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 I 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 38 |
Statements of Assets and Liabilities | Page 67 |
Statements of Operations | Page 71 |
Statements of Changes in Net Assets | Page 75 |
Notes to Financials | Page 81 |
Financial Highlights | Page 99 |
Supplemental Information | Page 108 |
Privacy Notice | Page 112 |
TRUSTEES AND OFFICERS
Bruce E. Ventimiglia | Trustee, Chairman, President & CEO |
Patrick H. McCollough | Trustee |
Udo W. Koopmann | Trustee |
Floyd E. Seal | Trustee |
Stephen H. Hamrick | Trustee |
Stephen Ventimiglia | Vice President & Secretary |
Jonathan W. Ventimiglia | Vice President, Assistant Secretary, Treasurer & Chief Financial Officer |
Emile 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 |
LARGE CAPITALIZATION VALUE PORTFOLIO
Advised by: M.D. Sass Investor Services, Inc., New York, New York
Objective: The Portfolio seeks total return consisting of capital appreciation and dividend income.
Total Aggregate Return for the Period Ended February 28, 2021 | |||
Class I | |||
Inception: | 9/1/94 — 2/28/21* | 6.86% | |
Ten Year: | 3/1/11 — 2/28/21* | 9.33% | |
Five Year: | 3/1/16 — 2/28/21* | 12.32% | |
One Year: | 3/1/20 — 2/28/21 | 33.80% | |
Six Months: | 9/1/20 – 2/28/21 | 27.33% |
* | 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 1.18%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
In determining which securities to buy, hold or sell, the Portfolio’s Adviser focuses its investment selection on finding high quality companies with compelling valuations, measurable catalysts to unlock value and above-average long-term earnings growth potential. In general, the Adviser looks for companies that have value-added product lines to help preserve pricing power, a strong history of free cash flow generation, strong balance sheets, competent management with no record of misleading shareholders, and financially sound customers. Independent research is used to produce estimates for future earnings, which are inputs into the Adviser’s proprietary valuation model. The Adviser focuses its investments where it has a differentiated view and there exists, in its view, significant price appreciation potential to its estimate of the stocks’ intrinsic value.
PORTFOLIO ADVISER COMMENTARY
The stock market has rallied to new highs and economic recovery from the pandemic has been strong. We believe the 2021 outlook has improved with Biden’s $1.9tn stimulus package, post COVID-19 vaccination reopening, very accommodative monetary policy and pent-up savings and demand. The rotation from stay-at-home Technology growth stocks to lower multiple value stocks during the time-period aided in the returns of the portfolio. We continue to seek out “special situations” and undervalued equities of companies with attractive earnings prospects.
During the period, one “special situation,” Bausch Health (3.28%), was the portfolio’s top performing stock. The stock nearly doubled as the business recovered from the impacts from COVID-19 and the stock benefitted from the announcement that they will be spinning out their Bausch + Lomb eye health business to illuminate this “undervalued crown jewel”. We believe the company will continue to benefit in 2021 from the backlog of eye surgeries and a return to more routine doctor visits in their branded pharmaceutical franchise. SVB Financial (0.00%), Schwab Corp (3.44%), and East West Bancorp (4.55%) were all up over 50%, as many Financial stocks benefitted from the steepening yield curve and lower credit provisions. Technology was another strong sector, as Sony and Qorvo benefitted from increased end-market demand and better pricing within their semiconductor segments. Perrigo (3.22%) was our one material underperformer in the quarter. Mixed execution during the pandemic and declines in the cough/cold segment led to weaker than expected margins throughout the year.
We initiated positions in the following stocks that we believe have strong, long-term fundamental outlooks: Air Products & Chemicals (2.84%), Alibaba (3.35%), Duke Realty (2.43%), East West Bancorp (4.55%), Facebook (2.28%), Liberty Broadband (4.38%), Molson Coors (2.49%), and Raytheon Technologies (2.33%).
Within the discussion above, the percentages shown next to specific securities are the percentages of the Portfolio represented by the security on 2/28/21. The securities held in the Portfolio are subject to change and any discussion of those securities should not be considered investment advice.
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INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
LARGE CAPITALIZATION VALUE PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
NRG Energy, Inc. | 4.8% |
AmerisourceBergen Corporation | 4.8% |
Qorvo, Inc. | 4.7% |
Axalta Coating Systems Ltd. | 4.7% |
Crown Holdings, Inc. | 4.6% |
East West Bancorp, Inc. | 4.5% |
Sony Corporation | 4.5% |
Alphabet, Inc. | 4.5% |
LKQ Corporation | 4.5% |
Liberty Broadband Corporation | 4.4% |
* | Based on total net assets as of February 28, 2021. |
Excludes short-term investments.
Portfolio Composition*
The Morningstar Large Value Average (“Large Value Average”), as of February 28, 2021, consisted of 1,221 mutual funds comprised of large market capitalization value stocks. The Large Value Average is not managed and it is not possible to invest directly in the Large Value Average |
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 |
LARGE CAPITALIZATION GROWTH PORTFOLIO
Advised by: Smith Group Asset Management, Dallas, Texas
Objective: The Portfolio seeks capital appreciation.
Total Aggregate Return for the Period Ended February 28, 2021 | |||
Class I | |||
Inception: | 9/1/94 – 2/28/21* | 9.19% | |
Ten Year: | 3/1/11 – 2/28/21* | 15.36% | |
Five Year: | 3/1/16 – 2/28/21* | 17.96% | |
One Year: | 3/1/20 – 2/28/21 | 39.50% | |
Six Months: | 9/1/20 – 2/28/21 | 6.38% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 28, 2020, is 1.12%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio’s Adviser employs quantitative and qualitative analysis that seeks to identify high quality companies that it believes have the ability to accelerate earnings growth and exceed investor expectations. The Adviser’s selection process consists of three steps. First, the Adviser reviews a series of screens utilizing the Adviser’s investment models, which are based on fundamental characteristics, designed to eliminate companies that the Adviser’s research shows have a high probability of underperformance. Factors considered when reviewing the screens include a multi-factor valuation framework, earnings quality, capital structure and financial quality. Next, securities that pass the initial screens are then evaluated to try to identify stocks with the highest probability of producing an earnings growth rate that exceeds investor expectations. This process incorporates changes in earnings expectations and earnings quality analysis. Finally, these steps produce a list of eligible companies which are subjected to analysis by the Adviser to further understand each company’s business prospects and earnings potential. The Adviser uses the results of this analysis to construct the Portfolio’s security positions.
PORTFOLIO ADVISOR COMMENTARY
The semi-annual period saw US equity markets rise. After dramatic outperformance over the prior six-month period, US large cap growth stocks trailed the broad market, though the Saratoga Large Capitalization Growth Portfolio posted solid relative and absolute performance.
Economic momentum ended the year far better than expected following the implementation of widespread lockdowns in March. For example, forecasts by the St. Louis Fed called for a 2020 year-end unemployment rate of greater than 10% relative to the reported 6.7% rate. We believe the presence of COVID-19 will continue to have ramifications both socially and economically, yet the global outlook in the equity markets has once again returned to a crescendo, if a somewhat hesitant one. The unprecedented speed of vaccine production and scale of fiscal and monetary stimulus has given the global economy new legs to stand on. Increased digitization as well as the policies passed by an ideologically different US President will be factors to watch in 2021, providing challenge or opportunity depending on the business sector. As this past year has shown, however, when threatened, the competitive nature of the world corporate climate is nothing if not adaptable.
For the full period, holdings in the Industrials and Information Technology sectors were the primary areas of outperformance. Industrials holdings rose 32.9% for the period relative to a 4.7% for the benchmark sector. Within Industrials, the portfolio’s largest average overweight position, Generac Holdings (2.40%), a manufacturer of power generation equipment, returned 73.8%. Shares of Crowdstrike Holdings (1.70%) rose 69.7% for the period, as the cybersecurity vendor benefitted from concerns over the SolarWinds Orion (0.00%) hack and fourth-quarter sales increased 74% year-over-year. Communication Services holdings were the main detractors from performance as holdings in the sector returned 4.6% relative to 9.0% for the benchmark sector. The primary headwind in the sector was the portfolio’s underweight to Roku Inc (0.00%). The portfolio did not own shares of the streaming platform, which rose 128.0% for the period.
Within the discussion above, the percentages shown next to specific securities are the percentages of the Portfolio represented by the security on 2/28/21. The securities held in the Portfolio are subject to change and any discussion of those securities should not be considered investment advice.
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INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
LARGE CAPITALIZATION GROWTH PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Apple, Inc. | 9.3% |
Microsoft Corporation | 7.6% |
Amazon.com, Inc. | 6.0% |
PayPal Holdings, Inc. | 4.0% |
Facebook, Inc. | 3.4% |
Eli Lilly and Company | 3.0% |
Tesla, Inc. | 2.6% |
Adobe, Inc. | 2.6% |
Procter & Gamble Company (The) | 2.6% |
Alphabet, Inc. - Class C | 2.5% |
* | Based on total net assets as of February 28, 2021. |
Excludes short-term investments.
Portfolio Composition*
The Morningstar Large Growth Average (“Large Growth Average”), as of February 28, 2021, consisted of 1,330 mutual funds comprised of large market capitalization growth stocks. The Large Growth Average is not managed and it is not possible to invest directly in the Large Growth Average |
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 |
MID CAPITALIZATION PORTFOLIO
Advised by: Vaughn Nelson Investment Management, L.P., Houston, Texas
Objective: The Portfolio seeks long-term capital appreciation.
Total Aggregate Return for the Period Ended February 28, 2021 | |||
Class I | |||
Inception: | 1/7/03 – 2/28/21* | 9.48% | |
Ten Year: | 3/1/11 – 2/28/21* | 8.62% | |
Five Year: | 3/1/16 – 2/28/21* | 10.46% | |
One Year: | 3/1/20 – 2/28/21 | 25.63% | |
Six Months: | 9/1/20 – 2/28/21 | 24.22% |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 28, 2020, is 1.46%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio invests in securities of companies that are believed by the Adviser to be undervalued, thereby offering above-average potential for capital appreciation. The Portfolio may also invest in equity securities of foreign companies. The Adviser invests in medium capitalization companies with a focus on total return using a bottom-up value oriented investment process. The Adviser seeks companies with the following characteristics, although not all of the companies it selects will have these attributes: (i) companies earning a positive economic margin with stable-to-improving returns; (ii) companies valued at a discount to their asset value; and (iii) companies with an attractive dividend yield and minimal basis risk. In selecting investments, the Adviser generally employs the following strategy: (i) value-driven investment philosophy that selects stocks selling at attractive values based upon business fundamentals, economic margin analysis, discounted cash flow models and historical valuation multiples. The Adviser reviews companies that it believes are out-of-favor or misunderstood; (ii) use of value-driven screens to create a research universe of companies with market capitalizations of at least $1 billion; and (iii) use of fundamental and risk analysis to construct a portfolio of securities that the Adviser believes has an attractive return potential.
PORTFOLIO ADVISOR COMMENTARY
The recovery in financial markets continued during the period. Positive vaccine data combined with election results that indicated further stimulus is expected were part of the impetus for a strong fourth quarter rally. The equity market rally materially boosted valuation multiples, indicating a portion of the 2021 earnings recovery has already been discounted. As the economy continues to recover, additional policy support may be needed to offset the damage that occurred to key service sectors and the commercial real estate market. The last bout of loose fiscal policy was combined with tight monetary policy, which sustained US dollar strength. The next round of loose fiscal policy will likely be combined with loose monetary policy, which could meaningfully pressure the US dollar. Should such economic policy be pursued, and successfully increase nominal GDP growth, it will represent a fundamental shift in underlying economic conditions that we have not been witnessed in years. Such a shift in the economic environment will likely lead to increased market volatility and broad changes in market leadership.
For the period, the portfolio benefitted from both stock and sector selection. Stock selection within Consumer Staples, Industrials, Energy, Consumer Discretionary, and Healthcare added to relative performance. Also, our decision to overweight Financials and Materials added to relative performance as both sectors outperformed the market. The portfolio is overweight Financials, Industrials, Materials, Energy, and Utilities while underweight Consumer Staples, Communication Services, Consumer Discretionary, Health Care, Real Estate, and Information Technology.
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INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
MID CAPITALIZATION PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Avantor, Inc. | 2.8% |
Timken Company (The) | 2.7% |
Crane Company | 2.7% |
nVent Electric PLC | 2.7% |
Motorola Solutions, Inc. | 2.7% |
Oshkosh Corporation | 2.7% |
Nexstar Media Group, Inc. | 2.5% |
Otis Worldwide Corporation | 2.5% |
Raymond James Financial, Inc. | 2.4% |
TCF Financial Corporation | 2.4% |
* | Based on total net assets as of February 28, 2021 |
Excludes short-term investments.
Portfolio Composition*
The Morningstar Mid Capitalization Blend Average (“Mid Cap Blend Average”), as of February 28, 2021, consisted of 421 mutual funds comprised of mid market capitalization stocks. The Mid Cap Blend Average is not managed and it is not possible to invest directly in the Mid Cap Blend Average |
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 |
SMALL CAPITALIZATION PORTFOLIO
Advised by: Zacks Investment Management, Inc., Chicago, Illinois
Objective: The Portfolio seeks maximum capital appreciation.
Total Aggregate Return for the Period Ended February 28, 2021 | |||
Class I | |||
Inception: | 9/1/94 — 2/28/21* | 9.20% | |
Ten Year: | 3/1/11 – 2/28/21* | 8.98% | |
Five Year: | 3/1/16 – 2/28/21* | 15.70% | |
One Year: | 3/1/20 – 2/28/21 | 49.86% | |
Six Months: | 9/1/20 – 2/28/21 | 37.48% |
* | 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 1.69%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
In selecting securities for the Portfolio, the Adviser begins with a screening process that seeks to identify growing companies whose stocks sell at discounted price-to-earnings and price-to-cash flow multiples. The Adviser also attempts to discern situations where intrinsic asset values are not widely recognized. The Adviser favors such higher-quality companies that generate strong cash flow, provide above-average free cash flow yields and maintain sound balance sheets. Rigorous fundamental analysis, from both a quantitative and qualitative standpoint, is applied to all investment candidates. While the Adviser employs a disciplined “bottom-up” approach that attempts to identify undervalued stocks, it nonetheless is sensitive to emerging secular trends. The Adviser does not, however, rely on macroeconomic forecasts in its stock selection efforts and prefers to remain fully invested.
PORTFOLIO ADVISOR COMMENTARY
The portfolio posted strong absolute performance during the period, despite slight relative underperformance. During 4Q 2020, the small cap sector significantly outperformed the mid cap and large cap sectors. The coronavirus pandemic persisted and became more widespread across the US, affecting both rural and urban regions. Offsetting this was the community’s familiarity with the disease, and availability of better therapeutic interventions. The US was able to replace national lockdowns with local interventions without significantly affecting overall economic activity. More encouragingly, developments of effective vaccines took place and signs of a hopeful post-pandemic world emerged. In addition, Congress passed further stimulus measures and the Federal Reserve continued their aggressive monetary support. In this environment, equity markets generated strong returns with significant investor preference shifting to riskier smaller cap companies.
During the first quarter of 2021, positive vaccine distribution allowed for a slowdown in the spread of the coronavirus. This has raised economic expectations for the calendar year and specifically should help continue to stabilize the labor market. The Fed appears committed to keeping rates lower for longer moving forward. If a stronger revival of economic growth is realized, then growth-sensitive small cap stocks could produce strong gains, with small cap stocks potentially reaping the benefits of investors maintaining a high appetite for risk.
11
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
SMALL CAPITALIZATION PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Five9, Inc. | 2.9% |
CareDx, Inc. | 2.1% |
Virtus Investment Partners, Inc. | 2.1% |
Performance Food Group Company | 1.9% |
Brink’s Company (The) | 1.8% |
SPS Commerce, Inc. | 1.8% |
PennyMac Financial Services, Inc. | 1.8% |
Darling Ingredients, Inc. | 1.8% |
Acushnet Holdings Corporation | 1.7% |
TopBuild Corporation | 1.7% |
* | Based on total net assets as of February 28, 2021. |
Excludes short-term investments.
Portfolio Composition*
The Morningstar Small Blend Average (“Small Blend Average”), as of February 28, 2021, consisted of 689 mutual funds comprised of small market capitalization stocks. The Small Blend Average is not managed and it is not possible to invest directly in the Small Blend Average. |
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
12
INVESTMENT REVIEW |
INTERNATIONAL EQUITY PORTFOLIO
Advised by: Smith Group Asset Management, Dallas, Texas
Objective: The Portfolio seeks long-term capital appreciation.
Total Aggregate Return for the Period Ended February 28, 2021 | |||
Class I | |||
Inception: | 9/1/94 — 2/28/21* | 1.70% | |
Ten Year: | 3/1/11 – 2/28/21* | 0.70% | |
Five Year: | 3/1/16 – 2/28/21* | 7.07% | |
One Year: | 3/1/20 – 2/28/21 | 30.50% | |
Six Months: | 9/1/20 – 2/28/21 | 28.17% |
* | 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 1.64%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Adviser seeks to purchase reasonably valued stocks it believes have the ability to accelerate earnings growth and exceed investor expectations. The Adviser utilizes a three step process in stock selection. First, the Adviser reviews a series of screens utilizing the Adviser’s investment models, which are based on fundamental characteristics, designed to eliminate companies that the Adviser’s research shows have a high probability of underperformance. Factors considered when reviewing the screens include a multi-factor valuation framework, earnings quality, capital structure and financial quality. Next, securities that pass the initial screens are then evaluated to try to identify stocks with the highest probability of producing an earnings growth rate that exceeds investor expectations. This process incorporates changes in earnings expectations and earnings quality analysis. Finally, these steps produce a list of eligible companies which are subjected to analysis by the Adviser to further understand each company’s business prospects and earnings potential. A stock is sold when it no longer meets the Adviser’s criteria.
PORTFOLIO ADVISOR COMMENTARY
The six months ended February 28, 2021 saw non-US equity markets perform well, while emerging markets significantly outpaced developed markets. The Saratoga International Portfolio performed well on an absolute and relative basis.
Global economic momentum continues to build despite a slow COVID-19 vaccine rollout in Europe. The IHS Markit Global Manufacturing Purchasing Managers Index finished out the year at a 33-month high. Full-year 2020 GDP was negative in all countries except for China and Taiwan. However, fourth quarter output for many countries was close to breakeven on a year-over-year basis. That being said, there is still a wide dispersion around the world when it comes to pandemic impact.
Within the portfolio, stock selection was positive in every economic sector. Consumer Discretionary was the top absolute performer (+50.5%) and top contributor to excess return. Industrials and Financials holdings also had robust gains (+38.0% and +30.2%, respectively). Utilities was the worst relative sector, although portfolio holdings still outpaced the benchmark sector. Health Care had the lowest absolute return in the portfolio but still bested the benchmark sector. By region, in absolute terms, Emerging Asia was the top performer, gaining 48.7%, with South Korean holdings leading the way. Emerging Americas was the worst absolute and relative performing region. The top individual holding was Tata Motors (3.30%), which nearly doubled during the period. Tata dominates the commercial vehicle market in India with a better than 40% market share while also owning iconic brands Jaguar and Land Rover. Demand for new models is building, especially in China. Anhui Conch Cement (2.09%) was the bottom performing holding, as investors expressed uncertainty around property demand in China.
The portfolio’s largest sector allocation on a relative basis was to Health Care, for the period. From a regional standpoint, Developed Europe is the largest absolute weighting and Emerging Asia is the largest relative allocation.
Within the discussion above, the percentages shown next to specific securities are the percentages of the Portfolio represented by the security on 2/28/21. The securities held in the Portfolio are subject to change and any discussion of those securities should not be considered investment advice.
13
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
INTERNATIONAL EQUITY PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Tata Motors Ltd. | 3.3% |
Lenovo Group Ltd. | 3.2% |
China Merchants Bank Company Ltd. | 3.0% |
BP plc | 2.9% |
Sony Corporation | 2.9% |
Weichai Power Company Ltd. | 2.8% |
Anglo American plc | 2.7% |
Zoomlion Heavy Industry Science and Technology Company Lt | 2.6% |
Kumho Petrochemical Company Ltd. | 2.6% |
BHP Group Ltd. | 2.6% |
* | Based on total net assets as of February 28, 2021. |
Excludes short-term investments.
Portfolio Composition*
MSCI ACWI ex USA Index captures large and mid cap representation across 22 of 23 Developed Markets countries (excluding the US) and 21 Emerging Markets countries. With 1,824 constituents, the index covers approximately 85% fo the global equity opportunity set outside the US. |
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
14
INVESTMENT REVIEW |
HEALTH & BIOTECHNOLOGY PORTFOLIO
Advised by: Oak Associates, Ltd., Akron, Ohio
Objective: The Portfolio seeks long-term capital growth.
Total Aggregate Return for the Period Ended February 28, 2021 | |||
Class I | |||
Inception: | 1/28/03 – 2/28/21* | 8.59% | |
Ten Year: | 3/1/11 – 2/28/21* | 10.39% | |
Five Year: | 3/1/16 – 2/28/21* | 6.43% | |
One Year: | 3/1/20 – 2/28/21 | 12.49% | |
Six Months: | 9/1/20 – 2/28/21 | 4.87% |
* | 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 December 28, 2020, is 1.91%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Adviser utilizes a top-down investment approach focused on long-term economic trends. The Adviser begins with the overall outlook for the economy, then seeks to identify specific industries with attractive characteristics and long-term growth potential. Ultimately, the Adviser seeks to identify high-quality companies within the selected industries and to acquire them at attractive prices. The Adviser’s stock selection process is based on an analysis of individual companies’ fundamental values, such as earnings growth potential and the quality of corporate management.
PORTFOLIO ADVISOR COMMENTARY
For the semi-annual, the Healthcare sector was positive on an absolute basis but lagged as other areas bounced off depressed lows. Despite pressures of the pandemic, pausing of elective procedures, a second surge in Covid cases and a Presidential election, the Healthcare sector largely lived up to its defensive nature. Overall, volatility early in the period eventually gave way to further market expansion as successful vaccines became available and investors could finally look beyond the pandemic. As is typical during severe economic disruptions, significant resources flow towards the problem in search of a solution. Fortunately, we saw confirmation of these efforts in the form of several successful vaccines. The importance of having more than one effective vaccine was a reduction in risk of supply constraints, valid concern in earlier stages of the global vaccine effort.
Within the Healthcare sector, performance continued to be mixed and more dependent on the exposure to specific end markets rather than individual company execution. Strength came from the Life Science Tools and Services suppliers that have benefitted from increased testing and, later in the period, from the Health Care Equipment providers as elective procedures were finally rescheduled. Despite their success in achieving vaccines, weakness came from large capitalization Pharmaceutical and Biotechnology companies. We believe investors here are struggling to determine if these companies will ultimately see a return on their substantial investments in solutions to Covid.
The past year will forever be remembered for the challenges wrought by the pandemic. That said, markets have absorbed the volatility well and we believe that continued stimulus creates an attractive backdrop looking forward. We see numerous attractive long-term opportunities in the sector, led by several secular growth drivers including an aging population and innovation in the form of new products and procedures.
15
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
HEALTH & BIOTECHNOLOGY PORFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
McKesson Corporation | 5.7% |
Charles River Laboratories International Inc. | 5.2% |
United Therapeutics Corporation | 4.9% |
Amgen Inc. | 4.9% |
Medtronic plc | 4.8% |
Illumina Inc. | 4.7% |
Anthem Inc. | 4.3% |
Stryker Corporation | 4.2% |
GlaxoSmithKline plc | 4.1% |
Novartis A.G. | 4.0% |
* | Based on total net assets as of February 28, 2021. |
Excludes short-term investments.
Portfolio Composition*
The S&P 500®Healthcare Index is a widely-recognized, unmanaged, equally-weightedIndex, adjusted for capital gains distribution and income dividends, of securities of companies engaged in the healthcare/biotechnology and medical industries. Index returns assume reinvestment of dividends; unlike the Portfolio’s returns, however, Index returns do not reflect any fees or expenses. Such costs would lower performance. It is not possible to invest directly in an Index. |
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
16
INVESTMENT REVIEW |
TECHNOLOGY & COMMUNICATIONS PORTFOLIO
Advised by: Oak Associates, Ltd., Akron, Ohio
Objective: The Portfolio seeks long-term growth of capital.
Total Aggregate Return for the Period Ended February 28, 2021 | |||
Class I | |||
Inception: | 1/7/03 – 2/28/21* | 14.01% | |
Ten Year: | 3/1/11 – 2/28/21* | 14.54% | |
Five Year: | 3/1/16 – 2/28/21* | 22.17% | |
One Year: | 3/1/20 – 2/28/21 | 38.56% | |
Six Months: | 9/1/20 – 2/28/21 | 6.01% |
* | 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 distrbutions 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 1.68%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
In buying and selling securities for the Portfolio, the Adviser relies on fundamental analysis of each issuer and its potential for success in light of its current financial condition, its industry position and economic and market conditions. Factors considered include growth potential, earnings, valuation, competitive advantages and management.
PORTFOLIO ADVISOR COMMENTARY
For the semi-annual period, the Technology sector was positive on an absolute basis but lagged on a relative basis, as other areas bounced off depressed lows. A second surge in Covid cases early in the period pressured markets, however, this retreat was short-lived as focus shifted to the prospects of a vaccine. Ultimately, successful vaccines allowed investors to see a light at the end of the tunnel.
Recently, we have discussed how US equity indices have been propelled higher by a diminishing number of large technology companies and our belief that this phenomenon was unlikely to persist. Expectations of improved economic prospects finally broadened participation late in 2020 signaling an improved economic outlook. Strength in this period continued to come from the semiconductor sector as well as the financial technology category. These segments were attractive prior to the pandemic but the past year’s events accelerated many of their secular growth prospects including working from home and cashless transactions. Relative weakness was seen in companies that rely on enterprise capital spending for growth as these customers scaled back projects in the face of economic uncertainty.
The past year will forever be remembered for the challenges wrought by the pandemic. That said, markets have absorbed the volatility well and continued stimulus has created an attractive backdrop looking forward. We expect a transition from multiple expansion to earnings growth as the facilitator of further upward movement in stock prices. Potential is significant in this light, as earnings may rebound from depressed levels and consumers could be ready and able spend as normalcy begins to return. We believe Technology companies are poised to benefit given what we see as their superior growth prospects and profitability when compared to other market sectors.
17
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
TECHNOLOGY & COMMUNICATIONS PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Amazon.com Inc. | 8.8% |
Alphabet Inc. - Class C | 6.8% |
Facebook Inc. | 5.7% |
Apple Inc. | 5.5% |
KLA Corporation | 5.1% |
Alphabet Inc. - Class A | 5.0% |
QUALCOMM Inc. | 4.8% |
Microsoft Corporation | 4.6% |
Intel Corporation | 4.0% |
Oracle Corporation | 4.0% |
* | Based on total net assets as of February 28, 2021. |
Excludes short-term investments.
Portfolio Composition*
The Lipper Science & Technology Funds Index is an equal-weighted performance Index, adjusted for capital gain distribution and income dividends, of the largest qualifying funds within the Science and Technology fund classification, as defined by Lipper. Indexes are not managed and it is not possible directly in an Index. |
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
18
INVESTMENT REVIEW |
ENERGY & BASIC MATERIALS PORTFOLIO
Advised by: Smith Group Asset Management, Dallas, Texas
Objective: The Portfolio seeks long-term growth of capital.
Total Aggregate Return for the Period Ended February 2, 2021 | |||
Class I | |||
Inception: | 1/7/03 — 2/28/21* | 3.49% | |
Ten Year: | 3/1/11 — 2/28/21* | -5.35% | |
Five Year: | 3/1/16 — 2/28/21* | 1.35% | |
One Year: | 3/1/20 — 2/28/21 | 16.90% | |
Six Month: | 9/1/20 — 2/28/21 | 24.70% |
* | 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 3.65%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Adviser employs quantitative and qualitative analysis that seeks to identify reasonably valued, high quality companies within the energy and basic materials sectors. The Adviser’s selection process incorporates a multi-factor valuation framework, capital structure, and financial quality analysis. The valuation framework includes, but is not limited to, analysis of price to earnings, price to sales, price to book, and price to operating cash flow. Valuation methodology is industry-specific within the energy and basic materials sectors. This process produces a list of eligible companies which are then subjected to analysis by the Adviser to further understand each company’s business prospects and earnings potential. The Adviser uses the results of this analysis to construct the Portfolio’s security positions.
PORTFOLIO ADVISOR COMMENTARY
For the semi-annual period, the Technology sector was positive on an absolute basis but lagged on a relative basis, as other areas bounced off depressed lows. A second surge in Covid cases early in the period pressured markets, however, this retreat was short-lived as focus shifted to the prospects of a vaccine. Ultimately, successful vaccines allowed investors to see a light at the end of the tunnel.
Recently, we have discussed how US equity indices have been propelled higher by a diminishing number of large technology companies and our belief that this phenomenon was unlikely to persist. Expectations of improved economic prospects finally broadened participation late in 2020 signaling an improved economic outlook. Strength in this period continued to come from the semiconductor sector as well as the financial technology category. These segments were attractive prior to the pandemic but the past year’s events accelerated many of their secular growth prospects including working from home and cashless transactions. Relative weakness was seen in companies that rely on enterprise capital spending for growth as these customers scaled back projects in the face of economic uncertainty.
The past year will forever be remembered for the challenges wrought by the pandemic. That said, markets have absorbed the volatility well and continued stimulus has created an attractive backdrop looking forward. We expect a transition from multiple expansion to earnings growth as the facilitator of further upward movement in stock prices. Potential is significant in this light, as earnings may rebound from depressed levels and consumers could be ready and able spend as normalcy begins to return. We believe Technology companies are poised to benefit given what we see as their superior growth prospects and profitability when compared to other market sectors.
19
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
ENERGY & BASIC MATERIALS PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Exxon Mobil Corporation | 6.2% |
BHP Group Ltd. | 5.0% |
Chevron Corporation | 4.6% |
TOTAL S.E. | 3.8% |
PetroChina Company Ltd. | 3.3% |
BP plc | 3.2% |
Marathon Petroleum Corporation | 2.8% |
LUKOIL PJSC | 2.7% |
Linde plc | 2.6% |
LyondellBasell Industries N.V. | 2.5% |
* | Based on total net assets as of February 28, 2021. |
Excludes short-term investments.
Portfolio Composition*
The Lipper Natural Resources Funds Index is an equal-weighted performance Index, adjusted for capital gain distributions and income dividends, of the largest qualifying funds within the Natural Resources fund classification, as defined by Lipper. Indexes are not managed and it is not possible to invest directly in an Index. |
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
20
INVESTMENT REVIEW |
FINANCIAL SERVICES PORTFOLIO
Advised by: Smith Group Asset Management, Dallas, Texas
Objective: The Portfolio seeks long-term growth of capital.
Total Aggregate Return for the Period Ended February 28, 2021 | |||
Class I | |||
Inception: | 1/7/03 – 2/28/21* | 3.46% | |
Ten Year: | 3/1/11 – 2/28/21* | 6.08% | |
Five Year: | 3/1/16 – 2/28/21* | 10.40% | |
One Year: | 3/1/20 – 2/28/21 | 21.30% | |
Six Months: | 9/1/20 – 2/28/21 | 29.61% |
* | 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 3.51%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Adviser employs quantitative and qualitative analysis that seeks to identify reasonably valued, high quality financial services companies that it believes have the ability to accelerate earnings growth and exceed investor expectations. The Adviser’s selection process consists of three steps. First, the Adviser reviews a series of screens utilizing the Adviser’s investment models, which are based on fundamental characteristics designed to eliminate companies that the Adviser’s research shows have a high probability of underperformance. Factors considered when reviewing the screens include a multi-factor valuation framework, earnings quality, and capital structure. The valuation framework includes, but is not limited to, analysis of price to earnings, price to sales, price to book, cash held to price and various cash flow ratios. Valuation methodology is industry-specific within the financial services sector. Next, securities that pass the initial screens are then evaluated to try to identify stocks with the highest probability of producing an earnings growth rate that exceeds investor expectations. This process incorporates changes in earnings expectations and earnings quality analysis. Finally, these steps produce a list of eligible companies which are subjected to analysis by the Adviser to further understand each company’s business prospects and earnings potential. The Adviser uses the results of this analysis to construct the Portfolio’s security positions.
PORTFOLIO ADVISOR COMMENTARY
The semi-annual period US equity markets rise, while the Financial Services sector significantly outpaced the broad market. The Saratoga Financial Services Portfolio posted strong returns during the period, largely in step with the sector at large.
Economic momentum ended the year far better than expected following the implementation of widespread lockdowns in March. For example, forecasts by the St. Louis Fed called for a 2020 year-end unemployment rate of greater than 10% relative to the reported 6.7% rate. We believe the presence of COVID-19 will continue to have ramifications both socially and economically, yet the global outlook in the equity markets has once again returned to a crescendo, if a somewhat hesitant one. The unprecedented speed of vaccine production and scale of fiscal and monetary stimulus has given the global economy new legs to stand on. Increased digitization as well as the policies passed by an ideologically different US President will be factors to watch in 2021, providing challenge or opportunity depending on the business sector. As this past year has shown, however, when threatened, the competitive nature of the world corporate climate is nothing if not adaptable.
For the period, the top contributors to the portfolio were investment bank and brokerage Stifel Financial (2.67%), Puerto Rico based regional bank Popular (2.34%) and Utah based regional bank Zions Bancorp (2.18%). The portfolio’s underweight to the weak-performing group of Insurance Brokers aided performance. Key detractors to performance were financial data and credit rating firm S&P Global (3.27%), reinsurer RenaissanceRe Holdings (0.00%) and property and casualty insurer Kemper Corp. (0.00%). The portfolio’s underweight to the outperforming Diversified Banks group was a hindrance on performance.
Within the discussion above, the percentages shown next to specific securities are the percentages of the Portfolio represented by the security on 2/28/21. The securities held in the Portfolio are subject to change and any discussion of those securities should not be considered investment advice.
21
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
FINANCIAL SERVICES PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Berkshire Hathaway Inc. | 9.9% |
Wells Fargo & Company | 4.8% |
JPMorgan Chase & Company | 4.7% |
Bank of America Corporation | 4.6% |
Citigroup Inc. | 4.5% |
BlackRock Inc. | 3.9% |
US Bancorp | 3.8% |
PNC Financial Services Group Inc. (The) | 3.6% |
MetLife Inc. | 3.3% |
S&P Global Inc. | 3.3% |
* | Based on total net assets as of February 28, 2021. |
Excludes short-term investments.
Portfolio Composition*
The Lipper Financial Services Funds Index is an equal, dollar-weighted Index of the 30 largest mutual funds within the Financial Services fund classification defined by Lipper. The Index is adjusted for the reinvestment of capital gains income dividends. Indexes are not managed and it is not possible to invest directly in an Index. |
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
22
INVESTMENT REVIEW |
INVESTMENT QUALITY BOND PORTFOLIO
Advised by: Saratoga Capital Management, LLC, Goodyear, Arizona
Objective: The Portfolio seeks current income and reasonable stability of principal.
Total Aggregate Return for the Period Ended February 28, 2021 | |||
Class I | |||
Inception: | 9/1/94 — 2/28/21* | 3.55% | |
Ten Year: | 3/1/11 – 2/28/21* | 1.34% | |
Five Year: | 3/1/16 – 2/28/21* | 1.40% | |
One Year: | 3/1/20 – 2/28/21 | 1.36% | |
Six Months: | 9/1/20 – 2/28/21 | -0.39% |
* | 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 1.45%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
As of March 7, 2018, the Portfolio is a “fund of funds.” The Portfolio’s main investment strategy is to invest in unaffiliated registered investment companies and exchange-traded funds (“ETFs”) (the “Underlying Funds”). The Portfolio will normally invest at least 80% of its total assets in Underlying Funds which invest in investment grade fixed-income securities or mortgage pass-through securities rated within the four highest grades by Moody’s Investors Service, Inc. (“Moody’s”), Standard & Poor’s Corporation (“S&P”) or Fitch Inc. (“Fitch”) or, if not rated, securities considered by an Underlying Fund’s adviser to be of comparable quality. In deciding which Underlying Funds to buy, hold or sell in pursuing the Portfolio’s investment objective, the Manager considers economic developments, interest rate trends, and performance history of an Underlying Fund’s management team, among other factors. The average maturity of the securities held by an Underlying Fund will generally range from three to ten years. In addition, the Portfolio may invest up to 5% of its net assets in Underlying Funds that invest in fixed-income securities of any grade, including those that are rated lower than investment grade at the time of purchase, commonly known as “junk bonds.”
PORTFOLIO ADVISOR COMMENTARY
As the Fed has lowered the federal funds (FF) rate, short-term rates have declined from recent highs and have stabilized around their near-term lows. Intermediate rates and long-term rates have been increasing from their recent lows. 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.
The Federal Reserve has meaningfully loosened the language it is using around its inflation target, saying in the FOMC statement above 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.
The Saratoga Investment Quality Bond Portfolio benefited from an overweight to shorter-term bonds versus intermediate and longer-term bonds during the period. The portfolio has been reallocated to overweight ultra-short-term bonds and short-term bonds versus intermediate and longer-term bonds.
23
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
INVESTMENT QUALITY BOND PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Vanguard Ultra-Short-Term Bond Fund Admiral Class | 57.1% |
Vanguard Short-Term Bond Index Fund Admiral Class | 4.6% |
* | Based on total net assets as of February 28, 2021. |
Excludes short-term investments.
Portfolio Composition*
The Lipper Short-Intermediate Investment Grade Debt Funds Index consists of the 30 largest mutual funds that invest at least 65% of their assets in investment grade debt issues (rated in the top four grades) with dollar-weighted average maturities of 1 to 5 years. Indexes are not managed and it is not possible to invest directly in an Index. |
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
24
INVESTMENT REVIEW |
MUNICIPAL BOND PORTFOLIO
Advised by: Saratoga Capital Management, LLC, Goodyear, Arizona
Objective: The Portfolio seeks a high level of interest income that is excluded from federal income taxation to the extent consistent with prudent investment management and the preservation of capital.
