|
LoCorr Dynamic Equity Fund
|
||||||||
|
Schedule of Investments
|
||||||||
|
March 31, 2021 (Unaudited)
|
||||||||
|
Shares
|
Value
|
|||||||
|
COMMON STOCKS: 74.36%
|
||||||||
|
Advertising: 0.48%
|
||||||||
|
DKSH Holding AG (b)
|
327
|
$
|
25,101
|
|||||
|
Fluent, Inc. (a)
|
5,821
|
23,866
|
||||||
|
Interpublic Group of Cos., Inc.
|
897
|
26,192
|
||||||
|
Marchex, Inc. (a)
|
7,775
|
21,848
|
||||||
|
97,007
|
||||||||
|
Aerospace & Defense: 0.25%
|
||||||||
|
Rheinmetall AG (b)
|
256
|
25,938
|
||||||
|
Saab AB (b)
|
918
|
25,122
|
||||||
|
51,060
|
||||||||
|
Agriculture: 1.68%
|
||||||||
|
Bunge Ltd. - ADR (b)
|
340
|
26,952
|
||||||
|
Turning Point Brands, Inc.
|
5,999
|
312,968
|
||||||
|
339,920
|
||||||||
|
Airlines: 3.68%
|
||||||||
|
Allegiant Travel Co. (a)
|
3,055
|
745,603
|
||||||
|
Auto Manufacturers: 0.11%
|
||||||||
|
Tesla Motors, Inc. (a)
|
9
|
6,011
|
||||||
|
Toyota Motor Corp. (b)
|
200
|
15,563
|
||||||
|
21,574
|
||||||||
|
Auto Parts & Equipment: 0.23%
|
||||||||
|
Commercial Vehicle Group, Inc. (a)
|
2,285
|
22,050
|
||||||
|
NGK Spark Plug Co. Ltd. (b)
|
1,400
|
24,163
|
||||||
|
46,213
|
||||||||
|
Banks: 5.89%
|
||||||||
|
Banco BPM SpA (b)
|
8,784
|
25,083
|
||||||
|
Bank of Kyoto Ltd. (b)
|
300
|
18,451
|
||||||
|
BAWAG Group AG (b)
|
442
|
22,828
|
||||||
|
Bendigo & Adelaide Bank Ltd. (b)
|
3,428
|
26,194
|
||||||
|
Fifth Third Bancorp
|
613
|
22,957
|
||||||
|
Fukuoka Financial Group, Inc. (b)
|
1,200
|
22,748
|
||||||
|
Israel Discount Bank Ltd. (a)(b)
|
6,029
|
25,049
|
||||||
|
Jyske Bank A/S (a)(b)
|
564
|
26,905
|
||||||
|
Mebuki Financial Group, Inc. (b)
|
10,300
|
24,279
|
||||||
|
Regions Financial Corp.
|
1,112
|
22,974
|
||||||
|
Shizuoka Bank Ltd. (b)
|
3,100
|
24,358
|
||||||
|
Unity Bancorp, Inc.
|
284
|
6,248
|
||||||
|
Wells Fargo & Co.
|
23,704
|
926,115
|
||||||
|
1,194,189
|
||||||||
|
Beverages: 0.58%
|
||||||||
|
Coca-Cola Bottlers Japan Holdings, Inc. (b)
|
800
|
13,937
|
||||||
|
Coca-Cola Co.
|
154
|
8,117
|
||||||
|
Fevertree Drinks PLC (b)
|
209
|
6,166
|
||||||
|
Molson Coors Beverage Co. (a)
|
1,299
|
66,444
|
||||||
|
PepsiCo, Inc.
|
50
|
7,073
|
||||||
|
Vitasoy International Holdings Ltd. (b)
|
4,000
|
15,384
|
||||||
|
117,121
|
||||||||
|
Biotechnology: 0.15%
|
||||||||
|
CSL Ltd. (b)
|
46
|
9,246
|
||||||
|
Intercept Pharmaceuticals, Inc. (a)
|
589
|
13,594
|
||||||
|
Viracta Therapeutics, Inc. (a)
|
843
|
7,798
|
||||||
|
30,638
|
||||||||
|
Building Materials: 0.20%
|
||||||||
|
Taiheiyo Cement Corp. (b)
|
600
|
15,774
|
||||||
|
Wienerberger AG (b)
|
689
|
25,210
|
||||||
|
40,984
|
||||||||
|
Chemicals: 0.71%
|
||||||||
|
Clariant AG (b)
|
1,264
|
25,490
|
||||||
|
Denka Co. Ltd. (b)
|
600
|
23,951
|
||||||
|
Fuchs Petrolub SE (b)
|
518
|
24,809
|
||||||
|
LANXESS AG (b)
|
344
|
25,358
|
||||||
|
Nifco, Inc. (b)
|
600
|
21,865
|
||||||
|
Oil-Dri Corp of America
|
633
|
21,801
|
||||||
|
143,274
|
||||||||
|
Coal: 0.12%
|
||||||||
|
Alpha Metallurgical Resources, Inc. (a)
|
1,993
|
25,171
|
||||||
|
Commercial Services: 3.29%
|
||||||||
|
Acacia Research Corp. (a)
|
4,116
|
27,371
|
||||||
|
Brambles Ltd. (b)
|
1,608
|
12,922
|
||||||
|
Civeo Corp. - ADR (a)(b)
|
1,301
|
19,918
|
||||||
|
Hays PLC (a)(b)
|
12,219
|
25,184
|
||||||
|
Insperity, Inc.
|
6,373
|
533,675
|
||||||
|
Loomis AB (b)
|
759
|
23,083
|
||||||
|
TechnoPro Holdings, Inc. (b)
|
300
|
24,981
|
||||||
|
667,134
|
||||||||
|
Commerical Services: 0.11%
|
||||||||
|
ISS A/S (a)(b)
|
1,201
|
22,389
|
||||||
|
Computers: 0.65%
|
||||||||
|
Alten SA(a)(b)
|
221
|
25,943
|
||||||
|
Apple, Inc.
|
71
|
8,673
|
||||||
|
Quantum Corp. (a)
|
3,152
|
26,256
|
||||||
|
Sopra Steria Group SACA (b)
|
150
|
25,066
|
||||||
|
TietoEVRY Oyj (b)
|
811
|
25,127
|
||||||
|
Zscaler, Inc. (a)
|
126
|
21,630
|
||||||
|
132,695
|
||||||||
|
Cosmetics & Personal Care: 1.29%
|
||||||||
|
Colgate-Palmolive Co.
|
349
|
27,512
|
||||||
|
Coty, Inc. (a)
|
23,383
|
210,681
|
||||||
|
Procter & Gamble Company
|
105
|
14,220
|
||||||
|
Unilever PLC (b)
|
165
|
9,226
|
||||||
|
261,639
|
||||||||
|
Distribution/Wholesale: 0.25%
|
||||||||
|
Inchcape PLC (b)
|
2,474
|
25,682
|
||||||
|
Sojitz Corp. (b)
|
8,700
|
24,515
|
||||||
|
50,197
|
||||||||
|
Diversified Financial Services: 7.66%
|
||||||||
|
Ashmore Group PLC (b)
|
4,581
|
24,718
|
||||||
|
Capital One Financial Corp.
|
2,986
|
379,909
|
||||||
|
Close Brothers Group PLC (b)
|
1,167
|
24,953
|
||||||
|
Credit Acceptance Corp. (a)
|
2,444
|
880,402
|
||||||
|
Evercore Partners, Inc.
|
199
|
26,216
|
||||||
|
GRENKE AG (b)
|
594
|
22,500
|
||||||
|
IG Group Holdings PLC (b)
|
2,146
|
26,656
|
||||||
|
LendingTree, Inc. (a)
|
443
|
94,359
|
||||||
|
Pzena Investment Management, Inc.
|
2,156
|
22,703
|
||||||
|
Quilter PLC (b)
|
11,378
|
25,074
|
||||||
|
Silvercrest Asset Management Group, Inc.
|
1,789
|
25,726
|
||||||
|
1,553,216
|
||||||||
|
Electric: 2.79%
|
||||||||
|
A2A SpA (b)
|
14,311
|
26,047
|
||||||
|
AES Corp. VA
|
921
|
24,692
|
||||||
|
Contact Energy Ltd. (b)
|
5,699
|
27,901
|
||||||
|
DTE Energy Co.
