ABSOLUTE STRATEGIES FUND
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
DECEMBER 31, 2015 |
|
Shares
|
Security
Description
|
Value
|
Long Positions - 75.6%
|
||||||
Equity Securities - 33.8%
|
||||||
Common Stock - 33.1%
|
||||||
Consumer Discretionary - 3.6%
|
||||||
35,355
|
American Airlines Group, Inc. (a)(b)(c)
|
$
|
1,497,284
|
|||
82,139
|
American Eagle Outfitters, Inc.
|
1,273,155
|
||||
39,620
|
Bed Bath & Beyond, Inc. (a)(c)(d)
|
1,911,665
|
||||
3,012
|
Chipotle Mexican Grill, Inc., Class A (d)
|
1,445,308
|
||||
17,165
|
CVS Health Corp. (a)(c)
|
1,678,222
|
||||
104,222
|
GameStop Corp., Class A (a)
|
2,922,385
|
||||
96,070
|
General Motors Co. (a)(b)
|
3,267,341
|
||||
95,829
|
Green Plains Partners LP
|
1,557,221
|
||||
25,590
|
Harley-Davidson, Inc. (a)(c)
|
1,161,530
|
||||
37,733
|
Iconix Brand Group, Inc. (d)
|
257,716
|
||||
18,345
|
Jack in the Box, Inc. (a)
|
1,407,245
|
||||
42,830
|
Kohl's Corp. (a)(c)
|
2,039,993
|
||||
16,428
|
Lithia Motors, Inc., Class A (a)
|
1,752,375
|
||||
177,968
|
Luby's, Inc. (d)
|
795,517
|
||||
32,020
|
Macy's, Inc. (a)(b)(c)
|
1,120,060
|
||||
13,690
|
McDonald's Corp. (b)
|
1,617,337
|
||||
18,719
|
Sears Holdings Corp. (d)
|
384,863
|
||||
32,485
|
Sony Corp., ADR (a)
|
799,456
|
||||
30,118
|
The Habit Restaurants, Inc., Class A (d)
|
694,521
|
||||
14,920
|
The Walt Disney Co. (a)(c)
|
1,567,794
|
||||
23,273
|
Tractor Supply Co. (a)
|
1,989,841
|
||||
3,000
|
Viacom, Inc., Class B (b)
|
123,480
|
||||
38,332
|
Vitamin Shoppe, Inc. (d)
|
1,253,456
|
||||
23,025
|
Wal-Mart Stores, Inc. (a)(c)
|
1,411,432
|
||||
19,346
|
Zoe's Kitchen, Inc. (d)
|
541,301
|
||||
34,470,498
|
||||||
Consumer Staples - 8.8%
|
||||||
25,000
|
Aggreko PLC
|
335,500
|
||||
100,000
|
Avon Products, Inc.
|
405,000
|
||||
13,690
|
Calavo Growers, Inc.
|
670,810
|
||||
396,778
|
Cott Corp. (a)
|
4,360,590
|
||||
70,000
|
Diageo PLC, ADR
|
7,634,900
|
||||
261,327
|
Everi Holdings, Inc. (a)(d)
|
1,147,226
|
||||
108,000
|
Express Scripts Holding Co. (c)(d)
|
9,440,280
|
||||
60,000
|
Hengan International Group Co., Ltd.
|
565,500
|
||||
189,164
|
Kindred Healthcare, Inc. (a)
|
2,252,943
|
||||
20,000
|
McCormick & Co., Inc., Non-Voting Shares
|
1,711,200
|
||||
130,000
|
Nestle SA, ADR
|
9,674,600
|
||||
91,862
|
Nomad Foods, Ltd. (d)
|
1,083,972
|
||||
39,000
|
PepsiCo, Inc.
|
3,896,880
|
||||
35,594
|
Phibro Animal Health Corp., Class A (a)
|
1,072,447
|
||||
90,000
|
Philip Morris International, Inc.
|
7,911,900
|
||||
36,963
|
Post Holdings, Inc. (a)(d)
|
2,280,617
|
||||
148,000
|
Sanofi, ADR
|
6,312,200
|
||||
55,000
|
Sysco Corp.
|
2,255,000
|
||||
53,000
|
The Coca-Cola Co. (c)
|
2,276,880
|
||||
75,000
|
The Procter & Gamble Co.
|
5,955,750
|
||||
842,401
|
TherapeuticsMD, Inc. (a)(d)
|
8,735,698
|
||||
43,807
|
Tyson Foods, Inc., Class A (a)
|
2,336,227
|
||||
35,594
|
Zoetis, Inc. (a)
|
1,705,665
|
||||
84,021,785
|
||||||
Energy - 3.4%
|
||||||
24,625
|
Baker Hughes, Inc. (a)
|
1,136,444
|
||||
11,863
|
Buckeye Partners LP
|
782,483
|
||||
34,226
|
Cheniere Energy Partners LP (a)
|
892,272
|
||||
61,796
|
Cone Midstream Partners LP (a)
|
608,691
|
||||
10,000
|
ConocoPhillips
|
466,900
|
||||
8,174
|
Diamond Offshore Drilling, Inc. (a)
|
172,471
|
|
Shares
|
Security
Description
|
Value
|
24,548
|
Energy Transfer Partners LP
|
$
|
828,004
|
|||
29,890
|
EnLink Midstream Partners LP
|
495,576
|
||||
48,877
|
Enterprise Products Partners LP
|
1,250,274
|
||||
11,000
|
Exxon Mobil Corp.
|
857,450
|
||||
25,370
|
FMC Technologies, Inc. (a)(d)
|
735,984
|
||||
54,759
|
Green Plains, Inc.
|
1,253,981
|
||||
70,140
|
Halliburton Co. (a)(c)
|
2,387,566
|
||||
26,238
|
MPLX LP
|
1,031,941
|
||||
395
|
National Oilwell Varco, Inc. (a)(c)
|
13,229
|
||||
37,300
|
Noble Corp. PLC
|
393,515
|
||||
10,752
|
NuStar Energy LP
|
431,155
|
||||
28,365
|
NuStar GP Holdings, LLC
|
599,920
|
||||
52,435
|
Schlumberger, Ltd. (a)(c)
|
3,657,341
|
||||
187,209
|
SolarEdge Technologies, Inc. (a)(d)
|
5,273,677
|
||||
18,061
|
Southcross Energy Partners LP
|
64,297
|
||||
315,000
|
Spectra Energy Corp.
|
7,541,100
|
||||
45,904
|
Tallgrass Energy GP LP (a)
|
733,087
|
||||
13,056
|
Valero Energy Partners LP
|
673,820
|
||||
914
|
Western Gas Partners LP
|
43,442
|
||||
32,324,620
|
||||||
Financial - 4.5%
|
||||||
29,115
|
American Express Co. (a)(b)(c)
|
2,024,948
|
||||
68,890
|
American International Group, Inc. (a)(b)(c)
|
4,269,113
|
||||
23,850
|
Aon PLC
|
2,199,209
|
||||
168,725
|
Bank of America Corp. (a)(b)(c)
|
2,839,642
|
||||
2
|
Berkshire Hathaway, Inc., Class A (a)(d)
|
395,600
|
||||
24,125
|
Berkshire Hathaway, Inc., Class B (a)(c)(d)
|
3,185,465
|
||||
100,000
|
Brookfield Asset Management, Inc., Class A
|
3,153,000
|
||||
44,770
|
Citigroup, Inc. (a)(b)
|
2,316,847
|
||||
38,271
|
InfraREIT, Inc. REIT (a)
|
708,014
|
||||
57,750
|
JPMorgan Chase & Co. (a)(b)(c)
|
3,813,232
|
||||
140,820
|
Leucadia National Corp. (a)
|
2,448,860
|
||||
26,000
|
The Bancorp, Inc. (d)
|
165,620
|
||||
185,000
|
The Bank of New York Mellon Corp. (c)
|
7,625,700
|
||||
138,000
|
WR Berkley Corp.
|
7,555,500
|
||||
42,700,750
|
||||||
Healthcare - 0.7%
|
||||||
10,000
|
Becton Dickinson and Co.
|
1,540,900
|
||||
1,200
|
CR Bard, Inc.
|
227,328
|
||||
30,832
|
Gilead Sciences, Inc. (a)
|
3,119,890
|
||||
21,000
|
Johnson & Johnson
|
2,157,120
|
||||
7,045,238
|
||||||
Industrial - 3.9%
|
||||||
332,968
|
Aegean Marine Petroleum Network, Inc. (a)
|
2,783,612
|
||||
88,985
|
Briggs & Stratton Corp. (a)
|
1,539,441
|
||||
6,500
|
CH Robinson Worldwide, Inc.
|
403,130
|
||||
12,729
|
Colfax Corp. (d)
|
297,222
|
||||
103,000
|
Expeditors International of Washington, Inc.
|
4,645,300
|
||||
138,865
|
Jacobs Engineering Group, Inc. (a)(d)
|
5,825,387
|
||||
12,920
|
Precision Castparts Corp. (a)
|
2,997,569
|
||||
283,400
|
Quanta Services, Inc. (a)(d)
|
5,738,850
|
||||
1,932,614
|
Revolution Lighting Technologies, Inc. (d)
|
1,536,428
|
||||
35,085
|
The Boeing Co. (a)(c)
|
5,072,940
|
||||
47,916
|
Trimble Navigation, Ltd. (a)(d)
|
1,027,798
|
||||
43,209
|
Tutor Perini Corp. (a)(d)
|
723,319
|
||||
20,520
|
Union Pacific Corp. (a)(b)(c)
|
1,604,664
|
||||
11,110
|
United Parcel Service, Inc., Class B (a)(c)
|
1,069,115
|
ABSOLUTE STRATEGIES FUND
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
DECEMBER 31, 2015 |
|
Shares
|
Security
Description
|
Value
|
20,735
|
Valmont Industries, Inc. (a)
|
$
|
2,198,325
|
|||||
37,463,100
|
||||||||
Information Technology - 2.2%
|
||||||||
19,235
|
Accenture PLC, Class A (b)(c)
|
2,010,057
|
||||||
45,475
|
Apple, Inc. (a)(c)
|
4,786,698
|
||||||
359,273
|
BlackBerry, Ltd. (a)(d)
|
3,334,053
|
||||||
61,441
|
BroadSoft, Inc. (a)(d)
|
2,172,554
|
||||||
29,000
|
Microsoft Corp.
|
1,608,920
|
||||||
73,000
|
Oracle Corp.
|
2,666,690
|
||||||
3,165
|
QUALCOMM, Inc. (a)(c)
|
158,203
|
||||||
1,670,646
|
Sandvine Corp. (d)
|
4,274,111
|
||||||
21,011,286
|
||||||||
Materials - 2.2%
|
||||||||
17,797
|
Agrium, Inc.
|
1,589,984
|
||||||
25,557
|
CF Industries Holdings, Inc.
|
1,042,981
|
||||||
198,378
|
Constellium NV, Class A (a)(d)
|
1,527,511
|
||||||
40,000
|
Franco-Nevada Corp.
|
1,830,000
|
||||||
18,691
|
Goldcorp, Inc.
|
216,068
|
||||||
17,797
|
Monsanto Co. (a)
|
1,753,360
|
||||||
56,076
|
New Gold, Inc. (d)
|
130,096
|
||||||
51,000
|
Praxair, Inc.
|
5,222,400
|
||||||
200,000
|
Royal Gold, Inc.
|
7,294,000
|
||||||
28,781
|
Westlake Chemical Partners LP (a)
|
638,363
|
||||||
21,244,763
|
||||||||
Telecommunication Services - 3.0%
|
||||||||
2,325
|
Alphabet, Inc., Class A (a)(d)
|
1,808,873
|
||||||
2,255
|
Alphabet, Inc., Class C (a)(b)(c)(d)
|
1,711,274
|
||||||
202,258
|
Attunity, Ltd. (a)(d)
|
2,234,951
|
||||||
52,700
|
CBS Corp., Class B, Non-Voting Shares (a)
|
2,483,751
|
||||||
83,000
|
Cisco Systems, Inc.
|
2,253,865
|
||||||
1,760,385
|
Corindus Vascular Robotics, Inc. (a)(d)
|
5,650,836
|
||||||
265,635
|
Rightside Group, Ltd. (a)(d)
|
2,204,771
|
||||||
124,258
|
Spark Networks, Inc. (a)(d)
|
478,393
|
||||||
245,000
|
Twenty-First Century Fox, Inc., Class B
|
6,671,350
|
||||||
174,421
|
Web.com Group, Inc. (a)(d)
|
3,490,164
|
||||||
28,988,228
|
||||||||
Utilities - 0.8%
|
||||||||
21,915
|
Global Partners LP
|
385,046
|
||||||
161,000
|
ITC Holdings Corp.
|
6,319,250
|
||||||
9,062
|
NiSource, Inc.
|
176,800
|
||||||
8,492
|
Western Gas Equity Partners LP
|
308,175
|
||||||
7,189,271
|
Total Common Stock
(Cost $273,860,640)
|
316,459,539
|
Rate
|
Preferred Stock - 0.7%
|
||||||||||
Energy - 0.1%
|
||||||||||
14,546
|
Kinder Morgan, Inc.
|
9.75
|
%
|
589,840
|
Information Technology - 0.6%
|
||||||||||
6,200
|
Samsung Electronics Co., Ltd.
|
2.00
|
5,768,795
|
Total Preferred Stock
(Cost $6,897,843)
|
6,358,635
|
Total Equity Securities
(Cost $280,758,483)
|
322,818,174
|
Principal
|
Security
Description
|
Rate
|
Maturity
|
Value
|
Fixed Income Securities - 23.3%
|
||||||||||
Asset Backed Obligations - 0.5%
|
||||||||||
%
|
76,777
|
Adjustable Rate Mortgage Trust, Series 2005-12 2A1 (a)(e)
|
2.88
|
%
|
03/25/36
|
$
|
59,950
|
|||
51,443
|
Adjustable Rate Mortgage Trust, Series 2006-1 3A3 (a)(e)
|
2.87
|
03/25/36
|
38,601
|
||||||
150,330
|
Banc of America Alternative Loan Trust, Series 2005-8 2CB1 (a)
|
6.00
|
09/25/35
|
141,788
|
||||||
39,204
|
Banc of America Funding Corp., Series 2006-E 2A1 (a)(e)
|
2.83
|
06/20/36
|
32,529
|
||||||
146,088
|
Banc of America Funding Corp., Series 2006-H 6A1 (a)(e)
|
0.59
|
10/20/36
|
114,512
|
||||||
82,018
|
Banc of America Funding Corp., Series 2007-E 4A1 (a)(e)
|
2.65
|
07/20/47
|
67,351
|
||||||
171,533
|
Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-5 1A1 (a)(e)
|
2.83
|
08/25/47
|
141,114
|
||||||
150,965
|
Bear Stearns ALT-A Trust, Series 2006-2 23A1 (a)(e)
|
2.74
|
03/25/36
|
115,866
|
||||||
255,419
|
ChaseFlex Trust, Series 2007-1 2A9 (a)
|
6.00
|
02/25/37
|
217,328
|
||||||
273,954
|
Citigroup Mortgage Loan Trust, Series 2006-WF1 A2D (a)(f)
|
5.34
|
03/25/36
|
197,353
|
||||||
101,960
|
CitiMortgage Alternative Loan Trust, Series 2006-A7 1A12 (a)
|
6.00
|
12/25/36
|
91,261
|
||||||
39,086
|
CitiMortgage Alternative Loan Trust, Series 2007-A4 1A6 (a)
|
5.75
|
04/25/37
|
33,822
|
||||||
45,290
|
Countrywide Alternative Loan Trust, Series 2005-50CB 1A1 (a)
|
5.50
|
11/25/35
|
44,261
|
||||||
165,274
|
Countrywide Alternative Loan Trust, Series 2005-73CB 1A8 (a)
|
5.50
|
01/25/36
|
158,403
|
ABSOLUTE STRATEGIES FUND
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
DECEMBER 31, 2015 |
Principal
|
Security
Description
|
Rate
|
Maturity
|
Value
|
|||||||||
$
|
441,932
|
Countrywide Alternative Loan Trust, Series 2005-J12 2A1 (a)(e)
|
0.69
|
%
|
08/25/35
|
$
|
298,334
|
||||||
216,473
|
Countrywide Alternative Loan Trust, Series 2006-36T2 1A1 (a)(e)
|
0.74
|
12/25/36
|
130,305
|
|||||||||
19,494
|
Countrywide Alternative Loan Trust, Series 2006-7CB 3A1 (a)
|
5.25
|
05/25/21
|
20,244
|
|||||||||
204,813
|
Countrywide Alternative Loan Trust, Series 2007-16CB 4A7 (a)
|
6.00
|
08/25/37
|
201,959
|
|||||||||
177,531
|
Countrywide Alternative Loan Trust, Series 2007-19 1A34 (a)
|
6.00
|
08/25/37
|
148,226
|
|||||||||
160,458
|
Countrywide Home Loan Mortgage Pass Through Trust, Series 2007-HY3 4A1 (a)(e)
|
5.06
|
06/25/47
|
150,317
|
|||||||||
68,373
|
Countrywide Home Loan Mortgage Pass Through Trust, Series 2007-HY5 1A1 (a)(e)
|
2.88
|
09/25/47
|
60,952
|
|||||||||
52,788
|
Credit Suisse Mortgage Capital Mortgage-Backed Trust, Series 2006-8 3A1 (a)
|
6.00
|
10/25/21
|
51,340
|
|||||||||
190,939
|
Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB2 A5B (a)(f)
|
5.89
|
06/25/36
|
160,658
|
|||||||||
153,515
|
GSR Mortgage Loan Trust, Series 2005-AR5 1A1 (a)(e)
|
2.79
|
10/25/35
|
134,808
|
|||||||||
165,973
|
HSI Asset Loan Obligation Trust, Series 2007-AR2 2A1 (a)(e)
|
2.76
|
09/25/37
|
135,774
|
|||||||||
70,365
|
Indymac Index Mortgage Loan Trust, Series 2006-AR25 3A1 (a)(e)
|
2.92
|
09/25/36
|
52,479
|
Principal
|
Security
Description
|
Rate
|
Maturity
|
Value
|
$
|
127,653
|
Indymac Index Mortgage Loan Trust, Series 2006-AR29 A1 (a)(e)
|
0.59
|
%
|
11/25/36
|
$
|
100,361
|
||||||
170,703
|
Indymac Index Mortgage Loan Trust, Series 2006-AR33 3A1 (a)(e)
|
3.03
|
01/25/37
|
157,706
|
|||||||||
327,441
|
Indymac Index Mortgage Loan Trust, Series 2006-AR7 4A1 (a)(e)
|
2.81
|
05/25/36
|
235,464
|
|||||||||
36,850
|
JP Morgan Mortgage Trust, Series 2007-A2 4A1M (a)(e)
|
4.56
|
04/25/37
|
33,452
|
|||||||||
156,614
|
Lehman XS Trust, Series 2005-6 1A1 (a)(e)
|
0.68
|
11/25/35
|
107,767
|
|||||||||
247,146
|
MASTR Adjustable Rate Mortgages Trust, Series 2007-R5 A1 (a)(e)(g)
|
2.63
|
11/25/35
|
191,240
|
|||||||||
175,880
|
Morgan Stanley Mortgage Loan Trust, Series 2007-13 6A1 (a)
|
6.00
|
10/25/37
|
145,786
|
|||||||||
286,236
|
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2007-1 1A1A (a)(f)
|
6.00
|
03/25/47
|
207,821
|
|||||||||
171,878
|
Residential Accredit Loans, Inc., Series 2006-QS17 A4 (a)
|
6.00
|
12/25/36
|
142,703
|
|||||||||
135,189
|
Residential Accredit Loans, Inc., Series 2007-QS5 A1 (a)
|
5.50
|
03/25/37
|
105,640
|
|||||||||
356,013
|
Residential Asset Securitization Trust, Series 2006-A10 A5 (a)
|
6.50
|
09/25/36
|
258,944
|
|||||||||
1,089,016
|
Residential Asset Securitization Trust, Series 2007-A5 1A2 (a)(e)
|
0.82
|
05/25/37
|
242,103
|
|||||||||
55,100
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2007-3 3A1 (a)(e)
|
2.70
|
04/25/47
|
43,458
|
ABSOLUTE STRATEGIES FUND
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
DECEMBER 31, 2015 |
Principal
|
Security
Description
|
Rate
|
Maturity
|
Value
|
$
|
131,493
|
WaMu Mortgage Pass-Through Certificates, Series 2006-AR16 1A1 (a)(e)
|
2.19
|
%
|
12/25/36
|
$
|
117,533
|
||||||
422,259
|
Washington Mutual Mortgage Pass-Through Certificates, Series 2006-7 A1A (a)(f)
|
4.53
|
09/25/36
|
230,497
|
Total Asset Backed Obligations
(Cost $4,635,402)
|
5,320,010
|
Corporate Convertible Bonds - 14.4%
|
|||||||||||
Consumer Discretionary - 1.0%
|
|||||||||||
4,500,000
|
JAKKS Pacific, Inc. (a)(g)
|
4.25
|
08/01/18
|
4,573,125
|
|||||||
1,600,000
|
JAKKS Pacific, Inc. (a)(g)
|
4.88
|
06/01/20
|
1,556,000
|
|||||||
2,750,000
|
M/I Homes, Inc. (a)
|
3.25
|
09/15/17
|
2,880,625
|
|||||||
9,009,750
|
|||||||||||
Consumer Staples - 3.3%
|
|||||||||||
3,000,000
|
Acorda Therapeutics, Inc.
|
1.75
|
06/15/21
|
3,465,000
|
|||||||
3,000,000
|
Albany Molecular Research, Inc.
|
2.25
|
11/15/18
|
4,050,000
|
|||||||
1,300,000
|
Array BioPharma, Inc.
|
3.00
|
06/01/20
|
1,209,813
|
|||||||
700,000
|
Ascent Capital Group, Inc.
|
4.00
|
07/15/20
|
460,688
|
|||||||
4,250,000
|
Carriage Services, Inc.
|
2.75
|
03/15/21
|
5,028,281
|
|||||||
3,400,000
|
Depomed, Inc. (a)
|
2.50
|
09/01/21
|
3,876,000
|
|||||||
4,000,000
|
Endologix, Inc. (a)
|
2.25
|
12/15/18
|
3,252,500
|
|||||||
3,000,000
|
Healthways, Inc. (a)
|
1.50
|
07/01/18
|
2,850,000
|
|||||||
2,500,000
|
Ironwood Pharmaceuticals, Inc. (a)(g)
|
2.25
|
06/15/22
|
2,340,625
|
|||||||
2,000,000
|
Monster Worldwide, Inc. (a)
|
3.50
|
10/15/19
|
2,550,000
|
|||||||
1,250,000
|
Protalix BioTherapeutics, Inc. (a)
|
4.50
|
09/15/18
|
866,406
|
|||||||
2,500,000
|
The Spectranetics Corp. (a)
|
2.63
|
06/01/34
|
1,893,750
|
|||||||
31,843,063
|
|||||||||||
Energy - 0.9%
|
|||||||||||
2,750,000
|
Clean Energy Fuels Corp. (g)
|
5.25
|
10/01/18
|
1,392,187
|
|||||||
2,000,000
|
Helix Energy Solutions Group, Inc. (a)
|
3.25
|
03/15/32
|
1,586,250
|
Principal
|
Security
Description
|
Rate
|
Maturity
|
Value
|
$
|
2,000,000
|
JinkoSolar Holding Co., Ltd. (a)(g)
|
4.00
|
%
|
02/01/19
|
$
|
1,790,000
|
||||
4,650,000
|
Renewable Energy Group, Inc. (a)
|
2.75
|
06/15/19
|
3,949,594
|
|||||||
8,718,031
|
|||||||||||
Financial - 0.9%
|
|||||||||||
4,900,000
|
Encore Capital Group Inc (a)
|
3.00
|
07/01/20
|
4,201,750
|
|||||||
4,000,000
|
Forestar Group, Inc. (a)
|
3.75
|
03/01/20
|
3,220,000
|
|||||||
2,200,000
|
FXCM, Inc. (a)
|
2.25
|
06/15/18
|
1,551,000
|
|||||||
8,972,750
|
|||||||||||
Healthcare - 0.8%
|
|||||||||||
2,300,000
|
Insulet Corp. (a)
|
2.00
|
06/15/19
|
2,387,688
|
|||||||
5,000,000
|
Quidel Corp. (a)
|
3.25
|
12/15/20
|
4,871,875
|
|||||||
7,259,563
|
|||||||||||
Industrial - 1.9%
|
|||||||||||
3,400,000
|
Altra Industrial Motion Corp.
|
2.75
|
03/01/31
|
3,682,625
|
|||||||
2,250,000
|
Echo Global Logistics, Inc. (a)
|
2.50
|
05/01/20
|
1,980,000
|
|||||||
3,900,000
|
Fluidigm Corp. (a)
|
2.75
|
02/01/34
|
2,452,125
|
|||||||
2,500,000
|
Griffon Corp. (a)(g)
|
4.00
|
01/15/17
|
3,250,000
|
|||||||
2,500,000
|
Kaman Corp. (a)(g)
|
3.25
|
11/15/17
|
3,215,625
|
|||||||
4,000,000
|
TTM Technologies, Inc. (a)
|
1.75
|
12/15/20
|
3,625,000
|
|||||||
18,205,375
|
|||||||||||
Information Technology - 2.4%
|
|||||||||||
3,400,000
|
Avid Technology, Inc. (a)(g)
|
2.00
|
06/15/20
|
2,156,875
|
|||||||
1,600,000
|
Envestnet, Inc. (a)
|
1.75
|
12/15/19
|
1,410,000
|
|||||||
2,500,000
|
GT Advanced Technologies, Inc. (a)(h)
|
3.00
|
12/15/20
|
25,000
|
|||||||
3,300,000
|
inContact, Inc. (a)(g)
|
2.50
|
04/01/22
|
3,120,562
|
|||||||
500,000
|
Inphi Corp. (a)(g)
|
1.13
|
12/01/20
|
478,125
|
|||||||
4,000,000
|
Interactive Intelligence Group, Inc. (a)(g)
|
1.25
|
06/01/20
|
3,307,500
|
|||||||
500,000
|
Nuance Communications, Inc. (a)(g)
|
1.00
|
12/15/35
|
483,438
|
|||||||
3,300,000
|
Photronics, Inc. (a)
|
3.25
|
04/01/16
|
4,026,000
|
|||||||
5,600,000
|
Quantum Corp. (a)
|
4.50
|
11/15/17
|
5,152,000
|
|||||||
2,000,000
|
Rudolph Technologies, Inc. (a)
|
3.75
|
07/15/16
|
2,300,000
|
|||||||
22,459,500
|
|||||||||||
Materials - 1.0%
|
|||||||||||
1,750,000
|
Aceto Corp. (a)(g)
|
2.00
|
11/01/20
|
1,781,719
|
ABSOLUTE STRATEGIES FUND
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
DECEMBER 31, 2015 |
Principal
|
Security
Description
|
Rate
|
Maturity
|
Value
|
$
|
4,100,000
|
Horsehead Holding Corp. (a)
|
3.80
|
%
|
07/01/17
|
$
|
1,071,125
|
||||||
3,624,000
|
Primero Mining Corp.
|
6.50
|
03/31/16
|
3,641,757
|
|||||||||
5,000,000
|
Silver Standard Resources, Inc. (a)(g)
|
2.88
|
02/01/33
|
3,375,000
|
|||||||||
9,869,601
|
|||||||||||||
Telecommunication Services - 1.8%
|
|||||||||||||
1,750,000
|
Alaska Communications Systems Group, Inc.
|
6.25
|
05/01/18
|
1,765,312
|
|||||||||
4,500,000
|
Blucora, Inc.
