Annualized
|
|||
3-Month
|
1-Year
|
Since Inception*
|
|
GAKAX – Investor Class
|
0.58%
|
2.22%
|
3.42%
|
GAKIX – Institutional Class
|
0.67%
|
2.48%
|
3.82%
|
BofA Merrill Lynch 3-Month T-Bill Index
|
0.03%
|
0.05%
|
0.07%
|
HFRX ED: Merger Arbitrage Index
|
3.21%
|
8.41%
|
4.12%
|
Average Annual Total Return:
|
1 Year
|
Since Inception1
|
Kellner Merger Fund – Investor Class
|
2.22%
|
3.42%
|
Kellner Merger Fund – Institutional Class
|
2.48%
|
3.82%
|
BofA Merrill Lynch 3-month Treasury Bill Index
|
0.05%
|
0.07%
|
HFRX ED: Merger Arbitrage Index
|
8.41%
|
4.12%
|
Beginning
|
Ending
|
Expenses Paid
|
|
Account Value
|
Account Value
|
During Period(1)
|
|
7/1/15
|
12/31/15
|
7/1/15 – 12/31/15
|
|
Actual(2)
|
|||
Investor Class
|
$1,000.00
|
$ 990.80
|
$11.84
|
Institutional Class
|
$1,000.00
|
$ 991.90
|
$10.69
|
Hypothetical (5% return
|
|||
before expenses)(3)
|
|||
Investor Class
|
$1,000.00
|
$1,013.31
|
$11.98
|
Institutional Class
|
$1,000.00
|
$1,014.47
|
$10.82
|
(1)
|
Expenses are equal to the Investor Class and Institutional Class annualized expense ratios of 2.36% and 2.13%, respectively, multiplied by the average account value over the period, multiplied by 184 (days in the most recent fiscal half-year)/365 days to reflect the one-half year expense.
|
(2)
|
Excluding interest expense and dividends on short positions, your actual expenses would be $8.78 and $7.53 for Investor Class and Institutional Class, respectively.
|
(3)
|
Excluding interest expense and dividends on short positions, your hypothetical expenses would be $8.89 and $7.63 for Investor Class and Institutional Class, respectively.
|
Shares
|
COMMON STOCKS – 71.6%
|
Value
|
|||||
Administrative and Support Services – 1.8%
|
|||||||
50,700
|
Baker Hughes, Inc. (c)
|
$
|
2,339,805
|
||||
Broadcasting (except Internet) – 4.4%
|
|||||||
54,000
|
Cablevision Systems Corp. – Class A
|
1,722,600
|
|||||
7,777
|
Sirius XM Holdings, Inc. (a)
|
31,652
|
|||||
21,000
|
Time Warner Cable, Inc.
|
3,897,390
|
|||||
5,651,642
|
|||||||
Chemical Manufacturing – 1.9%
|
|||||||
1
|
Endo International plc (a)(b)
|
61
|
|||||
17,000
|
Perrigo Co. plc (b)
|
2,459,900
|
|||||
2,459,961
|
|||||||
Computer and Electronic
|
|||||||
Product Manufacturing – 13.4%
|
|||||||
540,100
|
Alcatel-Lucent – ADR (a)
|
2,068,583
|
|||||
143,800
|
Broadcom Corp. – Class A (c)
|
8,314,516
|
|||||
151,400
|
EMC Corp. (c)
|
3,887,952
|
|||||
87,600
|
Fairchild Semiconductor International, Inc. (a)
|
1,814,196
|
|||||
0
|
NXP Semiconductors NV (a)(b)
|
28
|
|||||
99,100
|
PMC-Sierra, Inc. (a)
|
1,151,542
|
|||||
17,236,817
|
|||||||
Couriers and Messengers – 1.4%
|
|||||||
218,600
|
TNT Express NV (b)
|
1,850,630
|
|||||
Food Manufacturing – 1.3%
|
|||||||
18,500
|
Keurig Green Mountain, Inc.
|
1,664,630
|
|||||
Health and Personal Care Stores – 0.7%
|
|||||||
116,800
|
Rite Aid Corp. (a)
|
915,712
|
|||||
Insurance Carriers and Related Activities – 20.0%
|
|||||||
51,400
|
Chubb Corp. (c)
|
6,817,696
|
|||||
6,000
|
Cigna Corp.
|
877,980
|
|||||
105,800
|
Health Net, Inc. (a)(c)
|
7,243,068
|
|||||
16,600
|
Humana, Inc.
|
2,963,266
|
|||||
46,900
|
PartnerRe Ltd. (b)(c)
|
6,553,806
|
|||||
12,300
|
StanCorp Financial Group, Inc.
|
1,400,724
|
|||||
25,856,540
|
|||||||
Machinery Manufacturing – 4.1%
|
|||||||
41,200
|
Cameron International Corp. (a)
|
2,603,840
|
|||||
39,600
|
KLA-Tencor Corp.
|
2,746,260
|
|||||
5,350,100
|
Shares
|
COMMON STOCKS – 71.6% (Continued)
|
Value
|
|||||
Management of Companies and Enterprises – 1.4%
|
|||||||
29,000
|
AGL Resources, Inc.
|
$
|
1,850,490
|
||||
Merchant Wholesalers, Durable Goods – 1.1%
|
|||||||
9,900
|
Airgas, Inc.
|
1,369,368
|
|||||
Miscellaneous Store Retailers – 1.1%
|
|||||||
244,100
|
Office Depot, Inc. (a)
|
1,376,724
|
|||||
Pharmaceutical and
|
|||||||
Medicine Manufacturing – 2.3%
|
|||||||
9,600
|
Allergan plc (a)(b)
|
3,000,000
|
|||||
Pipeline Transportation – 1.5%
|
|||||||
75,500
|
The Williams Companies, Inc.
|
1,940,350
|
|||||
Plastics and Rubber Products Manufacturing – 2.0%
|
|||||||
44,000
|
Jarden Corp. (a)
|
2,513,280
|
|||||
Professional, Scientific, and
|
|||||||
Technical Services – 6.4%
|
|||||||
28,000
|
Constant Contact, Inc. (a)
|
818,720
|
|||||
18,000
|
SolarWinds, Inc. (a)
|
1,060,200
|
|||||
115,500
|
Solera Holdings, Inc.
|
6,332,865
|
|||||
8,211,785
|
|||||||
Publishing Industries (except Internet) – 4.4%
|
|||||||
131,100
|
Meredith Corp.
|
5,670,075
|
|||||
Telecommunications – 0.1%
|
|||||||
4,010
|
AT&T, Inc.
|
137,984
|
|||||
Utilities – 2.3%
|
|||||||
112,800
|
Pepco Holdings, Inc.
|
2,933,928
|
|||||
TOTAL COMMON STOCKS (Cost $92,876,005)
|
92,329,821
|
||||||
REITS – 2.1%
|
|||||||
Real Estate – 2.1%
|
|||||||
117,500
|
BioMed Realty Trust, Inc.
|
2,783,575
|
|||||
TOTAL REITS (Cost $2,744,485)
|
2,783,575
|
||||||
RIGHTS – 0.0%
|
|||||||
Hospitals – 0.0%
|
|||||||
6,500
|
Community Health Systems, Inc. (a)(c)
|
58
|
|||||
TOTAL RIGHTS (Cost $0)
|
58
|
Shares
|
MONEY MARKET FUNDS – 22.1%
|
Value
|
|||||
28,485,024
|
Fidelity Institutional Money Market
|
||||||
Portfolio – Class I, 0.28% (d)
|
$
|
28,485,024
|
|||||
TOTAL MONEY MARKET FUNDS
|
|||||||
(Cost $28,485,024)
|
28,485,024
|
||||||
Total Investments in Securities
|
|||||||
(Cost $124,105,514) – 95.8%
|
123,598,478
|
||||||
Other Assets in Excess of Liabilities – 4.2%
|
5,407,397
|
||||||
NET ASSETS – 100.0%
|
$
|
129,005,875
|
(a)
|
Non-income producing security.
|
(b)
|
Foreign issued security.
|
(c)
|
All or a portion of the security has been segregated for open short positions.
|
(d)
|
Rate shown is the 7-day annualized yield as of December 31, 2015.
|
Shares
|
COMMON STOCKS – 30.4%
|
Value
|
|||||
Broadcasting (except Internet) – 5.4%
|
|||||||
31,271
|
Charter Communications, Inc. – Class A (a)
|
$
|
5,725,720
|
||||
76,186
|
Media General, Inc. (a)
|
1,230,404
|
|||||
6,956,124
|
|||||||
Chemical Manufacturing – 3.7%
|
|||||||
24,003
|
Mylan NV (a)(b)
|
1,297,842
|
|||||
108,480
|
Pfizer, Inc.
|
3,501,735
|
|||||
4,799,577
|
|||||||
Computer and Electronic
|
|||||||
Product Manufacturing – 7.1%
|
|||||||
46,479
|
Avago Technologies Ltd.
|
6,746,427
|
|||||
7,640
|
Microsemi Corp. (a)
|
248,987
|
|||||
297,055
|
Nokia OYJ – ADR
|
2,085,326
|
|||||
9,080,740
|
|||||||
Insurance Carriers and Related Activities – 7.3%
|
|||||||
30,937
|
ACE Ltd. (b)
|
3,614,988
|
|||||
13,902
|
Aetna, Inc.
|
1,503,084
|
|||||
65,807
|
Centene Corp. (a)
|
4,330,759
|
|||||
9,448,831
|
|||||||
Machinery Manufacturing – 1.2%
|
|||||||
19,800
|
Lam Research Corp.
|
1,572,516
|
|||||
Miscellaneous Store Retailers – 0.2%
|
|||||||
27,408
|
Staples, Inc.
|
259,554
|
|||||
Plastics and Rubber Products Manufacturing – 1.3%
|
|||||||
37,928
|
Newell Rubbermaid, Inc.
|
1,671,866
|
|||||
Professional, Scientific, and Technical Services – 0.2%
|
|||||||
4,662
|
VMware, Inc. (a)
|
263,729
|
|||||
Support Activities for Mining – 3.1%
|
|||||||
56,784
|
Halliburton Co.
|
1,932,928
|
|||||
29,499
|
Schlumberger Ltd. (b)
|
2,057,555
|
|||||
3,990,483
|
|||||||
Utilities – 0.9%
|
|||||||
84,159
|
Energy Transfer Equity, L.P.
|
1,156,345
|
|||||
TOTAL COMMON STOCKS
|
|||||||
(Proceeds $38,551,774)
|
39,199,765
|
||||||
TOTAL SECURITIES SOLD SHORT
|
|||||||
(Proceeds $38,551,774)
|
$
|
39,199,765
|
(a)
|
Non-income producing security.
|
(b)
|
Foreign issued security.
|
Net
|
||||||||||||||||||
Finan-
|
Termi-
|
Unrealized
|
||||||||||||||||
cing
|
nation
|
Notional
|
Appreciation/
|
Counter-
|
||||||||||||||
Security
|
Rate+
|
Date
|
Shares
|
Amount
|
(Depreciation)*
|
party
|
||||||||||||
LONG TOTAL RETURN SWAP CONTRACTS
|
||||||||||||||||||
Goldman
|
||||||||||||||||||
BG Group PLC
|
0.848%
|
|
7/2/25
|
432,300
|
GBP 4,346,777
|
$
|
(130,648
|
)
|
Sachs & Co.
|
|||||||||
Broadcom Corp. –
|
Goldman
|
|||||||||||||||||
Class A
|
0.620%
|
|
7/3/25
|
89,500
|
$
|
5,191,895
|
(17,005
|
)
|
Sachs & Co.
|
|||||||||
Precision
|
Goldman
|
|||||||||||||||||
Castparts Corp.
|
0.885%
|
|
12/4/25
|
61,300
|
$
|
14,168,269
|
55,783
|
Sachs & Co.
|
||||||||||
Goldman
|
||||||||||||||||||
SABMiller PLC
|
0.974%
|
|
10/29/25
|
29,900
|
GBP 1,219,920
|
(4,630
|
)
|
Sachs & Co.
|
||||||||||
Time Warner
|
Goldman
|
|||||||||||||||||
Cable, Inc.
|
0.620%
|
|
7/3/25
|
43,400
|
$
|
8,031,170
|
55,986
|
Sachs & Co.
|
||||||||||
SHORT TOTAL RETURN SWAP CONTRACTS
|
||||||||||||||||||
Royal Dutch
|
||||||||||||||||||
Shell PLC –
|
Goldman
|
|||||||||||||||||
Class A
|
0.848%
|
|
12/22/25
|
3,264
|
GBP 50,951
|
1,683
|
Sachs & Co.
|
|||||||||||
Royal Dutch
|
||||||||||||||||||
Shell PLC –
|
Goldman
|
|||||||||||||||||
Class B
|
0.848%
|
|
7/2/25
|
192,546
|
GBP 3,040,301
|
102,186
|
Sachs & Co.
|
|||||||||||
$
|
63,355
|
*
|
Based on the swap contract value held at the counterparty, gross unrealized appreciation is an asset and gross unrealized depreciation is a liability on the statement of assets and liabilities.
|
+
|
The fixed rate paid/received by the Fund is based on predetermined notional amounts.
