UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number
811-22572
Multi-Strategy Growth & Income Fund
(Exact name of registrant as specified in charter)
80 Arkay Drive Suite 110, Hauppauge, NY 11788
(Address of principal executive offices)
(Zip code)
James Ash
Gemini Fund Services, LLC, 80 Arkay Drive Suite 110, Hauppauge, NY 11788
(Name and address of agent for service)
Registrant's telephone number, including area code:
631-470-2619
Date of fiscal year end:
2/28
Date of reporting period: 5/31/14
Item 1. Schedule of Investments.
Multi-Strategy Growth & Income Fund | |||||||
PORTFOLIO OF INVESTMENTS (Unaudited) | |||||||
May 31, 2014 | |||||||
Shares |
| Security |
|
|
|
| Value |
|
|
|
|
|
|
|
|
|
| COMMON STOCK - 13.69 % |
|
|
|
| |
|
| AGRICULTURE - 0.40% |
|
|
|
|
|
10,000 |
| Reynolds American, Inc. ^ |
|
|
|
| $ 596,300 |
|
|
|
|
|
|
|
|
|
| BANKS - 0.65 % |
|
|
|
|
|
10,000 |
| Bank of Hawaii Corp. ^ |
|
|
|
| 557,600 |
6,000 |
| Bank of Montreal |
|
|
|
| 421,800 |
|
|
|
|
|
|
|
979,400 |
|
| CHEMICALS - 0.48 % |
|
|
|
|
|
20,000 |
| Potash Corp of Saskatchewan, Inc. ^ |
|
|
|
726,400 | |
|
|
|
|
|
|
|
|
|
| ELECTRIC - 0.38 % |
|
|
|
|
|
100 |
| Entergy Corp. ^ |
|
|
|
|
7,542 |
16,000 |
| PPL Corp. ^ |
|
|
|
|
561,440 |
|
|
|
|
|
|
|
568,982 |
|
| FOOD - 0.49 % |
|
|
|
|
|
12,500 |
| Kraft Foods Group, Inc. ^ |
|
|
|
|
743,250 |
|
|
|
|
|
|
|
|
|
| GAS - 0.35 % |
|
|
|
|
|
10,000 |
| AGL Resources, Inc. ^ |
|
|
|
|
533,800 |
|
|
|
|
|
|
|
|
|
| INVESTMENT COMPANIES - 0.25 % |
|
|
|
| |
22,620 |
| Ares Capital Corp. |
|
|
|
|
389,969 |
|
|
|
|
|
|
|
|
|
| OIL & GAS - 0.76 % |
|
|
|
|
|
27,500 |
| Crestwood Equity Partners LP ^ |
|
|
|
386,375 | |
4,000 |
| CVR Refining LP |
|
|
|
|
107,080 |
10,000 |
| Diamond Offshore Drilling, Inc. ^ |
|
|
|
510,600 | |
3,000 |
| Summit Midstream Partners LP |
|
|
|
135,030 | |
|
|
|
|
|
|
|
1,139,085 |
|
| PHARMACEUTICALS - 1.36 % |
|
|
|
| |
14,000 |
| Eli Lilly & Co. ^ |
|
|
|
|
838,040 |
14,000 |
| GlaxoSmithKline PLC - ADR ^ |
|
|
|
755,160 | |
8,000 |
| Merck & Co., Inc. ^ |
|
|
|
|
462,880 |
|
|
|
|
|
|
|
2,056,080 |
|
| PIPELINES - 5.42 % |
|
|
|
|
|
2,500 |
| Boardwalk Pipeline Partners LP ^ |
|
|
|
43,725 | |
8,500 |
| Buckeye Partners LP ^ |
|
|
|
|
666,910 |
40,000 |
| Crestwood Midstream Partners LP ^ |
|
|
|
872,000 | |
20,500 |
| El Paso Pipeline Partners LP ^ |
|
|
|
701,920 | |
26,000 |
| Enbridge Energy Partners LP |
|
|
|
806,000 | |
13,000 |
| Energy Transfer Partners LP ^ |
|
|
|
732,160 | |
7,000 |
| Holly Energy Partners, LP |
|
|
|
|
247,380 |
10,000 |
| Kinder Morgan Energy Partners LP ^ |
|
|
|
760,500 | |
37,500 |
| Niska Gas Storage Partners LLC ^ |
|
|
|
534,375 | |
2,300 |
| NuStar GP Holdings LLC ^ |
|
|
|
|
80,500 |
6,000 |
| Plains All Amer. Pipeline LP |
|
|
|
338,820 | |
5,000 |
| Spectra Energy Partners LP |
|
|
|
262,250 | |
15,000 |
| TC Pipelines LP |
|
|
|
|
780,000 |
10,000 |
| TransMontaigne Partners LP ^ |
|
|
|
496,300 | |
16,000 |
| Williams Partners LP |
|
|
|
|
849,760 |
|
|
|
|
|
|
|
8,172,600 |
|
| SEMICONDUCTORS - 0.40 % |
|
|
|
| |
22,000 |
| Intel Corp. ^ |
|
|
|
|
601,040 |
|
|
|
|
|
|
|
|
|
| SOFTWARE - 0.29 % |
|
|
|
|
|
15,000 |
| CA, Inc. ^ |
|
|
|
|
430,350 |
Multi-Strategy Growth & Income Fund | |||||||
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued) | |||||||
May 31, 2014 | |||||||
Shares |
| Security |
|
|
|
| Value |
|
|
|
|
|
|
|
|
|
| TELECOMMUNICATIONS - 0.80 % |
|
|
|
| |
20,000 |
| AT&T, Inc. ^ |
|
|
|
|
$ 709,400 |
20,000 |
| Cisco Systems, Inc. ^ |
|
|
|
|
492,400 |
|
|
|
|
|
|
|
1,201,800 |
|
| TRANSPORTATION - 1.66 % |
|
|
|
| |
23,000 |
| Golar LNG Partners LP |
|
|
|
|
757,850 |
14,000 |
| Martin Midstream Partners LP ^ |
|
|
|
568,960 | |
15,500 |
| Teekay LNG Partners LP |
|
|
|
|
686,650 |
13,600 |
| Teekay Offshore Partners LP ^ |
|
|
|