|
4.25
|
04/01/19
|
3,751,875
|
|||||||||
1,600,000
|
Global Eagle Entertainment, Inc. (a)(g)
|
2.75
|
02/15/35
|
1,353,000
|
|||||||||
2,500,000
|
Harmonic, Inc. (a)(g)
|
4.00
|
12/01/20
|
2,387,500
|
|||||||||
3,000,000
|
InterDigital, Inc. (a)
|
2.50
|
03/15/16
|
3,018,750
|
|||||||||
500,000
|
Pandora Media, Inc. (a)(g)
|
1.75
|
12/01/20
|
533,438
|
|||||||||
4,000,000
|
Web.com Group, Inc. (a)
|
1.00
|
08/15/18
|
3,755,000
|
|||||||||
1,000,000
|
WebMD Health Corp.
|
2.25
|
03/31/16
|
1,003,750
|
|||||||||
17,568,625
|
|||||||||||||
Utilities - 0.4%
|
|||||||||||||
5,800,000
|
EnerNOC, Inc. (a)
|
2.25
|
08/15/19
|
3,396,625
|
Total Corporate Convertible Bonds
(Cost $151,293,992)
|
137,302,883
|
Corporate Non-Convertible Bonds - 5.1%
|
||||||||||||
Consumer Discretionary - 1.1%
|
750,000
|
Caesars Entertainment Resort Properties, LLC
|
8.00
|
10/01/20
|
716,250
|
||||||||
1,250,000
|
GameStop Corp. (g)
|
5.50
|
10/01/19
|
1,235,938
|
||||||||
1,469,000
|
Hanesbrands, Inc. (a)
|
6.38
|
12/15/20
|
1,520,782
|
||||||||
1,000,000
|
K Hovnanian Enterprises, Inc.
|
6.25
|
01/15/16
|
1,002,500
|
||||||||
2,250,000
|
K Hovnanian Enterprises, Inc.
|
8.63
|
01/15/17
|
2,081,250
|
||||||||
829,000
|
L Brands, Inc.
|
8.50
|
06/15/19
|
967,858
|
||||||||
1,590,000
|
MGM Resorts International
|
6.88
|
04/01/16
|
1,607,887
|
||||||||
200,000
|
MGM Resorts International
|
10.00
|
11/01/16
|
211,916
|
||||||||
800,000
|
Royal Caribbean Cruises, Ltd.
|
7.25
|
06/15/16
|
818,664
|
||||||||
10,163,045
|
||||||||||||
Consumer Staples - 0.9%
|
||||||||||||
750,000
|
Avon Products, Inc.
|
6.75
|
03/15/23
|
521,250
|
||||||||
500,000
|
Avon Products, Inc.
|
8.70
|
03/15/43
|
362,500
|
Principal
|
Security
Description
|
Rate
|
Maturity
|
Value
|
$
|
1,700,000
|
Bumble Bee Holdings, Inc. (g)
|
9.00
|
%
|
12/15/17
|
$
|
1,725,500
|
|||||
2,471,000
|
Cenveo Corp. (g)
|
6.00
|
08/01/19
|
1,754,410
|
||||||||
1,512,000
|
ConvaTec Healthcare E SA (g)
|
10.50
|
12/15/18
|
1,527,740
|
||||||||
1,178,000
|
Dean Holding Co. (a)
|
6.90
|
10/15/17
|
1,245,735
|
||||||||
1,750,000
|
Monitronics International, Inc. (a)
|
9.13
|
04/01/20
|
1,395,625
|
||||||||
8,532,760
|
||||||||||||
Energy - 0.3%
|
||||||||||||
1,000,000
|
CONSOL Energy, Inc.
|
5.88
|
04/15/22
|
625,000
|
||||||||
3,350,000
|
Gastar Exploration, Inc.
|
8.63
|
05/15/18
|
1,775,500
|
||||||||
2,400,500
|
||||||||||||
Financial - 0.8%
|
||||||||||||
850,000
|
Ally Financial, Inc.
|
3.13
|
01/15/16
|
850,531
|
||||||||
2,125,000
|
Ally Financial, Inc.
|
3.50
|
07/18/16
|
2,135,625
|
||||||||
795,000
|
iStar, Inc.
|
5.88
|
03/15/16
|
795,994
|
||||||||
1,742,000
|
iStar, Inc.
|
9.00
|
06/01/17
|
1,835,632
|
||||||||
700,000
|
Realogy Group, LLC / Realogy Co-Issuer Corp. (g)
|
4.50
|
04/15/19
|
721,875
|
||||||||
1,750,000
|
Realogy Group, LLC / The Sunshine Group Florida, Ltd. (a)(g)
|
3.38
|
05/01/16
|
1,757,595
|
||||||||
8,097,252
|
||||||||||||
Industrial - 0.3%
|
||||||||||||
1,750,000
|
International Wire Group Holdings, Inc. (g)
|
8.50
|
10/15/17
|
1,793,750
|
||||||||
1,026,000
|
Spirit AeroSystems, Inc.
|
6.75
|
12/15/20
|
1,062,551
|
||||||||
2,856,301
|
||||||||||||
Information Technology - 0.4%
|
||||||||||||
1,729,000
|
EarthLink Holdings Corp.
|
7.38
|
06/01/20
|
1,767,903
|
||||||||
1,664,000
|
First Data Corp. (g)
|
6.75
|
11/01/20
|
1,749,280
|
||||||||
3,517,183
|
||||||||||||
Telecommunication Services - 1.3%
|
||||||||||||
1,300,000
|
Clearwire Communications, LLC / Clearwire Finance, Inc. (g)
|
14.75
|
12/01/16
|
1,439,750
|
||||||||
1,213,000
|
DISH DBS Corp.
|
7.13
|
02/01/16
|
1,217,549
|
||||||||
733,000
|
Entercom Radio, LLC
|
10.50
|
12/01/19
|
762,320
|
||||||||
1,290,000
|
FairPoint Communications, Inc. (g)
|
8.75
|
08/15/19
|
1,275,487
|
||||||||
925,000
|
iHeartCommuni-cations, Inc.
|
9.00
|
12/15/19
|
678,719
|
||||||||
1,024,000
|
Level 3 Financing, Inc. (e)
|
4.10
|
01/15/18
|
1,030,400
|
ABSOLUTE STRATEGIES FUND
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
DECEMBER 31, 2015 |
Principal
|
Security
Description
|
Rate
|
Maturity
|
Value
|
$
|
1,602,000
|
Nielsen Finance LLC / Nielsen Finance Co. (a)
|
4.50
|
%
|
10/01/20
|
$
|
1,632,037
|
|||||||
1,500,000
|
Qwest Corp.
|
8.38
|
05/01/16
|
1,524,375
|
||||||||||
749,000
|
ViaSat, Inc.
|
6.88
|
06/15/20
|
780,833
|
||||||||||
2,300,000
|
Windstream Services, LLC
|
7.88
|
11/01/17
|
2,364,423
|
||||||||||
12,705,893
|
Total Corporate Non-Convertible Bonds
(Cost $51,877,428)
|
48,272,934
|
Exchange Traded Notes - 0.0%
|
|||||||
10,500
|
iPATH S&P 500 VIX Mid-Term Futures ETN (a)(d)
|
116,970
|
Total Exchange Traded Notes
(Cost $430,681)
|
116,970
|
Syndicated Loans - 0.7%
|
|||||||||||
1,444,199
|
Arch Coal, Inc. (e)
|
6.25
|
05/16/18
|
644,835
|
|||||||
1,432,097
|
Atlas Iron, Ltd. (e)
|
8.75
|
12/10/17
|
429,629
|
|||||||
4,000,000
|
Energy Future Intermediate Holding Co., LLC (e)
|
4.25
|
06/19/16
|
3,996,250
|
|||||||
1,363,551
|
WideOpenWest Finance, LLC (e)
|
3.75
|
07/17/17
|
1,328,439
|
Total Syndicated Loans
(Cost $8,233,895)
|
6,399,153
|
U.S. Government & Agency Obligations - 2.6%
|
|||||||||||
U.S. Treasury Securities - 2.6%
|
|||||||||||
25,000,000
|
U.S. Treasury Bill (i)
|
0.18
|
01/07/16
|
24,999,900
|
|||||||
Total U.S. Government & Agency Obligations
(Cost $24,999,250)
|
24,999,900
|
Total Fixed Income Securities
(Cost $241,470,648)
|
222,411,850
|
Shares
|
Security Description
|
Strike Price
|
Exp. Date
|
Value
|
Warrants - 0.0%
|
318,626
|
Kinder Morgan, Inc. (d) (Cost $960,583)
|
$ |
100.00
|
05/25/17
|
19,149
|
Shares
|
Security
Description
|
Value
|
Investment Companies - 11.1%
|
|||||||
1,000
|
Absolute Capital Opportunities Fund (d)(j)
|
10,000
|
|||||
520,535
|
SPDR S&P 500 ETF Trust (a)(c)
|
106,131,881
|
Total Investment Companies
(Cost $59,133,949)
|
106,141,881
|
Principal
|
Security
Description
|
Rate
|
Maturity
|
Value
|
Short-Term Investments - 0.3%
|
|||||||||||
Commercial Paper - 0.3%
|
|||||||||||
2,500,000
|
Harris Corp. (i)
|
0.95
|
01/06/16
|
2,499,670
|
Total Commercial Paper (Cost $2,499,670)
|
2,499,670
|
Total Short-Term Investments
(Cost $2,499,670)
|
2,499,670
|
Shares
|
Security
Description
|
Value
|
Money Market Funds - 6.8%
|
|||||||
52,124,540
|
JP Morgan 100% U.S. Treasury Money Market Fund Cap, 0.00% (e)
|
$
|
52,124,540
|
||||
12,576,044
|
State Street Institutional Treasury Money Market Fund, 0.00% (e)
|
12,576,044
|
|||||
Total Money Market Funds
(Cost $64,700,584)
|
64,700,584
|
Contracts
|
Security
Description
|
Strike
Price
|
Exp.
Date
|
Value
|
Purchased Options - 0.3%
|
||||||||||||
Call Options Purchased - 0.1%
|
||||||||||||
52
|
Baker Hughes, Inc.
|
$
|
60.00
|
01/16
|
806
|
|||||||
125
|
iShares iBoxx $ High Yield Corporate Bond Fund
|
84.00
|
01/16
|
125
|
||||||||
195
|
iShares iBoxx $ High Yield Corporate Bond Fund
|
82.00
|
03/16
|
16,283
|
||||||||
7,415
|
Market Vectors Gold Miners ETF
|
30.00
|
01/16
|
7,415
|
||||||||
4,775
|
Market Vectors Gold Miners ETF
|
25.00
|
01/16
|
4,775
|
||||||||
17,500
|
Market Vectors Gold Miners ETF
|
18.00
|
01/16
|
17,500
|
||||||||
10,000
|
Market Vectors Gold Miners ETF
|
17.00
|
03/16
|
210,000
|
||||||||
10,000
|
Market Vectors Gold Miners ETF
|
15.00
|
03/16
|
580,000
|
||||||||
390
|
SPDR Gold Shares
|
105.00
|
01/16
|
10,530
|
Total Call Options Purchased
(Premiums Paid $4,651,945)
|
847,434
|
Put Options Purchased - 0.2%
|
||||||||||||
20
|
iShares Russell 2000 ETF
|
117.00
|
03/16
|
12,610
|
||||||||
89
|
OmniVision Technologies, Inc.
|
25.00
|
01/17
|
2,447
|
||||||||
15
|
SPDR S&P 500 ETF
|
191.00
|
01/16
|
480
|
||||||||
15
|
SPDR S&P 500 ETF
|
190.00
|
01/16
|
398
|
||||||||
1,688
|
SPDR S&P 500 ETF
|
140.00
|
01/16
|
1,688
|
||||||||
748
|
SPDR S&P 500 ETF
|
200.00
|
01/16
|
130,900
|
||||||||
2,240
|
SPDR S&P 500 ETF
|
200.00
|
02/16
|
763,840
|
||||||||
4,132
|
SPDR S&P 500 ETF
|
195.00
|
02/16
|
931,766
|
||||||||
20
|
SPDR S&P 500 ETF
|
202.00
|
04/16
|
12,310
|
||||||||
35
|
SPDR S&P 500 ETF
|
201.00
|
04/16
|
20,335
|
||||||||
210
|
SPDR S&P 500 ETF
|
198.00
|
04/16
|
103,005
|
||||||||
20
|
SPDR S&P Midcap 400 ETF
|
250.00
|
01/16
|
4,250
|
Total Put Options Purchased
(Premiums Paid $3,507,053)
|
1,984,029
|
ABSOLUTE STRATEGIES FUND
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
DECEMBER 31, 2015 |
Value
|
Total Purchased Options
(Premiums Paid $8,158,998)
|
$
|
2,831,463
|
Total Long Positions - 75.6%
(Cost $657,682,915)*
|
$
|
721,422,771
|
Total Short Positions - (34.0)%
(Proceeds $(368,577,685))*
|
(324,706,712
|
)
|
Total Written Options - (0.5)%
(Premiums Received $(6,141,213))*
|
(4,215,883
|
)
|
Other Assets & Liabilities, Net – 58.9%
|
561,773,820
|
||
Net Assets – 100.0%
|
$
|
954,273,996
|
ABSOLUTE STRATEGIES FUND
|
SCHEDULE OF SECURITIES SOLD SHORT (Unaudited)
|
DECEMBER 31, 2015 |
|
Shares
|
Security
Description
|
Value
|
Short Positions - (34.0)%
|
|||||||
Common Stock - (33.0)%
|
|||||||
Consumer Discretionary - (5.7)%
|
|||||||
(7,779)
|
Autoliv, Inc.
|
$
|
(970,586)
|
||||
(11,499)
|
Cabela's, Inc.
|
(537,348)
|
|||||
(54,116)
|
CarMax, Inc.
|
(2,920,641)
|
|||||
(43,700)
|
Carnival Corp.
|
(2,380,776)
|
|||||
(47,916)
|
Del Frisco's Restaurant Group, Inc.
|
(767,614)
|
|||||
(52,022)
|
Del Taco Restaurants, Inc.
|
(554,034)
|
|||||
(17,824)
|
Fiesta Restaurant Group, Inc.
|
(598,886)
|
|||||
(294,137)
|
Ford Motor Co.
|
(4,144,390)
|
|||||
(53,390)
|
Fox Factory Holding Corp.
|
(882,537)
|
|||||
(51,350)
|
Harley-Davidson, Inc.
|
(2,330,777)
|
|||||
(423,812)
|
JAKKS Pacific, Inc.
|
(3,373,544)
|
|||||
(35,202)
|
La-Z-Boy, Inc.
|
(859,633)
|
|||||
(6,663)
|
Lear Corp.
|
(818,416)
|
|||||
(36,461)
|
LGI Homes, Inc.
|
(887,096)
|
|||||
(16,489)
|
lululemon athletica, Inc.
|
(865,178)
|
|||||
(67,200)
|
M/I Homes, Inc.
|
(1,473,024)
|
|||||
(4,200)
|
McDonald's Corp.
|
(496,188)
|
|||||
(22,045)
|
Mobileye NV
|
(932,063)
|
|||||
(4,100)
|
Mohawk Industries, Inc.
|
(776,499)
|
|||||
(7,206)
|
Netflix, Inc.
|
(824,222)
|
|||||
(52,022)
|
Noodles & Co.
|
(504,093)
|
|||||
(81,454)
|
PetMed Express, Inc.
|
(1,396,122)
|
|||||
(21,375)
|
Polaris Industries, Inc.
|
(1,837,181)
|
|||||
(2,545)
|
Tesla Motors, Inc.
|
(610,825)
|
|||||
(41,810)
|
The Home Depot, Inc.
|
(5,529,372)
|
|||||
(2,170)
|
The Priceline Group, Inc.
|
(2,766,642)
|
|||||
(57,498)
|
Titan International, Inc.
|
(226,542)
|
|||||
(63,500)
|
Tractor Supply Co.
|
(5,429,250)
|
|||||
(12,350)
|
Ulta Salon Cosmetics & Fragrance, Inc.
|
(2,284,750)
|
|||||
(59,550)
|
Under Armour, Inc., Class A
|
(4,800,326)
|
|||||
(7,285)
|
WW Grainger, Inc.
|
(1,475,868)
|
(54,254,423)
|
Consumer Staples - (3.5)%
|
|||||
(46,100)
|
Acorda Therapeutics, Inc.
|
(1,972,158)
|
|||
(143,600)
|
Albany Molecular Research, Inc.
|
(2,850,460)
|
|||
(41,070)
|
Amira Nature Foods, Ltd.
|
(374,148)
|
|||
(16,428)
|
Archer-Daniels-Midland Co.
|
(602,579)
|
|||
(116,400)
|
Array BioPharma, Inc.
|
(491,208)
|
|||
(1,300)
|
Ascent Capital Group, Inc., Class A
|
(21,736)
|
|||
(16,428)
|
B&G Foods, Inc.
|
(575,309)
|
|||
(51,639)
|
Blue Buffalo Pet Products, Inc.
|
(966,166)
|
|||
(132,400)
|
Carriage Services, Inc.
|
(3,190,840)
|
|||
(44,348)
|
Cenveo, Inc.
|
(38,645)
|
|||
(60,235)
|
Darling Ingredients, Inc.
|
(633,672)
|
|||
(35,594)
|
DavidsTea, Inc.
|
(441,010)
|
|||
(131,100)
|
Depomed, Inc.
|
(2,376,843)
|
|||
(40,000)
|
Endologix, Inc.
|
(396,000)
|
|||
(39,100)
|
FleetCor Technologies, Inc.
|
(5,588,563)
|
|||
(9,873)
|
General Mills, Inc.
|
(569,277)
|
|||
(64,300)
|
Healthways, Inc.
|
(827,541)
|
|||
(104,100)
|
Ironwood Pharmaceuticals, Inc.
|
(1,206,519)
|
|||
(296,800)
|
Monster Worldwide, Inc.
|
(1,700,664)
|
|||
(49,729)
|
Nutrisystem, Inc.
|
(1,076,135)
|
|||
(12,617)
|
Pacific Biosciences of California, Inc.
|
(165,661)
|
|||
(24,681)
|
Pilgrim's Pride Corp.
|
(545,203)
|
|||
(82,700)
|
Protalix BioTherapeutics, Inc.
|
(84,354)
|
|||
(21,390)
|
SodaStream International, Ltd.
|
(348,871)
|
|||
(12,321)
|
The Andersons, Inc.
|
(389,713)
|
|||
(52,800)
|
The Estee Lauder Cos., Inc.
|
(4,649,568)
|
|
Shares
|
Security
Description
|
Value
|
||
(27,380)
|
The Fresh Market, Inc.
|
$
|
(641,240)
|
||
(40,200)
|
The Spectranetics Corp.
|
(605,412)
|
|||
(7,135)
|
TreeHouse Foods, Inc.
|
(559,812)
|
|||
(33,889,307)
|
Energy - (0.3)%
|
|||||||
(38,400)
|
Clean Energy Fuels Corp.
|
(138,240)
|
|||||
(25,000)
|
Gastar Exploration, Inc.
|
(32,750)
|
|||||
(13,000)
|
Helix Energy Solutions Group, Inc.
|
(68,380)
|
|||||
(15,050)
|
JinkoSolar Holding Co., Ltd., ADR
|
(416,433)
|
|||||
(264,544)
|
Renewable Energy Group, Inc.
|
(2,457,614)
|
|||||
(2,899)
|
Spectra Energy Partners LP
|
(138,282)
|
(3,251,699)
|
Financial - (8.3)%
|
|||||||
(3,685,000)
|
Agricultural Bank of China, Ltd., Class H
|
(1,507,274)
|
|||||
(44,584)
|
Altisource Portfolio Solutions SA
|
(1,239,881)
|
|||||
(40,000)
|
Ameriprise Financial, Inc.
|
(4,256,800)
|
|||||
(275,450)
|
Bank of America Corp.
|
(4,635,824)
|
|||||
(4,337,000)
|
Bank of China, Ltd., Class H
|
(1,936,248)
|
|||||
(2,117,000)
|
Bank of Communications Co., Ltd., Class H
|
(1,491,451)
|
|||||
(46,176)
|
BofI Holding, Inc.
|
(972,005)
|
|||||
(2,660,000)
|
China CITIC Bank Corp., Ltd., Class H
|
(1,722,982)
|
|||||
(2,830,000)
|
China Construction Bank Corp., Class H
|
(1,938,994)
|
|||||
(1,986,000)
|
China Galaxy Securities Co., Ltd., Class H
|
(1,819,421)
|
|||||
(640,000)
|
China Merchants Bank Co., Ltd., Class H
|
(1,511,216)
|
|||||
(585,000)
|
CITIC Securities Co., Ltd., Class H
|
(1,367,759)
|
|||||
(102,200)
|
Citigroup, Inc.
|
(5,288,850)
|
|||||
(5,302)
|
Credit Acceptance Corp.
|
(1,134,734)
|
|||||
(122,300)
|
Deutsche Bank AG
|
(2,953,545)
|
|||||
(58,800)
|
Encore Capital Group, Inc.
|
(1,709,904)
|
|||||
(173,300)
|
Erste Group Bank AG
|
(5,444,728)
|
|||||
(81,600)
|
Forestar Group, Inc.
|
(892,704)
|
|||||
(1,860)
|
FXCM, Inc., Class A
|
(31,118)
|
|||||
(2,660,000)
|
Industrial & Commercial Bank of China, Ltd., Class H
|
(1,606,286)
|
|||||
(1,861,500)
|
Intesa Sanpaolo SpA
|
(6,246,977)
|
|||||
(574,000)
|
Nordea Bank AB
|
(6,344,194)
|
|||||
(276,675)
|
OTP Bank PLC
|
(5,720,361)
|
|||||
(280,500)
|
Swedbank AB, Class A
|
(6,217,125)
|
|||||
(145,200)
|
The Charles Schwab Corp.
|
(4,781,436)
|
|||||
(1,089,764)
|
UniCredit SpA
|
(6,081,385)
|
(78,853,202)
|
Healthcare - (0.3)%
|
|||||||
(27,700)
|
Insulet Corp.
|
(1,047,337)
|
|||||
(78,600)
|
Quidel Corp.
|
(1,666,320)
|
(2,713,657)
|
Industrial - (7.9)%
|
|||||
(12,547)
|
3M Co.
|
(1,890,080)
|
|||
(10,952)
|
AGCO Corp.
|
(497,111)
|
|||
(72,900)
|
Altra Industrial Motion Corp.
|
(1,828,332)
|
|||
(174,900)
|
Atlas Copco AB, Class A
|
(4,317,879)
|
|||
(68,150)
|
Caterpillar, Inc.
|
(4,631,474)
|
|||
(82,139)
|
CNH Industrial NV
|
(561,831)
|
|||
(9,584)
|
Deere & Co.
|
(730,972)
|
ABSOLUTE STRATEGIES FUND
|
SCHEDULE OF SECURITIES SOLD SHORT (Unaudited)
|
DECEMBER 31, 2015 |
|
Shares
|
Security
Description
|
Value
|
||
(82,807)
|
Eaton Corp. PLC
|
$
|
(4,309,276)
|
||
(28,900)
|
Echo Global Logistics, Inc.
|
(589,271)
|
|||
(20,900)
|
Fluidigm Corp.
|
(225,929)
|
|||
(51,000)
|
Fluor Corp.
|
(2,408,220)
|
|||
(23,743)
|
Garmin, Ltd.
|
(882,527)
|
|||
(115,500)
|
General Electric Co.
|
(3,597,825)
|
|||
(147,321)
|
Griffon Corp.
|
(2,622,314)
|
|||
(3,112)
|
Huntington Ingalls Industries, Inc.
|
(394,757)
|
|||
(48,800)
|
IDEX Corp.
|
(3,738,568)
|
|||
(58,390)
|
Kaman Corp.
|
(2,382,896)
|
|||
(254,700)
|
Sandvik AB
|
(2,234,277)
|
|||
(147,390)
|
Sensata Technologies Holding NV
|
(6,788,784)
|
|||
(133,500)
|
Spirit AeroSystems Holdings, Inc., Class A
|
(6,684,345)
|
|||
(127,500)
|
Textron, Inc.
|
(5,356,275)
|
|||
(36,700)
|
The Boeing Co.
|
(5,306,453)
|
|||
(52,400)
|
The Middleby Corp.
|
(5,652,388)
|
|||
(264,200)
|
TTM Technologies, Inc.
|
(1,719,942)
|
|||
(6,846)
|
Valmont Industries, Inc.
|
(725,813)
|
|||
(12,693)
|
Wabtec Corp.
|
(902,726)
|
|||
(89,500)
|
Wartsila OYJ Abp
|
(4,099,682)
|
|||
(75,079,947)
|
Information Technology - (5.1)%
|
|||||||
(135,500)
|
ACI Worldwide, Inc.
|
(2,899,700)
|
|||||
(24,850)
|
Akamai Technologies, Inc.
|
(1,307,855)
|
|||||
(14,375)
|
Alliance Data Systems Corp.
|
(3,975,694)
|
|||||
(31,161)
|
Appfolio, Inc., Class A
|
(454,951)
|
|||||
(44,600)
|
Apple, Inc.
|
(4,694,596)
|
|||||
(47,350)
|
Autodesk, Inc.
|
(2,885,035)
|
|||||
(71,100)
|
Avid Technology, Inc.
|
(518,319)
|
|||||
(35,315)
|
Benefitfocus, Inc.
|
(1,285,113)
|
|||||
(42,618)
|
Callidus Software, Inc.
|
(791,416)
|
|||||
(20,063)
|
Computer Programs & Systems, Inc.
|
(998,134)
|
|||||
(37,300)
|
Cornerstone OnDemand, Inc.
|
(1,287,969)
|
|||||
(36,735)
|
Cree, Inc.
|
(979,722)
|
|||||
(68,065)
|
Demandware, Inc.
|
(3,673,468)
|
|||||
(9,010)
|
Envestnet, Inc.
|
(268,949)
|
|||||
(72,366)
|
Fortinet, Inc.
|
(2,255,648)
|
|||||
(98,888)
|
Glu Mobile, Inc.
|
(240,298)
|
|||||
(136,090)
|
inContact, Inc.
|
(1,298,299)
|
|||||
(5,700)
|
Inphi Corp.
|
(154,014)
|
|||||
(41,846)
|
Interactive Intelligence Group, Inc.
|
(1,314,801)
|
|||||
(46,643)
|
MINDBODY, Inc., Class A
|
(705,709)
|
|||||
(12,396)
|
MTS Systems Corp.
|
(786,030)
|
|||||
(35,864)
|
NetApp, Inc.
|
(951,472)
|
|||||
(20,800)
|
NetSuite, Inc.
|
(1,760,096)
|
|||||
(11,100)
|
Nuance Communications, Inc.
|
(220,779)
|
|||||
(59,051)
|
OmniVision Technologies, Inc.
|
(1,713,660)
|
|||||
(21,677)
|
Open Text Corp.
|
(1,038,979)
|
|||||
(283,700)
|
Photronics, Inc.
|
(3,532,065)
|
|||||
(53,642)
|
PROS Holdings, Inc.
|
(1,235,912)
|
|||||
(1,553,300)
|
Quantum Corp.
|
(1,444,569)
|
|||||
(100,265)
|
Rudolph Technologies, Inc.
|
(1,425,768)
|
|||||
(27,829)
|
Silicon Graphics International Corp.
|
(164,191)
|
|||||
(19,300)
|
Tableau Software, Inc., Class A
|
(1,818,446)
|
|||||
(7,188)
|
VeriSign, Inc.
|
(627,944)
|
(48,709,601)
|
Materials - (0.5)%
|
|||||
(32,200)
|
Aceto Corp.
|
(868,756)
|
|||
(87,615)
|
AgroFresh Solutions, Inc.
|
(554,603)
|
|||
(53,390)
|
American Vanguard Corp.
|
(747,994)
|
|||
(47,107)
|
CVR Partners LP
|
(377,327)
|
|
Shares
|
Security
Description
|
Value
|
||
(106,500)
|
Horsehead Holding Corp.
|
$
|
(218,325)
|
||
(32,856)
|
Platform Specialty Products Corp.
|
(421,542)
|
|||
(23,036)
|
Potash Corp. of Saskatchewan, Inc.
|
(394,376)
|
|||
(102,200)
|
Silver Standard Resources, Inc.
|
(529,396)
|
|||
(15,467)
|
The Mosaic Co.
|
(426,735)
|
|||
(4,539,054)
|
Telecommunication Services - (1.4)%
|
|||||||
(40,919)
|
Aerohive Networks, Inc.
|
(209,096)
|
|||||
(3,500)
|
Alaska Communications Systems Group, Inc.
|
(6,125)
|
|||||
(54,500)
|
Blucora, Inc.
|
(534,100)
|
|||||
(74,800)
|
Discovery Communications, Inc., Class A
|
(1,995,664)
|
|||||
(41,100)
|
Global Eagle Entertainment, Inc.
|
(405,657)
|
|||||
(58,626)
|
GrubHub, Inc.
|
(1,418,749)
|
|||||
(302,000)
|
Harmonic, Inc.
|
(1,229,140)
|
|||||
(5,200)
|
InterDigital, Inc.
|
(255,008)
|
|||||
(79,207)
|
Match Group, Inc.
|
(1,073,255)
|
|||||
(118,382)
|
Pandora Media, Inc.
|
(1,587,503)
|
|||||
(69,236)
|
RetailMeNot, Inc.
|
(686,821)
|
|||||
(21,114)
|
Splunk, Inc.
|
(1,241,714)
|
|||||
(89,355)
|
TrueCar, Inc.
|
(852,447)
|
|||||
(40,570)
|
Twitter, Inc.
|
(938,790)
|
|||||
(33,800)
|
Web.com Group, Inc.
|
(676,338)
|
(13,110,407)
|
Utilities - (0.0)%
|
|||||||
(74,000)
|
EnerNOC, Inc.
|
(284,900)
|
Total Common Stock
(Proceeds $(358,694,102))
|
(314,686,197)
|
Investment Companies - (1.0)%
|
|||||||
(10,076)
|
iShares 20+ Year Treasury Bond ETF
|
(1,215,367)
|
|||||
(2,435)
|
iShares U.S. Real Estate ETF
|
(182,893)
|
|||||
(7,328)
|
SPDR Barclays High Yield Bond ETF
|
(248,493)
|
|||||
(41,070)
|
SPDR S&P 500 ETF Trust
|
(8,373,762)
|
Total Investment Companies
(Proceeds $(9,883,583))
|
(10,020,515)
|
Total Short Positions - (34.0)%
(Proceeds $(368,577,685))
|
$
|
(324,706,712)
|
ABSOLUTE STRATEGIES FUND
|
SCHEDULE OF CALL AND PUT OPTIONS WRITTEN (Unaudited)
|
DECEMBER 31, 2015 |
Contracts
|
Security
Description
|
Strike
Price
|
Exp.
