LETTER TO SHAREHOLDERS
|
3
|
||
EXPENSE EXAMPLES
|
8
|
||
CONVERGENCE LONG/SHORT EQUITY FUND
|
|||
SCHEDULE OF INVESTMENTS
|
14
|
||
|
|||
SCHEDULE OF SECURITIES SOLD SHORT
|
21
|
||
CONVERGENCE MARKET NEUTRAL FUND
|
|||
SCHEDULE OF INVESTMENTS
|
29
|
||
|
|||
SCHEDULE OF SECURITIES SOLD SHORT
|
36
|
||
STATEMENTS OF ASSETS AND LIABILITIES
|
44
|
||
STATEMENTS OF OPERATIONS
|
45
|
||
STATEMENTS OF CHANGES IN NET ASSETS
|
|||
CONVERGENCE LONG/SHORT EQUITY FUND
|
46
|
||
|
|||
CONVERGENCE MARKET NEUTRAL FUND
|
47
|
||
STATEMENTS OF CASH FLOWS
|
48
|
||
FINANCIAL HIGHLIGHTS
|
|||
CONVERGENCE LONG/SHORT EQUITY FUND
|
50
|
||
|
|||
CONVERGENCE MARKET NEUTRAL FUND
|
52
|
||
NOTES TO FINANCIAL STATEMENTS
|
54
|
||
NOTICE OF PRIVACY POLICY & PRACTICES
|
65
|
||
ADDITIONAL INFORMATION
|
66
|
Since
|
|||||||
One
|
One
|
Three
|
Five
|
Ten
|
Inception
|
||
Through May 31, 2020
|
Month
|
YTD
|
Year
|
Year
|
Year
|
Year
|
Annualized
|
Convergence Long/
|
|||||||
Short Equity
|
|||||||
Institutional
|
|||||||
Class (MARNX)
|
0.76%
|
-13.26%
|
-2.17%
|
4.03%
|
4.90%
|
10.62%
|
10.53%
|
Russell 3000® Total
|
|||||||
Return Index
|
5.35%
|
-5.63%
|
11.46%
|
9.54%
|
9.17%
|
12.80%
|
12.11%
|
Since
|
|||||||
One
|
Three
|
Five
|
Ten
|
Inception
|
|||
Through March 31, 2020
|
Quarter
|
YTD
|
Year
|
Year
|
Year
|
Year
|
Annualized
|
Convergence Long/
|
|||||||
Short Equity
|
|||||||
Institutional
|
|||||||
Class (MARNX)
|
-18.08%
|
-18.08%
|
-9.69%
|
2.02%
|
3.76%
|
9.52%
|
10.09%
|
Russell 3000® Total
|
|||||||
Return Index
|
-20.90%
|
-20.90%
|
-9.13%
|
4.00%
|
5.77%
|
10.15%
|
10.40%
|
Since
|
|||||
One
|
One
|
Three
|
Inception
|
||
Through May 31, 2020
|
Month
|
YTD
|
Year
|
Year
|
Annualized
|
Convergence Market Neutral
|
|||||
Institutional Class (CPMNX)
|
-1.02%
|
-9.66%
|
-6.92%
|
-1.22%
|
-0.48%
|
ICE BofA Merrill Lynch 3 Month
|
|||||
U.S. Treasury Bill Index
|
0.00%
|
0.58%
|
1.84%
|
1.79%
|
1.36%
|
S&P 500 Total Return Index
|
4.76%
|
-4.97%
|
12.84%
|
10.23%
|
13.24%
|
Since
|
|||||
One
|
Three
|
Inception
|
|||
Through March 31, 2020
|
Quarter
|
YTD
|
Year
|
Year
|
Annualized
|
Convergence Market Neutral
|
|||||
Institutional Class (CPMNX)
|
-7.99%
|
-7.99%
|
-6.18%
|
-0.81%
|
-0.06%
|
ICE BofA Merrill Lynch 3 Month
|
|||||
U.S. Treasury Bill Index
|
0.57%
|
0.57%
|
2.25%
|
1.83%
|
1.42%
|
S&P 500 Total Return Index
|
-19.60%
|
-19.60%
|
-6.98%
|
5.10%
|
9.33%
|
David J. Abitz, CFA
|
Justin Neuberg, CFA
|
President & Chief Investment Officer
|
Co-Portfolio Manager
|
Convergence Investment Partners, LLC
|
Convergence Investment Partners, LLC
|
Convergence Long/Short Equity Fund –
|
|||
Institutional Class
|
|||
Beginning
|
Ending
|
Expenses Paid
|
|
Account Value
|
Account Value
|
During Period
|
|
12/1/19
|
5/31/20
|
12/1/19 – 5/31/20*
|
|
Actual**
|
$1,000.00
|
$ 877.80
|
$11.36
|
Hypothetical (5% return
|
|||
before expenses)***
|
$1,000.00
|
$1,012.90
|
$12.18
|
*
|
Expenses are equal to the Fund’s annualized expense ratio of 2.42%, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). Excluding
dividends on short positions, interest and broker expenses, the Fund’s annualized expense ratio would be 1.50%.
|
|
**
|
Excluding dividends on short positions, interest and broker expenses, your actual cost of investing in the Fund would be $7.04.
|
|
***
|
Excluding dividends on short positions, interest and broker expenses, your hypothetical cost of investing in the Fund would be $7.57.
|
Convergence Market Neutral Fund –
|
|||
Institutional Class
|
|||
Beginning
|
Ending
|
Expenses Paid
|
|
Account Value
|
Account Value
|
During Period
|
|
12/1/19
|
5/31/20
|
12/1/19 – 5/31/20*
|
|
Actual**
|
$1,000.00
|
$ 895.90
|
$13.03
|
Hypothetical (5% return
|
|||
before expenses)***
|
$1,000.00
|
$1,011.25
|
$13.83
|
*
|
Expenses are equal to the Fund’s annualized expense ratio of 2.75%, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). Excluding
dividends on short positions, interest and broker expenses, the Fund’s annualized expense ratio would be 1.50%.
|
|
**
|
Excluding dividends on short positions, interest and broker expenses, your actual cost of investing in the Fund would be $7.11.
|
|
***
|
Excluding dividends on short positions, interest and broker expenses, your hypothetical cost of investing in the Fund would be $7.57.
|
Russell 3000®
|
||
Institutional
|
Total Return
|
|
Class Shares
|
Index
|
|
One Year
|
-2.17%
|
11.46%
|
Three Year
|
4.03%
|
9.54%
|
Five Year
|
4.90%
|
9.17%
|
Ten Year
|
10.62%
|
12.80%
|
Since Inception (12/29/09)
|
10.53%
|
12.11%
|
ICE BofA
|
||
Merrill Lynch
|
||
3-Month
|
||
Institutional
|
U.S. Treasury
|
|
Class Shares
|
Bill Index
|
|
One Year
|
-6.92%
|
1.84%
|
Three Year
|
-1.22%
|
1.79%
|
Since Inception (1/29/16)
|
-0.48%
|
1.36%
|
Schedule of Investments
|
Shares
|
Value
|
|||||||
COMMON STOCKS* 118.93%
|
||||||||
Administrative and Support Services 4.00%
|
||||||||
CoreLogic, Inc.
|
2,509
|
$
|
124,346
|
|||||
ManpowerGroup, Inc.
|
1,338
|
92,509
|
||||||
MasterCard, Inc. – Class A
|
1,540
|
463,371
|
||||||
Moody’s Corp.
|
1,051
|
281,048
|
||||||
Teladoc Health, Inc. (a)
|
1,864
|
324,448
|
||||||
1,285,722
|
||||||||
Ambulatory Health Care Services 2.07%
|
||||||||
DaVita, Inc. (a)
|
4,394
|
355,738
|
||||||
Medpace Holdings, Inc. (a)(b)
|
3,328
|
308,905
|
||||||
664,643
|
||||||||
Amusement, Gambling, and Recreation Industries 0.46%
|
||||||||
WW International, Inc. (a)
|
6,133
|
146,579
|
||||||
Apparel Manufacturing 0.31%
|
||||||||
Cintas Corp.
|
402
|
99,680
|
||||||
Beverage and Tobacco Product Manufacturing 2.04%
|
||||||||
Philip Morris International, Inc.
|
4,477
|
328,433
|
||||||
Vector Group Ltd.
|
28,588
|
326,761
|
||||||
655,194
|
||||||||
Building Material and Garden Equipment
|
||||||||
and Supplies Dealers 3.29%
|
||||||||
Home Depot, Inc.
|
2,889
|
717,858
|
||||||
Lowe’s Companies, Inc.
|
2,613
|
340,604
|
||||||
1,058,462
|
||||||||
Chemical Manufacturing 8.61%
|
||||||||
AbbVie, Inc.
|
3,473
|
321,843
|
||||||
Alexion Pharmaceuticals, Inc. (a)
|
2,690
|
322,531
|
||||||
Amgen, Inc.
|
1,375
|
315,838
|
||||||
Biogen, Inc. (a)
|
1,036
|
318,145
|
||||||
Bristol-Myers Squibb Co.
|
4,352
|
259,901
|
||||||
Johnson & Johnson
|
2,136
|
317,730
|
||||||
Mylan NV (a)(c)
|
17,469
|
298,196
|
||||||
Prestige Consumer Healthcare, Inc. (a)
|
6,700
|
282,740
|
||||||
Procter & Gamble Co.
|
2,841
|
329,329
|
||||||
2,766,253
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Computer and Electronic Product Manufacturing 15.95%
|
||||||||
Alphabet, Inc. – Class A (a)
|
451
|
$
|
646,517
|
|||||
Alphabet, Inc. – Class C (a)
|
450
|
643,014
|
||||||
Apple, Inc. (b)
|
3,162
|
1,005,326
|
||||||
Cisco Systems, Inc. (b)
|
17,661
|
844,549
|
||||||
Fortinet, Inc. (a)
|
3,320
|
462,144
|
||||||
HP, Inc.
|
14,247
|
215,700
|
||||||
Intel Corp.
|
7,293
|
458,948
|
||||||
NVIDIA Corp.
|
1,226
|
435,255
|
||||||
QUALCOMM, Inc.
|
5,121
|
414,186
|
||||||
5,125,639
|
||||||||
Construction of Buildings 0.35%
|
||||||||
Lennar Corp. – Class A
|
1,878
|
113,544
|
||||||
Credit Intermediation and Related Activities 4.94%
|
||||||||
Bank of America Corp.
|
16,298
|
393,108
|
||||||
Citigroup, Inc.
|
4,885
|
234,040
|
||||||
JPMorgan Chase & Co.
|
4,294
|
417,849
|
||||||
KeyCorp
|
7,755
|
91,897
|
||||||
M&T Bank Corp.
|
712
|
75,230
|
||||||
PNC Financial Services Group, Inc.
|
856
|
97,618
|
||||||
Regions Financial Corp.
|
7,797
|
88,184
|
||||||
Wells Fargo & Co.
|
7,134
|
188,837
|
||||||
1,586,763
|
||||||||
Electrical Equipment, Appliance,
|
||||||||
and Component Manufacturing 1.86%
|
||||||||
Rockwell Automation, Inc.
|
896
|
193,679
|
||||||
Synaptics, Inc. (a)
|
6,326
|
403,093
|
||||||
596,772
|
||||||||
Electronics and Appliance Stores 0.78%
|
||||||||
Best Buy Company, Inc.
|
3,225
|
251,840
|
||||||
Fabricated Metal Product Manufacturing 1.68%
|
||||||||
Crown Holdings, Inc. (a)
|
2,914
|
190,663
|
||||||
Emerson Electric Co.
|
3,174
|
193,677
|
||||||
Silgan Holdings, Inc.
|
4,634
|
154,961
|
||||||
539,301
|
||||||||
Food and Beverage Stores 0.88%
|
||||||||
Kroger Co.
|
8,625
|
281,348
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Food Manufacturing 1.87%
|
||||||||
Ingredion, Inc.
|
3,707
|
$
|
312,241
|
|||||
Kellogg Co.
|
4,413
|
288,213
|
||||||
600,454
|
||||||||
Food Services and Drinking Places 1.44%
|
||||||||
Domino’s Pizza, Inc.
|
436
|
168,226
|
||||||
McDonald’s Corp.
|
774
|
144,212
|
||||||
Papa John’s International, Inc.
|
1,924
|
149,860
|
||||||
462,298
|
||||||||
General Merchandise Stores 1.99%
|
||||||||
Target Corp.
|
2,452
|
299,953
|
||||||
Wal-Mart, Inc.
|
2,733
|
339,056
|
||||||
639,009
|
||||||||
Health and Personal Care Stores 1.03%
|
||||||||
CVS Health Corp.
|
5,029
|
329,752
|
||||||
Insurance Carriers and Related Activities 4.70%
|
||||||||
Allstate Corp.
|
1,627
|
159,137
|
||||||
Humana, Inc.
|
775
|
318,254
|
||||||
MetLife, Inc.
|
4,738
|
170,615
|
||||||
National General Holdings Corp.
|
8,576
|
174,093
|
||||||
Old Republican International Corp.
|
11,094
|
172,955
|
||||||
Prudential Financial, Inc.
|
2,826
|
172,273
|
||||||
UnitedHealth Group, Inc.
|
1,127
|
343,567
|
||||||
1,510,894
|
||||||||
Machinery Manufacturing 1.66%
|
||||||||
Caterpillar, Inc.
|
1,577
|
189,445
|
||||||
Illinois Tool Works, Inc.
|
1,137
|
196,087
|
||||||
iRobot Corp. (a)
|
2,018
|
148,767
|
||||||
534,299
|
||||||||
Merchant Wholesalers, Durable Goods 1.44%
|
||||||||
Arrow Electronics, Inc. (a)
|
3,317
|
229,138
|
||||||
Avnet, Inc.
|
8,541
|
232,657
|
||||||
461,795
|
||||||||
Merchant Wholesalers, Nondurable Goods 4.15%
|
||||||||
AmerisourceBergen Corp.
|
3,655
|
348,468
|
||||||
Cardinal Health, Inc.
|
6,283
|
343,617
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Merchant Wholesalers, Nondurable Goods 4.15% (Continued)
|
||||||||
McKesson Corp.
|
2,176
|
$
|
345,266
|
|||||
World Fuel Services Corp.
|
11,569
|
294,778
|
||||||
1,332,129
|
||||||||
Miscellaneous Manufacturing 1.20%
|
||||||||
3M Co.
|
1,280
|
200,243
|
||||||
Dover Corp.
|
1,927
|
187,401
|
||||||
387,644
|
||||||||
Nonstore Retailers 3.20%
|
||||||||
Amazon.com, Inc. (a)
|
338
|
825,522
|
||||||
WW Grainger, Inc.
|
654
|
202,491
|
||||||
1,028,013
|
||||||||
Oil and Gas Extraction 0.59%
|
||||||||
Phillips 66
|
2,402
|
187,981
|
||||||
Other Information Services 1.99%
|
||||||||
Facebook, Inc. – Class A (a)
|
2,835
|
638,130
|
||||||
Paper Manufacturing 2.04%
|
||||||||
Graphic Packaging Holding Co.
|
12,287
|
177,793
|
||||||
International Paper Co.
|
4,297
|
146,313
|
||||||
Kimberly-Clark Corp.
|
2,330
|
329,555
|
||||||
653,661
|
||||||||
Performing Arts, Spectator Sports, and Related Industries 2.02%
|
||||||||
Electronic Arts, Inc. (a)
|
5,278
|
648,560
|
||||||
Petroleum and Coal Products Manufacturing 0.92%
|
||||||||
Valero Energy Corp.
|
4,422
|
294,682
|
||||||
Pipeline Transportation 0.92%
|
||||||||
Williams Cos., Inc.
|
14,385
|
293,886
|
||||||
Plastics and Rubber Products Manufacturing 0.36%
|
||||||||
Newell Brands, Inc.
|
8,871
|
116,654
|
||||||
Primary Metal Manufacturing 0.63%
|
||||||||
Reliance Steel & Aluminum Co.
|
2,071
|
200,887
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Professional, Scientific, and Technical Services 6.82%
|
||||||||
eBay, Inc.
|
6,189
|
$
|
281,847
|
|||||
GoDaddy, Inc. – Class A (a)
|
6,117
|
472,538
|
||||||
H&R Block, Inc.
|
9,263
|
157,471
|
||||||
Syneos Health, Inc. (a)
|
4,257
|
259,634
|
||||||
Teledyne Technologies, Inc. (a)
|
525
|
196,413
|
||||||
Virtu Financial, Inc. – Class A
|
12,839
|
306,210
|
||||||
VMware, Inc. – Class A (a)(b)
|
3,297
|
515,223
|
||||||
2,189,336
|
||||||||
Publishing Industries (except Internet) 14.35%
|
||||||||
Activision Blizzard, Inc.
|
5,635
|
405,607
|
||||||
Adobe Systems, Inc. (a)
|
1,226
|
473,972
|
||||||
Autodesk, Inc. (a)
|
2,322
|
488,502
|
||||||
Cadence Design Systems, Inc. (a)
|
5,324
|
486,028
|
||||||
Citrix Systems, Inc.
|
3,341
|
494,868
|
||||||
Microsoft Corp. (b)
|
2,614
|
479,016
|
||||||
NortonLifeLock, Inc.
|
21,706
|
494,463
|
||||||
Oracle Corp.
|
8,740
|
469,950
|
||||||
SPS Commerce, Inc. (a)
|
7,027
|
478,960
|
||||||
Zynga, Inc. – Class A (a)
|
36,855
|
337,223
|
||||||
4,608,589
|
||||||||
Real Estate 0.86%
|
||||||||
CBRE Group, Inc. – Class A (a)
|
3,074
|
135,195
|
||||||
Jones Lang LaSalle, Inc.
|
1,367
|
139,980
|
||||||
275,175
|
||||||||
Securities, Commodity Contracts, and Other Financial
|
||||||||
Investments and Related Activities 4.80%
|
||||||||
Affiliated Managers Group, Inc.
|
4,323
|
287,998
|
||||||
Gilead Sciences, Inc.
|
4,156
|
323,461
|
||||||
MarketAxess Holdings, Inc.
|
615
|
312,783
|
||||||
Morgan Stanley
|
7,121
|
314,748
|
||||||
S&P Global, Inc.
|
932
|
302,919
|
||||||
1,541,909
|
||||||||
Specialty Trade Contractors 1.18%
|
||||||||
EMCOR Group, Inc.
|
2,879
|
182,960
|
||||||
Quanta Services, Inc.
|
5,293
|
195,471
|
||||||
378,431
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Support Activities for Agriculture and Forestry 0.56%
|
||||||||
Corteva, Inc.
|
6,584
|
$
|
179,809
|
|||||
Support Activities for Transportation 1.02%
|
||||||||
CH Robinson Worldwide, Inc.
|
2,186
|
177,350
|
||||||
Hub Group, Inc. – Class A (a)
|
3,239
|
151,488
|
||||||
328,838
|
||||||||
Telecommunications 2.38%
|
||||||||
AT&T, Inc.