|
194
|
25,829
|
||||||
|
Electric Power Development Co. Ltd. (b)
|
1,400
|
24,453
|
||||||
|
Enel SpA (b)
|
948
|
9,442
|
||||||
|
Exelon Corp.
|
1,492
|
65,260
|
||||||
|
Genie Energy Ltd.
|
3,446
|
21,848
|
||||||
|
Iberdrola SA (b)
|
719
|
9,262
|
||||||
|
Infratil Ltd. (b)
|
4,880
|
24,284
|
||||||
|
NextEra Energy, Inc.
|
112
|
8,468
|
||||||
|
NRG Energy, Inc.
|
6,417
|
242,113
|
||||||
|
Spark Energy, Inc.
|
2,173
|
23,208
|
||||||
|
Spark Infrastructure Group (b)
|
16,472
|
27,150
|
||||||
|
Vistra Energy Corp.
|
352
|
6,223
|
||||||
|
566,180
|
||||||||
|
Electronics: 1.58%
|
||||||||
|
Alps Alpine Co. Ltd. (b)
|
1,700
|
22,416
|
||||||
|
Altium Ltd. (b)
|
796
|
16,004
|
||||||
|
Anritsu Corp. (b)
|
1,100
|
24,002
|
||||||
|
Avnet, Inc.
|
514
|
21,336
|
||||||
|
Flex Ltd. - ADR (a)(b)
|
6,764
|
123,849
|
||||||
|
Venture Corp. Ltd. (b)
|
1,700
|
25,351
|
||||||
|
Vontier Corp. (a)
|
2,069
|
62,628
|
||||||
|
Yokogawa Electric Corp. (b)
|
1,300
|
23,928
|
||||||
|
319,514
|
||||||||
|
Engineering & Construction: 9.31%
|
||||||||
|
Ackermans & Van Haaren NV (b)
|
157
|
24,966
|
||||||
|
COMSYS Holdings Corp. (b)
|
800
|
24,638
|
||||||
|
Downer EDI Ltd. (b)
|
6,568
|
25,592
|
||||||
|
Frontdoor, Inc. (a)
|
12,281
|
660,104
|
||||||
|
JGC Corp. (b)
|
1,900
|
23,268
|
||||||
|
Kinden Corp. (b)
|
1,400
|
23,834
|
||||||
|
MasTec, Inc. (a)
|
11,800
|
1,105,660
|
||||||
|
1,888,062
|
||||||||
|
Entertainment: 1.78%
|
||||||||
|
Cinemark Holdings, Inc. (a)
|
10,150
|
207,162
|
||||||
|
Red Rock Resorts, Inc. (a)
|
1,863
|
60,715
|
||||||
|
Sega Sammy Holdings, Inc. (b)
|
1,500
|
23,396
|
||||||
|
Warner Music Group Corp.
|
2,013
|
69,106
|
||||||
|
360,379
|
||||||||
|
Environmental Control: 0.24%
|
||||||||
|
Centrus Energy Corp. (a)
|
1,050
|
24,906
|
||||||
|
Cleanaway Waste Management Ltd. (b)
|
14,831
|
24,783
|
||||||
|
49,689
|
||||||||
|
Food: 2.01%
|
||||||||
|
Axfood AB (b)
|
1,059
|
25,319
|
||||||
|
Calbee, Inc. (b)
|
900
|
22,938
|
||||||
|
Chocoladefabriken Lindt & Spruengli AG (b)
|
2
|
17,458
|
||||||
|
Corbion NV (b)
|
484
|
26,960
|
||||||
|
Cranswick PLC (b)
|
513
|
25,715
|
||||||
|
Glanbia PLC (b)
|
1,672
|
24,921
|
||||||
|
House Foods Group, Inc. (b)
|
700
|
23,012
|
||||||
|
Kagome Co. Ltd. (b)
|
700
|
22,222
|
||||||
|
Kewpie Corp. (b)
|
1,100
|
25,035
|
||||||
|
Marks & Spencer Group PLC (a)(b)
|
12,375
|
25,735
|
||||||
|
Nestle SA (b)
|
214
|
23,851
|
||||||
|
Nichirei Corp. (b)
|
100
|
2,573
|
||||||
|
Seneca Foods Corp. (a)
|
511
|
24,063
|
||||||
|
Sysco Corp.
|
313
|
24,646
|
||||||
|
Tate & Lyle PLC (b)
|
2,435
|
25,754
|
||||||
|
Village Super Market, Inc.
|
427
|
10,064
|
||||||
|
Viscofan SA (b)
|
371
|
25,626
|
||||||
|
Woolworths Group Ltd. (b)
|
243
|
7,543
|
||||||
|
Yamazaki Baking Co. Ltd. (b)
|
1,500
|
24,236
|
||||||
|
407,671
|
||||||||
|
Forest Products & Paper: 0.25%
|
||||||||
|
BillerudKorsnas AB (b)
|
1,357
|
25,226
|
||||||
|
West Fraser Timber Co. Ltd. (a)(b)
|
363
|
26,115
|
||||||
|
51,341
|
||||||||
|
Gas: 0.54%
|
||||||||
|
Centrica PLC (a)(b)
|
35,934
|
26,820
|
||||||
|
Enagas SA (b)
|
1,115
|
24,216
|
||||||
|
Hong Kong & China Gas Co. Ltd. (b)
|
5,000
|
7,911
|
||||||
|
Italgas SpA (b)
|
3,961
|
25,711
|
||||||
|
Rubis SCA (b)
|
544
|
25,773
|
||||||
|
110,431
|
||||||||
|
Hand & Machine Tools: 0.46%
|
||||||||
|
Amada Holdings Co. Ltd. (b)
|
2,200
|
24,518
|
||||||
|
Hurco Cos., Inc.
|
655
|
23,122
|
||||||
|
Makita Corp. (b)
|
500
|
21,427
|
||||||
|
Stanley Black & Decker, Inc.
|
122
|
24,360
|
||||||
|
93,427
|
||||||||
|
Health Care - Products: 1.11%
|
||||||||
|
Ansell Ltd. (b)
|
874
|
26,049
|
||||||
|
Avantor, Inc. (a)
|
840
|
24,301
|
||||||
|
ClearPoint Neuro, Inc. (a)
|
1,116
|
23,592
|
||||||
|
Conformis, Inc. (a)
|
23,717
|
23,480
|
||||||
|
Elekta AB (b)
|
1,936
|
25,105
|
||||||
|
FONAR Corp. (a)
|
1,393
|
25,199
|
||||||
|
IDEXX Laboratories, Inc. (a)
|
38
|
18,594
|
||||||
|
Insulet Corp. (a)
|
90
|
23,483
|
||||||
|
Nihon Kohden Corp. (b)
|
800
|
23,337
|
||||||
|
QIAGEN NV(a)(b)
|
137
|
6,630
|
||||||
|
Quidel Corp. (a)
|
49
|
6,269
|
||||||
|
226,039
|
||||||||
|
Healthcare - Services: 0.24%
|
||||||||
|
PPD, Inc. (a)
|
653
|
24,709
|
||||||
|
UDG Healthcare PLC (b)
|
2,294
|
24,842
|
||||||
|
49,551
|
||||||||
|
Holding Companies - Divers: 0.24%
|
||||||||
|
Mission Advancement Corp. (a)
|
4,872
|
48,476
|
||||||
|
Home Builders: 0.12%
|
||||||||
|
NVR, Inc. (a)
|
5
|
23,555
|
||||||
|
Home Furnishings: 0.05%
|
||||||||
|
Sony Corp. (b)
|
100
|
10,472
|
||||||
|
Housewares: 0.11%
|
||||||||
|
Lifetime Brands, Inc.
|
1,502
|
22,064
|
||||||
|
Insurance: 1.24%
|
||||||||
|
eHealth, Inc. (a)
|
1,818
|
132,223
|
||||||
|
Old Republic International Corp.
|
3,228
|
70,500
|
||||||
|
Storebrand ASA (b)
|
2,672
|
26,910
|
||||||
|
W R Berkley Corp.
