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: 811-07763

LITMAN GREGORY FUNDS TRUST

(Exact name of registrant as specified in charter)

1676 N. California Blvd., Suite 500

Walnut Creek, CA 94596

(Address of principal executive offices)(Zip code)

(Name and Address of Agent for Service)

Jeremy L. DeGroot

1676 N. California Blvd., Suite 500

Walnut Creek, CA 94596

Registrant’s telephone number, including area code: (925) 254-8999

Date of fiscal year end: December 31

Date of reporting period: December 31, 2019

Item 1. Report to Shareholders.

The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Act”):

LITMAN GREGORY FUNDS TRUST

Annual Report

Litman Gregory Masters Equity Fund

Litman Gregory Masters International Fund

Litman Gregory Masters Smaller Companies Fund

Litman Gregory Masters Alternative Strategies Fund

Litman Gregory Masters High Income Alternatives Fund

December 31, 2019

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Litman Gregory Masters Funds’ shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Litman Gregory Masters Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on www.mastersfunds.com, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change; and you need not take any action. You may elect to receive shareholder reports and other communications from the Litman Gregory Masters Funds or your financial intermediary electronically by notifying your financial intermediary directly or, if you are a direct investor, by calling 800-960-0188.

You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your reports. If you invest directly with the Litman Gregory Masters Funds, you can call 800-960-0188. Your election to receive reports in paper will apply to all funds held with the Litman Gregory Masters Funds or your financial intermediary.

Litman Gregory Masters Funds Concept

Investment Philosophy: Alternative Strategies and High Income Alternatives Fund

The Alternative Strategies Fund and the High Income Alternatives Fund were created based on the following fundamental beliefs:

First, Litman Gregory believes it is possible to identify investment managers who will deliver superior long-term performance relative to their passive benchmarks and peer groups. This belief is based on Litman Gregory’s extensive experience evaluating managers and mutual funds on behalf of their clients. The managers in these funds were chosen for their specialized and demonstrated expertise, as well as for their complementary, non-correlated investment approaches.

Second, not only do we want high-quality managers, but we want to offer access to them at an acceptable cost. We spent years engaged in research to find the right mix of managers we believe can deliver on both fronts.

Third, these funds don’t seek to simply replicate what each manager is already doing elsewhere, but to bring investors additional value-add through flexibility, and the ability to be more opportunistic.

The Litman Gregory Masters Alternative Strategies Fund Concept

The Alternative Strategies Fund is a multi-manager fund that combines alternative and absolute-return-oriented strategies chosen based on Litman Gregory’s conviction that each individual strategy is compelling and that collectively the overall fund portfolio is well-diversified. This fund is intended to complement traditional stock and bond portfolios by offering diversification, seeking to reduce volatility, and to potentially enhance returns relative to various measures of risk.

This fund will contain many risk-control factors including the selection of strategies that seek lower risk exposure than conventional stock or stock-bond strategies, the risk-sensitive nature of the managers, the skill of the managers, and the overall strategy diversification.

Typically, each manager will run between 18% to 25% of the portfolio, but Litman Gregory may tactically alter the managers’ allocations to attempt to take advantage of particularly compelling opportunities for a specific strategy or to further manage risk. We will have a high hurdle for making a tactical allocation shift and don’t expect such top-down shifts to happen frequently.

The Litman Gregory Masters High Income Alternatives Fund Concept

The High Income Alternatives Fund is a multi-managed fund created to include multiple types of income-producing investments that could improve returns and diversify risks while playing an important strategic role in navigating interest rate and credit cycles.

We partnered with skilled, experienced managers running differentiated strategies. Each offers access to alternative sources of income that clients may otherwise not own, or to which they may be under-allocated. We seek to generate a high level of income with an eye toward capital preservation—meaning that we don’t want to chase high income without consideration for valuations and risk.

Investment Philosophy: The Equity Funds

Our equity funds are based on two fundamental beliefs:

First, it is possible to identify investment managers who will deliver superior long-term performance relative to their passive benchmarks and peer groups. This belief is based on our extensive experience evaluating stock pickers and mutual funds on behalf of our investment management clients.

Second, that most stock pickers have an unusually high level of conviction in only a small number of stocks and that a portfolio limited to these stocks will, on average, outperform a more diversified portfolio over a market cycle. However, most stock pickers typically manage portfolios that are diversified beyond these highest-conviction holdings in order to reduce risk and to facilitate the management of the larger amounts of money they oversee.

The Concept Behind Our Equity Funds

Based on the above beliefs, these funds seek to isolate the stock-picking skills of a group of highly regarded investment managers. To meet this objective, the funds are designed with both risk and return in mind, placing particular emphasis on the following factors:

• We only choose stock pickers we believe to be exceptionally skilled.

• Each stock picker runs a very concentrated sub-portfolio of not more than 15 of his or her “highest-conviction” stocks.

• Although each manager’s portfolio is concentrated, our equity funds seek to manage risk partly by building diversification into each fund.

^¡  The Equity and International funds offer diversification by including managers with differing investment styles and market-cap orientations.

^¡  The Smaller Companies Fund brings together managers who use different investment approaches, though each focuses on the securities of smaller companies.

• We believe that excessive asset growth often results in diminished performance. Therefore, each fund may close to new investors at a level that Litman Gregory believes will preserve each manager’s ability to effectively implement the Litman Gregory Masters Funds concept. If more sub-advisors are added to a particular fund, the fund’s closing asset level may be increased.

Diversification does not assure a profit or protect against a loss in a declining market.

ii Litman Gregory Funds Trust

Contents

Our Commitment to Shareholders	2
Funds’ Performance	5
Letter to Shareholders	6
Litman Gregory Masters Equity Fund
Equity Fund Review	8
Equity Fund Managers	12
Equity Fund Schedule of Investments	13
Litman Gregory Masters International Fund
International Fund Review	15
International Fund Managers	21
International Fund Schedule of Investments	22
Litman Gregory Masters Smaller Companies Fund
Smaller Companies Fund Review	25
Smaller Companies Fund Managers	29
Smaller Companies Fund Schedule of Investments	30
Litman Gregory Masters Alternative Strategies Fund
Alternative Strategies Fund Review	31
Alternative Strategies Fund Managers	42
Alternative Strategies Fund Schedule of Investments	43
Litman Gregory Masters High Income Alternatives Fund
High Income Alternatives Fund Review	88
High Income Alternatives Fund Managers	96
High Income Alternatives Fund Schedule of Investments	97
Expense Examples	111
Statements of Assets and Liabilities	112
Statements of Operations	114
Statements of Changes in Net Assets
Equity Fund	115
International Fund	115
Smaller Companies Fund	116
Alternative Strategies Fund	116
High Income Alternatives Fund	117
Financial Highlights
Equity Fund	118
International Fund	119
Smaller Companies Fund	120
Alternative Strategies Fund	121
Alternative Strategies Investor Class	122
High Income Alternatives Fund	123
High Income Alternatives Investor Class	124
Notes to Financial Statements	125
Other Information	147
Report of Independent Registered Public Accounting Firm	153
Index Definitions	154
Industry Terms and Definitions	156
Tax Information (Unaudited)	161
Trustee and Officer Information	162
Privacy Notice	164

This report is intended for shareholders of the funds and may not be used as sales literature unless preceded or accompanied by a current prospectus for the Litman Gregory Masters Funds. Statements and other information in this report are dated and are subject to change.

Litman Gregory Fund Advisors, LLC has ultimate responsibility for the funds’ performance due to its responsibility to oversee its investment managers and recommend their hiring, termination and replacement.

Table of Contents 1

Litman Gregory Fund Advisors’

Commitment to Shareholders

We are deeply committed to making each Litman Gregory Masters Fund a highly satisfying long-term investment for shareholders. In following through on this commitment we are guided by our core values, which influence four specific areas of service:

First, we are committed to the Litman Gregory Masters concept.

• We will only hire managers who we strongly believe will deliver exceptional long-term returns relative to their benchmarks. We base this belief on extremely thorough due diligence research. This not only requires us to assess their stock-picking skills, but also to evaluate their ability to add incremental performance by investing in a concentrated portfolio of their highest conviction ideas.

• We will monitor each of the managers so that we can maintain our confidence in their ability to deliver the long-term performance we expect. In addition, our monitoring will seek to assess whether they are staying true to their Litman Gregory Masters Funds mandate. Consistent with this mandate, we focus on long-term performance evaluation so that the Masters managers will not be distracted by short-term performance pressure.

Second, we will do all we can to ensure that the framework within which our stock pickers do their work further increases the odds of success.

• Investments from new shareholders in each fund are expected to be limited so that each fund’s asset base remains small enough to retain flexibility to add value.

• The framework also includes the diversified multi-manager structure that makes it possible for each manager to invest, when appropriate, in an opportunistic manner knowing that the potential volatility within his or her portfolio will be diluted at the fund level by the performance of the other managers. In this way, the multi-manager structure seeks to provide fund-level diversification.

• We will work hard to discourage short-term speculators so that cash flows into the funds are not volatile. Lower volatility helps prevent our managers from being forced to sell stocks at inopportune times or to hold excessive cash for non-investment purposes.

Third, is our commitment to do all we can from an operational standpoint to maximize shareholder returns.

• We will remain attentive to fund overhead, and whenever we achieve savings we will pass them through to shareholders. For example, we have had several manager changes that resulted in lower sub-advisory fees to our funds. In every case we have passed through the full savings to shareholders in the form of fee waivers.

• We will provide investors with a low minimum, no-load, no 12b-1 Institutional share class for all Litman Gregory Masters Funds, and a low minimum, no-load Investor share class for the Alternative Strategies and High Income Alternatives funds

• We also will work closely with our managers to make sure they are aware of tax-loss selling opportunities (only to be taken if there are equally attractive stocks to swap into). We account for partial sales on a specific tax lot basis so that shareholders will benefit from the most favorable tax treatment. The goal is not to favor taxable shareholders over tax-exempt shareholders but to make sure that the managers are taking advantage of tax savings opportunities when doing so is not expected to reduce pre-tax returns.

Fourth, is our commitment to communicate honestly about all relevant developments and expectations.

• We will continue to do this by providing thorough and educational shareholder reports.

• We will continue to provide what we believe are realistic assessments of the investment environment.

Our commitment to Litman Gregory Masters Funds is also evidenced by our own investment. Our employees have, collectively, substantial investments in the funds, as does our company retirement plan. In addition, we use the funds extensively in the client accounts of our investment advisor practice (through our affiliate Litman Gregory Asset Management, LLC). We have no financial incentive to do so because the fees we receive from Litman Gregory Masters Funds held in client accounts are fully offset against the advisory fees paid by our clients. In fact, we have a disincentive to use the funds in our client accounts because each Litman Gregory Masters Fund is capacity constrained (they may be closed as mentioned above), and by using them in client accounts we are using up capacity for which we may not be paid. But we believe these funds offer value that we can’t get elsewhere and this is why we enthusiastically invest in them ourselves and on behalf of clients.

While we believe highly in the ability of the Funds’ sub-advisors, our commitments are not intended as guarantees of future results.

While the funds are no-load, there are management fees and operating expenses that do apply, as well as a 12b-1 fee that applies to Investor class shares. Please refer to the prospectus for further details.

Diversification does not assure a profit or protect against loss in a declining market.

2 Litman Gregory Funds Trust

Must be preceded or accompanied by a prospectus.

Each of the funds may invest in foreign securities. Investing in foreign securities exposes investors to economic, political, and market risks and fluctuations in foreign currencies. Each of the funds may invest in the securities of small companies. Small-company investing subjects investors to additional risks, including security price volatility and less liquidity than investing in larger companies. Debt obligations of distressed companies typically are unrated, lower rated, in default or close to default and may become worthless. The International Fund will invest in emerging markets. Investments in emerging market countries involve additional risks such as government dependence on a few industries or resources, government-imposed taxes on foreign investment or limits on the removal of capital from a country, unstable government, and volatile markets. Investments in debt securities typically decrease when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in mortgage-backed securities include additional risks that investor should be aware of including credit risk, prepayment risk, possible illiquidity, and default, as well as increased susceptibility to adverse economic developments. Investments in lower-rated and non-rated securities present a greater risk of loss to principal and interest than higher-rated securities. The funds may invest in master limited partnership units. Investing in MLP units may expose investors to additional liability and tax risks. Derivatives may involve certain costs and risks such as liquidity, interest rate, market, credit, management, and the risk that a position could not be closed when most advantageous. Investing in derivatives could lose more than the amount invested. The funds may make short sales of securities, which involves the risk that losses may exceed the original amount invested.

The Morningstar Rating for funds, or “star rating”, is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed products monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five, and 10-year (if applicable) Morningstar Rating metrics. The weights are 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10 year overall rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods. Litman Gregory Masters Alternative Strategies Fund was rated against the following numbers of Multialternative funds over the following time periods as of 12/31/2019: 237 funds in the last three years, and 187 funds in the last five years. With respect to these Multialternative funds, Litman Gregory Masters Alternative Strategies (MASFX) received a Morningstar Rating of 3 stars and 4 stars for the three- and five-year periods, respectively. Ratings for other share classes may be different. Morningstar rating is for the Institutional share class only; other classes may have different performance characteristics. The Investor share class received a rating of 3 stars and 4 stars for the three- and five-year periods, respectively.

Merger arbitrage investments risk loss if a proposed reorganization in which the fund invests is renegotiated or terminated.

Investments in absolute return strategies are not untended to outperform stocks and bonds during strong market rallies.

Multi-investment management styles may lead to higher transaction expenses compared to single investment management styles. Outcomes depend on the skill of the sub-advisors and advisor and the allocation of assets amongst them.

Past performance does not guarantee future results.

Mutual fund investing involves risk; loss of principal is possible.

Performance discussions for the Alternative Strategies Fund and the High Income Alternatives Fund are specifically related to the Institutional share class.

Some of the comments are based on current management expectation and are considered “forward-looking statements”. Actual future results, however, may prove to be different from our expectations. You can identify forward-looking statement by words such as “estimate”, “may”, “expect”, “should”, “could”, “believe”, “plan”, and similar terms. We cannot promise future returns and our opinions are a reflection of our best judgment at the time this report is compiled.

Opinions expressed are subject to change, are not guaranteed and should not be considered recommendations to buy or sell any security.

Sharpe ratio is the measure of a fund’s return relative to its risk. The Sharpe ratio uses standard deviation to measure a fund’s risk-adjusted returns. The higher a fund’s Sharpe ratio, the better a fund’s returns have been relative to the risk it has taken on. Because it uses standard deviation, the Sharpe ratio can be used to compare risk-adjusted returns across all fund categories. The Litman Gregory Masters Alternative Strategies Fund’s Sharpe ratio ranked 1 out of 105 in its Peer Group, US OE Multialternative Morningstar Category from 10/1/2011 to 12/31/2019. Past performance is no guarantee of future results.

Fund Summary 3

See pages 9, 16, and 26 for each fund’s top contributors. See pages 10, 19 and 28 for each fund’s portfolio composition. See pages 41 for the Alternative Strategies Fund’s individual strategy portfolio allocations. See pages 94 for the High Income Alternative Fund’s individual strategy portfolio allocations. Fund holdings and/or sector allocations are subject to change at any time and are not recommendations to buy or sell any security.

Diversification does not assure a profit or protect against a loss in a declining market.

Leverage may cause the effect of an increase or decrease in the value of the portfolio securities to be magnified and the fund to be more volatile than if leverage was not used.

References to other mutual funds should not be interpreted as an offer of these securities.

Litman Gregory Fund Advisors LLC has ultimate responsibility for the performance of the Masters Funds due to its responsibility to oversee the investment managers and recommend their hiring, termination and replacement.

Any tax or legal information provided is merely a summary of our understanding and interpretation of some of the current income tax regulations and it is not exhaustive. Investors must consult their tax advisor or legal counsel for advice and information concerning their particular situation. Neither the Funds nor any of their representatives may give legal or tax advice.

Please see page 154 for index definitions. You cannot invest directly in an index.

Please see page 156 for industry definitions.

4 Litman Gregory Funds Trust

Litman Gregory Masters Funds’ Performance

	Average Annual Total Returns
Institutional Class Performance as of 12/31/2019	Three- Month		1-Year		3-Year		5-Year		10-Year		15-Year		Since Inception
Litman Gregory Masters Equity Fund (12/31/96)		10.10%		27.55%		11.66%		8.87%		11.56%		6.98%		8.32%
Russell 3000 Index		9.10%		31.02%		14.57%		11.24%		13.42%		9.03%		8.71%
Morningstar Large Blend Category Average		8.10%		28.59%		13.25%		9.53%		11.47%		7.66%		7.24%
Gross Expense Ratio: 1.29% Net Expense Ratio as of 4/30/19*: 1.17%
Litman Gregory Masters International Fund (12/1/97)		10.68%		30.45%		8.50%		2.85%		4.70%		5.42%		7.08%
MSCI ACWI ex-U.S. Index		8.92%		21.51%		9.87%		5.51%		4.97%		5.25%		5.38%
MSCI EAFE Index		8.17%		22.01%		9.56%		5.67%		5.50%		4.84%		5.02%
Morningstar Foreign Large Blend Category Average		8.36%		21.40%		9.15%		5.18%		5.07%		4.56%		4.21%
Gross Expense Ratio: 1.33% Net Expense Ratio as of 4/30/19*: 1.09%
Litman Gregory Masters Smaller Companies Fund (6/30/2003)		6.28%		23.72%		8.21%		5.49%		9.58%		6.11%		7.91%
Russell 2000 Index		9.94%		25.52%		8.59%		8.23%		11.83%		7.92%		9.74%
Morningstar Small Blend Category Average		7.98%		23.33%		6.59%		6.67%		10.59%		7.11%		8.99%
Gross Expense Ratio: 1.80% Net Expense Ratio as of 4/30/19*: 1.38%
Litman Gregory Masters Alternative Strategies Fund (9/30/2011)		1.91%		8.52%		3.56%		3.33%		n/a		n/a		4.76%
3-Month LIBOR		0.54%		2.61%		1.93%		1.33%		n/a		n/a		0.94%
Bloomberg Barclays Aggregate Bond Index		0.18%		8.72%		4.03%		3.05%		n/a		n/a		2.95%
Morningstar Multialternative Category Average		1.64%		7.48%		2.71%		1.22%		n/a		n/a		1.92%
HFRX Global Hedge Fund Index		2.62%		8.68%		2.42%		1.20%		n/a		n/a		1.82%
Russell 1000 Index		9.04%		31.43%		15.05%		11.48%		n/a		n/a		15.90%
Gross Expense Ratio as of 10/31/19: 1.64%
Net Expense Ratio as of 10/31/19: 1.36%		The Net Expense Ratio reflects a contractual fee waiver and/or expense reimbursement, which is in place through 4/30/2021. See the Fund’s prospectus for more information.
Adjusted Expense Ratio as of 10/31/19: 1.28%		The Adjusted Expense Ratio is the same as the Net Expense Ratio exclusive of certain investment expenses, such as interest expense from borrowings and repurchase agreements, dividend expense from investments on short sales, and acquired fund fees and expenses.
Litman Gregory Masters High Income Alternatives Fund (9/28/2018)		1.44%		8.37%		n/a		n/a		n/a		n/a		3.99%
Bloomberg Barclays Aggregate Bond Index		0.18%		8.72%		n/a		n/a		n/a		n/a		8.27%
ICE BofAML U.S. High Yield TR USD Index		2.61%		14.41%		n/a		n/a		n/a		n/a		7.18%
HFRX Fixed Income—Credit Index		2.52%		6.20%		n/a		n/a		n/a		n/a		2.36%
Gross Expense Ratio as of 4/30/19: 2.06%
Net Expense Ratio as of 4/30/19: 1.70%		The Net Expense Ratio reflects a contractual fee waiver and/or expense reimbursement, which is in place through 4/30/2021. See the Fund’s prospectus for more information.
Adjusted Expense Ratio as of 4/30/19: 0.98%		The Adjusted Expense Ratio is the same as the Net Expense Ratio exclusive of certain investment expenses, such as interest expense from borrowings and repurchase agreements, dividend expense from investments on short sales, and acquired fund fees and expenses.

Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain the performance of the funds as of the most recently completed calendar month, please visit www.mastersfunds.com.

The performance quoted does not include a deduction for taxes that a shareholder would pay on distributions or the redemption of fund shares.

*Gross and net expense ratios per the Prospectus dated 4/30/2019. There are contractual fee waivers in effect through 4/30/2021. Indexes are unmanaged, do not incur expenses, taxes or fees and cannot be invested in directly.

MSCI index returns source: MSCI. Neither MSCI nor any other party involved in or related to compiling, computing, or creating the MSCI data makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability, or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates, or any third party involved in or related to compiling, computing, or creating the data have any liability for any direct, indirect, special, punitive, consequential, or any other damages (including lost profits) even if notified of the possibility of such damages. No further distribution or dissemination of the MSCI data is permitted without MSCI’s express written consent. Source note: Returns prior to 1999 are the MSCI ACWI ex-US GR index. Returns from 1999 onwards are MSCI ACWI ex-US NR index.

Fund Summary 5

Dear Fellow Shareholder,

What a difference a year makes. 2019 began with investors reeling from the nearly 20% decline in global equity markets in the fourth quarter of 2018. However, following the Federal Reserve’s (the Fed’s) pivot to looser monetary policy and a break in the U.S./China trade war, markets rebounded strongly and finished the year on a high note.

Across global equity markets, U.S. large-cap stocks were once again at the top of the leader board. The S&P 500 Index posted gains in every quarter and ended the year at an all-time high. The index’s 31.5% total return was its second-best year since 1997, trailing only its 33% gain in 2013. Growth stocks again trounced value stocks, with the Russell 1000 Growth Stock Index beating its Value Index counterpart by ten percentage points, extending a record 12-year trend. Smaller-cap U.S. stocks (Russell 2000 Index) rose 25.5% for the year, with small-cap growth beating small-cap value by six percentage points.

Foreign equity markets were also strong but trailed the U.S. market. Developed International stocks (MSCI EAFE Index) gained 22.0% for the year. After struggling in the third quarter, emerging-market (EM) stocks (MSCI Emerging Markets Index) shot up almost 12% in the fourth quarter and returned 18.4% for the year.

Domestic credit markets also did very well, with high-yield bonds (BofA Merrill Lynch U.S. High-Yield Cash Pay Index) gaining 14.4%. Somewhat surprisingly, core bonds also posted strong returns in what could be considered a “risk-on” market environment. On the back of three Fed rate cuts, the 10-year Treasury yield declined nearly 80 basis points and the core bond index (Bloomberg Barclays Aggregate Bond Index) returned 8.7%, its best annual return since 2002 (a year when the S&P 500 lost 22%).

Note that it wasn’t corporate profit growth that drove stocks higher in 2019. Reported earnings for the S&P 500 were flat over the first three quarters of the year, with a low single-digit percentage increase projected for the fourth quarter. Instead, roughly two-thirds or more of the S&P’s return came from a sharp expansion in valuation multiples. The index’s price-to-earnings (P/E) ratio shot up from 19x trailing GAAP¹ earnings to 23x at year-end. Meanwhile, the forward P/E, based on analyst earnings expectations, ended the year above 18x, close to its highest level outside of the tech stock bubble of 1999-2000. Many other valuations metrics also suggest the U.S. market is overvalued.

For the year, the Litman Gregory Masters International Fund gained 30.45%, strongly outperforming the 21.51% return for the MSCI ACWI ex USA Index. The Litman Gregory Masters Equity Fund gained 27.55%, trailing the 31.02% for its Russell 3000 Index benchmark. The Litman Gregory Masters Smaller Companies Fund was up 23.72%, compared to 25.52% for the Russell 2000 Index. The Litman Gregory Masters Alternative Strategies Fund returned 8.52%, compared to 2.61% for 3-month LIBOR and 7.50% for the Morningstar Multialternative category. Since inception, the Masters Alternative Strategies Fund has the highest risk-adjusted return (as measured by both the Sharpe and Sortino ratios) in its Morningstar category. Finally, the Litman Gregory Masters High Income Alternatives Fund gained 8.37%, compared to an 8.72% return for the Bloomberg Barclays Aggregate Bond Index, 14.41% for the BofA Merrill Lynch U.S. High-Yield Cash Pay Index and 6.22% for the HFRX Fixed Income – Credit Index.

Please see the individual fund annual reports for additional performance details and portfolio manager commentary.

We believe the Litman Gregory Masters Funds can fill a valuable role within a diversified investment portfolio. Each of the Masters Funds is sub-advised by a group of highly disciplined, experienced, and skilled investors who we believe can outperform their benchmark over a market cycle. On our three equity funds, each manager runs a distinctive, concentrated, high-conviction stock portfolio, with the goal of materially outperforming their respective market index over the long term. Our Alternative Strategies Fund can serve as a core, lower-risk yet opportunistic holding that provides access to proven managers and strategies, differentiated sources of return, and beneficial diversification relative to traditional bond and stock investments. The High Income Alternatives Fund is intended to be a complement to traditional fixed-income allocations, seeking long-term returns that are significantly higher than core fixed-income and comparable to high-yield bonds, but with lower volatility and downside risk than high-yield due to the fund’s diversified sources of return and manager strategy flexibility.

As always, we thank you for your continued trust and confidence. Our commitment and confidence are reflected in the collective personal investments in the funds by Litman Gregory principals, employees, and the Funds’ trustees of over $20 million, as of December 31, 2019.

6 Litman Gregory Funds Trust

¹  GAAP= generally accepted accounting principles. A combination of authoritative standards (set by policy boards) and the commonly accepted ways of recording and reporting accounting information.

Sincerely,

Jeremy DeGroot, President and Portfolio Manager

Jack Chee, Portfolio Manager

Rajat Jain, Portfolio Manager

Jason Steuerwalt, Portfolio Manager

Fund Summary 7

Litman Gregory Masters Equity Fund Review

The Litman Gregory Masters Equity Fund returned 27.55% in 2019, underperforming both the 31.02% return for the Russell 3000 Index benchmark and the 28.59% return for the Morningstar Large Blend category. Since its inception on December 31, 1996, the Fund’s 8.32% average annual return slightly trails the benchmark but is ahead of its peer group’s 7.24% return.

Performance as of 12/31/2019
	Average Annual Total Returns
	Three Month		One- Year		Three- Year		Five- Year		Ten- Year		Fifteen- Year		Since Inception
Litman Gregory Masters Equity Fund Institutional (12/31/96)		10.10%		27.55%		11.66%		8.87%		11.56%		6.98%		8.32%
Russell 3000 Index		9.10%		31.02%		14.57%		11.24%		13.42%		9.03%		8.71%
Morningstar Large Blend Category*		8.10%		28.59%		13.25%		9.53%		11.47%		7.66%		7.24%
Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit www.mastersfunds.com. As of the prospectus dated 4/30/2019, the gross and net expense ratios for the Institutional Class were 1.29% and 1.17%, respectively. There are contractual fee waivers in effect through April 30, 2021.

Performance of Managers

2019 was a stark reversal from the prior year. 2018 was the equity market’s first negative calendar year return since 2008, but a pivot from the Federal Reserve helped markets soar in 2019. Three out of the seven managers outperformed their respective benchmarks. Dick Weiss of Wells Capital was the top performing manager in 2019 – tacking 31.80% onto his track record that goes back to the Fund’s 1996 inception. Weiss has outperformed his Russell 3000 benchmark by almost six percentage points (an average) since inception. Scott Moore from Nuance Investments and Bill Nygren from Harris Associates also outpaced their respective value benchmarks last year. (Returns are net of sub-advisor management fees.)

Longer term, five of the seven managers are outperforming their respective benchmarks since their inception on the fund. We expect the two managers currently underperforming will make up relative ground during downdrafts in the stock market. Neither manager during their tenure on the fund has yet experienced an extended market environment where the benefits of their investment process would add the most value.

Key Performance Drivers

For the 2019 calendar-year period, both stock selection and sector allocations detracted from fund performance. It is important to understand that the portfolio is built stock by stock and that sector weightings are a residual of the bottom-up fundamental stock-picking process employed by each sub-advisor. That said, we do report on the short-term relative performance of both sector weights and stock selection to help shareholders understand the drivers of recent performance. It is also important to remember that the performance of a stock over a relatively short period tells us nothing about whether it will be a successful position; that is only known at the point when the stock is sold.

The Fund’s top performing position in 2019 was Visa. The stock price increased 43.32% last year. At year-end, Visa is the fund’s largest position and is owned by two sub-advisors (Clyde McGregor of Harris Associates and Sands Capital). Both managers have owned the stock for several years and point to Visa’s deep payments network that serves as a critical link connecting merchants, merchant acquirers, and card issuers as part of the appeal of the business. Additionally, Visa’s growth driver—the trend of paper payments to electronic payments—remains intact. Frank Sands, Jr. and Mike Sramek of Sands Capital note that electronic consumer payments are still only 40 to 50 percent penetrated globally. Many developed markets are over 60 percent penetrated, but some—like Germany, Italy, and Japan—are only around 30 percent penetrated. In addition, most emerging markets outside of China are under 30 percent penetrated.

Another top contributor in 2019 was Alphabet, which is owned by Nygren and Sands Capital. As traditional modes of advertising continue to shift online, both sub-advisors point to Alphabet’s dominance and ability to capitalize on targeted advertising. Alphabet’s infrastructure takes advantage of search intent, which is among the most powerful types of data that can be used to target advertisements, supporting high return on investment (ROI) for the company’s advertiser customers. Sands Capital expects Google Search and YouTube, in their opinion, both highly differentiated businesses to continue driving growth going forward, as more commerce moves online and YouTube continues to improve its capabilities for direct response advertisers.

Alibaba, the global e-commerce giant based in China, is a top-10 position at year-end. It was among the top contributor in 2019. Both Sands Capital and Chris Davis and Danton Goei of Davis Advisors own the stock. The duo at Davis Advisors initiated a position in Alibaba in the first quarter of 2019. They say Alibaba connects businesses and consumers in close to 200 countries via its online

8 Litman Gregory Funds Trust

platforms. The company is the largest e-commerce marketplace in the world. Given the company’s enviable competitive position, increasing use as an advertising platform, and promising investments abroad, Davis and Goei expect Alibaba to grow e-commerce revenues at a faster rate than the e-commerce market overall. When also considering the company’s leadership position in emerging businesses with large potential such as internet payments (Alipay), internet finance (ANT Financial), cloud computing (Alibaba Cloud), digital media (Youku Tudou), and offline retail (multiple investments), they believe Alibaba is uniquely positioned in the world’s largest online market.

Hilton Worldwide, owned by McGregor, was also among the top returners in 2019. The stock price increased 55.47% during the year. McGregor contends that Hilton recently transformed into an asset-light, fee-driven company with a more resilient earnings profile that he believes is currently under appreciated by the market. He says Hilton generates over 90% of its profits from franchise, management and incentive fees with long-term contracts; this model requires minimal capital investment and allows Hilton to convert its net income into free cash flow, which it can use to capitalize on attractive acquisition opportunities and fund share repurchases. The company continues to gain market share across all brands and regions and full-year 2019 is on pace to be the fifth consecutive year of net unit growth in excess of 6%. Importantly, Hilton’s development pipeline remained robust through the third quarter (with more than 2,530 hotels consisting of nearly 379,000 rooms throughout 111 countries and territories) and was tracking modestly above management’s expectations. Hilton has a wide spectrum of competitive advantages including the ability to leverage technology to offer guests superior quality and convenience, broad geographic coverage, diversity across brands from mid-range to luxury lodgings and loyalty programs that provide benefits to guests that choose accommodations within its collection.

The fund’s largest detractor in 2019 was Qurate Retail. The stock was owned by Nygren and sold during the third quarter. Quarte owns television shopping channels QVC and HSN (Home Shopping Network). Nygren says earnings results last year were weaker than market expectations. Revenues within QVC, HSN and Zulily declined mid-single digits, while investors were expecting revenue growth from these divisions. Margins were decent, in Nygren’s assessment, considering the surprising revenue decline, which led to earnings per share of $0.35, which exceeded market projections of $0.32. Synergy from the HSN acquisition was on target, and management committed to providing a quarterly update to report actual progress compared with goals. However, Nygren opted to eliminate the position in the company in July to pursue other investment opportunities where they thought there is more upside potential.

Mylan, a healthcare company owned by Weiss, was a detractor during 2019. The company announced quarterly results earlier in the year which were below expectations highlighted by weakness in Europe and this led to some skepticism about the back ended nature of the year. He felt this was sufficiently explained, however, management also announced that after eight months, a corporate strategic review was still ongoing and it was likely they would detail the outcome of this review in late-July at their analyst day. Given how long it’s been (almost a year by that point), the street was highly disappointed and shares underperformed in the first half of the year. Further, concerns over the company’s potential growth trajectory and strategic vision have been a headwind for the company. However, Weiss believes there are several events, including some business line rationalizations and corporate governance changes that could occur and that would be positive. In addition, recent launches of gAdvair and biosimilar Neulasts are gaining traction and should aid revenue growth in the quarters ahead. The company looks attractive on private market value estimates, creating a compelling risk-reward scenario.

Top 10 Individual Contributors as of the Year Ended December 31, 2019
Company Name	Fund Weight (%)		Benchmark Weight (%)		12-Month Return (%)		Contribution to Return (%)		Economic Sector
Visa Inc. Class A		3.29		1.00		43.32		1.32	Information Technology
Alphabet Inc. A		3.80		1.23		28.18		1.18	Communication Services
Capital One Financial Corp.		3.05		0.14		38.63		1.16	Financials
Alibaba Group Holding		2.17		0.00		54.74		0.97	Consumer Discretionary
Hilton Worldwide Hldgs.		1.76		0.00		55.47		0.88	Consumer Discretionary
ServiceNow Inc.		1.75		0.16		58.56		0.87	Information Technology
TE Connectivity		2.80		0.00		29.38		0.81	Information Technology
Amazon.com Inc.		3.30		2.53		23.03		0.76	Consumer Discretionary
Alphabet Inc. C		2.00		1.24		29.10		0.62	Communication Services
United Technologies Corp.		1.46		0.37		43.80		0.62	Industrials

Portfolio contribution for a holding represents the product of the average portfolio weight and the total return earned by the holding during the period. Past performance is no guarantee of future results. Fund holdings and/or sector allocations are subject to change at any time and are not recommendations to buy or sell any security.

Fund Summary 9

Top 10 Individual Detractors as of the Year Ended December 31, 2019
Company Name	Fund Weight (%)		Benchmark Weight (%)		12-Month Return (%)		Contribution to Return (%)		Economic Sector
Qurate Retail Inc.		0.36		0.02		-38.27		-0.37	Consumer Discretionary
US Silica Holdings Inc.		0.46		0.00		-42.04		-0.35	Energy
Mylan NV		0.54		0.04		-23.83		-0.19	Health Care
DXC Technology Co.		0.35		0.05		-30.41		-0.18	Information Technology
American Airlines Group Inc.		0.68		0.04		-12.00		-0.12	Industrials
Global Eagle Entertainment Inc.		0.06		0.00		-77.58		-0.11	Communication Services
C.H. Robinson Worldwide Inc		1.32		0.04		-4.71		-0.09	Industrials
ViacomCBS Inc. Class B		0.73		0.05		-2.34		-0.03	Communication Services
Henkel AG & Co. KGaA		0.99		0.00		-1.65		-0.03	Consumer Staples
Markel Corp.		0.15		0.05		-2.67		-0.03	Financials

Portfolio contribution for a holding represents the product of the average portfolio weight and the total return earned by the holding during the period. Past performance is no guarantee of future results. Fund holdings and/or sector allocations are subject to change at any time and are not recommendations to buy or sell any security.

Portfolio Mix

The Equity Fund is the result of seven bottom-up stock pickers with diverse investment approaches building concentrated portfolios. Therefore, the portfolio often looks quite different from its benchmark. It is common for the fund to have meaningful sector over- and/or underweights. At year-end, the fund was more than seven percentage points overweight to the financials sector (20.7% vs. 13.5%), and underweight to the information technology sector by a similar amount (15.2% vs. 22.4%).

Over the year, the fund’s allocation to the financials sector decreased by about five percentage points. There were no other notable changes to sector weightings during the year. The fund’s cash position did increase over the year—going from 0.8% to 4.6% at year-end.

Over the course of the year, the fund’s market-cap exposure did not change materially, with mid- and smaller-cap companies accounting for about 40% of the portfolio (down from about three percentage points). Large-cap stocks make up roughly 56% of the portfolio, the same level it was at year-end 2018. (The balance of the decrease to mid- and smaller-cap names went to an increased cash position.) The fund’s weighted-average market cap stood at $185.6 billion at the year of 2019, while its median market was $38.8 billion. Foreign holdings account for approximately 16% of the portfolio, which is virtually unchanged from the prior year.

By Sector

	Sector Allocation
	Fund as of 12/31/19		Fund as of 12/31/18		Russell 3000 as of 12/31/19
Communication Services		11.6%		12.1%		9.4%
Consumer Discretionary		17.2%		17.2%		10.0%
Consumer Staples		3.5%		3.8%		6.4%
Energy		2.6%		3.1%		4.1%
Finance		20.7%		25.6%		13.5%
Health Care & Pharmaceuticals		9.9%		7.3%		14.2%
Industrials		12.1%		11.2%		9.9%
Information Technology		15.2%		16.5%		22.4%
Materials		0.8%		1.5%		2.9%
Real Estate		1.8%		0.9%		4.0%
Utilities		0.0%		0.0%		3.2%
Cash Equivalents & Other		4.6%		0.8%		0.0%
		100.0%		100.0%		100.0%

Fund holdings and/or sector allocations are subject to change at any time and are not recommendations to buy or sell any security.

10 Litman Gregory Funds Trust

By Market Capitalization	By Domicile
Market Capitalization: Micro-Cap < $981 million Small-Cap $981 million - $4.4 billion Small/Mid-Cap $4.4 billion - $10.6 billion Mid-Cap $10.6 billion - $29.4 billion Large-Cap > $29.4 billion Totals may not add up to 100% due to rounding

Fund Summary 11

Litman Gregory Masters Equity Fund Managers

INVESTMENT MANAGER	FIRM	TARGET MANAGER ALLOCATION	MARKET CAPITALIZATION OF COMPANIES IN PORTFOLIO	STOCK-PICKING STYLE	BENCHMARK
Christopher Davis Danton Goei	Davis Selected Advisers, L.P.	15%	Mostly large companies	Blend	S&P 500 Index
Pat English Jonathan Bloom	Fiduciary Management, Inc.	15%	All sizes	Blend	S&P 500 Index
Bill Nygren	Harris Associates L.P.	15%	Mostly large- and mid-sized companies	Value	Russell 3000 Value Index
Clyde McGregor	Harris Associates L.P.	15%	All sizes, but mostly large- and mid-sized companies	Value	Russell 3000 Value Index
Scott Moore	Nuance Investments, LLC	10%	All sizes	Value	Russell 3000 Value Index
Frank Sands, Jr. A. Michael Sramek	Sands Capital Management, LLC	17%	All sizes, but mostly large- and mid-sized companies	Growth	Russell 1000 Growth Index
Richard Weiss	Wells Capital Management, Inc.	13%	All sizes, but mostly small- and mid-sized companies	Blend	Russell 2000 Index

Equity Fund Value of Hypothetical $10,000

The value of a hypothetical $10,000 investment in the Litman Gregory Masters Equity Fund from December 31, 1996 to December 31, 2019 compared with the Russell 3000 Index and Morningstar Large Blend Category.

The hypothetical $10,000 investment at fund inception includes changes due to share price and reinvestment of dividends and capital gains. The chart does not imply future performance. Indexes are unmanaged, do not incur fees, expenses or taxes, and cannot be invested in directly.

12 Litman Gregory Funds Trust

Litman Gregory Masters Equity Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019

Shares			Value
	COMMON STOCKS: 94.7%
	Communication Services: 11.6%
	7,560	Alphabet, Inc. - Class A*	$	10,125,788
	3,736	Alphabet, Inc. - Class C*		4,995,107
	5,500	Charter Communications, Inc. - Class A*		2,667,940
	12,125	Facebook, Inc. - Class A*		2,488,656
	139,849	Global Eagle Entertainment, Inc.*		69,925
	10,200	MultiChoice Group - ADR*		83,130
	19,275	Netflix, Inc.*		6,236,812
	14,350	Spotify Technology S.A.*		2,146,043
	45,725	Tencent Holdings Ltd.		2,205,015
	53,250	ViacomCBS, Inc. - Class B		2,234,902
				33,253,318
	Consumer Discretionary: 17.2%
	33,755	Alibaba Group Holding Ltd. - ADR*		7,159,435
	4,660	Amazon.com, Inc.*		8,610,934
	22,700	Dollar General Corp.		3,540,746
	143,308	Fiat Chrysler Automobiles N.V.		2,105,195
	119,700	General Motors Co.		4,381,020
	48,005	Hilton Worldwide Holdings, Inc.		5,324,235
	37,300	Lear Corp.		5,117,560
	51,200	Naspers Ltd. - Class N, ADR		1,667,072
	50,100	Nordstrom, Inc.		2,050,593
	51,200	Prosus N.V. - ADR*		762,885
	18,825	Royal Caribbean Cruises Ltd.		2,513,326
	34,450	Thor Industries, Inc.		2,559,290
	58,000	TJX Cos., Inc. (The)		3,541,480
				49,333,771
	Consumer Staples: 3.5%
	25,945	Cal-Maine Foods, Inc.		1,109,149
	60,000	Conagra Brands, Inc.		2,054,400
	8,754	Diageo Plc - ADR		1,474,348
	29,400	Henkel AG & Co. KGaA		2,772,495
	30,300	Monster Beverage Corp.*		1,925,565
	4,758	Sanderson Farms, Inc.		838,455
				10,174,412
	Energy: 2.6%
	26,820	Apache Corp.		686,324
	49,700	Concho Resources, Inc.		4,352,229
	131,600	Parsley Energy, Inc. - Class A		2,488,556
				7,527,109
	Financials: 20.7%
	89,200	Ally Financial, Inc.		2,725,952
	45,500	American International Group, Inc.		2,335,515
	77,000	Bank of America Corp.		2,711,940
	49,475	Bank of New York Mellon Corp. (The)		2,490,077
	19	Berkshire Hathaway, Inc. - Class A*		6,452,210
	20,750	Berkshire Hathaway, Inc. - Class B*		4,699,875
	25,000	Blackstone Group, Inc. (The) - Class A		1,398,500
	83,460	Capital One Financial Corp.		8,588,868
	7,338	Chubb Ltd.		1,142,233
	36,300	Citigroup, Inc.		2,900,007
	8,100	Fairfax Financial Holdings Ltd.		3,799,791
	46,800	HDFC Bank Ltd. - ADR		2,965,716
	15,030	JPMorgan Chase & Co.		2,095,182
	19,450	MetLife, Inc.		991,366
	36,250	Pinnacle Financial Partners, Inc.		2,320,000

Shares			Value
	Financials (continued)
	8,513	Reinsurance Group of America, Inc.	$	1,388,130
	16,688	Travelers Cos., Inc. (The)		2,285,422
	48,640	US Bancorp		2,883,866
	93,280	Wells Fargo & Co.		5,018,464
				59,193,114
	Health Care: 9.9%
	20,500	Alexion Pharmaceuticals, Inc.*		2,217,075
	30,000	Cerner Corp.		2,201,700
	10,750	Edwards Lifesciences Corp.*		2,507,867
	40,791	Envista Holdings Corp.*		1,209,045
	6,782	ICU Medical, Inc.*		1,269,048
	7,425	Illumina, Inc.*		2,463,170
	10,970	Johnson & Johnson		1,600,194
	31,823	Merit Medical Systems, Inc.*		993,514
	101,200	Mylan N.V.*		2,034,120
	29,000	Quest Diagnostics, Inc.		3,096,910
	7,850	Regeneron Pharmaceuticals, Inc.*		2,947,518
	37,636	Smith & Nephew Plc - ADR		1,809,163
	13,200	UnitedHealth Group, Inc.		3,880,536
				28,229,860
	Industrials: 12.1%
	11,214	3M Co.		1,978,374
	65,000	American Airlines Group, Inc.		1,864,200
	68,400	Arconic, Inc.		2,104,668
	21,100	Carlisle Cos., Inc.		3,414,824
	42,955	CH Robinson Worldwide, Inc.		3,359,081
	48,000	Ferguson Plc		4,362,849
	208,000	General Electric Co.		2,321,280
	17,400	Honeywell International, Inc.		3,079,800
	31,500	Knight-Swift Transportation Holdings, Inc.		1,128,960
	10,223	Lindsay Corp.		981,305
	23,400	ManpowerGroup, Inc.		2,272,140
	72,000	Southwest Airlines Co.		3,886,560
	26,480	United Technologies Corp.		3,965,645
				34,719,686
	Information Technology: 14.5%
	12,300	Accenture Plc - Class A		2,590,011
	15,300	Atlassian Corp. Plc - Class A*		1,841,202
	33,500	Marvell Technology Group Ltd.		889,760
	67,100	NCR Corp.*		2,359,236
	8,100	Palo Alto Networks, Inc.*		1,873,125
	18,900	salesforce.com, Inc.*		3,073,896
	18,475	ServiceNow, Inc.*		5,215,862
	87,100	TE Connectivity Ltd.		8,347,664
	55,000	Visa, Inc. - Class A		10,334,500
	16,025	Workday, Inc. - Class A*		2,635,311
	29,400	Zendesk, Inc.*		2,252,922
				41,413,489
	Materials: 0.8%
	35,400	Agnico Eagle Mines Ltd.		2,180,994
	Real Estate: 1.8%
	51,900	CBRE Group, Inc. - Class A*		3,180,951
	57,496	Equity Commonwealth		1,887,594
				5,068,545
	TOTAL COMMON STOCKS (Cost $175,860,777)			271,094,298

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 13

Litman Gregory Masters Equity Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Shares			Value
	PREFERRED STOCK: 0.7%
	Information Technology: 0.7%
	55,000	Samsung Electronics Co. Ltd. - (Preference Shares)	$	2,159,194
	TOTAL PREFERRED STOCK (Cost $1,621,352)			2,159,194
Principal Amount
	SHORT-TERM INVESTMENTS: 4.4%
	REPURCHASE AGREEMENTS : 4.4%
	$12,612,000	Fixed Income Clearing Corp. 0.120%, 12/31/2019, due 01/02/2020 [collateral: par value $12,865,000, U.S. Treasury Note, 1.625%, due 12/31/2021, value $12,882,227] (proceeds $12,612,084)		12,612,000
	TOTAL SHORT-TERM INVESTMENTS (Cost $12,612,000)			12,612,000
	TOTAL INVESTMENTS (Cost: $190,094,129): 99.8%			285,865,492
	Other Assets in Excess of Liabilities: 0.2%			433,280
	NET ASSETS: 100.0%		$	286,298,772

Percentages are stated as a percent of net assets.

ADR American Depositary Receipt

* Non-Income Producing Security.

The accompanying notes are an integral part of these financial statements.

14 Litman Gregory Funds Trust

Litman Gregory Masters International Fund Review

The Litman Gregory Masters International Fund generated a strong 30.45% return in 2019, well ahead of its benchmarks, the MSCI ACWI ex. USA Index and the MSCI EAFE Index, which rose 21.51% and 22.01%, respectively. The fund also beat its average peer (up 21.40%) in the Morningstar Foreign Large Blend Category. The fund’s strong performance was driven in part by the easing of trade tensions. As a result, many cyclical and China-related holdings in the fund that had sold off materially in the second half of 2018 performed well in 2019.

Performance as of 12/31/2019
	Average Annual Total Returns
	Three Month Return		One- Year		Three- Year		Five- Year		Ten- Year		Fifteen- Year		Since Inception
Litman Gregory Masters International Fund Institutional Class (12/1/1997)		10.68%		30.45%		8.50%		2.85%		4.70%		5.42%		7.08%
MSCI ACWI (ex- U.S.) Index		8.92%		21.51%		9.87%		5.51%		4.97%		5.25%		5.38%
MSCI EAFE Index		8.17%		22.01%		9.56%		5.67%		5.50%		4.84%		5.02%
Morningstar Foreign Large Blend Category Average		8.36%		21.40%		9.15%		5.18%		5.07%		4.56%		4.21%
Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit www.mastersfunds.com. As of the prospectus dated 4/30/2019, the gross and net expense ratios were 1.33% and 1.09%, respectively. There are contractual fee waivers in effect through April 30, 2021.

MSCI index returns source: MSCI. Neither MSCI nor any other party involved in or related to compiling, computing, or creating the MSCI data makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability, or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates, or any third party involved in or related to compiling, computing, or creating the data have any liability for any direct, indirect, special, punitive, consequential, or any other damages (including lost profits) even if notified of the possibility of such damages. No further distribution or dissemination of the MSCI data is permitted without MSCI’s express written consent. Source note: Returns prior to 1999 are the MSCI ACWI ex-US GR index. Returns from 1999 onwards are MSCI ACWI ex-US NR index.

The fund’s long-term performance remains strong. Since inception, the fund has gained 7.08% and is ahead of the MSCI ACWI ex. USA Index return of 5.38%, the MSCI EAFE Index return of 5.02%, and the Morningstar Foreign Large Blend Category return of 4.21%. This long-term record, in our opinion, is a validation of the Masters Funds concept and our belief that concentration in the right hands can add significant value.

Performance of Managers

In 2019, all five sub-advisors on the fund outperformed their respective benchmarks. The calendar-year performance of these five sub-advisors ranged from 24.23% to 42.68% (returns are net of the management fee each sub-advisor charges the fund). Four of the five managers are ahead of their benchmarks since they became a subadvisor on Litman Gregory Masters International. The fifth subadvisor has been with the fund for less than four years and is behind its primary benchmark by about 75 basis points (bps).

Key Performance Drivers

Below we discuss some of the key drivers of both absolute and relative performance. It is important to understand that the portfolio’s sector and country weightings are a residual of the bottom-up, fundamental stock-picking process employed by each sub-advisor. That said, we do report on the relative performance contributions from stock selection, as well as sector and region weightings, to help shareholders better understand drivers of performance.

Stock selection was the primary driver of outperformance in 2019, while sector allocation, a residual of subadvsiors’ bottom-up stock picking, was a slight headwind to relative performance. Stock picking within communication services, energy, and financial sectors were key areas of outperformance for the year. Regionally, stock selection was particularly strong in the UK and the eurozone.

Fund Summary 15

Top 10 Individual Contributors as of the Year Ended December 31, 2019
Company Name	Fund Weight (%)		Benchmark Weight (%)		12-Month Return (%)		Contribution to Return (%)		Country	Economic Sector
Frontline Ltd.		2.40		0.00		134.57		2.63	Bermuda	Energy
Informa PLC		4.48		0.07		45.43		1.96	United Kingdom	Communication Services
ASML Holding NV ADR		1.76		0.43		76.89		1.56	Netherlands	Information Technology
Teekay Lng Partners LP MLP		3.46		0.00		48.46		1.39	Bermuda	Energy
Lloyds Banking Group PLC		2.98		0.25		32.59		1.22	United Kingdom	Financials
Israel Discount Bank Ltd. Class A		2.49		0.00		52.08		1.15	Israel	Financials
Vivendi SA		5.27		0.14		21.45		1.12	France	Communication Services
JD.com Inc. ADR		1.62		0.10		41.95		1.08	China	Consumer Discretionary
CNH Industrial NV		3.43		0.06		24.75		1.05	Netherlands	Industrials
IWG PLC		1.16		0.00		120.65		0.99	Switzerland	Real Estate

Portfolio contribution for a holding represents the product of the average portfolio weight and the total return earned by the holding during the period. Past performance is no guarantee of future results. Fund holdings and/or sector allocations are subject to change at any time and are not recommendations to buy or sell any security.

Top 10 Individual Detractors as of the Year Ended December 31, 2019
Company Name	Fund Weight (%)		Benchmark Weight (%)		12-Month Return (%)		Contribution to Return (%)		Country	Economic Sector
Trip.com Group Ltd.		0.33		0.07		-6.18		-0.16	China	Consumer Discretionary
B2 Holding ASA		0.19		0.00		-43.50		-0.14	Norway	Financials
Japan Tobacco Inc.		1.02		0.13		-5.27		-0.14	Japan	Consumer Staples
Rolls-Royce Holdings PLC		0.17		0.10		-8.93		-0.10	United Kingdom	Industrials
Borr Drilling Ltd.		0.20		0.00		-26.08		-0.09	Norway	Energy
Incitec Pivot Ltd.		1.12		0.00		-3.41		-0.08	Australia	Materials
Bombardier Inc. B		0.22		0.02		-17.84		-0.05	Canada	Industrials
Nexon Co. ltd.		1.25		0.03		3.60		-0.04	Japan	Communication Services
Prosus NV Ordinary Shares Class N		0.11		0.05		-4.27		-0.03	Netherlands	Consumer Discretionary
Codere SA		1.04		0.00		-21.44		-0.01	Spain	Consumer Discretionary

Portfolio contribution for a holding represents the product of the average portfolio weight and the total return earned by the holding during the period. Past performance is no guarantee of future results. Fund holdings and/or sector allocations are subject to change at any time and are not recommendations to buy or sell any security.

Informa, owned by Lazard and Pictet, is a global information services group and academic publisher with a sizeable exhibitions business. Its niches in specific industry data, in market-leading journals, and in essential trade exhibitions, are highly defendable, according to Lazard’s Mark Little. He believes the stock has suffered from a historic perception of cyclicality in its exhibitions business as well as its over-levered status around the financial crisis.

Informa is slowly repairing this reputation through its consistent organic delivery, and by the successful execution of its merger with rival UBM. The company is gradually increasing the quality and defensiveness of its businesses and, as a result, Little says it has accelerated its organic growth from a lumpy 1-2% to a steadier 3.5%.

Informa is the largest player in the exhibitions market, which benefits from structural growth and has attractive working capital characteristics and business visibility (on average 50% of customers book a year ahead). They have improved the quality of their conferences business and are increasingly focusing on more specialist areas as well as trying to layer in higher value-added analytics products.

In the more challenged publishing space, they operate in a more protected part of the market, and Little thinks the high-quality nature of their brands means this business will continue to grow low single-digits. He says its current valuation of around 14x earnings, with decent cash-flow conversion looks too low relative to its profitability, competitive moat, and steady growth profile. Little says Informa trades well below its industry peers with similar financial profiles, and well below the multiples seen in private transactions in exhibitions, an area where private equity interest is high. ln 2019, the stock was a strong performer on the back of solid results, but it was also among the stocks that rebounded from a very weak end to 2018, when Informa fell on overblown fears over its Chinese exhibition exposure.

16 Litman Gregory Funds Trust

Frontline, a stock owned by David Marcus of Evermore, is one of the largest owners and operators of modern crude tanker vessels with a market cap of $2.5 billion. Frontline has one of the youngest, modern fleets among its peers with an average age of 3.8 years. It is controlled by John Fredriksen (44% stake), a proven value creator in the shipping industry. Frontline’s stock was up 134.6% in 2019 due to several factors.

Throughout 2019, the incremental oil demand continued to be strong with the U.S. becoming a top-four global exporter with current exports amounting to over 3 million barrels per day. (In February 2019 the US became a net exporter after over 70 years.) With the U.S. becoming a net long crude exporter, crude tanker operators (especially Frontline) are the beneficiaries of longer ton miles as underscored by the increasing long-haul Atlantic basin exports. In addition, the new International Maritime Organisation (IMO) 2020 sulphur cap regulation (that went into effect in January 2020) will lead to longer trade routes, require additional crude runs and increase floating storage demand as refineries demand specific grades of fuel to refine into low-sulphur compliant fuel. This should also benefit Frontline.    

Finally, scrapping of older vessels accelerated during the year, with the current run rate on track to reaching one of the highest levels in the last 20 years. The new IMO 2020 regulation has put increased pressure on older vessel operators, especially those with fleets older than 15 years old. (The regulations are aimed at curbing pollution caused by ships.) Marcus believes there will be additional scrapping of these older vessels, which will continue to reduce capacity further. In 2019, day/spot rates or pricing for shipping improved considerably from about $30,000 per day to $100,000. Marcus says the rise in spot rates reflects a fundamentally tighter tanker market driven by 1) widening spread between low and high sulphur fuels; 2) shortage of compliant fuels; 3) longer delays to retrofit scrubbers; and 4) order book at the lowest since 1996 with a growing scrapping pool of older tonnage. In summary, the recent movement in tankers rates provide affirmation on the tight supply and growing underlying freight demand.

While Frontline’s share price has performed well in 2019, Marcus sees significant additional upside from current levels. While the spot rates have improved, current asset values do not commensurately capture the improvement in underlying rates. Marcus believes the market has yet to fully appreciate the cash-flow generation potential that tanker companies offer. This is especially true in the case of Frontline, which has one of the lowest all-in cash breakeven levels among its peers (around $20,000), implying strong cash-flow generation at current spot rates.

Moscow Exchange, a Pictet stock, is the leading securities exchange in Russia. The company possesses all the attractive characteristics Pictet likes to see in its purchases: high recurrent revenues, a limited capital requirement, and high margins that lead to a high rate of cash conversion, attractive returns on capital, and substantial cash distributions to shareholders.

Moscow Exchange differs from its European peers in several compelling ways: (1) its market is relatively immature, which creates the opportunity for significant growth through the expansion of its product range; (2) it has a vertically integrated business model—trading and post-trade services—that both generates higher and steadier revenues raising the barrier to new entrants; (3) its customer base is highly diversified; and (4) it holds a near monopoly on trading in virtually all asset classes in Russia. Another characteristic of Moscow Exchange profitability has been a relatively high component of interest income on the customer cash (margin) balances. The stock was purchased in the third quarter of 2018 when sentiment towards Russian stocks was poor, resulting in part due to US sanctions on Russia.

Through 2019, growth in fee and commission income progressed at a healthy level. Pictet continues to believe that the low level of maturity of Russian capital markets should ensure the continuation of this upward trajectory. At the same time, and despite the reduction in local currency rates, net interest income (NII) revenue for the company has stabilized. This is largely due to a growth in client base (i.e. higher balances earning interest in all currencies) and is a development that shifts the balance of NII risk to the upside should hard currency rates begin to rise back to more ‘normal’ levels. One benefit of lower rates is that they are also reflected in Russia being accorded a lower risk premium. This latter effect helped drive Moscow Exchange’s (and the broad Russian market’s) strong performance in the second half of 2019. Moscow Exchange continues to trade at a significant discount to Pictet’s assessment of its intrinsic value.

Among the detractors, Trip.com, Chinese online travel agent and a Pictet holding, saw its stock price decline over 6% for the year in part due to US/China trade tensions and then Hong Kong political protests and civil unrest, which has meant that visitation to the region has almost dried up from mainland China, an effect Pictet estimates lowered Trip.com’s consolidated sales by close to 10%. However, despite revenues and RevPAR (revenues per available room) running on the light side versus Pictet’s expectations, the business has shown much higher than expected operating leverage, which is seen in a more positive progression in the bottom line. Pictet believes this is just the beginning of a profitability improvement for Trip.com that stems from an improved competitive environment and the company’s 60% market share—both generate significant network advantages in terms of number of listings and improving customer acquisition/stickiness.

From a valuation perspective the stock trades on a mid-20s earnings multiple (and a lower free cash flow multiple given that the business operates with substantial negative working capital) and is achieving mid to high teens margins. Pictet estimates normalized operating margins (given a largely fixed cost structure) will be in the mid-20s percentage and don’t believe this improvement in margins is factored in current valuations. As a result, Pictet has been adding to Trip.com in recent months during periods of weakness and remain holders.

Fund Summary 17

Another top detractor was Rolls Royce, held in David Herro’s sleeve. Its strong market position provides him visibility into earnings and free cash flow growth. Herro says CEO Warren East’s overhaul of a weak management team, efforts to improve accountability and incentives to emphasize cash flow are all part of the restructuring that’s designed to increase efficiency and cost competitiveness.

Rolls Royce stock was down less than 10% in 2019, underperforming a strong market. Investors were disappointed with the company’s first-half earnings report that showed free cash flow was off to a sluggish start in 2019. In the third quarter, Rolls-Royce stated that full-year free cash flow and earnings would be at the low end of the previously issued guidance range, which weighed on its share price. Shortly after, the U.S. Navy awarded Rolls-Royce a $1.21 billion contract to provide maintenance, repair and other services for the V-22 AE1107C aircraft engine.

Herro and team believe Rolls-Royce’s civil aerospace business is positioning the company for future success. The development of wide-body aircraft engines with improved fuel efficiency resulted in a loss-making phase, including a material erosion of cash profits for the company in recent years. Herro and team believe Rolls-Royce is emerging from this period of major restructuring, and the company now holds strong market shares in the production of a number of wide-body engines with large order books and robust aftermarket business.

Portfolio Mix

Please see below for sector, regional, and market-cap allocations as of year-end.

The International Fund is built stock by stock from the bottom-up and can at times look very different from its benchmark. As we have stated in earlier reports, we believe this is key to generating excess long-term returns. If we aren’t willing to look much different than the benchmark, we shouldn’t expect to achieve returns much different from the benchmark.

Over the last 12 months, the overall portfolio mix changed modestly. Noteworthy items include the following:

• The fund’s weighting to the consumer discretionary sector decreased by six percentage points. This was the largest shift in sector allocation over the past 12 months. The fund is now slightly underweight this sector versus its primary benchmark (10.4% vs 11.6%).

• Correspondingly, the fund saw its weighting to industrials and communication services increase by 4.6 and 2.3 percentage points, respectively. At the end of 2019, the fund had a 17.7% weighting to communication services, making it the fund’s largest overweighting, with the benchmark at 6.5%. Several of the holdings in this sector, such as Informa (discussed above), Vivendi, and Modern times are trading at attractive valuations.

• The fund’s second largest overweighting is to industrials (22.6% versus 11.8%). The fund’s sector exposures reflect where sub-advisors are finding attractive valuations in relation to the underlying fundamentals. As stable or “quality” and high-growing areas of the market have performed strongly over the past few years, the fund’s subadvisors are finding more value in the cyclical areas of the market.

• The financial sector (17.5%) is the third largest sector weighting in the fund. The fund is underweight this sector versus the benchmark, which has a weighting to 20.6% to financials.

• The fund’s weighting in the energy sector has gradually increased over the year from 4.8% to 7.7%. The fund is only slightly overweight this sector, with benchmark weighting at 6.1%. Frontline, discussed above, falls in this sector.

• Regional and major-country allocations did not change significantly year-over-year. The fund remains significantly overweight to European companies (66.6% compared to 42.0% in the MSCI ACWI ex USA index). With European stocks trading at decades low valuations versus U.S. stocks on normalized earnings, the fund’s subadvisors continue to find Europe extremely attractive.

• The fund is underweight Japan (9.4% versus 16.1%).

• At year-end, the fund had a 10.2% weighting to emerging-markets stocks (compared with the benchmark weighting of 18.8%) This is higher than the 5.7% in the fund one year ago.

• The market-cap exposure changed year-over-year. The fund’s allocation to large-caps (market-cap greater than $15 billion) decreased by about seven percentage points, while small-cap exposure ($5.5 billion or less) increased by about eight percentage points. Mid-cap stocks (market-cap between $5.5 billion and $15 billion) comprised 22.6% of the fund assets. At the end of 2019, the fund had over 50% allocated to stocks below $15 billion market cap. We believe this is an area that remains relatively inefficient and where we believe the fund sub-advisors have added and can add value.

• A modest amount of the fund’s currency exposure was being hedged at the end of the year. 3.5% of the fund’s exposure to the euro, 3.6% of Swiss Franc, and 16.8% of its exposure to the British Pound was hedged at year end.

18 Litman Gregory Funds Trust

By Sector

	Sector Allocation
	Fund as of 12/31/19		Fund as of 12/31/18		iShares MSCI ACWI ex-U.S. as of 12/31/19
Commuinication Services		17.7%		15.5%		6.5%
Consumer Discretionary		10.4%		16.4%		11.6%
Consumer Staples		6.2%		8.2%		9.1%
Energy		7.7%		4.8%		6.1%
Finance		17.5%		20.7%		20.6%
Health Care & Pharmaceuticals		1.6%		3.1%		8.7%
Industrials		22.6%		17.9%		11.8%
Information Technology		5.3%		3.6%		9.0%
Materials		6.6%		5.9%		7.2%
Real Estate		1.3%		1.3%		3.3%
Utilities		0.0%		0.0%		3.3%
Cash Equivalents & Other		3.1%		2.6%		2.8%
		100.0%		100.0%		100.0%

By Region

	Regional Allocation
	Fund as of 12/31/19		Fund as of 12/31/18		iShares MSCI ACWI ex-U.S. as of 12/31/19
Africa		1.0%		1.3%		1.3%
Australia/New Zealand		1.0%		0.7%		4.6%
Asia (ex Japan)		12.6%		12.2%		21.1%
Japan		9.4%		8.3%		16.1%
Western Europe & UK		66.6%		67.8%		42.0%
Latin America		1.3%		0.9%		3.1%
North America		2.7%		4.0%		7.5%
Middle East		2.2%		2.1%		1.4%
Cash Equivalents & Other		3.1%		2.6%		2.9%
		100.0%		100.0%		100.0%

Fund holdings and/or sector allocations are subject to change at any time and are not recommendations to buy or sell any security.

By Asset Class Fund as of 12/31/19	By Market Capitalization Fund as of 12/31/19
Market Capitalization: Developed Markets Small-Cap < $5.5 billion Developed Markets Large and Mid-Cap > $5.5 billion * Totals may not add up to 100% due to rounding	Market Capitalization: Small-Cap < $5.5 billion Mid-Cap $5.5 billion - $15 billion Large-Cap > $15 billion

Fund Summary 19

Taxes

MSILX entered 2019 with a $43 million perpetual loss carryforward. For the year, the fund realized $3 million in capital gains, all of which have been sheltered by the carryforward and leaving the fund with approximately $40 million of unused losses to carryforward into the future

Closing Thoughts

The unprecedented monetary policies across the world has resulted in significant divergence between quality/growth and value-oriented/cyclical segments of the markets. Litman Gregory Masters International subadvisors for the past few years have been gravitating towards the more attractively valued cyclical segments of the market. This benefited the fund in 2019 as trade tensions eased and prospects of a global economic recovery improved.

Mark Little of Lazard notes expansive monetary policy has pushed valuations of structural growth and higher-profitability companies (which he calls compounders) to a level where they are now generally unattractive. His challenge is to find great businesses that have not yet been discovered and re-rated to high valuations, and/or cheap stocks that are temporarily (but not structurally) depressed. The Pictet team shares this view and notes that the impact of very low rates has meant a flight to quality and “long duration” businesses, inflating their valuations. They say many business models they have traditionally liked and would want to own do not meet their absolute return criteria of 5% to 10% steady-state cash-flow yield.

David Marcus of Evermore Global continues to believe Europe is exceptionally attractive and is finding many special-situations and ideas there. David Herro of Harris Associates believes European financials are extremely attractive given their relatively strong operating performance (despite zero to negative interest rates), sustainable mid- to high-single digit dividend yields in an environment where sovereign bonds are yielding zero or worse, and their much enhanced capital position or safety profile compared to a decade ago.

So, our managers continue to find ideas that meet their investment criteria and offer good risk-reward. We remain optimistic about the fund’s prospects because we are invested with skilled, proven stock pickers who continue to adhere to their investment discipline in what remains an unprecedented and an extremely challenging macro and geopolitical environment.

We thank shareholders for their trust and will continue to work hard to earn it.

Earnings growth for a fund holding does not guarantee a corresponding increase in the market value of the holding or the fund.

20 Litman Gregory Funds Trust

Litman Gregory Masters International Fund Managers

INVESTMENT MANAGER	FIRM	TARGET MANAGER ALLOCATION	MARKET CAPITALIZATION OF COMPANIES IN PORTFOLIO	STOCK-PICKING STYLE	BENCHMARK
David Marcus	Evermore Global Advisors	20.00%	All Sizes	Value	MSCI World ex U.S. Value Index
David Herro	Harris Associates L.P.	20.00%	All sizes, but mostly large- and mid-sized companies	Value	MSCI World ex U.S. Value Index
Mark Little	Lazard Asset Management, LLC	20.00%	All sizes	Blend/Relative Value	MSCI All Countries World Free ex U.S. Index
Fabio Paolini Benjamin Beneche	Pictet Asset Management, Ltd.	20.00%	All sizes	Blend	MSCI EAFE Index
Vinson Walden	Thornburg Investment Management, Inc.	20.00%	All sizes	Eclectic, may invest in traditional value stocks or growth stocks	MSCI All Countries World Free ex U.S. Index

International Fund Value of Hypothetical $10,000

The value of a hypothetical $10,000 investment in the Litman Gregory Masters International Fund from December 1, 1997 to December 31, 2019 compared with the MSCI ACWI ex-U.S. Index and Morningstar Foreign Large Blend Category.

The hypothetical $10,000 investment at fund inception includes changes due to share price and reinvestment of dividends and capital gains. The chart does not imply future performance. Indexes are unmanaged, do not incur fees, expenses or taxes, and cannot be invested in directly.

Fund Summary 21

Litman Gregory Masters International Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019

Shares			Value
	COMMON STOCKS: 96.9%
	Australia: 1.0%
	1,846,275	Incitec Pivot Ltd.	$	4,127,422
	Austria: 1.1%
	190,300	S&T AG		4,546,263
	Belgium: 1.6%
	293,762	Fagron		6,374,874
	Bermuda: 7.2%
	1,101,285	Frontline Ltd.		14,162,525
	955,581	Teekay LNG Partners L.P.		14,868,840
				29,031,365
	Canada: 1.8%
	670,600	Bombardier, Inc. - Class B*		998,271
	239,800	CAE, Inc.		6,358,908
				7,357,179
	Cayman Islands: 3.9%
	129,400	GDS Holdings Ltd. - ADR*		6,674,452
	261,787	Trip.com Group Ltd. - ADR*		8,780,336
				15,454,788
	Denmark: 1.0%
	27,185	Carlsberg A/S - Class B		4,058,962
	Finland: 2.0%
	181,856	Sampo Oyj - Class A		7,943,887
	France: 12.2%
	100,100	BNP Paribas S.A.		5,936,888
	10,354	Bollore S.A.*		44,101
	1,780,983	Bollore S.A.		7,777,742
	286,106	Elis S.A.		5,942,140
	49,239	Safran S.A.		7,609,035
	747,185	Vivendi S.A.		21,658,509
				48,968,415
	Germany: 4.4%
	17,855	Allianz SE		4,377,808
	140,672	AURELIUS Equity Opportunities SE & Co. KGaA		6,159,088
	127,350	Daimler AG		7,058,400
				17,595,296
	Hong Kong: 6.3%
	713,000	CK Hutchison Holdings Ltd.		6,801,592
	4,720,537	MGM China Holdings Ltd.		7,709,225
	3,699,000	New World Development Co. Ltd.		5,072,100
	2,284,592	Wynn Macau Ltd.		5,631,734
				25,214,651
	Ireland: 1.1%
	52,200	Ryanair Holdings Plc - ADR*		4,573,242
	Israel: 2.2%
	1,943,224	Israel Discount Bank Ltd. - Class A		9,012,070
	Japan: 9.4%
	178,200	Asahi Group Holdings Ltd.		8,171,634
	114,500	Cocokara fine, Inc.		6,680,440
	47,300	Hoshizaki Corp.		4,239,654
	574,648	Nexon Co. Ltd.*		7,667,967
	9,500	Nintendo Co. Ltd.		3,844,062

Shares			Value
	Japan (continued)
	39,700	Toyota Motor Corp.	$	2,818,256
	126,934	Universal Entertainment Corp.		4,339,574
				37,761,587
	Mexico: 1.3%
	444,546	Grupo Televisa SAB - ADR		5,214,525
	Monaco: 1.2%
	693,643	Scorpio Bulkers, Inc.		4,418,506
	9,935	Scorpio Tankers, Inc.		390,843
				4,809,349
	Netherlands: 8.6%
	1,060,455	CNH Industrial N.V.		11,655,183
	102,531	EXOR N.V.		7,951,548
	708,090	OCI N.V.*		14,905,066
				34,511,797
	Norway: 0.4%
	64,000	Borr Drilling Ltd.*		579,200
	126,418	Borr Drilling Ltd.*		1,090,395
				1,669,595
	Russia: 1.6%
	3,662,490	Moscow Exchange MICEX-RTS PJSC		6,347,815
	South Africa: 1.0%
	24,420	Naspers Ltd. - Class N		4,002,224
	South Korea: 2.5%
	19,255	NAVER Corp.*		3,105,243
	85,000	SK Hynix, Inc.*		6,916,425
				10,021,668
	Spain: 0.7%
	1,023,255	Codere S.A.(a)*		2,779,991
	Sweden: 3.4%
	666,959	Modern Times Group MTG AB - Class B*		7,969,218
	174,900	Nordic Entertainment Group AB - Class B		5,667,657
				13,636,875
	Switzerland: 7.9%
	32,370	Cie Financiere Richemont S.A.		2,543,321
	469,633	Credit Suisse Group AG		6,357,668
	2,414,800	Glencore Plc		7,541,083
	1,504,555	IWG Plc		8,694,300
	125,270	Julius Baer Group Ltd.		6,461,165
				31,597,537
	United Kingdom: 12.2%
	122,471	Coca-Cola European Partners Plc		6,139,018
	472,958	easyJet Plc		8,939,709
	1,677,888	Informa Plc		19,080,166
	11,475,350	Lloyds Banking Group Plc		9,516,655
	563,400	Rolls-Royce Holdings Plc		5,107,438
				48,782,986
	United States: 0.9%
	333,287	Genco Shipping & Trading Ltd.		3,539,508
	TOTAL COMMON STOCKS (Cost $343,027,193)			388,933,871

The accompanying notes are an integral part of these financial statements.

22 Litman Gregory Funds Trust

Litman Gregory Masters International Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount			Value
	SHORT-TERM INVESTMENTS: 3.1%
	REPURCHASE AGREEMENTS : 3.1%
	$12,670,000	Fixed Income Clearing Corp. 0.120%, 12/31/2019, due 01/02/2020 [collateral: par value $12,915,000, U.S. Treasury Note, 1.625%, due 12/31/2021, value 12,932,294] (proceeds $12,670,084)	$	12,670,000
	TOTAL SHORT-TERM INVESTMENTS (Cost $12,670,000)			12,670,000
	TOTAL INVESTMENTS (Cost: $355,697,193): 100.0%			401,603,871
	Liabilities in Excess of Other Assets: (0.0)%			(133,336	)
	NET ASSETS: 100.0%		$	401,470,535

Percentages are stated as a percent of net assets.

ADR American Depositary Receipt

PJSC Public Joint-Stock Company

* Non-Income Producing Security.

(a) Security is valued using significant unobservable inputs in good faith in accordance with procedures approved by the Board of Trustees.

CURRENCY ABBREVIATIONS:

CHF Swiss Franc

EUR Euro

GBP British Pound

USD U.S. Dollar

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 23

Litman Gregory Masters International Fund

SCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS at December 31, 2019

At December 31, 2019, the Fund had the following forward foreign currency exchange contracts:

									Asset Derivatives		Liability Derivatives
Counterparty	Settlement Date		Fund Receiving	U.S. $ Value at December 31, 2019		Fund Delivering	U.S. $ Value at December 31, 2019		Unrealized Appreciation		Unrealized Depreciation
State Street Bank and Trust Company		1/10/2020	USD	$	8,412,049	GBP	$	9,118,261	$	—	$	(706,212	)
		2/18/2020	USD		4,511,887	EUR		4,589,102		—		(77,215	)
		6/17/2020	USD		855,968	CHF		869,383		—		(13,415	)
				$	13,779,904		$	14,576,746	$	—	$	(796,842	)

The accompanying notes are an integral part of these financial statements.