|
ASSETS
|
||||
Investments in securities, at value (identified cost $124,105,514)
|
$
|
123,598,478
|
||
Cash
|
18,905
|
|||
Segregated cash at custodian
|
1,010,000
|
|||
Foreign cash, at value (cost $52)
|
46
|
|||
Deposit at broker for derivative instruments1
|
42,179,386
|
|||
Receivables
|
||||
Dividends and interest
|
71,619
|
|||
Fund shares purchased
|
2,035,543
|
|||
Unrealized appreciation on open swap contracts
|
215,638
|
|||
Prepaid expenses
|
17,970
|
|||
Total assets
|
169,147,585
|
|||
LIABILITIES
|
||||
Securities sold short (proceeds $38,551,774)
|
39,199,765
|
|||
Payables
|
||||
Unrealized depreciation on open swap contracts
|
152,283
|
|||
Securities purchased
|
286,608
|
|||
Fund shares redeemed
|
247,715
|
|||
Dividends on short positions
|
43,203
|
|||
Due to advisor
|
119,749
|
|||
Administration and fund accounting fees
|
37,232
|
|||
Transfer agent fees and expenses
|
15,176
|
|||
Audit fees
|
20,700
|
|||
Chief Compliance Officer fee
|
2,260
|
|||
Custody fees
|
3,028
|
|||
Legal fees
|
2,366
|
|||
12b-1 distribution fees
|
6,615
|
|||
Reports to shareholders
|
4,971
|
|||
Accrued other expenses
|
39
|
|||
Total liabilities
|
40,141,710
|
|||
NET ASSETS
|
$
|
129,005,875
|
CALCULATION OF NET ASSET VALUE PER SHARE
|
||||
Investor Class Shares
|
||||
Net assets applicable to shares outstanding
|
$
|
10,881,893
|
||
Shares issued and outstanding
|
||||
[unlimited number of shares (par value $0.01) authorized]
|
1,056,491
|
|||
Net asset value, offering and redemption price per share
|
$
|
10.30
|
||
Institutional Class Shares
|
||||
Net assets applicable to shares outstanding
|
$
|
118,123,982
|
||
Shares issued and outstanding
|
||||
[unlimited number of shares (par value $0.01) authorized]
|
11,305,568
|
|||
Net asset value, offering and redemption price per share
|
$
|
10.45
|
||
COMPONENTS OF NET ASSETS
|
||||
Paid-in capital
|
$
|
131,502,197
|
||
Undistributed net investment loss
|
(63,355
|
)
|
||
Accumulated net realized loss on investments, foreign currency, options,
|
||||
securities sold short and swap contracts
|
(1,363,380
|
)
|
||
Net unrealized appreciation/(depreciation) on:
|
||||
Investments
|
(507,036
|
)
|
||
Foreign currency
|
22,085
|
|||
Securities sold short
|
(647,991
|
)
|
||
Swap contracts
|
63,355
|
|||
Net unrealized depreciation on investments, foreign currency,
|
||||
securities sold short and swap contracts
|
(1,069,587
|
)
|
||
Net assets
|
$
|
129,005,875
|
INVESTMENT INCOME
|
||||
Income
|
||||
Dividends (net of foreign taxes withheld and
|
||||
issuance fees of $3,275 and $502, respectively)
|
$
|
831,508
|
||
Interest
|
15,848
|
|||
Total income
|
847,356
|
|||
Expenses
|
||||
Advisory fees (Note 4)
|
1,104,532
|
|||
Administration and fund accounting fees (Note 4)
|
125,677
|
|||
Transfer agent fees and expenses (Note 4)
|
55,518
|
|||
Registration fees
|
37,592
|
|||
Audit fees
|
20,700
|
|||
Custody fees (Note 4)
|
14,175
|
|||
Legal fees
|
12,975
|
|||
12b-1 distribution fees – Investor Class (Note 5)
|
11,517
|
|||
Printing and mailing expense
|
10,767
|
|||
Trustee fees
|
10,162
|
|||
Chief Compliance Officer fee (Note 4)
|
9,011
|
|||
Miscellaneous
|
8,004
|
|||
Total expenses before dividends and interest on short positions
|
1,420,630
|
|||
Dividends expense on short positions
|
512,129
|
|||
Interest expense
|
170,029
|
|||
Total expenses before expense waiver by Advisor
|
2,102,788
|
|||
Less: expenses waived by Advisor (Note 4)
|
(83,673
|
)
|
||
Net expenses
|
2,019,115
|
|||
Net investment loss
|
(1,171,759
|
)
|
||
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS,
|
||||
OPTIONS, SECURITIES SOLD SHORT AND SWAP CONTRACTS
|
||||
Net realized gain/(loss) loss on transactions from:
|
||||
Investments
|
718,332
|
|||
Foreign currency
|
(9,664
|
)
|
||
Purchased options
|
(76,824
|
)
|
||
Written options
|
105,042
|
|||
Securities sold short
|
(1,555,297
|
)
|
||
Swap contracts
|
5,507,846
|
|||
Net change in unrealized appreciation/(depreciation) on:
|
||||
Investments
|
(2,839,289
|
)
|
||
Foreign currency
|
22,085
|
|||
Purchased options
|
(15,799
|
)
|
||
Written options
|
(38,618
|
)
|
||
Securities sold short
|
955,775
|
|||
Swap contracts
|
(731,153
|
)
|
||
Net realized and unrealized gain on investments, foreign currency,
|
||||
options, securities sold short and swap contracts
|
2,042,436
|
|||
Net Increase in Net Assets Resulting from Operations
|
$
|
870,677
|
Year Ended
|
Year Ended
|
|||||||
December 31, 2015
|
December 31, 2014
|
|||||||
NET INCREASE/(DECREASE) IN NET ASSETS FROM:
|
||||||||
OPERATIONS
|
||||||||
Net investment loss
|
$
|
(1,171,759
|
)
|
$
|
(426,295
|
)
|
||
Net realized gain/(loss) on transactions from:
|
||||||||
Investments
|
718,332
|
503,078
|
||||||
Foreign currency
|
(9,664
|
)
|
226,618
|
|||||
Purchased options
|
(76,824
|
)
|
(262
|
)
|
||||
Written options
|
105,042
|
74,665
|
||||||
Securities sold short
|
(1,555,297
|
)
|
(666,878
|
)
|
||||
Swap contracts
|
5,507,846
|
36,059
|
||||||
Net change in unrealized appreciation/(depreciation) on:
|
||||||||
Investments
|
(2,839,289
|
)
|
2,147,845
|
|||||
Foreign currency
|
22,085
|
—
|
||||||
Purchased options
|
(15,799
|
)
|
15,799
|
|||||
Written options
|
(38,618
|
)
|
38,447
|
|||||
Securities sold short
|
955,775
|
(1,462,126
|
)
|
|||||
Swap contracts
|
(731,153
|
)
|
794,508
|
|||||
Net increase in net assets
|
||||||||
resulting from operations
|
870,677
|
1,281,458
|
||||||
DISTRIBUTIONS TO SHAREHOLDERS
|
||||||||
From net investment income
|
||||||||
Investor Class Shares
|
(15,951
|
)
|
—
|
|||||
Institutional Class Shares
|
(160,626
|
)
|
—
|
|||||
From net realized gain on investments
|
||||||||
Investor Class Shares
|
(359,059
|
)
|
(14,482
|
)
|
||||
Institutional Class Shares
|
(3,583,610
|
)
|
(581,946
|
)
|
||||
Total distributions to shareholders
|
(4,119,246
|
)
|
(596,428
|
)
|
||||
CAPITAL SHARE TRANSACTIONS
|
||||||||
Net increase in net assets derived from net change
|
||||||||
in outstanding shares (a)
|
77,679,379
|
49,520,284
|
||||||
Total increase in net assets
|
74,430,810
|
50,205,314
|
||||||
NET ASSETS
|
||||||||
Beginning of year
|
54,575,065
|
4,369,751
|
||||||
End of year
|
$
|
129,005,875
|
$
|
54,575,065
|
||||
Includes undistributed net investment loss of
|
$
|
(63,355
|
)
|
$
|
(601,248
|
)
|
Year Ended
|
Year Ended
|
|||||||||||||||
December 31, 2015
|
December 31, 2014
|
|||||||||||||||
Shares
|
Paid-in Capital
|
Shares
|
Paid-in Capital
|
|||||||||||||
Investor Class Shares
|
||||||||||||||||
Shares sold
|
1,179,509
|
$
|
12,690,464
|
720,835
|
$
|
7,474,179
|
||||||||||
Shares issued on reinvestments
|
||||||||||||||||
of distributions
|
35,860
|
368,643
|
1,409
|
14,482
|
||||||||||||
Shares redeemed
|
(284,677
|
)
|
(3,010,571
|
)
|
(923,765
|
)
|
(9,617,160
|
)
|
||||||||
Net increase/(decrease)
|
930,692
|
$
|
10,048,536
|
(201,521
|
)
|
$
|
(2,128,499
|
)
|
||||||||
Year Ended
|
Year Ended
|
|||||||||||||||
December 31, 2015
|
December 31, 2014
|
|||||||||||||||
Shares
|
Paid-in Capital
|
Shares
|
Paid-in Capital
|
|||||||||||||
Institutional Class Shares
|
||||||||||||||||
Shares sold
|
10,518,887
|
$
|
113,475,280
|
5,337,527
|
$
|
55,719,659
|
||||||||||
Shares issued on reinvestments
|
||||||||||||||||
of distributions
|
333,899
|
3,479,227
|
52,341
|
544,348
|
||||||||||||
Shares redeemed
|
(4,595,714
|
)
|
(49,323,664
|
)
|
(441,480
|
)
|
(4,615,224
|
)
|
||||||||
Net increase
|
6,257,072
|
$
|
67,630,843
|
4,948,388
|
$
|
51,648,783
|
Increase/(decrease) in cash—
|
||||
Cash flows from operating activities:
|
||||
Net increase in net assets from operations
|
$
|
870,677
|
||
Adjustments to reconcile net increase/(decrease) in
|
||||
net assets from operations to net cash used in operating activities:
|
||||
Purchases of investment securities
|
(276,615,145
|
)
|
||
Proceeds from sale of investment securities
|
168,719,999
|
|||
Proceeds from short sales
|
88,036,153
|
|||
Closed short sale transactions
|
(52,367,877
|
)
|
||
Proceeds from written options
|
221,589
|
|||
Closed options
|
(18,508
|
)
|
||
Purchase of short term investments, net
|
(15,802,314
|
)
|
||
Decrease in unrealized appreciation on open swap contracts
|
578,870
|
|||
Increase in foreign currency
|
(46
|
)
|
||
Increase in deposits at broker
|
(25,256,535
|
)
|
||
Increase in dividends and interest receivable
|
(21,228
|
)
|
||
Decrease in receivable for securities sold
|
61,766
|
|||
Decrease in prepaid expenses and other assets
|
5,339
|
|||
Increase in due to Advisor
|
73,321
|
|||
Decrease in due to broker/custodian
|
(131
|
)
|
||
Increase in payable for securities purchased
|
286,608
|
|||
Increase in payable for dividends on short positions
|
4,965
|
|||
Increase in unrealized depreciation on open swap contracts
|
152,283
|
|||
Increase in accrued administration fees
|
12,389
|
|||
Increase in 12b-1 distribution and service fees
|
2,539
|
|||
Increase in custody fees
|
1,367
|
|||
Increase in transfer agent expenses
|
3,685
|
|||
Increase in other accrued expenses
|
1,296
|
|||
Net realized loss on investments
|
808,994
|
|||
Unrealized depreciation on securities
|
1,937,931
|
|||
Return of capital
|
(9,897
|
)
|
||
Proceeds received through mergers
|
37,631,791
|
|||
Net cash used in operating activities
|
(70,680,119
|
)
|
||
Cash flows from financing activities:
|
||||
Proceeds from shares sold
|
124,130,285
|
|||
Payment on shares redeemed
|
(52,149,998
|
)
|
||
Distributions paid in cash
|
(271,263
|
)
|
||
Net cash provided by financing activities
|
71,709,024
|
|||
Net increase in cash
|
1,028,905
|
|||
Cash:
|
||||
Beginning balance
|
—
|
|||
Ending balance
|
$
|
1,028,905
|
||
Supplemental information:
|
||||
Non-cash financing activities not included herein consists of dividend
|
||||
reinvestment of dividends and distributions
|
$
|
3,847,870
|
||
Cash paid for interest
|
$
|
170,029
|
Investor Class Shares
|
||||||||||||||||
May 1,
|
June 29,
|
|||||||||||||||
2013
|
2012**
|
|
||||||||||||||
Year Ended
|
Year Ended
|
through
|
through
|
|||||||||||||
December 31,
|
December 31,
|
December 31,
|
April 30,
|
|||||||||||||
2015
|
2014
|
2013*
|
|
2013
|
||||||||||||
Net asset value,
|
||||||||||||||||
beginning of period
|
$
|
10.43
|
$
|
10.21
|
$
|
10.29
|
$
|
10.00
|
||||||||
Income from investment operations:
|
||||||||||||||||
Net investment loss^
|
(0.15
|
)
|
(0.13
|
)
|
(0.04
|
)
|
(0.12
|
)
|
||||||||
Net realized and unrealized
|
||||||||||||||||
gain on investments
|
0.38
|
0.47
|
0.40
|
0.41
|
||||||||||||
Total from investment operations
|
0.23
|
0.34
|
0.36
|
0.29
|
||||||||||||
Less distributions:
|
||||||||||||||||
From net investment income
|
(0.02
|
)
|
—
|
—
|
—
|
|||||||||||
From net realized
|
||||||||||||||||
gain on investments
|
(0.34
|
)
|
(0.12
|
)
|
(0.44
|
)
|
—
|
|||||||||
Total distributions
|
(0.36
|
)
|
(0.12
|
)
|
(0.44
|
)
|
—
|
|||||||||
Net asset value, end of period
|
$
|
10.30
|
$
|
10.43
|
$
|
10.21
|
$
|
10.29
|
||||||||
Total return
|
2.22
|
%
|
3.31
|
%
|
3.54
|
%+
|
2.90
|
%+
|
||||||||
Ratios/supplemental data:
|
||||||||||||||||
Net assets, end of period (thousands)
|
$
|
10,882
|
$
|
1,312
|
$
|
3,343
|
$
|
3,197
|
||||||||
Ratio of expenses to average net assets:
|
||||||||||||||||
Before fee waivers and
|
||||||||||||||||
expense reimbursement
|
2.51
|
%
|
4.75
|
%
|
8.29
|
%++
|
9.23
|
%++
|
||||||||
After fee waivers and
|
||||||||||||||||
expense reimbursement
|
2.44
|
%
|
2.87
|
%
|
3.00
|
%++
|
2.50
|
%++
|
||||||||
Ratio of net investment loss
|
||||||||||||||||
to average net assets:
|
||||||||||||||||
Before fee waivers and
|
||||||||||||||||
expense reimbursement
|
(1.44
|
%)
|
(3.15
|
%)
|
(5.81
|
%)++
|
(8.20
|
%)++
|
||||||||
After fee waivers and
|
||||||||||||||||
expense reimbursement
|
(1.37
|
%)
|
(1.27
|
%)
|
(0.52
|
%)++
|
(1.47
|
%)++
|
||||||||
Portfolio turnover rate
|
228.64
|
%
|
214.06
|
%
|
143.51
|
%+
|
37.59
|
%+
|
*
|
Effective September 19, 2013, the Fund changed its fiscal year end from April 30 to December 31.
|
|
**
|
Commencement of operations.
|
|
^
|
Based on average shares outstanding.
|
|
+
|
Not annualized.
|
|
++
|
Annualized.
|
May 1,
|
June 29,
|
|||||||||||||||
2013
|
2012**
|
|
||||||||||||||
Year Ended
|
Year Ended
|
through
|
through
|
|||||||||||||
December 31,
|
December 31,
|
December 31,
|
April 30,
|
|||||||||||||
2015
|
2014
|
2013*
|
|
2013
|
||||||||||||
Net asset value,
|
||||||||||||||||
beginning of period
|
$
|
10.55
|
$
|
10.25
|
$
|
10.31
|
$
|
10.00
|
||||||||
Income from investment operations:
|
||||||||||||||||
Net investment loss^
|
(0.14
|
)
|
(0.14
|
)
|
(0.02
|
)
|
(0.06
|
)
|
||||||||
Net realized and unrealized
|
||||||||||||||||
gain on investments
|
0.40
|
0.56
|
0.40
|
0.37
|
||||||||||||
Total from investment operations
|
0.26
|
0.42
|
0.38
|
0.31
|
||||||||||||
Less distributions:
|
||||||||||||||||
From net investment income
|
(0.02
|
)
|
—
|
—
|
—
|
|||||||||||
From net realized
|
||||||||||||||||
gain on investments
|
(0.34
|
)
|
(0.12
|
)
|
(0.44
|
)
|
—
|
|||||||||
Total distributions
|
(0.36
|
)
|
(0.12
|
)
|
(0.44
|
)
|
—
|
|||||||||
Net asset value, end of period
|
$
|
10.45
|
$
|
10.55
|
$
|
10.25
|
$
|
10.31
|
||||||||
Total return
|
2.48
|
%
|
4.08
|
%
|
3.73
|
%+
|
3.20
|
%+
|
||||||||
Ratios/supplemental data:
|
||||||||||||||||
Net assets, end of period (thousands)
|
$
|
118,124
|
$
|
53,263
|
$
|
1,027
|
$
|
1,100
|
||||||||
Ratio of expenses to average net assets:
|
||||||||||||||||
Before fee waivers and
|
||||||||||||||||
expense reimbursement
|
2.38
|
%
|
3.00
|
%
|
8.03
|
%++
|
7.50
|
%++
|
||||||||
After fee waivers and
|
||||||||||||||||
expense reimbursement
|
2.28
|
%
|
2.59
|
%
|
2.76
|
%++
|
2.04
|
%++
|
||||||||
Ratio of net investment loss
|
||||||||||||||||
to average net assets:
|
||||||||||||||||
Before fee waivers and
|
||||||||||||||||
expense reimbursement
|
(1.42
|
%)
|
(1.74
|
%)
|
(5.53
|
%)++
|
(6.18
|
%)++
|
||||||||
After fee waivers and
|
||||||||||||||||
expense reimbursement
|
(1.32
|
%)
|
(1.33
|
%)
|
(0.26
|
%)++
|
(0.72
|
%)++
|
||||||||
Portfolio turnover rate
|
228.64
|
%
|
214.06
|
%
|
143.51
|
%+
|
37.59
|
%+
|
*
|
Effective September 19, 2013, the Fund changed its fiscal year end from April 30 to December 31.
|
|
**
|
Commencement of operations.
|
|
^
|
Based on average shares outstanding.
|
|
+
|
Not annualized.
|
|
++
|
Annualized.
|
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.
|
|
The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Fund’s tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on the Fund’s return filed for open tax years 2012-2014, or expected to be taken in the Fund’s 2015 tax returns. The Fund identifies its major tax jurisdictions as U.S. Federal and the state of Wisconsin; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.
|
||
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.
|
||
The Fund distributes substantially all net investment income, if any, and net realized capital gains, if any, annually. Distributions from net realized gains for book purposes may include short-term capital gains. All short-term capital gains are included in ordinary income for tax purposes.
|
||
The amount of dividends and distributions to shareholders from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which differs from accounting principles generally accepted in the United States of America. To the extent these book/tax differences are permanent, such amounts are reclassified within the capital accounts based on their Federal tax treatment.
