N-Q 1 clsnq.htm N-Q GemCom, LLC

united states
securities and exchange commission
washington, d.c. 20549

form n-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-08037

 

AdvisorOne Funds

(Exact name of registrant as specified in charter)

 

17605 Wright Street Suite 2, Omaha, NE 68130

(Address of principal executive offices) (Zip code)

 

Gemini Fund Services, LLC., 80 Arkay Drive Suite 110, Hauppauge, NY 11788

(Name and address of agent for service)

 

Registrant's telephone number, including area code: 402-493-3313

 

Date of fiscal year end: 4/30

 

Date of reporting period: 1/31/15

 

 

Item 1. Schedule of Investments.

 

CLS Funds Quarterly Report
 
Schedule of Investments - Global Diversified Equity Fund (Unaudited)
January 31, 2015
    Shares   Value
Equity Funds - 98.92%        
Commodity Funds - 1.85%        
PowerShares DB Agriculture Fund * +          442,000    $         10,227,880
         
Developed International - 32.81%        
iShares Europe ETF +          355,000               15,169,150
iShares MSCI EAFE ETF          545,300               33,377,813
iShares MSCI EMU ETF          297,100               10,897,628
iShares MSCI Italy Capped ETF +            96,000                 1,316,160
iShares MSCI Japan ETF          492,500                 5,658,825
PowerShares International Dividend Achievers Portfolio       1,441,498               24,923,500
Vanguard FTSE All-World ex-US ETF          985,500               46,170,675
Vanguard FTSE Europe ETF          498,000               26,234,640
Vanguard FTSE Pacific ETF +          269,000               15,478,260
WisdomTree Global ex-U.S. Dividend Growth Fund +            52,000                 2,587,520
                  181,814,171
Emerging Markets - 12.04%        
iShares Core MSCI Emerging Markets ETF          572,500               26,918,950
iShares MSCI All Country Asia ex Japan ETF +          217,400               13,459,234
iShares MSCI Emerging Markets ETF +          128,700                 5,021,874
iShares MSCI Russia Capped ETF          295,000                 3,318,750
SPDR S&P Emerging Markets Dividend ETF          536,000               18,025,680
                    66,744,488
Global Equity - 4.90%        
FlexShares Global Upstream Natural Resources Index Fund +        180,000                 5,437,800
iShares Global 100 ETF +          292,200               21,716,304
                    27,154,104
Large Cap Core - 20.10%        
iShares MSCI USA Momentum Factor ETF +            52,000                 3,514,680
Powershares FTSE RAFI US 1000 Portfolio +            32,000                 2,816,640
PowerShares S&P 500 High Quality Portfolio          100,000                 2,265,000
SPDR Consumer Staples Select Sector Fund          320,000               15,366,400
SPDR Health Care Select Sector Fund          218,600               15,142,422
Vanguard Dividend Appreciation ETF          683,016               53,562,115
Vanguard Mega Cap ETF +          275,000               18,727,500
                  111,394,757
Large Cap Growth - 19.49%        
Fidelity MSCI Information Technology Index ETF +            71,000                 2,170,470
iShares MSCI USA Quality Factor ETF          543,840               33,266,693
iShares Russell 1000 Growth ETF          215,900               20,339,939
iShares Russell Top 200 Growth ETF          204,500               10,161,605
SPDR Technology Select Sector Fund          865,000               34,513,500
Vanguard Information Technology ETF +            75,000                 7,560,750
                  108,012,957

 

 

Refer to the Notes to Financial Statements in this Report for further information regarding the values set forth above.

 

CLS Funds Quarterly Report
 
Schedule of Investments - Global Diversified Equity Fund (Unaudited) (Continued)
January 31, 2015
    Shares   Value
Large Cap Value - 7.73%        
SPDR Energy Select Sector Fund +          275,000    $         20,776,250
SPDR Financial Select Sector Fund          840,100               19,330,701
Vanguard Consumer Staples ETF            22,000                 2,715,680
                    42,822,631
         
Total Equity Funds (cost $488,202,326)                 548,170,988
         
Money Market Funds - 1.18%        
Short-Term Cash - 1.18%        
Federated Prime Cash Obligations Fund, 0.04% **       6,548,271                 6,548,271
Total Money Market Funds (cost $6,548,271)                     6,548,271
         
Collateral for Securities Loaned - 8.52%        
Milestone Treasury Obligations Fund Institutional Class, 0.06% **   42,022,598               42,022,598
U.S. Treasury Notes: 0.250% - 4.250%, 06/30/15 - 5/15/23       5,217,043                 5,217,043
Total Collateral for Securities Loaned (cost $47,239,641)               47,239,641
         
Total Investments (cost $541,990,238) (a) - 108.62%        $       601,958,900
Liabilities Less Other Assets - Net - (8.62)%                 (47,761,769)
NET ASSETS - 100.00%        $       554,197,131
         
 * Non-income producing security.        
+  All or a portion of this security is on loan.  Total loaned securities had a value of $46,149,243 at January 31, 2015.
** Money Market Fund; Interest rate reflects seven-day effective yield on January 31, 2015.    
         
DB - Deutsche Bank        
EAFE - Europe, Australasia, Far East        
EMU - European Monetary Union        
ETF - Exchange Traded Fund        
FTSE - Financial Times Stock Exchange        
MSCI - Morgan Stanley Capital International        
RAFI - Research Affiliates        
SPDR - Standard & Poors' Depositary Receipts        
         
(a) Represents cost for financial reporting purposes.   Aggregate cost for federal tax purposes is      
$542,348,827 and differs from market value by net unrealized appreciation (depreciation)    
of securities as follows:        
    Unrealized appreciation:    $                66,841,391
    Unrealized depreciation:                       (7,231,318)
    Net unrealized appreciation:    $                59,610,073

 

 

Refer to the Notes to Financial Statements in this Report for further information regarding the values set forth above.

 

CLS Funds Quarterly Report
 
Schedule of Investments - Growth and Income Fund (Unaudited)
January 31, 2015
    Shares    Value
Bond Funds - 37.69%        
High Yield Bonds - 0.14%        
SPDR Blackstone / GSO Senior Loan ETF            12,347    $                    597,965
         
Intermediate/Long-Term Bonds - 17.28%        
iShares Floating Rate Bond ETF          442,800                     22,392,396
iShares iBoxx $ Investment Grade Corporate Bond ETF            70,800                       8,771,412
PIMCO Total Return Active Exchange-Traded Fund +          356,268                     39,410,366
Vanguard Intermediate-Term Corporate Bond ETF +            22,500                       1,995,750
                          72,569,924
International Bond - 5.74%        
iShares JP Morgan USD Emerging Markets Bond ETF +          165,699                     18,518,520
PIMCO Global Advantage Inflation-Linked Bond Active ETF        100,000                       4,556,010
PowerShares Emerging Markets Sovereign Debt Portfolio +          35,500                       1,021,690
                          24,096,220
Short-Term Bonds - 14.53%        
iShares TIPS Bond ETF          268,600                     31,058,218
PIMCO Enhanced Short Maturity Active ETF          236,100                     23,864,988
Schwab U.S. TIPs ETF * +            35,000                       1,957,200
SPDR Nuveen Barclays Short Term Municipal Bond ETF +          65,000                       1,590,550
SPDR Barclays Short Term Corporate Bond ETF +            82,133                       2,523,126
                          60,994,082
         