|
304
|
22,906
|
||||||
|
252,539
|
||||||||
|
Internet: 4.79%
|
||||||||
|
Alibaba Group Holding Ltd. - ADR (a)(b)
|
283
|
64,165
|
||||||
|
Alphabet, Inc. (a)
|
5
|
10,313
|
||||||
|
Amazon.com, Inc. (a)
|
7
|
21,658
|
||||||
|
ASOS PLC (a)(b)
|
301
|
22,964
|
||||||
|
AudioEye, Inc. (a)
|
852
|
23,805
|
||||||
|
Bumble, Inc. (a)
|
3,597
|
224,381
|
||||||
|
carsales.com Ltd. (b)
|
1,839
|
24,877
|
||||||
|
Facebook, Inc. (a)
|
25
|
7,363
|
||||||
|
GoDaddy, Inc. (a)
|
2,772
|
215,163
|
||||||
|
Netflix, Inc. (a)
|
1
|
522
|
||||||
|
Snap, Inc. (a)
|
3,826
|
200,061
|
||||||
|
Tencent Music Entertainment Group - ADR (a)(b)
|
7,600
|
155,724
|
||||||
|
970,996
|
||||||||
|
Investment Companies: 0.12%
|
||||||||
|
Kinnevik AB (a)(b)
|
483
|
23,482
|
||||||
|
Leisure Time: 0.64%
|
||||||||
|
Dometic Group AB (b)
|
1,709
|
24,784
|
||||||
|
Harley-Davidson, Inc.
|
1,852
|
74,265
|
||||||
|
Nautilus, Inc. (a)
|
412
|
6,444
|
||||||
|
Peloton Interactive, Inc. (a)
|
219
|
24,624
|
||||||
|
130,117
|
||||||||
|
Lodging: 1.24%
|
||||||||
|
Full House Resorts, Inc. (a)
|
3,954
|
33,648
|
||||||
|
Wynn Resorts Ltd. (a)
|
1,734
|
217,392
|
||||||
|
251,040
|
||||||||
|
Machinery - Diversified: 1.00%
|
||||||||
|
Andritz AG (b)
|
555
|
24,953
|
||||||
|
Bucher Industries AG (b)
|
45
|
22,930
|
||||||
|
Ebara Corp. (b)
|
600
|
24,466
|
||||||
|
Ingersoll Rand, Inc. (a)
|
475
|
23,375
|
||||||
|
Intevac, Inc. (a)
|
4,486
|
32,075
|
||||||
|
Neles Oyj (b)
|
1,907
|
24,220
|
||||||
|
Rotork PLC (b)
|
5,115
|
25,146
|
||||||
|
Sumitomo Heavy Industries Ltd. (b)
|
900
|
24,994
|
||||||
|
202,159
|
||||||||
|
Media: 6.55%
|
||||||||
|
Cable One, Inc.
|
8
|
14,627
|
||||||
|
DISH Network Corp. (a)
|
1,891
|
68,454
|
||||||
|
Liberty Global PLC - ADR (a)(b)
|
924
|
23,599
|
||||||
|
Liberty Media Corp. - Liberty Formula One (a)
|
463
|
20,043
|
||||||
|
News Corporation
|
8,516
|
216,562
|
||||||
|
Nexstar Broadcasting Group, Inc.
|
5,912
|
830,222
|
||||||
|
ProSiebenSat.1 Media SE (b)
|
1,244
|
25,435
|
||||||
|
ViacomCBS, Inc.
|
2,800
|
126,280
|
||||||
|
Walt Disney Co. (a)
|
13
|
2,399
|
||||||
|
1,327,621
|
||||||||
|
Metal Fabricate & Hardware: 0.13%
|
||||||||
|
TimkenSteel Corp. (a)
|
2,177
|
25,580
|
||||||
|
Mining: 0.16%
|
||||||||
|
BHP Group Ltd. (b)
|
258
|
8,877
|
||||||
|
Mitsubishi Materials Corp. (b)
|
1,000
|
23,337
|
||||||
|
32,214
|
||||||||
|
Miscellaneous Manufacturing: 0.26%
|
||||||||
|
ALS Ltd. (b)
|
211
|
1,551
|
||||||
|
Hexpol AB (b)
|
2,328
|
26,283
|
||||||
|
Nikon Corp. (b)
|
2,700
|
25,238
|
||||||
|
53,072
|
||||||||
|
Office & Business Equipment: 0.12%
|
||||||||
|
Konica Minolta, Inc. (b)
|
4,500
|
24,385
|
||||||
|
Oil & Gas: 1.54%
|
||||||||
|
APA Corp.
|
12,041
|
215,534
|
||||||
|
Beach Energy Ltd. (b)
|
19,794
|
25,784
|
||||||
|
Exxon Mobil Corp.
|
123
|
6,867
|
||||||
|
Hess Corp.
|
339
|
23,987
|
||||||
|
TOTAL SA (b)
|
161
|
7,510
|
||||||
|
VAALCO Energy, Inc. (a)
|
11,196
|
25,079
|
||||||
|
Woodside Petroleum Ltd. (b)
|
396
|
7,219
|
||||||
|
311,980
|
||||||||
|
Oil & Gas Services: 0.30%
|
||||||||
|
Forum Energy Technologies, Inc. (a)
|
353
|
6,545
|
||||||
|
John Wood Group PLC (a)(b)
|
1,672
|
6,237
|
||||||
|
Saipem SpA (b)
|
8,297
|
22,612
|
||||||
|
Subsea 7 SA (b)
|
2,452
|
24,626
|
||||||
|
60,020
|
||||||||
|
Packaging & Containers: 0.48%
|
||||||||
|
Gerresheimer AG (b)
|
256
|
25,428
|
||||||
|
Huhtamaki Oyj (b)
|
559
|
25,278
|
||||||
|
Orora Ltd. (b)
|
10,309
|
23,804
|
||||||
|
Sealed Air Corp.
|
519
|
23,780
|
||||||
|
98,290
|
||||||||
|
Pharmaceuticals: 1.75%
|
||||||||
|
AbbVie, Inc.
|
60
|
6,493
|
||||||
|
Bausch Health Cos., Inc. - ADR (a)(b)
|
4,404
|
139,783
|
||||||
|
Dechra Pharmaceuticals PLC (b)
|
543
|
25,676
|
||||||
|
Galenica AG (b)
|
398
|
24,845
|
||||||
|
Harrow Health, Inc. (a)
|
996
|
6,723
|
||||||
|
Herbalife Ltd. - ADR (a)(b)
|
558
|
24,753
|
||||||
|
Medipal Holdings Corp. (b)
|
1,200
|
23,019
|
||||||
|
Nippon Shinyaku Co. Ltd. (b)
|
300
|
22,298
|
||||||
|
Novartis AG (b)
|
80
|
6,837
|
||||||
|
Roche Holding AG (b)
|
27
|
8,726
|
||||||
|
Viatris, Inc. (a)
|
4,701
|
65,673
|
||||||
|
354,826
|
||||||||
|
Private Equity: 0.12%
|
||||||||
|
KKR & Co., Inc.
|
482
|
23,546
|
||||||
|
Real Estate: 0.29%
|
||||||||
|
Hang Lung Group Ltd. (b)
|
10,000
|
25,315
|
||||||
|
Tokyo Tatemono Co. Ltd. (b)
|
1,600
|
24,291
|
||||||
|
Vonovia SE (b)
|
136
|
8,883
|
||||||
|
58,489
|
||||||||
|
Retail: 1.66%
|
||||||||
|
Grafton Group PLC (b)
|
1,806
|
25,495
|
||||||
|
HUGO BOSS AG (b)
|
551
|
21,627
|
||||||
|
Isetan Mitsukoshi Holdings Ltd. (b)
|
3,300
|
23,187
|
||||||
|
JB Hi-Fi Ltd. (b)
|
632
|
24,856
|
||||||
|
K's Holdings Corp. (b)
|
1,800
|
24,726
|
||||||
|
Ulta Beauty, Inc. (a)
|
680
|
210,236
|
||||||
|
Walmart, Inc.
|
50
|
6,792
|
||||||
|
336,919
|
||||||||
|
Semiconductors: 0.29%
|
||||||||
|
ASM Pacific Technology Ltd. (b)
|
1,600
|
20,386
|
||||||
|
ASML Holding NV (b)
|
21
|
12,732
|
||||||
|
EMCORE Corp. (a)
|
4,681
|
25,558
|
||||||
|
58,676
|
||||||||
|
Software: 1.54%
|
||||||||
|
Avaya Holdings Corp. (a)
|
2,140
|
59,984
|
||||||
|
Castlight Health, Inc. (a)
|
17,223
|
26,007
|
||||||
|
Microsoft Corp.
|
28
|
6,602
|
||||||
|
salesforce.com, Inc. (a)
|
616
|
130,512
|
||||||
|
SimCorp A/S (b)
|
203
|
25,138
|
||||||
|
Take-Two Interactive Software, Inc. (a)
|
366
|
64,672
|
||||||
|
312,915
|
||||||||
|
Telecommunications: 1.59%
|
||||||||
|
AT&T, Inc.