Total Aggregate Return for the Period Ended February 28, 2021 | |||
Class I | |||
Inception: | 9/1/94 — 2/28/21* | 2.59% | |
Ten Year: | 3/1/11 — 2/28/21* | 0.68% | |
Five Year: | 3/1/16 — 2/28/21* | -0.16% | |
One Year: | 3/1/20 — 2/28/21 | 0.43% | |
Six Month: | 9/1/20 — 2/28/21 | -0.06% |
* | 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 2.45%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
As of March 7, 2018, the Portfolio is a “fund of funds.” The Portfolio’s main investment strategy is to invest in unaffiliated registered investment companies and exchange-traded funds (“ETFs”) (the “Underlying Funds”). As a matter of fundamental policy, the Portfolio will normally invest at least 80% of its total assets in securities that pay interest exempt from federal income taxes. The Manager generally invests the Portfolio’s assets in Underlying Funds that invest in municipal obligations. There are no maturity limitations on the securities held by the Underlying Funds. Municipal obligations are bonds, notes or short-term commercial paper issued by state governments, local governments, and their respective agencies. In pursuing the Portfolio’s investment objective, the Manager has considerable leeway in deciding which Underlying Funds it buys, holds or sells on a day-today basis. The Underlying Fund’s adviser will invest primarily in municipal bonds rated within the four highest grades by Moody’s Investors Service, Inc. (“Moody’s”), Standard & Poor’s Corporation (“S&P”) or Fitch Inc. (“Fitch”) or, if not rated, of comparable quality in the opinion of an Underlying Fund’s adviser. An Underlying Fund may invest without limit in municipal obligations such as private activity bonds that pay interest income subject to the “alternative minimum tax,” although the Portfolio does not currently expect to invest more than 20% of its total assets in such instruments.
PORTFOLIO ADVISOR COMMENTARY
As the Fed has lowered the federal funds (FF) rate, short-term rates have declined from recent highs and have stabilized around their near-term lows. Intermediate rates and long-term rates have been increasing from their recent lows. 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.
The Federal Reserve has meaningfully loosened the language it is using around its inflation target, saying in the FOMC statement above 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.
The Saratoga Municipal Bond Portfolio benefited from an overweight to shorter-term bonds versus intermediate and longer-term bonds during the period. The portfolio has been reallocated to overweight ultra-short-term bonds and short-term bonds versus intermediate and longer-term bonds.
25
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
MUNICIPAL BOND PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
JPMorgan Ultra-Short Municipal Fund | 78.3% |
Vanguard Short-Term Tax-Exempt Fund | 6.4% |
* | Based on total net assets as of February 28, 2021. |
Excludes short-term investments.
Portfolio Composition*
The Lipper General Municipal Debt Funds Index consists of the 30 largest mutual funds that invest at least 65% of their assets in municipal debt issues in the top four credit rating. Indexes are not managed, and it is not possible to invest directly in the Index. |
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
26
INVESTMENT REVIEW |
U.S. GOVERNMENT MONEY MARKET PORTFOLIO
Advised by: Saratoga Capital Management, LLC, Goodyear, Arizona
Objective: The U.S. Government Money Market Portfolio seeks to provide maximum current income to the
extent consistent with the maintenance of liquidity and the preservation of capital.
7-Day Compounded Yield¹ | U.S. Government Money Market Portfolio (Class I) |
2/28/21 | 0.01% |
Total Aggregate Return for the Period Ended February 28, 2021 | |||
Class I | |||
Inception: | 9/1/94 — 2/28/21* | 1.74% | |
Ten Year: | 3/1/11 — 2/28/21* | 0.16% | |
Five Year: | 3/1/16 — 2/28/21* | 0.32% | |
One Year: | 3/1/20 — 2/28/21 | 0.01% | |
Six Month: | 9/1/20 — 2/28/21 | 0.00% |
¹ | The current 7-day yield more closely reflects the current earnings of the Portfolio than the total return quotation. |
* | Annualized performance for periods greater than one year. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 28, 2020, is 1.36%.
An investment in the U.S. Government Money Market Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the U.S. Government Money Market Portfolio seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Portfolio.
27
INVESTMENT REVIEW |
AGGRESSIVE BALANCED ALLOCATION PORTFOLIO
Advised by: Saratoga Capital Management, LLC, Goodyear, Arizona
Objective: The Portfolio seeks total return consisting of capital appreciation and income.
Total Aggregate Return for the Period Ended February 28, 2021 | |||
Class I | |||
Inception: | 1/4/18 — 2/28/21 *+ | 6.98% | |
One Year: | 3/1/20 — 2/28/21 | 21.86% | |
Six Month: | 9/1/20 — 2/28/21 | 11.81% |
* | Annualized performance for periods greater than one year. |
+ | Commencement of offering is December 29, 2017. Start of performance is January 4, 2018. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 28, 2020 is 2.72%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio is a “fund of funds.” The Portfolio’s main investment strategy is to invest in other Saratoga Advantage Trust mutual funds (the “Saratoga Funds”) and/or unaffiliated registered investment companies and exchange-traded funds (“ETFs”) (together with the Saratoga Funds, the “Underlying Funds”). The Portfolio’s Manager allocates the Portfolio’s investments in Underlying Funds based on a propriety asset allocation model developed by the Manager (the “SaratogaSHARP® model”). Consistent with the SaratogaSHARP® model, the Manager allocates the Portfolio’s investments based on an analysis of capital markets that includes an examination of current economic conditions, historical asset class behavior and current market assumptions. In constructing the Portfolio, the Manager typically allocates assets among asset classes in the following investment categories: core equity, sector equity, fixed income, money market and alternative investments. Currently, the Manager intends to allocate approximately 44.25%-64.25% of the Portfolio’s assets to core equity investments; 8.75%-18.75% to sector equity investments; 2%-10% to fixed income investments; 5%-15% to money market investments and 11%-21% to alternative investments. The Portfolio will invest in equity, fixed income and alternative instruments through its investments in the Underlying Funds. The Manager regularly evaluates how individual economic sectors and statistics are effecting the general economy and markets in order to develop the asset allocation parameters. Accordingly, asset allocation parameters may vary widely over time in response to changing market and/or economic conditions. The sectors in which the Portfolio typically invests include: health and biotechnology, technology and communications, financial services, energy and basic materials and global real estate.
PORTFOLIO ADVISOR COMMENTARY
As measured by Real Gross Domestic Product (GDP), the value of the production of goods and services in the United States 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.
We rely on roughly 50 macro-economic indicators when assembling our allocation strategy for the Saratoga Asset Allocation Portfolios. These indicators fall into four categories: monetary policy, interest rates, valuations, and inflation. As of the six-month period ending February 2021, we believe monetary policy is neutral for the stock sector and negative for the bond sector, interest rates are neutral for the stock sector and negative for the bond sector, valuations are neutral for the stock sector, and inflation is neutral for the stock sector and negative for the bond sector. During the period, the allocation portfolios benefited from an overweight to equities and an underweight to bonds, though a relatively large cash position hurt performance. Within equities, an overweight to domestic large cap equities versus small cap, mid cap and foreign equities detracted from relative performance.
At the end of the period, we made an allocation change within the allocation portfolios, overweighting large cap value versus large cap growth, increasing mid and small cap relative to overall equity exposure, and increasing shorter-term bonds relative to longer-term bonds and cash.
28
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
AGGRESSIVE BALANCED ALLOCATION PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Saratoga Large Capitalization Value Portfolio, Class I | 16.6% |
Saratoga Large Capitalization Growth Portfolio, Class I | 13.2% |
Vanguard Ultra-Short-Term Bond Fund, Admiral Class | 12.5% |
Saratoga Mid Capitalization Portfolio, Class I | 10.9% |
Eaton Vance Global Macro Absolute Return Fund, Class I | 10.0% |
Vanguard Small-Cap Index Fund, Admiral Class | 9.3% |
Vanguard Total International Stock Index Fund, Admiral Class | 7.4% |
Saratoga Technology & Communications Portfolio, Class I | 3.7% |
Saratoga Health & Biotechnology Portfolio, Class I | 3.7% |
Vanguard Financials Index Fund, Admiral Class | 3.0% |
* | Based on total net assets as of February 28, 2021. |
Excludes short-term investments.
Portfolio Composition*
The Morningstar US Fund Allocation 70%-85% Equity Category seeks to provide income and capital appreciation by investing in multiple asset classes. The Funds typically have 70%-85% equity exposure in domestic holdings. |
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
29
INVESTMENT REVIEW |
CONSERVATIVE BALANCED ALLOCATION PORTFOLIO
Advised by: Saratoga Capital Management, LLC, Goodyear, Arizona
Objective: The Portfolio seeks total return consisting of capital appreciation and income.
Total Aggregate Return for the Period Ended February 28, 2021 | |||
Class I | |||
Inception: | 1/4/18 — 2/28/21*+ | 5.67% | |
One Year: | 3/1/20 — 2/28/21 | 14.04% | |
Six Month: | 9/1/20 — 2/28/21 | 6.82% |
* | Annualized performance for periods greater than one year. |
+ | Commencement of offering is December 29, 2017. Start of performance is January 4, 2018. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 28, 2020 is 2.03%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio is a “fund of funds.” The Portfolio’s main investment strategy is to invest in other Saratoga Advantage Trust mutual funds (the “Saratoga Funds”) and/or unaffiliated registered investment companies and exchange-traded funds (“ETFs”) (together with the Saratoga Funds, the “Underlying Funds”). The Portfolio’s Manager allocates the Portfolio’s investments in Underlying Funds based on a propriety asset allocation model developed by the Manager (the “SaratogaSHARP® model”). Consistent with the SaratogaSHARP® model, the Manager allocates the Portfolio’s investments based on an analysis of capital markets that includes an examination of current economic conditions, historical asset class behavior and current market assumptions. In constructing the Portfolio, the Manager typically allocates assets among asset classes in the following investment categories: core equity, fixed income, money market and alternative investments. Currently, the Manager intends to allocate approximately 40%-60% of the Portfolio’s assets to core equity investments; 8.5%-18.5% to fixed income investments, 17.5%-32.5% to money market investments and 6.5%-16.5% to alternative investments. The Manager does not currently intend to allocate any of the Portfolio’s assets to sector equity investments; however, it may do so in the future. The Portfolio will invest in equity, fixed income and alternative instruments through its investments in the Underlying Funds. The Manager regularly evaluates how individual economic sectors and statistics are affecting the general economy and markets in order to develop the asset allocation parameters. Accordingly, asset allocation parameters may vary widely over time in response to changing market and/or economic conditions.
PORTFOLIO ADVISOR COMMENTARY
As measured by Real Gross Domestic Product (GDP), the value of the production of goods and services in the United States 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.
We rely on roughly 50 macro-economic indicators when assembling our allocation strategy for the Saratoga Asset Allocation Portfolios. These indicators fall into four categories: monetary policy, interest rates, valuations, and inflation. As of the six-month period ending February 2021, we believe monetary policy is neutral for the stock sector and negative for the bond sector, interest rates are neutral for the stock sector and negative for the bond sector, valuations are neutral for the stock sector, and inflation is neutral for the stock sector and negative for the bond sector. During the period, the allocation portfolios benefited from an overweight to equities and an underweight to bonds, though a relatively large cash position hurt performance. Within equities, an overweight to domestic large cap equities versus small cap, mid cap and foreign equities detracted from relative performance.
At the end of the period, we made an allocation change within the allocation portfolios, overweighting large cap value versus large cap growth, increasing mid and small cap relative to overall equity exposure, and increasing shorter-term bonds relative to longer-term bonds and cash.
30
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
CONSERVATIVE BALANCED ALLOCATION PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Vanguard Ultra-Short-Term Bond Fund, Admiral Class | 32.4% |
Saratoga Large Capitalization Value Portfolio, Class I | 16.6% |
Saratoga Large Capitalization Growth Portfolio, Class I | 13.1% |
Saratoga Mid Capitalization Portfolio, Class I | 11.0% |
Eaton Vance Global Macro Absolute Return Fund, Class I | 8.0% |
Vanguard Small-Cap Index Fund, Admiral Class | 2.5% |
Vanguard Total International Stock Index Fund, Admiral Class | 1.7% |
* | Based on total net assets as of February 28, 2021. |
Excludes short-term investments.
Portfolio Composition*
The Morningstar US Fund Allocation 30%-50% Equity Category invests in both stocks and bonds and maintains a relatively smaller position in stocks. The Funds typically have 30%-50% of assets in equities and 50%-70% of assets in fixed income and cash. |
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
31
INVESTMENT REVIEW |
MODERATE BALANCED ALLOCATION PORTFOLIO
Advised by: Saratoga Capital Management, LLC, Goodyear, Arizona
Objective: The Portfolio seeks total return consisting of capital appreciation and income.
Total Aggregate Return for the Period Ended February 28, 2021 | |||
Class I | |||
Inception: | 1/4/18 — 2/28/21*+ | 7.12% | |
One Year: | 3/1/20 — 2/28/21 | 19.21% | |
Six Month: | 9/1/20 — 2/28/21 | 9.62% |
* | Annualized performance for periods greater than one year. |
+ | Commencement of offering is December 29, 2017. Start of performance is January 4, 2018. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 28, 2020 is 2.35%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio is a “fund of funds.” The Portfolio’s main investment strategy is to invest in other Saratoga Advantage Trust mutual funds (the “Saratoga Funds”) and/or unaffiliated registered investment companies and exchange-traded funds (“ETFs”) (together with the Saratoga Funds, the “Underlying Funds”). The Portfolio’s Manager allocates the Portfolio’s investments in Underlying Funds based on a propriety asset allocation model developed by the Manager (the “SaratogaSHARP® model”). Consistent with the SaratogaSHARP® model, the Manager allocates the Portfolio’s investments based on an analysis of capital markets that includes an examination of current economic conditions, historical asset class behavior and current market assumptions. In constructing the Portfolio, the Manager typically allocates assets among asset classes in the following investment categories: core equity, sector equity, fixed income, money market and alternative investments. Currently, the Manager intends to allocate approximately 43%-63% of the Portfolio’s assets to core equity investments; 3.75%-13.75% to sector equity investments; 4%-14% to fixed income investments; 10%-20% to money market investments and 9.25%-19.25% to alternative investments. The Portfolio will invest in equity, fixed income and alternative instruments through its investments in the Underlying Funds. The Manager regularly evaluates how individual economic sectors and statistics are effecting the general economy and markets in order to develop the asset allocation parameters. Accordingly, asset allocation parameters may vary widely over time in response to changing market and/or economic conditions. The sectors in which the Portfolio typically invests include: health and biotechnology, technology and communications, financial services, energy and basic materials and global real estate.
PORTFOLIO ADVISOR COMMENTARY
As measured by Real Gross Domestic Product (GDP), the value of the production of goods and services in the United States 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.
We rely on roughly 50 macro-economic indicators when assembling our allocation strategy for the Saratoga Asset Allocation Portfolios. These indicators fall into four categories: monetary policy, interest rates, valuations, and inflation. As of the six-month period ending February 2021, we believe monetary policy is neutral for the stock sector and negative for the bond sector, interest rates are neutral for the stock sector and negative for the bond sector, valuations are neutral for the stock sector, and inflation is neutral for the stock sector and negative for the bond sector. During the period, the allocation portfolios benefited from an overweight to equities and an underweight to bonds, though a relatively large cash position hurt performance. Within equities, an overweight to domestic large cap equities versus small cap, mid cap and foreign equities detracted from relative performance.
At the end of the period, we made an allocation change within the allocation portfolios, overweighting large cap value versus large cap growth, increasing mid and small cap relative to overall equity exposure, and increasing shorter-term bonds relative to longer-term bonds and cash.
32
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
MODERATE BALANCED ALLOCATION PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Vanguard Ultra-Short-Term Bond Fund, Admiral Class | 23.5% |
Saratoga Large Capitalization Value Portfolio, Class I | 18.1% |
Saratoga Large Capitalization Growth Portfolio, Class I | 14.3% |
Saratoga Mid Capitalization Portfolio, Class I | 11.9% |
Eaton Vance Global Macro Absolute Return Fund, Class I | 8.0% |
Vanguard Small-Cap Index Fund, Admiral Class | 4.5% |
Vanguard Total International Stock Index Fund, Admiral Class | 3.0% |
Saratoga Technology & Communications Portfolio, Class I | 2.4% |
Saratoga Health & Biotechnology Portfolio, Class I | 2.1% |
Vanguard Financials Index Fund, Admiral Class | 1.7% |
* | Based on total net assets as of February 28, 2021. |
Excludes short-term investments.
Portfolio Composition*
The Morningstar US Fund Allocation 50%-70% Equity Category invests in stocks and bonds and maintains a relatively higher position in stocks. The Funds typically have 50%-70% of assets in equities and the remainder in fixed income and cash. |
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
33
INVESTMENT REVIEW |
MODERATELY AGGRESSIVE BALANCED ALLOCATION PORTFOLIO
Advised by: Saratoga Capital Management, LLC, Goodyear, Arizona
Objective: The Portfolio seeks total return consisting of capital appreciation and income.
Total Aggregate Return for the Period Ended February 28, 2021 | |||
Class I | |||
Inception: | 1/4/18 — 2/28/21*+ | 6.59% | |
One Year: | 3/1/20 — 2/28/21 | 19.94% | |
Six Month: | 9/1/20 — 2/28/21 | 10.90% |
* | Annualized performance for periods greater than one year. |
+ | Commencement of offering is December 29, 2017. Start of performance is January 4, 2018. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 28, 2020 is 2.77%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio is a “fund of funds.” The Portfolio’s main investment strategy is to invest in other Saratoga Advantage Trust mutual funds (the “Saratoga Funds”) and/or unaffiliated registered investment companies and exchange-traded funds (“ETFs”) (together with the Saratoga Funds, the “Underlying Funds”). The Portfolio’s Manager allocates the Portfolio’s investments in Underlying Funds based on a propriety asset allocation model developed by the Manager (the “SaratogaSHARP® model”). Consistent with the SaratogaSHARP® model, the Manager allocates the Portfolio’s investments based on an analysis of capital markets that includes an examination of current economic conditions, historical asset class behavior and current market assumptions. In constructing the Portfolio, the Manager typically allocates assets among asset classes in the following investment categories: core equity, sector equity, fixed income, money market and alternative investments. Currently, the Manager intends to allocate approximately 45%-65% of the Portfolio’s assets to core equity investments; 5.5%-15.5% to sector equity investments; 2.5%-12.5% to fixed income investments; 7%-17% to money market investments and 10%-20% to alternative investments. The Portfolio will invest in equity, fixed income and alternative instruments through its investments in the Underlying Funds. The Manager regularly evaluates how individual economic sectors and statistics are effecting the general economy and markets in order to develop the asset allocation parameters. Accordingly, asset allocation parameters may vary widely over time in response to changing market and/or economic conditions. The sectors in which the Portfolio typically invests include: health and biotechnology, technology and communications, financial services, energy and basic materials and global real estate.
PORTFOLIO ADVISOR COMMENTARY
As measured by Real Gross Domestic Product (GDP), the value of the production of goods and services in the United States 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.
We rely on roughly 50 macro-economic indicators when assembling our allocation strategy for the Saratoga Asset Allocation Portfolios. These indicators fall into four categories: monetary policy, interest rates, valuations, and inflation. As of the six-month period ending February 2021, we believe monetary policy is neutral for the stock sector and negative for the bond sector, interest rates are neutral for the stock sector and negative for the bond sector, valuations are neutral for the stock sector, and inflation is neutral for the stock sector and negative for the bond sector. During the period, the allocation portfolios benefited from an overweight to equities and an underweight to bonds, though a relatively large cash position hurt performance. Within equities, an overweight to domestic large cap equities versus small cap, mid cap and foreign equities detracted from relative performance.
At the end of the period, we made an allocation change within the allocation portfolios, overweighting large cap value versus large cap growth, increasing mid and small cap relative to overall equity exposure, and increasing shorter-term bonds relative to longer-term bonds and cash.
34
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
MODERATELY AGGRESSIVE BALANCED ALLOCATION PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Vanguard Ultra-Short-Term Bond Fund, Admiral Class | 20.1% |
Saratoga Large Capitalization Value Portfolio, Class I | 17.3% |
Saratoga Large Capitalization Growth Portfolio, Class I | 13.6% |
Saratoga Mid Capitalization Portfolio, Class I | 12.5% |
Eaton Vance Global Macro Absolute Return Fund, Class I | 8.0% |
Vanguard Small-Cap Index Fund, Admiral Class | 7.0% |
Vanguard Total International Stock Index Fund, Admiral Class I | 4.8% |
Saratoga Technology & Communications Portfolio, Class I | 2.7% |
Saratoga Health & Biotechnology Portfolio, Class I | 2.6% |
Saratoga Energy & Basic Materials Portfolio, Class I | 2.1% |
* | Based on total net assets as of February 28, 2021. |
Excludes short-term investments.
Portfolio Composition*
The Morningstar US Fund Allocation 50%-70% Equity invests in stocks and bonds and maintains a relatively higher position in stocks. The Funds typically have 50%-70% of assets in equities and the remainder in fixed income and cash. |
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
35
INVESTMENT REVIEW |
MODERATELY CONSERVATIVE BALANCED ALLOCATION PORTFOLIO
Advised by: Saratoga Capital Management, LLC, Goodyear, Arizona
Objective: The Portfolio seeks total return consisting of capital appreciation and income.
Total Aggregate Return for the Period Ended February 28, 2021 | |||
Class I | |||
Inception: | 1/10/18 — 2/28/21*+ | 6.20% | |
One Year: | 3/1/20 — 2/28/21 | 17.89% | |
Six Month: | 9/1/20 — 2/28/21 | 9.24% |
* | Annualized performance for periods greater than one year. |
+ | Commencement of offering is December 29, 2017. Start of performance is January 10, 2018. |
Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (800) 807-FUND. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The total operating expense ratio as stated in the fee table to the Portfolio’s prospectus dated December 28, 2020 is 2.39%.
PORTFOLIO INVESTMENT STRATEGIES AND TECHNIQUES
The Portfolio is a “fund of funds.” The Portfolio’s main investment strategy is to invest in other Saratoga Advantage Trust mutual funds (the “Saratoga Funds”) and/or unaffiliated registered investment companies and exchange-traded funds (“ETFs”) (together with the Saratoga Funds, the “Underlying Funds”). The Portfolio’s Manager allocates the Portfolio’s investments in Underlying Funds based on a propriety asset allocation model developed by the Manager (the “SaratogaSHARP® model”). Consistent with the SaratogaSHARP® model, the Manager allocates the Portfolio’s investments based on an analysis of capital markets that includes an examination of current economic conditions, historical asset class behavior and current market assumptions. In constructing the Portfolio, the Manager typically allocates assets among asset classes in the following investment categories: core equity, fixed income, money market and alternative investments. Currently, the Manager intends to allocate approximately 48%-68% of the Portfolio’s assets to core equity investments; 5.5%-15.5% to fixed income investments, 11%-21% to money market investments and 10.5%-20.5% to alternative investments. The Manager does not currently intend to allocate any of the Portfolio’s assets to sector equity investments; however, it may do so in the future. The Portfolio will invest in equity, fixed income and alternative instruments through its investments in the Underlying Funds. The Manager regularly evaluates how individual economic sectors and statistics are effecting the general economy and markets in order to develop the asset allocation parameters. Accordingly, asset allocation parameters may vary widely over time in response to changing market and/or economic conditions.
PORTFOLIO ADVISOR COMMENTARY
As measured by Real Gross Domestic Product (GDP), the value of the production of goods and services in the United States 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.
We rely on roughly 50 macro-economic indicators when assembling our allocation strategy for the Saratoga Asset Allocation Portfolios. These indicators fall into four categories: monetary policy, interest rates, valuations, and inflation. As of the six-month period ending February 2021, we believe monetary policy is neutral for the stock sector and negative for the bond sector, interest rates are neutral for the stock sector and negative for the bond sector, valuations are neutral for the stock sector, and inflation is neutral for the stock sector and negative for the bond sector. During the period, the allocation portfolios benefited from an overweight to equities and an underweight to bonds, though a relatively large cash position hurt performance. Within equities, an overweight to domestic large cap equities versus small cap, mid cap and foreign equities detracted from relative performance.
At the end of the period, we made an allocation change within the allocation portfolios, overweighting large cap value versus large cap growth, increasing mid and small cap relative to overall equity exposure, and increasing shorter-term bonds relative to longer-term bonds and cash.
36
INVESTMENT REVIEW |
A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE
MODERATELY CONSERVATIVE BALANCED ALLOCATION PORTFOLIO VS. BENCHMARK
SIGNIFICANT AREAS OF INVESTMENT
AS A PERCENTAGE OF NET ASSETS
Top 10 Portfolio Holdings* | |
% of | |
Company | Net Assets |
Vanguard Ultra-Short-Term Bond Fund, Admiral Class | 32.5% |
Saratoga Large Capitalization Value Portfolio, Class I | 18.5% |
Saratoga Large Capitalization Growth Portfolio, Class I | 14.7% |
Saratoga Mid Capitalization Portfolio, Class I | 12.8% |
Eaton Vance Global Macro Absolute Return Fund, Class I | 9.0% |
Vanguard Small-Cap Index Fund, Admiral Class | 7.4% |
Vanguard Total International Stock Index Fund, Admiral Class | 4.9% |
* | Based on total net assets as of February 28, 2021. |
Excludes short-term investments.
Portfolio Composition*
The Morningstar US Fund Allocation 50%-70% Equity Category invests in stocks and bonds and maintains a relatively higher position in stocks. The funds typically have 50%-70% of assets in equities and the remainder in fixed income and cash. |
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.
37
SCHEDULES OF INVESTMENTS |
LARGE CAPITALIZATION VALUE PORTFOLIO (Unaudited) |
February 28, 2021 |
Shares | Value | |||||||
COMMON STOCK - 78.7% | ||||||||
AEROSPACE & DEFENSE - 2.3% | ||||||||
5,573 | Raytheon Technologies Corporation | $ | 401,200 | |||||
ASSET MANAGEMENT - 3.4% | ||||||||
9,579 | Charles Schwab Corporation (The) | 591,216 | ||||||
BANKING - 4.5% | ||||||||
10,834 | East West Bancorp, Inc. | 781,782 | ||||||
BEVERAGES - 2.5% | ||||||||
9,612 | Molson Coors Beverage Company + | 427,253 | ||||||
BIOTECH & PHARMA - 6.5% | ||||||||
17,941 | Bausch Health Companies, Inc. * | 563,706 | ||||||
13,723 | Perrigo Company PLC + | 553,860 | ||||||
1,117,566 | ||||||||
CABLE & SATELLITE - 4.4% | ||||||||
5,036 | Liberty Broadband Corporation * | 752,932 | ||||||
CHEMICALS - 7.5% | ||||||||
1,911 | Air Products and Chemicals, Inc. | 488,490 | ||||||
29,510 | Axalta Coating Systems Ltd. * | 806,803 | ||||||
1,295,293 | ||||||||
CONTAINERS & PACKAGING - 4.6% | ||||||||
8,331 | Crown Holdings, Inc. * | 796,110 | ||||||
ELECTRIC UTILITIES - 4.8% | ||||||||
22,598 | NRG Energy, Inc. | 825,053 | ||||||
HEALTH CARE FACILITIES & SERVICES - 4.8% | ||||||||
8,116 | AmerisourceBergen Corporation | 821,502 | ||||||
HOME CONSTRUCTION - 4.3% | ||||||||
4,218 | Mohawk Industries, Inc. * | 738,108 | ||||||
INSURANCE - 3.9% | ||||||||
7,086 | Globe Life, Inc. | 661,832 | ||||||
INTERNET MEDIA & SERVICES - 6.8% | ||||||||
382 | Alphabet, Inc. * | 772,370 | ||||||
1,522 | Facebook, Inc. * | 392,098 | ||||||
1,164,468 | ||||||||
LEISURE PRODUCTS - 3.1% | ||||||||
6,003 | Brunswick Corporation | 530,485 | ||||||
PUBLISHING & BROADCASTING - 2.4% | ||||||||
9,571 | Liberty Media Corp-Liberty Formula One *+ | 420,167 | ||||||
RETAIL - CONSUMER STAPLES - 3.7% | ||||||||
3,432 | Target Corporation | 629,566 | ||||||
SEMICONDUCTORS - 4.7% | ||||||||
4,620 | Qorvo, Inc. * | 807,253 | ||||||
WHOLESALE - DISCRETIONARY - 4.5% | ||||||||
19,485 | LKQ Corporation * | 767,514 | ||||||
TOTAL COMMON STOCK (Cost - $11,234,227) | 13,529,300 |
See accompanying notes to financial statements.
38
SCHEDULES OF INVESTMENTS |
LARGE CAPITALIZATION VALUE PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Shares | Value | |||||||
DEPOSITARY RECEIPTS - 7.9% | ||||||||
E-COMMERCE DISCRETIONARY - 3.4% | ||||||||
2,420 | Alibaba Group Holding Ltd. * | $ | 575,379 | |||||
TECHNOLOGY HARDWARE - 4.5% | ||||||||
7,323 | Sony Corporation | 774,847 | ||||||
TOTAL DEPOSITARY RECEIPTS (Cost - $1,110,935) | 1,350,226 | |||||||
REIT - 6.6% | ||||||||
10,657 | Duke Realty Corporation | 418,287 | ||||||
25,484 | Equity Commonwealth | 718,904 | ||||||
TOTAL REITS (Cost - $1,158,517) | 1,137,191 | |||||||
SHORT-TERM INVESTMENTS - 3.9% | ||||||||
670,251 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.01% ^ | 670,251 | ||||||
(Cost - $670,251) | ||||||||
TOTAL INVESTMENTS - 97.1% (Cost - $14,173,930) | $ | 16,686,968 | ||||||
OTHER ASSETS LESS LIABILITIES - 2.9% | 502,759 | |||||||
NET ASSETS - 100.0% | $ | 17,189,727 |
* | Non-income producing securities. |
+ | All or a portion of the security is on loan. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on February 28, 2021. |
PLC - Public Liability Company
See accompanying notes to financial statements.
39
SCHEDULES OF INVESTMENTS |
LARGE CAPITALIZATION GROWTH PORTFOLIO (Unaudited) |
February 28, 2021 |
Shares | Value | |||||||
COMMON STOCK - 103.9% | ||||||||
ADVERTISING & MARKETING - 1.2% | ||||||||
420 | Trade Desk, Inc. (The) * | $ | 338,264 | |||||
APPAREL & TEXTILE PRODUCTS - 0.3% | ||||||||
700 | NIKE, Inc. | 94,346 | ||||||
ASSET MANAGEMENT - 1.3% | ||||||||
2,200 | T Rowe Price Group, Inc. | 356,708 | ||||||
AUTOMOTIVE - 2.6% | ||||||||
1,090 | Tesla, Inc. * | 736,295 | ||||||
BIOTECH & PHARMA - 4.4% | ||||||||
4,090 | Eli Lilly and Company | 838,000 | ||||||
5,620 | Merck & Company, Inc. | 408,124 | ||||||
1,246,124 | ||||||||
CABLE & SATELLITE- 2.3% | ||||||||
1,060 | Charter Communications, Inc. * | 650,225 | ||||||
E-COMMERCE DISCRETIONARY - 6.0% | ||||||||
545 | Amazon.com, Inc. * | 1,685,647 | ||||||
ELECTRICAL EQUIPMENT - 5.1% | ||||||||
3,980 | Cognex Corporation | 328,708 | ||||||
2,040 | Generac Holdings, Inc. * | 672,302 | ||||||
1,770 | Rockwell Automation, Inc. | 430,606 | ||||||
1,431,616 | ||||||||
HEALTH CARE FACILITIES & SERVICES - 3.7% | ||||||||
2,400 | Laboratory Corp of America Holdings * | 575,784 | ||||||
1,360 | UnitedHealth Group, Inc. | 451,819 | ||||||
1,027,603 | ||||||||
HOUSEHOLD PRODUCTS- 2.6% | ||||||||
5,780 | Procter & Gamble Company (The) | 714,003 | ||||||
INTERNET MEDIA & SERVICES - 9.1% | ||||||||
350 | Alphabet, Inc.- Class A* | 707,669 | ||||||
350 | Alphabet, Inc.- Class C* | 712,901 | ||||||
3,743 | Facebook, Inc. * | 964,272 | ||||||
280 | Netflix, Inc. * | 150,878 | ||||||
2,535,720 | ||||||||
LEISURE PRODUCTS - 2.1% | ||||||||
5,030 | Polaris, Inc. | 592,333 | ||||||
MEDICAL EQUIPMENT & DEVICES - 7.3% | ||||||||
5,510 | Abbott Laboratories | 659,988 | ||||||
6,600 | Avantor, Inc. * | 183,942 | ||||||
8,640 | Hologic, Inc. * | 622,858 | ||||||
1,250 | Thermo Fisher Scientific, Inc. | 562,600 | ||||||
2,029,388 | ||||||||
RETAIL - CONSUMER STAPLES - 0.8% | ||||||||
710 | Costco Wholesale Corporation | 235,010 | ||||||
RETAIL - DISCRETIONARY- 7.4% | ||||||||
3,950 | Best Buy Company, Inc. | 396,383 | ||||||
2,350 | Home Depot, Inc. (The) | 607,099 | ||||||
2,890 | Lowe’s Companies, Inc. | 461,678 | ||||||
4,600 | Williams-Sonoma, Inc. + | 603,934 | ||||||
2,069,094 |
See accompanying notes to financial statements.
40
SCHEDULES OF INVESTMENTS |
LARGE CAPITALIZATION GROWTH PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Shares | Value | |||||||
COMMON STOCK - 103.9% (Continued) | ||||||||
SEMICONDUCTORS - 5.9% | ||||||||
1,360 | Applied Materials, Inc. | $ | 160,738 | |||||
880 | Broadcom, Inc. | 413,486 | ||||||
660 | NVIDIA Corporation | 362,063 | ||||||
2,490 | QUALCOMM, Inc. | 339,113 | ||||||
2,100 | Texas Instruments, Inc. | 361,767 | ||||||
1,637,167 | ||||||||
SOFTWARE - 19.9% | ||||||||
1,570 | Adobe, Inc. * | 721,682 | ||||||
3,440 | Cadence Design Systems, Inc. * | 485,350 | ||||||
2,230 | Crowdstrike Holdings, Inc. *+ | 481,680 | ||||||
27,590 | Dropbox, Inc. * | 622,017 | ||||||
3,880 | Fortinet, Inc. * | 655,138 | ||||||
9,203 | Microsoft Corporation | 2,138,593 | ||||||
23,300 | NortonLifeLock, Inc. | 454,583 | ||||||
5,559,043 | ||||||||
TECHNOLOGY HARDWARE - 10.0% | ||||||||
21,480 | Apple, Inc. | 2,604,665 | ||||||
4,400 | Jabil, Inc. | 189,948 | ||||||
2,794,613 | ||||||||
TECHNOLOGY SERVICES - 11.4% | ||||||||
2,670 | CDW Corporation/DE | 418,896 | ||||||
700 | EPAM Systems, Inc. * | 261,527 | ||||||
360 | Fair Isaac Corporation * | 164,718 | ||||||
1,430 | Gartner, Inc. * | 256,027 | ||||||
1,010 | Mastercard, Inc. | 357,388 | ||||||
4,350 | PayPal Holdings, Inc. * | 1,130,347 | ||||||
890 | S&P Global, Inc. | 293,130 | ||||||
1,450 | Visa, Inc. + | 307,965 | ||||||
3,189,998 | ||||||||
TRANSPORTATION & LOGISTICS - 0.5% | ||||||||
900 | United Parcel Service, Inc. | 142,047 | ||||||
TOTAL COMMON STOCK (Cost - $20,642,398) | 29,065,244 | |||||||
REIT - 1.3% | ||||||||
1,070 | American Tower Corporation | 231,259 | ||||||
550 | Public Storage | 128,667 | ||||||
TOTAL REIT (Cost - $250,469) | 359,926 | |||||||
SHORT-TERM INVESTMENTS - 1.4% | ||||||||
390,783 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.01% ^ | 390,783 | ||||||
(Cost - $390,783) | ||||||||
TOTAL INVESTMENTS - 106.6% (Cost - $21,283,650) | $ | 29,815,953 | ||||||
LIABILITIES LESS OTHER ASSETS - (6.6)% | (1,844,393 | ) | ||||||
NET ASSETS - 100.0% | $ | 27,971,560 |
* | Non-income producing securities. |
+ | All or a portion of the security is on loan. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on February 28, 2021. |
See accompanying notes to financial statements.