|
24,724
|
762,983
|
||||||
Textile Product Mills 0.30%
|
||||||||
Tempur Sealy International, Inc. (a)
|
1,472
|
96,019
|
||||||
Transportation Equipment Manufacturing 1.62%
|
||||||||
Lockheed Martin Corp.
|
511
|
198,493
|
||||||
Tesla, Inc. (a)
|
191
|
159,485
|
||||||
Winnebago Industries, Inc.
|
2,948
|
160,371
|
||||||
518,349
|
||||||||
Truck Transportation 1.13%
|
||||||||
Landstar System, Inc.
|
1,691
|
196,596
|
||||||
Werner Enterprises, Inc.
|
3,592
|
166,022
|
||||||
362,618
|
||||||||
Utilities 3.62%
|
||||||||
AES Corp.
|
18,373
|
229,479
|
||||||
Entergy Corp.
|
2,517
|
256,281
|
||||||
MDU Resources Group, Inc.
|
10,428
|
226,913
|
||||||
NextEra Energy, Inc.
|
979
|
250,193
|
||||||
Southern Co.
|
3,522
|
201,001
|
||||||
1,163,867
|
||||||||
Waste Management and Remediation Services 0.29%
|
||||||||
Waste Management, Inc.
|
867
|
92,552
|
||||||
Wood Product Manufacturing 0.63%
|
||||||||
UFP Industries, Inc.
|
4,399
|
201,166
|
||||||
TOTAL COMMON STOCKS (Cost $32,557,396)
|
38,192,109
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
REAL ESTATE INVESTMENT TRUSTS* 3.43%
|
||||||||
Data Processing, Hosting and Related Services 0.37%
|
||||||||
CyrusOne, Inc.
|
1,583
|
$
|
117,680
|
|||||
Forestry and Logging 0.47%
|
||||||||
Weyerhaeuser Co.
|
7,437
|
150,153
|
||||||
Real Estate 1.72%
|
||||||||
EastGroup Properties, Inc.
|
1,110
|
129,038
|
||||||
Equity LifeStyle Properties, Inc.
|
2,256
|
140,548
|
||||||
Equity Residential
|
2,320
|
140,499
|
||||||
First Industrial Realty Trust, Inc.
|
3,704
|
140,308
|
||||||
550,393
|
||||||||
Securities, Commodity Contracts, and Other Financial
|
||||||||
Investments and Related Activities 0.44%
|
||||||||
Americold Realty Trust
|
3,985
|
142,304
|
||||||
Telecommunications 0.43%
|
||||||||
American Tower Corp.
|
544
|
140,445
|
||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $1,052,353)
|
1,100,975
|
|||||||
SHORT-TERM INVESTMENTS 0.83%
|
||||||||
First American Government Obligations Fund –
|
||||||||
Class X, 0.091% (b)(d)
|
267,270
|
267,270
|
||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $267,270)
|
267,270
|
|||||||
Total Investments (Cost $33,877,019) 123.19%
|
39,560,354
|
|||||||
Liabilities in Excess of Other Assets (23.19)%
|
(7,445,797
|
)
|
||||||
TOTAL NET ASSETS 100.00%
|
$
|
32,114,557
|
*
|
Unless otherwise noted, all or a portion of these securities, totaling $37,310,321, are pledged as collateral for securities sold short.
|
(a)
|
Non-income producing security.
|
(b)
|
This security is not pledged as collateral for securities sold short.
|
(c)
|
Foreign issued security.
|
(d)
|
Seven day yield as of May 31, 2020.
|
Ltd.
|
Limited Liability Company.
|
NV
|
Naamloze vennootschap is a Dutch term for publicly traded companies.
|
Schedule of Securities Sold Short
|
Shares
|
Value
|
|||||||
SECURITIES SOLD SHORT (53.47)%
|
||||||||
COMMON STOCKS (50.36)%
|
||||||||
Accommodation (0.22)%
|
||||||||
Extended Stay America, Inc.
|
(6,220
|
)
|
$
|
(71,530
|
)
|
|||
Administrative and Support Services (0.27)%
|
||||||||
Korn Ferry
|
(1,531
|
)
|
(46,328
|
)
|
||||
US Ecology, Inc.
|
(1,282
|
)
|
(43,165
|
)
|
||||
(89,493
|
)
|
|||||||
Air Transportation (0.24)%
|
||||||||
Allegiant Travel Co.
|
(730
|
)
|
(77,782
|
)
|
||||
Ambulatory Health Care Services (0.89)%
|
||||||||
Guardant Health, Inc.
|
(1,339
|
)
|
(121,032
|
)
|
||||
iRhythm Technologies, Inc.
|
(960
|
)
|
(119,338
|
)
|
||||
Y-mAbs Therapeutics, Inc.
|
(1,159
|
)
|
(44,251
|
)
|
||||
(284,621
|
)
|
|||||||
Apparel Manufacturing (0.13)%
|
||||||||
Under Armour, Inc. – Class C
|
(5,389
|
)
|
(42,358
|
)
|
||||
Beverage and Tobacco Product Manufacturing (0.38)%
|
||||||||
Keurig Dr Pepper, Inc.
|
(4,411
|
)
|
(123,155
|
)
|
||||
Broadcasting (except Internet) (1.89)%
|
||||||||
Madison Square Garden Co.
|
(927
|
)
|
(158,173
|
)
|
||||
Nexstar Media Group, Inc. – Class A
|
(1,893
|
)
|
(157,706
|
)
|
||||
Roku, Inc.
|
(1,215
|
)
|
(133,055
|
)
|
||||
Walt Disney Co.
|
(1,339
|
)
|
(157,065
|
)
|
||||
(605,999
|
)
|
|||||||
Chemical Manufacturing (5.05)%
|
||||||||
Adverum Biotechnologies, Inc.
|
(1,693
|
)
|
(34,927
|
)
|
||||
Albemarle Corp.
|
(769
|
)
|
(58,844
|
)
|
||||
Arena Pharmaceuticals, Inc.
|
(958
|
)
|
(57,260
|
)
|
||||
Bluebird Bio, Inc.
|
(1,109
|
)
|
(70,566
|
)
|
||||
Blueprint Medicines Corp.
|
(1,083
|
)
|
(70,547
|
)
|
||||
Cabot Microelectronics Corp.
|
(1,023
|
)
|
(148,192
|
)
|
||||
Chemours Co.
|
(4,180
|
)
|
(54,800
|
)
|
||||
Deciphera Pharmaceuticals, Inc.
|
(1,324
|
)
|
(77,547
|
)
|
||||
Denali Therapeutics, Inc.
|
(2,166
|
)
|
(60,280
|
)
|
||||
DuPont de Nemours, Inc.
|
(1,175
|
)
|
(59,608
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Chemical Manufacturing (5.05)% (Continued)
|
||||||||
Fate Therapeutics, Inc.
|
(1,853
|
)
|
$
|
(60,093
|
)
|
|||
Global Blood Therapeutics, Inc.
|
(1,161
|
)
|
(81,176
|
)
|
||||
Immunomedics, Inc.
|
(3,912
|
)
|
(131,403
|
)
|
||||
Ingevity Corp.
|
(1,113
|
)
|
(58,622
|
)
|
||||
Insmed, Inc.
|
(2,005
|
)
|
(48,701
|
)
|
||||
Iovance Biotherapeutics, Inc.
|
(2,286
|
)
|
(73,358
|
)
|
||||
Linde PLC (a)
|
(292
|
)
|
(59,083
|
)
|
||||
Mirati Therapeutics, Inc.
|
(816
|
)
|
(80,939
|
)
|
||||
Mosaic Co.
|
(4,950
|
)
|
(59,845
|
)
|
||||
MyoKardia, Inc.
|
(1,038
|
)
|
(106,176
|
)
|
||||
Principia Biopharma, Inc.
|
(760
|
)
|
(48,556
|
)
|
||||
Sage Therapeutics, Inc.
|
(1,116
|
)
|
(39,864
|
)
|
||||
Twist Bioscience Corp.
|
(1,024
|
)
|
(38,861
|
)
|
||||
Zogenix, Inc.
|
(1,412
|
)
|
(41,132
|
)
|
||||
(1,620,380
|
)
|
|||||||
Clothing and Clothing Accessories Stores (1.80)%
|
||||||||
Foot Locker, Inc.
|
(7,349
|
)
|
(203,567
|
)
|
||||
L Brands, Inc.
|
(12,093
|
)
|
(195,787
|
)
|
||||
Gap, Inc.
|
(19,779
|
)
|
(176,033
|
)
|
||||
(575,387
|
)
|
|||||||
Computer and Electronic Product Manufacturing (2.92)%
|
||||||||
Advanced Energy Industries, Inc.
|
(2,215
|
)
|
(148,028
|
)
|
||||
Coherent, Inc.
|
(1,264
|
)
|
(183,544
|
)
|
||||
Cree, Inc.
|
(2,962
|
)
|
(156,068
|
)
|
||||
Cubic Corp.
|
(1,439
|
)
|
(59,301
|
)
|
||||
L3Harris Technologies, Inc.
|
(350
|
)
|
(69,808
|
)
|
||||
Onto Innovation, Inc.
|
(4,474
|
)
|
(139,052
|
)
|
||||
ViaSat, Inc.
|
(4,263
|
)
|
(179,046
|
)
|
||||
(934,847
|
)
|
|||||||
Construction of Buildings (0.27)%
|
||||||||
Taylor Morrison Home Corp.
|
(2,259
|
)
|
(43,666
|
)
|
||||
Toll Brothers, Inc.
|
(1,358
|
)
|
(43,877
|
)
|
||||
(87,543
|
)
|
|||||||
Credit Intermediation and Related Activities (2.87)%
|
||||||||
Ally Financial, Inc.
|
(6,278
|
)
|
(109,488
|
)
|
||||
Ameris Bancorp
|
(1,938
|
)
|
(46,958
|
)
|
||||
Atlantic Union Bankshares Corp.
|
(2,199
|
)
|
(50,907
|
)
|
||||
CIT Group, Inc.
|
(3,159
|
)
|
(57,304
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Credit Intermediation and Related Activities (2.87)% (Continued)
|
||||||||
First Financial Bancorp
|
(3,194
|
)
|
$
|
(42,448
|
)
|
|||
Hancock Whitney Corp.
|
(3,763
|
)
|
(81,356
|
)
|
||||
Independent Bank Group, Inc.
|
(1,263
|
)
|
(47,842
|
)
|
||||
Santander Consumer USA Holdings, Inc.
|
(6,657
|
)
|
(110,040
|
)
|
||||
Sterling Bancorp
|
(7,782
|
)
|
(95,719
|
)
|
||||
Synovus Financial Corp.
|
(4,301
|
)
|
(82,536
|
)
|
||||
TCF Financial Corp.
|
(2,682
|
)
|
(77,563
|
)
|
||||
Wintrust Financial Corp.
|
(1,859
|
)
|
(78,747
|
)
|
||||
WSFS Financial Corp.
|
(1,486
|
)
|
(41,118
|
)
|
||||
(922,026
|
)
|
|||||||
Data Processing, Hosting and Related Services (0.72)%
|
||||||||
Upwork, Inc.
|
(3,961
|
)
|
(49,275
|
)
|
||||
Yext, Inc.
|
(11,606
|
)
|
(183,259
|
)
|
||||
(232,534
|
)
|
|||||||
Electrical Equipment, Appliance,
|
||||||||
and Component Manufacturing (0.83)%
|
||||||||
Energizer Holdings, Inc.
|
(3,274
|
)
|
(143,663
|
)
|
||||
GrafTech International Ltd.
|
(8,325
|
)
|
(56,943
|
)
|
||||
Woodward, Inc.
|
(993
|
)
|
(68,100
|
)
|
||||
(268,706
|
)
|
|||||||
Fabricated Metal Product Manufacturing (0.38)%
|
||||||||
Hillenbrand, Inc.
|
(2,525
|
)
|
(64,994
|
)
|
||||
Proto Labs, Inc.
|
(469
|
)
|
(59,258
|
)
|
||||
(124,252
|
)
|
|||||||
Food and Beverage Stores (0.58)%
|
||||||||
GrubHub, Inc.
|
(3,301
|
)
|
(187,299
|
)
|
||||
Food Manufacturing (1.09)%
|
||||||||
Beyond Meat, Inc.
|
(896
|
)
|
(114,948
|
)
|
||||
Freshpet, Inc.
|
(1,600
|
)
|
(123,488
|
)
|
||||
Simply Good Foods Co.
|
(6,607
|
)
|
(112,517
|
)
|
||||
(350,953
|
)
|
|||||||
Food Services and Drinking Places (0.80)%
|
||||||||
Casey’s General Stores, Inc.
|
(778
|
)
|
(124,270
|
)
|
||||
Darden Restaurants, Inc.
|
(806
|
)
|
(61,949
|
)
|
||||
Shake Shack, Inc. – Class A
|
(1,280
|
)
|
(71,104
|
)
|
||||
(257,323
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
General Merchandise Stores (1.24)%
|
||||||||
Five Below, Inc.
|
(1,922
|
)
|
$
|
(201,137
|
)
|
|||
Kohl’s Corp.
|
(10,129
|
)
|
(194,679
|
)
|
||||
(395,816
|
)
|
|||||||
Health and Personal Care Stores (0.36)%
|
||||||||
Covetrus, Inc.
|
(7,666
|
)
|
(117,136
|
)
|
||||
Insurance Carriers and Related Activities (0.95)%
|
||||||||
American International Group, Inc.
|
(2,157
|
)
|
(64,840
|
)
|
||||
Athene Holding, Ltd. – Class A (a)
|
(2,044
|
)
|
(59,051
|
)
|
||||
eHealth, Inc.
|
(492
|
)
|
(64,167
|
)
|
||||
Lincoln National Corp.
|
(1,526
|
)
|
(57,881
|
)
|
||||
White Mountains Insurance Group Ltd. (a)
|
(66
|
)
|
(60,427
|
)
|
||||
(306,366
|
)
|
|||||||
Machinery Manufacturing (1.39)%
|
||||||||
Altra Industrial Motion Corp.
|
(2,464
|
)
|
(76,384
|
)
|
||||
Chart Industries, Inc.
|
(1,870
|
)
|
(73,398
|
)
|
||||
Glaukos Corp.
|
(2,780
|
)
|
(108,364
|
)
|
||||
II-VI, Inc.
|
(3,910
|
)
|
(185,843
|
)
|
||||
(443,989
|
)
|
|||||||
Merchant Wholesalers, Durable Goods (0.89)%
|
||||||||
IAA, Inc.
|
(1,094
|
)
|
(44,854
|
)
|
||||
InterDigital, Inc.
|
(3,228
|
)
|
(177,443
|
)
|
||||
Sunrun, Inc.
|
(3,851
|
)
|
(64,312
|
)
|
||||
(286,609
|
)
|
|||||||
Merchant Wholesalers, Nondurable Goods (1.60)%
|
||||||||
Allakos, Inc.
|
(931
|
)
|
(60,515
|
)
|
||||
Arrowhead Pharmaceuticals, Inc.
|
(2,191
|
)
|
(70,638
|
)
|
||||
Capri Holdings Ltd. (a)
|
(2,943
|
)
|
(44,263
|
)
|
||||
Nu Skin Enterprises, Inc. – Class A
|
(4,062
|
)
|
(151,025
|
)
|
||||
Performance Food Group Co.
|
(4,676
|
)
|
(124,615
|
)
|
||||
Wingstop, Inc.
|
(499
|
)
|
(60,853
|
)
|
||||
(511,909
|
)
|
|||||||
Mining (except Oil and Gas) (0.18)%
|
||||||||
Coeur Mining, Inc.
|
(9,970
|
)
|
(57,328
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Miscellaneous Manufacturing (1.60)%
|
||||||||
Cantel Medical Corp.
|
(2,735
|
)
|
$
|
(115,089
|
)
|
|||
Cardiovascular Systems, Inc.
|
(2,988
|
)
|
(115,695
|
)
|
||||
Inspire Medical Systems, Inc.
|
(1,448
|
)
|
(118,070
|
)
|
||||
Mattel, Inc.
|
(4,631
|
)
|
(42,652
|
)
|
||||
Shockwave Medical, Inc.
|
(2,765
|
)
|
(121,687
|
)
|
||||
(513,193
|
)
|
|||||||
Motion Picture and Sound Recording Industries (1.03)%
|
||||||||
Cinemark Holdings, Inc.
|
(10,856
|
)
|
(163,166
|
)
|
||||
World Wrestling Entertainment, Inc. – Class A
|
(3,631
|
)
|
(168,006
|
)
|
||||
(331,172
|
)
|
|||||||
Motor Vehicle and Parts Dealers (0.50)%
|
||||||||
Cargurus, Inc.
|
(6,223
|
)
|
(161,674
|
)
|
||||
Nursing and Residential Care Facilities (0.36)%
|
||||||||
Ensign Group, Inc.
|
(2,646
|
)
|
(115,683
|
)
|
||||
Oil and Gas Extraction (0.70)%
|
||||||||
Occidental Petroleum Corp.
|
(8,268
|
)
|
(107,071
|
)
|
||||
WPX Energy, Inc.
|
(20,847
|
)
|
(118,202
|
)
|
||||
(225,273
|
)
|
|||||||
Other Information Services (0.80)%
|
||||||||
Chegg, Inc.
|
(1,184
|
)
|
(72,319
|
)
|
||||
LiveRamp Holdings, Inc.
|
(3,692
|
)
|
(186,187
|
)
|
||||
(258,506
|
)
|
|||||||
Performing Arts, Spectator Sports, and Related Industries (0.49)%
|
||||||||
Live Nation Entertainment, Inc.
|
(3,189
|
)
|
(156,771
|
)
|
||||
Primary Metal Manufacturing (0.74)%
|
||||||||
Alcoa Corp.
|
(6,163
|
)
|
(56,761
|
)
|
||||
Viavi Solutions, Inc.
|
(15,591
|
)
|
(180,700
|
)
|
||||
(237,461
|
)
|
|||||||
Professional, Scientific, and Technical Services (2.44)%
|
||||||||
Alector, Inc.
|
(1,690
|
)
|
(55,263
|
)
|
||||
Biohaven Pharmaceutical Holding Co. Ltd. (a)
|
(1,201
|
)
|
(75,026
|
)
|
||||
Elastic NV (a)
|
(2,169
|
)
|
(186,360
|
)
|
||||
Epizyme, Inc.
|
(2,061
|
)
|
(36,171
|
)
|
||||
Fluor Corp.
|
(5,939
|
)
|
(68,952
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Professional, Scientific, and Technical Services (2.44)% (Continued)
|
||||||||
LivePerson, Inc.
|
(4,838
|
)
|
$
|
(181,183
|
)
|
|||
Pluralsight, Inc. – Class A
|
(8,620
|
)
|
(179,555
|
)
|
||||
(782,510
|
)
|
|||||||
Publishing Industries (except Internet) (4.53)%
|
||||||||
Appfolio, Inc. – Class A
|
(1,153
|
)
|
(182,762
|
)
|
||||
Medallia, Inc.
|
(6,485
|
)
|
(183,396
|
)
|
||||
MongoDB, Inc.
