of Durable Goods are up more than 25% from recent lows. Unemployment declined from 14.7% in April to 7.9% in September, and the number or people unemployed has dropped by over 45% from April. Unemployment claims is an important leading indicator in our work, specifically the 4-week sum of weekly Initial Claims data. That number has dropped to 3.4m from a pandemic peak of over 23 million claims. For perspective, the historic average from 1967 to present is about 1.4m. While we may be leveling off from an initially sharp, ‘V-shaped’ recovery, many important economic indicators continue to march back towards their pre-pandemic levels. The Federal Reserve Open Market Committee (the Committee) released the following statement, in part, at its September 16, 2020 meeting: “The Committee seeks to achieve maximum employment and inflation at the rate of 2 percent over the longer run. With inflation running persistently below this longer-run goal, the Committee will aim to achieve inflation moderately above 2 percent for some time so that inflation averages 2 percent over time and longer-term inflation expectations remain well anchored at 2 percent.” The Fed’s language around inflation has meaningfully changed recently from symmetric targeting to an average targeting environment in which inflation above targets may be deemed acceptable for a period of time. A few days later, the Federal Reserve (Fed) released a subsequent statement: “The Federal Reserve is committed to using its full range of tools to support the U.S. economy in this challenging time, thereby promoting its maximum employment and price stability goals… Overall financial conditions have improved in recent months, in part reflecting policy measures to support the economy and the flow of credit to U.S. households and businesses.” The Fed continues to sustain historic balance sheet levels.
We rely on roughly 50 macro-economic indicators when assembling our allocation strategy for the Saratoga Asset Allocation Portfolios. These indicators fall into four categories: monetary policy, interest rates, valuations, and inflation. As of the annual period ending August 31, 2020, we believe monetary policy statistics are neutral for the stock and bond sectors, interest rates statistics are slightly positive for the stock sector and neutral for the bond sector, valuation statistics are slightly positive for the stock sector, and inflation statistics are slightly positive for the stock sector and neutral for the bond sector.
34
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
MODERATELY AGGRESSIVE BALANCED ALLOCATION PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Saratoga Large Capitalization Growth Portfolio, Class I | 24.3% |
Vanguard Value Index Fund | 14.0% |
Saratoga Mid Capitalization Portfolio, Class I | 11.1% |
Vanguard Total Bond Market Index Fund | 10.9% |
Eaton Vance Global Macro Absolute Return Fund | 5.9% |
Vanguard Small-Cap Index Fund | 3.8% |
James Alpha Macro Portfolio, Class I | 3.5% |
Vanguard Total International Stock Index Fund | 2.8% |
Saratoga Technology & Communications Portfolio, Class I | 2.8% |
Saratoga Health & Biotechnology Portfolio, Class I | 2.7% |
* | Based on total net assets as of August 31, 2020. |
Excludes short-term investments.
Portfolio Composition*
The Morningstar US Fund Allocation 50%-70% Equity invests in stocks and bonds and maintains a relatively higher position in stocks. The Funds typically have 50%-70% of assets in equities and the remainder in fixed income and cash.
The Morningstar Moderate Target Risk Index represents a portfolio of global equities, bonds and traditional inflation hedges such as commodities and TIPS. This portfolio is held in a static allocation appropriate for U.S. investors who seek average exposure to equity market risk and returns.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
35
INVESTMENT REVIEW |
MODERATELY CONSERVATIVE BALANCED ALLOCATION PORTFOLIO
Advised by: Saratoga Capital Management, LLC, Goodyear, Arizona
Objective: The Portfolio seeks total return consisting of capital appreciation and income.
Total Aggregate Return for the Period Ended August 31, 2020 | ||
Class I | ||
Inception: | 1/10/18 — 8/31/20*+ | 3.87% |
One Year: | 9/1/19 — 8/31/20 | 7.84% |
* | Annualized performance for periods greater than one year. |
+ | Commencement of offering is December 29, 2017. Start of performance is January 10, 2018. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 27, 2019 is 2.84%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio is a “fund of funds.” The Portfolio’s main investment strategy is to invest in other Saratoga Advantage Trust mutual funds (the “Saratoga Funds”) and/or unaffiliated registered investment companies and exchange-traded funds (“ETFs”) (together with the Saratoga Funds, the “Underlying Funds”). The Portfolio’s Manager allocates the Portfolio’s investments in Underlying Funds based on a propriety asset allocation model developed by the Manager (the “SaratogaSHARP® model”). Consistent with the SaratogaSHARP® model, the Manager allocates the Portfolio’s investments based on an analysis of capital markets that includes an examination of current economic conditions, historical asset class behavior and current market assumptions. In constructing the Portfolio, the Manager typically allocates assets among asset classes in the following investment categories: core equity, fixed income, money market and alternative investments. Currently, the Manager intends to allocate approximately 48%-68% of the Portfolio’s assets to core equity investments; 5.5%-15.5% to fixed income investments, 11%-21% to money market investments and 10.5%-20.5% to alternative investments. The Manager does not currently intend to allocate any of the Portfolio’s assets to sector equity investments; however, it may do so in the future. The Portfolio will invest in equity, fixed income and alternative instruments through its investments in the Underlying Funds. The Manager regularly evaluates how individual economic sectors and statistics are effecting the general economy and markets in order to develop the asset allocation parameters. Accordingly, asset allocation parameters may vary widely over time in response to changing market and/or economic conditions.
PORTFOLIO ADVISOR COMMENTARY
As measured by Real Gross Domestic Product (GDP), the value of the production of goods and services in the United States declined by an annualized growth rate (AGR) of -31.4% during the second quarter of 2020. Most sectors of our economy were either shut down or working with a skeleton crew. As economies reopened in the third quarter, the bounce-back in many metrics was sharp, though there are signs the recovery is slowing. Personal Consumption Expenditures (PCE) 3-month annualized percent change has averaged more than 45% for the past 2 months. New Home Sales were up to an annualized cycle-high of over 1 million sales in August; Housing Permits and Housing Starts are also approaching cycle highs. The auto industry suffered a massive decline in production from November 2019 to April 2020, but has recovered each month since, with a respectable cycle high in July 2020. Retail Sales and Total Manufacturing New Orders of Durable Goods are up more than 25% from recent lows. Unemployment declined from 14.7% in April to 7.9% in September, and the number or people unemployed has dropped by over 45% from April. Unemployment claims is an important leading indicator in our work, specifically the 4-week sum of weekly Initial Claims data. That number has dropped to 3.4m from a pandemic peak of over 23 million claims. For perspective, the historic average from 1967 to present is about 1.4m. While we may be leveling off from an initially sharp, ‘V-shaped’ recovery, many important economic indicators continue to march back towards their pre-pandemic levels. The Federal Reserve Open Market Committee (the Committee) released the following statement, in part, at its September 16, 2020 meeting: “The Committee seeks to achieve maximum employment and inflation at the rate of 2 percent over the longer run. With inflation running persistently below this longer-run goal, the Committee will aim to achieve inflation moderately above 2 percent for some time so that inflation averages 2 percent over time and longer-term inflation expectations remain well anchored at 2 percent.” The Fed’s language around inflation has meaningfully changed recently from symmetric targeting to an average targeting environment in which inflation above targets may be deemed acceptable for a period of time. A few days later, the Federal Reserve (Fed) released a subsequent statement: “The Federal Reserve is committed to using its full range of tools to support the U.S. economy in this challenging time, thereby promoting its maximum employment and price stability goals… Overall financial conditions have improved in recent months, in part reflecting policy measures to support the economy and the flow of credit to U.S. households and businesses.” The Fed continues to sustain historic balance sheet levels.
We rely on roughly 50 macro-economic indicators when assembling our allocation strategy for the Saratoga Asset Allocation Portfolios. These indicators fall into four categories: monetary policy, interest rates, valuations, and inflation. As of the annual period ending August 31, 2020, we believe monetary policy statistics are neutral for the stock and bond sectors, interest rates statistics are slightly positive for the stock sector and neutral for the bond sector, valuation statistics are slightly positive for the stock sector, and inflation statistics are slightly positive for the stock sector and neutral for the bond sector.
36
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
MODERATELY CONSERVATIVE BALANCED ALLOCATION PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Saratoga Large Capitalization Growth Portfolio, Class I | 27.1% |
Vanguard Total Bond Market Index Fund | 17.9% |
Vanguard Value Index Fund | 16.6% |
Saratoga Mid Capitalization Portfolio, Class I | 11.0% |
Vanguard Small-Cap Index Fund | 4.3% |
James Alpha Macro Portfolio, Class I | 3.8% |
Vanguard Total International Stock Index Fund | 2.2% |
Eaton Vance Global Macro Absolute Return Fund | 0.2% |
* | Based on total net assets as of August 31, 2020. |
Excludes short-term investments.
Portfolio Composition*
The Morningstar US Fund Allocation 50%-70% Equity Category invests in stocks and bonds and maintains a relatively higher position in stocks. The funds typically have 50%-70% of assets in equities and the remainder in fixed income and cash.
The Morningstar Moderate Target Risk Index represents a portfolio of global equities, bonds and traditional inflation hedges such as commodities and TIPS. This portfolio is held in a static allocation appropriate for U.S. investors who seek average exposure to equity market risk and returns.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
37
INVESTMENT REVIEW |
JAMES ALPHA MACRO PORTFOLIO
Advised by: James Alpha Advisors, LLC, New York, New York
Objective: The Portfolio seeks attractive long-term risk-adjusted returns relative to traditional financial
market indices.
Total Aggregate Return for the Period Ended August 31, 2020 | ||||
One Year: | Five Year: | Inception: | Inception: | |
9/1/19 – 8/31/20 | 9/1/15 – 8/31/20* | 2/1/11 – 8/31/20* | 8/17/17 – 8/31/20* | |
Class I | -4.58% | -1.06% | 0.06% | NA |
Class S | -4.15% | NA | NA | 1.81% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 27, 2019, is 2.88% for Class I, and stated in the prospectus dated December 27, 2019, is 2.83% for Class S.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio seeks to achieve its investment objective by investing all or substantially all of its assets in the following market sectors (“Sectors”): commodities; global inflation-linked bonds; event-linked securities; global equities; emerging market bonds; emerging market currencies; high-yield bonds, quantitative, and global macro. The Manager allocates the Portfolio’s assets across the Sectors based on the Manager’s forecasted return and risk characteristics for each Sector. The Portfolio may invest no more than 33⅓% of its assets in any single Sector at the time of initial investment or as a result of a rebalancing, although actual Sector weightings may deviate from the maximum allocation percentage from time to time due to market movements.
PORTFOLIO ADVISOR COMMENTARY
The past year has been a historical rollercoaster for markets across the globe. By the end of 2019 and beginning of 2020 the US market had continued to set new record highs. The market topics were about US/China trade and “Brexit” discussions. By the end of 2019, the US 10-Year yield stabilized at 1.92%.
The first quarter of 2020 was an unprecedented period in US financial market history across numerous dimensions stemming from the coronavirus spread into a global pandemic. Investor uncertainty over the pandemic’s impact on the global economy were reflected in our capital markets. There was almost no place for investors to hide, as nearly every asset class saw negative returns. Equity volatility spiked to levels not seen since 1987. Even fixed income did not provide investors much safety, as investors fled investment grade corporate, high yield corporate and emerging market bonds. One of the few bright spots were government bonds, which proved to be a good diversifier over the quarter. Overall, rates plummeted, with the 10-Year US Treasury Yield moving from1.92% to 0.67%.
Lead by the Federal Reserve’s actions, investment markets rebounded at the end of the annual period following the pandemic-driven sell-off, with US stocks posting strong results. All major asset classes logged positive returns in Q3, with the more cyclical asset classes leading the way. The US economy continued to reopen during Q3, triggering significant improvement in consumer sentiment; however, while the worst of the recession appears to have passed for the US and Europe, consumer activity levels remain far below normal. Industries such as travel, leisure, restaurants, and hotels (which account for roughly 20% of US jobs and economic output) have been the most significantly impacted by the virus shut down and may be the most difficult to fully reopen. Bonds posted modest gains, but US 10-year Treasury yields remained near record lows, moderated by weak economic activity, quantitative easing, and a global low-yield environment. We believe uncertainty and volatility are likely to remain high for the near term as the election and Covid-19 continue to cloud market views.
38
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $1,000,000 INVESTED IN THE
JAMES ALPHA MACRO PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
James Alpha Structured Credit Value Portfolio, Class S | 33.1% |
Vanguard Total International Bond ETF | 5.9% |
Core Alternative ETF | 5.2% |
AQR Managed Futures Strategy Fund, Class I | 3.9% |
iShares JP Morgan USD Emerging Markets Bond ETF | 2.7% |
iShares Morningstar Multi-Asset Income ETF | 2.5% |
SPDR Gold Shares | 2.1% |
iShares Barclays USD Asia High Yield Bond Index ETF | 2.0% |
SPDR Bloomberg Barclays Euro High Yield Bond UCITS E | 1.9% |
Invesco S&P 500 Equal Weight ETF | 1.8% |
* | Based on total net assets as of August 31, 2020. |
Excludes short-term investments.
Portfolio Composition*
The Bank of America Merrill Lynch 3-Month Treasury Bill Index consists of U.S. Treasury Bills maturing in 90 days.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
39
INVESTMENT REVIEW |
JAMES ALPHA GLOBAL REAL ESTATE INVESTMENTS PORTFOLIO
Advised by: James Alpha Advisors, LLC, New York, New York
Objective: The Portfolio seeks total return consisting of current income and capital appreciation.
Total Aggregate Return for the Period Ended August 31, 2020 | ||||
One Year: | Five Year: | Inception: | Inception: | |
9/1/19 – 8/31/20 | 9/1/15 – 8/31/20* | 8/1/11 – 8/31/20* | 8/17/17 – 8/31/20* | |
Class I | -1.51% | 7.10% | 7.39% | NA |
Class S | -1.32% | NA | NA | 4.68% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 27, 2019 is 1.34% for Class I, and stated in the prospectus dated December 27, 2019 is 1.34% for Class S.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Sub-Adviser uses both a quantitative screening process and a qualitative stock selection process when selecting securities for investment by the Portfolio. Quantitative Screening Process: The Sub-Adviser and Green Street Advisors have designed a proprietary quantitative screening model, the Global Real Estate Investment Model (the “Model”), which the Sub-Adviser uses to identify the securities in which the Portfolio may invest. The Model identifies approximately 80 qualifying securities for evaluation by the Sub-Adviser (“Qualifying Securities”). Qualifying Securities may include those issued by companies in a variety of sectors within the real estate industry, including, among others, the retail, office, industrial, hotel, healthcare multi-family and self-storage sectors. Qualitative Stock Selection Process: All Qualifying Securities are evaluated by the Sub-Adviser in determining appropriate investments for the Portfolio. The Sub-Adviser selects the top 40 to 50 securities from among the approximately 80 Qualifying Securities based on its assessment of certain factors including, but not limited to, management quality, balance sheet strength, debt structure and maturities, lease term and renewal schedule, tenant credit quality, regional macroeconomic conditions and trends and projected demand drivers and supply constraints for space. The Sub-Adviser may sell a security held in the portfolio when it no longer qualifies under the parameters established by the Model.
PORTFOLIO ADVISER COMMENTARY
The period from September 1, 2019 through August 31, 2020 was marked by volatility for capital markets, including global REITs, as the spread of coronavirus shocked economies around the world, resulting in a sharp drawdown in the first quarter of 2020 and a strong but choppy recovery in the ensuing months. Real estate fundamentals and earnings growth were strong at the close of 2019, with the stimulative effect of tax cuts and continued accommodative monetary policy by global central banks fueling investor expectations for stronger economic growth. As the coronavirus began to emerge outside of China in February, and pockets of infection began to appear in other parts of Asia, Europe, and eventually North America, countries were forced to adopt policy measures aimed at containment, at the cost of sharply reduced economic activity, creating a dramatic sell-off across asset classes in the first quarter.
Global REITs rebounded strongly in the second quarter as concerns over the pandemic’s impact on the global economy were eased by the combined effect of the coordinated global central bank monetary policy response along with massive government spending to provide a “cash bridge” to a recovery.
The recovery extended into the third quarter, with the global REIT market’s over -arching narrative best characterized as being an environment of “haves” and “have nots,” i.e., some property types are experiencing new and/or increased headwinds as a result of the pandemic, while others are experiencing tailwinds.
Property types that are disadvantaged by the impact of social distancing, including Lodging, Discretionary Retail, CBD Office and Senior Housing, continue to experience headwinds as a result of the pandemic. The property types that have been least affected by the virus—and in some cases have even experienced tailwinds—include Data Centers, Cell Towers, Industrial/Logistics, Life Science/Lab Space, Cold Storage Warehouses, Single-Family Rental Homes and Manufactured Home Communities. Given the size of the James Alpha Global Real Estate Investments Portfolio, our portfolio is not compelled to own large-cap REITs (many of which are in property types experiencing headwinds), while conversely, we can achieve significant exposure in the mostly mid-cap REITs that own the property types that are experiencing tailwinds, such as Data Centers, Cell Towers and Single-Family Rental Homes. As we look ahead, our base case is that the sharp contraction in economic activity observed during the first half of the year will be
40
INVESTMENT REVIEW |
followed by a sustained recovery. While the shape of that recovery – whether it will be a “U”, “V”, or “W” – remains uncertain, all three letters do have one thing in common: the right-hand side is a line pointing up. That said, the path and timeline to the recovery will be predicated upon three primary factors: the re-opening/back to school surge in new cases is contained by a return to targeted social distancing; continued coordinated global central bank monetary policy to provide liquidity and stave off a disruption in the credit markets; and, fiscal policy measures to complete the “cash bridge” during the containment period (i.e., “band-aid” stimulus) followed by true stimulus (i.e., job-creating stimulus). The trajectory of global REIT prices in the coming months could reflect the market’s fixation on uncertainty and the tension between tailwinds and tail risks, a dynamic that is likely to result in elevated volatility that may create compelling buying and selling opportunities for actively-managed portfolios like our own.
41
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $1,000,000 INVESTED IN THE
JAMES ALPHA GLOBAL REAL ESTATE INVESTMENTS PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Link REIT | 6.6% |
Cellnex Telecom SA | 4.8% |
CK Asset Holdings Ltd. | 4.8% |
Invitation Homes, Inc. | 4.8% |
Marriott International, Inc. | 4.0% |
Mitsubishi Estate Co. Ltd. | 3.9% |
Japan Hotel REIT Investment Corp. | 3.9% |
Infrastructure Wireless Italiane SpA | 3.4% |
Kennedy-Wilson Holdings, Inc. | 3.1% |
Hongkong Land Holdings Ltd. | 3.0% |
* | Based on total net assets as of August 31, 2020. |
Excludes short-term investments.
Portfolio Composition *
The FTSE EPRA/NAREIT Developed Net Index Series is designed to represent general trends in eligible real estate equities worldwide. Relevant real estate activities are defined as the ownership, disposure and development of income-producing real estate. Investors may not invest in the Index directly. Unlike the Fund’s returns, the Index does not reflect any fees or expenses.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
42
INVESTMENT REVIEW |
JAMES ALPHA MULTI STRATEGY ALTERNATIVE INCOME PORTFOLIO
Advised by: James Alpha Advisors, LLC, New York, New York
Objective: The Portfolio seeks to provide long-term capital appreciation as its primary objective, with a
secondary objective of providing income for its shareholders.
Total Aggregate Return for the Period Ended August 31, 2020 | ||||
One Year: | Five Year: | Inception: | Inception: | |
9/1/19 – 8/31/20 | 9/1/15 – 8/31/20* | 9/29/14 – 8/31/20* | 8/17/17 – 8/31/20* | |
Class I | 6.90% | 3.40% | 2.18% | NA |
Class S | 7.51% | N/A | NA | 6.84% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 27, 2019, is 4.68% for Class I, and stated in the prospectus dated December 27, 2019 is 4.60% for Class S.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio seeks to achieve its investment objective by investing its assets in a combination of distinct investment strategies managed by different sub-advisers and, in some cases, by the Manager. The Manager is responsible for selecting and allocating assets among the Portfolio’s investment strategies. The principal investment strategies that will be employed by the Portfolio include the following: (i) Equity Strategies- the Portfolio will seek equity exposure using a combination of investment strategies that may include long-only strategies and long/short equity strategies; (ii) Merger Arbitrage Strategies- the Portfolio’s merger arbitrage strategy is to invest in equity securities of U.S. and foreign companies that are involved in publicly announced mergers, takeovers, tender offers, leveraged buyouts, spin-offs, liquidations and other corporate reorganizations; (iii) Real Estate -Related Strategies- the Portfolio’s real-estate related strategy is to invest, either directly or through other investment companies, in publicly traded real estate investment trusts (“REITs”), including REIT preferred stock, and securities of other publicly traded real estate and real estate-related companies; (iv) Master Limited Partnership (MLP) Strategies- the Portfolio will invest up to 25% of its assets in publicly traded MLP investments and exchange -traded notes (ETNs) that track MLPs; and (v) Risk-Adjusted Long/Short Debt Strategy- the risk-adjusted long/short debt strategy invests primarily in U.S. and European fixed income and fixed income-related securities, and may establish long and short positions in a variety of derivative and other instruments for risk management and investment purposes. Fixed income securities in which the strategy will invest are anticipated to generally consist of U.S. and European fixed income and fixed income-related securities of varying maturities and credit quality, including those that are rated below investment grade at the time of purchase (commonly referred to as “high-yield” or “junk” securities). The Portfolio may invest in companies of any size (from micro-cap to large-cap) in each of its investment strategies. While the Portfolio may generally invest in foreign securities without limitation, the Portfolio will limit its investments in emerging markets securities to 25% of the Portfolio’s assets.
PORTFOLIO ADVISOR COMMENTARY
The US economy continued to reopen during Q3, triggering significant improvement in consumer sentiment; however, while the worst of the recession appears to have passed for the US and Europe, consumer activity levels remain far below normal. Industries such as travel, leisure, restaurants, and hotels (which account for roughly 20% of US jobs and economic output) have been the most significantly impacted by the virus shut down and may be the most difficult to fully reopen. Bonds posted modest gains, but US 10-year Treasury yields remained near record lows, moderated by weak economic activity, quantitative easing, and a global low-yield environment. The Real Estate sector rebounded, albeit less than other risky asset classes. We believe the slow reopening has yet to substantially impact the commercial sectors and that they will take longer to recover. The rebound in global equities continued, but we still believe that political and economic risks are not negligible. As such we continue to attempt to underweight higher beta portfolio positions in favor of low beta strategies.
43
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $1,000,000 INVESTED IN THE
JAMES ALPHA MULTI STRATEGY ALTERNATIVE INCOME PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
James Alpha Structured Credit Value Portfolio, Class S | 5.7% |
Tiffany & Co. | 2.3% |
E*TRADE Financial Corp. | 2.0% |
Willis Towers Watson PLC | 1.8% |
iShares 0-5 Year High Yield Corporate Bond ETF | 1.6% |
Ardagh Packaging Finance PLC / Ardagh Holdings USA, In | 1.6% |
United States Cellular Corp. | 1.5% |
Link REIT | 1.2% |
Nuveen Preferred & Income Term Fund | 1.2% |
BlackRock Credit Allocation Income Trust | 1.1% |
* | Based on total net assets as of August 31, 2020. |
Excludes short-term investments and short-sales.
Portfolio Composition *
The S&P 500 Total Return Index is an unmanaged free-float capitalization-weighted index which measures the performance of 500 large-cap common stocks actively traded in the United States. Index returns assume reinvestment of dividends. Investors may not invest in the Index directly. Unlike the Fund’s returns, the Index does not reflect any fees or expenses.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
44
INVESTMENT REVIEW |
JAMES ALPHA MANAGED RISK DOMESTIC EQUITY PORTFOLIO
Advised by: James Alpha Advisors, LLC, New York, New York
Objective: The Portfolio seeks to provide capital appreciation.
Total Aggregate Return for the Period Ended August 31, 2020 | ||||
One Year: | Five Years: | Inception: | Inception: | |
9/1/19 – 8/31/20 | 9/1/15 – 8/31/20* | 7/31/15 – 8/31/20* | 8/17/17 – 8/31/20* | |
Class I | 6.79% | 5.93% | 4.96% | NA |
Class S | 7.19% | N/A | NA | 7.72% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 27, 2019 is 2.08% for Class I, and stated in the prospectus dated December 27, 2019 is 2.03% for Class S.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
Under normal market conditions, the Portfolio will seek to achieve its objective by combining a long equity strategy with an options hedging strategy that seeks to provide protection during significant equity market downturns. The long equity strategy seeks to replicate the returns of the S&P 500® Index and to enhance these returns through the use of leverage. The Portfolio will achieve exposure to S&P 500® Index companies primarily through exchange-traded funds (“ETFs”), mutual funds and closed-end funds but may also gain exposure through direct investment in common and preferred stocks. The Portfolio’s Sub-Adviser will use its discretion on when to deploy the options hedging strategies, which will vary depending on option prices. The Sub-Adviser may also seek to enhance the returns of the Portfolio’s long equity strategy by buying or selling options on ETFs whose strategies seek to minimize volatility (volatility ETFs). Under normal circumstances, the Portfolio invests at least 80% of its net assets (plus any borrowings for investment purposes) in equity securities or investments that provide exposure to equity securities, and in derivatives and other instruments that have economic characteristics similar to such securities. The Portfolio intends to borrow money to create leverage of up to 30% of the Portfolio’s assets. The Portfolio plans to invest the assets obtained through leverage in additional instruments that provide exposure to the S&P 500® Index companies as well as in additional options as part of the Portfolio’s hedging strategies. The Portfolio will therefore have long exposure of up to 130% its assets. The Sub-Adviser uses proprietary valuation methods and risk measures as well as publicly available data regarding market volatility levels in managing the hedging strategies. The Sub-Adviser considers multiple factors in determining how much leverage to employ and expected market volatility levels, such as premium at risk, the time to expiration of options, the rate that options lose value as they near maturity, the risk of gain or loss resulting from changes in volatility, and the notional exposure of the options relative to the Portfolio’s long positions. The Sub-Adviser’s proprietary option valuation methods will be used to determine when to use a particular option strategy and when to realize gains on the Portfolio’s options positions.
PORTFOLIO ADVISER COMMENTARY
Much of the period has been marked by an equity rally that wiped out the entire selloff of 2020’s first quarter. Volatility continued to contract through the summer. Throughout July, equities saw attempts to rotate away from growth and towards cyclicals and value only to fail as the economic data has not quite supported the move. The equity markets have been driven by the top names in Tech and stay-at-home beneficiaries. We believe this exposes investors to the potential for greater than anticipated losses should any of several factors disappoint. The stickiness of volatility may be a sign that concerns remain elevated. With economic growth still uncertain, US-China trade rhetoric rising, and election risk significant, we believe volatility may remain elevated.
Little has gone according to plan in this COVID tainted year. August was confirmation of the old adage “don’t fight the FED.” A powerful risk-on environment dominated with hopes of a global synchronized recovery despite the lack of a new fiscal plan and flare ups of the virus in many spots across the country and the globe. The strength of equities helped drive the level of volatility down for the greater part of the month until the last few days. That upward equity trend and dropping volatility trend can present short term challenges to a managed risk strategy. The volatility spike we saw as the month ended provides insight into the growing investor concern around equity valuation and election risk. We continue to believe that the various factors entrenched in the election, hopes for a fiscal plan, COVID recovery, and geopolitical arena present significant risk. As always, we remain focused on balancing upwards equity performance with systematic downside protection. There will likely be fits and starts to the market’s recovery process. As always, we do not depend on market timing or all-clear signs from the markets, authorities, or economic indicators. We believe our managed risk approach is disciplined and well suited to these uncertainties and has the potential to provide significant value to investors as the full market cycle is realized. While the equity market’s decline in February 2020 did benefit the portfolio’s derivatives position, the hedge over the entire reporting represented a cost the portfolio.
45
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $1,000,000 INVESTED IN THE
JAMES ALPHA MANAGED RISK DOMESTIC EQUITY PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top Portfolio Holdings* | |
% of | |
Company | Net Assets |
SPDR S&P 500 ETF Trust | 91.6% |
* | Based on total net assets as of August 31, 2020. |
** | Based on total investments as of August 31, 2020. |
Excludes short-term investments and written options.
Portfolio Composition *
The S&P 500™ Index is an unmanaged index. Index returns assume reinvestment of dividends. Investors may not invest in the Index directly; unlike the Portfolio’s returns, the Index does not reflect any fees or expenses.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
46
INVESTMENT REVIEW |
JAMES ALPHA MANAGED RISK EMERGING MARKETS EQUITY PORTFOLIO
Advised by: James Alpha Advisors, LLC, New York, New York
Objective: The Portfolio seeks to provide capital appreciation as its primary objective.
Total Aggregate Return for the Period Ended August 31, 2020 | ||||
One Year: | Five Years: | Inception: | Inception: | |
9/1/19 – 8/31/20 | 9/1/15 – 8/31/20* | 7/31/15 – 8/31/20* | 8/17/17 – 8/31/20* | |
Class I | 0.00% | 2.24% | 0.99% | NA |
Class S | 0.35% | N/A | NA | 1.07% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 27, 2019 is 3.21% for Class I, and stated in the prospectus dated December 27, 2019 is 3.27% for Class S.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
Under normal market conditions, the Portfolio will seek to achieve its objective by combining a long equity strategy with an options hedging strategy that seeks to provide protection during significant equity market downturns. The long equity strategy seeks to replicate the returns of the MSCI Emerging Markets Index and to enhance these returns through the use of leverage. The Portfolio will achieve exposure to MSCI Emerging Markets Index companies primarily through exchange-traded funds (“ETFs”), mutual funds and closed-end funds but may also gain exposure through direct investment in common and preferred stocks. The Portfolio’s Sub-Adviser will use its discretion on when to deploy the options hedging strategies, which will vary depending on option prices. The Sub-Adviser may also seek to enhance the returns of the Portfolio’s long equity strategy by buying or selling options on ETFs whose strategies seek to minimize volatility (volatility ETFs). Under normal circumstances, the Portfolio invests at least 80% of its net assets (plus any borrowings for investment purposes) in equity securities or investments that provide exposure to equity securities, and in derivatives and other instruments that have economic characteristics similar to such securities. The Portfolio intends to borrow money from banks to create leverage of up to 30% of the Portfolio’s assets. The Portfolio plans to invest the assets obtained through leverage in additional instruments that provide exposure to the MSCI Emerging Markets Index companies as well as in additional options as part of the Portfolio’s hedging strategies. The Portfolio will therefore have long exposure of up to 130% its assets. The Sub-Adviser uses proprietary valuation methods and risk measures as well as publicly available data regarding market volatility levels in managing the hedging strategies. The Sub-Adviser considers multiple factors in determining how much leverage to employ and expected market volatility levels, such as premium at risk, the time to expiration of options, the rate that options lose value as they near maturity, the risk of gain or loss resulting from changes in volatility, and the notional exposure of the options relative to the Portfolio’s long positions. The Sub-Adviser’s proprietary option valuation methods will be used to determine when to use a particular option strategy and when to realize gains on the Portfolio’s options positions.
PORTFOLIO ADVISER COMMENTARY
Much of the period has been marked by an equity rally that wiped out the entire selloff of 2020’s first quarter. Volatility continued to contract through the summer. Throughout July, equities saw attempts to rotate away from growth and towards cyclicals and value only to fail as the economic data has not quite supported the move. The equity markets have been driven by the top names in Tech and stay-at-home beneficiaries. We believe this exposes investors to the potential for greater than anticipated losses should any of several factors disappoint. The stickiness of volatility may be a sign that concerns remain elevated. With economic growth still uncertain, US-China trade rhetoric rising, and election risk significant, we believe volatility may remain elevated.
Little has gone according to plan in this COVID tainted year. August was confirmation of the old adage “don’t fight the FED.” A powerful risk-on environment dominated with hopes of a global synchronized recovery despite the lack of a new fiscal plan and flare ups of the virus in many spots across the country and the globe. The strength of equities helped drive the level of volatility down for the greater part of the month until the last few days. That upward equity trend and dropping volatility trend can present short term challenges to a managed risk strategy. The volatility spike we saw as the month ended provides insight into the growing investor concern around equity valuation and election risk. We continue to believe that the various factors entrenched in the election, hopes for a fiscal plan, COVID recovery, and geopolitical arena present significant risk. As always, we remain focused on balancing upwards equity performance with systematic downside protection. There will likely be fits and starts to the market’s recovery process. As always, we do not depend on market timing or all-clear signs from the markets, authorities, or economic indicators. We believe our managed risk approach is disciplined and well suited to these uncertainties and has the potential to provide significant value to investors as the full market cycle is realized. While the equity market’s decline in February 2020 did benefit the portfolio’s derivatives position, the hedge over the entire reporting represented a cost the portfolio.
47
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $1,000,000 INVESTED IN THE
JAMES ALPHA MANAGED RISK EMERGING MARKETS EQUITY PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top Portfolio Holdings* | |
% of | |
Company | Net Assets |
iShares MSCI Emerging Markets ETF | 47.3% |
* | Based on total net assets as of August 31, 2020. |
** | Based on total investments as of August 31, 2020. |
Excludes short-term investments and written options.
Portfolio Composition *
The MSCI Emerging Markets Index captures large and mid cap representation across 23 Emerging Markets (EM) countries. With 830 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
48
INVESTMENT REVIEW |
JAMES ALPHA HEDGED HIGH INCOME PORTFOLIO
Advised by: James Alpha Advisors, LLC, New York, New York
Objective: The Portfolio seeks to provide high current income as its primary objective.
Total Aggregate Return for the Period Ended August 31, 2020 | ||||
One Year: | Five Year: | Inception: | Inception: | |
9/1/19 – 8/31/20* | 9/1/15 – 8/31/20* | 12/31/13 – 8/31/20* | 8/17/17 – 8/31/20* | |
Class I | 1.45% | 3.56% | 2.94% | NA |
Class S | 1.99% | NA | NA | 2.43% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 27, 2019, is 3.04% for Class I and 3.02% for Class S.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio will seek to achieve its investment objectives by investing, under normal market conditions, primarily all of its assets in fixed income and fixed income-related securities, using a combination of long-short, long-only and hedging strategies. Fixed income securities in which the Portfolio will invest are anticipated to generally consist of U.S. and foreign fixed income and fixed income-related securities of varying maturities and credit quality, including those that are rated below investment grade at the time of purchase. It is expected that the Portfolio will keep its average duration equal to or below three years. Hedging strategies are used by the Portfolio in an attempt to mitigate risk, by hedging against changes in the price of other securities held by the Portfolio, and may involve purchasing put options, selling debt or equity securities short or writing covered call options. Derivative instruments may also be used for currency and interest rate hedging purposes. The Portfolio will invest its assets in a combination of distinct investment strategies managed by different sub- advisers and, in some cases, by the Manager. The Manager is responsible for selecting and allocating assets among the Portfolio’s investment strategies. The principal investment strategies that may be employed by the Portfolio include the following: (i) Senior Loan Floating Rate Strategy- the senior loan floating rate strategy concentrates on investment opportunities in senior -secured and second-lien loans and bonds; (ii) Short Duration High Yield Strategy- the short duration high yield strategy seeks to generate uncorrelated returns through stable income and reduced volatility; (iii) Relative Value Long/Short Debt Strategy- the relative value long/short debt strategy seeks to take advantage of perceived discrepancies in the market prices of certain fixed income securities, as well as certain convertible bond, closed-end fund, and derivative securities. Proprietary research tools include credit spread analysis; and (iv) Risk-Adjusted Long/Short Debt Strategy- the risk-adjusted long/short debt strategy invests primarily in U.S. and European fixed income and fixed income-related securities, and may establish long and short positions in a variety of derivative and other instruments for risk management and investment purposes. Fixed income securities in which the strategy will invest are anticipated to generally consist of U.S. and European fixed income and fixed income-related securities of varying maturities and credit quality, including those that are rated below investment grade at the time of purchase (commonly referred to as “high-yield” or “junk” securities). One or more of the above strategies may be achieved through investments in ETFs and other registered investment companies instead of direct investments. The Manager’s investment process is based on a consultative four step approach: 1) Asset Allocation – Defining objectives and constraints, determining asset classes, and determining strategic weightings based on objectives and constraints; 2) Manager Research – Sourcing and vetting investment managers; 3) Risk Management – Identifying, characterizing, and assessing portfolio risks, and suggesting ways to reduce risk; and 4) Portfolio Construction – Constructing the portfolio by incorporating input from all three of the above.
49
INVESTMENT REVIEW |
PORTFOLIO ADVISER COMMENTARY
The past year has been a historical rollercoaster for markets across the globe. By the end of 2019 and beginning of 2020 the US market had continued to set new record highs. The market topics were about US/China trade and “Brexit” discussions. By the end of 2019, the US 10-Year yield stabilized at 1.92%.
The first quarter of 2020 was an unprecedented period in US financial market history across numerous dimensions stemming from the coronavirus spread into a global pandemic. Investor uncertainty over the pandemic’s impact on the global economy were reflected in our capital markets. There was almost no place for investors to hide, as nearly every asset class saw negative returns. Equity volatility spiked to levels not seen since 1987. Even fixed income did not provide investors much safety, as investors fled investment grade corporate, high yield corporate and emerging market bonds. One of the few bright spots were government bonds, which proved to be a good diversifier over the quarter. Overall, rates plummeted, with the 10-Year US Treasury Yield moving from1.92% to 0.67%.
Lead by the Federal Reserve’s actions, investment markets rebounded at the end of the annual period following the pandemic-driven sell-off, with US stocks posting strong results. All major asset classes logged positive returns in Q3, with the more cyclical asset classes leading the way. The US economy continued to reopen during Q3, triggering significant improvement in consumer sentiment; however, while the worst of the recession appears to have passed for the US and Europe, consumer activity levels remain far below normal. Industries such as travel, leisure, restaurants, and hotels (which account for roughly 20% of US jobs and economic output) have been the most significantly impacted by the virus shut down and may be the most difficult to fully reopen. Bonds posted modest gains, but US 10-year Treasury yields remained near record lows, moderated by weak economic activity, quantitative easing, and a global low-yield environment. We believe uncertainty and volatility are likely to remain high for the near term as the election and Covid-19 continue to cloud market views.
US corporate speculative grade default rate is forecasted to remain below the long-term average, but we believe issuer selection will become more important due to elevated market volatility. We maintain our positions with short duration and hedging in place. The investment team utilizes various derivative instruments in an attempt to manage specific portfolio risk exposures. During the period, the derivative positions did not materially impact the portfolio’s performance.
50
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $1,000,000 INVESTED IN THE
JAMES ALPHA HEDGED HIGH INCOME PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
James Alpha Structured Credit | 9.8% |
MagnaChip Demiconductor Corp., 6.625%, 7/15/21 | 2.1% |
VanEck Vectors Emerging Markets High Yield Bond ETF | 1.9% |
United States Cellular Corp. | 1.9% |
iShares Preferred & Income Securities ETF | 1.4% |
iShares 0-5 Year High Yield Corporate Bond ETF | 1.3% |
HC2 Holdings, Inc. , 11.5%, 12/1/21 | 1.2% |
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF | 1.2% |
Cooke Omega Investments, Inc. | 1.1% |
Alerian MLP ETF | 1.0% |
* | Based on total net assets as of August 31, 2020. |
Excludes short-term investments.
Portfolio Composition *
The Barclays U.S. Aggregate Bond Index, is made up of the Barclays Capital U.S. Government/Corporate Bond Index, Mortgage-Backed Securities Index, and Asset -Backed Securities Index, including securities that are of investment grade quality or better, have at least one year to maturity, and have an outstanding par value of at least $100 million. Investors cannot invest directly in an index.
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
51
SCHEDULES OF INVESTMENTS |
LARGE CAPITALIZATION VALUE PORTFOLIO |
August 31, 2020 |
Shares | Value | |||||||
COMMON STOCK - 82.8% | ||||||||
ASSET MANAGEMENT - 4.6% | ||||||||
16,551 | Charles Schwab Corp. | $ | 588,057 | |||||
BANKING - 3.6% | ||||||||
1,808 | SVB Financial Group* | 461,727 | ||||||
BIOTECH & PHARMA - 7.8% | ||||||||
28,958 | Bausch Health Cos., Inc.* | 481,282 | ||||||
9,698 | Perrigo Co. PLC | 507,205 | ||||||
988,487 | ||||||||
CABLE & SATELLITE - 2.5% | ||||||||
7,123 | Comcast Corp. | 319,182 | ||||||
CHEMICALS - 8.2% | ||||||||
23,242 | Axalta Coating Systems Ltd.* | 554,322 | ||||||
11,945 | W R Grace & Co. | 486,281 | ||||||
1,040,603 | ||||||||
CONTAINERS & PACKAGING - 5.1% | ||||||||
8,476 | Crown Holdings, Inc.* | 651,381 | ||||||
ELECTRIC UTILITIES - 4.6% | ||||||||
17,075 | NRG Energy, Inc. | 587,551 | ||||||
HEALTH CARE FACILITIES & SERVICES - 8.0% | ||||||||
5,876 | AmerisourceBergen Corp. | 570,148 | ||||||
2,040 | Charles River Laboratories International, Inc.* | 446,658 | ||||||
1,016,806 | ||||||||
HOME CONSTRUCTION - 4.3% | ||||||||
5,874 | Mohawk Industries, Inc.* | 542,346 | ||||||
INSURANCE - 3.3% | ||||||||
5,074 | Globe Life, Inc. | 418,504 | ||||||
INTERNET MEDIA & SERVICES - 7.9% | ||||||||
322 | Alphabet, Inc. - Cl. A* | 524,709 | ||||||
1,657 | Facebook, Inc.* | 485,832 | ||||||
1,010,541 | ||||||||
LEISURE PRODUCTS - 4.1% | ||||||||
8,329 | Brunswick Corp. | 515,482 | ||||||
PUBLISHING & BROADCASTING - 4.3% | ||||||||
14,143 | Liberty Media Corp.-Liberty Formula One* | 551,294 | ||||||
RETAIL - CONSUMER STAPLES - 3.0% | ||||||||
2,512 | Target Corp. | 379,840 | ||||||
SEMICONDUCTOR DEVICES - 6.5% | ||||||||
3,074 | NXP Semiconductors NV | 386,586 | ||||||
3,450 | Qorvo, Inc.* | 442,531 | ||||||
829,117 | ||||||||
WHOLESALE - DISCRETIONARY - 5.0% | ||||||||
20,006 | LKQ Corp.* | 634,990 | ||||||
TOTAL COMMON STOCK (Cost - $9,843,381) | 10,535,908 |
See accompanying notes to financial statements.
52
SCHEDULES OF INVESTMENTS |
LARGE CAPITALIZATION VALUE PORTFOLIO (Continued) |
August 31, 2020 |
Shares | Value | |||||||
DEPOSITARY RECEIPTS - 4.6% | ||||||||
TECHNOLOGY HARDWARE - 4.6% | ||||||||
7,436 | Sony Corp. (Cost - $443,865) | $ | 584,767 | |||||
REIT - 3.4% | ||||||||
13,789 | Equity Commonwealth (Cost - $427,372) | 432,837 | ||||||
SHORT-TERM INVESTMENTS - 9.3% | ||||||||
1,178,203 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.06% ^ | 1,178,203 | ||||||
(Cost - $1,178,203) | ||||||||
TOTAL INVESTMENTS - 100.1% (Cost - $11,892,821) | $ | 12,731,715 | ||||||
LIABILITIES LESS OTHER ASSETS - (0.1)% | (12,062 | ) | ||||||
NET ASSETS - 100.0% | $ | 12,719,653 |
* | Non-income producing securities. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on August 31, 2020. |
PLC - Public Liability Company
See accompanying notes to financial statements.
53
SCHEDULES OF INVESTMENTS |
LARGE CAPITALIZATION GROWTH PORTFOLIO |
August 31, 2020 |
Shares | Value | |||||||
COMMON STOCK - 96.8% | ||||||||
AEROSPACE & DEFENSE - 1.0% | ||||||||
840 | Lockheed Martin Corp. | $ | 327,818 | |||||
AUTOMOTIVE - 1.3% | ||||||||
800 | Tesla, Inc.* | 398,656 | ||||||
BIOTECH & PHARMA - 8.0% | ||||||||
9,180 | AbbVie, Inc. | 879,169 | ||||||
730 | Amgen, Inc. | 184,924 | ||||||
4,860 | Eli Lilly and Co. | 721,175 | ||||||
6,140 | Merck & Co., Inc. | 523,558 | ||||||
950 | Vertex Pharmaceuticals, Inc.* | 265,164 | ||||||
2,573,990 | ||||||||
CABLE & SATELLITE- 2.3% | ||||||||
1,210 | Charter Communications, Inc.*+ | 744,888 | ||||||
E-COMMERCE DISCRETIONARY - 8.3% | ||||||||
595 | Amazon.Com, Inc.* | 2,053,321 | ||||||
11,300 | eBay, Inc. | 619,014 | ||||||
2,672,335 | ||||||||
ELECTRICAL EQUIPMENT - 4.4% | ||||||||
3,500 | Generac Holdings, Inc.* | 664,930 | ||||||
1,890 | Rockwell Automation, Inc. | 435,702 | ||||||
710 | Roper Technologies, Inc. | 303,305 | ||||||
1,403,937 | ||||||||
HEALTH CARE FACILITIES & SERVICES - 5.3% | ||||||||
1,400 | AmerisourceBergen Corp. | 135,842 | ||||||
1,300 | Cigna Corp. | 230,581 | ||||||
3,570 | Laboratory Corp. of America Holdings* | 627,427 | ||||||
2,240 | UnitedHealth Group, Inc. | 700,112 | ||||||
1,693,962 | ||||||||
HOUSEHOLD PRODUCTS- 2.8% | ||||||||
6,560 | The Procter & Gamble Co. | 907,445 | ||||||
INTERNET MEDIA & SERVICES - 10.6% | ||||||||
440 | Alphabet, Inc. - Cl. A* | 716,993 | ||||||
430 | Alphabet, Inc. - Cl. C* | 702,697 | ||||||
4,883 | Facebook, Inc.* | 1,431,696 | ||||||
4,100 | GoDaddy, Inc.* | 343,088 | ||||||
400 | Netflix, Inc.* | 211,824 | ||||||
3,406,298 | ||||||||
LEISURE FACILITIES & SERVICES - 1.1% | ||||||||
6,000 | Yum China Holdings, Inc. | 346,260 | ||||||
MEDICAL EQUIPMENT & DEVICES - 1.0% | ||||||||
2,600 | Hologic, Inc.* | 155,272 | ||||||
400 | Thermo Fisher Scientific, Inc. | 171,592 | ||||||
326,864 | ||||||||
RETAIL - CONSUMER STAPLES - 0.8% | ||||||||
750 | CostCo Wholesale Corp. | 260,745 | ||||||
RETAIL - DISCRETIONARY- 6.4% | ||||||||
4,560 | Best Buy Co., Inc. | 505,750 | ||||||
3,000 | Lowe’s Cos, Inc. | 494,070 | ||||||
2,160 | The Home Depot, Inc. | 615,686 | ||||||
5,200 | Williams-Sonoma, Inc. | 456,352 | ||||||
2,071,858 |
See accompanying notes to financial statements.
54
SCHEDULES OF INVESTMENTS |
LARGE CAPITALIZATION GROWTH PORTFOLIO (Continued) |
August 31, 2020 |
Shares | Value | |||||||
COMMON STOCK - 96.8% (Continued) | ||||||||
SEMICONDUCTORS - 5.1% | ||||||||
970 | BroadCom, Inc. | $ | 336,735 | |||||
1,540 | NVIDIA Corp. | 823,869 | ||||||
1,400 | QUALComm, Inc. | 166,740 | ||||||
2,200 | Texas Instruments, Inc. | 312,730 | ||||||
1,640,074 | ||||||||
SOFTWARE - 19.6% | ||||||||
1,320 | Adobe, Inc.* | 677,675 | ||||||
6,720 | Cadence Design Systems, Inc.* | 745,315 | ||||||
6,300 | Dropbox, Inc.* | 133,371 | ||||||
4,520 | Fortinet, Inc.* | 596,663 | ||||||
11,153 | Microsoft Corp. | 2,515,336 | ||||||
24,800 | NortonLifeLock, Inc. | 583,296 | ||||||
2,700 | Palo Alto Networks, Inc.* | 695,007 | ||||||
700 | ServiceNow, Inc.* | 337,414 | ||||||
6,284,077 | ||||||||
TECHNOLOGY HARDWARE - 10.1% | ||||||||
25,240 | Apple, Inc. | 3,256,970 | ||||||
TECHNOLOGY SERVICES - 8.7% | ||||||||
3,100 | Booz Allen Hamilton Holding Corp. | 272,986 | ||||||
2,840 | CDW Corp. | 322,766 | ||||||
890 | Jack Henry & Associates, Inc. | 147,224 | ||||||
1,210 | Mastercard, Inc. | 433,410 | ||||||
5,550 | PayPal Holdings, Inc.* | 1,132,977 | ||||||
890 | S&P Global, Inc. | 326,114 | ||||||
750 | Visa, Inc. | 158,992 | ||||||
2,794,469 | ||||||||
TOTAL COMMON STOCK (Cost - $21,731,374) | 31,110,646 | |||||||
REIT - 1.2% | ||||||||
1,120 | American Tower Corp. | 279,048 | ||||||
550 | Public Storage | 116,820 | ||||||
TOTAL REIT (Cost - $255,915) | 395,868 | |||||||
SHORT-TERM INVESTMENTS - 2.0% | ||||||||
657,531 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.06% ^ | 657,531 | ||||||
(Cost - $657,531) | ||||||||
TOTAL INVESTMENTS - 100.0% (Cost - $22,644,820) | $ | 32,164,045 | ||||||
LIABILITIES LESS OTHER ASSETS - (0.0)% ** | (13,457 | ) | ||||||
NET ASSETS - 100.0% | $ | 32,150,588 |
* | Non-income producing securities. |
** | Represents amount less than 0.05% |
+ | All or a portion of the security is on loan. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on August 31, 2020. |
See accompanying notes to financial statements.
55
SCHEDULES OF INVESTMENTS |
MID CAPITALIZATION PORTFOLIO |
August 31, 2020 |
Shares | Value | |||||||
COMMON STOCK - 96.7% | ||||||||
ASSET MANAGEMENT - 3.3% | ||||||||
2,275 | Ares Management Corp. | $ | 92,024 | |||||
2,875 | Raymond James Financial, Inc. | 217,695 | ||||||
309,719 | ||||||||
BANKING - 3.6% | ||||||||
3,250 | PacWest BanCorp. | 62,010 | ||||||
6,450 | TCF Financial Corp. | 173,376 | ||||||
4,375 | The Bank of NT Butterfield & Son Ltd. | 110,250 | ||||||
345,636 | ||||||||
BEVERAGES - 2.1% | ||||||||
1,065 | Constellation Brands, Inc. | 196,471 | ||||||
CHEMICALS - 5.1% | ||||||||
800 | Avery Dennison Corp. | 92,312 | ||||||
1,875 | FMC Corp. | 200,363 | ||||||
3,025 | LyondellBasell Industries NV | 198,077 | ||||||
490,752 | ||||||||
COMMERCIAL SUPPORT SERVICES - 2.8% | ||||||||
3,400 | Aramark | 93,704 | ||||||
4,375 | ServiceMaster Global Holdings, Inc.* | 174,563 | ||||||
268,267 | ||||||||
CONSUMER SERVICES - 2.7% | ||||||||
500 | Bright Horizons Family Solutions, Inc.* | 66,505 | ||||||
1,075 | Grand Canyon Education, Inc.* | 101,093 | ||||||
7,625 | Laureate Education, Inc.* | 95,465 | ||||||
263,063 | ||||||||
CONTAINERS & PACKAGING - 2.1% | ||||||||
2,575 | Crown Holdings, Inc.* | 197,889 | ||||||
ELECTRIC UTILITIES - 6.9% | ||||||||
2,300 | Alliant Energy Corp. | 124,545 | ||||||
1,425 | Ameren Corp. | 112,732 | ||||||
800 | CMS Energy Corp. | 48,392 | ||||||
2,525 | Evergy, Inc. | 134,381 | ||||||
12,400 | VISTRA Corp. | 238,452 | ||||||
658,502 | ||||||||
ELECTRICAL EQUIPMENT - 11.5% | ||||||||
825 | Allegion PLC | 85,297 | ||||||
2,200 | AMETEK, Inc. | 221,540 | ||||||
1,400 | Hubbell, Inc. | 202,888 | ||||||
1,325 | Keysight Technologies, Inc.* | 130,539 | ||||||
11,925 | nVent Electric PLC | 228,006 | ||||||
3,750 | Otis Worldwide Corp. | 235,875 | ||||||
1,104,145 | ||||||||
ENGINEERING & CONSTRUCTION - 3.0% | ||||||||
16,025 | WillScot Mobile Mini Holdings Corp.* | 286,848 | ||||||
HEALTH CARE FACILITIES & SERVICES - 2.8% | ||||||||
1,350 | Centene Corp.* | 82,782 | ||||||
1,155 | IQVIA Holdings, Inc.* | 189,131 | ||||||
271,913 | ||||||||
INDUSTRIAL INTERMEDIATE PRODUCTION - 2.5% | ||||||||
4,500 | The Timken Co. | 243,855 | ||||||
INSTITUTIONAL FINANCIAL SERVICES - 1.2% | ||||||||
875 | Nasdaq, Inc. | 117,618 |
See accompanying notes to financial statements.
56
SCHEDULES OF INVESTMENTS |
MID CAPITALIZATION PORTFOLIO (Continued) |
August 31, 2020 |
Shares | Value | |||||||
COMMON STOCK - 96.7% (Continued) | ||||||||
INSURANCE - 5.8% | ||||||||
1,550 | Arthur J Gallagher & Co. | $ | 163,215 | |||||
5,300 | Athene Holding Ltd.* | 193,768 | ||||||
850 | Reinsurance Group of America, Inc. | 77,928 | ||||||
1,300 | The Allstate Corp. | 120,900 | ||||||
555,811 | ||||||||
MACHINERY - 4.0% | ||||||||
3,350 | Crane Co. | 189,409 | ||||||
2,550 | Oshkosh Corp. | 196,376 | ||||||
385,785 | ||||||||
MEDICAL EQUIPMENT & DEVICES - 3.0% | ||||||||
700 | Agilent Technologies, Inc. | 70,294 | ||||||
1,075 | Hologic, Inc.* | 64,199 | ||||||
480 | The Cooper Cos, Inc. | 150,902 | ||||||
285,395 | ||||||||
METALS & MINING - 1.9% | ||||||||
22,525 | Constellium SE* | 180,425 | ||||||
OIL & GAS PRODUCERS - 2.3% | ||||||||
1,325 | Pioneer Natural Resources Co. | 137,707 | ||||||
14,550 | WPX Energy, Inc.* | 80,898 | ||||||
218,605 | ||||||||
OIL & GAS SERVICES & EQUIPMENT - 0.7% | ||||||||
4,375 | Baker Hughes Co. | 62,475 | ||||||
PUBLISHING & BROADCASTING - 3.2% | ||||||||
3,200 | Nexstar Media Group, Inc. | 307,232 | ||||||
RENEWABLE ENERGY - 0.7% | ||||||||
2,275 | Atlantica Sustainable Infrastructure PLC | 68,318 | ||||||
RETAIL - CONSUMER STAPLES - 0.8% | ||||||||
350 | Dollar General Corp. | 70,658 | ||||||
SEMICONDUCTORS - 3.5% | ||||||||
725 | Analog Devices, Inc. | 84,738 | ||||||
650 | Cabot Microelectronics Corp. | 98,989 | ||||||
2,225 | Entegris, Inc. | 148,830 | ||||||
332,557 | ||||||||
SOFTWARE - 2.1% | ||||||||
375 | Check Point Software Technologies Ltd.* | 47,347 | ||||||
200 | RingCentral, Inc.*+ | 58,154 | ||||||
4,600 | SolarWinds Corp.*+ | 96,738 | ||||||
202,239 | ||||||||
SPECIALTY FINANCE - 2.9% | ||||||||
1,175 | Essent Group Ltd. | 41,947 | ||||||
3,250 | First American Financial Corp. | 170,852 | ||||||
2,375 | Synchrony Financial | 58,924 | ||||||
271,723 | ||||||||
TECHNOLOGY HARDWARE - 3.0% | ||||||||
1,875 | Motorola Solutions, Inc. | 290,156 |
See accompanying notes to financial statements.
57
SCHEDULES OF INVESTMENTS |
MID CAPITALIZATION PORTFOLIO (Continued) |
August 31, 2020 |
Shares | Value | |||||||
COMMON STOCK - 96.7% (Continued) | ||||||||
TECHNOLOGY SERVICES - 9.0% | ||||||||
550 | Booz Allen Hamilton Holding Corp. | $ | 48,433 | |||||
665 | CACI International, Inc.* | 155,736 | ||||||
575 | CDW Corp. | 65,349 | ||||||
950 | Fidelity National Information Services, Inc. | 143,307 | ||||||
1,375 | Fiserv, Inc.* | 136,922 | ||||||
805 | Global Payments, Inc. | 142,179 | ||||||
2,175 | MAXIMUS, Inc. | 168,671 | ||||||
860,597 | ||||||||
WHOLESALE - CONSUMER STAPLES - 2.0% | ||||||||
5,225 | Performance Food Group Co.* | 190,765 | ||||||
WHOLESALE - DISCRETIONARY - 2.2% | ||||||||
4,025 | IAA, Inc.* | 210,588 | ||||||
TOTAL COMMON STOCK (Cost - $7,786,801) | 9,248,007 | |||||||
REIT - 2.3% | ||||||||
1,900 | CyrusOne, Inc. | 158,707 | ||||||
8,225 | New Residential Investment Corp. | 63,661 | ||||||
TOTAL REIT (Cost - $175,849) | 222,368 | |||||||
SHORT-TERM INVESTMENTS - 0.8% | ||||||||
80,900 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.06% ^ | 80,900 | ||||||
(Cost - $80,900) | ||||||||
TOTAL INVESTMENTS - 99.8% (Cost - $8,043,550) | $ | 9,551,275 | ||||||
OTHER ASSETS LESS LIABILITIES - 0.2% | 15,855 | |||||||
NET ASSETS - 100.0% | $ | 9,567,130 |
* | Non-income producing securities. |
+ | All or a portion of the security is on loan. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on August 31, 2020. |
PLC - Public Limited Company
See accompanying notes to financial statements.
58
SCHEDULES OF INVESTMENTS |
SMALL CAPITALIZATION PORTFOLIO |
August 31, 2020 |
Shares | Value | |||||||
COMMON STOCK - 92.2% | ||||||||
AEROSPACE & DEFENSE - 0.4% | ||||||||
294 | Mercury Systems, Inc.* | $ | 22,268 | |||||
ASSET MANAGEMENT - 2.0% | ||||||||
98 | Hamilton Lane, Inc. | 7,165 | ||||||
1,273 | ODP Corp. | 29,763 | ||||||
490 | Virtus Investment Partners, Inc. | 69,531 | ||||||
106,459 | ||||||||
AUTOMOTIVE - 0.6% | ||||||||
4,147 | American Axle & Manufacturing Holdings, Inc.* | 32,264 | ||||||
BANKING - 6.4% | ||||||||
1,045 | 1st Source Corp. | 36,000 | ||||||
849 | City Holding Co. | 54,319 | ||||||
588 | Community Bank System, Inc. | 35,380 | ||||||
1,535 | Hilltop Holdings, Inc. | 31,621 | ||||||
1,306 | Preferred Bank/Los Angeles CA | 48,844 | ||||||
1,241 | ServisFirst Bancshares, Inc. | 45,483 | ||||||
2,384 | The First of Long Island Corp. | 36,630 | ||||||
3,233 | United Community Banks, Inc. | 58,582 | ||||||
346,859 | ||||||||
BEVERAGES - 0.4% | ||||||||
653 | MGP Ingredients, Inc. | 23,214 | ||||||
BIOTECH & PHARMA - 8.9% | ||||||||
6,531 | Amneal Pharmaceuticals, Inc.*+ | 26,842 | ||||||
2,841 | Fate Therapeutics, Inc.* | 103,412 | ||||||
718 | FibroGen, Inc.*+ | 32,188 | ||||||
327 | Global Blood Therapeutics, Inc.*+ | 20,529 | ||||||
1,339 | Halozyme Therapeutics, Inc.* | 38,824 | ||||||
1,241 | Immunomedics, Inc.*+ | 55,299 | ||||||
2,155 | Innoviva, Inc.* | 25,235 | ||||||
6,988 | Jounce Therapeutics, Inc.*+ | 33,822 | ||||||
196 | Ligand Pharmaceuticals, Inc.*+ | 19,992 | ||||||
914 | Livongo Health, Inc.*+ | 125,492 | ||||||
481,635 | ||||||||
COMMERCIAL SUPPORT SERVICES - 2.1% | ||||||||
424 | FTI Consulting, Inc.* | 48,658 | ||||||
327 | UniFirst Corp. | 62,987 | ||||||
111,645 | ||||||||
CONSUMER SERVICES - 1.6% | ||||||||
1,176 | Chegg, Inc.* | 86,718 | ||||||
E-COMMERCE DISCRETIONARY - 1.3% | ||||||||
4,539 | RealReal, Inc.*+ | 72,896 | ||||||
ELECTRICAL EQUIPMENT- 1.8% | ||||||||
522 | Generac Holdings, Inc.* | 99,170 | ||||||
ENGINEERING & CONSTRUCTION - 6.8% | ||||||||
653 | EMCOR Group, Inc. | 48,982 | ||||||
1,176 | Installed Building Products, Inc.* | 102,100 | ||||||
1,110 | MasTec, Inc.*+ | 51,293 | ||||||
653 | TopBuild Corp.* | 100,431 | ||||||
3,527 | WillScot Mobile Mini Holdings Corp.* | 63,133 | ||||||
365,939 | ||||||||
FOOD - 1.9% | ||||||||
1,143 | B&G Foods, Inc.+ | 35,593 | ||||||
2,057 | Darling Ingredients, Inc.* | 65,762 | ||||||
101,355 | ||||||||
FORESTRY, PAPER & WOOD PRODUCTS - 2.4% | ||||||||
1,731 | Boise Cascade Co. | 79,280 | ||||||
882 | UFP Industries, Inc. | 52,347 | ||||||
131,627 |
See accompanying notes to financial statements.
59
SCHEDULES OF INVESTMENTS |
SMALL CAPITALIZATION PORTFOLIO (Continued) |
August 31, 2020 |
Shares | Value | |||||||
COMMON STOCK - 92.2% (Continued) | ||||||||
GAS & WATER UTILITIES- 1.1% | ||||||||
784 | ONE Gas, Inc. | $ | 58,110 | |||||
HEALTH CARE FACILITIES & SERVICES - 7.4% | ||||||||
555 | Addus HomeCare Corp.* | 51,981 | ||||||
392 | Amedisys, Inc.* | 94,825 | ||||||
555 | Molina Healthcare, Inc.* | 102,658 | ||||||
2,024 | Select Medical Holdings Corp.* | 40,622 | ||||||
294 | Teladoc Health, Inc.*+ | 63,413 | ||||||
849 | The Ensign Group, Inc. | 49,700 | ||||||
403,199 | ||||||||
HOME CONSTRUCTION - 4.6% | ||||||||
1,241 | Century Communities, Inc.* | 44,279 | ||||||
2,155 | Forestar Group, Inc.* | 38,294 | ||||||
784 | KB Home | 28,036 | ||||||
1,241 | MDC Holdings, Inc. | 53,835 | ||||||
686 | Patrick Industries, Inc. | 38,560 | ||||||
2,057 | Taylor Morrison Home Corp.* | 48,401 | ||||||
251,405 | ||||||||
INDUSTRIAL INTERMEDIATE PRODUCTION - 0.8% | ||||||||
1,535 | Mueller Industries, Inc. | 45,590 | ||||||
INDUSTRIAL SUPPORT SERVICES - 1.1% | ||||||||
1,404 | Herc Holdings, Inc.* | 57,494 | ||||||
INSURANCE - 1.8% | ||||||||
2,808 | American Equity Investment Life Holding Co. | 67,139 | ||||||
1,829 | Radian Group, Inc. | 28,240 | ||||||
95,379 | ||||||||
INTERNET MEDIA & SERVICES - 1.5% | ||||||||
131 | Stamps.Com, Inc.* | 32,664 | ||||||
7,282 | The Meet Group, Inc.* | 45,877 | ||||||
78,541 | ||||||||
LEISURE PRODUCTS - 5.6% | ||||||||
3,037 | Acushnet Holdings Corp. | 107,176 | ||||||
784 | Fox Factory Holding Corp.*+ | 79,035 | ||||||
751 | Winnebago Industries, Inc. | 40,539 | ||||||
1,469 | YETI Holdings, Inc.* | 75,477 | ||||||
302,227 | ||||||||
MACHINERY - 0.8% | ||||||||
424 | Curtiss-Wright Corp. | 43,384 | ||||||
MEDICAL EQUIPMENT & DEVICES - 5.5% | ||||||||
1,992 | CareDx, Inc.* | 68,027 | ||||||
359 | Haemonetics Corp.* | 32,188 | ||||||
327 | Masimo Corp.* | 73,248 | ||||||
392 | Novocure Ltd.* | 32,438 | ||||||
359 | Quidel Corp.* | 63,170 | ||||||
196 | Repligen Corp.* | 30,362 | ||||||
299,433 | ||||||||
METALS & MINING - 0.4% | ||||||||
2,286 | Novagold Resources, Inc.* | 24,209 | ||||||
OIL & GAS PRODUCERS - 1.5% | ||||||||
9,829 | Berry Corp. | 38,726 | ||||||
327 | Murphy USA, Inc.* | 44,099 | ||||||
82,825 | ||||||||
PUBLISHING & BROADCASTING - 0.9% | ||||||||
3,755 | TEGNA, Inc. | 47,013 | ||||||
RENEWABLE ENERGY - 0.9% | ||||||||
620 | Enphase Energy, Inc.* | 47,883 |
See accompanying notes to financial statements.