24 Litman Gregory Funds Trust

Litman Gregory Masters Smaller Companies Fund Review

Litman Gregory Masters Smaller Companies Fund gained 23.72% in 2019. Despite the strong absolute return, the fund trailed the 25.52% return for the Fund’s Russell 2000 Index benchmark. The fund did, however, outperform the 23.33% gain for the Morningstar Small Blend category.

Performance as of 12/31/2019
			Average Annual Total Returns
	Three Month		One- Year		Three- Year		Five- Year		Ten- Year		Fifteen- Year		Since Inception
Litman Gregory Masters Smaller Companies Fund (6/30/03)		6.28%		23.72%		8.21%		5.49%		9.58%		6.11%		7.91%
Russell 2000 Index		9.94%		25.52%		8.59%		8.23%		11.83%		7.92%		9.74%
Morningstar Small Blend Category		7.98%		23.33%		6.59%		6.67%		10.59%		7.11%		8.99%
Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit www.mastersfunds.com. As of the prospectus dated 4/30/2019, the gross and net expense ratios for the Smaller Companies Fund were 1.80% and 1.38%, respectively. There are contractual fee waivers in effect through April 30, 2021.

Performance of Managers

It was a strong year for domestic equities of all sizes, and small-cap stocks, as measured by the Russell 2000 Index were up 25.52%. Two of the fund’s three sub-advisors convincingly outperformed their respective benchmark, while the third sub-advisor lagged meaningfully. The fund’s two value-oriented managers Jeff Bronchick of Cove Street Capital and Mark Dickherber and Shaun Nicholson of Segall Bryant & Hamill (SBH) returned 28.63% and 33.49%, respectively in the 12-month period. Dick Weiss of Wells Capital, who has a blend/growth approach gained 12.70% but lagged his Russell 2000 benchmark. (All returns are net of advisory fees.)

Taking a longer-term view, Weiss, who has been on this fund since its June 2003 inception, is outperforming the Russell 2000 by a margin of 1.40%, annualized. Bronchick is modestly ahead of his Russell 2000 value benchmark over his 12.5 years on the fund. The fund’s newest manager, SBH, has been on the fund for roughly two and a half years. Over that brief period, the team has decisively outperformed their Russell 2000 Value benchmark with a 14.21% average annual gain versus 5.52% for the index.

Key Performance Drivers

The Fund’s relative performance during the year was helped by security selection but that was more than offset by sector allocation. As is always the case, at the stock level there were noteworthy contributors and detractors in the period. We should remind investors that in the short term, the performance of a stock does not determine whether a position will be successful or not; that is only known when the stock is sold.

From a sector perspective, industrials, consumer staples and materials were the largest contributors, while consumer discretionary, health care, and communication services were the largest detractors. Within industrials, stock selection was particularly strong, while sector exposure had a negligible effect. One of best performing industrial holdings in the period was Gardner Denver Holdings, held by Dick Weiss. A key catalyst during the year was the announcement of the merger between Gardner and the industrial division of Ingersoll Rand. The deal creates the second largest global manufacturer of industrial pumps/compressors. Weiss believes Gardner can unlock significant value in Ingersoll’s compressor business, which trails Gardner’s margins by 500-600 basis points (bps), while also diluting the firm’s energy business, which Weiss feels could improve the firm’s valuation. Concurrent with the transaction announcement, first-quarter results from Gardner were solidly above expectations, and the company posted several strong quarters throughout the year. Weiss continues to believe that the synergies from the merger are conservative as approximately half of what management is classifying as synergies could be achieved without combining the businesses. He has trimmed the position.

The Fund’s consumer staples exposures (8% of assets), is made up of two stocks. Both are owned by SBH. Hain Celestial Group, a food and personal care products company, saw its stock rise 55.86% in the 12-month period. The stock is the largest holding in the SBH sleeve (17.7% of their assets) and was a top contributor to performance. The co-managers at SBH bought the stock in November 2018 and have maintained their position with the expectation for continued positive transformation of the company through its divestitures, mergers & acquisitions (M&A) and significant return on invested capital (ROIC) improvement.

In the materials sector, stock selection was solid. A big contributor there was Innophos Holdings, held by SBH. The thesis for owning the stock was due to management taking an aggressive plan to eliminate commodity lines of business and redeploy capital into much higher margin areas where they could integrate their core product portfolio. However, management began a process of putting the company up for sale around the middle of 2019 and when the market sensed an acquisition might be likely the stock traded up to

Fund Summary 25

as high as $35 before announcing a takeout at $32 per share. SBH expects the deal to close in the first quarter of 2020. The team was disappointed in the takeout price.

Health care was a net detractor due to stock selection. One of the culprits was Orthofix, owned by SBH. The combination of quarterly results missing expectations and an uncertain CEO transition until late summer caused the stock to underperform. Orthofix has low embedded expectations priced in despite continued above cost of capital returns and the potential for above market growth for the next several years, in addition to a balance sheet that the co-managers feel is very underutilized. SBH met the current CEO before he took the reins, and have spoken with him a couple times since he became CEO. He brings with him a talent pool from decades of experience that is already being deployed internally, surgeon and sales contacts to help with added outside relationships, along with a charisma that instills confidence that the direction forthcoming will be measured and appropriate for the inside and outside followers. The previous CEO likely overstayed his welcome, so to speak, by about one year which Dickherber and Nicholson didn’t recognize fully. They have continued accumulating shares on the weakness post the third quarter reported results and see significant value creation opportunities with strong prospects for growth with above cost of capital returns.

Within communication services, Millicom International Cellular underperformed this year. Bronchick says the decline in the stock price was prompted by the last act of a truly dysfunctional Swedish investment group—Kinnevik—that owns 37% of the stock. After milking Millicom for cash flow to fund new investment schemes, then trying to put it up for sale to Liberty Latin America without the backing of the rest of the Board or management, Kinnevik is now distributing the stock to its shareholders. MIllicom is a collection of Latin American cable and mobile assets run with relatively modest leverage by an ex-Liberty CEO in whom Bronchick has great confidence. The CEO has personally invested millions through open market purchase, something the Cove Street team would really like to see a lot more of from other CEOs. The stock is statistically and thematically dirt cheap, according to Bronchick. The main risk is the risk associated with investing in any emerging market countries.

One of the single largest detractors this year was Qurate Retail. The company owns QVC, HSN, and Zulily among other brands, and underperformed for the year largely due to downward earnings estimate revisions. Weiss says that after speaking with the company following the fourth quarter earnings miss, he developed a thesis that the issues could be easily remedied. Weiss added to the position believing the stock over-reacted, and he saw several ways to win as an equity holder by virtue of the free cash flow generation (debt paydown and buybacks). However, the subsequent earnings announcement proved that several elements of his thesis were broken, and he exited the position.

Within information technology, ViaSat was a winner gaining nearly 25% in the period. Viasat is a provider of satellite communications and defense encryption services. The stock is owned by Bronchick and he says the market has increasingly appreciated the success of the company’s new second-generation satellite (ViaSat-2) in capturing revenue across terrestrial broadband, commercial airlines and defense services. Continued market penetration by the company into airborne services for the military and government are providing excellent high margin growth to the government segment and generating additional request for proposal (RFP) wins for future deployments. Bronchick continues to see this as a long-term compounder driven by technological moats that its competitors cannot surmount in the short or medium-term as well as the company’s continued buildout of a global Ka-band satellite constellation.

Top 10 Individual Contributors as of the Year Ended December 31, 2019
Company Name	Fund Weight (%)		Benchmark Weight (%)		12-Month Return (%)		Contribution to Return (%)		Economic Sector
The Hain Celestial Group Inc		4.44		0.00		63.65		2.57	Consumer Staples
Avid Technology Inc.		1.40		0.01		28.00		2.50	Information Technology
Viasat Inc.		4.07		0.13		24.16		2.28	Information Technology
Innophos Holdings Inc.		5.04		0.03		36.88		2.22	Materials
MAM Software Group Inc.		2.98		0.00		52.28		2.14	Information Technology
Compass Minerals International Inc.		4.14		0.09		54.43		2.11	Materials
NCR Corp.		3.06		0.00		52.34		1.50	Information Technology
Gardner Denver Holdings Inc.		1.62		0.00		79.36		1.21	Industrials
Axon Enterprise Inc.		1.77		0.18		67.50		1.19	Industrials
Great Lakes Dredge + Dock Co.		0.87		0.03		61.93		1.12	Industrials

Portfolio contribution for a holding represents the product of the average portfolio weight and the total return earned by the holding during the period. Past performance is no guarantee of future results. Fund holdings and/or sector allocations are subject to change at any time and are not recommendations to buy or sell any security.

26 Litman Gregory Funds Trust

Top 10 Individual Detractors as of the Year Ended December 31, 2019
Company Name	Fund Weight (%)		Benchmark Weight (%)		12-Month Return (%)		Contribution to Return (%)		Economic Sector
Millicom International Cellular SA		3.63		0.00		-20.21		-0.92	Communication Services
American Eagle Outfitters Inc.		0.94		0.15		-16.03		-0.35	Consumer Discretionary
Groupon Inc.		1.65		0.07		-25.31		-0.53	Consumer Discretionary
Qurate Retail Inc.		0.69		0.00		-35.25		-0.89	Consumer Discretionary
Urban Outfitters Inc.		0.42		0.00		-23.02		-0.41	Consumer Discretionary
Capital Senior Living Corp.		1.36		0.00		-23.13		-0.55	Health Care
CommVault Systems Inc.		0.97		0.10		-25.74		-0.49	Information Technology
Dropbox Inc. Class C		0.72		0.00		-23.98		-0.45	Information Technology
GTT Communications Inc.		0.52		0.04		-65.13		-1.65	Information Technology
Freeport-McMoRan Inc.		0.10		0.00		-24.06		-0.34	Materials

Portfolio contribution for a holding represents the product of the average portfolio weight and the total return earned by the holding during the period. Past performance is no guarantee of future results. Fund holdings and/or sector allocations are subject to change at any time and are not recommendations to buy or sell any security.

Portfolio Mix

As is typically the case given its high active share, the Litman Gregory Masters Smaller Companies Fund’s individual holdings are quite different from its Russell 2000 Index benchmark. It is also common for the Fund to have meaningful sector over- and underweights. For example, as of 12/31/2019 the Fund was more than eight percentage points overweight to the materials sector (17.25% vs. 3.90%), and meaningfully underweight to financials (3.88% vs. 17.74%).

At the sector level, the largest portfolio change was a 10.6 percentage point decrease to information technology, which coincided with increases in materials (11.5% up to 17.25%) and communication services (4.6% up to 8.27%). The Fund’s cash allocation increased slightly from 9.4% at the start of the year to 11.15% at year-end. The Fund’s weighted average market capitalization was virtually unchanged during the year at inching up from $2.9 billion at the beginning of the year to $3.05 billion at the end of the year.

The Fund remains sufficiently diversified by investment style across the three managers. With 43 stocks, the portfolio is well-diversified in terms of holdings and sector exposures.

We believe Litman Gregory Masters Smaller Companies Fund comprises an eclectic mix of highly skilled, disciplined and opportunistic stock pickers who have the potential to add significant additional value through concentrating in only their highest-conviction names. We continue to expect the fund to be successful relative to its benchmark and peers over complete market cycles.

We thank shareholders for their trust and will continue to work hard to earn it.

Fund Summary 27

By Sector

	Sector Allocation
	Fund as of 12/31/19		Fund as of 12/31/18		Russell 2000 Index as of 12/31/19
Communication Services		8.3%		5.1%		2.3%
Consumer Discretionary		7.8%		7.3%		10.9%
Consumer Staples		7.3%		6.1%		3.0%
Energy		5.1%		1.7%		3.2%
Finance		3.9%		5.2%		17.7%
Health Care & Pharmaceuticals		8.1%		6.2%		18.2%
Industrials		18.7%		22.4%		15.8%
Information Technology		12.4%		23.1%		13.5%
Materials		17.3%		11.4%		3.9%
Real Estate		0.0%		2.1%		7.8%
Utilities		0.0%		0.0%		3.7%
Cash Equivalents & Other		11.1%		9.4%		0.0%
		100.0%		100.0%		100.0%

By Market Capitalization	By Domicile
Market Capitalization: Micro-Cap < $981 million Small-Cap $981 million - $4.4 billion Small/Mid-Cap $4.4 billion - $10.6 billion Mid-Cap $10.6 billion - $29.4 billion Large-Cap > $29.4 billion Totals may not add up to 100% due to rounding

28 Litman Gregory Funds Trust

Litman Gregory Masters Smaller Companies Fund Managers

INVESTMENT MANAGER	FIRM	TARGET MANAGER ALLOCATION	MARKET CAPITALIZATION OF COMPANIES IN PORTFOLIO	STOCK-PICKING STYLE	BENCHMARK
Jeff Bronchick	Cove Street Capital, LLC	33-1/3%	Small- and mid-sized companies	Value	Russell 2000 Value Index
Mark Dickherber & Shaun Nicholson	Segall Bryant & Hamill	33-1/3%	Small- and mid-sized companies	Value	Russell 2000 Value Index
Richard Weiss	Wells Capital Management, Inc.	33-1/3%	Small- and mid-sized companies	Blend	Russell 2000 Index

Smaller Companies Fund Value of Hypothetical $10,000

The value of a hypothetical $10,000 investment in the Litman Gregory Masters Smaller Companies Fund from June 30, 2003 to December 31, 2019 compared with the Russell 2000 Index and Morningstar Small Blend Category.

The hypothetical $10,000 investment at fund inception includes changes due to share price and reinvestment of dividends and capital gains. The chart does not imply future performance. Indexes are unmanaged, do not incur fees, expenses or taxes, and cannot be invested in directly.

Fund Summary 29

Litman Gregory Masters Smaller Companies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019

Shares			Value
	COMMON STOCKS: 88.9%
	Communication Services: 8.3%
	9,400	Emerald Expositions Events, Inc.	$	99,170
	65,000	EW Scripps Co. (The) - Class A		1,021,150
	75,998	MDC Partners, Inc. - Class A*		211,275
	21,593	Millicom International Cellular S.A.*		1,041,430
				2,373,025
	Consumer Discretionary: 7.8%
	37,500	American Eagle Outfitters, Inc.		551,250
	11,000	Cheesecake Factory, Inc. (The)		427,460
	166,000	Groupon, Inc.*		396,740
	6,786	Jack in the Box, Inc.		529,511
	12,200	Tapestry, Inc.		329,034
				2,233,995
	Consumer Staples: 7.3%
	65,612	Hain Celestial Group, Inc. (The)*		1,702,959
	8,416	TreeHouse Foods, Inc.*		408,176
				2,111,135
	Energy: 5.1%
	24,600	Noble Energy, Inc.		611,064
	9,788	PDC Energy, Inc.*		256,152
	43,153	WPX Energy, Inc.*		592,922
				1,460,138
	Financials: 3.9%
	18,200	AllianceBernstein Holding L.P.		550,732
	15,200	Bank of NT Butterfield & Son Ltd. (The)		562,704
				1,113,436
	Health Care: 8.1%
	14,000	Avantor, Inc.*		254,100
	135,700	Capital Senior Living Corp.*		419,313
	6,735	Integer Holdings Corp.*		541,696
	3,833	Magellan Health, Inc.*		299,932
	17,285	Orthofix Medical, Inc.*		798,222
				2,313,263
	Industrials: 18.7%
	7,900	ASGN, Inc.*		560,663
	16,500	Avis Budget Group, Inc.*		531,960
	7,875	Axon Enterprise, Inc.*		577,080
	5,800	Gardner Denver Holdings, Inc.*		212,744
	74,500	GP Strategies Corp.*		985,635
	15,000	Heritage-Crystal Clean, Inc.*		470,550
	22,600	Macquarie Infrastructure Corp.		968,184
	5,363	Regal Beloit Corp.		459,126
	8,025	Sensata Technologies Holding Plc*		432,307
	3,296	SPX Corp.*		167,701
				5,365,950
	Information Technology: 12.4%
	4,840	Arrow Electronics, Inc.*		410,142
	29,900	Dropbox, Inc. - Class A*		535,509
	31,808	FireEye, Inc.*		525,786
	9,000	FLIR Systems, Inc.		468,630
	25,031	NCR Corp.*		880,090
	10,300	ViaSat, Inc.*		753,908
				3,574,065

Shares			Value
	Materials: 17.3%
	31,100	Axalta Coating Systems Ltd.*	$	945,440
	32,080	Compass Minerals International, Inc.		1,955,597
	37,598	Innophos Holdings, Inc.		1,202,384
	17,000	Norbord, Inc.		454,410
	22,875	Olin Corp.		394,594
				4,952,425
	TOTAL COMMON STOCKS (Cost $24,214,080)			25,497,432
Principal Amount
	SHORT-TERM INVESTMENTS: 11.2%
	REPURCHASE AGREEMENTS : 11.2%
	$3,215,000	Fixed Income Clearing Corp. 0.120%, 12/31/2019, due 01/02/2020 [collateral: par value $3,280,000, U.S. Treasury Note, 1.625%, due 12/31/2021, value $3,284,392] (proceeds $3,215,021)		3,215,000
	TOTAL SHORT-TERM INVESTMENTS (Cost $3,215,000)			3,215,000
	TOTAL INVESTMENTS (Cost: $27,429,080): 100.1%			28,712,432
	Liabilities in Excess of Other Assets: (0.1)%			(18,038	)
	NET ASSETS: 100.0%		$	28,694,394

Percentages are stated as a percent of net assets.

L.P. Limited Partnership

* Non-Income Producing Security.

The accompanying notes are an integral part of these financial statements.

30 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund Review

The Litman Gregory Masters Alternative Strategies Fund (Institutional Share Class) gained 8.52% in 2019. During the same period, 3-month LIBOR gained 2.61%, the Morningstar Multialternative Category gained 7.50%, the Bloomberg Barclays U.S. Aggregate Bond Index gained 8.72%, and the HFRX Global Hedge Fund Index rose 8.68%.

QUARTER END PERFORMANCE – 12/31/2019
	Average Annual Total Returns
	Three Month		Year-to- Date		One- Year		Three- Year		Five- Year		Since Inception (9/30/2011)
Litman Gregory Masters Alternative Strategies Fund Institutional Class		1.91%		8.52%		8.52%		3.56%		3.33%		4.76%
Litman Gregory Masters Alternative Strategies Fund Investor Class		1.84%		8.22%		8.22%		3.25%		3.07%		4.51%
3-Month LIBOR		0.54%		2.61%		2.61%		1.93%		1.33%		0.94%
Bloomberg Barclays Aggregate Bond Index		0.18%		8.72%		8.72%		4.03%		3.05%		2.95%
Morningstar Multialternative Category		1.64%		7.48%		7.48%		2.71%		1.22%		1.92%
HFRX Global Hedge Fund Index		2.62%		8.68%		8.68%		2.42%		1.20%		1.82%
Russell 1000 Index		9.04%		31.43%		31.43%		15.05%		11.48%		15.90%
SEC 30-Day Yield1 as of 12/31/19 Institutional: 2.20% Investor: 1.95%
Unsubsidized SEC 30-Day Yield2 as of 12/31/19 Institutional: 1.92% Investor: 1.67%
1.  The 30-day SEC Yield is computed under an SEC standardized formula based on net income earned over the past 30 days. It is a “subsidized” yield, which means it includes contractual expense reimbursements, and it would be lower without those reimbursements.
2.  The unsubsidized 30-day SEC Yield is computed under an SEC standardized formula based on net income earned over the past 30 days. It excludes contractual expense reimbursements, resulting in a lower yield.

EXPENSE RATIOS as of 10/31/19	MASFX		MASNX
Gross Expense Ratio		1.64%		1.89%
Net Expense Ratio		1.36%		1.61%
The Net Expense Ratio reflects a contractual fee waiver and/or expense reimbursement, which is in place through 4/30/2021. See the Fund’s prospectus for more information.
Adjusted Expense Ratio		1.28%		1.53%
The Adjusted Expense Ratio is the same as the Net Expense Ratio exclusive of certain investment expenses, such as interest expense from borrowings and repurchase agreements, dividend expense from investments on short sales, and acquired fund fees and expenses.
Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit www.mastersfunds.com. All performance discussions in this report refer to the performance of the Institutional share class.

The Alternative Strategies Fund returned 2.53% in the second half of the year and 8.52% for the full year. This is the second-highest calendar-year return since the fund’s inception over eight years ago, trailing only the 9.41% gain achieved in 2012 when the fund benefited in particular from the tailwind of extremely cheap non-agency residential mortgage-backed securities. It is also a satisfying bounce-back from the slight negative performance in 2018 and was achieved without taking undue risk. Considering the myriad macro perils present, along with what we consider quite stretched U.S. equity valuations and compressed credit spreads, we believe maintaining a generally cautious posture was (and is still) warranted.

Since its inception on September 30, 2011, the fund’s average annual return is 4.76% with a volatility (standard deviation) of 3.12% and a beta to the stock market of 0.23. This return is towards the lower end of what we think is a reasonable expected-return range for the fund over the longer term (full market cycles). Meanwhile, the fund’s volatility has been well below our expected range of 4% to 8%, and its equity beta has been in line with our expectations.

Overall, we are pleased with the fund’s risk-adjusted returns. It has the highest Sharpe and Sortino ratios within its Morningstar Multialternative peer group category, since inception. And it has more than doubled the total return of both its Morningstar category and the HFRX Global Hedge Fund Index, with lower volatility and beta than both.

Fund Summary 31

The “Risk/Return Statistics” table below provides some of the key performance metrics we track for the fund and its benchmarks.

Litman Gregory Masters Alternative Strategies Fund Risk/Return Statistics 12/31/19
	MASFX		Bloomberg Barclays Agg Bond		Morningstar Multi-Alternative Category		HFRX Global Hedge Fund		Russell 1000
Annualized Return		4.76		2.95		1.92		1.82		15.90
Total Cumulative Return		46.74		27.13		16.81		15.94		237.98
Annualized Std. Deviation		3.12		2.88		3.39		3.62		11.48
Sharpe Ratio (Annualized)		1.27		0.79		0.37		0.32		1.29
Beta (to Russell 1000)		0.23		-0.03		0.27		0.26		1.00
Correlation of MASFX to		1.00		-0.12		0.80		0.72		0.78
Worst Drawdown		-6.94		-4.52		-8.21		-10.82		-17.42
Worst 12-Month Return		-4.49		-2.47		-6.08		-8.19		-7.21
% Positive 12-Month Periods		86.81%		78.02%		76.92%		67.03%		94.51%
Upside Capture (vs. Russell 1000)		28.04		7.68		21.60		21.08		100.00
Downside Capture (vs. Russell 1000)		23.46		-11.65		36.80		36.40		100.00
Since inception (9/30/11)
Worst Drawdown based on weekly returns Past performance is no guarantee of future results

Portfolio Commentary

Performance of Managers

For the year, all five managers produced positive returns. FPA’s Contrarian Opportunity strategy gained 20.05%, the DoubleLine Opportunistic Income strategy gained 9.06%, DCI’s Long-Short Credit strategy gained 8.56%, the Water Island Arbitrage and Event-Driven strategy gained 5.61% and the Loomis Sayles Absolute Return strategy rose 3.46%. (All returns are net of the management fee each sub-advisor charges the fund.)

Manager Commentaries

DCI, Long-Short Credit Strategy

The DCI Long-Short Credit strategy returned 8.56% (net) in 2019. Account performance was positive across the board for the year, rising in each quarter on widespread security-selection (alpha) gains that were well-balanced across both the credit default swap (CDS) and bond sleeves. (As a reminder, the strategy incorporates both a CDS long-short sleeve and a corporate bond sleeve with interest rate and credit beta hedges.)

DCI’s proprietary model focuses on fundamental factors to identify quality and improving credits. Security selection gains in the portfolio were broad based. Gains were led by long positions from within consumer durables (housing—Beazer, KB homes—and autos—GM, Volkswagen, Ford), telecoms (Dish, Altice, Telecom Italia, AT&T), insurance (MBIA, Radian, MetLife), financing and rentals (Avis, OneMain, Hertz, Navient), technology (Motorola, Ericsson, AMD, Sirius XM), and real estate investment trusts (Medical Properties Trust, Starwood, Hilton) as well as short positions from materials (steel companies) and some of the troubled oil-patch firms. Other notable positive contributors to the portfolio returns were: long Avon, short Dean Foods, short Whiting Petroleum.

Security selection underperformed a bit in the retail and equipment sectors, and the portfolio’s underweight in banking was a performance drag (although one that was more than offset by the corresponding overweight in other financial sectors).

The portfolio construction, by design, is always focused on asset selection—favoring firms with lower default risk (as measured by DCI’s proprietary default probability model) and improving fundamentals—and is constructed to realize neutral to credit beta, which was underlined by the strategy performance over the divergent environments of the year.

The strategy continues to hedge the rates, foreign exchange, and credit beta exposures and invests only in liquid securities. This disciplined risk control remains a defining feature of the DCI approach and the DCI excess returns are designed to remain low to negative correlation with market drivers. Net beta effects were a modest positive contributor for the year, with the hedging performing as expected and the moves in the underlying credit and rates both positive.

Broad fixed income market returns were boosted for the year by large positive returns from both credit spreads (up almost 5%) and rates (up about 7%). Default-free government bond returns soared as an emergent global manufacturing slowdown (centered around China and Europe) spurred central banks worldwide to pivot from policy tightening to outright rate cuts and asset purchases. Credit returns followed suit as spreads narrowed on the back of the global monetary easing and confidence that the slowdown and trade-policy concerns would be only temporary setbacks.

32 Litman Gregory Funds Trust

The Long-Short Credit Strategy’s portfolio positioning has rotated of late, moving more neutral in the financials sectors, buying some more banks and selling some insurance and other financials, though the broad underweight in banking remains. The portfolio has also moved to about neutral in the technology (previously long) and energy sectors (previously short) and to somewhat offsetting views in telecom (long satellites and Europe versus short domestic telecom). The portfolio positioning currently favors attractive longs within the financial companies and consumer durables sectors versus underweighting utilities, banks, and consumer retailing.

DCI’s 2020 outlook anticipates continued market differentiation across company fundamentals and underlying credit quality. The year-end rally has clouded the forward picture a bit by increasing the pricing pressure on all risk assets. Nonetheless we have taken heart from the significant dispersion in credit performance that realized last year. Lower quality firms began to detach from the baseline, median performance. This effect was most prominent at the lower end of the junk credit spectrum (CCCs), but also was evident in investment grade (albeit to a smaller extent).

This bifurcation remains a key theme for us and we expect it to continue: the bulk of firms are likely to remain safe and their credit should continue to price constructively/tread water, while a growing/continued tail of firms will be challenged at the intersection of their cash earnings and debt coverage.

Macro trends should remain supportive. Geopolitical risks remain the largest source of uncertainty. DCI generally expects pressure for yields to edge up (on economic improvement/reversion) and for spreads to edge up (as credit tail risk gets priced) without generating negative returns. The environment for selection should be better than that for carry.

DoubleLine, Opportunistic Income Strategy

For the trailing 12-month period ended December 31, 2019, the DoubleLine Opportunistic Income portfolio outperformed the Bloomberg Barclays US Aggregate Bond Index. The primary driver of outperformance was security selection as the portfolio was able to outperform the Index despite consistently maintaining a shorter duration as rates fell. The largest contributor to returns was agency residential mortgage-backed securities (RMBS), which benefitted from the 10-year U.S. Treasury rate declining 77 basis points (bps) over the course of the year. This sector of the portfolio makes use of inverse floating rate and inverse interest only securities that are not held in the index, which is why it was able to outperform the Bloomberg Barclays US MBS cohort. Another standout performer for the portfolio was bank loans, which is a sector that requires especially active credit risk management. BB-rated and B-rated bank loans performed well in 2019, however, CCC-rated bank loans underperformed severely. The investment team was able to generally avoid many of the credit issues that occurred in the CCC-rated segment, which is why this portion of the portfolio performed well. The worst-performing sectors in the portfolio for the year were commercial MBS and infrastructure-related assets. While these sectors did not experience any meaningful negative returns, they struggled to keep pace with the index due to their shorter durations.

As for portfolio positioning over the course of 2019, allocation percentages and leverage ratios generally remained constant. When the global interest rate rally began to pick up steam over the summer, the portfolio duration shortened slightly as prepayments and refinancings increased. Rather than re-extending duration, the investment team took the necessary steps to thoughtfully maintain an attractive convexity profile for the portfolio and generally rotated into securitized credit assets rather than long duration assets. As of December 31, the portfolio has a levered yield-to-maturity of approximately 5.12% and an effective duration of 4.56.

Looking ahead to 2020, we are skeptical of the corporate bond market’s ability to generate another year of 14% returns and we think current market pricing is closer to the top than the bottom for corporate credit. For these reasons, the portfolio is likely to remain skewed towards residential, commercial, and consumer credit exposures in securitized form. It is our view that the forward-looking, risk-adjusted return profile of these assets is better suited to handle any macroeconomic volatility.

FPA, Contrarian Opportunity Strategy

Global stock markets ended 2019 on a high note, with the global MSCI ACWI Index returning 8.95% and 26.60% for the fourth quarter and full year, respectively, and the domestic S&P 500 Index returning 9.06% and 31.49% for the same periods. It was a “risk on” year with even U.S. investment grade bonds delivering 14.23% for the year, approximately in line with the high yield bond market’s 14.41% performance.¹ The FPA Contrarian Opportunity strategy increased 5.47% and 20.05% (net of fees) for 2019’s fourth quarter and full year.

Portfolio

The portfolio has unusual breadth, having the ability to invest in more diverse regions, sectors and asset classes than almost any other mutual fund. Yet we will only commit capital when we have determined that upside opportunity exceeds downside risk. If we believe prices are attractive, we buy. If not, we hold or sell. Importantly, we don’t (because we can’t) try and pick market tops or bottoms.

¹  US investment grade bonds is represented by the ICE BofA US Corporate Index (2019 return: 14.23%); High Yield bond market is represented by the ICE BofA US HY Index (2019 return: 14.41%).

Fund Summary 33

Santa left coal in our stockings at Christmas 2018 as global markets swooned. Like good little children, we did the right thing and took advantage of lower prices, increasing the Fund’s risk exposure by approximately six percentage points in the second half of 2018. Then Christmas came early last year as markets rebounded, ultimately reaching new highs. We similarly took advantage of rising prices in 2019 and reduced or sold positions that we could no longer justify holding at given valuations, and therefore ended the year with 6.5% less risk exposure. While the portfolio was less invested in 2019, we have no doubt that in the future we will deploy more of its capital.

We continue to focus on companies that have at least a small breeze at their backs and avoid those businesses with wind in their faces. Over time, we generally expect the companies we own to sell an increasing number of units as well as have at least enough pricing power to offset cost inflation.

Contributors to and detractors from the portfolio’s trailing 12-month returns are listed in the following table.

Contributors and Detractors²

Contributors	Performance Contribution	Percent of Portfolio		Detractors	Performance Contribution	Percent of Portfolio
TTM
Arconic	1.91%		3.8%	PG&E/Utilities (hedge)	-0.53%		-0.1%
Citigroup	1.15%		2.6%	Baidu	-0.45%		1.3%
Charter Comm.	1.14%		2.1%	Mylan	-0.40%		0.0%
AIG	1.06%		3.7%	O-I Glass	-0.38%		0.4%
Alphabet	1.01%		4.7%	CIT/Regional Banks (hedge)	-0.18%		-0.8%
	6.30%		17.0%		-1.95%		0.8%

Our investment in the cable industry via Charter Communications (up approximately 70%) along with Comcast (up approximately 34%) were two notable contributors in 2019.³ We made these investments in mid-2018, when many investors were concerned that subscribers would cut the cord in favor of streaming and when wireless 5G threatened to damage these companies’ dominant broadband franchise. Our belief remains that while video will continue to shrink, video is less profitable on a cash basis than many believe it to be. Thus, we think broadband should remain vibrant, as it is likely to take many years and many billions of dollars before the potential impact of the competitive threats is known. The market has sidled over to our thinking on this, at least for the time being.

Value investing means investing with a margin of safety so if all doesn’t go according to plan, whether ours or a company’s, then investors may nonetheless come out close to whole. This may mean having the protection of business and/or balance sheet, but without that protection, the emperor wakes up one day to realize he’s not wearing clothes.

Being a value investor in 2019 was like wearing a crew cut in Haight Ashbury in 1969—not only do you stand-out, you invite a bit of ridicule. We value investors must not acquiesce to the fear of missing out, however, and instead make our peace with a different kind of FOMO, the fate of missing out. To do well over long periods of time means accepting that we won’t do well for lengths of time in between. We realize that has made us appear both smart and dumb at different moments in time, but our goal is to deliver over the long run rather than at any one point in time.

When all appears easy, it generally isn’t. What we won’t do is redefine value. We believe we can help ourselves and our shareholders by staying the course and continuing to invest bottoms up.

Looking from the top down, though, helps explain why we find it more challenging to unearth suitable investments today. We end up struggling to find great risk/rewards against the following backdrop.

Low interest rates and a lack of investment alternatives have lifted the price of risk assets globally. Global stock markets trade at or near their highs as a percent of their respective economies, as shown in the chart below.

34 Litman Gregory Funds Trust

²  Reflects the top five contributors and detractors to the portfolio’s performance based on contribution to return for the trailing twelve months (“TTM”). Contribution is presented gross of investment management fees, transactions costs, and portfolio operating expenses, which if included, would reduce the returns presented. The information provided does not reflect all positions purchased, sold or recommended by FPA during the quarter. A copy of the methodology used and a list of every holding’s contribution to the overall portfolio’s performance during the TTM is available by contacting FPA Client Service at crm@fpa.com. It should not be assumed that recommendations made in the future will be profitable or will equal the performance of the securities listed.

³  Percentage change reflects total return including the reinvestment of dividends and interest. The total return of the security may not equate with the performance of the holding in the Fund.

Stock Market as Percent of GDP⁴

Looking at the stock market from a price-to-earnings basis, it becomes clear that when earnings are smoothed, valuations have only been this high once before. This is shown in below, using the Shiller P/E methodology that divides current price by ten-year average earnings, adjusted for inflation.

Fund Summary 35

⁴  Source: The World Bank, IMF, MSCI, as of December 31, 2019. Q4 2019 market cap data based on 2018 market cap data provided by The World Bank adjusted by 2019 Index (MSCI US for US and MSCI World for World) performance. 2019 GDP assumes 2019 IMF real GDP growth projections plus year over year inflation change provided by IMF. Data shown represents total value of all listed shares in the stock market as a percentage of GDP in each respective region/country, as defined by The World Bank. The World Bank releases this data annually. Stock market is the market capitalization of stocks. Market capitalization (also known as market value) is the share price times the number of shares outstanding (including their several classes) for listed domestic companies. Investment funds, unit trusts, and companies whose only business goal is to hold shares of other listed companies are excluded. Annual data, end of year values.

Shiller P/E⁵

However, current P/E ratios are not so outlandish in the context of low interest rates and a reasonably good economy. Should rates remain low and economies avoid weakening measurably, markets could reasonably remain at today’s elevated levels.

The long outperformance of growth stocks compared to value stocks has left value much less expensive, trading at a relative P/E that’s about as low as we have ever seen it in our careers. This does not make value stocks cheap, just less pricey than growth stocks.

In fact, value stocks have performed reasonably well over the last decade. The S&P 500 Value Index has compounded at a rate of 12.14%. Value investments just haven’t done as well as growth stocks, which have annualized at 14.76%.⁶ However, growth stocks have outperformed their fundamentals, which has led to P/E multiple expansion, while value stocks have not.

Judging what a company is worth and where its stock should trade requires a great deal of interpretation. Analyzing a bond’s performance is generally easier, as the most you can get as a return is the contracted amount, though an appreciation for the underlying company’s solvency will cause one to accept a higher or lower yield. ‘Credit investors’ current acceptance of historically low yields reflects their greater concern for return than for risk, whether it be in investment grade, high yield or levered loans.

The investment grade, or IG, bond market today has the lowest yield and lowest credit quality in its history. For instance, lowly BBB credits have more than quadrupled in value. Low yield and low credit quality don’t generally go hand in hand. In addition, at 7.9 years, the IG market has the longest duration in its history.⁷ Any increase in interest rates or spread will therefore have a larger impact than has been the case previously.

The levered loan market has trebled from $527 billion to $1.5 trillion over the last ten years and yields just 6.2%. Cracks are beginning to show. About 4% of the leveraged loan universe was trading below 80 cents on the dollar at the end of the year, versus just 2% in May 2019.⁸ We suspect that busted levered loans will be a future opportunity under the Fund’s broad mandate.

The high yield segment of the credit market has been important to the Fund since its inception. Today, however, we are not getting paid anywhere near enough to invest broadly in high yield. We said the same thing a year ago – and the high yield market soared.

36 Litman Gregory Funds Trust

⁵  Source: Robert Shiller, http://www.econ.yale.edu/~shiller/data.htm, as of December 31, 2019. CAPE = Cyclically adjusted price-to-earnings ratio, and is also commonly known as the Shiller P/E ratio or P/E 10 ratio.

⁶ Source: Bloomberg. Growth stocks represented by the S&P 500 Growth Index.

⁷  Source: Bloomberg. The IG bond market is represented by the Bloomberg Barclays US Corporate Bond Index. Index data as of December 31, 2019.

⁸  Source: The leverage loan market is represented by the S&P/LSTA Leveraged Loan Index.

But more than half of its 14% return came from tighter spreads and lower yields due to a decline in interest rates. We were under no illusion that just because we didn’t think the risk/reward then in high yield was attractive, the market would collapse, and we don’t mean to suggest it will collapse now. We do want to make sure that a prospective return justifies the risk assumed. As much as that wasn’t the case a year ago, we believe it is even less so now.

Economy and Macro

We offer limited value when speaking of the larger global macro environment, so here we provide only a skeletal view to help explain the challenge in finding good investments today.

As David Rosenberg of Gluskin Sheff pointed out, “In a normal cycle, the stock market has a correlation of roughly 60% with the economy. The other 40% is explained by factors like valuations, sentiment, technicals and momentum. This cycle was literally off the charts in that respect—because only 7% of this entire bull market was due to the economy. And that’s a good thing if you are long the stock market because this did go down as the weakest economic expansion on record and yet one of the most powerful bull markets ever.” Mr. Gluskin concluded, “The fundamentals do win out in the end, but it could take time.”⁹

We don’t think the stock market’s link to the economy has been severed, but it has at least been largely suspended. When and how deep a future recession might be and how the market might react remain open questions. Risk does seem skewed to the downside today.

The show goes on as long as the government puppet masters allow, or when the audience leaves. The U.S. deficit climbed just over $1 trillion in 2019, despite a growing economy and the tightest labor market on record. Central banks have successfully inflated asset prices but failed to ignite real economic activity. Most Americans are not better off today than they were a decade ago.

Extremely low interest rates continue to pervert capital allocation decisions. Whether or not to buy a piece of equipment, repurchase shares, or make an acquisition, a lower cost of capital can improve an otherwise impractical or marginal decision. This doesn’t seem likely to change anytime soon. The global monetization experiment took a pause but has since restarted, and a more expansive fiscal policy is under discussion.

Indebted governments, companies and individuals have recalibrated to this low level of rates. When or if rates eventually rise, many of these same parties may find their finances dangerously askew.

Conclusion

We will continue to seek to capitalize when equities (both domestic and foreign) and credit (mostly public but some private) are ripe. If not, we shall maintain our more conservative posture. There are those who take liquidity and those who provide it. We prefer to be the latter, a function of temperament and having cash on hand for investment.

We look for shareholder partners of a like mind, those who also prefer an equity-like rate of return over time while trying to avoid a permanent impairment of capital.

We try to field a balanced team, playing both offense and defense. Since we believe that the stock market will generally rise over time, we do tilt more towards offense but not indiscriminately. If we are given lemons, we will make lemonade, but we can’t even do that if there’s a drought.

It is generally psychologically easier to invest when a rising market validates an investor’s purchases. We take greater comfort when choppier markets challenge an investor’s conviction, even more so when a lower price follows each new purchase. For now anyway, it seems to be buy high and sell higher.

Loomis Sayles, Absolute Return Strategy

Portfolio Review

With a net return of 3.46%, the Loomis Sayles Absolute Return strategy outperformed its benchmark, the three-month LIBOR Index, which returned 2.61%. The Fund’s positive performance was diversified across several sectors, with the majority generated from securitized, investment grade corporate bonds, and bank loans. emerging markets and convertibles issues also buoyed performance to lesser extents. These gains more than offset losses from global rates, equities, and currency positioning.

Securitized assets across all major sectors contributed to returns during the year. Asset-backed securities (ABS), non-agency RMBS (residential mortgage-backed securities), and CMBS (commercial mortgage-backed securities) issues in particular bolstered

⁹  Gluskin Sheff. Breakfast with Dave. December 19, 2019.

Fund Summary 37

performance. Our ABS exposure had positive results from many of the sub-sectors including subprime auto loans, aircraft related, and credit card debt. Non-agency RMBS also added positive contribution as housing generally continued to do well. Sentiment remained optimistic as rates continue to remain attractive for borrowers.

Investment-grade corporates, including the ones we hold for reserves, aided performance over the period. A continuation of accommodative Fed policy and the search for yield, particularly among foreign investors, have been supportive of performance. Despite these tailwinds, U.S./China trade talks, the absence of prospective global growth catalysts, and Brexit risks remained in focus throughout the year. Consumer, financial, and technology issues had the largest positive impacts. We expect spreads to remain range bound and dominated by central bank actions. While the default outlook remains favorable, we remain focused on idiosyncratic stories within the asset class.

Our allocation to bank loans aided performance, despite headwinds faced by floating rate assets due to generally accommodative monetary policy over the period. Communications, capital goods, and consumer non-cyclical names contributed the most.

Our global rates tools, primarily sovereign bonds, interest rate swaps (IRS), and interest rate futures, reduced performance. Within the portfolio, the negative performance can largely be attributed to a short Euro-Bund futures position and exposure to Argentina. Fernandez beating Macri in Argentina’s general election was a largely unexpected outcome and markets have spent much of the subsequent period weighing the odds that Fernandez unwinds Macri’s pro-market policies. Equities also weighed on returns for the year, due largely to energy-related and building materials names.

Market Conditions

Subdued inflation has allowed central banks to maintain largely accommodative policies, which have supported risk assets. The Federal Reserve’s (the “Fed”)indication that it will pause has given way to the expectation for yields to be tightly range bound. Despite persistently soft data, some signs indicate that the easy monetary policy has helped, and the manufacturing slowdown may be bottoming out.

Risk assets have been supported by the macro risk landscape softening in several regards since the end of the previous year. Central banks have shown a willingness to continue economic stimulus through monetary policy. The likelihood of a no-deal Brexit appears to have diminished with negotiations spanning multiple Brexit deadlines. Trade negotiations between China and the U.S. seem to have taken on a less tenuous tone, suggesting a lower probability of escalation and higher probability of a “phase one” agreement being reached.

Outlook

We expect to exit the manufacturing slowdown without an economy-wide recession; however, downside risks remain in the near term. This view hinges on the idea that the Fed will remain supportive and continue accommodative monetary policy.

We project the Fed to remain on hold for the next twelve months. Chair Powell has indicated that a rate hike is unlikely in the near term, barring any significant, unexpected increase in inflation acceleration.

We maintain our cautious outlook on risk sentiment. The Fed looks more likely to continue to provide stimulus by maintaining accommodative monetary policy. China’s economic recovery is faltering and risk related to the U.S./China trade war remains present despite being tempered somewhat by an increased likelihood of a phase one agreement. Markets will remain focused on Chinese stimulus as a potential catalyst for global growth. So far, however, policy makers have been reluctant to utilize all options available to them; instead favoring an incremental approach that emphasizes leverage stabilization.

The U.S. dollar has been choppy and range bound. We expect a continuation of these themes, which should be supportive for risk assets in general. We saw some dollar weakening during October, but haven’t seen much of a breakout in either direction since. The perception of softening risks related to U.S./China trade talks has caused the dollar’s recent bid as a safe-haven to largely evaporate. Volatility shocks and weakening risk appetite are factors that could prove constructive for the dollar.

Water Island, Arbitrage and Event Driven Strategy

At the end of 2019, attitudes amongst investors were markedly different than mere months prior. The third quarter had concluded with a sense that a recession was likely imminent in the United States. Uncertainty fuels fear, and the combination of a seemingly endless U.S./China trade war plus an intractable Brexit process fostered a lack of clarity around the future direction of some of the world’s largest economies. Fast forward three months, and suddenly investors seem far more assured. Throughout the fourth quarter, President Trump repeatedly messaged positive developments in the trade war, most recently stating he would sign a Phase 1 deal with China on January 15. Additionally, in December’s UK general election, the Conservative Party claimed a decisive majority, significantly easing Prime Minister Johnson’s path to extract the UK from the EU in the near term. By year-end, anxiety had abated, investors had pushed U.S. equities to further record highs, and Goldman Sachs economists had nearly declared the U.S. economy recession-proof. That said, we would be remiss if we ignored a healthy level of support for the market’s gains from the Federal Reserve (Fed), which cut interest rates 75 basis points over the course of the year, prompted by a combination of political pressure,

38 Litman Gregory Funds Trust

weakening economies outside the U.S., and the severe sell-off of Q4 2018 which heightened near-term recession fears. While things may not be as rosy as they seem, as event-driven investors we continue to be focused more on the universe of corporate catalysts at our disposal than on the direction of broader credit and equity markets.

For the year, our event-driven portfolio generated positive performance across both hard catalyst merger arbitrage investments and soft catalyst special situations. The top contributor in the portfolio for the year was a competitive bidding situation for Anadarko Petroleum. In April 2019, Chevron—a U.S.-based integrated oil and gas company—publicly announced it had agreed to acquire Anadarko—a U.S.-based upstream energy company—for $32.5 billion in cash and stock. Prior to the announcement of the deal, Anadarko had also been conducting negotiations with another bidder—Occidental Petroleum—though the company deemed Chevron’s bid to be the superior offer. Two weeks after the deal with Chevron was announced, Occidental publicly announced an unsolicited revised offer that valued Anadarko at $38.0 billion in cash and stock, topping Chevron’s bid. Anadarko subsequently agreed to return to the negotiating table. Anadarko ultimately declared Occidental to have the superior offer, at which point Chevron abandoned its pursuit of the company. We initiated a position in Anadarko shortly after the deal with Chevron was announced as we saw potential for topping bids, and our investment paid off as the subsequent bidding war led to gains in the fund. The transaction with Occidental successfully closed in Q3 2019. Other top contributors for the year included our special situations investment in Xerox and our merger arbitrage investment in the acquisition of WellCare Health Plans by Centene. Xerox benefited in the first half of the year from better-than-expected earnings guidance after replacing its CEO, initiating strategic review, and embarking upon a turnaround process. The WellCare/Centene transaction saw its deal spread narrow after the merger received all necessary state-level regulatory approvals, leaving only Department of Justice (DOJ) signoff remaining.

Conversely, the top detractor for the period was Illumina’s proposed acquisition of Pacific Biosciences. In November 2018, Illumina—a U.S. developer of tools for analysis of genetic variation and function—agreed to acquire Pacific Biosciences—a U.S. DNA sequencing technology firm—for $1.1 billion in cash. This deal spread first widened in Q2 2019 when the UK’s Competition and Markets Authority (CMA) initiated a regulatory review, thus extending the timeline for completion to late 2019. The spread further widened during Q3 as the CMA forwarded the transaction to a Phase II review, pushing the timeline out to 2020. The CMA’s primary objection to the transaction was a belief that Illumina was pursuing the transaction solely to prevent potential competition from Pacific Biosciences in the future. The last straw was the Federal Trade Commission’s objection to the deal in December 2019, based on a similar potential competition argument. Rather than fight the regulators in court, the companies chose to terminate the transaction shortly into the New Year. Other detractors in 2019 included our special situations investment in Conduent and our merger arbitrage investment in Newmont Mining’s acquisition of Goldcorp. We exited our position in Conduent after it became clear any progress toward a strategic review would be a longer-term affair once the company surprised investors with poor Q1 earnings, reduced guidance for 2019, and the CEO’s resignation—all on the same call. The Goldcorp/Newmont transaction saw its deal terms revised down to satisfy complaints from Newmont shareholders about the distribution of proceeds from a preexisting joint venture between Newmont and Barrick Gold Corp.

For our hard catalyst merger arbitrage investments, we remain highly constructive on the strategy. Though the Fed cut rates—which typically acts as a tailwind to merger arbitrage returns—during 2019, current deal spread levels remain attractive overall. In addition, while we witnessed stagnation in the pace of newly announced deal flow amidst the widespread uncertainty of Q3, further clarity around trade tensions and Brexit caused consolidation activity to swiftly resume. By the end of the year, over $4 trillion in mergers and acquisitions (M&A) transactions had been announced—on par with 2018 figures. With much of Europe in “wait and see” mode for the bulk of 2019 due to Brexit uncertainty, the vast majority of activity stemmed from the US. Mega deals—that is, transactions valued at $10 billion or greater—were also a significant contributor to 2019 activity (accounting for 31% of total volume—the highest percentage on record—according to Dealogic data). We anticipate overall levels of deal flow to remain healthy throughout 2020, though we may see pockets of subdued activity in certain sectors (for example, in health care, where corporations may elect to hold off on M&A until they have further clarity on the Democratic primary and U.S. elections later in 2020). Private equity (PE) should continue to spur activity, with the amount of unspent cash at PE firms reaching an all-time high of $1.5 trillion by some measures, about half of which is earmarked for dealmaking in North America.

On the regulatory front, concerns around the security and privacy of user data have come to the forefront. Most notably, Google’s pending acquisition of Fitbit has experienced volatility on concerns that regulators may view Google as a less diligent steward of sensitive health data and attempt to block the transaction. In addition, regulators—including the DOJ in the U.S. and the CMA in the UK—have become more bold in fighting transactions on the grounds of “potential competition” (which may never materialize) in instances where they believe large, established players may be attempting to take out nascent competitors in order to maintain monopolies, such as Illumina’s aforementioned acquisition of Pacific Biosciences. While these developments add new twists to assessing the likelihood of a deal’s success, we believe we navigated them well in 2019 and are well prepared to monitor them going forward.

At year-end, the portfolio’s allocation was heavily weighted toward hard catalyst events, particularly equity- and credit-based merger arbitrage situations. In the current environment, we intend to be opportunistic around soft catalyst special situations. While we see ample opportunity here, with a pipeline of spin-offs already announced for 2020 and a healthy flow of news around speculated M&A situations, these types of investments will likely become more attractive from a risk/reward perspective if the market experiences a

Fund Summary 39

pullback or encounters increased volatility. In the meantime, we have found several attractive opportunities to overweight merger arbitrage positions in definitive, announced transactions where our team sees avenues to profit through tangential catalysts even in the event of a deal break. As always, we intend to do so with a keen eye toward risk mitigation, attempting to isolate the portfolio from external forces as much as possible as we seek to generate returns sourced from the outcomes of idiosyncratic corporate events rather than the direction of broader markets.

Strategy Allocations

The fund remains weighted according to our strategic target allocation: 25% to DoubleLine; 19% each to DCI, Loomis Sayles and Water Island; and 18% to FPA. We use the fund’s daily cash flows to bring the manager allocations toward their targets when differences in shorter-term relative performance cause divergences.

CURRENT TARGET STRATEGY ALLOCATIONS AS OF DECEMBER 31, 2019

Closing Thoughts

As usual, our managers were selectively opportunistic throughout the year. The fund also benefited from a broad-based recovery in many asset classes. All things considered, we are pleased with the absolute performance, but more so when considering the relatively low level of risk assumed to produce it.

Overall, most of our managers remain relatively defensively positioned within their strategies, given the late stage of the economic and valuation cycles. We believe this bodes very well for the fund when the inevitable period of extended market volatility finally hits. Not only should the fund hold up well on the downside, but our managers should be well positioned to then go on the offensive, taking advantage of lower prices, wider credit and merger deal spreads, and other compelling opportunities.

In the meantime, all five managers had positive returns in 2019, which we don’t expect to always be the case. But there was wide divergence in performance (as there should be for strategies that have differing return drivers). FPA achieved the highest performance, which is consistent with having the most equity market exposure in a very strong year for the market. DoubleLine posted the lowest return in the fourth quarter, but the second highest for the year, continuing its consistently strong performance. DCI was also a standout, rebounding impressively from a subpar 2018.

Despite the fund’s solid year, we note that it slightly trailed the core bond index’s (Bloomberg Barclays U.S. Aggregate Bond Index, the “Agg”) surprisingly strong return, as Treasury yields dropped sharply on the year thanks to the Federal Reserve’s policy U-turn. Since inception, however, the fund’s cumulative return is over 70% more than the Agg with similar volatility and a slightly negative correlation.

We also prefer the fund’s risk/return profile compared to the Agg’s effective duration of almost 6 years and yield of only about 2.3%. (In other words, the core bond index is highly exposed to interest rate and inflation risk.) But in any given year, good investment decisions and sound portfolio construction can be trumped by simply owning duration and credit beta. While there are no guarantees in life or markets, we don’t expect this to be the case very frequently from the current yield and spread starting points.

In closing, we would like to highlight to fellow shareholders that during the year, with the cooperation of our outstanding sub-advisors, we were able to reduce the fund’s fees significantly. The adjusted expense ratio (before variable investment related expenses) is now

40 Litman Gregory Funds Trust

1.28%. This is down from 1.47% prior to the fee reduction. (The net expense ratio, which includes investment expenses like shorting and interest expenses, was 1.36% at year-end, down from 1.54%.) We have always tried to provide a very strong and distinctive investment option at a very competitive fee, and we are happy to be able to improve the value proposition further through this fee reduction.

Sub-Advisor Portfolio Composition as of December 31, 2019

DCI Long-Short Credit Strategy

Bond Portfolio Top Five Sector Exposures

Consumer Discretionary	17.9%
Energy	14.1%
High Tech	10.9%
Consumer Non-Discretionary	9.9%
Media	8.0%

CDS Portfolio Statistics

	Long		Short
Number of Issuers		93		76
Average Credit Duration		4.7		4.7
Spread		88 bps		97 bps

DoubleLine Opportunistic Income Strategy

Sector Exposures

Cash	-3.9%
Agency Inverse Floaters	7.0%
Agency Inverse Interest-Only	5.5%
Agency CMO	8.5%
Agency PO	2.6%
Collateralized Loan Obligations	5.8%
Commercial MBS	9.7%
ABS	5.7%
Bank Loan	5.3%
Emerging Markets	5.1%
High Yield/Other	0.2
Non-Agency Residential MBS	48.5%
TOTAL	100.0%

FPA Contrarian Opportunity Strategy

Asset Class Exposures

U.S. Stocks	44.5%
Foreign Stocks	21.4%
Bonds and Loans	5.0%
Limited Partnerships	0.8%
Short Sales	-6.5%
Cash	34.9%
TOTAL	100.0%

Loomis Sayles Absolute Return Strategy

Strategy Exposures

	Long Total		Short Total		Net Exposure
Investment-Grade Corp.		34.9%		-0.6%		34.4%
Securitized		33.0%		-0.6%		32.5%
High-Yield Corporate		8.2%		0.0%		8.2%
Emerging Market		3.8%		0.0%		3.8%
Bank Loans		3.2%		0.0%		3.2%
Convertibles		2.3%		0.0%		2.3%
Dividend Equity		1.9%		-0.1%		1.8%
Currency		4.1%		-3.1%		0.9%
Global Credit		0.9%		0.0%		0.9%
Global Rates		2.3%		-3.0%		-0.7%
Risk Management		0.0%		-1.1%		-1.1%
Subtotal		94.6%		-8.4%		86.2%
Cash & Equivalents		10.1%		0.0%		10.1%

Water Island Arbitrage and Event-Driven Strategy

Sub-Strategy Exposures

	Long		Short		Net
Merger Arbitrage – Equity		74.2%		-10.5%		63.7%
Merger Arbitrage – Credit		6.9%		-0.3%		6.6%
Total Merger-Related		81.0%		-10.8%		70.3%
Special Situations – Equity		1.9%		-0.7%		1.2%
Special Situations – Credit		2.7%		-0.1%		2.6%
Total Special Situations		4.7%		-0.8%		3.8%
Total		85.7%		-11.6%		74.1%

Fund Summary 41

Litman Gregory Masters Alternative Strategies Fund Managers

INVESTMENT MANAGER	FIRM	TARGET MANAGER ALLOCATION	Strategy
Stephen Kealhofer Paul Harrison Adam Dwinells	DCI, LLC	19%	Long-Short Credit
Jeffrey Gundlach Jeffrey Sherman	DoubleLine Capital LP	25%	Opportunistic Income
Steven Romick Brian Selmo Mark Landecker	First Pacific Advisors, LLC	18%	Contrarian Opportunity
Matt Eagan Kevin Kearns Todd Vandam	Loomis Sayles & Company, LP	19%	Absolute-Return
John Orrico Todd Munn Roger Foltynowicz Gregg Loprete	Water Island Capital, LLP	19%	Arbitrage

Alternative Strategies Fund Value of Hypothetical $100,000

The value of a hypothetical $100,000 investment in the Litman Gregory Masters Alternative Strategies Fund from September 30, 2011 to December 31, 2019 compared with the 3-Month LIBOR, and Morningstar Multialternative Category.

The hypothetical $100,000 investment at fund inception includes changes due to share price and reinvestment of dividends and capital gains. The chart does not imply future performance. Indexes are unmanaged, do not incur fees, expenses or taxes, and cannot be invested in directly.

42 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019

Shares			Value
	COMMON STOCKS: 25.5%
	Communication Services: 4.6%
	6,534	Alphabet, Inc. - Class A*	$	8,751,574
	6,243	Alphabet, Inc. - Class C*(a)		8,347,016
	1,359	AT&T, Inc.		53,110
	37,729	Baidu, Inc. - ADR*		4,768,946
	16,065	Charter Communications, Inc. - Class A*		7,792,810
	63,157	Clear Channel Outdoor Holdings, Inc.*		180,629
	192,735	Comcast Corp. - Class A(a)		8,667,293
	26,056	Discovery, Inc. - Class C*(a)		794,448
	114,390	Escrow Altegrity, Inc.*(b)		2,309,534
	42,042	Facebook, Inc. - Class A*(a)		8,629,121
	26,858	iHeartMedia, Inc. - Class A*		453,900
	13,628	NAVER Corp.		2,197,779
	169,600	Nexon Co. Ltd.*		2,263,102
	662	Omnicom Group, Inc.		53,635
	859	Verizon Communications, Inc.		52,743
	1,157	ViacomCBS, Inc. - Class B		48,559
	895,502	Zayo Group Holdings, Inc.*(a)		31,029,144
				86,393,343
	Consumer Discretionary: 2.0%
	9,139	Alibaba Group Holding Ltd. - ADR*		1,938,382
	591	Best Buy Co., Inc.		51,890
	373	Expedia Group, Inc.		40,336
	531	Garmin Ltd.		51,804
	236	Home Depot, Inc. (The)		51,538
	146,380	JD.com, Inc. - ADR*		5,156,968
	228	McDonald’s Corp.		45,055
	11,384	Mohawk Industries, Inc.*		1,552,550
	39,924	Naspers Ltd. - Class N		6,543,195
	47,290	Porsche Automobil Holding SE - (Preference Shares)		3,537,924
	38,283	Prosus N.V.*		2,859,352
	68,191	Regis Corp.*		1,218,573
	597	Starbucks Corp.		52,488
	404	Target Corp.		51,797
	103,728	Tiffany & Co.(a)		13,863,247
	521	Yum! Brands, Inc.		52,480
				37,067,579
	Consumer Staples: 0.2%
	1,005	Altria Group, Inc.		50,159
	600	Philip Morris International, Inc.		51,054
	426,458	Pioneer Foods Group Ltd.		3,351,559
	442	Procter & Gamble Co. (The)		55,206
	569	Tyson Foods, Inc. - Class A		51,802
				3,559,780
	Energy: 0.3%
	167,176	Bellatrix Exploration Ltd.*(b)		0
	220	Dommo Energia S.A. - ADR*		2,139
	1,848	Enterprise Products Partners L.P.		52,040
	18,829	Halcon Resources Corp.*(b)		269,820
	272,954	Kinder Morgan, Inc.		5,778,436
	828	Magellan Midstream Partners L.P.		52,056
	1,578	McDermott International, Inc.*		0
	480	Phillips 66		53,477
	2,642	Plains GP Holdings L.P. - Class A*		50,066

Shares			Value
	Energy (continued)
	21,289	Whiting Petroleum Corp.*	$	156,261
				6,414,295
	Financials: 3.8%
	137,819	Ally Financial, Inc.(a)		4,211,749
	264,556	American International Group, Inc.(a)		13,579,660
	18,812	Aon Plc		3,918,351
	147	Apollo Global Management, Inc.		7,013
	189,317	Bank of America Corp.		6,667,745
	100,374	CIT Group, Inc.(a)		4,580,066
	116,462	Citigroup, Inc.(a)		9,304,149
	74,253	Groupe Bruxelles Lambert S.A.		7,832,514
	235,722	Jefferies Financial Group, Inc.(a)		5,037,379
	27,677	LPL Financial Holdings, Inc.		2,553,203
	1,020	MetLife, Inc.		51,989
	882	Popular, Inc.		51,818
	729	Progressive Corp. (The)		52,772
	439	Prudential Financial, Inc.		41,152
	1,226,744	Royal Bank of Scotland Group Plc		3,911,525
	10,566	Signature Bank		1,443,421
	1,761	Unum Group		51,351
	132,636	Wells Fargo & Co.(a)		7,135,817
				70,431,674
	Health Care: 5.5%
	582	AbbVie, Inc.		51,530
	142,134	Allergan Plc(a)		27,171,757
	582	AmerisourceBergen Corp.		49,482
	215	Amgen, Inc.		51,830
	130,394	Audentes Therapeutics, Inc.*		7,802,777
	823	Bristol-Myers Squibb Co.		52,828
	789	Gilead Sciences, Inc.		51,269
	141	Humana, Inc.		51,679
	368	Johnson & Johnson		53,680
	218,342	Medicines Co. (The)*		18,545,970
	608	Merck & Co., Inc.		55,298
	170,800	Olympus Corp.		2,654,776
	1,074,481	Pacific Biosciences of California, Inc.*(a)		5,522,832
	137,303	Paratek Pharmaceuticals, Inc.*(a)		553,331
	1,332	Pfizer, Inc.		52,188
	175	UnitedHealth Group, Inc.		51,447
	110,867	WellCare Health Plans, Inc.*		36,609,392
	107,982	Wright Medical Group N.V.*(a)		3,291,291
				102,673,357
	Industrials: 3.5%
	416,411	Advanced Disposal Services, Inc.*(a)		13,687,430
	448,042	Arconic, Inc.(a)		13,786,252
	354	Caterpillar, Inc.		52,279
	4,162,075	Cobham Plc		9,070,968
	287	Cummins, Inc.		51,362
	242	Delta Air Lines, Inc.		14,152
	547	Eaton Corp. Plc		51,812
	22,826	HD Supply Holdings, Inc.*(a)		918,062
	9,456	Herc Holdings, Inc.*(a)		462,777
	303	Honeywell International, Inc.		53,631
	290	Illinois Tool Works, Inc.		52,093
	54,870	Jardine Strategic Holdings Ltd.		1,681,765
	135	Lockheed Martin Corp.		52,566
	312,879	Meggitt Plc		2,726,766
	159	Rockwell Automation, Inc.		32,225
	28,613	Rush Enterprises, Inc. - Class A(a)		1,330,504

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 43

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Shares			Value
	COMMON STOCKS (CONTINUED)
	Industrials (continued)
	17,500	Sound Holding FP Luxemburg*(b)	$	634,304
	51,848	United Technologies Corp.(a)		7,764,756
	67,419	Univar, Inc.*		1,634,237
	79,794	WABCO Holdings, Inc.*(a)		10,812,087
				64,870,028
	Information Technology: 4.1%
	119,216	Altran Technologies S.A.		1,895,143
	82,603	Analog Devices, Inc.(a)		9,816,540
	111,265	Anixter International, Inc.*(a)		10,247,506
	60	Apple, Inc.		17,619
	863	Applied Materials, Inc.		52,677
	316	Automatic Data Processing, Inc.		53,878
	30,603	Broadcom, Inc.		9,671,160
	1,107	Cisco Systems, Inc.		53,092
	395	Fidelity National Information Services, Inc.		54,941
	1,432	Hewlett Packard Enterprise Co.		22,712
	50,621	HP, Inc.(a)		1,040,262
	900	Intel Corp.		53,865
	26	Intuit, Inc.		6,810
	299	KLA-Tencor Corp.		53,273
	64	Lam Research Corp.		18,714
	545	Leidos Holdings, Inc.		53,350
	52,277	LogMeIn, Inc.		4,482,230
	176	MasterCard, Inc. - Class A		52,552
	130,939	Mellanox Technologies Ltd.*		15,343,432
	46,760	Microsoft Corp.		7,374,052
	159,124	MINDBODY, Inc. - Class A*		5,808,026
	56,952	NortonLifeLock, Inc.		1,453,415
	925	Oracle Corp.		49,006
	613	Paychex, Inc.		52,142
	590	Qualcomm, Inc.		52,056
	240,839	Sophos Group Plc(c)		1,783,197
	78,786	TE Connectivity Ltd.(a)		7,550,850
	394	Texas Instruments, Inc.		50,546
	262	Universal Display Corp.		53,990
	90	Visa, Inc. - Class A		16,911
				77,233,947
	Materials: 1.2%
	41,538	Axalta Coating Systems Ltd.*(a)		1,262,755
	9,089	Cabot Corp.		431,909
	357,443	Cemex SAB de C.V. - ADR		1,351,135
	1,055	CF Industries Holdings, Inc.		50,366
	1,281,923	Glencore Plc		4,003,266
	69,860	HeidelbergCement AG		5,094,702
	58,729	Hexion Holdings Corp. - Class B*		707,684
	149,438	LafargeHolcim Ltd.		8,289,676
	86	LyondellBasell Industries N.V. - Class A		8,125
	129,990	O-I Glass, Inc.		1,550,781
				22,750,399
	Real Estate: 0.0%
	1,574	Iron Mountain, Inc.		50,163

Shares			Value
	Utilities: 0.3%
	503	Duke Energy Corp.	$	45,879
	562	Evergy, Inc.		36,580
	1,145	Exelon Corp.		52,200
	653	FirstEnergy Corp.		31,736
	151,932	Pattern Energy Group, Inc. - Class A(a)		4,064,941
	51,738	PG&E Corp.*		562,392
				4,793,728
	TOTAL COMMON STOCKS (Cost $412,400,090)			476,238,293
	RIGHTS/WARRANTS: 0.0%
	17,471	Avaya Holdings Corp. (Expiration date 12/15/22)*		34,942
	TOTAL RIGHTS/WARRANTS (Cost $0)			34,942
	PREFERRED STOCKS: 0.2%
	Consumer Staples: 0.1%
		Bunge Ltd.
	16,579	4.875%, 12/20/2165(d)		1,721,232
	Energy: 0.0%
		Chesapeake Energy Corp.
	506	5.750%, 08/15/2166(d)		103,730
		El Paso Energy Capital Trust I
	528	4.750%, 03/31/2028		27,171
				130,901
	Industrials: 0.1%
		Element Communication Aviation
	170	12.000%, 03/16/2040(b)		1,468,800
	TOTAL PREFERRED STOCKS (Cost $3,655,218)			3,320,933
Principal Amount^
	ASSET-BACKED SECURITIES: 9.5%
		ACC Trust
	$8,248	Series 2018-1-A 3.700%, 12/21/2020(c)		8,254
		Accelerated Assets LLC
	233,729	Series 2018-1-B 4.510%, 12/02/2033(c)		239,485
		Adams Outdoor Advertising L.P.
	919,665	Series 2018-1-A 4.810%, 11/15/2048(c)		955,568
		AIM Aviation Finance Ltd.
	689,636	Series 2015-1A-B1 5.072%, 02/15/2040(c)(e)		689,122
		Ajax Mortgage Loan Trust
	350,635	Series 2017-B-A 3.163%, 09/25/2056(c)(f)		351,658
		Ally Auto Receivables Trust
	639,082	Series 2017-4-A3 1.750%, 12/15/2021		638,648
	1,625,000	Series 2019-4-A3 1.840%, 06/17/2024		1,622,982

The accompanying notes are an integral part of these financial statements.

44 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	ASSET-BACKED SECURITIES (CONTINUED)
		American Express Credit Account Master Trust
	$ 525,000	Series 2019-1-A 2.870%, 10/15/2024	$	537,061
		American Homes 4 Rent
	875,000	Series 2014-SFR2-E 6.231%, 10/17/2036(c)		974,215
	600,000	Series 2014-SFR3-E 6.418%, 12/17/2036(c)		674,856
	845,000	Series 2015-SFR1-E 5.639%, 04/17/2052(c)		911,393
		AmeriCredit Automobile Receivables Trust
	795,000	Series 2018-2-D 4.010%, 07/18/2024		828,433
		Americredit Automobile Receivables Trust
	1,010,000	Series 2018-3-D 4.040%, 11/18/2024		1,055,576
		AmeriCredit Automobile Receivables Trust
	630,000	Series 2019-3-A3 2.060%, 04/18/2024		630,684
		AMSR Trust
	335,000	Series 2019-SFR1-B 3.023%, 01/19/2039(c)		331,233
		Apidos CLO XX
	265,000	Series 2015-20A-BRR 3.951%, 07/16/2031(c)(g) 3 mo. USD LIBOR + 1.950%		260,445
		Apidos CLO XXI
	500,000	Series 2015-21A-ER 10.253%, 07/18/2027(c)(g) 3 mo. USD LIBOR + 8.250%		441,519
		Apidos CLO XXII
	500,000	Series 2015-22A-D 7.966%, 10/20/2027(c)(g) 3 mo. USD LIBOR + 6.000%		500,493
		Apidos CLO XXIV
	1,000,000	Series 2016-24A-DR 7.766%, 10/20/2030(c)(g) 3 mo. USD LIBOR + 5.800%		956,955
		Ascentium Equipment Receivables Trust
	95,000	Series 2017-2A-C 2.870%, 08/10/2022(c)		95,887
		Atrium XII
	260,000	Series 12A-AR 2.783%, 04/22/2027(c)(g) 3 mo. USD LIBOR + 0.830%		259,636
		Atrium XIII
	500,000	Series 13A-E 7.984%, 11/21/2030(c)(g) 3 mo. USD LIBOR + 6.050%		490,345
		Atrium XIV LLC
	750,000	Series 14A-E 7.651%, 08/23/2030(c)(g) 3 mo. USD LIBOR + 5.650%		722,412

Principal Amount^			Value
		Avid Automobile Receivables Trust
	$ 180,000	Series 2019-1-C 3.140%, 07/15/2026(c)	$	179,511
		BA Credit Card Trust
	1,940,000	Series 2018-A1-A1 2.700%, 07/17/2023		1,959,357
		Barings CLO Ltd.
	1,000,000	Series 2018-3A-E 7.716%, 07/20/2029(c)(g) 3 mo. USD LIBOR + 5.750%		949,114
	500,000	Series 2018-4A-E 7.821%, 10/15/2030(c)(g) 3 mo. USD LIBOR + 5.820%		481,250
		Bayview Opportunity Master Fund IVa Trust
	178,647	Series 2019-RN2-A1 3.967%, 03/28/2034(c)(e)		179,054
		Bayview Opportunity Master Fund IVb Trust
	183,518	Series 2019-RN1-A1 4.090%, 02/28/2034(c)(e)		183,704
		Blackbird Capital Aircraft Lease Securitization Ltd.
	286,198	Series 2016-1A-A 4.213%, 12/16/2041(c)(e)		292,469
	265,755	Series 2016-1A-B 5.682%, 12/16/2041(c)(e)		276,179
		Buttermilk Park CLO Ltd.
	750,000	Series 2018-1A-E 7.751%, 10/15/2031(c)(g) 3 mo. USD LIBOR + 5.750%		716,387
		California Republic Auto Receivables Trust
	520,000	Series 2018-1-D 4.330%, 04/15/2025		538,386
		Canyon Capital CLO Ltd.
	1,000,000	Series 2016-1A-ER 7.751%, 07/15/2031(c)(g) 3 mo. USD LIBOR + 5.750%		914,523
	500,000	Series 2018-1A-E 7.751%, 07/15/2031(c)(g) 3 mo. USD LIBOR + 5.750%		460,617
		Capital One Multi-Asset Execution Trust
	745,000	Series 2019-A1-A1 2.840%, 12/15/2024		760,449
		Carlyle Global Market Strategies CLO Ltd.
	500,000	Series 2014-2RA-D 7.260%, 05/15/2031(c)(g) 3 mo. USD LIBOR + 5.350%		440,892
		CarMax Auto Owner Trust
	8,384	Series 2018-1-A2B 1.890%, 05/17/2021(g) 1 mo. USD LIBOR + 0.150%		8,384
	445,000	Series 2018-2-D 3.990%, 04/15/2025		458,444
	641,607	Series 2018-3-A2B 1.940%, 10/15/2021(g) 1 mo. USD LIBOR + 0.200%		641,740
	305,000	Series 2018-4-D 4.150%, 04/15/2025		316,441

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 45

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	ASSET-BACKED SECURITIES (CONTINUED)
		Castlelake Aircraft Securitization Trust
	$ 227,442	Series 2018-1-B 5.300%, 06/15/2043(c)	$	231,704
	3,705,609	Series 2018-1-C 6.625%, 06/15/2043(c)		3,730,661
		Castlelake Aircraft Structured Trust
	3,000,000	Series 2019-1A-E 0.000%, 04/15/2039(c)		2,962,500
		Catskill Park CLO Ltd.
	1,000,000	Series 2017-1A-D 7.966%, 04/20/2029(c)(g) 3 mo. USD LIBOR + 6.000%		982,592
		CCG Receivables Trust
	100,000	Series 2018-1-C 3.420%, 06/16/2025(c)		101,211
		Chenango Park CLO Ltd.
	500,000	Series 2018-1A-D 7.801%, 04/15/2030(c)(g) 3 mo. USD LIBOR + 5.800%		478,304
		Chesapeake Funding II LLC
	180,000	Series 2017-2A-D 3.710%, 05/15/2029(c)		182,431
	338,778	Series 2017-4A-A2 2.080%, 11/15/2029(c)(g) 1 mo. USD LIBOR + 0.340%		338,971
	250,000	Series 2018-1A-C 3.570%, 04/15/2030(c)		254,905
	640,000	Series 2018-1A-D 3.920%, 04/15/2030(c)		650,304
		CIG Auto Receivables Trust
	24,226	Series 2017-1A-A 2.710%, 05/15/2023(c)		24,254
		Citibank Credit Card Issuance Trust
	2,000,000	Series 2018-A1-A1 2.490%, 01/20/2023		2,014,004
		Citigroup Mortgage Loan Trust, Inc.
	1,033,531	Series 2019-E-A1 3.228%, 11/25/2070(c)(e)		1,035,540
		Coinstar Funding LLC
	1,072,500	Series 2017-1A-A2 5.216%, 04/25/2047(c)		1,101,419
		Colony American Finance Ltd.
	480,000	Series 2015-1-D 5.649%, 10/15/2047(c)		483,619
	230,000	Series 2016-1-C 4.638%, 06/15/2048(c)(e)		232,309
		Cook Park CLO Ltd.
	1,000,000	Series 2018-1A-E 7.402%, 04/17/2030(c)(g) 3 mo. USD LIBOR + 5.400%		947,922
		CPS Auto Receivables Trust
	220,000	Series 2017-D-D 3.730%, 09/15/2023(c)		223,149
	105,000	Series 2018-A-C 3.050%, 12/15/2023(c)		105,584
	490,000	Series 2018-D-C 3.830%, 09/15/2023(c)		499,133
	310,000	Series 2019-D-D 2.720%, 09/15/2025(c)		308,978

Principal Amount^			Value
		Credit Acceptance Auto Loan Trust
	$ 775,000	Series 2018-2A-C 4.160%, 09/15/2027(c)	$	801,280
		CSAB Mortgage-Backed Trust
	1,857,684	Series 2006-2-A6B 5.700%, 09/25/2036(e)		274,323
		CVP Cascade CLO-2 Ltd.
	618,841	Series 2014-2A-A1R 3.203%, 07/18/2026(c)(g) 3 mo. USD LIBOR + 1.200%		618,911
		DB Master Finance LLC
	330,340	Series 2019-1A-A23 4.352%, 05/20/2049(c)		342,911
		Diamond Resorts Owner Trust
	99,840	Series 2017-1A-C 6.070%, 10/22/2029(c)		102,317
	437,183	Series 2018-1-C 4.530%, 01/21/2031(c)		447,271
	362,437	Series 2019-1A-B 3.530%, 02/20/2032(c)		362,452
		Discover Card Execution Note Trust
	1,585,000	Series 2018-A3-A3 1.970%, 12/15/2023(g) 1 mo. USD LIBOR + 0.230%		1,588,388
		Domino’s Pizza Master Issuer LLC
	720,300	Series 2017-1A-A23 4.118%, 07/25/2047(c)		747,227
	59,250	Series 2018-1A-A2I 4.116%, 07/25/2048(c)		61,041
	325,875	Series 2018-1A-A2II 4.328%, 07/25/2048(c)		339,895
	500,000	Series 2019-1A-A2 3.668%, 10/25/2049(c)		500,710
		Dorchester Park CLO Ltd.
	500,000	Series 2015-1A-ER 6.966%, 04/20/2028(c)(g) 3 mo. USD LIBOR + 5.000%		490,893
		Drive Auto Receivables Trust
	975,000	Series 2018-1-D 3.810%, 05/15/2024		991,311
	85,000	Series 2018-3-D 4.300%, 09/16/2024		87,210
	630,000	Series 2018-5-D 4.300%, 04/15/2026		650,886
		Driven Brands Funding LLC
	231,475	Series 2018-1A-A2 4.739%, 04/20/2048(c)		240,477
		Dryden 40 Senior Loan Fund
	1,000,000	Series 2015-40A-ER 7.660%, 08/15/2031(c)(g) 3 mo. USD LIBOR + 5.750%		949,854
		Dryden 45 Senior Loan Fund
	275,000	Series 2016-45A-ER 7.851%, 10/15/2030(c)(g) 3 mo. USD LIBOR + 5.850%		263,801
		Dryden 55 CLO Ltd.
	500,000	Series 2018-55A-F 9.201%, 04/15/2031(c)(g) 3 mo. USD LIBOR + 7.200%		412,014

The accompanying notes are an integral part of these financial statements.

