![]() |
ORINDA MULTI-MANAGER HEDGED EQUITY FUND
|
||
Since Inception
|
||
Returns as of 8/31/11
|
3 mos.
|
(3/31/11)
|
PERFORMANCE AT NAV without sales charge
|
||
A share
|
-4.82%
|
-4.36%
|
C share
|
-5.06%
|
-4.72%
|
I share
|
-4.74%
|
-4.24%
|
S&P 500® TR Index
|
-8.90%
|
-7.26%
|
Russell 2000® Index
|
-14.03%
|
-14.28%
|
PERFORMANCE AT MOP includes maximum sales charge
|
||
A share
|
-9.57%
|
-9.16%
|
C share
|
-6.01%
|
-5.67%
|
*
|
The Adviser has contractually agreed to waive a portion or all of its management fees and/or pay Fund expenses (excluding acquired fund fees and expenses, interest, taxes, interest and dividends on securities sold short and extraordinary expenses) in order to limit Net Annual Fund Operating Expenses to 2.95%, 3.70% and 2.64% of average daily net assets of the Fund’s Class A, Class C and Class I shares, respectively (the “Expense Cap”). The Expense Cap will remain in effect through at least June 30, 2012, and may be terminated only by the Trust’s Board of Trustees.
|
RISK ANALYSIS Since Inception as of 8/31/11
|
|||||
Standard Deviation – Fund (Annualized)
|
13.02%
|
||||
Standard Deviation – S&P 500 TR Index (Annualized)
|
24.53%
|
||||
Beta vs. S&P 500 TR Index
|
0.504
|
||||
Risk measures apply to Class A Shares only.
|
|||||
Standard Deviation is a measure of daily volatility of returns.
|
|||||
Higher standard deviation implies higher volatility.
|
|||||
Beta is a measure of the volatility of a fund relative to the overall market.
|
|||||
PORTFOLIO CHARACTERISTICS as of 8/31/11
|
EXPOSURE** as of 8/31/11
|
||||
Number of Long holdings*
|
204
|
Long
|
73.90%
|
|
|
Number of Short holdings*
|
129
|
Short
|
29.17%
|
|
|
Top 10 Long holdings (% of net assets)
|
14.73%
|
Gross
|
103.07%
|
|
|
Top 10 Short holdings (% of net assets)
|
9.40%
|
Net
|
44.73%
|
|
|
*
|
Does not include Options positions.
|
**
|
Gross exposure is calculated by adding the percentage of the Fund’s capital invested in long holdings to the percentage of the Fund’s capital in short positions.
|
SECTOR EXPOSURE as of 8/31/11
|
![]() |
![]() |
Larry Epstein
|
Chief Investment Officer
|
Orinda Asset Management, LLC.
|
![]() |
SECTOR ALLOCATION OF PORTFOLIO ASSETS
|
at August 31, 2011 (Unaudited)
|
![]() |
SCHEDULE OF INVESTMENTS
|
at August 31, 2011 (Unaudited)
|
COMMON STOCKS - 60.6%
|
Shares
|
Value
|
||||||
Consumer Discretionary - 10.0%
|
||||||||
Barnes & Noble, Inc.
|
27,500 | $ | 366,850 | |||||
BJ’s Restaurants, Inc.^*
|
1,277 | 58,959 | ||||||
Carter’s, Inc.^*
|
12,410 | 383,841 | ||||||
Chico’s FAS, Inc.*
|
21,530 | 299,698 | ||||||
DeVry, Inc.*
|
825 | 36,448 | ||||||
Francesca’s Holdings Corp.^*
|
1,403 | 32,171 | ||||||
Global Education & Technology Group Ltd. - ADR^*
|
15,984 | 81,199 | ||||||
ITT Educational Services, Inc.^*
|
963 | 69,490 | ||||||
John Wiley & Sons, Inc.
|
1,083 | 52,840 | ||||||
LKQ Corp.^*
|
13,487 | 345,267 | ||||||
LodgeNet Interactive Corp.^
|
34,600 | 64,356 | ||||||
Monro Muffler Brake, Inc.*
|
2,441 | 96,493 | ||||||
National CineMedia, Inc.*
|
17,480 | 247,692 | ||||||
Penske Automotive Group *
|
3,565 | 65,026 | ||||||
PetSmart, Inc.
|
1,230 | 51,881 | ||||||
Rue21, Inc.^*
|
8,413 | 210,830 | ||||||
Scientific Games Corp.^*
|
29,000 | 255,780 | ||||||
Steiner Leisure Ltd.^*
|
1,148 | 45,794 | ||||||
Teavana Holdings, Inc.^
|
1,428 | 37,057 | ||||||
Tempur-Pedic International, Inc.^
|
10,000 | 582,400 | ||||||
The Home Depot, Inc.
|
12,000 | 400,560 | ||||||
The McGraw-Hill Companies, Inc.*
|
1,137 | 47,879 | ||||||
Thor Industries, Inc.*
|
1,489 | 33,100 | ||||||
Under Armour, Inc.^*
|
4,432 | 314,051 | ||||||
ValueVision Media, Inc.^
|
47,250 | 179,077 | ||||||
Xueda Education Group - ADR^*
|
7,700 | 52,745 | ||||||
Total Consumer Discretionary
|
4,411,484 | |||||||
Consumer Staples - 0.2%
|
||||||||
Anheuser Busch Inbev NV - ADR*
|
1,361 | 75,209 | ||||||
Energy - 3.1%
|
||||||||
BP PLC - ADR*
|
1,496 | 58,927 | ||||||
Core Laboratories NV*
|
957 | 106,782 | ||||||
Dril-Quip, Inc.^*
|
3,056 | 197,723 | ||||||
Helix Energy Solutions Group, Inc.^*
|
13,940 | 235,447 | ||||||
Valero Energy Corp.*
|
2,528 | 57,436 | ||||||
Western Refining, Inc.^*
|
2,496 | 43,530 | ||||||
World Fuel Services Corp.*
|
18,140 | 673,720 | ||||||
Total Energy
|
1,373,565 |
SCHEDULE OF INVESTMENTS (Continued)
|
at August 31, 2011 (Unaudited)
|
COMMON STOCKS - 60.6% (Continued)
|
Shares
|
Value
|
||||||
Financials - 5.5%
|
||||||||
Affiliated Managers Group, Inc.^*
|
2,463 | $ | 214,675 | |||||
Berkshire Hathaway, Inc. - Class B^*
|
7,553 | 551,369 | ||||||
Financial Engines, Inc.^*
|
20,190 | 449,833 | ||||||
FirstService Corp.^*
|
5,329 | 170,155 | ||||||
FXCM, Inc.*
|
6,033 | 70,526 | ||||||
Greenlight Capital Re Ltd.^*
|
5,548 | 124,442 | ||||||
Moody’s Corp.*
|
2,126 | 65,545 | ||||||
MSCI, Inc.^*
|
5,083 | 175,719 | ||||||
Portfolio Recovery Associates, Inc.^*
|
1,339 | 97,921 | ||||||
Signature Bank^*
|
7,250 | 403,172 | ||||||
Virtus Investment Partners, Inc.^*
|
2,042 | 125,195 | ||||||
Total Financials
|
2,448,552 | |||||||
Health Care - 8.6%
|
||||||||
Accuray, Inc.^*
|
4,045 | 19,982 | ||||||
Align Technology, Inc.^*
|
17,710 | 338,261 | ||||||
Alnylam Pharmaceuticals, Inc.^*
|
9,384 | 65,500 | ||||||
AmerisourceBergen Corp.