|
(822
|
)
|
(190,794
|
)
|
||||
PROS Holdings, Inc.
|
(4,646
|
)
|
(180,962
|
)
|
||||
Q2 Holdings, Inc.
|
(2,143
|
)
|
(177,055
|
)
|
||||
Splunk, Inc.
|
(985
|
)
|
(183,052
|
)
|
||||
Varonis Systems, Inc.
|
(2,119
|
)
|
(178,822
|
)
|
||||
Workday, Inc. – Class A
|
(971
|
)
|
(178,111
|
)
|
||||
(1,454,954
|
)
|
|||||||
Real Estate (0.16)%
|
||||||||
Howard Hughes Corp.
|
(984
|
)
|
(49,840
|
)
|
||||
Religious, Grantmaking, Civic, Professional,
|
||||||||
and Similar Organizations (0.37)%
|
||||||||
HealthEquity, Inc.
|
(1,907
|
)
|
(118,177
|
)
|
||||
Rental and Leasing Services (0.44)%
|
||||||||
Air Lease Corp.
|
(2,304
|
)
|
(69,373
|
)
|
||||
AMERCO
|
(231
|
)
|
(74,498
|
)
|
||||
(143,871
|
)
|
|||||||
Securities, Commodity Contracts, and Other Financial
|
||||||||
Investments and Related Activities (1.36)%
|
||||||||
Ares Management Corp. – Class A
|
(3,111
|
)
|
(117,471
|
)
|
||||
Brighthouse Financial, Inc.
|
(1,938
|
)
|
(57,578
|
)
|
||||
CommScope Holding Company, Inc.
|
(17,889
|
)
|
(184,436
|
)
|
||||
WillScot Corp.
|
(5,693
|
)
|
(75,945
|
)
|
||||
(435,430
|
)
|
|||||||
Support Activities for Mining (0.71)%
|
||||||||
Diamondback Energy, Inc.
|
(2,757
|
)
|
(117,393
|
)
|
||||
Noble Energy, Inc.
|
(12,607
|
)
|
(110,059
|
)
|
||||
(227,452
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Telecommunications (2.01)%
|
||||||||
GCI Liberty, Inc. – Class A
|
(2,233
|
)
|
$
|
(154,501
|
)
|
|||
Twilio, Inc. – Class A
|
(921
|
)
|
(181,990
|
)
|
||||
ViacomCBS, Inc. – Class B
|
(7,372
|
)
|
(152,895
|
)
|
||||
Vonage Holdings Corp.
|
(15,973
|
)
|
(153,820
|
)
|
||||
(643,206
|
)
|
|||||||
Transit and Ground Passenger Transportation (0.50)%
|
||||||||
Lyft, Inc. – Class A
|
(2,382
|
)
|
(74,461
|
)
|
||||
Uber Technologies, Inc.
|
(2,357
|
)
|
(85,606
|
)
|
||||
(160,067
|
)
|
|||||||
Transportation Equipment Manufacturing (1.11)%
|
||||||||
Boeing Co.
|
(458
|
)
|
(66,799
|
)
|
||||
Ford Motor Co.
|
(11,966
|
)
|
(68,326
|
)
|
||||
Fox Factory Holding Corp.
|
(982
|
)
|
(70,812
|
)
|
||||
TransDigm Group, Inc.
|
(184
|
)
|
(78,167
|
)
|
||||
Westinghouse Air Brake Technologies Corp.
|
(1,212
|
)
|
(74,017
|
)
|
||||
(358,121
|
)
|
|||||||
Utilities (2.20)%
|
||||||||
ALLETE, Inc.
|
(1,555
|
)
|
(91,325
|
)
|
||||
Edison International
|
(1,529
|
)
|
(88,850
|
)
|
||||
Essential Utilities, Inc.
|
(2,113
|
)
|
(92,465
|
)
|
||||
Evergy, Inc.
|
(1,433
|
)
|
(88,402
|
)
|
||||
First Solar, Inc.
|
(3,303
|
)
|
(153,986
|
)
|
||||
New Jersey Resources Corp.
|
(2,691
|
)
|
(94,508
|
)
|
||||
South Jersey Industries, Inc.
|
(3,448
|
)
|
(97,785
|
)
|
||||
(707,321
|
)
|
|||||||
Waste Management and Remediation Services (0.37)%
|
||||||||
Darling Ingredients, Inc.
|
(4,929
|
)
|
(114,895
|
)
|
||||
TOTAL COMMON STOCKS (Proceeds $16,402,581)
|
(16,170,918
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
REAL ESTATE INVESTMENT TRUSTS (3.11)%
|
||||||||
Accommodation (0.16%)
|
||||||||
Park Hotels & Resorts, Inc.
|
(5,193
|
)
|
$
|
(51,047
|
)
|
|||
Real Estate (2.95)%
|
||||||||
AGNC Investment Corp.
|
(9,680
|
)
|
(125,259
|
)
|
||||
Apple Hospitality REIT, Inc.
|
(5,158
|
)
|
(52,663
|
)
|
||||
Blackstone Mortgage Trust, Inc. – Class A
|
(4,737
|
)
|
(111,746
|
)
|
||||
Brixmor Property Group, Inc.
|
(4,107
|
)
|
(45,834
|
)
|
||||
Chimera Investment Corp.
|
(15,337
|
)
|
(127,451
|
)
|
||||
EPR Properties
|
(1,556
|
)
|
(49,123
|
)
|
||||
Essential Properties Realty Trust, Inc.
|
(3,997
|
)
|
(54,519
|
)
|
||||
Mack-Cali Realty Corp.
|
(3,367
|
)
|
(51,212
|
)
|
||||
Ryman Hospitality Properties, Inc.
|
(1,666
|
)
|
(56,944
|
)
|
||||
Simon Property Group, Inc.
|
(916
|
)
|
(52,853
|
)
|
||||
Two Harbors Investment Corp.
|
(16,042
|
)
|
(72,510
|
)
|
||||
UDR, Inc.
|
(1,300
|
)
|
(48,074
|
)
|
||||
VEREIT, Inc.
|
(8,977
|
)
|
(49,194
|
)
|
||||
Welltower, Inc.
|
(1,003
|
)
|
(50,822
|
)
|
||||
(948,204
|
)
|
|||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS
|
||||||||
(Proceeds $1,071,164)
|
(999,251
|
)
|
||||||
Total Securities Sold Short (Proceeds $17,473,745)
|
$
|
(17,170,169
|
)
|
(a)
|
Foreign issued security.
|
Ltd.
|
Limited Liability Company.
|
NV
|
Naamloze vennootschap is a Dutch term for publicly traded companies.
|
PLC
|
Public Limited Company.
|
Schedule of Investments
|
Shares
|
Value
|
|||||||
COMMON STOCKS* 94.37%
|
||||||||
Administrative and Support Services 3.66%
|
||||||||
CoreLogic, Inc.
|
4,090
|
$
|
202,700
|
|||||
ManpowerGroup, Inc.
|
2,679
|
185,226
|
||||||
MasterCard, Inc. – Class A
|
789
|
237,403
|
||||||
Moody’s Corp.
|
863
|
230,775
|
||||||
Teladoc Health, Inc. (a)
|
1,489
|
259,175
|
||||||
1,115,279
|
||||||||
Ambulatory Health Care Services 1.64%
|
||||||||
DaVita, Inc. (a)
|
3,195
|
258,667
|
||||||
Medpace Holdings, Inc. (a)(b)
|
2,577
|
239,197
|
||||||
497,864
|
||||||||
Amusement, Gambling, and Recreation Industries 0.70%
|
||||||||
WW International, Inc. (a)
|
8,902
|
212,758
|
||||||
Apparel Manufacturing 0.65%
|
||||||||
Cintas Corp.
|
804
|
199,360
|
||||||
Beverage and Tobacco Product Manufacturing 1.52%
|
||||||||
Philip Morris International, Inc.
|
3,166
|
232,257
|
||||||
Vector Group Ltd.
|
20,204
|
230,932
|
||||||
463,189
|
||||||||
Building Material and Garden Equipment
|
||||||||
and Supplies Dealers 1.22%
|
||||||||
Home Depot, Inc.
|
743
|
184,621
|
||||||
Lowe’s Companies, Inc.
|
1,422
|
185,357
|
||||||
369,978
|
||||||||
Chemical Manufacturing 7.05%
|
||||||||
AbbVie, Inc.
|
2,632
|
243,907
|
||||||
Alexion Pharmaceuticals, Inc. (a)
|
2,123
|
254,548
|
||||||
Amgen, Inc.
|
1,114
|
255,885
|
||||||
Biogen, Inc. (a)
|
832
|
255,499
|
||||||
Bristol-Myers Squibb Co.
|
4,010
|
239,477
|
||||||
Johnson & Johnson
|
1,653
|
245,884
|
||||||
Mylan NV (a)(c)
|
14,079
|
240,329
|
||||||
Prestige Consumer Healthcare, Inc. (a)
|
5,623
|
237,291
|
||||||
Procter & Gamble Co.
|
1,482
|
171,793
|
||||||
2,144,613
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Computer and Electronic Product Manufacturing 6.48%
|
||||||||
Alphabet, Inc. – Class A (a)
|
121
|
$
|
173,456
|
|||||
Alphabet, Inc. – Class C (a)
|
114
|
162,897
|
||||||
Apple, Inc. (b)
|
745
|
236,865
|
||||||
Cisco Systems, Inc. (b)
|
5,236
|
250,385
|
||||||
Fortinet, Inc. (a)
|
1,728
|
240,538
|
||||||
HP, Inc.
|
15,641
|
236,805
|
||||||
Intel Corp.
|
3,494
|
219,877
|
||||||
NVIDIA Corp.
|
641
|
227,568
|
||||||
QUALCOMM, Inc.
|
2,785
|
225,251
|
||||||
1,973,642
|
||||||||
Construction of Buildings 0.80%
|
||||||||
Lennar Corp. – Class A
|
4,025
|
243,352
|
||||||
Credit Intermediation and Related Activities 6.02%
|
||||||||
Bank of America Corp.
|
9,237
|
222,796
|
||||||
Citigroup, Inc.
|
4,962
|
237,730
|
||||||
JPMorgan Chase & Co.
|
2,318
|
225,565
|
||||||
KeyCorp
|
19,461
|
230,613
|
||||||
M&T Bank Corp.
|
2,157
|
227,909
|
||||||
PNC Financial Services Group, Inc.
|
2,030
|
231,501
|
||||||
Regions Financial Corp.
|
20,459
|
231,391
|
||||||
Wells Fargo & Co.
|
8,504
|
225,101
|
||||||
1,832,606
|
||||||||
Electrical Equipment, Appliance,
|
||||||||
and Component Manufacturing 1.52%
|
||||||||
Rockwell Automation, Inc.
|
1,122
|
242,531
|
||||||
Synaptics, Inc. (a)
|
3,461
|
220,535
|
||||||
463,066
|
||||||||
Electronics and Appliance Stores 0.61%
|
||||||||
Best Buy Company, Inc.
|
2,383
|
186,088
|
||||||
Fabricated Metal Product Manufacturing 2.42%
|
||||||||
Crown Holdings, Inc. (a)
|
3,856
|
252,298
|
||||||
Emerson Electric Co.
|
3,980
|
242,860
|
||||||
Silgan Holdings, Inc.
|
7,197
|
240,668
|
||||||
735,826
|
||||||||
Food and Beverage Stores 0.45%
|
||||||||
Kroger Co.
|
4,182
|
136,417
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Food Manufacturing 1.53%
|
||||||||
Ingredion, Inc.
|
2,770
|
$
|
233,317
|
|||||
Kellogg Co.
|
3,558
|
232,373
|
||||||
465,690
|
||||||||
Food Services and Drinking Places 2.16%
|
||||||||
Domino’s Pizza, Inc.
|
595
|
229,575
|
||||||
McDonald’s Corp.
|
1,112
|
207,188
|
||||||
Papa John’s International, Inc.
|
2,825
|
220,039
|
||||||
656,802
|
||||||||
General Merchandise Stores 1.03%
|
||||||||
Target Corp.
|
1,538
|
188,144
|
||||||
Wal-Mart, Inc.
|
1,007
|
124,928
|
||||||
313,072
|
||||||||
Health and Personal Care Stores 0.80%
|
||||||||
CVS Health Corp.
|
3,725
|
244,248
|
||||||
Insurance Carriers and Related Activities 5.19%
|
||||||||
Allstate Corp.
|
2,169
|
212,150
|
||||||
Humana, Inc.
|
614
|
252,138
|
||||||
MetLife, Inc.
|
5,995
|
215,880
|
||||||
National General Holdings Corp.
|
10,794
|
219,118
|
||||||
Old Republican International Corp.
|
13,791
|
215,002
|
||||||
Prudential Financial, Inc.
|
3,534
|
215,433
|
||||||
UnitedHealth Group, Inc.
|
816
|
248,758
|
||||||
1,578,479
|
||||||||
Machinery Manufacturing 2.40%
|
||||||||
Caterpillar, Inc.
|
2,083
|
250,231
|
||||||
Illinois Tool Works, Inc.
|
1,373
|
236,788
|
||||||
iRobot Corp. (a)
|
3,297
|
243,055
|
||||||
730,074
|
||||||||
Merchant Wholesalers, Durable Goods 1.54%
|
||||||||
Arrow Electronics, Inc. (a)
|
3,461
|
239,086
|
||||||
Avnet, Inc.
|
8,406
|
228,979
|
||||||
468,065
|
||||||||
Merchant Wholesalers, Nondurable Goods 3.13%
|
||||||||
AmerisourceBergen Corp.
|
2,590
|
246,931
|
||||||
Cardinal Health, Inc.
|
4,560
|
249,386
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Merchant Wholesalers, Nondurable Goods 3.13% (Continued)
|
||||||||
McKesson Corp.
|
1,581
|
$
|
250,857
|
|||||
World Fuel Services Corp.
|
8,110
|
206,643
|
||||||
953,817
|
||||||||
Miscellaneous Manufacturing 1.62%
|
||||||||
3M Co.
|
1,592
|
249,052
|
||||||
Dover Corp.
|
2,491
|
242,250
|
||||||
491,302
|
||||||||
Nonstore Retailers 1.38%
|
||||||||
Amazon.com, Inc. (a)
|
76
|
185,620
|
||||||
WW Grainger, Inc.
|
765
|
236,860
|
||||||
422,480
|
||||||||
Oil and Gas Extraction 0.66%
|
||||||||
Phillips 66
|
2,559
|
200,267
|
||||||
Other Information Services 0.55%
|
||||||||
Facebook, Inc. – Class A (a)
|
743
|
167,242
|
||||||
Paper Manufacturing 2.15%
|
||||||||
Graphic Packaging Holding Co.
|
16,947
|
245,223
|
||||||
International Paper Co.
|
7,017
|
238,929
|
||||||
Kimberly-Clark Corp.
|
1,199
|
169,587
|
||||||
653,739
|
||||||||
Performing Arts, Spectator Sports, and Related Industries 0.52%
|
||||||||
Electronic Arts, Inc. (a)
|
1,294
|
159,007
|
||||||
Petroleum and Coal Products Manufacturing 0.70%
|
||||||||
Valero Energy Corp.
|
3,198
|
213,115
|
||||||
Pipeline Transportation 0.72%
|
||||||||
Williams Cos., Inc.
|
10,714
|
218,887
|
||||||
Plastics and Rubber Products Manufacturing 0.77%
|
||||||||
Newell Brands, Inc.
|
17,884
|
235,175
|
||||||
Primary Metal Manufacturing 0.80%
|
||||||||
Reliance Steel & Aluminum Co.
|
2,521
|
244,537
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Professional, Scientific, and Technical Services 5.34%
|
||||||||
eBay, Inc.
|
4,118
|
$
|
187,534
|
|||||
GoDaddy, Inc. – Class A (a)
|
3,130
|
241,793
|
||||||
H&R Block, Inc.
|
12,155
|
206,635
|
||||||
Syneos Health, Inc. (a)
|
3,974
|
242,374
|
||||||
Teledyne Technologies, Inc. (a)
|
657
|
245,797
|
||||||
Virtu Financial, Inc. – Class A
|
10,054
|
239,788
|
||||||
VMware, Inc. – Class A (a)(b)
|
1,684
|
263,158
|
||||||
1,627,079
|
||||||||
Publishing Industries (except Internet) 7.47%
|
||||||||
Activision Blizzard, Inc.
|
2,354
|
169,441
|
||||||
Adobe Systems, Inc. (a)
|
615
|
237,759
|
||||||
Autodesk, Inc. (a)
|
1,124
|
236,467
|
||||||
Cadence Design Systems, Inc. (a)
|
2,678
|
244,475
|
||||||
Citrix Systems, Inc.
|
1,608
|
238,177
|
||||||
Microsoft Corp. (b)
|
1,244
|
227,963
|
||||||
NortonLifeLock, Inc.
|
11,203
|
255,203
|
||||||
Oracle Corp.
|
4,341
|
233,416
|
||||||
SPS Commerce, Inc. (a)
|
3,482
|
237,333
|
||||||
Zynga, Inc. – Class A (a)
|
20,997
|
192,123
|
||||||
2,272,357
|
||||||||
Real Estate 1.46%
|
||||||||
CBRE Group, Inc. – Class A (a)
|
5,092
|
223,947
|
||||||
Jones Lang LaSalle, Inc.
|
2,156
|
220,774
|
||||||
444,721
|
||||||||
Securities, Commodity Contracts, and Other Financial
|
||||||||
Investments and Related Activities 3.92%
|
||||||||
Affiliated Managers Group, Inc.
|
3,358
|
223,710
|
||||||
Gilead Sciences, Inc.
|
3,225
|
251,002
|
||||||
MarketAxess Holdings, Inc.
|
481
|
244,632
|
||||||
Morgan Stanley
|
5,242
|
231,696
|
||||||
S&P Global, Inc.
|
751
|
244,090
|
||||||
1,195,130
|
||||||||
Specialty Trade Contractors 1.56%
|
||||||||
EMCOR Group, Inc.
|
3,635
|
231,004
|
||||||
Quanta Services, Inc.
|
6,634
|
244,993
|
||||||
475,997
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Support Activities for Agriculture and Forestry 0.82%
|
||||||||
Corteva, Inc.
|
9,124
|
$
|
249,176
|
|||||
Support Activities for Transportation 1.18%
|
||||||||
CH Robinson Worldwide, Inc.
|
2,278
|
184,814
|
||||||
Hub Group, Inc. – Class A (a)
|
3,726
|
174,265
|
||||||
359,079
|
||||||||
Telecommunications 0.78%
|
||||||||
AT&T, Inc.
|
7,725
|
238,394
|
||||||
Textile Product Mills 0.78%
|
||||||||
Tempur Sealy International, Inc. (a)
|
3,657
|
238,546
|
||||||
Transportation Equipment Manufacturing 2.00%
|
||||||||
Lockheed Martin Corp.
|
610
|
236,948
|
||||||
Tesla, Inc. (a)
|
226
|
188,710
|
||||||
Winnebago Industries, Inc.
|
3,356
|
182,566
|
||||||
608,224
|
||||||||
Truck Transportation 1.20%
|
||||||||
Landstar System, Inc.