60
SCHEDULES OF INVESTMENTS |
SMALL CAPITALIZATION PORTFOLIO (Continued) |
August 31, 2020 |
Shares | Value | |||||||
COMMON STOCK - 92.2% (Continued) | ||||||||
RETAIL - DISCRETIONARY - 1.5% | ||||||||
947 | Sonic Automotive, Inc. | $ | 40,020 | |||||
2,547 | Sportsman’s Warehouse Holdings, Inc.* | 39,975 | ||||||
79,995 | ||||||||
SEMICONDUCTORS - 1.2% | ||||||||
686 | II-VI, Inc.*+ | 30,527 | ||||||
4,767 | NeoPhotonics Corp.* | 31,748 | ||||||
62,275 | ||||||||
SOFTWARE - 8.4% | ||||||||
588 | Alteryx, Inc.*+ | 71,048 | ||||||
1,241 | Five9, Inc.* | 158,153 | ||||||
522 | Qualys, Inc.* | 55,405 | ||||||
1,665 | Sailpoint Technologies Holdings, Inc.*+ | 65,318 | ||||||
1,339 | SPS Commerce, Inc.* | 106,959 | ||||||
456,883 | ||||||||
SPECIALTY FINANCE - 5.4% | ||||||||
1,045 | GATX Corp. | 69,890 | ||||||
3,396 | MGIC Investment Corp. | 31,141 | ||||||
4,147 | Mr Cooper Group, Inc.* | 75,994 | ||||||
2,220 | PennyMac Financial Services, Inc. | 117,038 | ||||||
294,063 | ||||||||
STEEL - 0.6% | ||||||||
1,600 | Commercial Metals Co. | 33,392 | ||||||
TECHNOLOGY HARDWARE - 1.8% | ||||||||
2,188 | ADTRAN, Inc. | 24,265 | ||||||
980 | Cubic Corp. | 46,138 | ||||||
1,110 | NetScout Systems, Inc.* | 25,685 | ||||||
96,088 | ||||||||
TECHNOLOGY SERVICES - 1.8% | ||||||||
196 | CACI International, Inc.* | 45,901 | ||||||
620 | Science Applications International Corp. | 51,745 | ||||||
97,646 | ||||||||
TRANSPORTATION & LOGISTICS - 0.2% | ||||||||
65 | Allegiant Travel Co. | 8,359 | ||||||
TRANSPORTATION EQUIPMENT - 0.3% | ||||||||
914 | Workhorse Group, Inc.*+ | 16,553 | ||||||
WHOLESALE - CONSUMER STAPLES - 0.5% | ||||||||
1,633 | United Natural Foods, Inc.* | 29,476 | ||||||
TOTAL COMMON STOCK (Cost - $3,839,088) | 4,993,471 | |||||||
REIT - 4.3% | ||||||||
3,102 | Alexander & Baldwin, Inc. | 37,565 | ||||||
424 | Innovative Industrial Properties, Inc. | 52,190 | ||||||
588 | NexPoint Residential Trust, Inc. | 24,343 | ||||||
1,535 | Office Properties Income Trust | 36,595 | ||||||
1,437 | Safehold, Inc.+ | 79,710 | ||||||
TOTAL REIT (Cost - $179,765) | 230,403 | |||||||
SHORT-TERM INVESTMENTS - 3.6% | ||||||||
196,956 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.06% ^ | 196,956 | ||||||
(Cost - $196,956) |
See accompanying notes to financial statements.
61
SCHEDULES OF INVESTMENTS |
SMALL CAPITALIZATION PORTFOLIO (Continued) |
August 31, 2020 |
Principal | ||||||||
COLLATERAL FOR SECURITIES LOANED - 2.5% | ||||||||
REPURCHASE AGREEMENTS - 2.5% | ||||||||
$ | 137,876 | BNP Paribas, dated 08/31/20, due 09/01/20, 0.07%, total to be received $137,876 | $ | 137,876 | ||||
(Collateralized by various US Government agency obligations, due 10/31/2021-05/15/44, 0.000%- 7.625% totaling $140,085) | ||||||||
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $137,876) | ||||||||
TOTAL INVESTMENTS - 102.6% (Cost - $4,353,685) | $ | 5,558,706 | ||||||
LIABILITIES LESS OTHER ASSETS - (2.6)% | (143,059 | ) | ||||||
NET ASSETS - 100.0% | $ | 5,415,647 |
* | Non-income producing securities. |
+ | All or a portion of the security is on loan. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on August 31, 2020. |
See accompanying notes to financial statements.
62
SCHEDULES OF INVESTMENTS |
INTERNATIONAL EQUITY PORTFOLIO |
August 31, 2020 |
Shares | Value | |||||||
COMMON STOCK - 99.4% | ||||||||
ASSET MANAGEMENT -2.5% | ||||||||
13,170 | UBS Group AG | $ | 160,841 | |||||
AUTOMOBILES - 2.3% | ||||||||
4,200 | Kia Motors Corp. | 149,378 | ||||||
BANKING - 11.7% | ||||||||
90,650 | Barclays PLC * | 132,942 | ||||||
32,400 | Chiba Bank Ltd. | 167,612 | ||||||
28,000 | China Merchants Bank Co. Ltd. | 133,588 | ||||||
1,810 | Macquarie Group Ltd. | 170,627 | ||||||
12,920 | Sberbank of Russia PJSC - ADR * | 156,009 | ||||||
760,778 | ||||||||
BEVERAGES - 2.7% | ||||||||
1,250 | Carlsberg A/S | 176,081 | ||||||
BIOTECHNOLOGY & PHARMACEUTICALS - 9.4% | ||||||||
2,640 | Dr Reddy’s Laboratories Ltd .- ADR + | 153,569 | ||||||
1,130 | Merck KGaA | 153,918 | ||||||
390 | Roche Holding AG | 136,960 | ||||||
1,640 | Sanofi | 166,476 | ||||||
610,923 | ||||||||
COMMERCIAL SUPPORT SERVICES - 2.4% | ||||||||
190 | Eurofins Scientific SE | 153,221 | ||||||
CONSTRUCTION MATERIALS - 2.1% | ||||||||
19,000 | Anhui Conch Cement Co. Ltd. | 137,550 | ||||||
E-COMMERCE DISCRETIONARY - 2.9% | ||||||||
2,410 | JD.Com, Inc. - ADR * | 189,522 | ||||||
ELECTRIC UTILITIES - 2.6% | ||||||||
18,320 | Enel SpA * | 166,253 | ||||||
ENGINEERING & CONSTRUCTION - 1.8% | ||||||||
7,590 | CIMIC Group Ltd. | 118,502 | ||||||
ENTERTAINMENT CONTENT - 4.4% | ||||||||
230 | NCSoft Corp. | 159,567 | ||||||
5,600 | Nexon Co. Ltd. | 130,876 | ||||||
290,443 | ||||||||
HOUSEHOLD PRODUCTS - 2.0% | ||||||||
6,200 | Lion Corp. | 131,352 | ||||||
INSURANCE - 8.6% | ||||||||
3,290 | Ageas | 137,396 | ||||||
763 | Allianz SE - ADR | 165,923 | ||||||
9,430 | Manulife Financial Corp. | 139,093 | ||||||
159,000 | PICC Property & Casualty Co. Ltd. | 122,614 | ||||||
565,026 | ||||||||
LESIURE FACILITIES AND SERVICES - 2.4% | ||||||||
7,480 | Aristocrat Leisure Ltd. | 156,247 | ||||||
MACHINERY - 2.8% | ||||||||
16,950 | HUSQVARNA AB | 185,090 | ||||||
MEDICAL EQUIPMENT & DEVICES - 2.6% | ||||||||
8,500 | Olympus Corp. | 168,047 | ||||||
METALS & MINING - 5.1% | ||||||||
6,800 | Anglo American PLC | 167,383 | ||||||
6,110 | BHP Billiton Ltd. | 169,166 | ||||||
336,549 |
See accompanying notes to financial statements.
63
SCHEDULES OF INVESTMENTS |
INTERNATIONAL EQUITY PORTFOLIO (Continued) |
August 31, 2020 |
Shares | Value | |||||||
COMMON STOCK - 99.4% (Continued) | ||||||||
OIL & GAS PRODUCERS - 3.0% | ||||||||
4,370 | BP PLC - ADR | $ | 91,464 | |||||
13,000 | Respol SA | 102,913 | ||||||
194,377 | ||||||||
RETAIL CONSUMER STAPLES - 2.3% | ||||||||
62,900 | Wal-Mart de Mexico SAB de CV | 150,597 | ||||||
RETAIL DISCRETIONARY - 2.4% | ||||||||
9,880 | HomeBanc Corp. | 158,602 | ||||||
SEMICONDUCTORS - 2.4% | ||||||||
3,590 | Dialog Semiconductor PLC * | 156,300 | ||||||
TECHNOLOGY HARDWARE - 8.9% | ||||||||
283,000 | Lenovo Group Ltd. | 188,682 | ||||||
2,500 | Sony Corp. | 195,521 | ||||||
16,890 | Telefonaktiebolaget LM Ericsson * | 197,503 | ||||||
581,706 | ||||||||
TECHNOLOGY SERVICES - 2.8% | ||||||||
3,800 | Otsuka Corp. | 186,261 | ||||||
TELECOMMUNICATIONS - 4.6% | ||||||||
25,300 | Advanced Info Service PCL | 148,605 | ||||||
30,980 | Turkcell Iletism Hizmetleri AS - ADR | 151,182 | ||||||
299,787 | ||||||||
TRANSPORTATION & LOGISTICS - 2.0% | ||||||||
3,620 | Grupo Aeroportuario del Centro Norte SAB de CV - ADR | 131,985 | ||||||
TRANSPORTATION EQUIPMENT - 2.7% | ||||||||
87,000 | Weichai Power Co. Ltd. | 174,636 | ||||||
TOTAL COMMON STOCK (Cost - $6,406,373) | 6,490,054 | |||||||
SHORT-TERM INVESTMENTS - 0.5% | ||||||||
30,217 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.06% ^ | 30,217 | ||||||
(Cost - $30,217) | ||||||||
TOTAL INVESTMENTS - 99.9% (Cost - $6,436,590) | $ | 6,520,271 | ||||||
OTHER ASSETS AND LIABILITIES - 0.1% | 9,941 | |||||||
NET ASSETS - 100.0% | $ | 6,530,212 |
* | Non-income producing security. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on August 31, 2020. |
+ | All or a portion of the security is on loan. |
ADR - American Depositary Receipt
PCL - Public Company Limited
PLC - Public Limited Company
See accompanying notes to financial statements.
64
SCHEDULES OF INVESTMENTS |
INTERNATIONAL EQUITY PORTFOLIO (Continued) |
August 31, 2020 |
Country | Percent of Net Assets | |||
Japan | 15.0 | % | ||
Australia | 9.4 | % | ||
China | 8.7 | % | ||
Great Britain | 8.4 | % | ||
Sweden | 8.3 | % | ||
Germany | 4.9 | % | ||
South Korea | 4.7 | % | ||
Switzerland | 4.6 | % | ||
Mexico | 4.3 | % | ||
Cayman Islands | 2.9 | % | ||
Hong Kong | 2.9 | % | ||
Denmark | 2.7 | % | ||
France | 2.5 | % | ||
Italy | 2.5 | % | ||
Russia | 2.4 | % | ||
India | 2.4 | % | ||
Luxembourg | 2.4 | % | ||
Turkey | 2.3 | % | ||
Thailand | 2.3 | % | ||
Canada | 2.1 | % | ||
Belgium | 2.1 | % | ||
Spain | 1.6 | % | ||
United States | 0.6 | % | ||
Net Assets | 100.0 | % |
See accompanying notes to financial statements.
65
SCHEDULES OF INVESTMENTS |
HEALTH & BIOTECHNOLOGY PORTFOLIO |
August 31, 2020 |
Shares | Value | |||||||
COMMON STOCK - 98.9% | ||||||||
BIOTECHNOLOGY & PHARMACEUTICALS- 50.7% | ||||||||
3,900 | AbbVie, Inc. | $ | 373,503 | |||||
2,780 | Alexion Pharmaceuticals, Inc. * | 317,532 | ||||||
2,685 | Amgen, Inc. | 680,164 | ||||||
2,300 | Biogen, Inc. * | 661,572 | ||||||
5,387 | Bristol-Meyers Squibb Company - CVR * | 14,437 | ||||||
8,670 | Gilead Sciences, Inc. | 578,722 | ||||||
15,050 | GlaxoSmithKline PLC - ADR | 595,980 | ||||||
1,455 | Johnson & Johnson | 223,211 | ||||||
4,940 | Merck & Co., Inc. | 421,234 | ||||||
5,795 | Novartis AG - ADR | 498,718 | ||||||
7,130 | Novo Nordisk A/S - ADR | 470,865 | ||||||
14,405 | Pfizer, Inc. | 544,365 | ||||||
205 | Regeneron Pharmaceuticals, Inc. * | 127,086 | ||||||
9,093 | Sanofi - ADR | 459,924 | ||||||
2,030 | United Therapeutics Corp. * | 217,129 | ||||||
1,070 | Vertex Pharmaceuticals, Inc. * | 298,658 | ||||||
6,483,100 | ||||||||
HEALTHCARE FACILITIES & SERVICES - 30.0% | ||||||||
1,740 | Anthem, Inc. | 489,845 | ||||||
8,300 | Cardinal Health, Inc. | 421,308 | ||||||
2,950 | Charles River Laboratories International, Inc. * | 645,903 | ||||||
3,314 | Cigna Corp. | 587,804 | ||||||
4,346 | CVS Health Corp. | 269,974 | ||||||
4,171 | McKesson Corp. | 639,998 | ||||||
2,910 | Quest Diagnostics, Inc. | 323,708 | ||||||
1,450 | UnitedHealth Group, Inc. | 453,198 | ||||||
3,831,738 | ||||||||
MEDICAL EQUIPMENT & DEVICES - 18.2% | ||||||||
7,089 | Alcon, Inc. * | 406,483 | ||||||
1,122 | Illumina, Inc. * | 400,801 | ||||||
225 | Intuitive Surgical, Inc. * | 164,439 | ||||||
5,020 | Medtronic PLC | 539,499 | ||||||
2,150 | Stryker Crop. | 426,044 | ||||||
2,740 | Zimmer Biomet Holdings, Inc. | 386,011 | ||||||
2,323,277 | ||||||||
TOTAL COMMON STOCK (Cost - $10,432,277) | 12,638,115 | |||||||
SHORT-TERM INVESTMENTS - 1.1% | ||||||||
143,116 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.06% ^ | 143,116 | ||||||
(Cost - $143,116) | ||||||||
TOTAL INVESTMENTS - 100.0% (Cost - $10,575,393) | $ | 12,781,231 | ||||||
OTHER ASSETS AND LIABILITIES - 0.0% | (3,435 | ) | ||||||
NET ASSETS - 100.0% | $ | 12,777,796 |
* | Non-income producing securities. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on August 31, 2020. |
ADR - American Depository Receipt.
PLC - Public Limited Company
See accompanying notes to financial statements.
66
SCHEDULES OF INVESTMENTS |
TECHNOLOGY & COMMUNICATIONS PORTFOLIO |
August 31, 2020 |
Shares | Value | |||||||
COMMON STOCK - 98.1% | ||||||||
E-COMMERCE DISCRETIONARY - 13.2% | ||||||||
1,763 | Amazon.com, Inc. * | $ | 6,084,042 | |||||
38,100 | eBay, Inc. | 2,087,118 | ||||||
8,171,160 | ||||||||
INTERNET MEDIA & SERVICES - 18.5% | ||||||||
1,839 | Alphabet, Inc. - Cl. A * | 2,996,706 | ||||||
2,761 | Alphabet, Inc. - Cl. C * | 4,511,971 | ||||||
13,404 | Facebook, Inc. * | 3,930,053 | ||||||
11,438,730 | ||||||||
REAL ESTATE INVESTMENT TRUST - 1.7% | ||||||||
6,915 | Digital Reality Trust, Inc. | 1,076,320 | ||||||
SEMICONDUCTORS - 16.5% | ||||||||
39,600 | Intel Corp. | 2,017,620 | ||||||
9,895 | KLA-Tencor Corp. | 2,029,860 | ||||||
21,220 | QUALCOMM, Inc. | 2,527,302 | ||||||
9,300 | Skyworks Solutions, Inc. | 1,347,105 | ||||||
21,635 | Xilinx, Inc. | 2,253,502 | ||||||
10,175,389 | ||||||||
SOFTWARE - 17.5% | ||||||||
6,000 | Citrix Systems, Inc. | 871,200 | ||||||
11,880 | Microsoft Corp. | 2,679,296 | ||||||
36,849 | Oracle Corp. | 2,108,500 | ||||||
7,120 | salesforce.com, Inc. * | 1,941,268 | ||||||
8,285 | Synopsys, Inc. * | 1,833,471 | ||||||
9,700 | VMware, Inc. * + | 1,401,068 | ||||||
10,834,803 | ||||||||
TECHNOLOGY HARDWARE - 13.5% | ||||||||
41,684 | Apple, Inc. | 5,378,903 | ||||||
49,210 | Cisco Systems, Inc. | 2,077,646 | ||||||
18,600 | NetApp, Inc. | 881,454 | ||||||
8,338,003 | ||||||||
TECHNOLOGY SERVICES - 17.2% | ||||||||
27,620 | Amdocs Ltd. | 1,691,173 | ||||||
8,412 | Global Payments, Inc. | 1,485,727 | ||||||
8,535 | International Business Machines Corp. | 1,052,451 | ||||||
7,795 | Jack Henry & Associates, Inc. | 1,289,450 | ||||||
4,139 | MasterCard, Inc. | 1,482,548 | ||||||
8,010 | PayPal Holdings, Inc. * | 1,635,161 | ||||||
9,502 | Visa, Inc. | 2,014,329 | ||||||
10,650,839 | ||||||||
TOTAL COMMON STOCK (Cost - $19,802,206) | 60,685,244 | |||||||
SHORT-TERM INVESTMENTS - 1.9% | ||||||||
1,165,999 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.06% ^ | $ | 1,165,999 | |||||
(Cost - $1,165,999) | ||||||||
TOTAL INVESTMENTS - 100.0% (Cost - $20,968,205) | $ | 61,851,243 | ||||||
OTHER ASSETS AND LIABILITIES - (0.0)% | (25,830 | ) | ||||||
NET ASSETS - 100.0% | $ | 61,825,413 |
* | Non-income producing securities. |
+ | All or a portion of the security is on loan. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on August 31, 2020. |
PLC - Public Limited Company
See accompanying notes to financial statements.
67
SCHEDULES OF INVESTMENTS |
ENERGY & BASIC MATERIALS PORTFOLIO |
August 31, 2020 |
Shares | Value | |||||||
COMMON STOCK - 98.2% | ||||||||
CHEMICALS - 19.0% | ||||||||
1,427 | BASF SE - ADR | $ | 21,760 | |||||
50 | Celanese Corp. | 5,057 | ||||||
411 | Dupont De Nemours, Inc. | 22,917 | ||||||
378 | Eastman Chemical Co. | 27,636 | ||||||
721 | Huntsman Corp. | 15,588 | ||||||
159 | Linde PLC | 39,709 | ||||||
477 | LyondellBasell Industries NV | 31,234 | ||||||
1,533 | Mosaic Co. | 27,947 | ||||||
120 | Westlake Chemical Corp. | 7,118 | ||||||
198,966 | ||||||||
CONTAINERS & PACKAGING - 8.8% | ||||||||
2,060 | Amcor PLC | 22,784 | ||||||
390 | Berry Global Group, Inc. * | 20,101 | ||||||
804 | International Paper Co. | 29,161 | ||||||
674 | WestRock Co. | 20,442 | ||||||
92,488 | ||||||||
METALS & MINING - 15.1% | ||||||||
1,650 | B2Gold Corp. | 11,121 | ||||||
880 | Barrick Gold Corp. | 26,092 | ||||||
990 | BHP Group Ltd. - ADR | 54,509 | ||||||
2,824 | Kinross Gold Corp. * | 25,077 | ||||||
360 | Rio Tinto PLC - ADR | 22,043 | ||||||
1,737 | Teck Resources Ltd. | 20,010 | ||||||
158,852 | ||||||||
OIL & GAS PRODUCERS - 46.7% | ||||||||
1,440 | BP PLC - ADR | 30,139 | ||||||
549 | Chevron Corp. | 46,078 | ||||||
521 | China Petroleum & Chemical Corp. - ADR | 23,903 | ||||||
357 | CNOOC Ltd. - ADR | 40,398 | ||||||
587 | Diamondback Energy, Inc. | 22,870 | ||||||
1,293 | Enbridge, Inc. | 41,402 | ||||||
1,110 | EQT Corp. | 17,616 | ||||||
1,791 | Equitrans Midstream Corp. | 18,411 | ||||||
1,248 | Exxon Mobil Corp. | 49,845 | ||||||
624 | HollyFrontier Corp. | 14,895 | ||||||
542 | Lukoil PJSC | 36,439 | ||||||
759 | Marathon Petroleum Corp. | 26,914 | ||||||
190 | ONEOK, Inc. | 5,221 | ||||||
437 | PetroChina Co. Ltd. - ADR * | 15,081 | ||||||
3,088 | Petroleo Brasileiro - ADR | 25,229 | ||||||
952 | Royal Dutch Shell PLC - ADR | 26,751 | ||||||
1,236 | TOTAL SA - ADR | 48,908 | ||||||
490,100 | ||||||||
OIL & GAS SERVICES & EQUIPMENT - 2.2% | ||||||||
1,074 | Baker Hughes, a GE Company | 15,337 | ||||||
1,010 | TechnipFMC PLC | 7,777 | ||||||
23,114 |
See accompanying notes to financial statements.
68
SCHEDULES OF INVESTMENTS |
ENERGY & BASIC MATERIALS PORTFOLIO (Continued) |
August 31, 2020 |
Shares | Value | |||||||
COMMON STOCK - 98.2% (Continued) | ||||||||
STEEL - 6.4% | ||||||||
410 | Nucor Corp. | $ | 18,639 | |||||
248 | Reliance Steel & Aluminum Co. | 26,008 | ||||||
770 | Steel Dynamics, Inc. | 22,730 | ||||||
67,377 | ||||||||
TOTAL COMMON STOCK (Cost - $1,122,552) | 1,030,897 | |||||||
SHORT-TERM INVESTMENTS - 1.3% | ||||||||
13,828 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.06% ^ | 13,828 | ||||||
(Cost - $13,828) | ||||||||
TOTAL INVESTMENTS - 99.5% (Cost - $1,136,380) | $ | 1,044,725 | ||||||
OTHER ASSETS AND LIABILITIES - 0.5% | 5,083 | |||||||
NET ASSETS - 100.0% | $ | 1,049,808 |
* | Non-income producing securities. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on August 31, 2020. |
ADR - American Depositary Receipt.
PLC - Public Limited Company.
See accompanying notes to financial statements.
69
SCHEDULES OF INVESTMENTS |
FINANCIAL SERVICES PORTFOLIO |
August 31, 2020 |
Shares | Value | |||||||
COMMON STOCK - 98.3% | ||||||||
ASSET MANAGEMENT - 9.5% | ||||||||
227 | Ameriprise Financial, Inc. | $ | 35,594 | |||||
71 | BlackRock, Inc. | 42,188 | ||||||
486 | Charles Schwab Corp. | 17,268 | ||||||
125 | Stifel Financial Corp. | 6,339 | ||||||
101,389 | ||||||||
BANKING - 31.4% | ||||||||
1,787 | Bank of America Corp. | 45,997 | ||||||
820 | Citigroup, Inc. | 41,918 | ||||||
230 | Citizens Financial Group, Inc. | 5,950 | ||||||
444 | JPMorgan Chase & Co. | 44,484 | ||||||
117 | M&T Bank Corp. | 12,081 | ||||||
510 | New York Community Bancorp, Inc. | 4,616 | ||||||
312 | PNC Financial Services Group, Inc. | 34,694 | ||||||
484 | Popular, Inc. | 17,927 | ||||||
388 | Prosperity Bancshares, Inc. | 21,154 | ||||||
209 | Signature Bank | 20,279 | ||||||
220 | Truist Financial Corp. | 8,538 | ||||||
967 | US Bancorp | 35,199 | ||||||
1,531 | Wells Fargo & Co. | 36,974 | ||||||
150 | Zions Bancorp NA | 4,824 | ||||||
334,635 | ||||||||
INSTITUTIONAL FINANCIAL SERVICES - 12.9% | ||||||||
657 | Bank of New York Mellon Corp. | 24,296 | ||||||
50 | CME Group, Inc. | 8,794 | ||||||
47 | Goldman Sachs Group, Inc. | 9,629 | ||||||
418 | Intercontinental Exchange, Inc. | 44,404 | ||||||
629 | Morgan Stanley | 32,872 | ||||||
256 | State Street Corp. | 17,431 | ||||||
137,426 | ||||||||
INSURANCE - 30.3% | ||||||||
576 | Aflac, Inc. | 20,920 | ||||||
357 | Allstate Corp. | 33,201 | ||||||
129 | American International Group, Inc. | 3,759 | ||||||
59 | Aon PLC | 11,799 | ||||||
579 | Berkshire Hathaway, Inc. * | 126,245 | ||||||
59 | Chubb Ltd. | 7,375 | ||||||
364 | Kemper Corp. | 28,268 | ||||||
80 | Marsh & McLennan Companies, Inc. | 9,193 | ||||||
816 | MetLife, Inc. | 31,383 | ||||||
128 | Progressive Corp. | 12,165 | ||||||
150 | RenaissanceRe Holdings Ltd. | 27,561 | ||||||
50 | Travelers Cos, Inc. | 5,802 | ||||||
120 | Voya Financial, Inc. | 6,229 | ||||||
323,900 | ||||||||
SPECIALTY FINANCE - 8.0% | ||||||||
340 | AGNC Investment Corp. | 4,797 | ||||||
274 | American Express Co. | 27,836 | ||||||
70 | Capital One Financial Corp. | 4,832 | ||||||
159 | Discover Financial Services | 8,440 | ||||||
506 | Fidelity National Financial, Inc. | 16,612 | ||||||
906 | Synchrony Financial | 22,478 | ||||||
84,995 |
See accompanying notes to financial statements.
70
SCHEDULES OF INVESTMENTS |
FINANCIAL SERVICES PORTFOLIO (Continued) |
August 31, 2020 |
Shares | Value | |||||||
COMMON STOCK - 98.3% (Continued) | ||||||||
TECHNOLOGY SERVICES - 6.2% | ||||||||
25 | Moody’s Corp. | $ | 7,366 | |||||
161 | S&P Global, Inc. | 58,995 | ||||||
66,361 | ||||||||
TOTAL COMMON STOCK (Cost - $856,509) | 1,048,706 | |||||||
SHORT-TERM INVESTMENTS - 1.5% | ||||||||
15,549 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.06% ^ | 15,549 | ||||||
(Cost - $15,549) | ||||||||
TOTAL INVESTMENTS - 99.8% (Cost - $872,058) | $ | 1,064,255 | ||||||
OTHER ASSETS AND LIABILITIES - 0.2% | 2,623 | |||||||
NET ASSETS - 100.0% | $ | 1,066,878 |
* | Non-income producing securities. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on August 31, 2020. |
See accompanying notes to financial statements.
71
SCHEDULES OF INVESTMENTS |
INVESTMENT QUALITY BOND PORTFOLIO |
August 31, 2020 |
Shares | Value | |||||||
MUTUAL FUNDS - 96.0% | ||||||||
DEBT FUNDS - 96.0% | ||||||||
62,446 | Vanguard Intermediate - Term Bond Index Fund | $ | 790,569 | |||||
326,586 | Vanguard Short-Term Bond Index Fund - Admiral Shares | 3,556,521 | ||||||
TOTAL MUTUAL FUNDS (Cost - $4,143,154) | 4,347,090 | |||||||
SHORT-TERM INVESTMENTS - 4.2% | ||||||||
189,112 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.06% ^ | 189,112 | ||||||
(Cost - $189,112) | ||||||||
TOTAL INVESTMENTS - 100.2% (Cost - $4,332,266) | $ | 4,536,202 | ||||||
OTHER ASSETS AND LIABILITIES - (0.2)% | (10,018 | ) | ||||||
NET ASSETS - 100.0% | $ | 4,526,184 |
^ | Money Market Fund; interest rate reflects seven-day effective yield on August 31, 2020. |
See accompanying notes to financial statements.
72
SCHEDULE OF INVESTMENTS |
MUNICIPAL BOND PORTFOLIO |
August 31, 2020 |
Shares | Value | |||||||
OPEN END FUNDS - 92.9% | ||||||||
8,928 | Vanguard Intermediate-Term Tax-Exempt Fund - Admiral Shares | $ | 131,504 | |||||
27,888 | Vanguard Short-Term Tax-Exempt Fund - Admiral Shares | 444,811 | ||||||
TOTAL OPEN END FUND (Cost - $565,746) | 576,315 | |||||||
SHORT-TERM INVESTMENT - 5.9% | ||||||||
36,330 | Dreyfus Tax Exempt Cash Management - Institutional Class, 0.01% ^ | 36,330 | ||||||
(Cost - $36,330) | ||||||||
TOTAL INVESTMENTS - 98.8% (Cost - $602,076) | $ | 612,645 | ||||||
OTHER ASSETS LESS LIABILITIES - 1.2% | 7,462 | |||||||
NET ASSETS - 100.0% | $ | 620,107 |
^ | Money Market Fund; interest rate reflects seven-day effective yield on August 31, 2020. |
See accompanying notes to financial statements.
73
SCHEDULES OF INVESTMENTS |
U.S. GOVERNMENT MONEY MARKET PORTFOLIO |
August 31, 2020 |
Principal | Value | |||||||
REPURCHASE AGREEMENT - 99.5% | ||||||||
$ | 5,668,000 | FICC Repurchase Agreement, 0.06%, due 9/01/2020 with a full maturity value of $5,668,009 | ||||||
(Collateralized by $5,478,600 U.S. Treasury Notes, 2.625% due 12/31/2023, aggregate market value plus accrued interest $5,951,773) | ||||||||
(Cost - $5,668,000) | $ | 5,668,000 | ||||||
SHORT-TERM INVESTMENTS - 0.0%* | ||||||||
49 | BlackRock Liquidity FedFund Institutional Class, 0.01% ^ | 49 | ||||||
49 | Dreyfus Government Cash Management Class I, 0.04% ^ | 49 | ||||||
49 | Federated Hermes Government Obligations Fund Institutional Class, 0.01% ^ | 49 | ||||||
48 | JPMorgan US Government Money Market Fund, 0.03% ^ | 48 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $195) | 195 | |||||||
TOTAL INVESTMENTS - 99.5% (Cost - $5,668,195) | $ | 5,668,195 | ||||||
OTHER ASSETS LESS LIABILITIES - 0.5% | 29,869 | |||||||
NET ASSETS - 100.0% | $ | 5,698,064 |
^ | Money Market Fund, interest rate reflects seven-day effective yield on August 31, 2020. |
* | Represents less than 0.1% of Net Assets. |
See accompanying notes to financial statements.
74
SCHEDULES OF INVESTMENTS |
AGGRESSIVE BALANCED ALLOCATION PORTFOLIO |
August 31, 2020 |
Shares | Value | |||||||
OPEN ENDED FUNDS - 89.2% | ||||||||
384 | Eaton Vance Global Macro Absolute Return Fund | $ | 3,330 | |||||
1,237 | James Alpha Global Real Estate Investments Portfolio, Class I + | 20,027 | ||||||
4,844 | James Alpha Macro Portfolio, Class I + | 42,339 | ||||||
1,820 | James Alpha Multi-Strategy Alternative Income Portfolio, Class I + | 17,122 | ||||||
1,415 | Saratoga Energy & Basic Materials Portfolio, Class I * + | 11,660 | ||||||
1,219 | Saratoga Health & Biotechnology Portfolio, Class I + | 28,068 | ||||||
7,709 | Saratoga Large Capitalization Growth Portfolio, Class I + | 220,474 | ||||||
5,950 | Saratoga Mid Capitalization Portfolio, Class I + | 69,018 | ||||||
1,074 | Saratoga Technology & Communications Portfolio, Class I + | 33,980 | ||||||
707 | Vanguard Financials Index Fund | 21,666 | ||||||
579 | Vanguard Small-Cap Index Fund | 44,022 | ||||||
4,226 | Vanguard Total Bond Market Index Fund | 49,150 | ||||||
1,318 | Vanguard Total International Stock Index Fund | 37,921 | ||||||
3,902 | Vanguard Value Index Fund | 163,943 | ||||||
TOTAL OPEN ENDED FUNDS (Cost - $736,530) | 762,720 | |||||||
SHORT-TERM INVESTMENT - 10.3% | ||||||||
87,732 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.06% ^ | |||||||
(Cost - $87,732) | 87,732 | |||||||
TOTAL INVESTMENTS - 99.5% (Cost - $824,262) | $ | 850,452 | ||||||
OTHER ASSETS LESS LIABILITIES - 0.5% | 4,694 | |||||||
NET ASSETS - 100.0% | $ | 855,146 |
* | Non-income producing securities. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on August 31, 2020. |
+ | Affiliated investment. |
See accompanying notes to financial statements.
75
SCHEDULES OF INVESTMENTS |
CONSERVATIVE BALANCED ALLOCATION PORTFOLIO |
August 31, 2020 |
Shares | Value | |||||||
OPEN ENDED FUNDS - 72.5% | ||||||||
1,679 | Eaton Vance Global Macro Absolute Return Fund | $ | 14,571 | |||||
7,855 | James Alpha Macro Portfolio, Class I + | 68,656 | ||||||
20,081 | Saratoga Large Capitalization Growth Portfolio, Class I + | 574,323 | ||||||
10,390 | Saratoga Mid Capitalization Portfolio, Class I + | 120,525 | ||||||
245 | Vanguard Small-Cap Index Fund | 18,594 | ||||||
42,853 | Vanguard Total Bond Market Index Fund | 498,375 | ||||||
519 | Vanguard Total International Stock Index Fund | 14,931 | ||||||
8,211 | Vanguard Value Index Fund | 344,932 | ||||||
TOTAL OPEN ENDED FUNDS (Cost - $1,543,098) | 1,654,907 | |||||||
SHORT-TERM INVESTMENT - 27.7% | ||||||||
633,991 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.06% ^ | |||||||
(Cost - $633,991) | 633,991 | |||||||
TOTAL INVESTMENTS - 100.2% (Cost - $2,177,089) | $ | 2,288,898 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.2)% | (5,311 | ) | ||||||
NET ASSETS - 100.0% | $ | 2,283,587 |
^ | Money Market Fund; interest rate reflects seven-day effective yield on August 31, 2020. |
+ | Affiliated investment. |
See accompanying notes to financial statements.
76
SCHEDULES OF INVESTMENTS |
MODERATE BALANCED ALLOCATION PORTFOLIO |
August 31, 2020 |
Shares | Value | |||||||
OPEN ENDED FUNDS - 83.2% | ||||||||
3,389 | Eaton Vance Global Macro Absolute Return Fund | $ | 29,413 | |||||
1,269 | James Alpha Global Real Estate Investments Portfolio, Class I + | 20,543 | ||||||
4,007 | James Alpha Macro Portfolio, Class I + | 35,022 | ||||||
2,699 | James Alpha Multi-Strategy Alternative Income Portfolio, Class I + | 25,397 | ||||||
1,960 | Saratoga Energy & Basic Materials Portfolio, Class I * + | 16,146 | ||||||
1,427 | Saratoga Health & Biotechnology Portfolio, Class I + | 32,846 | ||||||
13,675 | Saratoga Large Capitalization Growth Portfolio, Class I + | 391,118 | ||||||
13,701 | Saratoga Mid Capitalization Portfolio, Class I + | 158,935 | ||||||
1,180 | Saratoga Technology & Communications Portfolio, Class I + | 37,332 | ||||||
690 | Vanguard Financials Index Fund | 21,148 | ||||||
513 | Vanguard Small-Cap Index Fund | 39,020 | ||||||
18,040 | Vanguard Total Bond Market Index Fund | 209,801 | ||||||
963 | Vanguard Total International Stock Index Fund | 27,697 | ||||||
4,940 | Vanguard Value Index Fund | 207,533 | ||||||
TOTAL OPEN ENDED FUNDS (Cost - $1,185,846) | 1,251,951 | |||||||
SHORT-TERM INVESTMENT - 16.5% | ||||||||
247,761 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.06% ^ | |||||||
(Cost - $247,761) | 247,761 | |||||||
TOTAL INVESTMENTS - 99.7% (Cost - $1,433,607) | $ | 1,499,712 | ||||||
OTHER ASSETS LESS LIABILITIES - 0.3% | 4,223 | |||||||
NET ASSETS - 100.0% | $ | 1,503,935 |
* | Non-income producing securities. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on August 31, 2020. |
+ | Affiliated investment. |
See accompanying notes to financial statements.
77
SCHEDULES OF INVESTMENTS |
MODERATELY AGGRESSIVE BALANCED ALLOCATION PORTFOLIO |
August 31, 2020 |
Shares | Value | |||||||
OPEN ENDED FUNDS - 88.3% | ||||||||
5,061 | Eaton Vance Global Macro Absolute Return Fund | $ | 43,926 | |||||
751 | James Alpha Global Real Estate Investments Portfolio, Class I + | 12,159 | ||||||
2,954 | James Alpha Macro Portfolio, Class I + | 25,822 | ||||||
1,230 | James Alpha Multi-Strategy Alternative Income Portfolio, Class I + | 11,571 | ||||||
1,686 | Saratoga Energy & Basic Materials Portfolio, Class I * + | 13,889 | ||||||
872 | Saratoga Health & Biotechnology Portfolio, Class I + | 20,081 | ||||||
6,317 | Saratoga Large Capitalization Growth Portfolio, Class I + | 180,652 | ||||||
7,112 | Saratoga Mid Capitalization Portfolio, Class I + | 82,495 | ||||||
650 | Saratoga Technology & Communications Portfolio, Class I + | 20,574 | ||||||
372 | Vanguard Financials Index Fund | 11,401 | ||||||
373 | Vanguard Small-Cap Index Fund | 28,352 | ||||||
6,977 | Vanguard Total Bond Market Index Fund | 81,143 | ||||||
721 | Vanguard Total International Stock Index Fund | 20,735 | ||||||
2,477 | Vanguard Value Index Fund | 104,038 | ||||||
TOTAL OPEN ENDED FUNDS (Cost - $618,913) | 656,838 | |||||||
SHORT-TERM INVESTMENT - 10.9% | ||||||||
81,120 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.06% ^ | 81,120 | ||||||
(Cost - $81,120) | ||||||||
TOTAL INVESTMENTS - 99.2% (Cost - $700,033) | $ | 737,958 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.8% | 5,616 | |||||||
NET ASSETS - 100.0% | $ | 743,574 |
* | Non-income producing securities. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on August 31, 2020. |
+ | Affiliated investment. |
See accompanying notes to financial statements.
78
SCHEDULES OF INVESTMENTS |
MODERATELY CONSERVATIVE BALANCED ALLOCATION PORTFOLIO |
August 31, 2020 |
Shares | Value | |||||||
OPEN ENDED FUNDS - 83.1% | ||||||||
231 | Eaton Vance Global Macro Absolute Return Fund | $ | 2,001 | |||||
4,028 | James Alpha Macro Portfolio, Class I + | 35,203 | ||||||
8,692 | Saratoga Large Capitalization Growth Portfolio, Class I + | 248,577 | ||||||
8,696 | Saratoga Mid Capitalization Portfolio, Class I + | 100,880 | ||||||
525 | Vanguard Small-Cap Index Fund | 39,919 | ||||||
14,144 | Vanguard Total Bond Market Index Fund | 164,499 | ||||||
687 | Vanguard Total International Stock Index Fund | 19,761 | ||||||
3,622 | Vanguard Value Index Fund | 152,169 | ||||||
TOTAL OPEN ENDED FUNDS (Cost - $734,411) | 763,009 | |||||||
SHORT-TERM INVESTMENT - 20.2% | ||||||||
185,465 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.06% ^ | |||||||
(Cost - $185,465) | 185,465 | |||||||
TOTAL INVESTMENTS - 103.3% (Cost - $919,876) | $ | 948,474 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (3.3)% | (30,318 | ) | ||||||
NET ASSETS - 100.0% | $ | 918,156 |
^ | Money Market Fund; interest rate reflects seven-day effective yield on August 31, 2020. |
+ | Affiliated investment. |
See accompanying notes to financial statements.
79
CONSOLIDATED SCHEDULES OF INVESTMENTS |
JAMES ALPHA MACRO PORTFOLIO |
August 31, 2020 |
Shares | Value | |||||||
EXCHANGE TRADED FUNDS - 40.8% | ||||||||
ALTERNATIVE FUND - 0.2% | ||||||||
547 | IQ Merger Arbitrage ETF | $ | 17,679 | |||||
COMMODITY FUNDS - 5.1% | ||||||||
607 | Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 8,625 | ||||||
81 | iShares Commodities Select Strategy ETF | 2,094 | ||||||
13,681 | iShares S&P GSCI Commodity Indexed Trust * | 153,911 | ||||||
2,242 | ProShares UltraShort Bloomberg Crude Oil * | 33,832 | ||||||
1,068 | SPDR Gold Shares * | 197,398 | ||||||
5,787 | United States Natural Gas Fund LP * | 81,828 | ||||||
477,688 | ||||||||
EQUITY FUNDS - 15.2% | ||||||||
243 | AdvisorShares STAR Global Buy-Write ETF | 8,500 | ||||||
2,900 | CI First Asset Active Utility & Infrastructure ETF | 26,597 | ||||||
17,528 | Core Alternative ETF | 487,028 | ||||||
186 | Direxion NASDAQ-100 Equal Weighted Index Shares | 12,350 | ||||||
3 | First Trust Financial AlphaDEX Fund | 80 | ||||||
363 | Global X S&P 500 Covered Call ETF | 16,319 | ||||||
155 | Invesco KBW High Dividend Yield Financial ETF | 2,133 | ||||||
1,511 | Invesco S&P 500 Equal Weight ETF | 168,325 | ||||||
1,172 | iShares Currency Hedged MSCI EAFE ETF | 32,441 | ||||||
2,700 | iShares Exponential Technologies ETF | 133,974 | ||||||
1,567 | iShares Global Clean Energy ETF | 26,858 | ||||||
218 | iShares Latin America 40 ETF | 4,814 | ||||||
62 | iShares Mortgage Real Estate ETF | 1,649 | ||||||
1,427 | iShares MSCI All Country Asia ex Japan ETF | 110,963 | ||||||
203 | iShares MSCI Brazil ETF | 6,053 | ||||||
1,657 | iShares MSCI EAFE ETF | 107,672 | ||||||
1,240 | iShares MSCI Emerging Markets ETF | 55,230 | ||||||
198 | iShares MSCI Frontier 100 ETF | 5,057 | ||||||
358 | iShares MSCI Japan ETF | 20,771 | ||||||
176 | �� | iShares MSCI Mexico ETF | 5,792 | |||||
3,776 | iShares S&P/TSX Capped Materials Index ETF | 55,179 | ||||||
57 | iShares S&P/TSX Global Gold Index ETF | 1,045 | ||||||
1,298 | SPDR EURO STOXX 50 ETF | 49,454 | ||||||
22 | SPDR S&P Metals & Mining ETF | 546 | ||||||
56 | VanEck Vectors Africa Index ETF | 992 | ||||||
17 | VanEck Vectors Russia ETF | 386 | ||||||
453 | Vanguard FTSE Emerging Markets ETF | 20,018 | ||||||
857 | WBI BullBear Rising Income 3000 ETF | 24,773 | ||||||
512 | WisdomTree Global ex-US Quality Dividend Growth Fund | 34,411 | ||||||
1,419,410 | ||||||||
FIXED INCOME FUNDS - 17.8% | ||||||||
5,752 | Highland/iBoxx Senior Loan ETF | 91,802 | ||||||
807 | Invesco Senior Loan ETF | 17,649 | ||||||
235 | iShares 20+ Year Treasury Bond ETF | 38,115 | ||||||
277 | iShares 7-10 Year Treasury Bond ETF | 33,658 | ||||||
17,607 | iShares Barclays USD Asia High Yield Bond Index ETF | 184,345 | ||||||
234 | iShares Floating Rate Bond ETF | 11,861 | ||||||
1,325 | iShares iBoxx High Yield Corporate Bond ETF | 112,665 | ||||||
2,220 | iShares JP Morgan USD Emerging Markets Bond ETF | 252,148 | ||||||
23 | iShares MBS ETF | 2,546 | ||||||
2,748 | SPDR Bloomberg Barclays Euro High Yield Bond UCITS ETF | 181,019 | ||||||
1,445 | SPDR Bloomberg Barclays High Yield Bond ETF | 152,809 | ||||||
222 | SPDR Doubleline Total Return Tactical ETF | 10,991 | ||||||
178 | VanEck Vectors Emerging Markets High Yield Bond ETF | 4,130 | ||||||
9,564 | Vanguard Total International Bond ETF | 552,225 | ||||||
641 | WisdomTree Emerging Markets Local Debt Fund | 20,775 | ||||||
1,666,738 | ||||||||
MIXED ALLOCATION FUND - 2.5% | ||||||||
10,008 | iShares Morningstar Multi-Asset Income ETF | 228,883 | ||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $3,634,568) | 3,810,398 | |||||||
EXCHANGE TRADED NOTES - 0.1% | ||||||||
COMMODITY NOTES - 0.1% | ||||||||
378 | iPath Bloomberg Coffee Subindex Total Return ETN | 4,219 | ||||||
97 | iPath Bloomberg Grains Subindex Total Return ETN | 1,896 | ||||||
6,115 | ||||||||
SPECIALTY NOTE - 0.0% | ||||||||
2 | iPath Series B S&P 500 VIX Short-Term Futures ETN | 54 | ||||||
TOTAL EXCHANGE TRADED NOTE (Cost - $4,955) | 6,169 |
See accompanying notes to consolidated financial statements.
80
CONSOLIDATED SCHEDULES OF INVESTMENTS |
JAMES ALPHA MACRO PORTFOLIO (Continued) |
August 31, 2020 |
Shares | Value | |||||||
MUTUAL FUNDS - 38.4% | ||||||||
ALTERNATIVE FUNDS - 5.3% | ||||||||
18,328 | Altegris Futures Evolution Strategy Fund, Class I | $ | 136,179 | |||||
43,629 | AQR Managed Futures Strategy Fund, Class I | 361,252 | ||||||
497,431 | ||||||||
FIXED INCOME FUND - 33.1% | ||||||||
283,066 | James Alpha Structured Credit Value Portfolio, Class S # | 3,091,078 | ||||||
TOTAL MUTUAL FUNDS (Cost - $3,510,420) | 3,588,509 | |||||||
SHORT-TERM INVESTMENT - 2.0% | ||||||||
190,357 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.06% ^ (Cost - $190,357) | 190,357 | ||||||
TOTAL INVESTMENTS - 81.3% (Cost - $7,340,300) | 7,595,433 | |||||||
OTHER ASSETS AND LIABILITIES - 18.7% | 1,740,627 | |||||||
NET ASSETS - 100.0% | $ | 9,336,060 |
* | Non-income producing securities. |
+ | All or a portion of this investment is a holding of the James Alpha Cayman Commodity Fund I Ltd. |
# | Affiliated investments. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on August 31, 2020. |
ETF - Exhange Traded Fund
ETN - Exchange Traded Note
GSCI - Goldman Sachs Commodity Index
MBS - Mortgage Backed Security
MSCI - Morgan Stanley Capital International
SPDR - Standard & Poor’s Depository Receipt
UCITS - Undertakings for Collective Investments in Transferable Securities
Forward Currency Contracts | ||||||||||||||||||||
Settlement | Units to | US Dollar | Appreciation/ | |||||||||||||||||
Date | Receive/Deliver | Counterparty | In Exchange For | Value | (Depreciation) | |||||||||||||||
To Buy: | ||||||||||||||||||||
9/24/2020 | 244,032 | CAD | BNY Mellon | $ | 185,146 | USD | $ | 187,304 | $ | 2,158 | ||||||||||
9/24/2020 | 72,324 | CHF | BNY Mellon | 80,236 | USD | 80,373 | 137 | |||||||||||||
9/24/2020 | 6,511 | EUR | BNY Mellon | 7,773 | USD | 7,791 | 18 | |||||||||||||
9/24/2020 | 16,624 | GBP | BNY Mellon | 22,033 | USD | 22,262 | 229 | |||||||||||||
To Sell: | ||||||||||||||||||||
9/24/2020 | (94,809 | ) | AUD | BNY Mellon | (68,616 | ) | USD | (70,121 | ) | (1,505 | ) | |||||||||
9/24/2020 | (4,824,906 | ) | JPY | BNY Mellon | (45,778 | ) | USD | (45,512 | ) | 266 | ||||||||||
9/24/2020 | (478,226 | ) | MXN | BNY Mellon | (21,566 | ) | USD | (21,792 | ) | (226 | ) | |||||||||
$ | 1,077 |
Unrealized | ||||
TOTAL RETURN SWAP - 2.2% | Gain | |||
The Deutsche Bank Total Return Swap provides exposure to the daily, total returns of the James Alpha Index, a proprietary index of the London Branch of Deutsche Bank AG. The number of shares is 64,270, with a receivable rate of 0.38%. The James Alpha Index features a basket of commodity trading advisor (“CTA”) programs selected by James Alpha Advisors, LLC from an approved list of third-party managers offered through Deutsche Bank AG on its DB Select platform. The James Alpha Index comprises a diversified collection of strategy and style types, including trend following, short-term trading, discretionary, global macro, and sector specialists. According to the terms of the swap, James Alpha Advisors, LLC can modify the James Alpha Index as frequently as daily, on a T+1 basis, by adjusting the notional value of the James Alpha Index, or by adding, deleting, or re-weighting the constituent CTA programs. The swap became effective on December 7, 2016. The maturity date of the swap is December 9, 2022. (Notional Value 6,400,907) | $ | 202,405 | ||
$ | 202,405 | |||
Unrealized | ||||
TOTAL RETURN SWAP - 0.1% | Gain | |||
The Goldman Sachs i-Select III Series 88 Excess Return Strategy (“GS i-Select”) is a synthetic rules-based proprietary strategy created by Goldman Sachs International as strategy sponsor. The GS i-Select Index includes strategies of the GS Risk Premia Universe that were selected by James Alpha. The GS i-Select Index is actively managed by James Alpha. The Index features 15 Portfolio Constituents that James Alpha Advisors, LLC determines the daily weighting of each constituent within the GS i-Select Index. The GS i-Select Index is comprised a diversified collection of strategy and style types, including equity, interest rates, FX, commodities, and credit based strategies such as imbalance, volatility carry, carry, momentum, low beta, and quality. According to the terms of the GS i-Select Index, James Alpha Advisors, LLC can modify the GS i-Select Index as frequently as daily, by adjusting the notional value of the GS i-Select Index, or by adding, deleting, or re-weighting the constituent Indexes in the GS i-Select Index. The swap became effective on May 19, 2020, and has a term of one year there from unless terminated earlier. The number of shares is 31,419. (Notional Value $3,141,927) | $ | 11,263 | ||
$ | 11,263 |
See accompanying notes to consolidated financial statements.
81
CONSOLIDATED SCHEDULES OF INVESTMENTS |
JAMES ALPHA MACRO PORTFOLIO (Continued) |
August 31, 2020 |
James Alpha Index Swap Top 50 Holdings
FUTURES CONTRACTS* | ||||||||||||||||
Percentage of | ||||||||||||||||
Unrealized | Total Return | |||||||||||||||
Number of | Notional Value at | Appreciation / | Swap Unrealized | |||||||||||||
Contracts | Open Long Future Contracts | Counterparty | August 31, 2020 | Expiration | (Depreciation) | Gain | ||||||||||
4 | 2 year Euro-Schatz | Deutsche Bank | $ | 472,130 | 9/8/2020 | $ | (114 | ) | (0.06)% | |||||||
4 | 2 year US Treasury Notes | Deutsche Bank | 947,493 | 12/31/2020 | 320 | 0.16% | ||||||||||
1 | 2 year US Treasury Notes | Deutsche Bank | 148,648 | 9/30/2020 | 40 | 0.02% | ||||||||||
1 | 3 month Euro (EURIBOR) | Deutsche Bank | 405,286 | 3/14/2022 | 6 | 0.00% | ||||||||||
3 | 3 month Euro (EURIBOR) | Deutsche Bank | 774,703 | 12/19/2022 | (151 | ) | (0.07)% | |||||||||
2 | 3 month Sterling | Deutsche Bank | 289,093 | 12/16/2020 | 27 | 0.01% | ||||||||||
3 | 3 month Sterling | Deutsche Bank | 561,938 | 3/17/2021 | 11 | 0.01% | ||||||||||
12 | 3 month Sterling | Deutsche Bank | 1,922,967 | 6/16/2021 | 1,767 | 0.87% | ||||||||||
2 | 3 month Sterling | Deutsche Bank | 363,331 | 9/15/2021 | 78 | 0.04% | ||||||||||
1 | 3 month Sterling | Deutsche Bank | 181,137 | 12/15/2021 | 43 | 0.02% | ||||||||||
3 | 3 month Sterling | Deutsche Bank | 504,377 | 3/16/2022 | 121 | 0.06% | ||||||||||
8 | 3 month Sterling | Deutsche Bank | 1,348,470 | 6/15/2022 | 1,325 | 0.65% | ||||||||||
2 | 3 month Sterling | Deutsche Bank | 378,378 | 6/21/2023 | 445 | 0.22% | ||||||||||
6 | 3 year Australian Treasury Bond | Deutsche Bank | 492,223 | 9/15/2020 | (215 | ) | (0.11)% | |||||||||
3 | 5 year US Treasury Notes | Deutsche Bank | 342,086 | 12/31/2020 | 261 | 0.13% | ||||||||||
2 | 10 year Australian Treasury Bond Future | Deutsche Bank | 235,991 | 9/15/2020 | (2,751 | ) | (1.36)% | |||||||||
3 | 10 year Italian Bond | Deutsche Bank | 478,736 | 9/8/2020 | 12,647 | 6.25% | ||||||||||
4 | 10 year US Treasury Notes | Deutsche Bank | 588,990 | 12/21/2020 | (365 | ) | (0.18)% | |||||||||
2 | 30 year US Treasury Bonds | Deutsche Bank | 378,077 | 12/21/2020 | (2,758 | ) | (1.36)% | |||||||||
3 | 90 Day Bank Accepted Bill Future | Deutsche Bank | 459,535 | 3/11/2021 | 354 | 0.17% | ||||||||||
1 | 90 Day Bank Accepted Bill Future | Deutsche Bank | 260,510 | 6/10/2021 | 69 | 0.03% | ||||||||||
2 | AUD/USD | Deutsche Bank | 162,230 | 9/14/2020 | 8,357 | 4.13% | ||||||||||
2 | CAD/USD | Deutsche Bank | 155,903 | 9/15/2020 | 2,206 | 1.09% | ||||||||||
4 | Cotton No.2 Future | Deutsche Bank | 133,435 | 12/8/2020 | 5,713 | 2.82% | ||||||||||
40 | DJ EURO STOXX Banks Future | Deutsche Bank | 153,392 | 9/18/2020 | 2,358 | 1.16% | ||||||||||
2 | E-Mini Nasdaq-100 | Deutsche Bank | 487,883 | 9/18/2020 | 64,518 | 31.88% | ||||||||||
2 | EUR/JPY | Deutsche Bank | 268,895 | 9/14/2020 | 5,758 | 2.84% | ||||||||||
2 | EUR/USD | Deutsche Bank | 301,403 | 9/14/2020 | 9,779 | 4.83% | ||||||||||
1 | Euro-BOBL | Deutsche Bank | 137,817 | 9/8/2020 | (461 | ) | (0.23)% | |||||||||
4 | Euro-BUND | Deutsche Bank | 745,156 | 9/8/2020 | (4,630 | ) | (2.29)% | |||||||||
1 | Euro-BUXL | Deutsche Bank | 219,921 | 9/8/2020 | 3,104 | 1.53% | ||||||||||
3 | Eurodollar | Deutsche Bank | 684,321 | 3/15/2021 | (135 | ) | (0.07)% | |||||||||
1 | E urodollar | Deutsche Bank | 188,885 | 6/14/2021 | 214 | 0.11% | ||||||||||
3 | Eurodollar | Deutsche Bank | 864,968 | 6/13/2022 | (21 | ) | (0.01)% | |||||||||
4 | Eurodollar | Deutsche Bank | 937,346 | 12/19/2022 | (116 | ) | (0.06)% | |||||||||
2 | Eurodollar | Deutsche Bank | 565,951 | 6/19/2023 | 695 | 0.34% | ||||||||||
3 | Euro-OAT | Deutsche Bank | 501,978 | 9/8/2020 | 60 | 0.03% | ||||||||||
2 | GBP/USD | Deutsche Bank | 132,266 | 9/14/2020 | 4,207 | 2.08% | ||||||||||
1 | Gold | Deutsche Bank | 281,141 | 12/29/2020 | 6,898 | 3.41% | ||||||||||
5 | JPY/USD | Deutsche Bank | 555,062 | 9/14/2020 | 3,047 | 1.51% | ||||||||||
3 | Long Gilt Future | Deutsche Bank | 615,832 | 12/29/2020 | (4,859 | ) | (2.40)% | |||||||||
2 | Nikkei 225 Index | Deutsche Bank | 269,777 | 9/10/2020 | 622 | 0.31% | ||||||||||
1 | Silver | Deutsche Bank | 169,675 | 12/29/2020 | 11,010 | 5.44% | ||||||||||
3 | Three Month Canadian Bankers Acceptance Future | Deutsche Bank | 624,743 | 6/14/2021 | 112 | 0.06% | ||||||||||
$ | 129,596 | |||||||||||||||
Percentage of | ||||||||||||||||
Unrealized | Total Return | |||||||||||||||
Number of | Notional Value at | Appreciation / | Swap Unrealized | |||||||||||||
Contracts | Open Short Future Contracts | Counterparty | August 31, 2020 | Expiration | (Depreciation) | Gain | ||||||||||
0 | 10 year Japanese Government Bond | Deutsche Bank | $ | 455,399 | 9/14/2020 | $ | 218 | 0.11% | ||||||||
2 | Mini Japanese Goverment Bond Future | Deutsche Bank | 223,863 | 9/11/2020 | 538 | 0.27% | ||||||||||
$ | 756 | |||||||||||||||
TOTAL FUTURES CONTRACTS | $ | 130,352 |
FORWARD CURRENCY CONTRACTS +* | |||||||||||||||||||
Unrealized | |||||||||||||||||||
Settlement | Units to | US Dollar | Appreciation / | ||||||||||||||||
Date | Receive/Deliver | Counterparty | In Exchange For | Value | (Depreciation) | ||||||||||||||
To Buy: | |||||||||||||||||||
9/25/2020 | 170,437 | CHF | Deutsche Bank | $ | 154,774 | USD | $ | 153,826 | $ | (948 | ) | ||||||||
To Sell: | |||||||||||||||||||
9/16/2020 | 164,373 | USD | Deutsche Bank | 113,302 | AUD | 105,713 | 7,589 | ||||||||||||
9/16/2020 | 138,087 | USD | Deutsche Bank | 155,426 | EUR | 146,472 | 8,954 | ||||||||||||
9/25/2020 | 135,224 | USD | Deutsche Bank | 160,907 | EUR | 160,656 | 251 | ||||||||||||
16,794 | |||||||||||||||||||
TOTAL FORWARD CURRENCY CONTRACTS | $ | 15,846 |
+ | Foreign currency transactions are done by notional and not by contracts |
* | Non-income producing securities Currency Abbreviations: |
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
JPY - Japanese Yen
MXN - Mexican Peso
USD - U.S. Dollar
See accompanying notes to consolidated financial statements.
82
CONSOLIDATED SCHEDULES OF INVESTMENTS |
JAMES ALPHA MACRO PORTFOLIO (Continued) |
August 31, 2020 |
Goldman Sachs i-Select III Series 88 Excess Return Strategy Top 50 Holdings
FUTURES CONTRACTS * | ||||||||||||||||
Number of | Notional Value at | |||||||||||||||
Contracts | Open Long Future Contracts | Counterparty | August 31, 2020 | Expiration | ||||||||||||
0 | 90 Day Euro$ Future | Goldman Sachs | $103,460 | 12/14/2020 | ||||||||||||
0 | 90 Day Euro$ Future | Goldman Sachs | 103,550 | 3/15/2021 | ||||||||||||
0 | 90 Day Euro$ Future | Goldman Sachs | 103,573 | 6/14/2021 | ||||||||||||
0 | 90 Day Euro$ Future | Goldman Sachs | 103,576 | 9/13/2021 | ||||||||||||
0 | 90 Day Euro$ Future | Goldman Sachs | 103,548 | 12/13/2021 | ||||||||||||
0 | 90 Day Sterling Future | Goldman Sachs | 132,245 | 12/16/2020 | ||||||||||||
0 | 90 Day Sterling Future | Goldman Sachs | 132,321 | 3/17/2021 | ||||||||||||
0 | 90 Day Sterling Future | Goldman Sachs | 132,311 | 6/16/2021 | ||||||||||||
0 | 90 Day Sterling Future | Goldman Sachs | 132,311 | 9/15/2021 | ||||||||||||
0 | 90 Day Sterling Future | Goldman Sachs | 132,281 | 12/15/2021 | ||||||||||||
4 | Corn Future | Goldman Sachs | 66,342 | 3/12/2021 | ||||||||||||
0 | Euro-Bobl Future | Goldman Sachs | 405,494 | 9/8/2020 | ||||||||||||
0 | LME Zinc Future | Goldman Sachs | 24,730 | 1/18/2021 | ||||||||||||
0 | LME Zinc Future | Goldman Sachs | 24,754 | 2/15/2021 | ||||||||||||
1 | Soybean Future | Goldman Sachs | 28,989 | 3/12/2021 | ||||||||||||
1 | Soybean Future | Goldman Sachs | 25,635 | 5/14/2021 | ||||||||||||
0 | US 10Yr Note Future | Goldman Sachs | 46,721 | 12/21/2020 | ||||||||||||
0 | US 2 Yr Note Future | Goldman Sachs | 132,576 | 12/31/2020 | ||||||||||||
0 | US 5Yr Note Future | Goldman Sachs | 411,493 | 12/31/2020 | ||||||||||||
0 | US 5Yr Note Future | Goldman Sachs | 105,482 | 12/31/2020 | ||||||||||||
Number of | Notional Value at | |||||||||||||||
Contracts | Open Short Future Contracts | Counterparty | August 31, 2020 | Expiration | ||||||||||||
0 | 3 Month Euro Euribor Future | Goldman Sachs | $24,962 | 12/14/2020 | ||||||||||||
0 | 3 Month Euro Euribor Future | Goldman Sachs | 24,965 | 3/15/2021 | ||||||||||||
0 | 3 Month Euro Euribor Future | Goldman Sachs | 24,968 | 6/14/2021 | ||||||||||||
0 | 3 Month Euro Euribor Future | Goldman Sachs | 24,965 | 9/13/2021 | ||||||||||||
0 | 3 Month Euro Euribor Future | Goldman Sachs | 24,964 | 12/13/2021 | ||||||||||||
3 | Corn Future | Goldman Sachs | 59,255 | 12/14/2020 | ||||||||||||
0 | Euro-Bobl Future | Goldman Sachs | 25,688 | 12/8/2020 | ||||||||||||
1 | Euro-Bund Future | Goldman Sachs | 200,505 | 9/8/2020 | ||||||||||||
0 | Euro-Shatz Future | Goldman Sachs | 44,208 | 9/8/2020 | ||||||||||||
1 | Euro-Shatz Future | Goldman Sachs | 88,400 | 12/8/2020 | ||||||||||||
0 | Japan 10Y Bond | Goldman Sachs | 99,042 | 9/10/2020 | ||||||||||||
0 | LME Zinc Future | Goldman Sachs | 24,011 | 10/19/2020 | ||||||||||||
0 | LME Zinc Future | Goldman Sachs | 24,073 | 11/16/2020 | ||||||||||||
1 | Soybean Future | Goldman Sachs | 44,882 | 11/13/2020 | ||||||||||||
0 | US Long Bond Future | Goldman Sachs | 80,354 | 12/21/2020 | ||||||||||||
EQUITY FORWARDS | ||||||||||||||||
Number of | Notional Value at | Exercise | ||||||||||||||
Contracts | Open Short Equity Forwards | Counterparty | August 31, 2020 | Expiration | Price | Market Value | ||||||||||
17 | Amazon.com, Inc. | Goldman Sachs | $57,091 | 9/18/2020 | $ | 3,460.00 | $132 | |||||||||
11 | Amazon.com, Inc. | Goldman Sachs | 38,026 | 10/16/2020 | $ | 3,450.00 | (38 | ) | ||||||||
9 | Amazon.com, Inc. | Goldman Sachs | 32,642 | 1/15/2021 | $ | 3,450.00 | (84 | ) | ||||||||
422 | Apple, Inc. | Goldman Sachs | 54,509 | 9/18/2020 | $ | 128.75 | (136 | ) | ||||||||
377 | Apple, Inc. | Goldman Sachs | 48,644 | 10/16/2020 | $ | 128.75 | (136 | ) | ||||||||
281 | Apple, Inc. | Goldman Sachs | 36,258 | 12/18/2020 | $ | 130.00 | 283 | |||||||||
340 | Apple, Inc. | Goldman Sachs | 43,874 | 1/15/2021 | $ | 130.00 | 318 | |||||||||
132 | Facebook, Inc. | Goldman Sachs | 38,607 | 9/18/2020 | $ | 292.50 | (94 | ) | ||||||||
214 | Microsoft Corporation | Goldman Sachs | 48,351 | 9/18/2020 | $ | 225.00 | (122 | ) | ||||||||
130 | Microsoft Corporation | Goldman Sachs | 29,420 | 10/16/2020 | $ | 225.00 | (80 | ) | ||||||||
20 | S&P 500 Index | Goldman Sachs | 68,619 | 9/4/2020 | $ | 3,500.00 | 22 | |||||||||
65 | ||||||||||||||||
WRITTEN PUT OPTIONS | ||||||||||||||||
Number of | Notional Value at | Exercise | ||||||||||||||
Contracts | Open Written Put Options | Counterparty | August 31, 2020 | Expiration | Price | Market Value | ||||||||||
259 | S&P 500 Index | Goldman Sachs | $905,064 | 9/4/2020 | $ | 3,360 | $(892 | ) | ||||||||
347 | S&P 500 Index | Goldman Sachs | 1,214,235 | 9/4/2020 | $ | 3,295 | (581 | ) | ||||||||
175 | S&P 500 Index | Goldman Sachs | 610,944 | 9/4/2020 | $ | 3,265 | (226 | ) | ||||||||
(1,699 | ) |
Credit Default Swap | |||||||||||
Number of | Notional Value at | ||||||||||
Contracts | Open Credit Default Swap | Counterparty | August 31, 2020 | Expiration | Value | ||||||
27,620 | ITXEB533 Corp | Goldman Sachs | $32,862 | 6/20/2025 | $787 |
* | The GS i-Select invests in 15 Portfolio Constituents which do not trade individual futures, therefore the Futures do not have any individual unrealized gains/losses. |
See accompanying notes to consolidated financial statements.
