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UNITED STATES SECURITIES
AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4815
Ultra Series Fund
(Exact name of registrant as specified in charter)
550 Science Drive, Madison,
WI 53711
(Address of principal executive offices)(Zip code)
Kevin S. Thompson
Chief
Legal Officer
550 Science Drive
Madison, WI 53711
(Name and address of
agent for service)
Registrants telephone number, including area code: 608-274-0300
Date of fiscal year end: December 31
Date of reporting period: June 30, 2017
Form N-CSRS is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSRS in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSRS, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSRS unless the Form displays a currently valid Office of Management and Budget (OMB) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Certified Financial
Semi-annual Report |
June 30, 2017 |
ULTRA SERIES FUND | |
Conservative Allocation Fund | |
Moderate Allocation Fund | |
Aggressive Allocation Fund | |
Core Bond Fund | |
High Income Fund | |
Diversified Income Fund | |
Large Cap Value Fund | |
Large Cap Growth Fund | |
Mid Cap Fund | |
International Stock Fund |
Ultra Series Fund | June 30, 2017
Table of Contents |
Page | ||
Economic Overview and Market Outlook | 2 | |
Review of Period | ||
Allocation Funds Summary |
3 | |
Conservative Allocation Fund |
3 | |
Moderate Allocation Fund |
3 | |
Aggressive Allocation Fund |
4 | |
Core Bond Fund |
4 | |
High Income Fund |
4 | |
Diversified Income Fund |
5 | |
Large Cap Value Fund |
5 | |
Large Cap Growth Fund |
6 | |
Mid Cap Fund |
6 | |
International Stock Fund |
7 | |
Benchmark Descriptions |
8 | |
Portfolios of Investments | ||
Conservative Allocation Fund |
10 | |
Moderate Allocation Fund |
11 | |
Aggressive Allocation Fund |
12 | |
Core Bond Fund |
13 | |
High Income Fund |
17 | |
Diversified Income Fund |
19 | |
Large Cap Value Fund |
23 | |
Large Cap Growth Fund |
24 | |
Mid Cap Fund |
25 | |
International Stock Fund |
26 | |
Financial Statements | ||
Statements of Assets and Liabilities |
28 | |
Statements of Operations |
30 | |
Statements of Changes in Net Assets |
32 | |
Financial Highlights |
36 | |
Notes to Financial Statements | 46 | |
Other Information | 59 |
Nondeposit investment products are not federally insured, involve investment risk, may lose value and are not obligations of or guaranteed by any financial institution. For more complete information about Ultra Series Fund, including charges and expenses, request a prospectus from your financial advisor or from CMFG Life Insurance Company, 2000 Heritage Way, Waverly, IA 50677.
Consider the investment objectives, risks, and charges and expenses of any fund carefully before investing. The prospectus contains this and other information about the investment company. For more current Ultra Series Fund performance information, please call 1-800-670-3600. Current performance may be lower or higher than the performance data quoted within. Past performance does not guarantee future results. Nothing in this report represents a recommendation of a security by the investment adviser. Portfolio holdings may have changed since the date of this report.
1 |
Ultra Series Fund | June 30, 2017
Economic Overview and Market Outlook |
The six-month period end marked the tenth anniversary of the beginning of the Financial Crisis, which ended with risk assets advancing to record levels. The S&P 500® returned 9.34%, the Russell Midcap® returned 7.99% and the MSCI EAFE® advanced 13.81% during the six-month period. Although the Federal Reserve (Fed) again voted to raise short-term interest rates, bond indices advanced as longer-term interest rates fell, and coupled with interest income, produced strong returns. The BofA Merrill Lynch U.S. High Yield Constrained Index advanced 4.90% and the Bloomberg Barclays Aggregate Index gained 2.27% for the six-month period.
June 2007 marked the beginning of events that led to what is now known as the Great Recession, an event that triggered great economic chaos and led to unprecedented central bank intervention. The collapse of two Bear Stearns hedge funds (exposed to sub-prime credit derivatives) in June 2007 marked the start of trouble. By August 2007, the Fed reversed its tightening course as contagion led to disarray in the money-markets and equity markets. By March 2008, Bear Stearns was forced to merge with JP Morgan, and Lehman Brothers was bankrupt by September 2008. Equity markets reached their low point in March 2009 as central-banks engaged in unprecedented monetary stimulus which included not only cutting interest rates (in some cases to negative levels) but also the buying of financial assets (better known as quantitative easing or QE).
Ten years later, investors are happily counting their regained fortunes as central banks now weigh options on how to withdraw the morphine drip from the financial markets - which have seemingly become addicted to easy central bank policies (low interest rates, along with unprecedented asset purchases by the central banks). Make no mistake, many of these policies likely prevented a complete collapse of the economic system and a depression-like scenario from occurring. Meanwhile, as investors are feeling no pain, the economy continues to limp along with modest growth (first quarter GDP up 1.4%) and high optimism as asset values continue to stretch. Perhaps, nowhere has this optimism been more apparent than in the Technology sector, with the Fab Five (Facebook, Amazon, Apple, Microsoft and Google parent, Alphabet) contributing an outsized portion of the S&P 500 Indexs return during the first half of 2017.
On the economic front, the most positive economic news seems to be soft data sentiment, consumer confidence and other surveys which ask about future intention to spend. Actual hard economic data measureable data based upon actions - has been harder to come by and, in-fact, has been well below expectations. Similar to the past eight years, the data hasnt been extremely weak, its just been weak relative to expectations and presumably whats priced in the equity market. Although the equity market has been signaling optimism, the bond market has been pricing a very different scenario. Despite the Fed raising short-term interest rates in March and June, the 10-year Treasury yield reached a low of 2.13% in June, its lowest level since November 10, 2016. This flattening of the yield curve (the declining difference between short and long-term interest rates) typically implies that economic expansion is slowing and the hard data seems to be confirming it. One plausible explanation for this disconnect is that if we remain in a stable, low-growth, low-inflation environment for an extended period of time, interest rates will remain low and in-turn risk assets (even with lower expected returns) will look attractive compared to bond yields.
This conundrum between the bond and stock market (and between soft and hard economic data) leads us to believe that the low levels of volatility in the market may not persist. Elevated stock valuations and weakening economic data along with high expectations and high optimism create a recipe for higher volatility in the future. Although lofty valuations (along with stock prices) may continue longer than justified, we believe investors should prepare for more modest returns. With this backdrop we believe stocks of lower-risk, higher-quality companies along with shorter-duration, higher-quality bonds will allow investors to continue to participate in the market, while providing some shelter should volatility return to more typical levels.
2 |
Ultra Series Fund | June 30, 2017
Review of Period (unaudited) |
ALLOCATION FUNDS SUMMARY
The Ultra Series Conservative Allocation, Moderate Allocation and Aggressive Allocation Funds (the Funds) invest primarily in shares of registered investment companies (the Underlying Funds). The Funds will be diversified among a number of asset classes and their allocation among Underlying Funds will be based on an asset allocation model developed by Madison Asset Management, LLC (Madison), the Funds investment adviser. The team may use multiple analytical approaches to determine the appropriate asset allocation, including:
| Asset allocation optimization analysis considers the degree to which returns in different asset classes do or do not move together, and the Funds aim to achieve a favorable overall risk profile for any targeted portfolio return. | |
| Scenario analysis historical and expected return data is analyzed to model how individual asset classes and combinations of asset classes would affect the Funds under different economic and market conditions. | |
| Fundamental analysis draws upon Madisons investment teams to judge each asset class against current and forecasted market conditions. Economic, industry and security analysis is used to develop return and risk expectations that may influence asset class selection. In addition, Madison has a flexible mandate which permits the Funds, at the sole discretion of Madison, to materially reduce equity risk exposures when and if conditions are deemed to warrant such an action. |
CONSERVATIVE ALLOCATION FUND |
INVESTMENT STRATEGY HIGHLIGHTS |
Under normal circumstances, the Ultra Series Conservative Allocation Funds total net assets will be allocated among various asset classes and Underlying Funds, including those whose shares trade on a stock exchange (exchange traded funds or ETFs), with target allocations over time of approximately 35% equity investments and 65% fixed income investments. Underlying Funds in which the Fund invests may include funds advised by Madison and/or its affiliates, including the Madison Funds (the Affiliated Underlying Funds). Generally, Madison will not invest more than 75% of the Funds net assets, at the time of purchase, in Affiliated Underlying Funds. Although actual allocations may vary, as of June 30, 2017, the Funds asset allocation was:
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17 | ||
Alternative Funds | 2.3% | |
Bond Funds | 58.8% | |
Foreign Stock Funds | 12.5% | |
Money Market Funds | 4.0% | |
Stock Funds | 22.3% | |
Net Other Assets and Liabilities | 0.1% |
PERFORMANCE DISCUSSION |
The Ultra Series Conservative Allocation Fund (Class I) returned 5.19% for the period, outperforming the Conservative Allocation Fund Custom Index return of 5.09%. The Fund lagged its peers as measured by the Morningstar Allocation 30% to 50% Equity Category, which advanced 5.51%.
MODERATE ALLOCATION FUND |
INVESTMENT STRATEGY HIGHLIGHTS |
Under normal circumstances, the Ultra Series Moderate Allocation Funds total net assets will be allocated among various asset classes and Underlying Funds, including those whose shares trade on a stock exchange (exchange traded funds or ETFs), with target allocations over time of approximately 60% equity investments and 40% fixed income investments. Underlying Funds in which the Fund invests may include Affiliated Underlying Funds. Generally, Madison will not invest more than 75% of the Funds net assets, at the time of purchase, in Affiliated Underlying Funds. Although actual allocations may vary, as of June 30, 2017, the Funds asset allocation was:
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17 | ||
Alternative Funds | 2.3% | |
Bond Funds | 32.3% | |
Foreign Stock Funds | 21.5% | |
Money Market Funds | 5.4% | |
Stock Funds | 39.0% | |
Net Other Assets and Liabilities | (0.5)% |
3 |
Ultra Series Fund | Review of Period (unaudited) - continued | June 30, 2017
PERFORMANCE DISCUSSION |
The Ultra Series Moderate Allocation Fund (Class I) returned 7.22% for the period, beating its blended benchmark, the Moderate Allocation Fund Custom Index, which returned 7.14%. The Fund also beat its Morningstar peer group as the Allocation 50% to 70% Equity Category, which returned an average of 7.19%.
AGGRESSIVE ALLOCATION FUND |
INVESTMENT STRATEGY HIGHLIGHTS |
Under normal circumstances, the Ultra Series Aggressive Allocation Funds total net assets will be allocated among various asset classes and Underlying Funds, including those whose shares trade on a stock exchange (exchange traded funds or ETFs), with target allocations over time of approximately 80% equity investments and 20% fixed income investments. Underlying Funds in which the Fund invests may include Affiliated Underlying Funds. Generally, Madison will not invest more than 75% of Funds net assets, at the time of purchase, in Affiliated Underlying Funds. Although actual allocations may vary, as of June 30, 2017, the Funds asset allocation was:
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17 | ||
Alternative Funds | 2.1% | |
Bond Funds | 12.4% | |
Foreign Stock Funds | 28.8% | |
Money Market Funds | 5.0% | |
Stock Funds | 52.2% | |
Net Other Assets and Liabilities | (0.5)% |
PERFORMANCE DISCUSSION |
The Ultra Series Aggressive Allocation Fund (Class I) returned 8.82% for the period, beating its blended benchmark, the Aggressive Allocation Fund Custom Index, which returned 8.80%. The Fund outperformed its Morningstar Allocation 70% to 85% Equity Category peer group, which averaged an 8.60% return.
CORE BOND FUND |
INVESTMENT STRATEGY HIGHLIGHTS |
Under normal circumstances, the Ultra Series Core Bond Fund invests at least 80% of its net assets in bonds. To keep current income relatively stable and to limit share price volatility, the Fund emphasizes investment grade securities and maintains an intermediate (typically 3-7 year) average portfolio duration, with the goal of being between 85-115% of the market benchmark duration. The Fund also strives to add incremental return in the portfolio by making strategic decisions relating to credit risk, sector exposure and yield curve positioning. The Fund may invest in corporate debt securities, U.S. Government debt securities, foreign government debt securities, non-rated debt securities, and asset-backed, mortgage-backed and commercial mortgage-backed securities.
PERFORMANCE DESCRIPTION |
The Ultra Series Core Bond Fund (Class I) returned 2.06% for the period, moderately trailing the Funds benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, which advanced 2.27%. The Morningstar Intermediate-Term Bond peer group gained 2.59% for the period.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17 | ||
Asset Backed Securities | 2.4% | |
Collateralized Mortgage Obligations | 2.2% | |
Commercial Mortgage-Backed Securities | 2.6% | |
Corporate Notes and Bonds | 31.9% | |
Long Term Municipal Bonds | 5.6% | |
Mortgage Backed Securities | 27.6% | |
U.S. Government and Agency Obligations | 24.6% | |
Short-Term Investments | 1.9% | |
Net Other Assets and Liabilities | 1.2% |
HIGH INCOME FUND |
INVESTMENT STRATEGY HIGHLIGHTS |
The Ultra Series High Income Fund invests primarily in lower-rated, higher-yielding income bearing securities, such as junk bonds. Because the performance of these securities has historically been strongly influenced by economic conditions, the Fund may rotate securities selection by business sector according to the economic outlook. Under normal market conditions, the Fund invests at least 80% of its net assets in bonds rated lower than investment grade (BBB/Baa) and their unrated equivalents or other high-yielding securities.
PERFORMANCE DISCUSSION |
The Ultra Series High Income Fund (Class I) returned 4.29% during the period, lagging the Bank of America Merrill Lynch U.S. High Yield Constrained Index 4.90% return. The Fund
4 |
Ultra Series Fund | Review of Period (unaudited) - continued | June 30, 2017
also trailed its Morningstar High Yield Bond category peer group, which returned 4.55%.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17 | ||
Consumer Discretionary | 28.0% | |
Consumer Staples | 5.0% | |
Energy | 8.4% | |
Financials | 6.0% | |
Health Care | 6.2% | |
Industrials | 16.1% | |
Information Technology | 5.5% | |
Materials | 5.7% | |
Telecommunication Services | 4.6% | |
Utilities | 3.7% | |
Bond Funds | 1.5% | |
Short-Term Investments | 8.6% | Net Other Assets and Liabilities | 0.7% |
Consumer Discretionary includes securities in the following industries: Advertising; Auto Parts & Equipment; Entertainment; Leisure Time; Lodging; Media and Retail.
DIVERSIFIED INCOME FUND |
INVESTMENT STRATEGY HIGHLIGHTS |
The Ultra Series Diversified Income Fund seeks income by investing in a broadly diversified array of securities including bonds, common stocks, real estate securities, foreign market bonds and stocks and money market instruments. Bonds, stock and cash components will vary, reflecting the portfolio managers judgments of the relative availability of attractively yielding and priced stocks and bonds; however, under normal market conditions, the Funds portfolio managers generally attempt to target a 40% bond and 60% stock investment allocation. Nevertheless, bonds (including investment grade, high yield and mortgage- or asset-backed) may constitute up to 80% of the Funds assets, stocks (including common stocks, preferred stocks and convertible bonds) may constitute up to 70% of the Funds assets, real estate securities may constitute up to 25% of the Funds assets, foreign (including American Depositary Receipts (ADRs) and emerging market) stocks and bonds may constitute up to 25% of the Funds assets, and money market instruments may constitute up to 25% of the Funds assets. Although the Fund is permitted to invest up to 80% of its assets in lower credit quality bonds, under normal circumstances, the Fund intends to limit the investment in lower credit quality bonds to less than 50% of the Funds assets. The balance between the two strategies of the Fund (fixed income and equity investing) is determined after reviewing the risks associated with each type of investment, with the goal of meaningful risk reduction as market conditions demand.
PERFORMANCE DISCUSSIONS |
The Ultra Series Diversified Income Fund (Class I) advanced 5.14% for the period, lagging its blended index (50% Bank of America Merrill Lynch U.S. Corporate, Government and Mortgage Index and 50% S&P 500®) which returned 5.81%. The Funds designated Morningstar peer group, the Allocation 50% to 70% Equity category, averaged a 7.19% return for the period.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17 | ||
Asset Backed Securities | 0.9% | |
Collateralized Mortgage Obligations | 1.3% | |
Commercial Mortgage-Backed Securities | 0.9% | |
Common Stocks | 59.3% | |
Corporate Notes and Bonds | 13.6% | |
Long Term Municipal Bonds | 2.8% | |
Mortgage Backed Securities | 10.0% | |
U.S. Government and Agency Obligations | 8.8% | |
Short-Term Investments | 2.0% | |
Net Other Assets and Liabilities | 0.4% |
LARGE CAP VALUE FUND |
INVESTMENT STRATEGY HIGHLIGHTS |
The Ultra Series Large Cap Value Fund will, under normal market conditions, maintain at least 80% of its net assets in large cap stocks. The Fund follows a value approach, meaning the portfolio managers seek to invest in stocks at prices below their perceived intrinsic value as estimated based on fundamental analysis of the issuing company and its prospects. By investing in value stocks, the Fund attempts to limit the downside risk over time but may also produce smaller gains than other stock funds if their intrinsic values are not realized by the market or if growth-oriented investments are favored by investors. The Fund will diversify its holdings among various industries and among companies within those industries.
PERFORMANCE DISCUSSIONS |
The Ultra Series Large Cap Value Fund (Class I) returned 4.60% for the period, slightly trailing its benchmark, the Russell 1000® Value Index, which advanced 4.66%. The
5 |
Ultra Series Fund | Review of Period (unaudited) - continued | June 30, 2017
Fund underperformed its Morningstar peer group, Large Value category, which showed a 5.54% return.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17 | ||
Consumer Discretionary | 7.7% | |
Consumer Staples | 1.2% | |
Energy | 10.5% | |
Financials | 25.8% | |
Health Care | 8.3% | |
Industrials | 12.6% | |
Information Technology | 10.4% | |
Materials | 8.6% | |
Real Estate | 4.3% | |
Telecommunication Services | 4.4% | |
Utilities | 4.4% | |
Short-Term Investments | 2.8% | |
Net Other Assets and Liabilities | (1.0)% |
Financials includes securities in the following industries: Capital Markets; Commercial Banks; Diversified Financial Services; and Insurance.
LARGE CAP GROWTH FUND |
INVESTMENT STRATEGY HIGHLIGHTS |
The Ultra Series Large Cap Growth Fund invests primarily in common stocks of larger companies and will, under normal market conditions, maintain at least 80% of its net assets in large cap stocks. Stocks selected for the Fund will represent primarily well-established companies that have a demonstrated pattern of consistent growth. To a lesser extent, the Fund may invest in less established companies that may offer more rapid growth potential. The Fund has an active trading strategy which will lead to more portfolio turnover than a more passively-managed fund.
PERFORMANCE DISCUSSION |
The Ultra Series Large Cap Growth Fund (Class I) returned 10.99% for the period, trailing its benchmark, the Russell 1000® Growth Index, which returned 13.99%. The Fund lagged its peer group, Morningstar Large Growth category, which averaged a return of 15.56% over the same period.
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17 | ||
Consumer Discretionary | 17.8% | |
Consumer Staples | 9.2% | |
Energy | 1.3% | |
Financials | 7.3% | |
Health Care | 22.0% | |
Industrials | 6.5% | |
Information Technology | 31.2% | |
Real Estate | 1.9% | |
Short-Term Investments | 2.8% | |
Net Other Assets and Liabilities | 0.0% |
Informatiom Technology includes securities in the following industries: Communications Equipment; Computers & Peripherals; Electronic Equipment, Instruments & Components; Internet Software & Services; IT Services and Software.
MID CAP FUND |
INVESTMENT STRATEGY HIGHLIGHTS |
The Ultra Series Mid Cap Fund generally invests in common stocks of midsize companies and will, under normal market conditions, maintain at least 80% of its net assets in mid cap securities. The Fund seeks attractive long-term returns through bottom-up security selection based on fundamental analysis in a diversified portfolio of high-quality growth companies with attractive valuations. These will typically be industry leading companies in niches with strong growth prospects. The Funds portfolio managers believe in selecting stocks for the Fund that show steady, sustainable growth and reasonable valuations. As a result, stocks of issuers that are believed to have a blend of both value and growth potential will be selected for investment.
PERFORMANCE DISCUSSION |
The Ultra Series Mid Cap Fund (Class I) returned 5.45% for the period, underperforming its benchmark, the Russell Midcap® Index, which showed a 7.99% return. The Fund underperformed its peer group, the Morningstar Mid-Cap Growth category, whose average return was 13.77%.
6 |
Ultra Series Fund | Review of Period (unaudited) - continued | June 30, 2017
SECTOR ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17 | ||
Consumer Discretionary | 22.8% | |
Consumer Staples | 1.2% | |
Energy | 1.0% | |
Financials | 21.1% | |
Health Care | 9.8% | |
Industrials | 16.0% | |
Information Technology | 6.7% | |
Materials | 6.8% | |
Real Estate | 4.7% | |
Short-Term Investments | 9.9% | |
Net Other Assets and Liabilities | 0.0% |
INTERNATIONAL STOCK FUND |
INVESTMENT STRATEGY HIGHLIGHTS |
The Ultra Series International Stock Fund will invest, under normal market conditions, at least 80% of its net assets in the stock of foreign companies. Typically, a majority of the Funds assets are invested in relatively large cap stocks of companies located or operating in developed countries. The Fund may also invest up to 30% of its assets in securities of companies whose principal business activities are located in emerging market countries. The portfolio managers typically maintain this segment of the Funds portfolio in such stocks which it believes have a low market price relative to their perceived value based on fundamental analysis of the issuing company and its prospects. The Fund may also invest in foreign debt and other income bearing securities at times when it believes that income bearing securities have greater capital appreciation potential than equity securities.
PERFORMANCE DISCUSSION |
The Ultra Series International Stock Fund (Class I) returned 11.82% for the period, trailing the 13.81% return of the MSCI EAFE Index (net). The Fund underperformed its peer group, with the Morningstar Foreign Large Blend Category averaging a 14.58% return.
GEOGRAPHICAL ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17 | ||
United Kingdom | 22.8% | |
Japan | 17.4% | |
France | 10.7% | |
Jersey | 4.7% | |
Canada | 4.3% | |
Switzerland | 4.1% | |
Sweden | 3.9% | |
Germany | 3.5% | |
Ireland | 3.5% | |
Netherlands | 3.5% | |
United States | 3.1% | |
Belgium | 2.6% | |
Denmark | 2.4% | |
Norway | 2.4% | |
Italy | 1.6% | |
Finland | 1.5% | |
Singapore | 1.5% | |
Taiwan | 1.4% | |
Luxembourg | 1.3% | |
Australia | 1.0% | |
Brazil | 1.0% | |
Spain | 1.0% | |
Turkey | 0.7% | |
Philippines | 0.0% | |
Net Other Assets and Liabilities | 0.1% |
7 |
Ultra Series Fund | Review of Period (unaudited) - continued | June 30, 2017
BENCHMARK DESCRIPTIONS |
ALLOCATION FUND CUSTOM INDEXES*
The Conservative Allocation Fund Custom Index consists of 65% Bloomberg Barclays US Aggregate Bond Index, 24.5% Russell 3000® Index and 10.5% MSCI ACWI ex-USA Index (net). See market index descriptions below.
The Moderate Allocation Fund Custom Index consists of 40% Bloomberg Barclays US Aggregate Bond Index, 42% Russell 3000® Index and 18% MSCI ACWI ex-USA Index (net). See market index descriptions below.
The Aggressive Allocation Fund Custom Index consists of 20% Bloomberg Barclays US Aggregate Bond Index, 56% Russell 3000® Index and 24% MSCI ACWI ex-USA Index (net). See market index descriptions below.
HYBRID FUND CUSTOM INDEXES*
The Custom Blended Index consists of 50% S&P 500® Index and 50% of Bank of America Merrill Lynch U.S. Corporate, Government and Mortgage Index. See market indexes descriptions below.
*The Custom Indexes are calculated using a monthly re-balancing frequency (i.e., rebalanced back to original constituent weight every calendar month-end).
MARKET INDEXES
The Bank of America Merrill Lynch U.S. Corporate, Government & Mortgage Index is a broad-based measure of the total rate of return performance of the U.S. investment-grade bond markets. The index is a capitalization-weighted aggregation of outstanding U.S. treasury, agency and supranational mortgage pass-through, and investment-grade corporate bonds meeting specified selection criteria.
The Bank of America Merrill Lynch U.S. High Yield Constrained Index tracks the performance of below investment grade U.S. dollar denominated corporate bonds publicly issued in the U.S. domestic market, but limits any individual issuer to a maximum weighting of 2%.
The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, mortgage backed securities, asset backed securities and commercial mortgage-backed securities.
The MSCI EAFE (Europe, Australasia & Far East) Index (net) is a free float-adjusted market capitalization index that is designed to measure developed market equity performance, excluding the U.S. and Canada. The MSCI EAFE Index (net) is calculated on a total return basis with dividends reinvested after the deduction of withholding taxes.
The MSCI ACWI ex USA Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI ACWI ex USA (net) is calculated on a total return basis with dividends reinvested after the deduction of withholding taxes.
The Russell 1000® Growth Index is a large-cap market index which measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 1000® Value Index is a large-cap market index which measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.
The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents 98% of the investable U.S. equity market.
The Russell Midcap® Index is a mid-cap market index which measures the performance of the mid-cap segment of the U.S. equity universe.
8 |
Ultra Series Fund | Review of Period (unaudited) - concluded | June 30, 2017
The S&P 500® Index is a large-cap market index which measures the performance of a representative sample of 500 leading companies in leading industries in the U.S.
© Morningstar, Inc. All rights reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete, or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
Past performance is no guarantee of future results.
Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell® is a trademark of Russell Investment Group.
9 |
Ultra Series Fund | June 30, 2017 |
Conservative Allocation Fund Portfolio of Investments (unaudited) |
Shares | Value (Note 2) | ||||||
INVESTMENT COMPANIES - 99.9% | |||||||
Alternative Funds - 2.3% | |||||||
SPDR Gold Shares * | 27,975 | $ | 3,301,609 | ||||
Bond Funds - 58.8% | |||||||
Baird Aggregate Bond Fund Institutional Shares | 577,270 | 6,269,156 | |||||
iShares 20+ Year Treasury Bond ETF | 27,145 | 3,396,382 | |||||
iShares 7-10 Year Treasury Bond ETF | 107,521 | 11,462,814 | |||||
iShares Intermediate Credit Bond ETF | 6,633 | 728,171 | |||||
iShares TIPS Bond Fund ETF | 18,984 | 2,153,355 | |||||
Madison Core Bond Fund Class Y (A) | 3,510,125 | 35,066,148 | |||||
Madison Corporate Bond Fund Class Y (A) | 886,851 | 10,260,870 | |||||
RidgeWorth Seix Floating Rate High Income Fund Institutional Shares | 1,331,177 | 11,594,554 | |||||
Vanguard Short-Term Corporate Bond ETF | 50,916 | 4,075,317 | |||||
85,006,767 | |||||||
Foreign Stock Funds - 12.5% | |||||||
iShares MSCI Eurozone ETF | 80,592 | 3,249,872 | |||||
Vanguard FTSE All-World ex-U.S. ETF | 198,411 | 9,926,502 | |||||
Vanguard FTSE Emerging Markets ETF | 17,924 | 731,837 | |||||
Vanguard FTSE Europe ETF | 54,546 | 3,007,667 | |||||
WisdomTree Japan Hedged Equity Fund | 23,555 | 1,224,860 | |||||
18,140,738 | |||||||
Money Market Funds - 4.0% | |||||||
State Street Institutional U.S. Government Money Market Fund, 0.88%, Premier Class | 5,756,129 | 5,756,129 | |||||
Stock Funds - 22.3% | |||||||
iShares Core S&P Mid-Cap ETF | 8,386 | 1,458,745 | |||||
Madison Dividend Income Fund Class Y (A) | 406,790 | 10,015,167 | |||||
Madison Investors Fund Class Y (A) | 465,202 | 10,173,959 | |||||
Madison Mid Cap Fund Class Y (A) | 311,333 | 2,907,847 | |||||
Vanguard Financials ETF | 12,311 | 770,053 | |||||
Vanguard Growth ETF | 24,185 | 3,072,463 | |||||
Vanguard Health Care ETF | 10,552 | 1,555,048 | |||||
Vanguard Information Technology ETF | 10,462 | 1,473,468 | |||||
Vanguard Value ETF | 7,734 | 746,795 | |||||
32,173,545 | |||||||
TOTAL INVESTMENTS - 99.9% (Cost $136,307,010**) | 144,378,788 | ||||||
NET OTHER ASSETS AND LIABILITIES - 0.1% | 118,794 | ||||||
TOTAL NET ASSETS - 100.0% | $ | 144,497,582 | |||||
* | Non-income producing. | |
** | Aggregate cost for Federal tax purposes was $136,679,125. | |
(A) | Affiliated Company (see Note 11). | |
ETF | Exchange Traded Fund. |
Ultra Series Fund | June 30, 2017 |
Moderate Allocation Fund Portfolio of Investments (unaudited) |
Shares | Value (Note 2) | ||||||
INVESTMENT COMPANIES - 100.5% | |||||||
Alternative Funds - 2.3% | |||||||
SPDR Gold Shares * | 48,869 | $ | 5,767,519 | ||||
Bond Funds - 32.3% | |||||||
Baird Aggregate Bond Fund Institutional Shares | 252,273 | 2,739,685 | |||||
iShares 20+ Year Treasury Bond ETF | 45,393 | 5,679,572 | |||||
iShares 7-10 Year Treasury Bond ETF | 93,161 | 9,931,894 | |||||
iShares Intermediate Credit Bond ETF | 16,628 | 1,825,422 | |||||
iShares TIPS Bond Fund ETF | 10,755 | 1,219,940 | |||||
Madison Core Bond Fund Class Y (A) | 4,318,357 | 43,140,391 | |||||
Madison Corporate Bond Fund Class Y (A) | 437,539 | 5,062,324 | |||||
RidgeWorth
Seix Floating Rate High Income Fund Institutional Shares |
1,197,394 | 10,429,304 | |||||
80,028,532 | |||||||
Foreign Stock Funds - 21.5% | |||||||
iShares MSCI Eurozone ETF | 214,961 | 8,668,302 | |||||
Vanguard FTSE All-World ex-U.S. ETF | 553,042 | 27,668,691 | |||||
Vanguard FTSE Emerging Markets ETF | 60,842 | 2,484,179 | |||||
Vanguard FTSE Europe ETF | 179,253 | 9,884,011 | |||||
WisdomTree Japan Hedged Equity Fund | 86,824 | 4,514,848 | |||||
53,220,031 | |||||||
Money Market Funds - 5.4% | |||||||
State Street
Institutional U.S. Government Money Market Fund, 0.88%, Premier Class |
13,464,506 | 13,464,506 | |||||
Stock Funds - 39.0% | |||||||
Energy Select Sector SPDR Fund | 9,053 | 587,721 | |||||
iShares Core S&P Mid-Cap ETF | 31,996 | 5,565,704 | |||||
Madison Dividend Income Fund Class Y (A) | 1,126,082 | 27,724,139 | |||||
Madison Investors Fund Class Y (A) | 1,281,052 | 28,016,616 | |||||
Madison Large Cap Value Fund Class Y (A) | 531,893 | 7,808,191 | |||||
Madison Mid Cap Fund Class Y (A) | 810,446 | 7,569,563 | |||||
Vanguard Financials ETF | 20,869 | 1,305,356 | |||||
Vanguard Growth ETF | 53,135 | 6,750,270 | |||||
Vanguard Health Care ETF | 36,273 | 5,345,552 | |||||
Vanguard Information Technology ETF | 39,833 | 5,610,080 | |||||
Vanguard Value ETF | 1,401 | 135,281 | |||||
96,418,473 | |||||||
TOTAL INVESTMENTS - 100.5% (Cost $222,602,086**) | 248,899,061 | ||||||
NET OTHER ASSETS AND LIABILITIES - (0.5%) | (1,303,129 | ) | |||||
TOTAL NET ASSETS - 100.0% | $ | 247,595,932 | |||||
* | Non-income producing. | |
** | Aggregate cost for Federal tax purposes was $223,538,283. | |
(A) | Affiliated Company (see Note 11). | |
ETF | Exchange Traded Fund. |
Ultra Series Fund | June 30, 2017 |
Aggressive Allocation Fund Portfolio of Investments (unaudited) |
Shares | Value (Note 2) | ||||||
INVESTMENT COMPANIES - 100.5% | |||||||
Alternative Funds - 2.1% | |||||||
SPDR Gold Shares * | 15,312 | $ | 1,807,122 | ||||
Bond Funds - 12.4% | |||||||
iShares 20+ Year Treasury Bond ETF | 6,996 | 875,339 | |||||
iShares 7-10 Year Treasury Bond ETF | 5,959 | 635,289 | |||||
iShares Intermediate Credit Bond ETF | 5,892 | 646,824 | |||||
Madison Core Bond Fund Class Y (A) | 841,003 | 8,401,620 | |||||
10,559,072 | |||||||
Foreign Stock Funds - 28.8% | |||||||
iShares MSCI Eurozone ETF | 98,928 | 3,989,272 | |||||
Vanguard FTSE All-World ex-U.S. ETF | 239,886 | 12,001,497 | |||||
Vanguard FTSE Emerging Markets ETF | 31,252 | 1,276,019 | |||||
Vanguard FTSE Europe ETF | 84,928 | 4,682,930 | |||||
WisdomTree Japan Hedged Equity Fund | 47,015 | 2,444,780 | |||||
24,394,498 | |||||||
Money Market Funds - 5.0% | |||||||
State Street
Institutional U.S. Government Money Market Fund, 0.88%, Premier Class |
4,261,802 | 4,261,802 | |||||
Stock Funds - 52.2% | |||||||
Energy Select Sector SPDR Fund | 6,544 | 424,836 | |||||
iShares Core S&P Mid-Cap ETF | 19,619 | 3,412,725 | |||||
Madison Dividend Income Fund Class Y (A) | 450,887 | 11,100,836 | |||||
Madison Investors Fund Class Y (A) | 514,497 | 11,252,054 | |||||
Madison Large Cap Value Fund Class Y (A) | 290,727 | 4,267,869 | |||||
Madison Mid Cap Fund Class Y (A) | 459,862 | 4,295,108 | |||||
Vanguard Financials ETF | 7,103 | 444,293 | |||||
Vanguard Growth ETF | 28,088 | 3,568,300 | |||||
Vanguard Health Care ETF | 18,678 | 2,752,577 | |||||
Vanguard Information Technology ETF | 19,108 | 2,691,171 | |||||
Vanguard Value ETF | 489 | 47,218 | |||||
44,256,987 | |||||||
TOTAL INVESTMENTS - 100.5% (Cost $73,373,884**) | 85,279,481 | ||||||
NET OTHER ASSETS AND LIABILITIES - (0.5%) | (399,907 | ) | |||||
TOTAL NET ASSETS - 100.0% | $ | 84,879,574 | |||||
* | Non-income producing. | |
** | Aggregate cost for Federal tax purposes was $73,641,664. | |
(A) | Affiliated Company (see Note 11). | |
ETF | Exchange Traded Fund. |
Ultra Series Fund | June 30, 2017 |
Core Bond Fund Portfolio of Investments (unaudited) |
Par Value | Value (Note 2) | ||||||
ASSET BACKED SECURITIES - 2.4% | |||||||
ABSC Long
Beach Home Equity Loan Trust, Series 2000-LB1, Class AF5 (A), 8.008%, 9/21/30 |
$ | 652,045 | $ | 652,523 | |||
American Express
Credit Account Master Trust, Series 2014-3, Class A, 1.49%, 4/15/20 |
500,000 | 500,170 | |||||
CarMax Auto
Owner Trust, Series 2014-1, Class B, 1.69%, 8/15/19 |
510,000 | 510,100 | |||||
CarMax Auto Owner Trust, Series 2017-1, Class A2, 1.54%, 2/18/20 | 1,000,000 | 999,878 | |||||
Chase Issuance Trust, Series 2017-A1, Class A (B), 1.459%, 1/18/22 | 500,000 | 501,650 | |||||
Santander Drive Auto Receivables Trust, Series 2013-5, Class D, 2.73%, 10/15/19 | 525,000 | 528,762 | |||||
Santander Drive Auto Receivables Trust, Series 2013-A, Class C (C), 3.12%, 10/15/19 | 206,945 | 207,553 | |||||
Santander Drive Auto Receivables Trust, Series 2013-4, Class C, 3.25%, 1/15/20 | 238,320 | 238,934 | |||||
Total Asset Backed Securities |
|||||||
(Cost $4,159,754) |
4,139,570 | ||||||
COLLATERALIZED
MORTGAGE OBLIGATIONS - 2.2% |
|||||||
Fannie Mae REMICS, Series 2015-12, Class NI, IO, 3.5%, 3/25/30 | 2,621,890 | 302,918 | |||||
Fannie Mae REMICS, Series 2011-31, Class DB, 3.5%, 4/25/31 | 375,000 | 394,291 | |||||
Fannie Mae REMICS, Series 2011-36, Class QB, 4%, 5/25/31 | 500,000 | 537,849 | |||||
Fannie Mae REMICS, Series 2005-79, Class LT, 5.5%, 9/25/35 | 585,058 | 654,500 | |||||
Fannie Mae REMICS, Series 2011-101, Class NC, 2.5%, 4/25/40 | 459,591 | 462,320 | |||||
Fannie Mae REMICS, Series 2016-21, Class BA, 3%, 3/25/42 | 821,668 | 837,551 | |||||
Freddie Mac REMICS, Series 4066, Class DI, IO, 3%, 6/15/27 | 3,390,234 | 302,683 | |||||
Government National Mortgage Association, Series 2015-53, Class IL, IO, 3%, 9/20/44 | 2,452,264 | 421,884 | |||||
Total Collateralized Mortgage |
|||||||
Obligations (Cost $3,931,418) |
3,913,996 | ||||||
COMMERCIAL
MORTGAGE-BACKED SECURITIES - 2.6% |
|||||||
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW17, Class A1A (B), 5.65%, 6/11/50 | 272,408 | 272,902 | |||||
Fannie Mae-Aces, Series 2016-M2, Class X2, IO (B), 1205%, 1/25/23 | 10,659,769 | 512,522 | |||||
FHLMC Multifamily Structured Pass Through Certificates, Series K718, Class X1, IO (B), 0.767%, 1/25/22 | 24,104,179 | 607,541 | |||||
FREMF Mortgage Trust, Series 2011-K702, Class B (B) (C), 4.931%, 4/25/44 | 750,000 | 762,039 | |||||
FREMF Mortgage Trust, Series 2012-K708, Class B (B) (C), 3.883%, 2/25/45 | 1,000,000 | 1,022,714 | |||||
FREMF Mortgage Trust, Series 2013-K502, Class B (B) (C), 2.499%, 3/25/45 | 400,000 | 399,503 | |||||
FREMF Mortgage Trust, Series 2011-K701, Class C (B) (C), 4.395%, 7/25/48 | 1,000,000 | 1,004,627 | |||||
Total Commercial Mortgage-Backed |
|||||||
Securities (Cost $4,701,238) |
4,581,848 | ||||||
CORPORATE NOTES AND BONDS - 31.9% | |||||||
Consumer Discretionary - 6.2% | |||||||
Advance Auto Parts Inc, 4.5%, 12/1/23 | 1,000,000 | 1,061,307 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital Corp, 4.464%, 7/23/22 | 800,000 | 852,373 | |||||
ERAC USA Finance LLC (C), 6.7%, 6/1/34 | 500,000 | 620,955 | |||||
Ford Motor Credit Co. LLC, MTN, 2.943%, 1/8/19 | 1,000,000 | 1,012,852 | |||||
GameStop Corp. (C), 6.75%, 3/15/21 | 200,000 | 207,800 | |||||
General Motors Financial Co. Inc., 3.2%, 7/6/21 | 750,000 | 758,430 | |||||
GLP Capital L.P. / GLP Financing II Inc., 4.875%, 11/1/20 | 253,000 | 269,761 | |||||
Harman International Industries Inc, 4.15%, 5/15/25 | 400,000 | 415,803 | |||||
Lennar Corp., 4.75%, 4/1/21 | 500,000 | 530,000 | |||||
Lowes Cos. Inc., 2.5%, 4/15/26 | 500,000 | 480,611 | |||||
Marriott International Inc, 3.125%, 6/15/26 | 400,000 | 392,413 | |||||
McDonalds Corp., MTN, 4.875%, 12/9/45 | 400,000 | 445,946 | |||||
Newell Brands Inc., 4.2%, 4/1/26 | 800,000 | 849,430 | |||||
Omnicom Group Inc., 3.6%, 4/15/26 | 750,000 | 754,615 | |||||
Priceline Group Inc./The, 3.65%, 3/15/25 | 300,000 | 307,850 | |||||
Priceline Group Inc./The, 3.6%, 6/1/26 | 500,000 | 506,132 | |||||
Sirius XM Radio Inc. (C), 6%, 7/15/24 | 350,000 | 371,875 | |||||
Toll Brothers Finance Corp., 4%, 12/31/18 | 500,000 | 512,500 | |||||
Walgreens Boots Alliance Inc., 3.45%, 6/1/26 | 600,000 | 598,732 | |||||
10,949,385 | |||||||
Consumer Staples - 3.4% | |||||||
Anheuser-Busch InBev Finance Inc., 4.9%, 2/1/46 | 1,000,000 | 1,128,641 | |||||
Bunge Ltd. Finance Corp., 3.25%, 8/15/26 | 850,000 | 812,164 | |||||
CVS Health Corp., 4.75%, 12/1/22 | 1,060,000 | 1,161,858 | |||||
CVS Health Corp., 5.125%, 7/20/45 | 1,000,000 | 1,146,395 | |||||
Kraft Heinz Foods Co., 4.375%, 6/1/46 | 1,000,000 | 979,334 | |||||
Molson Coors Brewing Co., 2.1%, 7/15/21 | 400,000 | 393,349 | |||||
Tyson Foods Inc., 3.55%, 6/2/27 | 300,000 | 303,500 | |||||
5,925,241 |
Ultra Series Fund | June 30, 2017 |
Core Bond Fund Portfolio of Investments (unaudited) - continued |
Par Value | Value (Note 2) | ||||||
CORPORATE NOTES AND BONDS - continued | |||||||
Energy - 2.7% | |||||||
Antero Resources Corp., 5.625%, 6/1/23 | $ | 300,000 | $ | 303,750 | |||
Energy Transfer Partners L.P., 5.2%, 2/1/22 | 1,000,000 | 1,075,184 | |||||
EnLink Midstream Partners L.P., 5.45%, 6/1/47 | 550,000 | 548,402 | |||||
Enterprise Products Operating LLC, 3.75%, 2/15/25 | 750,000 | 772,351 | |||||
Helmerich & Payne International Drilling Co., 4.65%, 3/15/25 | 400,000 | 419,455 | |||||
Marathon Oil Corp., 2.7%, 6/1/20 | 750,000 | 743,381 | |||||
Marathon Petroleum Corp., 2.7%, 12/14/18 | 400,000 | 403,051 | |||||
Williams Partners L.P. / ACMP Finance Corp., 4.875%, 5/15/23 | 450,000 | 466,929 | |||||
4,732,503 | |||||||
Financials - 9.3% | |||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (D), 3.75%, 5/15/19 | 400,000 | 410,852 | |||||
Affiliated Managers Group Inc., 4.25%, 2/15/24 | 1,000,000 | 1,046,715 | |||||
Air Lease Corp., 3.875%, 4/1/21 | 500,000 | 521,562 | |||||
Air Lease Corp., 3.75%, 2/1/22 | 700,000 | 730,474 | |||||
Bank of America Corp., MTN, 2.503%, 10/21/22 | 400,000 | 394,887 | |||||
Bank of Montreal, MTN (D), 1.9%, 8/27/21 | 1,000,000 | 981,335 | |||||
Berkshire Hathaway Inc., 3.125%, 3/15/26 | 250,000 | 252,813 | |||||
Boston Properties L.P., 2.75%, 10/1/26 | 1,000,000 | 944,171 | |||||
Brookfield Finance Inc. (D), 4.25%, 6/2/26 | 500,000 | 513,539 | |||||
Capital One Financial Corp., 2.5%, 5/12/20 | 400,000 | 401,733 | |||||
CBOE Holdings Inc., 3.65%, 1/12/27 | 500,000 | 504,302 | |||||
Discover Bank, 3.45%, 7/27/26 | 400,000 | 386,878 | |||||
Goldman Sachs Group Inc./The, 5.75%, 1/24/22 | 750,000 | 844,405 | |||||
Goldman Sachs Group Inc./The, 3.5%, 11/16/26 | 500,000 | 497,348 | |||||
Huntington National Bank/The, 2.4%, 4/1/20 | 1,000,000 | 1,006,670 | |||||
JPMorgan Chase & Co., 3.125%, 1/23/25 | 900,000 | 894,732 | |||||
Liberty Mutual Group Inc. (C), 4.25%, 6/15/23 | 1,000,000 | 1,063,885 | |||||
Morgan Stanley, 4.3%, 1/27/45 | 1,000,000 | 1,034,118 | |||||
Nasdaq Inc., 3.85%, 6/30/26 | 100,000 | 101,466 | |||||
Old Republic International Corp., 3.875%, 8/26/26 | 500,000 | 499,756 | |||||
Raymond James Financial Inc., 3.625%, 9/15/26 | 300,000 | 300,273 | |||||
Regions Bank, 2.25%, 9/14/18 | 250,000 | 251,015 | |||||
Regions Financial Corp., 3.2%, 2/8/21 | 750,000 | 766,808 | |||||
Synchrony Financial, 3.75%, 8/15/21 | 1,100,000 | 1,129,837 | |||||
Synchrony Financial, 337%, 8/4/26 | 400,000 | 386,020 | |||||
TD Ameritrade Holding Corp., 3.3%, 4/1/27 | 400,000 | 399,496 | |||||
16,265,090 | |||||||
Health Care - 1.6% | |||||||
AbbVie Inc., 4.45%, 5/14/46 | 300,000 | 309,659 | |||||
Actavis Funding SCS (D), 4.55%, 3/15/35 | 435,000 | 464,287 | |||||
Becton Dickinson and Co., 2.894%, 6/6/22 | 500,000 | 501,563 | |||||
Forest Laboratories LLC (C), 5%, 12/15/21 | 250,000 | 272,951 | |||||
HCA Inc., 3.75%, 3/15/19 | 500,000 | 510,000 | |||||
Shire Acquisitions Investments Ireland DAC (D), 1.9%, 9/23/19 | 750,000 | 746,518 | |||||
2,804,978 | |||||||
Industrials - 2.2% | |||||||
CRH America Inc. (C), 3.875%, 5/18/25 | 300,000 | 311,766 | |||||
Equifax Inc., 2.3%, 6/1/21 | 400,000 | 397,254 | |||||
Fortive Corp., 2.35%, 6/15/21 | 225,000 | 223,699 | |||||
International Lease Finance Corp., 8.875%, 9/1/17 | 400,000 | 404,379 | |||||
Masco Corp., 4.375%, 4/1/26 | 650,000 | 693,355 | |||||
Norfolk Southern Corp., 5.59%, 5/17/25 | 1,268,000 | 1,443,612 | |||||
United Rentals North America Inc., 4.625%, 7/15/23 | 350,000 | 363,387 | |||||
3,837,452 | |||||||
Information Technology - 3.8% | |||||||
Activision Blizzard Inc., 3.4%, 6/15/27 | 400,000 | 398,638 | |||||
Analog Devices Inc., 5.3%, 12/15/45 | 600,000 | 687,240 | |||||
Apple Inc., 2.25%, 2/23/21 | 500,000 | 503,314 | |||||
Autodesk Inc., 4.375%, 6/15/25 | 1,000,000 | 1,054,931 | |||||
Broadridge Financial Solutions Inc., 3.95%, 9/1/20 | 1,000,000 | 1,047,300 | |||||
Dell International LLC / EMC Corp. (C), 8.35%, 7/15/46 | 250,000 | 322,646 | |||||
Fidelity National Information Services Inc., 3%, 8/15/26 | 475,000 | 459,950 | |||||
Fiserv Inc., 2.7%, 6/1/20 | 300,000 | 303,535 | |||||
Hewlett Packard Enterprise Co., 6.35%, 10/15/45 | 300,000 | 317,063 | |||||
NVIDIA Corp., 2.2%, 9/16/21 | 250,000 | 247,213 | |||||
Oracle Corp., 4%, 7/15/46 | 750,000 | 757,420 | |||||
Visa Inc., 3.15%, 12/14/25 | 500,000 | 507,633 | |||||
6,606,883 | |||||||
Real Estate - 1.6% | |||||||
Boston Properties L.P., 3.65%, 2/1/26 | 450,000 | 455,376 | |||||
Brixmor Operating Partnership L.P., 3.65%, 6/15/24 | 500,000 | 491,982 | |||||
Iron Mountain Inc. (C), 4.375%, 6/1/21 | 350,000 | 363,125 | |||||
Welltower Inc., 4.5%, 1/15/24 | 1,000,000 | 1,067,212 | |||||
WP Carey Inc., 4.25%, 10/1/26 | 400,000 | 404,246 | |||||
2,781,941 |
Ultra Series Fund | June 30, 2017 |
Core Bond Fund Portfolio of Investments (unaudited) - continued |
Par Value | Value (Note 2) | ||||||
CORPORATE NOTES AND BONDS - continued | |||||||
Telecommunication Services - 0.8% | |||||||
Verizon Communications Inc., 3.45%, 3/15/21 | $ | 500,000 | $ | 517,309 | |||
Verizon Communications Inc., 5.15%, 9/15/23 | 626,000 | 695,353 | |||||
Verizon Communications Inc., 4.4%, 11/1/34 | 300,000 | 297,257 | |||||
1,509,919 | |||||||
Utilities - 0.3% | |||||||
Duke Energy Corp, 3.75%, 9/1/46 | 650,000 | 617,484 | |||||
Total Corporate Notes and Bonds |
|||||||
(Cost $54,142,816) |
56,030,876 | ||||||
LONG TERM MUNICIPAL BONDS - 5.6% | |||||||
General - 5.6% | |||||||
County of Pasco FL Water & Sewer Revenue, Series B, 6.76%, 10/1/39 | 1,000,000 | 1,104,900 | |||||
East Baton Rouge Sewerage Commission Revenue, Series B, 6.087%, 2/1/45 | 1,000,000 | 1,084,030 | |||||
Kansas Development Finance Authority Revenue, 6.6%, 10/1/39 | 500,000 | 549,065 | |||||
Los Angeles Department of Water & Power Revenue, 6.166%, 7/1/40 | 1,000,000 | 1,108,840 | |||||
Metropolitan Transportation Authority Revenue, 6.548%, 11/15/31 | 1,000,000 | 1,301,950 | |||||
New York City Transitional Finance Authority Future Tax Secured Revenue, 6.267%, 8/1/39 | 500,000 | 541,355 | |||||
Oklahoma Development Finance Authority Revenue, 3.75%, 6/1/36 | 500,000 | 481,260 | |||||
Palomar Community College District, General Obligation, 7.194%, 8/1/45 | 1,000,000 | 1,150,950 | |||||
State of Iowa Revenue, 6.75%, 6/1/34 | 1,000,000 | 1,086,760 | |||||
Washington County School District #1 West Union, General Obligation, 4.355%, 6/30/34 | 800,000 | 824,688 | |||||
West Contra Costa Unified School District, General Obligation, 8.46%, 8/1/34 | 500,000 | 565,370 | |||||
9,799,168 | |||||||
Total Long Term Municipal Bonds |
|||||||
(Cost $9,770,482) |
9,799,168 | ||||||
MORTGAGE BACKED SECURITIES - 27.6% | |||||||
Fannie Mae - 17.9% | |||||||
3.5%, 5/1/28 Pool # AL3678 | 195,254 | 204,104 | |||||
3.5%, 8/1/29 Pool # MA2003 | 1,088,991 | 1,133,861 | |||||
3%, 9/1/30 Pool # 890696 | 1,519,131 | 1,560,249 | |||||
3%, 12/1/30 Pool # AL8924 | 631,198 | 648,721 | |||||
2.5%, 5/1/31 Pool # AS7117 | 1,075,941 | 1,083,175 | |||||
7%, 11/1/31 Pool # 607515 | 28,563 | 32,031 | |||||
3%, 2/1/32 Pool # AL9867 | 579,647 | 595,336 | |||||
6.5%, 3/1/32 Pool # 631377 | 34,455 | 38,109 | |||||
7%, 5/1/32 Pool # 644591 | 10,087 | 10,899 | |||||
6.5%, 6/1/32 Pool # 545691 | 334,535 | 379,002 | |||||
5.5%, 11/1/33 Pool # 555880 | 438,176 | 490,608 | |||||
7%, 7/1/34 Pool # 792636 | 37,987 | 39,320 | |||||
4%, 2/1/35 Pool # MA2177 | 1,713,631 | 1,818,360 | |||||
5%, 8/1/35 Pool # 829670 | 448,364 | 491,890 | |||||
5%, 9/1/35 Pool # 820347 | 687,423 | 765,641 | |||||
5%, 9/1/35 Pool # 835699 | 555,236 | 618,689 | |||||
3.5%, 12/1/35 Pool # MA2473 | 1,182,795 | 1,231,728 | |||||
5%, 12/1/35 Pool # 850561 | 196,204 | 214,903 | |||||
5.5%, 10/1/36 Pool # 901723 | 526,669 | 588,402 | |||||
6.5%, 10/1/36 Pool # 894118 | 335,807 | 377,213 | |||||
6%, 11/1/36 Pool # 902510 | 515,374 | 593,718 | |||||
6%, 10/1/37 Pool # 947563 | 558,555 | 634,399 | |||||
6.5%, 8/1/38 Pool # 987711 | 1,092,519 | 1,268,296 | |||||
4%, 1/1/41 Pool # AB2080 | 1,635,428 | 1,732,204 | |||||
4.5%, 7/1/41 Pool # AB3274 | 667,524 | 722,666 | |||||
5.5%, 7/1/41 Pool # AL6588 | 1,411,993 | 1,582,609 | |||||
4%, 9/1/41 Pool # AJ1406 | 1,212,798 | 1,279,126 | |||||
3.5%, 6/1/42 Pool # AO4136 | 1,779,132 | 1,835,671 | |||||
4%, 6/1/42 Pool # MA1087 | 455,958 | 480,967 | |||||
3.5%, 8/1/42 Pool # AP2133 | 793,321 | 818,339 | |||||
3.5%, 9/1/42 Pool # AB6228 | 1,401,813 | 1,445,681 | |||||
4%, 10/1/42 Pool # AP7363 | 1,079,617 | 1,138,415 | |||||
3.5%, 3/1/43 Pool # AT0310 | 852,196 | 879,153 | |||||
4%, 1/1/45 Pool # AS4257 | 300,342 | 317,305 | |||||
4.5%, 2/1/45 Pool # MA2193 | 1,179,015 | 1,266,170 | |||||
3.5%, 8/1/45 Pool # AS5645 | 816,846 | 839,471 | |||||
3.5%, 11/1/45 Pool # BA4907 | 660,182 | 678,468 | |||||
3.5%, 12/1/45 Pool # AS6309 | 367,499 | 377,678 | |||||
4.5%, 10/1/46 Pool # MA2783 | 160,811 | 172,512 | |||||
4%, 12/1/46 Pool # BD2379 | 477,795 | 502,504 | |||||
3%, 1/1/47 Pool # BE0108 | 483,423 | 484,537 | |||||
31,372,130 | |||||||
Freddie Mac - 9.6% | |||||||
4.5%, 2/1/25 Pool # J11722 | 241,086 | 254,768 | |||||
4.5%, 5/1/25 Pool # J12247 | 443,832 | 471,653 | |||||
8%, 6/1/30 Pool # C01005 | 14,494 | 17,241 | |||||
2.5%, 3/1/31 Pool # G18590 | 409,749 | 412,388 | |||||
7%, 3/1/31 Pool # C48129 | 55,201 | 56,413 | |||||
5.5%, 11/1/34 Pool # A28282 | 828,971 | 935,004 | |||||
5.5%, 1/1/37 Pool # G04593 | 257,107 | 287,451 | |||||
5%, 10/1/39 Pool # G60465 | 2,070,389 | 2,264,042 | |||||
4%, 10/1/41 Pool # Q04092 | 777,986 | 824,131 | |||||
3%, 9/1/42 Pool # C04233 | 2,352,139 | 2,360,893 | |||||
3%, 4/1/43 Pool # V80025 | 2,134,438 | 2,142,934 | |||||
3%, 4/1/43 Pool # V80026 | 2,086,550 | 2,094,851 | |||||
3.5%, 8/1/44 Pool # Q27927 | 689,236 | 711,113 | |||||
3%, 7/1/45 Pool # G08653 | 841,520 | 840,245 | |||||
3.5%, 8/1/45 Pool # Q35614 | 1,258,092 | 1,295,367 | |||||
3%, 10/1/46 Pool # G60722 | 888,202 | 888,551 | |||||
4%, 3/1/47 Pool # Q46801 | 989,501 | 1,042,561 | |||||
16,899,606 |
Ultra Series Fund | June 30, 2017 |
Core Bond Fund Portfolio of Investments (unaudited) - continued |
Par Value | Value (Note 2) | ||||||
MORTGAGE BACKED SECURITIES - continued | |||||||
Ginnie Mae - 0.1% | |||||||
6.5%, 2/20/29 Pool # 2714 | $ | 61,798 | $ | 71,554 | |||
6.5%, 4/20/31 Pool # 3068 | 42,156 | 49,576 | |||||
121,130 | |||||||
Total Mortgage Backed Securities |
|||||||
(Cost $47,868,844) |
48,392,866 | ||||||
Contracts | |||||||
PUT OPTIONS PURCHASED - 0.0% | |||||||
U.S. Treasury Bond, Put, Jul 2017, $150 | 20 | 5,938 | |||||
U.S. Treasury Bond, Put, Jul 2017, $154 | 20 | 27,187 | |||||
Total Put Options Purchased |
|||||||
(Cost $16,995) |
33,125 | ||||||
Par Value | |||||||
U.S. GOVERNMENT AND AGENCY | |||||||
OBLIGATIONS - 24.6% | |||||||
U.S. Treasury Bonds - 9.6% | |||||||
6.625%, 2/15/27 | $ | 6,600,000 | 9,076,544 | ||||
4.500%, 5/15/38 | 4,000,000 | 5,179,220 | |||||
3.000%, 5/15/45 | 750,000 | 772,822 | |||||
2.500%, 5/15/46 | 500,000 | 465,176 | |||||
2.250%, 8/15/46 | 1,600,000 | 1,408,626 | |||||
16,902,388 | |||||||
U.S. Treasury Notes - 15.0% | |||||||
2.750%, 2/15/19 | 4,000,000 | 4,089,064 | |||||
3.375%, 11/15/19 | 5,500,000 | 5,746,428 | |||||
2.625%, 11/15/20 | 6,500,000 | 6,708,708 | |||||
2.000%, 11/15/21 | 5,000,000 | 5,042,190 | |||||
2.750%, 11/15/23 | 3,500,000 | 3,643,283 | |||||
2.250%, 11/15/25 | 1,000,000 | 1,000,234 | |||||
26,229,907 | |||||||
Total U.S. Government and Agency | |||||||
Obligations (Cost $39,897,229) | 43,132,295 | ||||||
Shares | |||||||
SHORT-TERM INVESTMENTS - 1.9% | |||||||
State Street Institutional U.S. Government Money Market Fund, 0.88%, Premier Class | 3,304,021 | 3,304,021 | |||||
Total Short-Term Investments |
|||||||
(Cost $3,304,021) |
3,304,021 | ||||||
TOTAL INVESTMENTS - 98.8% (Cost $167,792,797**) | 173,327,765 | ||||||
NET OTHER ASSETS AND LIABILITIES - 1.2% | 2,058,291 | ||||||