46 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	ASSET-BACKED SECURITIES (CONTINUED)
		DT Auto Owner Trust
	$ 416,611	Series 2016-1A-D 4.660%, 12/15/2022(c)	$	417,121
	410,000	Series 2018-2A-D 4.150%, 03/15/2024(c)		420,518
	585,000	Series 2018-3A-C 3.790%, 07/15/2024(c)		594,537
		Earnest Student Loan Program LLC
	13,000	Series 2016-D-R 0.000%, 01/25/2041(c)		320,600
		Elevation CLO Ltd.
	649,597	Series 2015-4A-AR 2.993%, 04/18/2027(c)(g) 3 mo. USD LIBOR + 0.990%		649,676
		Fairstone Financial Issuance Trust
	670,000 (CAD)	Series 2019-1A-A 3.948%, 03/21/2033(c)		519,303
		Fillmore Park CLO Ltd.
	500,000	Series 2018-1A-E 7.401%, 07/15/2030(c)(g) 3 mo. USD LIBOR + 5.400%		476,777
		First Investors Auto Owner Trust
	160,000	Series 2019-2A-D 2.800%, 12/15/2025(c)		159,931
	365,000	Series 2019-2A-E 3.880%, 01/15/2026(c)		364,001
		Five Guys Funding LLC
	674,900	Series 2017-1A-A2 4.600%, 07/25/2047(c)		701,024
		Flagship Credit Auto Trust
	300,000	Series 2016-3-E 6.250%, 10/15/2023(c)		313,004
	700,000	Series 2019-2-D 3.530%, 05/15/2025(c)		713,705
		Flatiron CLO Ltd.
	276,636	Series 2015-1A-AR 2.891%, 04/15/2027(c)(g) 3 mo. USD LIBOR + 0.890%		276,643
		Galaxy XXVI CLO Ltd.
	715,000	Series 2018-26A-E 7.749%, 11/22/2031(c)(g) 3 mo. USD LIBOR + 5.850%		677,025
		Genesis Sales Finance Master Trust
	145,000	Series 2019-AA-A 4.680%, 08/20/2023(c)		147,645
		Gilbert Park CLO Ltd.
	500,000	Series 2017-1A-E 8.401%, 10/15/2030(c)(g) 3 mo. USD LIBOR + 6.400%		495,095
		Global Container Assets 2014 Holdings Ltd.
	743,957	Series 2014-1-C 6.000%, 01/05/2030(b)(c)		619,642
	336,501	Series 2014-1-D 7.500%, 01/05/2030(b)(c)		199,377
	1,185,000	Series 2014-1-E 0.000%, 01/05/2030(b)(c)		0

Principal Amount^			Value
		Global Container Assets Ltd.
	$ 163,418	Series 2015-1A-B 4.500%, 02/05/2030(c)	$	161,536
		GM Financial Consumer Automobile Receivables Trust
	244,674	Series 2018-3-A2B 1.850%, 07/16/2021(g) 1 mo. USD LIBOR + 0.110%		244,633
		GSAA Home Equity Trust
	660,073	Series 2006-10-AF5 6.448%, 06/25/2036(e)		292,227
		Halcyon Loan Advisors Funding Ltd.
	399,824	Series 2014-2A-A1BR 3.116%, 04/28/2025(c)(g) 3 mo. USD LIBOR + 1.180%		399,873
		Harbour Aircraft Investments Ltd.
	1,340,295	Series 2017-1-C 8.000%, 11/15/2037		1,345,872
		Harley Marine Financing LLC
	946,973	Series 2018-1A-A2 5.682%, 05/15/2043(c)		846,198
		Hertz Vehicle Financing II L.P.
	365,000	Series 2017-2A-A 3.290%, 10/25/2023(c)		373,365
		Highbridge Loan Management Ltd.
	500,000	Series 2013-2A-DR 8.566%, 10/20/2029(c)(g) 3 mo. USD LIBOR + 6.600%		490,247
		Honda Auto Receivables Owner Trust
	227,865	Series 2017-3-A3 1.790%, 09/20/2021		227,769
	690,000	Series 2019-1-A3 2.830%, 03/20/2023		700,687
		Horizon Aircraft Finance I Ltd.
	2,613,401	Series 2018-1-C 6.657%, 12/15/2038(c)		2,620,648
		InSite Issuer LLC
	3,500,000	Series 2016-1A-C 6.414%, 11/15/2046(c)		3,640,221
		Invitation Homes Trust
	714,902	Series 2018-SFR1-E 3.737%, 03/17/2037(c)(g) 1 mo. USD LIBOR + 2.000%		716,660
	1,225,000	Series 2018-SFR2-E 3.740%, 06/17/2037(c)(g) 1 mo. USD LIBOR + 2.000%		1,229,995
		Jamestown CLO VII Ltd.
	734,477	Series 2015-7A-A1R 2.770%, 07/25/2027(c)(g) 3 mo. USD LIBOR + 0.830%		733,394
		JP Morgan Mortgage Acquisition Trust
	1,000,000	Series 2007-CH1-AF5 4.885%, 11/25/2036(e)		1,068,204
		Kestrel Aircraft Funding Ltd.
	553,327	Series 2018-1A-A 4.250%, 12/15/2038(c)		562,949
		LCM 26 Ltd.
	500,000	Series 26A-E 7.266%, 01/20/2031(c)(g) 3 mo. USD LIBOR + 5.300%		455,229

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 47

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	ASSET-BACKED SECURITIES (CONTINUED)
		LCM Loan Income Fund I Income Note Issuer Ltd.
	$ 500,000	Series 27A-E 7.601%, 07/16/2031(c)(g) 3 mo. USD LIBOR + 5.600%	$	466,970
		LCM XVII L.P.
	1,000,000	Series 17A-ER 8.001%, 10/15/2031(c)(g) 3 mo. USD LIBOR + 6.000%		916,012
		LCM XX L.P.
	500,000	Series 20A-ER 7.416%, 10/20/2027(c)(g) 3 mo. USD LIBOR + 5.450%		484,780
		Lehman XS Trust
	2,734,522	Series 2005-6-3A3A 5.760%, 11/25/2035(e)		1,889,866
	533,455	Series 2006-8-3A3 4.834%, 06/25/2036(e)		538,408
		Limerock CLO III LLC
	142,869	Series 2014-3A-A1R 3.166%, 10/20/2026(c)(g) 3 mo. USD LIBOR + 1.200%		142,944
		Madison Park Funding XII Ltd.
	250,000	Series 2014-12A-B1R 3.616%, 07/20/2026(c)(g) 3 mo. USD LIBOR + 1.650%		250,060
		Madison Park Funding XIV Ltd.
	1,000,000	Series 2014-14A-ER 7.753%, 10/22/2030(c)(g) 3 mo. USD LIBOR + 5.800%		940,239
		Madison Park Funding XXXI Ltd.
	270,000	Series 2018-31A-C 4.084%, 01/23/2031(c)(g) 3 mo. USD LIBOR + 2.150%		268,739
		MAPS Ltd.
	645,132	Series 2018-1A-A 4.212%, 05/15/2043(c)		657,292
	293,577	Series 2019-1A-A 4.458%, 03/15/2044(c)		302,933
		Marlette Funding Trust
	209,881	Series 2019-1A-A 3.440%, 04/16/2029(c)		211,445
	341,656	Series 2019-3A-A 2.690%, 09/17/2029(c)		342,993
		Master Asset-Backed Securities Trust
	11,297,531	Series 2006-NC3-A3 1.892%, 10/25/2036(g) 1 mo. USD LIBOR + 0.100%		7,361,697
		Milos CLO Ltd.
	310,000	Series 2017-1A-E 8.266%, 10/20/2030(c)(g) 3 mo. USD LIBOR + 6.300%		306,803
		Mosaic Solar Loans LLC
	1,823,431	Series 2017-2A-B 4.770%, 06/22/2043(c)		1,868,487
		Motor Plc
	229,625	Series 2017-1A-A1 2.322%, 09/25/2024(c)(g) 1 mo. USD LIBOR + 0.530%		229,698

Principal Amount^			Value
		Mountain View CLO X Ltd.
	$ 865,000	Series 2015-10A-AR 2.821%, 10/13/2027(c)(g) 3 mo. USD LIBOR + 0.820%	$	863,702
		MVW Owner Trust
	142,624	Series 2019-1A-C 3.330%, 11/20/2036(c)		144,282
		Myers Park CLO Ltd.
	1,000,000	Series 2018-1A-E 7.466%, 10/20/2030(c)(g) 3 mo. USD LIBOR + 5.500%		965,497
		Navient Private Education Refi Loan Trust
	260,000	Series 2018-A-B 3.680%, 02/18/2042(c)		264,997
	855,000	Series 2019-FA-B 3.120%, 08/15/2068(c)		832,610
	180,000	Series 2019-GA-B 3.080%, 10/15/2068(c)		176,723
		Navistar Financial Dealer Note Master Owner Trust
	310,000	Series 2018-1-A 2.422%, 09/25/2023(c)(g) 1 mo. USD LIBOR + 0.630%		310,564
		Neuberger Berman CLO XVI-S Ltd.
	500,000	Series 2017-16SA-E 7.401%, 01/15/2028(c)(g) 3 mo. USD LIBOR + 5.400%		497,531
		Neuberger Berman CLO XXIII Ltd.
	1,000,000	Series 2016-23A-ER 7.752%, 10/17/2027(c)(g) 3 mo. USD LIBOR + 5.750%		983,931
		Neuberger Berman Loan Advisers CLO 24 Ltd.
	1,000,000	Series 2017-24A-E 7.986%, 04/19/2030(c)(g) 3 mo. USD LIBOR + 6.020%		985,313
		Neuberger Berman Loan Advisers CLO 26 Ltd.
	1,000,000	Series 2017-26A-INC 0.000%, 10/18/2030(c)(f)		744,323
		NextGear Floorplan Master Owner Trust
	1,940,000	Series 2017-1A-A1 2.590%, 04/18/2022(c)(g) 1 mo. LIBOR + 0.850%		1,942,735
	1,210,000	Series 2017-2A-A1 2.420%, 10/17/2022(c)(g) 1 mo. USD LIBOR + 0.680%		1,212,917
	845,000	Series 2018-1A-A1 2.380%, 02/15/2023(c)(g) 1 mo. USD LIBOR + 0.640%		847,297
		Nissan Auto Receivables Owner Trust
	1,041,225	Series 2018-A-A3 2.650%, 05/16/2022		1,045,749
	343,901	Series 2018-B-A2B 1.840%, 07/15/2021(g) 1 mo. USD LIBOR + 0.100%		343,884
		NRZ Excess Spread-Collateralized Notes
	1,865,412	Series 2018-PLS2-D 4.593%, 02/25/2023(c)		1,880,106

The accompanying notes are an integral part of these financial statements.

48 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	ASSET-BACKED SECURITIES (CONTINUED)
		OCP CLO Ltd.
	$ 415,000	Series 2015-10A-A1R 2.756%, 10/26/2027(c)(g) 3 mo. USD LIBOR + 0.820%	$	414,764
		Octagon Investment Partners 26 Ltd.
	1,000,000	Series 2016-1A-FR 10.091%, 07/15/2030(c)(g) 3 mo. USD LIBOR + 8.090%		843,421
		Octagon Investment Partners 39 Ltd.
	275,000	Series 2018-3A-E 7.716%, 10/20/2030(c)(g) 3 mo. USD LIBOR + 5.750%		264,075
		Octagon Investment Partners XVI Ltd.
	1,000,000	Series 2013-1A-ER 7.752%, 07/17/2030(c)(g) 3 mo. USD LIBOR + 5.750%		934,323
	1,500,000	Series 2013-1A-SUB 0.000%, 07/17/2030(c)(f)		458,670
		Octagon Investment Partners XXI Ltd.
	500,000	Series 2014-1A-DRR 8.909%, 02/14/2031(c)(g) 3 mo. USD LIBOR + 7.000%		492,490
		OneMain Financial Issuance Trust
	675,000	Series 2015-3A-B 4.160%, 11/20/2028(c)		678,216
	1,000,000	Series 2016-1A-C 6.000%, 02/20/2029(c)		1,017,617
		Oxford Finance Funding LLC
	180,000	Series 2019-1A-A2 4.459%, 02/15/2027(c)		182,779
		Parallel Ltd.
	840,000	Series 2015-1A-AR 2.816%, 07/20/2027(c)(g) 3 mo. USD LIBOR + 0.850%		839,464
		Park Place Securities, Inc. Asset-Backed Pass-Through Certificates
	8,000,000	Series 2005-WHQ1-M5 2.917%, 03/25/2035(g) 1 mo. USD LIBOR + 1.125%		7,992,579
		Penarth Master Issuer Trust
	300,000	Series 2019-1A 2.285%, 07/18/2023(c)(g) 1 mo. USD LIBOR + 0.540%		300,010
		Planet Fitness Master Issuer LLC
	854,188	Series 2018-1A-A2I 4.262%, 09/05/2048(c)		870,611
	630,000	Series 2019-1A-A2 3.858%, 12/05/2049(c)		621,815
		PNMAC FMSR Issuer Trust
	7,300,000	Series 2018-FT1-A 4.142%, 04/25/2023(c)(g) 1 mo. USD LIBOR + 2.350%		7,318,634
		Prestige Auto Receivables Trust
	200,000	Series 2019-1A-E 3.900%, 05/15/2026(c)		201,602
		Preston Ridge Partners Mortgage LLC
	217,705	Series 2017-3A-A1 3.470%, 11/25/2022(c)(f)		218,391

Principal Amount^			Value
	$ 120,000	Series 2017-3A-A2 5.000%, 11/25/2022(c)(f)	$	119,712
	275,000	Series 2018-1A-A2 5.000%, 04/25/2023(c)(f)		276,116
	480,793	Series 2019-4A-A1 3.351%, 11/25/2024(c)(e)		482,130
		Progress Residential Trust
	210,000	Series 2017-SFR2-E 4.142%, 12/17/2034(c)		211,399
	125,000	Series 2018-SFR2-E 4.656%, 08/17/2035(c)		127,914
	530,000	Series 2019-SFR1-E 4.466%, 08/17/2035(c)		541,020
	235,000	Series 2019-SFR3-D 2.871%, 09/17/2036(c)		232,087
		Republic FInance Issuance Trust
	1,000,000	Series 2019-A-A 3.430%, 11/22/2027(c)		998,893
		S-Jets Ltd.
	1,181,234	Series 2017-1-A 3.967%, 08/15/2042(c)		1,183,603
		Santander Drive Auto Receivables Trust
	1,120,000	Series 2018-2-D 3.880%, 02/15/2024		1,147,383
	975,000	Series 2018-3-D 4.070%, 08/15/2024		1,001,009
	735,000	Series 2018-5-C 3.810%, 12/16/2024		746,127
	875,000	Series 2019-2-D 3.220%, 07/15/2025		893,038
		SCF Equipment Leasing LLC
	1,135,000	Series 2018-1A-C 4.210%, 04/20/2027(c)		1,140,637
		SLM Private Credit Student Loan Trust
	313,000	Series 2003-A-A3 5.040%, 06/15/2032(g) 28 day ARS		313,356
	812,000	Series 2003-B-A3 5.040%, 03/15/2033(g) 28 day ARS		812,516
	71,000	Series 2003-B-A4 4.590%, 03/15/2033(g) 28 day ARS		71,136
		SMB Private Education Loan Trust
	323,955	Series 2017-B-A2B 2.490%, 10/15/2035(c)(g) 1 mo. USD LIBOR + 0.750%		323,013
		SoFi Consumer Loan Program Trust
	620,000	Series 2018-2-A2 3.350%, 04/26/2027(c)		623,851
	435,000	Series 2018-2-B 3.790%, 04/26/2027(c)		443,339
	380,000	Series 2019-4-C 2.840%, 08/25/2028(c)		379,343
		SoFi Professional Loan Program LLC
	229,688	Series 2016-A-B 3.570%, 01/26/2038(c)		233,009
	133,000	Series 2017-F-R1 0.000%, 01/25/2041(c)		7,747,615
	63,855	Series 2019-B-R1 0.000%, 08/17/2048(c)		2,360,824

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 49

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	ASSET-BACKED SECURITIES (CONTINUED)
		Soundview Home Loan Trust
	$ 5,684,832	Series 2007-OPT3-2A3 1.972%, 08/25/2037(g) 1 mo. USD LIBOR + 0.180%	$	5,493,035
		SpringCastle Funding Asset-Backed Notes
	109,864	Series 2019-AA-A 3.200%, 05/27/2036(c)		110,355
		Sprite Ltd.
	306,898	Series 2017-1-B 5.750%, 12/15/2037(c)		318,159
		Staniford Street CLO Ltd.
	263,308	Series 2014-1A-AR 3.074%, 06/15/2025(c)(g) 3 mo. USD LIBOR + 1.180%		263,862
		Stanwich Mortgage Loan Trust
	6,226	Series 2012-2-A 0.000%, 03/15/2047(c)(f)		12
		Stewart Park CLO Ltd.
	500,000	Series 2015-1A-ER 7.281%, 01/15/2030(c)(g) 3 mo. USD LIBOR + 5.280%		459,051
		Terwin Mortgage Trust
	818,028	Series 2006-3-2A2 2.002%, 04/25/2037(c)(g) 1 mo. USD LIBOR + 0.210%		807,454
		THL Credit Wind River CLO Ltd.
	2,000,000	Series 2014-2A-INC 0.000%, 01/15/2031(c)		665,274
	500,000	Series 2018-2A-E 7.751%, 07/15/2030(c)(g) 3 mo. USD LIBOR + 5.750%		468,794
		Tidewater Auto Receivables Trust
	110,000	Series 2018-AA-D 4.300%, 11/15/2024(c)		112,084
		Towd Point Mortgage Trust
	295,419	Series 2017-6-A1 2.750%, 10/25/2057(c)(f)		297,397
		Trestles CLO II Ltd.
	335,000	Series 2018-2A-D 7.690%, 07/25/2031(c)(g) 3 mo. USD LIBOR + 5.750%		323,041
		Tricon American Homes Trust
	415,000	Series 2019-SFR1-A 2.750%, 03/17/2038(c)		416,519
		Tryon Park CLO Ltd.
	1,000,000	Series 2013-1A-DR 7.951%, 04/15/2029(c)(g) 3 mo. USD LIBOR + 5.950%		995,452
		United Auto Credit Securitization Trust
	640,000	Series 2019-1-C 3.160%, 08/12/2024(c)		644,980
		Venture XXI CLO Ltd.
	618,860	Series 2015-21A-AR 2.881%, 07/15/2027(c)(g) 3 mo. USD LIBOR + 0.880%		618,864

Principal Amount^			Value
		Vericrest Opportunity Loan Trust
	$ 473,191	Series 2019-NPL3-A1 3.967%, 03/25/2049(c)(e)	$	476,802
	1,448,968	Series 2019-NPL5-A1A 3.352%, 09/25/2049(c)(e)		1,451,948
		Verizon Owner Trust
	486,916	Series 2017-3A-A1B 1.994%, 04/20/2022(c)(g) 1 mo. USD LIBOR + 0.270%		487,736
		Volkswagen Auto Loan Enhanced Trust
	326,542	Series 2018-1-A2B 1.945%, 07/20/2021(g) 1 mo. USD LIBOR + 0.180%		326,564
		VOLT LXXII LLC
	1,878,998	Series 2018-NPL8-A1A 4.213%, 10/26/2048(c)(e)		1,881,803
		VOLT LXXV LLC
	683,225	Series 2019-NPL1-A1A 4.336%, 01/25/2049(c)(e)		689,006
		VOLT LXXXIII LLC
	427,040	Series 2019-NPL9-A1A 3.327%, 11/26/2049(c)(e)		427,363
		Voya CLO Ltd.
	500,000	Series 2018-2A-E 7.251%, 07/15/2031(c)(g) 3 mo. USD LIBOR + 5.250%		466,625
		WAVE Trust
	288,879	Series 2017-1A-B 5.682%, 11/15/2042(c)		297,828
		Webster Park CLO Ltd.
	1,000,000	Series 2015-1A-DR 7.466%, 07/20/2030(c)(g) 3 mo. USD LIBOR + 5.500%		950,529
		Wendy’s Funding LLC
	872,200	Series 2018-1A-A2II 3.884%, 03/15/2048(c)		888,013
	189,050	Series 2019-1A-A2II 4.080%, 06/15/2049(c)		194,672
		West CLO Ltd.
	709,217	Series 2014-1A-A1R 2.923%, 07/18/2026(c)(g) 3 mo. USD LIBOR + 0.920%		709,357
		Westlake Automobile Receivables Trust
	245,000	Series 2018-1A-D 3.410%, 05/15/2023(c)		247,814
	565,000	Series 2018-2A-D 4.000%, 01/16/2024(c)		578,117
		Wingstop Funding LLC
	238,200	Series 2018-1-A2 4.970%, 12/05/2048(c)		245,487
		World Financial Network Credit Card Master Trust
	1,765,000	Series 2019-C-M 2.710%, 07/15/2026		1,764,027
	TOTAL ASSET-BACKED SECURITIES (Cost $177,217,457)			176,629,840

The accompanying notes are an integral part of these financial statements.

50 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	BANK LOANS: 2.8%
		1011778 B.C. Unlimited Liability Co.
	$ 522,211	3.549%, 11/19/2026(g) 1 mo. LIBOR + 1.750%	$	523,449
		Acrisure LLC
	471,240	6.195%, 11/22/2023(g) 3 mo. LIBOR + 4.250%		473,302
		AES Corp.
	37,914	3.659%, 05/31/2022(g) 3 mo. LIBOR + 1.750%		37,997
		Air Methods Corp.
	1,188,903	5.445%, 04/22/2024(g) 3 mo. LIBOR + 3.500%		1,044,998
		Almonde, Inc.
	467,782	5.696%, 06/13/2024(g) 6 mo. LIBOR + 3.500%		465,508
		American Builders & Contractors Supply Co., Inc.
	498,750	3.799%, 01/15/2027(g) 1 mo. LIBOR + 2.000%		502,024
		American Tire Distributors Holdings, Inc.
	1,154,196	9.316%, 09/02/2024(g) 1 mo. LIBOR + 7.500%		1,035,891
		Aramark Services, Inc.
	170,000	0.000%, 01/27/2027(h)		171,116
		Assured Partners, Inc.
	472,328	5.299%, 10/22/2024(g) 1 mo. LIBOR + 3.500%		474,512
		Athenahealth, Inc.
	163,763	6.401%, 02/11/2026(g) 3 mo. LIBOR + 4.500%		164,854
		Avaya, Inc.
	535,000	5.990%, 12/15/2024(g) 1 mo. LIBOR + 4.250%		526,574
		Axalta Coating Systems US Holdings, Inc.
	624,076	3.695%, 06/01/2024(g) 3 mo. LIBOR + 1.750%		626,329
		BellRing Brands LLC
	285,000	6.799%, 10/21/2024(g) 1 mo. LIBOR + 5.000%		288,742
		BI-LO Holding LLC
	718,177	9.879%, 05/31/2024(g) 3 mo. LIBOR + 8.000%		665,811
		BJ Services LLC
	3,176,250	9.100%, 01/03/2023(b)(g) 3 mo. LIBOR + 7.000%		3,151,964
		California Resources Corp.
	4,092,000	6.555%, 12/31/2022(g) 1 mo. LIBOR + 4.750%		3,689,613
		Capri Finance LLC
	465,315	4.927%, 11/01/2024(g) 3 mo. LIBOR + 3.000%		461,767
		Cengage Learning, Inc.
	1,044,588	6.049%, 06/07/2023(g) 1 mo. LIBOR + 4.250%		1,001,592
		CHG Healthcare Services, Inc.
	478,174	4.799%, 06/07/2023(g) 1 mo. LIBOR + 3.000%		482,059

Principal Amount^			Value
		Colorado Buyer, Inc.
	$ 475,906	4.740%, 05/01/2024(g) 1 mo. LIBOR + 3.000%	$	422,963
		Connect Finco S.A.R.L.
	240,000	0.000%, 12/11/2026(h)		241,781
		CSC Holdings LLC
	232,873	4.240%, 04/15/2027(g) 1 mo. LIBOR + 2.500%		234,279
		Cvent, Inc.
	454,663	5.549%, 11/29/2024(g) 1 mo. LIBOR + 3.750%		455,004
		Dell International LLC
	450,000	3.800%, 09/19/2025(g) 1 mo. LIBOR + 2.000%		453,715
		Dhanani Group Inc.
	508,709	5.549%, 07/20/2025(g) 1 mo. LIBOR + 3.750%		495,991
		Equinox Holdings, Inc.
	481,707	4.799%, 03/08/2024(g) 1 mo. LIBOR + 3.000%		484,374
		Filtration Group Corp.
	456,192	4.799%, 03/29/2025(g) 1 mo. LIBOR + 3.000%		458,664
		Financial & Risk US Holdings, Inc.
	391,249	5.049%, 10/01/2025(g) 1 mo. LIBOR + 3.250%		395,063
		Flex Acquisition Co., Inc.
	670,000	0.000%, 06/29/2025(h)		666,650
		Flexential Intermediate Corp.
	443,865	5.445%, 08/01/2024(g) 3 mo. LIBOR + 3.500%		371,340
		Gavilan Resources LLC
	1,025,000	7.799%, 03/01/2024(g) 1 mo. LIBOR + 6.000%		410,000
		Global Medical Response, Inc.
	249,364	0.000%, 03/14/2025(h)		242,506
		Granite Holdings US Acquisition Co.
	458,850	7.211%, 09/30/2026(g) 3 mo. LIBOR + 5.250%		461,144
		Gray Television, Inc.
	556,000	3.947%, 02/07/2024(g) 1 mo. LIBOR + 2.250%		558,466
	309,116	4.197%, 01/02/2026(g) 1 mo. LIBOR + 2.500%		311,507
		Gulf Finance LLC
	1,308,406	7.044%, 08/25/2023(g) 1 mo. LIBOR + 5.250%		1,030,488
		Hayward Industries, Inc.
	455,344	5.299%, 08/05/2024(g) 1 mo. LIBOR + 3.500%		453,068
		Hyland Software, Inc.
	463,348	5.299%, 07/01/2024(g) 1 mo. LIBOR + 3.500%		466,643
		iHeartCommunications, Inc.
	428,932	5.691%, 05/01/2026(g) 1 mo. LIBOR + 4.000%		433,132
		Informatica LLC
	474,293	5.049%, 08/05/2022(g) 1 mo. LIBOR + 3.250%		476,919
		ION Trading Technologies S.A.R.L.
	364,071	0.000%, 11/21/2024(h)		349,508

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 51

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	BANK LOANS (CONTINUED)
		IQVIA, Inc.
	$ 930,825	3.695%, 06/11/2025(g) 3 mo. LIBOR + 1.750%	$	936,936
		IRB Holding Corp.
	470,105	5.216%, 02/05/2025(g) 3 mo. LIBOR + 3.250%		473,729
		Iron Mountain, Inc.
	1,125,827	3.549%, 01/02/2026(g) 1 mo. LIBOR + 1.750%		1,124,768
		Jeld-Wen, Inc.
	928,143	3.945%, 12/14/2024(g) 3 mo. LIBOR + 2.000%		931,141
		KIK Custom Products, Inc.
	380,000	5.792%, 05/15/2023(g) 3 mo. LIBOR + 4.000%		374,110
		Klockner-Pentaplast of America, Inc.
	304,222	6.177%, 06/30/2022(g) 1 mo. LIBOR + 4.250%		275,093
		Lower Cadence Holdings LLC
	288,550	5.799%, 05/22/2026(g) 1 mo. LIBOR + 4.000%		286,207
		McDermott International, Inc.
	4,165,000	0.000%, 05/10/2023(h)		2,374,050
	650,000	0.000%, 05/10/2023(h)		470,168
		McDermott Technology Americas, Inc.
	1,646,455	7.559%, 10/21/2021(g) 3 mo. LIBOR + 0.500%		1,685,559
	98,381	7.559%, 10/21/2021(g) 3 mo. LIBOR + 0.500%		100,718
	4,097,326	6.945%, 05/09/2025(g) 3 mo. LIBOR + 5.000%		2,396,936
	417,747	6.945%, 05/09/2025(g) 3 mo. LIBOR + 5.000%		248,142
		Mediaco Holding, Inc.
	2,240,124	8.400%, 11/21/2024(g) 1 mo. LIBOR + 7.500%		2,218,177
		Minotaur Acquisition, Inc.
	1,089,511	6.799%, 03/27/2026(g) 1 mo. LIBOR + 5.000%		1,075,892
		MLN U.S. Holding Co. LLC
	470,773	6.191%, 11/30/2025(g) 1 mo. LIBOR + 4.500%		446,841
		MPH Acquisition Holdings LLC
	1,094,041	4.695%, 06/07/2023(g) 3 mo. LIBOR + 2.750%		1,081,339
		Murray Energy Corp.
	1,005,435	11.500%, 02/12/2021(b)(g) 3 mo. LIBOR + 9.000%		1,005,435
		NCI Building Systems, Inc.
	296,241	5.486%, 04/12/2025(g) 1 mo. LIBOR + 3.750%		296,516
		Parexel InternationalCorp.
	99,717	4.549%, 09/27/2024(g) 1 mo. LIBOR + 2.750%		98,097
		Project Alpha Intermediate Holding, Inc.
	363,691	5.490%, 04/26/2024(g) 3 mo. LIBOR + 3.500%		365,057

Principal Amount^			Value
		Radiology Partners Holdings LLC
	$ 527,237	6.661%, 07/09/2025(g) 6 mo. LIBOR + 4.750%	$	530,753
		Science Applications International Corp.
	82,524	3.549%, 10/31/2025(g) 1 mo. LIBOR + 1.750%		82,898
		Securus Technologies Holdings, Inc.
	45,138	6.299%, 11/01/2024(g) 1 mo. LIBOR + 4.500%		33,823
		Solenis Holdings LLC
	543,620	5.909%, 06/26/2025(g) 3 mo. LIBOR + 4.000%		539,271
		Sophia L.P.
	431,731	5.195%, 09/30/2022(g) 3 mo. LIBOR + 3.250%		433,274
		Sprint Communications, Inc.
	471,365	4.313%, 02/02/2024(g) 1 mo. LIBOR + 2.500%		468,065
		Team Health Holdings, Inc.
	842,833	0.000%, 02/06/2024(h)		686,382
		Transform SR Holdings LLC
	2,235,000	9.184%, 02/12/2024(g) 3 mo. LIBOR + 7.250%		2,240,588
		Travelport Finance (Luxembourg) S.A.R.L.
	533,663	6.945%, 05/29/2026(g) 3 mo. LIBOR + 5.000%		500,576
		Uber Technologies
	645,728	5.299%, 07/13/2023(g) 1 mo. LIBOR + 3.500%		646,303
		United Natural Foods, Inc.
	449,560	6.049%, 10/22/2025(g) 1 mo. LIBOR + 4.250%		386,341
		Verscend Holding Corp.
	271,563	6.299%, 08/27/2025(g) 1 mo. LIBOR + 4.500%		274,051
		Vertafore, Inc.
	404,224	5.049%, 07/02/2025(g) 1 mo. LIBOR + 3.250%		400,434
		Western Digital Corp.
	758,226	3.452%, 04/29/2023(g) 3 mo. LIBOR + 1.750%		763,598
		Zelis HealthcareCorp.
	160,000	6.549%, 09/30/2026(g) 1 mo. LIBOR + 4.750%		161,084
		Ziggo B.V.
	490,000 (EUR)	3.000%, 01/31/2029(g) 3 mo. EURIBOR + 3.000%		550,945
	TOTAL BANK LOANS (Cost $53,788,418)			52,624,604
	CONVERTIBLE BONDS: 0.3%
	Communications: 0.2%
		CalAmp Corp.
	1,090,000	2.000%, 08/01/2025		910,215
		DISH Network Corp.
	1,615,000	2.375%, 03/15/2024		1,480,713
	1,360,000	3.375%, 08/15/2026		1,311,584
				3,702,512

The accompanying notes are an integral part of these financial statements.

52 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	CONVERTIBLE BONDS (CONTINUED)
	Consumer, Non-cyclical: 0.1%
		BioMarin Pharmaceutical, Inc.
	$ 1,755,000	0.599%, 08/01/2024	$	1,858,543
	Energy: 0.0%
		Chesapeake Energy Corp.
	440,000	5.500%, 09/15/2026		214,009
	Industrial: 0.0%
		Greenbrier Cos., Inc. (The)
	180,000	2.875%, 02/01/2024		175,108
	TOTAL CONVERTIBLE BONDS (Cost $6,253,664)			5,950,172
	CORPORATE BONDS: 28.4%
	Basic Materials: 1.3%
		AK Steel Corp.
	5,095,000	7.500%, 07/15/2023		5,313,652
		Braskem Idesa SAPI
	300,000	7.450%, 11/15/2029(c)		320,178
		CSN Islands XII Corp.
	600,000	7.000%, 03/23/2020(d)		553,317
		First Quantum Minerals Ltd.
	600,000	7.500%, 04/01/2025(c)		614,751
	600,000	6.875%, 03/01/2026(c)		608,610
		FMG Resources August 2006 Pty Ltd.
	6,460,000	5.125%, 03/15/2023(c)		6,839,460
		Freeport-McMoRan, Inc.
	600,000	5.450%, 03/15/2043		622,560
		IAMGOLD Corp.
	733,000	7.000%, 04/15/2025(c)		765,820
		Methanex Corp.
	945,000	5.250%, 12/15/2029		978,390
		Metinvest B.V.
	200,000	7.750%, 10/17/2029		205,201
		Minera Mexico S.A. de C.V.
	925,000	4.500%, 01/26/2050(c)		941,992
		Mineral Resources Ltd.
	1,200,000	8.125%, 05/01/2027(c)		1,319,787
		POSCO
	1,730,000	2.375%, 11/12/2022(c)		1,729,787
		Schweitzer-Mauduit International, Inc.
	2,580,000	6.875%, 10/01/2026(c)		2,787,297
		Vedanta Resources Finance II Plc
	250,000	9.250%, 04/23/2026(c)		248,709
	200,000	9.250%, 04/23/2026		198,967
				24,048,478
	Communications: 4.1%
		Altice Luxembourg S.A.
	6,100,000	10.500%, 05/15/2027(c)		6,965,590
		AT&T, Inc.
	275,000	3.200%, 03/01/2022		281,615
	1,375,000	3.800%, 03/15/2022		1,427,698
		Bharti Airtel Ltd.
	465,000	4.375%, 06/10/2025		474,700
		C&W Senior Financing DAC
	550,000	6.875%, 09/15/2027		589,409

Principal Amount^			Value
	Communications (continued)
		Cable Onda S.A.
	$ 360,000	4.500%, 01/30/2030(c)	$	379,746
		Cincinnati Bell, Inc.
	850,000	8.000%, 10/15/2025(c)		903,478
		CommScope Technologies LLC
	100,000	6.000%, 06/15/2025(c)		100,363
	1,795,000	5.000%, 03/15/2027(c)		1,691,832
		DISH DBS Corp.
	1,610,000	7.750%, 07/01/2026		1,708,596
		iHeartCommunications, Inc.
	735,000	4.750%, 01/15/2028(c)		754,735
		Intelsat Jackson Holdings S.A.
	965,000	8.500%, 10/15/2024(c)		880,963
		Kenbourne Invest S.A.
	825,000	6.875%, 11/26/2024(c)		860,355
		Match Group, Inc.
	2,900,000	5.000%, 12/15/2027(c)		3,031,508
	2,485,000	5.625%, 02/15/2029(c)		2,653,601
		MDC Partners, Inc.
	1,732,000	6.500%, 05/01/2024(c)		1,571,790
		Millicom International Cellular S.A.
	205,000	5.125%, 01/15/2028(c)		215,528
	550,000	6.250%, 03/25/2029		607,827
		NBCUniversal Enterprise, Inc.
	520,000	5.250%, 03/19/2021(c)(d)		537,082
		Netflix, Inc.
	750,000	4.875%, 06/15/2030(c)		763,106
		Network i2i Ltd.
	550,000	5.650%, 01/15/2025(c)(d)(f) 5 year CMT + 4.277%		544,225
		Outfront Media Capital LLC/Outfront Media Capital Corp.
	280,000	4.625%, 03/15/2030(c)		285,418
		Quebecor Media, Inc.
	6,140,000	5.750%, 01/15/2023		6,682,377
		Sirius XM Radio, Inc.
	3,918,000	5.000%, 08/01/2027(c)		4,140,738
	2,340,000	5.500%, 07/01/2029(c)		2,534,431
		Telecom Argentina S.A.
	300,000	8.000%, 07/18/2026(c)		288,941
		Telecom Italia SpA
	4,700,000	5.303%, 05/30/2024(c)		5,064,203
		Uber Technologies, Inc.
	1,615,000	8.000%, 11/01/2026(c)		1,687,388
	1,080,000	7.500%, 09/15/2027(c)		1,110,742
		VeriSign, Inc.
	6,440,000	4.750%, 07/15/2027		6,806,114
		ViaSat, Inc.
	4,895,000	5.625%, 09/15/2025(c)		5,052,056
		VTR Finance B.V.
	550,000	6.875%, 01/15/2024		563,522
		Walt Disney Co. (The)
	3,430,000	2.297%, 09/01/2022(g) 3 mo. USD LIBOR + 0.390%		3,452,361
		Windstream Services LLC/Windstream Finance Corp.
	3,595,000	8.625%, 10/31/2025(c)(i)		3,458,696
		Zayo Group LLC/Zayo Capital, Inc.
	4,544,000	6.000%, 04/01/2023(a)		4,655,714
	2,632,000	5.750%, 01/15/2027(a)(c)		2,682,265

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 53

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	CORPORATE BONDS (CONTINUED)
	Communications (continued)
		Ziggo B.V.
	$ 440,000	4.875%, 01/15/2030(c)	$	455,238
				75,863,951
	Consumer, Cyclical: 5.4%
		1011778 BC ULC/New Red Finance, Inc.
	1,285,000	4.375%, 01/15/2028(c)		1,290,590
		Allison Transmission, Inc.
	3,317,000	4.750%, 10/01/2027(c)		3,450,833
		American Honda Finance Corp.
	685,000	1.950%, 05/20/2022		687,724
		Aramark Services, Inc.
	1,470,000	5.000%, 02/01/2028(c)		1,551,732
		Beazer Homes USA, Inc.
	2,600,000	5.875%, 10/15/2027		2,632,565
	2,105,000	7.250%, 10/15/2029(c)		2,252,403
		BMW US Capital LLC
	1,870,000	2.411%, 04/12/2021(c)(g) 3 mo. USD LIBOR + 0.410%		1,873,462
		Boyd Gaming Corp.
	990,000	4.750%, 12/01/2027(c)		1,030,194
		Carvana Co.
	3,800,000	8.875%, 10/01/2023(c)		4,016,106
		Century Communities, Inc.
	1,200,000	6.750%, 06/01/2027(c)		1,289,427
		Churchill Downs, Inc.
	948,000	5.500%, 04/01/2027(c)		1,006,634
	5,670,000	4.750%, 01/15/2028(c)		5,864,764
		Daimler Finance North America LLC
	965,000	3.100%, 05/04/2020(c)		968,243
	2,425,000	2.810%, 02/15/2022(c)(g) 3 mo. USD LIBOR + 0.900%		2,444,459
		General Motors Financial Co., Inc.
	695,000	3.700%, 11/24/2020		703,370
	1,110,000	2.862%, 04/09/2021(g) 3 mo. USD LIBOR + 0.850%		1,112,451
		Hasbro, Inc.
	1,735,000	3.900%, 11/19/2029		1,751,072
		Hilton Domestic Operating Co., Inc.
	5,473,000	4.875%, 01/15/2030		5,810,835
		Home Depot, Inc. (The)
	1,535,000	2.217%, 03/01/2022(g) 3 mo. USD LIBOR + 0.310%		1,538,920
		Hyundai Capital America
	1,730,000	3.950%, 02/01/2022(c)		1,779,555
		Installed Building Products, Inc.
	1,100,000	5.750%, 02/01/2028(c)		1,178,757
		Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp.
	650,000	6.750%, 11/15/2021(c)		664,462
		KB Home
	3,313,000	6.875%, 06/15/2027		3,844,231
	639,000	4.800%, 11/15/2029		654,975
		KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC
	3,331,000	4.750%, 06/01/2027(c)		3,513,614

Principal Amount^			Value
	Consumer, Cyclical (continued)
		Latam Airlines 2015-1 Pass Through Trust
	$ 1,566,348	4.500%, 11/15/2023	$	1,576,124
		Latam Finance Ltd.
	550,000	7.000%, 03/01/2026		596,390
		LGI Homes, Inc.
	2,185,000	6.875%, 07/15/2026(c)		2,295,009
		Marriott International, Inc.
	850,000	2.125%, 10/03/2022		852,201
		Murphy Oil USA, Inc.
	2,780,000	4.750%, 09/15/2029		2,941,018
		Nissan Motor Acceptance Corp.
	960,000	3.650%, 09/21/2021(c)		980,263
		PulteGroup, Inc.
	3,050,000	5.000%, 01/15/2027		3,328,534
		Rite Aid Corp.
	250,000	6.125%, 04/01/2023(c)		230,625
		Scientific Games International, Inc.
	2,090,000	8.250%, 03/15/2026(c)		2,308,142
	319,000	7.000%, 05/15/2028(c)		342,718
	319,000	7.250%, 11/15/2029(c)		346,705
		Scotts Miracle-Gro Co. (The)
	490,000	4.500%, 10/15/2029(c)		502,115
		Stars Group Holdings B.V./Stars Group US Co-Borrower LLC
	4,194,000	7.000%, 07/15/2026(a)(c)		4,547,764
		Suburban Propane Partners L.P./Suburban Energy Finance Corp.
	4,185,000	5.875%, 03/01/2027		4,364,317
		Taylor Morrison Communities, Inc.
	2,632,000	5.875%, 06/15/2027(c)		2,901,313
	750,000	5.750%, 01/15/2028(c)		819,636
		Tesla, Inc.
	4,185,000	5.300%, 08/15/2025(c)		4,069,871
		Toll Brothers Finance Corp.
	300,000	4.350%, 02/15/2028		313,604
		Toyota Motor Credit Corp.
	740,000	2.281%, 04/13/2021(g) 3 mo. USD LIBOR + 0.280%		741,386
	1,725,000	2.333%, 10/07/2021(g) 3 mo. USD LIBOR + 0.290%		1,729,034
		United Airlines Pass Through Trust
	1,755,000	Series 2019-2-B 3.500%, 05/01/2028		1,768,399
		Vista Outdoor, Inc.
	500,000	5.875%, 10/01/2023		480,062
		Volkswagen Group of America Finance LLC
	1,760,000	2.795%, 09/24/2021(c)(g) 3 mo. USD LIBOR + 0.860%		1,772,759
		Walmart, Inc.
	1,940,000	2.158%, 06/23/2021(g) 3 mo. USD LIBOR + 0.230%		1,943,809
		William Lyon Homes, Inc.
	2,895,000	6.625%, 07/15/2027(c)		3,149,318
		Yum! Brands, Inc.
	1,400,000	3.875%, 11/01/2023		1,446,081
	1,876,000	4.750%, 01/15/2030(c)		1,968,581
				101,227,156

The accompanying notes are an integral part of these financial statements.

54 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	CORPORATE BONDS (CONTINUED)
	Consumer, Non-cyclical: 3.7%
		AbbVie, Inc.
	$ 865,000	2.545%, 11/21/2022(c)(g) 3 mo. USD LIBOR + 0.650%	$	869,641
		Avon International Operations, Inc.
	2,981,000	7.875%, 08/15/2022(a)(c)		3,115,124
		Bausch Health Cos., Inc.
	1,547,000	7.250%, 05/30/2029(c)		1,770,309
		BRF S.A.
	1,110,000	4.875%, 01/24/2030(c)		1,146,364
		Brink’s Co. (The)
	1,425,000	4.625%, 10/15/2027(c)		1,471,060
		Bristol-Myers Squibb Co.
	1,735,000	2.600%, 05/16/2022(c)		1,764,470
		Campbell Soup Co.
	985,000	2.394%, 03/16/2020(g) 3 mo. USD LIBOR + 0.500%		985,354
		Carriage Services, Inc.
	2,130,000	6.625%, 06/01/2026(c)		2,274,515
		Cimpress N.V.
	2,905,000	7.000%, 06/15/2026(c)		3,123,884
		Coty, Inc.
	244,000	6.500%, 04/15/2026(c)		257,426
		CVS Health Corp.
	1,970,000	2.605%, 03/09/2021(g) 3 mo. USD LIBOR + 0.720%		1,982,541
		Diageo Capital Plc
	590,000	3.000%, 05/18/2020		592,441
		Encompass Health Corp.
	1,170,000	4.750%, 02/01/2030		1,216,040
		Hologic, Inc.
	3,750,000	4.625%, 02/01/2028(c)		3,985,678
		JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc.
	670,000	5.500%, 01/15/2030(c)		720,887
		Lamb Weston Holdings, Inc.
	2,550,000	4.875%, 11/01/2026(c)		2,707,717
		Minerva Luxembourg S.A.
	600,000	5.875%, 01/19/2028		631,116
		NBM US Holdings, Inc.
	1,860,000	7.000%, 05/14/2026(c)		2,018,811
		Nielsen Co. Luxembourg S.A.R.L. (The)
	5,732,000	5.500%, 10/01/2021(a)(c)		5,766,392
		Pfizer, Inc.
	1,925,000	3.000%, 09/15/2021		1,966,302
		Pilgrim’s Pride Corp.
	5,178,000	5.875%, 09/30/2027(c)		5,608,292
		Post Holdings, Inc.
	3,000,000	5.750%, 03/01/2027(c)		3,224,467
	1,750,000	5.625%, 01/15/2028(c)		1,888,862
	1,500,000	5.500%, 12/15/2029(c)		1,602,225
		Select Medical Corp.
	325,000	6.250%, 08/15/2026(c)		352,415
		Service Corp. International
	5,010,000	4.625%, 12/15/2027		5,234,561
	1,500,000	5.125%, 06/01/2029		1,596,525

Principal Amount^			Value
	Consumer, Non-cyclical (continued)
		Teleflex, Inc.
	$ 3,700,000	4.625%, 11/15/2027	$	3,928,142
		Teva Pharmaceutical Finance Netherlands II B.V.
	650,000 (EUR)	6.000%, 01/31/2025(c)		773,505
		Teva Pharmaceutical Finance Netherlands III B.V.
	725,000	7.125%, 01/31/2025(c)		746,232
	925,000	3.150%, 10/01/2026		772,398
	4,795,000	4.100%, 10/01/2046		3,464,867
		Vector Group Ltd.
	2,000,000	10.500%, 11/01/2026(c)		2,071,200
				69,629,763
	Energy: 3.1%
		AI Candelaria Spain SLU
	550,000	7.500%, 12/15/2028(c)		618,254
		Bellatrix Exploration Ltd.
	417,000	8.500%, 09/11/2023(b)		250,200
	454,000	12.500%, 12/15/2023*(b)(j) PIK rate 9.500%		0
		Bruin E&P Partners LLC
	2,820,000	8.875%, 08/01/2023(c)		1,841,220
		California Resources Corp.
	4,117,000	8.000%, 12/15/2022(c)		1,848,430
	23,000	6.000%, 11/15/2024		6,965
		Calumet Specialty Products Partners L.P./Calumet Finance Corp.
	1,627,000	7.750%, 04/15/2023		1,627,675
		Canacol Energy Ltd.
	550,000	7.250%, 05/03/2025		581,309
		Cheniere Corpus Christi Holdings LLC
	1,405,000	3.700%, 11/15/2029(c)		1,436,509
		Cheniere Energy Partners L.P.
	2,173,000	5.625%, 10/01/2026		2,302,020
		CNX Midstream Partners L.P./CNX Midstream Finance Corp.
	945,000	6.500%, 03/15/2026(c)		874,453
		CNX Resources Corp.
	1,120,000	7.250%, 03/14/2027(c)		982,492
		Compania General Combust
	600,000	9.500%, 11/07/2021		502,740
		Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp.
	4,500,000	5.625%, 05/01/2027(c)		4,573,237
		Eclipse Resources Corp.
	985,000	8.875%, 07/15/2023		911,115
		Exxon Mobil Corp.
	1,735,000	2.234%, 08/16/2022(g) 3 mo. USD LIBOR + 0.330%		1,743,764
		Fermaca Enterprises S de RL de C.V.
	262,403	6.375%, 03/30/2038		286,267
		Genesis Energy L.P./Genesis Energy Finance Corp.
	3,666,000	6.500%, 10/01/2025		3,555,983
	3,195,000	6.250%, 05/15/2026		3,060,323
		Geopark Ltd.
	550,000	6.500%, 09/21/2024		574,984

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 55

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	CORPORATE BONDS (CONTINUED)
	Energy (continued)
		Global Partners L.P./GLP Finance Corp.
	$ 1,088,000	7.000%, 08/01/2027(c)	$	1,159,098
		Gran Tierra Energy, Inc.
	550,000	7.750%, 05/23/2027(c)		515,822
		Gulfport Energy Corp.
	2,260,000	6.000%, 10/15/2024		1,610,250
		Kinder Morgan, Inc.
	2,000,000	4.300%, 03/01/2028		2,182,600
		Lonestar Resources America, Inc.
	380,000	11.250%, 01/01/2023(c)		261,250
		Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp.
	2,870,000	6.000%, 08/01/2026(c)		2,949,922
		Medco Oak Tree Pte Ltd.
	550,000	7.375%, 05/14/2026		561,408
		Northern Oil and Gas, Inc.
	971,000	8.500%, 05/15/2023(j) PIK rate 9.500%		1,007,412
		NuStar Logistics L.P.
	2,975,000	6.000%, 06/01/2026		3,151,638
		Parkland Fuel Corp.
	3,585,000	6.000%, 04/01/2026(c)		3,793,468
	2,675,000	5.875%, 07/15/2027(c)		2,881,537
		Petrobras Global Finance B.V.
	885,000	5.750%, 02/01/2029		999,829
	550,000	6.900%, 03/19/2049		646,126
		Sinopec Group Overseas Development 2018 Ltd.
	1,730,000	2.500%, 11/12/2024(c)		1,736,384
		Sunoco L.P./Sunoco Finance Corp.
	4,801,000	6.000%, 04/15/2027		5,136,218
		Tennessee Gas Pipeline Co. LLC
	325,000	7.000%, 03/15/2027		405,131
		Vine Oil & Gas L.P./Vine Oil & Gas Finance Corp.
	955,000	9.750%, 04/15/2023(c)		482,275
		YPF S.A.
	780,000	63.354%, 07/07/2020(c)(g) BADLARPP + 4.000%		193,986
	450,000	8.500%, 07/28/2025		426,562
	450,000	6.950%, 07/21/2027(c)		401,781
				58,080,637
	Financial: 5.8%
		Agile Group Holdings Ltd.
	200,000	6.875%, 03/07/2023(d)(f) 5 year CMT + 9.216%		200,070
		AIA Group Ltd.
	765,000	2.428%, 09/20/2021(c)(g) 3 mo. USD LIBOR + 0.520%		765,656
		AIG Global Funding
	925,000	2.300%, 07/01/2022(c)		930,485
		Aircastle Ltd.
	1,295,000	4.250%, 06/15/2026		1,372,378

Principal Amount^			Value
	Financial (continued)
		Alliance Data Systems Corp.
	$ 1,315,000	4.750%, 12/15/2024(c)	$	1,315,000
		American Express Co.
	1,300,000	2.491%, 11/05/2021(g) 3 mo. USD LIBOR + 0.600%		1,305,971
		Ameriprise Financial, Inc.
	680,000	3.000%, 03/22/2022		695,804
		Assurant, Inc.
	1,960,000	3.700%, 02/22/2030		1,991,253
		Banco BTG Pactual S.A.
	550,000	7.750%, 02/15/2029(f) 5 year CMT + 5.257%		583,335
		Banco do Brasil S.A.
	600,000	6.250%, 04/15/2024(d)(f) 10 year CMT + 4.398%		609,906
		Banco Hipotecario S.A.
	4,228,722 (ARS)	50.667%, 01/12/2020(c)(g) BADLARPP + 2.500%		72,855
	12,020,000 (ARS)	44.313%, 11/07/2022(c)(g) BADLARPP + 4.000%		178,942
		Banco Macro S.A.
	7,805,000 (ARS)	17.500%, 05/08/2022(c)		62,995
	250,000	6.750%, 11/04/2026(f) 5 year USD Swap + 5.463%		203,212
		Banco Mercantil del Norte S.A.
	500,000	7.625%, 01/10/2028(d)(f) 10 year CMT + 5.353%		535,268
		Banco Santander Mexico S.A.
	500,000	8.500%, 01/20/2022(d)(f) 5 year CMT + 6.472%		530,468
		Banco Supervielle S.A.
	15,000,000 (ARS)	52.771%, 08/09/2020(c)(g) BADLARPP + 4.500%		245,508
		Bank of America Corp.
	1,750,000	3.499%, 05/17/2022(f) 3 mo. USD LIBOR + 0.630%		1,785,494
	1,575,000	2.597%, 06/25/2022(g) 3 mo. USD LIBOR + 0.650%		1,583,903
		BBVA Bancomer S.A.
	600,000	5.125%, 01/18/2033(f) 5 year CMT + 2.650%		606,771
		Capital One N.A.
	1,905,000	2.150%, 09/06/2022		1,908,952
		CFLD Cayman Investment Ltd.
	200,000	6.500%, 12/21/2020		200,500
		CIFI Holdings Group Co. Ltd.
	200,000	5.500%, 01/23/2022		201,601
		Citibank N.A.
	1,110,000	2.251%, 02/12/2021(g) 3 mo. USD LIBOR + 0.350%		1,112,357
		Citigroup, Inc.
	1,780,000	2.350%, 08/02/2021		1,791,442
	855,000	2.425%, 11/04/2022(g) SOFRRATE + 0.870%		859,505
		Credit Suisse AG
	290,000	2.100%, 11/12/2021		291,452
		Credito Real SAB de C.V.
	550,000	9.125%, 11/29/2022(d)(f) 5 year CMT + 7.026%		580,082

The accompanying notes are an integral part of these financial statements.

56 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	CORPORATE BONDS (CONTINUED)
	Financial (continued)
		Danske Bank A/S
	$ 360,000	3.244%, 12/20/2025(c)(f) 3 mo. USD LIBOR + 1.591%	$	364,604
		Docuformas SAPI de C.V.
	550,000	10.250%, 07/24/2024(c)		559,171
		Easy Tactic Ltd.
	345,000	8.125%, 02/27/2023		354,876
		Enova International, Inc.
	1,120,000	8.500%, 09/01/2024(c)		1,070,065
	580,000	8.500%, 09/15/2025(c)		549,550
		Financiera de Desarrollo Territorial S.A.
	6,675,000,000 (COP)	7.875%, 08/12/2024(c)		2,153,052
		Financiera Independencia SAB de C.V.
	600,000	8.000%, 07/19/2024		561,255
		Gilex Holding S.A.R.L
	510,000	8.500%, 05/02/2023		549,104
		goeasy Ltd.
	3,850,000	5.375%, 12/01/2024(c)		3,928,598
		Greenland Global Investment Ltd.
	410,000	5.875%, 07/03/2024		398,148
		Hall of Fame
	387,300	10.822%, 10/31/2020(b)(f)		387,300
		HSBC Holdings Plc
	1,910,000	2.537%, 09/11/2021(g) 3 mo. USD LIBOR + 0.650%		1,914,393
		Icahn Enterprises L.P./Icahn Enterprises Finance Corp.
	2,314,000	4.750%, 09/15/2024(c)		2,380,527
	4,225,000	6.250%, 05/15/2026		4,507,543
		iStar, Inc.
	6,625,000	4.750%, 10/01/2024		6,878,969
		JPMorgan Chase Bank N.A.
	1,780,000	3.086%, 04/26/2021(f) 3 mo. USD LIBOR + 0.350%		1,786,218
		Kaisa Group Holdings Ltd.
	435,000	11.950%, 10/22/2022(c)		454,305
		KeyBank N.A.
	1,050,000	3.300%, 02/01/2022		1,079,026
		Logan Property Holdings Co. Ltd.
	200,000	5.250%, 02/23/2023		200,042
		Marsh & McLennan Cos., Inc.
	1,210,000	3.500%, 12/29/2020		1,228,034
		MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc.
	3,070,000	5.625%, 05/01/2024		3,364,183
	3,100,000	5.750%, 02/01/2027(c)		3,460,375
		Mitsubishi UFJ Financial Group, Inc.
	1,935,000	2.586%, 07/26/2021(g) 3 mo. USD LIBOR + 0.650%		1,943,986
	1,935,000	3.535%, 07/26/2021		1,981,031
		MPT Operating Partnership L.P./MPT Finance Corp.
	5,050,000	5.000%, 10/15/2027		5,365,751

Principal Amount^			Value
	Financial (continued)
		Navient Corp.
	$ 40,000	6.750%, 06/15/2026	$	44,038
		New York Life Global Funding
	2,575,000	2.233%, 01/21/2022(c)(g) 3 mo. USD LIBOR + 0.280%		2,581,214
	880,000	2.441%, 07/12/2022(c)(g) 3 mo. USD LIBOR + 0.440%		883,727
		PNC Bank N.A.
	3,520,000	2.403%, 07/22/2022(g) 3 mo. USD LIBOR + 0.450%		3,526,741
		Radian Group, Inc.
	2,570,000	4.500%, 10/01/2024		2,725,267
	3,550,000	4.875%, 03/15/2027		3,746,484
		RKP Overseas Finance 2016 A Ltd.
	200,000	7.950%, 02/17/2022(d)		192,547
		Shimao Property Holdings Ltd.
	200,000	4.750%, 07/03/2022		204,740
		Springleaf Finance Corp.
	575,000	7.125%, 03/15/2026		665,893
	500,000	6.625%, 01/15/2028		565,325
		Standard Chartered Plc
	1,760,000	3.091%, 09/10/2022(c)(g) 3 mo. USD LIBOR + 1.200%		1,772,082
	955,000	3.116%, 01/20/2023(c)(g) 3 mo. USD LIBOR + 1.150%		962,072
	955,000	4.247%, 01/20/2023(c)(f) 3 mo. USD LIBOR + 1.150%		989,619
		Starwood Property Trust, Inc.
	6,458,000	4.750%, 03/15/2025		6,832,015
		Sumitomo Mitsui Banking Corp.
	1,960,000	2.352%, 01/17/2020(g) 3 mo. USD LIBOR + 0.350%		1,960,393
		Sunac China Holdings Ltd.
	335,000	7.250%, 06/14/2022		345,036
		Unifin Financiera SAB de C.V.
	600,000	8.875%, 01/29/2025(d)(f) 5 year CMT + 6.308%		553,158
		US Bank N.A.
	1,735,000	3.000%, 02/04/2021		1,756,195
	1,860,000	2.284%, 11/16/2021(g) 3 mo. USD LIBOR + 0.380%		1,866,297
		USAA Capital Corp.
	1,940,000	3.000%, 07/01/2020(c)		1,950,782
		Wells Fargo Bank N.A.
	940,000	3.625%, 10/22/2021		967,708
	2,475,000	2.545%, 09/09/2022(g) 3 mo. USD LIBOR + 0.660%		2,488,972
		Yanlord Land Hong Kong Co. Ltd.
	200,000	5.875%, 01/23/2022		202,195
				107,723,771
	Industrial: 3.1%
		3M Co.
	1,750,000	2.750%, 03/01/2022		1,782,277
		Aeropuertos Dominicanos Siglo XXI S.A.
	350,000	6.750%, 03/30/2029		387,750
		APX Group, Inc.
	1,963,000	8.750%, 12/01/2020		1,965,454
		Arconic, Inc.
	6,280,000	5.125%, 10/01/2024		6,849,690

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 57

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	CORPORATE BONDS (CONTINUED)
	Industrial (continued)
		Ball Corp.
	$ 5,472,000	4.875%, 03/15/2026	$	5,947,243
		Boeing Co. (The)
	1,555,000	2.700%, 05/01/2022		1,579,893
		Bombardier, Inc.
	768,000	7.500%, 03/15/2025(c)		793,912
	790,000	7.875%, 04/15/2027(c)		814,707
		C10 Capital SPV Ltd.
	200,000	6.655%, 03/31/2020(g) 3 mo. USD LIBOR + 4.710%		198,000
		C5 Capital SPV Ltd.
	200,000	6.222%, 03/31/2020(g) 3 mo. USD LIBOR + 4.277%		196,000
		Cascades, Inc./Cascades USA, Inc.
	318,000	5.125%, 01/15/2026(c)		327,540
		Caterpillar Financial Services Corp.
	1,650,000	2.190%, 09/04/2020(g) 3 mo. USD LIBOR + 0.290%		1,651,963
	680,000	3.150%, 09/07/2021		695,268
		Clean Harbors, Inc.
	500,000	4.875%, 07/15/2027(c)		527,175
		FedEx Corp.
	695,000	3.400%, 01/14/2022		714,091
		General Dynamics Corp.
	2,030,000	2.191%, 05/11/2020(g) 3 mo. USD LIBOR + 0.290%		2,031,306
		General Electric Co.
	363,000	5.000%, 01/21/2021(d)(f) 3 mo. USD LIBOR + 3.330%		356,096
		GMR Hyderabad International Airport Ltd.
	735,000	5.375%, 04/10/2024		762,151
		Honeywell International, Inc.
	1,755,000	2.150%, 08/08/2022		1,771,807
	1,755,000	2.274%, 08/08/2022(g) 3 mo. USD LIBOR + 0.370%		1,765,376
		Hornbeck Offshore Services, Inc.
	186,000	5.875%, 04/01/2020		66,960
		IHS Netherlands Holdco B.V.
	500,000	7.125%, 03/18/2025(c)		523,113
		John Deere Capital Corp.
	2,000,000	2.377%, 06/13/2022(g) 3 mo. USD LIBOR + 0.490%		2,009,304
	700,000	2.365%, 09/08/2022(g) 3 mo. USD LIBOR + 0.480%		703,643
		JSL Europe S.A.
	550,000	7.750%, 07/26/2024		594,327
		Klabin Austria GmbH
	550,000	7.000%, 04/03/2049		602,525
		Koppers, Inc.
	1,194,000	6.000%, 02/15/2025(c)		1,253,688
		Leonardo US Holdings, Inc.
	438,000	6.250%, 01/15/2040(c)		484,078
		OSX 3 Leasing B.V.
	1,216,328	13.000%, 03/20/2015(c)(i)		316,245
	39,531	0.000%, 12/31/2099(b)(d)		0
	39,531	0.000%, 12/31/2099(b)(d)		0

Principal Amount^			Value
	Industrial (continued)
		Park-Ohio Industries, Inc.
	$ 500,000	6.625%, 04/15/2027	$	510,451
		Patrick Industries, Inc.
	300,000	7.500%, 10/15/2027(c)		320,354
		Rolls-Royce Plc
	1,750,000	2.375%, 10/14/2020(c)		1,756,894
		Sensata Technologies, Inc.
	3,191,000	4.375%, 02/15/2030(c)		3,261,026
		Silgan Holdings, Inc.
	159,000	4.125%, 02/01/2028(c)		159,445
		TopBuild Corp.
	2,810,000	5.625%, 05/01/2026(c)		2,944,451
		TransDigm UK Holdings Plc
	1,200,000	6.875%, 05/15/2026		1,281,417
		TransDigm, Inc.
	2,225,000	6.375%, 06/15/2026		2,363,974
	2,900,000	7.500%, 03/15/2027		3,177,385
		Tutor Perini Corp.
	1,179,000	6.875%, 05/01/2025(c)		1,140,683
		Vertiv Group Corp.
	3,107,000	9.250%, 10/15/2024(a)(c)		3,346,503
				57,934,165
	Technology: 1.6%
		Amkor Technology, Inc.
	3,699,000	6.625%, 09/15/2027(c)		4,080,367
		Apple, Inc.
	2,275,000	1.700%, 09/11/2022		2,274,292
		Broadcom, Inc.
	2,675,000	4.750%, 04/15/2029(c)		2,927,666
		CDW LLC/CDW Finance Corp.
	1,800,000	4.250%, 04/01/2028		1,891,080
		Entegris, Inc.
	2,930,000	4.625%, 02/10/2026(c)		3,037,971
		Fair Isaac Corp.
	2,879,000	5.250%, 05/15/2026(c)		3,175,098
	160,000	4.000%, 06/15/2028(c)		161,600
		Hewlett Packard Enterprise Co.
	1,760,000	2.567%, 03/12/2021(g) 3 mo. USD LIBOR + 0.680%		1,766,857
		International Business Machines Corp.
	1,740,000	2.850%, 05/13/2022		1,779,931
		MSCI, Inc.
	3,064,000	4.000%, 11/15/2029(c)		3,111,798
		NCR Corp.
	2,750,000	6.125%, 09/01/2029(c)		2,989,168
		Nuance Communications, Inc.
	1,770,000	5.625%, 12/15/2026		1,890,462
				29,086,290
	Utilities: 0.3%
		AES Gener S.A.
	200,000	7.125%, 03/26/2079(f) 5 year USD Swap + 4.664%		210,403
	400,000	6.350%, 10/07/2079(c)(f) 5 year CMT + 4.917%		410,600
		Cometa Energia S.A. de C.V.
	581,400	6.375%, 04/24/2035		634,270
		Empresa Electrica Guacolda S.A.
	300,000	4.560%, 04/30/2025		273,656

The accompanying notes are an integral part of these financial statements.

58 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	CORPORATE BONDS (CONTINUED)
	Utilities (continued)
		Enel SpA
	$ 740,000	8.750%, 09/24/2073(c)(f) 5 year USD Swap + 5.880%	$	870,499
		Energuate Trust
	550,000	5.875%, 05/03/2027		569,441
		Pampa Energia S.A.
	150,000	7.500%, 01/24/2027		128,329
	150,000	9.125%, 04/15/2029(c)		129,802
		Star Energy Geothermal Wayang Windu Ltd.
	552,000	6.750%, 04/24/2033		585,588
		Stoneway Capital Corp.
	177,117	10.000%, 03/01/2027		112,597
		Vistra Operations Co. LLC
	2,465,000	3.700%, 01/30/2027(c)		2,451,659
				6,376,844
	TOTAL CORPORATE BONDS (Cost $520,057,136)			529,971,055
	GOVERNMENT SECURITIES & AGENCY ISSUE: 1.0%
		Argentina POM Politica Monetaria
	10,815,000 (ARS)	56.590%, 06/21/2020(g)		119,574
		Dominican Republic International Bond
	550,000	6.400%, 06/05/2049(c)		604,827
		Export-Import Bank of Korea
	895,000	2.472%, 06/25/2022(g) 3 mo. USD LIBOR + 0.525%		897,663
		Provincia de Buenos Aires Government Bonds
	72,825,000 (ARS)	45.979%, 05/31/2022(g) BADLARPP + 3.830%		693,219
	15,545,000 (ARS)	52.270%, 04/12/2025(c)(g) BADLARPP + 3.750%		144,000
		Republic of South Africa Government Bond
	57,275,000 (ZAR)	8.750%, 01/31/2044		3,605,764
	24,010,000 (ZAR)	8.750%, 02/28/2048		1,517,301
		United States Treasury Note
	10,500,000	2.750%, 09/30/2020(a)		10,585,312
	TOTAL GOVERNMENT SECURITIES & AGENCY ISSUE (Cost $23,694,570)			18,167,660
	LIMITED PARTNERSHIPS: 0.2%
	33,031	GACP II L.P.		1,887,184
	1,300,000	U.S. Farming Realty Trust II L.P.(b)		1,063,211
	TOTAL LIMITED PARTNERSHIPS (Cost $2,743,816)			2,950,395

Principal Amount^			Value
	MORTGAGE-BACKED SECURITIES: 19.4%
		Adjustable Rate Mortgage Trust
	$ 2,056,771	Series 2005-2-6M2 2.772%, 06/25/2035(g) 1 mo. USD LIBOR + 0.980%	$	2,077,869
	355,188	Series 2006-1-2A1 4.306%, 03/25/2036(f)		273,770
		American Home Mortgage Investment Trust
	358,532	Series 2006-1-11A1 2.072%, 03/25/2046(g) 1 mo. USD LIBOR + 0.280%		342,037
		AREIT Trust
	1,000,000	Series 2019-CRE3-D 4.390%, 09/14/2036(c)(g) 1 mo. USD LIBOR + 2.650%		1,003,201
		Banc of America Alternative Loan Trust
	73,991	Series 2003-8-1CB1 5.500%, 10/25/2033		78,157
	659,906	Series 2006-7-A4 5.998%, 10/25/2036(e)		346,714
		Banc of America Funding Trust
	71,081	Series 2005-7-3A1 5.750%, 11/25/2035		77,344
	132,665	Series 2006-6-1A2 6.250%, 08/25/2036		133,424
	734,769	Series 2006-7-T2A3 5.695%, 10/25/2036(f)		713,124
	430,654	Series 2006-B-7A1 4.406%, 03/20/2036(f)		411,568
	3,348,310	Series 2007-1-TA4 6.090%, 01/25/2037(e)		3,326,924
	76,505	Series 2007-4-5A1 5.500%, 11/25/2034		76,667
	3,069,822	Series 2010-R5-1A3 6.000%, 10/26/2037(c)(f)		2,971,174
	796,993	Series 2010-R9-3A3 5.500%, 12/26/2035(c)		660,389
		Banc of America Merrill Lynch Commercial Mortgage Securities Trust
	1,474,000	Series 2019-AHT-D 4.240%, 03/15/2034(c)(g) 1 mo. USD LIBOR + 2.500%		1,481,453
		Banc of America Mortgage Trust
	22,032	Series 2005-A-2A1 4.459%, 02/25/2035(b)(f)		22,055
		Bancorp Commercial Mortgage Trust
	665,000	Series 2019-CRE5-D 4.090%, 03/15/2036(c)(g) 1 mo. USD LIBOR + 2.350%		666,641
		BBCMS Trust
	750,000	Series 2018-CBM-E 4.890%, 07/15/2037(c)(g) 1 mo. USD LIBOR + 3.150%		755,176
		BCAP LLC Trust
	230,180	Series 2010-RR6-6A2 9.300%, 07/26/2037(c)(f)		193,099
	3,057,354	Series 2011-R11-2A4 5.500%, 12/26/2035(c)		2,604,344

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 59

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	MORTGAGE-BACKED SECURITIES (CONTINUED)
		Bear Stearns Adjustable Rate Mortgage Trust
	$ 4,167,569	Series 2005-12-25A1 3.474%, 02/25/2036(f)	$	3,450,138
		Bear Stearns Asset-Backed Securities I Trust
	537,900	Series 2006-AC1-1A1 6.250%, 02/25/2036(e)		395,179
		BF Mortgage Trust
	666,000	Series 2019-NYT-F 4.740%, 11/15/2035(c)(g) 1 mo. USD LIBOR + 3.000%		671,672
		BHP Trust
	710,000	Series 2019-BXHP-E 4.307%, 08/15/2036(c)(g) 1 mo. USD LIBOR + 2.568%		708,022
		BX Commercial Mortgage Trust
	1,517,000	Series 2019-IMC-G 5.340%, 04/15/2034(c)(g) 1 mo. USD LIBOR + 3.600%		1,528,542
		BX Trust
	709,000	Series 2019-MMP-F 4.532%, 08/15/2036(c)(g) 1 mo. USD LIBOR + 2.792%		711,075
		Carbon Capital VI Commercial Mortgage Trust
	649,000	Series 2019-FL2-B 4.590%, 10/15/2035(c)(g) 1 mo. USD LIBOR + 2.850%		654,172
		CF Trust
	1,420,000	Series 2019-MF1-F 4.690%, 08/21/2032(c)(g) 1 mo. USD LIBOR + 2.950%		1,423,186
		CFCRE Commercial Mortgage Trust
	16,323,000	Series 2016-C7-XE 0.976%, 12/10/2054(c)(f)(k)		1,012,248
	7,346,000	Series 2016-C7-XF 0.976%, 12/10/2054(c)(f)(k)		438,882
		CG-CCRE Commercial Mortgage Trust
	105,000	Series 2014-FL2-COL1 5.240%, 11/15/2031(c)(g) 1 mo. USD LIBOR + 3.500%		104,780
	205,000	Series 2014-FL2-COL2 6.240%, 11/15/2031(c)(g) 1 mo. USD LIBOR + 4.500%		204,355
		Chase Mortgage Finance Trust
	3,434,366	Series 2007-S2-1A9 6.000%, 03/25/2037		2,767,175
	1,732,345	Series 2007-S3-1A15 6.000%, 05/25/2037		1,339,160
		ChaseFlex Trust
	1,225,639	Series 2007-3-2A1 2.092%, 07/25/2037(g) 1 mo. USD LIBOR + 0.300%		1,097,078
		CIM Trust
	6,000,000	Series 2016-1RR-B2 7.780%, 07/26/2055(c)(f)		5,989,051

Principal Amount^			Value
	$ 10,000,000	Series 2016-2RR-B2 8.230%, 02/25/2056(c)(f)	$	10,000,054
	10,000,000	Series 2016-3RR-B2 7.986%, 02/27/2056(c)(f)		9,958,970
	7,860,000	Series 2017-3RR-B2 11.089%, 01/27/2057(c)(f)		8,125,193
		Citicorp Mortgage Securities Trust
	2,768,896	Series 2006-7-1A1 6.000%, 12/25/2036		2,645,796
		Citigroup Commercial Mortgage Trust
	668,000	Series 2015-GC27-D 4.428%, 02/10/2048(c)(f)		634,896
	1,497,000	Series 2018-TBR-F 5.390%, 12/15/2036(c)(g) 1 mo. USD LIBOR + 3.650%		1,511,254
		Citigroup Mortgage Loan Trust, Inc.
	225,660	Series 2005-5-2A2 5.750%, 08/25/2035		182,705
	2,946,761	Series 2005-5-3A2A 3.827%, 10/25/2035(f)		2,176,512
	404,851	Series 2009-6-8A2 6.000%, 08/25/2022(c)(f)		425,906
	3,106,716	Series 2011-12-1A2 4.022%, 04/25/2036(c)(f)		2,474,517
	335,313	Series 2018-A-A1 4.000%, 01/25/2068(c)(f)		337,190
	779,669	Series 2018-C-A1 4.125%, 03/25/2059(c)(e)		789,503
		CitiMortgage Alternative Loan Trust
	277,120	Series 2006-A5-1A13 2.242%, 10/25/2036(g) 1 mo. USD LIBOR + 0.450%		224,454
	272,712	Series 2006-A5-1A2 4.758%, 10/25/2036(g)(k) -1*1 mo. USD LIBOR + 6.550%		45,944
	486,789	Series 2007-A4-1A13 5.750%, 04/25/2037		474,878
	249,251	Series 2007-A4-1A6 5.750%, 04/25/2037		243,263
	2,408,513	Series 2007-A6-1A5 6.000%, 06/25/2037		2,365,291
		COMM Mortgage Trust
	40,000	Series 2012-LC4-C 5.537%, 12/10/2044(f)		41,560
	1,868,035	Series 2014-UBS4-F 3.750%, 08/10/2047(c)		672,493
	3,345,369	Series 2014-UBS4-G 3.750%, 08/10/2047(c)		367,991
	7,000	Series 2014-UBS4-V 0.000%, 08/10/2047(c)(f)		1
	1,000,000	Series 2015-CR26-E 3.250%, 10/10/2048(c)		873,088
	1,989,000	Series 2018-HCLV-D 3.916%, 09/15/2033(c)(g) 1 mo. USD LIBOR + 2.177%		1,985,473
		Countrywide Alternative Loan Trust
	137,670	Series 2003-22CB-1A1 5.750%, 12/25/2033		142,108
	519,546	Series 2004-13CB-A4 0.000%, 07/25/2034(l)		451,099
	104,069	Series 2004-16CB-1A1 5.500%, 07/25/2034		107,079

The accompanying notes are an integral part of these financial statements.