83
SCHEDULES OF INVESTMENTS |
JAMES ALPHA GLOBAL REAL ESTATE INVESTMENTS PORTFOLIO |
August 31, 2020 |
Shares | Value | |||||||
COMMON STOCK - 99.7% | ||||||||
ASIA PACIFIC - 19.4% | ||||||||
AUSTRALIA - 1.8% | ||||||||
1,649,567 | Charter Hall Long Wale REIT | $ | 6,022,754 | |||||
3,501,692 | Waypoint REIT | 6,911,761 | ||||||
12,934,515 | ||||||||
HONG KONG - 6.6% | ||||||||
6,018,693 | Link REIT | 47,880,513 | ||||||
JAPAN - 10.4% | ||||||||
33 | Daiwa House REIT Investment Corp. | 86,114 | ||||||
61,810 | Japan Hotel REIT Investment Corp. | 28,588,777 | ||||||
11,064 | LaSalle Logiport REIT | 18,540,547 | ||||||
1,843,718 | Mitsubishi Estate Co. Ltd. | 28,818,285 | ||||||
76,033,723 | ||||||||
SINGAPORE - 0.6% | ||||||||
3,237,355 | Mapletree Commercial Trust | 4,564,030 | ||||||
TOTAL ASIA PACIFIC - (Cost - $177,715,091) | 141,412,781 | |||||||
EUROPE - 22.6% | ||||||||
FRANCE - 4.0% | ||||||||
634,850 | Accor SA* | 19,502,999 | ||||||
595,727 | Klepierre SA | 9,828,150 | ||||||
29,331,149 | ||||||||
GERMANY - 1.3% | ||||||||
305,503 | Instone Real Estate Group AG*# | 9,212,948 | ||||||
IRELAND - 2.6% | ||||||||
22,644,051 | Glenveagh Properties PLC*# | 19,080,576 | ||||||
ITALY - 4.4% | ||||||||
981,321 | COIMA RES SpA*# | 7,069,409 | ||||||
2,554,757 | Infrastrutture Wireless Italiane SpA# | 24,974,231 | ||||||
32,043,640 | ||||||||
SPAIN - 4.8% | ||||||||
549,209 | Cellnex Telecom SA# | 35,360,341 | ||||||
UNITED KINGDOM - 5.5% | ||||||||
7,144,039 | Assura PLC | 7,768,834 | ||||||
4,867,684 | Empiric Student Property PLC | 4,638,118 | ||||||
637,491 | Great Portland Estates PLC | 5,155,382 | ||||||
3,234,243 | McCarthy & Stone PLC*# | 3,113,849 | ||||||
9,317,718 | Tritax Big Box REIT PLC | 19,475,543 | ||||||
40,151,726 | ||||||||
TOTAL EUROPE (Cost - $201,437,868) | 165,180,380 |
See accompanying notes to financial statements.
84
SCHEDULES OF INVESTMENTS |
JAMES ALPHA GLOBAL REAL ESTATE INVESTMENTS PORTFOLIO (Continued) |
August 31, 2020 |
Shares | Value | |||||||
COMMON STOCK - 99.7% (Continued) | ||||||||
NORTH AMERICA - 57.7% | ||||||||
BERMUDA - 3.0% | ||||||||
5,624,002 | Hongkong Land Holdings Ltd. | $ | 21,539,928 | |||||
CANADA - 1.6% | ||||||||
1,233,656 | InterRent Real Estate Investment Trust | 11,787,879 | ||||||
CAYMAN ISLANDS - 5.2% | ||||||||
6,488,626 | CK Asset Holdings Ltd. | 35,218,507 | ||||||
568,737 | Wharf Real Estate Investment Co. Ltd. | 2,363,809 | ||||||
37,582,316 | ||||||||
UNITED STATES - 47.9% | ||||||||
979,675 | Acadia Realty Trust | 11,109,514 | ||||||
232,395 | American Homes 4 Rent | 6,655,793 | ||||||
33,600 | American Tower Corp. | 8,371,440 | ||||||
1,605,262 | Brixmor Property Group, Inc. | 18,942,091 | ||||||
1,679,137 | CatchMark Timber Trust, Inc. | 16,673,830 | ||||||
7,112,986 | Colony Capital, Inc. | 19,276,192 | ||||||
950,858 | CoreCivic, Inc. | 8,852,488 | ||||||
609,959 | Corporate Office Properties Trust | 15,029,390 | ||||||
586,840 | Easterly Government Properties, Inc. | 14,195,660 | ||||||
1,598,237 | Ellington Financial, Inc. | 19,914,033 | ||||||
174,032 | Equity LifeStyle Properties, Inc. | 11,536,581 | ||||||
976,163 | GEO Group, Inc. | 10,893,979 | ||||||
434,634 | Healthpeak Properties, Inc. | 12,013,284 | ||||||
180,613 | Hilton Worldwide Holdings, Inc. | 16,320,191 | ||||||
979,534 | Independence Realty Trust, Inc. | 11,470,343 | ||||||
1,213,936 | Invitation Homes, Inc. | 34,754,988 | ||||||
883,081 | Jernigan Capital, Inc. | 15,224,316 | ||||||
1,564,935 | Kennedy-Wilson Holdings, Inc. | 22,362,921 | ||||||
217,223 | Kilroy Realty Corp. | 12,711,890 | ||||||
282,757 | Marriott International, Inc. | 29,098,523 | ||||||
357,727 | MGM Growth Properties LLC | 10,041,397 | ||||||
297,281 | National Retail Properties, Inc. | 10,535,639 | ||||||
348,824 | New Senior Investment Group, Inc. | 1,527,849 | ||||||
216,671 | Welltower, Inc. | 12,462,916 | ||||||
349,975,248 | ||||||||
TOTAL NORTH AMERICA (Cost - $626,154,119) | 420,885,371 | |||||||
TOTAL COMMON STOCK (Cost - 1,005,307,078) | 727,478,532 | |||||||
SHORT-TERM INVESTMENTS - 0.8% | ||||||||
6,114,625 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.06% ^ | |||||||
(Cost - $6,114,625) | 6,114,625 | |||||||
TOTAL INVESTMENTS - 100.5% (Cost - $1,011,421,703) | $ | 733,593,157 | ||||||
OTHER ASSETS LESS LIABILITIES - (0.5)% | (3,677,811 | ) | ||||||
NET ASSETS - 100.0% | $ | 729,915,346 |
* | Non-income producing securities. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on August 31, 2020. |
# | Securities exempt from registration under Rule 144A of Securities Act of 1933. These securities may be resold in transaction exempt from registration to qualified institutional buyers. At August 31, 2020, these securities amounted to $98,811,354 or 13.54% of net assets. |
LLC - Limited Liability Company
PLC - Public Liability Company
REIT - Real Estate Investment Trust
See accompanying notes to financial statements.
85
SCHEDULES OF INVESTMENTS |
JAMES ALPHA GLOBAL REAL ESTATE INVESTMENTS PORTFOLIO (Continued) |
August 31, 2020 |
Forward Currency Contracts | ||||||||||||||||||||
Settlement | Units to | US Dollar | Unrealized | |||||||||||||||||
Date | Receive/Deliver | Counterparty | In Exchange For | Value | Appreciation/(Depreciation) | |||||||||||||||
To Buy: | ||||||||||||||||||||
9/2/2020 | 1,954,754,328 | JPY | BNY Mellon | 18,433,253 | USD | (18,441,252 | ) | (7,999 | ) | |||||||||||
Total Unrealized: | $ | (7,999 | ) | |||||||||||||||||
To Sell: | ||||||||||||||||||||
9/2/2020 | 132,266 | AUD | BNY Mellon | $ | 97,745 | USD | $ | (97,818 | ) | $ | (73 | ) | ||||||||
9/2/2020 | 2,630,849 | EUR | BNY Mellon | 3,139,493 | USD | (3,146,365 | ) | (6,872 | ) | |||||||||||
9/2/2020 | 1,508,277 | GBP | BNY Mellon | 2,003,106 | USD | (2,019,509 | ) | (16,403 | ) | |||||||||||
9/2/2020 | 17,398,212 | JPY | BNY Mellon | 164,401 | USD | (164,065 | ) | 336 | ||||||||||||
Total Unrealized: | $ | (23,012 | ) |
Currency Abbreviations:
AUD - Australian Dollar
EUR - Euro
GBP - British Pound
JPY - Japanes Yen
USD - U.S. Dollar
See accompanying notes to financial statements.
86
SCHEDULES OF INVESTMENTS |
JAMES ALPHA MULTI STRATEGY ALTERNATIVE INCOME PORTFOLIO |
August 31, 2020 |
Principal | Interest | Maturity | ||||||||||
Amount | Rate | Date | Value | |||||||||
CORPORATE BONDS - 5.8% | ||||||||||||
ASSET MANAGEMENT - 0.8% | ||||||||||||
$ | 100,000 | Icahn Enterprises Finance Corp. | 6.250% | 5/15/2026 | $ | 106,984 | ||||||
AUTOMOTIVE - 0.4% | ||||||||||||
50,000 | Ford Motor Credit Co. LLC | 5.085% | 1/7/2021 | 50,188 | ||||||||
CONTAINERS & PACKAGING - 1.5% | ||||||||||||
200,000 | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. # | 5.250% | 8/15/2027 | 208,276 | ||||||||
FOOD - 0.8% | ||||||||||||
100,000 | Post Holdings, Inc. # | 5.000% | 8/15/2026 | 103,954 | ||||||||
INSURANCE - 0.8% | ||||||||||||
100,000 | NMI Holdings, Inc. # | 7.375% | 6/1/2025 | 108,105 | ||||||||
REIT - 0.8% | ||||||||||||
100,000 | Service Properties Trust | 7.500% | 9/15/2025 | 108,883 | ||||||||
SPECIALTY FINANCE - 0.7% | ||||||||||||
100,000 | Park Aerospace Holdings Ltd. | 5.250% | 8/15/2022 | 99,330 | ||||||||
TOTAL CORPORATE BONDS (Cost - $754,660) | 785,720 | |||||||||||
Shares | ||||||||||||
COMMON STOCK - 66.9% | ||||||||||||
ADVERTISING & MARKETING - 0.2% | ||||||||||||
636 | ZoomInfo Technologies, Inc. | 24,690 | ||||||||||
APPAREL - 0.6% | ||||||||||||
729 | Canada Goose Holdings, Inc. * | 17,853 | ||||||||||
301 | Carter’s, Inc. | 23,966 | ||||||||||
1,446 | Skechers USA, Inc. * | 43,163 | ||||||||||
84,982 | ||||||||||||
ASSET MANAGEMENT - 3.8% | ||||||||||||
5,000 | E*TRADE Financial Corp. | 270,500 | ||||||||||
1,281 | Hamilton Lane, Inc. | 93,654 | ||||||||||
5,451 | Kennedy-Wilson Holdings, Inc. | 77,895 | ||||||||||
781 | LPL Financial Holdings, Inc. | 64,167 | ||||||||||
506,216 | ||||||||||||
AUTOMOTIVE - 0.1% | ||||||||||||
900 | Delphi Technologies PLC * | 15,633 | ||||||||||
BANKS - 0.3% | ||||||||||||
1,100 | Texas Capital Bancshares, Inc. * | 35,629 | ||||||||||
BEVERAGES - 0.3% | ||||||||||||
2,346 | Primo Water Corp. | 32,093 | ||||||||||
BIOTECH & PHARMACEUTICALS - 1.8% | ||||||||||||
300 | Aimmune Therapeutics, Inc. * | 10,266 | ||||||||||
439 | Bluebird Bio, Inc. * | 26,033 | ||||||||||
1,511 | Immunomedics, Inc. * | 67,330 | ||||||||||
1,372 | Liquidia Technologies, Inc. * | 7,025 | ||||||||||
200 | Livongo Health, Inc. * | 27,460 | ||||||||||
1,200 | Momenta Pharmaceuticals, Inc. * | 62,604 | ||||||||||
200 | Principia Biopharma, Inc. * | 20,002 | ||||||||||
1,480 | TransMedics Group, Inc. * | 26,388 | ||||||||||
247,108 | ||||||||||||
COMMERCIAL SUPPORT SERVICES - 1.6% | ||||||||||||
2,900 | Advanced Disposal Services, Inc. * | 87,377 | ||||||||||
162 | Avalara, Inc. * | 21,450 | ||||||||||
1,287 | Clean Harbors, Inc. * | 78,636 | ||||||||||
976 | HMS Holdings Corp. * | 27,221 | ||||||||||
214,684 | ||||||||||||
E-COMMERCE DISCRETIONARY - 0.4% | ||||||||||||
517 | Chewy, Inc. * | 31,573 | ||||||||||
1,066 | Revolve Group, Inc. * | 21,405 | ||||||||||
52,978 |
See accompanying notes to financial statements.
87
SCHEDULES OF INVESTMENTS |
JAMES ALPHA MULTI STRATEGY ALTERNATIVE INCOME PORTFOLIO (Continued) |
August 31, 2020 |
Shares | Value | |||||||
COMMON STOCK - 66.9% (Continued) | ||||||||
ELECTRIC UTILITIES - 0.4% | ||||||||
2,080 | PPL Corp. | $ | 57,470 | |||||
ELECTRICAL EQUIPMENT - 0.4% | ||||||||
876 | BWX Technologies, Inc. | 48,714 | ||||||
ENGINEERING & CONSTRUCTION - 1.7% | ||||||||
2,053 | Cellnex Telecom SA | 131,800 | ||||||
9,350 | Infrastrutture Wireless Italiane SpA | 91,302 | ||||||
223,102 | ||||||||
HEALTH CARE FACILITIES & SERVICES - 1.7% | ||||||||
691 | Accolade, Inc. * | 23,225 | ||||||
204 | Catalent, Inc. * | 18,870 | ||||||
696 | Invitae Corp. * | 24,332 | ||||||
2,675 | NeoGenomics, Inc. * | 104,191 | ||||||
746 | PPD, Inc. * | 25,618 | ||||||
973 | Progyny, Inc. * | 27,779 | ||||||
224,015 | ||||||||
HOME CONSTRUCTION - 0.5% | ||||||||
75,105 | Glenveagh Properties PLC | 63,324 | ||||||
INSURANCE - 3.0% | ||||||||
1,038 | GoHealth, Inc. * | 14,439 | ||||||
687 | Lemonade, Inc. * | 40,327 | ||||||
2,900 | National General Holdings Corp. | 98,745 | ||||||
437 | Selectquote, Inc. * | 7,975 | ||||||
1,200 | Willis Towers Watson PLC | 246,636 | ||||||
408,122 | ||||||||
INTERNET MEDIA & SERVICES - 0.8% | ||||||||
500 | 58.com, Inc. - ADR * | 27,680 | ||||||
243 | Fiverr International Ltd. * | 29,318 | ||||||
6,900 | Meet Group, Inc. * | 43,470 | ||||||
600 | Sogou, Inc. - ADR * | 5,190 | ||||||
105,658 | ||||||||
LEISURE FACILITIES & SERVICES - 3.0% | ||||||||
2,442 | Accor SA * | 75,174 | ||||||
1,400 | Cineplex, Inc. | 10,637 | ||||||
362 | Hilton Worldwide Holdings, Inc. | 32,710 | ||||||
885 | Marriott International, Inc. | 91,075 | ||||||
971 | Norwegian Cruise Line Holdings Ltd. * | 16,614 | ||||||
373 | Red Rock Resorts, Inc. | 6,369 | ||||||
970 | Shake Shack, Inc. * | 66,203 | ||||||
614 | Wingstop, Inc. | 100,328 | ||||||
399,110 | ||||||||
MACHINERY - 0.7% | ||||||||
1,246 | Ingersoll Rand, Inc. * | 43,685 | ||||||
671 | Tennant Co. | 44,601 | ||||||
88,286 | ||||||||
MEDICAL EQUIPMENT & DEVICES - 3.9% | ||||||||
304 | Acutus Medical, Inc. * | 10,664 | ||||||
512 | Axonics Modulation Technologies, Inc. * | 21,637 | ||||||
251 | Bio-Techne Corp. | 64,120 | ||||||
282 | CareDx, Inc. * | 9,630 | ||||||
3,037 | GenMark Diagnostics, Inc. * | 39,390 | ||||||
178 | Inspire Medical Systems, Inc. * | 21,262 | ||||||
715 | Novocure Ltd. * | 59,166 | ||||||
1,262 | Silk Road Medical, Inc. * | 76,957 | ||||||
800 | Varian Medical Systems, Inc. * | 138,936 | ||||||
2,900 | Wright Medical Group NV * | 87,667 | ||||||
529,429 |
See accompanying notes to financial statements.
88
SCHEDULES OF INVESTMENTS |
JAMES ALPHA MULTI STRATEGY ALTERNATIVE INCOME PORTFOLIO (Continued) |
August 31, 2020 |
Shares | Value | |||||||
COMMON STOCK - 66.9% (Continued) | ||||||||
METALS & MINING - 0.0% ** | ||||||||
1 | Newmont Corp. | $ | 67 | |||||
OIL & GAS PRODUCERS - 4.4% | ||||||||
1,059 | Antero Midstream Corp. | 7,169 | ||||||
991 | Cheniere Energy, Inc. * | 51,582 | ||||||
597 | Cheniere Energy Partners LP | 21,605 | ||||||
495 | Crestwood Equity Partners LP | 6,722 | ||||||
450 | DCP Midstream LP | 5,702 | ||||||
389 | Delek Logistics Partners LP | 12,829 | ||||||
992 | Enable Midstream Partners LP | 5,575 | ||||||
1,804 | Enbridge, Inc. | 57,764 | ||||||
4,533 | Energy Transfer LP | 29,102 | ||||||
1,739 | EnLink Midstream LLC | 5,200 | ||||||
2,160 | Enterprise Products Partners LP | 37,930 | ||||||
2,212 | Equitrans Midstream Corp. * | 22,738 | ||||||
902 | Genesis Energy LP | 4,826 | ||||||
571 | Holly Energy Partners LP | 8,160 | ||||||
2,996 | Kinder Morgan, Inc. | 41,405 | ||||||
938 | Magellan Midstream Partners LP | 35,653 | ||||||
2,185 | MPLX LP | 39,920 | ||||||
570 | NGL Energy Partners LP | 2,497 | ||||||
724 | NuStar Energy LP | 9,810 | ||||||
878 | ONEOK, Inc. | 24,127 | ||||||
642 | PBF Logistics LP | 6,195 | ||||||
460 | Phillips 66 Partners LP | 12,383 | ||||||
2,379 | Plains All American Pipeline LP | 16,843 | ||||||
1,266 | Plains GP Holdings LP | 9,254 | ||||||
457 | Rattler Midstream LP * | 3,825 | ||||||
769 | Shell Midstream Partners LP | 7,990 | ||||||
1,096 | Targa Resources Corp | 18,643 | ||||||
1,262 | TC Energy Corp | 58,885 | ||||||
335 | TC PipeLines LP | 10,174 | ||||||
1,241 | Tellurian, Inc. * | 1,153 | ||||||
1,025 | Western Midstream Partners LP | 9,297 | ||||||
584,958 | ||||||||
PUBLISHING & BROADCASTING - 0.1% | ||||||||
4,600 | Central European Media Enterprises Ltd. * | 19,067 | ||||||
REAL ESTATE OWNERS & DEVELOPERS - 2.6% | ||||||||
21,312 | CK Asset Holdings Ltd. | 115,770 | ||||||
2,502 | COIMA RES SpA * | 18,013 | ||||||
14,872 | Empiric Student Property PLC | 13,939 | ||||||
15,089 | Hongkong Land Holdings Ltd. | 57,791 | ||||||
966 | Instone Real Estate Group AG * | 29,056 | ||||||
10,586 | McCarthy & Stone PLC * | 10,177 | ||||||
6,545 | Mitsubishi Estate Co. Ltd. | 102,546 | ||||||
1,893 | Wharf Real Estate Investment Co. Ltd. | 7,877 | ||||||
355,169 | ||||||||
REITS - 14.0% | ||||||||
2,650 | Acadia Realty Trust | 30,051 | ||||||
38 | Alexandria Real Estate Equities, Inc. | 6,398 | ||||||
1,150 | American Homes 4 Rent | 32,936 | ||||||
290 | American Tower Corp. | 72,254 | ||||||
694 | Americold Realty Trust | 26,615 | ||||||
25,317 | Assura PLC | 27,458 | ||||||
3,494 | Brixmor Property Group, Inc. | 41,229 | ||||||
5,490 | CatchMark Timber Trust, Inc. | 54,516 | ||||||
5,874 | Charter Hall Long Wale REIT | 21,503 | ||||||
38,213 | Colony Capital, Inc. | 103,557 | ||||||
3,411 | CoreCivic, Inc. | 31,756 | ||||||
3,289 | Corporate Office Properties Trust | 81,041 | ||||||
597 | CyrusOne, Inc. | 49,867 | ||||||
2,221 | Easterly Government Properties, Inc. | 53,726 | ||||||
904 | Equity LifeStyle Properties, Inc. | 59,926 | ||||||
3,447 | GEO Group, Inc. | 38,469 | ||||||
4,078 | Global Medical REIT, Inc. | 52,158 | ||||||
3,149 | Great Portland Estates PLC | 25,450 |
See accompanying notes to financial statements.
89
SCHEDULES OF INVESTMENTS |
JAMES ALPHA MULTI STRATEGY ALTERNATIVE INCOME PORTFOLIO (Continued) |
August 31, 2020 |
Shares | Value | |||||||
COMMON STOCK - 66.9% (Continued) | ||||||||
REITS - 14.0% (Continued) | ||||||||
1,455 | Healthpeak Properties, Inc. | $ | 40,216 | |||||
2,652 | Independence Realty Trust, Inc. | 31,055 | ||||||
4,514 | InterRent Real Estate Investment Trust | 43,132 | ||||||
4,187 | Invitation Homes, Inc. | 119,874 | ||||||
218 | Japan Hotel REIT Investment Corp. | 101,142 | ||||||
3,121 | Jernigan Capital, Inc. | 53,806 | ||||||
572 | Kilroy Realty Corp. | 33,473 | ||||||
1,872 | Klepierre SA | 30,873 | ||||||
39 | LaSalle Logiport REIT | 65,463 | ||||||
20,764 | Link REIT | 165,305 | ||||||
9,931 | Mapletree Commercial Trust | 14,024 | ||||||
1,261 | MGM Growth Properties LLC | 35,396 | ||||||
921 | National Retail Properties, Inc. | 32,640 | ||||||
1,018 | New Senior Investment Group, Inc. | 4,459 | ||||||
115 | QTS Realty Trust, Inc. | 7,799 | ||||||
3,900 | Taubman Centers, Inc. | 149,370 | ||||||
33,092 | Tritax Big Box REIT PLC | 69,033 | ||||||
12,254 | Waypoint REIT | 24,197 | ||||||
949 | Welltower, Inc. | 54,586 | ||||||
1,884,753 | ||||||||
RETAIL - CONSUMER STAPLES - 1.4% | ||||||||
333 | Five Below, Inc. | 36,447 | ||||||
1,010 | Ollie’s Bargain Outlet Holdings, Inc. | 96,495 | ||||||
2,933 | OptimizeRx Corp. | 59,129 | ||||||
192,071 | ||||||||
RETAIL - DISCRETIONARY - 3.5% | ||||||||
4,422 | Caleres, Inc. | 34,536 | ||||||
3,427 | Designer Brands, Inc. | 24,160 | ||||||
4,100 | Hudson Ltd. * | 30,914 | ||||||
2,500 | Tiffany & Co. | 306,250 | ||||||
290 | Ulta Beauty, Inc. * | 67,332 | ||||||
463,192 | ||||||||
SEMICONDUCTORS - 0.6% | ||||||||
630 | Analog Devices, Inc. | 73,634 | ||||||
1 | Onto Innovation, Inc. * | 31 | ||||||
73,665 | ||||||||
SOFTWARE - 11.4% | ||||||||
1,372 | 1Life Healthcare, Inc. * | 40,021 | ||||||
430 | Alteryx, Inc. * | 51,957 | ||||||
292 | Bandwidth, Inc. * | 45,984 | ||||||
82 | BigCommerce Holdings, Inc. * | 9,660 | ||||||
100 | Bill.com Holdings, Inc. * | 9,898 | ||||||
800 | Bitauto Holdings Ltd. - ADR * | 12,616 | ||||||
618 | Black Knight, Inc. * | 51,974 | ||||||
426 | Blackline, Inc. * | 37,220 | ||||||
1,077 | Ceridian HCM Holding, Inc. * | 85,643 | ||||||
634 | Cloudflare, Inc. * | 24,257 | ||||||
2,315 | Domo, Inc. * | 94,267 | ||||||
378 | Duck Creek Technologies, Inc. * | 14,738 | ||||||
1,899 | Dynatrace, Inc. * | 83,993 | ||||||
1,829 | eGain Corp. * | 24,472 | ||||||
750 | Five9, Inc. * | 95,580 | ||||||
617 | Guidewire Software, Inc. * | 69,295 | ||||||
852 | Health Catalyst, Inc. * | 26,565 | ||||||
92 | HubSpot, Inc. * | 27,571 | ||||||
748 | Jamf Holding Corp. * | 28,873 | ||||||
300 | Majesco * | 4,797 | ||||||
3,123 | Medallia, Inc. * | 113,021 | ||||||
403 | nCino, Inc. * | 37,459 | ||||||
529 | Nutanix, Inc. * | 15,188 | ||||||
304 | Oak Street Health, Inc. * | 13,568 | ||||||
390 | Paylocity Holding Corp. * | 57,427 | ||||||
1,051 | Phreesia, Inc. * | 33,149 | ||||||
1,082 | Ping Identity Holding Corp. * | 37,297 | ||||||
1,649 | Pluralsight, Inc. * | 31,562 | ||||||
1,601 | PROS Holdings, Inc. * | 62,439 | ||||||
219 | RingCentral, Inc. * | 63,679 |
See accompanying notes to financial statements.
90
SCHEDULES OF INVESTMENTS |
JAMES ALPHA MULTI STRATEGY ALTERNATIVE INCOME PORTFOLIO (Continued) |
August 31, 2020 |
Shares | Value | |||||||||||
COMMON STOCK - 66.9% (Continued) | ||||||||||||
SOFTWARE - 11.4% (Continued) | ||||||||||||
300 | Rosetta Stone, Inc. * | $ | 9,114 | |||||||||
1,125 | Sailpoint Technologies Holdings, Inc. * | 44,134 | ||||||||||
675 | Sprout Social, Inc. * | 26,156 | ||||||||||
541 | Talend SA - ADR * | 22,278 | ||||||||||
1,079 | Tenable Holdings, Inc. * | 40,614 | ||||||||||
5,760 | USA Technologies, Inc. * | 52,704 | ||||||||||
604 | Vertex, Inc. * | 15,468 | ||||||||||
89 | Yext, Inc. * | 1,768 | ||||||||||
759 | Zuora, Inc. * | 10,315 | ||||||||||
1,526,721 | ||||||||||||
SPECIALTY FINANCE - 0.4% | ||||||||||||
4,372 | Ellington Financial, Inc. | 54,475 | ||||||||||
TECHNOLOGY HARDWARE - 0.2% | ||||||||||||
2,000 | Fitbit, Inc. * | 12,720 | ||||||||||
9 | PagerDuty, Inc. * | 294 | ||||||||||
937 | Pure Storage, Inc. * | 14,299 | ||||||||||
27,313 | ||||||||||||
TECHNOLOGY SERVICES - 0.7% | ||||||||||||
400 | CoreLogic, Inc. | 26,560 | ||||||||||
460 | Evo Payments, Inc. * | 13,216 | ||||||||||
445 | Repay Holdings Corp. * | 11,259 | ||||||||||
556 | Shift4 Payments, Inc. * | 28,006 | ||||||||||
115 | WEX, Inc. * | 18,367 | ||||||||||
97,408 | ||||||||||||
TELECOMMUNICATIONS - 0.2% | ||||||||||||
2,689 | Vonage Holdings Corp. * | 30,789 | ||||||||||
TRANSPORTATION & LOGISTICS - 0.9% | ||||||||||||
1,989 | CryoPort, Inc. * | 110,350 | ||||||||||
634 | Macquarie Infrastructure Corp. | 17,765 | ||||||||||
128,115 | ||||||||||||
TRANSPORTATION EQUIPMENT - 0.3% | ||||||||||||
1,300 | Navistar International Corp. * | 41,574 | ||||||||||
WHOLESALE - DISCRETIONARY - 1.0% | ||||||||||||
520 | Copart, Inc. * | 53,726 | ||||||||||
1,115 | IAA, Inc. * | 58,337 | ||||||||||
1,642 | KAR Auction Services, Inc. | 28,472 | ||||||||||
140,535 | ||||||||||||
TOTAL COMMON STOCK (Cost - $9,213,172) | 8,981,115 | |||||||||||
EXCHANGE TRADED FUNDS - 2.7% | ||||||||||||
DEBT FUNDS - 2.7% | ||||||||||||
4,800 | iShares 0-5 Year High Yield Corporate Bond ETF | 212,928 | ||||||||||
4,100 | iShares Preferred & Income Securities ETF | 150,470 | ||||||||||
1 | ProShares UltraShort 20+ Year Treasury | 16 | ||||||||||
363,414 | ||||||||||||
EQUITY FUND - 0.0% ** | ||||||||||||
1 | ProShares UltraShort Russell2000 | 9 | ||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $350,973) | 363,423 | |||||||||||
Interest Rate | Maturity Date | |||||||||||
PREFERRED STOCK - 3.0% | ||||||||||||
4,000 | Athene Holding Ltd. | 6.375% | Perpetual | 108,280 | ||||||||
7,500 | United States Cellular Corp. | 6.250% | 9/1/2069 | 196,745 | ||||||||
4,000 | Wells Fargo & Co. | 5.125% | Perpetual | 101,800 | ||||||||
TOTAL PREFERRED STOCK (Cost - $384,560) | 406,825 |
See accompanying notes to financial statements.
91
SCHEDULES OF INVESTMENTS |
JAMES ALPHA MULTI STRATEGY ALTERNATIVE INCOME PORTFOLIO (Continued) |
August 31, 2020 |
Shares | Value | |||||||
CLOSED END FUNDS - 10.6% | ||||||||
8,000 | BlackRock Core Bond Trust | $ | 125,760 | |||||
10,000 | BlackRock Corporate High Yield Fund Inc | 111,100 | ||||||
11,000 | BlackRock Credit Allocation Income Trust | 153,560 | ||||||
10,000 | BlackRock Limited Duration Income Trust | 149,400 | ||||||
8,000 | DoubleLine Income Solutions Fund | 128,400 | ||||||
10,000 | Eaton Vance Ltd Duration Income Fund | 117,400 | ||||||
10,800 | Invesco Dynamic Credit Opportunities Fund | 97,848 | ||||||
40,000 | Invesco Senior Income Trust | 147,200 | ||||||
7,000 | John Hancock Preferred Income Fund III | 115,500 | ||||||
13,000 | Nuveen Corporate Income November 2021 Target Term Fund | 118,950 | ||||||
7,000 | Nuveen Preferred & Income Term Fund | 158,760 | ||||||
TOTAL CLOSED END FUNDS (Cost - $1,256,558) | 1,423,878 | |||||||
OPEN END FUND - 5.7% | ||||||||
69,926 | James Alpha Structured Credit Value Portfolio, Class S + | 763,594 | ||||||
TOTAL OPEN END FUND (Cost - $713,761) | ||||||||
CONTINGENT VALUE RIGHT - 0.0% ** | ||||||||
300 | Bristol-Myers Squibb Co. | 804 | ||||||
TOTAL CONTINGENT VALUE RIGHT (Cost - $690) | ||||||||
SHORT-TERM INVESTMENT - 18.0% | ||||||||
2,414,754 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.06% ^ | 2,414,754 | ||||||
(Cost - $2,414,754) | ||||||||
TOTAL INVESTMENTS - 112.7% (Cost - $15,089,128) | $ | 15,140,113 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (12.7)% | (1,708,411 | ) | ||||||
NET ASSETS - 100.0% | $ | 13,431,702 | ||||||
SECURITIES SOLD SHORT - (19.3)% * | ||||||||
COMMON STOCK - (7.7)% | ||||||||
ADVERTISING & MARKETING - (0.0)% ** | ||||||||
1 | Magnite, Inc. | $ | 7 | |||||
AUTOMOTIVE - (0.1)% | ||||||||
388 | BorgWarner, Inc. | 15,749 | ||||||
BANKING - (0.4)% | ||||||||
1,135 | Independent Bank Group, Inc. | 52,777 | ||||||
1 | Prosperity Bancshares, Inc. | 55 | ||||||
52,832 | ||||||||
BIOTECH & PHARMACEUTICALS - (0.3)% | ||||||||
787 | Atara Biotherapeutics, Inc. * | 10,609 | ||||||
344 | Ionis Pharmaceuticals, Inc. * | 18,748 | ||||||
1,597 | Sinovac Biotech Ltd. | 10,332 | ||||||
39,689 | ||||||||
CHEMICALS - (0.3)% | ||||||||
225 | WD-40 Co. | 45,985 | ||||||
COMMERCIAL SUPPORT SERVICES - (0.1)% | ||||||||
536 | Korn Ferry | 16,348 | ||||||
GAS & WATER UTILITIES - (0.4)% | ||||||||
392 | Chesapeake Utilities Corp. | 32,066 | ||||||
235 | ONE Gas, Inc. | 17,418 | ||||||
49,484 | ||||||||
HEALTH CARE FACILITIES & SERVICES - (0.2)% | ||||||||
118 | Teladoc Health, Inc. | 25,451 |
See accompanying notes to financial statements.
92
SCHEDULES OF INVESTMENTS |
JAMES ALPHA MULTI STRATEGY ALTERNATIVE INCOME PORTFOLIO (Continued) |
August 31, 2020 |
Shares | Value | |||||||
SECURITIES SOLD SHORT - (19.3)% * (Continued) | ||||||||
COMMON STOCK - (7.7)% (Continued) | ||||||||
INSTITUTIONAL FINANCIAL SERVICES - (2.0)% | ||||||||
5,218 | Morgan Stanley | $ | 272,693 | |||||
INSURANCE - (2.4)% | ||||||||
1,296 | Aon PLC | 259,187 | ||||||
857 | Trupanion, Inc. * | 53,760 | ||||||
312,947 | ||||||||
SEMICONDUCTORS - (0.5)% | ||||||||
1,000 | Maxim Integrated Products, Inc. | 68,440 | ||||||
SOFTWARE - (0.4)% | ||||||||
450 | Altair Engineering, Inc. | 18,909 | ||||||
866 | Sapiens International Corp. NV | 29,046 | ||||||
47,955 | ||||||||
SPECIALTY FINANCE - (0.5)% | ||||||||
156 | Credit Acceptance Corp. | 60,341 | ||||||
375 | International Money Express, Inc. | 6,345 | ||||||
66,686 | ||||||||
TECHNOLOGY HARDWARE - (0.1)% | ||||||||
200 | Acacia Communications, Inc. | 13,496 | ||||||
TOTAL COMMON STOCK (Proceeds - $892,082) | 1,027,762 | |||||||
EXCHANGED TRADED FUNDS - (11.6)% | ||||||||
EQUITY FUNDS - (11.6)% | ||||||||
2,174 | iShares Russell 2000 ETF | 337,905 | ||||||
3,930 | iShares Russell 2000 Growth ETF | 890,224 | ||||||
1,593 | Utilities Select Sector SPDR Fund | 94,385 | ||||||
1,427 | Vanguard Consumer Staples ETF | 238,780 | ||||||
TOTAL EXCHANGED TRADED FUNDS (Proceeds - $1,305,406) | 1,561,294 | |||||||
TOTAL SECURITIES SOLD SHORT (Proceeds - $2,197,488) | $ | 2,589,056 |
* | Non-income producing securities |
** | Represents less than 0.05%. |
+ | Investment in affiliate |
# | Securities exempt from registration under Rule 144A of Securities Act of 1933. These securities may be resold in transaction exempt from registration to qualified institutional buyers. At August 31, 2020, these securities amounted to $420,335 or 3.13% of net assets. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on August 31, 2020. |
ADR - American Depositary Receipt
ETF - Exchange Traded Fund
LLC - Limited Liability Company
LP - Limited Partnerships
PLC - Public Liability Company
REIT - Real Estate Investment Trust
See accompanying notes to financial statements.
93
SCHEDULES OF INVESTMENTS |
JAMES ALPHA MANAGED RISK DOMESTIC EQUITY PORTFOLIO |
August 31, 2020 |
Shares | Value | |||||||||||||
EXCHANGE TRADED FUNDS - 91.6% | ||||||||||||||
EQUITY FUND - 91.6% | ||||||||||||||
142,000 | SPDR S&P500 ETF Trust + | $ | 49,602,020 | |||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $44,179,952) | ||||||||||||||
Notional | ||||||||||||||
Contracts (a) | Amount | Expiration Date - Exercise Price | ||||||||||||
OPTIONS PURCHASED - 4.2% * | ||||||||||||||
PUT OPTIONS PURCHASED - 3.5% | ||||||||||||||
300 | iPath Series B S&P 500 | $ | 101,100,000 | 10/19/20 - $3,370.00 | 1,930,500 | |||||||||
(Cost - $2,144,987) | 1,930,500 | |||||||||||||
CALL OPTIONS PURCHASED - 0.7% | ||||||||||||||
1,500 | S&P 500 Index | $ | 5,250,000 | 10/19/20 - $35.00 | 359,250 | |||||||||
(Cost - $240,389) | 359,250 | |||||||||||||
TOTAL PURCHASED OPTIONS (Cost - $2,385,376) | 2,289,750 | |||||||||||||
Shares | ||||||||||||||
SHORT-TERM INVESTMENTS - 0.7% | ||||||||||||||
393,007 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.06% ^ | |||||||||||||
(Cost - $393,007) | 393,007 | |||||||||||||
TOTAL INVESTMENTS - 96.5% (Cost - $46,958,335) | $ | 52,284,777 | ||||||||||||
TOTAL SECURITIES SOLD SHORT (Premiums Received - $313,625) - (0.6)% | (349,310 | ) | ||||||||||||
LIABILITIES LESS OTHER ASSETS - 4.1% | 2,225,928 | |||||||||||||
NET ASSETS - 100.0% | $ | 54,161,395 | ||||||||||||
Shares | Value | |||||||||||||
EXCHANGE TRADED FUNDS SHORT - (0.6)% | ||||||||||||||
EQUITY FUND - (0.6)% | ||||||||||||||
1,000 | SPDR S&P500 ETF Trust + | $ | 349,310 | |||||||||||
TOTAL EXCHANGE TRADED FUNDS (Proceeds - $313,625) | ||||||||||||||
Notional | ||||||||||||||
Contracts (a) | Amount | Expiration Date - Exercise Price | ||||||||||||
WRITTEN OPTIONS - (3.8)% * | ||||||||||||||
PUT OPTIONS WRITTEN - (1.3)% | ||||||||||||||
300 | S&P 500 Index | $ | 96,000,000 | 10/01/20 - $3,200.00 | 676,500 | |||||||||
(Premiums Received - $722,395) | 676,500 | |||||||||||||
CALL OPTIONS WRITTEN - (2.5)% | ||||||||||||||
1,500 | iPath Series B S&P 500 | 8,250,000 | 10/19/20 - $55.00 | 167,250 | ||||||||||
450 | SPDR S&P500 ETF Trust | 15,390,000 | 9/08/20 - $342.00 | 555,525 | ||||||||||
500 | SPDR S&P500 ETF Trust | 16,950,000 | 9/14/20 - $339.00 | 429,000 | ||||||||||
400 | SPDR S&P500 ETF Trust | 13,920,000 | 9/14/20 - $348.00 | 209,200 | ||||||||||
(Premiums Received - $901,383) | 1,360,975 | |||||||||||||
TOTAL WRITTEN OPTIONS (Premiums Received - $1,623,778) | $ | 2,037,475 |
* | Non-income producing security. |
+ | All or a portion of this security is segregated as collateral for options written. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on August 31, 2020. |
(a) | Each contract is equivalent to 100 shares of the underlying security. |
ETF - Exchange Traded Fund
See accompanying notes to financial statements.
94
SCHEDULES OF INVESTMENTS |
JAMES ALPHA MANAGED RISK DOMESTIC EQUITY PORTFOLIO (Continued) |
August 31, 2020 |
TOTAL RETURN SWAPS - 0.0% | ||||||||||||||||||
Notional | Expiration | Pay/Receive | Variable | Unrealized | ||||||||||||||
Amount | Reference Entity | Shares | Counterparty | Date | Fixed Rate | Rate (%) | Gain/(Loss) | |||||||||||
$ | 1,860,500 | SPY SPDR SP 500 ETF Trust | 5,000 | Goldman Sachs | 9/17/2020 | Pay | 0.15488 * | $ | — | |||||||||
3,721,000 | SPY SPDR SP 500 ETF Trust | 10,000 | Goldman Sachs | 9/17/2020 | Pay | 0.15488 * | — | |||||||||||
1,116,300 | SPY SPDR SP 500 ETF Trust | 3,000 | Goldman Sachs | 10/2/2020 | Pay | 0.15488 # | — | |||||||||||
2,604,700 | SPY SPDR SP 500 ETF Trust | 7,000 | Goldman Sachs | 11/9/2020 | Pay | 0.15488 # | — | |||||||||||
7,442,000 | SPY SPDR SP 500 ETF Trust | 20,000 | Goldman Sachs | 11/27/2020 | Pay | 0.15488 # | — | |||||||||||
1,860,500 | SPY SPDR SP 500 ETF Trust | 5,000 | Goldman Sachs | 1/1/2021 | Pay | 0.15488 # | — | |||||||||||
1,860,500 | SPY SPDR SP 500 ETF Trust | 5,000 | Goldman Sachs | 6/25/2021 | Pay | 0.15488 # | — | |||||||||||
$ | — |
# | Variable rate is Libor plus 0.40% |
* | Variable rate is Libor plus 0.50% |
See accompanying notes to financial statements.
95
SCHEDULES OF INVESTMENTS |
JAMES ALPHA MANAGED RISK EMERGING MARKETS EQUITY PORTFOLIO |
August 31, 2020 |
Shares | Value | |||||||||||||
EXCHANGE TRADED FUNDS - 47.3% | ||||||||||||||
EQUITY FUND - 47.3% | ||||||||||||||
43,000 | iShares MSCI Emerging Markets ETF + | $ | 1,915,220 | |||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $1,847,981) | ||||||||||||||
Notional | ||||||||||||||
Contracts (a) | Amount | Expiration Date - Exercise Price | ||||||||||||
OPTIONS PURCHASED - 4.9% * | ||||||||||||||
PUT OPTIONS PURCHASED - 4.9% | ||||||||||||||
800 | iShares MSCI Emerging Markets ETF | $ | 3,498,400 | 10/01/20 - $43.73 | 66,400 | |||||||||
450 | iShares MSCI Emerging Markets ETF | 1,980,000 | 10/19/20 - $44.00 | 56,025 | ||||||||||
450 | iShares MSCI Emerging Markets ETF | 2,025,000 | 10/19/20 - $45.00 | 75,150 | ||||||||||
TOTAL PURCHASED OPTIONS (Cost - $187,052) | 197,575 | |||||||||||||
Shares | ||||||||||||||
SHORT-TERM INVESTMENTS - 24.3% | ||||||||||||||
983,279 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.06% ^ | 983,279 | ||||||||||||
(Cost - $983,279) | ||||||||||||||
TOTAL INVESTMENTS - 76.5% (Cost - $3,018,312) | $ | 3,096,074 | ||||||||||||
OTHER ASSETS AND LIABILITIES - 23.5% | 952,025 | |||||||||||||
NET ASSETS - 100.0% | $ | 4,048,099 | ||||||||||||
Notional | ||||||||||||||
Contracts (a) | Amount | Expiration Date - Exercise Price | Value | |||||||||||
WRITTEN OPTIONS - (2.7)% * | ||||||||||||||
PUT OPTIONS WRITTEN - (1.4)% | ||||||||||||||
1,700 | iShares MSCI Emerging Markets ETF | 7,009,100 | 10/01/20 - $41.23 | 55,250 | ||||||||||
(Premiums Received - $53,171) | 55,250 | |||||||||||||
CALL OPTIONS WRITTEN - (1.3)% | ||||||||||||||
800 | iShares MSCI Emerging Markets ETF | 3,560,000 | 9/14/20 - $44.50 | 52,800 | ||||||||||
(Premiums Received - $102,457) | 52,800 | |||||||||||||
TOTAL OPTIONS WRITTEN (Premiums Received - $155,628) | $ | 108,050 |
* | Non-income producing security. |
+ | All or a portion of this security is segregated as collateral for options written. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on August 31, 2020. |
(a) | Each contract is equivalent to 100 shares of the underlying security. |
ETF - Exchange Traded Fund
TOTAL RETURN SWAPS - 0.0% | ||||||||||||||||||
Notional | Expiration | Pay/Receive | Variable | Unrealized | ||||||||||||||
Amount | Reference Entity | Shares | Counterparty | Date | Fixed Rate | Rate (%) | Gain/(Loss) | |||||||||||
$ | 2,564,240 | iShares MSCI Emerging Markets ETF | 56,000 | Goldman Sachs | 11/9/2020 | Pay | 0.15488 * | $ | — | |||||||||
686,850 | iShares MSCI Emerging Markets ETF | 15,000 | Goldman Sachs | 7/20/2021 | Pay | 0.15488 # | — | |||||||||||
$ | — |
# | Variable rate is Libor plus 0.30%. |
* | Variable rate is Libor plus 0.20%. |
See accompanying notes to financial statements.
96
SCHEDULES OF INVESTMENTS |
JAMES ALPHA HEDGED HIGH INCOME PORTFOLIO |
August 31, 2020 |
Principal | Coupon Rate (%) | Maturity Date | Value | |||||||||
ASSET-BACKED SECURITIES - 14.0% | ||||||||||||
AUTOMOBILE ASSET-BACKED SECURITIES - 2.1% | ||||||||||||
$ | 100,000 | CPS Auto Receivables Trust 2018-A # | 3.6600 | 12/15/2023 | $ | 102,254 | ||||||
30,000 | Drive Auto Receivables Trust 2020-2 | 2.2800 | 8/17/2026 | 30,918 | ||||||||
20,000 | Drive Auto Receivables Trust 2020-2 | 3.0500 | 5/15/2028 | 20,767 | ||||||||
150,000 | First Investors Auto Owner Trust 2017-2 # | 5.4800 | 10/15/2024 | 154,569 | ||||||||
160,000 | Foursight Capital Automobile Receivables Trust 2018-1 # | 6.8200 | 4/15/2025 | 167,807 | ||||||||
75,000 | United Auto Credit Securitization Trust 2019-1 # | 4.2900 | 8/12/2024 | 75,758 | ||||||||
100,000 | Westlake Automobile Receivables Trust 2018-3 # | 4.9000 | 12/15/2023 | 103,347 | ||||||||
655,420 | ||||||||||||
AGENCY COMMERCIAL ASSET-BACKED SECURITIES - 0.3% | ||||||||||||
100,000 | Multifamily Connecticut Avenue Securities Trust 2019-01 #, 1 mo. LIBOR +3.2500% | 3.4251 | * | 10/15/2049 | 93,922 | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 8.0% | ||||||||||||
143,289 | Alternative Loan Trust 2006-6CB | 5.7500 | 5/25/2036 | 85,732 | ||||||||
110,000 | Angel Oak Mortgage Trust I LLC 2017-1 # | 6.1189 | * | 1/25/2047 | 109,691 | |||||||
123,377 | Bellemeade Re 2017-1 Ltd #, 1 mo. LIBOR +3.3500% | 3.5251 | * | 10/25/2027 | 120,388 | |||||||
100,000 | Bunker Hill Loan Depositary Trust # | 4.3530 | * | 2/25/2055 | 104,003 | |||||||
100,000 | Deephaven Residential Mortgage Trust 2018-2 # | 4.3750 | * | 4/25/2058 | 101,601 | |||||||
130,000 | Deephaven Residential Mortgage Trust 2018-2 # | 6.0420 | * | 4/25/2058 | 125,691 | |||||||
99,421 | Fannie Mae Connecticut Avenue Securities , 1 mo. LIBOR +10.2500% | 10.4251 | * | 1/25/2029 | 110,092 | |||||||
50,000 | Fannie Mae Connecticut Avenue Securities #, 1 mo. LIBOR +3.6500% | 3.8251 | * | 2/25/2040 | 47,744 | |||||||
185,200 | Freddie Mac REMICS | 3.0000 | 10/15/2027 | 13,315 | ||||||||
89,756 | Fannie Mae REMICS | 3.0000 | 12/25/2027 | 5,572 | ||||||||
87,901 | Fannie Mae REMICS | 3.0000 | 1/25/2028 | 5,788 | ||||||||
96,327 | Fannie Mae REMICS | 3.0000 | 2/25/2028 | 5,933 | ||||||||
128,694 | Freddie Mac Structured Agency Credit Risk Debt Notes , 1 mo. LIBOR +8.8000% | 8.9751 | * | 3/25/2028 | 127,126 | |||||||
190,000 | Freddie Mac Structured Agency Credit Risk Debt Notes , 1 mo. LIBOR +4.2000% | 4.3751 | * | 2/25/2047 | 171,446 | |||||||
200,000 | Freddie Mac Structured Agency Credit Risk Debt Notes , 1 mo. LIBOR +10.5000% | 10.6751 | * | 2/25/2047 | 185,992 | |||||||
160,000 | Freddie Mac Structured Agency Credit Risk Debt Notes , 1 mo. LIBOR +11.0000% | 11.1751 | * | 10/25/2048 | 146,949 | |||||||
220,000 | Freddie Mac Structured Agency Credit Risk Debt Notes , 1 mo. LIBOR +10.7500% | 10.9251 | * | 1/25/2049 | 210,943 | |||||||
100,000 | Freddie Mac Structured Agency Credit Risk Debt Notes , 1 mo. LIBOR +12.2500% | 12.4251 | * | 2/25/2049 | 100,571 | |||||||
120,000 | Freddie Mac Structured Agency Credit Risk Debt Notes #, 1 mo. LIBOR +4.0500% | 4.2251 | * | 2/25/2049 | 111,411 | |||||||
160,000 | Freddie Mac Structured Agency Credit Risk Debt Notes , 1 mo. LIBOR +8.1500% | 8.3251 | * | 7/25/2049 | 130,332 | |||||||
60,000 | Freddie Mac Structured Agency Credit Risk Debt Notes #, 1 mo. LIBOR +3.1000% | 3.2751 | * | 3/25/2050 | 59,954 | |||||||
70,000 | Freddie Mac Structured Agency Credit Risk Debt Notes #, 1 mo. LIBOR +4.1000% | 4.2751 | * | 3/25/2050 | 61,368 | |||||||
20,000 | Freddie Mac Structured Agency Credit Risk Debt Notes #, 1 mo. LIBOR +3.7500% | 3.9080 | * | 8/25/2050 | 20,219 | |||||||
40,000 | Freddie Mac Structured Agency Credit Risk Debt Notes #, 1 mo. LIBOR +6.0000% | 6.1580 | * | 8/25/2050 | 40,826 | |||||||
199,014 | Government National Mortgage Association | 3.5000 | 12/12/2049 | 20,456 | ||||||||
207,730 | Government National Mortgage Association | 3.5000 | 12/20/2049 | 23,913 | ||||||||
170,000 | Oaktown Re III Ltd. #, 1 mo. LIBOR +4.3500% | 4.5251 | * | 7/25/2029 | 153,390 | |||||||
100,000 | Versus Securitization Trust # | 4.4520 | * | 7/25/2059 | 98,537 | |||||||
2,498,983 | ||||||||||||
CREDIT CARD ASSET-BACKED SECURITIES - 0.3% | ||||||||||||
120,000 | Continental Credit Card ABS 2019-1 LLC # | 6.1600 | 8/15/2026 | 115,814 | ||||||||
NON AGENCY COMMERCIAL ASSET-BACKED SECURITIES - 1.4% | ||||||||||||
114,000 | COMM 2019-GC44 Mortgage Trust # | 2.5000 | 8/15/2057 | 92,216 | ||||||||
160,000 | GS Mortgage Securities Trust 2016-GS4 # | 3.2330 | 11/10/2049 | 112,189 | ||||||||
100,000 | JPMBB Commercial Mortgage Securities Trust 2015-C31, weighted average of the net mortgage rates on the mortgage loans for distribution date minus 0.5000% | 4.2732 | * | 8/15/2048 | 82,976 | |||||||
125,000 | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16 # | 4.9274 | * | 6/15/2047 | 83,296 | |||||||
80,000 | Morgan Stanley Capital I Trust 2016-UBS9 # | 3.0000 | 3/15/2049 | 63,533 | ||||||||
434,210 | ||||||||||||
OTHER ASSET-BACKED SECURITIES - 1.9% | ||||||||||||
26,453 | Conn’s Receivables Funding 2018-A, LLC. # | 6.0200 | 1/15/2023 | 26,328 | ||||||||
150,000 | Progress Residential 2017-SFR1 Trust # | 5.3500 | 8/17/2034 | 153,841 | ||||||||
100,000 | Progress Residential 2018-SFR1 Trust # | 4.7780 | 3/17/2035 | 102,464 | ||||||||
100,000 | Tricon American Homes 2016-SFR1 Trust # | 5.7690 | 11/17/2033 | 99,310 | ||||||||
100,000 | Tricon American Homes 2017-SFR2 Trust # | 3.6720 | 1/17/2036 | 103,166 | ||||||||
100,000 | Tricon American Homes 2017-SFR2 Trust # | 5.1040 | 1/17/2036 | 104,273 | ||||||||
589,382 | ||||||||||||
TOTAL ASSET-BACKED SECURITIES (Cost - $4,583,440) | 4,387,731 | |||||||||||
BANK LOANS - 1.7% | ||||||||||||
AUTOMOTIVE - 0.3% | ||||||||||||
92,871 | Trico Group | — | 2/2/2024 | 91,478 |
See accompanying notes to financial statements.
97
SCHEDULES OF INVESTMENTS |
JAMES ALPHA HEDGED HIGH INCOME PORTFOLIO (Continued) |
August 31, 2020 |
Principal | Coupon Rate (%) | Maturity Date | Value | |||||||||
BANK LOANS - 1.7% (Continued) | ||||||||||||
COMMERCIAL SUPPORT SERVICES - 0.4% | ||||||||||||
$ | 129,938 | Dyncorp. | — | 8/16/2025 | $ | 129,613 | ||||||
ENTERTAINMENT CONTENT - 0.1% | ||||||||||||
44,663 | Sinclair Broadcasting | 3.4200 | 7/18/2026 | 37,907 | ||||||||
LEISURE FACILITIES & SERVICES - 0.5% | ||||||||||||
10,200 | Hard Rock Northern Indiana | — | 11/7/2025 | 9,665 | ||||||||
140,500 | Hard Rock Northern Indiana | — | 11/7/2025 | 133,125 | ||||||||
142,790 | ||||||||||||
MACHINERY - 0.2% | ||||||||||||
75,540 | Shape Technologies | 5.0879 | * | 4/4/2025 | 55,522 | |||||||
STEEL - 0.1% | ||||||||||||
34,038 | Big River Steel, 3 mo. LIBOR + 5.0000% | 7.3344 | * | 8/15/2023 | 33,952 | |||||||
TELECOMMUNICATIONS - 0.1% | ||||||||||||
31,780 | West Corp. | 6.0935 | 10/3/2024 | 28,483 | ||||||||
TOTAL BANK LOANS (Cost - $549,649) | 519,745 | |||||||||||
TERM LOANS - 1.0% | ||||||||||||
TOYS/GAMES/HOBBIES - 1.0% | ||||||||||||
348,826 | JAKKS Pacific Inc. (a)(b) | 10.5000 | 2/9/2023 | 314,692 | ||||||||
TOTAL TERM LOANS (Cost - $315,529) | 314,692 | |||||||||||
CORPORATE BONDS - 38.3% | ||||||||||||
ADVERTISING - 0.5% | ||||||||||||
173,000 | MDC Partners, Inc. # | 6.5000 | 5/1/2024 | 165,476 | ||||||||
AEROSPACE/DEFENSE - 0.9% | ||||||||||||
50,000 | Boeing Co. | 5.8050 | 5/1/2050 | 60,123 | ||||||||
200,000 | TransDigm, Inc. # | 6.2500 | 3/15/2026 | 211,391 | ||||||||
10,000 | Triumph Group, Inc. | 8.8750 | 6/1/2024 | 10,581 | ||||||||
282,095 | ||||||||||||
ASSET MANAGEMENT - 0.9% | ||||||||||||
140,000 | ICAHN Enterprises LP | 6.2500 | 5/15/2026 | 149,778 | ||||||||
140,000 | VistaJet Malta Finance PLC # | 10.5000 | 6/1/2024 | 126,365 | ||||||||
276,143 | ||||||||||||
AUTOMOTIVE - 1.9% | ||||||||||||
62,000 | Dealer Tire LLC # | 8.0000 | 2/1/2028 | 61,923 | ||||||||
35,000 | Ford Motor Co. | 8.5000 | 4/21/2023 | 38,745 | ||||||||
35,000 | Ford Motor Co. | 9.0000 | 4/22/2025 | 41,004 | ||||||||
300,000 | Ford Motor Credit Co. LLC | 5.0850 | 1/7/2021 | 301,125 | ||||||||
155,000 | General Motors Financial Co., Inc. | 3.8500 | 1/5/2028 | 163,269 | ||||||||
606,066 | ||||||||||||
BANKING - 1.4% | ||||||||||||
80,000 | Citigroup, Inc. | 4.7000 | * | 7/30/2168 | 79,750 | |||||||
99,000 | JP Morgan Chase & Co. | 5.0000 | Perpetual | 101,565 | ||||||||
110,000 | JP Morgan Chase & Co. | 4.6000 | Perpetual | 110,550 | ||||||||
70,000 | Sumitomo Mitsui Financial Group, Inc. | 3.2020 | 9/17/2029 | 76,112 | ||||||||
71,000 | Truist Financial Corp. | 5.1000 | Perpetual | 78,100 | ||||||||
446,077 |
See accompanying notes to financial statements.
98
SCHEDULES OF INVESTMENTS |
JAMES ALPHA HEDGED HIGH INCOME PORTFOLIO (Continued) |
August 31, 2020 |
Principal | Coupon Rate (%) | Maturity Date | Value | |||||||||
CORPORATE BONDS - 38.3% (Continued) | ||||||||||||
BIOTECHNOLOGY & PHARMACEUTICALS - 0.0% | �� | |||||||||||
$ | 15,000 | Bausch Health Companies, Inc. # | 5.2500 | 1/30/2030 | $ | 14,927 | ||||||
CABLE & SATELITE - 0.8% | ||||||||||||
100,000 | DISH DBS Corp. | 5.8750 | 7/15/2020 | 105,100 | ||||||||
135,000 | Sirius XM Radio, Inc. # | 4.1250 | 7/1/2030 | 142,270 | ||||||||
247,370 | ||||||||||||
CHEMICALS - 0.4% | ||||||||||||
56,000 | Nova Chemicals Corp. # | 5.2500 | 6/1/2027 | 54,250 | ||||||||
75,000 | Element Solutions, Inc. # | 3.8750 | 9/1/2028 | 76,740 | ||||||||
130,990 | ||||||||||||
COMMERCIAL SUPPORT SERVICES - 0.4% | ||||||||||||
35,000 | APX Group, Inc. # | 6.7500 | 2/15/2027 | 36,810 | ||||||||
97,000 | Tervita Escrow Corp. # | 7.6250 | 12/1/2021 | 81,576 | ||||||||
118,386 | ||||||||||||
CONSTRUCTION MATERIALS - 0.4% | ||||||||||||
60,000 | Standard Industries, Inc. # | 4.3750 | 7/15/2030 | 63,667 | ||||||||
45,000 | Summit Materials LLC # | 6.5000 | 3/15/2027 | 48,198 | ||||||||
5,000 | Summit Materials LLC # | 5.2500 | 1/15/2029 | 5,257 | ||||||||
117,122 | ||||||||||||
CONSUMER SERVICES - 0.3% | ||||||||||||
100,000 | Service Corp International | 3.3750 | 8/15/2030 | 102,086 | ||||||||
CONTAINERS & PACKAGING - 1.0% | ||||||||||||
55,000 | Ball Corp. | 2.8750 | 8/15/2030 | 55,014 | ||||||||
250,000 | Reynolds Group Issuer, Inc. # | 5.1250 | 7/15/2023 | 253,988 | ||||||||
309,002 | ||||||||||||
DIVERSIFIED INDUSTRIALS - 0.1% | ||||||||||||
25,000 | General Electric Co. | 4.2500 | 5/1/2040 | 25,286 | ||||||||
ELECTRIC UTILITIES- 0.2% | ||||||||||||
70,000 | Vistra Operations Co. LLC # | 5.6250 | 2/15/2027 | 74,127 | ||||||||
ENGINEERING & CONSTRUCTION - 0.9% | ||||||||||||
125,000 | Michael Baker International LLC # | 8.7500 | 3/1/2023 | 124,375 | ||||||||
85,000 | PowerTeam Services LLC # | 9.0330 | 12/4/2025 | 90,578 | ||||||||
132,837 | Stoneway Capital Corp # | 10.0000 | 3/1/2027 | 64,427 | ||||||||
279,380 | ||||||||||||
ENTERTAINMENT CONTENT - 0.1% | ||||||||||||
51,000 | Diamond Sports Group LLC # | 6.6250 | 8/15/2027 | 28,751 | ||||||||
FOOD - 1.2% | ||||||||||||
323,000 | Cooke Omega Investments, Inc. # | 8.5000 | 12/15/2022 | 333,825 | ||||||||
90,319 | Youngs PIK SCA (a) | 8.2500 | 8/31/2022 | 50,272 | ||||||||
384,097 | ||||||||||||
FOREST PAPER & WOOD PRODUCTS - 0.5% | ||||||||||||
135,000 | Schweitzer-Mauduit International, Inc. # | 6.8750 | 10/1/2026 | 145,606 | ||||||||
HEALTHCARE FACILITIES & SERVICES - 0.2% | ||||||||||||
55,000 | Centene Corp. | 3.3750 | 2/15/2030 | 57,355 | ||||||||
HOME CONSTRUCTION - 0.9% | ||||||||||||
250,000 | Taylor Morrison Communities, Inc. # | 5.1250 | 8/1/2030 | 272,112 | ||||||||
HOUSEHOLD PRODUCTS - 0.4% | ||||||||||||
40,000 | Clearwater Paper Corp. | 4.7500 | 8/15/2028 | 40,450 | ||||||||
60,000 | Edgewell Personal Care Co. # | 5.5000 | 6/1/2028 | 64,134 | ||||||||
36,000 | Energizer Holdings, Inc, | 4.7500 | 6/15/2028 | 37,613 | ||||||||
142,197 | ||||||||||||
INSURANCE - 1.2% | ||||||||||||
65,000 | CNO Financial Group, Inc. | 5.2500 | 5/30/2029 | 75,914 | ||||||||
100,000 | Liberty Mutual Insurance Co. # | 7.6970 | 10/15/2097 | 159,990 | ||||||||
105,000 | Nationwide Mutual Insurance Co. # | 4.3500 | 4/30/2050 | 116,089 | ||||||||
25,000 | New York Life Insurance Co. # | 3.7500 | 5/15/2050 | 28,544 | ||||||||
380,537 |
See accompanying notes to financial statements.