Total Bond Funds (cost $155,498,044)                       158,258,191
         
Equity Funds - 61.07%        
Alternative - 0.86%        
WisdomTree Managed Futures Strategy Fund * +            81,932                       3,623,033
         
Commodity Funds - 2.89%        
Market Vectors Junior Gold Miners ETF +          104,000                       2,884,960
PowerShares DB Agriculture Fund * +          156,608                       3,623,909
PowerShares DB Commodity Index Tracking Fund * +          323,333                       5,625,994
                          12,134,863
         
Developed International - 14.93%        
iShares MSCI EAFE Minimum Volatility ETF          180,888                     11,605,774
iShares MSCI EMU ETF +          133,100                       4,882,108
iShares MSCI Japan ETF          493,000                       5,664,570
PowerShares International Dividend Achievers Portfolio          908,700                     15,711,423
Vanguard FTSE All-World ex-US ETF          145,000                       6,793,250
Vanguard FTSE Europe ETF          318,000                     16,752,240
WisdomTree Global ex-U.S. Dividend Growth Fund            26,000                       1,293,760
                          62,703,125
Emerging Markets - 5.27%        
iShares Core MSCI Emerging Markets ETF            66,000                       3,103,320
iShares MSCI All Country Asia ex Japan ETF +          127,000                       7,862,570
WisdomTree Emerging Markets Equity Income Fund +          268,558                     11,142,472
                          22,108,362

 

 

 

Refer to the Notes to Financial Statements in this Report for further information regarding the values set forth above.

 

CLS Funds Quarterly Report
 
Schedule of Investments - Growth and Income Fund (Unaudited) (Continued)
January 31, 2015
    Shares    Value
Global Equity - 3.97%        
FlexShares Global Upstream Natural Resources Index Fund +          82,997    $                 2,507,340
iShares Global 100 ETF +          190,700                     14,172,824
                          16,680,164
Inverse Equity - 2.95%        
ProShares Short Russell 2000 *          778,675                     12,380,933
         
Large Cap Core - 14.17%        
First Trust NASDAQ Technology Dividend Index Fund          42,318                       1,112,540
PowerShares S&P 500 High Quality Portfolio +          228,000                       5,164,200
RevenueShares Large Cap ETF +            85,000                       3,360,900
SPDR Consumer Staples Select Sector Fund            50,000                       2,401,000
SPDR Health Care Select Sector Fund            74,700                       5,174,469
Vanguard Dividend Appreciation ETF          539,300                     42,291,906
                          59,505,015
         
Large Cap Growth - 13.32%        
iShares MSCI USA Quality Factor ETF          395,113                     24,169,062
iShares Russell 1000 Growth ETF            46,600                       4,390,186
Powershares QQQ Trust Series 1            64,100                       6,480,510
SPDR Technology Select Sector Fund          309,000                     12,329,100
Vanguard Information Technology ETF            34,000                       3,427,540
Vanguard Mega Cap Growth ETF +            64,000                       5,127,680
                          55,924,078
Large Cap Value - 2.62%        
SPDR Energy Select Sector Fund +            32,500                       2,455,375
SPDR Financial Select Sector Fund          370,607                       8,527,667
                          10,983,042
Small/Mid-Cap Growth - 0.09%        
SPDR S&P Oil & Gas Equipment & Services ETF +            15,693                          391,540
         
Total Equity Funds (cost $232,300,259)                          256,434,155
         
Money Market Funds - 2.08%        
Short-Term Cash - 2.08%        
Federated Prime Cash Obligations Fund, 0.04% **       8,734,529                       8,734,529
Total Money Market Funds (cost $8,734,529)                           8,734,529
         
Collateral for Securities Loaned - 14.16%        
Milestone Treasury Obligations Fund Institutional Class, 0.06% **   59,453,056                     59,453,056
Total Collateral for Securities Loaned (cost $59,453,056)                     59,453,056

 

 

Refer to the Notes to Financial Statements in this Report for further information regarding the values set forth above.

 

CLS Funds Quarterly Report
 
Schedule of Investments - Growth and Income Fund (Unaudited) (Continued)
January 31, 2015
         Value
         
Total Investments (cost $455,985,888) (a) - 115.00%        $             482,879,931
Liabilities Less Other Assets - Net - (15.00)%                        (62,975,099)
NET ASSETS - 100.00%        $             419,904,832
         
+ All or a portion of this security is on loan.  Total loaned securities had a value of $57,950,524 at January 31, 2015.
* Non-income producing security.        
** Money Market Fund; Interest rate reflects seven-day effective yield on January 31, 2015.      
         
DB - Deutsche Bank        
EAFE - Europe, Australasia, Far East        
EMU - European Monetary Union        
ETF - Exchange Traded Fund        
FTSE - Financial Times Stock Exchange        
MSCI - Morgan Stanley Capital International        
SPDR - Standard & Poors' Depositary Receipts        
TIPS - Treasury Inflation-Protected Securities        
         
(a) Represents cost for financial reporting purposes.   Aggregate cost for federal tax purposes is      
$456,100,533 and differs from market value by net unrealized appreciation (depreciation)      
of securities as follows:        
    Unrealized appreciation:    $                         33,531,598
    Unrealized depreciation:                                (6,752,200)
    Net unrealized appreciation:    $                         26,779,398

 

 

Refer to the Notes to Financial Statements in this Report for further information regarding the values set forth above.

 

CLS Funds Quarterly Report
 
Schedule of Investments - Global Growth Fund (Unaudited)
January 31, 2015
    Shares    Value
Bond Funds - 20.05%        
High Yield Bonds - 3.06%        
PIMCO 0-5 Year High Yield Corporate Bond Index ETF   53,700    $             5,410,812
SPDR Barclays Short Term High Yield Bond ETF   121,500                   3,517,425
                        8,928,237
Intermediate/Long-Term Bonds - 5.54%        
iShares Floating Rate Bond ETF   320,141                 16,189,530
         
International Bond - 3.15%        
iShares JP Morgan USD Emerging Markets Bond ETF +   53,465                   5,975,248
Vanguard Total International Bond ETF   60,000                   3,243,600
                        9,218,848
Short-Term Bonds - 8.30%        
PIMCO Enhanced Short Maturity ETF   160,000                 16,172,800
SPDR Barclays Short Term Corporate Bond ETF +   126,866                   3,897,324
SPDR Nuveen Barclays Short Term Municipal Bond ETF +   171,537                   4,197,510
                      24,267,634
         
Total Bond Funds (cost $58,917,194)                     58,604,249
         
Equity Funds - 78.86%        
Commodity Funds - 2.45%        
GreenHaven Continuous Commodity Index Fund * +   132,000                   2,882,880
iShares S&P GSCI Commodity Indexed Trust * +   217,500                   4,284,750
                        7,167,630
Currency - 0.42%        
PowerShares DB US Dollar Index Bullish Fund *   49,000                   1,231,370
         
Developed International - 19.20%        
Deutsche X-trackers MSCI EAFE Hedged Equity ETF   105,000                   2,920,050
iShares MSCI ACWI ex US ETF   292,229                 12,527,857
iShares MSCI Canada ETF +   202,100                   5,343,524
iShares MSCI EAFE ETF   277,220                 16,968,636
iShares MSCI Italy Capped ETF   87,000                   1,192,770
iShares MSCI United Kingdom ETF +   114,500                   2,065,580
Schwab International Equity ETF +   90,000                   2,603,700
Vanguard FTSE Europe ETF   28,000                   1,475,040
WisdomTree Europe Hedged Equity Fund +   54,500                   3,285,260
WisdomTree International SmallCap Dividend Fund   26,000                   1,448,200
WisdomTree Japan Hedged Equity Fund   128,000                   6,300,160
                      56,130,777

 

 

Refer to the Notes to Financial Statements in this Report for further information regarding the values set forth above.