60 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	MORTGAGE-BACKED SECURITIES (CONTINUED)
		Countrywide Alternative Loan Trust (Continued)
	$ 115,661	Series 2004-16CB-3A1 5.500%, 08/25/2034	$	118,999
	251,797	Series 2004-J10-2CB1 6.000%, 09/25/2034		260,575
	5,409,552	Series 2005-64CB-1A10 5.750%, 12/25/2035		5,420,886
	82,896	Series 2005-J1-2A1 5.500%, 02/25/2025		85,168
	2,702,568	Series 2006-13T1-A13 6.000%, 05/25/2036		2,064,749
	432,320	Series 2006-31CB-A7 6.000%, 11/25/2036		369,142
	4,228,557	Series 2006-36T2-2A1 6.250%, 12/25/2036		2,883,192
	451,887	Series 2006-J1-2A1 7.000%, 02/25/2036		123,240
	227,536	Series 2007-16CB-2A1 2.242%, 08/25/2037(g) 1 mo. USD LIBOR + 0.450%		111,030
	65,889	Series 2007-16CB-2A2 39.650%, 08/25/2037(g) -8.3333*1 mo. USD LIBOR + 54.583%		150,857
	434,271	Series 2007-19-1A34 6.000%, 08/25/2037		351,691
	1,270,632	Series 2007-20-A12 6.250%, 08/25/2047		1,053,817
	435,603	Series 2007-22-2A16 6.500%, 09/25/2037		287,026
	2,927,268	Series 2007-HY2-1A 4.099%, 03/25/2047(f)		2,841,799
	2,049,979	Series 2007-HY7C-A4 2.022%, 08/25/2037(g) 1 mo. USD LIBOR + 0.230%		1,939,862
		Countrywide Alternative Loan Trust Resecuritization
	593,973	Series 2008-2R-2A1 0.757%, 08/25/2037(f)		413,105
	3,919,810	Series 2008-2R-4A1 6.250%, 08/25/2037(f)		3,308,067
		Countrywide Home Loan GMSR Issuer Trust
	1,980,000	Series 2018-GT1-A 4.542%, 05/25/2023(c)(g) 1 mo. USD LIBOR + 2.750%		1,987,777
		Countrywide Home Loan Mortgage Pass-Through Trust
	9,305	Series 2004-HYB4-2A1 4.223%, 09/20/2034(b)(f)		9,117
	670,121	Series 2005-23-A1 5.500%, 11/25/2035		564,536
	403,751	Series 2005-HYB8-4A1 3.656%, 12/20/2035(f)		403,586
	3,385,250	Series 2006-9-A1 6.000%, 05/25/2036		2,795,262
	181,271	Series 2007-10-A5 6.000%, 07/25/2037		147,989
	719,971	Series 2007-13-A5 6.000%, 08/25/2037		594,569

Principal Amount^			Value
		Credit Suisse Commercial Mortgage Securities Corp.
	$ 175,000	Series 2019-SKLZ-D 5.340%, 01/15/2034(c)(g) 1 mo. USD LIBOR + 3.600%	$	176,393
		Credit Suisse First Boston Mortgage Securities Corp.
	1,339,571	Series 2005-11-7A1 6.000%, 12/25/2035		1,107,136
		Credit Suisse First Boston Mortgage- Backed Pass-Through Certificates
	52,133	Series 2003-27-4A4 5.750%, 11/25/2033		53,815
	2,478,622	Series 2005-10-10A3 6.000%, 11/25/2035		1,229,751
		Credit Suisse Mortgage-Backed Trust
	809,329	Series 2006-6-1A10 6.000%, 07/25/2036		666,392
	652,549	Series 2007-1-4A1 6.500%, 02/25/2022		152,160
	75,836	Series 2007-2-2A5 5.000%, 03/25/2037		73,562
	1,683,583	Series 2011-17R-1A2 5.750%, 02/27/2037(c)		1,810,230
	635,000	Series 2014-USA-D 4.373%, 09/15/2037(c)		625,935
	1,475,000	Series 2014-USA-E 4.373%, 09/15/2037(c)		1,393,617
	818,360	Series 2018-RPL2-A1 4.030%, 08/25/2062(c)(e)		820,229
	313,814	Series 2018-RPL7-A1 4.000%, 08/26/2058(c)		317,175
	675,000	Series 2019-RP10-A1 3.318%, 12/25/2059(c)(f)		675,916
		DBUBS Mortgage Trust
	310,000	Series 2017-BRBK-D 3.530%, 10/10/2034(c)(f)		314,871
		Deutsche Mortgage and Asset Receiving Corp.
	3,114,563	Series 2014-RS1-1A2 6.500%, 07/27/2037(c)(f)		2,998,682
		Deutsche Mortgage Securities, Inc. Mortgage Loan Trust
	110,092	Series 2006-PR1-3A1 9.688%, 04/15/2036(c)(g) -1.4*1 mo. USD LIBOR + 12.124%		103,323
		DSLA Mortgage Loan Trust
	137,035	Series 2005-AR5-2A1A 2.094%, 09/19/2045(g) 1 mo. USD LIBOR + 0.330%		112,967
		Dukinfield II Plc
	394,644 (GBP)	Series 2-A 2.048%, 12/20/2052(g) 3 mo. GBP LIBOR + 1.250%		528,439
		Eurosail-UK Plc
	131,250 (GBP)	Series 2007-2X-A3C 0.929%, 03/13/2045(g) 3 mo. GBP LIBOR + 0.150%		170,648

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 61

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	MORTGAGE-BACKED SECURITIES (CONTINUED)
		Federal Home Loan Mortgage Corp. REMICS
	$ 632,561	Series 3118-SD 4.960%, 02/15/2036(g)(k) -1*1 mo. USD LIBOR + 6.700%	$	103,996
	247,534	Series 3301-MS 4.360%, 04/15/2037(g)(k) -1*1 mo. USD LIBOR + 6.100%		45,856
	331,574	Series 3303-SE 4.340%, 04/15/2037(g)(k) -1*1 mo. USD LIBOR + 6.080%		55,135
	215,523	Series 3303-SG 4.360%, 04/15/2037(g)(k) -1*1 mo. USD LIBOR + 6.100%		39,820
	62,808	Series 3382-SB 4.260%, 11/15/2037(g)(k) -1*1 mo. USD LIBOR + 6.000%		6,626
	301,004	Series 3382-SW 4.560%, 11/15/2037(g)(k) -1*1 mo. USD LIBOR + 6.300%		44,835
	85,038	Series 3384-S 4.650%, 11/15/2037(g)(k) -1*1 mo. USD LIBOR + 6.390%		10,237
	193,009	Series 3384-SG 4.570%, 08/15/2036(g)(k) -1*1 mo. USD LIBOR + 6.310%		35,278
	2,118,512	Series 3404-SA 4.260%, 01/15/2038(g)(k) -1*1 mo. USD LIBOR + 6.000%		389,575
	110,810	Series 3417-SX 4.440%, 02/15/2038(g)(k) -1*1 mo. USD LIBOR + 6.180%		11,439
	69,074	Series 3423-GS 3.910%, 03/15/2038(g)(k) -1*1 mo. USD LIBOR + 5.650%		7,803
	623,074	Series 3423-TG 0.350%, 03/15/2038(g)(k) -1*1 mo. USD LIBOR + 6.000%		6,310
	2,739,209	Series 3435-S 4.240%, 04/15/2038(g)(k) -1*1 mo. USD LIBOR + 5.980%		432,932
	95,614	Series 3445-ES 4.260%, 05/15/2038(g)(k) -1*1 mo. USD LIBOR + 6.000%		10,416
	376,162	Series 3523-SM 4.260%, 04/15/2039(g)(k) -1*1 mo. USD LIBOR + 6.000%		59,143
	228,395	Series 3560-KS 4.660%, 11/15/2036(g)(k) -1*1 mo. USD LIBOR + 6.400%		29,382
	134,521	Series 3598-SA 4.610%, 11/15/2039(g)(k) -1*1 mo. USD LIBOR + 6.350%		16,554
	169,389	Series 3641-TB 4.500%, 03/15/2040		184,092
	616,374	Series 3728-SV 2.710%, 09/15/2040(g)(k) -1*1 mo. USD LIBOR + 4.450%		57,830

Principal Amount^			Value
	$ 232,052	Series 3758-S 4.290%, 11/15/2040(g)(k) -1*1 mo. USD LIBOR + 6.030%	$	38,076
	871,811	Series 3770-SP 4.760%, 11/15/2040(g)(k) -1*1 mo. USD LIBOR + 6.500%		86,352
	296,657	Series 3815-ST 4.110%, 02/15/2041(g)(k) -1*1 mo. USD LIBOR + 5.850%		43,404
	646,147	Series 3859-SI 4.860%, 05/15/2041(g)(k) -1*1 mo. USD LIBOR + 6.600%		121,893
	198,134	Series 3872-SL 4.210%, 06/15/2041(g)(k) -1*1 mo. USD LIBOR + 5.950%		27,160
	158,407	Series 3900-SB 4.230%, 07/15/2041(g)(k) -1*1 mo. USD LIBOR + 5.970%		20,369
	30,651	Series 3946-SM 9.481%, 10/15/2041(g) -3*1 mo. USD LIBOR + 14.700%		39,196
	1,167,294	Series 3957-DZ 3.500%, 11/15/2041		1,203,494
	1,258,669	Series 3972-AZ 3.500%, 12/15/2041		1,287,489
	3,349,834	Series 3984-DS 4.210%, 01/15/2042(g)(k) -1*1 mo. USD LIBOR + 5.950%		516,287
	4,293,780	Series 4223-AT 3.000%, 07/15/2043(g) -6*1 mo. USD LIBOR + 30.000%		4,107,907
	2,066,704	Series 4229-MS 4.655%, 07/15/2043(g) -1.75*1 mo. USD LIBOR + 7.700%		2,124,305
	4,568,025	Series 4239-OU 0.000%, 07/15/2043(l)		3,598,000
	3,197,103	Series 4291-MS 4.160%, 01/15/2054(g)(k) -1*1 mo. USD LIBOR + 5.900%		610,580
	3,135,027	Series 4314-MS 4.360%, 07/15/2043(g)(k) -1*1 mo. USD LIBOR + 6.100%		403,037
	10,000,000	Series 4435-SA 6.421%, 01/15/2041(g) -2*1 mo. USD LIBOR + 9.900%		12,075,138
	8,849,242	Series 4657-VZ 3.000%, 02/15/2047		8,943,130
		Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
	39,633	Series 2014-DN2-M2 3.442%, 04/25/2024(g) 1 mo. USD LIBOR + 1.650%		39,754
	283,476	Series 2015-DNA1-M2 3.642%, 10/25/2027(g) 1 mo. USD LIBOR + 1.850%		285,345
	40,000	Series 2018-DNA1-M2 3.592%, 07/25/2030(g) 1 mo. USD LIBOR + 1.800%		40,119

The accompanying notes are an integral part of these financial statements.

62 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	MORTGAGE-BACKED SECURITIES (CONTINUED)
		Federal National Mortgage Association Connecticut Avenue Securities
	$ 430,000	Series 2017-C05-1M2 3.992%, 01/25/2030(g) 1 mo. USD LIBOR + 2.200%	$	437,745
	95,000	Series 2017-C07-1M2 4.192%, 05/25/2030(g) 1 mo. USD LIBOR + 2.400%		96,847
		Federal National Mortgage Association REMICS
	354,512	Series 2003-84-PZ 5.000%, 09/25/2033		392,090
	717,464	Series 2005-42-SA 5.008%, 05/25/2035(g)(k) -1*1 mo. USD LIBOR + 6.800%		72,003
	2,362,142	Series 2006-92-LI 4.788%, 10/25/2036(g)(k) -1*1 mo. USD LIBOR + 6.580%		423,503
	599,799	Series 2007-39-AI 4.328%, 05/25/2037(g)(k) -1*1 mo. USD LIBOR + 6.120%		100,573
	176,240	Series 2007-57-SX 4.828%, 10/25/2036(g)(k) -1*1 mo. USD LIBOR + 6.620%		29,159
	33,054	Series 2007-68-SA 4.858%, 07/25/2037(g)(k) -1*1 mo. USD LIBOR + 6.650%		3,903
	34,540	Series 2008-1-CI 4.508%, 02/25/2038(g)(k) -1*1 mo. USD LIBOR + 6.300%		3,673
	1,807,215	Series 2008-33-SA 4.208%, 04/25/2038(g)(k) -1*1 mo. USD LIBOR + 6.000%		292,201
	72,492	Series 2008-56-SB 4.268%, 07/25/2038(g)(k) -1*1 mo. USD LIBOR + 6.060%		8,878
	3,688,336	Series 2009-110-SD 4.458%, 01/25/2040(g)(k) -1*1 mo. USD LIBOR + 6.250%		529,980
	46,733	Series 2009-111-SE 4.458%, 01/25/2040(g)(k) -1*1 mo. USD LIBOR + 6.250%		5,876
	235,446	Series 2009-86-CI 4.008%, 09/25/2036(g)(k) -1*1 mo. USD LIBOR + 5.800%		22,650
	146,828	Series 2009-87-SA 4.208%, 11/25/2049(g)(k) -1*1 mo. USD LIBOR + 6.000%		17,863
	73,099	Series 2009-90-IB 3.928%, 04/25/2037(g)(k) -1*1 mo. USD LIBOR + 5.720%		8,332
	83,804	Series 2010-11-SC 3.008%, 02/25/2040(g)(k) -1*1 mo. USD LIBOR + 4.800%		7,037
	51,675	Series 2010-115-SD 4.808%, 11/25/2039(g)(k) -1*1 mo. USD LIBOR + 6.600%		7,240

Principal Amount^			Value
	$ 3,775,709	Series 2010-123-SK 4.258%, 11/25/2040(g)(k) -1*1 mo. USD LIBOR + 6.050%	$	693,372
	947,119	Series 2010-134-SE 4.858%, 12/25/2025(g)(k) -1*1 mo. USD LIBOR + 6.650%		77,034
	243,796	Series 2010-15-SL 3.158%, 03/25/2040(g)(k) -1*1 mo. USD LIBOR + 4.950%		30,774
	74,305	Series 2010-9-GS 2.958%, 02/25/2040(g)(k) -1*1 mo. USD LIBOR + 4.750%		5,622
	6,420	Series 2011-110-LS 6.718%, 11/25/2041(g) -2*1 mo. USD LIBOR + 10.100%		8,183
	274,352	Series 2011-111-VZ 4.000%, 11/25/2041		288,990
	1,228,554	Series 2011-141-PZ 4.000%, 01/25/2042		1,318,993
	143,182	Series 2011-5-PS 4.608%, 11/25/2040(g)(k) -1*1 mo. USD LIBOR + 6.400%		11,554
	2,233,997	Series 2011-93-ES 4.708%, 09/25/2041(g)(k) -1*1 mo. USD LIBOR + 6.500%		395,932
	1,512,468	Series 2012-106-SA 4.368%, 10/25/2042(g)(k) -1*1 mo. USD LIBOR + 6.160%		261,158
	2,994,607	Series 2012-131-BS 3.371%, 12/25/2042(g) -1.2*1 mo. USD LIBOR + 5.400%		2,799,414
	11,100,940	Series 2013-109-BO 0.000%, 07/25/2043(l)		7,921,846
	2,002,333	Series 2013-15-SC 3.431%, 03/25/2033(g) -1.2*1 mo. USD LIBOR + 5.460%		2,075,318
	5,787,725	Series 2013-51-HS 3.250%, 04/25/2043(g) -1.2*1 mo. USD LIBOR + 5.400%		5,387,655
	8,526,370	Series 2013-53-ZC 3.000%, 06/25/2043		8,653,762
	3,711,610	Series 2013-67-NS 3.312%, 07/25/2043(g) -1.5*1 mo. USD LIBOR + 6.000%		3,568,054
	6,075,076	Series 2013-74-HZ 3.000%, 07/25/2043		6,089,160
	3,744,214	Series 2014-50-WS 4.408%, 08/25/2044(g)(k) -1*1 mo. USD LIBOR + 6.200%		544,556
	10,526,446	Series 2016-72-ZG 3.000%, 10/25/2046		9,908,266
		First Horizon Alternative Mortgage Securities Trust
	805,784	Series 2006-FA6-1A4 6.250%, 11/25/2036		597,756
	312,238	Series 2007-FA4-1A7 6.000%, 08/25/2037		225,812

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 63

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	MORTGAGE-BACKED SECURITIES (CONTINUED)
		First Horizon Mortgage Pass-Through Trust
	$ 189,526	Series 2006-1-1A10 6.000%, 05/25/2036	$	151,342
		Fontainebleau Miami Beach Trust
	693,000	Series 2019-FBLU H 4.095%, 12/10/2036(c)(f)		650,307
		GCAT Trust
	755,672	Series 2019-RPL1-A1 2.650%, 10/25/2068(c)(f)		756,645
		Gosforth Funding Plc
	370,245	Series 2018-1A-A1 2.360%, 08/25/2060(c)(g) 3 mo. USD LIBOR + 0.450%		370,122
		Government National Mortgage Association
	658,147	Series 2007-21-S 4.460%, 04/16/2037(g)(k) -1*1 mo. USD LIBOR + 6.200%		105,438
	235,743	Series 2008-69-SB 5.865%, 08/20/2038(g)(k) -1*1 mo. USD LIBOR + 7.630%		49,953
	276,773	Series 2009-104-SD 4.610%, 11/16/2039(g)(k) -1*1 mo. USD LIBOR + 6.350%		49,505
	44,095	Series 2010-98-IA 5.692%, 03/20/2039(f)(k)		5,270
	634,628	Series 2011-45-GZ 4.500%, 03/20/2041		676,214
	170,905	Series 2011-69-OC 0.000%, 05/20/2041(l)		156,170
	3,468,769	Series 2011-69-SC 3.615%, 05/20/2041(g)(k) -1*1 mo. USD LIBOR + 5.380%		514,535
	560,763	Series 2011-89-SA 3.685%, 06/20/2041(g)(k) -1*1 mo. USD LIBOR + 5.450%		82,116
	2,752,021	Series 2013-102-BS 4.385%, 03/20/2043(g)(k) -1*1 mo. USD LIBOR + 6.150%		381,888
	50,784,705	Series 2013-155-IB 0.169%, 09/16/2053(f)(k)		807,482
	4,470,152	Series 2014-145-CS 3.860%, 05/16/2044(g)(k) -1*1 mo. USD LIBOR + 5.600%		648,827
	2,931,549	Series 2014-156-PS 4.485%, 10/20/2044(g)(k) -1*1 mo. USD LIBOR + 6.250%		479,115
	4,829,570	Series 2014-5-SA 3.785%, 01/20/2044(g)(k) -1*1 mo. USD LIBOR + 5.550%		789,578
	4,863,582	Series 2014-58-SG 3.860%, 04/16/2044(g)(k) -1*1 mo. USD LIBOR + 5.600%		742,993
	4,852,532	Series 2014-76-SA 3.835%, 01/20/2040(g)(k) -1*1 mo. USD LIBOR + 5.600%		763,589

Principal Amount^			Value
	$ 5,250,504	Series 2014-95-CS 4.510%, 06/16/2044(g)(k) -1*1 mo. USD LIBOR + 6.250%	$	975,407
	6,416,597	Series 2018-105-SH 4.485%, 08/20/2048(g)(k) -1*1 mo. USD LIBOR + 6.250%		801,282
	83,413,501	Series 2018-111-SA 2.785%, 08/20/2048(g)(k) -1*1 mo. USD LIBOR + 4.550%		7,362,351
	27,710,294	Series 2018-134-CS 4.435%, 10/20/2048(g)(k) -1*1 mo. USD LIBOR + 6.200%		3,481,286
	7,957,462	Series 2018-153-AS 4.385%, 11/20/2048(g)(k) -1*1 mo. USD LIBOR + 6.150%		1,139,181
		GPMT Ltd.
	1,507,000	Series 2018-FL1-D 4.715%, 11/21/2035(c)(g) 1 mo. USD LIBOR + 2.950%		1,508,893
		GS Mortgage Securities Corp. Trust
	1,503,000	Series 2018-TWR-G 5.664%, 07/15/2031(c)(g) 1 mo. USD LIBOR + 3.925%		1,516,475
		GS Mortgage Securities Trust
	1,010,000	Series 2011-GC5-D 5.390%, 08/10/2044(c)(f)		1,006,360
	2,216,000	Series 2014-GC26-D 4.513%, 11/10/2047(c)(f)		1,942,358
		GSCG Trust
	710,000	Series 2019-600C-H 4.118%, 09/06/2034(c)(f)		643,018
		GSR Mortgage Loan Trust
	42,607	Series 2005-4F-6A1 6.500%, 02/25/2035(b)		42,376
	813,558	Series 2005-9F-2A1 6.000%, 01/25/2036		643,317
	125,769	Series 2005-AR4-6A1 4.657%, 07/25/2035(f)		128,661
	195,147	Series 2005-AR6-4A5 4.520%, 09/25/2035(f)		199,998
	279,064	Series 2006-7F-3A4 6.250%, 08/25/2036		158,024
	137,718	Series 2006-8F-2A1 6.000%, 09/25/2036		131,084
		HarborView Mortgage Loan Trust
	300,610	Series 2004-11-2A2A 2.404%, 01/19/2035(b)(g) 1 mo. USD LIBOR + 0.640%		286,995
	9,479,782	Series 2006-8-1A1 1.985%, 07/21/2036(g) 1 mo. USD LIBOR + 0.200%		7,090,433
	4,617,305	Series 2007-7-2A1B 2.792%, 10/25/2037(g) 1 mo. USD LIBOR + 1.000%		3,878,017
		Hawaii Hotel Trust
	1,297,000	Series 2019-MAUI-F 4.490%, 05/15/2038(c)(g) 1 mo. USD LIBOR + 2.750%		1,300,851
		Hilton Orlando Trust
	873,000	Series 2018-ORL-F 5.390%, 12/15/2034(c)(g) 1 mo. USD LIBOR + 3.650%		877,014

The accompanying notes are an integral part of these financial statements.

64 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	MORTGAGE-BACKED SECURITIES (CONTINUED)
		Hilton USA Trust
	$ 1,073,000	Series 2016-SFP-E 5.519%, 11/05/2035(c)	$	1,078,532
		Hospitality Mortgage Trust
	1,208,104	Series 2019-HIT-G 5.640%, 11/15/2036(c)(g) 1 mo. USD LIBOR + 3.900%		1,211,334
		Impac Secured Assets Trust
	7,299,438	Series 2007-2-1A1C 2.172%, 05/25/2037(g) 1 mo. USD LIBOR + 0.380%		6,306,531
		IndyMac INDA Mortgage Loan Trust
	295,033	Series 2006-AR3-1A1 3.872%, 12/25/2036(f)		282,193
		IndyMac INDX Mortgage Loan Trust
	196,820	Series 2004-AR7-A5 3.012%, 09/25/2034(g) 1 mo. USD LIBOR + 1.220%		186,470
	318,273	Series 2005-AR11-A3 3.807%, 08/25/2035(f)		289,339
	758,879	Series 2006-AR2-2A1 2.002%, 02/25/2046(g) 1 mo. USD LIBOR + 0.210%		648,631
	2,322,566	Series 2006-AR5-2A1 3.744%, 05/25/2036(f)		2,114,018
	4,090,714	Series 2006-R1-A3 3.524%, 12/25/2035(f)		3,853,173
	1,477,296	Series 2007-AR5-2A1 3.748%, 05/25/2037(f)		1,414,943
		JP Morgan Chase Commercial Mortgage Securities Trust
	1,285,000	Series 2011-C3-E 5.664%, 02/15/2046(c)(f)		1,250,455
	1,531,000	Series 2019-MFP-F 4.740%, 07/15/2036(c)(g) 1 mo. USD LIBOR + 3.100%		1,537,226
	219,000	Series 2019-UES-C 4.343%, 05/05/2032(c)		231,196
	224,000	Series 2019-UES-D 4.452%, 05/05/2032(c)(f)		233,614
	261,000	Series 2019-UES-E 4.452%, 05/05/2032(c)(f)		268,305
	274,000	Series 2019-UES-F 4.452%, 05/05/2032(c)(f)		272,921
	299,000	Series 2019-UES-G 4.452%, 05/05/2032(c)(f)		287,111
		JP Morgan Mortgage Trust
	384,076	Series 2004-S1-2A1 6.000%, 09/25/2034		397,468
	2,602,533	Series 2005-ALT1-3A1 3.800%, 10/25/2035(f)		2,292,290
	63,825	Series 2007-A1-4A2 4.658%, 07/25/2035(b)(f)		65,272
	17,608	Series 2007-S1-1A2 5.500%, 03/25/2022		16,996
	792,673	Series 2007-S3-1A97 6.000%, 08/25/2037		646,539
	393,934	Series 2008-R2-2A 5.500%, 12/27/2035(c)(f)		393,340

Principal Amount^			Value
		JP Morgan Resecuritization Trust
	$ 7,581,976	Series 2015-4-1A7 1.898%, 06/26/2047(c)(g) 1 mo. USD LIBOR + 0.190%	$	5,543,106
		JPMBB Commercial Mortgage Securities Trust
	1,616,000	Series 2014-C23-D 3.969%, 09/15/2047(c)(f)		1,603,982
	300,000	Series 2014-C23-E 3.364%, 09/15/2047(c)(f)		254,963
	78,000	Series 2015-C27-D 3.814%, 02/15/2048(c)(f)		75,561
	4,749,500	Series 2015-C27-XFG 1.314%, 02/15/2048(c)(f)(k)		283,361
		Lanark Master Issuer Plc
	329,333	Series 2019-1A-1A1 2.669%, 12/22/2069(c)(g) 3 mo. USD LIBOR + 0.770%		330,333
		Lehman Mortgage Trust
	1,898,353	Series 2006-2-2A3 5.750%, 04/25/2036		1,952,923
		Lehman XS Trust
	138,341	Series 2006-2N-1A1 2.052%, 02/25/2046(g) 1 mo. USD LIBOR + 0.260%		128,791
		LoanCore Issuer Ltd.
	1,296,000	Series 2019-CRE3-D 4.240%, 04/15/2034(c)(g) 1 mo. USD LIBOR + 2.500%		1,301,754
		Ludgate Funding Plc
	117,162 (EUR)	Series 2007-1-A2B 0.000%, 01/01/2061(g) -1*3 mo. EURIBOR + 0.160%		125,065
	456,149 (GBP)	Series 2008-W1X-A1 1.360%, 01/01/2061(g) 3 mo. GBP LIBOR + 0.600%		588,284
		Master Alternative Loan Trust
	36,140	Series 2003-9-4A1 5.250%, 11/25/2033		37,041
	34,881	Series 2004-5-1A1 5.500%, 06/25/2034		35,907
	41,527	Series 2004-5-2A1 6.000%, 06/25/2034		43,003
	175,680	Series 2004-8-2A1 6.000%, 09/25/2034		184,841
		Merrill Lynch Alternative Note Asset Trust
	504,793	Series 2007-AF1-1AF2 5.750%, 05/25/2037		484,747
		Merrill Lynch Mortgage Investors Trust
	11,413	Series 2006-2-2A 3.925%, 05/25/2036(b)(f)		11,530
		Morgan Stanley Bank of America Merrill Lynch Trust
	15,000	Series 2015-C20-D 3.071%, 02/15/2048(c)		13,979
	1,000,000	Series 2015-C26-E 4.404%, 10/15/2048(c)(f)		811,323
		Morgan Stanley Capital I Trust
	285,000	Series 2011-C2-D 5.488%, 06/15/2044(c)(f)		287,457

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 65

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	MORTGAGE-BACKED SECURITIES (CONTINUED)
		Morgan Stanley Capital I Trust (Continued)
	$ 235,000	Series 2011-C2-E 5.488%, 06/15/2044(c)(f)	$	228,908
	1,508,000	Series 2019-PLND-F 4.540%, 05/15/2036(c)(g) 1 mo. USD LIBOR + 2.800%		1,514,504
		Morgan Stanley Mortgage Loan Trust
	2,647,809	Series 2005-9AR-2A 4.051%, 12/25/2035(f)		2,547,149
	3,133,012	Series 2006-11-2A2 6.000%, 08/25/2036		2,446,676
	397,044	Series 2006-7-3A 5.044%, 06/25/2036(f)		334,779
	261,332	Series 2007-13-6A1 6.000%, 10/25/2037		210,967
		Morgan Stanley Re-Remic Trust
	397,810	Series 2010-R9-3C 6.000%, 11/26/2036(c)(f)		409,705
		Motel 6 Trust
	1,218,120	Series 2017-M6MZ-M 8.666%, 08/15/2024(c)(g) 1 mo. USD LIBOR + 6.927%		1,239,664
		Newgate Funding Plc
	180,543 (EUR)	Series 2007-3X-A2B 0.204%, 12/15/2050(g) -1*3 mo. EURIBOR + 0.600%		197,144
		OBX Trust
	588,307	Series 2019-EXP3-1A8 3.500%, 10/25/2059(c)(f)		593,922
		Prime Mortgage Trust
	1,410,830	Series 2006-DR1-2A1 5.500%, 05/25/2035(c)		1,239,233
		Residential Accredit Loans, Inc.
	1,024,313	Series 2006-QS10-A9 6.500%, 08/25/2036		1,013,588
	636,688	Series 2006-QS14-A18 6.250%, 11/25/2036		573,419
	483,977	Series 2006-QS17-A5 6.000%, 12/25/2036		458,774
	489,788	Series 2006-QS2-1A4 5.500%, 02/25/2036		473,139
	578,350	Series 2006-QS7-A3 6.000%, 06/25/2036		537,988
	618,665	Series 2007-QS1-2A10 6.000%, 01/25/2037		574,386
	967,646	Series 2007-QS3-A1 6.500%, 02/25/2037		910,942
	2,169,616	Series 2007-QS6-A6 6.250%, 04/25/2037		2,088,814
	537,023	Series 2007-QS8-A8 6.000%, 06/25/2037		496,538
	1,608,890	Series 2007-QS9-A33 6.500%, 07/25/2037		1,529,880
		Residential Asset Securitization Trust
	177,751	Series 2005-A8CB-A9 5.375%, 07/25/2035		161,746
	288,096	Series 2006-A8-1A1 6.000%, 08/25/2036		249,425
	259,181	Series 2007-A1-A8 6.000%, 03/25/2037		151,176

Principal Amount^			Value
	$ 502,878	Series 2007-A5-2A5 6.000%, 05/25/2037	$	426,005
	16,208,413	Series 2007-A9-A1 2.342%, 09/25/2037(g) 1 mo. USD LIBOR + 0.550%		5,593,713
	16,208,413	Series 2007-A9-A2 4.658%, 09/25/2037(g)(k) -1*1 mo. USD LIBOR + 6.450%		5,478,742
		Residential Funding Mortgage Securities I Trust
	582,269	Series 2006-S4-A5 6.000%, 04/25/2036		577,319
		RMAC Securities No 1 Plc
	99,434 (EUR)	Series 2006-NS1X-A2C 0.000%, 06/12/2044(g) -1*3 mo. EURIBOR + 0.150%		107,424
		Sequoia Mortgage Trust
	268,541	Series 2018-CH1-A1 4.000%, 02/25/2048(c)(f)		273,557
	984,701	Series 2019-CH1-A1 4.500%, 03/25/2049(c)(f)		1,003,273
		SLIDE
	2,400,644	Series 2018-FUN-F 4.740%, 06/15/2031(c)(g) 1 mo. USD LIBOR + 3.000%		2,412,037
		Starwood Retail Property Trust
	235,000	Series 2014-STAR-C 4.490%, 11/15/2027(c)(g) 1 mo. USD LIBOR + 2.750%		232,795
	980,000	Series 2014-STAR-D 5.240%, 11/15/2027(c)(g) 1 mo. USD LIBOR + 3.500%		840,133
	950,000	Series 2014-STAR-E 6.140%, 11/15/2027(b)(c)(g) 1 mo. USD LIBOR + 4.400%		736,102
		Structured Adjustable Rate Mortgage Loan Trust
	810,209	Series 2005-14-A1 2.102%, 07/25/2035(g) 1 mo. USD LIBOR + 0.310%		645,115
	338,796	Series 2005-15-1A1 3.990%, 07/25/2035(f)		270,376
	421,113	Series 2005-22-3A1 4.117%, 12/25/2035(f)		358,647
	985,198	Series 2008-1-A2 3.951%, 10/25/2037(f)		888,034
		Structured Asset Mortgage Investments II Trust
	7,451,830	Series 2007-AR1-2A1 1.972%, 01/25/2037(g) 1 mo. USD LIBOR + 0.180%		7,218,396
		Structured Asset Securities Corp. Trust
	850,314	Series 2005-5-2A2 5.500%, 04/25/2035		797,758
	9,021,461	Series 2007-4-1A3 4.445%, 03/28/2045(c)(g)(k) -1*1 mo. LIBOR + 6.250%		1,438,319
		Tharaldson Hotel Portfolio Trust
	1,382,807	Series 2018-THL-F 5.663%, 11/11/2034(c)(g) 1 mo. USD LIBOR + 3.952%		1,390,042

The accompanying notes are an integral part of these financial statements.

66 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	MORTGAGE-BACKED SECURITIES (CONTINUED)
		UBS-Barclays Commercial Mortgage Trust
	$ 305,000	Series 2012-C2-E 4.890%, 05/10/2063(c)(f)	$	256,142
		Washington Mutual Mortgage Pass-Through Certificates Trust
	442,903	Series 2005-1-5A1 6.000%, 03/25/2035		451,822
	645,223	Series 2006-5-1A5 6.000%, 07/25/2036		615,525
	476,744	Series 2006-8-A6 4.297%, 10/25/2036(e)		259,185
	3,206,740	Series 2007-5-A3 7.000%, 06/25/2037		2,250,440
		Wells Fargo Alternative Loan Trust
	185,015	Series 2007-PA2-3A1 2.142%, 06/25/2037(g) 1 mo. USD LIBOR + 0.350%		133,364
	272,555	Series 2007-PA2-3A2 4.858%, 06/25/2037(g)(k) -1*1 mo. USD LIBOR + 6.650%		37,136
		Wells Fargo Commercial Mortgage Trust
	19,971,000	Series 2015-C28-XE 1.113%, 05/15/2048(c)(f)(k)		1,102,755
	750,000	Series 2016-C33-D 3.123%, 03/15/2059(c)		692,373
	1,225,000	Series 2019-JWDR-C 3.139%, 09/15/2031(c)(f)		1,203,180
		Wells Fargo Mortgage-Backed Securities Trust
	125,208	Series 2006-AR19-A1 4.346%, 12/25/2036(f)		121,652
		WFRBS Commercial Mortgage Trust
	155,000	Series 2011-C2-D 5.652%, 02/15/2044(c)(f)		157,855
	510,000	Series 2011-C3-D 5.683%, 03/15/2044(c)(f)		390,922
	500,000	Series 2012-C6-D 5.581%, 04/15/2045(c)(f)		524,943
	160,000	Series 2012-C7-C 4.813%, 06/15/2045(f)		163,490
	290,000	Series 2012-C7-E 4.813%, 06/15/2045(c)(f)		221,009
	TOTAL MORTGAGE-BACKED SECURITIES (Cost $332,294,626)			362,187,767
	MUNICIPAL BONDS: 0.2%
	Puerto Rico: 0.2%
		Commonwealth of Puerto Rico
	1,330,000	Series A 8.000%, 07/01/2035(i)		849,537
		Puerto Rico Commonwealth Aqueduct & Sewer Authority
	100,000	Series A 5.250%, 07/01/2029		104,775

Principal Amount^			Value
	Puerto Rico (continued)
	$ 311,000	Series A 5.125%, 07/01/2037	$	323,518
	890,000	Series A 5.250%, 07/01/2042		928,047
	280,000	Series A 6.000%, 07/01/2047		296,870
		Puerto Rico Public Buildings Authority
	675,000	Series U 5.250%, 07/01/2042(i)		526,500
		Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue
	21,000	Series A-1 0.000%, 07/01/2024(m)		18,458
	40,000	Series A-1 0.000%, 07/01/2027(m)		31,990
	39,000	Series A-1 0.000%, 07/01/2029(m)		28,988
	50,000	Series A-1 0.000%, 07/01/2031(m)		34,391
	56,000	Series A-1 0.000%, 07/01/2033(m)		35,696
	41,000	Series A-1 4.500%, 07/01/2034		43,852
	21,000	Series A-1 4.550%, 07/01/2040		21,794
	536,000	Series A-1 0.000%, 07/01/2046(m)		144,270
	437,000	Series A-1 0.000%, 07/01/2051(m)		85,836
	151,000	Series A-1 4.750%, 07/01/2053		158,025
	383,000	Series A-1 5.000%, 07/01/2058		407,332
	210,000	Series A-2 4.329%, 07/01/2040		213,406
	7,000	Series A-2 4.536%, 07/01/2053		7,171
	84,000	Series A-2 4.784%, 07/01/2058		87,456
	TOTAL MUNICIPAL BONDS (Cost $2,709,386)			4,347,912
	SHORT-TERM INVESTMENTS: 11.3%
	TREASURY BILLS: 2.2%
		United States Treasury Bill
	3,550,000	1.770%, 04/23/2020(n)		3,530,778
	2,190,000	1.986%, 07/16/2020(a)(n)		2,166,960
	5,290,000	1.559%, 09/10/2020(n)		5,233,528
	5,295,000	1.568%, 10/08/2020(n)		5,231,930
	26,000,000	1.506%, 11/05/2020(a)(n)		25,666,037
	TOTAL TREASURY BILLS (Cost $41,829,318)			41,829,233

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 67

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	REPURCHASE AGREEMENTS : 9.1%
	$170,800,000	Fixed Income Clearing Corp. 0.120%, 12/31/2019, due 01/02/2020 [collateral: par value $92,840,000 U.S. Treasury Note, 2.750%, due 09/15/2021, value $95,379,423; par value $70,865,000 U.S. Treasury Bond, 2.875%, due 08/15/2045, value $78,877,460] (proceeds $170,801,139)	$	170,800,000
	TOTAL REPURCHASE AGREEMENTS (Cost $170,800,000)			170,800,000
	TOTAL SHORT-TERM INVESTMENTS (Cost $212,629,318)			212,629,233
	TOTAL PURCHASED OPTIONS(o) (Cost $252,540): 0.0%			146,012
	TOTAL INVESTMENTS BEFORE INVESTMENTS SOLD SHORT (Cost $1,747,696,239): 98.8%			1,845,198,818
	Other Assets in Excess of Liabilities: 1.2%			23,118,636
	NET ASSETS: 100.0%		$	1,868,317,454

Percentages are stated as a percent of net assets.

ADR American Depositary Receipt

BADLARPP Argentina Badlar Floating Rate Notes

CLO Collateralized Loan Obligation

CMT Constant Maturity Treasury Index

ETF Exchange Traded Fund

EURIBOR Euro Interbank Offered Rate

LIBOR London Interbank Offered Rate

L.P. Limited Partnership

PIK Payment-in-kind

REMICS Real Estate Mortgage Investment Conduit

SOFRRATE Secured Overnight Financing Rate

* Non-Income Producing Security.

^ The principal amount is stated in U.S. Dollars unless otherwise indicated.

(a) Securities with an aggregate fair value of $242,200,689 have been pledged as collateral for options, total return swaps, credit default swaps, securities sold short and futures positions.

(b) Security is valued using significant unobservable inputs in good faith in accordance with procedures approved by the Board of Trustees.

(c) Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under Securities Act of 1933.

(d) Perpetual Call.

(e) Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at December 31, 2019.

(f) Variable rate security. Interest rate or distribution rate disclosed is that which is in effect at December 31, 2019.

(g) Floating Interest Rate at December 31, 2019.

(h) This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date.

(i) Security is currently in default and/or non-income producing.

(j) Pay-in-kind securities.

(k) Interest Only security. Security with a notional or nominal principal amount.

(l) Principal Only security.

(m) Issued with a zero coupon. Income is recognized through the accretion of discount.

(n) The rate shown represents yield-to-maturity.

(o) For a breakout of open positions, see details shown in the Schedule of Purchased Options table that follows.

CURRENCY ABBREVIATIONS:

ARS Argentine Peso

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

COP Colombian Peso

EUR Euro

GBP British Pound

HUF Hungary Forint

MYR Malaysian Ringgit

NOK Norwegian Krone

SGD Singapore Dollar

THB Thai Baht

USD U.S. Dollar

ZAR South African Rand

UNFUNDED LOAN COMMITMENTS — At December 31, 2019, the Fund had unfunded loan commitments which could be extended at the option of the borrowers, pursuant to the following agreements:

Borrower	Principal Amount		Current Value		Unrealized Gain (Loss)
McDermott Technology Americas, Inc., 7.559%, 10/21/2021	$	61,488	$	62,948	$	1,460

The accompanying notes are an integral part of these financial statements.

68 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF PURCHASED OPTIONS at December 31, 2019

Description	Counterparty	Exercise Price		Expiration Date		Number of Contracts		Notional Amount		Market Value		Premiums Paid		Unrealized Appreciation/ (Depreciation)
COMMON STOCKS
Call
Northern Oil And Gas, Inc.	Goldman Sachs & Co.	$	2.00		3/20/2020		458	$	107,172	$	20,610	$	9,544	$	11,066
Stars Group, Inc. (The)	Goldman Sachs & Co.		22.50		2/21/2020		106		276,554		42,400		9,057		33,343
Xerox Holdings Corp.	Goldman Sachs & Co.		40.00		1/17/2020		708		2,610,396		7,080		98,403		(91,323	)
Put
Front Yard Residential Corp.	Goldman Sachs & Co.		10.00		1/17/2020		566		698,444		2,830		8,670		(5,840	)
iShares iBoxx High Yield Corp.	Morgan Stanley & Co.		86.00		3/20/2020		1,490		13,103,060		71,520		81,348		(9,828	)
Lowe’s Cos., Inc.	Goldman Sachs & Co.		100.00		1/17/2020		99		1,185,624		396		27,212		(26,816	)
Nortonlifelock, Inc.	Goldman Sachs & Co.		20.00		1/17/2020		146		372,592		292		8,141		(7,849	)
Tiffany & Co.	Goldman Sachs & Co.		110.00		2/21/2020		57		761,805		884		10,165		(9,281	)
Total Purchased Options										$	146,012	$	252,540	$	(106,528	)

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 69

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF SECURITIES SOLD SHORT at December 31, 2019

Shares			Value
	COMMON STOCKS: (1.9)%
	(27,372)	AbbVie, Inc.	$	(2,423,517	)
	(4,312)	Bayerische Motoren Werke AG		(354,061	)
	(780)	Beacon Roofing Supply, Inc.*		(24,944	)
	(1,496)	Builders FirstSource, Inc.*		(38,013	)
	(374,541)	Centene Corp.*		(23,547,393	)
	(5,517)	Daimler AG		(305,781	)
	(23,965)	Discovery, Inc. Class A*		(784,614	)
	(3,549)	Fastenal Co.		(131,136	)
	(16,825)	Fiat Chrysler Automobiles N.V.		(249,216	)
	(34,023)	Ford Motor Co.		(316,414	)
	(10,301)	General Motors Co.		(377,017	)
	(13,780)	Honda Motor Co. Ltd.		(392,990	)
	(442)	MSC Industrial Direct Co., Inc. Class A		(34,684	)
	(11,535)	Nielsen Holdings Plc		(234,160	)
	(43,904)	Northern Oil and Gas, Inc.*		(102,735	)
	(8,508)	Pennsylvania Real Estate Investment Trust		(45,348	)
	(9,547)	Peugeot S.A.		(228,292	)
	(1,994)	PPG Industries, Inc.		(266,179	)
	(2,588)	Renault S.A.		(122,550	)
	(3,365)	RPM International, Inc.		(258,297	)
	(457)	Sherwin-Williams Co. (The)		(266,678	)
	(10,568)	Stars Group, Inc. (The)*		(275,719	)
	(618)	Tesla, Inc.*		(258,528	)
	(7,260)	Toyota Motor Corp.		(515,379	)
	(1,050)	United Rentals, Inc.*		(175,108	)
	(708)	Watsco, Inc.		(127,546	)
	(34,483)	WESCO International, Inc.*		(2,047,945	)
	(1,427)	WW Grainger, Inc.		(483,068	)
	(6,586)	Xerox Holdings Corp.		(242,826	)
	(19,205)	Zayo Group Holdings, Inc.*		(665,453	)
	TOTAL COMMON STOCKS (Proceeds $30,822,821)			(35,295,591	)
	EXCHANGE-TRADED FUNDS: (1.1)%
	(11,536)	iShares Core S&P 500 ETF		(3,728,897	)
	(18,514)	iShares Russell 1000 ETF		(3,303,268	)
	(16,794)	iShares US Financials ETF		(2,313,877	)
	(127,747)	SPDR S&P Regional Banking ETF		(7,441,263	)
	(30,902)	Vanguard Financials ETF		(2,357,204	)
	(6,903)	Vanguard Utilities ETF		(986,370	)
	TOTAL EXCHANGE-TRADED FUNDS (Proceeds $18,813,634)			(20,130,879	)

Principal Amount^			Value
	CORPORATE BONDS: (0.1)%
		Dell International LLC/EMC Corp.
	$(450,000)	7.125%, 06/15/2024(c)	$	(475,313	)
		Gray Television, Inc.
	(556,000)	5.125%, 10/15/2024(c)		(578,009	)
		Gray Television, Inc.
	(362,000)	5.875%, 07/15/2026(c)		(385,747	)
		Western Digital Corp.
	(848,000)	4.750%, 02/15/2026		(885,630	)
	TOTAL CORPORATE BONDS (Proceeds $2,257,404)			(2,324,699	)
	TOTAL SECURITIES SOLD SHORT (Proceeds $51,893,859)		$	(57,751,169	)

The accompanying notes are an integral part of these financial statements.

70 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS at December 31, 2019

At December 31, 2019, the Fund had the following forward foreign currency exchange contracts:

									Asset Derivatives		Liability Derivatives
Counterparty	Settlement Date		Fund Receiving	U.S. $ Value at December 31, 2019		Fund Delivering	U.S. $ Value at December 31, 2019		Unrealized Appreciation		Unrealized Depreciation
Bank of America N.A.		1/15/2020	NOK	$	3,444,753	USD	$	3,319,163	$	125,590	$	—
		1/21/2020	USD		495,851	CAD		505,267		—		(9,416	)
		2/21/2020	USD		724,564	EUR		731,962		—		(7,398	)
Barclays Bank Plc		1/21/2020	USD		554,303	EUR		556,340		—		(2,037	)
		3/16/2020	MYR		3,543,924	USD		3,488,540		55,384		—
Citibank N.A.		1/30/2020	BRL		1,739,854	USD		1,749,719		—		(9,865	)
		2/18/2020	USD		7,035,711	SGD		7,127,243		—		(91,532	)
Credit Suisse International		1/2/2020	USD		1,890,865	COP		2,002,133		—		(111,268	)
Deutsche Bank AG		1/31/2020	GBP		590,950	USD		575,344		15,606		—
		1/31/2020	USD		618,624	EUR		623,039		—		(4,415	)
		1/31/2020	USD		1,854,337	GBP		1,909,631		—		(55,294	)
Goldman Sachs & Co.		3/16/2020	EUR		6,146,889	USD		6,101,437		45,452		—
		3/16/2020	USD		7,968,672	EUR		8,029,165		—		(60,493	)
		3/16/2020	USD		9,923,768	GBP		10,002,722		—		(78,954	)
		3/16/2020	USD		3,228,512	ZAR		3,380,263		—		(151,751	)
HSBC Holdings Plc		1/22/2020	AUD		1,772,404	USD		1,729,914		42,490		—
		1/22/2020	AUD		1,723,171	USD		1,689,383		33,788		—
JPMorgan Chase Bank N.A.		1/10/2020	EUR		979,840	USD		967,842		11,998		—
		1/10/2020	EUR		780,068	USD		773,883		6,185		—
		1/10/2020	EUR		938,570	USD		934,142		4,428		—
		1/10/2020	USD		256,499	EUR		256,871		—		(372	)
		1/10/2020	USD		207,369	EUR		208,557		—		(1,188	)
		1/10/2020	USD		114,116	EUR		115,356		—		(1,240	)
		1/10/2020	USD		136,416	EUR		138,478		—		(2,062	)
		1/10/2020	USD		398,291	EUR		401,607		—		(3,316	)
		1/10/2020	USD		232,739	EUR		236,657		—		(3,918	)
		1/10/2020	USD		538,799	EUR		543,945		—		(5,146	)
		1/10/2020	USD		1,068,335	EUR		1,074,369		—		(6,034	)
		1/10/2020	USD		516,605	EUR		522,929		—		(6,324	)
		1/10/2020	USD		752,599	EUR		761,033		—		(8,434	)
		1/10/2020	USD		927,476	EUR		937,286		—		(9,810	)
		1/10/2020	USD		3,525,037	EUR		3,537,826		—		(12,789	)
		1/10/2020	USD		1,656,106	EUR		1,677,205		—		(21,099	)
Morgan Stanley & Co.		1/2/2020	COP		2,002,133	USD		1,976,653		25,480		—
		1/31/2020	USD		5,096,827	ZAR		5,374,725		—		(277,898	)
		4/7/2020	USD		1,966,536	COP		1,991,679		—		(25,143	)
UBS AG		1/15/2020	HUF		1,304,264	USD		1,281,073		23,191		—
		1/15/2020	HUF		484,686	USD		476,843		7,843		—
		1/22/2020	USD		3,599,584	THB		3,643,317		—		(43,733	)
				$	80,740,047		$	81,353,541	$	397,435	$	(1,010,929	)

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 71

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF FINANCIAL FUTURES CONTRACTS at December 31, 2019

Description	Number of Contracts			Notional Amount			Notional Value			Expiration Date		Unrealized Appreciation/ (Depreciation)
Futures Contracts – Long
2YR U.S. Treasury Notes		534		$	106,800,000		$	115,077,000			3/31/2020	$	(13,025	)
Total Long												$	(13,025	)
Futures Contracts – Short
5YR U.S. Treasury Notes		(1,200	)	$	(120,000,000	)	$	(142,331,250	)		3/31/2020	$	399,241
10YR U.S. Treasury Notes		(54	)		(5,400,000	)		(6,934,781	)		3/20/2020		(6,342	)
Ultra-Long U.S. Treasury Bonds		(46	)		(4,600,000	)		(8,356,187	)		3/20/2020		(845	)
Ultra 10YR U.S. Treasury Notes		(132	)		(13,200,000	)		(18,572,813	)		3/20/2020		133,275
Total Short												$	525,329
Total Futures Contracts												$	512,304

SCHEDULE OF SWAPS at December 31, 2019

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)
Description	Maturity Date		Fixed Deal (Pay) Rate			Implied Credit Spread at December 31, 2019			Notional Amount(4)			Periodic Payment Frequency	Fair Value			Upfront Premiums Paid / (Received)			Unrealized Appreciation / (Depreciation)
Buy Protection
Accor S.A. 2.625%, 02/05/2021		12/20/2024		(1.000	%)		0.596	%	EUR	(150,000	)	Quarterly	$	(3,363	)	$	(3,106	)	$	(257	)
Akzo Nobel N.V. 1.750%, 11/07/2024		12/20/2024		(1.000	%)		0.270	%		(2,100,000	)	Quarterly		(86,258	)		(75,014	)		(11,244	)
Ally Financial, Inc. 7.500%, 09/15/2020		12/20/2024		(5.000	%)		0.707	%	$	(7,800,000	)	Quarterly		(1,569,341	)		(1,534,612	)		(34,729	)
Alstom S.A. 3.000%, 07/08/2019		12/20/2024		(1.000	%)		0.315	%	EUR	(2,000,000	)	Quarterly		(77,013	)		(70,561	)		(6,452	)
American Axle & Manufacturing, Inc. 6.625%, 10/15/2022		12/20/2024		(5.000	%)		2.739	%	$	(11,000,000	)	Quarterly		(1,074,456	)		(9,821	)		(1,064,635	)
American International Group, Inc. 6.250%, 05/01/2036		12/20/2024		(1.000	%)		0.606	%		(150,000	)	Quarterly		(2,782	)		(2,313	)		(469	)
Amgen, Inc. 3.625%, 05/22/2024		12/20/2024		(1.000	%)		0.371	%		(100,000	)	Quarterly		(2,988	)		(2,946	)		(42	)
Amkor Technology, Inc. 6.625%, 09/15/2027		12/20/2024		(5.000	%)		0.656	%		(2,900,000	)	Quarterly		(591,695	)		(580,177	)		(11,518	)
Anheuser-Busch InBev S.A. 4.000%, 06/02/2021		12/20/2024		(1.000	%)		0.440	%	EUR	(2,150,000	)	Quarterly		(67,245	)		(66,050	)		(1,195	)
Apache Corp. 3.250%, 04/15/2022		12/20/2024		(1.000	%)		1.299	%	$	(11,800,000	)	Quarterly		161,264			403,495			(242,231	)
ArcelorMittal S.A. 2.875%, 07/06/2020		12/20/2024		(5.000	%)		1.444	%	EUR	(8,700,000	)	Quarterly		(1,658,528	)		(1,585,254	)		(73,274	)
Assicurazioni Generali SpA 5.125%, 09/16/2024		12/20/2024		(1.000	%)		0.649	%		(150,000	)	Quarterly		(2,915	)		(3,337	)		422
AT&T, Inc. 2.450%, 06/30/2020		12/20/2024		(1.000	%)		0.669	%	$	(250,000	)	Quarterly		(3,881	)		(2,651	)		(1,230	)

The accompanying notes are an integral part of these financial statements.

72 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF SWAPS at December 31, 2019 (Continued)

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)
Description	Maturity Date		Fixed Deal (Pay) Rate			Implied Credit Spread at December 31, 2019			Notional Amount(4)		Periodic Payment Frequency	Fair Value			Upfront Premiums Paid / (Received)			Unrealized Appreciation / (Depreciation)
Buy Protection (Continued)
AutoZone, Inc. 2.500%, 04/15/2021		12/20/2024		(1.000	%)		0.313	%	$	(2,900,000)	Quarterly	$	(94,833	)	$	(93,217	)	$	(1,616	)
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 5.250%, 03/15/2025		12/20/2024		(5.000	%)		1.990	%		(300,000)	Quarterly		(40,187	)		(37,637	)		(2,550	)
Avnet, Inc. 4.875%, 12/10/2022		12/20/2024		(1.000	%)		0.775	%		(7,050,000)	Quarterly		(74,137	)		(12,620	)		(61,517	)
Bank of America Corp. 2.369%, 07/21/2021		12/20/2024		(1.000	%)		0.361	%		(4,750,000)	Quarterly		(144,357	)		(130,881	)		(13,476	)
Bayer AG 1.875%, 01/25/2021		12/20/2024		(1.000	%)		0.603	%	EUR	(10,050,000)	Quarterly		(221,494	)		(181,290	)		(40,204	)
Beazer Homes USA, Inc. 6.750%, 03/15/2025		12/20/2024		(5.000	%)		1.958	%	$	(500,000)	Quarterly		(67,781	)		(63,631	)		(4,150	)
Berkshire Hathaway, Inc. 2.750%, 03/15/2023		12/20/2024		(1.000	%)		0.326	%		(100,000)	Quarterly		(3,208	)		(3,079	)		(129	)
Best Buy Co., Inc. 5.500%, 03/15/2021		12/20/2024		(5.000	%)		0.525	%		(9,150,000)	Quarterly		(1,933,555	)		(1,855,592	)		(77,963	)
Block Financial LLC 5.500%, 11/01/2022		12/20/2024		(5.000	%)		0.698	%		(9,300,000)	Quarterly		(1,875,965	)		(1,894,443	)		18,478
Boeing Co. (The) 8.750%, 08/15/2021		12/20/2024		(1.000	%)		0.528	%		(6,300,000)	Quarterly		(140,339	)		(135,793	)		(4,546	)
Bouygues S.A. 4.250%, 07/22/2020		12/20/2024		(1.000	%)		0.199	%	EUR	(5,950,000)	Quarterly		(269,026	)		(250,973	)		(18,053	)
British Telecommunications Plc 5.750%, 12/07/2028		12/20/2024		(1.000	%)		0.682	%	EUR	(4,300,000)	Quarterly		(75,543	)		(52,688	)		(22,855	)
Campbell Soup Co. 4.250%, 04/15/2021		12/20/2024		(1.000	%)		0.588	%	$	(100,000)	Quarterly		(1,940	)		(1,939	)		(1	)
Canadian Natural Resources Ltd. 3.450%, 11/15/2021		12/20/2024		(1.000	%)		0.550	%		(2,250,000)	Quarterly		(47,754	)		(42,771	)		(4,983	)
Carnival Corp. 6.650%, 01/15/2028		12/20/2024		(1.000	%)		0.329	%		(10,950,000)	Quarterly		(350,461	)		(308,341	)		(42,120	)
Carrefour S.A. 1.250%, 06/03/2025		12/20/2024		(1.000	%)		0.667	%	EUR	(2,300,000)	Quarterly		(42,434	)		(35,723	)		(6,711	)
CDX North America High Yield Index Series 33 5.000%, 12/20/2024		12/20/2024		(5.000	%)		2.805	%	$	(94,050,000)	Quarterly		(9,062,875	)		(6,019,200	)		(3,043,675	)
CDX North America Investment Grade Index Series 33 1.000%, 12/20/2024		12/20/2024		(1.000	%)		0.453	%		(80,000,000)	Quarterly		(2,074,588	)		(1,563,272	)		(511,316	)
Centrica Plc 6.375%, 03/10/2022		12/20/2024		(1.000	%)		0.842	%	EUR	(10,400,000)	Quarterly		(90,205	)		152,451			(242,656	)

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 73

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF SWAPS at December 31, 2019 (Continued)

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)
Description	Maturity Date		Fixed Deal (Pay) Rate			Implied Credit Spread at December 31, 2019			Notional Amount(4)		Periodic Payment Frequency	Fair Value			Upfront Premiums Paid / (Received)			Unrealized Appreciation / (Depreciation)
Buy Protection (Continued)
CenturyLink, Inc. 7.500%, 04/01/2024		12/20/2024		(1.000	%)		2.162	%	$	(11,300,000)	Quarterly	$	579,931		$	916,044		$	(336,113	)
CIT Group, Inc. 5.000%, 08/15/2022		12/20/2024		(5.000	%)		0.519	%		(9,150,000)	Quarterly		(1,936,489	)		(1,846,429	)		(90,060	)
CNH Industrial Finance Europe S.A. 2.875%, 05/17/2023		12/20/2024		(5.000	%)		0.843	%	EUR	(2,650,000)	Quarterly		(605,535	)		(600,268	)		(5,267	)
Comcast Corp. 3.700%, 04/15/2024		12/20/2024		(1.000	%)		0.346	%	$	(200,000)	Quarterly		(6,217	)		(6,420	)		203
Commerzbank AG 4.000%, 09/16/2020		12/20/2024		(1.000	%)		0.685	%	EUR	(10,100,000)	Quarterly		(175,840	)		(150,313	)		(25,527	)
Conagra Brands, Inc. 7.000%, 10/01/2028		12/20/2024		(1.000	%)		0.605	%	$	(7,900,000)	Quarterly		(147,006	)		(85,365	)		(61,641	)
Continental AG 3.125%, 09/09/2020		12/20/2024		(1.000	%)		0.606	%	EUR	(11,700,000)	Quarterly		(256,027	)		(181,402	)		(74,625	)
Credit Suisse Group AG 4.282%, 01/09/2028		12/20/2024		(1.000	%)		0.415	%		(2,000,000)	Quarterly		(65,498	)		(53,918	)		(11,580	)
CSC Holdings LLC 10.875%, 10/15/2025		12/20/2024		(5.000	%)		0.793	%	$	(850,000)	Quarterly		(166,988	)		(164,877	)		(2,111	)
Danske Bank A/S 0.875%, 05/22/2023		12/20/2024		(1.000	%)		0.778	%	EUR	(10,200,000)	Quarterly		(124,529	)		(99,013	)		(25,516	)
Darden Restaurants, Inc. 3.850%, 05/01/2027		12/20/2024		(1.000	%)		0.269	%	$	(10,800,000)	Quarterly		(376,913	)		(339,765	)		(37,148	)
Dell, Inc. 7.100%, 04/15/2028		12/20/2024		(1.000	%)		1.515	%		(10,850,000)	Quarterly		253,262			504,364			(251,102	)
Deutsche Lufthansa AG 1.125%, 09/12/2019		12/20/2024		(1.000	%)		0.533	%	EUR	(10,100,000)	Quarterly		(262,494	)		(133,422	)		(129,072	)
Devon Energy Corp. 7.950%, 04/15/2032		12/20/2024		(1.000	%)		0.697	%	$	(11,200,000)	Quarterly		(159,327	)		73,967			(233,294	)
Diamond Offshore Drilling, Inc. 3.450%, 11/01/2023		12/20/2024		(1.000	%)		6.632	%		(1,300,000)	Quarterly		271,921			338,000			(66,079	)
DISH DBS Corp. 6.750%, 06/01/2021		12/20/2024		(5.000	%)		3.571	%		(400,000)	Quarterly		(23,905	)		(20,291	)		(3,614	)
Domtar Corp. 4.400%, 04/01/2022		12/20/2024		(1.000	%)		0.769	%		(11,200,000)	Quarterly		(121,197	)		(16,498	)		(104,699	)
DR Horton, Inc. 4.750%, 02/15/2023		12/20/2024		(1.000	%)		0.425	%	$	(150,000)	Quarterly		(4,093	)		(3,930	)		(163	)
DXC Technology Co. 4.450%, 09/18/2022		12/20/2024		(5.000	%)		1.277	%		(9,650,000)	Quarterly		(1,645,374	)		(1,610,873	)		(34,501	)
Eastman Chemical Co. 7.600%, 02/01/2027		12/20/2024		(1.000	%)		0.582	%		(9,250,000)	Quarterly		(182,092	)		(155,304	)		(26,788	)
Electricite de France S.A. 5.625%, 02/21/2033		12/20/2024		(1.000	%)		0.487	%	EUR	(10,000,000)	Quarterly		(285,925	)		(237,343	)		(48,582	)
Electrolux AB 1.000%, 12/05/2019		12/20/2024		(1.000	%)		0.193	%		(9,800,000)	Quarterly		(446,921	)		(427,835	)		(19,086	)

The accompanying notes are an integral part of these financial statements.

74 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF SWAPS at December 31, 2019 (Continued)

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)
Description	Maturity Date		Fixed Deal (Pay) Rate			Implied Credit Spread at December 31, 2019			Notional Amount(4)		Periodic Payment Frequency	Fair Value			Upfront Premiums Paid / (Received)			Unrealized Appreciation / (Depreciation)
Buy Protection (Continued)
Enbridge, Inc. 3.500%, 06/10/2024		12/20/2024		(1.000	%)		0.537	%	$	(100,000)	Quarterly	$	(2,186	)	$	(1,445	)	$	(741	)
Encana Corp. 3.900%, 11/15/2021		12/20/2024		(1.000	%)		1.246	%		(11,600,000)	Quarterly		130,660			422,722			(292,062	)
Enel SpA 5.250%, 05/20/2024		12/20/2024		(1.000	%)		0.584	%	EUR	(200,000)	Quarterly		(4,622	)		(4,754	)		132
Expedia Group, Inc. 4.500%, 08/15/2024		12/20/2024		(1.000	%)		0.688	%	$	(10,950,000)	Quarterly		(160,099	)		(157,568	)		(2,531	)
FirstEnergy Corp. 7.375%, 11/15/2031		12/20/2024		(1.000	%)		0.320	%		(2,750,000)	Quarterly		(89,053	)		(84,381	)		(4,672	)
Ford Motor Co. 4.346%, 12/08/2026		12/20/2024		(5.000	%)		1.472	%		(150,000)	Quarterly		(24,044	)		(22,031	)		(2,013	)
Freeport-McMoRan, Inc. 3.550%, 03/01/2022		12/20/2024		(1.000	%)		1.125	%		(6,400,000)	Quarterly		36,661			415,746			(379,085	)
General Electric Co. 2.700%, 10/09/2022		12/20/2024		(1.000	%)		0.856	%		(200,000)	Quarterly		(1,345	)		(383	)		(962	)
General Motors Co. 4.875%, 10/02/2023		12/20/2024		(5.000	%)		1.005	%		(3,200,000)	Quarterly		(591,991	)		(586,546	)		(5,445	)
Glencore Finance Europe Ltd. 3.375%, 09/30/2020		12/20/2024		(5.000	%)		1.263	%	EUR	(8,700,000)	Quarterly		(1,756,215	)		(1,655,816	)		(100,399	)
Goodyear Tire & Rubber Co. (The) 5.000%, 05/31/2026		12/20/2024		(5.000	%)		1.502	%	$	(11,850,000)	Quarterly		(1,880,818	)		(1,004,812	)		(876,006	)
Halliburton Co. 8.750%, 02/15/2021		12/20/2024		(1.000	%)		0.608	%		(11,200,000)	Quarterly		(206,641	)		(30,581	)		(176,060	)
HCA, Inc. 7.500%, 02/15/2022		12/20/2024		(5.000	%)		0.541	%		(7,050,000)	Quarterly		(1,483,389	)		(1,342,382	)		(141,007	)
Hess Corp. 3.500%, 07/15/2024		12/20/2024		(1.000	%)		0.698	%		(7,550,000)	Quarterly		(107,097	)		(59,041	)		(48,056	)
Host Hotels & Resorts L.P. 4.750%, 03/01/2023		12/20/2024		(1.000	%)		0.428	%		(11,050,000)	Quarterly		(299,514	)		(221,752	)		(77,762	)
HSBC Holdings Plc 0.875%, 09/06/2024		12/20/2024		(1.000	%)		0.492	%	EUR	(9,850,000)	Quarterly		(278,896	)		(271,172	)		(7,724	)
Imperial Brands Finance Plc 1.375%, 01/27/2025		12/20/2024		(1.000	%)		0.862	%		(10,100,000)	Quarterly		(76,391	)		67,976			(144,367	)
ING Groep N.V. 0.750%, 03/09/2022		12/20/2024		(1.000	%)		0.382	%		(6,650,000)	Quarterly		(230,357	)		(163,735	)		(66,622	)
International Paper Co. 7.500%, 08/15/2021		12/20/2024		(1.000	%)		0.389	%	$	(11,050,000)	Quarterly		(320,872	)		(234,235	)		(86,637	)
ITV Plc 2.125%, 09/21/2022		12/20/2024		(5.000	%)		0.913	%	EUR	(250,000)	Quarterly		(56,007	)		(53,217	)		(2,790	)
KB Home 7.000%, 12/15/2021		12/20/2024		(5.000	%)		1.097	%	$	(200,000)	Quarterly		(36,010	)		(37,088	)		1,078
Kinder Morgan, Inc. 3.050%, 12/01/2019		12/20/2024		(1.000	%)		0.587	%		(150,000)	Quarterly		(2,918	)		(2,381	)		(537	)

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 75

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF SWAPS at December 31, 2019 (Continued)

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)
Description	Maturity Date		Fixed Deal (Pay) Rate			Implied Credit Spread at December 31, 2019			Notional Amount(4)		Periodic Payment Frequency	Fair Value			Upfront Premiums Paid / (Received)			Unrealized Appreciation / (Depreciation)
Buy Protection (Continued)
Kohl’s Corp. 4.250%, 07/17/2025		12/20/2024		(1.000	%)		1.164	%	$	(13,550,000)	Quarterly	$	101,732		$	274,172		$	(172,440	)
Koninklijke KPN N.V. 5.625%, 09/30/2024		12/20/2024		(1.000	%)		0.647	%	EUR	(300,000)	Quarterly		(5,868	)		(5,106	)		(762	)
L Brands, Inc. 5.625%, 10/15/2023		12/20/2024		(1.000	%)		2.994	%	$	(12,450,000)	Quarterly		1,060,395			1,356,557			(296,162	)
LafargeHolcim Ltd. 3.000%, 11/22/2022		12/20/2024		(1.000	%)		0.629	%	EUR	(100,000)	Quarterly		(2,056	)		(1,860	)		(196	)
Lennar Corp. 4.750%, 04/01/2021		12/20/2024		(5.000	%)		0.758	%	$	(100,000)	Quarterly		(19,843	)		(20,500	)		657
Liberty Interactive LLC 8.500%, 07/15/2029		12/20/2024		(5.000	%)		2.036	%		(4,750,000)	Quarterly		(625,372	)		(878,508	)		253,136
Macy’s Retail Holdings, Inc. 3.450%, 01/15/2021		12/20/2024		(1.000	%)		1.669	%		(11,900,000)	Quarterly		358,329			633,984			(275,655	)
Marks & Spencer Plc 3.000%, 12/08/2023		12/20/2024		(1.000	%)		1.682	%	EUR	(10,800,000)	Quarterly		391,308			742,484			(351,176	)
MBIA, Inc. 6.625%, 10/01/2028		12/20/2024		(5.000	%)		1.318	%	$	(300,000)	Quarterly		(50,490	)		(52,450	)		1,960
McKesson Corp. 7.650%, 03/01/2027		12/20/2024		(1.000	%)		0.814	%		(7,500,000)	Quarterly		(65,275	)		(77,812	)		12,537
MDC Holdings, Inc. 5.500%, 01/15/2024		12/20/2024		(1.000	%)		0.705	%		(7,250,000)	Quarterly		(100,283	)		(79,271	)		(21,012	)
Mediobanca Banca di Credito Finanziario SpA 0.750%, 02/17/2020		12/20/2024		(1.000	%)		0.783	%	EUR	(200,000)	Quarterly		(2,395	)		(1,903	)		(492	)
Meritor, Inc. 6.250%, 02/15/2024		12/20/2024		(5.000	%)		1.025	%	$	(8,400,000)	Quarterly		(1,544,702	)		(1,267,586	)		(277,116	)
MetLife, Inc. 3.600%, 11/13/2025		12/20/2024		(1.000	%)		0.491	%		(300,000)	Quarterly		(7,227	)		(5,531	)		(1,696	)
METRO AG 1.375%, 10/28/2021		12/20/2024		(1.000	%)		1.529	%	EUR	(10,500,000)	Quarterly		297,087			283,158			13,929
Motorola Solutions, Inc. 7.500%, 05/15/2025		12/20/2024		(1.000	%)		0.552	%	$	(100,000)	Quarterly		(2,111	)		(1,929	)		(182	)
National Grid Plc 4.375%, 03/10/2020		12/20/2024		(1.000	%)		0.408	%	EUR	(200,000)	Quarterly		(6,630	)		(5,639	)		(991	)
Navient Corp. 5.500%, 01/25/2023		12/20/2024		(5.000	%)		1.981	%	$	(250,000)	Quarterly		(33,597	)		(33,742	)		145
Newell Brands, Inc. 3.850%, 04/01/2023		12/20/2024		(1.000	%)		1.005	%		(2,600,000)	Quarterly		585			8,483			(7,898	)
Next Group Plc 5.375%, 10/26/2021		12/20/2024		(1.000	%)		0.756	%	EUR	(350,000)	Quarterly		(4,717	)		(197	)		(4,520	)
Nokia Oyj 1.000%, 03/15/2021		12/20/2024		(5.000	%)		1.007	%		(8,400,000)	Quarterly		(1,830,966	)		(1,937,256	)		106,290
Nordstrom, Inc. 6.950%, 03/15/2028		12/20/2024		(1.000	%)		1.111	%	$	(15,900,000)	Quarterly		80,715			792,638			(711,923	)
Olin Corp. 5.500%, 08/15/2022		12/20/2024		(1.000	%)		1.173	%		(11,700,000)	Quarterly		92,908			318,902			(225,994	)

The accompanying notes are an integral part of these financial statements.

