Litman Gregory Masters Equity Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)
Litman Gregory Masters Equity Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters International Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)
Litman Gregory Masters International Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters International Fund
SCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS at March 31, 2020 (Unaudited)
At March 31, 2020, the Fund had the following forward foreign currency exchange contracts:
Asset Derivatives |
Liability Derivatives |
|||||||||||||||||||||||||||
Counterparty |
Settlement Date |
Fund Receiving |
U.S. $ Value at March 31, 2020 |
Fund Delivering |
U.S. $ Value at March 31, 2020 |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||||
State Street Bank and Trust Company |
6/17/2020 | CHF | $ | 198,059 | USD | $ | 195,297 | $ | 2,762 | $ | | |||||||||||||||||
6/17/2020 | USD | 855,967 | CHF | 867,290 | | (11,323 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
$ | 1,054,026 | $ | 1,062,587 | $ | 2,762 | $ | (11,323 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
Litman Gregory Masters Smaller Companies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF PURCHASED OPTIONS at March 31, 2020 (Unaudited)
Description | Counterparty | Exercise Price |
Expiration Date |
Number of Contracts |
Notional Amount |
Market Value |
Premiums Paid |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||
COMMON STOCKS |
| |||||||||||||||||||||||||||||
Call |
| |||||||||||||||||||||||||||||
Cincinnati Bell, Inc. |
Goldman Sachs & Co. |
$ | 12.50 | 8/21/2020 | 151 | $ | 221,064 | $ | 40,393 | $ | 5,707 | $ | 34,686 | |||||||||||||||||
Stars Group, Inc. (The) |
Goldman Sachs & Co. |
25.00 | 8/21/2020 | 251 | 512,542 | 46,435 | 35,716 | 10,719 | ||||||||||||||||||||||
Wesco International, Inc. |
Goldman Sachs & Co. |
55.00 | 4/17/2020 | 194 | 443,290 | 1,940 | 23,041 | (21,101 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Purchased Options |
$ | 88,768 | $ | 64,464 | $ | 24,304 | ||||||||||||||||||||||||
|
|
|
|
|
|
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF SECURITIES SOLD SHORT at March 31, 2020 (Unaudited)
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS AT March 31, 2020 (Unaudited)
At March 31, 2020, the Fund had the following forward foreign currency exchange contracts:
Asset Derivatives |
Liability Derivatives |
|||||||||||||||||||||
Counterparty |
Settlement Date |
Fund Receiving |
U.S. $ Value at March 31, 2020 |
Fund Delivering |
U.S. $ Value at March 31, 2020 |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||
Bank of America N.A. |
4/14/2020 | IDR | $ | 1,464,313 | USD | $ | 1,727,747 | $ | | $ | (263,434 | ) | ||||||||||
4/14/2020 | USD | 1,726,375 | IDR | 1,464,313 | 262,062 | | ||||||||||||||||
4/15/2020 | JPY | 7,077,813 | USD | 6,982,866 | 94,947 | | ||||||||||||||||
4/15/2020 | NOK | 2,906,164 | USD | 3,399,255 | | (493,091 | ) | |||||||||||||||
4/15/2020 | PLN | 1,600,874 | USD | 1,737,041 | | (136,167 | ) | |||||||||||||||
4/15/2020 | USD | 6,955,949 | JPY | 7,077,812 | | (121,863 | ) | |||||||||||||||
4/15/2020 | USD | 3,257,590 | NOK | 2,906,163 | 351,427 | | ||||||||||||||||
4/15/2020 | USD | 1,695,632 | PLN | 1,600,874 | 94,758 | | ||||||||||||||||
4/23/2020 | USD | 453,912 | CAD | 463,997 | | (10,085 | ) | |||||||||||||||
4/23/2020 | USD | 1,583,617 | EUR | 1,620,696 | | (37,079 | ) | |||||||||||||||
Barclays Bank Plc |
4/14/2020 | EUR | 3,444,063 | USD | 3,495,094 | | (51,031 | ) | ||||||||||||||
4/14/2020 | USD | 3,428,219 | EUR | 3,444,063 | | (15,844 | ) | |||||||||||||||
4/23/2020 | USD | 531,654 | EUR | 545,744 | | (14,090 | ) | |||||||||||||||
Citibank N.A. |
4/30/2020 | BRL | 1,347,844 | USD | 1,652,824 | | (304,980 | ) | ||||||||||||||
4/30/2020 | USD | 1,615,358 | BRL | 1,347,845 | 267,513 | | ||||||||||||||||
Deutsche Bank AG |
4/30/2020 | USD | 525,761 | GBP | 502,174 | 23,587 | | |||||||||||||||
Goldman Sachs & Co. |
6/15/2020 | CAD | 184,757 | USD | 179,829 | 4,928 | | |||||||||||||||
6/15/2020 | CAD | 268,809 | USD | 274,765 | | (5,956 | ) | |||||||||||||||
6/15/2020 | EUR | 2,508,445 | USD | 2,464,241 | 44,204 | | ||||||||||||||||
6/15/2020 | EUR | 985,259 | USD | 972,395 | 12,864 | | ||||||||||||||||
6/15/2020 | GBP | 3,127,264 | USD | 2,972,188 | 155,076 | | ||||||||||||||||
6/15/2020 | USD | 4,824,165 | CAD | 4,727,864 | 96,301 | | ||||||||||||||||
6/15/2020 | USD | 817,109 | CAD | 807,844 | 9,265 | | ||||||||||||||||
6/15/2020 | USD | 347,130 | CAD | 344,569 | 2,561 | | ||||||||||||||||
6/15/2020 | USD | 121,668 | CAD | 120,337 | 1,331 | | ||||||||||||||||
6/15/2020 | USD | 72,575 | CAD | 72,216 | 359 | | ||||||||||||||||
6/15/2020 | USD | 302,634 | CAD | 305,378 | | (2,744 | ) | |||||||||||||||
6/15/2020 | USD | 1,662,521 | CAD | 1,665,439 | | (2,918 | ) | |||||||||||||||
6/15/2020 | USD | 1,138,564 | CAD | 1,142,066 | | (3,502 | ) | |||||||||||||||
6/15/2020 | USD | 223,668 | CAD | 227,988 | | (4,320 | ) | |||||||||||||||
6/15/2020 | USD | 460,323 | CAD | 474,544 | | (14,221 | ) | |||||||||||||||
6/15/2020 | USD | 710,521 | CAD | 728,399 | | (17,878 | ) | |||||||||||||||
6/15/2020 | USD | 8,643,785 | EUR | 8,477,231 | 166,554 | | ||||||||||||||||
6/15/2020 | USD | 580,868 | EUR | 572,617 | 8,251 | | ||||||||||||||||
6/15/2020 | USD | 341,302 | EUR | 339,063 | 2,239 | | ||||||||||||||||
6/15/2020 | USD | 1,181,514 | EUR | 1,182,135 | | (621 | ) | |||||||||||||||
6/15/2020 | USD | 159,016 | EUR | 161,301 | | (2,285 | ) | |||||||||||||||
6/15/2020 | USD | 3,164,522 | GBP | 3,127,264 | 37,258 | | ||||||||||||||||
Goldman Sachs International |
4/14/2020 | MXN | 1,387,337 | USD | 1,712,462 | | (325,125 | ) | ||||||||||||||
4/14/2020 | USD | 1,702,578 | MXN | 1,387,337 | 315,241 | | ||||||||||||||||
6/15/2020 | CAD | 698,492 | USD | 695,259 | 3,233 | | ||||||||||||||||
6/15/2020 | EUR | 368,119 | USD | 368,979 | | (860 | ) | |||||||||||||||
HSBC Holdings Plc |
4/13/2020 | CAD | 3,212,146 | USD | 3,476,348 | | (264,202 | ) | ||||||||||||||
4/13/2020 | USD | 3,408,442 | CAD | 3,212,146 | 196,296 | | ||||||||||||||||
4/15/2020 | SEK | 1,664,583 | USD | 1,745,657 | | (81,074 | ) | |||||||||||||||
4/15/2020 | USD | 1,709,030 | SEK | 1,664,583 | 44,447 | | ||||||||||||||||
4/22/2020 | AUD | 3,051,141 | USD | 3,428,743 | | (377,602 | ) | |||||||||||||||
4/22/2020 | USD | 3,325,005 | AUD | 3,051,142 | 273,863 | | ||||||||||||||||
5/13/2020 | USD | 181,173 | EUR | 182,062 | | (889 | ) | |||||||||||||||
JPMorgan Chase Bank N.A. |
6/8/2020 | EUR | 949,162 | USD | 921,188 | 27,974 | | |||||||||||||||
6/8/2020 | EUR | 800,824 | USD | 778,055 | 22,769 | | ||||||||||||||||
6/8/2020 | EUR | 1,094,727 | USD | 1,084,904 | 9,823 | | ||||||||||||||||
6/8/2020 | EUR | 1,216,894 | USD | 1,226,518 | | (9,624 | ) | |||||||||||||||
6/8/2020 | USD | 827,625 | EUR | 825,339 | 2,286 | | ||||||||||||||||
6/8/2020 | USD | 116,182 | EUR | 114,332 | 1,850 | | ||||||||||||||||
6/8/2020 | USD | 1,184,112 | EUR | 1,182,342 | 1,770 | | ||||||||||||||||
6/8/2020 | USD | 359,230 | EUR | 358,302 | 928 | | ||||||||||||||||
6/8/2020 | USD | 197,633 | EUR | 197,262 | 371 | | ||||||||||||||||
6/8/2020 | USD | 901,037 | EUR | 932,294 | | (31,257 | ) | |||||||||||||||
6/8/2020 | USD | 5,374,397 | EUR | 5,435,614 | | (61,217 | ) | |||||||||||||||
Morgan Stanley & Co. |
4/7/2020 | USD | 1,966,536 | COP | 1,621,566 | 344,970 | |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS at March 31, 2020 (Unaudited)(Continued)
Asset Derivatives |
Liability Derivatives |
|||||||||||||||||||||||||||
Counterparty |
Settlement Date |
Fund Receiving |
U.S. $ Value at March 31, 2020 |
Fund Delivering |
U.S. $ Value at March 31, 2020 |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||||
Morgan Stanley & Co. (Continued) |
||||||||||||||||||||||||||||
4/14/2020 | NZD | $ | 1,557,588 | USD | $ | 1,737,589 | $ | | $ | (180,001 | ) | |||||||||||||||||
4/14/2020 | USD | 1,715,021 | NZD | 1,557,588 | 157,433 | | ||||||||||||||||||||||
4/30/2020 | USD | 5,102,759 | ZAR | 4,224,015 | 878,744 | | ||||||||||||||||||||||
4/30/2020 | ZAR | 4,224,014 | USD | 4,772,136 | | (548,122 | ) | |||||||||||||||||||||
6/16/2020 | USD | 471,591 | EUR | 464,033 | 7,558 | | ||||||||||||||||||||||
6/16/2020 | USD | 305,841 | EUR | 303,831 | 2,010 | | ||||||||||||||||||||||
6/16/2020 | USD | 254,585 | EUR | 254,113 | 472 | | ||||||||||||||||||||||
6/16/2020 | USD | 303,968 | EUR | 303,831 | 137 | | ||||||||||||||||||||||
6/16/2020 | USD | 132,600 | EUR | 132,581 | 19 | | ||||||||||||||||||||||
6/16/2020 | USD | 403,623 | EUR | 408,791 | | (5,168 | ) | |||||||||||||||||||||
6/16/2020 | USD | 356,080 | EUR | 364,597 | | (8,517 | ) | |||||||||||||||||||||
6/30/2020 | USD | 183,393 | EUR | 182,392 | 1,001 | | ||||||||||||||||||||||
6/30/2020 | USD | 293,475 | EUR | 292,933 | 542 | | ||||||||||||||||||||||
Standard Chartered Bank |
7/2/2020 | USD | 3,028,331 | EUR | 3,029,044 | | (713 | ) | ||||||||||||||||||||
UBS AG |
4/22/2020 | USD | 3,589,811 | THB | 3,323,940 | 265,871 | | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
$ | 129,060,642 | $ | 128,262,029 | $ | 4,195,093 | $ | (3,396,480 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
SCHEDULE OF FINANCIAL FUTURES CONTRACTS at March 31, 2020 (Unaudited)
Description |
Number of Contracts |
Notional Amount | Notional Value | Expiration Date |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||
Futures Contracts - Long |
| |||||||||||||||||||
S&P 500 EMINI |
107 | $ | 5,350 | $ | 13,747,895 | 6/19/2020 | $ | (23,448 | ) | |||||||||||
2YR U.S. Treasury Notes |
785 | 157,000,000 | 173,000,508 | 6/30/2020 | 1,271,580 | |||||||||||||||
|
|
|||||||||||||||||||
Total Long |
$ | 1,248,132 | ||||||||||||||||||
|
|
|||||||||||||||||||
Futures Contracts - Short |
| |||||||||||||||||||
5YR U.S. Treasury Notes |
(641 | ) | $ | (64,100,000 | ) | $ | (80,355,359 | ) | 6/30/2020 | $ | (1,480,316 | ) | ||||||||
10YR U.S. Treasury Notes |
(291 | ) | (29,100,000 | ) | (40,358,063 | ) | 6/19/2020 | (518,857 | ) | |||||||||||
Ultra-Long U.S. Treasury Bonds |
(41 | ) | (4,100,000 | ) | (9,096,875 | ) | 6/19/2020 | 68,419 | ||||||||||||
Ultra 10YR. U.S. Treasury Notes |
(284 | ) | (28,400,000 | ) | (44,312,875 | ) | 6/19/2020 | (975,494 | ) | |||||||||||
|
|
|||||||||||||||||||
Total Short |
$ | (2,906,248 | ) | |||||||||||||||||
|
|
|||||||||||||||||||
Total Futures Contracts |
$ | (1,658,116 | ) | |||||||||||||||||
|
|
SCHEDULE OF SWAPS at March 31, 2020 (Unaudited)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)
Description |
Maturity Date |
Fixed Deal (Pay) Rate |
Implied Credit Spread at March 31, 2020 |
Notional Amount(4) |
Periodic Payment Frequency |
Fair Value | Upfront Premiums Paid / (Received) |
Unrealized Appreciation / (Depreciation) |
||||||||||||||||||||||||||||
Buy Protection |
| |||||||||||||||||||||||||||||||||||
Accor S.A. 2.625%, 02/05/2021 |
12/20/2024 | (1.000% | ) | 3.240% | EUR | (150,000) | Quarterly | $ | 15,735 | $ | (3,106 | ) | $ | 18,841 | ||||||||||||||||||||||
Aegon N.V. 6.125%, 12/15/2031 |
12/20/2024 | (1.000% | ) | 1.345% | (1,800,000) | Quarterly | 31,325 | (24,016 | ) | 55,341 | ||||||||||||||||||||||||||
AES Corp. 4.875%, 05/15/2023 |
12/20/2024 | (5.000% | ) | 2.041% | $ | (1,250,000) | Quarterly | (161,435 | ) | (244,599 | ) | 83,164 | ||||||||||||||||||||||||
Akzo Nobel N.V. 1.750%, 11/07/2024 |
12/20/2024 | (1.000% | ) | 0.524% | EUR | (9,800,000) | Quarterly | (243,004 | ) | (154,973 | ) | (88,031 | ) | |||||||||||||||||||||||
American Axle & Manufacturing, Inc. 6.625%, 10/15/2022 |
12/20/2024 | (5.000% | ) | 9.154% | $ | (11,000,000) | Quarterly | 1,535,371 | (9,821 | ) | 1,545,192 | |||||||||||||||||||||||||
American International Group, Inc. 6.250%, 05/01/2036 |
12/20/2024 | (1.000% | ) | 0.932% | (150,000) | Quarterly | (463 | ) | (2,313 | ) | 1,850 | |||||||||||||||||||||||||
Amgen, Inc. 3.625%, 05/22/2024 |
12/20/2024 | (1.000% | ) | 0.483% | (100,000) | Quarterly | (2,399 | ) | (2,946 | ) | 547 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF SWAPS at March 31, 2020 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description |
Maturity Date |
Fixed Deal (Pay) Rate |
Implied Credit Spread at March 31, 2020 |
Notional Amount(4) |
Periodic Payment Frequency |
Fair Value | Upfront Premiums Paid / (Received) |
Unrealized Appreciation / (Depreciation) |
||||||||||||||||||||||||||||
Buy Protection (Continued) |
||||||||||||||||||||||||||||||||||||
Anheuser-Busch InBev S.A. 4.000%, 06/02/2021 |
12/20/2024 | (1.000% | ) | 1.464% | EUR | (2,150,000) | Quarterly | $ | 49,999 | $ | (66,050 | ) | $ | 116,049 | ||||||||||||||||||||||
Assicurazioni Generali SpA 5.125%, 09/16/2024 |
12/20/2024 | (1.000% | ) | 1.409% | (150,000 | ) | Quarterly | 3,082 | (3,337 | ) | 6,419 | |||||||||||||||||||||||||
AT&T, Inc. 2.450%, 06/30/2020 |
12/20/2024 | (1.000% | ) | 2.100% | $ | (250,000 | ) | Quarterly | 11,981 | (2,651 | ) | 14,632 | ||||||||||||||||||||||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc. 5.250%, 03/15/2025 |
12/20/2024 | (5.000% | ) | 9.311% | (1,600,000 | ) | Quarterly | 230,535 | 119,879 | 110,656 | ||||||||||||||||||||||||||
Avnet, Inc. 4.875%, 12/01/2022 |
12/20/2024 | (1.000% | ) | 0.685% | (13,800,000 | ) | Quarterly | (200,049 | ) | (83,197 | ) | (116,852 | ) | |||||||||||||||||||||||
Bank of America Corp. 2.369%, 07/21/2021 |
12/20/2024 | (1.000% | ) | 1.002% | (4,750,000 | ) | Quarterly | 431 | (130,881 | ) | 131,312 | |||||||||||||||||||||||||
Barrick Gold Corp. 5.800%, 11/15/2034 |
12/20/2024 | (1.000% | ) | 0.394% | (6,350,000 | ) | Quarterly | (179,200 | ) | (158,369 | ) | (20,831 | ) | |||||||||||||||||||||||
Beazer Homes USA, Inc. 6.750%, 03/15/2025 |
12/20/2024 | (5.000% | ) | 7.427% | (1,550,000 | ) | Quarterly | 134,280 | 99,449 | 34,831 | ||||||||||||||||||||||||||
Best Buy Co., Inc. 5.500%, 03/15/2021 |
12/20/2024 | (5.000% | ) | 1.318% | (9,150,000 | ) | Quarterly | (1,512,764 | ) | (1,855,592 | ) | 342,828 | ||||||||||||||||||||||||
Block Financial LLC 5.500%, 11/01/2022 |
12/20/2024 | (5.000% | ) | 1.133% | (9,300,000 | ) | Quarterly | (1,626,438 | ) | (1,894,443 | ) | 268,005 | ||||||||||||||||||||||||
Boeing Co. (The) 8.750%, 08/15/2021 |
12/20/2024 | (1.000% | ) | 4.416% | (6,300,000 | ) | Quarterly | 858,306 | (135,793 | ) | 994,099 | |||||||||||||||||||||||||
Bouygues S.A. 4.250%, 07/22/2020 |
12/20/2024 | (1.000% | ) | 0.503% | EUR | (5,950,000) | Quarterly | (154,159 | ) | (250,973 | ) | 96,814 | ||||||||||||||||||||||||
British Telecommunications Plc 5.750%, 12/07/2028 |
12/20/2024 | (1.000% | ) | 1.163% | (10,150,000 | ) | Quarterly | 83,979 | (149,663 | ) | 233,642 | |||||||||||||||||||||||||
Campbell Soup Co. 4.250%, 04/15/2021 |
12/20/2024 | (1.000% | ) | 0.350% | $ | (100,000 | ) | Quarterly | (3,029 | ) | (1,939 | ) | (1,090 | ) | ||||||||||||||||||||||
Canadian Natural Resources Ltd. 3.450%, 11/15/2021 |
12/20/2024 | (1.000% | ) | 3.202% | (2,250,000 | ) | Quarterly | 206,914 | (42,771 | ) | 249,685 | |||||||||||||||||||||||||
Cardinal Health, Inc. 4.625%, 12/15/2020 |
12/20/2024 | (1.000% | ) | 0.527% | (3,600,000 | ) | Quarterly | (78,903 | ) | (24,295 | ) | (54,608 | ) | |||||||||||||||||||||||
Carnival Corp. 6.650%, 01/15/2028 |
12/20/2024 | (1.000% | ) | 7.122% | (12,250,000 | ) | Quarterly | 2,852,987 | (347,827 | ) | 3,200,814 | |||||||||||||||||||||||||
CDX North America High Yield Index Series 33 5.000%, 12/20/2024 |
12/20/2024 | (5.000% | ) | 6.687% | (93,100,000 | ) | Quarterly | 5,676,175 | (5,958,400 | ) | 11,634,575 | |||||||||||||||||||||||||
CDX North America Investment Grade Index Series 33 1.000%, 12/20/2024 |
12/20/2024 | (1.000% | ) | 1.078% | (80,000,000 | ) | Quarterly | 287,255 | (1,563,272 | ) | 1,850,527 | |||||||||||||||||||||||||
Centrica Plc 6.375%, 03/10/2022 |
12/20/2024 | (1.000% | ) | 1.581% | EUR | (10,750,000 | ) | Quarterly | 311,634 | 149,189 | 162,445 | |||||||||||||||||||||||||
CenturyLink, Inc. 7.500%, 04/01/2024 |
12/20/2024 | (1.000% | ) | 3.243% | $ | (2,200,000 | ) | Quarterly | 205,746 | 116,176 | 89,570 | |||||||||||||||||||||||||
CHS/Community Health Systems, Inc. 6.875%, 02/01/2022 |
12/20/2024 | (5.000% | ) | 24.282% | (2,050,000 | ) | Quarterly | 826,070 | 922,500 | (96,430 | ) | |||||||||||||||||||||||||
CIT Group, Inc. 5.000%, 08/15/2022 |
12/20/2024 | (5.000% | ) | 3.652% | (9,150,000 | ) | Quarterly | (505,936 | ) | (1,846,429 | ) | 1,340,493 | ||||||||||||||||||||||||
CNH Industrial Finance Europe S.A. 2.875%, 05/17/2023 |
12/20/2024 | (5.000% | ) | 2.059% | EUR | (9,150,000 | ) | Quarterly | (1,319,135 | ) | (2,008,070 | ) | 688,935 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF SWAPS at March 31, 2020 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description |