99
SCHEDULES OF INVESTMENTS |
JAMES ALPHA HEDGED HIGH INCOME PORTFOLIO (Continued) |
August 31, 2020 |
Principal | Coupon Rate (%) | Maturity Date | Value | |||||||||
CORPORATE BONDS - 38.3% (Continued) | ||||||||||||
INTERNET MEDIA & SERVICES - 0.2% | ||||||||||||
$ | 70,000 | Expedia Group, Inc. # | 4.6250 | 8/1/2027 | $ | 73,154 | ||||||
LEISURE FACILITIES & SERVICES - 2.0% | ||||||||||||
40,000 | Boyd Gaming Corp.# | 8.6250 | 6/1/2025 | 44,150 | ||||||||
15,000 | Carnival Corp. | 3.9500 | 10/15/2020 | 14,981 | ||||||||
10,000 | Carnival Corp. # | 10.5000 | 2/1/2026 | 10,525 | ||||||||
25,000 | Colt Merger Sub, Inc. # | 8.1250 | 7/1/2027 | 26,533 | ||||||||
110,000 | Enterprise Development Authority # | 12.0000 | 7/15/2024 | 120,851 | ||||||||
30,000 | Hyatt Hotels Corp. | 5.3750 | 4/23/2025 | 32,841 | ||||||||
40,000 | Marriott International, Inc. | 4.6250 | 6/15/2030 | 40,378 | ||||||||
55,000 | Scientific Games International, Inc. # | 7.0000 | 5/15/2028 | 54,005 | ||||||||
75,000 | Station Casinos LLC # | 4.5000 | 2/15/2028 | 71,482 | ||||||||
884,682 | Tunica-Biloxi Gaming Authority # | 3.7800 | 6/15/2020 | 185,783 | ||||||||
45,000 | Viking Cruises Ltd. # | 5.8750 | 9/15/2027 | 32,034 | ||||||||
633,563 | ||||||||||||
METALS & MINING - 1.2% | ||||||||||||
25,000 | Joseph T Ryerson & Son, Inc. # | 8.5000 | 8/1/2028 | 27,375 | ||||||||
373,000 | Mountain Province Diamonds, Inc. # | 8.0000 | 12/15/2022 | 274,039 | ||||||||
65,000 | Novelis Corp. # | 4.7500 | 1/30/2030 | 66,007 | ||||||||
367,421 | ||||||||||||
OIL & GAS PRODUCERS - 3.8% | ||||||||||||
48,000 | Cameron LNG LLC # | 3.4020 | 1/15/2038 | 51,761 | ||||||||
80,000 | Cenovus Energy, Inc. | 5.3750 | 7/15/2025 | 81,512 | ||||||||
744,000 | Delphi Energy Corp. (a) | 10.0000 | 7/15/2021 | 251,245 | ||||||||
120,000 | Energy Transfer Operating LP | 7.1250 | Perpetual | 104,898 | ||||||||
84,000 | EnLink Midstream LLC | 5.3750 | 6/1/2029 | 74,296 | ||||||||
16,000 | EnLink Midstream Partners LP | 5.6000 | 4/1/2044 | 10,629 | ||||||||
45,000 | Hess Midstream Partners LP # | 5.1250 | 6/15/2028 | 46,308 | ||||||||
90,000 | MEG Energy Corp. # | 7.1250 | 2/1/2027 | 86,334 | ||||||||
75,000 | Midwest Connector Capital Co. LLC # | 4.6250 | 4/1/2029 | 75,690 | ||||||||
70,000 | MPLX LP | 4.5000 | 4/15/2038 | 74,461 | ||||||||
35,000 | PBF Finance Corp. # | 9.2500 | 5/15/2025 | 38,375 | ||||||||
95,000 | PBF Finance Corp. # | 6.0000 | 2/15/2028 | 80,287 | ||||||||
85,000 | Petroleos Mexicanos # | 6.8400 | 1/23/2030 | 82,044 | ||||||||
105,631 | PetroQuest Energy, Inc. (a)(b) # | 10.0000 | 2/15/2024 | 23,107 | ||||||||
24,000 | Talos Petroleum LLC | 7.5000 | 5/31/2022 | 18,600 | ||||||||
90,000 | Tallgrass Energy Finance Corp. # | 6.0000 | 3/1/2027 | 84,375 | ||||||||
1,183,922 | ||||||||||||
OIL & GAS SERVICES & EQUIPMENT - 2.0% | ||||||||||||
59,000 | FTS International, Inc. | 6.2500 | 5/1/2022 | 20,945 | ||||||||
352,000 | ION Geophysical Corp. | 9.1250 | 12/15/2021 | 285,076 | ||||||||
190,224 | Noram Drilling Co AS | 9.0000 | ~ | 6/3/2021 | 190,224 | |||||||
100,000 | Shelf Drilling Holdings Ltd. # | 8.2500 | 2/15/2025 | 36,000 | ||||||||
19,000 | Transocean, Inc. # | 8.0000 | 2/1/2027 | 5,914 | ||||||||
88,000 | Transocean Sentry Ltd. # | 5.3750 | 5/15/2023 | 70,400 | ||||||||
608,559 | ||||||||||||
PUBLISHING & BROADCASTING - 0.9% | ||||||||||||
65,000 | Clear Channel Worldwide Holdings, Inc. | 9.2500 | 2/15/2024 | 63,869 | ||||||||
200,000 | Clear Channel International BV # | 6.6250 | 8/1/2025 | 207,750 | ||||||||
271,619 | ||||||||||||
REAL ESTATE INVESTMENT TRUST - 1.1% | ||||||||||||
45,000 | Istar, Inc. | 4.7500 | 10/1/2024 | 44,967 | ||||||||
105,000 | Istar, Inc. | 4.2500 | 8/1/2025 | 102,375 | ||||||||
40,000 | Lexington Realty Trust | 2.7000 | 9/15/2030 | 40,602 | ||||||||
55,000 | MPT Operating Partnership LP | 4.6250 | 8/1/2029 | 58,805 | ||||||||
100,000 | Park Intermediate Holdings LLC # | 7.5000 | 6/1/2025 | 107,500 | ||||||||
354,249 | ||||||||||||
RETAIL - DISCRETIONARY - 1.2% | ||||||||||||
35,000 | AutoNation, Inc. | 4.7500 | 6/1/2030 | 41,119 | ||||||||
125,000 | Conn’s Inc. | 7.2500 | 7/15/2022 | 106,689 | ||||||||
92,000 | DriveTime Automotive Group, Inc. # | 8.0000 | 6/1/2021 | 91,526 | ||||||||
423,000 | House of Fraser Funding PLC, 3 mo. LIBOR + 5.7500% | 6.6500 | 9/15/2020 | 19,823 | ||||||||
104,000 | Michaels Stores, Inc. # | 8.0000 | 7/15/2027 | 105,216 | ||||||||
364,373 |
See accompanying notes to financial statements.
100
SCHEDULES OF INVESTMENTS |
JAMES ALPHA HEDGED HIGH INCOME PORTFOLIO (Continued) |
August 31, 2020 |
Principal | Coupon Rate (%) | Maturity Date | Value | |||||||||
CORPORATE BONDS - 38.3% (Continued) | ||||||||||||
SEMICONDUCTORS - 2.3% | ||||||||||||
$ | 65,000 | Broadcom, Inc. | 4.1500 | 11/15/2030 | $ | 73,427 | ||||||
657,000 | MagnaChip Semiconductor Corp. | 6.6250 | 7/15/2021 | 659,382 | ||||||||
732,809 | ||||||||||||
SOFTWARE - 0.4% | ||||||||||||
120,000 | Citrix Systems, Inc. | 3.3000 | 3/1/2030 | 128,052 | ||||||||
SPECIALTY FINANCE - 2.9% | ||||||||||||
388,000 | ACE Cash Express, Inc. # | 12.0000 | 12/15/2022 | 281,300 | ||||||||
200,000 | Avation Capital SA # | 6.5000 | 5/15/2021 | 139,225 | ||||||||
95,000 | Avolon Holdings Funding Ltd. # | 3.6250 | 5/1/2022 | 91,988 | ||||||||
108,000 | �� | Freedom Mortgage Corp. # | 8.1250 | 11/15/2024 | 110,824 | |||||||
81,000 | Freedom Mortgage Corp. # | 8.2500 | 4/15/2025 | 83,472 | ||||||||
65,000 | Global Aircraft Leasing Co. Ltd # | 6.5000 | 9/15/2024 | 38,025 | ||||||||
35,000 | Nationstar Mortgage Holdings, Inc. # | 6.0000 | 1/15/2027 | 37,171 | ||||||||
40,000 | Nationstar Mortgage Holdings, Inc. # | 5.5000 | 8/15/2028 | 42,183 | ||||||||
84,000 | TitleMax Finance Corp. # | 11.1250 | 4/1/2023 | 75,276 | ||||||||
899,464 | ||||||||||||
TECHNOLOGY HARDWARE - 1.6% | ||||||||||||
73,457 | Interactive/FriendFinder Networks, Inc. | 14.0000 | 4/27/2025 | 60,602 | ||||||||
194,328 | Interactive/FriendFinder Networks, Inc. | 14.0000 | 4/27/2025 | 160,321 | ||||||||
250,000 | NCR Corp. # | 8.1250 | 4/15/2025 | 280,303 | ||||||||
501,226 | ||||||||||||
TELECOMMUNICATIONS - 2.6% | ||||||||||||
300,000 | Altice France SA # | 7.3750 | 5/1/2026 | 318,810 | ||||||||
407,000 | HC2 Holdings, Inc. # | 11.5000 | 12/1/2021 | 380,799 | ||||||||
55,000 | T-Mobile USA, Inc. # | 2.5500 | 2/15/2031 | 57,579 | ||||||||
50,000 | Windstream Services LLC # | 7.7500 | 8/15/2028 | 50,187 | ||||||||
807,375 | ||||||||||||
TRANSPORTATION & LOGISTICS - 1.5% | ||||||||||||
40,000 | Alaska Airlines 2020-1 Class A Pass Through Trust # | 4.8000 | 8/15/2027 | 41,956 | ||||||||
90,000 | Bristow Group, Inc. | 7.7500 | 12/15/2022 | 85,050 | ||||||||
200,000 | Global Ship Lease, Inc. # | 9.8750 | 11/15/2022 | 196,453 | ||||||||
65,000 | Milage Plus Holdings LLC # | 6.5000 | 6/20/2027 | 67,762 | ||||||||
70,000 | Western Global Airlines LLC # | 10.3750 | 8/15/2025 | 71,400 | ||||||||
462,621 | ||||||||||||
TOTAL CORPORATE BONDS (Cost - $14,017,152) | 11,993,595 | |||||||||||
CONVERTIBLE BONDS - 0.9% | ||||||||||||
BIOTECHNOLOGY & PHARMACEUTICALS - 0.1% | ||||||||||||
60,000 | Tricida, Inc. # | 3.5000 | 5/15/2027 | 38,862 | ||||||||
FOREST PAPER & WOOD PRODUCTS - 0.0% | ||||||||||||
330,000 | Fortress Global Enterprises, Inc. (a)(b) | 9.7500 | 12/31/2021 | 13 | ||||||||
LEISURE FACILITIES & SERVICES - 0.3% | ||||||||||||
45,000 | Carnival Corp # | 5.7500 | 4/1/2023 | 80,930 | ||||||||
15,000 | Royal Caribbean Cruises | 4.2500 | 6/15/2023 | 18,289 | ||||||||
99,219 | ||||||||||||
TRANSPORTATION & LOGISTICS - 0.5% | ||||||||||||
68,000 | Air Canada # | 4.0000 | 7/1/2025 | 83,205 | ||||||||
55,000 | Southwest Airlines Co. | 1.2500 | 5/1/2025 | 73,277 | ||||||||
156,482 | ||||||||||||
TOTAL CONVERTIBLE BONDS (Cost - $467,056) | 294,576 |
See accompanying notes to financial statements.
101
SCHEDULES OF INVESTMENTS |
JAMES ALPHA HEDGED HIGH INCOME PORTFOLIO (Continued) |
August 31, 2020 |
Shares | Coupon Rate (%) | Maturity Date | Value | |||||||||
PREFERRED STOCK - 3.8% | ||||||||||||
ASSET MANAGEMENT - 0.3% | ||||||||||||
4,000 | B Riley Financial, Inc . | — | Perpetual | 98,840 | ||||||||
BANKING - 0.8% | ||||||||||||
10,000 | Wells Fargo & Co. | 1.2813 | Perpetual | 254,500 | ||||||||
GAS & WATER UTILITIES - 0.3% | ||||||||||||
3,075 | South Jersey Industries Preferred | 1.4063 | Perpetual | 78,751 | ||||||||
INSURANCE - 0.5% | ||||||||||||
6,000 | Athene Holding Ltd. | 1.5938 | * | Perpetual | 162,420 | |||||||
LEISURE PRODUCTS - 0.0% | ||||||||||||
649 | JAKKS Pacific, Inc. (a)(b) | — | Perpetual | — | ||||||||
TELECOMMUNICATIONS - 1.9% | ||||||||||||
22,500 | United States Cellular Corp. | — | Perpetual | 590,236 | ||||||||
TOTAL PREFERRED STOCK (Cost - $1,131,400) | 1,184,747 | |||||||||||
COMMON STOCK - 1.7% | ||||||||||||
ENTERTAINMENT CONTENT - 0.0% | ||||||||||||
781 | FriendFinder Networks, Inc. (a)(b) + | — | ||||||||||
LEISURE PRODUCTS - 0.0% | ||||||||||||
18,994 | JAKKS Pacific, Inc. (a)(b) | — | ||||||||||
MACHINERY - 0.4% | ||||||||||||
161 | CE Star (a)(b) | 139,805 | ||||||||||
OIL & GAS - 0.0% | ||||||||||||
10,132 | PetroQuest Energy, Inc. (a)(b) | — | ||||||||||
107,881 | Zargon Oil & Gas Ltd. | 4,140 | ||||||||||
4,140 | ||||||||||||
RETAIL DISCRETIONARY - 0.4% | ||||||||||||
2,920 | Nebraska Book Holdings, Inc. (a)(b) | 133,283 | ||||||||||
METALS & MINING - 0.9% | ||||||||||||
8 | RA Parent, Inc. (a)(b) + | 274,482 | ||||||||||
TOTAL COMMON STOCK (Cost - $855,643) | 551,710 |
See accompanying notes to financial statements.
102
SCHEDULES OF INVESTMENTS |
JAMES ALPHA HEDGED HIGH INCOME PORTFOLIO (Continued) |
August 31, 2020 |
Shares | Value | |||||||
EXCHANGE TRADED FUNDS- 7.9% | ||||||||
DEBT FUNDS - 6.4% | ||||||||
9,300 | iShares 0-5 Year High Yield Corporate Bond ETF | 412,548 | ||||||
12,000 | iShares Preferred & Income Securities ETF | 440,400 | ||||||
10,001 | Proshares Ultrashort 20+ Year Treasury | 160,416 | ||||||
26,200 | VanEck Vectors Emerging Markets High Yield Bond ETF | 607,840 | ||||||
11,977 | VanEck Vectors J.P. Morgan EM Local Currency Bond ETF | 377,275 | ||||||
1,998,479 | ||||||||
EQUITY FUNDS - 1.5% | ||||||||
14,012 | Alerian MLP ETF | 323,537 | ||||||
5,405 | InfraCap MLP ETF | 90,426 | ||||||
500 | ProShares UltraPro Short S&P 500 | 4,000 | ||||||
7,400 | ProShares UltraShort Russell 2000 | 63,788 | ||||||
481,751 | ||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $3,386,576) | 2,480,230 | |||||||
MUTUAL FUNDS - 9.8% | ||||||||
DEBT FUNDS - 9.8% | ||||||||
280,849 | James Alpha Structured Credit Value Portfolio - Class S ++ | 3,066,873 | ||||||
TOTAL MUTUAL FUNDS (Cost - $2,808,492) | ||||||||
CLOSED END FUND - 8.3% | ||||||||
DEBT FUND - 8.3% | ||||||||
15,000 | Ares Dynamic Credit Allocation Fund Inc | 188,700 | ||||||
15,000 | BlackRock Core Bond Trust | 235,800 | ||||||
25,000 | BlackRock Corporate High Yield Fund, Inc. | 277,750 | ||||||
22,000 | BlackRock Credit Allocation Income Trust | 307,120 | ||||||
8,500 | BlackRock Limited Duration Income Trust | 126,990 | ||||||
20,000 | DoubleLine Income Solutions Fund | 321,000 | ||||||
25,000 | Eaton Vance Ltd Duration Income Fund | 293,500 | ||||||
15,622 | Invesco Dynamic Credit Opportunities Fund | 141,535 | ||||||
14,818 | John Hancock Preferred Income Fund III | 244,497 | ||||||
30,000 | Nuveen Credit Strategies Income Fund | 183,000 | ||||||
10,000 | Nuveen Preferred & Income Term Fund | 226,800 | ||||||
3,084 | PGIM High Yield Bond Fund Inc | 43,361 | ||||||
TOTAL CLOSED END FUND (Cost - $2,316,555) | 2,590,053 | |||||||
WARRANTS 0.0% | ||||||||
520,800 | DEE.WT.A WARRANTS (a) | 1,999 | ||||||
TOTAL WARRANTS (Cost - $3,130) | ||||||||
SHORT-TERM INVESTMENTS - 5.1% | ||||||||
1,605,067 | Dreyfus Institutional Preferred Government Money Market, Institutional Class, 0.06% * | 1,605,067 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $1,605,067) | ||||||||
TOTAL INVESTMENTS - 92.5% (Cost - $32,013,502) | 28,991,018 | |||||||
OTHER ASSETS AND LIABILITIES - 7.5% | 2,345,472 | |||||||
NET ASSETS - 100.0% | 31,336,490 |
* | Floating or variable rate security; rate shown represents the rate on August 31, 2020. |
~ | Pay in kind rate security. |
# | Securities exempt from registration under Rule 144A of Securities Act of 1933. These securities may be resold in transaction exempt from registration to qualified institutional buyers. At August 31, 2020, these securities amounted to $10,391,481 or 33.2% of net assets. |
+ | Represents issuer in default on interest payments; non-income producing security. |
^ | Perpetual maturity date listed is next call date. |
++ | Affiliated investment |
ETF - Exchange Traded Fund
LLC - Limited Liability Company.
LP - Limited Partnership
PLC - Public Limited Company
(a) | The value of this security has been determined in good faith under policies of the Board of Trustees. |
(b) | Security is illiquid; total illiquid securities represent $1,045,690 or 3.3% of net assets. |
See accompanying notes to financial statements.
103
SCHEDULES OF INVESTMENTS |
JAMES ALPHA HEDGED HIGH INCOME PORTFOLIO (Continued) |
August 31, 2020 |
Principal | Coupon Rate (%) | Maturity Date | Value | |||||||||
SECURITIES SOLD SHORT (0.4)% | ||||||||||||
CORPORATE BONDS - (0.4)% | ||||||||||||
APPAREL - (1.2)% | ||||||||||||
$ | 100,000 | Hanesbrands, Inc. # | 4.8750 | 5/15/2026 | 109,061 | |||||||
TOTAL CORPORATE BONDS (Proceeds - $95,637) | 109,061 | |||||||||||
TOTAL SECURITIES SOLD SHORT (Proceeds - $95,637) | 109,061 | |||||||||||
Long (Short) | Unrealized | |||||||||||||||
Contracts | Counter Party | Notional Value | Maturity | Gain / (Loss) | ||||||||||||
OPEN LONG FUTURE CONTRACTS - 0.0% | ||||||||||||||||
1 | 10-Year US Treasury Note Future | JP Morgan | $ | 139,250 | Dec-20 | (156 | ) | |||||||||
8 | 10- Year US Treasury Note Future | JP Morgan | 1,275,504 | Dec-20 | (5,755 | ) | ||||||||||
NET UNREALIZED GAIN FROM OPEN LONG CONTRACTS | (5,911 | ) | ||||||||||||||
OPEN SHORT FUTURE CONTRACTS - (0.1)% | ||||||||||||||||
(8 | ) | 2- Year US Treasury Note Future | JP Morgan | 1,767,568 | Dec-20 | (568 | ) | |||||||||
(6 | ) | 5- Year US Treasury Note Future | JP Morgan | 756,186 | Dec-20 | (634 | ) | |||||||||
(14 | ) | 10-Year USD Deliverable Interest Rate Swap Future | JP Morgan | 1,405,684 | Sep-20 | (29,747 | ) | |||||||||
(5 | ) | Euro Bund Future | JP Morgan | 1,049,805 | Sep-20 | (3,056 | ) | |||||||||
(10 | ) | US Long Bond Future | JP Morgan | 1,757,190 | Dec-20 | 24,998 | ||||||||||
NET UNREALIZED LOSS FROM OPEN SHORT CONTRACTS | (9,007 | ) | ||||||||||||||
NET UNREALIZED LOSS FROM OPEN FUTURES CONTRACTS | (14,918 | ) | ||||||||||||||
OPEN CREDIT DEFAULT SWAPS - (0.9)% |
Notional | Upfront Premiums | Expiration | Pay/Receive | |||||||||||||||||||||
Amount | Paid (Received) | Reference Entity | Counterparty | Date | Fixed Rate ^ | Fixed Rate | Value | Unrealized Loss | ||||||||||||||||
$ | 3,999,000 | $ | (33,917 | ) | CDX HY CDSI S34 5Y (a) | JP Morgan | 6/20/2025 | Receive | 5.00% | $ | (268,060 | ) | (234,143 | ) | ||||||||||
900,000 | (14,382 | ) | CDX IG SERIES 34 5Y (b) | JP Morgan | 6/20/2025 | Receive | 1.00% | (16,617 | ) | (2,235 | ) | |||||||||||||
$ | (284,677 | ) | (236,378 | ) |
(a) | Markit CDX NA High Yield Index High Yield Series 34 Index. |
(b) | Markit CDX NA Investment Grade Series 34 Index. |
^ | If the Fund is receiving a fixed rate, the Fund acts as guarantor of the variable instrument. If the Fund is paying the fixed rate, the counterparty acts as guarantor of the variable instrument. |
See accompanying notes to financial statements.
104
SCHEDULES OF INVESTMENTS |
JAMES ALPHA HEDGED HIGH INCOME PORTFOLIO (Continued) |
August 31, 2020 |
FORWARD CURRENCY CONTRACTS - (0.0)% | ||||||||||||||||
Settlement | Units to | US Dollar | Appreciation/ | |||||||||||||
Date | Receive/Deliver | Counterparty | In Exchange For | Value | (Depreciation) | |||||||||||
To Sell: | ||||||||||||||||
9/10/2020 | 129,000 | CAD | BNY Mellon Corp. | 96,409 | USD | 99,009 | (2,600 | ) | ||||||||
9/17/2020 | 37,000 | CAD | BNY Mellon Corp. | 27,922 | USD | 28,398 | (476 | ) | ||||||||
9/17/2020 | 12,800 | GBP | BNY Mellon Corp. | 16,775 | USD | 17,140 | (365 | ) | ||||||||
9/17/2020 | 102,000 | EUR | BNY Mellon Corp. | 120,760 | USD | 122,028 | (1,268 | ) | ||||||||
9/28/2020 | 2,100 | GBP | BNY Mellon Corp. | 2,768 | USD | 2,812 | (44 | ) | ||||||||
Total Unrealized: | (4,753 | ) |
CAD - Canadian Dollar
EUR - Euro
GBP - Great British Pound
See accompanying notes to financial statements.
105
STATEMENTS OF ASSETS AND LIABILITIES |
August 31, 2020 |
Large | Large | |||||||||||||||||||
Capitalization | Capitalization | Mid | Small | International | ||||||||||||||||
Value | Growth | Capitalization | Capitalization | Equity | ||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||
Assets: | ||||||||||||||||||||
Investments, at cost (including collateral on loaned securities Note 4) | $ | 11,892,821 | $ | 22,644,820 | $ | 8,043,550 | $ | 4,353,685 | $ | 6,436,590 | ||||||||||
Investments in securities, at value (including collateral on loaned securities Note 4) | $ | 12,731,715 | $ | 32,164,045 | $ | 9,551,275 | $ | 5,558,706 | $ | 6,520,271 | ||||||||||
Unrealized appreciation on forward currency exchange contracts | — | — | — | — | 40,914 | |||||||||||||||
Receivable for securities sold | — | — | 26,249 | — | 46,490 | |||||||||||||||
Receivable for fund shares sold | 1,248 | 881 | 1,013 | 4,759 | 1,940 | |||||||||||||||
Interest and dividends receivable | 12,797 | 22,306 | 15,747 | 1,529 | 28,708 | |||||||||||||||
Prepaid expenses and other assets | 7,116 | 22,747 | 6,366 | 2,833 | 4,610 | |||||||||||||||
Total Assets | 12,752,876 | 32,209,979 | 9,600,650 | 5,567,827 | 6,642,933 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Securities lending collateral (Note 4) | — | — | — | 137,876 | — | |||||||||||||||
Payable for securities purchased | — | — | 7,576 | — | 33,056 | |||||||||||||||
Payable for fund shares redeemed | 8,184 | — | 942 | 105 | 13,067 | |||||||||||||||
Payable to manager | 8,823 | 17,493 | 6,028 | 2,724 | 5,477 | |||||||||||||||
exchange contracts | — | — | — | — | 40,915 | |||||||||||||||
Administration fees payable | 4,528 | 14,840 | 5,680 | 2,087 | 5,758 | |||||||||||||||
Custody fees payable | 3,082 | 5,694 | 4,659 | 5,331 | 6,399 | |||||||||||||||
Trustee fees payable | 865 | 1,824 | 689 | 323 | 609 | |||||||||||||||
Compliance officer fees payable | 845 | 1,983 | 609 | 360 | 542 | |||||||||||||||
Payable for distribution (12b-1) fees | 382 | 2,580 | 740 | 85 | 32 | |||||||||||||||
Accrued expenses and other liabilities | 6,514 | 14,977 | 6,597 | 3,289 | 6,866 | |||||||||||||||
Total Liabilities | 33,223 | 59,391 | 33,520 | 152,180 | 112,721 | |||||||||||||||
Net Assets | $ | 12,719,653 | $ | 32,150,588 | $ | 9,567,130 | $ | 5,415,647 | $ | 6,530,212 | ||||||||||
Net Assets: | ||||||||||||||||||||
Par value of shares of beneficial interest | $ | 5,719 | $ | 11,951 | $ | 8,437 | $ | 8,441 | $ | 7,307 | ||||||||||
Paid in capital | 12,032,086 | 22,649,562 | 7,488,500 | 4,807,269 | 9,450,203 | |||||||||||||||
Accumulated earnings (loss) | 681,848 | 9,489,075 | 2,070,193 | 599,937 | (2,927,298 | ) | ||||||||||||||
Net Assets | $ | 12,719,653 | $ | 32,150,588 | $ | 9,567,130 | $ | 5,415,647 | $ | 6,530,212 | ||||||||||
Net Asset Value Per Share | ||||||||||||||||||||
Class I | ||||||||||||||||||||
Net Assets | $ | 12,316,757 | $ | 28,235,604 | $ | 8,125,907 | $ | 5,361,850 | $ | 6,277,398 | ||||||||||
Shares of beneficial interest outstanding | 551,859 | 987,238 | 700,613 | 834,478 | 702,277 | |||||||||||||||
Net asset value, redemption price and offering price per share | $ | 22.32 | $ | 28.60 | $ | 11.60 | $ | 6.43 | $ | 8.94 | ||||||||||
Class A | ||||||||||||||||||||
Net Assets | $ | 290,095 | $ | 1,238,549 | $ | 1,300,688 | $ | 52,328 | $ | 252,081 | ||||||||||
Shares of beneficial interest outstanding | 13,646 | 48,228 | 126,229 | 8,978 | 28,333 | |||||||||||||||
Net asset value, redemption price per share | $ | 21.26 | $ | 25.68 | $ | 10.30 | $ | 5.83 | $ | 8.90 | ||||||||||
Offering price per share (maximum sales charge of 5.75%) | $ | 22.56 | $ | 27.25 | $ | 10.93 | $ | 6.19 | $ | 9.44 | ||||||||||
Class C | ||||||||||||||||||||
Net Assets | $ | 112,801 | $ | 2,676,435 | $ | 140,535 | $ | 1,469 | $ | 733 | ||||||||||
Shares of beneficial interest outstanding | 6,394 | 159,659 | 16,856 | 595 | 91 | |||||||||||||||
Net asset value, offering price per share (a) | $ | 17.64 | $ | 16.76 | $ | 8.34 | $ | 2.47 | $ | 8.04 | (b) | |||||||||
(a) | Redemption price per C share varies based on length of time shares are held. |
(b) | Does not calculate due to rounding |
See accompanying notes to financial statements.
106
STATEMENTS OF ASSETS AND LIABILITIES |
August 31, 2020 |
Investment | ||||||||||||||||||||
Health & | Technology & | Energy & Basic | Financial | Quality | ||||||||||||||||
Biotechnology | Communications | Materials | Services | Bond | ||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||
Assets: | ||||||||||||||||||||
Investments in securities, at cost (including collateral on loaned securities Note 4) | $ | 10,575,393 | $ | 20,968,205 | $ | 1,136,380 | 872,058 | $ | 4,332,266 | |||||||||||
Investments in securities, at value (including collateral on loaned securities Note 4) | $ | 12,781,231 | $ | 61,851,243 | $ | 1,044,725 | 1,064,255 | $ | 4,536,202 | |||||||||||
Receivable for fund shares sold | 165 | 27,422 | 127 | 153 | 679 | |||||||||||||||
Interest and dividends receivable | 24,925 | 63,789 | 6,705 | 1,445 | 11 | |||||||||||||||
Prepaid expenses and other assets | 14,106 | 58,356 | 2,859 | 4,739 | 5,843 | |||||||||||||||
Total Assets | 12,820,427 | 62,000,810 | 1,054,416 | 1,070,592 | 4,542,735 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Payable for fund shares redeemed | 6,817 | 29,806 | — | — | 860 | |||||||||||||||
Payable to manager | 13,539 | 63,006 | 753 | 509 | 2,103 | |||||||||||||||
Administration fees payable | 6,002 | 23,217 | — | — | 1,056 | |||||||||||||||
Custody fees payable | 2,384 | 4,589 | 2,723 | 2,059 | 1,353 | |||||||||||||||
Trustee fees payable | 624 | 2,384 | 138 | 99 | 286 | |||||||||||||||
Compliance officer fees payable | 875 | 3,009 | 71 | — | 306 | |||||||||||||||
Payable for distribution (12b-1) fees | 4,826 | 15,769 | 45 | 48 | 7,894 | |||||||||||||||
Accrued expenses and other liabilities | 7,564 | 33,617 | 878 | 999 | 2,693 | |||||||||||||||
Total Liabilities | 42,631 | 175,397 | 4,608 | 3,714 | 16,551 | |||||||||||||||
Net Assets | $ | 12,777,796 | 61,825,413 | $ | 1,049,808 | $ | 1,066,878 | $ | 4,526,184 | |||||||||||
Net Assets: | ||||||||||||||||||||
Par value of shares of beneficial interest | $ | 6,009 | $ | 21,612 | $ | 1,289 | $ | 1,367 | $ | 4,625 | ||||||||||
Paid in capital | 9,084,427 | 15,330,416 | 2,299,040 | 878,797 | 4,323,871 | |||||||||||||||
Accumulated earnings (loss) | 3,687,360 | 46,473,385 | (1,250,521 | ) | 186,714 | 197,688 | ||||||||||||||
Net Assets | $ | 12,777,796 | $ | 61,825,413 | $ | 1,049,808 | $ | 1,066,878 | $ | 4,526,184 | ||||||||||
Net Asset Value Per Share | ||||||||||||||||||||
Class I | ||||||||||||||||||||
Net Assets | $ | 6,740,703 | $ | 32,789,954 | $ | 941,067 | 944,265 | $ | 4,345,164 | |||||||||||
Shares of beneficial interest outstanding | 292,851 | 1,036,607 | 114,228 | 119,679 | 443,928 | |||||||||||||||
Net asset value, redemption price and offering price per share | $ | 23.02 | $ | 31.63 | $ | 8.24 | 7.89 | $ | 9.79 | |||||||||||
Class A | ||||||||||||||||||||
Net Assets | $ | 5,294,439 | $ | 19,041,725 | $ | 104,153 | 122,519 | $ | 141,865 | |||||||||||
Shares of beneficial interest outstanding | 260,699 | 674,285 | 13,932 | 17,042 | 14,530 | |||||||||||||||
Net asset value, redemption price per share | $ | 20.31 | $ | 28.24 | $ | 7.48 | 7.19 | $ | 9.76 | |||||||||||
Offering price per share (maximum sales charge of 5.75%) | $ | 21.55 | $ | 29.96 | $ | 7.94 | 7.63 | $ | 10.36 | |||||||||||
Class C | ||||||||||||||||||||
Net Assets | $ | 742,654 | $ | 9,993,734 | $ | 4,588 | 94 | $ | 39,155 | |||||||||||
Shares of beneficial interest outstanding | 47,374 | 450,348 | 744 | 16 | 4,019 | |||||||||||||||
Net asset value, offering price per share (a) | $ | 15.68 | $ | 22.19 | $ | 6.17 | 6.05 | (b) | $ | 9.74 | ||||||||||
(a) | Redemption price per C share varies based on length of time shares are held. |
(b) | Does not calculate due to rounding |
See accompanying notes to financial statements.
107
STATEMENTS OF ASSETS AND LIABILITIES |
August 31, 2020 |
Aggressive | Conservative | Moderate | ||||||||||||||||||
Municipal | U.S. Government | Balanced | Balanced | Balanced | ||||||||||||||||
Bond | Money Market | Allocation | Allocation | Allocation | ||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||
Assets: | ||||||||||||||||||||
Investments in Affiliates, at cost | $ | — | $ | — | $ | 417,965 | $ | 677,001 | $ | 656,768 | ||||||||||
Investments in securities, at cost | 602,076 | 5,668,195 | 406,297 | 1,500,088 | 776,839 | |||||||||||||||
Total Investments, at cost | $ | 602,076 | $ | 5,668,195 | $ | 824,262 | $ | 2,177,089 | $ | 1,433,607 | ||||||||||
Investments Affiliates, at value | $ | — | $ | — | $ | 442,686 | $ | 763,504 | $ | 717,339 | ||||||||||
Investments in securities, at value | 612,645 | 5,668,195 | 407,766 | 1,525,394 | 782,373 | |||||||||||||||
Total Investments, at value | $ | 612,645 | $ | 5,668,195 | $ | 850,452 | $ | 2,288,898 | $ | 1,499,712 | ||||||||||
Cash | 7 | — | — | — | — | |||||||||||||||
Receivable for fund shares sold | — | 1,067 | — | — | — | |||||||||||||||
Interest and dividends receivable | 1 | 9 | — | — | — | |||||||||||||||
Receivable from manager | 4,111 | 20,695 | 1,833 | 653 | 893 | |||||||||||||||
Prepaid expenses and other assets | 5,044 | 17,429 | 3,796 | 4,433 | 4,843 | |||||||||||||||
Total Assets | 621,808 | 5,707,395 | 856,081 | 2,293,984 | 1,505,448 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Payable for fund shares redeemed | — | 1 | — | 8,195 | — | |||||||||||||||
Administration fees payable | — | 2,654 | — | — | — | |||||||||||||||
Custody fees payable | 509 | 2,188 | 282 | 343 | 264 | |||||||||||||||
Trustee fees payable | 51 | 724 | 25 | 125 | 65 | |||||||||||||||
Compliance officer fees payable | 52 | 399 | 35 | 182 | 72 | |||||||||||||||
Payable for distribution (12b-1) fees | — | 785 | 154 | 525 | 435 | |||||||||||||||
Distributions payable | — | 2 | — | — | — | |||||||||||||||
Accrued expenses and other liabilities | 1,089 | 2,578 | 439 | 1,027 | 677 | |||||||||||||||
Total Liabilities | 1,701 | 9,331 | 935 | 10,397 | 1,513 | |||||||||||||||
Net Assets | $ | 620,107 | $ | 5,698,064 | $ | 855,146 | $ | 2,283,587 | $ | 1,503,935 | ||||||||||
Net Assets: | ||||||||||||||||||||
Par value of shares of beneficial interest | $ | 684 | $ | 57,094 | $ | 822 | $ | 2,162 | $ | 1,411 | ||||||||||
Paid in capital | 632,383 | 5,640,154 | 821,770 | 2,198,378 | 1,442,766 | |||||||||||||||
Accumulated earnings (loss) | (12,960 | ) | 816 | 32,554 | 83,047 | 59,758 | ||||||||||||||
Net Assets | $ | 620,107 | $ | 5,698,064 | $ | 855,146 | $ | 2,283,587 | $ | 1,503,935 | ||||||||||
Net Asset Value Per Share | ||||||||||||||||||||
Class I | ||||||||||||||||||||
Net Assets | $ | 507,054 | $ | 5,210,084 | $ | 666,412 | $ | 1,655,993 | $ | 967,171 | ||||||||||
Shares of beneficial interest outstanding | 55,823 | 5,222,051 | 63,973 | 156,510 | 90,503 | |||||||||||||||
Net asset value, redemption price and offering price per share | $ | 9.08 | $ | 1.00 | $ | 10.42 | $ | 10.58 | $ | 10.69 | ||||||||||
Class A | ||||||||||||||||||||
Net Assets | $ | 77,836 | $ | 389,633 | $ | 4,712 | $ | 33,538 | $ | 34,271 | ||||||||||
Shares of beneficial interest outstanding | 8,655 | 389,440 | 453 | 3,174 | 3,213 | |||||||||||||||
Net asset value, redemption price per share | $ | 8.99 | $ | 1.00 | $ | 10.39 | (b) | $ | 10.56 | (b) | $ | 10.67 | ||||||||
Offering price per share (maximum sales charge of 5.75%) | $ | 9.54 | $ | 1.06 | $ | 11.02 | $ | 11.20 | $ | 11.32 | ||||||||||
Class C | ||||||||||||||||||||
Net Assets | $ | 35,217 | $ | 98,347 | $ | 184,022 | $ | 594,056 | $ | 502,493 | ||||||||||
Shares of beneficial interest outstanding | 3,878 | 97,923 | 17,789 | 56,550 | 47,358 | |||||||||||||||
Net asset value, offering price per share (a) | $ | 9.08 | $ | 1.00 | $ | 10.34 | $ | 10.51 | (b) | $ | 10.61 | |||||||||
(a) | Redemption price per C share varies based on length of time shares are held. |
(b) | Does not calculate due to rounding. |
See accompanying notes to (consolidated) financial statements.
108
STATEMENTS OF ASSETS AND LIABILITIES |
August 31, 2020 |
Moderately | Moderately | James Alpha | James Alpha | |||||||||||||||||
Aggressive Balanced | Conservative | James Alpha | Global Real Estate | Multi Strategy | ||||||||||||||||
Allocation | Balanced Allocation | Macro | Investments | Alternative Income | ||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||
(Consolidated) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Investments in Affiliates, at cost | $ | 335,900 | $ | 369,778 | $ | 2,932,220 | $ | — | $ | 713,761 | ||||||||||
Investments in Unaffilated securities, at cost | 364,133 | 550,098 | 4,408,080 | 1,011,421,703 | 14,375,367 | |||||||||||||||
Total Investments, at cost | $ | 700,033 | $ | 919,876 | $ | 7,340,300 | $ | 1,011,421,703 | $ | 15,089,128 | ||||||||||
Investments Affiliates, at value | $ | 367,243 | $ | 384,660 | $ | 3,091,078 | $ | — | $ | 763,594 | ||||||||||
Investments in Unaffiated securities, at value | 370,715 | 563,814 | 4,504,355 | 733,593,157 | 14,376,519 | |||||||||||||||
Total Investments, at value | $ | 737,958 | $ | 948,474 | $ | 7,595,433 | $ | 733,593,157 | $ | 15,140,113 | ||||||||||
Cash | — | — | 388,453 | — | 298,591 | |||||||||||||||
Foreign Cash (Cost $0, $0, $2,800, $176,507, $0) | — | — | 2,834 | 177,282 | — | |||||||||||||||
Deposit at Broker | — | — | 1,165,067 | — | 386,031 | |||||||||||||||
Unrealized appreciation on swaps | — | — | 213,668 | — | — | |||||||||||||||
Unrealized appreciation on forward currency exchange contracts | — | — | 433,692 | 336 | — | |||||||||||||||
Receivable for securities sold | — | — | — | 13,874,290 | 560,150 | |||||||||||||||
Receivable for fund shares sold | — | — | 1,505 | 1,542,540 | 102 | |||||||||||||||
Interest and dividends receivable | 29 | 75 | 242 | 1,466,800 | 18,477 | |||||||||||||||
Receivable from manager | 2,197 | 2,456 | 2,851 | — | — | |||||||||||||||
Prepaid expenses and other assets | 4,265 | 1,378 | 12,284 | 200,206 | 5,994 | |||||||||||||||
Total Assets | 744,449 | 952,383 | 9,816,029 | 750,854,611 | 16,409,458 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Securities sold short (Cost $0, $0, $0, $0, $2,197,488) | — | — | — | — | 2,589,056 | |||||||||||||||
Foreign Cash Overdraft (cost $0, $0, $0, $0, $10,551) | — | — | — | — | 10,693 | |||||||||||||||
Payable for securities purchased | — | — | — | 18,433,253 | 291,661 | |||||||||||||||
Payable for fund shares redeemed | — | 32,853 | 14,433 | 1,208,276 | 16,650 | |||||||||||||||
Payable to manager | — | — | — | 435,128 | 10,495 | |||||||||||||||
Unrealized depreciation on forward currency contracts | — | — | 432,615 | 31,346 | 64 | |||||||||||||||
Supervisory fee payable | — | — | 905 | 42,636 | 917 | |||||||||||||||
Administration fees payable | — | — | 7,607 | 249,136 | 10,283 | |||||||||||||||
Custody fees payable | 250 | 266 | 8,666 | 61,837 | 37,796 | |||||||||||||||
Trustee fees payable | 19 | 34 | 672 | 25,568 | 972 | |||||||||||||||
Compliance officer fees payable | 47 | 81 | 748 | 50,650 | 915 | |||||||||||||||
Payable for distribution (12b-1) fees | 137 | 102 | 541 | 86,106 | 68 | |||||||||||||||
Dividend Payable | — | — | — | — | 673 | |||||||||||||||
Accrued expenses and other liabilities | 422 | 891 | 13,782 | 315,329 | 7,513 | |||||||||||||||
Total Liabilities | 875 | 34,227 | 479,969 | 20,939,265 | 2,977,756 | |||||||||||||||
Net Assets | $ | 743,574 | $ | 918,156 | $ | 9,336,060 | $ | 729,915,346 | $ | 13,431,702 | ||||||||||
Net Assets: | ||||||||||||||||||||
Par value of shares of beneficial interest | $ | 711 | $ | 887 | $ | 10,682 | $ | 454,108 | $ | 14,260 | ||||||||||
Paid in capital | 703,899 | 878,806 | 12,253,031 | 977,492,593 | 12,930,915 | |||||||||||||||
Accumulated earnings (loss) | 38,964 | 38,463 | (2,927,653 | ) | (248,031,355 | ) | 486,527 | |||||||||||||
Net Assets | $ | 743,574 | $ | 918,156 | $ | 9,336,060 | $ | 729,915,346 | $ | 13,431,702 | ||||||||||
Net Asset Value Per Share | ||||||||||||||||||||
Class I | ||||||||||||||||||||
Net Assets | $ | 567,907 | $ | 835,626 | $ | 6,020,469 | $ | 544,431,673 | $ | 12,625,203 | ||||||||||
Shares of beneficial interest outstanding | 54,195 | 80,649 | 689,048 | 33,620,335 | 1,341,178 | |||||||||||||||
Net asset value, redemption price and offering price per share | $ | 10.48 | $ | 10.36 | $ | 8.74 | $ | 16.19 | $ | 9.41 | ||||||||||
Class A | ||||||||||||||||||||
Net Assets | $ | 15,093 | $ | 11 | $ | 137,521 | $ | 88,222,164 | $ | 4,053 | ||||||||||
Shares of beneficial interest outstanding | 1,444 | 1 | 15,824 | 5,670,240 | 431 | |||||||||||||||
Net asset value, redemption price per share | $ | 10.46 | (b) | $ | 10.36 | (b) | $ | 8.69 | $ | 15.56 | $ | 9.40 | ||||||||
Offering price per share (maximum sales charge of 5.75%) | $ | 11.10 | $ | 10.99 | $ | 9.22 | $ | 16.51 | $ | 9.97 | ||||||||||
Class C | ||||||||||||||||||||
Net Assets | $ | 160,574 | $ | 82,519 | $ | 292,684 | $ | 65,906,656 | $ | 68,561 | ||||||||||
Shares of beneficial interest outstanding | 15,430 | 8,024 | 35,480 | 4,202,935 | 7,447 | |||||||||||||||
Net asset value, offering price per share (a) | $ | 10.41 | $ | 10.28 | $ | 8.25 | $ | 15.68 | $ | 9.21 | ||||||||||
Class S | ||||||||||||||||||||
Net Assets | N/A | N/A | $ | 2,885,386 | $ | 31,354,853 | $ | 733,885 | ||||||||||||
Shares of beneficial interest outstanding | N/A | N/A | 327,852 | 1,917,307 | 76,905 | |||||||||||||||
Net asset value, redemption price and offering price per share | N/A | N/A | $ | 8.80 | $ | 16.35 | $ | 9.54 | ||||||||||||
(a) | Redemption price per C share varies based on length of time shares are held. |
(b) | Does not calculate due to rounding |
See accompanying notes to financial statements.
109
STATEMENTS OF ASSETS AND LIABILITIES |
August 31, 2020 |
James Alpha | James Alpha | James Alpha | ||||||||||
Managed Risk | Managed Risk | Hedged | ||||||||||
Domestic Equity | Emerging Markets | High Income | ||||||||||
Portfolio | Equity Portfolio | Portfolio | ||||||||||
Assets: | ||||||||||||
Investments in Affiliates, at cost | $ | — | $ | — | $ | 2,808,492 | ||||||
Investments in Unaffilated securities, at cost | 46,958,335 | 3,018,312 | 29,205,010 | |||||||||
Total Investments, at cost | $ | 46,958,335 | $ | 3,018,312 | $ | 32,013,502 | ||||||
Investments Affiliates, at value | $ | — | $ | — | $ | 3,066,873 | ||||||
Investments in Unaffiated securities, at value | 52,284,777 | 3,096,074 | 25,924,144 | |||||||||
Total Investments, at value | 52,284,777 | 3,096,074 | 28,991,017 | |||||||||
Cash | — | — | 1,616 | |||||||||
Foreign Cash (Cost $0, $0, $483) | — | — | 485 | |||||||||
Deposit at Broker | 1,272,803 | 902,223 | 2,649,459 | |||||||||
Receivable for securities sold | 1,746,441 | — | 148,687 | |||||||||
Receivable on open swap contracts | 1,253,450 | 88,750 | — | |||||||||
Receivable for fund shares sold | 250,302 | 78,109 | 190,880 | |||||||||
Interest and dividends receivable | 175 | 65 | 220,504 | |||||||||
Receivable from manager | — | 6,221 | — | |||||||||
Prepaid expenses and other assets | 3,300 | 12,249 | 25,161 | |||||||||
Total Assets | 56,811,248 | 4,183,691 | 32,227,809 | |||||||||
Liabilities: | ||||||||||||
Options written (premiums received $1,623,778, $155,628, $0) | 2,037,475 | 108,050 | — | |||||||||
Securities sold short ($313,625, $0, $95,637) | 349,310 | — | 109,061 | |||||||||
Payable for securities purchased | — | — | 171,944 | |||||||||
Payable for fund shares redeemed | 171,259 | 14,708 | 182,510 | |||||||||
Payable to manager | 39,871 | — | 22,969 | |||||||||
Unrealized depreciation of futures contracts | — | — | 14,918 | |||||||||
Unrealized depreciation on forward currency contracts | — | — | 4,753 | |||||||||
Variation margin payable | — | — | 4,516 | |||||||||
Payable on open swap contracts | 8,131 | 883 | — | |||||||||
Premium received on open swap contracts | — | — | 48,299 | |||||||||
Unrealized depreciation on swaps | — | — | 236,378 | |||||||||
Supervisory fee payable | 6,867 | 600 | 2,323 | |||||||||
Administration fees payable | 18,719 | — | 32,115 | |||||||||
Custody fees payable | 1,181 | 1,226 | 15,835 | |||||||||
Trustee fees payable | 525 | 616 | 2,528 | |||||||||
Compliance officer fees payable | 2,953 | 371 | 2,888 | |||||||||
Payable for distribution (12b-1) fees | 1,797 | 13 | 2,942 | |||||||||
Interest Payable | — | — | 1,207 | |||||||||
Accrued expenses and other liabilities | 11,765 | 9,125 | 36,133 | |||||||||
Total Liabilities | 2,649,853 | 135,592 | 891,319 | |||||||||
Net Assets | $ | 54,161,395 | $ | 4,048,099 | $ | 31,336,490 | ||||||
Net Assets: | ||||||||||||
Par value of shares of beneficial interest | $ | 49,361 | $ | 4,783 | $ | 35,384 | ||||||
Paid in capital | 51,524,890 | 4,636,417 | 36,806,414 | |||||||||
Accumulated earnings (loss) | 2,587,144 | (593,101 | ) | (5,505,308 | ) | |||||||
Net Assets | $ | 54,161,395 | $ | 4,048,099 | $ | 31,336,490 | ||||||
Net Asset Value Per Share | ||||||||||||
Class I | ||||||||||||
Net Assets | $ | 41,144,930 | $ | 2,663,633 | $ | 13,601,422 | ||||||
Shares of beneficial interest outstanding | 3,754,550 | 315,594 | 1,547,965 | |||||||||
Net asset value, redemption price and offering price per share | $ | 10.96 | $ | 8.44 | $ | 8.79 | ||||||
Class A | ||||||||||||
Net Assets | $ | 1,536,646 | $ | 69,564 | $ | 1,595,111 | ||||||
Shares of beneficial interest outstanding | 141,909 | 8,353 | 183,029 | |||||||||
Net asset value, redemption price per share | $ | 10.83 | $ | 8.33 | $ | 8.72 | ||||||
Offering price per share (maximum sales charge of 5.75%) | $ | 11.49 | $ | 8.84 | $ | 9.25 | ||||||
Class C | ||||||||||||
Net Assets | $ | 1,778,647 | $ | 19,096 | $ | 556,275 | ||||||
Shares of beneficial interest outstanding | 168,256 | 2,364 | 63,544 | |||||||||
Net asset value, offering price per share (a) | $ | 10.57 | $ | 8.08 | $ | 8.75 | ||||||
Class S | ||||||||||||
Net Assets | $ | 9,701,172 | $ | 1,295,806 | $ | 15,583,682 | ||||||
Shares of beneficial interest outstanding | 871,374 | 152,008 | 1,743,879 | |||||||||
Net asset value, redemption price and offering price per share | $ | 11.13 | $ | 8.52 | $ | 8.94 | ||||||
(a) | Redemption price per C share varies based on length of time shares are held. |
See accompanying notes to financial statements.
110
STATEMENTS OF OPERATIONS |
For the Year Ended August 31, 2020 |
Large | Large | |||||||||||||||||||
Capitalization | Capitalization | Mid | Small | International | ||||||||||||||||
Value | Growth | Capitalization | Capitalization | Equity | ||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||
Investment Income: | ||||||||||||||||||||
Dividend income | $ | 132,176 | $ | 281,129 | $ | 167,562 | $ | 61,915 | $ | 199,028 | ||||||||||
Interest income | 6,425 | 3,107 | 2,355 | 2,235 | 755 | |||||||||||||||
Securities lending income - net | 971 | 535 | 609 | 1,378 | 423 | |||||||||||||||
Less: Foreign withholding taxes | (3,191 | ) | — | (69 | ) | (8 | ) | (19,135 | ) | |||||||||||
Total Investment Income | 136,381 | 284,771 | 170,457 | 65,520 | 181,071 | |||||||||||||||
Operating Expenses: | ||||||||||||||||||||
Management fees | 86,636 | 182,631 | 73,596 | 34,326 | 57,988 | |||||||||||||||
Distribution (12b-1) fees | ||||||||||||||||||||
Class A Shares | 1,274 | 4,050 | 5,346 | 214 | 1,343 | |||||||||||||||
Class C Shares | 1,547 | 26,090 | 1,754 | 170 | 46 | |||||||||||||||
Administration fees | 23,407 | 47,895 | 21,205 | 13,072 | 22,376 | |||||||||||||||
Registration fees | 15,556 | 25,317 | 16,477 | 13,964 | 13,771 | |||||||||||||||
Professional fees | 7,486 | 12,702 | 5,183 | 2,816 | 4,319 | |||||||||||||||
Custodian fees | 7,943 | 15,391 | 10,633 | 14,194 | 14,472 | |||||||||||||||
Trustees’ fees | 1,992 | 4,459 | 1,533 | 813 | 1,303 | |||||||||||||||
Compliance officer fees | 2,139 | 4,390 | 1,559 | 832 | 1,304 | |||||||||||||||
Printing and postage expense | 6,083 | 10,834 | 7,646 | 4,994 | 5,581 | |||||||||||||||
Insurance expense | 151 | 649 | 228 | 195 | 230 | |||||||||||||||
Shareholder servicing fees | 2,547 | 9,441 | 3,236 | 1,108 | 3,547 | |||||||||||||||
Miscellaneous expenses | 2,252 | 2,252 | 1,932 | 2,252 | 2,105 | |||||||||||||||
Total Operating Expenses | 159,013 | 346,101 | 150,328 | 88,950 | 128,385 | |||||||||||||||
Less: Expenses waived and/or reimbursed | — | — | — | — | (30,421 | ) | ||||||||||||||
Net Operating Expenses | 159,013 | 346,101 | 150,328 | 88,950 | 97,964 | |||||||||||||||
Net Investment Income (Loss) | (22,632 | ) | (61,330 | ) | 20,129 | (23,430 | ) | 83,107 | ||||||||||||
Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||
Investments and Foreign currency transactions | (21,483 | ) | 2,526,293 | 649,015 | (240,715 | ) | (259,430 | ) | ||||||||||||
Net Realized Gain (Loss) | (21,483 | ) | 2,526,293 | 649,015 | (240,715 | ) | (259,430 | ) | ||||||||||||
Net change in unrealized appreciation (depreciation) on Investments and Foreign currency translations | 632,441 | 6,335,049 | (740,249 | ) | 687,572 | 362,150 | ||||||||||||||
Net Realized and Unrealized Gain on investments | 610,958 | 8,861,342 | (91,234 | ) | 446,857 | 102,720 | ||||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 588,326 | $ | 8,800,012 | $ | (71,105 | ) | $ | 423,427 | $ | 185,827 | |||||||||
See accompanying notes to financial statements.
111
STATEMENTS OF OPERATIONS |
For the Year Ended August 31, 2020 |
Investment | ||||||||||||||||||||
Health & | Technology & | Energy & Basic | Financial | Quality | ||||||||||||||||
Biotechnology | Communications | Materials | Services | Bond | ||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||
Investment Income: | ||||||||||||||||||||
Dividend income | $ | 260,283 | $ | 684,246 | $ | 55,004 | $ | 27,672 | $ | 95,322 | ||||||||||
Interest income | 1,659 | 3,824 | 251 | 236 | 558 | |||||||||||||||
Dividend income from Affiliates | — | — | — | — | — | |||||||||||||||
Securities lending income - net | 4,033 | 2,008 | — | — | 22 | |||||||||||||||
Less: Foreign withholding taxes | (8,152 | ) | — | (3,610 | ) | (71 | ) | — | ||||||||||||
Total Investment Income | 257,823 | 690,078 | 51,645 | 27,837 | 95,902 | |||||||||||||||
Operating Expenses: | ||||||||||||||||||||
Management fees | 164,732 | 686,955 | 14,349 | 14,894 | 25,311 | |||||||||||||||
Distribution (12b-1) fees | ||||||||||||||||||||
Class A Shares | 21,622 | 68,745 | 742 | 404 | 569 | |||||||||||||||
Class C Shares | 7,716 | 85,455 | 67 | 19 | 595 | |||||||||||||||
Administration fees | 23,839 | 86,933 | 5,172 | 5,256 | 9,612 | |||||||||||||||
Registration fees | 24,802 | 31,320 | 8,149 | 11,341 | 13,462 | |||||||||||||||
Professional fees | 7,099 | 27,619 | 571 | 476 | 2,501 | |||||||||||||||
Custodian fees | 6,180 | 13,388 | 7,461 | 4,564 | 3,611 | |||||||||||||||
Trustees’ fees | 1,993 | 8,115 | 187 | 175 | 643 | |||||||||||||||
Compliance officer fees | 2,050 | 7,354 | 209 | 200 | 702 | |||||||||||||||
Printing and postage expense | 9,380 | 25,963 | 3,318 | 2,143 | 3,750 | |||||||||||||||
Insurance expense | 305 | 931 | 83 | 75 | 165 | |||||||||||||||
Shareholder servicing fees | 8,835 | 33,412 | 130 | 482 | 1,277 | |||||||||||||||
Miscellaneous expenses | 2,252 | 2,252 | 2,090 | 2,252 | 2,164 | |||||||||||||||
Total Operating Expenses | 280,805 | 1,078,442 | 42,528 | 42,281 | 64,362 | |||||||||||||||
Less: Expenses waived | — | — | (7,300 | ) | (6,123 | ) | — | |||||||||||||
Net Operating Expenses | 280,805 | 1,078,442 | 35,228 | 36,158 | 64,362 | |||||||||||||||
Net Investment Income (Loss) | (22,982 | ) | (388,364 | ) | 16,417 | (8,321 | ) | 31,540 | ||||||||||||
Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||
Investments and Foreign currency transactions | 1,509,451 | 6,072,985 | (255,585 | ) | 35,851 | 34,337 | ||||||||||||||
Reimbursement from Affiliate | — | — | — | — | — | |||||||||||||||
Net realized gain (loss) | 1,509,451 | 6,072,985 | (255,585 | ) | 35,851 | 34,337 | ||||||||||||||
Net change in unrealized appreciation (depreciation) on Investments and Foreign currency transactions | 125,197 | 10,465,455 | 31,815 | (143,043 | ) | 75,852 | ||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 1,634,648 | 16,538,440 | (223,770 | ) | (107,192 | ) | 110,189 | |||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 1,611,666 | $ | 16,150,076 | $ | (207,353 | ) | $ | (115,513 | ) | $ | 141,729 | ||||||||
See accompanying notes to financial statements.
112
STATEMENTS OF OPERATIONS |
For the Year Ended August 31, 2020 |
Aggressive | Conservative | Moderate | ||||||||||||||||||
Municipal | U.S. Government | Balanced | Balanced | Balanced | ||||||||||||||||
Bond | Money Market | Allocation | Allocation | Allocation | ||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||
Investment Income: | ||||||||||||||||||||
Dividend income | $ | 10,033 | $ | — | $ | 8,121 | $ | 24,339 | $ | 13,179 | ||||||||||
Interest income | 203 | 59,390 | 775 | 7,055 | 2,024 | |||||||||||||||
Dividend income from Affiliates | — | — | 15,242 | 42,658 | 23,340 | |||||||||||||||
Total Investment Income | 10,236 | 59,390 | 24,138 | 74,052 | 38,543 | |||||||||||||||
Operating Expenses: | ||||||||||||||||||||
Management fees | 3,632 | 29,658 | 6,851 | 21,512 | 11,871 | |||||||||||||||
Distribution (12b-1) fees | ||||||||||||||||||||
Class A Shares | 305 | 1,573 | 11 | 80 | 67 | |||||||||||||||
Class C Shares | 505 | 1,788 | 1,461 | 6,823 | 4,780 | |||||||||||||||
Registration fees | 6,008 | 16,512 | 1,210 | 4,834 | 1,718 | |||||||||||||||
Administration fees | 3,312 | 12,381 | 3,784 | 5,992 | 4,738 | |||||||||||||||
Custodian fees | 1,495 | 5,007 | 525 | 1,010 | 669 | |||||||||||||||
Printing and postage expense | 529 | 3,943 | 117 | 133 | 70 | |||||||||||||||
Professional fees | 262 | 27 | 363 | 1,258 | 710 | |||||||||||||||
Shareholder servicing fees | 298 | 301 | 6 | 170 | 47 | |||||||||||||||
Compliance officer fees | 137 | 1,031 | 102 | 404 | 194 | |||||||||||||||
Trustees’ fees | 104 | 34 | 109 | 418 | 233 | |||||||||||||||
Insurance expense | 51 | 210 | 13 | 33 | 13 | |||||||||||||||
Miscellaneous expenses | 2,252 | 2,274 | 2,274 | 2,285 | 2,283 | |||||||||||||||
Total Operating Expenses | 18,890 | 74,739 | 16,826 | 44,952 | 27,393 | |||||||||||||||
Less: Expenses waived and/or reimbursed | (9,326 | ) | (28,921 | ) | (9,335 | ) | (19,169 | ) | (12,115 | ) | ||||||||||
Net Operating Expenses | 9,564 | 45,818 | 7,491 | 25,783 | 15,278 | |||||||||||||||
Net Investment Income (Loss) | 672 | 13,572 | 16,647 | 48,269 | 23,265 | |||||||||||||||
Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||
Investments | (736 | ) | — | (5,888 | ) | (16,710 | ) | (10,136 | ) | |||||||||||
Distribution of realized gains by underlying affiliated investment companies | — | — | 14,667 | 41,524 | 21,117 | |||||||||||||||
Affiliated Investments | — | — | — | (47,354 | ) | (14,345 | ) | |||||||||||||
Net realized gain (loss) | (736 | ) | — | 8,779 | (22,540 | ) | (3,364 | ) | ||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Affiliated Investments | — | — | 39,995 | 103,663 | 86,173 | |||||||||||||||
Investments | 5,093 | — | 641 | 10,890 | 1,077 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | 5,093 | — | 40,636 | 114,553 | 87,250 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 4,357 | — | 49,415 | 92,013 | 83,886 | |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 5,029 | $ | 13,572 | $ | 66,062 | $ | 140,282 | $ | 107,151 | ||||||||||
See accompanying notes to (consolidated) financial statements.