Date
|
Value
|
Written Options - (0.5)%
|
Call Options Written - (0.2)%
|
|||||||||
(191)
|
Accenture PLC, Class A
|
$
|
100.00
|
01/16
|
$
|
(95,500)
|
|||
(21)
|
Alphabet, Inc., Class C
|
545.00
|
01/16
|
(453,705)
|
|||||
(353)
|
American Airlines Group, Inc.
|
50.00
|
01/17
|
(105,194)
|
|||||
(163)
|
American Express Co.
|
100.00
|
01/16
|
(163)
|
|||||
(435)
|
American International Group, Inc.
|
55.00
|
01/16
|
(328,425)
|
|||||
(816)
|
Bank of America Corp.
|
22.00
|
01/16
|
(816)
|
|||||
(296)
|
Citigroup, Inc.
|
65.00
|
01/16
|
(296)
|
|||||
(148)
|
Colgate-Palmolive Co.
|
75.00
|
01/16
|
(148)
|
|||||
(75)
|
Costco Wholesale Corp.
|
155.00
|
01/16
|
(64,725)
|
|||||
(623)
|
General Motors Co.
|
42.00
|
01/16
|
(623)
|
|||||
(125)
|
iShares iBoxx $ High Yield Corporate Bond Fund
|
85.00
|
01/16
|
(125)
|
|||||
(70)
|
iShares iBoxx $ High Yield Corporate Bond Fund
|
84.00
|
03/16
|
(2,100)
|
|||||
(125)
|
iShares iBoxx $ High Yield Corporate Bond Fund
|
83.00
|
03/16
|
(6,875)
|
|||||
(372)
|
JPMorgan Chase & Co.
|
70.00
|
01/16
|
(2,976)
|
|||||
(150)
|
Lowe's Cos., Inc.
|
75.00
|
01/16
|
(26,325)
|
|||||
(219)
|
Macy's, Inc.
|
40.00
|
01/17
|
(61,320)
|
|||||
(17)
|
McDonald's Corp.
|
105.00
|
01/16
|
(22,823)
|
|||||
(150)
|
Nike, Inc., Class B
|
52.50
|
01/16
|
(156,375)
|
|||||
(23)
|
The Sherwin-Williams Co.
|
300.00
|
01/16
|
(23)
|
|||||
(205)
|
Union Pacific Corp.
|
90.00
|
01/17
|
(60,680)
|
|||||
(123)
|
Viacom, Inc., Class B
|
80.00
|
01/16
|
(123)
|
|||||
(165)
|
Walter Energy, Inc.
|
1.00
|
01/16
|
(165)
|
|||||
(75)
|
Yum! Brands, Inc.
|
80.00
|
01/16
|
(1,200)
|
Total Call Options Written
(Premiums Received $(1,104,870))
|
(1,390,705)
|
||||||||
Put Options Written - (0.3)%
|
|||||||||
(254)
|
Abbott Laboratories
|
42.00
|
01/16
|
(3,810)
|
|||||
(129)
|
Accenture PLC, Class A
|
82.50
|
01/16
|
(129)
|
|||||
(21)
|
Alphabet, Inc., Class C
|
470.00
|
01/16
|
(21)
|
|||||
(282)
|
American Airlines Group, Inc.
|
30.00
|
01/17
|
(49,068)
|
Contracts
|
Security
Description
|
Strike
Price
|
Exp.
Date
|
Value
|
(125)
|
American Express Co.
|
$
|
82.50
|
01/16
|
$
|
(163,125)
|
||||
(530)
|
American International Group, Inc.
|
40.00
|
01/17
|
(42,930)
|
||||||
(12)
|
Apple, Inc.
|
135.00
|
01/16
|
(35,670)
|
||||||
(991)
|
Bank of America Corp.
|
12.00
|
01/16
|
(991)
|
||||||
(157)
|
Bed Bath & Beyond, Inc.
|
70.00
|
01/16
|
(337,942)
|
||||||
(155)
|
Berkshire Hathaway, Inc., Class B
|
135.00
|
01/16
|
(52,700)
|
||||||
(353)
|
CarMax, Inc.
|
57.50
|
01/16
|
(127,080)
|
||||||
(492)
|
Corning, Inc.
|
20.00
|
01/16
|
(85,116)
|
||||||
(118)
|
CVS Health Corp.
|
87.50
|
01/16
|
(1,534)
|
||||||
(83)
|
Ensco PLC
|
35.00
|
01/16
|
(163,510)
|
||||||
(136)
|
Express Scripts Holding Co.
|
72.50
|
01/16
|
(952)
|
||||||
(476)
|
General Electric Co.
|
23.00
|
01/16
|
(476)
|
||||||
(261)
|
Halliburton Co.
|
45.00
|
01/16
|
(287,100)
|
||||||
(101)
|
Harley-Davidson, Inc.
|
50.00
|
01/16
|
(46,460)
|
||||||
(73)
|
International Business Machines Corp.
|
140.00
|
01/16
|
(23,360)
|
||||||
(20)
|
iShares Russell 2000 ETF
|
102.00
|
03/16
|
(2,640)
|
||||||
(287)
|
Joy Global, Inc.
|
15.00
|
01/17
|
(123,410)
|
||||||
(150)
|
JPMorgan Chase & Co.
|
50.00
|
01/16
|
(300)
|
||||||
(126)
|
Kohl's Corp.
|
57.50
|
01/16
|
(120,960)
|
||||||
(207)
|
Kohl's Corp.
|
50.00
|
01/16
|
(55,890)
|
||||||
(157)
|
Kohl's Corp.
|
45.00
|
01/16
|
(7,065)
|
||||||
(219)
|
Macy's, Inc.
|
30.00
|
01/17
|
(67,890)
|
||||||
(152)
|
National Oilwell Varco, Inc.
|
60.00
|
01/16
|
(403,180)
|
||||||
(125)
|
QUALCOMM, Inc.
|
67.50
|
01/16
|
(217,000)
|
||||||
(143)
|
Schlumberger, Ltd.
|
70.00
|
01/16
|
(22,308)
|
||||||
(2,582)
|
SPDR S&P 500 ETF
|
183.00
|
01/16
|
(30,984)
|
||||||
(15)
|
SPDR S&P 500 ETF
|
180.00
|
01/16
|
(120)
|
||||||
(15)
|
SPDR S&P 500 ETF
|
179.00
|
01/16
|
(105)
|
||||||
(19)
|
SPDR S&P 500 ETF
|
188.00
|
04/16
|
(5,292)
|
||||||
(118)
|
SPDR S&P 500 ETF
|
183.00
|
04/16
|
(24,839)
|
||||||
(20)
|
SPDR S&P 500 ETF
|
182.00
|
04/16
|
(3,980)
|
||||||
(73)
|
SPDR S&P 500 ETF
|
178.00
|
04/16
|
(11,643)
|
||||||
(35)
|
SPDR S&P 500 ETF
|
174.00
|
04/16
|
(4,445)
|
||||||
(20)
|
SPDR S&P Midcap 400 ETF
|
220.00
|
01/16
|
(20)
|
||||||
(299)
|
Target Corp.
|
67.50
|
01/16
|
(6,279)
|
||||||
(367)
|
The Bank of New York Mellon Corp.
|
32.00
|
01/16
|
(2,202)
|
||||||
(181)
|
The Boeing Co.
|
110.00
|
01/16
|
(724)
|
||||||
(532)
|
The Coca-Cola Co.
|
40.00
|
01/16
|
(3,192)
|
ABSOLUTE STRATEGIES FUND
|
SCHEDULE OF CALL AND PUT OPTIONS WRITTEN (Unaudited)
|
DECEMBER 31, 2015 |
Contracts
|
Security
Description
|
Strike
Price
|
Exp.
Date
|
Value
|
(89)
|
The Walt Disney Co.
|
$
|
85.00
|
01/16
|
$
|
(534)
|
|||||
(78)
|
Time Warner, Inc.
|
72.50
|
01/16
|
(60,840)
|
|||||||
(205)
|
Union Pacific Corp.
|
65.00
|
01/17
|
(70,725)
|
|||||||
(103)
|
United Parcel Service, Inc., Class B
|
100.00
|
01/16
|
(41,200)
|
|||||||
(369)
|
Verizon Communications, Inc.
|
43.00
|
01/16
|
(3,690)
|
|||||||
(301)
|
Walgreens Boots Alliance, Inc.
|
70.00
|
01/16
|
(1,505)
|
|||||||
(59)
|
Wal-Mart Stores, Inc.
|
80.00
|
01/16
|
(109,150)
|
|||||||
(273)
|
Wells Fargo & Co.
|
47.00
|
01/16
|
(1,092)
|
Total Put Options Written
(Premiums Received $(5,036,343))
|
(2,825,178)
|
Total Written Options - (0.5)%
(Premiums Received $(6,141,213))
|
$
|
(4,215,883)
|
ABSOLUTE STRATEGIES FUND
|
NOTES TO SCHEDULES OF INVESTMENTS, SECURITIES SOLD SHORT AND CALL AND PUT OPTIONS WRITTEN (Unaudited)
|
DECEMBER 31, 2015 |
ADR
|
American Depositary Receipt
|
ETF
|
Exchange Traded Fund
|
ETN
|
Exchange Traded Note
|
LLC
|
Limited Liability Company
|
LP
|
Limited Partnership
|
PLC
|
Public Limited Company
|
REIT
|
Real Estate Investment Trust
|
(a)
|
All or a portion of this security is held as collateral for securities sold short.
|
(b)
|
Subject to call option written by the Fund.
|
(c)
|
Subject to put option written by the Fund.
|
(d)
|
Non-income producing security.
|
(e)
|
Variable rate security. Rate presented is as of December 31, 2015.
|
(f)
|
Debt obligation initially issued at one coupon rate which converts to higher coupon rate at a specified date. Rate presented is as of December 31, 2015.
|
(g)
|
Security exempt from registration under Rule 144A under the Securities Act of 1933. At the period end, the value of these securities amounted to $52,267,284 or 5.5% of net assets.
|
(h)
|
Security is currently in default and is on scheduled interest or principal payment.
|
(i)
|
Rate presented is yield to maturity.
|
(j)
|
Affiliated Company.
|
Counterparty
|
Reference Entity / Obligation
|
Pays Rate
|
Termination Date
|
Credit Spread as of 12/31/15(1)
|
Notional Amount
|
Net Unrealized Appreciation (Depreciation)
|
|||||||||||||
Barclays
|
Eastman Chemical Co, 7.60%, 02/01/27
|
1.00%
|
12/20/20
|
0.85%
|
$
|
5,000,000
|
$
|
(47,102
|
)
|
||||||||||
Barclays
|
Macy's Inc, 7.45%, 07/15/17
|
1.00
|
12/20/20
|
2.02
|
10,000,000
|
310,085
|
|||||||||||||
Barclays
|
Marriott International, 3.00%, 03/01/19
|
1.00
|
12/20/20
|
0.45
|
5,000,000
|
(39,443
|
)
|
||||||||||||
Barclays
|
Nordstrom Inc, 6.95%, 03/15/28
|
1.00
|
12/20/20
|
0.76
|
5,000,000
|
41,295
|
|||||||||||||
Barclays
|
Xerox Corp, 6.35%, 05/15/18
|
1.00
|
12/20/20
|
1.56
|
5,000,000
|
39,505
|
|||||||||||||
BNP Paribas
|
Dow Chemical Co, 7.38%, 11/01/29
|
1.00
|
12/20/20
|
0.74
|
5,000,000
|
(50,786
|
)
|
||||||||||||
BNP Paribas
|
Host Hotels & Resorts, Inc., 4.75%, 03/01/23
|
1.00
|
12/20/20
|
1.38
|
10,000,000
|
(8,248
|
)
|
||||||||||||
BNP Paribas
|
Pitney Bowes Inc, 6.75%, 03/15/19
|
1.00
|
12/20/20
|
1.08
|
5,000,000
|
(70,877
|
)
|
||||||||||||
BNP Paribas
|
Ryder System, Inc., 2.55%, 06/01/19
|
1.00
|
12/20/20
|
1.04
|
10,000,000
|
228,142
|
|||||||||||||
Goldman Sachs & Co.
|
Dow Chemical Co, 7.38%, 11/01/29
|
1.00
|
12/20/20
|
0.74
|
5,000,000
|
(12,398
|
)
|
||||||||||||
Goldman Sachs & Co.
|
Eastman Chemical Co, 7.60%, 02/01/27
|
1.00
|
12/20/20
|
0.85
|
5,000,000
|
(23,694
|
)
|
||||||||||||
Goldman Sachs & Co.
|
Nordstrom Inc, 6.95%, 03/15/28
|
1.00
|
12/20/20
|
0.76
|
5,000,000
|
(18,906
|
)
|
||||||||||||
Goldman Sachs & Co.
|
Pitney Bowes Inc, 6.75%, 03/15/19
|
1.00
|
12/20/20
|
1.08
|
5,000,000
|
(36,700
|
)
|
||||||||||||
Goldman Sachs & Co.
|
Ryder System, Inc., 2.55%, 06/01/19
|
1.00
|
12/20/20
|
1.04
|
10,000,000
|
213,732
|
|||||||||||||
Morgan Stanley
|
GATX Crop, 6.00%, 02/15/18
|
1.00
|
12/20/20
|
1.48
|
5,000,000
|
33,171
|
|||||||||||||
$
|
557,776
|
(1)
|
Credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract.
|
ABSOLUTE STRATEGIES FUND
|
NOTES TO SCHEDULES OF INVESTMENTS, SECURITIES SOLD SHORT AND CALL AND PUT OPTIONS WRITTEN (Unaudited)
|
DECEMBER 31, 2015 |
|
At December 31, 2015, the Fund held the following futures contracts:
|
Contracts
|
Type
|
Expiration Date
|
Notional Contract Value
|
Net Unrealized Depreciation
|
200
|
Gold 100 oz. Future
|
03/04/16
|
$
|
21,580,800
|
$
|
(376,800
|
)
|
||||||
300
|
Silver Future
|
04/06/16
|
21,317,276
|
(612,776
|
)
|
(2,400
|
)
|
NASDAQ 100 E-Mini Future
|
03/22/16
|
(221,752,160
|
)
|
1,540,160
|
|||||||
(1,800
|
)
|
S&P 500 Emini Future
|
03/22/16
|
(184,355,103
|
)
|
1,160,103
|
|||||||
(30
|
)
|
U.S. 10-year Treasury Note Future
|
04/06/16
|
(3,794,532
|
)
|
17,345
|
|||||||
(110
|
)
|
U.S. 5-year Treasury Note Future
|
04/11/16
|
(13,055,625
|
)
|
40,391
|
$
|
(380,059,344
|
)
|
$
|
1,768,423
|
Investment Company
|
||||||||||||||||||||||
Absolute Capital Opportunities Fund
|
Balance 03/31/15
|
Gross Additions
|
Gross Reductions
|
Balance 12/31/15
|
Realized Loss
|
Investment Income
|
||||||||||||||||
Shares/Principal
|
-
|
1,000
|
-
|
1,000
|
||||||||||||||||||
Cost
|
$
|
-
|
$
|
10,000
|
$
|
-
|
$
|
10,000
|
$
|
-
|
$
|
-
|
||||||||||
Proceeds
|
-
|
-
|
-
|
|||||||||||||||||||
Value
|
-
|
10,000
|
-
|
10,000
|
*
|
Cost for federal income tax purposes is substantially the same as for financial statement purposes and net unrealized appreciation consists of:
|
Gross Unrealized Appreciation
|
$
|
168,332,996
|
||
Gross Unrealized Depreciation
|
(58,796,837
|
)
|
||
Net Unrealized Appreciation
|
$
|
109,536,159
|
ABSOLUTE STRATEGIES FUND
|
NOTES TO SCHEDULES OF INVESTMENTS, SECURITIES SOLD SHORT AND CALL AND PUT OPTIONS WRITTEN (Unaudited)
|
DECEMBER 31, 2015 |
Level 1
|
Level 2
|
Level 3
|
Total
|
Assets
|
||||||||||||||||
Investments At Value
|
||||||||||||||||
Common Stock
|
||||||||||||||||
Consumer Discretionary
|
$
|
34,470,498
|
$
|
-
|
$
|
-
|
$
|
34,470,498
|
||||||||
Consumer Staples
|
84,021,785
|
-
|
-
|
84,021,785
|
||||||||||||
Energy
|
32,324,620
|
-
|
-
|
32,324,620
|
||||||||||||
Financial
|
42,700,750
|
-
|
-
|
42,700,750
|
||||||||||||
Healthcare
|
7,045,238
|
-
|
-
|
7,045,238
|
||||||||||||
Industrial
|
37,463,100
|
-
|
-
|
37,463,100
|
||||||||||||
Information Technology
|
21,011,286
|
-
|
-
|
21,011,286
|
||||||||||||
Materials
|
21,244,763
|
-
|
-
|
21,244,763
|
||||||||||||
Telecommunication Services
|
28,988,228
|
-
|
-
|
28,988,228
|
||||||||||||
Utilities
|
7,189,271
|
-
|
-
|
7,189,271
|
||||||||||||
Preferred Stock
|
||||||||||||||||
Energy
|
-
|
589,840
|
-
|
589,840
|
||||||||||||
Information Technology
|
5,768,795
|
-
|
-
|
5,768,795
|
||||||||||||
Asset Backed Obligations
|
-
|
5,320,010
|
-
|
5,320,010
|
||||||||||||
Corporate Convertible Bonds
|
-
|
137,302,883
|
-
|
137,302,883
|
||||||||||||
Corporate Non-Convertible Bonds
|
-
|
48,272,934
|
-
|
48,272,934
|
||||||||||||
Exchange Traded Notes
|
116,970
|
-
|
-
|
116,970
|
||||||||||||
Syndicated Loans
|
-
|
6,399,153
|
-
|
6,399,153
|
||||||||||||
U.S. Government & Agency Obligations
|
-
|
24,999,900
|
-
|
24,999,900
|
||||||||||||
Warrants
|
19,149
|
-
|
-
|
19,149
|
||||||||||||
Investment Companies
|
106,141,881
|
-
|
-
|
106,141,881
|
||||||||||||
Commercial Paper
|
-
|
2,499,670
|
-
|
2,499,670
|
||||||||||||
Money Market Funds
|
-
|
64,700,584
|
-
|
64,700,584
|
||||||||||||
Purchased Options
|
814,373
|
2,017,090
|
-
|
2,831,463
|
||||||||||||
Total Investments At Value
|
$
|
429,320,707
|
$
|
292,102,064
|
$
|
-
|
$
|
721,422,771
|
Other Financial Instruments**
|
Credit Default Swaps
|
-
|
865,930
|
-
|
865,930
|
||||||||||||
Futures
|
2,757,999
|
-
|
-
|
2,757,999
|
||||||||||||
Total Other Financial Instruments**
|
$
|
2,757,999
|
$
|
865,930
|
$
|
-
|
$
|
3,623,929
|
Total Assets
|
$
|
432,078,706
|
$
|
292,967,994
|
$
|
-
|
$
|
725,046,700
|
Liabilities
|
Securities Sold Short
|
Common Stock
|
$
|
(314,686,197
|
)
|
$
|
-
|
$
|
-
|
$
|
(314,686,197
|
)
|
|||||||
Investment Companies
|
(10,020,515
|
)
|
-
|
-
|
(10,020,515
|
)
|
|||||||||||
Total Securities Sold Short
|
$
|
(324,706,712
|
)
|
$
|
-
|
$
|
-
|
$
|
(324,706,712
|
)
|
|||||||
Other Financial Instruments**
|
|||||||||||||||||
Written Options
|
(1,984,319
|
)
|
(2,231,564
|
)
|
-
|
(4,215,883
|
)
|
||||||||||
Credit Default Swaps
|
-
|
(308,154
|
)
|
-
|
(308,154
|
)
|
|||||||||||
Futures
|
(989,576
|
)
|
-
|
-
|
(989,576
|
)
|
|||||||||||
Total Other Financial Instruments**
|
$
|
(2,973,895
|
)
|
$
|
(2,539,718
|
)
|
$
|
-
|
$
|
(5,513,613
|
)
|
||||||
Total Liabilities
|
$
|
(327,680,607
|
)
|
$
|
(2,539,718
|
)
|
$
|
-
|
$
|
(330,220,325
|
)
|
**
|
Other Financial Instruments are derivative instruments not reflected in the Schedule of Investments and Schedule of Securities Sold Short, such as credit default swaps and futures, which are valued at the unrealized appreciation (depreciation) of the instrument. Written options are reported at their market value at period end.
|
ABSOLUTE STRATEGIES FUND
|
NOTES TO SCHEDULES OF INVESTMENTS, SECURITIES SOLD SHORT AND CALL AND PUT OPTIONS WRITTEN (Unaudited)
|
DECEMBER 31, 2015 |
Corporate Convertible Bonds
|
||||
Balance as of 03/31/15
|
$
|
30,000
|
||
Accrued Accretion/(Amortization)
|
(28,137
|
)
|
||
Realized Gain / (Loss)
|
945,637
|
|||
Sales
|
(947,500
|
)
|
||
Balance as of 12/31/15
|
$
|
-
|
ABSOLUTE CREDIT OPPORTUNITIES FUND
|
SCHEDULE OF INVESTMENTS
|
DECEMBER 31, 2015 (Unaudited)
|
Principal
|
Security
Description
|
Rate
|
Maturity
|
Value
|
Long Positions - 74.4%
|
|||||||||||
Fixed Income Securities - 73.9%
|
|||||||||||
Corporate Convertible Bonds - 35.8%
|
|||||||||||
Consumer Discretionary - 2.0%
|
|||||||||||
$
|
400,000
|
JAKKS Pacific, Inc. (a)(b)
|
4.88
|
%
|
06/01/20
|
$
|
389,000
|
Consumer Staples - 7.2%
|
|||||||||||
100,000
|
Ascent Capital Group, Inc. (b)
|
4.00
|
07/15/20
|
65,813
|
|||||||
250,000
|
Carriage Services, Inc. (b)
|
2.75
|
03/15/21
|
295,781
|
|||||||
250,000
|
Depomed, Inc. (b)
|
2.50
|
09/01/21
|
285,000
|
|||||||
650,000
|
Endologix, Inc. (b)
|
2.25
|
12/15/18
|
528,531
|
|||||||
250,000
|
Healthways, Inc. (b)
|
1.50
|
07/01/18
|
237,500
|
|||||||
1,412,625
|
|||||||||||
Energy - 3.5%
|
|||||||||||
320,000
|
Clean Energy Fuels Corp. (a)(b)
|
5.25
|
10/01/18
|
162,000
|
|||||||
300,000
|
Helix Energy Solutions Group, Inc. (b)
|
3.25
|
03/15/32
|
237,938
|
|||||||
350,000
|
Renewable Energy Group, Inc. (b)
|
2.75
|
06/15/19
|
297,281
|
|||||||
697,219
|
|||||||||||
Financial - 5.1%
|
|||||||||||
570,000
|
Encore Capital Group Inc (b)
|
3.00
|
07/01/20
|
488,775
|
|||||||
300,000
|
Forestar Group, Inc. (b)
|
3.75
|
03/01/20
|
241,500
|
|||||||
400,000
|
FXCM, Inc. (b)
|
2.25
|
06/15/18
|
282,000
|
|||||||
1,012,275
|
|||||||||||
Healthcare - 1.7%
|
|||||||||||
350,000
|
Quidel Corp. (b)
|
3.25
|
12/15/20
|
341,031
|
Industrial - 4.5%
|
|||||||||||
300,000
|
Altra Industrial Motion Corp. (b)
|
2.75
|
03/01/31
|
324,937
|
|||||||
300,000
|
Fluidigm Corp. (b)
|
2.75
|
02/01/34
|
188,625
|
|||||||
400,000
|
TTM Technologies, Inc. (b)
|
1.75
|
12/15/20
|
362,500
|
|||||||
876,062
|
|||||||||||
Information Technology - 6.4%
|
|||||||||||
600,000
|
Avid Technology, Inc. (a)(b)
|
2.00
|
06/15/20
|
380,625
|
|||||||
500,000
|
Interactive Intelligence Group, Inc. (a)(b)
|
1.25
|
06/01/20
|
413,437
|
|||||||
500,000
|
Quantum Corp. (b)
|
4.50
|
11/15/17
|
460,000
|
|||||||
1,254,062
|
|||||||||||
Materials - 1.1%
|
|||||||||||
325,000
|
Horsehead Holding Corp. (b)
|
3.80
|
07/01/17
|
84,906
|
|||||||
200,000
|
Silver Standard Resources, Inc. (a)(b)
|
2.88
|
02/01/33
|
135,000
|
|||||||
219,906
|
Principal
|
Security
Description
|
Rate
|
Maturity
|
Value
|
Telecommunication Services - 3.4%
|
|||||||||||
$
|
400,000
|
Global Eagle Entertainment, Inc. (a)(b)
|
2.75
|
%
|
02/15/35
|
$
|
338,250
|
||||
350,000
|
Web.com Group, Inc. (b)
|
1.00
|
08/15/18
|
328,563
|
|||||||
666,813
|
|||||||||||
Utilities - 0.9%
|
|||||||||||
300,000
|
EnerNOC, Inc. (b)
|
2.25
|
08/15/19
|
175,688
|
Total Corporate Convertible Bonds
(Cost $8,405,396)
|
7,044,681
|
Corporate Non-Convertible Bonds - 38.1%
|
|||||||||||
Consumer Discretionary - 7.5%
|
|||||||||||
225,000
|
GameStop Corp. (a)
|
5.50
|
10/01/19
|
222,469
|
|||||||
346,000
|
Hanesbrands, Inc.