.
|
||
Investment income, expenses (other than those specific to the class of shares), and realized and unrealized gains and losses on investments are allocated to the separate classes of the Fund shares based upon their relative net assets on the date income is earned or expensed and realized and unrealized gains and losses are incurred.
|
||
The Fund and the Kellner Event Fund are each charged for those expenses that are directly attributable to a Fund, such as investment advisory, custody and transfer agent fees. Expenses that are not attributable to a Fund are typically allocated among the Funds in proportion to their respective net assets. Common expenses of the Trust are typically allocated among the funds in the Trust based on a fund’s respective net assets, or by other equitable means.
|
||
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.
|
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.
|
|
For the year ended December 31, 2015, the Fund made the following permanent tax adjustments on the statement of assets and liabilities:
|
Undistributed
|
||||
Net Investment
|
Accumulated Net
|
|||
Income/(Loss)
|
Realized Gain/(Loss)
|
Paid-in Capital
|
||
$1,886,229
|
$(1,885,637)
|
$(592)
|
F.
|
REITs: The Fund has made certain investments in real estate investment trusts (“REITs”) which pay dividends to its shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits resulting in the excess portion of such dividends being designated as a return of capital. The Fund intends to include the gross dividends from such REITs in its annual distributions to its shareholders and, accordingly, a portion of the Fund’s distributions may also be designated as a return of capital.
|
|
G.
|
Foreign Securities: The Fund may invest without limitation in securities of foreign companies. Foreign economies may differ from the U.S. economy and individual foreign companies may differ from domestic companies in the same industry.
|
|
Foreign companies or entities are frequently not subject to accounting and financial reporting standards applicable to domestic companies, and there may be less information available about foreign issuers. Securities of foreign issuers are generally less liquid and more volatile than those of comparable domestic issuers. There is frequently less government regulation of broker-dealers and issuers than in the United States. In addition, investments in foreign countries are subject to the possibility of expropriation, confiscatory taxation, political or social instability or diplomatic developments that could adversely affect the value of those investments.
|
||
H.
|
Leverage and Short Sales: The Fund may use leverage in connection with its investment activities and may affect 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 the shorted security at the higher price to complete the transaction. Therefore, short sales may be subject to greater risks than investments in long positions.
|
With a long position, the maximum sustainable loss is limited to the amount paid for the security plus the transaction costs, whereas there is no maximum attainable price of the shorted security. The Fund would also incur increased transaction costs associated with selling securities short. In addition, if the Fund sells securities short, it must maintain a segregated account with its custodian containing cash or high-grade securities equal to (i) the greater of the current market value of the securities sold short or the market value of such securities at the time they were sold short, less (ii) any collateral deposited with the Fund’s broker (not including the proceeds from the short sales). The Fund may be required to add to the segregated account as the market price of a shorted security increases. As a result of maintaining and adding to its segregated account, the Fund may maintain higher levels of cash or liquid assets (for example, U.S. Treasury bills, repurchase agreements, high quality commercial paper and long equity positions) for collateral needs thus reducing its overall managed assets available for trading purposes. In lieu of maintaining cash or high-grade securities in a segregated account to cover the Fund’s short sale obligations, the Fund may earmark cash or high-grade securities on the Fund’s records or hold offsetting positions.
|
||
I.
|
Derivatives: The Fund has adopted the financial accounting reporting rules as required by the Derivatives and Hedging Topic of the FASB Accounting Standards Codification. The Fund is required to include enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position.
|
|
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 written option. When a written option 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.
|
||
With options, there is minimal counterparty credit risk to the Fund since the options are covered or secured, which means that the Fund will own the underlying security or, to the extent they do not hold such a portfolio, will maintain a segregated account with the Fund’s custodian consisting of high quality liquid debt obligations equal to the market value of the option, marked to market daily.
|
||
Options purchased are recorded as investments and marked-to-market daily to reflect the current fair value of the option contract. If an option purchased expires, a loss is realized in the amount of the cost of the option contract. If a closing transaction is entered into, a gain or loss is realized to the extent that the proceeds from the sale are greater or less than the cost of the option. If a purchase put option is exercised, a gain or loss is realized from the sale of the underlying security by adjusting the proceeds from such sale by the amount of the premium originally paid. If a purchased call option is exercised, the cost of the security purchased upon exercise is increased by the premium originally paid.
|
||
The Fund may enter into total return swap agreements. A total return swap entered into by the Fund is a derivative contract that transfers the market risk of underlying assets. The notional amount of each total return swap agreement is the agreed upon amount or value of the index used for calculating the returns that the parties to a swap agreement have agreed to exchange. The total return swaps are marked to market daily and any change is recorded in unrealized gain/loss on the statement of operations. Gains or losses will be realized when the total return swap contracts are liquidated and will be presented as net realized gain or loss on swap contracts on the statement of operations.
|
||
The Fund invests in total return swaps to obtain exposure to the underlying referenced instrument, obtain leverage or attain the returns from ownership without actually owning the underlying position. Total return swaps are two-party contracts that generally obligate one party to pay the positive return and the other party to pay the negative return on a specified reference security, security index or index component during the period of the swap. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the counterparty to a total return swap defaults, the Fund’s risk of loss consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Total return swaps are derivatives and their value can be volatile. To the extent that the Advisor does not accurately analyze and predict future market trends, the values of assets or economic factors, a Fund may suffer a loss, which may exceed the related amounts
|
shown in the statement of assets and liabilities. Total return swap contracts outstanding at period end are listed after the Fund’s schedule of investments.
|
||
As of December 31, 2015, the location of derivatives in the statement of assets and liabilities and the value of the derivative instruments categorized by risk exposure is as follows:
|
Derivative Type
|
Statement of Assets and Liabilities Location
|
Value
|
||||
Equity Contracts
|
Unrealized appreciation on swap contracts
|
$
|
215,638
|
|||
Equity Contracts
|
Unrealized depreciation on swap contracts
|
(152,283
|
)
|
|||
The effect of derivative instruments on the statement of operations for the year ended December 31, 2015 is as follows:
|
||||||
Location of Gain/(Loss)
|
||||||
Derivative Type
|
on Derivatives Recognized in Income
|
Value
|
||||
Equity Contract
|
Realized loss on purchased options
|
$
|
(76,824
|
)
|
||
Equity Contract
|
Realized gain on written options
|
105,042
|
||||
Equity Contract
|
Realized gain on swap contracts
|
5,507,846
|
||||
Equity Contract
|
Change in unrealized appreciation
|
|||||
on purchased options
|
(15,799
|
)
|
||||
Equity Contract
|
Change in unrealized appreciation
|
|||||
on written options
|
(38,618
|
)
|
||||
Equity Contract
|
Change in unrealized appreciation
|
|||||
on swap contracts
|
(731,153
|
)
|
||||
The average monthly market values of purchased and written options during the year ended December 31, 2015 for the Fund were $31,271 and $131,909, respectively. The average monthly notional values of long and short total return swaps held by the Fund during the year ended December 31, 2015 were $25,798,193 and $1,821,216, respectively.
|
||
Transactions in written options contracts for the year ended December 31, 2015, are as follows:
|
Contracts
|
Premiums Received
|
||||||||
Beginning Balance
|
326
|
$
|
41,878
|
||||||
Options written
|
678
|
221,589
|
|||||||
Options closed
|
(123
|
)
|
(52,755
|
)
|
|||||
Options exercised
|
(187
|
)
|
(139,917
|
)
|
|||||
Options expired
|
(694
|
)
|
(70,795
|
)
|
|||||
Outstanding at December 31, 2015
|
—
|
$
|
—
|
The Fund is required to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. The guidance requires retrospective application for all comparative periods presented.
|
A Fund may mitigate credit risk with respect to over-the-counter derivative counterparties through credit support annexes included with International Swaps and Derivatives Association Master Agreements or other Master Netting Agreements which are the standard contracts governing most derivative transactions between the Fund and its counterparties. These agreements may allow the Fund and each counterparty to offset certain derivative financial instruments’ payables and/or receivables against each other and/or with collateral, which is generally held by the Fund’s custodian. The amount of collateral moved to/from applicable counterparties is based upon minimum transfer amounts specified in the agreement. To the extent amounts due to the Fund from its counterparties are not fully collateralized contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance.
|
||
The Fund’s Statement of Assets and Liabilities presents financial instruments on a gross basis, therefore there are no net amounts and no offset amounts within the Statement of Assets and Liabilities to present below. Gross amounts of the financial instruments, amounts related to financial instruments/cash collateral not offset in the Statement of Assets and Liabilities and net amounts are presented below:
|
Gross Amounts not
|
|||||||||||||||||
Gross
|
Offset in the Statement
|
||||||||||||||||
Amounts
|
of Assets & Liabilities
|
||||||||||||||||
of
|
|||||||||||||||||
Recognized
|
Collateral
|
||||||||||||||||
Assets or
|
Financial
|
Pledged
|
Net
|
||||||||||||||
Liabilities
|
Instruments*
|
(Received)**
|
Amount
|
||||||||||||||
Assets:
|
|||||||||||||||||
Description
|
|||||||||||||||||
Unrealized appreciation
|
|||||||||||||||||
on open swap contracts
|
$
|
215,638
|
$
|
(152,283
|
)
|
$
|
—
|
$
|
63,355
|
||||||||
$
|
215,638
|
$
|
(152,283
|
)
|
$
|
—
|
$
|
63,355
|
|||||||||
Liabilities:
|
|||||||||||||||||
Description
|
|||||||||||||||||
Unrealized depreciation
|
|||||||||||||||||
on open swap contracts
|
$
|
152,283
|
$
|
(152,283
|
)
|
$
|
—
|
$
|
—
|
||||||||
$
|
152,283
|
$
|
(152,283
|
)
|
$
|
—
|
$
|
—
|
*
|
Amounts relate to master netting agreements and collateral agreements with Goldman Sachs and Co. which have been determined by the Advisor to be legally enforceable in the event of default and where certain other criteria are met in accordance with applicable offsetting accounting guidance.
|
|
**
|
Amounts relate to master netting agreements and collateral agreements with Goldman Sachs and Co. which have been determined by the Advisor to be legally enforceable in the event of default but where certain other criteria are not met in accordance with applicable offsetting accounting guidance. The collateral amounts may exceed the related net amounts of financial assets and liabilities presented in the Statement of Assets and Liabilities. Where this is the case, the total amount reported is limited to the net amounts of financial assets and liabilities with that counterparty.
|
J.
|
Events Subsequent to the Fiscal Year End: In preparing the financial statements as of December 31, 2015, management considered the impact of subsequent events for potential recognition or disclosure in the financial statements.
|
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.
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets:
|
||||||||||||||||
Common Stocks
|
||||||||||||||||
Administrative Support
|
$
|
2,339,805
|
$
|
—
|
$
|
—
|
$
|
2,339,805
|
||||||||
Finance and Insurance
|
25,856,540
|
—
|
—
|
25,856,540
|
||||||||||||
Information
|
11,459,701
|
—
|
—
|
11,459,701
|
||||||||||||
Management of Companies
|
||||||||||||||||
and Enterprises
|
1,850,490
|
—
|
—
|
1,850,490
|
||||||||||||
Manufacturing
|
32,224,788
|
—
|
—
|
32,224,788
|
||||||||||||
Professional, Scientific and
|
||||||||||||||||
Technical Services
|
8,211,785
|
—
|
—
|
8,211,785
|
||||||||||||
Retail Trade
|
2,292,436
|
—
|
—
|
2,292,436
|
||||||||||||
Transportation and
|
||||||||||||||||
Warehousing
|
3,790,980
|
—
|
—
|
3,790,980
|
||||||||||||
Utilities
|
2,933,928
|
—
|
—
|
2,933,928
|
||||||||||||
Wholesale Trade
|
1,369,368
|
—
|
—
|
1,369,368
|
||||||||||||
Total Common Stocks
|
92,329,821
|
—
|
—
|
92,329,821
|
||||||||||||
REITS
|
2,783,575
|
—
|
—
|
2,783,575
|
||||||||||||
Rights
|
58
|
—
|
—
|
58
|
||||||||||||
Money Market Funds
|
28,485,024
|
—
|
—
|
28,485,024
|
||||||||||||
Total Investments
|
||||||||||||||||
in Securities
|
$
|
123,598,478
|
$
|
—
|
$
|
—
|
$
|
123,598,478
|
||||||||
Swap Contracts*
|
$
|
—
|
$
|
215,638
|
$
|
—
|
$
|
215,638
|
||||||||
Liabilities:
|
||||||||||||||||
Securities Sold Short
|
$
|
39,199,765
|
$
|
—
|
$
|
—
|
$
|
39,199,765
|
||||||||
Swap Contracts*
|
$
|
—
|
$
|
152,283
|
$
|
—
|
$
|
152,283
|
Date
|
Amount
|
||
4/30/16
|
$184,895
|
||
12/31/16
|
157,035
|
||
12/31/17
|
169,027
|
||
12/31/18
|
83,673
|
||
$594,630
|
Administration and Fund Accounting
|
$125,677
|
|
Transfer agency (a)
|
42,650
|
|
Custody
|
14,175
|
|
Chief Compliance Officer
|
9,011
|
|
(a) Does not include out-of-pocket expenses.
|
Administration and Fund Accounting
|
$37,232
|
Transfer agency (a)
|
12,108
|
Custody
|
3,028
|
Chief Compliance Officer
|
2,260
|
(a) Does not include out-of-pocket expenses.
|
December 31, 2015
|
December 31, 2014
|
|
Ordinary Income
|
$3,967,860
|
$422,367
|
Long-Term Capital Gains
|
151,386
|
174,061
|
Cost of investments (a)
|
$
|
126,210,977
|
|||
Gross unrealized appreciation
|
4,577,538
|
||||
Gross unrealized depreciation
|
(7,190,037
|
)
|
|||
Net unrealized depreciation (a)
|
(2,612,499
|
)
|
|||
Net unrealized depreciation on short sales
|
|||||
and foreign currency
|
(625,906
|
)
|
|||
Undistributed ordinary income
|
610,122
|
||||
Undistributed long-term capital gain
|
131,961
|
||||
Total distributable earnings
|
742,083
|
||||
Other accumulated gains/(losses)
|
—
|
||||
Total accumulated earnings/(losses)
|
$
|
(2,496,322
|
)
|
(a)
|
The difference between the book basis and tax basis net unrealized depreciation and cost is attributable primarily to the tax deferral of losses on wash sale adjustments.
|
1.
|
THE NATURE, EXTENT AND QUALITY OF THE SERVICES PROVIDED AND TO BE PROVIDED BY THE ADVISOR UNDER THE ADVISORY AGREEMENT. The Board considered the nature, extent and quality of the Advisor’s overall services provided to the Funds as well as its specific responsibilities in all aspects of day-to-day investment management of the Funds. The Board considered the qualifications, experience and responsibilities of the portfolio managers, as well as the responsibilities of other key personnel of the Advisor involved in the day-to-day activities of the Funds. The Board also considered the resources and compliance structure of the Advisor, including information regarding its compliance program, its chief compliance officer, the Advisor’s compliance record, and the Advisor’s disaster recovery/business continuity plan. The Board also considered the prior relationship between the Advisor and the Trust, as well as the Board’s knowledge of the Advisor’s operations, and noted that during the course of the prior year they had met with the Advisor in person to discuss Fund performance and investment outlook as well as various marketing and compliance topics, including the Advisor’s risk management process. The Board concluded that the Advisor had the quality and depth of personnel, resources, investment methods and compliance policies and procedures essential to performing its duties under the Advisory Agreement and that the nature, overall quality and extent of such management services are satisfactory.
|
2.
