N-Q 1 msgi_nq.htm N-Q

united states
securities and exchange commission
washington, d.c. 20549

form n-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-22572

 

Multi-Strategy Growth & Income Fund

(Exact name of registrant as specified in charter)

 

80 Arkay Drive Suite 110, Hauppauge, NY 11788

(Address of principal executive offices) (Zip code)

 

The Corporation Trust Company – Corporation Trust Center

1209 Orange Street, Wilmington, Delaware 19801

(Name and address of agent for service)

 

Registrant's telephone number, including area code: 631-470-2600

 

Date of fiscal year end: 2/28

 

Date of reporting period: 05/31/18

 

 

Item 1. Schedule of Investments.

 

 

Multi-Strategy Growth & Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)
May 31, 2018
Shares   Security         Value
    COMMON STOCKS - 6.49%          
    ENTERTAINMENT - 0.41 %          
 10,988   Cedar Fair LP          $730,482
               
    LISTED BUSINESS DEVELOPMENT COMPANIES - 2.05 %        
 25,194   Ares Capital Corp          425,275
 51,792   BlackRock Capital Investment Corp.        323,182
 30,782   FS Investment Corp.          237,021
 33,990   Garrison Capital, Inc.          298,432
 24,505   Golub Capital BDC, Inc.          453,588
 17,971   New Mountain Finance Corp.        249,797
 27,634   PennantPark Floating Rate Capital Ltd.        376,652
 27,852   TPG Specialty Lending, Inc.        519,718
 27,527   TriplePoint Venture Growth BDC Corp.        346,014
 32,516   WhiteHorse Finance, Inc.          465,629
               3,695,308
    PIPELINES - 0.27 %          
 4,585   Buckeye Partners LP          165,289
 19,618   Enable Midstream Partners LP        324,482
               489,771
    PRIVATE EQUITY - 1.16 %          
 30,249   Hercules Capital, Inc.          374,785
 14,289   Icahn Enterprises LP          982,940
 32,700   The Carlyle Group LP          716,130
               2,073,855
    SEMICONDUCTORS - 2.60 %        
 47,000   Applied Materials, Inc.          2,386,660
 20,000   NXP Semiconductors NV *          2,280,000
               4,666,660
               
    TOTAL COMMON STOCKS          11,656,076
    (Cost - $18,187,210)          
               
    EXCHANGE TRADED NOTES - 2.44 %        
 216,226   Credit Suisse X-Links Gold Shares Covered Call ETN        1,922,249
 123,305   Credit Suisse X-Links Silver Shares Covered Call ETN        937,118
 83,000   Cushing 30 MLP Index ETN          1,531,765
    TOTAL EXCHANGE TRADED NOTES        4,391,132
    (Cost - $4,506,177)          
               
    REAL ESTATE INVESTMENT TRUSTS - 41.99 %        
    LISTED REAL ESTATE INVESTMENT TRUSTS - 5.84 %        
 40,800   American Campus Communities, Inc.        1,636,080
 269,544   Colony Northstar Credit Real Estate, Inc.        5,124,032
 17,673   CoreCivic, Inc.          380,323
 9,660   CoreSite Realty Corp.          1,025,506
 19,440   CyrusOne, Inc.          1,076,587
 45,000   Granite Point Mortgage Trust, Inc.        823,050
 17,450   The GEO Group, Inc.          432,760
    TOTAL LISTED REAL ESTATE INVESTMENT TRUSTS        10,498,338

 

 

Multi-Strategy Growth & Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
May 31, 2018
Shares   Security         Value
               
    NON-LISTED REAL ESTATE INVESTMENT TRUSTS - 22.04 %      
 444,917   American Finance Trust #          $10,182,433
 228,122   Carey Watermark Investors, Inc. #        2,456,408
 290,378   Healthcare Trust, Inc. #          5,746,742
 198,378   Hines Global REIT, Inc. #          1,771,112
 456,540   Hospitality Investor Trust, Inc. # *        6,549,948
 1,081,081   NorthStar Health Care Income, Inc. #        8,545,672
 764,346   N1 Liquidating Trust #          557,973
 388,931   Steadfast Income REIT, Inc. #        3,776,242
    TOTAL NON-LISTED REAL ESTATE INVESTMENT TRUSTS        39,586,530
               
    PRIVATE REAL ESTATE INVESTMENT TRUSTS - 14.11 %        
 7,354   Clarion Lion Industrial Trust #        12,666,630
 661,928   Cottonwood Residential, Inc. #        12,675,922
    TOTAL PRIVATE REAL ESTATE INVESTMENT TRUSTS        25,342,552
               
