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)
Stuart M Strauss, Esq. Dechert LLP
1095 Avenue of the Americas, New York, NY 10036
(Name and address of agent for service)
Registrant's telephone number, including area code: 623-266-4567
Date of fiscal year end: 8/31
Date of reporting period: 2/28/21
Item 1. Reports to Stockholders.
Class A, C, I and S Shares
SEMI-ANNUAL REPORT |
As Of FEBRUARY 28, 2021 |
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 22 |
Statements of Assets and Liabilities | Page 49 |
Statements of Operations | Page 51 |
Statements of Changes in Net Assets | Page 53 |
Notes to Financials | Page 55 |
Financial Highlights | Page 71 |
Supplemental Information | Page 83 |
Privacy Notice | Page 86 |
TRUSTEES AND OFFICERS
Bruce E. Ventimiglia | Trustee, Chairman, President & CEO |
Patrick H. McCollough | Trustee |
Udo W. Koopmann | Trustee |
Floyd E. Seal | Trustee |
Stephen H. Hamrick | Trustee |
Stephen Ventimiglia | Vice President & Secretary |
Jonathan W. Ventimiglia | Vice President, Assistant Secretary, |
Treasurer & Chief Financial Officer | |
James S. Vitalie | Vice President |
Emile R. Molineaux | Chief Compliance Officer |
Aaron J. Smith | Assistant Treasurer |
Investment Manager | Distributor |
Saratoga Capital Management, LLC | Northern Lights Distributors, LLC |
1616 N. Litchfield Rd., Suite 165 | 4221 N 203rd Street, Suite 100 |
Goodyear, Arizona 85395 | Elkhorn, Nebraska 68022 |
Transfer & Shareholder Servicing Agent | Custodian |
Gemini Fund Services, LLC | BNY Mellon Corp. |
4221 N 203rd Street, Suite 100 | 225 Liberty Street |
Elkhorn, Nebraska 68022 | New York, New York 10286 |
Administrator & Fund Accounting Agent | Custody Administrator |
Gemini Fund Services, LLC | Gemini Fund Services, LLC |
80 Arkay Drive, Suite 110 | 80 Arkay Drive, Suite 110 |
Hauppauge, New York 11788 | Hauppauge, New York 11788 |
THE SARATOGA ADVANTAGE TRUST
Semi-Annual Report to Shareholders
April 17, 2021
Dear Shareholder:
We are pleased to provide you with this semi-annual report on the investment strategies and performance of the portfolios in the Saratoga Advantage Trust (the “Trust”). This report covers the six months from September 1, 2020 through February 28, 2021.
We believe that successful investing requires discipline and patience. Try to stay focused on your long-term investment goals. Don’t let short-term stock and bond market fluctuations or investment manias change your long-term investment strategy. The Saratoga Advantage Trust’s portfolios are managed by some of the world’s leading institutional investment advisory firms. Combining the strength of the Trust’s performance with a well-designed asset allocation plan can help you to achieve your long-term investment goals.
ECONOMIC OVERVIEW
As measured by Real Gross Domestic Product (GDP), the value of the production of goods and services in the United States advanced by an annualized growth rate (AGR) of +4.3% during the fourth quarter of 2020, following a +33.4% AGR in the third quarter of 2020. It appears as though the economy is trying to find its sea legs after the violent economic disruption caused by COVID-19. As of March 2021, total unemployment has declined to 6.0% from 14.8% in April 2020. As we mentioned last quarter, employment in most service sectors has broadly lagged that on the production side of the economy, causing a subdued employment environment. A major contributor to the weak employment picture, the leisure and hospitality service (L&HS) sector shed half of its employees during the pandemic. L&HS is a wide-ranging service sector, and we view recent employment gains in the sector as crucial for a healthy economic recovery to continue. Services sector employment makes up of approximately 40% of total employment, and about 43% of the GDP. As more people are vaccinated, employment in the L&HS sector, and the Services sector at large, should continue to experience outsized gains. We believe this has the potential to solidify gains in other areas of the economy, including, importantly, consumer confidence data. The Federal Reserve Open Market Committee (the Committee) released the following statement, in part, at its March 17, 2021 meeting: “The Federal Reserve is committed to using its full range of tools to support the U.S. economy in this challenging time, thereby promoting its maximum employment and price stability goals... Following a moderation in the pace of the recovery, indicators of economic activity and employment have turned up recently, although the sectors most adversely affected by the pandemic remain weak. Inflation continues to run below 2 percent. Overall financial conditions remain accommodative, in part reflecting policy measures to support the economy and the flow of credit to U.S. households and businesses.” The Fed continues to sustain historic balance sheet levels and employ a wide range of available tools.
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Monetary Policy: The Federal Reserve has meaningfully loosened the language it is using around its inflation target, saying in the current FOMC statement and recent testimony they intend to allow inflation 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 and beyond.
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. The 10-year T-Note yield is well-anchored above 1.5% and in March 2021 the 30-year T-Bond recently hit a cycle high of 2.45%, up from its cycle low of 0.99% in March 2020. Most of the interest rate yield curve has achieved near-term lows and is advancing across the spectrum. As the economy regains its footing and inflation remains low, yield spreads should be able to advance further; however, we do not expect that advance to find its upper range until the economy shows it is resolute. Regarding long-term corporate bonds, the quality spread as measured by Baa bonds minus Aaa bonds continues to change rapidly. The quality spread has historically been a good predictor of confidence in the corporate bond market and helps us establish a baseline expectation for corporate earnings. During the final week of April 2020, the spread hit a cycle high of 1.95 and then settled in near 0.92 during December. As of the beginning of March 2021 the spread has narrowed further to 0.70. We are nearing historical lows for the spread, and it has maintained a downward direction, giving us hope that earnings might have hit cycle-lows. We continue to watch this metric closely as we gauge potential uncertainty in corporate earnings, and the general economy.
Equity Valuations: As of March 31, 2021, the S&P 500 index was at 3972.89. Our proprietary valuation work suggests support for the S&P 500 at roughly 3,650 at the end of March. Short-term and intermediate-term earnings projections are solidifying. The S&P Dow Jones Indices report of S&P 500 earnings indicated 384 of the index’s 500 stocks, or 77%, beat earnings forecasts during 4Q20; that’s an increase from the 65.8% figure in 1Q20. While this is a solid development, we would like to see the trend continue. We believe the PE will remain above its median level of 24 and levels in the low-30 range are not out of reason as the current phase of economic growth progresses. However, inflation and intermediate-to-long-term interest rates are beginning to work slightly against valuations; if economic growth endures, inflation and interest rates are likely to increase which often causes the PE to retract to its mean. 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 proprietary valuation work currently sets an appropriate S&P 500 PE from 26 to 30. This produces a fair value range of 3,650 to 4,200 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.
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
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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 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, everyday, 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 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. 5223-NLD-4/28/2021
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INVESTMENT REVIEW |
JAMES ALPHA MACRO PORTFOLIO
Advised by: James Alpha Advisors, LLC, New York, New York
Objective: The Portfolio seeks attractive long-term risk-adjusted returns relative to traditional financial market indices.
Total Aggregate Return for the Period Ended February 28, 2021 | |||||||
Six Month: | One Year: | Five Year: | Ten Year: | Inception: | Inception: | Inception: | |
9/1/20 - 2/28/21 | 3/1/20 - 2/28/21 | 3/1/16 - 2/28/21* | 3/1/11 - 2/28/21* | 2/1/11 - 2/28/21* | 1/5/12 - 2/28/21* | 8/17/17 - 2/28/21* | |
Class A | |||||||
With Sales Charge | 3.47% | 3.81% | -0.25% | 0.15% | 0.17% | N/A | N/A |
Without Sales Charge | 9.78% | 10.16% | 0.93% | 0.75% | 0.76% | N/A | N/A |
Class C | |||||||
With Sales Charge | 8.33% | 8.33% | 0.19% | N/A | N/A | -0.19% | N/A |
Without Sales Charge | 9.33% | 9.33% | 0.19% | N/A | N/A | -0.19% | N/A |
Class I | 9.84% | 10.47% | 1.19% | 0.98% | 0.99% | N/A | N/A |
Class S | 10.11% | 11.00% | N/A | N/A | N/A | N/A | 4.36% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 28, 2020, is 3.42%, 4.17%, 3.17% and 3.17% for the A, C, I and S Classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio seeks to achieve its investment objective by investing all or substantially all of its assets in the following market sectors (“Sectors”): commodities; global inflation-linked bonds; event-linked securities; global equities; emerging market bonds; emerging market currencies; high-yield bonds, quantitative, and global macro. The Manager allocates the Portfolio’s assets across the Sectors based on the Manager’s forecasted return and risk characteristics for each Sector. The Portfolio may invest no more than 33 % of its assets in any single Sector at the time of initial investment or as a result of a rebalancing, although actual Sector weightings may deviate from the maximum allocation percentage from time to time due to market movements.
PORTFOLIO ADVISOR COMMENTARY
Financial markets in 2020 experienced one of the most eventful and historic years on record. Over the span of twelve months, traders experienced a full market cycle that would typically occur over the course of several years. After waves of unprecedented levels of stimulus, financial markets saw a very robust recovery with asset classes across the board moving higher in the second half of the year.
In the last 6 months, the US has seen a myriad of positive catalysts that have supported the market. The announcement of the vaccine and successful rollout provides hope that life may return to normal later in the year. After spiking to 14.8% in April 2020, the US unemployment rate has gradually dropped to 6.2% as of February 2021. There is also continued stimulus support from both monetary and fiscal sources. We believe these variables ultimately support the case for strong economic growth over the next year.
Since entering 2021, the story has become more focused on the bond market, Fed policy, and the implications that higher interest rates may have on other asset classes. The yield on 10-year treasuries has moved up significantly and the yield curve has steepened substantially. Interestingly, the US Dollar has continued to depreciate throughout 2020 and into 2021. We believe this is largely explained by the inverse correlation between the dollar and the twin deficits (i.e., the budget deficit and current account trade deficit). With the twin deficits having grown tremendously in the past year, we expect the long-term trend in the dollar is lower.
Since the mid 1980’s, the bond market has been supported by the long-term trend of declining interest rates, driven in part by the Fed’s ever expanding balance sheet and easy money policies. Global debt for developed economies are now approaching levels not seen since the end of World War II (the IMF estimates the developed world is holding around 125% of GDP). With the Fed’s aversion to negative rates, we believe we are very close to hitting a floor where rates can no longer decline. Additionally, the Fed has issued a policy of ‘inflation averaging’ around its 2% target and have hinted they are willing to let inflation run to hit this average.
The Macro sector was up 5.89% over the period. The key drivers were the Discretionary Thematic and Multi-Strategy managers, up 7.64% and 7.94% respectively. All other sub-strategies had positive returns over the period, except for the Currency managers who were down 3.09%.
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INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $1,000,000 INVESTED IN THE
JAMES ALPHA MACRO PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
James Alpha Structured Credit Value Portfolio, Class S | 34.1% |
AQR Managed Futures Strategy Fund, Class I | 5.9% |
Vanguard Total International Bond ETF | 5.3% |
Altegris Futures Evolution Strategy Fund, Class I | 2.8% |
Core Alternative ETF | 2.4% |
Invesco S&P 500 Equal Weight ETF | 2.2% |
iShares Barclays USD Asia High Yield Bond Index ETF | 2.2% |
iShares Morningstar Multi-Asset Income ETF | 2.1% |
iShares Iboxx High Yield Corporate Bond ETF | 2.0% |
SPDR Bloomberg Barclays Euro High Yield Bond UCITS ETF | 1.8% |
* | Based on total net assets as of February 28, 2021. |
Excludes short-term investments.
Portfolio Composition*
The Bank of America Merrill Lynch 3-Month Treasury Bill Index consists of U.S. Treasury Bills maturing in 90 days. |
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
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INVESTMENT REVIEW |
JAMES ALPHA GLOBAL REAL ESTATE INVESTMENTS PORTFOLIO
Advised by: James Alpha Advisors, LLC, New York, New York
Objective: The Portfolio seeks total return consisting of current income and capital appreciation.
Total Aggregate Return for the Period Ended February 28, 2021 | ||||||||
Six Months: | One Year: | Five Year: | Ten Year: | Inception: | Inception: | Inception: | Inception: | |
9/1/20 - | 3/1/20 - | 3/1/16 – | 3/1/11 – | 10/26/09 – | 1/5/12 – | 8/1/11 – | 8/17/17 – | |
2/28/21 | 2/28/21 | 2/28/21* | 2/28/21* | 2/28/21* | 2/28/21* | 2/28/21* | 2/28/21* | |
Class A | ||||||||
With Sales Charge | 12.13% | 6.60% | 9.43% | 7.46% | 9.22% | NA | NA | NA |
Without Sales Charge | 18.98% | 13.07% | 10.73% | 8.10% | 9.79% | NA | NA | NA |
Class C | ||||||||
With Sales Charge | 17.54% | 11.24% | 9.90% | NA | NA | 9.38% | NA | NA |
Without Sales Charge | 18.54% | 12.24% | 9.90% | NA | NA | 9.38% | NA | NA |
Class I | 19.23% | 13.55% | 11.20% | NA | NA | NA | 8.97% | NA |
Class S | 19.35% | 13.78% | NA | NA | NA | NA | NA | 9.35% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated March 22, 2021, is 1.44%, 2.19%, 1.05%, and 0.95% for the A, C, I, and S Classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Sub-Adviser uses both a quantitative screening process and a qualitative stock selection process when selecting securities for investment by the Portfolio. Quantitative Screening Process: The Sub-Adviser and Green Street Advisors have designed a proprietary quantitative screening model, the Global Real Estate Investment Model (the “Model”), which the Sub-Adviser uses to identify the securities in which the Portfolio may invest. The Model identifies approximately 80 qualifying securities for evaluation by the Sub-Adviser (“Qualifying Securities”). Qualifying Securities may include those issued by companies in a variety of sectors within the real estate industry, including, among others, the retail, office, industrial, hotel, healthcare multi-family and self -storage sectors. Qualitative Stock Selection Process: All Qualifying Securities are evaluated by the Sub-Adviser in determining appropriate investments for the Portfolio. The Sub-Adviser selects the top 40 to 50 securities from among the approximately 80 Qualifying Securities based on its assessment of certain factors including, but not limited to, management quality, balance sheet strength, debt structure and maturities, lease term and renewal schedule, tenant credit quality, regional macroeconomic conditions and trends and projected demand drivers and supply constraints for space. The Sub-Adviser may sell a security held in the portfolio when it no longer qualifies under the parameters established by the Model.
PORTFOLIO ADVISOR COMMENTARY
Global real estate stocks rallied significantly over the period, extending the strong but choppy recovery that began in the second quarter of 2020, as the announcement of multiple successful COVID-19 vaccines helped offset concerns over rising infection rates and their potential impact on the global economy. During the fourth quarter of 2020, capital markets were bolstered by the news of the FDA’s approval of the Pfizer and Moderna vaccines, illuminating a more definitive path and timeline to eventual herd immunity and an end to social distancing.
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INVESTMENT REVIEW (Continued) |
Against this backdrop, the global REIT market turned its attention to more cyclical, economically-sensitive property sectors. Property sectors with direct exposure to consumer spending, such as Retail and Lodging, whose fundamentals have faced the most significant headwinds amidst the post-COVID environment, were buoyed by a steady rotation of capital as the market recognized the pent-up demand that could drive cash flows in these property types as the pandemic begins to recede. As we look ahead, following a soft patch due to the “COVID winter,” we foresee a continued recovery in 2021 – likely V-shaped – that will be predicated upon three primary factors: the re-opening/back to school/return to travel surge in new cases being contained by targeted social distancing and eventually widespread vaccination; continued coordinated global central bank monetary policy providing liquidity and staving off a disruption in the credit markets—but may already be “pushing on a string”; fiscal policy measures to complete the “cash bridge” during the containment period (i.e., $1.9T in “band-aid” stimulus) followed by true (i.e., job-creating) stimulus.
We believe the trajectory of global REIT prices in the coming months will reflect the market’s fixation on the tension between the vaccine-induced return to normal and the near-term economic impact of the pandemic, a dynamic that is likely to result in elevated volatility that could potentially create compelling buying and selling opportunities for actively-managed portfolios.
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INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $1,000,000 INVESTED IN THE
JAMES ALPHA GLOBAL REAL ESTATE INVESTMENTS PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Link REIT | 7.2% |
CK Asset Holdings Ltd. | 4.8% |
Mitsubishi Estate Company Ltd. | 4.0% |
Japan Hotel REIT Investment Corporation | 3.9% |
Cellnex Telecom S.A. | 3.7% |
Kennedy-Wilson Holdings, Inc. | 3.7% |
Colony Capital, Inc. | 3.5% |
Invitation Homes, Inc. | 3.5% |
Hongkong Land Holdings Ltd. | 3.4% |
Ellington Financial, Inc. | 3.1% |
* | Based on total net assets as of February 28, 2021. Excludes short-term investments. |
Portfolio Composition *
The FTSE EPRA/NAREIT Developed Net Index Series is designed to represent general trends in eligible real estate equities worldwide. Relevant real estate activities are defined as the ownership, disposure and development of income-producing real estate. Investors may not invest in the Index directly. Unlike the Fund’s returns, the Index does not reflect any fees or expenses. |
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
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INVESTMENT REVIEW |
JAMES ALPHA MULTI STRATEGY ALTERNATIVE INCOME PORTFOLIO
Advised by: James Alpha Advisors, LLC, New York, New York
Objective: The Portfolio seeks to provide long-term capital appreciation as its primary objective, with a secondary objective of providing income for its shareholders.
Total Aggregate Return for the Period Ended February 28, 2021 | |||||
Six Month: | One Year: | Five Year: | Inception: | Inception: | |
9/1/20 - 2/28/21 | 3/1/20 - 2/28/21 | 3/1/16 - 2/28/21* | 9/29/14 - 2/28/21* | 8/17/17 - 2/28/21* | |
Class A | |||||
With Sales Charge | 2.83% | 8.69% | 6.62% | 2.23% | N/A |
Without Sales Charge | 9.07% | 15.33% | 7.90% | 3.18% | N/A |
Class C | |||||
With Sales Charge | 7.62% | 13.55% | 7.08% | 2.42% | N/A |
Without Sales Charge | 8.62% | 14.55% | 7.08% | 2.42% | N/A |
Class I | 9.25% | 15.76% | 8.18% | 3.42% | N/A |
Class S | 9.55% | 16.38% | N/A | N/A | 8.62% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 28, 2020, is 5.00%, 5.75%, 4.75% and 4.75% for the A, C, I and S Classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio seeks to achieve its investment objective by investing its assets in a combination of distinct investment strategies managed by different sub-advisers and, in some cases, by the Manager. The Manager is responsible for selecting and allocating assets among the Portfolio’s investment strategies. The principal investment strategies that will be employed by the Portfolio include the following: (i) Equity Strategies- the Portfolio will seek equity exposure using a combination of investment strategies that may include long-only strategies and long/short equity strategies; (ii) Merger Arbitrage Strategies- the Portfolio’s merger arbitrage strategy is to invest in equity securities of U.S. and foreign companies that are involved in publicly announced mergers, takeovers, tender offers, leveraged buyouts, spin-offs, liquidations and other corporate reorganizations; (iii) Real Estate-Related Strategies- the Portfolio’s real-estate related strategy is to invest, either directly or through other investment companies, in publicly traded real estate investment trusts (“REITs”), including REIT preferred stock, and securities of other publicly traded real estate and real estate-related companies; (iv) Master Limited Partnership (MLP) Strategies- the Portfolio will invest up to 25% of its assets in publicly traded MLP investments and exchange-traded notes (ETNs) that track MLPs; and (v) Risk-Adjusted Long/Short Debt Strategy- the risk-adjusted long/short debt strategy invests primarily in U.S. and European fixed income and fixed income-related securities, and may establish long and short positions in a variety of derivative and other instruments for risk management and investment purposes. Fixed income securities in which the strategy will invest are anticipated to generally consist of U.S. and European fixed income and fixed income-related securities of varying maturities and credit quality, including those that are rated below investment grade at the time of purchase (commonly referred to as “high-yield” or “junk” securities). The Portfolio may invest in companies of any size (from micro-cap to large-cap) in each of its investment strategies. While the Portfolio may generally invest in foreign securities without limitation, the Portfolio will limit its investments in emerging markets securities to 25% of the Portfolio’s assets.
PORTFOLIO ADVISOR COMMENTARY
Financial markets in 2020 experienced one of the most eventful and historic years on record. Over the span of twelve months, traders experienced a full market cycle that would typically occur over the course of several years. After waves of unprecedented levels of stimulus, financial markets saw a very robust recovery with asset classes across the board moving higher in the second half of the year.
In the last 6 months, the US has seen a myriad of positive catalysts that have supported the market. The announcement of the vaccine and successful rollout provides hope that life may return to normal later in the year. After spiking to 14.8% in April 2020, the US unemployment rate has gradually dropped to 6.2% as of February 2021. There is also continued stimulus support from both monetary and fiscal sources. We believe these variables ultimately support the case for strong economic growth over the next year.
10
INVESTMENT REVIEW (Continued) |
Since entering 2021, the story has become more focused on the bond market, Fed policy, and the implications that higher interest rates may have on other asset classes. The yield on 10-year treasuries has moved up significantly and the yield curve has steepened substantially. Interestingly, the US Dollar has continued to depreciate throughout 2020 and into 2021. We believe this is largely explained by the inverse correlation between the dollar and the twin deficits (i.e., the budget deficit and current account trade deficit). With the twin deficits having grown tremendously in the past year, we expect the long-term trend in the dollar is lower.
Since the mid 1980’s, the bond market has been supported by the long-term trend of declining interest rates, driven in part by the Fed’s ever expanding balance sheet and easy money policies. Global debt for developed economies are now approaching levels not seen since the end of World War II (the IMF estimates the developed world is holding around 125% of GDP). With the Fed’s aversion to negative rates, we believe we are very close to hitting a floor where rates can no longer decline. Additionally, the Fed has issued a policy of ‘inflation averaging’ around its 2% target and have hinted they are willing to let inflation run to hit this average. The trend in higher rates has largely benefitted value stocks while hurting growth stocks. Coming out of the pandemic we are seeing some investor preference moving towards an allocation of greater market exposures in 2021 as part of a macroeconomic ‘re-opening’ trade. We see this cyclical rotation back to value and small cap stocks implying greater structural upside for the small and mid cap stocks relative to the best performing large cap tech stocks of 2020.
We saw very strong performance from the portfolio’s MLP, Real Estate, and Small Cap exposures over the last six months. Our merger arbitrage exposure had the lowest performance; however, it still added value over the time frame. We have seen a strong rebound in global growth but believe the rebound will be “bumpy” in 2021. As such we remain underweight in what we see as higher beta portfolio positions in favor of lower beta strategies.
11
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $1,000,000 INVESTED IN THE
JAMES ALPHA MULTI STRATEGY ALTERNATIVE INCOME PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
James Alpha Structured Credit Value Portfolio, Class S | 3.8% |
IHS Markit Ltd. | 2.6% |
Willis Towers Watson PLC | 2.2% |
RealPage, Inc. | 1.8% |
Varian Medical Systems, Inc. | 1.6% |
Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. | 1.5% |
Equinix, Inc. | 1.4% |
Xilinx, Inc. | 1.3% |
Alexion Pharmaceuticals, Inc. | 1.2% |
Slack Technologies, Inc. | 1.2% |
* | Based on total net assets as of February 28, 2021. |
Excludes short-term investments and short-sales.
Portfolio Composition*
The S&P 500 Total Return Index is an unmanaged free-float capitalization-weighted index which measures the performance of 500 large-cap common stocks actively traded in the United States. Index returns assume reinvestment of dividends. Investors may not invest in the Index directly. Unlike the Fund’s returns, the Index does not reflect any fees or expenses. |
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
12
INVESTMENT REVIEW |
JAMES ALPHA MANAGED RISK DOMESTIC EQUITY PORTFOLIO
Advised by: James Alpha Advisors, LLC, New York, New York
Objective: The Portfolio seeks to provide capital appreciation as its primary objective.
Total Aggregate Return for the Period Ended February 28, 2021 | |||||
Six Months : | One Year: | Five Year: | Inception: | Inception: | |
9/1/20 – 2/28/21 | 3/1/20 – 2/28/21 | 3/1/16 – 2/28/21* | 7/31/15 – 2/28/21* | 8/17/17 – 2/28/21* | |
Class A | |||||
With Sales Charge | -2.12% | 4.67% | 5.34% | 3.74% | NA |
Without Sales Charge | 3.84% | 11.04% | 6.61% | 4.85% | NA |
Class C | |||||
With Sales Charge | 2.46% | 9.01% | 5.77% | 4.05% | NA |
Without Sales Charge | 3.43% | 10.01% | 5.77% | 4.05% | NA |
Class I | 3.96% | 11.19% | 6.98% | 5.24% | NA |
Class S | 4.27% | 11.83% | NA | NA | 7.87% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated March 22, 2021, is 1.95%, 2.69%, 1.70%, and 1.45% for the A, C, I, and S Classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
Under normal market conditions, the Portfolio will seek to achieve its objective by combining a long equity strategy with an options hedging strategy that seeks to provide protection during significant equity market downturns. The long equity strategy seeks to replicate the returns of the S&P 500® Index and to enhance these returns through the use of leverage. The Portfolio will achieve exposure to S&P 500® Index companies primarily through exchange-traded funds (“ETFs”), mutual funds and closed-end funds but may also gain exposure through direct investment in common and preferred stocks. The Portfolio’s Sub-Adviser will use its discretion on when to deploy the options hedging strategies, which will vary depending on option prices. The Sub-Adviser may also seek to enhance the returns of the Portfolio’s long equity strategy by buying or selling options on ETFs whose strategies seek to minimize volatility (volatility ETFs). Under normal circumstances, the Portfolio invests at least 80% of its net assets (plus any borrowings for investment purposes) in equity securities or investments that provide exposure to equity securities, and in derivatives and other instruments that have economic characteristics similar to such securities. The Portfolio intends to borrow money to create leverage of up to 30% of the Portfolio’s assets. The Portfolio plans to invest the assets obtained through leverage in additional instruments that provide exposure to the S&P 500® Index companies as well as in additional options as part of the Portfolio’s hedging strategies. The Portfolio will therefore have long exposure of up to 130% its assets. The Sub-Adviser uses proprietary valuation methods and risk measures as well as publicly available data regarding market volatility levels in managing the hedging strategies. The Sub-Adviser considers multiple factors in determining how much leverage to employ and expected market volatility levels, such as premium at risk, the time to expiration of options, the rate that options lose value as they near maturity, the risk of gain or loss resulting from changes in volatility, and the notional exposure of the options relative to the Portfolio’s long positions. The Sub-Adviser’s proprietary option valuation methods will be used to determine when to use a particular option strategy and when to realize gains on the Portfolio’s options positions.
13
INVESTMENT REVIEW (Continued) |
PORTFOLIO ADVISOR COMMENTARY
The reporting period represented the pre and post Presidential election phase of the 2020 Covid-19 recovery-related equity bull market. While the period began with some understandable pre-election equity uncertainty through late October, the equity market seemed to signal it preferred a greater fiscal expansionary policy of the type progressives were favoring. Announcements of vaccine trial success and the movement towards fiscal plan approval continued to show the market’s approval of synchronized monetary and fiscal policy. This created a powerful elixir for sentiment and risk taking but, interestingly, did not meaningfully drop the levels of expected volatility. With the whipsawing of performance from the first part of the period into the second part, the portfolio outperformed during the market’s early selloff, while underperforming as the market rallied back. While the equity market’s decline in September and October 2020 did benefit the portfolio’s derivatives position, the hedge over the entire reporting represented a cost the portfolio.
Looking ahead, we believe there is little doubt that the success of the vaccination process will drive the economic recovery/reopening and show to what degree the continuing levels of monetary and fiscal stimulus will impact inflation concerns. Despite powerful market performance, levels of the VIX along the futures curve remains elevated. This could imply a much greater range of potential market performance outcomes than one would normally expect at this stage of a recovery. We think some of this risk concern is associated with the fears of premature Fed interest rate increases, which they staunchly rebut, and the possibility for tax policy restructuring, again, earlier than one might anticipate.
14
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $1,000,000 INVESTED IN THE
JAMES ALPHA MANAGED RISK DOMESTIC EQUITY PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top Portfolio Holdings* | |
% of | |
Company | Net Assets |
SPDR S&P 500 ETF Trust | 84.3% |
* | Based on total net assets as of February 28, 2021. |
** | Based on total investments as of February 28, 2021. |
Excludes short-term investments and written options.
Portfolio Composition**
The S&P 500™ Index is an unmanaged index. Index returns assume reinvestment of dividends. Investors may not invest in the Index directly; unlike the Portfolio’s returns, the Index does not reflect any fees or expenses. |
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
15
INVESTMENT REVIEW |
JAMES ALPHA MANAGED RISK EMERGING MARKETS EQUITY PORTFOLIO
Advised by: James Alpha Advisors, LLC, New York, New York
Objective: The Portfolio seeks to provide capital appreciation as its primary objective.
Total Aggregate Return for the Period Ended February 28, 2021 | |||||
Six Months: | One Year: | Five Year: | Inception: | Inception: | |
9/1/20 – 2/28/21 | 3/1/20 – 2/28/21 | 3/1/16 – 2/28/21* | 7/31/15 – 2/28/21* | 8/17/17 – 2/28/21* | |
Class A | |||||
With Sales Charge | -1.56% | 0.03% | 3.23% | 0.23% | NA |
Without Sales Charge | 4.47% | 6.12% | 4.46% | 1.29% | NA |
Class C | |||||
With Sales Charge | 3.19% | 4.48% | 3.70% | 0.57% | NA |
Without Sales Charge | 4.13% | 5.44% | 3.70% | 0.57% | NA |
Class I | 4.71% | 6.48% | 4.92% | 1.73% | NA |
Class S | 5.03% | 7.04% | NA | NA | 2.33% |
* | Annualized performance for periods greater than one year. performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated March 22, 2021, is 2.80%, 3.54%, 2.35%, and 1.90% for the A, C, I, and S Classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
Under normal market conditions, the Portfolio will seek to achieve its objective by combining a long equity strategy with an options hedging strategy that seeks to provide protection during significant equity market downturns. The long equity strategy seeks to replicate the returns of the MSCI Emerging Markets Index and to enhance these returns through the use of leverage. The Portfolio will achieve exposure to MSCI Emerging Markets Index companies primarily through exchange-traded funds (“ETFs”), mutual funds and closed-end funds but may also gain exposure through direct investment in common and preferred stocks. The Portfolio’s Sub-Adviser will use its discretion on when to deploy the options hedging strategies, which will vary depending on option prices. The Sub-Adviser may also seek to enhance the returns of the Portfolio’s long equity strategy by buying or selling options on ETFs whose strategies seek to minimize volatility (volatility ETFs). Under normal circumstances, the Portfolio invests at least 80% of its net assets (plus any borrowings for investment purposes) in equity securities or investments that provide exposure to equity securities, and in derivatives and other instruments that have economic characteristics similar to such securities. The Portfolio intends to borrow money from banks to create leverage of up to 30% of the Portfolio’s assets. The Portfolio plans to invest the assets obtained through leverage in additional instruments that provide exposure to the MSCI Emerging Markets Index companies as well as in additional options as part of the Portfolio’s hedging strategies. The Portfolio will therefore have long exposure of up to 130% its assets. The Sub-Adviser uses proprietary valuation methods and risk measures as well as publicly available data regarding market volatility levels in managing the hedging strategies. The Sub-Adviser considers multiple factors in determining how much leverage to employ and expected market volatility levels, such as premium at risk, the time to expiration of options, the rate that options lose value as they near maturity, the risk of gain or loss resulting from changes in volatility, and the notional exposure of the options relative to the Portfolio’s long positions. The Sub-Adviser’s proprietary option valuation methods will be used to determine when to use a particular option strategy and when to realize gains on the Portfolio’s options positions.
PORTFOLIO ADVISOR COMMENTARY
The reporting period represented the pre and post Presidential election phase of the 2020 Covid-19 recovery-related equity bull market. While the period began with some understandable pre-election equity uncertainty through late October, the equity market seemed to signal it preferred a greater fiscal expansionary policy of the type progressives were favoring. Announcements of
16
INVESTMENT REVIEW (Continued) |
vaccine trial success and the movement towards fiscal plan approval continued to show the market’s approval of synchronized monetary and fiscal policy. This created a powerful elixir for sentiment and risk taking but, interestingly, did not meaningfully drop the levels of expected volatility. With the whipsawing of performance from the first part of the period into the second part, the portfolio outperformed during the market’s early selloff, while underperforming as the market rallied back. While the equity market’s decline in September and October 2020 did benefit the portfolio’s derivatives position, the hedge over the entire reporting represented a cost the portfolio.
Looking ahead, we believe there is little doubt that the success of the vaccination process will drive the economic recovery/reopening and show to what degree the continuing levels of monetary and fiscal stimulus will impact inflation concerns. Despite powerful market performance, levels of the VIX along the futures curve remains elevated. This could imply a much greater range of potential market performance outcomes than one would normally expect at this stage of a recovery. We think some of this risk concern is associated with the fears of premature Fed interest rate increases, which they staunchly rebut, and the possibility for tax policy restructuring, again, earlier than one might anticipate.
17
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $1,000,000 INVESTED IN THE
JAMES ALPHA MANAGED RISK EMERGING MARKETS EQUITY PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top Portfolio Holdings* | |
% of | |
Company | Net Assets |
iShares MSCI Emerging Markets ETF | 34.5% |
* | Based on total net assets as of February 28, 2021. |
** | Based on total investments as of February 28, 2021. |
Excludes short-term investments and written options.
Portfolio Composition**
The MSCI Emerging Markets Index captures large and mid cap representation across 23 Emerging Markets (EM) countries. With 830 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country. |
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
18
INVESTMENT REVIEW |
JAMES ALPHA HEDGED HIGH INCOME PORTFOLIO
Advised by: James Alpha Advisors, LLC, New York, New York
Objective: The Portfolio seeks to provide high current income as its primary objective .
Total Aggregate Return for the Period Ended February 28, 2021 | |||||
Six Months: | One Year: | Five Year: | Inception: | Inception: | |
9/1/20 – 2/28/21 | 3/1/20 – 2/28/21 | 3/1/16 – 2/28/21* | 12/31/13 – 2/28/21* | 8/17/17 – 2/28/21* | |
Class A | |||||
With Sales Charge | 0.82% | 0.01% | 4.49% | 2.43% | NA |
Without Sales Charge | 6.95% | 6.15% | 5.73% | 3.28% | NA |
Class C | |||||
With Sales Charge | 5.75% | 4.42% | 5.10% | 2.64% | NA |
Without Sales Charge | 6.75% | 5.42% | 5.10% | 2.64% | NA |
Class I | 7.26% | 6.72% | 6.25% | 3.75% | NA |
Class S | 7.48% | 7.18% | NA | NA | 4.19% |
* | Annualized performance for periods greater than one year. for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 28, 2020, is 3.37%, 4.13%, 3.13% and 3.12% for the A, C, I and S Classes, respectively.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio will seek to achieve its investment objectives by investing, under normal market conditions, primarily all of its assets in fixed income and fixed income-related securities, using a combination of long-short, long-only and hedging strategies. Fixed income securities in which the Portfolio will invest are anticipated to generally consist of U.S. and foreign fixed income and fixed income-related securities of varying maturities and credit quality, including those that are rated below investment grade at the time of purchase. It is expected that the Portfolio will keep its average duration equal to or below three years. Hedging strategies are used by the Portfolio in an attempt to mitigate risk, by hedging against changes in the price of other securities held by the Portfolio, and may involve purchasing put options, selling debt or equity securities short or writing covered call options. Derivative instruments may also be used for currency and interest rate hedging purposes. The Portfolio will invest its assets in a combination of distinct investment strategies managed by different sub-advisers and, in some cases, by the Manager. The Manager is responsible for selecting and allocating assets among the Portfolio’s investment strategies. The principal investment strategies that may be employed by the Portfolio include the following: (i) Senior Loan Floating Rate Strategy- the senior loan floating rate strategy concentrates on investment opportunities in senior-secured and second-lien loans and bonds; (ii) Short Duration High Yield Strategy- the short duration high yield strategy seeks to generate uncorrelated returns through stable income and reduced volatility; (iii) Relative Value Long/Short Debt Strategy- the relative value long/short debt strategy seeks to take advantage of perceived discrepancies in the market prices of certain fixed income securities, as well as certain convertible bond, closed-end fund, and derivative securities. Proprietary research tools include credit spread analysis; and (iv) Risk-Adjusted Long/Short Debt Strategy- the risk-adjusted long/short debt strategy invests primarily in U.S. and European fixed income and fixed income-related securities, and may establish long and short positions in a variety of derivative and other instruments for risk management and investment purposes. Fixed income securities in which the strategy will invest are anticipated to generally consist of U.S. and European fixed income and fixed income-related securities of varying maturities and credit quality, including those that are rated below investment grade at the time of purchase (commonly referred to as “high-yield” or “junk” securities). One or more of the above strategies may be achieved through investments in ETFs and other registered investment companies instead of direct investments. The Manager’s investment process is based on a consultative four step approach: 1) Asset Allocation – Defining objectives and constraints, determining asset classes, and determining strategic weightings based on objectives and constraints; 2) Manager Research – Sourcing and vetting investment managers; 3) Risk Management – Identifying, characterizing, and assessing portfolio risks, and suggesting ways to reduce risk; and 4) Portfolio Construction – Constructing the portfolio by incorporating input from all three of the above.
19
INVESTMENT REVIEW (Continued) |
PORTFOLIO ADVISOR COMMENTARY
Financial markets in 2020 experienced one of the most eventful and historic years on record. Over the span of twelve months, traders experienced a full market cycle that would typically occur over the course of several years. After waves of unprecedented levels of stimulus, financial markets saw a very robust recovery with asset classes across the board moving higher in the second half of the year.
In the last 6 months, the US has seen a myriad of positive catalysts that have supported the market. The announcement of the vaccine and successful rollout provides hope that life may return to normal later in the year. After spiking to 14.8% in April 2020, the US unemployment rate has gradually dropped to 6.2% as of February 2021. There is also continued stimulus support from both monetary and fiscal sources. We believe these variables ultimately support the case for strong economic growth over the next year.
Since entering 2021, the story has become more focused on the bond market, Fed policy, and the implications that higher interest rates may have on other asset classes. The yield on 10-year treasuries has moved up significantly and the yield curve has steepened substantially. Interestingly, the US Dollar has continued to depreciate throughout 2020 and into 2021. We believe this is largely explained by the inverse correlation between the dollar and the twin deficits (i.e., the budget deficit and current account trade deficit). With the twin deficits having grown tremendously in the past year, we expect the long-term trend in the dollar is lower.
Since the mid 1980’s, the bond market has been supported by the long-term trend of declining interest rates, driven in part by the Fed’s ever expanding balance sheet and easy money policies. Global debt for developed economies are now approaching levels not seen since the end of World War II (the IMF estimates the developed world is holding around 125% of GDP). With the Fed’s aversion to negative rates, we believe we are very close to hitting a floor where rates can no longer decline. Additionally, the Fed has issued a policy of ‘inflation averaging’ around its 2% target and have hinted they are willing to let inflation run to hit this average. The trend in higher rates has largely benefitted value stocks while hurting growth stocks. Coming out of the pandemic we are seeing some investor preference moving towards an allocation of greater market exposures in 2021 as part of a macroeconomic ‘re-opening’ trade. We see this cyclical rotation back to value and small cap stocks implying greater structural upside for the small and mid cap stocks relative to the best performing large cap tech stocks of 2020.
In the coming years, we believe fixed income products may not produce much income and could have limited capital gain potential going forward. We see significant convexity risks investing in longer-term fixed income assets. We believe a more opportunistic portfolio approach is required to maximize returns while managing portfolio risks should inflationary pressures heat up. We have attempted to position our portfolio for this environment with an allocation towards low-duration and hedged assets.
20
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $1,000,000 INVESTED IN THE
JAMES ALPHA HEDGED HIGH INCOME PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
James Alpha Structured Credit Value Portfolio Class S | 9.8% |
Babcock & Wilcox Enterprises Inc. | 2.1% |
DaVita Inc. | 1.9% |
Mountain Province Diamonds Inc. | 1.9% |
Home Point Capital Inc. | 1.4% |
ION Geophysical Corporation | 1.3% |
Cooke Omega Investments Inc. / Alpha VesselCompany Holding | 1.2% |
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF | 1.2% |
Monroe Capital Corporation | 1.1% |
Tunica-Biloxi Gaming Authority | 1.0% |
* | Based on total net assets as of February 28, 2021. |
Excludes short-term investments.