|
6.38
|
12/15/20
|
358,196
|
|||||||
245,000
|
K Hovnanian Enterprises, Inc.
|
7.50
|
05/15/16
|
241,325
|
|||||||
199,000
|
L Brands, Inc.
|
8.50
|
06/15/19
|
232,333
|
|||||||
410,000
|
MGM Resorts International
|
6.88
|
04/01/16
|
414,612
|
|||||||
1,468,935
|
|||||||||||
Consumer Staples - 6.3%
|
|||||||||||
300,000
|
Bumble Bee Holdings, Inc. (a)
|
9.00
|
12/15/17
|
304,500
|
|||||||
343,000
|
Cenveo Corp. (a)
|
6.00
|
08/01/19
|
243,530
|
|||||||
382,000
|
ConvaTec Healthcare E SA (a)
|
10.50
|
12/15/18
|
385,977
|
|||||||
282,000
|
Dean Holding Co. (b)
|
6.90
|
10/15/17
|
298,215
|
|||||||
1,232,222
|
|||||||||||
Energy - 1.3%
|
|||||||||||
500,000
|
Gastar Exploration, Inc.
|
8.63
|
05/15/18
|
265,000
|
Financial - 5.1%
|
|||||||||||
325,000
|
Ally Financial, Inc.
|
3.50
|
07/18/16
|
326,625
|
|||||||
205,000
|
iStar, Inc.
|
5.88
|
03/15/16
|
205,256
|
|||||||
217,000
|
iStar, Inc.
|
9.00
|
06/01/17
|
228,664
|
|||||||
250,000
|
Realogy Group, LLC / The Sunshine Group Florida, Ltd. (a)(b)
|
3.38
|
05/01/16
|
251,085
|
|||||||
1,011,630
|
|||||||||||
Industrial - 4.0%
|
|||||||||||
504,000
|
International Wire Group Holdings, Inc. (a)
|
8.50
|
10/15/17
|
516,600
|
|||||||
253,000
|
Spirit AeroSystems, Inc.
|
6.75
|
12/15/20
|
262,013
|
|||||||
778,613
|
Information Technology - 3.9%
|
||||||||||
350,000
|
EarthLink Holdings Corp.
|
7.38
|
06/01/20
|
357,875
|
||||||
392,000
|
First Data Corp. (a)
|
6.75
|
11/01/20
|
412,090
|
||||||
769,965
|
ABSOLUTE CREDIT OPPORTUNITIES FUND
|
SCHEDULE OF INVESTMENTS
|
DECEMBER 31, 2015 (Unaudited)
|
Principal
|
Security
Description
|
Rate
|
Maturity
|
Value
|
Telecommunication Services - 10.0%
|
|||||||||||
$
|
200,000
|
Clearwire Communications, LLC / Clearwire Finance, Inc. (a)
|
14.75
|
%
|
12/01/16
|
$
|
221,500
|
||||
285,000
|
DISH DBS Corp.
|
7.13
|
02/01/16
|
286,069
|
|||||||
181,000
|
Entercom Radio, LLC
|
10.50
|
12/01/19
|
188,240
|
|||||||
445,000
|
FairPoint Communications, Inc. (a)
|
8.75
|
08/15/19
|
439,994
|
|||||||
150,000
|
iHeartCommuni-cations, Inc.
|
9.00
|
12/15/19
|
110,062
|
|||||||
388,000
|
Nielsen Finance LLC / Nielsen Finance Co. (b)
|
4.50
|
10/01/20
|
395,275
|
|||||||
155,000
|
ViaSat, Inc.
|
6.88
|
06/15/20
|
161,587
|
|||||||
169,000
|
Windstream Services, LLC
|
7.88
|
11/01/17
|
173,734
|
|||||||
1,976,461
|
Total Corporate Non-Convertible Bonds
(Cost $7,886,374)
|
7,502,826
|
Total Fixed Income Securities
(Cost $16,291,770)
|
14,547,507
|
Contracts
|
Security
Description
|
Strike
Price
|
Exp.
Date
|
Value
|
Purchased Options - 0.5%
|
||||||||||||
Call Options Purchased - 0.0%
|
||||||||||||
60
|
iShares iBoxx $ High Yield Corporate Bond Fund
|
$
|
84.00
|
01/16
|
60
|
|||||||
35
|
iShares iBoxx $ High Yield Corporate Bond Fund
|
82.00
|
03/16
|
2,923
|
Total Call Options Purchased
(Premiums Paid $5,366)
|
2,983
|
Put Options Purchased - 0.5%
|
||||||||||||
30
|
SPDR S&P 500 ETF
|
209.00
|
03/16
|
26,115
|
||||||||
80
|
SPDR S&P 500 ETF
|
202.00
|
04/16
|
49,240
|
||||||||
28
|
SPDR S&P 500 ETF
|
198.00
|
04/16
|
13,734
|
Total Put Options Purchased
(Premiums Paid $126,761)
|
89,089
|
Total Purchased Options
(Premiums Paid $132,127)
|
92,072
|
Total Long Positions - 74.4%
(Cost $16,423,897)*
|
$
|
14,639,579
|
Total Short Positions - (11.2)%
(Proceeds $(3,218,308))*
|
(2,202,866
|
)
|
Total Written Options - (0.2)%
(Premiums Received $(59,160))*
|
(33,922
|
)
|
Other Assets & Liabilities, Net – 37.0%
|
7,276,395
|
||
Net Assets – 100.0%
|
$
|
19,679,186
|
ABSOLUTE CREDIT OPPORTUNITIES FUND
|
SCHEDULE OF SECURITIES SOLD SHORT
|
DECEMBER 31, 2015 (Unaudited)
|
|
Shares
|
Security
Description
|
Value
|
Short Positions - (11.2)%
|
|||||||
Common Stock - (11.2)%
|
|||||||
Consumer Discretionary - (1.1)%
|
|||||||
(26,528)
|
JAKKS Pacific, Inc.
|
$
|
(211,163)
|
Consumer Staples - (2.6)%
|
|||||||
(230)
|
Ascent Capital Group, Inc., Class A
|
(3,845)
|
|||||
(7,800)
|
Carriage Services, Inc.
|
(187,980)
|
|||||
(17,102)
|
Cenveo, Inc.
|
(14,903)
|
|||||
(9,769)
|
Depomed, Inc.
|
(177,112)
|
|||||
(6,459)
|
Endologix, Inc.
|
(63,944)
|
|||||
(5,331)
|
Healthways, Inc.
|
(68,610)
|
(516,394)
|
Energy - (1.0)%
|
|||||||
(4,500)
|
Clean Energy Fuels Corp.
|
(16,200)
|
|||||
(9,000)
|
Gastar Exploration, Inc.
|
(11,790)
|
|||||
(1,920)
|
Helix Energy Solutions Group, Inc.
|
(10,099)
|
|||||
(17,047)
|
Renewable Energy Group, Inc.
|
(158,367)
|
(196,456)
|
Financial - (1.4)%
|
|||||||
(6,900)
|
Encore Capital Group, Inc.
|
(200,652)
|
|||||
(6,071)
|
Forestar Group, Inc.
|
(66,417)
|
|||||
(300)
|
FXCM, Inc., Class A
|
(5,019)
|
(272,088)
|
Healthcare - (0.6)%
|
|||||||
(5,512)
|
Quidel Corp.
|
(116,854)
|
Industrial - (1.8)%
|
|||||||
(6,393)
|
Altra Industrial Motion Corp.
|
(160,337)
|
|||||
(1,598)
|
Fluidigm Corp.
|
(17,274)
|
|||||
(26,400)
|
TTM Technologies, Inc.
|
(171,864)
|
(349,475)
|
Information Technology - (1.6)%
|
|||||||
(12,588)
|
Avid Technology, Inc.
|
(91,766)
|
|||||
(3,349)
|
Interactive Intelligence Group, Inc.
|
(105,226)
|
|||||
(138,705)
|
Quantum Corp.
|
(128,996)
|
(325,988)
|
Materials - (0.2)%
|
|||||||
(8,500)
|
Horsehead Holding Corp.
|
(17,425)
|
|||||
(4,111)
|
Silver Standard Resources, Inc.
|
(21,295)
|
(38,720)
|
Telecommunication Services - (0.8)%
|
|||||||
(10,312)
|
Global Eagle Entertainment, Inc.
|
(101,779)
|
|||||
(2,966)
|
Web.com Group, Inc.
|
(59,350)
|
(161,129)
|
Utilities - (0.1)%
|
|||||||
(3,792)
|
EnerNOC, Inc.
|
(14,599)
|
Total Common Stock
(Proceeds $(3,218,308))
|
(2,202,866)
|
Total Short Positions - (11.2)%
(Proceeds $(3,218,308))
|
$
|
(2,202,866)
|
ABSOLUTE CREDIT OPPORTUNITIES FUND
|
SCHEDULE OF CALL AND PUT OPTIONS WRITTEN
|
DECEMBER 31, 2015 (Unaudited)
|
Contracts
|
Security
Description
|
Strike
Price
|
Exp.
Date
|
Value
|
Written Options - (0.2)%
|
Call Options Written - (0.0)%
|
|||||||||
(60)
|
iShares iBoxx $ High Yield Corporate Bond Fund
|
$
|
85.00
|
01/16
|
$
|
(60)
|
|||
(35)
|
iShares iBoxx $ High Yield Corporate Bond Fund
|
83.00
|
03/16
|
(1,925)
|
|||||
(75)
|
Walter Energy, Inc.
|
1.00
|
01/16
|
(75)
|
Total Call Options Written
(Premiums Received $(3,575))
|
(2,060)
|
||||||||||
Put Options Written - (0.2)%
|
|||||||||||
(30)
|
SPDR S&P 500 ETF
|
193.00
|
03/16
|
(9,810)
|
|||||||
(14)
|
SPDR S&P 500 ETF
|
188.00
|
04/16
|
(3,899)
|
|||||||
(80)
|
SPDR S&P 500 ETF
|
182.00
|
04/16
|
(15,920)
|
|||||||
(14)
|
SPDR S&P 500 ETF
|
178.00
|
04/16
|
(2,233)
|
Total Put Options Written
(Premiums Received $(55,585))
|
(31,862)
|
Total Written Options - (0.2)%
(Premiums Received $(59,160))
|
$
|
(33,922)
|
ABSOLUTE CREDIT OPPORTUNITIES FUND
|
NOTES TO SCHEDULES OF INVESTMENTS, SECURITIES SOLD SHORT AND CALL AND PUT OPTIONS WRITTEN
|
DECEMBER 31, 2015 (Unaudited)
|
ETF
|
Exchange Traded Fund
|
LLC
|
Limited Liability Company
|
(a)
|
Security exempt from registration under Rule 144A under the Securities Act of 1933. At the period end, the value of these securities amounted to $4,816,057 or 24.5% of net assets.
|
(b)
|
All or a portion of this security is held as collateral for securities sold short.
|
Counterparty
|
Reference Entity / Obligation
|
Pay Rate
|
Termination Date
|
Credit Spread as of 12/31/15 (1)
|
Notional Amount
|
Net Unrealized Appreciation
|
|||||||||||||
BNP Paribas
|
Host Hotels & Resorts, Inc., 4.75%, 03/01/23
|
1.00%
|
12/20/20
|
1.38% |
$
|
5,000,000
|
$
|
45,299
|
|||||||||||
BNP Paribas
|
Macy's Inc, 7.45%, 07/15/17
|
1.00
|
12/20/20
|
2.02 |
5,000,000
|
62,776
|
|||||||||||||
BNP Paribas
|
Ryder System, Inc., 2.55%, 06/01/19
|
1.00
|
12/20/20
|
1.04 |
10,000,000
|
262,587
|
|||||||||||||
$
|
370,662
|
(1)
|
Credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract.
|
|
At December 31, 2015, the Fund held the following futures contracts:
|
Contracts
|
Type
|
Expiration Date
|
Notional Contract Value
|
Net Unrealized Depreciation
|
(25
|
)
|
S&P 500 Emini Future
|
03/22/16
|
$
|
(2,518,098
|
)
|
$
|
(26,278
|
)
|
*
|
Cost for federal income tax purposes is substantially the same as for financial statement purposes and net unrealized depreciation consists of:
|
Gross Unrealized Appreciation
|
$
|
1,165,783
|
||
Gross Unrealized Depreciation
|
(1,909,421
|
)
|
||
Net Unrealized Depreciation
|
$
|
(743,638
|
)
|
ABSOLUTE CREDIT OPPORTUNITIES FUND
|
NOTES TO SCHEDULES OF INVESTMENTS, SECURITIES SOLD SHORT AND CALL AND PUT OPTIONS WRITTEN
|
DECEMBER 31, 2015 (Unaudited)
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Assets
|
||||||||||||||||
Investments At Value
|
||||||||||||||||
Corporate Convertible Bonds
|
$
|
-
|
$
|
7,044,681
|
$
|
-
|
$
|
7,044,681
|
||||||||
Corporate Non-Convertible Bonds
|
-
|
7,502,826
|
-
|
7,502,826
|
||||||||||||
Purchased Options
|
-
|
92,072
|
-
|
92,072
|
||||||||||||
Total Investments At Value
|
$
|
-
|
$
|
14,639,579
|
$
|
-
|
$
|
14,639,579
|
Other Financial Instruments**
|
||||||||||||||||
Credit Default Swaps
|
-
|
370,662
|
-
|
370,662
|
||||||||||||
Total Other Financial Instruments**
|
$
|
-
|
$
|
370,662
|
$
|
-
|
$
|
370,662
|
Total Assets
|
$
|
-
|
$
|
15,010,241
|
$
|
-
|
$
|
15,010,241
|
Liabilities
|
Securities Sold Short
|
Common Stock
|
$
|
(2,202,866
|
)
|
-
|
-
|
$
|
(2,202,866
|
)
|
||||||||
Total Securities Sold Short
|
$
|
(2,202,866
|
)
|
$
|
-
|
$
|
-
|
$
|
(2,202,866
|
)
|
||||||
Other Financial Instruments**
|
Futures
|
(26,278
|
)
|
-
|
-
|
(26,278
|
)
|
||||||||||
Written Options
|
(1,925
|
)
|
(31,997
|
)
|
-
|
(33,922
|
)
|
|||||||||
Total Other Financial Instruments**
|
$
|
(28,203
|
)
|
$
|
(31,997
|
)
|
$
|
-
|
$
|
(60,200
|
)
|
|||||
Total Liabilities
|
$
|
(2,231,069
|
)
|
$
|
(31,997
|
)
|
$
|
-
|
$
|
(2,263,066
|
)
|
**
|
Other Financial Instruments are derivative instruments not reflected in the Schedule of Investments and Schedule of Securities Sold Short, such as credit default swaps, which are valued at the unrealized appreciation (depreciation) of the instrument. Written options are reported at their market value at period end.
|
ABSOLUTE CAPITAL OPPORTUNITIES FUND
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
DECEMBER 31, 2015
|
Shares
|
Value
|
|||||
Cash – 100.0%
|
$
|
10,010
|
||||
Other assets less liabilities – 0.0%
|
-
|
|||||
NET ASSETS – 100.0%
|
$
|
10,010
|
(a)
|
Absolute Capital Opportunities Fund (the “Fund”) is a diversified series of Forum Funds, a Delaware statutory trust that is registered as an open-end, management investment company under the Investment Company Act of 1940. The Fund commenced operations on December 30, 2015 and as of December 31, 2015, the Fund was invested in cash.
|
BECK, MACK & OLIVER INTERNATIONAL FUND
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
DECEMBER 31, 2015
|
|
Shares
|
Security
Description
|
Value
|
Common Stock - 81.3%
|
|||||||
Bermuda - 3.1%
|
|||||||
10,000
|
Enstar Group, Ltd. (a)
|
$
|
1,500,400
|
||||
Brazil - 5.4%
|
|||||||
1,321,000
|
GP Investments, Ltd. (a)
|
2,571,046
|
|||||
Canada - 4.3%
|
|||||||
4,335
|
Fairfax Financial Holdings, Ltd.
|
2,058,036
|
|||||
124,733
|
Lone Pine Resources Canada, Ltd., Common Class (a)(b)
|
-
|
|||||
124,733
|
Lone Pine Resources, Inc., Class A (a)(b)
|
-
|
|||||
2,058,036
|
|||||||
Chile - 1.9%
|
|||||||
616,000
|
Coca-Cola Embonor SA, Class B
|
886,756
|
|||||
China - 2.3%
|
|||||||
2,463,000
|
Greatview Aseptic Packaging Co., Ltd.
|
1,115,494
|
|||||
Cyprus - 1.5%
|
|||||||
2,024,034
|
Secure Property Development & Investment PLC (a)
|
731,039
|
|||||
Hong Kong - 12.1%
|
|||||||
3,909,000
|
First Pacific Co., Ltd.
|
2,592,533
|
|||||
10,050,000
|
Genting Hong Kong, Ltd.
|
3,216,000
|
|||||
5,808,533
|
|||||||
India - 12.8%
|
|||||||
1,016,570
|
Dewan Housing Finance Corp., Ltd.
|
3,614,898
|
|||||
247,500
|
Fairfax India Holdings Corp. (a)(c)
|
2,499,750
|
|||||
6,114,648
|
|||||||
Indonesia - 9.9%
|
|||||||
25,909,000
|
Bank Pan Indonesia Tbk PT (a)
|
1,541,195
|
|||||
18,400,000
|
Media Nusantara Citra Tbk PT
|
2,476,025
|
|||||
55,368,300
|
Panin Financial Tbk PT (a)
|
743,064
|
|||||
4,760,284
|
|||||||
Japan - 1.5%
|
|||||||
4,200
|
FANUC Corp.
|
736,603
|
|||||
Mexico - 2.8%
|
|||||||
184,000
|
Coca-Cola Femsa SAB de CV
|
1,322,789
|
|||||
Norway - 2.8%
|
|||||||
134,400
|
Oslo Bors VPS Holding ASA
|
1,328,566
|
|||||
Russian Federation - 8.3%
|
|||||||
126,700
|
Tarkett SA
|
3,963,441
|
|||||
South Korea - 1.1%
|
|||||||
3,550
|
GS Home Shopping, Inc. (a)
|
505,607
|
|||||
Spain - 2.5%
|
|||||||
36,800
|
Grifols SA, Class B
|
1,196,372
|
|
Shares
|
Security
Description
|
Value
|
Switzerland - 6.1%
|
|||||||
24,250
|
Dufry AG (a)
|
$
|
2,905,351
|
||||
United States - 2.9%
|
|||||||
499,700
|
BBA Aviation PLC
|
1,393,020
|
|||||
Total Common Stock
(Cost $38,765,573)
|
38,897,985
|
||||||
Preferred Stock - 0.4%
|
|||||||
United States - 0.4%
|
|||||||
132,573
|
Earlyshares.com, Inc., Class A (b)(d) (Cost $200,000)
|
181,625
|
Private Equity Funds - 5.3%
|
|||||||
India - 0.2%
|
|||||||
175,203
|
Bharat Investors LP (a)(e)
|
107,843
|
|||||
United States - 5.1%
|
|||||||
1,200,000
|
Brightwood Switch SPV LP (a)(b)(f)(g)
|
2,435,906
|
|||||
Total Private Equity Funds
(Cost $1,375,203)
|
2,543,749
|
Investment Companies - 6.8%
|
|||||||
53,657
|
Carlyle GMS Finance, Inc. (a)(b)(h)
|
973,340
|
|||||
4,045,000
|
DWS Vietnam Fund, Ltd. (a)
|
2,305,650
|
Total Investment Companies
(Cost $3,258,218)
|
3,278,990
|
Total Investments - 93.8%
(Cost $43,598,994)*
|
$
|
44,902,349
|
Other Assets & Liabilities, Net – 6.2%
|
2,956,401
|
|||||
Net Assets – 100.0%
|
$
|
47,858,750
|
LP
|
Limited Partnership
|
PLC
|
Public Limited Company
|
(a)
|
Non-income producing security.
|
(b)
|
Security fair valued in accordance with procedures adopted by the Board of Trustees. At the period end, the value of these securities amounted to $3,590,871 or 7.5% of net assets.
|
(c)
|
Security exempt from registration under Rule 144A under the Securities Act of 1933. At the period end, the value of these securities amounted to $2,499,750 or 5.2% of net assets.
|
(d)
|
Private preferred stock purchased on 06/21/13. The preferred shares have the right to receive dividends when, as and if declared by the Board of Trustees. Preferred shares hold rights to convert to shares of Common Stock. Illiquid investment in which redemptions are not accepted. No unfunded commitments as of December 31, 2015.
|
(e)
|
Private equity fund purchased on 03/08/13 that invests in Unitech Corporate Parks PLC. Redemptions may be made on the last day of each calendar quarter upon 60 days written notice. No unfunded commitments as of December 31, 2015.
|
BECK, MACK & OLIVER INTERNATIONAL FUND
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
DECEMBER 31, 2015
|
(f)
|
Private equity fund purchased on 02/21/12 that invests in Switch Communications Group, LLC. Illiquid investment in which redemptions are not accepted. No unfunded commitments as of December 31, 2015.
|
(g)
|
Affiliate.
|
(h)
|
Business development company purchased on 06/05/13 that invests in first lien senior secured and unitranche loans to private U.S. middle market companies that are, in many cases, controlled by private investment firms. Illiquid investment in which redemptions are not accepted. Cost of investment at December 31, 2015 is $1,054,823. Unfunded commitments of $1,405,306 as of December 31, 2015.
|
*
|
Cost for federal income tax purposes is substantially the same as for financial statement purposes and net unrealized appreciation consists of:
|
Gross Unrealized Appreciation
|
$
|
6,368,181
|
||
Gross Unrealized Depreciation
|
(5,064,826
|
)
|
||
Net Unrealized Appreciation
|
$
|
1,303,355
|
|
As of December 31, 2015, the Beck, Mack & Oliver International Fund had the following forward currency contracts outstanding:
|
Counterparty
|
Contracts to Purchase/(Sell)
|
Settlement Date
|
Settlement Value
|
Net Unrealized Appreciation (Depreciation)
|
|||||||||||
Barclays Capital, Inc.
|
(1,383,051
|
)
|
European Union Euro
|
02/16/16
|
$
|
1,530,000
|
$
|
25,164
|
|||||||
1,383,051
|
European Union Euro
|
02/16/16
|
(1,474,194
|
)
|
30,643
|
||||||||||
(45,017,860
|
)
|
Hong Kong Dollar
|
08/22/16
|
5,800,000
|
(16,063
|
)
|
|||||||||
7,830,000
|
Hong Kong Dollar
|
08/22/16
|
(1,011,602
|
)
|
(8
|
)
|
|||||||||
12,887,860
|
Hong Kong Dollar
|
08/22/16
|
(1,663,272
|
)
|
1,770
|
||||||||||
(8,302,000
|
)
|
Norwegian Krone
|
03/29/16
|
1,000,000
|
62,854
|
||||||||||
(2,535,300
|
)
|
Swiss Franc
|
01/11/16
|
2,700,000
|
167,544
|
||||||||||
2,535,300
|
Swiss Franc
|
01/11/16
|
(2,619,112
|
)
|
(86,655
|
)
|
|||||||||
BNY Brokerage, Inc.
|
(3,114,750
|
)
|
Brazilian Real
|
04/07/16
|
750,000
|
(11,540
|
)
|
||||||||
(538,608
|
)
|
Canadian Dollars
|
06/14/16
|
392,000
|
2,512
|
||||||||||
(119,400,000
|
)
|
South Korean Won
|
06/21/16
|
100,000
|
(1,306
|
)
|
|||||||||
(1,098,350
|
)
|
Swiss Franc
|
05/10/16
|
1,100,000
|
(3,252
|
)
|
|||||||||
Citigroup Global Markets, Inc.
|
(2,393,280
|
)
|
Brazilian Real
|
03/04/16
|
600,000
|
7,503
|
|||||||||
(291,005,400
|
)
|
Chilean Peso
|
02/16/16
|
420,000
|
11,598
|
||||||||||
134,235,400
|
Chilean Peso
|
02/16/16
|
(189,024
|
)
|
(636
|
)
|
|||||||||
(347,015,000
|
)
|
Chilean Peso
|
04/07/16
|
500,000
|
15,631
|
||||||||||
(21,292,500,000
|
)
|
Indonesian Rupiah
|
01/28/16
|
1,500,000
|
(24,522
|
)
|
|||||||||
8,900,000,000
|
Indonesian Rupiah
|
01/28/16
|
(571,594
|
)
|
65,637
|
||||||||||
(488,967
|
)
|
Pounds Sterling
|
01/11/16
|
750,000
|
29,142
|
||||||||||
Mellon Bank, N.A.
