N-CSRS 1 fp0003051_ncsrs.htm TFS CAPITAL INVESTMENT TRUST - N-CSRS fp0003051_ncsrs.htm
 
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
FORM N-CSR
 
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
 
Investment Company Act file number ___811-21531________________________
 
TFS Capital Investment Trust

(Exact name of registrant as specified in charter)
 
1800 Bayberry Court, Suite 103              Richmond, Virginia 23226
(Address of principal executive offices) (Zip code)
 
Wade R. Bridge, Esq.
 
 Ultimus Fund Solutions, LLC       225 Pictoria Drive, Suite 450        Cincinnati, Ohio 45246

(Name and address of agent for service)
 
Registrant's telephone number, including area code:  (804) 484-1401                          
 
Date of fiscal year end:         October 31, 2011                                                       
 
Date of reporting period:       April 30, 2011                                                                                                                                                       
 
Form N-CSR 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-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
 
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR 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. Reports to Stockholders.
 
 
 
 
 
SEMI-ANNUAL REPORT
April 30, 2011
(Unaudited)

 
 
For more information or assistance in opening an account,
please call toll-free 1-888-534-2001.
 
 
 

 
 
LETTER TO SHAREHOLDERS

 
June 15, 2011
 
Dear Shareholder,
 
Enclosed is the Semi-Annual Report to shareholders of the TFS Market Neutral Fund (ticker: TFSMX) and the TFS Small Cap Fund (ticker: TFSSX) for the period ended April 30, 2011. As investment manager of the Funds, we would like to thank you for your investment.
 
Recently, the TFS Market Neutral Fund created a new policy for accepting additional investments (the “Subscription Policy”). Given its significant asset growth and the limited capacity of the Fund’s investment strategies, the TFS Market Neutral Fund filed a prospectus supplement dated May 17, 2011 that describes the new Subscription Policy. The intent of the new Subscription Policy is to manage the growth of the Fund. TFS Capital believes that this action may assist the portfolio management team in its effort to maintain the Fund’s high standard of performance.
 
We would like to emphasize that, although TFSMX is further restricting purchase activity, this action does not mean that TFS Capital intends to reduce its investment in research and development. Rather, we continue to invest heavily in ongoing research as evidenced by our 2010 expenditures in this area which exceeded any prior year. This trend is also continuing as we are presently recruiting a quantitative analyst and developer to strengthen the trading and research teams.
 
The TFS Small Cap Fund will remain open, without restriction, to existing and new investors and provides investors with an additional opportunity to gain exposure to the portfolio management team at TFS Capital.
 
Below are performance highlights for the Funds.
 
TFS Market Neutral Fund (ticker: TFSMX)
 
 
 
1 year
return
3 year
return
5 year
return
Since Inception
(9/7/2004)
TFS Market Neutral Fund
10.26%
6.20%
8.84%
9.63%
S&P 500 Index
17.22%
1.73%
2.95%
5.11%
 
Average annual total returns for periods ended 4/30/2011 and since inception.
 
TFSMX’s long-term performance compares favorably to the overall U.S. equity market as measured by the S&P 500 Index. From inception through April 30, 2011, TFSMX generated a 9.63% average annual return and had an annualized standard deviation of 8.38%, whereas the S&P 500 Index generated a 5.11% average annual return and had an annualized standard deviation of 22.28%. Therefore, from inception through April 30, 2011, TFSMX produced an average annual return that was 4.52 percentage points above that of the S&P 500 Index while subjecting investors to only 37.6% of the volatility. Based on its trailing 5-year return through April 30, 2011, TFSMX was the #1 ranked fund among 41 funds in Morningstar’s Market Neutral category and, for the same period, was ranked #1 among 36 funds in the Lipper Equity Market Neutral category.1
 
 
1

 
 
The strategies used in managing TFSMX have resulted in the Fund having a low correlation to other asset classes. According to Modern Portfolio Theory, investors may benefit by combining non-correlated investments. For your reference, below are the Fund’s correlations to several other asset classes as of April 30, 2011.
 
Index
Correlation Since Inception
S&P 500 Index
0.55
Russell 2000® Index
0.53
MSCI EAFE Index
0.48
Barclays Capital U.S. Agg. Bond Index
-0.11
Wilshire REIT ETF Index
0.39
Dow Jones Commodity Futures
0.44
 
TFS Small Cap Fund (ticker: TFSSX)
 
 
1 year
return
3 year
return
5 year
return
Since Inception
(3/7/2006)
TFS Small Cap Fund
24.17%
16.88%
10.61%
11.81%
Russell 2000® Index
22.20%
8.03%
3.89%
5.00%
 
Average annual total returns for periods ended 4/30/2011 and since inception.
 
As evidenced by the return figures above, TFSSX has continued to achieve its objective of outperforming the Russell 2000® Index. In fact, the Fund now has over a 5-year track record and has achieved an average annual return, since inception, that is 6.81 percentage points higher than that of the Russell 2000® Index. At the end of April 2011, the trailing 5-year return placed TFSSX in the top 1% of both the Lipper “Small Cap Core” category and the Morningstar “Small Cap Blend” category.2
 
As of April 30, 2011, both of the Funds achieved an overall “5-Star Rating” from Morningstar. For the period, TFSMX was rated among 48 Market Neutral funds and TFSSX was rated among 572 Small Blend funds, respectively, by Morningstar. Despite the Funds’ excellent performance, we do not recommend allocating a high percentage of your assets to either Fund given the risks inherent in the Funds. Rather, we believe that they are best used as a component of a diversified portfolio of investments.
 