Portfolio Composition*
The Barclays U.S. Aggregate Bond Index, is made up of the Barclays Capital U.S. Government/Corporate Bond Index, Mortgage-Backed Securities Index, and Asset-Backed Securities Index, including securities that are of investment grade quality or better, have at least one year to maturity, and have an outstanding par value of at least $100 million. Investors cannot invest directly in an index. |
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
21
CONSOLIDATED SCHEDULES OF INVESTMENTS |
JAMES ALPHA MACRO PORTFOLIO (Unaudited) |
February 28, 2021 |
Shares | Value | |||||||
EXCHANGE TRADED FUNDS - 35.9% | ||||||||
ALTERNATIVE FUND - 0.0% | ||||||||
58 | IQ Merger Arbitrage ETF | $ | 1,895 | |||||
COMMODITY FUNDS - 5.1% | ||||||||
453 | Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 7,873 | ||||||
10,284 | iShares S&P GSCI Commodity Indexed Trust * | 146,444 | ||||||
3,218 | ProShares UltraShort Bloomberg Crude Oil * | 23,491 | ||||||
967 | SPDR Gold Shares + * | 156,470 | ||||||
1,786 | United States Commodity Index Fund * | 64,925 | ||||||
7,272 | United States Natural Gas Fund LP * | 75,047 | ||||||
474,250 | ||||||||
EQUITY FUNDS - 12.6% | ||||||||
1,807 | AdvisorShares STAR Global Buy-Write ETF | 66,856 | ||||||
9 | CI First Asset Active Utility & Infrastructure ETF | 91 | ||||||
7,715 | Core Alternative ETF | 218,566 | ||||||
421 | Direxion NASDAQ-100 Equal Weighted Index Shares | 32,059 | ||||||
359 | First Trust Financial AlphaDEX Fund | 14,084 | ||||||
193 | Global X MSCI Argentina ETF | 5,649 | ||||||
403 | Invesco KBW High Dividend Yield Financial ETF | 7,439 | ||||||
1,541 | Invesco S&P 500 Equal Weight ETF | 206,802 | ||||||
633 | iShares Currency Hedged MSCI EAFE ETF | 19,838 | ||||||
367 | iShares Exponential Technologies ETF | 21,547 | ||||||
127 | iShares Latin America 40 ETF | 3,369 | ||||||
129 | iShares Mortgage Real Estate ETF | 4,360 | ||||||
709 | iShares MSCI All Country Asia ex Japan ETF | 67,107 | ||||||
123 | iShares MSCI Brazil ETF | 3,924 | ||||||
1,497 | iShares MSCI EAFE ETF | 110,793 | ||||||
1,858 | iShares MSCI Emerging Markets ETF | 99,830 | ||||||
1,126 | iShares MSCI Frontier and Select EM ETF | 32,496 | ||||||
64 | iShares MSCI Japan ETF | 4,366 | ||||||
26 | iShares S&P/TSX Global Gold Index ETF | 347 | ||||||
546 | iShares STOXX Europe 600 Basic Resources UCITS ETF | 38,386 | ||||||
1,749 | SPDR S&P Metals & Mining ETF | 62,719 | ||||||
847 | VanEck Vectors Africa Index ETF | 17,779 | ||||||
110 | VanEck Vectors Russia ETF | 2,692 | ||||||
983 | Vanguard FTSE Emerging Markets ETF | 51,598 | ||||||
984 | WBI BullBear Rising Income 3000 ETF | 27,628 | ||||||
527 | WisdomTree Global ex-US Quality Dividend Growth Fund | 40,595 | ||||||
1,160,920 | ||||||||
FIXED INCOME FUNDS - 16.1% | ||||||||
2,593 | Highland/iBoxx Senior Loan ETF | 41,877 | ||||||
387 | Invesco Senior Loan ETF | 8,591 | ||||||
488 | iShares 7-10 Year Treasury Bond ETF | 56,491 | ||||||
19,476 | iShares Barclays USD Asia High Yield Bond Index ETF | 202,745 | ||||||
435 | iShares Floating Rate Bond ETF | 22,120 | ||||||
2,153 | iShares iBoxx High Yield Corporate Bond ETF | 186,105 | ||||||
1,498 | iShares JP Morgan USD Emerging Markets Bond ETF | 164,825 | ||||||
75 | iShares MBS ETF | 8,186 | ||||||
2,399 | SPDR Bloomberg Barclays Euro High Yield Bond UCITS ETF | 165,460 | ||||||
23 | SPDR Bloomberg Barclays High Yield Bond ETF | 2,488 | ||||||
255 | SPDR Doubleline Total Return Tactical ETF | 12,431 | ||||||
3,178 | VanEck Vectors Emerging Markets High Yield Bond ETF | 76,018 | ||||||
8,574 | Vanguard Total International Bond ETF | 490,176 | ||||||
1,601 | WisdomTree Emerging Markets Local Debt Fund | 52,817 | ||||||
1,490,330 | ||||||||
MIXED ALLOCATION FUND - 2.1% | ||||||||
8,268 | iShares Morningstar Multi-Asset Income ETF | 193,967 | ||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $3,157,472) | 3,321,362 | |||||||
EXCHANGE TRADED NOTES - 0.1% | ||||||||
COMMODITY NOTES - 0.1% | ||||||||
71 | iPath Series B Bloomberg Grains Subindex Total Return ETN * | 4,215 | ||||||
TOTAL EXCHANGE TRADED NOTE (Cost - $3,305) | ||||||||
MUTUAL FUNDS - 42.8% | ||||||||
ALTERNATIVE FUNDS - 8.7% | ||||||||
31,732 | Altegris Futures Evolution Strategy Fund, Class I | 259,250 | ||||||
68,055 | AQR Managed Futures Strategy Fund, Class I | 549,886 | ||||||
809,136 | ||||||||
FIXED INCOME FUND - 34.1% | ||||||||
283,066 | James Alpha Structured Credit Value Portfolio, Class S # | 3,153,353 | ||||||
TOTAL MUTUAL FUNDS (Cost - $3,820,584) | 3,962,489 |
See accompanying notes to consolidated financial statements.
22
CONSOLIDATED SCHEDULES OF INVESTMENTS |
JAMES ALPHA MACRO PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Shares | Value | |||||||
SHORT-TERM INVESTMENT - 10.0% | ||||||||
922,537 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.01% ^ (Cost - $922,537) | $ | 922,537 | |||||
TOTAL INVESTMENTS - 88.8% (Cost - $7,903,898) | 8,210,603 | |||||||
OTHER ASSETS AND LIABILITIES - 11.2% | 1,034,642 | |||||||
NET ASSETS - 100.0% | $ | 9,245,245 |
* | Non-income producing securities. |
+ | All or a portion of this investment is a holding of the James Alpha Cayman Commodity Fund I Ltd. |
# | Affiliated investments. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on February 28, 2021. |
ETF - Exhange Traded Fund
ETN - Exchange Traded Note
GSCI - Goldman Sachs Commodity Index
MBS - Mortgage Backed Security
MSCI - Morgan Stanley Capital International
SPDR - Standard & Poor’s Depository Receipt
UCITS - Undertakings for Collective Investments in Transferable Securities
Forward Currency Contracts
Settlement | Units to | US Dollar | Appreciation/ | |||||||||||||||||||
Date | Receive/Deliver | Counterparty | In Exchange For | Value | (Depreciation) | |||||||||||||||||
To Buy: | ||||||||||||||||||||||
3/24/2021 | 32,220 | AUD | BNY Mellon | $ | 25,352 | USD | $ | 24,947 | $ | (405 | ) | |||||||||||
3/24/2021 | 59,082 | CHF | BNY Mellon | 65,954 | USD | 65,310 | (644 | ) | ||||||||||||||
3/24/2021 | 197,152 | EUR | BNY Mellon | 239,015 | USD | 239,449 | 434 | |||||||||||||||
3/24/2021 | 3,753,450 | JPY | BNY Mellon | 35,570 | USD | 35,240 | (330 | ) | ||||||||||||||
3/24/2021 | 176,108 | MXN | BNY Mellon | 8,600 | USD | 8,399 | (201 | ) | ||||||||||||||
To Sell: | ||||||||||||||||||||||
3/24/2021 | (70,822 | ) | CAD | BNY Mellon | (56,078 | ) | USD | (55,945 | ) | 133 | ||||||||||||
3/24/2021 | (19,755 | ) | GBP | BNY Mellon | (27,696 | ) | USD | (27,624 | ) | 72 | ||||||||||||
$ | (941 | ) |
TOTAL RETURN SWAP - 8.5% | 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 64,270, with a receivable rate of 0.38%. The James Alpha Index features a basket of commodity trading advisor (“CTA”) programs selected by James Alpha Advisors, LLC from an approved list of third-party managers offered through Deutsche Bank AG on its DB Select platform. The James Alpha Index comprises a diversified collection of strategy and style types, including trend following, short-term trading, discretionary, global macro, and sector specialists. According to the terms of the swap, James Alpha Advisors, LLC can modify the James Alpha Index as frequently as daily, on a T+1 basis, by adjusting the notional value of the James Alpha Index, or by adding, deleting, or re-weighting the constituent CTA programs. The swap became effective on December 7, 2016. The maturity date of the swap is December 9, 2022. (Notional Value 6,400,907) | $ | 785,385 | ||
$ | 785,385 | |||
TOTAL RETURN SWAP - (0.1)% | 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 weighting of each constituent within the GS i-Select Index. The GS i-Select Index is comprised a diversified collection of strategy and style types, including equity, interest rates, FX, commodities, and credit based strategies such as imbalance, volatility carry, carry, momentum, low beta, and quality. According to the terms of the GS i-Select Index, James Alpha Advisors, LLC can modify the GS i-Select Index as frequently as daily, by adjusting the notional value of the GS i-Select Index, or by adding, deleting, or re-weighting the constituent Indexes in the GS i-Select Index. The swap became effective on May 19, 2020, and has a term of one year there from unless terminated earlier. The number of shares is 31,419. (Notional Value $3,162,664) | $ | (7,240 | ) | |
$ | (7,240 | ) | ||
TOTAL RETURN SWAP - 0.0% | Unrealized Gain | |||
The Goldman Sachs Intraday Momentum ES Series 1 Excess Return Strategy (“GS Intraday Momentum”) aims to capture intraday trend risk premium on the S&P 500. There is empirical evidence that the returns in the earlier part of the day tend to continue in the same direction in the subsequent part of the day, across several markets, including equities. The strategy attempts to monetize this historical tendency for intraday trends from the previous close to extend unto the following close: 1) Every day after the open, the strategy buys futures if markets are rising since the previous close; conversely, it sells futures if markets are falling since previous close. 2) The strategy monitors market moves every 30-minutes to reactively modify its positioning if a new trend appears. 3) All positions are exited at the close. The swap became effective on December 11, 2020, and has a maturity date of February 4, 2022. The number of shares is 1,089. (Notional Value $126,197) | $ | — | ||
$ | — |
See accompanying notes to consolidated financial statements.
23
CONSOLIDATED SCHEDULES OF INVESTMENTS |
JAMES ALPHA MACRO PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
TOTAL RETURN SWAP - (0.0)% | Unrealized Loss | |||
The Goldman Sachs Long Gamma US Series 10 Excess Return Strategy (“GS Long Gamma”) attempts to provide protection in tail scenarios through a levered position in delta-hedged put options. The strategy buys 12m 10-delta S&P Put options and delta-hedges them to attempt to neutralize the inherent short market exposure in typical markets. The strategy takes a long position in volatility and is best-positioned for left-tail events with very high realized volatility. The swap became effective on December 11, 2020, and has a maturity date of February 4, 2022. The number of shares is 1,801. (Notional Value $259,591) | $ | (3,088 | ) | |
$ | (3,088 | ) |
James Alpha Index Swap Top 50 Holdings
FUTURES CONTRACTS* | ||||||||||||||||||||
Percentage of | ||||||||||||||||||||
Unrealized | Total Return | |||||||||||||||||||
Number of | Notional Value at | Appreciation / | Swap Unrealized | |||||||||||||||||
Contracts | Open Long Future Contracts | Counterparty | February 28, 2021 | Expiration | (Depreciation) | Gain/(Loss) | ||||||||||||||
4 | 2 year Euro-Schatz | Deutsche Bank | $ | 528,206 | 3/8/2021 | $ | (308 | ) | (0.04 | )% | ||||||||||
2 | 2 year Euro-Schatz | Deutsche Bank | 273,062 | 6/8/2021 | 48 | 0.01 | % | |||||||||||||
1 | 3 month Euro (EURIBOR) | Deutsche Bank | 346,464 | 9/19/2022 | (792 | ) | (0.10 | )% | ||||||||||||
0 | 3 month Euro (EURIBOR) | Deutsche Bank | 149,403 | 12/19/2022 | (41 | ) | (0.01 | )% | ||||||||||||
6 | 3 month Sterling | Deutsche Bank | 968,403 | 12/15/2021 | (500 | ) | (0.06 | )% | ||||||||||||
4 | 3 month Sterling | Deutsche Bank | 722,503 | 3/16/2022 | (868 | ) | (0.11 | )% | ||||||||||||
4 | 3 month Sterling | Deutsche Bank | 680,403 | 9/15/2021 | (363 | ) | (0.05 | )% | ||||||||||||
2 | 3 month Sterling | Deutsche Bank | 350,405 | 6/16/2021 | (109 | ) | (0.01 | )% | ||||||||||||
2 | 3 month Sterling | Deutsche Bank | 284,690 | 6/15/2022 | (414 | ) | (0.05 | )% | ||||||||||||
4 | 3 year Australian Treasury Bond | Deutsche Bank | 405,118 | 3/15/2021 | (1,957 | ) | (0.25 | )% | ||||||||||||
1 | 10 year Italian Bond | Deutsche Bank | 179,962 | 3/8/2021 | (8,512 | ) | (1.08 | )% | ||||||||||||
3 | AUD/USD | Deutsche Bank | 243,113 | 3/15/2021 | (7,274 | ) | (0.93 | )% | ||||||||||||
3 | CAD/USD | Deutsche Bank | 252,671 | 3/16/2021 | 3,136 | 0.40 | % | |||||||||||||
40 | DJ EURO STOXX Banks Future | Deutsche Bank | 202,943 | 3/19/2021 | (11,065 | ) | (1.41 | )% | ||||||||||||
1 | E-Mini Nasdaq-100 | Deutsche Bank | 181,291 | 3/19/2021 | (87,681 | ) | (11.16 | )% | ||||||||||||
1 | EUR/JPY | Deutsche Bank | 167,334 | 3/15/2021 | 4,039 | 0.51 | % | |||||||||||||
1 | E urodollar | Deutsche Bank | 174,923 | 6/13/2022 | (89 | ) | (0.01 | )% | ||||||||||||
2 | GBP/USD | Deutsche Bank | 204,398 | 3/15/2021 | 10,333 | 1.32 | % | |||||||||||||
1 | Hang Seng Index | Deutsche Bank | 249,391 | 3/30/2021 | 4,722 | 0.60 | % | |||||||||||||
$ | (97,695 | ) | ||||||||||||||||||
Percentage of | ||||||||||||||||||||
Unrealized | Total Return | |||||||||||||||||||
Number of | Notional Value at | Appreciation / | Swap Unrealized | |||||||||||||||||
Contracts | Open Short Future Contracts | Counterparty | February 28, 2021 | Expiration | (Depreciation) | Gain/(Loss) | ||||||||||||||
(2) | 2 year US Treasury Notes | Deutsche Bank | $ | 473,839 | 6/30/2021 | $ | (1,659 | ) | (0.21 | )% | ||||||||||
(4) | 3 month Euro (EURIBOR) | Deutsche Bank | 1,299,599 | 6/19/2023 | 1,612 | 0.21 | % | |||||||||||||
(1) | 3 month Sterling | Deutsche Bank | 187,765 | 12/20/2023 | 816 | 0.10 | % | |||||||||||||
(10) | 3 month Sterling | Deutsche Bank | 1,781,066 | 12/21/2022 | 5,346 | 0.68 | % | |||||||||||||
(2) | 30 year US Treasury Bonds | Deutsche Bank | 384,048 | 6/21/2021 | 12,533 | 1.60 | % | |||||||||||||
(1) | 5 year US Treasury Notes | Deutsche Bank | 185,341 | 6/30/2021 | (2,161 | ) | (0.28 | )% | ||||||||||||
(2) | 10 year Australian Treasury Bond Future | Deutsche Bank | 174,090 | 3/15/2021 | (17,081 | ) | (2.17 | )% | ||||||||||||
(1) | 10 year Japanese Government Bond | Deutsche Bank | 1,167,333 | 3/15/2021 | (56,322 | ) | (7.17 | )% | ||||||||||||
(5) | 10 year US Treasury Notes | Deutsche Bank | 659,755 | 6/21/2021 | (86,341 | ) | (10.99 | )% | ||||||||||||
(5) | Euro-BOBL | Deutsche Bank | 738,083 | 3/8/2021 | (251 | ) | (0.03 | )% | ||||||||||||
(3) | Euro-BUND | Deutsche Bank | 555,639 | 3/8/2021 | (4,119 | ) | (0.52 | )% | ||||||||||||
(1) | Eurodollar | Deutsche Bank | 267,950 | 12/18/2023 | 1,363 | 0.17 | % | |||||||||||||
(1) | Eurodollar | Deutsche Bank | 333,893 | 12/19/2022 | 53 | 0.01 | % | |||||||||||||
(1) | Eurodollar | Deutsche Bank | 359,081 | 6/19/2023 | (3,309 | ) | (0.42 | )% | ||||||||||||
(2) | Long Gilt Future | Deutsche Bank | 298,452 | 6/28/2021 | 7,512 | 0.96 | % | |||||||||||||
(1) | Mini Japanese Goverment Bond Future | Deutsche Bank | 153,244 | 3/12/2021 | 1,423 | 0.18 | % | |||||||||||||
$ | (140,585 | ) | ||||||||||||||||||
TOTAL FUTURES CONTRACTS | $ | (238,280 | ) |
PURCHASED PUT OPTIONS* | ||||||||||||||||||||||||||
Percentage of | ||||||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||||
Notional Value at | Strike | Unrealized | Swap Unrealized | |||||||||||||||||||||||
Description | Counterparty | February 28, 2021 | Expiration | Price | Appreciation | Gain | ||||||||||||||||||||
CNH/USD | Deutsche Bank | $ | 160,445 | 11/17/2021 | $ | 6.00 | $ | 94 | 0.01 | % | ||||||||||||||||
PLN/EUR | Deutsche Bank | 218,789 | 5/18/2021 | 4.30 | 47 | 0.01 | % | |||||||||||||||||||
TOTAL PURCHASED PUT OPTIONS | 141 |
WRITTEN PUT OPTIONS* | ||||||||||||||||||||||||
Percentage of | ||||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Notional Value at | Strike | Unrealized | Swap Unrealized | |||||||||||||||||||||
Description | Counterparty | February 28, 2021 | Expiration | Price | Depreciation | Gain | ||||||||||||||||||
PLN/EUR | Deutsche Bank | $ | 218,789 | 5/18/2021 | $ | 4.15 | $ | (1 | ) | 0.00% | ||||||||||||||
TOTAL PURCHASED PUT OPTIONS | (1 | ) |
See accompanying notes to consolidated financial statements.
24
CONSOLIDATED SCHEDULES OF INVESTMENTS |
JAMES ALPHA MACRO PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
James Alpha Index Swap Top 50 Holdings (Continued)
FORWARD CURRENCY CONTRACTS +* | |||||||||||||||||||||
Unrealized | |||||||||||||||||||||
Settlement | Units to | US Dollar | Appreciation / | ||||||||||||||||||
Date | Receive/Deliver | Counterparty | In Exchange For | Value | (Depreciation) | ||||||||||||||||
To Buy: | |||||||||||||||||||||
3/17/2021 | 14,437,643 | JPY | Deutsche Bank | $ | 181,500 | AUD | $ | 186,331 | $ | 4,831 | |||||||||||
3/1/2021 | 258,970 | USD | Deutsche Bank | 212,224 | EUR | 210,382 | (1,842 | ) | |||||||||||||
3/17/2021 | 160,065 | USD | Deutsche Bank | 210,158 | AUD | 212,478 | 2,320 | ||||||||||||||
3/17/2021 | 226,977 | USD | Deutsche Bank | 186,277 | EUR | 185,028 | (1,249 | ) | |||||||||||||
3/17/2021 | 235,333 | USD | Deutsche Bank | 171,947 | GBP | 176,470 | 4,523 | ||||||||||||||
3/17/2021 | 140,099 | USD | Deutsche Bank | 195,829 | NZD | 197,886 | 2,057 | ||||||||||||||
3/26/2021 | 187,909 | USD | Deutsche Bank | 154,025 | EUR | 153,612 | (413 | ) | |||||||||||||
10,227 | |||||||||||||||||||||
To Sell: | |||||||||||||||||||||
3/17/2021 | 315,238 | CAD | Deutsche Bank | $ | 247,645 | USD | $ | 248,600 | $ | 955 | |||||||||||
2/26/2021 | 16,307,422 | JPY | Deutsche Bank | 154,529 | USD | 152,873 | (1,656 | ) | |||||||||||||
3/26/2021 | 3,188,950 | MXN | Deutsche Bank | 155,157 | USD | 151,817 | (3,340 | ) | |||||||||||||
3/17/2021 | 305,685 | SGO | Deutsche Bank | 229,920 | USD | 229,533 | (387 | ) | |||||||||||||
3/2/2021 | 554,569 | USD | Deutsche Bank | 457,256 | EUR | 457,217 | (39 | ) | |||||||||||||
(4,467 | ) | ||||||||||||||||||||
TOTAL FORWARD CURRENCY CONTRACTS | $ | 5,760 |
+ | Foreign currency transactions are done by notional and not by contracts |
* | Non-income producing securities Currency Abbreviations: |
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
JPY - Japanese Yen
MXN - Mexican Peso
USD - U.S. Dollar
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 | February 28, 2021 | Expiration | ||||||||
0 | 3 Month Euro Euribor Future | Goldman Sachs | $ | 131,471 | 6/14/2021 | |||||||
0 | 3 Month Euro Euribor Future | Goldman Sachs | 131,464 | 9/13/2021 | ||||||||
0 | 3 Month Euro Euribor Future | Goldman Sachs | 131,483 | 12/13/2021 | ||||||||
0 | 3 Month Euro Euribor Future | Goldman Sachs | 131,482 | 3/14/2022 | ||||||||
0 | 3 Month Euro Euribor Future | Goldman Sachs | 131,478 | 6/13/2022 | ||||||||
2 | 90 Day Sterling Future | Goldman Sachs | 331,850 | 6/16/2021 | ||||||||
2 | 90 Day Sterling Future | Goldman Sachs | 331,923 | 9/15/2021 | ||||||||
2 | 90 Day Sterling Future | Goldman Sachs | 331,907 | 12/15/2021 | ||||||||
2 | 90 Day Sterling Future | Goldman Sachs | 331,661 | 3/16/2022 | ||||||||
2 | 90 Day Sterling Future | Goldman Sachs | 331,631 | 6/15/2022 | ||||||||
1 | CBOT 10 Year US Treasury Note | Goldman Sachs | 67,784 | 6/21/2021 | ||||||||
2 | CBOT 2 Year US Treasury Note Future | Goldman Sachs | 349,548 | 6/30/2021 | ||||||||
3 | CBOT 5 Year US Treasury Note | Goldman Sachs | 353,736 | 6/30/2021 | ||||||||
3 | CBOT 5 Year US Treasury Note | Goldman Sachs | 319,224 | 6/30/2021 | ||||||||
1 | CBOT Corn Future | Goldman Sachs | 19,499 | 5/14/2021 | ||||||||
1 | CME 3 Month Eurodollar Future | Goldman Sachs | 348,856 | 6/14/2021 | ||||||||
1 | CME 3 Month Eurodollar Future | Goldman Sachs | 348,835 | 9/13/2021 | ||||||||
1 | CME 3 Month Eurodollar Future | Goldman Sachs | 348,684 | 12/13/2021 | ||||||||
1 | CME 3 Month Eurodollar Future | Goldman Sachs | 348,793 | 3/14/2022 | ||||||||
1 | CME 3 Month Eurodollar Future | Goldman Sachs | 348,747 | 6/13/2022 | ||||||||
3 | CME E-Mini NASDAQ 100 Index Future | Goldman Sachs | 38,008 | 3/19/2021 | ||||||||
11 | CME E-mini Russell 2000 Index Futures | Goldman Sachs | 24,227 | 3/19/2021 | ||||||||
2 | Eurex 5 Year Euro BOBL Future | Goldman Sachs | 342,438 | 3/8/2021 | ||||||||
0 | Euro-BTP Italian Bond Futures | Goldman Sachs | 38,414 | 6/8/2021 | ||||||||
19 | ICE US MSCI Emerging Markets EM Index Futures | Goldman Sachs | 25,618 | 3/19/2021 | ||||||||
99,384 | Korea Stock Exchange KOSPI 200 Index Future | Goldman Sachs | 36,264 | 3/11/2021 | ||||||||
0 | LME Primary Aluminum Future | Goldman Sachs | 20,502 | 7/19/2021 | ||||||||
0 | LME Primary Aluminum Future | Goldman Sachs | 20,542 | 8/16/2021 | ||||||||
1 | NYBOT CSC Number 11 World Sugar Future | Goldman Sachs | 19,649 | 6/30/2021 | ||||||||
1 | NYBOT CSC Number 11 World Sugar Future | Goldman Sachs | 19,339 | 9/30/2021 | ||||||||
1,586 | TSE TOPIX (Tokyo Price Index) Future | Goldman Sachs | 27,927 | 3/12/2021 | ||||||||
Number of | Notional Value at | |||||||||||
Contracts | Open Short Future Contracts | Counterparty | February 28, 2021 | Expiration | ||||||||
0 | CBOT Soybean Future | Goldman Sachs | $ | 30,777 | 5/14/2021 | |||||||
0 | CBOT US Long Bond Future | Goldman Sachs | 75,165 | 6/21/2021 | ||||||||
1 | Eurex 10 Year Euro BUND Future | Goldman Sachs | 167,452 | 3/8/2021 | ||||||||
1 | Eurex 2 Year Euro SCHATZ Future | Goldman Sachs | 81,475 | 3/8/2021 | ||||||||
1 | Eurex 2 Year Euro SCHATZ Future | Goldman Sachs | 162,905 | 6/8/2021 | ||||||||
0 | LME Primary Aluminum Future | Goldman Sachs | 19,440 | 4/19/2021 | ||||||||
0 | LME Primary Aluminum Future | Goldman Sachs | 19,522 | 5/17/2021 | ||||||||
0 | Long Gilt Future | Goldman Sachs | 40,080 | 6/28/2021 | ||||||||
1 | NYBOT CSC C Coffee Future | Goldman Sachs | 26,436 | 5/18/2021 | ||||||||
2 | NYBOT CSC Number 11 World Sugar Future | Goldman Sachs | 33,951 | 4/30/2021 | ||||||||
0 | SFE 10 Year Australian Bond Future | Goldman Sachs | 45,287 | 3/15/2021 | ||||||||
0 | TSE Japanese 10 Year Bond Future | Goldman Sachs | 263,674 | 3/11/2021 |
See accompanying notes to consolidated financial statements.
25
CONSOLIDATED SCHEDULES OF INVESTMENTS |
JAMES ALPHA MACRO PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Goldman Sachs i-Select III Series 88 Excess Return Strategy Top 50 Holdings (Continued) | ||||||||||||||||||
EQUITY FORWARDS | ||||||||||||||||||
Number of | Notional Value at | Exercise | ||||||||||||||||
Contracts | Open Short Equity Forwards | Counterparty | February 28, 2021 | Expiration | Price | Market Value | ||||||||||||
21 | S&P 500 Index | Goldman Sachs | $ | 80,287 | 3/5/2021 | $ | 3,810.00 | $ | 110 | |||||||||
WRITTEN PUT OPTIONS | ||||||||||||||||||
Number of | Notional Value at | Exercise | ||||||||||||||||
Contracts | Open Written Put Options | Counterparty | February 28, 2021 | Expiration | Price | Market Value | ||||||||||||
55 | S&P 500 Index | Goldman Sachs | $ | 208,100 | 3/5/2021 | $ | 3,635 | $ | 871 | |||||||||
54 | S&P 500 Index | Goldman Sachs | 205,588 | 3/5/2021 | 3,575 | 534 | ||||||||||||
220 | S&P 500 Index | Goldman Sachs | 840,058 | 3/5/2021 | 3,475 | 1,036 | ||||||||||||
2,441 | ||||||||||||||||||
CREDIT DEFAULT SWAP | ||||||||||||||||||
Number of | Notional Value at | |||||||||||||||||
Contracts | Open Credit Default Swap | Counterparty | February 28, 2021 | Expiration | Value | |||||||||||||
140,620 | Markit CDX North America Investment Grade Index | Goldman Sachs | 140,620 | 12/20/2025 | $ | (3,184 | ) | |||||||||||
20,445 | Markit CDX North America High Yield Index | Goldman Sachs | 20,445 | 12/20/2025 | (1,873 | ) | ||||||||||||
46,030 | Markit iTraxx Europe Index | Goldman Sachs | 55,871 | 12/20/2025 | (1,424 | ) | ||||||||||||
(6,481 | ) | |||||||||||||||||
* | 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. |
Goldman Sachs Intraday Momentum ES Series 1 Excess Return Strategy Top 50 Holdings
NO OPEN POSITIONS |
Goldman Sachs Long Gamma US Series 10 Total Return Strategy Top 50 Holdings |
EQUITY FORWARDS | ||||||||||||||||||
Number of | Notional Value at | Exercise | ||||||||||||||||
Contracts | Open Short Equity Forwards | Counterparty | February 28, 2021 | Expiration | Price | Market Value | ||||||||||||
7 | S&P 500 Index | Goldman Sachs | $ | 25,509 | 6/18/2021 | $ | 3,830 | $ | (203 | ) | ||||||||
8 | S&P 500 Index | Goldman Sachs | 29,576 | 9/17/2021 | 3,825 | (271 | ) | |||||||||||
13 | S&P 500 Index | Goldman Sachs | 50,030 | 12/17/2021 | 3,825 | (594 | ) | |||||||||||
6 | S&P 500 Index | Goldman Sachs | 21,948 | 3/18/2022 | 3,825 | (314 | ) | |||||||||||
(1,382 | ) |
PURCHASED PUT OPTIONS | ||||||||||||||||||
Number of | Notional Value at | Exercise | ||||||||||||||||
Contracts | Open Written Put Options | Counterparty | February 28, 2021 | Expiration | Price | Market Value | ||||||||||||
4 | S&P 500 Index | Goldman Sachs | $ | 16,964 | 3/19/2021 | $ | 2,150 | $ | 254 | |||||||||
6 | S&P 500 Index | Goldman Sachs | 21,043 | 3/19/2021 | 2,100 | 1 | ||||||||||||
4 | S&P 500 Index | Goldman Sachs | 16,872 | 3/19/2021 | 1,800 | 2 | ||||||||||||
4 | S&P 500 Index | Goldman Sachs | 16,211 | 3/19/2021 | 1,575 | 3 | ||||||||||||
4 | S&P 500 Index | Goldman Sachs | 16,861 | 6/18/2021 | 2,425 | 0 | ||||||||||||
5 | S&P 500 Index | Goldman Sachs | 17,862 | 6/18/2021 | 2,400 | 66 | ||||||||||||
6 | S&P 500 Index | Goldman Sachs | 21,251 | 6/18/2021 | 2,250 | 67 | ||||||||||||
4 | S&P 500 Index | Goldman Sachs | 16,026 | 6/18/2021 | 2,175 | 60 | ||||||||||||
5 | S&P 500 Index | Goldman Sachs | 19,695 | 6/18/2021 | 2,150 | 43 | ||||||||||||
5 | S&P 500 Index | Goldman Sachs | 18,452 | 6/18/2021 | 2,125 | 51 | ||||||||||||
5 | S&P 500 Index | Goldman Sachs | 17,823 | 6/18/2021 | 2,075 | 46 | ||||||||||||
5 | S&P 500 Index | Goldman Sachs | 20,080 | 6/18/2021 | 2,050 | 41 | ||||||||||||
6 | S&P 500 Index | Goldman Sachs | 23,745 | 6/18/2021 | 2,025 | 40 | ||||||||||||
6 | S&P 500 Index | Goldman Sachs | 23,407 | 6/18/2021 | 2,000 | 46 | ||||||||||||
5 | S&P 500 Index | Goldman Sachs | 17,303 | 6/18/2021 | 1,975 | 44 | ||||||||||||
5 | S&P 500 Index | Goldman Sachs | 17,294 | 6/18/2021 | 1,950 | 31 | ||||||||||||
5 | S&P 500 Index | Goldman Sachs | 18,822 | 6/18/2021 | 1,900 | 30 | ||||||||||||
5 | S&P 500 Index | Goldman Sachs | 20,457 | 6/18/2021 | 1,825 | 30 | ||||||||||||
7 | S&P 500 Index | Goldman Sachs | 27,760 | 6/18/2021 | 1,775 | 28 | ||||||||||||
6 | S&P 500 Index | Goldman Sachs | 21,323 | 6/18/2021 | 1,750 | 35 | ||||||||||||
5 | S&P 500 Index | Goldman Sachs | 17,499 | 6/18/2021 | 1,675 | 26 | ||||||||||||
5 | S&P 500 Index | Goldman Sachs | 19,860 | 6/18/2021 | 1,575 | 25 | ||||||||||||
6 | S&P 500 Index | Goldman Sachs | 23,066 | 9/17/2021 | 2,500 | 18 | ||||||||||||
4 | S&P 500 Index | Goldman Sachs | 16,421 | 9/17/2021 | 2,400 | 230 | ||||||||||||
5 | S&P 500 Index | Goldman Sachs | 18,201 | 9/17/2021 | 2,325 | 140 | ||||||||||||
5 | S&P 500 Index | Goldman Sachs | 18,480 | 9/17/2021 | 2,275 | 135 | ||||||||||||
7 | S&P 500 Index | Goldman Sachs | 27,803 | 9/17/2021 | 2,250 | 127 | ||||||||||||
6 | S&P 500 Index | Goldman Sachs | 23,720 | 9/17/2021 | 2,225 | 185 | ||||||||||||
5 | S&P 500 Index | Goldman Sachs | 17,694 | 9/17/2021 | 1,950 | 149 | ||||||||||||
7 | S&P 500 Index | Goldman Sachs | 27,388 | 9/17/2021 | 1,900 | 74 | ||||||||||||
11 | S&P 500 Index | Goldman Sachs | 41,009 | 9/17/2021 | 1,850 | 106 | ||||||||||||
5 | S&P 500 Index | Goldman Sachs | 18,434 | 9/17/2021 | 1,800 | 148 | ||||||||||||
7 | S&P 500 Index | Goldman Sachs | 25,470 | 12/17/2021 | 2,800 | 65 | ||||||||||||
5 | S&P 500 Index | Goldman Sachs | 18,455 | 12/17/2021 | 2,575 | 583 | ||||||||||||
5 | S&P 500 Index | Goldman Sachs | 19,806 | 12/17/2021 | 2,550 | 302 | ||||||||||||
7 | S&P 500 Index | Goldman Sachs | 27,923 | 12/17/2021 | 2,525 | 313 | ||||||||||||
5 | S&P 500 Index | Goldman Sachs | 19,659 | 12/17/2021 | 2,500 | 425 | ||||||||||||
5 | S&P 500 Index | Goldman Sachs | 20,595 | 12/17/2021 | 2,450 | 279 | ||||||||||||
6 | S&P 500 Index | Goldman Sachs | 21,081 | 12/17/2021 | 2,250 | 279 | ||||||||||||
5 | S&P 500 Index | Goldman Sachs | 17,375 | 12/17/2021 | 2,200 | 208 | ||||||||||||
6 | S&P 500 Index | Goldman Sachs | 22,149 | 12/17/2021 | 2,175 | 157 | ||||||||||||
See accompanying notes to consolidated financial statements.
26
CONSOLIDATED SCHEDULES OF INVESTMENTS |
JAMES ALPHA MACRO PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Goldman Sachs Long Gamma US Series 10 Total Return Strategy Top 50 Holdings (Continued)
Number of | Notional Value at | Exercise | ||||||||||||||||
Contracts | Open Written Put Options | Counterparty | February 28, 2021 | Expiration | Price | Market Value | ||||||||||||
6 | S&P 500 Index | Goldman Sachs | $ | 23,500 | 12/17/2021 | $ | 2,150 | $ | 188 | |||||||||
8 | S&P 500 Index | Goldman Sachs | 29,142 | 12/17/2021 | 2,125 | 196 | ||||||||||||
5 | S&P 500 Index | Goldman Sachs | 20,684 | 3/18/2022 | 2,150 | 233 | ||||||||||||
4 | S&P 500 Index | Goldman Sachs | 16,941 | 3/18/2022 | 2,100 | 235 | ||||||||||||
5 | S&P 500 Index | Goldman Sachs | 17,754 | 3/18/2022 | 2,050 | 178 | ||||||||||||
5,922 |
See accompanying notes to consolidated financial statements.