 

CLS Funds Quarterly Report
 
Schedule of Investments - Global Growth Fund (Unaudited) (Continued)
January 31, 2015
    Shares    Value
Emerging Markets - 10.10%        
EGShares Beyond BRICs ETF   127,503    $             2,428,932
Guggenheim China Small Cap ETF +   105,200                   2,666,820
iShares Core MSCI Emerging Markets ETF +   175,200                   8,237,904
iShares MSCI All Country Asia ex Japan ETF +   62,000                   3,838,420
iShares MSCI Brazil Capped ETF +   64,500                   2,212,995
iShares MSCI Frontier 100 ETF +   90,979                   2,719,362
iShares MSCI Mexico Capped ETF   43,400                   2,441,250
WisdomTree Emerging Markets Equity Income Fund   119,967                   4,977,431
                      29,523,114
Global Equity - 2.71%        
iShares Global Energy ETF +   42,600                   1,507,188
iShares Global Healthcare ETF +   43,000                   4,383,420
iShares Global Tech ETF +   22,000                   2,025,100
                        7,915,708
Large Cap Core - 14.18%        
Market Vectors Morningstar Wide Moat ETF   79,600                   2,307,604
SPDR Consumer Staples Select Sector Fund   148,200                   7,116,564
SPDR Industrial Select Sector Fund   96,200                   5,249,634
SPDR Materials Select Sector Fund +   49,700                   2,370,193
Vanguard Health Care ETF   85,850                 10,963,904
Vanguard Large-Cap ETF +   71,190                   6,527,411
Vanguard Total Stock Market ETF +   67,060                   6,913,886
                      41,449,196
Large Cap Growth - 14.03%        
iShares North American Tech-Software ETF +   51,000                   4,565,520
iShares Russell 1000 Growth ETF   54,740                   5,157,055
Powershares QQQ Trust Series 1   143,370                 14,494,707
Vanguard Growth ETF   89,910                   9,242,748
Vanguard Information Technology ETF +   47,650                   4,803,597
Vanguard Mega Cap Growth ETF +   34,200                   2,740,104
                      41,003,731
Large Cap Value - 11.86%        
SPDR Dow Jones Industrial Average ETF Trust   73,911                 12,674,258
SPDR Energy Select Sector Fund +   105,430                   7,965,237
SPDR Financial Select Sector Fund   610,450                 14,046,455
                      34,685,950
Small/Mid Cap Core - 3.91%        
iShares Russell Mid-Cap ETF +   17,230                   2,835,369
SPDR S&P MidCap 400 ETF Trust +   9,483                   2,475,727
Vanguard Small-Cap ETF +   53,750                   6,136,100
                      11,447,196
         
Total Equity Funds (cost $209,093,756)                   230,554,672

 

Refer to the Notes to Financial Statements in this Report for further information regarding the values set forth above.

 

CLS Funds Quarterly Report
 
Schedule of Investments - Global Growth Fund (Unaudited) (Continued)
January 31, 2015
    Shares    Value
Money Market Funds - 1.15%        
Short-Term Cash - 1.15%        
Federated Prime Cash Obligations Fund, 0.04% **      3,358,660    $             3,358,660
Total Money Market Funds (cost $3,358,660)                       3,358,660
         
Collateral for Securities Loaned - 16.45%        
Milestone Treasury Obligations Fund Institutional Class, 0.06% **  48,087,553                 48,087,553
Total Collateral for Securities Loaned (cost $48,087,553)                 48,087,553
         
Total Investments (cost $319,457,163) (a) - 116.51%        $         340,605,134
Liabilities Less Other Assets - Net - (16.51)%                   (48,268,937)
NET ASSETS - 100.00%        $         292,336,197
         
* Non-income producing security.        
+ All or a portion of this security is on loan.  Total loaned securities had a value of $46,918,371 at January 31, 2015.
** Money Market Fund; Interest rate reflects seven-day effective yield on January 31, 2015.      
         
ACWI - All Country World Index        
BRIC - Brazil, Russia, India and China        
DB - Deutsche Bank        
EAFE - Europe, Australasia, Far East        
ETF - Exchange Traded Fund        
FTSE - Financial Times Stock Exchange        
GSCI - Goldman Sachs Commodity Index        
MSCI - Morgan Stanley Capital International        
SPDR - Standard & Poors' Depositary Receipts        
         
(a) Represents cost for financial reporting purposes.   Aggregate cost for federal tax purposes is      
$319,328,830 and differs from market value by net unrealized appreciation (depreciation)      
of securities as follows:        
    Unrealized appreciation:    $                   30,144,549
    Unrealized depreciation:                          (8,868,245)
    Net unrealized appreciation:    $                   21,276,304

 

 

Refer to the Notes to Financial Statements in this Report for further information regarding the values set forth above.

 

 

CLS Funds Quarterly Report
 
Schedule of Investments - Domestic Equity Fund (Unaudited)
January 31, 2015
    Shares   Value
         
Equity Funds - 98.22%        
Large Cap Core - 54.58%        
First Trust NASDAQ Technology Dividend Index Fund           29,000    $               762,410
Guggenheim S&P 500 Equal Weight ETF +           50,000                  3,885,000
iShares MSCI USA Momentum Factor ETF +           62,000                  4,190,580
iShares U.S. Healthcare ETF             5,000                     733,550
Market Vectors Morningstar Wide Moat ETF           40,000                  1,159,600
                     10,731,140
Large Cap Growth - 12.31%        
iShares MSCI USA Quality Factor ETF           22,000                  1,345,740
iShares North American Tech-Software ETF +           12,000                  1,074,240
                       2,419,980
Large Cap Value - 24.20%        
Fidelity MSCI Consumer Staples Index ETF +           40,000                  1,163,200
iShares MSCI USA Minimum Volatility ETF           32,000                  1,288,960
iShares Russell 1000 Value ETF           23,000                  2,306,440
.                      4,758,600
Small/Mid Cap Core - 3.17%        
WisdomTree SmallCap Earnings Fund             8,000                     623,920
         
Small/Mid Cap Value - 3.96%        
Guggenheim S&P 500 Pure Value ETF           15,000                     777,300
         
         
Total Equity Funds (cost $18,347,679)                    19,310,940
         
Collateral for Securities Loaned - 16.61%        
Milestone Treasury Obligations Fund Institutional Class, 0.06% *    3,266,690                  3,266,690
Total Collateral for Securities Loaned (cost $3,266,690)                  3,266,690
         
Total Investments (cost $21,614,369) (a) - 114.83%        $          22,577,630
Liabilities Less Other Assets  - Net - (14.83)%                    (2,915,653)
NET ASSETS - 100.00%        $          19,661,977
         
+ All or a portion of this security is on loan.  Total loaned securities had a value of $3,200,269 at January 31, 2015.
* Money Market Fund; Interest rate reflects seven-day effective yield on January 31, 2015.    
         