|
2,149
|
65,050
|
||||||
|
Corning, Inc.
|
635
|
27,629
|
||||||
|
Eutelsat Communications SA (b)
|
2,043
|
24,869
|
||||||
|
Freenet AG (b)
|
1,073
|
25,682
|
||||||
|
Millicom International Cellular SA (a)(b)
|
678
|
26,084
|
||||||
|
Motorola Solutions, Inc.
|
128
|
24,070
|
||||||
|
NetLink NBN Trust (b)
|
36,300
|
25,501
|
||||||
|
SES SA (b)
|
3,199
|
25,412
|
||||||
|
SoftBank Group Corp. (b)
|
200
|
16,853
|
||||||
|
Spark New Zealand Ltd. (b)
|
1,971
|
6,167
|
||||||
|
Vonage Holdings Corp. (a)
|
4,678
|
55,294
|
||||||
|
322,611
|
||||||||
|
Toys, Games & Hobbies: 0.13%
|
||||||||
|
Games Workshop Group PLC (b)
|
194
|
26,651
|
||||||
|
Transportation: 0.26%
|
||||||||
|
ComfortDelGro Corp Ltd. (b)
|
5,400
|
6,864
|
||||||
|
Kamigumi Co. Ltd. (b)
|
1,300
|
24,621
|
||||||
|
Radiant Logistics, Inc. (a)
|
3,045
|
21,163
|
||||||
|
52,648
|
||||||||
|
TOTAL COMMON STOCKS (Cost $12,138,588)
|
15,077,651
|
|||||||
|
REAL ESTATE INVESTMENT TRUSTS: 3.76%
|
||||||||
|
Agree Realty Corp.
|
990
|
66,637
|
||||||
|
Alpine Income Property Trust, Inc.
|
1,335
|
23,176
|
||||||
|
Alstria Office REIT-AG (b)
|
1,565
|
25,290
|
||||||
|
American Tower Corp.
|
27
|
6,455
|
||||||
|
Braemar Hotels & Resorts, Inc. (a)
|
3,345
|
20,304
|
||||||
|
Cherry Hill Mortgage Investment Corp.
|
2,286
|
21,351
|
||||||
|
Daiwa Office Investment Corp. (b)
|
3
|
21,106
|
||||||
|
Equity Commonwealth
|
243
|
6,755
|
||||||
|
Industrial & Infrastructure Fund Investment Corp. (b)
|
14
|
24,011
|
||||||
|
Japan Logistics Fund, Inc. (b)
|
9
|
25,360
|
||||||
|
Kenedix Office Investment Corp. (b)
|
3
|
21,323
|
||||||
|
Kimco Realty Corp.
|
7,077
|
132,694
|
||||||
|
LondonMetric Property PLC (b)
|
9,083
|
26,747
|
||||||
|
MGM Growth Properties LLC
|
728
|
23,747
|
||||||
|
Mori Hills REIT Investment Corp. (b)
|
18
|
24,921
|
||||||
|
Park Hotels & Resorts, Inc.
|
9,067
|
195,666
|
||||||
|
Regency Centers Corp.
|
710
|
40,264
|
||||||
|
Retail Value, Inc.
|
364
|
6,811
|
||||||
|
Suntec Real Estate Investment Trust (b)
|
22,600
|
26,209
|
||||||
|
VICI Properties, Inc.
|
846
|
23,891
|
||||||
|
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $751,424)
|
762,718
|
|||||||
|
SHORT TERM INVESTMENT: 12.55%
|
||||||||
|
MONEY MARKET FUND: 12.55%
|
Shares
|
|||||||
|
STIT-Government & Agency Portfolio, Institutional Class, 0.03% (c)
|
2,545,356
|
2,545,356
|
||||||
|
TOTAL MONEY MARKET FUND (Cost $2,545,356)
|
2,545,356
|
|||||||
|
TOTAL SHORT TERM INVESTMENT (Cost $2,545,356)
|
2,545,356
|
|||||||
|
TOTAL INVESTMENTS (Cost $15,435,368): 90.67%
|
18,385,725
|
|||||||
|
Other Assets in Excess of Liabilities: 9.33% (d)
|
1,891,662
|
|||||||
|
TOTAL NET ASSETS: 100.00%
|
$
|
20,277,387
|
||||||
|
(a)
|
Non-dividend income producing security.
|
||||
|
(b)
|
Foreign issued security.
|
||||
|
(c)
|
The rate quoted is the annualized seven-day effective yield as of March 31, 2021.
|
||||
|
(d)
|
Includes assets pledged as collateral for securities sold short and derivative instruments. At March 31, 2021, the value of these
assets total $3,859,737.
|
||||
|
ADR
|
American Depositary Reciept
|
||||
|
PLC
|
Public Limited Company
|
||||
|
LoCorr Dynamic Equity Fund
|
||||||||
|
Schedule of Securities Sold Short
|
||||||||
|
March 31, 2021 (Unaudited)
|
||||||||
|
Shares
|
Value
|
|||||||
|
COMMON STOCKS: (14.59)%
|
||||||||
|
Advertising: (0.10)%
|
||||||||
|
Trade Desk, Inc. (a)
|
(30
|
)
|
$
|
(19,550
|
)
|
|||
|
Aerospace & Defense: (0.46)%
|
||||||||
|
AeroVironment, Inc. (a)
|
(172
|
)
|
(19,962
|
)
|
||||
|
Airbus SE (a)(b)
|
(59
|
)
|
(6,680
|
)
|
||||
|
Boeing Co. (a)
|
(89
|
)
|
(22,670
|
)
|
||||
|
Raytheon Technologies Corp.
|
(272
|
)
|
(21,017
|
)
|
||||
|
Safran SA (a)(b)
|
(170
|
)
|
(23,136
|
)
|
||||
|
(93,465
|
)
|
|||||||
|
Agriculture: (0.17)%
|
||||||||
|
British American Tobacco PLC (b)
|
(441
|
)
|
(16,865
|
)
|
||||
|
Japan Tobacco, Inc. (b)
|
(900
|
)
|
(17,273
|
)
|
||||
|
(34,138
|
)
|
|||||||
|
Airlines: (0.26)%
|
||||||||
|
Alaska Air Group, Inc. (a)
|
(305
|
)
|
(21,109
|
)
|
||||
|
Delta Air Lines, Inc. (a)
|
(674
|
)
|
(32,541
|
)
|
||||
|
(53,650
|
)
|
|||||||
|
Apparel: (0.49)%
|
||||||||
|
Adidas AG (b)
|
(61
|
)
|
(19,043
|
)
|
||||
|
Hermes International (b)
|
(14
|
)
|
(15,498
|
)
|
||||
|
Skechers U.S.A., Inc. (a)
|
(1,501
|
)
|
(62,607
|
)
|
||||
|
Urban Outfitters, Inc. (a)
|
(83
|
)
|
(3,087
|
)
|
||||
|
(100,235
|
)
|
|||||||
|
Auto Manufacturers: (0.25)%
|
||||||||
|
Bayerische Motoren Werke (b)
|
(61
|
)
|
(6,329
|
)
|
||||
|
Nikola Corp. (a)
|
(1,776
|
)
|
(24,669
|
)
|
||||
|
Volvo AB (b)
|
(790
|
)
|
(19,982
|
)
|
||||
|
(50,980
|
)
|
|||||||
|
Auto Parts & Equipment: (0.10)%
|
||||||||
|
Bridgestone Corp. (b)
|
(500
|
)
|
(20,208
|
)
|
||||
|
Banks: (1.52)%
|
||||||||
|
Banco Santander SA (b)
|
(6,710
|
)
|
(22,796
|
)
|
||||
|
Barclays PLC (b)
|
(9,138
|
)
|
(23,422
|
)
|
||||
|
DNB ASA (b)
|
(1,145
|
)
|
(24,364
|
)
|
||||
|
Goldman Sachs Group, Inc.
|
(141
|
)
|
(46,107
|
)
|
||||
|
HSBC Holdings PLC (b)
|
(3,613
|
)
|
(21,079
|
)
|
||||
|
Lloyds Banking Group PLC (b)
|
(41,776
|
)
|
(24,497
|
)
|
||||
|
Mitsubishi UFJ Financial Group, Inc. (b)
|
(3,600
|
)
|
(19,238
|
)
|
||||
|
Nordea Bank ABP (b)
|
(2,463
|
)
|
(24,254
|
)
|
||||
|
Oversea-Chinese Banking Corp. Ltd. (b)
|
(2,700
|
)
|
(23,584
|
)
|
||||
|
Pinnacle Financial Partners, Inc.