|
1,361 | 53,868 | ||||||
AstraZeneca PLC - ADR*
|
1,289 | 61,124 | ||||||
Baxter International, Inc.*
|
891 | 49,878 | ||||||
Becton, Dickinson and Co.*
|
573 | 46,631 | ||||||
BioMarin Pharmaceutical, Inc.^*
|
11,777 | 348,423 | ||||||
Boston Scientific Corp.^*
|
7,130 | 48,341 | ||||||
Bristol-Myers Squibb Co.*
|
2,796 | 83,181 | ||||||
C.R. Bard, Inc.*
|
548 | 52,202 | ||||||
DENTSPLY International, Inc.*
|
1,365 | 48,048 | ||||||
DepoMed, Inc.^
|
21,318 | 132,598 | ||||||
Endo Pharmaceuticals Holdings, Inc.^*
|
2,858 | 91,199 | ||||||
Forest Laboratories, Inc.^*
|
4,190 | 143,466 | ||||||
Healthways, Inc.^*
|
3,151 | 39,577 | ||||||
Hologic, Inc.^*
|
20,340 | 338,458 | ||||||
IPC The Hospitalist Co.^*
|
5,310 | 212,931 | ||||||
Johnson & Johnson*
|
1,086 | 71,459 | ||||||
LifePoint Hospitals, Inc.^
|
1,349 | 49,508 | ||||||
Ligand Pharmaceuticals, Inc.^
|
9,265 | 141,106 | ||||||
Masimo Corp.^*
|
6,508 | 160,552 | ||||||
Myrexis, Inc.^*
|
30,850 | 83,604 | ||||||
Novartis AG - ADR*
|
1,142 | 66,761 | ||||||
Omnicell, Inc.^*
|
12,163 | 190,229 |
SCHEDULE OF INVESTMENTS (Continued)
|
at August 31, 2011 (Unaudited)
|
COMMON STOCKS - 60.6% (Continued)
|
Shares
|
Value
|
||||||
Health Care - 8.6% (Continued)
|
||||||||
Optimer Pharmaceuticals, Inc.^*
|
11,235 | $ | 111,788 | |||||
Pfizer, Inc.*
|
5,367 | 101,866 | ||||||
PSS World Medical, Inc.^*
|
6,759 | 159,377 | ||||||
Rigel Pharmaceuticals, Inc.^*
|
7,678 | 60,503 | ||||||
Tenet Healthcare Corp.^
|
17,070 | 90,130 | ||||||
UnitedHealth Group, Inc.*
|
1,687 | 80,166 | ||||||
VCA Antech, Inc.^*
|
9,876 | 182,805 | ||||||
WellPoint, Inc.*
|
867 | 54,881 | ||||||
Total Health Care
|
3,778,403 | |||||||
Industrials - 10.3%
|
||||||||
Air Transport Services Group, Inc.^*
|
33,840 | 182,398 | ||||||
Albany International Corp.*
|
3,076 | 66,872 | ||||||
American Reprographics Co.^*
|
12,378 | 48,398 | ||||||
AMETEK, Inc.
|
1,685 | 65,850 | ||||||
Atlas Air Worldwide Holdings, Inc.^*
|
4,360 | 213,989 | ||||||
Beacon Roofing Supply, Inc.^*
|
7,181 | 133,279 | ||||||
Brady Corp.
|
1,863 | 51,233 | ||||||
Cintas Corp.*
|
1,612 | 51,552 | ||||||
Copart, Inc.^*
|
4,570 | 196,693 | ||||||
CSX Corp.*
|
2,043 | 44,823 | ||||||
Curtiss-Wright Corp.*
|
1,803 | 55,514 | ||||||
General Cable Corp.^*
|
1,609 | 48,511 | ||||||
Graco, Inc.*
|
3,888 | 153,498 | ||||||
HEICO Corp.*
|
3,656 | 199,325 | ||||||
Houston Wire & Cable Co.*
|
3,250 | 47,678 | ||||||
Hurco Companies, Inc.^*
|
209 | 5,743 | ||||||
Huron Consulting Group, Inc.^*
|
8,327 | 264,715 | ||||||
ICF International, Inc.^*
|
3,540 | 80,252 | ||||||
IHS, Inc.^*
|
4,248 | 329,602 | ||||||
II-VI, Inc.^*
|
4,080 | 80,600 | ||||||
Kadant, Inc.^*
|
2,362 | 55,035 | ||||||
Kirby Corp.^*
|
978 | 53,829 | ||||||
L.B. Foster Co.
|
2,530 | 61,985 | ||||||
Landstar System, Inc.*
|
9,318 | 377,286 | ||||||
Lihua International, Inc.^*
|
7,104 | 45,679 | ||||||
MasTec, Inc.^*
|
13,930 | 309,246 | ||||||
Mistras Group, Inc.^*
|
14,860 | 300,172 | ||||||
NACCO Industries, Inc.*
|
696 | 53,390 |
SCHEDULE OF INVESTMENTS (Continued)
|
at August 31, 2011 (Unaudited)
|
COMMON STOCKS - 60.6% (Continued)
|
Shares
|
Value
|
||||||
Industrials - 10.3% (Continued)
|
||||||||
Resources Connection, Inc.*
|
3,915 | $ | 40,951 | |||||
Robert Half International, Inc.*
|
1,537 | 36,765 | ||||||
Southwest Airlines Co.
|
6,358 | 54,806 | ||||||
Stantec, Inc.^*
|
1,163 | 28,866 | ||||||
Steelcase, Inc.*
|
6,181 | 51,179 | ||||||
Stericycle, Inc.^*
|
2,151 | 188,664 | ||||||
The Middleby Corp.^*
|
1,930 | 155,490 | ||||||
TransDigm Group, Inc.^*
|
2,394 | 219,913 | ||||||
Waste Connections, Inc.*
|
5,545 | 191,802 | ||||||
Total Industrials
|
4,545,583 | |||||||
Information Technology - 19.7%
|
||||||||
Accenture PLC
|
1,192 | 63,879 | ||||||
Alliance Data Systems Corp.^*
|
4,680 | 437,159 | ||||||
Altera Corp.*
|
1,504 | 54,731 | ||||||
Amdocs Ltd.^
|
2,309 | 63,428 | ||||||
Analog Devices, Inc.*
|
1,741 | 57,488 | ||||||
ANSYS, Inc.^*
|
1,389 | 74,978 | ||||||
Arris Group, Inc.^*
|
24,800 | 270,816 | ||||||
Avago Technologies Ltd.*
|
1,936 | 64,101 | ||||||
Brightpoint, Inc.^*
|
10,520 | 100,256 | ||||||
Brocade Communications Systems, Inc.^*
|
140,946 | 545,461 | ||||||
CA, Inc.*
|
2,323 | 48,760 | ||||||
Cardtronics, Inc.^*
|
31,356 | 776,375 | ||||||
Check Point Software Technologies Ltd.^*
|
964 | 52,480 | ||||||
Cisco Systems, Inc.*
|
3,617 | 56,715 | ||||||
Cogo Group, Inc.^*
|
17,173 | 45,852 | ||||||
Concur Technologies, Inc.^*
|
1,678 | 70,174 | ||||||
Convergys Corp.^
|
6,192 | 65,945 | ||||||
Exlservice Holdings, Inc.^*
|
1,959 | 50,836 | ||||||
FARO Technologies, Inc.^*
|
4,055 | 153,968 | ||||||
Global Payments, Inc.*
|
1,314 | 60,221 | ||||||
Heartland Payment Systems, Inc.*
|
3,910 | 84,104 | ||||||
Hittite Microwave Corp.^*
|
3,597 | 195,389 | ||||||
Integrated Device Technology, Inc.^*
|
49,670 | 281,132 | ||||||
InterDigital, Inc.*
|
4,019 | 282,938 | ||||||
International Rectifier Corp.^*
|
15,940 | 363,273 | ||||||
IPG Photonics Corp.^*
|
1,281 | 74,272 | ||||||
KVH Industries, Inc.^*
|
27,210 | 242,169 |
SCHEDULE OF INVESTMENTS (Continued)
|
at August 31, 2011 (Unaudited)
|
COMMON STOCKS - 60.6% (Continued)
|
Shares
|
Value
|
||||||
Information Technology - 19.7% (Continued)
|
||||||||
Liquidity Services, Inc.^*
|
4,644 | $ | 111,456 | |||||
Magma Design Automation, Inc.^*
|
61,590 | 313,493 | ||||||
MIPS Technologies, Inc.^*
|
7,965 | 44,604 | ||||||
Monster Worldwide, Inc.^*
|
25,610 | 241,758 | ||||||
National Instruments Corp.*
|
2,863 | 72,806 | ||||||
NCR Corp.^*
|
2,871 | 49,467 | ||||||
Newport Corp.^*
|
25,520 | 330,229 | ||||||
NIC, Inc.*
|
22,050 | 256,221 | ||||||
Photronics, Inc.^*
|
9,652 | 62,545 | ||||||
Plantronics, Inc.*
|
11,530 | 369,536 | ||||||
Polycom, Inc.^*
|
5,232 | 124,522 | ||||||
RealPage, Inc.^*
|
4,891 | 101,831 | ||||||
Rogers Corp.^*
|
983 | 49,022 | ||||||
Rovi Corp.^*
|
8,380 | 409,698 | ||||||
ServiceSource International, Inc.^
|
593 | 10,716 | ||||||
Solera Holdings, Inc.*
|
3,605 | 211,433 | ||||||
Sourcefire, Inc.^*
|
9,420 | 260,180 | ||||||
SuccessFactors, Inc.^
|
3,942 | 92,085 | ||||||
Symantec Corp.^*
|
3,968 | 68,051 | ||||||
TeleTech Holdings, Inc.^*
|
3,086 | 54,746 | ||||||
TESSCO Technologies, Inc.*
|
3,902 | 56,852 | ||||||
The Ultimate Software Group, Inc.^*
|
1,691 | 85,548 | ||||||
Total System Services, Inc.*
|
2,554 | 46,355 | ||||||
VeriFone Systems, Inc.^*
|
5,593 | 196,985 | ||||||
Virtusa Corp.^
|
4,330 | 68,284 | ||||||
VistaPrint NV^*
|
3,078 | 90,586 | ||||||
Wayside Technology Group, Inc.*
|
14,502 | 169,528 | ||||||
Westell Technologies, Inc.^
|
14,366 | 35,771 | ||||||
Western Union Co.*
|
3,197 | 52,814 | ||||||
Total Information Technology
|
8,674,022 | |||||||
Materials - 2.3%
|
||||||||
Goldcorp, Inc.*
|
1,380 | 71,650 | ||||||
Minefinders Ltd.^
|
3,161 | 51,272 | ||||||
New Gold, Inc.^
|
14,517 | 196,996 | ||||||
Royal Gold, Inc.*
|
780 | 59,810 | ||||||
Silver Wheaton Corp.*
|
1,345 | 53,289 | ||||||
STR Holdings, Inc.^
|
37,010 | 419,693 | ||||||
The Mosaic Co.*
|
814 | 57,900 |
SCHEDULE OF INVESTMENTS (Continued)
|
at August 31, 2011 (Unaudited)
|
COMMON STOCKS - 60.6% (Continued)
|
Shares
|
Value
|
||||||
Materials - 2.3% (Continued)
|
||||||||
Titanium Metals Corp.*
|
4,408 | $ | 70,660 | |||||
Yamana Gold, Inc.*
|
3,425 | 54,149 | ||||||
Total Materials
|
1,035,419 | |||||||
Telecommunication Services - 0.4%
|
||||||||
Abovenet, Inc.