ETF - Exchange Traded Fund        
MSCI - Morgan Stanley Capital International        
         
(a) Represents cost for financial reporting purposes.   Aggregate cost for federal tax purposes is      
$21,809,025 and differs from market value by net unrealized appreciation (depreciation)      
of securities as follows:        
    Unrealized appreciation:    $                    1,008,054
    Unrealized depreciation:                            (239,449)
    Net unrealized appreciation:    $                       768,605

 

 

Refer to the Notes to Financial Statements in this Report for further information regarding the values set forth above.

 

 

 

CLS Funds Quarterly Report
 
Schedule of Investments - International Equity Fund (Unaudited)
January 31, 2015
    Shares   Value
Equity Funds - 96.21%        
Developed International - 70.60%        
Deutsche X-trackers MSCI EAFE Hedged Equity ETF +           21,116    $             587,236
Deutsche X-trackers MSCI Europe Hedged Equity ETF +           35,800                   970,180
iShares Asia/Pacific Dividend ETF           17,000                   836,283
iShares International Select Dividend ETF           23,000                   775,790
iShares MSCI Belgium Capped ETF +           19,900                   328,947
iShares MSCI EAFE Minimum Volatility ETF           17,200                1,103,552
iShares MSCI France ETF             7,500                   187,125
iShares MSCI Germany ETF             5,600                   157,080
iShares MSCI Ireland Capped ETF           11,300                   383,183
iShares MSCI Israel Capped ETF             4,600                   212,382
iShares MSCI Japan ETF           32,500                   373,425
iShares MSCI Sweden ETF           11,400                   369,816
iShares MSCI United Kingdom ETF +           19,800                   357,192
PowerShares S&P International Developed Low Volatility Portfolio +         49,700                1,534,736
Vanguard FTSE Europe ETF             4,300                   226,524
WisdomTree Australia Dividend Fund           13,500                   680,130
WisdomTree Europe Hedged Equity Fund +             3,500                   210,980
WisdomTree International SmallCap Dividend Fund           21,000                1,169,700
                   10,464,261
Emerging Markets - 25.61%        
EGShares EM Quality Dividend ETF             9,500                   132,810
iShares Latin America 40 ETF +           10,900                   328,090
iShares MSCI All Country Asia ex Japan ETF +           24,900                1,541,559
iShares MSCI Malaysia ETF +           20,100                   260,697
iShares MSCI Mexico Capped ETF             5,500                   309,375
iShares MSCI South Africa ETF             2,200                   148,676
iShares MSCI Taiwan ETF +           22,100                   336,583
WisdomTree Emerging Markets Equity Income Fund           17,800                   738,522
                     3,796,312
         
Total Equity Funds (cost $14,618,275)                  14,260,573
         
Collateral for Securities Loaned - 26.94%        
Milestone Treasury Obligations Fund Institutional Class, 0.06% *    3,992,447                3,992,447
Total Collateral for Securities Loaned (cost $3,992,447)                3,992,447
         
         
         
Total Investments (cost $18,610,722) (a) - 123.15%        $        18,253,020
Liabilities Less Other Assets - Net - (23.15)%                   (3,430,778)
NET ASSETS - 100.00%        $        14,822,242
         
+ All or a portion of this security is on loan.  Total loaned securities had a value of $3,899,585 at January 31, 2015.
* Money Market Fund; Interest rate reflects seven-day effective yield on January 31, 2015.    
         
EAFE - Europe, Australasia, Far East        
ETF - Exchange Traded Fund        
FTSE - Financial Times Stock Exchange        
MSCI - Morgan Stanley Capital International        
         
(a) Represents cost for financial reporting purposes.   Aggregate cost for federal tax purposes, including securities      
sold short, is $18,652,948 and differs from market value by net unrealized appreciation (depreciation)      
of securities (including short sales) as follows:        
    Unrealized appreciation:    $                       13,862
    Unrealized depreciation:                          (413,790)
    Net unrealized depreciation:    $                   (399,928)

 

 

Refer to the Notes to Financial Statements in this Report for further information regarding the values set forth above.

 

 

 

CLS Funds Quarterly Report
 
Schedule of Investments - Enhanced Long/Short Fund (Unaudited)
January 31, 2015
    Shares   Value
Equity Funds - 99.70%        
Developed International - 10.44%        
iShares MSCI Canada ETF            70,000    $      1,850,800
iShares MSCI EAFE ETF +          148,200          9,071,322
             10,922,122
Emerging Markets - 5.16%        
iShares China Large-Cap ETF +            20,700             853,875
iShares Latin America 40 ETF +            37,000          1,113,700
iShares MSCI Emerging Markets ETF +            88,000          3,433,760
               5,401,335
Inverse Equity - 32.06%        
ProShares Short Dow30 * +          508,600        12,257,260
ProShares Short Russell2000 * +          222,000          3,529,800
ProShares Short S&P500 * +          794,000          17,769,720
             33,556,780
Large Cap Core - 30.28%        
iShares Core S&P 500 ETF +            25,300          5,082,011
SPDR Consumer Discretionary Select Sector Fund +            34,000          2,379,660
SPDR Consumer Staples Select Sector Fund            43,000          2,064,860
SPDR Industrial Select Sector Fund            65,000          3,547,050
SPDR S&P 500 ETF Trust +            78,500        15,658,395
Vanguard Health Care ETF            23,200          2,962,872
             31,694,848
Large Cap Growth - 6.59%        
Powershares QQQ Trust Series 1 +            52,050          5,262,255
SPDR Technology Select Sector Fund            41,000          1,635,900
               6,898,155
Large Cap Value - 10.15%        
SPDR Dow Jones Industrial Average ETF Trust +            27,000          4,629,960
SPDR Energy Select Sector Fund +            30,000          2,266,500
SPDR Financial Select Sector Fund            50,000          1,150,500
SPDR S&P Bank ETF            85,000          2,578,050
             10,625,010
Small/Mid Cap Core - 5.02%        
iShares Russell 2000 ETF +            32,500          3,760,250
SPDR S&P MidCap 400 ETF Trust +              5,700          1,488,099
               5,248,349
         
Total Equity Funds (cost $110,162,820)          104,346,599

 

 

Refer to the Notes to Financial Statements in this Report for further information regarding the values set forth above.

 

 

CLS Funds Quarterly Report
 
Schedule of Investments - Enhanced Long/Short Fund (Unaudited) (Continued)
January 31, 2015
    Shares   Value
Money Market Funds - 0.48%        
Federated Prime Cash Obligations Fund, 0.04% **          502,617    $       502,617
Total Money Market Funds (cost $502,617)                 502,617
         
Total Investments (cost $110,665,437) (a) - 100.18%        $104,849,216
Liabilities Less Other Assets - Net - (0.18)%                (191,964)
NET ASSETS - 100.00%        $104,657,252
         
+ Subject to written options.        
* Non-income producing security.        
** Money Market Fund; Interest rate reflects seven-day effective yield on January 31, 2015.  
The market value of securities held to cover written call options at January 31, 2015 was $41,376,630.
         