41
SCHEDULES OF INVESTMENTS |
MID CAPITALIZATION PORTFOLIO (Unaudited) |
February 28, 2021 |
Shares | Value | |||||||
COMMON STOCK - 95.5% | ||||||||
ASSET MANAGEMENT - 4.9% | ||||||||
2,135 | Ares Management Corporation | $ | 110,977 | |||||
9,485 | Brightsphere Investment Group, Inc. | 171,679 | ||||||
2,410 | Raymond James Financial, Inc. | 281,343 | ||||||
563,999 | ||||||||
BANKING - 5.5% | ||||||||
4,185 | Bank of NT Butterfield & Son Ltd. (The) | 152,711 | ||||||
5,700 | PacWest Bancorp | 206,568 | ||||||
6,060 | TCF Financial Corporation | 271,609 | ||||||
630,888 | ||||||||
BEVERAGES - 1.4% | ||||||||
755 | Constellation Brands, Inc. | 161,676 | ||||||
CHEMICALS - 6.6% | ||||||||
825 | Avery Dennison Corporation | 144,548 | ||||||
6,925 | Axalta Coating Systems Ltd. * | 189,330 | ||||||
2,140 | FMC Corporation | 217,617 | ||||||
1,990 | LyondellBasell Industries N.V. | 205,149 | ||||||
756,644 | ||||||||
COMMERCIAL SUPPORT SERVICES - 3.0% | ||||||||
5,955 | Aramark | 221,050 | ||||||
2,850 | Terminix Global Holdings, Inc. * | 128,279 | ||||||
349,329 | ||||||||
CONSUMER SERVICES - 2.6% | ||||||||
2,080 | Grand Canyon Education, Inc. * | 217,755 | ||||||
6,140 | Laureate Education, Inc. * | 84,425 | ||||||
302,180 | ||||||||
CONTAINERS & PACKAGING - 1.9% | ||||||||
2,325 | Crown Holdings, Inc. * | 222,177 | ||||||
E-COMMERCE DISCRETIONARY - 2.0% | ||||||||
9,420 | Leslie’s, Inc. * | 228,718 | ||||||
ELECTRIC UTILITIES - 4.5% | ||||||||
1,680 | Alliant Energy Corporation | 77,549 | ||||||
930 | Ameren Corporation | 65,351 | ||||||
760 | CMS Energy Corporation | 41,124 | ||||||
2,595 | Evergy, Inc. | 139,170 | ||||||
11,370 | Vistra Corporation | 196,133 | ||||||
519,327 | ||||||||
ELECTRICAL EQUIPMENT - 11.2% | ||||||||
785 | Allegion plc | 85,392 | ||||||
1,720 | AMETEK, Inc. | 202,908 | ||||||
1,485 | Hubbell, Inc. | 263,602 | ||||||
1,045 | Keysight Technologies, Inc. * | 147,888 | ||||||
11,755 | nVent Electric PLC | 308,686 | ||||||
4,530 | Otis Worldwide Corporation | 288,606 | ||||||
1,297,082 | ||||||||
ENGINEERING & CONSTRUCTION - 2.1% | ||||||||
8,730 | WillScot Mobile Mini Holdings Corporation * | 242,083 | ||||||
HEALTH CARE FACILITIES & SERVICES - 2.4% | ||||||||
1,270 | Centene Corporation * | 74,346 | ||||||
1,050 | IQVIA Holdings, Inc. * | 202,430 | ||||||
276,776 | ||||||||
INDUSTRIAL INTERMEDIATE PRODUCTION - 2.7% | ||||||||
3,980 | Timken Company (The) | 311,833 | ||||||
INSTITUTIONAL FINANCIAL SERVICES - 1.0% | ||||||||
825 | Nasdaq, Inc. | 114,089 |
See accompanying notes to financial statements.
42
SCHEDULES OF INVESTMENTS |
MID CAPITALIZATION PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Shares | Value | |||||||
COMMON STOCK - 95.5% (Continued) | ||||||||
INSURANCE - 5.7% | ||||||||
1,215 | Allstate Corporation (The) | $ | 129,519 | |||||
795 | Arthur J Gallagher & Company | 95,241 | ||||||
5,320 | Athene Holding Ltd. * | 242,539 | ||||||
1,600 | Reinsurance Group of America, Inc. | 195,568 | ||||||
662,867 | ||||||||
MACHINERY - 5.4% | ||||||||
3,705 | Crane Company | 310,701 | ||||||
2,895 | Oshkosh Corporation + | 306,870 | ||||||
617,571 | ||||||||
MEDICAL EQUIPMENT & DEVICES - 5.4% | ||||||||
665 | Agilent Technologies, Inc. | 81,177 | ||||||
11,730 | Avantor, Inc. * | 326,915 | ||||||
365 | Cooper Companies, Inc. (The) | 140,937 | ||||||
960 | Hologic, Inc. * | 69,206 | ||||||
618,235 | ||||||||
METALS & MINING - 2.2% | ||||||||
18,815 | Constellium S.E. * | 249,111 | ||||||
OIL & GAS PRODUCERS - 4.3% | ||||||||
3,325 | Diamondback Energy, Inc. | 230,356 | ||||||
1,820 | Pioneer Natural Resources Company | 270,397 | ||||||
500,753 | ||||||||
PUBLISHING & BROADCASTING - 2.5% | ||||||||
2,125 | Nexstar Media Group, Inc. | 292,294 | ||||||
RETAIL - CONSUMER STAPLES - 0.5% | ||||||||
325 | Dollar General Corporation | 61,422 | ||||||
SEMICONDUCTORS - 2.7% | ||||||||
680 | Analog Devices, Inc. | 105,958 | ||||||
625 | CMC Materials, Inc. | 106,563 | ||||||
990 | Entegris, Inc. | 104,158 | ||||||
316,679 | ||||||||
SOFTWARE - 1.4% | ||||||||
75 | Check Point Software Technologies Ltd. * | 8,268 | ||||||
125 | RingCentral, Inc. * | 47,270 | ||||||
6,755 | SolarWinds Corporation *+ | 109,363 | ||||||
164,901 | ||||||||
SPECIALTY FINANCE - 2.4% | ||||||||
2,055 | First American Financial Corporation | 107,970 | ||||||
4,455 | Synchrony Financial | 172,319 | ||||||
280,289 | ||||||||
TECHNOLOGY HARDWARE - 2.7% | ||||||||
1,755 | Motorola Solutions, Inc. | 307,967 |
See accompanying notes to financial statements.
43
SCHEDULES OF INVESTMENTS |
MID CAPITALIZATION PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Shares | Value | |||||||
COMMON STOCK - 95.5% (Continued) | ||||||||
TECHNOLOGY SERVICES - 5.1% | ||||||||
1,005 | CACI International, Inc. * | $ | 222,447 | |||||
360 | CDW Corporation/DE | 56,480 | ||||||
655 | Global Payments, Inc. | 129,683 | ||||||
2,150 | MAXIMUS, Inc. | 174,752 | ||||||
583,362 | ||||||||
WHOLESALE - CONSUMER STAPLES - 2.1% | ||||||||
4,385 | Performance Food Group Company * | 237,842 | ||||||
WHOLESALE - DISCRETIONARY - 1.3% | ||||||||
2,580 | IAA, Inc. * | 151,265 | ||||||
TOTAL COMMON STOCK (Cost - $7,913,516) | 11,021,359 | |||||||
REIT - 0.7% | ||||||||
7,720 | New Residential Investment Corporation (Cost - $73,715) | 79,362 | ||||||
SHORT-TERM INVESTMENTS - 1.1% | ||||||||
124,906 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.01% ^ | 124,906 | ||||||
(Cost - $124,906) | ||||||||
TOTAL INVESTMENTS - 97.3% (Cost - $8,112,137) | $ | 11,225,627 | ||||||
OTHER ASSETS LESS LIABILITIES - 2.7% | 306,610 | |||||||
NET ASSETS - 100.0% | $ | 11,532,237 |
* | Non-income producing securities. |
+ | All or a portion of the security is on loan. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on February 28, 2021. |
PLC - Public Limited Company
See accompanying notes to financial statements.
44
SCHEDULES OF INVESTMENTS |
SMALL CAPITALIZATION PORTFOLIO (Unaudited) |
February 28, 2021 |
Shares | Value | |||||||
COMMON STOCK - 95.6% | ||||||||
ADVERTISING & MARKETING - 0.9% | ||||||||
1,275 | Magnite, Inc. *+ | $ | 62,309 | |||||
ASSET MANAGEMENT - 2.1% | ||||||||
565 | Virtus Investment Partners, Inc. | 141,759 | ||||||
AUTOMOTIVE - 0.6% | ||||||||
3,753 | American Axle & Manufacturing Holdings, Inc. * | 36,667 | ||||||
BANKING - 13.1% | ||||||||
946 | 1st Source Corporation | 41,974 | ||||||
977 | Allegiance Bancshares, Inc. | 36,784 | ||||||
2,005 | BancorpSouth Bank | 60,270 | ||||||
946 | Banner Corporation | 48,984 | ||||||
771 | City Holding Company | 57,987 | ||||||
884 | Columbia Banking System, Inc. | 39,152 | ||||||
535 | Community Bank System, Inc. | 38,087 | ||||||
493 | Dime Community Bancshares, Inc. | 14,499 | ||||||
1,152 | First Bancorp | 46,391 | ||||||
2,159 | First of Long Island Corporation (The) | 40,114 | ||||||
1,326 | Flagstar Bancorp, Inc. | 57,535 | ||||||
4,164 | Fulton Financial Corporation | 64,334 | ||||||
2,478 | Great Western Bancorp, Inc. | 66,485 | ||||||
1,388 | Hilltop Holdings, Inc. | 45,860 | ||||||
1,182 | Preferred Bank | 68,497 | ||||||
1,121 | ServisFirst Bancshares, Inc. + | 55,557 | ||||||
2,930 | United Community Banks, Inc. | 96,866 | ||||||
879,376 | ||||||||
BIOTECH & PHARMA - 2.5% | ||||||||
648 | FibroGen, Inc. *+ | 32,419 | ||||||
3,013 | Five Prime Therapeutics, Inc. *+ | 66,979 | ||||||
1,419 | Halozyme Therapeutics, Inc. *+ | 64,210 | ||||||
163,608 | ||||||||
COMMERCIAL SUPPORT SERVICES - 1.8% | ||||||||
1,594 | Brink’s Company (The) | 122,467 | ||||||
CONSTRUCTION MATERIALS - 1.1% | ||||||||
648 | Advanced Drainage Systems, Inc. | 71,293 | ||||||
CONSUMER SERVICES - 1.5% | ||||||||
1,059 | Chegg, Inc. * | 102,225 | ||||||
ELECTRICAL EQUIPMENT- 0.5% | ||||||||
92 | Generac Holdings, Inc. * | 30,320 | ||||||
ENGINEERING & CONSTRUCTION - 7.0% | ||||||||
1,121 | Construction Partners, Inc. * | 32,442 | ||||||
596 | EMCOR Group, Inc. | 58,033 | ||||||
802 | Installed Building Products, Inc. * | 87,707 | ||||||
1,008 | MasTec, Inc. *+ | 87,444 | ||||||
596 | TopBuild Corporation *+ | 113,484 | ||||||
3,188 | WillScot Mobile Mini Holdings Corporation * | 88,403 | ||||||
467,513 | ||||||||
FOOD - 2.2% | ||||||||
1,038 | B&G Foods, Inc. + | 31,483 | ||||||
1,861 | Darling Ingredients, Inc. * | 117,317 | ||||||
148,800 | ||||||||
FORESTRY, PAPER & WOOD PRODUCTS - 2.9% | ||||||||
1,563 | Boise Cascade Company | 78,056 | ||||||
946 | Louisiana-Pacific Corporation | 45,039 | ||||||
1,244 | Neenah, Inc. | 68,818 | ||||||
191,913 |
See accompanying notes to financial statements.
45
SCHEDULES OF INVESTMENTS |
SMALL CAPITALIZATION PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Shares | Value | |||||||
COMMON STOCK - 95.6% (Continued) | ||||||||
GAS & WATER UTILITIES- 0.7% | ||||||||
709 | ONE Gas, Inc. | $ | 47,482 | |||||
HEALTH CARE FACILITIES & SERVICES - 4.9% | ||||||||
1,511 | AdaptHealth Corporation * | 46,493 | ||||||
504 | Addus HomeCare Corporation * | 54,215 | ||||||
350 | Amedisys, Inc. * | 88,774 | ||||||
504 | Molina Healthcare, Inc. * | 109,247 | ||||||
144 | Teladoc Health, Inc. *+ | 31,837 | ||||||
330,566 | ||||||||
HOME CONSTRUCTION - 3.4% | ||||||||
473 | American Woodmark Corporation * | 44,183 | ||||||
1,953 | Forestar Group, Inc. * | 41,579 | ||||||
709 | KB Home | 28,629 | ||||||
1,121 | MDC Holdings, Inc. | 63,415 | ||||||
1,861 | Taylor Morrison Home Corporation * | 51,196 | ||||||
229,002 | ||||||||
INDUSTRIAL INTERMEDIATE PRODUCTION - 1.8% | ||||||||
823 | EnPro Industries, Inc. | 66,120 | ||||||
1,388 | Mueller Industries, Inc. | 56,408 | ||||||
122,528 | ||||||||
INDUSTRIAL SUPPORT SERVICES - 3.3% | ||||||||
1,275 | Herc Holdings, Inc. * | 111,894 | ||||||
1,357 | WESCO International, Inc. * | 108,940 | ||||||
220,834 | ||||||||
INSTITUTIONAL FINANCIAL SERVICES - 1.6% | ||||||||
2,128 | Moelis & Company | 109,890 | ||||||
LEISURE PRODUCTS - 7.0% | ||||||||
2,745 | Acushnet Holdings Corporation | 115,894 | ||||||
1,594 | Callaway Golf Company | 44,552 | ||||||
709 | Fox Factory Holding Corporation * | 90,149 | ||||||
442 | LCI Industries | 62,295 | ||||||
679 | Winnebago Industries, Inc. | 47,258 | ||||||
1,594 | YETI Holdings, Inc. *+ | 109,619 | ||||||
469,767 | ||||||||
MACHINERY - 0.9% | ||||||||
884 | Astec Industries, Inc. | 60,041 | ||||||
MEDICAL EQUIPMENT & DEVICES - 4.8% | ||||||||
2,396 | AngioDynamics, Inc. * | 50,196 | ||||||
504 | Cantel Medical Corporation * | 37,437 | ||||||
1,799 | CareDx, Inc. * | 142,265 | ||||||
329 | Quidel Corporation *+ | 54,042 | ||||||
175 | Repligen Corporation * | 37,168 | ||||||
321,108 | ||||||||
OIL & GAS PRODUCERS - 0.6% | ||||||||
298 | Murphy USA, Inc. | 37,146 | ||||||
PUBLISHING & BROADCASTING - 1.8% | ||||||||
2,067 | Scholastic Corporation | 59,530 | ||||||
3,403 | TEGNA, Inc. | 62,037 | ||||||
121,567 | ||||||||
REAL ESTATE OWNERS & DEVELOPERS - 0.6% | ||||||||
473 | McGrath RentCorporation | 36,733 | ||||||
RENEWABLE ENERGY - 0.6% | ||||||||
2,365 | FuelCell Energy, Inc. *+ | 40,063 |
See accompanying notes to financial statements.
46
SCHEDULES OF INVESTMENTS |
SMALL CAPITALIZATION PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Shares | Value | |||||||
COMMON STOCK - 95.6% (Continued) | ||||||||
RETAIL - DISCRETIONARY - 5.7% | ||||||||
365 | Aaron’s Company, Inc. (The) * | $ | 8,015 | |||||
1,563 | Boot Barn Holdings, Inc. * | 94,437 | ||||||
2,397 | Builders FirstSource, Inc. * | 103,706 | ||||||
5,614 | Michaels Companies, Inc. (The) *+ | 84,210 | ||||||
1,121 | Sonic Automotive, Inc. | 51,689 | ||||||
2,457 | Sportsman’s Warehouse Holdings, Inc. * | 41,622 | ||||||
383,679 | ||||||||
SEMICONDUCTORS - 4.0% | ||||||||
1,769 | Alpha & Omega Semiconductor Ltd. * | 62,251 | ||||||
596 | Brooks Automation, Inc. | 49,563 | ||||||
381 | Diodes, Inc. * | 29,916 | ||||||
771 | II-VI, Inc. *+ | 64,995 | ||||||
977 | MACOM Technology Solutions Holdings, Inc. * | 62,870 | ||||||
269,595 | ||||||||
SOFTWARE - 7.9% | ||||||||
1,038 | Five9, Inc. * | 192,279 | ||||||
473 | Qualys, Inc. *+ | 45,957 | ||||||
1,511 | Sailpoint Technologies Holdings, Inc. *+ | 85,190 | ||||||
2,571 | Sapiens International Corp N.V. | 80,678 | ||||||
1,213 | SPS Commerce, Inc. * | 122,186 | ||||||
526,290 | ||||||||
SPECIALTY FINANCE - 5.1% | ||||||||
946 | GATX Corporation | 90,277 | ||||||
3,074 | MGIC Investment Corporation | 37,441 | ||||||
3,013 | Mr Cooper Group, Inc. * | 94,759 | ||||||
2,005 | PennyMac Financial Services, Inc. | 118,716 | ||||||
31 | PROG Holdings, Inc. | 1,550 | ||||||
342,743 | ||||||||
TECHNOLOGY HARDWARE - 1.4% | ||||||||
1,984 | ADTRAN, Inc. | 33,411 | ||||||
884 | Cubic Corporation | 61,394 | ||||||
94,805 | ||||||||
TECHNOLOGY SERVICES - 1.3% | ||||||||
175 | CACI International, Inc. * | 38,735 | ||||||
565 | Science Applications International Corporation + | 48,664 | ||||||
87,399 | ||||||||
WHOLESALE - CONSUMER STAPLES - 2.0% | ||||||||
2,396 | Performance Food Group Company * | 129,959 | ||||||
TOTAL COMMON STOCK (Cost - $4,202,119) | 6,399,447 | |||||||
REIT - 3.2% | ||||||||
2,745 | Ellington Financial, Inc. | 43,152 | ||||||
381 | Innovative Industrial Properties, Inc. + | 74,295 | ||||||
2,303 | Ready Capital Corporation + | 30,215 | ||||||
4,051 | Urstadt Biddle Properties, Inc. | 65,302 | ||||||
TOTAL REIT (Cost - $145,072) | 212,964 | |||||||
SHORT-TERM INVESTMENTS - 3.6% | ||||||||
243,538 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.01% ^ | 243,538 | ||||||
(Cost - $243,538) |
See accompanying notes to financial statements.
47
SCHEDULES OF INVESTMENTS |
SMALL CAPITALIZATION PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Principal | ||||||||
COLLATERAL FOR SECURITIES LOANED - 1.3% | ||||||||
REPURCHASE AGREEMENTS - 1.3% | ||||||||
$ | 88,854 | BofA Securities, Inc., dated 02/26/2021, due 03/01/21, 0.01%, total to be received $88,854 | $ | 88,854 | ||||
(Collateralized by a US Treasury Note, due 11/15/2026, 2.000%, totaling $90,631) | ||||||||
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $88,854) | ||||||||
TOTAL INVESTMENTS - 103.7% (Cost - $4,679,583) | $ | 6,944,803 | ||||||
LIABILITIES LESS OTHER ASSETS - (3.7)% | (246,221 | ) | ||||||
NET ASSETS - 100.0% | $ | 6,698,582 |
* | Non-income producing securities. |
+ | All or a portion of the security is on loan. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on February 28, 2021. |
See accompanying notes to financial statements.
48
SCHEDULES OF INVESTMENTS |
INTERNATIONAL EQUITY PORTFOLIO (Unaudited) |
February 28, 2021 |
Shares | Value | |||||||
COMMON STOCK - 96.8% | ||||||||
ASSET MANAGEMENT - 2.2% | ||||||||
6,320 | UBS Group A.G. | $ | 98,801 | |||||
AUTOMOTIVE - 5.3% | ||||||||
1,270 | Kia Motors Corporation | 89,545 | ||||||
6,680 | Tata Motors Ltd. - ADR * | 146,893 | ||||||
236,438 | ||||||||
BANKING - 13.8% | ||||||||
13,000 | Banco Santander Brasil S.A. - ADR + | 86,840 | ||||||
46,920 | Barclays plc | 105,081 | ||||||
16,000 | Chiba Bank Ltd. (The) | 102,524 | ||||||
17,200 | China Merchants Bank Company Ltd. | 131,887 | ||||||
900 | Macquarie Group Ltd. | 99,125 | ||||||
6,290 | Sberbank of Russia PJSC - ADR | 91,205 | ||||||
616,662 | ||||||||
BEVERAGES - 4.4% | ||||||||
610 | Carlsberg A/S | 96,365 | ||||||
50,000 | Tingyi Cayman Islands Holding Corporation | 100,275 | ||||||
196,640 | ||||||||
BIOTECHNOLOGY & PHARMACEUTICALS - 5.8% | ||||||||
1,430 | Dr Reddy’s Laboratories Ltd. - ADR | 85,757 | ||||||
570 | Merck KGaA | 93,221 | ||||||
240 | Roche Holding A.G. | 79,112 | ||||||
258,090 | ||||||||
CHEMICALS - 2.6% | ||||||||
610 | Kumho Petrochemical Company Ltd. | 114,292 | ||||||
COMMERCIAL SUPPORT SERVICES - 2.1% | ||||||||
1,070 | Eurofins Scientific S.E. * | 95,551 | ||||||
CONSTRUCTION MATERIALS - 4.4% | ||||||||
14,500 | Anhui Conch Cement Company Ltd. | 93,170 | ||||||
1,900 | Cie de Saint-Gobain * | 102,789 | ||||||
195,959 | ||||||||
E-COMMERCE DISCRETIONARY - 2.2% | ||||||||
1,050 | JD.Com, Inc. - ADR * | 98,564 | ||||||
ELECTRIC UTILITIES - 2.0% | ||||||||
9,360 | Enel SpA | 88,785 | ||||||
ENGINEERING & CONSTRUCTION - 1.5% | ||||||||
4,150 | CIMIC Group Ltd. *+ | 68,639 | ||||||
ENTERTAINMENT CONTENT - 2.1% | ||||||||
2,900 | Nexon Company Ltd. | 91,359 | ||||||
FOOD - 1.7% | ||||||||
3,800 | Ajinomoto Company, Inc. | 75,755 | ||||||
INSURANCE - 6.2% | ||||||||
1,540 | Ageas S.A./NV | 86,838 | ||||||
373 | Allianz S.E. | 90,568 | ||||||
5,040 | Manulife Financial Corporation | 100,397 | ||||||
277,803 | ||||||||
MACHINERY - 4.8% | ||||||||
7,790 | Husqvarna A.B. | 95,768 | ||||||
76,400 | Zoomlion Heavy Industry Science and Technology Company Ltd. | 116,369 | ||||||
212,137 | ||||||||
MEDICAL EQUIPMENT & DEVICES - 2.1% | ||||||||
4,400 | Olympus Corporation | 92,754 |
See accompanying notes to financial statements.
49
SCHEDULES OF INVESTMENTS |
INTERNATIONAL EQUITY PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Shares | Value | |||||||
COMMON STOCK - 96.8% (Continued) | ||||||||
METALS & MINING - 5.3% | ||||||||
3,110 | Anglo American plc | $ | 121,096 | |||||
3,000 | BHP Group Ltd. | 114,102 | ||||||
235,198 | ||||||||
OIL & GAS PRODUCERS - 2.9% | ||||||||
5,280 | BP plc - ADR | 128,885 | ||||||
RETAIL CONSUMER STAPLES - 2.0% | ||||||||
30,610 | Wal-Mart de Mexico S.A.B. de C.V. | 87,158 | ||||||
RETAIL DISCRETIONARY - 4.3% | ||||||||
4,560 | Hennes & Mauritz A.B. * | 107,820 | ||||||
22,330 | Kingfisher plc * | 83,056 | ||||||
190,876 | ||||||||
SEMICONDUCTORS - 2.1% | ||||||||
23,000 | Vanguard International Semiconductor Corporation | 95,790 | ||||||
TECHNOLOGY HARDWARE - 12.1% | ||||||||
10,000 | Asustek Computer, Inc. | 109,146 | ||||||
111,000 | Lenovo Group Ltd. | 140,292 | ||||||
100 | Nintendo Company Ltd. | 61,189 | ||||||
1,200 | Sony Corporation | 126,787 | ||||||
8,100 | Telefonaktiebolaget LM Ericsson | 101,745 | ||||||
539,159 | ||||||||
TRANSPORTATION EQUIPMENT - 2.8% | ||||||||
42,000 | Weichai Power Company Ltd. | 123,611 | ||||||
WHOLESALE - DISCRETIONARY - 2.1% | ||||||||
2,200 | Toyota Tsusho Corporation | 92,847 | ||||||
TOTAL COMMON STOCK (Cost - $3,327,496) | 4,311,753 | |||||||
TOTAL INVESTMENTS - 96.8% (Cost - $3,327,496) | $ | 4,311,753 | ||||||
OTHER ASSETS LESS LIABILITIES - 3.2% | 143,870 | |||||||
NET ASSETS - 100.0% | $ | 4,455,623 |
* | Non-income producing security. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on February 28, 2021. |
+ | All or a portion of the security is on loan. |
ADR - American Depositary Receipt
Ltd. - Limited Company
plc - Public Limited Company
See accompanying notes to financial statements.
50
SCHEDULES OF INVESTMENTS |
INTERNATIONAL EQUITY PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Country | Percent of Net Assets | |||
Japan | 14.4 | % | ||
China | 10.4 | % | ||
United Kingdom | 9.8 | % | ||
Sweden | 6.9 | % | ||
Australia | 6.3 | % | ||
India | 5.2 | % | ||
Taiwan | 4.6 | % | ||
South Korea | 4.6 | % | ||
Cayman Islands | 4.5 | % | ||
Germany | 4.1 | % | ||
Switzerland | 4.0 | % | ||
Hong Kong | 3.2 | % | ||
France | 2.3 | % | ||
Canada | 2.2 | % | ||
Denmark | 2.2 | % | ||
Luxembourg | 2.1 | % | ||
Russia | 2.1 | % | ||
Italy | 2.0 | % | ||
Mexico | 2.0 | % | ||
Brazil | 2.0 | % | ||
Belgium | 1.9 | % | ||
Other Assets Less Liabilities | 3.2 | % | ||
Net Assets | 100.0 | % |
See accompanying notes to financial statements.
51
SCHEDULES OF INVESTMENTS |
HEALTH & BIOTECHNOLOGY PORTFOLIO (Unaudited) |
February 28, 2021 |
Shares | Value | |||||||
COMMON STOCK - 97.7% | ||||||||
BIOTECHNOLOGY & PHARMACEUTICALS - 45.1% | ||||||||
2,965 | AbbVie, Inc. | $ | 319,449 | |||||
2,780 | Alexion Pharmaceuticals, Inc. * | 424,645 | ||||||
2,685 | Amgen, Inc. | 603,910 | ||||||
1,805 | Biogen, Inc. * | 492,548 | ||||||
14,929 | Exelixis, Inc. * | 323,362 | ||||||
6,420 | Gilead Sciences, Inc. | 394,188 | ||||||
15,045 | GlaxoSmithKline plc - ADR + | 505,663 | ||||||
1,555 | Jazz Pharmaceuticals plc * | 261,302 | ||||||
1,455 | Johnson & Johnson | 230,559 | ||||||
4,935 | Merck & Company, Inc. | 358,380 | ||||||
5,795 | Novartis A.G. - ADR | 497,848 | ||||||
720 | Regeneron Pharmaceuticals, Inc. * | 324,410 | ||||||
3,615 | United Therapeutics Corporation * | 604,356 | ||||||
1,070 | Vertex Pharmaceuticals, Inc. * | 227,429 | ||||||
5,568,049 | ||||||||
HEALTH CARE FACILITIES & SERVICES - 28.8% | ||||||||
3,000 | AmerisourceBergen Corporation | 303,660 | ||||||
1,740 | Anthem, Inc. | 527,551 | ||||||
6,336 | Cardinal Health, Inc. | 326,431 | ||||||
2,235 | Charles River Laboratories International, Inc. * | 639,523 | ||||||
630 | Humana, Inc. | 239,180 | ||||||
4,166 | McKesson Corporation | 706,220 | ||||||
2,910 | Quest Diagnostics, Inc. | 336,367 | ||||||
1,450 | UnitedHealth Group, Inc. | 481,719 | ||||||
3,560,651 | ||||||||
MEDICAL EQUIPMENT & DEVICES - 23.8% | ||||||||
7,089 | Alcon, Inc. * | 484,888 | ||||||
1,327 | Illumina, Inc. * | 583,097 | ||||||
43 | Intuitive Surgical, Inc. * | 316,824 | ||||||
5,025 | Medtronic plc | 587,774 | ||||||
2,155 | Stryker Corporation | 522,997 | ||||||
2,740 | Zimmer Biomet Holdings, Inc. | 446,784 | ||||||
2,942,364 | ||||||||
TOTAL COMMON STOCK (Cost - $9,481,888) | 12,071,064 | |||||||
SHORT-TERM INVESTMENTS - 0.9% | ||||||||
108,847 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.01% ^ | 108,847 | ||||||
(Cost - $108,847) | ||||||||
TOTAL INVESTMENTS - 98.6% (Cost - $9,590,735) | $ | 12,179,911 | ||||||
OTHER ASSETS AND LIABILITIES - 1.4% | 168,241 | |||||||
NET ASSETS - 100.0% | $ | 12,348,152 |
* | Non-income producing securities. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on February 28, 2021. |
ADR - American Depository Receipt
plc - Public Limited Company
See accompanying notes to financial statements.
52
SCHEDULES OF INVESTMENTS |
TECHNOLOGY & COMMUNICATIONS PORTFOLIO (Unaudited) |
February 28, 2021 |
Shares | Value | |||||||
COMMON STOCK - 99.5% | ||||||||
E-COMMERCE DISCRETIONARY - 12.4% | ||||||||
1,713 | Amazon.com, Inc. * | $ | 5,298,189 | |||||
38,100 | eBay, Inc. | 2,149,602 | ||||||
7,447,791 | ||||||||
INTERNET MEDIA & SERVICES - 17.5% | ||||||||
1,489 | Alphabet, Inc. - Cl. A * | 3,010,624 | ||||||
2,001 | Alphabet, Inc. - Cl. C * | 4,075,757 | ||||||
13,404 | Facebook, Inc. * | 3,453,138 | ||||||
10,539,519 | ||||||||
LEISURE FACILITIES & SERVICES - 2.9% | ||||||||
28,230 | DraftKings, Inc. * | 1,736,992 | ||||||
REIT - 1.5% | ||||||||
6,915 | Digital Realty Trust, Inc. | 931,658 | ||||||
SEMICONDUCTORS - 20.1% | ||||||||
39,600 | Intel Corporation | 2,406,888 | ||||||
9,895 | KLA Corporation | 3,079,621 | ||||||
21,220 | QUALCOMM, Inc. | 2,889,952 | ||||||
9,300 | Skyworks Solutions, Inc. | 1,653,726 | ||||||
16,035 | Xilinx, Inc. | 2,089,360 | ||||||
12,119,547 | ||||||||
SOFTWARE - 20.3% | ||||||||
14,190 | Akamai Technologies, Inc. * | 1,340,955 | ||||||
6,000 | Citrix Systems, Inc. | 801,480 | ||||||
11,880 | Microsoft Corporation | 2,760,674 | ||||||
36,849 | Oracle Corporation | 2,377,129 | ||||||
7,120 | salesforce.com, Inc. * | 1,541,480 | ||||||
8,285 | Synopsys, Inc. * | 2,031,565 | ||||||
9,700 | VMware, Inc. * | 1,340,637 | ||||||
12,193,920 | ||||||||
TECHNOLOGY HARDWARE - 8.6% | ||||||||
27,289 | Apple, Inc. | 3,309,064 | ||||||
41,505 | Cisco Systems, Inc. | 1,862,329 | ||||||
5,171,393 | ||||||||
TECHNOLOGY SERVICES - 16.2% | ||||||||
17,805 | Amdocs Ltd. | 1,349,797 | ||||||
8,412 | Global Payments, Inc. | 1,665,492 | ||||||
7,795 | Jack Henry & Associates, Inc. | 1,157,090 | ||||||
4,139 | Mastercard, Inc. | 1,464,585 | ||||||
8,010 | PayPal Holdings, Inc. * | 2,081,399 | ||||||
9,502 | Visa, Inc. | 2,018,130 | ||||||
9,736,493 | ||||||||
TOTAL COMMON STOCK (Cost - $19,491,551) | 59,877,313 | |||||||
SHORT-TERM INVESTMENTS - 0.9% | ||||||||
545,329 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.01% ^ | 545,329 | ||||||
(Cost - $545,329) | ||||||||
Principal | ||||||||
COLLATERAL FOR SECURITIES LOANED - 1.4% | ||||||||
REPURCHASE AGREEMENTS - 1.4% | ||||||||
$ | 871,363 | Credit Suisse AG, dated 2/26/21, due 3/1/21, 0.030%, total to be received $871,365 | 871,363 | |||||
(Collateralized by various U.S. Treasury Obligations, 03/01/23-04/01/53, 0.000%-7.000%, totaling $887,067) | ||||||||
TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $871,363) |
See accompanying notes to financial statements.
53
SCHEDULES OF INVESTMENTS |
TECHNOLOGY & COMMUNICATIONS PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Shares | Value | |||||||
TOTAL INVESTMENTS - 101.8% (Cost - $20,923,947) | $ | 61,294,005 | ||||||
LIABILITIES LESS OTHER ASSETS - (1.8)% | (1,112,454 | ) | ||||||
NET ASSETS - 100.0% | $ | 60,181,551 |
* | Non-income producing securities. |
+ | All or a portion of the security is on loan. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on February 28, 2021. |
REIT - Real Estate Investment Trust
See accompanying notes to financial statements.
54
SCHEDULES OF INVESTMENTS |
ENERGY & BASIC MATERIALS PORTFOLIO (Unaudited) |
February 28, 2021 |
Shares | Value | |||||||
COMMON STOCK - 85.5% | ||||||||
CHEMICALS - 17.5% | ||||||||
1,087 | BASF S.E. - ADR | $ | 22,273 | |||||
223 | Covestro A.G. - ADR | 8,057 | ||||||
320 | Dow, Inc. | 18,979 | ||||||
199 | DuPont de Nemours, Inc. | 13,994 | ||||||
212 | Eastman Chemical Company | 23,163 | ||||||
541 | Huntsman Corporation | 14,769 | ||||||
122 | Linde plc | 29,801 | ||||||
277 | LyondellBasell Industries N.V. | 28,556 | ||||||
883 | Mosaic Company (The) | 25,960 | ||||||
60 | PPG Industries, Inc. | 8,089 | ||||||
90 | Westlake Chemical Corporation | 7,703 | ||||||
201,344 | ||||||||
CONTAINERS & PACKAGING - 6.9% | ||||||||
1,570 | Amcor plc | 17,176 | ||||||
290 | Berry Global Group, Inc. * | 16,066 | ||||||
472 | International Paper Company | 23,435 | ||||||
514 | Westrock Company | 22,405 | ||||||
79,082 | ||||||||
ENGINEERING & CONSTRUCTION - 0.2% | ||||||||
172 | Technip Energies N.V. - ADR * | 2,179 | ||||||
METALS & MINING - 12.8% | ||||||||
1,340 | B2Gold Corporation | 5,856 | ||||||
680 | Barrick Gold Corporation | 12,696 | ||||||
760 | BHP Group Ltd. - ADR | 57,692 | ||||||
2,134 | Kinross Gold Corporation | 13,295 | ||||||
280 | Rio Tinto plc - ADR | 24,472 | ||||||
1,297 | Teck Resources Ltd. | 27,016 | ||||||
330 | Vale S.A. - ADR | 5,577 | ||||||
146,604 | ||||||||
OIL & GAS PRODUCERS - 42.2% | ||||||||
1,490 | BP plc - ADR | 36,371 | ||||||
524 | Chevron Corporation | 52,400 | ||||||
371 | China Petroleum & Chemical Corporation - ADR | 20,412 | ||||||
160 | Cimarex Energy Company | 9,278 | ||||||
347 | Diamondback Energy, Inc. | 24,040 | ||||||
1,270 | Ecopetrol S.A. - ADR | 15,558 | ||||||
393 | Enbridge, Inc. | 13,287 | ||||||
130 | EOG Resources, Inc. | 8,393 | ||||||
840 | EQT Corporation | 14,944 | ||||||
2,261 | Equitrans Midstream Corporation | 16,347 | ||||||
1,308 | Exxon Mobil Corporation | 71,116 | ||||||
474 | HollyFrontier Corporation | 17,955 | ||||||
412 | LUKOIL PJSC - ADR | 30,694 | ||||||
579 | Marathon Petroleum Corporation | 31,625 | ||||||
160 | ONEOK, Inc. | 7,086 | ||||||
1,067 | PetroChina Company Ltd. - ADR | 38,156 | ||||||
650 | Petroleo Brasileiro S.A. - ADR | 5,155 | ||||||
717 | Royal Dutch Shell plc - ADR | 27,877 | ||||||
941 | TOTAL S.E. - ADR | 43,662 | ||||||
484,356 | ||||||||
OIL & GAS SERVICES & EQUIPMENT - 2.2% | ||||||||
774 | Baker Hughes Company | 18,948 | ||||||
860 | TechnipFMC plc | 7,069 | ||||||
26,017 | ||||||||
STEEL - 3.7% | ||||||||
290 | Nucor Corporation | 17,348 | ||||||
600 | Steel Dynamics, Inc. | 24,948 | ||||||
42,296 | ||||||||
TOTAL COMMON STOCK (Cost - $822,569) | 981,878 |
See accompanying notes to financial statements.
55
SCHEDULES OF INVESTMENTS |
ENERGY & BASIC MATERIALS PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Shares | Value | |||||||
SHORT-TERM INVESTMENTS - 1.5% | ||||||||
17,173 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.01% ^ | $ | 17,173 | |||||
(Cost - $17,173) | ||||||||
TOTAL INVESTMENTS - 87.0% (Cost - $839,742) | $ | 999,051 | ||||||
OTHER ASSETS AND LIABILITIES - 13.0% | 149,208 | |||||||
NET ASSETS - 100.0% | $ | 1,148,259 |
* | Non-income producing securities. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on February 28, 2021. |
ADR - American Depositary Receipt
Ltd. - Limited Company
plc - Public Limited Company
See accompanying notes to financial statements.