|
2,900 | 178,292 | ||||||
Utilities - 0.5%
|
||||||||
ITC Holdings Corp.*
|
2,978 | 225,316 | ||||||
TOTAL COMMON STOCKS (Cost $27,806,180)
|
26,745,845 | |||||||
CLOSED-END FUNDS - 0.3%
|
||||||||
Credit Suisse High Yield Bond Fund
|
40,000 | 119,200 | ||||||
TOTAL CLOSED-END FUNDS (Cost $119,348)
|
119,200 | |||||||
EXCHANGE-TRADED FUNDS - 12.6%
|
||||||||
First Trust Large Cap Core AlphaDEX Fund
|
7,688 | 205,269 | ||||||
iShares iBoxx $ High Yield Corporate Bond Fund
|
1,871 | 164,704 | ||||||
iShares MSCI ACWI Index Fund
|
4,144 | 181,010 | ||||||
iShares Russell 1000 Index Fund
|
3,924 | 266,165 | ||||||
iShares Russell 2000 Value Index Fund
|
3,948 | 253,817 | ||||||
iShares Russell Midcap Index Fund
|
1,845 | 180,515 | ||||||
iShares S&P GSCI Commodity-Indexed Trust^
|
4,869 | 168,419 | ||||||
iShares S&P MidCap 400 Growth Index Fund
|
1,825 | 182,847 | ||||||
PowerShares DB G10 Currency Harvest Fund^
|
6,695 | 162,488 | ||||||
PowerShares FTSI RAFE US 1000 Portfolio
|
3,433 | 182,327 | ||||||
ProShares Ultra DJ-UBS Commodity^
|
5,015 | 179,737 | ||||||
Rydex S&P 500 Pure Growth ETF
|
4,822 | 210,818 | ||||||
Rydex S&P 500 Pure Value ETF
|
5,630 | 155,726 | ||||||
SPDR Barclays Capital High Yield Bond ETF
|
20,252 | 785,575 | ||||||
SPDR Dow Jones Industrial Average ETF Trust*
|
11,000 | 1,275,230 | ||||||
Vanguard Dividend Appreciation Index ETF
|
4,011 | 209,855 | ||||||
Vanguard Small-Cap Growth ETF
|
2,079 | 156,902 | ||||||
Vanguard U.S. Total Stock Market Shares Index ETF
|
3,307 | 207,713 | ||||||
WisdomTree Earnings 500 Fund
|
4,950 | 210,622 | ||||||
WisdomTree LargeCap Dividend Fund
|
4,570 | 211,957 | ||||||
TOTAL EXCHANGE-TRADED FUNDS
|
||||||||
(Cost $5,616,571)
|
5,551,696 |
SCHEDULE OF INVESTMENTS (Continued)
|
at August 31, 2011 (Unaudited)
|
EXCHANGE-TRADED NOTES - 0.4%
|
Shares
|
Value
|
||||||
iPath Optimized Currency Carry ETN^
|
3,616 | $ | 163,877 | |||||
TOTAL EXCHANGE-TRADED NOTES (Cost $163,670)
|
163,877 | |||||||
PURCHASED OPTIONS - 0.0%
|
Contracts
|
|||||||
Call Options - 0.0%
|
||||||||
InterDigital, Inc.
|
||||||||
Expiration September 2011, Exercise Price: $65.00
|
1 | 840 | ||||||
Expiration December 2011, Exercise Price: $62.50
|
2 | 3,140 | ||||||
Expiration December 2011, Exercise Price: $65.00
|
2 | 2,922 | ||||||
Monster Worldwide, Inc.
|
||||||||
Expiration January 2013, Exercise Price: $15.00
|
5 | 475 | ||||||
Expiration January 2013, Exercise Price: $17.50
|
3 | 188 | ||||||
Expiration January 2013, Exercise Price: $20.00
|
5 | 175 | ||||||
Expiration January 2013, Exercise Price: $25.00
|
7 | 122 | ||||||
VeriFone Systems, Inc.
|
||||||||
Expiration January 2013, Exercise Price: $55.00
|
2 | 535 | ||||||
Expiration January 2013, Exercise Price: $60.00
|
3 | 592 | ||||||
Total Call Options
|
8,989 | |||||||
Put Options - 0.0%
|
||||||||
BJ’s Restaurants, Inc.
|
||||||||
Expiration October 2011, Exercise Price: $50.00
|
5 | 2,625 | ||||||
iShares Russell 2000 Index Fund
|
||||||||
Expiration October 2011, Exercise Price: $67.00
|
35 | 7,315 | ||||||
MAKO Surgical Corp.
|
||||||||
Expiration November 2011, Exercise Price: $30.00
|
6 | 1,290 | ||||||
Expiration January 2012, Exercise Price: $25.00
|
2 | 296 | ||||||
Expiration January 2012, Exercise Price: $35.00
|
3 | 1,440 | ||||||
The St. Joe Co.
|
||||||||
Expiration January 2012, Exercise Price: $40.00
|
1 | 2,320 | ||||||
VeriFone Systems, Inc.
|
||||||||
Expiration September 2011, Exercise Price: $25.00
|
28 | 210 | ||||||
Total Put Options
|
15,496 | |||||||
TOTAL PURCHASED OPTIONS (Cost $30,754)
|
24,485 |
SCHEDULE OF INVESTMENTS (Continued)
|
at August 31, 2011 (Unaudited)
|
SHORT-TERM INVESTMENTS - 23.8%
|
Shares
|
Value
|
||||||
Money Market Funds - 23.8%
|
||||||||
Fidelity Institutional Treasury Only Portfolio -
|
||||||||
Class I, 0.01%+
|
10,494,139 | $ | 10,494,139 | |||||
TOTAL SHORT-TERM INVESTMENTS
|
||||||||
(Cost $10,494,139)
|
||||||||
TOTAL INVESTMENTS (Cost $44,230,662) - 97.7%
|
43,099,242 | |||||||
Other Assets in Excess of Liabilities - 2.3%
|
1,020,258 | |||||||
TOTAL NET ASSETS - 100.0%
|
$ | 44,119,500 |
^
|
Non-income producing.
|
+
|
The rate shown is the 7-day yield as of August 31, 2011.