27
SCHEDULES OF INVESTMENTS |
JAMES ALPHA GLOBAL REAL ESTATE INVESTMENTS PORTFOLIO (Unaudited) |
February 28, 2021 |
Shares | Value | |||||||
COMMON STOCK - 100.0% | ||||||||
ASIA PACIFIC - 23.3% | ||||||||
AUSTRALIA - 1.9% | ||||||||
3,220,185 | Charter Hall Long Wale REIT | $ | 11,485,933 | |||||
60,953 | Dexus | 420,709 | ||||||
120,213 | Goodman Group | 1,541,222 | ||||||
205,760 | NEXTDC Ltd. * | 1,776,847 | ||||||
15,224,711 | ||||||||
HONG KONG - 7.2% | ||||||||
6,018,693 | Link REIT | 56,806,777 | ||||||
JAPAN - 12.5% | ||||||||
49,029 | Japan Hotel REIT Investment Corporation | 30,723,209 | ||||||
15,279 | LaSalle Logiport REIT | 23,099,918 | ||||||
1,821,718 | Mitsubishi Estate Company Ltd. | 31,718,321 | ||||||
2,588 | Mitsui Fudosan Logistics Park, Inc. | 12,608,600 | ||||||
98,150,048 | ||||||||
SINGAPORE - 1.7% | ||||||||
3,575,097 | Mapletree Commercial Trust | 5,442,224 | ||||||
5,749,248 | Mapletree Logistics Trust | 7,954,288 | ||||||
13,396,512 | ||||||||
TOTAL ASIA PACIFIC - (Cost - $199,552,631) | 183,578,048 | |||||||
EUROPE - 17.4% | ||||||||
BELGIUM - 1.4% | ||||||||
318,306 | Warehouses De Pauw CVA | 10,921,675 | ||||||
FINLAND - 0.4% | ||||||||
171,334 | Kojamo OYJ * | 3,310,601 | ||||||
FRANCE - 3.5% | ||||||||
349,150 | Accor S.A. * | 14,658,675 | ||||||
546,727 | Klepierre S.A. | 12,933,804 | ||||||
27,592,479 | ||||||||
GERMANY - 3.8% | ||||||||
249,737 | Instone Real Estate Group A.G. *# | 6,952,854 | ||||||
350,664 | Vonovia S.E. | 22,467,711 | ||||||
29,420,565 | ||||||||
IRELAND - 2.3% | ||||||||
17,848,324 | Glenveagh Properties PLC *# | 17,976,024 | ||||||
ITALY - 1.0% | ||||||||
981,321 | COIMA RES SpA *# | 7,973,684 | ||||||
SPAIN - 3.7% | ||||||||
527,456 | Cellnex Telecom S.A. # | 28,871,191 | ||||||
UNITED KINGDOM - 1.3% | ||||||||
1,477,096 | Assura PLC | 1,536,297 | ||||||
4,867,684 | Empiric Student Property PLC | 5,040,149 | ||||||
411,379 | Great Portland Estates PLC | 3,902,894 | ||||||
10,479,340 | ||||||||
TOTAL EUROPE (Cost - $155,852,612) | 136,545,559 |
28
SCHEDULES OF INVESTMENTS |
JAMES ALPHA GLOBAL REAL ESTATE INVESTMENTS PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Shares | Value | |||||||
COMMON STOCK - 100.0% (Continued) | ||||||||
NORTH AMERICA - 59.3% | ||||||||
BERMUDA - 3.4% | ||||||||
5,624,002 | Hongkong Land Holdings Ltd. | $ | 27,107,690 | |||||
CANADA - 1.1% | ||||||||
169,922 | Dream Industrial Real Estate Investment Trust | 1,728,748 | ||||||
622,069 | InterRent Real Estate Investment Trust | 6,707,142 | ||||||
8,435,890 | ||||||||
CAYMAN ISLANDS - 5.3% | ||||||||
6,488,626 | CK Asset Holdings Ltd. | 38,132,959 | ||||||
568,505 | Wharf Real Estate Investment Company Ltd. | 3,398,937 | ||||||
41,531,896 | ||||||||
UNITED STATES - 49.5% | ||||||||
979,675 | Acadia Realty Trust | 18,525,654 | ||||||
91,123 | Alexandria Real Estate Equities, Inc. | 14,551,432 | ||||||
59,475 | American Tower Corporation | 12,854,332 | ||||||
356,909 | Americold Realty Trust | 12,506,091 | ||||||
1,012,144 | Brixmor Property Group, Inc. | 19,918,994 | ||||||
182,657 | Broadstone Net Lease, Inc. | 3,304,265 | ||||||
1,262,978 | CatchMark Timber Trust, Inc. | 12,895,005 | ||||||
4,627,913 | Colony Capital, Inc. | 27,397,245 | ||||||
956,133 | CoreCivic, Inc. | 6,865,035 | ||||||
40,807 | CoreSite Realty Corporation | 4,966,620 | ||||||
373,199 | Corporate Office Properties Trust | 9,703,174 | ||||||
85,353 | Digital Realty Trust, Inc. | 11,499,610 | ||||||
611,119 | Easterly Government Properties, Inc. | 13,432,396 | ||||||
1,569,328 | Ellington Financial, Inc. | 24,669,836 | ||||||
37,188 | Equinix, Inc. | 24,110,468 | ||||||
242,127 | Equity LifeStyle Properties, Inc. | 14,927,129 | ||||||
943,652 | GEO Group, Inc. (The) | 6,794,294 | ||||||
434,634 | Healthpeak Properties, Inc. | 12,643,503 | ||||||
979,534 | Independence Realty Trust, Inc. | 13,752,657 | ||||||
937,521 | Invitation Homes, Inc. | 27,319,362 | ||||||
1,537,023 | Kennedy-Wilson Holdings, Inc. | 28,834,551 | ||||||
217,223 | Kilroy Realty Corporation | 13,784,972 | ||||||
297,151 | National Retail Properties, Inc. | 13,027,100 | ||||||
348,824 | New Senior Investment Group, Inc. | 2,131,315 | ||||||
125,212 | Prologis, Inc. | 12,404,753 | ||||||
187,895 | QTS Realty Trust, Inc. | 11,672,037 | ||||||
216,671 | Welltower, Inc. | 14,711,961 | ||||||
389,203,791 | ||||||||
TOTAL NORTH AMERICA (Cost - $589,871,210) | 466,279,267 | |||||||
TOTAL COMMON STOCK (Cost - $945,276,453) | 786,402,874 | |||||||
SHORT-TERM INVESTMENTS - 0.0%** | ||||||||
283,129 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.01% ^ (Cost - $283,129) | 283,129 | ||||||
TOTAL INVESTMENTS - 100.0% (Cost - $945,559,582) | $ | 786,686,003 | ||||||
LIABILITIES LESS OTHER ASSETS - (0.0)%** | (207,301 | ) | ||||||
NET ASSETS - 100.0% | $ | 786,478,702 | ||||||
* | Non-income producing securities. |
** | Represents amount less than 0.1% |
^ | Money Market Fund; interest rate reflects seven-day effective yield on February 28, 2021. |
# | Securities exempt from registration under Rule 144A of Securities Act of 1933. These securities may be resold in transaction exempt from registration to qualified institutional buyers. At February 28, 2021, these securities amounted to $61,773,753 or 7.85% of net assets. |
PLC - Public Liability Company
REIT - Real Estate Investment Trust
29
SCHEDULES OF INVESTMENTS |
JAMES ALPHA GLOBAL REAL ESTATE INVESTMENTS PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Forward Currency Contracts | ||||||||||||||||||||||
Settlement | Units to | US Dollar | Unrealized | |||||||||||||||||||
Date | Receive/Deliver | Counterparty | In Exchange For | Value | Appreciation/(Depreciation) | |||||||||||||||||
To Buy: | ||||||||||||||||||||||
3/2/2021 | $ | 2,988,332 | AUD | BNY Mellon | $ | 2,313,567 | USD | $ | (2,305,916 | ) | $ | 7,651 | ||||||||||
3/2/2021 | 1,734,744 | EUR | BNY Mellon | 2,105,634 | USD | (2,120,950 | ) | (15,316 | ) | |||||||||||||
Total Unrealized: | $ | (7,665 | ) | |||||||||||||||||||
To Sell: | ||||||||||||||||||||||
3/2/2021 | $ | 2,735,669 | AUD | BNY Mellon | $ | 2,168,209 | USD | $ | (2,117,955 | ) | $ | 50,254 | ||||||||||
3/2/2021 | 1,585,329 | CAD | BNY Mellon | 1,257,268 | USD | (1,252,234 | ) | 5,034 | ||||||||||||||
3/2/2021 | 3,114,920 | EUR | BNY Mellon | 3,766,062 | USD | (3,780,892 | ) | (14,830 | ) | |||||||||||||
3/2/2021 | 196,406,134 | JPY | BNY Mellon | 1,848,354 | USD | (1,843,497 | ) | 4,857 | ||||||||||||||
Total Unrealized: | $ | 45,315 | ||||||||||||||||||||
Currency Abbreviations:
AUD - Australian Dollar
CAD - Canadian Dollar
EUR - Euro
JPY - Japanes Yen
USD - U.S. Dollar
30
SCHEDULES OF INVESTMENTS |
JAMES ALPHA MULTI STRATEGY ALTERNATIVE INCOME PORTFOLIO (Unaudited) |
February 28, 2021 |
Principal | Interest | Maturity | ||||||||||
Amount | Rate | Date | Value | |||||||||
CORPORATE BONDS - 7.5% | ||||||||||||
ASSET MANAGEMENT - 0.6% | ||||||||||||
$ | 81,000 | Monroe Capital Corp. | 4.750% | 2/15/2026 | $ | 81,329 | ||||||
CONTAINERS & PACKAGING - 2.6% | ||||||||||||
200,000 | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. # | 5.250% | 8/15/2027 | 207,324 | ||||||||
150,000 | Intelligent Packaging Ltd. Finco, Inc. / Intelligent Packaging Ltd. # | 6.000% | 9/15/2028 | 156,656 | ||||||||
363,980 | ||||||||||||
HEALTH CARE FACILITIES & SERVICES - 1.5% | ||||||||||||
100,000 | Centene Corp. # | 5.375% | 6/1/2026 | 104,750 | ||||||||
100,000 | DaVita, Inc. # | 4.625% | 6/1/2030 | 101,688 | ||||||||
206,438 | ||||||||||||
LEISURE PRODUCTS - 0.2% | ||||||||||||
25,000 | Vista Outdoor, Inc. | 5.875% | 10/1/2023 | 25,442 | ||||||||
METALS & MINING - 0.7% | ||||||||||||
100,000 | Taseko Mines Ltd. # | 7.000% | 2/15/2026 | 102,146 | ||||||||
REIT - 0.1% | ||||||||||||
15,000 | GEO Group, Inc. | 5.875% | 1/15/2022 | 15,021 | ||||||||
SPECIALTY FINANCE - 1.1% | ||||||||||||
150,000 | Home Point Capital, Inc. # | 5.000% | 2/1/2026 | 149,438 | ||||||||
TOBACCO & CANNABIS - 0.7% | ||||||||||||
100,000 | Turning Point Brands, Inc. # | 5.625% | 2/15/2026 | 103,750 | ||||||||
TOTAL CORPORATE BONDS (Cost - $1,023,642) | 1,047,544 | |||||||||||
Shares | ||||||||||||
COMMON STOCK - 83.7% | ||||||||||||
APPAREL & TEXTILE PRODUCTS - 1.1% | ||||||||||||
1,202 | Canada Goose Holdings, Inc. * ^ | 53,886 | ||||||||||
301 | Carter’s, Inc. ^ | 25,125 | ||||||||||
1,979 | Skechers USA, Inc. * ^ | 72,431 | ||||||||||
151,442 | ||||||||||||
ASSET MANAGEMENT - 4.0% | ||||||||||||
3,600 | Boston Private Financial Holdings, Inc. | 49,536 | ||||||||||
1,600 | Eaton Vance Corp. ^ | 116,912 | ||||||||||
1,281 | Hamilton Lane, Inc. ^ | 114,521 | ||||||||||
5,195 | Kennedy-Wilson Holdings, Inc. | 97,458 | ||||||||||
781 | LPL Financial Holdings, Inc. ^ | 102,733 | ||||||||||
3,500 | Waddell & Reed Financial, Inc. ^ | 87,815 | ||||||||||
568,975 | ||||||||||||
BANKING - 1.8% | ||||||||||||
2,400 | CIT Group, Inc. | 108,840 | ||||||||||
1,286 | Eagle Bancorp Montana, Inc. ^ | 27,996 | ||||||||||
2,600 | TCF Financial Corp. | 116,532 | ||||||||||
253,368 | ||||||||||||
BEVERAGES - 0.2% | ||||||||||||
2,346 | Primo Water Corp. ^ | 33,524 | ||||||||||
BIOTECH & PHARMACEUTICALS - 2.7% | ||||||||||||
199 | AbCellera Biologics, Inc. * ^ | 7,504 | ||||||||||
1,100 | Alexion Pharmaceuticals, Inc. * ^ | 168,025 | ||||||||||
509 | Bluebird Bio, Inc. * ^ | 15,830 | ||||||||||
200 | GW Pharmaceuticals PLC - ADR * | 42,850 | ||||||||||
1,545 | TransMedics Group, Inc. * ^ | 55,450 | ||||||||||
1,100 | Urovant Sciences Ltd. * | 17,787 | ||||||||||
1,400 | Viela Bio, Inc. * | 74,480 | ||||||||||
381,926 | ||||||||||||
CHEMICALS - 0.3% | ||||||||||||
600 | W R Grace & Co. | 35,556 |
31
SCHEDULES OF INVESTMENTS |
JAMES ALPHA MULTI STRATEGY ALTERNATIVE INCOME PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Shares | Value | |||||||
COMMON STOCK - 83.7% (Continued) | ||||||||
COMMERCIAL SUPPORT SERVICES - 1.3% | ||||||||
162 | Avalara, Inc. * ^ | $ | 25,424 | |||||
1,287 | Clean Harbors, Inc. * ^ | 109,588 | ||||||
1,300 | HMS Holdings Corp. * | 47,821 | ||||||
182,833 | ||||||||
CONSTRUCTION MATERIALS - 0.0% | ||||||||
100 | Forterra, Inc. * | 2,327 | ||||||
E-COMMERCE DISCRETIONARY - 1.1% | ||||||||
2,523 | Leslie’s, Inc. * ^ | 61,258 | ||||||
773 | MYT Netherlands Parent BV - ADR * | 22,332 | ||||||
1,378 | Revolve Group, Inc. * ^ | 63,526 | ||||||
147,116 | ||||||||
ELECTRIC UTILITIES - 1.0% | ||||||||
5,800 | Atlantic Power Corp. * | 16,646 | ||||||
1,611 | Portland General Electric Co. ^ | 67,920 | ||||||
2,080 | PPL Corp. | 54,475 | ||||||
139,041 | ||||||||
ELECTRICAL EQUIPMENT - 0.4% | ||||||||
876 | BWX Technologies, Inc. ^ | 50,817 | ||||||
ENGINEERING & CONSTRUCTION - 1.1% | ||||||||
2,730 | Cellnex Telecom SA | 149,281 | ||||||
HEALTHCARE FACILITIES & SERVICES - 1.9% | ||||||||
691 | Accolade, Inc. * ^ | 30,625 | ||||||
696 | Invitae Corp. * ^ | 27,931 | ||||||
2,675 | NeoGenomics, Inc. * ^ | 136,345 | ||||||
746 | PPD, Inc. * ^ | 26,155 | ||||||
973 | Progyny, Inc. * ^ | 40,954 | ||||||
1 | Teladoc Health, Inc. * | 221 | ||||||
262,231 | ||||||||
HOME CONSTRUCTION - 0.5% | ||||||||
69,230 | Glenveagh Properties PLC * | 69,746 | ||||||
INDUSTRIAL SUPPORT SERVICES - 0.2% | ||||||||
584 | Ritchie Bros Auctioneers, Inc. | 31,723 | ||||||
INSURANCE - 2.6% | ||||||||
1,038 | GoHealth, Inc. * ^ | 14,086 | ||||||
1,300 | Watford Holdings Ltd. * ^ | 45,019 | ||||||
1,400 | Willis Towers Watson PLC ^ | 308,896 | ||||||
368,001 | ||||||||
INTERNET MEDIA & SERVICES - 1.0% | ||||||||
243 | Fiverr International Ltd. * ^ | 65,603 | ||||||
529 | MediaAlpha, Inc. * ^ | 27,778 | ||||||
400 | SINA Corp. * | 17,268 | ||||||
3,600 | Sogou, Inc. - ADR * ^ | 29,736 | ||||||
140,385 | ||||||||
LEISURE FACILITIES & SERVICES - 2.5% | ||||||||
602 | Accor SA * | 25,253 | ||||||
1,000 | Cineplex, Inc. * | 10,916 | ||||||
1,723 | GAN Ltd. * ^ | 44,005 | ||||||
1,302 | Norwegian Cruise Line Holdings Ltd. * ^ | 38,487 | ||||||
1,296 | Red Rock Resorts, Inc. ^ | 39,100 | ||||||
907 | Shake Shack, Inc. * ^ | 107,461 | ||||||
614 | Wingstop, Inc. ^ | 83,596 | ||||||
348,818 | ||||||||
MACHINERY - 0.4% | ||||||||
32 | Hydrofarm Holdings Group, Inc. * ^ | 2,031 | ||||||
671 | Tennant Co. ^ | 51,130 | ||||||
53,161 |
32
SCHEDULES OF INVESTMENTS |
JAMES ALPHA MULTI STRATEGY ALTERNATIVE INCOME PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Shares | Value | |||||||
COMMON STOCK - 83.7% (Continued) | ||||||||
MEDICAL EQUIPMENT & DEVICES - 4.4% | ||||||||
1,040 | Acutus Medical, Inc. * ^ | $ | 21,590 | |||||
512 | Axonics Modulation Technologies, Inc. * ^ | 25,759 | ||||||
251 | Bio-Techne Corp. ^ | 90,784 | ||||||
282 | CareDx, Inc. * ^ | 22,301 | ||||||
3,037 | GenMark Diagnostics, Inc. * ^ | 59,373 | ||||||
178 | Inspire Medical Systems, Inc. * ^ | 41,437 | ||||||
2,900 | Oxford Immunotec Global PLC * ^ | 63,655 | ||||||
1,262 | Silk Road Medical, Inc. * ^ | 69,120 | ||||||
1,300 | Varian Medical Systems, Inc. * ^ | 227,851 | ||||||
621,870 | ||||||||
OIL & GAS PRODUCERS - 5.0% | ||||||||
1,059 | Antero Midstream Corp. | 9,340 | ||||||
597 | Cheniere Energy Partners LP | 23,731 | ||||||
991 | Cheniere Energy, Inc. * | 66,783 | ||||||
495 | Crestwood Equity Partners LP | 10,865 | ||||||
450 | DCP Midstream LP | 9,837 | ||||||
389 | Delek Logistics Partners LP | 14,346 | ||||||
992 | Enable Midstream Partners LP | 6,567 | ||||||
1,804 | Enbridge, Inc. | 60,993 | ||||||
4,533 | Energy Transfer LP | 34,632 | ||||||
1,739 | EnLink Midstream LLC | 6,695 | ||||||
2,160 | Enterprise Products Partners LP | 46,051 | ||||||
2,211 | Equitrans Midstream Corp. | 15,985 | ||||||
902 | Genesis Energy LP | 7,117 | ||||||
571 | Holly Energy Partners LP | 9,838 | ||||||
2,996 | Kinder Morgan, Inc. | 44,041 | ||||||
938 | Magellan Midstream Partners LP | 39,086 | ||||||
2,185 | MPLX LP | 52,025 | ||||||
570 | NGL Energy Partners LP | 1,362 | ||||||
724 | NuStar Energy LP | 12,960 | ||||||
878 | ONEOK, Inc. | 38,887 | ||||||
642 | PBF Logistics LP | 7,377 | ||||||
460 | Phillips 66 Partners LP | 12,273 | ||||||
2,379 | Plains All American Pipeline LP | 20,079 | ||||||
1,266 | Plains GP Holdings LP | 10,913 | ||||||
457 | Rattler Midstream LP * | 5,027 | ||||||
769 | Shell Midstream Partners LP | 8,421 | ||||||
1,096 | Targa Resources Corp. | 33,899 | ||||||
1,262 | TC Energy Corp. | 52,916 | ||||||
335 | TC PipeLines, LP | 9,755 | ||||||
1,241 | Tellurian, Inc. * | 3,835 | ||||||
1,025 | Western Midstream Partners LP | 17,046 | ||||||
692,682 | ||||||||
REAL ESTATE OWNERS & DEVELOPERS - 3.6% | ||||||||
5,500 | Brookfield Property Partners LP ^ | 93,720 | ||||||
16,056 | CK Asset Holdings Ltd. | 94,278 | ||||||
2,502 | COIMA RES SpA * | 20,347 | ||||||
14,872 | Empiric Student Property PLC | 15,387 | ||||||
13,614 | Hongkong Land Holdings Ltd. | 65,620 | ||||||
1,374 | Instone Real Estate Group AG * | 38,192 | ||||||
663 | Kojamo OYJ * | 12,779 | ||||||
3,927 | Mitsubishi Estate Co. Ltd. | 67,748 | ||||||
1,389 | Vonovia SE | 88,918 | ||||||
496,989 | ||||||||
REITS - 16.2% | ||||||||
2,650 | Acadia Realty Trust | 50,112 | ||||||
895 | Alexandria Real Estate Equities, Inc. | 142,923 | ||||||
325 | American Tower Corp. | 70,242 | ||||||
2,344 | Americold Realty Trust ^ | 82,134 | ||||||
30,187 | Assura PLC | 31,442 |
33
SCHEDULES OF INVESTMENTS |
JAMES ALPHA MULTI STRATEGY ALTERNATIVE INCOME PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Shares | Value | |||||||
COMMON STOCK - 83.7% (Continued) | ||||||||
REITS - 16.2% (Continued) | ||||||||
3,424 | Brixmor Property Group, Inc. | $ | 67,384 | |||||
1,034 | Broadstone Net Lease, Inc. | 18,705 | ||||||
5,239 | CatchMark Timber Trust, Inc. | 53,490 | ||||||
12,356 | Charter Hall Long Wale REIT | 44,195 | ||||||
5,160 | Colony Capital, Inc. | 30,547 | ||||||
3,661 | CoreCivic, Inc. | 26,286 | ||||||
159 | CoreSite Realty Corp. | 19,352 | ||||||
1,255 | Corporate Office Properties Trust | 32,630 | ||||||
597 | CyrusOne, Inc. ^ | 39,181 | ||||||
1,465 | Dexus | 10,094 | ||||||
563 | Digital Realty Trust, Inc. | 75,853 | ||||||
659 | Dream Industrial Real Estate Investment Trust | 6,704 | ||||||
3,086 | Easterly Government Properties, Inc. | 67,830 | ||||||
308 | Equinix, Inc. | 199,689 | ||||||
1,018 | Equity LifeStyle Properties, Inc. | 62,760 | ||||||
3,397 | GEO Group, Inc. | 24,458 | ||||||
4,882 | Global Medical REIT, Inc. | 65,761 | ||||||
463 | Goodman Group | 5,936 | ||||||
804 | Great Portland Estates PLC | 7,626 | ||||||
1,455 | Healthpeak Properties, Inc. | 42,326 | ||||||
4,007 | Independence Realty Trust, Inc. | 56,258 | ||||||
4,396 | InterRent Real Estate Investment Trust | 47,398 | ||||||
3,415 | Invitation Homes, Inc. | 99,513 | ||||||
94 | Japan Hotel REIT Investment Corp. | 57,967 | ||||||
572 | Kilroy Realty Corp. | 36,299 | ||||||
1,282 | Klepierre SA | 30,422 | ||||||
58 | LaSalle Logiport REIT | 87,485 | ||||||
15,259 | Link REIT | 143,987 | ||||||
13,773 | Mapletree Commercial Trust | 21,130 | ||||||
22,237 | Mapletree Logistics Trust | 30,938 | ||||||
10 | Mitsui Fudosan Logistics Park, Inc. | 48,714 | ||||||
1,076 | National Retail Properties, Inc. | 47,172 | ||||||
1,018 | New Senior Investment Group, Inc. | 6,220 | ||||||
1,246 | Prologis, Inc. | 123,441 | ||||||
862 | QTS Realty Trust, Inc. | 53,547 | ||||||
1,226 | Warehouses De Pauw CVA | 42,173 | ||||||
949 | Welltower, Inc. | 64,437 | ||||||
2,274,761 | ||||||||
RETAIL - CONSUMER STAPLES - 2.2% | ||||||||
333 | Five Below, Inc. * ^ | 61,978 | ||||||
1,010 | Ollie’s Bargain Outlet Holdings, Inc. * ^ | 83,507 | ||||||
3,150 | OptimizeRx Corp. * ^ | 167,517 | ||||||
313,002 | ||||||||
RETAIL - DISCRETIONARY - 0.4% | ||||||||
3,427 | Designer Brands, Inc. ^ | 42,803 | ||||||
590 | Driven Brands Holdings, Inc. * | 16,815 | ||||||
59,618 | ||||||||
SEMICONDUCTORS - 3.3% | ||||||||
300 | Coherent, Inc. * | 72,582 | ||||||
300 | Inphi Corp. * ^ | 49,377 | ||||||
1,700 | Maxim Integrated Products, Inc. ^ | 158,389 | ||||||
1,400 | Xilinx, Inc. ^ | 182,420 | ||||||
462,768 | ||||||||
SOFTWARE - 14.9% | ||||||||
1,372 | 1Life Healthcare, Inc. * ^ | 65,184 | ||||||
497 | Alteryx, Inc. * ^ | 47,513 | ||||||
292 | Bandwidth, Inc. * ^ | 46,241 | ||||||
615 | BigCommerce Holdings, Inc. * ^ | 36,353 | ||||||
87 | Bill.com Holdings, Inc. * ^ | 14,356 |
34
SCHEDULES OF INVESTMENTS |
JAMES ALPHA MULTI STRATEGY ALTERNATIVE INCOME PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Shares | Value | |||||||
COMMON STOCK - 83.7% (Continued) | ||||||||
SOFTWARE - 14.9% (Continued) | ||||||||
618 | Black Knight, Inc. * ^ | $ | 47,394 | |||||
164 | Blackline, Inc. * ^ | 20,339 | ||||||
134 | C3.ai, Inc. * ^ | 15,070 | ||||||
500 | Change Healthcare, Inc. * | 11,435 | ||||||
202 | Cloopen Group Holding Ltd. - ADR * | 3,812 | ||||||
1,486 | Domo, Inc. * ^ | 94,703 | ||||||
1,492 | Duck Creek Technologies, Inc. * ^ | 70,572 | ||||||
1,899 | Dynatrace, Inc. * ^ | 94,494 | ||||||
1,829 | eGain Corp. * ^ | 21,253 | ||||||
750 | Five9, Inc. * ^ | 138,930 | ||||||
617 | Guidewire Software, Inc. * ^ | 68,481 | ||||||
852 | Health Catalyst, Inc. * ^ | 41,313 | ||||||
2,333 | Jamf Holding Corp. * ^ | 87,254 | ||||||
1 | JFrog Ltd. * ^ | 53 | ||||||
3,273 | Medallia, Inc. * ^ | 132,131 | ||||||
616 | nCino, Inc. * ^ | 42,122 | ||||||
529 | Nutanix, Inc. * ^ | 16,021 | ||||||
304 | Oak Street Health, Inc. * ^ | 16,121 | ||||||
139 | ON24, Inc. * | 7,862 | ||||||
323 | Paylocity Holding Corp. * ^ | 61,754 | ||||||
1,065 | Phreesia, Inc. * ^ | 65,231 | ||||||
1,215 | Ping Identity Holding Corp. * ^ | 28,467 | ||||||
200 | Pluralsight, Inc. * | 4,118 | ||||||
1,601 | PROS Holdings, Inc. * ^ | 75,887 | ||||||
2,900 | RealPage, Inc. * ^ | 251,662 | ||||||
1,125 | Sailpoint Technologies Holdings, Inc. * ^ | 63,428 | ||||||
267 | Signify Health, Inc. * | 8,816 | ||||||
4,100 | Slack Technologies, Inc. * ^ | 167,813 | ||||||
1,237 | SolarWinds Corp. * ^ | 20,027 | ||||||
675 | Sprout Social, Inc. * ^ | 45,880 | ||||||
541 | Talend SA - ADR * ^ | 27,445 | ||||||
1,350 | Tenable Holdings, Inc. * ^ | 55,229 | ||||||
5,760 | USA Technologies, Inc. * ^ | 59,616 | ||||||
604 | Vertex, Inc. * ^ | 18,573 | ||||||
2,092,953 | ||||||||
SPECIALTY FINANCE - 0.5% | ||||||||
4,122 | Ellington Financial, Inc. | 64,798 | ||||||
TECHNOLOGY HARDWARE - 1.7% | ||||||||
1,200 | Acacia Communications, Inc. * | 137,988 | ||||||
800 | Cubic Corp. | 55,560 | ||||||
500 | FLIR Systems, Inc. | 26,700 | ||||||
937 | Pure Storage, Inc. * ^ | 21,907 | ||||||
242,155 | ||||||||
TECHNOLOGY SERVICES - 4.4% | ||||||||
700 | Cardtronics PLC * | 26,985 | ||||||
800 | CoreLogic, Inc. ^ | 67,728 | ||||||
4,100 | IHS Markit Ltd. ^ | 369,656 | ||||||
1,500 | Perspecta, Inc. | 43,800 | ||||||
841 | Repay Holdings Corp. * ^ | 18,334 | ||||||
681 | Shift4 Payments, Inc. * ^ | 52,097 | ||||||
294 | Telos Corp. * ^ | 9,796 | ||||||
115 | WEX, Inc. * ^ | 23,960 | ||||||
612,356 | ||||||||
TELECOMMUNICATIONS - 0.5% | ||||||||
794 | NEXTDC Ltd. * | 6,885 | ||||||
5,237 | Vonage Holdings Corp. * ^ | 69,233 | ||||||
76,118 |
35
SCHEDULES OF INVESTMENTS |
JAMES ALPHA MULTI STRATEGY ALTERNATIVE INCOME PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Shares | Value | |||||||||||
COMMON STOCK - 83.7% (Continued) | ||||||||||||
TRANSPORTATION & LOGISTICS - 1.4% | ||||||||||||
2,072 | CryoPort, Inc. * ^ | $ | 123,160 | |||||||||
1,322 | Knight-Swift Transportation Holdings, Inc. ^ | 57,110 | ||||||||||
634 | Macquarie Infrastructure Corp. | 19,870 | ||||||||||
200,140 | ||||||||||||
TRANSPORTATION EQUIPMENT - 0.5% | ||||||||||||
1,600 | Navistar International Corp. * ^ | 70,496 | ||||||||||
WHOLESALE - DISCRETIONARY - 0.6% | ||||||||||||
1,115 | IAA, Inc. * ^ | 65,372 | ||||||||||
1,642 | KAR Auction Services, Inc. ^ | 22,840 | ||||||||||
88,212 | ||||||||||||
TOTAL COMMON STOCK (Cost - $10,823,466) | 11,739,189 | |||||||||||
EXCHANGE TRADED FUNDS - 0.3% | ||||||||||||
DEBT FUND - 0.3% | ||||||||||||
2,001 | ProShares UltraShort 20+ Year Treasury | 39,280 | ||||||||||
EQUITY FUNDS - 0.0% | ||||||||||||
1 | ProShares UltraPro Short S&P 500 | 27 | ||||||||||
1 | ProShares UltraShort Russell2000 | 16 | ||||||||||
43 | ||||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $41,320) | 39,323 | |||||||||||
Interest Rate | Maturity Date | |||||||||||
PREFERRED STOCK - 1.5% | ||||||||||||
4,500 | United States Cellular Corp. | 6.250% | 9/1/2069 | 113,400 | ||||||||
4,000 | Wells Fargo & Co. | 5.125% | Perpetual | 100,240 | ||||||||
TOTAL PREFERRED STOCK (Cost - $209,770) | 213,640 | |||||||||||
CLOSED END FUNDS - 11.3% | ||||||||||||
4,000 | BlackRock Core Bond Trust | 61,880 | ||||||||||
10,000 | BlackRock Corporate High Yield Fund, Inc. | 114,300 | ||||||||||
6,482 | BlackRock Credit Allocation Income Trust | 93,211 | ||||||||||
10,000 | BlackRock Limited Duration Income Trust | 158,100 | ||||||||||
2,000 | DoubleLine Income Solutions Fund | 34,940 | ||||||||||
10,000 | Eaton Vance Ltd. Duration Income Fund | 125,300 | ||||||||||
10,800 | Invesco Dynamic Credit Opportunities Fund | 118,800 | ||||||||||
40,000 | Invesco Senior Income Trust | 166,800 | ||||||||||
7,000 | John Hancock Preferred Income Fund III | 116,830 | ||||||||||
7,000 | Nuveen Global High Income Fund | 106,540 | ||||||||||
7,000 | Nuveen Preferred & Income Term Fund | 166,600 | ||||||||||
10,000 | PGIM High Yield Bond Fund, Inc. | 154,300 | ||||||||||
20,000 | Wells Fargo Income Opportunities Fund | 164,800 | ||||||||||
TOTAL CLOSED END FUNDS (Cost - $1,373,720) | 1,582,401 | |||||||||||
OPEN END FUND - 3.7% | ||||||||||||
47,353 | James Alpha Structured Credit Value Portfolio, Class S + | 527,516 | ||||||||||
TOTAL OPEN END FUND (Cost - $483,969) | ||||||||||||
SHORT-TERM INVESTMENT - 6.4% | ||||||||||||
900,371 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.01% ** (Cost - $900,371) | 900,371 | ||||||||||
TOTAL INVESTMENTS - 114.4% (Cost - $14,856,258) | $ | 16,049,984 | ||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (14.4)% | (2,023,700 | ) | ||||||||||
NET ASSETS - 100.0% | $ | 14,026,284 |
36
SCHEDULES OF INVESTMENTS |
JAMES ALPHA MULTI STRATEGY ALTERNATIVE INCOME PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Shares | Value | |||||||
SECURITIES SOLD SHORT - (31.3)% | ||||||||
COMMON STOCK - (14.0)% | ||||||||
AEROSPACE & DEFENSE - (0.1)% | ||||||||
36 | Teledyne Technologies, Inc. * | $ | 13,356 | |||||
ASSET MANAGEMENT - (0.2)% | ||||||||
834 | Brookfield Asset Management, Inc. | 33,652 | ||||||
AUTOMOTIVE - (0.0)% | ||||||||
1 | BorgWarner, Inc. | 45 | ||||||
BANKING - (1.9)% | ||||||||
149 | First Citizens BancShares, Inc. | 109,946 | ||||||
7,809 | Huntington Bancshares, Inc. | 119,790 | ||||||
1 | Prosperity Bancshares, Inc. | 73 | ||||||
82 | SVB Financial Group * | 41,439 | ||||||
271,248 | ||||||||
BIOTECH & PHARMACEUTICALS - (1.1)% | ||||||||
2,333 | AstraZeneca PLC - ADR | 112,871 | ||||||
787 | Atara Biotherapeutics, Inc. * | 13,206 | ||||||
344 | Ionis Pharmaceuticals, Inc. * | 18,026 | ||||||
14 | Jazz Pharmaceuticals PLC * | 2,353 | ||||||
1,597 | Sinovac Biotech Ltd. * | 10,333 | ||||||
156,789 | ||||||||
CHEMICALS - (0.5)% | ||||||||
225 | WD-40 Co. | 70,144 | ||||||
INSTITUTIONAL FINANCIAL SERVICES - (0.5)% | ||||||||
935 | Morgan Stanley | 71,873 | ||||||
INSURANCE - (2.5)% | ||||||||
1,512 | Aon PLC | 344,298 | ||||||
RETAIL - DISCRETIONARY - (0.0)% | ||||||||
1 | Builders FirstSource, Inc. * | 43 | ||||||
SEMICONDUCTORS - (3.0)% | ||||||||
2,408 | Advanced Micro Devices, Inc. * | 203,500 | ||||||
1,071 | Analog Devices, Inc. | 166,883 | ||||||
100 | II-VI, Inc. * | 8,430 | ||||||
696 | Marvell Technology Group Ltd. | 33,603 | ||||||
412,416 | ||||||||
SOFTWARE - (0.9)% | ||||||||
450 | Altair Engineering, Inc. * | 27,715 | ||||||
325 | salesforce.com, Inc. * | 70,362 | ||||||
866 | Sapiens International Corp. NV | 27,175 | ||||||
125,252 | ||||||||
SPECIALTY FINANCE - (0.4)% | ||||||||
156 | Credit Acceptance Corp. * | 56,631 | ||||||
TECHNOLOGY HARDWARE - (0.2)% | ||||||||
237 | Lumentum Holdings, Inc. * | 21,330 | ||||||
TECHNOLOGY SERVICES - (2.7)% | ||||||||
1,162 | S&P Global, Inc. | 382,716 | ||||||
TOTAL COMMON STOCK (Proceeds - $1,807,991) | 1,959,793 |
37
SCHEDULES OF INVESTMENTS |
JAMES ALPHA MULTI STRATEGY ALTERNATIVE INCOME PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Shares | Value | |||||||
SECURITIES SOLD SHORT - (31.3)% (Continued) | ||||||||
EXCHANGED TRADED FUNDS - (17.3)% | ||||||||
EQUITY FUNDS - (17.3)% | ||||||||
2,174 | iShares Russell 2000 ETF | �� | $ | 474,606 | ||||
6,290 | iShares Russell 2000 Growth ETF | 1,948,453 | ||||||
TOTAL EXCHANGED TRADED FUNDS (Proceeds - $1,608,945) | 2,423,059 | |||||||
TOTAL SECURITIES SOLD SHORT (Proceeds - $3,416,936) | $ | 4,382,852 |
# | Securities exempt from registration under Rule 144A of Securities Act of 1933. These securities may be resold in transaction exempt from registration to qualified institutional buyers. At February 28, 2021, these securities amounted to $925,752 or 6.60% of net assets. |
* | Non-income producing securities |
^ | All or a portion of this security is held as collateral for securities sold short. |
+ | Investment in affiliate |
** | Money Market Fund; interest rate reflects seven-day effective yield on February 28, 2021. |
ADR - American Depositary Receipt
ETF - Exchange Traded Fund
LLC - Limited Liability Company
LP - Limited Partnerships
PLC - Public Liability Company
REIT - Real Estate Investment Trust
38
SCHEDULES OF INVESTMENTS |
JAMES ALPHA MANAGED RISK DOMESTIC EQUITY PORTFOLIO (Unaudited) |
February 28, 2021 |
Shares | Value | |||||||||||||
EXCHANGE TRADED FUNDS - 84.3% | ||||||||||||||
EQUITY FUND - 84.3% | ||||||||||||||
93,000 | SPDR S&P500 ETF Trust + | $ | 35,373,480 | |||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $29,266,915) | ||||||||||||||
Notional | ||||||||||||||
Contracts (a) | Amount | Expiration Date - Exercise Price | ||||||||||||
OPTIONS PURCHASED - 5.3% * | ||||||||||||||
PUT OPTIONS PURCHASED - 5.3% | ||||||||||||||
110 | S&P 500 Index | $ | 42,185,000 | 3/22/21 - $3,835.00 | 1,087,350 | |||||||||
105 | S&P 500 Index | 40,110,000 | 4/01/21 - $3,820.00 | 1,138,725 | ||||||||||
(Cost - $1,410,566) | 2,226,075 | |||||||||||||
TOTAL PURCHASED OPTIONS (Cost - $1,410,566) | 2,226,075 | |||||||||||||
Shares | ||||||||||||||
SHORT-TERM INVESTMENTS - 3.3% | ||||||||||||||
1,355,239 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.01% ^ | |||||||||||||
(Cost - $1,355,239) | 1,355,239 | |||||||||||||
TOTAL INVESTMENTS - 92.9% (Cost - $32,032,720) | $ | 38,954,794 | ||||||||||||
OTHER ASSETS LESS LIABILITIES - 7.1% | 2,994,408 | |||||||||||||
NET ASSETS - 100.0% | $ | 41,949,202 | ||||||||||||
Notional | ||||||||||||||
Contracts (a) | Amount | Expiration Date - Exercise Price | ||||||||||||
WRITTEN OPTIONS - (3.0)% * | ||||||||||||||
PUT OPTIONS WRITTEN - (2.3)% | ||||||||||||||
105 | S&P 500 Index | $ | 37,905,000 | 3/22/21 - $3,610.00 | $ | 405,825 | ||||||||
105 | S&P 500 Index | 38,010,000 | 4/01/21 - $3,620.00 | 576,450 | ||||||||||
(Premiums Received - $664,290) | 982,275 | |||||||||||||
CALL OPTIONS WRITTEN - (0.7)% | ||||||||||||||
300 | SPDR S&P 500 ETF Trust | 11,400,000 | 3/08/21 - $380.00 | 171,300 | ||||||||||
325 | SPDR S&P 500 ETF Trust | 12,512,500 | 3/08/21 - $385.00 | 97,175 | ||||||||||
300 | SPDR S&P 500 ETF Trust | 11,550,000 | 3/15/21 - $385.00 | — | ||||||||||
100 | SPDR S&P 500 ETF Trust | 3,900,000 | 3/15/21 - $390.00 | 22,450 | ||||||||||
(Premiums Received - $843,645) | 290,925 | |||||||||||||
TOTAL WRITTEN OPTIONS (Premiums Received - $1,507,935) | $ | 1,273,200 |
* | Non-income producing security. |
+ | All or a portion of this security is segregated as collateral for options written. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on February 28, 2021. |
(a) | Each contract is equivalent to 100 shares of the underlying security. |
ETF - Exchange Traded Fund
39
SCHEDULES OF INVESTMENTS |
JAMES ALPHA MANAGED RISK DOMESTIC EQUITY PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
TOTAL RETURN SWAPS - 0.0% | |||||||||||||||||||||||
Notional | Expiration | Pay/Receive | Variable | Unrealized | |||||||||||||||||||
Amount | Reference Entity | Shares | Counterparty | Date | Fixed Rate | Rate (%) | Gain/(Loss) | ||||||||||||||||
$ | 5,551,050 | SPY SPDR SP 500 ETF Trust | 15,000 | Goldman Sachs | 9/21/2021 | Pay | 0.1195 * | $ | — | ||||||||||||||
1,850,350 | SPY SPDR SP 500 ETF Trust | 5,000 | Goldman Sachs | 6/29/2021 | Pay | 0.1195 # | — | ||||||||||||||||
2,590,490 | SPY SPDR SP 500 ETF Trust | 7,000 | Goldman Sachs | 11/12/2021 | Pay | 0.1195 # | — | ||||||||||||||||
7,401,400 | SPY SPDR SP 500 ETF Trust | 20,000 | Goldman Sachs | 12/1/2021 | Pay | 0.1195 # | — | ||||||||||||||||
$ | — |
# | Variable rate is Libor plus 0.40% |
* | Variable rate is Libor plus 0.50% |
40
SCHEDULES OF INVESTMENTS |
JAMES ALPHA MANAGED RISK EMERGING MARKETS EQUITY PORTFOLIO (Unaudited) |
February 28, 2021 |
Shares | Value | |||||||||||||
EXCHANGE TRADED FUNDS - 36.9% | ||||||||||||||
EQUITY FUND - 36.9% | ||||||||||||||
24,500 | iShares MSCI Emerging Markets ETF + | $ | 1,316,385 | |||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $1,038,786) | ||||||||||||||
Notional | ||||||||||||||
Contracts (a) | Amount | Expiration Date - Exercise Price | ||||||||||||
OPTIONS PURCHASED - 9.6% * | ||||||||||||||
PUT OPTIONS PURCHASED - 9.6% | ||||||||||||||
600 | iShares MSCI Emerging Markets ETF | $ | 3,300,000 | 3/22/21 - $55.00 | 119,100 | |||||||||
600 | iShares MSCI Emerging Markets ETF | 3,420,000 | 4/01/21 - $57.00 | 223,500 | ||||||||||
TOTAL PURCHASED OPTIONS (Cost - $141,751) | 342,600 | |||||||||||||
Shares | ||||||||||||||
SHORT-TERM INVESTMENTS - 34.5% | ||||||||||||||
1,230,233 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.01% ^ | 1,230,233 | ||||||||||||
(Cost - $1,230,233) | ||||||||||||||
TOTAL INVESTMENTS - 81.0% (Cost - $2,410,770) | $ | 2,889,218 | ||||||||||||
OTHER ASSETS AND LIABILITIES - 19.0% | 677,914 | |||||||||||||
NET ASSETS - 100.0% | $ | 3,567,132 | ||||||||||||
Notional | ||||||||||||||
Contracts (a) | Amount | Expiration Date - Exercise Price | Value | |||||||||||
WRITTEN OPTIONS - (4.3)% * | ||||||||||||||
PUT OPTIONS WRITTEN - (4.2)% | ||||||||||||||
600 | iShares MSCI Emerging Markets ETF | 3,120,000 | 3/22/21 - $52.00 | $ | 42,900 | |||||||||
600 | iShares MSCI Emerging Markets ETF | 3,240,000 | 4/01/21 - $54.00 | 106,500 | ||||||||||
(Premiums Received - $54,646) | 149,400 | |||||||||||||
CALL OPTIONS WRITTEN - (0.1)% | ||||||||||||||
600 | iShares MSCI Emerging Markets ETF | 3,390,000 | 3/08/21 - $56.50 | 2,400 | ||||||||||
(Premiums Received - $96,258) | 2,400 | |||||||||||||
TOTAL OPTIONS WRITTEN (Premiums Received - $150,904) | $ | 151,800 |
* | Non-income producing security. |
+ | All or a portion of this security is segregated as collateral for options written. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on February 28, 2021. |
(a) | Each contract is equivalent to 100 shares of the underlying security. |
ETF - Exchange Traded Fund
TOTAL RETURN SWAPS - 0.0% | ||||||||||||||||||||
Notional | Expiration | Pay/Receive | Variable | Unrealized | ||||||||||||||||
Amount | Reference Entity | Shares | Counterparty | Date | Fixed Rate | Rate (%) | Gain/(Loss) | |||||||||||||
