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: 11/30
Date of reporting period: 11/30/20
Item 1. Reports to Stockholders.
Class A, C, I and S Shares | ||
ANNUAL REPORT | ||
As Of November 30, 2020 | ||
THIS REPORT IS AUTHORIZED FOR DISTRIBUTION ONLY TO SHAREHOLDERS AND TO OTHERS WHO HAVE RECEIVED A COPY OF THE PROSPECTUS. |
TABLE OF CONTENTS
Chairman’s Letter | Page 1 |
Investment Review | Page 5 |
Schedules of Investments | Page 18 |
Statements of Assets and Liabilities | Page 44 |
Statements of Operations | Page 45 |
Statements of Changes in Net Assets | Page 46 |
Financial Highlights | Page 48 |
Notes to Financials | Page 60 |
Report of Independent Registered Public Accounting Firm | Page 73 |
Supplemental Information | Page 75 |
Privacy Notice | Page 79 |
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 | |
Emile Molineaux | Chief Compliance Officer |
Timothy Burdick | Assistant Secretary |
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
January 2, 2021
Dear Shareholder:
We are pleased to provide you with this annual report on the investment strategies and performance of six of the portfolios in the Saratoga Advantage Trust (the “Trust”). This report covers the twelve months from December 1, 2019 through November 30, 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.
ECONOMIC OVERVIEW
As measured by Real Gross Domestic Product (GDP), the value of the production of goods and services in the United States advanced by an annualized growth rate (AGR) of +33.4% during the third quarter of 2020, a sharp rebound from the decline of -31.4% during the second quarter of 2020. Total Employment has recovered by about 12.4 million jobs, though this employment level remains over 9 million jobs below the high prior to the COVID-19 pandemic. Many sectors in the production portion of the economy have seen improvement in employment data. Employment in most service sectors has broadly lagged those on the production side of the economy, causing the subdued employment environment. Unsurprisingly, a major contributor to the weak employment picture is the leisure and hospitality sector. After reaching a pre-pandemic cycle-high in February 2020, the sector shed over 7 million jobs during the pandemic. To put this in perspective, during the Great Recession the entire economy lost roughly 8.8 million jobs. Until the pandemic is under control, we expect employment in services to remain under significant pressure. Consumer confidence in December, as measured by the Conference Board Consumer Confidence Index, is down over 49 points to about 88.6 from its October 2018 cycle high of 137.9. Previous cycle lows for this measure have been below 60. Additionally, the Expectations Index, based on consumers’ short-term outlook for income, business, and labor market conditions, dropped to 87.5 for December 2020, down sharply from its most recent cycle high of over 115 in December 2018. Saratoga’s proprietary confidence measures heavily consider employment and wage data; while various stimulus measures can provide temporary bounces to some consumer confidence measures, it is unlikely consumer confidence will maintain positive trends without sustained gains in service-sector employment.
Monetary Policy: In its most recent FOMC statement, the Committee stated: “The Committee decided to 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
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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.” In addition, the Federal Reserve (Fed) will continue to increase its holdings of Treasury securities and of agency mortgage-backed securities. 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. We believe the Fed will remain accommodative until it firmly believes that progress has been made toward its mandate. We look to our Economic Strength Monitor® (ESM) to help us understand current strength in the economy, and when that strength may encourage the Fed to change its policy position. In April 2020, the ESM bottomed-out at zero for the first time since January 2009. As of November 2020, ESM has quickly climbed back to a moderate reading, showing us that the economy is building a solid base. In the past, trends like those we are currently seeing in ESM would suggest the Fed might have room to start moving to normalize rates in the near future, however we also have precedent from the early 2010s that the Fed is willing to stay looser for longer than it might previously have done.
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.
Equity Valuations: As of December 31, 2020, the S&P 500 index sits at 3,756. Our proprietary valuation work uses both fundamental and technical analysis and provides support for the S&P 500 at roughly 3,410 at the end of December. Short-term earnings projections remain suspect. If economic growth can develop further and build on its recent success, future earnings projections should increase. Until we see actual earnings beating close target projections, to us the market should remain in fair value range. If inflation and interest rates remain quiescent, we believe the PE will remain above its median level of 24 and levels in the mid- 30 range are not out of reason. To create a range of equity market outcomes, we use a valuation tool which we refer to as our Proper PE Valuation™ tool. Among other things, this analysis provides us with a set of ranges above and below which we consider the S&P 500 overvalued or undervalued, respectively. Our primary valuation work currently sets an appropriate S&P 500 PE around 27 to 29. This produces a fair value range of 3,600 to 4,000 over the next 6-to-12 months. Most of our valuation work is earnings, GDP, CPI, and interest-rate dominant. Several of our studies also examine the direction of both inflation and interest rates. The current levels and trends for this data indicate that we are likely to stay in fair-value range for the near-term, however we are watching corporate earnings growth closely, as that data has the potential to change valuation levels quickly.
Inflation: We believe the Fed is growing the money supply at a pace, and for a duration, that is driving 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 skillfully time monetary policy to avoid rapid consumer inflation. Inflation, as measured by the consumer price index (CPI), was up 1.36% y-o-y in December 2020, while CPI Less Food & Energy (Core CPI) was up 1.61%. 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 restrained enough to suggest muted CPI and a Fed with room to remain
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accommodative. Over various segments of the past year, much of the Producer Price complex has been posting negative y-o-y percent changes, but things are improving. The Final Demand index was +0.76% y-o-y in December, following a string of minor but positive results. 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, but evidence is creeping in that suggests the Fed needs to be very watchful that the demand for goods and the cost of goods stay 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.
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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 six 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 S&P 500 is an unmanaged, capitalization-weighted index. It is not possible to invest directly in the S&P 500.
The security holdings discussed may not be representative of the Funds’ current or future investments. 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.
4195-NLD-1/28/2021
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INVESTMENT REVIEW |
JAMES ALPHA EHS 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 Periods Ended November 30, 2020 | |||
One Year: | Three Years: | Inception: | |
11/30/19-11/30/20 | 11/30/17-11/30/20 | 8/18/17 – 11/30/20* | |
Class A | |||
With Sales Charge | 10.83% | 5.11% | 6.48% |
Without Sales Charge | 17.55% | 7.22% | 8.41% |
Class C | |||
With Sales Charge | 15.47% | 6.17% | 7.45% |
Without Sales Charge | 16.47% | 6.17% | 7.45% |
Class I | 17.55% | 7.22% | 8.41% |
Class S | 18.00% | 7.39% | 8.60% |
* | 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 total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated March 30, 2020, is 4.94%, 5.69%, 4.69% and 4.59% for the A, C, I and S Classes, respectively. The Portfolio’s Manager has contractually agreed to waive its fees and/or absorb expenses (excluding certain expenses) of the Portfolio through March 31, 2021, to ensure the total net operating expense ratio does not exceed 1.74%, 2.49%, 1.49% and 1.12% for the A, C, I and S classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio seeks to achieve its investment objective by attempting to outperform the returns of a variety of hedged equity investment strategies. A hedged equity investment strategy typically involves establishing both long and short positions in equity or equity-linked instruments. The Portfolio expects to gain exposure to asset classes primarily through exchange-traded products such as exchange-traded notes (“ETNs”), exchange-traded funds (“ETFs”) and mutual funds, although the Portfolio may invest directly in currencies, equities and fixed income securities. The Portfolio also expects to invest in derivative instruments to gain exposure to one or more asset classes, individual investments or investment strategies. In constructing the Portfolio’s investments, the Portfolio’s Manager employs proprietary techniques and models to evaluate the drivers of performance of private funds that utilize hedged equity strategies. The Manager then identifies investments that it believes have similar drivers of performance to attempt to produce returns that correlate with, but are not identical to, the returns of the private funds tracked by the Manager. The Manager then determines the appropriate percentage that each particular investment strategy should represent of the entire Portfolio and weights the exposure to that investment strategy accordingly. The private fund returns on which the Manager’s models are based are pulled from various sources and do not represent the returns of the entire private fund universe. The private funds’ returns tracked by the Manager, the factors driving those returns and the percentage weightings assigned by the Manager to each investment strategy are all expected to change over time.
PORTFOLIO ADVISER COMMENTARY
Financial markets in 2020 experienced one of the most eventful and historic trading years on record. Over the span of twelve months, traders witnessed a full market cycle the likes of which is typically seen over the course of several years. The market began the year on solid footing. Then, during the last week of February, COVID-19 hit the market and dramatically altered capital market expectations and changed the world on a truly fundamental level. Within the course of four weeks, the S&P dropped approximately 35%, volatility exploded, and 10-year Treasury yields fell dramatically from 1.90% at the beginning of the year down to 0.50%.
Just when the collapse of the economic system seemed the most likely outcome, both monetary and fiscal authorities unleashed an unprecedented amount of stimulus and liquidity on a global basis. In the US, Congress passed the CARES Act, injecting $2.2 trillion of stimulus across a range of programs, including payments to individuals, the Paycheck Protection Program (PPP), unemployment benefits, and forgivable bridge loans to businesses. At the same time, the Federal Reserve promised to use its full arsenal of tools to support the economy. Over the course of two months, the Fed expanded their balance sheet by approximately $3 trillion through various quantitative easing programs and bond purchases. Their balance sheet has remained relatively stable since June with a value of roughly $7.1 trillion.
Since then, there has been a robust recovery with asset classes across the board moving higher in the second half of the year. Despite these good numbers, the stock market recovery has been far from even. Certain sectors, like big tech, have benefitted tremendously this year while other sectors, such as travel and entertainment, have been decimated. Since the mid 1980s the bond market has been supported by the long-term declining trend of interest rates. The 10-year Treasury yield is hovering around 90 bps and with the Fed’s aversion to negative rates, we believe we very close to hitting a floor where rates can no longer decline. Going forward, fixed income may not produce much income and may have very limited capital gain potential. We believe this is a potentially strong environment for alternative investments.
For the period, Equity Hedge managers provided strong performance. Healthcare and technology sector managers outperformed. Market neutral and value-oriented managers were the top laggards during the period.
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INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
JAMES ALPHA EHS PORTFOLIO VS. BENCHMARKS
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
iShares Russell Mid-Cap Growth ETF | 6.4% |
Invesco S&P 500 Equal Weight ETF | 6.2% |
iShares Micro-Cap ETF | 5.9% |
James Alpha Structured Credit Value Portfolio - Class S | 5.8% |
iShares Russell 2000 Growth ETF | 4.8% |
iShares Russell 1000 Growth ETF | 3.9% |
iShares Preferred & Income Securities ETF | 3.7% |
SPDR S&P Emerging Asia Pacific ETF | 2.9% |
Vanguard Total World Stock ETF | 2.6% |
ALPS Medical Breakthroughs ETF | 2.5% |
* | Based on total net assets as of November 30, 2020. |
Excludes short-term investments.
Portfolio Composition*
HFRI Equity Hedge Total Index: Investment Managers who maintain positions both long and short in primarily equity and equity derivative securities. A wide variety of investment processes can be employed to arrive at an investment decision, including both quantitative and fundamental techniques; strategies can be broadly diversified or narrowly focused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed, holding period, concentrations of market capitalizations and valuation ranges of typical portfolios. EH managers would typically maintain at least 50% exposure to, and may in some cases be entirely invested in, equities, both long and short.
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.
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INVESTMENT REVIEW |
JAMES ALPHA EVENT DRIVEN 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 Periods Ended November 30, 2020 | |||
One Year: | Three Years: | Inception: | |
11/30/19-11/30/20 | 11/30/17-11/30/20 | 8/18/17 – 11/30/20* | |
Class A | |||
With Sales Charge | (4.64)% | 1.02% | 1.73% |
Without Sales Charge | 1.21% | 3.04% | 3.58% |
Class C | |||
With Sales Charge | 0.39% | 3.08% | 3.61% |
Without Sales Charge | 1.31% | 3.08% | 3.61% |
Class I | 1.31% | 3.08% | 3.61% |
Class S | 1.61% | 3.30% | 3.82% |
* | 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 total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated March 30, 2020, is 3.88%, 4.63%, 3.63% and 3.64% for the A, C, I and S Classes, respectively. The Portfolio’s Manager has contractually agreed to waive its fees and/or absorb expenses (excluding certain expenses) of the Portfolio through March 31, 2021, to ensure the total net operating expense ratio does not exceed 1.74%, 2.49%, 1.49% and 1.12% for the A, C, I and S classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio seeks to achieve its investment objective by attempting to outperform the returns of a variety of “event driven” investment strategies. Event driven investment strategies seek to profit from investing in securities of companies on the basis that a specific event or catalyst will affect future pricing. The Portfolio will seek to outperform the returns of event driven investment strategies by investing in a variety of asset classes, including currencies, global equities and global fixed income securities. The Portfolio expects to gain exposure to these asset classes primarily through exchange-traded products such as exchange-traded notes (“ETNs”), exchange-traded funds (“ETFs”) and mutual funds, although the Portfolio may invest directly in currencies, equities and fixed income securities. The Portfolio also expects to invest in derivative instruments to gain exposure to one or more asset classes, individual investments or investment strategies. In constructing the Portfolio’s investments, the Portfolio’s Manager employs proprietary techniques and models to evaluate the drivers of performance of private funds that utilize event driven strategies. The Manager then identifies investments that it believes have similar drivers of performance to attempt to produce returns that correlate with, but are not identical to, the returns of the private funds tracked by the Manager. The Manager then determines the appropriate percentage that each particular investment strategy should represent of the entire Portfolio and weights the exposure to that investment strategy accordingly. The private fund returns on which the Manager’s models are based are pulled from various sources and do not represent the returns of the entire private fund universe. The private funds’ returns tracked by the Manager, the factors driving those returns and the percentage weightings assigned by the Manager to each investment strategy are all expected to change over time. The Portfolio may invest up to 25% of its total assets in a wholly- owned and controlled Cayman Islands subsidiary (the “Subsidiary”) to gain exposure to certain commodity-linked investments such as commodity futures, options and swap contracts. The commodity investments will be focused in four sectors of the commodities market: energy, precious metals, industrial metals and agricultural/livestock. The Portfolio may hold investments with commodity exposure outside of the Subsidiary and, therefore it is possible the Portfolio’s exposure to commodities could exceed 25%.
PORTFOLIO ADVISER COMMENTARY
Financial markets in 2020 experienced one of the most eventful and historic trading years on record. Over the span of twelve months, traders witnessed a full market cycle the likes of which is typically seen over the course of several years. The market began the year on solid footing. Then, during the last week of February, COVID-19 hit the market and dramatically altered capital market expectations and changed the world on a truly fundamental level. Within the course of four weeks, the S&P dropped approximately 35%, volatility exploded, and 10-year Treasury yields fell dramatically from 1.90% at the beginning of the year down to 0.50%.
Just when the collapse of the economic system seemed the most likely outcome, both monetary and fiscal authorities unleashed an unprecedented amount of stimulus and liquidity on a global basis. In the US, Congress passed the CARES Act, injecting $2.2 trillion of stimulus across a range of programs, including payments to individuals, the Paycheck Protection Program (PPP), unemployment benefits, and forgivable bridge loans to businesses. At the same time, the Federal Reserve promised to use its full arsenal of tools to support the economy. Over the course of two months, the Fed expanded their balance sheet by approximately $3 trillion through various quantitative easing programs and bond purchases. Their balance sheet has remained relatively stable since June with a value of roughly $7.1 trillion.
Since then, there has been a robust recovery with asset classes across the board moving higher in the second half of the year. Despite these good numbers, the stock market recovery has been far from even. Certain sectors, like big tech, have benefitted tremendously this year while other sectors, such as travel and entertainment, have been decimated. Since the mid 1980s the bond market has been supported by the long-term declining trend of interest rates. The 10-year Treasury yield is hovering around 90 bps and with the Fed’s aversion to negative rates, we believe we very close to hitting a floor where rates can no longer decline. Going forward, fixed income may not produce much income and may have very limited capital gain potential. We believe this is a potentially strong environment for alternative investments.
For the period, Event Driven managers provided solid performance. Multi-Strategy and Activist sub-styles outperformed, returning 20.5% and 9.9% respectively. Credit Arbitrage and Merger Arbitrage underperformed, albeit all sub-styles posted positive returns for the period. Finally, the portfolio’s swap positions contributed negative 1.9% to the performance of the portfolio during the annual period ended November 30, 2020.
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INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
JAMES ALPHA EVENT DRIVEN PORTFOLIO VS. BENCHMARKS
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Merger Fund - Investor Class | 13.7% |
Kellner Merger Fund - Institutional Class | 12.8% |
James Alpha Structured Credit Value Portfolio - Class S | 10.5% |
American Beacon Sound Point Floating Rate Income Fund - Class Y | 8.1% |
IQ Merger Arbitrage ETF | 7.7% |
High Yield ETF | 7.6% |
Invesco Global Short Term High Yield Bond ETF | 5.7% |
SPDR Bloomberg Barclays Euro High Yield Bond UCITS ETF | 4.9% |
iShares MSCI United Kingdom Small-Cap ETF | 1.6% |
WisdomTree Japan Hedged SmallCap Equity Fund | 1.5% |
* | Based on total net assets as of November 30, 2020. |
Excludes short-term investments.
Portfolio Composition*
HFRI Event-Driven Total Index: Investment Managers who maintain positions in companies currently or prospectively involved in corporate transactions of a wide variety including but not limited to mergers, restructurings, financial distress, tender offers, shareholder buybacks, debt exchanges, security issuance or other capital structure adjustments. Security types can range from most senior in the capital structure to most junior or subordinated, and frequently involve additional derivative securities. Event Driven exposure includes a combination of sensitivities to equity markets, credit markets and idiosyncratic, company specific developments. Investment theses are typically predicated on fundamental characteristics (as opposed to quantitative), with the realization of the thesis predicated on a specific development exogenous to the existing capital structure.
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.
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INVESTMENT REVIEW |
JAMES ALPHA FAMILY OFFICE PORTFOLIO
Advised by: James Alpha Advisors LLC, New York, New York
Objective: The Portfolio seeks total return through capital appreciation and/or income, consistent with a reasonable level of risk, as determined by James Alpha Advisor, LLC.
Total Aggregate Return for the Periods Ended November 30, 2020 | |||
One Year: | Three Years: | Inception: | |
11/30/19-11/30/20 | 11/30/17-11/30/20 | 6/30/17 – 11/30/20* | |
Class A | |||
With Sales Charge | 1.79% | 2.34% | 3.54% |
Without Sales Charge | 8.02% | 4.38% | 5.35% |
Class C | |||
With Sales Charge | 6.11% | 3.57% | 4.61% |
Without Sales Charge | 7.11% | 3.57% | 4.61% |
Class I | 8.19% | 4.62% | 5.59% |
Class S | 8.66% | 5.12% | 6.04% |
* | 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 total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated March 30, 2020, is 3.43%, 4.09%, 3.13% and 3.10% for the A, C, I and S Classes, respectively. The Portfolio’s Manager has contractually agreed to waive its fees and/or absorb expenses (excluding certain expenses) of the Portfolio through March 31, 2020, to ensure the total net operating expense ratio does not exceed 1.74%, 2.49%, 1.49% and 1.12% for the A, C, I and S classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
Under normal market conditions, the Portfolio employs a multi-asset, multi -strategy investment program that seeks to replicate the asset allocation programs of successful family offices. In constructing the investment program, the Manager utilizes asset allocation data of multiple family offices to construct a diversified portfolio across a broad range of assets classes and investment strategies. The asset classes in which the Portfolio may invest can include U.S. and non-U.S. common stocks, U.S. and non-U.S. corporate, government and agency bonds and other debt instruments, real estate and real estate - related assets, such as mortgage-backed securities, asset-backed securities, currencies and commodities (e.g., metals, agricultural, energy, livestock and “soft” commodities such as coffee and sugar). The weighting of each asset class will change over time and new asset classes may be introduced from time to time. The Portfolio may also invest in instruments that provide exposure to hedge fund strategies, such as low-volatility, directional and fund of funds strategies, and in instruments that provide exposure to private equity strategies, such as mezzanine debt and leveraged buyout strategies. The Portfolio expects to achieve exposure to the above-mentioned asset classes primarily through exchange-traded funds (ETFs), mutual funds and closed-end funds (together, underlying funds) but has the ability to gain exposure through direct investment in stocks and bonds, unit investment trusts (UITs), private funds and other pooled investment vehicles, and through derivative instruments. In constructing the Portfolio, the Manager utilizes a three-step process that includes: 1) analyzing the asset allocation data of multiple family offices to produce a target asset allocation weighting, 2) identifying investments or investment vehicles that provide exposure to the desired asset classes, and 3) making tactical adjustments to the target asset allocation weightings to take advantage of current market conditions. Asset allocation weightings will be reassessed quarterly but tactical adjustments may be made more frequently than quarterly. The Portfolio may invest up to 25% of its total assets in a wholly-owned and controlled Cayman Islands subsidiary (the “Subsidiary”) to gain exposure to certain commodity -linked investments such as ETNs, CLNs and commodity futures and swaps. The Portfolio may hold investments with commodity exposure outside of the Subsidiary and, therefore it is possible the Portfolio’s exposure to commodities could exceed 25%, although the Manager does not currently anticipate that such exposure would exceed 25% of the Portfolio’s total assets.
PORTFOLIO ADVISER COMMENTARY
Financial markets in 2020 experienced one of the most eventful and historic trading years on record. Over the span of twelve months, traders witnessed a full market cycle the likes of which is typically seen over the course of several years. The market began the year on solid footing. Then, during the last week of February, COVID-19 hit the market and dramatically altered capital market expectations and changed the world on a truly fundamental level. Within the course of four weeks, the S&P dropped approximately 35%, volatility exploded, and 10-year Treasury yields fell dramatically from 1.90% at the beginning of the year down to 0.50%.
Just when the collapse of the economic system seemed the most likely outcome, both monetary and fiscal authorities unleashed an unprecedented amount of stimulus and liquidity on a global basis. In the US, Congress passed the CARES Act, injecting $2.2 trillion of stimulus across a range of programs, including payments to individuals, the Paycheck Protection Program (PPP), unemployment benefits, and forgivable bridge loans to businesses. At the same time, the Federal Reserve promised to use its full arsenal of tools to support the economy. Over the course of two months, the Fed expanded their balance sheet by approximately $3 trillion through various quantitative easing programs and bond purchases. Their balance sheet has remained relatively stable since June with a value of roughly $7.1 trillion.
Since then, there has been a robust recovery with asset classes across the board moving higher in the second half of the year. Despite these good numbers, the stock market recovery has been far from even. Certain sectors, like big tech, have benefitted tremendously this year while other sectors, such as travel and entertainment, have been decimated. Since the mid 1980s the bond market has been supported by the long-term declining trend of interest rates. The 10-year Treasury yield is hovering around 90 bps and with the Fed’s aversion to negative rates, we believe we very close to hitting a floor where rates can no longer decline. Going forward, fixed income may not produce much income and may have very limited capital gain potential. We believe this is a potentially strong environment for alternative investments.
At the end of the period, underlying family offices allocated 60% to Public Equity out of which 11% was International and 3% Emerging Markets. Most of their Fixed Income allocation was in the US at 15%. The remaining significant allocations were to Private Equity, Hedge Funds, and Real Estate. They maintained around 5% in Cash & Equivalents.
9
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
JAMES ALPHA FAMILY OFFICE PORTFOLIO VS. BENCHMARKS
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of Total | |
Company | Investments |
iShares Micro-Cap ETF | 9.6% |
iShares MSCI USA Quality Factor ETF | 9.1% |
Vanguard Total Bond Market ETF | 6.3% |
SPDR S&P International Small Cap ETF | 5.0% |
Invesco DWA Momentum ETF | 4.8% |
Vanguard Real Estate ETF | 4.5% |
AXS Thomson Reuters Private Equity Return Tracker Fund - Class I | 4.4% |
Invesco Global Short Term High Yield Bond ETF | 4.3% |
Vanguard FTSE All World ex-US Small-Cap ETF | 3.9% |
iShares Core U.S. Aggregate Bond ETF | 3.8% |
* | Based on total investments as of November 30, 2020. |
Excludes short-term investments.
Portfolio Composition*
The Dow Jones Moderate Portfolio Index is a member of the Relative Risk Index Series and designed to measure a total portfolio of stocks, bonds, and cash, allocated to represent an investor’s desired risk profile. The Dow Jones Moderate Portfolio Index risk level is set to 60% of the Dow Jones Global Stock CMAC Index’s downside risk (past 36 months).
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 |
JAMES ALPHA RELATIVE VALUE 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 Periods Ended November 30, 2020 | |||
One Year: | Three Years: | Inception: | |
11/30/19-11/30/20 | 11/30/17-11/30/20 | 8/18/17 – 11/30/20* | |
Class A | |||
With Sales Charge | (1.67)% | 2.31% | 2.55% |
Without Sales Charge | 4.32% | 4.36% | 4.41% |
Class C | |||
With Sales Charge | 3.39% | 4.85% | 4.86% |
Without Sales Charge | 4.32% | 4.85% | 4.86% |
Class I | 4.32% | 4.85% | 4.86% |
Class S | 4.71% | 5.14% | 5.13% |
* | 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 total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated March 30, 2020, is 3.85%, 4.60%, 3.60% and 3.60% for the A, C, I and S Classes, respectively. The Portfolio’s Manager has contractually agreed to waive its fees and/or absorb expenses (excluding certain expenses) of the Portfolio through March 31, 2021, to ensure the total net operating expense ratio does not exceed 1.74%, 2.49%, 1.49% and 1.12% for the A, C, I and S classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio seeks to achieve its investment objective by attempting to outperform the returns of a variety of “relative value” investment strategies. Relative value investment strategies seek to identify and capitalize on valuation discrepancies between related financial instruments rather than on the direction of the general market. The Portfolio expects to gain exposure to asset classes primarily through exchange-traded products such as exchange-traded notes (“ETNs”), exchange-traded funds (“ETFs”) and mutual funds, although the Portfolio may invest directly in currencies, equities and fixed income securities. The Portfolio also expects to invest in derivative instruments to gain exposure to one or more asset classes, individual investments or investment strategies. In constructing the Portfolio’s investments, the Portfolio’s Manager employs proprietary techniques and models to evaluate the drivers of performance of private funds that utilize relative value investment strategies. The Manager then identifies investments that it believes have similar drivers of performance to attempt to produce returns that correlate with, but are not identical to, the returns of the private funds tracked by the Manager. The Manager then determines the appropriate percentage that each particular investment strategy should represent of the entire Portfolio and weights the exposure to that investment strategy accordingly. The private fund returns on which the Manager’s models are based are pulled from various sources and do not represent the returns of the entire private fund universe. The private funds’ returns tracked by the Manager, the factors driving those returns and the percentage weightings assigned by the Manager to each investment strategy are all expected to change over time. The Portfolio may invest up to 25% of its total assets in a wholly-owned and controlled Cayman Islands subsidiary (the “Subsidiary”) to gain exposure to certain commodity-linked investments such as commodity futures, options and swap contracts. The commodity investments will be focused in four sectors of the commodities market: energy, precious metals, industrial metals and agricultural/livestock. The Portfolio may hold investments with commodity exposure outside of the Subsidiary and, therefore it is possible the Portfolio’s exposure to commodities could exceed 25%.
PORTFOLIO ADVISER COMMENTARY
Financial markets in 2020 experienced one of the most eventful and historic trading years on record. Over the span of twelve months, traders witnessed a full market cycle the likes of which is typically seen over the course of several years. The market began the year on solid footing. Then, during the last week of February, COVID-19 hit the market and dramatically altered capital market expectations and changed the world on a truly fundamental level. Within the course of four weeks, the S&P dropped approximately 35%, volatility exploded, and 10-year Treasury yields fell dramatically from 1.90% at the beginning of the year down to 0.50%.
Just when the collapse of the economic system seemed the most likely outcome, both monetary and fiscal authorities unleashed an unprecedented amount of stimulus and liquidity on a global basis. In the US, Congress passed the CARES Act, injecting $2.2 trillion of stimulus across a range of programs, including payments to individuals, the Paycheck Protection Program (PPP), unemployment benefits, and forgivable bridge loans to businesses. At the same time, the Federal Reserve promised to use its full arsenal of tools to support the economy. Over the course of two months, the Fed expanded their balance sheet by approximately $3 trillion through various quantitative easing programs and bond purchases. Their balance sheet has remained relatively stable since June with a value of roughly $7.1 trillion.
Since then, there has been a robust recovery with asset classes across the board moving higher in the second half of the year. Despite these good numbers, the stock market recovery has been far from even. Certain sectors, like big tech, have benefitted tremendously this year while other sectors, such as travel and entertainment, have been decimated. Since the mid 1980s the bond market has been supported by the long-term declining trend of interest rates. The 10-year Treasury yield is hovering around 90 bps and with the Fed’s aversion to negative rates, we believe we very close to hitting a floor where rates can no longer decline. Going forward, fixed income may not produce much income and may have very limited capital gain potential. We believe this is a potentially strong environment for alternative investments.
For the period, Relative Value managers provided moderate performance. Convertible Arbitrage and Multi-Strategy sub-styles outperformed, returning 11.0% and 7.2%, respectively. Volatility and Fixed Income Asset Backed underperformed with negative returns for the period. Finally, the portfolio’s swap positions contributed 0.1% to the performance of the portfolio during the annual period ended November 30, 2020.
11
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
JAMES ALPHA RELATIVE VALUE PORTFOLIO VS. BENCHMARKS
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 | 30.7% |
SPDR Bloomberg Barclays Convertible Securities ETF | 4.7% |
High Yield ETF | 4.3% |
SPDR Doubleline Total Return Tactical ETF | 4.0% |
Invesco Global Short Term High Yield Bond ETF | 3.7% |
VanEck Vectors Emerging Markets High Yield Bond ETF | 3.1% |
American Beacon Sound Point Floating Rate Income Fund - Class Y | 3.0% |
Kellner Merger Fund - Institutional Class | 2.4% |
iShares 20+ Year Treasury Bond ETF | 2.2% |
Invesco S&P 500 BuyWrite ETF | 1.9% |
* | Based on total net assets as of November 30, 2020. |
Excludes short-term investments.
Portfolio Composition*
HFRI Relative Value Total Index: Investment Managers who maintain positions in which the investment thesis is predicated on realization of a valuation discrepancy in the relationship between multiple securities. Managers employ a variety of fundamental and quantitative techniques to establish investment theses, and security types range broadly across equity, fixed income, derivative or other security types. Fixed income strategies are typically quantitatively driven to measure the existing relationship between instruments and, in some cases, identify attractive positions in which the risk adjusted spread between these instruments represents an attractive opportunity for the investment manager. RV position may be involved in corporate transactions also, but as opposed to ED exposures, the investment thesis is predicated on realization of a pricing discrepancy between related securities, as opposed to the outcome of the corporate transaction.
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 |
JAMES ALPHA TOTAL HEDGE 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 Periods Ended November 30, 2020 | |||
One Year: | Three Years: | Inception: | |
11/30/19-11/30/20 | 11/30/17-11/30/20 | 6/30/17 – 11/30/20* | |
Class A | |||
With Sales Charge | 2.85% | 2.36% | 3.18% |
Without Sales Charge | 9.14% | 4.39% | 4.98% |
Class C | |||
With Sales Charge | 7.31% | 3.59% | 4.25% |
Without Sales Charge | 8.31% | 3.59% | 4.25% |
Class I | 9.39% | 4.63% | 5.25% |
Class S | 9.75% | 4.84% | 5.44% |
* | 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 total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated March 30, 2020, is 3.45%, 4.21%, 3.21% and 3.21% for the A, C, I and S Classes, respectively, and May 30, 2020 Supplement is 3.21% for class S. The Portfolio’s Manager has contractually agreed to waive its fees and/or absorb expenses (excluding certain expenses) of the Portfolio through March 31, 2021, to ensure the total net operating expense ratio does not exceed 1.74%, 2.49%, 1.49% and 1.12% for the A, C, I and S classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio seeks to achieve its investment objective by attempting to outperform the returns of a variety of investment strategies offered by private funds. The private fund investment strategies the returns of which the Portfolio will seek to outperform include “hedged equity,” “event driven,” “macro,” and “relative value” strategies. A hedged equity investment strategy typically involves establishing both long and short positions in equity or equity-linked instruments. Event driven investment strategies seek to profit from investing in securities of companies on the basis that a specific event or catalyst will affect future pricing. Macro based strategies aim to exploit macro-economic imbalances across the globe. Relative value strategies seek to identify and capitalize on valuation discrepancies between related financial instruments rather than on the direction of the general market. The Portfolio expects to gain exposure to these asset classes primarily through exchange-traded products such as exchange-traded notes (“ETNs”), exchange-traded funds (“ETFs”) and mutual funds, although the Portfolio may invest directly in currencies, equities and fixed income securities. The Portfolio also expects to invest in derivative instruments to gain exposure to one or more asset classes, individual investments or investment strategies. In constructing the Portfolio’s investments, the Portfolio’s Manager employs proprietary techniques and models to evaluate the drivers of performance of private funds that utilize hedged equity, event driven, macro and relative value strategies. The Manager then identifies investments that it believes have similar drivers of performance to attempt to produce returns that correlate with, but are not identical to, the returns of the private funds tracked by the Manager. The Manager then determines the appropriate percentage that each particular investment strategy should represent of the entire Portfolio and weights the exposure to that investment strategy accordingly. The private fund returns on which the Manager’s models are based are pulled from various sources and do not represent the returns of the entire private fund universe. The private funds’ returns tracked by the Manager, the factors driving those returns and the percentage weightings assigned by the Manager to each investment strategy are all expected to change over time. The Portfolio may invest up to 25% of its total assets in a wholly-owned and controlled Cayman Islands subsidiary (the “Subsidiary”) to gain exposure to certain commodity-linked investments such as commodity futures, options and swap contracts. The commodity investments will be focused in four sectors of the commodities market: energy, precious metals, industrial metals and agricultural/livestock. The Portfolio may hold investments with commodity exposure outside of the Subsidiary and, therefore it is possible the Portfolio’s exposure to commodities could exceed 25%.
PORTFOLIO ADVISER COMMENTARY
Financial markets in 2020 experienced one of the most eventful and historic trading years on record. Over the span of twelve months, traders witnessed a full market cycle the likes of which is typically seen over the course of several years. The market began the year on solid footing. Then, during the last week of February, COVID-19 hit the market and dramatically altered capital market expectations and changed the world on a truly fundamental level. Within the course of four weeks, the S&P dropped approximately 35%, volatility exploded, and 10-year Treasury yields fell dramatically from 1.90% at the beginning of the year down to 0.50%.
Just when the collapse of the economic system seemed the most likely outcome, both monetary and fiscal authorities unleashed an unprecedented amount of stimulus and liquidity on a global basis. In the US, Congress passed the CARES Act, injecting $2.2 trillion of stimulus across a range of programs, including payments to individuals, the Paycheck Protection Program (PPP), unemployment benefits, and forgivable bridge loans to businesses. At the same time, the Federal Reserve promised to use its full arsenal of tools to support the economy. Over the course of two months, the Fed expanded their balance sheet by approximately $3 trillion through various quantitative easing programs and bond purchases. Their balance sheet has remained relatively stable since June with a value of roughly $7.1 trillion.
Since then, there has been a robust recovery with asset classes across the board moving higher in the second half of the year. Despite these good numbers, the stock market recovery has been far from even. Certain sectors, like big tech, have benefitted tremendously this year while other sectors, such as travel and entertainment, have been decimated. Since the mid 1980s the bond market has been supported by the long-term declining trend of interest rates. The 10-year Treasury yield is hovering around 90 bps and with the Fed’s aversion to negative rates, we believe we very close to hitting a floor where rates can no longer decline. Going forward, fixed income may not produce much income and may have very limited capital gain potential. We believe this is a potentially strong environment for alternative investments.
For the period, the Hedge Fund sector provided strong risk adjusted performance. All strategy types provided positive returns. Equity Hedge and Event-Driven managers benefitted the most from the strong equity market and bond market with 14.4% and 6.8% performance. Finally, the SWAP position contributed negative 0.1% to the performance of the Portfolio during the annual period ended November 30, 2020.
13
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
JAMES ALPHA TOTAL HEDGE PORTFOLIO VS. BENCHMARKS
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 | 8.9% |
American Beacon Sound Point Floating Rate Income Fund - Class Y | 5.2% |
Invesco Global Short Term High Yield Bond ETF | 3.5% |
iShares Micro-Cap ETF | 3.4% |
iShares Russell Mid-Cap Growth ETF | 3.4% |
Invesco S&P 500 Equal Weight ETF | 3.1% |
SPDR Doubleline Total Return Tactical ETF | 2.7% |
Vanguard Total World Stock ETF | 2.4% |
iShares Russell 2000 Growth ETF | 2.1% |
Kellner Merger Fund - Institutional Class | 2.1% |
* | Based on total net assets as of November 30, 2020. |
Excludes short-term investments.
Portfolio Composition*
The HFRI Fund Weighted Composite Index is a global, equal-weighted index of appx. 1,900 single-manager funds that report to HFR Database. Constituent funds report monthly net of all fees performance in US Dollar and have a minimum of $50 Million under management or a twelve (12) month track record of active performance. The HFRI Fund Weighted Composite Index does not include Funds of Hedge Funds.
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 |
JAMES ALPHA STRUCTURED CREDIT VALUE PORTFOLIO
Advised by: James Alpha Advisors, LLC, New York, New York
Objective: The Portfolio seeks to provide a high level of risk-adjusted current income and capital appreciation.
Total Aggregate Return for the Periods Ended November 30, 2020 | ||
One Year: | Inception: | |
11/30/19-11/30/20 | 8/21/18 – 11/30/20* | |
Class A | ||
With Sales Charge | 7.12% | 7.60% |
Without Sales Charge | 13.65% | 10.44% |
Class C | ||
With Sales Charge | 11.62% | 8.98% |
Without Sales Charge | 12.62% | 8.98% |
Class I | 13.80% | 9.74% |
Class S | 14.23% | 10.14% |
* | Inception date is August 14, 2018. Start of performance is August 21, 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 total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated March 30, 2020, is 2.39%, 3.12%, 2.01% and 1.94% for the A, C, I and S Classes, respectively. The Portfolio’s Manager has contractually agreed to waive its fees and/or absorb expenses (excluding certain expenses) of the Portfolio through March 31, 2021, to ensure the total net operating expense ratio does not exceed 1.74%, 2.49%, 1.49% and 1.12% for the A, C, I and S classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio seeks to achieve its investment objectives, under normal conditions, by investing at least 80% of the Portfolio’s net assets plus any borrowings for investment purposes in structured credit securities, and in other investments that have economic characteristics similar to such securities. Structured credit securities include, but are not limited to, mortgage backed-securities (“MBS”), including residential mortgage-backed securities (“RMBS”), commercial mortgage-backed securities (“CMBS”); asset-backed securities (“ABS”); collateralized mortgage obligations (“CMOs”); collateralized loan obligations (“CLOs”); collateralized bond obligations (“CBOs”); collateralized debt obligations (“CDOs”); mortgage derivatives such as stripped RMBS and inverse floaters; and other securitized assets. The use of inverse floaters by the Portfolio creates effective leverage.