|
*
|
All or a portion of the security has been segregated for open short positions and written options.
|
SCHEDULE OF SECURITIES SOLD SHORT
|
at August 31, 2011 (Unaudited)
|
COMMON STOCKS - 25.0%
|
Shares
|
Value
|
||||||
Consumer Discretionary - 4.0%
|
||||||||
Brinker International, Inc.
|
6,379 | $ | 144,038 | |||||
Cedar Fair LP
|
9,608 | 193,121 | ||||||
Cherokee, Inc.
|
3,460 | 47,921 | ||||||
Coinstar, Inc.
|
1,582 | 72,123 | ||||||
Ctrip.com International, Ltd. - ADR
|
1,487 | 62,038 | ||||||
Gaylord Entertainment Co.
|
1,313 | 33,009 | ||||||
Gildan Activewear, Inc.
|
1,155 | 31,231 | ||||||
Hibbett Sports, Inc.
|
1,915 | 71,736 | ||||||
Kona Grill, Inc.
|
3,566 | 20,576 | ||||||
Makemytrip Ltd.
|
2,982 | 56,658 | ||||||
Morgans Hotel Group
|
5,031 | 34,563 | ||||||
Netflix, Inc.
|
750 | 176,258 | ||||||
Nutrisystem, Inc.
|
3,430 | 43,870 | ||||||
Overstock.com, Inc.
|
2,649 | 27,735 | ||||||
Ralph Lauren Corp.
|
277 | 37,979 | ||||||
ReachLocal, Inc.
|
23,328 | 339,422 | ||||||
Tesla Motors, Inc.
|
2,556 | 63,235 | ||||||
True Religion Apparel, Inc.
|
1,250 | 38,125 | ||||||
Urban Outfitters, Inc.
|
2,441 | 63,893 | ||||||
US Auto Parts Network, Inc.
|
10,128 | 64,009 | ||||||
Whirlpool Corp.
|
1,440 | 90,274 | ||||||
Zagg, Inc.
|
3,043 | 45,736 | ||||||
Total Consumer Discretionary
|
1,757,550 | |||||||
Consumer Staples - 1.5%
|
||||||||
Calavo Growers, Inc.
|
2,026 | 40,520 | ||||||
Casey’s General Stores, Inc.
|
1,071 | 48,195 | ||||||
Elizabeth Arden, Inc.
|
3,020 | 97,304 | ||||||
Green Mountain Coffee Roasters, Inc.
|
1,120 | 117,309 | ||||||
Heckmann Corp.
|
6,934 | 40,148 | ||||||
J & J Snack Foods Corp.
|
903 | 45,701 | ||||||
Medifast, Inc.
|
6,810 | 111,752 | ||||||
Snyders-Lance, Inc.
|
2,075 | 46,210 | ||||||
Spectrum Brands Holdings, Inc.
|
1,262 | 33,796 | ||||||
Sysco Corp.
|
1,478 | 41,281 | ||||||
United Natural Foods, Inc.
|
947 | 38,514 | ||||||
Total Consumer Staples
|
660,730 | |||||||
SCHEDULE OF SECURITIES SOLD SHORT (Continued)
|
at August 31, 2011 (Unaudited)
|
COMMON STOCKS - 25.0% (Continued)
|
Shares
|
Value
|
||||||
Energy - 1.5%
|
||||||||
Amyris, Inc.
|
18,282 | $ | 366,920 | |||||
ATP Oil & Gas Corp.
|
2,337 | 31,479 | ||||||
Houston American Energy Corp.
|
3,771 | 64,899 | ||||||
KiOR, Inc.
|
4,150 | 57,270 | ||||||
McMoRan Exploration Co.
|
2,472 | 31,815 | ||||||
Northern Oil and Gas, Inc.
|
4,440 | 90,665 | ||||||
Total Energy
|
643,048 | |||||||
Financials - 2.7%
|
||||||||
Asta Funding, Inc.
|
1,694 | 14,162 | ||||||
Capital City Bank Group, Inc.
|
4,339 | 44,128 | ||||||
Centerstate Banks, Inc.
|
7,658 | 45,642 | ||||||
Coresite Realty Corp.
|
4,890 | 78,729 | ||||||
Flagstone Reinsurance Holdings SA
|
7,334 | 52,071 | ||||||
GAMCO Investors, Inc.
|
927 | 45,256 | ||||||
Hancock Holding Co.
|
0.13 | 4 | ||||||
M&T Bank Corp.
|
930 | 70,745 | ||||||
Montpelier Re Holdings Ltd.
|
3,532 | 60,680 | ||||||
Protective Life Corp.
|
10,390 | 197,306 | ||||||
Safeguard Scientifics, Inc.
|
2,114 | 33,909 | ||||||
SCBT Financial Corp.
|
3,088 | 86,618 | ||||||
SEI Investments Co.
|
1,815 | 31,055 | ||||||
T. Rowe Price Group, Inc.
|
1,104 | 59,042 | ||||||
Taylor Capital Group, Inc.
|
10,125 | 65,812 | ||||||
Tejon Ranch Co.
|
1,188 | 32,302 | ||||||
TriCo Bancshares
|
9,855 | 133,338 | ||||||
Validus Holdings Ltd.
|
2,044 | 52,776 | ||||||
Washington Banking Co.
|
8,212 | 91,153 | ||||||
Total Financials
|
1,194,728 | |||||||
Health Care - 5.4%
|
||||||||
Abaxis, Inc.
|
8,570 | 213,136 | ||||||
Acorda Therapeutics, Inc.
|
11,597 | 302,102 | ||||||
Amedisys, Inc.
|
1,477 | 25,065 | ||||||
BioTime, Inc.
|
12,270 | 56,565 | ||||||
DexCom, Inc.
|
6,431 | 77,365 | ||||||
Gilead Sciences, Inc.
|
1,674 | 66,767 | ||||||
Halozyme Therapeutics, Inc.
|
4,693 | 31,912 | ||||||
Heartware International, Inc.
|
522 | 32,787 |
SCHEDULE OF SECURITIES SOLD SHORT (Continued)
|
at August 31, 2011 (Unaudited)
|
COMMON STOCKS - 25.0% (Continued)
|
Shares
|
Value
|
||||||
Health Care - 5.4% (Continued)
|
||||||||
Incyte Corp.
|
9,463 | $ | 152,070 | |||||
Intuitive Surgical, Inc.
|
118 | 44,999 | ||||||
Lincare Holdings, Inc.
|
2,158 | 46,462 | ||||||
MAKO Surgical Corp.
|
3,823 | 137,246 | ||||||
Masimo Corp.
|
1,246 | 30,739 | ||||||
Neogen Corp.
|
1,040 | 36,109 | ||||||
Onyx Pharmaceuticals, Inc.
|
6,860 | 233,446 | ||||||
Quality Systems, Inc.
|
755 | 69,475 | ||||||
Regeneron Pharmaceuticals, Inc.
|
3,190 | 188,306 | ||||||
Seattle Genetics, Inc.
|
8,576 | 149,137 | ||||||
Sequenom, Inc.
|
9,696 | 59,436 | ||||||
SIGA Technologies, Inc.
|
3,423 | 19,648 | ||||||
Usana Health Sciences, Inc.
|
2,240 | 57,658 | ||||||
Valeant Pharmaceuticals International, Inc.
|
1,302 | 58,564 | ||||||
Vascular Solutions, Inc.
|
3,441 | 41,498 | ||||||
ViroPharma, Inc.
|
5,513 | 109,213 | ||||||
Volcano Corp.
|
4,362 | 130,642 | ||||||
Total Health Care
|
2,370,347 | |||||||
Industrials - 1.4%
|
||||||||
Aerovironment, Inc.
|
6,739 | 193,140 | ||||||
Avery Dennison Corp.
|
2,990 | 87,039 | ||||||
Heritage Crystal-Clean, Inc.
|
3,329 | 55,095 | ||||||
Meritor, Inc.
|
8,550 | 72,248 | ||||||
Quality Distribution, Inc.
|
2,771 | 33,862 | ||||||
Spirit Aerosystems Holdings, Inc.
|
4,690 | 78,698 | ||||||
Swift Transportation Co.
|
12,440 | 107,233 | ||||||
Total Industrials
|
627,315 | |||||||
Information Technology - 8.0%
|
||||||||
Accelrys, Inc.
|
3,465 | 22,522 | ||||||
Aixtron SE - ADR
|
2,768 | 62,529 | ||||||
Ancestry.com, Inc.