$ | 2,985,360 | iShares MSCI Emerging Markets ETF | 56,000 | Goldman Sachs | 11/12/2021 | Pay | 0.1195 | * | $ | — | ||||||||||
$ | — |
* | Variable rate is Libor plus 0.20%. |
41
SCHEDULES OF INVESTMENTS |
JAMES ALPHA HEDGED HIGH INCOME PORTFOLIO (Unaudited) |
February 28, 2021 |
Principal | Coupon Rate (%) | Maturity Date | Value | |||||||||||||
ASSET-BACKED SECURITIES - 12.8% | ||||||||||||||||
AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.6% | ||||||||||||||||
$ | 45,000 | Freddie Mac Multifamily Structured Credit Risk #, SOFR + 3.7500% | 3.8360 | * | 1/25/2051 | $ | 47,826 | |||||||||
100,000 | Multifamily Connecticut Avenue Securities Trust 2019-01 #, 1 mo. LIBOR + 3.2500% | 3.3800 | * | 10/15/2049 | 101,390 | |||||||||||
149,216 | ||||||||||||||||
AUTO LOAN ASSET-BACKED SECURITIES - 1.0% | ||||||||||||||||
160,000 | Foursight Capital Automobile Receivables Trust 2018-1 # | 6.8200 | 4/15/2025 | 165,745 | ||||||||||||
75,000 | United Auto Credit Securitization Trust 2019-1 # | 4.2900 | 8/12/2024 | 76,804 | ||||||||||||
242,549 | ||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 7.7% | ||||||||||||||||
134,663 | Alternative Loan Trust 2006-6CB | 5.7500 | 5/25/2036 | 84,314 | ||||||||||||
100,000 | Bunker Hill Loan Depositary Trust 2020-1 # | 4.3530 | * | 2/25/2055 | 105,520 | |||||||||||
74,788 | Fannie Mae REMICS | 3.0000 | 12/25/2027 | 4,622 | ||||||||||||
74,880 | Fannie Mae REMICS | 3.0000 | 1/25/2028 | 4,670 | ||||||||||||
80,053 | Fannie Mae REMICS | 3.0000 | 2/25/2028 | 4,674 | ||||||||||||
154,023 | Freddie Mac REMICS | 3.0000 | 10/15/2027 | 10,201 | ||||||||||||
128,634 | Freddie Mac Structured Agency Credit Risk Debt Notes , 1 mo. LIBOR + 8.8000% | 8.9300 | * | 3/25/2028 | 140,841 | |||||||||||
70,000 | Freddie Mac Structured Agency Credit Risk Debt Notes #, SOFR + 5.0000% | 5.0503 | * | 8/25/2033 | 70,722 | |||||||||||
190,000 | Freddie Mac Structured Agency Credit Risk Debt Notes , 1 mo. LIBOR +4.2000% | 4.3300 | * | 2/25/2047 | 198,371 | |||||||||||
200,000 | Freddie Mac Structured Agency Credit Risk Debt Notes , 1 mo. LIBOR + 10.5000% | 10.6300 | * | 2/25/2047 | 222,791 | |||||||||||
220,000 | Freddie Mac Structured Agency Credit Risk Debt Notes , 1 mo. LIBOR +10.7500% | 10.8800 | * | 1/25/2049 | 257,611 | |||||||||||
100,000 | Freddie Mac Structured Agency Credit Risk Debt Notes , 1 mo. LIBOR + 12.2500% | 12.3800 | * | 2/25/2049 | 118,197 | |||||||||||
120,000 | Freddie Mac Structured Agency Credit Risk Debt Notes #, 1 mo. LIBOR + 4.0500% | 4.1800 | * | 2/25/2049 | 120,501 | |||||||||||
160,000 | Freddie Mac Structured Agency Credit Risk Debt Notes, 1 mo. LIBOR + 8.1500% | 8.2800 | * | 7/25/2049 | 172,171 | |||||||||||
50,000 | Freddie Mac Structured Agency Credit Risk Debt Notes #, SOFR + 4.7500% | 4.7947 | * | 1/25/2051 | 49,562 | |||||||||||
154,078 | Government National Mortgage Association | 3.5000 | 12/12/2049 | 20,030 | ||||||||||||
169,192 | Government National Mortgage Association | 3.5000 | 12/20/2049 | 24,177 | ||||||||||||
170,000 | Oaktown Re III Ltd. #, 1 mo. LIBOR + 4.3500% | 4.4800 | * | 7/25/2029 | 167,993 | |||||||||||
100,000 | Verus Securitization Trust 2019-INV2 # | 4.4520 | * | 7/25/2059 | 99,369 | |||||||||||
1,876,337 | ||||||||||||||||
CREDIT CARD ASSET-BACKED SECURITIES - 0.5% | ||||||||||||||||
120,000 | Continental Credit Card A.B.S 2019-1, LLC # | 6.1600 | 8/15/2026 | 126,108 | ||||||||||||
NON AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES - 1.6% | ||||||||||||||||
114,000 | COMM 2019-GC44 Mortgage Trust # | 2.5000 | 8/15/2057 | 98,936 | ||||||||||||
160,000 | GS Mortgage Securities Trust 2016-GS4 # | 3.2330 | * | 11/10/2049 | 118,129 | |||||||||||
100,000 | JPMBB Commercial Mortgage Securities Trust 2015-C31, weighted average of the net mortgage rates on the mortgage loans for distribution date minus 0.5000% | 4.1190 | * | 8/15/2048 | 91,223 | |||||||||||
80,000 | Morgan Stanley Capital I Trust 2016-UBS9 # | 3.0000 | 3/15/2049 | 75,331 | ||||||||||||
383,619 | ||||||||||||||||
OTHER ASSET-BACKED SECURITIES - 1.4% | ||||||||||||||||
150,000 | Progress Residential 2017-SFR1 Trust # | 5.3500 | 8/17/2034 | 153,097 | ||||||||||||
100,000 | Progress Residential 2018-SFR1 Trust # | 4.7780 | 3/17/2035 | 100,642 | ||||||||||||
100,000 | Tricon American Homes 2017-SFR2 Trust # | 5.1040 | 1/17/2036 | 104,349 | ||||||||||||
358,088 | ||||||||||||||||
TOTAL ASSET-BACKED SECURITIES (Cost - $3,022,966) | 3,135,917 | |||||||||||||||
TERM LOANS - 1.7% | ||||||||||||||||
AUTOMOTIVE - 0.4% | ||||||||||||||||
91,708 | First Brands Group, LLC | 8.5000 | 2/2/2024 | 93,657 | ||||||||||||
LEISURE FACILITIES & SERVICES - 0.9% | ||||||||||||||||
65,000 | Enterprise Development Authority (The) | — | 2/19/2028 | 65,487 | ||||||||||||
140,500 | Spectacle Gary Holdings, LLC | — | 11/7/2025 | 145,154 | ||||||||||||
10,200 | Spectacle Gary Holdings, LLC | — | 11/7/2025 | 10,538 | ||||||||||||
221,179 | ||||||||||||||||
RETAIL - DISCRETIONARY - 0.1% | ||||||||||||||||
30,000 | Petco Health & Wellness Company, Inc. | — | 2/25/2028 | 30,019 | ||||||||||||
TRANSPORTATION & LOGISTICS - 0.3% | ||||||||||||||||
75,000 | Grupo Aeromexico S.A.B. de C.V. | 11.0000 | 8/19/2022 | 74,250 | ||||||||||||
TOTAL TERM LOANS (Cost - $406,228) | 419,105 | |||||||||||||||
CORPORATE BONDS - 44.8% | ||||||||||||||||
ADVERTISING & MARKETING - 0.5% | ||||||||||||||||
98,000 | MDC Partners, Inc. # | 6.5000 | 5/1/2024 | 98,883 | ||||||||||||
20,000 | Outfront Media Capital, LLC / Outfront Media Capital Corporation # | 4.2500 | 1/15/2029 | 19,475 | ||||||||||||
118,358 | ||||||||||||||||
AEROSPACE & DEFENSE - 1.0% | ||||||||||||||||
50,000 | Boeing Company (The) | 5.8050 | 5/1/2050 | 63,902 | ||||||||||||
200,000 | TransDigm, Inc. # | 6.2500 | 3/15/2026 | 168,809 | ||||||||||||
232,711 |
42
SCHEDULES OF INVESTMENTS |
JAMES ALPHA HEDGED HIGH INCOME PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Principal | Coupon Rate (%) | Maturity Date | Value | |||||||||||||
CORPORATE BONDS - 44.8% (Continued) | ||||||||||||||||
APPAREL & TEXTILE PRODUCTS - 0.0% | ||||||||||||||||
$ | 3,000 | Levi Strauss & Company # | 3.5000 | 3/1/2031 | $ | 3,030 | ||||||||||
ASSET MANAGEMENT - 2.9% | ||||||||||||||||
200,000 | Ares Capital Corporation | 2.1500 | 7/15/2026 | 197,054 | ||||||||||||
60,000 | Charles Schwab Corporation (The), 5 Year Treasury + 3.0790% | 4.0000 | * | 3/1/2069 | 60,300 | |||||||||||
302,000 | Monroe Capital Corporation | 4.7500 | 2/15/2026 | 303,227 | ||||||||||||
140,000 | VistaJet Malta Finance plc / XO Management Holding, Inc. # | 10.5000 | 6/1/2024 | 149,450 | ||||||||||||
710,031 | ||||||||||||||||
AUTOMOTIVE - 2.1% | ||||||||||||||||
62,000 | Dealer Tire, LLC / DT Issuer, LLC # | 8.0000 | 2/1/2028 | 66,495 | ||||||||||||
35,000 | Ford Motor Company | 8.5000 | 4/21/2023 | 39,200 | ||||||||||||
35,000 | Ford Motor Company | 9.0000 | 4/22/2025 | 42,534 | ||||||||||||
250,000 | Ford Motor Company | 5.2910 | 12/8/2046 | 264,856 | ||||||||||||
100,000 | Real Hero Merger Sub 2, Inc. # | 6.2500 | 2/1/2029 | 103,125 | ||||||||||||
516,210 | ||||||||||||||||
BANKING - 0.8% | ||||||||||||||||
80,000 | Citigroup, Inc., SOFR + 3.2340% | 4.7000 | * | Perpetual | 80,966 | |||||||||||
110,000 | JPMorgan Chase & Company, SOFR + 3.1250% | 4.6000 | * | Perpetual | 112,338 | |||||||||||
193,304 | ||||||||||||||||
BIOTECHNOLOGY & PHARMACEUTICALS - 0.3% | ||||||||||||||||
75,000 | Teva Pharmaceutical Finance Netherlands III BV | 3.1500 | 10/1/2026 | 70,426 | ||||||||||||
CHEMICALS - 0.2% | ||||||||||||||||
56,000 | NOVA Chemicals Corporation # | 5.2500 | 6/1/2027 | 58,450 | ||||||||||||
CONSTRUCTION MATERIALS - 0.5% | ||||||||||||||||
60,000 | Standard Industries, Inc. # | 4.3750 | 7/15/2030 | 62,008 | ||||||||||||
45,000 | Summit Materials, LLC / Summit Materials Finance Corporation # | 6.5000 | 3/15/2027 | 47,760 | ||||||||||||
109,768 | ||||||||||||||||
CONTAINERS & PACKAGING - 1.6% | ||||||||||||||||
250,000 | Berry Global, Inc. # | 1.5700 | 1/15/2026 | 250,483 | ||||||||||||
125,000 | Intelligent Packaging Ltd. Finco Inc / Intelligent Packaging Ltd. Co-Issuer, LLC # | 6.0000 | 9/15/2028 | 130,547 | ||||||||||||
381,030 | ||||||||||||||||
ELECTRIC UTILITIES - 0.4% | ||||||||||||||||
15,000 | NRG Energy, Inc. # | 3.3750 | 2/15/2029 | 14,784 | ||||||||||||
20,000 | NRG Energy, Inc. # | 3.6250 | 2/15/2031 | 19,561 | ||||||||||||
70,000 | Vistra Operations Company, LLC # | 5.6250 | 2/15/2027 | 73,515 | ||||||||||||
107,860 | ||||||||||||||||
ENGINEERING & CONSTRUCTION - 1.1% | ||||||||||||||||
125,000 | Michael Baker International, LLC # | 8.7500 | 3/1/2023 | 127,344 | ||||||||||||
90,000 | PowerTeam Services, LLC # | 9.0330 | 12/4/2025 | 99,900 | ||||||||||||
132,838 | Stoneway Capital Corporation # | — | 3/1/2027 | 52,472 | ||||||||||||
279,716 | ||||||||||||||||
ENTERTAINMENT CONTENT - 0.1% | ||||||||||||||||
51,000 | Diamond Sports Group, LLC / Diamond Sports Finance Company # | 6.6250 | 8/15/2027 | 26,329 | ||||||||||||
FOOD - 1.8% | ||||||||||||||||
323,000 | Cooke Omega Investments, Inc. / Alpha VesselCompany Holdings, Inc. # | 8.5000 | 12/15/2022 | 332,488 | ||||||||||||
63,000 | Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc. # | 4.6250 | 3/1/2029 | 63,931 | ||||||||||||
94,323 | Youngs PIK SCA (a) | 8.2500 | ~ | 8/1/2022 | 50,272 | |||||||||||
446,691 | ||||||||||||||||
FORESTRY, PAPER & WOOD PRODUCTS - 0.3% | ||||||||||||||||
70,000 | Mercer International, Inc. # | 5.1250 | 2/1/2029 | 71,313 | ||||||||||||
HEALTH CARE FACILITIES & SERVICES - 3.2% | ||||||||||||||||
40,000 | DaVita, Inc. # | 4.6250 | 6/1/2030 | 406,750 | ||||||||||||
124,000 | Trinity Health Corporation | 2.6320 | 12/1/2040 | 119,087 | ||||||||||||
250,000 | US Acute Care Solutions, LLC # | 6.3750 | 3/1/2026 | 255,938 | ||||||||||||
781,775 | ||||||||||||||||
HOME CONSTRUCTION - 1.1% | ||||||||||||||||
250,000 | Taylor Morrison Communities, Inc. # | 5.1250 | 8/1/2030 | 268,856 | ||||||||||||
HOUSEHOLD PRODUCTS - 0.2% | ||||||||||||||||
40,000 | Clearwater Paper Corporation # | 4.7500 | 8/15/2028 | 41,038 | ||||||||||||
INSURANCE - 1.1% | ||||||||||||||||
100,000 | Liberty Mutual Insurance Company # | 7.6970 | 10/15/2097 | 146,603 | ||||||||||||
105,000 | Nationwide Mutual Insurance Company # | 4.3500 | 4/30/2050 | 114,768 | ||||||||||||
261,371 |
43
SCHEDULES OF INVESTMENTS |
JAMES ALPHA HEDGED HIGH INCOME PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Principal | Coupon Rate (%) | Maturity Date | Value | |||||||||||
CORPORATE BONDS - 44.8% (Continued) | ||||||||||||||
INTERNET MEDIA & SERVICES - 0.3% | ||||||||||||||
$ | 70,000 | Expedia Group, Inc. # | 4.6250 | 8/1/2027 | $ | 77,901 | ||||||||
LEISURE FACILITIES & SERVICES - 2.6% | ||||||||||||||
25,000 | Caesars Entertainment, Inc. # | 8.1250 | 7/1/2027 | 27,298 | ||||||||||
35,000 | Hilton Domestic Operating Company, Inc. # | 3.7500 | 5/1/2029 | 35,671 | ||||||||||
35,000 | Hilton Domestic Operating Company, Inc. # | 4.0000 | 5/1/2031 | 35,547 | ||||||||||
30,000 | Hyatt Hotels Corporation | 5.3750 | 4/23/2025 | 33,736 | ||||||||||
13,000 | Marriott International, Inc. | 4.6250 | 6/15/2030 | 14,746 | ||||||||||
40,000 | Marriott International, Inc. | 3.5000 | 10/15/2032 | 42,082 | ||||||||||
55,000 | Scientific Games International, Inc. # | 7.0000 | 5/15/2028 | 58,376 | ||||||||||
75,000 | Station Casinos, LLC # | 4.5000 | 2/15/2028 | 74,859 | ||||||||||
884,682 | Tunica-Biloxi Gaming Authority # | 3.7800 | 12/28/2021 | 274,251 | ||||||||||
30,000 | Viking Ocean Cruises Ship VII Ltd. # | 5.6250 | 2/15/2029 | 30,270 | ||||||||||
626,836 | ||||||||||||||
MACHINERY - 0.2% | ||||||||||||||
25,000 | ATS Automation Tooling Systems, Inc. # | 4.1250 | 12/15/2028 | 25,329 | ||||||||||
25,000 | Hillenbrand, Inc. | 3.7500 | 3/1/2031 | 24,938 | ||||||||||
50,267 | ||||||||||||||
METALS & MINING - 2.3% | ||||||||||||||
25,000 | Arconic Corporation # | 6.1250 | 2/15/2028 | 26,430 | ||||||||||
30,000 | Coeur Mining, Inc. # | 5.1250 | 2/15/2029 | 29,231 | ||||||||||
15,000 | Hudbay Minerals, Inc. # | 4.5000 | 4/1/2026 | 15,225 | ||||||||||
17,000 | Joseph T Ryerson & Son, Inc. # | 8.5000 | 8/1/2028 | 18,647 | ||||||||||
373,000 | Mountain Province Diamonds, Inc. # | 8.0000 | 12/15/2022 | 349,572 | ||||||||||
31,000 | Novelis Corporation # | 4.7500 | 1/30/2030 | 32,366 | ||||||||||
100,000 | Taseko Mines Ltd. # | 7.0000 | 2/15/2026 | 102,146 | ||||||||||
573,617 | ||||||||||||||
OIL & GAS PRODUCERS - 3.6% | ||||||||||||||
60,000 | Aethon United BR, L.P. / Aethon United Finance Corporation # | 8.2500 | 2/15/2026 | 62,550 | ||||||||||
70,000 | Baytex Energy Corporation # | 8.7500 | 4/1/2027 | 61,872 | ||||||||||
40,000 | Cheniere Energy, Inc. # | 4.0000 | 3/1/2031 | 40,363 | ||||||||||
10,000 | CITGO Petroleum Corporation # | 6.3750 | 6/15/2026 | 10,163 | ||||||||||
60,000 | Enable Midstream Partners, L.P. | 4.9500 | 5/15/2028 | 67,480 | ||||||||||
120,000 | Energy Transfer Operating, L.P., 5 Year Treasury + 5.3060% | 7.1250 | * | Perpetual | 116,054 | |||||||||
16,000 | EnLink Midstream Partners, L.P. | 5.6000 | 4/1/2044 | 13,629 | ||||||||||
84,000 | EnLink Midstream, LLC | 5.3750 | 6/1/2029 | 83,318 | ||||||||||
45,000 | Hess Midstream Operations, L.P. # | 5.1250 | 6/15/2028 | 46,463 | ||||||||||
45,000 | Indigo Natural Resources, LLC # | 5.3750 | 2/1/2029 | 44,888 | ||||||||||
90,000 | MEG Energy Corporation # | 7.1250 | 2/1/2027 | 95,211 | ||||||||||
75,000 | Midwest Connector Capital Company, LLC # | 4.6250 | 4/1/2029 | 75,574 | ||||||||||
95,000 | PBF Holding Company, LLC / PBF Finance Corporation # | 6.0000 | 2/15/2028 | 60,503 | ||||||||||
85,000 | Petroleos Mexicanos | 6.8400 | 1/23/2030 | 85,839 | ||||||||||
24,000 | Talos Petroleum, LLC | 7.5000 | 5/31/2022 | 21,180 | ||||||||||
885,087 | ||||||||||||||
OIL & GAS SERVICES & EQUIPMENT - 2.8% | ||||||||||||||
352,000 | ION Geophysical Corporation | 9.1250 | 12/15/2021 | 348,480 | ||||||||||
190,224 | Noram Drilling Company A/S | 9.0000 | 6/3/2021 | 189,273 | ||||||||||
100,000 | Shelf Drilling Holdings Ltd. # | 8.2500 | 2/15/2025 | 63,688 | ||||||||||
84,538 | Transocean Sentry Ltd. # | 5.3750 | 5/15/2023 | 81,051 | ||||||||||
19,000 | Transocean, Inc. # | 8.0000 | 2/1/2027 | 11,923 | ||||||||||
694,415 | ||||||||||||||
PUBLISHING & BROADCASTING - 2.7% | ||||||||||||||
155,000 | Beasley Mezzanine Holdings, LLC # | 8.6250 | 2/1/2026 | 157,325 | ||||||||||
200,000 | Clear Channel International BV # | 6.6250 | 8/1/2025 | 211,250 | ||||||||||
90,000 | Clear Channel Outdoor Holdings, Inc. # | 7.7500 | 4/15/2028 | 91,303 | ||||||||||
65,000 | Clear Channel Worldwide Holdings, Inc. | 9.2500 | 2/15/2024 | 67,803 | ||||||||||
125,000 | Urban One, Inc. # | 7.3750 | 2/1/2028 | 126,250 | ||||||||||
653,931 | ||||||||||||||
REITS - 1.0% | ||||||||||||||
105,000 | iStar, Inc. | 4.2500 | 8/1/2025 | 105,211 | ||||||||||
55,000 | MPT Operating Partnership, L.P. / MPT Finance Corporation | 4.6250 | 8/1/2029 | 59,228 | ||||||||||
45,000 | MPT Operating Partnership, L.P. / MPT Finance Corporation | 3.5000 | 3/15/2031 | 45,848 | ||||||||||
45,000 | Uniti Group, L.P. / Uniti Group Finance, Inc. / CSL Capital, LLC | 6.5000 | 2/15/2029 | 45,549 | ||||||||||
255,836 | ||||||||||||||
RETAIL - DISCRETIONARY - 1.7% | ||||||||||||||
105,000 | Foundation Building Materials, Inc. # | 6.0000 | 3/1/2029 | 249,687 | ||||||||||
55,000 | House of Fraser Funding plc, 3 mo. BP LIBOR + 5.7500% + | 6.6500 | 9/15/2021 | 27,796 | ||||||||||
45,000 | Michaels Stores, Inc. # | 8.0000 | 7/15/2027 | 111,196 | ||||||||||
45,000 | Party City Holdings, Inc. # | 8.7500 | 2/15/2026 | 24,525 | ||||||||||
413,204 |
44
SCHEDULES OF INVESTMENTS |
JAMES ALPHA HEDGED HIGH INCOME PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Principal | Coupon Rate (%) | Maturity Date | Value | |||||||||||||
CORPORATE BONDS - 44.8% (Continued) | ||||||||||||||||
SOFTWARE - 0.0% | ||||||||||||||||
$ | 5,000 | ZoomInfo Technologies, LLC / ZoomInfo Finance Corporation # | 3.8750 | 2/1/2029 | $ | 4,975 | ||||||||||
SPECIALTY FINANCE - 3.6% | ||||||||||||||||
35,000 | Air Lease Corporation | 3.1250 | 12/1/2030 | 34,997 | ||||||||||||
200,000 | Avation Capital S.A. # | 6.5000 | 5/15/2021 | 160,725 | ||||||||||||
108,000 | Freedom Mortgage Corporation # | 8.1250 | 11/15/2024 | 112,388 | ||||||||||||
67,356 | Global Aircraft Leasing Company Ltd. # | 6.5000 | ~ | 9/15/2024 | 62,681 | |||||||||||
350,000 | Home Point Capital, Inc. # | 5.0000 | 2/1/2026 | 348,686 | ||||||||||||
35,000 | Nationstar Mortgage Holdings, Inc. # | 6.0000 | 1/15/2027 | 36,810 | ||||||||||||
40,000 | Nationstar Mortgage Holdings, Inc. # | 5.5000 | 8/15/2028 | 41,175 | ||||||||||||
10,000 | Nationstar Mortgage Holdings, Inc. # | 5.1250 | 12/15/2030 | 10,214 | ||||||||||||
84,000 | TMX Finance, LLC / TitleMax Finance Corporation # | 11.1250 | 4/1/2023 | 85,080 | ||||||||||||
892,756 | ||||||||||||||||
TECHNOLOGY HARDWARE - 0.9% | ||||||||||||||||
70,139 | Interactive Network, Inc. / FriendFinder Networks, Inc. | 14.0000 | 4/27/2025 | 57,865 | ||||||||||||
194,015 | Interactive Network, Inc. / FriendFinder Networks, Inc. | 14.0000 | 4/27/2025 | 160,062 | ||||||||||||
217,927 | ||||||||||||||||
TELECOMMUNICATIONS - 0.5% | ||||||||||||||||
70,000 | T-Mobile USA, Inc. # | 3.3000 | 2/15/2051 | 64,928 | ||||||||||||
50,000 | Windstream Escrow, LLC / Windstream Escrow Finance Corporation # | 7.7500 | 8/15/2028 | 51,281 | ||||||||||||
116,209 | ||||||||||||||||
TOBACCO & CANNABIS - 0.7% | ||||||||||||||||
150,000 | Turning Point Brands, Inc. # | 5.6250 | 2/15/2026 | 155,625 | ||||||||||||
TRANSPORTATION & LOGISTICS - 2.7% | ||||||||||||||||
55,000 | Air Canada 2020-2 Class A Pass Through Trust # | 5.2500 | 4/1/2029 | 59,131 | ||||||||||||
38,424 | Alaska Airlines 2020-1 Class A Pass Through Trust # | 4.8000 | 8/15/2027 | 42,453 | ||||||||||||
90,000 | Bristow Group, Inc. | 7.7500 | 12/15/2022 | 90,128 | ||||||||||||
250,000 | Bristow Group, Inc. # | 6.8750 | 3/1/2028 | 252,812 | ||||||||||||
14,749 | British Airways 2020-1 Class B Pass Through Trust # | 8.3750 | 11/15/2028 | 16,838 | ||||||||||||
14,869 | British Airways 2020-1 Class A Pass Through Trust # | 4.2500 | 11/15/2032 | 15,817 | ||||||||||||
25,000 | Delta Air Lines Inc / SkyMiles IP Ltd. # | 4.7500 | 10/20/2028 | 27,664 | ||||||||||||
65,000 | Mileage Plus Holdings, LLC / Mileage Plus Intellectual Property Assets Ltd. # | 6.5000 | 6/20/2027 | 71,094 | ||||||||||||
13,000 | United Airlines 2020-1 Class B Pass Through Trust | 4.8750 | 1/15/2026 | 13,601 | ||||||||||||
70,000 | Western Global Airlines, LLC # | 10.3750 | 8/15/2025 | 78,400 | ||||||||||||
667,938 | ||||||||||||||||
TOTAL CORPORATE BONDS (Cost - $12,143,016) | 10,964,791 | |||||||||||||||
CONVERTIBLE BONDS - 0.9% | ||||||||||||||||
BIOTECHNOLOGY & PHARMACEUTICALS - 0.1% | ||||||||||||||||
60,000 | Tricida, Inc. # | 3.5000 | 5/15/2027 | 26,379 | ||||||||||||
FOREST PAPER & WOOD PRODUCTS - 0.0% | ||||||||||||||||
330,000 | Fortress Global Enterprises, Inc. (a)(b) | 9.7500 | 12/31/2021 | 13 | ||||||||||||
REITS - 0.0% | ||||||||||||||||
5,000 | Summit Hotel Properties, Inc. | 1.5000 | 2/15/2026 | 5,647 | ||||||||||||
TRANSPORTATION & LOGISTICS - 0.8% | ||||||||||||||||
68,000 | Air Canada # | 4.0000 | 7/1/2025 | 106,420 | ||||||||||||
55,000 | Southwest Airlines Company | 1.2500 | 5/1/2025 | 92,744 | ||||||||||||
199,164 | ||||||||||||||||
TOTAL CONVERTIBLE BONDS (Cost - $412,056) | 231,203 | |||||||||||||||
PREFERRED STOCK - 4.4% | ||||||||||||||||
BANKING - 1.3% | ||||||||||||||||
60 | Wells Fargo & Company Series L | 7.5000 | Perpetual | 83,280 | ||||||||||||
9,210 | Wells Fargo & Company Series O | 5.1250 | Perpetual | 230,803 | ||||||||||||
314,083 | ||||||||||||||||
ELECTRICAL EQUIPMENT - 2.1% | ||||||||||||||||
20,000 | Babcock & Wilcox Enterprises, Inc. | 8.1250 | 2/28/2026 | 500,000 | ||||||||||||
LEISURE PRODUCTS - 0.0% | ||||||||||||||||
649 | JAKKS Pacific, Inc. (a)(b) | — | Perpetual | — | ||||||||||||
SPECIALTY FINANCE - 0.1% | ||||||||||||||||
388 | Populus Preferred Equity (a)(b) | 10.0000 | Perpetual | 31,040 | ||||||||||||
TELECOMMUNICATIONS - 0.9% | ||||||||||||||||
8,922 | United States Cellular Corporation | 6.2500 | Perpetual | 224,834 | ||||||||||||
TOTAL PREFERRED STOCK (Cost - $1,034,726) | 1,069,957 |
45
SCHEDULES OF INVESTMENTS |
JAMES ALPHA HEDGED HIGH INCOME PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Shares | Value | |||||||
COMMON STOCK - 2.8% | ||||||||
ENTERTAINMENT CONTENT - 0.0% | ||||||||
781 | FriendFinder Networks, Inc. (a)(b) + | $ | — | |||||
LEISURE PRODUCTS - 0.0% | ||||||||
1,899 | JAKKS Pacific, Inc. (a)(b) | — | ||||||
MACHINERY - 0.5% | ||||||||
161 | CE Star (a)(b) | 106,269 | ||||||
METALS & MINING - 1.1% | ||||||||
8 | RA Parent, Inc. (a)(b) + | 262,510 | ||||||
OIL & GAS PRODUCERS - 1.1% | ||||||||
14,996 | Delphi Energy Corporation (a)(b) | 177,678 | ||||||
123,981 | PetroQuest Energy, Inc. (a)(b) | 92,242 | ||||||
107,881 | Zargon Oil & Gas Ltd. (a)(b) | — | ||||||
269,920 | ||||||||
OIL & GAS SERVICES & EQUIPMENT - 0.1% | ||||||||
1,701 | FTS International, Inc. | 32,574 | ||||||
RETAIL DISCRETIONARY - 0.0% | ||||||||
2,920 | Nebraska Book Holdings, Inc. (a)(b) | 6,205 | ||||||
TOTAL COMMON STOCK (Cost - $1,579,679) | 677,478 | |||||||
EXCHANGE TRADED FUNDS - 3.6% | ||||||||
EQUITY FUNDS - 1.4% | ||||||||
5,147 | Alerian MLP ETF | 146,432 | ||||||
5,405 | InfraCap MLP ETF | 119,126 | ||||||
2,001 | ProShares UltraPro Short S&P 500 | 55,028 | ||||||
1,251 | ProShares UltraShort Russell 2000 | 19,566 | ||||||
340,152 | ||||||||
FIXED INCOME FUNDS - 2.2% | ||||||||
1 | iShares 0-5 Year High Yield Corporate Bond ETF | 45 | ||||||
8,500 | ProShares UltraShort 20+ Year Treasury | 166,855 | ||||||
2,799 | VanEck Vectors Emerging Markets High Yield Bond ETF | 66,952 | ||||||
9,611 | VanEck Vectors J.P. Morgan EM Local Currency Bond ETF | 304,861 | ||||||
538,713 | ||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $1,385,520) | 878,865 | |||||||
MUTUAL FUNDS - 6.4% | ||||||||
FIXED INCOME FUNDS - 6.4% | ||||||||
142,057 | James Alpha Structured Credit Value Portfolio - Class S ++ | 1,582,515 | ||||||
TOTAL MUTUAL FUNDS (Cost - $1,420,570) | ||||||||
CLOSED END FUNDS - 4.1% | ||||||||
FIXED INCOME FUNDS - 4.1% | ||||||||
15,000 | Ares Dynamic Credit Allocation Fund, Inc. | 221,400 | ||||||
10,000 | BlackRock Corporate High Yield Fund, Inc. | 114,300 | ||||||
5,224 | BlackRock Credit Allocation Income Trust | 75,121 | ||||||
12,460 | BlackRock Limited Duration Income Trust | 196,993 | ||||||
6,000 | DoubleLine Income Solutions Fund | 104,820 | ||||||
15,622 | Invesco Dynamic Credit Opportunities Fund | 171,842 | ||||||
20,000 | Nuveen Credit Strategies Income Fund | 128,600 | ||||||
1 | PGIM High Yield Bond Fund, Inc. | 15 | ||||||
TOTAL CLOSED END FUND (Cost - $838,814) | 1,013,091 | |||||||
SHORT-TERM INVESTMENTS - 9.5% | ||||||||
2,331,214 | Dreyfus Institutional Preferred Government Money Market, Institutional Class, 0.01% * | 2,331,214 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $2,331,214) |
46
SCHEDULES OF INVESTMENTS |
JAMES ALPHA HEDGED HIGH INCOME PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Value | ||||||||
TOTAL INVESTMENTS - 91.0% (Cost - $24,574,789) | $ | 22,304,136 | ||||||
OTHER ASSETS AND LIABILITIES - 9.0% | 2,195,131 | |||||||
NET ASSETS - 100.0% | $ | 24,499,267 |
* | Floating or variable rate security; rate shown represents the rate on February 28, 2021. |
~ | Pay in kind rate security. |
# | Securities exempt from registration under Rule 144A of Securities Act of 1933. These securities may be resold in transaction exempt from registration to qualified institutional buyers. At February 28, 2021, these securities amounted to $9,726,609 or 39.7% of net assets. |
+ | Represents issuer in default on interest payments; non-income producing security. |
++ | Affiliated investment |
BP LIBOR - British Pound Sterling LIBOR Rate
ETF - Exchange Traded Fund
LIBOR - London Inter-bank Offered Rate
LLC - Limited Liability Company
L.P. - Limited Partnership
Ltd. - Limited Company
plc - Public Limited Company
REITs - Real Estate Investment Trusts
REMICS - Real Estate Mortgage Investment Conduits
SOFR - Secured Overnight Financing Rate
(a) | The value of this security has been determined in good faith under policies of the Board of Trustees. |
(b) | Security is illiquid; total illiquid securities represent $726,229 or 3.0% of net assets. |
Principal | Coupon Rate (%) | Maturity Date | Value | |||||||||||||
SECURITIES SOLD SHORT (6.2)% | ||||||||||||||||
CORPORATE BONDS - (3.7)% | ||||||||||||||||
BANKING - (1.4)% | ||||||||||||||||
$ | 340,000 | Wells Fargo & Company, 5 Year Treasury + 3.4530% | 3.9000 | * | Perpetual | $ | 338,903 | |||||||||
ENTERTAINMENT CONTENT - (1.3)% | ||||||||||||||||
250,000 | Walt Disney Company (The) | 4.7000 | 3/23/2050 | 317,114 | ||||||||||||
FOOD - (1.0)% | ||||||||||||||||
250,000 | Post Holdings, Inc. | 4.5000 | 9/15/2031 | 249,859 | ||||||||||||
TOTAL CORPORATE BONDS (Proceeds - $929,746) | 905,876 | |||||||||||||||
U.S. GOVERNMENT & AGENCIES - (2.5)% | ||||||||||||||||
U.S. TREASURY NOTES - (2.5)% | ||||||||||||||||
200,000 | United States Treasury Note | 0.3750 | 1/31/2026 | 196,219 | ||||||||||||
250,000 | United States Treasury Note | 0.5000 | 2/28/2026 | 246,641 | ||||||||||||
200,000 | United States Treasury Note | 1.3750 | 11/15/2040 | 176,437 | ||||||||||||
TOTAL U.S. GOVERNMENT & AGENCIES (Proceeds - $635,310) | 619,297 | |||||||||||||||
TOTAL SECURITIES SOLD SHORT (Proceeds - $1,565,056) | 1,525,173 |
47
SCHEDULES OF INVESTMENTS |
JAMES ALPHA HEDGED HIGH INCOME PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Long (Short) | Unrealized | |||||||||||||||||
Contracts | Counter Party | Notional Value | Maturity Date | Gain / (Loss) | ||||||||||||||
OPEN LONG FUTURE CONTRACTS - (0.1)% | ||||||||||||||||||
4 | CBOT 10 Year US Treasury Note Future | JP Morgan | $ | 530,880 | 6/21/2021 | $ | (6,312 | ) | ||||||||||
12 | Ultra 10-Year US Treasury Note Future | JP Morgan | 1,768,080 | 6/21/2021 | (20,528 | ) | ||||||||||||
NET UNREALIZED LOSS FROM OPEN LONG CONTRACTS | (26,840 | ) | ||||||||||||||||
OPEN SHORT FUTURE CONTRACTS - 0.5% | ||||||||||||||||||
(3 | ) | CBOT 2 Year US Treasury Note Future | JP Morgan | (331,149 | ) | 6/30/2021 | 538 | |||||||||||
(4 | ) | CBOT 5 Year US Treasury Note Future | JP Morgan | (495,876 | ) | 6/30/2021 | (188 | ) | ||||||||||
(3 | ) | CBOT US Long Bond Future | JP Morgan | (477,657 | ) | 6/21/2021 | 6,820 | |||||||||||
(14 | ) | CBT 10 Year US Deliverable Interest Rate Future | JP Morgan | (1,293,907 | ) | 3/15/2021 | 78,093 | |||||||||||
(3 | ) | CME Ultra Long Term US Treasury Bond Future | JP Morgan | (567,189 | ) | 6/21/2021 | 8,952 | |||||||||||
(5 | ) | Eurex 10 Year Euro BUND Future | JP Morgan | (867,000 | ) | 3/8/2021 | 19,968 | |||||||||||
NET UNREALIZED GAIN FROM OPEN SHORT CONTRACTS | 114,183 | |||||||||||||||||
NET UNREALIZED GAIN FROM OPEN FUTURES CONTRACTS | 87,343 |
OPEN CREDIT DEFAULT SWAPS - (1.2)%
Notional | Upfront Premiums | Expiration | Pay/Receive | Unrealized | ||||||||||||||||||||
Amount | Paid/(Received) | Reference Entity | Counterparty | Date | Fixed Rate ^ | Fixed Rate | Value | Gain/ (Loss) | ||||||||||||||||
$ | 2,300,000 | $ | (8,057 | ) | CDX HY CDSI S34 5Y (a) | JP Morgan | 6/20/2025 | Receive | 5.00% | $ | (190,886 | ) | (182,829 | ) | ||||||||||
1,000,000 | (75,241 | ) | CDX HY CDSI S35 5Y (b) | JP Morgan | 12/20/2025 | Receive | 5.00% | (82,120 | ) | (6,879 | ) | |||||||||||||
900,000 | (14,383 | ) | CDX IG SERIES 34 5Y (c) | JP Morgan | 6/20/2025 | Receive | 1.00% | (13,614 | ) | 769 | ||||||||||||||
$ | (286,620 | ) | (188,939 | ) |
(a) | Markit CDX NA High Yield Index High Yield Series 34 Index. |
(a) | Markit CDX NA High Yield Index High Yield Series 35 Index. |
(c) | Markit CDX NA Investment Grade Series 34 Index. |
^ | If the Fund is receiving a fixed rate, the Fund acts as guarantor of the variable instrument. If the Fund is paying the fixed rate, the counterparty acts as guarantor of the variable instrument. |
FORWARD CURRENCY CONTRACTS - (0.0)%
Settlement | Units to | US Dollar | |||||||||||||||||||||
Date | Receive/Deliver | Base Currency | Counterparty | In Exchange For | Value | Unrealized Loss | |||||||||||||||||
To Sell: | |||||||||||||||||||||||
3/5/2021 | 188,000 | CAD | BNY Mellon Corp. | $ | 146,594 | USD | $ | 148,501 | $ | (1,907 | ) | ||||||||||||
3/19/2021 | 37,000 | CAD | BNY Mellon Corp. | 29,104 | USD | 29,227 | (123 | ) | |||||||||||||||
3/19/2021 | 54,500 | EUR | BNY Mellon Corp. | 65,806 | USD | 66,183 | (377 | ) | |||||||||||||||
3/19/2021 | 12,700 | GBP | BNY Mellon Corp. | 17,715 | USD | 17,758 | (43 | ) | |||||||||||||||
3/26/2021 | 7,100 | GBP | BNY Mellon Corp. | 10,039 | USD | 9,928 | 111 | ||||||||||||||||
$ | (2,339 | ) |
CAD - Canadian Dollar
EUR - Euro
GBP - Great British Pound
48
STATEMENTS OF ASSETS AND LIABILITIES |
February 28, 2021 (Unaudited) |
James Alpha | James Alpha | |||||||||||
James Alpha | Global Real Estate | Multi Strategy | ||||||||||
Macro | Investments | Alternative Income | ||||||||||
Portfolio | Portfolio | Portfolio | ||||||||||
Assets: | (Consolidated) | |||||||||||
Investments in Affiliates, at cost | $ | 2,932,220 | $ | — | $ | 483,969 | ||||||
Investments in Unaffilated securities, at cost | 4,971,678 | 945,559,582 | 14,372,289 | |||||||||
Total Investments, at cost | $ | 7,903,898 | $ | 945,559,582 | $ | 14,856,258 | ||||||
Investments Affiliates, at value | $ | 3,153,353 | $ | — | $ | 527,516 | ||||||
Investments in Unaffiated securities, at value | 5,057,250 | 786,686,003 | 15,522,468 | |||||||||
Total Investments, at value | $ | 8,210,603 | $ | 786,686,003 | $ | 16,049,984 | ||||||
Cash | 110,404 | 100 | 2,997 | |||||||||
Foreign Cash (Cost $3,206, $0, $56,821) | 3,210 | — | 55,529 | |||||||||
Deposit at Broker | 1,271,567 | — | 2,552,078 | |||||||||
Unrealized appreciation on swaps | 775,057 | — | — | |||||||||
Unrealized appreciation on forward currency exchange contracts | 457,120 | 67,796 | 45 | |||||||||
Receivable for securities sold | — | 13,059,919 | 394,521 | |||||||||
Receivable for fund shares sold | — | 532,395 | — | |||||||||
Interest and dividends receivable | 19 | 1,695,025 | 28,447 | |||||||||
Prepaid expenses and other assets | 17,833 | 137,500 | 8,825 | |||||||||
Total Assets | 10,845,813 | 802,178,738 | 19,092,426 | |||||||||
Liabilities: | ||||||||||||
Securities sold short (Proceeds $0, $0, $3,416,936) | — | — | 4,382,852 | |||||||||
Payable for securities purchased | — | 13,163,337 | 342,675 | |||||||||
Payable for fund shares redeemed | 1,108,142 | 1,411,017 | 263,341 | |||||||||
Payable to manager | 1,402 | 314,548 | 11,258 | |||||||||
Unrealized depreciation on forward currency contracts | 458,061 | 30,146 | — | |||||||||
Supervisory fee payable | 868 | 46,679 | 825 | |||||||||
Administration fees payable | 7,514 | 259,572 | 10,199 | |||||||||
Custody fees payable | 9,896 | 87,603 | 37,017 | |||||||||
Trustee fees payable | 1,035 | 24,006 | 874 | |||||||||
Compliance officer fees payable | 392 | 21,858 | 500 | |||||||||
Payable for distribution (12b-1) fees | 581 | 84,910 | 65 | |||||||||
Dividend Payable | — | — | 3,111 | |||||||||
Interest Payable | — | — | 714 | |||||||||
Accrued expenses and other liabilities | 12,677 | 256,360 | 12,711 | |||||||||
Total Liabilities | 1,600,568 | 15,700,036 | 5,066,142 | |||||||||
Net Assets | $ | 9,245,245 | $ | 786,478,702 | $ | 14,026,284 | ||||||
Net Assets: | ||||||||||||
Par value of shares of beneficial interest | $ | 9,625 | $ | 433,316 | $ | 14,746 | ||||||
Paid in capital | 11,265,633 | 943,849,325 | 13,368,404 | |||||||||
Accumulated earnings (loss) | (2,030,013 | ) | (157,803,939 | ) | 643,134 | |||||||
Net Assets | $ | 9,245,245 | $ | 786,478,702 | $ | 14,026,284 | ||||||
Net Asset Value Per Share | ||||||||||||
Class I | ||||||||||||
Net Assets | $ | 5,302,644 | $ | 585,298,875 | $ | 13,567,370 | ||||||
Shares of beneficial interest outstanding | 552,608 | 31,977,467 | 1,426,789 | |||||||||
Net asset value, redemption price and offering price per share | $ | 9.60 | $ | 18.30 | $ | 9.51 | ||||||
Class A | ||||||||||||
Net Assets | $ | 541,719 | $ | 96,483,196 | $ | 4,039 | ||||||
Shares of beneficial interest outstanding | 56,813 | 5,508,642 | 425 | |||||||||
Net asset value, redemption price per share | $ | 9.54 | $ | 17.51 | $ | 9.50 | ||||||
Offering price per share (maximum sales charge of 5.75%) | $ | 10.12 | $ | 18.58 | $ | 10.08 | ||||||
Class C | ||||||||||||
Net Assets | $ | 279,714 | $ | 70,358,650 | $ | 70,675 | ||||||
Shares of beneficial interest outstanding | 31,025 | 3,990,699 | 7,633 | |||||||||
Net asset value, offering price per share (a) | $ | 9.02 | $ | 17.63 | $ | 9.26 | ||||||
Class S | ||||||||||||
Net Assets | $ | 3,121,168 | $ | 34,337,981 | $ | 384,200 | ||||||
Shares of beneficial interest outstanding | 322,020 | 1,854,797 | 39,710 | |||||||||
Net asset value, redemption price and offering price per share | $ | 9.69 | $ | 18.51 | $ | 9.68 |
(a) | Redemption price per C share varies based on length of time shares are held. |
See accompanying notes to financial statements.