113
STATEMENTS OF OPERATIONS |
For the Year Ended August 31, 2020 |
Moderately | Moderately | James Alpha | James Alpha | |||||||||||||||||
Aggressive Balanced | Conservative | James Alpha | Global Real Estate | Multi Strategy | ||||||||||||||||
Allocation | Balanced Allocation | Macro | Investments | Alternative Income | ||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||
(Consolidated) | ||||||||||||||||||||
Investment Income: | ||||||||||||||||||||
Dividend income | $ | 7,237 | $ | 9,724 | $ | 131,968 | $ | 25,502,066 | $ | 333,000 | ||||||||||
Interest income | 774 | 1,857 | 15,871 | 394,465 | 56,052 | |||||||||||||||
Dividend income from Affiliates | 12,156 | 19,941 | 154,731 | — | 52,860 | |||||||||||||||
Less: Foreign withholding taxes | — | — | (723 | ) | (695,289 | ) | (12,014 | ) | ||||||||||||
Total Investment Income | 20,167 | 31,522 | 301,847 | 25,201,242 | 429,898 | |||||||||||||||
Operating Expenses: | ||||||||||||||||||||
Management fees | 5,812 | 8,695 | 112,748 | 7,931,407 | 261,141 | |||||||||||||||
Supervisory fees | — | — | 12,014 | 567,203 | 12,014 | |||||||||||||||
Distribution (12b-1) fees | ||||||||||||||||||||
Class A Shares | 26 | — | 462 | 248,242 | 83 | |||||||||||||||
Class C Shares | 1,646 | 1,894 | 3,354 | 763,023 | 1,062 | |||||||||||||||
Administration fees | 3,723 | 4,352 | 26,023 | 1,297,789 | 39,358 | |||||||||||||||
Printing and postage expense | 46 | 798 | 12,355 | 190,889 | 10,717 | |||||||||||||||
Custodian fees | 55 | 85 | 23,158 | 293,391 | 104,065 | |||||||||||||||
Registration fees | 940 | 939 | 40,916 | 163,712 | 18,840 | |||||||||||||||
Professional fees | 290 | 478 | 15,500 | 490,763 | 3,177 | |||||||||||||||
Compliance officer fees | 113 | 190 | 1,640 | 127,624 | 2,034 | |||||||||||||||
Trustees’ fees | 106 | 145 | 1,610 | 135,605 | 1,887 | |||||||||||||||
Shareholder servicing fees | 3 | 3 | 7,442 | 659,255 | 2,715 | |||||||||||||||
Insurance expense | 8 | 14 | 242 | 18,334 | 546 | |||||||||||||||
Dividend Expense | — | — | — | — | 43,646 | |||||||||||||||
Interest Expense | — | — | 3,500 | — | 84,046 | |||||||||||||||
Miscellaneous expenses | 2,283 | 2,278 | 5,046 | 7,737 | 3,359 | |||||||||||||||
Total Operating Expenses | 15,051 | 19,871 | 266,010 | 12,894,974 | 588,690 | |||||||||||||||
Less: Expenses waived and/or reimbursed | (8,273 | ) | (10,326 | ) | (129,870 | ) | (1,158,275 | ) | (205,534 | ) | ||||||||||
Plus: Expenses recaptured | — | — | — | 24,973 | — | |||||||||||||||
Net Operating Expenses | 6,778 | 9,545 | 136,140 | 11,761,672 | 383,156 | |||||||||||||||
Net Investment Income | 13,389 | 21,977 | 165,707 | 13,439,570 | 46,742 | |||||||||||||||
Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||
Investments and Foreign currency transactions | (2,489 | ) | (536 | ) | (557,869 | ) | 78,812,147 | 1,560,495 | ||||||||||||
Affiliated Investments | (2,909 | ) | (4,743 | ) | 19,725 | — | 7,819 | |||||||||||||
Securities sold short | — | — | — | — | (179,429 | ) | ||||||||||||||
Options purchased | — | — | — | — | 7,952 | |||||||||||||||
Options written | — | — | — | — | 489 | |||||||||||||||
Swaps | — | — | (13,500 | ) | — | — | ||||||||||||||
Distribution of realized gains by underlying affiliated and non affiliated investment companies | 11,018 | 16,083 | 1,961 | — | 748 | |||||||||||||||
Net realized gain (loss) | 5,620 | 10,804 | (549,683 | ) | 78,812,147 | 1,398,074 | ||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments and Foreign Currency Transactions | 4,779 | 7,173 | 10,553 | (154,651,589 | ) | (507,874 | ) | |||||||||||||
Affiliated Investments | 42,601 | 33,128 | 151,982 | 19,166 | ||||||||||||||||
Options purchased | — | — | — | — | 576 | |||||||||||||||
Options written | — | — | — | — | (161 | ) | ||||||||||||||
Securities sold short | — | — | — | — | (83,354 | ) | ||||||||||||||
Swaps | — | — | (331,431 | ) | — | — | ||||||||||||||
Net change in unrealized appreciation (depreciation) | 47,380 | 40,301 | (168,896 | ) | (154,651,589 | ) | (571,647 | ) | ||||||||||||
Net Realized and Unrealized Gain (Loss) on investments | 53,000 | 51,105 | (718,579 | ) | (75,839,442 | ) | 826,427 | |||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 66,389 | $ | 73,082 | $ | (552,872 | ) | $ | (62,399,872 | ) | $ | 873,169 | ||||||||
See accompanying notes to financial statements.
114
STATEMENTS OF OPERATIONS |
For the Year Ended August 31, 2020 |
James Alpha | James Alpha | James Alpha | ||||||||||
Managed Risk | Managed Risk | Hedged | ||||||||||
Domestic Equity | Emerging Markets | High Income | ||||||||||
Portfolio | Equity Portfolio | Portfolio | ||||||||||
Investment Income: | ||||||||||||
Dividend income | $ | 632,563 | $ | 96,282 | $ | 518,869 | ||||||
Interest income | 41,782 | 9,573 | 1,782,467 | |||||||||
Dividend income from Affiliates | — | — | 278,692 | |||||||||
Less: Foreign withholding taxes | — | — | (164 | ) | ||||||||
Total Investment Income | 674,345 | 105,855 | 2,579,864 | |||||||||
Operating Expenses: | ||||||||||||
Management fees | 561,171 | 62,290 | 728,431 | |||||||||
Supervisory fees | 31,225 | 12,014 | 28,214 | |||||||||
Distribution (12b-1) fees | ||||||||||||
Class A Shares | 2,724 | 241 | 8,213 | |||||||||
Class C Shares | 14,814 | 434 | 7,799 | |||||||||
Administration fees | 75,102 | 12,684 | 129,821 | |||||||||
Registration fees | 41,363 | 37,930 | 52,924 | |||||||||
Professional fees | 30,826 | 3,239 | 24,458 | |||||||||
Custodian fees | 5,390 | 2,775 | 50,865 | |||||||||
Trustees’ fees | 6,251 | 894 | 7,267 | |||||||||
Compliance officer fees | 6,344 | 892 | 7,192 | |||||||||
Printing and postage expense | 17,273 | 5,544 | 21,488 | |||||||||
Insurance expense | 982 | 441 | 1,229 | |||||||||
Shareholder servicing fees | 59,079 | 3,368 | 56,092 | |||||||||
Dividend Expense | — | — | 1,396 | |||||||||
Interest Expense | 10,180 | 6,644 | 108,793 | |||||||||
Miscellaneous expenses | 3,600 | 3,284 | 3,706 | |||||||||
Total Operating Expenses | 866,324 | 152,674 | 1,237,888 | |||||||||
Less: Expenses waived | (52,139 | ) | (59,174 | ) | (399,006 | ) | ||||||
Plus: Expenses Recaptured | 1,909 | — | — | |||||||||
Net Operating Expenses | 816,094 | 93,500 | 838,882 | |||||||||
Net Investment Income | (141,749 | ) | 12,355 | 1,740,982 | ||||||||
Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments and Foreign currency transactions | 1,654,539 | 407,391 | (716,375 | ) | ||||||||
Affiliated Investments | — | — | 120,091 | |||||||||
Options purchased | 11,762,786 | (1,739,660 | ) | — | ||||||||
Options written | (18,858,468 | ) | 329,675 | — | ||||||||
Swaps | 3,572,766 | 386,021 | 331,827 | |||||||||
Securities sold short | — | — | (23,681 | ) | ||||||||
Futures contracts | — | — | (383,635 | ) | ||||||||
Distribution of realized gains by underlying investment companies | — | — | 4,387 | |||||||||
Net realized gain (loss) | (1,868,377 | ) | (616,573 | ) | (667,386 | ) | ||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments and Foreign Currency Transactions | 5,580,246 | 421,224 | (1,042,591 | ) | ||||||||
Affiliated Investments | — | — | 15,522 | |||||||||
Options purchased | (76,051 | ) | 45,170 | — | ||||||||
Options written | (629,596 | ) | 55,514 | — | ||||||||
Swaps | — | — | (134,921 | ) | ||||||||
Securities sold short | (35,685 | ) | — | 57,023 | ||||||||
Futures contracts | — | — | 101,486 | |||||||||
Net change in unrealized appreciation (depreciation) | 4,838,914 | 521,908 | (1,003,481 | ) | ||||||||
Net Realized and Unrealized Gain (Loss) on investments | 2,970,537 | (94,665 | ) | (1,670,867 | ) | |||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 2,828,788 | $ | (82,310 | ) | $ | 70,115 | |||||
See accompanying notes to financial statements.
115
STATEMENTS OF CHANGES IN NET ASSETS |
Large Capitalization Value | Large Capitalization Growth | Mid Capitalization | ||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
August 31, 2020 | August 31, 2019 | August 31, 2020 | August 31, 2019 | August 31, 2020 | August 31, 2019 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | (22,632 | ) | $ | (11,628 | ) | $ | (61,330 | ) | $ | (79,354 | ) | $ | 20,129 | $ | 61,742 | ||||||||
Net realized gain (loss) on investments | (21,483 | ) | (75,680 | ) | 2,526,293 | 5,289,118 | 649,015 | 305,868 | ||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments | 632,441 | (76,854 | ) | 6,335,049 | (7,141,046 | ) | (740,249 | ) | (926,947 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | 588,326 | (164,162 | ) | 8,800,012 | (1,931,282 | ) | (71,105 | ) | (559,337 | ) | ||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Total Distributions Paid: | ||||||||||||||||||||||||
Class I | — | (900,190 | ) | (3,517,822 | ) | (5,157,667 | ) | (35,392 | ) | (896,643 | ) | |||||||||||||
Class A | — | (29,759 | ) | (148,748 | ) | (337,431 | ) | (178 | ) | (199,494 | ) | |||||||||||||
Class C | — | (42,504 | ) | (645,613 | ) | (2,202,129 | ) | — | (64,901 | ) | ||||||||||||||
Total Dividends and Distributions to Shareholders | — | (972,453 | ) | (4,312,183 | ) | (7,697,227 | ) | (35,570 | ) | (1,161,038 | ) | |||||||||||||
Share Transactions of Beneficial Interest (Note 5): | ||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||
Class I | 1,157,261 | 845,890 | 1,928,559 | 3,774,458 | 778,940 | 486,707 | ||||||||||||||||||
Class A | 31,554 | 178,551 | 116,635 | 547,274 | 8,645 | 133,129 | ||||||||||||||||||
Class C | 8,693 | 92,728 | 174,335 | 495,788 | 3,940 | 16,856 | ||||||||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||||||||||
Class I | — | 827,955 | 3,191,266 | 4,651,659 | 32,557 | 827,035 | ||||||||||||||||||
Class A | — | 11,940 | 143,727 | 324,463 | 173 | 192,566 | ||||||||||||||||||
Class C | — | 42,356 | 629,083 | 2,190,675 | — | 54,412 | ||||||||||||||||||
Redemption fee proceeds | ||||||||||||||||||||||||
Class I | — | — | — | — | — | — | ||||||||||||||||||
Class A | — | — | — | — | — | — | ||||||||||||||||||
Class C | — | — | — | — | — | — | ||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||
Class I | (2,760,823 | ) | (2,235,180 | ) | (5,501,191 | ) | (7,360,441 | ) | (1,445,700 | ) | (1,415,102 | ) | ||||||||||||
Class A | (65,754 | ) | (295,879 | ) | (245,687 | ) | (1,190,222 | ) | (155,163 | ) | (767,754 | ) | ||||||||||||
Class C | (156,667 | ) | (491,974 | ) | (1,457,222 | ) | (6,801,370 | ) | (109,258 | ) | (393,548 | ) | ||||||||||||
Net decrease in net assets from share transactions of beneficial interest | (1,785,736 | ) | (1,023,613 | ) | (1,020,495 | ) | (3,367,716 | ) | (885,866 | ) | (865,699 | ) | ||||||||||||
Total Increase (Decrease) in Net Assets | (1,197,410 | ) | (2,160,228 | ) | 3,467,334 | (12,996,225 | ) | (992,541 | ) | (2,586,074 | ) | |||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of year | 13,917,063 | 16,077,291 | 28,683,254 | 41,679,479 | 10,559,671 | 13,145,745 | ||||||||||||||||||
End of year | $ | 12,719,653 | $ | 13,917,063 | $ | 32,150,588 | $ | 28,683,254 | $ | 9,567,130 | $ | 10,559,671 | ||||||||||||
See accompanying notes to financial statements.
116
STATEMENTS OF CHANGES IN NET ASSETS |
Small Capitalization | International Equity | Health & Biotechnology | ||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
August 31, 2020 | August 31, 2019 | August 31, 2020 | August 31, 2019 | August 31, 2020 | August 31, 2019 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | (23,430 | ) | $ | (3,906 | ) | $ | 83,107 | $ | 194,298 | $ | (22,982 | ) | $ | (41,379 | ) | ||||||||
Net realized loss on investments and foreign currency transactions | (240,715 | ) | (342,313 | ) | (259,430 | ) | (1,837,358 | ) | 1,509,451 | 591,981 | ||||||||||||||
Distribution of realized gains by underlying investment companies | — | 799 | — | — | — | — | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions | 687,572 | (829,270 | ) | 362,150 | 29,594 | 125,197 | (2,147,366 | ) | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 423,427 | (1,174,690 | ) | 185,827 | (1,613,466 | ) | 1,611,666 | (1,596,764 | ) | |||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Total Distributions Paid: | ||||||||||||||||||||||||
Class I | (1,010 | ) | (777,977 | ) | (170,545 | ) | (60,541 | ) | (284,539 | ) | (1,387,584 | ) | ||||||||||||
Class A | — | (5,555 | ) | (6,388 | ) | (1,371 | ) | (244,485 | ) | (922,061 | ) | |||||||||||||
Class C | — | (49,216 | ) | — | — | (45,652 | ) | (413,521 | ) | |||||||||||||||
Total Dividends and Distributions to Shareholders | (1,010 | ) | (832,748 | ) | (176,933 | ) | (61,912 | ) | (574,676 | ) | (2,723,166 | ) | ||||||||||||
Share Transactions of Beneficial Interest (Note 5): | ||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||
Class I | 424,519 | 155,506 | 339,076 | 2,912,313 | 557,514 | 378,098 | ||||||||||||||||||
Class A | 6,217 | 53,110 | 1,232 | 213,702 | 183,409 | 903,218 | ||||||||||||||||||
Class C | 2,038 | 7,682 | 1,708 | 6,378 | 73,667 | 39,136 | ||||||||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||||||||||
Class I | 924 | 692,711 | 162,828 | 58,378 | 269,184 | 1,301,843 | ||||||||||||||||||
Class A | — | 5,555 | 6,388 | 1,371 | 229,936 | 865,742 | ||||||||||||||||||
Class C | — | 49,034 | — | — | 43,013 | 398,026 | ||||||||||||||||||
Redemption fee proceeds | ||||||||||||||||||||||||
Class I | — | — | — | 403 | — | — | ||||||||||||||||||
Class A | — | — | — | 15 | — | — | ||||||||||||||||||
Class C | — | — | — | 4 | — | — | ||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||
Class I | (837,810 | ) | (913,085 | ) | (2,556,406 | ) | (4,061,743 | ) | (1,569,953 | ) | (1,962,972 | ) | ||||||||||||
Class A | (12,410 | ) | (41,120 | ) | (113,014 | ) | (148,296 | ) | (951,251 | ) | (787,128 | ) | ||||||||||||
Class C | (44,082 | ) | (170,696 | ) | (10,591 | ) | (109,824 | ) | (159,661 | ) | (1,238,803 | ) | ||||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | (460,604 | ) | (161,303 | ) | (2,168,779 | ) | (1,127,299 | ) | (1,324,142 | ) | (102,840 | ) | ||||||||||||
Total Decrease in Net Assets | (38,187 | ) | (2,168,741 | ) | (2,159,885 | ) | (2,802,677 | ) | (287,152 | ) | (4,422,770 | ) | ||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of year | 5,453,834 | 7,622,575 | 8,690,097 | 11,492,774 | 13,064,948 | 17,487,718 | ||||||||||||||||||
End of year | $ | 5,415,647 | $ | 5,453,834 | $ | 6,530,212 | $ | 8,690,097 | $ | 12,777,796 | $ | 13,064,948 | ||||||||||||
See accompanying notes to financial statements.
117
STATEMENTS OF CHANGES IN NET ASSETS |
Technology & Communications | Energy & Basic Materials | Financial Services | ||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
August 31, 2020 | August 31, 2019 | August 31, 2020 | August 31, 2019 | August 31, 2020 | August 31, 2019 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | (388,364 | ) | $ | (103,990 | ) | $ | 16,417 | $ | 4,367 | $ | (8,321 | ) | $ | (10,926 | ) | ||||||||
Net realized gain (loss) on investments and foreign currency transactions | 6,072,985 | 2,254,762 | (255,585 | ) | (147,649 | ) | 35,851 | 69,671 | ||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions | 10,465,455 | (1,681,240 | ) | 31,815 | (460,586 | ) | (143,043 | ) | (236,666 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | 16,150,076 | 469,532 | (207,353 | ) | (603,868 | ) | (115,513 | ) | (177,921 | ) | ||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Total Distributions Paid: | ||||||||||||||||||||||||
Class I | (1,105,213 | ) | (1,055,533 | ) | — | — | (28,891 | ) | (194,973 | ) | ||||||||||||||
Class A | (743,072 | ) | (669,408 | ) | — | — | (2,508 | ) | (16,714 | ) | ||||||||||||||
Class C | (448,156 | ) | (507,609 | ) | — | — | (135 | ) | (10,019 | ) | ||||||||||||||
Total Dividends and Distributions to Shareholders | (2,296,441 | ) | (2,232,550 | ) | — | — | (31,534 | ) | (221,706 | ) | ||||||||||||||
Share Transactions of Beneficial Interest (Note 5): | ||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||
Class I | 4,814,431 | 4,057,640 | 350,464 | 262,026 | 212,524 | 207,089 | ||||||||||||||||||
Class A | 802,452 | 2,961,089 | 75,311 | 11,139 | 38,574 | 15,719 | ||||||||||||||||||
Class C | 546,867 | 560,216 | 41 | 440 | 55 | 591 | ||||||||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||||||||||
Class I | 1,027,407 | 988,234 | — | — | 28,141 | 185,216 | ||||||||||||||||||
Class A | 697,970 | 624,254 | — | — | 2,090 | 13,263 | ||||||||||||||||||
Class C | 438,993 | 501,622 | — | — | 135 | 9,918 | ||||||||||||||||||
Redemption fee proceeds | ||||||||||||||||||||||||
Class I | 7 | 458 | — | — | — | — | ||||||||||||||||||
Class A | 4 | 265 | — | — | — | — | ||||||||||||||||||
Class C | 2 | 155 | — | — | — | — | ||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||
Class I | (8,952,672 | ) | (5,537,029 | ) | (205,277 | ) | (606,493 | ) | (292,691 | ) | (312,367 | ) | ||||||||||||
Class A | (4,065,186 | ) | (3,612,753 | ) | (225,083 | ) | (60,011 | ) | (7,009 | ) | (15,935 | ) | ||||||||||||
Class C | (1,426,424 | ) | (3,255,215 | ) | (2,403 | ) | (38,243 | ) | (7,369 | ) | (56,289 | ) | ||||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | (6,116,149 | ) | (2,711,064 | ) | (6,947 | ) | (431,142 | ) | (25,550 | ) | 47,205 | |||||||||||||
Total Increase (Decrease) in Net Assets | 7,737,486 | (4,474,082 | ) | (214,300 | ) | (1,035,010 | ) | (172,597 | ) | (352,422 | ) | |||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of year | 54,087,927 | 58,562,009 | 1,264,108 | 2,299,118 | 1,239,475 | 1,591,897 | ||||||||||||||||||
End of year | $ | 61,825,413 | $ | 54,087,927 | $ | 1,049,808 | $ | 1,264,108 | $ | 1,066,878 | $ | 1,239,475 | ||||||||||||
See accompanying notes to financial statements.
118
STATEMENTS OF CHANGES IN NET ASSETS |
Investment Quality Bond | Municipal Bond | U.S. Government Money Market | ||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
August 31, 2020 | August 31, 2019 | August 31, 2020 | August 31, 2019 | August 31, 2020 | August 31, 2019 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 31,540 | $ | 54,693 | $ | 672 | $ | 785 | $ | 13,572 | $ | 82,140 | ||||||||||||
Net realized gain (loss) on investments | 34,337 | (17,249 | ) | (736 | ) | (1,445 | ) | — | — | |||||||||||||||
Net change in unrealized appreciation on investments | 75,852 | 149,763 | 5,093 | 6,169 | — | — | ||||||||||||||||||
Net increase in net assets resulting from operations | 141,729 | 187,207 | 5,029 | 5,509 | 13,572 | 82,140 | ||||||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Total Distributions Paid: | ||||||||||||||||||||||||
Class I | (35,860 | ) | (64,085 | ) | (542 | ) | (583 | ) | (13,279 | ) | (78,814 | ) | ||||||||||||
Class A | (650 | ) | (930 | ) | (78 | ) | (18 | ) | (271 | ) | (2,444 | ) | ||||||||||||
Class C | (148 | ) | (1,723 | ) | (52 | ) | (184 | ) | (36 | ) | (848 | ) | ||||||||||||
Total Dividends and Distributions to Shareholders | (36,658 | ) | (66,738 | ) | (672 | ) | (785 | ) | (13,586 | ) | (82,106 | ) | ||||||||||||
Share Transactions of Beneficial Interest (Note 5): | ||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||
Class I | 1,415,333 | 306,860 | 1,280 | 3,105 | 2,742,172 | 3,518,033 | ||||||||||||||||||
Class A | 1,398 | 139,429 | 2,338 | 130,089 | 387,591 | 484,472 | ||||||||||||||||||
Class C | 7,202 | 18,866 | 7,626 | 7,762 | 710,399 | 248,297 | ||||||||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||||||||||
Class I | 33,780 | 58,681 | 522 | 575 | 12,754 | 76,376 | ||||||||||||||||||
Class A | 591 | 802 | 77 | 17 | 246 | 2,148 | ||||||||||||||||||
Class C | 144 | 1,670 | 52 | 183 | 29 | 721 | ||||||||||||||||||
Redemption fee proceeds | ||||||||||||||||||||||||
Class I | — | — | — | — | — | — | ||||||||||||||||||
Class A | — | — | — | — | — | — | ||||||||||||||||||
Class C | — | — | — | — | — | — | ||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||
Class I | (1,448,496 | ) | (1,169,909 | ) | (55,092 | ) | (39,804 | ) | (3,536,706 | ) | (5,258,965 | ) | ||||||||||||
Class A | (6,707 | ) | (79,314 | ) | — | (56,136 | ) | (324,265 | ) | (620,100 | ) | |||||||||||||
Class C | (72,233 | ) | (288,288 | ) | (42,905 | ) | (144,499 | ) | (777,072 | ) | (591,134 | ) | ||||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | (68,988 | ) | (1,011,203 | ) | (86,102 | ) | (98,708 | ) | (784,852 | ) | (2,140,152 | ) | ||||||||||||
Total Increase (Decrease) in Net Assets | 36,083 | (890,734 | ) | (81,745 | ) | (93,984 | ) | (784,866 | ) | (2,140,118 | ) | |||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of year | 4,490,101 | 5,380,835 | 701,852 | 795,836 | 6,482,930 | 8,623,048 | ||||||||||||||||||
End of year | $ | 4,526,184 | $ | 4,490,101 | $ | 620,107 | $ | 701,852 | $ | 5,698,064 | $ | 6,482,930 | ||||||||||||
See accompanying notes to financial statements.
119
STATEMENTS OF CHANGES IN NET ASSETS |
Aggressive Balanced | Conservative Balanced | Moderate Balanced | ||||||||||||||||||||||
Allocation Portfolio | Allocation Portfolio | Allocation Portfolio | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
August 31, 2020 | August 31, 2019 | August 31, 2020 | August 31, 2019 | August 31, 2020 | August 31, 2019 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 16,647 | $ | 13,520 | $ | 48,269 | $ | 26,968 | $ | 23,265 | $ | 15,373 | ||||||||||||
Net realized gain (loss) on investments | (5,888 | ) | (9,831 | ) | (64,064 | ) | (7,984 | ) | (24,481 | ) | (8,434 | ) | ||||||||||||
Distribution of realized gains by underlying affiliated investment companies | 14,667 | 17,631 | 41,524 | 26,826 | 21,117 | 20,780 | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments | 40,636 | (35,011 | ) | 114,553 | (23,413 | ) | 87,250 | (35,728 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | 66,062 | (13,691 | ) | 140,282 | 22,397 | 107,151 | (8,009 | ) | ||||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Total Distributions Paid: | ||||||||||||||||||||||||
Class I | (23,035 | ) | (15,790 | ) | (57,368 | ) | (24,015 | ) | (25,860 | ) | (17,091 | ) | ||||||||||||
Class A | (158 | ) | (0 | ) ^ | (971 | ) | (361 | ) | (1,119 | ) | (0 | ) ^ | ||||||||||||
Class C | (3,925 | ) | (0 | ) ^ | (20,490 | ) | (0 | ) ^ | (12,170 | ) | (0 | ) ^ | ||||||||||||
Return of Capital | ||||||||||||||||||||||||
Class I | — | — | (4,615 | ) | — | — | — | |||||||||||||||||
Class A | — | — | (84 | ) | — | — | — | |||||||||||||||||
Class C | — | — | (1,925 | ) | — | — | — | |||||||||||||||||
Total Dividends and Distributions to Shareholders | (27,118 | ) | (15,790 | ) | (85,453 | ) | (24,376 | ) | (39,149 | ) | (17,091 | ) | ||||||||||||
Share Transactions of Beneficial Interest (Note 5): | ||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||
Class I | 38,881 | 28,602 | 374,231 | 706,950 | 145,093 | 267,011 | ||||||||||||||||||
Class A | — | 4,178 | — | 30,026 | 34,006 | — | ||||||||||||||||||
Class C | 59,509 | 118,890 | 92,270 | 719,156 | 400,923 | 407,891 | ||||||||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||||||||||
Class I | 23,035 | 15,789 | 55,388 | 20,423 | 25,860 | 17,091 | ||||||||||||||||||
Class A | 158 | 0 | ^ | 1,055 | 361 | 1,119 | 0 | ^ | ||||||||||||||||
Class C | 3,925 | 0 | ^ | 22,415 | 0 | ^ | 12,169 | 0 | ^ | |||||||||||||||
Redemption fee proceeds | ||||||||||||||||||||||||
Class I | — | 6 | — | — | — | — | ||||||||||||||||||
Class A | — | — | — | — | — | — | ||||||||||||||||||
Class C | — | — | — | — | — | — | ||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||
Class I | (25,242 | ) | (29,489 | ) | (424,163 | ) | (67,040 | ) | (14,000 | ) | (110,000 | ) | ||||||||||||
Class A | — | — | — | — | (1,970 | ) | — | |||||||||||||||||
Class C | — | — | (237,007 | ) | (468 | ) | (312,381 | ) | — | |||||||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | 100,266 | 137,976 | (115,811 | ) | 1,409,408 | 290,819 | 581,993 | |||||||||||||||||
Total Increase in Net Assets | 139,210 | 108,495 | (60,982 | ) | 1,407,429 | 358,821 | 556,893 | |||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of year | 715,936 | 607,441 | 2,344,569 | 937,140 | 1,145,114 | 588,221 | ||||||||||||||||||
End of year | $ | 855,146 | $ | 715,936 | $ | 2,283,587 | $ | 2,344,569 | $ | 1,503,935 | $ | 1,145,114 |
^ | Less than $0.50 |
See accompanying notes to financial statements.
120
STATEMENTS OF CHANGES IN NET ASSETS |
Moderately Aggressive Balanced | Moderately Conservative Balanced | James Alpha Macro | ||||||||||||||||||||||
Allocation Portfolio | Allocation Portfolio | Portfolio | ||||||||||||||||||||||
(Consolidated) | ||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
August 31, 2020 | August 31, 2019 | August 31, 2020 | August 31, 2019 | August 31, 2020 | August 31, 2019 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 13,389 | $ | 8,898 | $ | 21,977 | $ | 18,063 | $ | 165,707 | $ | 111,526 | ||||||||||||
Net realized gain (loss) on investments, swaps and foreign currency transactions | (5,398 | ) | (16,179 | ) | (5,279 | ) | (12,605 | ) | (551,644 | ) | (109,188 | ) | ||||||||||||
Distribution of realized gains by underlying affiliated and non affiliated investment companies | 11,018 | 12,669 | 16,083 | 21,699 | 1,961 | 446 | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments, swaps and foreign currency transactions | 47,380 | (18,081 | ) | 40,301 | (30,827 | ) | (168,896 | ) | 918,610 | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | 66,389 | (12,693 | ) | 73,082 | (3,670 | ) | (552,872 | ) | 921,394 | |||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Total Distributions Paid: | ||||||||||||||||||||||||
Class I | (10,574 | ) | (10,405 | ) | (27,346 | ) | (19,196 | ) | (541,958 | ) | — | |||||||||||||
Class A | (8 | ) | (0 | ) ^ | (0 | ) ^ | (0 | ) ^ | (16,834 | ) | — | |||||||||||||
Class C | (3,600 | ) | (0 | ) ^ | (5,736 | ) | (0 | ) ^ | (24,761 | ) | — | |||||||||||||
Class S | — | — | — | — | (280,551 | ) | — | |||||||||||||||||
Return of Capital | ||||||||||||||||||||||||
Class I | — | — | — | — | (3,134 | ) | — | |||||||||||||||||
Class A | — | — | — | — | (101 | ) | — | |||||||||||||||||
Class C | — | — | — | — | (178 | ) | — | |||||||||||||||||
Class S | — | — | — | — | (1,623 | ) | — | |||||||||||||||||
Total Dividends and Distributions to Shareholders | (14,182 | ) | (10,405 | ) | (33,082 | ) | (19,196 | ) | (869,140 | ) | — | |||||||||||||
Share Transactions of Beneficial Interest (Note 5): | ||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||
Class I | 132,502 | 41,259 | 50,000 | — | 447,234 | 826,663 | ||||||||||||||||||
Class A | 15,827 | — | — | — | 1,130 | 79,948 | ||||||||||||||||||
Class C | 3,471 | 179,484 | 19,600 | 192,078 | 653 | 46,040 | ||||||||||||||||||
Class S | — | — | — | — | 1,934,180 | 1,941,882 | ||||||||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||||||||||
Class I | 10,574 | 10,405 | 23,669 | 19,196 | 541,433 | — | ||||||||||||||||||
Class A | 8 | 0 | ^ | 0 | ^ | 0 | ^ | 14,047 | — | |||||||||||||||
Class C | 3,600 | 0 | ^ | 5,736 | 0 | ^ | 22,918 | — | ||||||||||||||||
Class S | — | — | — | — | 188,893 | — | ||||||||||||||||||
Redemption fee proceeds | ||||||||||||||||||||||||
Class I | — | — | — | — | — | 1,120 | ||||||||||||||||||
Class A | — | — | — | — | — | — | ||||||||||||||||||
Class C | — | — | — | — | — | 20 | ||||||||||||||||||
Class S | — | — | — | — | — | — | ||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||
Class I | (24 | ) | (48,478 | ) | (14,956 | ) | — | (1,254,422 | ) | (1,064,163 | ) | |||||||||||||
Class A | (1,000 | ) | — | — | — | (74,619 | ) | (193,399 | ) | |||||||||||||||
Class C | (27,913 | ) | (1,871 | ) | (136,936 | ) | — | (100,981 | ) | (405,712 | ) | |||||||||||||
Class S | — | — | — | — | (2,348,459 | ) | (3,319,306 | ) | ||||||||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | 137,045 | 180,799 | (52,887 | ) | 211,274 | (627,993 | ) | (2,086,907 | ) | |||||||||||||||
Total Increase (Decrease) in Net Assets | 189,252 | 157,701 | (12,887 | ) | 188,408 | (2,050,005 | ) | (1,165,513 | ) | |||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of year | 554,322 | 396,621 | 931,043 | 742,635 | 11,386,065 | 12,551,578 | ||||||||||||||||||
End of year | $ | 743,574 | $ | 554,322 | $ | 918,156 | $ | 931,043 | $ | 9,336,060 | $ | 11,386,065 |
^ | Less than $0.50 |
See accompanying notes to (consolidated) financial statements.
121
STATEMENTS OF CHANGES IN NET ASSETS |
James Alpha Managed | ||||||||||||||||||||||||
James Alpha Global | James Alpha Multi Strategy | Risk Domestic | ||||||||||||||||||||||
Real Estate Investments Portfolio | Alternative Income Portfolio | Equity Portfolio | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
August 31, 2020 | August 31, 2019 | August 31, 2020 | August 31, 2019 | August 31, 2020 | August 31, 2019 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 13,439,570 | $ | 5,984,711 | $ | 46,742 | $ | 76,825 | $ | (141,749 | ) | $ | (103,505 | ) | ||||||||||
Net realized gain (loss) on investments, swaps and foreign currency transactions | 78,812,147 | 66,306,632 | 1,397,326 | (136,397 | ) | (1,868,377 | ) | 3,204,851 | ||||||||||||||||
Distribution of realized gains by underlying investment companies | — | — | 748 | — | — | — | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments, short sells, swaps and foreign currency transactions | (154,651,589 | ) | (40,812,095 | ) | (571,647 | ) | (259,031 | ) | 4,838,914 | (1,247,992 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (62,399,872 | ) | 31,479,248 | 873,169 | (318,603 | ) | 2,828,788 | 1,853,354 | ||||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Total Distributions Paid: | ||||||||||||||||||||||||
Class I | (75,761,135 | ) | (53,606,176 | ) | (381,517 | ) | (238,673 | ) | (785,323 | ) | (346,245 | ) | ||||||||||||
Class A | (11,550,263 | ) | (9,742,341 | ) | (1,077 | ) | (1,404 | ) | (25,194 | ) | (17,384 | ) | ||||||||||||
Class C | (8,308,065 | ) | (6,789,942 | ) | (2,658 | ) | (4,027 | ) | (40,715 | ) | (26,010 | ) | ||||||||||||
Class S | (2,046,015 | ) | (1,421,113 | ) | (37,008 | ) | (58,372 | ) | (289,991 | ) | (1,690,632 | ) | ||||||||||||
Return of Capital | ||||||||||||||||||||||||
Class I | — | — | — | (205,106 | ) | — | — | |||||||||||||||||
Class A | — | — | — | (1,197 | ) | — | — | |||||||||||||||||
Class C | — | — | — | (2,857 | ) | — | — | |||||||||||||||||
Class S | — | — | — | (33,160 | ) | — | — | |||||||||||||||||
Total Dividends and Distributions to Shareholders | (97,665,478 | ) | (71,559,572 | ) | (422,260 | ) | (544,796 | ) | (1,141,223 | ) | (2,080,271 | ) | ||||||||||||
Share Transactions of Beneficial Interest (Note 5): | ||||||||||||||||||||||||
Beneficial Interest (Note 5): | ||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||
Class I | 504,892,742 | 307,754,153 | 114,291 | 77,153 | 33,839,328 | 16,993,056 | ||||||||||||||||||
Class A | 18,808,078 | 28,194,681 | 564 | 12,579 | 1,215,699 | 348,554 | ||||||||||||||||||
Class C | 11,744,939 | 15,722,284 | 35 | 13,027 | 1,372,262 | 305,500 | ||||||||||||||||||
Class S | 31,231,154 | 6,336,065 | 100,438 | 630,422 | 2,374,471 | 5,651,609 | ||||||||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||||||||||
Class I | 42,134,779 | 28,563,369 | 381,306 | 443,646 | 622,819 | 129,268 | ||||||||||||||||||
Class A | 9,065,900 | 7,667,431 | 1,077 | 2,601 | 21,319 | 17,383 | ||||||||||||||||||
Class C | 6,529,449 | 5,290,151 | 2,544 | 6,709 | 40,272 | 26,010 | ||||||||||||||||||
Class S | 1,709,364 | 1,166,763 | 23,796 | 74,459 | 225,164 | 1,442,927 | ||||||||||||||||||
Redemption fee proceeds | ||||||||||||||||||||||||
Class I | — | 1,993 | — | — | — | 65 | ||||||||||||||||||
Class A | 5 | 376 | — | — | — | — | ||||||||||||||||||
Class C | — | 281 | — | — | — | 1 | ||||||||||||||||||
Class S | — | 57 | — | — | — | 24 | ||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||
Class I | (515,782,732 | ) | (254,657,851 | ) | (121,820 | ) | (87,440 | ) | (14,156,733 | ) | (1,567,647 | ) | ||||||||||||
Class A | (30,137,619 | ) | (35,117,510 | ) | (64,426 | ) | (20,400 | ) | (296,846 | ) | (78,873 | ) | ||||||||||||
Class C | (20,767,479 | ) | (19,034,881 | ) | (117,747 | ) | (86,290 | ) | (197,692 | ) | (124,292 | ) | ||||||||||||
Class S | (10,414,985 | ) | (15,457,342 | ) | (922,187 | ) | (2,207,534 | ) | (6,666,196 | ) | (14,153,248 | ) | ||||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | 49,013,595 | 76,430,020 | (602,129 | ) | (1,141,068 | ) | 18,393,867 | 8,990,337 | ||||||||||||||||
Total Increase (Decrease) in Net Assets | (111,051,755 | ) | 36,349,696 | (151,220 | ) | (2,004,467 | ) | 20,081,432 | 8,763,420 | |||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of year | 840,967,101 | 804,617,405 | 13,582,922 | 15,587,389 | 34,079,963 | 25,316,543 | ||||||||||||||||||
End of year | $ | 729,915,346 | $ | 840,967,101 | $ | 13,431,702 | $ | 13,582,922 | $ | 54,161,395 | $ | 34,079,963 | ||||||||||||
See accompanying notes to (consolidated) financial statements.
122
STATEMENTS OF CHANGES IN NET ASSETS |
James Alpha Managed Risk | ||||||||||||||||
Risk Emerging Markets | James Alpha Hedged | |||||||||||||||
Equity Portfolio | High Income Portfolio | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
August 31, 2020 | August 31, 2019 | August 31, 2020 | August 31, 2019 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 12,355 | $ | 24,369 | $ | 1,740,982 | $ | 2,577,051 | ||||||||
Net realized gain (loss) on investments | (616,573 | ) | 250,566 | (671,773 | ) | (546,722 | ) | |||||||||
Distribution of realized gains by underlying investment companies | — | — | 4,387 | — | ||||||||||||
Net change in unrealized depreciation on investments | 521,908 | (309,025 | ) | (1,003,481 | ) | (740,062 | ) | |||||||||
Net increase (decrease) in net assets resulting from operations | (82,310 | ) | (34,090 | ) | 70,115 | 1,290,267 | ||||||||||
Distributions to Shareholders: | ||||||||||||||||
Total Distributions Paid: | ||||||||||||||||
Class I | — | (880,488 | ) | (788,835 | ) | (897,071 | ) | |||||||||
Class A | — | (9,474 | ) | (139,790 | ) | (137,643 | ) | |||||||||
Class C | — | (12,340 | ) | (25,123 | ) | (26,855 | ) | |||||||||
Class S | — | (265,498 | ) | (775,851 | ) | (1,170,969 | ) | |||||||||
Return of Capital | — | |||||||||||||||
Class I | — | — | (87,524 | ) | (163,437 | ) | ||||||||||
Class A | — | — | (9,654 | ) | (31,265 | ) | ||||||||||
Class C | — | — | (2,615 | ) | (5,110 | ) | ||||||||||
Class S | — | — | (99,529 | ) | (169,821 | ) | ||||||||||
Total Dividends and Distributions to Shareholders | — | (1,167,800 | ) | (1,928,921 | ) | (2,602,171 | ) | |||||||||
Share Transactions of Beneficial Interest (Note 5): | ||||||||||||||||
Beneficial Interest (Note 5): | ||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||
Class I | 92,864 | 3,567,435 | 3,527,409 | 13,358,341 | ||||||||||||
Class A | 2,787 | 38,168 | 1,409,882 | 3,307,179 | ||||||||||||
Class C | — | — | 67,000 | 474,090 | ||||||||||||
Class S | 495,975 | 1,131,477 | 4,610,520 | 11,373,566 | ||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||
Class I | — | 302,735 | 737,112 | 878,921 | ||||||||||||
Class A | — | 9,474 | 139,789 | 159,463 | ||||||||||||
Class C | — | 12,340 | 5,727 | 9,314 | ||||||||||||
Class S | — | 230,029 | 605,210 | 1,100,718 | ||||||||||||
Redemption fee proceeds | ||||||||||||||||
Class I | — | 321 | — | 527 | ||||||||||||
Class A | — | 6 | — | 30 | ||||||||||||
Class C | — | 8 | 60 | 6 | ||||||||||||
Class S | — | 161 | — | — | ||||||||||||
Cost of shares redeemed | ||||||||||||||||
Class I | (1,428,491 | ) | (4,332,874 | ) | (12,911,259 | ) | (14,971,820 | ) | ||||||||
Class A | (49,976 | ) | (53,366 | ) | (4,559,390 | ) | (1,647,726 | ) | ||||||||
Class C | (52,029 | ) | (37,469 | ) | (425,362 | ) | (340,311 | ) | ||||||||
Class S | (1,050,592 | ) | (1,621,833 | ) | (12,345,170 | ) | (27,474,743 | ) | ||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | (1,989,462 | ) | (753,388 | ) | (19,138,472 | ) | (13,772,445 | ) | ||||||||
Total Increase (decrease) in Net Assets | (2,071,772 | ) | (1,955,278 | ) | (20,997,278 | ) | (15,084,349 | ) | ||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 6,119,871 | 8,075,149 | 52,333,768 | 67,418,117 | ||||||||||||
End of period | $ | 4,048,099 | $ | 6,119,871 | $ | 31,336,490 | $ | 52,333,768 | ||||||||
See accompanying notes to financial statements.
123
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 |
1. | ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES |
The Saratoga Advantage Trust (the “Trust”) was organized on April 8, 1994, as a Delaware Statutory Trust and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The Trust commenced investment operations on September 2, 1994. The Trust currently consists of twenty-nine series. These financial statements include the following twenty-three series: the Large Capitalization Value Portfolio; the Large Capitalization Growth Portfolio; the Mid Capitalization Portfolio; the Small Capitalization Portfolio; the International Equity Portfolio; the Health & Biotechnology Portfolio; the Technology & Communications Portfolio; the Energy & Basic Materials Portfolio; the Financial Services Portfolio; the Investment Quality Bond Portfolio; the Municipal Bond Portfolio; the U.S. Government Money Market Portfolio, Aggressive Balanced Allocation Portfolio, Conservative Balanced Allocation Portfolio, Moderate Balanced Allocation Portfolio, Moderately Aggressive Balanced Allocation Portfolio, Moderately Conservative Balanced Allocation Portfolio, the James Alpha Macro Portfolio, the James Alpha Global Real Estate Investments Portfolio, the James Alpha Multi Strategy Alternative Income Portfolio, the James Alpha Managed Risk Domestic Equity Portfolio, the James Alpha Managed Risk Emerging Markets Equity Portfolio, and the James Alpha Hedged High Income Portfolio, (collectively, the “Portfolios”). Saratoga Capital Management, LLC (the “Manager”) serves as the Trust’s Manager. The James Alpha Macro Portfolio, the James Alpha Global Real Estate Portfolio, the James Alpha Multi Strategy Alternative Income Portfolio, the James Alpha Managed Risk Domestic Equity Portfolio, the James Alpha Managed Risk Emerging Markets Equity Portfolio, and the James Alpha Hedged High Income Portfolio are all managed by James Alpha Advisors, LLC (“James Alpha Advisors”), and all six are supervised by the Manager. With the exception of the James Alpha Macro Portfolio, the James Alpha Global Real Estate Investments Portfolio, the James Alpha Multi Strategy Alternative Income Portfolio, the James Alpha Managed Risk Domestic Equity Portfolio, the James Alpha Managed Risk Emerging Markets Equity Portfolio, and the James Alpha Hedged High Income Portfolio, each of the Portfolios is provided with the discretionary advisory services of an investment adviser or advisers identified, retained, supervised and compensated by the Manager.
The following serve as advisers (the “Advisers”) to their respective Portfolio(s): M.D. Sass Investors Services, Inc. serves as Adviser to Large Capitalization Value; Smith Group Asset Management serves as Adviser to Large Capitalization Growth, Energy & Basic Materials, Financial Services and International Equity; Vaughan Nelson Investment Management, L.P. serves as Adviser to Mid Capitalization; Zacks Investment Management, Inc. serves as Adviser to Small Capitalization; Oak Associates, Ltd. serves as Adviser to Health & Biotechnology and Technology & Communications; CLS Investments, LLC serves as Adviser to U.S. Government Money Market; Saratoga Capital Management, LLC serves as Adviser for Investment Quality Bond, Municipal Bond, Aggressive Balanced Allocation, Conservative Balanced Allocation, Moderate Balanced Allocation, Moderately Aggressive Balanced Allocation and Moderately Conservative Balanced Allocation; James Alpha Advisors, LLC serves as Adviser to James Alpha Macro, James Alpha Global Real Estate Investments, James Alpha Multi Strategy Alternative Income, James Alpha Managed Risk Domestic Equity, James Alpha Managed Risk Emerging Markets Equity, and James Alpha Hedged High Income. Ranger Global Real Estate Advisors, LLC serves as the sub-adviser to the James Alpha Global Real Estate Investments; Ranger Global Real Estate Advisors, LLC, Bullseye Asset Management LLC, Kellner Private Fund Management, LP and Coherence Capital Partners LLC serve as the sub-advisers to the James Alpha Multi Strategy Alternative Income; EAB Investment Group, LLC serves as the sub-adviser to the James Alpha Managed Risk Domestic Equity and James Alpha Managed Risk Emerging Markets Equity; Concise Capital Management, LP and Amundi Smith Breeden LLC and Coherence Capital Partners LLC serve as sub-advisers to the James Alpha Hedged High Income Portfolio. Gemini Fund Services, LLC (the “Administrator”), serves the Trust as administrator, custody administrator, transfer agent and fund accounting agent. Northern Lights Distributors, LLC (“NLD” or the “Distributor”) is the Trust’s Distributor.
The Large Capitalization Value Portfolio, the Large Capitalization Growth Portfolio, the Mid Capitalization Portfolio, the Small Capitalization Portfolio, the International Equity Portfolio, the Health & Biotechnology Portfolio, the Technology & Communications Portfolio, the Energy & Basic Materials Portfolio, the Financial Services Portfolio, the Investment Quality Bond Portfolio, the Municipal Bond Portfolio, the U.S. Government Money Market Portfolio, Aggressive Balanced Allocation, Conservative Balanced Allocation, Moderately Conservative Balanced Allocation, Moderate Balanced Allocation, Moderately Aggressive Balanced Allocation, the James Alpha Macro Portfolio, the James Alpha Global Real Estate Investments Portfolio, the James Alpha Multi Strategy Alternative Income Portfolio, the James Alpha Managed Risk Domestic Equity Portfolio , the James Alpha Managed Risk Emerging Markets Equity Portfolio and the James Alpha Hedged High Income Portfolio are diversified portfolios.
Portfolio | Primary Objective | |
Large Capitalization Value | Total return consisting of capital appreciation and dividend income | |
Large Capitalization Growth | Capital appreciation | |
Mid Capitalization | Long-term capital appreciation | |
Small Capitalization | Maximum capital appreciation | |
International Equity | Long-term capital appreciation | |
Health & Biotechnology | Long-term capital growth | |
Technology & Communications | Long-term capital growth | |
Energy & Basic Materials | Long-term capital growth | |
Financial Services | Long-term capital growth | |
Investment Quality Bond | Current income and reasonable stability of principal | |
Municipal Bond | High level of interest income that is excluded from federal income taxation to the extent consistent with prudent investment management and the preservation of capital | |
U.S. Government Money Market | Maximum current income to the extent consistent with the maintenance of liquidity and the preservation of capital | |
Aggressive Balanced Allocation | Total return consisting of capital appreciation and income | |
Conservative Balanced Allocation | Total return consisting of capital appreciation and income | |
Moderate Balanced Allocation | Total return consisting of capital appreciation and income | |
Moderately Aggressive Balanced Allocation | Total return consisting of capital appreciation and income | |
Moderately Conservative Balanced Allocation | Total return consisting of capital appreciation and income | |
James Alpha Macro | Attractive long-term risk-adjusted returns relative to traditional financial market indices | |
James Alpha Global Real Estate | Total return consisting of current income and capital appreciation | |
James Alpha Multi Strategy Alternative Income | Long-term capital appreciation | |
James Alpha Managed Risk Domestic Equity | Capital appreciation | |
James Alpha Managed Risk Emerging Markets Equity | Capital appreciation | |
James Alpha Hedged High Income | High current income |
124
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
Currently, all Portfolios offer Class A, Class C and Class I shares and the James Alpha Portfolios also offer Class S shares. Each class represents an interest in the same assets of the applicable Portfolio, and the classes are identical except for differences in their sales charge structures and ongoing service and distribution charges. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans.
The following is a summary of significant accounting policies followed by the Portfolios in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Portfolio 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” including FASB Accounting Standard Update ASU 2013-08.
(a) Valuation of Investments
Investment securities listed on a national securities exchange are valued at the last reported sale price on the valuation date. NASDAQ traded securities are valued at the NASDAQ Official Closing Price (NOCP). If there are no such reported sales, the securities are valued at the mean between current bid and ask. Debt securities (other than short-term obligations) are valued each day by an independent pricing service approved by the Board of Trustees using methods which include current market quotations from a major market maker in the securities and trader-reviewed “matrix” prices. Short-term debt securities having a remaining maturity of sixty days or less may be valued at amortized cost or amortized value, which approximates market value. U.S. Government Money Market values all of its securities on the basis of amortized cost, which approximates market value. Options listed on a securities exchange or board of trade for which market quotations are readily available shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the last bid and ask price. Options not listed on a securities exchange or board of trade for which over-the-counter market quotations are readily available shall be valued at the mean of the current bid and asked prices. Futures are valued based on their daily settlement value. Swap transactions are valued through an independent pricing service or at fair value based on daily price reporting from the swap counterparty issuing the swap. Total return swaps on securities listed on an exchange shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the current bid and ask prices. Any securities or other assets for which market quotations are not readily available are valued at their fair value as determined in good faith under procedures established by the Board of Trustees. There is no single standard for determining the fair value of such securities. Rather, in determining the fair value of a security, the board-appointed Fair Valuation Committee shall take into account the relevant factors and surrounding circumstances, a few of which may include: (i) the nature and pricing history (if any) of the security; (ii) whether any dealer quotations for the security are available; and (iii) possible valuation methodologies that could be used to determine the fair value of a security. The International Equity Portfolio uses fair value prices as provided by an independent pricing vendor on a daily basis for those securities traded on a foreign exchange. Foreign currency and Forward currency exchange contracts are valued daily at the London close each day. The ability of issuers of debt securities held by the portfolios to meet their obligations may be affected by economic or political developments in a specific state, industry or region. Investments in foreign countries may involve certain considerations and risks not typically associated with domestic investments, including, but not limited to, the possibility of future political and economic developments and the level of government supervision and regulation of foreign securities markets.
The Portfolios utilize various methods to measure the fair value of most of its investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:
Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Portfolios have the ability to access.
Level 2 – Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Portfolios’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
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 August 31, 2020, for the Portfolios’ assets and liabilities measured at fair value:
Large Capitalization Value | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 10,535,908 | $ | — | $ | — | $ | 10,535,908 | ||||||||
Depositary Receipts | 584,767 | — | — | 584,767 | ||||||||||||
REIT | 432,837 | — | — | 432,837 | ||||||||||||
Short-Term Investments | 1,178,203 | — | — | 1,178,203 | ||||||||||||
Total | $ | 12,731,715 | $ | — | $ | — | $ | 12,731,715 |
125
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
Large Capitalization Growth | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 31,110,646 | $ | — | $ | — | $ | 31,110,646 | ||||||||
REIT | 395,868 | — | — | 395,868 | ||||||||||||
Short-Term Investments | 657,531 | — | — | 657,531 | ||||||||||||
Total | $ | 32,164,045 | $ | — | $ | — | $ | 32,164,045 | ||||||||
Mid Capitalization | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 9,248,007 | $ | — | $ | — | $ | 9,248,007 | ||||||||
REIT | 222,368 | — | — | 222,368 | ||||||||||||
Short-Term Investments | 80,900 | — | — | 80,900 | ||||||||||||
Total | $ | 9,551,275 | $ | — | $ | — | $ | 9,551,275 | ||||||||
Small Capitalization | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 4,993,471 | $ | — | $ | — | $ | 4,993,471 | ||||||||
REIT | 230,403 | — | — | 230,403 | ||||||||||||
Short-Term Investments | 196,956 | — | — | 196,956 | ||||||||||||
Collateral for Securities Loaned | — | 137,876 | — | 137,876 | ||||||||||||
Total | $ | 5,420,830 | $ | 137,876 | $ | — | $ | 5,558,706 | ||||||||
International Equity | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | ||||||||||||||||
Asset Management | $ | — | $ | 160,841 | $ | — | $ | 160,841 | ||||||||
Automobiles | — | 149,378 | — | 149,378 | ||||||||||||
Banking | 156,009 | 604,769 | — | 760,778 | ||||||||||||
Beverages | — | 176,081 | — | 176,081 | ||||||||||||
Biotechnology & Pharamaceuticals | 153,569 | 457,354 | — | 610,923 | ||||||||||||
Commercial Support Services | — | 153,221 | — | 153,221 | ||||||||||||
Construction Materials | — | 137,550 | — | 137,550 | ||||||||||||
E-Commerce Discretionary | 189,522 | — | — | 189,522 | ||||||||||||
Electric Utilities | — | 166,253 | — | 166,253 | ||||||||||||
Engineering & Construction | — | 118,502 | — | 118,502 | ||||||||||||
Entertainment Content | — | 290,443 | — | 290,443 | ||||||||||||
Household Products | — | 131,352 | — | 131,352 | ||||||||||||
Insurance | 139,093 | 425,933 | — | 565,026 | ||||||||||||
Leisure Facilities & Services | — | 156,247 | — | 156,247 | ||||||||||||
Machinery | — | 185,090 | — | 185,090 | ||||||||||||
Medical Equipment & Devices | — | 168,047 | — | 168,047 | ||||||||||||
Metals & Mining | — | 336,549 | — | 336,549 | ||||||||||||
Oil & Gas Producers | 91,464 | 102,913 | — | 194,377 | ||||||||||||
Retail Consumer Staples | 150,597 | — | — | 150,597 | ||||||||||||
Retail Discretionary | — | 158,602 | — | 158,602 | ||||||||||||
SemiConductors | — | 156,300 | — | 156,300 | ||||||||||||
Technology Hardware | — | 581,706 | — | 581,706 | ||||||||||||
Technology Services | — | 186,261 | — | 186,261 | ||||||||||||
Telecommunications | 151,182 | 148,605 | — | 299,787 | ||||||||||||
Transportation & Logistics | 131,985 | — | — | 131,985 | ||||||||||||
Transportation Equipment | — | 174,636 | — | 174,636 | ||||||||||||
Short Term Investments | 30,217 | — | — | 30,217 | ||||||||||||
Total | $ | 1,193,638 | $ | 5,326,633 | $ | — | $ | 6,520,271 | ||||||||
Health & Biotechnology | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 12,638,115 | $ | — | $ | — | $ | 12,638,115 | ||||||||
Short-Term Investments | 143,116 | — | — | 143,116 | ||||||||||||
Total | $ | 12,781,231 | $ | — | $ | — | $ | 12,781,231 | ||||||||
Technology & Communications | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 60,685,244 | $ | — | $ | — | $ | 60,685,244 | ||||||||
Short-Term Investments | 1,165,999 | — | — | 1,165,999 | ||||||||||||
Total | $ | 61,851,243 | $ | — | $ | — | $ | 61,851,243 |
126
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
Energy & Basic Materials | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 1,030,897 | $ | — | $ | — | $ | 1,030,897 | ||||||||
Short-Term Investments | 13,828 | — | — | 13,828 | ||||||||||||
Total | $ | 1,044,725 | $ | — | $ | — | $ | 1,044,725 | ||||||||
Financial Services | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 1,048,706 | $ | — | $ | — | $ | 1,048,706 | ||||||||
Short-Term Investments | 15,549 | — | — | 15,549 | ||||||||||||
Total | $ | 1,064,255 | $ | — | $ | — | $ | 1,064,255 | ||||||||
Investment Quality Bond | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 4,347,090 | $ | — | $ | — | $ | 4,347,090 | ||||||||
Short-Term Investments | 189,112 | — | — | 189,112 | ||||||||||||
Total | $ | 4,536,202 | $ | — | $ | — | $ | 4,536,202 | ||||||||
Municipal Bond | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Open End Fund | $ | 576,315 | $ | — | $ | — | $ | 576,315 | ||||||||
Short-Term Investment | 36,330 | — | — | 36,330 | ||||||||||||
Total | $ | 612,645 | $ | — | $ | — | $ | 612,645 | ||||||||
U.S. Government Money Market | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Repurchase Agreement | $ | — | $ | 5,668,000 | $ | — | $ | 5,668,000 | ||||||||
Short-Term Investments | $ | 195 | $ | — | $ | — | $ | 195 | ||||||||
Total | $ | 195 | $ | 5,668,000 | $ | — | $ | 5,668,195 | ||||||||
Aggressive Balanced Allocation | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Open Ended Funds | $ | 762,720 | $ | — | $ | — | 762,720 | |||||||||
Short-Term Investments | 87,732 | — | — | 87,732 | ||||||||||||
Total | $ | 850,452 | $ | — | $ | — | $ | 850,452 | ||||||||
Conservative Balanced Allocation | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Open Ended Funds | $ | 1,654,907 | $ | — | $ | — | $ | 1,654,907 | ||||||||
Short-Term Investments | 633,991 | — | — | 633,991 | ||||||||||||
Total | $ | 2,288,898 | $ | — | $ | — | $ | 2,288,898 | ||||||||
Moderate Balanced Allocation | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Open Ended Funds | $ | 1,251,951 | $ | — | $ | — | 1,251,951 | |||||||||
Short-Term Investments | 247,761 | — | — | 247,761 | ||||||||||||
Total | $ | 1,499,712 | $ | — | $ | — | $ | 1,499,712 | ||||||||
Moderately Aggressive Balanced Allocation | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Open Ended Funds | $ | 656,838 | $ | — | $ | — | 656,838 | |||||||||
Short-Term Investments | 81,120 | — | — | 81,120 | ||||||||||||
Total | $ | 737,958 | $ | — | $ | — | $ | 737,958 | ||||||||
Moderately Conservative Balanced Allocation | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Open Ended Funds | $ | 763,009 | $ | — | $ | — | $ | 763,009 | ||||||||
Short-Term Investments | 185,465 | — | — | 185,465 | ||||||||||||
Total | $ | 948,474 | $ | — | $ | — | $ | 948,474 |
127
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
James Alpha Macro | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 3,810,398 | $ | — | $ | — | $ | 3,810,398 | ||||||||
Exchange Traded Notes | 6,169 | — | — | 6,169 | ||||||||||||
Mutual Funds | 3,588,509 | — | — | 3,588,509 | ||||||||||||
Short-Term Investments | 190,357 | — | — | 190,357 | ||||||||||||
Total | $ | 7,595,433 | $ | — | $ | — | $ | 7,595,433 | ||||||||
Derivatives | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 1,077 | $ | — | $ | 1,077 | ||||||||
Total Return Swaps | — | 213,668 | — | 213,668 | ||||||||||||
Total | $ | — | $ | 214,745 | $ | — | $ | 214,745 | ||||||||
James Alpha Global Real Estate Investments | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 727,478,532 | $ | — | $ | — | $ | 727,478,532 | ||||||||
Short-Term Investments | 6,114,625 | — | — | 6,114,625 | ||||||||||||
Total | $ | 733,593,157 | $ | — | $ | — | $ | 733,593,157 | ||||||||
Derivatives - Liabilities | ||||||||||||||||
Forward Currency Contracts | — | $ | 31,011 | — | $ | 31,011 | ||||||||||
James Alpha Multi Strategy Alternative Income | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Bonds | $ | — | $ | 785,720 | $ | — | $ | 785,720 | ||||||||
Common Stock | 8,981,115 | — | — | 8,981,115 | ||||||||||||
Exchange Traded Funds | 363,423 | — | — | 363,423 | ||||||||||||
Preferred Stock | 406,825 | — | — | 406,825 | ||||||||||||
Closed End Funds | 1,423,878 | — | — | 1,423,878 | ||||||||||||
Open End Fund | 763,594 | — | — | 763,594 | ||||||||||||
Contingent Value Right | 804 | — | — | 804 | ||||||||||||
Short-Term Investments | 2,414,754 | — | — | 2,414,754 | ||||||||||||
Total | $ | 14,354,393 | $ | 785,720 | $ | — | $ | 15,140,113 | ||||||||
Liabilities* | ||||||||||||||||
Common Stock Sold Short | $ | (1,017,430 | ) | $ | (10,332 | ) | $ | — | (1,027,762 | ) | ||||||
Exchange Traded Funds Sold Short | (1,561,294 | ) | — | — | (1,561,294 | ) | ||||||||||
Total | $ | (2,578,724 | ) | $ | (10,332 | ) | $ | — | $ | (2,589,056 | ) | |||||
James Alpha Managed Risk Domestic Equity | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 49,602,020 | $ | — | $ | — | $ | 49,602,020 | ||||||||
Put Options Purchased | — | 1,930,500 | — | 1,930,500 | ||||||||||||
Call Options Purchased | — | 359,250 | — | 359,250 | ||||||||||||
Short-Term Investments | 393,007 | — | — | 393,007 | ||||||||||||
Total | $ | 49,995,027 | $ | 2,289,750 | $ | — | $ | 52,284,777 | ||||||||
Derivatives* - Liabilities | ||||||||||||||||
Exchange Traded Funds Short | $ | (349,310 | ) | $ | — | $ | — | $ | (349,310 | ) | ||||||
Put Options Written | — | (676,500 | ) | — | (676,500 | ) | ||||||||||
Call Options Written | — | (1,360,975 | ) | — | (1,360,975 | ) | ||||||||||
Total | $ | (349,310 | ) | $ | (2,037,475 | ) | $ | — | $ | (2,386,785 | ) | |||||
James Alpha Managed Risk Emerging Markets Equity | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 1,915,220 | $ | — | $ | — | $ | 1,915,220 | ||||||||
Put Options Purchased | — | 197,575 | — | 197,575 | ||||||||||||
Short-Term Investments | 983,279 | — | — | 983,279 | ||||||||||||
Total | $ | 2,898,499 | $ | 197,575 | $ | — | $ | 3,096,074 | ||||||||
Derivatives* - Liabilities | ||||||||||||||||
Put Options Written | $ | — | $ | (55,250 | ) | $ | — | $ | (55,250 | ) | ||||||
Call Options Written | — | (52,800 | ) | — | (52,800 | ) | ||||||||||
Total | $ | — | $ | (108,050 | ) | $ | — | $ | (108,050 | ) |
128
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
James Alpha Hedged High Income | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset Backed Securities | $ | — | $ | 4,387,731 | $ | — | $ | 4,387,731 | ||||||||
Bank Loans | — | 519,745 | — | 519,745 | ||||||||||||
Term Loans | — | — | 314,692 | 314,692 | ||||||||||||
Corporate Bonds | — | 11,668,971 | 324,624 | 11,993,595 | ||||||||||||
Convertible Bonds | — | 294,563 | 13 | 294,576 | ||||||||||||
Preferred Stock | 1,184,747 | — | — | 1,184,747 | ||||||||||||
Common Stock | 4,140 | — | 547,570 | 551,710 | ||||||||||||
Exchange Traded Funds | 2,480,230 | — | — | 2,480,230 | ||||||||||||
Mutual Fund | 3,066,873 | — | — | 3,066,873 | ||||||||||||
Closed End Fund | 2,590,053 | — | — | 2,590,053 | ||||||||||||
Warrants | — | — | 1,999 | 1,999 | ||||||||||||
Short-Term Investments | 1,605,067 | — | — | 1,605,067 | ||||||||||||
Total | $ | 10,931,110 | $ | 16,871,010 | $ | 1,188,898 | $ | 28,991,018 | ||||||||
Liabilities* | ||||||||||||||||
Corporate Bonds | $ | — | $ | 109,061 | $ | — | $ | 109,061 | ||||||||
Total | $ | — | $ | 109,061 | $ | — | $ | 109,061 | ||||||||
Derivatives* | ||||||||||||||||
Long Futures Contracts | (5,911 | ) | — | — | (5,911 | ) | ||||||||||
Short Futures Contracts | (9,007 | ) | — | — | (9,007 | ) | ||||||||||
Credit Default Swaps | — | (195,170 | ) | — | (195,170 | ) |
It is the Portfolios’ policy to recognize transfers into and out of Levels at the end of the reporting period.