485,112 | |
|
|
|
|
|
|
|
2,498,572 |
|
|
|
|
|
|
|
|
|
| TOTAL COMMON STOCK |
|
|
|
|
20,637,628 |
|
| (Cost - $19,308,647) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| REAL ESTATE INVESTMENT TRUSTS - 49.27 % |
|
|
|
| |
|
| LISTED REAL ESTATE INVESTMENT TRUSTS - 10.02 % |
|
|
|
| |
507,400 |
| American Realty Capital Healthcare Trust, Inc. |
|
|
|
5,048,620 | |
195,254 |
| American Realty Capital Properties, Inc. |
|
|
|
2,423,104 | |
5,500 |
| Entertainment Properties Trust |
|
|
|
296,560 | |
16,000 |
| Hospitality Properties Trust |
|
|
|
464,160 | |
593,513 |
| New York REIT, Inc. |
|
|
|
|
6,421,811 |
19,000 |
| Senior Housing Properties Trust |
|
|
|
455,620 | |
|
| TOTAL LISTED REAL ESTATE INVESTMENT TRUSTS |
|
|
|
15,109,875 | |
|
|
|
|
|
|
|
|
|
| NON-LISTED REAL ESTATE INVESTMENT TRUSTS - 39.25 % |
|
|
| ||
172,973 |
| American Realty Capital Healthcare Trust II, Inc. # |
|
|
|
4,000,865 | |
707,027 |
| American Realty Capital Retail Centers of America, Inc. # |
|
|
6,540,000 | ||
432,432 |
| American Realty Capital Trust Global, Inc. # |
|
|
|
4,000,000 | |
188,108 |
| American Realty Capital Trust V, Inc. # |
|
|
|
4,593,017 | |
228,122 |
| Carey Watermark Investors, Inc. # |
|
|
|
2,110,130 | |
467,829 |
| Cottonwood Residential, Inc. # |
|
|
|
5,698,153 | |
738,378 |
| CV Mission Critical REIT, Inc. # |
|
|
|
6,830,000 | |
198,378 |
| Hines Global REIT, Inc # |
|
|
|
|
2,008,075 |
764,346 |
| NorthStar Real Estate Income Trust, Inc. # |
|
|
|
8,700,290 | |
593,514 |
| Phillips Edison ARC Shopping Center REIT, Inc. # |
|
|
|
6,006,321 | |
388,931 |
| Steadfast Income REIT, Inc. # |
|
|
|
4,219,404 | |
218,219 |
| United Development Funding IV # |
|
|
|
4,473,488 | |
|
| TOTAL NON-LISTED REAL ESTATE INVESTMENT TRUSTS |
|
|
|
59,179,743 | |
|
|
|
|
|
|
|
|
|
| TOTAL REAL ESTATE INVESTMENT TRUSTS |
|
|
|
74,289,618 | |
|
| (Cost - $66,293,117) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NON-LISTED BUSINESS DEVELOPMENT COMPANIES - 23.46 % |
|
|
| ||
1,215,151 |
| Business Development Corporation of America # |
|
|
|
12,588,968 | |
362,319 |
| Cion Investment Corp. # |
|
|
|
|
3,500,000 |
1,125,880 |
| Corporate Capital Trust, Inc. # |
|
|
|
11,768,820 | |
661,841 |
| Sierra Income Corp. # |
|
|
|
|
6,274,918 |
|
| TOTAL BUSINESS DEVELOPMENT COMPANIES |
|
|
|
34,132,706 | |
|
| (Cost - $33,651,150) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| PRIVATE INVESTMENT FUNDS - 2.32 % |
|
|
|
| |
2 |
| Aim Infrastructure MLP Fund II LP # |
|
|
|
1,253,559 | |
3,240 |
| Clarion Lion Properties Fund # |
|
|
|
3,500,000 | |
|
| TOAL PRIVATE INVESTMENT FUNDS |
|
|
|
4,753,559 | |
|
| (Cost - $5,000,000) |
|
|
|
|
|
|
|
|
| Interest Rate (%) |
|
|
|
|
| PREFERRED STOCK - 9.99 % |
|
|
|
| |
|
| BANKS - 2.32 % |
|
|
|
|
|
17,000 |
| Cullen/Frost Bankers, Inc. | 5.3750 |
|
|
400,520 | |
28,000 |
| Deutsche Bank Contingent Capital Trust V | 8.0500 |
|
|
800,800 | |
25,000 |
| First Republic Bank, Series A | 6.7000 |
|
|
654,500 | |
31,000 |
| JP Morgan Chase Capital XXIX | 6.7000 |
|
|
809,100 | |
32,500 |
| SVB Capital II |
|
7.0000 |
|
|
837,200 |
|
|
|
|
|
|
|
3,502,120 |
Multi-Strategy Growth & Income Fund | |||||||
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued) | |||||||
May 31, 2014 | |||||||
Shares |
| Security |
| Interest Rate (%) |
|
| Value |
|
|
|
|
|
|
|
|
|
| CLOSED-END FUNDS - 0.34 % |
|
|
|
| |
20,000 |
| General American Investors Co., Inc., Series B | 5.9500 |
|
|
$ 515,000 | |
|
|
|
|
|
|
|
|
|
| DIVERSIFIED FINANCIAL SERVICES - 1.13 % |
|
|
|
| |
34,000 |
| Morgan Stanley Capital Trust VI | 6.6000 |
|
|
863,260 | |
17,784 |
| SLM Corp. , Series A |
|
6.9700 |
|
|
837,982 |
|
|
|
|
|
|
|
1,701,242 |
|
| ELECTRIC - 0.73 % |
|
|
|
|
|
7,335 |
| Duquesne Light Co. |
|
6.5000 |
|
|
386,775 |
30,000 |
| SCE Trust I |
|
5.6250 |
|
|
