N-CSR 1 fp0048692_ncsr.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number 811-21719

 

INVESTMENT MANAGERS SERIES TRUST
(Exact name of registrant as specified in charter)

 

235 W. Galena Street

Milwaukee, WI 53212
(Address of principal executive offices) (Zip code)

 

Constance Dye Shannon

UMB Fund Services, Inc.

235 W. Galena Street

Milwaukee, WI 53212
(Name and address of agent for service)

 

(414) 299-2295

Registrant's telephone number, including area code

 

Date of fiscal year end: October 31,

 

Date of reporting period: October 31, 2019

 

 

 

Item 1. Report to Stockholders.

 

The registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:

 

 

 

361 MANAGED FUTURES STRATEGY FUND

(INVESTOR CLASS: AMFQX)

(CLASS I: AMFZX)

  

361 GLOBAL MANAGED FUTURES STRATEGY FUND

(INVESTOR CLASS: AGFQX)

(CLASS I: AGFZX)

 

361 DOMESTIC LONG/SHORT EQUITY FUND

(INVESTOR CLASS: ADMQX)

(CLASS I: ADMZX)

(CLASS Y: ADMWX)

 

361 GLOBAL LONG/SHORT EQUITY FUND

(INVESTOR CLASS: AGAQX)

(CLASS I: AGAZX)

(CLASS Y: AGAWX)

 

361 MACRO OPPORTUNITY FUND

(INVESTOR CLASS: AGMQX)

(CLASS I: AGMZX)

 

361 U.S. SMALL CAP EQUITY FUND

(INVESTOR CLASS: ASFQX)

(CLASS I: ASFZX)

(CLASS Y: ASFWX)

 

ANNUAL REPORT

October 31, 2019

 

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Funds, if you hold your shares directly with the Funds, or from your financial intermediary, such as a broker-dealer or bank, if you hold your shares through a financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
 
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. If you hold your shares directly with the Fund, you may elect to receive shareholder reports and other communications from the Funds electronically by contacting the Funds at (888) 447-4470 or, if you hold your shares through a financial intermediary, contacting your financial intermediary.
 
You may elect to receive all future reports in paper free of charge. If you hold your shares directly with the Fund, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports at (888) 447-4470 or, if you hold your shares through a financial intermediary, contacting your financial intermediary. Your election to receive reports in paper will apply to all of the Investment Managers Series Trust’s Funds you hold directly or through your financial intermediary, as applicable.

 

 

 

361 Capital

Each a series of Investment Managers Series Trust

 

Table of Contents

 

Fund Commentary 1
Fund Performance 10
Schedules of Investments 18
Statements of Assets and Liabilities 52
Statements of Operations 56
Statements of Changes in Net Assets 60
Statement of Cash Flows 68
Financial Highlights 71
Notes to Financial Statements 86
Report of Independent Registered Public Accounting 102
Supplemental Information 103
Expense Examples 107

 

Investing involves risk, including possible loss of principal. Futures prices may be very volatile. The small margin required for futures contracts magnifies the effect of market volatility and allows the loss from a contract potentially to exceed the Fund's initial investment. The potential loss from a short sale is theoretically unlimited since the appreciation of the underlying asset also is theoretically unlimited. Small- and mid-sized company securities tend to be less liquid and more volatile than those of large companies. Bond prices generally fall when interest rates rise. High-yield bonds have higher default rates. Prices of commodities and related contracts may be very volatile for a variety of reasons, and may be difficult to liquidate in volatile markets. The 361 Macro Opportunity Fund's commodity-related investments potentially may generate too much “non-qualifying income” that would jeopardize the Fund's status as a “regulated investment company,” with significant adverse tax consequences for the Fund or its shareholders. Foreign investment entails additional risk from adverse changes in currency exchange rates, lax regulation, and potential market instability. Frequent trading by a Fund may reduce returns and increase the number of taxable transactions. Concentration of its portfolio in relatively few issuers may make a Fund more volatile than a diversified fund.

 

This report and the financial statements contained herein are provided for the general information of the shareholders of the 361 Funds. This report is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective prospectus.

 

www.361capital.com

 

 

 

 

 

361 Managed Futures Strategy Fund

 

For the 12 months ending October 31, 2019, the S&P 500 Index gained 14.32%, the Russell 2000 Index gained 4.90%, the Bloomberg Barclays US Aggregate Bond Index gained 11.51% and the FTSE 3-Month Treasury Bill Index gained 2.35%. Managed Futures strategies were mixed given the lack of trends in equities, currencies, and commodities; however, they generated most of their returns by being long bonds. The Morningstar Managed Futures Category Average was up 3.96%; likewise, the HFRX Macro: Systematic Diversified CTA Index, which tracks managed futures hedge funds, was up 6.13%.

 

The 361 Managed Futures Strategy Fund (Class I shares) was up 4.79% for the fiscal year ending October 31, 2019, outperforming the Morningstar Category Average by 0.83%. On a longer-term basis, since the Fund’s December 20, 2011 inception, it has generated an annualized return of 3.19% with a low correlation to the S&P 500 Index.

 

Domestic equity volatility was slightly higher for the year compared to 2018 but was still below historical averages. This created a significant headwind for counter-trend trading strategies such as those employed by the Fund. These strategies rely on two-way directional movement (i.e., “market noise”) and volatility. Another cause of slightly negative performance was the sudden equity reversals in December 2018, May 2019, and August 2019 for U.S. markets. These sudden equity reversals are the most difficult market environments for the Fund’s trading style. Multiple sharp equity corrections, coupled with a lack of sustained noise within a one-year period, creates a high hurdle for the Fund to overcome.

 

The Fund’s long-term track record remains strong. The Fund’s since inception return of about 3% per year was accomplished with low correlation to any asset class or investment strategy and a monthly beta of 0.13 to the S&P 500 Index; something that investors in absolute return funds tend to seek. Finally, should the market environment shift and equity investors begin to face more risk than that which they have become accustomed, we remain confident the Fund is well positioned to help reduce risk and provide diversification within a portfolio.

 

As of 09/30/19, the 361 Managed Futures Strategy Fund, Class I, returned -1.52% for the one-year period, 1.35% for the three-year period, 1.54% for the five-year period, and 2.84% since the Fund’s inception on 12/20/11.

 

Current and future portfolio holdings are subject to change and risk

 

Returns over one year are annualized. Returns include the reinvestment of dividends and income.

 

Past returns shown do not guarantee future results. Current performance may be lower or higher. Call 888-736-1227 for the latest month-end returns. Return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than original cost. Other share class performance may vary.

 

It is not possible to invest directly in an index.

 

Beta measures a fund’s sensitivity to market movements. By definition, the beta of a market is 1.00.

 

The views in this commentary were as of October 31, 2019 and may not necessarily reflect the same views on the date this commentary is first published or any time thereafter. These views are intended to help shareholders in understanding the Fund's investment methodology and do not constitute investment advice.

 

1

 

 

361 Global Managed Futures Strategy Fund

 

For the 12 months ending October 31, 2019, the S&P 500 Index gained 14.32%, the MSCI World Index earned 13.38%, the Bloomberg Barclays US Aggregate Bond Index gained 11.51% and the FTSE 3-Month Treasury Bill Index gained 2.35%. Managed Futures strategies were mixed given the lack of trends in equities, currencies, and commodities; however, they generated most of their returns by being long bonds. The Morningstar Managed Futures Category Average was up 3.96%; likewise, the HFRX Macro: Systematic Diversified CTA Index, which tracks managed futures hedge funds, was up 6.13%.

 

The 361 Global Managed Futures Strategy Fund (Class I shares) was up 6.99% for the fiscal year ending October 31, 2019, outperforming the Morningstar Category Average by 3.03%. Longer term, since the Fund’s February 12, 2014 inception, it has produced an annualized return of 3.03% with little correlation to global equity markets.

 

The Fund seeks to take advantage of market volatility, and more specifically, market noise (i.e., short-term, two-way directional moves) across global equity markets. The Fund currently trades in 14 markets in the U.S., Asia and Europe. Volatility across global equity markets was slightly higher for the year compared to 2018, but generally still below historical averages. This created a headwind for the Fund’s trading style. Another major cause of underperformance was the sudden equity reversals in December 2018, May 2019, and August 2019 for global markets. These sudden equity reversals are the most difficult market environments for the Fund’s trading style. Multiple sharp equity corrections, coupled with a lack of sustained noise within a one-year period, creates a high hurdle for the Fund to overcome.

 

The Fund’s long-term track record remains strong. The Fund’s since inception return of around 3% per year was accomplished with low correlation to any asset class or investment strategy and a monthly beta of 0.24 to the S&P 500 Index; something that investors in absolute return funds tend to seek. Finally, should the market environment shift, and equity investors begin to face more risk than that which they have become accustomed, we remain confident the Fund is well positioned to help reduce risk and provide diversification within a portfolio.

 

As of 09/30/19, the 361 Global Managed Futures Strategy Fund, Class I, returned -0.37% for the one-year period, 2.04% for the three-year period, 2.70% for the five-year period, and 2.63% since the Fund’s inception on 02/12/14.

 

Current and future portfolio holdings are subject to change and risk

 

Returns over one year are annualized. Returns include the reinvestment of dividends and income.

 

Past returns shown do not guarantee future results. Current performance may be lower or higher. Call 888-736-1227 for the latest month-end returns. Return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than original cost. Other share class performance may vary.

 

It is not possible to invest directly in an index.

 

Beta measures a fund’s sensitivity to market movements. By definition, the beta of a market is 1.00.

 

The views in this commentary were as of October 31, 2019 and may not necessarily reflect the same views on the date this commentary is first published or any time thereafter. These views are intended to help shareholders in understanding the Fund's investment methodology and do not constitute investment advice.

 

2

 

 

 

361 Domestic Long/Short Equity Fund

 

U.S. equities continued to post positive gains as the Russell 1000 Index returned 14.15% for the 12 months ending October 31, 2019 despite December’s return of -9.11%. December’s big selloff seemed to result from concerns over the U.S. government shutdown. December started with an argument between the Federal Reserve and the White House over rising interest rates, and ended with a confrontation between Congress and the White House. Both led to increased market volatility as the VIX Index exceeded 30 in December.

 

Despite this, the strength of the domestic economy helped move stocks higher for the year. Consumer spending figures were strong, driving overall growth for the economy. Continued growth has also helped consumer confidence, with the Conference Board Consumer Confidence Index hitting an 18-year high. In addition, August's unemployment rate was 3.9%, a low not seen since December 2000.

 

Political developments continued to dominate the headlines. President Trump announced a 10 percent tariff on $300 billion of Chinese imports in the 3rd quarter of 2019. China then announced its own tariffs and halted purchases of U.S. agriculture by Chinese companies. As a result, the global economy remained focused on this trade dispute and continued to grapple with below-average growth and waning investor confidence. In addition, Brexit politics and uncertainty continued to weigh on U.K. and European stocks.

 

In December 2018, Federal Reserve officials raised interest rates for a third time in 2018 and initially reaffirmed their outlook for further gradual hikes well into 2019. The tone changed late in the period when economic growth slowed. For example, only 20,000 new jobs were added in February 2019. In addition, earnings growth disappointed as the 1st quarter earnings growth estimate for the S&P 500 Index fell from 2.9% to -3.9%. Consumer spending growth also pulled back as January’s personal spending report showed 0.1% growth and retail sales in February fell 0.2%. As a result, the Federal Reserve initially indicated there would be no further interest rate hikes. In fact, the Federal Reserve lowered interest rates three times in 2019 in response to increasing trade tensions and slowing global economic growth.

 

Large cap stocks significantly outperformed small caps as the Russell 1000 Index returned 14.15% while the Russell 2000 Index returned 4.87%. Once again, growth outperformed value during the twelve months as the Russell 1000 Growth Index returned 17.11% while the Russell 1000 Value Index returned 11.20%. Volatility, as measured by the VIX Index, ranged from 12.0 to 36.0 and averaged 16.8 for the one-year ending October 31, 2019.

 

It proved to be a challenging market environment for long/short equity strategies, as the Morningstar Long/Short Equity category average return was 4.02% for the one-year period ending October 31, 2019. The 361 Domestic Long/Short Equity Fund outperformed the category and returned 4.15% (Class I) for the fiscal year ended on October 31, 2019.

 

Relative to the Russell 1000 Index, the biggest detractor for the Fund was its net exposure of about 70% due to its long/short equity strategy. When equity markets perform strongly, this relatively static positioning will likely hinder performance, and over the trailing 12 months cost the Fund about 4.8% relative to the Russell 1000 benchmark. The beta profile did not meaningfully impact relative performance, as stocks in the highest risk quintile performed similarly as the lower risk quintile. The stock selection model negatively impacted results, as the highest predicted alpha stocks underperformed the Russell 1000 Index and by design the strategy has a significant overweight position to these stocks. An emphasis to quality and valuation factors negatively impacted results as investors penalized these metrics during the period. Overweight sector positioning positively impacted relative results as an underweight position to Energy and an overweight to Real Estate helped results. Unfortunately, poor stock selection in the majority of sectors more than erased the positive sector positioning during the year.

 

As of 9/30/2019, the 361 Domestic Long/Short Equity Fund, Class I, returned -1.80% for the one-year period, 5.19% for the three-year period and 4.82% since the Fund’s inception on 3/31/2016.

 

3

 

 

 

Current and future portfolio holdings are subject to change and risk.

 

Past returns shown do not guarantee future results. Current performance may be lower or higher. Call 888-736-1227 for the latest month-end returns. Return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than original cost. Other share class performance may vary.

 

It is not possible to invest directly in an index.

 

Alpha measures the difference between a fund’s actual and expected returns, based on beta, and is generally used as a measure of a manager’s added value over a passive strategy.

 

Beta measures a fund’s sensitivity to market movements. By definition, the beta of a market is 1.00.

 

The views in this commentary were as of October 31, 2019 and may not necessarily reflect the same views on the date this commentary is first published or any time thereafter. These views are intended to help shareholders in understanding the Fund's investment methodology and do not constitute investment advice.

 

4

 

 

 

361 Global Long/Short Equity Fund

 

Global equities continued to post positive gains as the MSCI World Index returned 12.69% for the 12 months ending October 31, 2019 despite December’s return of -7.60%. December’s big selloff seemed to result from concerns over the U.S. government shutdown. December started with an argument between the Federal Reserve and the White House over rising interest rates and ended with a confrontation between Congress and the White House. Both led to increased market volatility as the VIX Index exceeded 30 in December.

 

Despite this, the strength of the domestic economy helped move stocks higher for the year. Consumer spending figures were strong, driving overall growth for the economy. Continued growth has also helped consumer confidence, with the Conference Board Consumer Confidence Index hitting an 18-year high. In addition, August's unemployment rate was 3.9%, a low not seen since December 2000.

 

Political developments continued to dominate the headlines. President Trump announced a 10 percent tariff on $300 billion of Chinese imports in the 3rd quarter of 2019. China then announced its own tariffs and halted purchases of U.S. agriculture by Chinese companies. As a result, the global economy remained focused on this trade dispute and continued to grapple with below-average growth and waning investor confidence. In addition, Brexit politics and uncertainty continued to weigh on U.K. and European stocks.

 

In December 2018, Federal Reserve officials raised interest rates for a third time in 2018 and initially reaffirmed their outlook for further gradual hikes well into 2019. The tone changed late in the period when economic growth slowed. For example, only 20,000 new jobs were added in February 2019 and earnings growth disappointed as the 1st quarter earnings growth estimate for the S&P 500 Index fell from 2.9% to -3.9%. Consumer spending growth also pulled back as January’s personal spending report showed 0.1% growth and retail sales in February fell 0.2%. As a result, the Federal Reserve initially indicated there would be no further interest rate hikes. In fact, the Federal Reserve lowered interest rates three times in 2019 in response to increasing trade tensions and slowing global economic growth. In addition, global markets moved higher after Mario Draghi, the head of the European Central Bank, once again came out in favor of looser monetary policy and lower rates which rallied markets globally.

 

Large cap stocks outperformed small caps as the MSCI World Index returned 12.69% while the MSCI World Small Cap Index returned 8.41%. Growth continued to outperform as the MSCI World Growth Index returned 17.35% while the MSCI World Value Index returned 9.47%. Volatility, as measure by the VIX Index, ranged from 12 to 36 and overaged 16.8 for the 1-year ending October 31, 2019.

 

It proved to be a challenging market environment for long/short equity strategies, as the Morningstar Long/Short Equity category average return was 4.02% for the one-year period ending October 31, 2019. The 361 Global Long/Short Equity Fund underperformed the category and returned 0.42% (Class I) for the fiscal year ended on October 31, 2019. Relative to the MSCI World Index, the biggest detractor for the Fund was its net exposure of about 70% due to its long/short equity strategy. When equity markets perform strongly, this relatively static positioning will likely hinder performance, and over the trailing 12 months cost the Fund about 3.39% relative to the MSCI World benchmark. The beta profile did not meaningfully impact relative performance, as stocks in the highest risk quintile performed similarly as the lower risk quintile. The stock selection model negatively impacted results, as the highest predicted alpha stocks underperformed the MSCI World Index and by design the strategy has a significant overweight position to these stocks. An emphasis to momentum and valuation factors negatively impacted results as investors penalized these metrics during the period. Sector positioning positively impacted relative results as underweight positions to Energy and Financials helped results. Unfortunately, poor stock selection in the majority of sectors more than erased the positive sector positioning during the year.

 

As of 9/30/2019, the 361 Global Long/Short Equity Fund, Class I, returned -4.06% for the one-year period, 3.91% for the three-year period, 5.31% for the five-year period and 5.68% since the Fund’s inception on 01/06/14. 

 

5

 

 

 

Current and future portfolio holdings are subject to change and risk

 

Past returns shown do not guarantee future results. Current performance may be lower or higher. Call 888-736-1227 for the latest month-end returns. Return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than original cost. Other share class performance may vary.

 

It is not possible to invest directly in an index.

 

Alpha measures the difference between a fund’s actual and expected returns, based on beta, and is generally used as a measure of a manager’s added value over a passive strategy.

 

Beta measures a fund’s sensitivity to market movements. By definition, the beta of a market is 1.00.

 

The views in this commentary were as of October 31, 2019 and may not necessarily reflect the same views on the date this commentary is first published or any time thereafter. These views are intended to help shareholders in understanding the Fund's investment methodology and do not constitute investment advice.

 

6

 

 

 

361 Macro Opportunity Fund

 

The global investing environment for the past 12 months had something for all investors. It started with a sharp selloff caused by increased trade war tensions, which slowed the outlook for global GDP and corporate profits. After a near bear market pullback in global equities, combined with a break in the corporate credit markets pushed by a 40% correction in crude oil prices, the White House eased their tone on trade and began to apply pressure to the Federal Reserve to reverse their tightening stance. As the Fed moved from raising rates to lowering rates, a 20% bounce in the S&P 500 Index and international equities through April occurred. Return boredom then set in over the summer as the White House and China made no progress on their combative tariffs. Finally in October, the market broke out to new highs as global bond yields began to lift on expectations of improving economic data in 2020 and beyond. While the major asset classes experienced plenty of volatility in the previous 12 months, the majority of assets finished with gains. Most fixed income, equity and gold assets indexes finished with double digit percentage gains. Crude oil and energy stocks were the worst performing finishing with double digit negative returns. The strong U.S. dollar continued to weigh on foreign stocks and bonds. Healthcare and Biotech stocks were challenged by potential political threats in Washington, D.C. Bank stocks also underperformed as continued low rates and a flat yield curve weighed on their future profit outlooks.

 

For the 12 months ending October 31, 2019, the 361 Macro Opportunity Fund returned -7.67%, underperforming the Morningstar Multialternative category which returned 3.84%. The Fund’s underperformance for the last year is primarily due to the Fund’s conservative positioning. Following the acceleration of the White House’s trade wars with China and Europe in the fall of 2018, volatility in all global financial markets increased significantly. This caused our risk-adjusted trending models to run towards the safety of cash, bonds and gold. The move proved fruitful in the difficult month of December when we finished the month with a positive return. Once the Federal Reserve and White House changed their tone at year end, the market reversed direction sharply and the global equity indexes gained 20%+ over the following few months. This caught our Fund’s positioning in a risk adverse situation and the Fund’s relative underperformance was significant. While the opportunity cost of missing out on these few months of return has been substantial to the Fund’s relative returns, looking back to December, it was not worth the risk of a potentially unwinding financial crisis due to the collapsing credit prices. The best performing strategies and assets during the last 12 months for the Fund were in the areas of high-quality domestic fixed income, technology and consumer staple stocks, REITs and short-term counter-trend strategies. The largest detractors to the Fund’s performance was in emerging market equities, long positions in healthcare, industrial and financial stocks and short positions in the consumer discretionary sector.

 

As of 09/30/19, the 361 Macro Opportunity Fund, Class I, returned -12.34% for the one-year period, -0.11% for the three-year period, -1.91% for the five-year period and -2.38% since the Fund’s inception on 06/30/14.

 

Current and future portfolio holdings are subject to change and risk

 

Returns over one year are annualized. Returns include the reinvestment of dividends and income.

 

Past returns shown do not guarantee future results. Current performance may be lower or higher. Call 888-736-1227 for the latest month-end returns. Return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than original cost. Other share class performance may vary.

 

It is not possible to invest directly in an index.

 

Beta measures a fund’s sensitivity to market movements. By definition, the beta of a market is 1.00.

 

The views in this commentary were as of October 31, 2019 and may not necessarily reflect the same views on the date this commentary is first published or any time thereafter. These views are intended to help shareholders in understanding the Fund's investment methodology and do not constitute investment advice. 

 

7

 

 

 

361 U.S. Small Cap Equity Fund

 

For the 12 months ending October 31, 2019, the Russell 2000 Index gained 4.90%. The 361 U.S. Small Cap Equity Fund declined 0.16% over the same period. The Fund’s fiscal year began in the midst of a large draw down in equity markets. The lowest point was reached in late December and was followed by a quick reversal in the first quarter of the calendar year. Following this volatile period, the Russell 2000 Index was relatively range-bound for the remainder of the fiscal year. The shift in sentiment was led by the Federal Reserve signaling it would be open to rate reductions to support ongoing economic growth. Benchmark interest rates were reduced three times, with the last on October 31st. With an accommodative Federal Reserve, the overriding market narrative shifted to geopolitical developments, mainly the trade war with China. Companies with a domestic revenue base and those with the ability to withstand tariffs fared better when expectations of a deal declined. Viewing the equity universe through a factor framework reveals interesting dynamics. The fiscal year’s final months experienced historic returns for certain factors. These moves were also noteworthy for the fact they occurred without any outsized moves in the index. Volatility was elevated during the initial portion of the year but finished the year lower.

 

The Fund’s holdings are chosen due to their attractive behavioral attributes i.e., companies that have more net positive estimate revisions and those that are believed to exhibit positive drift after favorable announcements. The other behavioral component is that prices do not always immediately reflect positive information so those companies with improving expectations should benefit from future price appreciation. In order to achieve these results, we expose the Fund’s holdings to the highest-ranked stocks according to two key metrics – earnings revisions and surprises. It is our belief that a positive excess return profile can be achieved through populating a portfolio with more earnings estimate increases than a randomly generated portfolio. So long as we can construct a portfolio with more of these upward analyst estimate changes, relative to what would be expected for a similar-sized randomly created portfolio, we believe it will lead to excess returns over time. For the 12 months ending October 31, 2019, analysts issued more negative than positive earnings revisions. Out of 74,676 total revisions in the universe, 32,136 (43.0%) were positive. Based on this universe average, a portfolio of 150 stocks would have been expected to receive 1,115 net negative revisions. Our process created a portfolio that experienced 1,062 net positive revisions—2,177 more than predicted.

 

By the very nature of the investment anomaly we seek to exploit, as well as the secondary considerations within our quantitative process, the strategy has an element of exposure to momentum and value factors. The inefficiency within the market we seek to exploit is stock specific and ultimately, over time, drives performance. There are periods where this stock selection ability is overly-influenced by momentum and value, for example. Over the long term, momentum and value are rewarded when both are positive and exhibit low volatility. Quick reversals, however, make it difficult to generate excess returns. Late in the fiscal year, volatility in momentum increased. This produced a headwind as stocks that performed best were those that did not fit with our selection process.

 

Our main alpha models did not generate positive returns during the year. Companies that received the most favorable analyst revisions underperformed, on average, those with less favorable revisions. Even in the periods where the highest-ranked stocks in our alpha models outperformed the least attractive (a positive Q1 – Q5 spread), the trend was not linear among the quintiles. The varied return profile in the behavioral characteristics to which we seek exposure diminished the return potential. Earnings surprises were also less of a return driver than expected. While we were able to own companies that had a greater proportion of positive earnings surprises (64% compared to 49% of the universe) and fewer negative surprises (11% compared to 22% of the universe), it did not meaningfully contribute to excess returns. Companies that announced the most positive earnings relative to consensus underperformed those that fell short of analysts’ expectations. 

 

8

 

 

 

Sector weightings are commensurate with the benchmark; therefore stock-picking is a large determinant of alpha. As a group, picks within Real Estate and Healthcare had the most positive effects, while holdings in the Consumer Discretionary and Communication Services sectors had the most adverse effects.

 

As of 09/30/19, the 361 U.S. Small Cap Equity Fund, Class I, returned -13.58% for the one-year period, and gained 2.73% since the Fund’s inception on 12/31/16.

 

Current and future portfolio holdings are subject to change and risk.

 

Earnings estimates and revisions are characteristics of stocks used to gauge a company’s performance. These measures are used in the stock selection process for the underlying fund portfolio and do not represent or predict fund performance.  

 

Positive Revisions are analyst revisions that have been revised higher from the previous estimate.

 

Net Revisions are calculated each month based on the holdings in client portfolios as of the beginning of the month. For conservatism and ease of calculation, stocks are assumed to be held for the entire month.

 

Past returns shown do not guarantee future results. Current performance may be lower or higher. Call 888-736-1227 for the latest month-end returns. Return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than original cost. Other share class performance may vary.

 

It is not possible to invest directly in an index.

 

Alpha measures the difference between a fund’s actual and expected returns, based on beta, and is generally used as a measure of a manager’s added value over a passive strategy.

 

The views in this commentary were as of October 31, 2019 and may not necessarily reflect the same views on the date this commentary is first published or any time thereafter. These views are intended to help shareholders in understanding the Fund's investment methodology and do not constitute investment advice. 

 

9

 

361 Managed Futures Strategy Fund

FUND PERFORMANCE at October 31, 2019 (Unaudited)

 

 

 

 

This graph compares a hypothetical $100,000 investment in the Fund’s Class I shares, made at its inception, with a similar investment in the FTSE 3-Month T-Bill Index. The performance graph above is shown for the Fund’s Class I shares; Investor Class shares performance may vary. Results include the reinvestment of all dividends and capital gains.

 

The FTSE 3-Month T-Bill Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 months. This index does not reflect expenses, fees or sales charge, which would lower performance. The index is unmanaged and it is not available for investment.

 

Average Annual Total Returns as of October 31, 2019 1 Year

5 Years

Since Inception Inception Date
Investor Class 4.61% 1.32% 2.94% 12/20/11
Class I 4.79% 1.58% 3.19% 12/20/11
FTSE 3-Month T-Bill index 2.35% 0.99% 0.65% 12/20/11

 

The performance data quoted here represents past performance and past performance is not a guarantee of future results. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information quoted and may be obtained by calling (888) 736-1227.

 

Expense ratios for the Investor Class and Class I shares were 2.18% and 1.93%, respectively, which were the amounts stated in the current prospectus dated March 1, 2019. For the Fund’s current one year expense ratios, please refer to the Financial Highlights section of this report. The Fund’s Advisor has contractually agreed to waive its fees and/or pay for operating expense of the Fund to ensure that total annual fund operating expenses do not exceed 2.24% and 1.99% of the average daily net assets of the Fund’s Investor Class and Class I shares, respectively. This agreement is in effect until February 29, 2020, and it may be terminated before that date only by the Trust’s Board of Trustees. In the absence of such waivers, the Fund’s returns would be lower.

 

Returns reflect the reinvestment of distributions made by the Fund, if any. The graph and performance table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.  

 

10

 

361 Global Managed Futures Strategy Fund

FUND PERFORMANCE at October 31, 2019 (Unaudited)

 

 

 

 

This graph compares a hypothetical $100,000 investment in the Fund’s Class I shares, made at its inception, with a similar investment in the FTSE 3-Month T-Bill Index. The performance graph above is shown for the Fund’s Class I shares; Investor Class shares performance may vary. Results include the reinvestment of all dividends and capital gains.

 

The FTSE 3-Month T-Bill Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 months. This index does not reflect expenses, fees or sales charge, which would lower performance. The index is unmanaged and it is not available for investment.

 

Average Annual Total Returns as of October 31, 2019 1 Year 5 Years Since Inception Inception Date
Investor Class 6.69% 3.78% 2.77% 02/12/14
Class I 6.99% 4.06% 3.03% 02/12/14
FTSE 3-Month T-Bill index 2.35% 0.99% 0.87% 02/12/14

 

The performance data quoted here represents past performance and past performance is not a guarantee of future results. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information quoted and may be obtained by calling (888) 736-1227.