    TOTAL REAL ESTATE INVESTMENT TRUSTS        75,427,420
    (Cost - $68,687,867)          
               
    NON-LISTED BUSINESS DEVELOPMENT COMPANIES - 8.13 %      
 396,084   Business Development Corporation of America #        3,271,657
 1,005,598   Cion Investment Corp. #          9,412,902
 248,170   Sierra Income Corp. #          1,915,870
    TOTAL NON-LISTED BUSINESS DEVELOPMENT COMPANIES      14,600,429
    (Cost - $15,945,579)          
               
    PRIVATE BUSINESS DEVELOPMENT COMPANIES - 1.93 %      
 228,821   Owl Rock Capital Corp. # (Cost $3,481,113)        3,464,343
               
    PRIVATE INVESTMENT FUNDS - 21.21 %        
 1   AIF SPV, LLC #          -
 13   AIM Infrastructure MLP Fund II LP #        4,106,053
 9,910   Clarion Lion Properties Fund #        14,337,417
 1   Levine Leichtman Capital Partners VI, LP #        1,907,884
 9,076   Mosaic Real Estate Credit, LLC #        10,000,000
 3   Ovation Alternative Income Fund #        7,750,634
    TOTAL PRIVATE INVESTMENT FUNDS        38,101,988
    (Cost - $36,503,984)          
               
    CLOSED-END FUNDS - 9.67 %        
 92,641   Apollo Tactical Income Fund, Inc.        1,468,360
 125,086   BlackRock Debt Strategies Fund, Inc.        1,409,719
 114,153   BlackRock Multi-Sector Income Trust        1,960,007
 58,623   Blackstone/GSO Long-Short Credit Income Fund        981,935
 53,000   Brookfield Real Assets Income Fund, Inc.        1,209,460
 80,314   Cohen & Steers REIT and Preferred Income Fund, Inc.        1,519,541
 98,042   DoubleLine Income Solutions Fund        1,961,820
 40,000   First Trust Energy Income and Growth Fund        910,400
 163,047   Flaherty & Crumrine Dynamic Preferred and Income Fund, Inc.      3,738,668
 71,536   John Hancock Premium Dividend Fund        1,127,407
 78,964   Western Asset Emerging Markets Debt Fund, Inc.        1,071,542
    TOTAL CLOSED-END FUNDS        17,358,859
    (Cost - $17,913,566)          
               
    HEDGE FUND - 15.34 %          
 25,420   Collins Master Access Fund Ltd. # *        27,547,582
    TOTAL HEDGE FUNDS          
    (Cost - $25,677,450)          

 

 

Multi-Strategy Growth & Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
May 31, 2018
Shares   Security         Value
               
    SHORT-TERM INVESTMENT - 0.48 %        
    MONEY MARKET FUND - 0.48 %        
 854,006   Fidelity Investments Money Market Funds - Treasury Portfolio, Class I, 1.56% +  $854,006
    TOTAL SHORT-TERM INVESTMENT        
    (Cost - $854,006)          
               
    TOTAL INVESTMENTS - 107.68 %        
    (Cost - $191,756,952)          $193,401,835
    LIABILITIES IN EXCESS OF OTHER ASSETS  - (7.68) %        (13,799,626)
    NET ASSETS - 100.00 %          $179,602,209
               
LLC - Limited Liability Company          
LP - Limited Partnership          
NV - Naamloze Vennootschap          
REIT - Real Estate Investment Trust          
* Non-income producing security.          
# Fair Value estimated using Fair Valuation Procedures adopted by the Board of Trustees. Total value of such securities is $148,643,424 or 82.76% of net assets.
+ Money market fund; interest rate reflects the seven-day effective yield on May 31, 2018.    

 

Portfolio Composition as of May 31, 2018
 
        Percent of Net Assets    
    Real Estate Investment Trusts      
       Non-Listed Real Estate Investment Trusts 22.04%    
       Private Real Estate Investment Trusts 14.11%    
       Listed Real Estate Investment Trusts 5.84%    
    Private Investment Funds   21.21%    
    Hedge Fund   15.34%    
    Closed End Funds   9.67%    
    Non-Listed Business Development Companies 8.13%    
    Semiconductors   2.60%    
    Exchange Traded Notes   2.44%    
    Listed Business Development Companies 2.05%    
    Private Business Development Companies 1.93%    
    Private Equity   1.16%    
    Short-term Investment   0.48%    
    Entertainment   0.41%    
    Pipelines   0.27%    
    Liabilities In Excess Of Other Assets (7.68)%    
    Net Assets   100.00%    

 

 

Multi-Strategy Growth & Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
May 31, 2018
             
Security Valuation – Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ, at the NASDAQ Official Closing Price (“NOCP”).  In the absence of a sale, such securities shall be valued at the mean of the closing bid and asked prices on the day of valuation.  Short-term investments that mature in 60 days or less may be valued at amortized cost, provided such valuations represent fair value. The Fund follows the specialized accounting and reporting requirements under generally accepted accounting principles in the United States  that are applicable to investment companies.
 