|
THE FUNDS’ HISTORICAL PERFORMANCE AND THE OVERALL PERFORMANCE OF THE ADVISOR. In assessing the quality of the portfolio management delivered by the Advisor, the Board reviewed the performance of the Event Fund and the Merger Fund as of June 30, 2015 on both an absolute basis and in comparison to appropriate securities benchmarks
|
and its peer funds utilizing Lipper and Morningstar classifications. When reviewing performance of the Merger Fund against the comparative peer group universe, the Board took into account that the investment objective and strategies of the Merger Fund, as well as its level of risk tolerance, may differ significantly from funds in the peer universe. When reviewing performance for the Event Fund, the Board noted that the Fund had only recently commenced operations on November 28, 2014, and as such only had limited performance to consider at this time.
|
|
Kellner Merger Fund: The Board noted that the Merger Fund’s performance, with regard to its Lipper comparative universe, was significantly above its peer group median for all relevant periods.
|
|
The Board noted that the Fund’s performance, with regard to its Morningstar comparative universe, was significantly above its peer group median for all relevant periods.
|
|
The Board also considered any differences in performance between similarly managed accounts (managed by the Advisor’s affiliate) and the performance of the Fund as well as the reasons for any performance differences and reviewed the performance of the Fund against broad-based securities market benchmarks.
|
|
Kellner Event Fund: The Board noted that the Event Fund’s performance, with regard to its Lipper comparative universe, was slightly above its peer group median for the three-month period, and was slightly below its peer group median for the year-to-date period.
|
|
The Board noted that the Fund’s performance, with regard to its Morningstar comparative universe, was slightly above its peer group median for the three-month period, and was above its peer group median for the year-to-date period.
|
|
The Board did not consider the Fund’s short performance history to be meaningful at this point and also noted the Advisor did not consider the Fund to have enough meaningful performance at present to make comparison in performance between similarly managed accounts (managed by the Advisor’s affiliate) and the performance of the Fund. The Board also reviewed the limited performance of the Fund against broad-based securities market benchmarks.
|
|
3.
|
THE COSTS OF THE SERVICES TO BE PROVIDED BY THE ADVISOR AND THE STRUCTURE OF THE ADVISOR’S FEE UNDER THE ADVISORY AGREEMENT. In considering the advisory fee and total fees and expenses of each Fund, the Board reviewed comparisons to the peer funds and similarly managed separate accounts for other types of clients advised by the Advisor, as well as all expense waivers and reimbursements. When reviewing fees charged to other similarly managed accounts, the Board took into account
|
the type of account and the differences in the management of that account that might be germane to the difference, if any, in the fees charged to such accounts. The Board found that the fees charged to the Funds were generally lower than the fees charged to similarly managed account clients (managed by the Advisor’s affiliate), and to the extent fees charged to the similarly managed account clients were higher than for the Funds, it was largely a reflection of the nature of the client.
|
|
Kellner Merger Fund: The Board noted that the Advisor had contractually agreed to maintain an annual expense ratio for the Fund of 1.75% for Investor Class shares and 1.50% for the Institutional Class (the “Expense Caps”). The Board noted that the Fund’s total expense ratio for Investor Class shares was above the peer group median and average and the total expense ratio for Institutional Class shares was below the peer group median and average. The Board also noted that the contractual advisory fee was equal to the peer group median and slightly above the peer group average but that its net advisory fee was below the median of its peer group. The Board also took into consideration the services the Advisor’s affiliate provides to its similarly managed account clients, comparing the fees charged for those management services to the fees charged to the Fund. The Board found that the management fees charged to the Fund were generally below the management fees charged by the Advisor’s affiliate to its similarly managed account clients. The Trustees noted that the Fund’s expenses and advisory fee were not outside the range of its peer group.
|
|
Kellner Event Fund: The Board noted that the Advisor had contractually agreed to maintain an annual expense ratio for the Fund of 1.99% for Investor Class shares and 1.74% for the Institutional Class (the “Expense Caps”). The Board noted that the Fund’s total expense ratio for Investor Class shares was significantly above the peer group median and average and the total expense ratio for Institutional Class shares was above the peer group median and average. The Board also noted that the contractual advisory fee was significantly above its peer group median and average, however the Board also considered that after advisory fee waivers and the payment of Fund expenses necessary to maintain the Expense Caps, the Advisor received no advisory fees from the Fund during the most recent fiscal period. The Board also took into consideration the services the Advisor’s affiliate provides to its similarly managed account clients, comparing the fees charged for those management services to the fees charged to the Fund. The Board found that the management fees charged to the Fund were generally below the management fees charged by the Advisor’s affiliate to its similarly managed account clients. The Trustees noted that the Fund’s expenses and advisory fee were not outside the range of its peer group.
|
4.
|
ECONOMIES OF SCALE. The Board also considered whether economies of scale were being realized by the Advisor that should be shared with shareholders. In this regard, the Board noted that the Advisor anticipated recognizing certain economies of scale if Fund assets should increase materially from current levels. The Board noted that the Advisor has contractually agreed to reduce its advisory fees or reimburse Fund expenses so that the Funds do not exceed their specified Expense Caps. The Board noted that at current asset levels, it did not appear that there were additional significant economies of scale being realized by the Advisor that should be shared with shareholders and concluded that it would continue to monitor economies of scale in the future as circumstances changed and assuming asset levels continue to increase.
|
5.
|
THE PROFITS TO BE REALIZED BY THE ADVISOR AND ITS AFFILIATES FROM THEIR RELATIONSHIP WITH THE FUNDS. The Board reviewed the Advisor’s financial information and took into account both the direct benefits and the indirect benefits to the Advisor from advising the Funds. The Board considered the profitability to the Advisor from its relationship with the Funds and considered any additional benefits derived by the Advisor from its relationship with the Funds, including benefits received in the form of Rule 12b-1 fees received from the Funds with respect to Investor Class shares and which are used to offset broker-dealer platform fees and other distribution and marketing costs, as well as any “soft dollar” benefits that may be received by the Advisor in exchange for Fund brokerage. The Board also reviewed information from the Advisor indicating that the Advisor does not have any clients who invest in the Funds through separately managed accounts, and as a result the Advisor was not receiving additional fall-out benefits from any such relationships. After such review, the Board determined that the profitability to the Advisor with respect to the Advisory Agreement was not excessive, and that the Advisor had maintained adequate resources and profit levels to support the services it provides to the Funds.
|
Term
|
Number of
|
||||
of Office
|
Portfolios
|
Other
|
|||
and
|
in Fund
|
Directorships
|
|||
Position
|
Length
|
Principal
|
Complex
|
Held
|
|
Name, Address
|
Held with
|
of Time
|
Occupation During
|
Overseen by
|
During Past
|
and Age
|
the Trust
|
Served
|
Past Five Years
|
Trustee(2)
|
Five Years(3)
|
Independent Trustees(1)
|
|||||
Gail S. Duree
|
Trustee
|
Indefinite
|
Director, Alpha Gamma
|
2
|
Trustee,
|
(age 69)
|
term
|
Delta Housing
|
Advisors Series
|
||
615 E. Michigan Street
|
since
|
Corporation (collegiate
|
Trust (for series
|
||
Milwaukee, WI 53202
|
March
|
housing management)
|
not affiliated
|
||
2014.
|
(2012 to present);
|
with the Funds);
|
|||
Trustee and Chair
|
Independent
|
||||
(2000 to 2012), New
|
Trustee from
|
||||
Covenant Mutual
|
1999 to 2012,
|
||||
Funds (1999-2012);
|
New Covenant
|
||||
Director and Board
|
Mutual Funds
|
||||
Member, Alpha Gamma
|
(an open-end
|
||||
Delta Foundation
|
investment
|
||||
(philanthropic
|
company with
|
||||
organization) (2005
|
4 portfolios).
|
||||
to 2011).
|
|||||
Donald E. O’Connor
|
Trustee
|
Indefinite
|
Retired; former
|
2
|
Trustee,
|
(age 79)
|
term
|
Financial Consultant
|
Advisors Series
|
||
615 E. Michigan Street
|
since
|
and former Executive
|
Trust (for series
|
||
Milwaukee, WI 53202
|
February
|
Vice President and
|
not affiliated
|
||
1997.
|
Chief Operating
|
with the Funds);
|
|||
Officer of ICI Mutual
|
Trustee, The
|
||||
Insurance Company
|
Forward Funds
|
||||
(until January 1997).
|
(26 portfolios).
|
||||
George J. Rebhan
|
Trustee
|
Indefinite
|
Retired; formerly
|
2
|
Trustee,
|
(age 81)
|
term
|
President, Hotchkis and
|
Advisors Series
|
||
615 E. Michigan Street
|
since
|
Wiley Funds (mutual
|
Trust (for series
|
||
Milwaukee, WI 53202
|
May
|
funds) (1985 to 1993).
|
not affiliated
|
||
2002.
|
with the Funds);
|
||||
Independent
|
|||||
Trustee from
|
|||||
1999 to 2009,
|
|||||
E*TRADE
|
|||||
Funds.
|
Term
|
Number of
|
||||
of Office
|
Portfolios
|
Other
|
|||
and
|
in Fund
|
Directorships
|
|||
Position
|
Length
|
Principal
|
Complex
|
Held
|
|
Name, Address
|
Held with
|
of Time
|
Occupation During
|
Overseen by
|
During Past
|
and Age
|
the Trust
|
Served
|
Past Five Years
|
Trustee(2)
|
Five Years(3)
|
George T. Wofford
|
Trustee
|
Indefinite
|
Retired; formerly
|
2
|
Trustee,
|
(age 76)
|
term
|
Senior Vice President,
|
Advisors Series
|
||
615 E. Michigan Street
|
since
|
Federal Home Loan
|
Trust (for series
|
||
Milwaukee, WI 53202
|
February
|
Bank of San Francisco.
|
not affiliated
|
||
1997.
|
with the Funds).
|
||||
Interested Trustee
|
|||||
Joe D. Redwine(4)
|
Interested
|
Indefinite
|
President, CEO,
|
2
|
Trustee,
|
(age 68)
|
Trustee
|
term
|
U.S. Bancorp Fund
|
Advisors Series
|
|
615 E. Michigan Street
|
since
|
Services, LLC (May
|
Trust (for series
|
||
Milwaukee, WI 53202
|
September
|
1991 to present).
|
not affiliated
|
||
2008.
|
with the Funds).
|
Term of Office
|
|||
Name, Address
|
Position Held
|
and Length
|
Principal Occupation
|
and Age
|
with the Trust
|
of Time Served
|
During Past Five Years
|
Joe D. Redwine
|
Chairman and
|
Indefinite term since
|
President, CEO, U.S. Bancorp
|
(age 68)
|
Chief
|
September 2007.
|
Fund Services, LLC
|
615 E. Michigan Street
|
Executive
|
(May 1991 to present).
|
|
Milwaukee, WI 53202
|
Officer
|
||
Douglas G. Hess
|
President and
|
Indefinite term since
|
Senior Vice President,
|
(age 48)
|
Principal
|
June 2003.
|
Compliance and Administration,
|
615 E. Michigan Street
|
Executive
|
U.S. Bancorp Fund Services, LLC
|
|
Milwaukee, WI 53202
|
Officer
|
(March 1997 to present).
|
|
Cheryl L. King
|
Treasurer and
|
Indefinite term since
|
Vice President, Compliance and
|
(age 54)
|
Principal
|
December 2007.
|
Administration, U.S. Bancorp
|
615 E. Michigan Street
|
Financial
|
Fund Services, LLC
|
|
Milwaukee, WI 53202
|
Officer
|
(October 1998 to present).
|
|
Kevin J. Hayden
|
Assistant
|
Indefinite term since
|
Assistant Vice President,
|
(age 44)
|
Treasurer
|
September 2013.
|
Compliance and Administration,
|
615 E. Michigan Street
|
U.S. Bancorp Fund Services, LLC
|
||
Milwaukee, WI 53202
|
(June 2005 to present).
|
||
Albert Sosa
|
Assistant
|
Indefinite term since
|
Assistant Vice President,
|
(age 45)
|
Treasurer
|
September 2013.
|
Compliance and Administration,
|
615 E. Michigan Street
|
U.S. Bancorp Fund Services, LLC
|
||
Milwaukee, WI 53202
|
(June 2004 to present).
|
||
Michael L. Ceccato
|
Vice President,
|
Indefinite term since
|
Senior Vice President,
|
(age 58)
|
Chief Compliance
|
September 2009.
|
U.S. Bancorp Fund Services, LLC
|
615 E. Michigan Street
|
Officer and AML
|
(February 2008 to present).
|
|
Milwaukee, WI 53202
|
Officer
|
Term of Office
|
|||
Name, Address
|
Position Held
|
and Length
|
Principal Occupation
|
and Age
|
with the Trust
|
of Time Served
|
During Past Five Years
|
Jeanine M. Bajczyk, Esq.
|
Secretary
|
Indefinite term since
|
Senior Vice President and
|
(age 50)
|
September 2015.
|
Counsel, U.S. Bancorp Fund
|
|
615 E. Michigan Street
|
Services, LLC
|
||
Milwaukee, WI 53202
|
(May 2006 to present).
|
||
Emily R. Enslow, Esq.
|
Assistant
|
Indefinite term since
|
Assistant Vice President,
|
(age 28)
|
Secretary
|
September 2015.
|
U.S. Bancorp Fund Services, LLC
|
615 E. Michigan Street
|
(July 2013 to present); Proxy
|
||
Milwaukee, WI 53202
|
Voting Coordinator and Class
|
||
Action Administrator, Artisan
|
|||
Partners Limited Partnership
|
|||
(September 2012 to July 2013);
|
|||
Legal Internship, Artisan Partners
|
|||
Limited Partnership (February
|
|||
2012 to September 2012);
|
|||
J.D. Graduate, Marquette
|
|||
University Law School
|
|||
(2009 to 2012).
|
(1)
|
The Trustees of the Trust who are not “interested persons” of the Trust as defined under the 1940 Act (“Independent Trustees”).
|
(2)
|
As of December 31, 2015, the Trust was comprised of 47 active portfolios managed by unaffiliated investment advisors. The term “Fund Complex” applies only to the Fund and the Kellner Event Fund. The Funds do not hold themselves out as related to any other series within the Trust for investment purposes, nor do they share the same investment adviser with any other series.
|
(3)
|
“Other Directorships Held” includes only directorships of companies required to register or file reports with the SEC under the Securities Exchange Act of 1934, as amended, (that is, “public companies”) or other investment companies registered under the 1940 Act.
|
(4)
|
Mr. Redwine is an “interested person” of the Trust as defined by the 1940 Act. Mr. Redwine is an interested Trustee of the Trust by virtue of the fact that he is an interested person of Quasar Distributors, LLC who acts as principal underwriter to the series of the Trust.
|
Total Returns as of 12/31/2015
|
3-Month
|
1-Year
|
Annualized
|
Since Inception*
|
|||
KEFAX – Investor Class
|
0.00%
|
-2.30%
|
-1.84%
|
KEFIX – Institutional Class
|
-0.01%
|
-2.50%
|
-2.03%
|
S&P 500
|
7.04%
|
1.38%
|
1.03%
|
HFRX Event Driven Index
|
-0.59%
|
-6.94%
|
-6.77%
|
Since
|
||
Average Annual Total Return:
|
1 Year
|
Inception1
|
Kellner Event Fund - Investor Class
|
-2.30%
|
-1.84%
|
Kellner Event Fund - Institutional Class
|
-2.50%
|
-2.03%
|
S&P 500® Index
|
1.38%
|
1.03%
|
HFRX Event Driven Index
|
-6.94%
|
-6.77%
|
Beginning
|
Ending
|
Expenses Paid
|
|
Account Value
|
Account Value
|
During Period(1)
|
|
7/1/15
|
12/31/15
|
7/1/15– 12/31/15
|
|
Actual(2)
|
|||
Investor Class
|
$1,000.00
|
$ 965.50
|
$12.98
|
Institutional Class
|
$1,000.00
|
$ 964.40
|
$11.93
|
Hypothetical (5% return
|
|||
before expenses)(3)
|
|||
Investor Class
|
$1,000.00
|
$1,012.00
|
$13.29
|
Institutional Class
|
$1,000.00
|
$1,013.06
|
$12.23
|
(1)
|
Expenses are equal to the Investor Class and Institutional Class annualized expense ratios of 2.62% and 2.41%, respectively, multiplied by the average account value over the period, multiplied by 184 (days in the most recent fiscal half-year)/365 days to reflect the one-half year expense.