|
1,579
|
183,575
|
||||||
Werner Enterprises, Inc.
|
3,952
|
182,661
|
||||||
366,236
|
||||||||
Utilities 3.99%
|
||||||||
AES Corp.
|
18,976
|
237,010
|
||||||
Entergy Corp.
|
2,356
|
239,888
|
||||||
MDU Resources Group, Inc.
|
11,311
|
246,127
|
||||||
NextEra Energy, Inc.
|
966
|
246,871
|
||||||
Southern Co.
|
4,268
|
243,575
|
||||||
1,213,471
|
||||||||
Waste Management and Remediation Services 0.67%
|
||||||||
Waste Management, Inc.
|
1,900
|
202,825
|
||||||
Wood Product Manufacturing 0.81%
|
||||||||
UFP Industries, Inc.
|
5,391
|
246,530
|
||||||
TOTAL COMMON STOCKS (Cost $25,519,692)
|
28,727,801
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
REAL ESTATE INVESTMENT TRUSTS* 5.83%
|
||||||||
Data Processing, Hosting and Related Services 0.74%
|
||||||||
CyrusOne, Inc.
|
3,055
|
$
|
227,109
|
|||||
Forestry and Logging 0.69%
|
||||||||
Weyerhaeuser Co.
|
10,478
|
211,551
|
||||||
Real Estate 2.92%
|
||||||||
EastGroup Properties, Inc.
|
1,878
|
218,318
|
||||||
Equity LifeStyle Properties, Inc.
|
3,594
|
223,905
|
||||||
Equity Residential
|
3,614
|
218,864
|
||||||
First Industrial Realty Trust, Inc.
|
5,901
|
223,529
|
||||||
884,616
|
||||||||
Securities, Commodity Contracts, and Other Financial
|
||||||||
Investments and Related Activities 0.74%
|
||||||||
Americold Realty Trust
|
6,350
|
226,759
|
||||||
Telecommunications 0.74%
|
||||||||
American Tower Corp.
|
870
|
224,608
|
||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $1,680,569)
|
1,774,643
|
|||||||
SHORT-TERM INVESTMENTS 1.22%
|
||||||||
First American Government Obligations Fund –
|
||||||||
Class X, 0.091% (b)(d)
|
372,573
|
372,573
|
||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $372,573)
|
372,573
|
|||||||
Total Investments (Cost $27,572,834) 101.42%
|
30,875,017
|
|||||||
Liabilities in Excess of Other Assets (1.42)%
|
(432,446
|
)
|
||||||
TOTAL NET ASSETS 100.00%
|
$
|
30,442,571
|
*
|
Unless otherwise noted, all or a portion of these securities, totaling $30,820,106, are pledged as collateral for securities sold short.
|
(a)
|
Non-income producing security.
|
(b)
|
This security is not pledged as collateral for securities sold short.
|
(c)
|
Foreign issued security.
|
(d)
|
Seven day yield as of May 31, 2020.
|
Ltd.
|
Limited Liability Company.
|
NV
|
Naamloze vennootschap is a Dutch term for publicly traded companies.
|
Schedule of Securities Sold Short
|
Shares
|
Value
|
|||||||
SECURITIES SOLD SHORT (71.59)%
|
||||||||
COMMON STOCKS (65.00)%
|
||||||||
Accommodation (0.51)%
|
||||||||
Extended Stay America, Inc.
|
(13,513
|
)
|
$
|
(155,400
|
)
|
|||
Administrative and Support Services (0.93)%
|
||||||||
Korn Ferry
|
(4,626
|
)
|
(139,983
|
)
|
||||
US Ecology, Inc.
|
(4,295
|
)
|
(144,613
|
)
|
||||
(284,596
|
)
|
|||||||
Air Transportation (0.43)%
|
||||||||
Allegiant Travel Co.
|
(1,240
|
)
|
(132,122
|
)
|
||||
Ambulatory Health Care Services (1.23)%
|
||||||||
Guardant Health, Inc.
|
(1,629
|
)
|
(147,245
|
)
|
||||
iRhythm Technologies, Inc.
|
(1,144
|
)
|
(142,211
|
)
|
||||
Y-mAbs Therapeutics, Inc.
|
(2,274
|
)
|
(86,821
|
)
|
||||
(376,277
|
)
|
|||||||
Apparel Manufacturing (0.45)%
|
||||||||
Under Armour, Inc. – Class C
|
(17,261
|
)
|
(135,671
|
)
|
||||
Beverage and Tobacco Product Manufacturing (0.45)%
|
||||||||
Keurig Dr Pepper, Inc.
|
(4,906
|
)
|
(136,976
|
)
|
||||
Broadcasting (except Internet) (1.06)%
|
||||||||
Madison Square Garden Co.
|
(476
|
)
|
(81,220
|
)
|
||||
Nexstar Media Group, Inc. – Class A
|
(1,025
|
)
|
(85,393
|
)
|
||||
Roku, Inc.
|
(701
|
)
|
(76,767
|
)
|
||||
Walt Disney Co.
|
(684
|
)
|
(80,233
|
)
|
||||
(323,613
|
)
|
|||||||
Chemical Manufacturing (7.74)%
|
||||||||
Adverum Biotechnologies, Inc.
|
(4,123
|
)
|
(85,057
|
)
|
||||
Albemarle Corp.
|
(1,755
|
)
|
(134,292
|
)
|
||||
Arena Pharmaceuticals, Inc.
|
(1,503
|
)
|
(89,835
|
)
|
||||
Bluebird Bio, Inc.
|
(1,350
|
)
|
(85,901
|
)
|
||||
Blueprint Medicines Corp.
|
(1,251
|
)
|
(81,490
|
)
|
||||
Cabot Microelectronics Corp.
|
(877
|
)
|
(127,042
|
)
|
||||
Chemours Co.
|
(9,796
|
)
|
(128,426
|
)
|
||||
Deciphera Pharmaceuticals, Inc.
|
(1,509
|
)
|
(88,382
|
)
|
||||
Denali Therapeutics, Inc.
|
(3,056
|
)
|
(85,048
|
)
|
||||
DuPont de Nemours, Inc.
|
(2,627
|
)
|
(133,268
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Chemical Manufacturing (7.74)% (Continued)
|
||||||||
Fate Therapeutics, Inc.
|
(2,601
|
)
|
$
|
(84,350
|
)
|
|||
Global Blood Therapeutics, Inc.
|
(1,249
|
)
|
(87,330
|
)
|
||||
Immunomedics, Inc.
|
(2,525
|
)
|
(84,815
|
)
|
||||
Ingevity Corp.
|
(2,455
|
)
|
(129,305
|
)
|
||||
Insmed, Inc.
|
(3,377
|
)
|
(82,027
|
)
|
||||
Iovance Biotherapeutics, Inc.
|
(2,565
|
)
|
(82,311
|
)
|
||||
Linde PLC (a)
|
(688
|
)
|
(139,210
|
)
|
||||
Mirati Therapeutics, Inc.
|
(793
|
)
|
(78,658
|
)
|
||||
Mosaic Co.
|
(10,860
|
)
|
(131,297
|
)
|
||||
MyoKardia, Inc.
|
(812
|
)
|
(83,059
|
)
|
||||
Principia Biopharma, Inc.
|
(1,334
|
)
|
(85,229
|
)
|
||||
Sage Therapeutics, Inc.
|
(2,141
|
)
|
(76,477
|
)
|
||||
Twist Bioscience Corp.
|
(2,339
|
)
|
(88,766
|
)
|
||||
Zogenix, Inc.
|
(2,945
|
)
|
(85,788
|
)
|
||||
(2,357,363
|
)
|
|||||||
Clothing and Clothing Accessories Stores (1.23)%
|
||||||||
Foot Locker, Inc.
|
(4,463
|
)
|
(123,625
|
)
|
||||
L Brands, Inc.
|
(8,071
|
)
|
(130,670
|
)
|
||||
Gap, Inc.
|
(13,260
|
)
|
(118,014
|
)
|
||||
(372,309
|
)
|
|||||||
Computer and Electronic Product Manufacturing (3.08)%
|
||||||||
Advanced Energy Industries, Inc.
|
(1,957
|
)
|
(130,786
|
)
|
||||
Coherent, Inc.
|
(974
|
)
|
(141,435
|
)
|
||||
Cree, Inc.
|
(2,365
|
)
|
(124,612
|
)
|
||||
Cubic Corp.
|
(3,377
|
)
|
(139,166
|
)
|
||||
L3Harris Technologies, Inc.
|
(712
|
)
|
(142,009
|
)
|
||||
Onto Innovation, Inc.
|
(3,966
|
)
|
(123,263
|
)
|
||||
ViaSat, Inc.
|
(3,285
|
)
|
(137,970
|
)
|
||||
(939,241
|
)
|
|||||||
Construction of Buildings (0.92)%
|
||||||||
Taylor Morrison Home Corp.
|
(7,232
|
)
|
(139,795
|
)
|
||||
Toll Brothers, Inc.
|
(4,347
|
)
|
(140,451
|
)
|
||||
(280,246
|
)
|
|||||||
Credit Intermediation and Related Activities (5.19)%
|
||||||||
Ally Financial, Inc.
|
(7,834
|
)
|
(136,624
|
)
|
||||
Ameris Bancorp
|
(4,981
|
)
|
(120,690
|
)
|
||||
Atlantic Union Bankshares Corp.
|
(5,084
|
)
|
(117,695
|
)
|
||||
CIT Group, Inc.
|
(6,422
|
)
|
(116,495
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Credit Intermediation and Related Activities (5.19)% (Continued)
|
||||||||
First Financial Bancorp
|
(8,792
|
)
|
$
|
(116,846
|
)
|
|||
Hancock Whitney Corp.
|
(5,464
|
)
|
(118,132
|
)
|
||||
Independent Bank Group, Inc.
|
(3,309
|
)
|
(125,344
|
)
|
||||
Santander Consumer USA Holdings, Inc.
|
(8,328
|
)
|
(137,662
|
)
|
||||
Sterling Bancorp
|
(9,606
|
)
|
(118,154
|
)
|
||||
Synovus Financial Corp.
|
(6,126
|
)
|
(117,558
|
)
|
||||
TCF Financial Corp.
|
(4,070
|
)
|
(117,704
|
)
|
||||
Wintrust Financial Corp.
|
(2,761
|
)
|
(116,956
|
)
|
||||
WSFS Financial Corp.
|
(4,320
|
)
|
(119,534
|
)
|
||||
(1,579,394
|
)
|
|||||||
Data Processing, Hosting and Related Services (0.98)%
|
||||||||
Upwork, Inc.
|
(12,177
|
)
|
(151,482
|
)
|
||||
Yext, Inc.
|
(9,394
|
)
|
(148,331
|
)
|
||||
(299,813
|
)
|
|||||||
Electrical Equipment, Appliance,
|
||||||||
and Component Manufacturing (1.31)%
|
||||||||
Energizer Holdings, Inc.
|
(2,829
|
)
|
(124,137
|
)
|
||||
GrafTech International Ltd.
|
(19,796
|
)
|
(135,404
|
)
|
||||
Woodward, Inc.
|
(2,021
|
)
|
(138,600
|
)
|
||||
(398,141
|
)
|
|||||||
Fabricated Metal Product Manufacturing (0.91)%
|
||||||||
Hillenbrand, Inc.
|
(5,347
|
)
|
(137,632
|
)
|
||||
Proto Labs, Inc.
|
(1,110
|
)
|
(140,249
|
)
|
||||
(277,881
|
)
|
|||||||
Food and Beverage Stores (0.46)%
|
||||||||
GrubHub, Inc.
|
(2,487
|
)
|
(141,112
|
)
|
||||
Food Manufacturing (1.37)%
|
||||||||
Beyond Meat, Inc.
|
(1,112
|
)
|
(142,658
|
)
|
||||
Freshpet, Inc.
|
(1,757
|
)
|
(135,605
|
)
|
||||
Simply Good Foods Co.
|
(7,968
|
)
|
(135,695
|
)
|
||||
(413,958
|
)
|
|||||||
Food Services and Drinking Places (1.32)%
|
||||||||
Casey’s General Stores, Inc.
|
(601
|
)
|
(95,998
|
)
|
||||
Darden Restaurants, Inc.
|
(1,947
|
)
|
(149,646
|
)
|
||||
Shake Shack, Inc. – Class A
|
(2,787
|
)
|
(154,818
|
)
|
||||
(400,462
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
General Merchandise Stores (0.84)%
|
||||||||
Five Below, Inc.
|
(1,262
|
)
|
$
|
(132,068
|
)
|
|||
Kohl’s Corp.
|
(6,531
|
)
|
(125,526
|
)
|
||||
(257,594
|
)
|
|||||||
Health and Personal Care Stores (0.47)%
|
||||||||
Covetrus, Inc.
|
(9,291
|
)
|
(141,967
|
)
|
||||
Insurance Carriers and Related Activities (2.13)%
|
||||||||
American International Group, Inc.
|
(4,222
|
)
|
(126,913
|
)
|
||||
Athene Holding, Ltd. – Class A (a)
|
(4,475
|
)
|
(129,283
|
)
|
||||
eHealth, Inc.
|
(1,028
|
)
|
(134,072
|
)
|
||||
Lincoln National Corp.
|
(3,343
|
)
|
(126,800
|
)
|
||||
White Mountains Insurance Group Ltd. (a)
|
(143
|
)
|
(130,925
|
)
|
||||
(647,993
|
)
|
|||||||
Machinery Manufacturing (1.82)%
|
||||||||
Altra Industrial Motion Corp.
|
(4,530
|
)
|
(140,430
|
)
|
||||
Chart Industries, Inc.
|
(3,421
|
)
|
(134,274
|
)
|
||||
Glaukos Corp.
|
(3,566
|
)
|
(139,003
|
)
|
||||
II-VI, Inc.
|
(2,990
|
)
|
(142,114
|
)
|
||||
(555,821
|
)
|
|||||||
Merchant Wholesalers, Durable Goods (1.41)%
|
||||||||
IAA, Inc.
|
(3,601
|
)
|
(147,641
|
)
|
||||
InterDigital, Inc.
|
(2,510
|
)
|
(137,975
|
)
|
||||
Sunrun, Inc.
|
(8,725
|
)
|
(145,708
|
)
|
||||
(431,324
|
)
|
|||||||
Merchant Wholesalers, Nondurable Goods (2.20)%
|
||||||||
Allakos, Inc.
|
(1,207
|
)
|
(78,455
|
)
|
||||
Arrowhead Pharmaceuticals, Inc.
|
(2,532
|
)
|
(81,632
|
)
|
||||
Capri Holdings Ltd. (a)
|
(8,562
|
)
|
(128,772
|
)
|
||||
Nu Skin Enterprises, Inc. – Class A
|
(3,369
|
)
|
(125,259
|
)
|
||||
Performance Food Group Co.
|
(3,617
|
)
|
(96,393
|
)
|
||||
Wingstop, Inc.
|
(1,300
|
)
|
(158,535
|
)
|
||||
(669,046
|
)
|
|||||||
Mining (except Oil and Gas) (0.47)%
|
||||||||
Coeur Mining, Inc.
|
(24,808
|
)
|
(142,646
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Miscellaneous Manufacturing (2.34)%
|
||||||||
Cantel Medical Corp.
|
(3,334
|
)
|
$
|
(140,295
|
)
|
|||
Cardiovascular Systems, Inc.
|
(3,642
|
)
|
(141,018
|
)
|
||||
Inspire Medical Systems, Inc.
|
(1,796
|
)
|
(146,446
|
)
|
||||
Mattel, Inc.
|
(14,824
|
)
|
(136,529
|
)
|
||||
Shockwave Medical, Inc.
|
(3,358
|
)
|
(147,786
|
)
|
||||
(712,074
|
)
|
|||||||
Motion Picture and Sound Recording Industries (0.53)%
|
||||||||
Cinemark Holdings, Inc.
|
(5,195
|
)
|
(78,081
|
)
|
||||
World Wrestling Entertainment, Inc. – Class A
|
(1,793
|
)
|
(82,962
|
)
|
||||
(161,043
|
)
|
|||||||
Motor Vehicle and Parts Dealers (0.26)%
|
||||||||
Cargurus, Inc.
|
(3,084
|
)
|
(80,122
|
)
|
||||
Nursing and Residential Care Facilities (0.46)%
|
||||||||
Ensign Group, Inc.
|
(3,191
|
)
|
(139,511
|
)
|
||||
Oil and Gas Extraction (0.94)%
|
||||||||
Occidental Petroleum Corp.
|
(10,971
|
)
|
(142,074
|
)
|
||||
WPX Energy, Inc.
|
(25,624
|
)
|
(145,289
|
)
|
||||
(287,363
|
)
|
|||||||
Other Information Services (1.01)%
|
||||||||
Chegg, Inc.
|
(2,559
|
)
|
(156,304
|
)
|
||||
LiveRamp Holdings, Inc.
|
(2,998
|
)
|
(151,189
|
)
|
||||
(307,493
|
)
|
|||||||
Performing Arts, Spectator Sports, and Related Industries (0.26)%
|
||||||||
Live Nation Entertainment, Inc.
|
(1,585
|
)
|
(77,919
|
)
|
||||
Primary Metal Manufacturing (0.91)%
|
||||||||
Alcoa Corp.
|
(14,053
|
)
|
(129,428
|
)
|
||||
Viavi Solutions, Inc.
|
(12,494
|
)
|
(144,805
|
)
|
||||
(274,233
|
)
|
|||||||
Professional, Scientific, and Technical Services (2.76)%
|
||||||||
Alector, Inc.
|
(2,663
|
)
|
(87,080
|
)
|
||||
Biohaven Pharmaceutical Holding Co. Ltd. (a)
|
(1,450
|
)
|
(90,581
|
)
|
||||
Elastic NV (a)
|
(1,761
|
)
|
(151,305
|
)
|
||||
Epizyme, Inc.
|
(4,507
|
)
|
(79,098
|
)
|
||||
Fluor Corp.
|
(12,093
|
)
|
(140,400
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Professional, Scientific, and Technical Services (2.76)% (Continued)
|
||||||||
LivePerson, Inc.
|
(3,970
|
)
|
$
|
(148,677
|
)
|
|||
Pluralsight, Inc. – Class A
|
(6,894
|
)
|
(143,602
|
)
|
||||
(840,743
|
)
|
|||||||
Publishing Industries (except Internet) (3.88)%
|
||||||||
Appfolio, Inc. – Class A
|
(936
|
)
|
(148,365
|
)
|
||||
Medallia, Inc.
|
(5,206
|
)
|
(147,226
|
)
|
||||
MongoDB, Inc.
|
(667
|
)
|
(154,817
|
)
|
||||
PROS Holdings, Inc.
|
(3,772
|
)
|
(146,919
|
)
|
||||
Q2 Holdings, Inc.
|
(1,739
|
)
|
(143,676
|
)
|
||||
Splunk, Inc.
|
(800
|
)
|
(148,672
|
)
|
||||
Varonis Systems, Inc.