TOTAL CALL & PUT OPTIONS WRITTEN - 0.0% | (26,875 | ) | |||||
TOTAL NET ASSETS - 100.0% | $ | 175,359,181 | |||||
** | Aggregate cost for Federal tax purposes was $167,792,797. | |
(A) | Stepped rate security. Rate shown is as of June 30, 2017. | |
(B) | Floating rate or variable rate note. Rate shown is as of June 30, 2017. | |
(C) | Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other qualified institutional buyers. | |
(D) | Notes and bonds, issued by foreign entities, denominated in U.S. dollars The aggregate of these securities is 18% of total net assets. | |
MTN | Medium Term Note |
Contracts | ||||||||||||||||
(100 Shares | ||||||||||||||||
Put Options Written | Per Contract) | Expiration Date | Strike Price | Value (Note 2) | ||||||||||||
U.S. Treasury Bond | 20 | July 2017 | $ | 151.00 | $ | (8,437 | ) | |||||||||
U.S. Treasury Bond | 20 | July 2017 | 153.00 | (18,438 | ) | |||||||||||
Total Put Options Written (Premiums received $13,005) |
$ | (26,875 | ) | |||||||||||||
Total Options Written, at Value (Premiums received $13,005) | $ | (26,875 | ) | |||||||||||||
Ultra Series Fund | June 30, 2017 |
High Income Fund Portfolio of Investments (unaudited) |
Par Value | Value (Note 2) | ||||||
CORPORATE NOTES AND BONDS - 89.2% | |||||||
Consumer Discretionary - 28.0% | |||||||
Advertising - 2.5% | |||||||
Outfront Media Capital LLC / Outfront Media Capital Corp., 5.25%, 2/15/22 | $ | 150,000 | $ | 155,438 | |||
Outfront Media Capital LLC / Outfront Media Capital Corp., 5.625%, 2/15/24 | 500,000 | 521,875 | |||||
677,313 | |||||||
Auto Parts&Equipment - 2.3% | |||||||
Deck Chassis Acquisition Inc. (A), 10%, 6/15/23 | 100,000 | 111,000 | |||||
Lear Corp., 5.25%, 1/15/25 | 200,000 | 211,624 | |||||
Nexteer Automotive Group Ltd. (A) (B), 5.875%, 11/15/21 | 315,000 | 326,812 | |||||
649,436 | |||||||
Entertainment - 2.7% | |||||||
Pinnacle Entertainment Inc.(A), 5.625%, 5/1/24 | 250,000 | 260,000 | |||||
Scientific Games International Inc., 6.25%, 9/1/20 | 500,000 | 495,625 | |||||
755,625 | |||||||
Leisure Time - 1.4% | |||||||
Viking Cruises Ltd.(A) (B), 8.5%, 10/15/22 | 375,000 | 393,750 | |||||
Lodging - 3.4% | |||||||
Diamond Resorts International Inc. (A), 7.75%, 9/1/23 | 250,000 | 264,375 | |||||
Jack Ohio Finance LLC / Jack Ohio Finance 1 Corp. (A), 6.75%, 11/15/21 | 400,000 | 418,000 | |||||
Sugarhouse HSP Gaming Prop Mezz L.P. / Sugarhouse HSP Gaming Finance Corp. (A), 5.875%, 5/15/25 | 250,000 | 243,750 | |||||
926,125 | |||||||
Media - 11.3% | |||||||
Altice Financing S.A. (A) (B), 7.5%, 5/15/26 | 250,000 | 277,500 | |||||
Cablevision Systems Corp., 5.875%, 9/15/22 | 100,000 | 105,125 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp. (A), 5.125%, 5/1/23 | 350,000 | 367,500 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp. (A), 5.875%, 4/1/24 | 200,000 | 213,500 | |||||
Cequel Communications Holdings I LLC / Cequel Capital Corp. (A), 6.375%, 9/15/20 | 140,000 | 142,800 | |||||
DISH DBS Corp., 5.125%, 5/1/20 | 500,000 | 521,875 | |||||
Mediacom Broadband LLC / Mediacom Broadband Corp., 6.375%, 4/1/23 | 400,000 | 417,956 | |||||
Sinclair Television Group Inc., 6.125%, 10/1/22 | 250,000 | 259,687 | |||||
Sirius XM Radio Inc. (A), 4.625%, 5/15/23 | 500,000 | 514,375 | |||||
Univision Communications Inc. (A), 5.125%, 5/15/23 | 300,000 | 302,904 | |||||
3,123,222 | |||||||
Retail - 4.4% | |||||||
GameStop Corp. (A), 6.75%, 3/15/21 | 325,000 | 337,675 | |||||
Group 1 Automotive Inc., 5%, 6/1/22 | 335,000 | 340,025 | |||||
Penske Automotive Group Inc., 5.75%, 10/1/22 | 250,000 | 258,125 | |||||
PetSmart Inc. (A), 7.125%, 3/15/23 | 300,000 | 267,000 | |||||
1,202,825 | |||||||
7,728,296 | |||||||
Consumer Staples - 5.0% | |||||||
Avon International Operations Inc. (A), 7.875%, 8/15/22 | 250,000 | 259,375 | |||||
Cott Beverages Inc., 5.375%, 7/1/22 | 250,000 | 259,062 | |||||
First Quality Finance Co.Inc. (A), 4.625%, 5/15/21 | 400,000 | 403,500 | |||||
Post Holdings Inc. (A), 6%, 12/15/22 | 200,000 | 212,000 | |||||
Post Holdings Inc. (A), 5.5%, 3/1/25 | 250,000 | 257,813 | |||||
1,391,750 | |||||||
Energy - 8.4% | |||||||
American Midstream Partners L.P. / American Midstream Finance Corp. (A), 8.5%, 12/15/21 | 250,000 | 250,625 | |||||
Carrizo Oil & Gas Inc., 6.25%, 4/15/23 | 375,000 | 360,938 | |||||
Murphy Oil USA Inc., 5.625%, 5/1/27 | 400,000 | 416,000 | |||||
Rice Energy Inc., 6.25%, 5/1/22 | 500,000 | 522,500 | |||||
Tesoro Logistics L.P. / Tesoro Logistics Finance Corp., 6.375%, 5/1/24 | 250,000 | 270,625 | |||||
Unit Corp., 6.625%, 5/15/21 | 525,000 | 502,687 | |||||
2,323,375 | |||||||
Financials - 6.0% | |||||||
Donnelley Financial Solutions Inc., 8.25%, 10/15/24 | 500,000 | 530,000 | |||||
Equinix Inc., 5.875%, 1/15/26 | 250,000 | 272,577 | |||||
FBM Finance Inc. (A), 8.25%, 8/15/21 | 250,000 | 267,813 | |||||
Iron Mountain Inc., 5.75%, 8/15/24 | 150,000 | 153,000 | |||||
Quicken Loans Inc. (A), 5.75%, 5/1/25 | 200,000 | 206,500 | |||||
Solera LLC / Solera Finance Inc. (A), 10.5%, 3/1/24 | 200,000 | 229,750 | |||||
1,659,640 | |||||||
Health Care - 6.2% | |||||||
Acadia Healthcare Co.Inc., 5.125%, 7/1/22 | 500,000 | 516,250 | |||||
HCA Inc., 5.875%, 2/15/26 | 250,000 | 270,000 | |||||
Mallinckrodt International Finance S.A. (B), 4.75%, 4/15/23 | 300,000 | 255,750 | |||||
Mallinckrodt International Finance S.A. / Mallinckrodt CB LLC (A) (B), 4.875%, 4/15/20 | 500,000 | 486,875 | |||||
Valeant Pharmaceuticals International Inc. (A) (B), 5.625%, 12/1/21 | 200,000 | 180,500 | |||||
1,709,375 |
Ultra Series Fund | June 30, 2017 |
High Income Fund Portfolio of Investments (unaudited) - continued |
Par Value | Value (Note 2) | ||||||
CORPORATE NOTES AND BONDS - continued | |||||||
Industrials - 16.1% | |||||||
Avis Budget Car Rental LLC / Avis Budget Finance Inc. (A), 5.25%, 3/15/25 | $ | 250,000 | $ | 235,312 | |||
Bombardier Inc. (A) (B), 8.75%, 12/1/21 | 250,000 | 277,500 | |||||
Bombardier Inc. (A) (B), 6.125%, 1/15/23 | 200,000 | 200,500 | |||||
Covanta Holding Corp., 5.875%, 3/1/24 | 500,000 | 487,500 | |||||
FTI Consulting Inc., 6%, 11/15/22 | 500,000 | 518,750 | |||||
Griffon Corp., 5.25%, 3/1/22 | 300,000 | 305,625 | |||||
Herc Rentals Inc. (A), 7.5%, 6/1/22 | 270,000 | 284,850 | |||||
Hertz Corp. (A), 7.625%, 6/1/22 | 250,000 | 249,400 | |||||
Mueller Industries Inc., 6%, 3/1/27 | 250,000 | 256,250 | |||||
Nielsen Finance LLC / Nielsen Finance Co. (A), 5%, 4/15/22 | 420,000 | 435,750 | |||||
Prime Security Services Borrower LLC / Prime Finance Inc. (A), 9.25%, 5/15/23 | 125,000 | 135,833 | |||||
Standard Industries Inc. (A), 5.375%, 11/15/24 | 250,000 | 263,437 | |||||
Summit Materials LLC / Summit Materials Finance Corp., 8.5%, 4/15/22 | 250,000 | 282,500 | |||||
Tennant Co. (A), 5.625%, 5/1/25 | 250,000 | 262,500 | |||||
West Corp. (A), 5.375%, 7/15/22 | 250,000 | 252,500 | |||||
4,448,207 | |||||||
Information Technology - 5.5% | |||||||
Alliance Data Systems Corp. (A), 6.375%, 4/1/20 | 400,000 | 405,000 | |||||
Belden Inc. (A), 5.5%, 9/1/22 | 500,000 | 515,000 | |||||
Diebold Nixdorf Inc., 8.5%, 4/15/24 | 395,000 | 441,946 | |||||
Western Digital Corp. (A), 7.375%, 4/1/23 | 150,000 | 164,812 | |||||
1,526,758 | |||||||
Materials - 5.7% | |||||||
ARD Finance S.A., PIK (B), 7.125%, 9/15/23 | 250,000 | 266,850 | |||||
Berry Plastics Corp., 5.125%, 7/15/23 | 250,000 | 260,313 | |||||
Rayonier AM Products Inc. (A), 5.5%, 6/1/24 | 500,000 | 486,565 | |||||
Sealed Air Corp. (A), 5.125%, 12/1/24 | 400,000 | 429,000 | |||||
US Concrete Inc., 6.375%, 6/1/24 | 125,000 | 131,875 | |||||
1,574,603 | |||||||
Telecommunication Services - 4.6% | |||||||
Altice Luxembourg S.A. (A) (B), 7.625%, 2/15/25 | 400,000 | 438,500 | |||||
Frontier Communications Corp., 6.25%, 9/15/21 | 400,000 | 357,000 | |||||
Inmarsat Finance PLC (A) (B), 6.5%, 10/1/24 | 300,000 | 320,250 | |||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC (A), 3.36%, 9/20/21 | 150,000 | 151,313 | |||||
1,267,063 | |||||||
Utilities - 3.7% | |||||||
AES Corp., 5.5%, 4/15/25 | 200,000 | 209,250 | |||||
AmeriGas Partners L.P. / AmeriGas Finance Corp., 5.875%, 8/20/26 | 100,000 | 102,500 | |||||
Dynegy Inc., 7.625%, 11/1/24 | 150,000 | 145,500 | |||||
NRG Energy Inc., 6.25%, 7/15/22 | 300,000 | 307,875 | |||||
NRG Energy Inc., 6.25%, 5/1/24 | 200,000 | 202,000 | |||||
Talen Energy Supply LLC (A), 4.625%, 7/15/19 | 53,000 | 51,675 | |||||
1,018,800 | |||||||
Total Corporate Notes and Bonds |
|||||||
(Cost $23,796,265) |
24,647,867 | ||||||
Shares | |||||||
MUTUAL FUND - 1.5% | |||||||
iShares iBoxx $ High Yield Corporate Bond ETF | 4,500 | 397,755 | |||||
Total Mutual Funds |
|||||||
(Cost $387,385) |
397,755 | ||||||
SHORT-TERM INVESTMENTS - 8.6% | |||||||
State Street Institutional U.S. Government Money Market Fund, 0.88%, Premier Class | 2,386,464 | 2,386,464 | |||||
Total Short-Term Investments |
|||||||
(Cost $2,386,464) |
2,386,464 | ||||||
TOTAL INVESTMENTS - 99.3% (Cost $26,570,114**) | 27,432,086 | ||||||
NET OTHER ASSETS AND LIABILITIES - 0.7% | 199,303 | ||||||
TOTAL NET ASSETS - 100.0% | $ | 27,631,389 | |||||
** | Aggregate cost for Federal tax purposes was $26,578,389. | |
(A) | Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other qualified institutional buyers. | |
(B) | Notes and bonds, issued by foreign entities, denominated in US dollars The aggregate of these securities is 124% of total net assets. | |
ETF | Exchange Traded Fund. | |
PIK | Payment in Kind. | |
PLC | Public Limited Company. |
Ultra Series Fund | June 30, 2017 |
Diversified Income Fund Portfolio of Investments (unaudited) |
Shares | Value (Note 2) | ||||||
COMMON STOCKS - 59.3% | |||||||
Consumer Discretionary - 4.8% | |||||||
Carnival Corp. | 71,500 | $ | 4,688,255 | ||||
Home Depot Inc./The | 26,000 | 3,988,400 | |||||
McDonalds Corp. | 17,000 | 2,603,720 | |||||
Whirlpool Corp. | 11,000 | 2,107,820 | |||||
13,388,195 | |||||||
Consumer Staples - 5.1% | |||||||
Diageo PLC, ADR | 29,000 | 3,475,070 | |||||
Nestle S.A., ADR | 45,000 | 3,924,000 | |||||
PepsiCo Inc. | 26,400 | 3,048,936 | |||||
Procter & Gamble Co./The | 43,000 | 3,747,450 | |||||
14,195,456 | |||||||
Energy - 4.1% | |||||||
Chevron Corp. | 31,000 | 3,234,230 | |||||
Exxon Mobil Corp. | 59,000 | 4,763,070 | |||||
Schlumberger Ltd. | 51,000 | 3,357,840 | |||||
11,355,140 | |||||||
Financials - 10.2% | |||||||
BB&T Corp. | 56,000 | 2,542,960 | |||||
Chubb Ltd. | 19,000 | 2,762,220 | |||||
CME Group Inc. | 36,000 | 4,508,640 | |||||
Northern Trust Corp. | 24,500 | 2,381,645 | |||||
PNC Financial Services Group Inc./The | 39,000 | 4,869,930 | |||||
Travelers Cos. Inc./The | 30,000 | 3,795,900 | |||||
US Bancorp | 107,000 | 5,555,440 | |||||
Wells Fargo & Co. | 39,500 | 2,188,695 | |||||
28,605,430 | |||||||
Health Care - 8.2% | |||||||
Amgen Inc. | 18,000 | 3,100,140 | |||||
Johnson & Johnson | 43,000 | 5,688,470 | |||||
Medtronic PLC | 38,500 | 3,416,875 | |||||
Merck & Co. Inc. | 56,500 | 3,621,085 | |||||
Novartis AG, ADR | 36,000 | 3,004,920 | |||||
Pfizer Inc. | 121,500 | 4,081,185 | |||||
22,912,675 | |||||||
Industrials - 10.7% | |||||||
3M Co. | 18,500 | 3,851,515 | |||||
Boeing Co./The | 22,000 | 4,350,500 | |||||
Caterpillar Inc. | 22,500 | 2,417,850 | |||||
Emerson Electric Co. | 55,000 | 3,279,100 | |||||
General Electric Co. | 147,000 | 3,970,470 | |||||
Union Pacific Corp. | 23,000 | 2,504,930 | |||||
United Parcel Service Inc., Class B | 42,500 | 4,700,075 | |||||
United Technologies Corp. | 41,000 | 5,006,510 | |||||
30,080,950 | |||||||
Information Technology - 9.7% | |||||||
Accenture PLC, Class A | 27,500 | 3,401,200 | |||||
Apple Inc. | 18,500 | 2,664,370 | |||||
Automatic Data Processing Inc. | 17,500 | 1,793,050 | |||||
Cisco Systems Inc. | 149,500 | 4,679,350 | |||||
Microsoft Corp. | 70,100 | 4,831,993 | |||||
TE Connectivity Ltd. | 52,000 | 4,091,360 | |||||
Texas Instruments Inc. | 37,000 | 2,846,410 | |||||
Xilinx Inc. | 44,500 | 2,862,240 | |||||
27,169,973 | |||||||
Materials - 2.4% | |||||||
Monsanto Co. | 19,000 | 2,248,840 | |||||
Praxair Inc. | 33,800 | 4,480,190 | |||||
6,729,030 | |||||||
Telecommunication Service - 1.4% | |||||||
Verizon Communications Inc. | 90,500 | 4,041,730 | |||||
Utilities - 2.7% | |||||||
Dominion Energy Inc. | 26,500 | 2,030,695 | |||||
Duke Energy Corp. | 28,545 | 2,386,076 | |||||
NextEra Energy Inc. | 23,000 | 3,222,990 | |||||
7,639,761 | |||||||
Total Common Stocks |
|||||||
(Cost $115,595,584) |
166,118,340 | ||||||
Par Value | |||||||
ASSET BACKED SECURITIES - 0.9% | |||||||
ABSC Long Beach Home Equity Loan Trust, Series 2000-LB1, Class AF5 (A), 8.008%, 9/21/30 | $ | 599,648 | 600,088 | ||||
American Express Credit Account Master Trust, Series 2014-3, Class A, 1.49%, 4/15/20 | 500,000 | 500,170 | |||||
CarMax Auto Owner Trust, Series 2017-1, Class A2, 1.54%, 2/18/20 | 400,000 | 399,951 | |||||
CNH Equipment Trust, Series 2014-A, Class A3, 0.84%, 5/15/19 | 7,234 | 7,233 | |||||
Porsche Innovative Lease Owner Trust, Series 2015-1, Class A4 (B), 1.43%, 5/21/21 | 321,000 | 320,932 | |||||
Santander Drive Auto Receivables Trust, Series 2013-5, Class C, 2.25%, 6/17/19 | 168,360 | 168,628 | |||||
Santander Drive Auto Receivables Trust, Series 2013-5, Class D, 2.73%, 10/15/19 | 175,000 | 176,254 | |||||
Santander Drive Auto Receivables Trust, Series 2013-A, Class C (B), 3.12%, 10/15/19 | 106,516 | 106,829 | |||||
Santander Drive Auto Receivables Trust, Series 2013-4, Class C, 3.25%, 1/15/20 | 161,150 | 161,565 | |||||
Total Asset Backed Securities |
|||||||
(Cost $2,461,001) |
2,441,650 |
Ultra Series Fund | June 30, 2017 |
Diversified Income Fund Portfolio of Investments (unaudited) - continued |
Par Value | Value (Note 2) | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 1.3% | |||||||
Fannie Mae REMICS, Series 2011-31, Class DB, 3.5%, 4/25/31 | $ | 350,000 | $ | 368,005 | |||
Fannie Mae REMICS, Series 2011-36, Class QB, 4%, 5/25/31 | 481,000 | 517,410 | |||||
Fannie Mae REMICS, Series 2005-79, Class LT, 5.5%, 9/25/35 | 533,865 | 597,232 | |||||
Fannie Mae REMICS, Series 2011-101, Class NC, 2.5%, 4/25/40 | 787,870 | 792,548 | |||||
Fannie Mae REMICS, Series 2016-21, Class BA, 3%, 3/25/42 | 493,001 | 502,531 | |||||
Freddie Mac REMICS, Series 3825, Class CB, 3.5%, 3/15/26 | 400,000 | 420,446 | |||||
Freddie Mac REMICS, Series 4037, Class B, 3%, 4/15/27 | 450,000 | 456,292 | |||||
Total Collateralized Mortgage |
3,654,464 | ||||||
Obligations (Cost $3,702,474) |
|||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.9% | |||||||
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW17, Class A1A (C), 5.65%, 6/11/50 | 104,423 | 104,613 | |||||
Fannie Mae-Aces, Series 2016-M2, Class X2, IO (C), 1205%, 1/25/23 | 7,752,559 | 372,743 | |||||
FREMF Mortgage Trust, Series 2011-K702, Class B (B) (C), 4.931%, 4/25/44 | 500,000 | 508,026 | |||||
FREMF Mortgage Trust, Series 2012-K708, Class B (B) (C), 3.883%, 2/25/45 | 700,000 | 715,900 | |||||
FREMF Mortgage Trust, Series 2011-K701, Class C (B) (C), 4.395%, 7/25/48 | 750,000 | 753,470 | |||||
Total Commercial Mortgage-Backed |
|||||||
Securities (Cost $2,522,789) |
2,454,752 | ||||||
CORPORATE NOTES AND BONDS - 13.6% | |||||||
Consumer Discretionary - 2.4% | |||||||
Charter Communications Operating LLC / Charter Communications Operating Capital Corp., 4.464%, 7/23/22 | 600,000 | 639,280 | |||||
ERAC USA Finance LLC (B), 6.7%, 6/1/34 | 875,000 | 1,086,672 | |||||
Ford Motor Credit Co. LLC, MTN, 2.943%, 1/8/19 | 500,000 | 506,426 | |||||
GameStop Corp. (B), 6.75%, 3/15/21 | 200,000 | 207,800 | |||||
General Motors Financial Co Inc., 3.2%, 7/6/21 | 650,000 | 657,306 | |||||
GLP Capital LP / GLP Financing II Inc., 4.875%, 11/1/20 | 450,000 | 479,813 | |||||
Lennar Corp., 4.75%, 4/1/21 | 350,000 | 371,000 | |||||
Lowes Cos. Inc., 2.5%, 4/15/26 | 400,000 | 384,489 | |||||
Marriott International Inc., 3.125%, 6/15/26 | 400,000 | 392,413 | |||||
Newell Brands Inc., 5.5%, 4/1/46 | 450,000 | 541,816 | |||||
Omnicom Group Inc., 3.6%, 4/15/26 | 650,000 | 653,999 | |||||
Priceline Group Inc./The, 3.6%, 6/1/26 | 500,000 | 506,132 | |||||
Walgreens Boots Alliance Inc., 3.45%, 6/1/26 | 350,000 | 349,260 | |||||
6,776,406 | |||||||
Consumer Staples - 0.9% | |||||||
Anheuser-Busch InBev Finance Inc., 4.9%, 2/1/46 | 500,000 | 564,321 | |||||
Bunge Ltd Finance Corp., 3.25%, 8/15/26 | 600,000 | 573,292 | |||||
CVS Health Corp., 5.125%, 7/20/45 | 400,000 | 458,558 | |||||
Kraft Heinz Foods Co., 4.375%, 6/1/46 | 500,000 | 489,667 | |||||
Tyson Foods Inc., 3.55%, 6/2/27 | 300,000 | 303,500 | |||||
2,389,338 | |||||||
Energy - 1.6% | |||||||
Antero Resources Corp., 5.625%, 6/1/23 | 200,000 | 202,500 | |||||
Energy Transfer Partners L.P., 5.2%, 2/1/22 | 600,000 | 645,110 | |||||
Enterprise Products Operating LLC., 3.75%, 2/15/25 | 400,000 | 411,921 | |||||
Exxon Mobil Corp., 4.114%, 3/1/46 | 500,000 | 527,451 | |||||
Marathon Oil Corp., 2.7%, 6/1/20 | 500,000 | 495,587 | |||||
Phillips 66, 4.65%, 11/15/34 | 500,000 | 526,282 | |||||
Schlumberger Holdings Corp. (B), 4%, 12/21/25 | 400,000 | 419,317 | |||||
Valero Energy Corp., 6.625%, 6/15/37 | 500,000 | 617,550 | |||||
Williams Partners L.P. / ACMP Finance Corp., 4.875%, 5/15/23 | 750,000 | 778,215 | |||||
4,623,933 | |||||||
Financials - 3.3% | |||||||
Air Lease Corp., 3.75%, 2/1/22 | 500,000 | 521,767 | |||||
Air Lease Corp., 3.625%, 4/1/27 | 500,000 | 500,047 | |||||
Bank of America Corp., MTN, 2.503%, 10/21/22 | 400,000 | 394,887 | |||||
Bank of Montreal, MTN (D), 1.9%, 8/27/21 | 500,000 | 490,667 | |||||
Berkshire Hathaway Inc., 3.125%, 3/15/26 | 250,000 | 252,812 | |||||
Brookfield Finance Inc. (D), 4.25%, 6/2/26 | 300,000 | 308,123 | |||||
CBOE Holdings Inc., 3.65%, 1/12/27 | 400,000 | 403,442 | |||||
Goldman Sachs Group Inc./The, 5.75%, 1/24/22 | 975,000 | 1,097,727 | |||||
Huntington National Bank/The, 2.2%, 4/1/19 | 1,200,000 | 1,201,385 | |||||
JPMorgan Chase & Co., 2.972%, 1/15/23 | 500,000 | 505,947 | |||||
JPMorgan Chase & Co., 2.95%, 10/1/26 | 650,000 | 627,316 | |||||
Morgan Stanley, MTN, 3.875%, 1/27/26 | 200,000 | 205,896 | |||||
Morgan Stanley, 4.3%, 1/27/45 | 500,000 | 517,059 | |||||
Nasdaq Inc., 3.85%, 6/30/26 | 75,000 | 76,100 | |||||
Old Republic International Corp., 3.875%, 8/26/26 | 450,000 | 449,780 | |||||
Raymond James Financial Inc., 3.625%, 9/15/26 | 200,000 | 200,182 | |||||
Regions Financial Corp., 3.2%, 2/8/21 | 500,000 | 511,205 |
Ultra Series Fund | June 30, 2017 |
Diversified Income Fund Portfolio of Investments (unaudited) - continued |
Par Value | Value (Note 2) | ||||||
CORPORATE NOTES AND BONDS - continued | |||||||
Financials - continued | |||||||
Synchrony Financial, 3.75%, 8/15/21 | $ | 600,000 | $ | 616,275 | |||
Synchrony Financial, 3.7%, 8/4/26 | 400,000 | 386,020 | |||||
9,266,637 | |||||||
Health Care - 1.0% | |||||||
AbbVie Inc., 4.45%, 5/14/46 | 400,000 | 412,879 | |||||
Actavis Funding SCS (D), 4.75%, 3/15/45 | 300,000 | 323,840 | |||||
HCA Inc., 3.75%, 3/15/19 | 300,000 | 306,000 | |||||
Shire Acquisitions Investments Ireland DAC (D), 1.9%, 9/23/19 | 750,000 | 746,518 | |||||
UnitedHealth Group Inc., 2.875%, 3/15/23 | 1,000,000 | 1,015,354 | |||||
2,804,591 | |||||||
Industrials - 0.8% | |||||||
Fortive Corp., 2.35%, 6/15/21 | 150,000 | 149,132 | |||||
International Lease Finance Corp., 8.875%, 9/1/17 | 450,000 | 454,926 | |||||
Masco Corp., 4.375%, 4/1/26 | 400,000 | 426,680 | |||||
Norfolk Southern Corp., 5.59%, 5/17/25 | 957,000 | 1,089,540 | |||||
2,120,278 | |||||||
Information Technology - 2.1% | |||||||
Analog Devices Inc., 5.3%, 12/15/45 | 350,000 | 400,890 | |||||
Apple Inc., 2.25%, 2/23/21 | 500,000 | 503,314 | |||||
Autodesk Inc., 4.375%, 6/15/25 | 500,000 | 527,466 | |||||
Broadridge Financial Solutions Inc., 3.4%, 6/27/26 | 650,000 | 639,964 | |||||
CA Inc., 4.7%, 3/15/27 | 750,000 | 765,313 | |||||
Cisco Systems Inc., 2.2%, 2/28/21 | 700,000 | 703,783 | |||||
Dell International LLC / EMC Corp. (B), 8.35%, 7/15/46 | 175,000 | 225,852 | |||||
Fidelity National Information Services Inc., 3%, 8/15/26 | 450,000 | 435,742 | |||||
Intel Corp., 4.9%, 7/29/45 | 400,000 | 464,749 | |||||
NVIDIA Corp., 2.2%, 9/16/21 | 200,000 | 197,770 | |||||
Oracle Corp., 4%, 7/15/46 | 500,000 | 504,947 | |||||
Thomson Reuters Corp. (D), 4.3%, 11/23/23 | 600,000 | 643,348 | |||||
6,013,138 | |||||||
Real Estate - 0.6% | |||||||
Brixmor Operating Partnership LP, 3.65%, 6/15/24 | 500,000 | 491,982 | |||||
Iron Mountain Inc. (B), 4.375%, 6/1/21 | 300,000 | 311,250 | |||||
Welltower Inc., 4.5%, 1/15/24 | 725,000 | 773,729 | |||||
1,576,961 | |||||||
Telecommunication Services - 0.9% | |||||||
AT&T Inc., 4.75%, 5/15/46 | 500,000 | 490,302 | |||||
Harris Corp., 5.054%, 4/27/45 | 500,000 | 561,171 | |||||
Verizon Communications Inc., 5.15%, 9/15/23 | 1,260,000 | 1,399,592 | |||||
2,451,065 | |||||||
Total Corporate Notes and Bonds | |||||||
(Cost $36,451,829) | 38,022,347 | ||||||
LONG TERM MUNICIPAL BONDS - 2.8% | |||||||
General - 2.8% | |||||||
County of Pasco FL Water & Sewer Revenue, Series B, 6.76%, 10/1/39 | 1,000,000 | 1,104,900 | |||||
Los Angeles Department of Water & Power Revenue, 6.166%, 7/1/40 | 1,000,000 | 1,108,840 | |||||
Metropolitan Transportation Authority Revenue, 6.548%, 11/15/31 | 1,000,000 | 1,301,950 | |||||
New York City Transitional Finance Authority Future Tax Secured Revenue, 6.267%, 8/1/39 | 500,000 | 541,355 | |||||
Northside Independent School District, General Obligation, Series B, (PSF-GTD), 5.741%, 8/15/35 | 850,000 | 914,243 | |||||
Oklahoma Development Finance Authority Revenue, 3.75%, 6/1/36 | 375,000 | 360,945 | |||||
Rancho Water District Financing Authority Revenue, Series A, 6.337%, 8/1/40 | 800,000 | 876,448 | |||||
State of Iowa Revenue, 6.75%, 6/1/34 | 500,000 | 543,380 | |||||
University of Massachusetts Building Authority Revenue, 6.573%, 5/1/39 | 1,000,000 | 1,080,300 | |||||
7,832,361 | |||||||
Total Long Term Municipal Bonds | |||||||
(Cost $7,780,914) | 7,832,361 | ||||||
MORTGAGE BACKED SECURITIES - 10.0% | |||||||
Fannie Mae - 6.8% | |||||||
3%, 5/1/27 Pool # AL1715 | 558,187 | 574,485 | |||||
3.5%, 5/1/28 Pool # AL3678 | 195,254 | 204,104 | |||||
3.5%, 8/1/29 Pool # MA2003 | 437,512 | 455,539 | |||||
3%, 9/1/30 Pool # 890696 | 719,588 | 739,065 | |||||
3%, 12/1/30 Pool # AL8924 | 504,958 | 518,977 | |||||
2.5%, 5/1/31 Pool # AS7117 | 516,452 | 519,924 | |||||
7%, 11/1/31 Pool # 607515 | 28,563 | 32,031 | |||||
3.5%, 12/1/31 Pool # MA0919 | 197,019 | 205,768 | |||||
3%, 2/1/32 Pool # AL9867 | 821,166 | 843,393 | |||||
7%, 5/1/32 Pool # 644591 | 5,546 | 5,992 | |||||
5.5%, 10/1/33 Pool # 254904 | 170,046 | 190,465 | |||||
5.5%, 11/1/33 Pool # 555880 | 438,176 | 490,608 | |||||
5%, 5/1/34 Pool # 780890 | 577,612 | 634,235 | |||||
7%, 7/1/34 Pool # 792636 | 18,182 | 18,820 | |||||
4%, 2/1/35 Pool # MA2177 | 823,861 | 874,211 | |||||
5%, 9/1/35 Pool # 820347 | 280,953 | 312,921 | |||||
5%, 9/1/35 Pool # 835699 | 232,415 | 258,976 | |||||
5%, 12/1/35 Pool # 850561 | 82,077 | 89,900 |
Ultra Series Fund | June 30, 2017 |
Diversified Income Fund Portfolio of Investments (unaudited) - continued |
Par Value | Value (Note 2) | ||||||
MORTGAGE BACKED SECURITIES- continued | |||||||
Fannie Mae- continued | |||||||
5.5%, 9/1/36 Pool # 831820 | $ | 481,160 | $ | 548,318 | |||
6%, 9/1/36 Pool # 831741 | 304,403 | 342,247 | |||||
5.5%, 10/1/36 Pool # 901723 | 197,501 | 220,651 | |||||
5.5%, 12/1/36 Pool # 903059 | 397,579 | 447,773 | |||||
4%, 1/1/41 Pool # AB2080 | 726,857 | 769,868 | |||||
4.5%, 7/1/41 Pool # AB3274 | 210,415 | 227,797 | |||||
5.5%, 7/1/41 Pool # AL6588 | 814,612 | 913,044 | |||||
4%, 9/1/41 Pool # AJ1406 | 539,022 | 568,500 | |||||
4%, 10/1/41 Pool # AJ4046 | 667,701 | 709,007 | |||||
3.5%, 6/1/42 Pool # AO4134 | 538,189 | 555,380 | |||||
3.5%, 6/1/42 Pool # AO4136 | 667,175 | 688,377 | |||||
3.5%, 8/1/42 Pool # AP2133 | 661,100 | 681,949 | |||||
4%, 10/1/42 Pool # AP7363 | 568,219 | 599,166 | |||||
3%, 2/1/43 Pool # AB8486 | 1,046,017 | 1,050,450 | |||||
3%, 2/1/43 Pool # AL3072 | 804,633 | 809,290 | |||||
3.5%, 3/1/43 Pool # AT0310 | 542,306 | 559,461 | |||||
4%, 1/1/45 Pool # AS4257 | 216,913 | 229,165 | |||||
4.5%, 2/1/45 Pool # MA2193 | 665,805 | 715,023 | |||||
3.5%, 4/1/45 Pool # MA2229 | 552,980 | 568,297 | |||||
3.5%, 11/1/45 Pool # BA4907 | 660,182 | 678,469 | |||||
3.5%, 12/1/45 Pool # AS6309 | 137,812 | 141,629 | |||||
18,993,275 | |||||||
Freddie Mac - 3.2% | |||||||
4.5%, 2/1/25 Pool # J11722 | 144,652 | 152,861 | |||||
4.5%, 5/1/25 Pool # J12247 | 124,828 | 132,653 | |||||
8%, 6/1/30 Pool # C01005 | 11,595 | 13,793 | |||||
2.5%, 3/1/31 Pool # G18590 | 286,824 | 288,672 | |||||
6.5%, 1/1/32 Pool # C62333 | 83,296 | 92,859 | |||||
5%, 10/1/39 Pool # G60465 | 1,307,594 | 1,429,899 | |||||
3.5%, 11/1/40 Pool # G06168 | 336,491 | 347,283 | |||||
4.5%, 9/1/41 Pool # Q03516 | 546,991 | 588,078 | |||||
4%, 10/1/41 Pool # Q04092 | 777,986 | 824,131 | |||||
3%, 9/1/42 Pool # C04233 | 1,209,671 | 1,214,173 | |||||
3%, 4/1/43 Pool # V80025 | 853,775 | 857,174 | |||||
3%, 4/1/43 Pool # V80026 | 834,620 | 837,940 | |||||
3.5%, 8/1/45 Pool # Q35614 | 838,728 | 863,578 | |||||
3%, 10/1/46 Pool # G60722 | 624,142 | 624,388 | |||||
4%, 3/1/47 Pool # Q46801 | 791,600 | 834,048 | |||||
9,101,530 | |||||||
Ginnie Mae - 0.0% | |||||||
6.5%, 4/20/31 Pool # 3068 | 34,717 | 40,827 | |||||
Total Mortgage Backed Securities |
|||||||
(Cost $27,872,175) |
28,135,632 | ||||||
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 8.8% | |||||||
Federal Home Loan Bank - 0.3% | |||||||
2.000%, 6/1/23 (C) | 500,000 | 499,311 | |||||
1.750%, 12/21/23 (C) | 350,000 | 349,520 | |||||
848,831 | |||||||
U.S. Treasury Bonds - 2.4% | |||||||
6.625%, 2/15/27 | 2,270,000 | 3,121,781 | |||||
3.000%, 5/15/42 | 1,000,000 | 1,035,586 | |||||
2.500%, 2/15/45 | 1,250,000 | 1,166,553 | |||||
2.500%, 5/15/46 | 500,000 | 465,176 | |||||
2.250%, 8/15/46 | 1,000,000 | 880,391 | |||||
6,669,487 | |||||||
U.S. Treasury Notes - 6.1% | |||||||
3.875%, 5/15/18 | 1,000,000 | 1,022,266 | |||||
2.750%, 2/15/19 | 1,300,000 | 1,328,946 | |||||
3.125%, 5/15/19 | 2,000,000 | 2,064,532 | |||||
3.625%, 8/15/19 | 1,250,000 | 1,307,666 | |||||
3.375%, 11/15/19 | 1,000,000 | 1,044,805 | |||||
2.000%, 7/31/20 | 1,000,000 | 1,012,383 | |||||
2.625%, 11/15/20 | 5,800,000 | 5,986,232 | |||||
2.000%, 2/15/22 | 1,750,000 | 1,763,125 | |||||
1.750%, 5/15/22 | 1,750,000 | 1,740,429 | |||||
17,270,384 | |||||||
Total U.S. Government and Agency | |||||||
Obligations (Cost $23,963,272) | 24,788,702 | ||||||
Shares | |||||||
SHORT-TERM INVESTMENTS - 2.0% | |||||||
State Street Institutional U.S. Government Money Market Fund, 0.88%, Premier Class | 5,489,553 | 5,489,553 | |||||
Total Short-Term Investments |
|||||||
(Cost $5,489,553) |
5,489,553 | ||||||
TOTAL INVESTMENTS - 99.6% (Cost $225,839,591**) | 278,937,801 | ||||||
NET OTHER ASSETS AND LIABILITIES - 0.4% | 1,031,161 | ||||||
TOTAL NET ASSETS - 100.0% | $ | 279,968,962 | |||||
** | Aggregate cost for Federal tax purposes was $226,603,412. | |
(A) | Stepped rate security. Rate shown is as of June 30, 2017. | |
(B) | Security sold within terms of a private placement memorandum exempt from registration under rule 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other qualified institutional investors. | |
(C) | Floating rate or variable rate note. Rate shown is as of June 30, 2017. | |
(D) | Notes and bonds, issued by foreign entities, denominated in U.S. dollars The aggregate of these securities is 0.9% of total net assets. |
ADR | American Depositary Receipt | |
MTN | Medium Term Note | |
PLC | Public Limited Company | |
PSF- | ||
GTD | Permanent School Fund Guaranteed. |
Ultra Series Fund | June 30, 2017 |
Large Cap Value Fund Portfolio of Investments (unaudited) |
Shares | Value (Note 2) | ||||||
COMMON STOCKS - 98.2% | |||||||
Consumer Discretionary - 7.7% | |||||||
General Motors Co. | 303,000 | $ | 10,583,790 | ||||
Lowes Cos. Inc. | 123,000 | 9,536,190 | |||||
Whirlpool Corp. | 30,500 | 5,844,410 | |||||
25,964,390 | |||||||
Consumer Staples - 1.2% | |||||||
Nestle S.A., ADR | 45,000 | 3,924,000 | |||||
Energy - 10.5% | |||||||
Baker Hughes Inc. | 213,000 | 11,610,630 | |||||
Marathon Petroleum Corp. | 232,000 | 12,140,560 | |||||
National Oilwell Varco Inc. | 357,000 | 11,759,580 | |||||
35,510,770 | |||||||
Financials - 25.8% | |||||||
Capital Markets - 4.1% | |||||||
Bank of New York Mellon Corp./The | 269,000 | 13,724,380 | |||||
Commercial Banks - 13.4% | |||||||
Bank of America Corp. | 663,000 | 16,084,380 | |||||
JPMorgan Chase & Co. | 184,000 | 16,817,600 | |||||
US Bancorp | 236,000 | 12,253,120 | |||||
45,155,100 | |||||||
Diversified Financial Services - 2.2% | |||||||
Berkshire Hathaway Inc., Class B * | 44,500 | 7,536,965 | |||||
Insurance - 6.1% | |||||||
American International Group Inc. | 183,002 | 11,441,285 | |||||
Hartford Financial Services Group Inc./The | 175,000 | 9,199,750 | |||||
20,641,035 | |||||||
87,057,480 | |||||||
Health Care - 8.3% | |||||||
Baxter International Inc. | 227,500 | 13,772,850 | |||||
Humana Inc. | 60,000 | 14,437,200 | |||||
28,210,050 | |||||||
Industrials - 12.6% | |||||||
Delta Air Lines Inc. | 191,000 | 10,264,340 | |||||
FedEx Corp. | 76,500 | 16,625,745 | |||||
General Dynamics Corp. | 51,500 | 10,202,150 | |||||
Republic Services Inc. | 85,000 | 5,417,050 | |||||
42,509,285 | |||||||
Information Technology - 10.4% | |||||||
Amdocs Ltd. | 160,000 | 10,313,600 | |||||
Microsoft Corp. | 156,000 | 10,753,080 | |||||
TE Connectivity Ltd. | 179,000 | 14,083,720 | |||||
35,150,400 | |||||||
Materials - 8.6% | |||||||
Dow Chemical Co./The | 265,000 | 16,713,550 | |||||
Nucor Corp. | 215,000 | 12,442,050 | |||||
29,155,600 | |||||||
Real Estate - 4.3% | |||||||
Weyerhaeuser Co. | 433,000 | 14,505,500 | |||||
Telecommunication Service - 4.4% | |||||||
T-Mobile US Inc.* | 243,000 | 14,730,660 | |||||
Utilities - 4.4% | |||||||
NRG Energy Inc. | 873,000 | 15,033,060 | |||||
Total Common Stocks |
|||||||
(Cost $282,835,218) |
331,751,195 | ||||||
SHORT-TERM INVESTMENTS - 2.8% | |||||||
State Street Institutional U.S. Government Money Market Fund, 0.88%, Premier Class | 9,432,944 | 9,432,944 | |||||
Total Short-Term Investments |
|||||||
(Cost $9,432,944) |
9,432,944 | ||||||
TOTAL INVESTMENTS - 101.0% (Cost $292,268,162**) | 341,184,139 | ||||||
NET OTHER ASSETS AND LIABILITIES - (1.0%) | (3,456,139 | ) | |||||
TOTAL NET ASSETS - 100.0% | $ | 337,728,000 | |||||
* | Non-income producing. | |
** | Aggregate cost for Federal tax purposes was $292,268,162. | |
ADR | American Depositary Receipt. |
Ultra Series Fund | June 30, 2017 |
Large Cap Growth Fund Portfolio of Investments (unaudited) |
Shares | Value (Note 2) | ||||||
COMMON STOCKS - 97.2% | |||||||
Consumer Discretionary - 17.8% | |||||||
Amazon.com Inc. * | 2,823 | $ | 2,732,664 | ||||
CBS Corp., Class B | 77,811 | 4,962,786 | |||||
Dollar General Corp. | 71,242 | 5,135,836 | |||||
Home Depot Inc./The | 33,642 | 5,160,683 | |||||
Liberty Global PLC, Series C * | 130,529 | 4,069,894 | |||||
McDonalds Corp. | 29,601 | 4,533,689 | |||||
Omnicom Group Inc. | 46,197 | 3,829,731 | |||||
Starbucks Corp. | 67,782 | 3,952,368 | |||||
TJX Cos Inc./The | 59,332 | 4,281,990 | |||||
Walt Disney Co./The | 59,319 | 6,302,644 | |||||
44,962,285 | |||||||
Consumer Staples - 9.2% | |||||||
Costco Wholesale Corp. | 21,615 | 3,456,887 | |||||
CVS Health Corp. | 73,341 | 5,901,017 | |||||
Diageo PLC, ADR | 30,281 | 3,628,572 | |||||
JM Smucker Co./The | 40,173 | 4,753,671 | |||||
PepsiCo Inc. | 48,805 | 5,636,490 | |||||
23,376,637 | |||||||
Energy - 1.3% | |||||||
Schlumberger Ltd. | 51,169 | 3,368,967 | |||||
Financials - 7.3% | |||||||
Berkshire Hathaway Inc., Class B * | 30,894 | 5,232,517 | |||||
Brookfield Asset Management Inc., Class A | 138,890 | 5,445,877 | |||||
Charles Schwab Corp./The | 81,930 | 3,519,713 | |||||
S&P Global Inc. | 29,107 | 4,249,331 | |||||
Trisura Group Ltd. * | 817 | 13,643 | |||||
18,461,081 | |||||||
Health Care - 22.0% | |||||||
Allergan PLC | 23,599 | 5,736,681 | |||||
Amgen Inc. | 35,107 | 6,046,479 | |||||
Biogen Inc. * | 21,251 | 5,766,671 | |||||
Celgene Corp.* | 35,602 | 4,623,632 | |||||
Danaher Corp. | 52,766 | 4,452,923 | |||||
Express Scripts Holding Co.* | 68,415 | 4,367,613 | |||||
Gilead Sciences Inc. | 110,157 | 7,796,912 | |||||
HCA Holdings Inc.* | 45,653 | 3,980,942 | |||||
Johnson & Johnson | 38,034 | 5,031,518 | |||||
Thermo Fisher Scientific Inc. | 29,530 | 5,152,099 | |||||
Varian Medical Systems Inc.* | 27,707 | 2,859,085 | |||||
55,814,555 | |||||||
Industrials - 6.5% | |||||||
3M Co. | 19,079 | 3,972,057 | |||||
Boeing Co./The | 26,395 | 5,219,611 | |||||
United Parcel Service Inc., Class B | 38,518 | 4,259,706 | |||||
WW Grainger Inc. | 16,247 | 2,933,071 | |||||
16,384,445 | |||||||
Information Technology - 31.2% | |||||||
Communications Equipment - 1.8% | |||||||
QUALCOMM Inc. | 80,330 | 4,435,822 | |||||
Computers & Peripherals - 6.3% | |||||||
Apple Inc. | 110,746 | 15,949,639 | |||||
Electronic Equipment, Instruments & Components - 2.1% | |||||||
TE Connectivity Ltd. | 66,265 | 5,213,730 | |||||
Internet Software & Services - 6.3% | |||||||
Alphabet Inc., Class C * | 17,597 | 15,990,922 | |||||
IT Services - 6.9% | |||||||
Accenture PLC, Class A | 47,789 | 5,910,544 | |||||
PayPal Holdings Inc.* | 62,872 | 3,374,340 | |||||
Visa Inc., Class A | 87,230 | 8,180,429 | |||||
17,465,313 | |||||||
Software - 7.8% | |||||||
Microsoft Corp. | 145,047 | 9,998,090 | |||||
Oracle Corp. | 195,428 | 9,798,760 | |||||
19,796,850 | |||||||
78,852,276 | |||||||
Real Estate - 1.9% | |||||||
American Tower Corp. | 36,490 | 4,828,357 | |||||
Total Common Stocks |
|||||||
(Cost $146,219,482) |
246,048,603 | ||||||
SHORT-TERM INVESTMENTS - 2.8% | |||||||
State Street Institutional U.S. Government Money Market Fund, 0.88%, Premier Class | 7,136,340 | 7,136,340 | |||||
Total Short-Term Investments |
|||||||
(Cost $7,136,340) |
7,136,340 | ||||||
TOTAL INVESTMENTS - 100.0%(Cost $153,355,822**) | 253,184,943 | ||||||
NET OTHER ASSETS AND LIABILITIES - 0.0% | (84,206 | ) | |||||
TOTAL NET ASSETS - 100.0% | $ | 253,100,737 | |||||
* | Non-income producing. | |
** | Aggregate cost for Federal tax purposes was $153,702,767. | |
ADR | American Depositary Receipt. | |
PLC | Public Limited Company. |
Ultra Series Fund | June 30, 2017 |
Mid Cap Fund Portfolio of Investments (unaudited) |
Shares | Value (Note 2) | ||||||
COMMON STOCKS - 90.1% | |||||||
Consumer Discretionary - 22.8% | |||||||
CarMax Inc. * | 115,622 | $ | 7,291,123 | ||||
Dollar General Corp. | 64,033 | 4,616,139 | |||||
Liberty Broadband Corp., Class C * | 106,259 | 9,217,968 | |||||
Liberty Global PLC, Series C * | 232,664 | 7,254,464 | |||||
Lithia Motors Inc., Class A | 32,039 | 3,019,035 | |||||
Omnicom Group Inc. | 86,919 | 7,205,585 | |||||
Ross Stores Inc. | 136,993 | 7,908,606 | |||||
46,512,920 | |||||||
Consumer Staples - 1.2% | |||||||
Brown-Forman Corp., Class B | 51,387 | 2,497,408 | |||||
Energy - 1.0% | |||||||
Oceaneering International Inc. | 88,332 | 2,017,503 | |||||
Financials - 21.1% | |||||||
Arch Capital Group Ltd.* | 72,549 | 6,768,096 | |||||
Brookfield Asset Management Inc., Class A | 216,704 | 8,496,964 | |||||
Brown & Brown Inc. | 169,807 | 7,313,587 | |||||
Glacier Bancorp Inc. | 127,183 | 4,656,170 | |||||
Markel Corp. * | 9,666 | 9,432,663 | |||||
Trisura Group Ltd.* | 1,274 | 21,275 | |||||
WR Berkley Corp. | 94,337 | 6,525,290 | |||||
43,214,045 | |||||||
Health Care - 9.8% | |||||||
DaVita Inc. * | 110,085 | 7,129,105 | |||||
Laboratory Corp of America Holdings * | 47,564 | 7,331,515 | |||||
Zoetis Inc. | 87,941 | 5,485,759 | |||||
19,946,379 | |||||||
Industrials - 16.0% | |||||||
Copart Inc. * | 268,931 | 8,549,316 | |||||
Expeditors International of Washington Inc. | 133,883 | 7,561,712 | |||||
Fastenal Co. | 104,950 | 4,568,474 | |||||
IHS Markit Ltd.* | 153,961 | 6,780,442 | |||||
Wabtec Corp. | 58,235 | 5,328,503 | |||||
32,788,447 | |||||||
Information Technology - 6.7% | |||||||
Amphenol Corp., Class A | 66,999 | $ | 4,945,866 | ||||
CDW Corp. | 139,467 | 8,720,872 | |||||
13,666,738 | |||||||
Materials - 6.8% | |||||||
Axalta Coating Systems Ltd.* | 229,386 | 7,349,527 | |||||
Crown Holdings Inc.* | 111,495 | 6,651,792 | |||||
14,001,319 | |||||||
Real Estate - 4.7% | |||||||
American Tower Corp. | 35,629 | 4,714,429 | |||||
Crown Castle International Corp. | 48,600 | 4,868,748 | |||||
9,583,177 | |||||||
Total Common Stocks |
|||||||
(Cost $110,381,444) |
184,227,936 | ||||||
SHORT-TERM INVESTMENTS - 9.9% | |||||||
State Street Institutional U.S. Government Money Market Fund, 0.88%, Premier Class | 20,210,276 | 20,210,276 | |||||
Total Short-Term Investments |
|||||||
(Cost $20,210,276) |
20,210,276 | ||||||
TOTAL INVESTMENTS - 100.0%(Cost $130,591,720**) | 204,438,212 | ||||||
NET OTHER ASSETS AND LIABILITIES - (0.0%) | (17,442 | ) | |||||
TOTAL NET ASSETS - 100.0% | $ | 204,420,770 | |||||
* | Non-income producing. | |
** | Aggregate cost for Federal tax purposes was $130,762,058. | |
PLC | Public Limited Company. |
Ultra Series Fund | June 30, 2017 |
International Stock Fund Portfolio of Investments (unaudited) |
Shares | Value (Note 2) | ||||||
COMMON STOCKS - 96.8% | |||||||
Australia - 1.0% | |||||||
Caltex Australia Ltd. | 16,842 | $ | 409,184 | ||||
Belgium - 2.6% | |||||||
Anheuser-Busch InBev S.A. | 6,760 | 746,691 | |||||
KBC Group N.V. | 4,140 | 314,020 | |||||
1,060,711 | |||||||
Brazil - 1.0% | |||||||
BB Seguridade Participacoes S.A. | 47,900 | 414,240 | |||||
Canada - 4.3% | |||||||
Canadian National Railway Co. | 7,000 | 567,967 | |||||
National Bank of Canada | 12,300 | 517,211 | |||||
Suncor Energy Inc. | 23,100 | 674,938 | |||||
1,760,116 | |||||||
Denmark - 2.4% | |||||||
AP Moeller - Maersk AS, Class B | 230 | 462,448 | |||||
Carlsberg AS, Class B | 4,780 | 510,647 | |||||
973,095 | |||||||
Finland - 1.5% | |||||||
Sampo Oyj, Class A | 11,921 | 610,930 | |||||
France - 10.7% | |||||||
Air Liquide S.A. | 5,796 | 716,273 | |||||
Capgemini SE | 8,535 | 882,022 | |||||
Cie Generale des Etablissements Michelin | 5,633 | 748,886 | |||||
Valeo S.A. | 16,174 | 1,089,730 | |||||
Vinci S.A. | 11,054 | 943,490 | |||||
4,380,401 | |||||||
Germany - 3.5% | |||||||
Deutsche Post AG | 9,409 | 352,700 | |||||
SAP SE | 10,283 | 1,074,055 | |||||
1,426,755 | |||||||
Ireland - 3.5% | |||||||
Medtronic PLC | 10,010 | 888,387 | |||||
Ryanair Holdings PLC, ADR * | 5,080 | 546,659 | |||||
1,435,046 | |||||||
Italy - 1.6% | |||||||
UniCredit SpA * | 33,990 | 634,734 | |||||
Japan - 17.4% | |||||||
ABC-Mart Inc. | 6,600 | 387,873 | |||||
Daiwa House Industry Co. Ltd. | 35,890 | 1,224,679 | |||||
Don Quijote Holdings Co. Ltd. | 23,200 | 878,702 | |||||
Hoshizaki Corp. | 3,400 | 307,126 | |||||
Isuzu Motors Ltd. | 48,300 | 595,188 | |||||
Kao Corp. | 7,230 | 428,883 | |||||
KDDI Corp. | 19,900 | 526,361 | |||||
Makita Corp. | 16,300 | 602,147 | |||||
Seven & I Holdings Co. Ltd. | 9,524 | 391,883 | |||||
Sony Corp. | 21,600 | 823,095 | |||||
Sumitomo Mitsui Financial Group Inc. | 17,500 | 681,329 | |||||
United Arrows Ltd. | 8,400 | 272,221 | |||||
7,119,487 | |||||||
Jersey - 4.7% | |||||||
Shire PLC | 19,648 | 1,084,527 | |||||
Wolseley PLC | 13,679 | 839,678 | |||||
1,924,205 | |||||||
Luxembourg - 1.3% | |||||||
RTL Group S.A. | 3,377 | 254,989 | |||||
Tenaris S.A. | 18,394 | 286,769 | |||||
541,758 | |||||||
Netherlands - 3.5% | |||||||
Airbus SE | 4,136 | 340,123 | |||||
Koninklijke KPN N.V. | 103,546 | 331,260 | |||||
Wolters Kluwer N.V. | 18,452 | 781,143 | |||||
1,452,526 | |||||||
Norway - 2.4% | |||||||
Statoil ASA | 25,967 | 430,464 | |||||
Telenor ASA | 33,482 | 555,443 | |||||
985,907 | |||||||
Philippines - 0.0% | |||||||
Alliance Global Group Inc. | 37,000 | 10,485 | |||||
Singapore - 1.5% | |||||||
DBS Group Holdings Ltd. | 41,600 | 626,682 | |||||
Spain - 1.0% | |||||||
Red Electrica Corp. S.A. | 18,717 | 391,103 | |||||
Sweden - 3.9% | |||||||
Assa Abloy AB, Class B | 38,841 | 853,380 | |||||
Nordea Bank AB | 59,201 | 753,302 | |||||
1,606,682 | |||||||
Switzerland - 4.1% | |||||||
Julius Baer Group Ltd.* | 7,686 | 404,379 | |||||
Novartis AG | 15,234 | 1,267,779 | |||||
1,672,158 | |||||||
Taiwan - 1.4% | |||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 16,500 | 576,840 | |||||
Turkey - 0.7% | |||||||
Turkiye Garanti Bankasi AS | 107,014 | 297,764 | |||||
Ultra Series Fund | June 30, 2017 |
International Stock Fund Portfolio of Investments (unaudited) - continued |
Shares | Value (Note 2) | ||||||
COMMON STOCKS - continued | |||||||
United Kingdom - 22.8% | |||||||
Aon PLC | 6,800 | $ | 904,060 | ||||
BHP Billiton PLC | 53,696 | 822,451 | |||||
British American Tobacco PLC | 18,474 | 1,259,376 | |||||
BT Group PLC | 89,716 | 344,417 | |||||
ConvaTec Group PLC * (A) | 109,073 | 453,462 | |||||
Diageo PLC | 20,471 | 604,838 | |||||
Howden Joinery Group PLC | 54,821 | 290,676 | |||||
Informa PLC | 47,817 | 416,648 | |||||
Provident Financial PLC | 5,727 | 181,481 | |||||
Prudential PLC | 60,707 | 1,392,384 | |||||
RELX PLC | 38,876 | 840,525 | |||||
Royal Dutch Shell PLC, Class A | 37,854 | 1,003,315 | |||||
Unilever PLC | 15,424 | 834,697 | |||||
9,348,330 | |||||||
Total Common Stocks | |||||||
(Cost $36,229,337) | 39,659,139 | ||||||
SHORT-TERM INVESTMENTS - 3.1% | |||||||
United States - 3.1% | |||||||
State Street Institutional U.S. Government Money Market Fund, 0.88%, Premier Class | 1,274,357 | 1,274,357 | |||||
Total Short-Term Investments | |||||||
(Cost $1,274,357) | 1,274,357 | ||||||
TOTAL INVESTMENTS - 99.9% (Cost $37,503,694**) | 40,933,496 | ||||||
NET OTHER ASSETS AND LIABILITIES - 0.1% | 31,975 | ||||||
TOTAL NET ASSETS - 100.0% | $ | 40,965,471 | |||||
* | Non-income producing. | |
** | Aggregate cost for Federal tax purposes was $37,608,546. | |
(A) | Security sold within terms of a private placement memorandum exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other qualified institutional investors. The securities have been determined to be liquid under guidelines established by the Board of Trustees. | |
ADR | American Depositary Receipt. | |
PLC | Public Limited Company. |
OTHER INFORMATION: | |||
Sector Concentration | % of Net Assets | ||
Consumer Discretionary | 17.3% | ||
Consumer Staples | 11.7% | ||
Energy | 6.8% | ||
Financials | 18.9% | ||
Health Care | 9.0% | ||
Industrials | 14.9% | ||
Information Technology | 6.2% | ||
Materials | 3.7% | ||
Real Estate | 3.0% | ||
Telecommunication Services | 4.3% | ||
Utilities | 1.0% | ||
Money Market Funds | 3.1% | ||
Net Other Assets and Liabilities | 0.1% |
Ultra Series Fund | June 30, 2017 |
Statements of Assets and Liabilities as of June 30, 2017 (unaudited) |
Conservative Allocation Fund |
Moderate Allocation Fund |
Aggressive Allocation Fund |
||||||||||
Assets: | ||||||||||||
Investments in securities, at cost | ||||||||||||
Unaffiliated issuers |
$ | 72,903,071 | $ | 119,172,812 | $ | 40,911,518 | ||||||
Affiliated issuers1 |
63,403,939 | 103,429,274 | 32,462,366 | |||||||||
Net unrealized appreciation | ||||||||||||
Unaffiliated issuers |
3,051,726 | 10,405,025 | 5,050,476 | |||||||||
Affiliated issuers1 |
5,020,052 | 15,891,950 | 6,855,121 | |||||||||
Total investments at value |
144,378,788 | 248,899,061 | 85,279,481 | |||||||||
Cash | | | | |||||||||
Foreign currency (cost of $34,679)(Note 2) | | | | |||||||||
Receivables: | ||||||||||||
Investments sold |
| | | |||||||||
Fund shares sold |
213,707 | 174,108 | 70,158 | |||||||||
Dividends |
198,250 | 303,911 | 85,890 | |||||||||
Due from Adviser |
11,917 | 20,411 | 7,018 | |||||||||
Total assets |
144,802,662 | 249,397,491 | 85,442,547 | |||||||||
Liabilities: | ||||||||||||
Payables: | ||||||||||||
Investments purchased |
248,444 | 1,615,317 | 500,317 | |||||||||
Fund shares repurchased |
7,074 | 106,143 | 36,576 | |||||||||
Management fees |
35,754 | 61,232 | 21,053 | |||||||||
Audit and trustees fees |
7,512 | 13,058 | 4,602 | |||||||||
Distribution fees Class II |
6,296 | 5,809 | 425 | |||||||||
Accrued expenses and other payables |
| | | |||||||||
Options written, at value (premium received $13,005) (Note 6) | | | | |||||||||
Total liabilities |
305,080 | 1,801,559 | 562,973 | |||||||||
Net assets applicable to outstanding capital stock | $ | 144,497,582 | $ | 247,595,932 | $ | 84,879,574 | ||||||
Net assets consist of: | ||||||||||||
Paid-in capital in excess of par |
$ | 133,779,259 | $ | 215,516,683 | $ | 70,422,943 | ||||||
Accumulated undistributed net investment income (loss) |
1,353,807 | 2,035,278 | 627,212 | |||||||||
Accumulated net realized gain (loss) on investments sold and foreign currency related transactions |
1,292,738 | 3,746,996 | 1,923,822 | |||||||||
Net unrealized appreciation of investments (including appreciation (depreciation) on foreign currency related transactions) |
8,071,778 | 26,296,975 | 11,905,597 | |||||||||
Net Assets | $ | 144,497,582 | $ | 247,595,932 | $ | 84,879,574 | ||||||
Class I Shares: | ||||||||||||
Net Assets |
$ | 114,130,180 | $ | 219,565,881 | $ | 82,869,422 | ||||||
Shares of beneficial interest outstanding |
11,155,601 | 20,149,761 | 8,201,780 | |||||||||
Net Asset Value and redemption price per share |
$ | 10.23 | $ | 10.90 | $ | 10.10 | ||||||
Class II Shares: | ||||||||||||
Net Assets |
30,367,402 | 28,030,051 | 2,010,152 | |||||||||
Shares of beneficial interest outstanding |
2,972,107 | 2,578,456 | 199,771 | |||||||||
Net Asset Value and redemption price per share |
$ | 10.22 | $ | 10.87 | $ | 10.06 | ||||||
1 | See Note 11 for information on affiliated issuers. |
See accompanying Notes to Financial Statements. |
28 |
Ultra Series Fund | June 30, 2017 |
Statements of Assets and Liabilities as of June 30, 2017 (unaudited) |
Core Bond Fund |
High Income Fund |
Diversified Income Fund |
Large Cap Value Fund |
Large Cap Growth Fund |
Mid Cap Fund |
International Stock Fund |
||||||||||||||||||||
$ | 167,792,797 | $ | 26,570,114 | $ | 225,839,591 | $ | 292,268,162 | $ | 153,355,822 | $ | 130,591,720 | $ | 37,503,694 | |||||||||||||
| | | | | | | ||||||||||||||||||||
5,534,968 | 861,972 | 53,098,210 | 48,915,977 | 99,829,121 | 73,846,492 | 3,429,802 | ||||||||||||||||||||
| | | | | | | ||||||||||||||||||||
173,327,765 | 27,432,086 | 278,937,801 | 341,184,139 | 253,184,943 | 204,438,212 | 40,933,496 | ||||||||||||||||||||
852,639 | | | | 16,528 | 25,788 | | ||||||||||||||||||||
| | | | | | 34,565 | ||||||||||||||||||||
| | 1,125,592 | 11,666,655 | | | 474 | ||||||||||||||||||||
41,368 | 4,959 | 22,319 | 58,639 | 2,914 | 8,384 | 1,655 | ||||||||||||||||||||
1,281,357 | 345,981 | 997,788 | 519,641 | 140,681 | 170,086 | 234,297 | ||||||||||||||||||||
| | | | | | | ||||||||||||||||||||
175,503,129 | 27,783,026 | 281,083,500 | 353,429,074 | 253,345,066 | 204,642,470 | 41,204,487 | ||||||||||||||||||||
| 121,736 | 827,918 | 15,463,326 | | | 192,241 | ||||||||||||||||||||
3,059 | 10,134 | 102,045 | 51,850 | 59,361 | 57,602 | 2,646 | ||||||||||||||||||||
79,865 | 17,186 | 161,680 | 166,991 | 167,156 | 151,100 | 39,283 | ||||||||||||||||||||
9,125 | 1,375 | 14,331 | 17,772 | 12,823 | 10,806 | 2,018 | ||||||||||||||||||||
7,937 | 1,206 | 8,564 | 1,135 | 4,989 | 2,192 | 2,828 | ||||||||||||||||||||
17,087 | | | | | | | ||||||||||||||||||||
26,875 | | | | | | | ||||||||||||||||||||
143,948 | 151,637 | 1,114,538 | 15,701,074 | 244,329 | 221,700 | 239,016 | ||||||||||||||||||||
$ | 175,359,181 | $ | 27,631,389 | $ | 279,968,962 | $ | 337,728,000 | $ | 253,100,737 | $ | 204,420,770 | $ | 40,965,471 | |||||||||||||
$ | 170,402,066 | $ | 32,439,037 | $ | 218,090,433 | $ | 272,602,034 | $ | 142,086,511 | $ | 121,976,633 | $ | 46,446,310 | |||||||||||||
2,255,814 | 643,846 | 3,032,808 | 2,255,265 | 996,876 | (120,739 | ) | 399,714 | |||||||||||||||||||
(2,819,797 | ) | (6,313,466 | ) | 5,747,511 | 13,954,724 | 10,188,229 | 8,718,384 | (9,297,281 | ) | |||||||||||||||||
5,521,098 | 861,972 | 53,098,210 | 48,915,977 | 99,829,121 | 73,846,492 | 3,416,728 | ||||||||||||||||||||
$ | 175,359,181 | $ | 27,631,389 | $ | 279,968,962 | $ | 337,728,000 | $ | 253,100,737 | $ | 204,420,770 | $ | 40,965,471 | |||||||||||||
$ | 137,150,795 | $ | 21,775,414 | $ | 238,478,777 | $ | 332,248,576 | $ | 229,020,175 | $ | 193,859,242 | $ | 27,409,659 | |||||||||||||
13,789,209 | 2,441,471 | 12,345,488 | 12,004,304 | 8,370,585 | 10,169,121 | 2,530,648 | ||||||||||||||||||||
$ | 9.95 | $ | 8.92 | $ | 19.32 | $ | 27.68 | $ | 27.36 | $ | 19.06 | $ | 10.83 | |||||||||||||
38,208,386 | 5,855,975 | 41,490,185 | 5,479,424 | $ | 24,080,562 | $ | 10,561,528 | $ | 13,555,812 | |||||||||||||||||
3,853,454 | 656,028 | 2,161,555 | 200,013 | 889,603 | 563,395 | 1,257,616 | ||||||||||||||||||||
$ | 9.92 | $ | 8.93 | $ | 19.19 | $ | 27.40 | $ | 27.07 | $ | 18.75 | $ | 10.78 | |||||||||||||
See accompanying Notes to Financial Statements. |
29 |
Ultra Series Fund | June 30, 2017 |
Statements of Operations for the Period Ended June 30, 2017 (unaudited) |
Conservative Allocation Fund |
,Moderate Allocation Fund |
Aggressive Allocation Fund |
||||||||||
Investment Income: | ||||||||||||
Interest |
$ | 8,606 | $ | 15,456 | $ | 7,111 | ||||||
Dividends |
||||||||||||
Unaffiliated issuers |
827,810 | 1,433,457 | 500,469 | |||||||||
Affiliated issuers1 |
714,813 | 897,856 | 219,112 | |||||||||
Less: Foreign taxes withheld/reclaimed |
| | | |||||||||
Total investment income |
1,551,229 | 2,346,769 | 726,692 | |||||||||
Expenses:2 | ||||||||||||
Management fees |
219,434 | 379,244 | 132,824 | |||||||||
Audit and trustee fees |
13,809 | 23,950 | 8,368 | |||||||||
Distribution fees Class II |
37,324 | 34,712 | 2,563 | |||||||||
Total expenses before reimbursement/waiver |
270,567 | 437,906 | 143,755 | |||||||||
Less reimbursement/waiver2 |
(73,145 | ) | (126,415 | ) | (44,275 | ) | ||||||
Total expenses net of waiver |
197,422 | 311,491 | 99,480 | |||||||||
Net Investment Income (Loss) | 1,353,807 | 2,035,278 | 627,212 | |||||||||
Net Realized and Unrealized Gain (Loss) on Investments | ||||||||||||
Net realized gain (loss) on investments (including net realized gain (loss) on foreign currency related transactions) |
||||||||||||
Options |
| | | |||||||||
Unaffiliated issuers |
1,506,064 | 4,857,926 | 2,312,309 | |||||||||
Affiliated issuers1 |
387,183 | 378,173 | 183,992 | |||||||||
Net change in unrealized appreciation (depreciation )on investments (including net unrealized appreciation (depreciation) on foreign currency related transactions) |
||||||||||||
Options |
| | | |||||||||
Unaffiliated issuers |
(69,423,706 | ) | 4,985,407 | 2,223,776 | ||||||||
Affiliated issuers1 |
73,622,223 | 5,531,131 | 2,213,592 | |||||||||
Net Realized and Unrealized Gain on Investments | 6,091,764 | 15,752,637 | 6,933,669 | |||||||||
Net Increase in Net Assets from Operations | $ | 7,445,571 | $ | 17,787,915 | $ | 7,560,881 | ||||||
1 | See Note 11 for information on affiliated issuers. |
2 | See Note 3 for information on expenses. |
See accompanying Notes to Financial Statements. |
30 |
Ultra Series Fund | June 30, 2017 |
Statements of Operations for the Period Ended June 30, 2017 (unaudited) |
Core
Bond Fund |
High
Income Fund |
Diversified
Income Fund |
Large
Cap Value Fund |
Large
Cap Growth Fund |
Mid
Cap Fund |
International
Stock Fund |
||||||||||||||||||||
$ | 2,809,948 | $ | 743,747 | $ | 1,794,440 | $ | 20,150 | $ | 19,425 | $ | 43,266 | $ | 4,620 | |||||||||||||
| 11,657 | 2,324,774 | 3,308,561 | 2,046,699 | 820,774 | 729,103 | ||||||||||||||||||||
| | | | | | | ||||||||||||||||||||
| | (26,509 | ) | | (5,833 | ) | (9,486 | ) | (81,902 | ) | ||||||||||||||||
2,809,948 | 755,404 | 4,092,705 | 3,328,711 | 2,060,291 | 854,554 | 651,821 | ||||||||||||||||||||
489,981 | 102,225 | 982,797 | 1,034,559 | 1,009,930 | 941,878 | 231,985 | ||||||||||||||||||||
16,724 | 2,509 | 26,196 | 32,575 | 23,168 | 19,744 | 3,650 | ||||||||||||||||||||
47,428 | 6,824 | 50,904 | 6,312 | 30,317 | 13,671 | 16,515 | ||||||||||||||||||||
554,133 | 111,558 | 1,059,897 | 1,073,446 | 1,063,415 | 975,293 | 252,150 | ||||||||||||||||||||
| | | | | | | ||||||||||||||||||||
554,133 | 111,558 | 1,059,897 | 1,073,446 | 1,063,415 | 975,293 | 252,150 | ||||||||||||||||||||
2,255,815 | 643,846 | 3,032,808 | 2,255,265 | 996,876 | (120,739 | ) | 399,671 | |||||||||||||||||||
(1,033 | ) | | | | | | | |||||||||||||||||||
(114,771 | ) | 154,084 | 6,509,883 | 13,896,832 | 10,577,567 | 8,996,490 | (201,937 | ) | ||||||||||||||||||
| | | | | | | ||||||||||||||||||||
(13,870 | ) | | | | | | | |||||||||||||||||||
1,479,507 | 352,071 | 4,612,204 | (398,038 | ) | 14,855,035 | 2,343,771 | 4,333,806 | |||||||||||||||||||