|
(2)
|
Excluding interest expense and dividends on short positions, your actual expenses would be $9.86 and $8.62 for Investor Class and Institutional Class, respectively.
|
(3)
|
Excluding interest expense and dividends on short positions, your hypothetical expenses would be $10.11 and $8.84 for Investor Class and Institutional Class, respectively.
|
|
![]() |
|
Shares
|
Value
|
||||||
COMMON STOCKS - 62.3%
|
|||||||
Administrative and Support Services - 1.3%
|
|||||||
2,700
|
Baker Hughes, Inc.
|
$
|
124,605
|
||||
Broadcasting (except Internet) - 7.8%
|
|||||||
2,400
|
Cablevision Systems Corp. - Class A
|
76,560
|
|||||
2,801
|
Radio One, Inc. (a)
|
4,818
|
|||||
56,000
|
Sirius XM Holdings, Inc. (a)(c)
|
227,920
|
|||||
37,268
|
Spanish Broadcasting System, Inc. - Class A (a)
|
120,748
|
|||||
1,800
|
Time Warner Cable, Inc. (c)
|
334,062
|
|||||
764,108
|
|||||||
Chemical Manufacturing - 1.8%
|
|||||||
1,200
|
Perrigo Co. plc (b)
|
173,640
|
|||||
Computer and Electronic Product Manufacturing - 10.6%
|
|||||||
28,800
|
Alcatel-Lucent - ADR (a)
|
110,304
|
|||||
11,500
|
Broadcom Corp. - Class A
|
664,930
|
|||||
6,100
|
EMC Corp.
|
156,648
|
|||||
3,600
|
Fairchild Semiconductor International, Inc. (a)
|
74,556
|
|||||
1
|
NXP Semiconductors NV (a)(b)
|
83
|
|||||
4,400
|
PMC-Sierra, Inc. (a)
|
51,128
|
|||||
1,057,649
|
|||||||
Couriers and Messengers - 0.8%
|
|||||||
8,800
|
TNT Express NV (b)
|
74,499
|
|||||
Credit Intermediation and Related Activities - 1.5%
|
|||||||
57,945
|
WMIH Corp. (a)
|
150,078
|
|||||
Food Manufacturing - 0.7%
|
|||||||
800
|
Keurig Green Mountain, Inc.
|
71,984
|
|||||
Health and Personal Care Stores - 0.4%
|
|||||||
4,400
|
Rite Aid Corp. (a)
|
34,496
|
|||||
Insurance Carriers and Related Activities - 12.7%
|
|||||||
2,600
|
Chubb Corp.
|
344,864
|
|||||
400
|
Cigna Corp.
|
58,532
|
|||||
4,500
|
Health Net, Inc. (a)
|
308,070
|
|||||
800
|
Humana, Inc.
|
142,808
|
|||||
2,200
|
PartnerRe Ltd. (b)
|
307,428
|
|||||
800
|
StanCorp Financial Group, Inc.
|
91,104
|
|||||
1,252,806
|
|||||||
Leather and Allied Product Manufacturing - 0.3%
|
|||||||
4,000
|
Iconix Brand Group, Inc. (a)
|
27,320
|
|||||
Machinery Manufacturing - 2.3%
|
|||||||
1,800
|
Cameron International Corp. (a)
|
113,760
|
|||||
1,600
|
KLA-Tencor Corp.
|
110,960
|
|||||
224,720
|
|||||||
Management of Companies and Enterprises - 1.0%
|
|||||||
1,600
|
AGL Resources, Inc.
|
102,096
|
|||||
Merchant Wholesalers, Durable Goods - 0.6%
|
|||||||
400
|
Airgas, Inc.
|
55,328
|
|||||
Miscellaneous Store Retailers - 0.8%
|
|||||||
14,400
|
Office Depot, Inc. (a)
|
81,216
|
|||||
Pharmaceutical and Medicine Manufacturing - 1.3%
|
|||||||
400
|
Allergan plc (a)(b)
|
125,000
|
Pipeline Transportation - 0.9%
|
|||||||
3,600
|
The Williams Companies, Inc.
|
92,520
|
|||||
Plastics and Rubber Products Manufacturing - 1.1%
|
|||||||
1,900
|
Jarden Corp. (a)
|
108,528
|
|||||
Primary Metal Manufacturing - 6.6%
|
|||||||
2,800
|
Precision Castparts Corp. (c)
|
649,628
|
|||||
Professional, Scientific, and Technical Services - 5.0%
|
|||||||
1,200
|
Constant Contact, Inc. (a)
|
35,088
|
|||||
800
|
SolarWinds, Inc. (a)
|
47,120
|
|||||
5,300
|
Solera Holdings, Inc.
|
290,599
|
|||||
3,600
|
Yahoo!, Inc. (a)
|
119,736
|
|||||
492,543
|
|||||||
Publishing Industries (except Internet) - 2.6%
|
|||||||
6,000
|
Meredith Corp.
|
259,500
|
|||||
Sound Recording Industries - 0.2%
|
|||||||
2,490
|
Xcel Brands, Inc. (a)
|
18,675
|
|||||
Telecommunications - 0.7%
|
|||||||
171
|
AT&T, Inc.
|
5,884
|
|||||
40,665
|
Globalstar, Inc. (a)
|
58,558
|
|||||
622
|
NII Holdings, Inc. (a)
|
3,141
|
|||||
67,583
|
|||||||
Utilities - 1.3%
|
|||||||
4,800
|
Pepco Holdings, Inc.
|
124,848
|
|||||
TOTAL COMMON STOCKS (Cost $6,177,218)
|
6,133,370
|
||||||
REITS - 1.2%
|
|||||||
Real Estate - 1.2%
|
|||||||
4,800
|
BioMed Realty Trust, Inc.
|
113,712
|
|||||
TOTAL REITS (Cost $112,112)
|
113,712
|
||||||
CLOSED-END FUNDS - 4.2%
|
|||||||
24,223
|
KCAP Financial, Inc.
|
98,588
|
|||||
32,026
|
Nuveen Floating Rate Income Opportunity Fund
|
313,854
|
|||||
TOTAL CLOSED-END FUNDS (Cost $492,144)
|
412,442
|
||||||
Principal
Amount
|
|||||||
CONVERTIBLE BONDS - 1.5%
|
|||||||
Alaska Communications Systems Group, Inc.
|
|||||||
$
|
130,000
|
6.25%, 5/1/2018
|
131,138
|
||||
Goodrich Petroleum Corp.
|
|||||||
41,500
|
5.00%, 10/1/2032 (e)
|
6,899
|
|||||
GT Advanced Technologies, Inc.
|
|||||||
1,169,000
|
3.00%, 12/15/2020 (a)(d)(e)
|
11,690
|
|||||
TOTAL CONVERTIBLE BONDS (Cost $152,139)
|
149,727
|
||||||
CORPORATE BONDS - 0.1%
|
|||||||
Arch Coal, Inc.
|
|||||||
130,000
|
7.25%, 6/15/2021 (a)(d)(e)
|
1,313
|
|||||
Verso Paper Holdings, LLC
|
|||||||
45,000
|
11.75%, 1/15/2019 (d)
|
6,975
|
|||||
TOTAL CORPORATE BONDS (Cost $42,908)
|
8,288
|
||||||
MUNICIPAL BONDS - 4.6%
|
|||||||
Commonwealth of Puerto Rico, General Obligation Bonds of 2014, Series A
|
|||||||
100,000
|
8.00%, 7/1/2035 (Callable 7/1/2020)
|
72,750
|
|||||
Commonwealth of Puerto Rico, Public Improvement Refunding Bonds, Series 2012A, General Obligation
|
|||||||
250,000
|
4.00%, 7/1/2020 (e)
|
163,124
|
|||||
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue Bonds, First Subordinate Series 2009A
|
|||||||
150,000
|
5.50%, 8/1/2021 (Callable 8/1/2019) (e)
|
69,188
|
|||||
150,000
|
5.50%, 8/1/2022 (Callable 8/1/2019) (e)
|
67,500
|
|||||
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue Bonds, Senior Series 2011C
|
|||||||
145,000
|
5.00%, 8/1/2040 (Callable 8/1/2021) (e)
|
83,013
|
|||||
TOTAL MUNICIPAL BONDS (Cost $562,630)
|
455,575
|
||||||
Contracts
|
|||||||
PURCHASED OPTIONS - 0.1%
|
|||||||
Put Options - 0.1%
|
|||||||
30
|
Diamond Resorts International, Inc.
|
||||||
Expiration: February 2016, Exercise Price: $25.00
|
5,625
|
||||||
30
|
Wyndham Worldwide Corp.
|
||||||
Expiration: January 2016, Exercise Price: $70.00
|
1,950
|
||||||
TOTAL PURCHASED OPTIONS (Cost $11,373)
|
7,575
|
||||||
Shares
|
|||||||
MONEY MARKET FUNDS - 18.8%
|
|||||||
1,853,243
|
Fidelity Institutional Money Market Portfolio - Class I, 0.28% (f)
|
1,853,243
|
|||||
TOTAL MONEY MARKET FUNDS (Cost $1,853,243)
|
1,853,243
|
||||||
Total Investments in Securities (Cost $9,403,767) - 92.8%
|
9,133,932
|
||||||
Other Assets in Excess of Liabilities - 7.2%
|
709,546
|
||||||
NET ASSETS - 100.0%
|
$
|
9,843,478
|
(a)
|
Non-income producing security.
|
|
(b)
|
Foreign issued security.
|
|
(c)
|
All or a portion of the security has been segregated for open short positions.
|
|
(d)
|
Security in default.
|
|
(e)
|
Security is considered illiquid. As of December 31, 2015, the value of these investments was $402,727 or 4.1% of net assets.
|
|
(f)
|
Rate shown is the 7-day annualized yield as of December 31, 2015.
|
|
ADR
|
American Depository Receipt
|
|
REIT
|
Real Estate Investment Trust
|
Shares
|
Value
|
||||||
COMMON STOCKS - 20.9%
|
|||||||
Accommodation - 1.3%
|
|||||||
5,000
|
Diamond Resorts International, Inc. (a)
|
$
|
127,550
|
||||
Broadcasting (except Internet) - 2.1%
|
|||||||
821
|
Charter Communications, Inc. - Class A (a)
|
150,325
|
|||||
3,539
|
Media General, Inc. (a)
|
57,155
|
|||||
207,480
|
|||||||
Chemical Manufacturing - 2.0%
|
|||||||
978
|
Mylan NV (a)(b)
|
52,880
|
|||||
4,520
|
Pfizer, Inc.
|
145,906
|
|||||
198,786
|
|||||||
Clothing and Clothing Accessories Stores - 1.0%
|
|||||||
800
|
Signet Jewelers Ltd. (b)
|
98,952
|
|||||
Computer and Electronic Product Manufacturing - 4.6%
|
|||||||
2,291
|
Avago Technologies Ltd.
|
332,539
|
|||||
339
|
Microsemi Corp. (a)
|
11,048
|
|||||
15,840
|
Nokia OYJ – ADR
|
111,197
|
|||||
454,784
|
|||||||
Credit Intermediation and Related Activities - 0.1%
|
|||||||
830
|
Canadian Western Bank (a)(b)
|
14,024
|
|||||
Insurance Carriers and Related Activities - 4.5%
|
|||||||
1,565
|
ACE Ltd. (b)
|
182,870
|
|||||
670
|
Aetna, Inc.
|
72,441
|
|||||
2,798
|
Centene Corp. (a)
|
184,136
|
|||||
439,447
|
|||||||
Machinery Manufacturing - 0.7%
|
|||||||
800
|
Lam Research Corp.
|
63,536
|
|||||
Miscellaneous Store Retailers - 0.2%
|
|||||||
1,652
|
Staples, Inc.
|
15,644
|
|||||
Plastics and Rubber Products Manufacturing - 0.7%
|
|||||||
1,638
|
Newell Rubbermaid, Inc.
|
72,203
|
|||||
Professional, Scientific, and Technical Services - 0.1%
|
|||||||
188
|
VMware, Inc. (a)
|
10,635
|
|||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 1.1%
|
|||||||
1,386
|
Alibaba Group Holding Ltd. - ADR (a)
|
112,640
|
|||||
Support Activities for Mining - 2.0%
|
|||||||
3,024
|
Halliburton Co.
|
102,937
|
|||||
1,289
|
Schlumberger Ltd. (b)
|
89,908
|
|||||
192,845
|
|||||||
Utilities - 0.5%
|
|||||||
3,666
|
Energy Transfer Equity L.P.
|
50,371
|
|||||
TOTAL COMMON STOCKS (Proceeds $2,070,425)
|
2,058,897
|
Principal
|
|||||||
Amount
|
|||||||
CORPORATE BONDS - 1.6%
|
|||||||
Codelco, Inc.
|
|||||||
$
|
100,000
|
3.00%, 7/17/2022
|
89,949
|
||||
Vallourec SA
|
|||||||
100,000
|
2.25%, 9/30/2024
|
67,488
|
|||||
TOTAL CORPORATE BONDS (Proceeds $207,710)
|
157,437
|
||||||
Shares
|
|||||||
EXCHANGE-TRADED FUNDS - 2.6%
|
|||||||
2,400
|
iShares J.P. Morgan USD Emerging Markets Bond ETF
|
253,872
|
|||||
TOTAL EXCHANGE-TRADED FUNDS (Proceeds $256,506)
|
253,872 | ||||||
Total Securities Sold Short (Proceeds $2,534,641) - 25.1%
|
$ | 2,470,206 |
(a)
|
Non-income producing security.
|
|
(b)
|
Foreign issued security.
|
|
ADR |
American Depository Receipt
|
|
ETF |
Exchange-Traded Fund
|
Security
|
Financing
Rate+
|
Termination
Date
|
Shares
|
GBP Notional
Amount
|
Net Unrealized
Appreciation/
(Depreciation)*
|
Counterparty
|
||||||||||||
LONG TOTAL RETURN SWAP CONTRACTS
|
||||||||||||||||||
BG Group PLC
|
0.348
|
%
|
7/2/25
|
19,200
|
193,056
|
$
|
(5,802
|
)
|
Goldman Sachs & Co.
|
|||||||||
SABMiller PLC
|
0.471
|
%
|
10/29/25
|
1,200
|
48,960
|
(186
|
)
|
Goldman Sachs & Co.
|
||||||||||
SHORT TOTAL RETURN SWAP CONTRACTS
|
||||||||||||||||||
Royal Dutch Shell PLC - Class A
|
0.348
|
%
|
12/22/25
|
146
|
2,279
|
75
|
Goldman Sachs & Co.
|
|||||||||||
Royal Dutch Shell PLC - Class B
|
0.348
|
%
|
7/2/25
|
8,552
|
135,036
|
4,539
|
Goldman Sachs & Co.
|
|||||||||||
$
|
(1,374
|
)
|
||||||||||||||||
*
|
Based on the swap contract value held at the counterparty, gross unrealized appreciation is an asset and gross unrealized depreciation is a liability on the statement of assets and liabilities.
|
+
|
The fixed rate paid/received by the Fund is based on predetermined notional amounts.