 

Gross expense ratio for the Investor Class shares was 1.95% and net expense ratio after recoupment of waived fees and/or reimbursed expenses was 2.02%. For Class I shares, gross expense ratio was 1.70% and net expense ratio after recoupment of waived fees and/or reimbursed expenses was 1.77%, respectively, which were the amounts stated in the current prospectus dated March 1, 2019. For the Fund’s current one year expense ratios, please refer to the Financial Highlights section of this report. The Fund’s Advisor has contractually agreed to waive its fees and/or pay for operating expense of the Fund to ensure that total annual fund operating expenses do not exceed 1.99% and 1.74% of the average daily net assets of the Fund’s Investor Class and Class I shares Respectively. This agreement is in effect until February 29, 2020, and it may be terminated before that date only by the Trust’s Board of Trustees. In the absence of such waivers, the Fund’s returns would be lower.

 

Returns reflect the reinvestment of distributions made by the Fund, if any. The graph and performance table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. 

 

11

 

361 Domestic Long/Short Equity Fund

FUND PERFORMANCE at October 31, 2019 (Unaudited)

 

 

  

 

This graph compares a hypothetical $1,000,000 investment in the Fund’s Class Y shares, made at its inception, with a similar investment in the Russell 1000 Index. The performance graph above is shown for the Fund’s Class Y shares; Investor Class shares and Class I shares performance may vary. Results include the reinvestment of all dividends and capital gains.

 

The Russell 1000 Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000 Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership, and includes the reinvestment of dividends. This index does not reflect expenses, fees or sales charge, which would lower performance. The index is unmanaged and it is not available for investment.

 

Average Annual Total Returns as of October 31, 2019 1 Year 3 Years Since Inception Inception Date
Investor Class 3.88% 5.94% 4.65% 03/31/16
Class I 4.15% 6.27% 4.92% 03/31/16
Class Y 4.23% 6.36% 5.06% 03/31/16
Russell 1000 Index 14.15% 14.73% 13.59% 03/31/16

 

The performance data quoted here represents past performance and past performance is not a guarantee of future results. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information quoted and may be obtained by calling (888) 736-1227.

 

Gross and net expense ratios for the Investor Class shares were 3.38% and 3.02%, respectively, for Class I shares were 3.06% and 2.70%, respectively, and for Class Y shares were 2.98% and 2.62%, respectively, which were the amounts stated in the current prospectus dated March 1, 2019. For the Fund’s current one year expense ratios, please refer to the Financial Highlights section of this report. The Fund’s Advisor has contractually agreed to waive its fees and/or pay for operating expenses to ensure that total annual fund operating expenses do not exceed 1.39% of the average daily net assets of the Fund. This agreement is in effect until February 29, 2020, and it may be terminated before that date only by the Trust’s Board of Trustees. In the absence of such waivers, the Fund’s returns would be lower.

 

Returns reflect the reinvestment of distributions made by the Fund, if any. The graph and performance table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

12

 

361 Global Long/Short Equity Fund

FUND PERFORMANCE at October 31, 2019 (Unaudited)

 

 

 

 

The Analytic Global Long/Short Equity Fund, L.P. (the “Predecessor Account”) was a limited partnership that commenced operations on January 6, 2014 and reorganized into the Fund on December 12, 2014. The Fund's objectives, policies, guidelines and restrictions are, in all material respects, equivalent to those of the Predecessor Account. Performance shown prior to December 12, 2014 is that of the Predecessor Account and has not been adjusted to reflect the expenses of the Fund's applicable Share Class, which are lower than the expenses of the Predecessor Account. If the applicable Share Class expenses were reflected, the Predecessor Account returns would be higher than those shown. However, the Predecessor Account was not registered under the Investment Company Act of 1940 and therefore was not subject to certain restrictions on regulated investment companies. If the Predecessor Account had been registered, its performance may have been lower.

 

This graph compares a hypothetical $10,000 investment in the Fund’s Class I shares on January 6, 2014, Predecessor Account’s inception date, with a similar investment in the MSCI World Index. The performance graph above is shown for the Fund’s Class I shares; Investor Class shares and Class Y shares performance may vary. Results include the reinvestment of all dividends and capital gains.

 

The MSCI World Index represents large and mid-cap equity performance across 23 developed markets countries, covering approximately 85% of the free float-adjusted market capitalization in each.  This index does not reflect expenses, fees or sales charge, which would lower performance. The index is unmanaged and it is not available for investment.

 

Average Annual Total Returns as of October 31, 2019 1 Year 5 Years Since Inception Inception Date
Investor Class 0.06% 4.64% 5.35% 01/06/14
Class I 0.42% 4.95% 5.61% 01/06/14
Class Y 0.51% 5.04% 5.69% 01/06/14
MSCI World Index 12.69% 7.58% 7.53% 01/06/14

 

The performance data quoted here represents past performance and past performance is not a guarantee of future results. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information quoted and may be obtained by calling (888) 736-1227.

 

 

Gross and net expense ratios for the Investor Class shares were 2.68% and 2.63%, respectively, for Class I shares were 2.40% and 2.35%, respectively, and for Class Y shares were 2.29% and 2.24%, respectively, which were the amounts stated in the current prospectus dated March 1, 2019. For the Fund’s current one year expense ratios, please refer to the Financial Highlights section of this report. The Fund’s Advisor has contractually agreed to waive its fees and/or pay for operating expenses to ensure that total annual fund operating expenses do not exceed 1.39% of the average daily net assets of the Fund. This agreement is in effect until February 29, 2020, and it may be terminated before that date only by the Trust’s Board of Trustees. In the absence of such waivers, the Fund’s returns would be lower.

 

13

 

361 Global Long/Short Equity Fund

FUND PERFORMANCE at October 31, 2019 (Unaudited) - Continued

 

 

Returns reflect the reinvestment of distributions made by the Fund, if any. The graph and performance table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

14

 

361 Macro Opportunity Fund

FUND PERFORMANCE at October 31, 2019 (Unaudited)

 

 

 

 

This graph compares a hypothetical $100,000 investment in the Fund’s Class I shares, made at its inception, with a similar investment in the FTSE 3-Month T-bill Index, MSCI All Country World Index, Bloomberg Barclays Global Aggregate Bond Index, and the Blended Index. The performance graph above is shown for the Fund’s Class I shares; Investor Class shares performance may vary. Results include the reinvestment of all dividends and capital gains.

 

The FTSE 3-Month T-Bill Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 months. The Blended Index – 80% MSCI All Country World Index is defined as a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. 20% Barclays Global Aggregate Bond Index is defined as an index that provides a broad-based measure of the global investment grade fixed-rate debt markets. The indices do not reflect expenses, fees, or sales charge, which would lower performance. These indices are unmanaged and they are not available for investment.

 

Average Annual Total Returns as of October 31, 2019 1 Year 5 Years Since Inception Inception Date
Investor Class -7.86% -2.34% -2.62% 06/30/14
Class I -7.67% -2.11% -2.39% 06/30/14
FTSE 3-Month T-Bill Index 2.35% 0.99% 0.93% 06/30/14
MSCI All Country World Index 12.59% 7.08% 6.29% 06/30/14
Bloomberg Barclays Global Aggregate Bond Index 9.54% 2.13% 1.39% 06/30/14
Blended Index 12.20% 6.19% 5.41% 06/30/14

 

The performance data quoted here represents past performance and past performance is not a guarantee of future results. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information quoted. The most recent month end performance may be obtained by calling (888) 736-1227.

 

Gross and net expense ratios for the Investor Class shares were 3.52% and 2.47%, respectively, and for the Class I shares were 3.27% and 2.22%, respectively, which were the amounts stated in the current prospectus dated March 1, 2019. For the Fund’s current one year expense ratios, please refer to the Financial Highlights section of this report. The Fund’s Advisor has contractually agreed to waive its fees and/or pay for operating expense of the Fund to ensure that total annual fund operating expenses do not exceed 2.15% and 1.90% of the average daily net assets of the Fund’s Investor Class and Class I shares, respectively. This agreement is in effect until February 29, 2020, and it may be terminated before that date only by the Trust’s Board of Trustees. In the absence of such waivers, the Fund’s returns would be lower.

 

15

 

361 Macro Opportunity Fund

FUND PERFORMANCE at October 31, 2019 (Unaudited) - Continued

 

 

Returns reflect the reinvestment of distributions made by the Fund, if any. The graph and performance table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

16

 

361 U.S. Small Cap Equity Fund

FUND PERFORMANCE at October 31, 2019 (Unaudited)

 

 

 

 

This graph compares a hypothetical $10,000 investment in the Fund’s Class I shares, made at its inception, with a similar investment in the Russell 2000 Index. The performance graph above is shown for the Fund’s Class I shares; Investor Class shares and Class Y shares performance may vary. Results include the reinvestment of all dividends and capital gains.

 

The Russell 2000 Index measures the performance of the small-cap segment of the U.S. Equity universe. It is a subset of the Russell 3000 Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2000 Index is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set. This index does not reflect expenses, fees or sales charge, which would lower performance. The index is unmanaged and it is not available for investment.

 

Average Annual Total Returns as of October 31, 2019 1 Year 2 Years Since Inception Inception Date
Investor Class -0.35% -2.60% 2.87% 12/30/16
Class I -0.16% -2.33% 3.16% 12/30/16
Class Y 0.00% -2.22% 3.27% 12/30/16
Russell 2000 Index 4.90% 3.37% 6.50% 12/30/16

 

The performance data quoted here represents past performance and past performance is not a guarantee of future results. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information quoted and may be obtained by calling (888) 736-1227.

 

Gross and net expense ratios for the Investor Class shares were 2.51% and 1.24%, respectively, for Class I shares were 2.20% and 0.93%, respectively, and for Class Y shares were 2.11% and 0.84%, respectively, which were the amounts stated in the current prospectus dated March 1, 2019. For the Fund’s current one year expense ratios, please refer to the Financial Highlights section of this report. The Fund’s Advisor has contractually agreed to waive its fees and/or pay for operating expenses to ensure that total annual fund operating expenses do not exceed 0.84% of the average daily net assets of the Fund. This agreement is in effect until February 29, 2020, and it may be terminated before that date only by the Trust’s Board of Trustees. In the absence of such waivers, the Fund’s returns would have been lower.

 

Returns reflect the reinvestment of distributions made by the Fund, if any. The graph and performance table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. 

 

17

 

361 Managed Futures Strategy Fund

SCHEDULE OF INVESTMENTS

As of October 31, 2019

 

 

Principal Amount      Value 
    ASSET-BACKED SECURITIES — 40.0%    
$1,075,024   ARI Fleet Lease Trust
Series 2017-A, Class A2, 1.910%, 4/15/20261,2
  $1,073,719 
 671,147   BMW Vehicle Lease Trust
Series 2017-2, Class A3, 2.070%, 10/20/20202
   671,996 
 750,000   Capital One Prime Auto Receivables Trust
 Series 2019-1, Class A2, 2.580%, 4/15/20222
   752,739 
 2,000,000   Carmax Auto Owner Trust
Series 2019-4, Class A2B, 2.350% (1-Month USD LIBOR+30 basis points), 3/15/20232,3
   2,000,491 
 1,582,948   Chesapeake Funding II LLC
Series 2017-2A, Class A2, 2.364% (1-Month USD LIBOR+45 basis points), 5/15/20291,2,3
   1,585,210 
 1,392,647   Dell Equipment Finance Trust
Series 2018-1, Class A2B, 2.150% (1-Month USD LIBOR+30 basis points), 10/22/20201,2,3
   1,392,864 
     Drive Auto Receivables Trust     
 1,096,013   Series 2017-3, Class C, 2.800%, 7/15/20222   1,097,018 
 1,456,989   Series 2018-3, Class B, 3.370%, 9/15/20222   1,459,661 
     Evergreen Credit Card Trust     
 2,000,000   Series 2019-1, Class A, 2.394% (1-Month USD LIBOR+48 basis points), 1/15/20231,2,3   2,004,490 
 1,000,000   Series 2019-3, Class A, 2.217% (1-Month USD LIBOR+37 basis points), 10/16/20231,2,3   1,000,196 
 1,070,080   GM Financial Consumer Automobile Receivables Trust
Series 2018-3, Class A2B, 2.001% (1-Month USD LIBOR+11 basis points), 7/16/20212,3
   1,069,811 
 2,250,000   Golden Credit Card Trust
Series 2019-2A, Class A, 2.241% (1-Month USD LIBOR+35 basis points), 10/15/20231,2,3
   2,250,445 
 1,662,132   Gosforth Funding PLC
Series 2017-1A, Class A1A, 2.634% (3-Month USD LIBOR+47 basis points), 12/19/20591,2,3
   1,662,079 
 464,007   Hyundai Auto Lease Securitization Trust
 Series 2017-B, Class A3, 1.970%, 7/15/20201,2
   463,980 
 1,280,000   Lanark Master Issuer PLC
Series 2018-1A, Class 1A, 2.570% (3-Month USD LIBOR+42 basis points), 12/22/20691,2,3
   1,279,281 
 2,000,000   Master Credit Card Trust
Series 2019-1A, Class A, 2.326% (1-Month USD LIBOR+48 basis points), 7/21/20221,2,3
   2,003,996 
 508,000   Master Credit Card Trust II
Series 2017-1A, Class C, 3.060%, 7/21/20211,2
   508,212 
 1,250,000   MMAF Equipment Finance LLC
Series 2019-A, Class A2, 2.840%, 1/10/20221,2
   1,257,497 

 

18

 

361 Managed Futures Strategy Fund

SCHEDULE OF INVESTMENTS - Continued

As of October 31, 2019

 

 

Principal Amount      Value 
    ASSET-BACKED SECURITIES (Continued)    
$3,000,000   NextGear Floorplan Master Owner Trust
Series 2017-2A, Class A1, 2.594% (1-Month USD LIBOR+68 basis points), 10/17/20221,2,3
  $3,008,637 
 740,817   Nissan Auto Receivables Owner Trust
Series 2019-A, Class A2A, 2.820%, 1/18/20222
   744,125 
 2,000,000   Penarth Master Issuer PLC
Series 2018-2A, Class A1, 2.328% (1-Month USD LIBOR+45 basis points), 9/18/20221,2,3
   1,999,930 
 2,000,000   Permanent Master Issuer PLC
Series 2018-1A, Class 1A1, 2.366% (3-Month USD LIBOR+38 basis points), 7/15/20581,2,3
   2,000,494 
     PFS Financing Corp.     
 2,000,000   Series 2018-A, Class B, 2.514% (1-Month USD LIBOR+60 basis points), 2/17/20221,2,3   1,996,574 
 2,000,000   Series 2019-B, Class B, 2.721% (1-Month USD LIBOR+80 basis points), 9/15/20231,2,3   2,001,827 
 2,000,000   Series 2019-A, Class A1, 2.464% (1-Month USD LIBOR+55 basis points), 4/15/20241,2,3   2,004,728 
 952,174   Santander Drive Auto Receivables Trust
Series 2017-3, Class B, 2.190%, 3/15/20222
   952,222 
 2,000,000   Securitized Term Auto Receivables Trust
Series 2019-1A, Class A3, 2.986%, 2/27/20231,2
   2,029,370 
 433,563   SLM Student Loan Trust
Series 2011-2, Class A1, 2.423% (1-Month USD LIBOR+60 basis points), 11/25/20272,3
   434,766 
     SMB Private Education Loan Trust     
 355,611   Series 2018-B, Class A1, 2.241% (1-Month USD LIBOR+32 basis points), 12/16/20241,2,3   355,607 
 1,030,653   Series 2019-A, Class A1, 2.264% (1-Month USD LIBOR+35 basis points), 2/16/20261,2,3   1,030,722 
 1,296,314   Sofi Consumer Loan Program LLC
Series 2017-3, Class A, 2.770%, 5/25/20261,2
   1,302,005 
 1,607,729   SoFi Consumer Loan Program Trust
Series 2019-3, Class A, 2.900%, 5/25/20281,2
   1,620,114 
     Sofi Professional Loan Program LLC     
 422,789   Series 2016-E, Class A1, 2.673% (1-Month USD LIBOR+85 basis points), 7/25/20391,2,3   424,257 
 646,155   Series 2017-C, Class A1, 2.423% (1-Month USD LIBOR+60 basis points), 7/25/20401,2,3   646,613 
 515,902   Series 2018-A, Class A1, 2.173% (1-Month USD LIBOR+35 basis points), 2/25/20421,2,3   515,954 
 2,000,000   Trillium Credit Card Trust II
Series 2018-2A, Class A, 2.154% (1-Month USD LIBOR+35 basis points), 9/26/20231,2,3
   2,001,988 

 

19

 

361 Managed Futures Strategy Fund

SCHEDULE OF INVESTMENTS - Continued

As of October 31, 2019

 

 

Principal Amount      Value 
     ASSET-BACKED SECURITIES (Continued)     
$3,000,000   Verizon Owner Trust
Series 2019-C, Class A1B, 2.640% (1-Month USD LIBOR+42 basis points), 4/22/20242,3
  $3,003,576 
 987,132   World Omni Auto Receivables Trust
Series 2018-C, Class A2, 2.800%, 1/18/20222
   989,667 
     TOTAL ASSET-BACKED SECURITIES (Cost $52,499,448)   52,596,861 
     COLLATERALIZED MORTGAGE OBLIGATIONS — 3.0%     
 1,572,575   Freddie Mac Structured Agency Credit Risk Debt Notes
Series 2014-DN2, Class M2, 3.473% (1-Month USD LIBOR+165 basis points), 4/25/20242,3
   1,578,178 
 2,303,330   Holmes Master Issuer PLC
Series 2018-2A, Class A2, 2.421% (3-Month USD LIBOR+42 basis points), 10/15/20541,2,3
   2,303,088 
     TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $3,858,207)   3,881,266 
     COMMERCIAL PAPERS — 2.3%     
 3,000,000   Ford Motor Co.
4.060%, 1/3/2020
   2,985,636 
     TOTAL COMMERCIAL PAPERS (Cost $2,978,685)   2,985,636 
     CORPORATE BONDS — 30.9%     
     COMMUNICATIONS — 3.2%     
 2,500,000   Comcast Corp.
2.539% (3-Month USD LIBOR+44 basis points), 10/1/20213
   2,514,055 
 1,000,000   Verizon Communications, Inc.
2.700% (3-Month USD LIBOR+55 basis points), 5/22/20203
   1,002,860 
 645,000   Walt Disney Co.
2.362% (3-Month USD LIBOR+25 basis points), 9/1/20213
   646,967 
         4,163,882 
     CONSUMER, CYCLICAL — 4.0%     
 1,910,000   American Honda Finance Corp.
2.379% (3-Month USD LIBOR+26 basis points), 6/16/20203
   1,912,830 
 1,000,000   Home Depot, Inc.
2.277% (3-Month USD LIBOR+15 basis points), 6/5/20203
   1,000,790 
 1,500,000   Toyota Motor Credit Corp.
2.315% (3-Month USD LIBOR+17 basis points), 9/18/20203
   1,501,902 
 800,000   Volkswagen Group of America Finance LLC
2.500%, 9/24/20211
   805,811 
         5,221,333 

 

20

 

361 Managed Futures Strategy Fund

SCHEDULE OF INVESTMENTS - Continued

As of October 31, 2019

 

 

Principal Amount      Value 
     CORPORATE BONDS (Continued)     
     CONSUMER, NON-CYCLICAL — 8.7%     
$2,000,000   BAT Capital Corp.
2.765% (3-Month USD LIBOR+59 basis points), 8/14/20203
  $2,004,292 
 2,000,000   Bayer U.S. Finance II LLC
2.736% (3-Month USD LIBOR+63 basis points), 6/25/20211,2,3
   2,005,836 
 3,000,000   Bristol-Myers Squibb Co.
2.550%, 5/14/20211
   3,034,134 
 1,820,000   Tyson Foods, Inc.
2.602% (3-Month USD LIBOR+45 basis points), 8/21/20203
   1,822,140 
 2,650,000   UnitedHealth Group, Inc.
2.071% (3-Month USD LIBOR+7 basis points), 10/15/20203
   2,646,924 
         11,513,326 
     ENERGY — 1.7%     
 590,000   MPLX LP
3.002% (3-Month USD LIBOR+90 basis points), 9/9/20212,3
   592,445 
 1,595,000   Occidental Petroleum Corp.
3.637% (3-Month USD LIBOR+145 basis points), 8/15/20222,3
   1,605,052 
         2,197,497 
     FINANCIAL — 9.8%     
 4,170,000   BBVA USA
2.868% (3-Month USD LIBOR+73 basis points), 6/11/20212,3
   4,179,207 
 2,367,000   Charles Schwab Corp.
2.472% (3-Month USD LIBOR+32 basis points), 5/21/20212,3
   2,370,274 
 1,000,000   Citibank N.A.
2.420% (SOFRRATE+60 basis points), 3/13/20212,3
   1,002,298 
 770,000   Citigroup, Inc.
0.000% (SOFRRATE+87 basis points), 11/4/20222,3
   773,464 
 1,050,000   Fifth Third Bank
2.376% (3-Month USD LIBOR+44 basis points), 7/26/20212,3
   1,054,469 
 3,500,000   New York Life Global Funding
2.216% (3-Month USD LIBOR+28 basis points), 1/28/20211,3
   3,505,901 
         12,885,613 
     UTILITIES — 3.5%     
 2,230,000   Florida Power & Light Co.
2.639% (3-Month USD LIBOR+40 basis points), 5/6/20222,3
   2,230,134 
 2,410,000   Sempra Energy
2.501% (3-Month USD LIBOR+50 basis points), 1/15/20212,3
   2,408,874 
         4,639,008 
     TOTAL CORPORATE BONDS (Cost $40,505,770)   40,620,659 

 

21

 

361 Managed Futures Strategy Fund

SCHEDULE OF INVESTMENTS - Continued

As of October 31, 2019

 

 

Principal Amount      Value 
    MUNICIPAL BONDS — 3.0%    
$4,000,000   State of Mississippi
2.411% (1-Month USD LIBOR+40 basis points), 11/1/20202,3
  $4,006,640 
     TOTAL MUNICIPAL BONDS (Cost $4,000,000)   4,006,640 

 

Number of Shares        
     SHORT-TERM INVESTMENTS — 19.7%     
 25,870,495   Federated Treasury Obligations Fund – Institutional Class, 1.664%4   25,870,495 
     TOTAL SHORT-TERM INVESTMENTS (Cost $25,870,495)   25,870,495 
           
     TOTAL INVESTMENTS — 98.9% (Cost $129,712,605)   129,961,557 
           
     Other Assets in Excess of Liabilities — 1.1%   1,501,004 
     TOTAL NET ASSETS — 100.0%  $131,462,561 

 

LLC – Limited Liability Company
LP – Limited Partnership
PLC – Public Limited Company

 

1Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities are restricted and may be resold in transactions exempt from registration normally to qualified institutional buyers. The total value of these securities is $51,075,559, which represents 38.85% of total net assets of the Fund.
2Callable.
3Floating rate security.
4The rate is the annualized seven-day yield at period end.

 

See accompanying Notes to Financial Statements. 

 

22

 

361 Managed Futures Strategy Fund

SCHEDULE OF INVESTMENTS - Continued

As of October 31, 2019

 

 

FUTURES CONTRACTS

 

Number of Contracts Long (Short)  Description  Expiration  Date  Notional Value   Value at  October 31, 2019   Unrealized Appreciation (Depreciation) 
(427)  CBOE Volatility Index  November 2019  $(7,010,075)  $(6,522,425)  $487,650 
97  E-Mini Dow  December 2019   13,081,424    13,086,270    4,846 
448  E-Mini Russell 2000 Index  December 2019   34,995,266    35,020,160    24,894 
34  E-Mini S&P MidCap 400  December 2019   6,647,390    6,647,000    (390)
                      
TOTAL FUTURES CONTRACTS     $47,714,005   $48,231,005   $517,000 

 

See accompanying Notes to Financial Statements.

 

23

 

361 Managed Futures Strategy Fund

SUMMARY OF INVESTMENTS

As of October 31, 2019

 

 

Security Type/Sector Percent of Total Net Assets  
Corporate Bonds  
Financial 9.8%
Consumer, Non-cyclical 8.7%
Consumer, Cyclical 4.0%
Utilities 3.5%
Communications 3.2%
Energy 1.7 %
Total Corporate Bonds 30.9%
Asset-Backed Securities 40.0%
Collateralized Mortgage Obligations 3.0%
Commercial Papers 2.3%
Municipal Bonds 3.0%
Short-Term Investments 19.7%
Total Investments 98.9%
Other Assets in Excess of Liabilities 1.1%
Total Net Assets 100.0%

 

See accompanying notes to Financial Statements.

 

24

 

361 Global Managed Futures Strategy Fund

SCHEDULE OF INVESTMENTS

As of October 31, 2019

 

 

Principal Amount      Value 
    U.S. TREASURY BILLS — 90.1%    
    United States Treasury Bill    
$14,957,000   1.92%, 11/21/2019  $14,944,391 
 11,027,200   1.83%, 12/19/2019   11,005,951 
 12,805,200   1.61%, 1/16/2020   12,763,839 
     TOTAL U.S. TREASURY BILLS (Cost $38,702,850)   38,714,181 
     SHORT-TERM INVESTMENTS — 10.8%     
 4,663,065   UMB Money Market Fiduciary, 0.25%1   4,663,065 
     TOTAL SHORT-TERM INVESTMENTS (Cost $4,663,065)   4,663,065 
           
     TOTAL INVESTMENTS — 100.9% (Cost $43,365,915)   43,377,246 
           
     Liabilities in Excess of Other Assets — (0.9)%   (404,992)
     TOTAL NET ASSETS — 100.0%  $42,972,254 

 

1The rate is the annualized seven-day yield at period end.

 

See accompanying Notes to Financial Statements. 

 

25

 

361 Global Managed Futures Strategy Fund

SCHEDULE OF INVESTMENTS - Continued

As of October 31, 2019

 

 

FUTURES CONTRACTS

 

Number of Contracts Long (Short)  Description  Expiration  Date  Notional Value   Value at  October 31, 2019   Unrealized Appreciation (Depreciation) 
26  CAC 40 10 Index  November 2019  $1,664,400   $1,660,630   $(3,770)
25  E-mini Dow Index  December 2019   3,371,501    3,372,750    1,249 
64  E-mini Russell 2000 Index  December 2019   4,999,324    5,002,880    3,556 
TOTAL FUTURES CONTRACTS     $10,035,225   $10,036,260   $1,035 

 

See accompanying Notes to Financial Statements.

 

26

 

361 Global Managed Futures Strategy Fund

SUMMARY OF INVESTMENTS

As of October 31, 2019

 

 

Security Type/Sector Percent of Total Net Assets
Short-Term Investments 10.8%
U.S. Treasury Bills 90.1%
Total Investments 100.9%
Liabilities in Excess of Other Assets (0.9)%
Total Net Assets 100.0%

 

See accompanying Notes to Financial Statements.