The Portfolio’s investments in RMBS may include agency and nonagency RMBS, including to-be-announced MBS (“TBA”), and non-U.S. dollar denominated RMBS. The Portfolio’s investments in CMOs may include whole loan CMOs backed by prime, Alt-A, and subprime collateral. The Sub-Adviser considers prime loans to represent borrowers with good to excellent credit; the Sub-Adviser considers subprime loans to represent borrowers with a higher risk of default than loans to prime borrowers and therefore carry higher interest rates; and the Sub-Adviser considers Alt-A loans to represent borrowers with a credit risk profile between that of prime and subprime loans. The Portfolio may invest without limit in securitizations backed by loans and expects that most Alt-A and subprime securitizations in which the Portfolio intends to invest will be composed entirely of such loans. The Portfolio’s investments in ABS include ABS backed by student loans, auto loans, or nontraditional collateral such as single family rentals and aircraft leases.
The Portfolio concentrates its investments (i.e., invests more than 25% of its net assets) in RMBS, CMBS, and other mortgage-related securities (such as CMOs), and treats such investments as investments in a group of industries. The Portfolio may also invest in corporate bonds and other fixed income securities. The Portfolio seeks to minimize interest rate risk by maintaining a short to intermediate average portfolio duration (i.e., within a zero to three (0 to 3) year range), as calculated by the Sub-Adviser, although the Portfolio’s average duration may be shorter or longer at any time or from time to time depending on market conditions and other factors. While the Portfolio seeks to maintain a short to intermediate average portfolio duration, there is no limit on the maturity or duration of any individual security in which the Portfolio may invest. In addition, the Sub- Adviser manages the liquidity of the Portfolio’s holdings at both the individual security level and the portfolio level, using a proprietary technique that attempts to optimize the tradeoff between the yield and liquidity of the portfolio.
In pursuing its objective, the Portfolio may sell securities short from time to time, predominately in conjunction with long positions with similar characteristics for the purposes of hedging or managing interest rate or credit spread risk, or occasionally for exploiting relative value differences between two securities, not for predicting the overall direction of the market. The Portfolio may also employ TBA for these short selling activities. TBA sales are forward-settling sales of agency MBS where the underlying pools of mortgage loans are not known at the time of the original transaction, but are announced just before settlement based on a “cheapest-to-deliver” algorithm. The Portfolio may invest in options, futures and swaps (including interest rate swaps, credit default swaps, total return swaps and swaptions). The Portfolio may invest in such instruments, without limitation, for hedging purposes designed to manage interest rate, credit spread and other risks.
The Portfolio may invest without limit in debt securities that are rated below investment grade (also known as “junk bonds”). The Portfolio does not have a target allocation to investment grade or below investment grade securities, but may invest a significant portion of its assets in non-agency RMBS, which are below investment grade securities. The Sub-Adviser defines investment grade securities as those that are rated BBB or higher by Standard & Poor’s Ratings Services (“S&P”) or Baa or higher by Moody’s Investors Service, Inc. (“Moody’s”), for example, or are rated investment grade by any other Nationally Recognized Statistical Rating Organization (“NRSRO”), or if unrated, determined by the Sub-Adviser to be of comparable quality.
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INVESTMENT REVIEW |
The Portfolio may invest a significant portion of its assets in Rule 144A securities, as a significant portion of current issuance in the ABS and MBS markets are Rule 144A securities. Rule 144A securities are not registered under the Securities Act of 1933, as amended (the “1933 Act”) and can be traded only among large institutional buyers and sellers, including the Portfolio, that meet the requirements of Rule 144A.
The Portfolio employs a value style investing approach that seeks to invest in securities providing undervalued cash flows within markets the Sub- Adviser deems inefficient. When investing Portfolio assets in all types of securities, the Sub- Adviser analyzes their expected future cash flows based on collateral composition and expected performance, deal structure including credit enhancement, state variables such as interest shortfalls and servicer advances and other factors in order to project expected return parameters such as yield and average life. The Sub-Adviser employs a comprehensive risk management process tailored to the securities held in the Portfolio that considers systematic risk, cash flow risk and liquidity risk of the securities.
The Sub-Adviser, using a proprietary quantitative analysis model, projects security cash flows and values such cash flows at what it deems to be the appropriate discount rate based on price discovery resulting from relatively active trading and publicly available pricing information. The Sub -Adviser’s proprietary quantitative analysis model to evaluate RMBS securities considers borrower and servicer behavior in projecting, at the loan-level, prepayment and default probability, default severity, and other factors affecting the cash flows of the security, which are then analyzed not only to identify undervalued securities, but also to stress test the credit risk of those securities. The Sub -Adviser considers selling securities when such securities have reached their price/valuation targets. The Sub-Adviser may also consider selling securities when the Sub-Adviser believes securities have become overvalued and replacing them with securities the Sub-Adviser believes to be undervalued to seek to offer the Portfolio better relative value and performance expectations. The Sub-Adviser may also sell and replace securities as necessary to rebalance and align the portfolio with its overall risk parameter targets.
PORTFOLIO ADVISER COMMENTARY
Just like 1929, 2000 and 2008 before it, 2020 will go down in the historical annals of financial markets as an extraordinary year. However, unlike all of these painful reminders punctuated by severe market crashes, 2020 will be remembered as a colossal success in terms of financial markets performance against the backdrop of the worst global pandemic in over 100 years. Indeed, if one were to look at the beginning and ending levels of various risk markets the conclusion would be that a strong bull market in equities. Credit markets experienced a mild pullback with Investment Grade (IG) Corporates widening 7bp and High Yield wider by 40bp. Hence, on the surface it’s one of the great paradoxes that while the world and US suffered a mass tragedy with over 1.6mm and 300k deaths due to the COVID-19 pandemic, respectively, the financial markets soared to new record heights thus making the 2020 bear market one of the shortest in history. However, when one realizes that the Fed along with other global central banks has embarked on record liquidity injection QE programs, the rationale for the phenomenal performance of risk assets becomes very clear. The Fed has added over $3trn of assets to its balance sheet in an unprecedented move to inject liquidity and support prices of financial assets. The Fed also helped fund close to $3trn of fiscal stimulus in the form of CARES Act 2020 and an upcoming stimulus bill aimed at extending unemployment benefits and providing credit to small businesses. As a result of the Fed’s actions M2 monetary supply has expanded at a record pace.
With the Fed embarking on massive QE by adding over $3trn of Treasuries and Agency Mortgage Backed Securities (MBS) and committing to continue its purchases of Treasuries and Agency MBS to the tune of $120bn per month until noticeable improvements in unemployment and inflation are in place, the Treasury market rallied to reach all time historical low yields. Short term rates plunged from 1.50% to 0.07% on the back of two Fed cuts and massive T-Bill buying while the 10-year Treasury rate dropped by 108bp to 0.84% after briefly falling below 0.50% over the summer. Interest rate volatility all but evaporated with the Fed acting as a reliable buyer of last resort for risk-free. Subsquently, the yield curve steepened as inflationary pressures driven by the record monetary expansion and fiscal stimulus put some pressure on the long-end of the curve. The Corporate Bond sector posted another strong year on the back of a rate rally. While IG corporate spreads slightly widened in 2020, the absolute yield reached a historic low of 1.80% in November. A similar performance pattern can be observed in the high yield space. Agency MBS posted a 3.65% return through November with spreads roughly unchanged in 2020 as the sector benefited from continuous Fed QE purchases
The James Alpha Structured Credit portfolio posted solid performance during the period primarily due to sector allocation and security selection. The portfolio deployed Credit Default Swap (CDS) contracts in an atetmpt to hedge the credit exposure of its structured note positions. The net contribution of the CDS hedge was -0.10% through November 2020.
16
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
JAMES ALPHA STRUCTURED CREDIT VALUE PORTFOLIO VS. BENCHMARKS
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
United States Treasury Bill, 0.077%, 02/25/2021 | 2.6% |
United States Treasury Bill, 0.087%, 05/27/2021 | 2.6% |
Silver Hill Trust 2019-SBC1, 4.178, 11/25/2049 | 2.2% |
United States Treasury Bill, 0.070%, 12/31/2020 | 2.1% |
United States Treasury Bill, 0.078%, 05/20/2021 | 2.1% |
Halcyon Loan Advisors Funding 2014-2 Ltd., 2.922%, 04/28/2025 | 2.1% |
Trapeza Cdo Xii Ltd., 0.694%, 04/06/2042 | 2.0% |
Credit Suisse First Boston Mortgage Securities Corp., 19.112%, 09/25/2035 | 1.8% |
HANA SBA LOAN TRUST 2019-1, 2.149%, 08/25/2045 | 1.8% |
Morgan Stanley, 0.705%, 04/30/2030 | 1.6% |
* | Based on total net assets as of November 30, 2020. |
Excludes short-term investments.
Portfolio Composition*
The Barclays Aggregate Bond Index is an unmanaged index which represents the U.S. investmen-grade fixed-rate bond market (including government and corporate securities, mortgage pass-through securities and asset-backed securities). Investors cannot invest directly in an index or benchmark.
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.
17
SCHEDULE OF INVESTMENTS |
JAMES ALPHA EHS PORTFOLIO |
November 30, 2020 |
Shares | Value | |||||||
EXCHANGE TRADED FUNDS - 78.1% | ||||||||
ALTERNATIVE FUND - 1.8% | ||||||||
1,056 | AlphaClone Alternative Alpha ETF | $ | 76,979 | |||||
COMMODITY FUNDS - 0.3% | ||||||||
254 | Invesco DB Agriculture Fund | 3,952 | ||||||
56 | SPDR Gold Shares * | 9,334 | ||||||
13,286 | ||||||||
EQUITY FUNDS - 69.6% | ||||||||
157 | AdvisorShares Dorsey Wright ADR ETF | 9,062 | ||||||
261 | AdvisorShares STAR Global Buy-Write ETF | 9,383 | ||||||
102 | Alerian MLP ETF | 2,549 | ||||||
2,185 | ALPS Medical Breakthroughs ETF | 107,262 | ||||||
423 | Columbia India Consumer ETF | 18,916 | ||||||
178 | Consumer Discretionary Select Sector SPDR Fund | 27,992 | ||||||
20 | Energy Select Sector SPDR Fund | 735 | ||||||
12 | First Trust Dow Jones Internet Index Fund * | 2,490 | ||||||
3,112 | First Trust Financial AlphaDEX Fund | 98,464 | ||||||
201 | Global X MSCI China Consumer Discretionary ETF | 6,868 | ||||||
225 | Global X MSCI Nigeria ETF | 2,529 | ||||||
128 | Invesco DWA Consumer Cyclicals Momentum ETF | 9,301 | ||||||
241 | Invesco DWA Healthcare Momentum ETF * | 35,842 | ||||||
2,171 | Invesco S&P 500 Equal Weight ETF | 266,772 | ||||||
338 | Invesco S&P 500 Pure Value ETF | 20,054 | ||||||
2,054 | Invesco S&P SmallCap Energy ETF | 8,134 | ||||||
206 | Invesco S&P SmallCap Health Care ETF * | 31,757 | ||||||
151 | Invesco S&P SmallCap Information Technology ETF | 16,663 | ||||||
11 | Invesco Water Resources ETF | 492 | ||||||
250 | iShares China Large-Cap ETF | 11,750 | ||||||
331 | iShares Edge MSCI Europe Momentum Factor UCITS ETF * | 3,094 | ||||||
235 | iShares Expanded Tech-Software Sector ETF | 79,362 | ||||||
3 | iShares Global Timber & Forestry ETF | 216 | ||||||
738 | iShares Latin America 40 ETF | 19,417 | ||||||
2,289 | iShares Micro-Cap ETF | 253,186 | ||||||
408 | iShares MSCI Brazil ETF | 13,566 | ||||||
307 | iShares MSCI China Small-Cap ETF | 14,739 | ||||||
768 | iShares MSCI EAFE ETF | 53,875 | ||||||
946 | iShares MSCI Frontier 100 ETF | 25,731 | ||||||
74 | iShares MSCI Germany Small-Cap ETF | 5,138 | ||||||
1,799 | iShares MSCI India Small-Cap ETF | 70,575 | ||||||
321 | iShares MSCI Indonesia ETF | 6,985 | ||||||
106 | iShares MSCI International Momentum Factor ETF | 3,796 | ||||||
508 | iShares MSCI Ireland ETF | 24,064 | ||||||
814 | iShares MSCI Japan ETF | 52,413 | ||||||
163 | iShares MSCI Japan Small-Cap ETF | 12,243 | ||||||
198 | iShares MSCI Philippines ETF | 6,094 | ||||||
30 | iShares MSCI Poland ETF | 525 | ||||||
3 | iShares MSCI South Africa ETF | 123 | ||||||
123 | iShares MSCI Taiwan ETF | 6,084 | ||||||
84 | iShares MSCI Thailand ETF | 6,318 | ||||||
907 | iShares MSCI UAE ETF | 10,666 | ||||||
100 | iShares MSCI United Kingdom ETF | 2,826 | ||||||
405 | iShares MSCI United Kingdom Small-Cap ETF | 15,795 | ||||||
703 | iShares Nasdaq Biotechnology ETF | 101,921 | ||||||
52 | iShares Russell 1000 ETF | 10,620 | ||||||
717 | iShares Russell 1000 Growth ETF | 165,799 | ||||||
117 | iShares Russell 1000 Value ETF | 15,491 | ||||||
273 | iShares Russell 2000 ETF | 49,418 | ||||||
784 | iShares Russell 2000 Growth ETF | 205,871 | ||||||
352 | iShares Russell 2000 Value ETF | 43,162 | ||||||
1,388 | iShares Russell Mid-Cap Growth ETF | 272,256 | ||||||
381 | iShares Russell Mid-Cap Value ETF | 35,486 | ||||||
68 | iShares S&P/TSX SmallCap Index ETF | 840 | ||||||
49 | iShares STOXX Europe 600 Utilities UCITS ETF DE | 2,187 | ||||||
3 | iShares U.S. Consumer Services ETF | 821 | ||||||
30 | iShares U.S. Financial Services ETF | 4,222 |
See accompanying notes to financial statements.
18
SCHEDULE OF INVESTMENTS (Continued) |
JAMES ALPHA EHS PORTFOLIO |
November 30, 2020 |
Shares | Value | |||||||
EXCHANGE TRADED FUNDS - 78.1% (Continued) | ||||||||
EQUITY FUNDS - 69.6% (Continued) | ||||||||
92 | iShares U.S. Healthcare Providers ETF | $ | 20,735 | |||||
38 | iShares U.S. Medical Devices ETF | 11,902 | ||||||
50 | iShares US Pharmaceuticals ETF | 8,549 | ||||||
231 | KraneShares CSI China Internet ETF | 17,427 | ||||||
83 | Materials Select Sector SPDR Fund | 5,892 | ||||||
1,008 | SPDR S&P Emerging Asia Pacific ETF | 122,875 | ||||||
6 | SPDR S&P Oil & Gas Exploration & Production ETF | 324 | ||||||
117 | SPDR S&P Regional Banking ETF | 5,569 | ||||||
62 | SPDR S&P Retail ETF | 3,725 | ||||||
783 | VanEck Vectors Africa Index ETF | 15,374 | ||||||
1,196 | VanEck Vectors Brazil Small-Cap ETF | 23,641 | ||||||
990 | VanEck Vectors ChinaAMC SME-Ch | 43,226 | ||||||
224 | VanEck Vectors Egypt Index ETF | 5,802 | ||||||
87 | VanEck Vectors Israel ETF | 3,528 | ||||||
98 | VanEck Vectors Low Carbon Energy ETF * | 14,376 | ||||||
1 | VanEck Vectors Rare Earth/Strategic Metals ETF | 55 | ||||||
354 | VanEck Vectors Russia ETF | 8,071 | ||||||
438 | VanEck Vectors Russia Small-Cap ETF | 15,735 | ||||||
148 | VanEck Vectors Semiconductor ETF | 30,874 | ||||||
2 | VanEck Vectors Unconventional Oil & Gas ETF | 143 | ||||||
3,042 | VanEck Vectors Vietnam ETF | 48,550 | ||||||
61 | Vanguard FTSE Canadian High Dividend Yield Index ETF | 1,537 | ||||||
2,239 | Vanguard FTSE Emerging Markets ETF | 106,487 | ||||||
1,253 | Vanguard Total World Stock ETF | 111,216 | ||||||
138 | WisdomTree Emerging Markets SmallCap Dividend Fund | 6,309 | ||||||
42 | WisdomTree Europe SmallCap Dividend Fund | 2,470 | ||||||
398 | WisdomTree Japan Hedged SmallCap Equity Fund | 15,395 | ||||||
585 | Xtrackers Harvest CSI 300 China A-Shares ETF | 22,406 | ||||||
503 | Xtrackers Harvest CSI 500 China A-Shares ETF | 17,541 | ||||||
186 | Xtrackers MSCI All China Equity ETF | 8,157 | ||||||
2,979,831 | ||||||||
FIXED INCOME FUNDS - 5.9% | ||||||||
14 | Invesco Financial Preferred ETF | 266 | ||||||
4,208 | iShares Preferred & Income Securities ETF | 158,768 | ||||||
1,170 | SPDR Bloomberg Barclays Convertible Securities ETF | 91,587 | ||||||
250,621 | ||||||||
SPECIALTY FUND - 0.5% | ||||||||
526 | ProShares Short VIX Short-Term Futures ETF * | 21,750 | ||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $3,025,333) | 3,342,467 | |||||||
EXCHANGE TRADED NOTE - 0.2% | ||||||||
SPECIALTY FUND - 0.2% | ||||||||
589 | iPath Series B S&P 500 VIX Short-Term Futures ETN * | |||||||
(Cost - $12,866) | 10,119 | |||||||
OPEN ENDED FUNDS - 6.3% | ||||||||
FIXED INCOME FUNDS - 6.3% | ||||||||
2,323 | American Beacon Sound Point Floating Rate Income - Class Y | 21,002 | ||||||
22,039 | James Alpha Structured Credit Value Portfolio - Class S ^ | 246,833 | ||||||
TOTAL OPEN ENDED FUNDS (Cost - $254,785) | 267,835 | |||||||
SHORT TERM INVESTMENT - 15.0% | ||||||||
MONEY MARKET FUND - 15.0% | ||||||||
642,915 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.03% ^^ | |||||||
(Cost - $642,915) | 642,915 | |||||||
TOTAL INVESTMENTS - 99.6% (Cost - $3,935,899) | $ | 4,263,336 | ||||||
OTHER ASSETS LESS LIABILITIES - (0.4)% | 19,170 | |||||||
NET ASSETS - 100.0% | $ | 4,282,506 |
ETF - Exchange Traded Fund | ||
* | Non-income producing securities. | |
^ | Affiliated investment. | |
^^ | Money Market Fund; interest rate reflects seven-day effective yield on November 30, 2020. |
See accompanying notes to financial statements.
19
SCHEDULE OF INVESTMENTS (Continued) |
JAMES ALPHA EHS PORTFOLIO |
November 30, 2020 |
Unrealized | ||||||||||||||||
Settlement | Local | U.S. Dollar | Appreciation/ | |||||||||||||
Foreign Currency | Date | Counterparty* | Currency | Value | (Depreciation) | |||||||||||
To Buy: | ||||||||||||||||
Australian Dollar | 12/23/2020 | BNY | 1,975 | $ | 1,456 | $ | 12 | |||||||||
Euro | 12/23/2020 | BNY | 2,443 | 2,925 | 24 | |||||||||||
Japanese Yen | 12/23/2020 | BNY | 782,647 | 7,511 | (20 | ) | ||||||||||
Mexican Peso | 12/23/2020 | BNY | 75,309 | 3,728 | 24 | |||||||||||
$ | 15,620 | $ | 40 | |||||||||||||
Settlement | Local | U.S. Dollar | Unrealized | |||||||||||||
Foreign Currency | Date | Counterparty* | Currency | Value | Depreciation | |||||||||||
To Sell: | ||||||||||||||||
British Pound | 12/23/2020 | BNY | (28,262 | ) | $ | (37,747 | ) | $ | (245 | ) | ||||||
Canadian Dollar | 12/23/2020 | BNY | (5,526 | ) | (4,265 | ) | (40 | ) | ||||||||
$ | (42,012 | ) | $ | (285 | ) | |||||||||||
Total Unrealized Depreciation On Forward Currency Contracts | $ | (245 | ) |
* | BNY - Bank of New York |
See accompanying notes to financial statements.
20
SCHEDULE OF INVESTMENTS |
JAMES ALPHA EVENT DRIVEN PORTFOLIO |
November 30, 2020 |
Shares | Value | |||||||
EXCHANGE TRADED FUNDS - 42.1% | ||||||||
ALTERNATIVE FUNDS - 8.0% | ||||||||
119 | AlphaClone Alternative Alpha ETF | $ | 8,675 | |||||
11,352 | IQ Merger Arbitrage ETF * | 384,946 | ||||||
101 | ProShares Merger ETF | 3,909 | ||||||
397,530 | ||||||||
COMMODITY FUND - 0.2% | ||||||||
434 | iShares Commodities Select Strategy ETF | 11,232 | ||||||
EQUITY FUNDS - 13.5% | ||||||||
1,894 | First Trust Financial AlphaDEX Fund | 59,926 | ||||||
351 | Global X MSCI Argentina ETF | 10,021 | ||||||
14 | Global X MSCI China Consumer Discretionary ETF | 478 | ||||||
96 | Global X Uranium ETF | 1,136 | ||||||
757 | Invesco DWA Energy Momentum ETF | 12,192 | ||||||
193 | Invesco KBW Property & Casualty ETF | 12,472 | ||||||
141 | Invesco S&P SmallCap 600 Pure Growth ETF | 17,874 | ||||||
67 | IQ US Real Estate Small Cap ETF | 1,399 | ||||||
237 | iShares China Large-Cap ETF | 11,139 | ||||||
4 | iShares Dow Jones Asia Pacific Select Dividend 50 UCITS ETF DE | 107 | ||||||
4,101 | iShares Edge MSCI Europe Momentum Factor UCITS ETF * | 38,328 | ||||||
328 | iShares Micro-Cap ETF | 36,280 | ||||||
1,552 | iShares MSCI Canada ETF | 46,995 | ||||||
111 | iShares MSCI China Small-Cap ETF | 5,329 | ||||||
129 | iShares MSCI Ireland ETF | 6,111 | ||||||
1,999 | iShares MSCI United Kingdom Small-Cap ETF | 77,961 | ||||||
354 | iShares Russell Mid-Cap Value ETF | 32,972 | ||||||
52 | KraneShares CSI China Internet ETF | 3,923 | ||||||
11 | ProShares UltraPro S&P 500 | 761 | ||||||
49 | SPDR Dow Jones Global Real Estate ETF | 2,109 | ||||||
692 | SPDR S&P Insurance ETF | 22,483 | ||||||
353 | SPDR S&P Regional Banking ETF | 16,803 | ||||||
795 | SPDR S&P Retail ETF | 47,764 | ||||||
1,302 | VanEck Vectors Russia Small-Cap ETF | 46,773 | ||||||
97 | Vanguard Real Estate ETF | 8,148 | ||||||
1,288 | WisdomTree Europe SmallCap Dividend Fund | 75,760 | ||||||
1,963 | WisdomTree Japan Hedged SmallCap Equity Fund | 75,929 | ||||||
73 | Xtrackers Harvest CSI 300 China A-Shares ETF | 2,796 | ||||||
673,969 | ||||||||
FIXED INCOME FUNDS - 20.4% | ||||||||
12,013 | High Yield ETF | 379,491 | ||||||
12,952 | I nvesco Global Short Term High Yield Bond ETF | 283,519 | ||||||
349 | Invesco Senior Loan ETF | 7,681 | ||||||
163 | iShares Barclays USD Asia High Yield Bond Index ETF | 1,656 | ||||||
393 | iShares JP Morgan USD Emerging Markets Bond ETF | 44,900 | ||||||
254 | SPDR Blackstone / GSO Senior Loan ETF | 11,460 | ||||||
3,580 | SPDR Bloomberg Barclays Euro High Yield Bond UCITS ETF | 244,354 | ||||||
461 | SPDR Doubleline Total Return Tactical ETF | 22,797 | ||||||
796 | VanEck Vectors Emerging Markets High Yield Bond ETF | 18,610 | ||||||
63 | VanEck Vectors J.P. Morgan EM Local Currency Bond ETF | 2,038 | ||||||
1,016,506 | ||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $2,105,176) | 2,099,237 | |||||||
OPEN ENDED FUNDS - 45.1% | ||||||||
ALTERNATIVE FUNDS - 26.5% | ||||||||
58,648 | Kellner Merger Fund - Institutional Class | 636,334 | ||||||
38,410 | Merger Fund - Investor Class | 684,467 | ||||||
1,320,801 | ||||||||
FIXED INCOME FUND - 18.6% | ||||||||
44,944 | American Beacon Sound Point Floating Rate Income Fund - Class Y | 406,292 | ||||||
46,571 | James Alpha Structured Credit Value Portfolio - Class S ^ | 521,593 | ||||||
927,885 | ||||||||
TOTAL OPEN ENDED FUNDS (Cost - $2,190,199) | 2,248,686 |
See accompanying notes to financial statements.
21
SCHEDULE OF INVESTMENTS (Continued) |
JAMES ALPHA EVENT DRIVEN PORTFOLIO |
November 30, 2020 |
Shares | Value | |||||||
SHORT TERM INVESTMENT - 4.3% | ||||||||
MONEY MARKET FUND - 4.3% | ||||||||
217,500 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.03% ^^ | $ | 217,500 | |||||
(Cost - $217,500) | ||||||||
TOTAL INVESTMENTS - 91.5% (Cost - $4,512,875) | $ | 4,565,423 | ||||||
OTHER ASSETS LESS LIABILITIES - 8.5% | 423,592 | |||||||
NET ASSETS - 100.0% | $ | 4,989,015 |
ETF - Exchange Traded Fund | ||
* | Non-income producing securities. | |
^ | Affiliated investment. | |
^^ | Money Market Fund; interest rate reflects seven-day effective yield on November 30, 2020. | |
OPEN RETURN SWAPS - 2.3% |
Notional | Expiration | Pay/Receive | Unrealized | |||||||||||||
Amount | Reference Entity | Shares | Counterparty | Date | Fixed Rate | Variable Rate # | Appreciation | |||||||||
55,568 | MSCI AC World Daily Total Return | 47 | Goldman Sachs | 4/22/2021 | Pay | 0.1403 | $ | — | ||||||||
192,376 | MSCI AC World Daily Total Return | 164 | Goldman Sachs | 4/22/2021 | Pay | 0.1403 | — | |||||||||
155,055 | MSCI Pacific Total Return | 24 | Goldman Sachs | 3/22/2021 | Pay | 0.2158 | — | |||||||||
55,065 | Russell 2000 Total Return Index | 7 | Goldman Sachs | 4/21/2021 | Pay | 0.1403 | — | |||||||||
94,397 | Russell 2000 Total Return Index | 12 | Goldman Sachs | 4/21/2021 | Pay | 0.1403 | — | |||||||||
(117,659 | ) | S&P 500 Total Return Index | (16) | Goldman Sachs | 11/22/2021 | Pay | 0.0800 | — | ||||||||
$ | — | |||||||||||||||
Notional | Expiration | Pay/Receive | Unrealized | |||||||||||||
Amount | Reference Entity | Shares | Counterparty | Date | Fixed Rate | Variable Rate # | Appreciation | |||||||||
1,828,688 | Goldman Sachs HY Synthetic Corporate 5Y Total Return | 11,322 | Goldman Sachs | 2/4/2021 | Pay | 0.2204 | $ | 96,398 | ||||||||
277,583 | Goldman Sachs HY Synthetic Corporate 5Y Total Return | 1,719 | Goldman Sachs | 2/4/2021 | Pay | 0.2204 | 14,632 | |||||||||
100,587 | Goldman Sachs HY Synthetic Corporate 5Y Total Return | 623 | Goldman Sachs | 2/4/2021 | Pay | 0.2204 | 5,359 | |||||||||
$ | 116,389 |
# | Variable rate is Libor plus (0.20)% - 0.40% |
The Goldman Sachs HY Synthetic Corporate 5YR Total Return Strategy is comprised of the two following underlying assets. The Markit CDX/NA.HY 5 Year Long Total return Index (“Markit Index”) and The Goldman Sachs 5-year Tresury Futures Index N1 Class B (“Goldman Futures Index”). The Markit Index tracks the performance of selling 5 year credit protection on the relevant on-the-run Markit CDX.NA.HY 5 year CDS contracts and the Goldman Futures Index tracks the excess return performance of a long notional position on a certain contract expiration of a bond future contract, which is “rolled” on a quarterly basis. The Strategy intends to provide exposure to the performance of the two underlying assets.
See accompanying notes to financial statements.
22
SCHEDULE OF INVESTMENTS (Continued) |
JAMES ALPHA EVENT DRIVEN PORTFOLIO |
November 30, 2020 |
Settlement | Local | U.S. Dollar | Unrealized | |||||||||||||
Foreign Currency | Date | Counterparty* | Currency | Value | Depreciation | |||||||||||
To Buy: | ||||||||||||||||
Japanese Yen | 12/23/2020 | BNY | 7,595,732 | $ | 72,885 | $ | (196 | ) | ||||||||
Settlement | Local | U.S. Dollar | Unrealized | |||||||||||||
Foreign Currency | Date | Counterparty* | Currency | Value | Depreciation | |||||||||||
To Sell: | ||||||||||||||||
Australian Dollar | 12/23/2020 | BNY | (57,833 | ) | $ | (42,625 | ) | $ | (362 | ) | ||||||
British Pound | 12/23/2020 | BNY | (60,230 | ) | (80,444 | ) | (522 | ) | ||||||||
Canadian Dollar | 12/23/2020 | BNY | (35,160 | ) | (27,137 | ) | (257 | ) | ||||||||
Euro | 12/23/2020 | BNY | (527,413 | ) | (631,394 | ) | (5,132 | ) | ||||||||
$ | (781,600 | ) | $ | (6,273 | ) | |||||||||||
Total Unrealized Depreciation On Forward Currency Contracts | $ | (6,469 | ) |
* | BNY - Bank of New York |
See accompanying notes to financial statements.
23
SCHEDULE OF INVESTMENTS |
JAMES ALPHA FAMILY OFFICE PORTFOLIO |
November 30, 2020 |
Shares | Value | |||||||
EXCHANGE TRADED FUNDS - 95.1% | ||||||||
COMMODITY FUND - 0.6% | ||||||||
2,418 | Invesco DB Commodity Index Tracking Fund | $ | 33,707 | |||||
EQUITY FUNDS - 70.2% | ||||||||
2,321 | First Trust Dow Jones Select Microcap Index Fund | 103,865 | ||||||
3,461 | Invesco DWA Momentum ETF | 289,513 | ||||||
17,811 | Invesco Global Listed Private Equity ETF | 223,350 | ||||||
13 | Invesco S&P 500 Equal Weight ETF | 1,597 | ||||||
2,207 | Invesco S&P 500 Revenue ETF | 134,539 | ||||||
2,880 | Invesco S&P MidCap 400 Equal Weight ETF | 207,285 | ||||||
5,207 | iShares Micro-Cap ETF | 575,946 | ||||||
1,272 | iShares MSCI Emerging Markets ETF | 61,985 | ||||||
172 | iShares MSCI Emerging Markets Min Vol Factor ETF | 10,165 | ||||||
1,376 | iShares MSCI Global Min Vol Factor ETF | 131,023 | ||||||
2,721 | iShares MSCI USA Min Vol Factor ETF | 181,355 | ||||||
10 | iShares MSCI USA Momentum Factor ETF | 1,562 | ||||||
4,891 | iShares MSCI USA Quality Factor ETF | 550,042 | ||||||
691 | iShares U.S. Real Estate ETF | 58,154 | ||||||
451 | SPDR S&P 500 ETF Trust | 163,289 | ||||||
9,076 | SPDR S&P International Small Cap ETF | 301,595 | ||||||
696 | VanEck Vectors Natural Resource ETF | 25,838 | ||||||
2,000 | Vanguard FTSE All World ex-US Small-Cap ETF | 231,640 | ||||||
19 | Vanguard FTSE All-World ex-US ETF | 1,057 | ||||||
3,735 | Vanguard FTSE Emerging Markets ETF | 177,637 | ||||||
1,547 | Vanguard Global ex-U.S. Real Estate ETF | 81,852 | ||||||
3,248 | Vanguard Real Estate ETF | 272,832 | ||||||
274 | Vanguard Russell 2000 ETF | 40,108 | ||||||
22 | Vanguard Total International Stock ETF | 1,263 | ||||||
1,088 | Vanguard Total Stock Market ETF | 203,130 | ||||||
2,055 | Vanguard Total World Stock ETF | 182,402 | ||||||
18 | WisdomTree International SmallCap Dividend Fund | 1,157 | ||||||
4,214,181 | ||||||||
FIXED INCOME FUNDS - 24.3% | ||||||||
11,793 | Invesco Global Short Term High Yield Bond ETF | 258,149 | ||||||
659 | iShares 7-10 Year Treasury Bond ETF | 79,337 | ||||||
1,925 | iShares Core U.S. Aggregate Bond ETF | 227,958 | ||||||
295 | iShares iBoxx High Yield Corporate Bond ETF | 25,464 | ||||||
358 | iShares JP Morgan USD Emerging Markets Bond ETF | 40,901 | ||||||
445 | iShares Short Treasury Bond ETF | 49,248 | ||||||
691 | PIMCO Active Bond Exchange-Traded Fund | 77,876 | ||||||
635 | PIMCO Enhanced Short Maturity Active Exchange-Traded Fund | 64,776 | ||||||
582 | SPDR Blackstone / GSO Senior Loan ETF | 26,260 | ||||||
321 | SPDR Bloomberg Barclays 1-3 Month T-Bill ETF | 29,378 | ||||||
1,131 | SPDR Bloomberg Barclays High Yield Bond ETF | 121,616 | ||||||
285 | SPDR Doubleline Total Return Tactical ETF | 14,093 | ||||||
4,304 | Vanguard Total Bond Market ETF | 380,861 | ||||||
1,034 | Vanguard Total International Bond ETF | 60,510 | ||||||
1,456,427 | ||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $5,109,956) | 5,704,315 | |||||||
EXCHANGE TRADED NOTE - 1.3% | ||||||||
COMMODITY FUND - 1.3% | ||||||||
3,703 | iPath Bloomberg Commodity Index Total Return ETN * | 76,615 | ||||||
TOTAL EXCHANGE TRADED NOTE (Cost - $77,509) | 76,615 | |||||||
OPEN ENDED FUND - 4.4% | ||||||||
EQUITY FUND - 4.4% | ||||||||
16,450 | AXS Thomson Reuters Private Equity Return Tracker Fund - Class I * | 265,499 | ||||||
TOTAL OPEN ENDED FUND (Cost - $213,697) | 265,499 | |||||||
TOTAL INVESTMENTS - 100.8% (Cost - $5,401,162) | $ | 6,046,429 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.8)% | (48,223 | ) | ||||||
NET ASSETS - 100.0% | $ | 5,998,206 |
ETF - Exchange Traded Fund | ||
ETN - Exchange Traded Note | ||
* | Non-income producing securities. |
See accompanying notes to financial statements.
24
SCHEDULE OF INVESTMENTS |
JAMES ALPHA RELATIVE VALUE PORTFOLIO |
November 30, 2020 |
Shares | Value | |||||||
EXCHANGE TRADED FUNDS - 39.6% | ||||||||
EQUITY FUNDS - 6.6% | ||||||||
1,334 | AdvisorShares STAR Global Buy-Write ETF | $ | 47,958 | |||||
6,863 | Alerian Energy Infrastructure ETF | 99,582 | ||||||
1,725 | Alerian MLP ETF | 43,108 | ||||||
201 | First Trust BICK Index Fund | 6,900 | ||||||
20 | First Trust Emerging Markets AlphaDEX Fund | 470 | ||||||
1,220 | Global X MSCI China Financials ETF | 19,349 | ||||||
1,014 | Global X SuperDividend REIT ETF | 8,751 | ||||||
6,926 | Invesco S&P 500 BuyWrite ETF | 140,390 | ||||||
275 | iShares China Large-Cap ETF | 12,925 | ||||||
686 | iShares Latin America 40 ETF | 18,049 | ||||||
51 | iShares Micro-Cap ETF | 5,641 | ||||||
120 | iShares Mortgage Real Estate ETF | 3,642 | ||||||
626 | SPDR S&P Insurance ETF | 20,339 | ||||||
933 | VanEck Vectors Brazil Small-Cap ETF | 18,442 | ||||||
414 | VanEck Vectors Mortgage REIT Income ETF | 6,649 | ||||||
46 | Vanguard Real Estate ETF | 3,864 | ||||||
330 | Xtrackers Harvest CSI 300 China A-Shares ETF | 12,639 | ||||||
359 | Xtrackers Harvest CSI 500 China A-Shares ETF | 12,519 | ||||||
481,217 | ||||||||
FIXED INCOME FUNDS - 32.7% | ||||||||
10,012 | High Yield ETF | 316,279 | ||||||
7,165 | Highland/iBoxx Senior Loan ETF | 114,138 | ||||||
12,406 | Invesco Global Short Term High Yield Bond ETF | 271,567 | ||||||
5,979 | Invesco Senior Loan ETF | 131,598 | ||||||
598 | Invesco Variable Rate Preferred ETF | 15,345 | ||||||
1,012 | iShares 20+ Year Treasury Bond ETF | 161,940 | ||||||
193 | iShares 7-10 Year Treasury Bond ETF | 23,235 | ||||||
7,821 | iShares Barclays USD Asia High Yield Bond Index ETF | 79,461 | ||||||
16 | iShares JP Morgan USD Emerging Markets Bond ETF | 1,828 | ||||||
988 | iShares National Muni Bond ETF | 115,388 | ||||||
179 | iShares Preferred & Income Securities ETF | 6,754 | ||||||
10 | Kraneshares CCBS China Corporate High Yield Bond USD Index ETF | 401 | ||||||
919 | PIMCO Enhanced Short Maturity Active Exchange-Traded Fund | 93,747 | ||||||
715 | SPDR Blackstone / GSO Senior Loan ETF | 32,261 | ||||||
4,445 | SPDR Bloomberg Barclays Convertible Securities ETF | 347,955 | ||||||
402 | SPDR Bloomberg Barclays Euro High Yield Bond UCITS ETF | 27,439 | ||||||
5,986 | S PDR Doubleline Total Return Tactical ETF | 296,008 | ||||||
414 | SPDR Nuveen Bloomberg Barclays High Yield Municipal Bond ETF | 24,049 | ||||||
9,638 | VanEck Vectors Emerging Markets High Yield Bond ETF | 225,336 | ||||||
3,567 | VanEck Vectors Fallen Angel High Yield Bond ETF | 112,289 | ||||||
123 | Vanguard Mortgage-Backed Securities ETF | 6,657 | ||||||
2,403,675 | ||||||||
SPECIALITY FUND - 0.3% | ||||||||
962 | Invesco DB G10 Currency Harvest Fund | 23,175 | ||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $2,931,524) | 2,908,067 | |||||||
OPEN ENDED FUNDS - 36.1% | ||||||||
ALTERNATIVE FUND - 2.4% | ||||||||
16,573 | Kellner Merger Fund - Institutional Class | 179,812 | ||||||
FIXED INCOME FUNDS - 33.7% | ||||||||
24,004 | American Beacon Sound Point Floating Rate Income - Class Y | 216,993 | ||||||
201,835 | James Alpha Structured Credit Value Portfolio - Class S ^ | 2,260,551 | ||||||
2,477,544 | ||||||||
TOTAL OPEN ENDED FUNDS (Cost - $2,484,262) | 2,657,356 |
See accompanying notes to financial statements.