| | | | | | | ||||||||||||||||||||
1,349,833 | 506,155 | 11,122,087 | 13,498,794 | 25,432,602 | 11,340,261 | 4,131,869 | ||||||||||||||||||||
$ | 3,605,648 | $ | 1,150,001 | $ | 14,154,895 | $ | 15,754,059 | $ | 26,429,478 | $ | 11,219,522 | $ | 4,531,540 | |||||||||||||
See accompanying Notes to Financial Statements. |
31 |
Ultra Series Fund | June 30, 2017 |
Statements of Changes in Net Assets |
Conservative Allocation Fund | Moderate Allocation Fund | |||||||||||||||
(unaudited) Six-Months Ended 6/30/17 |
Year Ended 12/31/16 |
(unaudited) Six-Months Ended 6/30/17 |
Year Ended 12/31/16 |
|||||||||||||
Net Assets at beginning of period | $ | 152,466,453 | $ | 158,711,931 | $ | 263,051,727 | $ | 276,569,223 | ||||||||
Increase (decrease) in net assets from operations: | ||||||||||||||||
Net investment income |
1,353,807 | 2,613,189 | 2,035,278 | 3,912,883 | ||||||||||||
Net realized gain (loss) |
1,893,247 | 2,897,381 | 5,236,099 | 8,470,937 | ||||||||||||
Net change in unrealized appreciation (depreciation) |
4,198,517 | 2,917,316 | 10,516,538 | 6,640,494 | ||||||||||||
Net increase in net assets from operations |
7,445,571 | 8,427,886 | 17,787,915 | 19,024,314 | ||||||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income |
||||||||||||||||
Class I |
(58,163 | ) | (2,388,145 | ) | (99,180 | ) | (4,504,299 | ) | ||||||||
Class II |
| (523,620 | ) | | (452,980 | ) | ||||||||||
Net realized gains |
||||||||||||||||
Class I |
(67,863 | ) | (1,850,936 | ) | (192,551 | ) | (5,953,436 | ) | ||||||||
Class II |
(18,092 | ) | (480,832 | ) | (24,939 | ) | (708,013 | ) | ||||||||
Total distributions |
(144,118 | ) | (5,243,533 | ) | (316,670 | ) | (11,618,728 | ) | ||||||||
Capital Stock transactions: | ||||||||||||||||
Class I Shares |
||||||||||||||||
Shares sold |
8,863,127 | 19,759,339 | 17,311,812 | 17,890,365 | ||||||||||||
Issued to shareholders in reinvestment of distributions |
126,026 | 4,239,082 | 291,731 | 10,457,735 | ||||||||||||
Shares redeemed |
(22,037,225 | ) | (30,111,987 | ) | (48,794,178 | ) | (45,491,293 | ) | ||||||||
Net decrease in net assets from capital stock transactions |
(13,048,072 | ) | (6,113,566 | ) | (31,190,635 | ) | (17,143,193 | ) | ||||||||
Class II Shares |
||||||||||||||||
Shares sold |
1,848,183 | 3,991,826 | 1,301,194 | 1,829,876 | ||||||||||||
Issued to shareholders in reinvestment of distributions |
18,092 | 1,004,452 | 24,939 | 1,160,992 | ||||||||||||
Shares redeemed |
(4,088,527 | ) | (8,312,543 | ) | (3,062,538 | ) | (6,770,757 | ) | ||||||||
Net increase (decrease) in net assets from capital stock transactions |
(2,222,252 | ) | (3,316,265 | ) | (1,736,405 | ) | (3,779,889 | ) | ||||||||
Total decrease from capital stock transactions | (15,270,324 | ) | (9,429,831 | ) | (32,927,040 | ) | (20,923,082 | ) | ||||||||
Total increase (decrease) in net assets | (7,968,871 | ) | (6,245,478 | ) | (15,455,795 | ) | (13,517,496 | ) | ||||||||
Net Assets at end of period | $ | 144,497,582 | $ | 152,466,453 | $ | 247,595,932 | $ | 263,051,727 | ||||||||
Undistributed net investment income included in net assets |
$ | 1,353,807 | $ | 58,163 | $ | 2,035,278 | $ | 99,180 | ||||||||
Capital Share transactions: | ||||||||||||||||
Class I Shares |
||||||||||||||||
Shares sold |
887,027 | 2,010,412 | 1,649,333 | 1,757,311 | ||||||||||||
Issued to shareholders in reinvestment of distributions |
12,297 | 435,118 | 26,776 | 1,027,532 | ||||||||||||
Shares redeemed |
(2,207,391 | ) | (3,051,187 | ) | (4,637,611 | ) | (4,461,513 | ) | ||||||||
Net decrease from capital shares transactions |
(1,308,067 | ) | (605,657 | ) | (2,961,502 | ) | (1,676,670 | ) | ||||||||
Class II Shares |
||||||||||||||||
Shares sold |
183,741 | 402,139 | 123,022 | 180,318 | ||||||||||||
Issued to shareholders in reinvestment of distributions |
1,768 | 103,182 | 2,294 | 114,261 | ||||||||||||
Shares redeemed |
(411,047 | ) | (835,176 | ) | (289,933 | ) | (659,694 | ) | ||||||||
Net increase (decrease) from capital shares transactions |
(225,538 | ) | (329,855 | ) | (164,617 | ) | (365,115 | ) | ||||||||
See accompanying Notes to Financial Statements. |
32 |
Ultra Series Fund | June 30, 2017 |
Statements of Changes in Net Assets |
Aggressive Allocation Fund | Core Bond Fund | High Income Fund | Diversified Income Fund | |||||||||||||||||||||||||||
(unaudited) Six-Months Ended 6/30/17 |
Year Ended 12/31/16 |
(unaudited) Six-Months Ended 6/30/17 |
Year
Ended 12/31/16 |
(unaudited) Six-Months Ended 6/30/17 |
Year Ended 12/31/16 |
(unaudited) Six-Months Ended 6/30/17 |
Year Ended 12/31/16 |
|||||||||||||||||||||||
$ | 90,949,828 | $ | 91,926,453 | $ | 184,945,243 | $ | 218,078,096 | $ | 27,407,016 | $ | 29,917,586 | $ | 286,037,793 | $ | 306,895,571 | |||||||||||||||
627,212 | 1,203,221 | 2,255,815 | 5,025,878 | 643,846 | 1,384,743 | 3,032,808 | 6,556,029 | |||||||||||||||||||||||
2,496,301 | 2,348,675 | (115,804 | ) | 4,163,122 | 154,084 | (11,004 | ) | 6,509,883 | 20,236,756 | |||||||||||||||||||||
4,437,368 | 4,084,782 | 1,465,637 | (3,289,334 | ) | 352,071 | 1,869,070 | 4,612,204 | (1,371,240 | ) | |||||||||||||||||||||
7,560,881 | 7,636,678 | 3,605,648 | 5,899,666 | 1,150,001 | 3,242,809 | 14,154,895 | 25,421,545 | |||||||||||||||||||||||
(32,397 | ) | (1,586,515 | ) | (124,270 | ) | (4,453,508 | ) | (28,507 | ) | (1,126,799 | ) | | (5,934,220 | ) | ||||||||||||||||
| (30,723 | ) | | (1,081,808 | ) | (919 | ) | (258,378 | ) | | (908,715 | ) | ||||||||||||||||||
(75,366 | ) | (1,501,291 | ) | | | | | (381,072 | ) | (17,344,094 | ) | |||||||||||||||||||
(1,873 | ) | (33,795 | ) | | | | | (66,912 | ) | (2,881,475 | ) | |||||||||||||||||||
(109,636 | ) | (3,152,324 | ) | (124,270 | ) | (5,535,316 | ) | (29,426 | ) | (1,385,177 | ) | (447,984 | ) | (27,068,504 | ) | |||||||||||||||
10,049,103 | 11,721,462 | 5,276,706 | 10,793,608 | 430,510 | 429,079 | 7,964,172 | 11,019,757 | |||||||||||||||||||||||
107,763 | 3,087,806 | 124,270 | 4,453,508 | 28,507 | 1,126,799 | 381,071 | 23,278,313 | |||||||||||||||||||||||
(23,487,333 | ) | (20,539,902 | ) | (17,778,913 | ) | (42,725,712 | ) | (1,672,874 | ) | (4,925,428 | ) | (27,097,409 | ) | (54,514,970 | ) | |||||||||||||||
(13,330,467 | ) | (5,730,634 | ) | (12,377,937 | ) | (27,478,596 | ) | (1,213,857 | ) | (3,369,550 | ) | (18,752,166 | ) | (20,216,900 | ) | |||||||||||||||
8,101 | 297,021 | 2,109,722 | 882,591 | 744,695 | 75,212 | 2,649,630 | 5,616,780 | |||||||||||||||||||||||
1,873 | 64,517 | | 1,081,808 | 919 | 258,378 | 66,912 | 3,790,190 | |||||||||||||||||||||||
(201,006 | ) | (91,883 | ) | (2,799,225 | ) | (7,983,006 | ) | (427,959 | ) | (1,332,242 | ) | (3,740,118 | ) | (8,400,889 | ) | |||||||||||||||
(191,032 | ) | 269,655 | (689,503 | ) | (6,018,607 | ) | 317,655 | (998,652 | ) | (1,023,576 | ) | 1,006,081 | ||||||||||||||||||
(13,521,499 | ) | (5,460,979 | ) | (13,067,440 | ) | (33,497,203 | ) | (896,202 | ) | (4,368,202 | ) | (19,775,742 | ) | (19,210,819 | ) | |||||||||||||||
(6,070,254 | ) | (976,625 | ) | (9,586,062 | ) | (33,132,853 | ) | 224,373 | (2,510,570 | ) | (6,068,831 | ) | (20,857,778 | ) | ||||||||||||||||
$ | 84,879,574 | $ | 90,949,828 | $ | 175,359,181 | $ | 184,945,243 | $ | 27,631,389 | $ | 27,407,016 | $ | 279,968,962 | $ | 286,037,793 | |||||||||||||||
$ | 627,212 | $ | 32,397 | $ | 2,255,814 | $ | 124,269 | $ | 643,846 | $ | 29,426 | $ | 3,032,808 | $ | | |||||||||||||||
1,051,016 | 1,290,372 | 535,414 | 1,066,963 | 49,159 | 50,044 | 424,414 | 567,693 | |||||||||||||||||||||||
10,686 | 332,834 | 12,449 | 458,874 | 3,199 | 131,928 | 19,623 | 1,260,652 | |||||||||||||||||||||||
(2,424,058 | ) | (2,260,176 | ) | (1,806,815 | ) | (4,227,861 | ) | (190,863 | ) | (581,998 | ) | (1,439,284 | ) | (2,811,124 | ) | |||||||||||||||
(1,362,356 | ) | (636,970 | ) | (1,258,952 | ) | (2,702,024 | ) | (138,505 | ) | (400,026 | ) | (995,247 | ) | (982,779 | ) | |||||||||||||||
836 | 31,638 | 214,377 | 87,675 | 84,748 | 8,962 | 141,504 | 293,949 | |||||||||||||||||||||||
186 | 6,975 | | 111,930 | 103 | 30,216 | 3,467 | 206,386 | |||||||||||||||||||||||
(20,578 | ) | (9,983 | ) | (284,476 | ) | (792,397 | ) | (48,782 | ) | (157,240 | ) | (198,231 | ) | (434,410 | ) | |||||||||||||||
(19,556 | ) | 28,630 | (70,099 | ) | (592,792 | ) | 36,069 | (118,062 | ) | (53,260 | ) | 65,925 | ||||||||||||||||||
See accompanying Notes to Financial Statements. |
33 |
Ultra Series Fund | June 30, 2017 |
Statements of Changes in Net Assets |
Large Cap Value Fund | Large Cap Growth Fund | |||||||||||||||
(unaudited) Six-Months Ended 6/30/17 |
Year Ended 12/31/16 |
(unaudited) Six-Months Ended 6/30/17 |
Year Ended 12/31/16 |
|||||||||||||
Net Assets at beginning of period | $ | 352,701,915 | $ | 370,893,722 | $ | 247,224,084 | $ | 279,273,794 | ||||||||
Increase (decrease) in net assets from operations: | ||||||||||||||||
Net investment income (loss) |
2,255,265 | 5,280,820 | 996,876 | 2,012,255 | ||||||||||||
Net realized gain (loss) |
13,896,832 | 40,921,164 | 10,577,567 | 12,229,493 | ||||||||||||
Net change in unrealized appreciation (depreciation) |
(398,038 | ) | (3,697,009 | ) | 14,855,035 | 9,549 | ||||||||||
Net increase (decrease) in net assets from operations |
15,754,059 | 42,504,975 | 26,429,478 | 14,251,297 | ||||||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income |
||||||||||||||||
Class I |
(124,969 | ) | (5,080,540 | ) | (33,772 | ) | (1,878,529 | ) | ||||||||
Class II |
| (62,071 | ) | | (162,347 | ) | ||||||||||
Net realized gains |
||||||||||||||||
Class I |
(1,173,544 | ) | (41,626,496 | ) | (1,707,750 | ) | (13,050,600 | ) | ||||||||
Class II |
(19,523 | ) | (570,234 | ) | (182,582 | ) | (1,406,329 | ) | ||||||||
Total distributions |
(1,318,036 | ) | (47,339,341 | ) | (1,924,104 | ) | (16,497,805 | ) | ||||||||
Capital Stock transactions: | ||||||||||||||||
Class I Shares |
||||||||||||||||
Shares sold |
8,799,156 | 12,137,375 | 6,719,688 | 11,322,134 | ||||||||||||
Issued to shareholders in reinvestment of distributions |
1,298,513 | 46,707,036 | 1,741,522 | 14,929,129 | ||||||||||||
Shares redeemed |
(40,074,948 | ) | (71,501,833 | ) | (25,060,743 | ) | (52,331,252 | ) | ||||||||
Net decrease in net assets from capital stock transactions |
(29,977,279 | ) | (12,657,422 | ) | (16,599,533 | ) | (26,079,989 | ) | ||||||||
Class II Shares |
||||||||||||||||
Shares sold |
1,204,785 | 395,080 | 265,812 | 285,853 | ||||||||||||
Issued to shareholders in reinvestment of distributions |
19,523 | 632,305 | 182,582 | 1,568,676 | ||||||||||||
Shares redeemed |
(656,967 | ) | (1,727,404 | ) | (2,477,582 | ) | (5,577,742 | ) | ||||||||
Net increase (decrease) in net assets from capital stock transactions |
567,341 | (700,019 | ) | (2,029,188 | ) | (3,723,213 | ) | |||||||||
Total decrease from capital stock transactions | (29,409,938 | ) | (13,357,441 | ) | (18,628,721 | ) | (29,803,202 | ) | ||||||||
Total increase (decrease) in net assets | (14,973,915 | ) | (18,191,807 | ) | 5,876,653 | (32,049,710 | ) | |||||||||
Net Assets at end of period | $ | 337,728,000 | $ | 352,701,915 | $ | 253,100,737 | $ | 247,224,084 | ||||||||
Undistributed net investment income (loss) included in net assets |
$ | 2,255,265 | $ | 124,969 | $ | 996,876 | $ | 33,772 | ||||||||
Capital Share transactions: |
||||||||||||||||
Class I Shares |
||||||||||||||||
Shares sold |
325,347 | 432,829 | 260,804 | 445,528 | ||||||||||||
Issued to shareholders in reinvestment of distributions |
47,075 | 1,731,636 | 64,087 | 597,910 | ||||||||||||
Shares redeemed |
(1,468,449 | ) | (2,567,010 | ) | (949,706 | ) | (2,061,576 | ) | ||||||||
Net decrease from capital shares transactions |
(1,096,027 | ) | (402,545 | ) | (624,815 | ) | (1,018,138 | ) | ||||||||
Class II Shares |
||||||||||||||||
Shares sold |
44,577 | 13,732 | 10,014 | 11,205 | ||||||||||||
Issued to shareholders in reinvestment of distributions |
715 | 23,662 | 6,790 | 63,421 | ||||||||||||
Shares redeemed |
(24,200 | ) | (63,535 | ) | (93,423 | ) | (222,064 | ) | ||||||||
Net increase (decrease) from capital shares transactions |
21,092 | (26,141 | ) | (76,619 | ) | (147,438 | ) | |||||||||
See accompanying Notes to Financial Statements. |
34 |
Ultra Series Fund | June 30, 2017 |
Statements of Changes in Net Assets |
Mid Cap Fund | International Stock Fund | ||||||||||||||
(unaudited) Six-Months Ended 6/30/17 |
Year Ended 12/31/16 |
(unaudited) Six-Months Ended 6/30/17 |
Year Ended 12/31/16 |
||||||||||||
$ | 214,217,873 | $ | 233,688,172 | $ | 39,604,139 | $ | 47,200,403 | ||||||||
(120,739 | ) | 61,054 | 399,671 | 737,458 | |||||||||||
8,996,490 | 15,300,014 | (201,937 | ) | (6,335,993 | ) | ||||||||||
2,343,771 | 10,146,964 | 4,333,806 | 4,137,319 | ||||||||||||
11,219,522 | 25,508,032 | 4,531,540 | (1,461,216 | ) | |||||||||||
| (42,012 | ) | (10,409 | ) | (483,029 | ) | |||||||||
| | | (214,129 | ) | |||||||||||
(287,517 | ) | (18,807,488 | ) | | | ||||||||||
(16,097 | ) | (1,063,286 | ) | | | ||||||||||
(303,614 | ) | (19,912,786 | ) | (10,409 | ) | (697,158 | ) | ||||||||
7,494,014 | 8,998,407 | 415,071 | 1,221,810 | ||||||||||||
287,517 | 18,849,500 | 10,409 | 483,029 | ||||||||||||
(27,356,720 | ) | (51,064,902 | ) | (2,868,974 | ) | (5,973,627 | ) | ||||||||
(19,575,189 | ) | (23,216,995 | ) | (2,443,494 | ) | (4,268,788 | ) | ||||||||
256,821 | 175,753 | 396,914 | 798,715 | ||||||||||||
16,097 | 1,063,286 | | 214,129 | ||||||||||||
(1,410,740 | ) | (3,087,589 | ) | (1,113,219 | ) | (2,181,946 | ) | ||||||||
(1,137,822 | ) | (1,848,550 | ) | (716,305 | ) | (1,169,102 | ) | ||||||||
(20,713,011 | ) | (25,065,545 | ) | (3,159,799 | ) | (5,437,890 | ) | ||||||||
(9,797,103 | ) | (19,470,299 | ) | 1,361,332 | (7,596,264 | ) | |||||||||
$ | 204,420,770 | $ | 214,217,873 | $ | 40,965,471 | $ | 39,604,139 | ||||||||
$ | (120,739 | ) | $ | | $ | 399,714 | $ | 10,452 | |||||||
405,945 | 494,649 | 40,915 | 125,031 | ||||||||||||
15,081 | 1,040,777 | 963 | 50,032 | ||||||||||||
(1,468,180 | ) | (2,840,633 | ) | (277,948 | ) | (611,788 | ) | ||||||||
(1,047,154 | ) | (1,305,207 | ) | (236,070 | ) | (436,725 | ) | ||||||||
13,907 | 9,520 | 38,451 | 81,288 | ||||||||||||
859 | 59,602 | | 22,266 | ||||||||||||
(76,377 | ) | (172,868 | ) | (106,618 | ) | (222,167 | ) | ||||||||
(61,611 | ) | (103,746 | ) | (68,167 | ) | (118,613 | ) | ||||||||
See accompanying Notes to Financial Statements. |
35 |
Ultra Series Fund | June 30, 2017 |
Financial Highlights for a Share of Beneficial Interest Outstanding |
CONSERVATIVE ALLOCATION FUND |
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS I |
Six-Months Ended 6/30/17 |
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 9.74 | $ | 9.56 | $ | 10.22 | $ | 10.70 | $ | 10.45 | $ | 9.96 | ||||||||||||
Income from Investment Operations: |
||||||||||||||||||||||||
Net investment income1 |
0.09 | 0.17 | 0.16 | 0.19 | 0.25 | 0.29 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments |
0.42 | 0.36 | (0.24 | ) | 0.46 | 0.55 | 0.60 | |||||||||||||||||
Total from investment operations |
0.51 | 0.53 | (0.08 | ) | 0.65 | 0.80 | 0.89 | |||||||||||||||||
Less Distributions From: |
||||||||||||||||||||||||
Net investment income |
(0.01 | ) | (0.20 | ) | (0.20 | ) | (0.25 | ) | (0.27 | ) | (0.40 | ) | ||||||||||||
Capital gains |
(0.01 | ) | (0.15 | ) | (0.38 | ) | (0.88 | ) | (0.28 | ) | | |||||||||||||
Total distributions |
(0.02 | ) | (0.35 | ) | (0.58 | ) | (1.13 | ) | (0.55 | ) | (0.40 | ) | ||||||||||||
Net increase (decrease) in net asset value | 0.49 | 0.18 | (0.66 | ) | (0.48 | ) | 0.25 | 0.49 | ||||||||||||||||
Net Asset Value at end of period | $ | 10.23 | $ | 9.74 | $ | 9.56 | $ | 10.22 | $ | 10.70 | $ | 10.45 | ||||||||||||
Total Return (%)2 | 5.19 | 3 | 5.48 | (0.76 | ) | 6.03 | 7.61 | 8.98 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000s) | $ | 114,131 | $ | 121,351 | $ | 125,007 | $ | 156,054 | $ | 181,427 | $ | 195,526 | ||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||
Before waiver of expenses by Adviser (%) |
0.32 | 4 | 0.32 | 0.32 | 0.31 | 0.31 | 0.31 | |||||||||||||||||
After waiver of expenses by Adviser (%) |
0.22 | 4 | 0.22 | 0.22 | 0.27 | 0.31 | 0.31 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 1.90 | 4 | 1.71 | 1.53 | 1.71 | 2.27 | 2.79 | |||||||||||||||||
Portfolio turnover (%)5 | 25 | 3 | 83 | 54 | 73 | 70 | 44 | |||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS II |
Six-Months Ended 6/30/17 |
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 9.73 | $ | 9.55 | $ | 10.20 | $ | 10.68 | $ | 10.43 | $ | 9.95 | ||||||||||||
Income from Investment Operations: |
||||||||||||||||||||||||
Net investment income1 |
0.08 | 0.14 | 0.15 | 0.18 | 0.22 | 0.26 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments |
0.42 | 0.36 | (0.25 | ) | 0.43 | 0.55 | 0.61 | |||||||||||||||||
Total from investment operations |
0.50 | 0.50 | (0.10 | ) | 0.61 | 0.77 | 0.87 | |||||||||||||||||
Less Distributions From: |
||||||||||||||||||||||||
Net investment income |
| (0.17 | ) | (0.17 | ) | (0.21 | ) | (0.24 | ) | (0.39 | ) | |||||||||||||
Capital gains |
(0.01 | ) | (0.15 | ) | (0.38 | ) | (0.88 | ) | (0.28 | ) | | |||||||||||||
Total distributions |
(0.01 | ) | (0.32 | ) | (0.55 | ) | (1.09 | ) | (0.52 | ) | (0.39 | ) | ||||||||||||
Net increase (decrease) in net asset value | 0.49 | 0.18 | (0.65 | ) | (0.48 | ) | 0.25 | 0.48 | ||||||||||||||||
Net Asset Value at end of period | $ | 10.22 | $ | 9.73 | $ | 9.55 | $ | 10.20 | $ | 10.68 | $ | 10.43 | ||||||||||||
Total Return (%)2 | 5.06 | 3 | 5.21 | (1.01 | ) | 5.77 | 7.34 | 8.71 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000s) | $ | 30,367 | $ | 31,116 | $ | 33,705 | $ | 37,837 | $ | 40,069 | $ | 42,691 | ||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||
Before waiver of expenses by Adviser (%) |
0.57 | 4 | 0.57 | 0.57 | 0.56 | 0.56 | 0.56 | |||||||||||||||||
After waiver of expenses by Adviser (%) |
0.47 | 4 | 0.47 | 0.47 | 0.51 | 0.56 | 0.56 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 1.66 | 4 | 1.42 | 1.46 | 1.65 | 2.04 | 2.49 | |||||||||||||||||
Portfolio turnover (%)5 | 25 | 3 | 83 | 54 | 73 | 70 | 44 |
1 | Based on average shares outstanding during the year. | |
2 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. | |
3 | Not annualized. | |
4 | Annualized. | |
5 | Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements. |
36 |
Ultra Series Fund | June 30, 2017 |
Financial Highlights for a Share of Beneficial Interest Outstanding |
MODERATE ALLOCATION FUND |
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS I |
Six-Months Ended 6/30/17 |
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 10.18 | $ | 9.92 | $ | 10.92 | $ | 11.48 | $ | 10.11 | $ | 9.42 | ||||||||||||
Income from Investment Operations: |
||||||||||||||||||||||||
Net investment income1 |
0.09 | 0.15 | 0.14 | 0.16 | 0.19 | 0.23 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments |
0.64 | 0.58 | (0.24 | ) | 0.62 | 1.39 | 0.77 | |||||||||||||||||
Total from investment operations |
0.73 | 0.73 | (0.10 | ) | 0.78 | 1.58 | 1.00 | |||||||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income |
(0.00 | )2 | (0.20 | ) | (0.19 | ) | (0.25 | ) | (0.21 | ) | (0.31 | ) | ||||||||||||
Capital gains |
(0.01 | ) | (0.27 | ) | (0.71 | ) | (1.09 | ) | | | ||||||||||||||
Total distributions |
(0.01 | ) | (0.47 | ) | (0.90 | ) | (1.34 | ) | (0.21 | ) | (0.31 | ) | ||||||||||||
Net increase (decrease) in net asset value | 0.72 | 0.26 | (1.00 | ) | (0.56 | ) | 1.37 | 0.69 | ||||||||||||||||
Net Asset Value at end of period | $ | 10.90 | $ | 10.18 | $ | 9.92 | $ | 10.92 | $ | 11.48 | $ | 10.11 | ||||||||||||
Total Return (%)3 | 7.22 | 4 | 7.39 | (0.93 | ) | 6.85 | 15.66 | 10.54 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000s) | $ | 219,566 | $ | 235,182 | $ | 245,807 | $ | 315,568 | $ | 370,954 | $ | 358,486 | ||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||
Before waiver of expenses by Adviser (%) |
0.32 | 5 | 0.32 | 0.32 | 0.31 | 0.31 | 0.31 | |||||||||||||||||
After waiver of expenses by Adviser (%) |
0.22 | 5 | 0.22 | 0.22 | 0.27 | 0.31 | 0.31 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 1.64 | 5 | 1.49 | 1.30 | 1.37 | 1.75 | 2.32 | |||||||||||||||||
Portfolio turnover (%)6 | 21 | 4 | 91 | 52 | 73 | 66 | 49 | |||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS II |
Six-Months Ended 6/30/17 |
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 10.16 | $ | 9.90 | $ | 10.89 | $ | 11.45 | $ | 10.08 | $ | 9.41 | ||||||||||||
Income from Investment Operations: |
||||||||||||||||||||||||
Net investment income1 |
0.07 | 0.12 | 0.15 | 0.18 | 0.16 | 0.20 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments |
0.65 | 0.58 | (0.27 | ) | 0.57 | 1.39 | 0.77 | |||||||||||||||||
Total from investment operations |
0.72 | 0.70 | (0.12 | ) | 0.75 | 1.55 | 0.97 | |||||||||||||||||
Less Distributions From: |
||||||||||||||||||||||||
Net investment income |
| (0.17 | ) | (0.16 | ) | (0.22 | ) | (0.18 | ) | (0.30 | ) | |||||||||||||
Capital gains |
(0.01 | ) | (0.27 | ) | (0.71 | ) | (1.09 | ) | | | ||||||||||||||
Total distributions |
(0.01 | ) | (0.44 | ) | (0.87 | ) | (1.31 | ) | (0.18 | ) | (0.30 | ) | ||||||||||||
Net increase (decrease) in net asset value | 0.71 | 0.26 | (0.99 | ) | (0.56 | ) | 1.37 | 0.67 | ||||||||||||||||
Net Asset Value at end of period | $ | 10.87 | $ | 10.16 | $ | 9.90 | $ | 10.89 | $ | 11.45 | $ | 10.08 | ||||||||||||
Total Return (%)3 | 7.09 | 4 | 7.12 | (1.18 | ) | 6.58 | 15.37 | 10.26 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000s) | $ | 28,030 | $ | 27,870 | $ | 30,763 | $ | 34,134 | $ | 34,965 | $ | 34,573 | ||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||
Before waiver of expenses by Adviser (%) |
0.57 | 5 | 0.57 | 0.57 | 0.56 | 0.56 | 0.56 | |||||||||||||||||
After waiver of expenses by Adviser (%) |
0.47 | 5 | 0.47 | 0.47 | 0.51 | 0.56 | 0.56 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 1.40 | 5 | 1.18 | 1.36 | 1.49 | 1.49 | 2.01 | |||||||||||||||||
Portfolio turnover (%)6 | 21 | 4 | 91 | 52 | 73 | 66 | 49 |
1 | Based on average shares outstanding during the year. | |
2 | Amounts represent less than $0.005 per share. | |
3 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. | |
4 | Not annualized. | |
5 | Annualized. | |
6 | Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements. |
37 |
Ultra Series Fund | June 30, 2017 |
Financial Highlights for a Share of Beneficial Interest Outstanding |
AGGRESSIVE ALLOCATION FUND |
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS I |
Six-Months Ended 6/30/17 |
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 9.30 | $ | 8.85 | $ | 10.25 | $ | 11.66 | $ | 9.75 | $ | 8.96 | ||||||||||||
Income from Investment Operations: |
||||||||||||||||||||||||
Net investment income1 |
0.07 | 0.12 | 0.11 | 0.14 | 0.12 | 0.17 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments |
0.74 | 0.66 | (0.22 | ) | 0.72 | 2.07 | 0.84 | |||||||||||||||||
Total from investment operations |
0.81 | 0.78 | (0.11 | ) | 0.86 | 2.19 | 1.01 | |||||||||||||||||
Less Distributions From: |
||||||||||||||||||||||||
Net investment income |
| (0.17 | ) | (0.16 | ) | (0.24 | ) | (0.13 | ) | (0.22 | ) | |||||||||||||
Capital gains |
(0.01 | ) | (0.16 | ) | (1.13 | ) | (2.03 | ) | (0.15 | ) | | |||||||||||||
Total distributions |
(0.01 | ) | (0.33 | ) | (1.29 | ) | (2.27 | ) | (0.28 | ) | (0.22 | ) | ||||||||||||
Net increase (decrease) in net asset value | .080 | 0.45 | (1.40 | ) | (1.41 | ) | 1.91 | 0.79 | ||||||||||||||||
Net Asset Value at end of period | $ | 10.10 | $ | 9.30 | $ | 8.85 | $ | 10.25 | $ | 11.66 | $ | 9.75 | ||||||||||||
Total Return (%)2 | 8.82 | 3 | 8.87 | (1.14 | ) | 7.46 | 22.35 | 11.34 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000s) | $ | 82,869 | $ | 88,917 | $ | 90,245 | $ | 124,838 | $ | 149,514 | $ | 142,755 | ||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||
Before waiver of expenses by Adviser (%) |
0.32 | 4 | 0.32 | 0.32 | 0.31 | 0.31 | 0.31 | |||||||||||||||||
After waiver of expenses by Adviser (%) |
0.22 | 4 | 0.22 | 0.22 | 0.27 | 0.31 | 0.31 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 1.42 | 4 | 1.34 | 1.08 | 1.13 | 1.07 | 1.80 | |||||||||||||||||
Portfolio turnover (%)5 | 19 | 3 | 89 | 53 | 70 | 70 | 69 | |||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS II |
Six-Months Ended 6/30/17 |
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 9.27 | $ | 8.82 | $ | 10.21 | $ | 11.62 | $ | 9.72 | $ | 8.95 | ||||||||||||
Income from Investment Operations: |
||||||||||||||||||||||||
Net investment income1 |
0.06 | 0.13 | 0.17 | 0.17 | 0.09 | 0.15 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments |
0.74 | 0.62 | (0.30 | ) | 0.66 | 2.06 | 0.83 | |||||||||||||||||
Total from investment operations |
0.80 | 0.75 | (0.13 | ) | 0.83 | 2.15 | 0.98 | |||||||||||||||||
Less Distributions From: |
||||||||||||||||||||||||
Net investment income |
| (0.14 | ) | (0.13 | ) | (0.21 | ) | (0.10 | ) | (0.21 | ) | |||||||||||||
Capital gains |
(0.01 | ) | (0.16 | ) | (1.13 | ) | (2.03 | ) | (0.15 | ) | | |||||||||||||
Total distributions |
(0.01 | ) | (0.30 | ) | (1.26 | ) | (2.24 | ) | (0.25 | ) | (0.21 | ) | ||||||||||||
Net increase (decrease) in net asset value | 0.79 | 0.45 | (1.39 | ) | (1.41 | ) | 1.90 | 0.77 | ||||||||||||||||
Net Asset Value at end of period | $ | 10.06 | $ | 9.27 | $ | 8.82 | $ | 10.21 | $ | 11.62 | $ | 9.72 | ||||||||||||
Total Return (%)2 | 8.69 | 3 | 8.60 | (1.39 | ) | 7.19 | 22.05 | 11.06 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000s) | $ | 2,010 | $ | 2,032 | $ | 1,681 | $ | 1,809 | $ | 1,911 | $ | 1,921 | ||||||||||||
Ratios of expenses to average net assets: | ||||||||||||||||||||||||
Before waiver of expenses by Adviser (%) |
0.57 | 4 | 0.57 | 0.57 | 0.56 | 0.56 | 0.56 | |||||||||||||||||
After waiver of expenses by Adviser (%) |
0.47 | 4 | 0.47 | 0.47 | 0.51 | 0.56 | 0.56 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 1.20 | 4 | 1.42 | 1.64 | 1.45 | 0.81 | 1.55 | |||||||||||||||||
Portfolio turnover (%)5 | 19 | 3 | 89 | 53 | 70 | 70 | 69 |
1 | Based on average shares outstanding during the year. | |
2 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. | |
3 | Not annualized. | |
4 | Annualized. | |
5 | Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements. |
38 |
Ultra Series Fund | June 30, 2017 |
Financial Highlights for a Share of Beneficial Interest Outstanding |
CORE BOND FUND |
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS I |
Six-Months Ended 6/30/17 |
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 9.75 | $ | 9.80 | $ | 10.14 | $ | 9.97 | $ | 10.55 | $ | 10.57 | ||||||||||||
Income from Investment Operations: |
||||||||||||||||||||||||
Net investment income1 |
0.13 | 0.26 | 0.28 | 0.30 | 0.31 | 0.34 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments |
0.08 | (0.01 | ) | (0.29 | ) | 0.20 | (0.54 | ) | 0.00 | |||||||||||||||
Total from investment operations |
0.21 | 0.25 | (0.01 | ) | 0.50 | (0.23 | ) | 0.34 | ||||||||||||||||
Less Distributions From: |
||||||||||||||||||||||||
Net investment income |
(0.01 | ) | (0.30 | ) | (0.33 | ) | (0.33 | ) | (0.35 | ) | (0.36 | ) | ||||||||||||
Net increase (decrease) in net asset value | 0.20 | (0.05 | ) | (0.34 | ) | 0.17 | (0.58 | ) | (0.02 | ) | ||||||||||||||
Net Asset Value at end of period | $ | 9.95 | $ | 9.75 | $ | 9.80 | $ | 10.14 | $ | 9.97 | $ | 10.55 | ||||||||||||
Total Return (%)2 | 20.6 | 3 | 2.67 | (0.15 | ) | 5.09 | (2.24 | ) | 3.21 | |||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000s) | $ | 137,151 | $ | 146,780 | $ | 173,927 | $ | 224,976 | $ | 270,289 | $ | 340,335 | ||||||||||||
Ratios of expenses to average net assets (%) | 0.57 | 4 | 0.57 | 0.57 | 0.56 | 0.56 | 0.56 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 2.59 | 4 | 2.53 | 2.73 | 2.88 | 3.02 | 3.13 | |||||||||||||||||
Portfolio turnover (%)5 | 7 | 3 | 39 | 25 | 17 | 14 | 11 | |||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS II |
Six-Months Ended 6/30/17 |
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 9.73 | $ | 9.78 | $ | 10.12 | $ | 9.95 | $ | 10.54 | $ | 10.56 | ||||||||||||
Income from Investment Operations: |
||||||||||||||||||||||||
Net investment income1 |
0.11 | 0.23 | 0.25 | 0.27 | 0.29 | 0.31 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments |
0.08 | | (0.29 | ) | 0.21 | (0.56 | ) | 0.01 | ||||||||||||||||
Total from investment operations |
0.19 | 0.23 | (0.04 | ) | 0.48 | (0.27 | ) | 0.32 | ||||||||||||||||
Less Distributions From: |
||||||||||||||||||||||||
Net investment income |
| (0.28 | ) | (0.30 | ) | (0.31 | ) | (0.32 | ) | (0.34 | ) | |||||||||||||
Net increase (decrease) in net asset value | 0.19 | (0.05 | ) | (0.34 | ) | 0.17 | (0.59 | ) | (0.02 | ) | ||||||||||||||
Net Asset Value at end of period | $ | 9.92 | $ | 9.73 | $ | 9.78 | $ | 10.12 | $ | 9.95 | $ | 10.54 | ||||||||||||
Total Return (%)2 | 1.93 | 3 | 2.41 | (0.40 | ) | 4.83 | (2.49 | ) | 2.96 | |||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000s) | $ | 38,208 | $ | 38,165 | $ | 44,151 | $ | 47,162 | $ | 46,991 | $ | 49,456 | ||||||||||||
Ratios of expenses to average net assets (%) | 0.82 | 4 | 0.82 | 0.82 | 0.81 | 0.81 | 0.81 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 2.34 | 4 | 2.28 | 2.48 | 2.62 | 2.77 | 2.88 | |||||||||||||||||
Portfolio turnover (%)5 | 7 | 3 | 39 | 25 | 17 | 14 | 11 |
1 | Based on average shares outstanding during the year. | |
2 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. | |
3 | Not annualized. | |
4 | Annualized. | |
5 | Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements. |
39 |
Ultra Series Fund | June 30, 2017 |
Financial Highlights for a Share of Beneficial Interest Outstanding |
HIGH INCOME FUND |
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS I |
Six-Months Ended 6/30/17 |
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 8.56 | $ | 8.05 | $ | 8.78 | $ | 9.22 | $ | 9.37 | $ | 9.18 | ||||||||||||
Income from Investment Operations: |
||||||||||||||||||||||||
Net investment income1 |
0.21 | 0.42 | 0.47 | 0.49 | 0.52 | 0.61 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments |
0.16 | 0.55 | (0.68 | ) | (0.33 | ) | (0.01 | ) | 0.42 | |||||||||||||||
Total from investment operations |
0.37 | 0.97 | (0.21 | ) | 0.16 | 0.51 | 1.03 | |||||||||||||||||
Less Distributions From: |
||||||||||||||||||||||||
Net investment income |
(0.01 | ) | (0.46 | ) | (0.52 | ) | (0.60 | ) | (0.66 | ) | (0.84 | ) | ||||||||||||
Net increase (decrease) in net asset value | 0.36 | 0.51 | (0.73 | ) | (0.44 | ) | (0.15 | ) | 0.19 | |||||||||||||||
Net Asset Value at end of period | $ | 8.92 | $ | 8.56 | $ | 8.05 | $ | 8.78 | $ | 9.22 | $ | 9.37 | ||||||||||||
Total Return (%)2 | 4.29 | 3 | 12.15 | (2.47 | ) | 1.74 | 5.49 | 11.23 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000s) | $ | 21,775 | $ | 22,093 | $ | 23,975 | $ | 30,455 | $ | 43,622 | $ | 60,362 | ||||||||||||
Ratios of expenses to average net assets (%) | 0.77 | 4 | 0.77 | 0.77 | 0.76 | 0.76 | 0.77 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 4.77 | 4 | 4.91 | 5.23 | 5.12 | 5.42 | 6.31 | |||||||||||||||||
Portfolio turnover (%)5 | 19 | 3 | 58 | 27 | 53 | 32 | 55 | |||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS II |
Six-Months Ended 6/30/17 |
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 8.57 | $ | 8.05 | $ | 8.79 | $ | 9.23 | $ | 9.37 | $ | 9.19 | ||||||||||||
Income from Investment Operations: |
||||||||||||||||||||||||
Net investment income1 |
0.20 | 0.40 | 0.44 | 0.46 | 0.50 | 0.58 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments |
0.16 | 0.56 | (0.68 | ) | (0.33 | ) | | 0.42 | ||||||||||||||||
Total from investment operations |
0.36 | 0.96 | (0.24 | ) | 0.13 | 0.50 | 1.00 | |||||||||||||||||
Less Distributions From: |
||||||||||||||||||||||||
Net investment income |
(0.00 | )6 | (0.44 | ) | (0.50 | ) | (0.57 | ) | (0.64 | ) | (0.82 | ) | ||||||||||||
Net increase (decrease) in net asset value | 0.36 | 0.52 | (0.74 | ) | (0.44 | ) | (0.14 | ) | 0.18 | |||||||||||||||
Net Asset Value at end of period | $ | 8.93 | $ | 8.57 | $ | 8.05 | $ | 8.79 | $ | 9.23 | $ | 9.37 | ||||||||||||
Total Return (%)2 | 4.16 | 3 | 11.87 | (2.71 | ) | 1.48 | 5.23 | 10.95 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000s) | $ | 5,856 | $ | 5,314 | $ | 5,943 | $ | 6,685 | $ | 6,906 | $ | 6,737 | ||||||||||||
Ratios of expenses to average net assets (%) | 1.02 | 4 | 1.02 | 1.02 | 1.01 | 1.01 | 1.02 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 4.52 | 4 | 4.66 | 4.98 | 4.88 | 5.17 | 6.02 | |||||||||||||||||
Portfolio turnover (%)5 | 19 | 3 | 58 | 27 | 53 | 32 | 55 |
1 | Based on average shares outstanding during the year. | |
2 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. | |
3 | Not annualized. | |
4 | Annualized. | |
5 | Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period. | |
6 | Amounts represent less than $0.005 per share. |
See accompanying Notes to Financial Statements. |
40 |
Ultra Series Fund | June 30, 2017 |
Financial Highlights for a Share of Beneficial Interest Outstanding |
DIVERSIFIED INCOME FUND |
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS I |
Six-Months Ended 6/30/17 |
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 18.40 | $ | 18.64 | $ | 20.30 | $ | 20.76 | $ | 18.29 | $ | 17.39 | ||||||||||||
Income from Investment Operations: |
||||||||||||||||||||||||
Net investment income1 |
0.21 | 0.44 | 0.46 | 0.47 | 0.46 | 0.49 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments |
0.74 | 1.24 | (0.43 | ) | 1.02 | 2.48 | 0.92 | |||||||||||||||||
Total from investment operations |
0.95 | 1.68 | 0.03 | 1.49 | 2.94 | 1.41 | ||||||||||||||||||
Less Distributions From: |
||||||||||||||||||||||||
Net investment income |
| (0.49 | ) | (0.52 | ) | (0.52 | ) | (0.47 | ) | (0.51 | ) | |||||||||||||
Capital gains |
(0.03 | ) | (1.43 | ) | (1.17 | ) | (1.43 | ) | | | ||||||||||||||
Total distributions |
(0.03 | ) | (1.92 | ) | (1.69 | ) | (1.95 | ) | (0.47 | ) | (0.51 | ) | ||||||||||||
Net increase (decrease) in net asset value | 0.92 | (0.24 | ) | (1.66 | ) | (0.46 | ) | 2.47 | 0.90 | |||||||||||||||
Net Asset Value at end of period | $ | 19.32 | $ | 18.40 | $ | 18.64 | $ | 20.30 | $ | 20.76 | $ | 18.29 | ||||||||||||
Total Return (%)2 | 5.14 | 3 | 8.99 | 0.11 | 7.12 | 16.07 | 8.16 | |||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000s) | $ | 238,479 | $ | 245,490 | $ | 267,001 | $ | 327,951 | $ | 378,807 | $ | 359,022 | ||||||||||||
Ratios of expenses to average net assets (%) | 0.72 | 4 | 0.72 | 0.72 | 0.71 | 0.71 | 0.71 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 2.20 | 4 | 2.25 | 2.27 | 2.20 | 2.31 | 2.69 | |||||||||||||||||
Portfolio turnover (%)5 | 9 | 3 | 34 | 21 | 24 | 17 | 17 | |||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS II |
Six-Months Ended 6/30/17 |
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 18.31 | $ | 18.57 | $ | 20.23 | $ | 20.71 | $ | 18.26 | $ | 17.37 | ||||||||||||
Income from Investment Operations: |
||||||||||||||||||||||||
Net investment income1 |
0.18 | 0.39 | 0.41 | 0.41 | 0.41 | 0.44 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments |
0.73 | 1.23 | (0.42 | ) | 1.02 | 2.47 | 0.93 | |||||||||||||||||
Total from investment operations |
0.91 | 1.62 | (0.01 | ) | 1.43 | 2.88 | 1.37 | |||||||||||||||||
Less Distributions From: |
||||||||||||||||||||||||
Net investment income |
| (0.45 | ) | (0.48 | ) | (0.48 | ) | (0.43 | ) | (0.48 | ) | |||||||||||||
Capital gains |
(0.03 | ) | (1.43 | ) | (1.17 | ) | (1.43 | ) | | | ||||||||||||||
Total distributions |
(0.03 | ) | (1.88 | ) | (1.65 | ) | (1.91 | ) | (0.43 | ) | (0.48 | ) | ||||||||||||
Net increase (decrease) in net asset value | 0.88 | (0.26 | ) | (1.66 | ) | (0.48 | ) | 2.45 | 0.89 | |||||||||||||||
Net Asset Value at end of period | $ | 19.19 | $ | 18.31 | $ | 18.57 | $ | 20.23 | $ | 20.71 | $ | 18.26 | ||||||||||||
Total Return (%)2 | 5.01 | 3 | 8.72 | (0.14 | ) | 6.85 | 15.78 | 7.89 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000s) | $ | 41,490 | $ | 40,548 | $ | 39,894 | $ | 44,772 | $ | 43,601 | $ | 34,908 | ||||||||||||
Ratios of expenses to average net assets (%) | 0.97 | 4 | 0.97 | 0.97 | 0.96 | 0.96 | 0.96 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 1.95 | 4 | 1.99 | 2.02 | 1.95 | 2.05 | 2.43 | |||||||||||||||||
Portfolio turnover (%)5 | 9 | 3 | 34 | 21 | 24 | 17 | 17 |
1 | Based on average shares outstanding during the year. | |
2 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. | |
3 | Not annualized. | |
4 | Annualized. | |
5 | Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements. |
41 |
Ultra Series Fund | June 30, 2017 |
Financial Highlights for a Share of Beneficial Interest Outstanding |
LARGE CAP VALUE FUND |
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS I |
Six-Months Ended 6/30/17 |
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 26.56 | $ | 27.06 | $ | 33.10 | $ | 34.76 | $ | 27.12 | $ | 24.78 | ||||||||||||
Income from Investment Operations: |
||||||||||||||||||||||||
Net investment income1 |
0.18 | 0.42 | 0.35 | 0.43 | 0.48 | 0.55 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments |
1.05 | 3.13 | (1.18 | ) | 3.97 | 7.67 | 2.37 | |||||||||||||||||
Total from investment operations |
1.23 | 3.55 | (0.83 | ) | 4.40 | 8.15 | 2.92 | |||||||||||||||||
Less Distributions From: |
||||||||||||||||||||||||
Net investment income |
(0.01 | ) | (0.44 | ) | (0.40 | ) | (0.51 | ) | (0.51 | ) | (0.58 | ) | ||||||||||||
Capital gains |
(0.10 | ) | (3.61 | ) | (4.81 | ) | (5.55 | ) | | | ||||||||||||||
Total distributions |
(0.11 | ) | (4.05 | ) | (5.21 | ) | (6.06 | ) | (0.51 | ) | (0.58 | ) | ||||||||||||
Net increase (decrease) in net asset value | 1.12 | (0.50 | ) | (6.04 | ) | (1.66 | ) | 7.64 | 2.34 | |||||||||||||||
Net Asset Value at end of period | $ | 27.68 | $ | 26.56 | $ | 27.06 | $ | 33.10 | $ | 34.76 | $ | 27.12 | ||||||||||||
Total Return (%)2 | 4.60 | 3 | 13.01 | (2.68 | ) | 12.41 | 30.07 | 11.82 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000s) | $ | 332,249 | $ | 347,993 | $ | 365,385 | $ | 491,416 | $ | 576,731 | $ | 494,587 | ||||||||||||
Ratios of expenses to average net assets (%) | 0.62 | 4 | 0.62 | 0.62 | 0.61 | 0.61 | 0.61 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 1.31 | 4 | 1.50 | 1.09 | 1.18 | 1.53 | 2.05 | |||||||||||||||||
Portfolio turnover (%)5 | 40 | 3 | 93 | 90 | 82 | 32 | 27 | |||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS II |
Six-Months Ended 6/30/17 |
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 26.32 | $ | 26.87 | $ | 32.93 | $ | 34.64 | $ | 27.05 | $ | 24.73 | ||||||||||||
Income from Investment Operations: |
||||||||||||||||||||||||
Net investment income1 |
0.14 | 0.34 | 0.27 | 0.34 | 0.40 | 0.48 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments |
1.04 | 3.11 | (1.17 | ) | 3.94 | 7.64 | 2.37 | |||||||||||||||||
Total from investment operations |
1.18 | 3.45 | (0.90 | ) | 4.28 | 8.04 | 2.85 | |||||||||||||||||
Less Distributions From: |
||||||||||||||||||||||||
Net investment income |
| (0.39 | ) | (0.35 | ) | (0.44 | ) | (0.45 | ) | (0.53 | ) | |||||||||||||
Capital gains |
(0.10 | ) | (3.61 | ) | (4.81 | ) | (5.55 | ) | | | ||||||||||||||
Total distributions |
(0.10 | ) | (4.00 | ) | (5.16 | ) | (5.99 | ) | (0.45 | ) | (0.53 | ) | ||||||||||||
Net increase (decrease) in net asset value | 1.08 | (0.55 | ) | (6.06 | ) | (1.71 | ) | 7.59 | 2.32 | |||||||||||||||
Net Asset Value at end of period | $ | 27.40 | $ | 26.32 | $ | 26.87 | $ | 32.93 | $ | 34.64 | $ | 27.05 | ||||||||||||
Total Return (%)2 | 4.47 | 3 | 12.73 | (2.92 | ) | 12.13 | 29.74 | 11.55 | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000s) | $ | 5,479 | $ | 4,709 | $ | 5,509 | $ | 6,700 | $ | 6,875 | $ | 5,882 | ||||||||||||
Ratios of expenses to average net assets (%) | 0.87 | 4 | 0.87 | 0.87 | 0.86 | 0.86 | 0.86 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 1.06 | 4 | 1.24 | 0.84 | 0.93 | 1.28 | 1.80 | |||||||||||||||||
Portfolio turnover (%)5 | 40 | 3 | 93 | 90 | 82 | 32 | 27 |
1 | Based on average shares outstanding during the year. | |
2 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. | |
3 | Not annualized. | |
4 | Annualized. | |
5 | Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements. |
42 |
Ultra Series Fund | June 30, 2017 |
Financial Highlights for a Share of Beneficial Interest Outstanding |
LARGE CAP GROWTH FUND |
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS I |
Six-Months Ended 6/30/17 |
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 24.84 | $ | 25.12 | $ | 27.27 | $ | 28.76 | $ | 24.09 | $ | 21.84 | ||||||||||||
Income from Investment Operations: |
||||||||||||||||||||||||
Net investment income1 |
0.11 | 0.20 | 0.28 | 0.19 | 0.17 | 0.18 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments |
2.61 | 1.23 | 0.64 | 3.32 | 7.17 | 2.26 | ||||||||||||||||||
Total from investment operations |
2.72 | 1.43 | 0.92 | 3.51 | 7.34 | 2.44 | ||||||||||||||||||
Less Distributions From: |
||||||||||||||||||||||||
Net investment income |
(0.00 | )2 | (0.22 | ) | (0.32 | ) | (0.20 | ) | (0.18 | ) | (0.19 | ) | ||||||||||||
Capital gains |
(0.20 | ) | (1.49 | ) | (2.75 | ) | (4.80 | ) | (2.49 | ) | | |||||||||||||
Total distributions |
(0.20 | ) | (1.71 | ) | (3.07 | ) | (5.00 | ) | (2.67 | ) | (0.19 | ) | ||||||||||||
Net increase (decrease) in net asset value | 2.52 | (0.28 | ) | (2.15 | ) | (1.49 | ) | 4.67 | 2.25 | |||||||||||||||
Net Asset Value at end of period | $ | 27.36 | $ | 24.84 | $ | 25.12 | $ | 27.27 | $ | 28.76 | $ | 24.09 | ||||||||||||
Total Return (%)3 | 10.99 | 4 | 5.74 | 3.26 | 12.13 | 30.51 | 11.20 | |||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000s) | $ | 229,020 | $ | 223,450 | $ | 251,524 | $ | 305,800 | $ | 359,959 | $ | 318,024 | ||||||||||||
Ratios of expenses to average net assets (%) | 0.82 | 5 | 0.82 | 0.82 | 0.81 | 0.81 | 0.82 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 0.81 | 5 | 0.80 | 1.02 | 0.63 | 0.62 | 0.76 | |||||||||||||||||
Portfolio turnover (%)6 | 5 | 4 | 13 | 19 | 33 | 50 | 64 | |||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS II |
Six-Months Ended 6/30/17 |
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 24.60 | $ | 24.92 | $ | 2.710 | $ | 28.63 | $ | 24.02 | $ | 21.80 | ||||||||||||
Income from Investment Operations: |
||||||||||||||||||||||||
Net investment income1 |
0.07 | 0.14 | 0.21 | 0.11 | 0.10 | 0.12 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments |
2.60 | 1.21 | 0.63 | 3.32 | 7.13 | 2.26 | ||||||||||||||||||
Total from investment operations |
2.67 | 1.35 | 0.84 | 3.43 | 7.23 | 2.38 | ||||||||||||||||||
Less Distributions From: |
||||||||||||||||||||||||
Net investment income |
| (0.18 | ) | (0.27 | ) | (0.16 | ) | (0.13 | ) | (0.16 | ) | |||||||||||||
Capital gains |
(0.20 | ) | (1.49 | ) | (2.75 | ) | (4.80 | ) | (2.49 | ) | | |||||||||||||
Total distributions |
(0.20 | ) | (1.67 | ) | (3.02 | ) | (4.96 | ) | (2.62 | ) | (0.16 | ) | ||||||||||||
Net increase (decrease) in net asset value | 2.47 | (0.32 | ) | (2.18 | ) | (1.53 | ) | 4.61 | 2.22 | |||||||||||||||
Net Asset Value at end of period | $ | 27.07 | $ | 24.60 | $ | 24.92 | $ | 27.10 | $ | 28.63 | $ | 24.02 | ||||||||||||
Total Return (%)3 | 10.85 | 4 | 5.47 | 3.00 | 11.85 | 30.18 | 10.93 | |||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000s) | $ | 24,081 | $ | 23,774 | $ | 27,749 | $ | 32,168 | $ | 33,983 | $ | 29,101 | ||||||||||||
Ratios of expenses to average net assets (%) | 1.07 | 5 | 1.07 | 1.07 | 1.06 | 1.06 | 1.07 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 0.56 | 5 | 0.55 | 0.77 | 0.38 | 0.37 | 0.51 | |||||||||||||||||
Portfolio turnover (%)6 | 5 | 4 | 13 | 19 | 33 | 50 | 64 |
1 | Based on average shares outstanding during the year. | |
2 | Amount represents less than $0.005 per share. | |
3 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. | |
4 | Not annualized. | |
5 | Annualized. | |
6 | Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements. |
43 |
Ultra Series Fund | June 30, 2017 |
Financial Highlights for a Share of Beneficial Interest Outstanding |
MID CAP FUND |
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS I |
Six-Months Ended 6/30/17 |
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 18.11 | $ | 17.65 | $ | 19.30 | $ | 21.76 | $ | 17.09 | $ | 14.75 | ||||||||||||
Income from Investment Operations: |
||||||||||||||||||||||||
Net investment income (loss)1 |
(0.01 | ) | 0.01 | (0.05 | ) | 0.02 | 0.00 | 2 | 0.05 | |||||||||||||||
Net realized and unrealized gain on investments |
0.99 | 2.22 | 0.27 | 2.13 | 5.00 | 2.34 | ||||||||||||||||||
Total from investment operations |
0.98 | 2.23 | 0.22 | 2.15 | 5.00 | 2.39 | ||||||||||||||||||
Less Distributions From: |
||||||||||||||||||||||||
Net investment income |
| (0.00 | )2 | (0.01 | ) | (0.01 | ) | (0.00 | )2 | (0.05 | ) | |||||||||||||
Capital gains |
(0.03 | ) | (1.77 | ) | (1.86 | ) | (4.60 | ) | (0.33 | ) | | |||||||||||||
Total distributions |
(0.03 | ) | (1.77 | ) | (1.87 | ) | (4.61 | ) | (0.33 | ) | (0.05 | ) | ||||||||||||
Net increase (decrease) in net asset value | 0.95 | 0.46 | (1.65 | ) | (2.46 | ) | 4.67 | 2.34 | ||||||||||||||||
Net Asset Value at end of period | $ | 19.06 | $ | 18.11 | $ | 17.65 | $ | 19.30 | $ | 21.76 | $ | 17.09 | ||||||||||||
Total Return (%)3 | 5.45 | 4 | 12.84 | 1.04 | 9.82 | 29.28 | 16.24 | |||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000s) | $ | 193,859 | $ | 203,076 | $ | 220,979 | $ | 286,704 | $ | 381,703 | $ | 356,534 | ||||||||||||
Ratios of expenses to average net assets (%) | 0.92 | 5 | 0.92 | 0.92 | 0.91 | 0.91 | 0.91 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | (0.10 | )5 | 0.04 | (0.24 | ) | 0.10 | (0.01 | ) | 0.30 | |||||||||||||||
Portfolio turnover (%)6 | 10 | 4 | 21 | 28 | 35 | 28 | 25 | |||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS II |
Six-Months Ended 6/30/17 |
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 17.83 | $ | 17.44 | $ | 19.13 | $ | 21.65 | $ | 17.05 | $ | 14.72 | ||||||||||||
Income from Investment Operations: |
||||||||||||||||||||||||
Net investment income (loss)1 |
(0.03 | ) | (0.04 | ) | (0.09 | ) | (0.03 | ) | (0.05 | ) | 0.01 | |||||||||||||
Net realized and unrealized gain on investments |
0.98 | 2.20 | 0.26 | 2.11 | 4.98 | 2.35 | ||||||||||||||||||
Total from investment operations |
0.95 | 2.16 | 0.17 | 2.08 | 4.93 | 2.36 | ||||||||||||||||||
Less Distributions From: |
||||||||||||||||||||||||
Net investment income |
| | | | | (0.03 | ) | |||||||||||||||||
Capital gains |
(0.03 | ) | (1.77 | ) | (1.86 | ) | (4.60 | ) | (0.33 | ) | | |||||||||||||
Total distributions |
(0.03 | ) | (1.77 | ) | (1.86 | ) | (4.60 | ) | (0.33 | ) | (0.03 | ) | ||||||||||||
Net increase (decrease) in net asset value | 0.92 | 0.39 | (1.69 | ) | (2.52 | ) | 4.60 | 2.33 | ||||||||||||||||
Net Asset Value at end of period | $ | 18.75 | $ | 17.83 | $ | 17.44 | $ | 19.13 | $ | 21.65 | $ | 17.05 | ||||||||||||
Total Return (%)3 | 5.32 | 4 | 12.55 | 0.79 | 9.55 | 28.95 | 15.95 | |||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000s) | $ | 10,562 | $ | 11,142 | $ | 12,710 | $ | 15,067 | $ | 15,762 | $ | 13,927 | ||||||||||||
Ratios of expenses to average net assets (%) | 1.17 | 5 | 1.17 | 1.17 | 1.17 | 1.16 | 1.16 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | (0.35 | )5 | (0.21 | ) | (0.49 | ) | (0.15 | ) | (0.26 | ) | 0.05 | |||||||||||||
Portfolio turnover (%)6 | 10 | 4 | 21 | 28 | 35 | 28 | 25 |
1 | Based on average shares outstanding during the year. | |
2 | Amounts represent less than $0.005 per share. | |
3 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. | |
4 | Not annualized. | |
5 | Annualized. | |
6 | Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements. |
44 |
Ultra Series Fund | June 30, 2017 |
Financial Highlights for a Share of Beneficial Interest Outstanding |
INTERNATIONAL STOCK FUND |
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS I |
Six-Months Ended 6/30/17 |
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 9.69 | $ | 10.16 | $ | 10.77 | $ | 12.99 | $ | 10.78 | $ | 9.03 | ||||||||||||
Income from Investment Operations: |
||||||||||||||||||||||||
Net investment income1 |
0.11 | 0.18 | 0.19 | 0.27 | 0.16 | 0.17 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments |
1.03 | (0.47 | ) | (0.56 | ) | (1.10 | ) | 2.07 | 1.75 | |||||||||||||||
Total from investment operations |
1.14 | (0.29 | ) | (0.37 | ) | (0.83 | ) | 2.23 | 1.92 | |||||||||||||||
Less Distributions From: |
||||||||||||||||||||||||
Net investment income |
(0.00 | )2 | (0.18 | ) | (0.22 | ) | (0.47 | ) | (0.02 | ) | (0.17 | ) | ||||||||||||
Capital gains |
| | (0.02 | ) | (0.92 | ) | | | ||||||||||||||||
Total distributions |
| (0.18 | ) | (0.24 | ) | (1.39 | ) | (0.02 | ) | (0.17 | ) | |||||||||||||
Net increase (decrease) in net asset value | 1.14 | (0.47 | ) | (0.61 | ) | (2.22 | ) | 2.21 | 1.75 | |||||||||||||||
Net Asset Value at end of period | $ | 10.83 | $ | 9.69 | $ | 10.16 | $ | 10.77 | $ | 12.99 | $ | 10.78 | ||||||||||||
Total Return (%)3 | 11.82 | 4 | (2.91 | ) | (3.45 | ) | (6.76 | ) | 20.76 | 21.31 | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000s) | $ | 27,410 | $ | 26,809 | $ | 32,560 | $ | 38,826 | $ | 75,808 | $ | 76,919 | ||||||||||||
Ratios of expenses to average net assets (%) | 1.17 | 5 | 1.17 | 1.17 | 1.17 | 1.21 | 1.21 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 2.06 | 5 | 1.84 | 1.70 | 2.09 | 1.37 | 1.74 | |||||||||||||||||
Portfolio turnover (%)6 | 18 | 4 | 98 | 23 | 103 | 39 | 42 | |||||||||||||||||
(unaudited) | Year Ended December 31, | |||||||||||||||||||||||
CLASS II |
Six-Months Ended 6/30/17 |
2016 | 2015 | 2014 | 2013 | 2012 | ||||||||||||||||||
Net Asset Value at beginning of period | $ | 9.65 | $ | 10.14 | $ | 10.74 | $ | 12.96 | $ | 10.76 | $ | 9.02 | ||||||||||||
Income from Investment Operations: |
||||||||||||||||||||||||
Net investment income1 |
0.09 | 0.16 | 0.16 | 0.22 | 0.13 | 0.14 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments |
1.04 | (0.49 | ) | (0.55 | ) | (1.08 | ) | 2.07 | 1.76 | |||||||||||||||
Total from investment operations |
1.13 | (0.33 | ) | (0.39 | ) | (0.86 | ) | 2.20 | 1.90 | |||||||||||||||
Less Distributions From: |
||||||||||||||||||||||||
Net investment income |
| (0.16 | ) | (0.19 | ) | (0.44 | ) | (0.00 | )2 | (0.16 | ) | |||||||||||||
Capital gains |
| | (0.02 | ) | (0.92 | ) | | | ||||||||||||||||
Total distributions |
| (0.16 | ) | (0.21 | ) | (1.36 | ) | (0.00 | )2 | (0.16 | ) | |||||||||||||
Net increase (decrease) in net asset value | 1.13 | (0.49 | ) | (0.60 | ) | (2.22 | ) | 2.20 | 1.74 | |||||||||||||||
Net Asset Value at end of period | $ | 10.78 | $ | 9.65 | $ | 10.14 | $ | 10.74 | $ | 12.96 | $ | 10.76 | ||||||||||||
Total Return (%)3 | 11.68 | 4 | (3.16 | ) | (3.69 | ) | (6.99 | ) | 20.45 | 21.01 | ||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||
Net Assets at end of period (in 000s) | $ | 13,556 | $ | 12,796 | $ | 14,641 | $ | 16,174 | $ | 19,134 | $ | 18,263 | ||||||||||||
Ratios of expenses to average net assets (%) | 1.42 | 5 | 1.42 | 1.42 | 1.42 | 1.46 | 1.46 | |||||||||||||||||
Ratio of net investment income to average net assets (%) | 1.82 | 5 | 1.58 | 1.43 | 1.72 | 1.10 | 1.45 | |||||||||||||||||
Portfolio turnover (%)6 | 18 | 4 | 98 | 23 | 103 | 39 | 42 |
1 | Based on average shares outstanding during the year. | |
2 | Amounts represent less than $0.005 per share. | |
3 | These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. | |
4 | Not annualized. | |
5 | Annualized. | |
6 | Portfolio turnover is calculated at the fund level and represents the entire fiscal year or period. |
See accompanying Notes to Financial Statements. |
45 |
Ultra Series Fund | June 30, 2017 |
Notes to Financial Statements (unaudited) |
1. ORGANIZATION
The Ultra Series Fund (the Trust), a Massachusetts business trust, is registered under the Investment Company Act of 1940 (the 1940 Act), as amended, as a diversified, open-end management investment company. The Trust is a series trust with, at the end of the period covered by this report, 14 investment portfolios (individually, a Fund, and collectively, the Funds), each with different investment objectives and policies. The Funds reported within this book at the end of the period were the Core Bond Fund, High Income Fund, Diversified Income Fund, Large Cap Value Fund, Large Cap Growth Fund, Mid Cap Fund and International Stock Fund (collectively, the Core Funds), and the Conservative Allocation Fund, Moderate Allocation Fund and Aggressive Allocation Fund (collectively, the Target Allocation Funds).