|
(1,720
|
)
|
(145,151
|
)
|
||||
Workday, Inc. – Class A
|
(788
|
)
|
(144,543
|
)
|
||||
(1,179,369
|
)
|
|||||||
Real Estate (0.44)%
|
||||||||
Howard Hughes Corp.
|
(2,658
|
)
|
(134,628
|
)
|
||||
Religious, Grantmaking, Civic, Professional,
|
||||||||
and Similar Organizations (0.47)%
|
||||||||
HealthEquity, Inc.
|
(2,325
|
)
|
(144,080
|
)
|
||||
Rental and Leasing Services (0.88)%
|
||||||||
Air Lease Corp.
|
(4,613
|
)
|
(138,897
|
)
|
||||
AMERCO
|
(398
|
)
|
(128,355
|
)
|
||||
(267,252
|
)
|
|||||||
Securities, Commodity Contracts, and Other Financial
|
||||||||
Investments and Related Activities (1.82)%
|
||||||||
Ares Management Corp. – Class A
|
(3,959
|
)
|
(149,491
|
)
|
||||
Brighthouse Financial, Inc.
|
(4,263
|
)
|
(126,654
|
)
|
||||
CommScope Holding Company, Inc.
|
(13,544
|
)
|
(139,639
|
)
|
||||
WillScot Corp.
|
(10,316
|
)
|
(137,615
|
)
|
||||
(553,399
|
)
|
|||||||
Support Activities for Mining (0.93)%
|
||||||||
Diamondback Energy, Inc.
|
(3,398
|
)
|
(144,687
|
)
|
||||
Noble Energy, Inc.
|
(15,928
|
)
|
(139,051
|
)
|
||||
(283,738
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Telecommunications (1.32)%
|
||||||||
GCI Liberty, Inc. – Class A
|
(1,262
|
)
|
$
|
(87,317
|
)
|
|||
Twilio, Inc. – Class A
|
(758
|
)
|
(149,781
|
)
|
||||
ViacomCBS, Inc. – Class B
|
(3,749
|
)
|
(77,754
|
)
|
||||
Vonage Holdings Corp.
|
(9,031
|
)
|
(86,969
|
)
|
||||
(401,821
|
)
|
|||||||
Transit and Ground Passenger Transportation (0.89)%
|
||||||||
Lyft, Inc. – Class A
|
(4,193
|
)
|
(131,073
|
)
|
||||
Uber Technologies, Inc.
|
(3,848
|
)
|
(139,760
|
)
|
||||
(270,833
|
)
|
|||||||
Transportation Equipment Manufacturing (2.24)%
|
||||||||
Boeing Co.
|
(935
|
)
|
(136,370
|
)
|
||||
Ford Motor Co.
|
(22,461
|
)
|
(128,252
|
)
|
||||
Fox Factory Holding Corp.
|
(1,931
|
)
|
(139,244
|
)
|
||||
TransDigm Group, Inc.
|
(325
|
)
|
(138,066
|
)
|
||||
Westinghouse Air Brake Technologies Corp.
|
(2,280
|
)
|
(139,240
|
)
|
||||
(681,172
|
)
|
|||||||
Utilities (3.31)%
|
||||||||
ALLETE, Inc.
|
(2,541
|
)
|
(149,233
|
)
|
||||
Edison International
|
(2,512
|
)
|
(145,972
|
)
|
||||
Essential Utilities, Inc.
|
(3,398
|
)
|
(148,696
|
)
|
||||
Evergy, Inc.
|
(2,343
|
)
|
(144,540
|
)
|
||||
First Solar, Inc.
|
(2,746
|
)
|
(128,019
|
)
|
||||
New Jersey Resources Corp.
|
(4,134
|
)
|
(145,186
|
)
|
||||
South Jersey Industries, Inc.
|
(5,139
|
)
|
(145,742
|
)
|
||||
(1,007,388
|
)
|
|||||||
Waste Management and Remediation Services (0.44)%
|
||||||||
Darling Ingredients, Inc.
|
(5,730
|
)
|
(133,566
|
)
|
||||
TOTAL COMMON STOCKS (Proceeds $20,429,509)
|
(19,788,713
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
REAL ESTATE INVESTMENT TRUSTS (6.59)%
|
||||||||
Accommodation (0.43)%
|
||||||||
Park Hotels & Resorts, Inc.
|
(13,162
|
)
|
$
|
(129,382
|
)
|
|||
Real Estate (6.16)%
|
||||||||
AGNC Investment Corp.
|
(10,986
|
)
|
(142,159
|
)
|
||||
Apple Hospitality REIT, Inc.
|
(12,998
|
)
|
(132,710
|
)
|
||||
Blackstone Mortgage Trust, Inc. – Class A
|
(5,857
|
)
|
(138,167
|
)
|
||||
Brixmor Property Group, Inc.
|
(11,503
|
)
|
(128,373
|
)
|
||||
Chimera Investment Corp.
|
(16,898
|
)
|
(140,422
|
)
|
||||
EPR Properties
|
(4,094
|
)
|
(129,248
|
)
|
||||
Essential Properties Realty Trust, Inc.
|
(10,048
|
)
|
(137,054
|
)
|
||||
Mack-Cali Realty Corp.
|
(8,613
|
)
|
(131,004
|
)
|
||||
Ryman Hospitality Properties, Inc.
|
(3,857
|
)
|
(131,832
|
)
|
||||
Simon Property Group, Inc.
|
(2,260
|
)
|
(130,402
|
)
|
||||
Two Harbors Investment Corp.
|
(30,326
|
)
|
(137,074
|
)
|
||||
UDR, Inc.
|
(3,512
|
)
|
(129,874
|
)
|
||||
VEREIT, Inc.
|
(24,245
|
)
|
(132,863
|
)
|
||||
Welltower, Inc.
|
(2,630
|
)
|
(133,262
|
)
|
||||
(1,874,444
|
)
|
|||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS
|
||||||||
(Proceeds $2,101,061)
|
(2,003,826
|
)
|
||||||
Total Securities Sold Short (Proceeds $22,530,570)
|
$
|
(21,792,539
|
)
|
(a)
|
Foreign issued security.
|
Ltd.
|
Limited Liability Company.
|
NV
|
Naamloze vennootschap is a Dutch term for publicly traded companies.
|
PLC
|
Public Limited Company.
|
Statements of Assets and Liabilities
|
Long/Short
|
Market
|
|||||||
Equity Fund
|
Neutral Fund
|
|||||||
Assets
|
||||||||
Investments, at value (cost $33,877,019 and
|
||||||||
$27,572,834, respectively)
|
$
|
39,560,354
|
$
|
30,875,017
|
||||
Receivable for investments sold
|
7,263,162
|
8,902,929
|
||||||
Deposit for short sales at broker
|
9,524,355
|
21,096,899
|
||||||
Dividends and interest receivable
|
61,043
|
59,912
|
||||||
Other assets
|
13,726
|
15,691
|
||||||
Total Assets
|
56,422,640
|
60,950,448
|
||||||
Liabilities
|
||||||||
Securities sold short, at value (proceeds $17,473,745
|
||||||||
and $22,530,570, respectively)
|
17,170,169
|
21,792,539
|
||||||
Payable for Fund shares redeemed
|
50,501
|
128,509
|
||||||
Payable for investments purchased
|
6,994,486
|
8,503,100
|
||||||
Dividends payable on short positions
|
17,842
|
29,615
|
||||||
Payable to broker for interest expense
|
4,332
|
3,761
|
||||||
Payable to Adviser
|
22,385
|
20,169
|
||||||
Payable to affiliates
|
28,393
|
17,583
|
||||||
Accrued expenses and other liabilities
|
19,975
|
12,601
|
||||||
Total Liabilities
|
24,308,083
|
30,507,877
|
||||||
Net Assets
|
$
|
32,114,557
|
$
|
30,442,571
|
||||
Net Assets Consist Of:
|
||||||||
Paid-in capital
|
24,862,942
|
36,510,695
|
||||||
Total Distributable Earnings
|
7,251,615
|
(6,068,124
|
)
|
|||||
Net Assets
|
$
|
32,114,557
|
$
|
30,442,571
|
||||
Institutional Class Shares
|
||||||||
Net Assets
|
$
|
32,114,557
|
$
|
30,442,571
|
||||
Shares of beneficial interest outstanding (unlimited
|
||||||||
number of shares authorized, $0.001 par value)
|
2,408,322
|
3,130,708
|
||||||
Net asset value, redemption price and
|
||||||||
offering price per share
|
$
|
13.33
|
$
|
9.72
|
Statements of Operations
|
Long/Short
|
Market
|
|||||||
Equity Fund
|
Neutral Fund
|
|||||||
Investment Income
|
||||||||
Dividend income
|
$
|
610,823
|
$
|
535,352
|
||||
Interest income
|
1,464
|
74,038
|
||||||
Total Investment Income
|
612,287
|
609,390
|
||||||
Expenses
|
||||||||
Management fees
|
234,248
|
237,908
|
||||||
Dividends on short positions
|
135,787
|
296,475
|
||||||
Interest and broker expenses
|
81,593
|
—
|
||||||
Administration fees
|
41,890
|
38,969
|
||||||
Transfer agent fees and expenses
|
22,010
|
18,280
|
||||||
Federal and state registration fees
|
11,969
|
11,782
|
||||||
Legal fees
|
10,172
|
8,636
|
||||||
Audit and tax fees
|
9,702
|
9,702
|
||||||
Custody fees
|
7,316
|
8,350
|
||||||
Chief Compliance Officer fees
|
6,892
|
6,892
|
||||||
Trustees’ fees
|
5,700
|
5,700
|
||||||
Reports to shareholders
|
5,272
|
3,456
|
||||||
Fund accounting fees
|
5,047
|
5,050
|
||||||
Insurance fees
|
1,284
|
1,284
|
||||||
Other expenses
|
2,814
|
3,092
|
||||||
Total Expenses
|
581,696
|
655,576
|
||||||
Expense reimbursement due from Adviser (Note 4)
|
(14,771
|
)
|
(1,680
|
)
|
||||
Net Expenses
|
566,925
|
653,896
|
||||||
Net Investment Income
|
45,362
|
(44,506
|
)
|
|||||
Realized and Unrealized Gain (Loss) on Investments
|
||||||||
Net realized gain (loss) from:
|
||||||||
Investments
|
1,647,388
|
(4,684,364
|
)
|
|||||
Short transactions
|
(26,394
|
)
|
1,614,636
|
|||||
Change in net unrealized appreciation (depreciation) on:
|
||||||||
Investments
|
(8,216,565
|
)
|
(3,679,077
|
)
|
||||
Short transactions
|
126,462
|
1,262,656
|
||||||
Realized and Unrealized Loss on Investments
|
(6,469,109
|
)
|
(5,486,149
|
)
|
||||
Net Decrease in Net Assets from Operations
|
$
|
(6,423,747
|
)
|
$
|
(5,530,655
|
)
|
Statements of Changes in Net Assets
|
Six Months Ended
|
Year Ended
|
|||||||
May 31, 2020
|
November 30,
|
|||||||
(Unaudited)
|
2019
|
|||||||
From Operations
|
||||||||
Net investment income
|
$
|
45,362
|
$
|
700,498
|
||||
Net realized gain (loss) from:
|
||||||||
Investments
|
1,647,388
|
17,836,254
|
||||||
Short transactions
|
(26,394
|
)
|
5,477,679
|
|||||
Change in net unrealized
|
||||||||
appreciation (depreciation) on:
|
||||||||
Investments
|
(8,216,565
|
)
|
(11,657,784
|
)
|
||||
Short transactions
|
126,462
|
(10,267,477
|
)
|
|||||
Net increase (decrease) in
|
||||||||
net assets from operations
|
(6,423,747
|
)
|
2,089,170
|
|||||
From Distributions
|
||||||||
Net dividend and distributions
|
(15,480,309
|
)
|
(4,715,158
|
)
|
||||
Net decrease in net assets resulting
|
||||||||
from distributions paid
|
(15,480,309
|
)
|
(4,715,158
|
)
|
||||
From Capital Share Transactions
|
||||||||
Proceeds from shares sold – Institutional Class
|
630,556
|
10,685,731
|
||||||
Net asset value of shares issued in
|
||||||||
reinvestment of distributions to shareholders –
|
||||||||
Institutional Class
|
10,315,411
|
3,301,834
|
||||||
Payments for shares redeemed –
|
||||||||
Institutional Class
|
(24,668,139
|
)
|
(56,482,086
|
)
|
||||
Net decrease in net assets from
|
||||||||
capital share transactions
|
(13,722,172
|
)
|
(42,494,521
|
)
|
||||
Total Decrease In Net Assets
|
(35,626,228
|
)
|
(45,120,509
|
)
|
||||
Net Assets
|
||||||||
Beginning of year
|
67,740,785
|
112,861,294
|
||||||
End of year
|
$
|
32,114,557
|
$
|
67,740,785
|
Statements of Changes in Net Assets
|
Six Months Ended
|
Year Ended
|
|||||||
May 31, 2020
|
November 30,
|
|||||||
(Unaudited)
|
2019
|
|||||||
From Operations
|
||||||||
Net investment gain (loss)
|
$
|
(44,506
|
)
|
$
|
377,030
|
|||
Net realized gain (loss) from:
|
||||||||
Investments
|
(4,684,364
|
)
|
3,160,756
|
|||||
Short transactions
|
1,614,636
|
(4,605,378
|
)
|
|||||
Change in net unrealized
|
||||||||
appreciation (depreciation) on:
|
||||||||
Investments
|
(3,679,077
|
)
|
3,119,443
|
|||||
Short transactions
|
1,262,656
|
(5,373,591
|
)
|
|||||
Net decrease in net assets from operations
|
(5,530,655
|
)
|
(3,321,740
|
)
|
||||
From Distributions
|
||||||||
Net dividend and distributions
|
(393,833
|
)
|
(13,122
|
)
|
||||
Net decrease in net assets resulting
|
||||||||
from distributions paid
|
(393,833
|
)
|
(13,122
|
)
|
||||
From Capital Share Transactions
|
||||||||
Proceeds from shares sold – Institutional Class
|
3,388,726
|
41,273,923
|
||||||
Net asset value of shares issued in
|
||||||||
reinvestment of distributions to shareholders –
|
||||||||
Institutional Class
|
244,416
|
10,484
|
||||||
Payments for shares redeemed –
|
||||||||
Institutional Class
|
(31,195,238
|
)
|
(55,138,079
|
)
|
||||
Net increase in net assets from
|
||||||||
capital share transactions
|
(27,562,096
|
)
|
(13,853,672
|
)
|
||||
Total Decrease In Net Assets
|
(33,486,584
|
)
|
(17,188,534
|
)
|
||||
Net Assets
|
||||||||
Beginning of year
|
63,929,155
|
81,117,689
|
||||||
End of year
|
$
|
30,442,571
|
$
|
63,929,155
|
Statements of Cash Flows
|
Long/Short
|
Market
|
|||||||
Equity Fund
|
Neutral Fund
|
|||||||
CASH FLOWS FROM OPERATING ACTIVITIES:
|
||||||||
Net increase (decrease) in net assets
|
||||||||
resulting from operations
|
$
|
(6,423,747
|
)
|
$
|
(5,530,655
|
)
|
||
Adjustments to reconcile net increase in net assets
|
||||||||
from operations to net cash used in operating activities:
|
||||||||
Purchases of investments
|
(74,569,721
|
)
|
(82,328,504
|
)
|
||||
Purchases of short-term investments, net
|
(254,287
|
)
|
(372,573
|
)
|
||||
Proceeds from sales of long-term investments
|
120,656,224
|
113,913,887
|
||||||
Return of capital distributions received
|
||||||||
from underlying investments
|
(16,448
|
)
|
(42,703
|
)
|
||||
Decrease in dividends and interest receivable
|
104,084
|
58,556
|
||||||
Decrease in deposits at broker for short sales
|
2,206,946
|
27,550,782
|
||||||
Increase in receivable for investment securities sold
|
(7,263,162
|
)
|
(8,902,929
|
)
|
||||
Decrease in receivable from broker
|
—
|
13,757
|
||||||
(Increase) Decrease in other assets
|
2,470
|
(8,772
|
)
|
|||||
Proceeds from securities sold short
|
48,032,576
|
79,736,057
|
||||||
Purchases to cover securities sold short
|
(66,722,995
|
)
|
(110,529,953
|
)
|
||||
Increase in payable for investment securities purchased
|
6,994,486
|
8,503,100
|
||||||
Decrease in dividends payable on short positions
|
(15,561
|
)
|
(30,000
|
)
|
||||
(Increase) Decrease in payable to
|
||||||||
broker for interest expense
|
(1,860
|
)
|
3,761
|
|||||
Decrease in payable to Adviser
|
(33,993
|
)
|
(47,025
|
)
|
||||
Decrease in accrued expenses and other liabilities
|
(12,141
|
)
|
(19,550
|
)
|
||||
Unrealized depreciation on investments
|
8,216,565
|
3,679,077
|
||||||
Unrealized appreciation on short transactions
|
(126,462
|
)
|
(1,262,656
|
)
|
||||
Net realized (gain) loss on investments
|
(1,647,388
|
)
|
4,684,364
|
|||||
Net realized (gain) loss on short transactions
|
26,394
|
(1,614,636
|
)
|
|||||
Net cash provided in operating activities
|
29,151,980
|
27,453,385
|
Statements of Cash Flows (Continued)
|
Long/Short
|
Market
|
|||||||
Equity Fund
|
Neutral Fund
|
|||||||
CASH FLOWS FROM FINANCING ACTIVITIES:
|
||||||||
Proceeds from shares sold
|
$
|
630,556
|
$
|
3,545,963
|
||||
Payment on shares redeemed
|
(24,617,638
|
)
|
(31,160,953
|
)
|
||||
Cash distributions paid to shareholders
|
(5,164,898
|
)
|
(149,417
|
)
|
||||
Net cash used by financing activities
|
(29,151,980
|
)
|
(27,764,407
|
)
|
||||
Net change in cash
|
$
|
—
|
$
|
(311,022
|
)
|
|||
CASH:
|
||||||||
Beginning Balance
|
—
|
311,022
|
||||||
Ending Balance
|
$
|
—
|
$
|
—
|
||||
SUPPLEMENTAL DISCLOSURES:
|
||||||||
Cash paid for interest
|
83,453
|
(3,761
|
)
|
|||||
Non-cash financing activities – distributions reinvested
|
10,315,411
|
244,416
|
||||||
Non-cash financing activities – (increase)/decrease in
|
||||||||
receivable for Fund shares sold
|
—
|
(157,237
|
)
|
|||||
Non-cash financing activities – decrease
|
||||||||
in payable for Fund shares redeemed
|
(50,501
|
)
|
(34,285
|
)
|
Financial Highlights – Institutional Class
|
Six Months Ended
|
||||
May 31, 2020
|
||||
(Unaudited)
|
||||
Net Asset Value, Beginning of Period
|
$
|
19.76
|
||
Income from investment operations:
|
||||
Net investment income(1)
|
0.01
|
|||
Net realized and unrealized gain on investments
|
(1.81
|
)
|
||
Total from investment operations
|
(1.80
|
)
|
||
Less distributions paid:
|
||||
From net investment income
|
(0.13
|
)
|
||
From net realized gains
|
(4.50
|
)
|
||
Total distributions paid
|
(4.63
|
)
|
||
Net Asset Value, End of Period
|
$
|
13.33
|
||
Total Return(2)(4)
|
-12.22
|
%
|
||
Supplemental Data and Ratios:
|
||||
Net assets at end of period (000’s)
|
$
|
32,115
|
||
Ratio of expenses to average net assets:
|
||||
Before waiver, expense reimbursement and recoupments(3)(5)
|
2.48
|
%
|
||
After waiver, expense reimbursement and recoupments(3)(5)
|
2.42
|
%
|
||
Ratio of net investment income to average net assets:
|
||||
Before waiver, expense reimbursement and recoupments(5)
|
0.13
|
%
|
||
After waiver, expense reimbursement and recoupments(5)
|
0.19
|
%
|
||
Portfolio turnover rate(4)
|
120.00
|
%
|
(1)
|
Per share net investment income was calculated using the daily average shares outstanding method.