Please note that the Funds continue to be tax-inefficient as evidenced by the high capital-gain distributions that occurred in December 2010. Future distributions are expected to remain high relative to other mutual funds. Moreover, future distributions will be impacted by the asset level of the Funds and are more likely to grow, as a percentage of the overall gain, if the assets in either Fund stop increasing.
 
If you have any questions about the Funds or TFS Capital, please contact us.
 
Best regards,
 
Larry S. Eiben
Chief Operating Officer & Co-Portfolio Manager
On behalf of TFS Capital LLC, Investment Adviser
 
 
2

 
 
The performance data quoted represents past performance, which is not a guarantee of future results. Current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment in the Funds will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The Funds charge a 2% redemption fee on shares invested for less than 90 days. If shares are redeemed within the 90 day period, investment returns would be reduced from those shown above. Fee waivers and/or expense reimbursements by the Adviser have positively impacted the Funds’ performance. Without such waivers and/or reimbursements, performance would have been lower. An investor should consider the investment objectives, risks, charges and expenses of the Funds carefully before investing. To obtain a summary prospectus and/or prospectus, which each contain this and other important information, go to www.TFSCapital.com or call (888) 534-2001. Please read the summary prospectus and/or prospectus carefully before investing. The Funds may not be suitable for all investors.
 
1
TFSMX was ranked #1 out of 36 in the Lipper “Equity Market Neutral” category and #1 out of 41 in the Morningstar “Market Neutral” category using its 5-year return. TFSMX was ranked #2 out of 53 in the Lipper “Equity Market Neutral” category and #1 out of 48 in the Morningstar “Market Neutral” category using its 3-year return. TFSMX was ranked #12 out of 82 in the Lipper “Equity Market Neutral” category and #1 out of 72 in the Morningstar “Market Neutral” category using its 1-year return.
 
2
TFSSX was ranked #3 out of 547 in the Lipper “Small Cap Core” category and #3 out of 484 in the Morningstar “Small Blend” category using its 5-year return. TFSSX was ranked #11 out of 696 in the Lipper “Small Cap Core” category and #14 out of 572 in the Morningstar “Small Blend” category using its 3-year return. TFSSX was ranked #233 out of 783 in the Lipper “Small Cap Core” category and #156 out of 647 in the Morningstar “Small Cap Blend” category using its 1-year return.
 
Ranking information provided by Lipper and Morningstar for the periods ended April 30, 2011. TFSSX was assigned by Lipper to the Small-Cap Core category and by Morningstar to the Small Blend category. TFSMX was assigned by Lipper to the Equity Market Neutral category and by Morningstar to the Market Neutral category. The Funds are ranked based on total return and are ranked within a universe of funds with similar investment objectives. Rankings include the reinvestment of dividends and capital gains but exclude the effect of a fund’s sales load, if applicable. Fund rankings are calculated monthly by Lipper Analytical Services of New York and Morningstar, Inc. of Chicago. Lipper Inc. and Morningstar Inc. are nationally recognized organizations that rank the performance of mutual funds.
 
 
3

 
 
TFS MARKET NEUTRAL FUND
PORTFOLIO INFORMATION
April 30, 2011 (Unaudited)
 
TFS Market Neutral Fund vs S&P 500 Index
Net Sector Exposure*
 
 
*
The net percentages for the TFS Market Neutral Fund are computed by taking the net dollar exposure, including short positions, and dividing by the net assets of the Fund. Consequently, the percentages are not likely to total to 100%.

Top 10 Long Equity Positions
 
Top 10 Short Equity Positions
Security Description
% of
Net Assets
 
Security Description
% of
Net Assets
First Niagara Financial Group, Inc.
0.71%
 
Rubicon Technology, Inc.
1.01%
American Medical Systems Holdings, Inc.
0.61%
 
NV Energy, Inc.
0.77%
Beckman Coulter, Inc.
0.57%
 
Sears Holdings Corporation
0.69%
American Capital Agency Corporation
0.42%
 
Lexington Realty Trust
0.56%
Merit Medical Systems, Inc.
0.40%
 
St. Joe Company (The)
0.54%
Cubist Pharmaceuticals, Inc.
0.37%
 
ZAGG, Inc.
0.48%
Celera Corporation
0.36%
 
Douglas Emmett, Inc.
0.45%
Unisource Energy Corporation
0.36%
 
China-Biotics, Inc.
0.42%
National Semiconductor Corporation
0.34%
 
VirnetX Holding Corporation
0.42%
Sirius XM Radio, Inc.
0.33%
 
Colonial Properties Trust
0.41%

 
4

 
 
TFS SMALL CAP FUND
PORTFOLIO INFORMATION
April 30, 2011 (Unaudited)
 
TFS Small Cap Fund
Sector Allocation (% of Net Assets)
 
 
Top 10 Equity Holdings
Security Description
% of
Net Assets
Hercules Offshore, Inc.
0.50%
US Airways Group, Inc.
0.49%
Centene Corporation
0.47%
Sanmina-SCI Corporation
0.47%
SEACOR Holdings, Inc.
0.47%
Texas Capital Bancshares, Inc.
0.47%
Hill-Rom Holdings, Inc.
0.47%
Compass Minerals International, Inc.
0.46%
Acacia Research Corporation
0.46%
Buffalo Wild Wings, Inc.
0.46%

 
5

 
 
TFS MARKET NEUTRAL FUND
SUMMARY SCHEDULE OF INVESTMENTS*
April 30, 2011 (Unaudited)
 