76 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF SWAPS at December 31, 2019 (Continued)

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)
Description	Maturity Date		Fixed Deal (Pay) Rate			Implied Credit Spread at December 31, 2019			Notional Amount(4)		Periodic Payment Frequency	Fair Value			Upfront Premiums Paid / (Received)			Unrealized Appreciation / (Depreciation)
Buy Protection (Continued)
Omnicom Group, Inc./Omnicom Capital, Inc. 4.450%, 08/15/2020		12/20/2024		(1.000	%)		0.315	%	$	(4,600,000)	Quarterly	$	(150,071	)	$	(143,888	)	$	(6,183	)
Pearson Funding Plc 1.375%, 05/06/2025		12/20/2024		(1.000	%)		0.688	%	EUR	(9,950,000)	Quarterly		(171,545	)		(158,148	)		(13,397	)
Peugeot S.A. 2.375%, 04/14/2023		12/20/2024		(5.000	%)		0.807	%		(7,050,000)	Quarterly		(1,627,134	)		(1,628,933	)		1,799
PostNL N.V. 1.000%, 11/21/2024		12/20/2024		(1.000	%)		0.605	%		(10,150,000)	Quarterly		(222,279	)		(155,943	)		(66,336	)
Publicis Groupe S.A. 1.125%, 12/16/2021		12/20/2024		(1.000	%)		0.677	%	EUR	(10,050,000)	Quarterly		(179,527	)		(193,966	)		14,439
PulteGroup, Inc. 7.875%, 06/15/2032		12/20/2024		(5.000	%)		0.647	%	$	(150,000)	Quarterly		(30,674	)		(31,570	)		896
Renault S.A. 3.125%, 03/05/2021		12/20/2024		(1.000	%)		1.110	%	EUR	(10,200,000)	Quarterly		61,306			(13,159	)		74,465
Rexel S.A. 2.125%, 06/15/2025		12/20/2024		(5.000	%)		0.864	%		(8,350,000)	Quarterly		(1,896,855	)		(1,830,881	)		(65,974	)
Rolls-Royce Plc 2.125%, 06/18/2021		12/20/2024		(1.000	%)		0.994	%		(10,050,000)	Quarterly		(3,332	)		(46,434	)		43,102
Royal Bank of Scotland Group Plc 2.000%, 03/04/2025		12/20/2024		(1.000	%)		0.591	%		(4,850,000)	Quarterly		(110,264	)		27,211			(137,475	)
Ryder System, Inc. 3.875%, 12/01/2023		12/20/2024		(1.000	%)		0.702	%	$	(11,100,000)	Quarterly		(155,323	)		(68,303	)		(87,020	)
SES S.A. 4.750%, 03/11/2021		12/20/2024		(1.000	%)		0.834	%	EUR	(6,100,000)	Quarterly		(55,658	)		(20,457	)		(35,201	)
Sherwin-Williams Co. (The) 7.375%, 02/01/2027		12/20/2024		(1.000	%)		0.509	%	$	(200,000)	Quarterly		(4,639	)		(4,361	)		(278	)
Simon Property Group L.P. 4.375%, 03/01/2021		12/20/2024		(1.000	%)		0.421	%		(10,900,000)	Quarterly		(299,194	)		(251,063	)		(48,131	)
Springleaf Finance Corp. 7.750%, 10/01/2021		12/20/2024		(5.000	%)		1.164	%		(200,000)	Quarterly		(35,288	)		(35,362	)		74
SSE Plc 5.875%, 09/22/2022		12/20/2024		(1.000	%)		0.494	%	EUR	(200,000)	Quarterly		(5,643	)		(4,119	)		(1,524	)
Standard Chartered Plc 2.250%, 04/17/2020		12/20/2024		(1.000	%)		0.477	%		(4,300,000)	Quarterly		(125,511	)		(108,767	)		(16,744	)
Teck Resources Ltd. 6.125%, 10/01/2035		12/20/2024		(5.000	%)		1.080	%	$	(9,500,000)	Quarterly		(1,719,189	)		(1,645,759	)		(73,430	)
Telecom Italia SpA 3.625%, 01/19/2024		12/20/2024		(1.000	%)		1.281	%	EUR	(250,000)	Quarterly		3,795			8,342			(4,547	)
Telefonica Emisiones S.A. 1.528%, 01/17/2025		12/20/2024		(1.000	%)		0.570	%		(250,000)	Quarterly		(5,970	)		(4,559	)		(1,411	)
Telenor ASA 2.625%, 12/06/2024		12/20/2024		(1.000	%)		0.165	%		(9,650,000)	Quarterly		(455,834	)		(416,563	)		(39,271	)

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 77

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF SWAPS at December 31, 2019 (Continued)

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)
Description	Maturity Date		Fixed Deal (Pay) Rate			Implied Credit Spread at December 31, 2019			Notional Amount(4)			Periodic Payment Frequency	Fair Value			Upfront Premiums Paid / (Received)			Unrealized Appreciation / (Depreciation)
Buy Protection (Continued)
Tesco Plc 6.125%, 02/24/2022		12/20/2024		(1.000	%)		0.818	%	EUR	(250,000	)	Quarterly	$	(2,507	)	$	(417	)	$	(2,090	)
thyssenkrupp AG 2.500%, 02/25/2025		12/20/2024		(1.000	%)		2.173	%		(8,600,000	)	Quarterly		525,070			565,557			(40,487	)
Toll Brothers Finance Corp. 4.375%, 04/15/2023		12/20/2024		(1.000	%)		0.786	%	$	(3,000,000	)	Quarterly		(29,985	)		(31,756	)		1,771
UBS Group AG 3.491%, 05/23/2023		12/20/2024		(1.000	%)		0.379	%	EUR	(4,500,000	)	Quarterly		(156,724	)		(139,268	)		(17,456	)
United Rentals North America, Inc. 5.500%, 07/15/2025		12/20/2024		(5.000	%)		0.710	%	$	(6,350,000	)	Quarterly		(1,276,444	)		(1,148,324	)		(128,120	)
Valeo S.A. 3.250%, 01/22/2024		12/20/2024		(1.000	%)		0.818	%	EUR	(10,650,000	)	Quarterly		(106,749	)		89,623			(196,372	)
Valero Energy Corp. 8.750%, 06/15/2030		12/20/2024		(1.000	%)		0.457	%	$	(11,050,000	)	Quarterly		(284,179	)		(179,909	)		(104,270	)
Verizon Communications, Inc. 4.125%, 03/16/2027		12/20/2024		(1.000	%)		0.386	%		(200,000	)	Quarterly		(5,830	)		(5,676	)		(154	)
Vodafone Group Plc 1.000%, 09/11/2020		12/20/2024		(1.000	%)		0.554	%	EUR	(5,850,000	)	Quarterly		(144,969	)		(131,460	)		(13,509	)
Volkswagen International Finance N.V. 0.500%, 03/30/2021		12/20/2024		(1.000	%)		0.742	%		(700,000	)	Quarterly		(9,955	)		(4,246	)		(5,709	)
Whirlpool Corp. 4.850%, 06/15/2021		12/20/2024		(1.000	%)		0.682	%	$	(8,500,000	)	Quarterly		(126,869	)		(99,863	)		(27,006	)
Williams Cos, Inc. (The) 4.550%, 06/24/2024		12/20/2024		(1.000	%)		0.750	%		(10,950,000	)	Quarterly		(128,064	)		(127,374	)		(690	)
Total Buy Protection													$	(45,772,790	)	$	(33,289,460	)	$	(12,483,330	)
Sell Protection
Accor S.A. 2.625%, 02/05/2021		12/20/2024		1.000	%		0.596	%	EUR	10,050,000		Quarterly	$	225,322		$	140,134		$	85,188
Aegon N.V. 6.125%, 12/15/2031		12/20/2024		1.000	%		0.604	%		2,200,000		Quarterly		48,349			47,550			799
Akzo Nobel N.V. 1.750%, 11/07/2024		12/20/2024		1.000	%		0.270	%		9,800,000		Quarterly		402,538			393,748			8,790
Ally Financial, Inc. 7.500%, 09/15/2020		12/20/2024		5.000	%		0.707	%	$	9,300,000		Quarterly		1,871,137			1,877,697			(6,560	)
Altria Group, Inc. 4.750%, 05/05/2021		12/20/2024		1.000	%		0.490	%		2,650,000		Quarterly		63,897			63,028			869
American Axle & Manufacturing, Inc. 6.625%, 10/15/2022		12/20/2024		5.000	%		2.739	%		800,000		Quarterly		78,143			65,438			12,705
American International Group, Inc. 6.250%, 05/01/2036		12/20/2024		1.000	%		0.606	%		11,100,000		Quarterly		205,890			127,367			78,523

The accompanying notes are an integral part of these financial statements.

78 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF SWAPS at December 31, 2019 (Continued)

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)
Description	Maturity Date		Fixed Deal (Pay) Rate			Implied Credit Spread at December 31, 2019			Notional Amount(4)		Periodic Payment Frequency	Fair Value			Upfront Premiums Paid / (Received)			Unrealized Appreciation / (Depreciation)
Sell Protection (Continued)
Amgen, Inc. 3.625%, 05/22/2024		12/20/2024		1.000	%		0.371	%	$	10,950,000	Quarterly	$	327,120		$	334,230		$	(7,110	)
Amkor Technology, Inc. 6.625%, 09/15/2027		12/20/2024		5.000	%		0.656	%		5,600,000	Quarterly		1,142,584			1,010,040			132,544
Anglo American Capital Plc 4.125%, 04/15/2021		12/20/2024		5.000	%		0.838	%	EUR	8,350,000	Quarterly		1,910,918			1,791,934			118,984
Apache Corp. 3.250%, 04/15/2022		12/20/2024		1.000	%		1.299	%	$	300,000	Quarterly		(4,099	)		(8,819	)		4,720
ArcelorMittal S.A. 2.875%, 07/06/2020		12/20/2024		5.000	%		1.444	%	EUR	4,750,000	Quarterly		905,517			866,104			39,413
Arconic, Inc. 5.125%, 10/01/2024		12/20/2024		1.000	%		0.769	%	$	8,400,000	Quarterly		90,863			(7,798	)		98,661
Arrow Electronics, Inc. 6.000%, 04/01/2020		12/20/2024		1.000	%		0.582	%		8,000,000	Quarterly		157,674			139,067			18,607
Assicurazioni Generali SpA 5.125%, 09/16/2024		12/20/2024		1.000	%		0.649	%	EUR	10,100,000	Quarterly		196,293			163,925			32,368
AT&T, Inc. 2.450%, 06/30/2020		12/20/2024		1.000	%		0.669	%	$	11,250,000	Quarterly		174,632			58,611			116,021
AutoZone, Inc. 2.500%, 04/15/2021		12/20/2024		1.000	%		0.313	%		10,900,000	Quarterly		356,443			328,867			27,576
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 5.250%, 03/15/2025		12/20/2024		5.000	%		1.990	%		10,150,000	Quarterly		1,359,636			1,139,345			220,291
Avnet, Inc. 4.875%, 12/10/2022		12/20/2024		1.000	%		0.775	%		2,600,000	Quarterly		27,341			23,234			4,107
Barrick Gold Corp. 5.800%, 11/15/2034		12/20/2024		1.000	%		0.500	%		10,900,000	Quarterly		257,840			284,286			(26,446	)
BAT International Finance Plc 2.375%, 01/19/2023		12/20/2024		1.000	%		0.627	%	EUR	2,050,000	Quarterly		42,348			42,001			347
Bayer AG 1.875%, 01/25/2021		12/20/2024		1.000	%		0.603	%		4,900,000	Quarterly		107,993			96,748			11,245
Beazer Homes USA, Inc. 6.750%, 03/15/2025		12/20/2024		5.000	%		1.958	%	$	10,200,000	Quarterly		1,382,718			914,686			468,032
Berkshire Hathaway, Inc. 2.750%, 03/15/2023		12/20/2024		1.000	%		0.326	%		10,950,000	Quarterly		351,207			268,735			82,472
BMW Finance N.V. 0.125%, 01/12/2021		12/20/2024		1.000	%		0.406	%	EUR	8,500,000	Quarterly		282,621			260,342			22,279
Bombardier, Inc. 7.450%, 05/01/2034		12/20/2024		5.000	%		3.650	%	$	5,100,000	Quarterly		286,976			27,698			259,278
Campbell Soup Co. 4.250%, 04/15/2021		12/20/2024		1.000	%		0.588	%		11,100,000	Quarterly		215,410			232,476			(17,066	)

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 79

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF SWAPS at December 31, 2019 (Continued)

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)
Description	Maturity Date		Fixed Deal (Pay) Rate			Implied Credit Spread at December 31, 2019			Notional Amount(4)		Periodic Payment Frequency	Fair Value			Upfront Premiums Paid / (Received)			Unrealized Appreciation / (Depreciation)
Sell Protection (Continued)
Canadian Natural Resources Ltd. 3.450%, 11/15/2021		12/20/2024		1.000	%		0.550	%	$	2,950,000	Quarterly	$	62,612		$	42,548		$	20,064
Cardinal Health, Inc. 4.625%, 12/15/2020		12/20/2024		1.000	%		1.020	%		11,150,000	Quarterly		(10,301	)		(31,009	)		20,708
Carnival Corp. 6.650%, 01/15/2028		12/20/2024		1.000	%		0.329	%		1,450,000	Quarterly		46,409			45,179			1,230
Centrica Plc 6.375%, 03/10/2022		12/20/2024		1.000	%		0.842	%	EUR	300,000	Quarterly		2,602			(1,512	)		4,114
CenturyLink, Inc. 7.500%, 04/01/2024		12/20/2024		1.000	%		2.162	%	$	15,500,000	Quarterly		(795,480	)		(941,414	)		145,934
CNH Industrial Finance Europe S.A. 2.875%, 05/17/2023		12/20/2024		5.000	%		0.843	%	EUR	10,900,000	Quarterly		2,490,691			2,525,487			(34,796	)
Comcast Corp. 3.700%, 04/15/2024		12/20/2024		1.000	%		0.346	%	$	10,950,000	Quarterly		340,404			318,889			21,515
Commerzbank AG 4.000%, 09/16/2020		12/20/2024		1.000	%		0.685	%	EUR	150,000	Quarterly		2,612			2,184			428
Conagra Brands, Inc. 7.000%, 10/01/2028		12/20/2024		1.000	%		0.605	%	$	2,750,000	Quarterly		51,173			36,678			14,495
Continental AG 3.125%, 09/09/2020		12/20/2024		1.000	%		0.606	%	EUR	1,800,000	Quarterly		39,389			35,412			3,977
CVS Health Corp. 2.125%, 06/01/2021		12/20/2024		1.000	%		0.606	%	$	11,000,000	Quarterly		204,299			153,008			51,291
Danske Bank A/S 0.875%, 05/22/2023		12/20/2024		1.000	%		0.778	%	EUR	200,000	Quarterly		2,442			2,234			208
Deutsche Lufthansa AG 0.250%, 09/06/2024		12/20/2024		1.000	%		0.533	%		4,600,000	Quarterly		119,552			98,027			21,525
Devon Energy Corp. 7.950%, 04/15/2032		12/20/2024		1.000	%		0.697	%	$	50,000	Quarterly		712			(71	)		783
DISH DBS Corp. 6.750%, 06/01/2021		12/20/2024		5.000	%		3.571	%		10,900,000	Quarterly		651,410			168,886			482,524
Domtar Corp. 4.400%, 04/01/2022		12/20/2024		1.000	%		0.769	%		150,000	Quarterly		1,623			1,544			79
DR Horton, Inc. 4.750%, 02/15/2023		12/20/2024		1.000	%		0.425	%		11,000,000	Quarterly		300,159			274,212			25,947
DXC Technology Co. 4.450%, 09/18/2022		12/20/2024		5.000	%		1.277	%		150,000	Quarterly		25,576			24,981			595
Eastman Chemical Co. 7.600%, 02/01/2027		12/20/2024		1.000	%		0.582	%		5,600,000	Quarterly		110,240			114,708			(4,468	)
Electricite de France S.A. 5.625%, 02/21/2033		12/20/2024		1.000	%		0.487	%	EUR	200,000	Quarterly		5,719			5,216			503
Electrolux AB 1.103%, 03/27/2024		12/20/2024		1.000	%		0.193	%		100,000	Quarterly		4,561			4,511			50
Enbridge, Inc. 3.500%, 06/10/2024		12/20/2024		1.000	%		0.537	%	$	11,100,000	Quarterly		242,625			133,849			108,776
Encana Corp. 3.900%, 11/15/2021		12/20/2024		1.000	%		1.246	%		100,000	Quarterly		(1,126	)		(3,246	)		2,120

The accompanying notes are an integral part of these financial statements.

80 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF SWAPS at December 31, 2019 (Continued)

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)
Description	Maturity Date		Fixed Deal (Pay) Rate			Implied Credit Spread at December 31, 2019			Notional Amount(4)		Periodic Payment Frequency	Fair Value			Upfront Premiums Paid / (Received)			Unrealized Appreciation / (Depreciation)
Sell Protection (Continued)
Enel SpA 5.250%, 05/20/2024		12/20/2024		1.000	%		0.584	%	EUR	10,100,000	Quarterly	$	233,399		$	231,710		$	1,689
Expedia Group, Inc. 4.500%, 08/15/2024		12/20/2024		1.000	%		0.688	%	$	4,350,000	Quarterly		63,601			63,800			(199	)
Experian Finance Plc 3.500%, 10/15/2021		12/20/2024		1.000	%		0.331	%	EUR	8,100,000	Quarterly		304,315			319,927			(15,612	)
FirstEnergy Corp. 7.375%, 11/15/2031		12/20/2024		1.000	%		0.320	%	$	10,800,000	Quarterly		349,734			331,370			18,364
Ford Motor Co. 4.346%, 12/08/2026		12/20/2024		5.000	%		1.472	%		9,800,000	Quarterly		1,570,916			1,456,540			114,376
Fortum Oyj 2.250%, 09/06/2022		12/20/2024		1.000	%		0.493	%	EUR	4,300,000	Quarterly		121,683			112,388			9,295
Freeport-McMoRan, Inc. 3.550%, 03/01/2022		12/20/2024		1.000	%		1.125	%	$	14,000,000	Quarterly		(80,194	)		(378,208	)		298,014
General Electric Co. 2.700%, 10/09/2022		12/20/2024		1.000	%		0.856	%		11,300,000	Quarterly		75,965			(147,417	)		223,382
General Motors Co. 4.875%, 10/02/2023		12/20/2024		5.000	%		1.005	%		9,450,000	Quarterly		1,748,224			1,756,597			(8,373	)
Glencore Finance Europe Ltd. 3.375%, 09/30/2020		12/20/2024		5.000	%		1.263	%	EUR	200,000	Quarterly		40,372			38,213			2,159
Goodyear Tire & Rubber Co. (The) 5.000%, 05/31/2026		12/20/2024		5.000	%		1.502	%	$	2,150,000	Quarterly		341,245			279,628			61,617
Halliburton Co. 8.750%, 02/15/2021		12/20/2024		1.000	%		0.608	%		1,600,000	Quarterly		29,520			25,253			4,267
HeidelbergCement AG 2.250%, 03/30/2023		12/20/2024		5.000	%		0.694	%	EUR	2,200,000	Quarterly		523,989			514,032			9,957
Hess Corp. 3.500%, 07/15/2024		12/20/2024		1.000	%		0.698	%	$	11,400,000	Quarterly		161,709			(172,221	)		333,930
International Lease Finance Corp. 8.250%, 12/15/2020		12/20/2024		5.000	%		0.488	%		9,100,000	Quarterly		1,941,523			1,936,243			5,280
International Paper Co. 7.500%, 08/15/2021		12/20/2024		1.000	%		0.389	%		3,100,000	Quarterly		90,019			89,466			553
Intesa Sanpaolo SpA 1.750%, 03/20/2028		12/20/2024		1.000	%		0.850	%	EUR	10,000,000	Quarterly		82,304			53,083			29,221
ITV Plc 2.125%, 09/21/2022		12/20/2024		5.000	%		0.913	%		8,650,000	Quarterly		1,937,838			1,773,467			164,371
KB Home 7.000%, 12/15/2021		12/20/2024		5.000	%		1.097	%	$	9,600,000	Quarterly		1,728,479			1,705,331			23,148
Kinder Morgan, Inc. 3.050%, 12/01/2019		12/20/2024		1.000	%		0.587	%		11,100,000	Quarterly		215,888			166,001			49,887
Kohl’s Corp. 4.250%, 07/17/2025		12/20/2024		1.000	%		1.164	%		2,200,000	Quarterly		(16,518	)		(34,245	)		17,727
Koninklijke KPN N.V. 5.625%, 09/30/2024		12/20/2024		1.000	%		0.647	%	EUR	10,150,000	Quarterly		198,525			17,532			180,993

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 81

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF SWAPS at December 31, 2019 (Continued)

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)
Description	Maturity Date		Fixed Deal (Pay) Rate			Implied Credit Spread at December 31, 2019			Notional Amount(4)		Periodic Payment Frequency	Fair Value			Upfront Premiums Paid / (Received)			Unrealized Appreciation / (Depreciation)
Sell Protection (Continued)
Kraft Heinz Foods Co. 6.375%, 07/15/2028		12/20/2024		1.000	%		0.841	%	$	5,900,000	Quarterly	$	43,900		$	39,731		$	4,169
L Brands, Inc. 5.625%, 10/15/2023		12/20/2024		1.000	%		2.994	%		150,000	Quarterly		(12,776	)		(12,975	)		199
LafargeHolcim Ltd. 3.000%, 11/22/2022		12/20/2024		1.000	%		0.629	%	EUR	10,050,000	Quarterly		206,594			195,752			10,842
Lennar Corp. 4.750%, 04/01/2021		12/20/2024		5.000	%		0.758	%	$	9,300,000	Quarterly		1,845,323			1,907,856			(62,533	)
Macy’s Retail Holdings, Inc. 3.450%, 01/15/2021		12/20/2024		1.000	%		1.669	%		350,000	Quarterly		(10,539	)		(14,767	)		4,228
Marks & Spencer Plc 3.000%, 12/08/2023		12/20/2024		1.000	%		1.682	%	EUR	5,000,000	Quarterly		(181,161	)		(173,037	)		(8,124	)
Marriott International, Inc. 2.300%, 01/15/2022		12/20/2024		1.000	%		0.349	%	$	450,000	Quarterly		13,936			13,824			112
MBIA, Inc. 6.625%, 10/01/2028		12/20/2024		5.000	%		1.318	%		9,700,000	Quarterly		1,632,506			1,541,344			91,162
MDC Holdings, Inc. 5.625%, 02/01/2020		12/20/2024		1.000	%		0.705	%		11,150,000	Quarterly		154,226			97,875			56,351
Mediobanca Banca di Credito Finanziario SpA 0.750%, 02/17/2020		12/20/2024		1.000	%		0.783	%	EUR	10,200,000	Quarterly		122,157			(9,589	)		131,746
Meritor, Inc. 6.250%, 02/15/2024		12/20/2024		5.000	%		1.025	%	$	5,150,000	Quarterly		947,051			884,039			63,012
MetLife, Inc. 3.600%, 11/13/2025		12/20/2024		1.000	%		0.491	%		11,250,000	Quarterly		271,011			174,059			96,952
METRO AG 1.375%, 10/28/2021		12/20/2024		1.000	%		1.529	%	EUR	150,000	Quarterly		(4,244	)		(4,161	)		(83	)
Mondelez International, Inc. 4.000%, 02/01/2024		12/20/2024		1.000	%		0.364	%	$	10,900,000	Quarterly		329,723			369,368			(39,645	)
Motorola Solutions, Inc. 7.500%, 05/15/2025		12/20/2024		1.000	%		0.552	%		11,050,000	Quarterly		233,354			217,904			15,450
Nabors Industries, Inc. 5.500%, 01/15/2023		12/20/2024		1.000	%		5.503	%		1,250,000	Quarterly		(218,177	)		(206,250	)		(11,927	)
National Grid Plc 4.375%, 03/10/2020		12/20/2024		1.000	%		0.408	%	EUR	9,900,000	Quarterly		328,172			257,856			70,316
Navient Corp. 5.500%, 01/25/2023		12/20/2024		5.000	%		1.981	%	$	5,100,000	Quarterly		685,390			596,812			88,578
Newell Brands, Inc. 3.850%, 04/01/2023		12/20/2024		1.000	%		1.005	%		11,250,000	Quarterly		(2,535	)		(82,102	)		79,567
Next Group Plc 5.375%, 10/26/2021		12/20/2024		1.000	%		0.756	%	EUR	10,350,000	Quarterly		139,489			(67,301	)		206,790
Nordstrom, Inc. 6.950%, 03/15/2028		12/20/2024		1.000	%		1.111	%	$	4,600,000	Quarterly		(23,351	)		(227,947	)		204,596
Olin Corp. 5.500%, 08/15/2022		12/20/2024		1.000	%		1.173	%		350,000	Quarterly		(2,779	)		(2,505	)		(274	)

The accompanying notes are an integral part of these financial statements.

82 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF SWAPS at December 31, 2019 (Continued)

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)
Description	Maturity Date		Fixed Deal (Pay) Rate			Implied Credit Spread at December 31, 2019			Notional Amount(4)		Periodic Payment Frequency	Fair Value			Upfront Premiums Paid / (Received)			Unrealized Appreciation / (Depreciation)
Sell Protection (Continued)
Peugeot S.A. 2.375%, 04/14/2023		12/20/2024		5.000	%		0.807	%	EUR	8,400,000	Quarterly	$	1,938,713		$	1,892,581		$	46,132
PostNL N.V. 1.000%, 11/21/2024		12/20/2024		1.000	%		0.605	%		250,000	Quarterly		5,474			5,065			409
Publicis Groupe S.A. 1.125%, 12/16/2021		12/20/2024		1.000	%		0.677	%		150,000	Quarterly		2,679			2,362			317
PulteGroup, Inc. 7.875%, 06/15/2032		12/20/2024		5.000	%		0.647	%	$	9,350,000	Quarterly		1,911,988			1,861,705			50,283
Radian Group, Inc. 4.500%, 10/01/2024		12/20/2024		5.000	%		0.605	%		9,400,000	Quarterly		1,944,173			1,729,115			215,058
Rexel S.A. 2.125%, 06/15/2025		12/20/2024		5.000	%		0.864	%	EUR	4,200,000	Quarterly		954,107			927,923			26,184
Royal Caribbean Cruises Ltd. 5.250%, 11/15/2022		12/20/2024		5.000	%		0.523	%	$	550,000	Quarterly		116,270			114,917			1,353
Sempra Energy 4.050%, 12/01/2023		12/20/2024		1.000	%		0.353	%		2,200,000	Quarterly		67,723			68,548			(825	)
Sherwin-Williams Co. (The) 7.375%, 02/01/2027		12/20/2024		1.000	%		0.509	%		11,150,000	Quarterly		258,616			162,039			96,577
Springleaf Finance Corp. 7.750%, 10/01/2021		12/20/2024		5.000	%		1.164	%		9,650,000	Quarterly		1,702,661			1,559,020			143,641
SSE Plc 5.875%, 09/22/2022		12/20/2024		1.000	%		0.494	%	EUR	10,100,000	Quarterly		284,997			185,188			99,809
Stora Enso Oyj 2.125%, 06/16/2023		12/20/2024		5.000	%		0.539	%		2,100,000	Quarterly		521,581			511,655			9,926
Sudzucker International Finance B.V. 1.250%, 11/29/2023		12/20/2024		1.000	%		0.733	%		4,300,000	Quarterly		63,487			15,071			48,416
Teck Resources Ltd. 6.125%, 10/01/2035		12/20/2024		5.000	%		1.080	%	$	50,000	Quarterly		9,048			8,859			189
Telecom Italia SpA 3.625%, 01/19/2024		12/20/2024		1.000	%		1.281	%	EUR	10,550,000	Quarterly		(160,110	)		(466,332	)		306,222
Telefonica Emisiones S.A. 1.528%, 01/17/2025		12/20/2024		1.000	%		0.570	%		10,100,000	Quarterly		241,206			135,069			106,137
Tesco Plc 6.125%, 02/24/2022		12/20/2024		1.000	%		0.818	%		10,250,000	Quarterly		102,810			(77,619	)		180,429
Toll Brothers Finance Corp. 4.375%, 04/15/2023		12/20/2024		1.000	%		0.786	%	$	11,100,000	Quarterly		110,943			82,520			28,423
Transocean, Inc. 5.800%, 10/15/2022		12/20/2024		1.000	%		6.167	%		1,450,000	Quarterly		(283,175	)		(344,375	)		61,200
Valeo S.A. 3.250%, 01/22/2024		12/20/2024		1.000	%		0.818	%	EUR	18,250,000	Quarterly		182,923			(23,655	)		206,578
Valero Energy Corp. 8.750%, 06/15/2030		12/20/2024		1.000	%		0.457	%	$	21,950,000	Quarterly		564,501			408,549			155,952

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 83

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF SWAPS at December 31, 2019 (Continued)

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (CONTINUED)
Description	Maturity Date		Fixed Deal (Pay) Rate			Implied Credit Spread at December 31, 2019			Notional Amount(4)		Periodic Payment Frequency	Fair Value		Upfront Premiums Paid / (Received)		Unrealized Appreciation / (Depreciation)
Sell Protection (Continued)
Verizon Communications, Inc. 4.125%, 03/16/2027		12/20/2024		1.000	%		0.386	%	$	11,050,000	Quarterly	$	322,124	$	265,595	$	56,529
Vivendi S.A. 0.750%, 05/26/2021		12/20/2024		1.000	%		0.381	%	EUR	2,200,000	Quarterly		76,299		75,065		1,234
Vodafone Group Plc 1.000%, 09/11/2020		12/20/2024		1.000	%		0.554	%		10,000,000	Quarterly		247,811		214,728		33,083
Volkswagen International Finance N.V. 0.500%, 03/30/2021		12/20/2024		1.000	%		0.742	%		10,650,000	Quarterly		151,450		84,677		66,773
Wendel S.A. 2.750%, 10/02/2024		12/20/2024		5.000	%		0.548	%		8,150,000	Quarterly		2,019,137		2,010,600		8,537
Whirlpool Corp. 4.850%, 06/15/2021		12/20/2024		1.000	%		0.682	%	$	11,250,000	Quarterly		167,914		8,340		159,574
WPP Finance S.A. 2.250%, 09/22/2026		12/20/2024		1.000	%		0.592	%	EUR	2,200,000	Quarterly		49,805		50,031		(226	)
Total Sell Protection												$	48,100,175	$	40,792,492	$	7,307,683
Total												$	2,327,385	$	7,503,032	$	(5,175,647	)

⁽¹⁾  For centrally cleared swaps, when a credit event occurs as defined under the terms of the swap contract, the Fund as a seller of credit protection will either (i) pay a net amount equal to the par value of the defaulted reference entity and deliver the reference entity or (ii) pay a net amount equal to the par value of the defaulted reference entity less its recovery value.

⁽²⁾  For centrally cleared swaps, implied credit spread, represented in absolute terms, utilized in determining the fair value of the credit default swap contracts as of period will serve as an indicator of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/ selling protection and may include upfront payments required to be made to enter into the contract. Generally, wider credit spreads represent a perceived deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap contract.

⁽³⁾  For centrally cleared swaps, the notional amount represents the maximum potential the Fund may receive as a buyer of credit protection if a credit event occurs, as defined under the terms of the swap contract, for each security included in the CDX North America High Yield Index Series 33, and CDX North America Investment Grade Index Series 33.

⁽⁴⁾  Notional amounts are denominated in foreign currency where indicated.

The accompanying notes are an integral part of these financial statements.

84 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF SWAPS at December 31, 2019 (Continued)

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
Description	Maturity Date		Counterparty	Fixed Deal (Pay) Rate			Implied Credit Spread at December 31, 2019			Notional Amount(1)		Periodic Payment Frequency	Fair Value			Upfront Premiums Paid / (Received)			Unrealized Appreciation / (Depreciation)
Buy Protection
Whiting Petroleum Corp. 6.250%, 04/01/2023		12/20/2024	JPMorgan Chase Bank N.A.		(5.000	%)		12.421	%	$	(4,300,000)	Quarterly	$	963,120		$	787,125		$	175,995
Enel SpA 5.250%, 05/20/2024		12/20/2023	Morgan Stanley & Co.		(1.000	%)		0.434	%	EUR	(1,660,000)	Quarterly		(42,276	)		11,425			(53,701	)
Total Buy Protection													$	920,844		$	798,550		$	122,294
Sell Protection
ADLER Real Estate AG 1.500%, 12/06/2021		12/20/2024	JPMorgan Chase Bank N.A.		5.000	%		1.245	%	EUR	4,300,000	Quarterly	$	872,934		$	802,092		$	70,842
Altice Finco S.A. 9.000%, 06/15/2023		12/20/2024	JPMorgan Chase Bank N.A.		5.000	%		2.489	%		9,100,000	Quarterly		1,173,987			889,240			284,747
EDP Finance B.V. 1.875%, 09/29/2023		12/20/2024	JPMorgan Chase Bank N.A.		1.000	%		0.599	%		9,900,000	Quarterly		220,178			200,185			19,993
Hapag-Lloyd AG 5.125%, 07/15/2024		12/20/2024	JPMorgan Chase Bank N.A.		5.000	%		2.108	%		4,450,000	Quarterly		671,443			370,129			301,314
Intrum AB 3.125%, 07/15/2024		12/20/2024	JPMorgan Chase Bank N.A.		5.000	%		2.492	%		4,500,000	Quarterly		579,624			512,356			67,268
Netflix, Inc. 5.375%, 02/01/2021		12/20/2024	JPMorgan Chase Bank N.A.		5.000	%		1.159	%	$	2,250,000	Quarterly		397,605			366,857			30,748
Realogy Group LLC/Realogy Co-Issuer Corp. 4.875%, 06/01/2023		12/20/2024	JPMorgan Chase Bank N.A.		5.000	%		5.337	%		4,250,000	Quarterly		(55,595	)		(20,445	)		(35,150	)
Total Sell Protection													$	3,860,176		$	3,120,414		$	739,762
Total													$	4,781,020		$	3,918,964		$	862,056

⁽¹⁾  Notional amounts are denominated in foreign currency where indicated.

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 85

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF SWAPS at December 31, 2019 (Continued)

OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS

Referenced Obligation	Maturity Date		Counterparty	Fund Pays/ Receives Floating Rate		Floating Rate Index and Spread	Notional Amount(1)		Periodic Payment Frequency	Fair Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
iBoxx USD Liquid High Yield Index USD		3/20/2020	JPMorgan Chase Bank N.A.		Receives	3 Month USD LIBOR + 0.000%	$	40,000,000	Quarterly	$	(20,145	)	$	1	$	(20,146	)
iBoxx USD Liquid High Yield Index USD		3/20/2020	JPMorgan Chase Bank N.A.		Receives	3 Month USD LIBOR + 0.000%		100,000,000	Quarterly		(962,325	)		—		(962,325	)
Abbvie, Inc. USD		8/31/2020	Morgan Stanley & Co.		Receives	1 Month USD LIBOR - 0.400%		8,474,606	Monthly		—			—		—
Cobham Plc GBP		10/30/2020	Morgan Stanley & Co.		Pays	1 Month GBP LIBOR + 0.900%		GBP (3,068,629)	Monthly		—			—		—
Total										$	(982,470	)	$	1	$	(982,471	)

⁽¹⁾  Notional amounts are denominated in foreign currency where indicated.

SCHEDULE OF WRITTEN OPTIONS at December 31, 2019
Description	Counterparty	Exercise Price		Expiration Date		Number of Contracts			Notional Amount			Market Value			Premiums Received			Unrealized Appreciation/ (Depreciation)
COMMON STOCKS
Call
Abbvie, Inc.	Morgan Stanley & Co.	$	92.50		2/21/2020		(2	)	$	(17,708	)	$	(242	)	$	(361	)	$	119
Amerisourcebergen Corp.	Morgan Stanley & Co.		87.50		2/21/2020		(2	)		(17,004	)		(450	)		(560	)		110
Applied Materials, Inc.	Morgan Stanley & Co.		62.50		2/21/2020		(6	)		(36,624	)		(1,266	)		(1,420	)		154
AT&T, Inc.	Morgan Stanley & Co.		40.00		2/21/2020		(13	)		(50,804	)		(767	)		(841	)		74
Automatic Data Processing, Inc.	Morgan Stanley & Co.		175.00		2/21/2020		(2	)		(34,100	)		(560	)		(669	)		109
Best Buy Co., Inc.	Morgan Stanley & Co.		92.50		2/21/2020		(4	)		(35,120	)		(636	)		(695	)		59
Bristol-myers Squibb Co.	Morgan Stanley & Co.		65.00		2/21/2020		(5	)		(32,095	)		(830	)		(724	)		(106	)
Caterpillar, Inc.	Morgan Stanley & Co.		150.00		2/21/2020		(2	)		(29,536	)		(830	)		(885	)		55
CF Industries Holdings, Inc.	Morgan Stanley & Co.		50.00		2/21/2020		(4	)		(19,096	)		(420	)		(515	)		95
Citigroup, Inc.	Morgan Stanley & Co.		80.00		2/21/2020		(4	)		(31,956	)		(952	)		(763	)		(189	)
Comcast Corp.	Morgan Stanley & Co.		45.00		2/21/2020		(4	)		(17,988	)		(536	)		(391	)		(145	)
Delta Air Lines, Inc.	Morgan Stanley & Co.		62.50		2/21/2020		(1	)		(5,848	)		(61	)		(101	)		40
Exelon Corp.	Morgan Stanley & Co.		46.00		2/21/2020		(4	)		(18,236	)		(324	)		(307	)		(17	)
Gilead Sciences, Inc.	Morgan Stanley & Co.		70.00		2/21/2020		(7	)		(45,486	)		(700	)		(1,111	)		411
Hewlett Packard Enterprise Co.	Morgan Stanley & Co.		17.00		2/21/2020		(10	)		(15,860	)		(260	)		(277	)		17
HP, Inc.	Morgan Stanley & Co.		21.00		2/21/2020		(17	)		(34,935	)		(867	)		(948	)		81
Humana, Inc.	Morgan Stanley & Co.		375.00		2/21/2020		(1	)		(36,652	)		(1,125	)		(1,321	)		196
Intel Corp.	Morgan Stanley & Co.		60.00		2/21/2020		(6	)		(35,910	)		(1,278	)		(1,216	)		(62	)
Johnson & Johnson	Morgan Stanley & Co.		150.00		2/21/2020		(2	)		(29,174	)		(378	)		(391	)		13
Leidos Holdings, Inc.	Morgan Stanley & Co.		100.00		2/21/2020		(5	)		(48,945	)		(1,360	)		(1,295	)		(65	)
Merck & Co., Inc.	Morgan Stanley & Co.		92.50		2/21/2020		(2	)		(18,190	)		(320	)		(421	)		101
Metlife, Inc.	Morgan Stanley & Co.		52.50		2/21/2020		(7	)		(35,679	)		(483	)		(523	)		40
Microsoft Corp.	Morgan Stanley & Co.		160.00		2/21/2020		(1	)		(15,770	)		(370	)		(370	)		—
Phillips 66	Morgan Stanley & Co.		115.00		2/21/2020		(3	)		(33,423	)		(450	)		(722	)		272

The accompanying notes are an integral part of these financial statements.

86 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund

SCHEDULE OF WRITTEN OPTIONS at December 31, 2019 (Continued)

Description	Counterparty	Exercise Price		Expiration Date		Number of Contracts			Notional Amount			Market Value			Premiums Received			Unrealized Appreciation/ (Depreciation)
Plains GP Holdings L.P.	Morgan Stanley & Co.	$	20.00		2/21/2020		(18	)	$	(34,110	)	$	(540	)	$	(643	)	$	103
Procter & Gamble Co. (The)	Morgan Stanley & Co.		130.00		2/21/2020		(3	)		(37,470	)		(345	)		(428	)		83
Qualcomm, Inc.	Morgan Stanley & Co.		95.00		2/21/2020		(4	)		(35,292	)		(536	)		(687	)		151
Starbucks Corp.	Morgan Stanley & Co.		90.00		2/21/2020		(2	)		(17,584	)		(346	)		(429	)		83
Target Corp.	Morgan Stanley & Co.		130.00		2/21/2020		(2	)		(25,642	)		(700	)		(757	)		57
Tyson Foods, Inc.	Morgan Stanley & Co.		92.50		2/21/2020		(4	)		(36,416	)		(1,120	)		(1,115	)		(5	)
Verizon Communications, Inc.	Morgan Stanley & Co.		62.50		2/21/2020		(6	)		(36,840	)		(378	)		(554	)		176
Total Written Options												$	(19,430	)	$	(21,440	)	$	2,010

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 87

Litman Gregory Masters High Income Alternatives Fund Review

The Litman Gregory Masters High Income Alternatives Fund (Institutional Share Class) gained 8.37%. During the same 12-month period, the Bloomberg Barclays U.S. Aggregate Bond Index rose 8.72%, high-yield bonds (BofA Merrill Lynch US High-Yield Cash Pay Index) gained 14.41%, and the HFRX Fixed Income Credit Index rose 6.20%. Since the fund’s inception (9/28/18), its annualized return is 3.99% compared to 8.27%, 7.18%, and 2.36% for the Aggregate Bond, high-yield and HFRX Fixed Income benchmarks, respectively.

QUARTER END PERFORMANCE – 12/31/2019
	One- Month		Three- Month		Year-to- Date		One- Year		Since Inception (9/28/2018)
Litman Gregory Masters High Income Alternatives Fund INSTITUTIONAL		0.84%		1.44%		8.37%		8.37%		3.99%
Litman Gregory Masters High Income Alternatives Fund INVESTOR		0.82%		1.45%		8.18%		8.18%		3.83%
Barclays Aggregate Bond Index		-0.07%		0.18%		8.72%		8.72%		8.27%
ICE BofAML U.S. High Yield TR USD Index		2.09%		2.61%		14.41%		14.41%		7.18%
HFRX Fixed Income – Credit Index		1.39%		2.54%		6.22%		6.22%		2.37%
SEC 30-Day Yield1 as of 12/31/2019 Institutional: 3.00% Investor: 2.75%
Unsubsidized SEC 30-Day Yield2 as of 12/31/2019 Institutional: 2.39% Investor: 2.14%
1.  The 30-day SEC Yield is computed under an SEC standardized formula based on net income earned over the past 30 days. It is a “subsidized” yield, which means it includes contractual expense reimbursements, and it would be lower without those reimbursements.
2.  The unsubsidized 30-day SEC Yield is computed under an SEC standardized formula based on net income earned over the past 30 days. It excludes contractual expense reimbursements, resulting in a lower yield.
Distribution Yield: Trailing 12-Month as of 12/31/2019 Institutional: 3.65% Investor: 3.38%
The trailing twelve month (TTM) distribution yield is the sum of a fund’s total trailing 12-month interest and dividend payments divided by the last month’s ending share price (NAV) plus any capital gains distributed over the same period. 12-Month Yield gives you a good idea of the yield (interest and dividend payments) the fund is currently paying.

EXPENSE RATIOS as of 4/30/19	MAHIX			MAHNX
Gross Expense Ratio		2.06	%		2.34	%
Net Expense Ratio		1.70	%		1.96	%
The Net Expense Ratio reflects a contractual fee waiver and/or expense reimbursement, which is in place through 4/30/2021. See the Fund’s prospectus for more information.
Adjusted Expense Ratio		0.98	%		1.24	%
The Adjusted Expense Ratio is the same as the Net Expense Ratio exclusive of certain investment expenses, such as interest expense from borrowings and repurchase agreements, dividend expense from investments on short sales, and acquired fund fees and expenses.
Performance quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the funds may be lower or higher than the performance quoted. To obtain standardized performance of the funds, and performance as of the most recently completed calendar month, please visit www.mastersfunds.com. Investment performance reflects fee waivers in effect. In the absence of such waivers, total return would be reduced. All performance discussions in this report refer to the performance of the Institutional share class.

88 Litman Gregory Funds Trust

Annual Review

The fund performed well in 2019. Although the fund’s performance lags the two benchmarks over its brief 15-month history, we think there’s more to the story than the short-term performance numbers indicate. Last year was atypical in that there was a strong and simultaneous rally spanning “risk off” Treasuries to “risk-on” equities. Specific to the credit markets, it was also atypical in that higher-quality outperformed lower-quality in a risk-on year. We do not expect a repeat of last year’s broad-based rally, nor do we expect similar levels of returns for the benchmarks given today’s low levels of starting yields.

While the macro outlook varies slightly across our managers, one common concern is elevated valuations. Amid tightening corporate credit spreads and rising equity valuations, the fund’s managers took the opportunity to reduce valuation risk and move up in quality as the year progressed. The flexible credit managers (Brown Brothers Harriman and Guggenheim) increasingly emphasized credits with a low likelihood of default and minimal spread volatility under a range of scenarios. Our alternative equity income manager (Ares) took some profits during the year in areas that had appreciated and where the PMs felt there was a less favorable fundamental outlook. As of year-end, Ares is positioned relatively conservatively (although given the nature of their strategy, will still likely be the most volatile sleeve of the fund). The Neuberger Berman out-of-the-money put-write option strategy took advantage of high implied volatility early in the year (following 2018’s fourth quarter sell-off) and continued to generate attractive risk-adjusted performance over the course of the year even after implied volatility declined.

While the fund continues to have meaningful exposure to risk assets, it also has exposures to liquid, higher-quality, defensive assets and cash to opportunistically take advantage of market volatility and more attractive spreads and valuations. This relatively conservative positioning is consistent with our expectations and the fund’s investment mandate; i.e., the fund’s fully discretionary managers are valuation-sensitive and have the flexibility to increase and decrease risk exposures based on their assessment of the risk/reward.

We should highlight that throughout 2019 (and since inception), the fund’s risk characteristics have been in line with our long-term expectations. We have observed a few brief periods of volatility in the high-yield market and in each case the fund had a smaller drawdown. The fund has had a consistently lower standard deviation relative to the high-yield index (using rolling 30-day returns). Interestingly, the fund also had lower volatility than the Aggregate Bond Index for most of 2019, though we suspect that is due to temporarily elevated levels of volatility for core bonds. Over the long term, we believe returns will be comparable to high-yield bonds, but with lower volatility and downside risk because of the diversified sources of return and manager flexibility.

Looking ahead, it’s highly unlikely that last year’s broad-based bond market rally will repeat. At current valuation levels, credit selection will be critical to performance. We believe the managers’ flexibility, broad opportunity sets, and risk-awareness will result in attractive long-term risk-adjusted returns, and that the fund’s diverse non-traditional sources of income are an attractive complement to core fixed-income allocations.

Portfolio Commentary

Performance of Managers

During the calendar-year, both flexible credit managers (Brown Brothers Harriman and Guggenheim) posted gains of 7.59% and 3.35%, respectively. Ares Management’s Alternative Equity Income sleeve gained 22.29%, while Neuberger Berman’s Option Income strategy rose 11.99%. (These returns are net of the management fees that each sub-advisor charges the fund.)

Manager Commentaries

Ares

Market Overview and Backdrop

While 2019 will be remembered as a strong year for equity markets with the S&P 500 increasing 31.5%, a closer look indicates three distinct performance periods. In the first quarter of 2019, the market rebounded sharply from the dislocation in the fourth quarter of 2018, which brought equities back to September 2018 levels. During the second and third quarters of 2019 the market vacillated as investors were concerned about slower global growth driven by trade tensions between the U.S. and China and continued Brexit uncertainty in the United Kingdom. However, 2019 finished very strong as investors gained confidence as accommodative global central banks and expectations of a positive trade solution pushed equities to new highs. Our portfolio within MAHIX generated a total return of 22.29% compared to the S&P 500 return of 31.49% and the BofAML High Yield Master II Index of 14.40%. We maintain strong conviction in the current portfolio positioning and believe we will generate attractive risk-adjusted returns with our portfolio of equity income stocks with underlying fixed-income characteristics generating returns that are above fixed income products and lower than traditional equities.

Fund Summary 89

2019 Portfolio Positioning Recap

Our portfolio began 2019 with an aggressive position built from the discounted values we experienced at the end of 2018. In January, the portfolio was 45% business development companies (BDCs), 28% midstream energy, 12% closed-end funds (CEFs), 12% mortgage real-estate investment trusts (MREITs) and 3% cash. We took advantage of the quick rebound in the market and exited the CEFs at the end of January as the discounted valuations narrowed. As the Federal Reserve (the “Fed”) began to signal that it could begin lowering rates later in the year, we began to purchase agency MREITs which tend to benefit from declining interest rates. In addition, we also began investing in select mortgage preferred securities, which tend to be more defensive while still providing attractive yields.

Throughout April and May, we began to see some of the positive trends in the energy markets being outweighed by more challenging topics around the trade dispute with China and global growth concerns. As a result, we decided to meaningfully reduce our midstream exposure which was reduced to just 10% of the portfolio by the end of May. This underweight positioning led to strong relative outperformance as the energy markets struggled in the second half of 2019 and domestic exploration and production operators began to reduce their drilling expectations. At mid-year our portfolio was 48% BDCs, 20% MREITs, 10% MREIT preferreds, 10% midstream energy & 12% cash.

The second half of 2019 was marked by profit taking in some of the BDC positions that had reached our price targets. While BDC credit quality remained sound in the underlying BDC portfolios, we started to experience some operational headwinds due to lower LIBOR rates, but this was partially offset by higher leverage utilization across the space. Combined with the fact that the group was trading at a 7% premium to its historical valuations (based on price-to-book), we selectively reduced some of our more risk-on positions and shifted to higher quality defensive names. By the end of the third quarter, our portfolio had a higher than normal cash balance of nearly 20% and our asset positioning had a significantly defensive focus.

In the fourth quarter of 2019, the midstream energy market continued to struggle due to oil production concerns and technical pressures around year-end tax loss selling. Following these downward moves, we viewed the valuation declines as oversold and added to our energy positions in December. At year end, our portfolio consisted of approximately 37% BDCs, 21% MREITs, 20% midstream energy, 8% MREIT preferreds, 3% opportunistic investments and 12% cash.

Sector Commentary and Performance Contribution

The BDC industry generated strong returns in 2019 as credit issues remained benign and 9+% cash dividend yields were well covered by operating earnings. Our top performing BDCs included Apollo Investment Corporation (AINV) +57%, FS KKR Corporation (FSK) +32% and Ares Capital Corporation (ARCC) +31%. These investments all had strong returns and were large positions in our portfolio (~5+% each). We had one notable performance disappointment this year as BlackRock Capital Corporation (BKCC) experienced credit issues and was forced to cut its dividend. As a result, the stock meaningfully underperformed with a total return of only 5% during the calendar year.

The Mortgage REIT industry continues to be the most consistent of our target asset classes and has generated attractive returns with less volatility over the past two years. Our top performance contributors included Ellington Financial Inc. (EFC) +29% and New Residential Investment Corp. (NRZ) +29%. We also participated in a Special Purpose Acquisition Company (“SPAC”) that was purchasing a private commercial MREIT. We invested prior to the acquisition and conversion to the public REIT as we believed there was 15% upside to our target price alongside a double-digit dividend yield. We were pleasantly surprised that, following the REIT conversion, Broadmark Realty (BRMK) increased to our target price in one month and we subsequently exited the position. Granite Point (GPMT) and KKR Real Estate (KREF) were our weakest performers up 7% & 5%, respectively, as both companies experienced earnings pressure from lower LIBOR rates due the floating rate nature of their underlying assets.

Midstream Energy was a tale of big winners and big losers. Large diversified players were able to effectively weather the storm in the energy markets as Enterprise Products Partners LP (EPD) and Magellan Midstream Partners (MMP) were up 22% and 18%, respectively. On the other hand, smaller players with concentrations in weaker basins struggled with Enable Midstream Partners (ENBL) and Enlink Midstream (ENLC) down -20% and -18%, respectively, in 2019.

2020 Outlook

We believe the U.S. economy should continue on sound economic footing in 2020 and expect modest earnings growth. However, we do have some concern about broader equity market valuations, and as such, we continue to maintain our defensive positioning. Our current portfolio positioning of 13% cash and 8% in defensive preferred securities should allow us to take advantage of elevated market volatility. Even with the defensive positioning, our portfolio still generated an attractive 8.1% total dividend yield inclusive of the cash position.

90 Litman Gregory Funds Trust

Brown Brothers Harriman

2019 Credit Markets Commentary

Credit market returns in 2019 were exceptional by almost any measure. The Federal Reserve lowered rates three times this year to maintain growth amid trade tensions, slowing corporate earnings, slowing business investment, and a contracting manufacturing sector. Credit returns were supported by expansions of central bank balance sheets, flows from foreign investors, and a stable to shrinking supply of credit securities.

Given the prolonged economic expansion over the last decade, and the overextended state of yield and valuations, observers are keeping an eye out for signs of “late cycle” behavior, both in economic fundamentals and asset values.

However, the preponderance of economic data does not suggest a cyclical correction is imminent. Manufacturing is in a sectoral recession, U.S. exports are flat-to-declining, and business investment is still lagging. This is offset by strong data in the larger components of U.S. gross domestic product, as well as steady, if declining, growth in jobs and incomes, a healthy consumer sector, and very low unemployment claims.

Sensing economic weakness, the Fed dropped rates three times in 2019. In the fourth quarter the Fed added $200 billion of liquidity through open market operations to address supply and liquidity in short-term Treasuries. Considering the economy has been growing and unemployment is low, monetary policy is surprisingly accommodative. The European Central Bank also resumed corporate credit purchases in September of 2019.

A level-to-shrinking supply of U.S. dollar-denominated credit securities is now also supporting spreads. Corporate net issuance grew rapidly through 2017 but has leveled off since. The supply of high-yield bonds is shrinking, and direct lending is absorbing an increasing share of new deal-related lending. In 2019, “Yankee” issuance (USD issuance by non-US issuers) fell and “Reverse Yankee” (U.S. issuers issuing in Euros or Yen) rose.

The growing dependence of U.S. bond markets on central bank stimulus and foreign purchases is worrisome. Foreign investment can be fickle, and reverse direction rapidly. Yet foreign investors easily constitute the largest single share of USD credit. The credit pullback in the fourth quarter of 2018 revealed this fragility.

Litman Gregory Commentary

The BBH sleeve of the Fund returned 7.59% for the full year 2019, net of fees. We are pleased to have posted such solid performance results. In the fourth quarter, the trend of generally expensive prices for corporate credit continued as spreads tightened 23 and 44 basis points (bps) across BBB-rated and BB-rated credit, respectively. For the full year, the BBH sleeve’s performance was achieved during a strong rally in U.S. Treasury yields, while continuing to carry just two years of duration. From an attribution perspective, our sleeve of the portfolio received contributions from sector, rating, and selection. At the selection level, the top contributors included multiple insurance company credits that caught up to our investment thesis, and credits where fear abated around our healthcare exposures. The bottom contributors were largely affected by lower commodity prices in the energy and power pricing markets.

Investing Activity

At the foundation of this strategy is the flexibility to invest across different segments of dollar-denominated U.S. credit where we find the most attractive valuations. We traded more actively this quarter, finding more bond and loan opportunities in corporate credit at new issuance and in the secondary market.

New Purchases

During the quarter we purchased the secured term loan of Innovacare (MMM Holding) at an attractive coupon of 575bps over 3-month LIBOR for an 8.3% yield on this B1/B+ rated credit. The company is the leading healthcare insurance provider in its home market of Puerto Rico. The company has low starting leverage and an experienced management team. The buyout loan is well supported from a stable cash flow perspective as almost all revenues for the company derive from the U.S Federal government. The loan also benefits from a stronger covenant package than is typical for current loans in the market.

We initiated a position in Enable Midstream Partners LP, which is a mid-cap master limited partnership owned primarily by two regulated utilities. The revenue base for this business is mainly derived from predictable and fee-based transportation contracts across multiple U.S. geographies. Management has maintained a low leverage profile and strong dividend coverage ratios. As oil and gas price declines impacted energy credits generally during the quarter, we were able to pick up this Baa1/BBB+ rated credit at an attractive spread of 323bps for a 5% yield in the secondary market.

An interesting new position in the Fund is a hybrid subordinated 30-year bond issued by Apollo Global Management. This debt issuance was rated BBB+ and is callable in five years with a coupon that will also reset every five years based upon the issue spread over the then 5-Year Treasury note. Apollo is A-rated at the senior parent company level and throws off significant cash flow across all its business lines from recurring management fees. We were comfortable with the structure of this transaction and found the spread of 308bps for a 4.9% yield very attractive for a credit of this high quality.

Fund Summary 91

ReadyCap Lending is one of the few independently licensed Small Business Administration (“SBA”) lenders. ReadyCap originates and services small business loans guaranteed by the SBA for acquiring real estate and equipment, or for working capital purposes. The company has an established 10-year lending track record. In December, the company issued its second securitization consisting of a seasoned pool of loans with strong structural protections. The four-year notes were rated BBB- and came at an attractive pricing spread of 250bps for a 4.3% yield.

Guggenheim

Recent U.S. economic data demonstrate that the expansion is being helped by lower rates. New homes sales have risen at a double-digit year-over-year pace for four consecutive months since August, spurred by lower mortgage rates but also base effects. Manufacturing production rose in both November and December, corroborating the signal seen in improving manufacturing surveys. Nonfarm payroll gains averaged 184,000 in the fourth quarter, above underlying labor force growth. Income gains and a positive wealth effect are also flowing through into retail sales, where “core” sales recovered in December after three months of declines.

The latest evidence suggests that the Fed’s easing efforts have given the U.S. economy the extra gas it needed to extend the cycle. Furthermore, the new year kicks off with some clarity on U.S.-China trade policy. The eleventh-hour Phase 1 U.S.-China trade agreement may give U.S. companies some comfort that they can expect tariffs on either side to remain where they are for now. This should help support U.S. manufacturing activity, especially if China steps up purchases of U.S. goods as promised.

Over the next several months, we expect the Fed will stay on hold as it watches incoming data to ensure that the current level of fed funds remains appropriate. Monetary policy acts on the economy with a lag, so the effects of the last rate cut in October 2019 might not be apparent until mid-2020. More economic data improvements may come as low rates flow through to consumers and to the credit markets.

Encouraged by positive data, market participants welcomed the new decade with cautious optimism. Credit spreads are near historical tights, but the CCC-BB spread in high-yield corporates and bank loans remains above their five-year averages. 10-year Treasury yields, while off their 2019 lows, have failed several times to rise above 2 percent. This reminds us that while the Fed has successfully pushed off a recession, 2020 arrives with many risks worth watching, including the U.S. presidential election, U.S.-Europe trade negotiations, the potential for a military conflict between the U.S. and Iran, and rising corporate and local government defaults in China.

Much of the global growth in this cycle has been driven by an accumulation of debt, which has a declining marginal return. Without a down cycle to deflate some of the bubble, easy credit availability at this stage keeps the weakest companies on life support as low rates force investors to provide capital to borrowers teetering on the brink of downgrade or default. In this environment, even if the CCC-BB spread compresses back to historical tights, it is not a credit rally we would chase.

Performance Review

The sleeve returned 3.35% for the year ending 12/31/2019. Positive return was largely attributed to the portfolio’s carry with modest spread tightening also contributing to performance. Most asset categories rallied over the year as global central bank easing and a flood of liquidity drove prices higher. At the forefront of policy easing was the Fed’s dovish pivot in late 2018 which prioritized extending the expansion and resulted in three rate cuts in 2019, and the expansion of the balance sheet via Treasury bill purchases and repo operations in the back half of the year.

Portfolio Strategy

The Fed, with its shift in policy, has decreased the odds of a recession near term and has likely extended the expansion. Within the U.S. economy weakness in manufacturing data looks to be bottoming, the consumer is in good shape, and the labor market remains extraordinarily resilient. The recovery in the U.S. is also helping to drive a pickup in global economic activity.

Fed Chair Jerome Powell referred to the first cut as a brief “mid-cycle” rate adjustment, as opposed to the beginning of a lengthy cutting cycle. The Fed’s 1998 mid-cycle adjustment resulted in a liquidity driven rally that caused the Nasdaq index to double within a year before the bubble finally burst. It also led to a significant widening of credit spreads well in advance of the economy rolling over.

With that in mind and with corporate credit spreads near cycle tights, we continued to focus on income and capital preservation in a market where the risk/reward trade-off looks unattractive in many credit sectors. Low volatility and reducing drawdown risk remained a priority for us. As such the portfolio continued to invest in asset classes that have a low likelihood of default and are expected to exhibit minimal spread volatility with stable returns under a variety of credit and rate environments.

Over the year all sectors contributed positively to total return with no negative performers. Within our credit exposure we continued to favor structured credit over corporate credit given what we view as a compelling spread pickup to similarly rated corporates while providing defensive positioning through shorter spread duration profiles.

Over the longer-term, our relatively defensive credit positioning should help the portfolio to weather a risk-off environment and afford the Fund the opportunity to add below investment grade credit exposure at a more opportune time.

92 Litman Gregory Funds Trust

Portfolio Positioning

Asset Backed Securities (ABS), which constituted 21% of the portfolio at year’s end, generated positive total returns as the investor base for structured credit, including aircraft securitization and other commercial ABS, continues to grow. Lease and renewal rates for midlife aircraft (those securitized in aircraft ABS) are expected to be supported by new aircraft supply disruptions and relatively low fuel prices.

Collateralized Loan Obligations (CLOs), which constituted 14% of the portfolio at year’s end, contributed to performance despite minor spread widening over the year. New issue supply and intermittent weakness in the loan market led the sector to underperform other credit sectors. However, spreads remain considerably wider than many other asset categories, particularly those with a similar credit profile or spread duration. We continue to favor senior CLOs with short spread durations, as they offer a compelling spread pickup to similarly rated corporates.

Non-Agency Residential Mortgage-Backed Securities (RMBS), which constituted 21% of the portfolio at year’s end, also contributed positively as lower rates and improving credit fundamentals drove higher prepayments for discounted dollar price holdings. Limited home inventory and improving labor market conditions should support home prices and mortgage credit performance. Pre-crisis RMBS investment has benefited from a supply shortfall caused by ongoing paydowns and a lack of new issuance.

Bank loans, which constituted almost 8% of the portfolio at year’s end, were the highest returning category for the Fund. We incrementally added to its bank loan allocation over the period.

The remainder of the portfolio was invested across other credit sectors including short investment-grade corporates, high-yield, commercial mortgage-backed securities (CMBS) and short-term investments. All categories exhibited positive total return for the year.

Neuberger Berman

Historically speaking, 2019 was not a particularly exceptional year in volatility terms even though only three years in the past 30 have seen higher S&P 500 Index (S&P 500) calendar year returns while implied volatility levels and implied volatility premiums were around median levels. In our opinion, what made it seem so exceptional was how few investors anticipated the spectacular returns. Given the persistent outflows from equity mutual funds and exchange traded funds in 2019, estimated by Goldman Sachs to be over $100 billion in the first 10 months of the year, participation in S&P 500 gains in 2019 may not have been as widespread as most investors might perceive.

After years of waiting for risk to build in the system, 2020 looks to be a year in which any number of anticipated risks may evolve into real risk and unanticipated risks will come to weigh on the markets. We expect markets to continue drift towards a higher volatility environment while governments and their agencies may seek to dampen the risk. However, we believe their efforts are becoming increasingly limited relative to years past as global economic uncertainty has risen and central banks are already ‘printing’ money. Regardless of what we think, a lot happens in 365 days and the markets will surprise investors in 2020, so we will just have to wait and see.

For the fourth quarter, the S&P 500 gained 9.07%, which lagged the Russell 2000 Index’s return of 9.94%. The CBOE S&P 500 PutWrite Index (PUT) gained 4.45% finishing slightly behind the CBOE Russell 2000 PutWrite Index (PUTR)’s return of 4.80%. For the year, the S&P 500 produced an attractive return of 31.49%, substantially exceeding the 25.52% return of the Russell 2000 Index. Meanwhile, the PUT and the PUTR indexes returned 13.51% and 14.50%, respectively.

The sleeve appreciated 3.18% on the quarter, outperforming its benchmark (40% CBOE S&P 500 PutWrite Index / 60% ICE BofA 0-3M US Treasury Bill Index) return of 2.03%. On the year, the sleeve rallied 11.99%, almost doubling its benchmark return of 6.66% and outperforming the CBOE S&P 500 2% OTM PutWrite Index (“PUTY”) return of 10.53%. Average option notional exposure over the quarter remained consistent with strategic targets of 85% S&P 500 and 15% Russell 2000 Index.

For the quarter, the sleeve’s S&P 500 put writing strategy (which makes up approximately 85% of the exposure) returned 3.18% exceeding the 2.96% return of the PUTY. Meanwhile, year to date, the sleeve’s S&P 500 Index put writing strategy has rallied 12.05% exceeding the 10.53% of the PUTY index.

The CBOE S&P 500 Volatility Index (“VIX”) increased a modest 1.2 points in the fourth quarter to end the year at 13.8, averaging 13.7 over the period. A realized volatility for the S&P 500 of 7.6 resulted in an estimated positive implied volatility premium of 6.1. On the year, the VIX level has fallen -11.6 points from 25.4 at the start of the year, averaging 15.4 for the period. Meanwhile, 30-day volatility on the S&P 500 realized at 11.4, leading to a positive average implied volatility premium of 4.2 for the year.

For the quarter, the sleeve’s Russell 2000 Index put writing strategy posted a gain of 3.65% outperforming the S&P 500 put-write strategy. Year to date, the sleeve’s Russell 2000 Index put writing strategy has rallied 12.28% capturing modestly more premium than the S&P 500 put-write strategy despite the underperformance of the Russell 2000 vs. the S&P 500 on the year.

Fund Summary 93

The CBOE Russell 2000 Volatility Index (“RVX”) slipped -1.8 points in the fourth quarter to end 2019 at 15.2, averaging 16.2 over the period. A realized volatility for the Russell 2000 Index of 11.0 resulted in an estimated positive implied volatility premium of 5.2. On the year, the RVX level fell -13.3 points from 28.5 at the start of the year, averaging 18.9 for the period. Meanwhile, volatility on the Russell 2000 Index realized at 16.6, leading to a positive average implied volatility premium of 2.3 for the year.

Over the quarter, 2-Year US Treasury Yields declined a modest 5bps. The collateral portion of the sleeve gained 0.48%, performing in-line with the 0.44% return of the ICE BofA 0-3 Month US T-Bill Index over the period. Year to date, the collateral portion of the sleeve climbed 3.11%, as 2-Year US Treasury Yields fell 92bps, outperforming the ICE BofA 0-3 Month US T-Bill Index return of 2.21%.

Strategy Allocations

The fund’s allocation across the four managers are as follows: 32.5% to both Brown Brothers Harriman and Guggenheim Investments, 20% to Neuberger Berman, and 15% to Ares Management. We use the fund’s daily cash flows to bring each manager’s allocation toward their targets should differences in shorter-term relative performance cause divergences.

Sub-Advisor Portfolio Composition as of December 31, 2019

Ares Alternative Equity Income Strategy

BDCs	36.7	%
Midstream	20.1	%
Mortgage REITs	20.6	%
CEFs	1.1	%
Other	9.1	%
Cash	12.4	%

Brown Brothers Harriman Credit Value Strategy

ABS	28.0	%
Bank Loans	34.0	%
Corporate Bonds	30.0	%
CMBS	6.0	%
Cash	2.0	%

Guggenheim Multi-Credit Strategy

ABS:	35.2	%
RMBS:	21.0	%
Corporate Bonds:	10.4	%
Cash:	10.1	%
Sovereign:	9.6	%
Bank Loans:	7.5	%
CMBS:	3.1	%
Interest Rate Swaps:	-0.3	%
Other:	3.4	%

Neuberger Berman Option Income Strategy

Equity Index Put Writing 100 % 

94 Litman Gregory Funds Trust

CURRENT TARGET STRATEGY ALLOCATIONS AS OF DECEMBER 31, 2019

Source: Litman Gregory

PORTFOLIO CHARACTERISTICS – 12/31/2019
Total Net Assets:	$	94,470,743
Total Holdings:		392
Weighted Average Duration:		1.24 Years
30-Day SEC Yield:		3.00%
TTM Distribution Yield:		3.65%

SECTOR EXPOSURE – 12/31/2019
Asset Backed	22.1%
Put Write	19.3%
Bank Loan	14.4%
Corporate	13.0%
CMO	7.5%
BDC	6.8%
Govt & Muni	4.1%
MREIT	4.1%
MLP	2.3%
Cash and Other	6.4%

CREDIT QUALITY BREAKDOWN* – 12/31/2019
AAA:	17.72%
AA:	13.58%
A:	12.14%
BBB:	34.22%
BB:	10.72%
B:	0.75%
CCC and Lower:	7.97%
Not Rated:	2.90%
Average Credit Quality:	BBB+
Equity:	14.24%

*Does not include Neuberger Berman’s collateral

All bond ratings shown are provided by Moody’s Investor Services, Inc. or Standard & Poor’s Corporation

Credit ratings apply the underlying holdings of the fund, and not to the fund itself. S&P and Moody s study the financial condition of an entity to ascertain its creditworthiness. The credit ratings reflect the rating agency’s opinion of the holdings financial condition and histories. The ratings shown are all considered investment grade and are listed by highest to lowest in percentage of what the fund holds.

Fund Summary 95

Litman Gregory Masters High Income Alternatives Fund Managers

INVESTMENT MANAGER	FIRM	TARGET MANAGER ALLOCATION	Strategy
Greg Mason Troy Ward	Ares Management, LLC	15%	Equity Income
Andrew P. Hofer Neil Hohmann Paul Kunz	Brown Brothers Harriman & Co.	33%	Credit Value
Scott Minerd Anne Walsh Steven Brown Adam Bloch	Guggenheim Partners Investment Management, LLC	33%	Multi-Credit
Derek Devens	Neuberger Berman Investment Advisers LLC	20%	Option Income

High Income Alternatives Fund Value of Hypothetical $100,000

The value of a hypothetical $100,000 investment in the Litman Gregory Masters High Income Alternatives Fund from September 28, 2018 to December 31, 2019 compared with the Bloomberg Barclays U.S. Aggregate Bond Index.

The hypothetical $100,000 investment at fund inception includes changes due to share price and reinvestment of dividends and capital gains. The chart does not imply future performance. Indexes are unmanaged, do not incur fees, expenses or taxes, and cannot be invested in directly.