|
(362
|
)
|
(32,095
|
)
|
||||
|
Royal Bank of Scotland Group PLC (b)
|
(9,188
|
)
|
(24,858
|
)
|
||||
|
Sumitomo Mitsui Financial Group, Inc. (b)
|
(600
|
)
|
(21,713
|
)
|
||||
|
(308,007
|
)
|
|||||||
|
Beverages: (0.39)%
|
||||||||
|
Anheuser-Busch InBev SA/NV (b)
|
(330
|
)
|
(20,801
|
)
|
||||
|
Budweiser Brewing Co. APAC Ltd. (b)
|
(7,400
|
)
|
(22,084
|
)
|
||||
|
Diageo PLC (b)
|
(398
|
)
|
(16,403
|
)
|
||||
|
Heineken NV (b)
|
(194
|
)
|
(19,934
|
)
|
||||
|
(79,222
|
)
|
|||||||
|
Building Materials: (0.22)%
|
||||||||
|
LafargeHolcim Ltd. (b)
|
(388
|
)
|
(22,800
|
)
|
||||
|
Masco Corp.
|
(370
|
)
|
(22,163
|
)
|
||||
|
(44,963
|
)
|
|||||||
|
Chemicals: (0.46)%
|
||||||||
|
Asahi Kasei Corp. (b)
|
(1,900
|
)
|
(21,870
|
)
|
||||
|
Ecolab, Inc.
|
(97
|
)
|
(20,765
|
)
|
||||
|
Givaudan SA (b)
|
(5
|
)
|
(19,267
|
)
|
||||
|
Nippon Paint Holdings Co. Ltd. (b)
|
(1,000
|
)
|
(14,405
|
)
|
||||
|
Shin-Etsu Chemical Co. Ltd. (b)
|
(100
|
)
|
(16,807
|
)
|
||||
|
(93,114
|
)
|
|||||||
|
Commercial Services: (0.36)%
|
||||||||
|
ADT, Inc.
|
(3,220
|
)
|
(27,177
|
)
|
||||
|
Korn/Ferry International
|
(348
|
)
|
(21,705
|
)
|
||||
|
RELX PLC (b)
|
(944
|
)
|
(23,673
|
)
|
||||
|
(72,555
|
)
|
|||||||
|
Computers: (0.35)%
|
||||||||
|
Apple, Inc.
|
(406
|
)
|
(49,593
|
)
|
||||
|
Fujitsu Ltd. (b)
|
(100
|
)
|
(14,450
|
)
|
||||
|
Sykes Enterprises, Inc. (a)
|
(169
|
)
|
(7,450
|
)
|
||||
|
(71,493
|
)
|
|||||||
|
Cosmetics & Personal Care: (0.17)%
|
||||||||
|
Kao Corp. (b)
|
(200
|
)
|
(13,209
|
)
|
||||
|
Shiseido Co. Ltd. (b)
|
(200
|
)
|
(13,406
|
)
|
||||
|
Unicharm Corp. (b)
|
(200
|
)
|
(8,390
|
)
|
||||
|
(35,005
|
)
|
|||||||
|
Distribution/Wholesale: (0.04)%
|
||||||||
|
Titan Machinery, Inc. (a)
|
(333
|
)
|
(8,492
|
)
|
||||
|
Diversified Financial Services: (0.78)%
|
||||||||
|
Air Lease Corp.
|
(428
|
)
|
(20,972
|
)
|
||||
|
London Stock Exchange Group PLC (b)
|
(228
|
)
|
(21,814
|
)
|
||||
|
Mitsubishi UFJ Lease & Finance Co. Ltd. (b)
|
(3,800
|
)
|
(22,925
|
)
|
||||
|
Moelis & Co.
|
(605
|
)
|
(33,202
|
)
|
||||
|
Raymond James Financial, Inc.
|
(280
|
)
|
(34,317
|
)
|
||||
|
Rocket Cos., Inc.
|
(1,073
|
)
|
(24,776
|
)
|
||||
|
(158,006
|
)
|
|||||||
|
Electric: (0.40)%
|
||||||||
|
Electricite de France SA (b)
|
(1,809
|
)
|
(24,269
|
)
|
||||
|
Engie SA (b)
|
(1,478
|
)
|
(20,981
|
)
|
||||
|
National Grid PLC (b)
|
(1,543
|
)
|
(18,379
|
)
|
||||
|
Power Assets Holdings Ltd. (b)
|
(3,000
|
)
|
(17,713
|
)
|
||||
|
(81,342
|
)
|
|||||||
|
Electronics: (0.46)%
|
||||||||
|
Allegion PLC - ADR (b)
|
(297
|
)
|
(37,309
|
)
|
||||
|
Assa Abloy AB (b)
|
(872
|
)
|
(25,061
|
)
|
||||
|
Hoya Corp. (b)
|
(100
|
)
|
(11,745
|
)
|
||||
|
Kyocera Corp. (b)
|
(300
|
)
|
(19,034
|
)
|
||||
|
(93,149
|
)
|
|||||||
|
Energy-Alternate Sources: (0.13)%
|
||||||||
|
Vestas Wind Systems A/S (b)
|
(128
|
)
|
(26,273
|
)
|
||||
|
Engineering & Construction: (0.21)%
|
||||||||
|
Cellnex Telecom SA (b)
|
(396
|
)
|
(22,802
|
)
|
||||
|
CK Infrastructure Holdings Ltd. (b)
|
(3,500
|
)
|
(20,800
|
)
|
||||
|
(43,602
|
)
|
|||||||
|
Food: (1.10)%
|
||||||||
|
Beyond Meat, Inc. (a)
|
(151
|
)
|
(19,648
|
)
|
||||
|
Campbell Soup Co.
|
(1,285
|
)
|
(64,597
|
)
|
||||
|
Danone SA (b)
|
(150
|
)
|
(10,290
|
)
|
||||
|
General Mills, Inc.
|
(1,058
|
)
|
(64,877
|
)
|
||||
|
Kroger Co.
|
(1,759
|
)
|
(63,306
|
)
|
||||
|
(222,718
|
)
|
|||||||
|
Hand & Machine Tools: (0.09)%
|
||||||||
|
Schindler Holding AG (b)
|
(59
|
)
|
(17,329
|
)
|
||||
|
Health Care - Products: (0.13)%
|
||||||||
|
EssilorLuxottica SA (b)
|
(117
|
)
|
(19,051
|
)
|
||||
|
Hologic, Inc. (a)
|
(91
|
)
|
(6,769
|
)
|
||||
|
(25,820
|
)
|
|||||||
|
Home Builders: (0.27)%
|
||||||||
|
Thor Industries, Inc.
|
(244
|
)
|
(32,877
|
)
|
||||
|
Winnebago Industries, Inc.
|
(295
|
)
|
(22,629
|
)
|
||||
|
(55,506
|
)
|
|||||||
|
Housewares: (0.09)%
|
||||||||
|
Reckitt Benckiser Group PLC (b)
|
(214
|
)
|
(19,171
|
)
|
||||
|
Insurance: (0.44)%
|
||||||||
|
Allianz (b)
|
(85
|
)
|
(21,636
|
)
|
||||
|
Lemonade, Inc. (a)
|
(220
|
)
|
(20,489
|
)
|
||||
|
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (b)
|
(76
|
)
|
(23,404
|
)
|
||||
|
Prudential PLC (b)
|
(1,074
|
)
|
(22,809
|
)
|
||||
|
(88,338
|
)
|
|||||||
|
Internet: (0.19)%
|
||||||||
|
Prosus NV (b)
|
(136
|
)
|
(15,119
|
)
|
||||
|
Rakuten, Inc. (b)
|
(1,900
|
)
|
(22,634
|
)
|
||||
|
(37,753
|
)
|
|||||||
|
Iron & Steel: (0.11)%
|
||||||||
|
Nippon Steel Corp. (b)
|
(1,300
|
)
|
(22,149
|
)
|
||||
|
Leisure Time: (0.50)%
|
||||||||
|
Brunswick Corp.
|
(313
|
)
|
(29,851
|
)
|
||||
|
Peloton Interactive, Inc. (a)
|
(294
|
)
|
(33,057
|
)
|
||||
|
Polaris Industries, Inc.