The Declaration of Trust permits the Board of Trustees to issue an unlimited number of full and fractional shares of the Trust without par value. All Funds offer Class I and II shares. Each class of shares represents an interest in the assets of the respective Fund and has identical voting, dividend, liquidation and other rights, except that each class of shares bears its own distribution fee, if any, and its proportional share of Fund level expenses, and has exclusive voting rights on matters pertaining to Rule 12b-1 under the 1940 Act as it relates to that class and other class specific matters. Shares are offered to separate accounts (the Accounts) of CMFG Life Insurance Company and to qualified pension and retirement plans of CMFG Life Insurance Company or its affiliates (CUNA Mutual Group). The Trust may, in the future, offer other share classes to separate accounts of insurance companies and to qualified pension and retirement plans that are not affiliated with CUNA Mutual Group. The Trust does not offer shares directly to the general public.
The Trust has entered into a Management Agreement with Madison Asset Management, LLC (the Investment Adviser or Madison). The Investment Adviser, in turn, has entered into a subadvisory agreement with a subadviser (Subadviser) for the management of the investments of the International Stock Fund.
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds are investment companies that apply the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946,Financial Services-Investment Companies (ASC 946). The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements.
Portfolio Valuation: The Ultra Series Fund (the Trust) and each series of the Trust referred to individually as a Fund, and collectively, (the Funds) values securities and other investments follows: Equity securities, including American Depositary Receipts (ADRs),Global Depositary Receipts (GDRs) and exchange-traded funds (ETFs) listed on any U.S. or foreign stock exchange or quoted on the National Association of Securities Dealers Automated Quotation System (NASDAQ) are valued at the last quoted sale price or Official closing price on that exchange or NASDAQ on the valuation day (provided that, for securities traded on NASDAQ, the Funds utilize the NASDAQ Official Closing Price (NOCP)). If no sale occurs, equities traded on a U.S. exchange, foreign exchange or on NASDAQ are valued at the bid price. Debt securities purchased (other than short-term obligations) with a remaining maturity of 61 days or more are valued on the basis of last available bid prices or current market quotations provided by dealers or pricing services approved by the Trust. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures based on valuation technology commonly employed in the market for such investments.
Municipal debt securities are traded via a network among dealers and brokers that connect buyers and sellers. Liquidity in the tax-exempt market is influenced by economic conditions, issuer financial strength, bond structure, trade size, supply
46 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2017
and demand, tax code and regulatory environment. There may be little trading in the secondary market for the particular bonds and other debt securities, making them more difficult to value or sell. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche.
Investments in shares of open-end mutual funds, including money market funds, are valued at their daily net asset value (NAV) which is calculated as of the close of regular trading on the New York Stock Exchange ((the NYSE) usually 4:00 p.m. Eastern Standard Time on each day on which the NYSE is open for business. NAV per share is determined by dividing each Funds total net assets by the number of shares of such fund outstanding at the time of calculating. Because the assets of each Target Allocation Fund consist primarily of shares of other registered investment companies (the Underlying Funds), the NAV of each Fund is determined based on the NAVs of the Underlying Funds. Total net assets are determined by adding the total current value of portfolio securities, cash, receivables, and other assets and subtracting liabilities. Short-term instruments having maturities of 60 days or less are valued on an amortized cost basis, which approximates market value.
Over-the-counter securities not listed or traded on NASDAQ are valued at the last sale price on the valuation day. If no sale occurs on the valuation day, an over-the-counter security is valued at the last bid price. Exchange-traded options are valued at the mean of the best bid and ask prices across all option exchanges. Financial futures contracts generally are valued at the settlement price established by the exchange(s) on which the contracts are primarily traded. Spot and forward foreign currency exchange contracts are valued based on quotations supplied by dealers in such contracts. Overnight repurchase agreements are valued at cost, and term repurchase agreements (i.e., those whose maturity exceeds seven days), swaps, caps, collars and floors, if any, are valued at the average of the closing bids obtained daily from at least one dealer.
Through the end of this reporting period, the value of all assets and liabilities expressed in foreign currencies was converted into U.S. dollar values using the then-current exchange rate at the close of regular trading on the NYSE.
All other securities for which either quotations are not readily available, no other sales have occurred, or in the Investment Advisers opinion, do not reflect the current market value, are appraised at their fair values as determined in good faith by the Pricing Committee (the Committee) and under the general supervision of the Board of Trustees. When fair value pricing of securities is employed, the prices of securities used by the Funds to calculate NAV may differ from market quotations or NOCP. Because the Target Allocation Funds primarily invest in Underlying Funds, government securities and short-term paper, it is not anticipated that the Investment Adviser will need to fair value any of the investments of these Funds. However, an Underlying Fund may need to fair value one or more of its investments, which may, in turn, require a Target Allocation Fund to do the same because of delays in obtaining the Underlying Funds NAV.
A Funds investments (or Underlying Fund) will be valued at fair value if, in the judgment of the Committee, an event impacting the value of an investment occurred between the closing time of a securitys primary market or exchange (for example, a foreign exchange or market) and the time the Funds share price is calculated as of the close of regular trading on the NYSE. Significant events may include, but are not limited to, the following: (1) significant fluctuations in domestic markets, foreign markets or foreign currencies; (2) occurrences not directly tied to the securities markets such as natural disasters, armed conflicts or significant government actions; and (3) major announcements affecting a single issuer or an entire market or market sector. In responding to a significant event, the Committee would determine the fair value of affected securities considering factors including, but not limited to: fundamental analytical data relating to the investment; the nature and duration of any restrictions on the disposition of the investment; and the forces influencing the market(s) in which the investment is purchased or sold.
In addition to independent fair value decisions made by the Committee noted above, the Committee also engages an independent fair valuation service to adjust the valuations of foreign equity securities based on specific market-movement
47 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2017
parameters established by the Committee and approved by the Trust. Such adjustments to the valuation of foreign securities are applied automatically upon market close if the parameters established are exceeded. A foreign security is also automatically fair valued if the exchange it is traded on is on holiday.
Security Transactions and Investment Income: Security transactions are accounted for on a trade date basis. Net realized gains or losses on sales are determined by the identified cost method. Interest income is recorded on an accrual basis. Dividend income is recorded on ex-dividend date, except that certain dividends from foreign securities may be recorded after the ex-dividend date based on when the Fund is informed of the dividend. Interest income is recorded on an accrual basis and is increased by the accretion of discount and decreased by the amortization of premium. Amortization and accretion are recorded on the effective yield method.
Expenses: Expenses that are directly related to one Fund are charged directly to that Fund. Other operating expenses are prorated to the Funds on the basis of relative net assets. Class-specific expenses are borne by that class.
Classes: Income and realized and unrealized gains/losses are allocated to the respective classes on the basis of relative net assets.
Repurchase Agreements: Each Fund may engage in repurchase agreements. In a repurchase agreement, a security is purchased for a relatively short period (usually not more than seven days) subject to the obligation to sell it back to the issuer at a fixed time and price plus accrued interest. The Funds will enter into repurchase agreements only with members of the Federal Reserve System and with primary dealers in U.S. Government securities.
The Trust has established a procedure providing that the securities serving as collateral for each repurchase agreement must be delivered to the Trusts custodian either physically or in book-entry form and that the collateral must be marked to market daily to ensure that each repurchase agreement is fully collateralized at all times. In the event of bankruptcy or other default by a seller of a repurchase agreement, a Fund could experience one of the following: delays in liquidating the underlying securities during the period in which the Fund seeks to enforce its rights thereto, possible decreased levels of income, declines in value of the underlying securities, or lack of access to income during this period and the expense of enforcing its rights. As of June 30, 2017, none of the Funds held open repurchase agreements.
Foreign Currency Transactions: The Trusts books and records are maintained in U.S. dollars. Foreign currency-denominated transactions (i.e., market value of investment securities, assets and liabilities, purchases and sales of investment securities, and income and expenses) are translated into U.S. dollars at the current rate of exchange. The Funds enter into contracts on the trade date to settle any securities transactions denominated in foreign currencies on behalf of the Funds at the spot rate at settlement.
Each Fund reports certain foreign currency-related transactions as components of realized gains or losses for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes. Realized gains or losses associated with currency transactions are included in the Statements of Operations under the heading Net realized gain (loss) on investments. Only the International Stock Fund had net realized gains from foreign currency transactions.
The Funds do not isolate the portion of gains and losses on investments in securities that is due to changes in the foreign exchange rates from that which is due to change in market prices of securities. Such amounts are categorized as gain or loss on investments for financial reporting purposes.
Forward Foreign Currency Exchange Contracts: Each Fund may purchase and sell forward foreign currency exchange contracts for defensive or hedging purposes. When entering into forward foreign currency exchange contracts, the Funds agree to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily. The Funds assets reflect unrealized gains or losses on the contracts as measured by the net difference between the forward foreign currency exchange rates at the dates of entry into the contracts and the forward rates
48 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2017
at the reporting date. The Funds realize a gain or a loss at the time the forward foreign currency exchange contracts are settled or closed out with an offsetting contract. Contracts are traded over-the-counter directly with a counterparty. Realized and unrealized gains and losses are included in the Statements of Operations. As of June 30, 2017, none of the Funds had open forward foreign currency exchange contracts.
If a Fund enters into a forward foreign currency exchange contract to buy foreign currency for any purpose, the Fund will be required to place cash or other liquid assets in a segregated account with the Funds custodian in an amount equal to the value of the Funds total assets committed to the consummation of the forward contract. If the value of the securities in the segregated account declines, additional cash or securities will be placed in the segregated account so that the value of the account will equal the amount of the Funds commitment with respect to the contract.
Cash Concentration: At times, the Funds maintain cash balances at financial institutions in excess of federally insured limits. The Funds monitor this credit risk and have not experienced any losses related to this risk.
Illiquid Securities: Each Fund currently limits investments in illiquid securities to 15% of net assets at the time of purchase. An illiquid security is generally defined as any investment that may be difficult to sell within seven days for the price at which the Fund values it. At June 30, 2017, there were no illiquid securities held in the Funds. Pursuant to guidelines adopted by the Board of Trustees, certain unregistered securities are determined to be liquid and are not included within the percent limitations specified above.
Delayed Delivery Securities: Each Fund may purchase securities on a when-issued or delayed delivery basis. When-issued refers to securities whose terms are available and for which a market exists, but that have not been issued. For when-issued or delayed delivery transactions, no payment is made until delivery date, which is typically longer than the normal course of settlement. When a Fund enters into an agreement to purchase securities on a when-issued or delayed delivery basis, the Fund segregates cash or other liquid securities, of any type or maturity, equal in value to the Funds commitment. Losses may arise due to changes in the market value of the underlying securities, if the counterparty does not perform under the contract, or if the issuer does not issue the securities due to political, economic or other factors. As of June 30, 2017, none of the Funds had entered into such transactions.
Indemnifications: Under the Funds organizational documents, the Funds officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In the normal course of business, the Funds enter into contracts that contain a variety of representations and provide general indemnifications. The Funds maximum liability exposure under these arrangements is unknown, as future claims that have not yet occurred may be made against the Funds. However, based on experience, management expects the risk of loss to be remote.
Fair Value Measurements: Each Fund has adopted Financial Accounting Standards Board (the FASB) guidance on fair value measurements. Fair value is defined as the price that each Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk (for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs used in the valuation technique). Inputs may be observable or unobservable.
Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entitys own assumptions about the assumptions market participants would use in pricing the
49 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2017
asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:
| Level 1 - unadjusted quoted prices in active markets for identical investments | |
| Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rate volatilities, prepayment speeds, credit risk, benchmark yields, transactions, bids, offers, new issues, spreads and other relationships observed in the markets among comparable securities, underlying equity of the issuer; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data, etc.) | |
| Level 3 - significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments) |
The valuation techniques used by the Funds to measure fair value for the period ended June 30, 2017 maximized the use of observable inputs and minimized the use of unobservable inputs. The Funds utilized the following fair value techniques: multi-dimensional relational pricing model and option adjusted spread pricing; the Funds estimated the price that would have prevailed in a liquid market for an international equity security given information available at the time of valuation. As of June 30, 2017, none of the Funds held securities deemed as a Level 3, and there were no transfers between classification levels.
The following is a summary of the inputs used as of June 30, 2017, in valuing the Funds investments carried at fair value (please see the Portfolio of Investments for each Fund for a listing of all securities within each category):
Quoted Prices in | Significant | ||||||||||||||
Active Markets | Other | Significant | |||||||||||||
for Identical | Observable | Unobservable | |||||||||||||
Investments | Inputs | Inputs | Value at | ||||||||||||
Fund1 | (Level 1) | (Level 2) | (Level 3) | 6/30/17 | |||||||||||
Conservative Allocation | $ | 144,378,788 | $ | | $ | | $ | 144,378,788 | |||||||
Moderate Allocation | 248,899,061 | | | 248,899,061 | |||||||||||
Aggressive Allocation | 85,279,481 | | | 85,279,481 | |||||||||||
Core Bond | |||||||||||||||
Assets: |
|||||||||||||||
Asset Backed Securities |
| 4,139,570 | | 4,139,570 | |||||||||||
Collateralized Mortgage Obligations |
| 3,913,996 | | 3,913,996 | |||||||||||
Commercial Mortgage-Backed Securities |
| 4,581,848 | | 4,581,848 | |||||||||||
Corporate Notes and Bonds |
| 56,030,876 | | 56,030,876 | |||||||||||
Long Term Municipal Bonds |
| 9,799,168 | | 9,799,168 | |||||||||||
Mortgage Backed Securities |
| 48,392,866 | | 48,392,866 | |||||||||||
U.S. Government and Agency Obligations |
| 43,132,295 | | 43,132,295 | |||||||||||
Put Options Purchased |
33,125 | | | 33,125 | |||||||||||
Short-Term Investments |
3,304,021 | | | 3,304,021 | |||||||||||
3,337,146 | 169,990,619 | | 173,327,765 | ||||||||||||
Liabilities: |
|||||||||||||||
Call Options Written |
26,875 | | | 26,875 | |||||||||||
High Income | |||||||||||||||
Corporate Notes and Bonds |
| 24,647,867 | | 24,647,867 | |||||||||||
Mutual Funds |
397,755 | | | 397,755 | |||||||||||
Short-Term Investments |
2,386,464 | | | 2,386,464 | |||||||||||
2,784,219 | 24,647,867 | | 27,432,086 |
50 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2017
Quoted Prices in | Significant | ||||||||||||||
Active Markets | Other | Significant | |||||||||||||
for Identical | Observable | Unobservable | |||||||||||||
Investments | Inputs | Inputs | Value at | ||||||||||||
Fund1 | (Level 1) | (Level 2) | (Level 3) | 6/30/17 | |||||||||||
Diversified Income | |||||||||||||||
Common Stocks |
$ | 166,118,340 | $ | | $ | | $ | 166,118,340 | |||||||
Asset Backed Securities |
| 2,441,650 | | 2,441,650 | |||||||||||
Collateralized Mortgage Obligations |
| 3,654,464 | | 3,654,464 | |||||||||||
Commercial Mortgage-Backed Securities |
| 2,454,752 | | 2,454,752 | |||||||||||
Corporate Notes and Bonds |
| 38,022,347 | | 38,022,347 | |||||||||||
Long Term Municipal Bonds |
| 7,832,361 | | 7,832,361 | |||||||||||
Mortgage Backed Securities |
| 28,135,632 | | 28,135,632 | |||||||||||
U.S. Government and Agency Obligations |
| 24,788,702 | | 24,788,702 | |||||||||||
Short-Term Investments |
5,489,553 | | | 5,489,553 | |||||||||||
171,607,893 | 107,329,908 | | 278,937,801 | ||||||||||||
Large Cap Value | |||||||||||||||
Common Stocks |
331,751,195 | | | 331,751,195 | |||||||||||
Short-Term Investments |
9,432,944 | | | 9,432,944 | |||||||||||
341,184,139 | | | 341,184,139 | ||||||||||||
Large Cap Growth | |||||||||||||||
Common Stocks | 246,048,603 | | | 246,048,603 | |||||||||||
Short-Term Investments | 7,136,340 | | | 7,136,340 | |||||||||||
253,184,943 | | | 253,184,943 | ||||||||||||
Mid Cap | |||||||||||||||
Common Stocks |
184,227,936 | | | 184,227,936 | |||||||||||
Short-Term Investments |
20,210,276 | | | 20,210,276 | |||||||||||
204,438,212 | | | 204,438,212 | ||||||||||||
International Stock | |||||||||||||||
Common Stocks |
|||||||||||||||
Australia |
| 409,184 | | 409,184 | |||||||||||
Belgium |
| 1,060,711 | | 1,060,711 | |||||||||||
Brazil |
| 414,240 | | 414,240 | |||||||||||
Canada |
| 1,760,116 | | 1,760,116 | |||||||||||
Denmark |
| 973,095 | | 973,095 | |||||||||||
Finland |
| 610,930 | | 610,930 | |||||||||||
France |
| 4,380,401 | | 4,380,401 | |||||||||||
Germany |
| 1,426,755 | | 1,426,755 | |||||||||||
Ireland |
1,435,046 | | | 1,435,046 | |||||||||||
Italy |
| 634,734 | | 634,734 | |||||||||||
Japan |
| 7,119,487 | | 7,119,487 | |||||||||||
Jersey |
| 1,924,205 | | 1,924,205 | |||||||||||
Luxembourg |
| 541,758 | | 541,758 | |||||||||||
Netherlands |
| 1,452,526 | | 1,452,526 | |||||||||||
Norway |
| 985,907 | | 985,907 | |||||||||||
Philippines |
| 10,485 | | 10,485 | |||||||||||
Singapore |
| 626,682 | | 626,682 | |||||||||||
Spain |
| 391,103 | | 391,103 | |||||||||||
Sweden |
| 1,606,682 | | 1,606,682 | |||||||||||
Switzerland |
| 1,672,158 | | 1,672,158 | |||||||||||
Taiwan |
576,840 | | | 576,840 | |||||||||||
Turkey |
297,764 | | 297,764 | ||||||||||||
United Kingdom |
904,060 | 8,444,270 | | 9,348,330 | |||||||||||
Short-Term Investments |
1,274,357 | | | 1,274,357 | |||||||||||
4,190,303 | 36,743,193 | | 40,933,496 |
1See respective portfolio of investments for underlying holdings in each fund. For additional information on the underlying funds held in the conservative, moderate and aggressive allocation funds including shareholder prospectuses and financial reports, please visit each underlying funds website or visit the securities and exchange commission website http://www.sec.gov.
51 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2017
Derivatives. The FASB issued guidance intended to enhance financial statement disclosure for derivative instruments and hedging activities and enable investors to understand: a) how and why a Fund uses derivative investments, b) how derivative instruments and related hedge fund items are accounted for, and c) how derivative instruments and related hedge items affect a Funds financial position, results of operations and cash flows.
The following table presents the types of derivatives in the Fund by location as presented on the Statement of Assets and Liabilities as of June 30, 2017:
Statement of Asset & Liability Presentation of Fair Values of Derivative Instruments | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not accounted for | Statement of Assets and | Statement of Assets and | ||||||||||
Fund | as hedging Instruments | Liabilities Location | Fair Value | Liabilities Location | Fair Value | |||||||
Investments, at value | ||||||||||||
Core Bond | Equity contracts | (Options purchased) | $33,125 | Options written, at value | $26,875 |
The following table presents the effect of derivative instruments on the Statement of Operations for the period ended June 30, 2017:
Derivatives not accounted for as | |||||||||||
Fund | hedging Instruments | Realized Gain (Loss) on Derivatives: | Change in Unrealized Depreciation on Derivatives | ||||||||
Core Bond | Equity contracts, Options purchased | $(16,298) | $ | ||||||||
Equity contracts, Options written | 15,265 | (13,870) |
Management has determined that there is no impact on the financial statements of the other Funds held in the Trust as they currently do not hold derivative financial instruments.
Recently Issued Accounting Pronouncements. In October 2016, the U.S. Securities and Exchange Commission adopted new rules and amended existing rules (together, final rules) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is reporting periods occurring after August 1, 2017. Management has evaluated the impact of the amendments and expects the adoption of final rules will be limited to additional financial statement disclosures.
3. MANAGEMENT, DISTRIBUTION AGREEMENTS AND OTHER EXPENSES
Management Agreement: For services under the Management Agreement, the Investment Adviser is entitle to receive a management fee, which is calculated daily and paid monthly, at an annual rate based upon the following percentages of average daily net assets of each Fund as follows as of June 30, 2017:
Fund | Management Fee | Fund | Management Fee | |||||
Conservative Allocation | 0.30 | % | Diversified Income | 0.70 | % | |||
Moderate Allocation | 0.30 | % | Large Cap Value | 0.60 | % | |||
Aggressive Allocation | 0.30 | % | Large Cap Growth | 0.80 | % | |||
Core Bond | 0.55 | % | Mid Cap | 0.90 | % | |||
High Income | 0.75 | % | International Stock | 1.15 | % |
The Management Agreement requires the Investment Adviser to provide or arrange to provide overall management of the Funds, including but not limited to, investment advisory services, custody, transfer agency, dividend disbursing, legal, accounting and administrative services.
The Investment Adviser is solely responsible for the payment of all fees to the Subadviser. Effective October 1, 2016, Lazard Asset Management LLC serves as the subadvisor for the International Stock Fund. The Investment Adviser manages the Core
52 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2017
Bond Fund, High Income Fund, Diversified Income Fund, Large Cap Value Fund, Large Cap Growth Fund, Mid Cap Fund and the Target Allocation Funds.
The Investment Adviser may from time to time contractually or voluntarily agree to waive a portion of its fees or expenses related to the Funds. Effective July 1, 2014, the Investment Adviser contractually agreed to waive a portion (0.10%) of its management fee of the Target Allocation Funds, which waiver is in effect until at least April 30, 2018. For the period ended June 30, 2017, the waivers were as follows:
Waived Fees or Expenses* | |||||||||
|
|||||||||
Fund | Class I | Class II | Total Waivers | ||||||
Conservative Allocation | $ | 58,209 | $ | 14,936 | $ | 73,145 | |||
Moderate Allocation | 112,522 | 13,893 | 126,415 | ||||||
Aggressive Allocation | 43,249 | 1,026 | 44,275 |
*The Investment Adviser does not have the right to recoup these waived fees.
Distribution Agreement: MFD Distributor, LLC (MFD) serves as distributor of the Funds. The Trust adopted a distribution and service plan with respect to the Trusts Class II shares pursuant to Rule 12b-1 under the 1940 Act. Under the plan, the Trust will pay a service fee with regard to Class II shares at an annual rate of 0.25% each Funds daily net assets.
MFD may from time to time voluntarily agree to waive a portion of its fees or expenses related to the Funds. MFD does not have the right to recoup these waived fees.
Other Expenses: In addition to the management fee noted above, the Trust is responsible to pay the following expenses: expenses for independent audits; fees and expenses of the independent trustees and their independent counsel; brokerage commissions and other expenses incurred in the acquisition or disposition of any securities or other investments; costs of borrowing money, overdrafts (if any) and any potential taxes owed; and extraordinary expenses (including litigation and/or and consulting expenses) as approved by a majority of the independent trustees.
Audit and trustees fees are broken out separately from other expenses on the Statement of Operations.
Certain officers and trustees of the Trust are also officers of the Investment Adviser. The Funds do not compensate their officers or affiliated trustees. The Nominating and Governance Committee of the Board may change trustee fees paid at any time.
4. DIVIDENDS FROM NET INCOME AND DISTRIBUTIONS OF CAPITAL GAINS
The Funds declare dividends from net investment income and net realized gains from investment transactions, if any, annually, which are reinvested in additional full and fractional shares of the respective Funds.
Income and capital gain distributions, if any, are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. Taxable distributions from income and realized capital gains of the Funds may differ from book amounts earned during the period due to differences in the timing of capital gains recognition, and due to the reclassification of certain gains or losses from capital to income.
53 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2017
5. SECURITIES TRANSACTIONS
For the period ended June 30, 2017, aggregate cost of purchases and proceeds from sales of securities, other than short-term investment, were as follows:
U.S. Government Securities | Other Investment Securities | ||||||||||||||
Fund | Purchases | Sales | Purchases | Sales | |||||||||||
Conservative Allocation | $ | | $ | | $ | 35,638,076 | $ | 53,756,417 | |||||||
Moderate Allocation | | | 52,102,021 | 90,369,157 | |||||||||||
Aggressive Allocation | | | 16,128,400 | 30,197,982 | |||||||||||
Core Bond | 6,350,404 | 11,802,631 | 6,452,378 | 9,041,122 | |||||||||||
High Income | | | 5,000,406 | 4,636,880 | |||||||||||
Diversified Income | 3,350,617 | 12,047,121 | 21,354,186 | 27,637,270 | |||||||||||
Large Cap Value | | | 136,122,941 | 161,803,124 | |||||||||||
Large Cap Growth | | | 13,082,191 | 29,180,198 | |||||||||||
Mid Cap | | | 18,964,447 | 44,253,473 | |||||||||||
International Stock | | | 6,833,846 | 8,980,165 |
6. FUTURES CONTRACTS AND OPTIONS ON FUTURES CONTRACTS
The Core Bond Fund may purchase and sell futures contracts and purchase and write options on futures contracts on a limited basis. The Fund may purchase and sell futures contracts based on various securities (such as U.S. Government securities), securities indices, foreign currencies and other financial instruments and indices. The Fund will engage in futures or related options transactions on a limited basis only for bona fide hedging purposes or for purposes of seeking to increase total returns to the extent permitted by regulations of the Commodity Futures Trading Commission.
Futures Contracts. The Core Bond Fund may use futures contracts to manage its exposure to the securities markets or to movements in interest rates and currency values. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the securities held by the Fund and the prices of futures contracts and the possibility of an illiquid market. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to deposit with its futures broker an amount of cash, U.S. Government and Agency Obligations, or other assets, in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and based on such movements in the price of the contracts, an appropriate payable or receivable for the change in value may be posted or collected by the Fund (variation margin). Gains or losses are recognized but not considered realized until the contracts expire or close. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed within exchange traded or centrally cleared financial derivative instruments on the Statement of Assets and Liabilities.
Options on Futures Contracts. The acquisition of put and call options on futures contracts will give the Core Bond Fund the right (but not the obligation) for a specified price, to sell or to purchase, respectively, the underlying futures contract at any time during the option period. As the purchaser of an option on a futures contract, the Fund obtains the benefit of the futures position if prices move in a favorable direction but limits its risk of loss in the event of an unfavorable price movement to the loss of the premium and transaction costs.
The writing of a call option on a futures contract generates a premium which may partially offset a decline in the value of the Funds assets. By writing a call option, the Fund becomes obligated, in exchange for the premium, to sell a futures contract which may have a value higher than the exercise price. Conversely, the writing of a put option on a futures contract generates a premium, which may partially offset an increase in the price of securities that the Fund intends to purchase. However, the Fund becomes obligated to purchase a futures contract, which may have a value lower than the exercise price. Thus, the loss incurred by the Fund in writing options on futures is potentially unlimited and may exceed the amount of the premium received.
54 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2017
Transactions in written option contracts for Core Bond Fund during the period ended June 30, 2017, were as follows:
Number of Contracts | Premiums Received | ||||||||||||||||
Options outstanding, beginning of period | | $ | | ||||||||||||||
Options written during the period | 120 | 54,640 | |||||||||||||||
Options closed during the period | (40 | ) | (27,380 | ) | |||||||||||||
Options exercised during the period | | | |||||||||||||||
Options expired during the period | (40 | ) | (14,255 | ) | |||||||||||||
Options outstanding, end of period | 40 | $ | 13,005 | ||||||||||||||
7. FOREIGN SECURITIES
Each Fund may invest in foreign securities. Foreign securities are defined as securities that are: (i) issued by companies organized outside the U.S. or whose principal operations are outside the U.S., or issued by foreign governments or their agencies or instrumentalities (foreign issuers); (ii) principally traded outside of the U.S.; and/or (iii) quoted or denominated in a foreign currency (non-dollar securities). Foreign securities include American Depositary Receipts (ADRs), European Depositary Receipts (EDRs), Global Depositary Receipts (GDRs), Swedish Depositary Receipts (SDRs) and foreign money market securities. U.S. dollar-denominated securities that are part of the Merrill Lynch U.S. Domestic Master Index are not considered a foreign security.
Certain of the Funds have reclaimed receivable balances, in which the Funds are due a reclaim on the taxes that have been paid to some foreign jurisdictions. The values of all reclaims are not significant for any of the Funds and are reflected in Other Assets on the Statements of Assets and Liabilities. These receivables are reviewed to ensure the current receivable balance is reflective of the amount deemed to be collectable.
8. SECURITIES LENDING
Each Fund, except the Target Allocation Funds, entered into a Securities Lending Agreement (the Agreement) with State Street Bank and Trust Company (State Street). Under the terms of the Agreement, the Funds may lend portfolio securities to qualified borrowers in order to earn additional income. The Agreement requires that loans are collateralized at all times by cash or other liquid assets at least equal to 102% of the value of the securities, which is determined on a daily basis. Amounts earned as interest on investments of cash collateral, net of rebates and fees, if any, are included in the Statements of Operations. The primary risk associated with securities lending is if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Funds could experience delays and costs in recovering securities loaned or in gaining access to collateral.
The Funds did not engage in any securities lending activity during the period ended June 30, 2017.
9. FEDERAL INCOME TAX INFORMATION
It is each Funds policy to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986 applicable to regulated investment companies and to distribute all its taxable income to its shareholders. Accordingly, no provisions for federal income taxes are recorded in the accompanying statements.
The Funds have not recorded any liabilities for material unrecognized tax benefits as of June 30, 2017. It is each Funds policy to recognize accrued interest and penalties related to uncertain tax benefits in income taxes, as appropriate. Tax years that remain open to examination by major tax jurisdictions include tax years ended December 31, 2013 through December 31, 2016.
55 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2017
For federal income tax purposes, the Funds listed below have capital loss carryforwards as of December 31, 2016, which are available to offset future capital gains, if any, realized through the fiscal year listed:
No Expiration Date | No Expiration Date | |||||||||||||||||||
Fund | 2017 | 2018 | 2019 | Short Term | Long Term | |||||||||||||||
Core Bond | $ | 2,357,684 | $ | 346,309 | $ | | $ | | $ | | ||||||||||
High Income | 4,641,635 | | | | 235,083 | |||||||||||||||
International Stock | 1,312,565 | 1,312,565 | | 725,841 | 5,641,743 |
The capital loss carryover for the International Stock Fund is subject to certain limitations upon availability, to offset future gains, pursuant to Section 382 of the Internal Revenue Code.
At June 30, 2017, the aggregate gross unrealized appreciation (depreciation) and net unrealized appreciation (depreciation) for all securities as computed on a federal income tax basis for each Fund were as follow:
Fund | Appreciation | Depreciation | Net | |||||||||
Conservative Allocation | $ | 7,824,793 | $ | (125,130 | ) | $ | 7,699,663 | |||||
Moderate Allocation | 25,441,789 | (81,011 | ) | 25,360,778 | ||||||||
Aggressive Allocation | 11,746,677 | (108,860 | ) | 11,637,817 | ||||||||
Core Bond | 6,566,878 | (1,031,910 | ) | 5,534,968 | ||||||||
High Income | 1,009,094 | (155,397 | ) | 853,697 | ||||||||
Diversified Income | 54,371,728 | (2,037,339 | ) | 52,334,389 | ||||||||
Large Cap Value | 53,203,054 | (4,287,077 | ) | 48,915,977 | ||||||||
Large Cap Growth | 101,697,123 | (2,214,947 | ) | 99,482,176 | ||||||||
Mid Cap | 75,381,558 | (1,705,404 | ) | 73,676,154 | ||||||||
International Stock | 4,099,955 | (775,005 | ) | 3,324,950 |
The differences between the book unrealized amounts reflected in the Statement of Assets and Liabilities and tax unrealized amounts (shown above) are due to the tax deferral of losses on wash sales.
10. CONCENTRATION OF RISKS
Investing in certain financial instruments, including forward foreign currency contracts, involves certain risks. Risks associated with these instruments include potential for an illiquid secondary market for the instruments or inability of counterparties to perform under the terms of the contracts, changes in the value of foreign currency relative to the U.S. dollar and volatility resulting from an imperfect correlation between the movements in the prices of the instruments and the prices of the underlying securities and interest rates being hedged. The International Stock Fund may enter into these contracts primarily to protect the Fund from adverse currency movements.
Investing in foreign securities involves certain risks not necessarily found in U.S. markets. These include risks associated with adverse changes in economic, political, regulatory and other conditions, changes in currency exchange rates, exchange control regulations, expropriation of assets or nationalization, imposition of withholding taxes on dividend or interest payments or capital gains, and possible difficulty in obtaining and enforcing judgments against foreign entities. Further, issuers of foreign securities are subject to different, and often less comprehensive, accounting, reporting and disclosure requirements than domestic issuers.
The Core Bond Fund is subject to derivatives risk. The risk that loss may result from investments in options, forwards, futures, swaps and other derivatives instruments. These instruments may be illiquid, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the fund. Derivatives are also subject to counterparty risk, which is the risk that the other party to the transaction will not fulfill its contractual obligations. In December 2015, the SEC proposed new regulations relating to a mutual funds use of derivatives and related instruments. If
56 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - continued | June 30, 2017
these or other regulations are adopted, they could significantly limit or impact a funds ability to invest in derivatives or other instruments and adversely affect such funds performance and ability to pursue its investment objective.
The High Income Fund invests in securities offering high current income which generally will include bonds in the below investment grade categories of recognized rating agencies (so-called junk bonds). These securities generally involve more credit risk than securities in the higher rating categories. In addition, the trading market for high yield securities may be relatively less liquid than the market for higher-rated securities. The Fund generally invests at least 80% of its net assets in high yield securities.
The Target Allocation Funds are fund of funds, meaning that each invests primarily in Underlying Funds, including ETFs. Thus, each Funds investment performance and its ability to achieve its investment goal are directly related to the performance of the Underlying Funds in which it invests; and the Underlying Funds performance, in turn, depends on the particular securities in which that Underlying Fund invests and the expenses of that Fund. Accordingly, the Allocation Funds are subject to the risks of the Underlying Funds in direct proportion to the allocation of their respective assets among the Underlying Funds.
Additionally, the Target Allocation Funds are subject to asset allocation risk and manager risk. Manager risk (i.e., fund selection risk) is the risk that the Underlying Fund(s) selected to fulfill a particular asset class underperforms their peers. Asset allocation risk is the risk that the allocation of the Funds assets among the various asset classes and market segments will cause the Fund to underperform other funds with a similar investment objective.
The Funds may be subject to interest rate risk which is the risk that the value of your investment will fluctuate with changes in interest rates. Typically, a rise in interest rates causes a decline in the market value of income-bearing securities. When interest rates rise, bond prices fall; generally the longer a bonds maturity, the more sensitive it is to risk. Federal Reserve policy changes may expose fixed-income and related markets to heightened volatility and may reduce liquidity for certain fund investments, which could cause the value of a funds investments and share price to decline. The Core Bond may invest in derivatives tied to fixed-income markets and may be more substantially exposed to these risks than a fund that does not invest in derivatives.
The Funds are also subject to cybersecurity risk, which include the risks associated with computer systems, networks and devices to carry out routine business operations. These systems, networks and devices employ a variety of protections that are designed to prevent cyberattacks. Despite the various cyber protections utilized by the Funds, the Investment Adviser, and other service providers, their systems, networks, or devices could potentially be breached. The Funds, their shareholders, and the Investment Adviser could be negatively impacted as a result of a cybersecurity breach. The Funds cannot control the cybersecurity plans and systems put in place by service providers or any other third parties whose operations may affect the Funds. The Funds do monitor this risk closely.
In addition to the other risks described above in the prospectus, you should understand what we refer to as unknown market risks. While investments in securities have been keystones in wealth building and management, at times these investments have produced surprises. Those who enjoyed growth and income of their investments generally were rewarded for the risks they took by investing in the markets. Although the Investment Adviser seeks to appropriately address and manage the risks identified and disclosed to you in connection with the management of the securities in the Funds, you should understand that the very nature of the securities markets includes the possibility that there may be additional risks of which we are not aware. We certainly seek to identify all applicable risks and then appropriately address them, take appropriate action to reasonably manage them and to make you aware of them so you can determine if they exceed your risk tolerance. Nevertheless, the often volatile nature of the securities markets and the global economy in which we work suggests that the risk of the unknown is something to consider in connection with an investment in securities. Unforeseen events could under certain circumstances produce a material loss of the value of some or all of the securities we manage for you in the Funds.
57 |
Ultra Series Fund | Notes to Financial Statements (unaudited) - concluded | June 30, 2017
11. CAPITAL SHARES AND AFFILIATED OWNERSHIP
All capital shares outstanding at June 30, 2017, are owned by separate investment accounts and/or pension plans of CMFG Life Insurance Company.
The Target Allocation Funds invest in Underlying Funds, of which may be deemed to be under common control because of the same or affiliated investment adviser and membership in a common family of investment companies (the Affiliated Underlying Funds). Madison Funds historical financial information is available to you at no cost on the Securities and Exchange Commissions website at www.sec.gov, by calling 1-800-877-6089 or by visiting the Madison Funds website at www.madisonfunds.com. A summary of the transactions with each Affiliated Underlying Fund during the period ended June 30, 2017 follows:
Balance of | Balance of | |||||||||||||||||||||||||||
Shares | Shares | |||||||||||||||||||||||||||
Held at | Gross | Gross | Held at | Value at | Realized | Distributions | ||||||||||||||||||||||
Fund/Underlying Fund | 12/31/16 | Additions | Sales | 6/30/17 | 6/30/17 | Gain (Loss) | Received1 | |||||||||||||||||||||
Conservative Allocation Fund | ||||||||||||||||||||||||||||
Madison Core Bond Fund Class Y | 3,716,264 | | (206,139 | ) | 3,510,125 | $ | 35,066,148 | $ | (51,511 | ) | $ | 456,476 | ||||||||||||||||
Madison Corporate Bond Fund Class Y | 1,017,856 | | (131,005 | ) | 886,851 | 10,260,870 | 37,991 | 163,548 | ||||||||||||||||||||
Madison Dividend Income Fund Class Y | 532,539 | 2,104 | (127,853 | ) | 406,790 | 10,015,167 | 212,367 | 94,789 | ||||||||||||||||||||
Madison Investors Fund Class Y | 512,889 | | (47,687 | ) | 465,202 | 10,173,959 | 26,252 | | ||||||||||||||||||||
Madison Large Cap Value Fund Class Y | 47,728 | | (47,728 | ) | | | (487 | ) | | |||||||||||||||||||
Madison Mid Cap Fund Class Y | 468,217 | | (156,884 | ) | 311,333 | 2,907,847 | 162,571 | | ||||||||||||||||||||
Totals | $ | 68,423,991 | $ | 387,183 | $ | 714,813 | ||||||||||||||||||||||
Moderate Allocation Fund | ||||||||||||||||||||||||||||
Madison Core Bond Fund Class Y | 4,549,746 | | (231,389 | ) | 4,318,357 | $ | 43,140,391 | $ | (62,238 | ) | $ | 562,360 | ||||||||||||||||
Madison Corporate Bond Fund Class Y | 481,207 | | (43,668 | ) | 437,539 | 5,062,324 | (3,453 | ) | 78,878 | |||||||||||||||||||
Madison Dividend Income Fund Class Y | 1,221,753 | 5,582 | (101,253 | ) | 1,126,082 | 27,724,139 | 68,332 | 256,618 | ||||||||||||||||||||
Madison Investors Fund Class Y | 1,458,799 | | (177,747 | ) | 1,281,052 | 28,016,616 | 12,250 | | ||||||||||||||||||||
Madison Large Cap Value Fund Class Y | 766,876 | | (234,983 | ) | 531,893 | 7,808,191 | (60,312 | ) | | |||||||||||||||||||
Madison Mid Cap Fund Class Y | 1,206,267 | | (395,821 | ) | 810,446 | 7,569,563 | 423,594 | | ||||||||||||||||||||
Totals | $ | 119,321,224 | $ | 378,173 | $ | 897,856 | ||||||||||||||||||||||
Aggressive Allocation Fund | ||||||||||||||||||||||||||||
Madison Core Bond Fund Class Y | 881,077 | 55,499 | (95,573 | ) | 841,003 | $ | 8,401,620 | $ | (26,690 | ) | $ | 112,754 | ||||||||||||||||
Madison Dividend Income Fund Class Y | 503,222 | 2,386 | (54,721 | ) | 450,887 | 11,100,836 | 94,080 | 106,358 | ||||||||||||||||||||
Madison Investors Fund Class Y | 583,972 | | (69,475 | ) | 514,497 | 11,252,054 | (10,433 | ) | | |||||||||||||||||||
Madison Large Cap Value Fund Class Y | 332,277 | | (41,550 | ) | 290,727 | 4,267,869 | (9,184 | ) | | |||||||||||||||||||
Madison Mid Cap Fund Class Y | 591,687 | | (131,825 | ) | 459,862 | 4,295,108 | 136,219 | | ||||||||||||||||||||
Totals | $ | 39,317,487 | $ | 183,992 | $ | 219,112 |
1Distributions received include distributions from net investment income and from capital gains from the underlying funds.
12. SUBSEQUENT EVENTS
All Matters
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were available for issue. No other events have taken place that meet the definition of subsequent event that require adjustment to, or disclosure in the financial statements.
58 |
Ultra Series Fund | June 30, 2017 |
Other Information (unaudited) |
FUND EXPENSES PAID BY SHAREHOLDERS
As a shareholder of the Funds, you pay no transaction costs, but do incur ongoing costs which include management fees; disinterested trustee fees and expenses; brokerage commissions and other expenses incurred in connection with the acquisition or disposition of investments; costs of borrowing money; expenses for independent audits, taxes, and extraordinary expenses as approved by a majority of the disinterested trustees. The examples in the table that follows are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples below are based on an investment of $1,000 invested for the six-month period ended June 30, 2017. Expenses paid during the period in the table below are equal to each Funds annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half fiscal year period).
Actual Expenses
The table below provides information about actual account values using actual expenses and actual returns for the Funds. You may use the information in this table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table for the Fund you own under the heading entitled Actual to estimate the expenses you paid on your account during this period.
CLASS I | CLASS II | ||||||||||||||||||||||||||||
Beginning | Ending | Annual | Expenses | Ending | Annual | Expenses | |||||||||||||||||||||||
Account | Account | Expense | Paid During | Account | Expense | Paid During | |||||||||||||||||||||||
Fund | Value | Value | Ratio | Period | Value | Ratio | Period | ||||||||||||||||||||||
Conservative Allocation* | $ | 1,000 | $ | 1,051.90 | 0.22 | % | $ | 1.12 | $ | 1,050.60 | 0.47 | % | $ | 2.39 | |||||||||||||||
Moderate Allocation* | 1,000 | 1,072.20 | 0.22 | % | 1.13 | 1,070.90 | 0.47 | % | 2.41 | ||||||||||||||||||||
Aggressive Allocation* | 1,000 | 1,088.20 | 0.22 | % | 1.14 | 1,086.90 | 0.47 | % | 2.43 | ||||||||||||||||||||
Core Bond | 1,000 | 1,020.60 | 0.57 | % | 2.86 | 1,019.30 | 0.82 | % | 4.11 | ||||||||||||||||||||
High Income | 1,000 | 1,042.90 | 0.77 | % | 3.90 | 1,041.60 | 1.02 | % | 5.16 | ||||||||||||||||||||
Diversified Income | 1,000 | 1,051.40 | 0.72 | % | 3.66 | 1,050.10 | 0.97 | % | 4.93 | ||||||||||||||||||||
Large Cap Value | 1,000 | 1,046.00 | 0.62 | % | 3.15 | 1,044.70 | 0.87 | % | 4.41 | ||||||||||||||||||||
Large Cap Growth | 1,000 | 1,109.90 | 0.82 | % | 4.29 | 1,108.50 | 1.07 | % | 5.59 | ||||||||||||||||||||
Mid Cap | 1,000 | 1,054.50 | 0.92 | % | 4.69 | 1,053.20 | 1.17 | % | 5.96 | ||||||||||||||||||||
International Stock | 1,000 | 1,118.20 | 1.17 | % | 6.14 | 1,116.80 | 1.42 | % | 7.45 |
* The annual expense ratio does not include the expenses of the underlying funds.
59 |
Ultra Series Fund | Other Information (unaudited) - continued | June 30, 2017
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the Funds actual returns. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare the 5% hypothetical example of the Funds you own with the 5% hypothetical examples that appear in the shareholder reports of other similar funds.
CLASS I | CLASS II | |||||||||||||||||||||||||||
Beginning | Ending | Annual | Expenses | Ending | Annual | Expenses | ||||||||||||||||||||||
Account | Account | Expense | Paid During | Account | Expense | Paid During | ||||||||||||||||||||||
Fund | Value | Value | Ratio | Period | Value | Ratio | Period | |||||||||||||||||||||
Conservative Allocation* | $ | 1,000 | $ | 1,023.70 | 0.22 | % | $ | 1.10 | $ | 1,022.46 | 0.47 | % | $ | 2.36 | ||||||||||||||
Moderate Allocation* | 1,000 | 1,023.70 | 0.22 | % | 1.10 | 1,022.46 | 0.47 | % | 2.36 | |||||||||||||||||||
Aggressive Allocation* | 1,000 | 1,023.70 | 0.22 | % | 1.10 | 1,022.46 | 0.47 | % | 2.36 | |||||||||||||||||||
Core Bond | 1,000 | 1,021.97 | 0.57 | % | 2.86 | 1,020.73 | 0.82 | % | 4.11 | |||||||||||||||||||
High Income | 1,000 | 1,020.98 | 0.77 | % | 3.86 | 1,019.74 | 1.02 | % | 5.11 | |||||||||||||||||||
Diversified Income | 1,000 | 1,021.22 | 0.72 | % | 3.61 | 1,019.98 | 0.97 | % | 4.86 | |||||||||||||||||||
Large Cap Value | 1,000 | 1,021.72 | 0.62 | % | 3.11 | 1,020.48 | 0.87 | % | 4.36 | |||||||||||||||||||
Large Cap Growth | 1,000 | 1,020.73 | 0.82 | % | 4.11 | 1,019.49 | 1.07 | % | 5.36 | |||||||||||||||||||
Mid Cap | 1,000 | 1,020.23 | 0.92 | % | 4.61 | 1,018.99 | 1.17 | % | 5.86 | |||||||||||||||||||
International Stock | 1,000 | 1,018.99 | 1.17 | % | 5.86 | 1,017.75 | 1.42 | % | 7.10 |
* The annual expense ratio does not include the expenses of the underlying funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any separate account fees, charges, or expenses imposed by the variable annuity or variable life insurance contracts, or retirement and pension plans that use the Funds. The information provided in the hypothetical example table is useful in comparing ongoing Fund costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these fees, charges or expenses were included, your costs would have been higher.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available to shareholders at no cost on the SECs website at www.sec.gov. Form N-Q may also be reviewed and copied at the Commissions Public Reference Room in Washington, DC. More information on the operation of the Public Reference Room may be obtained by calling 1-202-551-8090. Form N-Q and other information about the Trust are available on the EDGAR database on the SECs Internet site at www.sec.gov. Copies of this information may also be obtained, upon payment of a duplicating fee, by electronic request at the following email address: publicinfo@sec.gov, or by writing the SECs Public Reference Section, Washington, DC 20549-0102
PROXY VOTING POLICIES, PROCEDURES AND RECORDS
A description of the policies and procedures used by the Trust to vote proxies related to portfolio securities is available to shareholders at no cost on the SECs website at www.sec.gov and is also located in the Funds Statement of Additional Information. The proxy voting records for the Trust for the most recent twelve-month period ended June 30 are available to shareholders at no cost on the SECs website at www.sec.gov.
60 |
Ultra Series Fund | Other Information (unaudited) - concluded | June 30, 2017
FORWARD-LOOKING STATEMENT DISCLOSURE
One of our most important responsibilities as investment company managers is to communicate with shareholders in an open and direct manner. Some of our comments in the Economic Overview and Market Outlook are based on current management expectations and are considered forward-looking statements. Actual future results, however, may prove to be different from our expectations. You can identify forward-looking statements by words such as estimate, may, will, expect, believe, plan and other similar terms. We cannot promise future returns. Our opinions are a reflection of our best judgment at the time this report is compiled, and we disclaim any obligation to update or after forward-looking statements as a result of new information, future events, or otherwise.