Valuation of Fund of Funds - The Fund may invest in funds of open-end or closed-end investment companies (the “Underlying Funds”).  The Underlying Funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value using the methods established by the board of directors of the Underlying Funds. Open-end funds are valued at their net asset value per share and closed-end fund that trade on an exchange are valued as described under security valuation.
 
When price quotations for certain securities are not readily available, or if the available quotations are not believed to be reflective of market value by the Adviser, those securities will be valued at “fair value” as determined in good faith by the Fair Valuation Committee using procedures adopted by and under the supervision of the Fund’s Board of Trustees (the “Board”). There can be no assurance that the Fund could purchase or sell a portfolio security at the price used to calculate the Fund’s net asset value (“NAV”).
 
Fair valuation procedures may be used to value a substantial portion of the assets of the Fund. The Fund may use the fair value of a security to calculate its NAV when, for example, (1) a portfolio security is not traded in a public market or the principal market in which the security trades is closed, (2) trading in a portfolio security is suspended and not resumed prior to the normal market close, (3) a portfolio security is not traded in significant volume for a substantial period, or (4) the adviser determines that the quotation or price for a portfolio security provided by a broker-dealer or independent pricing service is inaccurate.
 
The “fair value” of securities may be difficult to determine and thus judgment plays a greater role in the valuation process. The fair valuation methodology may include or consider the following guidelines, as appropriate: (1) evaluation of all relevant factors, including but not limited to, pricing history, current market level, supply and demand of the respective security; (2) comparison to the values and current pricing of securities that have comparable characteristics; (3) knowledge of historical market information with respect to the security; (4) other factors relevant to the security which would include, but not be limited to, duration, yield, fundamental analytical data, the Treasury yield curve, and credit quality.
             
The values assigned to fair valued investments are based on available information and do not necessarily represent amounts that might ultimately be realized, since such amounts depend on future developments inherent in long-term investments. Changes in the fair valuation of portfolio securities may be less frequent and of greater magnitude than changes in the price of portfolio securities valued at their last sale price, by an independent pricing service, or based on market quotations. Imprecision in estimating fair value can also impact the amount of unrealized appreciation or depreciation recorded for a particular portfolio security and differences in the assumptions used could result in a different determination of fair value, and those differences could be material.
 
The Fund invests in some securities which are not traded and the Board’s Valuation Committee has established a methodology for fair value of each type of security. Non-traded Real Estate Investment Trusts (“REITs”) that are in the public offering period (or start-up phase) are valued at cost according to management’s fair valuation methodology unless the REIT issues an updated valuation. The Fund generally purchases REITs at NAV or without a commission.  However, start-up REITs amortize a significant portion of their start-up costs and therefore potentially carry additional risks that may impact valuation should the REIT be unable to raise sufficient capital and execute their business plan.  As such, start-up REITs pose a greater risk than seasoned REITs because if they encounter going-concern issues, they may see significant deviation in value from the fair value, cost basis approach as represented.  Management is not aware of any information which would cause a change in cost basis valuation methodology currently being utilized for non-traded REITs in their offering period. Non-traded REITs that are in their offering period are generally categorized as Level 3 in the fair value hierarchy. Once a REIT closes to new investors, the Fund values the security based on the movement of an appropriate market index or a similar security that is publicly traded until the REIT issues an updated market valuation. Non-traded REITs that have closed to new investors are generally categorized in Level 2 of the fair value hierarchy, due to the significance of the effect of the application of the movement of the market index on the overall fair valuation of the REIT. Other non-traded private investments are monitored for any independent audits of the investment or impairments reported on the potential value of the investment. For non-traded private investments that are themselves treated as investment companies under GAAP, the Fund follows the guidance in GAAP that allows, as a practical expedient, the Fund to value such investments at their reported NAV per share (or if not unitized, at an equivalent percentage of the capital of the investee entity). Such investments typically provide an updated NAV or its equivalent on a quarterly basis. The Valuation Committee meets frequently to discuss the valuation methodology and will adjust the value of a security if there is a public update to such valuation.