49
STATEMENTS OF ASSETS AND LIABILITIES |
February 28, 2021 (Unaudited) |
James Alpha | James Alpha | James Alpha | ||||||||||
Managed Risk | Managed Risk | Hedged | ||||||||||
Domestic Equity | Emerging Markets | High Income | ||||||||||
Portfolio | Equity Portfolio | Portfolio | ||||||||||
Assets: | ||||||||||||
Investments in Affiliates, at cost | $ | — | $ | — | $ | 1,420,570 | ||||||
Investments in Unaffilated securities, at cost | 32,032,720 | 2,410,770 | 23,154,219 | |||||||||
Total Investments, at cost | $ | 32,032,720 | $ | 2,410,770 | $ | 24,574,789 | ||||||
Investments Affiliates, at value | $ | — | $ | — | $ | 1,582,515 | ||||||
Investments in Unaffiated securities, at value | 38,954,794 | 2,889,218 | 20,721,621 | |||||||||
Total Investments, at value | 38,954,794 | 2,889,218 | 22,304,136 | |||||||||
Cash | — | — | 6,762 | |||||||||
Foreign Cash (Cost $0, $0, $506) | — | — | 139 | |||||||||
Deposit at Broker | 3,736,255 | 806,070 | 3,779,998 | |||||||||
Unrealized appreciation on futures | — | — | 87,342 | |||||||||
Variation margin receivable | — | — | 1,126 | |||||||||
Receivable for securities sold | 133,654 | — | 2,406,385 | |||||||||
Receivable for fund shares sold | 11,042 | 2,075 | 24,185 | |||||||||
Interest and dividends receivable | 476,521 | 23,503 | 124,482 | |||||||||
Receivable from manager | — | 8,313 | — | |||||||||
Supervisory Fee Receivable | — | — | 778 | |||||||||
Prepaid expenses and other assets | 17,043 | 8,028 | 24,502 | |||||||||
Total Assets | 43,329,309 | 3,737,207 | 28,759,835 | |||||||||
Liabilities: | ||||||||||||
Options written (premiums received $1,507,935, $150,904, $0) | 1,273,200 | 151,800 | — | |||||||||
Securities sold short ( $0, $0, $1,565,056) | — | — | 1,525,173 | |||||||||
Payable for securities purchased | 746 | — | 2,337,874 | |||||||||
Payable for fund shares redeemed | 44,455 | 5,779 | 87,773 | |||||||||
Payable to manager | 31,869 | — | 11,475 | |||||||||
Unrealized depreciation on forward currency contracts | — | — | 2,340 | |||||||||
Variation margin payable | — | — | 361 | |||||||||
Unrealized depreciation on swaps | — | — | 188,939 | |||||||||
Supervisory fee payable | 1,794 | 564 | 2,777 | |||||||||
Administration fees payable | 15,517 | 2,455 | 32,780 | |||||||||
Custody fees payable | 1,222 | 1,395 | 16,044 | |||||||||
Trustee fees payable | 565 | 558 | 2,503 | |||||||||
Compliance officer fees payable | 1,704 | 164 | 1,090 | |||||||||
Payable for distribution (12b-1) fees | 1,256 | 24 | 2,824 | |||||||||
Interest Payable | — | — | 9,854 | |||||||||
Accrued expenses and other liabilities | 7,779 | 7,336 | 38,761 | |||||||||
Total Liabilities | 1,380,107 | 170,075 | 4,260,568 | |||||||||
Net Assets | $ | 41,949,202 | $ | 3,567,132 | $ | 24,499,267 | ||||||
Net Assets: | ||||||||||||
Par value of shares of beneficial interest | $ | 39,299 | $ | 4,482 | $ | 26,335 | ||||||
Paid in capital | 40,752,264 | 4,361,444 | 28,560,159 | |||||||||
Accumulated earnings (loss) | 1,157,639 | (798,794 | ) | (4,087,227 | ) | |||||||
Net Assets | $ | 41,949,202 | $ | 3,567,132 | $ | 24,499,267 | ||||||
Net Asset Value Per Share | ||||||||||||
Class I | ||||||||||||
Net Assets | $ | 31,341,598 | $ | 2,196,009 | $ | 9,508,883 | ||||||
Shares of beneficial interest outstanding | 2,942,312 | 277,152 | 1,032,397 | |||||||||
Net asset value, redemption price and offering price per share | $ | 10.65 | $ | 7.92 | $ | 9.21 | ||||||
Class A | ||||||||||||
Net Assets | $ | 1,671,879 | $ | 46,725 | $ | 1,204,213 | ||||||
Shares of beneficial interest outstanding | 158,882 | 5,982 | 132,022 | |||||||||
Net asset value, redemption price per share | $ | 10.52 | $ | 7.81 | $ | 9.12 | ||||||
Offering price per share (maximum sales charge of 5.75%) | $ | 11.16 | $ | 8.29 | $ | 9.68 | ||||||
Class C | ||||||||||||
Net Assets | $ | 1,164,124 | $ | 19,038 | $ | 478,297 | ||||||
Shares of beneficial interest outstanding | 112,997 | 2,499 | 52,157 | |||||||||
Net asset value, offering price per share (a) | $ | 10.30 | $ | 7.62 | $ | 9.17 | ||||||
Class S | ||||||||||||
Net Assets | $ | 7,771,601 | $ | 1,305,360 | $ | 13,307,874 | ||||||
Shares of beneficial interest outstanding | 715,676 | 162,552 | 1,416,881 | |||||||||
Net asset value, redemption price and offering price per share | $ | 10.86 | $ | 8.03 | $ | 9.39 |
(a) | Redemption price per C share varies based on length of time shares are held. |
See accompanying notes to financial statements.
50
STATEMENTS OF OPERATIONS |
For the Six Months Ended February 28, 2021 (Unaudited) |
James Alpha | James Alpha | |||||||||||
James Alpha | Global Real Estate | Multi Strategy | ||||||||||
Macro | Investments | Alternative Income | ||||||||||
Portfolio | Portfolio | Portfolio | ||||||||||
(Consolidated) | ||||||||||||
Investment Income: | ||||||||||||
Dividend income | $ | 57,249 | $ | 8,851,169 | $ | 176,940 | ||||||
Interest income | 95 | 253 | 21,260 | |||||||||
Dividend income from Affiliates | 150,841 | — | 32,382 | |||||||||
Less: Foreign withholding taxes | — | (207,070 | ) | (1,310 | ) | |||||||
Total Investment Income | 208,185 | 8,644,352 | 229,272 | |||||||||
Operating Expenses: | ||||||||||||
Management fees | 51,623 | 3,296,033 | 135,985 | |||||||||
Supervisory fees | 4,463 | 250,683 | 4,480 | |||||||||
Distribution (12b-1) fees | ||||||||||||
Class A Shares | 273 | 111,720 | 5 | |||||||||
Class C Shares | 1,402 | 330,266 | 343 | |||||||||
Administration fees | 13,359 | 679,450 | 18,857 | |||||||||
Printing and postage expense | 5,437 | 100,001 | 4,877 | |||||||||
Custodian fees | 10,873 | 149,729 | 29,594 | |||||||||
Registration fees | 16,908 | 114,316 | 7,605 | |||||||||
Professional fees | 5,237 | 201,397 | 7,400 | |||||||||
Compliance officer fees | 762 | 59,226 | 1,075 | |||||||||
Trustees’ fees | 1,167 | 60,562 | 1,066 | |||||||||
Shareholder servicing fees | 4,168 | 264,028 | 786 | |||||||||
Insurance expense | 112 | 10,909 | 149 | |||||||||
Dividend Expense | — | — | 13,730 | |||||||||
Interest Expense | 3,500 | 1,576 | 67,503 | |||||||||
Miscellaneous expenses | 2,920 | 2,604 | 2,481 | |||||||||
Total Operating Expenses | 122,204 | 5,632,500 | 295,936 | |||||||||
Less: Expenses waived and/or reimbursed | (54,705 | ) | (700,028 | ) | (80,324 | ) | ||||||
Net Operating Expenses | 67,499 | 4,932,472 | 215,612 | |||||||||
Net Investment Income | 140,686 | 3,711,880 | 13,660 | |||||||||
Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments and Foreign currency transactions | 115,395 | 6,865,131 | 810,366 | |||||||||
Affiliated Investments | — | — | 20,208 | |||||||||
Securities sold short | — | — | (181,247 | ) | ||||||||
Options purchased | — | — | (23,629 | ) | ||||||||
Swaps | 30,646 | — | — | |||||||||
Net realized gain | 146,041 | 6,865,131 | 625,698 | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments and Foreign Currency Transactions | (12,751 | ) | 119,033,330 | 1,148,152 | ||||||||
Affiliated Investments | 62,275 | (6,286 | ) | |||||||||
Securities sold short | — | — | (574,348 | ) | ||||||||
Swaps | 561,389 | — | — | |||||||||
Net change in unrealized appreciation | 610,913 | 119,033,330 | 567,518 | |||||||||
Net Realized and Unrealized Gain (Loss) on investments | 756,954 | 125,898,461 | 1,193,216 | |||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 897,640 | $ | 129,610,341 | $ | 1,206,876 |
See accompanying notes to financial statements.
51
STATEMENTS OF OPERATIONS |
For the Six Months Ended February 28, 2021 (Unaudited) |
James Alpha | James Alpha | James Alpha | ||||||||||
Managed Risk | Managed Risk | Hedged | ||||||||||
Domestic Equity | Emerging Markets | High Income | ||||||||||
Portfolio | Equity Portfolio | Portfolio | ||||||||||
Investment Income: | ||||||||||||
Dividend income | $ | 373,315 | $ | 18,681 | $ | 159,588 | ||||||
Interest income | 230 | 138 | 608,125 | |||||||||
Dividend income from Affiliates | — | — | 108,193 | |||||||||
Total Investment Income | 373,545 | 18,819 | 875,906 | |||||||||
Operating Expenses: | ||||||||||||
Management fees | 288,959 | 22,317 | 237,594 | |||||||||
Supervisory fees | 16,506 | 4,463 | 9,581 | |||||||||
Distribution (12b-1) fees | ||||||||||||
Class A Shares | 2,163 | 79 | 1,901 | |||||||||
Class C Shares | 7,127 | 95 | 2,503 | |||||||||
Administration fees | 44,380 | 4,295 | 53,832 | |||||||||
Registration fees | 19,643 | 14,578 | 20,023 | |||||||||
Professional fees | 12,879 | 1,109 | 7,991 | |||||||||
Custodian fees | 3,159 | 1,339 | 21,927 | |||||||||
Trustees’ fees | 4,135 | 330 | 2,300 | |||||||||
Compliance officer fees | 4,177 | 332 | 2,677 | |||||||||
Printing and postage expense | 7,701 | 3,217 | 9,722 | |||||||||
Insurance expense | 546 | 55 | 447 | |||||||||
Shareholder servicing fees | 27,157 | 1,402 | 21,264 | |||||||||
Interest Expense | 13,622 | 2,742 | 43,239 | |||||||||
Miscellaneous expenses | 1,857 | 1,488 | 1,488 | |||||||||
Total Operating Expenses | 454,011 | 57,841 | 436,489 | |||||||||
Less: Expenses waived | (19,349 | ) | (24,296 | ) | (160,135 | ) | ||||||
Net Operating Expenses | 434,662 | 33,545 | 276,354 | |||||||||
Net Investment Income (Loss) | (61,117 | ) | (14,726 | ) | 599,552 | |||||||
Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments and Foreign currency transactions | 2,745,771 | 175,327 | 398,336 | |||||||||
Affiliated Investments | — | — | 120,091 | |||||||||
Options purchased | (10,015,461 | ) | (736,487 | ) | — | |||||||
Options written | 5,159,748 | (155,622 | ) | — | ||||||||
Swaps | 1,892,972 | 553,613 | (149,676 | ) | ||||||||
Securities sold short | — | (2,464 | ) | (6,444 | ) | |||||||
Futures contracts | — | — | 64,294 | |||||||||
Net realized gain (loss) | (216,970 | ) | (165,633 | ) | 426,601 | |||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments and Foreign Currency Transactions | 684,497 | 210,359 | 754,122 | |||||||||
Affiliated Investments | — | — | 15,522 | |||||||||
Options purchased | 911,135 | 190,326 | — | |||||||||
Options written | 648,431 | (48,473 | ) | — | ||||||||
Swaps | — | — | 47,439 | |||||||||
Securities sold short | 35,685 | — | 53,306 | |||||||||
Futures contracts | — | — | 102,260 | |||||||||
Net change in unrealized appreciation (depreciation) | 2,279,748 | 352,212 | 972,649 | |||||||||
Net Realized and Unrealized Gain (Loss) on investments | 2,062,778 | 186,579 | 1,399,250 | |||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 2,001,661 | $ | 171,853 | $ | 1,998,802 |
See accompanying notes to financial statements.
52
STATEMENTS OF CHANGES IN NET ASSETS |
James Alpha Macro | James Alpha Global | James Alpha Multi Strategy | ||||||||||||||||||||||
Portfolio | Real Estate Investments Portfolio | Alternative Income Portfolio | ||||||||||||||||||||||
(Consolidated) | ||||||||||||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||||||||
February 28, 2021 | August 31, 2020 | February 28, 2021 | August 31, 2020 | February 28, 2021 | August 31, 2020 | |||||||||||||||||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 140,686 | $ | 165,707 | $ | 3,711,880 | $ | 13,439,570 | $ | 13,660 | $ | 46,742 | ||||||||||||
Net realized gain (loss) on investments, swaps and foreign currency transactions | 146,041 | (551,644 | ) | 6,865,131 | 78,812,147 | 625,698 | 1,397,326 | |||||||||||||||||
Distribution of realized gains by underlying investment companies | — | 1,961 | — | — | — | 748 | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments, short sells, swaps and foreign currency transactions | 610,913 | (168,896 | ) | 119,033,330 | (154,651,589 | ) | 567,518 | (571,647 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | 897,640 | (552,872 | ) | 129,610,341 | (62,399,872 | ) | 1,206,876 | 873,169 | ||||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Total Distributions Paid: | ||||||||||||||||||||||||
Class I | — | (541,958 | ) | (29,287,738 | ) | (75,761,135 | ) | (1,004,877 | ) | (381,517 | ) | |||||||||||||
Class A | — | (16,834 | ) | (4,895,983 | ) | (11,550,263 | ) | (294 | ) | (1,077 | ) | |||||||||||||
Class C | — | (24,761 | ) | (3,500,656 | ) | (8,308,065 | ) | (5,250 | ) | (2,658 | ) | |||||||||||||
Class S | — | (280,551 | ) | (1,698,548 | ) | (2,046,015 | ) | (39,848 | ) | (37,008 | ) | |||||||||||||
Return of Capital | ||||||||||||||||||||||||
Class I | — | (3,134 | ) | — | — | — | — | |||||||||||||||||
Class A | — | (101 | ) | — | — | — | — | |||||||||||||||||
Class C | — | (178 | ) | — | — | — | — | |||||||||||||||||
Class S | — | (1,623 | ) | — | — | — | — | |||||||||||||||||
Total Dividends and Distributions to Shareholders | — | (869,140 | ) | (39,382,925 | ) | (97,665,478 | ) | (1,050,269 | ) | (422,260 | ) | |||||||||||||
Share Transactions of Beneficial Interest (Note 5): | ||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||
Class I | 303,137 | 447,234 | 78,692,885 | 504,892,742 | 158,348 | 114,291 | ||||||||||||||||||
Class A | 404,033 | 1,130 | 5,986,037 | 18,808,078 | — | 564 | ||||||||||||||||||
Class C | — | 653 | 1,988,372 | 11,744,939 | — | 35 | ||||||||||||||||||
Class S | 692,963 | 1,934,180 | 3,596,312 | 31,231,154 | 4,779 | 100,438 | ||||||||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||||||||||
Class I | — | 541,433 | 17,780,001 | 42,134,779 | 1,004,745 | 381,306 | ||||||||||||||||||
Class A | — | 14,047 | 3,858,633 | 9,065,900 | 294 | 1,077 | ||||||||||||||||||
Class C | — | 22,918 | 2,722,912 | 6,529,449 | 5,250 | 2,544 | ||||||||||||||||||
Class S | — | 188,893 | 1,554,024 | 1,709,364 | 20,388 | 23,796 | ||||||||||||||||||
Redemption fee proceeds | ||||||||||||||||||||||||
Class A | — | — | — | 5 | — | — | ||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||
Class I | (1,604,471 | ) | (1,254,422 | ) | (122,886,925 | ) | (515,782,732 | ) | (371,315 | ) | (121,820 | ) | ||||||||||||
Class A | (22,398 | ) | (74,619 | ) | (12,569,011 | ) | (30,137,619 | ) | (347 | ) | (64,426 | ) | ||||||||||||
Class C | (38,004 | ) | (100,981 | ) | (8,189,223 | ) | (20,767,479 | ) | (3,645 | ) | (117,747 | ) | ||||||||||||
Class S | (723,715 | ) | (2,348,459 | ) | (6,198,077 | ) | (10,414,985 | ) | (380,522 | ) | (922,187 | ) | ||||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | (988,455 | ) | (627,993 | ) | (33,664,060 | ) | 49,013,595 | 437,975 | (602,129 | ) | ||||||||||||||
Total Increase (Decrease) in Net Assets | (90,815 | ) | (2,050,005 | ) | 56,563,356 | (111,051,755 | ) | 594,582 | (151,220 | ) | ||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of period | 9,336,060 | 11,386,065 | 729,915,346 | 840,967,101 | 13,431,702 | 13,582,922 | ||||||||||||||||||
End of period | $ | 9,245,245 | $ | 9,336,060 | $ | 786,478,702 | $ | 729,915,346 | $ | 14,026,284 | $ | 13,431,702 |
See accompanying notes to (consolidated) financial statements.
53
STATEMENTS OF CHANGES IN NET ASSETS |
James Alpha Managed | James Alpha Managed Risk | |||||||||||||||||||||||
Risk Domestic | Risk Emerging Markets | James Alpha Hedged | ||||||||||||||||||||||
Equity Portfolio | Equity Portfolio | High Income Portfolio | ||||||||||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | Six Months Ended | Year Ended | |||||||||||||||||||
February 28, 2021 | August 31, 2020 | February 28, 2021 | August 31, 2020 | February 28, 2021 | August 31, 2020 | |||||||||||||||||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | (61,117 | ) | $ | (141,749 | ) | $ | (14,726 | ) | $ | 12,355 | $ | 599,552 | $ | 1,740,982 | ||||||||||
Net realized gain (loss) on investments | (216,970 | ) | (1,868,377 | ) | (165,633 | ) | (616,573 | ) | 426,601 | (671,773 | ) | |||||||||||||
Distribution of realized gains by underlying investment companies | — | — | — | — | — | 4,387 | ||||||||||||||||||
Net change in unrealized depreciation on investments | 2,279,748 | 4,838,914 | 352,212 | 521,908 | 972,649 | (1,003,481 | ) | |||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 2,001,661 | 2,828,788 | 171,853 | (82,310 | ) | 1,998,802 | 70,115 | |||||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Total Distributions Paid: | ||||||||||||||||||||||||
Class I | (2,714,717 | ) | (785,323 | ) | (245,864 | ) | — | (281,097 | ) | (788,835 | ) | |||||||||||||
Class A | (117,453 | ) | (25,194 | ) | (7,387 | ) | — | (34,838 | ) | (139,790 | ) | |||||||||||||
Class C | (89,191 | ) | (40,715 | ) | (1,803 | ) | — | (9,074 | ) | (25,123 | ) | |||||||||||||
Class S | (509,805 | ) | (289,991 | ) | (122,492 | ) | — | (322,679 | ) | (775,851 | ) | |||||||||||||
Return of Capital | — | |||||||||||||||||||||||
Class I | — | — | — | — | — | (87,524 | ) | |||||||||||||||||
Class A | — | — | — | — | — | (9,654 | ) | |||||||||||||||||
Class C | — | — | — | — | — | (2,615 | ) | |||||||||||||||||
Class S | — | — | — | — | — | (99,529 | ) | |||||||||||||||||
Total Dividends and Distributions to Shareholders | (3,431,166 | ) | (1,141,223 | ) | (377,546 | ) | — | (647,688 | ) | (1,928,921 | ) | |||||||||||||
Share Transactions of Beneficial Interest (Note 5): | ||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||
Class I | 6,335,974 | 33,839,328 | 846 | 92,864 | 825,690 | 3,527,409 | ||||||||||||||||||
Class A | 410,873 | 1,215,699 | 424 | 2,787 | 63,668 | 1,409,882 | ||||||||||||||||||
Class C | 106,714 | 1,372,262 | — | — | 21,500 | 67,000 | ||||||||||||||||||
Class S | 696,424 | 2,374,471 | 234,754 | 495,975 | 908,412 | 4,610,520 | ||||||||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||||||||||
Class I | 1,582,836 | 622,819 | 101,759 | — | 248,734 | 737,112 | ||||||||||||||||||
Class A | 108,960 | 21,319 | 7,387 | — | 31,883 | 139,789 | ||||||||||||||||||
Class C | 89,191 | 40,272 | 1,803 | — | 2,535 | 5,727 | ||||||||||||||||||
Class S | 335,590 | 225,164 | 87,936 | — | 194,262 | 605,210 | ||||||||||||||||||
Redemption fee proceeds | ||||||||||||||||||||||||
Class C | — | — | — | — | — | 60 | ||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||
Class I | (16,561,682 | ) | (14,156,733 | ) | (438,200 | ) | (1,428,491 | ) | (5,738,044 | ) | (12,911,259 | ) | ||||||||||||
Class A | (335,829 | ) | (296,846 | ) | (26,489 | ) | (49,976 | ) | (556,916 | ) | (4,559,390 | ) | ||||||||||||
Class C | (770,843 | ) | (197,692 | ) | (834 | ) | (52,029 | ) | (124,829 | ) | (425,362 | ) | ||||||||||||
Class S | (2,780,896 | ) | (6,666,196 | ) | (244,660 | ) | (1,050,592 | ) | (4,065,232 | ) | (12,345,170 | ) | ||||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | (10,782,688 | ) | 18,393,867 | (275,274 | ) | (1,989,462 | ) | (8,188,337 | ) | (19,138,472 | ) | |||||||||||||
Total Increase (decrease) in Net Assets | (12,212,193 | ) | 20,081,432 | (480,967 | ) | (2,071,772 | ) | (6,837,223 | ) | (20,997,278 | ) | |||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of period | 54,161,395 | 34,079,963 | 4,048,099 | 6,119,871 | 31,336,490 | 52,333,768 | ||||||||||||||||||
End of period | $ | 41,949,202 | $ | 54,161,395 | $ | 3,567,132 | $ | 4,048,099 | $ | 24,499,267 | $ | 31,336,490 |
See accompanying notes to financial statements.
54
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited) |
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 Macro Portfolio, the James Alpha Global Real Estate Investments Portfolio, the James Alpha Multi Strategy Alternative Income Portfolio, the James Alpha Managed Risk Domestic Equity Portfolio, the James Alpha Managed Risk Emerging Markets Equity Portfolio, and the James Alpha Hedged High Income Portfolio, (collectively, the “Portfolios”). Saratoga Capital Management, LLC (the “Manager”) serves as the Trust’s Manager. The James Alpha Macro Portfolio, the James Alpha Global Real Estate Portfolio, the James Alpha Multi Strategy Alternative Income Portfolio, the James Alpha Managed Risk Domestic Equity Portfolio, the James Alpha Managed Risk Emerging Markets Equity Portfolio, and the James Alpha Hedged High Income Portfolio are all managed by James Alpha Advisors, LLC (“James Alpha Advisors”), and all six are supervised by the Manager. With the exception of the James Alpha Macro Portfolio, the James Alpha Global Real Estate Investments Portfolio, the James Alpha Multi Strategy Alternative Income Portfolio, the James Alpha Managed Risk Domestic Equity Portfolio, the James Alpha Managed Risk Emerging Markets Equity Portfolio, and the James Alpha Hedged High Income Portfolio, each of the Portfolios is provided with the discretionary advisory services of an investment adviser or advisers identified, retained, supervised and compensated by the Manager.
The following serve as advisers (the “Advisers”) to their respective Portfolio(s): James Alpha Advisors, LLC serves as Adviser to James Alpha Macro, James Alpha Global Real Estate Investments, James Alpha Multi Strategy Alternative Income, James Alpha Managed Risk Domestic Equity, James Alpha Managed Risk Emerging Markets Equity, and James Alpha Hedged High Income. Ranger Global Real Estate Advisors, LLC serves as the sub-adviser to the James Alpha Global Real Estate Investments; Ranger Global Real Estate Advisors, LLC, Bullseye Asset Management LLC, Kellner Private Fund Management, LP and Coherence Capital Partners LLC serve as the sub-advisers to the James Alpha Multi Strategy Alternative Income; EAB Investment Group, LLC serves as the sub-adviser to the James Alpha Managed Risk Domestic Equity and James Alpha Managed Risk Emerging Markets Equity; Concise Capital Management, LP and Amundi Smith Breeden LLC and Coherence Capital Partners LLC serve as sub-advisers to the James Alpha Hedged High Income Portfolio. Gemini Fund Services, LLC (the “Administrator”), serves the Trust as administrator, custody administrator, transfer agent and fund accounting agent. Northern Lights Distributors, LLC (“NLD” or the “Distributor”) is the Trust’s Distributor.
The James Alpha Macro Portfolio, the James Alpha Global Real Estate Investments Portfolio, the James Alpha Multi Strategy Alternative Income Portfolio, the James Alpha Managed Risk Domestic Equity Portfolio, the James Alpha Managed Risk Emerging Markets Equity Portfolio and the James Alpha Hedged High Income Portfolio are diversified portfolios.
Portfolio | Primary Objective |
James Alpha Macro | Attractive long-term risk-adjusted returns relative to traditional financial market indices |
James Alpha Global Real Estate | Total return consisting of current income and capital appreciation |
James Alpha Multi Strategy Alternative Income | Long-term capital appreciation |
James Alpha Managed Risk Domestic Equity | Capital appreciation |
James Alpha Managed Risk Emerging Markets Equity | Capital appreciation |
James Alpha Hedged High Income | High current income |
Currently, all Portfolios offer Class A, Class C, Class I shares and Class S shares. Each class represents an interest in the same assets of the applicable Portfolio, and the classes are identical except for differences in their sales charge structures and ongoing service and distribution charges. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans.
The following is a summary of significant accounting policies followed by the Portfolios in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Portfolio is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies” including FASB Accounting Standard Update ASU 2013-08.
(a) | Valuation of Investments |
Investment securities listed on a national securities exchange are valued at the last reported sale price on the valuation date. NASDAQ traded securities are valued at the NASDAQ Official Closing Price (NOCP). If there are no such reported sales, the securities are valued at the mean between current bid and ask. Debt securities (other than short-term obligations) are valued each day by an independent pricing service approved by the Board of Trustees using methods which include current market quotations from a major market maker in the securities and trader-reviewed “matrix” prices. Short-term debt securities having a remaining maturity of sixty days or less may be valued at amortized cost or amortized value, which approximates market value. U.S. Government Money Market values all of its securities on the basis of amortized cost, which approximates market value. Options listed on a securities exchange or board of trade for which market quotations are readily available shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the last bid and ask price. Options not listed on a securities exchange or board of trade for which over-the-counter market quotations are readily available shall be valued at the mean of the current bid and asked prices. Futures are valued based on their daily settlement value. Swap transactions are valued through an independent pricing service or at fair value based on daily price reporting from the swap counterparty issuing the swap. Total return swaps on securities listed on an exchange shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the current bid and ask prices. Any securities or other assets for which market quotations are not readily available are valued at their fair value as determined in good faith under procedures established by the Board of Trustees. There is no single standard for determining the fair value of such securities. Rather, in determining the fair value of a security, the board-appointed Fair Valuation Committee shall take into account the relevant factors and surrounding circumstances, a few of which may include: (i) the nature and pricing history (if any) of the security; (ii) whether any dealer quotations for the security are available; and (iii) possible valuation methodologies that could be used to determine the fair value of a security. The International Equity Portfolio uses fair value prices as provided by an independent pricing vendor on a daily basis for those securities traded on a foreign exchange. Foreign currency and Forward currency exchange contracts are valued daily at the London close each day. The ability of issuers of debt securities held by the portfolios to meet their obligations may be affected by economic or political developments in a specific state, industry or region. Investments in foreign countries may involve certain considerations and risks not typically associated with domestic investments, including, but not limited to, the possibility of future political and economic developments and the level of government supervision and regulation of foreign securities markets.
55
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited) (Continued) |
The Portfolios utilize various methods to measure the fair value of most of its investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:
Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Portfolios have the ability to access.
Level 2 – Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Portfolios’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of February 28, 2021, for the Portfolios’ assets and liabilities measured at fair value:
James Alpha Macro | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 3,321,362 | $ | — | $ | — | $ | 3,321,362 | ||||||||
Exchange Traded Notes | 4,215 | — | — | 4,215 | ||||||||||||
Mutual Funds | 3,962,489 | — | — | 3,962,489 | ||||||||||||
Short-Term Investments | 922,537 | — | — | 922,537 | ||||||||||||
Total | $ | 8,210,603 | $ | — | $ | — | $ | 8,210,603 | ||||||||
Derivatives - Assets | ||||||||||||||||
Total Return Swaps | — | $ | 775,057 | — | $ | 775,057 | ||||||||||
Derivatives - Liabilities | ||||||||||||||||
Forward Currency Contracts | $ | — | $ | (941 | ) | $ | — | $ | (941 | ) | ||||||
James Alpha Global Real Estate Investments | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 786,402,874 | $ | — | $ | — | $ | 786,402,874 | ||||||||
Short-Term Investments | 283,129 | — | — | 283,129 | ||||||||||||
Total | $ | 786,686,003 | $ | — | $ | — | $ | 786,686,003 | ||||||||
Derivatives - Assets | ||||||||||||||||
Forward Currency Contracts | — | $ | 67,796 | — | $ | 67,796 | ||||||||||
Derivatives - Liabilities | ||||||||||||||||
Forward Currency Contracts | — | $ | (30,146 | ) | — | $ | (30,146 | ) | ||||||||
James Alpha Multi Strategy Alternative Income | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Bonds | $ | — | $ | 1,047,544 | $ | — | $ | 1,047,544 | ||||||||
Common Stock | 11,739,189 | — | — | 11,739,189 | ||||||||||||
Exchange Traded Funds | 39,323 | — | — | 39,323 | ||||||||||||
Preferred Stock | 213,640 | — | — | 213,640 | ||||||||||||
Closed End Funds | 1,582,401 | — | — | 1,582,401 | ||||||||||||
Open End Fund | 527,516 | — | — | 527,516 | ||||||||||||
Short-Term Investments | 900,371 | — | — | 900,371 | ||||||||||||
Total | $ | 15,002,440 | $ | 1,047,544 | $ | — | $ | 16,049,984 | ||||||||
Liabilities* | ||||||||||||||||
Common Stock Sold Short | $ | (1,949,460 | ) | $ | (10,333 | ) | $ | — | (1,959,793 | ) | ||||||
Exchange Traded Funds Sold Short | (2,423,059 | ) | — | — | (2,423,059 | ) | ||||||||||
Total | $ | (4,372,519 | ) | $ | (10,333 | ) | $ | — | $ | (4,382,852 | ) |
56
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited) (Continued) |
James Alpha Managed Risk Domestic Equity | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 35,373,480 | $ | — | $ | — | $ | 35,373,480 | ||||||||
Put Options Purchased | — | 2,226,075 | — | 2,226,075 | ||||||||||||
Short-Term Investments | 1,355,239 | — | — | 1,355,239 | ||||||||||||
Total | $ | 36,728,719 | $ | 2,226,075 | $ | — | $ | 38,954,794 | ||||||||
Derivatives* - Liabilities | ||||||||||||||||
Put Options Written | $ | — | $ | (982,275 | ) | $ | — | $ | (982,275 | ) | ||||||
Call Options Written | — | (290,925 | ) | — | (290,925 | ) | ||||||||||
Total | $ | — | $ | (1,273,200 | ) | $ | — | $ | (1,273,200 | ) | ||||||
James Alpha Managed Risk Emerging Markets Equity | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 1,316,385 | $ | — | $ | — | $ | 1,316,385 | ||||||||
Put Options Purchased | — | 342,600 | — | 342,600 | ||||||||||||
Short-Term Investments | 1,230,233 | — | — | 1,230,233 | ||||||||||||
Total | $ | 2,546,618 | $ | 342,600 | $ | — | $ | 2,889,218 | ||||||||
Derivatives* - Liabilities | ||||||||||||||||
Put Options Written | $ | — | $ | (149,400 | ) | $ | — | $ | (149,400 | ) | ||||||
Call Options Written | — | (2,400 | ) | — | (2,400 | ) | ||||||||||
Total | $ | — | $ | (151,800 | ) | $ | — | $ | (151,800 | ) | ||||||
James Alpha Hedged High Income | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset Backed Securities | $ | — | $ | 3,135,917 | $ | — | $ | 3,135,917 | ||||||||
Term Loans | — | 419,105 | — | 419,105 | ||||||||||||
Corporate Bonds | — | 10,914,519 | 50,272 | 10,964,791 | ||||||||||||
Convertible Bonds | — | 231,190 | 13 | 231,203 | ||||||||||||
Preferred Stock | 1,038,917 | — | 31,040 | 1,069,957 | ||||||||||||
Common Stock | 32,574 | — | 644,904 | 677,478 | ||||||||||||
Exchange Traded Funds | 878,865 | — | — | 878,865 | ||||||||||||
Mutual Fund | 1,582,515 | — | — | 1,582,515 | ||||||||||||
Closed End Fund | 1,013,091 | — | — | 1,013,091 | ||||||||||||
Short-Term Investments | 2,331,214 | — | — | 2,331,214 | ||||||||||||
Total | $ | 6,877,176 | $ | 14,700,731 | $ | 726,229 | $ | 22,304,136 | ||||||||
Liabilities* | ||||||||||||||||
Corporate Bonds | $ | — | $ | 905,876 | $ | — | $ | 905,876 | ||||||||
U.S. Government & Agencies | — | 619,297 | — | 619,297 | ||||||||||||
Total | $ | — | $ | 1,525,173 | $ | — | $ | 1,525,173 | ||||||||
Derivatives* | ||||||||||||||||
Long Futures Contracts | (26,840 | ) | — | — | (26,840 | ) | ||||||||||
Short Futures Contracts | 114,183 | — | — | 114,183 | ||||||||||||
Credit Default Swaps | — | (188,939 | ) | — | (188,939 | ) |
It is the Portfolios’ policy to recognize transfers into and out of Levels at the end of the reporting period.
* | Refer to the Schedules of Investments for industry or category classifications. |
The following is a reconciliation for the James Alpha Hedged High Income Portfolio for which Level 3 inputs were used in determining value:
57
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited) (Continued) |
Beginning | Ending | |||||||||||||||||||||||||||||||
balance | Change in | Net transfers | balance | |||||||||||||||||||||||||||||
August 31, | Total realized | unrealized | Net | in/(out) of | February 28, | |||||||||||||||||||||||||||
2020 | gain/(loss) | appreciation | Conversion | Purchases | Net Sales | Level 3 | 2021 | |||||||||||||||||||||||||
Term Loans | $ | 314,692 | $ | 6,569 | $ | — | $ | — | $ | — | $ | (321,261 | ) | $ | — | $ | — | |||||||||||||||
Corporate Bonds | 324,624 | 1,223 | 409,106 | (581,344 | ) | — | (103,337 | ) | — | 50,272 | ||||||||||||||||||||||
Convertible Bonds | 13 | — | — | — | — | — | — | 13 | ||||||||||||||||||||||||
Common Stock + | 547,570 | — | (484,010 | ) | 581,344 | — | — | — | 644,904 | |||||||||||||||||||||||
Preferred Securities + | — | — | — | — | — | — | 31,040 | 31,040 | ||||||||||||||||||||||||
Warrants | 1,999 | 1,130 | — | — | — | (3,129 | ) | — | — |
Quantitative disclosures of unobservable inputs and assumptions used by James Alpha Hedged High Income are below:
Investments in Securities: | ||||||||||
Corporate Bonds | Fair Value | Valuation Techniques | Unobservable Input | |||||||
Youngs PIK SCA | 50,272 | Discount for lack of marketability | ||||||||
Convertible Bonds | ||||||||||
Fortress Global Enterprises | 13 | |||||||||
Preferred Stock | ||||||||||
Jakks Pacific Inc. | 0 | No current market | ||||||||
Populus Preferred Equity | 31,040 | Independent Valuation | Discount for lack of marketability | |||||||
Common Stock | ||||||||||
CE STAR | 106,269 | Independent Valuation | Discount for lack of marketability | |||||||
PetroQuest | 92,242 | |||||||||
Delphi Energy Corp. | 177,678 | |||||||||
Jakks Pacific Inc. | 0 | |||||||||
FriendFinder Networks, Inc. | 0 | |||||||||
Nebraska book Holidngs, Inc. | 6,205 | Independent Valuation | Adjusted by management to reflect current conditions | |||||||
RA Parent, Inc. | 262,510 | Independent Valuation | ||||||||
Total Fair Value Securities | $ | 726,229 | ||||||||
Fair value securities as a percent of net assets at February 28, 2021, were 3.0%.