 

27

 

361 Domestic Long/Short Equity Fund

SCHEDULE OF INVESTMENTS

As of October 31, 2019

 

 

Number of Shares      Value 
    COMMON STOCKS — 102.7%    
    BASIC MATERIALS — 3.7%    
 8,942   Eastman Chemical Co.1  $679,950 
 6,902   Reliance Steel & Aluminum Co.1   800,908 
         1,480,858 
     COMMUNICATIONS — 9.0%     
 5,025   CDW Corp.1   642,748 
 1,729   F5 Networks, Inc.*1   249,114 
 2,623   IAC/InterActiveCorp*1   596,077 
 20,018   Interpublic Group of Cos., Inc.1   435,392 
 10,776   John Wiley & Sons, Inc. - Class A1   496,450 
 14,836   Telephone & Data Systems, Inc.1   387,071 
 4,045   VeriSign, Inc.*1   768,631 
         3,575,483 
     CONSUMER, CYCLICAL — 4.7%     
 37,102   Extended Stay America, Inc.   527,219 
 6,663   Lowe's Cos., Inc.1   743,658 
 222   Lululemon Athletica, Inc.*1   45,348 
 9,006   Southwest Airlines Co.1   505,507 
 459   Wyndham Destinations, Inc.1   21,302 
         1,843,034 
     CONSUMER, NON-CYCLICAL — 33.2%     
 1,527   AbbVie, Inc.1   121,473 
 17,178   Altria Group, Inc.1   769,403 
 5,339   Amgen, Inc.1   1,138,542 
 492   Beyond Meat, Inc.*1   41,549 
 2,604   Biogen, Inc.*1   777,841 
 284   Bio-Rad Laboratories, Inc. - Class A*1   94,180 
 3,129   Bio-Techne Corp.1   651,364 
 11,127   Booz Allen Hamilton Holding Corp.1   783,007 
 5,019   Charles River Laboratories International, Inc.*1   652,370 
 753   Chemed Corp.1   296,614 
 671   Danaher Corp.1   92,477 
 4,602   Ecolab, Inc.1   883,906 
 13,054   Gilead Sciences, Inc.1   831,670 
 9,187   Ingredion, Inc.1   725,773 
 4,965   Laboratory Corp. of America Holdings*1   818,083 
 4,234   Masimo Corp.*1   617,275 
 16,667   Mondelez International, Inc. - Class A1   874,184 
 9,964   PepsiCo, Inc.1   1,366,762 
 8,323   Quest Diagnostics, Inc.1   842,704 
 242   Tyson Foods, Inc. - Class A1   20,035 

 

28

 

361 Domestic Long/Short Equity Fund

SCHEDULE OF INVESTMENTS - Continued

As of October 31, 2019

 

 

Number of Shares      Value 
    COMMON STOCKS (Continued)    
    CONSUMER, NON-CYCLICAL (Continued)    
 4,919   West Pharmaceutical Services, Inc.1  $707,549 
         13,106,761 
     FINANCIAL — 19.2%     
 5,077   Ally Financial, Inc.1   155,508 
 20,874   American Campus Communities, Inc. - REIT1   1,043,283 
 1,700   American National Insurance Co.1   203,966 
 7,842   Apple Hospitality REIT, Inc.1   129,236 
 4,150   Camden Property Trust - REIT1   474,635 
 14,863   East West Bancorp, Inc.1   637,920 
 6,488   Hanover Insurance Group, Inc.1   854,534 
 93,666   MFA Financial, Inc. - REIT1   710,925 
 35,129   Old Republic International Corp.1   784,782 
 25,215   Outfront Media, Inc. - REIT1   663,407 
 9,351   SEI Investments Co.1   560,312 
 1,333   Synchrony Financial1   47,148 
 5,704   Vornado Realty Trust - REIT1   374,354 
 29,928   Weingarten Realty Investors - REIT1   949,616 
         7,589,626 
     INDUSTRIAL — 5.6%     
 6,569   Curtiss-Wright Corp.1   888,457 
 17,855   Jabil, Inc.1   657,421 
 17,829   Westrock Co.1   666,270 
         2,212,148 
     TECHNOLOGY — 22.8%     
 530   Apple, Inc.1   131,843 
 3,495   Aspen Technology, Inc.*1   402,309 
 12,220   CDK Global, Inc.1   617,599 
 2,752   Citrix Systems, Inc.1   299,583 
 14,727   DXC Technology Co.1   407,496 
 1,888   Fair Isaac Corp.*1   574,028 
 12,338   Genpact Ltd.1,2   483,280 
 43,644   Hewlett Packard Enterprise Co.1   716,198 
 36,640   HP, Inc.1   636,437 
 6,680   International Business Machines Corp.1   893,316 
 9,919   Leidos Holdings, Inc.1   855,315 
 5,721   Manhattan Associates, Inc.*1   428,789 
 1,478   Microsoft Corp.1   211,901 
 14,113   Oracle Corp.1   769,017 
 10,538   Paychex, Inc.1   881,398 
 565   Pegasystems, Inc.1   42,494 
 17,671   Teradata Corp.*1   528,893 

 

29

 

361 Domestic Long/Short Equity Fund

SCHEDULE OF INVESTMENTS - Continued

As of October 31, 2019

 

 

Number of Shares      Value 
    COMMON STOCKS (Continued)    
    TECHNOLOGY (Continued)    
 1,064   Veeva Systems, Inc. - Class A*1  $150,907 
         9,030,803 
     UTILITIES — 4.5%     
 25,124   MDU Resources Group, Inc.1   725,832 
 11,053   Pinnacle West Capital Corp.1   1,040,308 
         1,766,140 
     TOTAL COMMON STOCKS (Cost $38,411,951)   40,604,853 

 

Principal Amount        
    SHORT-TERM INVESTMENTS — 22.3%    
$8,796,252   UMB Money Market Fiduciary, 0.25%3   8,796,252 
     TOTAL SHORT-TERM INVESTMENTS (Cost $8,796,252)   8,796,252 
           
     TOTAL INVESTMENTS — 125.0% (Cost $47,208,203)   49,401,105 
           
     Liabilities in Excess of Other Assets — (25.0)%   (9,868,753)
     TOTAL NET ASSETS — 100.0%  $39,532,352 

 

Number of Shares        
    SECURITIES SOLD SHORT — (30.8)%    
    COMMON STOCKS — (30.8)%    
    BASIC MATERIALS — (2.0)%    
 (24,481)  Alcoa Corp.*   (508,960)
 (23,598)  United States Steel Corp.   (271,613)
         (780,573)
     COMMUNICATIONS — (2.7)%     
 (1,669)  Anaplan, Inc.*   (78,777)
 (3,241)  Roku, Inc.*   (477,075)
 (454)  Spotify Technology S.A.*2   (65,512)
 (1,466)  Trade Desk, Inc. - Class A*   (294,373)
 (939)  World Wrestling Entertainment, Inc. - Class A   (52,622)
 (3,481)  Zillow Group, Inc. - Class C*   (113,376)
         (1,081,735)
     CONSUMER, CYCLICAL — (4.0)%     
 (27,053)  Mattel, Inc.*   (323,013)
 (10,427)  Planet Fitness, Inc. - Class A*   (663,783)
 (1,937)  Tesla, Inc.*   (610,000)
         (1,596,796)

 

30

 

361 Domestic Long/Short Equity Fund

SCHEDULE OF INVESTMENTS - Continued

As of October 31, 2019

 

 

Number of Shares      Value 
    SECURITIES SOLD SHORT (Continued)    
    COMMON STOCKS (Continued)    
    CONSUMER, NON-CYCLICAL — (4.6)%    
 (2,247)  Alnylam Pharmaceuticals, Inc.*  $(194,905)
 (4,084)  Bluebird Bio, Inc.*   (330,804)
 (3,308)  DexCom, Inc.*   (510,226)
 (5,966)  Guardant Health, Inc.*   (414,637)
 (20,626)  Nektar Therapeutics*   (353,220)
         (1,803,792)
     ENERGY — (2.5)%     
 (16,552)  Occidental Petroleum Corp.   (670,356)
 (71,416)  Transocean Ltd.*2   (339,226)
         (1,009,582)
     FINANCIAL — (4.2)%     
 (15,033)  American International Group, Inc.   (796,148)
 (96,643)  Annaly Capital Management, Inc. - REIT   (867,854)
         (1,664,002)
     INDUSTRIAL — (3.9)%     
 (20,113)  Colfax Corp.*   (675,797)
 (19,541)  General Electric Co.   (195,019)
 (11,434)  Stericycle, Inc.*   (658,598)
         (1,529,414)
     TECHNOLOGY — (6.9)%     
 (3,606)  Alteryx, Inc.*   (329,949)
 (3,515)  MongoDB, Inc.*   (449,111)
 (10,065)  Qorvo, Inc.*   (813,856)
 (4,933)  Splunk, Inc.*   (591,763)
 (4,290)  Twilio, Inc. - Class A*   (414,242)
 (338)  Western Digital Corp.   (17,458)
 (440)  Zebra Technologies Corp. - Class A*   (104,663)
         (2,721,042)
     TOTAL COMMON STOCKS (Proceeds $12,129,540)   (12,186,936)
     TOTAL SECURITIES SOLD SHORT (Proceeds $12,129,540)  $(12,186,936)

 

REIT – Real Estate Investment Trusts

 

*Non-income producing security.
1All or a portion of this security is segregated as collateral for securities sold short.
2Foreign security denominated in U.S. Dollars.
3The rate is the annualized seven-day yield at period end.

 

See accompanying Notes to Financial Statements. 

 

31

 

361 Domestic Long/Short Equity Fund

SUMMARY OF INVESTMENTS

As of October 31, 2019

 

 

Security Type/Sector Percent of Total Net Assets
Common Stocks  
Consumer, Non-cyclical 33.2%
Technology 22.8%
Financial 19.2%
Communications 9.0%
Industrial 5.6%
Consumer, Cyclical 4.7%
Utilities 4.5%
Basic Materials 3.7%
Total Common Stocks 102.7%
Short-Term Investments 22.3%
Total Investments 125.0%
Liabilities in Excess of Other Assets (25.0)%
Total Net Assets 100.0%

 

See accompanying Notes to Financial Statements.

 

32

 

361 Global Long/Short Equity Fund

SCHEDULE OF INVESTMENTS

As of October 31, 2019

 

 

Number of Shares      Value 
    COMMON STOCKS — 99.1%    
    BASIC MATERIALS — 4.8%    
 67,967   BHP Group PLC  $1,441,605 
 1,951,419   Fortescue Metals Group Ltd.   11,944,201 
 236,000   Kirkland Lake Gold Ltd.   11,082,378 
 275,771   Rio Tinto Ltd.   17,245,288 
         41,713,472 
     COMMUNICATIONS — 14.7%     
 10,034   Alphabet, Inc. - Class A*1   12,630,799 
 11,456   Alphabet, Inc. - Class C*1   14,435,820 
 570,445   Auto Trader Group PLC2   4,156,416 
 2,735   Booking Holdings, Inc.*1   5,603,386 
 39,159   CDW Corp.1   5,008,828 
 177,278   Corning, Inc.1   5,252,747 
 145,176   Discovery, Inc. - Class A*1   3,913,219 
 109,070   Facebook, Inc. - Class A*1   20,903,266 
 199,806   Fox Corp. - Class B1   6,241,939 
 42,746   IAC/InterActiveCorp*1   9,714,029 
 375,000   Kakaku.com, Inc.   8,707,459 
 798,700   KDDI Corp.   22,100,943 
 75,300   Trend Micro, Inc.   3,800,711 
 45,272   TripAdvisor, Inc.*1   1,828,989 
 19,765   VeriSign, Inc.*1   3,755,745 
         128,054,296 
     CONSUMER, CYCLICAL — 10.3%     
 37,900   ABC-Mart, Inc.   2,598,630 
 107,300   Air Canada*   3,820,796 
 24,667   Bayerische Motoren Werke A.G.   1,518,366 
 64,932   Best Buy Co., Inc.1   4,664,065 
 333,566   Carnival Corp.1,3   14,306,646 
 147,667   Darden Restaurants, Inc.1   16,578,574 
 361,039   Gap, Inc.1   5,870,494 
 996   NVR, Inc.*1   3,622,044 
 5,815   Porsche Automobil Holding S.E.   428,172 
 83,198   Ralph Lauren Corp.1   7,992,000 
 7,500   Sekisui House Ltd.   161,733 
 134,008   Starbucks Corp.1   11,331,716 
 11,410   Whirlpool Corp.1   1,735,689 
 150,836   Yum! Brands, Inc.1   15,341,529 
         89,970,454 
     CONSUMER, NON-CYCLICAL — 16.5%     
 101,114   a2 Milk Co., Ltd.*   839,485 
 42,125   Adecco Group A.G.   2,504,168 

 

33

 

361 Global Long/Short Equity Fund

SCHEDULE OF INVESTMENTS - Continued

As of October 31, 2019

 

 

Number of Shares      Value 
    COMMON STOCKS (Continued)    
    CONSUMER, NON-CYCLICAL (Continued)    
 6,641   Alexion Pharmaceuticals, Inc.*1  $699,961 
 44,476   Amgen, Inc.1   9,484,507 
 154,183   Atlantia S.p.A.   3,809,314 
 49,850   Biogen, Inc.*1   14,890,694 
 23,822   Bristol-Myers Squibb Co.1   1,366,668 
 9,918   Carlsberg A/S - Class B   1,396,694 
 22,920   Clorox Co.1   3,385,055 
 336,146   Coca-Cola European Partners PLC1,3   17,987,172 
 117,729   Colgate-Palmolive Co.1   8,076,209 
 434,500   Empire Co., Ltd. - Class A   11,536,303 
 154,177   Gilead Sciences, Inc.1   9,822,617 
 46,525   Kimberly-Clark Corp.1   6,182,242 
 60,700   Loblaw Cos. Ltd.   3,237,088 
 147,506   METRO A.G.   2,408,744 
 61,400   Persol Holdings Co., Ltd.   1,179,373 
 238,932   Robert Half International, Inc.1   13,683,636 
 39,955   Societe BIC S.A.   2,774,034 
 153,111   Unilever N.V.   9,050,096 
 764,176   Western Union Co.1   19,150,251 
         143,464,311 
     DIVERSIFIED — 0.8%     
 326,226   Industrivarden A.B. - C Shares   7,068,229 
     ENERGY — 1.8%     
 55,725   Equinor A.S.A.   1,034,567 
 820,100   Inpex Corp.   7,581,402 
 309,403   Plains GP Holdings LP - Class A*1   5,742,520 
 6,161   Royal Dutch Shell PLC - A Shares   178,594 
 40,674   Royal Dutch Shell PLC - B Shares   1,171,390 
         15,708,473 
     FINANCIAL — 19.4%     
 24,882   Ageas   1,434,994 
 93,247   Alliance Data Systems Corp.1   9,324,700 
 24,208   Athene Holding Ltd. - Class A*1,3   1,049,417 
 224,395   Brookfield Property REIT, Inc. - Class A - REIT1   4,241,066 
 33,979   Erie Indemnity Co. - Class A1   6,261,310 
 46,700   First Capital Realty, Inc.   772,956 
 227,700   Fukuoka Financial Group, Inc.   4,389,450 
 222,600   H&R Real Estate Investment Trust - REIT   3,765,491 
 12,780   Hang Lung Group Ltd.   32,009 
 289,207   HCP, Inc. - REIT1   10,879,967 
 239   Japan Prime Realty Investment Corp. - REIT   1,148,634 

 

34

 

361 Global Long/Short Equity Fund

SCHEDULE OF INVESTMENTS - Continued

As of October 31, 2019

 

 

Number of Shares      Value 
    COMMON STOCKS (Continued)    
    FINANCIAL (Continued)    
 143,300   Manulife Financial Corp.  $2,668,855 
 363,913   MetLife, Inc.1   17,027,489 
 148,600   MS&AD Insurance Group Holdings, Inc.   4,798,478 
 540,200   Power Corp. of Canada   12,501,174 
 387,100   Power Financial Corp.   9,052,221 
 20,002   Prudential Financial, Inc.1   1,822,982 
 69,874   Public Storage - REIT1   15,572,120 
 292,200   RioCan Real Estate Investment Trust - REIT   5,863,523 
 291,400   SmartCentres Real Estate Investment Trust - REIT   7,044,398 
 264,347   TD Ameritrade Holding Corp.1   10,145,638 
 96,500   Tokio Marine Holdings, Inc.   5,217,332 
 410,477   Unum Group1   11,304,537 
 352,792   Vornado Realty Trust - REIT1   23,153,739 
         169,472,480 
     INDUSTRIAL — 13.3%     
 54,678   Allegion PLC1,3   6,344,835 
 3,800   Central Japan Railway Co.   779,509 
 147,853   CIMIC Group Ltd.   3,369,501 
 1,736,100   ComfortDelGro Corp., Ltd.   2,931,655 
 91,090   Garmin Ltd.1,3   8,539,687 
 71,665   HEICO Corp. - Class A1   6,827,525 
 42,799   HeidelbergCement A.G.   3,173,107 
 283,700   Hitachi Ltd.   10,588,382 
 441,733   Johnson Controls International plc1,3   19,140,291 
 720,600   Konica Minolta, Inc.   5,289,059 
 357,757   LafargeHolcim Ltd.*   18,466,861 
 16,113   Lennox International, Inc.1   3,985,712 
 555   Mettler-Toledo International, Inc.*1   391,242 
 342,200   Mitsubishi Heavy Industries Ltd.   13,848,618 
 59,700   Nippon Express Co., Ltd.   3,406,219 
 5,800   Sumitomo Heavy Industries Ltd.   180,160 
 45,700   Taiheiyo Cement Corp.   1,292,807 
 8,900   Venture Corp. Ltd.   103,233 
 22,682   Waters Corp.*1   4,799,965 
 3,613,600   Yangzijiang Shipbuilding Holdings Ltd.   2,529,653 
         115,988,021 
     TECHNOLOGY — 14.2%     
 130,100   Advantest Corp.   5,920,654 
 51,668   Broadcom Inc.1   15,130,974 
 3   Cadence Design Systems, Inc.*1   196 
 66,800   CGI, Inc.*   5,192,456 

 

35

 

361 Global Long/Short Equity Fund

SCHEDULE OF INVESTMENTS - Continued

As of October 31, 2019

 

 

Number of Shares      Value 
    COMMON STOCKS (Continued)    
    TECHNOLOGY (Continued)    
 22,046   Citrix Systems, Inc.1  $2,399,928 
 4,400   Constellation Software, Inc.   4,345,647 
 310,287   DXC Technology Co.1   8,585,641 
 309,502   Intel Corp.1   17,496,148 
 13,484   International Business Machines Corp.1   1,803,215 
 8,590   Leidos Holdings, Inc.1   740,716 
 45,276   Maxim Integrated Products, Inc.1   2,655,890 
 139,907   Micro Focus International PLC   1,920,242 
 12,580   NXP Semiconductors N.V.1,3   1,430,094 
 14,094   Qorvo, Inc.*1   1,139,641 
 91,472   QUALCOMM, Inc.1   7,358,008 
 516,200   Ricoh Co., Ltd.   4,597,078 
 16,935   Skyworks Solutions, Inc.1   1,542,101 
 134,598   Texas Instruments, Inc.1   15,881,218 
 36,205   Veeva Systems, Inc. - Class A*1   5,134,955 
 65,053   Xerox Holdings Corp.1   2,207,248 
 110,715   Xilinx, Inc.1   10,046,279 
 34,796   Zebra Technologies Corp. - Class A*1   8,276,925 
         123,805,254 
     UTILITIES — 3.3%     
 559,400   Chubu Electric Power Co., Inc.   8,392,257 
 238,871   Enagas S.A.   5,910,898 
 454,500   Kansai Electric Power Co., Inc.   5,302,256 
 1,700   Osaka Gas Co., Ltd.   33,243 
 343,923   Red Electrica Corp. S.A.   6,912,139 
 67,555   Uniper S.E.   2,105,507 
         28,656,300 
     TOTAL COMMON STOCKS (Cost $839,816,742)   863,901,290 

 

Principal Amount        
    SHORT-TERM INVESTMENTS — 13.7%    
$119,763,725   UMB Money Market Fiduciary, 0.25%4   119,763,725 
     TOTAL SHORT-TERM INVESTMENTS (Cost $119,763,725)   119,763,725 
          
     TOTAL INVESTMENTS — 112.8% (Cost $959,580,467)   983,665,015 
           
     Liabilities in Excess of Other Assets — (12.8)%   (111,693,892)
     TOTAL NET ASSETS — 100.0%  $871,971,123 

 

36

 

361 Global Long/Short Equity Fund

SCHEDULE OF INVESTMENTS - Continued

As of October 31, 2019

 

 

Number of Shares      Value 
    SECURITIES SOLD SHORT — (29.2)%    
    COMMON STOCKS — (29.2)%    
    BASIC MATERIALS — (4.7)%    
 (30,700)  Agnico Eagle Mines Ltd.  $(1,886,846)
 (427,986)  ArcelorMittal   (6,363,845)
 (16,900)  Cameco Corp.   (150,895)
 (1,109,919)  Freeport-McMoRan, Inc.   (10,899,405)
 (175,003)  Norsk Hydro A.S.A.   (618,381)
 (209,853)  thyssenkrupp A.G.   (2,992,687)
 (186,200)  Turquoise Hill Resources Ltd.*   (76,341)
 (271,300)  West Fraser Timber Co., Ltd.   (12,544,355)
 (89,907)  Westlake Chemical Corp.   (5,681,223)
         (41,213,978)
     COMMUNICATIONS — (2.2)%     
 (11,486)  Iliad S.A.   (1,190,383)
 (454)  MercadoLibre, Inc.*   (236,770)
 (57,900)  MonotaRO Co., Ltd.   (1,749,195)
 (33,948)  Netflix, Inc.*   (9,756,995)
 (76,197)  Wayfair, Inc. - Class A*   (6,265,679)
         (19,199,022)
     CONSUMER, CYCLICAL — (3.1)%     
 (127,400)  Ryohin Keikaku Co., Ltd.   (2,836,214)
 (36,106)  Tesla, Inc.*   (11,370,502)
 (347,816)  Valeo S.A.   (12,953,178)
         (27,159,894)
     CONSUMER, NON-CYCLICAL — (8.1)%     
 (143,702)  Alnylam Pharmaceuticals, Inc.*   (12,464,711)
 (136,928)  BioMarin Pharmaceutical, Inc.*   (10,024,499)
 (51,179)  Exact Sciences Corp.*   (4,452,573)
 (431,772)  Nektar Therapeutics*   (7,394,096)
 (16,460)  Ocado Group PLC*   (283,707)
 (104,619)  Sarepta Therapeutics, Inc.*   (8,689,654)
 (111,954)  Seattle Genetics, Inc.*   (12,023,860)
 (407,400)  Takeda Pharmaceutical Co., Ltd.   (14,720,616)
         (70,053,716)
     ENERGY — (5.3)%     
 (181,967)  Cheniere Energy, Inc.*   (11,200,069)
 (200,044)  Helmerich & Payne, Inc.   (7,501,650)
 (11,738)  Marathon Oil Corp.   (135,339)
 (367,767)  National Oilwell Varco, Inc.   (8,318,889)
 (507,117)  Noble Energy, Inc.   (9,767,073)
 (111,336)  Targa Resources Corp.   (4,328,744)

 

37

 

361 Global Long/Short Equity Fund

SCHEDULE OF INVESTMENTS - Continued

As of October 31, 2019

 

 

Number of Shares      Value 
    SECURITIES SOLD SHORT (Continued)    
    COMMON STOCKS (Continued)    
    ENERGY (Continued)    
 (259,583)  TechnipFMC PLC3  $(5,121,573)
         (46,373,337)
     FINANCIAL — (2.9)%     
 (241,364)  Kinnevik A.B. - Class B   (6,605,560)
 (3,676,642)  Melrose Industries PLC   (10,160,772)
 (1,828,000)  Nomura Holdings, Inc.   (8,308,230)
         (25,074,562)
     INDUSTRIAL — (0.8)%     
 (1,693,800)  Bombardier, Inc. - Class B*   (2,134,772)
 (10,100)  MISUMI Group, Inc.   (253,901)
 (268,600)  SNC-Lavalin Group, Inc.   (4,855,642)
         (7,244,315)
     TECHNOLOGY — (2.1)%     
 (77,275)  MongoDB, Inc. - Class A*   (9,873,427)
 (48,988)  Twilio, Inc. - Class A*   (4,730,281)
 (70,604)  Western Digital Corp.   (3,646,697)
         (18,250,405)
     TOTAL COMMON STOCKS (Proceeds $257,795,930)   (254,569,229)
     TOTAL SECURITIES SOLD SHORT (Proceeds $257,795,930)  $(254,569,229)

 

LP – Limited Partnership

PLC – Public Limited Company

REIT – Real Estate Investment Trusts

*Non-income producing security.
1All or a portion of this security is segregated as collateral for securities sold short.
2Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities are restricted and may be resold in transactions exempt from registration normally to qualified institutional buyers. The total value of these securities is $4,156,416, which represents 0.48% of total net assets of the Fund.
3Foreign security denominated in U.S. Dollars.
4The rate is the annualized seven-day yield at period end.

 

See accompanying Notes to Financial Statements. 

 

38

 

361 Global Long/Short Equity Fund

SUMMARY OF INVESTMENTS

As of October 31, 2019

 

 

Security Type/Country Percent of Total Net Assets
Common Stocks  
United States 58.4%
Japan 13.9%
Canada 9.3%
United Kingdom 5.8%
Switzerland 3.4%
Australia 1.9%
Spain 1.5%
Germany 1.1%
Sweden 0.8%
Ireland 0.7%
Italy 0.4%
Singapore 0.4%
Netherlands 0.3%
France 0.3%
China 0.3%
Belgium 0.2%
Denmark 0.2%
Norway 0.1%
New Zealand 0.1%
Hong Kong 0.0%
Total Common Stocks 99.1%
Short-Term Investments 13.7%
Total Investments 112.8%
Liabilities in Excess of Other Assets (12.8)%
Total Net Assets 100.0%

 

See accompanying Notes to Financial Statements. 

 

39

 

361 Macro Opportunity Fund

SCHEDULE OF INVESTMENTS

As of October 31, 2019

 

 

Number of Shares      Value 
    COMMON STOCKS — 62.4%    
    BASIC MATERIALS — 1.3%    
 232   Celanese Corp.  $28,107 
 836   Eastman Chemical Co.   63,569 
 718   Newmont Goldcorp Corp.   28,526 
         120,202 
     COMMUNICATIONS — 3.6%     
 27   Booking Holdings, Inc.*   55,317 
 486   CDW Corp.   62,165 
 5,718   Grupo Televisa SAB - ADR1   63,184 
 3,027   Maxar Technologies, Inc.   25,699 
 310   Trade Desk, Inc. - Class A*   62,248 
 4,145   Viavi Solutions, Inc.*   66,154 
         334,767 
     CONSUMER, CYCLICAL — 13.0%     
 1,971   Century Communities, Inc.*   59,465 
 125   Costco Wholesale Corp.   37,139 
 1,238   DR Horton, Inc.   64,834 
 11,864   GameStop Corp. - Class A   64,540 
 1,050   Installed Building Products, Inc.*   68,481 
 1,527   KB Home   54,499 
 2,449   Knoll, Inc.   65,486 
 487   Lennar Corp. - Class A   29,025 
 1,559   M/I Homes, Inc.*   68,877 
 452   Mohawk Industries, Inc.*   64,808 
 2,914   Newell Brands, Inc.   55,278 
 10   NVR, Inc.*   36,366 
 349   RH*   63,413 
 575   Ross Stores, Inc.   63,060 
 507   Target Corp.   54,203 
 1,080   TJX Cos., Inc.   62,262 
 3,562   TRI Pointe Group, Inc.*   56,066 
 2,038   Urban Outfitters, Inc.*   58,491 
 840   Visteon Corp.*   78,137 
 457   Walmart, Inc.   53,588 
 2,718   William Lyon Homes - Class A*   52,593 
         1,210,611 
     CONSUMER, NON-CYCLICAL — 17.8%     
 8,079   Altria Group, Inc.   361,858 
 306   Amgen, Inc.   65,254 
 1,058   AstraZeneca PLC - ADR1   51,874 
 13,375   Avantor, Inc.*   190,059 
 1,157   Bristol-Myers Squibb Co.   66,377 

 

40

 

361 Macro Opportunity Fund

SCHEDULE OF INVESTMENTS - Continued

As of October 31, 2019

 

 

Number of Shares      Value 
    COMMON STOCKS (Continued)    
    CONSUMER, NON-CYCLICAL (Continued)    
 1,600   Campbell Soup Co.  $74,096 
 1,028   Coca-Cola Co.   55,954 
 3,500   Cosan Ltd. - Class A*1   58,870 
 584   CVS Health Corp.   38,772 
 1,059   DENTSPLY SIRONA, Inc.   58,012 
 11,200   Endo International PLC*1   51,408 
 1,490   GlaxoSmithKline PLC - ADR1   68,242 
 348   Global Payments, Inc.   58,875 
 207   Hershey Co.   30,402 
 475   Johnson & Johnson   62,719 
 5,810   Kraft Heinz Co.   187,837 
 689   Kroger Co.   16,977 
 1,723   Novo Nordisk A/S - ADR1   95,144 
 922   NuVasive, Inc.*   65,038 
         1,657,768 
     ENERGY — 0.6%     
 645   SolarEdge Technologies, Inc.*   54,799 
     FINANCIAL — 7.5%     
 261   Allstate Corp.   27,776 
 1,091   Ally Financial, Inc.   33,417 
 950   Apartment Investment & Management Co. - Class A - REIT   52,136 
 276   AvalonBay Communities, Inc. - REIT   60,074 
 2,060   Bank of America Corp.   64,416 
 1,278   Deluxe Corp.   66,239 
 1,980   Getty Realty Corp. - REIT   66,409 
 394   JPMorgan Chase & Co.   49,219 
 2,588   Kimco Realty Corp. - REIT   55,797 
 688   Lamar Advertising Co. - Class A - REIT   55,047 
 475   Mid-America Apartment Communities, Inc. - REIT   66,020 
 1,321   Omega Healthcare Investors, Inc. - REIT   58,177 
 1,350   Weyerhaeuser Co. - REIT   39,434 
         694,161 
     INDUSTRIAL — 9.5%     
 1,623   Boise Cascade Co.   58,055 
 3,344   Builders FirstSource, Inc.*   75,608 
 596   Generac Holdings, Inc.*   57,562 
 2,226   Ichor Holdings Ltd.*1   64,799 
 389   Illinois Tool Works, Inc.   65,577 
 511   Ingersoll-Rand PLC1   64,841 
 422   Jacobs Engineering Group, Inc.   39,491 
 285   Kansas City Southern   40,122 

 

41

 

361 Macro Opportunity Fund

SCHEDULE OF INVESTMENTS - Continued

As of October 31, 2019

 

 