|
ASSETS
|
||||
Investments in securities, at value
|
||||
(identified cost $9,403,767)
|
$
|
9,133,932
|
||
Cash
|
12,890
|
|||
Deposit at broker for derivative instruments1
|
3,212,037
|
|||
Receivables
|
||||
Unrealized appreciation on open swap contracts
|
4,614
|
|||
Securities sold
|
80,358
|
|||
Dividends and interest
|
33,803
|
|||
Dividend tax reclaim
|
166
|
|||
Due from Advisor (Note 4)
|
5,101
|
|||
Prepaid expenses
|
5,892
|
|||
Total assets
|
12,488,793
|
|||
LIABILITIES
|
||||
Securities sold short (proceeds $2,534,641)
|
2,470,206
|
|||
Payables
|
||||
Unrealized depreciation on open swap contracts
|
5,988
|
|||
Securities purchased
|
99,753
|
|||
Dividends on short positions
|
2,198
|
|||
Interest
|
1,988
|
|||
Administration and fund accounting fees
|
25,772
|
|||
Transfer agent fees and expenses
|
10,020
|
|||
Audit fees
|
20,700
|
|||
Chief Compliance Officer fee
|
2,250
|
|||
Custody fees
|
1,515
|
|||
Legal fees
|
2,998
|
|||
12b-1 distribution fees
|
4
|
|||
Reports to shareholders
|
87
|
|||
Accrued other expenses
|
1,836
|
|||
Total liabilities
|
2,645,315
|
|||
NET ASSETS
|
$
|
9,843,478
|
||
CALCULATION OF NET ASSET VALUE PER SHARE
|
||||
Investor Class Shares
|
||||
Net assets applicable to shares outstanding
|
$
|
1,959
|
||
Shares issued and outstanding [unlimited number of shares
|
||||
(par value $0.01) authorized]
|
204
|
|||
Net asset value, offering and redemption price per share
|
$
|
9.62
|
||
Institutional Class Shares
|
||||
Net assets applicable to shares outstanding
|
$
|
9,841,519
|
||
Shares issued and outstanding [unlimited number of shares
|
||||
(par value $0.01) authorized]
|
1,024,872
|
|||
Net asset value, offering and redemption price per share
|
$
|
9.60
|
||
COMPONENTS OF NET ASSETS
|
||||
Paid-in capital
|
$
|
10,228,709
|
||
Undistributed net investment income
|
1,147
|
|||
Accumulated net realized loss on investments, foreign currency, options, securities sold short and swap contracts
|
(177,284
|
)
|
||
Net unrealized appreciation/(depreciation) on:
|
||||
Investments
|
(266,037
|
)
|
||
Foreign currency
|
(2,320
|
)
|
||
Purchased options
|
(3,798
|
)
|
||
Securities sold short
|
64,435
|
|||
Swap contracts
|
(1,374
|
)
|
||
Net unrealized depreciation on investments, foreign currency, options, securities sold short and swap contracts
|
(209,094
|
)
|
||
Net assets
|
$
|
9,843,478
|
INVESTMENT INCOME
|
||||
Income
|
||||
Dividends (net of foreign taxes withheld and issuance fees of of $277 and $32, respectively)
|
$
|
108,001
|
||
Interest
|
73,500
|
|||
Total income
|
181,501
|
|||
Expense
|
||||
Advisory fees (Note 4)
|
151,183
|
|||
Administration and fund accounting fees (Note 4)
|
103,674
|
|||
Transfer agent fees and expenses (Note 4)
|
38,617
|
|||
Audit fees
|
20,700
|
|||
Registration fees
|
11,829
|
|||
Legal fees
|
9,493
|
|||
Trustee fees
|
8,977
|
|||
Chief Compliance Officer fee (Note 4)
|
8,936
|
|||
Custody fees (Note 4)
|
7,409
|
|||
Miscellaneous
|
7,203
|
|||
Printing and mailing expense
|
835
|
|||
12b-1 distribution fees - Investor Class (Note 5)
|
4
|
|||
Total expenses before dividends on short positions and interest expense
|
368,860
|
|||
Dividends on short positions
|
36,357
|
|||
Interest expense
|
25,925
|
|||
Total expenses before reimbursement from Advisor
|
431,142
|
|||
Less: advisory fees waived and expenses reimbursed by Advisor (Note 4)
|
(193,485
|
)
|
||
Net expenses
|
237,657
|
|||
Net investment loss
|
(56,156
|
)
|
||
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS, FOREIGN CURRENCY, OPTIONS, SECURITIES SOLD SHORT AND SWAP CONTRACTS
|
||||
Net realized gain/(loss) on transactions from:
|
||||
Investments
|
27,854
|
|||
Foreign currency
|
(4,841
|
)
|
||
Purchased options
|
39,955
|
|||
Written options
|
4,098
|
|||
Securities sold short
|
(39,423
|
)
|
||
Swap contracts
|
34,005
|
|||
Net change in unrealized appreciation/(depreciation) on:
|
||||
Investments
|
(327,381
|
)
|
||
Foreign currency
|
(2,320
|
)
|
||
Purchased options
|
(3,798
|
)
|
||
Securities sold short
|
79,697
|
|||
Swap contracts
|
(1,374
|
)
|
||
Net realized and unrealized loss on investments, foreign currency, options, securities sold short and swap contracts
|
(193,528
|
)
|
||
Net Decrease in Net Assets Resulting from Operations
|
$
|
(249,684
|
)
|
November 30, 2014* | ||||||||
Year Ended | through | |||||||
December 31, 2015 | December 31, 2014 | |||||||
NET INCREASE/(DECREASE) IN NET ASSETS FROM:
|
||||||||
OPERATIONS
|
||||||||
Net investment loss
|
$
|
(56,156
|
)
|
$ |
(6,023
|
)
|
||
Net realized gain/(loss) on transactions from:
|
||||||||
Investments
|
27,854
|
-
|
||||||
Foreign currency
|
(4,841
|
)
|
-
|
|||||
Purchased options
|
39,955
|
-
|
||||||
Written options
|
4,098
|
-
|
||||||
Securities sold short
|
(39,423
|
)
|
-
|
|||||
Swap contracts
|
34,005
|
-
|
||||||
Net change in unrealized appreciation/(depreciation) on:
|
||||||||
Investments
|
(327,381
|
)
|
61,344
|
|||||
Foreign currency
|
(2,320
|
)
|
-
|
|||||
Purchased options
|
(3,798
|
)
|
-
|
|||||
Securities sold short
|
79,697
|
(15,262
|
)
|
|||||
Swap contracts
|
(1,374
|
)
|
-
|
|||||
Net increase/(decrease) in net assets resulting from operations
|
(249,684
|
)
|
40,059
|
|||||
DISTRIBUTIONS TO SHAREHOLDERS
|
||||||||
From net realized gain on investments
|
||||||||
Investor Class Shares
|
(36
|
)
|
-
|
|||||
Institutional Class Shares
|
(181,593
|
)
|
-
|
|||||
Total distributions to shareholders
|
(181,629
|
)
|
-
|
|||||
CAPITAL SHARE TRANSACTIONS
|
||||||||
Net increase in net assets derived from net change
|
||||||||
in outstanding shares (a)
|
230,732
|
10,004,000
|
||||||
Total increase/(decrease) in net assets
|
(200,581
|
)
|
10,044,059
|
|||||
NET ASSETS
|
||||||||
Beginning of period
|
10,044,059
|
-
|
||||||
End of period
|
$
|
9,843,478
|
$
|
10,044,059
|
||||
Includes undistributed net investment income of
|
$
|
1,147
|
$
|
-
|
Investor Class Shares
|
||||||||||||||||
November 28, 2014*
|
||||||||||||||||
Year Ended
|
through
|
|||||||||||||||
December 31, 2015
|
December 31, 2014
|
|||||||||||||||
Shares
|
Paid-in Capital
|
Shares
|
Paid-in Capital
|
|||||||||||||
Shares sold
|
-
|
$
|
-
|
200
|
$
|
2,000
|
||||||||||
Shares issued on reinvestments of distributions
|
4
|
36
|
-
|
-
|
||||||||||||
Net increase
|
4
|
$
|
36
|
200
|
$
|
2,000
|
||||||||||
Institutional Class Shares
|
||||||||||||||||
November 28, 2014*
|
||||||||||||||||
Year Ended
|
through
|
|||||||||||||||
|
December 31, 2015
|
December 31, 2014
|
||||||||||||||
Shares
|
Paid-in Capital
|
Shares
|
Paid-in Capital
|
|||||||||||||
Shares sold
|
4,965
|
$
|
50,000
|
1,001,201
|
$
|
10,002,000
|
||||||||||
Shares issued on reinvestments of distributions
|
18,799
|
181,592
|
-
|
-
|
||||||||||||
Shares redeemed
|
(93
|
)
|
(896
|
)
|
-
|
-
|
||||||||||
Net increase
|
23,671
|
$
|
230,696
|
1,001,201
|
$
|
10,002,000
|
Increase/(decrease) in cash--
|
||||
Cash flows from operating activites:
|
||||
Net decrease in net assets from operations
|
$ |
(249,684
|
)
|
|
Adjustments to reconcile net increase/(decrease) in
|
||||
net assets from operations to net cash used in operating activities:
|
||||
Purchases of investment securities
|
(18,378,532
|
)
|
||
Proceeds from sale of investment securities
|
10,776,342
|
|||
Proceeds from short sales
|
7,108,366
|
|||
Closed short sale transactions
|
(3,512,305
|
)
|
||
Proceeds from written options
|
13,381
|
|||
Closed written options
|
(1,053
|
)
|
||
Sale of short-term investments, net
|
4,405,533
|
|||
Increase in unrealized appreciation on open swap contracts
|
(4,614
|
)
|
||
Increase in deposits at broker
|
(2,624,651
|
)
|
||
Increase in dividends and interest receivable
|
(25,775
|
)
|
||
Increase in receivable for securities sold
|
(80,358
|
)
|
||
Decrease in due from Advisor
|
7,525
|
|||
Increase in prepaid expenses and other assets
|
(3,357
|
)
|
||
Increase in due to broker/custodian
|
1,988
|
|||
Increase in payable for securities purchased
|
80,697
|
|||
Increase in payable for dividends on short positions
|
2,198
|
|||
Increase in unrealized depreciation on open swap contracts
|
5,988
|
|||
Increase in accrued administration fees
|
16,869
|
|||
Increase in distribution and service fees
|
4
|
|||
Increase in custody fees
|
463
|
|||
Increase in transfer agent fees and expenses
|
6,078
|
|||
Increase in other accrued expenses
|
16,982
|
|||
Amortization
|
(18,725
|
)
|
||
Net realized gain on investments
|
(32,484
|
)
|
||
Unrealized depreciation on securities
|
251,482
|
|||
Return of capital dividends received
|
11,469
|
|||
Proceeds received through mergers
|
2,189,959
|
|||
Net cash used in operating activities
|
(36,214
|
)
|
||
Cash flows from financing activities:
|
||||
Proceeds from shares sold
|
50,000
|
|||
Payment on shares redeemed
|
(896
|
)
|
||
Distributions paid in cash
|
-
|
|||
Net cash provided by financing activities
|
49,104
|
|||
Net increase in cash
|
12,890
|
|||
Cash:
|
||||
Beginning balance
|
-
|
|||
Ending balance
|
$
|
12,890
|
||
Supplemental information:
|
||||
Non-cash financing activities not included herein consists of dividend
|
||||
reinvestment of dividends and distributions
|
$
|
181,628
|
||
Cash paid for interest
|
$
|
25,925
|
Investor Class Shares
|
||||||||
November 28, 2014*
|
||||||||
Year Ended
|
through
|
|||||||
December 31, 2015
|
December 31, 2014
|
|||||||
Net asset value, beginning of period
|
$
|
10.03
|
$
|
10.00
|
||||
Income from investment operations:
|
||||||||
Net investment loss^
|
(0.05
|
)
|
(0.01
|
)
|
||||
Net realized and unrealized gain/(loss) on investments
|
(0.18
|
)
|
0.04
|
|||||
Total from investment operations
|
(0.23
|
)
|
0.03
|
|||||
Less distributions:
|
||||||||
From net realized gain on investments
|
(0.18
|
)
|
-
|
|||||
Total distributions
|
(0.18
|
)
|
-
|
|||||
Net asset value, end of period
|
$
|
9.62
|
$
|
10.03
|
||||
Total return
|
-2.30
|
%
|
0.30
|
%+
|
||||
Ratios/supplemental data:
|
||||||||
Net assets, end of period (thousands)
|
$
|
2
|
$
|
2
|
||||
Ratio of expenses to average net assets:
|
||||||||
Before expense reimbursement
|
4.18
|
%
|
6.20
|
%++
|
||||
After expense reimbursement
|
2.27
|
%
|
1.99
|
%++
|
||||
Ratio of net investment loss to average net assets:
|
||||||||
Before expense reimbursement
|
(2.38
|
%)
|
(5.51
|
%)++
|
||||
After expense reimbursement
|
(0.47
|
%)
|
(1.30
|
%)++
|
||||
Portfolio turnover rate
|
142.01
|
%
|
0.00
|
%+
|
*
|
Commencement of operations.
|
|
+
|
Not annualized.
|
|
++
|
Annualized.
|
|
^
|
Based on average shares outstanding.
|
|
November 28, 2014*
|
||||||||
Year Ended
|
through
|
|||||||
December 31, 2015
|
December 31, 2014
|
|||||||
Net asset value, beginning of period
|
$
|
10.03
|
$
|
10.00
|
||||
Income from investment operations:
|
||||||||
Net investment loss^
|
(0.06
|
)
|
(0.01
|
)
|
||||
Net realized and unrealized gain/(loss) on investments
|
(0.19
|
)
|
0.04
|
|||||
Total from investment operations
|
(0.25
|
)
|
0.03
|
|||||
Less distributions:
|
||||||||
From net realized gain on investments
|
(0.18
|
)
|
-
|
|||||
Total distributions
|
(0.18
|
)
|
-
|
|||||
Net asset value, end of period
|
$
|
9.60
|
$
|
10.03
|
||||
Total return
|
-2.50
|
%
|
0.30
|
%+
|
||||
Ratios/supplemental data:
|
||||||||
Net assets, end of period (thousands)
|
$
|
9,841
|
$
|
10,042
|
||||
Ratio of expenses to average net assets:
|
||||||||
Before expense reimbursement
|
4.28
|
%
|
5.95
|
%++
|
||||
After expense reimbursement
|
2.36
|
%
|
1.74
|
%++
|
||||
Ratio of net investment loss to average net assets:
|
||||||||
Before expense reimbursement
|
(2.48
|
%)
|
(5.26
|
%)++
|
||||
After expense reimbursement
|
(0.56
|
%)
|
(1.05
|
%)++
|
||||
Portfolio turnover rate
|
142.01
|
%
|
0.00
|
%+
|
*
|
Commencement of operations.
|
|
+
|
Not annualized.
|
|
++
|
Annualized.
|
|
^
|
Based on average shares outstanding.
|
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.
|
|
The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Fund’s tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on the Fund’s return filed for open tax year 2014, or expected to be taken in the Fund’s 2015 tax returns. The Fund identifies its major tax jurisdictions as U.S. Federal and the state of Wisconsin; however, the Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.
|
||
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. Discounts and premiums on securities purchased are accreted/amortized over the life of the respective security. 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.
|
|
The Fund distributes substantially all net investment income, if any, and net realized capital gains, if any, annually. Distributions from net realized gains for book purposes may include short-term capital gains. All short-term capital gains are included in ordinary income for tax purposes.
|
||
The amount of dividends and distributions to shareholders from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which differs from accounting principles generally accepted in the United States of America. To the extent these book/tax differences are permanent, such amounts are reclassified within the capital accounts based on their Federal tax treatment.
|
||
Investment income, expenses (other than those specific to the class of shares), and realized and
|
unrealized gains and losses on investments are allocated to the separate classes of the Fund shares based upon their relative net assets on the date income is earned or expensed and realized and unrealized gains and losses are incurred.
|
||
The Fund and the Kellner Merger Fund are each charged for those expenses that are directly attributable to a Fund, such as investment advisory, custody and transfer agent fees. Expenses that are not attributable to a Fund are typically allocated among the Funds in proportion to their respective net assets. Common expenses of the Trust are typically allocated among the funds in the Trust based on a fund’s respective net assets, or by other equitable means.
|
||
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.
|
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.
|
|
For the year ended December 31, 2015, the Fund made the following permanent tax adjustments on the statement of assets and liabilities:
|
Undistributed
|
||||
Net Investment
|
Accumulated Net
|
|||
Income/(Loss)
|
Realized Gain/(Loss)
|
Paid-in Capital
|
||
$57,303
|
$(57,303)
|
$ -
|
F.
|
REITs: The Fund has made certain investments in real estate investment trusts (“REITs”) which pay dividends to its shareholders based upon funds available from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits resulting in the excess portion of such dividends being designated as a return of capital. The Fund intends to include the gross dividends from such REITs in its annual distributions to its shareholders and, accordingly, a portion of the Fund’s distributions may also be designated as a return of capital.