|
(68,370,000
|
)
|
Indian Rupee
|
05/27/16
|
1,000,000
|
(8,702
|
)
|
||||||||
(37,750,000,000
|
)
|
Indonesian Rupiah
|
03/03/16
|
2,500,000
|
(173,606
|
)
|
|||||||||
(17,236,500
|
)
|
Mexican Peso
|
03/03/16
|
1,000,000
|
4,478
|
||||||||||
$
|
98,186
|
Private Equity Fund
|
||||
Brightwood Switch SPV, LP
|
||||
Balance 03/31/15
|
||||
Shares/Principal
|
$$
|
1,200,000
|
||
Cost
|
$$
|
1,200,000
|
||
Value
|
$$
|
1,934,524
|
||
Gross Additions
|
||||
Shares/Principal
|
-
|
|||
Cost
|
$$
|
-
|
||
Gross Reductions
|
||||
Shares/Principal
|
-
|
|||
Cost
|
$$
|
-
|
||
Proceeds
|
$$
|
-
|
||
Balance 12/31/15
|
||||
Shares/Principal
|
$$
|
1,200,000
|
||
Cost
|
$$
|
1,200,000
|
||
Value
|
$$
|
2,435,906
|
||
Realized gain/(loss)
|
$$
|
-
|
||
Investment Income
|
$$
|
-
|
BECK, MACK & OLIVER INTERNATIONAL FUND
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
DECEMBER 31, 2015
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Assets
|
||||||||||||||||
Investments At Value
|
||||||||||||||||
Common Stock
|
||||||||||||||||
Bermuda
|
$
|
1,500,400
|
$
|
-
|
$
|
-
|
$
|
1,500,400
|
||||||||
Brazil
|
2,571,046
|
-
|
-
|
2,571,046
|
||||||||||||
Canada
|
2,058,036
|
-
|
-
|
2,058,036
|
||||||||||||
Chile
|
886,756
|
-
|
-
|
886,756
|
||||||||||||
China
|
1,115,494
|
-
|
-
|
1,115,494
|
||||||||||||
Cyprus
|
731,039
|
-
|
-
|
731,039
|
||||||||||||
Hong Kong
|
5,808,533
|
-
|
-
|
5,808,533
|
||||||||||||
India
|
6,114,648
|
-
|
-
|
6,114,648
|
||||||||||||
Indonesia
|
4,760,284
|
-
|
-
|
4,760,284
|
||||||||||||
Japan
|
736,603
|
-
|
-
|
736,603
|
||||||||||||
Mexico
|
1,322,789
|
-
|
-
|
1,322,789
|
||||||||||||
Norway
|
1,328,566
|
-
|
-
|
1,328,566
|
||||||||||||
Russian Federation
|
3,963,441
|
-
|
-
|
3,963,441
|
||||||||||||
South Korea
|
505,607
|
-
|
-
|
505,607
|
||||||||||||
Spain
|
1,196,372
|
-
|
-
|
1,196,372
|
||||||||||||
Switzerland
|
2,905,351
|
-
|
-
|
2,905,351
|
||||||||||||
United States
|
1,393,020
|
-
|
-
|
1,393,020
|
||||||||||||
Preferred Stock
|
||||||||||||||||
United States
|
-
|
-
|
181,625
|
181,625
|
||||||||||||
Private Equity Fund
|
||||||||||||||||
India
|
-
|
107,843
|
-
|
107,843
|
||||||||||||
United States
|
-
|
-
|
2,435,906
|
2,435,906
|
||||||||||||
Investment Companies
|
-
|
2,305,650
|
973,340
|
3,278,990
|
||||||||||||
Total Investments At Value
|
$
|
38,897,985
|
$
|
2,413,493
|
$
|
3,590,871
|
$
|
44,902,349
|
||||||||
Other Financial Instruments**
|
||||||||||||||||
Forward Currency Contracts
|
-
|
424,476
|
-
|
424,476
|
||||||||||||
Total Assets
|
$
|
38,897,985
|
$
|
2,837,969
|
$
|
3,590,871
|
$
|
45,326,825
|
||||||||
Liabilities
|
||||||||||||||||
Other Financial Instruments**
|
||||||||||||||||
Forward Currency Contracts
|
-
|
(326,290
|
)
|
-
|
(326,290
|
)
|
||||||||||
Total Liabilities
|
$
|
-
|
$
|
(326,290
|
)
|
$
|
-
|
$
|
(326,290
|
)
|
BECK, MACK & OLIVER INTERNATIONAL FUND
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
DECEMBER 31, 2015
|
Common Stock
|
Preferred Stock
|
Private Equity Funds
|
Investment Companies
|
||||||||||||||
Balance as of 03/31/15
|
$
|
118,432
|
$
|
181,625
|
$
|
4,176,936
|
$
|
703,137
|
|||||||||
Purchases
|
-
|
-
|
225,000
|
322,714
|
|||||||||||||
Sales
|
-
|
-
|
(2,446,688
|
)
|
-
|
||||||||||||
Realized gain
|
-
|
-
|
71,688
|
-
|
|||||||||||||
Change in unrealized appreciation/(depreciation)
|
(118,432
|
)
|
-
|
408,970
|
(52,511
|
)
|
|||||||||||
Balance as of 12/31/15
|
$
|
-
|
$
|
181,625
|
$
|
2,435,906
|
$
|
973,340
|
|||||||||
Net change in unrealized appreciation/(depreciation) from investments held as of 12/31/15
|
$
|
(118,432
|
)
|
$
|
-
|
$
|
408,970
|
$
|
(52,511
|
)
|
Investments in Securities
|
Fair Value at 12/31/15
|
Valuation Technique(s)
|
Unobservable Input
|
Range as of 12/31/15
|
Weighted Average as of 12/31/15
|
Private Equity Funds – United States
|
|||||
Brightwood Switch SPV, LP
|
$2,435,906
|
Market Comparables
|
EV/EBITDA Multiple(1)
|
13.00x – 13.50x NFY EBITDA projection of $106.4mm (or EV of $1,635.9mm - $1,698.9mm and equity value of $1,340.9mm – $1,403.8mm)
|
Not applicable.
|
(1)
|
Significant unobservable inputs used in the fair value measurement included enterprise value (EV) to earnings before interest, taxes, depreciation and amortization (EBITDA) ratio. A significant change in the EV/EBITDA Multiple ratio may result in a similar significant change in the fair value measurement.
|
BECK, MACK & OLIVER PARTNERS FUND
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
DECEMBER 31, 2015
|
|
Shares
|
Security
Description
|
Value
|
Common Stock - 100.5%
|
|||||||
Consumer Staples - 3.6%
|
|||||||
6,800
|
Anheuser-Busch InBev NV, ADR
|
$
|
850,000
|
||||
73,000
|
Crimson Wine Group, Ltd. (a)
|
642,400
|
|||||
1,492,400
|
|||||||
Energy - 18.0%
|
|||||||
65,000
|
Devon Energy Corp.
|
2,080,000
|
|||||
133,000
|
Matador Resources Co. (a)
|
2,629,410
|
|||||
99,650
|
San Juan Basin Royalty Trust
|
412,551
|
|||||
33,000
|
Schlumberger, Ltd.
|
2,301,750
|
|||||
7,423,711
|
|||||||
Financials - 36.2%
|
|||||||
13,400
|
American Express Co.
|
931,970
|
|||||
84,500
|
Apollo Global Management, LLC
|
1,282,710
|
|||||
63,000
|
Boulevard Acquisition Corp. II (a)
|
619,605
|
|||||
8,600
|
Credit Acceptance Corp. (a)
|
1,840,572
|
|||||
25,500
|
Enstar Group, Ltd. (a)
|
3,826,020
|
|||||
28,080
|
Homefed Corp. (a)
|
962,442
|
|||||
26,500
|
JPMorgan Chase & Co.
|
1,749,795
|
|||||
48,000
|
Leucadia National Corp.
|
834,720
|
|||||
63,031
|
The Blackstone Group LP
|
1,843,026
|
|||||
24,900
|
U.S. Bancorp
|
1,062,483
|
|||||
14,953,343
|
|||||||
Healthcare - 18.8%
|
|||||||
21,300
|
Abbott Laboratories
|
956,583
|
|||||
33,900
|
Baxter International, Inc.
|
1,293,285
|
|||||
54,000
|
Grifols SA, ADR
|
1,749,600
|
|||||
6,900
|
Laboratory Corp. of America Holdings (a)
|
853,116
|
|||||
32,400
|
Merck & Co., Inc.
|
1,711,368
|
|||||
8,800
|
Waters Corp. (a)
|
1,184,304
|
|||||
7,748,256
|
|||||||
Industrials - 14.7%
|
|||||||
35,000
|
Chicago Bridge & Iron Co. NV
|
1,364,650
|
|||||
25,300
|
Dover Corp.
|
1,551,143
|
|||||
31,800
|
Fluor Corp.
|
1,501,596
|
|||||
8,700
|
Roper Technologies, Inc.
|
1,651,173
|
|||||
6,068,562
|
|||||||
Materials - 1.1%
|
|||||||
75,350
|
AgroFresh Solutions, Inc. (a)
|
476,966
|
|||||
Technology - 8.1%
|
|||||||
2,270
|
Alphabet, Inc., Class C (a)
|
1,722,658
|
|||||
21,200
|
Microsoft Corp.
|
1,176,176
|
|||||
9,000
|
QUALCOMM, Inc.
|
449,865
|
|||||
3,348,699
|
Total Common Stock
(Cost $41,010,242)
|
41,511,937
|
Shares
|
Security
Description
|
Rate
|
Exp. Date
|
Value
|
Warrants - 0.2%
|
|||||||||||
75,675
|
AgroFresh Solutions, Inc. (a) (Cost $171,745)
|
11.50
|
%
|
02/19/19
|
$
|
71,134
|
Total Investments - 100.7%
(Cost $41,181,987)*
|
$
|
41,583,071
|
Other Assets & Liabilities, Net – (0.7)%
|
(278,900
|
)
|
||||
Net Assets – 100.0%
|
$
|
41,304,171
|
ADR
|
American Depositary Receipt
|
LLC
|
Limited Liability Company
|
LP
|
Limited Partnership
|
(a)
|
Non-income producing security.
|
*
|
Cost for federal income tax purposes is substantially the same as for financial statement purposes and net unrealized appreciation consists of:
|
Gross Unrealized Appreciation
|
$
|
5,293,523
|
||
Gross Unrealized Depreciation
|
(4,892,439
|
)
|
||
Net Unrealized Appreciation
|
$
|
401,084
|
Valuation Inputs
|
Investments in Securities
|
Level 1 - Quoted Prices
|
$
|
41,583,071
|
||
Level 2 - Other Significant Observable Inputs
|
-
|
|||
Level 3 - Significant Unobservable Inputs
|
-
|
|||
Total
|
$
|
41,583,071
|
LMCG GLOBAL MARKET NEUTRAL FUND
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
DECEMBER 31, 2015
|
|
Shares
|
Security
Description
|
Value
|
Long Positions - 96.9%
|
||||||||
Common Stock(a) - 95.6%
|
||||||||
Australia - 1.2%
|
||||||||
82,596
|
Aristocrat Leisure, Ltd.
|
$
|
609,880
|
|||||
9,104
|
Macquarie Group, Ltd.
|
544,629
|
||||||
1,154,509
|
||||||||
Austria - 0.6%
|
||||||||
18,452
|
Erste Group Bank AG (b)
|
577,364
|
Bermuda - 1.3%
|
|||||||
3,475
|
Everest Re Group, Ltd.
|
636,238
|
|||||
40,038
|
Maiden Holdings, Ltd.
|
596,966
|
|||||
1,233,204
|
|||||||
Curacao - 0.4%
|
|||||||
10,041
|
Orthofix International NV (b)
|
393,708
|
Denmark - 0.5%
|
|||||||
12,460
|
DSV A/S
|
490,471
|
Finland - 0.9%
|
|||||||
27,748
|
Kemira OYJ
|
326,699
|
|||||
26,914
|
UPM-Kymmene OYJ
|
499,667
|
|||||
826,366
|
|||||||
France - 2.8%
|
|||||||
2,649
|
Christian Dior SE
|
449,965
|
|||||
7,802
|
Eiffage SA
|
504,229
|
|||||
13,047
|
Nexity SA
|
577,936
|
|||||
5,939
|
Renault SA
|
594,467
|
|||||
11,713
|
Societe Generale SA
|
539,760
|
|||||
2,666,357
|
|||||||
Germany - 6.1%
|
|||||||
9,204
|
Brenntag AG
|
479,600
|
|||||
48,356
|
Commerzbank AG (b)
|
498,965
|
|||||
5,240
|
Daimler AG
|
437,823
|
|||||
35,066
|
Deutsche Lufthansa AG (b)
|
552,327
|
|||||
15,839
|
METRO AG
|
504,588
|
|||||
5,285
|
MTU Aero Engines AG
|
515,102
|
|||||
10,344
|
ProSiebenSat.1 Media SE
|
521,868
|
|||||
9,625
|
Rheinmetall AG
|
639,792
|
|||||
14,446
|
STADA Arzneimittel AG
|
582,541
|
|||||
27,636
|
Suedzucker AG
|
547,756
|
|||||
29,682
|
Takkt AG
|
594,270
|
|||||
5,874,632
|
|||||||
Hong Kong - 0.4%
|
|||||||
90,000
|
Orient Overseas International, Ltd.
|
430,784
|
Italy - 1.3%
|
|||||||
57,915
|
Amplifon SpA
|
501,684
|
|||||
26,156
|
Buzzi Unicem SpA
|
288,889
|
|||||
21,403
|
MARR SpA
|
442,224
|
|||||
1,232,797
|
|
Shares
|
Security
Description
|
Value
|
Japan - 11.3%
|
||||||||
17,900
|
Alps Electric Co., Ltd.
|
$
|
485,413
|
|||||
12,600
|
Aoyama Trading Co., Ltd.
|
485,427
|
||||||
34,300
|
Chubu Electric Power Co., Inc.
|
469,695
|
||||||
17,800
|
Electric Power Development Co., Ltd.
|
633,976
|
||||||
31,900
|
Fuji Machine Manufacturing Co., Ltd.
|
335,345
|
||||||
97,000
|
Fujikura, Ltd.
|
523,940
|
||||||
112,000
|
Fujitsu, Ltd.
|
559,006
|
||||||
87,000
|
Mitsubishi Gas Chemical Co, Inc.
|
444,877
|
||||||
32,800
|
Mitsubishi Tanabe Pharma Corp.
|
565,099
|
||||||
83,700
|
Mitsubishi UFJ Financial Group, Inc.
|
518,459
|
||||||
15,200
|
Mixi, Inc.
|
568,532
|
||||||
14,200
|
Nippon Telegraph & Telephone Corp.
|
565,133
|
||||||
58,100
|
Nissan Motor Co., Ltd.
|
608,350
|
||||||
10,100
|
NTT Data Corp.
|
488,296
|
||||||
47,000
|
OKUMA Corp.
|
380,097
|
||||||
100,000
|
Sumitomo Chemical Co., Ltd.
|
574,310
|
||||||
46,600
|
Sumitomo Corp.
|
475,102
|
||||||
7,700
|
TDK Corp.
|
493,138
|
||||||
16,700
|
Terumo Corp.
|
517,590
|
||||||
43,900
|
Ushio, Inc.
|
605,376
|
||||||
48,900
|
Yokogawa Electric Corp.
|
588,069
|
||||||
10,885,230
|
||||||||
Luxembourg - 0.6%
|
||||||||
1,747
|
Eurofins Scientific SE
|
609,389
|
Netherlands - 1.7%
|
|||||||
27,355
|
Koninklijke Ahold NV
|
577,011
|
|||||
10,666
|
Koninklijke Vopak NV
|
459,329
|
|||||
17,223
|
NN Group NV
|
607,678
|
|||||
1,644,018
|
|||||||
Norway - 3.4%
|
|||||||
42,383
|
Atea ASA (b)
|
350,047
|
|||||
73,419
|
Austevoll Seafood ASA
|
445,983
|
|||||
42,308
|
Det Norske Oljeselskap ASA (b)
|
262,542
|
|||||
64,797
|
Ocean Yield ASA
|
500,039
|
|||||
70,701
|
Orkla ASA
|
557,755
|
|||||
38,489
|
Ship Finance International, Ltd.
|
637,763
|
|||||
11,244
|
Yara International ASA
|
483,585
|
|||||
3,237,714
|
|||||||
Puerto Rico - 0.6%
|
|||||||
21,083
|
Popular, Inc.
|
597,492
|
Spain - 0.5%
|
||||||
17,739
|
ACS Actividades de Construccion y Servicios SA
|
518,999
|
LMCG GLOBAL MARKET NEUTRAL FUND
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
DECEMBER 31, 2015
|
|
Shares
|
Security
Description
|
Value
|
Sweden - 1.1%
|
||||||||
8,580
|
Indutrade AB
|
$
|
486,617
|
|||||
36,809
|
Securitas AB, Class B
|
562,844
|
||||||
1,049,461
|
||||||||
Switzerland - 2.3%
|
||||||||
3,890
|
Actelion, Ltd. (b)
|
540,491
|
||||||
803
|
Georg Fischer AG
|
545,159
|
||||||
34,238
|
Logitech International SA
|
524,435
|
||||||
2,209
|
Swiss Life Holding AG (b)
|
594,994
|
||||||
2,205,079
|
||||||||
United Kingdom - 3.9%
|
||||||||
29,544
|
Ashtead Group PLC
|
486,230
|
||||||
53,207
|
Crest Nicholson Holdings PLC
|
435,957
|
||||||
34,103
|
Domino's Pizza Group PLC
|
528,562
|
||||||
40,134
|
Great Portland Estates PLC REIT
|
489,171
|
||||||
9,780
|
Imperial Tobacco Group PLC
|
516,557
|
||||||
33,215
|
Keller Group PLC
|
406,786
|
||||||
28,465
|
Land Securities Group PLC REIT
|
493,442
|
||||||
67,780
|
Meggitt PLC
|
374,231
|
||||||
3,730,936
|
||||||||
United States - 54.7%
|
||||||||
31,857
|
Abercrombie & Fitch Co.
|
860,139
|
||||||
48,748
|
Achillion Pharmaceuticals, Inc. (b)
|
525,991
|
||||||
36,120
|
Alon USA Energy, Inc.
|
536,021
|
||||||
8,410
|
American Financial Group, Inc.
|
606,193
|
||||||
15,830
|
AMN Healthcare Services, Inc. (b)
|
491,522
|
||||||
55,631
|
Annaly Capital Management, Inc. REIT
|
521,819
|
||||||
17,362
|
Argan, Inc.
|
562,529
|
||||||
18,074
|
Aspen Technology, Inc. (b)
|
682,474
|
||||||
12,143
|
Atlas Air Worldwide Holdings, Inc. (b)
|
501,992
|
||||||
12,233
|
Avnet, Inc.
|
524,062
|
||||||
23,869
|
Banc of California, Inc.
|
348,965
|
||||||
30,602
|
Black Box Corp.
|
291,637
|
||||||
13,097
|
Cambrex Corp. (b)
|
616,738
|
||||||
9,954
|
Carnival PLC
|
567,040
|
||||||
54,022
|
Carrols Restaurant Group, Inc. (b)
|
634,218
|
||||||
8,452
|
Centene Corp. (b)
|
556,226
|
||||||
46,193
|
CenterState Banks, Inc.
|
722,920
|
||||||
21,224
|
Chemtura Corp. (b)
|
578,778
|
||||||
23,292
|
Cohu, Inc.
|
281,134
|
||||||
45,429
|
Commercial Metals Co.
|
621,923
|
||||||
30,045
|
Convergys Corp
|
747,820
|
||||||
15,323
|
CoreLogic, Inc. (b)
|
518,837
|
||||||
36,341
|
Dean Foods Co.
|
623,248
|
||||||
6,711
|
DineEquity, Inc.
|
568,220
|
||||||
88,157
|
EarthLink Holdings Corp.
|
655,007
|
||||||
12,717
|
Emergent BioSolutions, Inc. (b)
|
508,807
|
||||||
37,967
|
Ennis, Inc.
|
730,865
|
||||||
9,160
|
ePlus, Inc. (b)
|
854,262
|
||||||
8,757
|
Euronet Worldwide, Inc. (b)
|
634,270
|
||||||
36,861
|
Express, Inc. (b)
|
636,958
|
||||||
26,391
|
Fidelity Southern Corp.
|
588,783
|
|
Shares
|
Security
Description
|
Value
|
33,287
|
First Midwest Bancorp, Inc.
|
$
|
613,479
|
||||
27,583
|
Flagstar Bancorp, Inc. (b)
|
637,443
|
|||||
8,846
|
Foot Locker, Inc.
|
575,786
|
|||||
36,236
|
FutureFuel Corp.
|
489,186
|
|||||
19,461
|
Gigamon, Inc. (b)
|
517,079
|
|||||
17,964
|
Heartland Financial USA, Inc.
|
563,351
|
|||||
13,688
|
HollyFrontier Corp.
|
546,014
|
|||||
4,794
|
Huntington Ingalls Industries, Inc.
|
608,119
|
|||||
22,254
|
Insight Enterprises, Inc. (b)
|
559,020
|
|||||
13,350
|
Insperity, Inc.
|
642,802
|
|||||
30,066
|
Inteliquent, Inc.
|
534,273
|
|||||
20,926
|
INTL. FCStone, Inc. (b)
|
700,184
|
|||||
56,156
|
Intrawest Resorts Holdings, Inc. (b)
|
439,140
|
|||||
39,482
|
Isle of Capri Casinos, Inc. (b)
|
549,984
|
|||||
47,547
|
K12, Inc. (b)
|
418,414
|
|||||
7,625
|
Kaiser Aluminum Corp.
|
637,908
|
|||||
33,266
|
KBR, Inc.
|
562,861
|
|||||
15,843
|
Leidos Holdings, Inc.
|
891,327
|
|||||
17,671
|
LGI Homes, Inc. (b)
|
429,935
|
|||||
23,562
|
Liberty Interactive Corp. QVC Group, Class A (b)
|
643,714
|
|||||
60,084
|
Lionbridge Technologies, Inc. (b)
|
295,012
|
|||||
9,218
|
Lydall, Inc. (b)
|
327,055
|
|||||
13,049
|
MacroGenics, Inc. (b)
|
404,128
|
|||||
9,934
|
Manhattan Associates, Inc. (b)
|
657,333
|
|||||
7,459
|
ManpowerGroup, Inc.
|
628,719
|
|||||
6,580
|
MarketAxess Holdings, Inc.
|
734,262
|
|||||
36,224
|
Merit Medical Systems, Inc. (b)
|
673,404
|
|||||
32,142
|
MSG Networks, Inc., Class A (b)
|
668,554
|
|||||
31,314
|
Multi-Fineline Electronix, Inc. (b)
|
647,574
|
|||||
23,655
|
NeuStar, Inc., Class A (b)
|
567,010
|
|||||
82,911
|
OraSure Technologies, Inc. (b)
|
533,947
|
|||||
14,009
|
Owens Corning
|
658,843
|
|||||
8,704
|
PAREXEL International Corp. (b)
|
592,916
|
|||||
19,869
|
PBF Energy, Inc., Class A
|
731,378
|
|||||
22,368
|
PNM Resources, Inc.
|
683,790
|
|||||
10,550
|
Portola Pharmaceuticals, Inc. (b)
|
542,798
|
|||||
8,665
|
Preferred Bank/Los Angeles CA
|
286,118
|
|||||
18,220
|
Premier, Inc., Class A (b)
|
642,619
|
|||||
32,069
|
Quanex Building Products Corp.
|
668,639
|
|||||
62,833
|
Rayonier Advanced Materials, Inc.
|
615,135
|
|||||
7,820
|
Reinsurance Group of America, Inc.
|
669,001
|
|||||
10,969
|
REX American Resources Corp. (b)
|
593,094
|
|||||
24,266
|
Sagent Pharmaceuticals, Inc. (b)
|
386,072
|
|||||
26,160
|
Sanmina Corp. (b)
|
538,373
|
|||||
15,171
|
Schweitzer-Mauduit International, Inc.
|
637,030
|
|||||
11,582
|
Skechers U.S.A., Inc., Class A (b)
|
349,892
|
|||||
36,331
|
Smith & Wesson Holding Corp. (b)
|
798,555
|
|||||
25,110
|
Sonic Automotive, Inc., Class A
|
571,504
|
|||||
12,107
|
Spirit AeroSystems Holdings, Inc., Class A (b)
|
606,197
|
|||||
19,490
|
Sucampo Pharmaceuticals, Inc., Class A (b)
|
336,982
|
LMCG GLOBAL MARKET NEUTRAL FUND
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
DECEMBER 31, 2015
|
|
Shares
|
Security
Description
|
Value
|
18,454
|
Take-Two Interactive Software, Inc. (b)
|
$
|
642,937
|
|||||
8,593
|
Tech Data Corp. (b)
|
570,403
|
||||||
24,549
|
Telephone & Data Systems, Inc.
|
635,574
|
||||||
73,028
|
TETRA Technologies, Inc. (b)
|
549,171
|
||||||
20,993
|
Trinity Industries, Inc.
|
504,252
|
||||||
14,801
|
Voya Financial, Inc.
|
546,305
|
||||||
48,534
|
Wabash National Corp. (b)
|
574,157
|
||||||
20,935
|
Walker & Dunlop, Inc. (b)
|
603,137
|
||||||
14,264
|
Western Refining, Inc.
|
508,084
|
||||||
13,792
|
Yadkin Financial Corp.
|
347,145
|
||||||
41,758
|
YRC Worldwide, Inc. (b)
|
592,128
|
||||||
52,778,644
|
Total Common Stock
(Cost $90,696,978)
|
92,137,154
|
Money Market Fund - 1.3%
|
|||||||
1,293,867
|
Dreyfus Treasury Prime Cash Management, 0.01% (c)
(Cost $1,293,867)
|
1,293,867
|
Total Long Positions - 96.9%
(Cost $91,990,845)*
|
$
|
93,431,021
|
||
Total Short Positions - (96.2)%
(Proceeds $(100,502,890))*
|
(92,799,863
|
)
|
||
Other Assets & Liabilities, Net – 99.3%
|
95,787,835
|
|||
Net Assets – 100.0%
|
$
|
96,418,993
|
LMCG GLOBAL MARKET NEUTRAL FUND
|
SCHEDULE OF SECURITIES SOLD SHORT (Unaudited)
|
DECEMBER 31, 2015
|
|
Shares
|
Security
Description
|
Value
|
Short Positions - (96.2)%
|
||||||||
Common Stock - (96.2)%
|
||||||||
Austria - (0.5)%
|
||||||||
(15,510)
|
ams AG
|
$
|
(518,478)
|
Belgium - (0.5)%
|
|||||||
(18,053)
|
bpost SA
|
(442,973)
|
Bermuda - (0.4)%
|
|||||||
(23,222)
|
Golar LNG, Ltd.
|
(366,675)
|
Canada - (0.7)%
|
|||||||
(13,428)
|
lululemon athletica, Inc.
|
(704,567)
|
Denmark - (0.3)%
|
|||||||
(1,997)
|
ALK-Abello A/S
|
(254,117)
|
Finland - (0.5)%
|
|||||||
(33,992)
|
Fortum OYJ
|
(512,138)
|
France - (3.2)%
|
|||||||
(12,925)
|
Alstom SA
|
(394,793)
|
|||||
(12,752)
|
Cie de Saint-Gobain
|
(552,611)
|
|||||
(7,200)
|
DBV Technologies SA
|
(518,657)
|
|||||
(1,486)
|
Hermes International
|
(502,305)
|
|||||
(13,456)
|
Nexans SA
|
(491,074)
|
|||||
(23,808)
|
Zodiac Aerospace
|
(566,876)
|
(3,026,316)
|
|||||||
Germany - (6.0)%
|
|||||||
(55,088)
|
AIXTRON SE
|
(244,379)
|
|||||
(32,566)
|
alstria Office REIT-AG
|
(433,829)
|
|||||
(6,359)
|
Beiersdorf AG
|
(577,978)
|
|||||
(4,560)
|
Bertrandt AG
|
(547,030)
|
|||||
(14,290)
|
Bilfinger SE
|
(671,552)
|
|||||
(19,331)
|
Deutsche Post AG
|
(540,452)
|
|||||
(34,214)
|
Gerry Weber International AG
|
(473,769)
|
|||||
(1,514)
|
KWS Saat SE
|
(454,388)
|
|||||
(13,753)
|
Leoni AG
|
(540,562)
|
|||||
(3,620)
|
Linde AG
|
(522,940)
|
|||||
(3,902)
|
MorphoSys AG
|
(242,801)
|
|||||
(13,456)
|
OSRAM Licht AG
|
(562,178)
|
|||||
(5,811,858)
|
|||||||
Hong Kong - (0.5)%
|
|||||||
(84,000)
|
Henderson Land Development Co., Ltd.
|
(512,401)
|
Italy - (1.6)%
|
|||||||
(17,856)
|
Atlantia SpA
|
(472,442)
|
|||||
(22,605)
|
Azimut Holding SpA
|
(561,874)
|
|||||
(70,852)
|
Unione di Banche Italiane SpA
|
(473,394)
|
(1,507,710)
|
|
Shares
|
Security
Description
|
Value
|
Japan - (10.5)%
|
||||||||
(37,000)
|
Coca-Cola East Japan Co., Ltd.
|
$
|
(595,838)
|
|||||
(37,000)
|
Daihatsu Motor Co., Ltd.
|
(499,131)
|
||||||
(19,300)
|
Daiseki Co., Ltd.
|
(307,665)
|
||||||
(24,100)
|
DeNA Co., Ltd.
|
(376,836)
|
||||||
(5,500)
|
Disco Corp.
|
(517,943)
|
||||||
(70,500)
|
F@N Communications, Inc.
|
(432,703)
|
||||||
(56,000)
|
Fuji Kyuko Co., Ltd.
|
(538,433)
|
||||||
(11,100)
|
GMO Payment Gateway, Inc.
|
(527,122)
|
||||||
(31,200)
|
House Foods Group, Inc.
|
(616,006)
|
||||||
(32,700)
|
Kakaku.com, Inc.
|
(643,196)
|
||||||
(31,200)
|
Kansai Paint Co., Ltd.
|
(472,922)
|
||||||
(58,000)
|
Mitsubishi Motors Corp.
|
(490,711)
|
||||||
(21,500)
|
MonotaRO Co., Ltd.
|
(594,898)
|
||||||
(5,700)
|
Nidec Corp.
|
(413,341)
|
||||||
(29,400)
|
Nippon Paint Holdings Co., Ltd.
|
(711,540)
|
||||||
(11,400)
|
Nissin Foods Holdings Co., Ltd.
|
(604,926)
|
||||||
(57,000)
|
Shimizu Corp.
|
(464,792)
|
||||||
(9,100)
|
SHO-BOND Holdings Co., Ltd.