96 Litman Gregory Funds Trust

Litman Gregory Masters High Income Alternatives Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019

Shares			Value
	COMMON STOCKS: 11.7%
	Energy: 2.6%
	10,300	CNX Midstream Partners L.P.	$	169,538
	8,200	Crestwood Equity Partners L.P.		252,724
	18,900	Enable Midstream Partners L.P.		189,567
	23,800	Energy Transfer L.P.		305,354
	19,506	EnLink Midstream LLC		119,572
	12,957	Enterprise Products Partners L.P.		364,869
	4,600	EQM Midstream Partners L.P.		137,586
	3,537	Magellan Midstream Partners L.P.		222,371
	5,298	MPLX L.P.		134,887
	13,188	Plains All American Pipeline L.P.		242,527
	3,956	Western Midstream Partners L.P.		77,894
	11,207	Williams Cos., Inc. (The)		265,830
				2,482,719
	Financials: 8.6%
	23,100	AGNC Investment Corp.		408,408
	23,668	Alcentra Capital Corp.		214,195
	21,617	Apollo Investment Corp.		377,433
	61,882	Ares Capital Corp.		1,154,099
	49,200	Barings BDC, Inc.		505,776
	58,290	BlackRock Capital Investment Corp.		289,410
	11,300	Ellington Financial, Inc.		207,129
	27,078	Ellington Residential Mortgage REIT		293,796
	375	Exantas Capital Corp.		4,429
	125,982	FS KKR Capital Corp.		772,270
	9,648	KKR Real Estate Finance Trust, Inc.		197,012
	19,200	New Mountain Finance Corp.		263,808
	26,322	New Residential Investment Corp.		424,048
	1,304	Oaktree Specialty Lending Corp.		7,120
	46,401	Oaktree Strategic Income Corp.		380,024
	25,119	Ready Capital Corp.		387,335
	16,450	Redwood Trust, Inc.		272,083
	19,947	Solar Capital Ltd.		411,307
	26,575	TCG BDC, Inc.		355,574
	20,655	TPG RE Finance Trust, Inc.		418,677
	23,437	Two Harbors Investment Corp.		342,649
	38,642	WhiteHorse Finance, Inc.		529,395
				8,215,977
	Industrials: 0.5%
	10,111	Macquarie Infrastructure Corp.		433,155
	TOTAL COMMON STOCKS (Cost $11,082,682)			11,131,851
	PREFERRED STOCKS: 1.4%
	Energy: 0.1%
		NuStar Energy L.P.
	3,000	7.625%, 06/15/2022(a)(b)		64,950
	Financials: 1.3%
		AG Mortgage Investment Trust, Inc.
	2,350	8.000%, 09/17/2024(a)(b)		62,017
		AGNC Investment Corp.
	4,700	6.500%, 10/15/2024(a)(b)		120,555
		AmTrust Financial Services, Inc.
	50	7.250%, 02/12/2020(b)		880
		AmTrust Financial Services, Inc.
	23	7.625%, 02/12/2020(b)		405

Shares			Value
	Financials (continued)
		AmTrust Financial Services, Inc.
	205	7.500%, 03/19/2020(b)	$	3,639
		AmTrust Financial Services, Inc.
	122	7.750%, 03/15/2021(b)		2,152
		Annaly Capital Management, Inc.
	5,950	6.950%, 09/30/2022(a)(b)		153,807
		Chimera Investment Corp.
	4,000	8.000%, 03/30/2024(a)(b)		105,280
		Chimera Investment Corp.
	7,570	7.750%, 09/30/2025(a)(b)		196,441
		Dynex Capital, Inc.
	1,800	8.500%, 02/12/2020(b)		46,278
		Investcorp Credit Management BDC, Inc.
	5,650	6.125%, 07/01/2023		140,205
		New Residential Investment Corp.
	8,200	7.125%, 08/15/2024(a)(b)		212,544
		New Residential Investment Corp.
	7,775	7.500%, 08/15/2024(a)(b)		205,493
				1,249,696
	TOTAL PREFERRED STOCKS (Cost $1,276,182)			1,314,646
	CLOSED-END FUND: 0.2%
	11,150	Kayne Anderson MLP/Midstream Investment Co.		155,320
	TOTAL CLOSED-END FUND (Cost $139,683)			155,320
	EXCHANGE-TRADED FUND: 1.1%
	9,150	iShares Core U.S. Aggregate Bond ETF		1,028,186
	TOTAL EXCHANGE-TRADED FUND (Cost $1,028,699)			1,028,186
Principal Amount^
	ASSET-BACKED SECURITIES: 22.5%
		Aaset Trust
	$236,750	Series 2019-1-B 4.948%, 05/15/2039(c)		236,938
	246,525	Series 2019-2-B 4.458%, 10/16/2039(c)		244,284
		AASET US Ltd.
	225,479	Series 2018-2A-A 4.454%, 11/18/2038(c)		229,992
		ACC Trust
	156,492	Series 2019-1-A 3.750%, 05/20/2022(c)		157,364
		Adams Outdoor Advertising L.P.
	393,440	Series 2018-1-A 4.810%, 11/15/2048(c)		408,799
		AIM Aviation Finance Ltd.
	165,017	Series 2015-1A-A1 4.213%, 02/15/2040(c)(d)		164,984
	169,825	Series 2015-1A-B1 5.072%, 02/15/2040(c)(d)		169,698

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 97

Litman Gregory Masters High Income Alternatives Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	ASSET-BACKED SECURITIES (CONTINUED)
		American Express Credit Account Master Trust
	$ 500,000	Series 2018-1-A 2.670%, 10/17/2022	$	500,779
		Amur Equipment Finance Receivables VI LLC
	175,165	Series 2018-2A-A2 3.890%, 07/20/2022(c)		177,940
		Avis Budget Rental Car Funding AESOP LLC
	100,000	Series 2015-1A-A 2.500%, 07/20/2021(c)		100,125
		Bain Capital Credit CLO Ltd.
	250,000	Series 2016-2A-CR 4.551%, 01/15/2029(c)(e) 3 mo. USD LIBOR + 2.550%		245,519
		Capital Automotive LLC
	331,064	Series 2017-1A-A1 3.870%, 04/15/2047(c)		333,795
		Carmax Auto Owner Trust
	64,540	Series 2019-3-A1 2.257%, 08/17/2020		64,538
		Castlelake Aircraft Securitization Trust
	351,670	Series 2017-1A 3.967%, 07/15/2042		356,623
		CFG Investments Ltd.
	400,000	Series 2019-1-B 7.620%, 08/15/2029(c)		405,604
		Citibank Credit Card Issuance Trust
	600,000	Series 2017-A3-A3 1.920%, 04/07/2022		599,983
		Colombia Cent CLO 27 Ltd.
	266,666	Series 2018-27A-X 2.640%, 10/25/2028(c)(e) 3 mo. USD LIBOR + 0.700%		266,669
		Drug Royalty III L.P.
	380,026	Series 2018-1A-A1 3.903%, 10/15/2031(c)(e) 3 mo. USD LIBOR + 1.600%		379,683
		Elm Trust
	300,000	Series 2018-2A-A2 4.605%, 10/20/2027(c)		301,636
	100,000	Series 2018-2A-B 5.584%, 10/20/2027(c)		101,573
		Falcon Aerospace Ltd.
	475,530	Series 2017-1-B 6.300%, 02/15/2042(c)		488,953
		FREED ABS Trust
	400,000	Series 2018-2-B 4.610%, 10/20/2025(c)		409,965
		Global SC Finance II SRL
	275,000	Series 2014-1A-A1 3.190%, 07/17/2029(c)		274,862
		Greywolf CLO III Ltd.
	250,000	Series 2018-3RA-A2 3.603%, 10/22/2028(c)(e) 3 mo. USD LIBOR + 1.650%		249,873

Principal Amount^			Value
	$ 228,571	Series 2018-3RA-X 2.603%, 10/22/2028(c)(e) 3 mo. USD LIBOR + 0.650%	$	228,594
		GSAMP Trust
	285,696	Series 2007-NC1-A1 1.922%, 12/25/2046(e) 1 mo. USD LIBOR + 0.130%		184,144
		Hercules Capital Funding Trust
	400,000	Series 2018-1A-A 4.605%, 11/22/2027(c)		401,619
	100,000	Series 2019-1A-A 4.703%, 02/20/2028(c)		100,662
		Hull Street CLO Ltd.
	300,000	Series 2014-1A-CR 4.703%, 10/18/2026(c)(e) 3 mo. USD LIBOR + 2.700%		299,070
		InSite Issuer LLC
	480,000	Series 2018-1A-C 6.115%, 12/15/2048(c)		500,549
		KREF Ltd.
	400,000	Series 2018-FL1-A 2.837%, 06/15/2036(c)(e) 1 mo. USD LIBOR + 1.100%		401,121
		Legacy Mortgage Asset Trust
	238,417	Series 2019-GS5-A1 3.200%, 05/25/2059(c)(d)		239,299
		Madison Avenue Secured Funding Trust
	150,000	Series 2019-1-A 3.218%, 11/11/2020(c)(e) 1 mo. USD LIBOR + 1.500%		150,385
		Marathon CLO V Ltd.
	500,000	Series 2013-5A-A2R 3.345%, 11/21/2027(c)(e) 3 mo. USD LIBOR + 1.450%		493,083
		Marathon CRE Ltd.
	100,000	Series 2018-FL1-C 4.340%, 06/15/2028(c)(e) 1 mo. USD LIBOR + 2.600%		100,228
		Monroe Capital CLO Ltd.
	250,000	Series 2014-1A-CR 4.353%, 10/22/2026(c)(e) 1 mo. USD LIBOR + 2.400%		249,216
		Morgan Stanley ABS Capital I, Inc. Trust
	345,220	Series 2006-HE8-A2D 2.012%, 10/25/2036(e) 1 mo. USD LIBOR + 0.220%		221,421
	404,356	Series 2007-HE4-A2C 2.022%, 02/25/2037(e) 1 mo. USD LIBOR + 0.230%		188,219
		Morgan Stanley IXIS Real Estate Capital Trust
	415,167	Series 2006-2-A4 2.012%, 11/25/2036(e) 1 mo. USD LIBOR + 0.220%		206,925
		NADG NNN Operating L.P.
	160,000	Series 2019-1-A 3.368%, 12/28/2049(c)(f)		158,838

The accompanying notes are an integral part of these financial statements.

98 Litman Gregory Funds Trust

Litman Gregory Masters High Income Alternatives Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	ASSET-BACKED SECURITIES (CONTINUED)
		Nassau CFO LLC
	$ 244,593	Series 2019-1-A 3.980%, 08/15/2034(c)	$	242,799
		Nationstar HECM Loan Trust
	460,000	Series 2018-3A-M1 3.903%, 11/25/2028(a)(c)(f)		465,732
		Neuberger Berman CLO XX Ltd.
	420,000	Series 2015-20A-AR 2.801%, 01/15/2028(c)(e) 3 mo. USD LIBOR + 0.800%		419,957
		New Residential Advance Receivables Trust
	600,000	Series 2019-T3-DT3 3.055%, 09/15/2052(c)		600,066
	300,000	Series 2019-T4-DT4 2.804%, 10/15/2051(c)		299,715
		NewStar Clarendon Fund CLO LLC
	250,000	Series 2014-1A-BR 3.990%, 01/25/2027(c)(e) 3 mo. USD LIBOR + 2.050%		249,989
	300,000	Series 2014-1A-CR 4.990%, 01/25/2027(c)(e) 3 mo. USD LIBOR + 3.050%		299,985
		Newtek Small Business Loan Trust
	180,648	Series 2018-1-A 3.408%, 02/25/2044(c)(e) 1 mo. USD LIBOR + 1.700%		180,985
	82,113	Series 2018-1-B 4.708%, 02/25/2044(c)(e) 1 mo. USD LIBOR + 3.000%		82,831
		NextGear Floorplan Master Owner Trust
	200,000	Series 2018-2A-A2 3.690%, 10/15/2023(c)		205,323
		Ocwen Master Advance Receivables Trust
	100,000	Series 2019-T1-BT1 2.662%, 08/15/2050(c)		100,293
	100,000	Series 2019-T1-CT1 2.811%, 08/15/2050(c)		100,294
	100,000	Series 2019-T1-DT1 3.107%, 08/15/2050(c)		100,295
		Oportun Funding X LLC
	400,000	Series 2018-C-B 4.590%, 10/08/2024(c)		413,560
		Oxford Finance Funding LLC
	260,000	Series 2019-1A-A2 4.459%, 02/15/2027(c)		264,014
		Palmer Square Loan Funding Ltd.
	379,938	Series 2018-4A-A1 2.810%, 11/15/2026(c)(e) 3 mo. USD LIBOR + 0.900%		380,075
	215,000	Series 2019-2A-B 4.216%, 04/20/2027(c)(e) 3 mo. USD LIBOR + 2.250%		215,372
	340,000	Series 2019-3A-B 3.999%, 08/20/2027(c)(e) 3 mo. USD LIBOR + 2.100%		335,625

Principal Amount^			Value
		Raspro Trust
	$ 584,129	Series 2005-1A-B 2.891%, 03/23/2024(c)(e) 3 mo. USD LIBOR + 0.925%	$	584,762
		ReadyCap Lending Small Business Loan Trust
	220,000	Series 2019-2-A 4.250%, 12/27/2044(a)(c)(f)		220,000
		Regatta VI Funding Ltd.
	500,000	Series 2016-1A-AR 3.046%, 07/20/2028(c)(e) 3 mo. USD LIBOR + 1.080%		500,008
		Regional Management Issuance Trust
	480,000	Series 2018-2-B 4.940%, 01/18/2028(c)		491,887
		Republic FInance Issuance Trust
	240,000	Series 2019-A-A 3.430%, 11/22/2027(c)		239,734
		RMF Buyout Issuance Trust
	460,000	Series 2018-1-M1 3.912%, 11/25/2028(a)(c)(f)		461,580
		Saganaw Insurance Recievables LLC
	172,870	Series 2019-1A-A 5.125%, 12/01/2023(c)		174,642
		Sapphire Aviation Finance I Ltd.
	196,921	Series 2018-1A-A 4.250%, 03/15/2040(c)		200,426
		Secured Tenant Site Contract Revenue Notes
	121,897	Series 2018-1A-C 3.970%, 06/15/2048(c)		123,521
		SPS Servicer Advance Receivables Trust
	150,000	Series 2019-T1-DT1 2.630%, 10/15/2051(c)		150,184
		Stack Infrastructure Issuer LLC
	456,167	Series 2019-1A-A2 4.540%, 02/25/2044(c)		478,107
		Staniford Street CLO Ltd.
	186,479	Series 2014-1A-AR 3.074%, 06/15/2025(c)(e) 3 mo. USD LIBOR + 1.180%		186,871
		STWD Ltd.
	150,000	Series 2019-FL1-B 3.340%, 07/15/2038(c)(e) 1 mo. USD LIBOR + 1.600%		150,386
		THL Credit Wind River CLO Ltd.
	430,666	Series 2012-1A-AR2 2.881%, 01/15/2026(c)(e) 3 mo. USD LIBOR + 0.880%		430,720
		TPG Real Estate Finance Issuer Ltd.
	470,000	Series 2018-FL2-A 2.867%, 11/15/2037(c)(e) 1 mo. USD LIBOR + 1.130%		470,202
		Venture XIII CLO Ltd.
	250,000	Series 2013-13A-SUB 0.000%, 09/10/2029(c)(a)		109,309
		Veros Automobile Receivables Trust
	90,944	Series 2018-1-A 3.630%, 05/15/2023(c)		91,166

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 99

Litman Gregory Masters High Income Alternatives Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	ASSET-BACKED SECURITIES (CONTINUED)
		Wachovia Asset Securitization Issuance II LLC Trust
	$ 287,688	Series 2007-HE2A-A 1.922%, 07/25/2037(c)(e) 1 mo. USD LIBOR + 0.130%	$	274,063
		Wingstop Funding LLC
	99,250	Series 2018-1-A2 4.970%, 12/05/2048(c)		102,286
	TOTAL ASSET-BACKED SECURITIES (Cost $21,288,286)			21,390,316
	BANK LOANS: 13.4%
		Accuride Corp.
	49,490	7.195%, 11/17/2023(e) 3 mo. LIBOR + 5.250%		39,344
		Air Newco LLC
	100,000	6.262%, 10/09/2026(e) 3 mo. LIBOR + 4.250%		99,250
		API Technologies Corp.
	99,500	6.049%, 05/09/2026(e) 1 mo. LIBOR + 4.250%		96,017
		Arctic Glacier U.S.A., Inc.
	100,000	5.299%, 03/20/2024(e) 1 mo. LIBOR + 3.500%		96,833
		Aria Energy Operating LLC
	296,873	6.299%, 05/27/2022(e) 1 mo. LIBOR + 4.500%		293,533
		Avolon TLB Borrower 1 (US) LLC
	454,422	3.515%, 01/15/2025(e) 1 mo. LIBOR + 1.750%		457,831
		AVSC Holding Corp.
	98,744	5.091%, 03/03/2025(e) 1 mo. LIBOR + 3.250%		98,620
		BCP Renaissance Parent LLC
	493,734	5.445%, 10/31/2024(e) 2 mo. LIBOR + 3.500%		440,349
		BCPE Empire Holdings, Inc.
	2,083	4.228%, 06/11/2026(e) 1 mo. LIBOR + 4.000%		2,092
	83,335	5.799%, 06/11/2026(e) 1 mo. LIBOR + 4.000%		83,674
		Blue Ribbon LLC
	10,000	0.000%, 11/15/2021(g)		8,644
		Buckeye Partners L.P.
	300,000	4.441%, 11/01/2026(e) 1 mo. LIBOR + 2.750%		303,084
		BWAY Holding Co.
	98,734	5.234%, 04/03/2024(e) 3 mo. LIBOR + 3.250%		98,580
		CD&R Hydra Buyer, Inc.
	99,492	6.049%, 12/11/2024(e) 1 mo. LIBOR + 4.250%		98,601
		CenturyLink, Inc.
	260,526	4.549%, 11/01/2022(e) 1 mo. LIBOR + 2.750%		261,667
		Cologix, Inc.
	100,000	5.549%, 03/20/2024(e) 1 mo. LIBOR + 3.750%		99,500

Principal Amount^			Value
		Comet Acquisition, Inc.
	$ 99,000	5.409%, 10/24/2025(e) 3 mo. LIBOR + 3.500%	$	97,597
		CPM Holdings, Inc.
	99,000	5.549%, 11/17/2025(e) 1 mo. LIBOR + 3.750%		98,307
		Cvent, Inc.
	98,744	5.549%, 11/29/2024(e) 1 mo. LIBOR + 3.750%		98,818
		Diamond (BC) B.V.
	98,741	4.927%, 09/06/2024(e) 3 mo. LIBOR + 3.000%		96,988
		Eastern Power LLC
	680,516	5.549%, 10/02/2023(e) 1 mo. LIBOR + 3.750%		683,334
		Emerald TopCo, Inc.
	99,750	5.299%, 07/24/2026(e) 1 mo. LIBOR + 3.500%		100,452
		Frontera Generation Holdings LLC
	492,401	5.990%, 05/02/2025(e) 1 mo. LIBOR + 4.250%		425,927
		Give & Go Prepared Foods Corp.
	99,745	6.195%, 07/29/2023(e) 3 mo. LIBOR + 4.250%		95,381
		GlobalFoundries, Inc.
	99,500	6.750%, 06/05/2026(e) 3 mo. LIBOR + 4.750%		96,391
		HCA Inc.
	593,977	3.549%, 03/13/2025(e) 1 mo. LIBOR + 1.750%		598,099
		Helix Gen Funding LLC
	600,000	5.549%, 06/03/2024(e) 1 mo. LIBOR + 3.750%		593,082
		IBC Capital Ltd.
	98,744	5.649%, 09/11/2023(e) 3 mo. LIBOR + 3.750%		98,991
		IRB Holding Corp.
	98,744	5.216%, 02/05/2025(e) 3 mo. LIBOR + 3.250%		99,505
		Kestrel Acquisition LLC
	284,266	6.050%, 06/02/2025(e) 1 mo. LIBOR + 4.250%		252,997
		LTI Holdings, Inc.
	98,750	5.299%, 09/06/2025(e) 1 mo. LIBOR + 3.500%		89,298
		MMM Holdings, Inc.
	780,000	9.500%, 12/24/2026(e) 3 mo. PRIME + 4.750%		764,400
		Moran Foods LLC
	49,490	8.549%, 12/05/2023(e) 1 mo. LIBOR + 6.750%		18,126
		NFP Corp.
	49,364	4.799%, 01/08/2024(e) 1 mo. LIBOR + 3.000%		49,245
		NorthRiver Midstream Finance L.P.
	592,747	5.349%, 10/01/2025(e) 3 mo. LIBOR + 3.250%		594,786
		Panther BF Aggregator 2 L.P.
	653,363	5.305%, 04/30/2026(e) 1 mo. LIBOR + 3.500%		656,835

The accompanying notes are an integral part of these financial statements.

100 Litman Gregory Funds Trust

Litman Gregory Masters High Income Alternatives Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	BANK LOANS (CONTINUED)
		Playpower, Inc.
	$ 99,500	7.461%, 05/08/2026(e) 3 mo. LIBOR + 5.500%	$	98,754
		RPI Finance Trust
	672,335	3.799%, 03/27/2023(e) 1 mo. LIBOR + 2.000%		678,746
		ScribeAmerica Intermediate Holdco LLC
	49,372	6.240%, 04/03/2025(e) 1 mo. LIBOR + 4.500%		48,570
		Sprint Communications, Inc.
	567,891	4.313%, 02/02/2024(e) 1 mo. LIBOR + 2.500%		563,916
		SS&C Technologies, Inc.
	342,543	4.049%, 04/16/2025(e) 1 mo. LIBOR + 2.250%		345,277
		Summit Midstream Partners Holdings LLC
	15,964	7.799%, 05/13/2022(e) 1 mo. LIBOR + 6.000%		15,165
		Teneo Holdings LLC
	49,875	6.990%, 07/11/2025(e) 1 mo. LIBOR + 5.250%		47,568
		Tivity Health, Inc.
	738,886	7.049%, 03/06/2026(e) 1 mo. LIBOR + 5.250%		740,917
		TVC Albany, Inc.
	98,750	5.300%, 07/23/2025(e) 1 mo. LIBOR + 3.500%		98,997
		U.S. Renal Care, Inc.
	473,813	6.813%, 06/26/2026(e) 1 mo. LIBOR + 5.000%		471,510
		UGI Energy Services LLC
	238,800	5.549%, 08/13/2026(e) 1 mo. LIBOR + 3.750%		240,591
		Vistra Operations Co. LLC
	651,344	3.537%, 12/31/2025(e) 1 mo. LIBOR + 1.750%		656,155
		Wyndham Hotels & Resorts, Inc.
	592,747	3.549%, 05/30/2025(e) 1 mo. LIBOR + 1.750%		596,452
	TOTAL BANK LOANS (Cost $12,858,288)			12,788,796
	CORPORATE BONDS: 12.9%
	Basic Materials: 0.0%
		Georgia-Pacific LLC
	20,000	5.400%, 11/01/2020(c)		20,558
		Neon Holdings, Inc.
	25,000	10.125%, 04/01/2026(c)		24,934
				45,492
	Communications: 0.8%
		TEGNA, Inc.
	260,000	5.000%, 09/15/2029(c)		264,875
		Telefonica Emisiones S.A.
	25,000	5.134%, 04/27/2020		25,238
		VeriSign, Inc.
	400,000	5.250%, 04/01/2025		441,758
				731,871

Principal Amount^			Value
	Consumer, Cyclical: 0.2%
		McDonald’s Corp.
	$ 50,000	Series MTN 3.500%, 07/15/2020	$	50,403
		Panther BF Aggregator 2 L.P./Panther Finance Co., Inc.
	10,000	8.500%, 05/15/2027(c)		10,644
		Party City Holdings, Inc.
	50,000	6.625%, 08/01/2026(c)		35,366
		Starbucks Corp.
	50,000	2.100%, 02/04/2021		50,135
				146,548
	Consumer, Non-cyclical: 2.2%
		AbbVie, Inc.
	100,000	2.245%, 05/21/2021(c)(e) 3 mo. USD LIBOR + 0.350%		100,124
		Allergan Funding SCS
	100,000	3.142%, 03/12/2020(e) 3 mo. USD LIBOR + 1.255%		100,194
		Ashtead Capital, Inc.
	260,000	4.250%, 11/01/2029(c)		266,175
		Carriage Services, Inc.
	10,000	6.625%, 06/01/2026(c)		10,678
		Centene Corp.
	90,000	4.250%, 12/15/2027(c)		92,754
		Cigna Corp.
	65,000	2.250%, 03/17/2020(e) 3 mo. USD LIBOR + 0.350%		65,027
		Conagra Brands, Inc.
	20,000	2.703%, 10/22/2020(e) 3 mo. USD LIBOR + 0.750%		20,002
		Constellation Brands, Inc.
	160,000	2.250%, 11/06/2020		160,346
		CVS Pass-Through Trust
	155,276	5.926%, 01/10/2034(c)		181,195
		General Mills, Inc.
	70,000	2.541%, 04/16/2021(e) 3 mo. USD LIBOR + 0.540%		70,243
		Ingredion, Inc.
	70,000	4.625%, 11/01/2020		71,448
		KeHE Distributors LLC/KeHE Finance Corp.
	10,000	8.625%, 10/15/2026(c)		10,494
		MEDNAX, Inc.
	415,000	6.250%, 01/15/2027(c)		426,423
		Molson Coors Brewing Co.
	70,000	2.250%, 03/15/2020		69,975
		Mondelez International, Inc.
	100,000	3.000%, 05/07/2020		100,294
		Nathan’s Famous, Inc.
	50,000	6.625%, 11/01/2025(c)		51,250
		Quest Diagnostics, Inc.
	70,000	4.700%, 04/01/2021		72,343
		Reynolds American, Inc.
	100,000	3.250%, 06/12/2020		100,463
		Sotheby’s
	50,000	7.375%, 10/15/2027(c)		50,717
		Vector Group Ltd.
	50,000	6.125%, 02/01/2025(c)		49,312
		Zimmer Biomet Holdings, Inc.
	60,000	2.700%, 04/01/2020		60,041
				2,129,498

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 101

Litman Gregory Masters High Income Alternatives Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	CORPORATE BONDS (CONTINUED)
	Energy: 0.9%
		Enable Midstream Partners L.P.
	$ 405,000	4.150%, 09/15/2029	$	385,423
		Energy Transfer Operating L.P.
	25,000	7.500%, 10/15/2020		25,986
	320,000	6.250%, 02/15/2023(a)(b) 3 mo. USD LIBOR + 4.028%		301,286
		Florida Gas Transmission Co. LLC
	60,000	5.450%, 07/15/2020(c)		61,015
		Sabine Pass Liquefaction LLC
	100,000	5.625%, 02/01/2021		102,807
				876,517
	Financial: 8.0%
		Alliance Data Systems Corp.
	285,000	4.750%, 12/15/2024(c)		285,000
		American Equity Investment Life Holding Co.
	54,000	5.000%, 06/15/2027		57,700
		American Tower Corp.
	70,000	3.300%, 02/15/2021		70,967
		Aon Corp.
	70,000	5.000%, 09/30/2020		71,511
		Apollo Management Holdings L.P.
	350,000	4.950%, 01/14/2050(a)(c) 5 year CMT + 3.266%		354,977
		Assurant, Inc.
	17,000	3.197%, 03/26/2021(e) 3 mo. USD LIBOR + 1.250%		17,002
		AXIS Specialty Finance LLC
	70,000	5.875%, 06/01/2020		71,108
		BlackRock TCP Capital Corp.
	390,000	4.125%, 08/11/2022		404,009
	50,000	3.900%, 08/23/2024		51,122
		Brazilian Merchant Voucher Receivables Ltd.
	200,000	4.180%, 04/07/2028(f)		206,510
		Business Development Corp. of America
	375,000	4.750%, 12/30/2022(c)		375,418
	225,000	4.850%, 12/15/2024(c)		225,229
		Capital One Financial Corp.
	60,000	2.386%, 10/30/2020(e) 3 mo. USD LIBOR + 0.450%		60,128
		Credit Acceptance Corp.
	200,000	7.375%, 03/15/2023		205,833
	80,000	5.125%, 12/31/2024(c)		83,277
	285,000	6.625%, 03/15/2026(c)		308,832
		Credit Agricole Corporate & Investment Bank S.A.
	100,000	Series MTN 2.302%, 05/03/2021(c)(e) 3 mo. USD LIBOR + 0.400%		100,201
		Drawbridge Special Opportunities Fund L.P./Drawbridge Special Opportunities Finance
	465,000	5.000%, 08/01/2021(c)		472,301
		Enstar Group Ltd.
	500,000	4.950%, 06/01/2029		536,754

Principal Amount^			Value
	Financial (continued)
		HAT Holdings I LLC/HAT Holdings II LLC
	$ 230,000	5.250%, 07/15/2024(c)	$	242,267
		Icahn Enterprises L.P./Icahn Enterprises Finance Corp.
	50,000	5.875%, 02/01/2022		50,152
		Main Street Capital Corp.
	200,000	5.200%, 05/01/2024		215,251
		Marsh & McLennan Cos., Inc.
	20,000	4.800%, 07/15/2021		20,731
		Owl Rock Capital Corp.
	250,000	5.250%, 04/15/2024		265,457
	120,000	4.625%, 11/26/2024(c)		121,524
	185,000	4.000%, 03/30/2025		185,863
		RBC USA Holdco Corp.
	100,000	5.250%, 09/15/2020		102,296
		Sirius International Group Ltd.
	700,000	4.600%, 11/01/2026(c)		690,355
		Solar Capital Ltd.
	400,000	4.500%, 01/20/2023		400,635
		Swiss Re Finance Luxembourg S.A.
	495,000	5.000%, 04/02/2049(a)(c) 5 year CMT + 3.582%		553,162
		Synchrony Bank
	250,000	Series BKNT 2.586%, 03/30/2020(e) 3 mo. USD LIBOR + 0.625%		250,203
		United Insurance Holdings Corp.
	530,000	6.250%, 12/15/2027		542,917
				7,598,692
	Industrial: 0.3%
		Cleaver-Brooks, Inc.
	15,000	7.875%, 03/01/2023(c)		15,006
		Molex Electronic Technologies LLC
	60,000	2.878%, 04/15/2020(c)		60,083
		Northrop Grumman Corp.
	30,000	3.500%, 03/15/2021		30,586
		Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu
	48,455	5.750%, 10/15/2020		48,576
		Textron, Inc.
	100,000	2.451%, 11/10/2020(e) 3 mo. USD LIBOR + 0.550%		100,004
				254,255
	Technology: 0.3%
		Broadcom Corp./Broadcom Cayman Finance Ltd.
	60,000	2.375%, 01/15/2020		60,003
		Dell International LLC/EMC Corp.
	200,000	6.020%, 06/15/2026(c)		230,409
		Fiserv, Inc.
	20,000	2.700%, 06/01/2020		20,051
				310,463
	Utilities: 0.2%
		Eversource Energy
	20,000	2.500%, 03/15/2021		20,122

The accompanying notes are an integral part of these financial statements.

102 Litman Gregory Funds Trust

Litman Gregory Masters High Income Alternatives Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	CORPORATE BONDS (CONTINUED)
	Utilities (continued)
		Exelon Corp.
	$ 60,000	2.850%, 06/15/2020	$	60,142
		NextEra Energy Capital Holdings, Inc.
	100,000	2.411%, 09/28/2020(e) 3 mo. USD LIBOR + 0.450%		100,153
				180,417
	TOTAL CORPORATE BONDS (Cost $11,824,085)			12,273,753
	GOVERNMENT SECURITIES & AGENCY ISSUE: 22.2%
		Brazil Letras do Tesouro Nacional
	400,000 (BRL)	0.000%, 04/01/2020(h)		98,420
	2,000,000 (BRL)	0.000%, 07/01/2020(h)		487,080
	400,000 (BRL)	0.000%, 07/01/2021(h)		92,612
		Israel Government Bond - Fixed
	2,350,000 (ILS)	0.500%, 01/31/2021		686,556
	2,110,000 (ILS)	1.000%, 04/30/2021		622,307
	690,000 (ILS)	5.500%, 01/31/2022		232,035
		Spain Government Bond
	250,000 (EUR)	4.000%, 04/30/2020(c)		284,776
	350,000 (EUR)	0.750%, 07/30/2021		400,356
		United States Treasury Note
	1,600,000	1.625%, 03/15/2020(i)		1,599,906
	1,600,000	1.500%, 06/15/2020		1,599,500
	2,000,000	1.375%, 09/15/2020(i)		1,996,484
	1,800,000	1.875%, 12/15/2020		1,804,078
	1,600,000	2.375%, 03/15/2021		1,614,125
	1,600,000	2.625%, 06/15/2021		1,623,500
	1,600,000	2.750%, 09/15/2021		1,631,000
	1,800,000	2.625%, 12/15/2021		1,836,070
	1,500,000	2.375%, 03/15/2022		1,526,221
	1,500,000	1.750%, 06/15/2022		1,506,357
	1,500,000	1.500%, 09/15/2022		1,496,777
	TOTAL GOVERNMENT SECURITIES & AGENCY ISSUE (Cost $20,937,237)			21,138,160
	MORTGAGE-BACKED SECURITIES: 7.5%
		Alternative Loan Trust
	348,335	Series 2005-38-A3 2.142%, 09/25/2035(e) 1 mo. USD LIBOR + 0.350%		346,068
	200,994	Series 2007-OA4-A1 1.962%, 05/25/2047(e) 1 mo. USD LIBOR + 0.170%		191,360
	215,329	Series 2007-OA7-A1A 1.972%, 05/25/2047(e) 1 mo. USD LIBOR + 0.180%		206,521

Principal Amount^			Value
		Cascade Funding Mortgage Trust
	$ 507,795	Series 2018-RM2-A 4.000%, 10/25/2068(a)(c)	$	521,617
		CD Mortgage Trust
	1,025,052	Series 2017-CD4-XA 1.309%, 05/10/2050(a)(j)		71,302
		CGBAM Commercial Mortgage Trust
	250,000	Series 2015-SMRT-F 3.786%, 04/10/2028(a)(c)		249,860
		CGBAM Mezzanine Securities Trust
	100,000	Series 2015-SMMZ-MZ 8.210%, 04/10/2028(c)		99,959
		CGMS Commercial Mortgage Trust
	260,000	Series 2017-MDRC-E 5.140%, 07/15/2030(c)(e) 1 mo. USD LIBOR + 3.400%		258,063
		Citigroup Mortgage Loan Trust
	132,051	Series 2019-IMC1-A1 2.720%, 07/25/2049(a)(c)		132,544
		COLT Mortgage Loan Trust
	124,556	Series 2018-3-A1 3.692%, 10/26/2048(a)(c)		125,521
		Credit Suisse Mortgage Trust
	160,717	Series 2018-RPL9-A1 3.850%, 09/25/2057(a)(c)		167,856
	480,000	Series 2018-SITE-C 4.782%, 04/15/2036(a)(c)		503,231
		Exantas Capital Corp. Ltd.
	150,000	Series 2018-RSO6-B 2.887%, 06/15/2035(c)(e) 1 mo. USD LIBOR + 1.150%		149,739
		Federal National Mortgage Association
	250,000	Series AN0285 1.950%, 11/01/2020		249,346
		Finance of America Structured Securities Trust
	370,000	Series 2018-HB1-M1 3.774%, 09/25/2028(a)(c)(f)		371,863
		Freddie Mac Military Housing Bonds Resecuritization Trust Certificates
	2,873,512	Series 2015-R1-XA1 1.939%, 11/25/2055(a)(c)(j)		229,932
		GPMT Ltd.
	200,000	Series 2018-FL1-C 3.915%, 11/19/2035(c)(e) 1 mo. USD LIBOR + 2.150%		200,233
		HarborView Mortgage Loan Trust
	356,357	Series 2006-12-2A2A 1.954%, 01/19/2038(e) 1 mo. USD LIBOR + 0.190%		339,903
		Homeward Opportunities Fund I Trust
	261,752	Series 2019-2-A1 2.702%, 09/25/2059(a)(c)		261,393
		JP Morgan Chase Commercial Mortgage Securities Trust
	1,851,292	Series 2016-JP2-XA 1.826%, 08/15/2049(a)(j)		178,991
		JPMDB Commercial Mortgage Securities Trust
	214,360	Series 2017-C5-XA 0.939%, 03/15/2050(a)(j)		11,906

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 103

Litman Gregory Masters High Income Alternatives Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	MORTGAGE-BACKED SECURITIES (CONTINUED)
		LSTAR Securities Investment Ltd.
	$ 876,489	Series 2019-5-A1 3.209%, 11/01/2024(c)(e) 1 mo. USD LIBOR + 1.500%	$	876,489
		LSTAR Securities Investment Trust
	310,701	Series 2019-1-A1 3.409%, 03/01/2024(c)(e) 1 mo. USD LIBOR + 1.700%		311,640
		New Residential Mortgage Loan Trust
	92,257	Series 2019-RPL1-A1 4.335%, 02/26/2024(c)(d)		92,811
		NRPL Trust
	245,822	Series 2019-3A-A1 3.000%, 07/25/2059(c)(d)		245,512
		Residential Accredit Loans, Inc. Trust
	438,581	Series 2006-QO6-A1 1.972%, 06/25/2046(e) 1 mo. USD LIBOR + 0.180%		170,937
		Station Place Securitization Trust
	50,000	Series 2019-2-A 2.330%, 04/24/2021(c)(e) 1 mo. USD LIBOR + 0.550%		50,135
	200,000	Series 2019-8-A 2.380%, 03/24/2020(c)(e) 1 mo. USD LIBOR + 0.600%		200,500
	50,000	Series 2019-9-A 2.480%, 10/24/2020(c)(e) 1 mo. USD LIBOR + 0.700%		50,000
	150,000	Series 2019-WL1-B 2.592%, 08/25/2052(c)(e) 1 mo. USD LIBOR + 0.800%		150,397
		Wells Fargo Commercial Mortgage Trust
	964,202	Series 2016-BNK1-XA 1.764%, 08/15/2049(a)(j)		89,648
	TOTAL MORTGAGE-BACKED SECURITIES (Cost $7,084,091)			7,105,277
	MUNICIPAL BOND: 0.0%
	Indiana: 0.0%
		Knox County Industry Economic Development Revenue
	5,000	Series B 5.900%, 04/01/2034		5,100
	TOTAL MUNICIPAL BOND (Cost $4,671)			5,100
	SHORT-TERM INVESTMENTS: 5.9%
	CERTIFICATE OF DEPOSITS: 0.3%
		Credit Suisse AG
	100,000	2.327%, 07/31/2020(e) 3 mo. USD LIBOR + 0.400%		100,000
		Lloyds Bank Corporate Markets Plc
	100,000	2.261%, 08/05/2020(e) 3 mo. USD LIBOR + 0.370%		100,000
		Standard Chartered Bank

Principal Amount^			Value
	$ 100,000	2.302%, 08/04/2020(e) 3 mo. USD LIBOR + 0.400%	$	100,000
	TOTAL CERTIFICATE OF DEPOSITS (Cost $300,000)			300,000
Shares
	MONEY MARKET FUND: 0.9%
	848,134	State Street Institutional Treasury Money Market Fund - Premier Class, 1.520%(k)		848,134
	TOTAL MONEY MARKET FUND (Cost $848,134)			848,134
Principal Amount^
	REPURCHASE AGREEMENTS: 3.7%
	$53,495	Barclays Capital Plc 2.031%, 11/26/2019, due 02/03/2020 [collateral: par value $52,000, Cheniere Corpus Christi Holdings LLC, 5.125%, due 06/30/2027, value $57,720] (proceeds $53,703)		53,495
	250,000	BNP Paribas 2.071%, 11/1/2019, due 02/03/2020 [collateral: par value $292,000, Santander Drive Auto Receivables Trust Series 2018-2-E, 5.020%, due 09/15/2025, value $299,963] (proceeds $251,352)		250,000
	110,000	BNP Paribas 2.100%, 12/16/2019, due 03/16/2020 [collateral: par value $657,000, Citigroup Mortgage Loan Trust Series 2007-AMC2-A2, 1.850%, due 01/25/2037, value $130,591] (proceeds $110,584)		110,000
	11,000	Deutsche Bank AG 2.284%, 11/8/2019, due 02/07/2020 [collateral: par value $14,000, HMH Trust Series 2017-NSS-F, 8.481%, due 07/05/2031, value $11,342] (proceeds $11,064)		11,000
	212,000	Deutsche Bank AG 2.284%, 11/13/2019, due 02/07/2020 [collateral: par value $291,000, Regatta II Funding L.P. Series 2013-2A-DR2, 8.951%, due 01/15/2029, value $214,976] (proceeds $213,157)		212,000
	2,914,000	Fixed Income Clearing Corp. 0.120%, 12/31/2019, due 01/02/2020 [collateral: par value $2,630,000, U.S. Treasury Bond, 3.000%, due 11/15/2045, value $2,976,882] (proceeds $2,914,019)		2,914,000

The accompanying notes are an integral part of these financial statements.

104 Litman Gregory Funds Trust

Litman Gregory Masters High Income Alternatives Fund

SCHEDULE OF INVESTMENTS IN SECURITIES at December 31, 2019 (Continued)

Principal Amount^			Value
	REPURCHASE AGREEMENTS (CONTINUED)
	TOTAL REPURCHASE AGREEMENTS (Cost $3,550,495)		$	3,550,495
	TREASURY BILLS: 1.0%
		Mexico Cetes
	5,079,000 (MXN)	0.000%, 01/02/2020(h)		269,156
	6,920,000 (MXN)	0.000%, 02/27/2020(h)		362,633
		Portugal Treasury Bill
	284,000 (EUR)	0.000%, 01/17/2020(h)		318,896
		United Kingdom Treasury Bill
	10,000 (GBP)	0.000%, 01/13/2020(h)		13,265
	10,000 (GBP)	0.000%, 01/27/2020(h)		13,262
		United States Treasury Bill
	25,000	1.535%, 05/21/2020(i)(l)		24,852
	TOTAL TREASURY BILLS (Cost $975,730)			1,002,064
	TOTAL SHORT-TERM INVESTMENTS (Cost $5,674,359)			5,700,693
	TOTAL INTEREST RATE SWAPTIONS (Cost $61,700): 0.0%			39,487
	TOTAL INVESTMENTS (Cost $93,259,963): 98.8%			94,071,585
	Other Assets in Excess of Liabilities: 1.2%			1,161,335
	NET ASSETS: 100.0%		$	95,232,920

Percentages are stated as a percent of net assets.

CLO Collateralized Loan Obligation

CMT Constant Maturity Treasury Index

ETF Exchange Traded Fund

LIBOR London Interbank Offered Rate

L.P. Limited Partnership

MLP Master Limited Partnership

^ The principal amount is stated in U.S. Dollars unless otherwise indicated.

(a) Variable rate security. Interest rate or distribution rate disclosed is that which is in effect at December 31, 2019.

(b) Perpetual Call.

(c) Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under Securities Act of 1933.

(d) Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at December 31, 2019.

(e) Floating Interest Rate at December 31, 2019.

(f) Security is valued using significant unobservable inputs in good faith in accordance with procedures approved by the Board of Trustees.

(g) This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date.

(h) Issued with a zero coupon. Income is recognized through the accretion of discount.

(i) Securities with an aggregate fair value of $3,321,260 have been pledged as collateral for options, total return swaps, credit default swaps, interest rate swaps, and futures positions.

(j) Interest Only security. Security with a notional or nominal principal amount.

(k) The rate disclosed is the 7 day net yield as of December 31, 2019.

(l) The rate shown represents yield-to-maturity.

CURRENCY ABBREVIATIONS:

BRL Brazilian Real

EUR Euro

GBP British Pound

ILS Israeli New Shekel

MXN Mexican Peso

USD U.S. Dollar

UNFUNDED LOAN COMMITMENTS — At December 31, 2019, the Fund had unfunded loan commitments which could be extended at the option of the borrowers, pursuant to the following agreements:

Borrower	Principal Amount		Current Value		Unrealized Gain (Loss)
BCPE Empire Holdings, Inc., 4.228%, 06/11/2026	$	14,367	$	14,425	$	58

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 105

Litman Gregory Masters High Income Alternatives Fund

SCHEDULE OF PURCHASED OPTIONS at December 31, 2019

Description	Counterparty		Exercise Price		Expiration Date		Number of Contracts		Notional Amount		Market Value		Premiums Paid		Unrealized Appreciation/ (Depreciation)
INTEREST RATE SWAPTIONS
Call
Two Year Ten Year USD Constant Maturity Swaption		Bank of America N.A.		0.40		7/29/2022		11,000,000	$	11,000,000	$	16,850	$	25,410	$	(8,560	)
Two Year Ten Year USD Constant Maturity Swaption		Goldman Sachs International		0.40		7/29/2022		2,000,000		2,000,000		3,064		4,540		(1,476	)
Two Year Ten Year USD Constant Maturity Swaption		Goldman Sachs International		0.61		7/29/2022		7,000,000		7,000,000		5,787		10,150		(4,363	)
Two Year Ten Year USD Constant Maturity Swaption		Morgan Stanley & Co.		0.40		7/29/2022		9,000,000		9,000,000		13,786		21,600		(7,814	)
Total Purchased Options											$	39,487	$	61,700	$	(22,213	)

The accompanying notes are an integral part of these financial statements.

106 Litman Gregory Funds Trust

Litman Gregory Masters High Income Alternatives Fund

SCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS at December 31, 2019

At December 31, 2019, the Fund had the following forward foreign currency exchange contracts:

									Asset Derivatives		Liability Derivatives
Counterparty	Settlement Date		Fund Receiving	U.S. $ Value at December 31, 2019		Fund Delivering	U.S. $ Value at December 31, 2019		Unrealized Appreciation		Unrealized Depreciation
Bank of America N.A.		1/17/2020	USD	$	159,985	EUR	$	161,804	$	—	$	(1,819	)
		1/31/2020	USD		4,747	ILS		4,799		—		(52	)
		4/30/2020	USD		292	ILS		292		—		—
		6/15/2020	USD		67,489	EUR		66,560		929		—
		2/1/2021	USD		4,821	ILS		4,887		—		(66	)
		4/30/2021	USD		29,953	ILS		30,048		—		(95	)
		1/31/2022	USD		93,834	ILS		95,452		—		(1,618	)
Barclays Bank Plc		1/17/2020	USD		155,616	EUR		157,309		—		(1,693	)
		4/8/2020	USD		44,420	MXN		44,950		—		(530	)
Citibank N.A.		1/2/2020	USD		37,110	MXN		38,648		—		(1,538	)
		1/13/2020	USD		12,937	GBP		13,273		—		(336	)
		1/27/2020	USD		12,967	GBP		13,278		—		(311	)
		2/27/2020	USD		37,409	MXN		37,859		—		(450	)
		4/23/2020	USD		43,772	MXN		44,330		—		(558	)
		4/30/2020	USD		3,981	ILS		3,977		4		—
		7/1/2020	USD		495,761	BRL		493,101		2,660		—
		4/30/2021	USD		406,848	ILS		408,654		—		(1,806	)
Goldman Sachs International		1/2/2020	BRL		546,896	USD		531,234		15,662		—
		1/2/2020	USD		545,811	BRL		546,896		—		(1,085	)
		1/2/2020	USD		109,616	MXN		113,983		—		(4,367	)
		1/2/2020	USD		112,054	MXN		116,633		—		(4,579	)
		1/16/2020	MXN		55,033	USD		54,674		359		—
		1/16/2020	USD		52,838	MXN		55,033		—		(2,195	)
		1/31/2020	USD		2,906	ILS		2,901		5		—
		1/31/2020	USD		501	ILS		508		—		(7	)
		1/31/2020	USD		6,150	ILS		6,222		—		(72	)
		2/6/2020	MXN		540,663	USD		537,381		3,282		—
		2/27/2020	USD		312,651	MXN		326,006		—		(13,355	)
		4/8/2020	MXN		44,950	USD		44,728		222		—
		4/23/2020	MXN		44,330	USD		44,084		246		—
		4/30/2020	USD		298,168	EUR		294,043		4,125		—
		4/30/2020	USD		926	ILS		936		—		(10	)
		4/30/2020	USD		951	ILS		965		—		(14	)
		6/15/2020	USD		60,290	EUR		59,429		861		—
		7/30/2020	USD		1,449	EUR		1,450		—		(1	)
		2/1/2021	USD		6,281	ILS		6,370		—		(89	)
		2/1/2021	USD		102,448	ILS		104,182		—		(1,734	)
		2/1/2021	USD		593,208	ILS		595,327		—		(2,119	)
		4/30/2021	USD		94,794	ILS		96,154		—		(1,360	)
		4/30/2021	USD		97,471	ILS		99,159		—		(1,688	)
		7/30/2021	USD		198,958	EUR		198,948		10		—
		1/31/2022	USD		121,980	ILS		124,087		—		(2,107	)
JPMorgan Chase Bank N.A.		1/2/2020	BRL		845,204	USD		843,526		1,678		—
		1/2/2020	USD		890,518	BRL		845,203		45,315		—
		6/15/2020	EUR		125,990	USD		125,048		942		—
		7/30/2020	USD		1,525	EUR		1,535		—		(10	)
		7/1/2021	USD		95,023	BRL		95,782		—		(759	)
		7/30/2021	USD		209,309	EUR		210,651		—		(1,342	)
Morgan Stanley & Co.		1/2/2020	BRL		298,307	USD		288,247		10,060		—
		1/2/2020	USD		297,715	BRL		298,307		—		(592	)
		2/6/2020	USD		529,087	MXN		540,663		—		(11,576	)
		4/1/2020	USD		53,985	BRL		54,480		—		(495	)
		4/1/2020	USD		44,069	BRL		44,575		—		(506	)
				$	8,953,997		$	8,928,571	$	86,360	$	(60,934	)

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 107

Litman Gregory Masters High Income Alternatives Fund

SCHEDULE OF FINANCIAL FUTURES CONTRACTS at December 31, 2019

Description	Number of Contracts			Notional Amount			Notional Value			Expiration Date		Unrealized Appreciation/ (Depreciation)
Futures Contracts — Long
Ultra 10YR U.S. Treasury Notes		3		$	300,000		$	422,110			3/20/2020	$	(5,258	)
Total Long												$	(5,258	)
Futures Contracts — Short
10YR U.S. Treasury Notes		(3	)	$	(300,000	)	$	(385,266	)		3/20/2020	$	3,368
Total Short												$	3,368
Total Futures Contracts												$	(1,890	)

SCHEDULE OF SWAPS at December 31, 2019

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS

			Rates Exchanged
Notional Amount	Maturity Date		Payment Received		Payment Made			Periodic Payment Frequency	Fair Value			Upfront Payment Made (Received)		Unrealized Appreciation/ (Depreciation)
$ 2,600,000		11/06/2021		3 Month LIBOR		3.144	%	Quarterly	$	(68,629	)	$	965	$	(69,594	)
$ 350,000		11/07/2023		3 Month LIBOR		3.180		Quarterly		(19,276	)		80		(19,356	)
									$	(87,905	)	$	1,045	$	(88,950	)

CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)

Description	Maturity Date		Fixed Deal (Pay) Rate			Implied Credit Spread at December 31, 2019			Notional Amount			Periodic Payment Frequency		Fair Value			Upfront Premiums Paid / (Received)			Unrealized Depreciation
Buy Protection
CDX North American Investment Grade Index Series 31 1.000%, 12/20/2023		12/20/2023		(1.000	%)		0.350	%	$	(4,605,000	)		Quarterly	$	(116,165	)	$	(54,518	)	$	(61,647	)
Total Buy Protection														$	(116,165	)	$	(54,518	)	$	(61,647	)

⁽¹⁾  For centrally cleared swaps, when a credit event occurs as defined under the terms of the swap contract, the Fund as a seller of credit protection will either (i) pay a net amount equal to the par value of the defaulted reference entity and deliver the reference entity or (ii) pay a net amount equal to the par value of the defaulted reference entity less its recovery value.

⁽²⁾  For centrally cleared swaps, implied credit spread, represented in absolute terms, utilized in determining the fair value of the credit default swap contracts as of period will serve as an indicator of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/ selling protection and may include upfront payments required to be made to enter into the contract. Generally, wider credit spreads represent a perceived deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap contract.

⁽³⁾  For centrally cleared swaps, the notional amount represents the maximum potential the Fund may receive as a buyer of credit protection if a credit event occurs, as defined under the terms of the swap contract, for each security included in the CDX North America Investment Grade Index Series 31.

The accompanying notes are an integral part of these financial statements.

108 Litman Gregory Funds Trust

Litman Gregory Masters High Income Alternatives Fund

SCHEDULE OF SWAPS at December 31, 2019 (Continued)

OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
Description	Maturity Date		Counterparty	Fixed Deal (Pay) Rate			Implied Credit Spread at December 31, 2019			Notional Amount			Periodic Payment Frequency	Fair Value			Upfront Premiums Paid / (Received)			Unrealized Depreciation
Buy Protection
CDX North American Investment Grade Index Series 31 1.000%, 12/20/2023		12/20/2023	Goldman Sachs International		(1.000	%)		0.350	%	$	(540,000	)	Quarterly	$	(13,644	)	$	(723	)	$	(12,921	)
CDX North American Investment Grade Index Series 31 1.000%, 12/20/2023		12/20/2023	Morgan Stanley & Co.		(1.000	%)		0.350	%		(240,000	)	Quarterly		(6,063	)		(20	)		(6,043	)
Total Buy Protection														$	(19,707	)	$	(743	)	$	(18,964	)
Total														$	(19,707	)	$	(743	)	$	(18,964	)

OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS
Referenced Obligation	Maturity Date		Counterparty	Fund Pays/Receives Floating Rate	Floating Rate Index and Spread	Notional Amount		Periodic Payment Frequency	Fair Value			Upfront Premiums Paid (Received)		Unrealized Appreciation / (Depreciation)
iShares Core Total U.S. Aggregate USD		1/9/2020	JPMorgan Chase Bank N.A.	Receives	1 Month USD LIBOR + 0.800%	$	140,725	Monthly	$	263		$	—	$	263
iShares Core Total U.S. Aggregate USD		1/17/2020	JPMorgan Chase Bank N.A.	Receives	1 Month USD LIBOR + 0.920%		298,364	Monthly		583			—		583
iShares Core Total U.S. Aggregate USD		1/19/2020	JPMorgan Chase Bank N.A.	Receives	1 Month USD LIBOR + 1.000%		533,425	Monthly		(333	)		—		(333	)
iShares Core Total U.S. Aggregate USD		1/23/2020	JPMorgan Chase Bank N.A.	Receives	1 Month USD LIBOR + 1.000%		56,185	Monthly		—			—		—
Total									$	513		$	—	$	513

The accompanying notes are an integral part of these financial statements.

Schedule of Investments 109

Litman Gregory Masters High Income Alternatives Fund

SCHEDULE OF WRITTEN OPTIONS at December 31, 2019

Description	Counterparty		Exercise Price		Expiration Date		Number of Contracts			Notional Amount			Market Value			Premiums Received			Unrealized Appreciation/ (Depreciation)
INDEX OPTIONS
Put
Russell 2000 Index		UBS Securities LLC	$	1,625.00		1/3/2020		(1	)	$	(166,847	)	$	(82	)	$	(400	)	$	318
Russell 2000 Index		UBS Securities LLC		1,595.00		1/10/2020		(4	)		(667,388	)		(844	)		(6,608	)		5,764
Russell 2000 Index		UBS Securities LLC		1,600.00		1/10/2020		(1	)		(166,847	)		(236	)		(1,719	)		1,483
Russell 2000 Index		UBS Securities LLC		1,600.00		1/17/2020		(1	)		(166,847	)		(475	)		(1,590	)		1,115
Russell 2000 Index		UBS Securities LLC		1,605.00		1/17/2020		(1	)		(166,847	)		(546	)		(1,750	)		1,204
Russell 2000 Index		UBS Securities LLC		1,615.00		1/17/2020		(2	)		(333,694	)		(1,200	)		(2,379	)		1,179
Russell 2000 Index		UBS Securities LLC		1,620.00		1/24/2020		(2	)		(333,694	)		(2,104	)		(2,599	)		495
Russell 2000 Index		UBS Securities LLC		1,635.00		1/24/2020		(3	)		(500,541	)		(3,543	)		(3,748	)		205
Russell 2000 Index		UBS Securities LLC		1,635.00		1/31/2020		(3	)		(500,541	)		(4,890	)		(4,658	)		(232	)
S&P 500 Index		UBS Securities LLC		3,145.00		1/3/2020		(3	)		(969,234	)		(396	)		(1,528	)		1,132
S&P 500 Index		UBS Securities LLC		3,070.00		1/10/2020		(5	)		(1,615,390	)		(1,550	)		(12,496	)		10,946
S&P 500 Index		UBS Securities LLC		3,155.00		1/10/2020		(2	)		(646,156	)		(1,380	)		(1,479	)		99
S&P 500 Index		UBS Securities LLC		3,165.00		1/10/2020		(6	)		(1,938,468	)		(5,124	)		(4,617	)		(507	)
S&P 500 Index		UBS Securities LLC		3,090.00		1/17/2020		(2	)		(646,156	)		(1,320	)		(4,349	)		3,029
S&P 500 Index		UBS Securities LLC		3,115.00		1/17/2020		(11	)		(3,553,858	)		(9,460	)		(16,729	)		7,269
S&P 500 Index		UBS Securities LLC		3,115.00		1/24/2020		(5	)		(1,615,390	)		(8,300	)		(9,610	)		1,310
S&P 500 Index		UBS Securities LLC		3,120.00		1/24/2020		(3	)		(969,234	)		(3,765	)		(5,804	)		2,039
S&P 500 Index		UBS Securities LLC		3,125.00		1/24/2020		(2	)		(646,156	)		(2,860	)		(3,758	)		898
S&P 500 Index		UBS Securities LLC		3,145.00		1/24/2020		(1	)		(323,078	)		(2,140	)		(1,868	)		(272	)
S&P 500 Index		UBS Securities LLC		3,150.00		1/24/2020		(2	)		(646,156	)		(3,518	)		(3,643	)		125
S&P 500 Index		UBS Securities LLC		3,145.00		1/31/2020		(2	)		(646,156	)		(4,688	)		(4,539	)		(149	)
S&P 500 Index		UBS Securities LLC		3,150.00		1/31/2020		(2	)		(646,156	)		(4,400	)		(4,633	)		233
S&P 500 Index		UBS Securities LLC		3,155.00		1/31/2020		(1	)		(323,078	)		(2,598	)		(2,099	)		(499	)
S&P 500 Index		UBS Securities LLC		3,165.00		1/31/2020		(4	)		(1,292,312	)		(10,400	)		(9,118	)		(1,282	)
Total Written Options													$	(75,819	)	$	(111,721	)	$	35,902

The accompanying notes are an integral part of these financial statements.

110 Litman Gregory Funds Trust

Litman Gregory Funds Trust

EXPENSE EXAMPLES – (Unaudited)

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including advisory fees, and other fund expenses. The examples below 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 are based on an investment of $1,000 invested at the beginning of the period shown and held for the entire period from July 1, 2019 to December 31, 2019.

Actual Expenses

For each Fund, the first line of 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 During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

For each Fund, the second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

	Beginning Account Value (7/1/19)		Ending Account Value (12/31/19)		Expenses Paid During Period* (7/1/19 to 12/31/19)		Expenses Ratio During Period* (7/1/19 to 12/31/19)
Litman Gregory Masters Equity Fund – Institutional Actual	$	1,000.00	$	1,070.90	$	6.47		1.24%
Litman Gregory Masters Equity Fund – Institutional Hypothetical - (5% return before expenses)	$	1,000.00	$	1,018.95	$	6.31		1.24%
Litman Gregory Masters International Fund – Institutional Actual	$	1,000.00	$	1,104.80	$	5.73		1.08%
Litman Gregory Masters International Fund – Institutional Hypothetical - (5% return before expenses)	$	1,000.00	$	1,019.76	$	5.50		1.08%
Litman Gregory Masters Smaller Companies Fund – Institutional Actual	$	1,000.00	$	1,019.80	$	7.69		1.51%
Litman Gregory Masters Smaller Companies Fund – Institutional Hypothetical – (5% return before expenses)	$	1,000.00	$	1,017.59	$	7.68		1.51%
Litman Gregory Masters Alternative Strategies Fund – Institutional Actual	$	1,000.00	$	1,025.30	$	7.45		1.46%
Litman Gregory Masters Alternative Strategies Fund – Investor Actual	$	1,000.00	$	1,023.70	$	8.72		1.71%
Litman Gregory Masters Alternative Strategies Fund – Institutional Hypothetical - (5% return before expenses)	$	1,000.00	$	1,017.84	$	7.43		1.46%
Litman Gregory Masters Alternative Strategies Fund – Investor Hypothetical - (5% return before expenses)	$	1,000.00	$	1,016.58	$	8.69		1.71%
Litman Gregory Masters High Income Alternatives Fund – Institutional Actual	$	1,000.00	$	1,025.30	$	5.00		0.98%
Litman Gregory Masters High Income Alternatives Fund – Investor Actual	$	1,000.00	$	1,024.60	$	6.28		1.23%
Litman Gregory Masters High Income Alternatives Fund – Institutional Hypothetical - (5% return before expenses)	$	1,000.00	$	1,020.26	$	4.99		0.98%
Litman Gregory Masters High Income Alternatives Fund – Investor Hypothetical - (5% return before expenses)	$	1,000.00	$	1,019.00	$	6.26		1.23%

* Expenses are equal to the Funds’ annualized expense ratio as indicated, multiplied by the average account value over the period, multiplied by the number of days in most recent fiscal half-year period (184), then divided by the number of days in the fiscal year (365) (to reflect the one-half-year period).

Expense Examples 111

Litman Gregory Funds Trust

STATEMENTS OF ASSETS AND LIABILITIES at December 31, 2019

	Equity Fund		International Fund		Smaller Companies Fund		Alternative Strategies Fund			High Income Alternatives Fund
ASSETS:
Investments in securities at cost	$	177,482,129	$	343,027,193	$	24,214,080	$	1,576,896,239		$	89,709,468
Repurchase agreements at cost		12,612,000		12,670,000		3,215,000		170,800,000			3,550,495
Total investments at cost	$	190,094,129	$	355,697,193	$	27,429,080	$	1,747,696,239		$	93,259,963
Investments in securities at value	$	273,253,492	$	388,933,871	$	25,497,432	$	1,674,398,818		$	90,521,090
Repurchase agreements at value		12,612,000		12,670,000		3,215,000		170,800,000			3,550,495
Total investments at value	$	285,865,492	$	401,603,871	$	28,712,432	$	1,845,198,818		$	94,071,585
Cash		3,204		1,732		2,397		—			59,207
Cash, denominated in foreign currency (cost of $323,077, $17,291, $0, $9,994,455 and $0, respectively)		313,640		17,415		—		10,080,958			—
Deposits at brokers for securities sold short		—		—		—		43,214,320			—
Deposits at brokers for futures		—		—		—		425,000			2,387
Deposits at brokers for written options		—		—		—		3,282,472			—
Deposits at brokers for swaps		—		—		—		7,298,190			—
Receivables:
Securities sold		500,372		351,678		30,971		12,960,321			148,077
Dividends and interest		90,272		170,947		1,621		9,944,236			476,796
Fund shares sold		3,549		36,940		817		6,360,342			606,596
Foreign tax reclaims		67,049		844,278		—		153,993			—
Dividend and interest for swap resets		—		—		—		152,605			925
Other Receivables		—		—		—		7,309,028	*		—
Variation margin - Centrally Cleared Swaps		—		—		—		50,125			1,290
Variation margin - Futures		—		—		—		80,362			—
Net swap premiums paid		—		—		—		3,918,965			—
Unrealized gain on unfunded loan commitment		—		—		—		1,460			58
Unrealized gain on forward foreign currency exchange contracts		—		—		—		397,435			86,360
Unrealized gain on swaps		—		—		—		950,907			846
Prepaid expenses		16,926		16,789		8,902		40,481			53,729
Total Assets		286,860,504		403,043,650		28,757,140		1,951,820,018			95,507,856
LIABILITIES:
Written options (premium received, $0, $0, $0, $21,440 and $111,721, respectively)		—		—		—		19,430			75,819
Securities sold short (proceeds, $0, $0, $0, $51,893,859 and $0, respectively)		—		—		—		57,751,169			—
Deposits received from brokers for swaps		—		—		—		3,000,000			6,800
Payables:
Advisory fees		243,752		303,764		17,815		1,766,492			27,333
Securities purchased		—		242,959		14,068		12,675,529			8,800
Fund shares redeemed		215,914		36,196		—		643,650			—
Foreign taxes withheld		—		12,660		—		—			—
Trustees fees		619		619		619		619			2
Professional fees		22,882		28,025		13,556		110,570			25,554
Custodian		—		—		—		4,105,228			—
Line of credit interest		2,472		761		—		—			—
Dividend and interest for swap resets		—		—		—		13,501			260
Variation margin - Futures		—		—		—		16,373			203
Due to brokers for swaps		—		—		—		828,210			—
Short dividend		—		—		—		37,452			—
Chief Compliance Officer fees		13,648		13,648		13,648		13,648			13,648
Net swap premiums received		—		—		—		—			743
Unrealized loss on forward foreign currency exchange contracts		—		796,842		—		1,010,929			60,934
Unrealized loss on swaps		—		—		—		1,071,322			19,297
Distribution fees payable for investor class (see Note 4)		—		—		—		30,601			297
Accrued other expenses		62,445		137,641		3,040		407,841			35,246
Total Liabilities		561,732		1,573,115		62,746		83,502,564			274,936
Commitments and Contingencies for Private Equity (See Note 8)
NET ASSETS	$	286,298,772	$	401,470,535	$	28,694,394	$	1,868,317,454		$	95,232,920

The accompanying notes are an integral part of these financial statements.

112 Litman Gregory Funds Trust

Litman Gregory Funds Trust

STATEMENTS OF ASSETS AND LIABILITIES at December 31, 2019 – (Continued)

	Equity Fund		International Fund		Smaller Companies Fund		Alternative Strategies Fund		High Income Alternatives Fund
Institutional Class:
Net Assets	$	286,298,772	$	401,470,535	$	28,694,394	$	1,724,256,797	$	93,832,285
Number of shares issued and outstanding (unlimited number of shares authorized, $0.01 par value)		16,318,790		22,742,551		1,211,161		147,407,140		9,325,996
Net asset value, offering price and redemption price per share	$	17.54	$	17.65	$	23.69	$	11.70	$	10.06
Investor Class:
Net Assets	$	—	$	—	$	—	$	144,060,657	$	1,400,635
Number of shares issued and outstanding (unlimited number of shares authorized, $0.01 par value)		—		—		—		12,298,380		139,127
Net asset value, offering price and redemption price per share	$	—	$	—	$	—	$	11.71	$	10.07
COMPONENTS OF NET ASSETS
Paid-in capital	$	183,639,276	$	393,374,010	$	27,445,865	$	1,805,627,820	$	94,330,602
Accumulated distributable earnings		102,659,496		8,096,525		1,248,529		62,689,634		902,318
Net assets	$	286,298,772	$	401,470,535	$	28,694,394	$	1,868,317,454	$	95,232,920

* Other receivables include receivables from mergers and litigation settlements related to securities held during the year.

The accompanying notes are an integral part of these financial statements.

Statements of Assets and Liabilities 113

Litman Gregory Funds Trust

STATEMENTS OF OPERATIONS For the Year Ended December 31, 2019

	Equity Fund			International Fund			Smaller Companies Fund			Alternative Strategies Fund			High Income Alternatives Fund
INVESTMENT INCOME:
Income
Dividends (net of foreign taxes withheld of $37,841, $1,043,733, $10,386, $114,774 and $0, respectively)	$	3,819,942		$	8,526,048		$	405,641		$	7,685,793		$	1,115,505
Interest		70,600			49,624			14,657			67,308,698			2,945,870
Non cash income		962,732	*		2,344,934	*		—			3,675,928	*		—
Total income		4,853,274			10,920,606			420,298			78,670,419			4,061,375
Expenses
Advisory fees		3,174,715			4,339,134			336,370			26,180,508			850,341
Transfer agent fees		172,276			207,446			51,614			1,076,228			52,707
Fund accounting fees		99,662			83,777			34,486			225,381			92,305
Administration fees		68,253			77,315			14,042			373,407			29,097
Professional fees		38,424			54,860			15,943			223,264			31,020
Trustee fees		52,085			56,884			40,424			122,996			42,462
Custody fees		58,954			377,514			8,454			905,785			82,561
Reports to shareholders		51,964			45,281			10,559			195,693			7,598
Registration expense		36,704			38,267			22,142			92,252			37,451
Miscellaneous		14,793			16,014			4,232			18,663			2,008
Insurance expense		15,122			23,044			1,509			94,256			2,289
Dividend & interest expense		87,728			32,403			922			1,020,850			2,329
Chief Compliance Officer fees		13,648			13,648			13,648			13,648			13,648
Distribution fees for investor class (see Note 4)		34	1		1,568	1		—			418,376			3,148
Total expenses		3,884,362			5,367,155			554,345			30,961,307			1,248,964
Less: fees waived (see Note 3)		(311,514	)		(963,627	)		(122,904	)		(2,325,569	)		(368,906	)
Net expenses		3,572,848			4,403,528			431,441			28,635,738			880,058
Net investment income (loss)		1,280,426			6,517,078			(11,143	)		50,034,681			3,181,317
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments (net of capital gains tax of $0, $0, $0, $7,057 and $0, respectively), excluding purchased options		27,051,249			5,259,147			(111,213	)		30,334,723			133,570
Purchased options		—			—			—			(2,859,428	)		(42,332	)
Short sales		—			—			—			(3,328,353	)		—
Written options		—			—			—			194,745			1,607,543
Forward foreign currency exchange contracts		—			723,027			—			(104,188	)		14,908
Foreign currency transactions		(8,048	)		21,222			153			(451,831	)		84
Futures		—			—			—			(10,795,387	)		1,933
Swap contracts		—			—			—			(449,746	)		(70,753	)
Net realized gain (loss)		27,043,201			6,003,396			(111,060	)		12,540,535			1,644,953
Net change in unrealized appreciation/depreciation on:
Investments, excluding purchased options		40,482,686			92,908,787			6,252,526			121,253,668			2,373,004
Purchased options		—			—			—			36,857			(8,177	)
Unfunded loan commitment		—			—			—			1,460			58
Short sales		—			—			—			(16,397,164	)		—
Written options		—			—			—			(49,755	)		(101,358	)
Forward foreign currency exchange contracts		—			(885,110	)		—			(507,752	)		34,038
Foreign currency transactions		(5,736	)		3,915			—			83,321			178
Futures		—			—			—			2,468,480			(1,890	)
Swap contracts		—			—			—			(17,149,530	)		(140,638	)
Net change in unrealized appreciation/depreciation		40,476,950			92,027,592			6,252,526			89,739,585			2,155,215
Net realized and unrealized gain (loss) on investments, short sales, purchased options, written options, foreign currency transactions, futures and swap contracts		67,520,151			98,030,988			6,141,466			102,280,120			3,800,168
Net increase in net assets resulting from operations	$	68,800,577		$	104,548,066		$	6,130,323		$	152,314,801		$	6,981,485

* Represents non-cash distributions in connection with capital changes for certain investments held by the Fund recorded on ex-date and based on fair value.

¹  Investor Class shares were converted into Institutional Class shares at the close of business on April 29, 2019.

The accompanying notes are an integral part of these financial statements.

114 Litman Gregory Funds Trust

Litman Gregory Funds Trust

STATEMENTS OF CHANGES IN NET ASSETS

	Equity Fund						International Fund
	Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2019			Year Ended December 31, 2018
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net investment income (loss)	$	1,280,426		$	(257,222	)	$	6,517,078		$	10,307,725
Net realized gain on investments and foreign currency transactions		27,043,201			27,247,015			6,003,396			38,054,795
Net change in unrealized appreciation/depreciation on investments and foreign currency transactions		40,476,950			(57,149,169	)		92,027,592			(162,271,396	)
Net increase (decrease) in net assets resulting from operations		68,800,577			(30,159,376	)		104,548,066			(113,908,876	)
DISTRIBUTIONS TO SHAREHOLDERS
Institutional Class		(24,810,637	)		(35,131,522	)		(11,877,156	)		(2,827,349	)
Investor Class		—	1		(5,434	)		—	1		(6,557	)
Total distributions		(24,810,637	)		(35,136,956	)		(11,877,156	)		(2,833,906	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold
Institutional Class		4,590,067			13,318,553			16,743,369			31,521,746
Institutional Class - converted from Investor Class1		42,826			—			2,006,996			—
Investor Class		3,120	1		99,049			25,814	1		216,614
Reinvested distributions
Institutional Class		23,832,073			33,944,218			7,581,793			1,980,849
Investor Class		—	1		4,909			—	1		6,507
Payment for shares redeemed
Institutional Class		(45,991,133	)		(61,605,289	)		(85,762,289	)		(229,785,856	)
Investor Class		(7,274	)1		(119,421	)		(147,075	)1		(1,279,003	)
Investor Class - converted to Institutional Class1		(42,826	)		—			(2,006,996	)		—
Net decrease in net assets from capital share transactions		(17,573,147	)		(14,357,981	)		(61,558,388	)		(197,339,143	)
Total increase (decrease) in net assets		26,416,793			(79,654,313	)		31,112,522			(314,081,925	)
NET ASSETS:
Beginning of year		259,881,979			339,536,292			370,358,013			684,439,938
End of year	$	286,298,772		$	259,881,979		$	401,470,535		$	370,358,013
CAPITAL TRANSACTIONS IN SHARES
Institutional Class:
Sold		274,851			745,870			1,038,091			1,853,156
Sold - shares converted from Investor Class1		2,358			—			118,128			—
Reinvested distributions		1,372,025			2,273,558			436,932			138,521
Redeemed		(2,633,304	)		(3,492,112	)		(5,293,166	)		(13,964,484	)
Net decrease from capital share transactions		(984,070	)		(472,684	)		(3,700,015	)		(11,972,807	)
Investor Class:1
Sold		194			5,093			1,540			12,247
Reinvested distributions		—			336			—			452
Redeemed		(449	)		(6,074	)		(9,216	)		(72,489	)
Redeemed - shares converted to Institutional Class1		(2,410	)		—			(117,437	)		—
Net decrease from capital share transactions		(2,665	)		(645	)		(125,113	)		(59,790	)

¹  Investor Class shares were converted into Institutional Class shares at the close of business on April 29, 2019.

The accompanying notes are an integral part of these financial statements.

Statements of Changes in Net Assets 115

Litman Gregory Funds Trust

STATEMENTS OF CHANGES IN NET ASSETS – (Continued)

	Smaller Companies Fund						Alternative Strategies Fund
	Year Ended December 31, 2019			Year Ended December 31, 2018			Year Ended December 31, 2019			Year Ended December 31, 2018
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net investment income (loss)	$	(11,143	)	$	33,069		$	50,034,681		$	45,435,340
Net realized gain (loss) on investments, short sales, purchased options, written options, foreign currency transactions, futures and swap contracts		(111,060	)		3,155,131			12,540,535			(5,070,693	)
Net change in unrealized appreciation/depreciation on investments, short sales, purchased options, written options, foreign currency transactions, futures and swap contracts		6,252,526			(6,166,433	)		89,739,585			(82,128,659	)
Net increase (decrease) in net assets resulting from operations		6,130,323			(2,978,233	)		152,314,801			(41,764,012	)
DISTRIBUTIONS TO SHAREHOLDERS
Institutional Class		(2,865,902	)		—			(48,108,938	)		(56,496,274	)
Investor Class		—			—			(4,103,947	)		(5,581,204	)
Total distributions		(2,865,902	)		—			(52,212,885	)		(62,077,478	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold
Institutional Class		332,714			812,991			380,044,054			445,507,384
Investor Class		—			—			57,502,328			58,929,112
Reinvested distributions
Institutional Class		2,760,296			—			46,210,824			53,896,205
Investor Class		—			—			4,089,226			5,561,401
Payment for shares redeemed
Institutional Class		(4,221,689	)		(4,671,132	)		(456,504,482	)		(570,047,822	)
Investor Class		—			—			(102,127,722	)		(85,066,732	)
Net decrease in net assets from capital share transactions		(1,128,679	)		(3,858,141	)		(70,785,772	)		(91,220,452	)
Total increase (decrease) in net assets		2,135,742			(6,836,374	)		29,316,144			(195,061,942	)
NET ASSETS:
Beginning of year		26,558,652			33,395,026			1,839,001,310			2,034,063,252
End of year	$	28,694,394		$	26,558,652		$	1,868,317,454		$	1,839,001,310
CAPITAL TRANSACTIONS IN SHARES
Institutional Class:
Sold		13,497			34,433			32,905,314			38,475,977
Reinvested distributions		117,610			—			3,991,976			4,748,034
Redeemed		(172,227	)		(191,238	)		(39,585,504	)		(49,558,514	)
Net decrease from capital share transactions		(41,120	)		(156,805	)		(2,688,214	)		(6,334,503	)
Investor Class:
Sold		—			—			4,974,613			5,073,432
Reinvested distributions		—			—			353,030			489,425
Redeemed		—			—			(8,826,653	)		(7,374,590	)
Net increase (decrease) from capital share transactions		—			—			(3,499,010	)		(1,811,733	)

The accompanying notes are an integral part of these financial statements.

116 Litman Gregory Funds Trust

Litman Gregory Funds Trust

STATEMENTS OF CHANGES IN NET ASSETS – (Continued)

	High Income Alternatives Fund1
	Year Ended December 31, 2019			Period Ended December 31, 2018
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net investment income	$	3,181,317		$	524,070
Net realized gain (loss) on investments, purchased options, written options, foreign currency transactions, futures and swap contracts		1,644,953			(1,356,915	)
Net change in unrealized appreciation/depreciation on investments, purchased options, written options, foreign currency transactions, futures and swap contracts		2,155,215			(1,452,803	)
Net increase (decrease) in net assets resulting from operations		6,981,485			(2,285,648	)
DISTRIBUTIONS TO SHAREHOLDERS
Institutional Class		(3,275,492	)		(471,902	)
Investor Class		(45,215	)		(2,628	)
Total distributions		(3,320,707	)		(474,530	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold
Institutional Class		19,271,514			81,222,216
Investor Class		1,244,466			545,141
Reinvested distributions
Institutional Class		3,274,704			471,902
Investor Class		45,215			2,628
Payment for shares redeemed
Institutional Class		(9,571,817	)		(1,716,422	)
Investor Class		(456,372	)		(855	)
Net increase in net assets from capital share transactions		13,807,710			80,524,610
Total increase in net assets		17,468,488			77,764,432
NET ASSETS:
Beginning of year		77,764,432			0
End of year	$	95,232,920		$	77,764,432
CAPITAL TRANSACTIONS IN SHARES
Institutional Class:
Sold		1,934,350			8,148,484
Reinvested distributions		327,520			48,358
Redeemed		(957,650	)		(175,066	)
Net increase from capital share transactions		1,304,220			8,021,776
Investor Class:
Sold		124,893			55,097
Reinvested distributions		4,519			270
Redeemed		(45,564	)		(88	)
Net increase from capital share transactions		83,848			55,279

¹  Commenced operations on September 28, 2018.

The accompanying notes are an integral part of these financial statements.