719,100 |
|
|
|
|
|
|
|
1,105,875 |
|
| INSURANCE - 0.89 % |
|
|
|
|
|
21,500 |
| Aegon NV |
|
7.2500 |
|
|
537,285 |
29,500 |
| Partnerre, Ltd., Series E |
|
7.2500 |
|
|
805,055 |
|
|
|
|
|
|
|
1,342,340 |
|
| REITS - 4.58 % |
|
|
|
|
|
98,073 |
| American Realty Capital Properties, Inc., Series F | 6.7000 |
|
|
2,348,844 | |
33,000 |
| CommonWealth REIT, Series E | 7.2500 |
|
|
848,760 | |
30,231 |
| Digital Realty Trust, Inc., Series E | 7.0000 |
|
|
775,123 | |
28,500 |
| Health Care REIT, Inc., Series J | 6.5000 |
|
|
738,720 | |
25,000 |
| Public Storage, Series O |
|
6.8750 |
|
|
661,750 |
31,000 |
| Realty Income Corp., Series E | 6.7500 |
|
|
790,190 | |
29,000 |
| Vornado Realty Trust, Series I | 6.6250 |
|
|
739,790 | |
|
|
|
|
|
|
|
6,903,177 |
|
|
|
|
|
|
|
|
|
| TOTAL PREFERRED STOCK |
|
|
|
|
15,069,754 |
|
| (Cost - $14,828,386) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| SHORT-TERM INVESTMENTS - 1.31 % |
|
| ||||
|
| MONEY MARKET FUND - 1.31 % |
|
| |||
1,971,817 |
| AIM STIT-Government & Agency Portfolio, 0.02% + |
|
|
1,971,817 | ||
|
| TOTAL SHORT-TERM INVESTMENTS |
|
| |||
|
| (Cost - $1,971,817) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS - 100.04 % |
|
| |||
|
| (Cost - $141,043,117) (a) |
|
|
|
$ 150,855,082 | |
|
| CALL OPTIONS WRITTEN - (0.41) % |
|
|
|
(613,510) | |
|
| OTHER ASSETS LESS LIABILITIES - 0.37 % |
|
547,352 | |||
|
| NET ASSETS - 100.00 % |
|
$ 150,788,924 | |||
| |||||||
# Fair Value estimated using Fair Valuation Procedures adopted by the Board of Trustees. Total value of such securities is $98,066,008 or 65.04% of net assets. | |||||||
+ Money market fund; interest rate reflects the seven-day effective yield on May 31, 2014. | |||||||
^ Each stock position is subject to written call options. |
| ||||||
ADR - American Depositary Receipt |
|
|
| ||||
REIT - Real Estate Investment Trust | |||||||
|
|
|
|
|
|
|
|
(a) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes, including call options written is $140,725,169 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows: | |||||||
|
|
Unrealized appreciation: |
|
$ 11,053,321 | |||
|
|
Unrealized depreciation: |
|
(923,408) | |||
|
|
Net unrealized appreciation: |
|
$ 10,129,913 |
Multi-Strategy Growth & Income Fund | |||||||
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued) | |||||||
May 31, 2014 | |||||||
Contracts (1) |
| Security |
|
|
|
| Value |
|
|
|
|
|
|
|
|
|
| CALL OPTIONS WRITTEN - (0.41) % |
|
|
|
|
|
100 |
| AGL Resources, Inc. |
|
|
|
|
$ 6,500 |
|
| Expiration October 2014, Exercise Price $55.00 |
|
|
|
| |
200 |
| AT&T, Inc. |
|
|
|
|
25,000 |
|
| Expiration October 2014, Exercise Price $35.00 |
|
|
|
| |
100 |
| Bank of Hawaii Corp. |
|
|
|
|
6,500 |
|
| Expiration October 2014, Exercise Price $60.00 |
|
|
|
| |
25 |
| Boardwalk Pipeline Partners LP |
|
|
|
12,000 | |
|
| Expiration June 2014, Exercise Price $12.50 |
|
|
|
| |
85 |
| Buckeye Partners LP |
|
|
|
| 37,400 |
|
| Expiration August 2014, Exercise Price $75.00 |
|
|
|
| |
150 |
| CA, Inc. |
|
|
|
|
1,500 |
|
| Expiration January 2015, Exercise Price $35.00 |
|
|
|
| |
200 |
| Cisco Systems, Inc. |
|
|
|
|
57,000 |
|
| Expiration October 2014, Exercise Price $22.00 |
|
|
|
| |
275 |
| Crestwood Equity Partners LP |
|
|
|
11,000 | |
|
| Expiration October 2014, Exercise Price $15.00 |
|
|
|
| |
400 |
| Crestwood Midstream Partners LP |
|
|
|
26,000 | |
|
| Expiration October 2014, Exercise Price $22.5 |
|
|
|
| |
100 |
| Diamond Offshore Drilling, Inc. |
|
|
|
26,100 | |
|
| Expiration September 2014, Exercise Price $51.00 |
|
|
|
| |
120 |
| El Paso Pipeline Partners, LP |
|
|
|
1,500 | |
|
| Expiration June 2014, Exercise Price $42.50 |
|
|
|
| |
140 |
| Eli Lilly & Company |
|
|
|
|
48,300 |
|
| Expiration January 2015, Exercise Price $60.00 |
|
|
|
| |
130 |