|
3,181 | 113,594 | ||||||
Arm Holdings PLC - ADR
|
4,562 | 125,820 | ||||||
Blackbaud, Inc.
|
2,124 | 53,185 | ||||||
Cavium, Inc.
|
1,380 | 44,422 | ||||||
Concur Technologies, Inc.
|
1,061 | 44,371 | ||||||
Constant Contact, Inc.
|
9,570 | 183,074 | ||||||
Cornerstone OnDemand, Inc.
|
4,171 | 64,734 |
SCHEDULE OF SECURITIES SOLD SHORT (Continued)
|
at August 31, 2011 (Unaudited)
|
COMMON STOCKS - 25.0% (Continued)
|
Shares
|
Value
|
||||||
Information Technology - 8.0% (Continued)
|
||||||||
Cymer, Inc.
|
14,064 | $ | 569,029 | |||||
DragonWave, Inc.
|
10,970 | 50,462 | ||||||
Fusion-io, Inc.
|
1,726 | 43,219 | ||||||
Lexmark International, Inc.
|
4,650 | 148,614 | ||||||
NVE Corp.
|
2,160 | 142,690 | ||||||
OmniVision Technologies, Inc.
|
7,990 | 147,016 | ||||||
Open Text Corp.
|
6,570 | 387,630 | ||||||
OpenTable, Inc.
|
2,325 | 141,802 | ||||||
Rackspace Hosting, Inc.
|
1,852 | 67,709 | ||||||
Rubicon Technology, Inc.
|
6,658 | 85,788 | ||||||
Salesforce.com, Inc.
|
1,094 | 140,852 | ||||||
SciQuest, Inc.
|
2,454 | 36,736 | ||||||
Solarwinds, Inc.
|
2,731 | 67,647 | ||||||
SouFun Holdings Ltd. - ADR
|
3,709 | 68,060 | ||||||
Spreadtrum Communications, Inc. - ADR
|
7,252 | 128,143 | ||||||
Stratasys, Inc.
|
1,817 | 42,045 | ||||||
Travelzoo, Inc.
|
40 | 1,461 | ||||||
Veeco Instruments, Inc.
|
8,076 | 293,643 | ||||||
Volterra Semiconductor Corp.
|
2,920 | 59,130 | ||||||
Youku.com, Inc. - ADR
|
8,161 | 204,596 | ||||||
Total Information Technology
|
3,540,523 | |||||||
Materials - 0.2%
|
||||||||
Avalon Rare Metals, Inc.
|
14,670 | 66,455 | ||||||
Martin Marietta Materials, Inc.
|
435 | 30,811 | ||||||
Total Materials
|
97,266 | |||||||
Utilities - 0.3%
|
||||||||
Cadiz, Inc.
|
2,912 | 29,295 | ||||||
Northwest Natural Gas Co.
|
734 | 33,191 | ||||||
Ormat Technologies, Inc.
|
1,669 | 28,306 | ||||||
UIL Holdings Corp.
|
1,381 | 46,899 | ||||||
Total Utilities
|
137,691 | |||||||
TOTAL COMMON STOCKS
|
||||||||
(Proceeds $11,781,822)
|
$ | 11,029,198 |
SCHEDULE OF SECURITIES SOLD SHORT (Continued)
|
at August 31, 2011 (Unaudited)
|
EXCHANGE-TRADED FUNDS - 4.2%
|
Shares
|
Value
|
||||||
iShares Barclays 20+ Year Treasury Bond Fund
|
3,000 | $ | 321,090 | |||||
iShares FTSE China 25 Index Fund
|
2,986 | 115,319 | ||||||
iShares Russell 2000 Growth Index Fund
|
8,083 | 671,697 | ||||||
iShares Russell 2000 Index Fund
|
9,144 | 663,763 | ||||||
United States Oil Fund LP
|
2,044 | 70,539 | ||||||
TOTAL EXCHANGE-TRADED FUNDS
|
||||||||
(Proceeds $1,881,754)
|
1,842,408 | |||||||
TOTAL SECURITIES SOLD SHORT
|
||||||||
(Proceeds $13,663,576) - 29.2%
|
$ | 12,871,606 |
SCHEDULE OF OPTIONS WRITTEN
|
at August 31, 2011 (Unaudited)
|
Contracts
|
Value
|
|||||||
CALL OPTIONS
|
||||||||
iShares Russell 2000 Index Fund
|
||||||||
Expiration: October 2011, Exercise Price: $84.00
|
35 | $ | 700 | |||||
VeriFone Systems, Inc.
|
||||||||
Expiration: September 2011, Exercise Price: $36.00
|
28 | 3,640 | ||||||
Total Call Options
|
4,340 | |||||||
PUT OPTIONS
|
||||||||
BJ’s Restaurants, Inc.
|
||||||||
Expiration: October 2011, Exercise Price: $45.00
|
5 | 1,225 | ||||||
iShares Russell 2000 Index Fund
|
||||||||
Expiration: October 2011, Exercise Price: $60.00
|
35 | 3,535 | ||||||
Total Put Options
|
4,760 | |||||||
TOTAL OPTIONS WRITTEN
|
||||||||
(Premiums received $6,695)
|
$ | 9,100 | ||||||
SCHEDULE OF OPEN FUTURES CONTRACTS
|
at August 31, 2011 (Unaudited)
|
Number of
|
||||
Contracts
|
||||
Purchased/
|
Notional
|
Settlement
|
Unrealized
|
|
Description
|
(Sold)
|
Value
|
Month
|
Appreciation
|
S&P 500 E-mini Futures
|
13
|
$791,505
|
September 2011
|
$3,357
|
STATEMENTS OF ASSETS AND LIABILITIES
|
at August 31, 2011 (Unaudited)
|
ASSETS:
|
||||
Investments, at value (cost of $44,230,662)
|
$ | 43,099,242 | ||
Deposits at brokers
|
12,114,269 | |||
Receivables:
|
||||
Securities sold
|
2,445,118 | |||
Capital shares purchased
|
2,617,266 | |||
Dividends and interest
|
20,168 | |||
Variation margin
|
3,156 | |||
Prepaid expenses
|
36,768 | |||
Total assets
|
60,335,987 | |||
LIABILITIES:
|
||||
Options written, at value (proceeds $6,695)
|
9,100 | |||
Securities sold short (proceeds $13,663,576)
|
12,871,606 | |||
Payables:
|
||||
Due to custodian
|
57,515 | |||
Securities purchased
|
3,115,930 | |||
Fund shares purchased
|
29,906 | |||
Dividends on short positions
|
2,584 | |||
Advisory fee
|
37,215 | |||
Administration fee
|
39,620 | |||
Distribution fees
|
5,650 | |||
Custody fees
|
1,177 | |||
Trustees’ fees and expenses
|
12 | |||
Service fees
|
2,614 | |||
Transfer agent fees and expenses
|
22,164 | |||
Accrued expenses and other payables
|
21,394 | |||
Total liabilities
|
16,216,487 | |||
NET ASSETS
|
$ | 44,119,500 | ||
Net assets consist of:
|
||||
Paid in capital
|
$ | 45,346,472 | ||
Accumulated net investment loss
|
(146,051 | ) | ||
Accumulated net realized loss on investments
|
(742,423 | ) | ||
Net unrealized appreciation (depreciation) on:
|
||||
Investments
|
(1,125,151 | ) | ||
Options
|
(6,269 | ) | ||
Securities sold short
|
791,970 | |||
Written options contracts
|
(2,405 | ) | ||
Futures contracts
|
3,357 | |||
Net assets
|
$ | 44,119,500 |
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
|
at August 31, 2011 (Unaudited)
|
Class A:
|
||||
Net assets applicable to outstanding Class A shares
|
$ | 8,877,708 | ||
Shares issued (Unlimited number of beneficial interest
|
||||
authorized, $0.01 par value)
|
371,333 | |||
Net asset value and redemption price per share
|
$ | 23.91 | ||
Maximum offering price per share
|
||||
(net asset value divided by 95.00%)
|
$ | 25.17 | ||
Class C:
|
||||
Net assets applicable to outstanding Class C shares
|
$ | 2,730,810 | ||
Shares issued (Unlimited number of beneficial interest
|
||||
authorized, $0.01 par value)
|
114,624 | |||
Net asset value, offering price and redemption price per share*
|
$ | 23.82 | ||
Class I:
|
||||
Net assets applicable to outstanding Class I shares
|
$ | 32,510,982 | ||
Shares issued (Unlimited number of beneficial interest
|
||||
authorized, $0.01 par value)
|
1,358,174 | |||
Net asset value, offering price and redemption price per share
|
$ | 23.94 |
STATEMENT OF OPERATIONS
|
For the Period Ended August 31, 2011* (Unaudited)
|
INVESTMENT INCOME:
|
||||
Dividends (net of foreign taxes withheld of $97)
|
$ | 38,401 | ||
Interest
|
731 | |||
Total investment income
|
39,132 | |||
EXPENSES:
|
||||
Investment advisory fees (Note 5)
|