|
(237
|
)
|
(31,640
|
)
|
||||
|
Virgin Galactic Holdings, Inc. (a)
|
(222
|
)
|
(6,800
|
)
|
||||
|
(101,348
|
)
|
|||||||
|
Lodging: (0.16)%
|
||||||||
|
Hyatt Hotels Corp. (a)
|
(386
|
)
|
(31,922
|
)
|
||||
|
Machinery - Construction & Mining: (0.48)%
|
||||||||
|
Caterpillar, Inc.
|
(209
|
)
|
(48,461
|
)
|
||||
|
Terex Corp.
|
(1,054
|
)
|
(48,558
|
)
|
||||
|
(97,019
|
)
|
|||||||
|
Machinery - Diversified: (0.30)%
|
||||||||
|
Atlas Copco AB (b)
|
(400
|
)
|
(24,348
|
)
|
||||
|
Chart Industries, Inc. (a)
|
(84
|
)
|
(11,957
|
)
|
||||
|
Hexagon AB (b)
|
(261
|
)
|
(24,075
|
)
|
||||
|
(60,380
|
)
|
|||||||
|
Mining: (0.13)%
|
||||||||
|
B2Gold Corp.
|
(5,910
|
)
|
(25,442
|
)
|
||||
|
Miscellaneous Manufacturing: (0.10)%
|
||||||||
|
Siemens AG (b)
|
(126
|
)
|
(20,687
|
)
|
||||
|
Office & Business Equipment: (0.11)%
|
||||||||
|
Ricoh Co. Ltd. (b)
|
(2,100
|
)
|
(21,318
|
)
|
||||
|
Oil & Gas: (0.08)%
|
||||||||
|
BP PLC (b)
|
(4,167
|
)
|
(16,927
|
)
|
||||
|
Pharmaceuticals: (0.39)%
|
||||||||
|
AstraZeneca PLC (b)
|
(173
|
)
|
(17,284
|
)
|
||||
|
Bayer AG (b)
|
(337
|
)
|
(21,325
|
)
|
||||
|
Daiichi Sankyo Co. Ltd. (b)
|
(600
|
)
|
(17,476
|
)
|
||||
|
Merck KGaA (b)
|
(138
|
)
|
(23,595
|
)
|
||||
|
(79,680
|
)
|
|||||||
|
Real Estate: (0.52)%
|
||||||||
|
CapitaLand Ltd. (b)
|
(8,400
|
)
|
(23,479
|
)
|
||||
|
Deutsche Wohnen SE (b)
|
(413
|
)
|
(19,267
|
)
|
||||
|
Mitsui Fudosan Co. Ltd. (b)
|
(800
|
)
|
(18,160
|
)
|
||||
|
Sumitomo Realty & Development Co. Ltd. (b)
|
(600
|
)
|
(21,166
|
)
|
||||
|
Wharf Real Estate Investment Co. Ltd. (b)
|
(4,000
|
)
|
(22,408
|
)
|
||||
|
(104,480
|
)
|
|||||||
|
Retail: (0.91)%
|
||||||||
|
Asbury Automotive Group, Inc. (a)
|
(320
|
)
|
(62,880
|
)
|
||||
|
AutoNation, Inc. (a)
|
(515
|
)
|
(48,008
|
)
|
||||
|
Carvana Co. (a)
|
(132
|
)
|
(34,637
|
)
|
||||
|
Cie Financiere Richemont SA (b)
|
(113
|
)
|
(10,849
|
)
|
||||
|
Foot Locker, Inc.
|
(56
|
)
|
(3,150
|
)
|
||||
|
Gap, Inc. (a)
|
(111
|
)
|
(3,306
|
)
|
||||
|
Vroom, Inc. (a)
|
(564
|
)
|
(21,990
|
)
|
||||
|
(184,820
|
)
|
|||||||
|
Semiconductors: (0.10)%
|
||||||||
|
Infineon Technologies AG (b)
|
(529
|
)
|
(22,429
|
)
|
||||
|
Software: (0.25)%
|
||||||||
|
Dassault Systemes SE (b)
|
(60
|
)
|
(12,834
|
)
|
||||
|
Snowflake, Inc. (a)
|
(87
|
)
|
(19,947
|
)
|
||||
|
SolarWinds Corp. (a)
|
(1,032
|
)
|
(17,998
|
)
|
||||
|
(50,779
|
)
|
|||||||
|
Telecommunications: (0.08)%
|
||||||||
|
Deutsche Telekom AG (b)
|
(770
|
)
|
(15,504
|
)
|
||||
|
Transportation: (0.63)%
|
||||||||
|
Atlas Air Worldwide Holdings, Inc. (a)
|
(364
|
)
|
(22,000
|
)
|
||||
|
Central Japan Railway Co. (b)
|
(100
|
)
|
(14,947
|
)
|
||||
|
DSV PANALPINA A/S (b)
|
(34
|
)
|
(6,671
|
)
|
||||
|
East Japan Railway Co. (b)
|
(300
|
)
|
(21,239
|
)
|
||||
|
Kirby Corp. (a)
|
(339
|
)
|
(20,435
|
)
|
||||
|
MTR Corp Ltd. (b)
|
(3,500
|
)
|
(19,832
|
)
|
||||
|
West Japan Railway Co. (b)
|
(400
|
)
|
(22,163
|
)
|
||||
|
(127,287
|
)
|
|||||||
|
Trucking & Leasing: (0.11)%
|
||||||||
|
GATX Corp.
|
(232
|
)
|
(21,516
|
)
|
||||
|
TOTAL COMMON STOCKS (Proceeds $2,896,263)
|
(2,957,771
|
)
|
||||||
|
EXCHANGE TRADED FUNDS: (1.93)%
|
||||||||
|
iShares Russell 2000
|
(890
|
)
|
(196,636
|
)
|
||||
|
SPDR S&P500 Trust
|
(493
|
)
|
(195,390
|
)
|
||||
|
TOTAL EXCHANGE TRADED FUNDS (Proceeds $390,535)
|
(392,026
|
)
|
||||||
|
REAL ESTATE INVESTMENT TRUSTS: (0.65)%
|
||||||||
|
Hudson Pacific Properties, Inc.
|
(1,170
|
)
|
(31,741
|
)
|
||||
|
Link Real Estate I (b)
|
(1,100
|
)
|
(10,017
|
)
|
||||
|
RioCan Real Estate Investment Trust (b)
|
(1,039
|
)
|
(16,088
|
)
|
||||
|
Simon Property Group, Inc.
|
(127
|
)
|
(14,448
|
)
|
||||
|
SL Green Realty Corp.
|
(412
|
)
|
(28,835
|
)
|
||||
|
Vornado Realty Trust
|
(691
|
)
|
(31,363
|
)
|
||||
|
TOTAL REAL ESTATE INVESTMENT TRUSTS (Proceeds $126,420)
|
(132,492
|
)
|
||||||
|
TOTAL SECURITIES SOLD SHORT (Proceeds $3,413,218): (17.17)%
|
$
|
(3,482,289
|
)
|
|||||
|
Percentages are stated as a percent of net assets.
|
||||||||
|
(a)
|
Non-dividend expense producing security.
|
||||
|
(b)
|
Foreign issued security.
|
||||
|
ADR
|
American Depositary Reciept
|
||||
|
PLC
|
Public Limited Company
|
|
NOTES
|
||||||||||||
|
Investment Valuation
|
||||||||||||
|
Fair Value Measurement Summary
|
||||||||||||
|
March 31, 2021 (Unaudited)
|
|
|||||||||||
|
The LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Market Trend Fund, LoCorr Dynamic Equity Fund and the LoCorr
Spectrum Income Fund (individually a ''Fund'' and collectively the ''Funds'') follow fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require
additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and changes in valuation techniques and related inputs during the period. These inputs are summarized in three broad
levels listed below:
|
||||||||||||
|
Level 1 – Unadjusted quoted prices in
active markets for identical assets or liabilities that the Funds have the ability to access.
|
||||||||||||
|
Level 2 – Observable inputs other than
quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments,
interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
|
||||||||||||
|
Level 3 – Unobservable inputs for the asset
or liability, to the extent relevant observable inputs are not available; representing the Funds’ 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.
|
||||||||||||
|
Generally, the Funds’ investments are valued each day at the last quoted sales price on each investment’s primary exchange. Investments traded or
dealt in upon one or more exchanges (whether domestic or foreign) for which market quotations are readily available and not subject to restrictions against resale shall be valued at the last quoted sales price on the primary exchange or,
in the absence of a sale on the primary exchange, at the last bid on the primary exchange. Investments primarily traded in the National Association of Securities Dealers’ Automated Quotation System (“NASDAQ”) National Market System for
which market quotations are readily available shall be valued using the NASDAQ Official Closing Price.