SEC File Number: 811-04815
61 |
Semi-annual Report |
June 30, 2017 |
Ultra Series Madison Target Retirement 2020 Fund |
Ultra Series Madison Target Retirement 2030 Fund |
Ultra Series Madison Target Retirement 2040 Fund |
Ultra Series Madison Target Retirement 2050 Fund |
Ultra Series Fund | Other Information (unaudited) - continued | June 30, 2017
APPENDIX A: GOLDMAN SACHS FUNDS: GOLDMAN SACHS TARGET DATE PORTFOLIOS SCHEDULES OF INVESTMENTS - Target Date Funds (unaudited) – June 30, 2017
Goldman Sachs Target Date 2020 Portfolio Schedule of Investments1 | |||||
Shares | Value | ||||
EXCHANGE TRADED FUNDS - 90.9% | |||||
Alternative Funds 1.5% | |||||
PowerShares DB Gold Fund* | 13,290 | $ | 526,683 | ||
PowerShares Optimum Yield Diversified Commodity Strategy No K-1 Portfolio | 16,849 | 265,877 | |||
792,560 | |||||
Bond Funds 60.8% | |||||
iShares 20+ Year Treasury Bond ETF | 12,665 | 1,584,645 | |||
iShares 7-10 Year Treasury Bond ETF | 44,579 | 4,752,567 | |||
Schwab Intermediate-Term U.S. Treasury ETF | 176,122 | 9,505,304 | |||
Schwab U.S. TIPS ETF | 71,855 | 3,956,336 | |||
Vanguard Long-Term Corporate Bond ETF | 25,445 | 2,374,019 | |||
Vanguard Short-Term Corporate Bond ETF | 118,762 | 9,505,711 | |||
Vanguard Short-Term Inflation-Protected Securities ETF | 5,374 | 264,562 | |||
31,943,144 | |||||
Foreign Stock Funds – 10.3% | |||||
iShares Edge MSCI Minimum Volatility EAFE ETF | 15,273 | 1,057,503 | |||
iShares Edge MSCI Minimum Volatility Emerging Markets ETF | 9,515 | 527,131 | |||
Vanguard FTSE All-World ex-U.S. ETF | 42,248 | 2,113,667 | |||
Vanguard FTSE Europe ETF | 23,971 | 1,321,761 | |||
WisdomTree Japan Hedged Equity Fund | 7,633 | 396,916 | |||
5,416,978 | |||||
Stock Funds – 18.3% | |||||
iShares Core S&P 500 ETF | 21,654 | 5,270,800 | |||
iShares Core S&P Mid-Cap ETF | 9,080 | 1,579,466 | |||
PowerShares S&P 500 Quality Portfolio | 18,987 | 530,877 | |||
Schwab U.S. Dividend Equity ETF | 8,801 | 396,925 | |||
Vanguard Financials ETF | 12,659 | 791,820 | |||
Vanguard Growth ETF | 4,162 | 528,741 | |||
Vanguard Health Care ETF | 1,779 | 262,171 | |||
Vanguard Information Technology ETF | 1,880 | 264,779 | |||
9,625,579 | |||||
TOTAL EXCHANGE TRADED FUNDS (Cost $45,423,792) | 47,778,261 | ||||
INVESTMENT COMPANIES – 4.5% | |||||
RidgeWorth Seix Floating Rate High Income Fund | 242,652 | 2,113,502 | |||
Schwab Fundamental U.S. Large Company Index Fund Institutional Shares | 16,534 | 263,549 | |||
TOTAL INVESTMENT COMPANIES (Cost $2,385,613) | 2,377,051 | ||||
TOTAL INVESTMENTS 95.4% (Cost $47,809,405) | 50,155,312 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES 4.6% | 2,443,015 | ||||
NET ASSETS 100.0% | $ | 52,598,327 | |||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | |||||
1 | Reported on a cash basis and therefore may not include unsettled shareholder trades from the feeder fund. For additional information on the underlying funds, including shareholder prospectuses and financial reports, please visit each underlying fund’s website or visit the Securities and Exchange Commission’s website at http://www.sec.gov | ||||
* | Non-income producing security. | ||||
Investment Abbreviations: | |||||
ETF | Exchange Traded Fund. | ||||
TIPS | Treasury Inflation Protected Securities |
Goldman Sachs Target Date 2030 Portfolio Schedule of Investments1 | |||||
Shares | Value | ||||
EXCHANGE TRADED FUNDS 92.7% | |||||
Alternative Funds – 2.0% | |||||
PowerShares DB Gold Fund* | 28,959 | $ | 1,147,645 | ||
PowerShares Optimum Yield Diversified Commodity Strategy No K-1 Portfolio | 24,625 | 388,583 | |||
1,536,228 | |||||
Bond Funds 34.6% | |||||
iShares 20+ Year Treasury Bond ETF | 18,357 | 2,296,828 | |||
iShares 7-10 Year Treasury Bond ETF | 50,257 | 5,357,899 | |||
Schwab Intermediate-Term U.S. Treasury ETF | 148,914 | 8,036,889 | |||
Schwab U.S. TIPS ETF | 55,547 | 3,058,418 | |||
Vanguard Long-Term Corporate Bond ETF | 12,280 | 1,145,724 | |||
Vanguard Short-Term Corporate Bond ETF | 81,288 | 6,506,291 | |||
26,402,049 | |||||
Foreign Stock Funds 20.1% | |||||
iShares Edge MSCI Minimum Volatility EAFE ETF | 44,274 | 3,065,532 | |||
iShares Edge MSCI Minimum Volatility Emerging Markets ETF | 31,032 | 1,719,173 | |||
Vanguard FTSE All-World ex-U.S. ETF | 114,810 | 5,743,944 | |||
Vanguard FTSE Europe ETF | 66,032 | 3,641,004 | |||
WisdomTree Japan Hedged Equity Fund | 22,126 | 1,150,552 | |||
15,320,205 | |||||
Stock Funds - 36.0% | |||||
iShares Core S&P 500 ETF | 69,121 | 16,824,743 | |||
iShares Core S&P Mid-Cap ETF | 26,323 | 4,578,886 | |||
PowerShares S&P 500 Quality Portfolio | 41,193 | 1,151,756 | |||
Schwab U.S. Dividend Equity ETF | 29,703 | 1,339,605 | |||
SPDR S&P Homebuilders ETF | 9,992 | 384,992 | |||
Vanguard Financials ETF | 21,361 | 1,336,131 | |||
Vanguard Growth ETF | 7,525 | 955,976 | |||
Vanguard Health Care ETF | 3,868 | 570,027 | |||
Vanguard Information Technology ETF | 2,697 | 379,845 | |||
27,521,961 | |||||
TOTAL EXCHANGE TRADED FUNDS (Cost $65,173,042) | 70,780,443 | ||||
INVESTMENT COMPANIES - 2.5% | |||||
RidgeWorth Seix Floating Rate High Income Fund | 175,857 | 1,531,713 | |||
Schwab Fundamental U.S. Large Company Index Fund Institutional Shares | 24,037 | 383,152 | |||
TOTAL INVESTMENT COMPANIES (Cost $1,861,203) | 1,914,865 | ||||
TOTAL INVESTMENTS - 95.2% (Cost $67,034,245) | 72,695,308 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.8% | 3,632,987 | ||||
NET ASSETS - 100.0% | $ | 76,328,295 | |||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | |||||
1 | Reported on a cash basis and therefore may not include unsettled shareholder trades from the feeder fund. For additional information on the underlying funds, including shareholder prospectuses and financial reports, please visit each underlying fund’s website or visit the Securities and Exchange Commission’s website at http://www.sec.gov | ||||
* | Non-income producing security. | ||||
Investment Abbreviations: | |||||
ETF | Exchange Traded Fund. | ||||
TIPS | Treasury Inflation Protected Securities |
16 |
Ultra Series Fund | Other Information (unaudited) - continued | June 30, 2017
APPENDIX A: MADISON FUNDS: MADISON TARGET DATE FUNDS PORTFOLIOS OF INVESTMENTS - Master Funds (unaudited) - June 30, 2017 - continued
Goldman Sachs Target Date 2040 Portfolio Schedule of Investments1 | |||||
Shares | Value | ||||
EXCHANGE TRADED FUNDS - 93.9% | |||||
Alternative Funds - 2.0% | |||||
PowerShares DB Gold Fund* | 19,122 | $ | 757,805 | ||
PowerShares Optimum Yield Diversified Commodity Strategy No K-1 Portfolio | 16,126 | 254,468 | |||
1,012,273 | |||||
Bond Funds - 25.6% | |||||
iShares 20+ Year Treasury Bond ETF | 12,122 | 1,516,705 | |||
iShares 7-10 Year Treasury Bond ETF | 28,445 | 3,032,522 | |||
Schwab Intermediate-Term U.S. Treasury ETF | 79,602 | 4,296,120 | |||
Schwab U.S. TIPS ETF | 18,340 | 1,009,800 | |||
Vanguard Long-Term Corporate Bond ETF | 2,703 | 252,190 | |||
Vanguard Short-Term Corporate Bond ETF | 34,732 | 2,779,949 | |||
12,887,286 | |||||
Foreign Stock Funds - 23.6% | |||||
iShares Edge MSCI Minimum Volatility EAFE ETF | 29,235 | 2,024,231 | |||
iShares Edge MSCI Minimum Volatility Emerging Markets ETF | 25,045 | 1,387,493 | |||
Vanguard FTSE All-World ex-U.S. ETF | 85,920 | 4,298,578 | |||
Vanguard FTSE Europe ETF | 57,372 | 3,163,492 | |||
WisdomTree Japan Hedged Equity Fund | 19,481 | 1,013,012 | |||
11,886,806 | |||||
Stock Funds - 42.7% | |||||
iShares Core S&P 500 ETF † | 51,866 | 12,624,703 | |||
iShares Core S&P Mid-Cap ETF | 20,279 | 3,527,532 | |||
PowerShares S&P 500 Quality Portfolio | 36,238 | 1,013,214 | |||
Schwab U.S. Dividend Equity ETF | 25,197 | 1,136,385 | |||
SPDR S&P Homebuilders ETF | 6,601 | 254,337 | |||
Vanguard Financials ETF | 16,170 | 1,011,433 | |||
Vanguard Growth ETF | 6,940 | 881,658 | |||
Vanguard Health Care ETF | 4,287 | 631,775 | |||
Vanguard Information Technology ETF | 2,691 | 379,000 | |||
21,460,037 | |||||
TOTAL EXCHANGE TRADED FUNDS (Cost $42,885,634) | 47,246,402 | ||||
INVESTMENT COMPANIES - 1.5% | |||||
RidgeWorth Seix Floating Rate High Income Fund | 57,790 | 503,351 | |||
Schwab Fundamental U.S. Large Company Index Fund Institutional Shares | 15,720 | 250,575 | |||
TOTAL INVESTMENT COMPANIES (Cost $649,779) | 753,926 | ||||
TOTAL INVESTMENTS - 95.4% (Cost $43,535,413) | 48,000,328 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.6% | 2,327,898 | ||||
NET ASSETS - 100.0% | $ | 50,328,226 | |||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | |||||
1 | Reported on a cash basis and therefore may not include unsettled shareholder trades from the feeder fund. For additional information on the underlying funds, including shareholder prospectuses and financial reports, please visit each underlying fund’s website or visit the Securities and Exchange Commission’s website at http://www.sec.gov | ||||
* | Non-income producing security. | ||||
† | The annual report and prospectus for the iShares Core S&P 500 ETF Trust can be found at https://www.ishares.com/us/library | ||||
Investment Abbreviations: | |||||
ETF | Exchange Traded Fund. | ||||
TIPS | Treasury Inflation Protected Securities |
Goldman Sachs Target Date 2050 Portfolio Schedule of Investments1 | |||||
Shares | Value | ||||
EXCHANGE TRADED FUNDS - 95.3% | |||||
Alternative Funds - 2.0% | |||||
PowerShares DB Gold Fund* | 9,765 | $ | 386,987 | ||
PowerShares Optimum Yield Diversified Commodity Strategy No K-1 Portfolio | 8,243 | 130,074 | |||
517,061 | |||||
Bond Funds - 16.6% | |||||
iShares 20+ Year Treasury Bond ETF | 6,196 | 775,244 | |||
iShares 7-10 Year Treasury Bond ETF | 6,058 | 645,843 | |||
Schwab Intermediate-Term U.S. Treasury ETF | 38,296 | 2,066,835 | |||
Schwab U.S. TIPS ETF | 2,330 | 128,290 | |||
Vanguard Short-Term Corporate Bond ETF | 8,070 | 645,923 | |||
4,262,135 | |||||
Foreign Stock Funds - 27.3% | |||||
iShares Edge MSCI Minimum Volatility EAFE ETF | 14,944 | 1,034,723 | |||
iShares Edge MSCI Minimum Volatility Emerging Markets ETF | 15,129 | 838,147 | |||
Vanguard FTSE All-World ex-U.S. ETF | 49,085 | 2,455,722 | |||
Vanguard FTSE Europe ETF | 36,364 | 2,005,111 | |||
WisdomTree Japan Hedged Equity Fund | 12,447 | 647,244 | |||
6,980,947 | |||||
Stock Funds - 49.4% | |||||
iShares Core S&P 500 ETF† | 29,693 | 7,227,573 | |||
iShares Core S&P Mid-Cap ETF | 12,587 | 2,189,508 | |||
PowerShares Buyback Achievers Portfolio | 2,425 | 130,150 | |||
PowerShares S&P 500 Quality Portfolio | 18,508 | 517,484 | |||
Schwab U.S. Dividend Equity ETF | 15,728 | 709,333 | |||
SPDR S&P Homebuilders ETF | 3,372 | 129,923 | |||
Vanguard Financials ETF | 9,296 | 581,465 | |||
Vanguard Growth ETF | 4,057 | 515,401 | |||
Vanguard Health Care ETF | 2,630 | 387,583 | |||
Vanguard Information Technology ETF | 1,832 | 258,019 | |||
12,646,439 | |||||
TOTAL EXCHANGE TRADED FUNDS (Cost $21,796,768) | 24,406,582 | ||||
INVESTMENT COMPANY - 0.5% | |||||
Schwab Fundamental U.S. Large Company Index Fund Institutional Shares (Cost $76,318) | 8,063 | 128,526 | |||
TOTAL INVESTMENTS - 95.8% (Cost $21,873,086) | 24,535,108 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.2% | 1,083,509 | ||||
NET ASSETS - 100.0% | $ | 25,618,617 | |||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | |||||
1 | Reported on a cash basis and therefore may not include unsettled shareholder trades from the feeder fund. For additional information on the underlying funds, including shareholder prospectuses and financial reports, please visit each underlying fund’s website or visit the Securities and Exchange Commission’s website at http://www.sec.gov | ||||
* | Non-income producing security. | ||||
† | The annual report and prospectus for the iShares Core S&P 500 ETF Trust can be found at https://www.ishares.com/us/library | ||||
Investment Abbreviations: | |||||
ETF | Exchange Traded Fund. | ||||
TIPS | Treasury Inflation Protected Securities |
Ultra Series Funds | Other Information (unaudited) - concluded | June 30, 2017
APPENDIX B: GOLDMAN SACHS FUNDS: GOLDMAN SACHS TARGET DATE FUNDS STATEMENTS OF ASSETS AND LIABILITIES (unaudited) - June 30, 2017
Target Date 2020 Portfolio |
Target Date 2030 Portfolio |
Target Date 2040 Portfolio |
Target Date 2050 Portfolio | |||||||||||
Assets: | ||||||||||||||
Investments, at value (cost $47,809,405, $67,034,245, $43,535,413 and $21,873,086) | $ | 50,155,312 | $ | 72,695,308 | $ | 48,000,328 | $ | 24,535,108 | ||||||
Cash | 2,687,397 | 3,949,891 | 2,624,500 | 1,345,190 | ||||||||||
Receivables: | ||||||||||||||
Investments sold | 1,428,983 | 831,586 | 787,481 | 759,779 | ||||||||||
Dividends and interest | 13,852 | 17,140 | 11,588 | 4,862 | ||||||||||
Fund shares sold | 1,090 | 1,012 | 2,297 | 1,753 | ||||||||||
Reimbursement from investment adviser | 1,082 | – | – | – | ||||||||||
Other assets | 3,470 | 4,839 | 3,148 | 1,531 | ||||||||||
Total assets | 54,291,186 | 77,499,776 | 51,429,342 | 26,648,223 | ||||||||||
Liabilities: | ||||||||||||||
Payables: | ||||||||||||||
Investments purchased | 1,472,591 | 952,925 | 883,421 | 813,459 | ||||||||||
Management fees | 10,948 | 15,709 | 10,361 | 5,274 | ||||||||||
Distribution and Service fees and Transfer Agency fees | 893 | 1,349 | 853 | 451 | ||||||||||
Accrued expenses | 208,427 | 201,498 | 206,481 | 210,422 | ||||||||||
Total liabilities | 1,692,859 | 1,171,481 | 1,101,116 | 1,029,606 | ||||||||||
Net Assets: | ||||||||||||||
Paid-in capital | 47,835,991 | 64,125,687 | 40,952,211 | 21,613,841 | ||||||||||
Undistributed net investment income | 395,018 | 612,293 | 412,208 | 210,030 | ||||||||||
Accumulated net realized gain | 2,021,411 | 5,929,252 | 4,498,892 | 1,132,724 | ||||||||||
Net unrealized gain | 2,345,907 | 5,661,063 | 4,464,915 | 2,662,022 | ||||||||||
NET ASSETS | $ | 52,598,327 | $ | 76,328,295 | $ | 50,328,226 | $ | 25,618,617 | ||||||
Net Assets: | ||||||||||||||
Class A | $ | 15,893 | $ | 209,226 | $ | 12,449 | $ | 47,569 | ||||||
Institutional | 10,338 | 10,698 | 10,849 | 11,005 | ||||||||||
Service | 10,293 | 10,651 | 10,801 | 10,957 | ||||||||||
Class IR | 10,324 | 47,053 | 31,519 | 20,073 | ||||||||||
Class R | 10,280 | 21,698 | 22,799 | 10,968 | ||||||||||
Class R6 | 52,541,199 | 76,028,969 | 50,239,809 | 25,518,045 | ||||||||||
Total Net Assets. | $ | 52,598,327 | $ | 76,328,295 | $ | 50,328,226 | $ | 25,618,617 | ||||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||||||||||
Class A | 1,623 | 20,819 | 1,257 | 4,605 | ||||||||||
Institutional | 1,054 | 1,061 | 1,094 | 1,063 | ||||||||||
Service | 1,052 | 1,059 | 1,092 | 1,062 | ||||||||||
Class IR | 1,053 | 4,671 | 3,179 | 1,941 | ||||||||||
Class R | 1,051 | 2,159 | 2,306 | 1,064 | ||||||||||
Class R6 | 5,353,688 | 7,544,258 | 5,061,485 | 2,465,891 | ||||||||||
Net asset value, offering and redemption price per share:(a) | ||||||||||||||
Class A | $ | 9.79 | $ | 10.05 | $ | 9.90 | $ | 10.33 | ||||||
Institutional | 9.81 | 10.08 | 9.92 | 10.35 | ||||||||||
Service | 9.79 | 10.06 | 9.90 | 10.32 | ||||||||||
Class IR | 9.80 | 10.07 | 9.92 | 10.34 | ||||||||||
Class R | 9.78 | 10.05 | 9.89 | 10.31 | ||||||||||
Class R6 | 9.81 | 10.08 | 9.93 | 10.35 | ||||||||||
(a) Maximum public offering price per share for Class A Shares of the Target Date 2020, Target Date 2030, Target Date 2040, and Target Date 2050 Portfolios is $10.36, $10.63, $10.48 and $10.93, respectively. |
SEC File Number: 811-04815
Goldman Sachs Funds | ||||||
Semi-Annual Report | April 30, 2017 | |||||
Target Date Portfolios | ||||||
Target Date 2020 | ||||||
Target Date 2025 | ||||||
Target Date 2030 | ||||||
Target Date 2035 | ||||||
Target Date 2040 | ||||||
Target Date 2045 | ||||||
Target Date 2050 | ||||||
Target Date 2055 | ||||||
Goldman Sachs Target Date Portfolios
TARGET DATE 2020
TARGET DATE 2025
TARGET DATE 2030
TARGET DATE 2035
TARGET DATE 2040
TARGET DATE 2045
TARGET DATE 2050
TARGET DATE 2055
TABLE OF CONTENTS | |
Market Review | 1 |
Portfolio Management Discussions and Performance Summaries | 6 |
Schedules of Investments | 30 |
Financial Statements | 38 |
Financial Highlights | 48 |
Notes to Financial Statements | 64 |
Other Information | 78 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
MARKET REVIEW | |
Target Date Portfolios |
Market Review
U.S., international and emerging markets equities posted solid gains during the six-month period ended April 30, 2017 (the “Reporting Period”). Although the broad U.S. fixed income market produced slightly negative returns, spread, or non-government bond, sectors generally advanced.
U.S. Equities
When the Reporting Period began in November 2016, U.S. equities sold off ahead of the presidential election but surged higher after the surprise result on anticipation of a potentially pro-growth effect from the incoming Administration’s fiscal stimulus plan. In December 2016, the Federal Reserve (“Fed”) raised interest rates 0.25% as had largely been anticipated, and set a more hawkish hike path for 2017, causing equities to decline, albeit modestly, following the announcement. (Hawkish implies higher interest rates; opposite of dovish.)
In January 2017, U.S. equities rallied to new highs on the prospect of deregulation following executive orders on oil pipelines and on optimism around infrastructure spending after a $1 trillion proposal from Senate Democrats made headlines. Despite political uncertainty and concerns about protectionism, U.S. equities continued to advance in February 2017 amid “risk on” sentiment due to potential U.S. tax reform and deregulation as well as stronger economic data. In March 2017, the Fed raised interest rates another 0.25%, while maintaining its projections for three rate hikes in 2017. However, a seemingly cautious stance on the future path of monetary tightening from the Fed chair and the presence of a dissenter on the Fed’s policy-making committee led to a dovish market reaction. Political risks subsequently drove U.S. equities lower as Republicans in the House of Representatives struggled to schedule a vote on health care legislation.
The U.S. equity market initially fell in April 2017 as minutes from the Fed’s March meeting indicated policymakers were worried that stocks were overvalued. Economic activity and inflation data also appeared to be moderating. The U.S. gross domestic product (“GDP”) grew at an annualized rate of just 0.7% during the first calendar quarter, while in April 2017, the Institute for Supply Management manufacturing index edged lower and the Core Personal Consumption Expenditures (“PCE”) Index (which excludes food and energy expenditures) decreased. However, the unemployment rate fell to 4.4%, while the Employment Cost Index (“ECI”) reached its highest level since 2007. (The ECI is a quarterly report from the U.S. Department of Labor that details changes in the costs of labor, such as wages and benefits.) On the political front, a setback suffered by the House Republicans in their first attempt to pass health care legislation tempered optimism about fiscal policy, but an ambitious tax reform proposal from the White House lifted market sentiment. In addition, first-round results in France’s presidential election, which were widely interpreted by investors as pro-market, buoyed global equities broadly. Strong first quarter 2017 corporate earnings results also supported equity performance.
For the Reporting Period overall, the broad U.S. equity market, as represented by the S&P 500® Index, returned 13.32%, with all its 11 sectors generating positive returns. Financials, industrials and materials were the best performing sectors in the S&P 500® Index during the Reporting Period. The weakest performing sectors in the S&P 500® Index during the Reporting Period were energy, consumer staples and telecommunication services.
In terms of market capitalization, small-cap stocks outperformed large-cap stocks. The Russell 2000® Index, which measures the small-cap universe, returned 18.37% during the Reporting Period. In the style arena, growth stocks outperformed value stocks overall. The Russell 1000®
1 |
MARKET REVIEW
Growth Index, representing large-cap growth stocks, rose 15.23% during the Reporting Period, while the Russell 1000® Value Index, representing large-cap value stocks, returned 11.69%.
Internationial Equities
Soon after the Reporting Period began in early November 2016, international equities rallied on the unexpected outcome of the U.S. presidential election. Investors appeared optimistic about the potential pro-growth effect of the incoming Administration’s fiscal stimulus plan. That said, U.S. dollar appreciation against local currencies detracted from their U.S. dollar performance. International equities then saw a strong advance during an eventful December 2016, with the resignation of Italy’s prime minister after voters’ rejection of its constitutional referendum, the Fed’s interest rate hike, and the European Central Bank’s (“ECB”) decision to slow its monthly pace of quantitative easing while extending its program to the end of 2017.
International equities continued their rally in early January 2017 on the prospect of deregulation following executive orders on oil pipelines and optimism around infrastructure spending. However, international equity markets subsequently retreated on political uncertainty and protectionism concerns. In February 2017, international equities were buoyed by “risk on” sentiment owing to potential U.S. tax reform and deregulation as well as on strong economic data. In March 2017, the Fed raised U.S. interest rates for the third time since the 2008 global financial crisis. However, a seemingly cautious stance on the future path of monetary tightening from the Fed chair and the presence of a dissenter on the Fed’s policy-making committee led to a dovish market reaction and the appreciation of the Japanese yen, despite the Bank of Japan (“BoJ”) maintaining its policy rate. Meanwhile, the ECB kept its monetary policy unchanged at its March 2017 meeting but revised its economic growth and inflation forecasts upwards. Equity markets interpreted the positive economic assessment as hawkish, sparking concerns around the sequencing of the ECB’s policy steps — namely, whether interest rates might rise before quantitative easing ends.
In April 2017, first-round results in France’s presidential election, which were widely interpreted by investors as pro-market, buoyed global equities broadly. Strong first quarter 2017 corporate earnings results and a firm economic backdrop were also supportive for equity markets. A health care bill setback tempered U.S. policy optimism, but an ambitious tax reform proposal from the White House subsequently lifted market sentiment. Japanese equities were initially hurt by a strong yen, which rose amid the political uncertainty and geopolitical tensions around the world. Various geopolitical events, such as a North Korean ballistic missile launch, a U.S. airstrike in Syria and terrorism in Russia all contributed negatively to investor sentiment. However, Japanese equities bounced back as yen strength faded with recovering global risk appetite.
For the Reporting Period as a whole, international equities, as measured by the MSCI Europe, Australasia, Far East (“EAFE”) Index (Net, USD, Unhedged) (the “MSCI EAFE Index”), posted a return of 11.47%.* Financials, information technology and industrials were the best performing sectors in the MSCI EAFE Index. The weakest performing sectors in the MSCI EAFE Index during the Reporting Period were telecommunication services, utilities and real estate.
From a country perspective, China, Austria and Sweden were the best performing individual constituents of the MSCI EAFE Index during the Reporting Period. New Zealand was the weakest individual country constituent in the MSCI EAFE Index during the Reporting Period and the only one to post a negative return, followed by Israel, Japan and Norway.
*All index returns are expressed in U.S. dollar terms.
2 |
MARKET REVIEW |
Emerging Markets Equities
In early November 2016, soon after the Reporting Period started, emerging markets equities fell sharply following the unexpected outcome of the U.S. presidential election due to headwinds from the resulting rise in U.S. Treasury rates and the U.S. dollar. Concerns of protectionist U.S. trade and immigration policies also weighed on emerging markets equities. In December 2016, emerging markets equities remained weak, as the Fed hiked interest rates 0.25% and set a more hawkish tone for its 2017 hike path.
Despite the political uncertainty and protectionism concerns arising from the new U.S. Administration in January 2017, emerging markets equities were buoyed by optimism about economic growth, owing to strong economic data and rising metal and soft commodity prices. February 2017 was another month of positive performance for emerging markets equities, as investors continued to assess the outlook for potential tax reform, deregulation and other fiscal policies out of the new U.S. Administration. Indian equities were a standout performer, as a pragmatic Union Budget and a strong third quarter 2016 GDP number were supportive of risk sentiment, particularly following India’s November 2016 demonetization move. (On November 8, 2016, India’s prime minister announced that 86% of the country’s currency would be rendered null and void in 50 days. It was posited as a move to crackdown on corruption and the country’s booming under-regulated and virtually untaxed grassroots economy, but was also being used as a driver to get millions of Indians onto the country’s official economic grid — many for the first time. The crackdown saw all 500 and 1,000 rupee notes — the country’s most popular currency denominations — removed from circulation, while a new 2,000 rupee note was added. Five hundred rupees is roughly the equivalent of $7.50.)
In March 2017, the Fed raised interest rates for the third time since the 2008 global financial crisis. However, a seemingly cautious stance on its future path of monetary tightening from the Fed chair and the presence of a dissenter on the Fed’s policy-making committee led to a dovish market reaction. Mexico was the best performing country within emerging markets equities in March 2017, buoyed by peso appreciation following a fourth consecutive rate hike by its central bank, Banxico.
In April 2017, emerging markets equities rallied, as global risk sentiment was buoyed by the results of the first round in the French presidential election, which were widely interpreted as pro-market by investors. Emerging markets equities were also driven by a weak U.S. dollar during the month. Despite tighter regulation in its banking sector, Chinese equities were buoyed by a strong first quarter 2017 GDP growth rate, which came in at 6.9% year over year and beat consensus expectations. Turkish equities saw a strong rally, as the Turkish lira strengthened on the back of a successful constitutional reform referendum. Russian equities fell with a depreciating Russian ruble, as the country’s central bank cut its policy rate 0.50%. Latin American equity markets were the underperformers among emerging markets stocks despite continued easing from their central banks, as they faced headwinds from declining commodity prices.
Emerging markets equities, as represented by the MSCI Emerging Markets Index (Net, USD, Unhedged) (the “MSCI EM Index”), generated a return of 8.88%* during the Reporting Period. The best performing sectors in the MSCI EM Index were information technology, materials and financials. Health care, utilities and consumer staples were the weakest sectors in the MSCI EM Index during the Reporting Period, with health care the only sector in the MSCI EM Index to post a negative return.
*All index returns are expressed in U.S. dollar terms.
3 |
MARKET REVIEW
From a country perspective, Poland, Greece and South Korea were the best performing individual constituents of the MSCI EM Index for the Reporting Period. Conversely, Egypt was by far the weakest individual country constituent of the MSCI EM Index, followed at some distance by the Philippines, Indonesia and the Czech Republic, which also significantly lagged the MSCI EM Index during the Reporting Period.
Fixed Income Markets
During November 2016, when the Reporting Period began, spread sectors were volatile. Investor sentiment was dominated by the results of the U.S. presidential election, which appeared to change expectations for future fiscal and regulatory policy. More specifically, investors appeared to anticipate fiscal stimulus, a looser regulatory agenda and a faster pace of Fed monetary policy tightening. Global interest rates rose, and the U.S. dollar appreciated versus other developed markets and emerging markets currencies. Meanwhile, the U.S. economy continued to strengthen, with strong jobs growth and increased consumer spending reported. In December 2016, spread sectors advanced, outpacing U.S. Treasury securities. Mid-month, the Fed hiked short-term interest rates, which resulted in a further rise in U.S. Treasury yields, with a notable increase in shorter-term yields and additional appreciation in the U.S. dollar. In Europe, the ECB announced it would reduce its monthly pace of asset purchases starting in April 2017 but stated it would extend its quantitative easing program to the end of 2017. On the political front, Italy voted to reject its constitutional reforms, while the outcome of Austria’s election defied the populist tide that had claimed victories in the U.K. and U.S. during 2016. In the fourth calendar quarter overall, the Japanese economy expanded by 1.2%, annualized, from the previous calendar quarter.
During the first quarter of 2017, government bond sectors sold off and spread sectors generally posted gains. Investors focused on the prospect of pro-growth policies from the new U.S. Administration, which helped boost business and consumer sentiment to near record levels, and also on the positive impact of earlier fiscal stimulus in China. Global purchasing managers’ indices pointed to solid expansion across the largest global economies, the U.S. in particular. In Europe, economic data strengthened and political risk remained contained, as markets weathered the official start of Brexit negotiations. (Brexit refers to the U.K.’s efforts to exit the European Union.) The far right lost to centrists in the Netherlands’ election. In France, polls reflected a relatively low chance of victory for the far-right candidate in its then-upcoming presidential vote. Monetary policy presented few surprises during the first calendar quarter, as the ECB, BoJ and Bank of England kept policy unchanged. In March 2017, the ECB raised its economic growth and inflation forecast. The same month, Fed policymakers hiked interest rates. Minutes from the meeting suggested the Fed might start reducing its balance sheet near the end of 2017. The U.S. dollar weakened versus many global currencies during the first calendar quarter.
In April 2017, spread sectors generated positive returns. Investor sentiment was buoyed by the results of the first round of voting in France’s presidential election, a strong start to the corporate earnings season and optimism about the potential of fiscal expansion in the U.S. Although U.S. economic activity and inflation data moderated during the month, the labor market remained strong, with employment gains and steady wage growth. In Europe, positive economic data partly offset the impact on the European credit markets of reduced ECB asset purchases. Meanwhile, U.K. markets showed little reaction to the commencement of the Brexit process. The U.S. dollar weakened versus other developed markets and emerging markets currencies during April 2017.
4
MARKET REVIEW |
The broad U.S. fixed income market, as represented by the Bloomberg Barclays U.S. Aggregate Bond Index, produced a return of -0.67% for the Reporting Period overall. However, spreads sectors generally advanced. High yield corporate bonds and sovereign emerging markets debt recorded solid gains, outperforming U.S. Treasuries. Investment grade corporate bonds also outpaced U.S. Treasuries. In addition, agency securities, commercial mortgage-backed securities, asset-backed securities and mortgage-backed securities outperformed U.S. Treasuries, though more modestly. The U.S. Treasury yield curve flattened slightly during the Reporting Period, as yields on longer- and intermediate-term maturities rose less than yields on shorter-term maturities. The yield on the bellwether 10-year U.S. Treasury rose approximately 16 basis points to end the Reporting Period at 1.99%. (A basis point is 1/100th of a percentage point. A flattening yield curve is one wherein the differential in yields between longer-term and shorter-term maturities narrows.)
Looking Ahead
At the end of the Reporting Period, we believed the macro environment remained supportive of fixed income assets geared to economic growth. In our view, developed markets are leading a synchronized global expansion, and financial conditions overall are easy, as evidenced by the strong performance of the equities markets and the accessibility of credit. That said, at the end of the Reporting Period, we thought investors might have become complacent. In the U.S., sentiment is running ahead of hard data, while interest rates are, in our view, too low and financial conditions too loose for the Fed’s projected policy tightening. In addition, we did not see much risk premium overall in the fixed income markets at the end of the Reporting Period that would reflect the potential impact of central bank tapering of quantitative easing measures, political strains in Europe or risks in China’s financial sector. Nevertheless, we do not anticipate an upheaval in the markets in the near term.
5 |
PORTFOLIO RESULTS |
Goldman Sachs Target Date 2020 Portfolio, |
Goldman Sachs Target Date 2025 Portfolio, |
Goldman Sachs Target Date 2030 Portfolio, |
Goldman Sachs Target Date 2035 Portfolio, |
Goldman Sachs Target Date 2040 Portfolio, |
Goldman Sachs Target Date 2045 Portfolio, |
Goldman Sachs Target Date 2050 Portfolio and |
Goldman Sachs Target Date 2055 Portfolio |
Investment Process and Principal Strategies The Goldman Sachs Target Date 2020 Portfolio, the Goldman Sachs Target Date 2025 Portfolio, the Goldman Sachs Target Date 2030 Portfolio, the Goldman Sachs Target Date 2035 Portfolio, the Goldman Sachs Target Date 2040 Portfolio, the Goldman Sachs Target Date 2045 Portfolio, the Goldman Sachs Target Date 2050 Portfolio and the Goldman Sachs Target Date 2055 Portfolio (collectively, the “Portfolios” or individually, a “Portfolio”) seek to provide capital appreciation and current income consistent with each respective Portfolio’s current asset allocation. The Portfolios employ asset allocation strategies designed for investors who plan to retire and to begin gradually withdrawing their investment beginning in approximately 2020, 2025, 2030, 2035, 2040, 2045, 2050 and 2055 (respectively, the “Target Dates”). The Portfolios generally seek to achieve their investment objective by investing in shares of exchange-traded funds (“ETFs”) and other registered investment companies (collectively, the “Underlying Funds”), according to an asset allocation strategy developed by Madison Asset Management, LLC, the sub-adviser, which is unaffiliated with Goldman Sachs Asset Management, L.P., the investment adviser for the Portfolios. |
Portfolio Management Discussion and Analysis
Below, the Madison Asset Management, LLC portfolio management team, the Portfolios’ sub-adviser, discusses the Portfolios’ performance and positioning for the six-month period ended April 30, 2017 (the “Reporting Period”).
6 |
PORTFOLIO RESULTS |
Institutional, Service, IR, R and R6 Shares generated cumulative total returns of 8.36%, 8.72%, 8.31%, 8.55%, 8.26% and 8.61%, respectively. These returns compare to the 9.42% cumulative total return of the Portfolio’s benchmark, the S&P Target Date To 2040 Index (Total Return, Unhedged, USD) during the same period. | ||
Goldman Sachs Target Date 2045 Portfolio — During the Reporting Period, the Target Date 2045 Portfolio’s Class A, Institutional, Service, IR, R and R6 Shares generated cumulative total returns of 8.95%, 9.20%, 8.92%, 9.15%, 8.87% and 9.31%, respectively. These returns compare to the 10.04% cumulative total return of the Portfolio’s benchmark, the S&P Target Date To 2045 Index (Total Return, Unhedged, USD) during the same period. | ||
| ||
Goldman Sachs Target Date 2050 Portfolio — During the Reporting Period, the Target Date 2050 Portfolio’s Class A ,Institutional, Service, IR, R and R6 Shares generated cumulative total returns of 9.77%, 10.03%, 9.74%, 9.97%, 9.68% and 10.03%, respectively. These returns compare to the 10.57% cumulative total return of the Portfolio’s benchmark, the S&P Target Date To 2050 Index (Total Return, Unhedged, USD) during the same period. | ||
Goldman Sachs Target Date 2055 Portfolio — During the Reporting Period, the Target Date 2055 Portfolio’s Class A, Institutional, Service, IR, R and R6 Shares generated cumulative total returns of 10.26%, 10.48%, 10.30%, 10.43%, 10.14% and 10.48%, respectively. These returns compare to the 11.02% cumulative total return of the Portfolio’s benchmark, the S&P Target Date To 2055 Index (Total Return, Unhedged, USD) during the same period. | ||
Q | What key factors affected the Portfolios’ performance during the Reporting Period? | |
A | During the Reporting Period, the Portfolios benefited from our asset allocation decisions to favor certain asset classes through the Underlying Funds. Security selection produced mixed results during the Reporting Period. |
Q | How did the Portfolios’ asset allocations affect performance during the Reporting Period? | |
A | Within the Portfolios’ strategic allocations, our preference for U.S. equities over international equities added to returns, as U.S. stocks outperformed international stocks during the Reporting Period. Within U.S. equities, the Portfolios benefited from our decision to modestly increase tactical exposure to U.S. small-cap stocks. Tactical overweights to the regional banking and homebuilders industries and a tactical overweight to companies in the industrials sector also contributed positively to performance. Conversely, the Portfolios’ allocations to dividend-paying stocks, which tend to be interest-rate sensitive, detracted from results, as interest rates rose during the Reporting Period. | |
Within international equities, our slight preference for the developed markets versus the emerging markets helped the Portfolios’ performance. More specifically, the Portfolios benefited from their overweighted exposure to European equities. On the other hand, allocations to exchange-traded funds (“ETFs”) that emphasize lower volatility detracted from performance. | ||
Within fixed income, the Portfolios’ bias toward U.S. Treasury securities, especially those of longer duration, hindered results. However, tactical allocations to high yield loans and an overweight in corporate credit added to returns as spreads (or yield differentials) narrowed between U.S. Treasury securities and corporate bonds of comparable maturity. Corporate bond prices held up better than U.S. Treasury prices as interest rates rose during the Reporting Period, while high yield loans tend to be less sensitive than other asset classes to rising interest rates. | ||
Our tactical allocation to commodities versus U.S. equities detracted slightly from the Portfolios’ performance during the Reporting Period. |
7 |
PORTFOLIO RESULTS |
Q | Did the Underlying Funds help or hurt the Portfolios’ performance during the Reporting Period? | |
A | During the Reporting Period, the Portfolios’ Underlying Funds generated mixed results. | |
Within the Portfolios’ equity-related Underlying Funds, tactical overweights to certain sectors added to overall performance. More specifically, the SPDR® S&P® Regional Banking ETF, the SPDR® S&P® Homebuilders ETF and the Industrial Select Sector SPDR® Fund made the largest positive contributions to the Portfolios’ overall performance. In addition, the Portfolios benefited from iShares Core® S&P Mid-Cap ETF’s approximately 40% weighting in U.S. small-cap stocks. Within international equities, the Vanguard FTSE Europe ETF and the WisdomTree Europe Hedge Equity Fund added to returns. Detractors included the Schwab U.S. Dividend Equity ETF. The decision to manage downside risk by purchasing low volatility ETFs rather than pure broad market ETFs detracted slightly from performance amid strong “risk on” market sentiment during the Reporting Period. ETFs that emphasized lower volatility were iShares® Edge MSCI Min Vol EAFE ETF and iShares® Edge MSC IMin Vol Emerging Markets ETF. | ||
Of the Portfolios’ fixed income-related Underlying Funds, the PowerShares Senior Loan ETF and the Vanguard Short-Term Corporate Bond ETF bolstered returns. Conversely, exposures to the iShares® 7-10 Year Treasury Bond ETF and the iShares® 20+ Year Treasury Bond ETF hurt performance. | ||
The PowerShares DB Gold ETF, representing the Portfolios’ tactical allocation to commodities, generated negative returns, as interest rates rose and gold prices fell during the Reporting Period. | ||
Q | How did the Portfolios use derivatives and similar instruments during the Reporting Period? | |
A | The Portfolios do not directly invest in derivatives. However, during the Reporting Period, some of the Underlying Funds may have used derivatives to allow them to track their respective benchmark indices with more precision. These included options, forwards, futures, swaps, structured securities and other derivative instruments. | |
Q | What changes did you make to the Portfolios’ strategic allocations during the Reporting Period? | |
A | During the Reporting Period, we decided to increase the Portfolios’ strategic allocations to international equities and to reduce their strategic allocations to U.S. equities. As uncertainty about Brexit eased during the Reporting Period, we believed international equities had become more attractive than U.S. equities. (Brexit refers to the U.K.’s efforts to exit the European Union.) | |
Q | What is the Portfolios’ tactical view and strategy for the months ahead? | |
A | In the near term, we expect to see low returns from virtually all asset classes. Therefore, we believe managing risk is likely to be of greater importance going forward. We plan to maintain a defensive posture in the Portfolios, with a continued emphasis on seeking to generate strong risk-adjusted returns. Overall, at the end of the Reporting Period, the Portfolios’ strategic allocations were generally closer to neutral relative to the glide paths of their respective Target Dates than they were at the beginning of the Reporting Period. (Glide path refers to a formula that defines the asset allocation mix of a target date portfolio, based on the number of years to the target date. The glide path creates an asset allocation that becomes more conservative the closer a portfolio gets to the target date.) | |
8 |
FUND BASICS |
Target Date 2020 Portfolio
as of April 30, 2017
9 |
FUND BASICS |
STANDARDIZED TOTAL RETURNS3 | ||||||
For the period ended 3/31/17 | One Year | Five Years | Since Inception | Inception Date | ||
Class A | N/A | N/A | -4.31 | % | 8/22/16 | |
Institutional | N/A | N/A | 1.46 | 8/22/16 | ||
Service | N/A | N/A | 1.18 | 8/22/16 | ||
Class IR | N/A | N/A | 1.41 | 8/22/16 | ||
Class R | N/A | N/A | 1.02 | 8/22/16 | ||
Class R6 | 5.45% | 6.08% | 2.64 | 10/01/07 | ||
3 The Standardized Total Returns are average annual or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. | ||||||
Effective August 22, 2016, the Madison Target Retirement 2020 Fund (the “Predecessor Fund”) was reorganized into the Portfolio. The Portfolio has assumed the Predecessor Fund’s historical performance. The returns for the Predecessor Fund for periods prior to August 29, 2014 reflect the performance of the Madison Target Retirement 2020 Fund’s Class I Shares, a series of Ultra Series Fund (the “Ultra Predecessor Fund”). As of August 29, 2014, the inception date of the Predecessor Fund, the Ultra Predecessor Fund exchanged in kind substantially all of its portfolio holdings for Class R6 shares of the Predecessor Fund. As a result, the Predecessor Fund assumed the performance of the Ultra Predecessor Fund. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. Past performance does not guarantee future results, which may vary. The value of investments and the income derived from investments will fluctuate and can go down as well as up. A loss of principal may occur. | ||||||
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized. | ||||||
EXPENSE RATIOS 4 | ||||||
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||
Class A | 0.91% | 1.43% | ||||
Institutional | 0.51 | 1.03 | ||||
Service | 1.01 | 1.53 | ||||
Class IR | 0.66 | 1.18 | ||||
Class R | 1.16 | 1.68 | ||||
Class R6 | 0.49 | 0.97 | ||||
4The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least February 28, 2018, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. | ||||||
10 |
FUND BASICS |
TOP TEN HOLDINGS AS OF 4/30/175 | ||||
Holding | % of Net Assets | Line of Business | ||
Vanguard Short-Term Corporate Bond ETF | 15.6 | % | Exchange Traded Funds | |
iShares 7-10 Year Treasury Bond ETF | 12.6 | Exchange Traded Funds | ||
iShares Core S&P 500 ETF | 12.1 | Exchange Traded Funds | ||
iShares 3-7 Year Treasury Bond ETF | 10.6 | Exchange Traded Funds | ||
Schwab U.S. TIPs ETF | 7.0 | Exchange Traded Funds | ||
RidgeWorth Seix Floating Rate High Income | 5.5 | Investment Company | ||
Fund | ||||
Vanguard Long-Term Corporate Bond ETF | 5.0 | Exchange Traded Funds | ||
Vanguard Short-Term Inflation-Protected | 4.5 | Exchange Traded Funds | ||
Securities | ||||
ETF | ||||
Vanguard FTSE All-World ex-U.S. ETF | 4.0 | Exchange Traded Funds | ||
iShares 20+ Year Treasury Bond ETF | 3.0 | Exchange Traded Funds | ||
5 The top 10 holdings may not be representative of the Portfolio’s future investments. | ||||
PORTFOLIO COMPOSITION 6 | ||||
Holding | As of April 30, 2017 | As of October 31, 2016 | ||
Bond Funds | 63.9 | % | 60.6 | % |
Stock Funds | 20.8 | 27.4 | ||
Foreign Stock Funds | 9.8 | 7.4 | ||
Alternative Funds | 2.0 | 2.5 | ||
Investment Companies | 0.0 | 2.0 | ||
6 The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities. | ||||
11
FUND BASICS |
Target Date 2025 Portfolio
as of April 30, 2017
FUND BASICS |
EXPENSE RATIOS 4 | |||||
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | ||||
Class A | 0.91% | 3.20% | |||
Institutional | 0.51 | 2.80 | |||
Service | 1.01 | 3.30 | |||
Class IR | 0.66 | 2.95 | |||
Class R | 1.16 | 3.45 | |||
Class R6 | 0.49 | 2.80 |
4 The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least February 28, 2018, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.
TOP TEN HOLDINGS AS OF 4/30/175 | |||
Holding | % of Net Assets | Line of Business | |
iShares Core S&P 500 ETF | 19.5% | Exchange Traded Funds | |
Vanguard Short-Term Corporate Bond ETF | 11.0 | Exchange Traded Funds | |
iShares 7-10 Year Treasury Bond ETF | 10.6 | Exchange Traded Funds | |
Vanguard FTSE All-World ex-U.S. ETF | 6.5 | Exchange Traded Funds | |
iShares 3-7 Year Treasury Bond ETF | 6.0 | Exchange Traded Funds | |
Schwab U.S. TIPs ETF | 6.0 | Exchange Traded Funds | |
RidgeWorth Seix Floating Rate High Income Fund | 5.0 | Investment Company | |
iShares Core S&P Mid-Cap ETF | 4.5 | Exchange Traded Funds | |
iShares 20+ Year Treasury Bond ETF | 3.0 | Exchange Traded Funds | |
Vanguard FTSE Europe ETF | 3.0 | Exchange Traded Funds |
5 The top 10 holdings may not be representative of the Portfolio’s future investments.
PORTFOLIO C OMPOSITION 6 | ||||
Holding | As of April 30, 2017 | As of October 31, 2016 | ||
Bond Funds | 46.1% | 42.2% | ||
Stock Funds | 32.3 | 37.9 | ||
Foreign Stock Funds | 15.3 | 12.3 | ||
Alternative Funds | 2.0 | 2.5 | ||
Investment Companies | 0.5 | 0.5 |
6 The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities.
13 |
FUND BASICS |
Target Date 2030 Portfolio
as of April 30, 2017
FUND BASICS |
STANDARDIZED TOTAL RETURNS3 | ||||||
For the period ended 3/31/17 | One Year | Five Years | Since Inception | Inception Date | ||
Class A | N/A | N/A | -1.83% | 8/22/16 | ||
Institutional | N/A | N/A | 4.19 | 8/22/16 | ||
Service | N/A | N/A | 3.91 | 8/22/16 | ||
Class IR | N/A | N/A | 4.14 | 8/22/16 | ||
Class R | N/A | N/A | 3.85 | 8/22/16 | ||
Class R6 | 9.15% | 7.82% | 3.21 | 10/01/07 |
3 The Standardized Total Returns are average annual or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.
Effective August 22, 2016, the Madison Target Retirement 2030 Fund (the “Predecessor Fund”) was reorganized into the Portfolio. The Portfolio has assumed the Predecessor Fund’s historical performance. The returns for the Predecessor Fund for periods prior to August 29, 2014 reflect the performance of the Madison Target Retirement 2030 Fund’s Class I Shares, a series of Ultra Series Fund (the “Ultra Predecessor Fund”). As of August 29, 2014, the inception date of the Predecessor Fund, the Ultra Predecessor Fund exchanged in kind substantially all of its portfolio holdings for Class R6 shares of the Predecessor Fund. As a result, the Predecessor Fund assumed the performance of the Ultra Predecessor Fund. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. Past performance does not guarantee future results, which may vary. The value of investments and the income derived from investments will fluctuate and can go down as well as up. A loss of principal may occur.
EXPENSERATIOS 4 | |||||
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | ||||
Class A | 0.91% | 1.16% | |||
Institutional | 0.51 | 0.76 | |||
Service | 1.01 | 1.26 | |||
Class IR | 0.66 | 0.91 | |||
Class R | 1.16 | 1.41 | |||
Class R6 | 0.49 | 0.83 |
15
FUND BASICS |
TOP TEN HOLDINGS AS OF 4/30/175 | ||||
Holding | % of Net Assets | Line of Business | ||
iShares Core S&P 500 ETF | 23.1% | Exchange Traded Funds | ||
iShares 7-10 Year Treasury Bond ETF | 8.5 | Exchange Traded Funds | ||
Vanguard Short-Term Corporate Bond ETF | 8.5 | Exchange Traded Funds | ||
Vanguard FTSE All-World ex-U.S. ETF | 7.5 | Exchange Traded Funds | ||
iShares 3-7 Year Treasury Bond ETF | 5.5 | Exchange Traded Funds | ||
Schwab U.S. TIPs ETF | 5.5 | Exchange Traded Funds | ||
iShares Core S&P Mid-Cap ETF | 5.0 | Exchange Traded Funds | ||
RidgeWorth Seix Floating Rate High Income Fund | 4.0 | Investment Company | ||
Vanguard FTSE Europe ETF | 4.0 | Exchange Traded Funds | ||
iShares Edge MSCI Minimum Volatility | 3.5 | Exchange Traded Funds | ||
EAFE ETF | ||||
5 The top 10 holdings may not be representative of the Portfolio’s future investments. | ||||
PORTFOLIO COMPOSITION6 | ||||
Holding | As of April 30, 2017 | As of October 31, 2016 | ||
Stock Funds | 39.1% | 43.5% | ||
Bond Funds | 36.2 | 35.0 | ||
Foreign Stock Funds | 18.6 | 14.3 | ||
Alternative Funds | 2.0 | 2.5 | ||
Investment Companies | 0.5 | 0.8 | ||
6 The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities. | ||||
16 |
FUND BASICS |
Target Date 2035 Portfolio
as of April 30, 2017
FUND BASICS |
EXPENSERATIOS 4 | |||||
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | ||||
Class A | 0.91% | 3.20% | |||
Institutional | 0.51 | 2.81 | |||
Service | 1.01 | 3.30 | |||
Class IR | 0.66 | 2.95 | |||
Class R | 1.16 | 3.45 | |||
Class R6 | 0.49 | 2.80 |
TOP TEN HOLDINGS AS OF 4/30/175 | |||
Holding | % of Net Assets | Line of Business | |
iShares Core S&P 500 ETF | 24.5% | Exchange Traded Funds | |
iShares 7-10 Year Treasury Bond ETF | 8.1 | Exchange Traded Funds | |
Vanguard FTSE All-World ex-U.S. ETF | 8.0 | Exchange Traded Funds | |
Vanguard Short-Term Corporate Bond ETF | 6.5 | Exchange Traded Funds | |
iShares Core S&P Mid-Cap ETF | 5.5 | Exchange Traded Funds | |
iShares 3-7 Year Treasury Bond ETF | 5.0 | Exchange Traded Funds | |
Schwab U.S. TIPs ETF | 4.5 | Exchange Traded Funds | |
Vanguard FTSE Europe ETF | 4.5 | Exchange Traded Funds | |
RidgeWorth Seix Floating Rate High Income Fund | 3.5 | Investment Company | |
iShares Edge MSCI Minimum Volatility | 3.5 | Exchange Traded Funds | |
EAFE ETF |
5 The top 10 holdings may not be representative of the Portfolio’s future investments.
PORTFOLIO COMPOSITION6 | ||||
Holding | As of April 30, 2017 | As of October 31, 2016 | ||
Stock Funds | 42.6% | 46.7% | ||
Bond Funds | 31.1 | 29.8 | ||
Foreign Stock Funds | 20.0 | 15.4 | ||
Alternative Funds | 2.0 | 2.5 | ||
Investment Companies | 0.5 | 1.0 |
6 The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities.
18
FUND BASICS |
Target Date 2040 Portfolio
as of April 30, 2017
FUND BASICS |
STANDARDIZED TOTAL RETURNS3 | ||||||
For the period ended 3/31/17 | One Year | Five Years | Since Inception | Inception Date | ||
Class A | N/A | N/A | -0.74% | 8/22/16 | ||
Institutional | N/A | N/A | 5.40 | 8/22/16 | ||
Service | N/A | N/A | 5.00 | 8/22/16 | ||
Class IR | N/A | N/A | 5.24 | 8/22/16 | ||
Class R | N/A | N/A | 4.95 | 8/22/16 | ||
Class R6 | 10.97% | 8.62 | % | 3.08 | 10/01/07 |
3 The Standardized Total Returns are average annual or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.
Effective August 22, 2016, the Madison Target Retirement 2040 Fund (the “Predecessor Fund”) was reorganized into the Portfolio. The Portfolio has assumed the Predecessor Fund’s historical performance. The returns for the Predecessor Fund for periods prior to August 29, 2014 reflect the performance of the Madison Target Retirement 2040 Fund’s Class I Shares, a series of Ultra Series Fund (the “Ultra Predecessor Fund”). As of August 29, 2014, the inception date of the Predecessor Fund, the Ultra Predecessor Fund exchanged in kind substantially all of its portfolio holdings for Class R6 shares of the Predecessor Fund. As a result, the Predecessor Fund assumed the performance of the Ultra Predecessor Fund. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. Past performance does not guarantee future results, which may vary. The value of investments and the income derived from investments will fluctuate and can go down as well as up. A loss of principal may occur.
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.
EXPENSERATIOS 4 | |||||
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | ||||
Class A | 0.91% | 1.49% | |||
Institutional | 0.51 | 1.01 | |||
Service | 1.01 | 1.51 | |||
Class IR | 0.66 | 1.16 | |||
Class R | 1.16 | 1.66 | |||
Class R6 | 0.49 | 1.01 |
4 The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least February 28, 2018, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.
20
FUND BASICS |
TOP TEN HOLDINGS AS OF 4/30/175 | ||||
Holding | % of Net Assets | Line of Business | ||
iShares Core S&P 500 ETF | 26.2% | Exchange Traded Funds | ||
Vanguard FTSE All-World ex-U.S. ETF | 8.6 | Exchange Traded Funds | ||
iShares 7-10 Year Treasury Bond ETF | 7.0 | Exchange Traded Funds | ||
iShares Core S&P Mid-Cap ETF | 6.0 | Exchange Traded Funds | ||
Vanguard FTSE Europe ETF | 5.0 | Exchange Traded Funds | ||
iShares 3-7 Year Treasury Bond ETF | 4.5 | Exchange Traded Funds | ||
Vanguard Short-Term Corporate Bond ETF | 4.5 | Exchange Traded Funds | ||
iShares Edge MSCI Minimum Volatility | 3.8 | Exchange Traded Funds | ||
EAFE ETF | ||||
Vanguard Growth ETF | 3.5 | Exchange Traded Funds | ||
Schwab U.S. TIPs ETF | 3.5 | Exchange Traded Funds | ||
5 The top 10 holdings may not be representative of the Portfolio’s future investments. | ||||
PORTFOLIO COMPOSITION 6 | ||||
Holding | As of April 30, 2017 | As of October 31, 2016 | ||
Stock Funds | 46.0% | 50.5% | ||
Bond Funds | 26.2 | 25.0 | ||
Foreign Stock Funds | 21.6 | 16.8 | ||
Alternative Funds | 2.0 | 2.5 | ||
Investment Companies | 0.8 | 1.3 | ||
6 The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities. | ||||
21 |
FUND BASICS |
Target Date 2045 Portfolio
as of April 30, 2017
FUND BASICS |
EXPENSE RATIOS4 | |||||
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | ||||
Class A | 0.91% | 3.21% | |||
Institutional | 0.51 | 2.81 | |||
Service | 1.01 | 3.31 | |||
Class IR | 0.66 | 2.95 | |||
Class R | 1.16 | 3.46 | |||
Class R6 | 0.49 | 2.80 |
4 The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least February 28, 2018, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.
TOP TEN HOLDINGS AS OF 4/30/175 | |||
Holding | % of Net Assets | Line of Business | |
iShares Core S&P 500 ETF | 27.5% | Exchange Traded Funds | |
Vanguard FTSE All-World ex-U.S. ETF | 9.0 | Exchange Traded Funds | |
iShares Core S&P Mid-Cap ETF | 6.5 | Exchange Traded Funds | |
iShares 7-10 Year Treasury Bond ETF | 6.0 | Exchange Traded Funds | |
Vanguard FTSE Europe ETF | 5.5 | Exchange Traded Funds | |
iShares 3-7 Year Treasury Bond ETF | 4.1 | Exchange Traded Funds | |
Vanguard Growth ETF | 4.0 | Exchange Traded Funds | |
iShares Edge MSCI Minimum Volatility | 3.8 | Exchange Traded Funds | |
EAFE ETF | |||
iShares 20+ Year Treasury Bond ETF | 3.0 | Exchange Traded Funds | |
Vanguard Short-Term Corporate Bond ETF | 3.0 | Exchange Traded Funds |
5 The top 10 holdings may not be representative of the Portfolio’s future investments.
PORTFOLIO COMPOSITION 6 | ||||
Holding | As of April 30, 2017 | As of October 31, 2016 | ||
Stock Funds | 49.0% | 53.9% | ||
Foreign Stock Funds | 23.1 | 17.8 | ||
Bond Funds | 21.1 | 19.9 | ||
Alternative Funds | 2.0 | 2.5 | ||
Investment Companies | 1.0 | 1.3 |
6 The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities.
23
FUND BASICS |
Target Date 2050 Portfolio
as of April 30, 2017
FUND BASICS |
STANDARDIZED TOTAL RETURNS3 | ||||||
For the period ended 3/31/17 | One Year | Five Years | Since Inception | Inception Date | ||
Class A | N/A | N/A | 0.47% | 8/22/16 | ||
Institutional | N/A | N/A | 6.55 | 8/22/16 | ||
Service | N/A | N/A | 6.27 | 8/22/16 | ||
Class IR | N/A | N/A | 6.50 | 8/22/16 | ||
Class R | N/A | N/A | 6.11 | 8/22/16 | ||
Class R6 | 12.76% | 9.46% | 8.64 | 1/3/11 |
3 The Standardized Total Returns are average annual or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares. Because Institutional, Service, Class IR, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.
Effective August 22, 2016, the Madison Target Retirement 2050 Fund (the “Predecessor Fund”) was reorganized into the Portfolio. The Portfolio has assumed the Predecessor Fund’s historical performance. The returns for the Predecessor Fund for periods prior to August 29, 2014 reflect the performance of the Madison Target Retirement 2050 Fund’s Class I Shares, a series of Ultra Series Fund (the “Ultra Predecessor Fund”). As of August 29, 2014, the inception date of the Predecessor Fund, the Ultra Predecessor Fund exchanged in kind substantially all of its portfolio holdings for Class R6 shares of the Predecessor Fund. As a result, the Predecessor Fund assumed the performance of the Ultra Predecessor Fund. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. Past performance does not guarantee future results, which may vary. The value of investments and the income derived from investments will fluctuate and can go down as well as up. A loss of principal may occur.
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Returns less than 12 months are cumulative, not annualized.
EXPENSE RATIOS 4 | |||||
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | ||||
Class A | 0.91% | 2.19% | |||
Institutional | 0.51 | 1.79 | |||
Service | 1.01 | 2.29 | |||
Class IR | 0.66 | 1.94 | |||
Class R | 1.16 | 2.44 | |||
Class R6 | 0.49 | 1.65 |
4 The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least February 28, 2018, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.
25
FUND BASICS |
TOP TEN HOLDINGS AS OF 4/30/175 | ||||
Holding | % of Net Assets | Line of Business | ||
iShares Core S&P 500 ETF | 29.3% | Exchange Traded Funds | ||
Vanguard FTSE All-World ex-U.S. ETF | 9.6 | Exchange Traded Funds | ||
iShares Core S&P Mid-Cap ETF | 7.1 | Exchange Traded Funds | ||
Vanguard FTSE Europe ETF | 6.1 | Exchange Traded Funds | ||
Vanguard Growth ETF | 4.6 | Exchange Traded Funds | ||
iShares 7-10 Year Treasury Bond ETF | 4.1 | Exchange Traded Funds | ||
iShares Edge MSCI Minimum Volatility | 3.8 | Exchange Traded Funds | ||
EAFE ETF | ||||
iShares 3-7 Year Treasury Bond ETF | 3.5 | Exchange Traded Funds | ||
iShares 20+ Year Treasury Bond ETF | 3.1 | Exchange Traded Funds | ||
Schwab U.S. Dividend Equity ETF | 3.1 | Exchange Traded Funds | ||
5 The top 10 holdings may not be representative of the Portfolio’s future investments. | ||||
PORTFOLIO COMPOSITION 6 | ||||
Holding | As of April 30, 2017 | As of October 31, 2016 | ||
Stock Funds | 53.1% | 58.0% | ||
Foreign Stock Funds | 24.8 | 19.3 | ||
Bond Funds | 16.2 | 15.0 | ||
Alternative Funds | 2.0 | 2.5 | ||
Investment Companies | 1.0 | 1.3 | ||
6 The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities. | ||||
26 |
FUND BASICS |
Target Date 2055 Portfolio
as of April 30, 2017
FUND BASICS |
EXPENSE RATIOS4 | |||||
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | ||||
Class A | 0.91% | 3.21% | |||
Institutional | 0.51 | 2.81 | |||
Service | 1.01 | 3.31 | |||
Class IR | 0.66 | 2.96 | |||
Class R | 1.16 | 3.46 | |||
Class R6 | 0.49 | 2.81 |
4 The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and will differ from the expense ratios disclosed in the Financial Highlights in this report due to the inclusion of Underlying Fund fees and expenses, which are not included in the operating expenses of the Portfolio reflected in the Financial Highlights. Pursuant to a contractual arrangement, the Portfolio’s waivers and/or expense limitations will remain in place through at least February 28, 2018, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Portfolio’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval.
TOP TEN HOLDINGS AS OF 4/30/175 | |||
Holding | % of Net Assets | Line of Business | |
iShares Core S&P 500 ETF | 30.6% | Exchange Traded Funds | |
Vanguard FTSE All-World ex-U.S. ETF | 10.0 | Exchange Traded Funds | |
iShares Core S&P Mid-Cap ETF | 7.5 | Exchange Traded Funds | |
Vanguard FTSE Europe ETF | 6.5 | Exchange Traded Funds | |
Vanguard Growth ETF | 4.5 | Exchange Traded Funds | |
iShares Edge MSCI Minimum Volatility EAFE | 4.0 | Exchange Traded Funds | |
ETF | |||
iShares 20+ Year Treasury Bond ETF | 3.0 | Exchange Traded Funds | |
Schwab U.S. Dividend Equity ETF | 3.0 | Exchange Traded Funds | |
Vanguard Information Technology ETF | 3.0 | Exchange Traded Funds | |
iShares 3-7 Year Treasury Bond ETF | 3.0 | Exchange Traded Funds |
5 The top 10 holdings may not be representative of the Portfolio’s future investments.
PORTFOLIO COMPOSITION 6 | ||||
Holding | As of April 30, 2017 | As of October 31, 2016 | ||
Stock Funds | 56.1% | 61.4% | ||
Foreign Stock Funds | 26.1 | 20.3 | ||
Bond Funds | 11.0 | 9.9 | ||
Alternative Funds | 2.0 | 2.5 | ||
Investment Companies | 1.0 | 1.3 |
6 The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each fund type reflects the value of that fund type as a percentage of the Portfolio’s net assets. Figures above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities.
28
FUND BASICS |
Index Definitions
The S&P 500® Index is the Standard & Poor’s 500 composite index of 500 stocks, an unmanaged index of common stock prices.
The MSCI EAFE Index is an equity index that captures large-cap and mid-cap representation across 21 developed markets countries around the world, excluding the U.S. and Canada. The index covers approximately 85% of the free float-adjusted market capitalization in each country. Developed markets countries in the index include Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the U.K.
The MSCI Emerging Markets Index captures large-cap and mid-cap representation across 23 emerging markets countries. The index covers approximately 85% of the free float-adjusted market capitalization in each country. Emerging markets countries in the index include Brazil, Chile, China, Colombia, the Czech Republic, Egypt, Greece, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Peru, the Philippines, Poland, Russia, Qatar, South Africa, Taiwan, Thailand, Turkey and the United Arab Emirates.
The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged, broad-based index that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. The index includes U.S. Treasury, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-through securities), asset-backed securities and commercial mortgage-backed securities (agency and non-agency).
The Russell 1000® Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000® Index represents approximately 92% of the U.S. market.
The Russell 1000® Growth Index is an unmanaged index of common stock prices that measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 1000® Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000® Index companies with lower price-to-book ratios and lower expected growth values.
The Russell 2000® Index is an unmanaged index of common stock prices that measures the performance of the 2000 smallest companies in the Russell 3000 Index.
The Russell 2000® Growth Index is an unmanaged index of common stock prices that measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 2000® Value Index measures the performance of small-cap value segment of the U.S. equity universe. It includes those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. The index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set and that the represented companies continue to reflect value characteristics.