EAFE - Europe, Australasia, Far East        
ETF - Exchange Traded Fund        
MSCI - Morgan Stanley Capital International        
SPDR - Standard & Poors' Depositary Receipts        
         
    Contracts**   Value
Schedule of Call Options Written *        
iShares China Large-Cap ETF Call                   40    $              120
    February 2015, Exercise Price $46.5        
iShares China Large-Cap ETF Call                   40                    160
    February 2015, Exercise Price $47        
iShares China Large-Cap ETF Call                   80                      80
    February 2015, Exercise Price $47.5        
iShares China Large-Cap ETF Call                   47                      94
    February 2015, Exercise Price $48        
iShares Core S&P 500 ETF Call                   50                    625
    February 2015, Exercise Price $215        
iShares Latin America 40 ETF Call                   55                    687
    February 2015, Exercise Price $34        
iShares MSCI EAFE ETF Call                 100                    700
    February 2015, Exercise Price $64        
iShares MSCI EAFE ETF Call                 150                    450
    February 2015, Exercise Price $64.5        
iShares MSCI Emerging Markets ETF Call                 100                    300
    February 2015, Exercise Price $42.5        
iShares MSCI Emerging Markets ETF Call                 175                    525
    February 2015, Exercise Price $43        
iShares Russell 2000 ETF Call                   75                    600
    February 2015, Exercise Price $125        

 

 

 

Refer to the Notes to Financial Statements in this Report for further information regarding the values set forth above.

 

CLS Funds Quarterly Report
 
Schedule of Investments - Enhanced Long/Short Fund (Unaudited) (Continued)
January 31, 2015
    Contracts**   Value
Schedule of Call Options Written * (Continued)        
iShares Russell 2000 ETF Call                 100    $              500
    February 2015, Exercise Price $126        
iShares Russell 2000 ETF Call                   50                      50
    February 2015, Exercise Price $129        
Powershares QQQ Trust Series 1 Call                   50                    250
    February 2015, Exercise Price $108        
Powershares QQQ Trust Series 1 Call                 100                    500
    February 2015, Exercise Price $108.5        
Powershares QQQ Trust Series 1 Call                 100                    400
    February 2015, Exercise Price $109        
Powershares QQQ Trust Series 1 Call                 100                    300
    February 2015, Exercise Price $110        
ProShares Short Dow30 Call                 750               11,250
    February 2015, Exercise Price $25        
ProShares Short Dow30 Call              1,000                 7,500
    February 2015, Exercise Price $26        
ProShares Short Russell2000 Call                 400                 4,000
    February 2015, Exercise Price $17        
ProShares Short S&P500 Call              1,500               15,000
    February 2015, Exercise Price $24        
ProShares Short S&P500 Call              2,400               18,000
    February 2015, Exercise Price $25        
SPDR Consumer Discretionary Select Sector Fund                 150                    750
    February 2015, Exercise Price $74        
SPDR Dow Jones Industrial Average ETF Call                   50                    200
    February 2015, Exercise Price $184        
SPDR Dow Jones Industrial Average ETF Call                 100                    200
    February 2015, Exercise Price $185        
SPDR Dow Jones Industrial Average ETF Call                   75                      75
    February 2015, Exercise Price $186        
SPDR Energy Select Sector Fund Call                   50                    350
    February 2015, Exercise Price $84        
SPDR Energy Select Sector Fund Call                   50                    300
    February 2015, Exercise Price $85        

 

 

 

Refer to the Notes to Financial Statements in this Report for further information regarding the values set forth above.

 

CLS Funds Quarterly Report
 
Schedule of Investments - Enhanced Long/Short Fund (Unaudited) (Continued)
January 31, 2015
    Contracts**   Value
Schedule of Call Options Written * (Continued)        
SPDR S&P 500 ETF Call                 175    $              525
    February 2015, Exercise Price $214        
SPDR S&P 500 ETF Call                 175                    525
    February 2015, Exercise Price $215        
SPDR S&P 500 ETF Call                 200                    800
    February 2015, Exercise Price $216        
SPDR S&P MidCap 400 ETF Trust Call                   15                      90
    February 2015, Exercise Price $280        
Total Call Options Written (proceeds $100,402)        $         65,906
         
*  Non-income producing security.        
** Each option contract allows the holder of the option to purchase or sell 50 or 100 shares of the underlying
    security.        
         
(a) Represents cost for financial reporting purposes.   Aggregate cost for federal tax purposes, including
options written, is $113,563,431 and differs from market value by net unrealized appreciation
(depreciation) of securities as follows:        
    Unrealized appreciation:    $          2,600,072
    Unrealized depreciation:            (11,380,193)
    Net unrealized depreciation:    $        (8,780,121)

 

Refer to the Notes to Financial Statements in this Report for further information regarding the values set forth above.

 

 

CLS Funds Quarterly Report
 
Schedule of Investments - Flexible Income Fund (Unaudited)
January 31, 2015
     Shares    Value
Bond Funds - 79.34%        
High Yield Bonds - 18.44%        
iShares iBoxx $ High Yield Corporate Bond ETF              98,580    $          8,894,874
Peritus High Yield ETF +              50,444                2,067,195
PIMCO 0-5 Year High Yield Corporate Bond Index ETF +              56,295                5,672,284
PowerShares Senior Loan Portfolio +            434,800              10,422,156
SPDR Barclays Short Term High Yield Bond ETF            252,775                7,317,836
SPDR Blackstone / GSO Senior Loan ETF              42,500                2,058,275
                   36,432,620
Intermediate/Long-Term Bonds - 35.47%        
iShares 3-7 Year Treasury Bond ETF +              41,200                5,155,768
iShares Core U.S. Aggregate Bond ETF              90,626              10,184,550
iShares Core US Credit Bond ETF +              33,450                3,842,736
iShares Floating Rate Bond ETF            264,573              13,379,457
iShares iBoxx $ Investment Grade Corporate Bond ETF +            18,725                2,319,840
iShares Intermediate Credit Bond ETF              90,380              10,056,583
iShares National AMT-Free Muni Bond ETF +              31,275                3,505,927
PIMCO Total Return Active ETF              29,700                3,285,414
Vanguard Intermediate-Term Corporate Bond ETF              94,483                8,380,642
Vanguard Mortgage-Backed Securities ETF              41,000                2,192,680
Vanguard Total Bond Market ETF              92,385                7,792,675
                   70,096,272
International Bond - 6.72%        
iShares 1-3 Year International Treasury Bond ETF                5,600                   455,224
iShares Emerging Markets Local Currency Bond ETF              52,400                2,395,728
iShares JP Morgan USD Emerging Markets Bond ETF +              61,350                6,856,476
SPDR DB International Government Inflation-Protected Bond ETF            63,675                3,569,621
                   13,277,049
Inverse Bond - 0.09%        
ProShares UltraShort 20+ Year Treasury *                4,500                   172,260
         
Short-Term Bonds - 18.62%        
iShares 1-3 Year Treasury Bond ETF              36,541                3,105,254
iShares Short-Term National AMT-Free Muni Bond ETF +            16,450                1,751,596
iShares TIPS Bond ETF              32,848                3,798,214
PIMCO 1-5 Year U.S. TIPS Index ETF +              71,372                3,734,897
PIMCO Enhanced Short Maturity Active ETF            121,117              12,242,506
SPDR Nuveen Barclays Short Term Municipal Bond ETF +          166,971                4,085,780
Vanguard Short-Term Corporate Bond ETF            100,375                8,067,139
                   36,785,386
         
Total Bond Funds (cost $157,138,095)                156,763,587

 

Refer to the Notes to Financial Statements in this Report for further information regarding the values set forth above.