|
(2)
|
Total return in the table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends.
|
(3)
|
The ratio of expenses to average net assets includes dividends on short positions, interest and broker expenses. The annualized before waiver, expense reimbursement and recoupments and after
waiver, expense reimbursement and recoupments ratios excluding dividends on short positions, interest and broker expenses were 1.56% and 1.50%, 1.32% and 1.32%, 1.27% and 1.27%, 1.28% and 1.28%, 1.31% and 1.31%, 1.26% and 1.26% for the periods
ended May 31, 2020, November 30, 2019, November 30, 2018, November 30, 2017, November 30, 2016, November 30, 2015, respectively.
|
(4)
|
Not annualized for periods less than a full year.
|
(5)
|
Annualized for periods less than a full year.
|
Year Ended November 30,
|
||||||||||||||||||
2019
|
2018
|
2017
|
2016
|
2015
|
||||||||||||||
$
|
19.83
|
$
|
21.03
|
$
|
18.47
|
$
|
18.63
|
$
|
18.11
|
|||||||||
0.14
|
0.01
|
0.04
|
0.11
|
0.04
|
||||||||||||||
0.65
|
1.47
|
3.32
|
0.93
|
0.53
|
||||||||||||||
0.79
|
1.48
|
3.36
|
1.04
|
0.57
|
||||||||||||||
(0.07
|
)
|
(0.04
|
)
|
(0.18
|
)
|
(0.07
|
)
|
(0.05
|
)
|
|||||||||
(0.79
|
)
|
(2.64
|
)
|
(0.62
|
)
|
(1.13
|
)
|
—
|
||||||||||
(0.86
|
)
|
(2.68
|
)
|
(0.80
|
)
|
(1.20
|
)
|
(0.05
|
)
|
|||||||||
$
|
19.76
|
$
|
19.83
|
$
|
21.03
|
$
|
18.47
|
$
|
18.63
|
|||||||||
4.72
|
%
|
7.69
|
%
|
18.81
|
%
|
6.04
|
%
|
3.15
|
%
|
|||||||||
$
|
67,741
|
$
|
112,861
|
$
|
128,565
|
$
|
125,815
|
$
|
225,867
|
|||||||||
2.18
|
%
|
2.20
|
%
|
2.11
|
%
|
2.21
|
%
|
2.24
|
%
|
|||||||||
2.18
|
%
|
2.20
|
%
|
2.11
|
%
|
2.21
|
%
|
2.24
|
%
|
|||||||||
0.76
|
%
|
0.03
|
%
|
0.20
|
%
|
0.65
|
%
|
0.24
|
%
|
|||||||||
0.76
|
%
|
0.03
|
%
|
0.20
|
%
|
0.65
|
%
|
0.24
|
%
|
|||||||||
239.08
|
%
|
193.55
|
%
|
214.61
|
%
|
260.81
|
%
|
251.00
|
%
|
Financial Highlights – Institutional Class
|
Six Months Ended
|
||||
May 31, 2020
|
||||
(Unaudited)
|
||||
Net Asset Value, Beginning of Period
|
$
|
10.93
|
||
Income from investment operations:
|
||||
Net investment income (loss)(2)
|
(0.01
|
)
|
||
Net realized and unrealized gain (loss) on investments
|
(1.13
|
)
|
||
Total from investment operations
|
(1.14
|
)
|
||
Less distributions paid:
|
||||
From net investment income
|
(0.07
|
)
|
||
From net realized gains
|
—
|
|||
Total distributions paid
|
(0.07
|
)
|
||
Net Asset Value, End of Period
|
$
|
9.72
|
||
Total Return(3)(4)
|
-10.41
|
%
|
||
Supplemental Data and Ratios:
|
||||
Net assets at end of period (000’s)
|
$
|
30,443
|
||
Ratio of expenses to average net assets:
|
||||
Before waiver; expense reimbursement and recoupment(5)(6)
|
2.76
|
%
|
||
After waiver; expense reimbursement and recoupment(5)(6)
|
2.75
|
%
|
||
Ratio of net investment loss to average net assets:
|
||||
Before waiver; expense reimbursement and recoupment(6)
|
(0.19
|
)%
|
||
After waiver; expense reimbursement and recoupment(6)
|
(0.18
|
)%
|
||
Portfolio turnover rate(4)
|
166.36
|
%
|
(1)
|
The Fund commenced operations on January 29, 2016.
|
(2)
|
Per share net investment income was calculated using average shares outstanding.
|
(3)
|
Total return in the table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends.
|
(4)
|
Not annualized for periods less than a full year.
|
(5)
|
The ratio of expenses to average net assets includes dividends on short positions, interest and broker expenses. The annualized before waiver, expense reimbursement and recoupment and after
waiver, expense reimbursement and recoupment ratios excluding dividends on short positions, interest and broker expenses were 1.51% and 1.50%, 1.36% and 1.50%, 1.43% and 1.50%, 1.91% and 1.50%, 2.51% and 1.50% for the periods ended May 31,
2020, November 30, 2019, November 30, 2018, November 30, 2017 and November 30, 2016, respectively.
|
(6)
|
Annualized for periods less than one year.
|
(7)
|
Amount is less than 0.5 cent per share.
|
Year Ended November 30,
|
||||||||||||||
2019
|
2018
|
2017
|
2016(1)
|
|||||||||||
$
|
11.29
|
$
|
10.74
|
$
|
10.30
|
$
|
10.00
|
|||||||
0.06
|
(0.00
|
)(7)
|
(0.06
|
)
|
(0.07
|
)
|
||||||||
(0.42
|
)
|
0.55
|
0.50
|
0.37
|
||||||||||
(0.36
|
)
|
0.55
|
0.44
|
0.30
|
||||||||||
(0.00
|
)(7)
|
—
|
—
|
—
|
||||||||||
—
|
—
|
—
|
—
|
|||||||||||
—
|
—
|
—
|
—
|
|||||||||||
$
|
10.93
|
$
|
11.29
|
$
|
10.74
|
$
|
10.30
|
|||||||
-3.17
|
%
|
5.02
|
%
|
4.37
|
%
|
3.00
|
%
|
|||||||
$
|
63,929
|
$
|
81,118
|
$
|
22,624
|
$
|
16,872
|
|||||||
2.71
|
%
|
2.63
|
%
|
2.88
|
%
|
4.27
|
%
|
|||||||
2.85
|
%
|
2.70
|
%
|
2.47
|
%
|
3.26
|
%
|
|||||||
0.69
|
%
|
0.04
|
%
|
(0.96
|
)%
|
(1.92
|
)%
|
|||||||
0.55
|
%
|
(0.03
|
)%
|
(0.55
|
)%
|
(0.91
|
)%
|
|||||||
289.83
|
%
|
220.15
|
%
|
262.19
|
%
|
218.04
|
%
|
(1)
|
Organization
|
Trust for Professional Managers (the “Trust”) was organized as a Delaware statutory trust under a Declaration of Trust dated May 29, 2001. The Trust is registered under the Investment Company Act
of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Convergence Long/Short Equity Fund (formerly known as the Convergence Core Plus Fund) and Convergence Market Neutral Fund (each, a “Fund” and together the
“Funds”) represent distinct diversified series with their own investment objectives and policies within the Trust. The investment objective of the Convergence Long/Short Equity Fund is long-term capital growth. The investment objective of the
Convergence Market Neutral Fund is positive absolute returns. The Trust may issue an unlimited number of shares of beneficial interest at $0.001 par value. The assets of the Funds are segregated, and a shareholder’s interest is limited to the
Fund in which shares are held. The Convergence Long/Short Equity Fund became effective on December 29, 2009 and commenced operations on December 29, 2009 and January 31, 2013 for the Institutional Class and Investment Class shares,
respectively. Effective February 27, 2017 the Convergence Long/Short Equity Fund ceased offering its Investment Class shares and the remaining Investment Class shares converted to Institutional Class shares on March 27, 2017. Effective
January 25, 2018 the Convergence Long/Short Equity Fund’s Investment Class shares were permanently closed. The Convergence Market Neutral Fund became effective on January 29, 2016 and commenced operations on January 29, 2016 for the
Institutional Class shares. Costs incurred by the Funds in connection with the organization, registration and the initial public offering of shares were paid by Convergence Investment Partners, LLC (the “Adviser”), the Funds’ investment
adviser.
|
|
The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard
Codification Topic 946 “Financial Services–Investment Companies.”
|
|
(2)
|
Significant Accounting Policies
|
The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. These policies are in conformity with generally
accepted accounting principles in the United States of America (“GAAP”).
|
|
(a) Investment Valuation
|
|
Each security owned by the Funds, including long and short positions of common stock and real estate investment trusts, that is listed on a securities exchange, except those listed on the NASDAQ
Stock Market LLC (“NASDAQ”), is valued at its last sale price on that exchange on the date as of which assets are valued. When the security is listed on more than one exchange, the Funds will use the price of the exchange that the Funds
generally consider to be the principal exchange on which the stock is traded.
|
|
Fund securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there has been no sale on
|
such exchange or on NASDAQ on such day, the security shall be valued at, (i) the mean between the most recent quoted bid and asked prices at the close of the exchange on such day or (ii) the last
sales price on the Composite Market for the day such security is being valued. “Composite Market” means a consolidation of the trade information provided by national securities and foreign exchanges and over-the-counter markets, as published by
an approved independent pricing service (“Pricing Service”).
|
|
Debt securities, including short-term debt instruments having a maturity of 60 days or less, are valued at the mean in accordance with prices supplied by a Pricing Service. Pricing Services may
use various valuation methodologies such as the mean between the bid and the asked prices, matrix pricing and other analytical pricing models as well as market transactions and dealer quotations. If a price is not available from a Pricing
Service, the most recent quotation obtained from one or more broker-dealers known to follow the issue will be obtained. Quotations will be valued at the mean between the bid and the offer. In the absence of available quotations, the securities
will be priced at fair value, as described below. Any discount or premium is accreted or amortized using the constant yield method until maturity.
|
|
Redeemable securities issued by open-end, registered investment companies are valued at the net asset value (“NAV”) of such companies for purchase and/or redemption orders placed on that day. If,
on a particular day, a share of an investment company is not listed on NASDAQ, such security’s fair value will be determined as described below. Money market mutual funds are valued at cost. If cost does not represent current market value the
securities will be priced at fair value.
|
|
When market quotations are not readily available, any security or other asset is valued at its fair value as determined under procedures approved by the Trust’s Board of Trustees. These fair
value procedures will also be used to price a security when corporate events, events in the securities market or world events cause the Adviser to believe that a security’s last sale price may not reflect its actual fair market value. The
intended effect of using fair value pricing procedures is to ensure that the Funds are accurately priced.
|
|
FASB Accounting Standards Codification, “Fair Value Measurements and Disclosures” Topic 820 (“ASC 820”), establishes an authoritative definition of fair value and sets out a hierarchy for
measuring fair value. ASC 820 requires an entity to evaluate certain factors to determine whether there has been a significant decrease in volume and level of activity for the security such that recent transactions and quoted prices may not be
determinative of fair value and further analysis and adjustment may be necessary to estimate fair value. ASC 820 also requires enhanced disclosures regarding the inputs and valuation techniques used to measure fair value in those instances as
well as expanded disclosure of valuation levels for each class of investments. These inputs are summarized in the three broad levels listed below:
|
Level 1—
|
Quoted prices in active markets for identical securities.
|
||
Level 2—
|
Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
|
||
Level 3—
|
Significant unobservable inputs (including a Fund’s own assumptions in determining the fair value of investments).
|
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a summary of the inputs used to
value the Funds’ investments carried at fair value as of May 31, 2020:
|
|
Convergence Long/Short Equity Fund
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||||
Assets(1):
|
|||||||||||||||||
Common Stock
|
$
|
38,192,109
|
$
|
—
|
$
|
—
|
$
|
38,192,109
|
|||||||||
Real Estate
|
|||||||||||||||||
Investment Trusts
|
1,100,975
|
—
|
—
|
1,100,975
|
|||||||||||||
Short-Term Investments
|
267,270
|
—
|
—
|
267,270
|
|||||||||||||
Total Assets
|
$
|
39,560,354
|
$
|
—
|
$
|
—
|
$
|
39,560,354
|
|||||||||
Liabilities:
|
|||||||||||||||||
Securities Sold Short
|
|||||||||||||||||
Common Stocks
|
$
|
(16,170,918
|
)
|
$
|
—
|
$
|
—
|
$
|
(16,170,918
|
)
|
|||||||
Real Estate
|
|||||||||||||||||
Investment Trusts
|
(999,251
|
)
|
—
|
—
|
(999,251
|
)
|
|||||||||||
Total Securities Sold Short
|
$
|
(17,170,169
|
)
|
$
|
—
|
$
|
—
|
$
|
(17,170,169
|
)
|
|||||||
Total Liabilities
|
$
|
(17,170,169
|
)
|
$
|
—
|
$
|
—
|
$
|
(17,170,169
|
)
|
|||||||
Convergence Market Neutral Fund
|
|||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||||
Assets(1):
|
|||||||||||||||||
Common Stock
|
$
|
28,727,801
|
$
|
—
|
$
|
—
|
$
|
28,727,801
|
|||||||||
Real Estate
|
|||||||||||||||||
Investment Trusts
|
1,774,643
|
—
|
—
|
1,774,643
|
|||||||||||||
Short-Term Investments
|
372,573
|
—
|
—
|
372,573
|
|||||||||||||
Total Assets
|
$
|
30,875,017
|
$
|
—
|
$
|
—
|
$
|
30,875,017
|
|||||||||
Liabilities:
|
|||||||||||||||||
Securities Sold Short
|
|||||||||||||||||
Common Stocks
|
$
|
(19,788,713
|
)
|
$
|
—
|
$
|
—
|
$
|
(19,788,713
|
)
|
|||||||
Real Estate
|
|||||||||||||||||
Investment Trusts
|
(2,003,826
|
)
|
—
|
—
|
(2,003,826
|
)
|
|||||||||||
Total Securities Sold Short
|
$
|
(21,792,539
|
)
|
$
|
—
|
$
|
—
|
$
|
(21,792,539
|
)
|
|||||||
Total Liabilities
|
$
|
(21,792,539
|
)
|
$
|
—
|
$
|
—
|
$
|
(21,792,539
|
)
|
(1) See the Schedule of Investments for industry classifications.
|
The Funds measure Level 3 activity as of the end of the period. For the six-months ended May 31, 2020, the Funds did not have any significant unobservable inputs (Level 3 securities) used in
determining fair value. Therefore, a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value is not applicable.
|
|
The Funds did not invest in derivative securities or engage in hedging activities during the six-months ended May 31, 2020.
|
|
(b) Short Positions
|
|
The Funds may sell a security they do not own in anticipation of a decline in the fair value of that security. When a 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. A gain, limited to the price at which a fund sold the security short, or a loss, unlimited in size, will be recognized upon the termination of a short sale. For financial
statement purposes, an amount equal to the settlement amount is included in the Statements of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the short
positions. Subsequent fluctuations in the market prices of the securities sold, but not yet purchased, may require purchasing the securities at prices which could differ from the amount reflected in the Statements of Assets and Liabilities.
The Funds are liable for any dividends or interest payable on securities while those securities are in a short position. Such amounts are recorded on the ex-dividend date as a dividend expense, and interest expense is accrued daily. As
collateral for its short positions, the Funds are required under the 1940 Act to maintain segregated assets consisting of cash, cash equivalents or liquid securities. The segregated assets are valued consistent with Note 2a above. The amount of
segregated assets is required to be adjusted daily to the extent additional collateral is required based on the change in fair value of the securities sold short. The Funds’ securities sold short and deposits for short sales are held with one
major securities broker-dealer. The Funds do not require this broker-dealer to maintain collateral in support of the receivable for proceeds on securities sold short.
|
|
(c) Federal Income Taxes
|
|
The Funds comply with the requirements of Subchapter M of the Internal Revenue Code, as amended, necessary to qualify as a regulated investment company and make the requisite distributions of
income and capital gains to their shareholders sufficient to relieve them from all or substantially all federal income taxes. Therefore, no federal income tax provision has been provided.
|
|
As of and during the six-months ended May 31, 2020, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to
unrecognized tax benefits as income tax expense in the Statements of Operations. During the six-months ended May 31, 2020, the Funds did not incur any interest or penalties.
|
|
(d) Distributions to Shareholders
|
|
The Funds will distribute any net investment income and any net capital gains at least annually. Distributions from net realized gains for book purposes may include short-term capital gains. All
short-term capital gains are included in ordinary income for tax
|
purposes. Distributions to shareholders are recorded on the ex-dividend date. The Funds may also pay a special distribution at the end of the calendar year to comply with federal tax requirements.
|
|
(e) Use of Estimates
|
|
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
|
|
(f) Share Valuation
|
|
The NAV per share of each Fund is calculated by dividing the sum of the fair value of the securities held by the Fund, plus cash or other assets, minus all liabilities (including estimated accrued
expenses) by the total number of shares outstanding for the Fund, rounded to the nearest cent. The Funds’ shares will not be priced on the days on which the New York Stock Exchange is closed for trading. The Funds do not charge a redemption
fee, and therefore the offering and redemption price per share are equal to a Fund’s NAV per share.
|
|
(g) Allocation of Income, Expenses and Gains/Losses
|
|
Expenses associated with a specific fund in the Trust are charged to that Fund. Common Trust expenses are typically allocated evenly between the funds of the Trust, or by other equitable means.
|
|
(h) Other
|
|
Investment transactions are recorded on the trade date. The Funds determine the gain or loss from investment transactions on the identified cost basis by comparing original cost of the security
lot sold with the net sale proceeds. Dividend income and expense is recognized on the ex-dividend date and interest income and expense is recognized on an accrual basis. Dividend income from real estate investment trusts (“REITs”) is recognized
on the ex-date and included in dividend income. The calendar year-end classification of distributions received from REITs during the fiscal year are reported subsequent to year end; accordingly, the Funds estimate the character of REIT
distributions based on the most recent information available and adjust for actual classifications in the calendar year the information is reported.