Maturity Date |
Fixed Deal (Pay) Rate |
Implied Credit Spread at March 31, 2020 |
Notional Amount(4) |
Periodic Payment Frequency |
Fair Value | Upfront Premiums Paid / (Received) |
Unrealized Appreciation / (Depreciation) |
||||||||||||||||||||||||||||
Buy Protection (Continued) |
||||||||||||||||||||||||||||||||||||
Commerzbank AG 4.000%, 09/16/2020 |
12/20/2024 | (1.000% | ) | 1.472% | EUR | (10,100,000) | Quarterly | $ | 239,024 | $ | (150,313 | ) | $ | 389,337 | ||||||||||||||||||||||
Continental AG 3.125%, 09/09/2020 |
12/20/2024 | (1.000% | ) | 1.974% | (11,700,000) | Quarterly | 560,083 | (181,402 | ) | 741,485 | ||||||||||||||||||||||||||
Credit Suisse Group AG 4.282%, 01/09/2028 |
12/20/2024 | (1.000% | ) | 1.297% | (2,000,000) | Quarterly | 29,986 | (53,918 | ) | 83,904 | ||||||||||||||||||||||||||
CVS Health Corp. 2.125%, 06/01/2021 |
12/20/2024 | (1.000% | ) | 0.757% | $ | (2,100,000) | Quarterly | (23,446 | ) | (24,169 | ) | 723 | ||||||||||||||||||||||||
Daimler AG 1.400%, 01/12/2024 |
12/20/2024 | (1.000% | ) | 1.700% | EUR | (2,100,000) | Quarterly | 73,075 | (42,868 | ) | 115,943 | |||||||||||||||||||||||||
Darden Restaurants, Inc. 3.850%, 05/01/2027 |
12/20/2024 | (1.000% | ) | 1.716% | $ | (10,800,000) | Quarterly | 342,074 | (339,765 | ) | 681,839 | |||||||||||||||||||||||||
Dell, Inc. 7.100%, 04/15/2028 |
12/20/2024 | (1.000% | ) | 2.202% | (11,450,000) | Quarterly | 597,218 | 519,827 | 77,391 | |||||||||||||||||||||||||||
Devon Energy Corp. 7.950%, 04/15/2032 |
12/20/2024 | (1.000% | ) | 4.278% | (11,200,000) | Quarterly | 1,472,180 | 73,967 | 1,398,213 | |||||||||||||||||||||||||||
DISH DBS Corp. 6.750%, 06/01/2021 |
12/20/2024 | (5.000% | ) | 4.744% | (7,900,000) | Quarterly | (79,286 | ) | 210,370 | (289,656 | ) | |||||||||||||||||||||||||
Domtar Corp. 4.400%, 04/01/2022 |
12/20/2024 | (1.000% | ) | 0.806% | (11,200,000) | Quarterly | (99,204 | ) | (16,498 | ) | (82,706 | ) | ||||||||||||||||||||||||
Dow Chemical Co. (The) 7.375%, 11/01/2029 |
12/20/2024 | (1.000% | ) | 1.625% | (2,050,000) | Quarterly | 56,822 | (12,210 | ) | 69,032 | ||||||||||||||||||||||||||
DR Horton, Inc. 4.750%, 02/15/2023 |
12/20/2024 | (1.000% | ) | 0.905% | (150,000) | Quarterly | (646 | ) | (3,930 | ) | 3,284 | |||||||||||||||||||||||||
Eastman Chemical Co. 7.600%, 02/01/2027 |
12/20/2024 | (1.000% | ) | 1.028% | (9,250,000) | Quarterly | 11,606 | (155,304 | ) | 166,910 | ||||||||||||||||||||||||||
Electricite de France S.A. 5.625%, 02/21/2033 |
12/20/2024 | (1.000% | ) | 0.575% | EUR | (10,000,000) | Quarterly | (221,029 | ) | (237,343 | ) | 16,314 | ||||||||||||||||||||||||
Electrolux AB 1.000%, 12/05/2019 |
12/20/2024 | (1.000% | ) | 0.337% | (9,800,000) | Quarterly | (340,729 | ) | (427,835 | ) | 87,106 | |||||||||||||||||||||||||
Enbridge, Inc. 3.500%, 06/10/2024 |
12/20/2024 | (1.000% | ) | 3.146% | $ | (100,000) | Quarterly | 8,981 | (1,445 | ) | 10,426 | |||||||||||||||||||||||||
Enel SpA 5.250%, 05/20/2024 |
12/20/2024 | (1.000% | ) | 0.858% | EUR | (200,000) | Quarterly | (1,461 | ) | (4,754 | ) | 3,293 | ||||||||||||||||||||||||
FirstEnergy Corp. 7.375%, 11/15/2031 |
12/20/2024 | (1.000% | ) | 0.354% | $ | (2,750,000) | Quarterly | (82,845 | ) | (84,381 | ) | 1,536 | ||||||||||||||||||||||||
Ford Motor Co. 4.346%, 12/08/2026 |
12/20/2024 | (5.000% | ) | 9.560% | (9,800,000) | Quarterly | 1,480,871 | (702,524 | ) | 2,183,395 | ||||||||||||||||||||||||||
Fortum Oyj 2.250%, 09/06/2022 |
12/20/2024 | (1.000% | ) | 0.827% | EUR | (4,300,000) | Quarterly | (38,210 | ) | (49,863 | ) | 11,653 | ||||||||||||||||||||||||
Freeport-McMoRan, Inc. 3.550%, 03/01/2022 |
12/20/2024 | (1.000% | ) | 4.818% | $ | (9,700,000) | Quarterly | 1,455,185 | 1,099,456 | 355,729 | ||||||||||||||||||||||||||
General Electric Co. 2.700%, 10/09/2022 |
12/20/2024 | (1.000% | ) | 2.166% | (200,000) | Quarterly | 10,136 | (383 | ) | 10,519 | ||||||||||||||||||||||||||
Glencore Finance Europe Ltd. 3.375%, 09/30/2020 |
12/20/2024 | (5.000% | ) | 4.517% | EUR | (8,700,000) | Quarterly | (187,447 | ) | (1,655,816 | ) | 1,468,369 | ||||||||||||||||||||||||
Goodyear Tire & Rubber Co. (The) 5.000%, 05/31/2026 |
12/20/2024 | (5.000% | ) | 5.138% | $ | (11,850,000) | Quarterly | 64,212 | (1,004,812 | ) | 1,069,024 | |||||||||||||||||||||||||
Halliburton Co. 8.750%, 02/15/2021 |
12/20/2024 | (1.000% | ) | 3.401% | (11,200,000) | Quarterly | 1,114,422 | (30,581 | ) | 1,145,003 | ||||||||||||||||||||||||||
Hertz Corp. (The) 5.500%, 10/15/2024 |
12/20/2024 | (5.000% | ) | 18.433% | (7,800,000) | Quarterly | 2,599,963 | 993,750 | 1,606,213 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF SWAPS at March 31, 2020 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description |
Maturity Date |
Fixed Deal (Pay) Rate |
Implied Credit Spread at March 31, 2020 |
Notional Amount(4) |
Periodic Payment Frequency |
Fair Value | Upfront Premiums Paid / (Received) |
Unrealized Appreciation / (Depreciation) |
||||||||||||||||||||||||||||
Buy Protection (Continued) |
||||||||||||||||||||||||||||||||||||
Host Hotels & Resorts L.P. 4.750%, 03/01/2023 |
12/20/2024 | (1.000% | ) | 1.795% | $ | (11,050,000) | Quarterly | $ | 387,188 | $ | (221,752 | ) | $ | 608,940 | ||||||||||||||||||||||
Howmet Aerospace, Inc. 5.125%, 10/01/2024 |
12/20/2024 | (1.000% | ) | 3.393% | (3,500,000) | Quarterly | 347,131 | 361,758 | (14,627 | ) | ||||||||||||||||||||||||||
HSBC Holdings Plc 0.875%, 09/06/2024 |
12/20/2024 | (1.000% | ) | 0.973% | EUR | (9,850,000) | Quarterly | (13,516 | ) | (271,172 | ) | 257,656 | ||||||||||||||||||||||||
Imperial Brands Finance Plc 1.375%, 01/27/2025 |
12/20/2024 | (1.000% | ) | 0.991% | (10,100,000) | Quarterly | (4,494 | ) | 67,976 | (72,470 | ) | |||||||||||||||||||||||||
ING Groep N.V. 0.750%, 03/09/2022 |
12/20/2024 | (1.000% | ) | 0.931% | (8,100,000) | Quarterly | (28,595 | ) | (211,286 | ) | 182,691 | |||||||||||||||||||||||||
International Lease Finance Corp. 8.250%, 12/15/2020 |
12/20/2024 | (5.000% | ) | 3.715% | $ | (4,650,000) | Quarterly | (244,612 | ) | (228,089 | ) | (16,523 | ) | |||||||||||||||||||||||
International Paper Co. 7.500%, 08/15/2021 |
12/20/2024 | (1.000% | ) | 0.481% | (11,050,000) | Quarterly | (265,854 | ) | (234,235 | ) | (31,619 | ) | ||||||||||||||||||||||||
ITV Plc 2.125%, 09/21/2022 |
12/20/2024 | (5.000% | ) | 2.914% | EUR | (8,650,000) | Quarterly | (855,467 | ) | (1,152,028 | ) | 296,561 | ||||||||||||||||||||||||
KB Home 7.000%, 12/15/2021 |
12/20/2024 | (5.000% | ) | 4.683% | $ | (9,600,000) | Quarterly | (119,551 | ) | 323,325 | (442,876 | ) | ||||||||||||||||||||||||
Kinder Morgan, Inc. 3.050%, 12/01/2019 |
12/20/2024 | (1.000% | ) | 1.599% | (150,000) | Quarterly | 3,991 | (2,381 | ) | 6,372 | ||||||||||||||||||||||||||
Kinder Morgan, Inc. 4.300%, 03/01/2028 |
12/20/2024 | (1.000% | ) | 1.599% | (1,400,000) | Quarterly | 37,251 | 90,150 | (52,899 | ) | ||||||||||||||||||||||||||
Kohls Corp. 4.250%, 07/17/2025 |
12/20/2024 | (1.000% | ) | 4.058% | (13,550,000) | Quarterly | 1,675,040 | 274,172 | 1,400,868 | |||||||||||||||||||||||||||
Koninklijke KPN N.V. 5.625%, 09/30/2024 |
12/20/2024 | (1.000% | ) | 0.775% | EUR | (4,500,000) | Quarterly | (52,101 | ) | (32,982 | ) | (19,119 | ) | |||||||||||||||||||||||
LafargeHolcim Ltd. 3.000%, 11/22/2022 |
12/20/2024 | (1.000% | ) | 1.480% | (250,000) | Quarterly | 6,011 | (4,823 | ) | 10,834 | ||||||||||||||||||||||||||
Lennar Corp. 4.750%, 04/01/2021 |
12/20/2024 | (5.000% | ) | 2.936% | $ | (700,000) | Quarterly | (60,919 | ) | (49,964 | ) | (10,955 | ) | |||||||||||||||||||||||
Liberty Interactive LLC 8.500%, 07/15/2029 |
12/20/2024 | (5.000% | ) | 6.124% | (4,900,000) | Quarterly | 207,291 | (898,098 | ) | 1,105,389 | ||||||||||||||||||||||||||
Macys Retail Holdings, Inc. 3.450%, 01/15/2021 |
12/20/2024 | (1.000% | ) | 9.169% | (11,900,000) | Quarterly | 3,263,893 | 633,984 | 2,629,909 | |||||||||||||||||||||||||||
Marks & Spencer Plc 3.000%, 12/08/2023 |
12/20/2024 | (1.000% | ) | 4.360% | EUR | (15,450,000) | Quarterly | 2,329,411 | 928,470 | 1,400,941 | ||||||||||||||||||||||||||
MBIA, Inc. 6.625%, 10/01/2028 |
12/20/2024 | (5.000% | ) | 4.368% | $ | (300,000) | Quarterly | (7,530 | ) | (52,450 | ) | 44,920 | ||||||||||||||||||||||||
McKesson Corp. 7.650%, 03/01/2027 |
12/20/2024 | (1.000% | ) | 0.434% | (11,000,000) | Quarterly | (289,372 | ) | (97,345 | ) | (192,027 | ) | ||||||||||||||||||||||||
Meritor, Inc. 6.250%, 02/15/2024 |
12/20/2024 | (5.000% | ) | 3.309% | (8,400,000) | Quarterly | (590,290 | ) | (1,267,586 | ) | 677,296 | |||||||||||||||||||||||||
MetLife, Inc. 3.600%, 11/13/2025 |
12/20/2024 | (1.000% | ) | 0.846% | (300,000) | Quarterly | (2,108 | ) | (5,531 | ) | 3,423 | |||||||||||||||||||||||||
METRO AG 1.375%, 10/28/2021 |
12/20/2024 | (1.000% | ) | 2.995% | EUR | (10,500,000) | Quarterly | 990,233 | 283,158 | 707,075 | ||||||||||||||||||||||||||
MGIC Investment Corp. 5.750%, 08/15/2023 |
6/20/2025 | (5.000% | ) | 3.325% | $ | (1,400,000) | Quarterly | (106,168 | ) | (94,714 | ) | (11,454 | ) | |||||||||||||||||||||||
Motorola Solutions, Inc. 7.500%, 05/15/2025 |
12/20/2024 | (1.000% | ) | 0.562% | (100,000) | Quarterly | (2,026 | ) | (1,929 | ) | (97 | ) | ||||||||||||||||||||||||
National Grid Plc 4.375%, 03/10/2020 |
12/20/2024 | (1.000% | ) | 0.342% | EUR | (200,000) | Quarterly | (6,900 | ) | (5,639 | ) | (1,261 | ) |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF SWAPS at March 31, 2020 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description |
Maturity Date |
Fixed Deal (Pay) Rate |
Implied Credit Spread at March 31, 2020 |
Notional Amount(4) |
Periodic Payment Frequency |
Fair Value | Upfront Premiums Paid / (Received) |
Unrealized Appreciation / (Depreciation) |
||||||||||||||||||||||||||||
Buy Protection (Continued) |
||||||||||||||||||||||||||||||||||||
Naturgy Capital Markets S.A. 5.125%, 11/02/2021 |
12/20/2024 | (1.000% | ) | 0.444% | EUR | (4,050,000) | Quarterly | $ | (117,540 | ) | $ | (136,398 | ) | $ | 18,858 | |||||||||||||||||||||
Next Group Plc 5.375%, 10/26/2021 |
12/20/2024 | (1.000% | ) | 3.105% | (550,000) | Quarterly | 54,495 | (2,928 | ) | 57,423 | ||||||||||||||||||||||||||
Nokia Oyj 1.000%, 03/15/2021 |
12/20/2024 | (5.000% | ) | 1.606% | (8,400,000) | Quarterly | (1,422,159 | ) | (1,937,256 | ) | 515,097 | |||||||||||||||||||||||||
Nordstrom, Inc. 6.950%, 03/15/2028 |
12/20/2024 | (1.000% | ) | 4.525% | $ | (15,900,000) | Quarterly | 2,226,168 | 792,638 | 1,433,530 | ||||||||||||||||||||||||||
NRG Energy, Inc. 7.250%, 05/15/2026 |
12/20/2024 | (5.000% | ) | 1.644% | (2,100,000) | Quarterly | (312,359 | ) | (413,711 | ) | 101,352 | |||||||||||||||||||||||||
Olin Corp. 5.500%, 08/15/2022 |
12/20/2024 | (1.000% | ) | 3.792% | (11,700,000) | Quarterly | 1,333,737 | 318,902 | 1,014,835 | |||||||||||||||||||||||||||
Omnicom Group, Inc. / Omnicom Capital, Inc. 4.450%, 08/15/2020 |
12/20/2024 | (1.000% | ) | 0.467% | (8,650,000) | Quarterly | (213,862 | ) | (245,570 | ) | 31,708 | |||||||||||||||||||||||||
Ovintiv, Inc. 3.900%, 11/15/2021 |
12/20/2024 | (1.000% | ) | 10.680% | (5,800,000) | Quarterly | 1,789,245 | | 1,789,245 | |||||||||||||||||||||||||||
PostNL N.V. 1.000%, 11/21/2024 |
12/20/2024 | (1.000% | ) | 1.093% | EUR | (10,150,000) | Quarterly | 47,921 | (155,943 | ) | 203,864 | |||||||||||||||||||||||||
Publicis Groupe S.A. 1.125%, 12/16/2021 |
12/20/2024 | (1.000% | ) | 1.241% | (10,050,000) | Quarterly | 122,481 | (193,966 | ) | 316,447 | ||||||||||||||||||||||||||
PulteGroup, Inc. 7.875%, 06/15/2032 |
12/20/2024 | (5.000% | ) | 2.265% | $ | (4,450,000) | Quarterly | (526,635 | ) | (389,952 | ) | (136,683 | ) | |||||||||||||||||||||||
Radian Group, Inc. 4.500%, 10/01/2024 |
12/20/2024 | (5.000% | ) | 3.228% | (5,550,000) | Quarterly | (409,852 | ) | (911,740 | ) | 501,888 | |||||||||||||||||||||||||
Renault S.A. 3.125%, 03/05/2021 |
12/20/2024 | (1.000% | ) | 3.293% | EUR | (10,200,000) | Quarterly | 1,092,949 | (13,159 | ) | 1,106,108 | |||||||||||||||||||||||||
Rolls-Royce Plc 2.125%, 06/18/2021 |
12/20/2024 | (1.000% | ) | 4.204% | (10,050,000) | Quarterly | 1,453,543 | (46,434 | ) | 1,499,977 | ||||||||||||||||||||||||||
Royal Bank of Scotland Group Plc 2.000%, 03/04/2025 |
12/20/2024 | (1.000% | ) | 1.291% | (4,850,000) | Quarterly | 71,276 | 27,211 | 44,065 | |||||||||||||||||||||||||||
RR Donnelley & Sons Co. 7.875%, 03/15/2021 |
12/20/2024 | (5.000% | ) | 9.668% | $ | (5,400,000) | Quarterly | 832,129 | 357,187 | 474,942 | ||||||||||||||||||||||||||
RR Donnelley & Sons Co. 7.875%, 03/15/2021 |
6/20/2025 | (5.000% | ) | 9.838% | (5,500,000) | Quarterly | 930,191 | 1,237,500 | (307,309 | ) | ||||||||||||||||||||||||||
Ryder System, Inc. 3.875%, 12/01/2023 |
12/20/2024 | (1.000% | ) | 1.469% | (11,100,000) | Quarterly | 232,555 | (68,303 | ) | 300,858 | ||||||||||||||||||||||||||
SES S.A. 4.750%, 03/11/2021 |
12/20/2024 | (1.000% | ) | 1.389% | EUR | (6,100,000) | Quarterly | 119,274 | (20,457 | ) | 139,731 | |||||||||||||||||||||||||
Sherwin-Williams Co. (The) 7.375%, 02/01/2027 |
12/20/2024 | (1.000% | ) | 0.684% | $ | (200,000) | Quarterly | (2,908 | ) | (4,361 | ) | 1,453 | ||||||||||||||||||||||||
Simon Property Group L.P. 4.375%, 03/01/2021 |
12/20/2024 | (1.000% | ) | 2.479% | (10,900,000) | Quarterly | 691,890 | (251,063 | ) | 942,953 | ||||||||||||||||||||||||||
Solvay S.A. 1.625%, 12/02/2022 |
12/20/2024 | (1.000% | ) | 0.914% | EUR | (4,300,000) | Quarterly | (19,005 | ) | (141,015 | ) | 122,010 | ||||||||||||||||||||||||
Springleaf Finance Corp. 7.750%, 10/01/2021 |
12/20/2024 | (5.000% | ) | 6.771% | $ | (1,600,000) | Quarterly | 103,693 | (278,398 | ) | 382,091 | |||||||||||||||||||||||||
SSE Plc 5.875%, 09/22/2022 |
12/20/2024 | (1.000% | ) | 0.571% | EUR | (400,000) | Quarterly | (8,915 | ) | (9,603 | ) | 688 | ||||||||||||||||||||||||
Standard Chartered Plc 2.250%, 04/17/2020 |
12/20/2024 | (1.000% | ) | 1.071% | (4,300,000) | Quarterly | 15,586 | (108,767 | ) | 124,353 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF SWAPS at March 31, 2020 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description |
Maturity Date |
Fixed Deal (Pay) Rate |
Implied Credit Spread at March 31, 2020 |
Notional Amount(4) |
Periodic Payment Frequency |
Fair Value | Upfront Premiums Paid / (Received) |
Unrealized Appreciation / (Depreciation) |
||||||||||||||||||||||||||||
Buy Protection (Continued) |
||||||||||||||||||||||||||||||||||||
Teck Resources Ltd. 6.125%, 10/01/2035 |
12/20/2024 | (5.000% | ) | 2.641% | $ | (9,500,000) | Quarterly | $ | (955,540 | ) | $ | (1,645,759 | ) | $ | 690,219 | |||||||||||||||||||||
Telecom Italia SpA 3.625%, 01/19/2024 |
12/20/2024 | (1.000% | ) | 2.643% | EUR | (250,000) | Quarterly | 19,676 | 8,342 | 11,334 | ||||||||||||||||||||||||||
Telefonica Emisiones S.A. 1.528%, 01/17/2025 |
6/20/2025 | (1.000% | ) | 1.159% | (2,050,000) | Quarterly | 18,224 | 21,746 | (3,522 | ) | ||||||||||||||||||||||||||
Telenor ASA 2.625%, 12/06/2024 |
12/20/2024 | (1.000% | ) | 0.320% | (9,650,000) | Quarterly | (344,305 | ) | (416,563 | ) | 72,258 | |||||||||||||||||||||||||
Tesco Plc 6.125%, 02/24/2022 |
12/20/2024 | (1.000% | ) | 0.993% | (250,000) | Quarterly | (85 | ) | (417 | ) | 332 | |||||||||||||||||||||||||
thyssenkrupp AG 2.500%, 02/25/2025 |
12/20/2024 | (1.000% | ) | 5.312% | (10,550,000) | Quarterly | 1,969,821 | 692,232 | 1,277,589 | |||||||||||||||||||||||||||
Toll Brothers Finance Corp. 4.375%, 04/15/2023 |
12/20/2024 | (1.000% | ) | 3.052% | $ | (7,300,000) | Quarterly | 629,208 | 417,632 | 211,576 | ||||||||||||||||||||||||||
UBS Group AG 3.491%, 05/23/2023 |
12/20/2024 | (1.000% | ) | 0.929% | EUR | (4,500,000) | Quarterly | (16,455 | ) | (139,268 | ) | 122,813 | ||||||||||||||||||||||||
United Rentals North America, Inc. 5.500%, 07/15/2025 |
12/20/2024 | (5.000% | ) | 2.674% | $ | (6,350,000) | Quarterly | (629,109 | ) | (1,148,324 | ) | 519,215 | ||||||||||||||||||||||||
United States Steel Corp. 6.650%, 06/01/2037 |
12/20/2024 | (5.000% | ) | 13.231% | (10,950,000) | Quarterly | 2,637,296 | 625,063 | 2,012,233 | |||||||||||||||||||||||||||
Verizon Communications, Inc. 4.125%, 03/16/2027 |
12/20/2024 | (1.000% | ) | 1.122% | (200,000) | Quarterly | 1,104 | (5,676 | ) | 6,780 | ||||||||||||||||||||||||||
Vodafone Group Plc 1.000%, 09/11/2020 |
12/20/2024 | (1.000% | ) | 0.769% | EUR | (5,850,000) | Quarterly | (69,735 | ) | (131,460 | ) | 61,725 | ||||||||||||||||||||||||
Volkswagen International Finance N.V. 0.500%, 03/30/2021 |
12/20/2024 | (1.000% | ) | 2.107% | (800,000) | Quarterly | 43,336 | (5,529 | ) | 48,865 | ||||||||||||||||||||||||||
Williams Cos, Inc. (The) 4.550%, 06/24/2024 |
12/20/2024 | (1.000% | ) | 2.688% | $ | (11,050,000) | Quarterly | 794,293 | (128,448 | ) | 922,741 | |||||||||||||||||||||||||