Number of Shares      Value 
    COMMON STOCKS (Continued)    
    INDUSTRIAL (Continued)    
 726   Knowles Corp.*  $15,667 
 132   Martin Marietta Materials, Inc.   34,572 
 421   Nordson Corp.   66,017 
 732   Oshkosh Corp.   62,498 
 1,150   Owens Corning   70,472 
 286   Raytheon Co.   60,692 
 1,729   Summit Materials, Inc. - Class A*   39,646 
 601   Trex Co., Inc.*   52,822 
 96   Vulcan Materials Co.   13,715 
         882,156 
     TECHNOLOGY — 7.3%     
 183   Activision Blizzard, Inc.   10,254 
 1,936   Advanced Micro Devices, Inc.*   65,688 
 1,143   Applied Materials, Inc.   62,019 
 230   ASML Holding N.V.1   60,253 
 3,011   FormFactor, Inc.*   65,730 
 1,165   Intel Corp.   65,857 
 453   Microsoft Corp.   64,947 
 378   MKS Instruments, Inc.   40,907 
 337   NVIDIA Corp.   67,744 
 542   Seagate Technology PLC1   31,452 
 1,223   Taiwan Semiconductor Manufacturing Co., Ltd. - ADR1   63,144 
 3,533   Ultra Clean Holdings, Inc.*   75,500 
         673,495 
     UTILITIES — 1.8%     
 1,387   Brookfield Renewable Partners LP1   59,003 
 596   Consolidated Edison, Inc.   54,963 
 1,066   PNM Resources, Inc.   55,592 
         169,558 
     TOTAL COMMON STOCKS (Cost $5,609,059)   5,797,517 
     EXCHANGE-TRADED FUNDS — 45.1%     
 269   Apple, Inc.   66,917 
 3,071   iShares 7-10 Year Treasury Bond ETF   345,518 
 17,269   iShares Core U.S. Aggregate Bond ETF2   1,953,987 
 3,859   iShares MSCI Brazil ETF   172,111 
 1,521   iShares MSCI New Zealand ETF   79,883 
 4,365   iShares MSCI Switzerland ETF   168,402 
 945   iShares Russell 2000 Value ETF   115,659 
 8,659   SPDR Gold Shares*2   1,233,301 

 

42

 

361 Macro Opportunity Fund

SCHEDULE OF INVESTMENTS - Continued

As of October 31, 2019

 

 

Number of Shares      Value 
    EXCHANGE-TRADED FUNDS (Continued)    
 555   Technology Select Sector SPDR Fund  $46,437 
     TOTAL EXCHANGE-TRADED FUNDS (Cost $4,099,210)   4,182,215 
          
     TOTAL INVESTMENTS — 107.5% (Cost $9,708,269)   9,979,732 
           
     Liabilities in Excess of Other Assets — (7.5)%   (693,375)
     TOTAL NET ASSETS — 100.0%  $9,286,357 

 

Number of Shares        
    SECURITIES SOLD SHORT — (22.8)%    
    COMMON STOCKS — (17.4)%    
    BASIC MATERIALS — (0.7)%    
 (975)  DuPont de Nemours, Inc.   (64,262)
     COMMUNICATIONS — (4.8)%     
 (699)  CBS Corp. - Class B   (25,192)
 (1,355)  Cisco Systems, Inc.   (64,376)
 (1,076)  Etsy, Inc.*   (47,871)
 (258)  FactSet Research Systems, Inc.   (65,408)
 (699)  GrubHub, Inc.*   (23,808)
 (709)  Lyft, Inc. - Class A*   (29,381)
 (234)  Netflix, Inc.*   (67,254)
 (1,998)  Pinterest, Inc.*   (50,230)
 (940)  Uber Technologies, Inc.*   (29,610)
 (525)  Wayfair, Inc.*   (43,171)
         (446,301)
     CONSUMER, CYCLICAL — (4.9)%     
 (85)  Chipotle Mexican Grill, Inc.*   (66,143)
 (7,544)  Ford Motor Co.   (64,803)
 (4,274)  Macy's, Inc.   (64,794)
 (302)  McDonald's Corp.   (59,403)
 (694)  NIKE, Inc. - Class B   (62,148)
 (1,102)  Ollie's Bargain Outlet Holdings, Inc.*   (70,396)
 (793)  Wingstop, Inc.   (66,160)
         (453,847)
     ENERGY — (1.4)%     
 (868)  EOG Resources, Inc.   (60,161)
 (2,076)  Schlumberger Ltd.1   (67,865)
         (128,026)
     INDUSTRIAL — (1.4)%     
 (831)  Ball Corp.   (58,145)

 

43

 

361 Macro Opportunity Fund

SCHEDULE OF INVESTMENTS - Continued

As of October 31, 2019

 

 

Number of Shares      Value 
    SECURITIES SOLD SHORT (Continued)    
    COMMON STOCKS (Continued)    
    INDUSTRIAL (Continued)    
 (7,647)  General Electric Co.  $(76,317)
         (134,462)
     TECHNOLOGY — (3.5)%     
 (3,628)  Box, Inc.*   (61,386)
 (94)  Fair Isaac Corp.*   (28,580)
 (445)  HubSpot, Inc.*   (69,019)
 (2,069)  Slack Technologies, Inc. - Class A*   (45,518)
 (446)  Splunk, Inc.*   (53,502)
 (671)  Twilio, Inc. - Class A*   (64,792)
         (322,797)
     UTILITIES — (0.7)%     
 (522)  DTE Energy Co.   (66,461)
     TOTAL COMMON STOCKS (Proceeds $1,655,698)   (1,616,156)
     EXCHANGE-TRADED FUNDS — (5.4)%     
 (4,661)  iShares iBoxx High Yield Corporate Bond ETF   (404,622)
 (1,237)  SPDR S&P Biotech ETF   (100,976)
     TOTAL EXCHANGE-TRADED FUNDS (Proceeds $497,741)   (505,598)
           
     TOTAL SECURITIES SOLD SHORT (Proceeds $2,153,439)  $(2,121,754)

 

ADR – American Depository Receipt
ETF – Exchange-Traded Fund
LP – Limited Partnership
PLC – Public Limited Company
REIT – Real Estate Investment Trusts

*Non-income producing security.
1Foreign security denominated in U.S. Dollars.
2All or a portion of this security is segregated as collateral for securities sold short.

 

See accompanying Notes to Financial Statements. 

 

44

 

361 Macro Opportunity Fund

SUMMARY OF INVESTMENTS

As of October 31, 2019

 

 

Security Type/Sector Percent of Total Net Assets  
Common Stocks  
Consumer, Non-cyclical 17.8%
Consumer, Cyclical 13.0%
Industrial 9.5%
Financial 7.5%
Technology 7.3%
Communications 3.6%
Utilities 1.8%
Basic Materials 1.3%
Energy 0.6%
Total Common Stocks 62.4%
Exchange-Traded Funds 45.1%
Total Investments 107.5%
Liabilities in Excess of Other Assets (7.5)%
Total Net Assets 100.0%

 

See accompanying Notes to Financial Statements. 

 

45

 

361 U.S. Small Cap Equity Fund

SCHEDULE OF INVESTMENTS

As of October 31, 2019

 

 

Number of Shares      Value 
    COMMON STOCKS — 101.3%    
    BASIC MATERIALS — 3.4%    
 3,114   Carpenter Technology Corp.  $152,648 
 9,604   Commercial Metals Co.   185,645 
 2,006   Ingevity Corp.*   168,925 
 1,744   Kaiser Aluminum Corp.   186,748 
 2,396   Materion Corp.   136,189 
         830,155 
     COMMUNICATIONS — 4.0%     
 12,143   Boingo Wireless, Inc.*   114,994 
 4,276   Cargurus, Inc.*   143,631 
 1,976   ePlus, Inc.*   154,385 
 9,333   NIC, Inc.   219,512 
 4,276   Perficient, Inc.*   167,619 
 10,544   TEGNA, Inc.   158,477 
         958,618 
     CONSUMER, CYCLICAL — 12.9%     
 8,363   Bloomin' Brands, Inc.   165,671 
 5,653   BMC Stock Holdings, Inc.*   152,574 
 3,637   Brinker International, Inc.   161,665 
 17,739   Everi Holdings, Inc.*   178,454 
 1,979   Fox Factory Holding Corp.*   120,600 
 7,390   Funko, Inc. - Class A*   133,020 
 3,793   Genesco, Inc.*   147,358 
 2,078   Group 1 Automotive, Inc.   206,636 
 4,754   H&E Equipment Services, Inc.   161,351 
 3,611   Herman Miller, Inc.   167,911 
 6,735   Hibbett Sports, Inc.*   160,697 
 2,889   Installed Building Products, Inc.*   188,421 
 2,325   Meritage Homes Corp.*   167,609 
 897   RH*   162,985 
 3,849   Rush Enterprises, Inc. - Class A   168,163 
 6,056   SeaWorld Entertainment, Inc.*   160,000 
 2,714   SkyWest, Inc.   161,619 
 7,599   Taylor Morrison Home Corp.*   190,355 
 4,944   Zumiez, Inc.*   157,763 
         3,112,852 
     CONSUMER, NON-CYCLICAL — 23.2%     
 3,899   ACADIA Pharmaceuticals, Inc.*   165,357 
 16,766   ACCO Brands Corp.   153,409 
 1,810   Addus HomeCare Corp.*   152,420 
 1,294   Amedisys, Inc.*   166,305 
 3,088   Anika Therapeutics, Inc.*   217,364 

 

46

 

361 U.S. Small Cap Equity Fund

SCHEDULE OF INVESTMENTS - Continued

As of October 31, 2019

 

 

Number of Shares      Value 
    COMMON STOCKS (Continued)    
    CONSUMER, NON-CYCLICAL (Continued)    
 397   Boston Beer Co., Inc. - Class A*  $148,661 
 4,703   Cardtronics PLC - Class A*1   161,125 
 3,720   Chegg, Inc.*   114,055 
 384   Chemed Corp.   151,261 
 8,366   Coherus Biosciences, Inc.*   145,317 
 1,883   CONMED Corp.   207,168 
 3,015   Emergent BioSolutions, Inc.*   172,337 
 4,494   EVERTEC, Inc.1   137,472 
 3,462   FibroGen, Inc.*   135,537 
 1,430   FTI Consulting, Inc.*   155,684 
 10,091   Halozyme Therapeutics, Inc.*   154,594 
 1,112   Helen of Troy Ltd.*1   166,533 
 9,240   Hertz Global Holdings, Inc.*   124,832 
 4,537   HMS Holdings Corp.*   148,315 
 2,181   ICF International, Inc.   186,890 
 9,558   Insmed, Inc.*   177,683 
 1,943   Integer Holdings Corp.*   150,466 
 894   J&J Snack Foods Corp.   170,540 
 1,062   Ligand Pharmaceuticals, Inc.*   115,556 
 778   Medifast, Inc.   86,311 
 2,102   Medpace Holdings, Inc.*   154,770 
 4,832   Prestige Consumer Healthcare, Inc.*   171,343 
 13,073   R1 RCM, Inc.*   138,966 
 6,199   Rent-A-Center, Inc.   160,368 
 1,843   Repligen Corp.*   146,500 
 6,215   Rosetta Stone, Inc.*   119,079 
 5,891   Simply Good Foods Co.*   144,565 
 2,651   Tandem Diabetes Care, Inc.*   163,249 
 8,078   Theravance Biopharma, Inc.*1   130,217 
 1,185   U.S. Physical Therapy, Inc.   167,642 
 10,197   Vanda Pharmaceuticals, Inc.*   137,762 
 7,489   Voyager Therapeutics, Inc.*   115,256 
         5,614,909 
     ENERGY — 2.0%     
 3,492   CVR Energy, Inc.   165,591 
 17,855   Helix Energy Solutions Group, Inc.*   153,374 
 2,002   SolarEdge Technologies, Inc.*   170,090 
         489,055 
     FINANCIAL — 27.9%     
 5,719   Acadia Realty Trust - REIT   160,018 
 5,504   Americold Realty Trust - REIT   220,655 

 

47

 

361 U.S. Small Cap Equity Fund

SCHEDULE OF INVESTMENTS - Continued

As of October 31, 2019

 

 

Number of Shares      Value 
    COMMON STOCKS (Continued)    
    FINANCIAL (Continued)    
 5,375   BancorpSouth Bank  $164,851 
 19,840   Capstead Mortgage Corp. - REIT   153,363 
 2,899   Cohen & Steers, Inc.   189,711 
 1,357   EastGroup Properties, Inc. - REIT   181,770 
 1,585   eHealth, Inc.*   109,428 
 6,546   Enova International, Inc.*   153,766 
 3,501   Essent Group Ltd.1   182,367 
 7,566   Essential Properties Realty Trust, Inc. - REIT   194,144 
 4,941   Federated Investors, Inc. - Class B   157,816 
 14,241   First BanCorp1   149,815 
 12,404   First Commonwealth Financial Corp.   174,772 
 5,087   First Financial Bankshares, Inc.   169,295 
 4,048   First Industrial Realty Trust, Inc. - REIT   170,461 
 7,916   First Midwest Bancorp, Inc.   162,595 
 3,796   Glacier Bancorp, Inc.   160,647 
 6,596   Hannon Armstrong Sustainable Infrastructure Capital, Inc. - REIT   196,957 
 4,901   Health Insurance Innovations, Inc. - Class A*   129,778 
 8,029   Hilltop Holdings, Inc.   187,557 
 1,589   Innovative Industrial Properties, Inc. - REIT   120,764 
 12,973   Investors Bancorp, Inc.   156,325 
 2,363   McGrath RentCorp   180,321 
 11,510   MGIC Investment Corp.   157,802 
 17,802   Mr Cooper Group, Inc.*   227,866 
 4,713   National Storage Affiliates Trust - REIT   161,043 
 6,017   NMI Holdings, Inc. - Class A*   175,997 
 5,957   PennyMac Financial Services, Inc.*   185,441 
 7,195   PennyMac Mortgage Investment Trust - REIT   164,694 
 1,026   PS Business Parks, Inc. - REIT   185,244 
 7,182   Radian Group, Inc.   180,268 
 3,445   Rexford Industrial Realty, Inc. - REIT   165,670 
 1,645   RLI Corp.   160,091 
 2,293   Ryman Hospitality Properties, Inc. - REIT   193,002 
 4,743   Sandy Spring Bancorp, Inc.   163,633 
 2,098   Selective Insurance Group, Inc.   145,014 
 5,342   United Community Banks, Inc.   161,382 
 2,836   Walker & Dunlop, Inc.   178,640 
 2,482   Westamerica Bancorporation   163,862 
 7,278   Xenia Hotels & Resorts, Inc. - REIT   153,202 
         6,750,027 
     INDUSTRIAL — 15.4%     
 2,720   Aerovironment, Inc.*   157,706 
 4,187   Arcosa, Inc.   160,823 

 

48

 

361 U.S. Small Cap Equity Fund

SCHEDULE OF INVESTMENTS - Continued

As of October 31, 2019

 

 

Number of Shares      Value 
    COMMON STOCKS (Continued)    
    INDUSTRIAL (Continued)    
 6,430   Atkore International Group, Inc.*  $223,121 
 3,578   AZZ, Inc.   138,791 
 2,787   Badger Meter, Inc.   161,089 
 5,142   Benchmark Electronics, Inc.   174,314 
 4,958   Boise Cascade Co.   177,348 
 27,432   DHT Holdings, Inc.1   212,049 
 13,116   Dorian LPG Ltd.*1   163,294 
 2,327   EMCOR Group, Inc.   204,101 
 2,929   Exponent, Inc.   186,079 
 4,822   Federal Signal Corp.   156,426 
 13,768   Frontline Ltd.*1   143,462 
 2,138   GATX Corp.   170,078 
 1,797   Generac Holdings, Inc.*   173,554 
 2,628   Itron, Inc.*   200,411 
 7,486   Knowles Corp.*   161,548 
 2,509   MasTec, Inc.*   157,916 
 2,333   NV5 Global, Inc.*   168,979 
 1,420   OSI Systems, Inc.*   140,921 
 1,389   Tennant Co.   107,550 
 2,141   Tetra Tech, Inc.   187,273 
         3,726,833 
     TECHNOLOGY — 8.3%     
 11,210   Amkor Technology, Inc.*   139,340 
 900   CACI International, Inc. - Class A*   201,375 
 2,902   Cirrus Logic, Inc.*   197,220 
 3,528   CSG Systems International, Inc.   203,354 
 3,177   Five9, Inc.*   176,355 
 2,207   MAXIMUS, Inc.   169,365 
 2,098   Mercury Systems, Inc.*   154,539 
 1,989   Omnicell, Inc.*   140,006 
 4,061   Progress Software Corp.   161,953 
 2,998   SPS Commerce, Inc.*   158,204 
 4,345   Upland Software, Inc.*   162,851 
 7,436   Xperi Corp.   150,988 
         2,015,550 
     UTILITIES — 4.2%     
 1,949   American States Water Co.   185,408 
 3,465   Avista Corp.   166,424 
 1,737   Chesapeake Utilities Corp.   164,668 
 2,413   NorthWestern Corp.   174,991 
 1,747   ONE Gas, Inc.   162,191 

 

49

 

361 U.S. Small Cap Equity Fund

SCHEDULE OF INVESTMENTS - Continued

As of October 31, 2019

 

 

Number of Shares      Value 
    COMMON STOCKS (Continued)    
    UTILITIES (Continued)    
 1,996   Spire, Inc.  $167,784 
         1,021,466 
     Total Common Stocks (Cost $22,568,380)   24,519,465 

 

Principal Amount        
    SHORT-TERM INVESTMENTS — 2.8%    
$664,104   UMB Money Market Fiduciary, 0.25%2   664,104 
     TOTAL SHORT-TERM INVESTMENTS (Cost $664,104)   664,104 
          
     TOTAL INVESTMENTS — 104.1% (Cost $23,232,484)   25,183,569 
           
     Liabilities in Excess of Other Assets — (4.1)%   (987,319)
     TOTAL NET ASSETS — 100.0%  $24,196,250 

 

PLC – Public Limited Company
REIT – Real Estate Investment Trusts

*Non-income producing security.
1Foreign security denominated in U.S. Dollars.
2The rate is the annualized seven-day yield at period end.

 

See accompanying Notes to Financial Statements. 

 

50

 

361 U.S. Small Cap Equity Fund

SUMMARY OF INVESTMENTS

As of October 31, 2019

 

 

Security Type/Sector Percent of Total Net Assets
Common Stocks  
Financial 27.9%
Consumer, Non-cyclical 23.2%
Industrial 15.4%
Consumer, Cyclical 12.9%
Technology 8.3%
Utilities 4.2%
Communications 4.0%
Basic Materials 3.4%
Energy 2.0%
Total Common Stocks 101.3%
Short-Term Investments 2.8%
Total Investments 104.1%
Liabilities in Excess of Other Assets (4.1)%
Total Net Assets 100.0%

 

See accompanying Notes to Financial Statements. 

 

51

 

STATEMENTS OF ASSETS AND LIABILITIES

As of October 31, 2019

 

 

   361 Managed Futures Strategy Fund   361 Global Managed Futures Strategy Fund   361 Domestic Long/Short Equity Fund 
Assets:               
Investments, at cost  $129,712,605   $43,365,915   $47,208,203 
Foreign currency at brokers, at cost   -    672,908    - 
Foreign currency, at cost   -    -    - 
                
Investments, at value  $129,961,557   $43,377,246   $49,401,105 
Foreign currency at brokers, at value   -    697,023    - 
Foreign currency, at value   -    -    - 
Unrealized appreciation on open futures contracts   517,390    4,805    - 
Cash   -    -    - 
Cash deposited with brokers for securities sold short   -    -    3,484,976 
Cash deposited with brokers for futures contracts   1,737,410    234,142    - 
Receivables:               
Investment securities sold   -    -    - 
Fund shares sold   102,007    20,834    351 
Dividends and interest   274,024    971    30,356 
Due from Advisor   -    -    - 
Prepaid expenses   27,319    903    13,790 
Other assets   -    267    - 
Total assets   132,619,707    44,336,191    52,930,578 
                
Liabilities:               
Securities sold short, proceeds  $-   $-   $12,129,540 
Foreign currency, proceeds   -    -    - 
Securities sold short, at value  $-   $-   $12,186,936 
Foreign currency due to custodian, at value   -    -    - 
Payables:               
Due to broker for futures contracts   -    11    - 
Investment securities purchased   770,000    -    - 
Unrealized depreciation on open futures contracts   390    3,770    - 
Fund shares redeemed   26,995    1,199,057    1,094,410 
Advisory fees   169,671    48,098    26,903 
Sub-advisory fees   9,034    -    - 
Shareholder servicing fees (Note 7)   41,532    13,186    2,835 
Distribution fees (Note 6)   9,546    2,176    133 
Fund administration fees   44,199    21,499    18,572 
Transfer agent fees and expenses   27,366    18,247    14,295 
Auditing fees   19,750    19,750    19,750 
Shareholder reporting fees   16,445    12,096    1,445 
Custody fees   9,525    6,672    3,579 
Trustees' deferred compensation (Note 3)   3,959    3,191    3,348 
Chief Compliance Officer fees   2,768    2,161    1,940 
Trustees' fees and expenses   125    392    58 
Due to custodian   -    -    - 
Dividends and interest on securities sold short   -    -    17,817 

 

See accompanying Notes to Financial Statements.

 

52

 

STATEMENTS OF ASSETS AND LIABILITIES - Continued

As of October 31, 2019

 

 

   361 Managed Futures Strategy Fund   361 Global Managed Futures Strategy Fund   361 Domestic Long/Short Equity Fund 
Accrued other expenses   5,841    13,631    6,205 
Total liabilities   1,157,146    1,363,937    13,398,226 
Net Assets  $131,462,561   $42,972,254   $39,532,352 
                
Components of Net Assets:               
Paid-in capital (par value of $0.01 per share with a number of shares authorized)  $133,698,618   $45,903,085   $36,982,963 
Total distributable earnings (accumulated deficit)   (2,236,057)   (2,930,831)   2,549,389 
Net Assets  $131,462,561   $42,972,254   $39,532,352 
                
Maximum Offering Price per Share:               
Investor Class Shares:               
Net assets applicable to shares outstanding  $48,006,439   $10,394,647   $656,364 
Shares of beneficial interest issued and outstanding   4,068,404    957,827    62,142 
Net asset value, offering and redemption price per share  $11.80   $10.85   $10.56 
                
Class I Shares:               
Net assets applicable to shares outstanding  $83,456,122   $32,577,607   $13,658,494 
Shares of beneficial interest issued and outstanding   6,936,711    2,957,528    1,281,944 
Net asset value, offering and redemption price per share  $12.03   $11.02   $10.65 
                
Class Y Shares:               
Net assets applicable to shares outstanding  $-   $-   $25,217,494 
Shares of beneficial interest issued and outstanding   -    -    2,357,978 
Net asset value, offering and redemption price per share  $-   $-   $10.69 

 

See accompanying Notes to Financial Statements.

 

53

 

STATEMENTS OF ASSETS AND LIABILITIES - Continued

As of October 31, 2019

 

 

   361 Global Long/Short Equity Fund   361 Macro Opportunity Fund   361 U.S. Small Cap Equity Fund 
Assets:            
Investments, at cost  $959,580,467   $9,708,269   $23,232,484 
Foreign currency at brokers, at cost   -    -    - 
Foreign currency, at cost   1,564,839    -    - 
Investments, at value  $983,665,015   $9,979,732   $25,183,569 
Foreign currency at brokers, at value   -    -    - 
Foreign currency, at value   1,579,786    -    - 
Unrealized appreciation on open futures contracts   -    -    - 
Cash   370,976    -    - 
Cash deposited with brokers for securities sold short   148,713,179    -    - 
Cash deposited with brokers for futures contracts   -    1,621,804    - 
Receivables:               
Investment securities sold   7,628,462    561,443    761,961 
Fund shares sold   685,414    10    374 
Dividends and interest   2,683,956    3,889    3,051 
Due from Advisor   -    1,503    3,209 
Prepaid expenses   70,831    9,608    24,544 
Other assets   -    -    - 
Total assets   1,145,397,619    12,177,989    25,976,708 
                
Liabilities:               
Securities sold short, proceeds  $257,795,930   $2,153,439   $- 
Foreign currency, proceeds   1    162    - 
Securities sold short, at value  $254,569,229   $2,121,754   $- 
Foreign currency due to custodian, at value   1    159    - 
Payables:               
Due to broker for futures contracts   -    -    - 
Investment securities purchased   14,428,703    668,933    913,390 
Unrealized depreciation on open futures contracts   -    -    - 
Fund shares redeemed   2,244,999    3,358    787,796 
Advisory fees   863,955    -    - 
Sub-advisory fees   -    -    - 
Shareholder servicing fees (Note 7)   97,344    1,213    3,630 
Distribution fees (Note 6)   6,582    40    334 
Fund administration fees   143,735    14,677    16,242 
Transfer agent fees and expenses   59,316    8,987    14,110 
Auditing fees   19,750    19,750    19,849 
Shareholder reporting fees   37,097    1,596    2,954 
Custody fees   40,260    6,666    9,479 
Trustees' deferred compensation (Note 3)   4,867    2,973    2,996 
Chief Compliance Officer fees   1,858    1,052    974 
Trustees' fees and expenses   70    135    413 
Due to custodian   -    36,662    - 
Dividends and interest on securities sold short   906,504    1,131    - 

 

See accompanying Notes to Financial Statements.

 

54

 

STATEMENTS OF ASSETS AND LIABILITIES - Continued

As of October 31, 2019

 

 

   361 Global Long/Short Equity Fund   361 Macro Opportunity Fund   361 U.S. Small Cap Equity Fund 
Accrued other expenses   2,226    2,546    8,291 
Total liabilities   273,426,496    2,891,632    1,780,458 
Net Assets  $871,971,123   $9,286,357   $24,196,250 
                
Components of Net Assets:               
Paid-in capital (par value of $0.01 per share with a number of shares authorized)  $880,784,698  $11,009,674   $26,271,172 
Total distributable earnings (accumulated deficit)   (8,813,575)   (1,723,317)   (2,074,922)
Net Assets  $871,971,123   $9,286,357   $24,196,250 
                
Maximum Offering Price per Share:               
Investor Class Shares:               
Net assets applicable to shares outstanding  $29,320,481   $181,218   $1,589,490 
Shares of beneficial interest issued and outstanding   2,669,805    20,883    149,700 
Net asset value, offering and redemption price per share  $10.98   $8.68   $10.62 
                
Class I Shares:               
Net assets applicable to shares outstanding  $332,247,235   $9,105,139   $22,497,183 
Shares of beneficial interest issued and outstanding   30,019,514    1,035,531    2,105,903 
Net asset value, offering and redemption price per share  $11.07   $8.79   $10.68 
                
Class Y Shares:               
Net assets applicable to shares outstanding  $510,403,407   $-   $109,577 
Shares of beneficial interest issued and outstanding   45,982,991    -    10,249 
Net asset value, offering and redemption price per share  $11.10   $-   $10.69 

 

See accompanying Notes to Financial Statements.

 

55

 

STATEMENTS OF OPERATIONS

For the Year Ended October 31, 2019

 

 

   361 Managed Futures Strategy Fund   361 Global Managed Futures Strategy Fund   361 Domestic Long/Short Equity Fund 
Investment income:            
Dividends (net of foreign withholding taxes of $0, $0 and $0, respectively)  $-   $-   $930,189 
Interest   5,609,175    1,288,241    228,046 
Total investment income   5,609,175    1,288,241    1,158,235 
                
Expenses:               
Advisory fees   3,080,817    816,404    497,114 
Sub-advisory fees   195,204    -    - 
Shareholder servicing fees - Class I (Note 7)   179,192    58,296    14,689 
Shareholder servicing fees - Investor Class (Note 7)   62,282    12,574    1,173 
Fund administration fees   190,755    79,738    68,690 
Distribution fees (Note 6)   132,484    28,967    1,956 
Transfer agent fees and expenses   73,340    47,649    41,816 
Registration fees   43,718    42,675    45,028 
Shareholder reporting fees   35,473    24,311    5,715 
Custody fees   28,408    16,469    13,502 
Auditing fees   19,750    19,750    19,750 
Chief Compliance Officer fees   17,320    6,358    11,397 
Trustees' fees and expenses   9,202    8,499    8,995 
Legal fees   8,790    16,022    10,407 
Miscellaneous   7,448    8,348    5,893 
Insurance fees   1,652    1,623    1,797 
Interest expense   -    27,655    243,064 
Dividends on securities sold short   -    -    225,932 
Interest on securities sold short   -    -    - 
Total expenses   4,085,835    1,215,338    1,216,918 
Advisory/sub-advisory waived   (27,863)   (22,277)   (101,935)
Other expenses absorbed   -    -    - 
Net expenses   4,057,972    1,193,061    1,114,983 
Net investment income (loss)   1,551,203    95,180    43,252 
                
Realized and Unrealized Gain (Loss):               
Net realized gain (loss) on:               
Investments   285,977    1,717    1,370,516 
Securities sold short   -    -    (838,046)
Futures contracts   211,554    3,038,563    - 
Foreign currency transactions   -    (54,708)   - 
Net realized gain (loss)   497,531    2,985,572    532,470 
Net change in unrealized appreciation/depreciation on:               
Investments   124,837    12,908    3,224,383 
Securities sold short   -    -    (985,411)
Futures contracts   2,139,447    622,549    - 
Foreign currency translations   -    35,256    - 
Net change in unrealized appreciation/depreciation  $2,264,284   $670,713   $2,238,972 

 

See accompanying Notes to Financial Statements.

 

56

 

STATEMENTS OF OPERATIONS - Continued

For the Year Ended October 31, 2019

 

 

   361 Managed Futures Strategy Fund   361 Global Managed Futures Strategy Fund   361 Domestic Long/Short Equity Fund 
Net realized and unrealized gain (loss)   2,761,815    3,656,285    2,771,442 
Net Increase (Decrease) in Net Assets from Operations  $4,313,018   $3,751,465   $2,814,694 

 

See accompanying Notes to Financial Statements.