COMMON STOCKS — 91.4%
 
Shares
   
Value
 
Consumer Discretionary — 13.6%
           
Auto Components — 1.3%
           
Modine Manufacturing Company (a) (b)
    218,547     $ 3,892,322  
Other Auto Components (c)
            17,522,678  
              21,415,000  
Automobiles — 0.0%
               
Other Automobiles (c)
            144,265  
                 
Distributors — 0.1%
               
Other Distributors (c)
            2,049,525  
                 
Diversified Consumer Services — 0.4%
               
Other Diversified Consumer Services (c)
            7,484,817  
                 
Hotels, Restaurants & Leisure — 2.3%
               
Buffalo Wild Wings, Inc. (a) (b)
    61,900       3,782,090  
Wendy's/Arby's Group, Inc. - Class A (b)
    755,167       3,639,905  
Other Hotels, Restaurants & Leisure (c)
            29,740,526  
              37,162,521  
Household Durables — 0.8%
               
NIVS IntelliMedia Technology Group, Inc. (a) (b) (d)
    245,517       270,069  
Other Household Durables (c)
            12,093,000  
              12,363,069  
Internet & Catalog Retail — 0.6%
               
Vitacost.com, Inc. (d)
    20,359       58,023  
Other Internet & Catalog Retail (c)
            9,739,825  
              9,797,848  
Leisure Equipment & Products — 0.3%
               
Other Leisure Equipment & Products (c)
            4,389,643  
                 
Media — 2.4%
               
Sirius XM Radio, Inc. (a)
    2,722,864       5,418,499  
Other Media (c)
            32,895,522  
              38,314,021  
Multiline Retail — 0.6%
               
Dillard's, Inc. (b)
    82,405       3,957,088  
Retail Ventures, Inc. (a) (b)
    233,089       4,785,317  
Other Multiline Retail (c)
            1,895,733  
              10,638,138  
Specialty Retail — 3.4%
               
Pier 1 Imports, Inc. (a) (b)
    306,828       3,737,165  
Other Specialty Retail (c)
            51,316,858  
              55,054,023  
Textiles, Apparel & Luxury Goods — 1.4%
               
Steven Madden Ltd. (a) (b)
    78,137       4,152,982  
Timberland Company (The) (a) (b)
    93,382       4,219,933  
Other Textiles, Apparel & Luxury Goods (c)
            13,726,107  
              22,099,022  
 
 
6

 
 
TFS MARKET NEUTRAL FUND
SUMMARY SCHEDULE OF INVESTMENTS* (Continued)
 
COMMON STOCKS — 91.4% (Continued)
 
Shares
   
Value
 
Consumer Staples — 2.1%
           
Beverages — 0.4%
           
Other Beverages (c)
        $ 7,059,719  
               
Food & Staples Retailing — 0.3%
             
Other Food & Staples Retailing (c)
          3,896,964  
               
Food Products — 0.8%
             
HQ Sustainable Maritime Industries, Inc. (a) (d)
    1,421       1,975  
Other Food Products (c)
            12,884,599  
              12,886,574  
Household Products — 0.1%
               
Other Household Products (c)
            1,080,619  
                 
Personal Products — 0.5%
               
Other Personal Products (c)
            8,675,816  
                 
Tobacco — 0.0%
               
Other Tobacco (c)
            27,633  
                 
Energy — 7.7%
               
Energy Equipment & Services — 2.4%
               
Pioneer Drilling Company (a) (b)
    258,239       4,002,705  
Other Energy Equipment & Services (c)
            35,321,194  
              39,323,899  
Oil, Gas & Consumable Fuels — 5.3%
               
CVR Energy, Inc. (a) (b)
    195,900       4,354,857  
Frontier Oil Corporation (b)
    157,700       4,406,138  
Global Partners, L.P. (b)
    140,607       3,945,432  
Ivanhoe Energy, Inc. (a) (b)
    1,280,542       3,611,128  
TransAtlantic Petroleum Ltd. (a) (b)
    1,499,173       3,942,825  
Venoco, Inc. (a) (b)
    226,564       4,211,825  
Other Oil, Gas & Consumable Fuels (c)
            60,427,563  
              84,899,768  
Financials — 15.2%
               
Capital Markets — 1.8%
               
Och-Ziff Capital Management Group, LLC
    308,086       4,950,942  
Other Capital Markets (c)
            24,490,304  
              29,441,246  
Commercial Banks — 2.6%
               
Commerce Bancshares, Inc. (b)
    94,896       4,038,774  
Synovus Financial Corporation (b)
    1,637,188       4,092,970  
Other Commercial Banks (c)
            33,854,686  
              41,986,430  
Consumer Finance — 0.3%
               
Other Consumer Finance (c)
            5,417,803  

 
7

 

TFS MARKET NEUTRAL FUND
SUMMARY SCHEDULE OF INVESTMENTS* (Continued)
 
COMMON STOCKS — 91.4% (Continued)
 
Shares
   
Value
 
Financials — 15.2% (Continued)
           
Diversified Financial Services — 0.8%
           
Encore Capital Group, Inc. (a) (b)
    119,084     $ 3,565,375  
Interactive Brokers Group, Inc. - Class A (a) (b)
    246,150       4,317,471  
Other Diversified Financial Services (c)
            4,591,277  
              12,474,123  
Insurance — 3.2%
               
Unitrin, Inc. (b)
    143,618       4,343,008  
Other Insurance (c)
            48,384,272  
              52,727,280  
Real Estate Investment Trusts (REIT) — 4.4%
               