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Total Buy Protection |
|
$ | 35,155,990 | $ | (24,162,303 | ) | $ | 59,318,293 | ||||||||||||||||||||||||||||
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Sell Protection |
| |||||||||||||||||||||||||||||||||||
Accor S.A. 2.625%, 02/05/2021 |
12/20/2024 | 1.000% | 3.240% | EUR | 10,050,000 | Quarterly | $ | (1,054,248 | ) | $ | 140,134 | $ | (1,194,382 | ) | ||||||||||||||||||||||
Aegon N.V. 6.125%, 12/15/2031 |
12/20/2024 | 1.000% | 1.345% | 1,800,000 | Quarterly | (31,325 | ) | (36,225 | ) | 4,900 | ||||||||||||||||||||||||||
AES Corp. 4.875%, 05/15/2023 |
12/20/2024 | 5.000% | 2.041% | $ | 6,250,000 | Quarterly | 807,177 | 1,311,626 | (504,449 | ) | ||||||||||||||||||||||||||
Akzo Nobel N.V. 1.750%, 11/07/2024 |
12/20/2024 | 1.000% | 0.524% | EUR | 9,800,000 | Quarterly | 243,003 | 393,748 | (150,745 | ) | ||||||||||||||||||||||||||
American Axle & Manufacturing, Inc. 6.625%, 10/15/2022 |
12/20/2024 | 5.000% | 9.154% | $ | 800,000 | Quarterly | (111,663 | ) | 65,438 | (177,101 | ) | |||||||||||||||||||||||||
American International Group, Inc. 6.250%, 05/01/2036 |
12/20/2024 | 1.000% | 0.932% | 11,100,000 | Quarterly | 34,258 | 127,367 | (93,109 | ) | |||||||||||||||||||||||||||
Amgen, Inc. 3.625%, 05/22/2024 |
12/20/2024 | 1.000% | 0.483% | 10,950,000 | Quarterly | 262,636 | 334,230 | (71,594 | ) | |||||||||||||||||||||||||||
Anglo American Capital Plc 4.125%, 04/15/2021 |
12/20/2024 | 5.000% | 2.337% | EUR | 8,350,000 | Quarterly | 1,078,323 | 1,791,934 | (713,611 | ) | ||||||||||||||||||||||||||
Anheuser-Busch InBev S.A. 4.000%, 06/02/2021 |
12/20/2024 | 1.000% | 1.464% | 2,150,000 | Quarterly | (49,999 | ) | (73,267 | ) | 23,268 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF SWAPS at March 31, 2020 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description |
Maturity Date |
Fixed Deal (Pay) Rate |
Implied Credit Spread at March 31, 2020 |
Notional Amount(4) |
Periodic Payment Frequency |
Fair Value | Upfront Premiums Paid / (Received) |
Unrealized Appreciation / (Depreciation) |
||||||||||||||||||||||||||||
Sell Protection (Continued) |
||||||||||||||||||||||||||||||||||||
Assicurazioni Generali SpA 5.125%, 09/16/2024 |
12/20/2024 | 1.000% | 1.409% | EUR | 10,100,000 | Quarterly | $ | (207,531 | ) | $ | 163,925 | $ | (371,456 | ) | ||||||||||||||||||||||
AT&T, Inc. 2.450%, 06/30/2020 |
12/20/2024 | 1.000% | 2.100% | $ | 11,250,000 | Quarterly | (539,159 | ) | 58,611 | (597,770 | ) | |||||||||||||||||||||||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc. 5.250%, 03/15/2025 |
12/20/2024 | 5.000% | 9.311% | 10,150,000 | Quarterly | (1,462,463 | ) | 1,139,345 | (2,601,808 | ) | ||||||||||||||||||||||||||
Avnet, Inc. 4.875%, 12/01/2022 |
12/20/2024 | 1.000% | 0.685% | 2,600,000 | Quarterly | 37,690 | 23,234 | 14,456 | ||||||||||||||||||||||||||||
Bank of America Corp. 2.369%, 07/21/2021 |
12/20/2024 | 1.000% | 1.002% | 4,750,000 | Quarterly | (431 | ) | (8,118 | ) | 7,687 | ||||||||||||||||||||||||||
Barrick Gold Corp. 5.800%, 11/15/2034 |
12/20/2024 | 1.000% | 0.394% | 12,600,000 | Quarterly | 355,575 | 332,685 | 22,890 | ||||||||||||||||||||||||||||
BAT International Finance Plc 2.375%, 01/19/2023 |
12/20/2024 | 1.000% | 0.914% | EUR | 7,850,000 | Quarterly | 34,582 | 170,977 | (136,395 | ) | ||||||||||||||||||||||||||
Bayer AG 1.875%, 01/25/2021 |
12/20/2024 | 1.000% | 0.935% | 3,900,000 | Quarterly | 13,053 | 102,580 | (89,527 | ) | |||||||||||||||||||||||||||
Beazer Homes USA, Inc. 6.750%, 03/15/2025 |
12/20/2024 | 5.000% | 7.427% | $ | 10,300,000 | Quarterly | (892,311 | ) | 927,772 | (1,820,083 | ) | |||||||||||||||||||||||||
Berkshire Hathaway, Inc. 2.750%, 03/15/2023 |
12/20/2024 | 1.000% | 0.258% | 10,850,000 | Quarterly | 376,971 | 266,348 | 110,623 | ||||||||||||||||||||||||||||
Best Buy Co., Inc. 5.500%, 03/15/2021 |
12/20/2024 | 5.000% | 1.318% | 4,650,000 | Quarterly | 768,781 | 763,306 | 5,475 | ||||||||||||||||||||||||||||
Boeing Co. (The) 8.750%, 08/15/2021 |
12/20/2024 | 1.000% | 4.416% | 3,300,000 | Quarterly | (449,589 | ) | (516,050 | ) | 66,461 | ||||||||||||||||||||||||||
Campbell Soup Co. 4.250%, 04/15/2021 |
12/20/2024 | 1.000% | 0.350% | 11,100,000 | Quarterly | 336,235 | 232,476 | 103,759 | ||||||||||||||||||||||||||||
Canadian Natural Resources Ltd. 3.450%, 11/15/2021 |
12/20/2024 | 1.000% | 3.202% | 2,950,000 | Quarterly | (271,287 | ) | 42,548 | (313,835 | ) | ||||||||||||||||||||||||||
Canadian Natural Resources Ltd. 3.450%, 11/15/2021 |
6/20/2025 | 1.000% | 3.375% | 1,750,000 | Quarterly | (187,798 | ) | (178,884 | ) | (8,914 | ) | |||||||||||||||||||||||||
Cardinal Health, Inc. 4.625%, 12/15/2020 |
12/20/2024 | 1.000% | 0.527% | 11,150,000 | Quarterly | 244,379 | (31,009 | ) | 275,388 | |||||||||||||||||||||||||||
Carnival Corp. 6.650%, 01/15/2028 |
12/20/2024 | 1.000% | 7.122% | 12,250,000 | Quarterly | (2,852,986 | ) | (2,094,107 | ) | (758,879 | ) | |||||||||||||||||||||||||
Carrefour S.A. 1.250%, 06/03/2025 |
12/20/2024 | 1.000% | 0.977% | EUR | 4,000,000 | Quarterly | 4,763 | 76,206 | (71,443 | ) | ||||||||||||||||||||||||||
CDX North America High Yield Index Series 33 5.000%, 12/20/2024 |
12/20/2024 | 5.000% | 6.687% | $ | 17,640,000 | Quarterly | (1,075,485 | ) | (230,730 | ) | (844,755 | ) | ||||||||||||||||||||||||
CDX North America HIgh Yield Index Series 34 5.000%, 06/20/2025 |
6/20/2025 | 5.000% | 6.558% | 99,820,000 | Quarterly | (6,218,591 | ) | (5,190,640 | ) | (1,027,951 | ) | |||||||||||||||||||||||||
CDX North America Investment Grade Index Series 33 1.000%, 12/20/2024 |
12/20/2024 | 1.000% | 1.078% | 80,000,000 | Quarterly | (287,254 | ) | (542,059 | ) | 254,805 | ||||||||||||||||||||||||||
Centrica Plc 6.375%, 03/10/2022 |
12/20/2024 | 1.000% | 1.581% | EUR | 500,000 | Quarterly | (14,495 | ) | 456 | (14,951 | ) | |||||||||||||||||||||||||
CenturyLink, Inc. 7.500%, 04/01/2024 |
12/20/2024 | 1.000% | 3.243% | $ | 2,200,000 | Quarterly | (205,747 | ) | (326,219 | ) | 120,472 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF SWAPS at March 31, 2020 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description |
Maturity Date |
Fixed Deal (Pay) Rate |
Implied Credit Spread at March 31, 2020 |
Notional Amount(4) |
Periodic Payment Frequency |
Fair Value | Upfront Premiums Paid / (Received) |
Unrealized Appreciation / (Depreciation) |
||||||||||||||||||||||||||||
Sell Protection (Continued) |
||||||||||||||||||||||||||||||||||||
CHS/Community Health Systems, Inc. 6.875%, 02/01/2022 |
12/20/2024 | 5.000% | 24.282% | $ | 2,850,000 | Quarterly | $ | (1,148,438 | ) | $ | (672,500 | ) | $ | (475,938 | ) | |||||||||||||||||||||
Citigroup, Inc. 2.876%, 07/24/2023 |
12/20/2024 | 1.000% | 1.088% | 4,400,000 | Quarterly | (17,495 | ) | 118,811 | (136,306 | ) | ||||||||||||||||||||||||||
Clariant AG 1.125%, 04/15/2026 |
12/20/2024 | 1.000% | 0.942% | EUR | 6,350,000 | Quarterly | 18,855 | 146,877 | (128,022 | ) | ||||||||||||||||||||||||||
CNH Industrial Finance Europe S.A. 2.875%, 05/17/2023 |
12/20/2024 | 5.000% | 2.059% | 10,900,000 | Quarterly | 1,571,430 | 2,525,487 | (954,057 | ) | |||||||||||||||||||||||||||
Commerzbank AG 4.000%, 09/16/2020 |
12/20/2024 | 1.000% | 1.472% | 150,000 | Quarterly | (3,550 | ) | 2,184 | (5,734 | ) | ||||||||||||||||||||||||||
Continental AG 3.125%, 09/09/2020 |
12/20/2024 | 1.000% | 1.974% | 1,800,000 | Quarterly | (86,167 | ) | 35,412 | (121,579 | ) | ||||||||||||||||||||||||||
CVS Health Corp. 2.125%, 06/01/2021 |
12/20/2024 | 1.000% | 0.757% | $ | 11,000,000 | Quarterly | 122,811 | 153,008 | (30,197 | ) | ||||||||||||||||||||||||||
Deutsche Bank AG 0.031%, 12/07/2020 |
12/20/2024 | 1.000% | 2.768% | EUR | 10,250,000 | Quarterly | (864,006 | ) | (24,977 | ) | (839,029 | ) | ||||||||||||||||||||||||
Devon Energy Corp. 7.950%, 04/15/2032 |
12/20/2024 | 1.000% | 4.278% | $ | 150,000 | Quarterly | (19,716 | ) | 1,328 | (21,044 | ) | |||||||||||||||||||||||||
DISH DBS Corp. 6.750%, 06/01/2021 |
12/20/2024 | 5.000% | 4.744% | 10,900,000 | Quarterly | 109,396 | 168,886 | (59,490 | ) | |||||||||||||||||||||||||||
Domtar Corp. 4.400%, 04/01/2022 |
12/20/2024 | 1.000% | 0.806% | 150,000 | Quarterly | 1,329 | 1,544 | (215 | ) | |||||||||||||||||||||||||||
Dow Chemical Co. (The) 7.375%, 11/01/2029 |
12/20/2024 | 1.000% | 1.625% | 2,050,000 | Quarterly | (56,822 | ) | (104,588 | ) | 47,766 | ||||||||||||||||||||||||||
DR Horton, Inc. 4.750%, 02/15/2023 |
12/20/2024 | 1.000% | 0.905% | 11,000,000 | Quarterly | 47,392 | 274,212 | (226,820 | ) | |||||||||||||||||||||||||||
Eastman Chemical Co. 7.600%, 02/01/2027 |
12/20/2024 | 1.000% | 1.028% | 5,600,000 | Quarterly | (7,026 | ) | 114,708 | (121,734 | ) | ||||||||||||||||||||||||||
Electricite de France S.A. 5.625%, 02/21/2033 |
12/20/2024 | 1.000% | 0.575% | EUR | 12,100,000 | Quarterly | 267,447 | 380,924 | (113,477 | ) | ||||||||||||||||||||||||||
Electrolux AB 1.103%, 03/27/2024 |
12/20/2024 | 1.000% | 0.337% | 100,000 | Quarterly | 3,477 | 4,511 | (1,034 | ) | |||||||||||||||||||||||||||
Enbridge, Inc. 3.500%, 06/10/2024 |
12/20/2024 | 1.000% | 3.146% | $ | 11,100,000 | Quarterly | (996,966 | ) | 133,849 | (1,130,815 | ) | |||||||||||||||||||||||||
Enel SpA 5.250%, 05/20/2024 |
12/20/2024 | 1.000% | 0.858% | EUR | 10,100,000 | Quarterly | 73,775 | 231,710 | (157,935 | ) | ||||||||||||||||||||||||||
Eni SpA 2.625%, 11/22/2021 |
6/20/2025 | 1.000% | 1.590% | 2,050,000 | Quarterly | (66,318 | ) | (61,974 | ) | (4,344 | ) | |||||||||||||||||||||||||
Experian Finance Plc 3.500%, 10/15/2021 |
12/20/2024 | 1.000% | 0.429% | 8,100,000 | Quarterly | 241,777 | 319,927 | (78,150 | ) | |||||||||||||||||||||||||||
FirstEnergy Corp. 7.375%, 11/15/2031 |
12/20/2024 | 1.000% | 0.354% | $ | 10,800,000 | Quarterly | 325,354 | 331,370 | (6,016 | ) | ||||||||||||||||||||||||||
Ford Motor Co. 4.346%, 12/08/2026 |
12/20/2024 | 5.000% | 9.560% | 9,800,000 | Quarterly | (1,480,869 | ) | 1,456,540 | (2,937,409 | ) | ||||||||||||||||||||||||||
Fortum Oyj 2.250%, 09/06/2022 |
12/20/2024 | 1.000% | 0.827% | EUR | 4,300,000 | Quarterly | 38,210 | 112,388 | (74,178 | ) | ||||||||||||||||||||||||||
Freeport-McMoRan, Inc. 3.550%, 03/01/2022 |
12/20/2024 | 1.000% | 4.818% | $ | 9,700,000 | Quarterly | (1,455,185 | ) | (303,715 | ) | (1,151,470 | ) | ||||||||||||||||||||||||
General Electric Co. 2.700%, 10/09/2022 |
12/20/2024 | 1.000% | 2.166% | 11,300,000 | Quarterly | (572,691 | ) | (147,417 | ) | (425,274 | ) | |||||||||||||||||||||||||
General Motors Co. 4.875%, 10/02/2023 |
6/20/2025 | 5.000% | 4.650% | 2,000,000 | Quarterly | 29,996 | 60,892 | (30,896 | ) | |||||||||||||||||||||||||||
Glencore Finance Europe Ltd. 3.375%, 09/30/2020 |
12/20/2024 | 5.000% | 4.517% | EUR | 200,000 | Quarterly | 4,309 | 38,213 | (33,904 | ) |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF SWAPS at March 31, 2020 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description |
Maturity Date |
Fixed Deal (Pay) Rate |
Implied Credit Spread at March 31, 2020 |
Notional Amount(4) |
Periodic Payment Frequency |
Fair Value | Upfront Premiums Paid / (Received) |
Unrealized Appreciation / (Depreciation) |
||||||||||||||||||||||||||||
Sell Protection (Continued) |
||||||||||||||||||||||||||||||||||||
Goldman Sachs Group, Inc. (The) 2.908%, 06/05/2023 |
12/20/2024 | 1.000% | 1.211% | $ | 4,450,000 | Quarterly | $ | (42,246 | ) | $ | 106,816 | $ | (149,062 | ) | ||||||||||||||||||||||
Goldman Sachs Group, Inc. (The) 2.908%, 06/05/2023 |
6/20/2025 | 1.000% | 1.244% | 5,900,000 | Quarterly | (71,134 | ) | (228,124 | ) | 156,990 | ||||||||||||||||||||||||||
Goodyear Tire & Rubber Co. (The) 5.000%, 05/31/2026 |
12/20/2024 | 5.000% | 5.138% | 2,200,000 | Quarterly | (11,922 | ) | 286,672 | (298,594 | ) | ||||||||||||||||||||||||||
Halliburton Co. 8.750%, 02/15/2021 |
12/20/2024 | 1.000% | 3.401% | 1,600,000 | Quarterly | (159,203 | ) | 25,253 | (184,456 | ) | ||||||||||||||||||||||||||
Hertz Corp. (The) 5.500%, 10/15/2024 |
12/20/2024 | 5.000% | 18.433% | 10,000,000 | Quarterly | (3,333,284 | ) | 894,021 | (4,227,305 | ) | ||||||||||||||||||||||||||
Host Hotels & Resorts L.P. 4.750%, 03/01/2023 |
12/20/2024 | 1.000% | 1.795% | 3,850,000 | Quarterly | (134,903 | ) | (413,573 | ) | 278,670 | ||||||||||||||||||||||||||
Howmet Aerospace, Inc. 5.125%, 10/01/2024 |
12/20/2024 | 1.000% | 3.393% | 8,400,000 | Quarterly | (833,117 | ) | (7,798 | ) | (825,319 | ) | |||||||||||||||||||||||||
Iberdrola International B.V. 2.875%, 11/11/2020 |
12/20/2024 | 1.000% | 0.350% | EUR | 1,800,000 | Quarterly | 61,383 | 68,615 | (7,232 | ) | ||||||||||||||||||||||||||
Imperial Brands Finance Plc 1.375%, 01/27/2025 |
12/20/2024 | 1.000% | 0.991% | 2,150,000 | Quarterly | 957 | 29,579 | (28,622 | ) | |||||||||||||||||||||||||||
International Lease Finance Corp. 8.250%, 12/15/2020 |
12/20/2024 | 5.000% | 3.715% | $ | 9,100,000 | Quarterly | 478,702 | 1,936,243 | (1,457,541 | ) | ||||||||||||||||||||||||||
International Paper Co. 7.500%, 08/15/2021 |
12/20/2024 | 1.000% | 0.481% | 3,100,000 | Quarterly | 74,583 | 89,466 | (14,883 | ) | |||||||||||||||||||||||||||
Intesa Sanpaolo SpA 1.750%, 03/20/2028 |
12/20/2024 | 1.000% | 1.634% | EUR | 10,000,000 | Quarterly | (315,847 | ) | 53,083 | (368,930 | ) | |||||||||||||||||||||||||
ITV Plc 2.125%, 09/21/2022 |
12/20/2024 | 5.000% | 2.914% | 8,650,000 | Quarterly | 855,468 | 1,773,467 | (917,999 | ) | |||||||||||||||||||||||||||
KB Home 7.000%, 12/15/2021 |
12/20/2024 | 5.000% | 4.683% | $ | 9,600,000 | Quarterly | 119,549 | 1,705,331 | (1,585,782 | ) | ||||||||||||||||||||||||||
Kinder Morgan, Inc. 3.050%, 12/01/2019 |
12/20/2024 | 1.000% | 1.599% | 11,100,000 | Quarterly | (295,343 | ) | 166,001 | (461,344 | ) | ||||||||||||||||||||||||||
Kohls Corp. 4.250%, 07/17/2025 |
12/20/2024 | 1.000% | 4.058% | 2,200,000 | Quarterly | (271,963 | ) | (34,245 | ) | (237,718 | ) | |||||||||||||||||||||||||
Koninklijke KPN N.V. 5.625%, 09/30/2024 |
12/20/2024 | 1.000% | 0.775% | EUR | 12,950,000 | Quarterly | 149,935 | 67,475 | 82,460 | |||||||||||||||||||||||||||
LafargeHolcim Ltd. 3.000%, 11/22/2022 |
12/20/2024 | 1.000% | 1.480% | 10,050,000 | Quarterly | (241,653 | ) | 195,752 | (437,405 | ) | ||||||||||||||||||||||||||
Lennar Corp. 4.750%, 04/01/2021 |
12/20/2024 | 5.000% | 2.936% | $ | 9,300,000 | Quarterly | 809,344 | 1,907,856 | (1,098,512 | ) | ||||||||||||||||||||||||||
Macys Retail Holdings, Inc. 3.450%, 01/15/2021 |
12/20/2024 | 1.000% | 9.169% | 350,000 | Quarterly | (95,996 | ) | (14,767 | ) | (81,229 | ) | |||||||||||||||||||||||||
Marks & Spencer Plc 3.000%, 12/08/2023 |
12/20/2024 | 1.000% | 4.360% | EUR | 5,000,000 | Quarterly | (753,854 | ) | (173,037 | ) | (580,817 | ) | ||||||||||||||||||||||||
Marriott International, Inc. 2.300%, 01/15/2022 |
12/20/2024 | 1.000% | 2.357% | $ | 3,800,000 | Quarterly | (222,466 | ) | 112,906 | (335,372 | ) | |||||||||||||||||||||||||
MBIA, Inc. 6.625%, 10/01/2028 |
12/20/2024 | 5.000% | 4.368% | 9,900,000 | Quarterly | 248,490 | 1,571,517 | (1,323,027 | ) | |||||||||||||||||||||||||||
McDonalds Corp. 2.750%, 12/09/2020 |
6/20/2025 | 1.000% | 0.521% | 4,350,000 | Quarterly | 106,276 | 115,785 | (9,509 | ) | |||||||||||||||||||||||||||
Meritor, Inc. 6.250%, 02/15/2024 |
12/20/2024 | 5.000% | 3.309% | 5,150,000 | Quarterly | 361,905 | 884,039 | (522,134 | ) |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF SWAPS at March 31, 2020 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description |
Maturity Date |
Fixed Deal (Pay) Rate |
Implied Credit Spread at March 31, 2020 |
Notional Amount(4) |
Periodic Payment Frequency |
Fair Value | Upfront Premiums Paid / (Received) |
Unrealized Appreciation / (Depreciation) |
||||||||||||||||||||||||||||
Sell Protection (Continued) |
||||||||||||||||||||||||||||||||||||
MetLife, Inc. 3.600%, 11/13/2025 |
12/20/2024 | 1.000% | 0.846% | $ | 11,250,000 | Quarterly | $ | 79,065 | $ | 174,059 | $ | (94,994 | ) | |||||||||||||||||||||||
METRO AG 1.375%, 10/28/2021 |
12/20/2024 | 1.000% | 2.995% | EUR | 350,000 | Quarterly | (33,008 | ) | (6,298 | ) | (26,710 | ) | ||||||||||||||||||||||||
Mondelez International, Inc. 4.000%, 02/01/2024 |
12/20/2024 | 1.000% | 0.322% | $ | 10,900,000 | Quarterly | 345,030 | 369,368 | (24,338 | ) | ||||||||||||||||||||||||||
Morgan Stanley 3.750%, 02/25/2023 |
12/20/2024 | 1.000% | 1.240% | 4,450,000 | Quarterly | (48,117 | ) | 111,095 | (159,212 | ) | ||||||||||||||||||||||||||
Motorola Solutions, Inc. 7.500%, 05/15/2025 |
12/20/2024 | 1.000% | 0.562% | 11,050,000 | Quarterly | 223,966 | 217,904 | 6,062 | ||||||||||||||||||||||||||||
National Grid Plc 4.375%, 03/10/2020 |
12/20/2024 | 1.000% | 0.342% | EUR | 9,900,000 | Quarterly | 341,530 | 257,856 | 83,674 | |||||||||||||||||||||||||||