 

57

 

STATEMENTS OF OPERATIONS - Continued

For the Year Ended October 31, 2019

 

 

   361 Global Long/Short Equity Fund   361 Macro Opportunity Fund   361 U.S. Small Cap Equity Fund 
Investment income:            
Dividends (net of foreign withholding taxes of $1,210,522, $1,506 and $0, respectively)  $18,007,892   $155,894   $322,406 
Interest   2,370,479    30,339    1,173 
Total investment income   20,378,371    186,233    323,579 
                
Expenses:               
Advisory fees   9,190,820    131,564    216,880 
Sub-advisory fees   -    -    - 
Shareholder servicing fees - Class I (Note 7)   328,359    11,547    33,793 
Shareholder servicing fees - Investor Class (Note 7)   66,706    222    2,655 
Fund administration fees   598,943    54,628    59,017 
Distribution fees (Note 6)   110,899    496    4,425 
Transfer agent fees and expenses   190,562    24,812    41,880 
Registration fees   116,170    32,485    47,209 
Shareholder reporting fees   89,454    3,793    10,221 
Custody fees   160,852    20,581    58,205 
Auditing fees   19,750    19,750    19,849 
Chief Compliance Officer fees   11,344    5,358    5,356 
Trustees' fees and expenses   11,586    7,999    8,400 
Legal fees   23,682    6,006    11,916 
Miscellaneous   14,855    5,237    5,961 
Insurance fees   3,206    1,350    1,547 
Interest expense   -    -    - 
Dividends on securities sold short   3,720,016    48,203    - 
Interest on securities sold short   3,066,777    26,317    - 
Total expenses   17,723,981    400,348    527,314 
Advisory/sub-advisory waived   (211,030)   (125,319)   (216,880)
Other expenses absorbed   -    -    (41,830)
Net expenses   17,512,951    275,029    268,604 
Net investment income (loss)   2,865,420    (88,796)   54,975 
                
Realized and Unrealized Gain (Loss):               
Net realized gain (loss) on:               
Investments   (42,429,309)   (631,208)   (2,933,820)
Securities sold short   7,131,288    (177,097)   - 
Futures contracts   -    -    - 
Foreign currency transactions   317,466    -    - 
Net realized gain (loss)   (34,980,555)   (808,305)   (2,933,820)
Net change in unrealized appreciation/depreciation on:               
Investments   52,903,570    158,737    2,588,373 
Securities sold short   (24,327,534)   (84,085)   - 
Futures contracts   -    -    - 
Foreign currency translations   13,374    3    - 
Net change in unrealized appreciation/depreciation  $28,589,410   $74,655   $2,588,373 

 

 

See accompanying Notes to Financial Statements. 

 

58

 

STATEMENTS OF OPERATIONS - Continued

For the Year Ended October 31, 2019

 

 

   361 Global Long/Short Equity Fund   361 Macro Opportunity Fund   361 U.S. Small Cap Equity Fund 
Net realized and unrealized gain (loss)   (6,391,145)   (733,650)   (345,447)
Net Increase (Decrease) in Net Assets from Operations  $(3,525,725)  $(822,446)  $(290,472)

 

See accompanying Notes to Financial Statements.

 

59

 

361 Managed Futures Strategy Fund

STATEMENTS OF CHANGES IN NET ASSETS

 

 

   For the Year Ended October 31, 2019   For the Year Ended October 31, 2018 
Increase (Decrease) in Net Assets from:        
Operations:        
Net investment income  $1,551,203   $663,188 
Net realized gain on investments and futures contracts   497,531    318,765 
Net change in unrealized appreciation/depreciation on investments and futures contracts   2,264,284    (3,963,408)
Net increase (decrease) in net assets resulting from operations   4,313,018    (2,981,455)
           
Capital Transactions:          
Net proceeds from shares sold:          
Investor Class   15,578,984    18,733,111 
Class I   50,142,326    83,135,805 
Cost of shares redeemed:          
Investor Class   (24,678,446)   (58,090,689)
Class I   (159,506,818)   (127,663,929)
Net decrease in net assets from capital transactions   (118,463,954)   (83,885,702)
           
Total decrease in net assets   (114,150,936)   (86,867,157)
           
Net Assets:          
Beginning of period   245,613,497    332,480,654 
End of period  $131,462,561   $245,613,497 
Capital Share Transactions:          
Shares sold:          
Investor Class   1,375,437    1,635,629 
Class I   4,394,752    7,133,267 
Shares redeemed:          
Investor Class   (2,197,475)   (5,067,227)
Class I   (14,050,498)   (11,015,244)
Net decrease in capital share transactions   (10,477,784)   (7,313,575)

 

See accompanying Notes to Financial Statements. 

 

60

 

361 Global Managed Futures Strategy Fund

STATEMENTS OF CHANGES IN NET ASSETS

 

 

   For the Year Ended October 31, 2019   For the Year Ended October 31, 2018 
Increase (Decrease) in Net Assets from:        
Operations:        
Net investment income (loss)  $95,180   $(599,362)
Net realized gain (loss) on investments, futures contracts and foreign          
currency transactions   2,985,572    (5,944,598)
Net change in unrealized appreciation/depreciation on investments, futures contracts and foreign currency translations   670,713    (758,728)
Net increase (decrease) in net assets resulting from operations   3,751,465    (7,302,688)
           
Distributions to Shareholders:          
Investor Class   -    (1,657,471)
Class I   -    (3,949,215)
Total distributions to shareholders   -    (5,606,686)
           
Capital Transactions:          
Net proceeds from shares sold:          
Investor Class   3,952,681    13,368,794 
Class I   17,005,693    57,568,866 
Reinvestment of distributions:          
Investor Class   -    1,562,992 
Class I   -    3,666,145 
Cost of shares redeemed:          
Investor Class   (8,996,148)   (29,474,244)
Class I   (58,897,004)   (54,079,943)
Net decrease in net assets from capital transactions   (46,934,778)   (7,387,390)
           
Total decrease in net assets   (43,183,313)   (20,296,764)
           
Net Assets:          
Beginning of period   86,155,567    106,452,331 
End of period  $42,972,254   $86,155,567 
Capital Share Transactions:          
Shares sold:          
Investor Class   379,617    1,235,401 
Class I   1,608,791    5,301,806 
Shares reinvested:          
Investor Class   -    144,188 
Class I   -    334,808 
Shares redeemed:          
Investor Class   (864,659)   (2,812,451)
Class I   (5,591,067)   (5,062,586)
Net decrease in capital share transactions   (4,467,318)   (858,834)

 

See accompanying Notes to Financial Statements.

 

61

 

361 Domestic Long/Short Equity Fund

STATEMENTS OF CHANGES IN NET ASSETS

 

 

   For the Year Ended October 31, 2019   For the Year Ended October 31, 2018 
Increase (Decrease) in Net Assets from:        
Operations:        
Net investment income (loss)  $43,252   $(249,164)
Net realized gain on investments, securities sold short and foreign currency transactions   532,470    3,104,270 
Net change in unrealized appreciation/depreciation on investments and securities sold short   2,238,972    (2,249,518)
Net increase in net assets resulting from operations   2,814,694    605,588 
           
Distributions to Shareholders:          
Investor Class   (47,806)   (9,445)
Class I   (570,016)   (81,407)
Class Y   (2,178,260)   (614,030)
Total distributions to shareholders   (2,796,082)   (704,882)
           
Capital Transactions:          
Net proceeds from shares sold:          
Investor Class   506,873    835,024 
Class I   12,036,333    8,061,978 
Class Y   4,589,775    7,050,000 
Reinvestment of distributions:          
Investor Class   47,806    7,344 
Class I   253,616    80,106 
Class Y   358,160    48,549 
Cost of shares redeemed:          
Investor Class   (578,632)   (552,687)
Class I   (8,488,158)   (2,179,817)
Class Y   (10,485,060)   (3,061,730)
Net increase (decrease) in net assets from capital transactions   (1,759,287)   10,288,767 
           
Total increase (decrease) in net assets   (1,740,675)   10,189,473 
           
Net Assets:          
Beginning of period   41,273,027    31,083,554 
End of period  $39,532,352   $41,273,027 
Capital Share Transactions:          
Shares sold:          
Investor Class   49,745    74,487 
Class I   1,244,192    708,096 
Class Y   466,775    620,298 
Shares reinvested:          
Investor Class   4,844    680 
Class I   25,540    7,403 
Class Y   35,960    4,479 

 

See accompanying Notes to Financial Statements.

 

62

 

361 Domestic Long/Short Equity Fund

STATEMENTS OF CHANGES IN NET ASSETS - Continued

 

 

   For the Year Ended October 31, 2019   For the Year Ended October 31, 2018 
Shares redeemed:        
Investor Class   (55,467)   (48,585)
Class I   (827,927)   (189,467)
Class Y   (979,780)   (277,794)
Net increase (decrease) in capital share transactions   (36,118)   899,597 

 

See accompanying Notes to Financial Statements.

 

63

 

361 Global Long/Short Equity Fund

STATEMENTS OF CHANGES IN NET ASSETS

 

 

   For the Year Ended October 31, 2019   For the Year Ended October 31, 2018 
Increase (Decrease) in Net Assets from:        
Operations:        
Net investment income (loss)  $2,865,420   $(1,138,033)
Net realized gain (loss) on investments, securities sold short and foreign currency transactions   (34,980,555)   21,302,251 
Net change in unrealized appreciation/depreciation on investments, securities sold short and foreign currency translations   28,589,410    (31,066,055)
Net decrease in net assets resulting from operations   (3,525,725)   (10,901,837)
           
Distributions to Shareholders:          
Investor Class   (2,013,360)   (5,264,653)
Class I   (14,671,769)   (27,906,574)
Class Y   (4,483,588)   (3,872,949)
Total distributions to shareholders   (21,168,717)   (37,044,176)
           
Capital Transactions:          
Net proceeds from shares sold:          
Investor Class   10,949,234    56,264,518 
Class I   147,024,923    394,320,863 
Class Y   446,370,069    124,808,568 
Reinvestment of distributions:          
Investor Class   1,858,241    5,099,870 
Class I   11,979,858    25,605,080 
Class Y   2,662,666    2,125,095 
Cost of shares redeemed:          
Investor Class   (50,947,841)   (67,964,544)
Class I   (344,969,116)   (279,214,186)
Class Y   (80,123,188)   (12,897,408)
Net increase in net assets from capital transactions   144,804,846    248,147,856 
           
Total increase in net assets   120,110,404    200,201,843 
           
Net Assets:          
Beginning of period   751,860,719    551,658,876 
End of period  $871,971,123   $751,860,719 
Capital Share Transactions:          
Shares sold:          
Investor Class   1,009,060    4,773,255 
Class I   13,450,213    33,392,977 
Class Y   40,256,986    10,527,489 
Shares reinvested:          
Investor Class   175,970    442,697 
Class I   1,129,110    2,218,811 
Class Y   250,251    183,991 

 

See accompanying Notes to Financial Statements.

 

64

 

361 Global Long/Short Equity Fund

STATEMENTS OF CHANGES IN NET ASSETS - Continued

 

 

   For the Year Ended October 31, 2019   For the Year Ended October 31, 2018 
Shares redeemed:        
Investor Class   (4,717,020)   (5,787,983)
Class I   (31,716,998)   (23,737,153)
Class Y   (7,304,960)   (1,098,549)
Net increase in capital share transactions   12,532,612    20,915,535 

 

See accompanying Notes to Financial Statements.

 

65

 

361 Macro Opportunity Fund

STATEMENTS OF CHANGES IN NET ASSETS

 

 

   For the Year Ended October 31, 2019   For the Year Ended October 31, 2018 
Increase (Decrease) in Net Assets from:        
Operations:        
Net investment loss  $(88,796)  $(67,849)
Net realized gain (loss) on investments, purchased options contracts, securities sold short and written options contracts   (808,305)   147,345 
Net change in unrealized appreciation/depreciation on investments, purchased options contracts, securities sold short and foreign currency translations   74,655    (749,789)
Net decrease in net assets resulting from operations   (822,446)   (670,293)
           
Capital Transactions:          
Net proceeds from shares sold:          
Investor Class   3,168    34,256 
Class I   495,346    1,378,491 
Cost of shares redeemed:          
Investor Class   (32,352)   (24,778)
Class I   (1,860,069)   (959,620)
Net increase (decrease) in net assets from capital transactions   (1,393,907)   428,349 
           
Total decrease in net assets   (2,216,353)   (241,944)
           
Net Assets:          
Beginning of period   11,502,710    11,744,654 
End of period  $9,286,357   $11,502,710 
Capital Share Transactions:          
Shares sold:          
Investor Class   352    3,464 
Class I   54,498    136,864 
Shares redeemed:          
Investor Class   (3,512)   (2,533)
Class I   (202,880)   (96,161)
Net increase (decrease) in capital share transactions   (151,542)   41,634 

 

See accompanying Notes to Financial Statements.

 

66

 

361 U.S. Small Cap Equity Fund

STATEMENTS OF CHANGES IN NET ASSETS

 

 

   For the Year Ended October 31, 2019   For the Year Ended October 31, 2018 
Increase (Decrease) in Net Assets from:        
Operations:        
Net investment income  $54,975   $52,001 
Net realized loss on investments   (2,933,820)   (1,121,475)
Net change in unrealized appreciation/depreciation on investments   2,588,373    (1,152,846)
Net decrease in net assets resulting from operations   (290,472)   (2,222,320)
           
Distributions to Shareholders:          
Investor Class   (453)   (37,216)
Class I   (57,287)   (41,841)
Class Y   (294)   (14,285)
Total distributions to shareholders   (58,034)   (93,342)
           
Capital Transactions:          
Net proceeds from shares sold:          
Investor Class   111,764    782,411 
Class I   10,152,142    34,491,772 
Reinvestment of distributions:          
Investor Class   423    35,889 
Class I   38,072    37,421 
Class Y   294    2,463 
Cost of shares redeemed:          
Investor Class   (492,302)   (536,297)
Class I   (14,691,107)   (6,455,157)
Class Y   -    (600,960)
Net increase (decrease) in net assets from capital transactions   (4,880,714)   27,757,542 
           
Total increase (decrease) in net assets   (5,229,220)   25,441,880 
           
Net Assets:          
Beginning of period   29,425,470    3,983,590 
End of period  $24,196,250   $29,425,470 
Capital Share Transactions:          
Shares sold:          
Investor Class   10,855    67,202 
Class I   979,021    2,981,772 
Shares reinvested:          
Investor Class   42    3,213 
Class I   3,725    3,341 
Class Y   29    220 
Shares redeemed:          
Investor Class   (46,518)   (45,915)
Class I   (1,427,280)   (564,249)
Class Y   -    (48,000)
Net increase (decrease) in capital share transactions   (480,126)   2,397,584 

 

See accompanying Notes to Financial Statements.

 

67

 

361 Domestic Long/Short Equity Fund

STATEMENT OF CASH FLOWS

For the Year Ended October 31, 2019

 

 

Increase/(Decrease) in Cash:    
Cash flows provided by (used for) operating activities:    
Net increase in net assets resulting from operations  $2,814,694 
Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided by (used for) operating activities:     
Purchases of long-term investments   (151,836,144)
Sales of long-term investments   155,104,990 
Proceeds from securities sold short   43,033,357 
Cover short securities   (43,683,218)
Purchases of short-term investments, net   (173,961)
Increase in interest and dividends receivables   (3,595)
Increase in prepaid expenses   (297)
Decrease in advisory fees payable   (24,251)
Decrease in interest and dividends on securities sold short   (9,889)
Increase in accrued expenses   16,387 
Net realized gain   (458,597)
Net change in unrealized appreciation/depreciation   (2,238,972)
Net cash provided by operating activities   2,540,504 
      
Cash flows provided by (used for) financing activities:     
Proceeds from shares sold   17,132,823 
Cost of shares redeemed   (18,457,440)
Dividends paid to shareholders, net of reinvestments   (2,136,500)
Net cash used for financing activities   (3,461,117)
      
Net decrease in cash   (920,613)
      
Cash and cash equivalents:     
Beginning cash balance    
Beginning cash held at brokers   4,405,589 
Total beginning cash and cash equivalents   4,405,589 
      
Ending cash balance    
Ending cash held at brokers   3,484,976 
Total ending cash and cash equivalents  $3,484,976 
      
Supplemental disclosure of interest expense paid  $243,064 

 

Non cash financing activities not included herein consist of $659,582 of reinvested dividends.

 

See accompanying Notes to Financial Statements.

 

68

 

361 Global Long/Short Equity Fund

STATEMENT OF CASH FLOWS

For the Year Ended October 31, 2019

 

 

Increase/(Decrease) in Cash:    
Cash flows provided by (used for) operating activities:    
Net decrease in net assets resulting from operations  $(3,525,725)
Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided by (used for) operating activities:     
Purchases of long-term investments   (1,744,277,621)
Sales of long-term investments   1,609,210,486 
Return of capital dividends received   941,705 
Proceeds from securities sold short   572,068,284 
Cover short securities   (532,964,362)
Sales of short-term investments, net   7,708,335 
Increase in foreign currency   (1,579,786)
Increase in investment securities sold receivable   (7,628,462)
Increase in interest and dividends receivables   (1,095,758)
Increase in prepaid expenses   (17,817)
Increase in investment securities purchased payable   14,428,703 
Increase in foreign currency due to custodian   1 
Increase in advisory fees payable   85,438 
Increase in interest and dividends on securities sold short   503,570 
Increase in accrued expenses   69,176 
Net realized loss   35,047,050 
Net change in unrealized appreciation/depreciation   (28,576,036)
Net cash used for operating activities   (79,602,819)
      
Cash flows provided by (used for) financing activities:     
Proceeds from shares sold   604,232,248 
Cost of shares redeemed   (477,693,898)
Dividends paid to shareholders, net of reinvestments   (4,667,952)
Net cash provided by financing activities   121,870,398 
      
Net increase in cash   42,267,579 
      
Cash and cash equivalents:     
Beginning cash balance    
Beginning cash held at brokers   106,816,576 
Total beginning cash and cash equivalents   106,816,576 
      
Ending cash balance   370,976 
Ending cash held at brokers   148,713,179 
Total ending cash and cash equivalents  $149,084,155 

 

Non cash financing activities not included herein consist of $16,500,765 of reinvested dividends.

 

See accompanying Notes to Financial Statements.

 

69

 

361 Macro Opportunity Fund

STATEMENT OF CASH FLOWS

For the Year Ended October 31, 2019

 

 

Increase/(Decrease) in Cash:    
Cash flows provided by (used for) operating activities:    
Net decrease in net assets resulting from operations  $(822,446)
Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided by (used for) operating activities:     
Purchases of long-term investments   (43,326,832)
Sales of long-term investments   43,135,257 
Return of capital dividends received   348 
Proceeds from securities sold short   25,711,882 
Cover short securities   (26,568,932)
Sales of short-term investments, net   1,642,835 
Increase in investment securities sold receivable   (196,586)
Increase in due from advisor receivable   (1,503)
Decrease in interest and dividends receivables   1,537 
Decrease in prepaid expenses   1,469 
Decrease in investment securities purchased payable   (415,371)
Increase in foreign currency due to custodian   159 
Decrease in advisory fees payable   (21,349)
Increase in due to custodian   36,662 
Decrease in interest and dividends on securities sold short   (419)
Increase in accrued expenses   8,949 
Net realized loss   851,265 
Net change in unrealized appreciation/depreciation   (74,652)
Net cash used for operating activities   (37,727)
      
Cash flows provided by (used for) financing activities:     
Proceeds from shares sold   498,504 
Cost of shares redeemed   (1,889,250)
Net cash used for financing activities   (1,390,746)
      
Net decrease in cash   (1,428,473)
      
Cash and cash equivalents:     
Beginning cash balance   38,223 
Beginning cash held at brokers   3,012,054 
Total beginning cash and cash equivalents   3,050,277 
      
Ending cash balance    
Ending cash held at brokers   1,621,804 
Total ending cash and cash equivalents  $1,621,804 

 

Non cash financing activities not included herein consist of $0 of reinvested dividends.

 

See accompanying Notes to Financial Statements.

 

70

 

361 Managed Futures Strategy Fund

FINANCIAL HIGHLIGHTS

Investor Class

 

Per share operating performance.

For a capital share outstanding throughout each period.

 

   For the Year Ended October 31, 
   2019   2018   2017   2016   2015 
Net asset value, beginning of period  $11.28   $11.43   $11.09   $11.18   $11.34 
Income from Investment Operations:                         
Net investment income (loss)1   0.06    -2    (0.08)   (0.13)   (0.18)
Net realized and unrealized gain (loss)   0.46    (0.15)   0.42    0.04    0.31 
Total from investment operations   0.52    (0.15)   0.34    (0.09)   0.13 
                          
Less Distributions:                         
From net realized gain   -    -    -    -    (0.29)
Total distributions   -    -    -    -    (0.29)
Net asset value, end of period  $11.80   $11.28   $11.43   $11.09   $11.18 
                          
Total return3   4.61%   (1.31)%   3.07%   (0.81)%   1.16%
                          
Ratios and Supplemental Data:                         
Net assets, end of period (in thousands)  $48,006   $55,188   $95,113   $165,017   $263,118 
                          
Ratio of expenses to average net assets (including interest expense):                         
Before fees waived and expenses absorbed/recovered   2.17%   2.15%   2.13%   2.11%   2.09%
After fees waived and expenses absorbed/recovered   2.16%   2.14%   2.12%   2.10%   2.08%
Ratio of net investment income (loss) to average net assets (including interest expense):                         
Before fees waived and expenses absorbed/recovered   0.56%   0.02%   (0.73)%   (1.18)%   (1.54)%
After fees waived and expenses absorbed/recovered   0.57%   0.03%   (0.72)%   (1.17)%   (1.53)%
                          
Portfolio turnover rate   28%   36%   42%   17%   13%

 

1Based on average shares outstanding for the period.
2Amount represents less than $0.01 per share.
3Total returns would have been lower/higher had expenses not been waived/recovered by the Advisor. These returns include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

See accompanying Notes to Financial Statements.

 

71

 

361 Managed Futures Strategy Fund

FINANCIAL HIGHLIGHTS

Class I

 

Per share operating performance.

For a capital share outstanding throughout each period.

 

   For the Year Ended October 31, 
   2019   2018   2017   2016   2015 
Net asset value, beginning of period  $11.48   $11.59   $11.22   $11.28   $11.41 
Income from Investment Operations:                         
Net investment income (loss)1   0.09    0.03    (0.05)   (0.10)   (0.15)
Net realized and unrealized gain (loss)   0.46    (0.14)   0.42    0.04    0.31 
Total from investment operations   0.55    (0.11)   0.37    (0.06)   0.16 
                          
Less Distributions:                         
From net realized gain   -    -    -    -    (0.29)
Total distributions   -    -    -    -    (0.29)
Net asset value, end of period  $12.03   $11.48   $11.59   $11.22   $11.28 
                          
Total return2   4.79%   (0.95)%   3.30%   (0.53)%   1.42%
                          
Ratios and Supplemental Data:                         
Net assets, end of period (in thousands)  $83,456   $190,425   $237,368   $463,025   $690,804 
                          
Ratio of expenses to average net assets (including interest expense):                         
Before fees waived and expenses absorbed/recovered   1.92%   1.90%   1.88%   1.86%   1.84%
After fees waived and expenses absorbed/recovered   1.91%   1.89%   1.87%   1.85%   1.83%
Ratio of net investment income (loss) to average net assets                         
(including interest expense):                         
Before fees waived and expenses absorbed/recovered   0.81%   0.27%   (0.48)%   (0.93)%   (1.29)%
After fees waived and expenses absorbed/recovered   0.82%   0.28%   (0.47)%   (0.92)%   (1.28)%
                          
Portfolio turnover rate   28%   36%   42%   17%   13%

 

1Based on average shares outstanding for the period.
2Total returns would have been lower/higher had expenses not been waived/recovered by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

 

See accompanying Notes to Financial Statements.

 

72

 

361 Global Managed Futures Strategy Fund

FINANCIAL HIGHLIGHTS

Investor Class

 

Per share operating performance.

For a capital share outstanding throughout each period.

 

   For the Year Ended October 31, 
   2019   2018   2017   2016   2015 
Net asset value, beginning of period  $10.17   $11.44   $10.87   $9.55   $9.71 
Income from Investment Operations:                         
Net investment loss1   (0.01)   (0.08)   (0.15)   (0.18)   (0.20)
Net realized and unrealized gain (loss)   0.69    (0.64)   0.99    1.50    0.04 
Total from investment operations   0.68    (0.72)   0.84    1.32    (0.16)
                          
Less Distributions:                         
From net realized gain   -    (0.55)   (0.27)   -    - 
Total distributions   -    (0.55)   (0.27)   -    - 
Net asset value, end of period  $10.85   $10.17   $11.44   $10.87   $9.55 
                          
Total return2   6.69%   (6.57)%   7.87%   13.82%   (1.65)%
                          
Ratios and Supplemental Data:                         
Net assets, end of period (in thousands)  $10,395   $14,677   $32,907   $13,491   $9,694 
                          
Ratio of expenses to average net assets (including interest expense):                         
Before fees waived and expenses absorbed/recovered3   2.07%   1.95%   2.04%   2.43%   2.78%
After fees waived and expenses absorbed/recovered3   2.03%   2.02%   2.02%   2.05%   2.15%
Ratio of net investment loss to average net assets (including interest expense):                         
Before fees waived and expenses absorbed/recovered   (0.10)%   (0.66)%   (1.38)%   (2.12)%   (2.71)%
After fees waived and expenses absorbed/recovered   (0.06)%   (0.73)%   (1.36)%   (1.74)%   (2.08)%
                          
Portfolio turnover rate   0%   0%   0%   0%   0%

 

1Based on average shares outstanding for the period.
2Total returns would have been lower/higher had expenses not been waived/recovered by the Advisor. These returns include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
3If interest expense and dividends on securities sold short had been excluded, the expense ratios would have been lowered by 0.04%% for the year ended October 31, 2019. For the prior periods ended October 31, 2018, 2017, 2016 and 2015 the ratios would have been lowered by 0.03%, 0.03%, 0.04% and 0.02%, respectively.

 

See accompanying Notes to Financial Statements.

 

73

 

361 Global Managed Futures Strategy Fund

FINANCIAL HIGHLIGHTS

Class I

 

Per share operating performance.

For a capital share outstanding throughout each period.

 

   For the Year Ended October 31, 
   2019   2018   2017   2016   2015 
Net asset value, beginning of period  $10.30   $11.55   $10.94   $9.59   $9.72 
Income from Investment Operations:                         
Net investment income (loss)1   0.02    (0.05)   (0.12)   (0.16)   (0.18)
Net realized and unrealized gain (loss)   0.70    (0.65)   1.00    1.51    0.05 
Total from investment operations   0.72    (0.70)   0.88    1.35    (0.13)
                          
Less Distributions:                         
From net realized gain   -    (0.55)   (0.27)   -    - 
Total distributions   -    (0.55)   (0.27)   -    - 
Net asset value, end of period  $11.02   $10.30   $11.55   $10.94   $9.59 
                          
Total return2   6.99%   (6.32)%   8.19%   14.08%   (1.34)%
                          
Ratios and Supplemental Data:                         
Net assets, end of period (in thousands)  $32,578   $71,478   $73,545   $38,295   $10,446 
                          
Ratio of expenses to average net assets (including interest expense):                         
Before fees waived and expenses absorbed/recovered3   1.82%   1.70%   1.79%   2.18%   2.53%
After fees waived and expenses absorbed/recovered3   1.78%   1.77%   1.77%   1.80%   1.90%
Ratio of net investment income (loss) to average net assets (including interest expense):                         
Before fees waived and expenses absorbed/recovered   0.15%   (0.41)%   (1.13)%   (1.87)%   (2.46)%
After fees waived and expenses absorbed/recovered   0.19%   (0.48)%   (1.11)%   (1.49)%   (1.83)%
                          
Portfolio turnover rate   0%   0%   0%   0%   0%

 

1Based on average shares outstanding for the period.
2Total returns would have been lower/higher had expenses not been waived/recovered by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
3If interest expense and dividends on securities sold short had been excluded, the expense ratios would have been lowered by 0.04% for the year ended October 31, 2019. For the prior periods ended October 31, 2018, 2017, 2016 and 2015, the ratios would have been lowered by 0.03%, 0.03%, 0.04% and 0.02%, respectively.

 

See accompanying Notes to Financial Statements.

 

74

 

361 Domestic Long/Short Equity Fund

FINANCIAL HIGHLIGHTS

Investor Class

 

Per share operating performance.

For a capital share outstanding throughout each period.