Statements of Changes in Net Assets 117

Litman Gregory Masters Equity Fund – Institutional Class

FINANCIAL HIGHLIGHTS

For a capital share outstanding throughout each year

	Year Ended December 31,
	2019			2018			2017			2016			2015
Net asset value, beginning of year	$	15.02		$	19.10		$	17.02		$	16.08		$	18.01
Income from investment operations:
Net investment income (loss)		0.08	1,2		(0.01	)1		(0.01	)1		0.13	1		0.07	1
Net realized gain (loss) and net change in unrealized appreciation/depreciation on investments and foreign currency		4.03			(1.90	)		3.61			1.81			(0.41	)
Total income (loss) from investment operations		4.11			(1.91	)		3.60			1.94			(0.34	)
Less distributions:
From net investment income		(0.08	)		—			—			(0.14	)		(0.06	)
From net realized gains		(1.51	)		(2.17	)		(1.52	)		(0.86	)		(1.53	)
Total distributions		(1.59	)		(2.17	)		(1.52	)		(1.00	)		(1.59	)
Net asset value, end of year	$	17.54		$	15.02		$	19.10		$	17.02		$	16.08
Total return		27.55	%		(9.91	)%		21.15	%		11.98	%		(1.87	)%
Ratios/supplemental data:
Net assets, end of year (millions)	$	286.3		$	259.8		$	339.5		$	313.5		$	321.2
Ratios of total expenses to average net assets:
Before fees waived		1.35	%4		1.29	%3		1.27	%3		1.27	%3		1.28	%3
After fees waived		1.24	%4,5		1.17	%3,5		1.15	%3,5		1.17	%3,5		1.18	%3,5
Ratio of net investment income (loss) to average net assets		0.44	%2,4		(0.08	)%3		(0.07	)%3		0.78	%3		0.37	%3
Portfolio turnover rate		25.02	%6		41.68	%6		33.49	%6		26.98	%6		33.94	%6

¹  Calculated based on the average shares outstanding methodology.

²  Include non-cash distributions amounting to $0.06 per share and 0.33% of average daily net assets.

³  Includes Interest & Dividend expenses of 0.00% of average net assets.

⁴  Includes Interest & Dividend expense of 0.03% of average net assets.

⁵  Includes the impact of the voluntary waiver of less than 0.01% of average net assets.

⁶  Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.

The accompanying notes are an integral part of these financial statements.

118 Litman Gregory Funds Trust

Litman Gregory Masters International Fund – Institutional Class

FINANCIAL HIGHLIGHTS

For a capital share outstanding throughout each year

	Year Ended December 31,
	2019			2018			2017			2016			2015
Net asset value, beginning of year	$	13.94		$	17.73		$	14.77		$	16.13		$	17.36
Income from investment operations:
Net investment income		0.27	1,4		0.30	1,3		0.20	1,2		0.23	1		0.22	1
Net realized gain (loss) and net change in unrealized appreciation/depreciation on investments and foreign currency		3.97			(3.99	)		3.28			(0.98	)		(1.18	)
Total income (loss) from investment operations		4.24			(3.69	)		3.48			(0.75	)		(0.96	)
Less distributions:
From net investment income		(0.53	)		(0.10	)		(0.52	)		(0.61	)		(0.27	)
From net realized gains		—			—			—			—			—
Total distributions		(0.53	)		(0.10	)		(0.52	)		(0.61	)		(0.27	)
Redemption fee proceeds		—			—			—			—			—	^
Net asset value, end of year	$	17.65		$	13.94		$	17.73		$	14.77		$	16.13
Total return		30.45	%		(20.80	)%		23.61	%		(4.61	)%		(5.52	)%
Ratios/supplemental data:
Net assets, end of year (millions)	$	401.5		$	368.6		$	681.1		$	621.3		$	1,021.1
Ratios of total expenses to average net assets:
Before fees waived		1.36	%6		1.33	%6		1.26	%5		1.28	%6		1.24	%5
After fees waived		1.12	%6,7		1.09	%6,7		0.98	%5,7		1.00	%6,7		0.99	%5,7
Ratio of net investment income to average net assets		1.65	%4,6		1.74	%3,6		1.18	%2,5		1.51	%6		1.22	%5
Portfolio turnover rate		45.48	%8		35.15	%8		41.90	%8		43.84	%8		51.68	%8

^ Amount represents less than $0.01 per share.

¹  Calculated based on the average shares outstanding methodology.

²  Include non-cash distributions amounting to $0.06 per share and 0.35% of average daily net assets.

³  Include non-cash distributions amounting to $0.05 per share and 0.29% of average daily net assets.

⁴  Include non-cash distributions amounting to $0.10 per share and 0.60% of average daily net assets.

⁵  Includes Interest & Dividend expenses of 0.00% of average net assets.

⁶  Includes Interest & Dividend expenses of 0.01% of average net assets.

⁷  Includes the impact of the voluntary waiver of less than 0.01% of average net assets.

⁸  Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.

The accompanying notes are an integral part of these financial statements.

Financial Highlights 119

Litman Gregory Masters Smaller Companies Fund – Institutional Class

FINANCIAL HIGHLIGHTS

For a capital share outstanding throughout each year

	Year Ended December 31,
	2019			2018			2017			2016			2015
Net asset value, beginning of year	$	21.21		$	23.70		$	20.71		$	17.43		$	20.09
Income from investment operations:
Net investment income (loss)		(0.01	)1		0.02	1		(0.07	)1		(0.01	)1		(0.15	)1
Net realized gain (loss) and net change in unrealized appreciation/depreciation on investments		5.01			(2.51	)		3.06			3.29			(2.51	)
Total income (loss) from investment operations		5.00			(2.49	)		2.99			3.28			(2.66	)
Less distributions:
From net investment income		—	^		—			—			—			—
From net realized gains		(2.52	)		—			—			—			—
Total distributions		(2.52	)		—			—			—			—
Net asset value, end of year	$	23.69		$	21.21		$	23.70		$	20.71		$	17.43
Total return		23.72	%		(10.51	)%		14.44	%		18.82	%		(13.24	)%
Ratios/supplemental data:
Net assets, end of year (millions)	$	28.7		$	26.6		$	33.4		$	37.2		$	41.0
Ratios of total expenses to average net assets:
Before fees waived		1.88	%2		1.80	%2		1.74	%2		1.66	%2		1.69	%2
After fees waived		1.46	%2,3		1.38	%2,3		1.32	%2,3		1.24	%2,3		1.59	%2,3
Ratio of net investment income (loss) to average net assets		(0.04	)%2		0.10	%2		(0.30	)%2		(0.06	)%2		(0.75	)%2
Portfolio turnover rate		64.88	%		75.00	%		107.51	%		51.32	%		60.73	%

^ Amount represents less than $0.01 per share.

¹  Calculated based on the average shares outstanding methodology.

²  Includes Interest & Dividend expenses of 0.00% of average net assets.

³  Includes the impact of the voluntary waiver of less than 0.01% of average net assets.

The accompanying notes are an integral part of these financial statements.

120 Litman Gregory Funds Trust

Litman Gregory Masters Alternative Strategies Fund – Institutional Class

FINANCIAL HIGHLIGHTS

For a capital share outstanding throughout each year

	Year Ended December 31,
	2019			2018			2017			2016			2015
Net asset value, beginning of year	$	11.08		$	11.69		$	11.45		$	10.99		$	11.44
Income from investment operations:
Net investment income		0.31	1,2		0.26	1		0.26	1		0.31	1		0.30	1
Net realized gain (loss) and net change in unrealized appreciation/depreciation on investments, foreign currency, short sales, options, futures and swap contracts		0.64			(0.51	)		0.25			0.44			(0.40	)
Total income (loss) from investment operations		0.95			(0.25	)		0.51			0.75			(0.10	)
Less distributions:
From net investment income		(0.33	)		(0.36	)		(0.27	)		(0.29	)		(0.32	)
From net realized gains		—			—			—			—			(0.03	)
Total distributions		(0.33	)		(0.36	)		(0.27	)		(0.29	)		(0.35	)
Net asset value, end of year	$	11.70		$	11.08		$	11.69		$	11.45		$	10.99
Total return		8.52	%		(2.08	)%		4.51	%		6.87	%		(0.77	)%
Ratios/supplemental data:
Net assets, end of year (millions)	$	1,724.2		$	1,663.7		$	1,828.1		$	1,368.9		$	1,176.9
Ratios of total expenses to average net assets:
Before fees waived		1.63	%7		1.63	%6		1.75	%5		1.83	%4		1.94	%3
After fees waived		1.51	%7,8		1.53	%6,8		1.66	%5,8		1.75	%4,8		1.85	%3,8
Ratio of net investment income to average net assets		2.70	%2,7		2.26	%6		2.25	%5		2.78	%4		2.62	%3
Portfolio turnover rate		190.21	%9		197.04	%9		169.34	%9		142.24	%9		145.97	%9

¹  Calculated based on the average shares outstanding methodology.

²  Include non-cash distributions amounting to $0.02 per share and 0.20% of average daily net assets.

³  Includes Interest & Dividend expense of 0.36% of average net assets.

⁴  Includes Interest & Dividend expense of 0.28% of average net assets.

⁵  Includes Interest & Dividend expense of 0.20% of average net assets.

⁶  Includes Interest & Dividend expense of 0.07% of average net assets.

⁷  Includes Interest & Dividend expense of 0.05% of average net assets.

⁸  Includes the impact of the voluntary waiver of less than 0.01% of average net assets.

⁹  Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.

The accompanying notes are an integral part of these financial statements.

Financial Highlights 121

Litman Gregory Masters Alternative Strategies Fund – Investor Class

FINANCIAL HIGHLIGHTS

For a capital share outstanding throughout each year

	Year Ended December 31,
	2019			2018			2017			2016			2015
Net asset value, beginning of year	$	11.10		$	11.70		$	11.46		$	11.00		$	11.45
Income from investment operations:
Net investment income		0.28	1,2		0.23	1		0.23	1		0.28	1		0.28	1
Net realized gain (loss) and net change in unrealized appreciation/depreciation on investments, foreign currency, short sales, options, futures and swap contracts		0.63			(0.50	)		0.25			0.44			(0.40	)
Total income (loss) from investment operations		0.91			(0.27	)		0.48			0.72			(0.12	)
Less distributions:
From net investment income		(0.30	)		(0.33	)		(0.24	)		(0.26	)		(0.30	)
From net realized gains		—			—			—			—			(0.03	)
Total distributions		(0.30	)		(0.33	)		(0.24	)		(0.26	)		(0.33	)
Net asset value, end of year	$	11.71		$	11.10		$	11.70		$	11.46		$	11.00
Total return		8.22	%		(2.32	)%		4.14	%		6.67	%		(0.95	)%
Ratios/supplemental data:
Net assets, end of year (millions)	$	144.1		$	175.3		$	206.0		$	179.8		$	190.6
Ratios of total expenses to average net assets:
Before fees waived		1.88	%7		1.88	%6		2.00	%5		2.08	%4		2.18	%3
After fees waived		1.76	%7,8		1.78	%6,8		1.90	%5,8		2.00	%4,8		2.03	%3,8
Ratio of net investment income to average net assets		2.44	%2,7		2.01	%6		2.01	%5		2.54	%4		2.44	%3
Portfolio turnover rate		190.21	%9		197.04	%9		169.34	%9		142.24	%9		145.97	%9

¹  Calculated based on the average shares outstanding methodology.

²  Include non-cash distributions amounting to $0.02 per share and 0.20% of average daily net assets.

³  Includes Interest & Dividend expense of 0.36% of average net assets.

⁴  Includes Interest & Dividend expense of 0.28% of average net assets.

⁵  Includes Interest & Dividend expense of 0.20% of average net assets.

⁶  Includes Interest & Dividend expense of 0.07% of average net assets.

⁷  Includes Interest & Dividend expense of 0.05% of average net assets.

⁸  Includes the impact of the voluntary waiver of less than 0.01% of average net assets.

⁹  Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.

The accompanying notes are an integral part of these financial statements.

122 Litman Gregory Funds Trust

Litman Gregory Masters High Income Alternatives Fund – Institutional Class

FINANCIAL HIGHLIGHTS

For a capital share outstanding throughout each year

	Year Ended December 31, 2019			Period Ended December 31, 2018**
Net asset value, beginning of year	$	9.63		$	10.00
Income from investment operations:
Net investment income		0.36	1		0.07	1
Net realized gain (loss) and net change in unrealized appreciation/depreciation on investments, foreign currency, futures, options and swap contracts		0.44			(0.38	)
Total income (loss) from investment operations		0.80			(0.31	)
Less distributions:
From net investment income		(0.33	)		(0.06	)
From net realized gains		(0.04	)		—
Total distributions		(0.37	)		(0.06	)
Net asset value, end of year	$	10.06		$	9.63
Total return		8.37	%		(3.08	)%+
Ratios/supplemental data:
Net assets, end of year (millions)	$	93.8		$	77.2
Ratios of total expenses to average net assets:
Before fees waived		1.39	%2		1.34	%*
After fees waived		0.98	%2,3		0.98	%*,3
Ratio of net investment income to average net assets		3.56	%2		2.89	%*
Portfolio turnover rate		90.51	%4		125.92	%+,4

+ Not annualized.

* Annualized.

** Commenced operations on September 28, 2018.

¹  Calculated based on the average shares outstanding methodology.

²  Includes Interest & Dividend expense of 0.00% of average net assets.

³  Includes the impact of the voluntary waiver of less than 0.01% of average net assets.

⁴  Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.

The accompanying notes are an integral part of these financial statements.

Financial Highlights 123

Litman Gregory Masters High Income Alternatives Fund – Investor Class

FINANCIAL HIGHLIGHTS

For a capital share outstanding throughout each year

	Year Ended December 31, 2019			Period Ended December 31, 2018**
Net asset value, beginning of year	$	9.63		$	10.00
Income from investment operations:
Net investment income		0.34	1		0.08	1
Net realized gain (loss) and net change in unrealized appreciation/depreciation on investments, foreign currency, futures, options and swap contracts		0.44			(0.39	)
Total income (loss) from investment operations		0.78			(0.31	)
Less distributions:
From net investment income		(0.30	)		(0.06	)
From net realized gains		(0.04	)		—
Total distributions		(0.34	)		(0.06	)
Net asset value, end of year	$	10.07		$	9.63
Total return		8.18	%		(3.09	)%+
Ratios/supplemental data:
Net assets, end of year (millions)	$	1.4		$	0.5
Ratios of total expenses to average net assets:
Before fees waived		1.67	%2		1.62	%*
After fees waived		1.23	%2,3		1.23	%*,3
Ratio of net investment income to average net assets		3.36	%2		3.25	%*
Portfolio turnover rate		90.51	%4		125.92	%+,4

+ Not annualized.

* Annualized.

** Commenced operations on September 28, 2018.

¹  Calculated based on the average shares outstanding methodology.

²  Includes Interest & Dividend expense of 0.00% of average net assets.

³  Includes the impact of the voluntary waiver of less than 0.01% of average net assets.

⁴  Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.

The accompanying notes are an integral part of these financial statements.

124 Litman Gregory Funds Trust

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NOTES TO FINANCIAL STATEMENTS

Note 1 – Organization

Litman Gregory Funds Trust (the “Trust”) was organized as a Delaware business trust on August 1, 1996, and is registered under the Investment Company Act of 1940 (the “1940 Act”) as an open-end management investment company. Effective August 1, 2011, The Masters’ Select Funds Trust changed its name to the Litman Gregory Funds Trust. The Trust consists of five separate series: Litman Gregory Masters Equity Fund, Litman Gregory Masters International Fund, Litman Gregory Masters Smaller Companies Fund, Litman Gregory Masters Alternative Strategies Fund, and Litman Gregory Masters High Income Alternatives Fund (commenced operations on September 28, 2018) (each a “Fund” and collectively the “Funds”). Each Fund is diversified.

Litman Gregory Masters Equity Fund (“Equity Fund”) seeks to increase the value of an investment in the Fund over the long-term by using the combined talents and favorite stock-picking ideas of six highly regarded portfolio managers (each “Managers” or “Sub-Advisors”). The Equity Fund offers one class of shares: Institutional Class. Investor Class shares were converted into Institutional Class shares at the close of business on April 29, 2019.

Litman Gregory Masters International Fund (“International Fund”) seeks to increase the value of an investment in the Fund over the long-term by using the combined talents and favorite stock-picking ideas of five highly regarded international portfolio managers. The International Fund offers one class of shares: Institutional Class. Investor Class shares were converted into Institutional Class shares at the close of business on April 29, 2019.

Litman Gregory Masters Smaller Companies Fund (“Smaller Companies Fund”) seeks to increase the value of an investment in the Fund over the long-term by using the combined talents and favorite stock-picking ideas of three highly regarded smaller company portfolio managers. The Smaller Companies Fund offers one class of shares: Institutional Class.

Litman Gregory Masters Alternative Strategies Fund (“Alternative Strategies Fund”) seeks to achieve long-term returns with lower risk and lower volatility than the stock market, and with relatively low correlation to stock and bond market indexes by using the combined talents and favorite stock and bond market indexes-picking ideas of five highly regarded portfolio managers. The Alternative Strategies Fund offers two classes of shares: Institutional Class and Investor Class shares. The Investor Class shares charge a 0.25% 12b-1 distribution fee to the shareholders of this class (see Note 4).

Litman Gregory Masters High Income Alternatives Fund (“High Income Alternatives Fund”) seeks to generate a high level of current income from diverse sources, consistent with capital preservation over time, with capital appreciation a secondary objective, by using the combined talents and favorite stock and bond market indexes-picking ideas of four highly regarded portfolio managers. The High Income Alternatives Fund offers two classes of shares: Institutional Class and Investor Class shares. The Investor Class shares charge a 0.25% 12b-1 distribution fee to the shareholders of this class (see Note 4).

Note 2 – Significant Accounting Policies

The following is a summary of the significant accounting policies followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

A Accounting Estimates. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions. These estimates and assumptions affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 Financial Services – Investment Companies.

B Security Valuation. Investments in securities and derivatives traded on a national securities exchange are valued at the last reported sales price at the close of regular trading on each day that the exchanges are open for trading. Securities listed on the NASDAQ Global Market, the NASDAQ Global Select Market and the NASDAQ Capital Market are valued using the NASDAQ Official Closing Price. Securities traded on an exchange for which there have been no sales are valued at the mean between the closing bid and asked prices. Debt securities maturing within 60 days or less are valued at amortized cost unless the Valuation Committee determines that amortized cost does not represent fair value. Securities for which market prices are not readily available or if a security’s value has materially changed after the close of the security’s primary market but before the close of trading on the New York Stock Exchange (“NYSE”), the securities are valued at fair value as determined in good faith by the Managers that selected the security for the Funds’ portfolio and the Trust’s Valuation Committee in accordance with procedures approved by the Board of Trustees (the “Board”). In determining fair value, the Funds take into account all relevant factors and available information. Consequently, the price of the security used by a Fund to calculate its net asset value may differ from quoted or published prices for the same security. Fair value pricing involves subjective judgments and there is no single standard for determining the fair value of a security. As a result, different mutual funds could reasonably arrive at a different value

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for the same security. For securities that do not trade during NYSE hours, fair value determinations are based on analyses of market movements after the close of those securities’ primary markets, and include reviews of developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. Pricing services are used to obtain closing market prices and to compute certain fair value adjustments utilizing computerized pricing models. It is possible that the fair value determined for a security is materially different from the value that could be realized upon the sale of that security or from the values that other mutual funds may determine.

Investments in other funds are valued at their respective net asset values as determined by those funds in accordance with the 1940 Act.

Debt securities generally trade in the over-the-counter market rather than on a securities exchange. The Funds’ pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services also utilize proprietary valuation models which may consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair value. Securities denominated in a foreign currency are converted into their U.S. dollar equivalent at the foreign exchange rate in effect at the close of the NYSE on the date that the values of the foreign debt securities are determined. Repurchase agreements are valued at cost, which approximates fair value.

Certain derivatives trade in the over-the-counter market. The Funds’ pricing services use various techniques including industry standard option pricing models and proprietary discounted cash flow models to determine the fair value of those instruments. The Funds’ net benefit or obligation under the derivative contract, as measured by the fair value of the contract, is included in net assets.

The Funds have procedures to determine the fair value of securities and other financial instruments for which market prices are not readily available or which may not be reliably priced. Under these procedures, the Funds primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The Funds may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed.

C Senior Term Loans. The Alternative Strategies Fund and the High Income Alternatives Fund may invest in bank debt, which includes interests in loans to companies or their affiliates undertaken to finance a capital restructuring or in connection with recapitalizations, acquisitions, leveraged buyouts, refinancings or other financially leveraged transactions and may include loans which are designed to provide temporary or bridge financing to a borrower pending the sale of identified assets, the arrangement of longer-term loans or the issuance and sale of debt obligations. These loans, which may bear fixed or floating rates, have generally been arranged through private negotiations between a corporate borrower and one or more financial institutions (“Lenders”), including banks. The Alternative Strategies Fund’s and the High Income Alternatives Fund’s investments may be in the form of participations in loans (“Participations”) or of assignments of all or a portion of loans from third parties (“Assignments”).

D Unfunded Loan Commitments. The Alternative Strategies Fund and the High Income Alternatives Fund may enter into certain credit agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are disclosed in the Schedule of Investments.

E Short Sales. Each Fund may sell a security it does not own in anticipation of a decline in the fair value of that security. When each Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. In addition, cash and certain investments in securities may be used to collateralize the securities sold short. Each day the securities sold short transaction is open, the liability to replace the borrowed security is marked to market and an unrealized gain or loss is recorded. While the transaction remains open, the Fund may also incur expenses for any dividends or interest which will be paid to the lender of the securities as well as a fee to borrow the delivered security. During the term of the short sale, the value of the securities pledged as collateral on short sales is required to exceed the value of the securities sold short. A gain, limited to the price at which each Fund sold the security short, or a loss, unlimited in size, will be recognized upon the termination of a short sale. Each Fund is also subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price.

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NOTES TO FINANCIAL STATEMENTS – (Continued)

F Repurchase Agreements. Each Fund may enter into repurchase agreements through which the Fund acquires a security (the “underlying security”) from a seller, a well-established securities dealer or a bank that is a member of the Federal Reserve System. The bank or securities dealer agrees to repurchase the underlying security at the same price, plus a specified amount of interest, at a later date, generally for a period of less than one week. It is the Trust’s policy that its Custodian takes possession of securities as collateral under repurchase agreements and to determine on a daily basis that the value of such securities, including recorded interest, is sufficient to cover the value of the repurchase agreements. The Trust’s policy states that the value of the collateral is at least 102% of the value of the repurchase agreement. If the counterparty defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the counterparty of the security, realization of the collateral by a Fund may be delayed or limited. At December 31, 2019, the Funds’ ongoing exposure to the economic return on repurchase agreements is shown on the Schedules of Investments.

G Reverse repurchase agreements. The High Income Alternatives Fund may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. The Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. The Fund has no outstanding reverse repurchase agreements at the end of the year.

H Foreign Currency Translation. The Funds’ records are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the reporting period. The currencies are translated into U.S. dollars by using the exchange rates quoted at the close of the London Stock Exchange prior to when each Fund’s net asset value is next determined. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.

The Funds do not isolate that portion of their net realized and unrealized gains and losses on investments resulting from changes in foreign exchange rates from the impact arising from changes in market prices. Such fluctuations are included with net realized and unrealized gain or loss from investments.

Net realized foreign currency transaction gains and losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the differences between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency transactions gains and losses arise from changes in the value of assets and liabilities, other than investments in securities, resulting from changes in the exchange rates.

I Forward Foreign Currency Exchange Contracts. The Funds may utilize forward foreign currency exchange contracts (“forward contracts”) under which they are obligated to exchange currencies on specified future dates at specified rates, and are subject to foreign exchange rates fluctuations. All contracts are “marked-to-market” daily and any resulting unrealized gains or losses are recorded as unrealized appreciation or depreciation on foreign currency transactions. The Funds record realized gains or losses at the time the forward contract is settled. These gains and losses are reflected on the Statements of Operations as realized gain (loss) on foreign currency transactions. Counterparties to these forward contracts are major U.S. financial institutions (see Note 7).

J Futures Contracts. The Alternative Strategies Fund and the High Income Alternatives Fund invest in financial futures contracts primarily for the purpose of hedging their existing portfolio securities, or securities that the Funds intend to purchase, against fluctuations in fair value caused by changes in prevailing market interest rates. Upon entering into a financial futures contract, a Fund is required to pledge to the broker an amount of cash, U.S. government securities, or other assets, equal to a certain percentage of the contract amount (initial margin deposit). Subsequent payments, known as variation margin, are made or received by a Fund each day, depending on the daily fluctuations in the fair value of the underlying security. Each Fund recognizes a gain or loss equal to the daily variation margin. If market conditions move unexpectedly, a Fund may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates, and the underlying hedged assets (see Note 7).

K Interest Rate Swaps. During the year ended December 31, 2019, the Alternative Strategies Fund and the High Income Alternatives Fund invest in interest rate swaps. An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party

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to the other. Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, and upfront payments, if any, are recorded as a receivable or payable for variation margin on the Statements of Assets and Liabilities (see Note 7).

L Credit Default Swaps. During the year ended December 31, 2019, the Alternative Strategies Fund and the High Income Alternatives Fund entered into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate issuers or indexes or to create exposure to corporate issuers or indexes to which they are not otherwise exposed. In a credit default swap, the protection buyer makes a stream of payments based on a fixed percentage applied to the contract notional amount to the protection seller in exchange for the right to receive a specified return upon the occurrence of a defined credit event on the reference obligation which may be either a single security or a basket of securities issued by corporate or sovereign issuers. Although contract-specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. Upon the occurrence of a defined credit event, the difference between the value of the reference obligation and the swap’s notional amount is recorded as realized gain (for protection written) or loss (for protection sold) in the Statements of Operations. In the case of credit default swaps where a Fund is selling protection, the notional amount approximates the maximum loss (see Note 7). For centrally cleared swaps the daily change in valuation, and upfront payments, if any, are recorded as a receivable or payable for variation margin on the Statements of Assets and Liabilities (see Note 7).

M Total Return Swaps. During the year ended December 31, 2019, the Alternative Strategies Fund and the High Income Alternatives Fund invest in total return swaps. Total return swap is the generic name for any non-traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of London Interbank Offered Rate (“LIBOR”) based cash flows. A total return swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. Total return swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the Statement of Assets and Liabilities. The other leg of the swap, usually LIBOR, is a spread to reflect the non-Statement of Assets and Liabilities nature of the product. No notional amounts are exchanged with total return swaps. The total return receiver assumes the entire economic exposure – that is, both market and credit exposure – to the reference asset. The total return payer – often the owner of the reference obligation – gives up economic exposure to the performance of the reference asset and in return takes on counterparty credit exposure to the total return receiver in the event of a default or fall in value of the reference asset (see Note 7).

N Purchasing Put and Call Options. Each Fund may purchase covered “put” and “call” options with respect to securities which are otherwise eligible for purchase by a Fund and with respect to various stock indices subject to certain restrictions. Each Fund will engage in trading of such derivative securities primarily for hedging purposes.

If a Fund purchases a put option, a Fund acquires the right to sell the underlying security at a specified price at any time during the term of the option (for “American-style” options) or on the option expiration date (for “European-style” options). Purchasing put options may be used as a portfolio investment strategy when a portfolio manager perceives significant short-term risk but substantial long-term appreciation for the underlying security. The put option acts as an insurance policy, as it protects against significant downward price movement while it allows full participation in any upward movement. If a Fund is holding a stock which it feels has strong fundamentals, but for some reason may be weak in the near term, a Fund may purchase a put option on such security, thereby giving itself the right to sell such security at a certain strike price throughout the term of the option. Consequently, a Fund will exercise the put only if the price of such security falls below the strike price of the put. The difference between the put’s strike price and the market price of the underlying security on the date a Fund exercises the put, less transaction costs, will be the amount by which a Fund will be able to hedge against a decline in the underlying security. If during the period of the option the market price for the underlying security remains at or above the put’s strike price, the put will expire worthless, representing a loss of the price a Fund paid for the put, plus transaction costs. If the price of the underlying security increases, the profit a Fund realizes on the sale of the security will be reduced by the premium paid for the put option less any amount for which the put may be sold.

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NOTES TO FINANCIAL STATEMENTS – (Continued)

If a Fund purchases a call option, it acquires the right to purchase the underlying security at a specified price at any time during the term of the option. The purchase of a call option is a type of insurance policy to hedge against losses that could occur if a Fund has a short position in the underlying security and the security thereafter increases in price. Each Fund will exercise a call option only if the price of the underlying security is above the strike price at the time of exercise. If during the option period the market price for the underlying security remains at or below the strike price of the call option, the option will expire worthless, representing a loss of the price paid for the option, plus transaction costs. If the call option has been purchased to hedge a short position of a Fund in the underlying security and the price of the underlying security thereafter falls, the profit a Fund realizes on the cover of the short position in the security will be reduced by the premium paid for the call option less any amount for which such option may be sold.

Prior to exercise or expiration, an option may be sold when it has remaining value by a purchaser through a “closing sale transaction,” which is accomplished by selling an option of the same series as the option previously purchased. Each Fund generally will purchase only those options for which a Manager believes there is an active secondary market to facilitate closing transactions (see Note 7).

Writing Call Options. Each Fund may write covered call options. A call option is “covered” if a Fund owns the security underlying the call or has an absolute right to acquire the security without additional cash consideration (or, if additional cash consideration is required, cash or cash equivalents in such amount as are held in a segregated account by the Custodian). The writer of a call option receives a premium and gives the purchaser the right to buy the security underlying the option at the exercise price. The writer has the obligation upon exercise of the option to deliver the underlying security against payment of the exercise price during the option period. If the writer of an exchange-traded option wishes to terminate his obligation, he may effect a “closing purchase transaction.” This is accomplished by buying an option of the same series as the option previously written. A writer may not effect a closing purchase transaction after it has been notified of the exercise of an option.

Effecting a closing transaction in the case of a written call option will permit a Fund to write another call option on the underlying security with either a different exercise price, expiration date or both. Also, effecting a closing transaction will permit the cash or proceeds from the concurrent sale of any securities subject to the option to be used for other investments of a Fund. If a Fund desires to sell a particular security from its portfolio on which it has written a call option, it will effect a closing transaction prior to or concurrent with the sale of the security.

Each Fund will realize a gain from a closing transaction if the cost of the closing transaction is less than the premium received from writing the option or if the proceeds from the closing transaction are more than the premium paid to purchase the option. Each Fund will realize a loss from a closing transaction if the cost of the closing transaction is more than the premium received from writing the option or if the proceeds from the closing transaction are less than the premium paid to purchase the option. However, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss to a Fund resulting from the repurchase of a call option is likely to be offset in whole or in part by appreciation of the underlying security owned by a Fund (see Note 7).

Writing Put Options. Each Fund may write put options. By writing put options, the Fund takes on the risk of declines in the value of the underlying instrument, including the possibility of a loss up to the entire strike price of each option it sells, but without the corresponding opportunity to benefit from potential increases in the value of the underlying instrument. When the Fund writes a put option, it assumes the risk that it must purchase the underlying instrument at a strike price that may be higher than the market price of the instrument. If there is a broad market decline and the Fund is able to close out its written put options, it may result in substantial losses to the Fund.

Risks of Investing in Options. There are several risks associated with transactions in options on securities. Options may be more volatile than the underlying instruments and, therefore, on a percentage basis, an investment in options may be subject to greater fluctuation than an investment in the underlying instruments themselves. There are also significant differences between the securities and options markets that could result in an imperfect correlation between these markets, causing a given transaction not to achieve its objective. In addition, a liquid secondary market for particular options may be absent for reasons which include the following: there may be insufficient trading interest in certain options; restrictions may be imposed by an exchange on opening transactions or closing transactions or both; trading halts, suspensions or other restrictions may be imposed with respect to particular classes or series of option of underlying securities; unusual or unforeseen circumstances may interrupt normal operations on an exchange; the facilities of an exchange or clearing corporation may not at all times be adequate to handle current trading volume; or one or more exchanges could, for economic or other reasons, decide or be compelled at some future date to discontinue the trading of options (or a particular class or series of options), in which event the secondary market on that exchange (or in that class or series of options) would cease to exist, although outstanding options that had been issued by a clearing corporation as a result of trades on that exchange would continue to be exercisable in accordance with their terms.

A decision as to whether, when and how to use options involves the exercise of skill and judgment, and even a well-conceived transaction may be unsuccessful to some degree because of market behavior or unexpected events. The extent to which a Fund

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may enter into options transactions may be limited by the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), with respect to qualification of a Fund as a regulated investment company.

O Distributions to Shareholders. Distributions paid to shareholders are recorded on the ex-dividend date. Net realized gains from securities transactions (if any) are generally distributed annually to shareholders. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with federal income tax regulations, which may differ from generally accepted accounting principles. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition – “temporary differences”), such amounts are reclassified within the capital accounts based on their federal tax-basis.

P Federal Income Taxes. The Funds intend to comply with the requirements of Subchapter M of the Code applicable to regulated investment companies and to distribute all of their taxable income to their shareholders. Accordingly, no provisions for federal income taxes are required. The Funds have reviewed the tax positions, taken on federal income tax returns, for each of the three open tax years (as applicable) and as of December 31, 2019, and have determined that no provision for income tax is required in the Funds’ financial statements. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expenses in the Statements of Operations. During the year ended December 31, 2019, the Funds did not incur any interest or penalties. Foreign securities held by the Funds may be subject to foreign taxation on dividend and interest income received. Foreign taxes, if any, net of any reclaims, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Funds’ invest.

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country’s tax treaty with the United States. The foreign withholding rates applicable to a Fund’s investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Taxes related to capital gains realized during the year ended December 31, 2019, if any, are reflected as part of net realized gain (loss) in the Statements of Operations.

Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of change in net unrealized appreciation (depreciation) in the Statements of Operations. Transaction-based charges are generally calculated as a percentage of the transaction amount.

The Funds may have previously filed for and/or may file for additional tax refunds with respect to certain taxes withheld by certain countries. Generally, the amount of such refunds that a Fund reasonably determines are collectible and free from significant contingencies are reflected in a Fund’s net asset value and are reflected as foreign tax reclaims receivable in the Statements of Assets and Liabilities. In certain circumstances, a Fund’s receipt of such refunds may cause the Fund and/or its shareholders to be liable for U.S. federal income taxes and interest charges.

Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that Fund.

Q Security Transactions, Dividend and Interest Income and Expenses. Security transactions are accounted for on the trade date. Realized gains and losses on securities transactions are reported on an identified cost basis. Dividend income and, where applicable, related foreign tax withholding expenses are recorded on the ex-dividend date. Interest income is recorded on an accrual basis. Purchase discounts and premiums on fixed-income securities are accreted and amortized to maturity using the effective interest method and reflected within interest income on the Statements of Operations. Many expenses of the Trust can be directly attributed to a specific Fund. Each Fund is charged for expenses directly attributed to it. Expenses that cannot be directly attributed to a specific Fund are allocated among the Funds in the Trust in proportion to their respective net assets or other appropriate method. Realized and unrealized gains and losses and net investment income, not including class specific expenses, are allocated daily to each class of shares based upon the relative proportion of net assets of each class. Differences in per share distributions by class are generally due to differences in class specific expenses. Class specific expenses, such as 12b-1 expenses, are directly attributed to that specific class.

R Restricted Cash. At December 31, 2019, the Alternative Strategies Fund and the High Income Alternatives Fund held restricted cash in connection with investments in certain derivative securities. Restricted cash is held in a segregated account with the Alternative Strategies Fund’s and the High Income Alternatives Fund’s Custodian as well as with brokers and is reflected in the Statements of Assets and Liabilities as deposits at brokers for securities sold short, futures, options, and swaps. Restrictions may include legally restricted deposits held as compensating balances against short-term borrowing arrangements or contracts entered into with others.

The Funds consider their investment in an Federal Deposits Insurance Corporation (“FDIC”) insured interest bearing savings account to be cash. The Funds maintain cash balances, which, at times, may exceed federally insured limits. The Funds maintain these balances with a high quality financial institution.

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NOTES TO FINANCIAL STATEMENTS – (Continued)

S Restricted Securities. A restricted security cannot be resold to the general public without prior registration under the Securities Act of 1933. If the security is subsequently registered and resold, the issuers would typically bear the expense of all registrations at no cost to the Fund. Restricted securities are valued according to the guidelines and procedures adopted by the Funds’ Board of Trustees. As of December 31, 2019, there were no restricted securities held in the Funds.

T Illiquid Securities. Each Fund may not invest more than 15% of the value of its net assets in illiquid securities, including restricted securities that are not deemed to be liquid by the Sub-Advisors. The Advisor and the Sub-Advisors will monitor the amount of illiquid securities in a Fund’s portfolio, under the supervision of the Board, to ensure compliance with a Fund’s investment restrictions. In accordance with procedures approved by the Board, these securities may be valued using techniques other than market quotations, and the values established for these securities may be different than what would be produced through the use of another methodology or if they had been priced using market quotations. Illiquid securities and other portfolio securities that are valued using techniques other than market quotations, including “fair valued” securities, may be subject to greater fluctuation in their value from one day to the next than would be the case if market quotations were used. In addition, there is no assurance that a Fund could sell a portfolio security for the value established for it at any time, and it is possible that a Fund would incur a loss because a portfolio security is sold at a discount to its established value.

U Indemnification Obligations. Under the Trust’s organizational documents, its current and former officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred or that would be covered by other parties.

Note 3 – Investment Advisory and Other Agreements

The Trust, on behalf of the Funds, entered into an Investment Advisory Agreement (the “Agreement”) with Litman Gregory Fund Advisors, LLC (the “Advisor”). Under the terms of the Agreement, each Fund pays a monthly investment advisory fee to the Advisor at the annual rate below of the respective Fund’s average daily net assets before any fee waivers:

	Contractual Management Rate
Fund	First $450 million			Excess of $450 million			First $750 million			Excess of $750 million			First $1 billion			Excess of $1 billion			Between $1 and $2 billion			First $2 billion			Between $2 and $3 billion			Between $3 and $4 billion			Excess of $4 billion
Equity		—			—			1.10	%		1.00	%		—			—			—			—			—			—			—
International		—			—			—			—			1.10	%		1.00	%		—			—			—			—			—
Smaller Companies		1.14	%		1.04	%		—			—			—			—			—			—			—			—			—
Alternative Strategies		—			—			—			—			—			—			—			1.40	%		1.30	%		1.25	%		1.20	%
High Income Alternatives		—			—			—			—			0.95	%		—			0.925	%		—			0.90	%		0.875	%		0.85	%

The Advisor engages sub-advisors to manage the Funds and pays the sub-advisors from its advisory fees.

Through April 30, 2021, the Advisor has contractually agreed to waive a portion of its advisory fees effectively reducing total advisory fees to approximately 0.99% of the average daily net assets of the Equity Fund, 0.86% of the average daily net assets of the International Fund, 0.72% of the average daily net assets of the Smaller Companies Fund, 1.28% of the average daily net assets of the Alternative Strategies Fund, and 0.75% of the average daily net assets of the High Income Alternatives Fund. Additionally, the Advisor has voluntarily agreed to waive its management fee on the daily cash values of the Funds not allocated to Managers. For the year ended December 31, 2019, the amount waived, contractual and voluntary, was $311,514, $963,627, $122,904, $2,325,569, and $368,906 for Equity Fund, International Fund, Smaller Companies Fund, Alternative Strategies Fund, and High Income Alternatives Fund, respectively. The Advisor has agreed not to seek recoupment of such waived fees. Through April 30, 2021, the Advisor has contractually agreed to waive a portion of its advisory fees and/or reimburse a portion of the High Income Alternatives Fund’s operating expenses (excluding any taxes, interest, brokerage commissions, expenses incurred in connection with any merger or reorganization, borrowing costs, (including commitment fees), dividend expenses, acquired fund fees and expenses and extraordinary expenses such as but not limited to litigation costs) to ensure that the total annual fund operating expenses after fee waiver and/or expense reimbursement for the Institutional and Investor Classes will not exceed 0.98% and 1.23% of the average daily net assets, respectively. During the year ended December 31, 2019, the amount waived contractually pursuant to an Expense Limitation Agreement was $185,435 for the High Income Alternatives Fund. The Advisor may be reimbursed by the Fund no later than the end of the third fiscal year following the year of the waiver provided that such reimbursement does not cause the Fund’s expenses to exceed the expense limitation. The Advisor is waiving its right to recoup these fees and any fees waived in prior years.

Notes to Financial Statements 131

Litman Gregory Funds Trust

NOTES TO FINANCIAL STATEMENTS – (Continued)

State Street Bank and Trust Company (“State Street”) serves as the Administrator, Custodian and Fund Accountant to the Funds.

DST Asset Manager Solutions, Inc. (“DST”) serves as the Funds’ Transfer Agent. The Funds’ principal underwriter is ALPS Distributors, Inc.

An employee of the Advisor serves as the Funds’ Chief Compliance Officer (“CCO”). The CCO receives no compensation from the Funds for his services, however, the Funds reimbursed the Advisor $68,240 for the year ended December 31, 2019 for the services of the CCO.

Wells Capital Management, Inc. used their respective affiliated entity for purchases of the Equity Fund and Smaller Companies Fund’s portfolio securities for the year ended December 31, 2019. There was no commissions paid for these transactions.

During the year ended December 31, 2019, each independent Trustee, within the meaning of the 1940 Act, was compensated by the Trust in the amount of $100,000.

Certain officers and Trustees of the Trust are also officers of the Advisor.

Note 4 – Distribution Plan

Certain Funds have adopted a Plan of Distribution (the “Plan”) dated February 25, 2009, as amended, pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Investor Classes of the Alternative Strategies Fund and High Income Alternatives Fund will compensate broker dealers or qualified institutions with whom each Fund has entered into a contract to distribute Fund shares (“Dealers”). Under the Plan, the amount of such compensation paid in any one year shall not exceed 0.25% annually of the average daily net assets of the Investor Classes, which may be payable as a service fee for providing recordkeeping, subaccounting, subtransfer agency and/or shareholder liaison services. Investor Class shares of the Equity Fund and International Fund were converted into Institutional Class shares at the close of business on April 29, 2019. For the year ended December 31, 2019, the Equity, International, Alternative Strategies, and High Income Funds’ Investor Classes incurred $34, $1,568, $418,376, and $3,148, respectively, pursuant to the Plan.

The Plan will remain in effect from year to year provided such continuance is approved at least annually by a vote either of a majority of the Trustees, including a majority of the non-interested Trustees, or a majority of each Fund’s outstanding shares.

Note 5 – Investment Transactions

The cost of securities purchased and the proceeds from securities sold for the year ended December 31, 2019, excluding short-term investments and U.S. government obligations, were as follows:

Fund	Purchases		Sales
Equity Fund	$	67,962,243	$	120,847,818
International Fund		172,574,240		243,529,495
Smaller Companies Fund		16,639,676		21,349,108
Alternative Strategies Fund		2,377,601,201		2,510,252,625
High Income Alternatives Fund		88,205,260		61,216,463

During the year ended December 31, 2019, there were several purchases and sales transactions made in accordance with the established procedures pursuant to Rule 17a-7 (the exemption of certain purchase or sale transactions between an investment company and certain affiliated persons thereof), arranged by DCI, LLC, on behalf of the Alternative Strategies Fund. The total of such purchases transactions were $6,092,615 and sales transactions were $7,813,523.

During the year ended December 31, 2019, there were several purchases and sales transactions made in accordance with the established procedures pursuant to Rule 17a-7 (the exemption of certain purchase or sale transactions between an investment company and certain affiliated persons thereof), arranged by Guggenheim Partners Investment Management, LLC, on behalf of the High Income Alternatives Fund. The total of such purchases transactions were $237,250 and sales transactions were $31,146.

Note 6 – Fair Value of Financial Investments

The Funds follow a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Funds’ own market assumptions (unobservable inputs). These inputs are used in determining the value of each Fund’s investments and are summarized in the following fair value hierarchy:

Level 1 – Quoted prices in active markets for identical securities.

Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, foreign exchange rates, and fair value estimates for foreign securities indices).

Level 3 – Significant unobservable inputs (including the Funds’ own assumptions in determining fair value of investments).

132 Litman Gregory Funds Trust

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NOTES TO FINANCIAL STATEMENTS – (Continued)

Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, U.S. Treasury inflation protected securities, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued on the basis of quotes obtained from brokers and dealers or independent pricing services or sources. Independent pricing services typically use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. The service providers’ internal models use inputs that are observable such as, among other things, issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Mortgage and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by pricing service providers that use broker dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, estimated cash flows and market-based yield spreads for each tranche, current market data and incorporates deal collateral performance, as available.

Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all interest payments (interest-only, or “IO” and/or high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all principal payments (principal-only, or “PO”) from a pool of mortgage loans. Little to no principal will be received at the maturity of an IO; as a result, periodic adjustments are recorded to reduce the cost of the security until maturity. These adjustments are included in interest income.

Mortgage and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Shares of the unregistered Underlying Funds are valued at their closing net asset value (“NAV”) as reported on each business day, as a practical expedient for fair value. Each of the unregistered Underlying Funds is daily valued and offer daily liquidity and hold no unfunded commitments. The shares of the open-end registered Underlying Funds are valued at NAV each business day. If the Underlying Funds’ designated representative to the Trustee determines, based on its own due diligence and investment monitoring procedures, that the reported NAV per share does not represent fair value, Underlying Funds’ designated representative to the Trustee shall estimate the fair value of the Underlying Funds in good faith and in a manner that it reasonably chooses.

Financial derivative instruments, such as foreign currency contracts, options contracts, futures, or swap agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or pricing service providers at the settlement price determined by the relevant exchange. Depending on the product and the terms of the transaction, the value of the derivative contracts can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates. Derivatives that use similar valuation techniques and inputs as described above are categorized as Level 1 or Level 2 of the fair value hierarchy.

The following tables provide the fair value measurements of applicable Fund assets and liabilities by level within the fair value hierarchy for each Fund as of December 31, 2019. These assets and liabilities are measured on a recurring basis.

Equity Fund
Description	Level 1 - Quoted prices in active markets for identical assets		Level 2 - Significant other observable inputs		Level 3 - Significant unobservable inputs		Total
Equity(a)
Common Stocks	$	271,094,298	$	—	$	—	$	271,094,298
Preferred Stocks		2,159,194		—		—		2,159,194
Total Equity		273,253,492		—		—		273,253,492
Short-Term Investments
Repurchase Agreements		—		12,612,000		—		12,612,000
Total Investments in Securities	$	273,253,492	$	12,612,000	$	—	$	285,865,492

^(a) See Fund’s Schedule of Investments in Securities for sector classifications.

Notes to Financial Statements 133

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NOTES TO FINANCIAL STATEMENTS – (Continued)

International Fund
Description	Level 1 - Quoted prices in active markets for identical assets			Level 2 - Significant other observable inputs		Level 3 - Significant unobservable inputs			Total
Equity
Common Stocks
Australia	$	4,127,422		$	—	$	—		$	4,127,422
Austria		4,546,263			—		—			4,546,263
Belgium		6,374,874			—		—			6,374,874
Bermuda		29,031,365			—		—			29,031,365
Canada		7,357,179			—		—			7,357,179
Cayman Islands		15,454,788			—		—			15,454,788
Denmark		4,058,962			—		—			4,058,962
Finland		7,943,887			—		—			7,943,887
France		48,968,415			—		—			48,968,415
Germany		17,595,296			—		—			17,595,296
Hong Kong		25,214,651			—		—			25,214,651
Ireland		4,573,242			—		—			4,573,242
Israel		9,012,070			—		—			9,012,070
Japan		37,761,587			—		—			37,761,587
Mexico		5,214,525			—		—			5,214,525
Monaco		4,809,349			—		—			4,809,349
Netherlands		34,511,797			—		—			34,511,797
Norway		1,669,595			—		—			1,669,595
Russia		6,347,815			—		—			6,347,815
South Africa		4,002,224			—		—			4,002,224
South Korea		10,021,668			—		—			10,021,668
Spain		—			—		2,779,991	**		2,779,991
Sweden		13,636,875			—		—			13,636,875
Switzerland		31,597,537			—		—			31,597,537
United Kingdom		48,782,986			—		—			48,782,986
United States		3,539,508			—		—			3,539,508
Total Equity		386,153,880			—		2,779,991	**		388,933,871
Short-Term Investments
Repurchase Agreements		—			12,670,000		—			12,670,000
Total Short-Term Investments		—			12,670,000		—			12,670,000
Total Investments in Securities	$	386,153,880		$	12,670,000	$	2,779,991	**	$	401,603,871
Other Financial Instruments*
Forward Foreign Currency Exchange Contracts	$	(796,842	)	$	—	$	—		$	(796,842	)

* Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value.

** Significant unobservable inputs were used in determining the value of portfolio securities for the International Fund.

Smaller Companies Fund
Description	Level 1 - Quoted prices in active markets for identical assets		Level 2 - Significant other observable inputs		Level 3 - Significant unobservable inputs		Total
Equity(a)
Common Stocks	$	25,497,432	$	—	$	—	$	25,497,432
Total Equity		25,497,432		—		—		25,497,432
Short-Term Investments
Repurchase Agreements		—		3,215,000		—		3,215,000
Total Investments in Securities	$	25,497,432	$	3,215,000	$	—	$	28,712,432

^(a) See Fund’s Schedule of Investments in Securities for sector classifications.

134 Litman Gregory Funds Trust

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NOTES TO FINANCIAL STATEMENTS – (Continued)

Alternative Strategies Fund
Description	Level 1 - Quoted prices in active markets for identical assets			Level 2 - Significant other observable inputs			Level 3 - Significant unobservable inputs			Total
Equity(a)
Common Stocks	$	467,214,470		$	5,810,165		$	3,213,658	**	$	476,238,293
Limited Partnerships		—			—			1,063,211	**		1,063,211
Preferred Stocks		1,852,133			—			1,468,800	**		3,320,933
Total Equity		469,066,603			5,810,165			5,745,669	**		480,622,437
Rights/Warrants		—			34,942			—			34,942
Fixed Income
Asset-Backed Securities		—			175,810,821			819,019	**		176,629,840
Bank Loans		—			48,467,205			4,157,399	**		52,624,604
Convertible Bonds		—			5,950,172			—			5,950,172
Corporate Bonds		—			529,333,555			637,500	**		529,971,055
Government Securities & Agency Issue		—			18,167,660			—			18,167,660
Mortgage-Backed Securities		—			361,014,320			1,173,447	(1)		362,187,767
Municipal Bonds		—			4,347,912			—			4,347,912
Total Fixed Income		—			1,143,091,645			6,787,365	**		1,149,879,010
Short-Term Investments
Treasury Bills		—			41,829,233			—			41,829,233
Repurchase Agreements		—			170,800,000			—			170,800,000
Total Short-Term Investments		—			212,629,233			—			212,629,233
Purchased Options		142,890			3,122			—			146,012
Investments Valued at NAV(2)		—			—			—			1,887,184
Total Investments in Securities	$	469,209,493		$	1,361,569,107		$	12,533,034	**	$	1,845,198,818
Fixed Income
Unfunded Loan Commitments		—			62,948			—			62,948
Total Investments in Securities in Assets	$	469,209,493		$	1,361,632,055		$	12,533,034	**	$	1,845,261,766
Short Sales
Common Stocks		(35,295,591	)		—			—			(35,295,591	)
Exchange-Traded Funds		(20,130,879	)		—			—			(20,130,879	)
Corporate Bonds		—			(2,324,699	)		—			(2,324,699	)
Total Short Sales		(55,426,470	)		(2,324,699	)		—			(57,751,169	)
Total Investments in Securities in Liabilities	$	(55,426,470	)	$	(2,324,699	)	$	—		$	(57,751,169	)
Other Financial Instruments*
Forward Foreign Currency Exchange Contracts	$	(613,494	)	$	—		$	—		$	(613,494	)
Futures		512,304			—			—			512,304
Swaps - Credit Default		—			(4,313,591	)		—			(4,313,591	)
Swaps - Total Return		—			(982,471	)		—			(982,471	)
Written Options		(19,430	)		—			—			(19,430	)

^(a)  See Fund’s Schedule of Investments in Securities for sector classifications.

* Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value.

** Significant unobservable inputs were used in determining the value of portfolio securities for the Alternative Strategies Fund.

⁽¹⁾  These securities were priced by a pricing service; however, the Advisor/Sub-Advisor used their fair value procedures based on other available inputs which more accurately reflected the current fair value of these securities.

⁽²⁾  As of December 31, 2019, certain of the Portfolio’s investments were valued using net asset value per unit as practical expedient (“NAV”) and have been excluded from the fair value hierarchy.

Notes to Financial Statements 135

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NOTES TO FINANCIAL STATEMENTS – (Continued)

There was $1,288,971 transferred from Level 2 to Level 3 in Alternative Strategies Fund. Securities transferred from Level 2 to Level 3 were due to the lack of third party pricing or other observable inputs.

High Income Alternatives Fund
Description	Level 1 - Quoted prices in active markets for identical assets			Level 2 - Significant other observable inputs			Level 3 - Significant unobservable inputs			Total
Equity(a)
Common Stocks	$	11,131,851		$	—		$	—		$	11,131,851
Preferred Stocks		1,314,646			—			—			1,314,646
Closed-End Fund		155,320			—			—			155,320
Exchange-Traded Funds		1,028,186			—			—			1,028,186
Total Equity		13,630,003			—			—			13,630,003
Fixed Income
Asset-Backed Securities		—			21,390,316			—			21,390,316
Bank Loans		—			12,788,796			—			12,788,796
Corporate Bonds		—			12,067,243			206,510	**		12,273,753
Government Securities & Agency Issue		—			21,138,160			—			21,138,160
Mortgage-Backed Securities		—			7,105,277			—			7,105,277
Municipal Bond		—			5,100			—			5,100
Total Fixed Income		—			74,494,892			206,510	**		74,701,402
Short-Term Investments
Certificate of Deposits		—			300,000			—			300,000
Money Market Funds		848,134			—			—			848,134
Repurchase Agreements		—			3,550,495			—			3,550,495
Treasury Bills		—			1,002,064			—			1,002,064
Total Short-Term Investments		848,134			4,852,559			—			5,700,693
Interest Rate Swaptions		—			39,487			—			39,487
Total Investments in Securities	$	14,478,137		$	79,386,938		$	206,510	**	$	94,071,585
Fixed Income
Unfunded Loan Commitments		—			14,425			—			14,425
Total Investments in Securities in Assets	$	14,478,137		$	79,401,363		$	206,510	**	$	94,086,010
Other Financial Instruments*
Forward Foreign Currency Exchange Contracts	$	25,426		$	—		$	—		$	25,426
Futures		(1,890	)		—			—			(1,890	)
Swaps - Interest Rate		—			(88,950	)		—			(88,950	)
Swaps - Credit Default		—			(80,611	)		—			(80,611	)
Swaps - Total Return		—			513			—			513
Written Options		(75,819	)		—			—			(75,819	)

^(a) See Fund’s Schedule of Investments in Securities for sector classifications.

* Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value.

** Significant unobservable inputs were used in determining the value of portfolio securities for the High Income Alternatives Fund.

136 Litman Gregory Funds Trust

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NOTES TO FINANCIAL STATEMENTS – (Continued)

Note 7 – Other Derivative Information

At December 31, 2019, the Funds are invested in derivative contracts which are reflected in the Statements of Assets and Liabilities as follows:

International Fund
	Derivative Assets			Derivative Liabilities
Risk	Statements of Assets and Liabilities Location	Fair Value Amount		Statements of Assets and Liabilities Location	Fair Value Amount
Currency	Unrealized gain on forward foreign currency exchange contracts	$	—	Unrealized loss on forward foreign currency exchange contracts	$	(796,842	)

Alternative Strategies Fund
			Derivative Assets			Derivative Liabilities
Risk			Statements of Assets and Liabilities Location	Fair Value Amount		Statements of Assets and Liabilities Location	Fair Value Amount
Currency			Unrealized gain on forward foreign currency exchange contracts	$	397,435	Unrealized loss on forward foreign currency exchange contracts	$	(1,010,929	)
Interest rate			Unrealized gain on futures contracts*		532,516	Unrealized loss on futures contracts*		(20,212	)
Credit			Unrealized gain on swap contracts**		9,048,370	Unrealized loss on swap contracts**		(13,361,961	)
Equity			Unrealized gain on swap contracts		—	Unrealized loss on swap contracts		(982,471	)
			Investments in securities(1)		146,012	Written options		(19,430	)
		Total		$	10,124,333		$	(15,395,003	)
		* Includes cumulative appreciation/depreciation on futures contracts described previously. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. ** Includes cumulative appreciation/depreciation on centrally cleared swaps. (1)  The Statements of Assets and Liabilities location for “Purchased Options” is “Investments in securities”.

Notes to Financial Statements 137

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NOTES TO FINANCIAL STATEMENTS – (Continued)

High Income Alternatives Fund
			Derivative Assets			Derivative Liabilities
Risk			Statements of Assets and Liabilities Location	Fair Value Amount		Statements of Assets and Liabilities Location	Fair Value Amount
Currency			Unrealized gain on forward foreign currency exchange contracts	$	86,360	Unrealized loss on forward foreign currency exchange contracts	$	(60,934	)
Interest rate			Unrealized gain on swap contracts		—	Unrealized loss on swap contracts**		(88,950	)
			Unrealized gain on futures contracts*		3,368	Unrealized loss on futures contracts*		(5,258	)
			Investments in securities(1)		39,487	Written options		—
Credit			Unrealized gain on swap contracts		—	Unrealized loss on swap contracts**		(80,611	)
Equity			Unrealized gain on swap contracts		846	Unrealized loss on swap contracts		(333	)
						Written options		(75,819	)
		Total		$	130,061		$	(311,905	)
		** Includes cumulative appreciation/depreciation on centrally cleared swaps. * Includes cumulative appreciation/depreciation on futures contracts described previously. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. (1)  The Statements of Assets and Liabilities location for “Interest Rate Swaptions” is “Investments in securities”.

For the year ended December 31, 2019, the effect of derivative contracts in the Funds’ Statements of Operations were as follows:

International Fund
	Statements of Operations
Risk	Derivative Type		Net Realized Gain (Loss)	Net Change in Unrealized Gain (Loss)			Average Notional Amount
Currency		Forward foreign currency exchange contracts	$723,027	$	(885,110	)		14,619,358	(a)

^(a) Average notional values are based on the average of monthly end contract values for the year ended December 31, 2019.

Alternative Strategies Fund
	Statements of Operations
Risk			Derivative Type	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Notional Amount
Currency			Forward foreign currency exchange contracts	$	(104,188	)	$	(507,752	)		86,533,420	(a)
			Purchased option contracts		(114,621	)		91,657			—	(b)
Interest rate			Swap contracts		(891,015	)		634,633			—	(b)(c)
			Future contracts		(8,342,827	)		2,672,052			358,786,093	(b)
Credit			Swap contracts		8,904,352			(16,801,692	)		1,759,088,980	(b)(c)
Equity			Swap contracts		(8,463,083	)		(982,471	)		90,774,509	(b)(c)
			Future contracts		(2,452,560	)		(203,572	)		10,270,988	(b)
			Purchased option contracts		(2,744,807	)		(54,800	)		9,145	(d)
			Written option contracts		194,745			(49,755	)		2,786	(d)
		Total		$	(14,014,004	)	$	(15,201,700	)

^(a) Average notional values are based on the average of monthly end contract values for the year ended December 31, 2019.

^(b) Average notional values are based on the average of monthly end notional balances for the year ended December 31, 2019.

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^(c) Notional amount is denoted in local currency.

^(d) Average contracts are based on the average of monthly end contracts for the year ended December 31, 2019.

High Income Alternatives Fund
	Statements of Operations
Risk			Derivative Type	Net Realized Gain (Loss)			Net Change in Unrealized Gain (Loss)			Average Notional Amount
Currency			Forward foreign currency exchange contracts	$	14,908		$	34,038			2,619,732	(a)
Interest rate			Swap contracts		(20,093	)		(38,661	)		2,950,000	(b)(c)
			Future contracts		1,933			(1,890	)		705,944	(b)
			Purchased option contracts		(18	)		(22,213	)		19,350,000	(b)
Credit			Swap contracts		(51,584	)		(102,490	)		5,385,000	(b)(c)
Equity			Swap contracts		924			513			85,725	(b)(c)
			Purchased option contracts		(42,314	)		14,036			1	(d)
			Written option contracts		1,607,543			(101,358	)		71	(d)
		Total		$	1,511,299		$	(218,025	)

^(a) Average notional values are based on the average of monthly end contract values for the year ended December 31, 2019.

^(b)  Average notional values are based on the average of monthly end notional balances for the year ended December 31, 2019.

^(c) Notional amount is denoted in local currency.

^(d) Average contracts are based on the average of monthly end contracts for the year ended December 31, 2019.

The Funds are subject to various Master Netting Arrangements, which govern the terms of certain transactions with select counterparties. The Master Netting Arrangements allow the Funds to close out and net their total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single agreement with a counterparty. The Master Netting Arrangements also specify collateral posting arrangements at pre-arranged exposure levels. Under the Master Netting Arrangements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Netting Arrangement with a counterparty in a given account exceeds a specified threshold depending on the counterparty and the type of Master Netting Arrangement.

At December 31, 2019, Equity Fund, International Fund, Smaller Companies Fund, Alternative Strategies Fund, and High Income Alternatives Fund had investments in repurchase agreements with a gross value of $12,612,000, $12,670,000, $3,215,000, $170,800,000, and $3,550,495, respectively, which are reflected as repurchase agreements on the Statements of Assets and Liabilities. The value of the related collateral exceeded the value of the repurchase agreements at December 31, 2019.

The following tables represent the disclosure for derivative instruments related to offsetting assets and liabilities for each of the Funds as of December 31, 2019:

International Fund
	Derivative Assets										Derivative Liabilities
Counterparty	Purchased Options		Futures		Swaps		Forward Currency Contracts		Total		Futures		Swaps		Forward Currency Contracts			Written Options		Total			Net Derivative Asset (Liabilities)			Collateral (Received) Pledged		Net Amount
State Street Bank and Trust Company	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	(796,842	)	$	—	$	(796,842	)	$	(796,842	)	$	—	$	(796,842	)

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NOTES TO FINANCIAL STATEMENTS – (Continued)

Alternative Strategies Fund
	Derivative Assets									Derivative Liabilities
Counterparty	Purchased Options		Futures(1)		Swaps(2)		Forward Currency Contracts		Total	Futures(1)			Swaps(2)			Forward Currency Contracts			Written Options			Total			Net Derivative Asset (Liabilities)			Collateral (Received) Pledged		Net Amount
Bank of America N.A.	$	—	$	—	$	—	$	125,590	$125,590	$	—		$	—		$	(16,814	)	$	—		$	(16,814	)	$	108,776		$	—	$	108,776
Barclays Bank Plc		—		—		—		55,384	55,384		—			—			(2,037	)		—			(2,037	)		53,347			—		53,347
Citibank N.A.		—		—		—		—	—		—			—			(101,397	)		—			(101,397	)		(101,397	)		—		(101,397	)
Citigroup Global Markets, Inc.		—		532,516		—		—	532,516		(19,367	)		—			—			—			(19,367	)		513,149			—		513,149
Credit Suisse International		—		—		—		—	—		—			—			(111,268	)		—			(111,268	)		(111,268	)		—		(111,268	)
Deutsche Bank AG		—		—		—		15,606	15,606		—			—			(59,709	)		—			(59,709	)		(44,103	)		—		(44,103	)
Goldman Sachs & Co.		74,492		—		—		45,452	119,944		—			—			(291,198	)		—			(291,198	)		(171,254	)		171,254		—
HSBC Holdings Plc		—		—		—		76,278	76,278		—			—			—			—			—			76,278			—		76,278
JPMorgan Chase Bank N.A.		—		—		950,907		22,611	973,518		(845	)		(1,017,621	)		(81,732	)		—			(1,100,198	)		(126,680	)		—		(126,680	)
Morgan Stanley & Co.		71,520		—		—		25,480	97,000		—			(53,701	)		(303,041	)		(19,430	)		(376,172	)		(279,172	)		279,172		—
UBS AG		—		—		—		31,034	31,034		—			—			(43,733	)		—			(43,733	)		(12,699	)		—		(12,699	)
Total	$	146,012	$	532,516	$	950,907	$	397,435	$2,026,870	$	(20,212	)	$	(1,071,322	)	$	(1,010,929	)	$	(19,430	)	$	(2,121,893	)	$	(95,023	)	$	450,426	$	355,403

⁽¹⁾ Includes cumulative appreciation (depreciation) of futures contracts as reported in the Notes to Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

⁽²⁾ Does not include the unrealized appreciation (depreciation) of centrally cleared swaps as reported in the Notes to Schedule of Investments. Only the variation margin is reported within the Statements of Assets and Liabilities.

High Income Alternatives Fund
	Derivative Assets										Derivative Liabilities
Counterparty	Interest Rate Swaptions		Futures(1)		Swaps(2)		Forward Currency Contracts		Total		Futures(1)			Swaps(2)			Forward Currency Contracts			Written Options			Total			Net Derivative Asset (Liabilities)			Collateral (Received) Pledged		Net Amount
Bank of America N.A.	$	16,850	$	—	$	—	$	929	$	17,779	$	—		$	—		$	(3,650	)	$	—		$	(3,650	)	$	14,129		$	—	$	14,129
Barclays Bank Plc		—		—		—		—		—		—			—			(2,223	)		—			(2,223	)		(2,223	)		—		(2,223	)
Citibank N.A.		—		—		—		2,664		2,664		—			—			(4,999	)		—			(4,999	)		(2,335	)		—		(2,335	)
Goldman Sachs & Co.		—		3,368		—		—		3,368		(5,258	)		—			—			—			(5,258	)		(1,890	)		—		(1,890	)
Goldman Sachs International		8,851		—		—		24,772		33,623		—			(12,921	)		(34,782	)		—			(47,703	)		(14,080	)		—		(14,080	)
JPMorgan Chase Bank N.A.		—		—		846		47,935		48,781		—			(333	)		(2,111	)		—			(2,444	)		46,337			—		46,337
Morgan Stanley & Co.		13,786		—		—		10,060		23,846		—			(6,043	)		(13,169	)		—			(19,212	)		4,634			—		4,634
UBS Securities LLC		—		—		—		—		—		—			—			—			(75,819	)		(75,819	)		(75,819	)		—		(75,819	)
Total	$	39,487	$	3,368	$	846	$	86,360	$	130,061	$	(5,258	)	$	(19,297	)	$	(60,934	)	$	(75,819	)	$	(161,308	)	$	(31,247	)	$	—	$	(31,247	)

⁽¹⁾ Includes cumulative appreciation (depreciation) of futures contracts as reported in the Notes to Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

⁽²⁾ Does not include the unrealized appreciation (depreciation) of centrally cleared swaps as reported in the Notes to Schedule of Investments. Only the variation margin is reported within the Statements of Assets and Liabilities.

Note 8 – Commitments and Contingencies for Private Equity

The Alternative Strategies Fund’s investment portfolio invests in GACP II, LLC, a private equity fund that makes credit investments. The Fund partially funded the investment at the time of purchase the security. The Fund’s total commitment for this investment was $2,600,000. The Fund has provided funding to the total commitment over the years.

At December 31, 2019, the unfunded portion of the commitment was as follows:

Borrower	Unfunded Commitment
GACP II, LLC	$	256,355

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NOTES TO FINANCIAL STATEMENTS – (Continued)

Note 9 – Income Taxes and Distributions to Shareholders

As of December 31, 2019 the components of accumulated earnings (losses) for income tax purposes were as follows:

	Equity Fund			International Fund			Smaller Companies Fund			Alternative Strategies Fund			High Income Alternatives Fund
Tax cost of investments and derivatives	$	190,137,872		$	360,898,068		$	27,375,334		$	1,700,025,333		$	93,122,783
Gross Tax Unrealized Appreciation		99,557,660			64,085,060			3,400,353			215,318,986			1,715,134
Gross Tax Unrealized Depreciation		(3,830,040	)		(23,379,680	)		(2,063,255	)		(128,978,449	)		(854,769	)
Net Tax unrealized appreciation (depreciation) on investments and derivatives		95,727,620			40,705,380			1,337,098			86,340,537			860,365
Net Tax unrealized appreciation (depreciation) on foreign currency		(9,927	)		(7,243	)		—			12,768			343
Net Tax unrealized appreciation (depreciation)		95,717,693			40,698,137			1,337,098			86,353,305			860,708
Undistributed Ordinary Income		—			5,705,081			—			—			—
Undistributed Long-Term Capital Gains		6,941,803			—			—			—			86,867
Capital Loss Carry Forward		—			(38,306,691	)		(88,569	)		(20,608,143	)		—
Current Year Ordinay Late Year Losses		—			—			—			(2,197,867	)		(45,315	)
Straddle Loss Deferral and Reversal		—			—			—			(842,831	)		—
Other Accumulated Gains/(Losses)		—			(2	)		—			(14,830	)		58
Total accumulated earnings	$	102,659,496		$	8,096,525		$	1,248,529		$	62,689,634		$	902,318

The difference between book-basis and tax-basis unrealized appreciation is attributable primarily to wash sales, forward foreign currency exchange contracts, futures contracts, options contracts, swap contracts, passive foreign investment company adjustments, partnership basis adjustments, organizational expenses, and constructive sales.

For the year ended December 31, 2019, capital loss carry over used in current year was as follows:

Fund	Capital Loss Carryover Utilized
International Fund	$	4,721,435
Alternative Strategies Fund		4,871,907
High Income Alternatives Fund		1,190,910

The capital loss carry forwards for each Fund were as follows:

	Equity Fund		International Fund			Smaller Companies Fund			Alternative Strategies Fund			High Income Alternatives Fund
Capital Loss Carryforwards
Perpetual Short-Term	$	—	$	(38,306,691	)	$	(88,569	)	$	(16,075,806	)	$	—
Perpetual Long-Term		—		—			—			(4,532,337	)		—
Total	$	—	$	(38,306,691	)	$	(88,569	)	$	(20,608,143	)	$	—

Additionally, U.S. generally accepted accounting principles require that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. For the year ended December 31, 2019, the following table shows the reclassifications made:

Fund	Accumulated Distributable Earnings (Deficit)			Paid In Capital
Equity Fund*	$	(83,389	)	$	83,389
International Fund*		—			—
Smaller Companies Fund*		(167,000	)		167,000
Alternative Strategies Fund*		61			(61	)
High Income Alternatives Fund*		(6,603	)		6,603

* The permanent differences primarily relate to net operating losses, equalization adjustments, and tax treatment of partnerships.

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NOTES TO FINANCIAL STATEMENTS – (Continued)

The tax composition of dividends (other than return of capital dividends), for the year ended December 31, 2019 and the year or period ended December 31, 2018 were as follows:

	2019				2018
Fund	Ordinary Income		Long-Term Capital Gain		Ordinary Income		Long-Term Capital Gain
Equity Fund	$	1,231,485	$	23,579,152	$	1,425,865	$	33,711,091
International Fund		11,877,156		—		2,833,906		—
Smaller Companies Fund		2,238,440		627,462		—		—
Alternative Strategies Fund		52,212,885		—		62,077,478		—
High Income Alternatives Fund		3,055,538		265,169		474,530		—

The Funds did not have any unrecognized tax benefits at December 31, 2019, nor were there any increases or decreases in unrecognized tax benefits for the year ended December 31, 2019. The Funds are subject to examination by the U.S. federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.

Note 10 – Line of Credit

The Trust has an unsecured, uncommitted $75,000,000 line of credit with the Custodian, for the Equity Fund, International Fund, Smaller Companies Fund and High Income Alternatives Fund (the “Four Funds”) expiring on May 1, 2020. Borrowings under this agreement bear interest at the higher of the overnight federal funds rate and daily one month LIBOR plus a spread of 1.00% per annum. There is no annual commitment fee on the uncommitted line of credit. The Trust also had a secured, uncommitted $125,000,000 line of credit for the Alternative Strategies Fund with the Custodian, expiring on July 23, 2020. There is no annual commitment fee but, a non-refundable up-front fee of $50,000. The line of credit is secured by a general security interest in substantially all of the Alternative Strategies Fund’s assets. Borrowings under this agreement bear interest at the higher of the overnight federal funds rate and one-month LIBOR plus a spread of 1.25% per annum.

Amounts outstanding to the Four Funds under the Facility at no time shall exceed in the aggregate at any time the least of (a) $75,000,000; (b) 10% of the value of the total assets of each Fund less such Fund’s total liabilities not represented by senior securities less the value of any assets of the Fund pledged to, or otherwise segregated for the benefit of a party other than the Bank and in connection with a liability not reflected in the calculation of the Fund’s total liabilities. Amounts outstanding for the Alternative Strategies Fund at no time shall exceed in the aggregate at any time the lesser of the (a) Borrowing Base, (b) the Facility amount of $125,000,000 and (c) should not have an aggregate amount of outstanding senior securities representing indebtedness the least of (i) 33 1/3% of the Alternative Strategies Fund’s net assets and (ii) the maximum amount that the Fund would be permitted to incur pursuant to applicable law.

For the year ended December 31, 2019, the interest expense was $67,962 for Equity Fund, $21,344 for International Fund, and $239,182 for Alternative Strategies Fund. For the year ended December 31, 2019, there were no borrowings for the Smaller Companies Fund and High Income Alternatives Fund, and there was no balance outstanding at the end of the year. There was no balance outstanding at December 31, 2019 for the Equity Fund, International Fund, and Alternative Strategies Fund. The average borrowing for the year ended December 31, 2019 for the Equity Fund for the period the line was drawn was $14,367,347, at an average borrowing rate of 3.4485%. The average borrowing for the year ended December 31, 2019 for the International Fund for the period the line was drawn was $6,078,947, at an average borrowing rate of 3.3336%. The average borrowing for the year ended December 31, 2019 for the Alternative Strategies Fund for the period the line was drawn was $19,683,761, at an average borrowing rate of 3.7373%. During the year ended December 31, 2019, the maximum borrowing was $16,000,000, $7,000,000, and $26,000,000 for the Equity Fund, International Fund, and Alternative Strategies Fund, respectively.

Note 11 – Principal Risks

Below are summaries of the principal risks of investing in one or more of the Funds, each of which could adversely affect a Fund’s net asset value, yield and total return. Each risk listed below does not necessarily apply to each Fund, and you should read a Fund’s prospectus carefully for a description of the principal risks associated with investing in a particular Fund.

• Asset-Backed Securities Risk. This is the risk that the impairment of the value of the collateral underlying a security in which the High Income Alternatives Fund invests, such as the non-payment of loans, will result in a reduction in the value of the security. The value of these securities may also fluctuate in response to the market’s perception of the value of issuers or collateral.

• Below Investment-Grade Fixed Income Securities Risk. This is the risk of investing in below investment-grade fixed income securities (also known as “junk bonds”), which may be greater than that of higher rated fixed income securities. These securities are rated Ba1 through C by Moody’s Investors Service (“Moody’s”) or BB+ through D by Standard & Poor’s Rating Group (“S&P”) (or comparably rated by another nationally recognized statistical rating organization), or, if not rated by Moody’s or S&P, are

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considered by the sub-advisors to be of similar quality. These securities have greater risk of default than higher rated securities. The market value of these securities is more sensitive to corporate developments and economic conditions and can be volatile. Market conditions can diminish liquidity and make accurate valuations difficult to obtain. There is no limit to the Alternative Strategies Fund’s ability to invest in below investment-grade fixed income securities; however, under normal market conditions, it does not expect to invest more than 50% of its total assets in below investment-grade fixed income securities.