Next Group Plc 5.375%, 10/26/2021 |
12/20/2024 | 1.000% | 3.105% | 10,550,000 | Quarterly | (1,045,325 | ) | (64,493 | ) | (980,832 | ) | |||||||||||||||||||||||||
Nordstrom, Inc. 6.950%, 03/15/2028 |
12/20/2024 | 1.000% | 4.525% | $ | 6,700,000 | Quarterly | (938,070 | ) | (250,903 | ) | (687,167 | ) | ||||||||||||||||||||||||
Olin Corp. 5.500%, 08/15/2022 |
12/20/2024 | 1.000% | 3.792% | 1,250,000 | Quarterly | (142,493 | ) | (153,816 | ) | 11,323 | ||||||||||||||||||||||||||
Ovintiv, Inc. 3.900%, 11/15/2021 |
12/20/2024 | 1.000% | 10.680% | 2,500,000 | Quarterly | (771,228 | ) | (706,423 | ) | (64,805 | ) | |||||||||||||||||||||||||
Pearson Funding Plc 1.375%, 05/06/2025 |
6/20/2025 | 1.000% | 1.205% | EUR | 2,050,000 | Quarterly | (23,455 | ) | (17,198 | ) | (6,257 | ) | ||||||||||||||||||||||||
PostNL N.V. 1.000%, 11/21/2024 |
12/20/2024 | 1.000% | 1.093% | 250,000 | Quarterly | (1,181 | ) | 5,065 | (6,246 | ) | ||||||||||||||||||||||||||
Publicis Groupe S.A. 1.125%, 12/16/2021 |
12/20/2024 | 1.000% | 1.241% | 1,900,000 | Quarterly | (23,156 | ) | 38,509 | (61,665 | ) | ||||||||||||||||||||||||||
PulteGroup, Inc. 7.875%, 06/15/2032 |
12/20/2024 | 5.000% | 2.265% | $ | 9,350,000 | Quarterly | 1,106,527 | 1,861,705 | (755,178 | ) | ||||||||||||||||||||||||||
Radian Group, Inc. 4.500%, 10/01/2024 |
12/20/2024 | 5.000% | 3.228% | 9,400,000 | Quarterly | 694,162 | 1,729,115 | (1,034,953 | ) | |||||||||||||||||||||||||||
Rite Aid Corp. 7.700%, 02/15/2027 |
12/20/2024 | 5.000% | 11.341% | 4,550,000 | Quarterly | (898,128 | ) | (740,500 | ) | (157,628 | ) | |||||||||||||||||||||||||
RR Donnelley & Sons Co. 7.875%, 03/15/2021 |
12/20/2024 | 5.000% | 9.668% | 5,400,000 | Quarterly | (832,129 | ) | (1,080,000 | ) | 247,871 | ||||||||||||||||||||||||||
Sherwin-Williams Co. (The) 7.375%, 02/01/2027 |
12/20/2024 | 1.000% | 0.684% | 11,150,000 | Quarterly | 162,144 | 162,039 | 105 | ||||||||||||||||||||||||||||
Societe Generale S.A. 3.250%, 01/12/2022 |
12/20/2024 | 1.000% | 1.144% | EUR | 1,650,000 | Quarterly | (12,092 | ) | 45,336 | (57,428 | ) | |||||||||||||||||||||||||
Solvay S.A. 1.625%, 12/02/2022 |
12/20/2024 | 1.000% | 0.914% | 4,300,000 | Quarterly | 19,004 | (41,889 | ) | 60,893 | |||||||||||||||||||||||||||
Springleaf Finance Corp. 7.750%, 10/01/2021 |
12/20/2024 | 5.000% | 6.771% | $ | 9,650,000 | Quarterly | (625,397 | ) | 1,559,020 | (2,184,417 | ) | |||||||||||||||||||||||||
SSE Plc 5.875%, 09/22/2022 |
12/20/2024 | 1.000% | 0.571% | EUR | 10,100,000 | Quarterly | 225,080 | 185,188 | 39,892 | |||||||||||||||||||||||||||
Sudzucker International Finance B.V. 1.250%, 11/29/2023 |
12/20/2024 | 1.000% | 1.643% | 9,850,000 | Quarterly | (315,653 | ) | 105,781 | (421,434 | ) | ||||||||||||||||||||||||||
Teck Resources Ltd. 6.125%, 10/01/2035 |
12/20/2024 | 5.000% | 2.641% | $ | 4,350,000 | Quarterly | 437,536 | 258,327 | 179,209 | |||||||||||||||||||||||||||
Telecom Italia SpA 3.625%, 01/19/2024 |
12/20/2024 | 1.000% | 2.643% | EUR | 10,650,000 | Quarterly | (838,158 | ) | (467,251 | ) | (370,907 | ) | ||||||||||||||||||||||||
Telefonaktiebolaget LM Ericsson 4.125%, 05/15/2022 |
6/20/2025 | 1.000% | 1.323% | 4,350,000 | Quarterly | (77,987 | ) | (121,347 | ) | 43,360 | ||||||||||||||||||||||||||
Telenor ASA 2.625%, 12/06/2024 |
12/20/2024 | 1.000% | 0.320% | 3,900,000 | Quarterly | 139,149 | 103,784 | 35,365 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF SWAPS at March 31, 2020 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description |
Maturity Date |
Fixed Deal (Pay) Rate |
Implied Credit Spread at March 31, 2020 |
Notional Amount(4) |
Periodic Payment Frequency |
Fair Value | Upfront Premiums Paid / (Received) |
Unrealized Appreciation / (Depreciation) |
||||||||||||||||||||||||||||
Sell Protection (Continued) |
||||||||||||||||||||||||||||||||||||
Tesco Plc 6.125%, 02/24/2022 |
12/20/2024 | 1.000% | 0.993% | EUR | 10,250,000 | Quarterly | $ | 3,487 | $ | (77,619 | ) | $ | 81,106 | |||||||||||||||||||||||
Toll Brothers Finance Corp. 4.375%, 04/15/2023 |
12/20/2024 | 1.000% | 3.052% | $ | 11,100,000 | Quarterly | (956,740 | ) | 82,520 | (1,039,260 | ) | |||||||||||||||||||||||||
Total Capital S.A. 3.125%, 09/16/2022 |
6/20/2025 | 1.000% | 1.178% | EUR | 2,050,000 | Quarterly | (20,405 | ) | (17,198 | ) | (3,207 | ) | ||||||||||||||||||||||||
United Rentals North America, Inc. 5.500%, 07/15/2025 |
12/20/2024 | 5.000% | 2.674% | $ | 2,200,000 | Quarterly | 217,959 | 443,072 | (225,113 | ) | ||||||||||||||||||||||||||
United States Steel Corp. 6.650%, 06/01/2037 |
12/20/2024 | 5.000% | 13.231% | 4,800,000 | Quarterly | (1,156,075 | ) | (1,078,313 | ) | (77,762 | ) | |||||||||||||||||||||||||
Verizon Communications, Inc. 4.125%, 03/16/2027 |
12/20/2024 | 1.000% | 1.122% | 11,050,000 | Quarterly | (61,008 | ) | 265,595 | (326,603 | ) | ||||||||||||||||||||||||||
Vinci S.A. 0.189%, 11/17/2021 |
6/20/2025 | 1.000% | 0.658% | EUR | 2,150,000 | Quarterly | 42,026 | 3,557 | 38,469 | |||||||||||||||||||||||||||
Vivendi S.A. 0.750%, 05/26/2021 |
12/20/2024 | 1.000% | 0.451% | 8,400,000 | Quarterly | 241,016 | 293,935 | (52,919 | ) | |||||||||||||||||||||||||||
Vodafone Group Plc 1.000%, 09/11/2020 |
12/20/2024 | 1.000% | 0.769% | 15,800,000 | Quarterly | 188,343 | 358,255 | (169,912 | ) | |||||||||||||||||||||||||||
Volkswagen International Finance N.V. 0.500%, 03/30/2021 |
12/20/2024 | 1.000% | 2.107% | 10,950,000 | Quarterly | (593,180 | ) | 88,777 | (681,957 | ) | ||||||||||||||||||||||||||
Wendel SE 2.750%, 10/02/2024 |
12/20/2024 | 5.000% | 1.267% | 8,450,000 | Quarterly | 1,594,692 | 2,080,491 | (485,799 | ) | |||||||||||||||||||||||||||
Williams Cos, Inc. (The) 4.550%, 06/24/2024 |
12/20/2024 | 1.000% | 2.688% | $ | 11,050,000 | Quarterly | (794,292 | ) | (958,888 | ) | 164,596 | |||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
Total Sell Protection |
|
$ | (22,897,527 | ) | $ | 20,671,798 | $ | (43,569,325 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
Total | $ | 12,258,463 | $ | (3,490,505 | ) | $ | 15,748,968 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
(1) | For centrally cleared swaps, when a credit event occurs as defined under the terms of the swap contract, the Fund as a seller of credit protection will either (i) pay a net amount equal to the par value of the defaulted reference entity and deliver the reference entity or (ii) pay a net amount equal to the par value of the defaulted reference entity less its recovery value. |
(2) | For centrally cleared swaps, implied credit spread, represented in absolute terms, utilized in determining the fair value of the credit default swap contracts as of period will serve as an indicator of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/ selling protection and may include upfront payments required to be made to enter into the contract. Generally, wider credit spreads represent a perceived deterioration of the referenced entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap contract. |
(3) | For centrally cleared swaps, the notional amount represents the maximum potential the Fund may receive as a buyer of credit protection if a credit event occurs, as defined under the terms of the swap contract, for each security included in the CDX North America High Yield Index Series 33, CDX North America High Yield Index Series 34, and CDX North America Investment Grade Index Series 33. |
(4) | Notional amounts are denominated in foreign currency where indicated. |
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
Description |
Maturity Date |
Counterparty |
Fixed Deal (Pay) Rate |
Implied Credit Spread at March 31, 2020 |
Notional |
Periodic |
Fair Value | Upfront Premiums Paid / (Received) |
Unrealized Appreciation / (Depreciation) |
|||||||||||||||||
Buy Protection |
| |||||||||||||||||||||||||
Enel SpA 5.250%, 05/20/2024 |
12/20/2023 | Morgan Stanley & Co. | (1.000%) | 0.682% | EUR (1,660,000) | Quarterly | $ | (21,786 | ) | $ | 11,425 | $ | (33,211 | ) | ||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||
Total Buy Protection | $ | (21,786 | ) | $ | 11,425 | $ | (33,211 | ) | ||||||||||||||||||
|
|
|
|
|
|
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF SWAPS at March 31, 2020 (Unaudited)(Continued)
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS (Continued)
Description |
Maturity Date |
Counterparty |
Fixed Deal (Pay) Rate |
Implied Credit Spread at March 31, 2020 |
Notional Amount(1) |
Periodic |
Fair Value | Upfront Premiums Paid / (Received) |
Unrealized Appreciation / (Depreciation) |
|||||||||||||||||||||||||||
Sell Protection |
| |||||||||||||||||||||||||||||||||||
ADLER Real Estate AG 1.500%, 12/06/2021 |
12/20/2024 | JPMorgan Chase Bank N.A. | 5.000% | 4.309% | EUR | 4,300,000 | Quarterly | $ | 133,424 | $ | 802,092 | $ | (668,668 | ) | ||||||||||||||||||||||
Altice Finco S.A. 9.000%, 06/15/2023 |
12/20/2024 | JPMorgan Chase Bank N.A. | 5.000% | 4.836% | 9,100,000 | Quarterly | 64,468 | 889,240 | (824,772 | ) | ||||||||||||||||||||||||||
EDP Finance B.V. 1.875%, 09/29/2023 |
12/20/2024 | JPMorgan Chase Bank N.A. | 1.000% | 0.705% | 10,100,000 | Quarterly | 153,799 | 205,068 | (51,269 | ) | ||||||||||||||||||||||||||
Elis S.A. 1.750%, 04/11/2024 |
12/20/2024 | JPMorgan Chase Bank N.A. | 5.000% | 4.824% | 5,150,000 | Quarterly | 39,703 | 1,118,256 | (1,078,553 | ) | ||||||||||||||||||||||||||
Hapag-Lloyd AG 5.125%, 07/15/2024 |
6/20/2025 | JPMorgan Chase Bank N.A. | 5.000% | 6.264% | 4,600,000 | Quarterly | (262,408 | ) | (304,055 | ) | 41,647 | |||||||||||||||||||||||||
Netflix, Inc. 4.875%, 06/15/2030 |
12/20/2024 | JPMorgan Chase Bank N.A. | 5.000% | 1.451% | $ | 5,450,000 | Quarterly | 863,843 | 992,646 | (128,803 | ) | |||||||||||||||||||||||||
Netflix, Inc. 5.375%, 02/01/2021 |
12/20/2024 | JPMorgan Chase Bank N.A. | 5.000% | 1.451% | 2,250,000 | Quarterly | 356,633 | 366,857 | (10,224 | ) | ||||||||||||||||||||||||||
Teva Pharmaceutical Finance Co. B.V. 3.650%, 11/10/2021 |
12/20/2024 | JPMorgan Chase Bank N.A. | 1.000% | 4.428% | 6,350,000 | Quarterly | (867,940 | ) | (621,250 | ) | (246,690 | ) | ||||||||||||||||||||||||
CDX Emerging Markets Index Series 33 1.000%, 06/20/2025 |
6/20/2025 | Morgan Stanley & Co. | 1.000% | 3.438% | 2,850,000 | Quarterly | (322,235 | ) | (283,575 | ) | (38,660 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
Total Sell Protection |
|
$ | 159,287 | $ | 3,165,279 | $ | (3,005,992 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
Total | $ | 137,501 | $ | 3,176,704 | $ | (3,039,203 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
(1) | Notional amounts are denominated in foreign currency where indicated. |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS
Referenced Obligation |
Maturity Date |
Counterparty |
Fund |
Floating Rate |
Notional Amount |
Periodic |
Fair Value | Upfront Premiums Paid (Received) |
Unrealized Depreciation |
|||||||||||||||||||
iBoxx USD Liquid High Yield Index USD |
6/20/2020 | JPMorgan Chase Bank N.A. | Receives | 3 Month USD LIBOR + 0.000% | $ | 140,000,000 | Quarterly | $ | (9,309,087 | ) | $ | | $ | (9,309,087 | ) | |||||||||||||
Cypress Semiconductor Corp. USD |
2/28/2021 | Morgan Stanley & Co. | Receives | 1 Month USD LIBOR - 0.400% | 5,721,888 | Monthly | | | | |||||||||||||||||||
ForeScout Technologies, Inc. USD |
2/28/2021 | Morgan Stanley & Co. | Pays | 1 Month USD LIBOR - 0.400% | (7,301,460 | ) | Monthly | | | | ||||||||||||||||||
Taubman Centers, Inc. USD |
2/28/2021 | Morgan Stanley & Co. | Pays | 1 Month USD LIBOR - 0.400% | (8,374,995 | ) | Monthly | | | | ||||||||||||||||||
WABCO Holdings, Inc. USD |
2/28/2021 | Morgan Stanley & Co. | Pays | 1 Month USD LIBOR - 0.400% | $ | (28,980,785 | ) | Monthly | | | | |||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
Total |
$ | (9,309,087 | ) | $ | | $ | (9,309,087 | ) | ||||||||||||||||||||
|
|
|
|
|
|
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF WRITTEN OPTIONS at March 31, 2020 (Unaudited)
Description |
Counterparty |
Exercise Price |
Expiration Date |
Number of Contracts |
Notional Amount |
Market Value |
Premiums Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||
COMMON STOCKS |
| |||||||||||||||||||||||||||||
Call |
| |||||||||||||||||||||||||||||
Allstate Corp. (The) |
Morgan Stanley & Co. | $ | 125.00 | 4/17/2020 | (1) | $ | (9,173 | ) | $ | (57 | ) | $ | (147 | ) | $ | 90 | ||||||||||||||
Amgen, Inc. |
Morgan Stanley & Co. | 230.00 | 4/17/2020 | (1) | (20,273 | ) | (34 | ) | (262 | ) | 228 | |||||||||||||||||||
Applied Materials, Inc. |
Morgan Stanley & Co. | 70.00 | 4/17/2020 | (3) | (13,746 | ) | (3 | ) | (251 | ) | 248 | |||||||||||||||||||
AT&T, Inc. |
Morgan Stanley & Co. | 39.00 | 4/17/2020 | (9) | (26,235 | ) | (18 | ) | (582 | ) | 564 | |||||||||||||||||||
Bristol-myers Squibb Co. |
Morgan Stanley & Co. | 67.50 | 4/17/2020 | (8) | (44,592 | ) | (8 | ) | (709 | ) | 701 | |||||||||||||||||||
Broadcom, Inc. |
Morgan Stanley & Co. | 330.00 | 4/17/2020 | (1) | (23,710 | ) | (2 | ) | (271 | ) | 269 | |||||||||||||||||||
Citigroup, Inc. |
Morgan Stanley & Co. | 80.00 | 4/17/2020 | (3) | (12,636 | ) | (18 | ) | (203 | ) | 185 | |||||||||||||||||||
Comcast Corp. |
Morgan Stanley & Co. | 47.50 | 4/17/2020 | (8) | (27,504 | ) | (8 | ) | (358 | ) | 350 | |||||||||||||||||||
Eaton Corp. Plc |
Morgan Stanley & Co. | 110.00 | 4/17/2020 | (3) | (23,307 | ) | (30 | ) | (185 | ) | 155 | |||||||||||||||||||
Fidelity National Information |
Morgan Stanley & Co. | 160.00 | 4/17/2020 | (1) | (12,164 | ) | (100 | ) | (190 | ) | 90 | |||||||||||||||||||
Garmin Ltd. |
Morgan Stanley & Co. | 105.00 | 4/17/2020 | (3) | (22,488 | ) | (15 | ) | (122 | ) | 107 | |||||||||||||||||||
Home Depot, Inc. (The) |
Morgan Stanley & Co. | 260.00 | 4/17/2020 | (1) | (18,671 | ) | (12 | ) | (188 | ) | 176 | |||||||||||||||||||
Intel Corp. |
Morgan Stanley & Co. | 67.50 | 4/17/2020 | (5) | (27,060 | ) | (20 | ) | (413 | ) | 393 | |||||||||||||||||||
Interpublic Group of Cos. Inc. (The) |
Morgan Stanley & Co. | 25.00 | 4/17/2020 | (2) | (3,238 | ) | (20 | ) | (59 | ) | 39 | |||||||||||||||||||
Iron Mountain, Inc. |
Morgan Stanley & Co. | 35.00 | 4/17/2020 | (7) | (16,660 | ) | (17 | ) | (208 | ) | 191 | |||||||||||||||||||
Johnson & Johnson |
Morgan Stanley & Co. | 150.00 | 4/17/2020 | (1) | (13,113 | ) | (41 | ) | (287 | ) | 246 | |||||||||||||||||||
Johnson Controls International |
Morgan Stanley & Co. | 44.00 | 4/17/2020 | (6) | (16,176 | ) | (72 | ) | (208 | ) | 136 | |||||||||||||||||||
Mcdonalds Corp. |
Morgan Stanley & Co. | 220.00 | 4/17/2020 | (1) | (16,535 | ) | (3 | ) | (248 | ) | 245 | |||||||||||||||||||
Metlife, Inc. |
Morgan Stanley & Co. | 52.50 | 4/17/2020 | (8) | (24,456 | ) | (40 | ) | (390 | ) | 350 | |||||||||||||||||||
Microsoft Corp. |
Morgan Stanley & Co. | 190.00 | 4/17/2020 | (1) | (15,771 | ) | (17 | ) | (192 | ) | 175 | |||||||||||||||||||
NVIDIA Corp. |
Morgan Stanley & Co. | 330.00 | 4/17/2020 | (1) | (26,360 | ) | (23 | ) | (329 | ) | 306 | |||||||||||||||||||
Omnicom Group, Inc. |
Morgan Stanley & Co. | 80.00 | 4/17/2020 | (4) | (21,960 | ) | (60 | ) | (315 | ) | 255 | |||||||||||||||||||
Oracle Corp. |
Morgan Stanley & Co. | 57.50 | 4/17/2020 | (6) | (28,998 | ) | (66 | ) | (294 | ) | 228 | |||||||||||||||||||
Qualcomm, Inc. |
Morgan Stanley & Co. | 95.00 | 4/17/2020 | (4) | (27,060 | ) | (16 | ) | (327 | ) | 311 | |||||||||||||||||||
T Rowe Price Group, Inc. |
Morgan Stanley & Co. | 140.00 | 4/17/2020 | (1) | (9,765 | ) | (38 | ) | (158 | ) | 120 | |||||||||||||||||||
Target Corp. |
Morgan Stanley & Co. | 125.00 | 4/17/2020 | (3) | (27,891 | ) | (3 | ) | (494 | ) | 491 | |||||||||||||||||||
Texas Instruments, Inc. |
Morgan Stanley & Co. | 135.00 | 4/17/2020 | (1) | (9,993 | ) | (1 | ) | (97 | ) | 96 | |||||||||||||||||||
Verizon Communications, Inc. |
Morgan Stanley & Co. | 60.00 | 4/17/2020 | (3) | (16,119 | ) | (21 | ) | (215 | ) | 194 | |||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Written Options |
$ | (763 | ) | $ | (7,702 | ) | $ | 6,939 | ||||||||||||||||||||||
|
|
|
|
|
|
Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)
Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at March 31, 2020 (Unaudited)(Continued)
(j) |
Interest Only security. Security with a notional or nominal principal amount. | |
(k) |
The rate shown represents yield-to-maturity. | |
(l) |
The rate disclosed is the 7 day net yield as of March 31, 2020. |
CURRENCY ABBREVIATIONS:
BRL |
Brazilian Real | |
EUR |
Euro | |
ILS |
Israeli New Shekel | |
MXN |
Mexican Peso |
UNFUNDED LOAN COMMITMENTS At March 31, 2020, the Fund had unfunded loan commitments which could be extended at the option of the borrowers, pursuant to the following agreements:
Borrower |