|
|
Withholding taxes on foreign dividends, net of any reclaims, have been provided for in accordance with the Funds’ understanding of the applicable country’s tax rules and rates.
|
|
(3)
|
Federal Tax Matters
|
The tax character of distributions paid during the fiscal years ended November 30, 2019 and November 30, 2018 was as follows:
|
|
Convergence Long/Short Equity Fund
|
November 30, 2019
|
November 30, 2018
|
||||||||
Ordinary Income
|
$
|
392,874
|
$
|
8,734,021
|
|||||
Long-Term Capital Gain
|
$
|
4,322,284
|
$
|
7,618,781
|
Convergence Market Neutral Fund
|
November 30, 2019
|
November 30, 2018
|
||||||||
Ordinary Income
|
$
|
13,122
|
$
|
—
|
|||||
Long-Term Capital Gain
|
$
|
—
|
$
|
—
|
The Convergence Long/Short Equity Fund designated as long-term capital gain dividend, pursuant to Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the earnings and profits
of the Fund related to net capital gain to zero for the tax year ended November 30, 2019. The Convergence Long/Short Equity Fund utilized earnings and profits distributed to shareholders on redemption of shares as part of the dividend paid
deduction. The amounts designated as gain for the fiscal years ended November 30, 2019 and 2018 were as follows:
|
|
Convergence Long/Short Equity Fund
|
November 30, 2019
|
November 30, 2018
|
||||||||
Long-term
|
$
|
8,405,679
|
$
|
1,433,047
|
As of November 30, 2019, the components of accumulated earnings on a tax basis were as follows:
|
Convergence
|
Convergence
|
||||||||
Long/Short
|
Market
|
||||||||
Equity Fund
|
Neutral Fund
|
||||||||
Cost basis of investments for
|
|||||||||
federal income tax purposes(1)
|
$
|
114,458,273
|
$
|
119,518,414
|
|||||
Gross tax unrealized appreciation
|
$
|
16,591,010
|
$
|
10,017,470
|
|||||
Gross tax unrealized depreciation
|
(2,893,286
|
)
|
(4,082,973
|
)
|
|||||
Net tax unrealized appreciation
|
13,697,724
|
5,934,497
|
|||||||
Undistributed ordinary income
|
8,348,522
|
393,833
|
|||||||
Undistributed long-term capital gain
|
7,112,355
|
—
|
|||||||
Total distributable earnings
|
15,460,877
|
393,833
|
|||||||
Other accumulated losses
|
(2,930
|
)
|
(6,471,966
|
)
|
|||||
Total accumulated gains
|
$
|
29,155,671
|
$
|
(143,636
|
)
|
(1) Excludes securities sold short.
|
|
The tax basis of distributable earnings for tax and financial reporting purposes differs principally due to the deferral of losses on wash sales, transfers in-kind, and unsettled short losses for
the Funds.
|
|
At November 30, 2019, the Convergence Market Neutral Fund had the following capital losses remaining, which will be carried forward indefinitely to offset future realized capital gains. To the
extent the Convergence Market Neutral Fund realizes future net capital gains, taxable distributions to its shareholders will be first offset by any unused capital loss carryovers from the year ended November 30, 2019.
|
Short-Term
|
|||||
Convergence Market Neutral Fund
|
$
|
6,441,740
|
Income and capital gains distributions may differ from GAAP, primarily due to timing differences in the recognition of income, gains and losses, and equalization by the Funds. To the extent that
these differences are attributable to permanent book and tax accounting differences, the components of net assets have been adjusted.
|
|
Additionally, GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications are due to
equalization and non-deductible excise tax and have no effect on net assets or NAV per share. For the year ended November 30, 2019, the following table shows the reclassifications made:
|
Convergence
|
Convergence
|
||||||||
Long/Short
|
Market
|
||||||||
Equity Fund
|
Neutral Fund
|
||||||||
Paid-in capital
|
$
|
8,405,682
|
$
|
(346
|
)
|
||||
Total distributable earnings
|
$
|
(8,405,682
|
)
|
$
|
346
|
(4)
|
Investment Adviser
|
The Trust has an Investment Advisory Agreement (the “Agreement”) with the Adviser to furnish investment advisory services to the Funds. Under the terms of the Agreement, each Fund compensates the
Adviser for its management services at the annual rate of 1.00% of the Fund’s average daily net assets.
|
|
The Adviser has contractually agreed to waive its management fee and/or reimburse each Fund’s other expenses at least through the expiration dates listed below, at the discretion of the Adviser
and the Board of Trustees, to the extent necessary to ensure that the Fund’s operating expenses (exclusive of front-end or contingent deferred loads, Rule 12b-1 plan fees, shareholder servicing plan fees, taxes, leverage (i.e., any expenses
incurred in connection with borrowings made by the Fund), interest (including interest incurred in connection with bank and custody overdrafts), brokerage commissions and other transactional expenses, expenses incurred in connection with any
merger or reorganization, dividends or interest on short positions, acquired fund fees and expenses or extraordinary expenses such as litigation) do not exceed the expense limitation caps listed below of each Fund’s average daily net assets.
|
Expiration Date
|
Expense Limitation Cap
|
||
Convergence Long/Short Equity Fund
|
|||
Institutional Class
|
May 31, 2021
|
1.50%
|
|
Convergence Market Neutral Fund
|
|||
Institutional Class
|
May 31, 2021
|
1.50%
|
Any such waiver or reimbursement is subject to later adjustment to allow the Adviser to recoup amounts waived or reimbursed to the extent actual fees and expenses for a fiscal period do not exceed
the lesser of: (1) the Expense Limitation Cap in place at the time of the waiver or reimbursement; or (2) the Expense Limitation Cap in place at the time of the recoupment; provided, however, that the Adviser shall only be entitled to recoup
such amounts over the following three year period from the date of the waiver or reimbursement.
|
The following table shows the remaining waived or reimbursed expenses subject to potential recovery expiring during the fiscal period ending:
|
Convergence
|
Convergence
|
||||||||
Long/Short Equity Fund
|
Market Neutral Fund
|
||||||||
November 30, 2020
|
$
|
—
|
$
|
48,911
|
|||||
November 30, 2021
|
—
|
3,446
|
|||||||
November 30, 2022
|
—
|
—
|
|||||||
May 31, 2023
|
14,771
|
1,680
|
(5)
|
Related Party Transactions
|
U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services” or the “Administrator”), acts as the Funds’ administrator under an Administration Agreement. The
Administrator prepares various federal and state regulatory filings, reports and returns for the Funds; prepares reports and materials to be supplied to the Trustees; monitors the activities of the Funds’ custodian, transfer agent and
accountants; coordinates the preparation and payment of the Funds’ expenses and reviews the Funds’ expense accruals. Fees incurred for the six-months ended May 31, 2020, and owed as of May 31, 2020 are as follows:
|
Incurred
|
Owed
|
||||||||
Convergence Long/Short Equity Fund
|
$
|
41,890
|
$
|
11,037
|
|||||
Convergence Market Neutral Fund
|
$
|
38,969
|
$
|
8,107
|
Fund Services also serves as the fund accountant and transfer agent to the Funds. U.S. Bank National Association (“US Bank”), an affiliate of Fund Services, serves as each Fund’s custodian. Fees
incurred for the six-months ended May 31, 2020, and owed as of May 31, 2020 are as follows:
|
Fund Accounting
|
Incurred
|
Owed
|
|||||||
Convergence Long/Short Equity Fund
|
$
|
5,047
|
$
|
1,641
|
|||||
Convergence Market Neutral Fund
|
$
|
5,050
|
$
|
1,647
|
|||||
Transfer Agency
|
Incurred
|
Owed
|
|||||||
Convergence Long/Short Equity Fund
|
$
|
22,010
|
$
|
7,896
|
|||||
Convergence Market Neutral Fund
|
$
|
18,280
|
$
|
4,703
|
|||||
Custody
|
Incurred
|
Owed
|
|||||||
Convergence Long/Short Equity Fund
|
$
|
7,316
|
$
|
5,268
|
|||||
Convergence Market Neutral Fund
|
$
|
8,350
|
$
|
569
|
The Funds each have a line of credit with US Bank (see Note 9).
|
|
The Funds previously entered into a securities lending agreement with US Bank. The agreement was terminated effective May 28, 2020.
|
|
Quasar Distributors, LLC (“Quasar” or the “Distributor”) acts as the Fund’s principal underwriter in a continuous public offering of the Fund’s shares. The Distributor was an affiliate of Fund
Services and U.S. Bank through March 30, 2020. Effective
|
March 31, 2020, Foreside Financial Group, LLC (“Foreside”) acquired Quasar, from U.S. Bancorp. As a result of the acquisition, Quasar became a wholly-owned broker-dealer subsidiary of Foreside and
is no longer affiliated with U.S. Bancorp. The Trust’s Board of Trustees has approved a new Distribution Agreement to enable Quasar to continue serving as the Fund’s distributor.
|
|
Certain officers of the Funds are also employees of Fund Services. A Trustee of the Trust is affiliated with Fund Services and US Bank.
|
|
The Trust’s Chief Compliance Officer is also an employee of Fund Services. Each Fund’s allocation of the Trust’s Chief Compliance Officer fee incurred for the six-months ended May 31, 2020, and
owed as of May 31, 2020, are as follows:
|
Incurred
|
Owed
|
||||||||
Convergence Long/Short Equity Fund
|
$
|
6,892
|
$
|
2,552
|
|||||
Convergence Market Neutral Fund
|
$
|
6,892
|
$
|
2,557
|
(6)
|
Capital Share Transactions
|
Transactions in shares of the Funds were as follows:
|
|
Convergence Long/Short Equity Fund – Institutional Class
|
Period Ended
|
Year Ended
|
||||||||
May 31, 2020
|
November 30, 2019
|
||||||||
Shares sold
|
45,538
|
572,917
|
|||||||
Shares reinvested
|
668,963
|
195,029
|
|||||||
Shares redeemed
|
(1,734,319
|
)
|
(3,030,259
|
)
|
|||||
Net decrease
|
(1,019,818
|
)
|
(2,262,313
|
)
|
|||||
Convergence Market Neutral Fund – Institutional Class
|
|||||||||
Period Ended
|
Year Ended
|
||||||||
May 31, 2020
|
November 30, 2019
|
||||||||
Shares sold
|
315,462
|
3,768,115
|
|||||||
Shares reinvested
|
22,652
|
936
|
|||||||
Shares redeemed
|
(3,056,221
|
)
|
(5,105,996
|
)
|
|||||
Net decrease
|
(2,718,107
|
)
|
(1,336,945
|
)
|
(7)
|
Investment Transactions
|
The aggregate purchases and sales of securities, excluding short-term investments and securities sold short, for the Funds for the six-months ended May 31, 2020 are summarized below. There were no
purchases or sales of U.S. government securities for the Funds.
|
Convergence
|
Convergence
|
||||||||
Long/Short Equity Fund
|
Market Neutral Fund
|
||||||||
Purchases
|
$
|
74,569,722
|
$
|
82,328,504
|
|||||
Sales
|
$
|
120,655,539
|
$
|
113,913,678
|
(8)
|
Beneficial Ownership
|
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates a presumption of control of the fund, under Section 2(a)(9) of the 1940 Act. At
May 31, 2020, Charles Schwab & Co., LLC, and National Financial Services, LLC, for the benefit of others, held 34.63% and 25.45%, respectively, of the Convergence Long/Short Equity Fund’s outstanding shares. At May 31, 2020, National
Financial Services, LLC, for the benefit of others, held 81.09% of the Convergence Market Neutral Fund’s outstanding shares.
|
|
(9)
|
Line of Credit
|
At May 31, 2020, the Convergence Long/Short Equity Fund and the Convergence Market Neutral Fund each had lines of credit in the amount of the lesser of 33.33% of the fair value of unencumbered
assets of the Fund or $13,000,000 and $5,000,000, respectively, which both mature August 8, 2020. These unsecured lines of credit are intended to provide short-term financing, if necessary, subject to certain restrictions, in connection with
shareholder redemptions. The credit facility is with the Funds’ custodian, US Bank. Interest was accrued at the prime rate of 4.75%. There were no loans outstanding for the Funds as of May 31, 2020. The following table provides information
regarding usage of the line of credit for the six-months ended May 31, 2020.
|
Average
|
Maximum
|
Maximum
|
||||
Days
|
Amount of
|
Interest
|
Amount of
|
Borrowing
|
||
Utilized
|
Borrowing
|
Expense*
|
Borrowing
|
Dates
|
||
Convergence
|
||||||
Long/Short Equity Fund
|
15
|
$202,600
|
$340
|
$404,000
|
1/1/2020
|
|
Convergence
|
||||||
Market Neutral Fund
|
21
|
$90,476
|
$239
|
$174,000
|
12/23/2019
|
* Interest expense is included within other expenses on the Statements of Operations.
|
|
(10)
|
Recent Market Events
|
U.S. and international markets have experienced significant periods of volatility in recent years due to a number of economic, political and global macro factors including the impact of the
coronavirus (“COVID-19”) as a global pandemic, which has resulted in related public health issues, growth concerns in the U.S. and overseas, temporary and permanent layoffs in the private sector, rising unemployment claims, and reduced consumer
spending, all of which may lead to a substantial economic downturn or recession in the U.S. and global economies. The recovery from the effects of COVID-19 is uncertain and may last for an extended period of time. These developments as well as
other events, such as the upcoming U.S. presidential election, could result in further market volatility and negatively affect financial asset prices, the liquidity of certain securities and the normal operations of securities exchanges and
other markets. As a result, the risk environment remains elevated. The Fund’s investment adviser will monitor developments and seek to manage the Fund in a manner consistent with achieving the Fund’s investment objective, but there can be no
assurance that it will be successful in doing so.
|
(11)
|
Subsequent Events
|
The Fund has evaluated events and transactions that have occurred subsequent to May 31, 2020 and determined there were no subsequent events that would require recognition or disclosure in
financial statements.
|
Convergence Long/Short Equity Fund
|
0.00
|
%
|
|||
Convergence Market Neutral Fund
|
0.00
|
%
|
Other
|
|||||
Directorships
|
|||||
Term of
|
Number of
|
Principal
|
Held by
|
||
Office and
|
Portfolios
|
Occupation(s)
|
Trustee
|
||
Position(s)
|
Length
|
in Trust
|
During the
|
During the
|
|
Name, Address
|
Held with
|
of Time
|
Overseen
|
Past Five
|
Past Five
|
and Year of Birth
|
the Trust
|
Served
|
by Trustee
|
Years
|
Years
|
Independent Trustees
|
|||||
Michael D. Akers, Ph.D.
|
Trustee
|
Indefinite
|
20
|
Professor Emeritus,
|
Independent
|
615 E. Michigan St.
|
Term; Since
|
Department
|
Trustee, USA
|
||
Milwaukee, WI 53202
|
August 22,
|
of Accounting,
|
MUTUALS
|
||
Year of Birth: 1955
|
2001
|
(June 2019–
|
(an open-end
|
||
present), Professor,
|
investment
|
||||
Department
|
company with
|
||||
of Accounting,
|
two
|
||||
(2004–May 2019),
|
portfolios).
|
||||
Chair, Department
|
|||||
of Accounting
|
|||||
(2004–2017),
|
|||||
Marquette University.
|
|||||
Gary A. Drska
|
Trustee
|
Indefinite
|
20
|
Pilot,
|
Independent
|
615 E. Michigan St.
|
Term; Since
|
Frontier/Midwest
|
Trustee, USA
|
||
Milwaukee, WI 53202
|
August 22,
|
Airlines, Inc.
|
MUTUALS
|
||
Year of Birth: 1956
|
2001
|
(airline company)
|
(an open-end
|
||
(1986–present).
|
investment
|
||||
company with
|
|||||
two
|
|||||
portfolios).
|
Other
|
|||||
Directorships
|
|||||
Term of
|
Number of
|
Principal
|
Held by
|
||
Office and
|
Portfolios
|
Occupation(s)
|
Trustee
|
||
Position(s)
|
Length
|
in Trust
|
During the
|
During the
|
|
Name, Address
|
Held with
|
of Time
|
Overseen
|
Past Five
|
Past Five
|
and Year of Birth
|
the Trust
|
Served
|
by Trustee
|
Years
|
Years
|
Jonas B. Siegel
|
Trustee
|
Indefinite
|
20
|
Retired
|
Independent
|
615 E. Michigan St.
|
Term; Since
|
(2011–present);
|
Trustee,
|
||
Milwaukee, WI 53202
|
October 23,
|
Managing Director,
|
Gottex Trust
|
||
Year of Birth: 1943
|
2009
|
Chief Administrative
|
(an open-end
|
||
Officer (“CAO”) and
|
investment
|
||||
Chief Compliance
|
company)
|
||||
Officer (“CCO”),
|
(2010–2016);
|
||||
Granite Capital
|
Independent
|
||||
International Group,
|
Manager,
|
||||
L.P. (an investment
|
Ramius IDF
|
||||
management firm)
|
fund complex
|
||||
(1994–2011).
|
(two closed-
|
||||
end investment
|
|||||
companies)
|
|||||
(2010–2015);
|
|||||
Independent
|
|||||
Trustee, Gottex
|
|||||
Multi-Asset
|
|||||
Endowment
|
|||||
fund complex
|
|||||
(three closed-
|
|||||
end investment
|
|||||
companies)
|
|||||
(2010–2015);
|
|||||
Independent
|
|||||
Trustee,
|
|||||
Gottex Multi-
|
|||||
Alternatives
|
|||||
fund complex
|
|||||
(three closed-
|
|||||
end investment
|
|||||
companies)
|
|||||
(2010–2015).
|
Other
|
|||||
Directorships
|
|||||
Term of
|
Number of
|
Principal
|
Held by
|
||
Office and
|
Portfolios
|
Occupation(s)
|
Trustee
|
||
Position(s)
|
Length
|
in Trust
|
During the
|
During the
|
|
Name, Address
|
Held with
|
of Time
|
Overseen
|
Past Five
|
Past Five
|
and Year of Birth
|
the Trust
|
Served
|
by Trustee
|
Years
|
Years
|
Interested Trustee and Officers
|
|||||
Joseph C. Neuberger*
|
Chairperson
|
Indefinite
|
20
|
President
|
Trustee, Buffalo
|
615 E. Michigan St.
|
and
|
Term; Since
|
(2017–present),
|
Funds (an
|
|
Milwaukee, WI 53202
|
Trustee
|
August 22,
|
Chief Operating
|
open-end
|
|
Year of Birth: 1962
|
2001
|
Officer (2016–
|
investment
|
||
present), Executive
|
company)
|
||||
Vice President
|
(2003–2017);
|
||||
(1994–2017), U.S.
|
Trustee, USA
|
||||
Bancorp Fund
|
MUTUALS
|
||||
Services, LLC.
|
(an open-end
|
||||
investment
|
|||||
company)
|
|||||
(2001–2018).
|
|||||
John P. Buckel
|
President
|
Indefinite
|
N/A
|
Vice President,
|
N/A
|
615 E. Michigan St.
|
and
|
Term; Since
|
U.S. Bancorp Fund
|
||
Milwaukee, WI 53202
|
Principal
|
January 24,
|
Services, LLC
|
||
Year of Birth: 1957
|
Executive
|
2013
|
(2004–present).