 


CLS Funds Quarterly Report
 
Schedule of Investments - Flexible Income Fund (Unaudited) (Continued)
January 31, 2015
     Shares    Value
Equity Funds - 9.34%        
Commodity - 0.83%        
United States Commodity Index Fund * +              35,500    $          1,634,420
         
Currency - 1.12%        
PowerShares DB US Dollar Index Bullish Fund * +              88,000                2,211,440
         
Developed International - 0.80%        
iShares MSCI EAFE ETF              12,500                   765,125
iShares MSCI EAFE Value ETF +              16,000                   816,160
                     1,581,285
Inverse Equity - 0.24%        
ProShares Short S&P500 * +              21,000                   469,980
         
Large Cap Core - 1.54%        
iShares Core S&P 500 ETF              15,200                3,053,224
         
Large Cap Value - 2.08%        
PowerShares S&P 500 Low Volatility Portfolio +              59,300                2,233,831
Vanguard High Dividend Yield ETF              28,000                1,869,560
                     4,103,391
Preferred Security - 2.73%        
iShares US Preferred Stock ETF +              46,775                1,869,129
PowerShares Financial Preferred Portfolio +            119,461                2,210,029
PowerShares Preferred Portfolio              88,700                1,318,082
                     5,397,240
         
Total Equity Funds (cost $17,704,191)                  18,450,980
         
     Principal ($)    
U.S. Government and Agency Obligations - 8.03%        
Fannie Mae, 3.50%, due 12/1/2030    $       379,803    $             404,151
Fannie Mae, 3.50%, due 7/1/2032             722,716                    769,184
Fannie Mae, 6.00%, due 12/1/2035            446,388                   509,085
Fannie Mae, 6.00%, due 12/1/2038            169,325                   191,520
Fannie Mae, 5.00%, due 11/1/2039            453,495                   509,954
Fannie Mae, 5.50%, due 12/1/2039            327,586                   371,182
Fannie Mae, 4.00%, due 2/1/2040            383,168                   410,621
Fannie Mae, 5.00%, due 2/1/2040            742,088                   826,488
Fannie Mae, 5.50%, due 4/1/2040            470,328                   525,867

 

Refer to the Notes to Financial Statements in this Report for further information regarding the values set forth above.

 

 


CLS Funds Quarterly Report
 
Schedule of Investments - Flexible Income Fund (Unaudited) (Continued)
January 31, 2015
     Principal ($)    Value
U.S. Government and Agency Obligations - 8.03% (continued)      
Fannie Mae, 4.00%, due 10/1/2040    $       367,795    $              394,311
Fannie Mae, 4.00%, due 6/1/2041             599,378                   642,409
Fannie Mae, 4.00%, due 9/1/2041            814,428                   872,781
Fannie Mae, 4.00%, due 12/1/2041            481,122                   515,594
Federal Home Loan Banks, 2.90%, due 4/20/2017            177,326                   182,866
Federal Home Loan Mortgage Corp., 2.00%, due 3/12/2020       1,000,000                1,033,911
Federal Home Loan Mortgage Corp., 5.40%, due 3/17/2021          750,000                   792,493
Federal National Mortgage Association, 2.00%, due 8/28/2020       1,000,000                1,024,201
Freddie Mac Gold Pool, 5.50%, due 6/1/2034            371,773                   417,309
Freddie Mac Gold Pool, 6.00%, due 5/1/2037            150,888                   171,262
Freddie Mac Gold Pool, 6.50%, due 4/1/2039            216,939                   247,945
Freddie Mac Gold Pool, 4.50%, due 2/1/2041            450,185                   489,509
Government National Mortgage Association, 4.00%, due 2/20/2039          498,785                   518,914
Government National Mortgage Association, 3.50%, due 7/16/2039          213,267                   222,346
United States Treasury Note/Bond, 4.50%, due 5/15/2017       1,000,000                1,088,984
United States Treasury Note/Bond, 4.25%, due 11/15/2017       2,500,000                2,742,188
Total U.S. Government and Agency Obligations (cost $15,207,104)              15,875,075
         
Money Market Funds - 3.23%    Shares    
Short-Term Cash - 3.23%        
Federated Prime Cash Obligations Fund, 0.04% **         6,380,804                6,380,804
Total Money Market Funds (cost $6,380,804)                    6,380,804
         
Collateral for Securities Loaned - 17.96%        
Milestone Treasury Obligations Fund Institutional Class, 0.06% **     35,203,051              35,203,051
U.S. Treasury Bond, 4.375%, 2/15/38              37,971                     37,971
U.S. Treasury Notes, 1.000% - 4.125%, 5/15/15 - 11/30/20          124,417                   124,417
U.S. TIPs, 0.125%, 4/15/16 - 4/15/19            124,241                   124,241
Total Collateral for Securities Loaned (cost $35,489,680)              35,489,680
         
Total Investments (cost $231,919,874) (a) - 117.90%        $      232,960,126
Liabilities Less Other Assets - Net - (17.90)%                (35,362,025)
NET ASSETS - 100.00%        $      197,598,101
         
+ All or a portion of this security is on loan.  Total loaned securities had a value of $ 34,674,154 at January 31, 2015.
* Non-income producing security.        
** Money Market Fund; Interest rate reflects seven-day effective yield on January 31, 2015.    
         
DB - Deutsche Bank            
EAFE - Europe, Australasia, Far East        
ETF - Exchange Traded Fund        
MSCI - Morgan Stanley Capital International        
SPDR - Standard & Poors' Depositary Receipts        
TIPS - Treasury Inflation-Protected Security        
         
(a) Represents cost for financial reporting purposes.   Aggregate cost for federal tax purposes is    
$231,814,089 and differs from market value by net unrealized appreciation (depreciation)    
of securities as follows:        
    Unrealized appreciation:    $                 4,407,147
    Unrealized depreciation:                      (3,261,110)
    Net unrealized appreciation:    $                 1,146,037

 

Refer to the Notes to Financial Statements in this Report for further information regarding the values set forth above.

 

 


CLS Funds Quarterly Report
 
Schedule of Investments - Global Aggressive Equity Fund (Unaudited)
January 31, 2015
    Shares   Value
Equity Funds - 99.15%        
Alternative - 6.28%        
ProShares Large Cap Core Plus             46,000    $         4,488,680
WisdomTree Managed Futures Strategy Fund *             40,000               1,768,800
                    6,257,480
Developed International - 27.40%        
Deutsche X-trackers MSCI Europe Hedged Equity ETF +           100,000               2,710,000
Deutsche X-trackers MSCI Japan Hedged Equity ETF           132,000               4,887,960
iShares International Select Dividend ETF           157,000               5,295,610
iShares MSCI ACWI ETF           128,000               7,389,440
iShares MSCI Ireland Capped ETF             50,000               1,695,500
iShares MSCI United Kingdom ETF           119,000               2,146,760
WisdomTree Europe SmallCap Dividend Fund +             61,000               3,184,200
                  27,309,470
Emerging Markets - 5.42%        
Global X China Financials ETF             33,000                  496,980
iShares MSCI All Country Asia ex Japan ETF +             41,000               2,538,310
SPDR S&P Emerging Asia Pacific ETF +             28,000               2,371,320
                    5,406,610
Global Equity - 5.64%        
Cambria Global Value ETF +             71,700               1,365,168
iShares Global Energy ETF +             54,000               1,910,520
PowerShares Global Listed Private Equity Portfolio           214,000               2,341,160
                    5,616,848
Large Cap Core - 19.92%        
First Trust NASDAQ Technology Dividend Index Fund           233,000               6,125,570
Guggenheim S&P 500 Equal Weight ETF +             85,000               6,604,500
Market Vectors Morningstar Wide Moat ETF           246,000               7,131,540
                  19,861,610
Large Cap Growth - 10.07%        
iShares PHLX Semiconductor ETF +             49,000               4,330,130
iShares U.S. Oil Equipment & Services ETF             25,000               1,151,750
Powershares Dynamic Pharmaceuticals Portfolio +             65,000               4,559,750
                  10,041,630
Large Cap Value - 2.01%        
First Trust Capital Strength ETF +             54,000               2,006,100
         
Small/Mid Cap Core - 4.59%        
Guggenheim Spin-Off ETF             74,000               3,279,680
Trim Tabs Float Shrink ETF +             24,000               1,300,320
                    4,580,000
Small/Mid Cap Growth - 8.36%        
First Trust US IPO Index Fund             48,000               2,359,200
iShares U.S. Medical Devices ETF +             46,000               5,223,760
Powershares Dynamic Leisure & Entertainment Portfolio +             21,000                  746,130
                    8,329,090

 

Refer to the Notes to Financial Statements in this Report for further information regarding the values set forth above.