25
SCHEDULE OF INVESTMENTS (Continued) |
JAMES ALPHA RELATIVE VALUE PORTFOLIO |
November 30, 2020 |
Shares | Value | |||||||
SHORT TERM INVESTMENT - 18.9% | ||||||||
MONEY MARKET FUND - 18.9% | ||||||||
1,388,309 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.03% ^^ | |||||||
(Cost - $1,388,309) | $ | 1,388,309 | ||||||
TOTAL INVESTMENTS - 94.6% (Cost - $6,804,095) | $ | 6,953,732 | ||||||
OTHER ASSETS LESS LIABILITIES - 5.4% | 398,128 | |||||||
NET ASSETS - 100.0% | $ | 7,351,860 |
ETF - Exchange Traded Fund | ||
* | Non-income producing securities. | |
^ | Affiliated investment. | |
^^ | Money Market Fund; interest rate reflects seven-day effective yield on November 30, 2020. | |
OPEN RETURN SWAPS - 2.1% |
Unrealized | ||||||||||||||||
Notional | Expiration | Pay/Receive | Variable | Appreciation/ | ||||||||||||
Amount | Reference Entity | Shares | Counterparty | Date | Fixed Rate | Rate # | (Depreciation) | |||||||||
15,411 | MSCI AC World Daily Total Return Gross Index | 13 | Goldman Sachs | 5/21/2021 | Pay | 0.2409 | $ | — | ||||||||
30,499 | MSCI AC World Daily Total Return Gross Index | 26 | Goldman Sachs | 5/21/2021 | Pay | 0.2409 | — | |||||||||
(169,134 | ) | S&P 500 Total Return Index | (23) | Goldman Sachs | 11/22/2021 | Pay | 0.0800 | — | ||||||||
$ | — | |||||||||||||||
Notional | Expiration | Pay/Receive | Variable | Unrealized | ||||||||||||
Amount | Reference Entity | Shares | Counterparty | Date | Fixed Rate | Rate # | Appreciation | |||||||||
1,811,105 | Goldman Sachs HY Synthetic Corporate 5Y Total Return | 11,213 | Goldman Sachs | 2/4/2021 | Pay | 0.2204 | 95,471 | |||||||||
316,331 | Goldman Sachs HY Synthetic Corporate 5Y Total Return | 1,959 | Goldman Sachs | 2/4/2021 | Pay | 0.2204 | 16,595 | |||||||||
201,174 | Goldman Sachs HY Synthetic Corporate 5Y Total Return | 1,246 | Goldman Sachs | 2/4/2021 | Pay | 0.2204 | 10,574 | |||||||||
500,000 | Goldman Sachs HY Synthetic Corporate 5Y Total Return | 3,112 | Goldman Sachs | 2/4/2021 | Pay | 0.2144 | 29,329 | |||||||||
$ | 151,969 |
# | Variable rate is Libor plus (0.20)% - 0.45% |
The Goldman Sachs HY Synthetic Corporate 5YR Total Return Strategy is comprised of the two following underlying assets. The Markit CDX/NA.HY 5 Year Long Total return Index (“Markit Index”) and The Goldman Sachs 5-year Tresury Futures Index N1 Class B (“Goldman Futures Index”). The Markit Index tracks the performance of selling 5 year credit protection on the relevant on-the-run Markit CDX.NA.HY 5 year CDS contracts and the Goldman Futures Index tracks the excess return performance of a long notional position on a certain contract expiration of a bond future contract, which is “rolled” on a quarterly basis. The Strategy intends to provide exposure to the performance of the two underlying assets.
See accompanying notes to financial statements.
26
SCHEDULE OF INVESTMENTS (Continued) |
JAMES ALPHA RELATIVE VALUE PORTFOLIO |
November 30, 2020 |
Settlement | Local | U.S. Dollar | Unrealized | |||||||||||||
Foreign Currency | Date | Counterparty* | Currency | Value | Appreciation/(Depreciation) | |||||||||||
To Buy: | ||||||||||||||||
Euro | 12/23/2020 | BNY | 8,082 | $ | 9,675 | $ | 79 | |||||||||
Japanese Yen | 12/23/2020 | BNY | 3,586,475 | 34,414 | (93 | ) | ||||||||||
Total Unrealized Depreciation On Forward Currency Contracts | $ | (14 | ) |
* | BNY - Bank of New York |
See accompanying notes to financial statements.
27
SCHEDULE OF INVESTMENTS |
JAMES ALPHA TOTAL HEDGE PORTFOLIO |
November 30, 2020 |
Shares | Value | |||||||
EXCHANGE TRADED FUNDS - 69.6% | ||||||||
ALTERNATIVE FUNDS - 1.9% | ||||||||
1,444 | AlphaClone Alternative Alpha ETF | $ | 105,263 | |||||
2,754 | IQ Merger Arbitrage ETF * | 93,388 | ||||||
198,651 | ||||||||
COMMODITY FUNDS - 0.9% | ||||||||
332 | Invesco DB Agriculture Fund | 5,166 | ||||||
15 | Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 217 | ||||||
1,468 | iShares S&P GSCI Commodity Indexed Trust * | 17,102 | ||||||
996 | ProShares UltraShort Bloomberg Crude Oil * | 13,257 | ||||||
224 | SPDR Gold Shares * | 37,334 | ||||||
203 | United States Commodity Index Fund * | 6,255 | ||||||
1,903 | United States Natural Gas Fund LP * | 20,172 | ||||||
99,503 | ||||||||
EQUITY FUNDS - 42.3% | ||||||||
211 | AdvisorShares Dorsey Wright ADR ETF | 12,179 | ||||||
411 | AdvisorShares STAR Global Buy-Write ETF | 14,776 | ||||||
1,112 | Alerian MLP ETF | 27,789 | ||||||
2,841 | ALPS Medical Breakthroughs ETF | 139,465 | ||||||
1 | CI First Asset Active Utility & Infrastructure ETF | 10 | ||||||
549 | Columbia India Consumer ETF | 24,551 | ||||||
231 | Consumer Discretionary Select Sector SPDR Fund | 36,327 | ||||||
1,452 | Core Alternative ETF | 40,999 | ||||||
80 | Direxion NASDAQ-100 Equal Weighted Index Shares | 5,743 | ||||||
135 | Energy Select Sector SPDR Fund | 4,963 | ||||||
35 | First Trust Dow Jones Internet Index Fund * | 7,261 | ||||||
4,252 | First Trust Financial AlphaDEX Fund | 134,533 | ||||||
132 | Global X MSCI Argentina ETF | 3,769 | ||||||
262 | Global X MSCI China Consumer Discretionary ETF | 8,953 | ||||||
293 | Global X MSCI Nigeria ETF | 3,293 | ||||||
84 | Global X Uranium ETF | 994 | ||||||
167 | Invesco DWA Consumer Cyclicals Momentum ETF | 12,136 | ||||||
378 | Invesco DWA Energy Momentum ETF | 6,088 | ||||||
300 | Invesco DWA Healthcare Momentum ETF * | 44,616 | ||||||
68 | Invesco KBW High Dividend Yield Financial ETF | 1,072 | ||||||
47 | Invesco KBW Property & Casualty ETF | 3,037 | ||||||
1,740 | Invesco S&P 500 BuyWrite ETF | 35,270 | ||||||
2,707 | Invesco S&P 500 Equal Weight ETF | 332,636 | ||||||
439 | Invesco S&P 500 Pure Value ETF | 26,046 | ||||||
2,677 | Invesco S&P SmallCap Energy ETF | 10,601 | ||||||
263 | Invesco S&P SmallCap Health Care ETF * | 40,544 | ||||||
196 | Invesco S&P SmallCap Information Technology ETF | 21,629 | ||||||
25 | Invesco Water Resources ETF | 1,118 | ||||||
22 | IQ US Real Estate Small Cap ETF | 459 | ||||||
506 | iShares China Large-Cap ETF | 23,782 | ||||||
11 | iShares Currency Hedged MSCI EAFE ETF | 328 | ||||||
92 | iShares Dow Jones Asia Pacific Select Dividend 50 UCITS ETF DE | 2,460 | ||||||
430 | iShares Edge MSCI Europe Momentum Factor UCITS ETF * | 4,019 | ||||||
86 | iShares EURO STOXX Mid UCITS ETF | 6,231 | ||||||
307 | iShares Expanded Tech-Software Sector ETF | 103,677 | ||||||
279 | iShares Exponential Technologies ETF | 15,111 | ||||||
62 | iShares Global Materials ETF | 4,771 | ||||||
1,234 | iShares Latin America 40 ETF | 32,467 | ||||||
3,261 | iShares Micro-Cap ETF | 360,699 | ||||||
34 | iShares Mortgage Real Estate ETF | 1,032 | ||||||
176 | iShares MSCI All Country Asia ex Japan ETF | 14,953 | ||||||
531 | iShares MSCI Brazil ETF | 17,656 | ||||||
340 | iShares MSCI Canada ETF | 10,295 | ||||||
406 | iShares MSCI China Small-Cap ETF | 19,492 | ||||||
1,325 | iShares MSCI EAFE ETF | 92,949 | ||||||
459 | iShares MSCI Emerging Markets ETF | 22,367 | ||||||
1,343 | iShares MSCI Frontier 100 ETF | 36,530 | ||||||
96 | iShares MSCI Germany Small-Cap ETF | 6,665 | ||||||
2,340 | iShares MSCI India Small-Cap ETF | 91,798 | ||||||
417 | iShares MSCI Indonesia ETF | 9,074 | ||||||
143 | iShares MSCI International Momentum Factor ETF | 5,121 | ||||||
692 | iShares MSCI Ireland ETF | 32,780 | ||||||
1,107 | iShares MSCI Japan ETF | 71,280 | ||||||
478 | iShares MSCI Japan Small-Cap ETF | 35,903 | ||||||
50 | iShares MSCI Mexico ETF | 2,029 | ||||||
258 | iShares MSCI Philippines ETF | 7,941 | ||||||
39 | iShares MSCI Poland ETF | 683 | ||||||
11 | iShares MSCI South Africa ETF | 452 |
See accompanying notes to financial statements.
28
SCHEDULE OF INVESTMENTS (Continued) |
JAMES ALPHA TOTAL HEDGE PORTFOLIO |
November 30, 2020 |
Shares | Value | |||||||
EXCHANGE TRADED FUNDS - 69.6% (Continued) | ||||||||
EQUITY FUNDS - 42.3% (Continued) | ||||||||
175 | iShares MSCI Taiwan ETF | $ | 8,655 | |||||
110 | iShares MSCI Thailand ETF | 8,274 | ||||||
1,180 | iShares MSCI UAE ETF | 13,877 | ||||||
139 | iShares MSCI United Kingdom ETF | 3,928 | ||||||
1,016 | iShares MSCI United Kingdom Small-Cap ETF | 39,624 | ||||||
914 | iShares Nasdaq Biotechnology ETF | 132,512 | ||||||
68 | iShares Russell 1000 ETF | 13,888 | ||||||
672 | iShares Russell 1000 Growth ETF | 155,393 | ||||||
156 | iShares Russell 1000 Value ETF | 20,654 | ||||||
760 | iShares Russell 2000 ETF | 137,575 | ||||||
843 | iShares Russell 2000 Growth ETF | 221,363 | ||||||
478 | iShares Russell 2000 Value ETF | 58,612 | ||||||
1,818 | iShares Russell Mid-Cap Growth ETF | 356,601 | ||||||
650 | iShares Russell Mid-Cap Value ETF | 60,541 | ||||||
82 | iShares S&P Mid-Cap 400 Growth ETF | 5,581 | ||||||
231 | iShares S&P/TSX Capped Materials Index ETF | 3,080 | ||||||
31 | iShares S&P/TSX Global Gold Index ETF | 466 | ||||||
88 | iShares S&P/TSX SmallCap Index ETF | 1,087 | ||||||
3,169 | iShares STOXX Europe 600 Banks UCITS ETF DE | 40,281 | ||||||
288 | iShares STOXX Europe 600 Basic Resources UCITS ETF DE | 15,727 | ||||||
69 | iShares STOXX Europe 600 Utilities UCITS ETF DE | 3,079 | ||||||
22 | iShares U.S. Consumer Services ETF | 6,017 | ||||||
40 | iShares U.S. Financial Services ETF | 5,630 | ||||||
119 | iShares U.S. Healthcare Providers ETF | 26,820 | ||||||
49 | iShares U.S. Medical Devices ETF | 15,347 | ||||||
65 | iShares US Pharmaceuticals ETF | 11,114 | ||||||
325 | KraneShares CSI China Internet ETF | 24,518 | ||||||
244 | Materials Select Sector SPDR Fund | 17,322 | ||||||
22 | SPDR Dow Jones Global Real Estate ETF | 947 | ||||||
1,291 | SPDR S&P Emerging Asia Pacific ETF | 157,373 | ||||||
670 | SPDR S&P Insurance ETF | 21,768 | ||||||
19 | SPDR S&P Oil & Gas Exploration & Production ETF | 1,027 | ||||||
225 | SPDR S&P Regional Banking ETF | 10,710 | ||||||
276 | SPDR S&P Retail ETF | 16,582 | ||||||
1,112 | VanEck Vectors Africa Index ETF | 21,834 | ||||||
1,835 | VanEck Vectors Brazil Small-Cap ETF | 36,271 | ||||||
1,366 | VanEck Vectors ChinaAMC SME-Ch | 59,643 | ||||||
291 | VanEck Vectors Egypt Index ETF | 7,538 | ||||||
118 | VanEck Vectors Israel ETF | 4,785 | ||||||
134 | VanEck Vectors Low Carbon Energy ETF * | 19,656 | ||||||
116 | VanEck Vectors Mortgage REIT Income ETF | 1,863 | ||||||
2 | VanEck Vectors Rare Earth/Strategic Metals ETF | 110 | ||||||
471 | VanEck Vectors Russia ETF | 10,739 | ||||||
889 | VanEck Vectors Russia Small-Cap ETF | 31,937 | ||||||
215 | VanEck Vectors Semiconductor ETF | 44,851 | ||||||
7 | VanEck Vectors Unconventional Oil & Gas ETF | 499 | ||||||
3,956 | VanEck Vectors Vietnam ETF | 63,138 | ||||||
79 | Vanguard FTSE Canadian High Dividend Yield Index ETF | 1,990 | ||||||
2,767 | Vanguard FTSE Emerging Markets ETF | 131,598 | ||||||
53 | Vanguard Real Estate ETF | 4,452 | ||||||
2,874 | Vanguard Total World Stock ETF | 255,096 | ||||||
413 | WBI BullBear Rising Income 3000 ETF | 11,935 | ||||||
180 | WisdomTree Emerging Markets SmallCap Dividend Fund | 8,230 | ||||||
143 | WisdomTree Europe SmallCap Dividend Fund | 8,411 | ||||||
87 | WisdomTree Global ex-US Quality Dividend Growth Fund | 6,208 | ||||||
277 | WisdomTree International SmallCap Dividend Fund | 17,797 | ||||||
812 | WisdomTree Japan Hedged SmallCap Equity Fund | 31,408 | ||||||
850 | Xtrackers Harvest CSI 300 China A-Shares ETF | 32,555 | ||||||
723 | Xtrackers Harvest CSI 500 China A-Shares ETF | 25,212 | ||||||
251 | Xtrackers MSCI All China Equity ETF | 11,008 | ||||||
4,498,139 | ||||||||
FIXED INCOME FUNDS - 23.8% | ||||||||
1,060 | Global X SuperIncome Preferred ETF | 12,391 | ||||||
5,776 | High Yield ETF | 182,464 | ||||||
10,749 | Highland/iBoxx Senior Loan ETF | 171,232 | ||||||
21 | Invesco Financial Preferred ETF | 399 | ||||||
16,854 | Invesco Global Short Term High Yield Bond ETF | 368,934 | ||||||
845 | Invesco Senior Loan ETF | 18,598 | ||||||
599 | Invesco Variable Rate Preferred ETF | 15,370 | ||||||
633 | iShares 7-10 Year Treasury Bond ETF | 76,207 | ||||||
7,719 | iShares Barclays USD Asia High Yield Bond Index ETF | 78,425 | ||||||
235 | iShares Core U.S. Aggregate Bond ETF | 27,829 |
See accompanying notes to financial statements.
29
SCHEDULE OF INVESTMENTS (Continued) |
JAMES ALPHA TOTAL HEDGE PORTFOLIO |
November 30, 2020 |
Shares | Value | |||||||
EXCHANGE TRADED FUNDS - 69.6% (Continued) | ||||||||
FIXED INCOME FUNDS - 23.8% (Continued) | ||||||||
57 | iShares Floating Rate Bond ETF | $ | 2,893 | |||||
1,160 | iShares iBoxx High Yield Corporate Bond ETF | 100,131 | ||||||
444 | iShares JP Morgan USD Emerging Markets Bond ETF | 50,727 | ||||||
2 | iShares MBS ETF | 220 | ||||||
498 | iShares National Muni Bond ETF | 58,161 | ||||||
5,472 | iShares Preferred & Income Securities ETF | 206,459 | ||||||
430 | PIMCO Enhanced Short Maturity Active ETF | 43,864 | ||||||
1,881 | SPDR Blackstone / GSO Senior Loan ETF | 84,871 | ||||||
2,445 | SPDR Bloomberg Barclays Convertible Securities ETF | 191,395 | ||||||
1,916 | SPDR Bloomberg Barclays Euro High Yield Bond UCITS ETF | 130,777 | ||||||
845 | SPDR Bloomberg Barclays High Yield Bond ETF | 90,863 | ||||||
5,846 | SPDR Doubleline Total Return Tactical ETF | 289,085 | ||||||
544 | SPDR Nuveen Bloomberg Barclays High Yield Municipal Bond ETF | 31,601 | ||||||
4,957 | VanEck Vectors Emerging Markets High Yield Bond ETF | 115,895 | ||||||
2,488 | VanEck Vectors Fallen Angel High Yield Bond ETF | 78,322 | ||||||
1,962 | VanEck Vectors International High Yield Bond ETF | 49,746 | ||||||
13 | VanEck Vectors J.P. Morgan EM Local Currency Bond ETF | 421 | ||||||
41 | Vanguard Mortgage-Backed Securities ETF | 2,219 | ||||||
183 | Vanguard Total Bond Market ETF | 16,194 | ||||||
673 | Vanguard Total International Bond ETF | 39,384 | ||||||
67 | WisdomTree Emerging Markets Local Debt Fund | 2,247 | ||||||
12 | WisdomTree Interest Rate Hedged High Yield Bond Fund | 259 | ||||||
2,537,583 | ||||||||
MIXED ALLOCATION FUND - 0.4% | ||||||||
1,608 | iShares Morningstar Multi-Asset Income ETF | 37,997 | ||||||
SPECIALITY FUND - 0.3% | ||||||||
666 | ProShares Short VIX Short-Term Futures ETF * | 27,539 | ||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $6,986,933) | 7,399,412 | |||||||
EXCHANGE TRADED NOTES - 0.1% | ||||||||
COMMODITY FUNDS - 0.0% | ||||||||
25 | ETRACS CMCI Total Return ETN * | 363 | ||||||
20 | iPath Series B Bloomberg Coffee Subindex Total Return ETN * | 983 | ||||||
1,346 | ||||||||
SPECIALITY FUND - 0.1% | ||||||||
784 | iPath Series B S&P 500 VIX Short-Term Futures ETN * | 13,469 | ||||||
TOTAL EXCHANGE TRADED NOTES (Cost - $18,554) | 14,815 | |||||||
OPEN ENDED FUNDS - 19.0% | ||||||||
ALTERNATIVE FUNDS - 4.9% | ||||||||
2,439 | Altegris Futures Evolution Strategy Fund - Class I | 18,071 | ||||||
9,014 | AQR Managed Futures Strategy Fund - Class I | 72,113 | ||||||
20,317 | Kellner Merger Fund - Institutional Class | 220,434 | ||||||
11,970 | Merger Fund - Investor Class | 213,310 | ||||||
523,928 | ||||||||
FIXED INCOME FUNDS - 14.1% | ||||||||
60,994 | American Beacon Sound Point Floating Rate Income Fund - Class Y | 551,389 | ||||||
84,742 | James Alpha Structured Credit Value Portfolio - Class S ^ | 949,115 | ||||||
1,500,504 | ||||||||
TOTAL OPEN ENDED FUNDS (Cost - $1,946,079) | 2,024,432 | |||||||
SHORT TERM INVESTMENT - 7.4% | ||||||||
MONEY MARKET FUND - 7.4% | ||||||||
787,356 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.03% ^^ | |||||||
(Cost - $787,356) | 787,356 | |||||||
TOTAL INVESTMENTS - 96.1% (Cost - $9,738,922) | $ | 10,226,015 | ||||||
OTHER ASSETS LESS LIABILITIES - 3.9% | 414,036 | |||||||
NET ASSETS - 100.0% | $ | 10,640,051 |
ETF - Exchange Traded Fund | ||
ETN - Exchange Traded Note | ||
LP - Limited Partnership | ||
* | Non-income producing securities. | |
^ | Affliliated investment. | |
^^ | Money Market Fund; interest rate reflects seven-day effective yield on November 30, 2020. |
See accompanying notes to financial statements.
30
SCHEDULE OF INVESTMENTS (Continued) |
JAMES ALPHA TOTAL HEDGE PORTFOLIO |
November 30, 2020 |
TOTAL RETURN SWAP - 0.6% | Unrealized 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 10,137 and requires the fund to pay interest at the rate of 0.38% on the Notional Value outstanding. 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 August 2, 2018, and has a term of three years there from unless terminated earlier. (Notional Value $1,000,000) | $ | 62,381 | ||
$ | 62,381 | |||
TOTAL RETURN SWAP - 0.0% | Unrealized Loss | |||
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 waiting of each constituent within the GS i-Select Index. The GS i-Select Index is comprised a diversified collection of strategy and style types, including equity, interest rates, FX, commodities, and credit based strategies such as imbalance, volatility carry, carry, momentum, low beta, and quality. According to the terms of the GS i-Select Index, 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. (Notional Value $509,578) | $ | (507 | ) | |
$ | (507 | ) |
+ | Foreign currency transactions are done by notional and not by contracts |
* | Non-income producing securities |
See accompanying notes to financial statements.
31
SCHEDULE OF INVESTMENTS (Continued) |
JAMES ALPHA TOTAL HEDGE PORTFOLIO |
November 30, 2020 |
James Alpha Deutsche Bank Swap Top 50 Holdings
FUTURES CONTRACTS* | ||||||||||||||||
Percentage of | ||||||||||||||||
Notional Value at | Unrealized | Total Return Swap | ||||||||||||||
Number of | November 30, | Appreciation/ | Unrealized | |||||||||||||
Contracts | Open Long Future Contracts | Counterparty | 2020 | Expiration | (Depreciation) | Gain/Loss | ||||||||||
2 | 2 year Euro-Schatz | Deutsche Bank | 334,731 | 12/8/2020 | $ | (29 | ) | (0.05 | )% | |||||||
0 | 2 year Euro-Schatz | Deutsche Bank | 28,017 | 3/8/2021 | — | 0.00 | % | |||||||||
1 | 2 year US Treasury Notes | Deutsche Bank | 129,612 | 3/31/2021 | 18 | 0.03 | % | |||||||||
0 | 3 month Euro (EURIBOR) | Deutsche Bank | 50,692 | 3/14/2022 | (2 | ) | (0.00 | )% | ||||||||
0 | 3 month Euro (EURIBOR) | Deutsche Bank | 59,817 | 6/13/2022 | 8 | 0.01 | % | |||||||||
0 | 3 month Euro (EURIBOR) | Deutsche Bank | 39,310 | 9/19/2022 | — | 0.00 | % | |||||||||
0 | 3 month Euro (EURIBOR) | Deutsche Bank | 81,881 | 12/19/2022 | (4 | ) | (0.01 | )% | ||||||||
0 | 3 month Sterling | Deutsche Bank | 69,997 | 3/17/2021 | (1 | ) | (0.00 | )% | ||||||||
0 | 3 month Sterling | Deutsche Bank | 73,456 | 6/16/2021 | (8 | ) | (0.01 | )% | ||||||||
1 | 3 month Sterling | Deutsche Bank | 197,570 | 9/15/2021 | (48 | ) | (0.08 | )% | ||||||||
0 | 3 month Sterling | Deutsche Bank | 30,404 | 3/16/2022 | (4 | ) | (0.01 | )% | ||||||||
1 | 3 month Sterling | Deutsche Bank | 108,021 | 6/15/2022 | (3 | ) | (0.00 | )% | ||||||||
0 | 3 month Sterling | Deutsche Bank | 81,075 | 9/21/2022 | (22 | ) | (0.04 | )% | ||||||||
0 | 3 month Sterling | Deutsche Bank | 45,395 | 12/21/2022 | (2 | ) | (0.00 | )% | ||||||||
1 | 3 year Australian Treasury Bond | Deutsche Bank | 99,490 | 12/15/2020 | 128 | 0.21 | % | |||||||||
0 | 5 year US Treasury Notes | Deutsche Bank | 24,019 | 3/31/2021 | 31 | 0.05 | % | |||||||||
0 | 10 year Australian Treasury Bond Future | Deutsche Bank | 54,358 | 12/15/2020 | 67 | 0.11 | % | |||||||||
1 | 10 year Italian Bond | Deutsche Bank | 123,085 | 12/8/2020 | 3,820 | 6.12 | % | |||||||||
0 | 10 year Japanese Government Bond | Deutsche Bank | 27,421 | 12/14/2020 | (3 | ) | (0.00 | )% | ||||||||
0 | 90 Day Bank Accepted Bill Future | Deutsche Bank | 89,617 | 6/10/2021 | 69 | 0.11 | % | |||||||||
0 | AUD/USD | Deutsche Bank | 23,549 | 12/14/2020 | 205 | 0.33 | % | |||||||||
7 | DJ EURO STOXX Banks Future | Deutsche Bank | 31,513 | 12/18/2020 | 525 | 0.84 | % | |||||||||
0 | E-Mini S&P 500 | Deutsche Bank | 34,009 | 12/18/2020 | 4,359 | 6.99 | % | |||||||||
0 | EUR/JPY | Deutsche Bank | 41,701 | 12/14/2020 | (328 | ) | (0.53 | )% | ||||||||
0 | EUR/USD | Deutsche Bank | 29,508 | 12/14/2020 | 310 | 0.50 | % | |||||||||
0 | Euro-BOBL | Deutsche Bank | 45,361 | 12/8/2020 | (38 | ) | (0.06 | )% | ||||||||
1 | Euro-BUND | Deutsche Bank | 117,351 | 12/8/2020 | 324 | 0.52 | % | |||||||||
0 | Euro-BUXL | Deutsche Bank | 39,704 | 12/8/2020 | 2,042 | 3.27 | % | |||||||||
0 | Eurodollar | Deutsche Bank | 45,280 | 9/13/2021 | (14 | ) | (0.02 | )% | ||||||||
0 | Eurodollar | Deutsche Bank | 43,229 | 9/19/2022 | 15 | 0.02 | % | |||||||||
1 | Eurodollar | Deutsche Bank | 203,744 | 12/19/2022 | 11 | 0.02 | % | |||||||||
0 | Eurodollar | Deutsche Bank | 108,595 | 6/19/2023 | 14 | 0.02 | % | |||||||||
0 | Eurodollar | Deutsche Bank | 31,161 | 9/18/2023 | (4 | ) | (0.01 | )% | ||||||||
0 | Euro-OAT Future | Deutsche Bank | 91,282 | 12/8/2020 | 1,022 | 1.64 | % | |||||||||
0 | FTSE 100 Index Future | Deutsche Bank | 24,985 | 12/18/2020 | 25 | 0.04 | % | |||||||||
0 | Gold | Deutsche Bank | 25,401 | 2/24/2021 | (1,325 | ) | (2.12 | )% | ||||||||
0 | Hang Seng Index | Deutsche Bank | 73,785 | 12/30/2020 | (1,138 | ) | (1.82 | )% | ||||||||
1 | JPY/USD | Deutsche Bank | 74,583 | 12/14/2020 | 471 | 0.76 | % | |||||||||
0 | Nikkei 225 Index | Deutsche Bank | 35,631 | 12/10/2020 | 4,841 | 7.76 | % | |||||||||
0 | Three Month Canadian Bankers Acceptance Future | Deutsche Bank | 45,603 | 6/14/2021 | 17 | 0.03 | % | |||||||||
15,349 | ||||||||||||||||
Notional Value at | Percentage of | |||||||||||||||
Number of | November 30, | Unrealized | Total Return Swap | |||||||||||||
Contracts | Open Short Future Contracts | Counterparty | 2020 | Expiration | Appreciation | Unrealized Gain | ||||||||||
(0) | Eurodollar | Deutsche Bank | 27,671 | 12/13/2021 | 1 | 0.00 | % | |||||||||
1 | ||||||||||||||||
TOTAL FUTURES CONTRACTS | $ | 15,350 | ||||||||||||||
PURCHASED PUT OPTION* | ||||||||||||||||
Percentage of | ||||||||||||||||
Notional Value at | Unrealized | Total Return Swap | ||||||||||||||
Description | Counterparty | November 30, 2020 | Expiration | Strike Price | Appreciation | Unrealized Gain | ||||||||||
PLN/EUR | Deutsche Bank | 30,080 | 5/18/2021 | 4.30 | $ | 88 | 0.14 | % | ||||||||
88 | ||||||||||||||||
WRITTEN PUT OPTION* | ||||||||||||||||
Percentage of | ||||||||||||||||
Notional Value at | Unrealized | Total Return Swap | ||||||||||||||
Description | Counterparty | November 30, 2020 | Expiration | Strike Price | Depreciation | Unrealized Loss | ||||||||||
PLN/EUR | Deutsche Bank | (30,080) | 5/18/2021 | 4.15 | $ | (14 | ) | (0.02 | )% | |||||||
(14 | ) |
See accompanying notes to financial statements.
32
SCHEDULE OF INVESTMENTS (Continued) |
JAMES ALPHA TOTAL HEDGE PORTFOLIO |
November 30, 2020 |
FORWARD CURRENCY CONTRACTS +* | ||||||||||||||||||||||
Percentage of | ||||||||||||||||||||||
Unrealized | Total Return Swap | |||||||||||||||||||||
Settlement | Units to | US Dollar | Appreciation / | Unrealized | ||||||||||||||||||
Date | Receive/Deliver | Counterparty | In Exchange For | Value | (Depreciation) | Gain/Loss | ||||||||||||||||
To Buy: | ||||||||||||||||||||||
11/30/2020 | 4,646,908 | Deutsche Bank | JPY | 44,515 | USD | 44,485 | (29 | ) | (0.05 | )% | ||||||||||||
12/1/2020 | 11,024,163 | Deutsche Bank | JPY | 105,739 | USD | 105,829 | 89 | 0.14 | % | |||||||||||||
12/21/2020 | 221,523 | Deutsche Bank | NOK | 24,425 | USD | 25,004 | 579 | 0.93 | % | |||||||||||||
639 | ||||||||||||||||||||||
To Sell: | ||||||||||||||||||||||
11/30/2020 | 47,583 | Deutsche Bank | USD | 56,686 | EUR | 47,819 | 236 | 0.38 | % | |||||||||||||
12/16/2020 | 27,247 | Deutsche Bank | USD | 20,279 | AUD | 27,019 | (229 | ) | (0.37 | )% | ||||||||||||
12/16/2020 | 24,523 | Deutsche Bank | USD | 29,405 | EUR | 24,449 | (74 | ) | (0.12 | )% | ||||||||||||
12/21/2020 | 30,992 | Deutsche Bank | USD | 36,682 | EUR | 31,386 | 394 | 0.63 | % | |||||||||||||
327 | ||||||||||||||||||||||
$ | 966 | |||||||||||||||||||||
TOTAL FORWARD CURRENCY CONTRACTS | ||||||||||||||||||||||
All Other Investments | 45,991 | |||||||||||||||||||||
Total Unrealized Appreciation of Swap | $ | 62,381 |
+ | Foreign currency transactions are done by notional and not by contracts |
* | Non-income producing securities |
Currency Abbreviations:
AUD - Australian Dollar
EUR - Euro
JPY - Japanese Yen
NOK - Norwegian Krone
PLN - Poland zloty
USD - U.S. Dollar
See accompanying notes to financial statements.
33
SCHEDULE OF INVESTMENTS (Continued) |
JAMES ALPHA TOTAL HEDGE PORTFOLIO |
November 30, 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 | November 30, 2020 | Expiration | |||||||
0 | 3 Month Euro Euribor Future | Goldman Sachs | $ | 5,933 | 3/15/2021 | ||||||
0 | 3 Month Euro Euribor Future | Goldman Sachs | 5,934 | 6/14/2021 | |||||||
0 | 3 Month Euro Euribor Future | Goldman Sachs | 5,934 | 9/13/2021 | |||||||
0 | 3 Month Euro Euribor Future | Goldman Sachs | 5,935 | 12/13/2021 | |||||||
0 | 3 Month Euro Euribor Future | Goldman Sachs | 5,935 | 3/14/2022 | |||||||
0 | 90 Day Sterling Future | Goldman Sachs | 16,727 | 3/17/2021 | |||||||
0 | 90 Day Sterling Future | Goldman Sachs | 16,734 | 6/16/2021 | |||||||
0 | 90 Day Sterling Future | Goldman Sachs | 16,739 | 9/15/2021 | |||||||
0 | 90 Day Sterling Future | Goldman Sachs | 16,741 | 12/15/2021 | |||||||
0 | 90 Day Eurodollar Future | Goldman Sachs | 15,140 | 3/14/2022 | |||||||
0 | 90 Day Sterling Future | Goldman Sachs | 16,742 | 3/16/2022 | |||||||
0 | CBOT 2 Year US Treasury Note Future | Goldman Sachs | 16,737 | 3/31/2021 | |||||||
0 | CBOT 2 Year US Treasury Note Future | Goldman Sachs | 30,244 | 3/31/2021 | |||||||
0 | CBOT 5 Year US Treasury Note | Goldman Sachs | 12,919 | 3/31/2021 | |||||||
0 | CBOT 10 Year US Treasury Note | Goldman Sachs | 4,366 | 3/22/2021 | |||||||
0 | CBOT Corn Future | Goldman Sachs | 6,770 | 5/14/2021 | |||||||
0 | CBOT Soybean Future | Goldman Sachs | 10,516 | 5/14/2021 | |||||||
0 | CME 3 Month Eurodollar Future | Goldman Sachs | 15,132 | 3/15/2021 | |||||||
0 | CME 3 Month Eurodollar Future | Goldman Sachs | 15,135 | 6/14/2021 | |||||||
0 | CME 3 Month Eurodollar Future | Goldman Sachs | 15,134 | 9/13/2021 | |||||||
0 | CME 3 Month Eurodollar Future | Goldman Sachs | 15,131 | 12/13/2021 | |||||||
0 | Cotton No.2 Future | Goldman Sachs | 3,568 | 5/6/2021 | |||||||
0 | Eurex 5 Year Euro BOBL Future | Goldman Sachs | 29,585 | 12/8/2020 | |||||||
0 | LME Copper Future | Goldman Sachs | 3,532 | 4/19/2021 | |||||||
0 | LME Copper Future | Goldman Sachs | 3,925 | 5/17/2021 | |||||||
0 | LME Zinc Future | Goldman Sachs | 3,487 | 4/19/2021 | |||||||
0 | LME Zinc Future | Goldman Sachs | 3,879 | 5/17/2021 | |||||||
0 | NYBOT CSC C Coffee Future | Goldman Sachs | 5,442 | 5/18/2021 | |||||||
0 | Wheat Future (CBT) | Goldman Sachs | 5,251 | 5/14/2021 | |||||||
Number of | Notional Value at | ||||||||||
Contracts | Open Short Future Contracts | Counterparty | November 30, 2020 | Expiration | |||||||
0 | CBOT Corn Future | Goldman Sachs | 6,039 | 3/12/2021 | |||||||
0 | CBOT Soybean Future | Goldman Sachs | 4,307 | 1/14/2021 | |||||||
0 | CBOT Soybean Future | Goldman Sachs | 4,790 | 3/12/2021 | |||||||
0 | CBOT US Long Bond Future | Goldman Sachs | 6,333 | 3/22/2021 | |||||||
0 | CBOT Wheat Future | Goldman Sachs | 4,692 | 3/12/2021 | |||||||
0 | Eurex 10 Year Euro BUND Future | Goldman Sachs | 14,681 | 12/8/2020 | |||||||
0 | Eurex 2 Year Euro SCHATZ Future | Goldman Sachs | 10,238 | 3/8/2021 | |||||||
0 | Eurex 2 Year Euro SCHATZ Future | Goldman Sachs | 5,119 | 12/8/2020 | |||||||
0 | LME Copper Future | Goldman Sachs | 3,481 | 1/18/2021 | |||||||
0 | LME Copper Future | Goldman Sachs | 3,869 | 2/15/2021 | |||||||
0 | LME Zinc Future | Goldman Sachs | 3,398 | 1/18/2021 | |||||||
0 | LME Zinc Future | Goldman Sachs | 3,783 | 2/15/2021 | |||||||
0 | NYBOT CSC C Coffee Future | Goldman Sachs | 5,152 | 3/19/2021 | |||||||
0 | NYBOT CTN Number 2 Cotton Future | Goldman Sachs | 3,218 | 3/9/2021 | |||||||
0 | TSE Japanese 10 Year Bond Futures | Goldman Sachs | 11,994 | 12/10/2020 |
EQUITY FORWARDS | ||||||||||||||||
Number of | Notional Value at | |||||||||||||||
Contracts | Open Short Equity Forwards | Counterparty | November 30, 2020 | Expiration | Exercise Price | Market Value | ||||||||||
(1) | Amazon.com, Inc. | Goldman Sachs | 3,291 | 1/15/2021 | $ | 3,170.00 | $ | (1 | ) | |||||||
(24) | Apple, Inc. | Goldman Sachs | 2,876 | 12/18/2020 | $ | 119.00 | (2 | ) | ||||||||
(41) | Apple, Inc. | Goldman Sachs | 4,825 | 1/15/2021 | $ | 120.00 | 33 | |||||||||
(1) | S&P 500 Index | Goldman Sachs | 4,742 | 12/4/2020 | $ | 3,620.00 | (13 | ) | ||||||||
17 | ||||||||||||||||
WRITTEN PUT OPTIONS | ||||||||||||||||
Number of | Notional Value at | |||||||||||||||
Contracts | Open Written Put Options | Counterparty | November 30, 2020 | Expiration | Exercise Price | Market Value | ||||||||||
(0) | S&P 500 Index | Goldman Sachs | 51,109 | 12/4/2020 | $ | 3,400 | (12 | ) | ||||||||
(0) | S&P 500 Index | Goldman Sachs | 122,636 | 12/4/2020 | $ | 3,430 | (35 | ) | ||||||||
(47 | ) |
* | The GS i-Select invests in 15 Portfolio Constituents which do not trade individual futures, therefore the Futures do not have any individual unrealized gains/losses. |
See accompanying notes to financial statements.