Consolidation of Subsidiary – James Alpha Cayman Commodity Fund I Ltd. (JACC-SPC)
The Consolidated Portfolio of Investments, Consolidated Statement of Assets and Liabilities, Consolidated Statement of Operations and Consolidated Statement of Changes in Net Assets and the Consolidated Financial Highlights of the James Alpha Macro Portfolio includes the accounts of JACC-SPC, a wholly owned and controlled subsidiary. JACC- SPC is a closed-end fund incorporated as an exempted company under the company’s law of the Cayman Islands on February 2, 2011, and is a disregarded entity for tax purposes. All inter-company accounts and transactions have been eliminated in consolidation.
The James Alpha Macro Portfolio may invest up to 25% of its total assets in the segregated portfolio company (“SPC”) which acts as an investment vehicle in order to effect certain investments consistent with the Portfolio’s investment objectives and policies.
A summary of the James Alpha Macro Portfolio’s investments in the SPC is as follows:
SPC Net Assets at | % of Fund Net Assets at | |||||||
Inception Date of SPC | February 28, 2021 | February 28, 2021 | ||||||
James Alpha Cayman Commodity Fund I Ltd. | August 5, 2011 | $ | 266,776 | 2.89% |
(b) Federal Income Tax
It is each Portfolio’s policy to continue to qualify as a regulated investment company by complying with the provisions of the Internal Revenue Code that are applicable to regulated investment companies and to distribute substantially all of its taxable income and net realized gains to shareholders. Therefore, no federal income tax provision is required.
The Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted on December 22, 2010. The Act makes changes to several tax rules impacting the Funds. Although the Act provides several benefits, including unlimited carryover on future capital losses, there may be greater likelihood that all or a portion of the Funds’ pre-enactment capital loss carryovers may expire without being utilized due to the fact that post-enactment capital losses get utilized before pre-enactment capital loss carryovers.
58
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited) (Continued) |
Capital loss carry forwards, as of each Portfolio’s most recent tax year-ended August 31, 2020 (for the tax year ended December 31, 2019 for the James Alpha Global Real Estate Investments Portfolio), available to offset future capital gains, if any, are as follows:
Non-Expiring | Non-Expiring | Non-Expiring | ||||||||||||||||||
Expiring/Expired | Short Term | Long-Term | Total | Utilized | ||||||||||||||||
James Alpha Macro | $ | — | $ | 978,457 | $ | 1,112,463 | $ | 2,090,920 | $ | — | ||||||||||
James Alpha Global Real Estate Investments | — | — | — | — | — | |||||||||||||||
James Alpha Multi Strategy Alternative Income | — | — | — | — | — | |||||||||||||||
James Alpha Managed Risk Domestic Equity | — | 174,413 | 809,414 | 983,827 | — | |||||||||||||||
James Alpha Managed Risk Emerging Markets Equity | — | 231,321 | — | 231,321 | — | |||||||||||||||
James Alpha Hedged High Income | — | — | 1,879,294 | 1,879,294 | — |
The Portfolios recognize the tax benefits of uncertain tax positions only when the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has reviewed the tax positions taken on its 2017-2019 returns and expected to be taken in the Portfolios’ 2020 returns,and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions. The Portfolios identify its major tax jurisdictions as U.S. Federal, Arizona and foreign jurisdictions where the Portfolios make significant investments. The Portfolios recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the period ended February 28, 2021, 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 Macro | Annually | Annually | ||
James Alpha Global Real Estate Investments | Quarterly | Quarterly | ||
James Alpha Multi Strategy Alternative Income | Quarterly | Annually | ||
James Alpha Managed Risk Domestic Equity | Annually | Annually | ||
James Alpha Managed Risk Emerging Markets Equity | Annually | Annually | ||
James Alpha Hedged High Income | Monthly | Annually |
Each Portfolio records dividends and distributions to its shareholders on the ex -dividend date. The amount of dividends and distributions from net investment income and net realized gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These “book-tax” differences are either permanent or temporary in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the net asset accounts based on their federal tax-basis treatment; temporary differences do not require reclassification. To the extent dividends and distributions exceed current and accumulated earnings and profits for federal income tax purposes, they are reported as distributions of paid-in-surplus or tax return of capital. These reclassifications have no effect on net assets, results from operations or net asset value per share of each Portfolio.
(e) Allocation of Expenses
Expenses specifically attributable to a particular Portfolio are borne by that Portfolio. Other expenses are allocated to each Portfolio based on its net assets in relation to the total net assets of all the applicable Portfolios of the Trust or another reasonable basis.
(f) Repurchase Agreements
In connection with transactions in repurchase agreements, it is the Trust’s policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the seller defaults, and the fair value of the collateral declines, realization of the collateral by the Trust may be delayed or limited.
(g) Indemnification
The Trust indemnifies its Officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Portfolios enter into contracts that contain a variety of representations and warranties and which provide general indemnities. The Portfolios’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Portfolios that have not yet occurred. However, based on experience, the risk of loss due to these warranties and indemnities appears to be remote.
(h) Other
The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Foreign currency. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions.
59
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited) (Continued) |
The Trust does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the company’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.
Market Disruptions Risk. The Portfolio is subject to investment and operational risks associated with financial, economic and other- global market developments and disruptions, including the recent spread of an infectious respiratory illness caused by a novel strain of coronavirus (known as COVID 19), which can negatively impact the securities markets and cause the Portfolio to lose value.
The spread of COVID-19 has caused volatility, severe market dislocations and liquidity constraints in many markets,- including markets for the securities the Portfolios hold, and may adversely affect the Portfolios’ investments and operations. The transmission of COVID 19 and efforts to contain its spread have resulted in travel restrictions and disruptions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, quarantines, event and service cancellations or interruptions, disruptions to business operations and supply chains, and a reduction in consumer and business spending, as well as general concern and uncertainty that has negatively affected the economy. These disruptions have led to instability in- the marketplace and the jobs market. The impact of COVID-19 could adversely affect the economies of many nations or the entire global economy, the financial well being and performance of individual issuers, borrowers and sectors and the health of the markets generally in potentially significant and unforeseen ways.
The foregoing could lead to a significant economic downturn or recession, increased market volatility, a greater number of market closures, higher default rates and adverse effects on the values and liquidity of the Portfolios’ securities or other assets. Such impacts may adversely affect the performance of the Portfolios.
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: For the James Alpha Macro, James Alpha Global Real Estate Investments, James Alpha Multi Strategy Alternative Income, James Alpha Managed Risk Domestic Equity, James Alpha Managed Risk Emerging Markets Equity, and James Alpha Hedged High Income management fees are payable to the Advisor monthly and are computed daily at the annual rates of 1.10%, 0.90%, 2.00%, 1.20%, 1.20% and 1.70% respectively, of the Portfolio’s average daily net assets. The Manager receives an annual supervision fee which is the greater of 0.10% of those Portfolios’ average daily net assets decreasing at various asset levels or a minimum of $15,000 per Portfolio annually paid out monthly.
For the six months ended February 28, 2021, James Alpha Advisors waived $54,705, $700,028, $80,324, $19,349, $24,296, $399,006, respectively, for James Alpha Macro, James Alpha Global Real Estate Investments, James Alpha Multi Strategy Alternative Income, James Alpha Managed Risk Domestic Equity, James Alpha Managed Risk Emerging Markets Equity, James Alpha Hedged High Income.
(b) Gemini Fund Services, LLC (“GFS”), an affiliate of Northern Lights Distributors, LLC (the “Distributor”) provides administrative, fund accounting and transfer agency services to the Portfolios pursuant to agreements with the Trust, for which it receives from each Portfolio: (i) a minimum annual fee or basis points in decreasing amounts as assets reach certain breakpoints; and (ii) any related out-of-pocket expenses.
Pursuant to the terms of the Trust’s Custody Administration Agreement with GFS (the “Custody Administration Agreement”), the Trust pays an asset -based fee in decreasing amounts as Trust assets reach certain breakpoints. The Trust also pays certain transaction fees and out-of-pocket expenses pursuant to the Custody Administration Agreement.
In addition, certain affiliates of the Distributor provide services to the Trust as follows:
Northern Lights Compliance Services, LLC (“NLCS”) - NLCS, an affiliate of GFS and the Distributor, provides a Chief Compliance Officer to the Trust, as well as related compliance services, pursuant to a consulting agreement between NLCS and the Trust. Under the terms of such agreement, NLCS receives customary fees from the Portfolios.
Blu Giant, LLC (“Blu Giant”) – Blu Giant, an affiliate of GFS and the Distributor, provides EDGAR conversion and filing services as well as print management services for the Trust on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from the Portfolios.
Certain employees of GFS and NLCS are also officers of the Trust and are not paid any fees directly by the Trust for serving in such capacity.
(c) The Portfolios have adopted a Plan of Distribution pursuant to Rule 12b-1 under the 1940 Act (the “Plan”) with respect to the sale and distribution of Class A and C shares of the Portfolios. The Plan provides that each Portfolio will pay the Distributor or other entities, including the Manager and James Alpha Advisors, a fee, which is accrued daily and paid monthly, at the annual rate of 0.25% of the average daily net assets of the Portfolio’s Class A shares and 1.00% of the average daily net assets of the Portfolios’ Class C shares. A portion of the fee payable pursuant to the Plan, equal to 0.25% of the average daily net assets, is currently characterized as a service fee and it may be paid directly to the Manager, James Alpha Advisors or other entities for providing support services. A service fee is a payment made for personal service and/or the maintenance of shareholder accounts. The aggregate of such service fee payments will not exceed 0.25% of average daily net assets.
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.
60
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited) (Continued) |
For the six months ended February 28, 2021, 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 Macro | $ | — | $ | — | ||||
James Alpha Global Real Estate Investments | 166,591 | 1,429 | ||||||
James Alpha Multi Strategy Alternative Income | — | — | ||||||
James Alpha Managed Risk Domestic Equity | 11,297 | — | ||||||
James Alpha Managed Risk Emerging Markets Equity | 26 | — | ||||||
James Alpha Hedged High Income | 2,864 | 78 |
(d) The Trust and the Manager and the Trust and James Alpha Advisors on behalf of the James Alpha Macro, the James Alpha Global Real Estate, the James Alpha Multi Strategy Alternative Income, the James Alpha Managed Risk Domestic Equity, the James Alpha Managed Risk Emerging Markets Equity and the James Alpha Hedged High Income, have entered into Excess Expense Agreements (the “Expense Agreements”).
In connection with the Expense Agreements, the Manager is currently voluntarily waiving, and James Alpha Advisors is currently waiving, all or a portion of its management fees and/or assuming certain other operating expenses (excluding front-end and contingent deferred sales loads, interest and tax expenses, leverage, dividends and interest on short positions, brokerage commissions, expenses incurred in connection with any merger, reorganization or liquidation, extraordinary or non-routine expenses and Acquired Fund Fees and Expenses) of certain Portfolios in order to maintain the expense ratios of each class of the Portfolios at or below predetermined levels (each an “Expense Cap”). The annual expense caps in effect at February 28, 2021, for each portfolio were: 1.50%, 2.25%, 1.25%, and 0.94% for Class A, C, I and S shares, respectively, of James Alpha Macro; 1.69%, 2.37%, 1.19% and 0.99% for Class A, C, I and S shares, respectively, of James Alpha Global Real Estate Investments; 2.24%, 2.99, 1.99% and 1.49% for Class A, C, I and S shares, respectively, of James Alpha Multi Strategy Alternative Income; 1.99%, 3.00%, 1.79% and 1.34% for Class A, C, I and S shares, respectively, of James Alpha Managed Risk Domestic Equity; 2.25%, 3.00%, 1.79% and 1.34% for Class A, C, I and S shares, respectively, of James Alpha Managed Risk Emerging Markets Equity; 2.39%, 2.99%, 1.85% and 1.39% for Class A, C, I and S shares, respectively, of James Alpha Hedged High Income. The above mentioned expense caps are in effect through December 31, 2021. 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 following table shows the available waived expenses and expiration date for each Portfolio subject to potential recovery.
Portfolio | 8/31/2021 | 8/31/2022 | 8/31/2023 | |||||||||
James Alpha Macro | 90,665 | + | 99,260 | + | 129,870 | ^ | ||||||
James Alpha Global Real Estate Investments | 759,176 | * | 808,019 | ** | 1,158,275 | ** | ||||||
James Alpha Multi Strategy Alternative Income | 92,414 | + | 176,432 | + | 205,534 | ^ | ||||||
James Alpha Managed Risk Domestic Equity | 68,373 | + | 117,016 | + | 52,139 | ^ | ||||||
James Alpha Managed Risk Emerging Markets Equity | 16,978 | + | 58,110 | + | 59,174 | ^ | ||||||
James Alpha Hedged High Income | 96,578 | + | 270,139 | + | 399,006 | ^ |
* | The available waived expenses subject to potential recovery for Class C and Class I Shares. |
** | The available waived expenses subject to potential recovery for Class I. |
*** | The available waived expenses subject to potential recovery for Class I and S Shares. |
+ | The available waived expenses subject to potential recovery for Class A, Class C and Class I Shares. |
^ | The available waived expenses subject to potential recovery for Class A, Class C, Class I and Class S shares. |
(f) Affiliated Investments — Companies which are affiliates of the Portfolios at February 28, 2021, are noted in the Portfolio’s Schedule of Investments. A summary of the investments in the affiliated investments; James Alpha Hedged High Income which is managed by James Alpha Advisors, LLC, are detailed below:
Change in | ||||||||||||||||||||||||||||||||
Unrealized | ||||||||||||||||||||||||||||||||
Value at | Realized Gain | Appreciation | Value at | Shares at | ||||||||||||||||||||||||||||
Affiliated Holding | 8/31/2020 | Purchases | Sales | (Loss) | (Depreciation) | Income | 8/31/2020 | 2/28/2021 | ||||||||||||||||||||||||
James Alpha Macro | ||||||||||||||||||||||||||||||||
James Alpha Structured Credit Value Portfolio, Cl S | 3,091,078 | — | — | — | 62,275 | 150,841 | 3,153,353 | 283,066 | ||||||||||||||||||||||||
James Alpha Multi Strategy Alternative Income | ||||||||||||||||||||||||||||||||
James Alpha Structured Credit Value Portfolio, Cl S | 763,594 | — | (250,000 | ) | 20,208 | (6,286 | ) | 32,382 | 527,516 | 47,353 | ||||||||||||||||||||||
James Alpha Hedged High Income | ||||||||||||||||||||||||||||||||
James Alpha Structured Credit Value Portfolio, Cl S | 3,066,873 | — | (1,387,922 | ) | 162,078 | (258,514 | ) | 108,193 | 1,582,515 | 142,057 |
61
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited) (Continued) |
3. | INVESTMENT TRANSACTIONS |
(a) For the six months ended February 28, 2021, the cost of purchases and proceeds from sales of investment securities, other than short-term securities, for the Portfolios were as follows:
Portfolio | Purchases | Sales | ||||||
James Alpha Macro | 2,651,339 | 2,939,771 | ||||||
James Alpha Global Real Estate Investments | 341,456,421 | 408,566,211 | ||||||
James Alpha Multi Strategy Alternative Income | 9,882,499 | 10,441,656 | ||||||
James Alpha Managed Risk Domestic Equity | 6,737,515 | 24,087,611 | ||||||
James Alpha Managed Risk Emerging Markets Equity | 365,734 | 1,341,274 | ||||||
James Alpha Hedged High Income | 30,442,312 | 40,253,188 |
(b) Certain Portfolios may enter into options contracts. An option contract is a contract in which the writer of the option grants the buyer of the option the right to purchase from (call option), or sell to (put option), the writer a designated instrument at a specified price within a specified period of time. Certain options, including options on indices, will require cash settlement by the Portfolio if the option is exercised.
Premiums paid when put or call options are purchased by the Portfolio, represent investments, which are marked-to-market daily. When a purchase option expires, the Portfolio will realize a loss in the amount of the premium paid. When the Portfolio enters into a closing sales transaction, the Portfolio will realize a gain or loss depending on whether the proceeds from the closing sales transaction are greater or less than the premium paid for the option. When the Portfolio exercises a put option, it will realize a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Portfolio exercises a call option, the cost of the security, which the Portfolio purchases upon exercise, will be increased by the premium originally paid.
Certain Portfolios may write covered call options. This means that the Portfolio will own the security subject to the option or an option to purchase the same underlying security, having an exercise price equal to or less than the exercise price of the covered option, or will establish and maintain with its custodian for the term of the option, an account consisting of cash, U.S. government securities or other liquid securities having a value equal to the fluctuating market value of the securities on which the Portfolio holds a covered call position.
When a Portfolio writes a call option, an amount equal to the premium received by the Portfolio is recorded as a liability, the value of which is marked-to-market daily. When a written option expires, the Portfolio realizes a gain equal to the amount of the premium received. When the Portfolio enters into a closing purchase transaction, the Portfolio realizes a gain or loss depending upon whether the cost of the closing transaction is greater or less than the premium originally received, without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is eliminated. When a written call option is exercised the proceeds of the security sold will be increased by the premium originally received.
The liability representing a Portfolio’s obligation under an exchange traded written option or investment in a purchased option is valued at the last sale price or, in the absence of a sale, the last available bid price.
The Portfolios may enter into options for hedging purposes. The risk associated with purchasing options is limited to the premium originally paid. The risk in writing a covered call option is that the Portfolio gives up the opportunity to participate in any increase in the price of the underlying security beyond the exercise price.
(c) Certain Portfolios may enter into futures contracts. The Portfolios are subject to equity price risk in the normal course of pursuing their investment objective. To manage equity price risk, the Portfolios may enter into futures contracts. Upon entering into a futures contract with a broker, the Portfolios are required to deposit in a segregated account a specified amount of cash or U.S. government securities. Futures contracts are valued daily and unrealized gains or losses are recorded in a “variation margin” account. Periodically, the Portfolios receive from or pays to the broker a specified amount of cash based upon changes in the variation margin account. When a contract is closed, the Portfolios recognize a realized gain or loss. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. With futures contracts, there is minimal counterparty credit risk to the Portfolios since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Futures contracts outstanding at period end are listed after the Portfolios’ portfolio of investments.
(d) Certain Portfolios may enter into foreign currency exchange contracts. Because various Portfolios may invest in securities denominated in foreign currencies, they may seek to hedge foreign currency risks by engaging in foreign currency exchange transactions. These may include buying or selling foreign currencies on a spot basis, entering into foreign currency forward contracts, and buying and selling foreign currency options, foreign currency futures, and options on foreign currency futures. Currency exchange rates may fluctuate significantly over short periods and can be subject to unpredictable change based on such factors as political developments and currency controls by foreign governments.
(e) Swap Agreements – Certain portfolios are subject to equity price risk and/or interest rate risk in the normal course of pursuing their respective investment objectives. The Portfolios may enter into various swap transactions for investment purposes or to manage interest rate, equity, foreign exchange (currency), commodity or credit risk. These would be two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular 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
62
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited) (Continued) |
Portfolios’ maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that that amount is positive.
(f) Short Sales – Certain portfolios may sell securities short. A short sale is a transaction in which the Portfolio sells a security it does not own or have the right to acquire (or that it owns but does not wish to deliver) in anticipation that the market price of that security will decline.
When the Portfolio makes a short sale, the broker-dealer through which the short sale is made must borrow the security sold short and deliver it to the party purchasing the security. The Portfolio is required to make a margin deposit in connection with such short sales; the Portfolio may have to pay a fee to borrow particular securities and will often be obligated to pay over any dividends and accrued interest on borrowed securities.
If the price of the security sold short increases between the time of the short sale and the time the Portfolio covers its short position, the Portfolio will incur a loss; conversely, if the price declines, the Portfolio will realize a capital gain. Any gain will be decreased, and any loss increased, by the transaction costs described above. The successful use of short selling may be adversely affected by imperfect correlation between movements in the price of the security sold short and the securities being hedged.
To the extent the Portfolio sells securities short, it will provide collateral to the broker-dealer and (except in the case of short sales “against the box”) will maintain additional asset coverage in the form of cash, U.S. government securities or other liquid securities with its custodian in a segregated account in an amount at least equal to the difference between the current market value of the securities sold short and any amounts required to be deposited as collateral with the selling broker (not including the proceeds of the short sale). A short sale is “against the box” to the extent the Portfolio contemporaneously owns, or has the right to obtain at no added cost, securities identical to those sold short.
(g) Other Investment Companies or Exchange Traded Funds – Certain Portfolios may invest up to 100% of their net assets in shares of affiliated and unaffiliated investment companies, including money market mutual funds, other mutual funds or exchange-traded funds (“ETFs”). An ETF generally is an open-end investment company, unit investment trust or a portfolio of securities deposited with a depository in exchange for depository receipts. ETFs provide investors the opportunity to buy or sell throughout the day an entire portfolio of securities in a single security. Although index mutual funds are similar to index-based ETFs, they are generally sold and redeemed only once per day at market close. The ETFs in which a Portfolio invests may be subject to liquidity risk. Liquidity risk exists when particular investments are difficult to purchase or sell, possibly preventing the sale of the security at an advantageous time or price. To the extent that the ETFs in which a Portfolio invests hold securities of companies with smaller market capitalizations or securities with substantial market risk, they will have a greater exposure to liquidity risk. In addition, ETFs are subject to the following risks that do not apply to conventional mutual funds that can be found in “Exchange-Traded Funds” below: (1) the market price of the ETF’s shares may trade at a discount to their net asset value; (2) an active trading market for an ETF’s shares may not develop or be maintained; or (3) trading of an ETF’s shares may be halted if the listing exchange deem such action appropriate, the shares are de-listed from the exchange, or the activation of market-wide “circuit breakers” (which are tied to large decreases in stock prices) halts stock trading generally. Additionally, ETFs have management fees, which increase their cost. In addition to the advisory and operational fees a Portfolio bears directly in connection with its own operation, the Portfolio also bears its pro rata portion of the advisory and operational expenses incurred indirectly through investments in other investment companies.
63
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited) (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 February 28, 2021, were as follows:
Location of derivatives on | ||||||||||
Statements of Assets and | Fair value of asset/liability | |||||||||
Fund | Derivative | Risk Type | Liabilities | derivatives | ||||||
James Alpha Macro | ||||||||||
Forward Exchange Contracts | Foreign Exchange | Unrealized depreciation on forward currency contracts | $ | (941 | ) | |||||
Swap Contracts | Equity | Unrealized appreciation on swaps | 775,057 | |||||||
Totals | $ | 774,116 | ||||||||
James Alpha Global Real Estate | ||||||||||
Forward Exchange Contracts | Foreign Exchange | Unrealized appreciation on forward currency exchange contracts | $ | 67,796 | ||||||
Forward Exchange Contracts | Foreign Exchange | Unrealized depreciation on forward currency exchange contracts | $ | (30,146 | ) | |||||
Totals | $ | 37,650 | ||||||||
James Alpha Multi Strategy Alternative Income | ||||||||||
Forward Exchange Contracts | Foreign Exchange | Unrealized appreciation on forward currency contracts | $ | 45 | ||||||
Totals | $ | 45 | ||||||||
James Alpha Managed Risk Domestic Equity | ||||||||||
Put options purchased | Equity | Investments, at value | $ | 2,226,075 | ||||||
Put options written | Equity | Options written | (982,275 | ) | ||||||
Call options written | Equity | Options written | (290,925 | ) | ||||||
Totals | $ | 952,875 | ||||||||
James Alpha Managed Risk Emerging Market Equity | ||||||||||
Put options purchased | Equity | Investments, at value | $ | 342,600 | ||||||
Put options written | Equity | Options written | (149,400 | ) | ||||||
Call options written | Equity | Options written | (2,400 | ) | ||||||
Totals | $ | 190,800 | ||||||||
James Alpha Hedged High Income | ||||||||||
Forward Exchange Contracts | Foreign Exchange | Unrealized depreciation on forward currency contracts | $ | (2,340 | ) | |||||
Futures Contracts | Interest Rate | Unrealized Appreciation on futures contracts | $ | 87,342 | ||||||
Swap Contracts | Interest Rate | Unrealized depreciation on swaps | (188,939 | ) | ||||||
Totals | $ | (103,937 | ) |
64
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited) (Continued) |
The effect of derivative instruments on the Statements of Operations for the year ended February 28, 2021, were as follows:
Realized and unrealized gain | ||||||||||
Portfolio | Derivative | Location of gain (loss) on derivatives | Risk Type | (loss) on derivatives | ||||||
James Alpha Macro | ||||||||||
Swaps Contracts | ||||||||||
Net realized gain on swaps | ||||||||||
Equity | $ | 30,646 | ||||||||
Net change in unrealized appreciation on swaps | ||||||||||
Equity | $ | 561,389 | ||||||||
Forward Currency Contracts | ||||||||||
Net realized loss on Investments and foreign currency translations | ||||||||||
Foreign Exchange | $ | (4,442 | ) | |||||||
Net change in unrealized depreciation on investments and foreign currency transactions | ||||||||||
Foreign Exchange | $ | (2,018 | ) | |||||||
James Alpha Global Real Estate | ||||||||||
Forward Currency Contracts | ||||||||||
Net realized gain from foreign currency transactions | ||||||||||
Foreign Exchange | $ | (167,296 | ) | |||||||
Net change in unrealized appreciation on foreign currency transactions | ||||||||||
Foreign Exchange | $ | 78,363 | ||||||||
Totals | $ | (88,933 | ) | |||||||
James Alpha Multi Strategy Alternative Income | ||||||||||
Options | ||||||||||
Net realized gain on options purchased | ||||||||||
Equity | $ | (23,629 | ) | |||||||
Totals | $ | (23,629 | ) | |||||||
Net change in unrealized appreciation on options purchased | ||||||||||
Equity | — | |||||||||
Totals | $ | — | ||||||||
Forward Currency Contracts | ||||||||||
Net realized gain from investments and foreign currency transactions | ||||||||||
Foreign Exchange | $ | 378 | ||||||||
Net change in unrealized depreciation on investments and foreign currency transactions | ||||||||||
Foreign Exchange | $ | (875 | ) | |||||||
James Alpha Managed Risk Domestic Equity | ||||||||||
Options | ||||||||||
Net realized loss on options purchased | ||||||||||
Equity | $ | (10,015,461 | ) | |||||||
Net realized gain on options written | ||||||||||
Equity | 5,159,748 | |||||||||
Totals | $ | (4,855,713 | ) | |||||||
Net change in unrealized appreciation on options purchased | ||||||||||
Equity | 911,135 | |||||||||
Net change in unrealized appreciation on options written | ||||||||||
Equity | 648,431 | |||||||||
Totals | $ | 1,559,566 | ||||||||
Swaps | ||||||||||
Net realized gain on swaps | ||||||||||
Equity | $ | 1,892,972 | ||||||||
James Alpha Managed Risk Emerging Markets Equity | ||||||||||
Options | ||||||||||
Net realized loss on options purchased | ||||||||||
Equity | $ | (736,487 | ) | |||||||
Net realized loss on options written | ||||||||||
Equity | (155,622 | ) | ||||||||
Totals | $ | (892,109 | ) | |||||||
Net change in unrealized appreciation on options purchased | ||||||||||
Equity | 190,326 | |||||||||
Net change in unrealized depreciation on options written | ||||||||||
Equity | (48,473 | ) | ||||||||
Totals | $ | 141,853 | ||||||||
Swaps | ||||||||||
Net realized gain on swaps | ||||||||||
Equity | $ | 553,613 |
65
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited) (Continued) |
Realized and | ||||||||||
unrealized gain | ||||||||||
Portfolio | Derivative | Location of gain (loss) on derivatives | Risk Type | (loss) on derivatives | ||||||
James Alpha Hedged High Income | ||||||||||
Futures | ||||||||||
Net realized gain from futures contracts | ||||||||||
Interest Rate | $ | 294 | ||||||||
Net change in unrealized depreciation on futures contracts | ||||||||||
Interest Rate | $ | 102,260 | ||||||||
Swaps | ||||||||||
Net realized loss from swaps | ||||||||||
Interest Rate | $ | (149,676 | ) | |||||||
Net change in unrealized appreciation on swaps | ||||||||||
Interest Rate | $ | 47,439 | ||||||||
Forward Contracts | ||||||||||
Net realized loss from forward currency contracts | ||||||||||
Foreign Exchange | $ | (31,843 | ) | |||||||
Net change in unrealized appreciation on forward currency contracts | ||||||||||
Foreign Exchange | $ | 2,413 |
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.
66
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited) (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 I Shares | Class A Shares | Class C Shares | Class S Shares | |||||||||||||||||||||||||||||
Six Months Ended | Year Ended | Six Months Ended | Year Ended | Six Months Ended | Year Ended | Six Months Ended | Period Ended | |||||||||||||||||||||||||
February 28, 2021 | August 31, 2020 | February 28, 2021 | August 31, 2020 | February 28, 2021 | August 31, 2020 | February 28, 2021 | August 31, 2020 | |||||||||||||||||||||||||
James Alpha Macro | ||||||||||||||||||||||||||||||||
Issued | 33,758 | 48,080 | 43,371 | 135 | — | 75 | 73,759 | 218,041 | ||||||||||||||||||||||||
Redeemed | (170,198 | ) | (141,252 | ) | (2,382 | ) | (9,028 | ) | (4,455 | ) | (11,979 | ) | (79,591 | ) | (267,045 | ) | ||||||||||||||||
Reinvested from Dividends | — | 60,092 | — | 1,564 | — | 2,674 | — | 20,895 | ||||||||||||||||||||||||
Net Increase (Decrease) in Shares | (136,440 | ) | (33,080 | ) | 40,989 | (7,329 | ) | (4,455 | ) | (9,230 | ) | (5,832 | ) | (28,109 | ) | |||||||||||||||||
James Alpha Global Real Estate Investments | ||||||||||||||||||||||||||||||||
Issued | 4,624,784 | 28,509,376 | 367,093 | 1,115,239 | 120,226 | 663,725 | 212,848 | 1,781,574 | ||||||||||||||||||||||||
Redeemed | (7,338,791 | ) | (32,304,180 | ) | (771,366 | ) | (1,880,732 | ) | (501,812 | ) | (1,312,245 | ) | (368,057 | ) | (632,371 | ) | ||||||||||||||||
Reinvested from Dividends | 1,071,139 | 2,466,466 | 242,675 | 550,089 | 169,350 | 391,753 | 92,699 | 108,398 | ||||||||||||||||||||||||
Net Increase (Decrease) in Shares | (1,642,868 | ) | (1,328,338 | ) | (161,598 | ) | (215,404 | ) | (212,236 | ) | (256,767 | ) | (62,510 | ) | 1,257,601 | |||||||||||||||||
James Alpha Multi Strategy Alternative Income | ||||||||||||||||||||||||||||||||
Issued | 16,473 | 12,714 | — | 62 | — | 3 | 505 | 11,693 | ||||||||||||||||||||||||
Redeemed | (39,103 | ) | (14,069 | ) | (37 | ) | (7,324 | ) | (394 | ) | (14,017 | ) | (39,863 | ) | (102,188 | ) | ||||||||||||||||
Reinvested from Dividends | 108,241 | 43,844 | 31 | 124 | 580 | 293 | 2,163 | 2,695 | ||||||||||||||||||||||||
Net Increase (Decrease) in Shares | 85,611 | 42,489 | (6 | ) | (7,138 | ) | 186 | (13,721 | ) | (37,195 | ) | (87,800 | ) | |||||||||||||||||||
James Alpha Managed Risk Domestic Equity | ||||||||||||||||||||||||||||||||
Issued | 590,230 | 3,233,242 | 37,737 | 118,733 | 10,386 | 133,175 | 63,960 | 226,381 | ||||||||||||||||||||||||
Redeemed | (1,554,080 | ) | (1,406,776 | ) | (31,322 | ) | (28,666 | ) | (74,458 | ) | (19,800 | ) | (251,228 | ) | (631,852 | ) | ||||||||||||||||
Reinvested from Dividends | 151,612 | 58,920 | 10,558 | 2,036 | 8,813 | 3,925 | 31,570 | 21,065 | ||||||||||||||||||||||||
Net Increase (Decrease) in Shares | (812,238 | ) | 1,885,386 | 16,973 | 92,103 | (55,259 | ) | 117,300 | (155,698 | ) | (384,406 | ) | ||||||||||||||||||||
James Alpha Managed Risk Emerging Markets Equity | ||||||||||||||||||||||||||||||||
Issued | 105 | 10,958 | 52 | 336 | — | — | 28,372 | 58,683 | ||||||||||||||||||||||||
Redeemed | (51,576 | ) | (177,863 | ) | (3,381 | ) | (6,296 | ) | (104 | ) | (7,149 | ) | (28,945 | ) | (125,846 | ) | ||||||||||||||||
Reinvested from Dividends | 13,029 | — | 958 | — | 239 | — | 11,117 | — | ||||||||||||||||||||||||
Net Increase (Decrease) in Shares | (38,442 | ) | (166,905 | ) | (2,371 | ) | (5,960 | ) | 135 | (7,149 | ) | 10,544 | (67,163 | ) | ||||||||||||||||||
James Alpha Hedged High Income | ||||||||||||||||||||||||||||||||
Issued | 91,099 | 396,497 | 7,070 | 161,079 | 2,345 | 7,417 | 98,836 | 518,448 | ||||||||||||||||||||||||
Redeemed | (634,448 | ) | (1,508,195 | ) | (61,666 | ) | (510,224 | ) | (14,016 | ) | (49,371 | ) | (447,116 | ) | (1,390,599 | ) | ||||||||||||||||
Reinvested from Dividends | 27,780 | 83,728 | 3,590 | 15,778 | 284 | 652 | 21,282 | 67,700 | ||||||||||||||||||||||||
Net Increase (Decrease) in Shares | (515,569 | ) | (1,027,970 | ) | (51,006 | ) | (333,367 | ) | (11,387 | ) | (41,302 | ) | (326,998 | ) | (804,451 | ) |
** | Amount represents less than 0.5 shares. |
67
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited) (Continued) |
5. | AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS |
The identified cost of investments in securities owned by each Fund for federal income tax purposes, and its respective gross unrealized appreciation and depreciation at February 28, 2021, were as follows:
Gross | Gross | Net Unrealized | ||||||||||||||
Tax | Unrealized | Unrealized | Appreciation/ | |||||||||||||
Cost | Appreciation | Depreciation | (Depreciation) | |||||||||||||
James Alpha Macro | 8,017,029 | 1,215,438 | (247,748 | ) | 967,690 | |||||||||||
James Alpha Global Real Estate Investments | 946,905,099 | 9,867,719 | (170,086,815 | ) | (160,219,096 | ) | ||||||||||
James Alpha Multi Strategy Alternative Income | 11,551,722 | 2,236,929 | (2,121,519 | ) | 115,410 | |||||||||||
James Alpha Managed Risk Domestic Equity | 29,963,033 | 8,991,761 | — | 8,991,761 | ||||||||||||
James Alpha Managed Risk Emerging Markets Equity | 2,347,191 | 542,027 | — | 542,027 | ||||||||||||
James Alpha Hedged High Income | 22,631,518 | 1,101,578 | (2,954,133 | ) | (1,852,555 | ) |
6. | DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL |
The tax character of dividends paid during the period ended August 31, 2020 (for the period ended December 31, 2019 for the James Alpha Global Real Estate Investments Portfolio) was as follows:
For fiscal year ended | Ordinary | Tax Exempt | Long-Term | Return of | ||||||||||||||||
8/31/2020 | Income | Income | Capital Gains | Capital | Total | |||||||||||||||
James Alpha Macro | $ | 864,105.00 | $ | — | $ | — | $ | 5,035.00 | $ | 869,140 | ||||||||||
James Alpha Global Real Estate Investments | 98,979,566 | — | — | — | 98,979,566 | |||||||||||||||
James Alpha Multi Strategy Alternative Income | 45,509 | — | 376,751 | — | 422,260 | |||||||||||||||
James Alpha Managed Risk Domestic Equity | 1,016,443 | — | 124,780 | — | 1,141,223 | |||||||||||||||
James Alpha Managed Risk Emerging Markets Equity | — | — | — | — | — | |||||||||||||||
James Alpha Hedged High Income | 1,729,599 | — | — | 199,322 | 1,928,921 |
The tax character of dividends paid during the period ended August 31, 2019 (for the period ended December 31, 2018 for the James Alpha Global Real Estate Investments Portfolio) was as follows:
For fiscal year ended | Ordinary | Tax Exempt | Long-Term | Return of | ||||||||||||||||
8/31/2019 | Income | Income | Capital Gains | Capital | Total | |||||||||||||||
James Alpha Macro | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
James Alpha Global Real Estate Investments | 61,134,735 | — | — | — | 61,134,735 | |||||||||||||||
James Alpha Multi Strategy Alternative Income | 302,476 | — | — | 242,320 | 544,796 | |||||||||||||||
James Alpha Managed Risk Domestic Equity | 1,584,240 | — | 496,031 | — | 2,080,271 | |||||||||||||||
James Alpha Managed Risk Emerging Markets Equity | 365,924 | — | 801,876 | — | 1,167,800 | |||||||||||||||
James Alpha Hedged High Income | 2,232,538 | — | — | 369,633 | 2,602,171 |
Permanent book and tax differences, primarily attributable to the book/tax basis treatment of distributions in excess, and net operating losses and short-term capital gains, reclassification of Fund distributions and adjustments for nondeductible payments resulted in reclassification for the tax year ended August 31, 2020 (except for the James Alpha Global Real Estate Investments Portfolio in which its December 31, 2019 reclassifications for permanent book and tax differences have been adjusted for August 31, 2020 activity) as follows:
Paid | Distributable | |||||||
In | or Accumulated | |||||||
Capital | Earnings (Loss) | |||||||
James Alpha Macro | $ | (42,522 | ) | $ | 42,522 | |||
James Alpha Global Real Estate Investments | — | — | ||||||
James Alpha Multi Strategy Alternative Income | — | — | ||||||
James Alpha Managed Risk Domestic Equity | 201,017 | (201,017 | ) | |||||
James Alpha Managed Risk Emerging Markets Equity | — | — | ||||||
James Alpha Hedged High Income | (66,967 | ) | 66,967 |
Net assets were unaffected by the above reclassifications.
As of each of the Portfolio’s tax year-ended August 31, 2020 (except for the James Alpha Global Real Estate Investments Portfolio in which its December 31, 2019 components of distributable earnings have been adjusted for August 31, 2020 activity), the components of distributable earnings on a tax basis were as follows:
68
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited) (Continued) |
Undistributed | Undistributed | Post October Loss | Capital Loss | Other | Unrealized | Total | ||||||||||||||||||||||
Ordinary | Long-Term | and | Carry | Book/Tax | Appreciation/ | Accumulated | ||||||||||||||||||||||
Income | Capital Gains | Late Year Loss | Forwards | Differences | (Depreciation) | Earnings/(Deficits) | ||||||||||||||||||||||
James Alpha Macro | — | — | (78,471 | ) | (2,090,920 | ) | (901,379 | ) | 143,117 | (2,927,653 | ) | |||||||||||||||||
James Alpha Global Real Estate Investments | 31,354,007 | — | — | — | — | (279,385,362 | ) | (248,031,355 | ) | |||||||||||||||||||
James Alpha Multi Strategy Alternative Income | — | 951,206 | (11,234 | ) | — | — | (453,445 | ) | 486,527 | |||||||||||||||||||
James Alpha Managed Risk Domestic Equity | 3,430,825 | — | (4,839,095 | ) | (983,827 | ) | (30,103 | ) | 5,009,344 | 2,587,144 | ||||||||||||||||||
James Alpha Managed Risk Emerging Markets Equity | 326,698 | — | (638,222 | ) | (231,321 | ) | (83,547 | ) | 33,291 | (593,101 | ) | |||||||||||||||||
James Alpha Hedged High Income | — | — | (701,257 | ) | (1,879,294 | ) | — | (2,924,757 | ) | (5,505,308 | ) |
The difference between book basis and tax basis unrealized appreciation (depreciation), undistributed net investment income (loss) and accumulated net realized gain (loss) from security transactions are primarily attributable to the tax deferral of losses on wash sales, adjustments for a wholly owned subsidiary, mark-to-market on open forward foreign currency contracts, futures and swap contracts, passive foreign investment companies and adjustments for partnerships, real estate investment trusts, perpetual bond securities, trust preferred securities, accrued dividends payable and dividends payable on foreign tax passthrough and C-Corporations adjustments. The unrealized appreciation (depreciation) in the table above includes unrealized foreign currency gains (losses) of $(38), $(93,787), $462 and $(15,767) for the James Alpha Macro Portfolio, James Alpha Global Real Estate Investments Portfolio, the James Alpha Multi-Strategy Alternative Income Portfolio and James Alpha Hedged High Income Portfolio respectively
Late year losses incurred after December 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Portfolios below incurred and elected to defer such late year losses as follows:
Late Year | ||||
Losses | ||||
James Alpha Macro | 78,471 | |||
James Alpha Global Real Estate Investments | — | |||
James Alpha Multi Strategy Alternative Income | 11,234 | |||
James Alpha Managed Risk Domestic Equity | — | |||
James Alpha Managed Risk Emerging Markets Equity | — | |||
James Alpha Hedged High Income | — |
Capital losses incurred after October 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Portfolios below incurred and elected to defer such capital losses as follows:
Post October | ||||
Losses | ||||
James Alpha Macro | $ | — | ||
James Alpha Global Real Estate Investments | — | |||
James Alpha Multi Strategy Alternative Income | — | |||
James Alpha Managed Risk Domestic Equity | 4,839,095 | |||
James Alpha Managed Risk Emerging Markets Equity | 638,222 | |||
James Alpha Hedged High Income | 701,257 |
7. | UNDERLYING INVESTMENTS IN OTHER INVESTMENT COMPANIES |
Each underlying fund, including each exchange-traded fund (“ETF”), is subject to specific risks, depending on the nature of the underlying fund. These risks could include liquidity risk, sector risk, foreign and related currency risk, as well as risks associated with real estate investments and commodities. Investors in the Fund will indirectly bear fees and expenses charged by the underlying investment companies in which the Fund invests in addition to the Fund’s direct fees and expenses.