29 |
GOLDMAN SACHS TARGET DATE 2020 PORTFOLIO
Schedule of Investments
April 30, 2017 (Unaudited)
Shares | Description | Value | |
Exchange Traded Funds – 91.0% | |||
Alternative Funds* – 2.0% | |||
26,161 | PowerShares DB Gold Fund | $ | 1,062,660 |
Bond Funds – 58.4% | |||
13,046 | iShares 20+ Year Treasury Bond ETF | 1,596,178 | |
45,011 | iShares 3-7 Year Treasury Bond ETF | 5,568,761 | |
62,227 | iShares 7-10 Year Treasury Bond ETF | 6,633,398 | |
66,594 | Schwab U.S. TIPS ETF | 3,709,286 | |
29,329 | Vanguard Long-Term Corporate Bond ETF | 2,658,674 | |
102,820 | Vanguard Short-Term Corporate Bond ETF | 8,217,374 | |
48,223 | Vanguard Short-Term Inflation-Protected Securities ETF | 2,385,110 | |
30,768,781 | |||
Foreign Stock Funds – 9.8% | |||
15,761 | iShares Edge MSCI Minimum Volatility EAFE ETF | 1,060,085 | |
9,796 | iShares Edge MSCI Minimum Volatility Emerging Markets ETF | 531,629 | |
43,431 | Vanguard FTSE All-World ex-U.S. ETF | 2,120,736 | |
19,766 | Vanguard FTSE Europe ETF | 1,059,062 | |
7,783 | WisdomTree Japan Hedged Equity Fund | 397,478 | |
5,168,990 | |||
Stock Funds – 20.8% | |||
26,548 | iShares Core S&P 500 ETF | 6,359,839 | |
9,185 | iShares Core S&P Mid-Cap ETF | 1,585,239 | |
10,162 | PowerShares Buyback Achievers Portfolio | 530,151 | |
17,820 | Schwab U.S. Dividend Equity ETF | 796,376 | |
4,877 | SPDR S&P Regional Banking ETF | 263,602 | |
4,383 | Vanguard Financials ETF | 263,243 | |
6,390 | Vanguard Growth ETF | 795,108 | |
2,865 | Vanguard Information Technology ETF | 397,662 | |
10,991,220 | |||
TOTAL EXCHANGE TRADED FUNDS | |||
(Cost $45,568,784) | $ | 47,991,651 | |
Investment Company – 5.5% | |||
332,850 | RidgeWorth Seix Floating Rate High Income Fund | 2,919,092 | |
(Cost $2,909,119) | |||
TOTAL INVESTMENTS – 96.5% | |||
(Cost $48,477,903) | $ | 50,910,743 | |
OTHER ASSETS IN EXCESS OF | |||
LIABILITIES – 3.5% | 1,831,683 | ||
NET ASSETS – 100.0% | $ | 52,742,426 | |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | |||
* Non-income producing security. | |||
Investment Abbreviations: | |||
ETF — Exchange Traded Fund | |||
TIPS—Treasury Inflation Protected Securites |
30 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS TARGET DATE 2025 PORTFOLIO
Schedule of Investments
April 30, 2017 (Unaudited)
Shares | Description | Value | |
Exchange Traded Funds – 90.7% | |||
Alternative Funds* – 2.0% | |||
5,187 | PowerShares DB Gold Fund | $ | 210,696 |
Bond Funds – 41.1% | |||
2,579 | iShares 20+ Year Treasury Bond ETF | 315,541 | |
5,085 | iShares 3-7 Year Treasury Bond ETF | 629,116 | |
10,333 | iShares 7-10 Year Treasury Bond ETF | 1,101,498 | |
11,284 | Schwab U.S. TIPS ETF | 628,519 | |
2,899 | Vanguard Long-Term Corporate Bond ETF | 262,794 | |
14,429 | Vanguard Short-Term Corporate Bond ETF | 1,153,166 | |
4,222 | Vanguard Short-Term Inflation-Protected Securities ETF | 208,820 | |
4,299,454 | |||
Foreign Stock Funds – 15.3% | |||
4,286 | iShares Edge MSCI Minimum Volatility EAFE ETF | 288,276 | |
3,381 | iShares Edge MSCI Minimum Volatility Emerging Markets ETF | 183,487 | |
13,957 | Vanguard FTSE All-World ex-U.S. ETF | 681,520 | |
5,861 | Vanguard FTSE Europe ETF | 314,032 | |
2,563 | WisdomTree Japan Hedged Equity Fund | 130,893 | |
1,598,208 | |||
Stock Funds – 32.3% | |||
8,528 | iShares Core S&P 500 ETF | 2,042,968 | |
2,726 | iShares Core S&P Mid-Cap ETF | 470,481 | |
2,502 | PowerShares Buyback Achievers Portfolio | 130,529 | |
4,110 | Schwab U.S. Dividend Equity ETF | 183,676 | |
1,446 | SPDR S&P Regional Banking ETF | 78,156 | |
1,295 | Vanguard Financials ETF | 77,778 | |
1,686 | Vanguard Growth ETF | 209,789 | |
378 | Vanguard Health Care ETF | 52,969 | |
944 | Vanguard Information Technology ETF | 131,027 | |
3,377,373 | |||
TOTAL EXCHANGE TRADED FUNDS | |||
(Cost $9,074,467) | $ | 9,485,731 | |
Investment Company – 5.5% | |||
3,333 | Schwab Fundamental U.S. Large Company Index Fund Institutional Shares | 52,654 | |
59,764 | RidgeWorth Seix Floating Rate High Income Fund | 524,130 | |
TOTAL INVESTMENT COMPANY | |||
(Cost $574,108) | $ | 576,784 | |
TOTAL INVESTMENTS – 96.2% | |||
(Cost $9,648,575) | $ | 10,062,515 | |
OTHER ASSETS IN EXCESS OF LIABILITIES – 3.8% | 399,560 | ||
NET ASSETS – 100.0% | $ | 10,462,075 | |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | |||
* Non-income producing security. | |||
Investment Abbreviations: | |||
ETF —Exchange Traded Fund | |||
TIPS—Treasury Inflation Protected Securities |
The accompanying notes are an integral part of these financial statements. 31 |
GOLDMAN SACHS TARGET DATE 2030 PORTFOLIO
Schedule of Investments
April 30, 2017 (Unaudited)
Shares | Description | Value | |
Exchange Traded Funds – 91.9% | |||
Alternative Funds* – 2.0% | |||
37,096 | PowerShares DB Gold Fund | $ | 1,506,840 |
Bond Funds – 32.2% | |||
18,499 | iShares 20+ Year Treasury Bond ETF | 2,263,352 | |
33,433 | iShares 3-7 Year Treasury Bond ETF | 4,136,331 | |
60,003 | iShares 7-10 Year Treasury Bond ETF | 6,396,320 | |
74,196 | Schwab U.S. TIPs ETF | 4,132,717 | |
8,318 | Vanguard Long-Term Corporate Bond ETF | 754,027 | |
79,979 | Vanguard Short-Term Corporate Bond ETF | 6,391,922 | |
24,074,669 | |||
Foreign Stock Funds – 18.6% | |||
39,101 | iShares Edge MSCI Minimum Volatility EAFE ETF | 2,629,933 | |
27,737 | iShares Edge MSCI Minimum Volatility Emerging Markets ETF | 1,505,287 | |
115,474 | Vanguard FTSE All-World ex-U.S. ETF | 5,638,596 | |
56,057 | Vanguard FTSE Europe ETF | 3,003,534 | |
22,073 | WisdomTree Japan Hedged Equity Fund | 1,127,268 | |
13,904,618 | |||
Stock Funds – 39.1% | |||
6,783 | Consumer Staples Select Sector SPDR Fund | 374,286 | |
72,154 | iShares Core S&P 500 ETF | 17,285,212 | |
21,727 | iShares Core S&P Mid-Cap ETF | 3,749,863 | |
21,636 | PowerShares Buyback Achievers Portfolio | 1,128,750 | |
33,672 | Schwab U.S. Dividend Equity ETF | 1,504,802 | |
9,983 | SPDR S&P Homebuilders ETF | 377,457 | |
13,833 | SPDR S&P Regional Banking ETF | 747,673 | |
9,331 | Vanguard Financials ETF | 560,420 | |
15,102 | Vanguard Growth ETF | 1,879,142 | |
4,036 | Vanguard Health Care ETF | 565,565 | |
8,126 | Vanguard Information Technology ETF | 1,127,889 | |
29,301,059 | |||
TOTAL EXCHANGE TRADED FUNDS | |||
(Cost $62,833,431) | $ | 68,787,186 | |
Investment Company – 4.5% | |||
23,706 | Schwab Fundamental U.S. Large Company Index Fund Institutional Shares | 374,547 | |
342,960 | RidgeWorth Seix Floating Rate High Income Fund | 3,007,756 | |
TOTAL INVESTMENT COMPANY | |||
(Cost $3,316,547) | $ | 3,382,303 | |
TOTAL INVESTMENTS – 96.4% | |||
(Cost $66,149,978) | $ | 72,169,489 | |
OTHER ASSETS IN EXCESS OF LIABILITIES – 3.6% | 2,717,211 | ||
NET ASSETS – 100.0% | $ | 74,886,700 | |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | |||
* Non-income producing security. | |||
Investment Abbreviations: | |||
ETF —Exchange Traded Fund | |||
TIPS—Treasury Inflation Protected Securities |
32 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS TARGET DATE 2035 PORTFOLIO
Schedule of Investments | |||
April 30, 2017 (Unaudited) | |||
Shares | Description | Value | |
Exchange Traded Funds – 92.2% | |||
Alternative Funds* – 2.0% | |||
5,248 | PowerShares DB Gold Fund | $ | 213,174 |
Bond Funds – 27.6% | |||
2,617 | iShares 20+ Year Treasury Bond ETF | 320,190 | |
4,300 | iShares 3-7 Year Treasury Bond ETF | 531,996 | |
7,989 | iShares 7-10 Year Treasury Bond ETF | 851,627 | |
8,588 | Schwab U.S. TIPs ETF | 478,352 | |
586 | Vanguard Long-Term Corporate Bond ETF | 53,121 | |
8,652 | Vanguard Short-Term Corporate Bond ETF | 691,468 | |
2,926,754 | |||
Foreign Stock Funds – 20.0% | |||
5,535 | iShares Edge MSCI Minimum Volatility EAFE ETF | 372,284 | |
4,403 | iShares Edge MSCI Minimum Volatility Emerging Markets ETF | 238,951 | |
17,419 | Vanguard FTSE All-World ex-U.S. ETF | 850,570 | |
8,922 | Vanguard FTSE Europe ETF | 478,040 | |
3,685 | WisdomTree Japan Hedged Equity Fund | 188,193 | |
2,128,038 | |||
Stock Funds – 42.6% | |||
957 | Consumer Staples Select Sector SPDR Fund | 52,807 | |
10,873 | iShares Core S&P 500 ETF | 2,604,736 | |
3,381 | iShares Core S&P Mid-Cap ETF | 583,527 | |
3,552 | PowerShares Buyback Achievers Portfolio | 185,308 | |
5,345 | Schwab U.S. Dividend Equity ETF | 238,868 | |
1,405 | SPDR S&P Homebuilders ETF | 53,123 | |
1,957 | SPDR S&P Regional Banking ETF | 105,776 | |
1,334 | Vanguard Financials ETF | 80,120 | |
2,568 | Vanguard Growth ETF | 319,536 | |
763 | Vanguard Health Care ETF | 106,919 | |
1,341 | Vanguard Information Technology ETF | 186,130 | |
4,516,850 | |||
TOTAL EXCHANGE TRADED FUNDS | |||
(Cost $9,253,700) | $ | 9,784,816 | |
Investment Company – 4.0% | |||
3,342 | Schwab Fundamental U.S. Large Company Index Fund Institutional Shares | 52,806 | |
42,454 | RidgeWorth Seix Floating Rate High Income Fund | 372,320 | |
TOTAL INVESTMENT COMPANY | |||
(Cost $422,399) | $ | 425,126 | |
TOTAL INVESTMENTS – 96.2% | |||
(Cost $9,676,099) | $ | 10,209,942 | |
OTHER ASSETS IN EXCESS OF LIABILITIES – 3.8% | 406,027 | ||
NET ASSETS – 100.0% | $ | 10,615,969 | |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | |||
* Non-income producing security. | |||
Investment Abbreviations: | |||
ETF —Exchange Traded Fund | |||
TIPS—Treasury Inflation Protected Securities |
The accompanying notes are an integral part of these financial statements. 33
GOLDMAN SACHS TARGET DATE 2040 PORTFOLIO
Schedule of Investments
April 30, 2017 (Unaudited)
Shares | Description | Value | |
Exchange Traded Funds – 92.8% | |||
Alternative Funds* – 2.0% | |||
24,744 | PowerShares DB Gold Fund | $ | 1,005,101 |
Bond Funds – 23.2% | |||
12,339 | iShares 20+ Year Treasury Bond ETF | 1,509,677 | |
18,246 | iShares 3-7 Year Treasury Bond ETF | 2,257,395 | |
32,960 | iShares 7-10 Year Treasury Bond ETF | 3,513,536 | |
31,480 | Schwab U.S. TIPs ETF | 1,753,436 | |
2,748 | Vanguard Long-Term Corporate Bond ETF | 249,106 | |
28,242 | Vanguard Short-Term Corporate Bond ETF | 2,257,101 | |
11,540,251 | |||
Foreign Stock Funds – 21.6% | |||
27,959 | iShares Edge MSCI Minimum Volatility EAFE ETF | 1,880,522 | |
16,180 | iShares Edge MSCI Minimum Volatility Emerging Markets ETF | 878,089 | |
87,292 | Vanguard FTSE All-World ex-U.S. ETF | 4,262,468 | |
6,185 | Vanguard FTSE Emerging Markets ETF | 249,503 | |
46,739 | Vanguard FTSE Europe ETF | 2,504,276 | |
19,728 | WisdomTree Japan Hedged Equity Fund | 1,007,509 | |
10,782,367 | |||
Stock Funds – 46.0% | |||
4,551 | Consumer Staples Select Sector SPDR Fund | 251,124 | |
54,426 | iShares Core S&P 500 ETF | 13,038,293 | |
17,391 | iShares Core S&P Mid-Cap ETF | 3,001,513 | |
19,181 | PowerShares Buyback Achievers Portfolio | 1,000,673 | |
28,092 | Schwab U.S. Dividend Equity ETF | 1,255,431 | |
6,637 | SPDR S&P Homebuilders ETF | 250,945 | |
9,226 | SPDR S&P Regional Banking ETF | 498,665 | |
6,205 | Vanguard Financials ETF | 372,672 | |
14,103 | Vanguard Growth ETF | 1,754,836 | |
3,589 | Vanguard Health Care ETF | 502,927 | |
7,227 | Vanguard Information Technology ETF | 1,003,108 | |
22,930,187 | |||
TOTAL EXCHANGE TRADED FUNDS | |||
(Cost $41,586,677) | $ | 46,257,906 | |
Investment Company – 3.8% | |||
23,718 | Schwab Fundamental U.S. Large Company Index Fund Institutional Shares | 374,741 | |
171,345 | RidgeWorth Seix Floating Rate High Income Fund | 1,502,698 | |
TOTAL INVESTMENT COMPANY | |||
(Cost $1,767,584) | $ | 1,877,439 | |
TOTAL INVESTMENTS – 96.6% | |||
(Cost $43,354,261) | $ | 48,135,345 | |
OTHER ASSETS IN EXCESS OF LIABILITIES – 3.4% | 1,711,069 | ||
NET ASSETS – 100.0% | $ | 49,846,414 | |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | |||
* Non-income producing security. | |||
Investment Abbreviations: | |||
ETF —Exchange Traded Fund | |||
TIPS—Treasury Inflation Protected Securities |
34 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS TARGET DATE 2045 PORTFOLIO
Schedule of Investments
April 30, 2017 (Unaudited)
Shares | Description | Value | |
Exchange Traded Funds – 92.7% | |||
Alternative Funds* – 2.0% | |||
5,335 | PowerShares DB Gold Fund | $ | 216,708 |
Bond Funds – 18.6% | |||
2,648 | iShares 20+ Year Treasury Bond ETF | 323,983 | |
3,489 | iShares 3-7 Year Treasury Bond ETF | 431,659 | |
6,063 | iShares 7-10 Year Treasury Bond ETF | 646,316 | |
4,822 | Schwab U.S. TIPs ETF | 268,585 | |
4,052 | Vanguard Short-Term Corporate Bond ETF | 323,836 | |
1,994,379 | |||
Foreign Stock Funds – 23.1% | |||
6,011 | iShares Edge MSCI Minimum Volatility EAFE ETF | 404,300 | |
3,985 | iShares Edge MSCI Minimum Volatility Emerging Markets ETF | 216,266 | |
19,855 | Vanguard FTSE All-World ex-U.S. ETF | 969,520 | |
1,334 | Vanguard FTSE Emerging Markets ETF | 53,813 | |
11,061 | Vanguard FTSE Europe ETF | 592,648 | |
4,744 | WisdomTree Japan Hedged Equity Fund | 242,276 | |
2,478,823 | |||
Stock Funds – 49.0% | |||
963 | Consumer Staples Select Sector SPDR Fund | 53,138 | |
12,362 | iShares Core S&P 500 ETF | 2,961,441 | |
4,035 | iShares Core S&P Mid-Cap ETF | 696,401 | |
4,643 | PowerShares Buyback Achievers Portfolio | 242,225 | |
6,638 | Schwab U.S. Dividend Equity ETF | 296,652 | |
1,415 | SPDR S&P Homebuilders ETF | 53,501 | |
1,982 | SPDR S&P Regional Banking ETF | 107,127 | |
1,333 | Vanguard Financials ETF | 80,060 | |
3,469 | Vanguard Growth ETF | 431,648 | |
769 | Vanguard Health Care ETF | 107,760 | |
1,747 | Vanguard Information Technology ETF | 242,484 | |
5,272,437 | |||
TOTAL EXCHANGE TRADED FUNDS | |||
(Cost $9,333,545) | $ | 9,962,347 | |
Investment Company – 3.5% | |||
6,802 | Schwab Fundamental U.S. Large Company Index Fund Institutional Shares | 107,476 | |
30,773 | RidgeWorth Seix Floating Rate High Income Fund | 269,881 | |
TOTAL INVESTMENT COMPANY | |||
(Cost $374,027) | $ | 377,357 | |
TOTAL INVESTMENTS – 96.2% | |||
(Cost $9,707,572) | $ | 10,339,704 | |
OTHER ASSETS IN EXCESS OF LIABILITIES – 3.8% | 410,617 | ||
NET ASSETS – 100.0% | $ | 10,750,321 | |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | |||
* Non-income producing security. | |||
Investment Abbreviations: | |||
ETF —Exchange Traded Fund | |||
TIPS—Treasury Inflation Protected Securities |
The accompanying notes are an integral part of these financial statements. 35
GOLDMAN SACHS TARGET DATE 2050 PORTFOLIO
Schedule of Investments
April 30, 2017 (Unaudited)
Shares | Description | Value | |
Exchange Traded Funds – 94.1% | |||
Alternative Funds* – 2.0% | |||
12,507 | PowerShares DB Gold Fund | $ | 508,034 |
Bond Funds – 14.2% | |||
6,237 | iShares 20+ Year Treasury Bond ETF | 763,097 | |
7,173 | iShares 3-7 Year Treasury Bond ETF | 887,443 | |
9,520 | iShares 7-10 Year Treasury Bond ETF | 1,014,832 | |
6,817 | Schwab U.S. TIPs ETF | 379,707 | |
6,345 | Vanguard Short-Term Corporate Bond ETF | 507,092 | |
3,552,171 | |||
Foreign Stock Funds – 24.8% | |||
14,133 | iShares Edge MSCI Minimum Volatility EAFE ETF | 950,586 | |
10,510 | iShares Edge MSCI Minimum Volatility Emerging Markets ETF | 570,378 | |
49,315 | Vanguard FTSE All-World ex-U.S. ETF | 2,408,051 | |
3,117 | Vanguard FTSE Emerging Markets ETF | 125,740 | |
28,350 | Vanguard FTSE Europe ETF | 1,518,993 | |
12,503 | WisdomTree Japan Hedged Equity Fund | 638,528 | |
6,212,276 | |||
Stock Funds – 53.1% | |||
2,301 | Consumer Staples Select Sector SPDR Fund | 126,969 | |
30,674 | iShares Core S&P 500 ETF | 7,348,264 | |
10,256 | iShares Core S&P Mid-Cap ETF | 1,770,083 | |
12,114 | PowerShares Buyback Achievers Portfolio | 631,987 | |
17,040 | Schwab U.S. Dividend Equity ETF | 761,518 | |
3,353 | SPDR S&P Homebuilders ETF | 126,777 | |
4,664 | SPDR S&P Regional Banking ETF | 252,089 | |
4,206 | Vanguard Financials ETF | 252,612 | |
9,165 | Vanguard Growth ETF | 1,140,401 | |
1,814 | Vanguard Health Care ETF | 254,196 | |
4,566 | Vanguard Information Technology ETF | 633,761 | |
13,298,657 | |||
TOTAL EXCHANGE TRADED FUNDS | |||
(Cost $20,839,834) | $ | 23,571,138 |
Investment Company – 3.0% | ||||
15,985 | Schwab Fundamental U.S. Large Company Index Fund Institutional Shares | 252,564 | ||
57,715 | RidgeWorth Seix Floating Rate High Income Fund | 506,159 | ||
TOTAL INVESTMENT COMPANY | ||||
(Cost $684,874) | $ | 758,723 | ||
TOTAL INVESTMENTS – 97.1% | ||||
(Cost $21,524,708) | $ | 24,329,861 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES – 2.9% | 718,320 | |||
NET ASSETS – 100.0% | $ | 25,048,181 | ||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||||
* Non-income producing security. | ||||
Investment Abbreviations: | ||||
ETF —Exchange Traded Fund | ||||
TIPS—Treasury Inflation Protected Securities |
36 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS TARGET DATE 2055 PORTFOLIO
Schedule of Investments
April 30, 2017 (Unaudited)
Shares | Description | Value | |
Exchange Traded Funds – 93.7% | |||
Alternative Funds* – 2.0% | |||
5,396 | PowerShares DB Gold Fund | $ | 219,186 |
Bond Funds – 9.5% | |||
2,691 | iShares 20+ Year Treasury Bond ETF | 329,244 | |
2,652 | iShares 3-7 Year Treasury Bond ETF | 328,105 | |
1,540 | iShares 7-10 Year Treasury Bond ETF | 164,164 | |
1,962 | Schwab U.S. TIPs ETF | 109,283 | |
1,369 | Vanguard Short-Term Corporate Bond ETF | 109,411 | |
1,040,207 | |||
Foreign Stock Funds – 26.1% | |||
6,503 | iShares Edge MSCI Minimum Volatility EAFE ETF | 437,392 | |
5,043 | iShares Edge MSCI Minimum Volatility Emerging Markets ETF | 273,684 | |
22,394 | Vanguard FTSE All-World ex-U.S. ETF | 1,093,499 | |
1,356 | Vanguard FTSE Emerging Markets ETF | 54,701 | |
13,266 | Vanguard FTSE Europe ETF | 710,792 | |
5,351 | WisdomTree Japan Hedged Equity Fund | 273,275 | |
2,843,343 | |||
Stock Funds – 56.1% | |||
975 | Consumer Staples Select Sector SPDR Fund | 53,800 | |
13,917 | iShares Core S&P 500 ETF | 3,333,956 | |
4,740 | iShares Core S&P Mid-Cap ETF | 818,077 | |
6,284 | PowerShares Buyback Achievers Portfolio | 327,836 | |
7,351 | Schwab U.S. Dividend Equity ETF | 328,516 | |
2,157 | SPDR S&P Homebuilders ETF | 81,556 | |
2,012 | SPDR S&P Regional Banking ETF | 108,749 | |
1,815 | Vanguard Financials ETF | 109,009 | |
3,962 | Vanguard Growth ETF | 492,992 | |
974 | Vanguard Health Care ETF | 136,487 | |
2,364 | Vanguard Information Technology ETF | 328,123 | |
6,119,101 | |||
TOTAL EXCHANGE TRADED FUNDS | |||
(Cost $9,466,749) | $ | 10,221,837 |
Investment Company – 2.5% | ||||
6,896 | Schwab Fundamental U.S. Large Company Index Fund Institutional Shares | 108,964 | ||
18,706 | RidgeWorth Seix Floating Rate High Income Fund | 164,054 | ||
TOTAL INVESTMENT COMPANY | ||||
(Cost $269,782) | $ | 273,018 | ||
TOTAL INVESTMENTS – 96.2% | ||||
(Cost $9,736,531) | $ | 10,494,855 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES – 3.8% | 417,618 | |||
NET ASSETS – 100.0% | $ | 10,912,473 | ||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||||
* Non-income producing security. | ||||
Investment Abbreviations: | ||||
ETF —Exchange Traded Fund | ||||
TIPS—Treasury Inflation Protected Securities |
The accompanying notes are an integral part of these financial statements. 37
Statements of Assets and Liabilities
April 30, 2017 (Unaudited)
Target Date 2020 Portfolio | ||
Assets: | ||
Investments, at value (cost $48,477,903, $9,648,575, $66,149,978, $9,676,099, $43,354,261, $9,707,572, $21,524,708 and $9,736,531) | $ | 50,910,743 |
Cash | 1,919,873 | |
Deferred offering costs | — | |
Receivables: | ||
Investments sold | 644,545 | |
Dividends | 12,413 | |
Fund shares sold | 1,090 | |
Reimbursement from investment adviser | — | |
Other assets | 5,669 | |
Total assets | 53,494,333 | |
Liabilities: | ||
Payables: | ||
Investments purchased | 442,067 | |
Management fees | 10,860 | |
Distribution and Service fees and Transfer Agency fees | 885 | |
Fund shares redeemed | — | |
Offering expense | — | |
Accrued expenses | 298,095 | |
Total liabilities | 751,907 | |
Net Assets: | ||
Paid-in capital | 48,528,614 | |
Undistributed net investment income | 186,934 | |
Accumulated net realized gain (loss) | 1,594,038 | |
Net unrealized gain | 2,432,840 | |
NET ASSETS | $ | 52,742,426 |
Net Assets: | ||
Class A | $ | 15,741 |
Institutional | 10,232 | |
Service | 10,196 | |
Class IR | 10,221 | |
Class R | 10,185 | |
Class R6 | 52,685,851 | |
Total Net Assets | $ | 52,742,426 |
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||
Class A | 1,623 | |
Institutional | 1,054 | |
Service | 1,052 | |
Class IR | 1,053 | |
Class R | 1,051 | |
Class R6 | 5,424,205 | |
Net asset value, offering and redemption price per share:(a) | ||
Class A | $ | 9.70 |
Institutional | 9.71 | |
Service | 9.69 | |
Class IR | 9.71 | |
Class R | 9.69 | |
Class R6 | 9.71 |
(a) Maximum public offering price per share for Class A Shares of the Target Date 2020, Target Date 2025, Target Date 2030, Target Date 2035, Target Date 2040, Target Date 2045, Target Date 2050, and Target Date 2055 Portfolios is $10.26, $10.91, $10.48, $11.09, $10.30, $11.22, $10.72 and $11.33, respectively. |
(b) Net asset value may not recalculate due to rounding of fractional shares. |
38 The accompanying notes are an integral part of these financial statements.
Target Date 2025 Portfolio |
Target Date 2030 Portfolio |
Target Date 2035 Portfolio |
Target Date 2040 Portfolio |
Target Date 2045 Portfolio |
Target Date 2050 Portfolio |
Target Date 2055 Portfolio |
|||||||||||
$ | 10,062,515 | $ | 72,169,489 | $ | 10,209,942 | $ | 48,135,345 | $ | 10,339,704 | $ | 24,329,861 | $ | 10,494,855 | ||||
439,448 | 2,788,426 | 445,326 | 1,982,585 | 449,887 | 998,033 | 457,106 | |||||||||||
38,032 | — | 38,032 | — | 38,032 | — | 37,760 | |||||||||||
138,885 | 704,260 | 84,312 | 585,235 | 120,871 | 304,551 | 146,813 | |||||||||||
2,150 | 13,613 | 1,644 | 6,724 | 1,234 | 2,214 | 876 | |||||||||||
— | 319 | 922 | 1,614 | — | 1,729 | 376 | |||||||||||
26,028 | — | 25,921 | — | 25,871 | — | 25,901 | |||||||||||
1,251 | 7,925 | 13,599 | 5,160 | 1,262 | 2,509 | 13,814 | |||||||||||
10,708,309 | 75,684,032 | 10,819,698 | 50,716,663 | 10,976,861 | 25,638,897 | 11,177,501 | |||||||||||
159,211 | 482,203 | 104,199 | 561,013 | 139,379 | 289,331 | 166,334 | |||||||||||
2,134 | 15,581 | 2,161 | 10,221 | 2,186 | 5,119 | 2,215 | |||||||||||
370 | 1,332 | 365 | 840 | 380 | 426 | 392 | |||||||||||
18 | — | — | — | — | — | — | |||||||||||
43,395 | — | 43,396 | — | 43,397 | — | 42,850 | |||||||||||
41,106 | 298,216 | 53,608 | 298,175 | 41,198 | 295,840 | 53,237 | |||||||||||
246,234 | 797,332 | 203,729 | 870,249 | 226,540 | 590,716 | 265,028 | |||||||||||
10,122,047 | 63,886,306 | 10,114,419 | 41,365,291 | 10,127,377 | 21,555,614 | 10,170,878 | |||||||||||
31,287 | 227,643 | 28,262 | 143,196 | 27,130 | 64,730 | 24,519 | |||||||||||
(105,199 | ) | 4,753,240 | (60,555 | ) | 3,556,843 | (36,318 | ) | 622,684 | (41,248 | ) | |||||||
413,940 | 6,019,511 | 533,843 | 4,781,084 | 632,132 | 2,805,153 | 758,324 | |||||||||||
$ | 10,462,075 | $ | 74,886,700 | $ | 10,615,969 | $ | 49,846,414 | $ | 10,750,321 | $ | 25,048,181 | $ | 10,912,473 |
$ | 54,165 | $ | 203,118 | $ | 27,809 | $ | 14,381 | $ | 36,377 | $ | 10,754 | $ | 81,223 | ||||
10,366,328 | 10,530 | 10,532,454 | 10,656 | 10,656,136 | 10,785 | 10,777,337 | |||||||||||
10,383 | 10,493 | 10,549 | 10,619 | 10,674 | 10,747 | 10,795 | |||||||||||
10,408 | 10,518 | 10,575 | 10,645 | 10,699 | 10,773 | 10,821 | |||||||||||
10,372 | 20,597 | 10,606 | 21,575 | 25,725 | 10,761 | 10,783 | |||||||||||
10,419 | 74,631,444 | 23,976 | 49,778,538 | 10,710 | 24,994,361 | 21,514 | |||||||||||
$ | 10,462,075 | $ | 74,886,700 | $ | 10,615,969 | $ | 49,846,414 | $ | 10,750,321 | $ | 25,048,181 | $ | 10,912,473 | ||||
5,254 | 20,521 | 2,652 | 1,478 | 3,431 | 1,062 | 7,581 | |||||||||||
1,003,051 | 1,061 | 1,003,493 | 1,094 | 1,003,690 | 1,063 | 1,004,014 | |||||||||||
1,006 | 1,059 | 1,007 | 1,092 | 1,007 | 1,062 | 1,007 | |||||||||||
1,008 | 1,061 | 1,008 | 1,093 | 1,008 | 1,063 | 1,009 | |||||||||||
1,006 | 2,080 | 1,013 | 2,219 | 2,428 | 1,064 | 1,007 | |||||||||||
1,008 | 7,524,325 | 2,284 | 5,105,755 | 1,009 | 2,464,652 | 2,005 | |||||||||||
$ | 10.31 | $ | 9.90 | $ | 10.48 | $ | 9.73 | $ | 10.60 | $ | 10.13 | $ | 10.71 | ||||
10.33 | 9.92 | 10.50 | 9.75 | 10.62 | 10.14 | 10.73 | |||||||||||
10.32 | 9.91 | 10.48 | 9.73 | 10.60 | 10.12 | 10.72 | |||||||||||
10.33 | 9.92 | 10.49 | 9.74 | 10.61 | 10.14 | 10.73 | (b) | ||||||||||
10.31 | 9.90 | 10.47 | 9.72 | 10.59 | 10.12 | 10.71 | |||||||||||
10.34 | 9.92 | 10.50 | 9.75 | 10.62 | 10.14 | 10.73 |
The accompanying notes are an integral part of these financial statements. 39
Statements of Operations
For the Six Months Ended April 30, 2017 (Unaudited)
Target Date 2020 Portfolio |
|||
Investment income: | |||
Dividends | $ | 528,870 | |
Total investment income | 528,870 | ||
Expenses: | |||
Professional fees | 147,364 | ||
Management fees | 66,626 | ||
Printing and mailing costs | 38,377 | ||
Registration fees | 32,546 | ||
Custody, accounting and administrative services | 24,304 | ||
Trustee fees | 23,407 | ||
Transfer Agency fees(a) | 5,356 | ||
Distribution and Service fees(a) | 63 | ||
Amortization of offering costs | — | ||
Other | 5,693 | ||
Total expenses | 343,736 | ||
Less — expense reductions | (260,727 | ) | |
Net expenses | 83,009 | ||
NET INVESTMENT INCOME | 445,861 | ||
Realized and unrealized gain (loss): | |||
Capital gain distributions from Underlying Funds | — | ||
Net realized gain (loss) from investments | 2,101,487 | ||
Net change in unrealized gain (loss) on investments | (552,174 | ) | |
Net realized and unrealized gain | 1,549,313 | ||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,995,174 | |
(a) Class specific Distribution and Service and Transfer Agency fees were as follows: |
Distribution and Service Fees | Transfer Agency Fees | |||||||||||||||||||||||||
Portfolio | Class A | Service | Class R | Class A | Institutional | Service | Class IR | Class R | Class R6 | |||||||||||||||||
Target Date 2020 | $ | 13 | $ | 25 | $ | 25 | $ | 10 | $ | 2 | $ | 2 | $ | 9 | $ | 9 | $ | 5,324 | ||||||||
Target Date 2025 | 52 | 25 | 25 | 39 | 1,997 | 2 | 9 | 9 | 2 | |||||||||||||||||
Target Date 2030 | 154 | 25 | 31 | 117 | 2 | 2 | 9 | 11 | 7,611 | |||||||||||||||||
Target Date 2035 | 26 | 25 | 25 | 19 | 2,017 | 2 | 9 | 9 | 1 | |||||||||||||||||
Target Date 2040 | 17 | 25 | 32 | 13 | 2 | 2 | 9 | 12 | 4,928 | |||||||||||||||||
Target Date 2045 | 18 | 25 | 35 | 14 | 2,033 | 2 | 9 | 12 | 2 | |||||||||||||||||
Target Date 2050 | 13 | 26 | 26 | 10 | 2 | 2 | 10 | 10 | 2,357 | |||||||||||||||||
Target Date 2055 | 30 | 26 | 26 | 23 | 2,048 | 2 | 10 | 10 | 2 |
40 The accompanying notes are an integral part of these financial statements.
Target Date 2025 Portfolio |
Target Date 2030 Portfolio |
Target Date 2035 Portfolio |
Target Date 2040 Portfolio |
Target Date 2045 Portfolio |
Target Date 2050 Portfolio |
Target Date 2055 Portfolio |
||||||||||||||
$ | 100,931 | $ | 767,759 | $ | 102,226 | $ | 504,932 | $ | 103,903 | $ | 239,339 | $ | 105,483 | |||||||
100,931 | 767,759 | 102,226 | 504,932 | 103,903 | 239,339 | 105,483 | ||||||||||||||
20,620 | 147,364 | 20,620 | 147,364 | 20,620 | 147,364 | 20,620 | ||||||||||||||
12,584 | 95,348 | 12,686 | 61,688 | 12,779 | 29,550 | 12,890 | ||||||||||||||
17,108 | 38,377 | 17,108 | 38,377 | 17,108 | 38,377 | 17,106 | ||||||||||||||
9,230 | 32,539 | 9,230 | 32,539 | 9,230 | 32,552 | 9,230 | ||||||||||||||
17,834 | 23,787 | 17,595 | 23,485 | 17,486 | 18,312 | 17,557 | ||||||||||||||
21,914 | 24,204 | 21,914 | 23,288 | 21,915 | 22,321 | 21,916 | ||||||||||||||
2,058 | 7,752 | 2,057 | 4,966 | 2,072 | 2,391 | 2,095 | ||||||||||||||
102 | 210 | 76 | 74 | 78 | 65 | 82 | ||||||||||||||
82,019 | — | 82,019 | — | 82,019 | — | 82,019 | ||||||||||||||
3,102 | 5,666 | 3,102 | 5,656 | 3,103 | 5,645 | 3,102 | ||||||||||||||
186,571 | 375,247 | 186,407 | 337,437 | 186,410 | 296,577 | 186,617 | ||||||||||||||
(169,943 | ) | (256,277 | ) | (169,692 | ) | (260,620 | ) | (169,572 | ) | (259,782 | ) | (169,630 | ) | |||||||
16,628 | 118,970 | 16,715 | 76,817 | 16,838 | 36,795 | 16,987 | ||||||||||||||
84,303 | 648,789 | 85,511 | 428,115 | 87,065 | 202,544 | 88,496 | ||||||||||||||
4,000 | 34,942 | 5,746 | 28,049 | 5,796 | 12,983 | 5,840 | ||||||||||||||
(51,689 | ) | 5,887,135 | (9,964 | ) | 4,480,475 | 15,213 | 1,112,140 | 17,255 | ||||||||||||
550,941 | (1,211,022 | ) | 691,108 | (851,755 | ) | 796,436 | 907,602 | 923,504 | ||||||||||||
503,252 | 4,711,055 | 686,890 | 3,656,769 | 817,445 | 2,032,725 | 946,599 | ||||||||||||||
$ | 587,555 | $ | 5,359,844 | $ | 772,401 | $ | 4,084,884 | $ | 904,510 | $ | 2,235,269 | $ | 1,035,095 |
The accompanying notes are an integral part of these financial statements. 41 |
Statements of Changes in Net Assets
Target Date 2020 Portfolio | ||||||
For the Six Months Ended April 30, 2017 (Unaudited) |
||||||
For the Fiscal Year Ended October 31, 2016 |
||||||
From operations: | ||||||
Net investment income | $ | 445,861 | $ | 969,310 | ||
Net realized gain (loss) | 2,101,487 | 2,304,750 | ||||
Net change in unrealized gain (loss) | (552,174 | ) | (1,317,333 | ) | ||
Net increase (decrease) in net assets resulting from operations | 1,995,174 | 1,956,727 | ||||
Distributions to shareholders: | ||||||
From net investment income | ||||||
Class A Shares | (167 | ) | — | |||
Institutional Shares | (182 | ) | — | |||
Service Shares | (164 | ) | — | |||
Class IR Shares | (177 | ) | — | |||
Class R Shares | (159 | ) | — | |||
Class R6 Shares | (1,005,896 | ) | (899,589 | ) | ||
From net realized gains | ||||||
Class A Shares | (374 | ) | — | |||
Institutional Shares | (373 | ) | — | |||
Service Shares | (374 | ) | — | |||
Class IR Shares | (373 | ) | — | |||
Class R Shares | (373 | ) | — | |||
Class R6 Shares | (2,022,264 | ) | (1,764,331 | ) | ||
Total distributions to shareholders | (3,030,876 | ) | (2,663,920 | ) | ||
From share transactions: | ||||||
Proceeds from sales of shares | 1,402,403 | 5,445,589 | ||||
Reinvestment of distributions | 3,030,875 | 2,663,920 | ||||
Cost of shares redeemed | (4,375,733 | ) | (7,300,343 | ) | ||
Net increase (decrease) in net assets resulting from share transactions | 57,545 | 809,166 | ||||
TOTAL INCREASE (DECREASE) | (978,157 | ) | 101,973 | |||
Net assets: | ||||||
Beginning of period | 53,720,583 | 53,618,610 | ||||
End of period | $ | 52,742,426 | $ | 53,720,583 | ||
Undistributed net investment income | $ | 186,934 | $ | 747,818 | ||
(a) Commenced operations on August 22, 2016. |
42 The accompanying notes are an integral part of these financial statements.
Target Date 2025 Portfolio | Target Date 2030 Portfolio | |||||||||||||
For the Six Months Ended April 30, 2017 (Unaudited) |
For the Fiscal Year Ended October 31, 2016(a) |
For the Six Months Ended April 30, 2017 (Unaudited) |
For the Fiscal Year Ended October 31, 2016 |
|||||||||||
$ | 84,303 | $ | 26,825 | $ | 648,789 | $ | 1,461,869 | |||||||
(47,689 | ) | (57,510 | ) | 5,922,077 | 2,737,159 | |||||||||
550,941 | (137,001 | ) | (1,211,022 | ) | (1,710,529 | ) | ||||||||
587,555 | (167,686 | ) | 5,359,844 | 2,488,499 | ||||||||||
(375 | ) | — | (306 | ) | — | |||||||||
(79,700 | ) | — | (198 | ) | — | |||||||||
(62 | ) | — | (181 | ) | — | |||||||||
(75 | ) | — | (193 | ) | — | |||||||||
(57 | ) | — | (175 | ) | — | |||||||||
(80 | ) | — | (1,529,883 | ) | (1,258,551 | ) | ||||||||
— | — | (318 | ) | — | ||||||||||
— | — | (317 | ) | — | ||||||||||
— | — | (318 | ) | — | ||||||||||
— | — | (317 | ) | — | ||||||||||
— | — | (317 | ) | — | ||||||||||
— | — | (2,407,010 | ) | (2,672,152 | ) | |||||||||
(80,349 | ) | — | (3,939,533 | ) | (3,930,703 | ) | ||||||||
42,246 | 10,000,066 | 2,224,671 | 2,761,285 | |||||||||||
80,349 | — | 3,939,531 | 3,930,703 | |||||||||||
(41 | ) | (65 | ) | (6,970,954 | ) | (9,983,568 | ) | |||||||
122,554 | 10,000,001 | (806,752 | ) | (3,291,580 | ) | |||||||||
629,760 | 9,832,315 | 613,559 | (4,733,784 | ) | ||||||||||
9,832,315 | — | 74,273,141 | 79,006,925 | |||||||||||
$ | 10,462,075 | $ | 9,832,315 | $ | 74,886,700 | $ | 74,273,141 | |||||||
$ | 31,287 | $ | 27,333 | $ | 227,643 | $ | 1,109,790 |
The accompanying notes are an integral part of these financial statements. 43
Statements of Changes in Net Assets (continued)
Target Date 2035 Portfolio | ||||||
For the Six Months Ended April 30, 2017 (Unaudited) |
For the Fiscal Year Ended October 31, 2016(a) |
|||||
From operations: | ||||||
Net investment income | $ | 85,511 | $ | 27,283 | ||
Net realized gain (loss) | (4,218 | ) | (56,337 | ) | ||
Net change in unrealized gain (loss) | 691,108 | (157,265 | ) | |||
Net increase (decrease) in net assets resulting from operations | 772,401 | (186,319 | ) | |||
Distributions to shareholders: | ||||||
From net investment income | ||||||
Class A Shares | (71 | ) | — | |||
Institutional Shares | (84,675 | ) | — | |||
Service Shares | (67 | ) | — | |||
Class IR Shares | (80 | ) | — | |||
Class R Shares | (62 | ) | — | |||
Class R6 Shares | (85 | ) | — | |||
From net realized gains | ||||||
Class A Shares | — | — | ||||
Institutional Shares | — | — | ||||
Service Shares | — | — | ||||
Class IR Shares | — | — | ||||
Class R Shares | — | — | ||||
Class R6 Shares | — | — | ||||
Total distributions to shareholders | (85,040 | ) | — | |||
From share transactions: | ||||||
Proceeds from sales of shares | 29,891 | 10,000,066 | ||||
Reinvestment of distributions | 85,040 | — | ||||
Cost of shares redeemed | (5 | ) | (65 | ) | ||
Net increase (decrease) in net assets resulting from share transactions | 114,926 | 10,000,001 | ||||
TOTAL INCREASE (DECREASE) | 802,287 | 9,813,682 | ||||
Net assets: | ||||||
Beginning of period | 9,813,682 | — | ||||
End of period | $ | 10,615,969 | $ | 9,813,682 | ||
Undistributed net investment income | $ | 28,262 | $ | 27,791 | ||
(a) Commenced operations on August 22, 2016. |
44 The accompanying notes are an integral part of these financial statements.
Target Date 2040 Portfolio | Target Date 2045 Portfolio | ||||||||||||
For the Six Months Ended April 30, 2017 (Unaudited) |
For the Fiscal Year Ended October 31, 2016 |
For the Six Months Ended April 30, 2017 (Unaudited) |
For the Fiscal Year Ended October 31, 2016(a) |
||||||||||
$ | 428,115 | $ | 983,035 | $ | 87,065 | $ | 27,097 | ||||||
4,508,524 | 2,200,742 | 21,009 | (57,327 | ) | |||||||||
(851,755 | ) | (1,495,190 | ) | 796,436 | (164,304 | ) | |||||||
4,084,884 | 1,688,587 | 904,510 | (194,534 | ) | |||||||||
(256 | ) | — | (73 | ) | — | ||||||||
(211 | ) | — | (87,162 | ) | — | ||||||||
(193 | ) | — | (70 | ) | — | ||||||||
(206 | ) | — | (82 | ) | — | ||||||||
(188 | ) | — | (65 | ) | — | ||||||||
(1,022,650 | ) | (839,070 | ) | (88 | ) | — | |||||||
(571 | ) | — | — | — | |||||||||
(442 | ) | — | — | — | |||||||||
(442 | ) | — | — | — | |||||||||
(442 | ) | — | — | — | |||||||||
(442 | ) | — | — | — | |||||||||
(2,134,309 | ) | (2,209,026 | ) | — | — | ||||||||
(3,160,352 | ) | (3,048,096 | ) | (87,540 | ) | — | |||||||
1,719,052 | 1,187,738 | 40,349 | 10,000,066 | ||||||||||
3,160,351 | 3,048,096 | 87,540 | — | ||||||||||
(3,349,241 | ) | (5,514,019 | ) | (5 | ) | (65 | ) | ||||||
1,530,162 | (1,278,185 | ) | 127,884 | 10,000,001 | |||||||||
2,454,694 | (2,637,694 | ) | 944,854 | 9,805,467 | |||||||||
47,391,720 | 50,029,414 | 9,805,467 | — | ||||||||||
$ | 49,846,414 | $ | 47,391,720 | $ | 10,750,321 | $ | 9,805,467 | ||||||
$ | 143,196 | $ | 738,785 | $ | 27,130 | $ | 27,605 |
The accompanying notes are an integral part of these financial statements. 45
Statements of Changes in Net Assets (continued)
Target Date 2050 Portfolio | ||||||
For the Six Months Ended April 30, 2017 (Unaudited) |
For the Fiscal Year Ended October 31, 2016 |
|||||
From operations: | ||||||
Net investment income | $ | 202,544 | $ | 446,501 | ||
Net realized gain (loss) | 1,125,123 | 844,921 | ||||
Net change in unrealized gain (loss) | 907,602 | (529,507 | ) | |||
Net increase (decrease) in net assets resulting from operations | 2,235,269 | 761,915 | ||||
Distributions to shareholders: | ||||||
From net investment income | ||||||
Class A Shares | (196 | ) | — | |||
Institutional Shares | (210 | ) | — | |||
Service Shares | (192 | ) | — | |||
Class IR Shares | (205 | ) | — | |||
Class R Shares | (187 | ) | — | |||
Class R6 Shares | (470,084 | ) | (348,249 | ) | ||
From net realized gains | ||||||
Class A Shares | (404 | ) | — | |||
Institutional Shares | (404 | ) | — | |||
Service Shares | (404 | ) | — | |||
Class IR Shares | (404 | ) | — | |||
Class R Shares | (404 | ) | — | |||
Class R6 Shares | (892,169 | ) | (629,298 | ) | ||
Total distributions to shareholders | (1,365,263 | ) | (977,547 | ) | ||
From share transactions: | ||||||
Proceeds from sales of shares | 2,330,588 | 1,728,932 | ||||
Reinvestment of distributions | 1,365,263 | 977,547 | ||||
Cost of shares redeemed | (1,223,381 | ) | (1,267,315 | ) | ||
Net increase in net assets resulting from share transactions | 2,472,470 | 1,439,164 | ||||
TOTAL INCREASE | 3,342,476 | 1,223,532 | ||||
Net assets: | ||||||
Beginning of period | 21,705,705 | 20,482,173 | ||||
End of period | $ | 25,048,181 | $ | 21,705,705 | ||
Undistributed net investment income | $ | 64,730 | $ | 333,260 | ||
(a) Commenced operations on August 22, 2016. |
46 The accompanying notes are an integral part of these financial statements.
Target Date 2055 Portfolio | ||||||
For the Six Months Ended April 30, 2017 (Unaudited) |
For the Fiscal Year Ended October 31, 2016(a) |
|||||
$ | 88,496 | $ | 26,977 | |||
23,095 | (64,343 | ) | ||||
923,504 | (165,180 | ) | ||||
1,035,095 | (202,546 | ) | ||||
(98 | ) | — | ||||
(91,043 | ) | — | ||||
(74 | ) | — | ||||
(86 | ) | — | ||||
(69 | ) | — | ||||
(92 | ) | — | ||||
— | — | |||||
— | — | |||||
— | — | |||||
— | — | |||||
— | — | |||||
— | — | |||||
(91,462 | ) | — | ||||
79,941 | 10,000,066 | |||||
91,462 | — | |||||
(18 | ) | (65 | ) | |||
171,385 | 10,000,001 | |||||
1,115,018 | 9,797,455 | |||||
9,797,455 | — | |||||
$ | 10,912,473 | $ | 9,797,455 | |||
$ | 24,519 | $ | 27,485 |
The accompanying notes are an integral part of these financial statements. 47
GOLDMAN SACHS TARGET DATE 2020 PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Year - Share Class | |||||||||||||||||||||||
Income (loss) from Investment Operations |
Distributions to shareholders | ||||||||||||||||||||||
Net asset value, beginning of period |
Net investment income(a) |
Net realized and unrealized gain (loss) |
Total from investment operations |
From net investment income |
From net realized gains |
Total distributions |
|||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | |||||||||||||||||||||||
2017 - A | $ | 9.90 | $ | 0.05 | $ | 0.29 | $ | 0.34 | $ | (0.16 | ) | $ | (0.38 | ) | $ | (0.54 | ) | ||||||
2017 - Institutional | 9.91 | 0.08 | 0.28 | 0.36 | (0.18 | ) | (0.38 | ) | (0.56 | ) | |||||||||||||
2017 - Service | 9.90 | 0.05 | 0.28 | 0.33 | (0.16 | ) | (0.38 | ) | (0.54 | ) | |||||||||||||
2017 - IR | 9.91 | 0.07 | 0.28 | 0.35 | (0.17 | ) | (0.38 | ) | (0.55 | ) | |||||||||||||
2017 - R | 9.90 | 0.05 | 0.27 | 0.32 | (0.15 | ) | (0.38 | ) | (0.53 | ) | |||||||||||||
2017 - R6 | 9.91 | 0.08 | 0.28 | 0.36 | (0.18 | ) | (0.38 | ) | (0.56 | ) | |||||||||||||
FOR THE FISCAL YEARS ENDED OCTOBER 31, | |||||||||||||||||||||||
2016 - A (Commenced August 22, 2016) | 10.05 | 0.02 | (0.17 | ) | (0.15 | ) | — | — | — | ||||||||||||||
2016 - Institutional (Commenced August 22, 2016) | 10.05 | 0.03 | (0.17 | ) | (0.14 | ) | — | — | — | ||||||||||||||
2016 - Service (Commenced August 22, 2016) | 10.05 | 0.02 | (0.17 | ) | (0.15 | ) | — | — | — | ||||||||||||||
2016 - IR (Commenced August 22, 2016) | 10.05 | 0.02 | (0.16 | ) | (0.14 | ) | — | — | — | ||||||||||||||
2016 - R (Commenced August 22, 2016) | 10.05 | 0.01 | (0.16 | ) | (0.15 | ) | — | — | — | ||||||||||||||
2016 - R6 | 10.07 | 0.18 | 0.16 | 0.34 | (0.17 | ) | (0.33 | ) | (0.50 | ) | |||||||||||||
2015 - R6 | 10.00 | 0.16 | 0.10 | 0.26 | (0.09 | ) | (0.10 | ) | (0.19 | ) | |||||||||||||
FOR THE PERIOD ENDED OCTOBER 31, | |||||||||||||||||||||||
2014 - R6 (Commenced August 29, 2014) | 10.00 | 0.03 | (0.03 | ) | — | — | — | — |
48 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS TARGET DATE 2020 PORTFOLIO
Net asset value, end of period |
Total return(b) |
Net assets, end of period (in 000s) |
Ratio of net expenses to average net assets |
Ratio of total expenses to average net assets |
Ratio of net investment income to average net assets |
Portfolio turnover rate(c) |
|||||||||||||
$ | 9.70 | 3.60 | % | $ | 16 | 0.73 | %(d) | 1.65 | %(d) | 1.14 | %(d) | 119 | % | ||||||
9.71 | 3.75 | 10 | 0.33 | (d) | 1.31 | (d) | 1.64 | (d) | 119 | ||||||||||
9.69 | 3.46 | 10 | 0.83 | (d) | 1.81 | (d) | 1.14 | (d) | 119 | ||||||||||
9.71 | 3.69 | 10 | 0.48 | (d) | 1.46 | (d) | 1.49 | (d) | 119 | ||||||||||
9.69 | 3.41 | 10 | 0.98 | (d) | 1.96 | (d) | 0.99 | (d) | 119 | ||||||||||
9.71 | 3.75 | 52,686 | 0.31 | (d) | 1.29 | (d) | 1.67 | (d) | 119 | ||||||||||
9.90 | (1.49 | ) | 10 | 0.74 | (d) | 3.01 | (d) | 0.94 | (d) | 204 | |||||||||
9.91 | (1.39 | ) | 10 | 0.34 | (d) | 2.61 | (d) | 1.34 | (d) | 204 | |||||||||
9.90 | (1.49 | ) | 10 | 0.84 | (d) | 3.11 | (d) | 0.84 | (d) | 204 | |||||||||
9.91 | (1.39 | ) | 10 | 0.48 | (d) | 2.75 | (d) | 1.19 | (d) | 204 | |||||||||
9.90 | (1.49 | ) | 10 | 0.98 | (d) | 3.25 | (d) | 0.69 | (d) | 204 | |||||||||
9.91 | 3.65 | 53,671 | 0.31 | 0.76 | 1.79 | 204 | |||||||||||||
10.07 | 2.61 | 53,619 | 0.30 | 0.30 | 1.46 | 207 | |||||||||||||
10.00 | — | 61,964 | 0.32 | (d) | 0.32 | (d) | 1.82 | (d) | 48 |
The accompanying notes are an integral part of these financial statements. 49
GOLDMAN SACHS TARGET DATE 2025 PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
From investment operations |
||||||||||||||||||
Net asset value, beginning of period |
Net investment income(a) |
Net realized and unrealized gain (loss) |
Total from investment operations |
Distributions to shareholders from net investment income |
||||||||||||||
Year - Share Class | ||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | ||||||||||||||||||
2017 - A | $ | 9.82 | $ | 0.07 | $ | 0.50 | $ | 0.57 | $ | (0.08 | ) | |||||||
2017 - Institutional | 9.83 | 0.08 | 0.50 | 0.58 | (0.08 | ) | ||||||||||||
2017 - Service | 9.82 | 0.06 | 0.50 | 0.56 | (0.06 | ) | ||||||||||||
2017 - IR | 9.83 | 0.08 | 0.49 | 0.57 | (0.07 | ) | ||||||||||||
2017 - R | 9.82 | 0.05 | 0.50 | 0.55 | (0.06 | ) | ||||||||||||
2017 - R6 | 9.83 | 0.08 | 0.51 | 0.59 | (0.08 | ) | ||||||||||||
FOR THE PERIOD ENDED OCTOBER 31, | ||||||||||||||||||
2016 - A (Commenced August 22, 2016) | 10.00 | 0.02 | (0.20 | ) | (0.18 | ) | — | |||||||||||
2016 - Institutional (Commenced August 22, 2016) | 10.00 | 0.03 | (0.20 | ) | (0.17 | ) | — | |||||||||||
2016 - Service (Commenced August 22, 2016) | 10.00 | 0.02 | (0.20 | ) | (0.18 | ) | — | |||||||||||
2016 - IR (Commenced August 22, 2016) | 10.00 | 0.02 | (0.19 | ) | (0.17 | ) | — | |||||||||||
2016 - R (Commenced August 22, 2016) | 10.00 | 0.01 | (0.19 | ) | (0.18 | ) | — | |||||||||||
2016 - R6 (Commenced August 22, 2016) | 10.00 | 0.03 | (0.20 | ) | (0.17 | ) | — | |||||||||||
(a) Calculated based on the average shares outstanding methodology. | ||||||||||||||||||
(b) Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholder relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. | ||||||||||||||||||
(c) Annualized. | ||||||||||||||||||
(d) The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. | ||||||||||||||||||
50 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS TARGET DATE 2025 PORTFOLIO
Net asset value, end of period |
Total return(b) |
Net assets, end of period (in 000s) |
Ratio of net expenses to average net assets(c) |
Ratio of total expenses to average net assets(c) |
Ratio of net investment income to average net assets(c) |
Portfolio turnover rate(d) | |||||||||||||
$ | 10.31 | 5.69 | % | $ | 54 | 0.73 | % | 3.22 | % | 1.45 | % | 110 | % | ||||||
10.33 | 5.94 | 10,366 | 0.33 | 2.88 | 1.68 | 110 | |||||||||||||
10.32 | 5.75 | 10 | 0.83 | 3.38 | 1.18 | 110 | |||||||||||||
10.33 | 5.88 | 10 | 0.47 | 3.02 | 1.54 | 110 | |||||||||||||
10.31 | 5.60 | 10 | 0.97 | 3.52 | 1.03 | 110 | |||||||||||||
10.34 | 6.04 | 10 | 0.32 | 2.89 | 1.68 | 110 | |||||||||||||
9.82 | (1.70 | ) | 10 | 0.75 | 4.23 | 1.01 | 33 | ||||||||||||
9.83 | (1.70 | ) | 9,783 | 0.34 | 3.85 | 1.42 | 33 | ||||||||||||
9.82 | (1.80 | ) | 10 | 0.84 | 4.32 | 0.91 | 33 | ||||||||||||
9.83 | (1.70 | ) | 10 | 0.49 | 3.97 | 1.27 | 33 | ||||||||||||
9.82 | (1.80 | ) | 10 | 0.99 | 4.47 | 0.77 | 33 | ||||||||||||
9.83 | (1.70 | ) | 10 | 0.33 | 3.92 | 1.43 | 33 |
The accompanying notes are an integral part of these financial statements. 51
GOLDMAN SACHS TARGET DATE 2030 PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
From investment operations |
Distributions to shareholders | |||||||||||||||||||||||||
Net asset value, beginning of period |
Net investment income(a) |
Net realized and unrealized gain (loss) |
Total from investment operations |
From net investment income |
From net realized gains |
Total distributions |
||||||||||||||||||||
Year - Share Class | ||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | ||||||||||||||||||||||||||
2017 - A | $ | 9.74 | $ | 0.03 | $ | 0.63 | $ | 0.66 | $ | (0.18 | ) | $ | (0.32 | ) | $ | (0.50 | ) | |||||||||
2017 - Institutional | 9.75 | 0.08 | 0.60 | 0.68 | (0.19 | ) | (0.32 | ) | (0.51 | ) | ||||||||||||||||
2017 - Service | 9.74 | 0.06 | 0.60 | 0.66 | (0.17 | ) | (0.32 | ) | (0.49 | ) | ||||||||||||||||
2017 - IR | 9.75 | 0.07 | 0.61 | 0.68 | (0.19 | ) | (0.32 | ) | (0.51 | ) | ||||||||||||||||
2017 - R | 9.74 | 0.05 | 0.60 | 0.65 | (0.17 | ) | (0.32 | ) | (0.49 | ) | ||||||||||||||||
2017 - R6 | 9.75 | 0.08 | 0.60 | 0.68 | (0.19 | ) | (0.32 | ) | (0.51 | ) | ||||||||||||||||
FOR THE FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||
2016 - A (Commenced August 22, 2016) | 9.93 | 0.02 | (0.21 | ) | (0.19 | ) | — | — | — | |||||||||||||||||
2016 - Institutional (Commenced August 22, 2016) | 9.93 | 0.03 | (0.21 | ) | (0.18 | ) | — | — | — | |||||||||||||||||
2016 - Service (Commenced August 22, 2016) | 9.93 | 0.02 | (0.21 | ) | (0.19 | ) | — | — | — | |||||||||||||||||
2016 - IR (Commenced August 22, 2016) | 9.93 | 0.02 | (0.20 | ) | (0.18 | ) | — | — | — | |||||||||||||||||
2016 - R (Commenced August 22, 2016) | 9.93 | 0.02 | (0.21 | ) | (0.19 | ) | — | — | — | |||||||||||||||||
2016 - R6 | 9.97 | 0.19 | 0.11 | 0.30 | (0.17 | ) | (0.35 | ) | (0.52 | ) | ||||||||||||||||
2015 - R6 | 9.99 | 0.15 | 0.12 | 0.27 | (0.09 | ) | (0.20 | ) | (0.29 | ) | ||||||||||||||||
FOR THE PERIOD ENDED OCTOBER 31, | ||||||||||||||||||||||||||
2014 - R6 (Commenced August 29, 2014) | 10.00 | 0.03 | (0.04 | ) | (0.01 | ) | — | — | — |
52 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS TARGET DATE 2030 PORTFOLIO
Net asset value, end of period |
Total return(b) |
Net assets, end of period (in 000s) |
Ratio of net expenses to average net assets |
Ratio of total expenses to average net assets |
Ratio of net investment income to average net assets |
Portfolio turnover rate(c) | |||||||||||||
$ | 9.90 | 7.01 | % | $ | 203 | 0.74 | %(d) | 1.16 | %(d) | 0.60 | %(d) | 92 | % | ||||||
9.92 | 7.20 | 11 | 0.33 | (d) | 0.99 | (d) | 1.67 | (d) | 92 | ||||||||||
9.91 | 7.01 | 10 | 0.83 | (d) | 1.49 | (d) | 1.17 | (d) | 92 | ||||||||||
9.92 | 7.14 | 11 | 0.47 | (d) | 1.13 | (d) | 1.53 | (d) | 92 | ||||||||||
9.90 | 6.85 | 21 | 0.97 | (d) | 1.49 | (d) | 1.06 | (d) | 92 | ||||||||||
9.92 | 7.21 | 74,631 | 0.31 | (d) | 0.98 | (d) | 1.70 | (d) | 92 | ||||||||||
9.74 | (1.91 | ) | 10 | 0.74 | (d) | 2.33 | (d) | 1.01 | (d) | 176 | |||||||||
9.75 | (1.81 | ) | 10 | 0.34 | (d) | 1.93 | (d) | 1.41 | (d) | 176 | |||||||||
9.74 | (1.91 | ) | 10 | 0.83 | (d) | 2.43 | (d) | 0.92 | (d) | 176 | |||||||||
9.75 | (1.81 | ) | 10 | 0.48 | (d) | 2.08 | (d) | 1.27 | (d) | 176 | |||||||||
9.74 | (1.91 | ) | 10 | 0.98 | (d) | 2.57 | (d) | 0.77 | (d) | 176 | |||||||||
9.75 | 3.23 | 74,224 | 0.31 | 0.62 | 1.91 | 176 | |||||||||||||
9.97 | 2.76 | 79,007 | 0.30 | 0.30 | 1.49 | 156 | |||||||||||||
9.99 | (0.10 | ) | 82,852 | 0.32 | (d) | 0.32 | (d) | 1.87 | (d) | 44 |
The accompanying notes are an integral part of these financial statements. 53
GOLDMAN SACHS TARGET DATE 2035 PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
From investment operations |
||||||||||||||||||
Net asset value, beginning of period |
Net investment income(a) |
Net realized and unrealized gain (loss) |
Total from investment operations |
Distributions to shareholders from net investment income | ||||||||||||||
Year - Share Class | ||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | ||||||||||||||||||
2017 - A | $ | 9.81 | $ | 0.05 | $ | 0.69 | $ | 0.74 | $ | (0.07 | ) | |||||||
2017 - Institutional | 9.81 | 0.09 | 0.69 | 0.78 | (0.09 | ) | ||||||||||||
2017 - Service | 9.80 | 0.06 | 0.69 | 0.75 | (0.07 | ) | ||||||||||||
2017 - IR | 9.81 | 0.08 | 0.68 | 0.76 | (0.08 | ) | ||||||||||||
2017 - R | 9.80 | 0.05 | 0.68 | 0.73 | (0.06 | ) | ||||||||||||
2017 - R6 | 9.81 | 0.08 | 0.70 | 0.78 | (0.09 | ) | ||||||||||||
FOR THE PERIOD ENDED OCTOBER 31, | ||||||||||||||||||
2016 - A (Commenced August 22, 2016) | 10.00 | 0.02 | (0.21 | ) | (0.19 | ) | — | |||||||||||
2016 - Institutional (Commenced August 22, 2016) | 10.00 | 0.03 | (0.22 | ) | (0.19 | ) | — | |||||||||||
2016 - Service (Commenced August 22, 2016) | 10.00 | 0.02 | (0.22 | ) | (0.20 | ) | — | |||||||||||
2016 - IR (Commenced August 22, 2016) | 10.00 | 0.02 | (0.21 | ) | (0.19 | ) | — | |||||||||||
2016 - R (Commenced August 22, 2016) | 10.00 | 0.02 | (0.22 | ) | (0.20 | ) | — | |||||||||||
2016 - R6 (Commenced August 22, 2016) | 10.00 | 0.03 | (0.22 | ) | (0.19 | ) | — | |||||||||||
(a) Calculated based on the average shares outstanding methodology. | ||||||||||||||||||
(b) Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholder relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. | ||||||||||||||||||
(c) Annualized. | ||||||||||||||||||
(d) The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. | ||||||||||||||||||
54 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS TARGET DATE 2035 PORTFOLIO
Ratio of net investment income to average net assets(c) |
Portfolio turnover rate(d) | ||||||||||||||||||
Net asset value, end of period |
Total return(b) |
Net assets, end of period (in 000s) |
Ratio of net expenses to average net assets(c) |
Ratio of total expenses to average net assets(c) |
|||||||||||||||
$ | 10.48 | 7.59 | % | $ | 28 | 0.73 | % | 3.17 | % | 0.92 | % | 89 | % | ||||||
10.50 | 7.95 | 10,532 | 0.33 | 2.86 | 1.69 | 89 | |||||||||||||
10.48 | 7.66 | 11 | 0.82 | 3.34 | 1.19 | 89 | |||||||||||||
10.49 | 7.79 | 11 | 0.47 | 2.98 | 1.55 | 89 | |||||||||||||
10.47 | 7.50 | 11 | 0.97 | 3.48 | 1.05 | 89 | |||||||||||||
10.50 | 7.95 | 24 | 0.29 | 2.77 | 1.62 | 89 | |||||||||||||
9.81 | (1.90 | ) | 10 | 0.75 | 4.23 | 1.03 | 29 | ||||||||||||
9.81 | (1.90 | ) | 9,765 | 0.34 | 3.85 | 1.44 | 29 | ||||||||||||
9.80 | (2.00 | ) | 10 | 0.84 | 4.33 | 0.94 | 29 | ||||||||||||
9.81 | (1.90 | ) | 10 | 0.49 | 3.97 | 1.29 | 29 | ||||||||||||
9.80 | (2.00 | ) | 10 | 0.99 | 4.47 | 0.79 | 29 | ||||||||||||
9.81 | (1.90 | ) | 10 | 0.32 | 3.93 | 1.46 | 29 |
The accompanying notes are an integral part of these financial statements. 55
GOLDMAN SACHS TARGET DATE 2040 PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
From investment operations |
Distributions to shareholders | |||||||||||||||||||||||||
Net asset value, beginning of period |
Net investment income(a) |
Net realized and unrealized gain (loss) |
Total from investment operations |
From net investment income |
From net realized gains |
Total distributions | ||||||||||||||||||||
Year - Share Class | ||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | ||||||||||||||||||||||||||
2017 - A | $ | 9.58 | $ | 0.06 | $ | 0.71 | $ | 0.77 | $ | (0.19 | ) | $ | (0.43 | ) | $ | (0.62 | ) | |||||||||
2017 - Institutional | 9.58 | 0.08 | 0.72 | 0.80 | (0.20 | ) | (0.43 | ) | (0.63 | ) | ||||||||||||||||
2017 - Service | 9.58 | 0.06 | 0.70 | 0.76 | (0.18 | ) | (0.43 | ) | (0.61 | ) | ||||||||||||||||
2017 - IR | 9.58 | 0.07 | 0.71 | 0.78 | (0.19 | ) | (0.43 | ) | (0.62 | ) | ||||||||||||||||
2017 - R | 9.57 | 0.05 | 0.71 | 0.76 | (0.18 | ) | (0.43 | ) | (0.61 | ) | ||||||||||||||||
2017 - R6 | 9.59 | 0.08 | 0.71 | 0.79 | (0.20 | ) | (0.43 | ) | (0.63 | ) | ||||||||||||||||
FOR FISCAL YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||
2016 - A (Commenced August 22, 2016) | 9.77 | 0.02 | (0.21 | ) | (0.19 | ) | — | — | — | |||||||||||||||||
2016 - Institutional (Commenced August 22, 2016) | 9.77 | 0.03 | (0.22 | ) | (0.19 | ) | — | — | — | |||||||||||||||||
2016 - Service (Commenced August 22, 2016) | 9.77 | 0.02 | (0.21 | ) | (0.19 | ) | — | — | — | |||||||||||||||||
2016 - IR (Commenced August 22, 2016) | 9.77 | 0.02 | (0.21 | ) | (0.19 | ) | — | — | — | |||||||||||||||||
2016 - R (Commenced August 22, 2016) | 9.77 | 0.01 | (0.21 | ) | (0.20 | ) | — | — | — | |||||||||||||||||
2016 - R6 | 9.90 | 0.19 | 0.11 | 0.30 | (0.17 | ) | (0.44 | ) | (0.61 | ) | ||||||||||||||||
2015 - R6 | 9.98 | 0.15 | 0.13 | 0.28 | (0.10 | ) | (0.26 | ) | (0.36 | ) | ||||||||||||||||
FOR THE PERIOD ENDED OCTOBER 31, | ||||||||||||||||||||||||||
2014 - R6 (Commenced August 29, 2016) | 10.00 | 0.03 | (0.05 | ) | (0.02 | ) | — | — | — | |||||||||||||||||
(a) Calculated based on the average shares outstanding methodology. | ||||||||||||||||||||||||||
(b) Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. The Goldman Sachs Target Date 2040 Portfolio’s predecessor was the Madison Target Retirement 2040 Fund (the “Predecessor Fund”). On August 22, 2016, the Predecessor Fund was reorganized as a new series of Goldman Sachs Trust II. Performance prior to August 22, 2016 is that of the Predecessor Fund. Total return information of the Predecessor Fund is included in the above table because the Predecessor Fund is considered the accounting survivor of the reorganization. | ||||||||||||||||||||||||||
(c) The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. | ||||||||||||||||||||||||||
(d) Annualized. |
56 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS TARGET DATE 2040 PORTFOLIO |
|
|||||||||||||||||||
Net asset value, end of period |
Total return(b) |
Net assets, end of period (in 000s) |
Ratio of net expenses to average net assets |
Ratio of total expenses to average net assets |
Ratio of net investment income to average net assets |
Portfolio turnover rate(c) | |||||||||||||
$ | 9.73 | 8.36 | % | $ | 14 | 0.73 | %(d) | 1.77 | %(d) | 1.29 | %(d) | 90 | % | ||||||
9.75 | 8.72 | 11 | 0.33 | (d) | 1.38 | (d) | 1.71 | (d) | 90 | ||||||||||
9.73 | 8.31 | 11 | 0.83 | (d) | 1.88 | (d) | 1.21 | (d) | 90 | ||||||||||
9.74 | 8.55 | 11 | 0.47 | (d) | 1.53 | (d) | 1.57 | (d) | 90 | ||||||||||
9.72 | 8.26 | 22 | 0.98 | (d) | 1.80 | (d) | 1.11 | (d) | 90 | ||||||||||
9.75 | 8.61 | 49,779 | 0.31 | (d) | 1.37 | (d) | 1.74 | (d) | 90 | ||||||||||
9.58 | (1.94 | ) | 13 | 0.74 | (d) | 3.23 | (d) | 0.98 | (d) | 174 | |||||||||
9.58 | (1.94 | ) | 10 | 0.34 | (d) | 2.82 | (d) | 1.41 | (d) | 174 | |||||||||
9.58 | (1.94 | ) | 10 | 0.83 | (d) | 3.31 | (d) | 0.92 | (d) | 174 | |||||||||
9.58 | (1.94 | ) | 10 | 0.48 | (d) | 2.96 | (d) | 1.27 | (d) | 174 | |||||||||
9.57 | (2.05 | ) | 10 | 0.98 | (d) | 3.46 | (d) | 0.77 | (d) | 174 | |||||||||
9.59 | 3.33 | 47,340 | 0.31 | (d) | 0.80 | (d) | 1.97 | (d) | 174 | ||||||||||
9.90 | 2.86 | 50,029 | 0.30 | 0.30 | 1.50 | 160 | |||||||||||||
9.98 | (0.20 | ) | 58,903 | 0.32 | (d) | 0.32 | (d) | 1.84 | (d) | 46 |
The accompanying notes are an integral part of these financial statements. 57 |
GOLDMAN SACHS TARGET DATE 2045 PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
From investment operations |
|||||||||||||||||||
Net asset value, beginning of period |
Net investment income(a) |
Net realized and unrealized gain (loss) |
Total from investment operations |
Distributions to shareholders from net investment income | |||||||||||||||
Year - Share Class | |||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | |||||||||||||||||||
2017 - A | $ | 9.80 | $ | 0.04 | $ | 0.83 | $ | 0.87 | $ | (0.07 | ) | ||||||||
2017 - Institutional | 9.81 | 0.09 | 0.81 | 0.90 | (0.09 | ) | |||||||||||||
2017 - Service | 9.80 | 0.06 | 0.81 | 0.87 | (0.07 | ) | |||||||||||||
2017 - IR | 9.80 | 0.08 | 0.81 | 0.89 | (0.08 | ) | |||||||||||||
2017 - R | 9.79 | 0.06 | 0.80 | 0.86 | (0.06 | ) | |||||||||||||
2017 - R6 | 9.81 | 0.09 | 0.81 | 0.90 | (0.09 | ) | |||||||||||||
FOR THE PERIOD ENDED OCTOBER 31, | |||||||||||||||||||
2016 - A (Commenced August 22,2016) | 10.00 | 0.02 | (0.22 | ) | (0.20 | ) | — | ||||||||||||
2016 - Institutional (Commenced August 22, 2016) | 10.00 | 0.03 | (0.22 | ) | (0.19 | ) | — | ||||||||||||
2016 - Service (Commenced August 22, 2016) | 10.00 | 0.02 | (0.22 | ) | (0.20 | ) | — | ||||||||||||
2016 - IR (Commenced August 22, 2016) | 10.00 | 0.02 | (0.22 | ) | (0.20 | ) | — | ||||||||||||
2016 - R (Commenced August 22, 2016) | 10.00 | 0.01 | (0.22 | ) | (0.21 | ) | — | ||||||||||||
2016 - R6 (Commenced August 22, 2016) | 10.00 | 0.03 | (0.22 | ) | (0.19 | ) | — | ||||||||||||
(a) Calculated based on the average shares outstanding methodology. | |||||||||||||||||||
(b) Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholder relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. | |||||||||||||||||||
(c) Annualized. | |||||||||||||||||||
(d) The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. | |||||||||||||||||||
58 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS TARGET DATE 2045 PORTFOLIO
Net asset value, end of period |
Total return(b) |
Net assets, end of period (in 000s) |
Ratio of net expenses to average net assets(c) |
Ratio of total expenses to average net assets(c) |
Ratio of net investment income to average net assets(c) |
Portfolio turnover rate(d) | |||||||||||||
$ | 10.60 | 8.95 | % | $ | 36 | 0.72 | % | 3.12 | % | 0.84 | % | 92 | % | ||||||
10.62 | 9.20 | 10,656 | 0.33 | 2.83 | 1.70 | 92 | |||||||||||||
10.60 | 8.92 | 11 | 0.82 | 3.31 | 1.21 | 92 | |||||||||||||
10.61 | 9.15 | 11 | 0.47 | 2.96 | 1.56 | 92 | |||||||||||||
10.59 | 8.87 | 26 | 0.96 | 3.38 | 1.15 | 92 | |||||||||||||
10.62 | 9.31 | 11 | 0.32 | 2.88 | 1.71 | 92 | |||||||||||||
9.80 | (2.00 | ) | 10 | 0.75 | 4.23 | 1.02 | 29 | ||||||||||||
9.81 | (1.90 | ) | 9,756 | 0.34 | 3.85 | 1.43 | 29 | ||||||||||||
9.80 | (2.00 | ) | 10 | 0.84 | 4.33 | 0.93 | 29 | ||||||||||||
9.80 | (2.00 | ) | 10 | 0.49 | 3.97 | 1.28 | 29 | ||||||||||||
9.79 | (2.10 | ) | 10 | 0.99 | 4.48 | 0.78 | 29 | ||||||||||||
9.81 | (2.00 | ) | 10 | 0.32 | 3.93 | 1.45 | 29 |
The accompanying notes are an integral part of these financial statements. 59
GOLDMAN SACHS TARGET DATE 2050 PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
From investment operations |
Distributions to shareholders | ||||||||||||||||||||||||||
Net asset value, beginning of period |
Net investment income(a) |
Net realized and unrealized gain (loss) |
Total from investment operations |
From net investment income |
From net realized gains |
Total distributions | |||||||||||||||||||||
Year - Share Class | |||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | |||||||||||||||||||||||||||
2017 - A | $ | 9.80 | $ | 0.06 | $ | 0.86 | $ | 0.92 | $ | (0.19 | ) | $ | (0.40 | ) | $ | (0.59 | ) | ||||||||||
2017 - Institutional | 9.80 | 0.08 | 0.86 | 0.94 | (0.20 | ) | (0.40 | ) | (0.60 | ) | |||||||||||||||||
2017 - Service | 9.79 | 0.06 | 0.85 | 0.91 | (0.18 | ) | (0.40 | ) | (0.58 | ) | |||||||||||||||||
2017 - IR | 9.80 | 0.08 | 0.86 | 0.94 | (0.20 | ) | (0.40 | ) | (0.60 | ) | |||||||||||||||||
2017 - R | 9.79 | 0.05 | 0.86 | 0.91 | (0.18 | ) | (0.40 | ) | (0.58 | ) | |||||||||||||||||
2017 - R6 | 9.80 | 0.08 | 0.86 | 0.94 | (0.20 | ) | (0.40 | ) | (0.60 | ) | |||||||||||||||||
FOR THE FISCAL YEARS ENDED OCTOBER 31, | |||||||||||||||||||||||||||
2016 - A (Commenced August 22, 2016) | 10.00 | 0.02 | (0.22 | ) | (0.20 | ) | — | — | — | ||||||||||||||||||
2016 - Institutional (Commenced August 22, 2016) | 10.00 | 0.03 | (0.23 | ) | (0.20 | ) | — | — | — | ||||||||||||||||||
2016 - Service (Commenced August 22, 2016) | 10.00 | 0.02 | (0.23 | ) | (0.21 | ) | — | — | — | ||||||||||||||||||
2016 - IR (Commenced August 22, 2016) | 10.00 | 0.02 | (0.22 | ) | (0.20 | ) | — | — | — | ||||||||||||||||||
2016 - R (Commenced August 22, 2016) | 10.00 | 0.02 | (0.23 | ) | (0.21 | ) | — | — | — | ||||||||||||||||||
2016 - R6 | 9.95 | 0.20 | 0.11 | 0.31 | (0.16 | ) | (0.30 | ) | (0.46 | ) | |||||||||||||||||
2015 - R6 | 9.98 | 0.15 | 0.13 | 0.28 | (0.10 | ) | (0.21 | ) | (0.31 | ) | |||||||||||||||||
2014 - R6 (Commenced August 29, 2014) | 10.00 | 0.03 | (0.05 | ) | (0.02 | ) | — | — | — | ||||||||||||||||||
(a) Calculated based on the average shares outstanding methodology. | |||||||||||||||||||||||||||
(b) Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. The Goldman Sachs Target Date 2050 Portfolio’s predecessor was the Madison Target Retirement 2050 Fund (the “Predecessor Fund”). On August 22, 2016, the Predecessor Fund was reorganized as a new series of Goldman Sachs Trust II. Performance prior to August 22, 2016 is that of the Predecessor Fund. Total return information of the Predecessor Fund is included in the above table because the Predecessor Fund is considered the accounting survivor of the reorganization. | |||||||||||||||||||||||||||
(c) The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. | |||||||||||||||||||||||||||
(d) Annualized. |
60 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS TARGET DATE 2050 PORTFOLIO
Net asset value, end of period |
Total return(b) |
Net assets, end of period (in 000s) |
Ratio of net expenses to average net assets |
Ratio of total expenses to average net assets |
Ratio of net investment income to average net assets |
Portfolio turnover rate(c) | |||||||||||||
$ | 10.13 | 9.77 | % | $ | 11 | 0.72 | %(d) | 2.99 | %(d) | 1.31 | %(d) | 81 | % | ||||||
10.14 | 10.03 | 11 | 0.32 | (d) | 2.58 | (d) | 1.71 | (d) | 81 | ||||||||||
10.12 | 9.74 | 11 | 0.83 | (d) | 3.09 | (d) | 1.21 | (d) | 81 | ||||||||||
10.14 | 9.97 | 11 | 0.48 | (d) | 2.74 | (d) | 1.56 | (d) | 81 | ||||||||||
10.12 | 9.68 | 11 | 0.98 | (d) | 3.24 | (d) | 1.06 | (d) | 81 | ||||||||||
10.14 | 10.03 | 24,994 | 0.31 | (d) | 2.51 | (d) | 1.71 | (d) | 81 | ||||||||||
9.80 | (2.00 | ) | 10 | 0.74 | (d) | 6.30 | (d) | 1.04 | (d) | 191 | |||||||||
9.80 | (2.00 | ) | 10 | 0.34 | (d) | 5.90 | (d) | 1.44 | (d) | 191 | |||||||||
9.79 | (2.10 | ) | 10 | 0.83 | (d) | 6.40 | (d) | 0.95 | (d) | 191 | |||||||||
9.80 | (2.00 | ) | 10 | 0.48 | (d) | 6.04 | (d) | 1.30 | (d) | 191 | |||||||||
9.79 | (2.10 | ) | 10 | 0.98 | (d) | 6.54 | (d) | 0.80 | (d) | 191 | |||||||||
9.80 | 3.37 | 21,657 | 0.31 | 1.45 | 2.07 | 191 | |||||||||||||
9.95 | 2.87 | 20,482 | 0.30 | 0.30 | 1.51 | 204 | |||||||||||||
9.98 | (0.20 | ) | 21,266 | 0.32 | (d) | 0.32 | (d) | 1.72 | (d) | 52 |
The accompanying notes are an integral part of these financial statements. 61
GOLDMAN SACHS TARGET DATE 2055 PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
From investment operations |
|||||||||||||||||||
Net asset value, beginning of period |
Net investment income(a) |
Net realized and unrealized gain (loss) |
Total from investment operations |
Distributions to shareholders from net investment income | |||||||||||||||
Year - Share Class | |||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | |||||||||||||||||||
2017 - A | $ | 9.79 | $ | 0.02 | $ | 0.98 | $ | 1.00 | $ | (0.08 | ) | ||||||||
2017 - Institutional | 9.80 | 0.09 | 0.93 | 1.02 | (0.09 | ) | |||||||||||||
2017 - Service | 9.79 | 0.06 | 0.94 | 1.00 | (0.07 | ) | |||||||||||||
2017 - IR | 9.79 | 0.08 | 0.95 | 1.03 | (0.09 | ) | |||||||||||||
2017 - R | 9.79 | 0.05 | 0.94 | 0.99 | (0.07 | ) | |||||||||||||
2017 - R6 | 9.80 | 0.09 | 0.93 | 1.02 | (0.09 | ) | |||||||||||||
FOR THE PERIOD ENDED OCTOBER 31, | |||||||||||||||||||
2016 - A (Commenced August 22, 2016) | 10.00 | 0.02 | (0.23 | ) | (0.21 | ) | — | ||||||||||||
2016 - Institutional (Commenced August 22, 2016) | 10.00 | 0.03 | (0.23 | ) | (0.20 | ) | — | ||||||||||||
2016 - Service (Commenced August 22, 2016) | 10.00 | 0.02 | (0.23 | ) | (0.21 | ) | — | ||||||||||||
2016 - IR (Commenced August 22, 2016) | 10.00 | 0.02 | (0.23 | ) | (0.21 | ) | — | ||||||||||||
2016 - R (Commenced August 22, 2016) | 10.00 | 0.01 | (0.22 | ) | (0.21 | ) | — | ||||||||||||
2016 - R6 (Commenced August 22, 2016) | 10.00 | 0.03 | (0.23 | ) | (0.20 | ) | — | ||||||||||||
(a) Calculated based on the average shares outstanding methodology. | |||||||||||||||||||
(b) Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholder relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. | |||||||||||||||||||
(c) Annualized. | |||||||||||||||||||
(d) The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. | |||||||||||||||||||
(e) Amount is less than 0.005% per share. |
62 The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS TARGET DATE 2055 PORTFOLIO
Net asset value, end of period |
Total return(b) |
Net assets, end of period (in 000s) |
Ratio of net expenses to average net assets(c) |
Ratio of total expenses to average net assets(c) |
Ratio of net investment income to average net assets(c) |
Portfolio turnover rate(d) | |||||||||||||
$ | 10.71 | 10.26 | % | $ | 81 | 0.72 | % | 3.03 | % | 0.41 | % | 115 | % | ||||||
10.73 | 10.48 | 10,777 | 0.33 | 2.81 | 1.72 | 115 | |||||||||||||
10.72 | 10.30 | 11 | 0.82 | 3.30 | 1.22 | 115 | |||||||||||||
10.73 | 10.43 | 11 | 0.48 | 2.95 | 1.57 | 115 | |||||||||||||
10.71 | 10.14 | 11 | 0.98 | 3.46 | 1.07 | 115 | |||||||||||||
10.73 | 10.48 | 22 | 0.31 | 2.76 | 1.69 | 115 | |||||||||||||
9.79 | (2.10 | ) | 10 | 0.75 | 4.23 | 1.02 | 34 | ||||||||||||
9.80 | (2.00 | ) | 9,748 | 0.34 | 3.85 | 1.43 | 34 | ||||||||||||
9.79 | (2.10 | ) | 10 | 0.84 | 4.33 | 0.92 | 34 | ||||||||||||
9.79 | (2.00 | ) | 10 | 0.49 | 3.97 | 1.28 | 34 | ||||||||||||
9.79 | (2.10 | ) | 10 | 0.99 | 4.48 | 0.77 | 34 | ||||||||||||
9.80 | (2.00 | ) | 10 | 0.32 | 3.92 | 1.45 | 34 |
The accompanying notes are an integral part of these financial statements. 63
Notes to Financial Statements
April 30, 2017 (Unaudited)
1. ORGANIZATION |
Goldman Sachs Trust II (the Trust) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the Act), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the Portfolios or individually a Portfolio), along with their corresponding share classes and respective diversification status under the Act:
Portfolio | Share Classes Offered | Diversified/
Non-diversified |
||
All Portfolios | A, Institutional, Service, IR, R, R6 | Diversified | ||
Class A Shares are sold with a front-end
sales charge of up to 5.50%. Institutional, Service, Class IR, Class R and Class
R6 Shares are not subject to a sales charge.