|
|
G.
|
Foreign Securities: The Fund may invest without limitation in securities of foreign companies. Foreign economies may differ from the U.S. economy and individual foreign companies may differ from domestic companies in the same industry.
|
|
Foreign companies or entities are frequently not subject to accounting and financial reporting standards applicable to domestic companies, and there may be less information available about foreign issuers. Securities of foreign issuers are generally less liquid and more volatile than those of comparable domestic Issuers. There is frequently less government regulation of broker-dealers and issuers than in the United States. In addition, investments in foreign countries are subject to the possibility of expropriation, confiscatory taxation, political or social instability or diplomatic developments that could adversely affect the value of those investments.
|
||
H.
|
Illiquid Securities: A security may be considered illiquid if it lacks a readily available market. Securities are generally considered liquid if they can be sold or disposed of in the ordinary course of business within seven days at approximately the price at which the security is valued by a Fund. Illiquid securities may be valued under methods approved by the Fund’s Board of Trustees as reflecting fair value. The Fund intends to hold no more than 15% of its net assets in illiquid securities. At December 31, 2015, the Fund had investments in illiquid securities with a total value of $402,727 or 4.1% of total net assets.
|
|
Information concerning these illiquid securities in the Fund is as follows:
|
PAR
|
Dates Acquired
|
Cost Basis
|
||
Arch Coal, Inc., due 6/15/2021
|
$ 130,000
|
12/15
|
$ 2,031
|
|
|
||||
Commonwealth of Puerto Rico, due 7/1/2020
|
250,000
|
12/14
|
191,205
|
|
Goodrich Petroleum Corp., due 10/1/2032
|
41,500
|
2/15
|
19,205
|
|
GT Advanced Technologies, Inc.,
due 12/15/2020
|
1,169,000
|
12/15
|
7,306
|
|
Puerto Rico Sales Tax Financing Corp.,
|
||||
due 8/1/2021
|
150,000
|
5/15
|
102,441
|
|
Puerto Rico Sales Tax Financing Corp.,
|
||||
due 8/1/2022
|
150,000
|
5/15
|
101,332
|
|
Puerto Rico Sales Tax Financing Corp.,
|
||||
due 8/1/2040
|
145,000
|
5/15
|
96,204
|
I.
|
Leverage and Short Sales: The Fund may use leverage in connection with its investment activities and may affect 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 the shorted security at the higher price to complete the transaction. Therefore, short sales may be subject to greater risks than investments in long positions. With a long position, the maximum sustainable loss is limited to the amount paid for the security plus the transaction costs, whereas there is no maximum attainable price of the shorted security. The Fund would also incur increased transaction costs associated with selling securities short. In addition, if the Fund sells securities short, it must maintain a segregated account with its custodian containing cash or high-grade securities equal to (i) the greater of the current market value of the securities sold short or the market value of such securities at the time they were sold short, less (ii) any collateral deposited with the Fund’s broker (not including the proceeds from the short sales). The Fund may be required to add to the segregated account as the market price of a shorted security increases. As a result of maintaining and adding to its segregated account, the Fund may maintain higher levels of cash or liquid assets (for example, U.S. Treasury bills, repurchase agreements, high quality commercial paper and long equity positions) for collateral needs thus reducing its overall managed assets available for trading purposes. In lieu of maintaining cash or high-grade securities in a segregated account to cover the Fund’s short sale obligations, the Fund may earmark cash or high-grade securities on the Fund’s records or hold offsetting positions.
|
||
J.
|
Derivatives: The Fund has adopted the financial accounting reporting rules as required by the Derivatives and Hedging Topic of the FASB Accounting Standards Codification. The Fund is required to include enhanced disclosure that enables investors to understand how and why an entity uses
|
derivatives, how derivatives are accounted for, and how derivative instruments affect an entity's results of operations and financial position.
|
|
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 written option. When a written option 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 put 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.
|
|
With options, there is minimal counterparty credit risk to the Fund since the options are covered or secured, which means that the Fund will own the underlying security or, to the extent they do not hold such a portfolio, will either earmark securities or maintain a segregated account with the Fund’s custodian consisting of high quality liquid securities equal to the market value of the option, marked to market daily.
|
|
Options purchased are recorded as investments and marked-to-market daily to reflect the current fair value of the option contract. If an option purchased expires, a loss is realized in the amount of the cost of the option contract. If a closing transaction is entered into, a gain or loss is realized to the extent that the proceeds from the sale are greater or less than the cost of the option. If a purchase put option is exercised, a gain or loss is realized from the sale of the underlying security by adjusting the proceeds from such sale by the amount of the premium originally paid. If a purchased call option is exercised, the cost of the security purchased upon exercise is increased by the premium originally paid.
|
|
The Fund may enter into total return swap agreements. A total return swap entered into by the Fund is a derivative contract that transfers the market risk of underlying assets. The notional amount of each total return swap agreement is the agreed upon amount or value of the index used for calculating the returns that the parties to a swap agreement have agreed to exchange. The total return swaps are marked to market daily and any change is recorded in unrealized gain/loss on the statement of operations. Gains or losses will be realized when the total return swap contracts are liquidated and will be presented as net realized gain or loss on swap contracts on the statement of operations.
|
|
The Fund invests in total return swaps to obtain exposure to the underlying referenced instrument, obtain leverage or attain the returns from ownership without actually owning the underlying position. Total return swaps are two-party contracts that generally obligate one party to pay the positive return and the other party to pay the negative return on a specified reference security, security index or index component during the period of the swap. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the counterparty to a total return swap defaults, the Fund’s risk of loss consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Total return swaps are derivatives and their value can be volatile. To the extent that the Advisor does not accurately analyze and predict future market trends, the values of assets or economic factors, the Fund may suffer a loss, which may exceed the related amounts shown in the statement of assets and liabilities. Total return swap contracts outstanding at period end are listed after the Fund’s schedule of investments.
|
|
As of December 31, 2015, the location of derivatives in the statement of assets and liabilities and the value of the derivative instruments categorized by risk exposure is as follows:
|
Derivative Type
|
Statement of Assets and Liabilities Location
|
Value
|
|
Equity Contracts
Purchased Option
|
Investments in securities, at value
|
$ 7,575
|
|
Equity Contracts
|
Unrealized appreciation on swap contracts
|
4,614
|
|
Equity Contracts
|
Unrealized depreciation on swap contracts
|
(5,988)
|
|
The effect of derivative instruments on the statement of operations for the year ended December 31, 2015 is as follows:
|
Derivative Type
|
Location of Gain/(Loss) on Derivatives Recognized in Income
|
Value
|
|
Equity Contracts
|
Realized gain on purchased options
|
$39,955
|
|
Equity Contracts
|
Realized gain on written options
|
4,098
|
|
Equity Contracts
|
Realized gain on swap contracts
|
34,005
|
|
Equity Contracts
|
Change in unrealized depreciation on purchased options
|
(3,798)
|
|
Equity Contracts
|
Change in unrealized depreciation on swap contracts
|
(1,374)
|
The average monthly market values of purchased and written options during the year ended December 31, 2015 for the Fund was $3,069 and $7,709, respectively. The average monthly notional values of long and short total return swaps held by the Fund during the year ended December 31, 2015 were $452,020 and $100,042, respectively.
|
|
Transactions in written options contracts for the year ended December 31, 2015, are as follows:
|
Contracts
|
Premiums Received
|
|||||||
Beginning Balance
|
-
|
$
|
-
|
|||||
Options written | 54 |
13,381
|
||||||
Options closed
|
(7
|
)
|
(3,002
|
)
|
||||
Options exercised
|
(11
|
)
|
(8,230
|
)
|
||||
Options expired
|
(36
|
)
|
(2,149
|
)
|
||||
Outstanding at December 31, 2015
|
-
|
$
|
-
|
Gross Amounts not Offset in the
Statement of Assets and Liabilities
|
|||||||||||||||||
Gross
|
|||||||||||||||||
Amounts
|
|||||||||||||||||
of
|
|||||||||||||||||
Recognized
|
Collateral
|
||||||||||||||||
Assets or
Liabilities
|
Financial
Instruments*
|
Pledged
(Received)**
|
Net
Amount
|
||||||||||||||
Assets:
|
|||||||||||||||||
Description
|
|||||||||||||||||
Unrealized appreciation
|
|||||||||||||||||
on open swap contracts
|
$
|
4,614
|
$
|
(4,614
|
)
|
$
|
-
|
$
|
-
|
||||||||
$
|
4,614
|
$
|
(4,614
|
)
|
$
|
-
|
$
|
-
|
|||||||||
Liabilities:
|
|||||||||||||||||
Description
|
|||||||||||||||||
Unrealized depreciation
|
|||||||||||||||||
on open swap contracts
|
$
|
5,988
|
$
|
(4,614
|
) |
$
|
1,374
|
$
|
-
|
||||||||
$
|
5,988
|
$
|
(4,614
|
) |
$
|
1,374
|
$
|
-
|
|
*Amounts relate to master netting agreements and collateral agreements with Goldman Sachs & Co. which have been determined by the Advisor to be legally enforceable in the event of default and where certain other criteria are met in accordance with applicable offsetting accounting guidance.
|
|
**Amounts relate to master netting agreements and collateral agreements with Goldman Sachs & Co. which have been determined by the Advisor to be legally enforceable in the event of default but where certain other criteria are not met in accordance with applicable offsetting accounting guidance. The collateral amounts may exceed the related net amounts of financial assets and liabilities presented in the Statement of Assets and Liabilities. Where this is the case, the total amount reported is limited to the net amounts of financial assets and liabilities with that counterparty.
|
K.
|
Events Subsequent to the Fiscal Year End: In preparing the financial statements as of December 31, 2015, management considered the impact of subsequent events for potential recognition or disclosure in the financial statements.
|
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.
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||||
Assets:
|
|||||||||||||||||
Common Stocks
|
|||||||||||||||||
Administrative Support
|
$
|
124,605
|
$
|
-
|
$
|
-
|
$
|
124,605
|
|||||||||
Finance and Insurance
|
1,402,884
|
-
|
-
|
1,402,884
|
|||||||||||||
Information
|
1,109,866
|
-
|
-
|
1,109,866
|
|||||||||||||
Management of Companies
|
102,096
|
-
|
-
|
102,096
|
|||||||||||||
and Enterprises
|
|||||||||||||||||
Manufacturing
|
2,438,469
|
-
|
-
|
2,438,469
|
|||||||||||||
Professional, Scientific and
|
492,543
|
-
|
-
|
492,543
|
|||||||||||||
Technical Services
|
|||||||||||||||||
Retail Trade
|
115,712
|
-
|
-
|
115,712
|
|||||||||||||
Transportation and
|
167,019
|
-
|
-
|
167,019
|
|||||||||||||
Warehousing
|
|||||||||||||||||
Utilities
|
124,848
|
-
|
-
|
124,848
|
|||||||||||||
Wholesale Trade
|
55,328
|
-
|
-
|
55,328
|
|||||||||||||
Total Common Stock
|
6,133,370
|
-
|
-
|
6,133,370
|
|||||||||||||
REITS
|
113,712
|
-
|
-
|
113,712
|
|||||||||||||
Closed-End Funds
|
412,442
|
-
|
-
|
412,442
|
|||||||||||||
Fixed Income
|
|||||||||||||||||
Convertible Bonds
|
-
|
149,727
|
-
|
149,727
|
|||||||||||||
Corporate Bonds
|
-
|
8,288
|
-
|
8,288
|
|||||||||||||
Municipal Bonds
|
-
|
455,575
|
-
|
455,575
|
|||||||||||||
Total Fixed Income
|
-
|
613,590
|
-
|
613,590
|
|||||||||||||
Purchased Options
|
|||||||||||||||||
Put Options
|
1,950
|
5,625
|
-
|
7,575
|
|||||||||||||
Total Purchased Options
|
1,950
|
5,625
|
-
|
7,575
|
|||||||||||||
Money Market Funds
|
1,853,243
|
-
|
-
|
1,853,243
|
|||||||||||||
Total Investments in
|
|||||||||||||||||
Securities
|
$
|
8,514,717
|
$
|
619,215
|
$
|
-
|
$
|
9,133,932
|
|||||||||
Swap Contracts*
|
$
|
-
|
$
|
4,614
|
$
|
-
|
$
|
4,614
|
|||||||||
Liabilities:
|
|||||||||||||||||
Securities Sold Short
|
$
|
2,312,769
|
$
|
157,437
|
$
|
-
|
$
|
2,470,206
|
|||||||||
Swap Contracts*
|
$
|
-
|
$
|
5,988
|
$
|
-
|
$
|
5,988
|
Date
|
Amount
|
12/31/17
|
$ 24,266
|
12/31/18
|
193,485
|
$217,751
|
Administration and Fund Accounting
|
$103,674
|
Transfer agency (a)
|
35,665
|
Custody
|
7,409
|
Chief Compliance Officer
(a) Does not include out-of-pocket expenses.
|
8,936
|
Administration and Fund Accounting
|
$25,772
|
Transfer agency (a)
|
9,014
|
Custody
|
1,515
|
Chief Compliance Officer
(a) Does not include out-of-pocket expenses.
|
2,250
|
|
December 31, 2015
|
December 31, 2014
|
Ordinary Income
|
$181,629
|
$ -
|
Long-Term Capital Gains | - | - |
Cost of investments (a)
|
$
|
9,514,512
|
||
Gross unrealized appreciation
|
428,506
|
|||
Gross unrealized depreciation
|
(809,086
|
)
|
||
Net unrealized depreciation (a)
|
(380,580
|
)
|
||
Net unrealized appreciation on short sales,
|
50,749
|
|||
swap contracts and foreign currency
|
||||
Undistributed ordinary income
|
-
|
|||
Undistributed long-term capital gain
|
-
|
|||
Total distributable earnings
|
-
|
|||
Other accumulated gains/(losses)
|
(55,400
|
)
|
||
Total accumulated earnings/(losses)
|
$
|
(385,231
|
)
|
1.
|
THE NATURE, EXTENT AND QUALITY OF THE SERVICES PROVIDED AND TO BE PROVIDED BY THE ADVISOR UNDER THE ADVISORY AGREEMENT. The Board considered the nature, extent and quality of the Advisor’s overall services provided to the Funds as well as its specific responsibilities in all aspects of day-to-day investment management of the Funds. The Board considered the qualifications, experience and responsibilities of the portfolio managers, as well as the responsibilities of other key personnel of the Advisor involved in the day-to-day activities of the Funds. The Board also considered the resources and compliance structure of the Advisor, including information regarding its compliance program, its chief compliance officer, the Advisor’s compliance record, and the Advisor’s disaster recovery/business continuity plan. The Board also considered the prior relationship between the Advisor and the Trust, as well as the Board’s knowledge of the Advisor’s operations, and noted that during the course of the prior year they had met with the Advisor in person to discuss Fund performance and investment outlook as well as various marketing and compliance topics, including the Advisor’s risk management process. The Board concluded that the Advisor had the quality and depth of personnel, resources, investment methods and compliance policies and procedures essential to performing its duties under the Advisory Agreement and that the nature, overall quality and extent of such management services are satisfactory.
|
|
2.
|
THE FUNDS’ HISTORICAL PERFORMANCE AND THE OVERALL PERFORMANCE OF THE ADVISOR. In assessing the quality of the portfolio management delivered by the Advisor, the Board reviewed the performance of the Event Fund and the Merger Fund as of June 30, 2015 on both an absolute basis and in comparison to appropriate securities benchmarks and its peer funds utilizing Lipper and Morningstar classifications. When reviewing performance of the Merger Fund against the comparative peer group universe, the Board took into account that the investment objective and strategies of the Merger Fund, as well as its level of risk tolerance, may differ significantly from funds in the peer
|
universe. When reviewing performance for the Event Fund, the Board noted that the Fund had only recently commenced operations on November 28, 2014, and as such only had limited performance to consider at this time.
|
||
Kellner Merger Fund: The Board noted that the Merger Fund’s performance, with regard to its Lipper comparative universe, was significantly above its peer group median for all relevant periods.
|
||
The Board noted that the Fund’s performance, with regard to its Morningstar comparative universe, was significantly above its peer group median for all relevant periods.