56
SCHEDULES OF INVESTMENTS |
FINANCIAL SERVICES PORTFOLIO (Unaudited) |
February 28, 2021 |
Shares | Value | |||||||
COMMON STOCK - 97.4% | ||||||||
ASSET MANAGEMENT - 12.5% | ||||||||
50 | Ameriprise Financial, Inc. | $ | 11,062 | |||||
83 | BlackRock, Inc. | 57,644 | ||||||
516 | Charles Schwab Corporation (The) | 31,848 | ||||||
360 | Invesco Ltd. | 8,071 | ||||||
300 | Raymond James Financial, Inc. | 35,022 | ||||||
638 | Stifel Financial Corporation | 38,969 | ||||||
182,616 | ||||||||
BANKING - 35.4% | ||||||||
1,948 | Bank of America Corporation | 67,615 | ||||||
230 | BOK Financial Corporation | 19,794 | ||||||
987 | Citigroup, Inc. | 65,024 | ||||||
466 | JPMorgan Chase & Company | 68,581 | ||||||
315 | PNC Financial Services Group, Inc. (The) | 53,033 | ||||||
511 | Popular, Inc. | 34,145 | ||||||
1,880 | Regions Financial Corporation | 38,784 | ||||||
230 | Truist Financial Corporation | 13,101 | ||||||
1,103 | US Bancorp | 55,150 | ||||||
1,939 | Wells Fargo & Company | 70,134 | ||||||
600 | Zions Bancorp NA | 31,902 | ||||||
517,263 | ||||||||
INSTITUTIONAL FINANCIAL SERVICES - 8.3% | ||||||||
590 | Bank of New York Mellon Corporation (The) | 24,874 | ||||||
55 | CME Group, Inc. | 10,984 | ||||||
52 | Goldman Sachs Group, Inc. (The) | 16,613 | ||||||
68 | Intercontinental Exchange, Inc. | 7,501 | ||||||
490 | Morgan Stanley | 37,666 | ||||||
115 | Nasdaq, Inc. | 15,903 | ||||||
119 | State Street Corporation | 8,660 | ||||||
122,201 | ||||||||
INSURANCE - 25.8% | ||||||||
671 | Aflac, Inc. | 32,134 | ||||||
370 | Allstate Corporation (The) | 39,442 | ||||||
310 | American Financial Group, Inc. | 33,077 | ||||||
29 | Aon plc | 6,604 | ||||||
60 | Arthur J Gallagher & Company | 7,188 | ||||||
600 | Berkshire Hathaway, Inc. * | 144,306 | ||||||
244 | Chubb Ltd. | 39,670 | ||||||
60 | Marsh & McLennan Companies, Inc. | 6,913 | ||||||
843 | MetLife, Inc. | 48,557 | ||||||
133 | Progressive Corporation (The) | 11,431 | ||||||
140 | Voya Financial, Inc. | 8,439 | ||||||
377,761 | ||||||||
SPECIALTY FINANCE - 11.7% | ||||||||
1,780 | AGNC Investment Corporation | 28,533 | ||||||
124 | American Express Company | 16,772 | ||||||
240 | Capital One Financial Corporation | 28,846 | ||||||
169 | Discover Financial Services | 15,898 | ||||||
546 | Fidelity National Financial, Inc. | 20,901 | ||||||
290 | First American Financial Corporation | 15,237 | ||||||
170 | OneMain Holdings, Inc. | 7,975 | ||||||
939 | Synchrony Financial | 36,320 | ||||||
170,482 | ||||||||
TECHNOLOGY SERVICES - 3.7% | ||||||||
22 | Moody’s Corporation | 6,048 | ||||||
145 | S&P Global, Inc. | 47,757 | ||||||
53,805 | ||||||||
TOTAL COMMON STOCK (Cost - $917,875) | 1,424,128 |
See accompanying notes to financial statements.
57
SCHEDULES OF INVESTMENTS |
FINANCIAL SERVICES PORTFOLIO (Unaudited) (Continued) |
February 28, 2021 |
Shares | Value | |||||||
SHORT-TERM INVESTMENTS - 2.0% | ||||||||
29,376 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.01% ^ | $ | 29,376 | |||||
(Cost - $29,376) | ||||||||
TOTAL INVESTMENTS - 99.4% (Cost - $947,251) | $ | 1,453,504 | ||||||
OTHER ASSETS AND LIABILITIES - 0.6% | 8,338 | |||||||
NET ASSETS - 100.0% | $ | 1,461,842 |
* | Non-income producing securities. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on February 28, 2021. |
Ltd. - Limited Company
plc - Public Limited Company
See accompanying notes to financial statements.
58
SCHEDULES OF INVESTMENTS |
INVESTMENT QUALITY BOND PORTFOLIO (Unaudited) |
February 28, 2021 |
Shares | Value | |||||||
MUTUAL FUNDS - 61.7% | ||||||||
FIXED INCOME FUNDS - 61.7% | ||||||||
29,430 | Vanguard Short-Term Bond Index Fund - Admiral Class | $ | 318,136 | |||||
198,147 | Vanguard Ultra-Short-Term Bond Fund - Admiral Class | 3,992,657 | ||||||
TOTAL MUTUAL FUNDS (Cost - $4,316,679) | 4,310,793 | |||||||
SHORT-TERM INVESTMENTS - 3.5% | ||||||||
245,000 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.01% ^ | 245,000 | ||||||
(Cost - $245,000) | ||||||||
TOTAL INVESTMENTS - 65.2% (Cost - $4,561,679) | $ | 4,555,793 | ||||||
OTHER ASSETS LESS LIABILITIES - 34.8% | 2,432,598 | |||||||
NET ASSETS - 100.0% | $ | 6,988,391 |
^ | Money Market Fund; interest rate reflects seven-day effective yield on February 28, 2021. |
See accompanying notes to financial statements.
59
SCHEDULE OF INVESTMENTS |
MUNICIPAL BOND PORTFOLIO (Unaudited) |
February 28, 2021 |
Shares | Value | |||||||
OPEN END FUNDS - 84.7% | ||||||||
52,864 | JPMorgan Ultra-Short Municipal Fund - Class I | $ | 531,816 | |||||
2,717 | Vanguard Short-Term Tax-Exempt Fund - Admiral Shares | 43,286 | ||||||
TOTAL OPEN END FUND (Cost - $575,715) | 575,102 | |||||||
SHORT-TERM INVESTMENT - 7.5% | ||||||||
50,752 | Dreyfus Tax Exempt Cash Management - Institutional Class, 0.01% ^ | 50,752 | ||||||
(Cost - $50,752) | ||||||||
TOTAL INVESTMENTS - 92.2% (Cost - $626,467) | $ | 625,854 | ||||||
OTHER ASSETS LESS LIABILITIES - 7.8% | 52,970 | |||||||
NET ASSETS - 100.0% | $ | 678,824 |
^ | Money Market Fund; interest rate reflects seven-day effective yield on February 28, 2021. |
See accompanying notes to financial statements.
60
SCHEDULES OF INVESTMENTS |
U.S. GOVERNMENT MONEY MARKET PORTFOLIO (Unaudited) |
February 28, 2021 |
Principal | Value | |||||||
SHORT-TERM INVESTMENTS - 96.5% | ||||||||
$ | 1,634,535 | BlackRock Liquidity FedFund Institutional Class, 0.04% ^ | $ | 1,634,535 | ||||
1,634,535 | Dreyfus Government Cash Management Class I, 0.03% ^ | 1,634,535 | ||||||
1,634,535 | Federated Hermes Government Obligations Fund Institutional Class, 0.01% ^ | 1,634,535 | ||||||
1,634,536 | JPMorgan US Government Money Market Fund, 0.04% ^ | 1,634,536 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $6,538,141) | 6,538,141 | |||||||
TOTAL INVESTMENTS - 96.5% (Cost - $6,538,141) | $ | 6,538,141 | ||||||
OTHER ASSETS LESS LIABILITIES - 3.5% | 235,443 | |||||||
NET ASSETS - 100.0% | $ | 6,773,584 |
^ | Money Market Fund, interest rate reflects seven-day effective yield on February 28, 2021. |
See accompanying notes to financial statements.
61
SCHEDULES OF INVESTMENTS |
AGGRESSIVE BALANCED ALLOCATION PORTFOLIO (Unaudited) |
February 28, 2021 |
Shares | Value | |||||||
OPEN ENDED FUNDS - 92.8% | ||||||||
11,087 | Eaton Vance Global Macro Absolute Return Fund, Class I | $ | 96,903 | |||||
2,460 | Saratoga Energy & Basic Materials Portfolio, Class I + | 24,823 | ||||||
1,654 | Saratoga Health & Biotechnology Portfolio, Class I + | 35,563 | ||||||
4,571 | Saratoga Large Capitalization Growth Portfolio, Class I + | 127,263 | ||||||
5,656 | Saratoga Large Capitalization Value Portfolio, Class I + * | 160,756 | ||||||
7,976 | Saratoga Mid Capitalization Portfolio, Class I + | 105,441 | ||||||
1,212 | Saratoga Technology & Communications Portfolio, Class I + | 36,010 | ||||||
716 | Vanguard Financials Index Fund, Admiral Class | 28,757 | ||||||
886 | Vanguard Small-Cap Index Fund, Admiral Class | 89,622 | ||||||
2,152 | Vanguard Total International Stock Index Fund, Admiral Class | 71,395 | ||||||
6,009 | Vanguard Ultra-Short-Term Bond Fund, Admiral Class | 121,072 | ||||||
TOTAL OPEN ENDED FUNDS (Cost - $838,153) | 897,605 | |||||||
SHORT-TERM INVESTMENT - 16.0% | ||||||||
154,951 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.01% ^ | |||||||
(Cost - $154,951) | 154,951 | |||||||
TOTAL INVESTMENTS - 108.8% (Cost - $993,104) | $ | 1,052,556 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (8.8)% | (85,757 | ) | ||||||
NET ASSETS - 100.0% | $ | 966,799 |
+ | Affiliated investment. |
* | Non-income producing security. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on February 28, 2021. |
See accompanying notes to financial statements.
62
SCHEDULES OF INVESTMENTS |
CONSERVATIVE BALANCED ALLOCATION PORTFOLIO (Unaudited) |
February 28, 2021 |
Shares | Value | |||||||
OPEN ENDED FUNDS - 85.3% | ||||||||
23,190 | Eaton Vance Global Macro Absolute Return Fund, Class I | $ | 202,681 | |||||
11,935 | Saratoga Large Capitalization Growth Portfolio, Class I + | 332,269 | ||||||
14,742 | Saratoga Large Capitalization Value Portfolio, Class I + * | 418,976 | ||||||
21,043 | Saratoga Mid Capitalization Portfolio, Class I + | 278,189 | ||||||
625 | Vanguard Small-Cap Index Fund, Admiral Class | 63,211 | ||||||
1,283 | Vanguard Total International Stock Index Fund, Admiral Class | 42,570 | ||||||
40,770 | Vanguard Ultra-Short-Term Bond Fund, Admiral Class | 821,523 | ||||||
TOTAL OPEN ENDED FUNDS (Cost - $2,049,315) | 2,159,419 | |||||||
SHORT-TERM INVESTMENT - 25.3% | ||||||||
641,211 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.01% ^ | |||||||
(Cost - $641,211) | 641,211 | |||||||
TOTAL INVESTMENTS - 110.6% (Cost - $2,690,526) | $ | 2,800,630 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (10.6)% | (269,279 | ) | ||||||
NET ASSETS - 100.0% | $ | 2,531,351 |
+ | Affiliated investment. |
* | Non-income producing security. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on February 28, 2021. |
See accompanying notes to financial statements.
63
SCHEDULES OF INVESTMENTS |
MODERATE BALANCED ALLOCATION PORTFOLIO (Unaudited) |
February 28, 2021 |
Shares | Value | |||||||
OPEN ENDED FUNDS - 90.8% | ||||||||
14,849 | Eaton Vance Global Macro Absolute Return Fund, Class I | $ | 129,778 | |||||
2,283 | Saratoga Energy & Basic Materials Portfolio, Class I + | 23,039 | ||||||
1,545 | Saratoga Health & Biotechnology Portfolio, Class I + | 33,214 | ||||||
8,296 | Saratoga Large Capitalization Growth Portfolio, Class I + | 230,965 | ||||||
10,316 | Saratoga Large Capitalization Value Portfolio, Class I + * | 293,189 | ||||||
14,534 | Saratoga Mid Capitalization Portfolio, Class I + | 192,133 | ||||||
1,298 | Saratoga Technology & Communications Portfolio, Class I + | 38,564 | ||||||
664 | Vanguard Financials Index Fund, Admiral Class | 26,683 | ||||||
722 | Vanguard Small-Cap Index Fund, Admiral Class | 72,992 | ||||||
1,451 | Vanguard Total International Stock Index Fund, Admiral Class | 48,131 | ||||||
18,911 | Vanguard Ultra-Short-Term Bond Fund, Admiral Class | 381,053 | ||||||
TOTAL OPEN ENDED FUNDS (Cost - $1,359,041) | 1,469,741 | |||||||
SHORT-TERM INVESTMENT - 27.6% | ||||||||
447,526 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.01% ^ | |||||||
(Cost - $447,526) | 447,526 | |||||||
TOTAL INVESTMENTS - 118.4% (Cost - $1,806,567) | $ | 1,917,267 | ||||||
LIABILITIES IN EXCESS OF LIABILITIES - (18.4)% | (298,002 | ) | ||||||
NET ASSETS - 100.0% | $ | 1,619,265 |
+ | Affiliated investment. |
* | Non-income producing security. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on February 28, 2021. |
See accompanying notes to financial statements.
64
SCHEDULES OF INVESTMENTS |
MODERATELY AGGRESSIVE BALANCED ALLOCATION PORTFOLIO (Unaudited) |
February 28, 2021 |
Shares | Value | |||||||
OPEN ENDED FUNDS - 92.4% | ||||||||
7,544 | Eaton Vance Global Macro Absolute Return Fund, Class I | $ | 65,931 | |||||
1,716 | Saratoga Energy & Basic Materials Portfolio, Class I + | 17,319 | ||||||
979 | Saratoga Health & Biotechnology Portfolio, Class I + | 21,059 | ||||||
4,031 | Saratoga Large Capitalization Growth Portfolio, Class I + | 112,217 | ||||||
5,006 | Saratoga Large Capitalization Value Portfolio, Class I + * | 142,257 | ||||||
7,752 | Saratoga Mid Capitalization Portfolio, Class I + | 102,477 | ||||||
734 | Saratoga Technology & Communications Portfolio, Class I + | 21,803 | ||||||
377 | Vanguard Financials Index Fund, Admiral Class | 15,133 | ||||||
570 | Vanguard Small-Cap Index Fund, Admiral Class | 57,633 | ||||||
1,179 | Vanguard Total International Stock Index Fund, Admiral Class | 39,097 | ||||||
8,210 | Vanguard Ultra-Short-Term Bond Fund, Admiral Class | 165,435 | ||||||
TOTAL OPEN ENDED FUNDS (Cost - $694,518) | 760,361 | |||||||
SHORT-TERM INVESTMENT - 19.2% | ||||||||
157,849 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.01% ^ | 157,849 | ||||||
(Cost - $157,849) | ||||||||
TOTAL INVESTMENTS - 111.6% (Cost - $852,367) | $ | 918,210 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (11.6)% | (95,685 | ) | ||||||
NET ASSETS - 100.0% | $ | 822,525 |
+ | Affiliated investment. |
* | Non-income producing security. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on February 28, 2021. |
See accompanying notes to financial statements.
65
SCHEDULES OF INVESTMENTS |
MODERATELY CONSERVATIVE BALANCED ALLOCATION PORTFOLIO (Unaudited) |
February 28, 2021 |
Shares | Value | |||||||
OPEN ENDED FUNDS - 99.8% | ||||||||
7,508 | Eaton Vance Global Macro Absolute Return Fund, Class I | $ | 65,619 | |||||
3,861 | Saratoga Large Capitalization Growth Portfolio, Class I + | 107,502 | ||||||
4,744 | Saratoga Large Capitalization Value Portfolio, Class I + * | 134,815 | ||||||
7,083 | Saratoga Mid Capitalization Portfolio, Class I + | 93,632 | ||||||
530 | Vanguard Small-Cap Index Fund, Admiral Class | 53,612 | ||||||
1,074 | Vanguard Total International Stock Index Fund, Admiral Class | 35,613 | ||||||
11,777 | Vanguard Ultra-Short-Term Bond Fund, Admiral Class | 237,297 | ||||||
TOTAL OPEN ENDED FUNDS (Cost - $682,166) | 728,090 | |||||||
SHORT-TERM INVESTMENT - 22.0% | ||||||||
160,267 | Dreyfus Institutional Preferred Government Money Market - Institutional Class, 0.01% ^ | |||||||
(Cost - $160,267) | 160,267 | |||||||
TOTAL INVESTMENTS - 121.8% (Cost - $842,433) | $ | 888,357 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (21.8)% | (158,839 | ) | ||||||
NET ASSETS - 100.0% | $ | 729,518 |
+ | Affiliated investment. |
* | Non-income producing security. |
^ | Money Market Fund; interest rate reflects seven-day effective yield on February 28, 2021. |
See accompanying notes to financial statements.
66
STATEMENTS OF ASSETS AND LIABILITIES |
February 28, 2021 (Unaudited) |
Large | Large | |||||||||||||||||||
Capitalization | Capitalization | Mid | Small | International | ||||||||||||||||
Value | Growth | Capitalization | Capitalization | Equity | ||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||
Assets: | ||||||||||||||||||||
Investments, at cost (including collateral on loaned securities Note 4) | $ | 14,173,930 | $ | 21,283,650 | $ | 8,112,137 | $ | 4,679,583 | $ | 3,327,496 | ||||||||||
Investments in securities, at value (including collateral on loaned securities Note 4) | $ | 16,686,968 | $ | 29,815,953 | $ | 11,225,627 | $ | 6,944,803 | $ | 4,311,753 | ||||||||||
Total Investments, at value | ||||||||||||||||||||
Cash | — | — | — | — | 27,054 | |||||||||||||||
Unrealized appreciation on forward currency exchange contracts | — | — | — | — | 156 | |||||||||||||||
Receivable for securities sold | 141,172 | 1,072,248 | 66,941 | — | 159,410 | |||||||||||||||
Receivable for fund shares sold | 984,963 | 11,574 | 399,001 | 22,074 | 137,705 | |||||||||||||||
Interest and dividends receivable | 10,548 | 38,505 | 14,572 | 4,753 | 28,986 | |||||||||||||||
Prepaid expenses and other assets | 2,187 | 5,159 | 3,580 | 1,263 | 3,276 | |||||||||||||||
Total Assets | 17,825,838 | 30,943,439 | 11,709,721 | 6,972,893 | 4,668,340 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Securities lending collateral (Note 4) | — | — | — | 88,854 | — | |||||||||||||||
Payable for securities purchased | 537,221 | — | 56,951 | — | 146,277 | |||||||||||||||
Payable for fund shares redeemed | 70,416 | 2,911,586 | 93,045 | 167,861 | 45,422 | |||||||||||||||
Payable to manager | 10,092 | 16,548 | 6,461 | 3,210 | 1,480 | |||||||||||||||
Administration fees payable | 5,244 | 15,227 | 5,279 | 2,533 | 2,976 | |||||||||||||||
Custody fees payable | 3,503 | 6,633 | 4,317 | 5,721 | 6,189 | |||||||||||||||
Trustee fees payable | 1,031 | 2,372 | 824 | 372 | 877 | |||||||||||||||
Compliance officer fees payable | 417 | 1,154 | 293 | 204 | 232 | |||||||||||||||
Payable for distribution (12b-1) fees | 185 | 2,486 | 596 | 22 | 32 | |||||||||||||||
Accrued expenses and other liabilities | 8,002 | 15,873 | 9,718 | 5,534 | 9,232 | |||||||||||||||
Total Liabilities | 636,111 | 2,971,879 | 177,484 | 274,311 | 212,717 | |||||||||||||||
Net Assets | $ | 17,189,727 | $ | 27,971,560 | $ | 11,532,237 | $ | 6,698,582 | $ | 4,455,623 | ||||||||||
Net Assets: | ||||||||||||||||||||
Par value of shares of beneficial interest | $ | 6,064 | $ | 10,870 | $ | 8,934 | $ | 7,586 | $ | 3,962 | ||||||||||
Paid in capital | 13,026,563 | 19,373,663 | 8,095,213 | 4,053,290 | 6,435,236 | |||||||||||||||
Accumulated earnings (loss) | 4,157,100 | 8,587,027 | 3,428,090 | 2,637,706 | (1,983,575 | ) | ||||||||||||||
Net Assets | $ | 17,189,727 | $ | 27,971,560 | $ | 11,532,237 | $ | 6,698,582 | $ | 4,455,623 | ||||||||||
Net Asset Value Per Share | ||||||||||||||||||||
Class I | ||||||||||||||||||||
Net Assets | $ | 16,731,602 | $ | 24,239,280 | $ | 9,837,773 | $ | 6,630,314 | $ | 4,336,834 | ||||||||||
Shares of beneficial interest outstanding | 588,703 | 870,813 | 744,039 | 749,856 | 385,705 | |||||||||||||||
Net asset value, redemption price and offering price per share | $ | 28.42 | $ | 27.84 | $ | 13.22 | $ | 8.84 | $ | 11.24 | ||||||||||
Class A | ||||||||||||||||||||
Net Assets | $ | 365,186 | $ | 1,176,232 | $ | 1,532,548 | $ | 67,120 | $ | 118,062 | ||||||||||
Shares of beneficial interest outstanding | 13,517 | 47,662 | 131,713 | 8,385 | 10,436 | |||||||||||||||
Net asset value, redemption price per share | $ | 27.02 | $ | 24.68 | $ | 11.64 | $ | 8.00 | $ | 11.31 | ||||||||||
Offering price per share (maximum sales charge of 5.75%) | $ | 28.67 | $ | 26.19 | $ | 12.35 | $ | 8.49 | $ | 12.00 | ||||||||||
Class C | ||||||||||||||||||||
Net Assets | $ | 92,939 | $ | 2,556,048 | $ | 161,916 | $ | 1,148 | $ | 727 | ||||||||||
Shares of beneficial interest outstanding | 4,158 | 168,571 | 17,662 | 339 | 71 | |||||||||||||||
Net asset value, offering price per share (a) | $ | 22.35 | $ | 15.16 | $ | 9.17 | $ | 3.38 | (b) | $ | 10.23 | (b) |
(a) | Redemption price per C share varies based on length of time shares are held. |
(b) | Does not calculate due to rounding |
See accompanying notes to financial statements.
67
STATEMENTS OF ASSETS AND LIABILITIES |
February 28, 2021 (Unaudited) |
Investment | ||||||||||||||||||||
Health & | Technology & | Energy & Basic | Financial | Quality | ||||||||||||||||
Biotechnology | Communications | Materials | Services | Bond | ||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||
Assets: | ||||||||||||||||||||
Investments in securities, at cost (including collateral on loaned securities Note 4) | $ | 9,590,735 | $ | 20,908,243 | $ | 839,742 | $ | 947,251 | $ | 4,561,679 | ||||||||||
Investments in securities, at value (including collateral on loaned securities Note 4) | $ | 12,179,911 | $ | 61,294,005 | $ | 999,051 | $ | 1,453,504 | $ | 4,555,793 | ||||||||||
Receivable for securities sold | 102,006 | — | — | — | — | |||||||||||||||
Receivable for fund shares sold | 87,270 | 46,270 | 147,289 | 32,099 | 2,441,416 | |||||||||||||||
Interest and dividends receivable | 21,494 | 43,872 | 5,095 | 1,549 | 4,275 | |||||||||||||||
Receivable from manager | — | — | 1,154 | — | — | |||||||||||||||
Prepaid expenses and other assets | 10,940 | 57,093 | 3,520 | 3,304 | 5,048 | |||||||||||||||
Total Assets | 12,401,621 | 61,441,240 | 1,156,109 | 1,490,456 | 7,006,532 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Securities lending collateral (Note 4) | — | 871,363 | — | — | — | |||||||||||||||
Payable for fund shares redeemed | 17,541 | 245,403 | 1,434 | 22,539 | 319 | |||||||||||||||
Payable to manager | 12,097 | 60,161 | — | 206 | 1,938 | |||||||||||||||
Administration fees payable | 4,218 | 21,759 | — | — | 1,263 | |||||||||||||||
Custody fees payable | 2,743 | 5,085 | 2,843 | 2,313 | 1,545 | |||||||||||||||
Trustee fees payable | 929 | 3,125 | 172 | 117 | 374 | |||||||||||||||
Compliance officer fees payable | 466 | 1,427 | 27 | — | 162 | |||||||||||||||
Payable for distribution (12b-1) fees | 4,520 | 14,972 | 39 | 71 | 7,953 | |||||||||||||||
Accrued expenses and other liabilities | 10,955 | 36,394 | 3,335 | 3,368 | 4,587 | |||||||||||||||
Total Liabilities | 53,469 | 388,326 | 7,850 | 28,614 | 18,141 | |||||||||||||||
Net Assets | $ | 12,348,152 | $ | 60,181,551 | $ | 1,148,259 | $ | 1,461,842 | $ | 6,988,391 | ||||||||||
Net Assets: | ||||||||||||||||||||
Par value of shares of beneficial interest | $ | 6,282 | $ | 22,834 | $ | 1,151 | $ | 1,499 | $ | 4,674 | ||||||||||
Paid in capital | 9,548,053 | 17,588,661 | 2,226,795 | 995,066 | 6,812,685 | |||||||||||||||
Accumulated earnings (loss) | 2,793,817 | 42,570,056 | (1,079,687 | ) | 465,277 | 171,032 | ||||||||||||||
Net Assets | $ | 12,348,152 | $ | 60,181,551 | $ | 1,148,259 | $ | 1,461,842 | $ | 6,988,391 | ||||||||||
Net Asset Value Per Share | ||||||||||||||||||||
Class I | ||||||||||||||||||||
Net Assets | $ | 6,692,970 | $ | 32,162,497 | $ | 1,043,174 | $ | 1,249,229 | $ | 6,780,038 | ||||||||||
Shares of beneficial interest outstanding | 311,318 | 1,089,439 | 103,519 | 126,007 | 450,207 | |||||||||||||||
Net asset value, redemption price and offering price per share | $ | 21.50 | $ | 29.52 | $ | 10.08 | $ | 9.91 | $ | 15.06 | ||||||||||
Class A | ||||||||||||||||||||
Net Assets | $ | 4,967,692 | $ | 18,656,723 | $ | 99,390 | $ | 212,502 | $ | 170,764 | ||||||||||
Shares of beneficial interest outstanding | 266,830 | 716,101 | 10,816 | 23,841 | 13,258 | |||||||||||||||
Net asset value, redemption price per share | $ | 18.62 | $ | 26.05 | $ | 9.19 | $ | 8.91 | $ | 12.88 | ||||||||||
Offering price per share (maximum sales charge of 5.75%) | $ | 19.76 | $ | 27.64 | $ | 9.75 | $ | 9.45 | $ | 13.67 | ||||||||||
Class C | ||||||||||||||||||||
Net Assets | $ | 687,490 | $ | 9,362,331 | $ | 5,695 | $ | 111 | $ | 37,589 | ||||||||||
Shares of beneficial interest outstanding | 50,088 | 477,908 | 752 | 15 | 3,895 | |||||||||||||||
Net asset value, offering price per share (a) | $ | 13.73 | $ | 19.59 | $ | 7.57 | $ | 6.05 | (b) | $ | 9.65 |
(a) | Redemption price per C share varies based on length of time shares are held. |
(b) | Does not calculate due to rounding |
See accompanying notes to financial statements.
68
STATEMENTS OF ASSETS AND LIABILITIES |
February 28, 2021 (Unaudited) |
Aggressive | Conservative | Moderate | ||||||||||||||||||
Municipal | U.S. Government | Balanced | Balanced | Balanced | ||||||||||||||||
Bond | Money Market | Allocation | Allocation | Allocation | ||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||
Assets: | ||||||||||||||||||||
Investments in Affiliates, at cost | $ | — | $ | — | $ | 455,843 | $ | 928,626 | $ | 721,045 | ||||||||||
Investments in securities, at cost | 626,467 | 6,538,141 | 537,261 | 1,761,900 | 1,085,522 | |||||||||||||||
Total Investments, at cost | $ | 626,467 | $ | 6,538,141 | $ | 993,104 | $ | 2,690,526 | $ | 1,806,567 | ||||||||||
Investments Affiliates, at value | $ | — | $ | — | $ | 489,856 | $ | 1,029,434 | $ | 811,104 | ||||||||||
Investments in securities, at value | 625,854 | 6,538,141 | 562,700 | 1,771,196 | 1,106,163 | |||||||||||||||
Total Investments, at value | $ | 625,854 | $ | 6,538,141 | $ | 1,052,556 | $ | 2,800,630 | $ | 1,917,267 | ||||||||||
Cash | 7 | — | — | — | — | |||||||||||||||
Receivable for securities sold | — | — | 198,908 | 350,504 | 260,024 | |||||||||||||||
Receivable for fund shares sold | 47,006 | 369,906 | — | — | — | |||||||||||||||
Interest and dividends receivable | 454 | 12,434 | 58 | 6 | 239 | |||||||||||||||
Receivable from manager | 4,651 | 13,898 | 1,221 | 87 | 497 | |||||||||||||||
Prepaid expenses and other assets | 2,105 | 4,691 | 1,631 | 2,213 | 2,688 | |||||||||||||||
Total Assets | 680,077 | 6,939,070 | 1,254,374 | 3,153,440 | 2,180,715 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Payable for securities purchased | 127 | — | 286,849 | 620,188 | 560,266 | |||||||||||||||
Payable for fund shares redeemed | — | 154,366 | — | — | — | |||||||||||||||
Custody fees payable | 595 | 2,732 | 309 | 368 | 254 | |||||||||||||||
Trustee fees payable | 65 | 1,271 | 38 | 172 | 97 | |||||||||||||||
Compliance officer fees payable | 29 | 176 | 30 | 109 | 39 | |||||||||||||||
Payable for distribution (12b-1) fees | — | — | 160 | 506 | 397 | |||||||||||||||
Accrued expenses and other liabilities | 437 | 6,941 | 189 | 746 | 397 | |||||||||||||||
Total Liabilities | 1,253 | 165,486 | 287,575 | 622,089 | 561,450 | |||||||||||||||
Net Assets | $ | 678,824 | $ | 6,773,584 | $ | 966,799 | $ | 2,531,351 | $ | 1,619,265 | ||||||||||
Net Assets: | ||||||||||||||||||||
Par value of shares of beneficial interest | $ | 751 | $ | 67,849 | $ | 846 | $ | 2,254 | $ | 1,403 | ||||||||||
Paid in capital | 693,239 | 6,704,917 | 848,177 | 2,298,637 | 1,437,117 | |||||||||||||||
Accumulated earnings (loss) | (15,166 | ) | 818 | 117,776 | 230,460 | 180,745 | ||||||||||||||
Net Assets | $ | 678,824 | $ | 6,773,584 | $ | 966,799 | $ | 2,531,351 | $ | 1,619,265 | ||||||||||
Net Asset Value Per Share | ||||||||||||||||||||
Class I | ||||||||||||||||||||
Net Assets | $ | 566,157 | $ | 6,218,652 | $ | 756,749 | $ | 1,863,458 | $ | 1,073,383 | ||||||||||
Shares of beneficial interest outstanding | 62,542 | 6,230,619 | 66,168 | 165,606 | 92,831 | |||||||||||||||
Net asset value, redemption price and offering price per share | $ | 9.05 | $ | 1.00 | $ | 11.44 | $ | 11.25 | $ | 11.56 | ||||||||||
Class A | ||||||||||||||||||||
Net Assets | $ | 77,617 | $ | 381,209 | $ | 4,778 | $ | 35,784 | $ | 45,258 | ||||||||||
Shares of beneficial interest outstanding | 8,661 | 381,015 | 419 | 3,182 | 3,916 | |||||||||||||||
Net asset value, redemption price per share | $ | 8.96 | $ | 1.00 | $ | 11.41 | (b) | $ | 11.25 | $ | 11.56 | |||||||||
Offering price per share (maximum sales charge of 5.75%) | $ | 9.51 | $ | 1.06 | $ | 12.11 | $ | 11.94 | $ | 12.27 | ||||||||||
Class C | ||||||||||||||||||||
Net Assets | $ | 35,050 | $ | 173,723 | $ | 205,272 | $ | 632,109 | $ | 500,624 | ||||||||||
Shares of beneficial interest outstanding | 3,878 | 173,299 | 18,008 | 56,604 | 43,521 | |||||||||||||||
Net asset value, offering price per share (a) | $ | 9.04 | $ | 1.00 | $ | 11.40 | $ | 11.17 | $ | 11.50 |
(a) | Redemption price per C share varies based on length of time shares are held. |
(b) | Does not calculate due to rounding. |
See accompanying notes to (consolidated) financial statements.
69
STATEMENTS OF ASSETS AND LIABILITIES |
February 28, 2021 (Unaudited) |
Moderately | Moderately | |||||||
Aggressive Balanced | Conservative | |||||||
Allocation | Balanced Allocation | |||||||
Portfolio | Portfolio | |||||||
Assets: | ||||||||
Investments in Affiliates, at cost | $ | 369,673 | $ | 301,427 | ||||
Investments in Unaffilated securities, at cost | 482,694 | 541,006 | ||||||
Total Investments, at cost | $ | 852,367 | $ | 842,433 | ||||
Investments Affiliates, at value | $ | 417,132 | $ | 335,949 | ||||
Investments in Unaffiated securities, at value | 501,078 | 552,408 | ||||||
Total Investments, at value | $ | 918,210 | $ | 888,357 | ||||
Receivable for securities sold | 135,470 | 114,723 | ||||||
Interest and dividends receivable | 134 | 106 | ||||||
Receivable from manager | 1,571 | 1,683 | ||||||
Prepaid expenses and other assets | 1,426 | 1,324 | ||||||
Total Assets | 1,056,811 | 1,006,193 | ||||||
Liabilities: | ||||||||
Payable for securities purchased | 233,540 | 186,208 | ||||||
Payable for fund shares redeemed | — | 89,162 | ||||||
Custody fees payable | 305 | 299 | ||||||
Trustee fees payable | 32 | 62 | ||||||
Compliance officer fees payable | 31 | 49 | ||||||
Payable for distribution (12b-1) fees | 143 | 122 | ||||||
Accrued expenses and other liabilities | 235 | 773 | ||||||
Total Liabilities | 234,286 | 276,675 | ||||||
Net Assets | $ | 822,525 | $ | 729,518 | ||||
Net Assets: | ||||||||
Par value of shares of beneficial interest | $ | 721 | $ | 656 | ||||
Paid in capital | 714,736 | 630,390 | ||||||
Accumulated earnings | 107,068 | 98,472 | ||||||
Net Assets | $ | 822,525 | $ | 729,518 | ||||
Net Asset Value Per Share | ||||||||
Class I | ||||||||
Net Assets | $ | 629,641 | $ | 572,525 | ||||
Shares of beneficial interest outstanding | 55,103 | 51,325 | ||||||
Net asset value, redemption price and offering price per share | $ | 11.43 | $ | 11.15 | ||||
Class A | ||||||||
Net Assets | $ | 12,700 | $ | 12 | ||||
Shares of beneficial interest outstanding | 1,113 | 1 | ||||||
Net asset value, redemption price per share | $ | 11.41 | $ | 11.16 | (b) | |||
Offering price per share (maximum sales charge of 5.75%) | $ | 12.11 | $ | 11.84 | ||||
Class C | ||||||||
Net Assets | $ | 180,184 | $ | 156,981 | ||||
Shares of beneficial interest outstanding | 15,841 | 14,237 | ||||||
Net asset value, offering price per share (a) | $ | 11.37 | $ | 11.03 |
(a) | Redemption price per C share varies based on length of time shares are held. |
(b) | Does not calculate due to rounding |
See accompanying notes to financial statements.
70
STATEMENTS OF OPERATIONS |
For the Six Months Ended February 28, 2021 (Unaudited) |
Large | Large | |||||||||||||||||||
Capitalization | Capitalization | Mid | Small | International | ||||||||||||||||
Value | Growth | Capitalization | Capitalization | Equity | ||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||
Investment Income: | ||||||||||||||||||||
Dividend income | $ | 106,541 | $ | 135,577 | $ | 72,773 | $ | 33,757 | $ | 50,052 | ||||||||||
Interest income | 170 | 60 | 16 | 41 | 6 | |||||||||||||||
Securities lending income - net | 79 | 551 | 226 | 604 | 134 | |||||||||||||||
Less: Foreign withholding taxes | (524 | ) | — | — | — | (6,856 | ) | |||||||||||||
Total Investment Income | 106,266 | 136,188 | 73,015 | 34,402 | 43,336 | |||||||||||||||
Operating Expenses: | ||||||||||||||||||||
Management fees | 46,417 | 100,804 | 38,590 | 20,488 | 17,628 | |||||||||||||||
Distribution (12b-1) fees | ||||||||||||||||||||
Class A Shares | 642 | 2,462 | 2,794 | 119 | 283 | |||||||||||||||
Class C Shares | 544 | 12,958 | 750 | 6 | 4 | |||||||||||||||
Administration fees | 13,536 | 29,233 | 11,742 | 7,778 | 9,529 | |||||||||||||||
Registration fees | 4,512 | 9,419 | 4,881 | 4,778 | 4,506 | |||||||||||||||
Professional fees | 3,348 | 7,708 | 2,481 | 1,401 | 1,660 | |||||||||||||||
Custodian fees | 3,678 | 5,447 | 5,877 | 6,648 | 12,203 | |||||||||||||||
Trustees’ fees | 1,021 | 2,404 | 748 | 428 | 522 | |||||||||||||||
Compliance officer fees | 1,031 | 2,424 | 756 | 431 | 526 | |||||||||||||||
Printing and postage expense | 2,878 | 4,713 | 3,803 | 2,149 | 2,398 | |||||||||||||||
Insurance expense | 133 | 308 | 100 | 49 | 76 | |||||||||||||||
Shareholder servicing fees | 622 | 3,017 | 992 | 306 | 937 | |||||||||||||||
Miscellaneous expenses | 1,041 | 1,041 | 1,041 | 1,041 | 1,041 | |||||||||||||||
Total Operating Expenses | 79,403 | 181,938 | 74,555 | 45,622 | 51,313 | |||||||||||||||
Less: Expenses waived and/or reimbursed | — | — | — | — | (13,689 | ) | ||||||||||||||
Net Operating Expenses | 79,403 | 181,938 | 74,555 | 45,622 | 37,624 | |||||||||||||||
Net Investment Income (Loss) | 26,863 | (45,750 | ) | (1,540 | ) | (11,220 | ) | 5,712 | ||||||||||||
Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||
Investments and Foreign currency transactions | 1,774,245 | 2,955,804 | 656,198 | 988,790 | 95,949 | |||||||||||||||
Net Realized Gain (Loss) | 1,774,245 | 2,955,804 | 656,198 | 988,790 | 95,949 | |||||||||||||||
Net change in unrealized appreciation (depreciation) on Investments and Foreign currency translations | 1,674,144 | (986,922 | ) | 1,605,765 | 1,060,199 | 899,496 | ||||||||||||||
Net Realized and Unrealized Gain on investments | 3,448,389 | 1,968,882 | 2,261,963 | 2,048,989 | 995,445 | |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 3,475,252 | $ | 1,923,132 | $ | 2,260,423 | $ | 2,037,769 | $ | 1,001,157 |
See accompanying notes to financial statements.