| Energy Transfer Partners LP |
|
|
| 16,250 | |
|
| Expiration January 2015, Exercise Price $57.50 |
|
|
|
| |
1 |
| Entergy Corporation |
|
|
|
|
750 |
|
| Expiration September 2015, Exercise Price $67.50 |
|
|
|
| |
140 |
| Glaxosmithkline PLC |
|
|
|
| 4,200 |
|
| Expiration August 2014, Exercise Price $57.50 |
|
|
|
| |
220 |
| Intel Corporation |
|
|
|
|
27,940 |
|
| Expiration October 2014, Exercise Price $27.00 |
|
|
|
| |
100 |
| Kinder Morgan Energy Partners LP |
|
|
|
7,700 | |
|
| Expiration December 2014, Exercise Price $80.00 |
|
|
|
| |
125 |
| Kraft Foods Group, Inc. |
|
|
|
|
31,250 |
|
| Expiration September 2014, Exercise Price $57.50 |
|
|
|
| |
130 |
| Martin Midstream Partners LP |
|
|
|
650 | |
|
| Expiration July 2014, Exercise Price $45.00 |
|
|
|
| |
80 |
| Merck & Co, Inc. |
|
|
|
|
52,000 |
|
| Expiration January 2015, Exercise Price $52.50 |
|
|
|
| |
200 |
| Niska Gas Storage Partners LLC |
|
|
|
9,200 | |
|
| Expiration October 2014, Exercise Price $15.00 |
|
|
|
| |
23 |
| NuStar GP Holdings LLC |
|
|
|
|
9,890 |
|
| Expiration June 2014, Exercise Price $30.00 |
|
|
|
| |
200 |
| Potash Corp of Saskatchewan, Inc. |
|
|
|
22,400 | |
|
| Expiration September 2014, Exercise Price $37.00 |
|
|
|
| |
160 |
| PPL Corp. |
|
|
|
|
17,600 |
|
| Expiration January 2015, Exercise Price $35.00 |
|
|
|
| |
100 |
| Reynolds American, Inc. |
|
|
|
|
93,000 |
|
| Expiration August 2014, Exercise Price $50.00 |
|
|
|
| |
136 |
| Teekay Offshore Partners LP |
|
|
|
44,880 | |
|
| Expiration August 2014, Exercise Price $32.00 |
|
|
|
| |
100 |
| TransMontaigne Partners LP |
|
|
|
17,000 | |
|
| Expiration September 2014, Exercise Price $45.00 |
|
|
|
| |
|
| TOTAL CALL OPTIONS WRITTEN |
|
|
|
613,510 | |
|
| (Proceeds - $473,124) |
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) Each option contract allows the holder of the option to purchase 100 shares of the underlying stock. |
Multi-Strategy Growth & Income Fund | |||||||
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued) | |||||||
May 31, 2014 | |||||||
|
|
|
|
|
|
|
|
Security Valuation Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ, at the NASDAQ Official Closing Price (NOCP). In the absence of a sale, such securities shall be valued at the mean of the closing bid and asked prices on the day of valuation. Short-term investments that mature in 60 days or less are valued at amortized cost, provided such valuations represent fair value. | |||||||
When price quotations for certain securities are not readily available, or if the available quotations are not believed to be reflective of market value by the Advisor, those securities will be valued at fair value as determined in good faith by the Fair Valuation Committee using procedures adopted by and under the supervision of the Funds Board of Trustees (the Board). There can be no assurance that the Fund could purchase or sell a portfolio security at the price used to calculate the Funds Net Asset Value (NAV). | |||||||
Fair valuation procedures may be used to value a substantial portion of the assets of the Fund. The Fund may use the fair value of a security to calculate its NAV when, for example, (1) a portfolio security is not traded in a public market or the principal market in which the security trades is closed, (2) trading in a portfolio security is suspended and not resumed prior to the normal market close, (3) a portfolio security is not traded in significant volume for a substantial period, or (4) the Advisor determines that the quotation or price for a portfolio security provided by a broker-dealer or independent pricing service is inaccurate. | |||||||