133,669 | |||
Administration fees (Note 5)
|
66,023 | |||
Distribution fees (Note 6)
|
||||
Distribution fees - Class A
|
2,938 | |||
Distribution fees - Class C
|
4,397 | |||
Service fees (Note 7)
|
||||
Service fees - Class A
|
1,527 | |||
Service fees - Class C
|
572 | |||
Service fees - Class I
|
2,938 | |||
Transfer agent fees and expenses
|
37,081 | |||
Organizational costs
|
30,000 | |||
Federal and state registration fees
|
19,702 | |||
Interest expense
|
14,044 | |||
Audit fees
|
7,558 | |||
Compliance expense
|
7,269 | |||
Legal fees
|
5,644 | |||
Reports to shareholders
|
3,894 | |||
Trustees’ fees and expenses
|
2,515 | |||
Custody fees
|
2,012 | |||
Other
|
15,002 | |||
Dividends on short sale positions
|
9,408 | |||
Total expenses before reimbursement from advisor
|
366,193 | |||
Expense reimbursement from Advisor
|
(181,010 | ) | ||
Net expenses
|
185,183 | |||
NET INVESTMENT LOSS
|
(146,051 | ) |
STATEMENT OF OPERATIONS (Continued)
|
For the Period Ended August 31, 2011* (Unaudited)
|
Realized and unrealized gain (loss) on investments:
|
||||
Net realized gain (loss) on transactions from:
|
||||
Investments
|
$ | (625,075 | ) | |
Options
|
(1,947 | ) | ||
Securities sold short
|
347,218 | |||
Written options contracts
|
5,573 | |||
Futures contracts
|
(468,192 | ) | ||
Net change in unrealized appreciation (depreciation) on:
|
||||
Investments
|
(1,125,151 | ) | ||
Options
|
(6,269 | ) | ||
Securities sold short
|
791,970 | |||
Written options contracts
|
(2,405 | ) | ||
Futures contracts
|
3,357 | |||
Net realized and unrealized loss on investments
|
(1,080,921 | ) | ||
Net decrease in net assets resulting from operations
|
$ | (1,226,972 | ) |
STATEMENTS OF CHANGES IN NET ASSETS
|
Period Ended
|
||||
August 31, 2011*
|
||||
(Unaudited)
|
||||
OPERATIONS:
|
||||
Net investment loss
|
$ | (146,051 | ) | |
Net realized loss on investments
|
(742,423 | ) | ||
Net change in unrealized appreciation
|
||||
(depreciation) on investments
|
(338,498 | ) | ||
Net decrease in net assets
|
||||
resulting from operations
|
(1,226,972 | ) | ||
CAPITAL SHARE TRANSACTIONS:
|
||||
Proceeds from shares sold
|
||||
Class A shares
|
9,286,203 | |||
Class C shares
|
2,810,881 | |||
Class I shares
|
34,010,456 | |||
Cost of shares redeemed
|
||||
Class A shares
|
(212,565 | ) | ||
Class C shares
|
(4,310 | ) | ||
Class I shares
|
(548,165 | ) | ||
Redemption fees retained
|
||||
Class A shares
|
1,892 | |||
Class C shares
|
43 | |||
Class I shares
|
2,037 | |||
Net increase in net assets from capital share transactions
|
45,346,472 | |||
Total increase in net assets
|
44,119,500 | |||
NET ASSETS:
|
||||
Beginning of period
|
— | |||
End of period
|
$ | 44,119,500 | ||
Accumulated net investment loss
|
$ | (146,051 | ) | |
CHANGES IN SHARES OUTSTANDING:
|
||||
Shares sold
|
||||
Class A shares
|
380,050 | |||
Class C shares
|
114,797 | |||
Class I shares
|
1,381,304 | |||
Shares redeemed
|
||||
Class A shares
|
(8,717 | ) | ||
Class C shares
|
(173 | ) | ||
Class I shares
|
(23,130 | ) | ||
Net increase in shares outstanding
|
1,844,131 |
STATEMENT OF CASH FLOWS
|
For the Period Ended August 31, 2011* (Unaudited)
|
Increase (decrease) in cash –
|
||||
Cash flows from operating activities:
|
||||
Net decrease in net assets from operations
|
$ | (1,226,972 | ) | |
Adjustments to reconcile net increase (decrease) in net assets
|
||||
from operations to net cash used in operating activities:
|
||||
Purchases of investments
|
(41,233,184 | ) | ||
Proceeds for dispositions of investment securities
|
6,903,298 | |||
Purchase of short term investments, net
|
(10,527,798 | ) | ||
Increase in deposits at broker
|
(12,114,269 | ) | ||
Increase in dividends and interest receivable
|
(20,168 | ) | ||
Increase in receivable for securities sold
|
(2,445,118 | ) | ||
Increase in variation margin receivable
|
(3,156 | ) | ||
Increase in prepaid expenses and other assets
|
(36,768 | ) | ||
Increase in options written
|
9,100 | |||
Increase in proceeds on securities sold short
|
12,871,606 | |||
Increase in due to custodian
|
57,515 | |||
Increase in payable for securities purchased
|
3,115,930 | |||
Increase in payable for dividends on short positions
|
2,584 | |||
Increase in accrued management fees
|
37,215 | |||
Increase in accrued administration fees
|
39,620 | |||
Increase in distribution and service fees
|
8,264 | |||
Increase in custody fees
|
1,177 | |||
Increase in transfer agent expenses
|
22,164 | |||
Increase in other accrued expenses
|
21,406 | |||
Unrealized depreciation on securities
|
1,131,420 | |||
Net realized loss on investments
|
627,022 | |||
Net cash used in operating activities
|
(42,759,112 | ) | ||
Cash flows from financing activities:
|
||||
Proceeds from shares sold
|
43,490,274 | |||
Payment on shares redeemed
|
(731,162 | ) | ||
Net cash provided by financing activities
|
42,759,112 | |||
Net increase in cash
|
— | |||
Cash:
|
||||
Beginning balance
|
— | |||
Ending balance
|
$ | — | ||
Supplemental information:
|
||||
Cash paid for interest
|
$ | 14,044 |
FINANCIAL HIGHLIGHTS
|
March 31, 2011
|
||||
through
|
||||
August 31, 2011*
|
||||
(Unaudited)
|
||||
Net Asset Value – Beginning of Period
|
$ | 25.00 | ||
Income from Investment Operations:
|
||||
Net investment income (loss)
|
(0.08 | ) | ||
Net realized and unrealized gain (loss) on investments
|
(1.01 | ) | ||
Total from investment operations
|
(1.09 | ) | ||
Less Distributions:
|
||||
Dividends from net investment income
|
— | |||
Distributions from net realized gains
|
— | |||
Total distributions
|
— | |||
Net Asset Value - End of Period
|
$ | 23.91 | ||
Total Return
|
-4.36 | %+ | ||
Ratios and Supplemental Data:
|
||||
Net assets, end of period (thousands)
|
8,878 | |||
Ratio of operating expenses to average net assets:
|
||||
Before Reimbursements
|
6.03
|
%^ | ||
After Reimbursements
|
3.35
|
%^ | ||
Ratio of interest expense and dividends on short positions
|
||||
to average net assets:
|
0.40
|
%^ | ||
Ratio of operating expenses excluding interest expense and
|
||||
dividend payments on short positions to average net assets:
|
||||
Before Reimbursements
|
5.63
|
%^ | ||
After Reimbursements
|
2.95
|
%^ | ||
Ratio of net investment loss to average net assets:
|
||||
Before Reimbursements
|
(5.34
|
)%^ | ||
After Reimbursements
|
(2.66
|
)%^ | ||
Portfolio turnover rate
|
63 | %+ |
*
|
Commencement of operations for Class A shares was March 31, 2011.