The performance of the James Alpha Macro Portfolio will be directly affected by the performance of the James Alpha Structured Credit Value Portfolio. The Portfolio seeks to provide a high level of risk -adjusted current income and capital appreciation. Capital preservation is a secondary objective. The financial statements of the James Alpha Structured Credit Value Portfolio, including the portfolio of investments, can be found on the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the Portfolio’s financial statements. As of February 28, 2021, the percentage of net assets invested in the James Alpha Structured Credit Value Portfolio was 34.1%.
The performance of the James Alpha Managed Risk Domestic Equity Portfolio will be directly affected by the performance of the SPDR S&P 500 ETF Trust. The Trust seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of the S&P 500 Index. The financial statements of the SPDR S&P 500 ETF Trust, including the portfolio of investments, can be found on the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the Portfolio’s financial statements. As of February 28, 2021, the percentage of net assets invested in the SPDR S&P 500 ETF Trust was 84.3%.
The performance of the James Alpha Managed Risk Emerging Markets Equity Portfolio will be directly affected by the performance of the iShares MSCI Emerging Markets ETF. The iShares MSCI Emerging Markets ETF seeks to track the investment results of an index composed of large and mid-capitalization emerging market equities. The financial statements of the iShares MSCI Emerging Markets ETF, including the portfolio of investments, can be found on the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the Portfolio’s financial statements. As of February 28, 2021, the percentage of net assets invested in the iShares MSCI Emerging Markets ETF was 36.9%.
69
CONSOLIDATED NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited) (Continued) |
8. | 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 February 28, 2021, the below entities held more than 25% of the voting securities for each of the Funds listed.
National | First | Wells Fargo | The Dennis & | |||||||||||||||||||||||||||||||||
UBS Wealth | Denis | Financial | Pershing, | National | Mid Atlantic Trust | Clearing | TD Ameritrade | Britta Nayden | ||||||||||||||||||||||||||||
Management * | Nayden | Services * | LLC * | Bank * | Company FBO * | Services * | Trust Company * | Gifting Trust | ||||||||||||||||||||||||||||
James Alpha Multi Strategy | ||||||||||||||||||||||||||||||||||||
Alternative Income | — | — | — | — | — | — | — | — | 76.65 | % | ||||||||||||||||||||||||||
James Alpha Hedged High Income | — | — | 62.22 | % | — | — | — | — | — | — | ||||||||||||||||||||||||||
James Alpha Macro | — | — | 34.58 | % | — | — | — | — | — | — | ||||||||||||||||||||||||||
James Alpha Managed Risk | ||||||||||||||||||||||||||||||||||||
Domestic Equity | — | — | 48.51 | % | — | — | — | — | — | — | ||||||||||||||||||||||||||
James Alpha Managed Risk | ||||||||||||||||||||||||||||||||||||
Emerging Markets | — | — | 36.63 | % | — | — | — | — | 30.16 | % | — |
* | Comprised of multiple investors and accounts |
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.
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 other than the following. On Monday, December 14th, 2020, the Board of Trustees of the Saratoga Advantage Trust (“Trust”) approved the reorganization of the James Alpha Macro Portfolio, James Alpha Global Real Estate Investments Portfolio, James Alpha Multi Strategy Alternative Income Portfolio, James Alpha Managed Risk Domestic Equity Portfolio, James Alpha Managed Risk Emerging Markets Portfolio and James Alpha Hedged High Income 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 was approved by the shareholders of each of the Existing Funds on March 17, 2021 except for the James Alpha Multi Strategy Portfolio which was approved on February 26, 2021. As of the close of business on March 19, 2021, the reorganization was complete.
70
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
James Alpha Macro Portfolio - Class A Shares (Consolidtated) | ||||||||||||||||||||||||
Six Months Ended | ||||||||||||||||||||||||
February 28, | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
2021 | August 31, | August 31, | August 31, | August 31, | August 31, | |||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 8.69 | $ | 9.90 | $ | 9.12 | $ | 9.16 | $ | 9.36 | $ | 10.18 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) (1) | 0.09 | 0.12 | 0.07 | 0.07 | 0.02 | (0.11 | ) | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.76 | (0.58 | ) | 0.71 | (0.11 | ) | (0.22 | ) | (0.59 | ) | ||||||||||||||
Total from investment operations | 0.85 | (0.46 | ) | 0.78 | (0.04 | ) | (0.20 | ) | (0.70 | ) | ||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | — | (0.75 | ) | — | — | — | (0.12 | ) | ||||||||||||||||
Distributions from return of capital | — | (0.00 | ) ** | — | — | — | — | |||||||||||||||||
Total dividends and distributions | — | (0.75 | ) | — | — | — | (0.12 | ) | ||||||||||||||||
Redemption Fees | — | — | — | — | — | — | ** | |||||||||||||||||
Net Asset Value, End of Year/Period | $ | 9.54 | $ | 8.69 | $ | 9.90 | $ | 9.12 | $ | 9.16 | $ | 9.36 | ||||||||||||
Total Return* | 9.78 | % | (4.88 | )% | 8.55 | % | (0.44 | )% | (2.14 | )% | (6.96 | )% | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 542 | $ | 138 | $ | 229 | $ | 327 | $ | 569 | $ | 811 | ||||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (3,7) | 2.82 | % (8) | 2.82 | % | 2.71 | % | 2.61 | % | 2.62 | % | 2.12 | % | ||||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (4,7) | 1.82 | % (8) | 1.70 | % | 1.53 | % | 1.55 | % | 1.50 | % | 1.50 | % | ||||||||||||
Ratio of net investment income (loss) (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets | 1.86 | % (8) | 1.33 | % | 0.72 | % | 0.71 | % | 0.16 | % | (1.09 | )% | ||||||||||||
Portfolio Turnover Rate | 38 | % (9) | 125 | % | 133 | % | 103 | % | 83 | % | 241 | % | ||||||||||||
James Alpha Global Real Estate Investments Portfolio - Class A Shares | ||||||||||||||||||||||||
Six Months Ended | ||||||||||||||||||||||||
February 28, | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
2021 | August 31, | August 31, | August 31, | August 31, | August 31, | |||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 15.56 | $ | 17.81 | $ | 18.73 | $ | 18.98 | $ | 19.03 | $ | 18.80 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (1) | 0.06 | 0.19 | 0.09 | 0.33 | 0.27 | 0.40 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 2.78 | (0.51 | ) | 0.65 | 1.22 | 1.51 | 1.71 | |||||||||||||||||
Total from investment operations | 2.84 | (0.32 | ) | 0.74 | 1.55 | 1.78 | 2.11 | |||||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.12 | ) | (0.28 | ) | (0.64 | ) | (0.69 | ) | (0.28 | ) | (0.69 | ) | ||||||||||||
Distributions from realized gains | (0.77 | ) | (1.65 | ) | (1.02 | ) | (1.11 | ) | (1.55 | ) | (1.19 | ) | ||||||||||||
Total dividends and distributions | (0.89 | ) | (1.93 | ) | (1.66 | ) | (1.80 | ) | (1.83 | ) | (1.88 | ) | ||||||||||||
Redemption Fees | — | — | — | — | — | — | ** | |||||||||||||||||
Net Asset Value, End of Year/Period | $ | 17.51 | $ | 15.56 | $ | 17.81 | $ | 18.73 | $ | 18.98 | $ | 19.03 | ||||||||||||
Total Return* | 18.91 | %+ | (1.93 | )% | 4.67 | % | 8.75 | % | 10.27 | % | 11.93 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 96,483 | $ | 88,222 | $ | 104,815 | $ | 109,634 | $ | 94,239 | $ | 101,868 | ||||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (5) | 1.67 | % (8) | 1.60 | % | 1.60 | % | 1.62 | % | 1.93 | % | 2.01 | % | ||||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (2,6) | 1.67 | % (8) | 1.60 | % | 1.60 | % | 1.62 | % | 1.92 | % | 1.99 | % | ||||||||||||
Ratio of net investment income after expense reimbursement/recoupment to average net assets | 0.69 | % (8) | 1.16 | % | 0.52 | % | 1.80 | % | 1.46 | % | 2.09 | % | ||||||||||||
Portfolio Turnover Rate | 47 | % (9) | 187 | % | 172 | % | 204 | % | 141 | % | 149 | % |
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(2) | During the year ended August 31, 2020, Ascent Investment Advisors, LLC, recaptured previously waived/reimbursed expenses. The ratio of expenses to average net assets excluding the effect of any recapture was 1.60%, for the James Alpha Global Real Estate Investments Portfolio. |
(3) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Macro Portfolio: |
2.74 | % (7) | 2.78 | % | 2.68 | % | 2.56 | % | 2.62 | % | 2.12 | % |
(4) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Macro Portfolio: |
1.74 | % (7) | 1.66 | % | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % |
(5) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Global Real Estate Portfolio: |
1.67 | % (7) | 1.60 | % | 1.60 | % | 1.62 | % | 1.93 | % | 2.01 | % |
(6) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Global Real Estate Portfolio: |
1.67 | % (7) | 1.60 | % | 1.60 | % | 1.62 | % | 1.92 | % | 1.99 | % |
(7) | Does not include the expenses of exchange traded funds in which the Fund invests. |
(8) | Annualized for periods less than one year. |
(9) | Not annualized |
+ | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
* | Assumes reinvestment of all dividends and distributions 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. |
71
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
James Alpha Multi Strategy Alternative Income Portfolio - Class A Shares | ||||||||||||||||||||||||
Six Months Ended | ||||||||||||||||||||||||
February 28, | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
2021 | August 31, | August 31, | August 31, | August 31, | August 31, | |||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 9.40 | $ | 9.07 | $ | 9.59 | $ | 8.85 | $ | 9.07 | $ | 9.43 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) (1) | — | 0.01 | 0.03 | (0.01 | ) | (0.02 | ) | 0.05 | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.84 | 0.57 | (0.22 | ) | 1.10 | 0.16 | (0.29 | ) | ||||||||||||||||
Total from investment operations | 0.84 | 0.58 | (0.19 | ) | 1.09 | 0.14 | (0.24 | ) | ||||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.06 | ) | (0.25 | ) | (0.18 | ) | — | — | — | |||||||||||||||
Distributions from realized gains | (0.68 | ) | — | — | — | (0.20 | ) | (0.08 | ) | |||||||||||||||
Distributions from return of capital | — | — | (0.15 | ) | (0.35 | ) | (0.16 | ) | (0.04 | ) | ||||||||||||||
Total dividends and distributions | (0.74 | ) | (0.25 | ) | (0.33 | ) | (0.35 | ) | (0.36 | ) | (0.12 | ) | ||||||||||||
Net Asset Value, End of Year/Period | $ | 9.50 | $ | 9.40 | $ | 9.07 | $ | 9.59 | $ | 8.85 | $ | 9.07 | ||||||||||||
Total Return* | 9.07 | % | 6.66 | % | (1.92 | )% | 12.62 | % | 1.53 | % | (2.42 | )% | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 4 | $ | 4 | $ | 69 | $ | 78 | $ | 99 | $ | 102 | ||||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2,6) | 4.59 | % (7) | 4.75 | % | 4.78 | % | 4.35 | % | 4.03 | % | 3.79 | % | ||||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3,6) | 3.43 | % (7) | 3.22 | % | 3.39 | % | 3.63 | % | 3.51 | % | 3.28 | % | ||||||||||||
Ratio of net investment income (loss) (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets (6) | (0.06 | )% (7) | 0.25 | % | 0.28 | % | (0.13 | )% | (0.25 | )% | 0.52 | % | ||||||||||||
Portfolio Turnover Rate | 95 | % (8) | 185 | % | 414 | % | 183 | % | 118 | % | 124 | % | ||||||||||||
James Alpha Managed Risk Domestic Equity Portfolio - Class A Shares | ||||||||||||||||||||||||
Six Months Ended | ||||||||||||||||||||||||
February 28, | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
2021 | August 31, | August 31, | August 31, | August 31, | August 31, | |||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.83 | $ | 10.42 | $ | 10.80 | $ | 10.33 | $ | 9.94 | $ | 9.58 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment loss (2) | (0.03 | ) | (0.05 | ) | (0.13 | ) | (0.11 | ) | (0.08 | ) | (0.10 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 0.46 | 0.72 | 0.75 | 0.81 | 0.46 | 0.49 | ||||||||||||||||||
Total from investment operations | 0.43 | 0.67 | 0.62 | 0.70 | 0.38 | 0.39 | ||||||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.74 | ) | — | (0.31 | ) | (0.23 | ) | — | (0.03 | ) | ||||||||||||||
Distributions from realized gains | — | (0.26 | ) | (0.69 | ) | — | — | — | ||||||||||||||||
Total dividends and distributions | (0.74 | ) | (0.26 | ) | (1.00 | ) | (0.23 | ) | — | (0.03 | ) | |||||||||||||
Redemption Fees | — | — | — | — | 0.01 | — | ** | |||||||||||||||||
Net Asset Value, End of Year/Period | $ | 10.52 | $ | 10.83 | $ | 10.42 | $ | 10.80 | $ | 10.33 | $ | 9.94 | ||||||||||||
Total Return* | 4.14 | %+ | 6.56 | % | 6.26 | % | 6.91 | % | 3.92 | % | 4.09 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 1,672 | $ | 1,537 | $ | 519 | $ | 230 | $ | 373 | $ | 850 | ||||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (7,9) | 2.05 | % (7) | 2.07 | % | 2.22 | % | 2.70 | % | 3.20 | % | 2.57 | % | ||||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (8,9) | 1.99 | % (7) | 2.01 | % | 2.20 | % | 2.76 | % | 2.67 | % | 2.57 | % | ||||||||||||
Ratio of net investment loss (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets (9) | (0.48 | )% (7) | (0.44 | )% | (1.28 | )% | (1.04 | )% | (0.81 | )% | (0.98 | )% | ||||||||||||
Portfolio Turnover Rate | 16 | % (8) | 173 | % | 245 | % | 84 | % | 11 | % | 7 | % |
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(2) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Multi Strategy Alternative Income Portfolio: |
3.40 | % (7) | 3.77 | % | 3.80 | % | 3.47 | % | 3.27 | % | 3.26 | % |
(3) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Multi Strategy Alternative Income Portfolio: |
2.24 | % (7) | 2.24 | % | 2.41 | % | 2.75 | % | 2.75 | % | 2.75 | % |
(4) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Managed Risk Domestic Equity Portfolio: |
2.05 | % (7) | 2.05 | % | 2.19 | % | 2.39 | % | 2.98 | % | 2.45 | % |
(5) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Managed Risk Domestic Equity Portfolio: |
1.99 | % (7) | 1.99 | % | 2.17 | % | 2.45 | % | 2.45 | % | 2.45 | % |
(6) | Does not include the expenses of exchange traded funds in which the Fund invests. |
(7) | Annualized for periods less than one year. |
(8) | Not annualized |
+ | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
* | Assumes reinvestment of all dividends and distributions 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. |
72
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
James Alpha Managed Risk Emerging Markets Equity Portfolio - Class A Shares | ||||||||||||||||||||||||
Six Months Ended | ||||||||||||||||||||||||
February 28, | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
2021 | August 31, | August 31, | August 31, | August 31, | August 31, | |||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 8.33 | $ | 8.35 | $ | 9.47 | $ | 10.18 | $ | 9.50 | $ | 9.41 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment loss (1) | (0.04 | ) | 0.04 | (0.06 | ) | (0.08 | ) | (0.13 | ) | (0.04 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 0.40 | (0.06 | ) | 0.04 | 0.09 | 0.81 | 0.26 | |||||||||||||||||
Total from investment operations | 0.36 | (0.02 | ) | (0.02 | ) | 0.01 | 0.68 | 0.22 | ||||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.88 | ) | — | — | (0.72 | ) | — | (0.07 | ) | |||||||||||||||
Distributions from realized gains | — | — | (1.10 | ) | — | — | (0.06 | ) | ||||||||||||||||
Total dividends and distributions | (0.88 | ) | — | (1.10 | ) | (0.72 | ) | — | (0.13 | ) | ||||||||||||||
Redemption Fees | — | — | — | — | — | — | ** | |||||||||||||||||
Net Asset Value, End of Year/Period | $ | 7.81 | $ | 8.33 | $ | 8.35 | $ | 9.47 | $ | 10.18 | $ | 9.50 | ||||||||||||
Total Return* | 4.47 | % | (0.24 | )% + | (0.1 | 1)% + | (0.01 | )% | 7.16 | % | 2.36 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 47 | $ | 70 | $ | 119 | $ | 136 | $ | 183 | $ | 167 | ||||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2,6) | 3.21 | % (7) | 3.16 | % | 3.03 | % | 2.65 | % | 2.76 | % | 2.61 | % | ||||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3,6) | 2.25 | % (7) | 2.37 | % | 2.46 | % | 2.65 | % | 2.70 | % | 2.53 | % | ||||||||||||
Ratio of net investment loss (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets (6) | (1.09 | )% (7) | 0.48 | % | (0.72 | )% | (0.87 | )% | (1.33 | )% | (0.42 | )% | ||||||||||||
Portfolio Turnover Rate | 21 | % (8) | 519 | % | 335 | % | 152 | % | 15 | % | 0 | % | ||||||||||||
James Alpha Hedged High Income Portfolio - Class A Shares | ||||||||||||||||||||||||
Six Months Ended | For the Fiscal | |||||||||||||||||||||||
February 28, | Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||||||||
2021 | August 31, | August 31, | August 31, | August 31, | August 31, | |||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 8.72 | $ | 9.02 | $ | 9.25 | $ | 9.46 | $ | 9.10 | $ | 9.16 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (1) | 0.07 | 0.32 | 0.32 | 0.36 | 0.43 | 0.35 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.56 | (0.24 | ) | (0.17 | ) | (0.19 | ) | 0.32 | (0.08 | ) | ||||||||||||||
Total from investment operations | 0.63 | 0.08 | 0.15 | 0.17 | 0.75 | 0.27 | ||||||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.23 | ) | (0.33 | ) | (0.32 | ) | (0.34 | ) | (0.39 | ) | (0.33 | ) | ||||||||||||
Distributions from return of capital | — | (0.05 | ) | (0.06 | ) | (0.04 | ) | — | — | |||||||||||||||
Total dividends and distributions | (0.23 | ) | (0.38 | ) | (0.38 | ) | (0.38 | ) | (0.39 | ) | (0.33 | ) | ||||||||||||
Net Asset Value, End of Year/Period | $ | 9.12 | $ | 8.72 | $ | 9.02 | $ | 9.25 | $ | 9.46 | $ | 9.10 | ||||||||||||
Total Return* | 6.95 | % | 0.97 | % | 1.63 | % | 1.84 | % | 8.43 | % | 3.16 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 1,204 | $ | 1,595 | $ | 4,659 | $ | 2,931 | $ | 1,308 | $ | 1,222 | ||||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (4,6) | 3.04 | % (7) | 3.10 | % | 3.11 | % | 2.76 | % | 3.12 | % | 3.69 | % (7) | ||||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (5,6) | 2.79 | % (7) | 2.65 | % | 2.68 | % | 2.52 | % | 2.39 | % | 2.39 | % (7) | ||||||||||||
Ratio of net investment loss (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets (6) | 3.49 | % (7) | 3.57 | % | 3.50 | % | 3.85 | % | 4.68 | % | 3.88 | % (7) | ||||||||||||
Portfolio Turnover Rate | 127 | % (8) | 277 | % | 195 | % | 171 | % | 106 | % | 66 | % (8) |
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Period. |
(2) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Managed Risk Emerging Markets Equity Portfolio: |
3.21 | % (7) | 3.04 | % | 2.89 | % | 2.64 | % | 2.45 | % | 2.45 | % (3) |
(3) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Managed Risk Emerging Markets Equity Portfolio: |
2.25 | % (7) | 2.25 | % | 2.32 | % | 2.33 | % | 2.45 | % | 2.45 | % (3) |
(4) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Hedged High Income Portfolio: |
2.63 | % (7) | 2.84 | % | 2.81 | % | 2.64 | % | 2.39 | % | 3.69 | % (7) |
(5) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Hedged High Income Portfolio: |
2.39 | % (7) | 2.39 | % | 2.39 | % | 2.39 | % | 2.39 | % | 2.39 | % (7) |
(6) | Does not include the expenses of exchange traded funds in which the Fund invests. |
(7) | Annualized for periods less than one year. |
(8) | Not annualized |
+ | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
* | Assumes reinvestment of all dividends and distributions 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. |
73
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
James Alpha Macro Portfolio - Class C Shares (Consolidtated) | ||||||||||||||||||||||||
Six Months Ended | ||||||||||||||||||||||||
February 28, | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
2021 | August 31, | August 31, | August 31, | August 31, | August 31, | |||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 8.25 | $ | 9.38 | $ | 8.70 | $ | 8.80 | $ | 9.06 | $ | 9.96 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) (1) | 0.07 | 0.04 | — | 0.01 | (0.05 | ) | (0.18 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.70 | (0.55 | ) | 0.68 | (0.11 | ) | (0.21 | ) | (0.58 | ) | ||||||||||||||
Total from investment operations | 0.77 | (0.51 | ) | 0.68 | (0.10 | ) | (0.26 | ) | (0.76 | ) | ||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | — | (0.62 | ) | — | — | — | (0.14 | ) | ||||||||||||||||
Distributions from return of capital | — | (0.00 | ) ** | — | — | — | — | |||||||||||||||||
Total dividends and distributions | — | (0.62 | ) | — | — | — | (0.14 | ) | ||||||||||||||||
Redemption Fees | — | — | — | ** | — | — | ** | — | ** | |||||||||||||||
Net Asset Value, End of Year/Period | $ | 9.02 | $ | 8.25 | $ | 9.38 | $ | 8.70 | $ | 8.80 | $ | 9.06 | ||||||||||||
Total Return* | 9.33 | % | (5.61 | )% | 7.82 | % | (1.14 | )% | (2.87 | )% | (7.70 | )% | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 280 | $ | 293 | $ | 419 | $ | 740 | $ | 862 | $ | 1,676 | ||||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2,6) | 3.57 | % (7) | 3.57 | % | 3.46 | % | 3.36 | % | 3.37 | % | 2.87 | % | ||||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3,6) | 2.57 | % (7) | 2.45 | % | 2.28 | % | 2.30 | % | 2.25 | % | 2.25 | % | ||||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | 1.77 | % (7) | 0.51 | % | (0.02 | )% | 0.07 | % | (0.57 | )% | (1.82 | )% | ||||||||||||
Portfolio Turnover Rate | 38 | % (8) | 125 | % | 133 | % | 103 | % | 83 | % | 241 | % | ||||||||||||
James Alpha Global Real Estate Investments Portfolio - Class C Shares | ||||||||||||||||||||||||
Six Months Ended | ||||||||||||||||||||||||
February 28, | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
2021 | August 31, | August 31, | August 31, | August 31, | August 31, | |||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 15.68 | $ | 17.95 | $ | 18.89 | $ | 19.13 | $ | 19.15 | $ | 18.89 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment (loss) (1) | — | ** | 0.07 | (0.04 | ) | 0.20 | 0.13 | 0.25 | ||||||||||||||||
Net realized and unrealized gain (loss) | 2.81 | (0.51 | ) | 0.65 | 1.22 | 1.54 | 1.74 | |||||||||||||||||
Total from investment operations | 2.81 | (0.44 | ) | 0.61 | 1.42 | 1.67 | 1.99 | |||||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.09 | ) | (0.18 | ) | (0.53 | ) | (0.55 | ) | (0.14 | ) | (0.54 | ) | ||||||||||||
Distributions from realized gains | (0.77 | ) | (1.65 | ) | (1.02 | ) | (1.11 | ) | (1.55 | ) | (1.19 | ) | ||||||||||||
Total dividends and distributions | (0.86 | ) | (1.83 | ) | (1.55 | ) | (1.66 | ) | (1.69 | ) | (1.73 | ) | ||||||||||||
Redemption Fees | — | — | — | — | — | ** | — | ** | ||||||||||||||||
Net Asset Value, End of Year/Period | $ | 17.63 | $ | 15.68 | $ | 17.95 | $ | 18.89 | $ | 19.13 | $ | 19.15 | ||||||||||||
Total Return* | 18.54 | % | (2.62 | )% | 3.87 | % | 7.90 | % | 9.56 | % | 11.19 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year (000s) | $ | 70,359 | $ | 65,907 | $ | 80,048 | $ | 82,262 | $ | 73,602 | $ | 75,858 | ||||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (4) | 2.42 | % (7) | 2.35 | % | 2.37 | % | 2.37 | % | 2.68 | % | 2.76 | % | ||||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (5) | 2.37 | % (7) | 2.35 | % | 2.37 | % | 2.37 | % | 2.61 | % | 2.67 | % | ||||||||||||
Ratio of net investment income after expense reimbursement/recoupment to average net assets | (0.01 | )% (7) | 0.42 | % | (0.25 | )% | 1.06 | % | 0.73 | % | 1.35 | % | ||||||||||||
Portfolio Turnover Rate | 47 | % (8) | 187 | % | 172 | % | 204 | % | 141 | % | 149 | % |
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(2) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Macro Portfolio: |
3.49 | % (6) | 3.53 | % | 3.43 | % | 3.31 | % | 3.37 | % | 2.87 | % |
(3) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Macro Portfolio: |
2.49 | % (6) | 2.41 | % | 2.25 | % | 2.25 | % | 2.25 | % | 2.25 | % |
(4) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Global Real Estate Portfolio: |
2.42 | % (6) | 2.35 | % | 2.37 | % | 2.37 | % | 2.68 | % | 2.76 | % |
(5) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Global Real Estate Portfolio: |
2.37 | % (6) | 2.35 | % | 2.37 | % | 2.37 | % | 2.61 | % | 2.67 | % |
(6) | Does not include the expenses of exchange traded funds in which the Fund invests. |
(7) | Annualized for periods less than one year. |
(8) | Not annualized |
+ | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
* | Assumes reinvestment of all dividends and distributions 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. |
74
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
James Alpha Multi Strategy Alternative Income Portfolio - Class C Shares | ||||||||||||||||||||||||
Six Months Ended | ||||||||||||||||||||||||
February 28, | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
2021 | August 31, | August 31, | August 31, | August 31, | August 31, | |||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 9.21 | $ | 8.90 | $ | 9.42 | $ | 8.69 | $ | 8.96 | $ | 9.37 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment loss (1) | (0.05 | ) | (0.06 | ) | (0.04 | ) | (0.07 | ) | (0.09 | ) | (0.03 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 0.83 | 0.57 | (0.23 | ) | 1.08 | 0.17 | (0.27 | ) | ||||||||||||||||
Total from investment operations | 0.78 | 0.51 | (0.27 | ) | 1.01 | 0.08 | (0.30 | ) | ||||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.05 | ) | (0.20 | ) | (0.14 | ) | — | — | (0.00 | ) ** | ||||||||||||||
Distributions from realized gains | (0.68 | ) | — | — | — | (0.20 | ) | (0.08 | ) | |||||||||||||||
Distributions from return of capital | — | — | (0.11 | ) | (0.28 | ) | (0.15 | ) | (0.03 | ) | ||||||||||||||
Total dividends and distributions | (0.73 | ) | (0.20 | ) | (0.25 | ) | (0.28 | ) | (0.35 | ) | (0.11 | ) | ||||||||||||
Net Asset Value, End of Year/Period | $ | 9.26 | $ | 9.21 | $ | 8.90 | $ | 9.42 | $ | 8.69 | $ | 8.96 | ||||||||||||
Total Return * | 8.62 | % | 5.89 | % | (2.72 | )% | 11.88 | % | 0.79 | % | (3.11 | )% | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 71 | $ | 69 | $ | 188 | $ | 270 | $ | 318 | $ | 350 | ||||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2,6) | 5.34 | % (7) | 5.50 | % | 5.53 | % | 5.11 | % | 4.79 | % | 4.50 | % | ||||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3,6) | 4.18 | % (7) | 3.97 | % | 4.14 | % | 4.38 | % | 4.26 | % | 3.99 | % | ||||||||||||
Ratio of net investment loss (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets (6) | (0.82 | )% (7) | (0.61 | )% | (0.50 | )% | (0.84 | )% | (1.03 | )% | (0.35 | )% | ||||||||||||
Portfolio Turnover Rate | 95 | % (8) | 185 | % | 414 | % | 183 | % | 118 | % | 124 | % | ||||||||||||
James Alpha Managed Risk Domestic Equity Portfolio - Class C Shares | ||||||||||||||||||||||||
Six Months Ended | ||||||||||||||||||||||||
February 28, | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
2021 | August 31, | August 31, | August 31, | August 31, | August 31, | |||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.57 | $ | 10.28 | $ | 10.66 | $ | 10.21 | $ | 9.89 | $ | 9.59 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment (loss) (2) | (0.07 | ) | (0.14 | ) | (0.18 | ) | (0.19 | ) | (0.15 | ) | (0.17 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 0.45 | 0.69 | 0.72 | 0.81 | 0.46 | 0.48 | ||||||||||||||||||
Total from investment operations | 0.38 | 0.55 | 0.54 | 0.62 | 0.31 | 0.31 | ||||||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.65 | ) | — | (0.23 | ) | (0.17 | ) | — | (0.01 | ) | ||||||||||||||
Distributions from realized gains | — | (0.26 | ) | (0.69 | ) | — | — | — | ||||||||||||||||
Total dividends and distributions | (0.65 | ) | (0.26 | ) | (0.92 | ) | (0.17 | ) | — | (0.01 | ) | |||||||||||||
Redemption Fees | — | — | — | — | 0.01 | — | ** | |||||||||||||||||
Net Asset Value, End of Year/Period | $ | 10.30 | $ | 10.57 | $ | 10.28 | $ | 10.66 | $ | 10.21 | $ | 9.89 | ||||||||||||
Total Return * | 3.73 | %+ | 5.47 | % + | 5.51 | % + | 6.11 | % | 3.24 | % | 3.20 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 1,164 | $ | 1,781 | $ | 524 | $ | 322 | $ | 307 | $ | 418 | ||||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (4,6) | 2.80 | % (7) | 2.81 | % | 2.96 | % | 3.45 | % | 3.94 | % | 3.30 | % | ||||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (5,6) | 2.80 | % (7) | 2.94 | % | 2.96 | % | 3.51 | % | 3.42 | % | 3.34 | % | ||||||||||||
Ratio of net investment loss (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets (5) | (1.29 | )% (7) | (1.36 | )% | (1.74 | )% | (1.83 | )% | (1.52 | )% | (1.72 | )% | ||||||||||||
Portfolio Turnover Rate | 16 | % (8) | 173 | % | 245 | % | 84 | % | 11 | % | 7 | % |
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(2) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Multi Strategy Alternative Income Portfolio: |
4.15 | % (7) | 4.52 | % | 4.53 | % | 4.23 | % | 4.03 | % | 4.01 | % |
(3) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Multi Strategy Alternative Income Portfolio: |
2.99 | % (7) | 2.99 | % | 3.17 | % | 3.50 | % | 3.50 | % | 3.50 | % |
(4) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Managed Risk Domestic Equity Portfolio: |
2.80 | % (7) | 2.79 | % | 2.93 | % | 3.14 | % | 3.72 | % | 3.24 | % |
(5) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Managed Risk Domestic Equity Portfolio: |
2.80 | % (7) | 2.92 | % | 2.93 | % | 3.20 | % | 3.20 | % | 3.20 | % |
(6) | Does not include the expenses of exchange traded funds in which the Fund invests. |
(7) | Actual dollar amount |
(8) | Not annualized |
+ | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
* | Assumes reinvestment of all dividends and distributions 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. |
75
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
James Alpha Managed Risk Emerging Markets Equity Portfolio - Class C Shares | ||||||||||||||||||||||||
Six Months Ended | ||||||||||||||||||||||||
February 28, | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
2021 | August 31, | August 31, | August 31, | August 31, | August 31, | |||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 8.08 | $ | 8.16 | $ | 9.35 | $ | 10.06 | $ | 9.46 | $ | 9.41 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment (loss) (1) | (0.08 | ) | 0.02 | (0.10 | ) | (0.14 | ) | (0.20 | ) | (0.11 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 0.40 | (0.10 | ) | 0.01 | 0.08 | 0.80 | 0.27 | |||||||||||||||||
Total from investment operations | 0.32 | (0.08 | ) | (0.09 | ) | (0.06 | ) | 0.60 | 0.16 | |||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.78 | ) | — | — | (0.65 | ) | — | (0.05 | ) | |||||||||||||||
Distributions from realized gains | — | — | (1.10 | ) | — | — | (0.06 | ) | ||||||||||||||||
Total dividends and distributions | (0.78 | ) | — | (1.10 | ) | (0.65 | ) | — | (0.11 | ) | ||||||||||||||
Redemption Fees | — | — | — | — | — | — | ** | |||||||||||||||||
Net Asset Value, End of Year/Period | $ | 7.62 | $ | 8.08 | $ | 8.16 | $ | 9.35 | $ | 10.06 | $ | 9.46 | ||||||||||||
Total Return * | 4.13 | % | (0.98 | )% + | (0.94 | )% + | (0.69 | )% | 6.34 | % | 1.69 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 19 | $ | 19 | $ | 78 | $ | 116 | $ | 132 | $ | 114 | ||||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2,6) | 3.96 | % (7) | 3.82 | % | 3.77 | % | 3.40 | % | 3.50 | % | 3.25 | % | ||||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3,6) | 3.00 | % (7) | 3.11 | % | 3.21 | % | 3.39 | % | 3.45 | % | 3.24 | % | ||||||||||||
Ratio of net investment loss (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets (6) | (1.98 | )% (7) | 0.27 | % | (1.12 | )% | (1.48 | )% | (2.13 | )% | (1.22 | )% | ||||||||||||
Portfolio Turnover Rate | 21 | % (8) | 519 | % | 694 | % | 335 | % | 152 | % | 15 | % | ||||||||||||
James Alpha Hedged High Income Portfolio - Class C Shares | ||||||||||||||||||||||||
Six Months Ended | For the Fiscal | |||||||||||||||||||||||
February 28, | Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||||||||
2021 | August 31, | August 31, | August 31, | August 31, | August 31, | |||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 8.75 | $ | 9.04 | $ | 9.26 | $ | 9.45 | $ | 9.10 | $ | 9.16 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (1) | 0.08 | 0.24 | 0.27 | 0.30 | 0.38 | 0.29 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.53 | (0.22 | ) | (0.18 | ) | (0.17 | ) | 0.32 | (0.06 | ) | ||||||||||||||
Total from investment operations | 0.61 | 0.02 | 0.09 | 0.13 | 0.70 | 0.23 | ||||||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.19 | ) | (0.27 | ) | (0.26 | ) | (0.29 | ) | (0.35 | ) | (0.29 | ) | ||||||||||||
Distributions from return of capital | — | (0.04 | ) | (0.05 | ) | (0.03 | ) | — | — | |||||||||||||||
Total dividends and distributions | (0.19 | ) | (0.31 | ) | (0.31 | ) | (0.32 | ) | (0.35 | ) | (0.29 | ) | ||||||||||||
Redemption Fees | — | — | — | — | — | — | ||||||||||||||||||
Net Asset Value, End of Year/Period | $ | 9.17 | $ | 8.75 | $ | 9.04 | $ | 9.26 | $ | 9.45 | $ | 9.10 | ||||||||||||
Total Return* | 6.75 | % | 0.29 | % | 0.96 | % | 1.34 | % | 7.76 | % | 2.61 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 478 | $ | 556 | $ | 948 | $ | 824 | $ | 717 | $ | 577 | ||||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (4,6) | 3.78 | % (7) | 3.86 | % | 3.82 | % | 3.46 | % | 3.75 | % | 4.40 | % (7) | ||||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (5,6) | 3.41 | % (7) | 3.25 | % | 3.28 | % | 3.10 | % | 2.99 | % | 2.99 | % (7) | ||||||||||||
Ratio of net investment loss (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets (6) | 2.85 | % (7) | 2.74 | % | 2.90 | % | 3.32 | % | 4.06 | % | 3.89 | % (7) | ||||||||||||
Portfolio Turnover Rate | 127 | % (8) | 277 | % | 195 | % | 171 | % | 106 | % | 66 | % (8) |
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Period. |
(2) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Managed Risk Emerging Markets Equity Portfolio: |
3.96 | % (7) | 3.70 | % | 3.63 | % | 3.20 | % | 3.25 | % | 3.02 | % |
(3) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Managed Risk Emerging Markets Equity Portfolio: |
3.00 | % (7) | 2.99 | % | 3.08 | % | 3.20 | % | 3.20 | % | 3.01 | % |
(4) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Hedged High Income Portfolio: |
3.36 | % (7) | 3.60 | % | 3.53 | % | 3.35 | % | 3.75 | % | 4.40 | % (7) |
(5) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Hedged High Income Portfolio: |
2.99 | % (7) | 2.99 | % | 2.99 | % | 2.99 | % | 2.99 | % | 2.99 | % (7) |
(6) | Does not include the expenses of exchange traded funds in which the Fund invests. |
(7) | Annualized for periods less than one year. |
(8) | Not annualized |
+ | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
* | Assumes reinvestment of all dividends and distributions 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. |
76
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
James Alpha Macro Portfolio - Class I Shares (Consolidtated) | ||||||||||||||||||||||||
Six Months Ended | ||||||||||||||||||||||||
February 28, | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
2021 | August 31, | August 31, | August 31, | August 31, | August 31, | |||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 8.74 | $ | 9.95 | $ | 9.15 | $ | 9.16 | $ | 9.34 | $ | 10.24 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) (1) | 0.13 | 0.13 | 0.09 | 0.10 | 0.03 | (0.08 | ) | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.73 | (0.57 | ) | 0.71 | (0.11 | ) | (0.21 | ) | (0.59 | ) | ||||||||||||||
Total from investment operations | 0.86 | (0.44 | ) | 0.80 | (0.01 | ) | (0.18 | ) | (0.67 | ) | ||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | — | (0.77 | ) | — | — | — | (0.23 | ) | ||||||||||||||||
Distributions from return of capital | — | (0.00 | ) ** | — | — | — | — | |||||||||||||||||
Total dividends and distributions | — | (0.77 | ) | — | — | — | (0.23 | ) | ||||||||||||||||
Redemption Fees | — | — | — | ** | — | — | ** | — | ** | |||||||||||||||
Net Asset Value, End of Year/Period | $ | 9.60 | $ | 8.74 | $ | 9.95 | $ | 9.15 | $ | 9.16 | $ | 9.34 | ||||||||||||
Total Return* | 9.84 | % | (4.58 | )% | 8.74 | % | (0.11 | )% | (1.93 | )% | (6.71 | )% | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 5,303 | $ | 6,020 | $ | 7,187 | $ | 6,849 | $ | 8,448 | $ | 11,581 | ||||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2,6) | 2.57 | % (7) | 2.57 | % | 2.46 | % | 2.36 | % | 2.36 | % | 1.87 | % | ||||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3,6) | 1.57 | % (7) | 1.45 | % | 1.28 | % | 1.30 | % | 1.25 | % | 1.25 | % | ||||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | 2.92 | % (7) | 1.50 | % | 1.00 | % | 1.03 | % | 0.36 | % | (0.81 | )% | ||||||||||||
Portfolio Turnover Rate | 38 | % (8) | 125 | % | 133 | % | 103 | % | 83 | % | 241 | % | ||||||||||||
James Alpha Global Real Estate Investments Portfolio - Class I Shares | ||||||||||||||||||||||||
Six Months Ended | ||||||||||||||||||||||||
February 28, | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
2021 | August 31, | August 31, | August 31, | August 31, | August 31, | |||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 16.19 | $ | 18.42 | $ | 19.29 | $ | 19.46 | $ | 19.42 | $ | 19.10 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (1) | 0.10 | 0.28 | 0.17 | 0.41 | 0.34 | 0.48 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 2.91 | (0.54 | ) | 0.66 | 1.27 | 1.58 | 1.76 | |||||||||||||||||
Total from investment operations | 3.01 | (0.26 | ) | 0.83 | 1.68 | 1.92 | 2.24 | |||||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.13 | ) | (0.32 | ) | (0.68 | ) | (0.74 | ) | (0.33 | ) | (0.73 | ) | ||||||||||||
Distributions from realized gains | (0.77 | ) | (1.65 | ) | (1.02 | ) | (1.11 | ) | (1.55 | ) | (1.19 | ) | ||||||||||||
Total dividends and distributions | (0.90 | ) | (1.97 | ) | (1.70 | ) | (1.85 | ) | (1.88 | ) | (1.92 | ) | ||||||||||||
Redemption Fees | — | — | — | — | — | ** | — | ** | ||||||||||||||||
Net Asset Value, End of Year/Period | $ | 18.30 | $ | 16.19 | $ | 18.42 | $ | 19.29 | $ | 19.46 | $ | 19.42 | ||||||||||||
Total Return* | 19.23 | % | (1.51 | )% | 5.06 | % | 9.22 | % | 10.82 | % | 12.50 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 585,299 | $ | 544,432 | $ | 643,866 | $ | 591,437 | $ | 314,904 | $ | 273,275 | ||||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (4) | 1.42 | % (7) | 1.35 | % | 1.33 | % | 1.37 | % | 1.68 | % | 1.76 | % | ||||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (5) | 1.19 | % (7) | 1.19 | % | 1.19 | % | 1.19 | % | 1.43 | % | 1.49 | % | ||||||||||||