American Capital Agency Corporation
    231,300       6,733,143  
DCT Industrial Trust, Inc. (b)
    847,034       4,921,268  
Walter Investment Management Corporation
    206,308       3,676,409  
Other Real Estate Investment Trusts (REIT) (c)
            55,404,653  
              70,735,473  
Real Estate Management & Development — 0.3%
               
Other Real Estate Management & Development (c)
            4,598,241  
                 
Thrifts & Mortgage Finance — 1.8%
               
First Niagara Financial Group, Inc. (b)
    799,404       11,511,418  
Other Thrifts & Mortgage Finance (c)
            16,971,914  
              28,483,332  
Health Care — 15.1%
               
Biotechnology — 4.0%
               
Celera Corporation (a) (b)
    747,004       5,908,802  
Cubist Pharmaceuticals, Inc. (a) (b)
    177,770       6,017,515  
Other Biotechnology (c)
            52,472,172  
              64,398,489  
Health Care Equipment & Supplies — 4.4%
               
American Medical Systems Holdings, Inc. (a)
    337,400       9,953,300  
Beckman Coulter, Inc.
    111,645       9,249,788  
Hill-Rom Holdings, Inc. (b)
    82,533       3,714,810  
Merit Medical Systems, Inc. (a) (b)
    275,075       6,414,749  
Other Health Care Equipment & Supplies (c)
            41,068,679  
              70,401,326  
Health Care Providers & Services — 3.9%
               
Other Health Care Providers & Services (c)
            63,879,850  
                 
Health Care Technology — 0.7%
               
Other Health Care Technology (c)
            11,669,936  
                 
Life Sciences Tools & Services — 0.7%
               
Other Life Sciences Tools & Services (c)
            10,899,762  
                 
Pharmaceuticals — 1.4%
               
Hi-Tech Pharmacal Company, Inc. (a) (b)
    128,121       3,543,827  
Other Pharmaceuticals (c)
            19,345,277  
              22,889,104  
 
 
8

 
 
TFS MARKET NEUTRAL FUND
SUMMARY SCHEDULE OF INVESTMENTS* (Continued)
 
COMMON STOCKS — 91.4% (Continued)
 
Shares
   
Value
 
Industrials — 12.9%
           
Aerospace & Defense — 0.8%
           
Other Aerospace & Defense (c)
        $ 13,193,732  
               
Air Freight & Logistics — 0.3%
             
Other Air Freight & Logistics (c)
          5,021,811  
               
Airlines — 0.7%
             
Other Airlines (c)
          11,169,227  
               
Building Products — 0.2%
             
Other Building Products (c)
          3,095,343  
               
Commercial Services & Supplies — 1.4%
             
IESI-BFC Ltd.
    181,661       4,603,290  
Other Commercial Services & Supplies (c)
            18,509,532  
              23,112,822  
Construction & Engineering — 0.7%
               
Other Construction & Engineering (c)
            10,466,466  
                 
Electrical Equipment — 0.8%
               
China Electric Motor, Inc. (a) (d)
    1,771       2,568  
Other Electrical Equipment (c)
            13,324,207  
              13,326,775  
Industrial Conglomerates — 0.2%
               
Other Industrial Conglomerates (c)
            3,909,577  
                 
Machinery — 3.2%
               
Other Machinery (c)
            51,702,170  
                 
Marine — 0.7%
               
Other Marine (c)
            11,221,763  
                 
Professional Services — 1.0%
               
Other Professional Services (c)
            15,813,944  
                 
Road & Rail — 1.4%
               
Avis Budget Group, Inc. (a) (b)
    213,499       4,047,941  
Ryder System, Inc. (b)
    66,160       3,539,560  
Other Road & Rail (c)
            14,535,233  
              22,122,734  
Trading Companies & Distributors — 1.3%
               
Other Trading Companies & Distributors (c)
            21,445,503  
                 
Transportation Infrastructure — 0.2%
               
Other Transportation Infrastructure (c)
            3,054,052  

 
9

 

TFS MARKET NEUTRAL FUND
SUMMARY SCHEDULE OF INVESTMENTS* (Continued)
 
COMMON STOCKS — 91.4% (Continued)
 
Shares
   
Value
 
Information Technology — 15.8%
           
Communications Equipment — 2.6%
           
EchoStar Corporation - Class A (a) (b)
    130,860     $ 4,852,289  
Opnext, Inc. (a) (b)
    1,619,165       3,821,229  
Sonus Networks, Inc. (a) (b)
    986,531       3,886,932  
Other Communications Equipment (c)
            29,115,697  
              41,676,147  
Computers & Peripherals — 0.9%
               
Quantum Corporation (a) (b)
    1,321,792       4,203,298  
Other Computers & Peripherals (c)
            10,146,173  
              14,349,471  
Electronic Equipment, Instruments & Components — 2.8%
               
Ingram Micro, Inc. - Class A (a) (b)
    225,380       4,221,367  
Other Electronic Equipment, Instruments & Components (c)
            41,284,298  
              45,505,665  
Internet Software & Services — 1.8%
               
GSI Commerce, Inc. (a) (b)
    160,099       4,686,098  
Subaye, Inc. (a) (d)
    37,723       40,552  
Other Internet Software & Services (c)
            25,124,101  
              29,850,751  
IT Services — 2.1%
               
CIBER, Inc. (a) (b)
    659,552       3,772,637  
DST Systems, Inc. (b)
    87,200       4,299,832  
Other IT Services (c)
            25,917,045  
              33,989,514  
Office Electronics — 0.1%
               