|
+
|
Not Annualized
|
^
|
Annualized
|
FINANCIAL HIGHLIGHTS (Continued)
|
March 31, 2011
|
||||
through
|
||||
August 31, 2011*
|
||||
(Unaudited)
|
||||
Net Asset Value – Beginning of Period
|
$ | 25.00 | ||
Income from Investment Operations:
|
||||
Net investment income (loss)
|
(0.13 | ) | ||
Net realized and unrealized gain (loss) on investments
|
(1.05 | ) | ||
Total from investment operations
|
(1.18 | ) | ||
Less Distributions:
|
||||
Dividends from net investment income
|
— | |||
Distributions from net realized gains
|
— | |||
Total distributions
|
— | |||
Net Asset Value - End of Period
|
$ | 23.82 | ||
Total Return
|
-4.72 | %+ | ||
Ratios and Supplemental Data:
|
||||
Net assets, end of period (thousands)
|
$ | 2,731 | ||
Ratio of operating expenses to average net assets:
|
||||
Before Reimbursements
|
9.04
|
%^ | ||
After Reimbursements
|
4.08
|
%^ | ||
Ratio of interest expense and dividends on short positions
|
||||
to average net assets:
|
0.38
|
%^ | ||
Ratio of operating expenses excluding interest expenses and
|
||||
dividend payments on short positions to average net assets:
|
||||
Before Reimbursements
|
8.66
|
%^ | ||
After Reimbursements
|
3.70
|
%^ | ||
Ratio of net investment loss to average net assets:
|
||||
Before Reimbursements
|
(8.42
|
)%^ | ||
After Reimbursements
|
(3.46
|
)%^ | ||
Portfolio turnover rate
|
63 | %+ |
*
|
Commencement of operations for Class C shares was March 31, 2011.
|
+
|
Not Annualized
|
^
|
Annualized
|
FINANCIAL HIGHLIGHTS (Continued)
|
March 31, 2011
|
||||
through
|
||||
August 31, 2011*
|
||||
(Unaudited)
|
||||
Net Asset Value - Beginning of Period
|
$ | 25.00 | ||
Income from Investment Operations:
|
||||
Net investment income (loss)
|
(0.07 | ) | ||
Net realized and unrealized gain (loss) on investments
|
(0.99 | ) | ||
Total from investment operations
|
(1.06 | ) | ||
Less Distributions:
|
||||
Dividends from net investment income
|
— | |||
Distributions from net realized gains
|
— | |||
Total distributions
|
— | |||
Net Asset Value - End of Period
|
$ | 23.94 | ||
Total Return
|
-4.24 | %+ | ||
Ratios and Supplemental Data:
|
||||
Net assets, end of period (thousands)
|
$ | 32,512 | ||
Ratio of operating expenses to average net assets:
|
||||
Before Reimbursements
|
6.09
|
%^ | ||
After Reimbursements
|
3.05
|
%^ | ||
Ratio of interest expense and dividends on short positions
|
||||
to average net assets:
|
0.41
|
%^ | ||
Ratio of operating expenses excluding interest expenses and
|
||||
dividend payments on short positions to average net assets:
|
||||
Before Reimbursements
|
5.68
|
%^ | ||
After Reimbursements
|
2.64
|
%^ | ||
Ratio of net investment loss to average net assets:
|
||||
Before Reimbursements
|
(5.41
|
)%^ | ||
After Reimbursements
|
(2.37
|
)%^ | ||
Portfolio turnover rate
|
63 | %+ |
*
|
Commencement of operations for Class I shares was March 31, 2011.
|
+
|
Not Annualized
|
^
|
Annualized
|
NOTES TO FINANCIAL STATEMENTS
|
August 31, 2011 (Unaudited)
|
A.
|
Security Valuation: All investments in securities are recorded at their estimated fair value, as described in note 3.
|
B.
|
Federal Income Taxes: It is the Fund’s policy to comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Therefore, no Federal income or excise tax provision is required.
|
C.
|
Securities Transactions, Income and Distributions: Securities transactions are accounted for on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost. Interest income is recorded on an accrual basis. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Withholding taxes on foreign dividends have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates.
|
NOTES TO FINANCIAL STATEMENTS (Continued)
|
August 31, 2011 (Unaudited)
|
D.
|
Use of Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets during the reporting period. Actual results could differ from those estimates.
|
E.
|
Redemption Fees: The Fund charges a 1% redemption fee to shareholders who redeem shares held for 60 days or less. Such fees are retained by the Fund and accounted for as an addition to paid-in capital.
|
F.
|
Options Transactions: The Fund may utilize options for hedging purposes as well as direct investment. Some options strategies, including buying puts, tend to hedge the Fund’s investments against price fluctuations. Other strategies, such as writing puts and calls and buying calls, tend to increase market exposure. Options contracts may be combined with each other in order to adjust the risk and return characteristics of the Fund’s overall strategy in a manner deemed appropriate to the Advisor and consistent with the Fund’s investment objective and policies. When a call or put option is written, an amount equal to the premium received is recorded as a liability. The liability is marked-to-market daily to reflect the current fair value of the option written. When an option written expires, a gain is realized in the amount of the premium originally received. If a closing purchase contract is entered into, a gain or loss is realized in the amount of the original premium less the cost of the closing transaction. If a written call option is exercised, a gain or loss is realized from the sale of the underlying security, and the proceeds from such sale are increased by the premium originally received. If a written option is exercised, the amount of the premium originally received reduces the cost of the security which is purchased upon the exercise of the option.
|
NOTES TO FINANCIAL STATEMENTS (Continued)
|
August 31, 2011 (Unaudited)
|
G.
|
Futures Contracts and Options on Futures Contracts: The Fund is subject to equity price risk, interest rate risk, and foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The Fund uses futures contracts and options on such futures contracts, to gain exposure to, or hedge against changes in the value of equities, interest rates or foreign currencies. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. Upon entering into such contracts, the Fund is required to deposit with the broker, either in cash or securities, an initial margin deposit in an amount equal to a certain percentage of the contract amount. Subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gains or losses by the Fund. Upon entering into such contracts, the Fund bears the risk of interest or exchange rates or securities prices moving unexpectedly, in which case, the Fund may not achieve the anticipated benefits of the futures contracts and may realize a loss. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. The use of futures contracts, and options on futures contracts, involves the risk of imperfect correlation in movements in the price of futures contracts and options thereon, interest rates and the underlying hedged assets.
|
H.
|
Leverage and Short Sales: The Fund may use leverage in connection with its investment activities and may effect short sales of securities. Leverage can increase the investment returns of the Fund if the securities purchased increase in value in an amount exceeding the cost of the borrowing. However, if the securities decrease in value, the Fund will suffer a greater loss than would have resulted without the use of leverage. A short sale is the sale by the Fund of a security which it does not own in anticipation of purchasing the same security in the future at a lower price to close the short position. A short sale will be successful if the price of the shorted security decreases. However, if the underlying security goes up in price during the period in which the short position is outstanding, the Fund will realize a loss. The risk on a short sale is unlimited because the Fund must buy
|
NOTES TO FINANCIAL STATEMENTS (Continued)
|
August 31, 2011 (Unaudited)
|
I.
|
Reclassification of Capital Accounts: Accounting principles generally accepted in the United States of America 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.
|
J.
|
Events Subsequent to the Fiscal Period End: In preparing the financial statements as of August 31, 2011, management considered the impact of subsequent events for potential recognition or disclosure in the financial statements.
|
K.
|
New Accounting Pronouncement: In May 2011, the Financial Accounting Standards Board (“FASB”) issued ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements” in GAAP and the International Financial Reporting Standards (“IFRSs”). ASU No. 2011-04 amends FASB ASC Topic 820, Fair Value Measurements and Disclosures, to establish common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with GAAP and IFRSs. ASU No. 2011-04 is effective for fiscal years beginning after December 15, 2011 and for interim periods within those fiscal years. Management is currently evaluating the impact of these amendments and does not believe they will have a material impact on the Fund’s financial statements.
|
NOTES TO FINANCIAL STATEMENTS (Continued)
|
August 31, 2011 (Unaudited)
|
Level 1 –
|
Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.