Goldman Sachs Asset Management, L.P. (GSAM), an affiliate of Goldman Sachs & Co. LLC (formerly Goldman, Sachs &Co.
(Goldman Sachs), serves as investment adviser to the Portfolios pursuant
to a management agreement (each, an Agreement) with the Trust. Madison
Asset Management, LLC, (the Sub Adviser) serves as the subadviser to
the Portfolios. GSAM compensates the Sub Adviser directly in accordance with the
terms of the Sub-Advisory Agreement. The Portfolios are not charged any separate
or additional investment advisory fees by the Sub Adviser.
2. SIGNIFICANT ACCOUNTING POLICIES |
A. Investment Valuation The Portfolios valuation policy is to value investments at fair value.
B. Investment Income and Investments Investment income includes interest income, dividend income, net of any foreign withholding taxes, less any amounts reclaimable, and securities lending income. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (NAV) calculations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Income distributions are recognized as capital gains or income in the financial statements in accordance with the character that is distributed.
C. Class Allocations and Expenses Investment income, realized and unrealized gain (loss), and non-class specific
expenses of each Portfolio are allocated daily based upon the proportion of net
assets of each class. Non-class specific expenses directly incurred by a Portfolio
are charged to that Portfolio, while such expenses incurred by the Trust are allocated
across the applicable Portfolios on a straight-line and/or pro-rata basis depending
upon the nature of the expenses. Class specific expenses, where applicable, are
borne by the respective share classes and include Distribution and Service, Transfer
Agency and Service and Shareholder Administration fees.
Expenses included in the accompanying financial
statements reflect the expenses of each Portfolio and do not include any expenses
associated with the Underlying Funds (Underlying Funds). Because the
Underlying Funds have varied expense and fee levels and the Portfolios may own different
proportions of the Underlying Funds at different times, the amount of fees and expenses
incurred indirectly by each Portfolio will vary.
D. Offering Costs Offering costs paid in connection with the initial offering of shares of Target Date 2025, Target Date 2035, Target Date 2045 and Target Date 2055 are being amortized on a straight-line basis over 12 months from the date of commencement of operations.
64
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
Level 1 Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities; | |
Level 2 Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly; | |
Level 3 Prices or valuations that require significant unobservable inputs (including GSAMs assumptions in determining fair value measurement). |
Changes in valuation techniques may result
in transfers into or out of an assigned level within the hierarchy. In accordance
with the Portfolios policy, transfers between different levels of the fair
value hierarchy resulting from such changes are deemed to have occurred as of the
beginning of the reporting period.
The Board of Trustees (Trustees)
has approved Valuation Procedures that govern the valuation of the portfolio investments
held by the Portfolios, including investments for which market quotations are not
readily available. The Trustees have delegated to GSAM day-to-day responsibility
for implementing and maintaining internal controls and procedures related to the
valuation of the Portfolios portfolio investments. To assess the continuing
appropriateness of pricing sources and methodologies, GSAM regularly performs price
verification procedures and issues challenges as necessary to third party pricing
vendors or brokers, and any differences are reviewed in accordance with the Valuation
Procedures.
A. Level 1 and Level 2 Fair Value Investments The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Underlying Funds Underlying Funds include other investment companies and exchange-traded funds (ETFs). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share of the Institutional Share class on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Portfolios invest in Underlying Funds that fluctuate in value, the Portfolios shares will correspondingly fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy,
65
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
B. Level 3 Fair Value Investments To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Portfolios investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Portfolios NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.
C. Fair Value Hierarchy The following is a summary of the Portfolios investments classified in the fair value hierarchy as of April 30, 2017:
TARGET DATE 2020 PORTFOLIO
Investment Type | Level 1 | Level 2 | Level 3 | ||||||
Assets | |||||||||
Exchange Traded Funds | $ | 47,991,651 | $ | | $ | | |||
Investment Company | 2,919,092 | | | ||||||
Total | $ | 50,910,743 | $ | | $ | | |||
TARGET DATE 2025 PORTFOLIO | |||||||||
Investment Type | Level 1 | Level 2 | Level 3 | ||||||
Assets | |||||||||
Exchange Traded Funds | $ | 9,485,731 | $ | | $ | | |||
Investment Company | 576,784 | | | ||||||
Total | $ | 10,062,515 | $ | | $ | | |||
TARGET DATE 2030 PORTFOLIO | |||||||||
Investment Type | Level 1 | Level 2 | Level 3 | ||||||
Assets | |||||||||
Exchange Traded Funds | $ | 68,787,186 | $ | | $ | | |||
Investment Company | 3,382,303 | | | ||||||
Total | $ | 72,169,489 | $ | | $ | | |||
66
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Investment Type | Level 1 | Level 2 | Level 3 | ||||||
Assets | |||||||||
Exchange Traded Funds | $ | 9,784,816 | $ | | $ | | |||
Investment Company | 425,126 | | | ||||||
Total | $ | 10,209,942 | $ | | $ | | |||
TARGET DATE 2040 PORTFOLIO | |||||||||
Investment Type | Level 1 | Level 2 | Level 3 | ||||||
Assets | |||||||||
Exchange Traded Funds | $ | 46,257,906 | $ | | $ | | |||
Investment Company | 1,877,439 | | | ||||||
Total | $ | 48,135,345 | $ | | $ | | |||
TARGET DATE 2045 PORTFOLIO | |||||||||
Investment Type | Level 1 | Level 2 | Level 3 | ||||||
Assets | |||||||||
Exchange Traded Funds | $ | 9,962,347 | $ | | $ | | |||
Investment Company | 377,357 | | | ||||||
Total | $ | 10,339,704 | $ | | $ | | |||
TARGET DATE 2050 PORTFOLIO | |||||||||
Investment Type | Level 1 | Level 2 | Level 3 | ||||||
Assets | |||||||||
Exchange Traded Funds | $ | 23,571,138 | $ | | $ | | |||
Investment Company | 758,723 | | | ||||||
Total | $ | 24,329,861 | $ | | $ | | |||
TARGET DATE 2055 PORTFOLIO | |||||||||
Investment Type | Level 1 | Level 2 | Level 3 | ||||||
Assets | |||||||||
Exchange Traded Funds | $ | 10,221,837 | $ | | $ | | |||
Investment Company | 273,018 | | | ||||||
Total | $ | 10,494,855 | $ | | $ | | |||
For further information regarding security characteristics, see the Schedules of Investments.
67
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
4. AGREEMENTS AND AFFILIATED TRANSACTIONS |
Contractual Management Rate | Effective | |||||||||
First
$2 billion |
Next $3 billion |
Over $5 billion |
Management Fee Annual Rate |
|||||||
0.25% | 0.23% | 0.21% | 0.25% | |||||||
B. Distribution and/or Service (12b-1) Plans The Trust, on behalf of Class A and Class R Shares of each applicable Portfolio,
has adopted Distribution and Service Plans subject to Rule 12b-1 under the Act.
Under the Distribution and Service Plans, Goldman Sachs, which serves as distributor
(the Distributor), is entitled to a fee accrued daily and paid monthly,
for distribution services and personal and account maintenance services, which may
then be paid by Goldman Sachs to authorized dealers. These fees are equal to an
annual percentage rate of the average daily net assets attributable to Class A or
Class R Shares of the Portfolios, as applicable.
The Trust, on behalf of Services Shares
of each applicable Portfolio, has adopted a Service Plan subject to Rule 12b-1 under
the Act to allow Service Shares to compensate service organizations (including Goldman
Sachs) for providing personal account maintenance to their customers who are beneficial
owners of such shares. The Service Plan provides for compensation to the service
organizations equal to an annual percentage rate of the average daily net assets
attributable to Services Shares of the Portfolios.
Distribution and Service Plan Rates | ||||||||||||
Class A* | Class R* | Service | ||||||||||
Distribution Plan | 0.25% | 0.50% | % | |||||||||
Service Plan | | | 0.25 | |||||||||
* | With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution and Service Plans to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on service fees imposed by the Financial Industry Regulatory Authority. |
C. Distribution Agreement Goldman Sachs, as Distributor of the shares of the Portfolios pursuant to a Distribution Agreement, may retain a portion of the Class A Shares front end sales charge. For the six months ended April 30, 2017, Goldman Sachs did not retain any of the Class A Shares front end sales charges.
D. Shareholder Administration Plan The Trust, on behalf of the Portfolios, has adopted a Shareholder Administration Plan to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing varying levels of shareholder administration services to their customers who are beneficial owners of such shares. The Shareholder Administration Plan provides for compensation to the service organizations equal to an annual percentage rate of the average daily net assets attributable to Service Shares of the Portfolios.
E. Transfer Agency Agreement Goldman Sachs also serves as the transfer agent of the Portfolios for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.19% of the average daily net assets of Class A, Class IR and Class R Shares; 0.02% of the average daily net assets of Class R6 Shares; and 0.04% of the average daily net assets of Institutional and Service Shares.
68
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Portfolio |
Other Expense Reimbursements |
|||
Target Date 2020 | $ | 260,727 | ||
Target Date 2025 | 169,943 | |||
Target Date 2030 | 256,277 | |||
Target Date 2035 | 169,692 | |||
Target Date 2040 | 260,620 | |||
Target Date 2045 | 169,572 | |||
Target Date 2050 | 259,782 | |||
Target Date 2055 | 169,630 | |||
As of April 30, 2017, The Goldman Sachs Group, Inc. was the beneficial owner of 5% or more of total outstanding shares of the following Portfolios:
Class A | Institutional | Service | Class IR | Class R | Class R6 | |||||||||||||||||||
Target Date 2020 | 65 | % | 100 | % | 100 | % | 100 | % | 100 | % | | % | ||||||||||||
Target Date 2025 | 19 | 100 | 100 | 100 | 100 | 100 | ||||||||||||||||||
Target Date 2030 | 5 | 100 | 100 | 100 | 51 | | ||||||||||||||||||
Target Date 2035 | 38 | 100 | 100 | 100 | 99 | 44 | ||||||||||||||||||
Target Date 2040 | 74 | 100 | 100 | 100 | 49 | | ||||||||||||||||||
Target Date 2045 | 29 | 100 | 100 | 100 | 41 | 100 | ||||||||||||||||||
Target Date 2050 | 100 | 100 | 100 | 100 | 100 | | ||||||||||||||||||
Target Date 2055 | 13 | 100 | 100 | 100 | 100 | 50 | ||||||||||||||||||
69
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
5. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended April 30, 2017, were:
Fund | Purchases | Sales and Maturities | |||||||
Target Date 2020 | $ | 61,985,239 | $ | 64,227,590 | |||||
Target Date 2025 | 10,874,034 | 10,689,264 | |||||||
Target Date 2030 | 67,509,746 | 71,359,434 | |||||||
Target Date 2035 | 8,889,961 | 8,721,242 | |||||||
Target Date 2040 | 43,189,425 | 44,207,398 | |||||||
Target Date 2045 | 9,277,008 | 9,100,727 | |||||||
Target Date 2050 | 20,025,067 | 18,570,080 | |||||||
Target Date 2055 | 11,628,309 | 11,418,362 | |||||||
6 . TAX INFORMATION |
As of the Portfolios most recent fiscal year end, October 31, 2016, the Portfolios capital loss carryforwards and certain timing differences on a tax basis were as follows:
Target Date 2020 |
Target Date 2025 |
Target Date 2030 |
Target Date 2035 |
Target Date 2040 |
Target Date 2045 |
Target Date 2050 |
Target Date 2055 |
|||||||||||||||||||||||||
Capital loss
carryforwards: Perpetual Short-Term |
$ | | $ | (42,018 | ) | $ | | $ | (43,545 | ) | $ | | $ | (42,812 | ) | $ | | $ | (42,112 | ) | ||||||||||||
Total capital loss carryforwards | $ | | $ | (42,018 | ) | $ | | $ | (43,545 | ) | $ | | $ | (42,812 | ) | $ | | $ | (42,112 | ) | ||||||||||||
As of April 30, 2017, the Portfolios aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Target Date 2020 |
Target Date 2025 |
Target
Date 2030 |
Target
Date 2035 |
Target Date 2040 |
Target Date 2045 |
Target Date 2050 |
Target Date 2055 |
|||||||||||||||||||||||||
Tax Cost | $ | 48,985,297 | $ | 9,664,067 | $ | 67,317,668 | $ | 9,688,891 | $ | 44,305,052 | $ | 9,722,087 | $ | 22,027,045 | $ | 9,758,762 | ||||||||||||||||
Gross unrealized
gain Gross unrealized loss |
2,450,947 (525,501 | ) | 434,363 (35,915 | ) | 6,139,615 (1,287,794 | ) | 558,674 (37,623 | ) | 4,849,432 (1,019,139 | ) | 649,454 (31,837 | ) | 2,821,809 (518,993 | ) | 758,496 (22,403 | ) | ||||||||||||||||
Net unrealized gains (losses) | $ | 1,925,446 | $ | 398,448 | $ | 4,851,821 | $ | 521,051 | $ | 3,830,293 | $ | 617,617 | $ | 2,302,816 | $ | 736,093 | ||||||||||||||||
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales. GSAM has reviewed the Portfolios tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Portfolios financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
70
7. OTHER RISKS |
Investments in Other Investment Companies As a shareholder of another investment company, including an exchangetraded
fund (ETF), a Portfolio will indirectly bear its proportionate share
of any net management fees and other expenses paid by such other investment companies,
in addition to the fees and expenses regularly borne by the Portfolio. ETFs are
subject to risks that do not apply to conventional mutual funds, including but not
limited to the following: (i) the market price of the ETFs shares may trade
at a premium or a discount to their NAV; and (ii) an active trading market for an
ETFs shares may not develop or be maintained.
The Portfolios may be indirectly exposed
to the following risks through their investments in the Underlying Funds. For more
information regarding the risks of an Underlying Fund, please see the Underlying
Funds shareholder report.
Liquidity Risk A Portfolio may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Portfolio will not be able to pay redemption proceeds within the allowable time period because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Portfolio may be forced to sell investments at an unfavorable time and/or under unfavorable conditions.
Market and Credit Risks In the normal course of business, the Portfolios trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Portfolios may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolios have unsettled or open transactions defaults.
8. INDEMNIFICATIONS |
9. OTHER MATTERS |
10. SUBSEQUENT EVENTS |
71
11. SUMMARY OF SHARE TRANSACTIONS | ||||||||||||||
Target Date 2020 Portfolio | ||||||||||||||
For the Six Months Ended | ||||||||||||||
April 30, 2017 | For the Fiscal Year Ended | |||||||||||||
(Unaudited) | October 31, 2016 | |||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||
Class A Shares(a) | ||||||||||||||
Shares sold | 571 | $ | 5,507 | 996 | $ | 10,010 | ||||||||
Reinvestment of distributions | 57 | 541 | — | — | ||||||||||
Shares redeemed | — | — | (1 | ) | (11 | ) | ||||||||
628 | 6,048 | 995 | 9,999 | |||||||||||
Institutional Shares(a) | ||||||||||||||
Shares sold | 1 | 5 | 996 | 10,010 | ||||||||||
Reinvestment of distributions | 59 | 555 | — | — | ||||||||||
Shares redeemed | (1 | ) | (5 | ) | (1 | ) | (10 | ) | ||||||
59 | 555 | 995 | 10,000 | |||||||||||
Service Shares(a) | ||||||||||||||
Shares sold | — | — | 996 | 10,010 | ||||||||||
Reinvestment of distributions | 57 | 538 | — | — | ||||||||||
Shares redeemed | — | — | (1 | ) | (11 | ) | ||||||||
57 | 538 | 995 | 9,999 | |||||||||||
Class IR Shares(a) | ||||||||||||||
Shares sold | — | — | 996 | 10,010 | ||||||||||
Reinvestment of distributions | 58 | 550 | — | — | ||||||||||
Shares redeemed | — | — | (1 | ) | (11 | ) | ||||||||
58 | 550 | 995 | 9,999 | |||||||||||
Class R Shares(a) | ||||||||||||||
Shares sold | — | — | 996 | 10,010 | ||||||||||
Reinvestment of distributions | 56 | 532 | — | — | ||||||||||
Shares redeemed | — | — | (1 | ) | (11 | ) | ||||||||
56 | 532 | 995 | 9,999 | |||||||||||
Class R6 Shares | ||||||||||||||
Shares sold | 145,799 | 1,396,891 | 556,157 | 5,395,539 | ||||||||||
Reinvestment of distributions | 319,101 | 3,028,159 | 282,195 | 2,663,920 | ||||||||||
Shares redeemed | (456,088 | ) | (4,375,728 | ) | (745,292 | ) | (7,300,289 | ) | ||||||
8,812 | 49,322 | 93,060 | 759,170 | |||||||||||
NET INCREASE | 9,670 | $ | 57,545 | 98,035 | $ | 809,166 | ||||||||
(a) Commenced operations on August 22, 2016. |
72 |
Target Date 2025 Portfolio | Target Date 2030 Portfolio | ||||||||||||||||||||||||||||
For the Six Months Ended | For the Six Months Ended | ||||||||||||||||||||||||||||
April 30, 2017 | For the Fiscal Year Ended | April 30, 2017 | For the Fiscal Year Ended | ||||||||||||||||||||||||||
(Unaudited) | October 31, 2016(a) | (Unaudited) | October 31, 2016 | ||||||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | ||||||||||||||||||||||
4,216 | $ | 42,205 | 1,001 | $ | 10,011 | 19,448 | $ | 184,655 | 1,008 | $ | 10,010 | ||||||||||||||||||
38 | 375 | — | — | 66 | 623 | — | — | ||||||||||||||||||||||
— | — | (1 | ) | (11 | ) | — | — | (1 | ) | (11 | ) | ||||||||||||||||||
4,254 | 42,580 | 1,000 | 10,000 | 19,514 | 185,278 | 1,007 | 9,999 | ||||||||||||||||||||||
1 | 5 | 995,001 | 9,950,011 | 1 | 5 | 1,008 | 10,010 | ||||||||||||||||||||||
8,051 | 79,700 | — | — | 54 | 515 | — | — | ||||||||||||||||||||||
(1 | ) | (5 | ) | (1 | ) | (10 | ) | (1 | ) | (5 | ) | (1 | ) | (10 | ) | ||||||||||||||
8,051 | 79,700 | 995,000 | 9,950,001 | 54 | 515 | 1,007 | 10,000 | ||||||||||||||||||||||
— | — | 1,001 | 10,011 | — | — | 1,008 | 10,010 | ||||||||||||||||||||||
6 | 62 | — | — | 52 | 498 | — | — | ||||||||||||||||||||||
— | — | (1 | ) | (11 | ) | — | — | (1 | ) | (11 | ) | ||||||||||||||||||
6 | 62 | 1,000 | 10,000 | 52 | 498 | 1,007 | 9,999 | ||||||||||||||||||||||
— | — | 1,001 | 10,011 | — | — | 1,008 | 10,010 | ||||||||||||||||||||||
8 | 75 | — | — | 54 | 510 | — | — | ||||||||||||||||||||||
— | — | (1 | ) | (11 | ) | — | — | (1 | ) | (11 | ) | ||||||||||||||||||
8 | 75 | 1,000 | 10,000 | 54 | 510 | 1,007 | 9,999 | ||||||||||||||||||||||
3 | 36 | 1,001 | 10,011 | 1,021 | 10,020 | 1,008 | 10,010 | ||||||||||||||||||||||
6 | 57 | — | — | 52 | 492 | — | — | ||||||||||||||||||||||
(3 | ) | (36 | ) | (1 | ) | (11 | ) | — | — | (1 | ) | (11 | ) | ||||||||||||||||
6 | 57 | 1,000 | 10,000 | 1,073 | 10,512 | 1,007 | 9,999 | ||||||||||||||||||||||
— | — | 1,001 | 10,011 | 209,429 | 2,029,991 | 284,587 | 2,711,235 | ||||||||||||||||||||||
8 | 80 | — | — | 412,273 | 3,936,893 | 422,202 | 3,930,703 | ||||||||||||||||||||||
— | — | (1 | ) | (11 | ) | (713,129 | ) | (6,970,949 | ) | (1,015,250 | ) | (9,983,514 | ) | ||||||||||||||||
8 | 80 | 1,000 | 10,000 | (91,427 | ) | (1,004,065 | ) | (308,461 | ) | (3,341,576 | ) | ||||||||||||||||||
12,333 | $ | 122,554 | 1,000,000 | $ | 10,000,001 | (70,680 | ) | $ | (806,752 | ) | (303,426 | ) | $ | (3,291,580 | ) |
73 |
11. SUMMARY OF SHARE TRANSACTIONS (continued) | |||||||||||||||
Target Date 2035 Portfolio | |||||||||||||||
For the Six Months Ended | |||||||||||||||
April 30, 2017 | For the Fiscal Year Ended | ||||||||||||||
(Unaudited) | October 31, 2016(a) | ||||||||||||||
Shares | Dollars | Shares | Dollars | ||||||||||||
Class A Shares(a) | |||||||||||||||
Shares sold | 1,645 | $ | 16,616 | 1,001 | $ | 10,011 | |||||||||
Reinvestment of distributions | 7 | 71 | — | — | |||||||||||
Shares redeemed | — | — | (1 | ) | (11 | ) | |||||||||
1,652 | 16,687 | 1,000 | 10,000 | ||||||||||||
Institutional Shares(a) | |||||||||||||||
Shares sold | 1 | 5 | 995,001 | 9,950,011 | |||||||||||
Reinvestment of distributions | 8,493 | 84,675 | — | — | |||||||||||
Shares redeemed | (1 | ) | (5 | ) | (1 | ) | (10 | ) | |||||||
8,493 | 84,675 | 995,000 | 9,950,001 | ||||||||||||
Service Shares(a) | |||||||||||||||
Shares sold | — | — | 1,001 | 10,011 | |||||||||||
Reinvestment of distributions | 7 | 67 | — | — | |||||||||||
Shares redeemed | — | — | (1 | ) | (11 | ) | |||||||||
7 | 67 | 1,000 | 10,000 | ||||||||||||
Class IR Shares(a) | |||||||||||||||
Shares sold | — | — | 1,001 | 10,011 | |||||||||||
Reinvestment of distributions | 8 | 80 | — | — | |||||||||||
Shares redeemed | — | — | (1 | ) | (11 | ) | |||||||||
8 | 80 | 1,000 | 10,000 | ||||||||||||
Class R Shares(a) | |||||||||||||||
Shares sold | 7 | 67 | 1,001 | 10,011 | |||||||||||
Reinvestment of distributions | 6 | 62 | — | — | |||||||||||
Shares redeemed | — | — | (1 | ) | (11 | ) | |||||||||
13 | 129 | 1,000 | 10,000 | ||||||||||||
Class R6 Shares | |||||||||||||||
Shares sold | 1,275 | 13,203 | 1,001 | 10,011 | |||||||||||
Reinvestment of distributions | 9 | 85 | — | — | |||||||||||
Shares redeemed | — | — | (1 | ) | (11 | ) | |||||||||
1,284 | 13,288 | 1,000 | 10,000 | ||||||||||||
NET INCREASE | 11,457 | $ | 114,926 | 1,000,000 | $ | 10,000,001 | |||||||||
(a) Commenced operations on August 22, 2016. |
74 |
Target Date 2040 Portfolio | Target Date 2045 Portfolio | ||||||||||||||||||||||||||||
For the Six Months Ended | For the Six Months Ended | ||||||||||||||||||||||||||||
April 30, 2017 | For the Fiscal Year Ended | April 30, 2017 | For the Fiscal Year Ended | ||||||||||||||||||||||||||
(Unaudited) | October 31, 2016 | (Unaudited) | October 31, 2016(a) | ||||||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | ||||||||||||||||||||||
68 | $ | 653 | 1,323 | $ | 12,879 | 2,424 | $ | 25,418 | 1,001 | $ | 10,011 | ||||||||||||||||||
89 | 827 | — | — | 7 | 73 | — | — | ||||||||||||||||||||||
(1 | ) | (10 | ) | (1 | ) | (11 | ) | — | — | (1 | ) | (11 | ) | ||||||||||||||||
156 | 1,470 | 1,322 | 12,868 | 2,431 | 25,491 | 1,000 | 10,000 | ||||||||||||||||||||||
1 | 5 | 1,025 | 10,010 | 1 | 5 | 995,001 | 9,950,011 | ||||||||||||||||||||||
70 | 653 | — | — | 8,690 | 87,162 | — | — | ||||||||||||||||||||||
(1 | ) | (5 | ) | (1 | ) | (10 | ) | (1 | ) | (5 | ) | (1 | ) | (10 | ) | ||||||||||||||
70 | 653 | 1,024 | 10,000 | 8,690 | 87,162 | 995,000 | 9,950,001 | ||||||||||||||||||||||
— | — | 1,025 | 10,010 | — | — | 1,001 | 10,011 | ||||||||||||||||||||||
68 | 635 | — | — | 7 | 70 | — | — | ||||||||||||||||||||||
— | — | (1 | ) | (11 | ) | — | — | (1 | ) | (11 | ) | ||||||||||||||||||
68 | 635 | 1,024 | 9,999 | 7 | 70 | 1,000 | 10,000 | ||||||||||||||||||||||
— | — | 1,025 | 10,010 | — | — | 1,001 | 10,011 | ||||||||||||||||||||||
69 | 648 | — | — | 8 | 82 | — | — | ||||||||||||||||||||||
— | — | (1 | ) | (11 | ) | — | — | (1 | ) | (11 | ) | ||||||||||||||||||
69 | 648 | 1,024 | 9,999 | 8 | 82 | 1,000 | 10,000 | ||||||||||||||||||||||
1,128 | 10,867 | 1,025 | 10,010 | 1,422 | 14,926 | 1,001 | 10,011 | ||||||||||||||||||||||
67 | 630 | — | — | 6 | 65 | — | — | ||||||||||||||||||||||
— | — | (1 | ) | (11 | ) | — | — | (1 | ) | (11 | ) | ||||||||||||||||||
1,195 | 11,497 | 1,024 | 9,999 | 1,428 | 14,991 | 1,000 | 10,000 | ||||||||||||||||||||||
180,182 | 1,707,527 | 121,810 | 1,134,819 | — | — | 1,001 | 10,011 | ||||||||||||||||||||||
337,128 | 3,156,958 | 333,125 | 3,048,096 | 9 | 88 | — | — | ||||||||||||||||||||||
(348,502 | ) | (3,349,226 | ) | (572,414 | ) | (5,513,965 | ) | — | — | (1 | ) | (11 | ) | ||||||||||||||||
168,808 | 1,515,259 | (117,479 | ) | (1,331,050 | ) | 9 | 88 | 1,000 | 10,000 | ||||||||||||||||||||
170,366 | $ | 1,530,162 | (112,061 | ) | $ | (1,278,185 | ) | 12,573 | $ | 127,884 | 1,000,000 | $ | 10,000,001 |
75 |
11. SUMMARY OF SHARE TRANSACTIONS (continued) | |||||||||||||||
Target Date 2050 Portfolio | |||||||||||||||
For the Six Months Ended | |||||||||||||||
April 30, 2017 | For the Fiscal Year Ended | ||||||||||||||
(Unaudited) | October 31, 2016 | ||||||||||||||
Shares | Dollars | Shares | Dollars | ||||||||||||
Class A Shares(a) | |||||||||||||||
Shares sold | — | $ | — | 1,001 | $ | 10,010 | |||||||||
Reinvestment of distributions | 62 | 600 | — | — | |||||||||||
Shares redeemed | — | — | (1 | ) | (11 | ) | |||||||||
62 | 600 | 1,000 | 9,999 | ||||||||||||
Institutional Shares(a) | |||||||||||||||
Shares sold | 1 | 5 | 1,001 | 10,010 | |||||||||||
Reinvestment of distributions | 63 | 614 | — | — | |||||||||||
Shares redeemed | (1 | ) | (5 | ) | (1 | ) | (10 | ) | |||||||
63 | 614 | 1,000 | 10,000 | ||||||||||||
Service Shares(a) | |||||||||||||||
Shares sold | — | — | 1,001 | 10,010 | |||||||||||
Reinvestment of distributions | 62 | 596 | — | — | |||||||||||
Shares redeemed | — | — | (1 | ) | (11 | ) | |||||||||
62 | 596 | 1,000 | 9,999 | ||||||||||||
Class IR Shares(a) | |||||||||||||||
Shares sold | — | — | 1,001 | 10,010 | |||||||||||
Reinvestment of distributions | 63 | 609 | — | — | |||||||||||
Shares redeemed | — | — | (1 | ) | (11 | ) | |||||||||
63 | 609 | 1,000 | 9,999 | ||||||||||||
Class R Shares(a) | |||||||||||||||
Shares sold | 3 | 25 | 1,001 | 10,010 | |||||||||||
Reinvestment of distributions | 61 | 591 | — | — | |||||||||||
Shares redeemed | — | — | (1 | ) | (11 | ) | |||||||||
64 | 616 | 1,000 | 9,999 | ||||||||||||
Class R6 Shares | |||||||||||||||
Shares sold | 237,197 | 2,330,558 | 175,129 | 1,678,882 | |||||||||||
Reinvestment of distributions | 140,583 | 1,362,253 | 104,550 | 977,547 | |||||||||||
Shares redeemed | (122,264 | ) | (1,223,376 | ) | (128,796 | ) | (1,267,261 | ) | |||||||
255,516 | 2,469,435 | 150,883 | 1,389,168 | ||||||||||||
NET INCREASE | 255,830 | $ | 2,472,470 | 155,883 | $ | 1,439,164 | |||||||||
(a) Commenced operations on August 22, 2016. |
76 |
Target Date 2055 Portfolio | ||||||||||||
For the Six Months Ended April 30, 2017 (Unaudited) |
For the Fiscal Year Ended October 31, 2016(a) |
|||||||||||
Shares | Dollars | Shares | Dollars | |||||||||
6,572 | $ | 69,476 | 1,001 | $ | 10,011 | |||||||
10 | 98 | — | — | |||||||||
(1 | ) | (10 | ) | (1 | ) | (11 | ) | |||||
6,581 | 69,564 | 1,000 | 10,000 | |||||||||
— | 5 | 995,001 | 9,950,011 | |||||||||
9,014 | 91,043 | — | — | |||||||||
— | (5 | ) | (1 | ) | (10 | ) | ||||||
9,014 | 91,043 | 995,000 | 9,950,001 | |||||||||
— | — | 1,001 | 10,011 | |||||||||
7 | 74 | — | — | |||||||||
— | — | (1 | ) | (11 | ) | |||||||
7 | 74 | 1,000 | 10,000 | |||||||||
— | — | 1,001 | 10,011 | |||||||||
9 | 86 | — | — | |||||||||
— | — | (1 | ) | (11 | ) | |||||||
9 | 86 | 1,000 | 10,000 | |||||||||
— | — | 1,001 | 10,011 | |||||||||
7 | 69 | — | — | |||||||||
— | — | (1 | ) | (11 | ) | |||||||
7 | 69 | 1,000 | 10,000 | |||||||||
996 | 10,460 | 1,001 | 10,011 | |||||||||
9 | 92 | — | — | |||||||||
— | (3 | ) | (1 | ) | (11 | ) | ||||||
1,005 | 10,549 | 1,000 | 10,000 | |||||||||
16,623 | $ | 171,385 | 1,000,000 | $ | 10,000,001 |
77 |
Fund Expenses — Period Ended April 30, 2017 (Unaudited)
As a shareholder of Class A, Institutional, Service, Class IR, Class R, and Class R6 Shares of the Portfolios, you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares), and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees (with respect to Class A, Service and Class R Shares); and other Portfolio expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Institutional, Service, Class IR, Class R or Class R6 Shares of the Portfolios and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from November 1, 2016 through April 30, 2017, which represents a period of 181 days of a 365 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolios’ actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Portfolios’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolios and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Target Date 2020 Portfolio | Target Date 2025 Portfolio | Target Date 2030 Portfolio | |||||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Beginning | Ending | Expenses | Beginning | Ending | Expenses | |||||||||||||||||||||||||
Account | Account | Paid for the | Account | Account | Paid for the | Account | Account | Paid for the | |||||||||||||||||||||||||
Value | Value | 6 months ended | Value | Value | 6 months ended | Value | Value | 6 months ended | |||||||||||||||||||||||||
Share Class | 11/1/16 | 4/30/17 | 4/30/17* | 11/1/16 | 4/30/17 | 4/30/17* | 11/1/16 | 4/30/17 | 4/30/17* | ||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,036.00 | $ | 3.69 | $ | 1,000.00 | $ | 1,056.90 | $ | 3.72 | $ | 1,000.00 | $ | 1,070.10 | $ | 3.80 | |||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,021.17 | + | 3.66 | 1,000.00 | 1,021.17 | + | 3.66 | 1,000.00 | 1,021.12 | + | 3.71 | |||||||||||||||||||||
Institutional | |||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,037.50 | 1.67 | 1,000.00 | 1,059.40 | 1.69 | 1,000.00 | 1,072.00 | 1.70 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.16 | + | 1.66 | 1,000.00 | 1,023.16 | + | 1.66 | 1,000.00 | 1,023.16 | + | 1.66 | |||||||||||||||||||||
Service | |||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,034.60 | 4.19 | 1,000.00 | 1,057.50 | 4.23 | 1,000.00 | 1,070.10 | 4.26 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.68 | + | 4.16 | 1,000.00 | 1,020.68 | + | 4.16 | 1,000.00 | 1,020.68 | + | 4.16 | |||||||||||||||||||||
Class IR | |||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,036.90 | 2.42 | 1,000.00 | 1,058.80 | 2.40 | 1,000.00 | 1,071.40 | 2.41 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.41 | + | 2.41 | 1,000.00 | 1,022.46 | + | 2.36 | 1,000.00 | 1,022.46 | + | 2.36 | |||||||||||||||||||||
Class R | |||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,034.10 | 4.94 | 1,000.00 | 1,056.00 | 4.94 | 1,000.00 | 1,068.50 | 4.97 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,019.94 | + | 4.91 | 1,000.00 | 1,019.98 | + | 4.86 | 1,000.00 | 1,019.98 | + | 4.86 | |||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,037.50 | 1.57 | 1,000.00 | 1,060.40 | 1.63 | 1,000.00 | 1,072.10 | 1.59 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.26 | + | 1.56 | 1,000.00 | 1,023.21 | + | 1.61 | 1,000.00 | 1,023.26 | + | 1.56 |
78 |
Fund Expenses — Period Ended April 30, 2017 (Unaudited) (continued)
Target Date 2035 Portfolio | Target Date 2040 Portfolio | Target Date 2045 Portfolio | |||||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Beginning | Ending | Expenses | Beginning | Ending | Expenses | |||||||||||||||||||||||||
Account | Account | Paid for the | Account | Account | Paid for the | Account | Account | Paid for the | |||||||||||||||||||||||||
Value | Value | 6 months ended | Value | Value | 6 months ended | Value | Value | 6 months ended | |||||||||||||||||||||||||
Share Class | 11/1/16 | 4/30/17 | 4/30/17* | 11/1/16 | 4/30/17 | 4/30/17* | 11/1/16 | 4/30/17 | 4/30/17* | ||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,075.90 | $ | 3.76 | $ | 1,000.00 | $ | 1,083.60 | $ | 3.77 | $ | 1,000.00 | $ | 1,089.50 | $ | 3.73 | |||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,021.17 | + | 3.66 | 1,000.00 | 1,021.17 | + | 3.66 | 1,000.00 | 1,021.22 | + | 3.61 | |||||||||||||||||||||
Institutional | |||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,079.50 | 1.70 | 1,000.00 | 1,087.20 | 1.71 | 1,000.00 | 1,092.00 | 1.71 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.16 | + | 1.66 | 1,000.00 | 1,023.16 | + | 1.66 | 1,000.00 | 1,023.16 | + | 1.66 | |||||||||||||||||||||
Service | |||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,076.60 | 4.22 | 1,000.00 | 1,083.10 | 4.29 | 1,000.00 | 1,089.20 | 4.25 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.73 | + | 4.11 | 1,000.00 | 1,020.68 | + | 4.16 | 1,000.00 | 1,020.73 | + | 4.11 | |||||||||||||||||||||
Class IR | |||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,077.90 | 2.42 | 1,000.00 | 1,085.50 | 2.43 | 1,000.00 | 1,091.50 | 2.44 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.46 | + | 2.36 | 1,000.00 | 1,022.46 | + | 2.36 | 1,000.00 | 1,022.46 | + | 2.36 | |||||||||||||||||||||
Class R | |||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,075.00 | 4.99 | 1,000.00 | 1,082.60 | 5.06 | 1,000.00 | 1,088.70 | 4.97 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,019.98 | + | 4.86 | 1,000.00 | 1,019.94 | + | 4.91 | 1,000.00 | 1,020.03 | + | 4.81 | |||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,079.50 | 1.50 | 1,000.00 | 1,086.10 | 1.60 | 1,000.00 | 1,093.10 | 1.66 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.36 | + | 1.45 | 1,000.00 | 1,023.26 | + | 1.56 | 1,000.00 | 1,023.21 | + | 1.61 |
79 |
Fund Expenses — Period Ended April 30, 2017 (Unaudited) (continued)
Target Date 2050 Portfolio | Target Date 2055 Portfolio | |||||||||||||||||||||
Beginning | Ending | Expenses | Beginning | Ending | Expenses | |||||||||||||||||
Account | Account | Paid for the | Account | Account | Paid for the | |||||||||||||||||
Value | Value | 6 months ended | Value | Value | 6 months ended | |||||||||||||||||
Share Class | 11/1/16 | 4/30/17 | 4/30/17* | 11/1/16 | 4/30/17 | 4/30/17* | ||||||||||||||||
Class A | ||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,097.70 | $ | 3.74 | $ | 1,000.00 | $ | 1,102.60 | $ | 3.75 | ||||||||||
Hypothetical 5% return | 1,000.00 | 1,021.22 | + | 3.61 | 1,000.00 | 1,021.22 | + | 3.61 | ||||||||||||||
Institutional | ||||||||||||||||||||||
Actual | 1,000.00 | 1,100.30 | 1.67 | 1,000.00 | 1,104.80 | 1.72 | ||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.21 | + | 1.61 | 1,000.00 | 1,023.16 | + | 1.66 | ||||||||||||||
Service | ||||||||||||||||||||||
Actual | 1,000.00 | 1,097.40 | 4.32 | 1,000.00 | 1,103.00 | 4.28 | ||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.68 | + | 4.16 | 1,000.00 | 1,020.73 | + | 4.11 | ||||||||||||||
Class IR | ||||||||||||||||||||||
Actual | 1,000.00 | 1,099.70 | 2.50 | 1,000.00 | 1,104.30 | 2.50 | ||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.41 | + | 2.41 | 1,000.00 | 1,022.41 | + | 2.41 | ||||||||||||||
Class R | ||||||||||||||||||||||
Actual | 1,000.00 | 1,096.80 | 5.09 | 1,000.00 | 1,101.40 | 5.11 | ||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,019.94 | + | 4.91 | 1,000.00 | 1,019.94 | + | 4.91 | ||||||||||||||
Class R6 | ||||||||||||||||||||||
Actual | 1,000.00 | 1,100.30 | 1.61 | 1,000.00 | 1,104.80 | 1.62 | ||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.26 | + | 1.56 | 1,000.00 | 1,023.26 | + | 1.56 | ||||||||||||||
* Expenses for each share class are calculated using each Portfolio’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended April 30, 2017. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
Portfolio | Class A | Institutional | Service | Class IR | Class R | Class R6 | |||||||||||
Target Date 2020 | 0.73 | % | 0.33 | % | 0.83 | % | 0.48 | % | 0.98 | % | 0.31 | % | |||||
Target Date 2025 | 0.73 | 0.33 | 0.83 | 0.47 | 0.97 | 0.32 | |||||||||||
Target Date 2030 | 0.74 | 0.33 | 0.83 | 0.47 | 0.97 | 0.31 | |||||||||||
Target Date 2035 | 0.73 | 0.33 | 0.82 | 0.47 | 0.97 | 0.29 | |||||||||||
Target Date 2040 | 0.73 | 0.33 | 0.83 | 0.47 | 0.98 | 0.31 | |||||||||||
Target Date 2045 | 0.72 | 0.33 | 0.82 | 0.47 | 0.96 | 0.32 | |||||||||||
Target Date 2050 | 0.72 | 0.32 | 0.83 | 0.48 | 0.98 | 0.31 | |||||||||||
Target Date 2055 | 0.72 | 0.33 | 0.82 | 0.48 | 0.98 | 0.31 | |||||||||||
+ Hypothetical expenses are based on each Portfolio’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
80 |
FUNDS PROFILE |
Goldman Sachs Funds |
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.17 trillion in assets under supervision as of March 31, 2017, Goldman Sachs Asset Management (“GSAM”) has portfolio management teams located around the world and our investment professionals bring firsthand knowledge of local markets to every investment decision. Assets under supervision includes assets under management and other client assets for which Goldman Sachs does not have full discretion. GSAM leverages the resources of Goldman Sachs & Co. LLC subject to legal, internal and regulatory restrictions.
Money Market | Single Sector | International Equity Dividend and | Total Portfolio Solutions | |||
Financial Square FundsSM | Investment Grade Credit Fund | Premium Fund | Global Managed Beta Fund | |||
Financial Square Treasury Solutions Fund1 | U.S. Mortgages Fund | Multi-Manager Non-Core Fixed Income | ||||
Financial Square Government Fund1 | High Yield Fund | Equity Insights | Fund | |||
Financial Square Money Market Fund2 | High Yield Floating Rate Fund | Small Cap Equity Insights Fund | Multi-Manager U.S. Dynamic Equity | |||
Financial Square Prime Obligations Fund2 | Emerging Markets Debt Fund | U.S. Equity Insights Fund | Fund | |||
Financial Square Treasury Instruments | Local Emerging Markets Debt Fund | Small Cap Growth Insights Fund | Multi-Manager Global Equity Fund | |||
Fund1 | Dynamic Emerging Markets Debt Fund | Large Cap Growth Insights Fund | Multi-Manager International Equity Fund | |||
Financial Square Treasury Obligations | Fixed Income Alternatives | Large Cap Value Insights Fund | Tactical Tilt Overlay Fund | |||
Fund1 | Long Short Credit Strategies Fund | Small Cap Value Insights Fund | Balanced Strategy Portfolio | |||
Financial Square Federal Instruments Fund1 | Strategic Macro Fund5 | International Small Cap Insights Fund | Multi-Manager U.S. Small Cap Equity | |||
Financial Square Tax-Exempt Money | International Equity Insights Fund | Fund | ||||
Market Fund2 | Fundamental Equity | Multi-Manager U.S. Small Cap Equity | Multi-Manager Real Assets Strategy | |||
Investor FundsSM | Equity Income Fund6 | Emerging Markets Equity Insights Fund | Fund | |||
Investor Money Market Fund3 | Small Cap Value Fund | Growth and Income Strategy Portfolio | ||||
Investor Tax-Exempt Money Market | Small/Mid Cap Value Fund | Fundamental Equity International | Growth Strategy Portfolio | |||
Fund3 | Mid Cap Value Fund | Strategic International Equity Fund | Equity Growth Strategy Portfolio | |||
Large Cap Value Fund | Focused International Equity Fund | Satellite Strategies Portfolio | ||||
Fixed Income | Focused Value Fund | Asia Equity Fund | Enhanced Dividend Global Equity | |||
Short Duration and Government | Capital Growth Fund | Emerging Markets Equity Fund | Portfolio | |||
Enhanced Income Fund | Strategic Growth Fund | N-11 Equity Fund | Tax-Advantaged Global Equity Portfolio | |||
High Quality Floating Rate Fund | Focused Growth Fund | Strategic Factor Allocation Fund | ||||
Short-Term Conservative Income Fund4 | Small/Mid Cap Growth Fund | Select Satellite | Target Date 2020 Portfolio | |||
Short Duration Government Fund | Flexible Cap Growth Fund | Real Estate Securities Fund | Target Date 2025 Portfolio | |||
Short Duration Income Fund | Concentrated Growth Fund | International Real Estate Securities Fund | Target Date 2030 Portfolio | |||
Government Income Fund | Technology Opportunities Fund | Commodity Strategy Fund | Target Date 2035 Portfolio | |||
Inflation Protected Securities Fund | Growth Opportunities Fund | Global Real Estate Securities Fund | Target Date 2040 Portfolio | |||
Multi-Sector | Rising Dividend Growth Fund | Dynamic Allocation Fund | Target Date 2045 Portfolio | |||
Bond Fund | Dynamic U.S. Equity Fund | Absolute Return Tracker Fund | Target Date 2050 Portfolio | |||
Core Fixed Income Fund_ | Income Builder Fund | Long Short Fund | Target Date 2055 Portfolio | |||
Global Income Fund | Managed Futures Strategy Fund | GQG Partners International | ||||
Strategic Income Fund | Tax-Advantaged Equity | MLP Energy Infrastructure Fund | Opportunities Fund | |||
Municipal and Tax-Free | U.S. Tax-Managed Equity Fund | Multi-Manager Alternatives Fund | ||||
High Yield Municipal Fund | International Tax-Managed Equity Fund | Absolute Return Multi-Asset Fund | ||||
Dynamic Municipal Income Fund | U.S. Equity Dividend and Premium Fund | Global Infrastructure Fund | ||||
Short Duration Tax-Free Fund |
1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
4 | Effective on July 29, 2016, the Goldman Sachs Limited Maturity Obligations Fund was renamed the Goldman Sachs Short-Term Conservative Income Fund. |
5 | Effective on June 20, 2017, the Goldman Sachs Fixed Income Macro Strategies Fund was renamed the Goldman Sachs Strategic Macro Fund. |
6 | Effective on June 20, 2017, the Goldman Sachs Growth and Income Fund was renamed the Goldman Sachs Equity Income Fund. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC. | |
*This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. | |
TRUSTEES | OFFICERS |
Cheryl K. Beebe, Chair | James A. McNamara, President |
Lawrence Hughes | Scott M. McHugh, Treasurer, Senior Vice President and |
John F. Killian | Principal Financial Officer |
James A. McNamara | Joseph F. DiMaria, Assistant Treasurer and Principal |
Westley V. Thompson | Accounting Officer |
Caroline L. Kraus, Secretary | |
GOLDMAN SACHS & CO. LLC | GOLDMAN SACHS ASSET MANAGEMENT, L.P. |
Distributor and Transfer Agent | Investment Adviser |
Visit our Web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. |
Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282 |
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. | |
The reports concerning the Portfolios included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Portfolios in the future. These statements are based on Portfolio management’s predictions and expectations concerning certain future events and their expected impact on the Portfolios, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Portfolios. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed. | |
Views and opinions expressed are for informational purposes only and do not constitute a recommendation by GSAM to buy, sell, or hold any security. Views and opinions are current as of the date of this presentation and may be subject to change, they should not be construed as investment advice. | |
A description of the policies and procedures that the Portfolios use to determine how to vote proxies relating to portfolio securities and information regarding how a Portfolio voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission | |
(“SEC”) web site at http://www.sec.gov. | |
References to indices, benchmarks or other measures of relative market performance over a specified period of time are provided for your information only and do not imply that the portfolio will achieve similar results. The index composition may not reflect the manner in which a portfolio is constructed. While an adviser seeks to design a portfolio which reflects appropriate risk and return features, portfolio characteristics may deviate from those of the benchmark. | |
The Portfolios file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Qs. The Portfolios’ Form N-Qs are available on the SEC’s website at http://www.sec.gov within 60 days after the Portfolios’ first and third fiscal quarters. The Portfolios’ Form N-Qs may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Form N-Qs may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders). | |
Economic and market forecasts presented herein reflect a series of assumptions and judgments as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, land are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only. | |
Portfolio holdings and allocations shown are as of April 30, 2017 and may not be representative of future investments. Portfolio holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk. | |
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary | |
prospectus, if applicable. Investors should consider a Portfolio’s objective, risks, and charges and expenses, and read the summary | |
prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the | |
Prospectus contain this and other information about a Portfolio and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550). | |
© 2017 Goldman Sachs. All rights reserved. 94974-TMPL-06/2017-553952 TARGDATESAR-17/186 | |
Item 2. Code of Ethics.