|
(331,901)
|
||||||
(85,000)
|
The Gunma Bank, Ltd.
|
(494,210)
|
||||||
(22,900)
|
Unicharm Corp.
|
(467,657)
|
(10,101,771)
|
||||||||
Luxembourg - (0.5)%
|
||||||||
(43,570)
|
Tenaris SA
|
(515,928)
|
Netherlands - (0.5)%
|
|||||||
(5,521)
|
ASML Holding NV
|
(490,549)
|
New Zealand - (0.6)%
|
|||||||
(104,586)
|
Ryman Healthcare, Ltd.
|
(606,968)
|
Norway - (1.1)%
|
|||||||
(43,425)
|
Marine Harvest ASA
|
(584,276)
|
|||||
(15,139)
|
Schibsted ASA, Class A
|
(497,719)
|
(1,081,995)
|
|||||||
Spain - (1.1)%
|
|||||||
(6,662)
|
Red Electrica Corp. SA
|
(556,474)
|
|||||
(46,214)
|
Zardoya Otis SA
|
(540,493)
|
|||||
(1,096,967)
|
|||||||
Sweden - (2.3)%
|
|||||||
(32,922)
|
Betsson AB
|
(603,293)
|
|||||
(53,265)
|
Hexpol AB
|
(571,120)
|
|||||
(50,872)
|
Skandinaviska Enskilda Banken AB, Class A
|
(534,996)
|
|||||
(39,512)
|
Svenska Handelsbanken AB, Class A
|
(524,778)
|
|||||
(2,234,187)
|
|||||||
Switzerland - (3.1)%
|
|||||||
(23,235)
|
ABB, Ltd.
|
(414,689)
|
|||||
(4,645)
|
Basilea Pharmaceutica AG
|
(446,575)
|
|||||
(27,031)
|
GAM Holding AG
|
(447,434)
|
|||||
(10,320)
|
LafargeHolcim, Ltd.
|
(516,772)
|
LMCG GLOBAL MARKET NEUTRAL FUND
|
SCHEDULE OF SECURITIES SOLD SHORT (Unaudited)
|
DECEMBER 31, 2015
|
|
Shares
|
Security
Description
|
Value
|
(3,990)
|
Sonova Holding AG
|
$
|
(506,944)
|
|||||
(10,150)
|
Sunrise Communications Group AG
|
(598,322)
|
(2,930,736)
|
||||||||
United Kingdom - (5.7)%
|
||||||||
(112,657)
|
Aberdeen Asset Management PLC
|
(480,057)
|
||||||
(94,735)
|
Amec Foster Wheeler PLC
|
(598,030)
|
||||||
(31,793)
|
BHP Billiton PLC
|
(354,550)
|
||||||
(66,205)
|
BTG PLC
|
(670,850)
|
||||||
(25,532)
|
Burberry Group PLC
|
(449,211)
|
||||||
(73,219)
|
ICAP PLC
|
(549,588)
|
||||||
(47,695)
|
Rolls-Royce Holdings PLC
|
(403,997)
|
||||||
(200,840)
|
Rotork PLC
|
(540,492)
|
||||||
(52,897)
|
The Restaurant Group PLC
|
(535,213)
|
||||||
(159,049)
|
Tullow Oil PLC
|
(389,583)
|
||||||
(7,846)
|
Whitbread PLC
|
(508,550)
|
||||||
(5,480,121)
|
||||||||
United States - (56.6)%
|
||||||||
(16,605)
|
Arthur J. Gallagher & Co.
|
(679,809)
|
||||||
(19,103)
|
Artisan Partners Asset Management, Inc., Class A
|
(688,854)
|
||||||
(3,927)
|
athenahealth, Inc.
|
(632,129)
|
||||||
(22,395)
|
AtriCure, Inc.
|
(502,544)
|
||||||
(10,774)
|
Bank of Hawaii Corp.
|
(677,685)
|
||||||
(10,417)
|
Belden, Inc.
|
(496,683)
|
||||||
(69,023)
|
BioDelivery Sciences International, Inc.
|
(330,620)
|
||||||
(29,954)
|
Bottomline Technologies de, Inc.
|
(890,532)
|
||||||
(21,006)
|
Brown & Brown, Inc.
|
(674,293)
|
||||||
(4,205)
|
Buffalo Wild Wings, Inc.
|
(671,328)
|
||||||
(12,147)
|
Cabela's, Inc.
|
(567,629)
|
||||||
(31,896)
|
Calgon Carbon Corp.
|
(550,206)
|
||||||
(30,999)
|
Callidus Software, Inc.
|
(575,651)
|
||||||
(7,767)
|
Carlisle Cos., Inc.
|
(688,855)
|
||||||
(13,869)
|
Cheniere Energy, Inc.
|
(516,620)
|
||||||
(13,116)
|
Choice Hotels International, Inc.
|
(661,178)
|
||||||
(19,313)
|
Cinemark Holdings, Inc.
|
(645,634)
|
||||||
(11,963)
|
CLARCOR, Inc.
|
(594,322)
|
||||||
(11,440)
|
Clayton Williams Energy ,Inc.
|
(338,281)
|
||||||
(20,752)
|
Clifton Bancorp, Inc.
|
(297,584)
|
||||||
(23,746)
|
CommScope Holding Co., Inc.
|
(614,784)
|
||||||
(19,431)
|
CommVault Systems, Inc.
|
(764,610)
|
||||||
(15,675)
|
comScore, Inc.
|
(645,026)
|
||||||
(32,881)
|
Consolidated Communications Holdings, Inc.
|
(688,857)
|
||||||
(19,657)
|
Cornerstone OnDemand, Inc.
|
(678,756)
|
||||||
(34,581)
|
Covanta Holding Corp.
|
(535,660)
|
||||||
(34,732)
|
CVB Financial Corp.
|
(587,665)
|
||||||
(17,626)
|
CyrusOne, Inc. REIT
|
(660,094)
|
||||||
(46,830)
|
Del Frisco's Restaurant Group, Inc.
|
(750,217)
|
||||||
(50,537)
|
Endologix, Inc.
|
(500,316)
|
||||||
(26,378)
|
Ethan Allen Interiors, Inc.
|
(733,836)
|
||||||
(20,471)
|
First Financial Bankshares, Inc.
|
(617,610)
|
|
Shares
|
Security
Description
|
Value
|
(14,154)
|
Five Below, Inc.
|
$
|
(454,343)
|
|||
(36,349)
|
Fluidigm Corp.
|
(392,933)
|
||||
(14,695)
|
Forward Air Corp.
|
(632,032)
|
||||
(18,056)
|
Generac Holdings, Inc.
|
(537,527)
|
||||
(77,524)
|
GenMark Diagnostics, Inc.
|
(601,586)
|
||||
(37,803)
|
Gogo, Inc.
|
(672,893)
|
||||
(24,416)
|
Greenhill & Co., Inc.
|
(698,542)
|
||||
(18,540)
|
Healthcare Services Group, Inc.
|
(646,490)
|
||||
(8,669)
|
IDEX Corp.
|
(664,132)
|
||||
(12,722)
|
Independent Bank Corp.
|
(591,827)
|
||||
(32,391)
|
Inovalon Holdings, Inc., Class A
|
(550,647)
|
||||
(45,676)
|
Krispy Kreme Doughnuts, Inc.
|
(688,337)
|
||||
(14,952)
|
LPL Financial Holdings, Inc.
|
(637,703)
|
||||
(72,334)
|
LSB Industries, Inc.
|
(524,421)
|
||||
(8,501)
|
Macquarie Infrastructure Corp.
|
(617,173)
|
||||
(19,480)
|
Marketo, Inc.
|
(559,271)
|
||||
(15,764)
|
Mattress Firm Holding Corp.
|
(703,547)
|
||||
(14,409)
|
Medidata Solutions, Inc.
|
(710,220)
|
||||
(12,382)
|
Mercury General Corp.
|
(576,630)
|
||||
(37,337)
|
Merrimack Pharmaceuticals, Inc.
|
(294,962)
|
||||
(19,608)
|
Mobile Mini, Inc.
|
(610,397)
|
||||
(54,513)
|
Nationstar Mortgage Holdings, Inc.
|
(728,839)
|
||||
(34,218)
|
Nektar Therapeutics
|
(576,573)
|
||||
(7,802)
|
NetSuite, Inc.
|
(660,205)
|
||||
(58,862)
|
Nimble Storage, Inc.
|
(541,530)
|
||||
(13,695)
|
Northwest Natural Gas Co.
|
(693,104)
|
||||
(96,891)
|
ORBCOMM, Inc.
|
(701,491)
|
||||
(56,497)
|
PGT, Inc.
|
(643,501)
|
||||
(16,155)
|
Power Solutions International, Inc.
|
(294,829)
|
||||
(29,470)
|
PROS Holdings, Inc.
|
(678,989)
|
||||
(8,915)
|
Proto Labs, Inc.
|
(567,796)
|
||||
(4,219)
|
Puma Biotechnology, Inc.
|
(330,770)
|
||||
(30,178)
|
Raven Industries, Inc.
|
(470,777)
|
||||
(6,872)
|
Restoration Hardware Holdings, Inc.
|
(545,980)
|
||||
(18,035)
|
RigNet, Inc.
|
(373,144)
|
||||
(16,935)
|
Royal Gold, Inc.
|
(617,619)
|
||||
(14,781)
|
RPM International, Inc.
|
(651,251)
|
||||
(52,539)
|
Ruckus Wireless, Inc.
|
(562,693)
|
||||
(7,103)
|
Spectrum Brands Holdings, Inc.
|
(723,085)
|
||||
(18,725)
|
Stewart Information Services Corp.
|
(699,004)
|
||||
(25,843)
|
Stratasys, Ltd.
|
(606,794)
|
||||
(61,663)
|
Synergy Resources Corp.
|
(525,369)
|
||||
(12,975)
|
TESARO, Inc.
|
(678,852)
|
||||
(21,391)
|
Texas Roadhouse, Inc.
|
(765,156)
|
||||
(29,295)
|
Textura Corp.
|
(632,186)
|
||||
(33,172)
|
TFS Financial Corp.
|
(624,629)
|
||||
(29,575)
|
TG Therapeutics, Inc.
|
(352,830)
|
||||
(55,881)
|
The Spectranetics Corp.
|
(841,568)
|
||||
(53,762)
|
TimkenSteel Corp.
|
(450,526)
|
||||
(15,038)
|
Trex Co., Inc.
|
(572,046)
|
||||
(52,572)
|
Tronox, Ltd., Class A
|
(205,556)
|
||||
(49,850)
|
Tuesday Morning Corp.
|
(324,025)
|
||||
(17,395)
|
Ultratech, Inc.
|
(344,769)
|
||||
(12,207)
|
UMB Financial Corp.
|
(568,236)
|
LMCG GLOBAL MARKET NEUTRAL FUND
|
SCHEDULE OF SECURITIES SOLD SHORT (Unaudited)
|
DECEMBER 31, 2015
|
|
Shares
|
Security
Description
|
Value
|
(70,070)
|
Valley National Bancorp
|
$
|
(690,189)
|
|||||
(31,517)
|
Varonis Systems, Inc.
|
(592,520)
|
||||||
(10,299)
|
ViaSat, Inc.
|
(628,342)
|
||||||
(72,434)
|
Vince Holding Corp.
|
(331,748)
|
||||||
(13,706)
|
Westamerica Bancorporation
|
(640,755)
|
||||||
(48,117)
|
Westmoreland Coal Co.
|
(282,928)
|
||||||
(74,382)
|
WPX Energy, Inc.
|
(426,953)
|
||||||
(9,085)
|
Zebra Technologies Corp.
|
(632,770)
|
(54,603,408)
|
Total Common Stock
(Proceeds $(100,502,890))
|
(92,799,863)
|
||
Total Short Positions - (96.2)%
(Proceeds $(100,502,890))
|
$
|
(92,799,863)
|
LMCG GLOBAL MARKET NEUTRAL FUND
|
NOTES TO SCHEDULES OF INVESTMENTS AND SECURITIES SOLD SHORT
|
DECEMBER 31, 2015 (Unaudited)
|
LLC
|
Limited Liability Company
|
PLC
|
Public Limited Company
|
REIT
|
Real Estate Investment Trust
|
(a)
|
All or portion of these securities are held as collateral for securities sold short.
|
(b)
|
Non-income producing security.
|
(c)
|
Variable rate security. Rate presented is as of December 31, 2015.
|
*
|
Cost for federal income tax purposes is substantially the same as for financial statement purposes and net unrealized appreciation consists of:
|
Gross Unrealized Appreciation
|
$
|
16,005,066
|
||
Gross Unrealized Depreciation
|
(6,861,863
|
)
|
||
Net Unrealized Appreciation
|
$
|
9,143,203
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Assets
|
||||||||||||||||
Investments At Value
|
||||||||||||||||
Common Stock
|
||||||||||||||||
Australia
|
$
|
-
|
$
|
1,154,509
|
$
|
-
|
$
|
1,154,509
|
||||||||
Austria
|
-
|
577,364
|
-
|
577,364
|
||||||||||||
Bermuda
|
1,233,204
|
-
|
-
|
1,233,204
|
||||||||||||
Curacao
|
393,708
|
-
|
-
|
393,708
|
||||||||||||
Denmark
|
-
|
490,471
|
-
|
490,471
|
||||||||||||
Finland
|
-
|
826,366
|
-
|
826,366
|
||||||||||||
France
|
-
|
2,666,357
|
-
|
2,666,357
|
||||||||||||
Germany
|
-
|
5,874,632
|
-
|
5,874,632
|
||||||||||||
Hong Kong
|
-
|
430,784
|
-
|
430,784
|
||||||||||||
Italy
|
-
|
1,232,797
|
-
|
1,232,797
|
||||||||||||
Japan
|
-
|
10,885,230
|
-
|
10,885,230
|
||||||||||||
Luxembourg
|
-
|
609,389
|
-
|
609,389
|
||||||||||||
Netherlands
|
-
|
1,644,018
|
-
|
1,644,018
|
||||||||||||
Norway
|
637,763
|
2,599,951
|
-
|
3,237,714
|
||||||||||||
Puerto Rico
|
597,492
|
-
|
-
|
597,492
|
||||||||||||
Spain
|
-
|
518,999
|
-
|
518,999
|
||||||||||||
Sweden
|
-
|
1,049,461
|
-
|
1,049,461
|
||||||||||||
Switzerland
|
-
|
2,205,079
|
-
|
2,205,079
|
||||||||||||
United Kingdom
|
-
|
3,730,936
|
-
|
3,730,936
|
||||||||||||
United States
|
52,211,604
|
567,040
|
-
|
52,778,644
|
||||||||||||
Money Market Fund
|
-
|
1,293,867
|
-
|
1,293,867
|
||||||||||||
Total Investments At Value
|
$
|
55,073,771
|
$
|
38,357,250
|
$
|
-
|
$
|
93,431,021
|
||||||||
Total Assets
|
$
|
55,073,771
|
$
|
38,357,250
|
$
|
-
|
$
|
93,431,021
|
LMCG GLOBAL MARKET NEUTRAL FUND
|
NOTES TO SCHEDULES OF INVESTMENTS AND SECURITIES SOLD SHORT
|
DECEMBER 31, 2015 (Unaudited)
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||
Liabilities
|
|||||||
Securities Sold Short
|
Common Stock
|
||||||||||||||||
Austria
|
$
|
-
|
$
|
(518,478
|
)
|
$
|
-
|
$
|
(518,478
|
)
|
||||||
Belgium
|
-
|
(442,973
|
)
|
-
|
(442,973
|
)
|
||||||||||
Bermuda
|
(366,675
|
)
|
-
|
-
|
(366,675
|
)
|
||||||||||
Canada
|
(704,567
|
)
|
-
|
-
|
(704,567
|
)
|
||||||||||
Denmark
|
-
|
(254,117
|
)
|
-
|
(254,117
|
)
|
||||||||||
Finland
|
-
|
(512,138
|
)
|
-
|
(512,138
|
)
|
||||||||||
France
|
-
|
(3,026,316
|
)
|
-
|
(3,026,316
|
)
|
||||||||||
Germany
|
-
|
(5,811,858
|
)
|
-
|
(5,811,858
|
)
|
||||||||||
Hong Kong
|
-
|
(512,401
|
)
|
-
|
(512,401
|
)
|
||||||||||
Italy
|
-
|
(1,507,710
|
)
|
-
|
(1,507,710
|
)
|
||||||||||
Japan
|
-
|
(10,101,771
|
)
|
-
|
(10,101,771
|
)
|
||||||||||
Luxembourg
|
-
|
(515,928
|
)
|
-
|
(515,928
|
)
|
||||||||||
Netherlands
|
-
|
(490,549
|
)
|
-
|
(490,549
|
)
|
||||||||||
New Zealand
|
-
|
(606,968
|
)
|
-
|
(606,968
|
)
|
||||||||||
Norway
|
-
|
(1,081,995
|
)
|
-
|
(1,081,995
|
)
|
||||||||||
Spain
|
-
|
(1,096,967
|
)
|
-
|
(1,096,967
|
)
|
||||||||||
Sweden
|
-
|
(2,234,187
|
)
|
-
|
(2,234,187
|
)
|
||||||||||
Switzerland
|
-
|
(2,930,736
|
)
|
-
|
(2,930,736
|
)
|
||||||||||
United Kingdom
|
-
|
(5,480,121
|
)
|
-
|
(5,480,121
|
)
|
||||||||||
United States
|
(54,603,408
|
)
|
-
|
-
|
(54,603,408
|
)
|
||||||||||
Total Securities Sold Short
|
$
|
(55,674,650
|
)
|
$
|
(37,125,213
|
)
|
$
|
-
|
$
|
(92,799,863
|
)
|
|||||
Total Liabilities
|
$
|
(55,674,650
|
)
|
$
|
(37,125,213
|
)
|
$
|
-
|
$
|
(92,799,863
|
)
|
LMCG GLOBAL MULTICAP FUND
|
SCHEDULE OF INVESTMENTS
|
DECEMBER 31, 2015 (Unaudited)
|
|
Shares
|
Security
Description
|
Value
|
Equity Securities - 92.1%
|
||||||||
Common Stock - 91.9%
|
||||||||
Australia - 0.8%
|
||||||||
4,456
|
Scentre Group REIT (a)
|
$
|
13,516
|
|||||
452
|
South32, Ltd. (a)
|
348
|
||||||
13,864
|
||||||||
Belgium - 1.2%
|
||||||||
54
|
Ackermans & van Haaren NV
|
7,933
|
||||||
106
|
Anheuser-Busch InBev SA/NV
|
13,191
|
||||||
21,124
|
||||||||
Bermuda - 1.3%
|
||||||||
245
|
Lazard, Ltd., Class A
|
11,028
|
||||||
270
|
Validus Holdings, Ltd.
|
12,498
|
||||||
23,526
|
||||||||
Brazil - 0.3%
|
||||||||
400
|
Fibria Celulose SA
|
5,251
|
Canada - 1.8%
|
|||||||
202
|
Canadian National Railway Co.
|
11,292
|
|||||
659
|
Goldcorp, Inc.
|
7,618
|
|||||
200
|
Intact Financial Corp.
|
12,818
|
|||||
31,728
|
|||||||
China - 1.0%
|
|||||||
14,000
|
Industrial & Commercial Bank of China, Ltd., Class H
|
8,392
|
|||||
500
|
Tencent Holdings, Ltd.
|
9,790
|
|||||
18,182
|
|||||||
Denmark - 1.3%
|
|||||||
329
|
DSV A/S
|
12,950
|
|||||
77
|
NKT Holding A/S
|
3,975
|
|||||
165
|
Royal Unibrew A/S
|
6,706
|
|||||
23,631
|
|||||||
France - 2.7%
|
|||||||
197
|
BNP Paribas SA
|
11,146
|
|||||
113
|
Sanofi
|
9,630
|
|||||
298
|
TOTAL SA
|
13,360
|
|||||
223
|
Vinci SA
|
14,293
|
|||||
48,429
|
|||||||
Germany - 5.0%
|
|||||||
77
|
Allianz SE
|
13,573
|
|||||
160
|
BASF SE
|
12,189
|
|||||
120
|
Bayer AG
|
14,987
|
|||||
154
|
Daimler AG
|
12,867
|
|||||
154
|
Freenet AG
|
5,197
|
|||||
57
|
Pfeiffer Vacuum Technology AG
|
5,749
|
|||||
150
|
SAP SE
|
11,903
|
|||||
138
|
Siemens AG
|
13,351
|
|||||
89,816
|
|
Shares
|
Security
Description
|
Value
|
Hong Kong - 0.6%
|
||||||||
500
|
China Mobile, Ltd.
|
$
|
5,628
|
|||||
1,200
|
Dah Sing Financial Holdings, Ltd.
|
5,972
|
||||||
11,600
|
||||||||
India - 0.4%
|
||||||||
270
|
Reliance Industries, Ltd., GDR (b)
|
8,262
|
Ireland - 0.3%
|
|||||||
438
|
Fly Leasing, Ltd., ADR
|
5,979
|
Italy - 1.3%
|
|||||||
1,052
|
Enel SpA
|
4,411
|
|||||
563
|
Eni SpA
|
8,365
|
|||||
3,120
|
Intesa Sanpaolo SpA
|
10,362
|
|||||
23,138
|
|||||||
Japan - 6.0%
|
|||||||
100
|
Aoyama Trading Co., Ltd.
|
3,853
|
|||||
300
|
Exedy Corp.
|
7,250
|
|||||
400
|
Honda Motor Co., Ltd.
|
12,785
|
|||||
300
|
Hoya Corp.
|
12,268
|
|||||
4
|
Japan Logistics Fund, Inc. REIT
|
7,762
|
|||||
2,000
|
Mitsubishi UFJ Financial Group, Inc.
|
12,388
|
|||||
3,000
|
Mitsui Engineering & Shipbuilding Co., Ltd.
|
4,939
|
|||||
400
|
NS Solutions Corp.
|
9,114
|
|||||
800
|
Sumitomo Electric Industries, Ltd.
|
11,297
|
|||||
1,000
|
Toray Industries, Inc.
|
9,292
|
|||||
200
|
Toyota Motor Corp.
|
12,316
|
|||||
200
|
Yamaha Corp.
|
4,831
|
|||||
108,095
|
|||||||
Malaysia - 0.4%
|
|||||||
4,800
|
IHH Healthcare Bhd
|
7,354
|
Malta - 0.6%
|
|||||||
99
|
Unibet Group PLC, SDR
|
10,095
|
Mexico - 0.7%
|
|||||||
5,500
|
America Movil SAB de CV, Class L
|
3,868
|
|||||
4,270
|
Gentera SAB de CV
|
8,262
|
|||||
275
|
Telesites SAB (a)
|
179
|
|||||
12,309
|
|||||||
Netherlands - 0.5%
|
|||||||
219
|
Royal Dutch Shell PLC, ADR
|
10,028
|
Russian Federation - 0.3%
|
||||||
180
|
Tatneft PAO, ADR
|
4,743
|
LMCG GLOBAL MULTICAP FUND
|
SCHEDULE OF INVESTMENTS
|
DECEMBER 31, 2015 (Unaudited)
|
|
Shares
|
Security
Description
|
Value
|
Singapore - 0.6%
|
||||||||
4,000
|
Singapore Press Holdings, Ltd.
|
$
|
11,087
|
South Africa - 0.2%
|
|||||||
570
|
Liberty Holdings, Ltd.
|
4,242
|
South Korea - 1.1%
|
|||||||
323
|
Industrial Bank of Korea (a)
|
3,377
|
|||||
70
|
KT&G Corp. (a)
|
6,221
|
|||||
7
|
Samsung Electronics Co., Ltd.
|
7,466
|
|||||
111
|
SK Hynix, Inc. (a)
|
2,868
|
|||||
19,932
|
|||||||
Spain - 0.4%
|
|||||||
1,643
|
Banco Santander SA
|
8,082
|
Sweden - 1.8%
|
|||||||
434
|
Investor AB, Class B
|
15,949
|
|||||
979
|
Telefonaktiebolaget LM Ericsson, ADR
|
9,408
|
|||||
330
|
Wihlborgs Fastigheter AB
|
6,655
|
|||||
32,012
|
|||||||
Switzerland - 1.6%
|
|||||||
232
|
Nestle SA
|
17,223
|
|||||
211
|
Wolseley PLC
|
11,460
|
|||||
28,683
|
|||||||
Taiwan - 1.1%
|
|||||||
8,800
|
China Life Insurance Co., Ltd.
|
6,720
|
|||||
1,050
|
Hon Hai Precision Industry Co., Ltd.
|
2,570
|
|||||
1,000
|
Taiwan Semiconductor Manufacturing Co., Ltd.
|
4,314
|
|||||
4,347
|
Uni-President Enterprises Corp.
|
7,246
|
|||||
20,850
|
|||||||
United Kingdom - 5.2%
|
|||||||
452
|
BHP Billiton PLC
|
5,041
|
|||||
2,462
|
BP PLC
|
12,794
|
|||||
205
|
British American Tobacco PLC
|
11,384
|
|||||
311
|
Galliford Try PLC
|
6,988
|
|||||
463
|
GlaxoSmithKline PLC
|
9,351
|
|||||
810
|
Howden Joinery Group PLC
|
6,276
|
|||||
1,425
|
HSBC Holdings PLC
|
11,249
|
|||||
576
|
Royal Dutch Shell PLC, Class B
|
13,128
|
|||||
2,300
|
Taylor Wimpey PLC
|
6,875
|
|||||
160
|
Whitbread PLC
|
10,371
|
|||||
93,457
|
|||||||
United States - 53.4%
|
|||||||
303
|
Abbott Laboratories
|
13,608
|
|||||
620
|
AES Corp.
|
5,933
|
|||||
303
|
AGL Resources, Inc.
|
19,334
|
|||||
70
|
Akamai Technologies, Inc. (a)
|
3,684
|
|||||
125
|
Align Technology, Inc. (a)
|
8,231
|
|||||
515
|
Allegheny Technologies, Inc.
|
5,794
|
|
Shares
|
Security
Description
|
Value
|
36
|
Alphabet, Inc., Class A (a)
|
$
|
28,008
|
||||
36
|
Amazon.com, Inc. (a)
|
24,332
|
|||||
495
|
American Eagle Outfitters, Inc.
|
7,673
|
|||||
227
|
AmerisourceBergen Corp.
|
23,542
|
|||||
150
|
Amsurg Corp. (a)
|
11,400
|
|||||
188
|
Apache Corp.
|
8,360
|
|||||
378
|
Apple, Inc.
|
39,788
|
|||||
635
|
Applied Materials, Inc.
|
11,856
|
|||||
48
|
BlackRock, Inc.
|
16,345
|
|||||
275
|
Cabot Corp.
|
11,242
|
|||||
522
|
Cadence Design Systems, Inc. (a)
|
10,863
|
|||||
194
|
Capital One Financial Corp.
|
14,003
|
|||||
114
|
Caterpillar, Inc.
|
7,747
|
|||||
96
|
Charles River Laboratories International, Inc. (a)
|
7,717
|
|||||
79
|
Chevron Corp.
|
7,107
|
|||||
378
|
Cisco Systems, Inc.
|
10,265
|
|||||
247
|
Comerica, Inc.
|
10,332
|
|||||
227
|
Community Health Systems, Inc. (a)
|
6,022
|
|||||
384
|
Corporate Office Properties Trust REIT
|
8,383
|
|||||
142
|
Danaher Corp.
|
13,189
|
|||||
743
|
Darling Ingredients, Inc. (a)
|
7,816
|
|||||
99
|
Diamondback Energy, Inc. (a)
|
6,623
|
|||||
240
|
Dick's Sporting Goods, Inc.
|
8,484
|
|||||
244
|
Diebold, Inc.
|
7,342
|
|||||
128
|
Eagle Materials, Inc.
|
7,735
|
|||||
803
|
Fifth Third Bancorp
|
16,140
|
|||||
684
|
General Electric Co.