|
||||||||||||
|
The Funds may use independent pricing services to assist in calculating the value of the Funds’ investments. In addition, market prices for
foreign investments are not determined at the same time of day as the net asset value (“NAV”) for the Funds. Because the Funds may invest in portfolio investments primarily listed on foreign exchanges, and these exchanges may trade on
weekends or other days when the Funds do not price their shares, the value of some of the Funds’ portfolio investments may change on days when you may not be able to buy or sell the Funds’ shares. In computing the NAV, the Funds value
foreign investments held by the Funds at the latest closing price on the exchange in which they are traded immediately prior to closing of the NYSE. Prices of foreign investments quoted in foreign currencies are translated into U.S.
dollars at current rates. If events materially affecting the value of an investment in the Funds’ portfolio, particularly foreign investments, occur after the close of trading on a foreign market but before the Funds price their shares,
the investment will be valued at fair value.
|
||||||||||||
|
American Depositary Receipts
|
||||||||||||
|
The Funds may invest in sponsored and unsponsored American Depositary Receipts (“ADRs”), which are receipts issued by an American bank or trust
company evidencing ownership of underlying securities issued by a foreign issuer. ADRs, in registered form, are designed for use in U.S. securities markets. Unsponsored ADRs may be created without the participation of the foreign issuer.
Holders of unsponsored ADRs generally bear all the costs of the ADR facility, whereas foreign issuers typically bear certain costs in a sponsored ADR. The bank or trust company depositary of an unsponsored ADR may be under no obligation
to distribute shareholder communications received from the foreign issuer or to pass through voting rights. ADRs are generally categorized in Level 1 or Level 2 of the fair value hierarchy depending on inputs used and market activity
levels for specific securities.
|
||||||||||||
|
Equity Securities
|
||||||||||||
|
Equity securities, including common stocks, preferred stocks, securities convertible into common stocks, such as convertible bonds, warrants,
rights, options, master limited partnership (“MLP”) interests, real estate investment trusts (“REITs”), business development companies and royalty trusts, generally are valued by using market quotations, but may be valued on the basis of
prices furnished by a pricing service when the Adviser believes such prices accurately reflect the fair market value of such securities. MLP interests are limited partnerships, the interests in which (known as “units”) typically trade
publicly, like stock. Master limited partnerships are also called publicly traded partnerships and public limited partnerships. Securities that are traded on any stock exchange or on the NASDAQ over-the-counter market are generally valued
by the pricing service at the last quoted sale price. Lacking a last sale price, an equity security is generally valued by the pricing service at its last bid price. Equity securities are generally categorized in Level 1 or Level 2 of the
fair value hierarchy depending on inputs used and market activity levels for specific securities.
|
||||||||||||
|
Exchange Traded Funds
|
||||||||||||
|
The Funds may invest in Exchange Traded Funds (“ETFs”). They are managed by professionals and provide the investor with diversification, cost and
tax efficiency, liquidity, marginability, are useful for hedging, have the ability to go long and short, and some provide quarterly dividends. Additionally, some ETFs are unit investment trusts (“UITs”), which are unmanaged portfolios
overseen by trustees. ETFs generally have two markets. The primary market is where institutions swap “creation units” in block-multiples of shares, typically 25,000 or 50,000, for in-kind securities and cash in the form of dividends. The
secondary market is where individual investors can trade as little as a single share during trading hours on the exchange. This is different from open-ended mutual funds that are traded after hours once the NAV is calculated. ETFs share
many similar risks with open-end and closed-end funds. ETFs are generally categorized in Level 1 of the fair value hierarchy.
|
||||||||||||
|
The Funds may invest in ETFs and other investment companies that hold a portfolio of foreign securities. Investing in securities of foreign
companies and countries involves certain considerations and risks that are not typically associated with investing in U.S. government securities and securities of domestic companies. There may be less publicly available information about
a foreign issuer than a domestic one, and foreign companies are not generally subject to uniform accounting, auditing and financial standards and requirements comparable to those applicable to U.S. companies. There may also be less
government supervision and regulation of foreign securities exchanges, brokers and listed companies than exists in the United States. Interest and dividends paid by foreign issuers may be subject to withholding and other foreign taxes,
which may decrease the net return on such investments as compared to dividends and interest paid to the Fund by domestic companies or the U.S. government. There may be the possibility of expropriations, seizure or nationalization of
foreign deposits, confiscatory taxation, political, economic or social instability or diplomatic developments that could affect assets of the Fund held in foreign countries. Finally, the establishment of exchange controls or other foreign
governmental laws or restrictions could adversely affect the payment of obligations.
|
||||||||||||
|
Fixed Income Securities
|
||||||||||||
|
Fixed income securities and certificates of deposit with maturities more than 60 days when acquired generally are valued using an evaluated price
supplied by an independent pricing service. Inputs used by the pricing service for U.S. government and treasury securities are normally valued using a model that incorporates market observable data such as reported sales of similar
securities, broker dealer quotes, yields, bids, offers, and reference data. Agency issued debt securities, foreign issued bonds and municipal bonds are generally valued in a manner similar to U.S. government securities. Evaluations for
corporate bonds are typically based on valuation methodologies such as market pricing and other analytical pricing models as well as market transactions and dealer quotations based on observable inputs. Fixed income securities are
generally categorized in Level 1 or Level 2 of the fair value hierarchy depending on inputs used and market activity levels for specific securities.
|
||||||||||||
|
The fair value of asset backed securities and mortgage backed securities is estimated on models that consider the estimated cash flows of each
tranche of the entity, establish a benchmark yield, and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche. Additional inputs such as creditworthiness of the underlying
collateral and quotes from outside brokers for the same or similar issuance may also be considered in the development of fair value. Asset backed and mortgage backed securities are generally categorized in Level 2 of the fair value
hierarchy.
|
||||||||||||
|
Short-term investments in fixed income securities and certificates of deposit with maturities of less than 60 days when acquired, or which
subsequently are within 60 days of maturity, are valued using an amortized cost method of valuation, and are generally categorized in Level 2.
|
||||||||||||
|
Investment Companies
|
||||||||||||
|
With respect to any portion of the Funds’ assets that are invested in one or more open-end management investment companies, including money market
funds, registered under the 1940 Act, the Funds’ net asset value is calculated based upon the net asset values of those open-end management investment companies, and the prospectuses for these companies explain the circumstances under
which those companies will use fair value pricing and the effects of using fair value pricing.
|
||||||||||||
|
The Funds generally will purchase shares of closed-end investment companies only in the secondary market. The shares of many closed-end investment
companies, after their initial public offering, frequently trade at a price per share that is less than the net asset value per share, the difference representing the “market discount” of such shares. This market discount may be due in
part to the investment objective of long-term appreciation, which is sought by many closed-end investment companies, as well as to the fact that the shares of closed-end investment companies are not redeemable by the holder upon demand to
the issuer at the next determined net asset value but rather are subject to the principles of supply and demand in the secondary market. A relative lack of secondary market purchasers of closed-end investment company shares also may
contribute to such shares trading at a discount to their net asset value. Closed-end investment companies are generally categorized in Level 1 or Level 2 of the fair value hierarchy depending on inputs used and market activity levels for
specific securities.
|
||||||||||||
|
Financial Derivative Instruments
|
||||||||||||
|
Financial derivative instruments, such as forward currency contracts, futures contracts, swap agreements or options contracts, derive their value
from underlying asset prices, indices, reference rates and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker-dealer quotations, a pricing service at the settlement price determined
by the relevant exchange or by the counterparty. Depending on the product and the terms of the transaction, the value of the derivative contracts can be estimated by a pricing service provider using a series of techniques, including
simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates.
|
||||||||||||
|
Forward currency contracts represent the purchase or sale of a specific quantity of a foreign currency at the current or spot price, with delivery
and settlement at a specified future date. Forward currency contracts are presented at fair value using spot currency rates and are adjusted for the time value of money (forward points) and contractual prices of the underlying financial
instruments. Forward currency contracts are generally categorized in Level 2.
|
||||||||||||
|
Futures contracts are carried at fair value using the primary exchange’s closing (settlement) price, and are generally categorized in Level 1.