Other Office Electronics (c)
            1,873,976  
                 
Semiconductors & Semiconductor Equipment — 3.1%
               
National Semiconductor Corporation
    228,000       5,499,360  
Other Semiconductors & Semiconductor Equipment (c)
            43,894,711  
              49,394,071  
Software — 2.4%
               
Epicor Software Corporation (a) (b)
    388,764       4,859,550  
Other Software (c)
            34,682,191  
              39,541,741  
Materials — 5.3%
               
Chemicals — 1.8%
               
Georgia Gulf Corporation (a) (b)
    112,631       4,435,409  
Other Chemicals (c)
            24,374,311  
              28,809,720  
Construction Materials — 0.0%
               
Other Construction Materials (c)
            1,036,974  
                 
Containers & Packaging — 0.7%
               
Packaging Corporation of America (b)
    126,666       3,613,781  
Other Containers & Packaging (c)
            7,241,939  
              10,855,720  
 
 
10

 
 
TFS MARKET NEUTRAL FUND
SUMMARY SCHEDULE OF INVESTMENTS* (Continued)
 
COMMON STOCKS — 91.4% (Continued)
 
Shares
   
Value
 
Materials — 5.3% (Continued)
           
Metals & Mining — 2.6%
           
Other Metals & Mining (c)
        $ 42,058,292  
               
Paper & Forest Products — 0.2%
             
Other Paper & Forest Products (c)
          4,144,878  
               
Telecommunication Services — 1.1%
             
Diversified Telecommunication Services — 0.8%
             
Other Diversified Telecommunication Services (c)
          13,754,826  
               
Wireless Telecommunication Services — 0.3%
             
Other Wireless Telecommunication Services (c)
          4,560,661  
               
Utilities — 2.6%
             
Electric Utilities — 1.0%
             
Unisource Energy Corporation (b)
    156,022       5,793,097  
Other Electric Utilities (c)
            10,053,729  
              15,846,826  
Gas Utilities — 0.4%
               
Other Gas Utilities (c)
            6,253,665  
                 
Independent Power Producers & Energy Traders — 0.2%
               
Other Independent Power Producers & Energy Traders (c)
            4,229,427  
                 
Multi-Utilities — 0.8%
               
MDU Resources Group, Inc.
    186,747       4,461,386  
Other Multi-Utilities (c)
            7,890,038  
              12,351,424  
Water Utilities — 0.2%
               
Other Water Utilities (c)
            3,387,337  
                 
Total Common Stocks (Cost $1,414,844,202)
          $ 1,480,892,284  
 
 
 
CLOSED-END FUNDS — 2.4%
 
Shares
   
Value
 
Other Closed-End Funds (Cost $37,497,003) (c)
          $ 38,573,865  
 
 
 
EXCHANGE-TRADED FUNDS — 0.1%
 
Shares
   
Value
 
Other Exchange-Traded Funds (Cost $691,750) (c)
          $ 624,466  

 
11

 
 
TFS MARKET NEUTRAL FUND
SUMMARY SCHEDULE OF INVESTMENTS* (Continued)
 
CORPORATE BONDS — 0.0%
 
Par Value
   
Value
 
Financials — 0.0%
           
Other Financials (Cost $0) (c)
          $ 2,064  
 
 
 
RIGHTS — 0.0%
 
Shares
   
Value
 
KHD Humboldt Wedag International AG (d) (Cost $10,675)
    10,216     $ 19,369  
 
 
 
MONEY MARKET FUNDS — 7.1%
 
Shares
   
Value
 
UMB Money Market Fiduciary, 0.01% (e) (Cost $115,434,162)
    115,434,162     $ 115,434,162  
                 
Total Investments at Value — 101.0% (Cost $1,568,477,792)
          $ 1,635,546,210  
                 
Liabilities in Excess of Other Assets — (1.0%)
            (15,591,341 )
                 
Net Assets — 100.0%
          $ 1,619,954,869  
 
*
A complete Schedule of Investments is available without charge upon request by calling toll-free 1-888-534-2001 or on the SEC’s website at http://www.sec.gov.
 
(a)
Non-income producing security.
 
(b)
All or a portion of the shares have been committed as collateral for open short positions.
 
(c)
Represents securities which were not fair-valued as of April 30, 2011 and 1) issuers not identified as either a top 50 holding in terms of market value and 2) issues or issuers not exceeding 1% of net assets individually or in the aggregate, respectively, as of April 30, 2011.
 
(d)
Fair value priced (Note 2). Fair valued securities totaled $392,556 at April 30, 2011, representing 0.0% of net assets.
 
(e)
Variable rate security. The rate shown is the effective interest rate as of April 30, 2011.
 
See accompanying notes to financial statements.