Principal Amount |
Current Value |
Unrealized Gain (Loss) |
|||||||||
BCPE Empire Holdings, Inc., 4.787%, 06/11/2026 |
$ | 3,354 | $ | 3,019 | $ | (335 | ) | |||||
Anchor Packaging, Inc., 1.000%, 07/18/2026 |
17,986 | 14,928 | (3,058 | ) | ||||||||
EyeCare Partners LLC, 0.500%, 02/18/2027 |
18,919 | 15,545 | (3,374 | ) | ||||||||
AmeriLife Group LLC, 0.000%, 03/18/2027 |
10,000 | 8,350 | (1,650 | ) | ||||||||
|
|
|
|
|||||||||
TOTAL |
$ | 41,842 | $ | (8,417 | ) | |||||||
|
|
|
|
The cost basis of investments for federal income tax purposes at March 31, 2020 was as follows*:
Cost of investments |
$ | 88,115,058 | ||
|
|
|||
Gross unrealized appreciation |
1,965,444 | |||
Gross unrealized depreciation |
(10,138,523 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (8,173,079 | ) | |
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal years federal income tax information, please refer to the Notes to Financial Statements section in the Funds most recent semi-annual or annual report. |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF PURCHASED OPTIONS at March 31, 2020 (Unaudited)
Description |
Counterparty |
Exercise Price |
Expiration Date |
Number of Contracts |
Notional Amount |
Market Value |
Premiums Paid |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||
INTEREST RATE SWAPTIONS |
| |||||||||||||||||||||||||||||
Call |
| |||||||||||||||||||||||||||||
Two Year Ten Year USD Constant Maturity Swaption |
Bank of America N.A. | 0.40 | 7/29/2022 | 11,000,000 | $ | 11,000,000 | $ | 21,391 | $ | 25,410 | $ | (4,019 | ) | |||||||||||||||||
Two Year Ten Year USD Constant Maturity Swaption |
Goldman Sachs International | 0.40 | 7/29/2022 | 2,000,000 | 2,000,000 | 3,889 | 4,540 | (651 | ) | |||||||||||||||||||||
Two Year Ten Year USD Constant Maturity Swaption |
Goldman Sachs International | 0.61 | 7/29/2022 | 7,000,000 | 7,000,000 | 7,863 | 10,150 | (2,287 | ) | |||||||||||||||||||||
Two Year Ten Year USD Constant Maturity Swaption |
Morgan Stanley & Co. | 0.40 | 7/29/2022 | 9,000,000 | 9,000,000 | 17,501 | 21,600 | (4,099 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Purchased Options |
$ | 50,644 | $ | 61,700 | $ | (11,056 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
Litman Gregory Masters High Income Alternatives Fund
REVERSE REPURCHASE AGREEMENTS at March 31, 2020 (Unaudited)
Principal |
Value | |||||||
$(418,575) | Royal Bank of Canada 2.750%, 3/23/2020, due 04/06/2020 [collateral: par value $100,000, Textron, Inc., 2.284%, due 11/10/2020, value $100,549; par value $100,000, Sabine Pass Liquefaction LLC, 5.625%, due 02/01/2021, value $100,262; par value $100,000, Reynolds American, Inc., 3.250%, due 06/12/2020, value $100,694; par value $70,000, Quest Diagnostics, Inc., 4.700%, due 04/01/2021, value $70,873; par value $70,000, Ingredion, Inc., 4.625%, due 11/01/2020, value $72,127] (proceeds $(419,023)) |
$ | (418,575 | ) | ||||
(64,823) | Royal Bank of Canada 2.750%, 3/26/2020, due 04/06/2020 [collateral: par value $67,000, AXIS Specialty Finance LLC, 5.875%, due 06/01/2020, value $68,660] (proceeds $(64,877)) |
(64,823 | ) | |||||
|
|
|||||||
|
TOTAL REVERSE REPURCHASE AGREEMENTS |
(483,398 | ) | |||||
|
|
|||||||
Average balance outstanding |
$ | (461,790 | ) | |||||
|
|
|||||||
Average interest rate (net) |
| % | ||||||
|
|
|||||||
Maximum balance outstanding |
$ | (483,398 | ) | |||||
|
|
Average balance outstanding was calculated based on dailty face value balances outstanding during the period that the Fund had entered into the reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entered into the reverse repurchase agreements.
Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS AT March 31, 2020 (Unaudited)
At March 31, 2020, the Fund had the following forward foreign currency exchange contracts:
Asset Derivatives |
Liability Derivatives |
|||||||||||||||||||||||||||
Counterparty |
Settlement Date |
Fund Receiving |
U.S. $ Value at March 31, 2020 |
Fund Delivering |
U.S. $ Value at March 31, 2020 |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||||
Bank of America N.A. |
4/30/2020 | USD | $ | 293 | ILS | $ | 283 | $ | 10 | $ | | |||||||||||||||||
6/15/2020 | USD | 67,489 | EUR | 64,838 | 2,651 | | ||||||||||||||||||||||
2/1/2021 | USD | 4,821 | ILS | 4,711 | 110 | | ||||||||||||||||||||||
4/30/2021 | USD | 29,952 | ILS | 28,910 | 1,042 | | ||||||||||||||||||||||
1/31/2022 | USD | 93,833 | ILS | 91,318 | 2,515 | | ||||||||||||||||||||||
Barclays Bank Plc |
4/8/2020 | USD | 44,420 | MXN | 36,635 | 7,785 | | |||||||||||||||||||||
Citibank N.A. |
4/23/2020 | USD | 43,772 | MXN | 36,128 | 7,644 | | |||||||||||||||||||||
4/30/2020 | USD | 3,980 | ILS | 3,849 | 131 | | ||||||||||||||||||||||
7/1/2020 | BRL | 191,746 | USD | 195,065 | | (3,319 | ) | |||||||||||||||||||||
7/1/2020 | USD | 495,761 | BRL | 383,491 | 112,270 | | ||||||||||||||||||||||
4/30/2021 | USD | 406,848 | ILS | 393,183 | 13,665 | | ||||||||||||||||||||||
7/1/2021 | BRL | 37,334 | USD | 38,193 | | (859 | ) | |||||||||||||||||||||
7/1/2021 | BRL | 37,334 | USD | 38,664 | | (1,330 | ) | |||||||||||||||||||||
Goldman Sachs International |
4/8/2020 | MXN | 36,635 | USD | 44,728 | | (8,093 | ) | ||||||||||||||||||||
4/23/2020 | MXN | 36,128 | USD | 44,084 | | (7,956 | ) | |||||||||||||||||||||
4/30/2020 | EUR | 286,738 | USD | 288,248 | | (1,510 | ) | |||||||||||||||||||||
4/30/2020 | ILS | 2,986 | USD | 2,917 | 69 | | ||||||||||||||||||||||
4/30/2020 | ILS | 2,986 | USD | 2,921 | 65 | | ||||||||||||||||||||||
4/30/2020 | USD | 298,168 | EUR | 286,737 | 11,431 | | ||||||||||||||||||||||
4/30/2020 | USD | 926 | ILS | 906 | 20 | | ||||||||||||||||||||||
4/30/2020 | USD | 951 | ILS | 934 | 17 | | ||||||||||||||||||||||
6/15/2020 | USD | 60,290 | EUR | 57,891 | 2,399 | | ||||||||||||||||||||||
7/30/2020 | USD | 1,450 | EUR | 1,411 | 39 | | ||||||||||||||||||||||
2/1/2021 | ILS | 337,129 | USD | 330,597 | 6,532 | | ||||||||||||||||||||||
2/1/2021 | ILS | 337,128 | USD | 331,515 | 5,613 | | ||||||||||||||||||||||
2/1/2021 | ILS | 5,432 | USD | 5,138 | 294 | | ||||||||||||||||||||||
2/1/2021 | ILS | 5,432 | USD | 5,185 | 247 | | ||||||||||||||||||||||
2/1/2021 | USD | 593,208 | ILS | 573,836 | 19,372 | | ||||||||||||||||||||||
2/1/2021 | USD | 102,448 | ILS | 100,421 | 2,027 | | ||||||||||||||||||||||
2/1/2021 | USD | 6,281 | ILS | 6,140 | 141 | | ||||||||||||||||||||||
4/30/2021 | ILS | 305,006 | USD | 298,557 | 6,449 | | ||||||||||||||||||||||
4/30/2021 | ILS | 305,006 | USD | 298,892 | 6,114 | | ||||||||||||||||||||||
4/30/2021 | USD | 94,794 | ILS | 92,514 | 2,280 | | ||||||||||||||||||||||
4/30/2021 | USD | 97,471 | ILS | 95,405 | 2,066 | | ||||||||||||||||||||||
7/30/2021 | USD | 198,957 | EUR | 191,473 | 7,484 | | ||||||||||||||||||||||
1/31/2022 | ILS | 105,016 | USD | 98,692 | 6,324 | | ||||||||||||||||||||||
1/31/2022 | ILS | 105,016 | USD | 99,610 | 5,406 | | ||||||||||||||||||||||
1/31/2022 | USD | 121,979 | ILS | 118,713 | 3,266 | | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. |
6/15/2020 | EUR | 122,730 | USD | 125,048 | | (2,318 | ) | ||||||||||||||||||||
7/30/2020 | EUR | 2,904 | USD | 2,918 | | (14 | ) | |||||||||||||||||||||
7/30/2020 | USD | 1,526 | EUR | 1,494 | 32 | | ||||||||||||||||||||||
7/1/2021 | USD | 95,024 | BRL | 74,669 | 20,355 | | ||||||||||||||||||||||
7/30/2021 | EUR | 394,210 | USD | 399,948 | | (5,738 | ) | |||||||||||||||||||||
7/30/2021 | USD | 209,308 | EUR | 202,736 | 6,572 | | ||||||||||||||||||||||
Morgan Stanley & Co. |
4/1/2020 | BRL | 34,703 | USD | 34,888 | | (185 | ) | ||||||||||||||||||||
4/1/2020 | BRL | 42,415 | USD | 42,641 | | (226 | ) | |||||||||||||||||||||
4/1/2020 | BRL | 23,135 | USD | 25,343 | | (2,208 | ) | |||||||||||||||||||||
4/1/2020 | BRL | 21,593 | USD | 24,016 | | (2,423 | ) | |||||||||||||||||||||
4/1/2020 | BRL | 32,389 | USD | 36,081 | | (3,692 | ) | |||||||||||||||||||||
4/1/2020 | USD | 53,986 | BRL | 42,415 | 11,571 | | ||||||||||||||||||||||
4/1/2020 | USD | 44,069 | BRL | 34,703 | 9,366 | | ||||||||||||||||||||||
4/1/2020 | USD | 32,562 | BRL | 32,389 | 173 | | ||||||||||||||||||||||
4/1/2020 | USD | 23,258 | BRL | 23,135 | 123 | | ||||||||||||||||||||||
4/1/2020 | USD | 21,708 | BRL | 21,593 | 115 | | ||||||||||||||||||||||
7/1/2020 | BRL | 191,745 | USD | 199,489 | | (7,744 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
$ | 6,252,409 | $ | 6,016,239 | $ | 283,785 | $ | (47,615 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF FINANCIAL FUTURES CONTRACTS at March 31, 2020 (Unaudited)
Description |
Number of Contracts |
Notional Amount |
Notional Value |
Expiration Date |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||
Futures ContractsLong |
| |||||||||||||||||||
Ultra 10YR U.S. Treasury Notes |
1 | $ | 100,000 | $ | 156,031 | 6/19/2020 | $ | 8,591 | ||||||||||||
|
|
|||||||||||||||||||
Total Long |
$ | 8,591 | ||||||||||||||||||
|
|
|||||||||||||||||||
Futures ContractsShort |
| |||||||||||||||||||
5YR U.S. Treasury Notes |
(10 | ) | $ | (1,000,000 | ) | $ | (1,253,594 | ) | 6/30/2020 | $ | (1,017 | ) | ||||||||
|
|
|||||||||||||||||||
10YR U.S. Treasury Notes |
(8 | ) | (800,000 | ) | (1,109,500 | ) | 6/19/2020 | (20,864 | ) | |||||||||||
|
|
|||||||||||||||||||
Total Short |
$ | (21,881 | ) | |||||||||||||||||
|
|
|||||||||||||||||||
Total Futures Contracts |
$ | (13,290 | ) | |||||||||||||||||
|
|
SCHEDULE OF SWAPS at March 31, 2020 (Unaudited)
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
Rates Exchanged | ||||||||||||||||||||||||||||
Notional |
Maturity Date |
Payment Received |
Payment Made |
Periodic Payment Frequency |
Fair Value | Upfront Payment Made (Received) |
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||
$2,600,000 |
11/06/2021 | 3 Month LIBOR | 3.144 | % | Quarterly | $ | (109,243 | ) | $ | 965 | $ | (110,208 | ) | |||||||||||||||
$350,000 |
11/07/2023 | 3 Month LIBOR | 3.180 | Quarterly | (34,155 | ) | 80 | (34,235 | ) | |||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
$ | (143,398 | ) | $ | 1,045 | $ | (144,443 | ) | |||||||||||||||||||||
|
|
|
|
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)
Description |
Maturity Date |
Fixed Deal (Pay) Rate |
Implied Credit Spread at March 31, 2020 |
Notional Amount |
Periodic Payment Frequency |
Fair Value | Upfront Premiums Paid / (Received) |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||
Sell Protection |
| |||||||||||||||||||||||||||||||
CDX North American High Yield Index Series 33 |
12/20/2024 | 5.000 | % | 6.279 | % | $ | 2,165,800 | Quarterly | $ | (137,242 | ) | $ | (135,755 | ) | $ | (1,487 | ) | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total Sell Protection |
|
$ | (137,242 | ) | $ | (135,755 | ) | $ | (1,487 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
(1) | For centrally cleared swaps, when a credit event occurs as defined under the terms of the swap contract, the Fund as a seller of credit protection will either (i) pay a net amount equal to the par value of the defaulted reference entity and deliver the reference entity or (ii) pay a net amount equal to the par value of the defaulted reference entity less its recovery value. |
(2) | For centrally cleared swaps, implied credit spread, represented in absolute terms, utilized in determining the fair value of the credit default swap contracts as of period will serve as an indicator of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/ selling protection and may include upfront payments required to be made to enter into the contract. Generally, wider credit spreads represent a perceived deterioration of the referenced entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap contract. |
(3) | For centrally cleared swaps, the notional amount represents the maximum potential the Fund may receive as a buyer of credit protection if a credit event occurs, as defined under the terms of the swap contract, for each security included in the CDX North America High Yield Index Series 33. |
Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF WRITTEN OPTIONS at March 31, 2020 (Unaudited)
Description |
Counterparty |
Exercise Price |
Expiration Date |
Number of Contracts |
Notional Amount |
Market Value |
Premiums Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||
INDEX OPTIONS |
| |||||||||||||||||||||||||||||
Put |
| |||||||||||||||||||||||||||||
Russell 2000 Index |
UBS Securities LLC | $ | 980.00 | 4/3/2020 | (1 | ) | $ | (115,310 | ) | $ | (345 | ) | $ | (7,426 | ) | $ | 7,081 | |||||||||||||
Russell 2000 Index |
UBS Securities LLC | 1,030.00 | 4/3/2020 | (1 | ) | (115,310 | ) | (619 | ) | (5,550 | ) | 4,931 | ||||||||||||||||||
Russell 2000 Index |
UBS Securities LLC | 1,060.00 | 4/3/2020 | (2 | ) | (230,620 | ) | (1,440 | ) | (14,979 | ) | 13,539 | ||||||||||||||||||
Russell 2000 Index |
UBS Securities LLC | 1,125.00 | 4/3/2020 | (1 | ) | (115,310 | ) | (3,300 | ) | (6,210 | ) | 2,910 | ||||||||||||||||||
Russell 2000 Index |
UBS Securities LLC | 975.00 | 4/9/2020 | (2 | ) | (230,620 | ) | (1,130 | ) | (10,519 | ) | 9,389 | ||||||||||||||||||
Russell 2000 Index |
UBS Securities LLC | 980.00 | 4/9/2020 | (3 | ) | (345,930 | ) | (1,815 | ) | (25,208 | ) | 23,393 | ||||||||||||||||||
Russell 2000 Index |
UBS Securities LLC | 1,030.00 | 4/9/2020 | (1 | ) | (115,310 | ) | (1,503 | ) | (6,360 | ) | 4,857 | ||||||||||||||||||
Russell 2000 Index |
UBS Securities LLC | 1,060.00 | 4/9/2020 | (2 | ) | (230,620 | ) | (4,530 | ) | (16,099 | ) | 11,569 | ||||||||||||||||||
Russell 2000 Index |
UBS Securities LLC | 1,125.00 | 4/9/2020 | (1 | ) | (115,310 | ) | (4,425 | ) | (6,760 | ) | 2,335 | ||||||||||||||||||
Russell 2000 Index |
UBS Securities LLC | 980.00 | 4/17/2020 | (3 | ) | (345,930 | ) | (4,230 | ) | (26,758 | ) | 22,528 | ||||||||||||||||||
Russell 2000 Index |
UBS Securities LLC | 1,005.00 | 4/17/2020 | (1 | ) | (115,310 | ) | (1,746 | ) | (7,709 | ) | 5,963 | ||||||||||||||||||
Russell 2000 Index |
UBS Securities LLC | 1,030.00 | 4/17/2020 | (1 | ) | (115,310 | ) | (2,275 | ) | (5,990 | ) | 3,715 | ||||||||||||||||||
Russell 2000 Index |
UBS Securities LLC | 1,060.00 | 4/17/2020 | (2 | ) | (230,620 | ) | (6,708 | ) | (17,519 | ) | 10,811 | ||||||||||||||||||
Russell 2000 Index |
UBS Securities LLC | 975.00 | 4/24/2020 | (1 | ) | (115,310 | ) | (2,260 | ) | (6,470 | ) | 4,210 | ||||||||||||||||||
Russell 2000 Index |
UBS Securities LLC | 1,135.00 | 5/1/2020 | (2 | ) | (230,620 | ) | (12,220 | ) | (12,189 | ) | (31 | ) | |||||||||||||||||
S&P 500 Index |
UBS Securities LLC | 2,280.00 | 4/3/2020 | (1 | ) | (258,459 | ) | (550 | ) | (15,872 | ) | 15,322 | ||||||||||||||||||
S&P 500 Index |
UBS Securities LLC | 2,330.00 | 4/3/2020 | (1 | ) | (258,459 | ) | (462 | ) | (10,471 | ) | 10,009 | ||||||||||||||||||
S&P 500 Index |
UBS Securities LLC | 2,355.00 | 4/3/2020 | (1 | ) | (258,459 | ) | (980 | ) | (13,269 | ) | 12,289 | ||||||||||||||||||
S&P 500 Index |
UBS Securities LLC | 2,400.00 | 4/3/2020 | (6 | ) | (1,550,754 | ) | (7,920 | ) | (77,574 | ) | 69,654 | ||||||||||||||||||
S&P 500 Index |
UBS Securities LLC | 2,430.00 | 4/3/2020 | (1 | ) | (258,459 | ) | (1,684 | ) | (15,719 | ) | 14,035 | ||||||||||||||||||
S&P 500 Index |
UBS Securities LLC | 2,180.00 | 4/9/2020 | (7 | ) | (1,809,213 | ) | (6,160 | ) | (90,972 | ) | 84,812 | ||||||||||||||||||
S&P 500 Index |
UBS Securities LLC | 2,280.00 | 4/9/2020 | (5 | ) | (1,292,295 | ) | (10,940 | ) | (88,031 | ) | 77,091 | ||||||||||||||||||
S&P 500 Index |
UBS Securities LLC | 2,330.00 | 4/9/2020 | (1 | ) | (258,459 | ) | (2,670 | ) | (11,661 | ) | 8,991 | ||||||||||||||||||
S&P 500 Index |
UBS Securities LLC | 2,355.00 | 4/9/2020 | (2 | ) | (516,918 | ) | (6,060 | ) | (29,679 | ) | 23,619 | ||||||||||||||||||
S&P 500 Index |
UBS Securities LLC | 2,400.00 | 4/9/2020 | (2 | ) | (516,918 | ) | (7,700 | ) | (29,336 | ) | 21,636 | ||||||||||||||||||
S&P 500 Index |
UBS Securities LLC | 2,505.00 | 4/9/2020 | (2 | ) | (516,918 | ) | (12,470 | ) | (32,259 | ) | 19,789 | ||||||||||||||||||
S&P 500 Index |
UBS Securities LLC | 2,180.00 | 4/17/2020 | (6 | ) | (1,550,754 | ) | (10,422 | ) | (72,092 | ) | 61,670 | ||||||||||||||||||
S&P 500 Index |
UBS Securities LLC | 2,400.00 | 4/17/2020 | (1 | ) | (258,459 | ) | (5,380 | ) | (16,341 | ) | 10,961 | ||||||||||||||||||
S&P 500 Index |
UBS Securities LLC | 2,430.00 | 4/17/2020 | (2 | ) | (516,918 | ) | (11,900 | ) | (37,285 | ) | 25,385 | ||||||||||||||||||
S&P 500 Index |
UBS Securities LLC | 2,490.00 | 4/17/2020 | (6 | ) | (1,550,754 | ) | (34,962 | ) | (91,260 | ) | 56,298 | ||||||||||||||||||
S&P 500 Index |
UBS Securities LLC |
2,280.00 | 4/24/2020 | (3 | ) | (775,377 | ) | (14,370 | ) | (64,624 | ) | 50,254 | ||||||||||||||||||
S&P 500 Index |
UBS Securities LLC |