 

   For the Year Ended October 31,   For the Period March 31, 2016* through 
   2019   2018   2017   October 31, 2016 
Net asset value, beginning of period  $10.96   $10.91   $9.90   $10.00 
Income from Investment Operations:                    
Net investment income (loss)1   (0.03)   (0.12)   (0.05)   0.02 
Net realized and unrealized gain (loss)   0.40    0.43    1.16    (0.12)
Total from investment operations   0.37    0.31    1.11    (0.10)
                     
Less Distributions:                    
From net investment income   -    -    (0.02)   - 
From net realized gain   (0.77)   (0.26)   (0.08)   - 
Total distributions   (0.77)   (0.26)   (0.10)   - 
Net asset value, end of period  $10.56   $10.96   $10.91   $9.90 
                     
Total return2   3.88%   2.87%   11.26%   (1.00)%3
                     
Ratios and Supplemental Data:                    
Net assets, end of period (in thousands)  $656   $691   $398   $143 
                     
Ratio of expenses to average net assets (including dividends on securities sold short and interest expense):                    
Before fees waived and expenses absorbed4   3.06%   3.38%   3.03%   3.91%5
After fees waived and expenses absorbed4   2.83%   3.02%   2.42%   2.06%5
Ratio of net investment income (loss) to average net assets (including dividends on securities sold short and interest expense):                    
Before fees waived and expenses absorbed   (0.49)%   (1.44)%   (1.05)%   (1.46)%5
After fees waived and expenses absorbed   (0.26)%   (1.08)%   (0.44)%   0.39%5
                     
Portfolio turnover rate   332%   262%   263%   123%3

 

*Commencement of operations.
1Based on average shares outstanding for the period.
2Total returns would have been lower/higher had expenses not been waived/recovered by the Advisor. These returns include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
3Not annualized.
4If interest expense and dividends on securities sold short had been excluded, the expense ratios would have been lowered by 1.04% for the year ended October 31, 2019. For the prior periods ended October 31, 2018, 2017, and 2016, the ratios would have been lowered by 1.23%, 0.63% and 0.27%, respectively.
5Annualized.

 

See accompanying Notes to Financial Statements.

 

75

 

361 Domestic Long/Short Equity Fund

FINANCIAL HIGHLIGHTS

Class I

 

Per share operating performance.

For a capital share outstanding throughout each period.

 

   For the Year Ended October 31,   For the Period March 31, 2016* through 
   2019   2018   2017   October 31, 2016 
Net asset value, beginning of period  $11.02   $10.94   $9.90   $10.00 
Income from Investment Operations:                    
Net investment income (loss)1   -2    (0.09)   (0.02)   0.04 
Net realized and unrealized gain (loss)   0.40    0.43    1.17    (0.14)
Total from investment operations   0.40    0.34    1.15    (0.10)
                     
Less Distributions:                    
From net investment income   -    -    (0.03)   - 
From net realized gain   (0.77)   (0.26)   (0.08)   - 
Total distributions   (0.77)   (0.26)   (0.11)   - 
Net asset value, end of period  $10.65   $11.02   $10.94   $9.90 
                     
Total return3   4.15%   3.14%   11.72%   (1.00)%4
                     
Ratios and Supplemental Data:                    
Net assets, end of period (in thousands)  $13,658   $9,261   $3,436   $4,578 
                     
Ratio of expenses to average net assets (including dividends on securities sold short and interest expense):                    
Before fees waived and expenses absorbed5   2.77%   3.06%   2.76%   3.66%6
After fees waived and expenses absorbed5   2.54%   2.70%   2.15%   1.81%6
Ratio of net investment income (loss) to average net assets (including dividends on securities sold short and interest expense):                    
Before fees waived and expenses absorbed   (0.20)%   (1.12)%   (0.78)%   (1.21)%6
After fees waived and expenses absorbed   0.03%   (0.76)%   (0.17)%   0.64%6
                     
Portfolio turnover rate   332%   262%   263%   123%4

 

*Commencement of operations.
1Based on average shares outstanding for the period.
2Amount represents less than $0.01 per share.
3Total returns would have been lower/higher had expenses not been waived/recovered by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
4Not annualized.
5If interest expense and dividends on securities sold short had been excluded, the expense ratios would have been lowered by 1.04% for the year ended October 31, 2019. For the prior periods ended October 31, 2018, 2017, and 2016, the ratios would have been lowered by 1.23%, 0.63% and 0.27%, respectively.
6Annualized.

 

See accompanying Notes to Financial Statements.

 

76

 

361 Domestic Long/Short Equity Fund

FINANCIAL HIGHLIGHTS

Class Y

 

Per share operating performance.

For a capital share outstanding throughout each period.

 

   For the Year Ended October 31,   For the Period March 31, 2016* through 
   2019   2018   2017   October 31, 2016 
Net asset value, beginning of period  $11.05   $10.95   $9.92   $10.00 
Income from Investment Operations:                    
Net investment income (loss)1   0.01    (0.08)   -2    0.05 
Net realized and unrealized gain (loss)   0.40    0.44    1.15    (0.13)
Total from investment operations   0.41    0.36    1.15    (0.08)
                     
Less Distributions:                    
From net investment income   -    -    (0.04)   - 
From net realized gain   (0.77)   (0.26)   (0.08)   - 
Total distributions   (0.77)   (0.26)   (0.12)   - 
Net asset value, end of period  $10.69   $11.05   $10.95   $9.92 
                     
Total return3   4.23%   3.33%   11.72%   (0.80)%4
                     
Ratios and Supplemental Data:                    
Net assets, end of period (in thousands)  $25,217   $31,321   $27,250   $25,128 
                     
Ratio of expenses to average net assets (including dividends on securities sold short and interest expense):                    
Before fees waived and expenses absorbed5   2.66%   2.98%   2.63%   3.51%6
After fees waived and expenses absorbed5   2.43%   2.62%   2.02%   1.66%6
Ratio of net investment income (loss) to average net assets (including dividends on securities sold short and interest expense):                    
Before fees waived and expenses absorbed   (0.09)%   (1.04)%   (0.65)%   (1.06)%6
After fees waived and expenses absorbed   0.14%   (0.68)%   (0.04)%   0.79%6
                     
Portfolio turnover rate   332%   262%   263%   123%4

 

*Commencement of operations.
1Based on average shares outstanding for the period.
2Amount represents less than $0.01 per share.
3Total returns would have been lower/higher had expenses not been waived/recovered by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
4Not annualized.
5If interest expense and dividends on securities sold short had been excluded, the expense ratios would have been lowered by 1.04% for the year ended October 31, 2019. For the prior periods ended October 31, 2018, 2017, and 2016, the ratios would have been lowered by 1.23%, 0.63% and 0.27%, respectively.
6Annualized.

 

See accompanying Notes to Financial Statements.

 

77

 

361 Global Long/Short Equity Fund

FINANCIAL HIGHLIGHTS

Investor Class

 

Per share operating performance.

For a capital share outstanding throughout each period.

 

   For the Year Ended October 31,   For the Period December 12, 2014* through 
   2019   2018   2017   2016   October 31,2015 
Net asset value, beginning of period  $11.32   $12.15   $10.76   $10.92   $10.00 
Income from Investment Operations:                         
Net investment income (loss)1   0.01    (0.05)   0.03    0.02    (0.08)
Net realized and unrealized gain (loss)   (0.02)   -    1.39    (0.09)   1.00 
Total from investment operations   (0.01)   (0.05)   1.42    (0.07)   0.92 
                          
Less Distributions:                         
From net investment income   -    (0.02)   (0.03)   -    - 
From net realized gain   (0.33)   (0.76)   -    (0.09)   - 
Total distributions   (0.33)   (0.78)   (0.03)   (0.09)   - 
Net asset value, end of period  $10.98   $11.32   $12.15   $10.76   $10.92 
                          
Total return2   0.06%   (0.55)%   13.26%   (0.61)%   9.20%3
                          
Ratios and Supplemental Data:                         
Net assets, end of period (in thousands)  $29,320   $70,194   $82,319   $97,662   $41,444 
                          
Ratio of expenses to average net assets (including dividends on securities sold short and interest expense):                         
Before fees waived and expenses absorbed/recovered4,5   2.74%   2.68%   2.50%   2.50%   3.42%6
After fees waived and expenses absorbed/recovered4,5   2.71%   2.63%   2.51%   2.55%   2.69%6
Ratio of net investment income (loss) to average net assets (including dividends on securities sold short and interest expense):                         
Before fees waived and expenses absorbed/recovered   0.03%   (0.48)%   0.32%   0.20%   (1.61)%6
After fees waived and expenses absorbed/recovered   0.06%   (0.43)%   0.31%   0.15%   (0.88)%6
                          
Portfolio turnover rate   220%   197%   237%   229%   204%3

 

*Commencement of operations.
1Based on average shares outstanding for the period.
2Total returns would have been lower/higher had expenses not been waived/recovered by the Advisor. These returns include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
3Not annualized.
4Effective December 18, 2017, the Fund's advisor has contractually agreed to waive its fees and/or pay for operating expenses of the Fund to ensure that the total annual fund operating expenses (excluding taxes, leverage interest, brokerage commissions, acquired fund fees and expenses as determined in accordance with SEC Form N-1A, expenses incurred in connection with any merger or reorganization, or extraordinary expenses such as litigation) do not exceed 1.79% of average daily net assets of the Fund. Prior to December 18, 2017, the annual operating expense limitation was 1.94%
5If interest expense and dividends on securities sold short had been excluded, the expense ratios would have been lowered by 0.92% for the year ended October 31, 2019. For the prior periods ended October 31, 2018, 2017, 2016, and 2015, the ratios would have been lowered by 0.85%, 0.61%, 0.61%, and 0.82%, respectively.
6Annualized.

 

See accompanying Notes to Financial Statements.

 

78

 

361 Global Long/Short Equity Fund

FINANCIAL HIGHLIGHTS

Class I

 

Per share operating performance.

For a capital share outstanding throughout each period.

 

   For the Year Ended October 31,   For the Period December 12, 2014* through 
   2019   2018   2017   2016   October 31,2015 
Net asset value, beginning of period  $11.37   $12.20   $10.82   $10.95   $10.00 
Income from Investment Operations:                         
Net investment income (loss)1   0.04    (0.02)   0.07    0.05    (0.06)
Net realized and unrealized gain (loss)   (0.01)   -    1.39    (0.09)   1.01 
Total from investment operations   0.03    (0.02)   1.46    (0.04)   0.95 
                          
Less Distributions:                         
From net investment income   -    (0.05)   (0.08)   -    - 
From net realized gain   (0.33)   (0.76)   -    (0.09)   - 
Total distributions   (0.33)   (0.81)   (0.08)   (0.09)   - 
                          
Net asset value, end of period  $11.07   $11.37   $12.20   $10.82   $10.95 
                          
Total return2   0.42%   (0.25)%   13.54%   (0.34)%   9.50%3
                          
Ratios and Supplemental Data:                         
Net assets, end of period (in thousands)  $332,247   $536,076   $430,610   $421,094   $81,579 
                          
Ratio of expenses to average net assets (including dividends on securities sold short and interest expense):                         
Before fees waived and expenses absorbed/recovered4,5   2.42%   2.40%   2.21%   2.20%   3.19%6
After fees waived and expenses absorbed/recovered4,5   2.39%   2.35%   2.22%   2.25%   2.46%6
Ratio of net investment income (loss) to average net assets (including dividends on securities sold short and interest expense):                         
Before fees waived and expenses absorbed/recovered   0.35%   (0.20)%   0.60%   0.50%   (1.38)%6
After fees waived and expenses absorbed/recovered   0.38%   (0.15)%   0.59%   0.45%   (0.65)%6
                          
Portfolio turnover rate   220%   197%   237%   229%   204%3

 

*Commencement of operations.
1Based on average shares outstanding for the period.
2Total returns would have been lower/higher had expenses not been waived/recovered by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
3Not annualized.
4If interest expense and dividends on securities sold short had been excluded, the expense ratios would have been lowered by 0.92% for the year ended October 31, 2019. For the prior periods ended October 31, 2018, 2017, 2016, and 2015, the ratios would have been lowered by 0.85%, 0.61%, 0.61%, and 0.82%, respectively.
5Effective December 18, 2017, the Fund's advisor has contractually agreed to waive its fees and/or pay for operating expenses of the Fund to ensure that the total annual fund operating expenses (excluding taxes, leverage interest, brokerage commissions, acquired fund fees and expenses as determined in accordance with SEC Form N-1A, expenses incurred in connection with any merger or reorganization, or extraordinary expenses such as litigation) do not exceed 1.54% of average daily net assets of the Fund. Prior to December 18, 2017, the annual operating expense limitation was 1.69%.
6Annualized.

 

See accompanying Notes to Financial Statements.

 

79

 

361 Global Long/Short Equity Fund

FINANCIAL HIGHLIGHTS

Class Y

 

Per share operating performance.

For a capital share outstanding throughout each period.

 

   For the Year Ended October 31,   For the Period December 12, 2014* through 
   2019   2018   2017   2016   October 31,2015 
Net asset value, beginning of period  $11.39   $12.23   $10.84   $10.95   $10.00 
Income from Investment Operations:                         
Net investment income (loss)1   0.05    -    0.08    0.06    (0.05)
Net realized and unrealized gain (loss)   (0.01)   (0.01)   1.40    (0.08)   1.00 
Total from investment operations   0.04    (0.01)   1.48    (0.02)   0.95 
                          
Less Distributions:                         
From net investment income   -    (0.07)   (0.09)   -    - 
From net realized gain   (0.33)   (0.76)   -    (0.09)   - 
Total distributions   (0.33)   (0.83)   (0.09)   (0.09)   - 
Net asset value, end of period  $11.10   $11.39   $12.23   $10.84   $10.95 
                          
Total return2   0.51%   (0.21)%   13.71%   (0.15)%   9.50%3
                          
Ratios and Supplemental Data:                         
Net assets, end of period (in thousands)  $510,403   $145,591   $38,730   $32,993   $41,888 
                          
Ratio of expenses to average net assets (including dividends on securities sold short and interest expense):                         
Before fees waived and expenses absorbed/recovered4,5   2.34%   2.29%   2.10%   2.10%   3.09%6
After fees waived and expenses absorbed/recovered4,5   2.31%   2.24%   2.11%   2.15%   2.36%6
Ratio of net investment income (loss) to average net assets (including dividends on securities sold short and interest expense):                         
Before fees waived and expenses absorbed/recovered   0.43%   (0.09)%   0.71%   0.60%   (1.28)%6
After fees waived and expenses absorbed/recovered   0.46%   (0.04)%   0.70%   0.55%   (0.55)%6
                          
Portfolio turnover rate   220%   197%   237%   229%   204%3

 

*Commencement of operations.
1Based on average shares outstanding for the period.
2Total returns would have been lower/higher had expenses not been waived/recovered by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
3Not annualized.
4If interest expense and dividends on securities sold short had been excluded, the expense ratios would have been lowered by 0.92% for the year ended October 31, 2019. For the prior periods ended October 31, 2018, 2017, 2016, and 2015, the ratios would have been lowered by 0.85%, 0.61%, 0.61%, and 0.82%, respectively.
5Effective December 18, 2017, the Fund's advisor has contractually agreed to waive its fees and/or pay for operating expenses of the Fund to ensure that the total annual fund operating expenses (excluding taxes, leverage interest, brokerage commissions, acquired fund fees and expenses as determined in accordance with SEC Form N-1A, expenses incurred in connection with any merger or reorganization, or extraordinary expenses such as litigation) do not exceed 1.39% of average daily net assets of the Fund. Prior to December 18, 2017, the annual operating expense limitation was 1.54%.
6Annualized.

 

See accompanying Notes to Financial Statements.

 

80

 

361 Macro Opportunity Fund

FINANCIAL HIGHLIGHTS

Investor Class

 

Per share operating performance.

For a capital share outstanding throughout each period.

 

   For the Year Ended October 31, 
   2019   2018   2017   2016   2015 
Net asset value, beginning of period  $9.42   $9.99   $8.58   $9.14   $9.77 
Income from Investment Operations:                         
Net investment loss1   (0.10)   (0.08)   (0.06)   (0.04)   (0.06)
Net realized and unrealized gain (loss)   (0.64)   (0.49)   1.47    (0.52)   (0.57)
Total from investment operations   (0.74)   (0.57)   1.41    (0.56)   (0.63)
Net asset value, end of period  $8.68   $9.42   $9.99   $8.58   $9.14 
                          
Total return2   (7.86)%   (5.71)%   16.43%   (6.13)%   (6.45)%
                          
Ratios and Supplemental Data:                         
Net assets, end of period (in thousands)  $181   $227   $231   $144   $230 
                          
Ratio of expenses to average net assets (including dividends on securities sold short and interest expense):                         
Before fees waived and expenses absorbed3   4.05%   3.38%   3.57%   3.54%   3.41%
After fees waived and expenses absorbed3    2.86%   2.33%   2.31%   2.20%   2.17%
Ratio of net investment loss to average net assets (including dividends on securities sold short and interest expense):                         
Before fees waived and expenses absorbed   (2.28)%   (1.87)%   (1.90)%   (1.75)%   (1.83)%
After fees waived and expenses absorbed   (1.09)%   (0.82)%   (0.64)%   (0.41)%   (0.59)%
                          
Portfolio turnover rate   574%   586%   533%   816%   1,596%

 

1Based on average shares outstanding for the period.
2Total returns would have been lower/higher had expenses not been waived/recovered by the Advisor. These returns include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
3If interest expense and dividends on securities sold short had been excluded, the expense ratios would have been lowered by 0.71%% for the year ended October 31, 2019. For the prior periods ended October 31, 2018, 2017, 2016, and October 31, 2015, the ratios would have been lowered by 0.18%, 0.16%, 0.05%, and 0.02%, respectively.

 

See accompanying Notes to Financial Statements.

 

81

 

361 Macro Opportunity Fund

FINANCIAL HIGHLIGHTS

Class I

 

Per share operating performance.

For a capital share outstanding throughout each period.

 

   For the Year Ended October 31, 
   2019   2018   2017   2016   2015 
Net asset value, beginning of period  $9.52   $10.07   $8.63   $9.18   $9.78 
Income from Investment Operations:                         
Net investment loss1   (0.08)   (0.06)   (0.04)   (0.01)   (0.03)
Net realized and unrealized gain (loss)   (0.65)   (0.49)   1.48    (0.54)   (0.57)
Total from investment operations   (0.73)   (0.55)   1.44    (0.55)   (0.60)
Net asset value, end of period  $8.79   $9.52   $10.07   $8.63   $9.18 
                          
Total return2   (7.67)%   (5.46)%   16.69%   (5.99)%   (6.13)%
                          
Ratios and Supplemental Data:                         
Net assets, end of period (in thousands)  $9,105   $11,276   $11,514   $10,671   $18,239 
                          
Ratio of expenses to average net assets (including dividends on securities sold short and interest expense):                         
Before fees waived and expenses absorbed3   3.80%   3.13%   3.32%   3.29%   3.16%
After fees waived and expenses absorbed3   2.61%   2.08%   2.06%   1.95%   1.92%
Ratio of net investment loss to average net assets (including dividends on securities sold short and interest expense):                         
Before fees waived and expenses absorbed   (2.03)%   (1.62)%   (1.65)%   (1.50)%   (1.58)%
After fees waived and expenses absorbed   (0.84)%   (0.57)%   (0.39)%   (0.16)%   (0.34)%
                          
Portfolio turnover rate   574%   586%   533%   816%   1,596%

 

1Based on average shares outstanding for the period.
2Total returns would have been lower/higher had expenses not been waived/recovered by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
3If interest expense and dividends on securities sold short had been excluded, the expense ratios would have been lowered by 0.71% for the year ended October 31, 2019. For the prior periods ended October 31, 2018, 2017, 2016, and 2015, the ratios would have been lowered by 0.18%, 0.16%, 0.05%, and 0.02%, respectively.

 

See accompanying Notes to Financial Statements.

 

82

 

361 U.S. Small Cap Equity Fund

FINANCIAL HIGHLIGHTS

Investor Class

 

Per share operating performance.

For a capital share outstanding throughout each period.

 

   For the Year Ended October 31,   For the Period December 30, 2016* through 
   2019   2018   October 31,2017 
Net asset value, beginning of period  $10.66   $11.42   $10.00 
Income from Investment Operations:               
Net investment loss1   -2    (0.01)   (0.03)
Net realized and unrealized gain (loss)   (0.04)   (0.53)   1.45 
Total from investment operations   (0.04)   (0.54)   1.42 
                
Less Distributions:               
From net investment income   -2    -    - 
From net realized gain   -    (0.22)   - 
Total distributions   -2    (0.22)   - 
                
Net asset value, end of period  $10.62   $10.66   $11.42 
                
Total return3   (0.35)%   (4.79)%   14.20%4
                
Ratios and Supplemental Data:               
Net assets, end of period (in thousands)  $1,589   $1,976   $1,836 
                
Ratio of expenses to average net assets:               
Before fees waived and expenses absorbed5   2.19%   2.51%   8.50%6
After fees waived and expenses absorbed5   1.24%   1.25%   1.50%6
Ratio of net investment loss to average net assets:               
Before fees waived and expenses absorbed   (1.00)%   (1.31)%   (7.39)%6
After fees waived and expenses absorbed   (0.05)%   (0.05)%   (0.39)%6
                
Portfolio turnover rate   235%   297%   265%4

 

*Commencement of operations.
1Based on average shares outstanding for the period.
2Amount represents less than $0.01 per share.
3Total returns would have been lower/higher had expenses not been waived/recovered by the Advisor. These returns include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
4Not annualized.
5Effective December 18, 2017, the Fund's advisor has contractually agreed to waive its fees and/or pay for operating expenses of the Fund to ensure that the total annual fund operating expenses (excluding taxes, leverage interest, brokerage commissions, acquired fund fees and expenses as determined in accordance with SEC Form N-1A, expenses incurred in connection with any merger or reorganization, or extraordinary expenses such as litigation) do not exceed 1.24% of average daily net assets of the Fund. Prior to December 18, 2017, the annual operating expense limitation was 1.50%.
6Annualized.

 

See accompanying Notes to Financial Statements.

 

83

 

361 U.S. Small Cap Equity Fund

FINANCIAL HIGHLIGHTS

Class I

 

Per share operating performance.

For a capital share outstanding throughout each period.

 

   For the Year Ended October 31,   For the Period December 30, 2016* through 
   2019   2018   October 31,2017 
Net asset value, beginning of period  $10.72   $11.45   $10.00 
Income from Investment Operations:               
Net investment income (loss)1   0.02    0.03    (0.01)
Net realized and unrealized gain (loss)   (0.04)   (0.53)   1.46 
Total from investment operations   (0.02)   (0.50)   1.45 
                
Less Distributions:               
From net investment income   (0.02)   (0.01)   - 
From net realized gain   -    (0.22)   - 
Total distributions   (0.02)   (0.23)   - 
                
Net asset value, end of period  $10.68   $10.72   $11.45 
                
Total return2   (0.16)%   (4.44)%   14.50%3
                
Ratios and Supplemental Data:               
Net assets, end of period (in thousands)  $22,497   $27,339   $1,483 
                
Ratio of expenses to average net assets:               
Before fees waived and expenses absorbed4   1.92%   2.20%   8.24%5
After fees waived and expenses absorbed4   0.97%   0.94%   1.24%5
Ratio of net investment income (loss) to average net assets:               
Before fees waived and expenses absorbed   (0.73)%   (1.00)%   (7.13)%5
After fees waived and expenses absorbed   0.22%   0.26%   (0.13)%5
                
Portfolio turnover rate   235%   297%   265%3

 

*Commencement of operations.
1Based on average shares outstanding for the period.
2Total returns would have been lower/higher had expenses not been waived/recovered by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
3Not annualized.
4Effective December 18, 2017, the Fund's advisor has contractually agreed to waive its fees and/or pay for operating expenses of the Fund to ensure that the total annual fund operating expenses (excluding taxes, leverage interest, brokerage commissions, acquired fund fees and expenses as determined in accordance with SEC Form N-1A, expenses incurred in connection with any merger or reorganization, or extraordinary expenses such as litigation) do not exceed 0.99% of average daily net assets of the Fund. Prior to December 18, 2017, the annual operating expense limitation was 1.25%.
5Annualized.

 

See accompanying Notes to Financial Statements.

 

84

 

361 U.S. Small Cap Equity Fund

FINANCIAL HIGHLIGHTS

Class Y

 

Per share operating performance.

For a capital share outstanding throughout each period.

 

   For the Year Ended October 31,   For the Period December 30, 2016* through 
   2019   2018   October 31,2017 
Net asset value, beginning of period  $10.72   $11.46   $10.00 
Income from Investment Operations:               
Net investment income1   0.04    0.04    -2 
Net realized and unrealized gain (loss)   (0.04)   (0.54)   1.46 
Total from investment operations   -    (0.50)   1.46 
                
Less Distributions:               
From net investment income   (0.03)   (0.02)   - 
From net realized gain   -    (0.22)   - 
Total distributions   (0.03)   (0.24)   - 
                
Net asset value, end of period  $10.69   $10.72   $11.46 
                
Total return3   -%   (4.40)%   14.60%4
                
Ratios and Supplemental Data:               
Net assets, end of period (in thousands)  $110   $110   $665 
                
Ratio of expenses to average net assets:               
Before fees waived and expenses absorbed5   1.79%   2.11%   8.10%6
After fees waived and expenses absorbed5   0.84%   0.85%   1.10%6
Ratio of net investment income (loss) to average net assets:               
Before fees waived and expenses absorbed   (0.60)%   (0.91)%   (6.99)%6
After fees waived and expenses absorbed   0.35%   0.35%   0.01%6
                
Portfolio turnover rate   235%   297%   265%4

 

*Commencement of operations.
1Based on average shares outstanding for the period.
2Amount represents less than $0.01 per share.
3Total returns would have been lower/higher had certain expenses not been waive/recovered by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
4Not annualized.
5Effective December 18, 2017 the Fund's advisor has contractually agreed to waive its fees and/or pay for operating expenses of the Fund to ensure that the total annual fund operating expenses (excluding taxes, leverage interest, brokerage commissions, acquired fund fees and expenses as determined in accordance with SEC Form N-1A, expenses incurred in connection with any merger or reorganization, or extraordinary expenses such as litigation) do not exceed 0.84% of average daily net assets of the Fund. Prior to December 18, 2017, the annual operating expense limitation was 1.10%.
6Annualized.

 

See accompanying Notes to Financial Statements.

 

85

 

361 Funds

NOTES TO FINANCIAL STATEMENTS

October 31, 2019

 

 

Note 1 – Organization

361 Managed Futures Strategy Fund (“Managed Futures Strategy” or “Managed Futures Strategy Fund”), 361 Global Managed Futures Strategy Fund (formerly known as 361 Global Counter-Trend) (“Global Managed Futures Strategy” or “Global Managed Futures Strategy Fund”), 361 Domestic Long/Short Equity Fund (“Domestic Long/Short Equity” or “Domestic Long/Short Equity Fund”), 361 Global Long/Short Equity Fund (“Global Long/Short Equity” or “Global Long/Short Equity Fund”), 361 Macro Opportunity Fund (formerly known as the 361 Global Macro Opportunity Fund) (“Macro Opportunity” or “Macro Opportunity Fund”), and 361 U.S. Small Cap Equity Fund (“U.S. Small Cap Equity” or “U.S. Small Cap Equity Fund”) (each a “Fund” and collectively the ‘‘Funds’’) are organized as a series of Investment Managers Series Trust, a Delaware statutory trust (the “Trust”) which is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Managed Futures Strategy Fund, Global Managed Futures Strategy Fund, Global Long/Short Equity Fund, Macro Opportunity Fund, and U.S. Small Cap Equity Fund are diversified Funds. The Domestic Long/Short Equity Fund is a non-diversified Fund.

 

The Managed Futures Strategy Fund’s primary investment objective is to seek positive absolute returns that have a low correlation to the returns of broad stock and bond markets. The Fund commenced investment operations on December 20, 2011, with two classes of shares, Class A and Class I. Class A shares were re-designated as Investor Class shares on November 1, 2014.

 

The Global Managed Futures Strategy Fund’s primary investment objective is to seek positive absolute returns that have a low correlation to the returns of global stock and bond markets. The Fund commenced investment operations on February 12, 2014, with two classes of shares, Class A and Class I. Class A shares were re-designated as Investor Class shares on November 1, 2014.

 

The Domestic Long/Short Equity Fund’s primary investment objective is to achieve long-term capital appreciation. The Fund commenced investment operations on March 31, 2016, with three classes of shares, Investor Class, Class I and Class Y.

 

The Global Long/Short Equity Fund’s primary investment objective is to seek to achieve long-term capital appreciation. As a secondary objective, the Global Long/Short Equity Fund also seeks to preserve capital in down markets. The Fund commenced investment operations on December 12, 2014, with three classes of shares, Investor Class, Class I and Class Y.

 

The Global Long/Short Equity Fund commenced operations on December 12, 2014, prior to which its only activity was the receipt of a $10,010 investment from the Fund’s advisor and a $644,131 transfer of shares of the Fund in exchange for the net assets of the Analytic Global Long/Short Equity Fund, L.P., a Delaware limited partnership (“L.P.”). This exchange was nontaxable, whereby the Fund issued 64,413 shares for the net assets of the SMA on December 12, 2014. Gross assets with a fair market value of $830,593 consisting of cash, interest receivable and securities of the L.P. with a fair value of $644,098 (identified cost of investments transferred $638,574) were the primary assets received by the Fund. The Fund also assumed a liability for short securities with a fair market value of $186,452 (identified proceeds of $203,052) as part of this exchange. For financial reporting purposes, assets and liabilities received and shares issued by the Fund were recorded at fair value; however, the cost basis of the investments received from the L.P. was carried forward to align ongoing reporting of the Fund’s realized and unrealized gains and losses with amount distributable to shareholders for tax purposes.

 

The Macro Opportunity Fund’s primary investment objective is to seek long–term positive absolute return. The Fund commenced investment operations on June 30, 2014, with two classes of shares, Class A and Class I. Class A shares were re-designated as Investor Class shares on November 1, 2014.

 

The U.S. Small Cap Equity Fund’s primary investment objective is to achieve long-term capital appreciation. The Fund commenced investment operations on December 30, 2016, with three classes of shares, Investor Class, Class I and Class Y.