The fair value of securities may be difficult to determine and thus judgment plays a greater role in the valuation process. The fair valuation methodology may include or consider the following guidelines, as appropriate: (1) evaluation of all relevant factors, including but not limited to, pricing history, current market level, supply and demand of the respective security; (2) comparison to the values and current pricing of securities that have comparable characteristics; (3) knowledge of historical market information with respect to the security; (4) other factors relevant to the security which would include, but not be limited to, duration, yield, fundamental analytical data, the Treasury yield curve, and credit quality. | |||||||
The values assigned to fair valued investments are based on available information and do not necessarily represent amounts that might ultimately be realized, since such amounts depend on future developments inherent in long-term investments. Changes in the fair valuation of portfolio securities may be less frequent and of greater magnitude than changes in the price of portfolio securities valued at their last sale price, by an independent pricing service, or based on market quotations. Imprecision in estimating fair value can also impact the amount of unrealized appreciation or depreciation recorded for a particular portfolio security and differences in the assumptions used could result in a different determination of fair value, and those differences could be material. | |||||||
The Fund invests in some securities which are not traded and the Boards Valuation Committee has established a methodology for fair value of each type of security. Non-traded Real Estate Investment Trusts (REITs) that are in the public offering period (or start-up phase) are valued at cost according to managements fair valuation methodology unless the REIT issues an updated valuation. The Fund generally purchases REITs at NAV or without a commission. However, start-up REITs amortize a significant portion of their start-up costs and therefore potentially carry additional risks that may impact valuation should the REIT be unable to raise sufficient capital and execute their business plan. As such, start-up REITs pose a greater risk than seasoned REITs because if they encounter going concern issues, they may see significant deviation in value from the fair value, cost basis approach as represented. Management is not aware of any information which would cause a change in cost basis valuation methodology currently being utilized for non-traded REITs in their offering period. Non-traded REITs that are in their offering period are generally categorized as Level 3 in the fair value hierarchy. Once a REIT closes to new investors, the Fund values the security based on the movement of an appropriate market index or a similar security that is publicly traded until the REIT issues an updated market valuation. Non-traded REITs that have closed to new investors are generally categorized in Level 2 of the fair value hierarchy, due to the significance of the effect of the application of the movement of the market index on the overall fair valuation of the REIT. Other non-traded private investments are monitored for any independent audits of the security or impairments reported on the potential value of the security. The Valuation Committee meets frequently to discuss the valuation methodology and will adjust the value of a security if there is a public update to such valuation. | |||||||
The non-traded Business Development Corporations provide weekly and monthly fair value pricing which is used as an indicator of the valuation for the fund. If the value fluctuates, the Advisor will provide an updated price. If a significant event occurs that causes a large change in price, the Fair Valuation Committee will call a meeting to evaluate the fair value. Non-traded Business Development Corporations are categorized as Level 2 in the fair value hierarchy. | |||||||