2,355.00 | 4/24/2020 | (2 | ) | (516,918 | ) | (10,772 | ) | (36,869 | ) | 26,097 | ||||||||||||||||||
S&P 500 Index |
UBS Securities LLC |
2,400.00 | 4/24/2020 | (3 | ) | (775,377 | ) | (21,171 | ) | (54,356 | ) | 33,185 | ||||||||||||||||||
S&P 500 Index |
UBS Securities LLC |
2,430.00 | 4/24/2020 | (1 | ) | (258,459 | ) | (7,975 | ) | (20,355 | ) | 12,380 | ||||||||||||||||||
S&P 500 Index |
UBS Securities LLC |
2,495.00 | 4/24/2020 | (1 | ) | (258,459 | ) | (7,940 | ) | (13,759 | ) | 5,819 | ||||||||||||||||||
S&P 500 Index |
UBS Securities LLC |
2,495.00 | 5/1/2020 | (2 | ) | (516,918 | ) | (21,460 | ) | (29,622 | ) | 8,162 | ||||||||||||||||||
S&P 500 Index |
UBS Securities LLC |
2,530.00 | 5/1/2020 | (1 | ) | (258,459 | ) | (12,345 | ) | (13,329 | ) | 984 | ||||||||||||||||||
S&P 500 Index |
UBS Securities LLC |
2,575.00 | 5/1/2020 | (3 | ) | (775,377 | ) | (43,383 | ) | (34,564 | ) | (8,819 | ) | |||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Written Options |
$ | (308,222 | ) | $ | (1,075,045 | ) | $ | 766,823 | ||||||||||||||||||||||
|
|
|
|
|
|
Litman Gregory Funds Trust
SCHEDULE OF INVESTMENTS (Continued)
March 31, 2020 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS
The following is a summary of the significant accounting policies followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (GAAP).
Security Valuation. Investments in securities and derivatives traded on a national securities exchange are valued at the last reported sales price at the close of regular trading on each day that the exchanges are open for trading. Securities listed on the NASDAQ Global Market, the NASDAQ Global Select Market and the NASDAQ Capital Market are valued using the NASDAQ Official Closing Price. Securities traded on an exchange for which there have been no sales are valued at the mean between the closing bid and asked prices. Debt securities maturing within 60 days or less are valued at amortized cost unless the Valuation Committee determines that amortized cost does not represent fair value. Securities for which market prices are not readily available or if a securitys value has materially changed after the close of the securitys primary market but before the close of trading on the New York Stock Exchange (NYSE), the securities are valued at fair value as determined in good faith by the Managers that selected the security for the Funds portfolio and the Trusts Valuation Committee in accordance with procedures approved by the Board of Trustees (the Board). In determining fair value, the Funds take into account all relevant factors and available information. Consequently, the price of the security used by a Fund to calculate its net asset value may differ from quoted or published prices for the same security. Fair value pricing involves subjective judgments and there is no single standard for determining the fair value of a security. As a result, different mutual funds could reasonably arrive at a different value for the same security. For securities that do not trade during NYSE hours, fair value determinations are based on analyses of market movements after the close of those securities primary markets, and include reviews of developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. Pricing services are used to obtain closing market prices and to compute certain fair value adjustments utilizing computerized pricing models. It is possible that the fair value determined for a security is materially different from the value that could be realized upon the sale of that security or from the values that other mutual funds may determine.
Investments in other funds are valued at their respective net asset values as determined by those funds in accordance with the 1940 Act.
Debt securities generally trade in the over-the-counter market rather than on a securities exchange. The Funds pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services also utilize proprietary valuation models which may consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair value. Securities denominated in a foreign currency are converted into their U.S. dollar equivalent at the foreign exchange rate in effect at the close of the NYSE on the date that the values of the foreign debt securities are determined. Repurchase agreements are valued at cost, which approximates fair value.
Certain derivatives trade in the over-the-counter market. The Funds pricing services use various techniques including industry standard option pricing models and proprietary discounted cash flow models to determine the fair value of those instruments. The Funds net benefit or obligation under the derivative contract, as measured by the fair value of the contract, is included in net assets.
The Funds have procedures to determine the fair value of securities and other financial instruments for which market prices are not readily available or which may not be reliably priced. Under these procedures, the Funds primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The Funds may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed.
Senior Term Loans. The Alternative Strategies Fund and the High Income Alternatives Fund may invest in bank debt, which includes interests in loans to companies or their affiliates undertaken to finance a capital restructuring or in connection with recapitalizations, acquisitions, leveraged buyouts, refinancings or other financially leveraged transactions and may include loans which are designed to provide temporary or bridge financing to a borrower pending the sale of identified assets, the arrangement of longer-term loans or the issuance and sale of debt obligations. These loans, which may bear fixed or floating rates, have generally been arranged through private negotiations between a corporate borrower and one or more financial institutions (Lenders), including banks. The Alternative Strategies Funds and the High Income Alternatives Funds investments may be in the form of participations in loans (Participations) or of assignments of all or a portion of loans from third parties (Assignments).
Unfunded Loan Commitments. The Alternative Strategies Fund and the High Income Alternatives Fund may enter into certain credit agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrowers discretion. These commitments, if any, are disclosed in the Schedule of Investments.
Short Sales. Each Fund may sell a security it does not own in anticipation of a decline in the fair value of that security. When each Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. In addition, cash and certain investments in securities may be used to collateralize the securities sold short. Each day the securities sold short transaction is open, the liability to replace the borrowed security is marked to market and an unrealized gain or loss is recorded. While the transaction remains open, the Fund may also incur expenses for any dividends or interest which will be paid to the lender of the securities as well as a fee to borrow the delivered security. During the term of the short sale, the value of the securities pledged as collateral on short sales is required to exceed the value of the securities sold short. A gain, limited to the price at which each Fund sold the security short, or a loss, unlimited in size, will be recognized upon the termination of a short sale. Each Fund is also subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price.
Repurchase Agreements. Each Fund may enter into repurchase agreements through which the Fund acquires a security (the underlying security) from a seller, a well-established securities dealer or a bank that is a member of the Federal Reserve System. The bank or securities dealer agrees to repurchase the underlying security at the same price, plus a specified amount of interest, at a later date, generally for a period of less than one week. It is the Trusts policy that its Custodian takes possession of securities as collateral under repurchase agreements and to determine on a daily basis that the value of such securities, including recorded interest, is sufficient to cover the value of the repurchase agreements. The Trusts policy states that the value of the collateral is at least 102% of the value of the repurchase agreement. If the counterparty defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the counterparty of the security, realization of the collateral by a Fund may be delayed or limited. At March 31, 2020, the Funds ongoing exposure to the economic return on repurchase agreements is shown on the Schedules of Investments.
Reverse repurchase agreements. The High Income Alternatives Fund may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. The Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Funds portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. Reverse repurchase agreements outstanding at the end of the period, if any, are shown on the Schedules of Investments.
Foreign Currency Translation. The Funds records are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the reporting period. The currencies are translated into U.S. dollars by using the exchange rates quoted at the close of the London Stock Exchange prior to when each Funds net asset value is next determined. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.
The Funds do not isolate that portion of their net realized and unrealized gains and losses on investments resulting from changes in foreign exchange rates from the impact arising from changes in market prices. Such fluctuations are included with net realized and unrealized gain or loss from investments.
Net realized foreign currency transaction gains and losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the differences between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency transactions gains and losses arise from changes in the value of assets and liabilities, other than investments in securities, resulting from changes in the exchange rates.
Forward Foreign Currency Exchange Contracts. The Funds may utilize forward foreign currency exchange contracts (forward contracts) under which they are obligated to exchange currencies on specified future dates at specified rates, and are subject to foreign exchange rates fluctuations. All contracts are marked-to-market daily and any resulting unrealized gains or losses are recorded as unrealized appreciation or depreciation on foreign currency transactions. The Funds record realized gains or losses at the time the forward contract is settled. These gains and losses are reflected on the Statements of Operations as realized gain (loss) on foreign currency transactions. Counterparties to these forward contracts are major U.S. financial institutions.
Futures Contracts. The Alternative Strategies Fund and the High Income Alternatives Fund invest in financial futures contracts primarily for the purpose of hedging their existing portfolio securities, or securities that the Funds intend to purchase, against fluctuations in fair value caused by changes in prevailing market interest rates. Upon entering into a financial futures contract, a Fund is required to pledge to the broker an amount of cash, U.S. government securities, or other assets, equal to a certain percentage of the contract amount (initial margin deposit). Subsequent payments, known as variation margin, are made or received by a Fund each day, depending on the daily fluctuations in the fair value of the underlying security. Each Fund recognizes a gain or loss equal to the daily variation margin. If market conditions move unexpectedly, a Fund may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates, and the underlying hedged assets.
Interest Rate Swaps. During the period ended March 31, 2020, the Alternative Strategies Fund and the High Income Alternatives Fund may entered into interest rate swaps. An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other. Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (DCM), acting in an agency capacity, and submitted to a central counterparty (CCP) (centrally cleared swaps), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, and upfront payments, if any, are recorded as a receivable or payable for variation margin.
Credit Default Swaps. During the period ended March 31, 2020, the Alternative Strategies Fund and the High Income Alternatives Fund entered into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate issuers or indexes or to create exposure to corporate issuers or indexes to which they are not otherwise exposed. In a credit default swap, the protection buyer makes a stream of payments based on a fixed percentage applied to the contract notional amount to the protection seller in exchange for the right to receive a specified return upon the occurrence of a defined credit event on the reference obligation which may be either a single security or a basket of securities issued by corporate or sovereign issuers. Although contract-specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. Upon the occurrence of a defined credit event, the difference between the value of the reference obligation and the swaps notional amount is recorded as realized gain (for protection written) or loss (for protection sold) in the Statements of Operations. In the case of credit default swaps where a Fund is selling protection, the notional amount approximates the maximum loss. For centrally cleared swaps the daily change in valuation, and upfront payments, if any, are recorded as a receivable or payable for variation margin.
Total Return Swaps. During the period ended March 31, 2020, the Alternative Strategies Fund and the High Income Alternatives Fund may entered into total return swaps. Total return swap is the generic name for any non-traditional swap where one party agrees to pay the other the total return of a defined underlying asset, usually in return for receiving a stream of London Interbank Offered Rate (LIBOR) based cash flows. A total return swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. Total return swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the Statement of Assets and Liabilities. The other leg of the swap, usually LIBOR, is a spread to reflect the non-Statement of Assets and Liabilities nature of the product. No notional amounts are exchanged with total return swaps. The total return receiver assumes the entire economic exposure - that is, both market and credit exposure - to the reference asset. The total return payer - often the owner of the reference obligation - gives up economic exposure to the performance of the reference asset and in return takes on counterparty credit exposure to the total return receiver in the event of a default or fall in value of the reference asset.
Purchasing Put and Call Options. Each Fund may purchase covered put and call options with respect to securities which are otherwise eligible for purchase by a Fund and with respect to various stock indices subject to certain restrictions. Each Fund will engage in trading of such derivative securities primarily for hedging purposes.
If a Fund purchases a put option, a Fund acquires the right to sell the underlying security at a specified price at any time during the term of the option (for American-style options) or on the option expiration date (for European-style options). Purchasing put options may be used as a portfolio investment strategy when a portfolio manager perceives significant short-term risk but substantial long-term appreciation for the underlying security. The put option acts as an insurance policy, as it protects against significant downward price movement while it allows full participation in any upward movement. If a Fund is holding a stock which it feels has strong fundamentals, but for some reason may be weak in the near term, a Fund may purchase a put option on such security, thereby giving itself the right to sell such security at a certain strike price throughout the term of the option. Consequently, a Fund will exercise the put only if the price of such security falls below the strike price of the put. The difference between the puts strike price and the market price of the underlying security on the date a Fund exercises the put, less transaction costs, will be the amount by which a Fund will be able to hedge against a decline in the underlying security. If during the period of the option the market price for the underlying security remains at or above the puts strike price, the put will expire worthless, representing a loss of the price a Fund paid for the put, plus transaction costs. If the price of the underlying security increases, the profit a Fund realizes on the sale of the security will be reduced by the premium paid for the put option less any amount for which the put may be sold.