71
STATEMENTS OF OPERATIONS |
For the Six Months Ended February 28, 2021 (Unaudited) |
Investment | ||||||||||||||||||||
Health & | Technology & | Energy & Basic | Financial | Quality | ||||||||||||||||
Biotechnology | Communications | Materials | Services | Bond | ||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||
Investment Income: | ||||||||||||||||||||
Dividend income | $ | 90,680 | $ | 243,351 | $ | 20,029 | $ | 15,538 | $ | 39,575 | ||||||||||
Interest income | 28 | 104 | 2 | 3 | 31 | |||||||||||||||
Securities lending income - net | 209 | 1,767 | — | — | — | |||||||||||||||
Less: Foreign withholding taxes | (226 | ) | — | (783 | ) | (38 | ) | — | ||||||||||||
Total Investment Income | 90,691 | 245,222 | 19,248 | 15,503 | 39,606 | |||||||||||||||
Operating Expenses: | ||||||||||||||||||||
Management fees | 77,807 | 369,655 | 5,822 | 7,303 | 12,325 | |||||||||||||||
Distribution (12b-1) fees | ||||||||||||||||||||
Class A Shares | 9,995 | 36,434 | 188 | 359 | 264 | |||||||||||||||
Class C Shares | 3,537 | 47,656 | 24 | — | 188 | |||||||||||||||
Administration fees | 11,699 | 51,972 | 3,331 | 3,019 | 5,451 | |||||||||||||||
Registration fees | 8,143 | 13,012 | 1,571 | 3,414 | 4,461 | |||||||||||||||
Professional fees | 3,273 | 14,791 | 291 | 297 | 1,133 | |||||||||||||||
Custodian fees | 2,930 | 6,447 | 3,224 | 2,480 | 1,624 | |||||||||||||||
Trustees’ fees | 1,042 | 4,284 | 86 | 86 | 359 | |||||||||||||||
Compliance officer fees | 1,051 | 4,735 | 88 | 87 | 362 | |||||||||||||||
Printing and postage expense | 4,836 | 12,232 | 1,508 | 1,406 | 1,695 | |||||||||||||||
Insurance expense | 161 | 595 | 9 | 13 | 62 | |||||||||||||||
Shareholder servicing fees | 4,138 | 15,214 | 295 | 175 | 298 | |||||||||||||||
Miscellaneous expenses | 1,150 | 1,041 | 1,041 | 1,112 | 1,041 | |||||||||||||||
Total Operating Expenses | 129,762 | 578,068 | 17,478 | 19,751 | 29,263 | |||||||||||||||
Less: Expenses waived | — | — | (3,297 | ) | (1,831 | ) | — | |||||||||||||
Net Operating Expenses | 129,762 | 578,068 | 14,181 | 17,920 | 29,263 | |||||||||||||||
Net Investment Income (Loss) | (39,071 | ) | (332,846 | ) | 5,067 | (2,417 | ) | 10,343 | ||||||||||||
Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||
Investments and Foreign currency transactions | 243,775 | 4,150,399 | (68,714 | ) | 2,532 | 182,989 | ||||||||||||||
Net realized gain (loss) | 243,775 | 4,150,399 | (68,714 | ) | 2,532 | 182,989 | ||||||||||||||
Net change in unrealized appreciation (depreciation) on Investments and Foreign currency transactions | 383,338 | (497,276 | ) | 250,964 | 314,056 | (209,822 | ) | |||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | 627,113 | 3,653,123 | 182,250 | 316,588 | (26,833 | ) | ||||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | 588,042 | $ | 3,320,277 | $ | 187,317 | $ | 314,171 | $ | (16,490 | ) |
See accompanying notes to financial statements.
72
STATEMENTS OF OPERATIONS |
For the Six Months Ended February 28, 2021 (Unaudited) |
Aggressive | Conservative | Moderate | ||||||||||||||||||
Municipal | U.S. Government | Balanced | Balanced | Balanced | ||||||||||||||||
Bond | Money Market | Allocation | Allocation | Allocation | ||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||
Investment Income: | ||||||||||||||||||||
Dividend income | $ | 2,949 | $ | — | $ | 3,401 | $ | 9,604 | $ | 5,452 | ||||||||||
Interest income | 2 | 915 | 16 | 99 | 39 | |||||||||||||||
Dividend income from Affiliates | — | — | 35,228 | 65,483 | 58,410 | |||||||||||||||
Total Investment Income | 2,951 | 915 | 38,645 | 75,186 | 63,901 | |||||||||||||||
Operating Expenses: | ||||||||||||||||||||
Management fees | 1,643 | 14,318 | 4,013 | 10,601 | 6,729 | |||||||||||||||
Distribution (12b-1) fees | ||||||||||||||||||||
Class A Shares | 154 | 773 | 3 | 43 | 45 | |||||||||||||||
Class C Shares | 174 | 860 | 956 | 3,045 | 2,419 | |||||||||||||||
Registration fees | 1,824 | 6,283 | 549 | 2,439 | 948 | |||||||||||||||
Administration fees | 1,895 | 5,464 | 2,419 | 3,642 | 2,914 | |||||||||||||||
Custodian fees | 729 | 3,135 | 296 | 497 | 378 | |||||||||||||||
Printing and postage expense | 193 | 2,999 | 124 | 107 | 79 | |||||||||||||||
Professional fees | 167 | 744 | 218 | 627 | 392 | |||||||||||||||
Shareholder servicing fees | 88 | 110 | 5 | 87 | 25 | |||||||||||||||
Compliance officer fees | 51 | 467 | 66 | 188 | 124 | |||||||||||||||
Trustees’ fees | 50 | 390 | 66 | 187 | 124 | |||||||||||||||
Insurance expense | 7 | 74 | 9 | 29 | 18 | |||||||||||||||
Miscellaneous expenses | 1,041 | 1,041 | 1,182 | 1,253 | 1,126 | |||||||||||||||
Total Operating Expenses | 8,016 | 36,658 | 9,906 | 22,745 | 15,321 | |||||||||||||||
Less: Expenses waived and/or reimbursed | (3,149 | ) | (36,047 | ) | (5,111 | ) | (9,529 | ) | (6,320 | ) | ||||||||||
Net Operating Expenses | 4,867 | 611 | 4,795 | 13,216 | 9,001 | |||||||||||||||
Net Investment Income (Loss) | (1,916 | ) | 304 | 33,850 | 61,970 | 54,900 | ||||||||||||||
Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||||||||||
Net realized gain from: | ||||||||||||||||||||
Investments | 11,199 | — | 17,032 | 53,937 | 21,570 | |||||||||||||||
Affiliated Investments | — | — | 16,002 | 41,531 | 17,435 | |||||||||||||||
Net realized gain | 11,199 | — | 33,034 | 95,468 | 39,005 | |||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Affiliated Investments | — | — | 9,290 | 14,305 | 29,487 | |||||||||||||||
Investments | (11,182 | ) | — | 23,972 | (16,010 | ) | 15,108 | |||||||||||||
Net change in unrealized appreciation (depreciation) | (11,182 | ) | — | 33,262 | (1,705 | ) | 44,595 | |||||||||||||
Net Realized and Unrealized Gain on Investments | 17 | — | 66,296 | 93,763 | 83,600 | |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | (1,899 | ) | $ | 304 | $ | 100,146 | $ | 155,733 | $ | 138,500 |
See accompanying notes to (consolidated) financial statements.
73
STATEMENTS OF OPERATIONS |
For the Six Months Ended February 28, 2021 (Unaudited) |
Moderately | Moderately | |||||||
Aggressive Balanced | Conservative | |||||||
Allocation | Balanced Allocation | |||||||
Portfolio | Portfolio | |||||||
Investment Income: | ||||||||
Dividend income | $ | 3,390 | $ | 3,571 | ||||
Interest income | 13 | 28 | ||||||
Dividend income from Affiliates | 29,836 | 25,845 | ||||||
Total Investment Income | 33,239 | 29,444 | ||||||
Operating Expenses: | ||||||||
Management fees | 3,459 | 3,806 | ||||||
Distribution (12b-1) fees | ||||||||
Class A Shares | 18 | — | ||||||
Class C Shares | 829 | 689 | ||||||
Administration fees | 2,319 | 2,353 | ||||||
Printing and postage expense | 53 | 449 | ||||||
Custodian fees | 246 | 247 | ||||||
Registration fees | 992 | 777 | ||||||
Professional fees | 188 | 258 | ||||||
Compliance officer fees | 59 | 79 | ||||||
Trustees’ fees | 59 | 78 | ||||||
Shareholder servicing fees | 5 | 5 | ||||||
Insurance expense | 7 | 13 | ||||||
Miscellaneous expenses | 1,126 | 1,096 | ||||||
Total Operating Expenses | 9,360 | 9,850 | ||||||
Less: Expenses waived and/or reimbursed | (5,209 | ) | (5,559 | ) | ||||
Net Operating Expenses | 4,151 | 4,291 | ||||||
Net Investment Income | 29,088 | 25,153 | ||||||
Realized and Unrealized Gain on Investments: | ||||||||
Net realized gain from: | ||||||||
Investments | 12,446 | 25,412 | ||||||
Affiliated Investments | 10,429 | 2,900 | ||||||
Net realized gain | 22,875 | 28,312 | ||||||
Net change in unrealized appreciation on: | ||||||||
Investments | 11,801 | (2,315 | ) | |||||
Affiliated Investments | 16,117 | 19,641 | ||||||
Net change in unrealized appreciation | ||||||||
Net change in unrealized appreciation | 27,918 | 17,326 | ||||||
Net Realized and Unrealized Gain on Investments | 50,793 | 45,638 | ||||||
Net Increase in Net Assets Resulting From Operations | $ | 79,881 | $ | 70,791 |
See accompanying notes to financial statements.
74
STATEMENTS OF CHANGES IN NET ASSETS |
Large Capitalization Value | Large Capitalization Growth | Mid Capitalization | ||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | ||||||||||||||||||||||
Period Ended | Year Ended | Period Ended | Year Ended | Period 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) | $ | 26,863 | $ | (22,632 | ) | $ | (45,750 | ) | $ | (61,330 | ) | $ | (1,540 | ) | $ | 20,129 | ||||||||
Net realized gain (loss) on investments | 1,774,245 | (21,483 | ) | 2,955,804 | 2,526,293 | 656,198 | 649,015 | |||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments | 1,674,144 | 632,441 | (986,922 | ) | 6,335,049 | 1,605,765 | (740,249 | ) | ||||||||||||||||
Net increase (decrease) in net assets resulting from operation | 3,475,252 | 588,326 | 1,923,132 | 8,800,012 | 2,260,423 | (71,105 | ) | |||||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Total Distributions Paid: | ||||||||||||||||||||||||
Class I | — | — | (2,327,697 | ) | (3,517,822 | ) | (754,963 | ) | (35,392 | ) | ||||||||||||||
Class A | — | — | (120,213 | ) | (148,748 | ) | (129,740 | ) | (178 | ) | ||||||||||||||
Class C | — | — | (377,270 | ) | (645,613 | ) | (17,823 | ) | — | |||||||||||||||
Total Dividends and Distribution to Shareholders | — | — | (2,825,180 | ) | (4,312,183 | ) | (902,526 | ) | (35,570 | ) | ||||||||||||||
Share Transactions of Beneficial Interest (Note 5): | ||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||
Class I | 2,395,857 | 1,157,261 | 936,176 | 1,928,559 | 646,874 | 778,940 | ||||||||||||||||||
Class A | 1,391 | 31,554 | 68,436 | 116,635 | 4,815 | 8,645 | ||||||||||||||||||
Class C | — | 8,693 | 38,598 | 174,335 | — | 3,940 | ||||||||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||||||||||
Class I | — | — | 2,107,325 | 3,191,266 | 703,634 | 32,557 | ||||||||||||||||||
Class A | — | — | 117,708 | 143,727 | 127,091 | 173 | ||||||||||||||||||
Class C | — | — | 368,539 | 629,083 | 8,094 | — | ||||||||||||||||||
Redemption fee proceeds | ||||||||||||||||||||||||
Class I | — | — | — | — | — | — | ||||||||||||||||||
Class A | — | — | — | — | — | — | ||||||||||||||||||
Class C | — | — | — | — | — | — | ||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||
Class I | (1,352,734 | ) | (2,760,823 | ) | (6,398,004 | ) | (5,501,191 | ) | (810,725 | ) | (1,445,700 | ) | ||||||||||||
Class A | (4,100 | ) | (65,754 | ) | (211,679 | ) | (245,687 | ) | (71,354 | ) | (155,163 | ) | ||||||||||||
Class C | (45,592 | ) | (156,667 | ) | (304,079 | ) | (1,457,222 | ) | (1,219 | ) | (109,258 | ) | ||||||||||||
Net decrease in net assets from share transactions of beneficial interest | 994,822 | (1,785,736 | ) | (3,276,980 | ) | (1,020,495 | ) | 607,210 | (885,866 | ) | ||||||||||||||
Total Increase (Decrease) in Net Assets | 4,470,074 | (1,197,410 | ) | (4,179,028 | ) | 3,467,334 | 1,965,107 | (992,541 | ) | |||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of year | 12,719,653 | 13,917,063 | 32,150,588 | 28,683,254 | 9,567,130 | 10,559,671 | ||||||||||||||||||
End of year | $ | 17,189,727 | $ | 12,719,653 | $ | 27,971,560 | $ | 32,150,588 | $ | 11,532,237 | $ | 9,567,130 |
See accompanying notes to financial statements.
75
STATEMENTS OF CHANGES IN NET ASSETS |
Small Capitalization | International Equity | Health & Biotechnology | ||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | ||||||||||||||||||||||
Period Ended | Year Ended | Period Ended | Year Ended | Period Ended | Year Ended | |||||||||||||||||||
February 28, 2021 | August 31, 2019 | February 28, 2021 | August 31, 2020 | February 28, 2021 | August 31, 2020 | |||||||||||||||||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | (11,220 | ) | $ | (23,430 | ) | $ | 5,712 | $ | 83,107 | $ | (39,071 | ) | $ | (22,982 | ) | ||||||||
Net realized loss on investments and foreign currency transactions | 988,790 | (240,715 | ) | 95,949 | (259,430 | ) | 243,775 | 1,509,451 | ||||||||||||||||
Distribution of realized gains by underlying investment companies | — | — | — | — | — | — | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions | 1,060,199 | 687,572 | 899,496 | 362,150 | 383,338 | 125,197 | ||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 2,037,769 | 423,427 | 1,001,157 | 185,827 | 588,042 | 1,611,666 | ||||||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Total Distributions Paid: | ||||||||||||||||||||||||
Class I | — | (1,010 | ) | (71,813 | ) | (170,545 | ) | (748,518 | ) | (284,539 | ) | |||||||||||||
Class A | — | — | (564 | ) | (6,388 | ) | (619,728 | ) | (244,485 | ) | ||||||||||||||
Class C | — | — | — | — | (113,339 | ) | (45,652 | ) | ||||||||||||||||
Total Dividends and Distributions to Shareholders | — | (1,010 | ) | (72,377 | ) | (176,933 | ) | (1,481,585 | ) | (574,676 | ) | |||||||||||||
Share Transactions of Beneficial Interest (Note 5): | ||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||
Class I | 421,740 | 424,519 | 451,001 | 339,076 | 338,170 | 557,514 | ||||||||||||||||||
Class A | 657 | 6,217 | 209 | 1,232 | 5,470 | 183,409 | ||||||||||||||||||
Class C | — | 2,038 | — | 1,708 | 3,800 | 73,667 | ||||||||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||||||||||
Class I | — | 924 | 66,589 | 162,828 | 704,772 | 269,184 | ||||||||||||||||||
Class A | — | — | 556 | 6,388 | 581,914 | 229,936 | ||||||||||||||||||
Class C | — | — | — | — | 108,888 | 43,013 | ||||||||||||||||||
Redemption fee proceeds | ||||||||||||||||||||||||
Class I | — | — | — | — | — | — | ||||||||||||||||||
Class A | — | — | — | — | — | — | ||||||||||||||||||
Class C | — | — | — | — | ��� | — | ||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||
Class I | (1,171,531 | ) | (837,810 | ) | (3,362,251 | ) | (2,556,406 | ) | (675,778 | ) | (1,569,953 | ) | ||||||||||||
Class A | (5,013 | ) | (12,410 | ) | (159,308 | ) | (113,014 | ) | (518,134 | ) | (951,251 | ) | ||||||||||||
Class C | (687 | ) | (44,082 | ) | (165 | ) | (10,591 | ) | (85,203 | ) | (159,661 | ) | ||||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | (754,834 | ) | (460,604 | ) | (3,003,369 | ) | (2,168,779 | ) | 463,899 | (1,324,142 | ) | |||||||||||||
Total Increase (Decrease) in Net Assets | 1,282,935 | (38,187 | ) | (2,074,589 | ) | (2,159,885 | ) | (429,644 | ) | (287,152 | ) | |||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of year | 5,415,647 | 5,453,834 | 6,530,212 | 8,690,097 | 12,777,796 | 13,064,948 | ||||||||||||||||||
End of year | $ | 6,698,582 | $ | 5,415,647 | $ | 4,455,623 | $ | 6,530,212 | $ | 12,348,152 | $ | 12,777,796 |
See accompanying notes to financial statements.
76
STATEMENTS OF CHANGES IN NET ASSETS |
Technology & Communications | Energy & Basic Materials | Financial Services | ||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | ||||||||||||||||||||||
Period Ended | Year Ended | Period Ended | Year Ended | Period 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) | $ | (332,846 | ) | $ | (388,364 | ) | $ | 5,067 | $ | 16,417 | $ | (2,417 | ) | $ | (8,321 | ) | ||||||||
Net realized gain (loss) on investments and foreign currency transactions | 4,150,399 | 6,072,985 | (68,714 | ) | (255,585 | ) | 2,532 | 35,851 | ||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions | (497,276 | ) | 10,465,455 | 250,964 | 31,815 | 314,056 | (143,043 | ) | ||||||||||||||||
Net increase (decrease) in net assets resulting from operation | 3,320,277 | 16,150,076 | 187,317 | (207,353 | ) | 314,171 | (115,513 | ) | ||||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Total Distributions Paid: | ||||||||||||||||||||||||
Class I | (3,614,187 | ) | (1,105,213 | ) | (15,098 | ) | — | (38,252 | ) | (28,891 | ) | |||||||||||||
Class A | (2,357,418 | ) | (743,072 | ) | (1,326 | ) | — | (7,790 | ) | (2,508 | ) | |||||||||||||
Class C | (1,589,787 | ) | (448,156 | ) | (59 | ) | — | (5 | ) | (135 | ) | |||||||||||||
Total Dividends and Distribution to Shareholders | (7,561,392 | ) | (2,296,441 | ) | (16,483 | ) | — | (46,047 | ) | (31,534 | ) | |||||||||||||
Share Transactions of Beneficial Interest (Note 5): | ||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||
Class I | 1,562,808 | 4,814,431 | 370,943 | 350,464 | 221,194 | 212,524 | ||||||||||||||||||
Class A | 691,345 | 802,452 | 1,544 | 75,311 | 42,968 | 38,574 | ||||||||||||||||||
Class C | 48,685 | 546,867 | — | 41 | — | 55 | ||||||||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||||||||||
Class I | 3,305,200 | 1,027,407 | 14,886 | — | 37,290 | 28,141 | ||||||||||||||||||
Class A | 2,207,612 | 697,970 | 1,277 | — | 7,123 | 2,090 | ||||||||||||||||||
Class C | 1,549,461 | 438,993 | 59 | — | 5 | 135 | ||||||||||||||||||
Redemption fee proceeds | ||||||||||||||||||||||||
Class I | — | 7 | — | — | — | — | ||||||||||||||||||
Class A | — | 4 | — | — | — | — | ||||||||||||||||||
Class C | — | 2 | — | — | — | — | ||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||
Class I | (3,644,083 | ) | (8,952,672 | ) | (433,733 | ) | (205,277 | ) | (181,133 | ) | (292,691 | ) | ||||||||||||
Class A | (1,968,087 | ) | (4,065,186 | ) | (27,359 | ) | (225,083 | ) | (597 | ) | (7,009 | ) | ||||||||||||
Class C | (1,155,688 | ) | (1,426,424 | ) | — | (2,403 | ) | (10 | ) | (7,369 | ) | |||||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | 2,597,253 | (6,116,149 | ) | (72,383 | ) | (6,947 | ) | 126,840 | (25,550 | ) | ||||||||||||||
Total Increase (Decrease) in Net Assets | (1,643,862 | ) | 7,737,486 | 98,451 | (214,300 | ) | 394,964 | (172,597 | ) | |||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of year | 61,825,413 | 54,087,927 | 1,049,808 | 1,264,108 | 1,066,878 | 1,239,475 | ||||||||||||||||||
End of year | $ | 60,181,551 | $ | 61,825,413 | $ | 1,148,259 | $ | 1,049,808 | $ | 1,461,842 | $ | 1,066,878 |
See accompanying notes to financial statements.
77
STATEMENTS OF CHANGES IN NET ASSETS |
Investment Quality Bond | Municipal Bond | U.S. Government Money Market | ||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | ||||||||||||||||||||||
Period Ended | Year Ended | Period Ended | Year Ended | Period Ended | Year Ended | |||||||||||||||||||
February 28, 2021 | August 31, 2020 | February 28, 2021 | August 31, 2019 | February 28, 2021 | August 31, 2020 | |||||||||||||||||||
(Unaudited) | (Unaudited) | (Unaudited) | ||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 10,343 | $ | 31,540 | $ | (1,916 | ) | $ | 672 | $ | 304 | $ | 13,572 | |||||||||||
Net realized gain (loss) on investments | 182,989 | 34,337 | 11,199 | (736 | ) | — | — | |||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments | (209,822 | ) | 75,852 | (11,182 | ) | 5,093 | — | — | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (16,490 | ) | 141,729 | (1,899 | ) | 5,029 | 304 | 13,572 | ||||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Total Distributions Paid: | ||||||||||||||||||||||||
Class I | (9,937 | ) | (35,860 | ) | (249 | ) | (542 | ) | (273 | ) | (13,279 | ) | ||||||||||||
Class A | (192 | ) | (650 | ) | (40 | ) | (78 | ) | (20 | ) | (271 | ) | ||||||||||||
Class C | (37 | ) | (148 | ) | (18 | ) | (52 | ) | (9 | ) | (36 | ) | ||||||||||||
Total Dividends and Distributions to Shareholders | (10,166 | ) | (36,658 | ) | (307 | ) | (672 | ) | (302 | ) | (13,586 | ) | ||||||||||||
Share Transactions of Beneficial Interest (Note 5): | ||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||
Class I | 3,657,602 | 1,415,333 | 105,263 | 1,280 | 2,076,033 | 2,742,172 | ||||||||||||||||||
Class A | 43,339 | 1,398 | 687 | 2,338 | 6,514 | 387,591 | ||||||||||||||||||
Class C | — | 7,202 | 680 | 7,626 | 154,817 | 710,399 | ||||||||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||||||||||
Class I | 9,646 | 33,780 | 236 | 522 | 271 | 12,754 | ||||||||||||||||||
Class A | 188 | 591 | 40 | 77 | 20 | 246 | ||||||||||||||||||
Class C | 36 | 144 | 18 | 52 | 8 | 29 | ||||||||||||||||||
Redemption fee proceeds | ||||||||||||||||||||||||
Class I | — | — | — | — | — | — | ||||||||||||||||||
Class A | — | — | — | — | — | — | ||||||||||||||||||
Class C | — | — | — | — | — | — | ||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||
Class I | (1,207,021 | ) | (1,448,496 | ) | (44,630 | ) | (55,092 | ) | (1,067,736 | ) | (3,536,706 | ) | ||||||||||||
Class A | (13,682 | ) | (6,707 | ) | (668 | ) | — | (14,959 | ) | (324,265 | ) | |||||||||||||
Class C | (1,245 | ) | (72,233 | ) | (703 | ) | (42,905 | ) | (79,450 | ) | (777,072 | ) | ||||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | 2,488,863 | (68,988 | ) | 60,923 | (86,102 | ) | 1,075,518 | (784,852 | ) | |||||||||||||||
Total Increase (Decrease) in Net Assets | 2,462,207 | 36,083 | 58,717 | (81,745 | ) | 1,075,520 | (784,866 | ) | ||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of year/period | 4,526,184 | 4,490,101 | 620,107 | 701,852 | 5,698,064 | 6,482,930 | ||||||||||||||||||
End of year/period | $ | 6,988,391 | $ | 4,526,184 | $ | 678,824 | $ | 620,107 | $ | 6,773,584 | $ | 5,698,064 |
See accompanying notes to financial statements.
78
STATEMENTS OF CHANGES IN NET ASSETS |
Aggressive Balanced | Conservative Balanced | Moderate Balanced | ||||||||||||||||||||||
Allocation Portfolio | Allocation Portfolio | Allocation Portfolio | ||||||||||||||||||||||
Period Ended | Year Ended | Period Ended | Year Ended | Period 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 | $ | 33,850 | $ | 16,647 | $ | 61,970 | $ | 48,269 | $ | 54,900 | $ | 23,265 | ||||||||||||
Net realized gain (loss) on investments | 33,034 | (5,888 | ) | 95,468 | (64,064 | ) | 39,005 | (24,481 | ) | |||||||||||||||
Distribution of realized gains by underlying affiliated investment companies | — | 14,667 | — | 41,524 | — | 21,117 | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments | 33,262 | 40,636 | (1,705 | ) | 114,553 | 44,595 | 87,250 | |||||||||||||||||
Net increase (decrease) in net assets resulting from operation | 100,146 | 66,062 | 155,733 | 140,282 | 138,500 | 107,151 | ||||||||||||||||||
Distributions to Shareholders: | ||||||||||||||||||||||||
Total Distributions Paid: | ||||||||||||||||||||||||
Class I | (13,041 | ) | (23,035 | ) | (8,242 | ) | (57,368 | ) | (13,922 | ) | (25,860 | ) | ||||||||||||
Class A | — | (158 | ) | (78 | ) | (971 | ) | (412 | ) | (1,119 | ) ^ | |||||||||||||
Class C | (1,883 | ) | (3,925 | ) | — | (20,490 | ) | (3,179 | ) | (12,170 | ) ^ | |||||||||||||
Return of Capital | ||||||||||||||||||||||||
Class I | — | — | — | (4,615 | ) | — | — | |||||||||||||||||
Class A | — | — | — | (84 | ) | — | — | |||||||||||||||||
Class C | — | — | — | (1,925 | ) | — | — | |||||||||||||||||
Total Dividends and Distribution to Shareholders | (14,924 | ) | (27,118 | ) | (8,320 | ) | (85,453 | ) | (17,513 | ) | (39,149 | ) | ||||||||||||
Share Transactions of Beneficial Interest (Note 5): | ||||||||||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||||||||||
Class I | 13,970 | 38,881 | 331,949 | 374,231 | 11,916 | 145,093 | ||||||||||||||||||
Class A | 4,900 | — | — | — | 9,993 | 34,006 | ||||||||||||||||||
Class C | 166 | 59,509 | 35,494 | 92,270 | 14,912 | 400,923 | ||||||||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||||||||||
Class I | 13,041 | 23,035 | 8,122 | 55,388 | 13,922 | 25,860 | ||||||||||||||||||
Class A | 0 | ^ | 158 | 78 | 1,055 | 412 | 1,119 | |||||||||||||||||
Class C | 2,230 | 3,925 | — | 22,415 | 3,178 | 12,169 | ||||||||||||||||||
Redemption fee proceeds | ||||||||||||||||||||||||
Class I | — | — | — | — | — | — | ||||||||||||||||||
Class A | — | — | — | — | — | — | ||||||||||||||||||
Class C | — | — | — | — | — | — | ||||||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||||||
Class I | (3,000 | ) | (25,242 | ) | (240,486 | ) | (424,163 | ) | — | (14,000 | ) | |||||||||||||
Class A | (4,876 | ) | — | — | — | (2,135 | ) | (1,970 | ) | |||||||||||||||
Class C | — | — | (34,806 | ) | (237,007 | ) | (57,855 | ) | (312,381 | ) | ||||||||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | 26,431 | 100,266 | 100,351 | (115,811 | ) | (5,657 | ) | 290,819 | ||||||||||||||||
Total Increase (Decrease) in Net Assets | 111,653 | 139,210 | 247,764 | (60,982 | ) | 115,330 | 358,821 | |||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of year/period | 855,146 | 715,936 | 2,283,587 | 2,344,569 | 1,503,935 | 1,145,114 | ||||||||||||||||||
End of year/period | $ | 966,799 | $ | 855,146 | $ | 2,531,351 | $ | 2,283,587 | $ | 1,619,265 | $ | 1,503,935 |
^ | Less than $0.50 |
See accompanying notes to financial statements.
79
STATEMENTS OF CHANGES IN NET ASSETS |
Moderately Aggressive Balanced | Moderately Conservative Balanced | |||||||||||||||
Allocation Portfolio | Allocation Portfolio | |||||||||||||||
Period Ended | Year Ended | Period Ended | Year Ended | |||||||||||||
February 28, 2021 | August 31, 2020 | February 28, 2021 | August 31, 2020 | |||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 29,088 | $ | 13,389 | $ | 25,153 | $ | 21,977 | ||||||||
Net realized gain (loss) on investments | 22,875 | (5,398 | ) | 28,312 | (5,279 | ) | ||||||||||
Distribution of realized gains by underlying affiliated and non affiliated investment companies | — | 11,018 | — | 16,083 | ||||||||||||
Net change in unrealized appreciation on investments | 27,918 | 47,380 | 17,326 | 40,301 | ||||||||||||
Net increase in net assets resulting from operations | 79,881 | 66,389 | 70,791 | 73,082 | ||||||||||||
Distributions to Shareholders: | ||||||||||||||||
Total Distributions Paid: | ||||||||||||||||
Class I | (10,000 | ) | (10,574 | ) | (8,874 | ) | (27,346 | ) | ||||||||
Class A | (229 | ) | (8 | ) | — | (0 | ) ^ | |||||||||
Class C | (1,548 | ) | (3,600 | ) | (1,908 | ) | (5,736 | ) | ||||||||
Total Dividends and Distributions to Shareholders | (11,777 | ) | (14,182 | ) | (10,782 | ) | (33,082 | ) | ||||||||
Share Transactions of Beneficial Interest (Note 5): | ||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||
Class I | — | 132,502 | 10,000 | 50,000 | ||||||||||||
Class A | — | 15,827 | — | — | ||||||||||||
Class C | 5,934 | 3,471 | 69,515 | 19,600 | ||||||||||||
Reinvestment of dividends and distributions | ||||||||||||||||
Class I | 9,999 | 10,574 | 8,008 | 23,669 | ||||||||||||
Class A | 229 | 8 | 0 | ^ | 0 | ^ | ||||||||||
Class C | 1,548 | 3,600 | 1,908 | 5,736 | ||||||||||||
Redemption fee proceeds | ||||||||||||||||
Class I | — | — | — | — | ||||||||||||
Class A | — | — | — | — | ||||||||||||
Class C | — | — | — | — | ||||||||||||
Cost of shares redeemed | ||||||||||||||||
Class I | (24 | ) | (24 | ) | (330,644 | ) | (14,956 | ) | ||||||||
Class A | (4,000 | ) | (1,000 | ) | — | — | ||||||||||
Class C | (2,839 | ) | (27,913 | ) | (7,434 | ) | (136,936 | ) | ||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | 10,847 | 137,045 | (248,647 | ) | (52,887 | ) | ||||||||||
Total Increase (Decrease) in Net Assets | 78,951 | 189,252 | (188,638 | ) | (12,887 | ) | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of year/period | 743,574 | 554,322 | 918,156 | 931,043 | ||||||||||||
End of year/period | $ | 822,525 | $ | 743,574 | $ | 729,518 | $ | 918,156 |
^ | Less than $0.50 |
See accompanying notes to (consolidated) financial statements.
80
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 twenty-three series: the Large Capitalization Value Portfolio; the Large Capitalization Growth Portfolio; the Mid Capitalization Portfolio; the Small Capitalization Portfolio; the International Equity Portfolio; the Health & Biotechnology Portfolio; the Technology & Communications Portfolio; the Energy & Basic Materials Portfolio; the Financial Services Portfolio; the Investment Quality Bond Portfolio; the Municipal Bond Portfolio; the U.S. Government Money Market Portfolio, Aggressive Balanced Allocation Portfolio, Conservative Balanced Allocation Portfolio, Moderate Balanced Allocation Portfolio, Moderately Aggressive Balanced Allocation Portfolio, and the, Moderately Conservative Balanced Allocation Portfolio, (collectively, the “Portfolios”). Saratoga Capital Management, LLC (the “Manager”) serves as the Trust’s Manager.
The following serve as advisers (the “Advisers”) to their respective Portfolio(s): M.D. Sass Investors Services, Inc. serves as Adviser to Large Capitalization Value; Smith Group Asset Management serves as Adviser to Large Capitalization Growth, Energy & Basic Materials, Financial Services and International Equity; Vaughan Nelson Investment Management, L.P. serves as Adviser to Mid Capitalization; Zacks Investment Management, Inc. serves as Adviser to Small Capitalization; Oak Associates, Ltd. serves as Adviser to Health & Biotechnology and Technology & Communications; Saratoga Capital Management, LLC serves as Adviser for U.S. Government Money Market, Investment Quality Bond, Municipal Bond, Aggressive Balanced Allocation, Conservative Balanced Allocation, Moderate Balanced Allocation, Moderately Aggressive Balanced Allocation and Moderately Conservative Balanced Allocation. Gemini Fund Services, LLC (the “Administrator”), serves the Trust as administrator, custody administrator, transfer agent and fund accounting agent. Northern Lights Distributors, LLC (“NLD” or the “Distributor”) is the Trust’s Distributor.
The Large Capitalization Value Portfolio, the Large Capitalization Growth Portfolio, the Mid Capitalization Portfolio, the Small Capitalization Portfolio, the International Equity Portfolio, the Health & Biotechnology Portfolio, the Technology & Communications Portfolio, the Energy & Basic Materials Portfolio, the Financial Services Portfolio, the Investment Quality Bond Portfolio, the Municipal Bond Portfolio, the U.S. Government Money Market Portfolio, Aggressive Balanced Allocation, Conservative Balanced Allocation, Moderately Conservative Balanced Allocation, Moderate Balanced Allocation, Moderately Aggressive Balanced Allocation are diversified portfolios.
Portfolio | Primary Objective |
Large Capitalization Value | Total return consisting of capital appreciation and dividend income |
Large Capitalization Growth | Capital appreciation |
Mid Capitalization | Long-term capital appreciation |
Small Capitalization | Maximum capital appreciation |
International Equity | Long-term capital appreciation |
Health & Biotechnology | Long-term capital growth |
Technology & Communications | Long-term capital growth |
Energy & Basic Materials | Long-term capital growth |
Financial Services | Long-term capital growth |
Investment Quality Bond | Current income and reasonable stability of principal |
Municipal Bond | High level of interest income that is excluded from federal income taxation to the extent consistent with prudent investment management and the preservation of capital |
U.S. Government Money Market | Maximum current income to the extent consistent with the maintenance of liquidity and the preservation of capital |
Aggressive Balanced Allocation | Total return consisting of capital appreciation and income |
Conservative Balanced Allocation | Total return consisting of capital appreciation and income |
Moderate Balanced Allocation | Total return consisting of capital appreciation and income |
Moderately Aggressive Balanced Allocation | Total return consisting of capital appreciation and income |
Moderately Conservative Balanced Allocation | Total return consisting of capital appreciation and income |
Currently, all Portfolios offer Class A, Class C and Class I 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
81
NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited)(Continued) |
of which may include: (i) the nature and pricing history (if any) of the security; (ii) whether any dealer quotations for the security are available; and (iii) possible valuation methodologies that could be used to determine the fair value of a security. The International Equity Portfolio uses fair value prices as provided by an independent pricing vendor on a daily basis for those securities traded on a foreign exchange. Foreign currency and Forward currency exchange contracts are valued daily at the London close each day. The ability of issuers of debt securities held by the portfolios to meet their obligations may be affected by economic or political developments in a specific state, industry or region. Investments in foreign countries may involve certain considerations and risks not typically associated with domestic investments, including, but not limited to, the possibility of future political and economic developments and the level of government supervision and regulation of foreign securities markets.
The Portfolios utilize various methods to measure the fair value of most of its investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:
Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Portfolios have the ability to access.