The Fund utilizes various methods to measure the fair value of its investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are: | |||||||
Level 1 Unadjusted quoted prices in active markets for identical assets and liabilities that the Fund has the ability to access. | |||||||
Level 2 Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. | |||||||
Level 3 Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Funds own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. |
Multi-Strategy Growth & Income Fund |
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued) |
May 31, 2014 |
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The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. |
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The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of May 31, 2014 for the Funds assets and liabilities measured at fair value: | ||||
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Assets | Level 1 | Level 2 | Level 3 | Total |
Common Stocks |
$ 20,637,628 |
$ - |
$ - |
$ 20,637,628 |
Real Estate Investment Trusts |
15,109,875 |
32,110,725 |
27,069,018 |
74,289,618 |
Non-Traded Business Development Corporations |
- |
30,632,706 |
3,500,000 |
34,132,706 |
Private Investment Funds |
- |
- |
4,753,559 |
4,753,559 |
Preferred Stock |
15,069,754 |
- |
- |
15,069,754 |
Short-Term Investment |
1,971,817 |
- |
- |
1,971,817 |
Total |
$ 52,789,074 |
$ 62,743,431 |
$ 35,322,577 |
$ 150,855,082 |
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Liabilities | Level 1 | Level 2 | Level 3 | Total |
Written Options |
$ 613,510 |
$ - |
$ - |
$ 613,510 |
Total |
$ 613,510 |
$ - |
$ - |
$ 613,510 |
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There were no transfers into or out of Level 1, Level 2 and Level 3 during the period. | |||||
It is the Funds policy to record transfers into or out of any Level at the end of the reporting period. | |||||
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The following is a reconciliation of assets in which Level 3 inputs were used in determining value: | |||||
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Real Estate Investment Trusts |
Private Investment Funds |
Non-Traded Business Develpoment Companies | ||
Beginning Balance |
$ 21,455,874 |
$ 487,660 |
$ - | ||
Total Realized Gain (loss) |
- |
- |
- | ||
Change in Appreciation (Depreciation) |
113,144 |
(171,601) |
- | ||
Cost of Purchases |
5,500,000 |
4,437,500 |
3,500,000 | ||
Proceeds from Sales and Return of Capital |
- |
- |
- | ||
Accrued Interest |
- |
- |
- | ||
Net transfers in/out of Level 3 |
- |
- |
- | ||
Ending Balance |
$ 27,069,018 |
$ 4,753,559 |
$ 3,500,000 |
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Option Transactions The Fund is subject to equity price risk in the normal course of pursuing its investment objective and may purchase or sell options to help hedge against risk. When the Fund writes a call option, an amount equal to the premium received is included in the statement of assets and liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option. If an option expires on its stipulated expiration date or if the Fund enters into a closing purchase transaction, a gain or loss is realized. If a written call option is exercised, a gain or loss is realized for the sale of the underlying security and the proceeds from the sale are increased by the premium originally received. As writer of an option, the Fund has no control over whether the option will be exercised and, as a result, retains the market risk of an unfavorable change in the price of the security underlying the written option. | |||||
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Multi-Strategy Growth & Income Fund | |||||||
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued) | |||||||
May 31, 2014 | |||||||