34
SCHEDULE OF INVESTMENTS (Continued) |
JAMES ALPHA TOTAL HEDGE PORTFOLIO |
November 30, 2020 |
Unrealized | ||||||||||||||||
Settlement | Local | U.S. Dollar | Appreciation/ | |||||||||||||
Foreign Currency | Date | Counterparty* | Currency | Value | (Depreciation) | |||||||||||
To Buy: | ||||||||||||||||
Canadian Dollar | 12/23/2020 | BNY | 63,959 | $ | 49,365 | $ | 467 | |||||||||
Japanese Yen | 12/23/2020 | BNY | 2,538,106 | 24,354 | (66 | ) | ||||||||||
Swiss Franc | 12/23/2020 | BNY | 3,353 | 3,707 | 24 | |||||||||||
77,426 | $ | 425 | ||||||||||||||
Settlement | Local | U.S. Dollar | Unrealized | |||||||||||||
Foreign Currency | Date | Counterparty | Currency | Value | Depreciation | |||||||||||
To Sell: | ||||||||||||||||
Australian Dollar | 12/23/2020 | BNY | (28,002 | ) | $ | (20,639 | ) | $ | (176 | ) | ||||||
British Pound | 12/23/2020 | BNY | (70,972 | ) | (94,791 | ) | (615 | ) | ||||||||
Euro | 12/23/2020 | BNY | (63,022 | ) | (75,447 | ) | (613 | ) | ||||||||
Mexican Peso | 12/23/2020 | BNY | (456,212 | ) | (22,581 | ) | (146 | ) | ||||||||
$ | (213,458 | ) | $ | (1,550 | ) | |||||||||||
Total Unrealized Depreciation On Forward Currency Contracts | $ | (1,125 | ) |
* | BNY- Bank of New York |
See accompanying notes to financial statements.
35
SCHEDULE OF INVESTMENTS |
JAMES ALPHA STRUCTURED CREDIT VALUE PORTFOLIO |
November 30, 2020 |
Principal | Variable Rate | Coupon Rate (%) | Maturity | Value | ||||||||||
ASSET BACKED SECURITIES - 67.4% | ||||||||||||||
AUTO LOAN - 0.7% | ||||||||||||||
$ | 1,400,000 | Foursight Capital Automobile Receivables Trust 2020-1 (c) | 4.620 | 6/15/2027 | $ | 1,404,539 | ||||||||
CDO - 6.4% | ||||||||||||||
117,926 | ARCap 2003-1 Resecuritization Trust (c) | 7.110 | 8/20/2038 | 112,103 | ||||||||||
1,120,879 | Aspen Funding I Ltd. | 9.060 | 7/10/2037 | 1,206,705 | ||||||||||
8,058,592 | DWRS 2016-1 (c) | 1.044 | 4/23/2032 | 2,578,749 | ||||||||||
5,396,000 | Trapeza Cdo Xii Ltd. (a,c) | 3 Month LIBOR + 0.46% | 0.694 | 4/6/2042 | 3,777,200 | |||||||||
3,000,000 | Trapeza Cdo Xiii Ltd. (a,c) | 3 Month LIBOR + 0.43% | 0.643 | 11/9/2042 | 2,100,000 | |||||||||
3,000,000 | Tropic CDO IV Ltd. (a,c) | 3 Month LIBOR + 1.00% | 1.237 | 4/15/2035 | 2,340,000 | |||||||||
12,114,757 | ||||||||||||||
CLO - 10.9% | ||||||||||||||
750,000 | BlueMountain CLO 2013-2 Ltd. (a,c) | 3 Month LIBOR + 1.30% | 1.516 | 10/22/2030 | 727,317 | |||||||||
1,000,000 | Deerpath Capital CLO 2018-1 Ltd. (a,c) | 3 Month LIBOR + 3.50% | 3.737 | 1/15/2031 | 1,005,230 | |||||||||
1,000,000 | Deerpath Capital CLO 2020-1 Ltd. (a,c) | 3 Month LIBOR + 3.90% | 4.118 | 4/17/2032 | 1,006,750 | |||||||||
500,000 | Ellington Clo III Ltd. (a,c) | 3 Month LIBOR + 3.74% | 3.958 | 7/20/2030 | 448,964 | |||||||||
200,000 | GC FTPYME Pastor 4 FTA (a) | 3 Month Euro LIBOR + 2.40% | 1.892 | 7/15/2045 | 128,342 | |||||||||
750,000 | Halcyon Loan Advisors Funding 2013-1 Ltd. (a,c) | 3 Month LIBOR + 3.50% | 3.737 | 4/15/2025 | 716,207 | |||||||||
3,210,000 | Halcyon Loan Advisors Funding 2013-2 Ltd. (a,c) | 3 Month LIBOR + 3.80% | 4.014 | 8/1/2025 | 2,791,958 | |||||||||
4,000,000 | Halcyon Loan Advisors Funding 2014-2 Ltd. (a,c) | 3 Month LIBOR + 2.70% | 2.922 | 4/28/2025 | 3,998,000 | |||||||||
1,500,000 | Halcyon Loan Advisors Funding 2014-3 Ltd. (a,c) | 3 Month LIBOR + 3.65% | 3.866 | 10/22/2025 | 1,199,001 | |||||||||
500,000 | Peaks CLO 2 Ltd. (a,c) | 3 Month LIBOR + 3.60% | 3.818 | 7/20/2031 | 500,618 | |||||||||
500,000 | Steele Creek Clo 2018-2 Ltd. (a,c) | 3 Month LIBOR + 3.40% | 3.620 | 8/18/2031 | 454,980 | |||||||||
1,000,000 | Telos CLO 2014-5 Ltd. (a,c) | 3 Month LIBOR + 1.48% | 1.698 | 4/17/2028 | 970,119 | |||||||||
1,365,000 | Z Capital Credit Partners CLO 2015-1 Ltd. (a,c) | 3 Month LIBOR + 1.45% | 1.680 | 7/16/2027 | 1,338,634 | |||||||||
1,000,000 | Z Capital Credit Partners CLO 2018-1 Ltd. (a,c) | 3 Month LIBOR + 2.45% | 2.680 | 1/16/2031 | 1,000,090 | |||||||||
1,000,000 | Z Capital Credit Partners CLO 2019-1 Ltd. (a,c) | 3 Month LIBOR + 5.25% | 5.480 | 7/15/2031 | 1,007,060 | |||||||||
2,000,000 | Zais Clo 2 Ltd. (a,c) | 3 Month LIBOR + 3.65% | 3.865 | 7/25/2026 | 2,001,700 | |||||||||
1,000,000 | Zais Clo 11 Ltd. (a,c) | 3 Month LIBOR + 2.90% | 3.118 | 1/20/2032 | 919,912 | |||||||||
500,000 | Zais Clo 13 Ltd. (a,c) | 3 Month LIBOR + 4.52% | 4.757 | 7/15/2032 | 473,542 | |||||||||
20,688,424 | ||||||||||||||
CMO - 26.5% | ||||||||||||||
761,713 | Adjustable Rate Mortgage Trust 2005-6A (a) | 1 Month LIBOR + 0.84% | 0.990 | 11/25/2035 | 313,114 | |||||||||
55,404 | Adjustable Rate Mortgage Trust 2005-10 (b) | 2.861 | 1/25/2036 | 51,803 | ||||||||||
172,294 | Agate Bay Mortgage Trust 2014-3 (b,c) | 3.809 | 11/25/2044 | 175,929 | ||||||||||
66,413 | Alternative Loan Trust 1998-4 (d) | 6.592 | 8/25/2028 | 69,724 | ||||||||||
29,595 | Alternative Loan Trust 2003-22CB | 5.750 | 12/25/2033 | 30,877 | ||||||||||
190,309 | Alternative Loan Trust 2003-J3 | 5.250 | 11/25/2033 | 196,414 | ||||||||||
8,096 | Alternative Loan Trust 2004-15 (b) | 2.921 | 9/25/2034 | 7,079 | ||||||||||
20,581 | Alternative Loan Trust 2004-16CB | 5.500 | 7/25/2034 | 21,317 | ||||||||||
1,520,449 | Alternative Loan Trust 2004-24CB | 6.000 | 11/25/2034 | 1,546,600 | ||||||||||
640,109 | Alternative Loan Trust 2004-28CB | 5.750 | 1/25/2035 | 648,631 | ||||||||||
119,458 | Alternative Loan Trust 2004-28CB | 6.000 | 1/25/2035 | 119,690 | ||||||||||
177,449 | Alternative Loan Trust 2004-J10 | 6.000 | 9/25/2034 | 186,678 | ||||||||||
814,715 | Alternative Loan Trust 2004-J10 | 5.500 | 11/25/2034 | 837,217 | ||||||||||
117,141 | Alternative Loan Trust 2004-J10 | 5.000 | 10/25/2053 | 118,294 | ||||||||||
84,010 | Alternative Loan Trust 2004-J11 | 7.250 | 8/25/2032 | 91,300 | ||||||||||
180,386 | Alternative Loan Trust 2004-J8 | 7.000 | 8/25/2034 | 181,448 | ||||||||||
79,366 | Alternative Loan Trust 2005-14 (a) | 1 Month LIBOR + 0.21% | 0.360 | 5/25/2035 | 74,325 | |||||||||
51,757 | Alternative Loan Trust 2005-3CB | 5.000 | 3/25/2035 | 47,102 | ||||||||||
61,254 | Alternative Loan Trust 2005-54CB | 5.500 | 11/25/2035 | 58,816 | ||||||||||
214,767 | Alternative Loan Trust 2005-6CB | 5.500 | 4/25/2035 | 214,127 | ||||||||||
242,772 | Alternative Loan Trust 2005-72 (a) | 1 Month LIBOR + 0.60% | 0.750 | 1/25/2036 | 202,011 | |||||||||
74,305 | Alternative Loan Trust 2005-J11 | 5.500 | 11/25/2035 | 61,032 | ||||||||||
53,318 | Alternative Loan Trust 2005-J11 | 6.000 | 10/25/2035 | 38,599 | ||||||||||
206,873 | Alternative Loan Trust 2005-J8 | 5.500 | 7/25/2035 | 186,042 | ||||||||||
107,851 | Alternative Loan Trust 2006-40T1 | 6.000 | 12/25/2036 | 49,926 | ||||||||||
50,000 | Alternative Loan Trust Resecuritization 2005-12R | 6.000 | 11/25/2034 | 49,277 | ||||||||||
120,401 | American Home Mortgage Investment Trust 2004-1 (a) | 6 Month LIBOR + 2.00% | 2.243 | 4/25/2044 | 105,415 | |||||||||
27,769 | Banc of America Alternative Loan Trust 2003-8 | 5.500 | 10/25/2033 | 27,951 | ||||||||||
211,322 | Banc of America Alternative Loan Trust 2006-3 | 6.000 | 4/25/2036 | 196,902 | ||||||||||
69,416 | Banc of America Funding 2005-E Trust (a) | COF 11 + 1.43% | 1.953 | 6/20/2035 | 58,135 | |||||||||
140,657 | Banc of America Funding 2007-2 Trust | 6.000 | 3/25/2037 | 28,853 | ||||||||||
27,037 | Banc of America Funding Corp. (c) | 6.000 | 9/25/2037 | 27,030 | ||||||||||
28,654 | Banc of America Mortgage 2002-L Trust (b) | 3.239 | 12/25/2032 | 23,896 | ||||||||||
59,120 | Banc of America Mortgage 2005-F Trust (b) | 2.743 | 7/25/2035 | 51,427 | ||||||||||
546,188 | BCAP LLC 2010-RR2 Trust (b,c) | 5.000 | 12/26/2036 | 551,139 | ||||||||||
8,629 | Bear Stearns ALT-A Trust 2004-11 (b) | 2.866 | 11/25/2034 | 8,540 | ||||||||||
87,517 | Bear Stearns ARM Trust 2003-5 (b) | 3.136 | 8/25/2033 | 85,665 | ||||||||||
9,488 | Bear Stearns ARM Trust 2003-7 (b) | 2.751 | 10/25/2033 | 9,594 | ||||||||||
205,256 | Bear Stearns ARM Trust 2004-1 (b) | 3.756 | 4/25/2034 | 199,271 | ||||||||||
154,152 | Bear Stearns ARM Trust 2004-6 (b) | 2.710 | 9/25/2034 | 135,655 | ||||||||||
71,431 | Bear Stearns ARM Trust 2004-10 (b) | 3.180 | 1/25/2035 | 74,882 | ||||||||||
88,375 | Bella Vista Mortgage Trust 2004-1 (a) | 1 Month LIBOR + 0.70% | 0.849 | 11/20/2034 | 83,450 | |||||||||
621,358 | Bella Vista Mortgage Trust 2005-1 (a) | 1 Month LIBOR + 0.54% | 0.686 | 2/22/2035 | 598,583 | |||||||||
225,000 | Bellemeade Re 2019-4 Ltd. (a,c) | 1 Month LIBOR + 2.50% | 2.650 | 10/25/2029 | 221,818 | |||||||||
540,732 | Cascade Funding Mortgage Trust 2018-RM2 (b,c) | 0.000 | @ | 10/25/2068 | 519,289 | |||||||||
263,584 | Cascade Funding Mortgage Trust 2019-RM3 (b,c) | 4.000 | 6/25/2069 | 239,410 | ||||||||||
130,756 | CDMC Mortgage Pass-Through Certificates Series 2004-4 (b) | 5.529 | 9/25/2034 | 133,529 | ||||||||||
88,293 | Chase Mortgage Finance Trust Series 2004-S2 | 5.500 | 2/25/2034 | 90,650 |
See accompanying notes to financial statements.
36
SCHEDULE OF INVESTMENTS (Continued) |
JAMES ALPHA STRUCTURED CREDIT VALUE PORTFOLIO |
November 30, 2020 |
Principal | Variable Rate | Coupon Rate (%) | Maturity | Value | ||||||||||
ASSET BACKED SECURITIES - 67.4% (Continued) | ||||||||||||||
CMO - 26.5% (Continued) | ||||||||||||||
$ | 330,957 | Chase Mortgage Finance Trust Series 2007-S3 | 6.000 | 5/25/2037 | $ | 84,100 | ||||||||
592,348 | Chase Mortgage Finance Trust Series 2007-S3 | 0.000 | @ | 5/25/2037 | 232,360 | |||||||||
142,455 | CHL Mortgage Pass-Through Trust 2002-19 | 6.250 | 11/25/2032 | 140,479 | ||||||||||
50,400 | CHL Mortgage Pass-Through Trust 2003-60 (b) | 3.991 | 2/25/2034 | 47,660 | ||||||||||
175,780 | CHL Mortgage Pass-Through Trust 2003-HYB1 (b) | 3.715 | 5/19/2033 | 166,591 | ||||||||||
50,723 | CHL Mortgage Pass-Through Trust 2004-3 | 5.750 | 4/25/2034 | 51,930 | ||||||||||
185,572 | CHL Mortgage Pass-Through Trust 2004-5 | 5.500 | 5/25/2034 | 187,632 | ||||||||||
161,845 | CHL Mortgage Pass-Through Trust 2004-6 (b) | 3.659 | 5/25/2034 | 161,579 | ||||||||||
133,831 | CHL Mortgage Pass-Through Trust 2004-9 | 5.250 | 6/25/2034 | 133,889 | ||||||||||
58,523 | CHL Mortgage Pass-Through Trust 2004-14 (b) | 2.662 | 8/25/2034 | 56,248 | ||||||||||
224,462 | CHL Mortgage Pass-Through Trust 2004-23 (b) | 2.113 | 11/25/2034 | 184,620 | ||||||||||
115,078 | CHL Mortgage Pass-Through Trust 2004-HYB2 (b) | 3.991 | 7/20/2034 | 109,151 | ||||||||||
95,241 | CHL Mortgage Pass-Through Trust 2004-HYB5 (b) | 2.771 | 4/20/2035 | 89,274 | ||||||||||
416,542 | CHL Mortgage Pass-Through Trust 2004-J5 | 5.500 | 7/25/2034 | 420,365 | ||||||||||
97,792 | CHL Mortgage Pass-Through Trust 2004-J9 | 5.500 | 1/25/2035 | 100,557 | ||||||||||
740,514 | CHL Mortgage Pass-Through Trust 2005-J2 | 5.000 | 8/25/2035 | 587,569 | ||||||||||
150,474 | CHL Mortgage Pass-Through Trust 2006-J1 | 6.000 | 2/25/2036 | 101,894 | ||||||||||
56,317 | CHL Mortgage Pass-Through Trust 2007-15 | 6.500 | 9/25/2037 | 34,448 | ||||||||||
41,748 | Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7 | 5.000 | 10/25/2021 | 42,871 | ||||||||||
153,211 | Citicorp Mortgage Securities Trust Series 2007-2 | 0.000 | @ | 2/25/2037 | 104,376 | |||||||||
121,131 | Citigroup Global Markets Mortgage Securities VII, Inc. (b) | 5.767 | 7/25/2024 | 75,100 | ||||||||||
14,530 | Citigroup Global Markets Mortgage Securities VII, Inc. (b) | 3.389 | 9/25/2032 | 12,792 | ||||||||||
500,000 | Citigroup Mortgage Loan Trust 2010-7 (b,c) | 4.899 | 7/25/2036 | 494,883 | ||||||||||
57,389 | Citigroup Mortgage Loan Trust 2010-9 (c,d) | 5.702 | 3/25/2037 | 56,587 | ||||||||||
667,830 | Citigroup Mortgage Loan Trust, Inc. (a,c) | 1 Month LIBOR + 0.40% | 0.550 | 1/25/2029 | 582,387 | |||||||||
77,147 | Citigroup Mortgage Loan Trust, Inc. | 6.750 | 8/25/2034 | 84,180 | ||||||||||
91,813 | CitiMortgage Alternative Loan Trust Series 2007-A6 | 6.000 | 6/25/2037 | 92,538 | ||||||||||
300,000 | COLT 2020-2 Mortgage Loan Trust (b,c) | 5.250 | 3/25/2065 | 319,157 | ||||||||||
566,926 | Credit Suisse First Boston Mortgage Securities Corp. (b) | 7.194 | 1/25/2032 | 555,127 | ||||||||||
125,912 | Credit Suisse First Boston Mortgage Securities Corp. | 5.500 | 6/25/2033 | 128,873 | ||||||||||
1,259,797 | Credit Suisse First Boston Mortgage Securities Corp. | 5.250 | 7/25/2033 | 1,305,462 | ||||||||||
30,183 | Credit Suisse First Boston Mortgage Securities Corp. | 5.250 | 9/25/2033 | 31,270 | ||||||||||
410,015 | Credit Suisse First Boston Mortgage Securities Corp. | 5.500 | 10/25/2033 | 432,634 | ||||||||||
136,672 | Credit Suisse First Boston Mortgage Securities Corp. | 5.500 | 10/25/2033 | 143,981 | ||||||||||
373,578 | Credit Suisse First Boston Mortgage Securities Corp. | 5.500 | 10/25/2034 | 358,040 | ||||||||||
3,585,310 | Credit Suisse First Boston Mortgage Securities Corp. (a) | 1 Month LIBOR + 19.53% | 19.112 | 9/25/2035 | 3,485,546 | |||||||||
156,239 | Credit Suisse First Boston Mortgage Securities Corp. (a) | 1 Month LIBOR + 0.65% | 0.800 | 9/25/2035 | 113,857 | |||||||||
453,843 | CSFB Mortgage-Backed Pass-Through Certificates Series 2002-9 | 7.500 | 3/25/2032 | 468,643 | ||||||||||
271,276 | CSFB Mortgage-Backed Pass-Through Certificates Series 2003-AR18 (b) | 2.525 | 7/25/2033 | 269,720 | ||||||||||
118,616 | CSFB Mortgage-Backed Pass-Through Certificates Series 2003-AR24 (b) | 2.549 | 10/25/2033 | 121,273 | ||||||||||
228,420 | CSFB Mortgage-Backed Pass-Through Certificates Series 2004-4 | 6.000 | 8/25/2034 | 238,720 | ||||||||||
8,714 | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10 | 5.250 | 11/25/2022 | 4,333 | ||||||||||
61,752 | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-3 | 5.750 | 7/25/2035 | 65,887 | ||||||||||
35,971 | CSFB Mortgage-Backed Trust Series 2004-7 | 5.250 | 11/25/2034 | 37,420 | ||||||||||
316,803 | CSMC Trust 2007-5R | 6.500 | 7/26/2036 | 131,186 | ||||||||||
1,348,951 | CSMC Trust 2010-16 (b,c) | 3.370 | 6/25/2050 | 1,055,972 | ||||||||||
117,115 | CSMC Series 2010-18R (b,c) | 3.439 | 4/26/2038 | 113,740 | ||||||||||
14,900 | CSMC Series 2014-2R (b,c) | 3.000 | 1/27/2037 | 14,901 | ||||||||||
44,844 | Deutsche Mortgage Sec Inc. Mort Loan Tr Ser 2004-1 | 5.500 | 9/25/2033 | 46,511 | ||||||||||
3,203 | DLJ Mortgage Acceptance Corp. | 6.750 | 1/25/2024 | 2,740 | ||||||||||
74,594 | DSLA Mortgage Loan Trust 2004-AR4 (a) | 1 Month LIBOR + 0.36% | 0.510 | 1/19/2045 | 66,264 | |||||||||
558,587 | Fannie Mae Connecticut Avenue Securities (a) | 1 Month LIBOR + 3.00% | 3.150 | 7/25/2024 | 536,254 | |||||||||
245,138 | Fannie Mae Connecticut Avenue Securities (a) | 1 Month LIBOR + 2.20% | 2.350 | 1/25/2030 | 241,607 | |||||||||
345,126 | Fannie Mae Trust 2005-W3 (b) | 3.691 | 4/25/2045 | 357,205 | ||||||||||
96,223 | First Horizon Alternative Mortgage Securities Trust 2007-FA4 | 6.250 | 8/25/2037 | 66,114 | ||||||||||
86,450 | First Horizon Mortgage Pass-Through Trust 2005-AR5 (b) | 2.625 | 10/25/2035 | 50,775 | ||||||||||
71,548 | First Horizon Mortgage Pass-Through Trust 2005-AR5 (b) | 2.625 | 11/25/2035 | 62,934 | ||||||||||
193,113 | First Horizon Mortgage Pass-Through Trust 2006-AR3 (b) | 2.505 | 11/25/2036 | 148,033 | ||||||||||
36,024 | Freddie Mac Structured Pass-Through Certificates (a) | 12 Month TA + 1.40% | 1.943 | 7/25/2044 | 36,568 | |||||||||
151,907 | GMACM Mortgage Loan Trust 2004-J2 | 5.750 | 6/25/2034 | 155,514 | ||||||||||
25,210 | GMACM Mortgage Loan Trust 2005-AR3 (b) | 3.509 | 6/19/2035 | 24,075 | ||||||||||
2,153,582 | GMACM Mortgage Loan Trust 2005-AR4 (b) | 3.716 | 7/19/2035 | 2,065,169 | ||||||||||
1,795,632 | GSMPS Mortgage Loan Trust (b,c) | 8.500 | 6/19/2029 | 1,727,355 | ||||||||||
1,236,912 | GSMPS Mortgage Loan Trust 2004-4 (a,c) | 1 Month LIBOR + 0.40% | 0.550 | 6/25/2034 | 1,049,051 | |||||||||
231,989 | GSMPS Mortgage Loan Trust 2004-4 (c) | 7.500 | 6/25/2034 | 249,026 | ||||||||||
47,115 | GSMPS Mortgage Loan Trust 2005-RP2 (a,c) | 1 Month LIBOR + 0.35% | 0.500 | 3/25/2035 | 42,963 | |||||||||
151,647 | GSMPS Mortgage Loan Trust 2005-RP3 (a,c) | 1 Month LIBOR + 0.35% | 0.500 | 9/25/2035 | 126,786 | |||||||||
30,392 | GSR Mortgage Loan Trust 2003-13 (b) | 2.787 | 10/25/2033 | 30,030 | ||||||||||
133,366 | GSR Mortgage Loan Trust 2004-13F | 4.250 | 11/25/2034 | 138,216 | ||||||||||
56,635 | GSR Mortgage Loan Trust 2005-4F | 6.500 | 2/25/2035 | 57,675 | ||||||||||
32,818 | GSR Mortgage Loan Trust 2005-8F | 6.000 | 11/25/2035 | 21,431 | ||||||||||
172,680 | GSR Mortgage Loan Trust 2005-AR1 (b) | 3.300 | 1/25/2035 | 166,904 | ||||||||||
26,073 | GSR Mortgage Loan Trust 2005-AR3 (a) | 1 Month LIBOR + 0.44% | 0.590 | 5/25/2035 | 23,349 | |||||||||
42,464 | GSR Mortgage Loan Trust 2005-AR6 (b) | 3.640 | 9/25/2035 | 42,995 | ||||||||||
169,810 | GSR Mortgage Loan Trust 2006-1F | 6.000 | 2/25/2036 | 127,072 | ||||||||||
109,790 | GSR Mortgage Loan Trust 2007-AR2 (b) | 3.459 | 5/25/2037 | 88,501 | ||||||||||
85,000 | HomeBanc Mortgage Trust 2005-3 (a) | 1 Month LIBOR + 0.51% | 0.660 | 7/25/2035 | 84,950 | |||||||||
75,432 | Homeward Opportunities Fund I Trust 2018-1 (b,c) | 3.766 | 6/25/2048 | 75,997 | ||||||||||
241,025 | HSI Asset Loan Obligation Trust 2007-1 | 6.500 | 6/25/2037 | 134,637 |
See accompanying notes to financial statements.
37
SCHEDULE OF INVESTMENTS (Continued) |
JAMES ALPHA STRUCTURED CREDIT VALUE PORTFOLIO |
November 30, 2020 |
Principal | Variable Rate | Coupon Rate (%) | Maturity | Value | ||||||||||
ASSET BACKED SECURITIES - 67.4% (Continued) | ||||||||||||||
CMO - 26.5% (Continued) | ||||||||||||||
$ | 135,901 | Impac CMB Trust Series 2003-2F (d) | 6.570 | 1/25/2033 | $ | 138,562 | ||||||||
56,930 | Impac CMB Trust Series 2004-7 (a) | 1 Month LIBOR + 1.80% | 1.950 | 11/25/2034 | 58,475 | |||||||||
344,462 | Impac Secured Assets CMN Owner Trust | 6.000 | 8/25/2033 | 357,421 | ||||||||||
339,443 | Impac Secured Assets Trust 2006-1 (a) | 1 Month LIBOR + 0.35% | 0.500 | 5/25/2036 | 318,560 | |||||||||
13,011 | IndyMac INDX Mortgage Loan Trust 2004-AR11 (b) | 3.027 | 12/25/2034 | 13,208 | ||||||||||
60,706 | IndyMac INDX Mortgage Loan Trust 2005-AR15 (b) | 3.173 | 9/25/2035 | 58,394 | ||||||||||
267,393 | JP Morgan Alternative Loan Trust (a) | 1 Month LIBOR + 7.15% | 7.000 | 12/25/2035 | 80,300 | |||||||||
39,726 | JP Morgan Mortgage Trust 2004-S2 | 6.000 | 11/25/2034 | 40,083 | ||||||||||
55,505 | JP Morgan Mortgage Trust 2005-A7 (b) | 3.070 | 10/25/2035 | 56,421 | ||||||||||
31,100 | JP Morgan Mortgage Trust 2006-A4 (b) | 3.691 | 6/25/2036 | 26,348 | ||||||||||
44,771 | JP Morgan Mortgage Trust 2007-A1 (b) | 3.197 | 7/25/2035 | 44,935 | ||||||||||
1,498,313 | Legacy Mortgage Asset Trust 2019-SL3 (c,d) | 3.474 | 11/25/2061 | 1,504,906 | ||||||||||
40,646 | MASTR Adjustable Rate Mortgages Trust 2003-1 (b) | 2.750 | 12/25/2032 | 37,064 | ||||||||||
31,141 | MASTR Adjustable Rate Mortgages Trust 2003-2 (b) | 3.108 | 7/25/2033 | 31,050 | ||||||||||
124,326 | MASTR Adjustable Rate Mortgages Trust 2003-6 (b) | 2.448 | 12/25/2033 | 121,356 | ||||||||||
25,610 | MASTR Adjustable Rate Mortgages Trust 2003-6 (b) | 3.125 | 12/25/2033 | 25,529 | ||||||||||
244,889 | MASTR Alternative Loan Trust 2003-3 (b) | 6.144 | 5/25/2033 | 240,123 | ||||||||||
66,518 | MASTR Alternative Loan Trust 2003-7 | 6.500 | 12/25/2033 | 71,056 | ||||||||||
270,796 | MASTR Alternative Loan Trust 2004-1 | 5.500 | 2/25/2034 | 282,046 | ||||||||||
611,949 | MASTR Alternative Loan Trust 2004-3 | 6.500 | 4/25/2034 | 650,355 | ||||||||||
56,995 | MASTR Alternative Loan Trust 2004-4 | 5.500 | 5/25/2034 | 59,331 | ||||||||||
635,511 | MASTR Alternative Loan Trust 2004-6 | 6.500 | 7/25/2034 | 632,108 | ||||||||||
63,312 | MASTR Alternative Loan Trust 2004-7 | 6.000 | 6/25/2034 | 68,262 | ||||||||||
2,420 | MASTR Alternative Loan Trust 2005-1 | 5.500 | 1/25/2023 | 2,357 | ||||||||||
300,341 | MASTR Alternative Loan Trust 2005-2 | 5.000 | 3/25/2043 | 275,586 | ||||||||||
57,048 | MASTR Alternative Loan Trust 2007-1 | 0.000 | 10/25/2036 | 37,015 | ||||||||||
866,226 | MASTR Alternative Loan Trust 2007-HF1 | 0.000 | 10/25/2047 | 91,656 | ||||||||||
25,778 | MASTR Asset Securitization Trust 2003-12 | 5.000 | 12/25/2033 | 26,387 | ||||||||||
27,253 | MASTR Asset Securitization Trust 2004-1 | 5.500 | 2/25/2034 | 27,513 | ||||||||||
121,925 | MASTR Asset Securitization Trust 2005-1 | 5.500 | 5/25/2035 | 105,802 | ||||||||||
23,593 | MASTR Reperforming Loan Trust 2005-2 (c) | 8.000 | 5/25/2035 | 23,474 | ||||||||||
307,828 | MASTR Reperforming Loan Trust 2006-2 (b,c) | 3.746 | 5/25/2036 | 300,125 | ||||||||||
40,714 | Merrill Lynch Mortgage Investors Trust Series 2003-A6 (b) | 2.660 | 9/25/2033 | 39,556 | ||||||||||
96,101 | Merrill Lynch Mortgage Investors Trust Series MLCC 2006-2 (b) | 2.565 | 5/25/2036 | 89,847 | ||||||||||
32,498 | Morgan Stanley Dean Witter Capital I Inc. Trust 2003-HYB1 (b) | 2.045 | 3/25/2033 | 32,508 | ||||||||||
52,363 | Morgan Stanley Mortgage Loan Trust 2004-8AR (b) | 1.567 | 10/25/2034 | 47,421 | ||||||||||
55,144 | Morgan Stanley Mortgage Loan Trust 2004-8AR (b) | 2.834 | 10/25/2034 | 57,934 | ||||||||||
103,815 | Morgan Stanley Mortgage Loan Trust 2005-10 | 6.000 | 12/25/2035 | 71,584 | ||||||||||
131,678 | Morgan Stanley Mortgage Loan Trust 2006-1AR | 0.650 | 2/25/2036 | 534 | ||||||||||
36,912 | Morgan Stanley Mortgage Loan Trust 2006-8AR (b) | 2.407 | 6/25/2036 | 36,270 | ||||||||||
290,267 | MortgageIT Trust 2004-2 (a) | 1 Month LIBOR + 3.23% | 3.375 | 12/25/2034 | 294,551 | |||||||||
607,736 | MortgageIT Trust 2005-3 (a) | 1 Month LIBOR + 0.80% | 0.945 | 8/25/2035 | 600,287 | |||||||||
214,310 | NACC Reperforming Loan REMIC Trust 2004-R1 (c) | 7.500 | 3/25/2034 | 220,665 | ||||||||||
96,996 | National City Mortgage Capital Trust | 6.000 | 3/25/2038 | 99,504 | ||||||||||
165,168 | New Residential Mortgage Loan Trust 2020-1 (b,c) | 3.500 | 10/25/2059 | 176,345 | ||||||||||
130,412 | Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2007-1 (d) | 5.957 | 3/25/2047 | 136,054 | ||||||||||
109,311 | OBX 2018-EXP1 Trust (b,c) | 4.500 | 4/25/2048 | 110,687 | ||||||||||
3,044 | PHH Mortgage Trust Series 2008-CIM1 (a) | 1 Month LIBOR + 2.25% | 2.399 | 5/25/2038 | 3,080 | |||||||||
700,063 | PHHMC Series 2005-4 Trust (b) | 5.317 | 7/18/2035 | 712,878 | ||||||||||
60,315 | RAAC Series 2005-SP1 Trust | 7.000 | 9/25/2034 | 62,668 | ||||||||||
223,485 | Radnor RE 2019-1 Ltd. (a,c) | 1 Month LIBOR + 1.95% | 2.100 | 2/25/2029 | 223,652 | |||||||||
137,806 | RALI Series 2005-QA12 Trust (b) | 4.169 | 12/25/2035 | 83,509 | ||||||||||
35,207 | RBSGC Mortgage Loan Trust 2007-B (b) | 4.440 | 7/25/2035 | 32,273 | ||||||||||
637,748 | RBSGC Structured Trust 2008-A (c) | 5.500 | 11/25/2035 | 624,749 | ||||||||||
61,316 | RBSSP Resecuritization Trust 2009-1 (b,c) | 6.000 | 8/26/2035 | 62,947 | ||||||||||
110,420 | RBSSP Resecuritization Trust 2009-10 (b,c) | 18.368 | 1/26/2037 | 136,402 | ||||||||||
243,455 | Resecuritization Pass-Through Trust 2005-8R | 6.000 | 10/25/2034 | 248,426 | ||||||||||
11,000 | Residential Asset Securitization Trust 2002-A12 | 5.750 | 11/25/2032 | 11,379 | ||||||||||
218,000 | Residential Asset Securitization Trust 2003-A10 | 5.200 | 9/25/2033 | 222,115 | ||||||||||
216,438 | Residential Asset Securitization Trust 2003-A15 (b) | 5.601 | 2/25/2034 | 188,765 | ||||||||||
20,258 | Residential Asset Securitization Trust 2004-A3 | 5.250 | 6/25/2034 | 20,244 | ||||||||||
43,393 | RFMSI Series 2005-SA4 Trust (b) | 2.888 | 9/25/2035 | 39,527 | ||||||||||
200,000 | RMF Buyout Issuance Trust 2020-1 (b,c) | 4.191 | 2/25/2030 | 182,820 | ||||||||||
7,954 | Ryland Mortgage Securities Corp. (b) | 0.000 | @ | 4/29/2030 | 7,869 | |||||||||
48,033 | Seasoned Credit Risk Transfer Trust Series 2017-3 (c) | 0.000 | @ | 7/25/2056 | 6,599 | |||||||||
250,000 | Seasoned Credit Risk Transfer Trust Series 2020-2 (b,c) | 4.250 | 11/25/2059 | 250,761 | ||||||||||
29,608 | Sequoia Mortgage Trust 2004-8 (a) | 1 Month LIBOR + 0.70% | 0.847 | 9/20/2034 | 29,045 | |||||||||
61,597 | Sequoia Mortgage Trust 2004-10 (a) | 1 Month LIBOR + 0.62% | 0.767 | 11/20/2034 | 59,628 | |||||||||
96,765 | Sequoia Mortgage Trust 2005-2 (a) | 1 Month LIBOR + 0.22% | 0.367 | 3/20/2035 | 94,165 | |||||||||
82,973 | Sequoia Mortgage Trust 2013-12 (c) | 4.000 | 12/25/2043 | 84,081 | ||||||||||
4,500,000 | Silver Hill Trust 2019-SBC1 (b,c) | 4.178 | 11/25/2049 | 4,201,816 | ||||||||||
481,721 | Structured Adjustable Rate Mortgage Loan Trust Series 2005-15 (b) | 3.314 | 7/25/2035 | 361,601 | ||||||||||
12,221 | Structured Adjustable Rate Mortgage Loan Trust Series 2006-8 (a) | 1 Month LIBOR + 0.38% | 0.530 | 9/25/2036 | 11,043 | |||||||||
675,818 | Structured Asset Securities Corp. (b) | 2.843 | 12/25/2033 | 680,227 | ||||||||||
41,043 | Structured Asset Securities Corp. (a) | 1 Month LIBOR + 0.78% | 0.929 | 12/25/2033 | 37,132 | |||||||||
21,136 | Structured Asset Securities Corp. (d) | 5.163 | 2/25/2034 | 21,545 | ||||||||||
111,731 | Structured Asset Securities Corp. (a,c) | 1 Month LIBOR + 0.35% | 0.500 | 4/25/2035 | 97,446 | |||||||||
70,693 | Structured Asset Securities Corp. Mortgage Passthrough Certificates Series 2003 40A (b) | 3.102 | 1/25/2034 | 72,429 |
See accompanying notes to financial statements.