Level 2 – Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Portfolios’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of February 28, 2021, for the Portfolios’ assets and liabilities measured at fair value:
Large Capitalization Value | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 13,529,300 | $ | — | $ | — | $ | 13,529,300 | ||||||||
Depositary Receipts | 1,350,226 | — | — | 1,350,226 | ||||||||||||
REIT | 1,137,191 | — | — | 1,137,191 | ||||||||||||
Short-Term Investments | 670,251 | — | — | 670,251 | ||||||||||||
Total | $ | 16,686,968 | $ | — | $ | — | $ | 16,686,968 | ||||||||
Large Capitalization Growth | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 29,065,244 | $ | — | $ | — | $ | 29,065,244 | ||||||||
REIT | 359,926 | — | — | 359,926 | ||||||||||||
Short-Term Investments | 390,783 | — | — | 390,783 | ||||||||||||
Total | $ | 29,815,953 | $ | — | $ | — | $ | 29,815,953 | ||||||||
Mid Capitalization | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 11,021,359 | $ | — | $ | — | $ | 11,021,359 | ||||||||
REIT | 79,362 | — | — | 79,362 | ||||||||||||
Short-Term Investments | 124,906 | — | — | 124,906 | ||||||||||||
Total | $ | 11,225,627 | $ | — | $ | — | $ | 11,225,627 | ||||||||
Small Capitalization | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 6,399,447 | $ | — | $ | — | $ | 6,399,447 | ||||||||
REIT | 212,964 | — | — | 212,964 | ||||||||||||
Short -Term Investments | 243,538 | — | — | 243,538 | ||||||||||||
Collateral for Securities Loaned | — | 88,854 | — | 88,854 | ||||||||||||
Total | $ | 6,855,949 | $ | 88,854 | $ | — | $ | 6,944,803 |
82
NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited)(Continued) |
International Equity | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | ||||||||||||||||
Asset Management | $ | — | $ | 98,801 | $ | — | $ | 98,801 | ||||||||
Automobiles | 146,893 | 89,545 | — | 236,438 | ||||||||||||
Banking | 91,205 | 525,457 | — | 616,662 | ||||||||||||
Beverages | — | 196,640 | — | 196,640 | ||||||||||||
Biotechnology & Pharamaceuticals | 85,757 | 172,333 | — | 258,090 | ||||||||||||
Chemicals | — | 114,292 | — | 114,292 | ||||||||||||
Commercials Support Services | — | 95,551 | — | 95,551 | ||||||||||||
Construction Materials | — | 195,959 | — | 195,959 | ||||||||||||
E-Commerce Discretionary | 98,564 | — | — | 98,564 | ||||||||||||
Electric Utilities | — | 88,785 | — | 88,785 | ||||||||||||
Engineering & Construction | — | 68,639 | — | 68,639 | ||||||||||||
Entertainment Content | — | 91,359 | — | 91,359 | ||||||||||||
Food | — | 75,755 | — | 75,755 | ||||||||||||
Insurance | 100,397 | 177,406 | — | 277,803 | ||||||||||||
Machinery | — | 212,137 | — | 212,137 | ||||||||||||
Medical Equipment & Devices | — | 92,754 | — | 92,754 | ||||||||||||
Metals & Mining | — | 235,198 | — | 235,198 | ||||||||||||
Oil & Gas Producers | — | 128,885 | — | 128,885 | ||||||||||||
Retail Consumer Staples | 87,158 | — | — | 87,158 | ||||||||||||
Retail Discretionary | — | 190,876 | — | 190,876 | ||||||||||||
Semiconductors | — | 95,790 | — | 95,790 | ||||||||||||
Technology Hardware | — | 539,159 | — | 539,159 | ||||||||||||
Transportation Equipment | — | 123,611 | — | 123,611 | ||||||||||||
Wholesale - Discretionary | — | 92,847 | — | 92,847 | ||||||||||||
Total | $ | 609,974 | $ | 3,701,779 | $ | — | $ | 4,311,753 | ||||||||
Health & Biotechnology | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 12,071,064 | $ | — | $ | — | $ | 12,071,064 | ||||||||
Short-Term Investments | 108,847 | — | — | 108,847 | ||||||||||||
Total | $ | 12,179,911 | $ | — | $ | — | $ | 12,179,911 | ||||||||
Technology & Communications | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 59,877,313 | $ | — | $ | — | $ | 59,877,313 | ||||||||
Short-Term Investments | 545,329 | — | — | 545,329 | ||||||||||||
Collateral for Securities Loaned | — | 871,363 | — | 871,363 | ||||||||||||
Total | $ | 60,422,642 | $ | 871,363 | $ | — | $ | 61,294,005 | ||||||||
Energy & Basic Materials | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 1,030,897 | $ | — | $ | — | $ | 1,030,897 | ||||||||
Short-Term Investments | 13,828 | — | — | 13,828 | ||||||||||||
Total | $ | 1,044,725 | $ | — | $ | — | $ | 1,044,725 | ||||||||
Financial Services | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 1,424,128 | $ | — | $ | — | $ | 1,424,128 | ||||||||
Short-Term Investments | 29,376 | — | — | 29,376 | ||||||||||||
Total | $ | 1,453,504 | $ | — | $ | — | $ | 1,453,504 | ||||||||
Investment Quality Bond | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 4,555,793 | $ | — | $ | — | $ | 4,555,793 | ||||||||
Short-Term Investments | 245,000 | — | — | 245,000 | ||||||||||||
Total | $ | 4,800,793 | $ | — | $ | — | $ | 4,800,793 |
83
NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited)(Continued) |
Municipal Bond | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Open End Funds | $ | 575,102 | $ | — | $ | — | $ | 575,102 | ||||||||
Short-Term Investment | 50,752 | — | — | 50,752 | ||||||||||||
Total | $ | 625,854 | $ | — | $ | — | $ | 625,854 | ||||||||
U.S. Government Money Market | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments | $ | 6,538,141 | $ | — | $ | — | $ | 6,538,141 | ||||||||
Total | $ | 6,538,141 | $ | — | $ | — | $ | 6,538,141 | ||||||||
Aggressive Balanced Allocation | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Open Ended Funds | $ | 897,605 | $ | — | $ | — | 897,605 | |||||||||
Short-Term Investments | 154,951 | — | — | 154,951 | ||||||||||||
Total | $ | 1,052,556 | $ | — | $ | — | $ | 1,052,556 | ||||||||
Conservative Balanced Allocation | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Open Ended Funds | $ | 2,159,419 | $ | — | $ | — | $ | 2,159,419 | ||||||||
Short-Term Investments | 641,211 | — | — | 641,211 | ||||||||||||
Total | $ | 2,800,630 | $ | — | $ | — | $ | 2,800,630 | ||||||||
Moderate Balanced Allocation | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Open Ended Funds | $ | 1,469,741 | $ | — | $ | — | 1,469,741 | |||||||||
Short-Term Investments | 447,526 | — | — | 447,526 | ||||||||||||
Total | $ | 1,917,267 | $ | — | $ | — | $ | 1,917,267 | ||||||||
Moderately Aggressive Balanced Allocation | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Open Ended Funds | $ | 760,361 | $ | — | $ | — | 760,361 | |||||||||
Short-Term Investments | 157,849 | — | — | 157,849 | ||||||||||||
Total | $ | 918,210 | $ | — | $ | — | $ | 918,210 | ||||||||
Moderately Conservative Balanced Allocation | ||||||||||||||||
Assets* | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Open Ended Funds | $ | 728,090 | $ | — | $ | — | $ | 728,090 | ||||||||
Short-Term Investments | 160,267 | — | — | 160,267 | ||||||||||||
Total | $ | 888,357 | $ | — | $ | — | $ | 888,357 |
(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.
84
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 available to offset future capital gains, if any, are as follows:
Non-Expiring | Non-Expiring | Non-Expiring | ||||||||||||||||||
Expiring/Expired | Short-Term | Long-Term | Total | Utilized | ||||||||||||||||
Large Capitalization Value | $ | — | $ | — | $ | 17,087 | $ | 17,087 | $ | 37,349 | ||||||||||
Large Capitalization Growth | — | — | — | — | — | |||||||||||||||
Mid Capitalization | — | — | — | — | — | |||||||||||||||
Small Capitalization | — | 410,539 | — | 410,539 | — | |||||||||||||||
International Equity | — | 2,527,371 | 471,338 | 2,998,709 | — | |||||||||||||||
Health & Biotechnology | — | — | — | — | — | |||||||||||||||
Technology & Communications | — | — | — | — | — | |||||||||||||||
Energy & Basic Materials | — | 825,011 | 62,306 | 887,317 | — | |||||||||||||||
Financial Services | — | — | — | — | — | |||||||||||||||
Investment Quality Bond | — | 14,907 | — | 14,907 | 16,919 | |||||||||||||||
Municipal Bond | — | 13,407 | 9,386 | 22,793 | — | |||||||||||||||
U.S. Government Money Market | — | — | — | — | — | |||||||||||||||
Aggressive Balanced Allocation | — | — | — | — | — | |||||||||||||||
Conservative Balanced Allocation | — | — | — | — | — | |||||||||||||||
Moderate Balanced Allocation | — | — | — | — | — | |||||||||||||||
Moderately Aggressive Balanced Allocation | — | — | — | — | — | |||||||||||||||
Moderately Conservative Balanced Allocation | — | — | — | — | — |
The Portfolios recognize the tax benefits of uncertain tax positions only when the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has reviewed the tax positions taken on its 2017-2019 returns and expected to be taken in the Portfolios’ 2020 returns,and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions. The Portfolios identify its major tax jurisdictions as U.S. Federal, Arizona and foreign jurisdictions where the Portfolios make significant investments. The Portfolios recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the period ended August 31, 2020, the Portfolios did not incur any interest or penalties.
(c) Security Transactions and Other Income
Security transactions are reflected for financial reporting purposes as of the trade date. Dividend income is recognized on the ex-dividend date, and interest income is recognized on an accrual basis including premium amortized and discount accreted. 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 | ||
Large Capitalization Value | Annually | Annually | ||
Large Capitalization Growth | Annually | Annually | ||
Mid Capitalization | Annually | Annually | ||
Small Capitalization | Annually | Annually | ||
International Equity | Annually | Annually | ||
Health & Biotechnology | Annually | Annually | ||
Technology & Communication | Annually | Annually | ||
Energy & Basic Materials | Annually | Annually | ||
Financial Services | Annually | Annually | ||
Investment Quality Bond | Monthly | Annually | ||
Municipal Bond | Monthly | Annually | ||
U.S. Government Money Market | Daily - paid monthly | Annually | ||
Aggressive Balanced Allocation | Annually | Annually | ||
Conservative Balanced Allocation | Annually | Annually | ||
Moderate Balanced Allocation | Annually | Annually | ||
Moderately Aggressive Balanced Allocation | Annually | Annually | ||
Moderately Conservative Balanced Allocation | Annually | Annually |
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.
85
NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited)(Continued) |
(f) Repurchase Agreements
In connection with transactions in repurchase agreements, it is the Trust’s policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the seller defaults, and the fair value of the collateral declines, realization of the collateral by the Trust may be delayed or limited.
(g) Indemnification
The Trust indemnifies its Officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Portfolios enter into contracts that contain a variety of representations and warranties and which provide general indemnities. The Portfolios’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Portfolios that have not yet occurred. However, based on experience, the risk of loss due to these warranties and indemnities appears to be remote.
(h) Other
The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
Foreign currency. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions.
The Trust does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the company’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.
Market Disruptions Risk. The Portfolio is subject to investment and operational risks associated with financial, economic and other- global market developments and disruptions, including the recent spread of an infectious respiratory illness caused by a novel strain of coronavirus (known as COVID 19), which can negatively impact the securities markets and cause the Portfolio to lose value.
The spread of COVID-19 has caused volatility, severe market dislocations and liquidity constraints in many markets,- including markets for the securities the Portfolios hold, and may adversely affect the Portfolios’ investments and operations. The transmission of COVID 19 and efforts to contain its spread have resulted in travel restrictions and disruptions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, quarantines, event and service cancellations or interruptions, disruptions to business operations and supply chains, and a reduction in consumer and business spending, as well as general concern and uncertainty that has negatively affected the economy. These disruptions have led to instability in- the marketplace and the jobs market. The impact of COVID-19 could adversely affect the economies of many nations or the entire global economy, the financial well being and performance of individual issuers, borrowers and sectors and the health of the markets generally in potentially significant and unforeseen ways.
The foregoing could lead to a significant economic downturn or recession, increased market volatility, a greater number of market closures, higher default rates and adverse effects on the values and liquidity of the Portfolios’ securities or other assets. Such impacts may adversely affect the performance of the Portfolios.
2. | SECURITIES LENDING |
Under an agreement with the BNY Mellon Corp. (“BNY Mellon”), the Portfolios can lend their portfolio securities to brokers, dealers and other financial institutions approved by the Board of Trustees to earn additional income. Loans are collateralized by cash, in an amount at least equal to the market value of the securities loaned plus accrued interest, which is invested in highly liquid, short-term instruments such as repurchase agreements collateralized by U.S. Government securities and money market funds in accordance with the Portfolios’ security lending procedures. A portion of the income generated by the investment in the collateral, net of any rebates paid by BNY Mellon to the borrowers, is remitted to BNY Mellon as lending agent, and the remainder is paid to the Portfolios. The Portfolios continue to receive interest or dividends on the securities loaned. The Portfolios have the right under the Master Securities Lending Agreement to recover the securities from the borrower on demand; if the borrower fails to deliver the securities on a timely basis, the Portfolios could experience delays or losses on recovery. Additionally, the Portfolios are subject to the risk of loss from investments made with the cash received as collateral. The Portfolios manage credit exposure arising from these lending transactions by, in appropriate circumstances, entering into master netting agreements and collateral agreements with third party borrowers that provide in the event of default (such as bankruptcy or a borrower’s failure to pay or perform), the right to net a third party borrower’s rights and obligations under such agreement and liquidate and set off collateral against the net amount owed by the counterparty.
At February 28, 2021, the following portfolios loaned securities and received U.S. Government securities and cash collateral for the loan. This cash was invested in repurchase agreements as shown in the Schedules of Investments. The aggregate market value of the collateral shown below includes non-cash U.S Treasury securities.
Market Value of | Market Value | Value of | ||||||||||
Portfolio | Loaned Securities | of Collateral | Non-cash Collateral | |||||||||
Large Capitalization Value | $ | 1,406,969 | $ | 1,457,341 | $ | 1,457,341 | ||||||
Large Capitalization Growth | 806,498 | 822,714 | 822,714 | |||||||||
Mid Capitalization | 377,823 | 391,862 | 391,862 | |||||||||
Small Capitalization | 1,151,234 | 1,187,028 | 1,098,174 | |||||||||
International Equity | 151,181 | 154,218 | 154,218 | |||||||||
Technology & Communications | 1,402,902 | 1,435,999 | 1,435,999 |
86
NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited)(Continued) |
At February 28, 2021, the percentage of total investment income the Portfolios received from the investment of cash collateral retained by the lending agent, BNY Mellon, was as follows:
Percentage of Total | ||
Portfolio | Investment Income | |
Large Capitalization Value | 0.07% | |
Large Capitalization Growth | 0.40% | |
Mid Capitalization | 0.31% | |
Small Capitalization | 1.76% | |
International Equity | 0.23% | |
Health & Biotechnology | 1.56% | |
Technology & Communications | 0.29% | |
Investment Quality Bond | 0.02% |
3. | MANAGEMENT FEE, ADMINISTRATION FEE AND OTHER TRANSACTIONS WITH AFFILIATES |
(a) The management fees are payable to the Manager monthly by each Portfolio and are computed daily at the following annual rates of each Portfolio’s average daily net assets: 1.25% for Health & Biotechnology, Technology & Communications, Energy & Basic Materials and Financial Services; 0.75% for Mid Capitalization and International Equity; 0.65% for Large Capitalization Value, Large Capitalization Growth and Small Capitalization; 0.55% for Investment Quality Bond and Municipal Bond; 0.475% for U.S. Government Money Market; 0.90% for Conservative Balanced Allocation, Moderately Conservative Balanced Allocation, Moderate Balanced Allocation, Moderately Aggressive Balanced Allocation, and Aggressive Balanced Allocation.
For the six months ended February 28, 2021, the Manager waived $30,421 for International Equity, $7,300 for Energy & Basic Materials, $6,123 for Financial Services, $ 3,149 for Municipal Bond, $36,047 for U.S. Government Money Market, $5,111 for Aggressive Balanced Allocation, $9,529 for Conservative Balanced Allocation, $6,320 for Moderate Balanced Allocation, $5,209 for Moderately Aggressive Balanced Allocation, and $5,559 for Moderately Conservative Balanced Allocation.
(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, a fee, which is accrued daily and paid monthly, at the annual rate of 0.40% of the average daily net assets of Class A shares (0.25% of the average daily net assets of Aggressive Balanced Allocation, Conservative Balanced Allocation, Moderate Balanced Allocation, Moderately Aggressive Balanced Allocation and Moderately Conservative Balanced Allocation Class A shares) and 1.00% of the average daily net assets of the Portfolios’ Class C shares. A portion of the fee payable pursuant to the Plan, equal to 0.25% of the average daily net assets, is currently characterized as a service fee and it may be paid directly to the Manager, or other entities for providing support services. A service fee is a payment made for personal service and/or the maintenance of shareholder accounts. The aggregate of such service fee payments will not exceed 0.25% of average daily net assets. For the six months ended February 28, 2021 the Distributor waived $1,049 in fees for the Municipal Bond Portfolio and $5,737 in fees for the U.S. Government Money Market Portfolio.
Class A shares are offered at net asset value plus a maximum sales load of 5.75%. Class C shares are offered subject to a CDSC of 1.00%. Class I shares are offered at net asset value.
87
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 | ||||||
Large Capitalization Value | $ | — | $ | 1 | ||||
Large Capitalization Growth | 3,980 | 71 | ||||||
Mid Capitalization | 217 | — | ||||||
Small Capitalization | — | — | ||||||
International Equity | — | — | ||||||
Health & Biotechnology | 330 | — | ||||||
Technology & Communications | 7,813 | 32 | ||||||
Energy & Basic Materials | 2,246 | — | ||||||
Financial Services | 2,031 | — | ||||||
Investment Quality Bond | 225 | — | ||||||
Municipal Bond | — | — | ||||||
U.S Government Money Market | — | 2 | ||||||
Aggressive Balanced Allocation | — | — | ||||||
Moderate Balanced Allocation | 608 | — | ||||||
Conservative Balanced Allocation | — | 61 | ||||||
Moderately Aggressive Balanced Allocation | — | — | ||||||
Moderately Conservative Balanced Allocation | — | 10 |
(d) The Trust and the Manager have entered into Excess Expense Agreements (the “Expense Agreements”). In connection with the Expense Agreements, the Manager is currently voluntarily 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: 3.00%, 3.60% and 2.60% for Class A, C and I shares, respectively, of Large Capitalization Value, Large Capitalization Growth, Mid Capitalization, and Small Capitalization; 1.65%, 2.25% and 1.25% for Class A, C and I shares, respectively, of International Equity; 2.30%, 2.90% and 1.90%, for Class A, C and I shares, respectively, of Investment Quality Bond and Municipal Bond; 2.15%, 2.75% and 1.75% for Class A, C and I shares, respectively, of U.S. Government Money Market; 3.40%, 4.00% and 3.00% for Class A, C and I shares, respectively, of Health & Biotechnology, Technology & Communications, Energy & Basic Materials and Financial Services. For the Aggressive Balanced Allocation, Conservative Balanced Allocation, Moderate Balanced Allocation, Moderately Aggressive Balanced Allocation and Moderately Conservative Balanced Allocation the Manager is waiving all or a portion of its management fees and/or assuming certain operating expenses (excluding front end and contingent deferred sales loads, interest and tax expenses, leverage, dividends and interest on short positions, brokerage commissions, expenses incurred in connection with any merger, reorganization or liquidation, extraordinary or non-routine expenses and Acquired Fund Fees and Expenses) the expense caps are 1.24%, 0.99% and 1.99% for Classes A, I and C shares respectively. Under the terms of the Expense Agreements, the Manager is permitted to seek reimbursement from the Portfolios, subject to limitations, for fees they waived and Portfolio expenses they paid within three (3) years of the end of the fiscal year in which such fees were waived or expenses paid, as long as the reimbursement does not cause the Portfolio’s operating expenses to exceed (i) the expense cap in place at the time the advisory fees were waived or the expenses were incurred; or (ii) the current expense cap, whichever is less. The Expense Agreement with the Manager may be terminated by either party, without penalty, upon receipt of 60 days prior notice, except for the Aggressive Balanced Allocation, Conservative Balanced Allocation, Moderate Balanced Allocation, Moderately Aggressive Balanced Allocation and Moderately Conservative Balanced Allocation which shall continue through December 31, 2021.
The following table shows the available waived expenses and expiration date for each Portfolio subject to potential recovery.
Portfolio | 8/31/2021 | 8/31/2022 | 8/31/2023 | |||||||||
International Equity | 26,037 | 35,063 | 30,421 | |||||||||
Energy & Basic Materials | 11,040 | 1,176 | 7,300 | |||||||||
Financial Services | 8,438 | 5,723 | 6,123 | |||||||||
Investment Quality Bond | 21,839 | — | — | |||||||||
Municipal Bond | 21,167 | 11,221 | 9,326 | |||||||||
U.S. Government Money Market | 7,716 | 334 | 156 | |||||||||
Aggressive Balanced Allocation | 9,362 | 14,174 | 9,335 | |||||||||
Conservative Balanced Allocation | 6,975 | 14,354 | 19,169 | |||||||||
Moderate Balanced Allocation | 6,952 | 9,835 | 12,115 | |||||||||
Moderately Aggressive Balanced Allocation | 6,776 | 7,186 | 8,273 | |||||||||
Moderately Conservative Balanced Allocation | 7,446 | 12,132 | 10,326 |
(e) The following Portfolios in the Trust had portfolio trades executed with a certain broker pursuant to a commission recapture agreement. For the six months ended 28, 2021, the amount received by the participating Portfolios under this arrangement was as follows: Large Cap Value, $5,892; Health & Biotechnology, $585; and Technology & Communications, $1,777. These amounts are included with the realized gain/loss for each Portfolio in the Statement of Operations.
88
NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited)(Continued) |
(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 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 | 2/28/2021 | 2/28/2021 | ||||||||||||||||||||||||
Aggressive Balanced Allocation | ||||||||||||||||||||||||||||||||
James Alpha Global Real Estate Investments Portfolio, CL I | $ | 20,027.00 | 1,126 | $ | (23,879 | ) | $ | 7,989.00 | $ | (5,263 | ) | $ | 1,126 | $ | — | — | ||||||||||||||||
James Alpha Macro Portfolio, Cl I | 42,339 | — | (46,505 | ) | 2,376 | 1,790 | — | — | — | |||||||||||||||||||||||
James Alpha Multi Strategy Alternative Income Portfolio, CL I | 17,122 | 1,368 | (18,705 | ) | 521 | (306 | ) | 1,367 | — | — | ||||||||||||||||||||||
Saratoga Energy & Basic Materials Portfolio, CL I | 11,660 | 10,523 | — | — | 2,640 | 240 | 24,823 | 2,460 | ||||||||||||||||||||||||
Saratoga Health & Biotechnology Portfolio, CL I | 28,068 | 9,273 | — | — | (1,778 | ) | 3,145 | 35,563 | 1,654 | |||||||||||||||||||||||
Saratoga Large Capitalization Growth Portfolio, Cl I | 220,474 | 18,846 | (107,286 | ) | 5,116 | (9,887 | ) | 18,846 | 127,263 | 4,571 | ||||||||||||||||||||||
Saratoga Large Capitalization Value Portfolio, Cl I | — | 146,906 | — | — | 13,850 | — | 160,756 | 5,656 | ||||||||||||||||||||||||
Saratoga Mid Capitalization Portfolio, CL I | 69,018 | 26,302 | — | — | 10,121 | 6,597 | 105,441 | 7,976 | ||||||||||||||||||||||||
Saratoga Technology & Communications Portfolio, CL I | 33,980 | 3,907 | — | — | (1,877 | ) | 3,907 | 36,010 | 1,212 | |||||||||||||||||||||||
Conservative Balanced Allocation | ||||||||||||||||||||||||||||||||
James Alpha Macro Portfolio, CL I | 68,656 | — | (73,841 | ) | 814 | 4,371 | — | — | — | |||||||||||||||||||||||
Saratoga Large Capitalization Growth Portfolio | 574,323 | 103,543 | (333,357 | ) | 39,808 | (52,048 | ) | 51,166 | 332,269 | 11,935 | ||||||||||||||||||||||
Saratoga Large Capitalization Value Portfolio, Cl I | — | 383,872 | (8,852 | ) | 909 | 43,047 | 418,976 | 14,742 | ||||||||||||||||||||||||
Saratoga Mid Capitalization Portfolio, CL I | 120,525 | 138,729 | — | — | 18,935 | 14,317 | 278,189 | 21,043 | ||||||||||||||||||||||||
Moderate Balanced Allocation | ||||||||||||||||||||||||||||||||
James Alpha Global Real Estate Investments Portfolio, CL I | 20,543 | 1,128 | (24,365 | ) | 7,963 | (5,269 | ) | 1,128 | — | — | ||||||||||||||||||||||
James Alpha Macro Portfolio, CL I | 35,022 | — | (38,147 | ) | (253 | ) | 3,378 | — | — | — | ||||||||||||||||||||||
James Alpha Multi Strategy Alternative Income Portfolio, CL I | 25,397 | 1,981 | (27,688 | ) | 1,821 | (1,511 | ) | 1,980 | — | — | ||||||||||||||||||||||
Saratoga Energy & Basic Materials Portfolio, CL I | 16,146 | 4,268 | (801 | ) | (651 | ) | 4,077 | 315 | 23,039 | 2,283 | ||||||||||||||||||||||
Saratoga Health & Biotechnology Portfolio, CL I | 32,846 | 3,549 | (1,201 | ) | (133 | ) | (1,847 | ) | 3,549 | 33,214 | 1,545 | |||||||||||||||||||||
Saratoga Large Capitalization Growth Portfolio, CL I | 391,118 | 32,611 | (184,644 | ) | 9,022 | (17,142 | ) | 32,611 | 230,965 | 8,296 | ||||||||||||||||||||||
Saratoga Large Capitalization Value Portfolio, Cl I | — | 266,431 | — | — | 26,758 | — | 293,189 | 10,316 | ||||||||||||||||||||||||
Saratoga Mid Capitalization Portfolio, CL I | 158,935 | 16,480 | (6,008 | ) | (639 | ) | 23,365 | 14,643 | 192,133 | 14,534 | ||||||||||||||||||||||
Saratoga Technology & Communications Portfolio, CL I | 37,332 | 4,184 | (935 | ) | 305 | (2,322 | ) | 4,184 | 38,564 | 1,298 | ||||||||||||||||||||||
Moderately Aggressive Balanced Allocation | ||||||||||||||||||||||||||||||||
James Alpha Global Real Estate Investments Portfolio, CL I | 12,159 | 684 | (14,498 | ) | 4,850 | (3,195 | ) | 683 | — | — | ||||||||||||||||||||||
James Alpha Macro Portfolio, Cl I | 25,822 | — | (28,363 | ) | 691 | 1,850 | — | — | — | |||||||||||||||||||||||
James Alpha Multi Strategy Alternative Income Portfolio, CL I | 11,571 | 924 | (12,641 | ) | 559 | (413 | ) | 924 | — | — | ||||||||||||||||||||||
Saratoga Energy & Basic Materials Portfolio, CL I | 13,889 | 285 | — | — | 3,145 | 286 | 17,319 | 1,716 | ||||||||||||||||||||||||
Saratoga Health & Biotechnology Portfolio, CL I | 20,081 | 2,250 | — | — | (1,272 | ) | 2,250 | 21,059 | 979 | |||||||||||||||||||||||
Saratoga Large Capitalization Growth Portfolio, CL I | 180,652 | 15,442 | (79,968 | ) | 4,329 | (8,238 | ) | 15,442 | 112,217 | 4,031 | ||||||||||||||||||||||
Saratoga Large Capitalization Value Portfolio, Cl I | — | 128,977 | — | — | 13,280 | — | 142,257 | 5,006 | ||||||||||||||||||||||||
Saratoga Mid Capitalization Portfolio, CL I | 82,495 | 7,885 | — | — | 12,097 | 7,885 | 102,477 | 7,752 | ||||||||||||||||||||||||
Saratoga Technology & Communications Portfolio, CL I | 20,574 | 2,366 | — | — | (1,137 | ) | 2,366 | 21,803 | 734 | |||||||||||||||||||||||
Moderately Conservative Balanced Allocation | ||||||||||||||||||||||||||||||||
James Alpha Macro Portfolio, Cl I | 35,203 | — | (35,122 | ) | (2,070 | ) | 1,989 | — | — | — | ||||||||||||||||||||||
Saratoga Large Capitalization Growth Portfolio, Cl I | 248,577 | 18,141 | (153,672 | ) | 5,755 | (11,299 | ) | 18,142 | 107,502 | 3,861 | ||||||||||||||||||||||
Saratoga Large Capitalization Value Portfolio, Cl I | — | 123,521 | (2,851 | ) | 293 | 13,852 | — | 134,815 | 4,744 | |||||||||||||||||||||||
Saratoga Mid Capitalization Portfolio, CL I | 100,880 | 7,703 | (28,972 | ) | (1,078 | ) | 15,099 | 7,703 | 93,632 | 7,083 |
89
NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited)(Continued) |
4. | 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 | ||||||
Large Capitalization Value | $ | 8,767,648 | $ | 7,747,385 | ||||
Large Capitalization Growth | 7,629,226 | 11,679,454 | ||||||
Mid Capitalization | 2,295,033 | 2,926,651 | ||||||
Small Capitalization | 3,048,778 | 3,709,230 | ||||||
International Equity | 3,909,315 | 6,059,999 | ||||||
Health & Biotechnology | 2,669,566 | 4,482,630 | ||||||
Technology & Communications | 5,224,758 | 14,625,752 | ||||||
Energy & Basic Materials | 703,365 | 692,838 | ||||||
Financial Services | 825,919 | 885,745 | ||||||
Investment Quality Bond | 1,318,645 | 1,563,215 | ||||||
Municipal Bond | 535,479 | 536,709 | ||||||
Aggressive Balanced Allocation | 496,382 | 427,770 | ||||||
Conservative Balanced Allocation | 1,842,268 | 1,431,670 | ||||||
Moderate Balanced Allocation | 857,893 | 723,337 | ||||||
Moderately Aggressive Balanced Allocation | 382,770 | 329,901 | ||||||
Moderately Conservative Balanced Allocation | 505,062 | 585,660 |
(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.
90
NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited)(Continued) |
The gross returns to be exchanged or “swapped” between parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a “basket” of securities representing a particular index or market segment. Changes in the value of swap agreements are recognized as unrealized gains or losses in the Statements of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statements of Assets and Liabilities and may be referred to as upfront payments. The Portfolios amortize upfront payments and/or accrue for the fixed payment stream on swap agreements on a daily basis with the net amount recorded as a component of unrealized gain or loss on the Statements of Operations. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Statements of Operations. The Portfolios segregate liquid securities having a value at least equal to the amount of their current obligation under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Statements of Assets and Liabilities. The Portfolios’ maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that that amount is positive.
(f) Short Sales – Certain portfolios may sell securities short. A short sale is a transaction in which the Portfolio sells a security it does not own or have the right to acquire (or that it owns but does not wish to deliver) in anticipation that the market price of that security will decline.
When the Portfolio makes a short sale, the broker-dealer through which the short sale is made must borrow the security sold short and deliver it to the party purchasing the security. The Portfolio is required to make a margin deposit in connection with such short sales; the Portfolio may have to pay a fee to borrow particular securities and will often be obligated to pay over any dividends and accrued interest on borrowed securities.
If the price of the security sold short increases between the time of the short sale and the time the Portfolio covers its short position, the Portfolio will incur a loss; conversely, if the price declines, the Portfolio will realize a capital gain. Any gain will be decreased, and any loss increased, by the transaction costs described above. The successful use of short selling may be adversely affected by imperfect correlation between movements in the price of the security sold short and the securities being hedged.
To the extent the Portfolio sells securities short, it will provide collateral to the broker-dealer and (except in the case of short sales “against the box”) will maintain additional asset coverage in the form of cash, U.S. government securities or other liquid securities with its custodian in a segregated account in an amount at least equal to the difference between the current market value of the securities sold short and any amounts required to be deposited as collateral with the selling broker (not including the proceeds of the short sale). A short sale is “against the box” to the extent the Portfolio contemporaneously owns, or has the right to obtain at no added cost, securities identical to those sold short.
(g) Other Investment Companies or Exchange Traded Funds – Certain Portfolios may invest up to 100% of their net assets in shares of affiliated and unaffiliated investment companies, including money market mutual funds, other mutual funds or exchange-traded funds (“ETFs”). An ETF generally is an open-end investment company, unit investment trust or a portfolio of securities deposited with a depository in exchange for depository receipts. ETFs provide investors the opportunity to buy or sell throughout the day an entire portfolio of securities in a single security. Although index mutual funds are similar to index-based ETFs, they are generally sold and redeemed only once per day at market close. The ETFs in which a Portfolio invests may be subject to liquidity risk. Liquidity risk exists when particular investments are difficult to purchase or sell, possibly preventing the sale of the security at an advantageous time or price. To the extent that the ETFs in which a Portfolio invests hold securities of companies with smaller market capitalizations or securities with substantial market risk, they will have a greater exposure to liquidity risk. In addition, ETFs are subject to the following risks that do not apply to conventional mutual funds that can be found in “Exchange-Traded Funds” below: (1) the market price of the ETF’s shares may trade at a discount to their net asset value; (2) an active trading market for an ETF’s shares may not develop or be maintained; or (3) trading of an ETF’s shares may be halted if the listing exchange deem such action appropriate, the shares are de-listed from the exchange, or the activation of market-wide “circuit breakers” (which are tied to large decreases in stock prices) halts stock trading generally. Additionally, ETFs have management fees, which increase their cost. In addition to the advisory and operational fees a Portfolio bears directly in connection with its own operation, the Portfolio also bears its pro rata portion of the advisory and operational expenses incurred indirectly through investments in other investment companies.
The following table presents the Portfolios’ assets and liabilities available for offset under a master netting arrangement net of collateral pledged as of February 28, 2021.