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The Fund may purchase put and call options. Put options are purchased to hedge against a decline in the value of securities held in the Funds portfolio. If such a decline occurs, the put options will permit the Fund to sell the securities underlying such options at the exercise price, or to close out the options at a profit. The premium paid for a put or call option plus any transaction costs will reduce the benefit, if any, realized by the Fund upon exercise of the option, and, unless the price of the underlying security rises or declines sufficiently, the option may expire worthless to the Fund. In addition, in the event that the price of the security in connection with which an option was purchased moves in a direction favorable to the Fund, the benefits realized by the Fund as a result of such favorable movement will be reduced by the amount of the premium paid for the option and related transaction costs. Written and purchased options are non-income producing securities. With purchased options, there is minimal counterparty risk to the Fund since these options are exchange traded and the exchanges clearinghouse, as counterparty to all exchange traded options, guarantees against a possible default. |
Item 2. Controls and Procedures.
(a)
The registrants principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the 1940 Act)) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b)
There were no significant changes in the registrants internal control over financial reporting that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting.
Item 3. Exhibits.
Certifications required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) (and Item 3 of Form N-Q) are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Multi-Strategy Growth & Income Fund
By (Signature and Title)
*/s/ Raymond J. Lucia, Jr.
Raymond J. Lucia, Jr., President
Date
7/30/14
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)
*/s/ Raymond J. Lucia, Jr.
Raymond J. Lucia, Jr., President
Date
7/30/14
By (Signature and Title)
*/s/Stephanie Pimentel
Stephanie Pimentel Holly, Treasurer
Date
7/30/14
CERTIFICATIONS
I, Raymond J. Lucia, Jr., certify that:
1.
I have reviewed this report on Form N-Q for the Multi-Strategy Growth & Income Fund;
2.
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3.
Based on my knowledge, the schedule of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;
4.
The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
a)
designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b)
designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c)
evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
d)
disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
5.
The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
a)
all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
b)
any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
Date:
7/30/14
Signature: */s/ Raymond J. Lucia, Jr.
Raymond J. Lucia, Jr., President
I, Stephanie Pimentel Holly, certify that:
1.
I have reviewed this report on Form N-Q for the Multi-Strategy Growth & Income Fund;
2.
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3.
Based on my knowledge, the schedule of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;
4.
The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
a)
designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b)
designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c)
evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
d)
disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
5.
The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
a)
all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
b)
any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
Date:
7/30/14
Signature: */s/ Stephanie Pimentel Holly
Stephanie Pimentel, Treasurer