 
12

 
 
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT
April 30, 2011 (Unaudited)
 
COMMON STOCKS — 64.8%
 
Shares
   
Value
 
Consumer Discretionary — 9.3%
           
Auto Components — 0.3%
           
Fuel Systems Solutions, Inc.
    166,061     $ 4,936,163  
Quantum Fuel Systems Technologies Worldwide, Inc.
    120,247       310,237  
Wonder Auto Technology, Inc.
    2,489       14,735  
              5,261,135  
Automobiles — 0.2%
               
Kandi Technologies Corporation
    57,825       167,693  
Thor Industries, Inc.
    800       24,808  
Winnebago Industries, Inc.
    185,446       2,295,821  
              2,488,322  
Distributors — 0.1%
               
Core-Mark Holding Company, Inc.
    29,618       992,499  
Pool Corporation
    69       2,088  
Weyco Group, Inc.
    849       20,588  
              1,015,175  
Diversified Consumer Services — 1.0%
               
American Public Education, Inc.
    4,916       207,701  
Bridgepoint Education, Inc.
    29,976       526,079  
Capella Education Company
    24,500       1,215,200  
Career Education Corporation
    8,569       186,890  
ChinaCast Education Corporation
    350,037       2,138,726  
Coinstar, Inc.
    36,500       1,970,270  
Corinthian Colleges, Inc.
    55,778       248,212  
CPI Corporation
    26,659       479,062  
DeVry, Inc.
    21       1,111  
Education Management Corporation
    270,187       5,009,267  
Hillenbrand, Inc.
    2,500       57,300  
ITT Educational Services, Inc.
    1,400       100,422  
Jackson Hewitt Tax Service, Inc.
    34,400       17,892  
Matthews International Corporation - Class A
    8,100       325,134  
Pre-Paid Legal Services, Inc.
    4,404       290,444  
Regis Corporation
    45,400       771,800  
Stewart Enterprises, Inc. - Class A
    338,949       2,748,876  
              16,294,386  
Hotels, Restaurants & Leisure — 0.6%
               
Bob Evans Farms, Inc.
    5,800       181,888  
Boyd Gaming Corporation
    120,645       1,078,566  
Cracker Barrel Old Country Store, Inc.
    7,500       384,225  
Denny's Corporation
    299,112       1,223,368  
Gaylord Entertainment Company
    4,600       165,002  
Hyatt Hotels Corporation - Class A
    900       39,879  
O'Charley's, Inc.
    69,996       457,774  
P.F. Chang's China Bistro, Inc.
    53,149       2,131,275  
Peet's Coffee & Tea, Inc.
    59,738       2,776,622  
Pinnacle Entertainment, Inc.
    25,900       359,492  
PokerTek, Inc.
    520       762  
Ruth's Hospitality Group, Inc.
    51,800       254,338  
 
 
13

 
 
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (Continued)
 
COMMON STOCKS — 64.8% (Continued)
 
Shares
   
Value
 
Consumer Discretionary — 9.3% (Continued)
           
Hotels, Restaurants & Leisure — 0.6% (Continued)
           
Shuffle Master, Inc.
    4     $ 44  
Speedway Motorsports, Inc.
    16,644       259,313  
Star Buffet, Inc.
    600       456  
Town Sports International Holdings, Inc.
    100       716  
Universal Travel Group (a)
    238,516       472,262  
              9,785,982  
Household Durables — 1.8%
               
American Greetings Corporation - Class A
    146,086       3,593,716  
Beazer Homes USA, Inc.
    201,606       939,484  
Cavco Industries, Inc.
    4,112       191,126  
Comstock Homebuilding Companies, Inc. - Class A
    35,701       43,912  
Deer Consumer Products, Inc.
    253,695       2,572,467  
Ethan Allen Interiors, Inc.
    43,968       1,059,189  
Flexsteel Industries, Inc.
    100       1,429  
Furniture Brands International, Inc.
    48,178       233,182  
Garmin Ltd.
    177,541       6,077,228  
Hooker Furniture Corporation
    3,532       43,938  
Hovnanian Enterprises, Inc. - Class A
    238,967       767,084  
Jarden Corporation
    21,800       793,302  
KB Home
    159,200       1,880,152  
La-Z-Boy, Inc.
    223,634       2,629,936  
Libbey, Inc.
    4,106       70,007  
MDC Holdings, Inc.
    14,600       426,174  
Meritage Homes Corporation
    6,338       151,542  
PulteGroup, Inc.
    481,048       3,910,920  
Ryland Group, Inc. (The)
    84,100       1,455,771  
Sealy Corporation
    449,401       1,186,419  
Skyline Corporation
    4,610       90,402  
Standard Pacific Corporation
    139,355       537,910  
Toll Brothers, Inc.
    2,000       42,020  
              28,697,310  
Internet & Catalog Retail — 0.7%
               
Blue Nile, Inc.
    59,246       3,377,022  
E-Commerce China Dangdang, Inc. - ADR
    26,600       612,066  
Gaiam, Inc. - Class A
    6,100       36,295  
NutriSystem, Inc.
    145,807       2,192,937  
Overstock.com, Inc.
    107,808       1,498,531  
PetMed Express, Inc.
    162,098       2,446,059  
Shutterfly, Inc.
    28,097       1,729,652  
U.S. Auto Parts Network, Inc.
    5,662       43,937  
              11,936,499  
Leisure Equipment & Products — 0.5%
               
Brunswick Corporation
    40,900       955,833  
Callaway Golf Company
    120,317       851,844  
Eastman Kodak Company
    200,371       557,031  
JAKKS Pacific, Inc.
    170,790       3,593,422  
Johnson Outdoors, Inc.
    1,236       20,505  
 
 
14

 
 
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (Continued)
 
COMMON STOCKS — 64.8% (Continued)
 
Shares
   
Value
 
Consumer Discretionary — 9.3% (Continued)
           
Leisure Equipment & Products — 0.5% (Continued)
           
LeapFrog Enterprises, Inc.
    4,053     $ 17,306  
Nautilus, Inc.
    1,102       3,571  
Polaris Industries, Inc.
    5,200       548,236  
Steinway Musical Instruments, Inc.
    100       2,500  
Sturm Ruger & Company, Inc.
    56,796       1,350,609  
Summer Infant, Inc.
    300       2,652  
              7,903,509  
Media — 0.8%
               