Ratio of net investment income after expense reimbursement/recoupment to average net assets | 1.17 | % (7) | 1.68 | % | 0.93 | % | 2.13 | % | 1.79 | % | 2.51 | % | ||||||||||||
Portfolio Turnover Rate | 47 | % (8) | 187 | % | 172 | % | 204 | % | 141 | % | 149 | % |
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(2) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Macro Portfolio: |
2.49 | % (7) | 2.53 | % | 2.43 | % | 2.31 | % | 2.36 | % | 1.87 | % |
(3) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Macro Portfolio: |
1.49 | % (7) | 1.41 | % | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % |
(4) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Global Real Estate Portfolio: |
1.42 | % (7) | 1.35 | % | 1.33 | % | 1.37 | % | 1.68 | % | 1.76 | % |
(5) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Global Real Estate Portfolio: |
1.19 | % (7) | 1.19 | % | 1.19 | % | 1.19 | % | 1.43 | % | 1.49 | % |
(6) | Does not include the expenses of exchange traded funds in which the Fund invests. |
(7) | Annualized for periods less than one year. |
(8) | Not annualized |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
77
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
James Alpha Multi Strategy Alternative Income Portfolio - Class I Shares | ||||||||||||||||||||||||
Six Months Ended | ||||||||||||||||||||||||
February 28, | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
2021 | August 31, | August 31, | August 31, | August 31, | August 31, | |||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 9.41 | $ | 9.10 | $ | 9.62 | $ | 8.88 | $ | 9.09 | $ | 9.44 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (1) | 0.01 | 0.03 | 0.05 | 0.01 | — | 0.06 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.84 | 0.57 | (0.22 | ) | 1.10 | 0.16 | (0.27 | ) | ||||||||||||||||
Total from investment operations | 0.85 | 0.60 | (0.17 | ) | 1.11 | 0.16 | (0.21 | ) | ||||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.07 | ) | (0.29 | ) | (0.19 | ) | — | — | ** | (0.01 | ) | |||||||||||||
Distributions from realized gains | (0.68 | ) | — | — | — | (0.20 | ) | (0.08 | ) | |||||||||||||||
Distributions from return of capital | — | — | (0.16 | ) | (0.37 | ) | (0.17 | ) | (0.05 | ) | ||||||||||||||
Total dividends and distributions | (0.75 | ) | (0.29 | ) | (0.35 | ) | (0.37 | ) | (0.37 | ) | (0.14 | ) | ||||||||||||
Redemption Fees | — | — | — | — | — | — | ||||||||||||||||||
Net Asset Value, End of Year/Period | $ | 9.51 | $ | 9.41 | $ | 9.10 | $ | 9.62 | $ | 8.88 | $ | 9.09 | ||||||||||||
Total Return * | 9.25 | % | 6.90 | % | (1.66 | )% | 12.88 | % | 1.75 | % | (2.10 | )% | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 13,567 | $ | 12,625 | $ | 11,815 | $ | 12,034 | $ | 13,380 | $ | 14,886 | ||||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2,6) | 4.34 | % (7) | 4.50 | % | 4.53 | % | 4.11 | % | 3.78 | % | 3.47 | % | ||||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3,6) | 3.18 | % (7) | 2.97 | % | 3.14 | % | 3.38 | % | 3.26 | % | 2.96 | % | ||||||||||||
Ratio of net investment income (loss) (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets (6) | 0.19 | % (7) | 0.32 | % | 0.52 | % | 0.14 | % | (0.02 | )% | 0.70 | % | ||||||||||||
Portfolio Turnover Rate | 95 | % (8) | 185 | % | 414 | % | 183 | % | 118 | % | 124 | % | ||||||||||||
James Alpha Managed Risk Domestic Equity Portfolio - Class I Shares | ||||||||||||||||||||||||
Six Months Ended | ||||||||||||||||||||||||
February 28, | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
2021 | August 31, | August 31, | August 31, | August 31, | August 31, | |||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.96 | $ | 10.53 | $ | 10.90 | $ | 10.41 | $ | 9.98 | $ | 9.58 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment loss (2) | (0.01 | ) | (0.03 | ) | (0.10 | ) | (0.06 | ) | (0.04 | ) | (0.01 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 0.46 | 0.72 | 0.76 | 0.82 | 0.47 | 0.45 | ||||||||||||||||||
Total from investment operations | 0.45 | 0.69 | 0.66 | 0.76 | 0.43 | 0.44 | ||||||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.76 | ) | — | (0.34 | ) | (0.27 | ) | (0.01 | ) | (0.04 | ) | |||||||||||||
Distributions from realized gains | — | (0.26 | ) | (0.69 | ) | — | — | — | ||||||||||||||||
Total dividends and distributions | (0.76 | ) | (0.26 | ) | (1.03 | ) | (0.27 | ) | (0.01 | ) | (0.04 | ) | ||||||||||||
Redemption Fees | — | — | — | — | 0.01 | — | ** | |||||||||||||||||
Net Asset Value, End of Year/Period | $ | 10.65 | $ | 10.96 | $ | 10.53 | $ | 10.90 | $ | 10.41 | $ | 9.98 | ||||||||||||
Total Return * | 4.26 | %+ | 6.69 | % | 6.68 | % | 7.40 | % | 4.42 | % | 4.58 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 31,342 | $ | 41,145 | $ | 19,673 | $ | 3,742 | $ | 4,705 | $ | 5,471 | ||||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (4,6) | 1.79 | % (7) | 1.82 | % | 1.99 | % | 2.25 | % | 2.96 | % | 2.35 | % | ||||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (5,6) | 1.79 | % (7) | 1.81 | % | 1.86 | % | 2.30 | % | 2.21 | % | 2.07 | % | ||||||||||||
Ratio of net investment loss (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets (6) | (0.23 | )% (7) | (0.29 | )% | (0.93 | )% | (0.61 | )% | (0.37 | )% | (0.15 | )% | ||||||||||||
Portfolio Turnover Rate | 16 | % (8) | 173 | % | 245 | % | 84 | % | 11 | % | 7 | % |
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(2) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Multi Strategy Alternative Income Portfolio: |
3.15 | % (7) | 3.52 | % | 3.55 | % | 3.23 | % | 3.02 | % | 3.02 | % |
(3) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Multi Strategy Alternative Income Portfolio: |
1.99 | % (7) | 1.99 | % | 2.16 | % | 2.50 | % | 2.50 | % | 2.50 | % |
(4) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Managed Risk Domestic Equity Portfolio: |
1.79 | % (7) | 1.79 | % | 1.95 | % | 1.93 | % | 2.74 | % | 2.27 | % |
(5) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Managed Risk Domestic Equity Portfolio: |
1.79 | % (7) | 1.79 | % | 1.82 | % | 1.99 | % | 1.99 | % | 1.99 | % |
(6) | Does not include the expenses of exchange traded funds in which the Fund invests. |
(7) | Annualized for periods less than one year. |
(8) | Not annualized |
+ | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
78
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
James Alpha Managed Risk Emerging Markets Equity Portfolio - Class I Shares | ||||||||||||||||||||||||
Six Months Ended | ||||||||||||||||||||||||
February 28, | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
2021 | August 31, | August 31, | August 31, | August 31, | August 31, | |||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 8.44 | $ | 8.43 | $ | 9.56 | $ | 10.24 | $ | 9.53 | $ | 9.41 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) (1) | (0.03 | ) | 0.09 | 0.04 | (0.01 | ) | (0.09 | ) | 0.01 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.41 | (0.08 | ) | (0.03 | ) | 0.08 | 0.82 | 0.25 | ||||||||||||||||
Total from investment operations | 0.38 | 0.01 | 0.01 | 0.07 | 0.73 | 0.26 | ||||||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.90 | ) | — | (0.04 | ) | (0.75 | ) | (0.02 | ) | (0.08 | ) | |||||||||||||
Distributions from realized gains | — | — | (1.10 | ) | — | — | (0.06 | ) | ||||||||||||||||
Total dividends and distributions | (0.90 | ) | — | (1.14 | ) | (0.75 | ) | (0.02 | ) | (0.14 | ) | |||||||||||||
Redemption Fees | — | — | — | — | — | — | ** | |||||||||||||||||
Net Asset Value, End of Year/Period | $ | 7.92 | $ | 8.44 | $ | 8.43 | $ | 9.56 | $ | 10.24 | $ | 9.53 | ||||||||||||
Total Return * | 4.71 | % | 0.12 | % (7) | 0.23 | % (7) | 0.61 | % | 7.65 | % | 2.78 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 2,196 | $ | 2,664 | $ | 4,066 | $ | 5,432 | $ | 8,694 | $ | 8,103 | ||||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2,6) | 2.96 | % (8) | 2.93 | % | 2.72 | % | 2.38 | % | 2.50 | % | 2.36 | % | ||||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3,6) | 1.79 | % (8) | 1.92 | % | 2.01 | % | 2.14 | % | 2.24 | % | 2.13 | % | ||||||||||||
Ratio of net investment income (loss) (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets (6) | (0.78 | )% (8) | 1.04 | % | 0.44 | % | (0.05 | )% | (0.96 | )% | 0.03 | % | ||||||||||||
Portfolio Turnover Rate | 21 | % (9) | 519 | % | 694 | % | 335 | % | 152 | % | 15 | % | ||||||||||||
James Alpha Hedged High Income Portfolio - Class I Shares | ||||||||||||||||||||||||
Six Months Ended | For the Fiscal | |||||||||||||||||||||||
February 28, | Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||||||||
2021 | August 31, | August 31, | August 31, | August 31, | August 31, | |||||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 8.79 | $ | 9.07 | $ | 9.27 | $ | 9.46 | $ | 9.10 | $ | 9.16 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (1) | 0.11 | 0.35 | 0.37 | 0.40 | 0.47 | 0.36 | ||||||||||||||||||
Net realized and unrealized (loss) | 0.55 | (0.23 | ) | (0.18 | ) | (0.18 | ) | 0.32 | (0.06 | ) | ||||||||||||||
Total from investment operations | 0.66 | 0.12 | 0.19 | 0.22 | 0.79 | 0.30 | ||||||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.24 | ) | (0.35 | ) | (0.33 | ) | (0.37 | ) | (0.43 | ) | (0.36 | ) | ||||||||||||
Distributions from return of capital | — | (0.05 | ) | (0.06 | ) | (0.04 | ) | — | — | |||||||||||||||
Total dividends and distributions | (0.24 | ) | (0.40 | ) | (0.39 | ) | (0.41 | ) | (0.43 | ) | (0.36 | ) | ||||||||||||
Redemption Fees | — | — | — | — | — | — | ||||||||||||||||||
Net Asset Value, End of Year/Period | $ | 9.21 | $ | 8.79 | $ | 9.07 | $ | 9.27 | $ | 9.46 | $ | 9.10 | ||||||||||||
Total Return* | 7.26 | % | 1.45 | % | 2.36 | % (7) | 2.36 | % (7) | 8.86 | % (7) | 3.49 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 9,509 | $ | 13,601 | $ | 24,647 | $ | 24,647 | $ | 16,820 | $ | 13,261 | ||||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (4,6) | 2.78 | % (8) | 2.86 | % | 2.45 | % | 2.45 | % | 2.70 | % | 3.38 | % (8) | ||||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (5,6) | 2.26 | % (8) | 2.11 | % | 2.04 | % | 2.04 | % | 1.99 | % | 1.99 | % (8) | ||||||||||||
Ratio of net investment income (loss) (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets (6) | 4.03 | % (8) | 3.93 | % | 4.37 | % | 4.37 | % | 5.07 | % | 4.95 | % (8) | ||||||||||||
Portfolio Turnover Rate | 127 | % (9) | 277 | % | 171 | % | 171 | % | 106 | % | 66 | % (9) |
(1) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(2) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Managed Risk Emerging Markets Equity Portfolio: |
2.96 | % (8) | 2.80 | % | 2.59 | % | 2.23 | % | 2.25 | % | 2.21 | % |
(3) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Managed Risk Emerging Markets Equity Portfolio: |
1.79 | % (8) | 1.79 | % | 1.87 | % | 1.99 | % | 1.99 | % | 1.98 | % |
(4) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Hedged High Income Portfolio: |
2.37 | % (8) | 2.60 | % | 1.95 | % | 1.93 | % | 2.74 | % | 2.27 | % (8) |
(5) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Hedged High Income Portfolio: |
1.85 | % (8) | 1.85 | % | 1.82 | % | 1.99 | % | 1.99 | % | 1.99 | % (8) |
(6) | Does not include the expenses of exchange traded funds in which the Fund invests. |
(7) | 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. |
(8) | Annualized for periods less than one year. |
(9) | Not annualized |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
79
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
James Alpha Macro Portfolio - Class S Shares (Consolidated) | ||||||||||||||||||||
For the Period | ||||||||||||||||||||
Six Months Ended | August 17, | |||||||||||||||||||
February 28, | Year Ended | Year Ended | Year Ended | 2017 (1) to | ||||||||||||||||
2021 | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 8.80 | $ | 9.97 | $ | 9.16 | $ | 9.17 | $ | 9.05 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (2) | 0.15 | 0.18 | 0.10 | 0.13 | 0.00 | ** | ||||||||||||||
Net realized and unrealized gain (loss) | 0.74 | (0.58 | ) | 0.71 | (0.14 | ) | 0.12 | |||||||||||||
Total from investment operations | 0.89 | (0.40 | ) | 0.81 | (0.01 | ) | 0.12 | |||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | — | (0.77 | ) | — | — | — | ||||||||||||||
Distributions from return of capital | — | (0.00 | ) ** | — | — | — | ||||||||||||||
Total dividends and distributions | — | (0.77 | ) | — | — | — | ||||||||||||||
Redemption Fees | — | — | — | ** | — | ** | — | ** | ||||||||||||
Net Asset Value, End of Year/Period | $ | 9.69 | $ | 8.80 | $ | 9.97 | $ | 9.16 | $ | 9.17 | ||||||||||
Total Return* | 10.11 | % | (4.15 | )% | 8.84 | % | (0.11 | )% | 1.33 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 3,121 | $ | 2,885 | $ | 3,550 | $ | 4,636 | $ | 109 | ||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2,7) | 2.57 | % (8) | 2.57 | % | 2.41 | % | 2.39 | % | 2.36 | % (8) | ||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3,7) | 1.02 | % (8) | 0.98 | % | 1.20 | % | 1.30 | % | 1.25 | % (8) | ||||||||||
Ratio of net investment income after expense reimbursement/recoupment to average net assets (7) | 3.37 | % (8) | 1.97 | % | 1.08 | % | 1.39 | % | 0.36 | % (8) | ||||||||||
Portfolio Turnover Rate | 38 | % (9) | 125 | % | 133 | % | 103 | % | 83 | % (9) | ||||||||||
James Alpha Global Real Estate Investments Portfolio - Class S Shares | ||||||||||||||||||||
For the Period | ||||||||||||||||||||
Six Months Ended | August 17, | |||||||||||||||||||
February 28, | Year Ended | Year Ended | Year Ended | 2017 (1) to | ||||||||||||||||
2021 | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 16.35 | $ | 18.55 | $ | 19.35 | $ | 19.46 | $ | 19.30 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (2) | 0.12 | 0.31 | 0.22 | 0.42 | (0.36 | ) | ||||||||||||||
Net realized and unrealized gain | 2.94 | (0.54 | ) | 0.69 | 1.32 | 0.52 | ||||||||||||||
Total from investment operations | 3.06 | (0.23 | ) | 0.91 | 1.74 | 0.16 | ||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.13 | ) | (0.32 | ) | (0.69 | ) | (0.74 | ) | — | |||||||||||
Distributions from realized gains | (0.77 | ) | (1.65 | ) | (1.02 | ) | (1.11 | ) | — | |||||||||||
Total dividends and distributions | (0.90 | ) | (1.97 | ) | (1.71 | ) | (1.85 | ) | — | |||||||||||
Redemption Fees | — | — | — | — | ** | — | ** | |||||||||||||
Net Asset Value, End of Year/Period | $ | 18.51 | $ | 16.35 | $ | 18.55 | $ | 19.35 | $ | 19.46 | ||||||||||
Total Return* | 19.35 | % | (1.32 | )% | 5.44 | % | 9.54 | % | 0.83 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 34,338 | $ | 31,355 | $ | 12,238 | $ | 21,284 | $ | 285 | ||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (4) | 1.42 | % (8) | 1.36 | % | 1.33 | % | 1.37 | % | 1.68 | % (8) | ||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (5) | 0.99 | % (8) | 1.00 | % | 0.88 | % | 0.90 | % | 1.19 | % (8) | ||||||||||
Ratio of net investment income after expense reimbursement/recoupment to average net assets | 1.37 | % (8) | 1.86 | % | 1.20 | % | 2.23 | % | 1.79 | % (8) | ||||||||||
Portfolio Turnover Rate | 47 | % (9) | 187 | % | 172 | % | 204 | % | 141 | % (9) |
(1) | Commencement of offering. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(3) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Macro Portfolio: |
2.49 | % (8) | 2.53 | % | 2.38 | % | 2.30 | % | 2.36 | % (8) |
(4) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Macro Portfolio: |
0.94 | % (8) | 0.94 | % | 1.17 | % | 1.20 | % | 1.25 | % (8) |
(5) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Global Real Estate Portfolio: |
1.42 | % (8) | 1.36 | % | 1.33 | % | 1.37 | % | 1.68 | % (8) |
(6) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Global Real Estate Portfolio: |
0.99 | % (8) | 1.00 | % | 0.88 | % | 0.90 | % | 1.19 | % (8) |
(7) | Does not include the expenses of exchange traded funds in which the Fund invests. |
(8) | Annualized for periods less than one year. |
(9) | Not annualized |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. |
** | Per share amount represents less than $0.01 per share. |
80
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
James Alpha Multi Strategy Alternative Income Portfolio - Class S Shares | ||||||||||||||||||||
For the Period | ||||||||||||||||||||
Six Months Ended | August 17, | |||||||||||||||||||
February 28, | Year Ended | Year Ended | Year Ended | 2017 (1) to | ||||||||||||||||
2021 | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 9.54 | $ | 9.17 | $ | 9.67 | $ | 8.87 | $ | 8.73 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (2) | 0.03 | 0.07 | 0.07 | 0.06 | (0.01 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 0.86 | 0.59 | (0.22 | ) | 1.11 | 0.15 | ||||||||||||||
Total from investment operations | 0.89 | 0.66 | (0.15 | ) | 1.17 | 0.14 | ||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.07 | ) | (0.29 | ) | (0.19 | ) | — | — | ||||||||||||
Distributions from realized gains | (0.68 | ) | — | — | — | — | ||||||||||||||
Distributions from return of capital | — | — | (0.16 | ) | (0.37 | ) | — | |||||||||||||
Total dividends and distributions | (0.75 | ) | (0.29 | ) | (0.35 | ) | (0.37 | ) | — | |||||||||||
Net Asset Value, End of Year/Period | $ | 9.68 | $ | 9.54 | $ | 9.17 | $ | 9.67 | $ | 8.87 | ||||||||||
Total Return * | 9.55 | % | 7.51 | % | (1.44 | )% | 13.59 | % | 1.60 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 384 | $ | 734 | $ | 1,511 | $ | 3,206 | $ | 89 | ||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (3,7) | 4.34 | % (8) | 4.50 | % | 4.45 | % | 4.34 | % | 3.78 | % (8) | ||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (4,7) | 2.68 | % (8) | 2.47 | % | 2.87 | % | 3.08 | % | 3.26 | % (8) | ||||||||||
Ratio of net investment income (loss) (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets (7) | 0.60 | % (8) | 0.87 | % | 0.75 | % | 0.66 | % | (0.02 | )% (8) | ||||||||||
Portfolio Turnover Rate | 95 | % (9) | 185 | % | 414 | % | 183 | % | 118 | % (9) | ||||||||||
James Alpha Managed Risk Domestic Equity Portfolio - Class S Shares | ||||||||||||||||||||
For the Period | ||||||||||||||||||||
Six Months Ended | August 17, | |||||||||||||||||||
February 28, | Year Ended | Year Ended | Year Ended | 2017 (1) to | ||||||||||||||||
2021 | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 11.13 | $ | 10.64 | $ | 10.95 | $ | 10.38 | $ | 10.30 | ||||||||||
Income from Investment Operations: | ||||||||||||||||||||
Net investment loss (2) | 0.01 | 0.02 | — | (0.01 | ) | (0.08 | ) | |||||||||||||
Net realized and unrealized gain | 0.48 | 0.73 | 0.72 | 0.85 | 0.16 | |||||||||||||||
Total from investment operations | 0.49 | 0.75 | 0.72 | 0.84 | 0.08 | |||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.76 | ) | — | (0.34 | ) | (0.27 | ) | — | ||||||||||||
Distributions from realized gains | — | (0.26 | ) | (0.69 | ) | — | — | |||||||||||||
Total dividends and distributions | (0.76 | ) | (0.26 | ) | (1.03 | ) | (0.27 | ) | — | |||||||||||
Redemption Fees | — | — | — | — | ** | 0.00 | ** | |||||||||||||
Net Asset Value, End of Year/Period | $ | 10.86 | $ | 11.13 | $ | 10.64 | $ | 10.95 | $ | 10.38 | ||||||||||
Total Return * | 4.56 | %+ | 7.19 | % | 7.23 | % | 8.21 | % | 0.78 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 7,772 | $ | 9,702 | $ | 13,365 | $ | 21,023 | $ | 369 | ||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (5,7) | 1.79 | % (8) | 1.81 | % | 1.94 | % | 2.22 | % | 2.96 | % (8) | ||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (6,7) | 1.34 | % (8) | 1.36 | % | 1.33 | % | 1.62 | % | 2.21 | % (8) | ||||||||||
Ratio of net investment loss (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets (7) | 0.18 | % (8) | 0.16 | % | (0.03 | )% | (0.13 | )% | (0.37 | )% (8) | ||||||||||
Portfolio Turnover Rate | 16 | % (9) | 173 | % | 245 | % | 84 | % | 11 | % (9) |
(1) | Commencement of offering. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(3) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Multi Strategy Alternative Income Portfolio: |
3.15 | % (8) | 3.52 | % | 3.47 | % | 3.34 | % | 3.02 | % (8) |
(4) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Multi Strategy Alternative Income Portfolio: |
1.49 | % (8) | 1.49 | % | 1.89 | % | 2.09 | % | 2.50 | % (8) |
(5) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Managed Risk Domestic Equity Portfolio: |
1.79 | % (8) | 1.78 | % | 1.90 | % | 1.89 | % | 2.74 | % (8) |
(6) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Managed Risk Domestic Equity Portfolio: |
1.34 | % (8) | 1.34 | % | 1.30 | % | 1.29 | % | 1.99 | % (8) |
(7) | Does not include the expenses of exchange traded funds in which the Fund invests. |
(8) | Annualized for periods less than one year. |
(9) | Not annualized. |
+ | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
81
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
James Alpha Managed Risk Emerging Markets Equity Portfolio - Class S Shares | ||||||||||||||||||||
For the Period | ||||||||||||||||||||
Six Months Ended | August 17, | |||||||||||||||||||
February 28, | Year Ended | Year Ended | Year Ended | 2017 (1) to | ||||||||||||||||
2021 | August 31, | August 31, | August 31, | August 31, | ||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 8.52 | $ | 8.47 | $ | 9.58 | $ | 10.22 | $ | 10.10 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (loss) (2) | (0.01 | ) | 0.12 | 0.01 | (0.03 | ) | (0.01 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 0.42 | (0.07 | ) | 0.02 | 0.14 | 0.13 | ||||||||||||||
Total from investment operations | 0.41 | 0.05 | 0.03 | 0.11 | 0.12 | |||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.90 | ) | — | (0.04 | ) | (0.75 | ) | — | ||||||||||||
Distributions from realized gains | — | — | (1.10 | ) | — | — | ||||||||||||||
Total dividends and distributions | (0.90 | ) | — | (1.14 | ) | (0.75 | ) | — | ||||||||||||
Redemption Fees | — | — | — | — | — | ** | ||||||||||||||
Net Asset Value, End of Year/Period | $ | 8.03 | $ | 8.52 | $ | 8.47 | $ | 9.58 | $ | 10.22 | ||||||||||
Total Return * | 5.03 | % | 0.59 | % | 0.45 | % + | 1.02 | % | 1.19 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 1,305 | $ | 1,296 | $ | 1,857 | $ | 2,391 | $ | 46 | ||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (3,7) | 2.95 | % (8) | 2.94 | % | 2.78 | % | 2.48 | % | 2.50 | % (8) | ||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (4,7) | 1.34 | % (8) | 1.47 | % | 1.77 | % | 1.88 | % | 2.24 | % (8) | ||||||||||
Ratio of net investment income (loss) (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets (7) | (0.34 | )% (8) | 1.48 | % | 0.23 | % | (0.30 | )% | (0.96 | )% (8) | ||||||||||
Portfolio Turnover Rate | 21 | % (9) | 519 | % | 694 | % | 335 | % | 152 | % (9) | ||||||||||
James Alpha Hedged High Income Portfolio - Class S Shares | ||||||||||||||||||||
For the Period | ||||||||||||||||||||
Six Months Ended | August 17, | |||||||||||||||||||
February 28, | Year Ended | Year Ended | Year Ended | 2017 (1) to | ||||||||||||||||
2021 | August 31, | 2021 | August 31, | August 31, | ||||||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 8.94 | $ | 9.17 | $ | 9.33 | $ | 9.47 | $ | 9.48 | ||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||
Net investment income (2) | 0.14 | 0.39 | 0.41 | 0.46 | 0.01 | |||||||||||||||
Net realized and unrealized (loss) | 0.55 | (0.22 | ) | (0.18 | ) | (0.19 | ) | (0.02 | ) | |||||||||||
Total from investment operations | 0.69 | 0.17 | 0.23 | 0.27 | (0.01 | ) | ||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.24 | ) | (0.34 | ) | (0.33 | ) | (0.37 | ) | — | |||||||||||
Distributions from return of capital | — | (0.06 | ) | (0.06 | ) | (0.04 | ) | — | ||||||||||||
Total dividends and distributions | (0.24 | ) | (0.40 | ) | (0.39 | ) | (0.41 | ) | — | |||||||||||
Redemption Fees | — | — | — | — | — | ** | ||||||||||||||
Net Asset Value, End of Year/Period | $ | 9.39 | $ | 8.94 | $ | 9.17 | $ | 9.33 | $ | 9.47 | ||||||||||
Total Return* | 7.48 | % | 1.99 | % | 2.63 | % | 2.89 | % | (0.11 | )% | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 13,308 | $ | 15,584 | $ | 23,374 | $ | 39,016 | $ | 621 | ||||||||||
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (5,7) | 2.78 | % (8) | 2.85 | % | 2.78 | % | 2.50 | % | 2.70 | % (8) | ||||||||||
Ratio of net operating expenses (including dividend and interest expense) to average net assets (6,7) | 1.81 | % (8) | 1.64 | % | 1.68 | % | 1.51 | % | 1.99 | % (8) | ||||||||||
Ratio of net investment income (loss) (including dividend and interest expense) after expenses reimbursement/recoupment to average net assets (7) | 4.45 | % (8) | 4.34 | % | 4.48 | % | 4.74 | % | 5.07 | % (8) | ||||||||||
Portfolio Turnover Rate | 127 | % (9) | 277 | % | 195 | % | 171 | % | 106 | % (9) |
(1) | Commencement of offering. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(3) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Managed Risk Emerging Markets Equity Portfolio: |
2.95 | % (8) | 2.81 | % | 2.65 | % | 2.33 | % | 2.25 | % (8) |
(4) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Managed Risk Emerging Markets Equity Portfolio: |
1.34 | % (8) | 1.34 | % | 1.63 | % | 1.73 | % | 1.99 | % (8) |
(5) | Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Hedged High Income Portfolio: |
2.37 | % (8) | 2.60 | % | 2.49 | % | 2.35 | % | 2.70 | % (8) |
(6) | Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the James Alpha Hedged High Income Portfolio: |
1.39 | % (8) | 1.39 | % | 1.39 | % | 1.35 | % | 1.99 | % (8) |
(7) | Does not include the expenses of exchange traded funds in which the Fund invests. |
(8) | Annualized for periods less than one year. |
(9) | Not annualized |
+ | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
82
SUPPLEMENTAL INFORMATION (Unaudited) |
Shareholders of funds will pay ongoing expenses, such as advisory fees, distribution and services fees (12b-1 fees), and other fund expenses. The following examples are intended to help the shareholder understand the ongoing cost (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note, the expenses shown in the tables are meant to highlight ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges (CDSCs) on redemptions.
This example is based on an investment of $1,000 invested at the beginning of the period and held for the six-month period from September 1, 2020, through February 28, 2021.
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 - 9/1/2020 | Value - 2/28/2021 | 09/1/2020-2/28/2021* | [Annualized] | |||||
Actual Expenses: | ||||||||
James Alpha Macro - Class A | 1,000.00 | 1,097.80 | 9.05 | 1.74% | ||||
James Alpha Macro - Class C | 1,000.00 | 1,093.30 | 12.92 | 2.49% | ||||
James Alpha Macro - Class I | 1,000.00 | 1,098.40 | 7.75 | 1.49% | ||||
James Alpha Macro - Class S | 1,000.00 | 1,101.10 | 2.49 | 0.94% | ||||
James Alpha Global Real Estate Investments - Class A | 1,000.00 | 1,189.10 | 9.06 | 1.67% | ||||
James Alpha Global Real Estate Investments - Class C | 1,000.00 | 1,185.40 | 12.84 | 2.37% | ||||
James Alpha Global Real Estate Investments - Class I | 1,000.00 | 1,192.30 | 6.47 | 1.19% | ||||
James Alpha Global Real Estate Investments - Class S | 1,000.00 | 1,193.50 | 5.38 | 0.99% | ||||
James Alpha Multi Strategy Alternative Income - Class A | 1,000.00 | 1,086.20 | 11.59 | 2.24% | ||||
James Alpha Multi Strategy Alternative Income - Class C | 1,000.00 | 1,092.50 | 15.51 | 2.99% | ||||
James Alpha Multi Strategy Alternative Income - Class I | 1,000.00 | 1,090.70 | 10.32 | 1.99% | ||||
James Alpha Multi Strategy Alternative Income - Class S | 1,000.00 | 1,095.50 | 7.74 | 1.49% | ||||
James Alpha Managed Risk Domestic Equity - Class A | 1,000.00 | 1,041.40 | 10.07 | 1.99% | ||||
James Alpha Managed Risk Domestic Equity - Class C | 1,000.00 | 1,037.30 | 14.14 | 2.80% | ||||
James Alpha Managed Risk Domestic Equity - Class I | 1,000.00 | 1,042.60 | 9.07 | 1.79% | ||||
James Alpha Managed Risk Domestic Equity - Class S | 1,000.00 | 1,045.60 | 6.80 | 1.34% | ||||
James Alpha Managed Risk Emerging Markets Equity - Class A | 1,000.00 | 1,044.70 | 11.41 | 2.25% | ||||
James Alpha Managed Risk Emerging Markets Equity - Class C | 1,000.00 | 1,041.30 | 15.18 | 3.00% | ||||
James Alpha Managed Risk Emerging Markets Equity - Class I | 1,000.00 | 1,047.10 | 9.09 | 1.79% | ||||
James Alpha Managed Risk Emerging Markets Equity - Class S | 1,000.00 | 1,050.30 | 6.81 | 1.34% | ||||
James Alpha Hedged High Income - Class A | 1,000.00 | 1,069.50 | 12.30 | 2.40% | ||||
James Alpha Hedged High Income - Class C | 1,000.00 | 1,067.50 | 15.37 | 3.00% | ||||
James Alpha Hedged High Income - Class I | 1,000.00 | 1,072.60 | 9.53 | 1.86% | ||||
James Alpha Hedged High Income - Class S | 1,000.00 | 1,074.80 | 7.17 | 1.39% |
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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 - 9/1/2020 | Value - 2/28/2021 | 09/1/2020-2/28/2021* | [Annualized] | ||||
[5% Return Before Expenses] | ||||||||
James Alpha Macro - Class A | 1,000.00 | 1,016.17 | 8.70 | 1.74% | ||||
James Alpha Macro - Class C | 1,000.00 | 1,012.45 | 12.42 | 2.49% | ||||
James Alpha Macro - Class I | 1,000.00 | 1,017.41 | 7.45 | 1.49% | ||||
James Alpha Macro - Class S | 1,000.00 | 1,020.13 | 4.71 | 0.94% | ||||
James Alpha Global Real Estate Investments - Class A | 1,000.00 | 1,016.51 | 8.35 | 1.67% | ||||
James Alpha Global Real Estate Investments - Class C | 1,000.00 | 1,013.04 | 11.83 | 2.37% | ||||
James Alpha Global Real Estate Investments - Class I | 1,000.00 | 1,018.89 | 5.96 | 1.19% | ||||
James Alpha Global Real Estate Investments - Class S ** | 1,000.00 | 1,019.89 | 4.96 | 0.99% | ||||
James Alpha Multi Strategy Alternative Income - Class A | 1,000.00 | 1,013.69 | 11.18 | 2.24% | ||||
James Alpha Multi Strategy Alternative Income - Class C | 1,000.00 | 1,009.97 | 14.90 | 2.99% | ||||
James Alpha Multi Strategy Alternative Income - Class I | 1,000.00 | 1,014.93 | 9.94 | 1.99% | ||||
James Alpha Multi Strategy Alternative Income - Class S | 1,000.00 | 1,017.41 | 7.45 | 1.49% | ||||
James Alpha Managed Risk Domestic Equity - Class A | 1,000.00 | 1,014.93 | 9.94 | 1.99% | ||||
James Alpha Managed Risk Domestic Equity - Class C | 1,000.00 | 1,010.91 | 13.96 | 2.80% | ||||
James Alpha Managed Risk Domestic Equity - Class I | 1,000.00 | 1,015.92 | 8.95 | 1.79% | ||||
James Alpha Managed Risk Domestic Equity - Class S | 1,000.00 | 1,018.15 | 6.71 | 1.34% | ||||
James Alpha Managed Risk Emerging Markets Equity - Class A | 1,000.00 | 1,013.64 | 11.23 | 2.25% | ||||
James Alpha Managed Risk Emerging Markets Equity - Class C | 1,000.00 | 1,009.92 | 14.95 | 3.00% | ||||
James Alpha Managed Risk Emerging Markets Equity - Class I | 1,000.00 | 1,015.92 | 8.95 | 1.79% | ||||
James Alpha Managed Risk Emerging Markets Equity - Class S | 1,000.00 | 1,018.15 | 6.71 | 1.34% | ||||
James Alpha Hedged High Income - Class A | 1,000.00 | 1,012.91 | 11.96 | 2.40% | ||||
James Alpha Hedged High Income - Class C | 1,000.00 | 1,009.93 | 14.94 | 3.00% | ||||
James Alpha Hedged High Income - Class I | 1,000.00 | 1,015.60 | 9.27 | 1.86% | ||||
James Alpha Hedged High Income - Class S ** | 1,000.00 | 1,017.88 | 6.97 | 1.86% |
* | Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the days in reporting period). |
84
SUPPLEMENTAL INFORMATION (Unaudited) |
SHAREHOLDER MEETING
The Board of Trustees of The Saratoga Advantage Trust (the “Trust”) held a Special Meeting of the Shareholders of the James Alpha Multi Strategy Alternative Income Portfolio (the “James Alpha Target Portfolio”), a series of the Trust, on February 26, 2021, for the purpose of approving an Agreement and Plan of Reorganization, providing for (a) the transfer of the assets and liabilities of the James Alpha Target Portfolio to the corresponding James Alpha acquiring fund described in the Joint Proxy Statement/Prospectus (the “Acquiring Fund”), a newly formed series portfolio of the James Alpha Funds Trust, in exchange for shares of the Acquiring Fund; and (b) the distribution of such shares to shareholders of the James Alpha Target Portfolio and complete liquidation and termination of the James Alpha Target Portfolio.
At the close of business February 26, 2021, the record date for the Special Meeting of Shareholders, there were outstanding 1,497,410.599 shares of beneficial interest of the Fund. Accordingly, shares represented in person and by proxy at the Special Meeting equaled 92.79% of the outstanding shares of the Fund. Therefore, a quorum was present for the Fund.
With respect to approval of the proposed Agreement and Plan of Reorganization the following votes were cast:
For Approval: 1,389,366.624 shares voted
Against Approval: 37.586 shares voted
Abstained: 0.00 shares voted
SHAREHOLDER MEETING
The Board of Trustees of The Saratoga Advantage Trust (the “Trust”) held a Special Meeting of the Shareholders of the James Alpha Global Real Estate Investments Portfolio, the James Alpha Hedged High Income Portfolio, the James Alpha Macro Portfolio, the James Alpha Managed Risk Domestic Equity Portfolio and the James Alpha Managed Risk Emerging Markets Equity Portfolio (the “James Alpha Target Portfolios”), each a series of the Trust, on March 17, 2021, for the purpose of approving an Agreement and Plan of Reorganization, providing for (a) the transfer of the assets and liabilities of each of the James Alpha Target Portfolio to their corresponding James Alpha acquiring fund described in the Joint Proxy Statement/Prospectus (the “Acquiring Funds”), each a newly formed series portfolio of the James Alpha Funds Trust, in exchange for shares of the respective Acquiring Fund; and (b) the distribution of such shares to shareholders of the James Alpha Target Portfolios and complete liquidation and termination of the James Alpha Target Portfolios.
At the close of business March 17, 2021, the record date for the Special Meeting of Shareholders, there were the following outstanding shares of beneficial interest of each portfolio.
Target Portfolio | Outstanding Shares | |||
James Alpha Global Real Estate Portfolio | 44,181,153.852 | |||
James Alpha Hedged High Income Portfolio | 2,828,693.505 | |||
James Alpha Macro Portfolio | 1,024,219.082 | |||
James Alpha Managed Risk Domestic Equity Portfolio | 3,852,937.007 | |||
James Alpha Managed Risk Emerging Markets Portfolio | 436,744.407 |
Accordingly, shares represented in person and by proxy at the Special Meeting equaled the following percentage of the outstanding shares of each portfolio. Therefore, a quorum was present for the portfolios.
Target Portfolio | % of Outstanding Shares Voted | |
James Alpha Global Real Estate Portfolio | 51.61% | |
James Alpha Hedged High Income Portfolio | 52.39% | |
James Alpha Macro Portfolio | 55.99% | |
James Alpha Managed Risk Domestic Equity Portfolio | 53.59% | |
James Alpha Managed Risk Emerging Markets Portfolio | 50.10% |
With respect to approval of the proposed Agreement and Plan of Reorganization the following votes were cast:
Target Portfolio | For Approval | Against Approval | Abstained | |||||||||
James Alpha Global Real Estate Portfolio | 22,083,034.256 | 115,729.236 | 602,739.613 | |||||||||
James Alpha Hedged High Income Portfolio | 1,300,812.117 | 16,642.096 | 164,503.184 | |||||||||
James Alpha Macro Portfolio | 554,254.510 | 11,218.428 | 8,033.425 | |||||||||
James Alpha Managed Risk Domestic Equity Portfolio | 2,007,254.085 | 11,119.729 | 46,352.000 | |||||||||
James Alpha Managed Risk Emerging Markets Portfolio | 184,943.653 | 611.159 | 33,241.977 |
85
Rev July 2011
FACTS | WHAT DOES THE SARATOGA ADVANTAGE TRUST DO WITH YOUR PERSONAL INFORMATION? | ||
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. | ||
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include: | ||
● | Social Security number and wire transfer instructions | ||
● | account transactions and transaction history | ||
● | investment experience and purchase history | ||
When you are no longer our customer, we continue to share your information as described in this notice. | |||
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons The Saratoga Advantage Trust (“The Trust”) choose to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Do The Funds share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don’t share |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our affiliates to market to you | No | We don’t share |
For nonaffiliates to market to you | No | We don’t share |
Questions? | Call 1-800-807-FUND |
86
Page 2 |
Who we are | |
Who is providing this notice? | The Saratoga Advantage Trust |
What we do | |
How does The Trust protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We restrict access to nonpublic personal information about you to those employees who need to know that information to provide products or services to you. |
How does The Trust collect my personal information? | We collect your personal information, for example, when you
● open an account or deposit money
● direct us to buy securities or direct us to sell your securities
● seek information about your investments
We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only
● sharing for affiliates’ everyday business purposes—information about your creditworthiness
● affiliates from using your information to market to you
● sharing for non-affiliates to market to you
● State laws and individual companies may give you additional rights to limit sharing. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
● Our affiliates include financial companies such as Saratoga Capital Management. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
● The Trust does not share your personal information with nonaffiliates so they can market you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
● The Trust does not jointly market. |
87
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-SA21
Item 2. Code of Ethics. Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert. Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services. Not applicable for semi-annual reports.
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 February 28, 2021, 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.
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 5/10/21
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 5/10/21
By (Signature and Title)
* /s/ Bruce E. Ventimiglia
Bruce E. Ventimiglia, President and Chief Executive Officer
Date 5/10/21
* Print the name and title of each signing officer under his or her signature.