 

86

 

361 Funds

NOTES TO FINANCIAL STATEMENTS - Continued

October 31, 2019

 

 

The shares of each class represent an interest in the same portfolio of investments of the Fund and have equal rights as to voting, redemptions, dividends and liquidation, subject to the approval of the Trustees. Income, expenses (other than expenses attributable to a specific class) and realized and unrealized gains and losses on investments are allocated to each class of shares in proportion to their relative shares outstanding. Shareholders of a class that bears distribution and service expenses under the terms of a distribution plan have exclusive voting rights to that distribution plan.

 

Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services—Investment Companies.”

 

Note 2 – Accounting Policies

The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of their financial statements. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.

 

(a) Valuation of Investments

Each Fund values equity securities at the last reported sale price on the principal exchange or in the principal over the counter (“OTC”) market in which such securities are traded, as of the close of regular trading on the NYSE on the day the securities are being valued or, if the last-quoted sales price is not readily available, the securities will be valued at the last bid or the mean between the last available bid and ask price. Securities traded on the NASDAQ are valued at the NASDAQ Official Closing Price (“NOCP”). Investments in open-end investment companies are valued at the daily closing net asset value of the respective investment company. Debt securities are valued by utilizing a price supplied by independent pricing service providers. The independent pricing service providers may use various valuation methodologies including matrix pricing and other analytical pricing models as well as market transactions and dealer quotations. These models generally consider such factors as yields or prices of bonds of comparable quality, type of issue, coupon, maturity, ratings and general market conditions. If a price is not readily available for a portfolio security, the security will be valued at fair value (the amount which the Funds might reasonably expect to receive for the security upon its current sale) as determined in good faith by the Funds’ advisor, subject to review and approval by the Valuation Committee, pursuant to procedures adopted by the Board of Trustees. The actions of the Valuation Committee are subsequently reviewed by the Board at its next regularly scheduled board meeting. The Valuation Committee meets as needed. The Valuation Committee is comprised of all the Trustees, but action may be taken by any one of the Trustees.

 

Foreign securities traded in countries outside the U.S. are fair valued by utilizing the quotations of an independent pricing service. The pricing service uses statistical analyses and quantitative models to adjust local prices using factors such as subsequent movement and changes in the prices of indexes, securities and exchange rates in other markets in determining fair value as of the time the Fund calculates the NAVs. The Board reviews the independent third party fair valuation analysis report quarterly.

 

(b) Options

The Funds may write or purchase options contracts primarily to enhance the Funds’ returns or reduce volatility. In addition, the Funds may utilize options in an attempt to generate gains from option premiums or to reduce overall portfolio risk. When a Fund writes or purchases an option, an amount equal to the premium received or paid by a Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by a Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether a Fund has realized a gain or a loss on investment transactions. A Fund, as a writer of an option, may have no control over whether the underlying securities may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the security underlying the written option.

 

87

 

361 Funds

NOTES TO FINANCIAL STATEMENTS - Continued

October 31, 2019

 

 

(c) Stock Index Futures

The Funds may invest in stock index futures as a substitute for a comparable market position in the underlying securities. A stock index future obligates the seller to deliver (and the purchaser to accept), effectively, an amount of cash equal to a specific dollar amount times the difference between the value of a specific stock index at the close of the last trading day of the contract and the price at which the agreement is made. No physical delivery of the underlying stocks in the index is made. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral for the account of the broker (the Funds’ agent in acquiring the futures position). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the market value of the contracts at the end of each day’s trading. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When the contracts are closed, a Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and a Fund’s basis in the contract. Risks of entering into futures contracts include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. The purchase of a futures contract involves the risk that a Fund could lose more than the original margin deposit required to initiate the futures transaction. There is minimal counterparty credit risk involved in entering into futures contracts since they are exchange-traded instruments and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default.

 

(d) Short Sales

Short sales are transactions under which the Funds sell a security it does not own in anticipation of a decline in the value of that security. To complete such a transaction, the Funds must borrow the security to make delivery to the buyer. The Funds then are obligated to replace the security borrowed by purchasing the security at market price at the time of replacement. The price at such time may be more or less than the price at which the security was sold by the Funds. When a security is sold short a decrease in the value of the security will be recognized as a gain and an increase in the value of the security will be recognized as a loss, which is potentially limitless. Until the security is replaced, the Funds are required to pay the lender amounts equal to dividend or interest that accrue during the period of the loan which is recorded as an expense. To borrow the security, the Funds also may be required to pay a premium or an interest fee, which are recorded as interest expense. Cash or securities are segregated for the broker to meet the necessary margin requirements. The Funds are subject to the risk that it may not always be able to close out a short position at a particular time or at an acceptable price.

 

(e) Short-Term Investments

The Domestic Long/Short Equity Fund invests a significant amount (22.3% of its net assets as of October 31, 2019) in the UMB Money Market Fiduciary. The UMB Money Market Fiduciary acts as a bank deposit for the Fund, providing an interest bearing account for short-term investment purposes. This investment vehicle is not publically traded on open markets.

 

(f) Investment Transactions, Investment Income and Expenses

Investment transactions are accounted for on the trade date. Realized gains and losses on investments are determined on the identified cost basis. Dividend income is recorded net of applicable withholding taxes on the ex-dividend date and interest income is recorded on an accrual basis. Withholding taxes on foreign dividends, if applicable, are paid (a portion of which may be reclaimable) or provided for in accordance with the applicable country’s tax rules and rates and are disclosed in the Statement of Operations. Withholding tax reclaims are filed in certain countries to recover a portion of the amounts previously withheld. The Funds record a reclaim receivable based on a number of factors, including a jurisdiction’s legal obligation to pay reclaims as well as payment history and market convention. Discounts or premiums on debt securities are accreted or amortized to interest income over the lives of the respective securities using the effective interest method. Income and expenses of the Fund are allocated on a pro rata basis to each class of shares, except for distribution and service fees, which are unique to each class of shares. Expenses incurred by the Trust with respect to more than one fund are allocated in proportion to the net assets of each fund except where allocation of direct expenses to each fund or an alternative allocation method can be more appropriately made.

 

88

 

361 Funds

NOTES TO FINANCIAL STATEMENTS - Continued

October 31, 2019

 

 

In conjunction with the use of short sales, written options contracts or futures contracts, the Funds may be required to maintain collateral in various forms. At October 31, 2019, such collateral is denoted in the Funds’ Schedule of Investments and Statements of Assets and Liabilities. Also in conjunction with the use of short sales, written options contracts or futures contracts, the Funds, when appropriate, utilize a segregated margin deposit account with the counterparty. At October 31, 2019, these segregated margin deposit accounts are denoted in the Funds’ Statements of Assets and Liabilities.

 

(g) Federal Income Taxes

The Funds intend to comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its net investment income and any net realized gains to its shareholders. Therefore, no provision is made for federal income or excise taxes. Due to the timing of dividend distributions and the differences in accounting for income and realized gains and losses for financial statement and federal income tax purposes, the fiscal year in which amounts are distributed may differ from the year in which the income and realized gains and losses are recorded by the Funds.

 

Accounting for Uncertainty in Income Taxes (the “Income Tax Statement”) requires an evaluation of tax positions taken (or expected to be taken) in the course of preparing a Funds’ tax returns to determine whether these positions meet a “more-likely-than-not” standard that, based on the technical merits, have a more than fifty percent likelihood of being sustained by a taxing authority upon examination. A tax position that meets the “more-likely-than-not” recognition threshold is measured to determine the amount of benefit to recognize in the financial statements. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations.

 

The Income Tax Statement requires management of the Funds to analyze tax positions taken in the prior three open tax years, if any, and tax positions expected to be taken in the Funds’ current tax year, as defined by the IRS statute of limitations for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of and during the open tax years ended October 31, 2016 through 2019, the Funds did not have a liability for any unrecognized tax benefits. The Funds have no examination in progress and are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

 

(h) Distributions to Shareholders

The Funds will make distributions of net investment income and capital gains, if any, at least annually. Distributions to shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.

 

The character of distributions made during the year from net investment income or net realized gains may differ from the characterization for federal income tax purposes due to differences in the recognition of income, expense and gain (loss) items for financial statement and tax purposes.

 

Note 3 – Investment Advisory and Other Agreements

The Trust, on behalf of the Funds, entered into an Investment Advisory Agreement (the “Agreement”) with 361 Capital, LLC (the “Advisor”). Under the terms of the Agreement, the Funds pay a monthly investment advisory fee to the Advisor. The annual rates are listed by Fund in the tables below.

 

The Advisor has contractually agreed to waive its fee and/or pay for operating expenses (excluding any taxes, leverage interest, acquired fund fees and expenses as determined in accordance with Form N-1A, dividend and interest expense on short sales, brokerage commissions, expenses incurred in connection with any merger or reorganization and extraordinary expenses such as litigation expenses) in order to limit total annual operating expenses of each fund. This agreement is in effect until February 29, 2020 for the Managed Futures Strategy Fund, Global Managed Futures Strategy Fund and Macro Opportunity Fund and it may be terminated before that date only by the Trust's Board of Trustees. The table below contains the expense cap by Fund and by Class:

 

89

 

361 Funds

NOTES TO FINANCIAL STATEMENTS - Continued

October 31, 2019

 

 

  Investment Advisory Fees Total Limit on Annual Operating Expenses Investor Class Shares† Total Limit on Annual Operating Expenses Class I Shares†
Managed Futures Strategy Fund 1.50% 2.24% 1.99%
Global Managed Futures Strategy Fund 1.25% 1.99% 1.74%
Macro Opportunity Fund 1.25% 2.15%  1.90%

 

The total limit on annual operating expenses is calculated based on each Fund’s average daily net assets.

 

The Advisor has contractually agreed to waive its fee and/or pay for operating expenses (excluding any taxes, leverage interest, acquired fund fees and expenses as determined in accordance with Form N-1A, dividend and interest expense on short sales, brokerage commissions, expenses incurred in connection with any merger or reorganization, extraordinary expenses such as litigation expenses, Rule 12b-1 fees and shareholder service fees) in order to limit total annual operating expenses of each fund. This agreement is in effect until February 29, 2020 for the Domestic Long/Short Equity Fund, Global Long/Short Equity Fund and U.S. Small Cap Equity Fund and it may be terminated before that date only by the Trust's Board of Trustees. The table below contains the expense cap by Fund:

 

  Investment Advisory Fees Total Limit on Annual Operating Expenses†
Domestic Long/Short Equity Fund  1.10% 1.39%
Global Long/Short Equity Fund 1.25% 1.39%
U.S. Small Cap Equity Fund 0.80%  0.84%

 

The total limit on annual operating expenses is calculated based on each Fund’s average daily net assets.

 

Federated Investment Management Company (“Federated” or the “Sub-Advisor”) serves as sub-advisor to the Managed Futures Strategy Fund. Under the Sub-Advisory Agreement, the Fund will pay the Sub-Advisor an annual sub-advisory fee of 0.10% of the allocated average net assets of the Fund on the first $250 million and 0.08% on such assets over $250 million. The Sub-Advisor may invest the cash portion of its allocated Fund assets in money market mutual funds managed by Federated (the “Federated Money Market Funds”). The Sub-Advisor waives its sub-advisory fee equal to the amount of management fee it received from the Fund’s investments in the Federated Money Market Funds. For the year ended October 31, 2019, the Sub-Advisor waived $27,863 of its sub-advisory fees.

 

The Advisor has engaged Wells Capital Management, Inc. (formerly Analytic Investors, LLC) (the "Sub-Advisor") to manage the assets of the 361 Domestic Long/Short Equity Fund and 361 Global Long/Short Equity Fund and pays the Sub-Advisor from its advisory fees.

 

90

 

361 Funds

NOTES TO FINANCIAL STATEMENTS - Continued

October 31, 2019

 

 

For the year ended October 31, 2019, the Advisor waived fees and absorbed other expenses as follows:

 

   Advisory fees waived   Other expenses absorbed   Total 
Managed Futures Strategy Fund  $-   $-   $- 
Global Managed Futures Strategy Fund   22,277    -    22,277 
Domestic Long/Short Equity Fund   101,935    -    101,935 
Global Long/Short Equity Fund   211,030    -    211,030 
Macro Opportunity Fund   125,319    -    125,319 
U.S. Small Cap Equity Fund   216,880    41,830    258,710 
   $677,441   $41,830   $719,271 

 

Each Fund’s advisor is permitted to seek reimbursement from the Fund, subject to certain limitations, of fees waived or payments made to the Fund for a period ending three full fiscal years after the date of the waiver or payment. This reimbursement may be requested from the Fund if the reimbursement will not cause the Fund’s annual expense ratio to exceed the lesser of (a) the expense limitation amount in effect at the time such fees were waived or payments made, or (b) the expense limitation amount in effect at the time of the reimbursement. At October 31, 2019, the amount of these potentially recoverable expenses was $0, $37,885, $419,614, $515,000, $388,945 and $758,407 for the Managed Futures Strategy Fund, Global Managed Futures Strategy Fund, Domestic Long/Short Equity Fund, Global Long/Short Equity Fund, Macro Opportunity Fund and U.S. Small Cap Equity Fund, respectively. The Advisor may recapture all or a portion of these amounts no later than October 31, of the years stated below:

 

   Managed Futures Strategy Fund   Global Managed Futures Strategy Fund   Domestic Long/Short Equity Fund   Global Long/Short Equity Fund   Macro Opportunity Fund   U.S. Small Cap Equity Fund 
2020  $-   $15,608   $191,619   $-   $138,980   $225,443 
2021   -    -    126,060    303,970    124,646    274,254 
2022   -    22,277    101,935    211,030    125,319    258,710 
Total  $-   $37,885   $419,614   $515,000   $388,945   $758,407 

 

UMB Fund Services, Inc. (“UMBFS”) serves as the Funds’ fund accountant, transfer agent and co-administrator; and Mutual Fund Administration, LLC (“MFAC”) serves as the Funds’ other co-administrator. UMB Bank, n.a., an affiliate of UMBFS, serves as the Funds’ custodian. The Funds’ allocated fees incurred for fund accounting, fund administration, transfer agency and custody services for the year ended October 31, 2019 are reported on the Statements of Operations.

 

IMST Distributors, LLC serves as the Funds’ distributor (the “Distributor”). The Distributor does not receive compensation from the Funds for its distribution services; the Advisor pays the Distributor a fee for its distribution-related services.

 

Certain trustees and officers of the Trust are employees of UMBFS or MFAC. The Funds do not compensate trustees and officers affiliated with the Funds’ co-administrators. For the year ended October 31, 2019, the Funds’ allocated fees incurred for Trustees who are not affiliated with the Funds’ co-administrators are reported on the Statements of Operations.

 

The Funds’ Board of Trustees has adopted a Deferred Compensation Plan (the “Plan”) for the Independent Trustees that enables Trustees to elect to receive payment in cash or the option to select various fund(s) in the Trust in which their deferred accounts shall be deemed to be invested. If a trustee elects to defer payment, the Plan provides for the creation of a deferred payment account. The Funds’ liability for these amounts is adjusted for market value changes in the invested fund(s) and remains a liability to the Funds until distributed in accordance with the Plan. The Trustees Deferred compensation liability under the Plan constitutes a general unsecured obligation of each Fund and is disclosed in the Statements of Assets and Liabilities. Contributions made under the plan and the change in unrealized appreciation/depreciation and income are included in the Trustees’ fees and expenses in the Statements of Operations.

 

91

 

361 Funds

NOTES TO FINANCIAL STATEMENTS - Continued

October 31, 2019

 

 

Dziura Compliance Consulting, LLC provides Chief Compliance Officer (“CCO”) services to the Trust. The Funds’ allocated fees incurred for CCO services for the year ended October 31, 2019 are reported on the Statements of Operations.

 

The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is affected at the current market price to minimize trading costs, where permissible. For the year ended October 31, 2019, the Managed Futures Strategy Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:

 

Fund  Purchases   Sales   Interest Sold   Net Realized loss 
Managed Futures Strategy Fund  $-   $15,441,952   $32,257   $20,726 

 

Note 4 – Federal Income Taxes

As of October 31, 2019, the cost of investments on a tax basis and gross unrealized appreciation (depreciation) on investments for federal income tax purposes were as follows:

 

   Managed Futures Strategy Fund   Global
Managed Futures Strategy Fund
   Domestic Long/Short Equity Fund 
Cost of investments  $129,712,605   $43,370,720   $36,006,760 
                
Gross unrealized appreciation  $262,556   $10,296   $3,714,407 
Gross unrealized depreciation   (13,604)   (3,770)   (2,506,998)
Unrealized appreciation on foreign currency   -    -    - 
Net unrealized appreciation (depreciation) on investments  $248,952   $6,526   $1,207,409

 

   Global
Long/Short Equity Fund
   Macro Opportunity Fund   U.S. Small Cap Equity Fund 
Cost of investments  $707,131,263   $7,564,860   $23,430,951 
                
Gross unrealized appreciation  $77,826,993   $430,809   $2,732,880 
Gross unrealized depreciation   (55,862,470)   (137,690)   (980,262)
Unrealized appreciation on foreign currency   -    3    - 
Net unrealized appreciation (depreciation) on investments  $21,964,523   $293,122   $1,752,618 

 

The difference between cost amounts for financial statement and federal income tax purposes is due primarily to wash sale loss deferrals and foreign currency.

 

92

 

361 Funds

NOTES TO FINANCIAL STATEMENTS - Continued

October 31, 2019

 

 

GAAP requires that certain components of net assets be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. For the year ended October 31, 2019, permanent differences in book and tax accounting have been reclassified to paid-in capital and total distributable earnings (accumulated deficit) as follows:

 

Increase (Decrease)
Fund  Paid-in Capital   Total Distributable Earnings (Accumulated Deficit) 
Managed Futures Strategy Fund  $1,867   $(1,867)
Global Managed Futures Strategy Fund   (417,827)   417,827 
Domestic Long/Short Equity Fund   249    (249)
Global Long/Short Equity Fund   138,335    (138,335)
Macro Opportunity Fund   (82,075)   82,075 
U.S. Small Cap Equity Fund   9,564    (9,564)

 

As of October 31, 2019, the components of accumulated earnings (deficit) on a tax basis were as follows:

 

   Managed Futures Strategy Fund   Global Managed Futures Strategy Fund   Domestic Long/Short Equity Fund 
Undistributed ordinary income  $1,572,762   $-   $42,513 
Undistributed long-term capital gains   -    -    1,302,815 
Tax accumulated earnings   1,572,762    -    1,345,328 
                
Accumulated capital and other losses   (4,053,812)   (2,959,315)   - 
Unrealized appreciation on investments   248,952    6,526    1,207,409 
Unrealized appreciation on foreign currency and futures contracts   -    25,150    - 
Unrealized deferred compensation   (3,959)   (3,192)   (3,348)
Total accumulated earnings (deficit)  $(2,236,057)  $(2,930,831)  $2,549,389 

 

   Global
Long/Short Equity Fund
   Macro Opportunity Fund   U.S. Small Cap Equity Fund 
Undistributed ordinary income  $2,788,748   $-   $23,382 
Undistributed long-term capital gains   -    -    - 
Tax accumulated earnings   2,788,748    -    23,382 
                
Accumulated capital and other losses   (33,568,727)   (2,013,465)   (3,847,926)
Unrealized appreciation on investments   21,964,523    293,119    1,752,618 
Unrealized appreciation on foreign currency and futures contracts   6,748    3    - 
Unrealized deferred compensation   (4,867)   (2,974)   (2,996)
Total accumulated deficit  $(8,813,575)  $(1,723,317)  $(2,074,922)

 

93

 

361 Funds

NOTES TO FINANCIAL STATEMENTS - Continued

October 31, 2019

 

 

The tax character of the distributions paid during the fiscal years ended October 31, 2019 and October 31, 2018 were as follows:

 

   Managed Futures Strategy Fund   Global Managed Futures Strategy Fund 
Distributions paid from:  2019   2018   2019   2018 
Ordinary income  $-   $-   $-   $3,236,735 
Net long-term capital gains   -    -    -    2,369,952 
Total distributions paid  $-   $-   $-   $5,606,687 

 

   Domestic Long/Short Equity Fund   Global Long/Short Equity Fund 
Distributions paid from:  2019   2018   2019   2018 
Ordinary income  $1,302,315   $540,985   $24,487   $22,957,608 
Net long-term capital gains   1,493,767    163,896    21,144,230    14,086,568 
Total distributions paid  $2,796,082   $704,881   $21,168,717   $37,044,176 

 

   Macro Opportunity Fund   U.S. Small Cap Equity Fund 
Distributions paid from:  2019   2018   2019   2018 
Ordinary income  $-   $-   $58,034   $91,735 
Net long-term capital gains   -    -    -    1,607 
Total distributions paid  $-   $-   $58,034   $93,342 

 

At October 31, 2019, the Funds had capital loss carryforwards, which reduce the Funds’ taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Code, and thus will reduce the amount of distributions to shareholders which would otherwise be necessary to relieve the Funds of any liability for federal tax. Pursuant to the Code, the capital loss carryforwards are as follows:

 

   Not Subject to Expiration:     
Fund  Short-Term   Long-Term   Total 
Managed Futures Strategy Fund  $2,095,626   $1,958,186   $4,053,812 
Global Managed Futures Strategy Fund   1,067,963    1,891,352    2,959,315 
Domestic Long/Short Equity Fund   -    -    - 
Global Long/Short Equity Fund   32,088,097    1,480,630    33,568,727 
Macro Opportunity Fund   1,958,705    -    1,958,705 
U.S. Small Cap Equity Fund   3,847,926    -    3,847,926 

 

94

 

361 Funds

NOTES TO FINANCIAL STATEMENTS - Continued

October 31, 2019

 

 

As of October 31, 2019, the following Funds had qualified late-year ordinary losses, which are deferred until fiscal year 2020 for tax purposes:

 

Fund  Late-Year Ordinary Losses 
Managed Futures Strategy Fund  $- 
Global Managed Futures Strategy Fund   - 
Domestic Long/Short Equity Fund   - 
Global Long/Short Equity Fund   - 
Macro Opportunity Fund   54,760 
U.S. Small Cap Equity Fund   - 

 

Net late-year losses incurred after December 31 and within the taxable year are deemed to arise on the first day of the Fund's next taxable year.

 

Note 5 – Investment Transactions

For the year ended October 31, 2019, purchases and sales of investments, excluding short-term investments, futures contracts and options contracts, were as follows:

 

   Purchases   Sales   Securities sold short   Cover short securities 
Managed Futures Strategy Fund  $45,379,124   $126,156,075   $-   $- 
Global Managed Futures Strategy Fund   -    -    -    - 
Domestic Long/Short Equity Fund   151,836,144    155,104,990    43,033,357    43,683,218 
Global Long/Short Equity Fund   1,744,277,621    1,609,210,486    572,068,284    532,964,362 
Macro Opportunity Fund   43,326,832    43,135,257    25,711,882    26,568,932 
U.S. Small Cap Equity Fund   62,272,337    66,463,954    -    - 

 

Note 6 – Distribution Plan

The Trust, on behalf of each Fund, has adopted a Distribution Plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act which allows each Fund to pay distribution fees for the sale and distribution of its Investor Class shares. The Plan provides for the payment of distribution fees at the annual rate of up to 0.25% of average daily net assets attributable to Investor Class, payable to IMST Distributors, LLC. Class I and Class Y shares do not pay any distribution fees.

 

For the year ended October 31, 2019, for the Managed Futures Strategy Fund, Global Managed Futures Strategy Fund, Domestic Long/Short Equity Fund, Global Long/Short Equity Fund, Macro Opportunity Fund, and U.S. Small Cap Equity Fund distribution fees incurred by each Fund’s Investor Class shares are disclosed on the Statements of Operations.

 

Note 7 – Shareholder Servicing Plan

The Trust, on behalf of each Fund, has adopted a Shareholder Servicing Plan to pay a fee at an annual rate of up to 0.15% of each Fund’s average daily net assets of shares serviced by shareholder servicing agents who provide administrative and support services to their customers. Class Y shares do not participate in the Shareholder Servicing Plan.

 

For the year ended October 31, 2019, for the Managed Futures Strategy Fund, Global Managed Futures Strategy Fund, Domestic Long/Short Equity Fund, Global Long/Short Equity Fund, Macro Opportunity Fund, and U.S. Small Cap Equity Fund shareholder servicing fees incurred are disclosed on the Statements of Operations.

 

95

 

361 Funds

NOTES TO FINANCIAL STATEMENTS - Continued

October 31, 2019

 

 

Note 8 – Indemnifications

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds expect the risk of loss to be remote.

 

Note 9 – Fair Value Measurements and Disclosure

Fair Value Measurements and Disclosures defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and expands disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or a liability, when a transaction is not orderly, and how that information must be incorporated into a fair value measurement.

 

Under Fair Value Measurements and Disclosures, various inputs are used in determining the value of the Funds’ investments. These inputs are summarized into three broad Levels as described below:

 

Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

 

Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

 

Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

The inputs used to measure fair value may fall into different Levels of the fair value hierarchy. In such cases, for disclosure purposes, the Level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest Level input that is significant to the fair value measurement in its entirety.

 

96

 

361 Funds

NOTES TO FINANCIAL STATEMENTS - Continued

October 31, 2019

 

 

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the inputs used, as of October 31, 2019, in valuing the Funds’ assets carried at fair value:

 

Managed Futures Strategy Fund  Level 1  Level 2  Level 3**  Total
Assets            
Investments            
Asset-Backed Securities  $-   $52,596,861   $-   $52,596,861 
Collateralized Mortgage Obligations   -    3,881,266    -    3,881,266 
Commercial Papers        2,985,636         2,985,636 
Corporate Bonds1   -    40,620,659    -    40,620,659 
Municipal Bonds   -    4,006,640    -    4,006,640 
Short-Term Investments   25,870,495    -    -    25,870,495 
Total Investments   25,870,495    104,091,062    -    129,961,557 
Other Financial Instruments2                    
Futures Contracts   517,390    -    -    517,390 
Total Assets  $26,387,885   $104,091,062   $-   $130,478,947 
Liabilities                    
Other Financial Instruments2                    
Futures Contracts  $390   $-   $-   $390 
Total Liabilities  $390   $-   $-   $390 

 

Global Managed Futures Strategy Fund  Level 1  Level 2  Level 3**  Total
Assets            
Investments            
Short-Term Investments  $4,663,065   $-   $-   $4,663,065 
U.S. Treasury Bills   -    38,714,181    -    38,714,181 
Total Investments  $4,663,065   $38,714,181   $-   $43,377,246 
Other Financial Instruments2                    
Futures Contracts   4,805    -    -    4,805 
Total Assets  $4,667,870   $38,714,181   $-   $43,382,051 
                     
Liabilities                    
Other Financial Instruments2                    
Futures Contracts  $3,770   $-   $-   $3,770 
Total Liabilities  $3,770   $-   $-   $3,770 

 

97

 

361 Funds

NOTES TO FINANCIAL STATEMENTS - Continued

October 31, 2019

 

 

Domestic Long/Short Equity Fund  Level 1  Level 2*  Level 3**  Total
Assets            
Investments            
Common Stocks1  $40,604,853   $-   $-   $40,604,853 
Short-Term Investments   8,796,252    -    -    8,796,252 
Total Assets  $49,401,105   $-   $-   $49,401,105 
                     
Liabilities                    
Securities Sold Short                    
Common Stocks1  $12,186,936   $-   $-   $12,186,936 
Total Liabilities  $12,186,936   $-   $-   $12,186,936 

 

Global Long/Short Equity Fund  Level 1  Level 2  Level 3**  Total
Assets            
Common Stocks            
Basic Materials  $11,082,378   $30,631,094   $-   $41,713,472 
Communications   89,288,767    38,765,529    -    128,054,296 
Consumer, Cyclical   85,263,553    4,706,901    -    89,970,454 
Consumer, Non-cyclical   122,276,437    21,187,874    -    143,464,311 
Diversified   -    7,068,229    -    7,068,229 
Energy   5,742,520    9,965,953    -    15,708,473 
Financial   153,600,217    15,872,263    -    169,472,480 
Industrial   50,029,257    65,958,764    -    115,988,021 
Technology   111,367,280    12,437,974    -    123,805,254 
Utilities   -    28,656,300    -    28,656,300 
Short-Term Investments   119,763,725    -    -    119,763,725 
Total Assets  $748,414,134   $235,250,881   $-   $983,665,015 
                     
Liabilities                    
Securities Sold Short                    
Common Stocks                    
Basic Materials  $31,239,065   $9,974,913   $-   $41,213,978 
Communications   16,259,444    2,939,578    -    19,199,022 
Consumer, Cyclical   11,370,502    15,789,392    -    27,159,894 
Consumer, Non-Cyclical   55,049,393    15,004,323    -    70,053,716 
Energy   46,373,337    -    -    46,373,337 
Financial   -    25,074,562    -    25,074,562 
Industrial   6,990,414    253,901    -    7,244,315 
Technology   18,250,405    -    -    18,250,405 
Total Liabilities  $185,532,560   $69,036,669   $-   $254,569,229 

 

98

 

361 Funds

NOTES TO FINANCIAL STATEMENTS - Continued

October 31, 2019

 

 

Macro Opportunity Fund  Level 1  Level 2*  Level 3**  Total
Assets            
Investments            
Common Stocks1  $5,797,517   $-   $-   $5,797,517 
Exchange-Traded Funds   4,182,215    -    -    4,182,215 
Total Assets  $9,979,732   $-   $-   $9,979,732 
                     
Liabilities                    
Securities Sold Short                    
Common Stocks1  $1,616,156   $-   $-   $1,616,156 
Exchange-Traded Funds   505,598    -    -    505,598 
Total Liabilities  $2,121,754   $-   $-   $2,121,754 

 

U.S. Small Cap Equity Fund  Level 1  Level 2*  Level 3**  Total
Investments            
Common Stocks1  $24,519,465   $-   $-   $24,519,465 
Short-Term Investments   664,104    -    -    664,104 
Total Investments  $25,183,569   $-   $-   $25,183,569 

 

1For a detailed break-out of common stocks and corporate bonds by major industry classification, please refer to the Schedule of Investments.