If a Fund purchases a call option, it acquires the right to purchase the underlying security at a specified price at any time during the term of the option. The purchase of a call option is a type of insurance policy to hedge against losses that could occur if a Fund has a short position in the underlying security and the security thereafter increases in price. Each Fund will exercise a call option only if the price of the underlying security is above the strike price at the time of exercise. If during the option period the market price for the underlying security remains at or below the strike price of the call option, the option will expire worthless, representing a loss of the price paid for the option, plus transaction costs. If the call option has been purchased to hedge a short position of a Fund in the underlying security and the price of the underlying security thereafter falls, the profit a Fund realizes on the cover of the short position in the security will be reduced by the premium paid for the call option less any amount for which such option may be sold.
Prior to exercise or expiration, an option may be sold when it has remaining value by a purchaser through a closing sale transaction, which is accomplished by selling an option of the same series as the option previously purchased. Each Fund generally will purchase only those options for which a Manager believes there is an active secondary market to facilitate closing transactions.
Writing Call Options. Each Fund may write covered call options. A call option is covered if a Fund owns the security underlying the call or has an absolute right to acquire the security without additional cash consideration (or, if additional cash consideration is required, cash or cash equivalents in such amount as are held in a segregated account by the Custodian). The writer of a call option receives a premium and gives the purchaser the right to buy the security underlying the option at the exercise price. The writer has the obligation upon exercise of the option to deliver the underlying security against payment of the exercise price during the option period. If the writer of an exchange-traded option wishes to terminate his obligation, he may effect a closing purchase transaction. This is accomplished by buying an option of the same series as the option previously written. A writer may not effect a closing purchase transaction after it has been notified of the exercise of an option.
Effecting a closing transaction in the case of a written call option will permit a Fund to write another call option on the underlying security with either a different exercise price, expiration date or both. Also, effecting a closing transaction will permit the cash or proceeds from the concurrent sale of any securities subject to the option to be used for other investments of a Fund. If a Fund desires to sell a particular security from its portfolio on which it has written a call option, it will effect a closing transaction prior to or concurrent with the sale of the security.
Each Fund will realize a gain from a closing transaction if the cost of the closing transaction is less than the premium received from writing the option or if the proceeds from the closing transaction are more than the premium paid to purchase the option. Each Fund will realize a loss from a closing transaction if the cost of the closing transaction is more than the premium received from writing the option or if the proceeds from the closing transaction are less than the premium paid to purchase the option. However, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss to a Fund resulting from the repurchase of a call option is likely to be offset in whole or in part by appreciation of the underlying security owned by a Fund.
Writing Put Options. Each Fund may write put options. By writing put options, the Fund takes on the risk of declines in the value of the underlying instrument, including the possibility of a loss up to the entire strike price of each option it sells, but without the corresponding opportunity to benefit from potential increases in the value of the underlying instrument. When the Fund writes a put option, it assumes the risk that it must purchase the underlying instrument at a strike price that may be higher than the market price of the instrument. If there is a broad market decline and the Fund is able to close out its written put options, it may result in substantial losses to the Fund.
Risks of Investing in Options. There are several risks associated with transactions in options on securities. Options may be more volatile than the underlying instruments and, therefore, on a percentage basis, an investment in options may be subject to greater fluctuation than an investment in the underlying instruments themselves. There are also significant differences between the securities and options markets that could result in an imperfect correlation between these markets, causing a given transaction not to achieve its objective. In addition, a liquid secondary market for particular options may be absent for reasons which include the following: there may be insufficient trading interest in certain options; restrictions may be imposed by an exchange on opening transactions or closing transactions or both; trading halts, suspensions or other restrictions may be imposed with respect to particular classes or series of option of underlying securities; unusual or unforeseen circumstances may interrupt normal operations on an exchange; the facilities of an exchange or clearing corporation may not at all times be adequate to handle current trading volume; or one or more exchanges could, for economic or other reasons, decide or be compelled at some future date to discontinue the trading of options (or a particular class or series of options), in which event the secondary market on that exchange (or in that class or series of options) would cease to exist, although outstanding options that had been issued by a clearing corporation as a result of trades on that exchange would continue to be exercisable in accordance with their terms.
A decision as to whether, when and how to use options involves the exercise of skill and judgment, and even a well-conceived transaction may be unsuccessful to some degree because of market behavior or unexpected events. The extent to which a Fund may enter into options transactions may be limited by the requirements of the Internal Revenue Code of 1986, as amended (the Code), with respect to qualification of a Fund as a regulated investment company.
Restricted Securities. A restricted security cannot be resold to the general public without prior registration under the Securities Act of 1933. If the security is subsequently registered and resold, the issuers would typically bear the expense of all registrations at no cost to the Fund. Restricted securities are valued according to the guidelines and procedures adopted by the Funds Board of Trustees. As of March 31, 2020, there were no restricted securities held in the Funds.
Illiquid Securities. Each Fund may not invest more than 15% of the value of its net assets in illiquid securities, including restricted securities that are not deemed to be liquid by the Sub-Advisors. The Advisor and the Sub-Advisors will monitor the amount of illiquid securities in a Funds portfolio, under the supervision of the Board, to ensure compliance with a Funds investment restrictions. In accordance with procedures approved by the Board, these securities may be valued using techniques other than market quotations, and the values established for these securities may be different than what would be produced through the use of another methodology or if they had been priced using market quotations. Illiquid securities and other portfolio securities that are valued using techniques other than market quotations, including fair valued securities, may be subject to greater fluctuation in their value from one day to the next than would be the case if market quotations were used. In addition, there is no assurance that a Fund could sell a portfolio security for the value established for it at any time, and it is possible that a Fund would incur a loss because a portfolio security is sold at a discount to its established value.
Fair Value of Financial Investments
The Funds follow a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Funds own market assumptions (unobservable inputs). These inputs are used in determining the value of each Funds investments and are summarized in the following fair value hierarchy:
Level 1 Quoted prices in active markets for identical securities.
Level 2 Other significant observable inputs (including quoted prices for similar securities, interest rates, foreign exchange rates, and fair value estimates for foreign securities indices).
Level 3 Significant unobservable inputs (including the Funds own assumptions in determining fair value of investments).
Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, U.S. Treasury inflation protected securities, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued on the basis of quotes obtained from brokers and dealers or independent pricing services or sources. Independent pricing services typically use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. The service providers internal models use inputs that are observable such as, among other things, issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Mortgage and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by pricing service providers that use broker dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, estimated cash flows and market-based yield spreads for each tranche, current market data and incorporates deal collateral performance, as available.
Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all interest payments (interest-only, or IO and/or high coupon rate with relatively low principal amount, or IOette), and the other that receives substantially all principal payments (principal-only, or PO) from a pool of mortgage loans. Little to no principal will be received at the maturity of an IO; as a result, periodic adjustments are recorded to reduce the cost of the security until maturity. These adjustments are included in interest income.
Mortgage and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Shares of the unregistered Underlying Funds are valued at their closing net asset value (NAV) as reported on each business day, as a practical expedient for fair value. Each of the unregistered Underlying Funds is daily valued and offer daily liquidity and hold no unfunded commitments. The shares of the open-end registered Underlying Funds are valued at NAV each business day. If the Underlying Funds designated representative to the Trustee determines, based on its own due diligence and investment monitoring procedures, that the reported NAV per share does not represent fair value, Underlying Funds designated representative to the Trustee shall estimate the fair value of the Underlying Funds in good faith and in a manner that it reasonably chooses.
Financial derivative instruments, such as foreign currency contracts, options contracts, futures, or swap agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or pricing service providers at the settlement price determined by the relevant exchange. Depending on the product and the terms of the transaction, the value of the derivative contracts can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates. Derivatives that use similar valuation techniques and inputs as described above are categorized as Level 1 or Level 2 of the fair value hierarchy.
The following tables provide the fair value measurements of applicable Fund assets and liabilities by level within the fair value hierarchy for each Fund as of March 31, 2020. These assets and liabilities are measured on a recurring basis.
Equity Fund
Description | Level 1 - Quoted prices in active markets for identical assets |
Level 2 - Significant other observable inputs |
Level 3 - Significant unobservable inputs |
Total | ||||||||||||
Equity(a) |
||||||||||||||||
Common Stocks |
$ | 196,292,753 | $ | | $ | | $ | 196,292,753 | ||||||||
Preferred Stocks |
2,503,471 | | | 2,503,471 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Equity |
198,796,224 | | | 198,796,224 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
||||||||||||||||
Repurchase Agreements |
| 2,711,000 | | 2,711,000 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 198,796,224 | $ | 2,711,000 | $ | | $ | 201,507,224 | ||||||||
|
|
|
|
|
|
|
|
(a) | See Funds Schedule of Investments in Securities for sector classifications. |
International Fund
Description | Level 1 - Quoted prices in active markets for identical assets |
Level 2 - Significant other observable inputs |
Level 3 - Significant unobservable inputs |
Total | ||||||||||||
Equity |
||||||||||||||||
Common Stocks |
||||||||||||||||
Australia |
$ | | $ | 4,418,124 | $ | | $ | 4,418,124 | ||||||||
Austria |
| 4,067,359 | | 4,067,359 | ||||||||||||
Belgium |
| 5,807,485 | | 5,807,485 | ||||||||||||
Bermuda |
11,171,885 | 4,269,828 | | 15,441,713 | ||||||||||||
Canada |
3,021,276 | | | 3,021,276 | ||||||||||||
Cayman Islands |
6,106,286 | | | 6,106,286 | ||||||||||||
Denmark |
| 3,083,840 | | 3,083,840 | ||||||||||||
Finland |
| 5,313,199 | | 5,313,199 | ||||||||||||
France |
1,084,519 | 39,067,113 | | 40,151,632 | ||||||||||||
Germany |
| 11,071,817 | | 11,071,817 | ||||||||||||
Ireland |
2,609,108 | | | 2,609,108 | ||||||||||||
Israel |
| 5,748,178 | | 5,748,178 | ||||||||||||
Japan |
| 32,255,969 | | 32,255,969 | ||||||||||||
Mexico |
3,517,387 | | | 3,517,387 | ||||||||||||
Monaco |
3,804,791 | | | 3,804,791 | ||||||||||||
Netherlands |
| 18,227,937 | | 18,227,937 | ||||||||||||
Norway |
| 1,500,661 | | 1,500,661 | ||||||||||||
Russia |
| 4,590,475 | | 4,590,475 | ||||||||||||
South Africa |
| 2,378,557 | | 2,378,557 | ||||||||||||
South Korea |
| 1,881,867 | | 1,881,867 | ||||||||||||
Spain |
| 4,331,205 | 1,611,995 | ** | 5,943,200 | |||||||||||
Sweden |
| 10,631,757 | | 10,631,757 | ||||||||||||
Switzerland |
| 16,691,593 | | 16,691,593 | ||||||||||||
United Kingdom |
| 36,148,882 | | 36,148,882 | ||||||||||||
United States |
2,139,703 | | | 2,139,703 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Equity |
33,454,955 | 211,485,846 | 1,611,995 | ** | 246,552,796 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
||||||||||||||||
Repurchase Agreements |
| 11,763,000 | | 11,763,000 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short-Term Investments |
| 11,763,000 | | 11,763,000 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 33,454,955 | $ | 223,248,846 | $ | 1,611,995 | ** | $ | 258,315,796 | |||||||
|
|
|
|
|
|
|
|
|||||||||
Other Financial Instruments* |
||||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | (8,561 | ) | $ | | $ | | $ | (8,561 | ) | ||||||
|
|
|
|
|
|
|
|
* | Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value. |
** | Significant unobservable inputs were used in determining the value of portfolio securities for the International Fund. |
Smaller Companies Fund
Description | Level 1 - Quoted prices in active markets for identical assets |
Level 2 - Significant other observable inputs |
Level 3 - Significant unobservable inputs |
Total | ||||||||||||
Equity(a) |
||||||||||||||||
Common Stocks |
$ | 16,257,660 | $ | | $ | | $ | 16,257,660 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Equity |
16,257,660 | | | 16,257,660 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
||||||||||||||||
Repurchase Agreements |
| 805,000 | | 805,000 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 16,257,660 | $ | 805,000 | $ | | $ | 17,062,660 | ||||||||
|
|
|
|
|
|
|
|
(a) | See Funds Schedule of Investments in Securities for sector classifications. |
Alternative Strategies Fund
Description | Level 1 - Quoted prices in active markets for identical assets |
Level 2 - Significant other observable inputs |
Level 3 - Significant unobservable inputs |
Total | ||||||||||||
Equity(a) |
||||||||||||||||
Common Stocks |
$ | 411,042,575 | $ | 14,117,177 | $ | 2,651,383 | ** | $ | 427,811,135 | |||||||
Limited Partnerships |
| | 1,063,211 | ** | 1,063,211 | |||||||||||
Preferred Stocks |
2,074,545 | | 1,110,780 | ** | 3,185,325 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Equity |
413,117,120 | 14,117,177 | 4,825,374 | ** | 432,059,671 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Rights/Warrants |
| 5,678 | | 5,678 | ||||||||||||
Fixed Income |
||||||||||||||||
Asset-Backed Securities |
| 140,129,570 | 1,639,973 | ** | 141,769,543 | |||||||||||
Bank Loans |
| 33,070,290 | 4,118,451 | ** | 37,188,741 | |||||||||||
Convertible Bonds |
| 16,678,192 | | 16,678,192 | ||||||||||||
Corporate Bonds |
| 444,429,796 | 407,149 | ** | 444,836,945 | |||||||||||
Government Securities & Agency Issue |
| 12,805,679 | | 12,805,679 | ||||||||||||
Mortgage-Backed Securities |
| 260,075,764 | 1,173,018 | (1) | 261,248,782 | |||||||||||
Municipal Bonds |
| 3,180,034 | | 3,180,034 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Fixed Income |
| 910,369,325 | 7,338,591 | ** | 917,707,916 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
||||||||||||||||
Treasury Bills |
| 43,213,352 | | 43,213,352 | ||||||||||||
Repurchase Agreements |
| 164,125,647 | | 164,125,647 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short-Term Investments |
| 207,338,999 | | 207,338,999 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Purchased Options |
88,768 | | | 88,768 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Investments Valued at NAV(2) |
| | | 2,147,442 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities in Assets |
$ | 413,205,888 | $ | 1,131,831,179 | $ | 12,163,965 | ** | $ | 1,559,348,474 | |||||||
|
|
|
|
|
|
|
|
|||||||||
Short Sales |
||||||||||||||||
Common Stocks |
(40,212,356 | ) | | | (40,212,356 | ) | ||||||||||
Exchange-Traded Fund |
(1,478,428 | ) | | | (1,478,428 | ) | ||||||||||
Corporate Bonds |
| (2,227,723 | ) | | (2,227,723 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short Sales |
(41,690,784 | ) | (2,227,723 | ) | | (43,918,507 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities in Liabilities |
$ | (41,690,784 | ) | $ | (2,227,723 | ) | $ | | $ | (43,918,507 | ) | |||||
|
|
|
|
|
|
|
|
|||||||||
Other Financial Instruments* |
||||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | 798,613 | $ | | $ | | $ | 798,613 | ||||||||
Futures |
(1,658,116 | ) | | | (1,658,116 | ) | ||||||||||
Swaps - Credit Default |
| 12,709,765 | | 12,709,765 | ||||||||||||
Swaps - Total Return |
| (9,309,087 | ) | | (9,309,087 | ) | ||||||||||
Written Options |
(763 | ) | | | (763 | ) | ||||||||||
|
|
|
|
|
|
|
|
(a) | See Funds Schedule of Investments in Securities for sector classifications. |
* | Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value. |
** | Significant unobservable inputs were used in determining the value of portfolio securities for the Alternative Strategies Fund. |
(1) | These securities were priced by a pricing service; however, the Advisor/Sub-Advisor used their fair value procedures based on other available inputs which more accurately reflected the current fair value of these securities. |
(2) | As of March 31, 2020, certain of the Portfolios investments were valued using net asset value per unit as practical expedient (NAV) and have been excluded from the fair value hierarchy. |
There was $342,037 transferred from Level 2 to Level 3 in Alternative Strategies Fund. Security was moved from Level 2 to Level 3 to reflect liquidity discount applied to vendor provided price due to lot size.
There was $269,820 transferred from Level 3 to Level 2 in Alternative Strategies Fund. Security was valued using approved price sources.
High Income Alternatives Fund
Description | Level 1 - Quoted prices in active markets for identical assets |
Level 2 - Significant other observable inputs |
Level 3 - Significant unobservable inputs |
Total | ||||||||||||
Equity(a) |
||||||||||||||||
Common Stocks |
$ | 6,952,738 | $ | | $ | | $ | 6,952,738 | ||||||||
Preferred Stocks |
963,500 | | | 963,500 | ||||||||||||
Closed-End Funds |
287,809 | | | 287,809 | ||||||||||||
Exchange-Traded Fund |
759,910 | | | 759,910 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Equity |
8,963,957 | | | 8,963,957 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Fixed Income |
||||||||||||||||
Asset-Backed Securities |
| 21,075,929 | | 21,075,929 | ||||||||||||
Bank Loans |
| 12,466,543 | | 12,466,543 | ||||||||||||
Corporate Bonds |
| 9,871,402 | | 9,871,402 | ||||||||||||
Government Securities & Agency Issue |
| 16,242,281 | | 16,242,281 | ||||||||||||
Mortgage-Backed Securities |
| 8,182,443 | | 8,182,443 | ||||||||||||
Municipal Bond |
| 4,740 | | 4,740 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Fixed Income |
| 67,843,338 | | 67,843,338 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
||||||||||||||||
Certificate of Deposits |
| 200,000 | | 200,000 | ||||||||||||
Commercial Paper |
| 599,976 | | 599,976 | ||||||||||||
Money Market Fund |
1,391,163 | | | 1,391,163 | ||||||||||||
Repurchase Agreements |
| 1,581,000 | | 1,581,000 | ||||||||||||
Treasury Bills |
| 34,988 | | 34,988 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short-Term Investments |
1,391,163 | 2,415,964 | | 3,807,127 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Interest Rate Swaptions |
| 50,644 | | 50,644 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
$ | 10,355,120 | $ | 70,309,946 | $ | | $ | 80,665,066 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Fixed Income |
||||||||||||||||
Unfunded Loan Commitments |
| 41,842 | | 41,842 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities in Assets |
$ | 10,355,120 | $ | 70,351,788 | $ | | $ | 80,706,908 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Reverse Repurchase Agreements |
| (483,398 | ) | | (483,398 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities in Liabilities |
$ | | $ | (483,398 | ) | $ | | $ | (483,398 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Other Financial Instruments* |
||||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | 236,170 | $ | | $ | | $ | 236,170 | ||||||||
Futures |
(13,290 | ) | | | (13,290 | ) | ||||||||||
Swaps - Interest Rate |
| (144,443 | ) | | (144,443 | ) | ||||||||||
Swaps - Credit Default |
| (1,487 | ) | | (1,487 | ) | ||||||||||
Written Options |
(308,222 | ) | | | (308,222 | ) |
(a) | See Funds Schedule of Investments in Securities for sector classifications. |
* | Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value. |
** | Significant unobservable inputs were used in determining the value of portfolio securities for the High Income Alternatives Fund. |
There was $206,510 transferred from Level 3 to Level 2 in High Income Alternatives Fund. Security was valued using approved price sources.