* | Refer to the Schedules of Investments for industry or category classifications. |
The following is a reconciliation for the James Alpha Hedged High Income Portfolio for which Level 3 inputs were used in determining value:
Beginning | Ending | |||||||||||||||||||||||||||||||
balance | Change in | Net transfers | balance | |||||||||||||||||||||||||||||
August 31, | Total realized | unrealized | Net | in/(out) of | August 31, | |||||||||||||||||||||||||||
2019 | gain/(loss) | appreciation | Conversion | Purchases | Net Sales | Level 3 | 2020 | |||||||||||||||||||||||||
Term Loans | $ | 323,891 | — | $ | (9,199 | ) | $ | — | $ | — | — | $ | — | $ | 314,692 | |||||||||||||||||
Corporate Bonds | 204,184 | 19,784 | 6,284 | — | 1,746 | (74,808 | ) | 167,434 | 324,624 | |||||||||||||||||||||||
Convertible Bonds | — | — | — | — | — | — | 13 | 13 | ||||||||||||||||||||||||
Common Stock + | 607,362 | (1,712 | ) | (54,688 | ) | — | — | (3,392 | ) | — | 547,570 | |||||||||||||||||||||
Preferred Securities + | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Warrants | — | — | — | — | — | — | 1,999 | 1,999 |
+ | Includes a security with $0 market value |
129
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
Quantitative disclosures of unobservable inputs and assumptions used by James Alpha Hedged High Income are below:
Investments in Securities: | |||||||||
Corporate Bonds | Fair Value | Valuation Techniques | Unobservable Input | ||||||
PetroQuest | 23,107 | marked with index | Discount for lack of marketability | ||||||
Youngs PIK SCA | 50,272 | Discount for lack of marketability | |||||||
Delphi Energy Corp. | 251,245 | Last price | Discount for lack of marketability | ||||||
Term Loans | |||||||||
Jakks Pacific | 314,692 | Independent Valuation | Adjusted by management to reflect current conditions | ||||||
Convertible Bonds | |||||||||
Fortress Global Enterprises | 13 | ||||||||
Preferred Stock | |||||||||
Jakks Pacific Inc. | 0 | No current market | |||||||
Common Stock | |||||||||
CE STAR | 139,805 | Independent Valuation | Discount for lack of marketability | ||||||
PetroQuest | 0 | ||||||||
Jakks Pacific Inc. | 0 | ||||||||
FriendFinder Networks, Inc. | 0 | ||||||||
Nebraska book Holidngs, Inc. | 133,283 | Independent Valuation | Adjusted by management to reflect current conditions | ||||||
RA Parent, Inc. | 274,482 | Independent Valuation | |||||||
Warrants | |||||||||
Delphi | 1,999 | ||||||||
Total Fair Value Securities | $ | 1,188,898 |
Fair value securities as a percent of net assets at August 31, 2020, were 3.8%.
Consolidation of Subsidiary – James Alpha Cayman Commodity Fund I Ltd. (JACC-SPC)
The Consolidated Portfolio of Investments, Consolidated Statement of Assets and Liabilities, Consolidated Statement of Operations and Consolidated Statement of Changes in Net Assets and the Consolidated Financial Highlights of the James Alpha Macro Portfolio includes the accounts of JACC-SPC, a wholly owned and controlled subsidiary. JACC-SPC is a closed-end fund incorporated as an exempted company under the company’s law of the Cayman Islands on February 2, 2011, and is a disregarded entity for tax purposes. All inter-company accounts and transactions have been eliminated in consolidation.
The James Alpha Macro Portfolio may invest up to 25% of its total assets in the segregated portfolio company (“SPC”) which acts as an investment vehicle in order to effect certain investments consistent with the Portfolio’s investment objectives and policies.
A summary of the James Alpha Macro Portfolio’s investments in the SPC is as follows:
SPC Net Assets at | % of Fund Net Assets at August | |||||||
Inception Date of SPC | August 31, 2020 | 31, 2020 | ||||||
James Alpha Cayman Commodity Fund I Ltd. | August 5, 2011 | $ | 589,340 | 6.31% |
(b) Federal Income Tax
It is each Portfolio’s policy to continue to qualify as a regulated investment company by complying with the provisions of the Internal Revenue Code that are applicable to regulated investment companies and to distribute substantially all of its taxable income and net realized gains to shareholders. Therefore, no federal income tax provision is required.
The Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted on December 22, 2010. The Act makes changes to several tax rules impacting the Funds. Although the Act provides several benefits, including unlimited carryover on future capital losses, there may be greater likelihood that all or a portion of the Funds’ pre-enactment capital loss carryovers may expire without being utilized due to the fact that post-enactment capital losses get utilized before pre-enactment capital loss carryovers.
130
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
Capital loss carry forwards, as of each Portfolio’s most recent tax year-ended August 31, 2020 (for the tax year ended December 31, 2019 for the James Alpha Global Real Estate Investments Portfolio), available to offset future capital gains, if any, are as follows:
Non-Expiring | Non-Expiring | Non-Expiring | ||||||||||||||||||
Expiring/Expired | Short-Term | Long-Term | Total | Utilized | ||||||||||||||||
Large Capitalization Value | $ | — | $ | — | $ | 17,087 | $ | 17,087 | $ | 37,349 | ||||||||||
Large Capitalization Growth | — | — | — | — | — | |||||||||||||||
Mid Capitalization | — | — | — | — | — | |||||||||||||||
Small Capitalization | — | 410,539 | — | 410,539 | — | |||||||||||||||
International Equity | — | 2,527,371 | 471,338 | 2,998,709 | — | |||||||||||||||
Health & Biotechnology | — | — | — | — | — | |||||||||||||||
Technology & Communications | — | — | — | — | — | |||||||||||||||
Energy & Basic Materials | — | 825,011 | 62,306 | 887,317 | — | |||||||||||||||
Financial Services | — | — | — | — | — | |||||||||||||||
Investment Quality Bond | — | 14,907 | — | 14,907 | 16,919 | |||||||||||||||
Municipal Bond | — | 13,407 | 9,386 | 22,793 | — | |||||||||||||||
U.S. Government Money Market | — | — | — | — | — | |||||||||||||||
Aggressive Balanced Allocation | — | — | — | — | — | |||||||||||||||
Conservative Balanced Allocation | — | — | — | — | — | |||||||||||||||
Moderate Balanced Allocation | — | — | — | — | — | |||||||||||||||
Moderately Aggressive Balanced Allocation | — | — | — | — | — | |||||||||||||||
Moderately Conservative Balanced Allocation | — | — | — | — | — | |||||||||||||||
James Alpha Macro | — | 978,457 | 1,112,463 | 2,090,920 | — | |||||||||||||||
James Alpha Global Real Estate Investments | — | — | — | — | — | |||||||||||||||
James Alpha Multi Strategy Alternative Income | — | — | — | — | — | |||||||||||||||
James Alpha Managed Risk Domestic Equity | — | 174,413 | 809,414 | 983,827 | — | |||||||||||||||
James Alpha Managed Risk Emerging Markets Equity | — | 231,321 | — | 231,321 | — | |||||||||||||||
James Alpha Hedged High Income | — | — | 1,879,294 | 1,879,294 | — |
The Portfolios recognize the tax benefits of uncertain tax positions only when the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has reviewed the tax positions taken on its 2017-2019 returns and expected to be taken in the Portfolios’ 2020 returns,and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions. The Portfolios identify its major tax jurisdictions as U.S. Federal, Arizona and foreign jurisdictions where the Portfolios make significant investments. The Portfolios recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the period ended August 31, 2020, the Portfolios did not incur any interest or penalties.
(c) Security Transactions and Other Income
Security transactions are reflected for financial reporting purposes as of the trade date. Dividend income is recognized on the ex-dividend date, and interest income is recognized on an accrual basis including premium amortized and discount accreted. Discounts and premiums on securities purchased are accreted and amortized, over the lives of the respective securities with a corresponding increase/decrease in the cost basis of that security using the yield to maturity method, or where applicable, the first call date of the security. Realized gains or losses from sales of securities are determined by comparing the identified cost of the security lot sold with the net sales proceeds. Withholding taxes on foreign dividends have been provided for in accordance with the Trust’s understanding of the applicable country’s tax rules and rates.
(d) Dividends and Distributions
The following table summarizes each Portfolio’s intended dividend and capital gain declaration policy:
Portfolio | Income Dividends | Capital Gains | ||
Large Capitalization Value | Annually | Annually | ||
Large Capitalization Growth | Annually | Annually | ||
Mid Capitalization | Annually | Annually | ||
Small Capitalization | Annually | Annually | ||
International Equity | Annually | Annually | ||
Health & Biotechnology | Annually | Annually | ||
Technology & Communication | Annually | Annually | ||
Energy & Basic Materials | Annually | Annually | ||
Financial Services | Annually | Annually | ||
Investment Quality Bond | Monthly | Annually | ||
Municipal Bond | Monthly | Annually | ||
U.S. Government Money Market | Daily - paid monthly | Annually | ||
Aggressive Balanced Allocation | Annually | Annually | ||
Conservative Balanced Allocation | Annually | Annually | ||
Moderate Balanced Allocation | Annually | Annually | ||
Moderately Aggressive Balanced Allocation | Annually | Annually | ||
Moderately Conservative Balanced Allocation | Annually | Annually | ||
James Alpha Macro | Annually | Annually | ||
James Alpha Global Real Estate Investments | Quarterly | Quarterly | ||
James Alpha Multi Strategy Alternative Income | Quarterly | Annually | ||
James Alpha Managed Risk Domestic Equity | Annually | Annually | ||
James Alpha Managed Risk Emerging Markets Equity | Annually | Annually | ||
James Alpha Hedged High Income | Monthly | Annually |
131
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
Each Portfolio records dividends and distributions to its shareholders on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These “book-tax” differences are either permanent or temporary in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the net asset accounts based on their federal tax-basis treatment; temporary differences do not require reclassification. To the extent dividends and distributions exceed current and accumulated earnings and profits for federal income tax purposes, they are reported as distributions of paid-in-surplus or tax return of capital. These reclassifications have no effect on net assets, results from operations or net asset value per share of each Portfolio.
(e) Allocation of Expenses
Expenses specifically attributable to a particular Portfolio are borne by that Portfolio. Other expenses are allocated to each Portfolio based on its net assets in relation to the total net assets of all the applicable Portfolios of the Trust or another reasonable basis.
(f) Repurchase Agreements
In connection with transactions in repurchase agreements, it is the Trust’s policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the seller defaults, and the fair value of the collateral declines, realization of the collateral by the Trust may be delayed or limited.
(g) 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 Portfolios enter into contracts that contain a variety of representations and warranties and which provide general indemnities. The Portfolios’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Portfolios that have not yet occurred. However, based on experience, the risk of loss due to these warranties and indemnities appears to be remote.
(h) Other
The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Foreign currency. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions.
The Trust does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the company’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.
Market Disruptions Risk. The Portfolio is subject to investment and operational risks associated with financial, economic and other global market developments and-disruptions, including the recent spread of an infectious respiratory illness caused by a novel strain of coronavirus (known as COVID-19), which can negatively impact the securities markets and cause the Portfolio to lose value.
The spread of COVID-19 has caused volatility, severe market dislocations and liquidity constraints in many markets, including markets for the securities the-Portfolios hold, and may adversely affect the Portfolios’ investments and operations. The transmission of COVID-19 and efforts to contain its spread have resulted in travel restrictions and disruptions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, quarantines, event and service cancellations or interruptions, disruptions to business operations and supply chains, and a reduction in consumer and business spending, as well as general concern and uncertainty that has negatively affected the economy. These disruptions have led to instability in the marketplace and the jobs market. The impact of COVID-19 could adversely affect the economies of many nations or the entire global economy, the financial well being and performance of individual issuers, borrowers and sectors and the health of the markets generally in potentially significant and unforeseen ways.
The foregoing could lead to a significant economic downturn or recession, increased market volatility, a greater number of market closures, higher default rates and adverse effects on the values and liquidity of the Portfolios’ securities or other assets. Such impacts may adversely affect the performance of the Portfolios.
132
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
2. | MANAGEMENT FEE, ADMINISTRATION FEE AND OTHER TRANSACTIONS WITH AFFILIATES |
(a) The management fees are payable to the Manager monthly by each Portfolio and are computed daily at the following annual rates of each Portfolio’s average daily net assets: 1.25% for Health & Biotechnology, Technology & Communications, Energy & Basic Materials and Financial Services; 0.75% for Mid Capitalization and International Equity; 0.65% for Large Capitalization Value, Large Capitalization Growth and Small Capitalization; 0.55% for Investment Quality Bond and Municipal Bond; 0.475% for U.S. Government Money Market; 0.90% for Conservative Balanced Allocation, Moderately Conservative Balanced Allocation, Moderate Balanced Allocation, Moderately Aggressive Balanced Allocation, and Aggressive Balanced Allocation. For the James Alpha Macro, James Alpha Global Real Estate Investments, James Alpha Multi Strategy Alternative Income, James Alpha Managed Risk Domestic Equity, James Alpha Managed Risk Emerging Markets Equity, and James Alpha Hedged High Income management fees are payable to the Advisor monthly and are computed daily at the annual rates of 1.10%, 0.90%, 2.00%, 1.20%, 1.20% and 1.70% respectively, of the Portfolio’s average daily net assets. The Manager receives an annual supervision fee which is the greater of 0.10% of those Portfolios’ average daily net assets decreasing at various asset levels or a minimum of $15,000 per Portfolio annually paid out monthly.
For the year ended August 31, 2020, the Manager waived $30,421 for International Equity, $7,300 for Energy & Basic Materials, $6,123 for Financial Services, $9,326 for Municipal Bond, $28,921 for U.S. Government Money Market, $9,335 for Aggressive Balanced Allocation, $19,169 for Conservative Balanced Allocation, $12,115 for Moderate Balanced Allocation, $8,273 for Moderately Aggressive Balanced Allocation, and $10,326 for Moderately Conservative Balanced Allocation; James Alpha Advisors waived $129,870, $1,158,275, $205,534, $52,139, $59,174, $399,006, respectively, for James Alpha Macro, James Alpha Global Real Estate Investments, James Alpha Multi Strategy Alternative Income, James Alpha Managed Risk Domestic Equity, James Alpha Managed Risk Emerging Markets Equity, James Alpha Hedged High Income.
(b) Gemini Fund Services, LLC (“GFS”), an affiliate of Northern Lights Distributors, LLC (the “Distributor”) provides administrative, fund accounting and transfer agency services to the Portfolios pursuant to agreements with the Trust, for which it receives from each Portfolio: (i) a minimum annual fee or basis points in decreasing amounts as assets reach certain breakpoints; and (ii) any related out-of-pocket expenses.
Pursuant to the terms of the Trust’s Custody Administration Agreement with GFS (the “Custody Administration Agreement”), the Trust pays an asset-based fee in decreasing amounts as Trust assets reach certain breakpoints. The Trust also pays certain transaction fees and out-of-pocket expenses pursuant to the Custody Administration Agreement.
In addition, certain affiliates of the Distributor provide services to the Trust as follows:
Northern Lights Compliance Services, LLC (“NLCS”) – NLCS, an affiliate of GFS and the Distributor, provides a Chief Compliance Officer to the Trust, as well as related compliance services, pursuant to a consulting agreement between NLCS and the Trust. Under the terms of such agreement, NLCS receives customary fees from the Portfolios.
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 Trust on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from the Portfolios.
Certain employees of GFS and NLCS are also officers of the Trust, and are not paid any fees directly by the Trust for serving in such capacity.
Effective February 1, 2019, NorthStar Financial Services Group, LLC, the parent company of GFS and its affiliated companies including NLD, NLCS and Blu Giant (collectively, the “Gemini Companies”), sold its interest in the Gemini Companies to a third party private equity firm that contemporaneously acquired Ultimus Fund Solutions, LLC (an independent mutual fund administration firm) and its affiliates (collectively, the “Ultimus Companies”). As a result of these separate transactions, the Gemini Companies and the Ultimus Companies are now indirectly owned through a common parent entity, The Ultimus Group, LLC.
(c) The Portfolios have adopted a Plan of Distribution pursuant to Rule 12b-1 under the 1940 Act (the “Plan”) with respect to the sale and distribution of Class A and C shares of the Portfolios. The Plan provides that each Portfolio will pay the Distributor or other entities, including the Manager and James Alpha Advisors, a fee, which is accrued daily and paid monthly, at the annual rate of 0.40% of the average daily net assets of Class A shares (0.25% of the average daily net assets of James Alpha Macro, James Alpha Global Real Estate Investments, James Alpha Multi Strategy Alternative Income, James Alpha Managed Risk Domestic Equity, James Alpha Managed Risk Emerging Markets Equity, James Alpha Hedged High Income, Aggressive Balanced Allocation, Conservative Balanced Allocation, Moderate Balanced Allocation, Moderately Aggressive Balanced Allocation and Moderately Conservative Balanced Allocation Class A shares) and 1.00% of the average daily net assets of the Portfolios’ Class C shares. A portion of the fee payable pursuant to the Plan, equal to 0.25% of the average daily net assets, is currently characterized as a service fee and it may be paid directly to the Manager, James Alpha Advisors or other entities for providing support services. A service fee is a payment made for personal service and/or the maintenance of shareholder accounts. The aggregate of such service fee payments will not exceed 0.25% of average daily net assets. For the year ended August 31, 2020 the Distributor waived $1,049 in fees for the Municipal Bond Portfolio and $5,737 in fees for the U.S. Government Money Market Portfolio.
Class A shares are offered at net asset value plus a maximum sales load of 5.75%. Class C shares are offered subject to a CDSC of 1.00%. Class I and Class S shares are offered at net asset value.
133
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
For the year ended August 31, 2020, the Distributor received sales charges on sales of the Portfolios’ Class A shares. In addition, CDSCs were paid to the Manager for Class C shares. The Distributor and the Manager have advised the Portfolios that the approximate amounts are as follows:
Distributor Sales Charges | CDSC’s | |||||||
Portfolio | Class A | Class C | ||||||
Large Capitalization Value | $ | 952 | $ | 15 | ||||
Large Capitalization Growth | 203 | 251 | ||||||
Mid Capitalization | 202 | 10 | ||||||
Small Capitalization | 12 | 3 | ||||||
International Equity | 10 | 2 | ||||||
Health & Biotechnology | 2,908 | 1 | ||||||
Technology & Communications | 16,034 | 121 | ||||||
Energy & Basic Materials | 2,246 | — | ||||||
Financial Services | 2,316 | 1 | ||||||
Investment Quality Bond | 56 | 10 | ||||||
Municipal Bond | 57 | — | ||||||
U.S Government Money Market | — | 82 | ||||||
Aggressive Balanced Allocation | — | — | ||||||
Moderate Balanced Allocation | 2,082 | — | ||||||
Conservative Balanced Allocation | — | — | ||||||
Moderately Aggressive Balanced Allocation | — | — | ||||||
Moderately Conservative Balanced Allocation | — | — | ||||||
James Alpha Macro | 50 | 11 | ||||||
James Alpha Global Real Estate Investments | 617,747 | 10,653 | ||||||
James Alpha Multi Strategy Alternative Income | — | 1 | ||||||
James Alpha Managed Risk Domestic Equity | 26,174 | 495 | ||||||
James Alpha Managed Risk Emerging Markets Equity | 93 | — | ||||||
James Alpha Hedged High Income | 4,579 | 456 |
(d) The Trust and the Manager and the Trust and James Alpha Advisors on behalf of the James Alpha Macro, the James Alpha Global Real Estate, the James Alpha Multi Strategy Alternative Income, the James Alpha Managed Risk Domestic Equity, the James Alpha Managed Risk Emerging Markets Equity and the James Alpha Hedged High Income, have entered into Excess Expense Agreements (the “Expense Agreements”).
In connection with the Expense Agreements, the Manager is currently voluntarily waiving, and James Alpha Advisors is currently waiving, all or a portion of its management fees and/or assuming certain other operating expenses (excluding front-end and contingent deferred sales loads, interest and tax expenses, leverage, dividends and interest on short positions, brokerage commissions, expenses incurred in connection with any merger, reorganization or liquidation, extraordinary or non-routine expenses and Acquired Fund Fees and Expenses) of certain Portfolios in order to maintain the expense ratios of each class of the Portfolios at or below predetermined levels (each an “Expense Cap”). The annual expense caps in effect at August 31, 2020, for each portfolio were: 3.00%, 3.60% and 2.60% for Class A, C and I shares, respectively, of Large Capitalization Value, Large Capitalization Growth, Mid Capitalization, and Small Capitalization; 1.65%, 2.25% and 1.25% for Class A, C and I shares, respectively, of International Equity; 2.30%, 2.90% and 1.90%, for Class A, C and I shares, respectively, of Investment Quality Bond and Municipal Bond; 2.15%, 2.75% and 1.75% for Class A, C and I shares, respectively, of U.S. Government Money Market; 3.40%, 4.00% and 3.00% for Class A, C and I shares, respectively, of Health & Biotechnology, Technology & Communications, Energy & Basic Materials and Financial Services; 1.50%, 2.25%, 1.25%, and 0.94% for Class A, C, I and S shares, respectively, of James Alpha Macro; 1.69%, 2.37%, 1.19% and 0.99% for Class A, C, I and S shares, respectively, of James Alpha Global Real Estate Investments; 2.24%, 2.99, 1.99% and 1.49% for Class A, C, I and S shares, respectively, of James Alpha Multi Strategy Alternative Income; 1.99%, 3.00%, 1.79% and 1.34% for Class A, C, I and S shares, respectively, of James Alpha Managed Risk Domestic Equity; 1.99%, 3.00%, 1.79% and 1.34% for Class A, C, I and S shares, respectively, of James Alpha Managed Risk Emerging Markets Equity; 2.39%, 2.99%, 1.85% and 1.39% for Class A, C, I and S shares, respectively, of James Alpha Hedged High Income. For the Aggressive Balanced Allocation, Conservative Balanced Allocation, Moderate Balanced Allocation, Moderately Aggressive Balanced Allocation and Moderately Conservative Balanced Allocation the Manager is waiving all or a portion of its management fees and/or assuming certain operating expenses (excluding front end and contingent deferred sales loads, interest and tax expenses, leverage, dividends and interest on short positions, brokerage commissions, expenses incurred in connection with any merger, reorganization or liquidation, extraordinary or non-routine expenses and Acquired Fund Fees and Expenses) the expense caps are 1.04%, 0.79% and 1.79% for Classes A, I and C shares respectively. Under the terms of the Expense Agreements, the Manager and James Alpha Advisors are permitted to seek reimbursement from the Portfolios, subject to limitations, for fees they waived and Portfolio expenses they paid within three (3) years of the end of the fiscal year in which such fees were waived or expenses paid, as long as the reimbursement does not cause the Portfolio’s operating expenses to exceed (i) the expense cap in place at the time the advisory fees were waived or the expenses were incurred; or (ii) the current expense cap, whichever is less. The Expense Agreement with the Manager may be terminated by either party, without penalty, upon receipt of 60 days prior notice, except for the Aggressive Balanced Allocation, Conservative Balanced Allocation, Moderate Balanced Allocation, Moderately Aggressive Balanced Allocation and Moderately Conservative Balanced Allocation which shall continue through December 31, 2020. The Expense Agreement with James Alpha Advisors shall continue through December 31, 2020.
134
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
The following table shows the available waived expenses and expiration date for each Portfolio subject to potential recovery.
Portfolio | 8/31/2021 | 8/31/2022 | 8/31/2023 | |||||||||
International Equity | 26,037 | 35,063 | 30,421 | |||||||||
Energy & Basic Materials | 11,040 | 1,176 | 7,300 | |||||||||
Financial Services | 8,438 | 5,723 | 6,123 | |||||||||
Investment Quality Bond | 21,839 | — | — | |||||||||
Municipal Bond | 21,167 | 11,221 | 9,326 | |||||||||
U.S. Government Money Market | 7,716 | 334 | 156 | |||||||||
Aggressive Balanced Allocation | 9,362 | 14,174 | 9,335 | |||||||||
Conservative Balanced Allocation | 6,975 | 14,354 | 19,169 | |||||||||
Moderate Balanced Allocation | 6,952 | 9,835 | 12,115 | |||||||||
Moderately Aggressive Balanced Allocation | 6,776 | 7,186 | 8,273 | |||||||||
Moderately Conservative Balanced Allocation | 7,446 | 12,132 | 10,326 | |||||||||
James Alpha Macro | 90,665 | + | 99,260 | + | 129,870 | ^ | ||||||
James Alpha Global Real Estate Investments | 759,176 | * | 808,019 | ** | 1,158,275 | ** | ||||||
James Alpha Multi Strategy Alternative Income | 92,414 | + | 176,432 | + | 205,534 | ^ | ||||||
James Alpha Managed Risk Domestic Equity | 68,373 | + | 117,016 | + | 52,139 | ^ | ||||||
James Alpha Managed Risk Emerging Markets Equity | 16,978 | + | 58,110 | + | 59,174 | ^ | ||||||
James Alpha Hedged High Income | 96,578 | + | 270,139 | + | 399,006 | ^ |
* | The available waived expenses subject to potential recovery for Class C and Class I Shares. |
** | The available waived expenses subject to potential recovery for Class I. |
*** | The available waived expenses subject to potential recovery for Class I and S Shares. |
+ | The available waived expenses subject to potential recovery for Class A, Class C and Class I Shares. |
^ | The available waived expenses subject to potential recovery for Class A, Class C, Class I and Class S shares. |
(e) The following Portfolios in the Trust had portfolio trades executed with a certain broker pursuant to a commission recapture agreement. For the year ended August 31, 2020, the amount received by the participating Portfolios under this arrangement was as follows: Large Cap Value, $11,238; Health & Biotechnology, $574; and Technology & Communications, $5,324. These amounts are included with the realized gain/loss for each Portfolio in the Statement of Operations.
135
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
(f) Affiliated Investments — Companies which are affiliates of the Portfolios at August 31, 2020, are noted in the Portfolio’s Schedule of Investments. A summary of the investments in the affiliated investments; James Alpha Hedged High Income which is managed by James Alpha Advisors, LLC, are detailed below:
Change in | ||||||||||||||||||||||||||||||||
Unrealized | ||||||||||||||||||||||||||||||||
Value at | Realized Gain | Appreciation | Value at | Shares at | ||||||||||||||||||||||||||||
Affiliated Holding | 8/31/2019 | Purchases | Sales | (Loss) | (Depreciation) | Income | 8/31/2020 | 8/31/2020 | ||||||||||||||||||||||||
Aggressive Balanced Allocation | ||||||||||||||||||||||||||||||||
James Alpha Global Real Estate Investments Portfolio, CL I | $ | — | 14,764 | $ | — | $ | — | $ | 5,263 | $ | 765 | $ | 20,027 | 1,237 | ||||||||||||||||||
James Alpha Macro Portfolio, CL I | 44,373 | 3,466 | — | — | (5,500 | ) | 3,465 | 42,339 | 4,844 | |||||||||||||||||||||||
James Alpha Multi Strategy Alternative Income Portfolio, CL I | — | 16,816 | — | — | 306 | 234 | 17,122 | 1,820 | ||||||||||||||||||||||||
Saratoga Energy & Basic Materials Portfolio, CL I | 12,942 | 1,388 | — | — | (2,670 | ) | — | 11,660 | 1,415 | |||||||||||||||||||||||
Saratoga Health & Biotechnology Portfolio, CL I | 23,237 | 1,803 | — | 998 | 2,030 | — | 28,068 | 1,219 | ||||||||||||||||||||||||
Saratoga Large Capitalization Growth Portfolio, CL I | 154,755 | 19,119 | — | 12,722 | 33,878 | 10,516 | 220,474 | 7,709 | ||||||||||||||||||||||||
Saratoga Mid Capitalization Portfolio, CL I | 64,490 | 5,535 | — | — | (1,007 | ) | 262 | 69,018 | 5,950 | |||||||||||||||||||||||
Saratoga Technology & Communications Portfolio, CL I | 23,812 | 1,526 | — | 947 | 7,695 | — | 33,980 | 1,074 | ||||||||||||||||||||||||
Conservative Balanced Allocation | ||||||||||||||||||||||||||||||||
James Alpha Macro Portfolio, CL I | 98,398 | 7,685 | (24,201 | ) | (2,318 | ) | (10,908 | ) | 7,685 | 68,656 | 7,855 | |||||||||||||||||||||
Saratoga Large Capitalization Growth Portfolio | 484,907 | 79,084 | (107,150 | ) | 7,528 | 109,954 | 34,325 | 574,323 | 20,081 | |||||||||||||||||||||||
Saratoga Mid Capitalization Portfolio, CL I | 154,789 | 14,085 | (41,926 | ) | (11,040 | ) | 4,617 | 648 | 120,525 | 10,390 | ||||||||||||||||||||||
Moderate Balanced Allocation | ||||||||||||||||||||||||||||||||
James Alpha Global Real Estate Investments Portfolio, CL I | — | 15,274 | — | — | 5,269 | 774 | 20,543 | 1,269 | ||||||||||||||||||||||||
James Alpha Macro Portfolio, CL I | 74,561 | 5,823 | (35,390 | ) | (2,187 | ) | (7,785 | ) | 5,823 | 35,022 | 4,007 | |||||||||||||||||||||
James Alpha Multi Strategy Alternative Income Portfolio, CL I | — | 23,887 | — | — | 1,510 | 305 | 25,397 | 2,699 | ||||||||||||||||||||||||
Saratoga Energy & Basic Materials Portfolio, CL I | 13,106 | 5,735 | — | — | (2,695 | ) | — | 16,146 | 1,960 | |||||||||||||||||||||||
Saratoga Health & Biotechnology Portfolio, CL I | 23,737 | 6,054 | — | 1,049 | 2,006 | — | 32,846 | 1,427 | ||||||||||||||||||||||||
Saratoga Large Capitalization Growth Portfolio, CL I | 228,106 | 105,005 | (28,652 | ) | 12,845 | 73,814 | 15,903 | 391,118 | 13,675 | |||||||||||||||||||||||
Saratoga Mid Capitalization Portfolio, CL I | 127,897 | 48,912 | (17,663 | ) | (5,764 | ) | 5,553 | 535 | 158,935 | 13,701 | ||||||||||||||||||||||
Saratoga Technology & Communications Portfolio, CL I | 20,294 | 7,708 | — | 829 | 8,501 | — | 37,332 | 1,180 | ||||||||||||||||||||||||
Moderately Aggressive Balanced Allocation | ||||||||||||||||||||||||||||||||
James Alpha Global Real Estate Investments Portfolio, CL I | — | 8,964 | — | — | 3,195 | 464 | 12,159 | 751 | ||||||||||||||||||||||||
James Alpha Macro Portfolio, CL I | 38,429 | 5,748 | (12,372 | ) | (1,153 | ) | (4,830 | ) | 3,200 | 25,822 | 2,954 | |||||||||||||||||||||
James Alpha Multi Strategy Alternative Income Portfolio, CL I | — | 11,158 | — | — | 413 | 158 | 11,571 | 1,230 | ||||||||||||||||||||||||
Saratoga Energy & Basic Materials Portfolio, CL I | 7,708 | 6,396 | (488 | ) | (310 | ) | 583 | — | 13,889 | 1,686 | ||||||||||||||||||||||
Saratoga Health & Biotechnology Portfolio, CL I | 14,722 | 3,765 | (768 | ) | 520 | 1,842 | — | 20,081 | 872 | |||||||||||||||||||||||
Saratoga Large Capitalization Growth Portfolio, CL I | 112,828 | 32,444 | (4,883 | ) | 8,762 | 31,501 | 8,099 | 180,652 | 6,317 | |||||||||||||||||||||||
Saratoga Mid Capitalization Portfolio, CL I | 54,049 | 26,611 | (2,930 | ) | (331 | ) | 5,096 | 235 | 82,495 | 7,112 | ||||||||||||||||||||||
Saratoga Technology & Communications Portfolio, CL I | 12,973 | 2,737 | (558 | ) | 621 | 4,801 | — | 20,574 | 650 | |||||||||||||||||||||||
Moderately Conservative Balanced Allocation | ||||||||||||||||||||||||||||||||
James Alpha Macro Portfolio, CL I | 79,253 | 6,190 | (40,000 | ) | (1,960 | ) | (8,280 | ) | 6,190 | 35,203 | 4,028 | |||||||||||||||||||||
Saratoga Large Capitalization Growth Portfolio, CL I | 188,344 | 22,364 | (18,250 | ) | (580 | ) | 56,699 | 13,294 | 248,577 | 8,692 | ||||||||||||||||||||||
Saratoga Mid Capitalization Portfolio, CL I | 107,746 | 6,296 | (11,750 | ) | (2,204 | ) | 792 | 457 | 100,880 | 8,696 | ||||||||||||||||||||||
James Alpha Macro | ||||||||||||||||||||||||||||||||
James Alpha Structured Credit Value Portfolio, CL S | 1,806,877 | 1,612,494 | (500,000 | ) | 19,725 | 151,982 | 154,731 | 3,091,078 | 283,066 | |||||||||||||||||||||||
James Alpha Multi Strategy Alternative Income | ||||||||||||||||||||||||||||||||
James Alpha Structured Credit Value Portfolio, CL S | 1,037,609 | — | (301,000 | ) | 7,819 | 19,166 | 52,860 | 763,594 | 69,926 | |||||||||||||||||||||||
James Alpha Hedged High Income | ||||||||||||||||||||||||||||||||
James Alpha Structured Credit Value Portfolio, CL S | 5,037,487 | — | (2,106,227 | ) | 120,091 | 15,522 | 278,692 | 3,066,873 | 280,849 |
136
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
3. | INVESTMENT TRANSACTIONS |
(a) For the year ended August 31, 2020, the cost of purchases and proceeds from sales of investment securities, other than short-term securities, for the Portfolios were as follows:
Portfolio | Purchases | Sales | ||||||
Large Capitalization Value | $ | 10,386,441 | $ | 12,925,373 | ||||
Large Capitalization Growth | 20,649,454 | 26,243,916 | ||||||
Mid Capitalization | 5,153,803 | 5,697,859 | ||||||
Small Capitalization | 5,157,714 | 5,644,889 | ||||||
International Equity | 3,909,315 | 6,059,999 | ||||||
Health & Biotechnology | 2,669,566 | 4,482,630 | ||||||
Technology & Communications | 5,224,758 | 14,625,752 | ||||||
Energy & Basic Materials | 703,365 | 692,838 | ||||||
Financial Services | 825,919 | 885,745 | ||||||
Investment Quality Bond | 1,318,645 | 1,563,215 | ||||||
Municipal Bond | 135,625 | 227,546 | ||||||
Aggressive Balanced Allocation | 117,831 | 22,720 | ||||||
Conservative Balanced Allocation | 337,446 | 373,800 | ||||||
Moderate Balanced Allocation | 396,909 | 150,984 | ||||||
Moderately Aggressive Balanced Allocation | 181,701 | 45,794 | ||||||
Moderately Conservative Balanced Allocation | 88,723 | 98,000 | ||||||
James Alpha Macro | 9,546,063 | 9,198,742 | ||||||
James Alpha Global Real Estate Investments | 1,639,162,447 | 1,587,121,288 | ||||||
James Alpha Multi Strategy Alternative Income | 19,271,216 | 21,806,355 | ||||||
James Alpha Managed Risk Domestic Equity | 82,091,053 | 70,453,046 | ||||||
James Alpha Managed Risk Emerging Markets Equity | 16,884,496 | 19,837,896 | ||||||
James Alpha Hedged High Income | 102,095,538 | 114,604,866 | ||||||
(b) Certain Portfolios may enter into options contracts. An option contract is a contract in which the writer of the option grants the buyer of the option the right to purchase from (call option), or sell to (put option), the writer a designated instrument at a specified price within a specified period of time. Certain options, including options on indices, will require cash settlement by the Portfolio if the option is exercised.
Premiums paid when put or call options are purchased by the Portfolio, represent investments, which are marked-to-market daily. When a purchase option expires, the Portfolio will realize a loss in the amount of the premium paid. When the Portfolio enters into a closing sales transaction, the Portfolio will realize a gain or loss depending on whether the proceeds from the closing sales transaction are greater or less than the premium paid for the option. When the Portfolio exercises a put option, it will realize a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Portfolio exercises a call option, the cost of the security, which the Portfolio purchases upon exercise, will be increased by the premium originally paid.
Certain Portfolios may write covered call options. This means that the Portfolio will own the security subject to the option or an option to purchase the same underlying security, having an exercise price equal to or less than the exercise price of the covered option, or will establish and maintain with its custodian for the term of the option, an account consisting of cash, U.S. government securities or other liquid securities having a value equal to the fluctuating market value of the securities on which the Portfolio holds a covered call position.
When a Portfolio writes a call option, an amount equal to the premium received by the Portfolio is recorded as a liability, the value of which is marked-to-market daily. When a written option expires, the Portfolio realizes a gain equal to the amount of the premium received. When the Portfolio enters into a closing purchase transaction, the Portfolio realizes a gain or loss depending upon whether the cost of the closing transaction is greater or less than the premium originally received, without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is eliminated. When a written call option is exercised the proceeds of the security sold will be increased by the premium originally received.
The liability representing a Portfolio’s obligation under an exchange traded written option or investment in a purchased option is valued at the last sale price or, in the absence of a sale, the last available bid price.
The Portfolios may enter into options for hedging purposes. The risk associated with purchasing options is limited to the premium originally paid. The risk in writing a covered call option is that the Portfolio gives up the opportunity to participate in any increase in the price of the underlying security beyond the exercise price.
(c) Certain Portfolios may enter into futures contracts. The Portfolios are subject to equity price risk in the normal course of pursuing their investment objective. To manage equity price risk, the Portfolios may enter into futures contracts. Upon entering into a futures contract with a broker, the Portfolios are required to deposit in a segregated account a specified amount of cash or U.S. government securities. Futures contracts are valued daily and unrealized gains or losses are recorded in a “variation margin” account. Periodically, the Portfolios receive from or pays to the broker a specified amount of cash based upon changes in the variation margin account. When a contract is closed, the Portfolios recognize a realized gain or loss. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. With futures contracts, there is minimal counterparty credit risk to the Portfolios since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Futures contracts outstanding at period end are listed after the Portfolios’ portfolio of investments.
137
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
(d) Certain Portfolios may enter into foreign currency exchange contracts. Because various Portfolios may invest in securities denominated in foreign currencies, they may seek to hedge foreign currency risks by engaging in foreign currency exchange transactions. These may include buying or selling foreign currencies on a spot basis, entering into foreign currency forward contracts, and buying and selling foreign currency options, foreign currency futures, and options on foreign currency futures. Currency exchange rates may fluctuate significantly over short periods and can be subject to unpredictable change based on such factors as political developments and currency controls by foreign governments.
(e) Swap Agreements – Certain portfolios are subject to equity price risk and/or interest rate risk in the normal course of pursuing their respective investment objectives. The Portfolios may enter into various swap transactions for investment purposes or to manage interest rate, equity, foreign exchange (currency), commodity or credit risk. These would be two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments.
The gross returns to be exchanged or “swapped” between parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a “basket” of securities representing a particular index or market segment. Changes in the value of swap agreements are recognized as unrealized gains or losses in the Statements of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statements of Assets and Liabilities and may be referred to as upfront payments. The Portfolios amortize upfront payments and/or accrue for the fixed payment stream on swap agreements on a daily basis with the net amount recorded as a component of unrealized gain or loss on the Statements of Operations. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Statements of Operations. The Portfolios segregate liquid securities having a value at least equal to the amount of their current obligation under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Statements of Assets and Liabilities. The Portfolios’ maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that that amount is positive.
(f) Short Sales – Certain portfolios may sell securities short. A short sale is a transaction in which the Portfolio sells a security it does not own or have the right to acquire (or that it owns but does not wish to deliver) in anticipation that the market price of that security will decline.
When the Portfolio makes a short sale, the broker-dealer through which the short sale is made must borrow the security sold short and deliver it to the party purchasing the security. The Portfolio is required to make a margin deposit in connection with such short sales; the Portfolio may have to pay a fee to borrow particular securities and will often be obligated to pay over any dividends and accrued interest on borrowed securities.
If the price of the security sold short increases between the time of the short sale and the time the Portfolio covers its short position, the Portfolio will incur a loss; conversely, if the price declines, the Portfolio will realize a capital gain. Any gain will be decreased, and any loss increased, by the transaction costs described above. The successful use of short selling may be adversely affected by imperfect correlation between movements in the price of the security sold short and the securities being hedged.
To the extent the Portfolio sells securities short, it will provide collateral to the broker-dealer and (except in the case of short sales “against the box”) will maintain additional asset coverage in the form of cash, U.S. government securities or other liquid securities with its custodian in a segregated account in an amount at least equal to the difference between the current market value of the securities sold short and any amounts required to be deposited as collateral with the selling broker (not including the proceeds of the short sale). A short sale is “against the box” to the extent the Portfolio contemporaneously owns, or has the right to obtain at no added cost, securities identical to those sold short.
(g) Other Investment Companies or Exchange Traded Funds – Certain Portfolios may invest up to 100% of their net assets in shares of affiliated and unaffiliated investment companies, including money market mutual funds, other mutual funds or exchange-traded funds (“ETFs”). An ETF generally is an open-end investment company, unit investment trust or a portfolio of securities deposited with a depository in exchange for depository receipts. ETFs provide investors the opportunity to buy or sell throughout the day an entire portfolio of securities in a single security. Although index mutual funds are similar to index-based ETFs, they are generally sold and redeemed only once per day at market close. The ETFs in which a Portfolio invests may be subject to liquidity risk. Liquidity risk exists when particular investments are difficult to purchase or sell, possibly preventing the sale of the security at an advantageous time or price. To the extent that the ETFs in which a Portfolio invests hold securities of companies with smaller market capitalizations or securities with substantial market risk, they will have a greater exposure to liquidity risk. In addition, ETFs are subject to the following risks that do not apply to conventional mutual funds that can be found in “Exchange-Traded Funds” below: (1) the market price of the ETF’s shares may trade at a discount to their net asset value; (2) an active trading market for an ETF’s shares may not develop or be maintained; or (3) trading of an ETF’s shares may be halted if the listing exchange deem such action appropriate, the shares are de-listed from the exchange, or the activation of market-wide “circuit breakers” (which are tied to large decreases in stock prices) halts stock trading generally. Additionally, ETFs have management fees, which increase their cost. In addition to the advisory and operational fees a Portfolio bears directly in connection with its own operation, the Portfolio also bears its pro rata portion of the advisory and operational expenses incurred indirectly through investments in other investment companies.
138
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
The derivatives are not accounted for as hedging instruments under GAAP. The effect of derivative instruments on the Statements of Assets and Liabilities at August 31, 2020, were as follows:
Location of derivatives on | ||||||||||
Statements of Assets and | Fair value of asset/liability | |||||||||
Fund | Derivative | Risk Type | Liabilities | derivatives | ||||||
James Alpha Macro | ||||||||||
Forward Exchange Contracts | Foreign Exchange | Unrealized appreciation on forward currency contracts | $ | 1,077 | ||||||
Swap Contracts | Equity | Unrealized appreciation on swaps | 213,668 | |||||||
Totals | $ | 214,745 | ||||||||
James Alpha Multi Strategy Alternative Income | ||||||||||
Forward Exchange Contracts | Foreign Exchange | Unrealized depreciation on forward currency contracts | $ | (64 | ) | |||||
Totals | $ | (64 | ) | |||||||
James Alpha Managed Risk Domestic Equity | ||||||||||
Put options purchased | Equity | Investments, at value | $ | 1,930,500 | ||||||
Call options purchased | Equity | Investments, at value | $ | 359,250 | ||||||
Put options written | Equity | Options written | (676,500 | ) | ||||||
Call options written | Equity | Options written | (1,360,975 | ) | ||||||
Totals | $ | 252,275 | ||||||||
James Alpha Managed Risk Emerging Market Equity | ||||||||||
Put options purchased | Equity | Investments, at value | $ | 197,575 | ||||||
Put options written | Equity | Options written | (55,250 | ) | ||||||
Call options written | Equity | Options written | (52,800 | ) | ||||||
Totals | $ | 89,525 | ||||||||
James Alpha Hedged High Income | ||||||||||
Forward Exchange Contracts | Foreign Exchange | Unrealized depreciation on forward currency contracts | $ | (4,753 | ) | |||||
Futures Contracts | Interest Rate | Unrealized depreciation on futures contracts | $ | (14,918 | ) | |||||
Swap Contracts | Interest Rate | Unrealized depreciation on swaps | (236,378 | ) | ||||||
Totals | $ | (256,049 | ) |
139
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
The effect of derivative instruments on the Statements of Operations for the year ended August 31, 2020, were as follows:
Portfolio | Derivative | Location of gain (loss) on derivatives | Risk Type | Realized and unrealized gain (loss) on derivatives | ||||||
James Alpha Macro | ||||||||||
Swaps Contracts | ||||||||||
Net realized loss on swaps | ||||||||||
Equity | $ | (13,500 | ) | |||||||
Net change in unrealized depreciation on swaps | ||||||||||
Equity | $ | (331,431 | ) | |||||||
Forward Currency Contracts | ||||||||||
Net realized loss on Investments and foreign currency translations | ||||||||||
Foreign Exchange | $ | (41,466 | ) | |||||||
Net change in unrealized appreciation on investments and foreign currency transactions | ||||||||||
Foreign Exchange | $ | (3,271 | ) | |||||||
James Alpha Global Real Estate | ||||||||||
Forward Currency Contracts | ||||||||||
Net change in unrealized appreciation on foreign currency transactions | ||||||||||
Foreign Exchange | $ | 538 | ||||||||
Totals | $ | 538 | ||||||||
James Alpha Multi Strategy Alternative Income | ||||||||||
Options | ||||||||||
Net realized gain on options purchased | ||||||||||
Equity | $ | 7,952 | ||||||||
Net realized gain on options written | ||||||||||
Equity | 489 | |||||||||
Totals | $ | 8,441 | ||||||||
Net change in unrealized appreciation on options purchased | ||||||||||
Equity | 576 | |||||||||
Net change in unrealized depreciation on options written | ||||||||||
Equity | (161 | ) | ||||||||
Totals | $ | 415 | ||||||||
Forward Currency Contracts | ||||||||||
Net realized gain from investments and foreign currency transactions | ||||||||||
Foreign Exchange | $ | 2,591 | ||||||||
Net change in unrealized depreciation on investments and foreign currency transactions | ||||||||||
Foreign Exchange | $ | (2,573 | ) | |||||||
James Alpha Managed Risk Domestic Equity | ||||||||||
Options | ||||||||||
Net realized gain on options purchased | ||||||||||
Equity | $ | 11,762,786 | ||||||||
Net realized loss on options written | ||||||||||
Equity | (18,858,468 | ) | ||||||||
Totals | $ | (7,095,682 | ) | |||||||
Net change in unrealized appreciation on options purchased | ||||||||||
Equity | (76,051 | ) | ||||||||
Net change in unrealized depreciation on options written | ||||||||||
Equity | (629,596 | ) | ||||||||
Totals | $ | (705,647 | ) | |||||||
Swaps | ||||||||||
Net realized gain on swaps | ||||||||||
Equity | $ | 3,572,766 | ||||||||
James Alpha Managed Risk Emerging Markets Equity | ||||||||||
Options | ||||||||||
Net realized loss on options purchased | ||||||||||
Equity | $ | (1,739,660 | ) | |||||||
Net realized gain on options written | ||||||||||
Equity | 329,675 | |||||||||
Totals | $ | (1,409,985 | ) | |||||||
Net change in unrealized appreciation on options purchased | ||||||||||
Equity | 45,170 | |||||||||
Net change in unrealized appreciation on options written | ||||||||||
Equity | 55,514 | |||||||||
Totals | $ | 100,684 | ||||||||
Swaps | ||||||||||
Net realized gain on swaps | ||||||||||
Equity | $ | 386,021 |
140
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
Realized and | ||||||||||
unrealized gain | ||||||||||
Portfolio | Derivative | Location of gain (loss) on derivatives | Risk Type | (loss) on derivatives | ||||||
James Alpha Hedged High Income | ||||||||||
Futures | ||||||||||
Net realized loss from futures contracts | ||||||||||
Interest Rate | $ | (383,860 | ) | |||||||
Net change in unrealized depreciation on futures contracts | ||||||||||
Interest Rate | $ | 101,486 | ||||||||
Swaps | ||||||||||
Net realized loss from swaps | ||||||||||
Interest Rate | $ | 331,827 | ||||||||
Net change in unrealized depreciation on swaps | ||||||||||
Interest Rate | $ | (134,921 | ) | |||||||
Forward Contracts | ||||||||||
Net realized loss from forward currency contracts | ||||||||||
Foreign Exchange | $ | (31,843 | ) | |||||||
Net change in unrealized depreciation on forward currency contracts | ||||||||||
Foreign Exchange | $ | (12,121 | ) |
The amounts of realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed in the Statements of Operations serve as indicators of the volume of derivative activity for the Portfolios.
The following table presents the Portfolios’ assets and liabilities available for offset under a master netting arrangement net of collateral pledged as of August 31, 2020.
Gross Amounts not offset in the | ||||||||||||||||
(Consolidated) Statements of Assets | ||||||||||||||||
and Liabilities | ||||||||||||||||
Gross Amounts Recognized | ||||||||||||||||
in (Consolidated) | Financial | |||||||||||||||
Statements of Assets and | Instruments | Cash Collateral | Net Amount | |||||||||||||
Liabilities | Pledged | Pledged | of Assets | |||||||||||||
Small Capitalization | ||||||||||||||||
Description of Liability | ||||||||||||||||
Securities Loaned | $ | 137,876 | $ | 137,876 | $ | — | $ | — |
141
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
4. | SECURITIES LENDING |
Under an agreement with the BNY Mellon Corp. (“BNY Mellon”), the Portfolios can lend their portfolio securities to brokers, dealers and other financial institutions approved by the Board of Trustees to earn additional income. Loans are collateralized by cash, in an amount at least equal to the market value of the securities loaned plus accrued interest, which is invested in highly liquid, short-term instruments such as repurchase agreements collateralized by U.S. Government securities and money market funds in accordance with the Portfolios’ security lending procedures. A portion of the income generated by the investment in the collateral, net of any rebates paid by BNY Mellon to the borrowers, is remitted to BNY Mellon as lending agent, and the remainder is paid to the Portfolios. The Portfolios continue to receive interest or dividends on the securities loaned. The Portfolios have the right under the Master Securities Lending Agreement to recover the securities from the borrower on demand; if the borrower fails to deliver the securities on a timely basis, the Portfolios could experience delays or losses on recovery. Additionally, the Portfolios are subject to the risk of loss from investments made with the cash received as collateral. The Portfolios manage credit exposure arising from these lending transactions by, in appropriate circumstances, entering into master netting agreements and collateral agreements with third party borrowers that provide in the event of default (such as bankruptcy or a borrower’s failure to pay or perform), the right to net a third party borrower’s rights and obligations under such agreement and liquidate and set off collateral against the net amount owed by the counterparty.
At August 31, 2020, the following portfolios loaned securities and received U.S. Government securities and cash collateral for the loan. This cash was invested in repurchase agreements as shown in the Schedules of Investments. The aggregate market value of the collateral shown below includes non-cash U.S Treasury securities.
Market Value of | Market Value | Value of | ||||||||||
Portfolio | Loaned Securities | of Collateral | Non-cash Collateral | |||||||||
Large Capitalization Growth | $ | 736,921 | $ | 751,672 | $ | 751,672 | ||||||
Mid Capitalization | 121,549 | 123,990 | 123,990 | |||||||||
Small Capitalization | 838,831 | 858,258 | 720,391 | |||||||||
International Equity | 151,181 | 154,218 | 154,218 | |||||||||
Technology & Communications | 1,402,902 | 1,435,999 | 1,435,999 |
At August 31, 2020, the percentage of total investment income the Portfolios received from the investment of cash collateral retained by the lending agent, BNY Mellon, was as follows:
Percentage of Total | ||
Portfolio | Investment Income | |
Large Capitalization Value | 0.71% | |
Large Capitalization Growth | 0.19% | |
Mid Capitalization | 0.36% | |
Small Capitalization | 2.10% | |
International Equity | 0.23% | |
Health & Biotechnology | 1.56% | |
Technology & Communications | 0.29% | |
Investment Quality Bond | 0.02% |
142
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
5. | AUTHORIZED SHARES OF BENEFICIAL INTEREST AND PAR VALUE PER SHARE |
Each Portfolio has unlimited shares of beneficial interest authorized at $0.01 par value per share. For the periods indicated, transactions were as follows:
Class I Shares | Class A Shares | Class C Shares | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
August 31, 2020 | August 31, 2019 | August 31, 2020 | August 31, 2019 | August 31, 2020 | August 31, 2019 | |||||||||||||||||||
Large Capitalization Value | ||||||||||||||||||||||||
Issued | 52,810 | 41,343 | 1,519 | 8,986 | 447 | 5,591 | ||||||||||||||||||
Redeemed | (131,904 | ) | (109,841 | ) | (3,383 | ) | (16,902 | ) | (8,555 | ) | (28,802 | ) | ||||||||||||
Reinvested from Dividends | — | 44,158 | — | 663 | — | 2,807 | ||||||||||||||||||
Net Increase (Decrease) in Shares | (79,094 | ) | (70,212 | ) | (1,864 | ) | (548 | ) | (8,108 | ) | (20,404 | ) | ||||||||||||
Large Capitalization Growth | ||||||||||||||||||||||||
Issued | 79,965 | 150,104 | 6,287 | 23,841 | 12,145 | 33,257 | ||||||||||||||||||
Redeemed | (231,449 | ) | (302,724 | ) | (11,005 | ) | (53,737 | ) | (104,752 | ) | (410,861 | ) | ||||||||||||
Reinvested from Dividends | 140,895 | 203,485 | 7,046 | 15,458 | 47,052 | 146,534 | ||||||||||||||||||
Net Increase (Decrease) in Shares | (10,589 | ) | (108,827 | ) | 2,328 | (11,187 | ) | (45,555 | ) | (231,070 | ) | |||||||||||||
Mid Capitalization | ||||||||||||||||||||||||
Issued | 67,723 | 42,546 | 834 | 13,132 | 435 | 2,026 | ||||||||||||||||||
Redeemed | (127,848 | ) | (122,764 | ) | (14,672 | ) | (79,527 | ) | (12,664 | ) | (46,268 | ) | ||||||||||||
Reinvested from Dividends | 2,686 | 79,522 | 16 | 20,773 | — | 7,178 | ||||||||||||||||||
Net Increase (Decrease) in Shares | (57,439 | ) | (42,198 | ) | (13,822 | ) | (10,482 | ) | (12,229 | ) | (37,064 | ) | ||||||||||||
Small Capitalization | ||||||||||||||||||||||||
Issued | 70,315 | 25,427 | 1,070 | 10,109 | 810 | 3,066 | ||||||||||||||||||
Redeemed | (145,254 | ) | (145,009 | ) | (2,456 | ) | (7,458 | ) | (18,401 | ) | (70,068 | ) | ||||||||||||
Reinvested from Dividends | 150 | 124,142 | — | 1,094 | — | 22,596 | ||||||||||||||||||
Net Increase (Decrease) in Shares | (74,789 | ) | (141,478 | ) | (1,386 | ) | (665 | ) | (17,591 | ) | (44,406 | ) | ||||||||||||
International Equity | ||||||||||||||||||||||||
Issued | 37,715 | 312,314 | 130 | 22,486 | 190 | 780 | ||||||||||||||||||
Redeemed | (282,489 | ) | (466,521 | ) | (13,032 | ) | (16,187 | ) | (1,247 | ) | (12,802 | ) | ||||||||||||
Reinvested from Dividends | 16,979 | 6,718 | 667 | 158 | — | — | ||||||||||||||||||
Net Increase (Decrease) in Shares | (227,795 | ) | (147,489 | ) | (12,235 | ) | 6,457 | (1,057 | ) | (12,022 | ) | |||||||||||||
Health & Biotechnology | ||||||||||||||||||||||||
Issued | 24,372 | 15,595 | 9,802 | 48,454 | 4,828 | 2,483 | ||||||||||||||||||
Redeemed | (70,998 | ) | (89,304 | ) | (47,139 | ) | (39,540 | ) | (10,496 | ) | (83,107 | ) | ||||||||||||
Reinvested from Dividends | 11,781 | 58,379 | 11,372 | 43,483 | 2,745 | 25,320 | ||||||||||||||||||
Net Increase (Decrease) in Shares | (34,845 | ) | (15,330 | ) | (25,965 | ) | 52,397 | (2,923 | ) | (55,304 | ) | |||||||||||||
Technology & Communications | ||||||||||||||||||||||||
Issued | 184,609 | 173,405 | 34,611 | 139,529 | 29,967 | 32,865 | ||||||||||||||||||
Redeemed | (370,707 | ) | (240,416 | ) | (174,268 | ) | (172,145 | ) | (78,314 | ) | (190,965 | ) | ||||||||||||
Reinvested from Dividends | 40,933 | 46,287 | 31,062 | 32,395 | 24,746 | 32,425 | ||||||||||||||||||
Net Increase (Decrease) in Shares | (145,165 | ) | (20,724 | ) | (108,595 | ) | (221 | ) | (23,601 | ) | (125,675 | ) | ||||||||||||
Energy & Basic Materials | ||||||||||||||||||||||||
Issued | 41,689 | 21,635 | 7,513 | 1,077 | 5 | 47 | ||||||||||||||||||
Redeemed | (23,919 | ) | (48,626 | ) | (24,126 | ) | (5,384 | ) | (332 | ) | (4,154 | ) | ||||||||||||
Net Increase (Decrease) in Shares | 17,770 | (26,991 | ) | (16,613 | ) | (4,307 | ) | (327 | ) | (4,107 | ) | |||||||||||||
Financial Services | ||||||||||||||||||||||||
Issued | 23,530 | 19,013 | 6,033 | 1,821 | 7 | 78 | ||||||||||||||||||
Redeemed | (34,106 | ) | (31,130 | ) | (1,007 | ) | (1,790 | ) | (991 | ) | (7,474 | ) | ||||||||||||
Reinvested from Dividends | 2,907 | 22,023 | 236 | 1,716 | 18 | 1,503 | ||||||||||||||||||
Net Increase (Decrease) in Shares | (7,669 | ) | 9,906 | 5,262 | 1,747 | (966 | ) | (5,893 | ) | |||||||||||||||
Investment Quality Bond | ||||||||||||||||||||||||
Issued | 146,680 | 32,412 | 144 | 14,756 | 757 | 2,030 | ||||||||||||||||||
Redeemed | (150,020 | ) | (124,996 | ) | (699 | ) | (8,460 | ) | (7,587 | ) | (30,562 | ) | ||||||||||||
Reinvested from Dividends | 3,522 | 6,299 | 62 | 86 | 15 | 180 | ||||||||||||||||||
Net Increase (Decrease) in Shares | 182 | (86,285 | ) | (493 | ) | 6,382 | (6,815 | ) | (28,352 | ) |
143
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
Class I Shares | Class A Shares | Class C Shares | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
August 31, 2020 | August 31, 2019 | August 31, 2020 | August 31, 2019 | August 31, 2020 | August 31, 2019 | |||||||||||||||||||
Municipal Bond | ||||||||||||||||||||||||
Issued | 142 | 344 | 262 | 14,600 | 847 | 868 | ||||||||||||||||||
Redeemed | (6,131 | ) | (4,441 | ) | — | (6,294 | ) | (4,768 | ) | (16,118 | ) | |||||||||||||
Reinvested from Dividends | 58 | 66 | 9 | 2 | 6 | 22 | ||||||||||||||||||
Net Increase (Decrease) in Shares | (5,931 | ) | (4,031 | ) | 271 | 8,308 | (3,915 | ) | (15,228 | ) | ||||||||||||||
U.S. Government Money Market | ||||||||||||||||||||||||
Issued | 2,742,172 | 3,513,381 | 387,591 | 484,282 | 710,399 | 247,955 | ||||||||||||||||||
Redeemed | (3,536,706 | ) | (5,258,966 | ) | (324,265 | ) | (620,100 | ) | (777,072 | ) | (591,133 | ) | ||||||||||||
Reinvested from Dividends | 12,736 | 76,376 | 246 | 2,148 | 29 | 721 | ||||||||||||||||||
Net Increase (Decrease) in Shares | (781,798 | ) | (1,669,209 | ) | 63,572 | (133,670 | ) | (66,644 | ) | (342,457 | ) | |||||||||||||
Aggressive Balanced Allocation | ||||||||||||||||||||||||
Issued | 4,280 | 2,923 | — | 437 | 5,703 | 11,702 | ||||||||||||||||||
Redeemed | (2,481 | ) | (2,969 | ) | — | — | — | — | ||||||||||||||||
Reinvested from Dividends | 2,250 | 1,729 | 15 | — | ** | 383 | — | ** | ||||||||||||||||
Net Increase in Shares | 4,049 | 1,683 | 15 | 437 | 6,086 | 11,702 | ||||||||||||||||||
Conservative Balanced Allocation | ||||||||||||||||||||||||
Issued | 37,439 | 70,836 | — | 3,033 | 8,969 | 69,944 | ||||||||||||||||||
Redeemed | (43,322 | ) | (6,683 | ) | — | — | (24,500 | ) | (46 | ) | ||||||||||||||
Reinvested from Dividends | 5,393 | 2,162 | 102 | 38 | 2,183 | — | ** | |||||||||||||||||
Net Increase in Shares | (490 | ) | 66,315 | 102 | 3,071 | (13,348 | ) | 69,898 | ||||||||||||||||
Moderate Balanced Allocation | ||||||||||||||||||||||||
Issued | 16,136 | 26,148 | 3,289 | — | 38,512 | 39,708 | ||||||||||||||||||
Redeemed | (1,344 | ) | (11,176 | ) | (185 | ) | — | (32,042 | ) | — | ||||||||||||||
Reinvested from Dividends | 2,503 | 1,840 | 108 | — | ** | 1,178 | — | ** | ||||||||||||||||
Net Increase in Shares | 17,295 | 16,812 | 3,212 | — | ** | 7,648 | 39,708 | |||||||||||||||||
Moderately Aggressive Balanced Allocation | ||||||||||||||||||||||||
Issued | 14,934 | 4,202 | 1,540 | — | 346 | 17,805 | ||||||||||||||||||
Redeemed | (2 | ) | (5,429 | ) | (99 | ) | — | (2,887 | ) | (186 | ) | |||||||||||||
Reinvested from Dividends | 1,032 | 1,147 | 1 | — | ** | 351 | — | ** | ||||||||||||||||
Net Increase (Decrease) in Shares | 15,964 | (80 | ) | 1,442 | — | ** | (2,190 | ) | 17,619 | |||||||||||||||
Moderately Conservative Balanced Allocation | ||||||||||||||||||||||||
Issued | 5,186 | — | — | — | 1,924 | 19,150 | ||||||||||||||||||
Redeemed | (1,475 | ) | — | — | — | (13,622 | ) | — | ||||||||||||||||
Reinvested from Dividends | 2,355 | 2,119 | — | ** | — | ** | 571 | — | ** | |||||||||||||||
Net Increase in Shares | 6,066 | 2,119 | — | ** | — | ** | (11,127 | ) | 19,150 |
** | Amount represents less than 0.5 shares. |
144
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
Class I Shares | Class A Shares | Class C Shares | Class S Shares | |||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||||||||||||||
August 31, 2020 | August 31, 2019 | August 31, 2020 | August 31, 2019 | August 31, 2020 | August 31, 2019 | August 31, 2020 | August 31, 2019 | |||||||||||||||||||||||||
James Alpha Macro | ||||||||||||||||||||||||||||||||
Issued | 48,080 | 88,839 | 135 | 8,517 | 75 | 5,406 | 218,041 | 211,591 | ||||||||||||||||||||||||
Redeemed | (141,252 | ) | (115,536 | ) | (9,028 | ) | (21,178 | ) | (11,979 | ) | (45,755 | ) | (267,045 | ) | (361,817 | ) | ||||||||||||||||
Reinvested from Dividends | 60,092 | — | 1,564 | — | 2,674 | — | 20,895 | — | ||||||||||||||||||||||||
Net Increase (Decrease) in Shares | (33,080 | ) | (26,697 | ) | (7,329 | ) | (12,661 | ) | (9,230 | ) | (40,349 | ) | (28,109 | ) | (150,226 | ) | ||||||||||||||||
James Alpha Global Real Estate Investments | ||||||||||||||||||||||||||||||||
Issued | 28,509,376 | 16,966,533 | 1,115,239 | 1,590,212 | 663,725 | 876,827 | 1,781,574 | 347,915 | ||||||||||||||||||||||||
Redeemed | (32,304,180 | ) | (14,295,527 | ) | (1,880,732 | ) | (2,007,539 | ) | (1,312,245 | ) | (1,077,821 | ) | (632,371 | ) | (853,611 | ) | ||||||||||||||||
Reinvested from Dividends | 2,466,466 | 1,613,296 | 550,089 | 448,892 | 391,753 | 306,248 | 108,398 | 65,720 | ||||||||||||||||||||||||
Net Increase (Decrease) in Shares | (1,328,338 | ) | 14,485,254 | (215,404 | ) | 889,845 | (256,767 | ) | 507,262 | 1,257,601 | 1,085,047 | |||||||||||||||||||||
James Alpha Multi Strategy Alternative Income | ||||||||||||||||||||||||||||||||
Issued | 12,714 | 8,359 | 62 | 1,402 | 3 | 1,441 | 11,693 | 69,025 | ||||||||||||||||||||||||
Redeemed | (14,069 | ) | (9,619 | ) | (7,324 | ) | (2,207 | ) | (14,017 | ) | (9,699 | ) | (102,188 | ) | (244,056 | ) | ||||||||||||||||
Reinvested from Dividends | 43,844 | 49,437 | 124 | 289 | 293 | 764 | 2,695 | 8,234 | ||||||||||||||||||||||||
Net Increase (Decrease) in Shares | 42,489 | 48,177 | (7,138 | ) | (516 | ) | (13,721 | ) | (7,494 | ) | (87,800 | ) | (166,797 | ) | ||||||||||||||||||
James Alpha Managed Risk Domestic Equity | ||||||||||||||||||||||||||||||||
Issued | 3,233,242 | 1,665,054 | 118,733 | 34,163 | 133,175 | 30,456 | 226,381 | 538,632 | ||||||||||||||||||||||||
Redeemed | (1,406,776 | ) | (152,455 | ) | (28,666 | ) | (7,476 | ) | (19,800 | ) | (12,360 | ) | (631,852 | ) | (1,347,332 | ) | ||||||||||||||||
Reinvested from Dividends | 58,920 | 13,110 | 2,036 | 1,776 | 3,925 | 2,681 | 21,065 | 145,310 | ||||||||||||||||||||||||
Net Increase (Decrease) in Shares | 1,885,386 | (108,496 | ) | 92,103 | (14,774 | ) | 117,300 | 81 | (384,406 | ) | 1,883,600 | |||||||||||||||||||||
James Alpha Managed Risk Emerging Markets Equity | ||||||||||||||||||||||||||||||||
Issued | 10,958 | 392,735 | 336 | 4,606 | — | — | 58,683 | 129,129 | ||||||||||||||||||||||||
Redeemed | (177,863 | ) | (515,063 | ) | (6,296 | ) | (5,777 | ) | (7,149 | ) | (4,441 | ) | (125,846 | ) | (187,090 | ) | ||||||||||||||||
Reinvested from Dividends | — | 36,343 | — | 1,144 | — | 1,518 | — | 27,515 | ||||||||||||||||||||||||
Net Increase (Decrease) in Shares | (166,905 | ) | (280,354 | ) | (5,960 | ) | (3,639 | ) | (7,149 | ) | (709 | ) | (67,163 | ) | 245,133 | |||||||||||||||||
James Alpha Hedged High Income | ||||||||||||||||||||||||||||||||
Issued | 396,497 | 1,460,636 | 161,079 | 363,704 | 7,417 | 52,054 | 518,448 | 1,231,591 | ||||||||||||||||||||||||
Redeemed | (1,508,195 | ) | (1,640,460 | ) | (510,224 | ) | (181,710 | ) | (49,371 | ) | (37,282 | ) | (1,390,599 | ) | (2,984,091 | ) | ||||||||||||||||
Reinvested from Dividends | 83,728 | 96,697 | 15,778 | 17,608 | 652 | 1,027 | 67,700 | 119,884 | ||||||||||||||||||||||||
Net Increase (Decrease) in Shares | (1,027,970 | ) | (83,127 | ) | (333,367 | ) | 199,602 | (41,302 | ) | 15,799 | (804,451 | ) | (1,632,616 | ) |
** | Amount represents less than 0.5 shares. |
145
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
6. | AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS |
The identified cost of investments in securities owned by each Fund for federal income tax purposes, and its respective gross unrealized appreciation and depreciation at August 31, 2020, were as follows:
Gross | Gross | Net Unrealized | ||||||||||||||
Tax | Unrealized | Unrealized | Appreciation/ | |||||||||||||
Cost | Appreciation | Depreciation | (Depreciation) | |||||||||||||
Large Capitalization Value | $ | 12,011,303 | $ | 1,493,618 | $ | (773,206 | ) | $ | 720,412 | |||||||
Large Capitalization Growth | 22,649,993 | 9,550,986 | (36,934 | ) | 9,514,052 | |||||||||||
Mid Capitalization | 8,131,185 | 2,111,605 | (691,515 | ) | 1,420,090 | |||||||||||
Small Capitalization | 4,361,479 | 1,457,376 | (260,150 | ) | 1,197,226 | |||||||||||
International Equity | 6,444,883 | 781,618 | (706,230 | ) | 75,388 | |||||||||||
Health & Biotechnology | 10,575,393 | 2,441,527 | (235,689 | ) | 2,205,838 | |||||||||||
Technology & Communications | 20,999,503 | 41,117,390 | (265,650 | ) | 40,851,740 | |||||||||||
Energy & Basic Materials | 1,152,331 | 70,865 | (178,471 | ) | (107,606 | ) | ||||||||||
Financial Services | 878,193 | 258,281 | (72,219 | ) | 186,062 | |||||||||||
Investment Quality Bond | 4,332,266 | 203,936 | — | 203,936 | ||||||||||||
Municipal Bond | 602,076 | 10,569 | — | 10,569 | ||||||||||||
U.S. Government Money Market | 5,668,195 | — | — | — | ||||||||||||
Aggressive Balanced Allocation | 824,262 | 47,121 | (20,931 | ) | 26,190 | |||||||||||
Conservative Balanced Allocation | 2,189,960 | 125,351 | (26,413 | ) | 98,938 | |||||||||||
Moderate Balanced Allocation | 1,448,910 | 86,263 | (35,461 | ) | 50,802 | |||||||||||
Moderately Aggressive Balanced Allocation | 706,195 | 44,663 | (12,900 | ) | 31,763 | |||||||||||
Moderately Conservative Balanced Allocation | 919,876 | 39,780 | (11,182 | ) | 28,598 | |||||||||||
James Alpha Macro | 7,453,431 | 387,706 | (244,627 | ) | 143,079 | |||||||||||
James Alpha Global Real Estate Investments | 1,012,767,220 | 17,356,934 | (296,648,509 | ) | (279,291,575 | ) | ||||||||||
James Alpha Multi Strategy Alternative Income | 13,004,040 | 1,704,945 | (2,157,928 | ) | (452,983 | ) | ||||||||||
James Alpha Managed Risk Domestic Equity | 44,888,648 | 5,549,390 | (540,046 | ) | 5,009,344 | |||||||||||
James Alpha Managed Risk Emerging Markets Equity | 2,954,733 | 145,012 | (111,721 | ) | 33,291 | |||||||||||
James Alpha Hedged High Income | 31,539,650 | 1,455,632 | (4,364,622 | ) | (2,908,990 | ) |
7. | DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL |
The tax character of dividends paid during the period ended August 31, 2020 (for the period ended December 31, 2019 for the James Alpha Global Real Estate Investments Portfolio) was as follows:
For fiscal year ended | Ordinary | Tax Exempt | Long-Term | Return of | ||||||||||||||||
8/31/2020 | Income | Income | Capital Gains | Capital | Total | |||||||||||||||
Large Capitalization Value | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Large Capitalization Growth | — | — | 4,230,956 | 81,227 | 4,312,183 | |||||||||||||||
Mid Capitalization | 35,570 | — | — | — | 35,570 | |||||||||||||||
Small Capitalization | 930 | — | — | 80 | 1,010 | |||||||||||||||
International Equity | 191,876 | — | — | — | 191,876 | |||||||||||||||
Health & Biotechnology | — | — | 574,676 | — | 574,676 | |||||||||||||||
Technology & Communications | — | — | 2,296,441 | — | 2,296,441 | |||||||||||||||
Energy & Basic Materials | — | — | — | — | — | |||||||||||||||
Financial Services | — | — | 31,534 | — | 31,534 | |||||||||||||||
Investment Quality Bond | 36,658 | — | — | — | 36,658 | |||||||||||||||
Municipal Bond | 58 | 614 | — | — | 672 | |||||||||||||||
U.S. Government Money Market | 13,586 | — | — | — | 13,586 | |||||||||||||||
Aggressive Balanced Allocation | 16,903 | — | 10,215 | — | 27,118 | |||||||||||||||
Conservative Balanced Allocation | 56,032 | — | 22,797 | 6,624 | 85,453 | |||||||||||||||
Moderate Balanced Allocation | 25,097 | — | 14,052 | — | 39,149 | |||||||||||||||
Moderately Aggressive Balanced Allocation | 13,403 | — | 779 | — | 14,182 | |||||||||||||||
Moderately Conservative Balanced Allocation | 23,346 | — | 9,736 | — | 33,082 | |||||||||||||||
James Alpha Macro | 864,105 | — | — | 5,035 | 869,140 | |||||||||||||||
James Alpha Global Real Estate Investments | 98,979,566 | — | — | — | 98,979,566 | |||||||||||||||
James Alpha Multi Strategy Alternative Income | 45,509 | — | 376,751 | — | 422,260 | |||||||||||||||
James Alpha Managed Risk Domestic Equity | 1,016,443 | — | 124,780 | — | 1,141,223 | |||||||||||||||
James Alpha Managed Risk Emerging Markets Equity | — | — | — | — | — | |||||||||||||||
James Alpha Hedged High Income | 1,729,599 | — | — | 199,322 | 1,928,921 |
146
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
The tax character of dividends paid during the period ended August 31, 2019 (for the period ended December 31, 2018 for the James Alpha Global Real Estate Investments Portfolio) was as follows:
For fiscal year ended | Ordinary | Tax Exempt | Long-Term | Return of | ||||||||||||||||
8/31/2019 | Income | Income | Capital Gains | Capital | Total | |||||||||||||||
Large Capitalization Value | $ | 972,453 | $ | — | $ | — | $ | — | $ | 972,453 | ||||||||||
Large Capitalization Growth | 668,949 | — | 7,028,278 | — | 7,697,227 | |||||||||||||||
Mid Capitalization | 177,674 | — | 983,364 | — | 1,161,038 | |||||||||||||||
Small Capitalization | 58,581 | — | 774,167 | — | 832,748 | |||||||||||||||
International Equity | 61,912 | — | — | — | 61,912 | |||||||||||||||
Health & Biotechnology | — | — | 2,723,166 | — | 2,723,166 | |||||||||||||||
Technology & Communications | — | — | 2,232,550 | — | 2,232,550 | |||||||||||||||
Energy & Basic Materials | — | — | — | — | — | |||||||||||||||
Financial Services | — | — | 221,706 | — | 221,706 | |||||||||||||||
Investment Quality Bond | 66,738 | — | — | — | 66,738 | |||||||||||||||
Municipal Bond | 107 | 678 | — | — | 785 | |||||||||||||||
U.S. Government Money Market | 82,106 | — | — | — | 82,106 | |||||||||||||||
Aggressive Balanced Allocation | 15,790 | — | — | — | 15,790 | |||||||||||||||
Conservative Balanced Allocation | 24,376 | — | — | — | 24,376 | |||||||||||||||
Moderate Balanced Allocation | 17,091 | — | — | — | 17,091 | |||||||||||||||
Moderately Aggressive Balanced Allocation | 10,127 | — | 278 | — | 10,405 | |||||||||||||||
Moderately Conservative Balanced Allocation | 19,196 | — | — | — | 19,196 | |||||||||||||||
James Alpha Macro | — | — | — | — | — | |||||||||||||||
James Alpha Global Real Estate Investments | 61,134,735 | — | — | — | 61,134,735 | |||||||||||||||
James Alpha Multi Strategy Alternative Income | 302,476 | — | — | 242,320 | 544,796 | |||||||||||||||
James Alpha Managed Risk Domestic Equity | 1,584,240 | — | 496,031 | — | 2,080,271 | |||||||||||||||
James Alpha Managed Risk Emerging Markets Equity | 365,924 | — | 801,876 | — | 1,167,800 | |||||||||||||||
James Alpha Hedged High Income | 2,232,538 | — | — | 369,633 | 2,602,171 |
Permanent book and tax differences, primarily attributable to the book/tax basis treatment of distributions in excess, and net operating losses and short-term capital gains, reclassification of Fund distributions and adjustments for nondeductible payments resulted in reclassification for the tax year ended August 31, 2020 (except for the James Alpha Global Real Estate Investments Portfolio in which its December 31, 2019 reclassifications for permanent book and tax differences have been adjusted for August 31, 2020 activity) as follows:
Paid | Distributable | |||||||
In | or Accumulated | |||||||
Capital | Earnings (Loss) | |||||||
Large Capitalization Value | $ | (1,155 | ) | $ | 1,155 | |||
Large Capitalization Growth | (117,286 | ) | 117,286 | |||||
Mid Capitalization | 722 | (722 | ) | |||||
Small Capitalization | (7,435 | ) | 7,435 | |||||
International Equity | (14,943 | ) | 14,943 | |||||
Health & Biotechnology | — | — | ||||||
Technology & Communications | (337,786 | ) | 337,786 | |||||
Energy & Basic Materials | — | — | ||||||
Financial Services | (10,439 | ) | 10,439 | |||||
Investment Quality Bond | — | — | ||||||
Municipal Bond | — | — | ||||||
U.S. Government Money Market | — | — | ||||||
Aggressive Balanced Allocation | — | — | ||||||
Conservative Balanced Allocation | — | — | ||||||
Moderate Balanced Allocation | — | — | ||||||
Moderately Aggressive Balanced Allocation | — | — | ||||||
Moderately Conservative Balanced Allocation | — | — | ||||||
James Alpha Macro | (42,522 | ) | 42,522 | |||||
James Alpha Global Real Estate Investments | — | — | ||||||
James Alpha Multi Strategy Alternative Income | — | — | ||||||
James Alpha Managed Risk Domestic Equity | 201,017 | (201,017 | ) | |||||
James Alpha Managed Risk Emerging Markets Equity | — | — | ||||||
James Alpha Hedged High Income | (66,967 | ) | 66,967 |
Net assets were unaffected by the above reclassifications.