|
Level 2 –
|
Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
|
Level 3 –
|
Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
|
NOTES TO FINANCIAL STATEMENTS (Continued)
|
August 31, 2011 (Unaudited)
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Common Stocks
|
||||||||||||||||
Consumer Discretionary
|
$ | 4,411,484 | $ | — | $ | — | $ | 4,411,484 | ||||||||
Consumer Staples
|
75,209 | — | — | 75,209 | ||||||||||||
Energy
|
1,373,565 | — | — | 1,373,565 | ||||||||||||
Financials
|
2,448,552 | — | — | 2,448,552 | ||||||||||||
Health Care
|
3,778,403 | — | — | 3,778,403 | ||||||||||||
Industrials
|
4,545,583 | — | — | 4,545,583 | ||||||||||||
Information Technology
|
8,674,022 | — | — | 8,674,022 | ||||||||||||
Materials
|
1,035,419 | — | — | 1,035,419 | ||||||||||||
Telecommunication Services
|
178,292 | — | — | 178,292 | ||||||||||||
Utilities
|
225,316 | — | — | 225,316 | ||||||||||||
Total Common Stocks
|
26,745,845 | — | — | 26,745,845 | ||||||||||||
Closed-End Funds
|
119,200 | — | — | 119,200 | ||||||||||||
Exchange-Traded Funds
|
5,551,696 | — | — | 5,551,696 | ||||||||||||
Exchange-Traded Notes
|
163,877 | — | — | 163,877 | ||||||||||||
Purchased Options
|
24,485 | — | — | 24,485 | ||||||||||||
Short-Term Investments
|
10,494,139 | — | — | 10,494,139 | ||||||||||||
Total Investments in Securities
|
$ | 43,099,242 | $ | — | $ | — | $ | 43,099,242 | ||||||||
Securities Sold Short
|
$ | 12,871,606 | $ | — | $ | — | $ | 12,871,606 | ||||||||
Written Options
|
$ | 9,100 | $ | — | $ | — | $ | 9,100 | ||||||||
Other Financial Instruments*
|
||||||||||||||||
Long Futures Contracts
|
$ | 3,357 | $ | — | $ | — | $ | 3,357 |
*
|
Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, which are presented at the unrealized appreciation (depreciation) on the instrument.
|
NOTES TO FINANCIAL STATEMENTS (Continued)
|
August 31, 2011 (Unaudited)
|
Number of
|
Premiums
|
|||||||
Contracts
|
Received
|
|||||||
Beginning Balance
|
— | $ | — | |||||
Options written
|
(299 | ) | (17,897 | ) | ||||
Options closed
|
109 | 6,043 | ||||||
Options expired
|
29 | 2,400 | ||||||
Options exercised
|
58 | 2,759 | ||||||
Outstanding at August 31, 2011
|
(103 | ) | $ | (6,695 | ) | |||
NOTES TO FINANCIAL STATEMENTS (Continued)
|
August 31, 2011 (Unaudited)
|
Assets
|
Liabilities
|
|||||||||
Derivatives not
|
||||||||||
accounted for as
|
||||||||||
hedging instruments
|
Fair
|
Fair
|
||||||||
under ASC 815
|
Location
|
Value
|
Location
|
Value
|
||||||
Equity Contracts –
|
Investments,
|
Options written,
|
||||||||
Options
|
at fair value
|
$ | 24,485 |
at value
|
$ | 9,100 | ||||
Net Assets –
|
||||||||||
unrealized
|
||||||||||
appreciation
|
||||||||||
Equity Contracts –
|
on futures
|
|||||||||
Futures*
|
contracts
|
3,357 |
N/A
|
— | ||||||
Total
|
$ | 27,842 | $ | 9,100 |
*
|
Includes cumulative appreciation of futures contracts as reported in the Schedule of Futures Contracts. The current day’s variation margin is reported within the Statement of Assets & Liabilities.
|
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
|
||||||||||||||||
Derivatives not accounted
|
||||||||||||||||
for as hedging instruments
|
Purchased
|
Written
|
||||||||||||||
under ASC 815
|
Options
|
Options
|
Futures
|
Total
|
||||||||||||
Equity Contracts
|
$ | (1,947 | ) | $ | 5,573 | $ | (468,192 | ) | $ | (464,566 | ) | |||||
Total
|
$ | (1,947 | ) | $ | 5,573 | $ | (468,192 | ) | $ | (464,566 | ) | |||||
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
|
||||||||||||||||
Derivatives not accounted for as
|
||||||||||||||||
hedging instruments
|
Purchased
|
Written
|
||||||||||||||
under ASC 815
|
Options
|
Options
|
Futures
|
Total
|
||||||||||||
Equity Contracts
|
$ | (6,269 | ) | $ | (2,405 | ) | $ | 3,357 | $ | (5,317 | ) | |||||
Total
|
$ | (6,269 | ) | $ | (2,405 | ) | $ | 3,357 | $ | (5,317 | ) |
NOTES TO FINANCIAL STATEMENTS (Continued)
|
August 31, 2011 (Unaudited)
|
Class A
|
2.95%
|
Class C
|
3.70%
|
Class I
|
2.64%
|
Year
|
Amount
|
2015
|
$181,010
|
NOTES TO FINANCIAL STATEMENTS (Continued)
|
August 31, 2011 (Unaudited)
|
Administration and fund accounting
|
$66,023
|
Transfer agency(a)
|
$29,650
|
Custody
|
$2,012
|
(a) Does not include out-of-pocket expenses.
|
NOTES TO FINANCIAL STATEMENTS (Continued)
|
August 31, 2011 (Unaudited)
|
Class A
|
Class C
|
Class I
|
$1,527
|
$572
|
$2,938
|
Purchases
|
Sales
|
$41,233,184
|
$6,901,542
|
EXPENSE EXAMPLE
|
August 31, 2011 (Unaudited)
|
EXPENSE EXAMPLE (Continued)
|
August 31, 2011 (Unaudited)
|
Beginning
|
Ending
|
Expenses Paid
|
||||||||||
Account Value
|
Account Value
|
During Period(1)
|
||||||||||
3/31/11
|
8/31/11
|
3/31/11 – 8/31/11
|
||||||||||
Actual(2)
|
||||||||||||
Class A
|
$ | 1,000.00 | $ | 956.40 | $ | 13.70 | ||||||
Class C
|
$ | 1,000.00 | $ | 952.80 | $ | 16.65 | ||||||
Class I
|
$ | 1,000.00 | $ | 957.60 | $ | 12.48 | ||||||
Hypothetical (5% return
|
||||||||||||
before expenses)(3)
|
||||||||||||
Class A
|
$ | 1,000.00 | $ | 1,008.63 | $ | 14.05 | ||||||
Class C
|
$ | 1,000.00 | $ | 1,005.47 | $ | 17.09 | ||||||
Class I
|
$ | 1,000.00 | $ | 1,009.93 | $ | 12.80 |
(1)
|
Expenses are equal to the Class A, Class C and Class I fund shares’ annualized expense ratio of 3.35%, 4.08% and 3.05%, respectively, multiplied by the average account value over the period, multiplied by 153/366 (to reflect the period).
|
(2)
|
Excluding interest expense and dividends on short positions, your actual expenses would be $12.06, $15.10, and $10.80 for Class A, Class C, and Class I, respectively.
|
(3)
|
Excluding interest expense and dividends on short positions, your hypothetical expenses would be $12.38, $15.51, and $11.09 for Class A, Class C, and Class I, respectively.
|
NOTICE TO SHAREHOLDERS
|
at August 31, 2011 (Unaudited)
|
APPROVAL OF INVESTMENT
|
ADVISORY AGREEMENT (Unaudited)
|
APPROVAL OF INVESTMENT
|
ADVISORY AGREEMENT (Unaudited) (Continued)
|
APPROVAL OF INVESTMENT
|
ADVISORY AGREEMENT (Unaudited) (Continued)
|
(a)
|
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.
|
(b)
|
Not Applicable.
|
(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 Investment Company Act of 1940 (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 Securities Exchange Act of 1934. 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 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting.
|
(a)
|
(1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not Applicable.
|
(b)
|
Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith.
|
1.
|
I have reviewed this report on Form N-CSR of Advisors Series Trust;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
|
Date:
|
11/3/11
|
/s/ Douglas G. Hess
|
|
Douglas G. Hess, President
|
1.
|
I have reviewed this report on Form N-CSR of Advisors Series Trust;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
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(d)
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Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
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5.
|
The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
|
Date:
|
11/3/11
|
/s/ Cheryl L. King
|
|
Cheryl L. King, Treasurer
|
/s/ Douglas G. Hess
Douglas G. Hess
President, Advisors Series Trust
|
/s/ Cheryl L. King
Cheryl L. King
Treasurer, Advisors Series Trust
|
Dated: 11/3/11
|
Dated: 11/3/11
|
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