|
21,307
|
|||||
162
|
Gilead Sciences, Inc.
|
16,393
|
|||||
162
|
Heartland Payment Systems, Inc.
|
15,361
|
|||||
257
|
Hexcel Corp.
|
11,938
|
|||||
303
|
International Paper Co.
|
11,423
|
|||||
1,246
|
Investors Bancorp, Inc.
|
15,500
|
|||||
296
|
ITT Corp.
|
10,751
|
|||||
488
|
JPMorgan Chase & Co.
|
32,223
|
|||||
266
|
Korn/Ferry International
|
8,826
|
|||||
89
|
Lithia Motors, Inc., Class A
|
9,494
|
|||||
286
|
Marsh & McLennan Cos., Inc.
|
15,859
|
|||||
52
|
Martin Marietta Materials, Inc.
|
7,102
|
|||||
161
|
MasterCard, Inc., Class A
|
15,675
|
|||||
139
|
MAXIMUS, Inc.
|
7,819
|
|||||
266
|
Merck & Co., Inc.
|
14,050
|
|||||
576
|
Micron Technology, Inc. (a)
|
8,156
|
|||||
264
|
Microsoft Corp.
|
14,647
|
|||||
193
|
Oracle Corp.
|
7,050
|
|||||
200
|
PAREXEL International Corp. (a)
|
13,624
|
|||||
114
|
PepsiCo, Inc.
|
11,391
|
|||||
273
|
Pfizer, Inc.
|
8,812
|
|||||
50
|
Pioneer Natural Resources Co.
|
6,269
|
|||||
232
|
Portland General Electric Co.
|
8,438
|
|||||
240
|
PRA Group, Inc. (a)
|
8,326
|
|||||
158
|
Regal Beloit Corp.
|
9,246
|
|||||
81
|
Rockwell Automation, Inc.
|
8,311
|
|||||
148
|
Schlumberger, Ltd.
|
10,323
|
LMCG GLOBAL MULTICAP FUND
|
SCHEDULE OF INVESTMENTS
|
DECEMBER 31, 2015 (Unaudited)
|
|
Shares
|
Security
Description
|
Value
|
128
|
Sensient Technologies Corp.
|
$
|
8,041
|
|||||
315
|
Sotheby's
|
8,114
|
||||||
720
|
Southwestern Energy Co. (a)
|
5,119
|
||||||
348
|
Spectra Energy Corp.
|
8,331
|
||||||
225
|
State Street Corp.
|
14,931
|
||||||
424
|
SunTrust Banks, Inc.
|
18,164
|
||||||
383
|
Synchronoss Technologies, Inc. (a)
|
13,493
|
||||||
303
|
Sysco Corp.
|
12,423
|
||||||
161
|
Team Health Holdings, Inc. (a)
|
7,066
|
||||||
193
|
Tenet Healthcare Corp. (a)
|
5,848
|
||||||
153
|
The Advisory Board Co. (a)
|
7,590
|
||||||
291
|
The Dow Chemical Co.
|
14,981
|
||||||
47
|
The Goldman Sachs Group, Inc.
|
8,471
|
||||||
568
|
The Interpublic Group of Cos., Inc.
|
13,223
|
||||||
48
|
Towers Watson & Co., Class A
|
6,166
|
||||||
128
|
United Technologies Corp.
|
12,297
|
||||||
264
|
Unum Group
|
8,789
|
||||||
317
|
USG Corp. (a)
|
7,700
|
||||||
364
|
Vantiv, Inc., Class A (a)
|
17,261
|
||||||
422
|
Wells Fargo & Co.
|
22,940
|
||||||
149
|
Williams-Sonoma, Inc.
|
8,703
|
||||||
632
|
Zions Bancorp.
|
17,254
|
||||||
964,117
|
Total Common Stock
(Cost $1,651,669)
|
1,659,616
|
Shares
|
Security
Description
|
Rate
|
Value
|
Preferred Stock - 0.2%
|
||||||||||
Brazil - 0.2%
|
||||||||||
720
|
Banco Bradesco SA
|
0.84
|
%
|
3,484
|
Total Preferred Stock
(Cost $8,014)
|
3,484
|
Total Equity Securities
(Cost $1,659,683)
|
1,663,100
|
Principal
|
Security
Description
|
Value
|
Fixed Income Securities - 0.6%
|
|||||||
Exchange Traded Note - 0.6%
|
|||||||
$
|
156
|
iPath MSCI India Index ETN (a)
|
9,996
|
Total Fixed Income Securities
(Cost $8,169)
|
9,996
|
Shares
|
Security
Description
|
Value
|
Rights - 0.0%
|
|||||||
23
|
Banco Bradesco SA(a)(c)
|
12
|
Total Rights
(Cost $0)
|
12
|
Shares
|
Security
Description
|
Value
|
Investment Companies - 6.0%
|
|||||||
196
|
iShares MSCI ACWI ETF
|
$
|
10,941
|
||||
466
|
iShares MSCI EAFE ETF
|
27,377
|
|||||
68
|
iShares MSCI EAFE Small-Cap ETF
|
3,396
|
|||||
322
|
iShares MSCI Eurozone ETF
|
11,283
|
|||||
135
|
iShares MSCI Turkey ETF
|
4,909
|
|||||
506
|
iShares Russell 1000 Growth ETF
|
50,337
|
Total Investment Companies
(Cost $108,865)
|
108,243
|
Money Market Fund - 2.9%
|
|||||||
51,636
|
Dreyfus Treasury Prime Cash Management, 0.01% (d)
(Cost $51,636)
|
51,636
|
Total Investments - 101.6%
(Cost $1,828,353)*
|
$
|
1,832,987
|
||
Other Assets & Liabilities, Net – (1.6)%
|
(28,275
|
)
|
||
Net Assets – 100.0%
|
$
|
1,804,712
|
ADR
|
American Depositary Receipt
|
ETF
|
Exchange Traded Fund
|
ETN
|
Exchange Traded Note
|
GDR
|
Global Depositary Receipt
|
PLC
|
Public Limited Company
|
REIT
|
Real Estate Investment Trust
|
SDR
|
Swedish Depositary Receipt
|
(a)
|
Non-income producing security.
|
(b)
|
Security exempt from registration under Rule 144A under the Securities Act of 1933. At the period end, the value of these securities amounted to $8,262 or 0.5% of net assets.
|
(c)
|
Security fair valued in accordance with procedures adopted by the Board of Trustees. At the period end, the value of these securities amounted to $12 or 0.0% of net assets.
|
(d)
|
Variable rate security. Rate presented is as of December 31, 2015.
|
LMCG GLOBAL MULTICAP FUND
|
SCHEDULE OF INVESTMENTS
|
DECEMBER 31, 2015 (Unaudited)
|
*
|
Cost for federal income tax purposes is substantially the same as for financial statement purposes and net unrealized appreciation consists of:
|
Gross Unrealized Appreciation
|
$
|
181,624
|
||
Gross Unrealized Depreciation
|
(176,990
|
)
|
||
Net Unrealized Appreciation
|
$
|
4,634
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Investments At Value
|
||||||||||||||||
Common Stock
|
||||||||||||||||
Australia
|
$
|
-
|
$
|
13,864
|
$
|
-
|
$
|
13,864
|
||||||||
Belgium
|
-
|
21,124
|
-
|
21,124
|
||||||||||||
Bermuda
|
23,526
|
-
|
-
|
23,526
|
||||||||||||
Brazil
|
-
|
5,251
|
-
|
5,251
|
||||||||||||
Canada
|
31,728
|
-
|
-
|
31,728
|
||||||||||||
China
|
-
|
18,182
|
-
|
18,182
|
||||||||||||
Denmark
|
-
|
23,631
|
-
|
23,631
|
||||||||||||
France
|
-
|
48,429
|
-
|
48,429
|
||||||||||||
Germany
|
-
|
89,816
|
-
|
89,816
|
||||||||||||
Hong Kong
|
-
|
11,600
|
-
|
11,600
|
||||||||||||
India
|
8,262
|
-
|
-
|
8,262
|
||||||||||||
Ireland
|
5,979
|
-
|
-
|
5,979
|
||||||||||||
Italy
|
-
|
23,138
|
-
|
23,138
|
||||||||||||
Japan
|
-
|
108,095
|
-
|
108,095
|
||||||||||||
Malaysia
|
-
|
7,354
|
-
|
7,354
|
||||||||||||
Malta
|
-
|
10,095
|
-
|
10,095
|
||||||||||||
Mexico
|
12,309
|
-
|
-
|
12,309
|
||||||||||||
Netherlands
|
10,028
|
-
|
-
|
10,028
|
||||||||||||
Russian Federation
|
4,743
|
-
|
-
|
4,743
|
||||||||||||
Singapore
|
-
|
11,087
|
-
|
11,087
|
||||||||||||
South Africa
|
-
|
4,242
|
-
|
4,242
|
||||||||||||
South Korea
|
-
|
19,932
|
-
|
19,932
|
||||||||||||
Spain
|
-
|
8,082
|
-
|
8,082
|
||||||||||||
Sweden
|
9,408
|
22,604
|
-
|
32,012
|
||||||||||||
Switzerland
|
-
|
28,683
|
-
|
28,683
|
||||||||||||
Taiwan
|
-
|
20,850
|
-
|
20,850
|
||||||||||||
United Kingdom
|
13,128
|
80,329
|
-
|
93,457
|
||||||||||||
United States
|
964,117
|
-
|
-
|
964,117
|
||||||||||||
Preferred Stock
|
||||||||||||||||
Brazil
|
-
|
3,484
|
-
|
3,484
|
||||||||||||
Exchange Traded Note
|
9,996
|
-
|
-
|
9,996
|
||||||||||||
Rights
|
-
|
-
|
12
|
12
|
||||||||||||
Investment Companies
|
108,243
|
-
|
-
|
108,243
|
||||||||||||
Money Market Fund
|
-
|
51,636
|
-
|
51,636
|
||||||||||||
Total Investments At Value
|
$
|
1,201,467
|
$
|
631,508
|
$
|
12
|
$
|
1,832,987
|
LMCG GLOBAL MULTICAP FUND
|
SCHEDULE OF INVESTMENTS
|
DECEMBER 31, 2015 (Unaudited)
|
Rights
|
Balance as of 03/31/15
|
$
|
-
|
||||
Change in Unrealized Appreciation/(Depreciation)
|
-
|
|||||
Purchases
|
12
|
|||||
Transfers In
|
-
|
|||||
Balance as of 12/31/15
|
$
|
12
|
||||
Net change in unrealized appreciation/(depreciation) from investments held as of 12/31/15
|
$
|
12
|
MERK HARD CURRENCY FUND
|
SCHEDULE OF INVESTMENTS
|
DECEMBER 31, 2015 (Unaudited)
|
Principal
|
Security Description
|
Currency
|
Rate
|
Maturity
|
Value in USD
|
|||||||||
Foreign Bonds(a) - 52.4%
|
||||||||||||||
Non-U.S. Government - Austria - 2.0%
|
||||||||||||||
2,000,000
|
Austria Government Bond (b)
|
EUR
|
1.950
|
%
|
6/18/2019
|
$
|
2,335,549
|
|||||||
Non-U.S. Government - New Zealand - 3.7%
|
||||||||||||||
6,000,000
|
New Zealand Government Bond, Series 1217 (b)
|
NZD
|
6.000
|
12/15/2017
|
4,361,938
|
|||||||||
Non-U.S. Government Agency - Norway - 1.3%
|
||||||||||||||
13,000,000
|
Kommunalbanken AS, EMTN (b)
|
NOK
|
3.000
|
9/2/2016
|
1,487,037
|
|||||||||
Non-U.S. Government Agency - Sweden - 15.9%
|
||||||||||||||
155,000,000
|
Kommuninvest I Sverige AB, Series 1610, MTN
|
SEK
|
2.000
|
10/12/2016
|
18,709,602
|
|||||||||
Regional Authority - Australia - 3.8%
|
||||||||||||||
6,000,000
|
New South Wales Treasury Corp., Series 16
|
AUD
|
6.000
|
4/1/2016
|
4,412,354
|
|||||||||
Regional Authority - Canada - 2.9%
|
||||||||||||||
1,700,000
|
Province of Alberta Canada
|
CAD
|
1.850
|
9/1/2016
|
1,238,689
|
|||||||||
3,000,000
|
Province of Saskatchewan Canada
|
CAD
|
4.500
|
8/23/2016
|
2,221,999
|
|||||||||
3,460,688
|
||||||||||||||
Regional Authority - Norway - 4.3%
|
||||||||||||||
44,000,000
|
City of Oslo Norway
|
NOK
|
4.650
|
11/10/2016
|
5,109,063
|
|||||||||
Regional Authority - Sweden - 2.2%
|
||||||||||||||
14,000,000
|
City of Gothenburg Sweden, EMTN
|
SEK
|
1.630
|
12/5/2016
|
1,683,065
|
|||||||||
7,000,000
|
City of Gothenburg Sweden, EMTN
|
SEK
|
4.325
|
4/10/2017
|
877,893
|
|||||||||
2,560,958
|
||||||||||||||
Supranational - Europe - 14.5%
|
||||||||||||||
4,850,000
|
European Financial Stability Facility, EMTN (b)
|
EUR
|
2.750
|
12/5/2016
|
5,414,275
|
|||||||||
5,500,000
|
European Investment Bank, EMTN
|
EUR
|
3.875
|
10/15/2016
|
6,169,390
|
|||||||||
5,000,000
|
European Stability Mechanism, EMTN (b)
|
EUR
|
0.000
|
10/28/2016
|
5,444,296
|
|||||||||
17,027,961
|
||||||||||||||
Supranational - Finland - 1.8%
|
||||||||||||||
18,530,000
|
Nordic Investment Bank, EMTN
|
NOK
|
3.000
|
9/1/2016
|
2,120,488
|
|||||||||
Total Foreign Bonds (Cost $62,981,366)
|
61,585,638
|
|||||||||||||
Foreign Treasury Securities(a) - 13.4%
|
||||||||||||||
Non-U.S. Government - Belgium - 4.2%
|
||||||||||||||
4,497,000
|
Belgium Treasury Bill (c)
|
EUR
|
0.000
|
4/14/2016
|
4,892,617
|
|||||||||
Non-U.S. Government - France - 4.6%
|
||||||||||||||
5,000,000
|
France Treasury Bill BTF (b)(c)
|
EUR
|
0.000
|
3/31/2016
|
5,440,405
|
|||||||||
Non-U.S. Government - Sweden - 4.6%
|
||||||||||||||
45,000,000
|
Sweden Treasury Bill, Series 201D (c)
|
SEK
|
0.000
|
3/16/2016
|
5,336,776
|
|||||||||
Total Foreign Treasury Securities (Cost $15,729,635)
|
15,669,798
|
|||||||||||||
U.S. Treasury Bills(a) - 8.5%
|
||||||||||||||
10,000,000
|
U.S. Treasury Bill (d) (Cost $9,995,229)
|
USD
|
0.226
|
3/17/2016
|
9,998,140
|
|||||||||
Shares
|
||||||||||||||
Exchange Traded Product - United States - 18.7%
|
||||||||||||||
2,089,800
|
Van Eck Merk Gold Trust (e)(f) (Cost $26,699,007)
|
USD
|
21,984,696
|
|||||||||||
Total Investments – 93.0% (Cost $115,405,237)*
|
$
|
109,238,272
|
||||||||||||
Foreign Currencies – 6.9% (Cost $8,212,529)
|
8,135,537
|
|||||||||||||
Net Unrealized Gain/Loss on Forward Currency Contracts – 0.0%
|
16,269
|
|||||||||||||
Other Assets and Liabilities, Net – 0.1%
|
108,555
|
|||||||||||||
NET ASSETS – 100.0%
|
$
|
117,498,633
|
||||||||||||
EMTN
|
European Medium Term Note
|
MTN
|
Medium Term Note
|
(a)
|
All or a portion of these securities are segregated to cover outstanding forward currency contract exposure.
|
(b)
|
Security exempt from registration under Rule 144A under the Securities Act of 1933. At the period end, the value of these securities amounted to $24,483,500 or 20.8% of net assets.
|
(c)
|
Zero coupon bond. Interest rate presented is yield to maturity.
|
(d)
|
Rate presented is yield to maturity.
|
(e)
|
Non-income producing security.
|
(f)
|
Affiliate.
|
*
|
Cost for federal income tax purposes is substantially the same as for financial statement purposes and net unrealized depreciation consists of:
|
Gross Unrealized Appreciation
|
$
|
558,735
|
||
Gross Unrealized Depreciation
|
(6,725,700
|
)
|
||
Net Unrealized Depreciation
|
$
|
(6,166,965
|
)
|
Exchange Traded Product
|
||||||||||||||||||||||
Van Eck Merk Gold Trust
|
Balance 03/31/15
|
Gross Additions
|
Gross Reductions
|
Balance 12/31/15
|
Realized Loss
|
Investment Income
|
||||||||||||||||
Shares/Principal
|
2,529,800
|
100,000
|
(540,000)
|
2,089,800
|
||||||||||||||||||
Cost
|
$
|
32,588,125
|
$
|
1,067,000
|
$
|
(6,956,118)
|
$
|
26,699,007
|
$
|
(813,338)
|
$
|
-
|
||||||||||
Proceeds
|
-
|
(6,142,780)
|
||||||||||||||||||||
Value
|
29,828,872
|
1,052,000
|
(8,896,176)
|
21,984,696
|
|
As of December 31, 2015, the Merk Hard Currency Fund held the following futures contracts outstanding:
|
Contracts
|
Type
|
Expiration Date
|
Notional Contract Value
|
Net Unrealized Depreciation
|
14
|
Gold 100 oz. Future
|
02/29/16
|
$
|
1,509,409
|
$
|
(25,129
|
)
|
|
As of December 31, 2015, the Merk Hard Currency Fund had the following forward currency contracts outstanding:
|
Counterparty
|
Contracts to Purchase/(Sell)
|
Settlement Date
|
Settlement Value
|
Net Unrealized Appreciation (Depreciation)
|
|||||||||||
Barclays Capital, Inc.
|
(525,000,000
|
)
|
Japanese Yen
|
01/06/16
|
$
|
(4,283,735
|
)
|
$
|
(84,731
|
)
|
|||||
J.P. Morgan Securities LLC
|
525,000,000
|
Japanese Yen
|
01/06/16
|
4,309,623
|
58,842
|
||||||||||
(60,000,000
|
)
|
Japanese Yen
|
02/03/16
|
(497,926
|
)
|
(1,627
|
)
|
||||||||
1,250,000,000
|
Japanese Yen
|
02/03/16
|
10,366,400
|
40,945
|
|||||||||||
RBC Capital Markets, LLC
|
(686,078
|
)
|
Australian Dollar
|
01/04/16
|
(500,000
|
)
|
55
|
||||||||
UBS Securities LLC
|
(641,560
|
)
|
Euro
|
01/04/16
|
(700,000
|
)
|
2,785
|
||||||||
$
|
16,269
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Assets
|
||||||||||||||||
Investments At Value
|
||||||||||||||||
Foreign Bonds
|
$
|
-
|
$
|
61,585,638
|
$
|
-
|
$
|
61,585,638
|
||||||||
Foreign Treasury Securities
|
-
|
15,669,798
|
-
|
15,669,798
|
||||||||||||
U.S. Treasury Bills
|
-
|
9,998,140
|
-
|
9,998,140
|
||||||||||||
Exchange Traded Product
|
21,984,696
|
-
|
-
|
21,984,696
|
||||||||||||
Total Investments At Value
|
$
|
21,984,696
|
$
|
87,253,576
|
$
|
-
|
$
|
109,238,272
|
Other Financial Instruments**
|
||||||||||||||||
Forward Currency Contracts
|
-
|
102,627
|
-
|
102,627
|
||||||||||||
Total Assets
|
$
|
21,984,696
|
$
|
87,356,203
|
$
|
-
|
$
|
109,340,899
|
Liabilities
|
||||||||||||||||
Other Financial Instruments**
|
||||||||||||||||
Forward Currency Contracts
|
-
|
(86,358
|
)
|
-
|
(86,358
|
)
|
||||||||||
Total Liabilities
|
$
|
-
|
$
|
(86,358
|
)
|
$
|
-
|
$
|
(86,358
|
)
|
MERK ASIAN CURRENCY FUND
|
SCHEDULE OF INVESTMENTS
|
DECEMBER 31, 2015 (Unaudited)
|
Principal
|
Security Description
|
Currency
|
Rate
|
Maturity
|
Value in USD
|
|||||||||
Foreign Bonds(a) - 86.8%
|
||||||||||||||
Automotive - Germany - 5.3%
|
||||||||||||||
6,000,000
|
Volkswagen International Finance NV, EMTN
|
CNH
|
2.150
|
%
|
5/23/2016
|
$
|
901,055
|
|||||||
Banks - China - 8.5%
|
||||||||||||||
5,600,000
|
Agricultural Development Bank of China (b)
|
CNH
|
3.000
|
5/21/2016
|
848,979
|
|||||||||
4,000,000
|
China Construction Bank (b)
|
CNH
|
3.380
|
5/28/2016
|
605,653
|
|||||||||
1,454,632
|
||||||||||||||
Banks - South Korea - 4.4%
|
||||||||||||||
2,000,000
|
Export-Import Bank of Korea, EMTN (b)
|
CNH
|
3.625
|
1/27/2019
|
298,256
|
|||||||||
3,000,000
|
The Korea Development Bank (b)
|
CNH
|
3.550
|
6/19/2018
|
448,243
|
|||||||||
746,499
|
||||||||||||||
Banks - United Kingdom - 1.8%
|
||||||||||||||
2,000,000
|
Standard Chartered PLC (b)
|
CNH
|
2.625
|
5/31/2016
|
301,875
|
|||||||||
Consumer Discretionary - Germany - 4.4%
|
||||||||||||||
4,000,000
|
BSH Hausgerate GmbH (b)
|
CNH
|
3.375
|
9/28/2016
|
602,762
|
|||||||||
1,000,000
|
BSH Hausgerate GmbH (b)
|
CNH
|
3.800
|
7/24/2017
|
150,366
|
|||||||||
753,128
|
||||||||||||||
Consumer Staples - Netherlands - 4.4%
|
||||||||||||||
5,000,000
|
Unilever NV (b)
|
CNH
|
2.950
|
2/27/2017
|
748,024
|
|||||||||
Industrial - United States - 4.0%
|
||||||||||||||
4,500,000
|
Caterpillar Financial Services Corp., EMTN (b)
|
CNH
|
2.950
|
3/3/2016
|
682,644
|
|||||||||
Materials - China - 5.2%
|
||||||||||||||
6,000,000
|
Sinochem Offshore Capital Co., Ltd. (b)
|
CNH
|
3.550
|
5/13/2017
|
898,771
|
|||||||||
Materials - France - 5.7%
|
||||||||||||||
6,500,000
|
Air Liquide Finance SA (b)
|
CNH
|
3.000
|
9/19/2016
|
976,143
|
|||||||||
Non-U.S. Government - China - 4.4%
|
||||||||||||||
5,000,000
|
China Government Bond (b)
|
CNH
|
1.400
|
8/18/2016
|
751,146
|
|||||||||
Non-U.S. Government - United Kingdom - 3.5%
|
||||||||||||||
4,000,000
|
United Kingdom Government International Bond (b)
|
CNH
|
2.700
|
10/21/2017
|
597,486
|
|||||||||
Non-U.S. Government Agency - China - 4.4%
|
||||||||||||||
5,000,000
|
The Export-Import Bank of China (b)
|
CNH
|
3.000
|
5/14/2016
|
757,541
|
|||||||||
Non-U.S. Government Agency - France - 4.4%
|
||||||||||||||
5,000,000
|
Caisse d'Amortissement de la Dette Sociale (b)
|
CNH
|
3.800
|
2/6/2017
|
758,097
|
|||||||||
Non-U.S. Government Agency - Germany - 5.3%
|
||||||||||||||
6,000,000
|
KFW, EMTN (b)
|
CNH
|
1.375
|
5/12/2016
|
904,132
|
|||||||||
Non-U.S. Government Agency - Sweden - 3.6%
|
||||||||||||||
4,200,000
|
Svensk Exportkredit AB, EMTN (b)
|
CNH
|
2.500
|
9/25/2017
|
620,465
|
|||||||||
Regional Authority - Canada - 4.4%
|
||||||||||||||
5,000,000
|
Province of British Columbia Canada
|
CNH
|
2.850
|
11/13/2016
|
752,653
|
|||||||||
Supranational - Global - 8.7%
|
||||||||||||||
5,000,000
|
Asian Development Bank, EMTN
|
CNH
|
3.200
|
11/10/2019
|
742,408
|
|||||||||
5,000,000
|
International Bank for Reconstruction & Development, EMTN
|
CNH
|
2.375
|
9/26/2016
|
749,415
|
|||||||||
1,491,823
|
||||||||||||||
Utilities - Hong Kong - 4.4%
|
||||||||||||||
5,000,000
|
HKCG Finance, Ltd., EMTN (b)
|
CNH
|
1.400
|
4/11/2016
|
753,543
|
|||||||||
Total Foreign Bonds (Cost $15,717,942)
|
14,849,657
|
|||||||||||||
U.S. Treasury Bills (a) - 2.9%
|
||||||||||||||
500,000
|
U.S. Treasury Bill (c) (Cost $499,987)
|
USD
|
0.041
|
1/28/2016
|
499,959
|
|||||||||
Time Deposit - 4.7%
|
||||||||||||||
5,254,498
|
Deutsche Bank (Cost $800,009)
|
CNH
|
5.040
|
2/17/2016
|
800,100
|
|||||||||
Shares
|
||||||||||||||
Money Market Fund - 1.5%
|
||||||||||||||
264,077
|
Morgan Stanley Institutional Liquidity Fund (d) (Cost $264,077)
|
USD
|
0.054 |
|
264,077
|
|||||||||
Value in USD
|
||||||||||||||
Total Investments – 95.9% (Cost $17,282,015)*
|
$
|
16,413,793
|
||||||||||||
Foreign Currencies – 10.2% (Cost $1,750,795)
|
1,748,790
|
|||||||||||||
Net Unrealized Gain/Loss on Forward Currency Contracts – 0.0%
|
(432
|
|||||||||||||
Other Assets and Liabilities, Net – (6.1)%
|
(1,053,668
|
|||||||||||||
NET ASSETS – 100.0%
|
$
|
17,108,483
|
||||||||||||
EMTN
|
European Medium Term Note
|
PLC
|
Public Limited Company
|
(a)
|
All or a portion of these securities are segregated to cover outstanding forward currency contract exposure.
|
(b)
|
Security exempt from registration under Rule 144A under the Securities Act of 1933. At the period end, the value of these securities amounted to $11,704,126 or 68.4% of net assets.
|
(c)
|
Rate presented is yield to maturity.
|
(d)
|
Variable rate security. Rate presented is as of December 31, 2015.