38
SCHEDULE OF INVESTMENTS (Continued) |
JAMES ALPHA STRUCTURED CREDIT VALUE PORTFOLIO |
November 30, 2020 |
Principal | Variable Rate | Coupon Rate (%) | Maturity | Value | ||||||||||
ASSET BACKED SECURITIES - 67.4% (Continued) | ||||||||||||||
CMO - 26.5% (Continued) | ||||||||||||||
$ | 83,652 | Verus Securitization Trust 2018-2 (b,c) | 3.677 | 6/1/2058 | $ | 84,369 | ||||||||
593,000 | Verus Securitization Trust 2020-INV1 (b,c) | 5.500 | 4/25/2060 | 633,512 | ||||||||||
538,000 | Vista Point Securitization Trust 2020-1 (b,c) | 4.151 | 3/25/2065 | 561,552 | ||||||||||
35,464 | WaMu Mortgage Pass-Through Certificates Series 2002-AR2 Trust (a) | COF 11 + 1.25% | 1.773 | 2/27/2034 | 35,604 | |||||||||
77,732 | WaMu Mortgage Pass-Through Certificates Series 2002-AR18 Trust (b) | 3.575 | 1/25/2033 | 74,234 | ||||||||||
47,827 | WaMu Mortgage Pass-Through Certificates Series 2003-AR7 Trust (b) | 2.713 | 8/25/2033 | 47,672 | ||||||||||
58,300 | WaMu Mortgage Pass-Through Certificates Series 2003-S3 Trust | 5.500 | 6/25/2033 | 61,088 | ||||||||||
614,507 | WaMu Mortgage Pass-Through Certificates Series 2003-S4 (b) | 5.633 | 6/25/2033 | 635,042 | ||||||||||
133,709 | WaMu Mortgage Pass-Through Certificates Series 2003-S5 Trust | 5.500 | 6/25/2033 | 136,221 | ||||||||||
74,859 | WaMu Mortgage Pass-Through Certificates Series 2005-AR1 Trust (a) | 1 Month LIBOR + 0.64% | 0.790 | 1/25/2045 | 74,611 | |||||||||
68,975 | WaMu Mortgage Pass-Through Certificates Series 2006-AR11 Trust (a) | COF 11 + 1.50% | 2.023 | 9/2/2046 | 68,621 | |||||||||
88,438 | WaMu Mortgage Pass-Through Certificates Series 2006-AR2 Trust (b) | 3.688 | 3/25/2036 | 85,609 | ||||||||||
187,633 | WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust (b) | 3.117 | 8/25/2046 | 171,684 | ||||||||||
109,249 | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS2 Trust | 5.750 | 2/25/2033 | 111,736 | ||||||||||
112,837 | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS9 Trust | 7.500 | 4/25/2033 | 116,474 | ||||||||||
17,198 | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2005-RA1 Trust (b,c) | 3.527 | 1/25/2035 | 14,572 | ||||||||||
50,529,936 | ||||||||||||||
HOME EQUITY - 5.0% | ||||||||||||||
68,106 | ABFC 2004-OPT2 Trust (a) | 1 Month LIBOR + 0.56% | 0.710 | 10/25/2033 | 62,113 | |||||||||
114,659 | American Residential Home Equity Loan Trust 1998-1 (a) | 1 Month LIBOR + 2.18% | 2.325 | 5/25/2029 | 114,616 | |||||||||
41,078 | Argent Securities Inc Asset Back Pass Thr Certs Ser 2004 W2 (d) | 4.403 | 4/25/2034 | 43,551 | ||||||||||
43,412 | Bayview Financial Acquisition Trust (d) | 6.096 | 12/28/2036 | 45,255 | ||||||||||
741,329 | Bayview Financial Asset Trust 2007-SSR1 (a,c) | 1 Month LIBOR + 0.45% | 2.927 | 3/25/2037 | 678,780 | |||||||||
649,191 | Bayview Financial Revolving Asset Trust 2004-B (a,c) | 1 Month LIBOR + 1.00% | 1.147 | 5/28/2039 | 567,419 | |||||||||
177,898 | Bear Stearns Asset Backed Securities I Trust 2004-FR2 (a) | 1 Month LIBOR + 2.10% | 2.250 | 6/25/2034 | 161,569 | |||||||||
880,915 | Bear Stearns Asset Backed Securities Trust 2003-2 (a) | 1 Month LIBOR + 1.80% | 1.950 | 3/25/2043 | 888,058 | |||||||||
310,299 | Bear Stearns Home Loan Owner Trust 2001-A (d) | 10.500 | 2/15/2031 | 322,944 | ||||||||||
860,555 | CDC Mortgage Capital Trust 2004-HE1 (a) | 1 Month LIBOR + 0.86% | 1.005 | 6/25/2034 | 933,592 | |||||||||
256,213 | Chase Funding Loan Acquisition Trust Series 2004-AQ1 (a) | 1 Month LIBOR + 2.93% | 3.075 | 5/25/2034 | 256,236 | |||||||||
490,608 | Credit Suisse First Boston Mortgage Securities Corp. (a,c) | 1 Month LIBOR + 0.85% | 1.000 | 5/25/2044 | 467,110 | |||||||||
239,090 | Delta Funding Home Equity Loan Trust 1999-2 (a) | 1 Month LIBOR + 0.64% | 0.781 | 8/15/2030 | 215,948 | |||||||||
191,705 | Delta Funding Home Equity Loan Trust 1999-3 (d) | 8.061 | 9/15/2029 | 194,740 | ||||||||||
376,660 | Financial Asset Securities Corp AAA Trust 2005-1 (a,c) | 1 Month LIBOR + 0.38% | 0.525 | 2/27/2035 | 345,122 | |||||||||
299,396 | Financial Asset Securities Corp AAA Trust 2005-1 (a,c) | 1 Month LIBOR + 0.41% | 0.556 | 2/27/2035 | 272,166 | |||||||||
96,041 | First Alliance Mortgage Loan Trust 1999-1 (d) | 7.180 | 6/20/2030 | 97,416 | ||||||||||
133,439 | GE Capital Mortgage Services Inc 1999-HE1 Trust (b) | 6.700 | 4/25/2029 | 139,695 | ||||||||||
59,253 | Home Loan Mortgage Loan Trust 2005-1 (a) | 1 Month LIBOR + 0.72% | 0.861 | 4/15/2036 | 49,453 | |||||||||
336,366 | Mastr Asset Backed Securities Trust 2005-NC1 (a) | 1 Month LIBOR + 0.75% | 0.900 | 12/25/2034 | 332,647 | |||||||||
56,323 | Morgan Stanley Dean Witter Capital I Inc Trust 2001-AM1 (a) | 1 Month LIBOR + 1.28% | 1.425 | 2/25/2032 | 57,469 | |||||||||
339,012 | New Century Home Equity Loan Trust Series 2003-B (a) | 1 Month LIBOR + 0.98% | 1.125 | 10/25/2033 | 314,010 | |||||||||
106,057 | NovaStar Mortgage Funding Trust Series 2003-2 (a) | 1 Month LIBOR + 4.73% | 4.875 | 9/25/2033 | 109,193 | |||||||||
51,215 | Option One Mortgage Loan Trust 2002-3 (a) | 1 Month LIBOR + 0.50% | 0.650 | 8/25/2032 | 50,173 | |||||||||
55,556 | RASC Series 2005-EMX1 Trust (a) | 1 Month LIBOR + 3.21% | 3.360 | 3/25/2035 | 49,801 | |||||||||
220,082 | Renaissance Home Equity Loan Trust 2002-3 (a) | 1 Month LIBOR + 2.55% | 2.699 | 12/25/2032 | 220,984 | |||||||||
60,693 | Saxon Asset Securities Trust 2001-2 (d) | 7.170 | 3/25/2029 | 66,114 | ||||||||||
347,929 | Saxon Asset Securities Trust 2003-3 (d) | 4.550 | 12/25/2033 | 356,421 | ||||||||||
73,127 | Saxon Asset Securities Trust 2003-3 (a) | 1 Month LIBOR + 2.40% | 2.550 | 12/25/2033 | 72,307 | |||||||||
605,195 | Security National Mortgage Loan Trust 2005-2 (b,c) | 6.213 | 2/25/2036 | 634,512 | ||||||||||
1,116,057 | Security National Mortgage Loan Trust 2006-3 (b,c) | 5.830 | 1/25/2037 | 1,119,307 | ||||||||||
213,328 | Southern Pacific Secured Asset Corp. | 7.320 | 5/25/2027 | 220,470 | ||||||||||
9,459,191 | ||||||||||||||
MANUFACTURED HOUSING - 0.5% | ||||||||||||||
1,000,000 | Cascade MH Asset Trust 2019-MH1 (b,c) | 5.985 | 11/1/2044 | 997,305 | ||||||||||
NON AGENCY CMBS - 12.3% | ||||||||||||||
723,000 | Arbor Multifamily Mortgage Securities Trust 2020-MF1 (c) | 1.750 | 5/15/2053 | 613,057 | ||||||||||
1,000,000 | Arbor Multifamily Mortgage Securities Trust 2020-MF1 (c) | 1.750 | 5/15/2053 | 773,299 | ||||||||||
381,000 | BAMLL Re-REMIC Trust 2016-FRR13 (b,c) | 1.575 | 8/27/2045 | 371,909 | ||||||||||
175,000 | Bancorp Commercial Mortgage 2018-CRE3 Trust (a,c) | 1 Month LIBOR + 2.70% | 2.841 | 1/15/2033 | 168,762 | |||||||||
79,907 | Bayview Commercial Asset Trust 2005-2 (a,c) | 1 Month LIBOR + 1.15% | 1.300 | 8/25/2035 | 59,320 | |||||||||
3,205,441 | Bayview Commercial Asset Trust 2007-2 (a,c) | 1 Month LIBOR + 0.27% | 0.420 | 7/25/2037 | 2,986,712 | |||||||||
654,720 | Bayview Commercial Asset Trust 2007-3 (a,c) | 1 Month LIBOR + 0.34% | 0.490 | 7/25/2037 | 570,770 | |||||||||
1,594,994 | Bayview Commercial Asset Trust 2007-3 (a,c) | 1 Month LIBOR + 0.50% | 0.650 | 7/25/2037 | 1,361,780 | |||||||||
330,000 | BMD2 Re-Remic Trust 2019-FRR1 (b,c) | 3.498 | 5/25/2052 | 312,940 | ||||||||||
175,000 | COMM 2012-LC4 Mortgage Trust (b) | 4.934 | 12/10/2044 | 169,350 | ||||||||||
1,990,000 | COMM 2013-GAM (c) | 3.367 | 2/10/2028 | 1,898,810 | ||||||||||
1,000,000 | CSAIL 2017-CX10 Commercial Mortgage Trust (c) | 3.945 | 11/15/2037 | 961,215 | ||||||||||
120,000 | CSMC 2014-USA OA LLC (c) | 4.373 | 9/15/2037 | 95,438 | ||||||||||
100,000 | CSMC 2018-SITE (c) | 4.535 | 4/15/2036 | 97,603 | ||||||||||
18,014,000 | CSMC Trust 2016-NXSR (b,c) | 1.000 | 12/15/2049 | 762,587 | ||||||||||
550,000 | GS Mortgage Securities Trust 2014-GC20 (b,c) | 5.128 | 4/10/2047 | 314,409 | ||||||||||
500,000 | Harvest Commercial Capital Loan Trust 2019-1 (b,c) | 5.730 | 11/25/2031 | 417,077 | ||||||||||
2,366,000 | Hudsons Bay Simon JV Trust 2015-HBS (c) | 3.914 | 8/5/2034 | 2,128,797 | ||||||||||
1,453,251 | JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9 (c) | 5.337 | 5/15/2047 | 1,321,843 | ||||||||||
128,833 | JP Morgan Chase Commercial Mortgage Securities Trust 2015-FL7 (a,c) | 1 Month LIBOR + 3.75% | 3.891 | 5/15/2028 | 114,969 | |||||||||
357,056 | JP Morgan Commercial Mortgage-Backed Securities Trust 2011-RR1 (b,c) | 4.717 | 3/16/2046 | 356,630 | ||||||||||
53,000 | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9 (b) | 3.708 | 5/15/2046 | 54,534 | ||||||||||
54,000 | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 (c) | 3.071 | 2/15/2048 | 46,880 |
See accompanying notes to financial statements.
39
SCHEDULE OF INVESTMENTS (Continued) |
JAMES ALPHA STRUCTURED CREDIT VALUE PORTFOLIO |
November 30, 2020 |
Principal | Variable Rate | Coupon Rate (%) | Maturity | Value | ||||||||||
ASSET BACKED SECURITIES - 67.4% (Continued) | ||||||||||||||
NON AGENCY CMBS - 12.3% (Continued) | ||||||||||||||
$ | 200,000.0 | Morgan Stanley Capital I Trust 2015-MS1 (b,c) | 4.166 | 5/15/2048 | $ | 172,274 | ||||||||
49,424 | Multi Security Asset Trust LP Commercial Mortgage-Backed Securities Pass-Through (b,c) | 4.780 | 11/28/2035 | 15,161 | ||||||||||
2,000,000 | New Orleans Hotel Trust 2019-HNLA (a,c) | 1 Month LIBOR + 0.99% | 1.130 | 4/15/2032 | 1,935,073 | |||||||||
2,000,000 | ReadyCap Commercial Mortgage Trust 2015-SBC2 (b,c) | 5.132 | 6/25/2055 | 1,980,020 | ||||||||||
500,000 | ReadyCap Commercial Mortgage Trust 2019-6 (b,c) | 4.821 | 10/25/2052 | 447,516 | ||||||||||
445,000 | UBS-Barclays Commercial Mortgage Trust 2012-C2 (b,c) | 5.045 | 5/10/2063 | 230,396 | ||||||||||
2,144,000 | Velocity Commercial Capital Loan Trust 2016-2 (b) | 8.259 | 10/25/2046 | 2,203,850 | ||||||||||
2,722,357 | Wachovia Bank Commercial Mortgage Trust Series 2004-C12 (b,c) | 0.807 | 7/15/2041 | 5,837 | ||||||||||
100,000 | WFRBS Commercial Mortgage Trust 2011-C3 (c) | 4.740 | 3/15/2044 | 100,099 | ||||||||||
260,000 | WFRBS Commercial Mortgage Trust 2011-C5 (b,c) | 5.844 | 11/15/2044 | 264,550 | ||||||||||
100,000 | WFRBS Commercial Mortgage Trust 2014-C24 (b) | 4.204 | 11/15/2047 | 92,527 | ||||||||||
23,405,994 | ||||||||||||||
OTHER ABS - 2.1% | ||||||||||||||
3,596,809 | HANA SBA LOAN TRUST 2019-1 (a,c) | 1 Month LIBOR + 2.00% | 2.149 | 8/25/2045 | 3,479,684 | |||||||||
5,424,000 | LendingClub Issuance Trust Series 2016-NP1 (c) | 0.000 | @ | 6/15/2022 | 31,459 | |||||||||
474,285 | TRIP Rail Master Funding LLC (c) | 6.024 | 7/15/2041 | 484,593 | ||||||||||
3,995,736 | ||||||||||||||
RESIDENTIAL MORTGAGE - 1.8% | ||||||||||||||
300,000 | CFMT 2020-HB3 LLC (b,c) | 6.284 | 5/25/2030 | 303,150 | ||||||||||
11,785 | Chase Funding Trust Series 2002-4 (a) | 1 Month LIBOR + 0.74% | 0.890 | 10/25/2032 | 11,689 | |||||||||
80,921 | GE-WMC Asset-Backed Pass-Through Certificates Series 2005-2 (a) | 1 Month LIBOR + 0.66% | 0.810 | 12/25/2035 | 72,495 | |||||||||
344,026 | Interstar Millennium Series 2004-4E Trust (a) | 3 Month Euro LIBOR + 0.40% | 0.000 | @ | 11/14/2036 | 385,746 | ||||||||
100,000 | Mastr Specialized Loan Trust (a,c) | 1 Month LIBOR + 0.75% | 0.900 | 11/25/2035 | 98,762 | |||||||||
832,501 | Pretium Mortgage Credit Partners I 2020-NPL1 LLC (c,d) | 2.858 | 5/27/2059 | 836,421 | ||||||||||
812,832 | RAAC Series 2007-RP3 Trust (a,c) | 1 Month LIBOR + 0.38% | 0.530 | 10/25/2046 | 770,159 | |||||||||
370,000 | RAMP Series 2006-EFC1 Trust (a) | 1 Month LIBOR + 0.43% | 0.580 | 2/25/2036 | 343,609 | |||||||||
527,273 | Structured Asset Investment Loan Trust 2003-BC9 (a) | 1 Month LIBOR + 3.15% | 3.300 | 8/25/2033 | 535,687 | |||||||||
3,357,718 | ||||||||||||||
STUDENT LOANS - 1.1% | ||||||||||||||
41,750 | AccessLex Institute (a) | 3 Month LIBOR + 0.70% | 0.915 | 1/25/2043 | 35,764 | |||||||||
139,941 | Collegiate Funding Services Education Loan Trust 2005-A (a) | 3 Month LIBOR + 0.30% | 0.533 | 12/28/2037 | 122,529 | |||||||||
760,000 | EdLinc Student Loan Funding Trust 2012-1 (a,c) | 1 Month LIBOR + 4.24% | 4.390 | 11/26/2040 | 825,079 | |||||||||
707,254 | EdLinc Student Loan Funding Trust 2017-A (a,c) | PRIME Rate - 1.15% | 3.600 | 12/1/2047 | 657,969 | |||||||||
168,700 | GCO Education Loan Funding Master Trust-II (a,c) | 1 Month LIBOR + 0.65% | 0.798 | 8/27/2046 | 162,781 | |||||||||
41,712 | PHEAA Student Loan Trust 2015-1 (a,c) | 1 Month LIBOR + 0.60% | 0.750 | 10/25/2041 | 41,187 | |||||||||
215,000 | SLM Private Education Loan Trust 2010-C (a,c) | 3 Month LIBOR + 4.75% | 4.891 | 10/15/2041 | 233,688 | |||||||||
65,000 | SLM Student Loan Trust 2008-6 (a) | 3 Month LIBOR + 1.85% | 2.065 | 7/26/2083 | 58,572 | |||||||||
40,000 | SLM Student Loan Trust 2012-7 (a) | 1 Month LIBOR + 1.80% | 1.950 | 9/25/2043 | 38,231 | |||||||||
2,175,800 | ||||||||||||||
WHOLE BUSINESS - 0.1% | ||||||||||||||
205,208 | Business Loan Express Business Loan Trust 2007-A (a,c) | 1 Month LIBOR + 0.40% | 0.547 | 10/20/2040 | 185,068 | |||||||||
TOTAL ASSET BACKED SECURITIES (Cost - $125,119,086) | 128,314,468 | |||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 1.9% | ||||||||||||||
AGENCY CMBS - 1.8% | ||||||||||||||
2,608,299 | FREMF 2015-KF12 Mortgage Trust (a,c) | 1 Month LIBOR + 7.10% | 7.240 | 9/25/2022 | 2,429,229 | |||||||||
189,554 | Government National Mortgage Association (b) | 0.894 | 4/16/2053 | 4,420 | ||||||||||
1,000,000 | Multifamily Connecticut Avenue Securities Trust 2019-01 (a,c) | 1 Month LIBOR + 3.25% | 3.400 | 10/15/2049 | 926,682 | |||||||||
3,360,331 | ||||||||||||||
CMO - 0.1% | ||||||||||||||
34,677 | Freddie Mac Structured Pass-Through Certificates (a) | 12 Month TA + 1.20% | 2.371 | 10/25/2044 | 35,581 | |||||||||
236,700 | JP Morgan Tax-Emept Pass-Through Trust Series 2012-3 (b,c) | 3.000 | 10/27/2042 | 234,593 | ||||||||||
270,174 | ||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $3,344,368) | 3,630,505 | |||||||||||||
CORPORATE BONDS - 14.2% | ||||||||||||||
ASSET MANAGEMENT - 0.1% | ||||||||||||||
70,000 | Morgan Stanley & Co. LLC (a) | (5*(USISDA30-USISDA02)) | 1.125 | 1/21/2026 | 66,675 | |||||||||
65,000 | Nomura America Finance LLC (a) | (4*(USISDA30-USISDA02)) | 0.908 | 2/28/2034 | 55,251 | |||||||||
121,926 | ||||||||||||||
BANKING - 1.7% | ||||||||||||||
190,000 | Bank of Nova Scotia (a) | (4*(USISDA30-USISDA02)-3) | 0.000 | @ | 6/27/2033 | 146,300 | ||||||||
75,000 | Barclays Bank PLC (b) | 0.000 | @ | 1/23/2026 | 74,181 | |||||||||
142,000 | BNP Paribas SA (a) | 4*(CMS30-CMS5) | 1.260 | * | 4/30/2033 | 123,185 | ||||||||
430,000 | Citigroup, Inc. (a) | 4*(CMS30-CMS5) | 1.908 | 6/11/2033 | 361,200 | |||||||||
55,000 | Citigroup, Inc. (a) | (12*(USISDA30-USISDA02)) | 1.860 | 8/31/2035 | 43,725 | |||||||||
49,000 | Credit Agricole Corporate & Investment Bank SA (a) | 10*(CMS30-CMS2) | 4.290 | 9/29/2032 | 47,824 | |||||||||
444,000 | Credit Suisse AG (a) | (8*(USISDA30-USISDA02)) | 4.030 | 2/27/2030 | 437,340 | |||||||||
300,000 | Credit Suisse AG (b) | 1.710 | 9/30/2030 | 295,500 | ||||||||||
380,000 | Credit Suisse AG (b) | 6.130 | 4/29/2031 | 388,550 | ||||||||||
105,000 | Deutsche Bank AG (a) | (4*(USISDA30-USISDA05)) | 0.000 | 1/31/2033 | 76,912 | |||||||||
75,000 | Deutsche Bank AG (a) | (4*(USISDA30-USISDA02)) | 1.972 | 11/26/2034 | 61,125 | |||||||||
75,000 | Deutsche Bank AG (a) | (15*(USISDA30-USISDA02)) | 0.000 | @ | 12/23/2035 | 56,719 | ||||||||
100,000 | JPMorgan Chase & Co. (b) | 2.574 | 3/31/2025 | 100,396 | ||||||||||
200,000 | Lloyds Bank PLC (a) | (4.3*(USISDA30-USISDA05)) | 1.380 | 1/31/2033 | 156,000 | |||||||||
617,000 | Lloyds Bank PLC (b) | 2.972 | 2/26/2033 | 546,045 |
See accompanying notes to financial statements.
40
SCHEDULE OF INVESTMENTS (Continued) |
JAMES ALPHA STRUCTURED CREDIT VALUE PORTFOLIO |
November 30, 2020 |
Principal | Variable Rate | Coupon Rate (%) | Maturity | Value | ||||||||||
CORPORATE BONDS - 14.2% (Continued) | ||||||||||||||
BANKING - 1.7% (Continued) | ||||||||||||||
$ | 136,000 | Lloyds Bank PLC (a) | (4*(USISDA30-USISDA02)) | 1.380 | 10/25/2033 | $ | 117,640 | |||||||
236,000 | Natixis US Medium-Term Note Program LLC (a) | (7.5*(USISDA30-USISDA05-25bps)) | 4.282 | 7/31/2034 | 215,940 | |||||||||
3,248,582 | ||||||||||||||
INSTITUTIONAL FINANCIAL SERVICES - 10.0% | ||||||||||||||
150,000 | Citigroup Global Markets Holdings, Inc. (b,e) | 10.000 | 3/31/2027 | 151,688 | ||||||||||
160,000 | Citigroup Global Markets Holdings, Inc. (a) | (50*(USISDA30-USISDA02)) | 10.000 | 12/26/2028 | 157,600 | |||||||||
41,000 | Citigroup Global Markets Holdings, Inc. (b) | 2.104 | 4/25/2032 | 38,976 | ||||||||||
225,000 | Citigroup Global Markets Holdings, Inc. | 8.000 | 7/1/2032 | 218,250 | ||||||||||
50,000 | Citigroup Global Markets Holdings, Inc. (b,e) | 10.000 | 7/29/2032 | 47,500 | ||||||||||
35,000 | Citigroup Global Markets Holdings, Inc. (b,e) | 1.018 | 11/22/2032 | 32,025 | ||||||||||
30,000 | Citigroup Global Markets Holdings, Inc. (b,e) | 10.000 | 1/31/2034 | 29,250 | ||||||||||
150,000 | Citigroup Global Markets Holdings, Inc. (b,e) | 10.000 | 3/29/2034 | 140,250 | ||||||||||
615,000 | Citigroup Global Markets Holdings, Inc. (a) | (50*(USISDA30-USISDA02)) | 11.500 | 11/21/2038 | 605,775 | |||||||||
150,000 | GS Finance Corp. (b) | 8.000 | 4/30/2028 | 149,250 | ||||||||||
15,000 | Jefferies Group LLC (b) | 6.160 | 6/30/2037 | 14,100 | ||||||||||
229,000 | Jefferies Group LLC (a) | (9*(USISDA10-USISDA02)) | 8.000 | 8/31/2037 | 214,688 | |||||||||
50,000 | Jefferies Group LLC (b) | 6.160 | 8/31/2037 | 47,000 | ||||||||||
248,000 | Jefferies Group LLC (b,e) | 4.928 | 9/30/2037 | 213,280 | ||||||||||
110,000 | Jefferies Group LLC (b) | 8.240 | 1/31/2038 | 106,700 | ||||||||||
762,000 | Jefferies Group LLC (a) | (7.5*(USISDA30-USISDA02)) | 6.000 | 2/28/2038 | 546,735 | |||||||||
115,000 | Morgan Stanley (b,e) | 8.000 | 3/21/2027 | 124,200 | ||||||||||
299,000 | Morgan Stanley (a) | (5*(USISDA30-USISDA02)) | 4.360 | 8/30/2028 | 278,817 | |||||||||
661,000 | Morgan Stanley (a) | (5*(USISDA30-USISDA02)) | 8.986 | 8/30/2028 | 616,382 | |||||||||
1,015,000 | Morgan Stanley (b,e) | 3.896 | 9/27/2028 | 987,087 | ||||||||||
398,000 | Morgan Stanley (a) | (8*(USISDA30-USISDA05)) | 1.945 | 10/15/2028 | 371,135 | |||||||||
3,129,000 | Morgan Stanley (a) | (10*(USISDA30-USISDA02)) | 0.705 | 4/30/2030 | 3,082,065 | |||||||||
1,388,000 | Morgan Stanley (a) | (10*(USISDA30-USISDA02)) | 2.720 | 5/29/2030 | 1,367,180 | |||||||||
263,000 | Morgan Stanley (b,e) | 6.540 | 6/30/2030 | 259,055 | ||||||||||
182,000 | Morgan Stanley (a) | (8*(USISDA30-USISDA02)) | 1.824 | 7/31/2030 | 173,810 | |||||||||
290,000 | Morgan Stanley (a) | (8.5*(USISDA30-USISDA02)) | 3.162 | 8/19/2030 | 278,400 | |||||||||
216,000 | Morgan Stanley (a) | (8*(USISDA30-USISDA02)) | 1.824 | 8/31/2030 | 206,280 | |||||||||
285,000 | Morgan Stanley (b,e) | 2.280 | 9/30/2030 | 280,725 | ||||||||||
151,000 | Morgan Stanley (a) | (7*(USISDA30-USISDA02)) | 1.596 | 10/30/2030 | 140,807 | |||||||||
171,000 | Morgan Stanley (a) | (5*(USISDA30-USISDA02)) | 4.360 | 10/30/2030 | 133,275 | |||||||||
20,000 | Morgan Stanley (b,e) | 8.000 | 3/31/2031 | 21,300 | ||||||||||
89,000 | Morgan Stanley (b,e) | 8.500 | 5/31/2031 | 94,785 | ||||||||||
100,000 | Morgan Stanley (b,e) | 9.000 | 6/30/2031 | 108,000 | ||||||||||
114,000 | Morgan Stanley (b,e) | 8.500 | 7/29/2031 | 121,410 | ||||||||||
117,000 | Morgan Stanley (b,e) | 5.850 | 1/30/2034 | 103,545 | ||||||||||
290,000 | Morgan Stanley (a) | (4*(USISDA30-USISDA02)) | 4.040 | 2/28/2034 | 234,900 | |||||||||
1,046,000 | Morgan Stanley (a) | (5*(USISDA30-USISDA02)) | 1.140 | 6/30/2034 | 868,180 | |||||||||
220,000 | Morgan Stanley (b,e) | 4.040 | 7/31/2034 | 179,300 | ||||||||||
121,000 | Morgan Stanley (b) | 4.985 | 8/29/2034 | 96,380 | ||||||||||
120,000 | Morgan Stanley (b) | 1.140 | 9/30/2034 | 99,600 | ||||||||||
385,000 | Morgan Stanley (b) | 5.850 | 9/30/2034 | 308,215 | ||||||||||
253,000 | Morgan Stanley (b) | 1.596 | 9/30/2034 | 218,212 | ||||||||||
238,000 | Morgan Stanley (a) | (5*(USISDA30-USISDA02)) | 1.570 | 10/8/2034 | 197,540 | |||||||||
233,000 | Morgan Stanley (b,e) | 1.977 | 10/31/2034 | 198,050 | ||||||||||
595,000 | Morgan Stanley (a) | (7*(USISDA30-USISDA02)) | 1.806 | 11/28/2034 | 513,188 | |||||||||
414,000 | Morgan Stanley (a) | (5*(USISDA30-USISDA02)) | 2.405 | 11/28/2034 | 343,620 | |||||||||
508,000 | Morgan Stanley (a) | (4.5*(USISDA30-USISDA02)) | 1.026 | 12/31/2034 | 419,100 | |||||||||
275,000 | Morgan Stanley (a) | (8*(USISDA30-USISDA02)) | 1.824 | 1/30/2035 | 239,938 | |||||||||
675,000 | Morgan Stanley (a) | (5*(USISDA30-USISDA02)) | 3.575 | 1/30/2035 | 588,938 | |||||||||
778,000 | Morgan Stanley (a) | (5*(USISDA30-USISDA02)) | 1.150 | 2/27/2035 | 643,795 | |||||||||
438,000 | Morgan Stanley (a) | (6*(USISDA30-USISDA02)) | 0.423 | 3/31/2035 | 367,920 | |||||||||
532,000 | Morgan Stanley (a) | (9*(USISDA30-USISDA02)) | 9.000 | 4/30/2035 | 569,240 | |||||||||
73,000 | Morgan Stanley (b) | 9.000 | 5/29/2035 | 78,840 | ||||||||||
120,000 | Morgan Stanley (b,e) | 9.000 | 6/30/2035 | 128,400 | ||||||||||
268,000 | Morgan Stanley (b,e) | 9.000 | 7/31/2035 | 289,440 | ||||||||||
79,000 | Morgan Stanley (b) | 9.000 | 9/30/2035 | 85,320 | ||||||||||
109,000 | Morgan Stanley (b,e) | 9.000 | 11/30/2035 | 117,720 | ||||||||||
134,000 | Morgan Stanley (a) | (9*(USISDA30-USISDA02)) | 8.000 | 12/23/2035 | 143,380 | |||||||||
816,000 | Morgan Stanley (a) | (10*(USISDA30-USISDA02)) | 2.270 | 2/29/2036 | 775,200 | |||||||||
19,165,741 | ||||||||||||||
SPECIALTY FINANCE - 2.4% | ||||||||||||||
488,000 | Morgan Stanley Finance LLC (a) | (15*(USISDA30-USISDA02)) | 14.000 | 4/30/2033 | 473,360 | |||||||||
336,000 | Morgan Stanley Finance LLC (a) | (10*(USISDA30-USISDA02)) | 9.000 | 6/30/2036 | 319,200 | |||||||||
115,000 | Morgan Stanley Finance LLC (a) | (15*(USISDA30-USISDA02)) | 3.405 | 7/29/2036 | 114,425 | |||||||||
1,212,000 | Morgan Stanley Finance LLC (a) | (20*(USISDA30-USISDA02)) | 9.000 | 8/31/2036 | 1,254,420 | |||||||||
228,000 | Morgan Stanley (b,e) | 4.560 | 9/30/2036 | 235,980 | ||||||||||
941,000 | Morgan Stanley Finance LLC (a) | (20*(USISDA30-USISDA02)) | 5.320 | 11/29/2036 | 973,935 | |||||||||
228,000 | Morgan Stanley Finance LLC (a) | (20*(USISDA30-USISDA02)) | 9.000 | 1/31/2037 | 235,980 | |||||||||
996,000 | Morgan Stanley Finance LLC (b) | 5.107 | 9/29/2037 | 941,220 | ||||||||||
4,548,520 | ||||||||||||||
TOTAL CORPORATE BONDS (Cost - $24,068,314) | 27,084,769 |
See accompanying notes to financial statements.
41
SCHEDULE OF INVESTMENTS (Continued) |
JAMES ALPHA STRUCTURED CREDIT VALUE PORTFOLIO |
November 30, 2020 |
Principal | Variable Rate | Coupon Rate (%) | Maturity | Value | ||||||||||
NON U.S. GOVERNMENT & AGENCIES - 0.1% | ||||||||||||||
SOVEREIGN - 0.1% | ||||||||||||||
$ | 24,086 | Argentine Republic Government International Bond | 1.000 | 7/9/2029 | $ | 10,285 | ||||||||
485,000 | Argentine Republic Government International Bond (d) | 0.125 | 7/9/2035 | 171,205 | ||||||||||
TOTAL NON U.S. GOVERNMENT & AGENCIES (Cost -$290,033) | 181,490 | |||||||||||||
U.S. GOVERNMENT & AGENCIES - 10.5% | ||||||||||||||
AGENCY MBS OTHER - 0.0% | ||||||||||||||
40,197 | Fannie Mae Pool Pool # 257064 | 4.500 | 11/1/2037 | 41,630 | ||||||||||
U.S. TREASURY BOND - 1.1% | ||||||||||||||
2,000,000 | United States Treasury Note/Bond | 1.625 | 11/15/2050 | 2,026,250 | ||||||||||
Discount Rate (%) | ||||||||||||||
U.S. TREASURY BILLS - 9.4% | ||||||||||||||
4,000,000 | United States Treasury Bill | 0.070 | 12/31/2020 | 3,999,758 | ||||||||||
5,000,000 | United States Treasury Bill | 0.077 | 2/25/2021 | 4,999,074 | ||||||||||
4,000,000 | United States Treasury Bill | 0.078 | 5/20/2021 | 3,998,513 | ||||||||||
5,000,000 | United States Treasury Bill | 0.087 | 5/27/2021 | 4,997,849 | ||||||||||
17,995,194 | ||||||||||||||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost -$20,069,967) | ||||||||||||||
20,063,074 | ||||||||||||||
Shares | ||||||||||||||
SHORT TERM INVESTMENT - 10.7% | ||||||||||||||
MONEY MARKET FUND - 10.7% | ||||||||||||||
20,278,535 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.03% ^ | 20,278,535 | ||||||||||||
TOTAL SHORT TERM INVESTMENT (Cost -$20,278,535) | ||||||||||||||
TOTAL INVESTMENTS - 104.8% (Cost - $193,170,303) | $ | 199,552,841 | ||||||||||||
LIABILITES IN EXCESS OF OTHER ASSETS - (4.8)% | (9,229,332 | ) | ||||||||||||
NET ASSETS - 100.0% | $ | 190,323,509 |
^ | Money Market Fund; interest rate reflects seven-day effective yield on November 30, 2020. | |
* | Interest paid on days were the Russell 2000 Index is greater than 75% than the closing value on 4/26/13. | |
@ | Zero coupon rate. | |
(a) | Variable rate security; the rate shown represents the rate at November 30, 2020. | |
(b) | Variable or Floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The rate shown represents the rate at November 30, 2020. | |
(c) | Securities exempt from registration under Rule 144A of Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. At November 30, 2020, these securities amounted to $86,363,688 or 45.4% of net assets. | |
(d) | Step-Up Bond; the interest rate shown is the rate in effect as of November 30, 2020. | |
(e) | The interest adjusts if the long term interest rates are lower than short term interest rates as measured by a pair of interest indexes or if the underlying equity index falls below the index reference level. | |
CMS5 - 5 Year Constant Maturity Swap Rate | ||
CMS30 - 30 Year Constant Maturity Swap Rate | ||
CMS2 - 2 Year Constant Maturity Swap Rate | ||
COF 11 - 11th District Cost of Funds | ||
LIBOR - London Interbank offered rate | ||
PRIME rate - Prime Lending Rate | ||
TA - Treasury Average Index | ||
USISDA02 - 2 Year Swap | ||
USISDA05 - 5 Year Swap | ||
USISDA10 - 10 Year Swap | ||
USISDA30 - 30 Year Swap |
See accompanying notes to financial statements.
42
SCHEDULE OF INVESTMENTS (Continued) |
JAMES ALPHA STRUCTURED CREDIT VALUE PORTFOLIO |
November 30, 2020 |
OPEN CREDIT DEFAULT SWAP AGREEMENT - (0.1)% | ||||||||||||||||||||||
Notional Value | Amortized | |||||||||||||||||||||
Fixed Deal | at November 30, | Upfront | Unrealized | |||||||||||||||||||
Reference Entity | Counterparty | Termination Date | (Pay) Rate | 2020 | Fair Value | Payments Paid | Depreciation | |||||||||||||||
Morgan Stanley, 3.75%, 02/25/2023 | Goldman Sachs | 6/20/2025 | 1.00% | $ | 20,000,000 | $ | (514,071 | ) | $ | (358,053 | ) | $ | (195,462 | ) |
See accompanying notes to financial statements.
43
STATEMENTS OF ASSETS AND LIABILITIES |
November 30, 2020 |
James Alpha | James Alpha | James Alpha | James Alpha | James Alpha | James Alpha | |||||||||||||||||||
EHS | Event Driven | Family Office | Relative Value | Total Hedge | Structured Credit | |||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Value Portfolio | |||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Investments in Affiliates, at cost | $ | 230,693 | $ | 493,453 | $ | — | $ | 2,077,204 | $ | 876,150 | $ | — | ||||||||||||
Investments in Unaffiliated securities, at cost | 3,705,206 | 4,019,422 | 5,401,162 | 4,726,891 | 8,862,772 | 193,170,303 | ||||||||||||||||||
Total Investments, at cost | $ | 3,935,899 | $ | 4,512,875 | $ | 5,401,162 | $ | 6,804,095 | $ | 9,738,922 | $ | 193,170,303 | ||||||||||||
Investments in Affiliates, at value | $ | 246,833 | $ | 521,593 | $ | — | $ | 2,260,551 | $ | 949,115 | $ | — | ||||||||||||
Investments in Unaffiliated securities, at value | 4,016,503 | 4,043,830 | 6,046,429 | 4,693,181 | 9,276,900 | 199,552,841 | ||||||||||||||||||
Total Investments, at value | $ | 4,263,336 | $ | 4,565,423 | $ | 6,046,429 | $ | 6,953,732 | $ | 10,226,015 | $ | 199,552,841 | ||||||||||||
Cash | — | — | — | — | — | 2,627,363 | ||||||||||||||||||
Foreign Cash ($430, $0, $0, $0, $443 and $58,746) | 430 | — | — | — | 443 | 59,538 | ||||||||||||||||||
Deposit in collateral account for Swaps | — | 250,000 | — | 230,000 | 388,119 | 830,000 | ||||||||||||||||||
Unrealized appreciation on swaps | — | 116,389 | — | 151,969 | 61,874 | — | ||||||||||||||||||
Unrealized appreciation on forward currency exchange contracts | 60 | — | — | 79 | 491 | — | ||||||||||||||||||
Receivable for securities sold | — | — | — | — | — | 13,858 | ||||||||||||||||||
Receivable for open swaps | — | 77,712 | — | 4,470 | — | — | ||||||||||||||||||
Receivable for fund shares sold | 28,616 | — | — | 23,432 | — | 335,282 | ||||||||||||||||||
Interest and dividends receivable | 93 | 1,276 | 1 | 1,841 | 3,017 | 354,716 | ||||||||||||||||||
Receivable from manager | 1,220 | 4,142 | — | 7,459 | — | — | ||||||||||||||||||
Prepaid expenses and other assets | 5,329 | 6,625 | 7,192 | 5,201 | 8,070 | 96,624 | ||||||||||||||||||
Total Assets | 4,299,084 | 5,021,567 | 6,053,622 | 7,378,183 | 10,688,029 | 203,870,222 | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Payable for securities purchased | 428 | — | — | — | 437 | 12,682,394 | ||||||||||||||||||
Cash Overdraft ($0, $0, $25,404, $0, $0 and $0) | — | — | 25,404 | — | — | — | ||||||||||||||||||
Payable for fund shares redeemed | — | — | 56 | — | 3,600 | 6,189 | ||||||||||||||||||
Unrealized depreciation on swaps | — | — | — | — | — | 195,462 | ||||||||||||||||||
Premiums received on swaps | — | — | — | — | — | 358,053 | ||||||||||||||||||
Interest Payable | — | 1,198 | — | 1,525 | — | 13 | ||||||||||||||||||
Custody fees payable | 6,970 | 8,438 | 4,093 | 8,494 | 13,574 | 9,715 | ||||||||||||||||||
Administration fees payable | 4,636 | 7,051 | 7,771 | 7,193 | 12,203 | 120,257 | ||||||||||||||||||
Supervisory fee payable | 772 | 772 | 850 | 772 | 850 | 7,347 | ||||||||||||||||||
Unrealized depreciation on forward currency exchange contracts | 305 | 6,469 | — | 93 | 1,616 | — | ||||||||||||||||||
Payable to manager | — | — | 6,834 | — | 3,747 | 115,887 | ||||||||||||||||||
Trustee fees payable | 248 | 458 | 396 | 292 | 651 | 335 | ||||||||||||||||||
Payable for distribution (12b-1) fees | 10 | 1 | 140 | 1 | 105 | 5,323 | ||||||||||||||||||
Compliance officer fees payable | 145 | 471 | 609 | 547 | 810 | 5,041 | ||||||||||||||||||
Accrued expenses and other liabilities | 3,064 | 7,694 | 9,263 | 7,406 | 10,385 | 40,697 | ||||||||||||||||||
Total Liabilities | 16,578 | 32,552 | 55,416 | 26,323 | 47,978 | 13,546,713 | ||||||||||||||||||
Net Assets | $ | 4,282,506 | $ | 4,989,015 | $ | 5,998,206 | $ | 7,351,860 | $ | 10,640,051 | $ | 190,323,509 | ||||||||||||
Net Assets: | ||||||||||||||||||||||||
Par value of shares of beneficial interest | $ | 3,564 | $ | 4,994 | $ | 5,117 | $ | 7,251 | $ | 9,597 | $ | 170,690 | ||||||||||||
Paid in capital | 4,023,740 | 5,277,493 | 5,718,866 | 7,211,373 | 10,058,960 | 178,506,576 | ||||||||||||||||||
Accumulated earnings (loss) | 255,202 | (293,472 | ) | 274,223 | 133,236 | 571,494 | 11,646,243 | |||||||||||||||||
Net Assets | $ | 4,282,506 | $ | 4,989,015 | $ | 5,998,206 | $ | 7,351,860 | $ | 10,640,051 | $ | 190,323,509 | ||||||||||||
Net Asset Value Per Share | ||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Net Assets | $ | 13 | $ | 4,811 | $ | 267,656 | $ | 4,677 | $ | 51,253 | $ | 12,466,491 | ||||||||||||
Shares of beneficial interest outstanding | 1 | 485 | 23,199 | 465 | 4,653 | 1,098,709 | ||||||||||||||||||
Net asset value | $ | 11.95 | (a) | $ | 9.91 | (a) | $ | 11.54 | $ | 10.05 | (a) | $ | 11.02 | $ | 11.35 | |||||||||
Offering price per share (maximum sales charge of 5.75%) | $ | 12.68 | $ | 10.51 | $ | 12.24 | $ | 10.66 | $ | 11.69 | $ | 12.04 | ||||||||||||
Class C | ||||||||||||||||||||||||
Net Assets | $ | 6,671 | $ | 11 | $ | 107,713 | $ | 12 | $ | 44,884 | $ | 3,261,785 | ||||||||||||
Shares of beneficial interest outstanding | 563 | 1 | 9,405 | 1 | 4,107 | 293,777 | ||||||||||||||||||
Net asset value/offering price per share | $ | 11.85 | $ | 9.92 | (a) | $ | 11.45 | $ | 10.05 | (a) | $ | 10.93 | $ | 11.10 | ||||||||||
Class I | ||||||||||||||||||||||||
Net Assets | $ | 260,784 | $ | 224,640 | $ | 394,178 | $ | 333,781 | $ | 5,247,085 | $ | 112,226,186 | ||||||||||||
Shares of beneficial interest outstanding | 21,824 | 22,655 | 34,026 | 33,207 | 474,752 | 10,107,771 | ||||||||||||||||||
Net asset value/offering price per share | $ | 11.95 | $ | 9.92 | $ | 11.58 | $ | 10.05 | $ | 11.05 | $ | 11.10 | ||||||||||||
Class S | ||||||||||||||||||||||||
Net Assets | $ | 4,015,038 | $ | 4,759,553 | $ | 5,228,659 | $ | 7,013,390 | $ | 5,296,829 | $ | 62,369,047 | ||||||||||||
Shares of beneficial interest outstanding | $ | 333,971 | $ | 476,267 | $ | 445,071 | $ | 691,407 | $ | 476,190 | $ | 5,568,697 | ||||||||||||
Net asset value/offering price per share | $ | 12.02 | $ | 9.99 | $ | 11.75 | $ | 10.14 | $ | 11.12 | $ | 11.20 | ||||||||||||
(a) | Doesn’t recalculate due to rounding. |
See accompanying notes to financial statements.