|
||||||||||||
|
Total return swap contracts are stated at fair value daily based on the fair value of the underlying futures and forward currency contracts
constituting the contract’s stated index, taking into account any fees and expenses associated with the swap agreement. Total return swap contracts are generally categorized in Level 2.
|
||||||||||||
|
Fund-linked options are stated at fair value based on the fair value of Galaxy Plus Fund – East Alpha Feeder Fund (548) LLC, taking into account
any fees and expenses associated with the fund-linked option. Fund-linked options are generally categorized in Level 2.
|
||||||||||||
|
Fair Value Pricing
|
||||||||||||
|
If market quotations are not readily available, investments will be valued at their fair value as determined in good faith by the Adviser in
accordance with procedures approved by the Board of Trustees (the “Board”) and evaluated by the Board as to the reliability of the fair value method used. In these cases, a Fund’s NAV will reflect certain portfolio investments’ fair value
rather than their market price. Fair value pricing involves subjective judgments and it is possible that the fair value determined for an investment is materially different than the value that could be realized upon the sale of that
investment. The fair value prices can differ from market prices when they become available or when a price becomes available.
|
||||||||||||
|
Fair value determinations are required for the following securities:
|
||||||||||||
|
●
|
securities for which market quotations are not readily available at the valuation time on a particular business day (including without limitation
securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source);
|
|||||||||||
|
●
|
securities for which, in the opinion of the Adviser/relevant Sub-Adviser, the prices or values available do not represent the fair value of the
instrument, based upon factors that may include, but are not limited to, the following: the availability of only a bid price or an ask price; the spread between bid and ask prices; the frequency of sales; the thinness of the market; the
size of reported trades; and actions of the securitiesmarkets or regulators, such as the suspension or limitation of trading;
|
|||||||||||
|
●
|
securities determined to be illiquid in accordance with the Trust’s Liquidity Procedures; and
|
|||||||||||
|
●
|
securities with respect to which an event that will affect the value thereof has occurred subsequent to the determination by the Adviser/relevant
Sub-Adviser of the closing prices reported on the principal exchange on which the securities are traded, but prior to the relevant Fund’s calculation of its NAV.
|
|||||||||||
|
●
|
For any open-end mutual funds that do not provide timely NAV information, the Adviser/relevant Sub-Adviser shall evaluate those ‘similar’ funds
and determine which are most appropriate based on funds having similar benchmarks or similar objectives. The Adviser/relevant Sub-Adviser shall then calculate the NAV percentage move of those ‘similar’ funds for the day to create an
aggregate average percentage move, which it shall use to calculate the price movement for the day of the Fund at issue. For closed-end funds, the aforementioned practice shall be utilized, in addition to monitoring secondary market
activity during the day.
|
|||||||||||
|
Performing Fair Value Pricing
|
||||||||||||
|
The Adviser considers all appropriate factors relevant to the value of securities for which market quotations are not readily available. No single
standard for determining fair value can be established, since fair value depends upon the circumstances of each individual case. As a general principle, the current fair value of an issue of securities being valued by the Adviser would
appear to be the amount that the owner might reasonably expect to receive for them upon their current sale. Methods that are in accord with this principle may, for example, be based on:
|
||||||||||||
|
●
|
a multiple of earnings;
|
|||||||||||
|
●
|
a discount from market of a similar freely traded security (including a derivative security or a basket of securities traded on other markets,
exchanges or among dealers); or
|
|||||||||||
|
●
|
yield to maturity with respect to debt issues, or a combination of these and other methods.
|
|||||||||||
|
Fair value determinations are not based on what the Adviser believes that a buyer may pay at a later time, such as when market conditions change
or when the market ultimately recognizes a security’s true value as perceived by the Adviser. Similarly, bonds and other instruments may not be fair valued at par based on the expectation that the Fund will hold the investment until
maturity.
|
||||||||||||
|
Some of the general factors that the Adviser considers in determining a valuation method for an individual issue of securities include, but shall
not be limited to:
|
||||||||||||
|
●
|
the fundamental analytical data relating to the investment;
|
|||||||||||
|
●
|
the nature and duration of restrictions (if any) on disposition of the securities;
|
|||||||||||
|
●
|
valuation of the forces that influence the market in which these securities are purchased or sold;
|
|||||||||||
|
●
|
changes in interest rates;
|
|||||||||||
|
●
|
government (domestic or foreign) actions or pronouncements; and
|
|||||||||||
|
●
|
other news events.
|
|||||||||||
|
With respect to securities traded on foreign markets, the Adviser considers the value of foreign securities traded on other foreign markets, ADR
trading, closed-end fund trading, foreign currency exchange activity and the trading prices of financial products that are tied to baskets of foreign securities, such as WEBS.
|
||||||||||||
|
Among the more specific factors that the Funds’ Adviser considers (if applicable) in determining a valuation method for an individual issue of
securities are:
|
||||||||||||
|
●
|
type of security;
|
|||||||||||
|
●
|
financial statements of the issuer;
|
|||||||||||
|
●
|
cost at date of purchase;
|
|||||||||||
|
●
|
size of holding;
|
|||||||||||
|
●
|
discount from market value of unrestricted securities of the same class at time of purchase;
|
|||||||||||
|
●
|
special reports prepared by analysts;
|
|||||||||||
|
●
|
information as to any transactions or offers with respect to the security;
|
|||||||||||
|
●
|
existence of merger proposals or tender offers affecting the securities;
|
|||||||||||
|
●
|
price and extent of public trading in similar securities of the issuer or comparable companies; and
|
|||||||||||
|
●
|
other relevant matters.
|
|||||||||||
|
As a general matter, the Funds’ Adviser will value the portfolio security or other asset primarily by reference to the public market if there is a
public market for securities of the same class or similar securities; primarily by reference to private transactions if public market reference is not available and private transaction reports are available; and primarily by use of one or
more analytical methods or models if public and private market references are not available or not reliable. The Adviser will use cost only if no better method of valuation is available.
|
||||||||||||
|
The Adviser regularly evaluates whether its pricing methodologies continue to result in values that the Fund might reasonably expect to receive
upon a current sale. In order to do this, the Adviser compares its fair value prices with values that are available from other sources (if there are any). The next actual sales price of a security might be one such source. However, the
next-day opening prices or next actual sales prices for a security may differ from the fair value of that security as of the time for NAV calculation, given the subjectivity inherent in fair valuation and the fact that events could occur
after NAV calculation. Thus, discrepancies between fair values and next-day opening prices or next actual sales prices may occur on a regular and recurring basis. These discrepancies do not necessarily indicate that the Adviser’s fair
value methodology is inappropriate. Nonetheless, systematic comparisons of fair values to the next-day opening prices or next actual sales prices are useful to assist the Adviser with ongoing monitoring and evaluation of the
appropriateness of its fair value methodologies.
|
||||||||||||
|
The above guidance does not purport to delineate all factors that may be considered. The Adviser takes into consideration all indications of value
available to it in determining the fair value assigned to a particular security.
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following table summarizes LoCorr Dynamic Equity Fund’s investments, securities sold short and other financial
instruments as of March 31, 2021:
|
|||||||||||
|
Security Classification
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
|
Investments
|
|||||||||||||||||
|
Common Stocks
|
$
|
15,077,651
|
$
|
-
|
$
|
-
|
$
|
15,077,651
|
|||||||||
|
Real Estate Investment Trusts
|
762,718
|
-
|
-
|
762,718
|
|||||||||||||
|
Short Term Investment
|
2,545,356
|
-
|
-
|
2,545,356
|
|||||||||||||
|
Total Investments
|
$
|
18,385,725
|
$
|
-
|
$
|
-
|
$
|
18,385,725
|
|||||||||
|
Securities Sold Short
|
|||||||||||||||||
|
Common Stocks
|
$
|
(2,957,771
|
)
|
$
|
-
|
$
|
-
|
$
|
(2,957,771
|
)
|
|||||||
|
Exchange Traded Funds
|
(392,026
|
)
|
-
|
-
|
(392,026
|
)
|
|||||||||||
|
Real Estate Investment Trusts
|
(132,492
|
)
|
-
|
-
|
(132,492
|
)
|
|||||||||||
|
Total Securities Sold Short
|
$
|
(3,482,289
|
)
|
$
|
-
|
$
|
-
|
$
|
(3,482,289
|
)
|
|||||||
|
See the Fund’s schedule of investments and schedule of securities sold short for detail by industry classification.
|
||||||||||||
|
|
||||||||||||
|
The LoCorr Dynamic Equity Fund did not hold any Level 3 assets during the period.
|
||||||||||||