Principal Risks
Below are summaries of the principal risks of investing in one or more of the Funds, each of which could adversely affect a Funds net asset value, yield and total return. Each risk listed below does not necessarily apply to each Fund, and you should read a Funds prospectus carefully for a description of the principal risks associated with investing in a particular Fund.
| Asset-Backed Securities Risk. This is the risk that the impairment of the value of the collateral underlying a security in which the High Income Alternatives Fund invests, such as the non-payment of loans, will result in a reduction in the value of the security. The value of these securities may also fluctuate in response to the markets perception of the value of issuers or collateral. |
| Below Investment-Grade Fixed Income Securities Risk. This is the risk of investing in below investment-grade fixed income securities (also known as junk bonds), which may be greater than that of higher rated fixed income securities. These securities are rated Ba1 through C by Moodys Investors Service (Moodys) or BB+ through D by Standard & Poors Rating Group (S&P) (or comparably rated by another nationally recognized statistical rating organization), or, if not rated by Moodys or S&P, are considered by the sub-advisors to be of similar quality. These securities have greater risk of default than higher rated securities. The market value of these securities is more sensitive to corporate developments and economic conditions and can be volatile. Market conditions can diminish liquidity and make accurate valuations difficult to obtain. There is no limit to the Alternative Strategies Funds ability to invest in below investment-grade fixed income securities; however, under normal market conditions, it does not expect to invest more than 50% of its total assets in below investment-grade fixed income securities. |
| Capital Structure Arbitrage Risk. The perceived mispricing identified by the sub-advisor may not disappear or may even increase, in which case losses may be realized. |
| Collateral Risk. If the Alternative Strategies Fund and High Income Alternatives Funds financial instruments are secured by collateral, the issuer may have difficulty liquidating the collateral and/or the Fund may have difficulty enforcing its rights under the terms of the securities if an issuer defaults. Collateral may be insufficient or the Funds right to the collateral may be set aside by a court. Collateral will generally consist of assets that may not be readily liquidated, including for example, equipment, inventory, work in the process of manufacture, real property and payments to become due under contracts or other receivable obligations. There is no assurance that the liquidation of those assets would satisfy an issuers obligations under a financial instrument. Non-affiliates and affiliates of issuers of financial instruments may provide collateral in the form of secured and unsecured guarantees and/or security interests in assets that they own, which may also be insufficient to satisfy an issuers obligations under a financial instrument. |
| Collateralized Loan Obligations and Collateralized Debt Obligations Risk. Collateralized loan obligations (CLOs) bear many of the same risks as other forms of asset-backed securities, including interest rate risk, credit risk and default risk. As they are backed by pools of loans, CLOs also bear similar risks to investing in loans directly. CLOs issue classes or tranches that vary in risk and yield. CLOs may experience substantial losses attributable to loan defaults. Losses caused by defaults on underlying assets are borne first by the holders of subordinate tranches. The Alternative Strategies Fund and High Income Alternatives Funds investment in CLOs may decrease in market value when the CLO experiences loan defaults or credit impairment, the disappearance of a subordinate tranche, or market anticipation of defaults and investor aversion to CLO securities as a class. |
Collateralized debt obligations (CDOs) are structured similarly to CLOs and bear the same risks as CLOs including interest rate risk, credit risk and default risk. CDOs are subject to additional risks because they are backed by pools of assets other than loans including securities (such as other asset-backed securities), synthetic instruments or bonds and may be highly leveraged. Like CLOs, losses incurred by a CDO are borne first by holders of subordinate tranches. Accordingly, the risks of CDOs depend largely on the type of underlying collateral and the tranche of CDOs in which the Fund invests. For example, CDOs that obtain their exposure through synthetic investments entail the risks associated with derivative instruments.
| Communications Services Sector Risk. A Fund may invest a portion of its assets in the communications services sector. Media and communications companies may be significantly affected by product and service obsolescence due to technological advancement or development, competitive pressures, substantial capital requirements, fluctuating demand and changes in regulation. |
| Consumer Discretionary Sector Risk. A Fund may invest a portion of its assets in the consumer discretionary sector. The success of consumer product manufacturers and retailers is tied closely to the performance of the overall domestic and international economy, interest rates, competition and consumer confidence. Success depends heavily on disposable household income and consumer spending. Changes in demographics and consumer tastes can also affect the demand for, and success of, consumer products and services in the marketplace. |
| Convertible Arbitrage Risk. Arbitrage strategies involve engaging in transactions that attempt to exploit price differences of identical, related or similar securities on different markets or in different forms. A Fund may realize losses or reduced rate of return if underlying relationships among securities in which investment positions are taken change in an adverse manner or a transaction is unexpectedly terminated or delayed. Trading to seek short-term capital appreciation can be expected to cause the Funds portfolio turnover rate to be substantially higher than that of the average equity-oriented investment company, resulting in higher transaction costs and additional capital gains tax liabilities. |
| Convertible Securities Risk. This is the risk that the market value of convertible securities may fluctuate due to changes in, among other things, interest rates; other general economic conditions; industry fundamentals; market sentiment; the issuers operating results, financial statements, and credit ratings; and the market value of the underlying common or preferred stock. |
| Credit Risk. This is the risk that a Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty of a derivatives contract or other transaction, is unable or unwilling (or is perceived to be unable or unwilling) to make timely payment of principal and/or interest, or to otherwise honor its obligations. |
| Currency Risk. This is the risk that investing in foreign currencies may expose the Fund to fluctuations in currency exchange rates and that such fluctuations in the exchange rates may negatively affect an investment related to a currency or denominated in a foreign currency. The Alternative Strategies Fund may invest in foreign currencies for investment and hedging purposes. All of the Funds may invest in foreign currencies for hedging purposes. |
| Cybersecurity Risk. Information and technology systems relied upon by the Funds, the Advisor, the sub-advisors, the Funds service providers (including, but not limited to, Fund accountants, custodians, transfer agents, administrators, distributors and other financial intermediaries) and/or the issuers of securities in which a Fund invests may be vulnerable to damage or interruption from computer viruses, network failures, computer and telecommunication failures, infiltration by unauthorized persons, security breaches, usage errors, power outages and catastrophic events such as fires, tornadoes, floods, hurricanes and earthquakes. Although the Advisor has implemented measures to manage risks relating to these types of events, if these systems are compromised, become inoperable for extended periods of time or cease to function properly, significant investment may be required to fix or replace them. The failure of these systems and/or of disaster recovery plans could cause significant interruptions in the operations of the Funds, the Advisor, the sub-advisors, the Funds service providers and/or issuers of securities in which a Fund invests and may result in a failure to maintain the security, confidentiality or privacy of sensitive data, including personal information relating to investors (and the beneficial owners of investors). Such a failure could also harm the reputation of the Funds, the Advisor, the sub-advisors, the Funds service providers and/or issuers of securities in which a Fund invests, subject such entities and their respective affiliates to legal claims or otherwise affect their business and financial performance. |
| Debt Securities Risk. This is the risk that the value and liquidity of debt securities may be reduced under certain circumstances. The value of debt securities can fluctuate in response to issuer activity and changes in general economic and credit market conditions, including changes in interest rates. In recent years, dealer capacity in the debt and fixed income markets appears to have undergone fundamental changes, including a reduction in dealer market-making capacity. These changes have the potential to decrease substantially liquidity and increase volatility in the debt and fixed income markets. |
| Derivatives Risk. This is the risk that an investment in derivatives may not correlate completely to the performance of the underlying securities and may be volatile and that the insolvency of the counterparty to a derivative instrument could cause the Fund to lose all or substantially all of its investment in the derivative instrument, as well as the benefits derived therefrom. |
| Options Risk. This is the risk that an investment in options may be subject to greater fluctuation than an investment in the underlying instruments themselves and may be subject to a complete loss of the amounts paid as premiums to purchase the options. |
| Futures Contracts Risk. This is the risk that an investment in futures contracts may be subject to losses that exceed the amount of the premiums paid and may subject the Funds net asset value to greater volatility. |
| P-Notes Risk. This is the risk that the performance results of P-Notes will not replicate exactly the performance of the issuers or markets that the P-Notes seek to replicate. Investments in P-Notes involve risks normally associated with a direct investment in the underlying securities as well as additional risks, such as counterparty risk. |
| Swaps Risk. Risks inherent in the use of swaps include: (1) swap contracts may not be assigned without the consent of the counterparty; (2) potential default of the counterparty to the swap; (3) absence of a liquid secondary market for any particular swap at any time; and (4) possible inability of the Fund to close out the swap transaction at a time that otherwise would be favorable for it to do so. |
| Distressed Companies Risk. A Fund may invest a portion of its assets in securities of distressed companies. Debt obligations of distressed companies typically are unrated, lower rated, in default or close to default and may be difficult to value accurately or may become worthless. |
| Emerging Markets Risk. A Fund may invest a portion of its assets in emerging market countries. Emerging market countries are those with immature economic and political structures, and investing in emerging markets entails greater risk than in developed markets. Such risks could include those related to government dependence on a few industries or resources, government-imposed taxes on foreign investment or limits on the removal of capital from a country, unstable government, and volatile markets. |
| Equity Securities Risk. This is the risk that the value of equity securities may fluctuate, sometimes rapidly and unpredictably, due to factors affecting the general market, an entire industry or sector, or particular companies. These factors include, without limitation, adverse changes in economic conditions, the general outlook for corporate earnings, interest rates or investor sentiment; increases in production costs; and significant management decisions. This risk is greater for small- and medium-sized companies, which tend to be more vulnerable to adverse developments than larger companies. |
| Event-Driven Risk. Event-driven strategies seek to profit from the market inefficiencies surrounding market events, such as mergers, acquisitions, asset sales, restructurings, refinancings, recapitalizations, reorganizations or other special situations. Event-driven investing involves attempting to predict the outcome of a particular transaction as well as the optimal time at which to commit capital to it. Event-driven opportunities involve difficult legal as well as financial analysis, as some of the principal impediments to the consummation of major corporate events are often legal or regulatory rather than economic. In addition, certain of the securities issued in the context of major corporate events include complex call, put and other features, and it is difficult to precisely evaluate the terms and embedded option characteristics of these securities. A Fund may take both long and short positions in a wide range of securities, derivatives and other instruments in implementing its event-driven strategies. |
| Financial Sector Risk. A Fund may invest a portion of its assets in the financial services sector and, therefore, the performance of the Fund could be negatively impacted by events affecting this sector, including changes in interest rates, government regulation, the rate of defaults on corporate, consumer and government debt and the availability and cost of capital. |
| Foreign Investment and Emerging Markets Risks. This is the risk that an investment in foreign (non-U.S.) securities may cause the Funds to experience more rapid and extreme changes in value than a fund that invests exclusively in securities of U.S. companies, due to factors such as currency conversion rate fluctuations, currency blockages, political and economic instability, differences in financial reporting, accounting and auditing standards, nationalization, expropriation or confiscatory taxation, and smaller and less-strict regulation of securities markets. These risks are greater in emerging markets. There is no limit to the Alternative Strategies Funds ability to invest in emerging market securities; however, under normal market conditions, it does not expect to invest more than 50% of its total assets in emerging market securities; however, some Funds may invest a portion of their assets in stocks of companies based outside of the United States. |
| Healthcare Sector Risk. A Fund may invest a portion of its assets in the healthcare sector. The profitability of companies in the healthcare sector may be adversely affected by government regulations and government healthcare programs, increases or decreases in the cost of medical products and services and product liability claims, among other factors. Many healthcare companies are heavily dependent on patent protection, and the expiration of a companys patent may adversely affect that companys profitability. Healthcare companies are subject to competitive forces that may result in price discounting, and may be thinly capitalized and susceptible to product obsolescence. |
| Industrial Sector Risk. A Fund may invest a portion of its assets in the industrial sector. Companies in the industrial sector could be affected by, among other things, government regulation, world events and global economic conditions, insurance costs, and labor relations issues. |
| Interest Rate Risk. This is the risk that debt securities will decline in value because of changes in interest rates. A Fund with a longer average portfolio duration will be more sensitive to changes in interest rates than a Fund with a shorter average portfolio duration. |
| Investment Selection Risk. The specific investments held in the Funds investment portfolio may underperform other funds in the same asset class or benchmarks that are representative of the general performance of the asset class because of a portfolio managers choice of securities. |
| Investment in Investment Companies Risk. This is the risk that investing in other investment companies, including ETFs, CEFs, BDCs, unit investment trusts and open-end funds, subjects the Fund to those risks affecting the investment vehicle, including the possibility that the value of the underlying securities held by the investment vehicle could decrease or the portfolio becomes illiquid. Moreover, the High Income Alternatives Fund and its shareholders will incur its pro rata share of the underlying vehicles expenses, which will reduce the Funds performance. In addition, investments in an ETF are subject to, among other risks, the risk that the ETFs shares may trade at a discount or premium relative to the net asset value of the shares and the listing exchange may halt trading of the ETFs shares. BDCs may carry risks similar to those of a private equity or venture capital fund. BDC company securities are not redeemable at the option of the shareholder and they may trade in the market at a discount to their net asset value. BDCs usually trade at a discount to their net asset value because they invest in unlisted securities and have limited access to capital markets. Shares of CEFs also frequently trade at a discount to their net asset value for those and other reasons. |
| Investments in Loan Risk. Investments in loans, including loan syndicates and other direct lending opportunities, involve special types of risks, including credit risk, interest rate risk, counterparty risk and prepayment risk. Loans may offer a fixed or floating interest rate. Loans are often generally below investment grade and may be unrated. The High Income Alternatives Funds investments in loans can also be difficult to value accurately and may be more susceptible to liquidity risk than fixed-income instruments of similar credit quality and/or maturity. The Fund is also subject to the risk that the value of the collateral for the loan may be insufficient or unavailable to cover the borrowers obligations should the borrower fail to make payments or become insolvent. Participations in loans may subject the Fund to the credit risk of both the borrower and the issuer of the participation and may make enforcement of loan covenants, if any, more difficult for the Fund as legal action may have to go through the issuer of the participations. Transactions in loans are often subject to long settlement periods, thus potentially limiting the ability of the Fund to invest sale proceeds in other investments and to use proceeds to meet its current redemption obligations. In addition, many banks have been weakened by the recent financial crisis, and it may be difficult for the Fund to obtain an accurate picture of a lending banks financial condition. |
| Large Shareholder Purchase and Redemption Risk. This is the risk that a Fund may experience adverse effects when certain large shareholders purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions may cause the Fund to sell its securities at times when it would not otherwise do so, which may negatively impact the Funds net asset value and liquidity. Similarly, large share purchases may adversely affect the Funds performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would. In addition, a large redemption could result in the Funds current expenses being allocated over a smaller asset base, leading to an increase in the Funds expense ratio. |
| Leverage Risk. This is the risk that leverage may cause the effect of an increase or decrease in the value of the Alternative Strategies Funds portfolio securities to be magnified and the Fund to be more volatile than if leverage was not used. Leverage may result from certain transactions, including the use of derivatives and borrowing. Under normal circumstances, the Alternative Strategies Fund may borrow amounts up to one third of the value of its total assets except that it may exceed this limit to satisfy redemption requests or for other temporary purposes. |
| LIBOR Risk. LIBOR is used extensively in the U.S. and globally as a benchmark or reference rate for various commercial and financial contracts, including corporate and municipal bonds, bank loans, asset-backed and mortgage-related securities, interest rate swaps and other derivatives. For example, debt securities in which a Fund invests may pay interest at floating rates based on LIBOR or may be subject to interest caps or floors based on LIBOR. A Funds derivative investments may also reference LIBOR. In addition, issuers of instruments in which a Fund invests may obtain financing at floating rates based on LIBOR, and a Fund may use leverage or borrowings based on LIBOR. In July 2017, the head of the United Kingdom Financial Conduct Authority announced the intention to phase out the use of LIBOR by the end of 2021. There is currently no definitive information regarding the future utilization of LIBOR or of any particular replacement reference rate. Abandonment of or modifications to LIBOR could have adverse impacts on newly issued financial instruments and existing financial instruments that reference LIBOR. |
| Market Risk. As with all mutual funds that invest in common stocks, the value of an individuals investment will fluctuate daily in response to the performance of the individual stocks held in a Fund. The stock market has been subject to significant volatility recently, which has increased the risks associated with an investment in a Fund. |
| Market Volatility Associated with COVID-19. The financial markets have recently been impacted by the outbreak of an infectious respiratory illness caused by a novel coronavirus known as COVID-19, which was first detected in China in December 2019 and has spread internationally. This coronavirus has resulted in international border closings, enhanced health screenings, expanded healthcare services and expenses, quarantines and other restrictions on business and personal activities, cancellations, disruptions to supply chains and consumer activity, as well as general public concern and uncertainty. The impact of this outbreak has negatively affected the worldwide economy, as well as the economies of individual countries, the financial health of individual companies and the market in general in significant and unforeseen ways. The future impact of COVID-19 is currently unknown and it may exacerbate other risks that apply to the Fund, including political, social and economic risks. Any such impact could adversely affect the Funds performance, the performance of the securities in which the Fund invests and may lead to losses on your investment in the Fund. |
| Materials Sector Risk. A Fund may invest a portion of its assets in the materials sector. Many companies in this sector are significantly affected by the level and volatility of commodity prices, the exchange value of the U.S. dollar, import controls, worldwide competition, environmental policies and consumer demand. At times, worldwide production of industrial materials has exceeded demand as a result of over-building or economic downturns, leading to poor investment returns or losses. Other risks may include liabilities for environmental damage and general civil liabilities, depletion of resources, and mandated expenditures for safety and pollution control. The materials sector may also be affected by economic cycles, technical progress, labor relations, and government regulations. |
| Merger Arbitrage Risk. This is the risk that a proposed reorganization in which the Alternative Strategies Fund invests may be renegotiated or terminated. |
| MLP Risk. Investing in MLP units involves some risks that differ from an investment in the equity securities of a company. Holders of MLP units have limited control and voting rights on matters affecting the partnership. Holders of units issued by a MLP are exposed to a remote possibility of liability for all of the obligations of that MLP in the event that a court determines that the rights of the holders of MLP units to vote to remove or replace the general partner of that MLP, to approve amendments to that MLPs partnership agreement, or to take other action under the partnership agreement of that MLP would constitute control of the business of that MLP, or a court or governmental agency determines that the MLP is conducting business in a state without complying with the partnership statute of that state. Holders of MLP units are also exposed to the risk that they will be required to repay amounts to the MLP that are wrongfully distributed to them. |
| Mortgage-Backed Securities Risk. This is the risk of investing in mortgaged-backed securities, which includes interest rate risk, prepayment risk and the risk of defaults on the mortgage loans underlying these securities. |
| Mortgage REIT Risk. Investing in mREITs involves certain risks related to investing in real property mortgages. In addition, mREITs must satisfy highly technical and complex requirements in order to qualify for the favorable tax treatment accorded to REITs under the Internal Revenue Code of 1986 (the Code). No assurances can be given that a mREIT in which the High Income Alternatives Fund invests will be able to continue to qualify as a REIT or that complying with the REIT requirements under the Code will not adversely affect such REITs ability to execute its business plan. |
| Multi-Style Management Risk. Because portions of a Funds assets are managed by different portfolio managers using different styles, the Fund could experience overlapping security transactions. Certain portfolio managers may be purchasing securities at the same time other portfolio managers may be selling those same securities, which may lead to higher transaction expenses compared to a Fund using a single investment management style. |
| Municipal Securities Risk. Municipal securities can be significantly affected by litigation, political or economic events, as well as uncertainties in the municipal market related to taxation, legislative changes or the rights of municipal security holders. Municipal securities backed by current or anticipated revenues from specific projects or assets can be negatively affected by the inability of the issuer to collect revenues for the projects or from the assets. |
| Portfolio Turnover Risk. This is the risk that a Fund may experience high portfolio turnover rates as a result of its investment strategies. High portfolio turnover rates may indicate higher transaction costs and may result in higher taxes when shares of a Fund are held in a taxable account as compared to shares in investment companies that hold investments for a longer period. High portfolio turnover involves correspondingly greater expenses to a Fund, including brokerage commissions or dealer mark-ups and other transaction costs on the sale of securities and reinvestments in other securities, which may result in adverse tax consequences to a Funds shareholders as compared to shares in investment companies that hold investments for a longer period. |
| Short Sale Risk. This is the risk that the value of a security the Alternative Strategies Fund sells short does not go down as expected. The risk of loss is theoretically unlimited if the value of the security sold short continues to increase. In addition, short sales may cause the Alternative Strategies Fund to be compelled, at a time disadvantageous to it, to buy the security previously sold short, thus resulting in a loss. To meet current margin requirements, the Alternative Strategies Fund is required to deposit with the broker additional cash or securities so that the total deposit with the broker is maintained daily at 150% of the current market value of the securities sold short. |
| Smaller Companies Risk. A Fund may invest a portion of its assets in the securities of small- and mid-sized companies. Securities of small and mid-cap companies are generally more volatile and less liquid than the securities of large-cap companies. This is because smaller companies may be more reliant on a few products, services or key personnel, which can make it riskier than investing in larger companies with more diverse product lines and structured management. |
| Special Situations Risk. Investments in special situations (undervalued equities, merger arbitrage situations, distressed companies, etc.) may involve greater risks when compared to other investments a Fund may make due to a variety of factors. For example, mergers, acquisitions, reorganizations, liquidations or recapitalizations may fail or not be completed on the terms originally contemplated, and expected developments may not occur in a timely manner, if at all. |
| Technology Investment Risk. A Fund may invest a portion of its assets in the technology sector, which is a very volatile segment of the market. The nature of technology is that it is rapidly changing. Therefore, products or services that may initially look promising may subsequently fail or become obsolete. In addition, many technology companies are younger, smaller and unseasoned companies which may not have established products, an experienced management team, or earnings history. |
| Unfavorable Tax Treatment Risk. This is the risk that a material portion of the Alternative Strategies Funds return could be in the form of net investment income or short-term capital gains, some of which may be distributed to shareholders and taxed at ordinary income tax rates. Therefore, shareholders may have a greater need to pay regular taxes than compared to other investment strategies that hold investments longer. Due to this investment strategy, it may be preferable for certain shareholders to invest in the Fund through pre-tax or tax-deferred accounts as compared to investment through currently taxable accounts. Potential shareholders are encouraged to consult their tax advisors in this regard. |
| Value Stock Risk. Value stocks are stocks of companies that may have experienced adverse business or industry developments or may be subject to special risks that have caused the stocks to be out of favor and, in the opinion of the manager, undervalued. The value of a security believed by a manager to be undervalued may never reach what is believed to be its full (intrinsic) value, or such securitys value may decrease. |