44
STATEMENTS OF OPERATIONS |
For Year Ended November 30, 2020 |
James Alpha | James Alpha | James Alpha | James Alpha | James Alpha | James Alpha | |||||||||||||||||||
EHS | Event Driven | Family Office | Relative Value | Total Hedge | Structured Credit | |||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Value Portfolio | |||||||||||||||||||
Investment Income: | ||||||||||||||||||||||||
Dividend income | $ | 21,221 | $ | 171,400 | $ | 174,250 | $ | 118,129 | $ | 211,695 | $ | — | ||||||||||||
Interest income | 329 | 1,559 | 466 | 2,197 | 2,811 | 5,993,727 | ||||||||||||||||||
Dividend income from Affiliates | 30,591 | 54,349 | — | 206,788 | 166,640 | — | ||||||||||||||||||
Less: Foreign withholding taxes | (24 | ) | — | — | — | — | — | |||||||||||||||||
Total Investment Income | 52,117 | 227,308 | 174,716 | 327,114 | 381,146 | 5,993,727 | ||||||||||||||||||
Operating Expenses: | ||||||||||||||||||||||||
Management fees | 17,448 | 60,630 | 81,539 | 61,587 | 104,765 | 1,264,195 | ||||||||||||||||||
Administration fees | 11,404 | 19,248 | 17,805 | 19,686 | 31,265 | 234,909 | ||||||||||||||||||
Supervisory fees | 10,518 | 10,518 | 10,518 | 10,518 | 10,518 | 70,561 | ||||||||||||||||||
Registration fees | 10,516 | 11,351 | 14,529 | 13,881 | 14,324 | 56,768 | ||||||||||||||||||
Custodian fees | 15,071 | 16,316 | 2,807 | 19,465 | 28,748 | 30,404 | ||||||||||||||||||
Shareholder servicing fee | 1,984 | 8,365 | 8,979 | 7,673 | 6,130 | 65,887 | ||||||||||||||||||
Legal fees | 384 | 10,265 | 10,859 | 10,328 | 12,004 | 28,711 | ||||||||||||||||||
Audit fees | 524 | 3,784 | 2,955 | 3,505 | 7,496 | 34,688 | ||||||||||||||||||
Printing and postage expense | 2,255 | 3,951 | 4,002 | 3,461 | 5,951 | 18,927 | ||||||||||||||||||
Trustees’ fees | 268 | 1,045 | 830 | 752 | 1,651 | 15,377 | ||||||||||||||||||
Distribution (12b-1) fees | ||||||||||||||||||||||||
Class A Shares | — | 3 | 674 | 3 | 116 | 15,132 | ||||||||||||||||||
Class C Shares | 58 | — | 1,031 | — | 409 | 23,049 | ||||||||||||||||||
Interest expenses | — | — | — | — | 3,500 | 56,306 | ||||||||||||||||||
Compliance officer fees | 266 | 1,069 | 1,156 | 1,004 | 1,653 | 11,072 | ||||||||||||||||||
Insurance expense | 99 | 304 | 227 | 316 | 261 | 1,271 | ||||||||||||||||||
Miscellaneous expenses | 3,293 | 6,804 | 3,302 | 9,554 | 7,780 | 4,240 | ||||||||||||||||||
Total Operating Expenses | 74,088 | 153,653 | 161,213 | 161,733 | 236,571 | 1,931,497 | ||||||||||||||||||
Less: Expenses waived | (53,524 | ) | (84,386 | ) | (80,006 | ) | (91,675 | ) | (96,283 | ) | (441,960 | ) | ||||||||||||
Total Waivers | (53,524 | ) | (84,386 | ) | (80,006 | ) | (91,675 | ) | (96,283 | ) | (441,960 | ) | ||||||||||||
Net Operating Expenses | 20,564 | 69,267 | 81,207 | 70,058 | 140,288 | 1,489,537 | ||||||||||||||||||
Net Investment Income | 31,553 | 158,041 | 93,509 | 257,056 | 240,858 | 4,504,190 | ||||||||||||||||||
Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||||||
Investments and Foreign currency transactions | 57,234 | (180,531 | ) | 25,815 | (116,494 | ) | 110,682 | 5,615,898 | ||||||||||||||||
Distribution of realized gain (loss) by underlying investment companies | — | — | — | — | — | — | ||||||||||||||||||
Affiliated Investments | 9,385 | 20,176 | — | 82,259 | 131,220 | — | ||||||||||||||||||
Options Purchased | — | — | — | — | (4,520 | ) | — | |||||||||||||||||
Options Written | — | — | — | — | 4,531 | — | ||||||||||||||||||
Swaps | — | (184,371 | ) | — | (111,853 | ) | (1,399 | ) | (18,334 | ) | ||||||||||||||
Net realized gain (loss) | 66,619 | (344,726 | ) | 25,815 | (146,088 | ) | 240,514 | 5,597,564 | ||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||
Investments and Foreign currency translations | 361,665 | 45,508 | 268,025 | 37,895 | 480,489 | 5,670,745 | ||||||||||||||||||
Affiliated Investments | 5,452 | 11,044 | — | 68,592 | (5,365 | ) | — | |||||||||||||||||
Swaps | — | 68,199 | — | 115,979 | (12,562 | ) | (195,462 | ) | ||||||||||||||||
Net change in unrealized appreciation | 367,117 | 124,751 | 268,025 | 222,466 | 462,562 | 5,475,283 | ||||||||||||||||||
Net Realized and Unrealized Gain/(Loss) on investments | 433,736 | (219,975 | ) | 293,840 | 76,378 | 703,076 | 11,072,847 | |||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 465,289 | $ | (61,934 | ) | $ | 387,349 | $ | 333,434 | $ | 943,934 | $ | 15,577,037 | |||||||||||
See accompanying notes to financial statements.
45
STATEMENTS OF CHANGES IN NET ASSETS |
James Alpha EHS Portfolio | James Alpha Event Driven Portfolio | James Alpha Family Office Portfolio | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
November 30, 2020 | November 30, 2019 | November 30, 2020 | November 30, 2019 | November 30, 2020 | November 30, 2019 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 31,553 | $ | 55,595 | $ | 158,041 | $ | 185,860 | $ | 93,509 | $ | 152,296 | ||||||||||||
Net realized gain (loss) on investments | 66,619 | (98,485 | ) | (344,726 | ) | 352,097 | 25,815 | 14,242 | ||||||||||||||||
Net change in unrealized appreciation on investments | 367,117 | 216,413 | 124,751 | 241,908 | 268,025 | 539,126 | ||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 465,289 | 173,523 | (61,934 | ) | 779,865 | 387,349 | 705,664 | |||||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Total Distributions: | ||||||||||||||||||||||||
Class I | (5,181 | ) | (11,238 | ) | (40,688 | ) | (4,718 | ) | (6,884 | ) | (4,827 | ) | ||||||||||||
Class A | (0 | ) * | (0 | ) * | (1 | ) | (0 | ) * | (2,641 | ) | (1,345 | ) | ||||||||||||
Class C | (77 | ) | (239 | ) | (1 | ) | (0 | ) * | (102 | ) | (1,866 | ) | ||||||||||||
Class S | (39,002 | ) | (275,436 | ) | (635,328 | ) | (231,112 | ) | (79,171 | ) | (299,154 | ) | ||||||||||||
Total Dividends and Distributions to Shareholders | (44,260 | ) | (286,913 | ) | (676,018 | ) | (235,830 | ) | (88,798 | ) | (307,192 | ) | ||||||||||||
Share Transactions of Beneficial Interest (Note 5): | ||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||
Class I | — | 11,678 | 10,956 | 229,788 | 189,321 | 391,077 | ||||||||||||||||||
Class A | — | 1,000 | 4,490 | — | 22,831 | 220,477 | ||||||||||||||||||
Class C | — | — | — | — | 6,000 | 6,000 | ||||||||||||||||||
Class S | 2,803,013 | 983,229 | 2,263,702 | 3,977,140 | 984,029 | 2,784,438 | ||||||||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||||||||||
Class I | 5,181 | 11,238 | 40,688 | 4,718 | 6,884 | 4,827 | ||||||||||||||||||
Class A | 0 | * | 0 | * | 1 | 0 | * | 2,641 | 1,345 | |||||||||||||||
Class C | 77 | 239 | 1 | 0 | * | 102 | 1,866 | |||||||||||||||||
Class S | 24,865 | 229,438 | 412,620 | 192,888 | 63,703 | 260,420 | ||||||||||||||||||
Redemption fee proceeds | ||||||||||||||||||||||||
Class I | — | — | — | 1 | — | 1 | ||||||||||||||||||
Class A | — | — | — | — | — | 0 | * | |||||||||||||||||
Class C | — | — | — | — | — | 0 | * | |||||||||||||||||
Class S | — | — | — | 20 | — | 21 | ||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||
Class I | (4,328 | ) | (8,049 | ) | (219,963 | ) | (20,194 | ) | (459,671 | ) | (15,376 | ) | ||||||||||||
Class A | — | (997 | ) | — | — | (62,616 | ) | (15,970 | ) | |||||||||||||||
Class C | — | — | — | — | (12,425 | ) | (32,950 | ) | ||||||||||||||||
Class S | (923,515 | ) | (4,670,990 | ) | (4,295,826 | ) | (7,970,440 | ) | (3,481,579 | ) | (9,833,227 | ) | ||||||||||||
Net Increase (decrease) in net assets from share transactions of beneficial interest | 1,905,293 | (3,443,214 | ) | (1,783,331 | ) | (3,586,079 | ) | (2,740,780 | ) | (6,227,051 | ) | |||||||||||||
Total Increase (Decrease) in Net Assets | 2,326,322 | (3,556,604 | ) | (2,521,283 | ) | (3,042,044 | ) | (2,442,229 | ) | (5,828,579 | ) | |||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of year | 1,956,184 | 5,512,788 | 7,510,298 | 10,552,342 | 8,440,435 | 14,269,014 | ||||||||||||||||||
End of year | $ | 4,282,506 | $ | 1,956,184 | $ | 4,989,015 | $ | 7,510,298 | $ | 5,998,206 | $ | 8,440,435 | ||||||||||||
* | Less than $1.00. |
See accompanying notes to financial statements.
46
STATEMENTS OF CHANGES IN NET ASSETS |
James Alpha Relative Value Portfolio | James Alpha Total Hedge Portfolio | James Alpha Structured Credit Value Portfolio | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
November 30, 2020 | November 30, 2019 | November 30, 2020 | November 30, 2019 | November 30, 2020 | November 30, 2019 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 257,056 | $ | 212,723 | $ | 240,858 | $ | 224,583 | $ | 4,504,190 | $ | 1,594,337 | ||||||||||||
Net realized gain (loss) on investments | (146,088 | ) | 289,088 | 240,514 | (106,130 | ) | 5,597,564 | 688,178 | ||||||||||||||||
Net change in unrealized appreciation on investments | 222,466 | 269,323 | 462,562 | 625,340 | 5,475,283 | 494,885 | ||||||||||||||||||
Net increase in net assets resulting from operations | 333,434 | 771,134 | 943,934 | 743,793 | 15,577,037 | 2,777,400 | ||||||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Total Distributions: | ||||||||||||||||||||||||
Class I | (31,663 | ) | (6,309 | ) | (192,097 | ) | (124,819 | ) | (2,386,869 | ) | (113,960 | ) | ||||||||||||
Class A | (1 | ) | (0 | ) * | (1,656 | ) | (1,246 | ) | (292,186 | ) | (8,063 | ) | ||||||||||||
Class C | (1 | ) | (0 | ) * | (1,171 | ) | (755 | ) | (117,041 | ) | (20,804 | ) | ||||||||||||
Class S | (745,465 | ) | (227,554 | ) | (208,942 | ) | (209,903 | ) | (2,931,598 | ) | (1,296,970 | ) | ||||||||||||
Total Dividends and Distributions to Shareholders | (777,130 | ) | (233,863 | ) | (403,866 | ) | (336,723 | ) | (5,727,694 | ) | (1,439,797 | ) | ||||||||||||
Share Transactions of Beneficial Interest (Note 5): | ||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||
Class I | 133,104 | 62,118 | 41,555 | 335,333 | 125,085,076 | 4,468,360 | ||||||||||||||||||
Class A | 4,490 | — | — | — | 20,284,097 | 856,611 | ||||||||||||||||||
Class C | — | — | — | — | 2,320,531 | 1,665,103 | ||||||||||||||||||
Class S | 4,320,991 | 2,898,615 | 1,865,826 | 3,450,366 | 43,689,978 | 16,332,003 | ||||||||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||||||||||
Class I | 31,663 | 6,309 | 192,097 | 124,493 | 1,868,577 | 106,788 | ||||||||||||||||||
Class A | 1 | 0 | * | 1,656 | 1,102 | 263,345 | 8,063 | |||||||||||||||||
Class C | 1 | 0 | * | 1,171 | 755 | 75,191 | 15,149 | |||||||||||||||||
Class S | 470,395 | 177,372 | 157,561 | 180,736 | 1,517,647 | 588,450 | ||||||||||||||||||
Redemption fee proceeds | ||||||||||||||||||||||||
Class I | — | — | — | — | — | 68 | ||||||||||||||||||
Class A | — | — | — | — | — | 1 | ||||||||||||||||||
Class C | — | — | — | — | — | 0 | * | |||||||||||||||||
Class S | — | 7 | — | — | — | 1,134 | ||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||
Class I | (90,003 | ) | (11,666 | ) | (351,607 | ) | (77,574 | ) | (24,900,945 | ) | (689,083 | ) | ||||||||||||
Class A | — | — | — | (5,773 | ) | (9,172,331 | ) | (449,663 | ) | |||||||||||||||
Class C | — | — | — | — | (759,065 | ) | (228,555 | ) | ||||||||||||||||
Class S | (4,053,673 | ) | (6,553,341 | ) | (2,557,176 | ) | (6,512,550 | ) | (16,892,252 | ) | (22,548,069 | ) | ||||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | 816,969 | (3,420,586 | ) | (648,917 | ) | (2,503,112 | ) | 143,379,849 | 126,360 | |||||||||||||||
Total Increase (Decrease) in Net Assets | 373,273 | (2,883,315 | ) | (108,849 | ) | (2,096,042 | ) | 153,229,192 | 1,463,963 | |||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of year | 6,978,587 | 9,861,902 | 10,748,900 | 12,844,942 | 37,094,317 | 35,630,354 | ||||||||||||||||||
End of year | $ | 7,351,860 | $ | 6,978,587 | $ | 10,640,051 | $ | 10,748,900 | $ | 190,323,509 | $ | 37,094,317 | ||||||||||||
* | Less than $1.00. |
See accompanying notes to financial statements.
47
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each period) |
James Alpha EHS Portfolio | ||||||||||||||||
Class A | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
November 30, | November 30, | November 30, | November 30, | |||||||||||||
2020 | 2019 | 2018 | 2017 (1) | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.40 | $ | 10.37 | $ | 10.58 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (2) | 0.20 | 0.11 | 0.08 | 0.01 | ||||||||||||
Net realized and unrealized gain (loss) | 1.59 | 0.47 | (0.21 | ) | 0.57 | |||||||||||
Total from investment operations | 1.79 | 0.58 | (0.13 | ) | 0.58 | |||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.24 | ) | (0.16 | ) | (0.04 | ) | — | |||||||||
Distributions from realized gains | — | (0.39 | ) | (0.04 | ) | — | ||||||||||
Total dividends and distributions | (0.24 | ) | (0.55 | ) | (0.08 | ) | — | |||||||||
Net Asset Value, End of Year/Period | $ | 11.95 | $ | 10.40 | $ | 10.37 | $ | 10.58 | ||||||||
Total Return* | 17.55 | % | 6.12 | % | (1.20 | )% | 5.80 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 0 | *** | $ | 0 | *** | $ | 0 | *** | $ | 0 | *** | ||||
Ratio of gross operating expenses to average net assets including interest expense (3) | 4.85 | % | 4.36 | % | 3.24 | % | 24.52 | % (5) | ||||||||
Ratio of gross operating expenses to average net assets excluding interest expense (3) | 4.85 | % | 4.35 | % | 3.24 | % | 24.52 | % (5) | ||||||||
Ratio of net operating expenses to average net assets including interest expense (3) | 1.74 | % | 1.75 | % | 1.74 | % | 1.74 | % (5) | ||||||||
Ratio of net operating expenses to average net assets excluding interest expense (3) | 1.74 | % | 1.74 | % | 1.74 | % | 1.74 | % (5) | ||||||||
Ratio of net investment income (loss) after expense reimbursement to average net assets (3,6) | 2.30 | % | 2.49 | % | 0.74 | % | 0.34 | % (5) | ||||||||
Portfolio Turnover Rate | 145 | % | 143 | % | 181 | % | 125 | % (4) | ||||||||
James Alpha EHS Portfolio | ||||||||||||||||
Class C | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
November 30, | November 30, | November 30, | November 30, | |||||||||||||
2020 | 2019 | 2018 | 2017 (1) | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.31 | $ | 10.27 | $ | 10.58 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss) (2) | 0.05 | 0.03 | 0.00 | ** | (0.05 | ) | ||||||||||
Net realized and unrealized gain (loss) | 1.63 | 0.46 | (0.23 | ) | 0.63 | |||||||||||
Total from investment operations | 1.68 | 0.49 | (0.23 | ) | 0.58 | |||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.14 | ) | (0.06 | ) | (0.04 | ) | — | |||||||||
Distributions from realized gains | — | (0.39 | ) | (0.04 | ) | — | ||||||||||
Total dividends and distributions | (0.14 | ) | (0.45 | ) | (0.08 | ) | — | |||||||||
Net Asset Value, End of Year/Period | $ | 11.85 | $ | 10.31 | $ | 10.27 | $ | 10.58 | ||||||||
Total Return* | 16.47 | % | 5.09 | % | (2.22 | )% | 5.80 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 7 | $ | 6 | $ | 5 | $ | 0 | *** | |||||||
Ratio of gross operating expenses to average net assets including interest expense (3) | 5.60 | % | 5.11 | % | 3.96 | % | 11.42 | % (5) | ||||||||
Ratio of gross operating expenses to average net assets excluding interest expense (3) | 5.60 | % | 5.10 | % | 3.96 | % | 11.42 | % (5) | ||||||||
Ratio of net operating expenses to average net assets including interest expense (3) | 2.49 | % | 2.50 | % | 2.49 | % | 2.49 | % (5) | ||||||||
Ratio of net operating expenses to average net assets excluding interest expense (3) | 2.49 | % | 2.49 | % | 2.49 | % | 2.49 | % (5) | ||||||||
Ratio of net investment income (loss) after expense reimbursement to average net assets (3,6) | 0.52 | % | 0.35 | % | 0.02 | % | (1.68 | )% (5) | ||||||||
Portfolio Turnover Rate | 145 | % | 143 | % | 181 | % | 125 | % (4) | ||||||||
(1) | Class A and Class C commenced operations on August 18, 2017. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Period. |
(3) | The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
(4) | Not annualized. |
(5) | Annualized for periods less than one year. |
(6) | Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
* | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
*** | Less than 1,000. |
See accompanying notes to financial statements.
48
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each period) |
James Alpha EHS Portfolio | ||||||||||||||||
Class I | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
November 30, | November 30, | November 30, | November 30, | |||||||||||||
2020 | 2019 | 2018 | 2017 (1) | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.40 | $ | 10.37 | $ | 10.58 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (2) | 0.16 | 0.13 | 0.11 | 0.00 | ** | |||||||||||
Net realized and unrealized gain (loss) | 1.63 | 0.45 | (0.24 | ) | 0.58 | |||||||||||
Total from investment operations | 1.79 | 0.58 | (0.13 | ) | 0.58 | |||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.24 | ) | (0.16 | ) | (0.04 | ) | — | |||||||||
Distributions from realized gains | — | (0.39 | ) | (0.04 | ) | — | ||||||||||
Total dividends and distributions | (0.24 | ) | (0.56 | ) | (0.08 | ) | — | |||||||||
Net Asset Value, End of Year/Period | $ | 11.95 | $ | 10.40 | $ | 10.37 | $ | 10.58 | ||||||||
Total Return* | 17.55 | % | 6.12 | % | (1.20 | )% | 5.80 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 261 | $ | 226 | $ | 209 | $ | 212 | ||||||||
Ratio of gross operating expenses to average net assets including interest expense (3) | 4.60 | % | 4.11 | % | 2.99 | % | 17.28 | % (5) | ||||||||
Ratio of gross operating expenses to average net assets excluding interest expense (3) | 4.60 | % | 4.10 | % | 2.99 | % | 17.28 | % (5) | ||||||||
Ratio of net operating expenses to average net assets including interest expense (3) | 1.49 | % | 1.50 | % | 1.49 | % | 1.49 | % (5) | ||||||||
Ratio of net operating expenses to average net assets excluding interest expense (3) | 1.49 | % | 1.49 | % | 1.49 | % | 1.49 | % (5) | ||||||||
Ratio of net investment income (loss) after expense reimbursement to average net assets (3,6) | 1.52 | % | 1.35 | % | 0.99 | % | 0.12 | % (5) | ||||||||
Portfolio Turnover Rate | 145 | % | 143 | % | 181 | % | 125 | % (4) | ||||||||
James Alpha EHS Portfolio | ||||||||||||||||
Class S | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
November 30, | November 30, | November 30, | November 30, | |||||||||||||
2020 | 2019 | 2018 | 2017 (1) | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.42 | $ | 10.37 | $ | 10.59 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (2) | 0.19 | 0.19 | 0.10 | 0.00 | ** | |||||||||||
Net realized and unrealized gain (loss) | 1.65 | 0.41 | (0.24 | ) | 0.59 | |||||||||||
Total from investment operations | 1.84 | 0.60 | (0.14 | ) | 0.59 | |||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.24 | ) | (0.16 | ) | (0.04 | ) | — | |||||||||
Distributions from realized gains | — | (0.39 | ) | (0.04 | ) | — | ||||||||||
Total dividends and distributions | (0.24 | ) | (0.56 | ) | (0.08 | ) | — | |||||||||
Net Asset Value, End of Year/Period | $ | 12.02 | $ | 10.42 | $ | 10.37 | $ | 10.59 | ||||||||
Total Return* | 18.00 | % | 6.32 | % | (1.30 | )% | 5.90 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 4,015 | $ | 1,725 | $ | 5,298 | $ | 2,668 | ||||||||
Ratio of gross operating expenses to average net assets including interest expense (3) | 4.17 | % | 4.01 | % | 2.79 | % | 7.83 | % (5) | ||||||||
Ratio of gross operating expenses to average net assets excluding interest expense (3) | 4.17 | % | 4.00 | % | 2.79 | % | 7.83 | % (5) | ||||||||
Ratio of net operating expenses to average net assets including interest expense (3) | 1.12 | % | 1.36 | % | 1.49 | % | 1.49 | % (5) | ||||||||
Ratio of net operating expenses to average net assets excluding interest expense (3) | 1.12 | % | 1.35 | % | 1.49 | % | 1.49 | % (5) | ||||||||
Ratio of net investment income (loss) after expense reimbursement to average net assets (3,6) | 1.85 | % | 1.90 | % | 0.90 | % | (0.15 | )% (5) | ||||||||
Portfolio Turnover Rate | 145 | % | 143 | % | 181 | % | 125 | % (4) | ||||||||
(1) | Class I and Class S commenced operations on August 18, 2017. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Period. |
(3) | The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
(4) | Not annualized. |
(5) | Annualized for periods less than one year. |
(6) | Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
* | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
See accompanying notes to financial statements.
49
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each period) |
James Alpha Event Driven Portfolio | ||||||||||||||||
Class A | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
November 30, | November 30, | November 30, | November 30, | |||||||||||||
2020 | 2019 | 2018 | 2017 (1) | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.76 | $ | 10.12 | $ | 10.26 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (2) | 0.01 | 0.09 | 0.13 | 0.03 | ||||||||||||
Net realized and unrealized gain (loss) | 0.13 | ^ | 0.78 | (0.21 | ) | 0.23 | ||||||||||
Total from investment operations | 0.14 | 0.87 | (0.08 | ) | 0.26 | |||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.99 | ) | (0.15 | ) | (0.05 | ) | — | |||||||||
Distributions from realized gains | — | (0.08 | ) | (0.01 | ) | — | ||||||||||
Total dividends and distributions | (0.99 | ) | (0.23 | ) | (0.06 | ) | — | |||||||||
Net Asset Value, End of Year/Period | $ | 9.91 | $ | 10.76 | $ | 10.12 | $ | 10.26 | ||||||||
Total Return* | 1.21 | % | 8.87 | % | (0.71 | )% | 2.60 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 5 | $ | 0 | ** | $ | 0 | ** | $ | 0 | ** | |||||
Ratio of gross operating expenses to average net assets including interest expense (3) | 2.91 | % | 2.84 | % | 2.39 | % | 17.75 | % (5) | ||||||||
Ratio of gross operating expenses to average net assets excluding interest expense (3) | 2.91 | % | 2.84 | % | 2.39 | % | 17.75 | % (5) | ||||||||
Ratio of net operating expenses to average net assets including interest expense (3) | 1.74 | % | 1.74 | % | 1.74 | % | 1.74 | % (5) | ||||||||
Ratio of net operating expenses to average net assets excluding interest expense (3) | 1.74 | % | 1.74 | % | 1.74 | % | 1.74 | % (5) | ||||||||
Ratio of net investment income after expense reimbursement to average net assets (3,6) | 0.08 | % | 0.85 | % | 1.26 | % | 1.03 | % (5) | ||||||||
Portfolio Turnover Rate | 127 | % | 112 | % | 221 | % | 101 | % (4) | ||||||||
James Alpha Event Driven Portfolio | ||||||||||||||||
Class C | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
November 30, | November 30, | November 30, | November 30, | |||||||||||||
2020 | 2019 | 2018 | 2017 (1) | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.76 | $ | 10.12 | $ | 10.26 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss) (2) | 0.13 | 0.08 | 0.14 | (0.01 | ) | |||||||||||
Net realized and unrealized gain (loss) | 0.02 | ^ | 0.79 | (0.22 | ) | 0.27 | ||||||||||
Total from investment operations | 0.15 | 0.87 | (0.08 | ) | 0.26 | |||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.99 | ) | (0.15 | ) | (0.05 | ) | — | |||||||||
Distributions from realized gains | — | (0.08 | ) | (0.01 | ) | — | ||||||||||
Total dividends and distributions | (0.99 | ) | (0.23 | ) | (0.06 | ) | — | |||||||||
Net Asset Value, End of Year/Period | $ | 9.92 | $ | 10.76 | $ | 10.12 | $ | 10.26 | ||||||||
Total Return* | 1.31 | % | 8.87 | % | (0.71 | )% | 2.60 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 0 | ** | $ | 0 | ** | $ | 0 | ** | $ | 0 | ** | ||||
Ratio of gross operating expenses to average net assets including interest expense (3) | 3.55 | % | 3.59 | % | 3.14 | % | 5.80 | % (5) | ||||||||
Ratio of gross operating expenses to average net assets excluding interest expense (3) | 3.55 | % | 3.59 | % | 3.14 | % | 5.80 | % (5) | ||||||||
Ratio of net operating expenses to average net assets including interest expense (3) | 2.49 | % | 2.49 | % | 2.49 | % | 2.49 | % (5) | ||||||||
Ratio of net operating expenses to average net assets excluding interest expense (3) | 2.49 | % | 2.49 | % | 2.49 | % | 2.49 | % (5) | ||||||||
Ratio of net investment income after expense reimbursement to average net assets (3,6) | 2.37 | % | 0.36 | % | 1.36 | % | 0.34 | % (5) | ||||||||
Portfolio Turnover Rate | 127 | % | 112 | % | 221 | % | 101 | % (4) | ||||||||
(1) | Class A and Class C commenced operations on August 18, 2017. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Period. |
(3) | The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
(4) | Not annualized. |
(5) | Annualized for periods less than one year. |
(6) | Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
^ | The amount of net realized and unrealized gain (loss) on investment per share for the year ended October 31, 2018 does not accord with the amounts in the Statements of Operations due to the timing of purchases and sales of Fund shares in relation to fluctuating market values. |
* | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Less than 1,000. |
See accompanying notes to financial statements.
50
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each period) |
James Alpha Event Driven Portfolio | ||||||||||||||||
Class I | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
November 30, | November 30, | November 30, | November 30, | |||||||||||||
2020 | 2019 | 2018 | 2017 (1) | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.76 | $ | 10.12 | $ | 10.26 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (2) | 0.20 | 0.12 | 0.13 | 0.03 | ||||||||||||
Net realized and unrealized gain (loss) | (0.05 | ) | 0.75 | (0.21 | ) | 0.23 | ||||||||||
Total from investment operations | 0.15 | 0.87 | (0.08 | ) | 0.26 | |||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.99 | ) | (0.15 | ) | (0.05 | ) | — | |||||||||
Distributions from realized gains | — | (0.08 | ) | (0.01 | ) | — | ||||||||||
Total dividends and distributions | (0.99 | ) | (0.23 | ) | (0.06 | ) | — | |||||||||
Redemption Fees | — | 0.00 | ** | — | — | |||||||||||
Net Asset Value, End of Year/Period | $ | 9.92 | $ | 10.76 | $ | 10.12 | $ | 10.26 | ||||||||
Total Return* | 1.31 | % | 8.87 | % | (0.71 | )% | 2.60 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 225 | $ | 441 | $ | 204 | $ | 205 | ||||||||
Ratio of gross operating expenses to average net assets including interest expense (3) | 2.55 | % | 2.59 | % | 2.14 | % | 11.16 | % (5) | ||||||||
Ratio of gross operating expenses to average net assets excluding interest expense (3) | 2.55 | % | 2.59 | % | 2.14 | % | 11.16 | % (5) | ||||||||
Ratio of net operating expenses to average net assets including interest expense (3) | 1.49 | % | 1.49 | % | 1.49 | % | 1.49 | % (5) | ||||||||
Ratio of net operating expenses to average net assets excluding interest expense (3) | 1.49 | % | 1.49 | % | 1.49 | % | 1.49 | % (5) | ||||||||
Ratio of net investment income after expense reimbursement to average net assets (3,6) | 2.22 | % | 1.15 | % | 1.25 | % | 1.05 | % (5) | ||||||||
Portfolio Turnover Rate | 127 | % | 112 | % | 221 | % | 101 | % (4) | ||||||||
James Alpha Event Driven Portfolio | ||||||||||||||||
Class S | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
November 30, | November 30, | November 30, | November 30, | |||||||||||||
2020 | 2019 | 2018 | 2017 (1) | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.80 | $ | 10.14 | $ | 10.26 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (2) | 0.24 | 0.20 | 0.15 | 0.03 | ||||||||||||
Net realized and unrealized gain (loss) | (0.06 | ) | 0.69 | (0.21 | ) | 0.23 | ||||||||||
Total from investment operations | 0.18 | 0.89 | (0.06 | ) | 0.26 | |||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.99 | ) | (0.15 | ) | (0.05 | ) | — | |||||||||
Distributions from realized gains | — | (0.08 | ) | (0.01 | ) | — | ||||||||||
Total dividends and distributions | (0.99 | ) | (0.23 | ) | (0.06 | ) | — | |||||||||
Redemption Fees | — | 0.00 | ** | — | — | |||||||||||
Net Asset Value, End of Year/Period | $ | 9.99 | $ | 10.80 | $ | 10.14 | $ | 10.26 | ||||||||
Total Return* | 1.61 | % | 9.06 | % | (0.51 | )% | 2.60 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 4,760 | $ | 7,070 | $ | 10,349 | $ | 5,798 | ||||||||
Ratio of gross operating expenses to average net assets including interest expense (3) | 2.54 | % | 2.60 | % | 2.11 | % | 4.99 | % (5) | ||||||||
Ratio of gross operating expenses to average net assets excluding interest expense (3) | 2.54 | % | 2.60 | % | 2.11 | % | 4.99 | % (5) | ||||||||
Ratio of net operating expenses to average net assets including interest expense (3) | 1.12 | % | 1.32 | % | 1.11 | % | 1.49 | % (5) | ||||||||
Ratio of net operating expenses to average net assets excluding interest expense (3) | 1.12 | % | 1.32 | % | 1.11 | % | 1.49 | % (5) | ||||||||
Ratio of net investment income after expense reimbursement to average net assets (3,6) | 2.64 | % | 2.02 | % | 1.50 | % | 1.15 | % (5) | ||||||||
Portfolio Turnover Rate | 127 | % | 112 | % | 221 | % | 101 | % (4) | ||||||||
(1) | Class I and Class S commenced operations on August 18, 2017. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Period. |
(3) | The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
(4) | Not annualized. |
(5) | Annualized for periods less than one year. |
(6) | Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
* | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
See accompanying notes to financial statements.
51
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each period) |
James Alpha Family Office Portfolio | ||||||||||||||||
Class A | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
November 30, | November 30, | November 30, | November 30, | |||||||||||||
2020 | 2019 | 2018 | 2017 (1) | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.78 | $ | 10.16 | $ | 10.51 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss) (2) | 0.08 | 0.06 | 0.04 | (0.10 | ) | |||||||||||
Net realized and unrealized gain (loss) | 0.78 | 0.77 | (0.34 | ) | 0.61 | |||||||||||
Total from investment operations | 0.86 | 0.83 | (0.30 | ) | 0.51 | |||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.10 | ) | (0.18 | ) | (0.05 | ) | — | |||||||||
Distributions from realized gains | 0.00 | (0.03 | ) | (0.00 | ) ** | — | ||||||||||
Total dividends and distributions | (0.10 | ) | (0.21 | ) | (0.05 | ) | — | |||||||||
Redemption Fees | — | 0.00 | ** | — | — | |||||||||||
Net Asset Value, End of Year/Period | $ | 11.54 | $ | 10.78 | $ | 10.16 | $ | 10.51 | ||||||||
Total Return* | 8.02 | % | 8.40 | % | (2.90 | )% | 5.10 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 268 | $ | 286 | $ | 65 | $ | 3 | ||||||||
Ratio of gross operating expenses to average net assets (3) | 2.59 | % | 2.99 | % | 2.38 | % | 3.85 | % (5) | ||||||||
Ratio of net operating expenses to average net assets (3) | 1.74 | % | 1.74 | % | 1.82 | % | 2.75 | % (5) | ||||||||
Ratio of net investment income (loss) after expense reimbursement to average net assets (3,6) | 0.74 | % | 0.59 | % | 0.38 | % | (2.23 | )% (5) | ||||||||
Portfolio Turnover Rate | 75 | % | 86 | % | 167 | % | 75 | % (4) | ||||||||
James Alpha Family Office Portfolio | ||||||||||||||||
Class C | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
November 30, | November 30, | November 30, | November 30, | |||||||||||||
2020 | 2019 | 2018 | 2017 (1) | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.70 | $ | 10.09 | $ | 10.50 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss) (2) | (0.00 | ) ** | 0.03 | (0.02 | ) | (0.11 | ) | |||||||||
Net realized and unrealized gain (loss) | 0.76 | 0.73 | (0.37 | ) | 0.61 | |||||||||||
Total from investment operations | 0.76 | 0.76 | (0.39 | ) | 0.50 | |||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.01 | ) | (0.12 | ) | (0.02 | ) | — | |||||||||
Distributions from realized gains | — | (0.03 | ) | (0.00 | ) ** | — | ||||||||||
Total dividends and distributions | (0.01 | ) | (0.15 | ) | (0.02 | ) | — | |||||||||
Redemption Fees | — | 0.00 | ** | — | — | |||||||||||
Net Asset Value, End of Year/Period | $ | 11.45 | $ | 10.70 | $ | 10.09 | $ | 10.50 | ||||||||
Total Return* | 7.11 | % | 7.68 | % | (3.68 | )% | 5.00 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 108 | $ | 107 | $ | 126 | $ | 99 | ||||||||
Ratio of gross operating expenses to average net assets (3) | 3.33 | % | 3.65 | % | 3.26 | % | 5.30 | % (5) | ||||||||
Ratio of net operating expenses to average net assets (3) | 2.49 | % | 2.49 | % | 2.83 | % | 3.50 | % (5) | ||||||||
Ratio of net investment income (loss) after expense reimbursement to average net assets (3,6) | (0.05 | )% | 0.39 | % | (0.15 | )% | (2.55 | )% (5) | ||||||||
Portfolio Turnover Rate | 75 | % | 86 | % | 167 | % | 75 | % (4) | ||||||||
(1) | Class A and Class C commenced operations on June 30, 2017. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Period. |
(3) | The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
(4) | Not annualized. |
(5) | Annualized for periods less than one year. |
(6) | Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
* | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
See accompanying notes to financial statements.