147
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
As of each of the Portfolio’s tax year-ended August 31, 2020 (except for the James Alpha Global Real Estate Investments Portfolio in which its December 31, 2019 components of distributable earnings have been adjusted for August 31, 2020 activity), the components of distributable earnings 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/ | Accumulated | ||||||||||||||||||||||
Income | Capital Gains | Late Year Loss | Forwards | Differences | (Depreciation) | Earnings/(Deficits) | ||||||||||||||||||||||
Large Capitalization Value | — | — | (21,477 | ) | (17,087 | ) | — | 720,412 | 681,848 | |||||||||||||||||||
Large Capitalization Growth | — | — | (24,977 | ) | — | — | 9,514,052 | 9,489,075 | ||||||||||||||||||||
Mid Capitalization | 66,741 | 583,362 | — | — | — | 1,420,090 | 2,070,193 | |||||||||||||||||||||
Small Capitalization | — | — | (186,752 | ) | (410,539 | ) | — | 1,197,227 | 599,936 | |||||||||||||||||||
International Equity | 72,308 | — | (92,465 | ) | (2,998,709 | ) | 14,943 | 76,625 | (2,927,298 | ) | ||||||||||||||||||
Health & Biotechnology | 24,141 | 1,457,381 | — | — | — | 2,205,838 | 3,687,360 | |||||||||||||||||||||
Technology & Communications | — | 5,883,288 | (261,643 | ) | — | — | 40,851,740 | 46,473,385 | ||||||||||||||||||||
Energy & Basic Materials | 16,432 | — | (272,038 | ) | (887,317 | ) | — | (107,598 | ) | (1,250,521 | ) | |||||||||||||||||
Financial Services | — | 4,452 | (3,800 | ) | — | — | 186,062 | 186,714 | ||||||||||||||||||||
Investment Quality Bond | 8,659 | — | — | (14,907 | ) | — | 203,936 | 197,688 | ||||||||||||||||||||
Municipal Bond | — | — | (736 | ) | (22,793 | ) | — | 10,569 | (12,960 | ) | ||||||||||||||||||
U.S. Government Money Market | 818 | — | — | — | (2 | ) | — | 816 | ||||||||||||||||||||
Aggressive Balanced Allocation | — | 6,364 | — | — | — | 26,190 | 32,554 | |||||||||||||||||||||
Conservative Balanced Allocation | — | — | (15,891 | ) | — | — | 98,938 | 83,047 | ||||||||||||||||||||
Moderate Balanced Allocation | — | 10,233 | (1,277 | ) | — | — | 50,802 | 59,758 | ||||||||||||||||||||
Moderately Aggressive Balanced Allocation | — | 7,201 | — | — | — | 31,763 | 38,964 | |||||||||||||||||||||
Moderately Conservative Balanced Allocation | — | 10,162 | (297 | ) | — | — | 28,598 | 38,463 | ||||||||||||||||||||
James Alpha Macro | — | — | (78,471 | ) | (2,090,920 | ) | (901,379 | ) | 143,117 | (2,927,653 | ) | |||||||||||||||||
James Alpha Global Real Estate Investments | 31,354,007 | — | — | — | — | (279,385,362 | ) | (248,031,355 | ) | |||||||||||||||||||
James Alpha Multi Strategy Alternative Income | — | 951,206 | (11,234 | ) | — | — | (453,445 | ) | 486,527 | |||||||||||||||||||
James Alpha Managed Risk Domestic Equity | 3,430,825 | — | (4,839,095 | ) | (983,827 | ) | (30,103 | ) | 5,009,344 | 2,587,144 | ||||||||||||||||||
James Alpha Managed Risk Emerging Markets Equity | 326,698 | — | (638,222 | ) | (231,321 | ) | (83,547 | ) | 33,291 | (593,101 | ) | |||||||||||||||||
James Alpha Hedged High Income | — | — | (701,257 | ) | (1,879,294 | ) | — | (2,924,757 | ) | (5,505,308 | ) |
The difference between book basis and tax basis unrealized appreciation (depreciation), undistributed net investment income (loss) and accumulated net realized gain (loss) from security transactions are primarily attributable to the tax deferral of losses on wash sales, adjustments for a wholly owned subsidiary, mark-to-market on open forward foreign currency contracts, futures and swap contracts, passive foreign investment companies and adjustments for partnerships, real estate investment trusts, perpetual bond securities, trust preferred securities, accrued dividends payable and dividends payable on foreign tax passthrough and C-Corporations adjustments. The unrealized appreciation (depreciation) in the table above includes unrealized foreign currency gains (losses) of $8,$(1,237), $(38), $(93,787), $462 and $(15,767) for the Energy & Basic Materials Portfolio, International Equity, James Alpha Macro Portfolio, James Alpha Global Real Estate Investments Portfolio, the James Alpha Multi-Strategy Alternative Income Portfolio and James Alpha Hedged High Income Portfolio respectively
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 Portfolios below incurred and elected to defer such late year losses as follows:
Late Year | ||||
Losses | ||||
Large Capitalization Value | $ | 21,477 | ||
Large Capitalization Growth | 24,977 | |||
Mid Capitalization | — | |||
Small Capitalization | 22,094 | |||
International Equity | — | |||
Health & Biotechnology | — | |||
Technology & Communications | 261,643 | |||
Energy & Basic Materials | — | |||
Financial Services | 3,800 | |||
Investment Quality Bond | — | |||
Municipal Bond | — | |||
U.S. Government Money Market | — | |||
Aggressive Balanced Allocation | — | |||
Conservative Balanced Allocation | 601 | |||
Moderate Balanced Allocation | 1,277 | |||
Moderately Aggressive Balanced Allocation | — | |||
Moderately Conservative Balanced Allocation | 297 | |||
James Alpha Macro | 78,471 | |||
James Alpha Global Real Estate Investments | — | |||
James Alpha Multi Strategy Alternative Income | 11,234 | |||
James Alpha Managed Risk Domestic Equity | — | |||
James Alpha Managed Risk Emerging Markets Equity | — | |||
James Alpha Hedged High Income | — |
148
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
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 Portfolios below incurred and elected to defer such capital losses as follows:
Post October | ||||
Losses | ||||
Large Capitalization Value | $ | — | ||
Large Capitalization Growth | — | |||
Mid Capitalization | — | |||
Small Capitalization | 164,658 | |||
International Equity | 92,465 | |||
Health & Biotechnology | — | |||
Technology & Communications | — | |||
Energy & Basic Materials | 272,038 | |||
Financial Services | — | |||
Investment Quality Bond | — | |||
Municipal Bond | 736 | |||
U.S. Government Money Market | — | |||
Aggressive Balanced Allocation | — | |||
Conservative Balanced Allocation | 15,290 | |||
Moderate Balanced Allocation | — | |||
Moderately Aggressive Balanced Allocation | — | |||
Moderately Conservative Balanced Allocation | — | |||
James Alpha Macro | — | |||
James Alpha Global Real Estate Investments | — | |||
James Alpha Multi Strategy Alternative Income | — | |||
James Alpha Managed Risk Domestic Equity | 4,839,095 | |||
James Alpha Managed Risk Emerging Markets Equity | 638,222 | |||
James Alpha Hedged High Income | 701,257 |
8. | 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 Fund will indirectly bear fees and expenses charged by the underlying investment companies in which the Fund invests in addition to the Fund’s direct fees and expenses.
The performance of the Investment Quality Bond Portfolio will be directly affected by the performance of the Vanguard Short-Term Bond Index Fund – Admiral Shares. The financial statements of the Vanguard Short Term Tax Exempt Fund – Admiral Shares, including the portfolio of investments, can be found on the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the Portfolio’s financial statements. As of August 31, 2020, the percentage of net assets invested in the Vanguard Short-Term Bond Index Fund – Admiral Shares was 78.6%.
The performance of the Municipal Bond Portfolio will be directly affected by the performance of the Vanguard Short Term Tax Exempt Fund – Admiral Shares. The financial statements of the Vanguard Short Term Tax Exempt Fund – Admiral Shares, including the portfolio of investments, can be found on the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the Portfolio’s financial statements. As of August 31, 2020, the percentage of net assets invested in the Vanguard Short Term Tax Exempt Fund – Admiral Shares was 71.9%.
The performance of the Conservative Balanced Allocation Portfolio will be directly affected by the performance of the Dreyfus Institutional Preferred Government Money Market – Institutional Class. The financial statements of the Dreyfus Institutional Preferred Government Money Market – Institutional Class, including the portfolio of investments, can be found on the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the Portfolio’s financial statements. As of August 31, 2020, the percentage of net assets invested in the Dreyfus Institutional Preferred Government Money Market – Institutional Class was 27.7%.
The performance of the James Alpha Managed Risk Domestic Equity Portfolio will be directly affected by the performance of the SPDR S&P 500 ETF Trust. The Trust seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of the S&P 500 Index. The financial statements of the SPDR S&P 500 ETF Trust, including the portfolio of investments, can be found on the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the Portfolio’s financial statements. As of August 31, 2020, the percentage of net assets invested in the SPDR S&P 500 ETF Trust was 91.7%.
The performance of the James Alpha Managed Risk Emerging Markets Equity Portfolio will be directly affected by the performance of the iShares MSCI Emerging Markets ETF. The iShares MSCI Emerging Markets ETF seeks to track the investment results of an index composed of large and mid-capitalization emerging market equities. The financial statements of the iShares MSCI Emerging Markets ETF, including the portfolio of investments, can be found on the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the Portfolio’s financial statements. As of August 31, 2020, the percentage of net assets invested in the iShares MSCI Emerging Markets ETF was 48.1%.
149
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Year Ended August 31, 2020 (Continued) |
9. | BENEFICIAL OWNERSHIP (Unaudited) |
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a Portfolio creates a presumption of control of the Portfolio under Section 2(a)(9) of the 1940 Act. As of August 31, 2020, the below entities held more than 25% of the voting securities for each of the Funds listed.
National | First | Wells Fargo | ||||||||||||||||||||||||||||||||||
UBS Wealth | Denis | Financial | Pershing, | National | Mid Atlantic Trust | Clearing | TD Ameritrade | Charles Schwab & | ||||||||||||||||||||||||||||
Management * | Nayden | Services * | LLC * | Bank * | Company FBO * | Services * | Trust Company * | Co., Inc. | ||||||||||||||||||||||||||||
International Equity | — | — | — | — | — | — | — | — | 47.06 | % | ||||||||||||||||||||||||||
Energy & Basic Materials | — | — | — | — | 47.26 | % | — | — | — | — | ||||||||||||||||||||||||||
Financial Services | — | — | — | — | 50.45 | % | — | — | — | — | ||||||||||||||||||||||||||
Investment Quality Bond | — | — | — | — | 60.06 | % | — | — | — | — | ||||||||||||||||||||||||||
Large Cap Value | — | — | — | — | 45.32 | % | — | — | — | — | ||||||||||||||||||||||||||
Large Cap Growth | — | — | — | — | 31.97 | % | — | — | — | — | ||||||||||||||||||||||||||
Small Cap | — | — | — | — | 46.36 | % | — | — | — | — | ||||||||||||||||||||||||||
Mid Cap | — | — | — | — | 40.69 | % | — | — | — | — | ||||||||||||||||||||||||||
U.S. Government Money Market | — | — | — | — | 62.86 | % | — | — | — | — | ||||||||||||||||||||||||||
James Alpha Multi Strategy | ||||||||||||||||||||||||||||||||||||
Alternative Income | — | 89.10 | % | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
James Alpha Hedged High Income | — | — | 57.23 | % | — | — | — | — | — | — | ||||||||||||||||||||||||||
Aggressive Balanced Allocation | — | — | — | — | 68.62 | % | 28.83 | % | — | — | — | |||||||||||||||||||||||||
Conservative Balanced Allocation | — | — | — | 34.94 | % | 49.48 | % | — | — | — | — | |||||||||||||||||||||||||
Moderate Balanced Allocation | ||||||||||||||||||||||||||||||||||||
Portfolio | — | — | — | 28.47 | % | 43.67 | % | — | — | — | — | |||||||||||||||||||||||||
Moderately Aggressive Balanced | ||||||||||||||||||||||||||||||||||||
Allocation | — | — | — | — | 52.68 | % | 43.35 | % | — | — | — | |||||||||||||||||||||||||
Moderately Conservative Balanced | ||||||||||||||||||||||||||||||||||||
Allocation | — | — | — | — | 41.43 | % | 41.16 | % | — | — | — | |||||||||||||||||||||||||
James Alpha Macro | — | — | 30.90 | % | — | — | — | — | — | — | ||||||||||||||||||||||||||
James Alpha Managed Risk | ||||||||||||||||||||||||||||||||||||
Domestic Equity | — | — | 58.62 | % | — | — | — | — | — | — | ||||||||||||||||||||||||||
James Alpha Managed Risk | ||||||||||||||||||||||||||||||||||||
Emerging Markets | — | — | 32.32 | % | — | — | — | — | 30.16 | % | — |
* | Comprised of multiple investors and accounts |
10. | NEW ACCOUNTING PRONOUNCEMENTS |
In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to maturity. The Portfolios have adopted and applied ASU 2017-08 on a modified retrospective basis. Management has assessed these changes and concluded these changes do not have a material impact on the financial statements.
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.
150
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
Large Capitalization Value Portfolio - Class I Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 21.17 | $ | 22.78 | $ | 23.77 | $ | 20.85 | $ | 21.70 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (1) | (0.03 | ) | (0.01 | ) | 0.10 | 0.07 | 0.10 | |||||||||||||
Net realized and unrealized gain (loss) | 1.18 | (0.21 | ) | 0.71 | 2.85 | (0.50 | ) | |||||||||||||
Total from investment operations | 1.15 | (0.22 | ) | 0.81 | 2.92 | (0.40 | ) | |||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | (0.07 | ) | — | — | — | ||||||||||||||
Distributions from realized gains | — | (1.32 | ) | (0.78 | ) | — | (0.45 | ) | ||||||||||||
Distributions from return of capital | — | — | (1.02 | ) | — | — | ||||||||||||||
Total dividends and distributions | — | (1.39 | ) | (1.80 | ) | — | (0.45 | ) | ||||||||||||
Redemption Fees | — | — | — | — | — | ** | ||||||||||||||
Net Asset Value, End of Year | $ | 22.32 | $ | 21.17 | $ | 22.78 | $ | 23.77 | $ | 20.85 | ||||||||||
Total Return* | 5.43 | % | (0.14 | )% | 3.58 | % | 14.00 | % | (1.77 | )% | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 12,317 | $ | 13,358 | $ | 14,930 | $ | 17,247 | $ | 18,469 | ||||||||||
Ratio of gross operating expenses to average net assets (2) | 1.17 | % | 1.14 | % | 1.22 | % | 1.24 | % | 1.24 | % | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | (0.15 | )% | (0.04 | )% | 0.45 | % | 0.30 | % | 0.48 | % | ||||||||||
Portfolio Turnover Rate | 82 | % | 87 | % | 100 | % | 65 | % | 79 | % | ||||||||||
Large Capitalization Growth Portfolio - Class I Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 24.45 | $ | 31.61 | $ | 25.48 | $ | 26.87 | $ | 27.21 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (1) | (0.03 | ) | — | — | (0.01 | ) | 0.26 | |||||||||||||
Net realized and unrealized gain (loss) | 7.85 | (1.76 | ) | 7.68 | 3.76 | 2.12 | ||||||||||||||
Total from investment operations | 7.82 | (1.76 | ) | 7.68 | 3.75 | 2.38 | ||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | — | — | (0.25 | ) | — | ||||||||||||||
Distributions from realized gains | (3.67 | ) | (5.40 | ) | (1.55 | ) | (4.89 | ) | (2.72 | ) | ||||||||||
Total dividends and distributions | (3.67 | ) | (5.40 | ) | (1.55 | ) | (5.14 | ) | (2.72 | ) | ||||||||||
Redemption Fees | — | — | — | — | — | ** | ||||||||||||||
Net Asset Value, End of Year | $ | 28.60 | $ | 24.45 | $ | 31.61 | $ | 25.48 | $ | 26.87 | ||||||||||
Total Return* | 35.93 | % | (4.37 | )% | 31.33 | % | 17.04 | % | 8.92 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 28,236 | $ | 24,398 | $ | 29,936 | $ | 26,906 | $ | 31,109 | ||||||||||
Ratio of gross operating expenses to average net assets (3) | 1.12 | % | 1.06 | % | 1.14 | % | 1.22 | % | 1.21 | % | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | (0.11 | )% | 0.01 | % | 0.00 | % | (0.04 | )% | 0.96 | % | ||||||||||
Portfolio Turnover Rate | 74 | % | 90 | % | 74 | % | 97 | % | 160 | % |
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Year. |
(2) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Large Cap Value Portfolio: |
1.17 | % | 1.14 | % | 1.22 | % | 1.24 | % | 1.24 | % |
(3) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Large Cap Growth Portfolio: |
1.12 | % | 1.06 | % | 1.14 | % | 1.22 | % | 1.21 | % |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
151
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
Mid Capitalization Portfolio - Class I Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 11.69 | $ | 13.48 | $ | 12.87 | $ | 12.96 | $ | 14.00 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (1) | 0.03 | 0.08 | 0.05 | 0.05 | (0.01 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (0.07 | ) | (0.65 | ) | 1.57 | 0.76 | (0.45 | ) | ||||||||||||
Total from investment operations | (0.04 | ) | (0.57 | ) | 1.62 | 0.81 | (0.46 | ) | ||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.05 | ) | (0.07 | ) | (0.06 | ) | — | — | ||||||||||||
Distributions from realized gains | — | (1.15 | ) | (0.95 | ) | (0.90 | ) | (0.58 | ) | |||||||||||
Distributions from return of capital | — | — | — | — | — | |||||||||||||||
Total dividends and distributions | (0.05 | ) | (1.22 | ) | (1.01 | ) | (0.90 | ) | (0.58 | ) | ||||||||||
Redemption Fees | — | — | — | — | ** | — | ** | |||||||||||||
Net Asset Value, End of Year | $ | 11.60 | $ | 11.69 | $ | 13.48 | $ | 12.87 | $ | 12.96 | ||||||||||
Total Return* | (0.38 | )% | (3.13 | )% | 13.17 | % | 6.55 | % | (3.10 | )% | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 8,126 | $ | 8,859 | $ | 10,224 | $ | 10,306 | $ | 11,889 | ||||||||||
Ratio of gross operating expenses to average net assets (2) | 1.46 | % | 1.29 | % | 1.45 | % | 1.61 | % | 1.60 | % | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | 0.28 | % | 0.66 | % | 0.40 | % | 0.40 | % | (0.10 | )% | ||||||||||
Portfolio Turnover Rate | 53 | % | 49 | % | 39 | % | 43 | % | 54 | % | ||||||||||
Small Capitalization Portfolio - Class I Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 5.89 | $ | 8.10 | $ | 6.66 | $ | 5.70 | $ | 8.94 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (1) | (0.03 | ) | — | (0.01 | ) | (0.05 | ) | (0.03 | ) | |||||||||||
Net realized and unrealized gain (loss) | 0.57 | (1.30 | ) | 1.45 | 1.01 | 0.06 | ||||||||||||||
Total from investment operations | 0.54 | (1.30 | ) | 1.44 | 0.96 | 0.03 | ||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | ** | — | — | — | — | ||||||||||||||
Distributions from realized gains | — | (0.91 | ) | — | — | (3.27 | ) | |||||||||||||
Total dividends and distributions | — | (0.91 | ) | — | — | (3.27 | ) | |||||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 6.43 | $ | 5.89 | $ | 8.10 | $ | 6.66 | $ | 5.70 | ||||||||||
Total Return* | 9.19 | % | (15.41 | )% | 21.62 | % | 16.84 | % | 1.72 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 5,362 | $ | 5,357 | $ | 7,331 | $ | 6,963 | $ | 7,119 | ||||||||||
Ratio of gross operating expenses to average net assets (3) | 1.68 | % | 1.44 | % | 1.55 | % | 1.88 | % | 1.75 | % | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | (0.44 | )% | (0.04 | )% | (0.20 | )% | (0.81 | )% | (0.48 | )% | ||||||||||
Portfolio Turnover Rate | 101 | % | 90 | % | 115 | % | 127 | % | 112 | % | ||||||||||
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Year. |
(2) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Mid Capitalization Portfolio: |
1.46 | % | 1.29 | % | 1.45 | % | 1.61 | % | 1.60 | % |
(3) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Small Cap Portfolio: |
1.68 | % | 1.44 | % | 1.55 | % | 1.88 | % | 1.75 | % |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
152
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
International Equity Portfolio - Class I Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 8.95 | $ | 10.23 | $ | 11.64 | $ | 9.38 | $ | 9.58 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (1) | 0.10 | 0.19 | 0.11 | — | 0.05 | ** | ||||||||||||||
Net realized and unrealized gain (loss) | 0.08 | (1.42 | ) | (0.39 | ) | 1.19 | (0.24 | ) | ||||||||||||
Total from investment operations | 0.18 | (1.23 | ) | (0.28 | ) | 1.19 | (0.19 | ) | ||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.19 | ) | (0.05 | ) | — | ** | (0.06 | ) | (0.01 | ) | ||||||||||
Total dividends and distributions | (0.19 | ) | (0.05 | ) | — | (0.06 | ) | (0.01 | ) | |||||||||||
Redemption Fees | — | — | — | — | ** | — | ** | |||||||||||||
Net Asset Value, End of Year | $ | 8.94 | $ | 8.95 | $ | 10.23 | $ | 10.51 | $ | 9.38 | ||||||||||
Total Return* | 1.80 | % # | (12.02 | )% # | (2.63 | )% | 12.76 | % | (1.94 | )% | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 6,277 | $ | 8,320 | $ | 11,024 | $ | 4,570 | $ | 5,072 | ||||||||||
Ratio of gross operating expenses to average net assets (2) | 1.64 | % | 1.61 | % | 2.30 | % | 2.96 | % | 2.73 | % | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | 1.09 | % | 2.00 | % | 0.99 | % | 0.01 | % | 0.58 | % | ||||||||||
Portfolio Turnover Rate | 52 | % | 95 | % | 130 | % | 69 | % | 125 | % | ||||||||||
Health & Biotechnology Portfolio - Class I Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 21.14 | $ | 27.51 | $ | 27.43 | $ | 31.47 | $ | 32.56 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (1) | 0.01 | (0.01 | ) | (0.05 | ) | (0.09 | ) | (0.05 | ) | |||||||||||
Net realized and unrealized gain (loss) | 2.78 | (2.30 | ) | 2.34 | 1.18 | 2.01 | ||||||||||||||
Total from investment operations | 2.79 | (2.31 | ) | 2.29 | 1.09 | 1.96 | ||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Distributions from realized gains | (0.91 | ) | (4.06 | ) | (4.23 | ) | (3.11 | ) | (3.05 | ) | ||||||||||
Total dividends and distributions | (0.91 | ) | (4.06 | ) | (4.23 | ) | (3.11 | ) | (3.05 | ) | ||||||||||
Redemption Fees | — | — | — | — | — | ** | ||||||||||||||
Net Asset Value, End of Year | $ | 23.02 | $ | 21.14 | $ | 27.51 | $ | 29.45 | $ | 31.47 | ||||||||||
Total Return* | 13.22 | % | (9.16 | )% | 8.88 | % | 4.43 | % | 6.48 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 6,741 | $ | 6,927 | $ | 9,436 | $ | 10,246 | $ | 12,943 | ||||||||||
Ratio of gross operating expenses to average net assets (3) | 1.91 | % | 1.82 | % | 1.90 | % | 1.93 | % | 1.90 | % | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | 0.05 | % | (0.02 | )% | (0.20 | )% | (0.29 | )% | (0.17 | )% | ||||||||||
Portfolio Turnover Rate | 21 | % | 32 | % | 13 | % | 12 | % | 19 | % |
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Year. |
(2) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the International Equity Portfolio: |
1.25 | % | 1.25 | % | 1.92 | % | 2.90 | % | 2.73 | % |
(3) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Health & Biotechnology Portfolio: |
1.91 | % | 1.82 | % | 1.90 | % | 1.93 | % | 1.90 | % |
# | 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. |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
153
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
Technology & Communications Portfolio - Class I Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 24.28 | $ | 24.86 | $ | 23.26 | $ | 18.08 | $ | 17.16 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (1) | (0.11 | ) | 0.03 | (0.11 | ) | (0.08 | ) | 0.03 | ||||||||||||
Net realized and unrealized gain | 8.43 | 0.27 | 5.89 | 4.17 | 2.79 | |||||||||||||||
Total from investment operations | 8.32 | 0.30 | 5.78 | 4.09 | 2.82 | |||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Distributions from realized gains | (0.97 | ) | (0.88 | ) | (1.59 | ) | (1.50 | ) | (1.90 | ) | ||||||||||
Total dividends and distributions | (0.97 | ) | (0.88 | ) | (1.59 | ) | (1.50 | ) | (1.90 | ) | ||||||||||
Redemption Fees | — | — | — | — | ** | — | ||||||||||||||
Net Asset Value, End of Year | $ | 31.63 | $ | 24.28 | $ | 24.86 | $ | 20.67 | $ | 18.08 | ||||||||||
Total Return* | 35.28 | % | 1.70 | % | 29.38 | % | 23.97 | % | 17.77 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 32,790 | $ | 28,695 | $ | 29,894 | $ | 25,550 | $ | 19,867 | ||||||||||
Ratio of gross operating expenses to average net assets (2) | 1.68 | % | 1.68 | % | 1.75 | % | 1.80 | % | 1.84 | % | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | (0.42 | )% | 0.11 | % | (0.50 | )% | (0.44 | )% | 0.16 | % | ||||||||||
Portfolio Turnover Rate | 10 | % | 2 | % | 1 | % | 16 | % | 37 | % | ||||||||||
Energy & Basic Materials Portfolio - Class I Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 10.11 | $ | 14.44 | $ | 12.15 | $ | 11.46 | $ | 11.86 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (1) | 0.14 | 0.04 | (0.07 | ) | (0.02 | ) | (0.09 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (2.01 | ) | (4.37 | ) | 2.36 | 0.71 | (0.31 | ) | ||||||||||||
Total from investment operations | (1.87 | ) | (4.33 | ) | 2.29 | 0.69 | (0.40 | ) | ||||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 8.24 | $ | 10.11 | $ | 14.44 | $ | 12.15 | $ | 11.46 | ||||||||||
Total Return* | (18.50 | )% | (29.99 | )% | 18.85 | % | 6.02 | % | (3.37 | )% | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 942 | $ | 976 | $ | 1,783 | $ | 1,452 | $ | 1,857 | ||||||||||
Ratio of gross operating expenses to average net assets (3) | 3.65 | % | 3.07 | % | 3.51 | % | 3.46 | % | 3.56 | % | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | 1.57 | % | 0.35 | % | (0.53 | )% | (0.18 | )% | (0.81 | )% | ||||||||||
Portfolio Turnover Rate | 63 | % | 45 | % | 61 | % | 54 | % | 134 | % |
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Year. |
(2) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Technology & Communications Portfolio: |
1.68 | % | 1.68 | % | 1.75 | % | 1.80 | % | 1.84 | % |
(3) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Energy & Basic Materials Portfolio: |
3.00 | % | 3.00 | % | 3.00 | % | 3.00 | % | 3.00 | % |
(4) | During the years ended August 31, 2015, the Manager recaptured previously waived/reimbursed expenses. The ratio of expenses to average net assets excluding the effect of any recapture were 2.86% for the year ending August 31, 2015, for the Energy & Basic Materials Portfolio. |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
154
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
Financial Services Portfolio - Class I Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 8.92 | $ | 12.02 | $ | 12.23 | $ | 8.89 | $ | 8.63 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment loss (1) | (0.06 | ) | (0.07 | ) | (0.15 | ) | (0.11 | ) | (0.07 | ) | ||||||||||
Gain from trade error | — | — | — | 0.14 | — | |||||||||||||||
Net realized and unrealized gain (loss) | (0.76 | ) | (1.35 | ) | 1.61 | 1.64 | 0.33 | |||||||||||||
Total from investment operations | (0.82 | ) | (1.42 | ) | 1.46 | 1.67 | 0.26 | |||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Distributions from realized gains | (0.21 | ) | (1.68 | ) | — | — | — | |||||||||||||
Total dividends and distributions | (0.21 | ) | (1.68 | ) | — | — | — | |||||||||||||
Redemption Fees | — | — | — | — | ** | — | ||||||||||||||
Net Asset Value, End of Year | $ | 7.89 | $ | 8.92 | $ | 12.02 | $ | 10.56 | $ | 8.89 | ||||||||||
Total Return* | (9.60 | )% | (10.93 | )% | 13.83 | % | 18.79 | % + | 3.01 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 944 | $ | 1,136 | $ | 1,411 | $ | 1,736 | $ | 1,525 | ||||||||||
Ratio of gross operating expenses to average net assets (2) | 3.51 | % | 3.41 | % | 3.42 | % | 3.51 | % | 3.74 | % | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | (0.66 | )% | (0.73 | )% | (1.29 | )% | (1.15 | )% | (0.89 | )% | ||||||||||
Portfolio Turnover Rate | 71 | % | 67 | % | 52 | % | 55 | % | 73 | % | ||||||||||
Investment Quality Bond Portfolio - Class I Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 9.56 | $ | 9.31 | $ | 9.45 | $ | 9.69 | $ | 9.64 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (1) | 0.07 | 0.11 | 0.08 | 0.09 | 0.09 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.24 | 0.27 | (0.21 | ) | (0.09 | ) | 0.14 | |||||||||||||
Total from investment operations | 0.31 | 0.38 | (0.13 | ) | — | 0.23 | ||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.08 | ) | (0.13 | ) | (0.06 | ) | (0.08 | ) | (0.09 | ) | ||||||||||
Distributions from realized gains | — | — | (0.07 | ) | (0.04 | ) | (0.09 | ) | ||||||||||||
Total dividends and distributions | (0.08 | ) | (0.13 | ) | (0.13 | ) | (0.12 | ) | (0.18 | ) | ||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 9.79 | $ | 9.56 | $ | 9.31 | $ | 9.57 | $ | 9.69 | ||||||||||
Total Return* | 3.24 | % | 4.14 | % | (1.34 | )% | 0.00 | % | 2.37 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 4,345 | $ | 4,243 | $ | 4,935 | $ | 6,420 | $ | 7,812 | ||||||||||
Ratio of gross operating expenses to average net assets (3) | 1.37 | % | 1.27 | % | 1.54 | % | 1.46 | % | 1.35 | % | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | 0.71 | % | 1.18 | % | 0.87 | % | 0.91 | % | 1.35 | % | ||||||||||
Portfolio Turnover Rate | 23 | % | 11 | % | 112 | % | 15 | % | 37 | % |
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Year. |
(2) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Financial Services Portfolio: |
3.00 | % | 3.00 | % | 3.00 | % | 3.00 | % | 3.00 | % |
(3) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Investment Quality Bond Portfolio: |
1.37 | % | 1.27 | % | 1.23 | % | 1.35 | % | 1.30 | % |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
+ | Includes a reimbursement from the Advisor for a trading error without this transaction the total return would have been 17.21%. |
155
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
Municipal Bond Portfolio - Class I Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 9.02 | $ | 8.95 | $ | 9.24 | $ | 9.82 | $ | 9.67 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (1) | 0.00 | 0.01 | 0.05 | 0.05 | 0.03 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.07 | 0.07 | (0.29 | ) | (0.20 | ) | 0.29 | |||||||||||||
Total from investment operations | 0.07 | 0.08 | (0.24 | ) | (0.15 | ) | 0.32 | |||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.01 | ) | (0.01 | ) | (0.05 | ) | (0.05 | ) | (0.03 | ) | ||||||||||
Distributions from realized gains | — | — | — | (0.38 | ) | (0.14 | ) | |||||||||||||
Total dividends and distributions | (0.01 | ) | (0.01 | ) | (0.05 | ) | (0.43 | ) | (0.17 | ) | ||||||||||
Net Asset Value, End of Year | $ | 9.08 | $ | 9.02 | $ | 8.95 | $ | 9.24 | $ | 9.82 | ||||||||||
Total Return* | 0.77 | % # | 0.88 | % # | (2.66 | )% | (1.35 | )% | 3.39 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 507 | $ | 557 | $ | 589 | $ | 660 | $ | 735 | ||||||||||
Ratio of gross operating expenses to average net assets (2) | 2.35 | % | 2.91 | % | 3.79 | % | 3.59 | % | 2.91 | % | ||||||||||
Ratio of net investment income after expense reimbursement/recoupment to average net assets | 0.04 | % | 0.11 | % | 0.46 | % | 0.59 | % | 0.33 | % | ||||||||||
Portfolio Turnover Rate | 22 | % | 2 | % | 104 | % | 48 | % | 142 | % | ||||||||||
U.S. Government Money Market Portfolio - Class I Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (1) | 0.00 | ** | 0.01 | 0.00 | ** | 0.00 | ** | 0.00 | ** | |||||||||||
Net realized and unrealized gain (loss) | — | — | — | — | — | |||||||||||||||
Total from investment operations | 0.00 | ** | 0.01 | 0.00 | ** | 0.00 | ** | 0.00 | ** | |||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | 0.00 | ** | (0.01 | ) | (0.00 | ) ** | (0.00 | ) ** | (0.00 | ) ** | ||||||||||
Distributions from realized gains | — | — | — | — | — | |||||||||||||||
Total dividends and distributions | (0.00 | ) ** | (0.01 | ) | (0.00 | ) ** | (0.00 | ) ** | (0.00 | ) ** | ||||||||||
Net Asset Value, End of Year | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||
Total Return* | 0.00 | % | 1.09 | % | 0.29 | % | 0.01 | % | 0.01 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 5,213 | $ | 5,992 | $ | 7,656 | $ | 9,645 | $ | 12,772 | ||||||||||
Ratio of gross operating expenses to average net assets (3) | 1.18 | % | 1.24 | % | 1.17 | % | 1.01 | % | 0.93 | % | ||||||||||
Ratio of net investment income after expense reimbursement/recoupment to average net assets | 0.28 | % | 1.09 | % | 0.29 | % | 0.02 | % | 0.01 | % | ||||||||||
Portfolio Turnover Rate | N/A | N/A | N/A | N/A | N/A |
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(2) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Municipal Bond Portfolio: |
1.64 | % | 1.41 | % | 1.27 | % | 1.59 | % | 1.90 | % |
(3) | Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the U.S. Government Money Market Portfolio: |
0.68 | % | 1.24 | % | 1.16 | % | 0.60 | % | 0.22 | % |
# | 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. |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
156
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
Aggressive Balanced Allocation Portfolio - Class I Shares | ||||||||||||
For the Period | ||||||||||||
December 29, | ||||||||||||
Year Ended | Year Ended | 2017 (1) to | ||||||||||
August 31, | August 31, | August 31, | ||||||||||
2020 | 2019 | 2018 | ||||||||||
Net Asset Value, Beginning of Year/Period | $ | 9.94 | $ | 10.43 | $ | 10.00 | ||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net investment income (2) | 0.25 | 0.24 | 0.04 | |||||||||
Net realized and unrealized gain (loss) | 0.62 | (0.45 | ) | 0.39 | ||||||||
Total from investment operations | 0.87 | (0.21 | ) | 0.43 | ||||||||
Dividends and Distributions: | ||||||||||||
Dividends from net investment income | (0.28 | ) | (0.27 | ) | — | |||||||
Distributions from realized gains | (0.11 | ) | (0.01 | ) | — | |||||||
Total dividends and distributions | (0.39 | ) | (0.28 | ) | — | |||||||
Net Asset Value, End of Year/Period | $ | 10.42 | $ | 9.94 | $ | 10.43 | ||||||
Total Return* | 8.76 | % | (1.81 | )% | 4.30 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of year/period (000s) | $ | 666 | $ | 595 | $ | 607 | ||||||
Ratio of gross operating expenses to average net assets (4) | 2.01 | % | 3.01 | % | 3.07 | % (3) | ||||||
Ratio of net operating expenses to average net assets (4) | 0.79 | % | 0.60 | % | 0.35 | % (3) | ||||||
Ratio of net investment income after expense reimbursement/recoupment to average net assets (4) | 2.53 | % | 2.47 | % | 0.64 | % (3) | ||||||
Portfolio Turnover Rate | 3 | % | 56 | % | 8 | % (5) | ||||||
Conservative Balanced Allocation Portfolio - Class I Shares | ||||||||||||
For the Period | ||||||||||||
December 29, | ||||||||||||
Year Ended | Year Ended | 2017 (1) to | ||||||||||
August 31, | August 31, | August 31, | ||||||||||
2020 | 2019 | 2018 | ||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.20 | $ | 10.33 | $ | 10.00 | ||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net investment income (2) | 0.23 | 0.23 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.52 | (0.16 | ) | 0.27 | ||||||||
Total from investment operations | 0.75 | 0.07 | 0.33 | |||||||||
Dividends and Distributions: | ||||||||||||
Dividends from net investment income | (0.24 | ) | (0.20 | ) | — | |||||||
Distributions from realized gains | (0.10 | ) | (0.00 | ) ** | — | |||||||
Distributions from return of capital | (0.03 | ) | — | — | ||||||||
Total dividends and distributions | (0.37 | ) | (0.20 | ) | — | |||||||
Net Asset Value, End of Year/Period | $ | 10.58 | $ | 10.20 | $ | 10.33 | ||||||
Total Return* | 7.45 | % | 0.84 | % | 3.30 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of year/period (000s) | $ | 1,656 | $ | 1,602 | $ | 937 | ||||||
Ratio of gross operating expenses to average net assets (4) | 1.60 | % | 1.77 | % | 2.59 | % (3) | ||||||
Ratio of net operating expenses to average net assets (4) | 0.79 | % | 0.70 | % | 0.49 | % (3) | ||||||
Ratio of net investment income after expense reimbursement/recoupment to average net assets (4) | 2.28 | % | 2.32 | % | 0.83 | % (3) | ||||||
Portfolio Turnover Rate | 12 | % | 31 | % | 4 | % (5) |
(1) | Commencement of offering. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(3) | Annualized for periods less than one year. |
(4) | Does not include the expenses of exchange traded funds in which the Fund invests. |
(5) | Not annualized. |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
157
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
Moderate Balanced Allocation Portfolio - Class I Shares | ||||||||||||
For the Period | ||||||||||||
December 29, | ||||||||||||
Year Ended | Year Ended | 2017 (1) to | ||||||||||
August 31, | August 31, | August 31, | ||||||||||
2020 | 2019 | 2018 | ||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.15 | $ | 10.43 | $ | 10.00 | ||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net investment income (2) | 0.22 | 0.28 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | 0.67 | (0.28 | ) | 0.38 | ||||||||
Total from investment operations | 0.89 | (0.00 | ) | 0.43 | ||||||||
Dividends and Distributions: | ||||||||||||
Dividends from net investment income | (0.24 | ) | (0.28 | ) | — | |||||||
Distributions from realized gains | (0.11 | ) | (0.00 | ) ** | — | |||||||
Total dividends and distributions | (0.35 | ) | (0.28 | ) | — | |||||||
Net Asset Value, End of Year/Period | $ | 10.69 | $ | 10.15 | $ | 10.43 | ||||||
Total Return* | 8.93 | % | 0.31 | % | 4.30 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of year/period (000s) | $ | 967 | $ | 743 | $ | 588 | ||||||
Ratio of gross operating expenses to average net assets (4) | 1.70 | % | 2.12 | % | 2.87 | % (3) | ||||||
Ratio of net operating expenses to average net assets (4) | 0.79 | % | 0.63 | % | 0.36 | % (3) | ||||||
Ratio of net investment income after expense reimbursement/recoupment to average net assets (4) | 2.19 | % | 2.79 | % | 0.73 | % (3) | ||||||
Portfolio Turnover Rate | 8 | % | 35 | % | 7 | % (5) | ||||||
Moderately Aggressive Balanced Allocation Portfolio - Class I Shares | ||||||||||||
For the Period | ||||||||||||
December 29, | ||||||||||||
Year Ended | Year Ended | 2017 (1) to | ||||||||||
August 31, | August 31, | August 31, | ||||||||||
2020 | 2019 | 2018 | ||||||||||
Net Asset Value, Beginning of Year/Period | $ | 9.93 | $ | 10.35 | $ | 10.00 | ||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net investment income (2) | 0.22 | 0.28 | 0.03 | |||||||||
Net realized and unrealized gain (loss) | 0.59 | (0.43 | ) | 0.32 | ||||||||
Total from investment operations | 0.81 | (0.15 | ) | 0.35 | ||||||||
Dividends and Distributions: | ||||||||||||
Dividends from net investment income | (0.25 | ) | (0.27 | ) | — | |||||||
Distributions from realized gains | (0.01 | ) | — | — | ||||||||
Total dividends and distributions | (0.26 | ) | (0.27 | ) | — | |||||||
Net Asset Value, End of Year/Period | $ | 10.48 | $ | 9.93 | $ | 9.93 | ||||||
Total Return* | 8.14 | % | (1.18 | )% | 3.50 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of year/period (000s) | $ | 568 | $ | 380 | $ | 397 | ||||||
Ratio of gross operating expenses to average net assets (4) | 2.08 | % | 2.62 | % | 3.12 | % (3) | ||||||
Ratio of net operating expenses to average net assets (4) | 0.79 | % | 0.65 | % | 0.32 | % (3) | ||||||
Ratio of net investment income after expenses reimbursement/recoupment to average net assets (4) | 2.20 | % | 2.84 | % | 0.51 | % (3) | ||||||
Portfolio Turnover Rate | 8 | % | 69 | % | 0 | % (5) |
(1) | Commencement of offering. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(3) | Annualized for periods less than one year. |
(4) | Does not include the expenses of exchange traded funds in which the Fund invests. |
(5) | Not annualized. |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
158
FINANCIAL HIGHLIGHTS (For a share outstanding throughout the year/period) |
Moderately Conservative Balanced Allocation Portfolio - Class I Shares | ||||||||||||
For the Period | ||||||||||||
December 29, | ||||||||||||
Year Ended | Year Ended | 2017 (1) to | ||||||||||
August 31, | August 31, | August 31, | ||||||||||
2020 | 2019 | 2018 | ||||||||||
Net Asset Value, Beginning of Year/Period | $ | 9.94 | $ | 10.25 | $ | 10.00 | ||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net investment income (2) | 0.24 | 0.26 | 0.04 | |||||||||
Net realized and unrealized gain (loss) | 0.53 | (0.31 | ) | 0.21 | ||||||||
Total from investment operations | 0.77 | (0.05 | ) | 0.25 | ||||||||
Dividends and Distributions: | ||||||||||||
Dividends from net investment income | (0.26 | ) | (0.26 | ) | — | |||||||
Distributions from realized gains | (0.09 | ) | — | — | ||||||||
Total dividends and distributions | (0.35 | ) | (0.26 | ) | — | |||||||
Net asset, end of year/period (000s) | $ | 10.36 | $ | 9.94 | $ | 10.25 | ||||||
Total Return * | 7.84 | % | (0.19 | )% | 2.50 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of year/period (000s) | $ | 836 | $ | 741 | $ | 743 | ||||||
Ratio of gross operating expenses to average net assets (4) | 1.85 | % | 2.30 | % | 2.37 | % (3) | ||||||
Ratio of net operating expenses to average net assets (4) | 0.79 | % | 0.67 | % | 0.41 | % (3) | ||||||
Ratio of net investment income after expense reimbursement/recoupment to average net assets (4) | 2.46 | % | 2.67 | % | 0.58 | % (3) | ||||||
Portfolio Turnover Rate | 11 | % | 57 | % | 0 | % (5) |
(1) | Commencement of offering. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(3) | Annualized for periods less than one year. |
(4) | Does not include the expenses of exchange traded funds in which the Fund invests. |
(5) | Not annualized. |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
159
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
James Alpha Macro Portfolio - Class I Shares (Consolidated) | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 9.95 | $ | 9.15 | $ | 9.16 | $ | 9.34 | $ | 10.24 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (1) | 0.13 | 0.09 | 0.10 | 0.03 | (0.08 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (0.57 | ) | 0.71 | (0.11 | ) | (0.21 | ) | (0.59 | ) | |||||||||||
Total from investment operations | (0.44 | ) | 0.80 | (0.01 | ) | (0.18 | ) | (0.67 | ) | |||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.77 | ) | — | — | — | (0.23 | ) | |||||||||||||
Distributions from return of capital | (0.00 | ) ** | — | — | — | — | ||||||||||||||
Total dividends and distributions | (0.77 | ) | — | — | — | (0.23 | ) | |||||||||||||
Redemption Fees | — | — | ** | — | — | ** | — | ** | ||||||||||||
Net Asset Value, End of Year | $ | 8.74 | $ | 9.95 | $ | 9.15 | $ | 9.16 | $ | 9.34 | ||||||||||
Total Return* | (4.58 | )% | 8.74 | % | (0.11 | )% | (1.93 | )% | (6.71 | )% | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 6,020 | $ | 7,187 | $ | 6,849 | $ | 8,448 | $ | 11,581 | ||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2) | 2.57 | % | 2.46 | % | 2.36 | % | 2.36 | % | 1.87 | % | ||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3) | 1.45 | % | 1.28 | % | 1.30 | % | 1.25 | % | 1.25 | % | ||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | 1.50 | % | 1.00 | % | 1.03 | % | 0.36 | % | (0.81 | )% | ||||||||||
Portfolio Turnover Rate | 125 | % | 133 | % | 103 | % | 83 | % | 241 | % | ||||||||||
James Alpha Global Real Estate Investments Portfolio - Class I Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 18.42 | $ | 19.29 | $ | 19.46 | $ | 19.42 | $ | 19.10 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (1) | 0.28 | 0.17 | 0.41 | 0.34 | 0.48 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.54 | ) | 0.66 | 1.27 | 1.58 | 1.76 | ||||||||||||||
Total from investment operations | (0.26 | ) | 0.83 | 1.68 | 1.92 | 2.24 | ||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.32 | ) | (0.68 | ) | (0.74 | ) | (0.33 | ) | (0.73 | ) | ||||||||||
Distributions from realized gains | (1.65 | ) | (1.02 | ) | (1.11 | ) | (1.55 | ) | (1.19 | ) | ||||||||||
Total dividends and distributions | (1.97 | ) | (1.70 | ) | (1.85 | ) | (1.88 | ) | (1.92 | ) | ||||||||||
Redemption Fees | — | — | — | — | ** | — | ** | |||||||||||||
Net Asset Value, End of Year | $ | 16.19 | $ | 18.42 | $ | 19.29 | $ | 19.46 | $ | 19.42 | ||||||||||
Total Return* | (1.51 | )% | 5.06 | % | 9.22 | % | 10.82 | % | 12.50 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 544,432 | $ | 643,866 | $ | 591,437 | $ | 314,904 | $ | 273,275 | ||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (4) | 1.35 | % | 1.33 | % | 1.37 | % | 1.68 | % | 1.76 | % | ||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (5) | 1.19 | % | 1.19 | % | 1.19 | % | 1.43 | % | 1.49 | % | ||||||||||
Ratio of net investment income after expense reimbursement/recoupment to average net assets | 1.68 | % | 0.93 | % | 2.13 | % | 1.79 | % | 2.51 | % | ||||||||||
Portfolio Turnover Rate | 187 | % | 172 | % | 204 | % | 141 | % | 149 | % |
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(2) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Macro Portfolio: |
2.53 | % | 2.43 | % | 2.31 | % | 2.36 | % | 1.87 | % |
(3) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Macro Portfolio: |
1.41 | % | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % |
(4) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Global Real Estate Portfolio: |
1.35 | % | 1.33 | % | 1.37 | % | 1.68 | % | 1.76 | % |
(5) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Global Real Estate Portfolio: |
1.19 | % | 1.19 | % | 1.19 | % | 1.43 | % | 1.49 | % |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
160
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
James Alpha Multi Strategy Alternative Income Portfolio - Class I Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 9.10 | $ | 9.62 | $ | 8.88 | $ | 9.09 | $ | 9.44 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (1) | 0.03 | 0.05 | 0.01 | — | 0.06 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.57 | (0.22 | ) | 1.10 | 0.16 | (0.27 | ) | |||||||||||||
Total from investment operations | 0.60 | (0.17 | ) | 1.11 | 0.16 | (0.21 | ) | |||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.29 | ) | (0.19 | ) | — | — | ** | (0.01 | ) | |||||||||||
Distributions from realized gains | — | — | — | (0.20 | ) | (0.08 | ) | |||||||||||||
Distributions from return of capital | — | (0.16 | ) | (0.37 | ) | (0.17 | ) | (0.05 | ) | |||||||||||
Total dividends and distributions | (0.29 | ) | (0.35 | ) | (0.37 | ) | (0.37 | ) | (0.14 | ) | ||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 9.41 | $ | 9.10 | $ | 9.62 | $ | 8.88 | $ | 9.09 | ||||||||||
Total Return * | 6.90 | % | (1.66 | )% | 12.88 | % | 1.75 | % | (2.10 | )% | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year (000s) | $ | 12,625 | $ | 11,815 | $ | 12,034 | $ | 13,380 | $ | 14,886 | ||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2,7) | 4.50 | % | 4.53 | % | 4.11 | % | 3.78 | % | 3.47 | % | ||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3,7) | 2.97 | % | 3.14 | % | 3.38 | % | 3.26 | % | 2.96 | % | ||||||||||
Ratio of net investment income (loss) (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets (7) | 0.32 | % | 0.52 | % | 0.14 | % | (0.02 | )% | 0.70 | % | ||||||||||
Portfolio Turnover Rate | 185 | % | 414 | % | 183 | % | 118 | % | 124 | % | ||||||||||
James Alpha Managed Risk Domestic Equity Portfolio - Class I Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 10.53 | $ | 10.90 | $ | 10.41 | $ | 9.98 | $ | 9.58 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment loss (2) | (0.03 | ) | (0.10 | ) | (0.06 | ) | (0.04 | ) | (0.01 | ) | ||||||||||
Net realized and unrealized gain (loss) | 0.72 | 0.76 | 0.82 | 0.47 | 0.45 | |||||||||||||||
Total from investment operations | 0.69 | 0.66 | 0.76 | 0.43 | 0.44 | |||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | (0.34 | ) | (0.27 | ) | (0.01 | ) | (0.04 | ) | |||||||||||
Distributions from realized gains | (0.26 | ) | (0.69 | ) | — | — | — | |||||||||||||
Total dividends and distributions | (0.26 | ) | (1.03 | ) | (0.27 | ) | (0.01 | ) | (0.04 | ) | ||||||||||
Redemption Fees | — | — | — | 0.01 | — | ** | ||||||||||||||
Net Asset Value, End of Year | $ | 10.96 | $ | 10.53 | $ | 10.90 | $ | 10.41 | $ | 9.98 | ||||||||||
Total Return * | 6.69 | % (8) | 6.68 | % (8) | 7.40 | % | 4.42 | % | 4.58 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 41,145 | $ | 19,673 | $ | 3,742 | $ | 4,705 | $ | 5,471 | ||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (6,10) | 1.82 | % | 1.99 | % | 2.25 | % | 2.96 | % | 2.35 | % | ||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (7,10) | 1.81 | % | 1.86 | % | 2.30 | % | 2.21 | % | 2.07 | % | ||||||||||
Ratio of net investment loss (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets (10) | (0.29 | )% | (0.93 | )% | (0.61 | )% | (0.37 | )% | (0.15 | )% | ||||||||||
Portfolio Turnover Rate | 173 | % | 245 | % | 84 | % | 11 | % | 7 | % |
(1) | Commencement of offering. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(3) | Annualized for periods less than one year. |
(4) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Multi Strategy Alternative Income Portfolio: |
3.52 | % | 3.55 | % | 3.23 | % | 3.02 | % | 3.02 | % |
(5) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Multi Strategy Alternative Income Portfolio: |
1.99 | % | 2.16 | % | 2.50 | % | 2.50 | % | 2.50 | % |
(6) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Managed Risk Domestic Equity Portfolio: |
1.79 | % | 1.95 | % | 1.93 | % | 2.74 | % | 2.27 | % |
(7) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Managed Risk Domestic Equity Portfolio: |
1.79 | % | 1.82 | % | 1.99 | % | 1.99 | % | 1.99 | % |
(8) | Includes adjustments in accordance with accounting principles generally accepted in the United States and consequently, the net asset value for financial purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(9) | Not annualized |
(10) | Does not include the expenses of exchange traded funds in which the Fund invests. |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
161
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
James Alpha Managed Risk Emerging Markets Equity Portfolio - Class I Shares | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 8.43 | $ | 9.56 | $ | 10.24 | $ | 9.53 | $ | 9.41 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (2) | 0.09 | 0.04 | (0.01 | ) | (0.09 | ) | 0.01 | |||||||||||||
Net realized and unrealized gain (loss) | (0.08 | ) | (0.03 | ) | 0.08 | 0.82 | 0.25 | |||||||||||||
Total from investment operations | 0.01 | 0.01 | 0.07 | 0.73 | 0.26 | |||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | (0.04 | ) | (0.75 | ) | (0.02 | ) | (0.08 | ) | |||||||||||
Distributions from realized gains | — | (1.10 | ) | — | — | (0.06 | ) | |||||||||||||
Distributions from return of capital | — | — | — | — | — | |||||||||||||||
Total dividends and distributions | — | (1.14 | ) | (0.75 | ) | (0.02 | ) | (0.14 | ) | |||||||||||
Redemption Fees | — | — | — | — | — | ** | ||||||||||||||
Net Asset Value, End of Year | $ | 8.44 | $ | 8.43 | $ | 9.56 | $ | 10.24 | $ | 9.53 | ||||||||||
Total Return * | 0.12 | % (10) | 0.23 | % (10) | 0.61 | % | 7.65 | % | 2.78 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 2,664 | $ | 4,066 | $ | 5,432 | $ | 8,694 | $ | 8,103 | ||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (5,9) | 2.93 | % | 2.72 | % | 2.38 | % | 2.50 | % | 2.36 | % | ||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (6,9) | 1.92 | % | 2.01 | % | 2.14 | % | 2.24 | % | 2.13 | % | ||||||||||
Ratio of net investment income (loss) (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets (9) | 1.04 | % | 0.44 | % | (0.05 | )% | (0.96 | )% | 0.03 | % | ||||||||||
Portfolio Turnover Rate | 519 | % | 694 | % | 335 | % | 152 | % | 15 | % | ||||||||||
James Alpha Hedged High Income Portfolio - Class I Shares | ||||||||||||||||||||
For the Fiscal | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | ||||||||||||||||
August 31, | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||
Net Asset Value, Beginning of Year | $ | 9.07 | $ | 9.27 | $ | 9.46 | $ | 9.10 | $ | 9.16 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (2) | 0.35 | 0.37 | 0.40 | 0.47 | 0.36 | |||||||||||||||
Net realized and unrealized (loss) | (0.23 | ) | (0.18 | ) | (0.18 | ) | 0.32 | (0.06 | ) | |||||||||||
Total from investment operations | 0.12 | 0.19 | 0.22 | 0.79 | 0.30 | |||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.35 | ) | (0.33 | ) | (0.37 | ) | (0.43 | ) | (0.36 | ) | ||||||||||
Distributions from realized gains | — | — | — | — | — | |||||||||||||||
Distributions from return of capital | (0.05 | ) | (0.06 | ) | (0.04 | ) | — | — | ||||||||||||
Total dividends and distributions | (0.40 | ) | (0.39 | ) | (0.41 | ) | (0.43 | ) | (0.36 | ) | ||||||||||
Redemption Fees | — | — | — | — | — | |||||||||||||||
Net Asset Value, End of Year | $ | 8.79 | $ | 9.07 | $ | 9.27 | $ | 9.46 | $ | 9.10 | ||||||||||
Total Return* | 1.45 | % | 2.36 | % (10) | 2.36 | % (10) | 8.86 | % (10) | 3.49 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 13,601 | $ | 24,647 | $ | 24,647 | $ | 16,820 | $ | 13,261 | ||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (7,9) | 2.86 | % | 2.45 | % | 2.45 | % | 2.70 | % | 3.38 | % (3) | ||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (8,9) | 2.11 | % | 2.04 | % | 2.04 | % | 1.99 | % | 1.99 | % (3) | ||||||||||
Ratio of net investment income (loss) (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets (9) | 3.93 | % | 4.37 | % | 4.37 | % | 5.07 | % | 4.95 | % (3) | ||||||||||
Portfolio Turnover Rate | 277 | % | 171 | % | 171 | % | 106 | % | 66 | % (4) |
(1) | Commencement of offering. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(3) | Annualized for periods less than one year. |
(4) | Not annualized |
(5) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Managed Risk Emerging Markets Equity Portfolio: |
2.80 | % | 2.59 | % | 2.23 | % | 2.25 | % | 2.21 | % (3) |
(6) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Managed Risk Emerging Markets Equity Portfolio: |
1.79 | % | 1.87 | % | 1.99 | % | 1.99 | % | 1.98 | % (3) |
(7) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Hedged High Income Portfolio: |
2.60 | % | 1.95 | % | 1.93 | % | 2.74 | % | 2.27 | % (3) |
(8) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Hedged High Income Portfolio: |
1.85 | % | 1.82 | % | 1.99 | % | 1.99 | % | 1.99 | % (3) |
(9) | Does not include the expenses of exchange traded funds in which the Fund invests. |
(10) | 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. |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
162
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
James Alpha Macro Portfolio - Class S Shares (Consolidated) | ||||||||||||||||
For the Period | ||||||||||||||||
August 17, | ||||||||||||||||
Year Ended | Year Ended | Year Ended | 2017 (1) to | |||||||||||||
August 31, | August 31, | August 31, | August 31, | |||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 9.97 | $ | 9.16 | $ | 9.17 | $ | 9.05 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (2) | 0.18 | 0.10 | 0.13 | 0.00 | ** | |||||||||||
Net realized and unrealized gain (loss) | (0.58 | ) | 0.71 | (0.14 | ) | 0.12 | ||||||||||
Total from investment operations | (0.40 | ) | 0.81 | (0.01 | ) | 0.12 | ||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.77 | ) | — | — | — | |||||||||||
Distributions from return of capital | (0.00 | ) ** | — | — | — | |||||||||||
Total dividends and distributions | (0.77 | ) | — | — | — | |||||||||||
Redemption Fees | — | — | ** | — | ** | — | ** | |||||||||
Net Asset Value, End of Year/Period | $ | 8.80 | $ | 9.97 | $ | 9.16 | $ | 9.17 | ||||||||
Total Return* | (4.15 | )% | 8.84 | % | (0.11 | )% | 1.33 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 2,885 | $ | 3,550 | $ | 4,636 | $ | 109 | ||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2) | 2.57 | % | 2.41 | % | 2.39 | % | 2.36 | % (6) | ||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3) | 0.98 | % | 1.20 | % | 1.30 | % | 1.25 | % (6) | ||||||||
Ratio of net investment income after expense reimbursement/recoupment to average net assets | 1.97 | % | 1.08 | % | 1.39 | % | 0.36 | % (6) | ||||||||
Portfolio Turnover Rate | 125 | % | 133 | % | 103 | % | 83 | % (7) | ||||||||
James Alpha Global Real Estate Investments Portfolio - Class S Shares | ||||||||||||||||
For the Period | ||||||||||||||||
August 17, | ||||||||||||||||
Year Ended | Year Ended | Year Ended | 2017 (1) to | |||||||||||||
August 31, | August 31, | August 31, | August 31, | |||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 18.55 | $ | 19.35 | $ | 19.46 | $ | 19.30 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss) (2) | 0.31 | 0.22 | 0.42 | (0.36 | ) | |||||||||||
Net realized and unrealized gain | (0.54 | ) | 0.69 | 1.32 | 0.52 | |||||||||||
Total from investment operations | (0.23 | ) | 0.91 | 1.74 | 0.16 | |||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.32 | ) | (0.69 | ) | (0.74 | ) | — | |||||||||
Distributions from realized gains | (1.65 | ) | (1.02 | ) | (1.11 | ) | — | |||||||||
Total dividends and distributions | (1.97 | ) | (1.71 | ) | (1.85 | ) | — | |||||||||
Redemption Fees | — | — | — | ** | — | ** | ||||||||||
Net Asset Value, End of Year/Period | $ | 16.35 | $ | 18.55 | $ | 19.35 | $ | 19.46 | ||||||||
Total Return* | (1.32 | )% | 5.44 | % | 9.54 | % | 0.83 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 31,355 | $ | 12,238 | $ | 21,284 | $ | 285 | ||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (4) | 1.36 | % | 1.33 | % | 1.37 | % | 1.68 | % (6) | ||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (5) | 1.00 | % | 0.88 | % | 0.90 | % | 1.19 | % (6) | ||||||||
Ratio of net investment income after expense reimbursement/recoupment to average net assets | 1.86 | % | 1.20 | % | 2.23 | % | 1.79 | % (6) | ||||||||
Portfolio Turnover Rate | 187 | % | 172 | % | 204 | % | 141 | % (7) |
(1) | Commencement of offering. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(3) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Macro Portfolio: |
2.53 | % | 2.38 | % | 2.30 | % | 2.36 | % (6) |
(4) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Macro Portfolio: |
0.94 | % | 1.17 | % | 1.20 | % | 1.25 | % (6) |
(5) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Global Real Estate Portfolio: |
1.36 | % | 1.33 | % | 1.37 | % | 1.68 | % (6) |
(6) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Global Real Estate Portfolio: |
1.00 | % | 0.88 | % | 0.90 | % | 1.19 | % (6) |
(7) | Annualized for periods less than one year. |
(8) | Not annualized |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
163
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
James Alpha Multi Strategy Alternative Income Portfolio - Class S Shares | ||||||||||||||||
For the Period | ||||||||||||||||
August 17, | ||||||||||||||||
Year Ended | Year Ended | Year Ended | 2017 (1) to | |||||||||||||
August 31, | August 31, | August 31, | August 31, | |||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 9.17 | $ | 9.67 | $ | 8.87 | $ | 8.73 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss) (2) | 0.07 | 0.07 | 0.06 | (0.01 | ) | |||||||||||
Net realized and unrealized gain (loss) | 0.59 | (0.22 | ) | 1.11 | 0.15 | |||||||||||
Total from investment operations | 0.66 | (0.15 | ) | 1.17 | 0.14 | |||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.29 | ) | (0.19 | ) | — | — | ||||||||||
Distributions from realized gains | — | — | — | |||||||||||||
Distributions from return of capital | — | (0.16 | ) | (0.37 | ) | — | ||||||||||
Total dividends and distributions | (0.29 | ) | (0.35 | ) | (0.37 | ) | — | |||||||||
Net Asset Value, End of Year/Period | $ | 9.54 | $ | 9.17 | $ | 9.67 | $ | 8.87 | ||||||||
Total Return * | 7.51 | % | (1.44 | )% | 13.59 | % | 1.60 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 734 | $ | 1,511 | $ | 3,206 | $ | 89 | ||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (4,9) | 4.50 | % | 4.45 | % | 4.34 | % | 3.78 | % (3) | ||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (5,9) | 2.47 | % | 2.87 | % | 3.08 | % | 3.26 | % (3) | ||||||||
Ratio of net investment income (loss) (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets (9) | 0.87 | % | 0.75 | % | 0.66 | % | (0.02 | )% (3) | ||||||||
Portfolio Turnover Rate | 185 | % | 414 | % | 183 | % | 118 | % (8) | ||||||||
James Alpha Managed Risk Domestic Equity Portfolio - Class S Shares | ||||||||||||||||
For the Period | ||||||||||||||||
August 17, | ||||||||||||||||
Year Ended | Year Ended | Year Ended | 2017 (1) to | |||||||||||||
August 31, | August 31, | August 31, | August 31, | |||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.64 | $ | 10.95 | $ | 10.38 | $ | 10.30 | ||||||||
Income from Investment Operations: | ||||||||||||||||
Net investment loss (2) | 0.02 | — | (0.01 | ) | (0.08 | ) | ||||||||||
Net realized and unrealized gain | 0.73 | 0.72 | 0.85 | 0.16 | ||||||||||||
Total from investment operations | 0.75 | 0.72 | 0.84 | 0.08 | ||||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | — | (0.34 | ) | (0.27 | ) | — | ||||||||||
Distributions from realized gains | (0.26 | ) | (0.69 | ) | — | — | ||||||||||
Total dividends and distributions | (0.26 | ) | (1.03 | ) | (0.27 | ) | — | |||||||||
Redemption Fees | — | — | — | ** | 0.00 | ** | ||||||||||
Net Asset Value, End of Year/Period | $ | 11.13 | $ | 10.64 | $ | 10.95 | $ | 10.38 | ||||||||
Total Return * | 7.19 | % | 7.23 | % | 8.21 | % | 0.78 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 9,702 | $ | 13,365 | $ | 21,023 | $ | 369 | ||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (6,9) | 1.81 | % | 1.94 | % | 2.22 | % | 2.96 | % (3) | ||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (7,9) | 1.36 | % | 1.33 | % | 1.62 | % | 2.21 | % (3) | ||||||||
Ratio of net investment loss (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets (9) | 0.16 | % | (0.03 | )% | (0.13 | )% | (0.37 | )% (3) | ||||||||
Portfolio Turnover Rate | 173 | % | 245 | % | 84 | % | 11 | % (8) |
(1) | Commencement of offering. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(3) | Annualized for periods less than one year. |
(4) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Multi Strategy Alternative Income Portfolio: |
3.52 | % | 3.47 | % | 3.34 | % | 3.02 | % (3) |
(5) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Multi Strategy Alternative Income Portfolio: |
1.49 | % | 1.89 | % | 2.09 | % | 2.50 | % (3) |
(6) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Managed Risk Domestic Equity Portfolio: |
1.78 | % | 1.90 | % | 1.89 | % | 2.74 | % (3) |
(7) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Managed Risk Domestic Equity Portfolio: |
1.34 | % | 1.30 | % | 1.29 | % | 1.99 | % (3) |
(8) | Not annualized |
(9) | Does not include the expenses of exchange traded funds in which the Fund invests. |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
164
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
James Alpha Managed Risk Emerging Markets Equity Portfolio - Class S Shares | ||||||||||||||||
For the Period | ||||||||||||||||
August 17, | ||||||||||||||||
Year Ended | Year Ended | Year Ended | 2017 (1) to | |||||||||||||
August 31, | August 31, | August 31, | August 31, | |||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||
Net Asset Value, Beginning of Year | $ | 8.47 | $ | 9.58 | $ | 10.22 | $ | 10.10 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss) (2) | 0.12 | 0.01 | (0.03 | ) | (0.01 | ) | ||||||||||
Net realized and unrealized gain (loss) | (0.07 | ) | 0.02 | 0.14 | 0.13 | |||||||||||
Total from investment operations | 0.05 | 0.03 | 0.11 | 0.12 | ||||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | — | (0.04 | ) | (0.75 | ) | — | ||||||||||
Distributions from realized gains | — | (1.10 | ) | — | — | |||||||||||
Distributions from return of capital | — | — | — | — | ||||||||||||
Total dividends and distributions | — | (1.14 | ) | (0.75 | ) | — | ||||||||||
Redemption Fees | — | — | — | — | ** | |||||||||||
Net Asset Value, End of Year | $ | 8.52 | $ | 8.47 | $ | 9.58 | $ | 10.22 | ||||||||
Total Return * | 0.59 | % | 0.45 | % + | 1.02 | % | 1.19 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 1,296 | $ | 1,857 | $ | 2,391 | $ | 46 | ||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (5,9) | 2.94 | % | 2.78 | % | 2.48 | % | 2.50 | % (3) | ||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (6,9) | 1.47 | % | 1.77 | % | 1.88 | % | 2.24 | % (3) | ||||||||
Ratio of net investment income (loss) (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets (9) | 1.48 | % | 0.23 | % | (0.30 | )% | (0.96 | )% (3) | ||||||||
Portfolio Turnover Rate | 519 | % | 694 | % | 335 | % | 152 | % (4) | ||||||||
James Alpha Hedged High Income Portfolio - Class S Shares | ||||||||||||||||
For the Period | ||||||||||||||||
August 17, | ||||||||||||||||
Year Ended | Year Ended | Year Ended | 2017 (1) to | |||||||||||||
August 31, | August 31, | August 31, | August 31, | |||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||
Net Asset Value, Beginning of Year | $ | 9.17 | $ | 9.33 | $ | 9.47 | $ | 9.48 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (2) | 0.39 | 0.41 | 0.46 | 0.01 | ||||||||||||
Net realized and unrealized (loss) | (0.22 | ) | (0.18 | ) | (0.19 | ) | (0.02 | ) | ||||||||
Total from investment operations | 0.17 | 0.23 | 0.27 | (0.01 | ) | |||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.34 | ) | (0.33 | ) | (0.37 | ) | — | |||||||||
Distributions from realized gains | — | — | — | — | ||||||||||||
Distributions from return of capital | (0.06 | ) | (0.06 | ) | (0.04 | ) | — | |||||||||
Total dividends and distributions | (0.40 | ) | (0.39 | ) | (0.41 | ) | — | |||||||||
Redemption Fees | — | — | — | — | ** | |||||||||||
Net Asset Value, End of Year | $ | 8.94 | $ | 9.17 | $ | 9.33 | $ | 9.47 | ||||||||
Total Return* | 1.99 | % | 2.63 | % | 2.89 | % | (0.11 | )% | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 15,584 | $ | 23,374 | $ | 39,016 | $ | 621 | ||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (7,9) | 2.85 | % | 2.78 | % | 2.50 | % | 2.70 | % (3) | ||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (8,9) | 1.64 | % | 1.68 | % | 1.51 | % | 1.99 | % (3) | ||||||||
Ratio of net investment income (loss) (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets (9) | 4.34 | % | 4.48 | % | 4.74 | % | 5.07 | % (3) | ||||||||
Portfolio Turnover Rate | 277 | % | 195 | % | 171 | % | 106 | % (4) |
(1) | Commencement of offering. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(3) | Annualized for periods less than one year. |
(4) | Not annualized |
(5) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Managed Risk Emerging Markets Equity Portfolio: |
2.81 | % | 2.65 | % | 2.33 | % | 2.25 | % (3) |
(6) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Managed Risk Emerging Markets Equity Portfolio: |
1.34 | % | 1.63 | % | 1.73 | % | 1.99 | % (3) |
(7) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Hedged High Income Portfolio: |
2.60 | % | 2.49 | % | 2.35 | % | 2.70 | % (3) |
(8) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Hedged High Income Portfolio: |
1.39 | % | 1.39 | % | 1.35 | % | 1.99 | % (3) |
(9) | Does not include the expenses of exchange traded funds in which the Fund invests. |
+ | 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. |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
165
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees
of Saratoga Advantage Trust
Opinion on the Financial Statements
We have audited the accompanying consolidated statements of assets and liabilities of the James Alpha Macro Portfolio, a series of the Saratoga Advantage Trust (the “Trust”), including the consolidated schedule of investments as of August 31, 2020, and the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets and the consolidated financial highlights for each of the periods indicated in the table below, and the related notes (collectively referred to as the “consolidated financial statements”).