|
||
The Board also considered any differences in performance between similarly managed accounts (managed by the Advisor’s affiliate) and the performance of the Fund as well as the reasons for any performance differences and reviewed the performance of the Fund against broad-based securities market benchmarks.
|
||
Kellner Event Fund: The Board noted that the Event Fund’s performance, with regard to its Lipper comparative universe, was slightly above its peer group median for the three-month period, and was slightly below its peer group median for the year-to-date period.
|
||
The Board noted that the Fund’s performance, with regard to its Morningstar comparative universe, was slightly above its peer group median for the three-month period, and was above its peer group median for the year-to-date period.
|
||
The Board did not consider the Fund’s short performance history to be meaningful at this point and also noted the Advisor did not consider the Fund to have enough meaningful performance at present to make comparison in performance between similarly managed accounts (managed by the Advisor’s affiliate) and the performance of the Fund. The Board also reviewed the limited performance of the Fund against broad-based securities market benchmarks.
|
||
3.
|
THE COSTS OF THE SERVICES TO BE PROVIDED BY THE ADVISOR AND THE STRUCTURE OF THE ADVISOR’S FEE UNDER THE ADVISORY AGREEMENT. In considering the advisory fee and total fees and expenses of each Fund, the Board reviewed comparisons to the peer funds and similarly managed separate accounts for other types of clients advised by the Advisor, as well as all expense waivers and reimbursements. When reviewing fees charged to other similarly managed accounts, the Board took into account the type of account and the differences in the management of that account that might be germane to the difference, if any, in the fees charged to such accounts. The Board found that the fees charged to the Funds were generally lower than the fees charged to similarly managed account clients (managed by the Advisor’s affiliate), and to the extent fees charged to the similarly managed account clients were higher than for the Funds, it was largely a reflection of the nature of the client.
|
Kellner Merger Fund: The Board noted that the Advisor had contractually agreed to maintain an annual expense ratio for the Fund of 1.75% for Investor Class shares and 1.50% for the Institutional Class (the “Expense Caps”). The Board noted that the Fund’s total expense ratio for Investor Class shares was above the peer group median and average and the total expense ratio for Institutional Class shares was below the peer group median and average. The Board also noted that the contractual advisory fee was equal to the peer group median and slightly above the peer group average but that its net advisory fee was below the median of its peer group. The Board also took into consideration the services the Advisor’s affiliate provides to its similarly managed account clients, comparing the fees charged for those management services to the fees charged to the Fund. The Board found that the management fees charged to the Fund were generally below the management fees charged by the Advisor’s affiliate to its similarly managed account clients. The Trustees noted that the Fund’s expenses and advisory fee were not outside the range of its peer group.
|
||
Kellner Event Fund: The Board noted that the Advisor had contractually agreed to maintain an annual expense ratio for the Fund of 1.99% for Investor Class shares and 1.74% for the Institutional Class (the “Expense Caps”). The Board noted that the Fund’s total expense ratio for Investor Class shares was significantly above the peer group median and average and the total expense ratio for Institutional Class shares was above the peer group median and average. The Board also noted that the contractual advisory fee was significantly above its peer group median and average, however the Board also considered that after advisory fee waivers and the payment of Fund expenses necessary to maintain the Expense Caps, the Advisor received no advisory fees from the Fund during the most recent fiscal period. The Board also took into consideration the services the Advisor’s affiliate provides to its similarly managed account clients, comparing the fees charged for those management services to the fees charged to the Fund. The Board found that the management fees charged to the Fund were generally below the management fees charged by the Advisor’s affiliate to its similarly managed account clients. The Trustees noted that the Fund’s expenses and advisory fee were not outside the range of its peer group.
|
||
4.
|
ECONOMIES OF SCALE. The Board also considered whether economies of scale were being realized by the Advisor that should be shared with shareholders. In this regard, the Board noted that the Advisor anticipated recognizing certain economies of scale if Fund assets should increase materially from current levels. The Board noted that the Advisor has contractually agreed to reduce its advisory fees or reimburse Fund expenses so that the Funds do not exceed their specified Expense Caps. The Board noted that at current asset levels, it did not appear that there were additional significant economies of scale being realized by the Advisor that should be shared with shareholders and concluded that it would continue to monitor economies of scale in the future as circumstances changed and assuming asset levels continue to increase.
|
|
5.
|
THE PROFITS TO BE REALIZED BY THE ADVISOR AND ITS AFFILIATES FROM THEIR RELATIONSHIP WITH THE FUNDS. The Board reviewed the Advisor’s financial information and took into account both the direct benefits and the indirect benefits to the Advisor
|
from advising the Funds. The Board considered the profitability to the Advisor from its relationship with the Funds and considered any additional benefits derived by the Advisor from its relationship with the Funds, including benefits received in the form of Rule 12b-1 fees received from the Funds with respect to Investor Class shares and which are used to offset broker-dealer platform fees and other distribution and marketing costs, as well as any “soft dollar” benefits that may be received by the Advisor in exchange for Fund brokerage. The Board also reviewed information from the Advisor indicating that the Advisor does not have any clients who invest in the Funds through separately managed accounts, and as a result the Advisor was not receiving additional fall-out benefits from any such relationships. After such review, the Board determined that the profitability to the Advisor with respect to the Advisory Agreement was not excessive, and that the Advisor had maintained adequate resources and profit levels to support the services it provides to the Funds.
|
Independent Trustees(1)
|
|||||
Number of
|
|||||
Portfolios
|
|||||
Term of
|
in Fund
|
Other
|
|||
Position
|
Office and
|
Principal
|
Complex
|
Directorships
|
|
Held
|
Length of
|
Occupation
|
Overseen
|
Held During
|
|
Name, Address
|
with the
|
Time
|
During Past Five
|
by
|
Past Five
|
and Age
|
Trust
|
Served
|
Years
|
Trustee(2)
|
Years(3)
|
Gail S. Duree
|
Trustee
|
Indefinite
|
Director, Alpha
|
2
|
Trustee,
|
(age 69)
|
Gamma Delta
|
Advisors
|
|||
615 E. Michigan Street
|
Housing
|
Series Trust
|
|||
Milwaukee, WI 53202
|
Corporation
|
(for series
|
|||
(collegiate housing
|
not affiliated
|
||||
management) (2012
|
with the
|
||||
to present); Trustee
|
Funds);
|
||||
and Chair (2000 to
|
Independent
|
||||
2012), New
|
Trustee from
|
||||
Covenant Mutual
|
1999 to
|
||||
Funds (1999-2012);
|
2012, New
|
||||
Director and Board
|
Covenant
|
||||
Member, Alpha
|
Mutual
|
||||
Gamma Delta
|
Funds (an
|
||||
Foundation
|
open-end
|
||||
(philanthropic
|
investment
|
||||
organization) (2005
|
company
|
||||
to 2011).
|
with 4
|
||||
portfolios).
|
|||||
Donald E. O’Connor
|
Trustee
|
Indefinite
|
Retired; former
|
2
|
Trustee,
|
(age 79)
|
term since
|
Financial
|
Advisors
|
||
615 E. Michigan Street
|
March 2014.
|
Consultant and
|
Series Trust
|
||
Milwaukee, WI 53202
|
former Executive
|
(for series
|
|||
term since February 1997.
|
Vice President and
|
not affiliated
|
|||
Chief Operating
|
with the
|
||||
Officer of ICI
|
Funds);
|
||||
|
Mutual Insurance
|
Trustee, The
|
|||
Company (until
|
Forward
|
||||
January 1997).
|
Funds (26
|
||||
portfolios).
|
George J. Rebhan (age 81)
615 E. Michigan Street Milwaukee, WI 53202
|
Trustee
|
Indefinite term since May 2002.
|
Retired; formerly President, Hotchkis and Wiley Funds (mutual funds) (1985 to 1993).
|
2
|
Trustee, Advisors Series Trust (for series not affiliated with the Funds); Independent Trustee from 1999 to
2009, E*TRADE
Funds.
|
|
George T. Wofford
|
Trustee
|
Indefinite
|
Retired; formerly
|
2
|
Trustee,
|
|
(age 76)
|
term since
|
Senior Vice
|
Advisors
|
|||
615 E. Michigan Street
|
February
|
President, Federal
|
Series Trust
|
|||
Milwaukee, WI 53202
|
1997.
|
Home Loan Bank
|
(for series
|
|||
of San Francisco.
|
not affiliated
|
|||||
with the
|
||||||
Funds).
|
||||||
Interested Trustee
|
||||||
Number of
|
||||||
Portfolios
|
||||||
in Fund
|
Other
|
|||||
Position
|
Term of
|
Principal
|
Complex
|
Directorships
|
||
Held
|
Office and
|
Occupation
|
Overseen
|
Held During
|
||
Name, Address
|
with the
|
Length of
|
During Past
|
by
|
Past Five
|
|
and Age
|
Trust
|
Time Served
|
Five Years
|
Trustee(2)
|
Years(3)
|
|
Joe D. Redwine(4)
|
Interested
|
Indefinite term
|
President, CEO,
|
2
|
Trustee,
|
|
(age 68)
|
Trustee
|
since
|
U.S. Bancorp
|
Advisors Series
|
||
615 E. Michigan Street
|
September
|
Fund Services,
|
Trust (for series
|
|||
Milwaukee, WI 53202
|
2008.
|
LLC (May 1991
|
not affiliated
|
|||
to present).
|
with the Funds).
|
Position
|
Term of
|
Principal
|
|
Held
|
Office and
|
Occupation
|
|
Name, Address
|
with the
|
Length of
|
During Past
|
and Age
|
Trust
|
Time Served
|
Five Years
|
Joe D. Redwine
|
Chairman and Chief
|
Indefinite
|
President, CEO, U.S.
|
(age 68)
|
Executive Officer
|
term since
|
Bancorp Fund Services,
|
615 E. Michigan Street
|
September
|
LLC (May 1991 to
|
|
Milwaukee, WI 53202
|
2007.
|
||
Douglas G. Hess
|
President and Principal
|
Indefinite
|
Senior Vice President,
|
(age 48)
|
Executive Officer
|
term since
|
Compliance and
|
615 E. Michigan Street
|
June 2003.
|
Administration, U.S.
|
|
Position
|
Term of
|
Principal
|
|
Held
|
Office and
|
Occupation
|
|
Name, Address
|
with the
|
Length of
|
During Past
|
and Age
|
Trust
|
Time Served
|
Five Years
|
Milwaukee, WI 53202
|
Bancorp Fund Services,
|
||
LLC (March 1997 to
|
|||
present).
|
Cheryl L. King
|
Treasurer and Principal
|
Indefinite
|
Vice President,
|
(age 54)
|
Financial Officer
|
term since
|
Compliance and
|
615 E. Michigan Street
|
December
|
Administration, U.S.
|
|
Milwaukee, WI 53202
|
2007.
|
Bancorp Fund Services,
|
|
LLC (October 1998 to
|
|||
present).
|
|||
Kevin J. Hayden
|
Assistant Treasurer
|
Indefinite
|
Assistant Vice President,
|
(age 44)
|
term since
|
Compliance and
|
|
615 E. Michigan Street
|
September
|
Administration, U.S.
|
|
Milwaukee, WI 53202
|
2013.
|
Bancorp Fund Services,
|
|
LLC (June 2005 to
|
|||
present).
|
|||
Albert Sosa
|
Assistant Treasurer
|
Indefinite
|
Assistant Vice President,
|
(age 45)
|
term since
|
Compliance and
|
|
615 E. Michigan Street
|
September
|
Administration, U.S.
|
|
Milwaukee, WI 53202
|
2013.
|
Bancorp Fund Services,
|
|
LLC (June 2004 to
|
|||
present).
|
|||
Michael L. Ceccato
|
Vice President, Chief
|
Indefinite
|
Senior Vice President,
|
(age 58)
|
Compliance Officer and
|
term since
|
U.S. Bancorp Fund
|
615 E. Michigan Street
|
AML Officer
|
September
|
Services, LLC (February
|
Milwaukee, WI 53202
|
2009.
|
2008 to present).
|
|
Jeanine M. Bajczyk, Esq.
|
Secretary
|
Indefinite
|
Senior Vice President and
|
(age 50)
|
term since
|
Counsel, U.S. Bancorp
|
|
615 E. Michigan Street
|
September
|
Fund Services, LLC (May
|
|
Milwaukee, WI 53202
|
2015.
|
2006 to present).
|
|
Emily R. Enslow, Esq.
|
Assistant Secretary
|
Indefinite
|
Assistant Vice President,
|
(age 29)
|
term since
|
U.S. Bancorp Fund
|
|
615 E. Michigan Street
|
September
|
Services, LLC (July 2013 -
|
|
Milwaukee, WI 53202
|
2015.
|
present); Proxy Voting
|
|
|
Coordinator and Class
|
||
Action Administrator,
|
|||
Artisan Partners Limited
|
|||
Partnership (September
|
|||
2012 – July 2013); Legal
|
|||
Internship, Artisan
|
|||
Partners Limited
|
|||
Partnership (February
|
|||
2012 – September 2012);
|
|||
J.D. Graduate, Marquette
|
Position
|
Term of
|
Principal
|
|
Held
|
Office and
|
Occupation
|
|
Name, Address
|
with the
|
Length of
|
During Past
|
and Age
|
Trust
|
Time Served
|
Five Years
|
University Law School
|
|||
(2009-2012).
|
(1)
|
The Trustees of the Trust who are not “interested persons” of the Trust as defined under the 1940 Act (“Independent Trustees”).
|
(2)
|
As of December 31, 2015, the Trust was comprised of 47 active portfolios managed by unaffiliated investment advisors. The term “Fund Complex” applies only to the Fund and the Kellner Merger Fund. The Funds do not hold themselves out as related to any other series within the Trust for investment purposes, nor do they share the same investment adviser with any other series.
|
(3)
|
“Other Directorships Held” includes only directorships of companies required to register or file reports with the SEC under the Securities Exchange Act of 1934, as amended, (that is, “public companies”) or other investment companies registered under the 1940 Act.
|
(4)
|
Mr. Redwine is an “interested person” of the Trust as defined by the 1940 Act. Mr. Redwine is an interested Trustee of the Trust by virtue of the fact that he is an interested person of Quasar Distributors, LLC who acts as principal underwriter to the series of the Trust.
|
FYE 12/31/2015
|
FYE 12/31/2014
|
|
Audit Fees
|
$34,800
|
$23,200
|
Audit-Related Fees
|
N/A
|
N/A
|
Tax Fees
|
$6,600
|
$6,400
|
All Other Fees
|
N/A
|
N/A
|
FYE 12/31/2015
|
FYE 12/31/2014
|
|
Audit-Related Fees
|
0%
|
0%
|
Tax Fees
|
0%
|
0%
|
All Other Fees
|
0%
|
0%
|
Non-Audit Related Fees
|
FYE 12/31/2015
|
FYE 12/31/2014
|
Registrant
|
N/A
|
N/A
|
Registrant’s Investment Adviser
|
N/A
|
N/A
|
(a)
|
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.
|
(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, as amended, (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 fourth 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 subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Filed herewith.
|
(b)
|
Certification pursuant to Section 906 of the Sarbanes‑Oxley Act of 2002. Furnished herewith.
|
1.
|
HONEST AND ETHICAL CONDUCT.
|
2.
|
FINANCIAL RECORDS AND REPORTING
|
3.
|
COMPLIANCE WITH LAWS, RULES AND REGULATIONS
|
4.
|
COMPLIANCE WITH THIS CODE OF ETHICS
|
5.
|
AMENDMENT AND WAIVER
|
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 fourth 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: 3/10/16
|
/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
|
(d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the fourth 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: 3/10/16
|
/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: 3/10/16
|
Dated: 3/10/16
|
JBEX:[$R+:= =@=N&T_1_1Y N:VO_ (G8G:SJ==4WY6.7 G<_
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M8@J".WR)I_J^72UJOYZOQ4IZJJIXNL>_*V*GJ:BGBK:6;XWK2UL4$SQ1UM*M
M9\CJ2L6FJT021B:**8(PUHC74(4]NK5D1C[EEK.SOYW&W\S18['5E+CX-M_+'K;9?CGJJBEF\M5!UWNOKQ