 

 

CLS Funds Quarterly Report
 
Schedule of Investments - Global Aggressive Equity Fund (Unaudited) (Continued)
January 31, 2015
    Shares   Value
Small/Mid Cap Value - 9.46%        
Guggenheim Shipping ETF +           109,000    $         1,962,000
Guggenheim Timber ETF           162,000               4,020,840
iShares U.S. Insurance ETF             75,000               3,452,250
                    9,435,090
         
Total Equity Funds (cost $87,503,373)                 98,843,928
         
Money Market Funds - 0.92%        
Short-Term Cash - 0.92%        
Federated Prime Cash Obligations Fund, 0.04% **           917,504                  917,504
Total Money Market Funds (cost $917,504)                      917,504
         
Collateral for Securities Loaned - 17.07%        
Milestone Treasury Obligations Fund Institutional Class, 0.06% **    17,012,389             17,012,389
Total Collateral for Securities Loaned (cost $17,012,389)             17,012,389
         
Total Investments (cost $105,433,266) (a) - 117.14%          $     116,773,821
Liabilities Less Other Assets - Net - (17.14)%               (17,083,985)
NET ASSETS - 100.00%        $       99,689,836
         
+ All or a portion of this security is on loan.  Total loaned securities had a value of $16,631,662 at January 31, 2015.
* Non-income producing security.        
** Money Market Fund; Interest rate reflects seven-day effective yield on January 31, 2015.      
         
ACWI - All Country World Index        
ETF - Exchange Traded Fund        
IPO - Initial Public Stock Offering        
MSCI - Morgan Stanley Capital International        
PHLX - Philadelphia Stock Exchange        
SPDR - Standard & Poors' Depositary Receipts        
         
(a) Represents cost for financial reporting purposes.   Aggregate cost for federal tax purposes is      
$105,433,266 and differs from market value by net unrealized appreciation (depreciation)      
of securities as follows:        
    Unrealized appreciation:    $             13,126,365
    Unrealized depreciation:                    (1,785,810)
    Net unrealized appreciation:    $             11,340,555

 

 

Refer to the Notes to Financial Statements in this Report for further information regarding the values set forth above.

 

 


CLS Funds Quarterly Report        
         
Schedule of Investments - Shelter Fund (Unaudited)        
January 31, 2015
    Shares    Value
Equity Funds - 98.48%        
Developed International - 10.58%        
Deutsche X-trackers MSCI Europe Hedged Equity ETF +          169,000    $         4,579,900
iShares MSCI EAFE ETF            78,000               4,774,380
                    9,354,280
Emerging Markets - 10.01%        
iShares MSCI All Country Asia ex Japan ETF          143,000               8,853,130
         
Large Cap Core - 13.18%        
iShares Core S&P 500 ETF            58,000             11,650,460
         
Large Cap Growth - 33.10%        
iShares S&P 500 Growth ETF          141,000             15,474,750
Vanguard Growth ETF          134,200             13,795,760
                  29,270,510
Large Cap Value - 31.61%        
iShares MSCI USA Minimum Volatility ETF          109,000               4,390,520
iShares S&P 500 Value ETF          140,000             12,539,800
Vanguard Value ETF +          136,000             11,020,080
                  27,950,400
         
Total Equity Funds (cost $78,709,739)                 87,078,780
         
Money Market Funds - 1.63%        
Federated Prime Cash Obligations Fund, 0.04% *       1,439,887               1,439,887
Total Money Market Funds (cost $1,439,887)                   1,439,887
         
Collateral for Securities Loaned - 7.38%        
Milestone Treasury Obligations Fund Institutional Class, 0.06% *     6,521,033               6,521,033
Total Collateral for Securities Loaned (cost $6,521,033)                   6,521,033
         
Total Investments (cost $86,670,659) (a) - 107.49%        $       95,039,700
Liabilities Less Other Assets - Net - (7.49)%                  (6,620,444)
NET ASSETS - 100.00%        $       88,419,256
         
+  All or a portion of this security is on loan.  Total loaned securities had a value of $6,359,491 at January 31, 2015.
* Money Market Fund; Interest rate reflects seven-day effective yield on January 31, 2015.      
         
EAFE - Europe, Australasia, Far East        
ETF - Exchange Traded Fund        
MSCI - Morgan Stanley Capital International        
         
(a)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is      
$86,683,691 and differs from market value by net unrealized appreciation (depreciation)      
of securities as follows:        
Unrealized appreciation:    $         8,421,768
Unrealized depreciation:                   (65,759)
Net unrealized appreciation:    $         8,356,009

 

Refer to the Notes to Financial Statements in this Report for further information regarding the values set forth above.

 

 


 

CLS Funds Quarterly Report
 
Schedule of Investments (Unaudited) (Continued)
January 31, 2015
           
The following is a summary of significant accounting policies followed by the Funds in preparation of their financial statements.  These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
 
Security Valuation –  Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the primary exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ at the NASDAQ Official Closing Price (“NOCP”).  In the absence of a sale such securities shall be valued at the mean between the current bid and ask prices on the day of valuation.  Options contracts listed on a securities exchange or board of trade for which market quotations are readily available shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the current bid and ask prices on the day of valuation.  Option contracts not listed on a securities exchange or board of trade for which over-the-counter market quotations are readily available shall be valued at the mean between the current bid and ask prices on the day of valuation.  Index options shall be valued at the mean between the current bid and ask prices on the day of valuation.  Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost.  Debt securities (other than short-term obligations) are valued each day by an independent pricing service approved by the Board of Trustees (the “Board”) based on methods which include consideration of: yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions or market quotations from a major market maker in the securities.
 
The Fund may hold securities, such as private placements, interests in commodity pools, other non-traded securities or temporarily illiquid securities, for which market quotations are not readily available or are determined to be unreliable.  These securities will be valued at their fair market value as determined using the “fair value” procedures approved by the Board.  The Board has delegated execution of these procedures to a fair value team composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) advisor.  The team may also enlist third party consultants such as an audit firm, valuation consultant or financial officer of a security issuer on an as-needed basis to assist in determining a security-specific fair value.  The Board reviews and ratifies the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results.