 

 

Multi-Strategy Growth & Income Fund
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)
May 31, 2018
             
The non-traded Business Development Companies provide quarterly fair value pricing which is used as an indicator of the valuation for the fund. If the value fluctuates, the adviser will provide an updated price. If a significant event occurs that causes a large change in price, the Fair Valuation Committee will call a meeting to evaluate the fair value. Non-traded Business Development Companies are categorized as Level 2 in the fair value hierarchy.
 
The Fund utilizes various methods to measure the fair value of its investments on a recurring basis.  GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:
 
Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the 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 of a security may fall into different levels (Level 1, Level 2 or Level 3) of the fair value hierarchy.  In such cases, for disclosure purposes, the level within which the fair value measurement falls, in its entirety, is determined based on the lowest level input that is significant in its entirety to the fair value measurement.
             
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.  The following tables summarize the inputs used as of May 31, 2018 for the Fund’s assets and liabilities measured at fair value:
 
Assets*          
Investments: Practical Expedient (1) Level 1 Level 2 Level 3 Total
Common Stocks  $                 -     $11,656,076  $                 -     $                 -     $11,656,076
Exchange Traded Notes  -     4,391,132  -     -     4,391,132
Real Estate Investment Trusts  25,342,552  10,498,338  39,586,530  -     75,427,420
Non-Listed Business Development Companies  3,271,657  -     11,328,772  -     14,600,429
Private Business Development Companies  3,464,343  -     -     -     3,464,343
Private Investment Funds  38,101,988  -     -     -     38,101,988
Closed-End Funds  -     17,358,859  -     -     17,358,859
Hedge Fund  27,547,582  -     -     -     27,547,582
Short-Term Investment  -     854,006  -     -     854,006
Total Investments  $97,728,122  $44,758,411  $50,915,302  $                 -     $193,401,835
           
(1)   Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the portfolio of investments.
 
*Refer to the Portfolio of Investments for industry classifications.
There were no transfers between Level 1, Level 2 or Level 3 during the period ended May 31, 2018.
It is the Fund’s policy to record transfers into or out of any Level at the end of the reporting period.
             
The following is the fair value measurement of investments that are measured at Net Asset Value per Share
(or its equivalent) as a practical expedient:
             
Security Description   Industry    Value   Unfunded Commitments   Redemption Frequency   Redemption Notice Period
AIF SPV, LLC   Private Investment Company    $               -       $               -      Quarterly   180 Days
AIM Infrastructure MLP Fund II   Private Investment Company    4,106,053    1,991,250   Quarterly   30-60 Days
Business Development Corp. of America   Non-Listed BDC    3,271,657    -      Quarterly   Notice prior to announcement of Repurchase Offer
Clarion Lion Industrial Trust   REIT    12,666,630    -      Quarterly   90 Days
Clarion Lion Properties Fund   Private Investment Company    14,337,417    -      Quarterly   90 Days
Collins Masters Access Fund, Ltd.   Hedge Fund    27,547,582    -      Subject to advisor approval   30-60 Days
Cottonwood Residential, Inc.   Private Real Estate Investment Trust  12,675,922    -      Subject to advisor approval   90 Days
Levine Leichtman Capital Partners VI, LP   Private Investment Company    1,907,884    7,504,763   Subject to advisor approval   n/a
Mosaic Real Estate Credit, LLC   Private Investment Company    10,000,000    -      Subject to advisor approval   2 year lock up, then annual with 90 Days notice
Owl Rock Capital Corp.   Private BDC    3,464,343    9,437,610   Quarterly   90 Days
Ovation Alternative Income Fund, LP   Private Investment Company    7,750,634    -      Quarterly   180 Days
         $97,728,122    $18,933,623        
                     
Aggregate Unrealized Appreciation and Depreciation - Tax Basis      

 

Tax Cost   Gross Unrealized Appreciation   Gross Unrealized Depreciation   Net Unrealized Appreciation
 $190,449,190    $16,104,521    $(13,151,876)    $2,952,645

 

 

 

Item 2. Controls and Procedures.

 

(a)       The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.

 

(b)       There were no significant changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

 

Certifications required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) (and Item 3 of Form N-Q) are filed 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) Multi-Strategy Growth & Income Fund

 

By (Signature and Title)

 

/s/ Raymond J. Lucia

Raymond J. Lucia, Jr., President

 

Date 07/19/18

 

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/ Raymond J. Lucia

Raymond J. Lucia, Jr., President

 

Date 07/19/18

 

By (Signature and Title)

 

/s/ Felicia Tarantino

Felicia Tarantino, Treasurer

 

Date 07/19/18