We have also audited the accompanying statements of assets and liabilities of Large Capitalization Value Portfolio, Large Capitalization Growth Portfolio, Mid Capitalization Portfolio, Small Capitalization Portfolio, International Equity Portfolio, Health and Biotechnology Portfolio, Technology and Communications Portfolio, Energy and Basic Materials Portfolio, Financial Services Portfolio, Investment Quality Bond Portfolio, Municipal Bond Portfolio, U.S. Government Money Market Portfolio, Aggressive Balanced Allocation Portfolio, Conservative Balanced Allocation Portfolio, Moderate Balanced Allocation Portfolio, Moderately Aggressive Balanced Allocation Portfolio, Moderately Conservative Balanced Allocation Portfolio, James Alpha Global Real Estate Investments Portfolio, James Alpha Multi Strategy Alternative Income Portfolio, James Alpha Managed Risk Domestic Equity Portfolio, James Alpha Managed Risk Emerging Markets Equity Portfolio, and James Alpha Hedged High Income Portfolio, (collectively, along with the James Alpha Macro Portfolio, referred to as the “Funds”) each a series of the Saratoga Advantage Trust, including the schedules of investments, as of August 31, 2020, the related statements of operations, the statement of changes in net assets and the financial highlights for each of the periods indicated in the table below, and the related notes (collectively referred to as the “financial statements”) . In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of August 31, 2020, the results of their operations, the changes in their net assets and their financial highlights for each of the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.
Individual Funds | |||
constituting | Consolidated | ||
Saratoga Advantage | Statement of | Consolidated Statements of | |
Trust | Operations | Changes in Net Assets | Consolidated Financial Highlights |
James Alpha Macro Portfolio | For the year ended August 31, 2020 | For each of the two years in the period ended August 31, 2020 | For each of the five years in the period ended August 31, 2020 |
166
To the Shareholders and Board of Trustees
of Saratoga Advantage Trust
Page Two
Individual Funds | |||
constituting | |||
Saratoga Advantage | Statement of | Statements of | |
Trust | Operations | Changes in Net Assets | Financial Highlights |
Large Capitalization Value Portfolio, Large Capitalization Growth Portfolio, Mid Capitalization Portfolio, Small Capitalization Portfolio, International Equity Portfolio, Health and Biotechnology Portfolio, Technology and Communications Portfolio, Energy and Basic Materials Portfolio, Financial Services Portfolio, Investment Quality Bond Portfolio, Municipal Bond Portfolio, U.S. Government Money Market Portfolio, James Alpha Global Real Estate Investments Portfolio, James Alpha Multi Strategy Alternative Income Portfolio, James Alpha Managed Risk Domestic Equity Portfolio, James Alpha Managed Risk Emerging Markets Equity Portfolio, and James Alpha Hedged High Income Portfolio | For the year ended August 31, 2020 | For each of the two years in the period ended August 31, 2020 | For each of the five years in the period ended August 31, 2020 |
Aggressive Balanced Allocation Portfolio, Conservative Balanced Allocation Portfolio, Moderate Balanced Allocation Portfolio, Moderately Aggressive Balanced Allocation Portfolio, Moderately Conservative Balanced Allocation Portfolio | For the year ended August 31, 2020 | For each of the two years in the period ended August 31, 2020 | For each of the two years in the period ended August 31, 2020 and for the period from December 29, 2017 (commencement of operations) through August 31, 2018 |
Basis for Opinion
These consolidated financial statements and financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ consolidated financial statements and financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We have served as the auditor of one or more of the funds in the Trust since 2003.
167
To the Shareholders and Board of Trustees
of Saratoga Advantage Trust
Page Three
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the consolidated financial statements and financial statements are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of the Funds’ internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements and financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements and financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements and financial statements. Our procedures included confirmation of securities owned as of August 31, 2020 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
TAIT, WELLER & BAKER LLP
Philadelphia, Pennsylvania
October 30, 2020
168
SUPPLEMENTAL INFORMATION (Unaudited) |
Shareholders of funds will pay ongoing expenses, such as advisory fees, distribution and services fees (12b-1 fees), and other fund expenses. The following examples are intended to help the shareholder understand the ongoing cost (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note, the expenses shown in the tables are meant to highlight ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges (CDSCs) on redemptions.
This example is based on an investment of $1,000 invested at the beginning of the period and held for the six-month period from March 1, 2020, through August 31, 2020.
Actual Expenses: The first table provides information about actual account values and actual expenses. The shareholder may use the information in this line, together with the amount invested, to estimate the expenses that would be paid over the period. Simply divide account value by $ 1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid” to estimate the expenses paid on the account during the period.
Beginning Account | Ending Account | Expense Paid | Expense Ratio | |||||
Value - 3/1/2020 | Value - 8/31/2020 | 3/1/2019 - 8/31/2020* | [Annualized] | |||||
Actual Expenses - Table 2: | ||||||||
Large Capitalization Value – Class I | $1,000.00 | $998.60 | $4.87 | 0.97% | ||||
Large Capitalization Value – Class A | 1,000.00 | 988.50 | 4.73 | 0.94% | ||||
Large Capitalization Value – Class C | 1,000.00 | 994.20 | 8.22 | 1.64% | ||||
Large Capitalization Growth – Class I | 1,000.00 | 956.30 | 4.91 | 1.00% | ||||
Large Capitalization Growth – Class A | 1,000.00 | 946.80 | 5.46 | 1.11% | ||||
Large Capitalization Growth – Class C | 1,000.00 | 952.50 | 8.26 | 1.68% | ||||
Mid Capitalization – Class I | 1,000.00 | 968.70 | 5.40 | 1.09% | ||||
Mid Capitalization – Class A | 1,000.00 | 965.10 | 6.04 | 1.22% | ||||
Mid Capitalization – Class C | 1,000.00 | 959.00 | 7.56 | 1.53% | ||||
Small Capitalization – Class I | 1,000.00 | 845.90 | 5.14 | 1.10% | ||||
Small Capitalization – Class A | 1,000.00 | 838.70 | 8.93 | 1.93% | ||||
Small Capitalization – Class C | 1,000.00 | 842.40 | 6.37 | 1.37% | ||||
International Equity – Class I | 1,000.00 | 1,018.20 | 6.36 | 1.25% | ||||
International Equity – Class A | 1,000.00 | 1,016.00 | 8.38 | 1.65% | ||||
International Equity – Class C | 1,000.00 | 1,012.60 | 11.45 | 2.26% | ||||
Health & Biotechnology – Class I | 1,000.00 | 1,072.70 | 9.89 | 1.89% | ||||
Health & Biotechnology – Class A | 1,000.00 | 1,070.60 | 11.97 | 2.29% | ||||
Health & Biotechnology – Class C | 1,000.00 | 1,067.40 | 15.08 | 2.89% | ||||
Technology & Communications – Class I | 1,000.00 | 1,307.00 | 9.77 | 1.68% | ||||
Technology & Communications – Class A | 1,000.00 | 1,304.40 | 12.08 | 2.08% | ||||
Technology & Communications – Class C | 1,000.00 | 1,300.70 | 15.53 | 2.68% | ||||
Energy & Basic Materials – Class I | 1,000.00 | 937.40 | 14.65 | 3.00% | ||||
Energy & Basic Materials – Class A | 1,000.00 | 935.00 | 16.58 | 3.40% | ||||
Energy & Basic Materials – Class C | 1,000.00 | 932.00 | 19.48 | 4.00% | ||||
Financial Services – Class I | 1,000.00 | 935.90 | 14.64 | 3.00% | ||||
Financial Services – Class A | 1,000.00 | 933.80 | 16.57 | 3.40% | ||||
Financial Services – Class C | 1,000.00 | 930.80 | 19.53 | 4.01% | ||||
Investment Quality Bond – Class I | 1,000.00 | 1,017.50 | 6.71 | 1.32% | ||||
Investment Quality Bond – Class A | 1,000.00 | 1,014.80 | 8.76 | 1.73% | ||||
Investment Quality Bond – Class C | 1,000.00 | 1,011.80 | 11.79 | 2.33% | ||||
Municipal Bond – Class I | 1,000.00 | 1,002.80 | 8.70 | 1.75% | ||||
Municipal Bond – Class A | 1,000.00 | 1,000.50 | 10.66 | 2.15% | ||||
Municipal Bond – Class C | 1,000.00 | 1,000.50 | 11.30 | 2.28% | ||||
U.S. Government Money Market – Class I | 1,000.00 | 1,010.90 | 6.29 | 1.24% | ||||
U.S. Government Money Market – Class A | 1,000.00 | 1,001.60 | 7.80 | 1.55% | ||||
U.S. Government Money Market – Class C | 1,000.00 | 1,007.00 | 8.63 | 1.71% |
169
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) |
Beginning Account | Ending Account | Expense Paid | Expense Ratio | |||||
Value -3/1/2020 | Value - 8/31/2020 | 3/1/2019 - 8/31/2020* | [Annualized] | |||||
Actual Expenses - Table 2: (Continued) | ||||||||
Aggressive Balanced Allocation - Class I | 1,000.00 | 964.10 | 6.87 | 0.41% | ||||
Aggressive Balanced Allocation - Class A | 1,000.00 | 964.10 | 3.26 | 0.67% | ||||
Aggressive Balanced Allocation - Class C | 1,000.00 | 964.10 | 1.98 | 1.41% | ||||
Conservative Balanced Allocation - Class I | 1,000.00 | 978.70 | 2.07 | 0.42% | ||||
Conservative Balanced Allocation - Class A | 1,000.00 | 978.20 | 3.28 | 0.67% | ||||
Conservative Balanced Allocation - Class C | 1,000.00 | 978.20 | 6.96 | 1.42% | ||||
Moderate Aggressive Balanced Allocation - Class I | 1,000.00 | 961.30 | 2.29 | 0.47% | ||||
Moderate Aggressive Balanced Allocation - Class A | 1,000.00 | 961.30 | 3.50 | 0.72% | ||||
Moderate Aggressive Balanced Allocation - Class C | 1,000.00 | 961.30 | 7.15 | 1.47% | ||||
Moderate Balanced Allocation - Class I | 1,000.00 | 974.40 | 2.25 | 0.46% | ||||
Moderate Balanced Allocation - Class A | 1,000.00 | 974.40 | 3.48 | 0.71% | ||||
Moderate Balanced Allocation - Class C | 1,000.00 | 974.40 | 7.15 | 1.46% | ||||
Moderate Conservative Balanced Allocation - Class I | 1,000.00 | 966.00 | 2.68 | 0.55% | ||||
Moderate Conservative Balanced Allocation - Class A | 1,000.00 | 966.00 | 3.90 | 0.80% | ||||
Moderate Conservative Balanced Allocation - Class C | 1,000.00 | 966.00 | 7.56 | 1.55% | ||||
James Alpha Macro - Class A | 1,000.00 | 979.20 | 7.65 | 1.56% | ||||
James Alpha Macro - Class C | 1,000.00 | 975.90 | 11.33 | 2.31% | ||||
James Alpha Macro - Class I | 1,000.00 | 979.20 | 6.41 | 1.31% | ||||
James Alpha Macro - Class S | 1,000.00 | 980.30 | 0.39 | 1.11% | ||||
James Alpha Global Real Estate Investments - Class A | 1,000.00 | 1,046.70 | 8.35 | 1.62% | ||||
James Alpha Global Real Estate Investments - Class C | 1,000.00 | 1,039.30 | 12.52 | 2.44% | ||||
James Alpha Global Real Estate Investments - Class I | 1,000.00 | 1,050.60 | 6.84 | 1.32% | ||||
James Alpha Global Real Estate Investments - Class S | 1,000.00 | 1,054.40 | 0.29 | 0.80% | ||||
James Alpha Multi Strategy Alternative Income - Class A | 1,000.00 | 967.10 | 17.85 | 3.66% | ||||
James Alpha Multi Strategy Alternative Income - Class C | 1,000.00 | 962.60 | 21.47 | 4.41% | ||||
James Alpha Multi Strategy Alternative Income - Class I | 1,000.00 | 967.40 | 16.66 | 3.41% | ||||
James Alpha Multi Strategy Alternative Income - Class S | 1,000.00 | 969.70 | 1.08 | 3.07% | ||||
James Alpha Managed Risk Domestic Equity - Class A | 1,000.00 | 1,062.60 | 19.99 | 3.84% | ||||
James Alpha Managed Risk Domestic Equity - Class C | 1,000.00 | 1,057.60 | 17.71 | 3.41% | ||||
James Alpha Managed Risk Domestic Equity - Class I | 1,000.00 | 1,069.90 | 39.26 | 7.52% | ||||
James Alpha Managed Risk Domestic Equity - Class S | 1,000.00 | 1,072.30 | 0.40 | 1.09% | ||||
James Alpha Managed Risk Emerging Markets Equity - Class A | 1,000.00 | 1,000.10 | 10.97 | 2.18% | ||||
James Alpha Managed Risk Emerging Markets Equity - Class C | 1,000.00 | 991.80 | 12.80 | 2.55% | ||||
James Alpha Managed Risk Emerging Markets Equity - Class I | 1,000.00 | 1,003.50 | 6.77 | 1.34% | ||||
James Alpha Managed Risk Emerging Markets Equity - Class S | 1,000.00 | 1,006.90 | 0.51 | 1.43% | ||||
James Alpha Hedged High Income - Class A | 1,000.00 | 992.50 | 12.00 | 2.39% | ||||
James Alpha Hedged High Income - Class C | 1,000.00 | 987.60 | 14.98 | 2.99% | ||||
James Alpha Hedged High Income - Class I | 1,000.00 | 995.00 | 9.30 | 1.85% | ||||
James Alpha Hedged High Income - Class S | 1,000.00 | 997.20 | 7.00 | 1.39% |
170
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) |
Hypothetical Examples for Comparison Purposes: The second table below provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid for the period. This information may be used to compare the ongoing costs of investing in the fund and other mutual funds. To do so, a shareholder would compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other mutual funds.
Hypothetical | Beginning Account | Ending Account | Expense Paid | Expense Ratio | ||||
[5% Return Before Expenses] - Table 2: | Value -3/1/2020 | Value - 8/31/2020 | 3/1/2020 - 8/31/2020* | [Annualized] | ||||
Large Capitalization Value – Class I | $1,000.00 | $1,020.34 | $4.92 | 0.97% | ||||
Large Capitalization Value – Class A | 1,000.00 | 1,020.44 | 4.81 | 0.94% | ||||
Large Capitalization Value – Class C | 1,000.00 | 1,016.96 | 8.31 | 1.64% | ||||
Large Capitalization Growth – Class I | 1,000.00 | 1,020.19 | 5.07 | 1.00% | ||||
Large Capitalization Growth – Class A | 1,000.00 | 1,019.59 | 5.67 | 1.11% | ||||
Large Capitalization Growth – Class C | 1,000.00 | 1,016.74 | 8.54 | 1.68% | ||||
Mid Capitalization – Class I | 1,000.00 | 1,019.72 | 5.54 | 1.09% | ||||
Mid Capitalization – Class A | 1,000.00 | 1,019.06 | 6.21 | 1.22% | ||||
Mid Capitalization – Class C | 1,000.00 | 1,017.48 | 7.79 | 1.53% | ||||
Small Capitalization – Class I | 1,000.00 | 1,019.64 | 5.62 | 1.10% | ||||
Small Capitalization – Class A | 1,000.00 | 1,015.49 | 9.79 | 1.93% | ||||
Small Capitalization – Class C | 1,000.00 | 1,018.29 | 6.98 | 1.37% | ||||
International Equity – Class I | 1,000.00 | 1,018.90 | 6.36 | 1.25% | ||||
International Equity – Class A | 1,000.00 | 1,016.89 | 8.39 | 1.65% | ||||
International Equity – Class C | 1,000.00 | 1,013.83 | 11.45 | 2.26% | ||||
Health & Biotechnology – Class I | 1,000.00 | 1,015.66 | 9.62 | 1.89% | ||||
Health & Biotechnology – Class A | 1,000.00 | 1,013.65 | 11.64 | 2.29% | ||||
Health & Biotechnology – Class C | 1,000.00 | 1,010.62 | 14.67 | 2.89% | ||||
Technology & Communications – Class I | 1,000.00 | 1,016.73 | 8.54 | 1.68% | ||||
Technology & Communications – Class A | 1,000.00 | 1,014.72 | 10.56 | 2.08% | ||||
Technology & Communications – Class C | 1,000.00 | 1,011.70 | 13.58 | 2.68% | ||||
Energy & Basic Materials – Class I | 1,000.00 | 1,010.08 | 15.20 | 3.00% | ||||
Energy & Basic Materials – Class A | 1,000.00 | 1,008.06 | 17.21 | 3.40% | ||||
Energy & Basic Materials – Class C | 1,000.00 | 1,005.04 | 20.22 | 4.00% | ||||
Financial Services – Class I | 1,000.00 | 1,010.08 | 15.20 | 3.00% | ||||
Financial Services – Class A | 1,000.00 | 1,008.06 | 17.21 | 3.40% | ||||
Financial Services – Class C | 1,000.00 | 1,004.98 | 20.28 | 4.01% | ||||
Investment Quality Bond – Class I | 1,000.00 | 1,018.56 | 6.71 | 1.32% | ||||
Investment Quality Bond – Class A | 1,000.00 | 1,016.51 | 8.77 | 1.73% | ||||
Investment Quality Bond – Class C | 1,000.00 | 1,013.48 | 11.80 | 2.33% | ||||
Municipal Bond – Class I | 1,000.00 | 1,016.11 | 8.75 | 1.75% | ||||
Municipal Bond – Class A | 1,000.00 | 1,014.14 | 10.73 | 2.15% | ||||
Municipal Bond – Class C | 1,000.00 | 1,013.50 | 11.37 | 2.28% | ||||
U.S. Government Money Market – Class I | 1,000.00 | 1,018.95 | 6.31 | 1.24% | ||||
U.S. Government Money Market – Class A | 1,000.00 | 1,017.41 | 7.87 | 1.55% | ||||
U.S. Government Money Market – Class C | 1,000.00 | 1,016.61 | 8.67 | 1.71% |
171
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) |
Hypothetical | Beginning Account | Ending Account | Expense Paid | Expense Ratio | ||||
[5% Return Before Expenses] - Table 2: | Value -3/1/2020 | Value - 8/31/2020 | 3/1/2020 - 8/31/2020* | [Annualized] | ||||
James Alpha Macro - Class A | 1,000.00 | 1,017.64 | 7.63 | 1.50% | ||||
James Alpha Macro - Class C | 1,000.00 | 1,013.86 | 11.42 | 2.25% | ||||
James Alpha Macro - Class I | 1,000.00 | 1,018.90 | 6.36 | 1.25% | ||||
James Alpha Macro - Class S | 1,000.00 | 1,018.90 | 6.36 | 1.25% | ||||
James Alpha Global Real Estate Investments - Class A | 1,000.00 | 1,015.17 | 10.11 | 1.99% | ||||
James Alpha Global Real Estate Investments - Class C | 1,000.00 | 1,011.75 | 13.54 | 2.67% | ||||
James Alpha Global Real Estate Investments - Class I | 1,000.00 | 1,017.69 | 7.58 | 1.49% | ||||
James Alpha Global Real Estate Investments - Class S | 1,000.00 | 1,019.21 | 7.58 | 1.19% | ||||
James Alpha Multi Strategy Alternative Income - Class A | 1,000.00 | 1,011.34 | 7.55 | 2.75% | ||||
James Alpha Multi Strategy Alternative Income - Class C | 1,000.00 | 1,007.56 | 7.54 | 3.50% | ||||
James Alpha Multi Strategy Alternative Income - Class I | 1,000.00 | 1,012.60 | 7.56 | 2.50% | ||||
James Alpha Multi Strategy Alternative Income - Class S | 1,000.00 | 1,012.60 | 7.56 | 2.50% | ||||
James Alpha Managed Risk Domestic Equity - Class A | 1,000.00 | 1,012.86 | 7.56 | 2.45% | ||||
James Alpha Managed Risk Domestic Equity - Class C | 1,000.00 | 1,009.07 | 7.55 | 3.20% | ||||
James Alpha Managed Risk Domestic Equity - Class I | 1,000.00 | 1,015.17 | 7.57 | 1.99% | ||||
James Alpha Managed Risk Domestic Equity - Class S | 1,000.00 | 1,015.17 | 7.57 | 1.99% | ||||
James Alpha Managed Risk Emerging Markets Equity - Class A | 1,000.00 | 1,012.57 | 7.56 | 2.51% | ||||
James Alpha Managed Risk Emerging Markets Equity - Class C | 1,000.00 | 1,008.80 | 7.54 | 3.26% | ||||
James Alpha Managed Risk Emerging Markets Equity - Class I | 1,000.00 | 1,015.18 | 7.57 | 1.99% | ||||
James Alpha Managed Risk Emerging Markets Equity - Class S | 1,000.00 | 1,015.17 | 7.57 | 1.99% | ||||
James Alpha Hedged High Income - Class A | 1,000.00 | 1,013.16 | 12.13 | 2.39% | ||||
James Alpha Hedged High Income - Class C | 1,000.00 | 1,010.13 | 15.15 | 2.99% | ||||
James Alpha Hedged High Income - Class I | 1,000.00 | 1,015.88 | 9.40 | 1.85% | ||||
James Alpha Hedged High Income - Class S | 1,000.00 | 1,018.20 | 7.07 | 1.85% |
* | Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the days in reporting period). |
172
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) |
Board of Trustees & Officers
The Trust is governed by a Board of Trustees, which oversees the Portfolios’ operations. Officers are appointed by the Trustees and serve at the pleasure of the Board. The table below shows, for each Trustee and Officer, his name, address, and age, the position held with the Trust, the length of time served as Trustee and Officer of the Trust, the Trustee’s or Officer’s principal occupations during the last five years, the number of portfolios in the Saratoga Family of Funds overseen by the Trustee or Officer, and other directorships held by the Trustee or Officer.
The Trust’s Statement of Additional Information contains additional information about the Trustees and Officers and is available without charge, upon request, by calling 1-800-807-FUND (3863).
Interested Trustees
Number of | |||||
Portfolios in Fund | |||||
Position(s) Held | Term* / Length of | Principal Occupation(s) | Complex Overseen by | Other Directorships | |
Name, Age and Address | with Trust | Time Served | During Past 5 Years | Trustee | Held by Trustee |
Bruce E. Ventimiglia, 65 1616 N. Litchfield Rd. Suite 165 Goodyear, AZ 85395 | President, CEO, and Chairman of the Board of Trustees** | Since September 1994 | Chairman, President and Chief Executive Officer of Saratoga Capital Management, LLC | 29 | None |
Independent Trustees
Number of | |||||
Portfolios in Fund | |||||
Name, Age and Address | Position(s) Held with Trust | Term* / Length of Time Served | Principal Occupation(s) During Past 5 Years | Complex Overseen by Trustee | Other Directorships Held by Trustee |
Patrick H. McCollough, 78 1616 N. Litchfield Rd. Suite 165 Goodyear, AZ 85395 | Trustee | Since September 1994 | Retired | 29 | Chairman of the Board (2018 – Present), Trustee (2011-2018), Harbor Beach Community Hospital |
Udo Koopmann, 79 1616 N. Litchfield Rd. Suite 165 Goodyear, AZ 85395 | Trustee | Since April 1997 | Retired | 29 | None |
Floyd E. Seal, 71 1616 N. Litchfield Rd. Suite 165 Goodyear, AZ 85395 | Trustee | Since April 1997 | Retired. Director of Operations, Pet Goods Manufacturing & Imports (January 2013 – 2017 | 29 | None |
Stephen H. Hamrick, 68 1616 N. Litchfield Rd. Suite 165 Goodyear, AZ 85395 | Trustee | Since January 2003 | Retired. President and Chief Executive Officer, Terra Capital Markets, LLC (January 2011-Present) (broker-dealer) | 29 | None |
173
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) |
Senior Officers
Number of | |||||
Portfolios in Fund | Other | ||||
Position(s) Held | Term* / Length | Principal Occupation(s) During Past | Complex Overseen | Directorships | |
Name, Age and Address | with Trust | of Time Served | 5 Years | by Officer | Held by Officer |
Stephen Ventimiglia, 64 1616 N. Litchfield Rd. Suite 165 Goodyear, AZ 85395 | Vice President and Secretary ** | Since September 1994 | Vice Chairman and Chief Investment Officer of Saratoga Capital Management, LLC | 29 | None |
Jonathan W. Ventimiglia, 37 1616 N. Litchfield Rd. Suite 165 Goodyear, AZ 85395 | Treasurer, Chief Financial Officer, Vice President & Assistant Secretary*** | Treasurer & Chief Financial Officer since July 2009; Vice President & Assistant Secretary since January 2008 | Chief Financial Officer and Chief Compliance Officer of Saratoga Capital Management, LLC | 29 | None |
James S. Vitalie, 60 1616 N. Litchfield Rd. Suite 165 Goodyear, AZ 85395 | Vice President | Since January 2011 | As of May 2020 Jim Vitale is the President of James Alpha Advisors (he is no longer the CEO). Chief Executive Officer of James Alpha Advisors, LLC (September 2015 – Present); President of James Alpha Holdings, LLC (2017 – Present); President of James Alpha Management, LLC (March 2008 – 2017); Executive Vice President of FDX Capital LLC (June 2012-Present) | 29 | Board Member, The Joshua School (January 2016 – Present) Board Member, Start from Scratch (September 2019 - Present) |
Emile R. Molineaux, 58 c/o Northern Lights Compliance Services, LLC 80 Arkay Drive, Suite 110 Hauppauge, NY 1788 | Chief Compliance Officer | Since October 2019 | Senior Compliance Officer (2011 – Present), Northern Lights Compliance Services, LLC | 29 | None |
* | Each Trustee will serve an indefinite term until his successor, if any, is duly elected and qualified. Officers of the Trust are elected annually. |
** | Bruce E. Ventimiglia and Stephen Ventimiglia are brothers. |
*** | Jonathan W. Ventimiglia is Bruce E. Ventimiglia’s son. |
The Fund’s Statement of Additional Information (“SAI”) includes additional information about the Trustees and is available free of charge, upon request, by calling toll-free at 1-800-807-FUND.
174
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) |
Board of Trustees (the “Board”) Meeting of April 15, 2020 (the “Meeting”)
The Independent Trustees discussed the information received respecting (i) the nature, quality and scope of services provided by Saratoga Capital Management (“Saratoga”), and James Alpha, and each Investment Adviser to the Portfolios; (ii) the investment performance of the Portfolios relative to comparable funds; (iii) the costs of services provided and profits realized by Saratoga and James Alpha; (iv) fees and expenses relative to other comparable funds; (v) the extent to which economies of scale are realized as the Portfolios grow and whether fee levels appropriately reflect economies of scale; and (vi) benefits realized by Saratoga and James Alpha from their relationship with the Portfolios.
The Independent Trustees received a memorandum from their independent legal counsel describing their duties in connection with advisory contract approvals and discussing the factors to be considered by the Board.
Nature, Quality and Scope of Services
The Board reviewed and considered the nature, quality and scope of services provided by Saratoga. In this regard, Saratoga discussed in detail with the Trustees its methodology for selecting Investment Advisers for the Saratoga Portfolios, the procedures and criteria it utilizes in evaluating the adequacy of each Investment Adviser’s performance and the general oversight it provides, including monitoring compliance reports, recommending outside service providers, negotiation of fees and monitoring of quality of services. With respect to the Portfolios Saratoga manages directly, the Trustees considered the investment process utilized, the quality of key investment personnel and the resources devoted to the investment management functions. The Trustees concluded that the nature and extent of the services provided by Saratoga were necessary and appropriate for the conduct of the business and investment activities of the Saratoga Portfolios. The Trustees also concluded that the overall quality of the advisory and administrative services were satisfactory.
The Trustees also evaluated the nature, quality and scope of services provided by James Alpha. Among other things, the Trustees considered James Alpha’s methodology for selecting sub-advisers for the James Alpha Portfolios and the criteria it utilizes in evaluating the adequacy of each sub-adviser’s performance, and with respect to the Portfolios James Alpha manages directly, the investment process utilized, the quality of key investment personnel and the resources devoted to the investment management functions. The Trustees concluded that the nature and extent of the services provided by James Alpha to the James Alpha Portfolios were necessary or the conduct of the business and investment activities of the James Alpha Portfolios. The Trustees also concluded that the overall quality of services provided were satisfactory.
The Trustees also evaluated the quality of the services provided by the Investment Advisers to each Portfolio. The Board concluded that the nature, scope and quality of the services provided by each of the Advisers was satisfactory.
Comparative Performance
The performance of each of the Portfolios was compared to a Lipper or Morningstar Index of funds with investment objectives similar to that of the applicable Portfolio (each, a “benchmark”). Performance was compared over various time periods with an emphasis on longer term performance. The conclusions of the Trustees were as follows:
Large Capitalization Value: The Trustees noted that M.D. Sass Investors Services, Inc. (“M.D. Sass”) has been the Adviser to the Portfolio since August 2008, and had slightly underperformed its benchmark from
175
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) |
then through February 29, 2020. The Trustees also noted that the Portfolio outperformed its benchmark for the one-year period ended February 29, 2020. The Trustees further noted Saratoga’s view respecting what Saratoga believes to be the Portfolio’s current favorable condition versus the market. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
Large Capitalization Growth: The Trustees noted that Smith Group Asset Management (“Smith Group”) became the Adviser to the Portfolio in December 2015 and that since then through February 29, 2020, the Portfolio had underperformed its benchmark. The Trustees further noted Saratoga’s view that the Adviser’s focus on companies that report higher earnings growth rates than expected has been out of favor recently, detracting from the Portfolio’s performance, but going forward, Smith Group’s focus on companies with sound financials and which report higher earnings growth rates than expected is a good strategy for the Portfolio. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
Mid-Capitalization: The Trustees noted that Vaughan Nelson Investment Management LP (“Vaughan Nelson”) became the Adviser to the Portfolio in April 2006 and that since then through February 29, 2020, the Portfolio had outperformed its benchmark. Upon consideration of all the factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
Small Capitalization: The Trustees noted that Zacks Investment Management, Inc. (“Zacks”) became the Adviser to the Portfolio in August 2015 and that since then through February 29, 2020, the Portfolio had underperformed its benchmark. The Trustees further noted that for the one-year period ended February 29, 2020 the Portfolio outperformed its benchmark. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
International Equity: The Trustees noted that the current Adviser to the Portfolio, Smith Group Asset Management (“Smith Group”), became the Adviser to the Portfolio in February 2018. The Trustees determined that it was too soon to meaningfully evaluate performance.
Health & Biotechnology: The Trustees noted that the current Adviser to the Portfolio, Oak Associates, ltd. (“Oak”), was appointed in July 2005 and that since then through February 29, 2020 the Portfolio underperformed its benchmark. The Trustees further noted that in January 2019 the Portfolio’s Manager at Oak was replaced by another Portfolio Manager at Oak who is also the Co-Chief Investment Officer of the Adviser. The Trustees took into account Saratoga’s view that in light of the recent Portfolio Manager change at Oak, it is too soon for a meaningful evaluation of the performance under the new Portfolio Manager. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
Technology & Communications: The Trustees noted that Oak became the sole adviser to the Portfolio in December 2015 and that since then the Portfolio slightly underperformed its benchmark. In evaluating Oak’s performance, the Trustees took into account Saratoga’s view that in light of Oak’s long experience investing in the technology sector and current market conditions, Oak’s investment strategy is an appropriate investment approach for the Portfolio. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
Financial Services: The Trustees noted that Smith Group Asset Management (“Smith Group”) became the Adviser to the Portfolio in December 2015 and that since then through February 28, 2018, the Portfolio had outperformed its benchmark. In addition, they noted that the Portfolio underperformed its benchmark for the two-year period ended February 29, 2020 resulting in the Portfolio underperforming its benchmark from December 2015 through February 2020. The Trustees further noted Saratoga’s view that the Adviser’s
176
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) |
focus on companies that report higher earnings growth rates than expected has been out of favour recently, detracting from the Portfolio’s performance, but that Smith’s Group’s focus on companies with sound financials and which report higher earnings growth rates than expected is a good strategy for the Portfolio going forward. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
Energy & Basic Materials: The Trustees noted that Smith Group Asset Management (“Smith Group”) became the Adviser to the Portfolio in December 2015 and that since then through February 28, 2019, the Portfolio’s performance was virtually even with its benchmark. The Trustees further noted that the Portfolio underperformed its benchmark for the one-year period ended February 29, 2020, resulting in the Portfolio underperforming its benchmark from December 2015 through February 29, 2020. The Trustees also took into account Saratoga’s view that Smith Group’s focus on companies with sound financials and which report higher earnings growth rates than expected is a good strategy for the Portfolio going forward. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
Investment Quality Bond Portfolio: The Trustees noted that Saratoga Capital Management, LLC started managing the Portfolio in March 2018. The Trustees concluded that it is too soon to meaningfully evaluate performance.
Municipal Bond Portfolio: The Trustees noted that Saratoga Capital Management, LLC started managing the Portfolio in March 2018. The Trustees concluded that it is too soon to meaningfully evaluate performance.
U.S. Government Money Market Portfolio: The Trustees noted that CLS Investments, LLC (“CLS”) has been the Adviser to the Portfolio since August 2011 and since then through February 29, 2020 the Portfolio’s performance was nearly even with its benchmark. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
Conservative Balanced Allocation Portfolio: The Trustees noted that Saratoga Capital Management, LLC started managing the Portfolio in January 2018, and therefore, it is too soon to meaningfully evaluate performance.
Moderately Conservative Balanced Allocation Portfolio: The Trustees noted that Saratoga Capital Management, LLC started managing the Portfolio in January 2018, and therefore, it is too soon to meaningfully evaluate performance.
Moderate Balanced Allocation Portfolio: The Trustees noted that Saratoga Capital Management, LLC started managing the Portfolio in January 2018, and therefore, it is too soon to meaningfully evaluate performance.
Moderately Aggressive Balanced Allocation Portfolio: The Trustees noted that Saratoga Capital Management, LLC started managing the Portfolio in January 2018, and therefore, it is too soon to meaningfully evaluate performance.
Aggressive Balanced Allocation Portfolio: The Trustees noted that Saratoga Capital Management, LLC started managing the Portfolio in January 2018, and therefore, it is too soon to meaningfully evaluate performance.
James Alpha Global Real Estate Investments Portfolio: The Trustees noted that James Alpha Advisors, LLC (“James Alpha”) is the Portfolio’s Manager. The Trustees also noted that the Sub-adviser to the
177
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) |
Portfolio became the Sub-adviser in November 2016 and that prior to then the Sub-adviser’s predecessor company was the Manager to the Portfolio since August 2011. They further noted that from August 2011 through February 29, 2020, the Portfolio had outperformed its benchmark. The Trustees concluded that the performance of the Portfolio was satisfactory.
James Alpha Macro Portfolio: The Trustees noted that James Alpha Advisors became the Adviser to the Portfolio in December 2015 and that since then through February 29, 2020, the Portfolio had underperformed its benchmark. The Trustees further noted that the Portfolio outperformed its benchmark for the one-year period ended February 29, 2020. In addition, the Trustees took into account James Alpha’s explanation of the market environment which contributed to underperformance for the prior periods. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
James Alpha Multi Strategy Alternative Income Portfolio: The Trustees noted that James Alpha became the Adviser to the Portfolio in September 2014 and that since then through February 29, 2020 the Portfolio had outperformed its benchmark. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
James Alpha Managed Risk Domestic Equity Portfolio: The Trustees noted that James Alpha became the Adviser to the Portfolio in July 2015 and that the same Sub-adviser has been managing the Portfolio since then. They further noted that since July 2015 through February 29, 2020, the Portfolio had outperformed its benchmark. The Trustees also took into account the Sub-adviser’s specialized experience in the asset class. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
James Alpha Managed Risk Emerging Markets Equity Portfolio: The Trustees noted that James Alpha became the Adviser to the Portfolio in July 2015 and that the same Sub-adviser has been managing the Portfolio since then. They further noted that since July 2015 through February 29, 2020, the Portfolio had underperformed its benchmark. The Trustees took into account the Portfolio’s relatively small size versus other funds in the benchmark and the Sub-adviser’s long and specialized experience in the asset class. Upon consideration of all factors they deemed relevant, the Trustees concluded that the performance of the Portfolio was acceptable.
James Alpha Hedged High Income Portfolio: The Trustees noted that James Alpha became the Adviser to the Portfolio and the current initial Sub-advisers began managing the Portfolio in July 2016. The Trustees further noted that since July 2016 through February 29, 2020 the Portfolio had outperformed its benchmark. Upon consideration of all factors deemed relevant, the Trustees concluded that the performance of the Portfolio was satisfactory.
178
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) |
benchmark. Upon consideration of all factors deemed relevant, the Trustees determined that the performance of the Portfolio was acceptable.
Fees Relative to Comparable Funds
The Trustees reviewed the Management Fee rate for each Portfolio and noted the following: (i) fee rate for the Small Cap Portfolios was slightly lower than the average of comparable funds; (ii) fee rates for the Large Cap Value, Large Cap Growth, Mid Cap, International Equity Portfolios, James Alpha Real Estate, and James Alpha Managed Risk Domestic Equity, were slightly higher than the average of comparable funds; and (iii) the fee rates for the Health & Biotechnology, Technology & Communications, Financial Services, Energy & Basic Materials, Investment Quality Bond, Municipal Bond, U.S. Government Money Market, Conservative Balanced Allocation, Moderately Conservative Balanced Allocation, Moderate Balanced Allocation, Moderately Aggressive Balanced Allocation, Aggressive Balanced Allocation, James Alpha Macro, James Alpha Multi Strategy, James Alpha Managed Risk Emerging Markets Equity, and James Alpha Hedged High Income Portfolios were higher than the average of comparable funds.
The Trustees noted that most of the Portfolios were considerably smaller than many of the funds in the comparison group and considered, with respect to each Portfolio, the adverse impact of the relatively small sizes of the Portfolios on the costs and profitability of Saratoga and James Alpha. The Trustees also noted that Saratoga has, since 1999, agreed to cap expenses of the Portfolios for which it serves as Manager at specified levels. The Trustees also noted that expense caps are in effect for the Portfolios managed by James Alpha. The Trustees evaluated the impact of these expense caps on the net fees received by Saratoga and James Alpha, respectively. The Trustees concluded, based on the foregoing, that the Management Fee rate with respect to each of the Portfolios was not excessive relative to comparable funds.
The Trustees also evaluated the reasonableness of the fee split between Saratoga and the Investment Adviser to each Portfolio managed by Saratoga. They conducted a similar analysis with respect to the Portfolios managed by James Alpha. In this regard, they considered the nature and scope of the services provided by Saratoga and James Alpha, as the case may be, including (i) ongoing monitoring of portfolio performance, (ii) supervision of outside service providers, (iii) responding to questions from brokers and investment advisers, and (iv) research of Investment Advisers and potential replacement advisers to present to the Trustees for their consideration. The Trustees also took note of Saratoga’s representation that with respect to the more complex portfolios, these services are generally more time consuming.
179
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) |
Economies of Scale
The Trustees noted the views of Saratoga and James Alpha that at their current sizes the Portfolios do not realize economies of scale. The Trustees also took into account that the advisory fee for the largest Portfolio, the Global Real Estate Portfolio, was reduced in 2017.
Profitability of Investment Manager
The Trustees reviewed the profitability data that had been provided by Saratoga and James Alpha. The Trustees noted that the provision of services under the Management Agreements had resulted in a loss to Saratoga and an overall profit to James Alpha as reflected in the Board materials and determined that the profits earned by James Alpha were reasonable in light of the nature and quality of the service provided to the applicable Portfolio. The Trustees considered the financial viability of Saratoga and James Alpha and their ability to continue to provide high quality services and concluded that each organization continues to be capable of and committed to providing high quality services.
Other Benefits
The Trustees considered the benefits obtained by Saratoga and James Alpha and the Investment Advisers from their relationship with the Trust. They noted, in this regard, that certain of the Investment Advisers have soft dollar arrangements pursuant to which commissions on fund portfolio transactions may be utilized to pay for research services. The Trustees noted that the amount of soft dollars was generally small and that research services obtained may enhance the ability of the Advisers to provide quality services to the Portfolios. The Trustees noted that Saratoga receives licensing fees from third parties for the use of the Saratoga asset allocation program and in its supervision capacity to the James Alpha Portfolios the Manager receives supervision fees.
Conclusion
Based on the foregoing and such other factors as they deemed relevant, the Independent Trustees determined that continuation of the Management Agreements and the Advisory Agreement for each of the Portfolios is in the best interests of the Portfolios and the shareholders.
180
Rev July 2011
FACTS | WHAT DOES THE SARATOGA ADVANTAGE 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 depend on the product or service 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 The Saratoga Advantage Trust (“The Trust”) choose to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Do The Funds share? | 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 | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
Questions? | Call 1-800-807-FUND |
181
Page 2 |
Who we are | |
Who is providing this notice? | The Saratoga Advantage Trust |
What we do | |
How does The 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. We restrict access to nonpublic personal information about you to those employees who need to know that information to provide products or services to you. |
How does The 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 information 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 nonfinancial companies.
● Our affiliates include financial companies such as Saratoga Capital Management. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
● The Trust does not share your personal information with nonaffiliates so they can market you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
● The Trust does not jointly market. |
182
How to Obtain Proxy Voting Information
Information regarding how the Portfolios voted proxies relating to portfolio securities during the most recent twelve month period ended June 30 as well as a description of the policies and procedures that the Portfolios use to determine how to vote proxies is available without charge, upon request, by calling 1-888-672-4839 or by referring to the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
How to Obtain 1st and 3rd Fiscal Quarter Portfolio Holdings
Funds file a complete schedule of portfolio holdings with the Securities and Exchange Commission (the “SEC”) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N -PORT, within sixty days after the end of the period. Form N-PORT reports are available at the SEC’s website at www.sec.gov.
Item 2. Code of Ethics.
(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.
(b) For purposes of this item, “code of ethics” means written standards that are reasonably designed to deter wrongdoing and to promote:
(1) | Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; |
(2) | Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the Commission and in other public communications made by the registrant; |
(3) Compliance with applicable governmental laws, rules, and regulations;
(4) | The prompt internal reporting of violations of the code to an appropriate person or persons identified in the code; and |
(5) Accountability for adherence to the code.
(c) Amendments: During the period covered by the report, there have not been any amendments to the provisions of the code of ethics.
(d) Waivers: During the period covered by the report, the registrant has not granted any express or implicit waivers from the provisions of the code of ethics.
Item 3. Audit Committee Financial Expert.
(a) The registrant’s board of trustees has determined that Floyd E. Seal and Udo W. Koopmann are independent audit committee financial experts.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees |
Registrant Advisor
FYE 08/31/20 $166,000.00 $ 900.00
FYE 08/31/19 $170,000.00 $ 900.00
(b) | Audit-Related Fees |
Registrant Advisor
FYE 08/31/20 $0.00 $0.00
FYE 08/31/19 $0.00 $0.00
(c) | Tax Fees |
Registrant Advisor
FYE 08/31/20 $48,000.00 $ 600.00
FYE 08/31/19 $50,000.00 $ 600.00
Preparation of Federal & State income tax returns, assistance with calculation of required income, capital gain and excise distributions and preparation of Federal excise tax returns.
(d) | All Other Fees |
Registrant Advisor
FYE 08/31/20 $0.00 $0.00
FYE 08/31/19 $0.00 $0.00
(e) | (1) Audit Committee’s Pre-Approval Policies |
The registrant’s Audit Committee is required to pre-approve all audit services and, when appropriate, any non-audit services (including audit-related, tax and all other services) to the registrant. The registrant’s Audit Committee also is required to pre-approve, when appropriate, any non-audit services (including audit-related, tax and all other services) to its adviser, or any entity controlling, controlled by or under common control with the adviser that provides ongoing services to the registrant, to the extent that the services may be determined to have an impact on the operations or financial reporting of the registrant. Services are reviewed on an engagement by engagement basis by the Audit Committee.
(2) | Percentages of Services Approved by the Audit Committee |
Registrant Advisor
Audit-Related Fees: 0.00% 0.00%
Tax Fees: 0.00% 0.00%
All Other Fees: 0.00% 0.00%
(f) | During the audit of registrant's financial statements for the most recent fiscal year, less than 50 percent of the hours expended on the principal accountant's engagement were attributed to work performed by persons other than the principal accountant's full-time, permanent employees. |
(g) | The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant: |
Registrant Advisor
FYE 08/31/2020 $48,000.00 $ 600.00
FYE 08/31/2019 $50,000.00 $ 600.00
(h) The registrant's audit committee has considered whether the provision of non-audit services to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant, that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, is compatible with maintaining the principal accountant's independence.
Item 5. Audit Committee of Listed Companies. Not applicable to open-end investment companies.
Item 6. Schedule of Investments. See Item 1.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds. Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Funds. Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holder. None.
Item 11. Controls and Procedures.
(a) Based on an evaluation of the registrant’s disclosure controls and procedures as of August 31, 2018, the disclosure controls and procedures are reasonably designed to ensure that the information required in filings on Forms N-CSR is recorded, processed, summarized, and reported on a timely basis.
(b) There were no significant changes in the registrant’s internal control over financial reporting that occurred during the registrant’s second fiscal quarter of the period covered by this Form N-CSR 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-End Management Investment Companies. (a) Not applicable to open-end investment companies.
(b) Not applicable to open-end investment companies.
Item 13. Exhibits.
(a)(1) Code of Ethics filed herewith.
(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) The Saratoga Advantage Trust
By (Signature and Title)
* /s/ Bruce E. Ventimiglia
Bruce E. Ventimiglia, President and Chief Executive Officer
Date 11/9/20
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/ Jonathan W. Ventimiglia
Jonathan W. Ventimiglia, Treasurer and Chief Financial Officer
Date 11/9/20
By (Signature and Title)
* /s/ Bruce E. Ventimiglia
Bruce E. Ventimiglia, President and Chief Executive Officer
Date 11/9/20
* Print the name and title of each signing officer under his or her signature.