52
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each period) |
James Alpha Family Office Portfolio | ||||||||||||||||
Class I | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
November 30, | November 30, | November 30, | November 30, | |||||||||||||
2020 | 2019 | 2018 | 2017 (1) | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.82 | $ | 10.18 | $ | 10.52 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss) (2) | 0.11 | 0.10 | 0.09 | (0.03 | ) | |||||||||||
Net realized and unrealized gain (loss) | 0.77 | 0.77 | (0.38 | ) | 0.55 | |||||||||||
Total from investment operations | 0.88 | 0.87 | (0.29 | ) | 0.52 | |||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.12 | ) | (0.20 | ) | (0.05 | ) | — | |||||||||
Distributions from realized gains | 0.00 | (0.03 | ) | (0.00 | ) ** | — | ||||||||||
Total dividends and distributions | (0.12 | ) | (0.23 | ) | (0.05 | ) | — | |||||||||
Redemption Fees | — | 0.00 | ** | — | — | |||||||||||
Net Asset Value, End of Year/Period | $ | 11.58 | $ | 10.82 | $ | 10.18 | $ | 10.52 | ||||||||
Total Return* | 8.19 | % | 8.81 | % | (2.74 | )% | 5.20 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 394 | $ | 629 | $ | 214 | $ | 210 | ||||||||
Ratio of gross operating expenses to average net assets (3) | 2.35 | % | 2.69 | % | 2.23 | % | 20.93 | % (5) | ||||||||
Ratio of net operating expenses to average net assets (3) | 1.49 | % | 1.49 | % | 1.82 | % | 2.50 | % (5) | ||||||||
Ratio of net investment income (loss) after expense reimbursement to average net assets (3,6) | 1.10 | % | 0.92 | % | 0.86 | % | (0.74 | )% (5) | ||||||||
Portfolio Turnover Rate | 75 | % | 86 | % | 167 | % | 75 | % (4) | ||||||||
James Alpha Family Office Portfolio | ||||||||||||||||
Class S | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
November 30, | November 30, | November 30, | November 30, | |||||||||||||
2020 | 2019 | 2018 | 2017 (1) | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.93 | $ | 10.27 | $ | 10.52 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss) (2) | 0.15 | 0.17 | 0.15 | (0.07 | ) | |||||||||||
Net realized and unrealized gain (loss) | 0.79 | 0.72 | (0.35 | ) | 0.59 | |||||||||||
Total from investment operations | 0.94 | 0.89 | (0.20 | ) | 0.52 | |||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.12 | ) | (0.20 | ) | (0.05 | ) | — | |||||||||
Distributions from realized gains | — | (0.03 | ) | (0.00 | ) ** | — | ||||||||||
Total dividends and distributions | (0.12 | ) | (0.23 | ) | (0.05 | ) | — | |||||||||
Redemption Fees | — | 0.00 | ** | — | 0.00 | |||||||||||
Net Asset Value, End of Year/Period | $ | 11.75 | $ | 10.93 | $ | 10.27 | $ | 10.52 | ||||||||
Total Return* | 8.66 | % | 8.94 | % | (1.87 | )% | 5.20 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 5,229 | $ | 7,419 | $ | 13,864 | $ | 4,882 | ||||||||
Ratio of gross operating expenses to average net assets (3) | 2.35 | % | 2.66 | % | 2.19 | % | 4.06 | % (5) | ||||||||
Ratio of net operating expenses to average net assets (3) | 1.12 | % | 1.33 | % | 1.00 | % | 2.50 | % (5) | ||||||||
Ratio of net investment income (loss) after expense reimbursement to average net assets (3,6) | 1.46 | % | 1.66 | % | 1.40 | % | (1.49 | )% (5) | ||||||||
Portfolio Turnover Rate | 75 | % | 86 | % | 167 | % | 75 | % (4) | ||||||||
(1) | Class I and Class S commenced operations on June 30, 2017. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Period. |
(3) | The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
(4) | Not annualized. |
(5) | Annualized for periods less than one year. |
(6) | Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
* | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
See accompanying notes to financial statements.
53
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each period) |
James Alpha Relative Value Portfolio | ||||||||||||||||
Class A | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
November 30, | November 30, | November 30, | November 30, | |||||||||||||
2020 | 2019 | 2018 | 2017 (1) | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.84 | $ | 10.15 | $ | 10.14 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (2) | 0.33 | 0.22 | 0.25 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss) | 0.10 | 0.76 | (0.18 | ) | 0.08 | |||||||||||
Total from investment operations | 0.43 | 0.98 | 0.07 | 0.14 | ||||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (1.22 | ) | (0.25 | ) | (0.06 | ) | — | |||||||||
Distributions from realized gains | — | (0.04 | ) | — | — | |||||||||||
Total dividends and distributions | (1.22 | ) | (0.29 | ) | (0.06 | ) | — | |||||||||
Net Asset Value, End of Year/Period | $ | 10.05 | $ | 10.84 | $ | 10.15 | $ | 10.14 | ||||||||
Total Return* | 4.32 | % | 9.77 | % | 0.65 | % | 1.40 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (000s) | $ | 5 | $ | 0 | ** | $ | 0 | ** | $ | 0 | ** | |||||
Ratio of gross operating expenses to average net assets including interest expense (3 | 2.84 | % | 2.95 | % | 2.50 | % | 18.36 | % (5) | ||||||||
Ratio of gross operating expenses to average net assets excluding interest expense (3 | 2.84 | % | 2.94 | % | 2.50 | % | 18.36 | % (5) | ||||||||
Ratio of net operating expenses to average net assets including interest expense (3 | 1.74 | % | 1.75 | % | 1.74 | % | 1.74 | % (5) | ||||||||
Ratio of net operating expenses to average net assets excluding interest expense (3 | 1.74 | % | 1.74 | % | 1.74 | % | 1.74 | % (5) | ||||||||
Ratio of net investment income after expense reimbursement to average net assets (3,6) | 3.31 | % | 2.11 | % | 2.44 | % | 2.08 | % (5) | ||||||||
Portfolio Turnover Rate | 114 | % | 118 | % | 252 | % | 115 | % (4) | ||||||||
James Alpha Relative Value Portfolio | ||||||||||||||||
Class C | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
November 30, | November 30, | November 30, | November 30, | |||||||||||||
2020 | 2019 | 2018 | 2017 (1) | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.84 | $ | 10.15 | $ | 10.14 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (2) | 0.34 | 0.22 | 0.25 | 0.05 | ||||||||||||
Net realized and unrealized gain (loss) | 0.09 | 0.76 | (0.18 | ) | 0.09 | |||||||||||
Total from investment operations | 0.43 | 0.98 | 0.07 | 0.14 | ||||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (1.22 | ) | (0.25 | ) | (0.06 | ) | — | |||||||||
Distributions from realized gains | — | (0.04 | ) | — | — | |||||||||||
Total dividends and distributions | (1.22 | ) | (0.29 | ) | (0.06 | ) | — | |||||||||
Net Asset Value, End of Year/Period | $ | 10.05 | $ | 10.84 | $ | 10.15 | $ | 10.14 | ||||||||
Total Return* | 4.32 | % | 9.77 | % | 0.65 | % | 1.40 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 0 | ** | $ | 0 | ** | $ | 0 | ** | $ | 0 | ** | ||||
Ratio of gross operating expenses to average net assets including interest expense (3) | 3.59 | % | 3.70 | % | 3.26 | % | 7.98 | % (5) | ||||||||
Ratio of gross operating expenses to average net assets excluding interest expense (3) | 3.59 | % | 3.69 | % | 3.26 | % | 7.98 | % (5) | ||||||||
Ratio of net operating expenses to average net assets including interest expense (3) | 2.49 | % | 2.50 | % | 2.49 | % | 2.49 | % (5) | ||||||||
Ratio of net operating expenses to average net assets excluding interest expense (3) | 2.49 | % | 2.49 | % | 2.49 | % | 2.49 | % (5) | ||||||||
Ratio of net investment income after expense reimbursement to average net assets (3,6) | 3.20 | % | 2.11 | % | 2.44 | % | 1.73 | % (5) | ||||||||
Portfolio Turnover Rate | 114 | % | 118 | % | 252 | % | 115 | % (4) | ||||||||
(1) | Class A and Class C commenced operations on August 18, 2017 |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Period |
(3) | The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fun invests. |
(4) | Not annualized. |
(5) | Annualized for periods less than one year. |
(6) | Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
* | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Less than 1,000. |
See accompanying notes to financial statements.
54
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each period) |
James Alpha Relative Value Portfolio | ||||||||||||||||
Class I | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
November 30, | November 30, | November 30, | November 30, | |||||||||||||
2020 | 2019 | 2018 | 2017 (1) | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.84 | $ | 10.15 | $ | 10.14 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (2) | 0.34 | 0.25 | 0.25 | 0.07 | ||||||||||||
Net realized and unrealized gain (loss) | 0.09 | 0.73 | (0.18 | ) | 0.07 | |||||||||||
Total from investment operations | 0.43 | 0.98 | 0.07 | 0.14 | ||||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (1.22 | ) | (0.25 | ) | (0.06 | ) | — | |||||||||
Distributions from realized gains | — | (0.04 | ) | — | — | |||||||||||
Total dividends and distributions | (1.22 | ) | (0.29 | ) | (0.06 | ) | — | |||||||||
Redemption Fees | — | 0.00 | ** | — | — | |||||||||||
Net Asset Value, End of Year/Period | $ | 10.05 | $ | 10.84 | $ | 10.15 | $ | 10.14 | ||||||||
Total Return* | 4.32 | % | 9.79 | % | 0.65 | % | 1.40 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (000s) | $ | 334 | $ | 277 | $ | 204 | $ | 203 | ||||||||
Ratio of gross operating expenses to average net assets including interest expense (3) | 2.64 | % | 2.70 | % | 2.26 | % | 13.82 | % (5) | ||||||||
Ratio of gross operating expenses to average net assets excluding interest expense (3) | 2.64 | % | 2.69 | % | 2.26 | % | 13.82 | % (5) | ||||||||
Ratio of net operating expenses to average net assets including interest expense (3) | 1.49 | % | 1.50 | % | 1.49 | % | 1.49 | % (5) | ||||||||
Ratio of net operating expenses to average net assets excluding interest expense (3) | 1.49 | % | 1.49 | % | 1.49 | % | 1.49 | % (5) | ||||||||
Ratio of net investment income after expense reimbursement to average net assets (3,6) | 3.56 | % | 2.35 | % | 2.48 | % | 2.55 | % (5) | ||||||||
Portfolio Turnover Rate | 114 | % | 118 | % | 252 | % | 115 | % (4) | ||||||||
James Alpha Relative Value Portfolio | ||||||||||||||||
Class S | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
November 30, | November 30, | November 30, | November 30, | |||||||||||||
2020 | 2019 | 2018 | 2017 (1) | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.89 | $ | 10.17 | $ | 10.14 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (2) | 0.40 | 0.28 | 0.26 | 0.09 | ||||||||||||
Net realized and unrealized gain (loss) | 0.07 | 0.73 | (0.17 | ) | 0.05 | |||||||||||
Total from investment operations | 0.47 | 1.01 | 0.09 | 0.14 | ||||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (1.22 | ) | (0.25 | ) | (0.06 | ) | — | |||||||||
Distributions from realized gains | — | (0.04 | ) | — | — | |||||||||||
Total dividends and distributions | (1.22 | ) | (0.29 | ) | (0.06 | ) | — | |||||||||
Redemption Fees | — | 0.00 | ** | — | — | |||||||||||
Net Asset Value, End of Year/Period | $ | 10.14 | $ | 10.89 | $ | 10.17 | $ | 10.14 | ||||||||
Total Return* | 4.71 | % | 10.07 | % | 0.85 | % | 1.40 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 7,013 | $ | 6,702 | $ | 9,658 | $ | 4,107 | ||||||||
Ratio of gross operating expenses to average net assets including interest expense (3) | 2.63 | % | 2.70 | % | 2.18 | % | 6.42 | % (5) | ||||||||
Ratio of gross operating expenses to average net assets excluding interest expense (3) | 2.63 | % | 2.69 | % | 2.18 | % | 6.42 | % (5) | ||||||||
Ratio of net operating expenses to average net assets including interest expense (3) | 1.12 | % | 1.33 | % | 1.18 | % | 1.49 | % (5) | ||||||||
Ratio of net operating expenses to average net assets excluding interest expense (3) | 1.12 | % | 1.32 | % | 1.18 | % | 1.49 | % (5) | ||||||||
Ratio of net investment income after expense reimbursement to average net assets (3,6) | 4.20 | % | 2.62 | % | 2.59 | % | 3.02 | % (5) | ||||||||
Portfolio Turnover Rate | 114 | % | 118 | % | 252 | % | 115 | % (4) | ||||||||
(1) | Class I and Class S commenced operations on August 18, 2017. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Period. |
(3) | The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
(4) | Not annualized. |
(5) | Annualized for periods less than one year. |
(6) | Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
* | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
See accompanying notes to financial statements.
55
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each period) |
James Alpha Total Hedge Portfolio | ||||||||||||||||
Class A | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
November 30, | November 30, | November 30, | November 30, | |||||||||||||
2020 | 2019 | 2018 | 2017 (1) | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.46 | $ | 10.10 | $ | 10.38 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (2) | 0.18 | 0.16 | 0.13 | 0.02 | ||||||||||||
Net realized and unrealized gain (loss) | 0.75 | 0.45 | (0.33 | ) | 0.36 | |||||||||||
Total from investment operations | 0.93 | 0.61 | (0.20 | ) | 0.38 | |||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.37 | ) | (0.14 | ) | (0.06 | ) | — | |||||||||
Distributions from realized gains | — | (0.11 | ) | (0.02 | ) | — | ||||||||||
Total dividends and distributions | (0.37 | ) | (0.25 | ) | (0.08 | ) | — | |||||||||
Net Asset Value, End of Year/Period | $ | 11.02 | $ | 10.46 | $ | 10.10 | $ | 10.38 | ||||||||
Total Return* | 9.14 | % | 6.25 | % | (1.90 | )% | 3.80 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (000s) | $ | 51 | $ | 47 | $ | 50 | $ | 51 | ||||||||
Ratio of gross operating expenses to average net assets including interest expense (3) | 2.50 | % | 2.77 | % | 2.88 | % | 8.32 | % (5) | ||||||||
Ratio of gross operating expenses to average net assets excluding interest expense (3) | 2.47 | % | 2.74 | % | 2.88 | % | 8.32 | % (5) | ||||||||
Ratio of net operating expenses to average net assets including interest expense (3) | 1.77 | % | 1.77 | % | 1.74 | % | 1.74 | % (5) | ||||||||
Ratio of net operating expenses to average net assets excluding interest expense (3) | 1.74 | % | 1.74 | % | 1.74 | % | 1.74 | % (5) | ||||||||
Ratio of net investment income (loss) after expense reimbursement to average net assets (3,6) | 1.83 | % | 1.56 | % | 1.30 | % | 0.54 | % (5) | ||||||||
Portfolio Turnover Rate | 117 | % | 114 | % | 195 | % | 83 | % (4) | ||||||||
James Alpha Total Hedge Portfolio | ||||||||||||||||
Class C | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
November 30, | November 30, | November 30, | November 30, | |||||||||||||
2020 | 2019 | 2018 | 2017 (1) | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.38 | $ | 10.04 | $ | 10.37 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (loss) (2) | 0.11 | 0.08 | 0.05 | (0.01 | ) | |||||||||||
Net realized and unrealized gain (loss) | 0.73 | 0.45 | (0.33 | ) | 0.38 | |||||||||||
Total from investment operations | 0.84 | 0.53 | (0.28 | ) | 0.37 | |||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.29 | ) | (0.08 | ) | (0.03 | ) | — | |||||||||
Distributions from realized gains | — | (0.11 | ) | (0.02 | ) | — | ||||||||||
Total dividends and distributions | (0.29 | ) | (0.19 | ) | (0.05 | ) | — | |||||||||
Net Asset Value, End of Year/Period | $ | 10.93 | $ | 10.38 | $ | 10.04 | $ | 10.37 | ||||||||
Total Return* | 8.31 | % | 5.44 | % | (2.66 | )% | 3.70 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (000s) | $ | 45 | $ | 41 | $ | 39 | $ | 16 | ||||||||
Ratio of gross operating expenses to average net assets including interest expense (3) | 3.25 | % | 3.53 | % | 3.40 | % | 10.32 | % (5) | ||||||||
Ratio of gross operating expenses to average net assets excluding interest expense (3) | 3.22 | % | 3.50 | % | 3.40 | % | 10.32 | % (5) | ||||||||
Ratio of net operating expenses to average net assets including interest expense (3) | 2.52 | % | 2.52 | % | 2.49 | % | 2.49 | % (5) | ||||||||
Ratio of net operating expenses to average net assets excluding interest expense (3) | 2.49 | % | 2.49 | % | 2.49 | % | 2.49 | % (5) | ||||||||
Ratio of net investment income after expense reimbursement to average net assets (3,6) | 1.08 | % | 0.76 | % | 0.45 | % | (0.17 | )% (5) | ||||||||
Portfolio Turnover Rate | 117 | % | 114 | % | 195 | % | 83 | % (4) | ||||||||
(1) | Class A and Class C commenced operations on June 30, 2017 |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Period |
(3) | The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
(4) | Not annualized. |
(5) | Annualized for periods less than one year. |
(6) | Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
* | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
See accompanying notes to financial statements.
56
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each period) |
James Alpha Total Hedge Portfolio | ||||||||||||||||
Class I | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
November 30, | November 30, | November 30, | November 30, | |||||||||||||
2020 | 2019 | 2018 | 2017 (1) | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.49 | $ | 10.13 | $ | 10.40 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (2) | 0.21 | 0.18 | 0.12 | 0.04 | ||||||||||||
Net realized and unrealized gain (loss) | 0.74 | 0.46 | (0.30 | ) | 0.36 | |||||||||||
Total from investment operations | 0.95 | 0.64 | (0.18 | ) | 0.40 | |||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.39 | ) | (0.17 | ) | (0.07 | ) | — | |||||||||
Distributions from realized gains | — | (0.11 | ) | (0.02 | ) | — | ||||||||||
Total dividends and distributions | (0.39 | ) | (0.28 | ) | (0.09 | ) | — | |||||||||
Net Asset Value, End of Year/Period | $ | 11.05 | $ | 10.49 | $ | 10.13 | $ | 10.40 | ||||||||
Total Return* | 9.39 | % | 6.54 | % | (1.73 | )% | 4.00 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (000s) | $ | 5,247 | $ | 5,095 | $ | 4,523 | $ | 520 | ||||||||
Ratio of gross operating expenses to average net assets including interest expense (3) | 2.25 | % | 2.53 | % | 2.50 | % | 12.24 | % (5) | ||||||||
Ratio of gross operating expenses to average net assets excluding interest expense (3) | 2.22 | % | 2.50 | % | 2.50 | % | 12.24 | % (5) | ||||||||
Ratio of net operating expenses to average net assets including interest expense (3) | 1.52 | % | 1.52 | % | 1.49 | % | 1.49 | % (5) | ||||||||
Ratio of net operating expenses to average net assets excluding interest expense (3) | 1.49 | % | 1.49 | % | 1.49 | % | 1.49 | % (5) | ||||||||
Ratio of net investment income (loss) after expense reimbursement to average net assets (3,6) | 2.10 | % | 1.74 | % | 1.19 | % | 0.84 | % (5) | ||||||||
Portfolio Turnover Rate | 117 | % | 114 | % | 195 | % | 83 | % (4) | ||||||||
James Alpha Total Hedge Portfolio | ||||||||||||||||
Class S | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
November 30, | November 30, | November 30, | November 30, | |||||||||||||
2020 | 2019 | 2018 | 2017 (1) | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.52 | $ | 10.14 | $ | 10.40 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (2) | 0.25 | 0.20 | 0.16 | 0.03 | ||||||||||||
Net realized and unrealized gain (loss) | 0.74 | 0.46 | (0.33 | ) | 0.37 | |||||||||||
Total from investment operations | 0.99 | 0.66 | (0.17 | ) | 0.40 | |||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.39 | ) | (0.17 | ) | (0.07 | ) | — | |||||||||
Distributions from realized gains | — | (0.11 | ) | (0.02 | ) | — | ||||||||||
Total dividends and distributions | (0.39 | ) | (0.28 | ) | (0.09 | ) | — | |||||||||
Net Asset Value, End of Year/Period | $ | 11.12 | $ | 10.52 | $ | 10.14 | $ | 10.40 | ||||||||
Total Return* | 9.75 | % | 6.73 | % | (1.63 | )% | 4.00 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of period (000s) | $ | 5,297 | $ | 5,565 | $ | 8,233 | $ | 1,753 | ||||||||
Ratio of gross operating expenses to average net assets including interest expense (3) | 2.25 | % | 2.53 | % | 2.38 | % | 6.30 | % (5) | ||||||||
Ratio of gross operating expenses to average net assets excluding interest expense (3) | 2.22 | % | 2.50 | % | 2.38 | % | 6.30 | % (5) | ||||||||
Ratio of net operating expenses to average net assets including interest expense (3) | 1.15 | % | 1.35 | % | 1.39 | % | 1.49 | % (5) | ||||||||
Ratio of net operating expenses to average net assets excluding interest expense (3) | 1.12 | % | 1.32 | % | 1.39 | % | 1.49 | % (5) | ||||||||
Ratio of net investment income after expense reimbursement to average net assets (3,6) | 2.50 | % | 2.00 | % | 1.54 | % | 0.66 | % (5) | ||||||||
Portfolio Turnover Rate | 117 | % | 114 | % | 195 | % | 83 | % (4) | ||||||||
(1) | Class I and Class S commenced operations on June 30, 2017. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Period. |
(3) | The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
(4) | Not annualized. |
(5) | Annualized for periods less than one year. |
(6) | Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
* | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
See accompanying notes to financial statements.
57
FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period) |
James Alpha Structured Credit Value Portfolio | ||||||||||||
Class A | ||||||||||||
For the | For the | For the | ||||||||||
Year Ended | Year Ended | Period Ended | ||||||||||
November 30, | November 30, | November 30, | ||||||||||
2020 | 2019 | 2018 (1) | ||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.68 | $ | 10.16 | $ | 10.00 | ||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net investment income (2) | 0.42 | 0.41 | 0.10 | |||||||||
Net realized and unrealized gain | 0.95 | 0.46 | 0.06 | |||||||||
Total from investment operations | 1.37 | 0.87 | 0.16 | |||||||||
Dividends and Distributions: | ||||||||||||
Dividends from net investment income | (0.52 | ) | (0.34 | ) | — | |||||||
Distributions from realized gains | (0.18 | ) | (0.01 | ) | — | |||||||
Total dividends and distributions | (0.70 | ) | (0.35 | ) | — | |||||||
Redemption Fees | — | 0.00 | ** | — | ||||||||
Net Asset Value, End of Year/Period | $ | 11.35 | $ | 10.68 | $ | 10.16 | ||||||
Total Return* | 13.54 | % # | 8.67 | % # | 1.60 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (000s) | $ | 12,466 | $ | 435 | $ | 19 | ||||||
Ratio of gross operating expenses to average net assets including interest expense (5) | 2.01 | % | 2.38 | % | 2.18 | % (3) | ||||||
Ratio of gross operating expenses to average net assets excluding interest expense (5) | 1.96 | % | 2.38 | % | 2.18 | % (3) | ||||||
Ratio of net operating expenses to average net assets including interest expense (5) | 1.79 | % | 1.74 | % | 1.74 | % (3) | ||||||
Ratio of net operating expenses to average net assets excluding interest expense (5) | 1.74 | % | 1.74 | % | 1.74 | % (3) | ||||||
Ratio of net investment income (loss) after expense reimbursement to average net assets (5,6) | 3.89 | % | 3.84 | % | 3.27 | % (3) | ||||||
Portfolio Turnover Rate | 132 | % | 111 | % | 37 | % (4) | ||||||
James Alpha Structured Credit Value Portfolio | ||||||||||||
Class C | ||||||||||||
For the | For the | For the | ||||||||||
Year Ended | Year Ended | Period Ended | ||||||||||
November 30, | November 30, | November 30, | ||||||||||
2020 | 2019 | 2018 (1) | ||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.45 | $ | 10.16 | $ | 10.00 | ||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net investment income (2) | 0.33 | 0.32 | 0.10 | |||||||||
Net realized and unrealized gain | 0.93 | 0.31 | 0.06 | |||||||||
Total from investment operations | 1.26 | 0.63 | 0.16 | |||||||||
Dividends and Distributions: | ||||||||||||
Dividends from net investment income | (0.43 | ) | (0.33 | ) | — | |||||||
Distributions from realized gains | (0.18 | ) | (0.01 | ) | — | |||||||
Total dividends and distributions | (0.61 | ) | (0.34 | ) | — | |||||||
Redemption Fees | — | — | — | |||||||||
Net Asset Value, End of Year/Period | $ | 11.10 | $ | 10.45 | $ | 10.16 | ||||||
Total Return* | 12.62 | % | 6.24 | % # | 1.60 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (000s) | $ | 3,262 | $ | 1,468 | $ | 0 | *** | |||||
Ratio of gross operating expenses to average net assets including interest expense (5) | 2.81 | % | 3.11 | % | 3.01 | % (3) | ||||||
Ratio of gross operating expenses to average net assets excluding interest expense (5) | 2.76 | % | 3.11 | % | 3.01 | % (3) | ||||||
Ratio of net operating expenses to average net assets including interest expense (5) | 2.54 | % | 2.49 | % | 2.49 | % (3) | ||||||
Ratio of net operating expenses to average net assets excluding interest expense (5) | 2.49 | % | 2.49 | % | 2.49 | % (3) | ||||||
Ratio of net investment income (loss) after expense reimbursement to average net assets (5,6) | 3.12 | % | 3.09 | % | 3.27 | % (3) | ||||||
Portfolio Turnover Rate | 132 | % | 111 | % | 37 | % (4) | ||||||
(1) | Class A and Class C commenced operations on August 14, 2018. Start of performance is August 21, 2018. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Period. |
(3) | Annualized for periods less than one year. |
(4) | Not annualized. |
(5) | The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
(6) | Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
* | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
*** | Less than 1,000. |
# | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. Adjustments may apply to some but not all years and classes. |
See accompanying notes to financial statements.
58
FINANCIAL HIGHLIGHTS (For a share outstanding throughout the period) |
James Alpha Structured Credit Value Portfolio | ||||||||||||
Class I | ||||||||||||
For the | For the | For the | ||||||||||
Year Ended | Year Ended | Period Ended | ||||||||||
November 30, | November 30, | November 30, | ||||||||||
2020 | 2019 | 2018 (1) | ||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.46 | $ | 10.15 | $ | 10.00 | ||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net investment income (2) | 0.44 | 0.40 | 0.07 | |||||||||
Net realized and unrealized gain | 0.93 | 0.30 | 0.08 | |||||||||
Total from investment operations | 1.37 | 0.70 | 0.15 | |||||||||
Dividends and Distributions: | ||||||||||||
Dividends from net investment income | (0.55 | ) | (0.38 | ) | — | |||||||
Distributions from realized gains | (0.18 | ) | (0.01 | ) | — | |||||||
Total dividends and distributions | (0.73 | ) | (0.39 | ) | — | |||||||
Redemption Fees | — | 0.00 | ** | 0.00 | ** | |||||||
Net Asset Value, End of Year/Period | $ | 11.10 | $ | 10.46 | $ | 10.15 | ||||||
Total Return* | 13.80 | % | 6.97 | % | 1.50 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (000s) | $ | 112,226 | $ | 4,982 | $ | 1,007 | ||||||
Ratio of gross operating expenses to average net assets including interest expense (5) | 1.79 | % | 1.99 | % | 2.01 | % (3) | ||||||
Ratio of gross operating expenses to average net assets excluding interest expense (5) | 1.74 | % | 2.00 | % | 2.01 | % (3) | ||||||
Ratio of net operating expenses to average net assets including interest expense (5) | 1.54 | % | 1.49 | % | 1.49 | % (3) | ||||||
Ratio of net operating expenses to average net assets excluding interest expense (5) | 1.49 | % | 1.49 | % | 1.49 | % (3) | ||||||
Ratio of net investment income (loss) after expense reimbursement to average net assets (5,6) | 4.11 | % | 3.88 | % | 2.30 | % (3) | ||||||
Portfolio Turnover Rate | 132 | % | 111 | % | 37 | % (4) | ||||||
James Alpha Structured Credit Value Portfolio | ||||||||||||
Class S | ||||||||||||
For the | For the | For the | ||||||||||
Year Ended | Year Ended | Year Ended | ||||||||||
November 30, | November 30, | November 30, | ||||||||||
2020 | 2019 | 2018 (1) | ||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.51 | $ | 10.16 | $ | 10.00 | ||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net investment income (2) | 0.48 | 0.43 | 0.07 | |||||||||
Net realized and unrealized gain | 0.94 | 0.31 | 0.08 | |||||||||
Total from investment operations | 1.42 | 0.74 | 0.15 | |||||||||
Dividends and Distributions: | ||||||||||||
Dividends from net investment income | (0.55 | ) | (0.38 | ) | — | |||||||
Distributions from realized gains | (0.18 | ) | (0.01 | ) | — | |||||||
Total dividends and distributions | (0.73 | ) | (0.39 | ) | — | |||||||
Redemption Fees | — | 0.00 | ** | 0.01 | ||||||||
Net Asset Value, End of Year/Period | $ | 11.20 | $ | 10.51 | $ | 10.16 | ||||||
Total Return* | 14.23 | % | 7.36 | % | 1.60 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (000s) | $ | 62,369 | $ | 30,209 | $ | 34,604 | ||||||
Ratio of gross operating expenses to average net assets including interest expense (5) | 1.80 | % | 1.93 | % | 1.87 | % (3) | ||||||
Ratio of gross operating expenses to average net assets excluding interest expense (5) | 1.75 | % | 1.93 | % | 1.87 | % (3) | ||||||
Ratio of net operating expenses to average net assets including interest expense (5) | 1.17 | % | 1.13 | % | 1.49 | % (3) | ||||||
Ratio of net operating expenses to average net assets excluding interest expense (5) | 1.12 | % | 1.13 | % | 1.49 | % (3) | ||||||
Ratio of net investment income (loss) after expense reimbursement to average net assets (5,6) | 4.51 | % | 4.11 | % | 2.27 | % (3) | ||||||
Portfolio Turnover Rate | 132 | % | 111 | % | 37 | % (4) | ||||||
(1) | Class I and Class S commenced operations on August 14, 2018. Start of performance is August 21, 2018. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Period. |
(3) | Annualized for periods less than one year. |
(4) | Not annualized. |
(5) | The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
(6) | Recognition of net investment income (loss) by the Fund is affected by the timing of the declaration of dividends by the underlying investment companies in which the Fund invests. |
* | Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
See accompanying notes to financial statements.
59
NOTES TO FINANCIAL STATEMENTS |
Year Ended November 30, 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 six series: the James Alpha EHS Portfolio; the James Alpha Event Driven Portfolio, the James Alpha Family Office Portfolio, the James Alpha Relative Value Portfolio, the James Alpha Total Hedge Portfolio and the James Alpha Structured Credit Value Portfolio (collectively, the “Portfolios”). James Alpha Advisors, LLC (the “Manager” or “James Alpha Advisors”) serves as the Portfolios’ Advisor. Orange Investment Advisors, LLC serves as James Alpha Structured Credit Value Portfolios Sub-Advisor.
The James Alpha EHS Portfolio; the James Alpha Event Driven Portfolio, the James Alpha Family Office Portfolio, the James Alpha Relative Value Portfolio, James Alpha Total Hedge Portfolio and James Alpha Structured Credit Value Portfolio are diversified portfolios.
Portfolio | Primary Objective | |
James Alpha EHS | Long-term risk-adjusted returns relative to traditional financial market indices. | |
James Alpha Event Driven | Long-term risk-adjusted returns relative to traditional financial market indices. | |
James Alpha Family Office | Total return through capital appreciation and/or income, consistent with a reasonable level of risk, determined by the James Alpha Advisors, LLC. | |
James Alpha Relative Value | Long-term risk-adjusted returns relative to traditional financial market indices. | |
James Alpha Total Hedge | Long-term risk adjusted returns relative to traditional financial market indices | |
James Alpha Structured Credit Value | High level of risk adjusted current income and capital appreciation with a secondary objective of capital preservation. |
Currently, all Portfolios offer Class A, Class C, Class I and Class S shares. 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. 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, ongoing service and distribution charges and the Class S share’s management fee. 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. Shares of Class S of the Portfolios are available to investors with accounts in asset allocation and model allocation programs sponsored or maintained by registered investment adviser firms or broker-dealers. Please see the Trust’s prospectuses for additional details.
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”.
(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. 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. Debt securities may be valued at prices supplied by the Portfolios’ pricing services based on broker or dealer supplied valuations or matrix pricing, a method of valuing securities by reference to the value of other securities with similar characteristics, such as rating, interest rate and maturity. 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. Foreign currency and Forward currency exchange contracts are valued daily at the London close each day. 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.
60
NOTES TO FINANCIAL STATEMENTS |
Year Ended November 30, 2020 (Continued) |
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 November 30, 2020, for the Portfolios’ assets and liabilities measured at fair value:
James Alpha EHS | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 3,342,467 | $ | — | $ | — | $ | 3,342,467 | ||||||||
Exchange Traded Note | 10,119 | — | — | 10,119 | ||||||||||||
Open Ended Funds | 267,835 | — | — | 267,835 | ||||||||||||
Short-Term Investments | 642,915 | — | — | 642,915 | ||||||||||||
Total | $ | 4,263,336 | $ | — | $ | — | $ | 4,263,336 | ||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 60 | $ | — | $ | 60 | ||||||||
Total Assets | $ | 4,263,336 | $ | 60 | $ | — | $ | 4,263,396 | ||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 305 | $ | — | $ | 305 | ||||||||
Total Liabilities | $ | — | $ | 305 | $ | — | $ | 305 | ||||||||
James Alpha Event Driven | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 2,099,237 | $ | — | $ | — | $ | 2,099,237 | ||||||||
Open Ended Funds | 2,248,686 | — | — | 2,248,686 | ||||||||||||
Short-Term Investments | 217,500 | — | — | 217,500 | ||||||||||||
Total | $ | 4,565,423 | $ | — | $ | — | $ | 4,565,423 | ||||||||
Asset Derivatives | ||||||||||||||||
Total Return Swap | $ | — | $ | 116,389 | $ | — | $ | 116,389 | ||||||||
Total Assets | $ | 4,565,423 | $ | 116,389 | $ | — | $ | 4,681,812 | ||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 6,469 | $ | — | $ | 6,469 | ||||||||
Total Liabilities | $ | — | $ | 6,469 | $ | — | $ | 6,469 | ||||||||
James Alpha Family Office | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 5,704,315 | $ | — | $ | — | $ | 5,704,315 | ||||||||
Exchange Traded Note | 76,615 | — | — | 76,615 | ||||||||||||
Open Ended Fund | 265,499 | — | — | 265,499 | ||||||||||||
Total Assets | $ | 6,046,429 | $ | — | $ | — | $ | 6,046,429 | ||||||||
James Alpha Relative Value | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 2,908,067 | $ | — | $ | — | $ | 2,908,067 | ||||||||
Open Ended Funds | 2,657,356 | — | — | 2,657,356 | ||||||||||||
Short-Term Investments | 1,388,309 | — | — | 1,388,309 | ||||||||||||
Total | $ | 6,953,732 | $ | — | $ | — | $ | 6,953,732 | ||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 79 | $ | — | $ | 79 | ||||||||
Total Return Swap | — | 151,969 | — | 151,969 | ||||||||||||
Total Assets | $ | 6,953,732 | $ | 152,048 | $ | — | $ | 7,105,780 | ||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 93 | $ | — | $ | 93 | ||||||||
Total Liabilities | $ | — | $ | 93 | $ | — | $ | 93 |
61
NOTES TO FINANCIAL STATEMENTS |
Year Ended November 30, 2020 (Continued) |
James Alpha Total Hedge | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 7,399,412 | $ | — | $ | — | $ | 7,399,412 | ||||||||
Exchange Traded Notes | 14,815 | — | — | 14,815 | ||||||||||||
Open Ended Funds | 2,024,432 | — | — | 2,024,432 | ||||||||||||
Short-Term Investments | 787,356 | — | — | 787,356 | ||||||||||||
Total | $ | 10,226,015 | $ | — | $ | — | $ | 10,226,015 | ||||||||
Asset Derivatives | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 491 | $ | — | $ | 491 | ||||||||
Total Return Swap | — | 61,874 | — | 61,874 | ||||||||||||
Total Assets | $ | 10,226,015 | $ | 62,365 | $ | — | $ | 10,288,380 | ||||||||
Liability Derivatives | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | 1,616 | $ | — | $ | 1,616 | ||||||||
Total Liabilities | $ | — | $ | 1,616 | $ | — | $ | 1,616 | ||||||||
James Alpha Structured Credit Value | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset Backed Securities | $ | — | $ | 128,314,468 | $ | — | $ | 128,314,468 | ||||||||
Collateralized Mortgage Obligations | — | 3,630,505 | — | 3,630,505 | ||||||||||||
Corporate Bonds | — | 27,084,769 | — | 27,084,769 | ||||||||||||
Non U.S. Government & Agencies | — | 181,490 | — | 181,490 | ||||||||||||
U.S. Government & Agencies | — | 20,063,074 | — | 20,063,074 | ||||||||||||
Short-Term Investments | 20,278,535 | — | — | 20,278,535 | ||||||||||||
Total Assets | $ | 20,278,535 | $ | 179,274,306 | $ | — | 199,552,841 | |||||||||
Credit Default Swap | $ | — | $ | 195,462 | $ | — | $ | 195,462 | ||||||||
Total Liabilities | $ | — | $ | 195,462 | $ | — | $ | 195,462 |
There were no level 3 securities held during the year.
* | Refer to the Schedules of Investments for industry or category classifications. |
(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. Management has analyzed the Fund’s tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years ended November 30, 2017 to November 30, 2019, or expected to be taken in the Funds’ November 30, 2020 year-end tax returns.
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 analyzed the Fund’s tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years or expected to be taken in the Funds’ November 30, 2020 year-end tax returns. 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 year ended November 30, 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. All paydown gains and losses are classified as interest income in the accompanying Statements of Operations in accordance with U.S. GAAP. 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 | ||
James Alpha EHS | Annually | Annually | ||
James Alpha Event Driven | Annually | Annually | ||
James Alpha Family Office | Annually | Annually | ||
James Alpha Relative Value | Annually | Annually | ||
James Alpha Total Hedge | Annually | Annually | ||
James Alpha Structured Credit Value | Monthly* | Annually |
* | The Fund changed from Quarterly to Monthly in March 2020. |
62
NOTES TO FINANCIAL STATEMENTS |
Year Ended November 30, 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) | 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.
(g) | 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.
Foreign currency contracts. 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.
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.