2Other financial instruments are derivative instruments such as futures contracts, forward contracts and swap contracts. Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.

*The Funds did not hold any Level 2 securities at period end.

**The Funds did not hold any Level 3 securities at period end.

 

Note 10 – Derivatives and Hedging Disclosures

Derivatives and Hedging requires enhanced disclosures about the Funds’ derivative and hedging activities, including how such activities are accounted for and their effects on the Funds’ financial position, performance and cash flows. The Funds invested in futures contracts during the year ended October 31, 2019.

 

The effects of these derivative instruments on the Funds’ financial position and financial performance as reflected in the Statements of Assets and Liabilities and Statements of Operations are presented in the tables below. The fair values of derivative instruments, as of October 31, 2019, by risk category are as follows:

 

         Asset Derivatives   Liability Derivatives 
   Statement of Asset and Liabilities Location  Derivatives not designated as hedging instruments  Value   Value 
Managed Futures Strategy Fund  Unrealized appreciation/depreciation on open futures contracts  Equity Contracts  $29,740   $390 
      Volatility Contracts   487,650    - 
Global Managed Futures Strategy Fund  Unrealized appreciation/depreciation on open futures contracts  Equity contracts   4,805    3,770 

 

99

 

361 Funds

NOTES TO FINANCIAL STATEMENTS - Continued

October 31, 2019

 

 

The effects of derivative instruments on the Statements of Operations for the year ended October 31, 2019 for the Managed Futures Strategy and Global Managed Futures Strategy are as follows:

 

   Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
   Derivatives not designated as hedging instruments  Futures Contracts   Purchased Options Contracts   Written Options Contracts   Total 
Managed Futures Strategy Fund  Equity Contracts  $1,608,233   $-   $-   $1,608,233 
   Volatility Contracts   (1,396,679)   -    -    (1,396,679)
Global Managed Futures Strategy Fund  Equity Contracts   3,038,563    -    -    3,038,563 

 

   Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in Income
   Derivatives not designated as hedging instruments  Futures Contracts   Purchased Options Contracts   Total 
Managed Futures Strategy Fund  Equity Contracts  $1,651,797   $-   $1,651,797 
   Volatility Contracts   487,650    -    487,650 
Global Managed Futures Strategy Fund  Equity Contracts   622,548    -    622,548 

 

The quarterly average volumes of derivative instruments as of October 31, 2019 are as follows:

 

   Derivatives not designated as hedging instruments  Long Futures Contracts   Short Futures Contracts   Purchased Options Contracts   Total 
Managed Futures Strategy Fund  Equity Contracts   68,726,649    45,223,406    -    113,950,055 
   Volatility Contracts   -    4,743,843    -    4,743,843 
Global Managed Futures Strategy Fund  Equity Contracts   37,175,333    10,963,855    -    48,139,188 

 

Note 11 – New Accounting Pronouncement

In August 2018, FASB issued Accounting Standards Update No. 2018-13 ("ASU 2018-13"), "Disclosure Framework

- Changes to the Disclosure Requirements for Fair Value Measurement," which amends the fair value measurement disclosure requirements of ASC Topic 820 ("ASC 820"), "Fair Value Measurement." ASU 2018-13 includes new, eliminated, and modified disclosure requirements for ASC 820. In addition, ASU 2018-13 clarifies that materiality is an appropriate consideration of entities when evaluating disclosure requirements. ASU 2018-13 is effective for all entities for fiscal years beginning after December 15, 2019, including interim periods therein. Early adoption is permitted, and the Funds have adopted ASU 2018-13 with these financial statements.

 

100

 

361 Funds

NOTES TO FINANCIAL STATEMENTS - Continued

October 31, 2019

 

 

Note 12 – Events Subsequent to the Fiscal Period End

The Funds have adopted financial reporting rules regarding subsequent events which require an entity to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed at the date of the balance sheet. Management has evaluated the Funds’ related events and transactions that occurred through the date of issuance of the Funds’ financial statements.

 

The Managed Futures Fund, Global Managed Futures Strategy Fund, Domestic Long/Short Equity Fund, Global Long/Short Equity Fund and U.S. Small Cap Equity Fund declared the payment of a distribution to be paid, on December 9, 2019, to shareholders of record on December 6, 2019 as follows:

 

    Short Term Capital Gain Long Term Capital Gain Income
Managed Futures Fund Investor Class Shares None None $0.1259
Managed Futures Fund Class I Shares None None 0.1580
Global Managed Futures Strategy Fund Investor Class Shares None None None
Global Managed Futures Strategy Fund Class I Shares None None 0.0070
Domestic Long/Short Equity Fund Investor Class Shares None $0.3987 None
Domestic Long/Short Equity Fund Class I Shares None 0.3987 0.0113
Domestic Long/Short Equity Fund Class Y Shares None 0.3987 0.0251
Global Long/Short Equity Fund Investor Class Shares None None None
Global Long/Short Equity Fund Class I Shares None None 0.0325
Global Long/Short Equity Fund Class Y Shares None None 0.0409
U.S. Small Cap Equity Fund Investor Class Shares None None None
U.S. Small Cap Equity Fund Class I Shares None None 0.0254
U.S. Small Cap Equity Fund Class Y Shares None None 0.0444

 

There were no other events or transactions that occurred during this period that materially impacted the amounts or disclosures in the Funds’ financial statements.

 

101

 

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Board of Trustees of

Investment Managers Series Trust

and the Shareholders of the 361 Funds

 

Opinion on the Financial Statements

 

We have audited the accompanying statement of assets and liabilities of the 361 Managed Futures Strategy Fund, 361 Global Managed Futures Fund, 361 Domestic Long/Short Equity Fund, 361 Global Long/Short Equity Fund, 361 Macro Opportunity Fund and 361 U.S. Small Cap Equity Fund (the “Funds”), each a series of Investment Managers Series Trust, including the schedules of investments, as of October 31, 2019, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, with respect to 361 Domestic Long/Short Equity Fund and 361 Global Long/Short Equity Fund, the statements of cash flows for the year then ended, the financial highlights for the periods indicated thereon, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of October 31, 2019, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for the periods indicated thereon, in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

 

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We have served as the auditor of one or more of the funds in the Trust since 2007.

 

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Funds internal control over financial reporting. Accordingly, we express no such opinion.

 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2019 by correspondence with the custodian and brokers; when replies from brokers were not received, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

 

TAIT, WELLER & BAKER LLP

 

Philadelphia, Pennsylvania

December 30, 2019

 

102

 

361 Funds

SUPPLEMENTAL INFORMATION (Unaudited)

 

 

Long-Term Capital Gain Designation

For the fiscal year ended October 31, 2019, the Domestic Long/Short Equity and Global Long/Short Equity Funds designate $1,493,767 and $21,144,230, respectively as 20% rate gain distributions for purposes of the dividends paid deduction.

 

Qualified Dividend Income

Pursuant to Section 854 of the Internal Revenue Code of 1986, the Domestic Long/Short Equity Fund, Global Long/Short Equity Fund and US Small Cap Equity Fund, designates 100%, 100% and 100%, respectively, of its ordinary income dividends, including short-term capital gain, as qualified dividend income for the taxable year ended October 31, 2019.

 

Dividends Received Deduction

The Domestic Long/Short Equity Fund, Global Long/Short Equity Fund, and US Small Cap Equity Fund designates 100%, 100% and 100%, respectively, of its ordinary income dividends, including short-term capital gain, as qualifying for the dividend received deduction available to corporate shareholders for the taxable year ended October 31, 2019.

 

Pursuant to Section 853 of the Internal Revenue Code of 1986, the Global Long/Short Equity Fund designates $2,912,690 of income derived from foreign sources and $1,171,099 of foreign taxes paid or the amounts deemed necessary, for the year ended October 31, 2019.

 

Of the ordinary income (including short-term capital gain) distributions made during the year ended October 31, 2019, the proportionate share of income derived from foreign sources and foreign taxes paid attributable to one share of stock is:

 

  Foreign Source Income Foreign Taxes Paid
361 Global Long/Short Equity Fund $0.0370 $0.0149

 

Trustees and Officers Information

Additional information about the Trustees is included in the Funds’ Statement of Additional Information which is available, without charge, upon request by calling (888) 7361CAP (888) 736-1227 The Trustees and officers of the Funds’ and their principal occupations during the past five years are as follows:

 

 

 

Name, Address, Year of Birth and Position(s) held with Trust

 

Term of Officec and Length of Time Served

 

 

Principal Occupation During the Past Five Years and Other Affiliations

Number of Portfolios in the Fund Complex Overseen by Trusteed

Other Directorships Held During the Past Five Years by Trustee
Independent Trustees:      

Charles H. Miller a

(born 1947)

Trustee

 

 

Since November 2007 Retired (2013 – present); and Executive Vice President, Client Management and Development, Access Data, a Broadridge company, a provider of technology and services to asset management firms (1997-2012). 6

Investment Managers Series Trust, a registered investment company (includes 59 portfolios) and 361 Social Infrastructure Fund, a closed-end investment company. 

 

103

 

361 Funds

SUPPLEMENTAL INFORMATION (Unaudited) - Continued

 

 

 

 

Name, Address, Year of Birth and Position(s) held with Trust

 

Term of Officec and Length of Time Served

 

 

Principal Occupation During the Past Five Years and Other Affiliations

Number of Portfolios in the Fund Complex Overseen by Trusteed

Other Directorships Held During the Past Five Years by Trustee

Ashley Toomey Rabun a (born 1952)

Trustee and Chairperson of the Board

 

 

Since November 2007 Retired (2016 – present); and President and Founder, InvestorReach, Inc., a financial services consulting firm (1996 – 2015). 6

Investment Managers Series Trust, a registered investment company (includes 59 portfolios),

361 Social Infrastructure Fund, a closed-end investment company, and Select Sector SPDR Trust, a registered investment company (includes 11 portfolios). 

William H. Young a

(born 1950)

Trustee

 

Since November 2007 Retired (2014 - present); Independent financial services consultant (1996 – 2014); Interim CEO, Unified Fund Services Inc. (now Huntington Fund Services), a mutual fund service provider (2003 – 2006); Senior Vice President, Oppenheimer Management Company (1983 – 1996); and Chairman, NICSA, an investment management trade association (1993 – 1996). 6

Investment Managers Series Trust, a registered investment company (includes 59 portfolios) and 361 Social Infrastructure Fund, a closed-end investment company.

John P. Zader ᵃ

(born 1961)

Trustee

Since November 2007 Retired (June 2014 - present); CEO, UMB Fund Services, Inc., a mutual fund and hedge fund service provider, and the transfer agent, fund accountant, and co-administrator for the Fund (December 2006 - June 2014); and President, Investment Managers Series Trust (December 2007 - June 2014). 6

Investment Managers Series Trust, a registered investment company (includes 59 portfolios), Investment Managers Series Trust II, a registered investment company (includes 14 portfolios), and 361 Social Infrastructure Fund, a closed-end investment company.

 

104

 

361 Funds

SUPPLEMENTAL INFORMATION (Unaudited) - Continued

 

 

  

Name, Address, Year of Birth and Position(s) held with Trust

 

Term of Officec and Length of Time Served

 

 

Principal Occupation During the Past Five Years and Other Affiliations

Number of Portfolios in the Fund Complex Overseen by Trusteed

Other Directorships Held During the Past Five Years by Trustee
Independent Trustees:      

Eric M. Banhazl b†

(born 1957)

Trustee

Since January 2008 Chairman, Foothill Capital Management, LLC, a registered investment advisor (2018 – present); Chairman (2016 – present), and President (2006 – 2015), Mutual Fund Administration, LLC, the co-administrator for the Fund; and Trustee and Vice President, Investment Managers Series Trust (December 2007 – March 2016). 6

Investment Managers Series Trust, a registered investment company (includes 59 portfolios), Investment Managers Series Trust II, a registered investment company (includes 14 portfolios), and 361 Social Infrastructure Fund, a closed-end investment company. 

Maureen Quill ᵃ*

(born 1963)

Trustee and President

 

 

Since June 2019

President, Investment Managers Series Trust (June 2014 – present); President, UMB Distribution Services (March 2013 – present); EVP/Executive Director Registered Funds (January 2018 – present), Chief Operating Officer (June 2014 – January 2018), and Executive Vice President (January 2007 – June 2014), UMB Fund Services, Inc.; Vice President, Investment Managers Series Trust (December 2013 - June 2014); and President, 361 Social Infrastructure 

6

Investment Managers Series Trust, a registered investment company (includes 59 portfolios) and 361 Social Infrastructure Fund, a closed-end investment company.

Officers of the Trust:        

Rita Dam b

(born 1966)

Treasurer and Assistant Secretary

 

Since December 2007 Co-President, Foothill Capital Management, LLC, a registered investment advisor (2018 – present); Co-Chief Executive Officer (2016 – present), and Vice President (2006 – 2015), Mutual Fund Administration, LLC. N/A

N/A

 

 

Joy Ausili b

(born 1966)

Vice President, Assistant Secretary and Assistant Treasurer

 

Since March 2016

Co-President, Foothill Capital Management, LLC, a registered investment advisor (2018 – present); Co-Chief Executive Officer (2016 – present), and Vice President (2006 – 2015), Mutual Fund Administration, LLC; Secretary and Assistant Treasurer, Investment Managers Series Trust (December 2007 – March 2016).

N/A

N/A

 

105

 

361 Funds

SUPPLEMENTAL INFORMATION (Unaudited) - Continued

 

 

 

 

Name, Address, Year of Birth and Position(s) held with Trust

 

Term of Officec and Length of Time Served

 

 

Principal Occupation During the Past Five Years and Other Affiliations

Number of Portfolios in the Fund Complex Overseen by Trusteed

Other Directorships Held During the Past Five Years by Trustee
Independent Trustees:      

Diane Drakeb

(born 1967)

Secretary

Since March 2016 Senior Counsel, Mutual Fund Administration, LLC (October 2015 – present); Chief Compliance Officer, Foothill Capital Management, LLC, a registered investment advisor (2018 – 2019); Managing Director and Senior Counsel, BNY Mellon Investment Servicing (US) Inc. (2010 – 2015). N/A

N/A

 

Martin Dziura b

(born 1959)

Chief Compliance Officer

 

Since June 2014

Principal, Dziura Compliance Consulting, LLC (October 2014 – present); Managing Director, Cipperman Compliance Services (2010 – September 2014); Chief Compliance Officer, Hanlon Investment Management (2009 – 2010); Vice President − Compliance, Morgan Stanley Investment Management (2000 − 2009). 

N/A

N/A

 

 

 

aAddress for certain Trustees and certain officers: 235 West Galena Street, Milwaukee, Wisconsin 53212.
bAddress for Mr. Banhazl, Ms. Ausili, Ms. Dam and Ms. Drake: 2220 E. Route 66, Suite 226, Glendora, California 91740. Address for Mr. Dziura: 309 Woodridge Lane, Media, Pennsylvania 19063.
cTrustees and officers serve until their successors have been duly elected.
dThe Trust is comprised of numerous series managed by unaffiliated investment advisors. The term “Fund Complex” applies only to the Fund managed by the same investment advisor. The Funds do not hold themselves out as related to any other series within the Trust for purposes of investment and investor services, nor do they share the same investment advisor with any other series.
Mr. Banhazl is an “interested person” of the Trust by virtue of his position with Mutual Fund Administration, LLC.
*Ms. Quill is an “interested person” of the Trust by virtue of her position with UMB Fund Services, Inc.

 

106

 

361 Funds

EXPENSE EXAMPLES

For the Six Months Ended October 31, 2019 (Unaudited)

 

 

Expense Examples

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs and redemption fees; and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees (Investor Class only); and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

 

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from May 1, 2019 to October 31, 2019.

 

Actual Expenses

The information in the row titled “Actual Performance” of the table below provides actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the appropriate row for your share class, under the column titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

Hypothetical Example for Comparison Purposes

The information in the row titled “Hypothetical (5% annual return before expenses)” of the table below provides hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

 

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the information in the row titled “Hypothetical (5% annual return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

  Beginning Account Value   Ending Account Value   Expenses Paid During Period* 
Managed Futures Strategy Fund  5/1/19   10/31/19   5/1/19 – 10/31/19 
Investor Class  Actual Performance  $1,000.00   $1,032.40   $11.17 
   Hypothetical (5% annual return before expenses)   1,000.00    1,014.22    11.07 
Class I  Actual Performance   1,000.00    1,033.50    9.92 
   Hypothetical (5% annual return before expenses)   1,000.00    1,015.45    9.83 

 

*Expenses are equal to the Fund’s annualized expense ratio of 2.18% and 1.94% for Investor Class and Class I, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the six month period). The expense ratios reflect an expense waiver. Assumes all dividends and distributions were reinvested.

 

107

 

361 Funds

EXPENSE EXAMPLES - Continued

For the Six Months Ended October 31, 2019 (Unaudited)

 

 

  Beginning Account Value   Ending Account Value   Expenses Paid During Period* 
Global Managed Futures Strategy Fund  5/1/19   10/31/19   5/1/19 – 10/31/19 
Investor Class  Actual Performance  $1,000.00   $1,014.00   $10.46 
   Hypothetical (5% annual return before expenses)   1,000.00    1,014.81    10.47 
Class I  Actual Performance   1,000.00    1,015.70    9.23 
   Hypothetical (5% annual return before expenses)   1,000.00    1,016.05    9.23 

 

*Expenses are equal to the Fund’s annualized expense ratio of 2.06% and 1.81% for Investor Class and Class I, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the six month period). The expense ratios reflect an expense waiver. Assumes all dividends and distributions were reinvested.

 

  Beginning Account Value   Ending Account Value   Expenses Paid During Period* 
Domestic Long/Short Equity Fund  5/1/19   10/31/19   5/1/19 – 10/31/19 
Investor Class  Actual Performance  $1,000.00   $1,004.80   $13.89 
   Hypothetical (5% annual return before expenses)   1,000.00    1,011.35    13.93 
Class I  Actual Performance   1,000.00    1,005.70    12.53 
   Hypothetical (5% annual return before expenses)   1,000.00    1,012.71    12.57 
Class Y  Actual Performance   1,000.00    1,006.60    11.88 
   Hypothetical (5% annual return before expenses)   1,000.00    1,013.36    11.92 

 

*Expenses are equal to the Fund’s annualized expense ratio of 2.75%, 2.48% and 2.35% for Investor Class, Class I and Class Y respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the six month period). The expense ratios reflect an expense waiver. Assumes all dividends and distributions were reinvested.

 

  Beginning Account Value   Ending Account Value   Expenses Paid During Period* 
Global Long/Short Equity Fund  5/1/19   10/31/19   5/1/19 – 10/31/19 
Investor Class  Actual Performance  $1,000.00   $990.10   $  13.24 
   Hypothetical (5% annual return before expenses)   1,000.00    1,011.90    13.39 
Class I  Actual Performance   1,000.00    992.80    11.59 
   Hypothetical (5% annual return before expenses)   1,000.00    1,013.57    11.71 
Class Y  Actual Performance   1,000.00    992.80    11.25 
   Hypothetical (5% annual return before expenses)   1,000.000    1,013.91    11.37 

 

*Expenses are equal to the Fund’s annualized expense ratio of 2.64%, 2.31% and 2.24% for Investor Class, Class I and Class Y respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the six month period). The expense ratios reflect an expense waiver. Assumes all dividends and distributions were reinvested.

 

108

 

361 Funds

EXPENSE EXAMPLES - Continued

For the Six Months Ended October 31, 2019 (Unaudited)

 

 

  Beginning Account Value   Ending Account Value   Expenses Paid During Period* 
Macro Opportunity Fund  5/1/19   10/31/19   5/1/19 – 10/31/19 
Investor Class  Actual Performance  $1,000.00   $935.30   $  13.92 
   Hypothetical (5% annual return before expenses)   1,000.00    1,010.82    14.46 
Class I  Actual Performance   1,000.00    935.10    13.86 
   Hypothetical (5% annual return before expenses)   1,000.00    1,010.88    14.41 

 

*Expenses are equal to the Fund’s annualized expense ratio of 2.85% and 2.84% for Investor Class and Class I, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the six month period). The expense ratios reflect an expense waiver. Assumes all dividends and distributions were reinvested.

 

  Beginning Account Value   Ending Account Value   Expenses Paid During Period* 
U.S. Small Cap Equity Fund  5/1/19   10/31/19   5/1/19 – 10/31/19 
Investor Class  Actual Performance  $1,000.00   $969.90   $6.16 
   Hypothetical (5% annual return before expenses)   1,000.00    1,018.95    6.31 
Class I  Actual Performance   1,000.00    970.90    4.92 
   Hypothetical (5% annual return before expenses)   1,000.00    1,020.21    5.04 
Class Y  Actual Performance   1,000.00    971.80    4.18 
   Hypothetical (5% annual return before expenses)   1,000.00    1,020.97    4.28 

 

*Expenses are equal to the Fund’s annualized expense ratio of 1.24%, 0.99% and 0.84% for Investor Class, Class I and Class Y respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the six month period). The expense ratios reflect an expense waiver. Assumes all dividends and distributions were reinvested.

 

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361 Capital

Each a series of Investment Managers Series Trust

 

Investment Advisor

361 Capital, LLC

4600 South Syracuse Street, Suite 500

Denver, Colorado 80237

 

Sub-Advisor

Federated Investment Management Company

1001 Liberty Avenue

Pittsburgh, Pennsylvania 15222

 

Wells Capital Management, Inc.

525 Market Street

San Francisco, California 94105

 

Independent Registered Public Accounting Firm

Tait, Weller & Baker LLP

Two Liberty Place

50 South 16th St, Suite 2900

Philadelphia, Pennsylvania 19102

 

Custodian

UMB Bank, n.a.

928 Grand Boulevard, 5th Floor

Kansas City, Missouri 64106

 

Fund Co-Administrator

Mutual Fund Administration, LLC

2220 East Route 66, Suite 226

Glendora, California 91740

 

Fund Co-Administrator, Transfer Agent and Fund Accountant

UMB Fund Services, Inc.

235 West Galena Street

Milwaukee, Wisconsin 53212

 

Distributor

IMST Distributors, LLC

Three Canal Plaza, Suite 100

Portland, Maine 04101

www.foreside.com

 

 

 

FUND INFORMATION

 

 

  TICKER CUSIP
361 Managed Futures Strategy Fund – Investor Class shares AMFQX 461 418 345
361 Managed Futures Strategy Fund – Class I shares AMFZX 461 418 337
361 Global Managed Futures Strategy Fund – Investor Class shares AGFQX 461 41P 347
361 Global Managed Futures Strategy Fund – Class I shares AGFZX 461 41P 339
361 Domestic Long/Short Equity Fund – Investor Class shares ADMQX 461 41Q 527
361 Domestic Long/Short Equity Fund – Class I shares ADMZX 461 41Q 535
361 Domestic Long/Short Equity Fund – Class Y shares ADMWX 461 41Q 543
361 Global Long/Short Equity Fund – Investor Class shares AGAQX 461 41Q 881
361 Global Long/Short Equity Fund – Class I shares AGAZX 461 41Q 873
361 Global Long/Short Equity Fund – Class Y shares AGAWX 461 41Q 865
361 Macro Opportunity Fund - Investor Class shares AGMQX 461 41P 461
361 Macro Opportunity Fund - Class I shares AGMZX 461 41P 453
361 U.S. Small Cap Equity Fund – Investor Class shares ASFQX 461 41Q 386
361 U.S. Small Cap Equity Fund – Class I shares ASFZX 461 41Q 394
361 U.S. Small Cap Equity Fund – Class Y shares ASFWX 461 41Q 410

 

Privacy Principles of the 361 Funds for Shareholders

The Funds are committed to maintaining the privacy of their shareholders and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information the Funds collect, how we protect that information and why, in certain cases, we may share information with select other parties.

 

Generally, the Funds do not receive any non-public personal information relating to their shareholders, although certain non-public personal information of their shareholders may become available to the Funds. The Funds do not disclose any non-public personal information about their shareholders or former shareholders to anyone, except as permitted by law or as is necessary in order to service shareholder accounts (for example, to a transfer agent or third party administrator).

 

 

 

This report is sent to shareholders of the 361 Funds for their information. It is not a Prospectus, circular or representation intended for use in the purchase or sale of shares of the Funds or of any securities mentioned in this report.

 

Proxy Voting

The Funds’ proxy voting policies and procedures, as well information regarding how the Funds voted proxies for portfolio securities, if applicable, during the most recent 12-month period ended June 30, are also available, without charge and upon request by calling the Funds at (888) 736-1227 (888-7361CAP), on the Funds’ website at www.361capital.com or on the SEC’s website at www.sec.gov.

 

 

Fund Portfolio Holdings

The Funds will file a complete schedule of their portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the Funds’ Form N-PORT on the SEC’s website at www.sec.gov.

 

Prior to their use of Form N-PORT, the Funds filed their complete schedule of its portfolio holdings with the SEC on Form N-Q, which is available online at www.sec.gov.

 

Householding

The Funds will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (888) 736-1227 (888-7361CAP).

 

 

361 Capital

P.O. Box 2175

Milwaukee, WI 53201

Toll Free: (888) 736-1227 (888-7361CAP)

 

 

 

Item 2. Code of Ethics.

 

The registrant has adopted a code of ethics that applies to the registrant's principal executive officer and principal financial officer. The registrant has not made any amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.

 

The registrant undertakes to provide to any person without charge, upon request, a copy of its code of ethics by mail when they call the registrant at 1-888-736-1227

 

Item 3. Audit Committee Financial Expert.

 

The registrant’s board of trustees has determined that there is at least one audit committee financial expert serving on its audit committee.  John P. Zader is the “audit committee financial expert” and is considered to be “independent” as each term is defined in Item 3 of Form N-CSR.

 

Item 4. Principal Accountant Fees and Services.

 

The registrant has engaged its principal accountant to perform audit services, audit-related services, tax services and other services during the past two fiscal years. "Audit services" refer to performing an audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. "Audit-related services" refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. "Tax services" refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. There were no "other services" provided by the principal accountant. The following table details the aggregate fees billed or expected to be billed for each of the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.

 

  FYE 10/31/2019 FYE 10/31/2018
Audit Fees $ 101,700 $  98,600
Audit-Related Fees N/A N/A
Tax Fees $ 16,800 $  16,800
All Other Fees N/A N/A

 

The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.

 

 

 

 The percentage of fees billed by Tait, Weller, & Weller LLP applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:

 

  FYE 10/31/2019 FYE 10/31/2018
Audit-Related Fees 0% 0%
Tax Fees 0% 0%
All Other Fees 0% 0%

 

All of the principal accountant's hours spent on auditing the registrant's financial statements were attributed to work performed by full-time permanent employees of the principal accountant.

 

The following table indicates the non-audit fees billed or expected to be billed by the registrant's accountant for services to the registrant and to the registrant's investment adviser (and any other controlling entity, etc.—not sub-adviser) for the last two years. The audit committee of the Board of Trustees has considered whether the provision of non-audit services that were rendered to the registrant's investment adviser is compatible with maintaining the principal accountant's independence and has concluded that the provision of such non-audit services by the accountant has not compromised the accountant's independence.

 

Non-Audit Related Fees FYE 10/31/2019 FYE 10/31/2018
Registrant N/A N/A
Registrant’s Investment Advisor N/A N/A

 

Item 5. Audit Committee of Listed Registrants.

 

(a) Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).

 

(b) Not applicable.

 

Item 6. Investments.

 

(a)   Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.

 

(b)   Not Applicable.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

 

Not applicable to open-end investment companies.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

 

Not applicable to open-end investment companies.

 

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

 

Not applicable.

 

 

 

Item 10. Submission of Matters to a Vote of Security Holders.

 

The registrant has not made any material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.

 

Item 11. Controls and Procedures.

 

(a)The Registrant’s President/Chief Executive Officer and Treasurer/Chief Financial Officer 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 period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting.

 

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

 

Not applicable to open-end investment companies.

 

Item 13. Exhibits.

 

(a)(1) Any code of ethics or amendment thereto, that is subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Incorporated by reference to the Registrant’s Form N-CSR filed June 8, 2018.

 

(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.

 

(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.

 

(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.

 

(b)Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith.

 

 

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant) Investment Managers Series Trust  
     
By (Signature and Title) /s/ Maureen Quill  
  Maureen Quill, President/Chief Executive Officer  
     
Date 1/09/20  

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title) /s/ Maureen Quill  
  Maureen Quill, President/Chief Executive Officer  
     
Date 1/09/20  
     
By (Signature and Title) /s/ Rita Dam  
  Rita Dam, Treasurer/Chief Financial Officer  
     
Date 1/09/20