Gross Amounts not offset in the | ||||||||||||||||
(Consolidated) Statements of Assets | ||||||||||||||||
and Liabilities | ||||||||||||||||
Gross Amounts Recognized | ||||||||||||||||
in (Consolidated) | Financial | |||||||||||||||
Statements of Assets and | Instruments | Cash Collateral | Net Amount | |||||||||||||
Liabilities | Pledged | Pledged | of Assets | |||||||||||||
Small Capitalization | ||||||||||||||||
Description of Liability Securities Loaned | $ | 137,876 | $ | 137,876 | $ | — | $ | — |
91
NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited)(Continued) |
5. | AUTHORIZED SHARES OF BENEFICIAL INTEREST AND PAR VALUE PER SHARE |
Each Portfolio has unlimited shares of beneficial interest authorized at $0.01 par value per share. For the periods indicated, transactions were as follows:
Class I Shares | Class A Shares | Class C Shares | ||||||||||||||||||||||
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 | |||||||||||||||||||
Large Capitalization Value | ||||||||||||||||||||||||
Issued | 90,317 | 52,810 | 64 | 1,519 | — | 447 | ||||||||||||||||||
Redeemed | (53,473 | ) | (131,904 | ) | (193 | ) | (3,383 | ) | (2,236 | ) | (8,555 | ) | ||||||||||||
Reinvested from Dividends | — | — | — | — | — | — | ||||||||||||||||||
Net Increase (Decrease) in Shares | 36,844 | (79,094 | ) | (129 | ) | (1,864 | ) | (2,236 | ) | (8,108 | ) | |||||||||||||
Large Capitalization Growth | ||||||||||||||||||||||||
Issued | 33,311 | 79,965 | 2,742 | 6,287 | 2,418 | 12,145 | ||||||||||||||||||
Redeemed | (229,802 | ) | (231,449 | ) | (8,347 | ) | (11,005 | ) | (19,152 | ) | (104,752 | ) | ||||||||||||
Reinvested from Dividends | 80,066 | 140,895 | 5,039 | 7,046 | 25,646 | 47,052 | ||||||||||||||||||
Net Increase (Decrease) in Shares | (116,425 | ) | (10,589 | ) | (566 | ) | 2,328 | 8,912 | (45,555 | ) | ||||||||||||||
Mid Capitalization | ||||||||||||||||||||||||
Issued | 49,950 | 67,723 | 439 | 834 | — | 435 | ||||||||||||||||||
Redeemed | (63,637 | ) | (127,848 | ) | (6,668 | ) | (14,672 | ) | (140 | ) | (12,664 | ) | ||||||||||||
Reinvested from Dividends | 57,113 | 2,686 | 11,713 | 16 | 946 | — | ||||||||||||||||||
Net Increase (Decrease) in Shares | 43,426 | (57,439 | ) | 5,484 | (13,822 | ) | 806 | (12,229 | ) | |||||||||||||||
Small Capitalization | ||||||||||||||||||||||||
Issued | 59,749 | 70,315 | 103 | 1,070 | — | 810 | ||||||||||||||||||
Redeemed | (144,371 | ) | (145,254 | ) | (696 | ) | (2,456 | ) | (256 | ) | (18,401 | ) | ||||||||||||
Reinvested from Dividends | — | 150 | — | — | — | — | ||||||||||||||||||
Net Increase (Decrease) in Shares | (84,622 | ) | (74,789 | ) | (593 | ) | (1,386 | ) | (256 | ) | (17,591 | ) | ||||||||||||
International Equity | ||||||||||||||||||||||||
Issued | 37,715 | 37,715 | 130 | 130 | 190 | 190 | ||||||||||||||||||
Redeemed | (282,489 | ) | (282,489 | ) | (13,032 | ) | (13,032 | ) | (1,247 | ) | (1,247 | ) | ||||||||||||
Reinvested from Dividends | 16,979 | 16,979 | 667 | 667 | — | — | ||||||||||||||||||
Net Increase (Decrease) in Shares | (227,795 | ) | (227,795 | ) | (12,235 | ) | (12,235 | ) | (1,057 | ) | (1,057 | ) | ||||||||||||
Health & Biotechnology | ||||||||||||||||||||||||
Issued | 24,372 | 24,372 | 9,802 | 9,802 | 4,828 | 4,828 | ||||||||||||||||||
Redeemed | (70,998 | ) | (70,998 | ) | (47,139 | ) | (47,139 | ) | (10,496 | ) | (10,496 | ) | ||||||||||||
Reinvested from Dividends | 11,781 | 11,781 | 11,372 | 11,372 | 2,745 | 2,745 | ||||||||||||||||||
Net Increase (Decrease) in Shares | (34,845 | ) | (34,845 | ) | (25,965 | ) | (25,965 | ) | (2,923 | ) | (2,923 | ) | ||||||||||||
Technology & Communications | ||||||||||||||||||||||||
Issued | 184,609 | 184,609 | 34,611 | 34,611 | 29,967 | 29,967 | ||||||||||||||||||
Redeemed | (370,707 | ) | (370,707 | ) | (174,268 | ) | (174,268 | ) | (78,314 | ) | (78,314 | ) | ||||||||||||
Reinvested from Dividends | 40,933 | 40,933 | 31,062 | 31,062 | 24,746 | 24,746 | ||||||||||||||||||
Net Increase (Decrease) in Shares | (145,165 | ) | (145,165 | ) | (108,595 | ) | (108,595 | ) | (23,601 | ) | (23,601 | ) | ||||||||||||
Energy & Basic Materials | ||||||||||||||||||||||||
Issued | 41,689 | 41,689 | 7,513 | 7,513 | 5 | 5 | ||||||||||||||||||
Redeemed | (23,919 | ) | (23,919 | ) | (24,126 | ) | (24,126 | ) | (332 | ) | (332 | ) | ||||||||||||
Net Increase (Decrease) in Shares | 17,770 | 17,770 | (16,613 | ) | (16,613 | ) | (327 | ) | (327 | ) | ||||||||||||||
Financial Services | ||||||||||||||||||||||||
Issued | 23,530 | 23,530 | 6,033 | 6,033 | 7 | 7 | ||||||||||||||||||
Redeemed | (34,106 | ) | (34,106 | ) | (1,007 | ) | (1,007 | ) | (991 | ) | (991 | ) | ||||||||||||
Reinvested from Dividends | 2,907 | 2,907 | 236 | 236 | 18 | 18 | ||||||||||||||||||
Net Increase (Decrease) in Shares | (7,669 | ) | (7,669 | ) | 5,262 | 5,262 | (966 | ) | (966 | ) | ||||||||||||||
Investment Quality Bond | ||||||||||||||||||||||||
Issued | 146,680 | 146,680 | 144 | 144 | 757 | 757 | ||||||||||||||||||
Redeemed | (150,020 | ) | (150,020 | ) | (699 | ) | (699 | ) | (7,587 | ) | (7,587 | ) | ||||||||||||
Reinvested from Dividends | 3,522 | 3,522 | 62 | 62 | 15 | 15 | ||||||||||||||||||
Net Increase (Decrease) in Shares | 182 | 182 | (493 | ) | (493 | ) | (6,815 | ) | (6,815 | ) |
92
NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited)(Continued) |
Class I Shares | Class A Shares | Class C Shares | ||||||||||||||||||||||
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 | |||||||||||||||||||
Municipal Bond | ||||||||||||||||||||||||
Issued | 11,621 | 142 | 76 | 262 | 76 | 847 | ||||||||||||||||||
Redeemed | (4,928 | ) | (6,131 | ) | (74 | ) | — | (78 | ) | (4,768 | ) | |||||||||||||
Reinvested from Dividends | 26 | 58 | 4 | 9 | 2 | 6 | ||||||||||||||||||
Net Increase (Decrease) in Shares | 6,719 | (5,931 | ) | 6 | 271 | — | (3,915 | ) | ||||||||||||||||
U.S. Government Money Market | ||||||||||||||||||||||||
Issued | 2,076,033 | 2,742,172 | 6,515 | 387,591 | 154,818 | 710,399 | ||||||||||||||||||
Redeemed | (1,067,736 | ) | (3,536,706 | ) | (14,959 | ) | (324,265 | ) | (79,450 | ) | (777,072 | ) | ||||||||||||
Reinvested from Dividends | 271 | 12,736 | 19 | 246 | 8 | 29 | ||||||||||||||||||
Net Increase (Decrease) in Shares | 1,008,568 | (781,798 | ) | (8,425 | ) | 63,572 | 75,376 | (66,644 | ) | |||||||||||||||
Aggressive Balanced Allocation | ||||||||||||||||||||||||
Issued | 1,303 | 4,280 | 418 | — | 15 | 5,703 | ||||||||||||||||||
Redeemed | (296 | ) | (2,481 | ) | (452 | ) | — | — | — | |||||||||||||||
Reinvested from Dividends | 1,188 | 2,250 | — | ** | 15 | 204 | 383 | |||||||||||||||||
Net Increase (Decrease) in Shares | 2,195 | 4,049 | (34 | ) | 15 | 219 | 6,086 | |||||||||||||||||
Conservative Balanced Allocation | ||||||||||||||||||||||||
Issued | 30,922 | 37,439 | — | — | 3,359 | 8,969 | ||||||||||||||||||
Redeemed | (22,568 | ) | (43,322 | ) | — | — | (3,305 | ) | (24,500 | ) | ||||||||||||||
Reinvested from Dividends | 742 | 5,393 | 8 | 102 | — | 2,183 | ||||||||||||||||||
Net Increase (Decrease) in Shares | 9,096 | (490 | ) | 8 | 102 | 54 | (13,348 | ) | ||||||||||||||||
Moderate Balanced Allocation | ||||||||||||||||||||||||
Issued | 1,079 | 16,136 | 847 | 3,289 | 1,338 | 38,512 | ||||||||||||||||||
Redeemed | — | (1,344 | ) | (181 | ) | (185 | ) | (5,461 | ) | (32,042 | ) | |||||||||||||
Reinvested from Dividends | 1,249 | 2,503 | 37 | 108 | 286 | 1,178 | ||||||||||||||||||
Net Increase (Decrease) in Shares | 2,328 | 17,295 | 703 | 3,212 | (3,837 | ) | 7,648 | |||||||||||||||||
Moderately Aggressive Balanced Allocation | ||||||||||||||||||||||||
Issued | — | 14,934 | — | 1,540 | 531 | 346 | ||||||||||||||||||
Redeemed | (2 | ) | (2 | ) | (352 | ) | (99 | ) | (261 | ) | (2,887 | ) | ||||||||||||
Reinvested from Dividends | 910 | 1,032 | 21 | 1 | 141 | 351 | ||||||||||||||||||
Net Increase (Decrease) in Shares | 908 | 15,964 | (331 | ) | 1,442 | 411 | (2,190 | ) | ||||||||||||||||
Moderately Conservative Balanced Allocation | ||||||||||||||||||||||||
Issued | 994 | 5,186 | — | — | 6,739 | 1,924 | ||||||||||||||||||
Redeemed | (31,062 | ) | (1,475 | ) | — | — | (705 | ) | (13,622 | ) | ||||||||||||||
Reinvested from Dividends | 744 | 2,355 | — | ** | — | ** | 179 | 571 | ||||||||||||||||
Net Increase (Decrease) in Shares | (29,324 | ) | 6,066 | — | ** | — | ** | 6,213 | (11,127 | ) |
** | Amount represents less than 0.5 shares. |
93
NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited)(Continued) |
6. | AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS |
The identified cost of investments in securities owned by each Fund for federal income tax purposes, and its respective gross unrealized appreciation and depreciation at February 28, 2021, were as follows:
Gross | Gross | Net Unrealized | ||||||||||||||
Tax | Unrealized | Unrealized | Appreciation/ | |||||||||||||
Cost | Appreciation | Depreciation | (Depreciation) | |||||||||||||
Large Capitalization Value | $ | 14,292,412 | $ | 2,650,998 | $ | (256,442 | ) | $ | 2,394,556 | |||||||
Large Capitalization Growth | 21,288,823 | 8,672,508 | (145,378 | ) | 8,527,130 | |||||||||||
Mid Capitalization | 8,199,772 | 3,097,794 | (71,939 | ) | 3,025,855 | |||||||||||
Small Capitalization | 4,687,377 | 2,280,693 | (23,267 | ) | 2,257,426 | |||||||||||
International Equity | 6,444,883 | 781,618 | (706,230 | ) | 75,388 | |||||||||||
Health & Biotechnology | 10,575,393 | 2,441,527 | (235,689 | ) | 2,205,838 | |||||||||||
Technology & Communications | 20,999,503 | 41,117,390 | (265,650 | ) | 40,851,740 | |||||||||||
Energy & Basic Materials | 1,152,331 | 70,865 | (178,471 | ) | (107,606 | ) | ||||||||||
Financial Services | 878,193 | 258,281 | (72,219 | ) | 186,062 | |||||||||||
Investment Quality Bond | 4,332,266 | 203,936 | — | 203,936 | ||||||||||||
Municipal Bond | 626,467 | 444 | (1,057 | ) | (613 | ) | ||||||||||
U.S. Government Money Market | 6,538,141 | — | — | — | ||||||||||||
Aggressive Balanced Allocation | 993,104 | 67,618 | (8,166 | ) | 59,452 | |||||||||||
Conservative Balanced Allocation | 2,703,397 | 111,673 | (14,440 | ) | 97,233 | |||||||||||
Moderate Balanced Allocation | 1,821,870 | 115,620 | (20,223 | ) | 95,397 | |||||||||||
Moderately Aggressive Balanced Allocation | 858,529 | 67,447 | (7,766 | ) | 59,681 | |||||||||||
Moderately Conservative Balanced Allocation | 842,433 | 46,117 | (193 | ) | 45,924 |
7. | DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL |
The tax character of dividends paid during the period ended August 31, 2020 was as follows:
For fiscal year ended | Ordinary | Tax Exempt | Long-Term | Return of | ||||||||||||||||
8/31/2020 | Income | Income | Capital Gains | Capital | Total | |||||||||||||||
Large Capitalization Value | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Large Capitalization Growth | — | — | 4,230,956 | 81,227 | 4,312,183 | |||||||||||||||
Mid Capitalization | 35,570 | — | — | — | 35,570 | |||||||||||||||
Small Capitalization | 930 | — | — | 80 | 1,010 | |||||||||||||||
International Equity | 191,876 | — | — | — | 191,876 | |||||||||||||||
Health & Biotechnology | — | — | 574,676 | — | 574,676 | |||||||||||||||
Technology & Communications | — | — | 2,296,441 | — | 2,296,441 | |||||||||||||||
Energy & Basic Materials | 2,901 | — | — | — | 2,901 | |||||||||||||||
Financial Services | — | — | 31,534 | — | 31,534 | |||||||||||||||
Investment Quality Bond | 36,658 | — | — | — | 36,658 | |||||||||||||||
Municipal Bond | 58 | 614 | — | — | 672 | |||||||||||||||
U.S. Government Money Market | 13,586 | — | — | — | 13,586 | |||||||||||||||
Aggressive Balanced Allocation | 16,903 | — | 10,215 | — | 27,118 | |||||||||||||||
Conservative Balanced Allocation | 56,032 | — | 22,797 | 6,624 | 85,453 | |||||||||||||||
Moderate Balanced Allocation | 25,097 | — | 14,052 | — | 39,149 | |||||||||||||||
Moderately Aggressive Balanced Allocation | 13,403 | — | 779 | — | 14,182 | |||||||||||||||
Moderately Conservative Balanced Allocation | 23,346 | — | 9,736 | — | 33,082 |
94
NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited)(Continued) |
The tax character of dividends paid during the period ended August 31, 2019 was as follows:
For fiscal year ended | Ordinary | Tax Exempt | Long-Term | Return of | ||||||||||||||||
8/31/2019 | Income | Income | Capital Gains | Capital | Total | |||||||||||||||
Large Capitalization Value | $ | 972,453 | $ | — | $ | — | $ | — | $ | 972,453 | ||||||||||
Large Capitalization Growth | 668,949 | — | 7,028,278 | — | 7,697,227 | |||||||||||||||
Mid Capitalization | 177,674 | — | 983,364 | — | 1,161,038 | |||||||||||||||
Small Capitalization | 58,581 | — | 774,167 | — | 832,748 | |||||||||||||||
International Equity | 61,912 | — | — | — | 61,912 | |||||||||||||||
Health & Biotechnology | — | — | 2,723,166 | — | 2,723,166 | |||||||||||||||
Technology & Communications | — | — | 2,232,550 | — | 2,232,550 | |||||||||||||||
Energy & Basic Materials | — | — | — | — | — | |||||||||||||||
Financial Services | — | — | 221,706 | — | 221,706 | |||||||||||||||
Investment Quality Bond | 66,738 | — | — | — | 66,738 | |||||||||||||||
Municipal Bond | 107 | 678 | — | — | 785 | |||||||||||||||
U.S. Government Money Market | 82,106 | — | — | — | 82,106 | |||||||||||||||
Aggressive Balanced Allocation | 15,790 | — | — | — | 15,790 | |||||||||||||||
Conservative Balanced Allocation | 24,376 | — | — | — | 24,376 | |||||||||||||||
Moderate Balanced Allocation | 17,091 | — | — | — | 17,091 | |||||||||||||||
Moderately Aggressive Balanced Allocation | 10,127 | — | 278 | — | 10,405 | |||||||||||||||
Moderately Conservative Balanced Allocation | 19,196 | — | — | — | 19,196 |
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 as follows:
Paid | Distributable | |||||||
In | or Accumulated | |||||||
Capital | Earnings (Loss) | |||||||
Large Capitalization Value | $ | (1,155 | ) | $ | 1,155 | |||
Large Capitalization Growth | (117,286 | ) | 117,286 | |||||
Mid Capitalization | 722 | (722 | ) | |||||
Small Capitalization | (7,435 | ) | 7,435 | |||||
International Equity | (14,943 | ) | 14,943 | |||||
Health & Biotechnology | — | — | ||||||
Technology & Communications | (337,786 | ) | 337,786 | |||||
Energy & Basic Materials | — | — | ||||||
Financial Services | (10,439 | ) | 10,439 | |||||
Investment Quality Bond | — | — | ||||||
Municipal Bond | — | — | ||||||
U.S. Government Money Market | — | — | ||||||
Aggressive Balanced Allocation | — | — | ||||||
Conservative Balanced Allocation | — | — | ||||||
Moderate Balanced Allocation | — | — | ||||||
Moderately Aggressive Balanced Allocation | — | — | ||||||
Moderately Conservative Balanced Allocation | — | — |
Net assets were unaffected by the above reclassifications.
95
NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited)(Continued) |
As of each of the Portfolio’s tax year-ended August 31, 2020, the components of distributable earnings on a tax basis were as follows:
Undistributed | Undistributed | Post October Loss | Capital Loss | Other | Unrealized | Total | ||||||||||||||||||||||
Ordinary | Long-Term | and | Carry | Book/Tax | Appreciation/ | Accumulated | ||||||||||||||||||||||
Income | Capital Gains | Late Year Loss | Forwards | Differences | (Depreciation) | Earnings/(Deficits) | ||||||||||||||||||||||
Large Capitalization Value | — | — | (21,477 | ) | (17,087 | ) | — | 720,412 | 681,848 | |||||||||||||||||||
Large Capitalization Growth | — | — | (24,977 | ) | — | — | 9,514,052 | 9,489,075 | ||||||||||||||||||||
Mid Capitalization | 66,741 | 583,362 | — | — | — | 1,420,090 | 2,070,193 | |||||||||||||||||||||
Small Capitalization | — | — | (186,752 | ) | (410,539 | ) | — | 1,197,227 | 599,936 | |||||||||||||||||||
International Equity | 72,308 | — | (92,465 | ) | (2,998,709 | ) | 14,943 | 76,625 | (2,927,298 | ) | ||||||||||||||||||
Health & Biotechnology | 24,141 | 1,457,381 | — | — | — | 2,205,838 | 3,687,360 | |||||||||||||||||||||
Technology & Communications | — | 5,883,288 | (261,643 | ) | — | — | 40,851,740 | 46,473,385 | ||||||||||||||||||||
Energy & Basic Materials | 16,432 | — | (272,038 | ) | (887,317 | ) | — | (107,598 | ) | (1,250,521 | ) | |||||||||||||||||
Financial Services | — | 4,452 | (3,800 | ) | — | — | 186,062 | 186,714 | ||||||||||||||||||||
Investment Quality Bond | 8,659 | — | — | (14,907 | ) | — | 203,936 | 197,688 | ||||||||||||||||||||
Municipal Bond | — | — | (736 | ) | (22,793 | ) | — | 10,569 | (12,960 | ) | ||||||||||||||||||
U.S. Government Money Market | 818 | — | — | — | (2 | ) | — | 816 | ||||||||||||||||||||
Aggressive Balanced Allocation | — | 6,364 | — | — | — | 26,190 | 32,554 | |||||||||||||||||||||
Conservative Balanced Allocation | — | — | (15,891 | ) | — | — | 98,938 | 83,047 | ||||||||||||||||||||
Moderate Balanced Allocation | — | 10,233 | (1,277 | ) | — | — | 50,802 | 59,758 | ||||||||||||||||||||
Moderately Aggressive Balanced Allocation | — | 7,201 | — | — | — | 31,763 | 38,964 | |||||||||||||||||||||
Moderately Conservative Balanced Allocation | — | 10,162 | (297 | ) | — | — | 28,598 | 38,463 |
The difference between book basis and tax basis unrealized appreciation (depreciation), undistributed net investment income (loss) and accumulated net realized gain (loss) from security transactions are primarily attributable to the tax deferral of losses on wash sales, adjustments for a wholly owned subsidiary, mark-to-market on open forward foreign currency contracts, futures and swap contracts, passive foreign investment companies and adjustments for partnerships, real estate investment trusts, perpetual bond securities, trust preferred securities, accrued dividends payable and dividends payable on foreign tax passthrough and C-Corporations adjustments. The unrealized appreciation (depreciation) in the table above includes unrealized foreign currency gains (losses) of $8 and $(1,237) for the Energy & Basic Materials Portfolio and International Equity Portfolio respectively
Late year losses incurred after December 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Portfolios below incurred and elected to defer such late year losses as follows:
Late Year | ||||
Losses | ||||
Large Capitalization Value | $ | 21,477 | ||
Large Capitalization Growth | 24,977 | |||
Mid Capitalization | — | |||
Small Capitalization | 22,094 | |||
International Equity | — | |||
Health & Biotechnology | — | |||
Technology & Communications | 261,643 | |||
Energy & Basic Materials | — | |||
Financial Services | 3,800 | |||
Investment Quality Bond | — | |||
Municipal Bond | — | |||
U.S. Government Money Market | — | |||
Aggressive Balanced Allocation | — | |||
Conservative Balanced Allocation | 601 | |||
Moderate Balanced Allocation | 1,277 | |||
Moderately Aggressive Balanced Allocation | — | |||
Moderately Conservative Balanced Allocation | 297 |
96
NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited)(Continued) |
Capital losses incurred after October 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Portfolios below incurred and elected to defer such capital losses as follows:
Post October | ||||
Losses | ||||
Large Capitalization Value | $ | — | ||
Large Capitalization Growth | — | |||
Mid Capitalization | — | |||
Small Capitalization | 164,658 | |||
International Equity | 92,465 | |||
Health & Biotechnology | — | |||
Technology & Communications | — | |||
Energy & Basic Materials | 272,038 | |||
Financial Services | — | |||
Investment Quality Bond | — | |||
Municipal Bond | 736 | |||
U.S. Government Money Market | — | |||
Aggressive Balanced Allocation | — | |||
Conservative Balanced Allocation | 15,290 | |||
Moderate Balanced Allocation | — | |||
Moderately Aggressive Balanced Allocation | — | |||
Moderately Conservative Balanced Allocation | — |
8. | UNDERLYING INVESTMENTS IN OTHER INVESTMENT COMPANIES |
Each underlying fund, including each exchange-traded fund (“ETF”), is subject to specific risks, depending on the nature of the underlying fund. These risks could include liquidity risk, sector risk, foreign and related currency risk, as well as risks associated with real estate investments and commodities. Investors in the Fund will indirectly bear fees and expenses charged by the underlying investment companies in which the Fund invests in addition to the Fund’s direct fees and expenses.
The performance of the Investment Quality Bond Portfolio will be directly affected by the performance of the Vanguard Short-Term Bond Index Fund – Admiral Shares. The financial statements of the Vanguard Short Term Tax Exempt Fund – Admiral Shares, including the portfolio of investments, can be found on the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the Portfolio’s financial statements. As of February 28, 2021, the percentage of net assets invested in the Vanguard Short-Term Bond Index Fund – Admiral Shares was 57.1%.
The performance of the Municipal Bond Portfolio will be directly affected by the performance of the JPMorgan Ultra-Short Municipal Fund - Class I. The financial statements of the JPMorgan Ultra-Short Municipal Fund - Class I, 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 JPMorgan Ultra-Short Municipal Fund - Class I was 78.3%.
The performance of the Conservative Balanced Allocation Portfolio will be directly affected by the performance of the Vanguard Ultra-Short-Term Bond Fund – Admiral Class. The financial statements of the Vanguard Ultra-Short-Term Bond Fund, 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 Vanguard Ultra-Short-Term Bond Fund was 32.5%.
The performance of the Conservative Balanced Allocation Portfolio will be directly affected by the performance of the Dreyfus Institutional Preferred Government Money Market – Institutional Class. The financial statements of the Dreyfus Institutional Preferred Government Money Market – Institutional Class, including the portfolio of investments, can be found on the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the Portfolio’s financial statements. As of February 28, 2021, the percentage of net assets invested in the Dreyfus Institutional Preferred Government Money Market – Institutional Class was 25.3%.
The performance of the Moderate Balanced Allocation Portfolio will be directly affected by the performance of the Dreyfus Institutional Preferred Government Money Market – Institutional Class. The financial statements of the Dreyfus Institutional Preferred Government Money Market – Institutional Class, including the portfolio of investments, can be found on the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the Portfolio’s financial statements. As of February 28, 2021, the percentage of net assets invested in the Dreyfus Institutional Preferred Government Money Market – Institutional Class was 27.6%.
The performance of the Moderately Conservative Balanced Allocation Portfolio will be directly affected by the performance of the Vanguard Ultra-Short-Term Bond Fund – Admiral Class. The financial statements of the Vanguard Ultra-Short-Term Bond Fund, 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 Vanguard Ultra-Short-Term Bond Fund was 32.5%.
97
NOTES TO FINANCIAL STATEMENTS |
Six Months Ended February 28, 2021 (Unaudited)(Continued) |
9. | BENEFICIAL OWNERSHIP |
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 | ||||||||||||||||||||||||||||||||||
UBS Wealth | Denis | Financial | Pershing, | National | Mid Atlantic Trust | Clearing | TD Ameritrade | Charles Schwab | ||||||||||||||||||||||||||||
Management * | Nayden | Services * | LLC * | Bank * | Company FBO * | Services * | Trust Company * | & Co., Inc. | ||||||||||||||||||||||||||||
International Equity | — | — | — | — | 47.03 | % | — | — | — | — | ||||||||||||||||||||||||||
Energy & Basic Materials | — | — | — | — | 45.31 | % | — | �� | — | — | — | |||||||||||||||||||||||||
Financial Services | — | — | — | — | 53.63 | % | — | — | — | — | ||||||||||||||||||||||||||
Investment Quality Bond | — | — | — | — | 88.04 | % | — | — | — | — | ||||||||||||||||||||||||||
Large Cap Value | — | — | — | — | 25.61 | % | — | — | — | — | ||||||||||||||||||||||||||
Large Cap Growth | — | — | — | — | 29.91 | % | — | — | — | — | ||||||||||||||||||||||||||
Small Cap | — | — | — | — | 50.59 | % | — | — | — | — | ||||||||||||||||||||||||||
Mid Cap | — | — | — | — | 41.12 | % | — | — | — | — | ||||||||||||||||||||||||||
U.S. Government Money Market | — | — | — | — | 58.69 | % | — | — | — | — | ||||||||||||||||||||||||||
Aggressive Balanced Allocation | — | — | — | — | 67.46 | % | 29.49 | % | — | — | — | |||||||||||||||||||||||||
Conservative Balanced Allocation | — | — | — | 26.29 | % | 46.32 | % | 25.88 | % | — | — | — | ||||||||||||||||||||||||
Moderate Balanced Allocation | ||||||||||||||||||||||||||||||||||||
Portfolio | — | — | — | 29.00 | % | 41.24 | % | — | — | — | — | |||||||||||||||||||||||||
Moderately Aggressive Balanced | ||||||||||||||||||||||||||||||||||||
Allocation | — | — | — | — | 53.06 | % | 43.45 | % | — | — | — | |||||||||||||||||||||||||
Moderately Conservative | ||||||||||||||||||||||||||||||||||||
Balanced Allocation | — | — | — | — | 53.88 | % | 28.28 | % | — | — | — |
* | Comprised of multiple investors and accounts |
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.
98
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
Large Capitalization Value 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 | $ | 22.32 | $ | 21.17 | $ | 22.78 | $ | 23.77 | $ | 20.85 | $ | 21.70 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) (1) | 0.05 | (0.03 | ) | (0.01 | ) | 0.10 | 0.07 | 0.10 | ||||||||||||||||
Net realized and unrealized gain (loss) | 6.05 | 1.18 | (0.21 | ) | 0.71 | 2.85 | (0.50 | ) | ||||||||||||||||
Total from investment operations | 6.10 | 1.15 | (0.22 | ) | 0.81 | 2.92 | (0.40 | ) | ||||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | — | — | (0.07 | ) | — | — | — | |||||||||||||||||
Distributions from realized gains | — | — | (1.32 | ) | (0.78 | ) | — | (0.45 | ) | |||||||||||||||
Distributions from return of capital | — | — | — | (1.02 | ) | — | — | |||||||||||||||||
Total dividends and distributions | — | — | (1.39 | ) | (1.80 | ) | — | (0.45 | ) | |||||||||||||||
Redemption Fees | — | — | — | — | — | — | ** | |||||||||||||||||
Net Asset Value, End of Year/Period | $ | 28.42 | $ | 22.32 | $ | 21.17 | $ | 22.78 | $ | 23.77 | $ | 20.85 | ||||||||||||
Total Return* | 27.33 | % | 5.43 | % | (0.14 | )% | 3.58 | % | 14.00 | % | (1.77 | )% | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 16,732 | $ | 12,317 | $ | 13,358 | $ | 14,930 | $ | 17,247 | $ | 18,469 | ||||||||||||
Ratio of gross operating expenses to average net assets (2) | 1.09 | % (4) | 1.17 | % | 1.14 | % | 1.22 | % | 1.24 | % | 1.24 | % | ||||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | 0.39 | % (4) | (0.15 | )% | (0.04 | )% | 0.45 | % | 0.30 | % | 0.48 | % | ||||||||||||
Portfolio Turnover Rate | 59 | % (5) | 82 | % | 87 | % | 100 | % | 65 | % | 79 | % | ||||||||||||
Large Capitalization Growth 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 | $ | 28.60 | $ | 24.45 | $ | 31.61 | $ | 25.48 | $ | 26.87 | $ | 27.21 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) (1) | (0.03 | ) | (0.03 | ) | — | — | (0.01 | ) | 0.26 | |||||||||||||||
Net realized and unrealized gain (loss) | 1.71 | 7.85 | (1.76 | ) | 7.68 | 3.76 | 2.12 | |||||||||||||||||
Total from investment operations | 1.68 | 7.82 | (1.76 | ) | 7.68 | 3.75 | 2.38 | |||||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | — | — | — | — | (0.25 | ) | — | |||||||||||||||||
Distributions from realized gains | (2.44 | ) | (3.67 | ) | (5.40 | ) | (1.55 | ) | (4.89 | ) | (2.72 | ) | ||||||||||||
Total dividends and distributions | (2.44 | ) | (3.67 | ) | (5.40 | ) | (1.55 | ) | (5.14 | ) | (2.72 | ) | ||||||||||||
Redemption Fees | — | — | — | — | — | — | ** | |||||||||||||||||
Net Asset Value, End of Year/Period | $ | 27.84 | $ | 28.60 | $ | 24.45 | $ | 31.61 | $ | 25.48 | $ | 26.87 | ||||||||||||
Total Return* | 6.38 | % | 35.93 | % | (4.37 | )% | 31.33 | % | 17.04 | % | 8.92 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 24,239 | $ | 28,236 | $ | 24,398 | $ | 29,936 | $ | 26,906 | $ | 31,109 | ||||||||||||
Ratio of gross operating expenses to average net assets (3) | 1.07 | % (4) | 1.12 | % | 1.06 | % | 1.14 | % | 1.22 | % | 1.21 | % | ||||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | (0.19 | )% (4) | (0.11 | )% | 0.01 | % | 0.00 | % | (0.04 | )% | 0.96 | % | ||||||||||||
Portfolio Turnover Rate | 25 | % (5) | 74 | % | 90 | % | 74 | % | 97 | % | 160 | % | ||||||||||||
(1) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Year. | ||||||||||||||||||||||||
(2) Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Large Cap Value Portfolio: | ||||||||||||||||||||||||
1.09 | % (4) | 1.17 | % | 1.14 | % | 1.22 | % | 1.24 | % | 1.24 | % | |||||||||||||
(3) Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Large Cap Growth Portfolio: | ||||||||||||||||||||||||
1.07 | % (4) | 1.12 | % | 1.06 | % | 1.14 | % | 1.22 | % | 1.21 | % |
(4) | Annualized for periods less than one year. |
(5) | Not annualized. |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
99
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
Mid Capitalization 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 | $ | 11.60 | $ | 11.69 | $ | 13.48 | $ | 12.87 | $ | 12.96 | $ | 14.00 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) (1) | 0.00 | 0.03 | 0.08 | 0.05 | 0.05 | (0.01 | ) | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.73 | (0.07 | ) | (0.65 | ) | 1.57 | 0.76 | (0.45 | ) | |||||||||||||||
Total from investment operations | 2.73 | (0.04 | ) | (0.57 | ) | 1.62 | 0.81 | (0.46 | ) | |||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.04 | ) | (0.05 | ) | (0.07 | ) | (0.06 | ) | — | — | ||||||||||||||
Distributions from realized gains | (1.07 | ) | — | (1.15 | ) | (0.95 | ) | (0.90 | ) | (0.58 | ) | |||||||||||||
Distributions from return of capital | — | — | — | — | — | — | ||||||||||||||||||
Total dividends and distributions | (1.11 | ) | (0.05 | ) | (1.22 | ) | (1.01 | ) | (0.90 | ) | (0.58 | ) | ||||||||||||
Redemption Fees | — | — | — | — | — | ** | — | ** | ||||||||||||||||
Net Asset Value, End of Year/Period | $ | 13.22 | $ | 11.60 | $ | 11.69 | $ | 13.48 | $ | 12.87 | $ | 12.96 | ||||||||||||
Total Return* | 24.22 | % | (0.38 | )% | (3.13 | )% | 13.17 | % | 6.55 | % | (3.10 | )% | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 9,838 | $ | 8,126 | $ | 8,859 | $ | 10,224 | $ | 10,306 | $ | 11,889 | ||||||||||||
Ratio of gross operating expenses to average net assets (2) | 1.37 | % (4) | 1.46 | % | 1.29 | % | 1.45 | % | 1.61 | % | 1.60 | % | ||||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | 0.04 | % (4) | 0.28 | % | 0.66 | % | 0.40 | % | 0.40 | % | (0.10 | )% | ||||||||||||
Portfolio Turnover Rate | 23 | % (5) | 53 | % | 49 | % | 39 | % | 43 | % | 54 | % | ||||||||||||
Small Capitalization 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 | $ | 6.43 | $ | 5.89 | $ | 8.10 | $ | 6.66 | $ | 5.70 | $ | 8.94 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) (1) | (0.01 | ) | (0.03 | ) | — | (0.01 | ) | (0.05 | ) | (0.03 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 2.42 | 0.57 | (1.30 | ) | 1.45 | 1.01 | 0.06 | |||||||||||||||||
Total from investment operations | 2.41 | 0.54 | (1.30 | ) | 1.44 | 0.96 | 0.03 | |||||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Distributions from realized gains | — | — | (0.91 | ) | — | — | (3.27 | ) | ||||||||||||||||
Total dividends and distributions | — | — | (0.91 | ) | — | — | (3.27 | ) | ||||||||||||||||
Redemption Fees | — | — | — | — | — | — | ||||||||||||||||||
Net Asset Value, End of Year/Period | $ | 8.84 | $ | 6.43 | $ | 5.89 | $ | 8.10 | $ | 6.66 | $ | 5.70 | ||||||||||||
Total Return* | 37.48 | % | 9.19 | % | (15.41 | )% | 21.62 | % | 16.84 | % | 1.72 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 6,630 | $ | 5,362 | $ | 5,357 | $ | 7,331 | $ | 6,963 | $ | 7,119 | ||||||||||||
Ratio of gross operating expenses to average net assets (3) | 1.43 | % (4) | 1.68 | % | 1.44 | % | 1.55 | % | 1.88 | % | 1.75 | % | ||||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | (0.35 | )% (4) | (0.44 | )% | (0.04 | )% | (0.20 | )% | (0.81 | )% | (0.48 | )% | ||||||||||||
Portfolio Turnover Rate | 51 | % (5) | 101 | % | 90 | % | 115 | % | 127 | % | 112 | % | ||||||||||||
(1) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Year. | ||||||||||||||||||||||||
(2) Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Mid Capitalization Portfolio: | ||||||||||||||||||||||||
1.37 | % (4) | 1.46 | % | 1.29 | % | 1.45 | % | 1.61 | % | 1.60 | % | |||||||||||||
(3) Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Small Cap Portfolio: | ||||||||||||||||||||||||
1.43 | % (4) | 1.68 | % | 1.44 | % | 1.55 | % | 1.88 | % | 1.75 | % |
(4) | Annualized for periods less than one year. |
(5) | Not annualized. |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
100
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
International 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 | $ | 8.94 | $ | 8.95 | $ | 10.23 | $ | 11.64 | $ | 9.38 | $ | 9.58 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (1) | 0.01 | 0.10 | 0.19 | 0.11 | — | 0.05 | ** | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.47 | 0.08 | (1.42 | ) | (0.39 | ) | 1.19 | (0.24 | ) | |||||||||||||||
Total from investment operations | 2.48 | 0.18 | (1.23 | ) | (0.28 | ) | 1.19 | (0.19 | ) | |||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.18 | ) | (0.19 | ) | (0.05 | ) | — | ** | (0.06 | ) | (0.01 | ) | ||||||||||||
Total dividends and distributions | (0.18 | ) | (0.19 | ) | (0.05 | ) | — | (0.06 | ) | (0.01 | ) | |||||||||||||
Redemption Fees | — | — | — | — | — | ** | — | ** | ||||||||||||||||
Net Asset Value, End of Year/Period | $ | 11.24 | $ | 8.94 | $ | 8.95 | $ | 10.23 | $ | 10.51 | $ | 9.38 | ||||||||||||
Total Return* | 30.50 | % # | 1.80 | % # | (12.02 | )% # | (2.63 | )% | 12.76 | % | (1.94 | )% | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 4,337 | $ | 6,277 | $ | 8,320 | $ | 11,024 | $ | 4,570 | $ | 5,072 | ||||||||||||
Ratio of gross operating expenses to average net assets (2) | 2.18 | % (4) | 1.64 | % | 1.61 | % | 2.30 | % | 2.96 | % | 2.73 | % | ||||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | 0.25 | % (4) | 1.09 | % | 2.00 | % | 0.99 | % | 0.01 | % | 0.58 | % | ||||||||||||