|
*
|
Cost for federal income tax purposes is substantially the same as for financial statement purposes and net unrealized depreciation consists of:
|
Gross Unrealized Appreciation
|
$
|
91
|
||
Gross Unrealized Depreciation
|
(868,313
|
)
|
||
Net Unrealized Depreciation
|
$
|
(868,222
|
)
|
|
As of December 31, 2015, the Merk Asian Currency Fund had the following forward currency contracts outstanding:
|
Counterparty
|
Contracts to Purchase/(Sell)
|
Settlement Date
|
Settlement Value
|
Net Unrealized Appreciation (Depreciation)
|
|||||||||||
J.P. Morgan Securities LLC
|
31,500,000
|
Hong Kong Dollar
|
01/06/16
|
$
|
4,065,217
|
$
|
(515
|
)
|
|||||||
RBC Capital Markets, LLC
|
(1,642,375
|
)
|
China Renminbi
|
01/05/16
|
(250,000
|
)
|
(84
|
)
|
|||||||
Societe Generale Securities
|
(31,500,000
|
)
|
Hong Kong Dollar
|
01/06/16
|
(4,064,688
|
)
|
(14
|
)
|
|||||||
31,500,000
|
Hong Kong Dollar
|
02/17/16
|
4,065,969
|
181
|
|||||||||||
$
|
(432
|
)
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Assets
|
||||||||||||||||
Investments At Value
|
||||||||||||||||
Foreign Bonds
|
$
|
-
|
$
|
14,849,657
|
$
|
-
|
$
|
14,849,657
|
||||||||
U.S. Treasury Bills
|
-
|
499,959
|
-
|
499,959
|
||||||||||||
Foreign Time Deposit
|
-
|
800,100
|
-
|
800,100
|
||||||||||||
Money Market Fund
|
-
|
264,077
|
-
|
264,077
|
||||||||||||
Total Investments At Value
|
$
|
-
|
$
|
16,413,793
|
$
|
-
|
$
|
16,413,793
|
Other Financial Instruments**
|
||||||||||||||||
Forward Currency Contracts
|
-
|
181
|
-
|
181
|
||||||||||||
Total Assets
|
$
|
-
|
$
|
16,413,974
|
$
|
-
|
$
|
16,413,974
|
||||||||
Liabilities
|
Other Financial Instruments**
|
||||||||||||||||
Forward Currency Contracts
|
$
|
-
|
$
|
(613
|
)
|
$
|
-
|
$
|
(613
|
)
|
||||||
Total Liabilities
|
$
|
-
|
$
|
(613
|
)
|
$
|
-
|
$
|
(613
|
)
|
MERK ABSOLUTE RETURN CURRENCY FUND
|
SCHEDULE OF INVESTMENTS
|
DECEMBER 31, 2015 (Unaudited)
|
Principal
|
Security Description
|
Currency
|
Rate
|
Maturity
|
Value in USD
|
|||||||||
Foreign Bonds (a) - 74.4%
|
||||||||||||||
Non-U.S. Government - Australia - 4.8%
|
||||||||||||||
2,000,000
|
Australia Government Bond, Series 130 (b)
|
AUD
|
4.750
|
%
|
6/15/2016
|
$
|
1,475,492
|
|||||||
Non-U.S. Government - New Zealand - 4.8%
|
||||||||||||||
2,000,000
|
New Zealand Government Bond, Series 1217 (b)
|
NZD
|
6.000
|
12/15/2017
|
1,453,979
|
|||||||||
Non-U.S. Government - United Kingdom - 4.6%
|
||||||||||||||
950,000
|
United Kingdom Gilt (b)
|
GBP
|
2.000
|
1/22/2016
|
1,401,835
|
|||||||||
Non-U.S. Government Agency - Germany - 4.7%
|
||||||||||||||
950,000
|
KFW, EMTN
|
GBP
|
3.750
|
9/7/2016
|
1,430,832
|
|||||||||
Non-U.S. Government Agency - Norway - 4.5%
|
||||||||||||||
12,000,000
|
Kommunalbanken AS, EMTN (b)
|
NOK
|
3.000
|
9/2/2016
|
1,372,650
|
|||||||||
Non-U.S. Government Agency - Sweden - 20.1%
|
||||||||||||||
51,000,000
|
Kommuninvest I Sverige AB, Series 1610, MTN
|
SEK
|
2.000
|
10/12/2016
|
6,156,062
|
|||||||||
Regional Authority - Australia - 17.5%
|
||||||||||||||
1,750,000
|
New South Wales Treasury Corp., Series 16
|
AUD
|
6.000
|
4/1/2016
|
1,286,936
|
|||||||||
2,000,000
|
Queensland Treasury Corp., Series 16 (b)
|
AUD
|
6.000
|
4/21/2016
|
1,474,106
|
|||||||||
2,000,000
|
Treasury Corp of Victoria, Series 116
|
AUD
|
5.750
|
11/15/2016
|
1,503,028
|
|||||||||
1,500,000
|
Western Australian Treasury Corp., Series 16
|
AUD
|
3.000
|
6/8/2016
|
1,096,618
|
|||||||||
5,360,688
|
||||||||||||||
Regional Authority - Canada - 8.6%
|
||||||||||||||
1,800,000
|
Province of Manitoba Canada
|
CAD
|
2.050
|
12/1/2016
|
1,318,031
|
|||||||||
1,800,000
|
Province of Saskatchewan Canada
|
CAD
|
4.500
|
8/23/2016
|
1,333,200
|
|||||||||
2,651,231
|
||||||||||||||
Supranational - Europe - 4.8%
|
||||||||||||||
1,300,000
|
European Investment Bank, EMTN
|
EUR
|
3.875
|
10/15/2016
|
1,458,219
|
|||||||||
Total Foreign Bonds (Cost $23,275,722)
|
22,760,988
|
|||||||||||||
Foreign Treasury Securities(a) - 12.9%
|
||||||||||||||
993,000
|
Belgium Treasury Bill (c)
|
EUR
|
0.000
|
4/14/2016
|
1,080,358
|
|||||||||
Non-U.S. Government - Canada - 4.7%
|
||||||||||||||
2,000,000
|
Canadian Treasury Bill (c)
|
CAD
|
0.471
|
6/16/2016
|
1,442,018
|
|||||||||
Non-U.S. Government - Norway - 4.6%
|
||||||||||||||
12,500,000
|
Norwegian Treasury Bill
|
NOK
|
0.570
|
3/16/2016
|
1,410,603
|
|||||||||
Total Foreign Treasury Securities (Cost $3,982,392)
|
3,932,979
|
|||||||||||||
Total Investments – 87.3% (Cost $27,258,114)*
|
$
|
26,693,967
|
||||||||||||
Foreign Currencies – 10.3% (Cost $3,142,854)
|
3,137,009
|
|||||||||||||
Net Unrealized Gain/Loss on Forward Currency Contracts – 1.3%
|
423,291
|
|||||||||||||
Other Assets and Liabilities, Net – 1.1%
|
338,065
|
|||||||||||||
NET ASSETS – 100.0%
|
$
|
30,592,332
|
||||||||||||
EMTN
|
European Medium Term Note
|
MTN
|
Medium Term Note
|
(a)
|
All or a portion of these securities are segregated to cover outstanding forward currency contract exposure.
|
(b)
|
Security exempt from registration under Rule 144A under the Securities Act of 1933. At the period end, the value of these securities amounted to $7,178,062 or 23.5% of net assets.
|
(c)
|
Zero coupon bond. Interest rate presented is yield to maturity.
|
*
|
Cost for federal income tax purposes is substantially the same as for financial statement purposes and net unrealized depreciation consists of:
|
Gross Unrealized Appreciation
|
$
|
170,434
|
||
Gross Unrealized Depreciation
|
(734,581
|
)
|
||
Net Unrealized Depreciation
|
$
|
(564,147
|
)
|
|
As of December 31, 2015, Merk Absolute Return Currency Fund had the following forward currency contracts outstanding:
|
Counterparty
|
Contracts to Purchase/(Sell)
|
Settlement Date
|
Settlement Value
|
Net Unrealized Appreciation (Depreciation)
|
|||||||||||
Barclays Capital, Inc.
|
2,120,000
|
New Zealand Dollar
|
01/20/16
|
$
|
1,454,858
|
$
|
(6,905
|
)
|
|||||||
(121,640,000
|
)
|
Norwegian Krone
|
01/20/16
|
(13,985,726
|
)
|
246,521
|
|||||||||
(5,460,000
|
)
|
Swedish Krona
|
01/20/16
|
(637,238
|
)
|
(9,969
|
)
|
||||||||
13,240,000
|
Swedish Krona
|
01/20/16
|
1,569,083
|
334
|
|||||||||||
BNY Brokerage, Inc.
|
(484,700,000
|
)
|
Japanese Yen
|
01/20/16
|
(4,014,937
|
)
|
(19,413
|
)
|
|||||||
(107,600,000
|
)
|
Japanese Yen
|
01/20/16
|
(890,519
|
)
|
(5,078
|
)
|
||||||||
(4,875,000
|
)
|
New Zealand Dollar
|
01/20/16
|
(3,280,583
|
)
|
(49,026
|
)
|
||||||||
2,870,000
|
New Zealand Dollar
|
01/20/16
|
1,954,691
|
5,509
|
|||||||||||
(37,220,000
|
)
|
Norwegian Krone
|
01/20/16
|
(4,245,120
|
)
|
41,131
|
|||||||||
(6,700,000
|
)
|
Norwegian Krone
|
01/20/16
|
(770,385
|
)
|
13,621
|
|||||||||
67,940,000
|
Norwegian Krone
|
01/20/16
|
7,756,988
|
(83,184
|
)
|
||||||||||
(875,000
|
)
|
Pounds Sterling
|
01/20/16
|
(1,295,029
|
)
|
5,028
|
|||||||||
390,000
|
Pounds Sterling
|
01/20/16
|
575,101
|
(129
|
)
|
||||||||||
7,970,000
|
Swedish Krona
|
01/20/16
|
952,879
|
(8,147
|
)
|
||||||||||
8,450,000
|
Swedish Krona
|
01/20/16
|
1,009,177
|
(7,547
|
)
|
||||||||||
(2,835,000
|
)
|
Swiss Franc
|
01/20/16
|
(2,874,379
|
)
|
41,455
|
|||||||||
J.P. Morgan Securities LLC
|
(2,224,000
|
)
|
Australian Dollar
|
01/20/16
|
(1,605,887
|
)
|
(13,096
|
)
|
|||||||
(2,105,000
|
)
|
Australian Dollar
|
01/20/16
|
(1,516,747
|
)
|
(15,609
|
)
|
||||||||
1,975,000
|
Australian Dollar
|
01/20/16
|
1,436,342
|
1,379
|
|||||||||||
1,985,000
|
Australian Dollar
|
01/20/16
|
1,435,953
|
9,048
|
|||||||||||
2,145,000
|
Australian Dollar
|
01/20/16
|
1,527,118
|
34,356
|
|||||||||||
(20,255,000
|
)
|
Canadian Dollars
|
01/20/16
|
(14,940,987
|
)
|
302,064
|
|||||||||
(5,800,000
|
)
|
Canadian Dollars
|
01/20/16
|
(4,146,244
|
)
|
(45,598
|
)
|
||||||||
890,000
|
Canadian Dollars
|
01/20/16
|
641,561
|
1,670
|
|||||||||||
(960,000
|
)
|
Euro
|
01/20/16
|
(1,053,131
|
)
|
9,320
|
|||||||||
605,000
|
Euro
|
01/20/16
|
661,485
|
(3,666
|
)
|
||||||||||
655,000
|
Euro
|
01/20/16
|
718,551
|
(6,367
|
)
|
||||||||||
1,005,000
|
Euro
|
01/20/16
|
1,089,305
|
3,434
|
|||||||||||
1,680,000
|
Euro
|
01/20/16
|
1,823,499
|
3,170
|
|||||||||||
(634,300,000
|
)
|
Japanese Yen
|
01/20/16
|
(5,228,237
|
)
|
(51,292
|
)
|
||||||||
(251,150,000
|
)
|
Japanese Yen
|
01/20/16
|
(2,087,505
|
)
|
(2,916
|
)
|
||||||||
(138,950,000
|
)
|
Japanese Yen
|
01/20/16
|
(1,154,083
|
)
|
(2,453
|
)
|
||||||||
(72,250,000
|
)
|
Japanese Yen
|
01/20/16
|
(601,030
|
)
|
(335
|
)
|
||||||||
(70,300,000
|
)
|
Japanese Yen
|
01/20/16
|
(584,264
|
)
|
(870
|
)
|
||||||||
184,400,000
|
Japanese Yen
|
01/20/16
|
1,525,143
|
9,691
|
|||||||||||
463,250,000
|
Japanese Yen
|
01/20/16
|
3,833,132
|
22,680
|
|||||||||||
2,090,000
|
New Zealand Dollar
|
01/20/16
|
1,409,848
|
17,615
|
|||||||||||
4,040,000
|
New Zealand Dollar
|
01/20/16
|
2,720,019
|
39,287
|
|||||||||||
(1,680,000
|
)
|
Pounds Sterling
|
01/20/16
|
(2,505,184
|
)
|
28,381
|
|||||||||
(865,000
|
)
|
Pounds Sterling
|
01/20/16
|
(1,304,796
|
)
|
29,538
|
|||||||||
(745,000
|
)
|
Pounds Sterling
|
01/20/16
|
(1,107,728
|
)
|
9,384
|
|||||||||
710,000
|
Pounds Sterling
|
01/20/16
|
1,058,730
|
(11,986
|
)
|
||||||||||
(31,260,000
|
)
|
Swedish Krona
|
01/20/16
|
(3,669,217
|
)
|
(36,218
|
)
|
||||||||
20,545,000
|
Swedish Krona
|
01/20/16
|
2,439,906
|
(4,584
|
)
|
||||||||||
(3,405,000
|
)
|
Swiss Franc
|
01/20/16
|
(3,452,117
|
)
|
49,611
|
|||||||||
(875,000
|
)
|
Swiss Franc
|
01/20/16
|
(882,684
|
)
|
8,325
|
|||||||||
1,270,000
|
Swiss Franc
|
01/20/16
|
1,286,855
|
(17,785
|
)
|
||||||||||
1,350,000
|
Swiss Franc
|
01/20/16
|
1,363,508
|
(14,497
|
)
|
||||||||||
1,650,000
|
Swiss Franc
|
01/20/16
|
1,683,705
|
(34,913
|
)
|
||||||||||
2,290,000
|
Swiss Franc
|
01/20/16
|
2,321,197
|
(32,874
|
)
|
||||||||||
RBC Capital Markets, LLC
|
(5,830,000
|
)
|
Australian Dollar
|
01/20/16
|
(4,209,930
|
)
|
(34,077
|
)
|
|||||||
1,150,000
|
Australian Dollar
|
01/20/16
|
824,167
|
12,987
|
|||||||||||
(3,600,000
|
)
|
Canadian Dollars
|
01/20/16
|
(2,590,280
|
)
|
(11,553
|
)
|
||||||||
(1,915,000
|
)
|
Canadian Dollars
|
01/20/16
|
(1,374,408
|
)
|
(9,622
|
)
|
||||||||
(1,815,000
|
)
|
Canadian Dollars
|
01/20/16
|
(1,323,699
|
)
|
11,941
|
|||||||||
5,690,000
|
Canadian Dollars
|
01/20/16
|
4,133,708
|
(21,367
|
)
|
||||||||||
5,750,000
|
Canadian Dollars
|
01/20/16
|
4,207,978
|
(52,273
|
)
|
||||||||||
2,050,000
|
Euro
|
01/20/16
|
2,250,340
|
(21,369
|
)
|
||||||||||
872,250,000
|
Japanese Yen
|
01/20/16
|
7,202,208
|
57,874
|
|||||||||||
1,678,350,000
|
Japanese Yen
|
01/20/16
|
13,799,077
|
170,493
|
|||||||||||
(5,110,000
|
)
|
New Zealand Dollar
|
01/20/16
|
(3,388,967
|
)
|
(101,145
|
)
|
||||||||
(72,260,000
|
)
|
Norwegian Krone
|
01/20/16
|
(8,251,636
|
)
|
89,889
|
Counterparty
|
Contracts to Purchase/(Sell)
|
Settlement Date
|
Settlement Value
|
Net Unrealized Appreciation (Depreciation)
|
|||||||||||
(14,380,000
|
)
|
Norwegian Krone
|
01/20/16
|
(1,651,998
|
)
|
$
|
27,781
|
||||||||
10,130,000
|
Norwegian Krone
|
01/20/16
|
1,160,260
|
(16,080
|
)
|
||||||||||
30,600,000
|
Norwegian Krone
|
01/20/16
|
3,527,892
|
(71,630
|
)
|
||||||||||
33,660,000
|
Norwegian Krone
|
01/20/16
|
3,867,388
|
(65,500
|
)
|
||||||||||
(7,000,000
|
)
|
Pounds Sterling
|
01/20/16
|
(10,590,993
|
)
|
270,984
|
|||||||||
(6,415,000
|
)
|
Pounds Sterling
|
01/20/16
|
(9,704,606
|
)
|
247,055
|
|||||||||
(1,670,000
|
)
|
Pounds Sterling
|
01/20/16
|
(2,491,805
|
)
|
29,746
|
|||||||||
430,000
|
Pounds Sterling
|
01/20/16
|
650,642
|
(16,698
|
)
|
||||||||||
3,020,000
|
Pounds Sterling
|
01/20/16
|
4,577,499
|
(125,152
|
)
|
||||||||||
13,490,000
|
Swedish Krona
|
01/20/16
|
1,590,846
|
8,204
|
|||||||||||
28,070,000
|
Swedish Krona
|
01/20/16
|
3,330,393
|
(3,087
|
)
|
||||||||||
6,330,000
|
Swiss Franc
|
01/20/16
|
6,421,194
|
(95,830
|
)
|
||||||||||
Societe Generale Securities
|
(12,885,000
|
)
|
Australian Dollar
|
01/20/16
|
(9,285,392
|
)
|
(94,374
|
)
|
|||||||
(1,260,000
|
)
|
Australian Dollar
|
01/20/16
|
(908,164
|
)
|
(9,066
|
)
|
||||||||
1,465,000
|
Australian Dollar
|
01/20/16
|
1,050,236
|
16,226
|
|||||||||||
2,750,000
|
Australian Dollar
|
01/20/16
|
1,976,336
|
25,554
|
|||||||||||
(5,285,000
|
)
|
Canadian Dollars
|
01/20/16
|
(3,819,186
|
)
|
(449
|
)
|
||||||||
(1,665,000
|
)
|
Canadian Dollars
|
01/20/16
|
(1,212,695
|
)
|
9,348
|
|||||||||
5,465,000
|
Canadian Dollars
|
01/20/16
|
3,924,242
|
25,485
|
|||||||||||
(4,175,000
|
)
|
Euro
|
01/20/16
|
(4,571,071
|
)
|
31,581
|
|||||||||
(3,485,000
|
)
|
Euro
|
01/20/16
|
(3,799,943
|
)
|
10,692
|
|||||||||
(1,480,000
|
)
|
Euro
|
01/20/16
|
(1,626,720
|
)
|
17,512
|
|||||||||
(970,000
|
)
|
Euro
|
01/20/16
|
(1,067,445
|
)
|
12,761
|
|||||||||
4,455,000
|
Euro
|
01/20/16
|
4,885,893
|
(41,958
|
)
|
||||||||||
(303,300,000
|
)
|
Japanese Yen
|
01/20/16
|
(2,481,803
|
)
|
(42,683
|
)
|
||||||||
490,450,000
|
Japanese Yen
|
01/20/16
|
4,021,222
|
60,987
|
|||||||||||
(3,195,000
|
)
|
New Zealand Dollar
|
01/20/16
|
(2,158,790
|
)
|
(23,384
|
)
|
||||||||
(2,135,000
|
)
|
New Zealand Dollar
|
01/20/16
|
(1,435,067
|
)
|
(23,131
|
)
|
||||||||
1,170,000
|
New Zealand Dollar
|
01/20/16
|
789,502
|
9,604
|
|||||||||||
(65,300,000
|
)
|
Norwegian Krone
|
01/20/16
|
(7,538,783
|
)
|
163,166
|
|||||||||
37,135,000
|
Norwegian Krone
|
01/20/16
|
4,268,213
|
(73,824
|
)
|
||||||||||
40,960,000
|
Norwegian Krone
|
01/20/16
|
4,666,908
|
(40,488
|
)
|
||||||||||
(2,115,000
|
)
|
Pounds Sterling
|
01/20/16
|
(3,179,169
|
)
|
61,052
|
|||||||||
(1,640,000
|
)
|
Pounds Sterling
|
01/20/16
|
(2,442,919
|
)
|
25,088
|
|||||||||
2,135,000
|
Pounds Sterling
|
01/20/16
|
3,186,104
|
(38,502
|
)
|
||||||||||
8,525,000
|
Pounds Sterling
|
01/20/16
|
12,931,013
|
(362,717
|
)
|
||||||||||
(28,990,000
|
)
|
Swedish Krona
|
01/20/16
|
(3,409,883
|
)
|
(26,477
|
)
|
||||||||
(12,840,000
|
)
|
Swedish Krona
|
01/20/16
|
(1,523,624
|
)
|
1,622
|
|||||||||
$
|
423,291
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Assets
|
||||||||||||||||
Investments At Value
|
||||||||||||||||
Foreign Bonds
|
$
|
-
|
$
|
22,760,988
|
$
|
-
|
$
|
22,760,988
|
||||||||
Foreign Treasury Securities
|
-
|
3,932,979
|
-
|
3,932,979
|
||||||||||||
Total Investments At Value
|
$
|
-
|
$
|
26,693,967
|
$
|
-
|
$
|
26,693,967
|
Other Financial Instruments**
|
||||||||||||||||
Forward Currency Contracts
|
-
|
2,330,184
|
-
|
2,330,184
|
||||||||||||
Total Assets
|
$
|
-
|
$
|
29,024,151
|
$
|
-
|
$
|
29,024,151
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||
Liabilities
|
Other Financial Instruments**
|
||||||||||||||||
Forward Currency Contracts
|
$
|
-
|
$
|
(1,906,893
|
)
|
-
|
(1,906,893
|
)
|
||||||||
Total Liabilities
|
$
|
-
|
$
|
(1,906,893
|
)
|
$
|
-
|
$
|
(1,906,893
|
)
|
PAYSON TOTAL RETURN FUND
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
DECEMBER 31, 2015
|
|
Shares
|
Security
Description
|
Value
|
Common Stock - 100.1%
|
|||||||
Consumer Discretionary - 13.9%
|
|||||||
31,237
|
Discovery Communications, Inc., Class A (a)
|
$
|
833,403
|
||||
19,512
|
Kohl's Corp.
|
929,357
|
|||||
20,300
|
McDonald's Corp.
|
2,398,242
|
|||||
18,830
|
Polaris Industries, Inc.
|
1,618,438
|
|||||
25,648
|
The TJX Cos., Inc.
|
1,818,700
|
|||||
88,181
|
Twenty-First Century Fox, Inc., Class B
|
2,401,169
|
|||||
8,659
|
Viacom, Inc., Class B
|
356,404
|
|||||
10,355,713
|
|||||||
Consumer Staples - 8.2%
|
|||||||
14,150
|
Diageo PLC, ADR
|
1,543,341
|
|||||
22,420
|
PepsiCo, Inc.
|
2,240,206
|
|||||
38,305
|
Wal-Mart Stores, Inc.
|
2,348,096
|
|||||
6,131,643
|
|||||||
Energy - 10.8%
|
|||||||
37,100
|
Dril-Quip, Inc. (a)
|
2,197,433
|
|||||
50,952
|
Exxon Mobil Corp.
|
3,971,709
|
|||||
10,504
|
Schlumberger, Ltd.
|
732,654
|
|||||
42,926
|
The Williams Cos., Inc.
|
1,103,198
|
|||||
8,004,994
|
|||||||
Financial - 19.9%
|
|||||||
36,200
|
Aflac, Inc.
|
2,168,380
|
|||||
38,180
|
American International Group, Inc.
|
2,366,015
|
|||||
16,336
|
Berkshire Hathaway, Inc., Class B (a)
|
2,157,005
|
|||||
20,780
|
Discover Financial Services
|
1,114,224
|
|||||
40,230
|
JPMorgan Chase & Co.
|
2,656,387
|
|||||
21,000
|
MasterCard, Inc., Class A
|
2,044,560
|
|||||
29,100
|
Visa, Inc., Class A
|
2,256,705
|
|||||
14,763,276
|
|||||||
Health Care - 16.3%
|
|||||||
44,079
|
Abbott Laboratories
|
1,979,588
|
|||||
21,908
|
Gilead Sciences, Inc.
|
2,216,870
|
|||||
15,055
|
Johnson & Johnson
|
1,546,450
|
|||||
22,684
|
Merck & Co., Inc.
|
1,198,169
|
|||||
38,210
|
Mylan NV (a)
|
2,066,015
|
|||||
6,600
|
Perrigo Co PLC
|
955,020
|
|||||
65,537
|
Pfizer, Inc.
|
2,115,534
|
|||||
12,077,646
|
|||||||
Industrials - 11.9%
|
|||||||
25,462
|
Cummins, Inc.
|
2,240,911
|
|||||
10,034
|
Danaher Corp.
|
931,958
|
|||||
14,865
|
General Dynamics Corp.
|
2,041,856
|
|||||
61,448
|
General Electric Co.
|
1,914,105
|
|||||
17,834
|
United Technologies Corp.
|
1,713,312
|
|||||
8,842,142
|
|
Shares
|
Security
Description
|
Value
|
Technology - 19.1%
|
|||||||
4,425
|
Alphabet, Inc., Class A (a)
|
$
|
3,442,694
|
||||
33,574
|
Apple, Inc.
|
3,533,999
|
|||||
16,848
|
IBM
|
2,318,622
|
|||||
72,298
|
Intel Corp.
|
2,490,666
|
|||||
43,147
|
Microsoft Corp.
|
2,393,796
|
|||||
14,179,777
|
Total Common Stock
(Cost $64,689,457)
|
74,355,191
|
Total Investments - 100.1%
(Cost $64,689,457)*
|
$
|
74,355,191
|
Other Assets & Liabilities, Net – (0.1)%
|
(79,124
|
)
|
|
Net Assets – 100.0%
|
$
|
74,276,067
|
ADR
|
American Depositary Receipt
|
PLC
|
Public Limited Company
|
(a)
|
Non-income producing security.
|
*
|
Cost for federal income tax purposes is substantially the same as for financial statement purposes and net unrealized appreciation consists of:
|
Gross Unrealized Appreciation
|
$
|
14,559,395
|
||
Gross Unrealized Depreciation
|
(4,893,661
|
)
|
||
Net Unrealized Appreciation
|
$
|
9,665,734
|
PAYSON TOTAL RETURN FUND
|
SCHEDULE OF INVESTMENTS (Unaudited)
|
DECEMBER 31, 2015
|
Valuation Inputs
|
Investments in Securities
|
Level 1 - Quoted Prices
|
$
|
74,355,191
|
||
Level 2 - Other Significant Observable Inputs
|
-
|
|||
Level 3 - Significant Unobservable Inputs
|
-
|
|||
Total
|
$
|
74,355,191
|
By
|
/s/ Jessica Chase | ||
Jessica Chase, Principal Executive Officer
|
|||
Date
|
February 22, 2016 |
By
|
/s/ Jessica Chase | ||
Jessica Chase, Principal Executive Officer
|
|||
Date
|
February 22, 2016 |
By
|
/s/ Karen Shaw | ||
Karen Shaw, Principal Financial Officer
|
|||
Date
|
February 22, 2016 |
1.
|
I have reviewed this report on Form N-Q of Forum Funds (Absolute Credit Opportunities Fund, Absolute Capital Opportunities Fund, Absolute Strategies Fund, Beck Mack & Oliver International Fund, Beck Mack & Oliver Partners Fund, LMCG Global Market Neutral Fund, LMCG Global Multicap Fund, Merk Absolute Return Currency Fund, Merk Asian Currency Fund, Merk Hard Currency Fund, and Payson Total Return Fund);
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
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(b)
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Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
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(c)
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Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
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(d)
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Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
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5.
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The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
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(a)
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All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
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(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
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Date:
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February 22, 2016 | /s/ Jessica Chase | ||
Jessica Chase
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||||
Principal Executive Officer
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1.
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I have reviewed this report on Form N-Q of Forum Funds (Absolute Credit Opportunities Fund, Absolute Capital Opportunities Fund, Absolute Strategies Fund, Beck Mack & Oliver International Fund, Beck Mack & Oliver Partners Fund, LMCG Global Market Neutral Fund, LMCG Global Multicap Fund, Merk Absolute Return Currency Fund, Merk Asian Currency Fund, Merk Hard Currency Fund, and Payson Total Return Fund);
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2.
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Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
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3.
|
Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;
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4.
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The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
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Date:
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February 22, 2016 | /s/ Karen Shaw | ||
Karen Shaw
|
||||
Principal Financial Officer
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