Not applicable in semi-annual report.
Item 3. Audit Committee Financial Expert.
Not applicable in semi-annual report.
Item 4. Principal Accountant Fees and Services.
Not applicable in semi-annual report.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments
Included in report to shareholders (Item 1) above.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Included in report to shareholders (Item 1) above. Otherwise, no changes. The Trust does not normally hold shareholder meetings.
Item 11. Controls and Procedures.
(a) The Trusts principal executive officer and principal financial officers determined that the Trusts disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the Act)) are effective, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 within 90 days of the date of this report. There were no significant changes in the Trusts internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation. The officers identified no significant deficiencies or material weaknesses.
(b) There were no changes in the Trusts internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trusts internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Not applicable in semi-annual report.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Act.
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Act.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.
Ultra Series Fund
/s/ Kevin S. Thompson
Kevin S.
Thompson, Chief Legal Officer
Date: September 1, 2017
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
/s/ Katherine L. Frank
Katherine
L. Frank, Principal Executive Officer
Date: September 1, 2017
/s/ Greg Hoppe
Greg Hoppe, Principal
Financial Officer
Date: September 1, 2017
Ultra Series Fund | June 30, 2017
Table of Contents |
Page | |
Economic Overview and Market Outlook | 2 |
Review of Period | 2 |
Madison Target Retirement 2020 Fund | 2 |
Madison Target Retirement 2030 Fund | 2 |
Madison Target Retirement 2040 Fund | 3 |
Madison Target Retirement 2050 Fund | 3 |
Benchmark Descriptions | 4 |
Portfolios of Investments | |
Madison Target Retirement 2020 Fund | 5 |
Madison Target Retirement 2030 Fund | 5 |
Madison Target Retirement 2040 Fund | 5 |
Madison Target Retirement 2050 Fund | 5 |
Financial Statements | |
Statements of Assets and Liabilities | 6 |
Statements of Operations | 7 |
Statements of Changes in Net Assets | 8 |
Financial Highlights for a Share of Beneficial Interest Outstanding | 9 |
Notes to Financial Statements | 11 |
Other Information | 15 |
Nondeposit investment products are not federally insured, involve investment risk, may lose value and are not obligations of or guaranteed by any financial institution. For more complete information about Ultra Series Fund, including charges and expenses, request a prospectus from your plan administrator or call CUNA Mutual Retirement Solutions at 1-800-999-8786. Consider the investment objectives, risks, and charges and expenses of any fund carefully before investing. The prospectus contains this and other information about the investment company. For more current Ultra Series Fund performance information, please call 1-800-670-3600. Current performance may be lower or higher than the performance data quoted within. Past performance does not guarantee future results. Nothing in this report represents a recommendation of a security by the investment adviser. Portfolio holdings may have changed since the date of this report.
1 |
Ultra Series Fund | June 30, 2017
Economic Overview and Market Outlook
The six-month period end marked the tenth anniversary of the beginning of the Financial Crisis, which ended with risk assets advancing to record levels. The S&P 500® returned 9.34%, the Russell Midcap® returned 7.99% and the MSCI EAFE® advanced 13.81% during the six-month period. Although the Federal Reserve (Fed) again voted to raise short-term interest rates, bond indices advanced as longer-term interest rates fell, and coupled with interest income, produced strong returns. The BofA Merrill Lynch U.S. High Yield Constrained Index advanced 4.90% and the Bloomberg Barclays Aggregate Index gained 2.27% for the six-month period.
June 2007 marked the beginning of events that led to what is now known as the Great Recession, an event that triggered great economic chaos and led to unprecedented central bank intervention. The collapse of two Bear Stearns hedge funds (exposed to sub-prime credit derivatives) in June 2007 marked the start of trouble. By August 2007, the Fed reversed its tightening course as contagion led to disarray in the money-markets and equity markets. By March 2008, Bear Stearns was forced to merge with JP Morgan, and Lehman Brothers was bankrupt by September 2008. Equity markets reached their low point in March 2009 as central-banks engaged in unprecedented monetary stimulus which included not only cutting interest rates (in some cases to negative levels) but also the buying of financial assets (better known as quantitative easing or QE).
Ten years later, investors are happily counting their regained fortunes as central banks now weigh options on how to withdraw the morphine drip from the financial markets - which have seemingly become addicted to easy central bank policies (low interest rates, along with unprecedented asset purchases by the central banks). Make no mistake, many of these policies likely prevented a complete collapse of the economic system and a depression-like scenario from occurring. Meanwhile, as investors are feeling no pain, the economy continues to limp along with modest growth (first quarter GDP up 1.4%) and high optimism as asset values continue to stretch. Perhaps, nowhere has this optimism been more apparent than in the Technology sector, with the Fab Five (Facebook, Amazon, Apple, Microsoft and Google parent, Alphabet) contributing an outsized portion of the S&P 500 Indexs return during the first half of 2017.
On the economic front, the most positive economic news seems to be soft data sentiment, consumer confidence and other surveys which ask about future intention to spend. Actual hard economic data measureable data based upon actions has been harder to come by and, in-fact, has been well below expectations. Similar to the past eight years, the data hasnt been extremely weak, its just been weak relative to expectations and presumably whats priced in the equity market. Although the equity market has been signaling optimism, the bond market has been pricing a very different scenario. Despite the Fed raising short-term interest rates in March and June, the 10-year Treasury yield reached a low of 2.13% in June, its lowest level since November 10, 2016. This flattening of the yield curve (the declining difference between short and long-term interest rates) typically implies that economic expansion is slowing and the hard data seems to be confirming it. One plausible explanation for this disconnect is that if we remain in a stable, low-growth, low-inflation environment for an extended period of time, interest rates will remain low and in-turn risk assets (even with lower expected returns) will look attractive compared to bond yields.
This conundrum between the bond and stock market (and between soft and hard economic data) leads us to believe that the low levels of volatility in the market may not persist. Elevated stock valuations and weakening economic data along with high expectations and high optimism create a recipe for higher volatility in the future. Although lofty valuations (along with stock prices) may continue longer than justified, we believe investors should prepare for more modest returns. With this backdrop we believe stocks of lower-risk, higher-quality companies along with shorter-duration, higher-quality bonds will allow investors to continue to participate in the market, while providing some shelter should volatility return to more typical levels.
Review of Period (unaudited)
INVESTMENT STRATEGY HIGHLIGHTS
The Ultra Series Madison Target Retirement 2020 Fund invests primarily in shares of registered investment companies according to an asset allocation strategy developed by the Funds investment adviser for investors planning to retire in or within a few years of 2020. Over time, the Funds asset allocation will gradually shift until it reaches the more conservative allocation target of approximately 10-30% in stock funds and 70-90% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.
The Ultra Series Madison Target Retirement 2020 Fund returned 4.32% for the period, lagging the S&P Target Date® To 2020 Index return of 5.65%. The Fund underperformed its peers as measured by the Morningstar Target-Date 2020 category, which advanced 7.05% for the period.
GOLDMAN SACHS: TARGET DATE 2020 PORTFOLIO - UNDERLYING TARGET DATE FUND | ||
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17 | ||
Alternative Funds | 1.5 | % |
Bond Funds | 60.8 | % |
Foreign Stock Funds | 10.3 | % |
Stock Funds | 18.3 | % |
Investment Companies | 4.5 | % |
Other Assets in Excess of Liabilities | 4.6 | % |
INVESTMENT STRATEGY HIGHLIGHTS
The Ultra Series Madison Target Retirement 2030 Fund invests primarily in shares of registered investment companies according to an asset allocation strategy developed by the Funds investment adviser for investors planning to retire in or within a few years of 2030. Over time, the Funds asset allocation will gradually shift until it reaches the more conservative allocation target of approximately 10-30% in stock funds and 70-90% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.
The Ultra Series Madison Target Retirement 2030 Fund returned 6.58% for the period, compared to the S&P Target Date® To 2030 Index return of 7.00%. The Fund underperformed its peers as measured by the Morningstar Target-Date 2030 category, which advanced 8.81% for the period.
GOLDMAN SACHS: TARGET DATE 2030 PORTFOLIO - UNDERLYING TARGET DATE FUND | ||
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17 | ||
Alternative Funds | 2.0 | % |
Bond Funds | 34.6 | % |
Foreign Stock Funds | 20.1 | % |
Stock Funds | 36.0 | % |
Investment Companies | 2.5 | % |
Other Assets in Excess of Liabilities | 4.8 | % |
2 |
Ultra Series Fund | Review of Period (unaudited) - concluded | June 30, 2017
The Ultra Series Madison Target Retirement 2040 Fund invests primarily in shares of registered investment companies according to an asset allocation strategy developed by the Funds investment adviser for investors planning to retire in or within a few years of 2040. Over time, the Funds asset allocation will gradually shift until it reaches the more conservative allocation target of approximately 10-30% in stock funds and 70-90% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.
The Ultra Series Madison Target Retirement 2040 Fund returned 7.43% for the period, compared to the S&P Target Date® To 2040 Index return of 8.00%. The Fund underperformed its peers as measured by the Morningstar Target-Date 2040 category, which advanced 9.54% for the period.
GOLDMAN SACHS: TARGET DATE 2040 PORTFOLIO - UNDERLYING TARGET DATE FUND | ||
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17 | ||
Alternative Funds | 2.0 | % |
Bond Funds | 25.6 | % |
Foreign Stock Funds | 23.6 | % |
Stock Funds | 42.7 | % |
Investment Companies | 1.5 | % |
Other Assets in Excess of Liabilities | 4.6 | % |
The Ultra Series Madison Target Retirement 2050 Fund invests primarily in shares of registered investment companies according to an asset allocation strategy developed by the Funds investment adviser for investors planning to retire in or within a few years of 2050. Over time, the Funds asset allocation will gradually shift until it reaches the more conservative allocation target of approximately 10-30% in stock funds and 70-90% in bond funds. The asset allocation strategy is designed to reduce the volatility of investment returns in the later years while still providing the potential for higher total returns over the target period.
The Ultra Series Madison Target Retirement 2050 Fund returned 8.11% for the period, compared to the S&P Target Date® To 2050 Index return of 8.67%. The Fund lagged its peers as measured by the Morningstar Target-Date 2050 category, which advanced 10.11% for the period.
GOLDMAN SACHS: TARGET DATE 2050 PORTFOLIO - UNDERLYING TARGET DATE FUND | ||
PORTFOLIO ALLOCATION AS A PERCENTAGE OF NET ASSETS AS OF 6/30/17 | ||
Alternative Funds | 2.0 | % |
Bond Funds | 16.6 | % |
Foreign Stock Funds | 27.3 | % |
Stock Funds | 49.4 | % |
Investment Companies | 0.5 | % |
Other Assets in Excess of Liabilities | 4.2 | % |
3 |
Ultra Series Fund | June 30, 2017
BENCHMARK DESCRIPTIONS
The S&P Target Date® To Index Series
The S&P Target Date® To Index Series consists of multi-asset class indices, and corresponds to specific target retirement dates. The series reflects the consensus asset allocation and glide path of a subset of target date funds that generally pursue investment policies characterized by static total equity exposure after retirement and a relatively conservative total equity exposure near retirement. As the overall universe becomes more conservative with the approach of each target date year, so will the index. The asset allocation is based on market observations through an annual survey of to target date fund managers, and is categorized by S&P Dow Jones Indices.
The S&P Target Date® To 2020 Index is a benchmark for multi-class asset portfolios that corresponds to the target retirement date 2020.
The S&P Target Date® To 2030 Index is a benchmark for multi-class asset portfolios that corresponds to the target retirement date 2030.
The S&P Target Date® To 2040 Index is a benchmark for multi-class asset portfolios that corresponds to the target retirement date 2040.
The S&P Target Date® To 2050 Index is a benchmark for multi-class asset portfolios that corresponds to the target retirement date 2050.
MARKET INDEXES
The Bank of America Merrill Lynch U.S. High Yield Constrained Index tracks the performance of below investment grade U.S. dollar denominated corporate bonds publicly issued in the U.S. domestic market, but limits any individual issuer to a maximum weighting of 2%.
The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, mortgage backed securities, asset backed securities and commercial mortgage-backed securities.
The MSCI EAFE (Europe, Australasia & Far East) Index (net) is a free float-adjusted market capitalization index that is designed to measure developed market equity performance, excluding the U.S. and Canada. The MSCI EAFE Index (net) is calculated on a total return basis with dividends reinvested after the deduction of withholding taxes.
The Russell Midcap® Index is a mid-cap market index which measures the performance of the mid-cap segment of the U.S. equity universe.
The S&P 500® Index is a large-cap market index which measures the performance of a representative sample of 500 leading companies in leading industries in the U.S.
© Morningstar, Inc. All rights reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete, or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
Past performance is no guarantee of future results.
Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell® is a trademark of Russell Investment Group.
4 |
Ultra Series Fund | June 30, 2017
Madison Target Retirement 2020 Fund Portfolio of Investments (unaudited) |
Shares | Value (Note 2) | ||
INVESTMENT COMPANIES - 98.8% | |||
Target Date Fund - 98.8%* | |||
Goldman Sachs Target Date 2020 Portfolio, | |||
Class R6 | 4,919,885 | $ 48,264,074 | |
TOTAL INVESTMENTS - 98.8% (Cost $44,573,087**) | 48,264,074 | ||
NET OTHER ASSETS AND LIABILITIES - 1.2% | 603,043 | ||
TOTAL NET ASSETS - 100.0% | $ 48,867,117 |
* | See Appendix A for a complete listing of holdings of the Underlying Target Date Fund. |
** | Aggregate cost for Federal tax purposes was $44,573,087. |
Madison Target Retirement 2030 Fund Portfolio of Investments (unaudited) |
Shares | Value (Note 2) | ||
INVESTMENT COMPANIES - 98.1% | |||
Target Date Fund - 98.1%* | |||
Goldman Sachs Target Date 2030 Portfolio, | |||
Class R6 | 7,199,015 | $ 72,566,073 |
TOTAL INVESTMENTS - 98.1% (Cost $61,935,116**) | 72,566,073 | ||
NET OTHER ASSETS AND LIABILITIES - 1.9% | 1,429,964 | ||
TOTAL NET ASSETS - 100.0% | $ 73,996,037 |
* | See Appendix A for a complete listing of holdings of the Underlying Target Date Fund. |
** | Aggregate cost for Federal tax purposes was $61,935,116. |
Madison Target Retirement 2040 Fund Portfolio of Investments (unaudited) |
Shares | Value (Note 2) | ||
INVESTMENT COMPANIES - 98.5% | |||
Target Date Fund - 98.5%* | |||
Goldman Sachs Target Date 2040 Portfolio, | |||
Class R6 | 4,978,711 | $ 49,438,599 |
TOTAL INVESTMENTS - 98.5% (Cost $41,493,737**) | 49,438,599 | ||
NET OTHER ASSETS AND LIABILITIES - 1.5% | 764,862 | ||
TOTAL NET ASSETS - 100.0% | $ 50,203,461 |
* | See Appendix A for a complete listing of holdings of the Underlying Target Date Fund. |
** | Aggregate cost for Federal tax purposes was $41,493,737. |
Madison Target Retirement 2050 Fund Portfolio of Investments (unaudited) |
Shares | Value (Note 2) | ||
INVESTMENT COMPANIES - 96.3% | |||
Target Date Fund - 96.3%* | |||
Goldman Sachs Target Date 2050 Portfolio, | |||
Class R6 | 2,419,764 | $ 25,044,562 |
TOTAL INVESTMENTS - 96.3% (Cost $21,096,679**) | 25,044,562 | ||
NET OTHER ASSETS AND LIABILITIES - 3.7% | 952,346 | ||
TOTAL NET ASSETS - 100.0% | $ 25,996,908 |
* | See Appendix A for a complete listing of holdings of the Underlying Target Date Fund. |
** | Aggregate cost for Federal tax purposes was $21,096,679. |
See accompanying Notes to Financial Statements. | |
5 |
Ultra Series Fund | June 30, 2017
Statements of Assets and Liabilities as of June 30, 2017 (unaudited) |
Madison Target Retirement 2020 Fund |
Madison Target Retirement 2030 Fund |
Madison Target Retirement 2040 Fund |
Madison Target Retirement 2050 Fund |
|||||||||
Assets: | ||||||||||||
Investments in securities, at cost | ||||||||||||
Unaffiliated issuers | $ | 44,573,087 | $ | 61,935,116 | $ | 41,493,737 | $ | 21,096,679 | ||||
Net unrealized appreciation | ||||||||||||
Unaffiliated issuers | 3,690,987 | 10,630,957 | 7,944,862 | 3,947,883 | ||||||||
Total investments, at value | 48,264,074 | 72,566,073 | 49,438,599 | 25,044,562 | ||||||||
Cash | 515,531 | 1,398,851 | 672,333 | 881,838 | ||||||||
Receivables: | ||||||||||||
Fund shares sold | 87,512 | 31,113 | 92,529 | 70,508 | ||||||||
Total assets | 48,867,117 | 73,996,037 | 50,203,461 | 25,996,908 | ||||||||
Liabilities: | ||||||||||||
Total liabilities | – | – | – | – | ||||||||
Net assets applicable to outstanding capital stock | $ | 48,867,117 | $ | 73,996,037 | $ | 50,203,461 | $ | 25,996,908 | ||||
Net assets consist of: | ||||||||||||
Paid-in capital in excess of par | $ | 45,101,927 | $ | 63,121,353 | $ | 42,186,724 | $ | 22,037,903 | ||||
Accumulated net realized gain on investments sold | 74,203 | 243,727 | 71,875 | 11,122 | ||||||||
Net unrealized appreciation of investments | 3,690,987 | 10,630,957 | 7,944,862 | 3,947,883 | ||||||||
Net Assets | $ | 48,867,117 | $ | 73,996,037 | $ | 50,203,461 | $ | 25,996,908 | ||||
Net Assets | $ | 48,867,117 | $ | 73,996,037 | $ | 50,203,461 | $ | 25,996,908 | ||||
Shares of beneficial interest outstanding | 5,821,388 | 8,414,753 | 6,104,085 | 1,915,225 | ||||||||
Net Asset Value and redemption price per share | $ | 8.39 | $ | 8.79 | $ | 8.22 | $ | 13.57 |
See accompanying Notes to Financial Statements. | |
6 |
Ultra Series Fund | June 30, 2017
Statements of Operations for the Six-Months Ended June 30, 2017 (unaudited) |
Madison Target Retirement 2020 Fund |
Madison Target Retirement 2030 Fund |
Madison Target Retirement 2040 Fund |
Madison Target Retirement 2050 Fund |
|||||||||
Investment Income | ||||||||||||
Total investment income | $ | – | $ | – | $ | – | $ | – | ||||
Expenses1 | ||||||||||||
Total expenses. | – | – | – | – | ||||||||
Net Investment Income | – | – | – | – | ||||||||
Net Realized and Unrealized Gain (Loss) on Investments | ||||||||||||
Net realized gain on investments | ||||||||||||
Unaffiliated issuers | 74,205 | 243,747 | 71,918 | 11,125 | ||||||||
Net change in unrealized appreciation on investments | ||||||||||||
Unaffiliated issuers | 2,039,579 | 4,495,339 | 3,529,520 | 1,921,252 | ||||||||
Net Realized and Unrealized Gain on Investments. | 2,113,784 | 4,739,086 | 3,601,438 | 1,932,377 | ||||||||
Net Increase in Net Assets from Operations | $ | 2,113,784 | $ | 4,739,086 | $ | 3,601,438 | $ | 1,932,377 | ||||
1 See Note 3 for information on expenses. |
Ultra Series Fund | June 30, 2017
Statements of Changes in Net Assets |
Madison Target Retirement 2020 Fund |
Madison Target Retirement 2030 Fund |
Madison Target Retirement 2040 Fund |
Madison Target Retirement 2050 Fund |
||||||||||||||||||||||||||||
(unaudited) Six-Months Ended 6/30/17 |
(unaudited) Six-Months Ended 6/30/17 |
Year Ended 12/31/16 |
(unaudited) Six-Months Ended 6/30/17 |
(unaudited) Six-Months Ended 6/30/17 |
|||||||||||||||||||||||||||
Year Ended 12/31/16 |
Year Ended 12/31/16 |
Year Ended 12/31/16 |
|||||||||||||||||||||||||||||
Net Assets at beginning of period | $ | 51,485,211 | $ | 52,858,479 | $ | 75,564,099 | $ | 74,258,209 | $ | 49,514,964 | $ | 49,576,290 | $ | 23,441,816 | $ | 21,173,170 | |||||||||||||||
Increase in net assets from operations: | |||||||||||||||||||||||||||||||
Net investment income | – | 931,717 | – | 1,467,504 | – | 1,009,845 | – | 462,710 | |||||||||||||||||||||||
Net realized gain | 74,205 | 2,126,576 | 243,747 | 2,710,502 | 71,918 | 2,438,131 | 11,125 | 902,167 | |||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 2,039,579 | (158,228 | ) | 4,495,339 | 1,253,403 | 3,529,520 | 562,321 | 1,921,252 | 598,267 | ||||||||||||||||||||||
Net increase in net assets from operations | 2,113,784 | 2,900,065 | 4,739,086 | 5,431,409 | 3,601,438 | 4,010,297 | 1,932,377 | 1,963,144 | |||||||||||||||||||||||
Distributions to shareholders from: | |||||||||||||||||||||||||||||||
Net investment income | (21,163 | ) | (1,061,413 | ) | (30,271 | ) | (1,511,801 | ) | (23,264 | ) | (1,162,210 | ) | (10,950 | ) | (545,783 | ) | |||||||||||||||
Net realized gains | (31,658 | ) | (1,599,588 | ) | (42,184 | ) | (2,146,522 | ) | (36,965 | ) | (1,867,444 | ) | (14,306 | ) | (713,406 | ) | |||||||||||||||
Total distributions | (52,821 | ) | (2,661,001 | ) | (72,455 | ) | (3,658,323 | ) | (60,229 | ) | (3,029,654 | ) | (25,256 | ) | (1,259,189 | ) | |||||||||||||||
Capital Stock transactions: | |||||||||||||||||||||||||||||||
Shares sold | 5,880,815 | 18,107,940 | 10,490,773 | 20,505,495 | 7,699,261 | 13,688,202 | 5,377,001 | 10,091,461 | |||||||||||||||||||||||
Issued to shareholders in reinvestment of distributions | 52,821 | 2,661,001 | 72,455 | 3,658,323 | 60,229 | 3,029,655 | 25,256 | 1,259,189 | |||||||||||||||||||||||
Shares redeemed | (10,612,693 | ) | (22,381,273 | ) | (16,797,921 | ) | (24,631,014 | ) | (10,612,202 | ) | (17,759,826 | ) | (4,754,286 | ) | (9,785,959 | ) | |||||||||||||||
Total increase (decrease) from capital stock transactions | (4,679,057 | ) | (1,612,332 | ) | (6,234,693 | ) | (467,196 | ) | (2,852,712 | ) | (1,041,969 | ) | 647,971 | 1,564,691 | |||||||||||||||||
Total increase (decrease) in net assets | (2,618,094 | ) | (1,373,268 | ) | (1,568,062 | ) | 1,305,890 | 688,497 | (61,326 | ) | 2,555,092 | 2,268,646 | |||||||||||||||||||
Net Assets at end of period | $ | 48,867,117 | $ | 51,485,211 | $ | 73,996,037 | $ | 75,564,099 | $ | 50,203,461 | $ | 49,514,964 | $ | 25,996,908 | $ | 23,441,816 | |||||||||||||||
Undistributed net investment income included in net assets | $ | – | $ | 21,163 | $ | – | $ | 30,271 | $ | – | $ | 23,264 | $ | – | $ | 10,950 | |||||||||||||||
Capital Share transactions: | |||||||||||||||||||||||||||||||
Shares sold | 717,470 | 2,186,104 | 1,237,863 | 2,477,424 | 975,113 | 1,771,037 | 412,593 | 808,845 | |||||||||||||||||||||||
Issued to shareholders in reinvestment of distributions | 6,280 | 330,038 | 8,232 | 442,869 | 7,323 | 395,172 | 1,861 | 100,210 | |||||||||||||||||||||||
Shares redeemed | (1,293,445 | ) | (2,699,257 | ) | (1,980,857 | ) | (2,957,998 | ) | (1,338,394 | ) | (2,285,451 | ) | (364,512 | ) | (781,090 | ) | |||||||||||||||
Net increase (decrease) from capital share transactions | (569,695 | ) | (183,115 | ) | (734,762 | ) | (37,705 | ) | (355,958 | ) | (119,242 | ) | 49,942 | 127,965 |
Ultra Series Fund | June 30, 2017
Financial Highlights for a Share of Beneficial Interest Outstanding |
MADISON TARGET RETIREMENT 2020 FUND | |||||||||||||||||||||||
(unaudited) Six-Months Ended 6/30/17 |
Year Ended December 31, | ||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||
Net Asset Value at beginning of period | $ | 8.06 | $ | 8.04 | $ | 8.67 | $ | 8.76 | $ | 8.31 | $ | 7.82 | |||||||||||
Income from Investment Operations: | |||||||||||||||||||||||
Net investment income1 | 0.00 | 0.15 | 0.13 | 0.19 | 0.21 | 0.24 | |||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.34 | 0.32 | (0.15 | ) | 0.42 | 0.70 | 0.53 | ||||||||||||||||
Total from investment operations | 0.34 | 0.47 | (0.02 | ) | 0.61 | 0.91 | 0.77 | ||||||||||||||||
Less Distributions From: | |||||||||||||||||||||||
Net investment income | (0.00 | )2 | (0.18 | ) | (0.20 | ) | (0.24 | ) | (0.22 | ) | (0.25 | ) | |||||||||||
Capital gains | (0.01 | ) | (0.27 | ) | (0.41 | ) | (0.46 | ) | (0.24 | ) | (0.03 | ) | |||||||||||
Total distributions | (0.01 | ) | (0.45 | ) | (0.61 | ) | (0.70 | ) | (0.46 | ) | (0.28 | ) | |||||||||||
Net increase (decrease) in net asset value | 0.33 | 0.02 | (0.63 | ) | (0.09 | ) | 0.45 | 0.49 | |||||||||||||||
Net Asset Value at end of period | $ | 8.39 | $ | 8.06 | $ | 8.04 | $ | 8.67 | $ | 8.76 | $ | 8.31 | |||||||||||
Total Return (%)3 | 4.32 | 4 | 5.68 | (0.34 | ) | 7.11 | 10.94 | 9.98 | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 48,867 | $ | 51,485 | $ | 52,858 | $ | 62,087 | $ | 70,472 | $ | 56,607 | |||||||||||
Ratios of expenses to average net assets: | |||||||||||||||||||||||
Before reimbursement of expenses by adviser (%) | 0.00 | 5,6 | 0.00 | 6 | 0.00 | 6,7 | 0.30 | 0.30 | 0.30 | ||||||||||||||
After reimbursement of expenses by adviser (%) | 0.00 | 5,6 | 0.00 | 6 | 0.00 | 6,7 | 0.21 | 8 | 0.30 | 0.30 | |||||||||||||
Ratio of net investment income to average net assets (%) | 0.00 | 5,6 | 1.80 | 6 | 1.51 | 6 | 2.08 | 2.37 | 2.96 | ||||||||||||||
Portfolio turnover (%) | 0 | 4 | 7 | 7 | 142 | 167 | 90 | ||||||||||||||||
MADISON TARGET RETIREMENT 2030 FUND | |||||||||||||||||||||||
(unaudited) Six-Months Ended 6/30/17 |
Year Ended December 31, | ||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||
Net Asset Value at beginning of period | $ | 8.26 | $ | 8.08 | $ | 8.77 | $ | 8.92 | $ | 8.04 | $ | 7.49 | |||||||||||
Income from Investment Operations: | |||||||||||||||||||||||
Net investment income1 | 0.00 | 0.16 | 0.13 | 0.18 | 0.19 | 0.23 | |||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.54 | 0.44 | (0.21 | ) | 0.54 | 1.13 | 0.60 | ||||||||||||||||
Total from investment operations | 0.54 | 0.60 | (0.08 | ) | 0.72 | 1.32 | 0.83 | ||||||||||||||||
Less Distributions From: | |||||||||||||||||||||||
Net investment income | (0.00 | )2 | (0.17 | ) | (0.18 | ) | (0.22 | ) | (0.18 | ) | (0.22 | ) | |||||||||||
Capital gains | (0.01 | ) | (0.25 | ) | (0.43 | ) | (0.65 | ) | (0.26 | ) | (0.06 | ) | |||||||||||
Total distributions | (0.01 | ) | (0.42 | ) | (0.61 | ) | (0.87 | ) | (0.44 | ) | (0.28 | ) | |||||||||||
Net increase (decrease) in net asset value | 0.53 | 0.18 | (0.69 | ) | (0.15 | ) | 0.88 | 0.55 | |||||||||||||||
Net Asset Value at end of period | $ | 8.79 | $ | 8.26 | $ | 8.08 | $ | 8.77 | $ | 8.92 | $ | 8.04 | |||||||||||
Total Return (%)3 | 6.58 | 4 | 7.35 | (0.86 | ) | 8.06 | 16.56 | 11.05 | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 73,996 | $ | 75,564 | $ | 74,258 | $ | 84,935 | $ | 93,187 | $ | 68,009 | |||||||||||
Ratios of expenses to average net assets: | |||||||||||||||||||||||
Before reimbursement of expenses by adviser (%) | 0.00 | 5,6 | 0.00 | 6,7 | 0.00 | 6,7 | 0.30 | 0.30 | 0.30 | ||||||||||||||
After reimbursement of expenses by adviser (%) | 0.00 | 5,6 | 0.00 | 6,7 | 0.00 | 6,7 | 0.21 | 8 | 0.30 | 0.30 | |||||||||||||
Ratio of net investment income to average net assets (%) | 0.00 | 5,6 | 1.95 | 6 | 1.51 | 6 | 1.98 | 2.16 | 2.84 | ||||||||||||||
Portfolio turnover (%) | 04 | 6 | 7 | 103 | 136 | 86 | |||||||||||||||||
1 Based on average shares outstanding during the year. | |||||||||||||||||||||||
2 Amounts represent less than $0.005 per share. | |||||||||||||||||||||||
3 These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. | |||||||||||||||||||||||
4 Not annualized. | |||||||||||||||||||||||
5 Annualized. | |||||||||||||||||||||||
6 Amount does not include income or expenses of the underlying Target Date Fund, nor the underlying expenses of the funds held by the Target Date Fund. See Note 1 for an explanation of the Fund organizational structure and current prospectus for more complete information regarding the charges and expenses for the Fund. | |||||||||||||||||||||||
7 Amounts represent less than 0.01%. | |||||||||||||||||||||||
8 Amount includes fees waived by adviser (see Note 3). |
See accompanying Notes to Financial Statements. | |
9 |
Ultra Series Fund | June 30, 2017
Financial Highlights for a Share of Beneficial Interest Outstanding |
MADISON TARGET RETIREMENT 2040 FUND | |||||||||||||||||||||||
(unaudited) Six-Months Ended 6/30/17 |
Year Ended December 31, | ||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||
Net Asset Value at beginning of period | $ | 7.66 | $ | 7.54 | $ | 8.37 | $ | 8.68 | $ | 7.61 | $ | 7.06 | |||||||||||
Income from Investment Operations: | |||||||||||||||||||||||
Net investment income1 | 0.00 | 0.16 | 0.13 | 0.17 | 0.17 | 0.20 | |||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.57 | 0.46 | (0.20 | ) | 0.55 | 1.32 | 0.61 | ||||||||||||||||
Total from investment operations | 0.57 | 0.62 | (0.07 | ) | 0.72 | 1.49 | 0.81 | ||||||||||||||||
Less Distributions From: | |||||||||||||||||||||||
Net investment income | (0.00 | )2 | (0.19 | ) | (0.19 | ) | (0.22 | ) | (0.16 | ) | (0.19 | ) | |||||||||||
Capital gains | (0.01 | ) | (0.31 | ) | (0.57 | ) | (0.81 | ) | (0.26 | ) | (0.07 | ) | |||||||||||
Total distributions | (0.01 | ) | (0.50 | ) | (0.76 | ) | (1.03 | ) | (0.42 | ) | (0.26 | ) | |||||||||||
Net increase (decrease) in net asset value | 0.56 | 0.12 | (0.83 | ) | (0.31 | ) | 1.07 | 0.55 | |||||||||||||||
Net Asset Value at end of period | $ | 8.22 | $ | 7.66 | $ | 7.54 | $ | 8.37 | $ | 8.68 | $ | 7.61 | |||||||||||
Total Return (%)3 | 7.43 | 4 | 8.31 | (1.01 | ) | 8.27 | 19.63 | 11.42 | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 50,203 | $ | 49,515 | $ | 49,576 | $ | 59,499 | $ | 68,917 | $ | 49,269 | |||||||||||
Ratios of expenses to average net assets: | |||||||||||||||||||||||
Before reimbursement of expenses by adviser (%) | 0.00 | 5,6 | 0.00 | 6,7 | 0.00 | 6,7 | 0.30 | 0.30 | 0.30 | ||||||||||||||
After reimbursement of expenses by adviser (%) | 0.00 | 5,6 | 0.00 | 6,7 | 0.00 | 6,7 | 0.21 | 8 | 0.30 | 0.30 | |||||||||||||
Ratio of net investment income to average net assets (%) | 0.00 | 5,6 | 2.01 | 6 | 1.52 | 6 | 1.95 | 2.01 | 2.65 | ||||||||||||||
Portfolio turnover (%) | 3 | 4 | 7 | 8 | 108 | 151 | 101 | ||||||||||||||||
MADISON TARGET RETIREMENT 2050 FUND | |||||||||||||||||||||||
(unaudited) Six Months Ended 6/30/17 |
Year Ended December 31, | ||||||||||||||||||||||
2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||
Net Asset Value at beginning of period | $ | 12.57 | $ | 12.19 | $ | 12.97 | $ | 12.78 | $ | 10.69 | $ | 9.75 | |||||||||||
Income from Investment Operations: | |||||||||||||||||||||||
Net investment income1 | 0.00 | 0.26 | 0.21 | 0.27 | 0.24 | 0.30 | |||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.02 | 0.84 | (0.33 | ) | 0.82 | 2.19 | 0.89 | ||||||||||||||||
Total from investment operations | 1.02 | 1.10 | (0.12 | ) | 1.09 | 2.43 | 1.19 | ||||||||||||||||
Less Distributions From: | |||||||||||||||||||||||
Net investment income | (0.01 | ) | (0.31 | ) | (0.28 | ) | (0.27 | ) | (0.18 | ) | (0.21 | ) | |||||||||||
Capital gains | (0.01 | ) | (0.41 | ) | (0.38 | ) | (0.63 | ) | (0.16 | ) | (0.04 | ) | |||||||||||
Total distributions | (0.02 | ) | (0.72 | ) | (0.66 | ) | (0.90 | ) | (0.34 | ) | (0.25 | ) | |||||||||||
Net increase (decrease) in net asset value | 1.00 | 0.38 | (0.78 | ) | 0.19 | 2.09 | 0.94 | ||||||||||||||||
Net Asset Value at end of period | $ | 13.57 | $ | 12.57 | $ | 12.19 | $ | 12.97 | $ | 12.78 | $ | 10.69 | |||||||||||
Total Return (%)3 | 8.11 | 4 | 8.97 | (0.91 | ) | 8.51 | 22.78 | 12.12 | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||
Net Assets at end of period (in 000’s) | $ | 25,997 | $ | 23,442 | $ | 21,173 | $ | 22,799 | $ | 18,123 | $ | 7,160 | |||||||||||
Ratios of expenses to average net assets: | |||||||||||||||||||||||
Before reimbursement of expenses by adviser (%) | 0.00 | 5 | 0.00 | 6,7 | 0.00 | 6,7 | 0.30 | 0.30 | 0.30 | ||||||||||||||
After reimbursement of expenses by adviser (%) | 0.00 | 5 | 0.00 | 6,7 | 0.00 | 6,7 | 0.20 | 8 | 0.30 | 0.30 | |||||||||||||
Ratio of net investment income to average net assets (%) | 0.00 | 5 | 2.08 | 6 | 1.57 | 6 | 2.02 | 1.98 | 2.90 | ||||||||||||||
Portfolio turnover (%) | 5 | 4 | 6 | 13 | 133 | 215 | 86 | ||||||||||||||||
1 Based on average shares outstanding during the year. | |||||||||||||||||||||||
2 Amounts represent less than $0.005 per share. | |||||||||||||||||||||||
3 These returns are after all charges at the mutual fund level have been subtracted. These returns are higher than the returns at the separate account level because charges made at the separate account level have not been subtracted. Total returns are not annualized for periods less than one year. | |||||||||||||||||||||||
4 Not annualized. | |||||||||||||||||||||||
5 Annualized. | |||||||||||||||||||||||
6 Amount does not include income or expenses of the underlying Target Date Fund, nor the underlying expenses of the funds held by the Target Date Fund. See Note 1 for an explanation of the Fund organizational structure and current prospectus for more complete information regarding the charges and expenses for the Fund. |
|||||||||||||||||||||||
7 Amounts represent less than 0.01%. | |||||||||||||||||||||||
8 Amount includes fees waived by adviser (see Note 3). |
Ultra Series Fund | June 30, 2017
Notes to Financial Statements (unaudited)
1. ORGANIZATION
The Ultra Series Fund (the Trust), a Massachusetts business trust, is registered under the investment company Act of 1940 (the 1940 Act), as amended, as a diversified, open-end management investment company. The Trust is a series trust with, at the end of the period covered by this report, 14 investment portfolios (individually, a Fund, and collectively, the Funds), each with different investment objectives and policies. The Funds currently reporting within this book at the end of the period were the Madison Target Retirement 2020 Fund, Madison Target Retirement 2030 Fund, Madison Target Retirement 2040 Fund, and Madison Target Retirement 2050 Fund, (collectively, the Target Date Funds or Ultra Series Madison Target Retirement Funds or USF Target Date Funds).
The Declaration of Trust permits the Board of Trustees to issue an unlimited number of full and fractional shares of the Trust without par value. The Target Date Funds only offer a single class of shares, Class I shares. The shares represent an interest in the assets of the respective Fund and identical voting, dividend, liquidation and other rights, and its proportional share of Fund level expenses. Shares are offered to the Group Variable Annuity Separate Accounts (GVA Separate Accounts) of CMFG Life Insurance Company (CMFG Life). The purchase of shares of the USF Target Date Funds is limited to separate accounts of insurance companies that exclusively support variable contracts that qualify as pension plan contracts under section 818(a) of the Internal Revenue Code (the Code). The Trust does not offer shares directly to the general public.
The Trust has entered into a Management Agreement with Madison Asset Management, LLC (the Investment Adviser or Madison).
Previously, the Ultra Series Madison Target Retirement Funds aimed to achieve their investment objectives by investing in the shares of the corresponding Madison Funds Target Retirement Fund series, other than cash required to process shareholder transactions. As of August 22, 2016, the Madison Funds Target Retirement Fund series were reorganized into the Goldman Sachs Target Date 2020 Portfolio, the Goldman Sachs Target Date 2030 Portfolio, the Goldman Sachs Target Date 2040 Portfolio and the Goldman Sachs Target Date 2050 Portfolio, respectively (collectively, the GS Target Date Portfolios), each which was a newly formed shell series of the Goldman Sachs Trust II.
The GS Target Date Portfolios principal investment objectives and strategies are substantially similar to those of the corresponding predecessor Madison Funds Target Retirement Fund. Goldman Sachs Asset Management, L.P. serves as the investment adviser of the GS Target Date Portfolios, and Madison Asset Management, LLC, serves as the subadvisor of the GS Target Date Portfolios. The predecessor Madison Funds Target Retirement Funds portfolio managers continue to manage the GS Target Date Portfolios.
As of June 30, 2017, the Ultra Series Madison Target Retirement 2020 Fund owned approximately 91.76% of the respective Goldman Sachs Target Date 2020 Portfolio, the Ultra Series Madison Target Retirement 2030 Fund owned approximately 95.07% of the respective Goldman Sachs Target Date 2030 Portfolio, the Ultra Series Madison Target Retirement 2040 Fund owned approximately 98.23% of the respective Goldman Sachs Target Date 2040 Portfolio, and the Ultra Series Madison Target Retirement 2050 Fund owned approximately 97.76% of the respective Goldman Sachs Target Date 2050 Portfolio. See also Appendix A, page 16 for the Portfolio of Investments, and Appendix B, page 18 for the Statements of Assets and Liabilities for the respective GS Target Date Portfolios.
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds are investment companies that apply the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services-Investment Companies (ASC 946). The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements.
Portfolio Valuation: Equity securities, including exchange-traded funds (ETFs) listed on any U.S. or foreign stock exchange or quoted on the National Association of Securities Dealers Automated Quotation System (NASDAQ) are valued at the last quoted sale price or official closing price on that exchange or NASDAQ on the valuation day (provided that, for securities traded on NASDAQ, the Funds utilize the NASDAQ Official Closing Price (NOCP)). If no sale occurs, equities traded on a U.S. exchange, foreign exchange or on NASDAQ are valued at the bid price.
Investments in shares of open-end mutual funds are valued at their daily net asset value (NAV) which is calculated as of the close of regular trading on the New York Stock Exchange ((the NYSE), usually 4:00 p.m. Eastern Standard Time), on each day on which the NYSE is open for business. NAV per share is determined by dividing each Funds total net assets by the number of shares of such Fund outstanding at the time of calculation. Because the assets of each Target Date Fund consist primarily of shares of other registered investment companies (the Underlying Funds), the NAV of each Fund is determined based on the NAVs of the Underlying Funds. Total net assets are determined by adding the total current value of portfolio securities, cash, receivables, and other assets and subtracting liabilities.
Over-the-counter securities not listed or traded on NASDAQ are valued at the last sale price on the valuation day. If no sale occurs on the valuation day, an over-the-counter security is valued at the last bid price. Exchange traded options are valued at the mean of the best bid and ask prices across all option exchanges. Financial futures contracts generally are valued at the settlement price established by the exchange(s) on which the contracts are primarily traded. Overnight repurchase agreements are valued at cost, and term repurchase agreements (i.e., those whose maturity exceeds seven days), swaps, caps, collars and floors, if any, are valued at the average of the closing bids obtained daily from at least one dealer.
Through the end of this reporting period, the value of all assets and liabilities expressed in foreign currencies was converted into U.S. dollar values using the then-current exchange rate at the close of regular trading on the NYSE.
All other securities for which either quotations are not readily available, no other sales have occurred, or in the Investment Advisers opinion, do not reflect the current market value, are appraised at their fair values as determined in good faith by the Pricing Committee (the Committee) and under the general supervision of the Board of Trustees. When fair value pricing of securities is employed, the prices of securities used by the Funds to calculate NAV may differ from market quotations or NOCP. Because the Target Date Funds primarily invest in Underlying Funds, it is not anticipated that the Investment Adviser will need to fair value any of the investments of these Funds. However, an Underlying Fund may need to fair value one or more of its investments, which may, in turn, require a Target Date Fund to do the same because of delays in obtaining the Underlying Funds NAV.
A Funds investments (or Underlying Fund) will be valued at fair value if, in the judgment of the Committee, an event impacting the value of an investment occurred between the closing time of a securitys primary market or exchange (for example, a foreign exchange or market) and the time the Funds share price is calculated as of the close of regular trading on the NYSE. Significant events may include, but are not limited to, the following: (1) significant fluctuations in domestic markets, foreign markets or foreign currencies; (2) occurrences not directly tied to the securities markets such as natural disasters, armed conflicts or significant government actions; and (3) major announcements affecting a single issuer or an entire market or market sector. In responding to a significant event, the Committee would determine the fair value of affected securities considering factors including, but not limited to: fundamental analytical data relating to the investment; the
11 |
Ultra Series Fund | Notes to the Financial Statements (unaudited) - continued | June 30, 2017
nature and duration of any restrictions on the disposition of the investment; and the forces influencing the market(s) in which the investment is purchased or sold.
In addition to independent fair value decisions made by the Committee noted above, the Committee also engages an independent fair valuation service to adjust the valuations of foreign equity securities based on specific market-movement parameters established by the Committee and approved by the Trust. Such adjustments to the valuation of foreign securities are applied automatically upon market close if the parameters established are exceeded. A foreign security is also automatically fair valued if the exchange it is traded in is on holiday.
Security Transactions and Investment Income: Security transactions are accounted for on a trade date basis. Net realized gains or losses on sales are determined by the identified cost method. Interest income is recorded on an accrual basis. Dividend income is recorded on ex-dividend date, except that certain dividends from foreign securities may be recorded after the ex-dividend date based on when the Fund is informed of the dividend. Interest income is recorded on an accrual basis and is increased by the accretion of discount and decreased by the amortization of premium. Amortization and accretion are recorded on the effective yield method.
Expenses: Expenses that are directly related to one Fund are charged directly to that Fund. Other operating expenses are prorated to the Funds on the basis of relative net assets.
Repurchase Agreements: Each Fund may engage in repurchase agreements. In a repurchase agreement, a security is purchased for a relatively short period (usually not more than seven days) subject to the obligation to sell it back to the issuer at a fixed time and price plus accrued interest. The Funds will enter into repurchase agreements only with members of the Federal Reserve System and with primary dealers in U.S. Government securities.
The Trust has established a procedure providing that the securities serving as collateral for each repurchase agreement must be delivered to the Trusts custodian either physically or in book-entry form and that the collateral must be marked to market daily to ensure that each repurchase agreement is fully collateralized at all times. In the event of bankruptcy or other default by a seller of a repurchase agreement, a Fund could experience one of the following: delays in liquidating the underlying securities during the period in which the Fund seeks to enforce its rights thereto, possible decreased levels of income, declines in value of the underlying securities, or lack of access to income during this period and the expense of enforcing its rights. As of June 30, 2017, none of the Funds held open repurchase agreements.
Foreign Currency Transactions: The Trusts books and records are maintained in U.S. dollars. Foreign currency denominated transactions (i.e., market value of investment securities, assets and liabilities, purchases and sales of investment securities, and income and expenses) are translated into U.S. dollars at the current rate of exchange. The Funds enter into contracts on the trade date to settle any securities transactions denominated in foreign currencies on behalf of the Funds at the spot rate at settlement.
Each Fund reports certain foreign currency-related transactions as components of realized gains or losses for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.
The Funds do not isolate the portion of gains and losses on investments in securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of securities. Such amounts are categorized as gain or loss on investments for financial reporting purposes.
Cash Concentration: At times, the Funds maintain cash balances at financial institutions in excess of federally insured limits. The Funds monitor this credit risk and have not experienced any losses related to this risk.
Indemnifications: Under the Funds organizational documents, the Funds officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In the normal course of business, the Funds enter into contracts that contain a variety of representations and provide general indemnifications. The Funds maximum liability exposure under these arrangements is unknown, as future claims that have not yet occurred may be made against the Funds. However, based on experience, management expects the risk of loss to be remote.
Fair Value Measurements: Each Fund has adopted Financial Accounting Standards Board (the FASB) guidance on fair value measurements. Fair value is defined as the price that each Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk (for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs used in the valuation technique). Inputs may be observable or unobservable.
Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entitys own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rate volatilities, prepayment speeds, credit risk, benchmark yields, transactions, bids, offers, new issues, spreads and other relationships observed in the markets among comparable securities, underlying equity of the issuer; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data, etc.)
Level 3 - significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments)
The valuation techniques used by the Funds to measure fair value for the period ended June 30, 2017 maximized the use of observable inputs and minimized the use of unobservable inputs. The Funds utilized the following fair value techniques: multi-dimensional relational pricing model and option adjusted spread pricing; the Funds estimated the price that would have prevailed in a liquid market for an international equity security given information available at the time of valuation. As of June 30, 2017, none of the Funds held securities deemed as a Level 3, and there were no transfers between classification levels.
The following is a summary of the inputs used as of June 30, 2017 in valuing the Funds investments carried at fair value (please see the Portfolio of Investments for each Fund for a listing of all securities within each category):
12 |
Ultra Series Fund | Notes to the Financial Statements (unaudited) - continued | June 30, 2017
Quoted Prices in Active Markets for Identical Investments (Level 1) |
Significant Other Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
Value at 6/30/17 | |||||||
Fund | ||||||||||
Ultra Series Madison Target | ||||||||||
Retirement 2020: Goldman | ||||||||||
Sachs Target Date 2020 | ||||||||||
Portfolio1 | $ | 48,264,074 | $ – | $ – | $ | 48,264,074 | ||||
Ultra Series Madison Target | ||||||||||
Retirement 2030: Goldman | ||||||||||
Sachs Target Date 2030 | ||||||||||
Portfolio1 | $ | 72,566,073 | $ – | $ – | $ | 72,566,073 | ||||
Ultra Series Madison Target | ||||||||||
Retirement 2040: Goldman | ||||||||||
Sachs Target Date 2040 | ||||||||||
Portfolio1 | $ | 49,438,599 | $ – | $ – | $ | 49,438,599 | ||||
Ultra Series Madison Target | ||||||||||
Retirement 2050: Goldman | ||||||||||
Sachs Target Date 2050 | ||||||||||
Portfolio1 | $ | 25,044,562 | $ – | $ – | $ | 25,044,562 | ||||
1 Please refer to Appendix A of this report (page 16) for a list of underlying holdings of the GS Target Date Portfolio held by each respective Ultra Series Target Date Fund. For additional information on the underlying funds held by each respective GS Target Date Fund, including shareholder prospectuses and financial reports, please visit the GSAM website at www.GSAMFUNDS.com or visit the Securities and Exchange Commission’s website at http://www.sec.gov. | ||||||||||
Recently Issued Accounting Pronouncements. In October 2016, the U.S. Securities and Exchange Commission adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is reporting periods occurring after August 1, 2017. Management has evaluated the impact of the amendments and expects the adoption of final rules will be limited to additional financial statement disclosures.
3. MANAGEMENT AND SERVICES AGREEMENTS AND OTHER EXPENSES
Management Agreement: For services under the Management Agreement, the Investment Adviser is entitled to receive a management fee, which is calculated daily and paid monthly, at an annual rate of 0.25% of each Fund’s average daily net assets. Effective with the launch of the Madison Funds Madison Target Date Funds (see Note 1), the Funds invested substantially all of their assets in these Madison Funds. In order to avoid charging duplicate fees, from August 30, 2014 through December 31, 2014, these fees were waived by the Investment Adviser. The Investment Adviser does not have the right to recoup any of these waived fees. In that same regard, effective January 1, 2015 through August 21, 2016, while each USF Target Date Fund invested substantially all of its assets in the underlying Madison Target Date Fund discussed above, the USF Target Date Funds did not pay any management fees to the Investment Adviser in recognition of the fees paid to the Adviser by the corresponding Madison Funds Madison Target Date Funds to avoid charging duplicate fees. Effective August 22, 2016, Goldman Sachs Asset Management L.P. (“GSAM”), the Investment Adviser of the GS Target Date Portfolios, charges 0.25% of each GS Target Date Portfolios average daily net assets. In order to avoid charging duplicate fees to the USF Target Date Funds, for as long as the USF Target Date Funds invest substantially all of their assets in the corresponding GS Target Date Portfolio, series of Goldman Sachs Trust II, sub-advised by Madison, no management fees will be paid by the USF Target Date Funds. This arrangement will remain in effect through at least August 22, 2018, and prior to such date, GSAM may not terminate the arrangements without the approval of the Board of Trustees of the GS Target Date Portfolios.
Services Agreement: The Investment Adviser provides or arranges for each Fund to have all of the necessary operational and support services it needs for a fee, which is calculated daily and paid monthly, at an annual rate of 0.05% of each Fund’s average daily net assets. Effective with the launch of the Goldman Sachs Target Date Portfolios (See Note 1), the Funds invested substantially all of their assets in these Goldman Sachs Target Date Portfolios. Prior to August 21, 2016, the funds invested substantially all their assets in the Madison Funds Madison Target Date Funds. In order to avoid charging duplicate fees, from August 30, 2014 through December 31, 2014, these fees were waived by the Investment Adviser. The Investment Adviser does not have the right to recoup any of these waived fees. In that same regard, effective January 1, 2015 through August 21, 2016, while each USF Target Date Fund invested substantially all of its assets in the underlying Madison Target Date Fund discussed above, the USF Target Date Funds did not pay any service fees to the Investment Adviser in recognition of the fees paid to the Adviser by the corresponding Madison Funds Madison Target Date Funds to avoid charging duplicate fees. GSAM has agreed to limit its fees and expenses (excluding acquired (underlying) fund fees and expenses, transfer agency fees and expenses, taxes, interest, brokerage fees, shareholder meeting, litigation, indemnification and extraordinary expenses) to 0.024% of each GS Target Date Portfolio’s average daily net assets until February 28, 2018.
Other Expenses: In addition to the fees described above, the Trust is responsible for brokerage commissions and other expenses incurred in connection with the acquisition or disposition of investments, overdrafts, any potential taxes owed and extraordinary expenses as approved by a majority of independent trustees.
Certain officers and trustees of the Trust are also officers of the Investment Adviser. The Funds do not compensate their officers or affiliated trustees. The Nominating and Governance Committee of the Board may change trustee fees paid at any time.
4. DIVIDENDS FROM NET INCOME AND DISTRIBUTIONS OF CAPITAL GAINS
The Funds declare dividends from net investment income and net realized gains from investment transactions, if any, annually, which are reinvested in additional full and fractional shares of the respective Funds.
Income and capital gain distributions, if any, are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. Taxable distributions from income and realized capital gains of the Funds may differ from book amounts earned during the period due to differences in the timing of capital gains recognition, and due to the reclassification of certain gains or losses from capital to income.
5. SECURITIES TRANSACTIONS
For the period ended June 30, 2017, aggregate cost of purchases and proceeds from sales of securities, other than short-term investment, were as follows:
Fund | Purchases | Sales | ||||
Ultra Series Madison Target Retirement 2020 | $ | – | $ | 4,397,695 | ||
Ultra Series Madison Target Retirement 2030 | – | 6,009,172 | ||||
Ultra Series Madison Target Retirement 2040 | 1,284,435 | 3,450,325 | ||||
Ultra Series Madison Target Retirement 2050 | 1,962,644 | 1,175,326 |
6. FEDERAL INCOME TAX INFORMATION
It is each Fund’s policy to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986 applicable to regulated investment companies and to distribute all its taxable income to its shareholders. Accordingly, no provisions for federal income taxes are recorded in the accompanying statements.
The Funds have not recorded any liabilities for material unrecognized tax benefits as of June 30, 2017. It is each Fund’s policy to recognize accrued interest and penalties related to uncertain tax benefits in income taxes, as appropriate. Tax years that remain open to examination by major tax jurisdictions include tax years ended December 31, 2013 through December 31, 2016.
13 |
Ultra Series Fund | Notes to the Financial Statements (unaudited) - concluded | June 30, 2017
For the period ended December 31, 2016, there were no capital losses utilized for the Target Date Funds.
At June 30, 2017, the aggregate gross unrealized appreciation / depreciation and net unrealized appreciation (depreciation) for all securities as computed on a federal income tax basis for each Fund were as follows:
Fund | Appreciation | Depreciation | Net | |||||
Ultra Series Madison Target Retirement 2020 | $ | 3,690,987 | $ – | $ | 3,690,987 | |||
Ultra Series Madison Target Retirement 2030 | 10,630,957 | – | 10,630,957 | |||||
Ultra Series Madison Target Retirement 2040 | 7,944,862 | – | 7,944,862 | |||||
Ultra Series Madison Target Retirement 2050 | 3,947,883 | – | 3,947,883 |
7. INVESTMENT RISKS
Investing in certain financial instruments, including forward foreign currency contracts, involves certain risks. Risks associated with these instruments include potential for an illiquid secondary market for the instruments or inability of counterparties to perform under the terms of the contracts, changes in the value of foreign currency relative to the U.S. dollar and volatility resulting from an imperfect correlation between the movements in the prices of the instruments and the prices of the underlying securities and interest rates being hedged.
Investing in foreign securities involves certain risks not necessarily found in U.S. markets. These include risks associated with adverse changes in economic, political, regulatory and other conditions, changes in currency exchange rates, exchange control regulations, expropriation of assets or nationalization, imposition of withholding taxes on dividend or interest payments or capital gains, and possible difficulty in obtaining and enforcing judgments against foreign entities. Further, issuers of foreign securities are subject to different, and often less comprehensive, accounting, reporting and disclosure requirements than domestic issuers.
The Target Date Funds are fund of funds, meaning that they invest primarily in the shares of the GS Target Date Portfolios, including exchange traded funds (“ETFs”). Thus, each Fund’s investment performance and its ability to achieve its investment goal are directly related to the performance of the GS Target Date Portfolios in which it invests; and the GS Target Date Portfolio’s performance, in turn, depends on the particular securities in which that Fund invests and the expenses of that Fund. Accordingly, these Funds are subject to the risks of the GS Target Date Portfolios in direct proportion to the allocation of their respective assets among the Funds.
Additionally, the Target Date Funds are subject to asset allocation risk and manager risk. Manager risk (i.e., fund selection risk) is the risk that the underlying fund selected to fulfill a particular asset class underperforms their peers. Asset allocation risk is the risk that the allocation of the Fund’s assets among the various asset classes and market segments will cause the Fund to underperform other funds with a similar investment objective.
The Funds are also subject to cybersecurity risk, which include the risks associated with computer systems, networks and devices to carry out routine business operations. These system, networks and devices employ a variety of protections that are designed to prevent cyberattacks. Despite the various cyber protections utilized by the Funds, the Investment Adviser, and other service providers, their systems, networks, or devices could potentially be breached. The Funds, their shareholders, and the Investment Adviser could be negatively impacted as a result of a cyber security breach. The Funds cannot control the cybersecurity plans and systems put in place by service providers or any other third parties whose operations may affect the Funds. The Funds do monitor this risk closely.
In addition to the other risks described above in the prospectus, you should understand what we refer to as “unknown market risks.”While investments in securities have been keystones in wealth building and management, at times these investments have produced surprises. Those who enjoyed growth and income of their investments generally were rewarded for the risks they took by investing in the markets. Although the Investment Adviser seeks to appropriately address and manage the risks identified and disclosed to you in connection with the management of the securities in the Funds, you should understand that the very nature of the securities markets includes the possibility that there may be additional risks of which we are not aware. We certainly seek to identify all applicable risks and then appropriately address them, take appropriate action to reasonably manage them and to make you aware of them so you can determine if they exceed your risk tolerance. Nevertheless, the often volatile nature of the securities markets and the global economy in which we work suggests that the risk of the unknown is something to consider in connection with an investment in securities. Unforeseen events could under certain circumstances produce a material loss of the value of some or all of the securities we manage for you in the Funds.
8. CAPITAL SHARES AND AFFILIATED OWNERSHIP
All capital shares outstanding at June 30, 2017 are owned by separate investment accounts and/or pension plans of CMFG Life Insurance Company. There were no affiliate’s investment for the period ended June 30, 2017.
9. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were available for issue. No other events have taken place that meet the definition of subsequent event that require adjustment to, or disclosure in the financial statements.
14 |
Ultra Series Fund | June 30, 2017
Other Information (unaudited)
FUND EXPENSES PAID BY SHAREHOLDERS
As a shareholder of the Funds, you pay no transaction costs, but may indirectly (see Note 3) incur ongoing costs which include management fees; disinterested trustee fees; brokerage commissions and other expenses incurred in connection with the acquisition or disposition of investments; costs of borrowing money; expenses for independent audits, taxes, and extraordinary expenses as approved by a majority of the disinterested trustees. The examples in the table that follows are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples below are based on an investment of $1,000 invested for the six-month period ended June 30, 2017. Expenses paid during the period in the table below are equal to each Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half fiscal year period).
Actual Expenses
The table below provides information about actual account values using actual expenses and actual returns for the Funds. You may use the information in this table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table for the Fund you own under the heading entitled “Actual” to estimate the expenses you paid on your account during this period.
Fund | Beginning Account Value |
Ending Account Value |
Annual Expense Ratio1 |
Expenses Paid During Period1 | ||||||||
Ultra Series Target Retirement | ||||||||||||
2020 Fund | $ | 1,000 | $ | 1,043.20 | 0.31 | % | $ | 1.57 | ||||
Ultra Series Target Retirement | ||||||||||||
2030 Fund | 1,000 | 1,065.80 | 0.31 | % | $ | 1.59 | ||||||
Ultra Series Target Retirement | ||||||||||||
2040 Fund | 1,000 | 1,074.30 | 0.31 | % | $ | 1.60 | ||||||
Ultra Series Target Retirement | ||||||||||||
2050 Fund | 1,000 | 1,081.10 | 0.31 | % | $ | 1.61 |
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the Funds’ actual returns. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare the 5% hypothetical example of the Funds you own with the 5% hypothetical examples that appear in the shareholder reports of other similar funds.
Beginning Account Value |
Ending Account Value |
Annual Expense Ratio1 |
Expenses Paid During Period1 | |||||||||
Fund | ||||||||||||
Ultra Series Target Retirement | ||||||||||||
2020 Fund | $ | 1,000 | $ | 1,024.79 | 0.31 | % | $ | 1.56 | ||||
Ultra Series Target Retirement | ||||||||||||
2030 Fund | 1,000 | 1,024.79 | 0.31 | % | $ | 1.56 | ||||||
Ultra Series Target Retirement | ||||||||||||
2040 Fund | 1,000 | 1,024.79 | 0.31 | % | $ | 1.56 | ||||||
Ultra Series Target Retirement | ||||||||||||
2050 Fund | 1,000 | 1,024.79 | 0.31 | % | $ | 1.56 | ||||||
1Amounts include expenses of the underlying Target Date Fund, and the underlying expense of the funds held by the Target Date Fund. See Note 1 for an explanation of the Fund organizational structure, Note 3 for a description of the expense structure, and the current prospectus for more complete information regarding the charges and expenses of the Target Date Funds. |
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any separate account fees, charges, or expenses imposed by the group variable annuity contracts, or retirement and pension plans that use the Funds. The information provided in the hypothetical example table is useful in comparing ongoing Fund costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these fees, charges or expenses were included, your costs would have been higher.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available to shareholders at no cost on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. More information on the operation of the Public Reference Room may be obtained by calling 1-202-551-8090. Form N-Q and other information about the Trust are available on the EDGAR database on the SEC’s Internet site at www.sec.gov. Copies of this information may also be obtained, upon payment of a duplicating fee, by electronic request at the following email address: publicinfo@sec.gov, or by writing the SEC’s Public Reference Section, Washington, DC 20549-0102.
PROXY VOTING POLICIES, PROCEDURES AND RECORDS
A description of the policies and procedures used by the Trust to vote proxies related to portfolio securities is available to shareholders at no cost on the SEC’s website at www.sec.gov and is also located in the Funds’ Statement of Additional Information. The proxy voting records for the Trust for the most recent twelve-month period ended June 30 are available to shareholders at no cost on the SEC’s website at www.sec.gov.
FORWARD-LOOKING STATEMENT DISCLOSURE
One of our most important responsibilities as investment company managers is to communicate with shareholders in an open and direct manner. Some of our comments in the Management’s Economic Overview are based on current management expectations and are considered “forward-looking statements.” Actual future results, however, may prove to be different from our expectations. You can identify forward-looking statements by words such as “estimate,” “may,” “will,” “expect,” “believe,” “plan” and other similar terms. We cannot promise future returns. Our opinions are a reflection of our best judgment at the time this report is compiled, and we disclaim any obligation to update or alter forward-looking statements as a result of new information, future events, or otherwise.
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