Atrinsic, Inc.
    11,051       28,733  
Carmike Cinemas, Inc.
    4,657       33,810  
China MediaExpress Holdings, Inc. (a)
    215,809       1,281,884  
China Yida Holding Company
    5,003       35,021  
Cumulus Media, Inc. - Class A
    52,165       242,567  
E.W. Scripps Company - Class A
    17,076       162,222  
Entercom Communications Corporation - Class A
    32,255       340,935  
Lee Enterprises, Inc.
    38,199       54,625  
Liberty Media, LLC - Starz Entertainment - Series A
    600       46,110  
LodgeNet Interactive Corporation
    46,100       161,811  
Martha Stewart Living Omnimedia, Inc. - Class A
    415,145       1,548,491  
McClatchy Company (The) - Class A
    522,224       1,493,561  
Media General, Inc.
    280,685       1,512,892  
Meredith Corporation
    26,588       888,571  
New York Times Company (The)
    145,773       1,185,134  
Radio One, Inc. - Class D
    20,000       58,200  
ReachLocal, Inc.
    7       163  
Regal Entertainment Group - Class A
    17,902       246,690  
Rentrak Corporation
    2,768       63,498  
Scholastic Corporation
    25,709       675,632  
SearchMedia Holdings Ltd.
    1,000       2,150  
Spanish Broadcasting System, Inc.
    20       15  
SPAR Group, Inc.
    500       862  
SuperMedia, Inc.
    17,125       88,022  
Valassis Communications, Inc.
    39,100       1,127,253  
Viacom, Inc. - Class A
    20,276       1,178,847  
Westwood One, Inc.
    1,196       8,336  
              12,466,035  
Multiline Retail — 0.8%
               
Bon-Ton Stores, Inc. (The)
    81,314       1,128,638  
Fred's, Inc. - Class A
    55,317       772,226  
Sears Holdings Corporation
    129,734       11,153,232  
              13,054,096  
Specialty Retail — 1.4%
               
Aaron's, Inc.
    10,800       310,932  
Aéropostale, Inc.
    4,600       117,438  
Asbury Automotive Group, Inc.
    21,240       367,452  
AutoChina International Ltd.
    5,581       148,231  
Barnes & Noble, Inc.
    220,731       2,425,834  
 
 
15

 
 
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (Continued)
 
COMMON STOCKS — 64.8% (Continued)
 
Shares
   
Value
 
Consumer Discretionary — 9.3% (Continued)
           
Specialty Retail — 1.4% (Continued)
           
Blockbuster, Inc. - Class A
    294,200     $ 18,535  
Borders Group, Inc.
    9,600       2,947  
Brown Shoe Company, Inc.
    63,185       799,290  
Build-A-Bear Workshop, Inc.
    600       3,678  
Cabela's, Inc. - Class A
    12,344       315,266  
Cache, Inc.
    167       959  
Children's Place Retail Stores, Inc. (The)
    6,100       324,337  
China Auto Logistics, Inc.
    2,600       5,330  
Citi Trends, Inc.
    29,650       660,009  
Collective Brands, Inc.
    14,400       302,400  
Conn's, Inc.
    402,014       2,633,192  
Genesco, Inc.
    70       2,827  
Group 1 Automotive, Inc.
    13       559  
hhgregg, Inc.
    158,400       1,957,824  
Hibbett Sports, Inc.
    1,600       60,448  
Lumber Liquidators Holdings, Inc.
    85,469       2,217,920  
MarineMax, Inc.
    17,553       167,807  
Midas, Inc.
    3,472       25,241  
Monro Muffler Brake, Inc.
    69       2,096  
Office Depot, Inc.
    250,147       1,078,133  
Pacific Sunwear of California, Inc.
    7,000       22,330  
Pep Boys - Manny Moe & Jack (The)
    490       6,713  
RadioShack Corporation
    148,490       2,347,627  
Rue21, Inc.
    19,913       599,779  
Sonic Automotive, Inc. - Class A
    101,686       1,433,773  
Syms Corporation
    1,221       9,695  
Talbots, Inc. (The)
    631       3,395  
West Marine, Inc.
    9,402       102,294  
Wet Seal, Inc. (The)
    757,777       3,334,219  
Zumiez, Inc.
    54,750       1,539,022  
              23,347,532  
Textiles, Apparel & Luxury Goods — 1.1%
               
Carter's, Inc.
    63,300       1,957,236  
Cherokee, Inc.
    15,692       304,425  
Culp, Inc.
    86       867  
Delta Apparel, Inc.
    688       12,171  
DGSE Companies, Inc.
    740       4,240  
Forward Industries, Inc.
    100       446  
Hanesbrands, Inc.
    12,500       406,375  
Heelys, Inc.
    200       438  
Iconix Brand Group, Inc.
    31,781       778,317  
Joe's Jeans, Inc.
    100       98  
Jones Group, Inc. (The)
    364,414       4,966,963  
Kingold Jewelry, Inc.
    57,458       113,767  
K-Swiss, Inc. - Class A
    71,470       879,796  
Lacrosse Footwear, Inc.
    500       8,310  
Liz Claiborne, Inc.
    133,191       837,771  
 
 
16

 
 
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (Continued)
 
COMMON STOCKS — 64.8% (Continued)
 
Shares
   
Value
 
Consumer Discretionary — 9.3% (Continued)
           