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: 1.20% for James Alpha Family Office and James Alpha Structured Credit Value; 1.00% for James Alpha EHS, James Alpha Event Driven, James Alpha Relative Value and James Alpha Total Hedge. Saratoga Capital Management, LLC (“SCM”) serves the Portfolios in a supervision capacity with responsibility to monitor the performance of the Portfolios’ outside service providers (other than sub-advisers, if any, which are monitored by the Manager), assist in the review of financial statements and other regulatory filings and board meeting materials related to each Portfolio. Pursuant to the supervision agreement with the Portfolios, the Portfolios pay SCM an annual supervision fee of the greater of $9,000 or 0.10% of the Portfolio’s average daily net assets, payable on a monthly basis, which fee decreases at various asset levels. SCM, a Delaware limited liability company, also acts as investment manager to certain other portfolios of the Saratoga Advantage Trust (the “Saratoga Funds”). Prior to March 1, 2020 the annual supervisory fee minimum was $15,000.
(b) The Trust and the Manager on behalf of the Portfolios, have entered into Excess Expense Agreements (the “Expense Agreements”).
In connection with the Expense Agreements, James Alpha Advisors is currently waiving, all or a portion of its management fees and/or assuming certain other operating 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 November 30, 2020, for each portfolio are: 1.74%, 2.49%, 1.49% and 1.12% for Class A, C, I and S shares, respectively, of James Alpha EHS,
63
NOTES TO FINANCIAL STATEMENTS |
Year Ended November 30, 2020 (Continued) |
James Alpha Event Driven, James Alpha Family Office, James Alpha Relative Value, James Alpha Total Hedge and James Alpha Structured Credit Value. 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 James Alpha Advisors shall continue through March 31, 2021 for A, C, I and S.
For the year ended November 30, 2020, the Manager waived fees of $53,524 for James Alpha EHS, $84,386 for James Alpha Event Driven, $80,006 for James Alpha Family Office, $91,675 for James Alpha Relative Value, $96,283 for James Alpha Total Hedge and $441,960 for James Alpha Structured Credit Value.
The following table shows the available waived expenses and expiration date for each Portfolio subject to potential recovery.
Portfolio | 11/30/2021 | 11/30/2022 | 11/30/2023 | |||||||||
James Alpha EHS | $ | 18,206 | $ | 63,980 | $ | 53,524 | ||||||
James Alpha Event Driven | 1,307 | 71,807 | 84,386 | |||||||||
James Alpha Family Office | 1,074 | 69,096 | 80,006 | |||||||||
James Alpha Relative Value | 1,524 | 68,594 | 91,675 | |||||||||
James Alpha Total Hedge | 18,473 | 94,545 | 96,283 | |||||||||
James Alpha Structured Credit Value | 824 | 194,708 | 441,960 |
(c) Northern Lights Distributors, LLC (the “Distributor”) is the Trust’s Distributor. 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, a fee, which is accrued daily and paid monthly, at the annual rate of 0.25% of the average daily net assets of Class A shares and 1.00% of the average daily net assets of each 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, 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, November 30, 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 | ||||||
James Alpha EHS | — | — | ||||||
James Alpha Event Driven | — | — | ||||||
James Alpha Family Office | 1,209 | — | ||||||
James Alpha Relative Value | — | — | ||||||
James Alpha Total Hedge | — | — | ||||||
James Alpha Structured Credit Value | 71,011 | 7,368 |
(d) 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.
(e) Affiliated Investments — The Funds’ transactions with affiliates represent holdings for which the respective Fund and the underlying investee fund have the same investment advisor or where the investee fund’s investment advisor is under common control with the Fund’s investment advisor. Companies which are affiliates of the Portfolios at November 30, 2020, are noted in the Portfolio’s Schedule of Investments.
Change in | ||||||||||||||||||||||||||||||
Value at | Realized | Dividend | Unrealized | Value at | ||||||||||||||||||||||||||
Portfolio | Affiliated Holding | 11/30/19 | Purchases | Sales | Gain/(Loss) | Income | Gain/(Loss) | 11/30/20 | ||||||||||||||||||||||
James Alpha EHS | James Alpha Structured Credit Value Portfolio | $ | 562,357 | $ | — | $ | (330,361 | ) | $ | 9,385 | $ | 30,591 | $ | 5,452 | $ | 246,833 | ||||||||||||||
James Alpha Event Driven | James Alpha Structured Credit Value Portfolio | 990,373 | 100,000 | (600,000 | ) | 20,176 | 54,349 | 11,044 | 521,593 | |||||||||||||||||||||
James Alpha Relative Value | James Alpha Structured Credit Value Portfolio | 3,481,099 | 538,750 | (1,910,149 | ) | 82,259 | 206,788 | 68,592 | 2,260,551 | |||||||||||||||||||||
James Alpha Total Hedge | James Alpha Structured Credit Value Portfolio | 2,871,268 | — | (2,048,008 | ) | 131,220 | 166,640 | (5,365 | ) | 949,115 |
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.
64
NOTES TO FINANCIAL STATEMENTS |
Year Ended November 30, 2020 (Continued) |
3. | INVESTMENT TRANSACTIONS |
(a) For the year ended November 30, 2020, the cost of purchases and proceeds from sales of investment securities, other than short-term securities, for the Portfolios were as follows:
Portfolio | Purchase | Sales | ||||||
James Alpha EHS | $ | 3,862,557 | $ | 2,547,958 | ||||
James Alpha Event Driven | 6,868,589 | 9,317,077 | ||||||
James Alpha Family Office | 4,982,637 | 7,505,038 | ||||||
James Alpha Relative Value | 6,274,590 | 7,041,163 | ||||||
James Alpha Total Hedge | 11,427,614 | 12,821,098 | ||||||
James Alpha Structured Credit Value | 236,831,240 | 122,420,551 |
(b) 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.
(c) 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 pre-determined 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.
65
NOTES TO FINANCIAL STATEMENTS |
Year Ended November 30, 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 November 30, 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 EHS | ||||||||||
Forward Exchange Contracts | Foreign Exchange | Unrealized appreciation on forward currency exchange contracts | $ | 60 | ||||||
Unrealized depreciation on forward currency exchange contracts | (305 | ) | ||||||||
Totals | $ | (245 | ) | |||||||
James Alpha Event Driven | ||||||||||
Forward Exchange Contracts | Foreign Exchange | Unrealized depreciation on forward currency exchange contracts | $ | (6,469 | ) | |||||
Swap Contracts | Equity | Unrealized appreciation on swaps | 116,389 | |||||||
Totals | $ | 109,920 | ||||||||
James Alpha Relative Value | ||||||||||
Unrealized appreciation on forward currency exchange contracts | $ | 79 | ||||||||
Forward Exchange Contracts | Foreign Exchange | Unrealized depreciation on forward currency exchange contracts | (93 | ) | ||||||
Swap Contracts | Equity | Unrealized appreciation on swaps | 151,969 | |||||||
Totals | $ | 151,955 | ||||||||
James Alpha Total Hedge | ||||||||||
Forward Exchange Contracts | Foreign Exchange | Unrealized appreciation on forward currency exchange contracts | $ | 491 | ||||||
Unrealized depreciation on forward currency exchange contracts | (1,616 | ) | ||||||||
Swap Contracts | Equity | Unrealized appreciation on swaps | 61,874 | |||||||
Totals | $ | 60,749 | ||||||||
James Alpha Structured Credit | ||||||||||
Swap Contracts | Interest Rate | Unrealized depreciation on swaps | $ | (195,462 | ) |
66
NOTES TO FINANCIAL STATEMENTS |
Year Ended November 30, 2020 (Continued) |
The effect of derivative instruments on the Statements of Operations for the year ended November 30, 2020, were as follows:
Realized and unrealized gain (loss) on | ||||||||||
Portfolio | Derivative | Location of gain (loss) on derivatives | Risk Type | derivatives | ||||||
James Alpha EHS | ||||||||||
Forward Contracts | ||||||||||
Net realized gain from investments and foreign currency transactions | Foreign Exchange | $ | (2 | ) | ||||||
Net change in unrealized depreciation on investments and foreign currency transactions | ||||||||||
Foreign Exchange | $ | (130 | ) | |||||||
James Alpha Event Driven | ||||||||||
Swap Contracts | ||||||||||
Net realized loss on swaps | ||||||||||
Equity | $ | (184,371 | ) | |||||||
Net change in unrealized appreciation on swaps | ||||||||||
Equity | $ | 68,199 | ||||||||
Forward Contracts | ||||||||||
Net realized loss from investments and foreign currency transactions | Foreign Exchange | $ | (16,249 | ) | ||||||
Net change in unrealized depreciation on investments and foreign currency transactions | ||||||||||
Foreign Exchange | $ | (8,893 | ) | |||||||
James Alpha Relative Value | ||||||||||
Swap Contracts | ||||||||||
Net realized loss on swaps | ||||||||||
Equity | $ | (111,853 | ) | |||||||
Net change in unrealized appreciation on swaps | ||||||||||
Equity | $ | 115,979 | ||||||||
Forward Contracts | ||||||||||
Net realized gain from investments and foreign currency transactions | Foreign Exchange | $ | 1,935 | |||||||
Net change in unrealized depreciation on investments and foreign currency transactions | ||||||||||
Foreign Exchange | $ | (410 | ) | |||||||
James Alpha Total Hedge | ||||||||||
Swap Contracts | ||||||||||
Net realized loss on swaps | ||||||||||
Equity | $ | (1,399 | ) | |||||||
Net change in unrealized depreciation on swaps | ||||||||||
Equity | $ | (12,562 | ) | |||||||
Forward Contracts | ||||||||||
Net realized loss from investments and foreign currency transactions | Foreign Exchange | $ | (20,424 | ) | ||||||
Net change in unrealized depreciation on investments and foreign currency transactions | ||||||||||
Foreign Exchange | $ | (1,389 | ) | |||||||
James Alpha Structured Credit | ||||||||||
Swap Contracts | ||||||||||
Net realized loss on swaps | ||||||||||
Interest Rate | $ | (18,334 | ) | |||||||
Net change in unrealized depreciation on swaps | ||||||||||
Interest Rate | $ | (195,462 | ) |
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.
67
NOTES TO FINANCIAL STATEMENTS |
Year Ended November 30, 2020 (Continued) |
The following table presents the Portfolios’ assets and liabilities available for offset under a master netting arrangement net of collateral pledged as of November 30, 2020.
Gross Amounts not offset in the Statements of Assets | ||||||||||||||||
and Liabilities | ||||||||||||||||
Gross Amounts Recognized in | ||||||||||||||||
Statements of Assets and | Financial Instruments | Net Amount of Assets | ||||||||||||||
Liabilities | Pledged | Cash Collateral Pledged * | (Liabilities) | |||||||||||||
EHS | ||||||||||||||||
Description of Asset: | ||||||||||||||||
Forward Foreign | ||||||||||||||||
Currency Contracts | $ | 60 | 305 | $ | — | $ | (245 | ) | ||||||||
Total | $ | 60 | $ | 305 | $ | — | $ | (245 | ) | |||||||
Description of Liability: | ||||||||||||||||
Forward Foreign | ||||||||||||||||
Currency Contracts | $ | (305 | ) | $ | 305 | $ | — | $ | — | |||||||
$ | (305 | ) | $ | 305 | $ | — | $ | — | ||||||||
Event Driven | ||||||||||||||||
Description of Asset: | ||||||||||||||||
Total Return Swaps | $ | 116,389 | $ | — | $ | 116,389 | $ | — | ||||||||
Total | $ | 116,389 | $ | — | $ | 116,389 | $ | — | ||||||||
Description of Liability: | ||||||||||||||||
Forward Foreign | ||||||||||||||||
Currency Contracts | $ | (6,469 | ) | $ | — | $ | — | $ | (6,469 | ) | ||||||
$ | (6,469 | ) | $ | — | $ | — | $ | (6,469 | ) | |||||||
Relative Value | ||||||||||||||||
Description of Asset: | ||||||||||||||||
Forward Foreign | ||||||||||||||||
Currency Contracts | $ | 79 | 93 | $ | — | $ | (14 | ) | ||||||||
Total Return Swaps | 151,969 | — | 151,969 | — | ||||||||||||
Total | $ | 152,048 | $ | 93 | $ | 151,969 | $ | (14 | ) | |||||||
Description of Liability: | ||||||||||||||||
Forward Foreign | ||||||||||||||||
Currency Contracts | $ | (93 | ) | $ | 93 | $ | — | $ | — | |||||||
$ | (93 | ) | $ | 93 | $ | — | $ | — | ||||||||
Total Hedge | ||||||||||||||||
Description of Asset: | ||||||||||||||||
Forward Foreign | ||||||||||||||||
Currency Contracts | $ | 491 | 1,616 | $ | — | $ | (1,125 | ) | ||||||||
Total Return Swaps | 61,874 | — | 61,874 | — | ||||||||||||
Total | $ | 62,365 | $ | 1,616 | $ | 61,874 | $ | (1,125 | ) | |||||||
Description of Liability: | ||||||||||||||||
Forward Foreign | ||||||||||||||||
Currency Contracts | $ | (1,616 | ) | $ | 1,616 | $ | — | $ | — | |||||||
$ | (1,616 | ) | $ | 1,616 | $ | — | $ | — | ||||||||
Structured Credit | ||||||||||||||||
Description of Liability: | ||||||||||||||||
Credit Default Swap | $ | (195,462 | ) | — | $ | 195,462 | $ | — | ||||||||
Total | $ | (195,462 | ) | $ | — | $ | 195,462 | $ | — |
* | Excess collateral not included. |
68
NOTES TO FINANCIAL STATEMENTS |
Year Ended November 30, 2020 (Continued) |
4. | 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 A Shares | Class C Shares | Class I Shares | Class S Shares | |||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||
James Alpha EHS | November 30, 2020 | November 30, 2019 | November 30, 2020 | November 30, 2019 | November 30, 2020 | November 30, 2019 | November 30, 2020 | November 30, 2019 | ||||||||||||||||||||||||
Issued | — | 99 | — | — | — | 1,178 | 258,687 | 101,410 | ||||||||||||||||||||||||
Redeemed | — | (99 | ) | — | — | (399 | ) | (786 | ) | (92,629 | ) | (470,602 | ) | |||||||||||||||||||
Reinvested from Dividends | 0 | * | 0 | * | 7 | 25 | 498 | 1,173 | 2,386 | 23,925 | ||||||||||||||||||||||
Net Decrease in Shares | — | — | 7 | 25 | 99 | 1,565 | 168,444 | (345,267 | ) | |||||||||||||||||||||||
James Alpha Event Driven | ||||||||||||||||||||||||||||||||
Issued | 484 | — | — | — | 1,103 | 22,267 | 260,143 | 387,179 | ||||||||||||||||||||||||
Redeemed | — | — | — | — | (23,479 | ) | (1,935 | ) | (479,675 | ) | (772,834 | ) | ||||||||||||||||||||
Reinvested from Dividends | 0 | * | 0 | * | 0 | * | 0 | * | 4,081 | 483 | 41,221 | 19,703 | ||||||||||||||||||||
Net Increase (Decrease) in Shares | 484 | — | — | — | (18,295 | ) | 20,815 | (178,311 | ) | (365,952 | ) | |||||||||||||||||||||
James Alpha Family Office | ||||||||||||||||||||||||||||||||
Issued | 2,388 | 21,534 | 579 | 591 | 17,388 | 38,122 | 95,623 | 273,025 | ||||||||||||||||||||||||
Redeemed | (5,981 | ) | (1,548 | ) | (1,156 | ) | (3,301 | ) | (42,141 | ) | (1,488 | ) | (335,186 | ) | (970,792 | ) | ||||||||||||||||
Reinvested from Dividends | 242 | 139 | 9 | 194 | 629 | 500 | 5,760 | 26,737 | ||||||||||||||||||||||||
Net Increase (Decrease) in Shares | (3,351 | ) | 20,125 | (568 | ) | (2,516 | ) | (24,124 | ) | 37,134 | (233,803 | ) | (671,030 | ) | ||||||||||||||||||
James Alpha Relative Value | ||||||||||||||||||||||||||||||||
Issued | 464 | — | — | — | 13,784 | 5,930 | 464,544 | 276,520 | ||||||||||||||||||||||||
Redeemed | — | — | — | — | (9,384 | ) | (1,095 | ) | (436,574 | ) | (627,776 | ) | ||||||||||||||||||||
Reinvested from Dividends | 0 | * | 0 | * | 0 | * | 0 | * | 3,248 | 613 | 47,999 | 17,453 | ||||||||||||||||||||
Net Increase (Decrease) in Shares | 464 | — | — | — | 7,648 | 5,448 | 75,969 | (333,803 | ) | |||||||||||||||||||||||
James Alpha Total Hedge | ||||||||||||||||||||||||||||||||
Issued | — | — | — | — | 4,023 | 34,021 | 186,794 | 344,901 | ||||||||||||||||||||||||
Redeemed | — | (576 | ) | — | — | (33,555 | ) | (7,693 | ) | (254,897 | ) | (646,523 | ) | |||||||||||||||||||
Reinvested from Dividends | 161 | 114 | 114 | 78 | 18,705 | 12,834 | 15,297 | 18,613 | ||||||||||||||||||||||||
Net Increase in Shares | 161 | (462 | ) | 114 | 78 | (10,827 | ) | 39,162 | (52,806 | ) | (283,009 | ) | ||||||||||||||||||||
James Alpha Structured Credit Value | ||||||||||||||||||||||||||||||||
Issued | 1,868,358 | 80,502 | 219,343 | 161,011 | 11,803,882 | 433,322 | 4,142,915 | 1,587,325 | ||||||||||||||||||||||||
Redeemed | (834,692 | ) | (42,387 | ) | (73,332 | ) | (21,932 | ) | (2,348,929 | ) | (66,590 | ) | (1,592,686 | ) | (2,175,461 | ) | ||||||||||||||||
Reinvested from Dividends | 24,314 | 763 | 7,225 | 1,460 | 176,511 | 10,368 | 144,072 | 57,194 | ||||||||||||||||||||||||
Net Increase in Shares | 1,057,980 | 38,878 | 153,236 | 140,539 | 9,631,464 | 377,100 | 2,694,301 | (530,942 | ) |
* | Less than 1. |
5. | AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS |
Cost for | Tax Net | |||||||||||||||
Federal Tax | Unrealized | Unrealized | Unrealized | |||||||||||||
Portfolio | Purposes | Appreciation | Depreciation | App/Dep | ||||||||||||
James Alpha EHS | $ | 3,941,278 | $ | 338,204 | $ | (16,146 | ) | $ | 322,058 | |||||||
James Alpha Event Driven | 4,581,938 | 3,213,619 | (3,230,134 | ) | (16,515 | ) | ||||||||||
James Alpha Family Office | 5,403,001 | 664,160 | (20,732 | ) | 643,428 | |||||||||||
James Alpha Relative Value | 6,854,892 | 3,465,329 | (3,366,489 | ) | 98,840 | |||||||||||
James Alpha Total Hedge | 9,824,059 | 665,723 | (263,767 | ) | 401,956 | |||||||||||
James Alpha Structured Credit Value | 193,170,341 | 7,833,570 | (1,451,070 | ) | 6,382,500 |
69
NOTES TO FINANCIAL STATEMENTS |
Year Ended November 30, 2020 (Continued) |
6. | DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL |
The tax character of fund distributions paid for the years ended November 30, 2020 and November 30, 2019 was as follows:
For the period ended November 30, 2020: | ||||||||||||||||
Ordinary | Long-Term | Return | ||||||||||||||
Portfolio | Income | Capital Gains | Of Capital | Total | ||||||||||||
James Alpha EHS | $ | 44,860 | $ | — | $ | — | $ | 44,860 | ||||||||
James Alpha Event Driven | 676,018 | — | — | 676,018 | ||||||||||||
James Alpha Family Office | 91,600 | — | — | 91,600 | ||||||||||||
James Alpha Relative Value | 777,130 | — | — | 777,130 | ||||||||||||
James Alpha Total Hedge | 403,866 | — | — | 403,866 | ||||||||||||
James Alpha Structured Credit Value | 5,685,368 | 42,326 | — | 5,727,694 | ||||||||||||
For the period ended November 30, 2019: | ||||||||||||||||
Ordinary | Long-Term | Return | ||||||||||||||
Portfolio | Income | Capital Gains | Of Capital | Total | ||||||||||||
James Alpha EHS | $ | 285,452 | $ | 1,461 | $ | — | $ | 286,913 | ||||||||
James Alpha Event Driven | 230,393 | 5,437 | — | 235,830 | ||||||||||||
James Alpha Family Office | 307,192 | — | — | 307,192 | ||||||||||||
James Alpha Relative Value | 231,979 | 1,884 | — | 233,863 | ||||||||||||
James Alpha Total Hedge | 327,487 | 9,236 | — | 336,723 | ||||||||||||
James Alpha Structured Credit Value | 1,439,797 | — | — | 1,439,797 |
* | The difference between ordinary distributions paid from book and ordinary distributions paid from tax relates to allowable foreign tax credits of $600 and $2,802 for fiscal year ended November 30, 2020 for the James Alpha EHS Portfolio and James Alpha Family Office Portfolio, respectively, which have been passed through to the Funds’ underlying shareholders and are deemed dividends for tax purposes. |
As of November 30, 2020, the components of accumulated earnings/ (deficit) on a tax basis were as follows:
Undistributed | Undistributed | Post October Loss | Capital Loss | Other | Unrealized | Total | ||||||||||||||||||||||
Ordinary | Long-Term | and | Carry | Book/Tax | Appreciation/ | Accumulated | ||||||||||||||||||||||
Portfolio | Income | Capital Gains | Late Year Loss | Forwards | Differences | (Depreciation) | Earnings/(Deficits) | |||||||||||||||||||||
James Alpha EHS | $ | — | $ | — | $ | — | $ | (66,611 | ) | $ | — | $ | 321,813 | $ | 255,202 | |||||||||||||
James Alpha Event Driven | — | — | — | (270,487 | ) | — | (22,985 | ) | (293,472 | ) | ||||||||||||||||||
James Alpha Family Office | 4,758 | — | — | (373,963 | ) | — | 643,428 | 274,223 | ||||||||||||||||||||
James Alpha Relative Value | 119,181 | — | — | (84,771 | ) | — | 98,826 | 133,236 | ||||||||||||||||||||
James Alpha Total Hedge | 143,276 | 27,387 | — | — | — | 400,831 | 571,494 | |||||||||||||||||||||
James Alpha Structured Credit Value | 5,188,327 | 74,658 | — | — | — | 6,383,258 | 11,646,243 |
The difference between book basis and tax basis undistributed net investment income, accumulated net realized gain, and unrealized appreciation/(depreciation) from investments is primarily attributable to the tax deferral of losses on wash sales, mark-to-market on open forward foreign currency contracts, swaps and passive foreign investment companies, and adjustments for partnerships, grantor trusts, contingent convertible debt securities, and C-Corporation return of capital distributions. The unrealized appreciation/(depreciation) in the table above includes unrealized foreign currency gains (losses) of $(245), $(6,470), $(14), $(1,125) and $758 for the James Alpha EHS, James Alpha Event Driven, James Alpha Relative Value Portfolio, James Alpha Total Hedge and the James Alpha Structured Credit Portfolio, respectively.
At November 30, 2020, the Funds had capital loss carry forwards for federal income tax purposes available to offset future capital gains and capital losses utilized as follows:
Non-Expiring | CLCF | |||||||||||||||
Portfolio | Short-Term | Long-Term | Total | Utilized | ||||||||||||
James Alpha EHS | $ | — | $ | 66,611 | $ | 66,611 | $ | 60,931 | ||||||||
James Alpha Event Driven | 204,406 | 66,081 | 270,487 | — | ||||||||||||
James Alpha Family Office | 277,243 | 96,720 | 373,963 | 7,926 | ||||||||||||
James Alpha Relative Value | 79,747 | 5,024 | 84,771 | — | ||||||||||||
James Alpha Total Hedge | — | — | — | 134,539 | ||||||||||||
James Alpha Structured Credit Value | — | — | — | — |
70
NOTES TO FINANCIAL STATEMENTS |
Year Ended November 30, 2020 (Continued) |
Permanent book and tax differences, primarily attributable to the reclassification of Fund distributions, resulted in reclassifications for the Funds for the fiscal year ended November 30, 2020 as follows:
Paid | ||||||||
In | Accumulated | |||||||
Portfolio | Capital | Earnings (Losses) | ||||||
James Alpha EHS | $ | (10,805 | ) | $ | 10,805 | |||
James Alpha Event Driven | (18,547 | ) | 18,547 | |||||
James Alpha Family Office | 782 | (782 | ) | |||||
James Alpha Relative Value | — | — | ||||||
James Alpha Total Hedge | — | — | ||||||
James Alpha Structured Credit Value | — | — |
7. | 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 November 30, 2020, the shareholders that own 25% or more of the voting securities are as follows:
James Alpha EHS Cl A | James Alpha Management LLC | 100.00% | ||
James Alpha EHS Cl C | George & Gloria Kiefer | 99.81% | ||
James Alpha EHS Cl I | Denis Nayden | 99.99% | ||
James Alpha EHS Cl S | National Financial Services LLC | 100.00% | ||
James Alpha Event Driven Cl A | Pershing LLC | 99.77% | ||
James Alpha Event Driven Cl C | James Alpha Management LLC | 100.00% | ||
James Alpha Event Driven Cl I | Denis Nayden | 99.99% | ||
James Alpha Event Driven Cl S | National Financial Services LLC | 100.00% | ||
James Alpha Family Office Cl A | Pershing LLC | 43.20% | ||
James Alpha Family Office Cl A | First National Bank | 34.23% | ||
James Alpha Family Office Cl C | Jerry Chesser & Carool Chesser | 32.59% | ||
James Alpha Family Office Cl C | Johnny Harrison & Billie Harrison | 30.17% | ||
James Alpha Family Office Cl C | Brian Herman & Sandra Herman | 25.66% | ||
James Alpha Family Office Cl I | Denis Nayden | 61.14% | ||
James Alpha Family Office Cl I | Pershing LLC | 38.85% | ||
James Alpha Family Office Cl S | National Financial Services LLC | 100.00% | ||
James Alpha Relative Value Cl A | Pershing LLC | 99.75% | ||
James Alpha Relative Value Cl C | James Alpha Management LLC | 100.00% | ||
James Alpha Relative Value Cl I | Denis Nayden | 70.05% | ||
James Alpha Relative Value Cl I | Pershing LLC | 29.95% | ||
James Alpha Relative Value Cl S | National Financial Services LLC | 100.00% | ||
James Alpha Total Hedge Cl A | Mainstar Trust | 65.92% | ||
James Alpha Total Hedge Cl A | First National Bank | 34.06% | ||
James Alpha Total Hedge Cl C | Sandra Joanne McNamara | 61.23% | ||
James Alpha Total Hedge Cl C | Chizuko Momii | 38.75% | ||
James Alpha Total Hedge Cl I | Denis Nayden | 99.56% | ||
James Alpha Total Hedge Cl S | National Financial Services LLC | 100.00% | ||
James Alpha Structured Credit Value Cl A | LPL Financial | 57.13% | ||
James Alpha Structured Credit Value Cl A | Charles Schwab & Co.,Inc. | 28.25% | ||
James Alpha Structured Credit Value Cl C | Pershing LLC | 53.87% | ||
James Alpha Structured Credit Value Cl I | National Financial Services LLC | 40.63% | ||
James Alpha Structured Credit Value Cl S | National Financial Services LLC | 64.04% |
8. | UNDERLYING INVESTMENTS IN OTHER INVESTMENT COMPANIES |
The Funds invest in other investment companies. Each underlying fund, including each 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 and high yield risk. Investors in the Funds will indirectly bear fees and expenses charged by the underlying investment companies in which the Funds invest in addition to the Funds’ direct fees and expenses. All the Funds may invest in investment companies. Such investments would subject the Funds to similar risks.
The performance of the Relative Value Fund will be directly affected by the performance of the James Alpha Structured Credit Value Portfolio. The financial statements of these Funds, including the portfolio of investments, can be found at the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the James Alpha Relative Value Fund’s financial statements. As of November 30, 2020, the percentage of the James Alpha Relative Value Fund invested in the James Alpha Structured Credit Value Portfolio was 30.8%.
9. | 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.
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NOTES TO FINANCIAL STATEMENTS |
Year Ended November 30, 2020 (Continued) |
10. | 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.
On Monday, December 14th, 2020, the Board of Trustees of the Saratoga Advantage Trust (“Trust”) approved the reorganization of the James Alpha EHS Portfolio, James Alpha Event Driven Portfolio, James Alpha Family Office Portfolio, James Alpha Relative Value Portfolio, James Alpha Total Hedge Portfolio and James Alpha Structured Credit Value Portfolio (each an “Existing Fund”) to a series of the James Alpha Funds Trust (each an “Acquiring Fund”) (the “Reorganization”). As a series of James Alpha Funds Trust, each Fund will be a continuation of the identically named predecessor fund managed by James Alpha Advisors, LLC. Each Acquiring Fund will have the same investment objective and portfolio manager, and substantially similar principal investment strategies as its corresponding Existing Fund. The Reorganization requires the approval of the shareholders of each of the Existing Funds.
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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 statements of assets and liabilities of James Alpha EHS Portfolio, James Alpha Event Driven Portfolio, James Alpha Family Office Portfolio, James Alpha Relative Value Portfolio, James Alpha Total Hedge Portfolio, and the James Alpha Structured Credit Value Portfolio (the “Funds”), each a series of Saratoga Advantage Trust (the “Trust”), including the schedules of investments, as of November 30, 2020, the related statements of operations, the statements 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 November 30, 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 Saratoga Advantage Trust | Statement of operations | Statements of changes in net assets | Financial highlights | |||
James Alpha EHS Portfolio, James Alpha Event Driven Portfolio, James Alpha Relative Value Portfolio | For the year ended November 30, 2020 | For each of the two years in the period ended November 30, 2020 | For each of the three years in the period ended November 30, 2020 and the period from August 18, 2017 (commencement of operations) through November 30, 2017 | |||
James Alpha Family Office Portfolio, James Alpha Total Hedge Portfolio | For the year ended November 30, 2020 | For each of the two years in the period ended November 30, 2020 | For each of the three years in the period ended November 30, 2020 and the period from June 30, 2017 (commencement of operations) through November 30, 2017 | |||
James Alpha Structured Credit Portfolio | For the year ended November 30, 2020 | For each of the two years in the period ended November 30, 2020 | For each of the two years in the period ended November 30, 2020 and the period from August 14, 2018 (commencement of operations) through November 30, 2018 |
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the 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.
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 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.
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Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of November 30, 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 |
January 29, 2021 |
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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 entire period from June 1, 2020 through November 30, 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 - 6/01/2020 | Value - 11/30/2020 | 6/01/2020-11/30/2020* | [Annualized] | |||||
Actual Expenses | ||||||||
James Alpha EHS - Class A | $1,000.00 | $1,223.10 | $9.67 | 1.74% | ||||
James Alpha EHS - Class C | 1,000.00 | 1,216.60 | 13.80 | 2.49% | ||||
James Alpha EHS - Class I | 1,000.00 | 1,223.10 | 8.28 | 1.49% | ||||
James Alpha EHS - Class S | 1,000.00 | 1,225.30 | 6.23 | 1.12% | ||||
James Alpha Event Driven - Class A | 1,000.00 | 1,153.70 | 9.37 | 1.74% | ||||
James Alpha Event Driven - Class C | 1,000.00 | 1,154.80 | 13.41 | 2.49% | ||||
James Alpha Event Driven - Class I | 1,000.00 | 1,154.80 | 8.03 | 1.49% | ||||
James Alpha Event Driven - Class S | 1,000.00 | 1,156.20 | 6.04 | 1.12% | ||||
James Alpha Family Office - Class A | 1,000.00 | 1,159.80 | 9.40 | 1.74% | ||||
James Alpha Family Office - Class C | 1,000.00 | 1,155.40 | 13.42 | 2.49% | ||||
James Alpha Family Office - Class I | 1,000.00 | 1,161.50 | 8.05 | 1.49% | ||||
James Alpha Family Office - Class S | 1,000.00 | 1,163.40 | 6.06 | 1.12% | ||||
James Alpha Relative Value - Class A | 1,000.00 | 1,111.70 | 9.19 | 1.74% | ||||
James Alpha Relative Value - Class C | 1,000.00 | 1,111.70 | 13.15 | 2.49% | ||||
James Alpha Relative Value - Class I | 1,000.00 | 1,111.70 | 7.87 | 1.49% | ||||
James Alpha Relative Value - Class S | 1,000.00 | 1,114.30 | 5.92 | 1.12% | ||||
James Alpha Total Hedge - Class A | 1,000.00 | 1,144.30 | 9.33 | 1.74% | ||||
James Alpha Total Hedge - Class C | 1,000.00 | 1,139.70 | 13.32 | 2.49% | ||||
James Alpha Total Hedge - Class I | 1,000.00 | 1,145.10 | 7.99 | 1.49% | ||||
James Alpha Total Hedge - Class S | 1,000.00 | 1,147.60 | 6.01 | 1.12% | ||||
James Alpha Structured Credit Value - Class A | 1,000.00 | 1,099.60 | 9.13 | 1.74% | ||||
James Alpha Structured Credit Value - Class C | 1,000.00 | 1,095.00 | 13.04 | 2.49% | ||||
James Alpha Structured Credit Value - Class I | 1,000.00 | 1,100.10 | 7.82 | 1.49% | ||||
James Alpha Structured Credit Value - Class S | 1,000.00 | 1,102.30 | 5.89 | 1.12% |
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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.
Beginning Account | Ending Account | Expense Paid | Expense Ratio | |||||
Hypothetical | Value - 6/01/2020 | Value - 11/30/2020 | 6/01/2020-11/30/2020* | [Annualized] | ||||
[5% Return Before Expenses] | ||||||||
James Alpha EHS - Class A | $1,000.00 | $1,016.30 | $8.77 | 1.74% | ||||
James Alpha EHS - Class C | 1,000.00 | 1,012.55 | 12.53 | 2.49% | ||||
James Alpha EHS - Class I | 1,000.00 | 1,017.55 | 7.52 | 1.49% | ||||
James Alpha EHS - Class S | 1,000.00 | 1,019.40 | 5.65 | 1.12% | ||||
James Alpha Event Driven - Class A | 1,000.00 | 1,016.30 | 8.77 | 1.74% | ||||
James Alpha Event Driven - Class C | 1,000.00 | 1,012.55 | 12.53 | 2.49% | ||||
James Alpha Event Driven - Class I | 1,000.00 | 1,017.55 | 7.52 | 1.49% | ||||
James Alpha Event Driven - Class S | 1,000.00 | 1,019.40 | 5.65 | 1.12% | ||||
James Alpha Family Office - Class A | 1,000.00 | 1,016.30 | 8.77 | 1.74% | ||||
James Alpha Family Office - Class C | 1,000.00 | 1,012.55 | 12.53 | 2.49% | ||||
James Alpha Family Office - Class I | 1,000.00 | 1,017.55 | 7.52 | 1.49% | ||||
James Alpha Family Office - Class S | 1,000.00 | 1,019.40 | 5.65 | 1.12% | ||||
James Alpha Relative Value - Class A | 1,000.00 | 1,016.30 | 8.77 | 1.74% | ||||
James Alpha Relative Value - Class C | 1,000.00 | 1,012.55 | 12.53 | 2.49% | ||||
James Alpha Relative Value - Class I | 1,000.00 | 1,017.55 | 7.52 | 1.49% | ||||
James Alpha Relative Value - Class S | 1,000.00 | 1,019.40 | 5.65 | 1.12% | ||||
James Alpha Total Hedge - Class A | 1,000.00 | 1,016.30 | 8.77 | 1.74% | ||||
James Alpha Total Hedge - Class C | 1,000.00 | 1,012.55 | 12.53 | 2.49% | ||||
James Alpha Total Hedge - Class I | 1,000.00 | 1,017.55 | 7.52 | 1.49% | ||||
James Alpha Total Hedge - Class S | 1,000.00 | 1,019.40 | 5.65 | 1.12% | ||||
James Alpha Structured Credit Value - Class A | 1,000.00 | 1,016.30 | 8.77 | 1.74% | ||||
James Alpha Structured Credit Value - Class C | 1,000.00 | 1,012.55 | 12.53 | 2.49% | ||||
James Alpha Structured Credit Value - Class I | 1,000.00 | 1,017.55 | 7.52 | 1.49% | ||||
James Alpha Structured Credit Value - Class S | 1,000.00 | 1,019.40 | 5.65 | 1.12% |
* | Expenses are equal to the Funds annualized expense ratio multiplies by the number of days in the period (183) divided by the number of days in the fiscal year (366). |
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SUPPLEMENTAL INFORMATION (Unaudited) |
LIQUIDITY RISK MANAGEMENT PROGRAM
The Funds have adopted and implemented a written liquidity risk management program as required by Rule 22e-4 (the “Liquidity Rule”) under the Investment Company Act. The program is reasonably designed to assess and manage each Fund’s liquidity risk, taking into consideration, among other factors, each respective Fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions; its short and long-term cash flow projections; and its cash holdings and access to other funding sources.
During the fiscal period ended November 30, 2020, the Trust’s Liquidity Risk Management Program Committee (the “Committee”) reviewed the Funds’ investments and determined that the Funds held adequate levels of cash and highly liquid investments to meet shareholder redemption activities in accordance with applicable requirements. Accordingly, the Committee concluded that (i) the Funds’ liquidity risk management program is reasonably designed to prevent violations of the Liquidity Rule and (ii) the Funds’ liquidity risk management program has been effectively implemented.
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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).
Name, Age and Address | Position(s) Held with Trust | Term*/ Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee During Past 5 Years |
INTERESTED TRUSTEES: | |||||
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: | |||||
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 | President and Chief Executive Officer, Terra Capital Markets, LLC (January 2011-Present) (broker-dealer) | 29 | None |
OFFICERS: | |||||
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, Chief Compliance Officer (July 2009 – Present) | 29 | None |
Emile R. Molineaux, 58 c/o Northern Lights Compliance Services, LLC 4221 North 203rd Street, Ste. 100 Elkhorn, NE 68022 | 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 or her 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. |
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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 | Does The Trust 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 |
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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, LLC. |
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. |
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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.
JAMES ALPHA-AR20
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 11/30/20 $42,000 $ 0.00
(b) | Audit-Related Fees |
Registrant Advisor
FYE 11/30/20 $ 0.00 $ 0.00
(c) | Tax Fees |
Registrant Advisor
FYE 11/30/20 $12,000 $ 0.00
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 11/30/20 $ 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) | All non-audit fees billed by the registrant's principal accountant for services rendered to the registrant for the fiscal year ended November 30, 2020, are disclosed in (b)-(d) above. There were no audit or non-audit services performed by the registrant's principal accountant for the registrant's adviser. |
(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 Management Investment Companies. Not applicable to open-end investment companies.
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 Holders. None.
Item 11. Controls and Procedures.
(a) Based on an evaluation of the registrant’s disclosure controls and procedures as of November 30, 2020, 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 last fiscal half-year 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. Not applicable to open-end investment companies.
Item 13. Exhibits.
(a)(1) Not applicable.
(a)(3) Not applicable.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) The Saratoga Advantage Trust
By (Signature and Title)
* /s/ Bruce E. Ventimiglia
Bruce E. Ventimiglia, President and Chief Executive Officer
Date 02/03/21
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, Vice President, Assistant Secretary, Treasurer and Chief Financial Officer
Date 02/03/21
By (Signature and Title)
* /s/ Bruce E. Ventimiglia
Bruce E. Ventimiglia, President and Chief Executive Officer
Date 02/03/21
* Print the name and title of each signing officer under his or her signature.