Portfolio Turnover Rate | 30 | % (5) | 30 | % | 95 | % | 130 | % | 69 | % | 125 | % | ||||||||||||
Health & Biotechnology 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 | $ | 23.02 | $ | 21.14 | $ | 27.51 | $ | 27.43 | $ | 31.47 | $ | 32.56 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) (1) | (0.04 | ) | 0.01 | (0.01 | ) | (0.05 | ) | (0.09 | ) | (0.05 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 1.10 | 2.78 | (2.30 | ) | 2.34 | 1.18 | 2.01 | |||||||||||||||||
Total from investment operations | 1.06 | 2.79 | (2.31 | ) | 2.29 | 1.09 | 1.96 | |||||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | — | — | — | — | — | — | ||||||||||||||||||
Distributions from realized gains | (2.58 | ) | (0.91 | ) | (4.06 | ) | (4.23 | ) | (3.11 | ) | (3.05 | ) | ||||||||||||
Total dividends and distributions | (2.58 | ) | (0.91 | ) | (4.06 | ) | (4.23 | ) | (3.11 | ) | (3.05 | ) | ||||||||||||
Redemption Fees | — | — | — | — | — | — | ** | |||||||||||||||||
Net Asset Value, End of Year/Period | $ | 21.50 | $ | 23.02 | $ | 21.14 | $ | 27.51 | $ | 29.45 | $ | 31.47 | ||||||||||||
Total Return* | 12.49 | % | 13.22 | % | (9.16 | )% | 8.88 | % | 4.43 | % | 6.48 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 6,693 | $ | 6,741 | $ | 6,927 | $ | 9,436 | $ | 10,246 | $ | 12,943 | ||||||||||||
Ratio of gross operating expenses to average net assets (3) | 1.86 | % (4) | 1.91 | % | 1.82 | % | 1.90 | % | 1.93 | % | 1.90 | % | ||||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | (0.40 | )% (4) | 0.05 | % | (0.02 | )% | (0.20 | )% | (0.29 | )% | (0.17 | )% | ||||||||||||
Portfolio Turnover Rate | 15 | % (5) | 21 | % | 32 | % | 13 | % | 12 | % | 19 | % | ||||||||||||
(1) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Year. | ||||||||||||||||||||||||
(2) Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the International Equity Portfolio: | ||||||||||||||||||||||||
1.59 | % (4) | 1.25 | % | 1.25 | % | 1.92 | % | 2.90 | % | 2.73 | % | |||||||||||||
(3) During the year ended August 31, 2015, the Manager recaptured previously waived/reimbursed expenses. The ratio of expenses to average net assets excluding the effect of any recapture was 2.28% for the year ending August 31, 2015. | ||||||||||||||||||||||||
(3) Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Health & Biotechnology Portfolio: | ||||||||||||||||||||||||
1.86 | % (4) | 1.91 | % | 1.82 | % | 1.90 | % | 1.93 | % | 1.90 | % |
(4) | Annualized for periods less than one year. |
(5) | 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. |
101
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
Technology & Communications 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 | $ | 24.28 | $ | 24.28 | $ | 24.86 | $ | 23.26 | $ | 18.08 | $ | 17.16 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) (1) | (0.12 | ) | (0.11 | ) | 0.03 | (0.11 | ) | (0.08 | ) | 0.03 | ||||||||||||||
Net realized and unrealized gain | (1.02 | ) | 8.43 | 0.27 | 5.89 | 4.17 | 2.79 | |||||||||||||||||
Total from investment operations | (1.14 | ) | 8.32 | 0.30 | 5.78 | 4.09 | 2.82 | |||||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Distributions from realized gains | (0.97 | ) | (0.97 | ) | (0.88 | ) | (1.59 | ) | (1.50 | ) | (1.90 | ) | ||||||||||||
Total dividends and distributions | (0.97 | ) | (0.97 | ) | (0.88 | ) | (1.59 | ) | (1.50 | ) | (1.90 | ) | ||||||||||||
Redemption Fees | — | — | — | — | — | ** | — | |||||||||||||||||
Net Asset Value, End of Year/Period | $ | 22.17 | $ | 31.63 | $ | 24.28 | $ | 24.86 | $ | 20.67 | $ | 18.08 | ||||||||||||
Total Return* | 38.56 | % | 35.28 | % | 1.70 | % | 29.38 | % | 23.97 | % | 17.77 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 32,162 | $ | 32,790 | $ | 28,695 | $ | 29,894 | $ | 25,550 | $ | 19,867 | ||||||||||||
Ratio of gross operating expenses to average net assets (2) | 1.66 | % (5) | 3.39 | % | 1.68 | % | 1.75 | % | 1.80 | % | 1.84 | % | ||||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | (0.83 | )% (5) | (0.85 | )% | 0.11 | % | (0.50 | )% | (0.44 | )% | 0.16 | % | ||||||||||||
Portfolio Turnover Rate | 5 | % (6) | 10 | % | 2 | % | 1 | % | 16 | % | 37 | % | ||||||||||||
Energy & Basic Materials 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 | $ | 10.11 | $ | 10.11 | $ | 14.44 | $ | 12.15 | $ | 11.46 | $ | 11.86 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) (1) | 0.04 | 0.14 | 0.04 | (0.07 | ) | (0.02 | ) | (0.09 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 1.97 | (2.01 | ) | (4.37 | ) | 2.36 | 0.71 | (0.31 | ) | |||||||||||||||
Total from investment operations | 2.01 | (1.87 | ) | (4.33 | ) | 2.29 | 0.69 | (0.40 | ) | |||||||||||||||
Redemption Fees | — | — | — | — | — | — | ||||||||||||||||||
Net Asset Value, End of Year/Period | $ | 12.12 | $ | 8.24 | $ | 10.11 | $ | 14.44 | $ | 12.15 | $ | 11.46 | ||||||||||||
Total Return* | 16.90 | % | (18.50 | )% | (29.99 | )% | 18.85 | % | 6.02 | % | (3.37 | )% | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 1,044 | $ | 942 | $ | 976 | $ | 1,783 | $ | 1,452 | $ | 1,857 | ||||||||||||
Ratio of gross operating expenses to average net assets (3) | 3.71 | % (5) | 7.36 | % | 3.07 | % | 3.51 | % | 3.46 | % | 3.56 | % | ||||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | 1.13 | % (5) | 3.17 | % | 0.35 | % | (0.53 | )% | (0.18 | )% | (0.81 | )% | ||||||||||||
Portfolio Turnover Rate | 32 | % (6) | 63 | % | 45 | % | 61 | % | 54 | % | 134 | % | ||||||||||||
(1) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Year. | ||||||||||||||||||||||||
(2) Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Technology & Communications Portfolio: | ||||||||||||||||||||||||
1.66 | % (5) | 1.68 | % | 1.68 | % | 1.75 | % | 1.80 | % | 1.84 | % | |||||||||||||
(3) Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Energy & Basic Materials Portfolio: | ||||||||||||||||||||||||
3.00 | % (5) | 3.00 | % | 3.00 | % | 3.00 | % | 3.00 | % | 3.00 | % |
(4) | During the years ended August 31, 2015, the Manager recaptured previously waived/reimbursed expenses. The ratio of expenses to average net assets excluding the effect of any recapture were 2.86% for the year ending August 31, 2015, for the Energy & Basic Materials Portfolio. |
(5) | Annualized for periods less than one year. |
(6) | 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. |
102
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
Financial Services 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 | $ | 8.92 | $ | 8.92 | $ | 12.02 | $ | 12.23 | $ | 8.89 | $ | 8.63 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment loss (1) | — | (0.06 | ) | (0.07 | ) | (0.15 | ) | (0.11 | ) | (0.07 | ) | |||||||||||||
Gain from trade error | — | — | — | — | 0.14 | — | ||||||||||||||||||
Net realized and unrealized gain (loss) | 2.36 | (0.76 | ) | (1.35 | ) | 1.61 | 1.64 | 0.33 | ||||||||||||||||
Total from investment operations | 2.36 | (0.82 | ) | (1.42 | ) | 1.46 | 1.67 | 0.26 | ||||||||||||||||
Redemption Fees | — | — | — | — | — | ** | — | |||||||||||||||||
Net Asset Value, End of Year/Period | $ | 10.94 | $ | 7.89 | $ | 8.92 | $ | 12.02 | $ | 10.56 | $ | 8.89 | ||||||||||||
Total Return* | 21.30 | % | (9.60 | )% | (10.93 | )% | 13.83 | % | 18.79 | % + | 3.01 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 1,249 | $ | 944 | $ | 1,136 | $ | 1,411 | $ | 1,736 | $ | 1,525 | ||||||||||||
Ratio of gross operating expenses to | ||||||||||||||||||||||||
average net assets (2) | 3.31 | % (4) | 7.08 | % | 3.41 | % | 3.42 | % | 3.51 | % | 3.74 | % | ||||||||||||
Ratio of net investment income (loss) after expense | ||||||||||||||||||||||||
reimbursement/recoupment to average net assets | 0.00 | % (4) | (1.34 | )% | (0.73 | )% | (1.29 | )% | (1.15 | )% | (0.89 | )% | ||||||||||||
Portfolio Turnover Rate | 32 | % (5) | 71 | % | 67 | % | 52 | % | 55 | % | 73 | % | ||||||||||||
Investment Quality Bond 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 | $ | 9.56 | $ | 9.56 | $ | 9.31 | $ | 9.45 | $ | 9.69 | $ | 9.64 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (1) | 0.02 | 0.07 | 0.11 | 0.08 | 0.09 | 0.09 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 5.29 | 0.24 | 0.27 | (0.21 | ) | (0.09 | ) | 0.14 | ||||||||||||||||
Total from investment operations | 5.31 | 0.31 | 0.38 | (0.13 | ) | — | 0.23 | |||||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.04 | ) | (0.08 | ) | (0.13 | ) | (0.06 | ) | (0.08 | ) | (0.09 | ) | ||||||||||||
Distributions from realized gains | — | — | — | (0.07 | ) | (0.04 | ) | (0.09 | ) | |||||||||||||||
Total dividends and distributions | (0.04 | ) | (0.08 | ) | (0.13 | ) | (0.13 | ) | (0.12 | ) | (0.18 | ) | ||||||||||||
Redemption Fees | — | — | — | — | — | — | ||||||||||||||||||
Net Asset Value, End of Year/Period | $ | 14.83 | $ | 9.79 | $ | 9.56 | $ | 9.31 | $ | 9.57 | $ | 9.69 | ||||||||||||
Total Return* | 1.36 | % | 3.24 | % | 4.14 | % | (1.34 | )% | 0.00 | % | 2.37 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 6,780 | $ | 4,345 | $ | 4,243 | $ | 4,935 | $ | 6,420 | $ | 7,812 | ||||||||||||
Ratio of gross operating expenses to average net assets (3) | 1.29 | % (4) | 2.77 | % | 1.27 | % | 1.54 | % | 1.46 | % | 1.35 | % | ||||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | 0.48 | % (4) | 1.43 | % | 1.18 | % | 0.87 | % | 0.91 | % | 1.35 | % | ||||||||||||
Portfolio Turnover Rate | 69 | % (5) | 23 | % | 11 | % | 112 | % | 15 | % | 37 | % | ||||||||||||
(1) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the Year. | ||||||||||||||||||||||||
(2) Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Financial Services Portfolio: | ||||||||||||||||||||||||
3.00 | % (4) | 3.00 | % | 3.00 | % | 3.00 | % | 3.00 | % | 3.00 | % | |||||||||||||
(3) Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Investment Quality Bond Portfolio: | ||||||||||||||||||||||||
1.29 | % (4) | 1.37 | % | 1.27 | % | 1.23 | % | 1.35 | % | 1.30 | % |
(4) | Annualized for periods less than one year. |
(5) | Not annualized. |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
** | Per share amount represents less than $0.01 per share. |
+ | Includes a reimbursement from the Advisor for a trading error without this transaction the total return would have been 17.21%. |
103
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year) |
Municipal Bond 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 | $ | 9.08 | $ | 9.02 | $ | 8.95 | $ | 9.24 | $ | 9.82 | $ | 9.67 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) (1) | (0.03 | ) | 0.00 | 0.01 | 0.05 | 0.05 | 0.03 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.00 | 0.07 | 0.07 | (0.29 | ) | (0.20 | ) | 0.29 | ||||||||||||||||
Total from investment operations | (0.03 | ) | 0.07 | 0.08 | (0.24 | ) | (0.15 | ) | 0.32 | |||||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.00 | ) | (0.01 | ) | (0.01 | ) | (0.05 | ) | (0.05 | ) | (0.03 | ) | ||||||||||||
Distributions from realized gains | — | — | — | — | (0.38 | ) | (0.14 | ) | ||||||||||||||||
Total dividends and distributions | (0.00 | ) | (0.01 | ) | (0.01 | ) | (0.05 | ) | (0.43 | ) | (0.17 | ) | ||||||||||||
Net Asset Value, End of Year/Period | $ | 9.05 | $ | 9.08 | $ | 9.02 | $ | 8.95 | $ | 9.24 | $ | 9.82 | ||||||||||||
Total Return* | (0.39 | )% # | 0.77 | % # | 0.88 | % # | (2.66 | )% | (1.35 | )% | 3.39 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 566 | $ | 507 | $ | 557 | $ | 589 | $ | 660 | $ | 735 | ||||||||||||
Ratio of gross operating expenses to average net assets (2) | 2.57 | % (4) | 2.35 | % | 2.91 | % | 3.79 | % | 3.59 | % | 2.91 | % | ||||||||||||
Ratio of net investment income (loss) after expense reimbursement/recoupment to average net assets | -0.62 | % (4) | 0.04 | % | 0.11 | % | 0.46 | % | 0.59 | % | 0.33 | % | ||||||||||||
Portfolio Turnover Rate | 95 | % (5) | 22 | % | 2 | % | 104 | % | 48 | % | 142 | % | ||||||||||||
U.S. Government Money Market 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 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (1) | 0.00 | ** | 0.00 | ** | 0.01 | 0.00 | ** | 0.00 | ** | 0.00 | ** | |||||||||||||
Net realized and unrealized gain (loss) | — | — | — | — | — | — | ||||||||||||||||||
Total from investment operations | 0.00 | ** | 0.00 | ** | 0.01 | 0.00 | ** | 0.00 | ** | 0.00 | ** | |||||||||||||
Dividends and Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.00 | ) ** | (0.00 | ) ** | (0.01 | ) | (0.00 | ) ** | (0.00 | ) ** | (0.00 | ) ** | ||||||||||||
Distributions from realized gains | — | — | — | — | — | — | ||||||||||||||||||
Total dividends and distributions | (0.00 | ) ** | (0.00 | ) ** | (0.01 | ) | (0.00 | ) ** | (0.00 | ) ** | (0.00 | ) ** | ||||||||||||
Net Asset Value, End of Year/Period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
Total Return* | 0.00 | % | 0.00 | % | 1.09 | % | 0.29 | % | 0.01 | % | 0.01 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of year/period (000s) | $ | 6,220 | $ | 5,213 | $ | 5,992 | $ | 7,656 | $ | 9,645 | $ | 12,772 | ||||||||||||
Ratio of gross operating expenses to average net assets (3) | 1.16 | % (4) | 1.18 | % | 1.24 | % | 1.17 | % | 1.01 | % | 0.93 | % | ||||||||||||
Ratio of net investment income after expense reimbursement/recoupment to average net assets | 0.01 | % (4) | 0.28 | % | 1.09 | % | 0.29 | % | 0.02 | % | 0.01 | % | ||||||||||||
Portfolio Turnover Rate | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||
(1) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. | ||||||||||||||||||||||||
(2) Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the Municipal Bond Portfolio: | ||||||||||||||||||||||||
1.74 | % (4) | 1.64 | % | 1.41 | % | 1.27 | % | 1.59 | % | 1.90 | % | |||||||||||||
(3) Ratio of net operating expenses to average net assets (after waiver and/or reimbursement or reduction by commissions recaptured) for the U.S. Government Money Market Portfolio: | ||||||||||||||||||||||||
0.02 | % (4) | 0.68 | % | 1.24 | % | 1.16 | % | 0.60 | % | 0.22 | % |
(4) | Annualized for periods less than one year. |
(5) | 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. |
104
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
Aggressive Balanced Allocation Portfolio - Class I Shares | ||||||||||||||||
For the Period | ||||||||||||||||
Six Months Ended | December 29, | |||||||||||||||
February 28, | Year Ended | Year Ended | 2017 (1) to | |||||||||||||
2021 | August 31, | August 31, | August 31, | |||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.42 | $ | 9.94 | $ | 10.43 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (2) | 0.42 | 0.25 | 0.24 | 0.04 | ||||||||||||
Net realized and unrealized gain (loss) | 0.80 | 0.62 | (0.45 | ) | 0.39 | |||||||||||
Total from investment operations | 1.22 | 0.87 | (0.21 | ) | 0.43 | |||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.12 | ) | (0.28 | ) | (0.27 | ) | — | |||||||||
Distributions from realized gains | (0.08 | ) | (0.11 | ) | (0.01 | ) | — | |||||||||
Total dividends and distributions | (0.20 | ) | (0.39 | ) | (0.28 | ) | — | |||||||||
Net Asset Value, End of Year/Period | $ | 11.44 | $ | 10.42 | $ | 9.94 | $ | 10.43 | ||||||||
Total Return* | 11.81 | % | 8.76 | % | (1.81 | )% | 4.30 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 757 | $ | 666 | $ | 595 | $ | 607 | ||||||||
Ratio of gross operating expenses to average net assets (4) | 2.01 | % (3) | 2.01 | % | 3.01 | % | 3.07 | % (3) | ||||||||
Ratio of net operating expenses to average net assets (4) | 0.86 | % (3) | 0.79 | % | 0.60 | % | 0.35 | % (3) | ||||||||
Ratio of net investment income after expense reimbursement/recoupment to average net assets (4) | 7.83 | % (3) | 2.53 | % | 2.47 | % | 0.64 | % (3) | ||||||||
Portfolio Turnover Rate | 54 | % (5) | 3 | % | 56 | % | 8 | % (5) | ||||||||
Conservative Balanced Allocation Portfolio - Class I Shares | ||||||||||||||||
For the Period | ||||||||||||||||
Six Months Ended | December 29, | |||||||||||||||
February 28, | Year Ended | Year Ended | 2017 (1) to | |||||||||||||
2021 | August 31, | August 31, | August 31, | |||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.58 | $ | 10.20 | $ | 10.33 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (2) | 0.30 | 0.23 | 0.23 | 0.06 | ||||||||||||
Net realized and unrealized gain (loss) | 0.42 | 0.52 | (0.16 | ) | 0.27 | |||||||||||
Total from investment operations | 0.72 | 0.75 | 0.07 | 0.33 | ||||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.05 | ) | (0.24 | ) | (0.20 | ) | — | |||||||||
Distributions from realized gains | — | (0.10 | ) | (0.00 | ) ** | — | ||||||||||
Distributions from return of capital | — | (0.03 | ) | — | — | |||||||||||
Total dividends and distributions | (0.05 | ) | (0.37 | ) | (0.20 | ) | — | |||||||||
Net Asset Value, End of Year/Period | $ | 11.25 | $ | 10.58 | $ | 10.20 | $ | 10.33 | ||||||||
Total Return* | 6.82 | % | 7.45 | % | 0.84 | % | 3.30 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 1,863 | $ | 1,656 | $ | 1,602 | $ | 937 | ||||||||
Ratio of gross operating expenses to average net assets (4) | 1.67 | % (3) | 1.60 | % | 1.77 | % | 2.59 | % (3) | ||||||||
Ratio of net operating expenses to average net assets (4) | 0.86 | % (3) | 0.79 | % | 0.70 | % | 0.49 | % (3) | ||||||||
Ratio of net investment income after expense reimbursement/recoupment to average net assets (4) | 5.59 | % (3) | 2.28 | % | 2.32 | % | 0.83 | % (3) | ||||||||
Portfolio Turnover Rate | 80 | % (5) | 12 | % | 31 | % | 4 | % (5) |
(1) | Commencement of offering. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(3) | Annualized for periods less than one year. |
(4) | Does not include the expenses of exchange traded funds in which the Fund invests. |
(5) | Not annualized. |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
105
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period) |
Moderate Balanced Allocation Portfolio - Class I Shares | ||||||||||||||||
For the Period | ||||||||||||||||
Six Months Ended | December 29, | |||||||||||||||
February 28, | Year Ended | Year Ended | 2017 (1) to | |||||||||||||
2021 | August 31, | August 31, | August 31, | |||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.69 | $ | 10.15 | $ | 10.43 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (2) | 0.42 | 0.22 | 0.28 | 0.05 | ||||||||||||
Net realized and unrealized gain (loss) | 0.60 | 0.67 | (0.28 | ) | 0.38 | |||||||||||
Total from investment operations | 1.02 | 0.89 | (0.00 | ) | 0.43 | |||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.08 | ) | (0.24 | ) | (0.28 | ) | — | |||||||||
Distributions from realized gains | (0.07 | ) | (0.11 | ) | (0.00 | ) ** | — | |||||||||
Total dividends and distributions | (0.15 | ) | (0.35 | ) | (0.28 | ) | — | |||||||||
Net Asset Value, End of Year/Period | $ | 11.56 | $ | 10.69 | $ | 10.15 | $ | 10.43 | ||||||||
Total Return* | 9.62 | % | 8.93 | % | 0.31 | % | 4.30 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 1,073 | $ | 967 | $ | 743 | $ | 588 | ||||||||
Ratio of gross operating expenses to average net assets (4) | 1.69 | % (3) | 1.70 | % | 2.12 | % | 2.87 | % (3) | ||||||||
Ratio of net operating expenses to average net assets (4) | 0.86 | % (3) | 0.79 | % | 0.63 | % | 0.36 | % (3) | ||||||||
Ratio of net investment income after expense reimbursement/recoupment to average net assets (4) | 7.64 | % (3) | 2.19 | % | 2.79 | % | 0.73 | % (3) | ||||||||
Portfolio Turnover Rate | 56 | % (5) | 8 | % | 35 | % | 7 | % (5) | ||||||||
Moderately Aggressive Balanced Allocation Portfolio - Class I Shares | ||||||||||||||||
For the Period | ||||||||||||||||
Six Months Ended | December 29, | |||||||||||||||
February 28, | Year Ended | Year Ended | 2017 (1) to | |||||||||||||
2021 | August 31, | August 31, | August 31, | |||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.48 | $ | 9.93 | $ | 10.35 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (2) | 0.42 | 0.22 | 0.28 | 0.03 | ||||||||||||
Net realized and unrealized gain (loss) | 0.71 | 0.59 | (0.43 | ) | 0.32 | |||||||||||
Total from investment operations | 1.13 | 0.81 | (0.15 | ) | 0.35 | |||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.08 | ) | (0.25 | ) | (0.27 | ) | — | |||||||||
Distributions from realized gains | (0.10 | ) | (0.01 | ) | — | — | ||||||||||
Total dividends and distributions | (0.18 | ) | (0.26 | ) | (0.27 | ) | — | |||||||||
Net Asset Value, End of Year/Period | $ | 11.43 | $ | 10.48 | $ | 9.93 | $ | 10.35 | ||||||||
Total Return* | 10.90 | % | 8.14 | % | (1.18 | )% | 3.50 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 630 | $ | 568 | $ | 380 | $ | 397 | ||||||||
Ratio of gross operating expenses to average net assets (4) | 2.21 | % (3) | 2.08 | % | 2.62 | % | 3.12 | % (3) | ||||||||
Ratio of net operating expenses to average net assets (4) | 0.86 | % (3) | 0.79 | % | 0.65 | % | 0.32 | % (3) | ||||||||
Ratio of net investment income after expenses reimbursement/recoupment to average net assets (4) | 7.80 | % (3) | 2.20 | % | 2.84 | % | 0.51 | % (3) | ||||||||
Portfolio Turnover Rate | 48 | % (5) | 8 | % | 69 | % | 0 | % (5) |
(1) | Commencement of offering. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(3) | Annualized for periods less than one year. |
(4) | Does not include the expenses of exchange traded funds in which the Fund invests. |
(5) | Not annualized. |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
106
FINANCIAL HIGHLIGHTS (For a share outstanding throughout the year/period) |
Moderately Conservative Balanced Allocation Portfolio - Class I Shares | ||||||||||||||||
For the Period | ||||||||||||||||
Six Months Ended | December 29, | |||||||||||||||
February 28, | Year Ended | Year Ended | 2017 (1) to | |||||||||||||
2021 | August 31, | August 31, | August 31, | |||||||||||||
(Unaudited) | 2020 | 2019 | 2018 | |||||||||||||
Net Asset Value, Beginning of Year/Period | $ | 10.36 | $ | 9.94 | $ | 10.25 | $ | 10.00 | ||||||||
Income (Loss) from Investment Operations: | ||||||||||||||||
Net investment income (2) | 0.31 | 0.24 | 0.26 | 0.04 | ||||||||||||
Net realized and unrealized gain (loss) | 0.63 | 0.53 | (0.31 | ) | 0.21 | |||||||||||
Total from investment operations | 0.94 | 0.77 | (0.05 | ) | 0.25 | |||||||||||
Dividends and Distributions: | ||||||||||||||||
Dividends from net investment income | (0.01 | ) | (0.26 | ) | (0.26 | ) | — | |||||||||
Distributions from realized gains | (0.14 | ) | (0.09 | ) | — | — | ||||||||||
Total dividends and distributions | (0.15 | ) | (0.35 | ) | (0.26 | ) | — | |||||||||
Net asset, end of year/period | $ | 11.15 | $ | 10.36 | $ | 9.94 | $ | 10.25 | ||||||||
Total Return * | 9.24 | % | 7.84 | % | (0.19 | )% | 2.50 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net assets, end of year/period (000s) | $ | 573 | $ | 836 | $ | 741 | $ | 743 | ||||||||
Ratio of gross operating expenses to average net assets (4) | 2.16 | % (3) | 1.85 | % | 2.30 | % | 2.37 | % (3) | ||||||||
Ratio of net operating expenses to average net assets (4) | 0.86 | % (3) | 0.79 | % | 0.67 | % | 0.41 | % (3) | ||||||||
Ratio of net investment income after expense reimbursement/recoupment to average net assets (4) | 5.96 | % (3) | 2.46 | % | 2.67 | % | 0.58 | % (3) | ||||||||
Portfolio Turnover Rate | 74 | % (5) | 11 | % | 57 | % | 0 | % (5) |
(1) | Commencement of offering. |
(2) | Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period. |
(3) | Annualized for periods less than one year. |
(4) | Does not include the expenses of exchange traded funds in which the Fund invests. |
(5) | Not annualized. |
* | Assumes reinvestment of all dividends and distributions. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares. |
107
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 | 9/1/2020 - 2/28/2021* | [Annualized] | |||||
Actual Expenses - Table 2: | ||||||||
Large Capitalization Value – Class I | $1,000.00 | $1,273.30 | $6.14 | 1.09% | ||||
Large Capitalization Value – Class A | 1,000.00 | 1,270.90 | 8.39 | 1.49% | ||||
Large Capitalization Value – Class C | 1,000.00 | 1,267.00 | 11.75 | 2.09% | ||||
Large Capitalization Growth – Class I | 1,000.00 | 1,063.80 | 5.48 | 1.07% | ||||
Large Capitalization Growth – Class A | 1,000.00 | 1,061.60 | 7.51 | 1.47% | ||||
Large Capitalization Growth – Class C | 1,000.00 | 1,058.40 | 10.56 | 2.07% | ||||
Mid Capitalization – Class I | 1,000.00 | 1,242.20 | 7.62 | 1.37% | ||||
Mid Capitalization – Class A | 1,000.00 | 1,241.10 | 9.84 | 1.77% | ||||
Mid Capitalization – Class C | 1,000.00 | 1,236.50 | 13.14 | 2.37% | ||||
Small Capitalization – Class I | 1,000.00 | 1,374.80 | 8.42 | 1.43% | ||||
Small Capitalization – Class A | 1,000.00 | 1,372.20 | 10.76 | 1.83% | ||||
Small Capitalization – Class C | 1,000.00 | 1,368.40 | 14.27 | 2.43% | ||||
International Equity – Class I | 1,000.00 | 1,018.20 | 6.36 | 1.25% | ||||
International Equity – Class A | 1,000.00 | 1,016.00 | 8.38 | 1.65% | ||||
International Equity – Class C | 1,000.00 | 1,012.60 | 11.45 | 2.26% | ||||
Health & Biotechnology – Class I | 1,000.00 | 1,072.70 | 9.89 | 1.89% | ||||
Health & Biotechnology – Class A | 1,000.00 | 1,070.60 | 11.97 | 2.29% | ||||
Health & Biotechnology – Class C | 1,000.00 | 1,067.40 | 15.08 | 2.89% | ||||
Technology & Communications – Class I | 1,000.00 | 1,307.00 | 9.77 | 1.68% | ||||
Technology & Communications – Class A | 1,000.00 | 1,304.40 | 12.08 | 2.08% | ||||
Technology & Communications – Class C | 1,000.00 | 1,300.70 | 15.53 | 2.68% | ||||
Energy & Basic Materials – Class I | 1,000.00 | 937.40 | 14.65 | 3.00% | ||||
Energy & Basic Materials – Class A | 1,000.00 | 935.00 | 16.58 | 3.40% | ||||
Energy & Basic Materials – Class C | 1,000.00 | 932.00 | 19.48 | 4.00% | ||||
Financial Services – Class I | 1,000.00 | 935.90 | 14.64 | 3.00% | ||||
Financial Services – Class A | 1,000.00 | 933.80 | 16.57 | 3.40% | ||||
Financial Services – Class C | 1,000.00 | 930.80 | 19.53 | 4.01% | ||||
Investment Quality Bond – Class I | 1,000.00 | 1,017.50 | 6.71 | 1.32% | ||||
Investment Quality Bond – Class A | 1,000.00 | 1,014.80 | 8.76 | 1.73% | ||||
Investment Quality Bond – Class C | 1,000.00 | 1,011.80 | 11.79 | 2.33% | ||||
Municipal Bond – Class I | 1,000.00 | 999.40 | 7.99 | 1.61% | ||||
Municipal Bond – Class A | 1,000.00 | 999.40 | 8.13 | 1.64% | ||||
Municipal Bond – Class C | 1,000.00 | 998.30 | 9.12 | 1.84% | ||||
U.S. Government Money Market – Class I | 1,000.00 | 1,000.00 | 0.10 | 0.02% | ||||
U.S. Government Money Market – Class A | 1,000.00 | 1,000.10 | 0.10 | 0.02% | ||||
U.S. Government Money Market – Class C | 1,000.00 | 1,000.10 | 0.10 | 0.02% |
108
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) |
Beginning Account | Ending Account | Expense Paid | Expense Ratio | |||||
Value -9/1/2020 | Value - 2/28/2021 | 9/1/2020 - 2/28/2021* | [Annualized] | |||||
Actual Expenses - Table 2: (Continued) | ||||||||
Aggressive Balanced Allocation - Class I | 1,000.00 | 1,113.10 | 4.52 | 0.86% | ||||
Aggressive Balanced Allocation - Class A | 1,000.00 | 1,118.40 | 5.82 | 1.11% | ||||
Aggressive Balanced Allocation - Class C | 1,000.00 | 1,118.10 | 9.74 | 1.86% | ||||
Conservative Balanced Allocation - Class I | 1,000.00 | 1,068.20 | 4.41 | 0.86% | ||||
Conservative Balanced Allocation - Class A | 1,000.00 | 1,067.70 | 5.68 | 1.11% | ||||
Conservative Balanced Allocation - Class C | 1,000.00 | 1,062.80 | 9.50 | 1.86% | ||||
Moderate Aggressive Balanced Allocation - Class I | 1,000.00 | 1,109.00 | 4.49 | 0.86% | ||||
Moderate Aggressive Balanced Allocation - Class A | 1,000.00 | 1,107.50 | 5.80 | 1.11% | ||||
Moderate Aggressive Balanced Allocation - Class C | 1,000.00 | 1,103.30 | 9.70 | 1.86% | ||||
Moderate Balanced Allocation - Class I | 1,000.00 | 1,096.20 | 4.47 | 0.86% | ||||
Moderate Balanced Allocation - Class A | 1,000.00 | 1,095.80 | 5.77 | 1.11% | ||||
Moderate Balanced Allocation - Class C | 1,000.00 | 1,091.20 | 9.63 | 1.86% | ||||
Moderate Conservative Balanced Allocation - Class I | 1,000.00 | 1,092.40 | 4.46 | 0.86% | ||||
Moderate Conservative Balanced Allocation - Class A | 1,000.00 | 1,092.40 | 5.74 | 1.11% | ||||
Moderate Conservative Balanced Allocation - Class C | 1,000.00 | 1,086.10 | 9.63 | 1.86% |
109
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 | 9/1/2020 - 2/28/2021* | [Annualized] | ||||
[5% Return Before Expenses] - Table 2: | ||||||||
Large Capitalization Value – Class I | $1,000.00 | $1,019.39 | $5.46 | 1.09% | ||||
Large Capitalization Value – Class A | 1,000.00 | 1,017.41 | 7.45 | 1.49% | ||||
Large Capitalization Value – Class C | 1,000.00 | 1,014.43 | 10.44 | 2.09% | ||||
Large Capitalization Growth – Class I | 1,000.00 | 1,019.49 | 5.36 | 1.07% | ||||
Large Capitalization Growth – Class A | 1,000.00 | 1,017.50 | 7.35 | 1.47% | ||||
Large Capitalization Growth – Class C | 1,000.00 | 1,014.53 | 10.34 | 2.07% | ||||
Mid Capitalization – Class I | 1,000.00 | 1,018.00 | 6.85 | 1.37% | ||||
Mid Capitalization – Class A | 1,000.00 | 1,016.02 | 8.85 | 1.77% | ||||
Mid Capitalization – Class C | 1,000.00 | 1,013.04 | 11.83 | 2.37% | ||||
Small Capitalization – Class I | 1,000.00 | 1,017.70 | 7.15 | 1.43% | ||||
Small Capitalization – Class A | 1,000.00 | 1,015.72 | 9.15 | 1.83% | ||||
Small Capitalization – Class C | 1,000.00 | 1,012.74 | 12.13 | 2.43% | ||||
International Equity – Class I | 1,000.00 | 1,018.90 | 6.36 | 1.25% | ||||
International Equity – Class A | 1,000.00 | 1,016.89 | 8.39 | 1.65% | ||||
International Equity – Class C | 1,000.00 | 1,013.83 | 11.45 | 2.26% | ||||
Health & Biotechnology – Class I | 1,000.00 | 1,015.66 | 9.62 | 1.89% | ||||
Health & Biotechnology – Class A | 1,000.00 | 1,013.65 | 11.64 | 2.29% | ||||
Health & Biotechnology – Class C | 1,000.00 | 1,010.62 | 14.67 | 2.89% | ||||
Technology & Communications – Class I | 1,000.00 | 1,016.73 | 8.54 | 1.68% | ||||
Technology & Communications – Class A | 1,000.00 | 1,014.72 | 10.56 | 2.08% | ||||
Technology & Communications – Class C | 1,000.00 | 1,011.70 | 13.58 | 2.68% | ||||
Energy & Basic Materials – Class I | 1,000.00 | 1,010.08 | 15.20 | 3.00% | ||||
Energy & Basic Materials – Class A | 1,000.00 | 1,008.06 | 17.21 | 3.40% | ||||
Energy & Basic Materials – Class C | 1,000.00 | 1,005.04 | 20.22 | 4.00% | ||||
Financial Services – Class I | 1,000.00 | 1,010.08 | 15.20 | 3.00% | ||||
Financial Services – Class A | 1,000.00 | 1,008.06 | 17.21 | 3.40% | ||||
Financial Services – Class C | 1,000.00 | 1,004.98 | 20.28 | 4.01% | ||||
Investment Quality Bond – Class I | 1,000.00 | 1,018.56 | 6.71 | 1.32% | ||||
Investment Quality Bond – Class A | 1,000.00 | 1,016.51 | 8.77 | 1.73% | ||||
Investment Quality Bond – Class C | 1,000.00 | 1,013.48 | 11.80 | 2.33% | ||||
Municipal Bond – Class I | 1,000.00 | 1,016.80 | 8.06 | 1.61% | ||||
Municipal Bond – Class A | 1,000.00 | 1,016.66 | 8.20 | 1.64% | ||||
Municipal Bond – Class C | 1,000.00 | 1,015.67 | 9.20 | 1.84% | ||||
U.S. Government Money Market – Class I | 1,000.00 | 1,024.70 | 0.10 | 0.02% | ||||
U.S. Government Money Market – Class A | 1,000.00 | 1,024.70 | 0.10 | 0.02% | ||||
U.S. Government Money Market – Class C | 1,000.00 | 1,024.70 | 0.10 | 0.02% |
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SUPPLEMENTAL INFORMATION (Unaudited) (Continued) |
Hypothetical | Beginning Account | Ending Account | Expense Paid | Expense Ratio | ||||
[5% Return Before Expenses] - Table 2: | Value -9/1/2020 | Value - 2/28/2021 | 9/1/2020 - 2/28/2021* | [Annualized] | ||||
Aggressive Balanced Allocation - Class I | 1,000.00 | 1,015.57 | 4.31 | 0.86% | ||||
Aggressive Balanced Allocation - Class A | 1,000.00 | 1,019.30 | 5.55 | 1.11% | ||||
Aggressive Balanced Allocation - Class C | 1,000.00 | 1,020.53 | 9.29 | 1.86% | ||||
Conservative Balanced Allocation - Class I | 1,000.00 | 1,020.53 | 4.31 | 0.86% | ||||
Conservative Balanced Allocation - Class A | 1,000.00 | 1,019.30 | 5.55 | 1.11% | ||||
Conservative Balanced Allocation - Class C | 1,000.00 | 1,015.59 | 9.28 | 1.86% | ||||
Moderate Aggressive Balanced Allocation - Class I | 1,000.00 | 1,020.53 | 4.30 | 0.86% | ||||
Moderate Aggressive Balanced Allocation - Class A | 1,000.00 | 1,019.29 | 5.56 | 1.11% | ||||
Moderate Aggressive Balanced Allocation - Class C | 1,000.00 | 1,015.57 | 9.29 | 1.86% | ||||
Moderate Balanced Allocation - Class I | 1,000.00 | 1,020.53 | 4.30 | 0.86% | ||||
Moderate Balanced Allocation - Class A | 1,000.00 | 1,019.29 | 5.56 | 1.11% | ||||
Moderate Balanced Allocation - Class C | 1,000.00 | 1,015.59 | 9.28 | 1.86% | ||||
Moderate Conservative Balanced Allocation - Class I | 1,000.00 | 1,020.53 | 4.31 | 0.86% | ||||
Moderate Conservative Balanced Allocation - Class A | 1,000.00 | 1,019.31 | 5.54 | 1.11% | ||||
Moderate Conservative Balanced Allocation - Class C | 1,000.00 | 1,015.56 | 9.31 | 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). |
111
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 |
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Page 2 |
Who we are | |
Who is providing this notice? | The Saratoga Advantage Trust |
What we do | |
How does The Trust protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We restrict access to nonpublic personal information about you to those employees who need to know that information to provide products or services to you. |
How does The Trust collect my personal information? | We collect your personal information, for example, when you
● open an account or deposit money
● direct us to buy securities or direct us to sell your securities
● seek information about your investments
We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only
● sharing for affiliates’ everyday business purposes—information about your creditworthiness
● affiliates from using your information to market to you
● sharing for non-affiliates to market to you
● State laws and individual companies may give you additional rights to limit sharing. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
● Our affiliates include financial companies such as Saratoga Capital Management. |
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. |
113
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.
Class I Shares
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.