Textiles, Apparel & Luxury Goods — 1.1% (Continued)
           
R.G. Barry Corporation
    24     $ 294  
Skechers U.S.A., Inc. - Class A
    84,096       1,602,029  
True Religion Apparel, Inc.
    83,883       2,534,944  
Under Armour, Inc. - Class A
    700       47,922  
Volcom, Inc.
    142,216       2,805,921  
Wolverine World Wide, Inc.
    25,800       1,023,744  
              18,286,074  
Consumer Staples — 2.9%
               
Beverages — 0.1%
               
Central European Distribution Corporation
    145,850       1,723,947  
China New Borun Corporation
    44,020       410,707  
MGP Ingredients, Inc.
    56       489  
              2,135,143  
Food & Staples Retailing — 0.6%
               
Anderson's, Inc. (The)
    34,357       1,705,825  
Great Atlantic & Pacific Tea Company, Inc. (The)
    868,266       161,063  
Nash Finch Company
    5,442       202,551  
Pizza Inn, Inc.
    968       2,004  
Ruddick Corporation
    7,300       303,096  
Spartan Stores, Inc.
    25,452       397,306  
SUPERVALU, Inc.
    503,522       5,669,658  
United Natural Foods, Inc.
    1,100       46,959  
Weis Markets, Inc.
    1,810       74,698  
Winn-Dixie Stores, Inc.
    34,543       244,910  
              8,808,070  
Food Products — 1.3%
               
Calavo Growers, Inc.
    40,697       854,637  
Cal-Maine Foods, Inc.
    121,779       3,518,195  
Chiquita Brands International, Inc.
    26,700       425,064  
Dean Foods Company
    4       45  
Diamond Foods, Inc.
    37,211       2,441,042  
Dole Food Company, Inc.
    89,040       1,229,642  
Feihe International, Inc.
    245,588       2,622,880  
Fresh Del Monte Produce, Inc.
    55,800       1,512,738  
Imperial Sugar Company
    32,928       450,455  
John B. Sanfilippo & Son, Inc.
    359       3,949  
Lancaster Colony Corporation
    6,500       397,215  
Lifeway Foods, Inc.
    4,205       40,326  
Limoneira Company
    78       1,717  
Sanderson Farms, Inc.
    78,795       3,750,642  
Seneca Foods Corporation - Class A
    2,094       58,548  
Smart Balance, Inc.
    92,669       442,958  
Snyder's-Lance, Inc.
    53,866       1,063,854  
Tootsie Roll Industries, Inc.
    38,005       1,126,468  
TreeHouse Foods, Inc.
    17,600       1,067,792  
Yuhe International, Inc.
    30,837       170,837  
Zhongpin, Inc.
    33,542       560,151  
              21,739,155  
 
 
17

 
 
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (Continued)
 
COMMON STOCKS — 64.8% (Continued)
 
Shares
   
Value
 
Consumer Staples — 2.9% (Continued)
           
Household Products — 0.1%
           
Central Garden & Pet Company
    12,900     $ 126,033  
Central Garden & Pet Company - Class A
    85,759       859,305  
Spectrum Brands Holdings, Inc.
    25,947       843,278  
              1,828,616  
Personal Products — 0.6%
               
China Sky One Medical, Inc.
    196,014       558,640  
China-Biotics, Inc.
    700,276       6,834,694  
Medifast, Inc.
    45,742       903,404  
Synutra International, Inc.
    60,282       626,933  
              8,923,671  
Tobacco — 0.2%
               
Alliance One International, Inc.
    176,873       705,723  
Star Scientific, Inc.
    185,811       745,102  
Universal Corporation
    4,048       175,602  
Vector Group Ltd.
    51,188       939,812  
              2,566,239  
Energy — 6.4%
               
Energy Equipment & Services — 0.9%
               
Cal Dive International, Inc.
    108       849  
Complete Production Services, Inc.
    14,800       502,312  
Dawson Geophysical Company
    1,856       82,778  
Dril-Quip, Inc.
    25,700       1,967,592  
ENGlobal Corporation
    100       408  
Exterran Holdings, Inc.
    59,950       1,301,514  
Geokinetics, Inc.
    34,847       332,789  
Hornbeck Offshore Services, Inc.
    9,917       289,874  
Key Energy Services, Inc.
    73,200       1,332,240  
Natural Gas Services Group, Inc.
    2,185       39,396  
Newpark Resources, Inc.
    466,176       4,209,569  
PHI, Inc.
    1,322       29,586  
Recon Technology Ltd.
    200       630  
RPC, Inc.
    21,600       584,280  
Seahawk Drilling, Inc.
    226,206       1,662,614  
Seawell Ltd.
    72,539       481,087  
SulphCo, Inc.
    517,569       47,616  
TETRA Technologies, Inc.
    102,021       1,506,850  
TGC Industries, Inc.
    600       4,938  
Tidewater, Inc.
    2,700       160,677  
Willbros Group, Inc.
    246       2,645  
              14,540,244  
Oil, Gas & Consumable Fuels — 5.5%
               
Abraxas Petroleum Corporation
    36       183  
ATP Oil & Gas Corporation
    364,301       6,477,272  
Bill Barrett Corporation
    1,000       41,730  
BioFuel Energy Corporation
    332,796       242,941  
Blue Dolphin Energy Company
    25,031       176,218  
BPZ Resources, Inc.
    271,988       1,294,663  
 
 
18

 
 
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (Continued)
 
COMMON STOCKS — 64.8% (Continued)
 
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