|
||
Officer
|
|||||
Jennifer A. Lima
|
Vice
|
Indefinite
|
N/A
|
Vice President,
|
N/A
|
615 E. Michigan St.
|
President,
|
Term; Since
|
U.S. Bancorp Fund
|
||
Milwaukee, WI 53202
|
Treasurer
|
January 24,
|
Services, LLC
|
||
Year of Birth: 1974
|
and
|
2013
|
(2002–present).
|
||
Principal
|
|||||
Financial
|
|||||
and
|
|||||
Accounting
|
|||||
Officer
|
Other
|
|||||
Directorships
|
|||||
Term of
|
Number of
|
Principal
|
Held by
|
||
Office and
|
Portfolios
|
Occupation(s)
|
Trustee
|
||
Position(s)
|
Length
|
in Trust
|
During the
|
During the
|
|
Name, Address
|
Held with
|
of Time
|
Overseen
|
Past Five
|
Past Five
|
and Year of Birth
|
the Trust
|
Served
|
by Trustee
|
Years
|
Years
|
Elizabeth B. Scalf
|
Chief
|
Indefinite
|
N/A
|
Senior Vice
|
N/A
|
615 E. Michigan St.
|
Compliance
|
Term; Since
|
President,
|
||
Milwaukee, WI 53202
|
Officer,
|
July 1,
|
U.S. Bancorp Fund
|
||
Year of Birth: 1985
|
Vice
|
2017
|
Services,
|
||
President
|
LLC (February
|
||||
and
|
2017–present);
|
||||
Anti-Money
|
Vice President and
|
||||
Laundering
|
Assistant CCO,
|
||||
Officer
|
Heartland Advisors,
|
||||
Inc. (December 2016–
|
|||||
January 2017);
|
|||||
Vice President and
|
|||||
CCO, Heartland
|
|||||
Group, Inc. (May
|
|||||
2016–November
|
|||||
2016); Vice
|
|||||
President, CCO and
|
|||||
Senior Legal Counsel
|
|||||
(May 2016–November
|
|||||
2016), Assistant CCO
|
|||||
and Senior Legal
|
|||||
Counsel (January
|
|||||
2016–April 2016),
|
|||||
Senior Legal and
|
|||||
Compliance Counsel
|
|||||
(2013–2015),
|
|||||
Heartland Advisors, Inc.
|
|||||
Jay S. Fitton
|
Secretary
|
Indefinite
|
N/A
|
Assistant Vice
|
N/A
|
615 E. Michigan St.
|
Term; Since
|
President, U.S.
|
|||
Milwaukee, WI 53202
|
July 22, 2019
|
Bancorp Fund
|
|||
Year of Birth: 1970
|
Services, LLC
|
||||
(2019–present);
|
|||||
Partner, Practus, LLP
|
|||||
(2018–2019);
|
|||||
Counsel, Drinker
|
|||||
Biddle & Reath
|
|||||
(2016–2018);
|
|||||
Counsel, Huntington
|
|||||
Bancshares Inc.
|
|||||
(2011–2015).
|
Other
|
|||||
Directorships
|
|||||
Term of
|
Number of
|
Principal
|
Held by
|
||
Office and
|
Portfolios
|
Occupation(s)
|
Trustee
|
||
Position(s)
|
Length
|
in Trust
|
During the
|
During the
|
|
Name, Address
|
Held with
|
of Time
|
Overseen
|
Past Five
|
Past Five
|
and Year of Birth
|
the Trust
|
Served
|
by Trustee
|
Years
|
Years
|
Kelly A. Burns
|
Assistant
|
Indefinite
|
N/A
|
Assistant Vice
|
N/A
|
615 E. Michigan St.
|
Treasurer
|
Term; Since
|
President, U.S.
|
||
Milwaukee, WI 53202
|
April 23,
|
Bancorp Fund
|
|||
Year of Birth: 1987
|
2015
|
Services, LLC
|
|||
(2011–present).
|
|||||
Melissa Aguinaga
|
Assistant
|
Indefinite
|
N/A
|
Assistant Vice
|
N/A
|
615 E. Michigan St.
|
Treasurer
|
Term; Since
|
President, U.S.
|
||
Milwaukee, WI 53202
|
July 1,
|
Bancorp Fund
|
|||
Year of Birth: 1987
|
2015
|
Services, LLC
|
|||
(2010–present).
|
|||||
Laura A. Carroll
|
Assistant
|
Indefinite
|
N/A
|
Assistant Vice
|
N/A
|
615 E. Michigan St.
|
Treasurer
|
Term; Since
|
President, U.S.
|
||
Milwaukee, WI 53202
|
August 20,
|
Bancorp Fund
|
|||
Year of Birth: 1985
|
2018
|
Services, LLC
|
|||
(2007–present).
|
*
|
Mr. Neuberger is deemed to be an “interested person” of the Trust as defined by the 1940 Act due to his position and material business relationship with the Trust.
|
Investment Adviser
|
Convergence Investment Partners, LLC
|
3801 PGA Boulevard
|
|
Suite 1001
|
|
Palm Beach Gardens, Florida 33410
|
|
Legal Counsel
|
Godfrey & Kahn, S.C.
|
833 East Michigan Street
|
|
Suite 1800
|
|
Milwaukee, Wisconsin 53202
|
|
Independent Registered Public
|
Cohen & Company, Ltd.
|
Accounting Firm
|
1350 Euclid Avenue
|
Suite 800
|
|
Cleveland, Ohio 44115
|
|
Transfer Agent, Fund Accountant and
|
U.S. Bancorp Fund Services, LLC
|
Fund Administrator
|
615 East Michigan Street
|
Milwaukee, Wisconsin 53202
|
|
Custodian
|
U.S. Bank National Association
|
Custody Operations
|
|
1555 North River Center Drive
|
|
Milwaukee, Wisconsin 53212
|
|
Distributor
|
Quasar Distributors, LLC
|
111 East Kilbourn Avenue
|
|
Suite 2200
|
|
Milwaukee, Wisconsin 53202
|
(a)
|
The Registrant’s President and Treasurer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of
this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d‑15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are
effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider.
|
(b)
|
There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the last fiscal half-year of the period covered by this report that has materially
affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting.
|
(a)
|
(1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit.
Not Applicable.
|
1.
|
I have reviewed this report on Form N-CSR of Trust for Professional Managers;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if
the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated
subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and
the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the
filing date of this report based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the last fiscal half-year of the period covered by this report that has materially affected, or is reasonably likely
to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and
report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: August 4, 2020
|
/s/John Buckel
John Buckel
President |
1.
|
I have reviewed this report on Form N-CSR of Trust for Professional Managers;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if
the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated
subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and
the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the
filing date of this report based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the last fiscal half-year of the period covered by this report that has materially affected, or is reasonably likely
to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and
report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: August 4, 2020
|
/s/Jennifer Lima
Jennifer Lima Treasurer |
/s/John Buckel
John Buckel
President, Trust for Professional Managers
|
/s/Jennifer Lima
Jennifer Lima
Treasurer, Trust for Professional Managers
|
Dated: August 4, 2020
|
7!E $YO;F4 )=&]P3W5T &UP1SIM;V1E/2)#35E+(B!X;7!'.G1Y<&4](E!23T-%4U,B('AM
M<$ Z\4P*<_-S==;5W)V9MFCV5O3<6/?/979=),]5)LVGS%74Y'";1S%:T]1#D-T;9P%
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M_9H_]FK_ -'G^CG^#_WP_P!,OF_WY/FO_!OL/]S/\2^Z_P B]ZZMJ%=5 E#[KQ45?Y'
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M&[\6GRKVY\
M/.BNHMK?(/9_6-'OSK*OZ=R_579M;V)5]'9;+I-C 7QWZ7[!K=O9'>FP<5N&JVKU?V9TO@FKZG*M#1=7=QT6S\=V9
MLYJ6+(14E9CMVT.P<1%4/.DLZ)1*(I(]*CV+MW;%-2XNFJ(J:JIL_5JZVR5
M2)/=:%=2+^&G_%]&>WU\3NPN@^Y\3V_LW3^1WKN7Y(=Z[JZ/S-%U;FU^0'
M9?:/RPP79-#_ *..]]]Q;O6DW=\9]V?Q]=.TJ/[CSSUOV_[=.COH.FQUUM!
MW*:CCU6+\)_DQ_ ?AI\2,'_LOWR;S7\%^,G0N)_C& ZI_B."RW\.ZKVI1_Q+
M"Y#^/0_?8FN\/EIIM">6%U:PO;VH4XPZ;=>]^X<3T9O_9KO_ ;/EC_ .B=
M_P#SB][U?(]5T_TAU[_9KO\ P&SY8_\ HG?_ ,XO?M7R/7M/](=>_P!FN_\
M ;/EC_Z)W_\ .+W[5\CU[3_2'7O]FN_\!L^6/_HG?_SB]^U?(]>T_P!(=>_V
M:[_P&SY8_P#HG?\ \XO?M7R/7M/](=>_V:[_ ,!L^6/_ *)W_P#.+W[5\CU[
M3_2'7O\ 9KO_ &SY8_^B=__ #B]^U?(]>T_TAU[_9KO_ ;/EC_Z)W_\XO?M
M7R/7M/\ 2'7O]FN_\!L^6/\ Z)W_ /.+W[5\CU[3_2'7O]FN_P# ;/EC_P"B
M=_\ SB]^U?(]>T_TAU[_ &:[_P !L^6/_HG?_P XO?M7R/7M/](=>_V:[_P&
MSY8_^B=__.+W[5\CU[3_ $AU[_9KO_ ;/EC_ .B=_P#SB]^U?(]>T_TAU[_9
MKO\ P&SY8_\ HG?_ ,XO?M7R/7M/](=>_P!FN_\ ;/EC_Z)W_\ .+W[5\CU
M[3_2'7O]FN_\!L^6/_HG?_SB]^U?(]>T_P!(=>_V:[_P&SY8_P#HG?\ \XO?
MM7R/7M/](=>_V:[_ ,!L^6/_ *)W_P#.+W[5\CU[3_2'7O\ 9KO_ &SY8_^
MB=__ #B]^U?(]>T_TAU[_9KO_ ;/EC_Z)W_\XO?M7R/7M/\ 2'7O]FN_\!L^
M6/\ Z)W_ /.+W[5\CU[3_2'7O]FN_P# ;/EC_P"B=_\ SB]^U?(]>T_TAU[_
M &:[_P !L^6/_HG?_P XO?M7R/7M/](=>_V:[_P&SY8_^B=__.+W[5\CU[3_
M $AU[_9KO_ ;/EC_ .B=_P#SB]^U?(]>T_TAU[_9KO\ P&SY8_\ HG?_ ,XO
M?M7R/7M/](=>_P!FN_\ ;/EC_Z)W_\ .+W[5\CU[3_2'7O]FN_\!L^6/_HG
M?_SB]^U?(]>T_P!(=>_V:[_P&SY8_P#HG?\ \XO?M7R/7M/](=>_V:[_ ,!L
M^6/_ *)W_P#.+W[5\CU[3_2'7O\ 9KO_ &SY8_^B=__ #B]^U?(]>T_TAU[
M_9KO_ ;/EC_Z)W_\XO?M7R/7M/\ 2'7O]FN_\!L^6/\ Z)W_ /.+W[5\CU[3
M_2'7O]FN_P# ;/EC_P"B=_\ SB]^U?(]>T_TAU[_ &:[_P !L^6/_HG?_P X
MO?M7R/7M/](=>_V:[_P&SY8_^B=__.+W[5\CU[3_ $AU[_9KO_ ;/EC_ .B=
M_P#SB]^U?(]>T_TAU[_9KO\ P&SY8_\ HG?_ ,XO?M7R/7M/](=>_P!FN_\
M ;/EC_Z)W_\ .+W[5\CU[3_2'7O]FN_\!L^6/_HG?_SB]^U?(]>T_P!(=>_V
M:[_P&SY8_P#HG?\ \XO?M7R/7M/](=>_V:[_ ,!L^6/_ *)W_P#.+W[5\CU[
M3_2'7O\ 9KO_ &SY8_^B=__ #B]^U?(]>T_TAU[_9KO_ ;/EC_Z)W_\XO?M
M7R/7M/\ 2'7O]FN_\!L^6/\ Z)W_ /.+W[5\CU[3_2'7O]FN_P# ;/EC_P"B
M=_\ SB]^U?(]>T_TAU[_ &:[_P !L^6/_HG?_P XO?M7R/7M/](=>_V:[_P&
MSY8_^B=__.+W[5\CU[3_ $AU[_9KO_ ;/EC_ .B=_P#SB]^U?(]>T_TAU[_9
MKO\ P&SY8_\ HG?_ ,XO?M7R/7M/](=>_P!FN_\ ;/EC_Z)W_\ .+W[5\CU
M[3_2'7O]FN_\!L^6/_HG?_SB]^U?(]>T_P!(=>_V:[_P&SY8_P#HG?\ \XO?
MM7R/7M/](=>_V:[_ ,!L^6/_ *)W_P#.+W[5\CU[3_2'7O\ 9KO_ &SY8_^
MB=__ #B]^U?(]>T_TAU[_9KO_ ;/EC_Z)W_\XO?M7R/7M/\ 2'7O]FN_\!L^
M6/\ Z)W_ /.+W[5\CU[3_2'7O]FN_P# ;/EC_P"B=_\ SB]^U?(]>T_TAU[_
M &:[_P !L^6/_HG?_P XO?M7R/7M/](=>_V:[_P&SY8_^B=__.+W[5\CU[3_
M $AU[_9KO_ ;/EC_ .B=_P#SB]^U?(]>T_TAU[_9KO\ P&SY8_\ HG?_ ,XO
M?M7R/7M/](=>_P!FN_\ ;/EC_Z)W_\ .+W[5\CU[3_2'7O]FN_\!L^6/_HG
M?_SB]^U?(]>T_P!(=>_V:[_P&SY8_P#HG?\ \XO?M7R/7M/](=>_V:[_ ,!L
M^6/_ *)W_P#.+W[5\CU[3_2'7O\ 9KO_ &SY8_^B=__ #B]^U?(]>T_TAU3
M3\#LM_'LS\^
68J-;&P]^ZV23Q/0@>_=:Z][]U[KWOW7NO>_=>Z][]U[KWOW7NO>_=>Z
M][]U[KWOW7NO>_=>Z][]U[KWOW7NO>_=>Z][]U[KWOW7NO>_=>Z][]U[KWOW
M7NO>_=>Z][]U[KWOW7NO>_=>Z][]U[KWOW7NO>_=>Z][]U[KWOW7NO>_=>Z]
M[]U[KWOW7NO>_=>Z][]U[KWOW7NO>_=>Z][]U[KWOW7NO>_=>Z][]U[KWOW7
MNO>_=>Z][]U[KWOW7NO>_=>Z][]U[KWOW7NO>_=>Z][]U[KWOW7NO>_=>Z][
M]U[KWOW7NO>_=>Z][]U[KWOW7NO>_=>Z][]U[KWOW7NO>_=>Z][]U[KWOW7N
MO>_=>Z][]U[KWOW7NO>_=>Z][]U[KWOW7NO>_=>Z][]U[KWOW7NO>_=>Z][]
MU[KWOW7NO>_=>Z][]U[KWOW7NO>_=>Z][]U[KWOW7NO>_=>Z][]U[KWOW7NO
M>_=>Z][]U[KWOW7NO>_=>Z][]U[K_]??X]^Z]U[W[KW7O?NO=>]^Z]U[W[KW
M7O?NO=>]^Z]U[W[KW7O?NO=5Z_S,^V.Q>L?CIMK!]4[MK^N=[]_?(WXS_%W'
M]I8N"DJ,CU;BOD#W3M#KK=>_<:*^.6DI\UA=HY:N7&U+J?M,E-3S@$Q@'W5D
M KGR'4S'?"SKCI'?G2_874'=/:?3^0V]NV#![\Q>]^YNRNV-O_)? Y_!U^'.
MRNP<7V]V-FZ?+]C5&76CR&'W-!Y-P4<]$]/&9:2IGIS[KVJH((Z"3K[^8#VI
MNC:OQ[^1VX>G-B83XB_*7MO8W5/668H.Q,[D>[-M4/;^[*[8_1/9V^=KOL>F
MV34X/M?=$^&IY<1C\N]5MZ+.TTSU60T5,4'NME1D5[AT$NV/YCOR[W?MCXX[
M_P 1\7>D*?:'RI^279?Q7ZRI,I\@=UQ;IQ&ZME)W7D,?VIO.GH^G:W#4NQ)\
M-T)GYI\11U53ER!2:)5DJ7@IO=;T+D:N Z65'_,.^0&0J>JNK\3\?^L
ZV14U/"GEY]3NU_E'V7O;>G0?5F\%U5W+TK_,^Z&ZA
M[@P_6V]L_E]C;\V5OSH+?G:>SL]ALQ4XC:N4R6S=Z;?S5+]YA\E2%J#,8RHI
MW-2D$%7/KKP R?*G08]D_+SY0]Z[!^ G>N(Z[VEUY\MHZ2=
^.L.K.X-W];5^T=N[NV!)05>P<_FX9Z06U^@>H-EY;=.=VQLFAQ.6W
MKUMUSU!NBLAKLQ,^7ZWZDIMY4?76UYDJLC/##2[8INP
-VUN6NRV$QE'.U)24L-+:$>Z]K;HYN PVI@<)M;;&'QFWM
MM;;Q&-P&WL!A*&FQF&P>#P]'#CL3A\3C:*.&CQ^,QE!31P4\$2)%%$BHH"@#
MW[JO3O[]U[KWOW7NO>_=>Z][]U[KWOW7NO>_=>Z][]U[KWOW7N@VW=U!UQOS
M=NS]];MVO2YK=FP<'AMA8^AQ7Q1HZ3'_'NCCR&;D3K6
MCH>K,WTG2P8QYLI++E%AZMW'6X@'(M6,89S(29PLJ^Z]4YSQZ;,5T;\<.ELO
M\B.YZ39.P-@UG>"4N\_DIOG+/34&&W?0[&VG5X9
7!E96YU;0 I%4VQI
M8V54>7!E $EM9R &8F]U;F1S3V)J8P $ !28W0Q
M! !4;W @;&]N9P 3&5F=&QO;F< $)T;VUL;VYG
M !. !29VAT;&]N9P N #=7)L5$585 $ !N=6QL
M5$585 $ !- &%P+S$N,"\ /#]X<&%C:V5T(&)E9VEN/2+ON[\B(&ED/2)7-4TP37!#96AI
M2'IR95-Z3E1C>FMC.60B/SX@/'@Z>&UP;65T82!X;6QN &UP1SIM86=E;G1A/2(Q-2XP,# P,# B('AM<$ &UP1SIC>6%N/2(U,"XP,# P,# B('AM<$0!YJ'I0>
MOA[I'Q,?/A]I'Y0?OQ_J(!4@02!L()@@Q"#P(1PA2"%U(:$ASB'[(B