• Capital Structure Arbitrage Risk. The perceived mispricing identified by the sub-advisor may not disappear or may even increase, in which case losses may be realized.

• Collateral Risk. If the Alternative Strategies Fund and High Income Alternatives Fund’s financial instruments are secured by collateral, the issuer may have difficulty liquidating the collateral and/or the Fund may have difficulty enforcing its rights under the terms of the securities if an issuer defaults. Collateral may be insufficient or the Fund’s right to the collateral may be set aside by a court. Collateral will generally consist of assets that may not be readily liquidated, including for example, equipment, inventory, work in the process of manufacture, real property and payments to become due under contracts or other receivable obligations. There is no assurance that the liquidation of those assets would satisfy an issuer’s obligations under a financial instrument. Non-affiliates and affiliates of issuers of financial instruments may provide collateral in the form of secured and unsecured guarantees and/or security interests in assets that they own, which may also be insufficient to satisfy an issuer’s obligations under a financial instrument.

• Collateralized Loan Obligations and Collateralized Debt Obligations Risk. Collateralized loan obligations (“CLOs”) bear many of the same risks as other forms of asset-backed securities, including interest rate risk, credit risk and default risk. As they are backed by pools of loans, CLOs also bear similar risks to investing in loans directly. CLOs issue classes or “tranches” that vary in risk and yield. CLOs may experience substantial losses attributable to loan defaults. Losses caused by defaults on underlying assets are borne first by the holders of subordinate tranches. The Alternative Strategies Fund and High Income Alternatives Fund’s investment in CLOs may decrease in market value when the CLO experiences loan defaults or credit impairment, the disappearance of a subordinate tranche, or market anticipation of defaults and investor aversion to CLO securities as a class.

Collateralized debt obligations (“CDOs”) are structured similarly to CLOs and bear the same risks as CLOs including interest rate risk, credit risk and default risk. CDOs are subject to additional risks because they are backed by pools of assets other than loans including securities (such as other asset-backed securities), synthetic instruments or bonds and may be highly leveraged. Like CLOs, losses incurred by a CDO are borne first by holders of subordinate tranches. Accordingly, the risks of CDOs depend largely on the type of underlying collateral and the tranche of CDOs in which the Fund invests. For example, CDOs that obtain their exposure through synthetic investments entail the risks associated with derivative instruments.

• Convertible Arbitrage Risk. Arbitrage strategies involve engaging in transactions that attempt to exploit price differences of identical, related or similar securities on different markets or in different forms. A Fund may realize losses or reduced rate of return if underlying relationships among securities in which investment positions are taken change in an adverse manner or a transaction is unexpectedly terminated or delayed. Trading to seek short-term capital appreciation can be expected to cause the Fund’s portfolio turnover rate to be substantially higher than that of the average equity-oriented investment company, resulting in higher transaction costs and additional capital gains tax liabilities.

• Convertible Securities Risk. This is the risk that the market value of convertible securities may fluctuate due to changes in, among other things, interest rates; other general economic conditions; industry fundamentals; market sentiment; the issuer’s operating results, financial statements, and credit ratings; and the market value of the underlying common or preferred stock.

• Credit Risk. This is the risk that a Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty of a derivatives contract or other transaction, is unable or unwilling (or is perceived to be unable or unwilling) to make timely payment of principal and/or interest, or to otherwise honor its obligations.

• Currency Risk. This is the risk that investing in foreign currencies may expose the Fund to fluctuations in currency exchange rates and that such fluctuations in the exchange rates may negatively affect an investment related to a currency or denominated in a foreign currency. The Alternative Strategies Fund may invest in foreign currencies for investment and hedging purposes. All of the Funds may invest in foreign currencies for hedging purposes.

• Cybersecurity Risk. Information and technology systems relied upon by the Funds, the Advisor, the sub-advisors, the Funds’ service providers (including, but not limited to, Fund accountants, custodians, transfer agents, administrators, distributors and other financial intermediaries) and/or the issuers of securities in which a Fund invests may be vulnerable to damage or interruption from computer viruses, network failures, computer and telecommunication failures, infiltration by unauthorized persons, security breaches, usage errors, power outages and catastrophic events such as fires, tornadoes, floods, hurricanes and earthquakes. Although the Advisor has implemented measures to manage risks relating to these types of events, if these systems are compromised, become inoperable for extended periods of time or cease to function properly, significant investment may be required to fix or replace them. The failure of these systems and/or of disaster recovery plans could cause significant interruptions

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NOTES TO FINANCIAL STATEMENTS – (Continued)

in the operations of the Funds, the Advisor, the sub-advisors, the Funds’ service providers and/or issuers of securities in which a Fund invests and may result in a failure to maintain the security, confidentiality or privacy of sensitive data, including personal information relating to investors (and the beneficial owners of investors). Such a failure could also harm the reputation of the Funds, the Advisor, the sub-advisors, the Funds’ service providers and/or issuers of securities in which a Fund invests, subject such entities and their respective affiliates to legal claims or otherwise affect their business and financial performance.

• Debt Securities Risk. This is the risk that the value and liquidity of debt securities may be reduced under certain circumstances. The value of debt securities can fluctuate in response to issuer activity and changes in general economic and credit market conditions, including changes in interest rates. In recent years, dealer capacity in the debt and fixed income markets appears to have undergone fundamental changes, including a reduction in dealer market-making capacity. These changes have the potential to decrease substantially liquidity and increase volatility in the debt and fixed income markets.

• Derivatives Risk. This is the risk that an investment in derivatives may not correlate completely to the performance of the underlying securities and may be volatile and that the insolvency of the counterparty to a derivative instrument could cause the Fund to lose all or substantially all of its investment in the derivative instrument, as well as the benefits derived therefrom.

• Options Risk. This is the risk that an investment in options may be subject to greater fluctuation than an investment in the underlying instruments themselves and may be subject to a complete loss of the amounts paid as premiums to purchase the options.

• Futures Contracts Risk. This is the risk that an investment in futures contracts may be subject to losses that exceed the amount of the premiums paid and may subject the Fund’s net asset value to greater volatility.

• P-Notes Risk. This is the risk that the performance results of P-Notes will not replicate exactly the performance of the issuers or markets that the P-Notes seek to replicate. Investments in P-Notes involve risks normally associated with a direct investment in the underlying securities as well as additional risks, such as counterparty risk.

• Swaps Risk. Risks inherent in the use of swaps include: (1) swap contracts may not be assigned without the consent of the counterparty; (2) potential default of the counterparty to the swap; (3) absence of a liquid secondary market for any particular swap at any time; and (4) possible inability of the Fund to close out the swap transaction at a time that otherwise would be favorable for it to do so.

• Distressed Companies Risk. A Fund may invest a portion of its assets in securities of distressed companies. Debt obligations of distressed companies typically are unrated, lower rated, in default or close to default and may be difficult to value accurately or may become worthless.

• Emerging Markets Risk. A Fund may invest a portion of its assets in emerging market countries. Emerging market countries are those with immature economic and political structures, and investing in emerging markets entails greater risk than in developed markets. Such risks could include those related to government dependence on a few industries or resources, government-imposed taxes on foreign investment or limits on the removal of capital from a country, unstable government, and volatile markets.

• Equity Securities Risk. This is the risk that the value of equity securities may fluctuate, sometimes rapidly and unpredictably, due to factors affecting the general market, an entire industry or sector, or particular companies. These factors include, without limitation, adverse changes in economic conditions, the general outlook for corporate earnings, interest rates or investor sentiment; increases in production costs; and significant management decisions. This risk is greater for small- and medium-sized companies, which tend to be more vulnerable to adverse developments than larger companies.

• Event-Driven Risk. Event-driven strategies seek to profit from the market inefficiencies surrounding market events, such as mergers, acquisitions, asset sales, restructurings, refinancings, recapitalizations, reorganizations or other special situations. Event-driven investing involves attempting to predict the outcome of a particular transaction as well as the optimal time at which to commit capital to it. Event-driven opportunities involve difficult legal as well as financial analysis, as some of the principal impediments to the consummation of major corporate events are often legal or regulatory rather than economic. In addition, certain of the securities issued in the context of major corporate events include complex call, put and other features, and it is difficult to precisely evaluate the terms and embedded option characteristics of these securities. A Fund may take both long and short positions in a wide range of securities, derivatives and other instruments in implementing its event-driven strategies.

• Foreign Investment and Emerging Markets Risks. This is the risk that an investment in foreign (non-U.S.) securities may cause the Funds to experience more rapid and extreme changes in value than a fund that invests exclusively in securities of U.S. companies, due to factors such as currency conversion rate fluctuations, currency blockages, political and economic instability, differences in financial reporting, accounting and auditing standards, nationalization, expropriation or confiscatory taxation, and smaller and less-strict regulation of securities markets. These risks are greater in emerging markets. There is no limit to the Alternative Strategies Fund’s ability to invest in emerging market securities; however, under normal market conditions, it does not expect to invest more than 50% of its total assets in emerging market securities; however, some Funds may invest a portion of their assets in stocks of companies based outside of the United States.

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• Interest Rate Risk. This is the risk that debt securities will decline in value because of changes in interest rates. A Fund with a longer average portfolio duration will be more sensitive to changes in interest rates than a Fund with a shorter average portfolio duration.

• Investment Companies Risk. This is the risk that investing in other investment companies, including ETFs, CEFs, BDCs, unit investment trusts and open-end funds, subjects the Fund to those risks affecting the investment vehicle, including the possibility that the value of the underlying securities held by the investment vehicle could decrease or the portfolio becomes illiquid. Moreover, the High Income Alternatives Fund and its shareholders will incur its pro rata share of the underlying vehicles’ expenses, which will reduce the Fund’s performance. In addition, investments in an ETF are subject to, among other risks, the risk that the ETF’s shares may trade at a discount or premium relative to the net asset value of the shares and the listing exchange may halt trading of the ETF’s shares. BDCs may carry risks similar to those of a private equity or venture capital fund. BDC company securities are not redeemable at the option of the shareholder and they may trade in the market at a discount to their net asset value. BDCs usually trade at a discount to their net asset value because they invest in unlisted securities and have limited access to capital markets. Shares of CEFs also frequently trade at a discount to their net asset value for those and other reasons.

• Investments in Loan Risk. Investments in loans, including loan syndicates and other direct lending opportunities, involve special types of risks, including credit risk, interest rate risk, counterparty risk and prepayment risk. Loans may offer a fixed or floating interest rate. Loans are often generally below investment grade and may be unrated. The High Income Alternatives Fund’s investments in loans can also be difficult to value accurately and may be more susceptible to liquidity risk than fixed-income instruments of similar credit quality and/or maturity. The Fund is also subject to the risk that the value of the collateral for the loan may be insufficient or unavailable to cover the borrower’s obligations should the borrower fail to make payments or become insolvent. Participations in loans may subject the Fund to the credit risk of both the borrower and the issuer of the participation and may make enforcement of loan covenants, if any, more difficult for the Fund as legal action may have to go through the issuer of the participations. Transactions in loans are often subject to long settlement periods, thus potentially limiting the ability of the Fund to invest sale proceeds in other investments and to use proceeds to meet its current redemption obligations. In addition, many banks have been weakened by the recent financial crisis, and it may be difficult for the Fund to obtain an accurate picture of a lending bank’s financial condition.

• Large Shareholder Purchase and Redemption Risk. This is the risk that a Fund may experience adverse effects when certain large shareholders purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions may cause the Fund to sell its securities at times when it would not otherwise do so, which may negatively impact the Fund’s net asset value and liquidity. Similarly, large share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would. In addition, a large redemption could result in the Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio.

• Leverage Risk. This is the risk that leverage may cause the effect of an increase or decrease in the value of the Alternative Strategies Fund’s portfolio securities to be magnified and the Fund to be more volatile than if leverage was not used. Leverage may result from certain transactions, including the use of derivatives and borrowing. Under normal circumstances, the Alternative Strategies Fund may borrow amounts up to one third of the value of its total assets except that it may exceed this limit to satisfy redemption requests or for other temporary purposes.

• Market Risk. As with all mutual funds that invest in common stocks, the value of an individual’s investment will fluctuate daily in response to the performance of the individual stocks held in a Fund. The stock market has been subject to significant volatility recently, which has increased the risks associated with an investment in a Fund.

• Merger Arbitrage Risk. This is the risk that a proposed reorganization in which the Alternative Strategies Fund invests may be renegotiated or terminated.

• MLP Risk. Investing in MLP units involves some risks that differ from an investment in the equity securities of a company. Holders of MLP units have limited control and voting rights on matters affecting the partnership. Holders of units issued by a MLP are exposed to a remote possibility of liability for all of the obligations of that MLP in the event that a court determines that the rights of the holders of MLP units to vote to remove or replace the general partner of that MLP, to approve amendments to that MLP’s partnership agreement, or to take other action under the partnership agreement of that MLP would constitute “control” of the business of that MLP, or a court or governmental agency determines that the MLP is conducting business in a state without complying with the partnership statute of that state. Holders of MLP units are also exposed to the risk that they will be required to repay amounts to the MLP that are wrongfully distributed to them.

• Mortgage-Backed Securities Risk. This is the risk of investing in mortgaged-backed securities, which includes interest rate risk, prepayment risk and the risk of defaults on the mortgage loans underlying these securities.

• Mortgage REIT Risk. Investing in mREITs involves certain risks related to investing in real property mortgages. In addition, mREITs must satisfy highly technical and complex requirements in order to qualify for the favorable tax treatment accorded to REITs under the Internal Revenue Code of 1986 (the “Code”). No assurances can be given that a mREIT in which the High Income

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Alternatives Fund invests will be able to continue to qualify as a REIT or that complying with the REIT requirements under the Code will not adversely affect such REIT’s ability to execute its business plan.

• Multi-Style Management Risk. Because portions of a Fund’s assets are managed by different portfolio managers using different styles, the Fund could experience overlapping security transactions. Certain portfolio managers may be purchasing securities at the same time other portfolio managers may be selling those same securities, which may lead to higher transaction expenses compared to a Fund using a single investment management style.

• Municipal Securities Risk. Municipal securities can be significantly affected by litigation, political or economic events, as well as uncertainties in the municipal market related to taxation, legislative changes or the rights of municipal security holders. Municipal securities backed by current or anticipated revenues from specific projects or assets can be negatively affected by the inability of the issuer to collect revenues for the projects or from the assets.

• Portfolio Turnover Risk. This is the risk that a Fund may experience high portfolio turnover rates as a result of its investment strategies. High portfolio turnover rates may indicate higher transaction costs and may result in higher taxes when shares of a Fund are held in a taxable account as compared to shares in investment companies that hold investments for a longer period. High portfolio turnover involves correspondingly greater expenses to a Fund, including brokerage commissions or dealer mark-ups and other transaction costs on the sale of securities and reinvestments in other securities, which may result in adverse tax consequences to a Fund’s shareholders as compared to shares in investment companies that hold investments for a longer period.

• Short Sale Risk. This is the risk that the value of a security the Alternative Strategies Fund sells short does not go down as expected. The risk of loss is theoretically unlimited if the value of the security sold short continues to increase. In addition, short sales may cause the Alternative Strategies Fund to be compelled, at a time disadvantageous to it, to buy the security previously sold short, thus resulting in a loss. To meet current margin requirements, the Alternative Strategies Fund is required to deposit with the broker additional cash or securities so that the total deposit with the broker is maintained daily at 150% of the current market value of the securities sold short.

• Smaller Companies Risk. A Fund may invest a portion of its assets in the securities of small- and mid-sized companies. Securities of small and mid-cap companies are generally more volatile and less liquid than the securities of large-cap companies. This is because smaller companies may be more reliant on a few products, services or key personnel, which can make it riskier than investing in larger companies with more diverse product lines and structured management.

• Special Situations Risk. Investments in special situations (undervalued equities, merger arbitrage situations, distressed companies, etc.) may involve greater risks when compared to other investments a Fund may make due to a variety of factors. For example, mergers, acquisitions, reorganizations, liquidations or recapitalizations may fail or not be completed on the terms originally contemplated, and expected developments may not occur in a timely manner, if at all.

• Technology Investment Risk. A Fund may invest a portion of its assets in the technology sector, which is a very volatile segment of the market. The nature of technology is that it is rapidly changing. Therefore, products or services that may initially look promising may subsequently fail or become obsolete. In addition, many technology companies are younger, smaller and unseasoned companies which may not have established products, an experienced management team, or earnings history.

• Unfavorable Tax Treatment Risk. This is the risk that a material portion of the Alternative Strategies Fund’s return could be in the form of net investment income or short-term capital gains, some of which may be distributed to shareholders and taxed at ordinary income tax rates. Therefore, shareholders may have a greater need to pay regular taxes than compared to other investment strategies that hold investments longer. Due to this investment strategy, it may be preferable for certain shareholders to invest in the Fund through pre-tax or tax-deferred accounts as compared to investment through currently taxable accounts. Potential shareholders are encouraged to consult their tax advisors in this regard.

• Value Stock Risk. Value stocks are stocks of companies that may have experienced adverse business or industry developments or may be subject to special risks that have caused the stocks to be out of favor and, in the opinion of the manager, undervalued. The value of a security believed by a manager to be undervalued may never reach what is believed to be its full (intrinsic) value, or such security’s value may decrease.

Note 12 – Change in Accounting Principle

Recent Accounting Standards: The Fund has adopted Financial Accounting Standards Board Accounting Standards Update 2017-08 Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities to amend the amortization period for certain callable debt securities purchased at a premium. Under the new standard, the Fund has changed the amortization period for the premium on certain purchased callable debt securities with non-contingent call features to the earliest call date. In accordance with the transition provisions of the standard, the Fund applied the amendments on a modified retrospective basis beginning after the fiscal year ended December 31, 2018. This change in accounting policy has been made to comply with the newly issued accounting standard and had no impact on total accumulated earnings (deficit) or the net asset value of the Fund.

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Proxy Voting Policies and Procedures

The sub-advisors of the Funds vote proxies relating to portfolio securities in accordance with procedures that have been approved by the Board of Trustees of the Funds. You may obtain a description of these procedures, without charge, by calling toll-free, 1-800-960-0188. This information is also available through the Securities and Exchange Commission’s website at http://www.sec.gov.

Proxy Voting Record

Information regarding how the sub-advisors of the Funds voted proxies relating to portfolio securities during the 12-month period ended June 30 is available, without charge, by calling toll-free, 1-800-960-0188. This information is also available through the Securities and Exchange Commission’s website at http://www.sec.gov.

Portfolio Holdings Information

The Funds previously filed their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Funds have ceased filing Form N-Q and have commenced filing Form N-PORT. Part F of each Fund’s Form N-PORT filings for the first and third fiscal quarters will contain the complete schedule of portfolio holdings in the same manner as previously filed on Form N-Q. You can find the filings on the Securities and Exchange Commission’s website at http://www.sec.gov. This information is also available, without charge, by calling toll-free, 1-800-960-0188 or by visiting the Funds’ website at http://www.mastersfunds.com.

Householding Mailings

To reduce expenses, the Trust may mail only one copy of the Funds’ prospectus and each annual and semi-annual report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call us at 1-800-960-0188 (or contact your financial institution). The Trust will begin sending you individual copies thirty days after receiving your request.

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Board Consideration of and Continuation and Renewal of Investment Advisory Agreements

At an in-person meeting held on December 6, 2019 (the “Meeting”), the Board of Trustees (the “Board”) of the Litman Gregory Funds Trust (the “Trust”), including the Trustees who are not “interested persons” of the Trust within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Trustees”), considered and approved for an additional one-year term through December 31, 2020 (i) the Unified Investment Advisory Agreement (the “Investment Advisory Agreement”) between the Trust and Litman Gregory Fund Advisors, LLC (the “Advisor”) with respect to the Litman Gregory Masters Equity Fund (the “Equity Fund”), the Litman Gregory Masters International Fund (the “International Fund”), the Litman Gregory Masters Smaller Companies Fund (the “Smaller Companies Fund”); the Litman Gregory Masters Alternative Strategies Fund (the “Alternative Strategies Fund”) and the Litman Gregory Masters High Income Alternatives Fund (the “High Income Alternatives Fund”) (each of the Equity Fund, the International Fund, the Smaller Companies Fund, the Alternative Strategies Fund and the High Income Alternatives Fund, a “Fund,” and collectively, the “Funds”), and (ii) the investment sub-advisory agreements (the “Investment Sub-Advisory Agreements,” and collectively with the Investment Advisory Agreement, the “Advisory Agreements”) between the Advisor and (a) each of Davis Selected Advisers, L.P., Fiduciary Management, Inc., Harris Associates L.P. (“Harris”), Nuance Investments, LLC, Sands Capital Management, LLC, and Wells Capital Management Inc. (“Wells”) with respect to the Equity Fund; (b) each of Evermore Global Advisors, LLC, Harris, Lazard Asset Management LLC, Pictet Asset Management, Ltd., and Thornburg Investment Management, Inc. with respect to the International Fund; (c) each of Cove Street Capital, LLC, Segall Bryant & Hamill, LLC and Wells with respect to the Smaller Companies Fund; (d) each of DCI, LLC, DoubleLine Capital LP, First Pacific Advisors, LLC, Loomis, Sayles & Company, L.P. and Water Island Capital, LLC with respect to the Alternative Strategies Fund; and (e) each of Ares Management LLC, Brown Brothers Harriman & Co., Guggenheim Partners Investment Management, LLC and Neuberger Berman Investment Advisers LLC with respect to the High Income Alternatives Fund (each of the foregoing sub-advisors, a “Sub-Advisor,” and collectively, the “Sub-Advisors”). The Board, including the Independent Trustees, also approved the continuation for an additional one-year term through April 30, 2021 of the Restated Contractual Advisory Fee Waiver Agreement between the Trust, on behalf of the Funds, and the Advisor (the “Fee Waiver Agreement,” and collectively with the Advisory Agreements, the “Agreements”).

Prior to the Meeting, the Independent Trustees had requested detailed information from the Advisor regarding the Funds. The materials provided by the Advisor were extensive, including advisory fee and expense comparisons, performance comparisons, Advisor profitability information, and a summary of compliance programs of the Sub-Advisors. In addition, the Independent Trustees discussed the approval or renewal of the Agreements with representatives of the Advisor and were advised by independent counsel on these and other relevant matters.

The Trustees, including the Independent Trustees, also noted that they had received extensive information about, and in-person presentations from, various members of senior management at the Advisor regarding the Funds throughout the year, including, without limitation, information on and/or discussion of the Funds’ and each Sub-Advisor’s investment results; portfolio composition; portfolio trading practices; shareholder services; advisory fees and expense comparisons; the Advisor’s financial condition and profitability; compliance monitoring by the Advisor; the personnel at the Advisor and the Sub-Advisors providing investment management, compliance and other services to the Funds; and the Advisor’s process for selecting Sub-Advisors for the Funds as well as the Advisor’s ongoing oversight of the Sub-Advisors.

The information provided to the Board at the Meeting, together with the information provided to the Board throughout the year, formed the primary (but not exclusive) basis for the Board’s determinations. The Board did not identify any single issue or particular datum point that, in isolation, would be a controlling factor in its decision to approve or renew the Agreements. Rather, the Board considered the total mix of information provided. The following summary describes the key factors considered by the Independent Trustees (as well as the Board).

1.    Nature, extent and quality of services

The Independent Trustees considered the depth and quality of the Advisor’s investment management process, including its sophisticated monitoring and oversight of the Sub-Advisors; the experience, capability and integrity of its senior management and other personnel; the low turnover rates of its key personnel involved in the day-to-day operations of the Funds; and the overall financial strength and stability of its organization. The Independent Trustees also considered that the Advisor provided personnel to serve as officers of the Trust, including the Trust’s CCO, and that the services of the CCO were provided at a nominal cost to the Trust. The Independent Trustees discussed the high level of sub-advisor due diligence continually being undertaken by the Advisor. The Independent Trustees also noted the high quality of the non-advisory management services provided by the Advisor, such as responsiveness to shareholder inquiries and requests of the Board, as well as the preparation of high quality shareholder communications and the development of targeted marketing programs for the Funds. In addition, the Independent Trustees noted that, because the Advisor is a significant shareholder in the Funds, the Advisor has an additional incentive to ensure that the Funds perform well for the shareholders. The Independent Trustees also noted that the members of senior management of the Advisor, including Mr. DeGroot, as well as the Independent Trustees themselves have made significant investments in the Funds.

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The Independent Trustees, based on guidance and information provided by the Trust’s CCO, also considered the Advisor’s policies, procedures and systems to ensure compliance with applicable laws and regulations and its adherence to and continual enhancement of those programs; its efforts to keep the Board informed; and its attention dedicated to matters that may involve potential conflicts of interest with a Fund. The Independent Trustees considered the extent and effectiveness of the Advisor’s compliance operations and the Advisor’s oversight of the Sub-Advisors’ and other service providers’ compliance operations.

The Independent Trustees then reviewed various materials relating to the Sub-Advisors, including copies of each Investment Sub-Advisory Agreement; copies of the Form ADV for each Sub-Advisor; information on assets of the Funds managed and fees charged by each Sub-Advisor; a summary of the compliance programs of the Sub-Advisors; and an oral report by the CCO on each Sub-Advisor’s commitment to compliance. The Independent Trustees also considered the Advisor’s lengthy and extensive due diligence process for selecting and monitoring each Sub-Advisor and the value of goodwill between the Advisor and each Sub-Advisor.

The Independent Trustees concluded that the nature, overall quality, and extent of the services provided and to be provided by the Advisor and the Sub-Advisors are fully satisfactory.

2.    Investment results

The Independent Trustees reviewed the short-term and long-term performance of each Fund on both an absolute basis and in comparison to peer funds and benchmark indices. They also considered information regarding the selection, and discussed the appropriateness, of such peer funds and benchmark indices. The Independent Trustees considered the overall performance of the Funds as well as the performance of each Sub-Advisor within each Fund as compared to each Sub-Advisor’s own comparable mutual fund(s) or private fund(s) (if applicable). The Independent Trustees focused on longer-term performance, which they believe is more important than short, isolated periods for purposes of evaluating each Fund’s success in meeting its investment objective.

In particular, the Independent Trustees relied upon, among other information, the KFS Report. The Independent Trustees noted that KFS, and not the Advisor, selected the peer funds used in the KFS Report and that the Advisor had supplemented the KFS Report with additional performance comparisons.

For the Equity Fund, the Independent Trustees compared its investment results for its Institutional shares to a number of benchmarks, including (1) the Russell 3000 Index (the “Equity Market Benchmark”); (2) the Morningstar Large Blend Category (the “Equity Morningstar Category”); and (3) the KFS Peer Group for the Equity Fund (together with the Equity Morningstar Category, the “Equity Fund Benchmarks”). The Independent Trustees noted that, with respect to multi-year periods, the Equity Fund underperformed the Equity Morningstar Category for the one-year, three-year, five-year, ten-year and fifteen-year periods ended September 30, 2019 and underperformed the Equity Market Benchmark by thirty-eight basis points since inception. The Independent Trustees also noted that the Equity Fund outperformed the Equity Morningstar Category for the period since inception. The Independent Trustees further noted that the Equity Fund underperformed the KFS Peer Group for all relevant time periods.

For the International Fund, the Independent Trustees compared its investment results for its Institutional shares to (1) the MSCI ACWI ex-U.S. Index (the “International Market Benchmark”); (2) the Morningstar Foreign Large Blend Category (the “International Morningstar Category”); and (3) the KFS Peer Group for the International Fund (together with the International Morningstar Category, the “International Fund Benchmarks”). The Independent Trustees noted that, with respect to multi-year periods, the International Fund underperformed the International Market Benchmark for the one-year, three-year, five-year, and ten-year periods ended September 30, 2019. The Independent Trustees also noted that the International Fund matched the performance of the International Market Benchmark for the fifteen-year period ended September 30, 2019 and outperformed the International Market Benchmark and the International Morningstar Category for the period since inception.

For the Smaller Companies Fund, the Independent Trustees compared its investment results for its Institutional shares to (1) the Russell 2000 Index (the “Smaller Companies Market Benchmark”); (2) the Morningstar Small Blend Category (the “Smaller Companies Morningstar Category”); and (3) the KFS Peer Group for the Smaller Companies Fund (together with the Smaller Companies Morningstar Category, the “Smaller Companies Fund Benchmarks”). The Independent Trustees noted that, with respect to multi-year periods, the Smaller Companies Fund underperformed the Smaller Companies Fund Benchmarks and the Smaller Companies Market Benchmark for the five-year, ten-year and fifteen-year periods ended September 30, 2019, and underperformed the Small Companies Morningstar Category and Smaller Companies Market Benchmark for the period since inception. The Independent Trustees further noted that the Smaller Companies Fund outperformed the Smaller Companies Market Benchmark and the Smaller Companies Fund Benchmarks for the one-year and three-year periods ended September 30, 2019.

For the Alternative Strategies Fund, the Independent Trustees compared its investment results for its Institutional shares to (1) the Barclays U.S. Aggregate Bond Index (the “Alternative Strategies Market Benchmark”); (2) the Morningstar Multi-Alternative Category (the “Alternative Strategies Morningstar Category”); and (3) the KFS Peer Group for the Alternative Strategies Fund (together with the Alternative Strategies Morningstar Category, the “Alternative Strategies Fund Benchmarks”). The Independent Trustees noted that,

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with respect to multi-year periods, the Alternative Strategies Fund outperformed the Alternative Strategies Fund Benchmarks for the one-year, three-year and five-year periods ended September 30, 2019 and outperformed the Alternative Strategies Market Benchmark for the three-year and since-inception periods ended September 30, 2019. The Independent Trustees further considered that the Fund has generated an absolute return since inception of 3.76% over the 3-month London Interbank Offered Rate (LIBOR), noting that the Fund seeks to achieve an annualized return of LIBOR plus a range of 4% to 8% over the long term.

For the High Income Alternatives Fund, the Independent Trustees compared its investment results for its Institutional shares to (1) the Barclays U.S. Aggregate Bond Index (the “High Income Alternatives Market Benchmark”); (2) the Morningstar U.S. Fund Allocation – 15% to 30% Equity Category (the “High Income Alternatives Morningstar Category”); and (3) the KFS Peer Group for the High Income Alternatives Fund (together with the High Income Alternatives Morningstar Category, the “High Income Alternatives Fund Benchmarks”). The Independent Trustees noted that, with respect to the one-year period ended September 30, 2019, the High Income Alternatives Fund underperformed the High Income Alternatives Market Benchmark and the High Income Alternatives Fund Benchmarks.

The Independent Trustees noted that the performance of the Sub-Advisors varies over time and noted and acknowledged the Advisor’s detailed monitoring of the Sub-Advisors’ investment results, and interactions with Sub-Advisors, particularly those Sub-Advisors that were experiencing periods of underperformance. The Independent Trustees noted and considered the comments by the Advisor with respect to underperforming Sub-Advisors, discussions at Board meetings throughout the year regarding the potential sources of underperformance and actions taken by the Advisor in response to underperformance by certain Sub-Advisors. The Independent Trustees considered the Advisor’s process for terminating Sub-Advisors and noted the Advisor’s continued willingness to terminate Sub-Advisors if the Advisor determined that the termination would be in the best interest of a Fund and its shareholders. The Independent Trustees also noted and considered the Advisor’s ability to attract and retain “world-class” investment managers to serve as Sub-Advisors to the Funds, as well as the Advisor’s extensive screening process before hiring a Sub-Advisor.

The Trustees noted the difficulty of fairly benchmarking the Funds in terms of performance. Ultimately, the Independent Trustees concluded that they were satisfied with the Funds’ overall performance records and were satisfied with the Advisor’s explanation for the periods of underperformance. The Independent Trustees further concluded that the Advisor was applying appropriate discipline and oversight to ensure that each Fund adhered to its stated investment objective and strategies, and the performance and services of the Sub-Advisors supported the decision to renew the Advisory Agreements.

3.    Advisory fees and total expenses

The Independent Trustees reviewed the advisory fees and total expenses of each Fund and compared them with the advisory fees and total expenses of funds in the KFS Peer Group for each Fund. The Independent Trustees noted that the KFS Peer Group for each Fund was selected independently by KFS using a selection methodology designed to identify those funds most comparable to each Fund. The Independent Trustees further noted that in selecting the KFS Peer Group for each Fund, KFS considered various screening criteria, including, without limitation, fund type, category as determined by Morningstar, Inc., load/sales charge type, average net assets, and fund attributes. The Independent Trustees also noted that, to the extent possible without affecting KFS’ core peer fund selection methodologies, KFS had attempted to include funds that are considered by Morningstar to have a manager-of-managers structure in the KFS Peer Group for each Fund. The Independent Trustees then discussed various areas in which the Funds are different from the funds included in the KFS Peer Groups, such as distribution channels and investment strategies or approaches.

The Independent Trustees noted that according to the KFS Report, the total expenses of each Fund are higher than the average or the median of the total expenses of the funds in the KFS Peer Group for such Fund, except that the total expenses of the Alternative Strategies Fund were slightly below, and the total expenses of the High Income Alternatives Fund were in line with, the average of those Funds’ respective KFS Peer Groups. The Independent Trustees observed that the Equity Fund’s total expense ratio exceeded both the Morningstar peer group and KFS Peer Group mostly because of its higher advisory fee. The Independent Trustees noted that the International Fund has an advisory fee that is higher than the average and the median of its KFS Peer Group, while the Fund’s other operating expenses were generally in line with the average other operating expenses for the KFS Peer Group and the Morningstar peer group. The Independent Trustees also noted that the International Fund’s total expense ratio was higher than the average expense ratio for the KFS Peer Group and the Morningstar peer group. The Independent Trustees also observed that, despite a fee waiver that significantly improved the Fund’s rank in the KFS Peer Group, the Smaller Companies Fund’s total expense ratio exceeded both the Morningstar peer group and KFS Peer Group in part because of the Fund’s other expenses and smaller than average asset size. The Independent Trustees further noted that the Alternative Strategies Fund has an advisory fee that is slightly higher than the average of the KFS Peer Group and the average of the Morningstar peer group, and its other expenses are slightly higher than average compared to the Morningstar peer Group and lower than the KFS Peer group. The Independent Trustees noted that although the High Income Alternatives Fund has an advisory fee that is higher than the average and the median of the KFS Peer Group, the Fund’s total expenses were only 1 basis point higher than the KFS Peer Group average. The Independent Trustees

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agreed that the Funds’ use of the manager-of-managers structure is a primary contributor to the relatively high advisory fees, and noted that the higher advisory fees allow shareholders of the Funds to have access to Sub-Advisors to which they otherwise might not have access and that the higher fees are justified by the long-term performance results of certain Funds and potential performance results for underperforming Funds.

The Independent Trustees also noted the Advisor’s continued willingness to waive fees or reimburse operating expenses to maintain a competitive fee structure for each Fund and to pass through savings from fee breakpoints in any Sub-Advisor’s fee schedule to the applicable Fund’s shareholders. The Independent Trustees further took into account the Fee Waiver Agreement, as most recently amended August 28, 2018, to reduce expenses by further increasing the amount of fee waivers for certain Funds under the Fee Waiver Agreement.

The Independent Trustees noted the United States Supreme Court’s guidance in Jones v. Harris Associates on the relevance of comparisons of advisory fees charged by the Advisor to other similarly managed separate accounts such as pension funds or other institutional investors. The Advisor presented to the Independent Trustees the advisory fees the Advisor and its affiliates charge their separately managed accounts and private investment funds (collectively, the “Other Accounts”). The Advisor explained, to the Independent Trustees’ satisfaction, various factors that contribute to the different fee schedules between the Funds and the Other Accounts, including the fact that the products the Advisor and its affiliates offer for the Funds (i.e., concentrated sub-portfolios managed by a selection of Sub-Advisors) and the Other Accounts are significantly different; that the services the Advisor and its affiliates provide for the Funds (i.e., the assembly and monitoring of the Sub-Advisors) are not readily available on the market; that the Other Accounts have much higher minimum investment requirements as compared to those of the Funds; and that certain compliance obligations and liquidity requirements are only applicable to the Funds and not the Other Accounts.

The Independent Trustees noted that the sub-advisory fees payable to the Sub-Advisors are separately negotiated with the Advisor and are paid out of the advisory fees the Advisor receives from the Funds. The Independent Trustees also noted that the fees charged by the Sub-Advisors are discounted relative to the fees the Sub-Advisors charge to their own funds and separately managed accounts, and that the Advisor from time to time attempts to renegotiate lower fees with the Sub-Advisors. Given the existence of arm’s-length bargaining between the Advisor and each Sub-Advisor, the Independent Trustees did not engage in an extensive discussion of sub-advisory fees and expenses.

Based on such review, the Independent Trustees concluded that the advisory fees and the total expenses of the Funds are reasonable in relation to the services the Funds receive from the Advisor and the Sub-Advisors.

4.    The Advisor’s financial information

The Independent Trustees reviewed information regarding the Advisor’s costs of managing the Funds and information regarding the profitability of the Advisor. The Independent Trustees also considered the extent to which economies of scale may be realized as each Fund grows and whether advisory fee levels reflect economies of scale if the Funds grow in size. The Independent Trustees also noted that the Advisor had voluntarily forgone profits to subsidize the Funds when they were at lower asset levels.

The Advisor’s Costs and Profitability. The Independent Trustees noted that the Advisor appeared to be providing products that are competitively priced with other funds, especially funds with multiple sub-advisors. The Independent Trustees reviewed the total advisory fees, the amounts paid by the Advisor to the various Sub-Advisors, the general cost of the services provided by the Advisor and the Advisor’s retained portion of the total advisory fee. The Independent Trustees took note of information provided on advisory fees waived by the Advisor, noting that the Advisor had waived substantial advisory fees otherwise payable under the Investment Advisory Agreement over the most recent year, and that the Advisor follows a policy of not charging advisory fees on unallocated cash.

The Independent Trustees also noted that the Advisor to date had not sought recoupment of any advisory fees waived under the Fee Waiver Agreement. The Independent Trustees also considered the Advisor’s continued willingness to invest in staff dedicated to the Funds, including new hires when needed. The Independent Trustees received information that assured them that the Advisor was financially sound and able to honor its sponsorship commitments to the Funds and that the Advisor’s expected profits under the Advisory Agreement are in the range of reasonableness for the mutual fund management industry. The Independent Trustees did not engage in an analysis of Fund-by-Fund profitability given the integrated nature of the Advisor’s management of the Funds.

The Independent Trustees did not engage in an extended analysis of Sub-Advisor profitability given the arm’s-length nature of the bargaining between the Advisor and each Sub-Advisor and the difficulty in interpreting profitability information with respect to each Sub-Advisor due to, among others, the use of disparate accounting conventions, disparate ownership structures, and the fact that each Sub-Advisor managed only a portion of each Fund. The Independent Trustees also reviewed information regarding the structure and manner in which the Advisor’s and the Sub-Advisors’ investment professionals are compensated and how the compensation structures are designed to attract and retain high caliber personnel and to promote the long-term performance of the Funds.

Other Information 151

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OTHER INFORMATION – (Unaudited) – (Continued)

Economies of Scale. The Independent Trustees noted that the Advisor has continued to take steps to reduce expenses of the Funds, including agreeing to amendments to the breakpoints in its fee schedules to provide for higher fee waivers, negotiating favorable terms with service providers and providing certain support services to the Funds on a cost-only basis, which represents a sharing of economies of scale. In addition, the Independent Trustees took note of the investments in the Funds made by the Other Accounts, which help reduce costs for the Funds by increasing the asset base of the Funds. The Independent Trustees also took favorable note of the Advisor’s efforts to invest in its advisory organization to ensure strong research, analytic and marketing capabilities.

Ancillary Benefits. The Independent Trustees considered other actual and potential financial benefits to the Advisor, noting that the Advisor does not have any affiliates that materially benefit from the Advisor’s relationship to the Funds.

5.    Conclusions

Based on their review, including their non-exclusive consideration of each of the factors referred to above, the Independent Trustees as well as the Board concluded that the Agreements are fair and reasonable to each Fund and its shareholders, that each Fund’s shareholders received or would receive reasonable value in return for the advisory fees and other amounts paid to the Advisor, and that the renewal or approval, as applicable, of the Agreements would be in the best interests of each Fund and its shareholders. Each of the factors discussed above supported such approval.

152 Litman Gregory Funds Trust

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and Board of Trustees of

Litman Gregory Funds Trust

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments in securities, purchased options, securities sold short, forward foreign currency exchange contracts, futures contracts, swaps and written options of Litman Gregory Funds Trust comprising Litman Gregory Masters Equity Fund, Litman Gregory Masters International Fund, Litman Gregory Masters Smaller Companies Fund, Litman Gregory Masters Alternative Strategies Fund and Litman Gregory Masters High Income Alternatives Fund (the “Funds”) as of December 31, 2019, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, including the related notes, and the financial highlights for each of the five years in the period then ended for Litman Gregory Masters Equity Fund, Litman Gregory Masters International Fund, Litman Gregory Masters Smaller Companies Fund, and Litman Gregory Masters Alternative Strategies Fund, and the related statement of operations for the year then ended, and the statements of changes in net assets, including the related notes, and financial highlights for the each of the two periods in the period then ended, for Litman Gregory Masters High Income Alternatives Fund, (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the each of the Funds as of December 31, 2019, the results of their operations for the year then ended, and the changes in their net assets and financial highlights for the periods indicated above, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019, by correspondence with the custodian, transfer agent, issuer, and brokers or by other appropriate auditing procedures where replies from brokers or counterparties were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the Funds’ auditor since 2012.

COHEN & COMPANY, LTD.

Cleveland, Ohio

February 28, 2020

Report of Independent Registered Public Accounting Firm 153

Litman Gregory Funds Trust

INDEX DEFINITIONS

The ABX Indexes serve as a benchmark of the market for securities backed by home loans issued to borrowers with weak credit. The ABX 2006-2 AAA is an asset-backed index that tracks AAA-rated bonds issued prior to the second half of 2006. The ABX 2007-1 AAA is an asset-backed index that tracks AAA-rated bonds issued prior to the first half of 2007.

BofA Merrill Lynch U.S. High Yield Master II Index tracks the performance of below investment grade, but not in default, US dollar-denominated corporate bonds publicly issued in the US domestic market.

Bloomberg Barclays U.S. Aggregate Bond Index is a market capitalization-weighted index, meaning the securities in the index are weighted according to the market size of each bond type. Most U.S. traded investment grade bonds are represented. The index includes U.S. treasury securities (non TIPS), government agency bonds, mortgage backed bonds, corporate bonds, and a small amount of foreign bonds traded in the U.S.

The CBOE Russell 2000 PutWrite Index (PUTR) is designed to track the performance of a hypothetical strategy that sells a monthly at-the-money (ATM) Russell 2000 Index put option.

The CBOE Russell 2000 Volatility Index (RVX) is a key measure of market expectations of near-term volatility conveyed by Russell 2000^® Index (RUT) option prices. The RVX Index measures the market’s expectation of 30-day volatility implicit in the prices of near-term RUT options traded at CBOE.

The CBOE S&P 500 PutWrite Index (ticker symbol PUT) is a benchmark index that measures the performance of a hypothetical portfolio that sells S&P 500 Index (SPX) put options against collateralized cash reserves held in a money market account.

The CBOE S&P 500 2% OTM PutWrite Index (PUTY^SM Index) is designed to track the performance of a hypothetical passive investment strategy that collects option premiums from writing a 2% Out-of-the Money (OTM) SPX Put option on a monthly basis and holds a rolling money market account invested in one-month T-bills to cover the liability from the short SPX Put option position.

CDX is a series of credit default swap indexes, used to hedge credit risk or to take a position on a basket of credit entities.

The Citigroup Economic Surprise Indices are objective and quantitative measures of economic news. They are defined as weighted historical standard deviations of data surprises.

FTSE Emerging Markets Index – ETF Tracker. The Index is a market capitalization index, adjusted based on the free-float of potential index constituents, and designed to measure the performance of large-, medium- and small-capitalization companies located in emerging market countries throughout the world.

The FTSE Global All Cap ex U.S. Index is part of a range of indices designed to help U.S. investors benchmark their

international investments. The index comprises large, mid and small cap stocks globally excluding the U.S. The index is derived from the FTSE Global Equity Index Series (GEIS), which covers 98% of the world’s investable market capitalization.

The HFRI Event Driven Index: Consists of investment managers who maintain positions in companies currently or prospectively involved in corporate transactions of a wide variety including but not limited to mergers, restructurings, financial distress, tender offers, shareholder buybacks, debt exchanges, security issuance or other capital structure adjustments. Security types can range from most senior in the capital structure to most junior or subordinated, and frequently involve additional derivative securities. Event driven exposure includes a combination of sensitivities to equity markets, credit markets and idiosyncratic, company specific developments.

The HFRI Event Driven Merger Arbitrage Index: Consists of merger arbitrage strategies which employ an investment process primarily focused on opportunities in equity and equity related instruments of companies which are currently engaged in a corporate transaction. Merger arbitrage involves primarily announced transactions, typically with limited or no exposure to situations which pre-, post-date or situations in which no formal announcement is expected to occur. Opportunities are frequently presented in cross border, collared and international transactions which incorporate multiple geographic regulatory institutions, with typically involve minimal exposure to corporate credits. Merger arbitrage strategies typically have over 75% of positions in announced transactions over a given market cycle.

The HFRX Fixed Income – Credit Index is an unmanaged index that includes strategies with exposure to credit across a broad continuum of credit sub-strategies, including Corporate, Sovereign, Distressed, Convertible, Asset Backed, Capital Structure Arbitrage, Multi-Strategy and other Relative Value and Event Driven sub-strategies.

The HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies; including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage.

ICE BofAML 0-3 Year U.S. Treasury Index tracks the performance of U.S. dollar denominated sovereign debt publicly issued by the U.S. government in its domestic market with maturities less than three years.

ICE BofA Merrill Lynch 1-3 US Year Treasury Index is an unmanaged index that tracks the performance of the direct sovereign debt of the U.S. Government having a maturity of at least one year and less than three years.

The ICE BofAML U.S. High Yield Cash Pay TR USD Index is an unmanaged index that measures the performance of short-term U.S. dollar denominated below investment grade corporate debt publicly issued in the U.S. domestic market.

LIBOR stands for London Interbank Offered Rate. It’s an index that is used to set the cost of various variable-rate loans.

154 Litman Gregory Funds Trust

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INDEX DEFINITIONS – (Continued)

Morningstar Category Averages: Each Morningstar Category Average is representative of funds with similar investment objectives.

The MSCI All Country World 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 All Country World ex U.S. Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the United States.

The MSCI All Country World ex U.S. Growth Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the United States. It includes companies with higher price-to-book ratios and higher forecasted growth values.

The MSCI All Country World ex U.S. Value Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the United States. It includes companies with lower price-to-book ratios and lower forecasted growth values.

The MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada. As of May 27, 2010 the MSCI EAFE Index consisted of the following 22 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom.

The MSCI Emerging Markets Index captures large and mid-cap representation across 23 Emerging Markets (EM) countries. With 836 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.

The MSCI World ex U.S. Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the United States.

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 represents approximately 92% of the U.S. market.

The Russell 1000 Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It

includes those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.

The Russell 2000 Index measures the performance of the 2,000 smallest companies in the Russell 3000 Index.

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 Russell 2500 Index measures the performance of the small to mid-cap segment of the U.S. equity universe, commonly referred to as “smid” cap. The Russell 2500 Index is a subset of the Russell 3000 Index. It includes approximately 2500 of the smallest securities based on a combination of their market cap and current index membership.

The Russell 3000 Index measures the performance of the 3,000 largest U.S. companies as measured by total market capitalization, and represents about 98% of the U.S. stock market.

The Russell 3000 Value Index is a broad based index that measures the performance of those companies within the 3,000 largest U.S. companies, based on total market capitalization, that have lower price-to-book ratios and lower forecasted growth rates.

The S&P 500 Index is widely regarded as the standard for measuring large-cap stock performance, and consists of 500 stocks that represent a sample of the leading companies in leading industries.

The SPDR S&P 500 ETF consists of 500 of the largest U.S. companies, and it is one of the most heavily traded securities in the world. It tracks the S&P 500 Index, and fund follows a full replication strategy, holding every stock in the index.

The SPDR Financials Sector Index seeks to provide an effective representation of the financial sector of the S&P 500 Index. The Index includes companies from the following industries: diversified financial services; insurance; banks; capital markets; mortgage real estate investment trusts (“REITs”); consumer finance; and thrifts and mortgage finance.

The Vanguard 500 Index Fund invests in 500 of the largest U.S. companies, which span many different industries and account for about three-fourths of the U.S. stock market’s value. This fund tracks the S&P 500 Index as closely as possible.

VIX is a trademarked ticker symbol for the Chicago Board Options Exchange Market Volatility Index, a popular measure of the implied volatility of S&P 500 index options. Often referred to as the fear index or the fear gauge, it represents one measure of the market’s expectation of stock market volatility over the next 30 day period.

Index Definitions 155

Indices are unmanaged, do not incur fees, and cannot be invested in directly.

Litman Gregory Funds Trust

INDUSTRY TERMS AND DEFINITIONS

1. Active Share measures the degree of difference between a fund portfolio and its benchmark index.

2. Alpha is an annualized return measure of how much better or worse a fund’s performance is relative to an index of funds in the same category, after allowing for differences in risk.

3. Alt-A, or Alternative A-paper, is a type of U.S. mortgage that, for various reasons, is considered riskier than A-paper, or “prime”, and less risky than “subprime,” the riskiest category.

4. The Basel Accords are three sets of banking regulations (Basel I, II and III) set by the Basel Committee on Bank Supervision (BCBS), which provides recommendations on banking regulations in regards to capital risk, market risk and operational risk.

5. A basis point is a value equaling one one-hundredth of a percent (1/100 of 1%).

6. Beta is a measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole.

7. Book value is the net asset value of a company, calculated by subtracting total liabilities and intangible assets from total assets.

8. Brexit is an abbreviation of “British exit”, which refers to the June 23, 2016 referendum by British voters to exit the European Union.

9. Business development company (BDC) is an organization that invests in and helps small- and medium-size companies grow in the initial stages of their development.

10. Cash flow measures the cash generating capability of a company by adding non-cash charges (e.g., depreciation) and interest expense to pretax income.

11. Cash flow yield (or free cash flow yield) is a financial solvency ratio that compares the free cash flow per share a company is expected to earn against its market value per share. The ratio is calculated by taking the free cash flow per share divided by the current share price.

12. Capex (capital expenditures) are expenditures creating future benefits.

13. Collateralized Loan Obligation (CLO) is a security backed by a pool of debt, often low-rated corporate loans. Collateralized loan obligations (CLOs) are similar to collateralized mortgage obligations, except for the different type of underlying loan.

14. Combined ratio is a formula used by insurance companies to relate premium income to claims, administration and dividend expenses. It is used in the annual statement filed by an insurer with the state insurance department. It is calculated by dividing the sum of incurred losses and expenses by earned premium.

15. Compound annual growth rate (CAGR) is the rate of growth of a number, compounded over several years.

16. Conditional pre-payment rate is a loan prepayment rate that is equal to the proportion of the principal of a pool of loans that is assumed to be paid off prematurely in each period.

17. The Consumer Price Index (CPI) is a measure that examines the weighted average of prices of a basket of consumer goods and services, such as transportation, food and medical care. Changes in the CPI are used to assess price changes associated with the cost of living; the CPI is one of the most frequently used statistics for identifying periods of inflation or deflation.

18. Correlation is a statistical measure of how two securities move in relation to each other.

19. A coupon or coupon payment is the annual interest rate paid on a bond, expressed as a percentage of the face value and paid from issue date until maturity.

20. Credit default swaps are swaps designed to transfer the credit exposure of fixed income products between parties. A credit default swap is also referred to as a credit derivative contract, where the purchaser of the swap makes payments up until the maturity date of a contract. Payments are made to the seller of the swap. In return, the seller agrees to pay off a third party debt if this party defaults on the loan.

21. Discounted cash flow is calculated by multiplying future cash flows by discount factors to obtain present values.

22. Diversification is the spreading of risk by putting assets in several categories of investments.

23. Dividend yield is the return on an investor’s capital investment that a company pays out to its shareholders in the form of dividends. It is calculated by taking the amount of dividends paid per share over the course of a year and dividing by the stock’s price.

24. Drawdown is the peak-to-trough decline during a specific record period of an investment, fund or commodity.

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INDUSTRY TERMS AND DEFINITIONS – (Continued)

25. Dry powder refers to cash reserves kept on hand to cover future obligations or purchase assets, if conditions are favorable.

26. Duration is a measure of the sensitivity of the price (the value of principal) of a fixed-income investment to a change in interest rates. Duration is expressed as a number of years. Rising interest rates mean falling bond prices, while declining interest rates mean rising bond prices.

27. Earnings per share (EPS) is calculated by taking the total earnings divided by the number of shares outstanding.

28. EBIT is a company’s earnings before interest and taxes, and measures the profit a company generates from its operations, making it synonymous with “operating profit”.

29. EBITDA is a company’s earnings before interest, taxes, depreciation, and amortization.

30. E-Mini Futures Are an electronically traded futures contract on the Chicago Mercantile Exchange that represents a portion of the normal futures contracts.

31. Enterprise value is a measure of a company’s total value, calculated by adding a corporation’s market capitalization, preferred stock, and outstanding debt together and then subtracting out the cash and cash equivalents.

32. Enterprise value/adjusted target operating profit (or Enterprise Value/adjusted target EBIT) is a financial ratio that compares the total valuation of the company with its profitability, adjusting for various special circumstances.

33. EV/EBITDA is the enterprise value of a company divided by earnings before interest, taxes, depreciation, and amortization.

34. EV/Sales is the ratio of enterprise value of a company divided by the total sales of the company for a particular period, usually one year.

35. Floating interest rate, also known as a variable or adjustable rate, refers to any type of debt instrument, such as a loan, bond, mortgage, or credit, that does not have a fixed rate of interest over the life of the instrument.

36. Forex (FX) is the market in which currencies are traded.

37. Free cash flow is the amount of cash a company has after expenses, debt service, capital expenditures, and dividends.

38. Futures are financial contracts obligating the buyer to purchase an asset (or the seller to sell an asset), such as a physical commodity or a financial instrument, at a predetermined future date and price. Futures contracts detail the quality and quantity of the underlying asset; they are standardized to facilitate trading on a futures exchange.

39. The G20 (or G-20 or Group of Twenty) is an international forum for the governments and central bank governors from 20 major economies. It was founded in 1999 with the aim of studying, reviewing, and promoting high-level discussion of policy issues pertaining to the promotion of international financial stability.

40. Gross merchandise volume or GMV is a term used in online retailing to indicate a total sales dollar value for merchandise sold through a particular marketplace over a certain time frame.

41. “Growth” stocks are generally considered to be stocks of companies with high expected earnings growth compared to “value” stocks. Because of this higher expected growth, growth stocks tend to be priced at a higher multiple of their current earnings than value stocks. However, the premium paid for growth stocks compared to value stocks can vary dramatically depending on the market environment.

42. Industry cost curve is the standard microeconomic graph that shows how much output suppliers can produce at a given cost per unit. As a strategic tool, the cost curve applies most directly to commodity or near commodity industries, in which buyers get roughly the same value from a product regardless of who produces it.

43. An interest rate future is a financial derivative (a futures contract) with an interest-bearing instrument as the underlying asset. It is a particular type of interest rate derivative. Examples include Treasury-bill futures, Treasury-bond futures and Eurodollar futures.

44. An interest rate swap is a forward contract in which one stream of future interest payments is exchanged for another based on a specified principal amount.

45. Internal Rate of Return (IRR) is the discount rate often used in capital budgeting that makes the net present value of all cash flows from a particular project equal to zero.

46. Inverse floater (or inverse floating rate note) is a bond or other type of debt whose coupon rate has an inverse relationship to a benchmark rate.

Industry Terms and Definitions 157

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INDUSTRY TERMS AND DEFINITIONS – (Continued)

47. Inverse interest-only security is a security that pays a coupon inversely related to market rates (i.e., it moves in the opposite direction of interest rates), instead of paying a coupon corresponding to the interest payments homeowners (mortgagors) actually make.

48. An Investment Grade bond is a bond with a rating of AAA to BBB; a Below Investment Grade bond is a bond with a rating lower than BBB

49. A Leveraged Buyout (LBO) is the acquisition of another company using a significant amount of borrowed money to meet the cost of acquisition.

50. Loss adjusted yields are those that already reflect the impact of assumed economic losses.

51. Margin of safety is a principle of investing in which an analyst only purchases securities when the market price is below the analyst’s estimation of intrinsic value. It does not guarantee a successful investment.

52. Market capitalization (or market cap) is the total value of the issued shares of a publicly traded company; it is equal to the share price times the number of shares outstanding. MBA Refinance index is a weekly measurement put together by the Mortgage Bankers Association, a national real estate finance industry association, to predict mortgage activity and loan prepayments based on the number of mortgage refinance applications submitted.

53. The Merrill Option Volatility Expectations Index (MOVE©) reflects a market estimate of future Treasury bond yield volatility. The MOVE index is a yield curve weighted index of the normalized implied volatility on 1-month Treasury options. The MOVE Index reports the average implied volatility across a wide range of outstanding options on the two-year, five-year, 10-year, and 30-year U.S. Treasury securities.

54. Net operating profit after tax (NOPAT): A company’s potential cash earnings if its capitalization were unleveraged (that is, if it had no debt).

55. Normalized earnings are earnings adjusted for cyclical ups and downs of the economy. Also, on the balance sheet, earnings adjusted to remove unusual or one-time influences.

56. Operating cash flow is calculated by summing net profit, depreciation, change in accruals, and change in accounts payable, minus change in accounts receivable, minus change in inventories.

57. Options are financial derivatives that represent a contract sold by one party (option writer) to another party (option holder). The contract offers the buyer the right, but not the obligation, to buy (call) or sell (put) a security or other financial asset at an agreed-upon price (the strike price) during a certain period of time or on a specific date (exercise date).

58. Pair-wise correlation is the average of the correlations of each managers’ performance with each of the other managers on the fund.

59. Personal consumption expenditure is the measure of actual and imputed expenditures of households, and includes data pertaining to durable and non-durable goods and services. It is essentially a measure of goods and services targeted towards individuals and consumed by individuals.

60. Present value is the current worth of a future sum of money or stream of cash flows given a specified rate of return.

61. Price to book ratio is calculated by dividing the current market price of a stock by the book value per share.

62. Price to earnings (P/E) ratio is a common tool for comparing the prices of different common stocks and is calculated by dividing the current market price of a stock by the earnings per share. Similarly, multiples of earnings and cash flow are means of expressing a company’s stock price relative to its earnings per share or cash flow per share, and are calculated by dividing the current stock price by its earnings per share or cash per share. Forecasted earnings growth is the projected rate that a company’s earnings are estimated to grow in a future period.

63. Price to sales (P/S) ratio is a tool for calculating a stock’s valuation relative to other companies, calculated by dividing a stock’s current price by its revenue per share.

64. Price to tangible book value (PTBV) is a valuation ratio expressing the price of a security compared to its hard, or tangible, book value as reported in the company’s balance sheet. The tangible book value number is equal to the company’s total book value less the value of any intangible assets.

65. Prime is a classification of borrowers, rates, or holdings in the lending market that are considered to be of high quality.

66. Principal only securities are a type of fixed-income security where the holder is only entitled to receive regular cash flows that are derived from incoming principal repayments on an underlying loan pool.

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INDUSTRY TERMS AND DEFINITIONS – (Continued)

67. Private market value is the value of a company if each of its parts were independent, publicly traded entities.

68. Prospective earnings growth ratio (PEG ratio): The projected one-year annual growth rate, determined by taking the consensus forecast of next year’s earnings, less this year’s earnings, and dividing the result by this year’s earnings.

69. Put writing is a family of options trading strategies that involve the selling of put options to earn premiums. One can either write a covered put or a naked put. Utilizing a combination of covered puts and naked puts, one can also implement the ratio put write, which is a neutral strategy.

70. Quantitative Easing (QE) is a monetary policy in which a central bank purchases government securities or other securities from the market in order to lower interest rates and increase the money supply.

71. Return on capital (ROC) is a measure of how effectively a company uses the money (borrowed or owned) invested in its operations. It is calculated by dividing net income by invested capital.

72. Return on equity (ROE) is a measure of how well a company used reinvested earnings to generate additional earnings. Expressed as a percentage, it is calculated by dividing net worth at the beginning of the period into net income for the period after preferred stock dividends but before common stock dividends.

73. Return on investment capital (ROIC) is calculated by subtracting dividends from net income and dividing by total capital.

74. Sequential growth is a measure of a company’s short-term financial performance that compares the results achieved in a recent period to those of the period immediately preceding it.

75. Sharpe ratio is the measure of a fund’s return relative to its risk. The Sharpe ratio uses standard deviation to measure a fund’s risk-adjusted returns. The higher a fund’s Sharpe ratio, the better a fund’s returns have been relative to the risk it has taken on. Because it uses standard deviation, the Sharpe ratio can be used to compare risk-adjusted returns across all fund categories.

76. Short (or short position) is the sale of a borrowed security, commodity, or currency with the expectation that the asset will fall in value.

77. Sortino Ratio is a modification of the Sharpe ratio that differentiates harmful volatility from general volatility by taking into account the standard deviation of negative asset returns, called downside deviation.

78. A sovereign bond is a debt security issued by a national government.

79. A special situation is a particular circumstance involving a security that would compel investors to trade the security based on the special situation, rather than the underlying fundamentals of the security or some other investment rationale. A spin-off is an example of a special situation.

80. Spot price is the current price at which a particular security can be bought or sold at a specified time and place.

81. Standard deviation is a statistical measure of the historical volatility of a mutual fund or portfolio, usually computed using 36 monthly returns.

82. Subprime refers to the credit quality of particular borrowers, who have weakened credit histories and a greater risk of loan default than prime borrowers. The market for lenders and borrowers of subprime credit includes the business of subprime mortgages, subprime auto loans and subprime credit cards, as well as various securitization products that use subprime debt as collateral.

83. Swaps, traditionally, are the exchange of one security for another to change the maturity (bonds), quality of issues (stocks or bonds), or because investment objectives have changed. Recently, swaps have grown to include currency swaps and interest rate swaps.

84. Swaption (swap option): The option to enter into an interest rate swap. In exchange for an option premium, the buyer gains the right but not the obligation to enter into a specified swap agreement with the issuer on a specified future date.

85. Tangible Book Value Per Share—TBVPS is a method of valuing a company on a per-share basis by measuring its equity after removing any intangible assets.

86. Tracking error is the monitoring the performance of a portfolio, usually to analyze the extent to which its price movements conform or deviate from those of a benchmark.

87. Upside/downside capture is a statistical measure that shows whether a given fund has outperformed—gained more or lost less than--a broad market benchmark during periods of market strength and weakness, and if so, by how much.

Industry Terms and Definitions 159

Litman Gregory Funds Trust

INDUSTRY TERMS AND DEFINITIONS – (Continued)

88. Yield Curve: A line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates. The most frequently reported yield curve compares the three-month, two-year, five-year and 30-year U.S. Treasury debt. The curve is used to predict changes in economic output and growth.

89. Yield to Maturity is the rate of return anticipated on a bond if it is held until the maturity date.

90. Yield to Worst is the lowest potential yield that can be received on a callable bond without the issuer actually defaulting.

91. Z Bonds, or Z Tranches, are the final tranche in a series of mortgage-backed securities, that is the last one to receive payment. Used in some collateralized mortgage obligations (CMO), Z-bonds pay no coupon payments while principal is being paid on earlier bonds.

160 Litman Gregory Funds Trust

Litman Gregory Funds Trust

TAX INFORMATION – (Unaudited)

For the fiscal year ended December 31, 2019, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The percentage of dividends declared from ordinary income designated as qualified dividend income was as follows:

Litman Gregory Masters Equity Fund	100.00	%
Litman Gregory Masters International Fund	100.00	%
Litman Gregory Masters Smaller Companies Fund	30.91	%
Litman Gregory Masters Alternative Strategies Fund	19.04	%
Litman Gregory Masters High Income Alternatives Fund	1.14	%

For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal year ended December 31, 2019 was as follows:

Litman Gregory Masters Equity Fund	100.00	%
Litman Gregory Masters International Fund	0.00	%
Litman Gregory Masters Smaller Companies Fund	18.50	%
Litman Gregory Masters Alternative Strategies Fund	10.09	%
Litman Gregory Masters High Income Alternatives Fund	1.91	%

Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended December 31, 2019.

Litman Gregory Masters Equity Fund	$	23,579,152
Litman Gregory Masters International Fund		N/A
Litman Gregory Masters Smaller Companies Fund		627,462
Litman Gregory Masters Alternative Strategies Fund		N/A
Litman Gregory Masters High Income Alternatives Fund		265,169

Additional Information Applicable to Foreign Shareholders Only:

The percent of ordinary dividend distributions for the year ended December 31, 2019, which are designated as interest-related dividends under Internal Revenue Code Section 871 (k)(1)(C) is as follows:

Litman Gregory Masters Equity Fund	N/A
Litman Gregory Masters International Fund	N/A
Litman Gregory Masters Smaller Companies Fund	N/A
Litman Gregory Masters Alternative Strategies Fund	88.76	%
Litman Gregory Masters High Income Alternatives Fund	N/A

The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(C) for each Fund were as follows (unaudited):

Litman Gregory Masters Equity Fund	0.00	%
Litman Gregory Masters International Fund	0.00	%
Litman Gregory Masters Smaller Companies Fund	0.00	%
Litman Gregory Masters Alternative Strategies Fund	0.00	%
Litman Gregory Masters High Income Alternatives Fund	0.00	%

For the year ended December 31, 2019, the Litman Gregory Masters International Fund earned foreign source income and paid foreign taxes which they intend to pass through to their shareholders pursuant to Section 853 of the Internal Revenue Code as follows:

Creditable Foreign Taxes Paid	Per Share Amount	Portion of Ordinary Income Distribution Derived from foreign Sourced Income
$925,334	$0.0383	100.00%

Tax Information 161

Litman Gregory Funds Trust

TRUSTEE AND OFFICER INFORMATION

Background information for the Trustees and Officers of the Trust is presented below. All Trustees oversee the Litman Gregory Masters Funds. The SAI includes additional information about the Trust’s Trustees and is available, without charge, by calling 1-800-960-0188.

Independent Trustees*

Name, Address and Year Born	Position(s) Held with the Trust	Term of Office and Length of Time Served	Principal Occupation(s) During Past Five Years	#of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Julie Allecta 1676 N. California Blvd., Suite 500, Walnut Creek, California 94596 (born 1946)	Independent Trustee	Open-ended term; served since June 2013	Member of Governing Council, Policy Committee Chair and Executive Committee member, Independent Directors Council (education for investment company independent directors) since 2014; Director, Northern California Society of Botanical Artists (botanical art) since 2014; and Retired Partner, Paul Hastings LLP (law firm) from 1999 to 2009.	5	Forward Funds (4 portfolios) Salient MS Trust (4 portfolios) Salient Midstream & MLP Fund (1 portfolio)
Frederick A. Eigenbrod, Jr., Ph.D. 1676 N. California Blvd., Suite 500, Walnut Creek, California 94596 (born 1941)	Independent Trustee	Open-ended term; served since inception	Vice President, RoutSource Consulting Services (organizational planning and development) since 2002.	5	None
Harold M. Shefrin, Ph.D. 1676 N. California Blvd., Suite 500, Walnut Creek, California 94596 (born 1948)	Independent Trustee	Open-ended term; served since February 2005	Professor, Department of Finance, Santa Clara University since 1979.	5	SA Funds – Investment Trust (10 portfolios)

162 Litman Gregory Funds Trust

Litman Gregory Funds Trust

TRUSTEE AND OFFICER INFORMATION

Interested Trustees & Officers

Name, Address and Year Born	Position(s) Held with the Trust	Term of Office and Length of Time Served	Principal Occupation(s) During Past Five Years	#of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee/ Officer During Past Five Years
Jeremy DeGroot** 1676 N. California Blvd., Suite 500, Walnut Creek, California 94596 (born 1963)	Chairman of the Board, Trustee and President	Open-ended term; served as Chairman since March 2017, Trustee since December 2008 and President since 2014	Chief Investment Officer of Litman Gregory Asset Management, LLC since 2008; and Co-Chief Investment Officer of Litman Gregory Asset Management, LLC from 2003 to 2008.	5	None
Stephen Savage 1676 N. California Blvd., Suite 500, Walnut Creek, California 94596 (born 1961)	Secretary	Open-ended term; served since 2014	Chief Executive Officer of the Advisor since 2015; Managing Partner of the Advisor since 2010; Partner of the Advisor since 2003.	N/A	None
John Coughlan 1676 N. California Blvd., Suite 500, Walnut Creek, California 94596 (born 1956)	Treasurer and Chief Compliance Officer	Open-ended term; served as Treasurer since inception, and as Chief Compliance Officer since September 2004	Chief Operating Officer and Chief Compliance Officer of the Advisor since 2004.	N/A	None

* Denotes Trustees who are not “interested persons” of the Trust, as such term is defined under the 1940 Act (the “Independent

Trustees”).

** Denotes Trustees who are “interested persons” of the Trust, as such term is defined under the 1940 Act, because of their

relationship with the Advisor (the “Interested Trustees”).

In addition, Jack Chee, Rajat Jain and Jason Steuerwalt, each a Portfolio Manager and Senior Research Analyst at the Advisor, are

each an Assistant Secretary of the Trust.

Trustee and Officer Information 163

Privacy Notice

The Funds may collect non-public personal information about you from the following sources:

• Information we receive about you on applications or other forms;

• Information you give us orally; and

• Information about your transactions with us.

We do not disclose any non-public personal information about our shareholders or former shareholders without the shareholder’s authorization, except as required or permitted by applicable law or in response to inquiries from governmental authorities. We restrict access to your personal and account information to our employees who need to know that information to provide products and services to you and to the employees of our affiliates. We also may disclose that information to non-affiliated third parties (such as to brokers or custodians) only as permitted or required by applicable law and only as needed for us to provide agreed services to you.

We maintain physical, electronic and procedural safeguards to guard your non-public personal information.

If you hold shares of the Funds through a financial intermediary, such as a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your non-public personal information would be shared with non-affiliated third parties.

164 Litman Gregory Funds Trust

Advisor:

Litman Gregory Fund Advisors, LLC

1676 N. California Blvd., Suite 500

Walnut Creek, CA 94596

Distributor:

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Transfer Agent:

DST Asset Manager Solutions, Inc.

P.O. Box 219922

Kansas City, MO 64121-9922

1-800-960-0188

For Overnight Delivery:

Masters Funds

C/O DST Asset Manager Solutions, Inc.

330 W. 9th Street

Kansas City, MO 64105

Investment Professionals:

Registered Investment Advisors, broker/dealers, and other investment professionals may contact Fund Services at 1-925-254-8999.

Prospectus:

To request a current prospectus, statement of additional information, or an IRA application, call
1-800-960-0188.

Shareholder Inquiries:

To request action on your existing account, contact the Transfer agent, DST Asset Manager Solutions, Inc., at 1-800-960-0188, from 9:00 a.m. to 6:00 p.m. eastern time, Monday through Friday.

24-Hour Automated Information:

For access to automated reporting of daily prices, account balances and transaction activity, call
1-800-960-0188, 24 hours a day, seven days a week. Please have your Fund number (see below) and account number ready in order to access your account information.

Information:

Fund	Symbol		CUSIP		Fund Number
Equity Fund		MSEFX		53700T108		305
International Fund		MSILX		53700T207		306
Smaller Companies Fund		MSSFX		53700T306		308
Alternative Strategies Fund
Institutional Class		MASFX		53700T801		421
Investor Class		MASNX		53700T884		447
High Income Alternatives Fund
Institutional Class		MAHIX		53700T876		1478
Investor Class		MAHNX		53700T868		1479

Website:

www.mastersfunds.com

Item 2. Code of Ethics.

The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer.

The registrant has not made any amendments to its code of ethics during the period covered by this report.

The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.

The registrant undertakes to provide to any person without charge, upon request, a copy of its code of ethics by mail when they call the registrant at 1-800-960-0188.

Item 3. Audit Committee Financial Expert.

The registrant’s board of trustees (the “board”) has determined that Harold M. Shefrin, the Chairman of the board’s audit committee, is the “audit committee financial expert” and Mr. Shefrin has been deemed to be “independent” for purposes of this Item 3.

Item 4. Principal Accountant Fees and Services.

The registrant has engaged its principal accountant to perform audit services, audit-related services, tax services and other services during the past two fiscal years. “Audit services” refer to performing an audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. “Audit-related services” refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. “Tax services” refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. The following table details the aggregate fees billed or expected to be billed for each of the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.

	Cohen & Company, Ltd.		Cohen & Company, Ltd.
	FYE 12/31/2019		FYE 12/31/2018
Audit Fees	$	166,025	$	147,725
Audit-Related Services	$	0	$	0
Tax Fees	$	25,600	$	25,600
All Other Fees	$	0	$	0

The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.

The percentage of fees billed by the principal accountant applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:

	Cohen & Company, Ltd.			Cohen & Company, Ltd.
	FYE 12/31/2019			FYE 12/31/2018
Audit-Related Services		0	%		0	%
Tax Fees		0	%		0	%
All Other Fees		0	%		0	%

All of the principal accountant’s hours spent on auditing the registrant’s financial statements were attributed to work performed by full-time permanent employees of the principal accountant. The following table indicates the non-audit fees billed or expected to be billed by the registrant’s accountant for services to the registrant and to the registrant’s investment adviser (and any other controlling entity, etc.—not sub-adviser) for the last two years. The audit committee of the board has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser is compatible with maintaining the principal accountant’s independence and has concluded that the provision of such non-audit services by the accountant has not compromised the accountant’s independence.

	Cohen & Company, Ltd.		Cohen & Company, Ltd.
Non-Audit Related Fees	FYE 12/31/2019		FYE 12/31/2018
Registrant	$	4,400	$	3,700
Registrant’s Investment Adviser		None		None

Item 5. Audit Committee of Listed Registrants.

Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934, as amended (the “Exchange Act”)).

Item 6. Investments.

(a) The complete Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form N-CSR.

(b) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to open-end investment companies.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to open-end investment companies.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to open-end investment companies.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board since the registrant last provided disclosure in response to this Item 10.

Item 11. Controls and Procedures.

(a) The registrant’s President/Principal Executive Officer and Treasurer/Principal Financial Officer have reviewed the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Exchange Act. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported timely and made known to them by others within the registrant and by the registrant’s service provider.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable to open-end investment companies.

Item 13. Exhibits.

(a)(1) Not applicable because the Code of Ethics is provided free of charge, upon request, as described in Item 2 of this Form N-CSR.

(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are attached as exhibits hereto.

(a)(3) Not applicable to open-end investment companies.

(a)(4) Not applicable.

(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are attached as exhibits hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

LITMAN GREGORY FUNDS TRUST

By:	/s/ Jeremy L. DeGroot
	Jeremy L. DeGroot
	President and Chief Executive Officer
Date:	March 4, 2020

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, 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:	/s/ Jeremy L. DeGroot
	Jeremy L. DeGroot
	President and Chief Executive Officer
Date:	March 4, 2020

By:	/s/ John M. Coughlan
	John M. Coughlan
	Treasurer and Principal Financial Officer
Date:	March 4, 2020