 

Fair Valuation Process - As noted above, the fair value team is composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) adviser.  The applicable investments are valued collectively via inputs from each of these groups.  For example, fair value determinations are required for the following securities:  (i) securities for which market quotations are insufficient or not readily available on a particular business day (including securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source), (ii) securities for which, in the judgment of the adviser, the prices or values available do not represent the fair value of the instrument.  Factors which may cause the adviser to make such a judgment include, but are not limited to, the following: only a bid price or an asked price is available; the spread between bid and asked prices is substantial; the frequency of sales; the thinness of the market; the size of reported trades; and actions of the securities markets, such as the suspension or limitation of trading; (iii) securities determined to be illiquid; (iv) securities with respect to which an event that will affect the value thereof has occurred (a “significant event”) since the closing prices were established on the principal exchange on which they are traded, but prior to the Fund’s calculation of its net asset value.  Specifically, interests in commodity pools or managed futures pools are valued on a daily basis by reference to the closing market prices of each futures contract or other asset held by a pool, as adjusted for pool expenses.  Restricted or illiquid securities, such as private placements or non-traded securities are valued via inputs from the adviser based upon the current bid for the security from two or more independent dealers or other parties reasonably familiar with the facts and circumstances of the security (who should take into consideration all relevant factors as may be appropriate under the circumstances).

 

AdvisorOne Funds QuarterlyReport          
           
Schedule of Investments (Unaudited) (Continued)  
January 31, 2015  
           
If the adviser is unable to obtain a current bid from such independent dealers or other independent parties, the fair value team shall determine the fair value of such security using the following factors: (i) the type of security; (ii) the cost at date of purchase; (iii) the size and nature of the Fund’s holdings; (iv) the discount from market value of unrestricted securities of the same class at the time of purchase and subsequent thereto; (v) information as to any transactions or offers with respect to the security; (vi) the nature and duration of restrictions on disposition of the security and the existence of any registration rights; (vii) how the yield of the security compares to similar securities of companies of similar or equal creditworthiness; (viii) the level of recent trades of similar or comparable securities; (ix) the liquidity characteristics of the security; (x) current market conditions; and (xi) the market value of any securities into which the security is convertible or exchangeable.
         
Valuation of Fund of Funds        
The Funds may invest in portfolios of open-end or closed-end investment companies (the “Underlying Funds”).  The Underlying Funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value to the methods established by the board of directors of the Underlying Funds.  
The Funds utilize various methods to measure the fair value of most of its investments on a recurring basis.  GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:
 
Level 1 - Unadjusted quoted prices in active markets for identical assets and liabilities that the Fund has the ability to access.
 
Level 2 -  Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly.   These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves,  default rates and similar data.
 
Level 3 - Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund's own assumptions about the assumptions a market participant would use in valuing the assets or liability, and would be based on the best information available.
 
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors including,  for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
 
The inputs used to measure fair value may fall into different levels of the fair value hierarchy.  In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
 
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a summary of the inputs used as of January 31, 2015 in valuing the Funds' investments measured at fair value:
           
Global Diversified Equity        
Assets *   Level 1 Level 2 Level 3 Total
Equity Funds  $          548,170,988  $                            -     $                    -     $           548,170,988
Money Market Funds                   6,548,271                                 -                           -                       6,548,271
Collateral for Securities Loaned                47,239,641                      47,239,641
Total  $          601,958,900  $                            -     $                    -     $           601,958,900
Growth and Income        
Assets *   Level 1 Level 2 Level 3 Total
Bond Funds  $          158,258,191  $                            -     $                    -     $           158,258,191
Equity Funds              256,434,155                                 -                           -                  256,434,155
Money Market Funds                   8,734,529                                 -                           -                       8,734,529
Collateral for Securities Loaned                59,453,056                      59,453,056
Total  $          482,879,931  $                            -     $                    -     $           482,879,931

 

CLS Funds Quarterly Report        
           
Schedule of Investments (Unaudited) (Continued)  
January 31, 2015  
         
Global Growth        
Assets *   Level 1 Level 2 Level 3 Total
Bond Funds  $            58,604,249  $                            -     $                    -     $             58,604,249
Equity Funds              230,554,672                                 -                           -                  230,554,672
Money Market Funds                   3,358,660                                 -                           -                       3,358,660
Collateral for Securities Loaned                48,087,553                      48,087,553
Total  $          340,605,134  $                            -     $                    -     $           340,605,134
Domestic Equity        
Assets *   Level 1 Level 2 Level 3 Total
Equity Funds  $            19,310,940  $                            -     $                    -     $             19,310,940
Collateral for Securities Loaned                   3,266,690                        3,266,690
Total  $            22,577,630  $                            -     $                    -     $             22,577,630
International Equity        
Assets *   Level 1 Level 2 Level 3 Total
Equity Funds  $            14,260,573  $                            -     $                    -     $             14,260,573
Collateral for Securities Loaned                   3,992,447                        3,992,447
Total  $            18,253,020  $                            -     $                    -     $             18,253,020
Enhanced Long/Short        
Assets *   Level 1 Level 2 Level 3 Total
Equity Funds  $          104,346,599  $                            -     $                    -     $           104,346,599
Money Market Funds                      502,617                                 -                           -                          502,617
Total  $          104,849,216  $                            -     $                    -     $           104,849,216
           
Liabilities   Level 1 Level 2 Level 3 Total
Call Options Written  $                    65,906  $                            -     $                    -     $                     65,906
Total  $                    65,906  $                            -     $                    -     $                     65,906
Flexible Income        
Assets *   Level 1 Level 2 Level 3 Total
Bond Funds  $          156,763,587  $                            -     $                    -     $           156,763,587
Equity Funds                18,450,980                                 -                           -                     18,450,980
U.S. Government & Agency Obligations                                  -                  15,875,075                        -                     15,875,075
Money Market Funds                   6,380,804                                 -                           -                       6,380,804
Collateral for Securities Loaned                35,489,680                      35,489,680
Total  $          217,085,051  $           15,875,075  $                    -     $           232,960,126
Global Aggressive Equity        
Assets *   Level 1 Level 2 Level 3 Total
Equity Funds  $            98,843,928  $                            -     $                    -     $             98,843,928
Money Market Funds                      917,504                                 -                           -                          917,504
Collateral for Securities Loaned                17,012,389                      17,012,389
Total  $          116,773,821  $                            -     $                    -     $           116,773,821
Shelter        
Assets *   Level 1 Level 2 Level 3 Total
Equity Funds  $            87,078,780  $                            -     $                    -     $             87,078,780
Money Market Funds                   1,439,887                                 -                           -                       1,439,887
Collateral for Securities Loaned                   6,521,033                        6,521,033
Total  $            95,039,700  $                            -     $                    -     $             95,039,700
The Funds did not hold any Level 3 securities during the period. There were no transfers into or out of Level 1 & Level 2 during the period.  It is the funds' policy to recognize transfers between Level 1 & Level 2 at the end of the reporting period.
           
 *Refer to the Portfolios of Investments for security classifications.

 

CLS Funds Quarterly Report        
           
Schedule of Investments (Unaudited) (Continued)  
January 31, 2015  
           
Exchange Traded Funds  
The Funds may invest in exchange traded funds (“ETFs”).  ETFs are a type of index fund bought and sold on a securities exchange.  An ETF trades like common stock and represents a fixed portfolio of securities designed to track the performance and dividend yield of a particular domestic or foreign market index.  A Fund may purchase an ETF to temporarily gain exposure to a portion of the U.S. or a foreign market while awaiting purchase of underlying securities.  The risks of owning an ETF generally reflect the risks of owning the underlying securities they are designed to track, although the lack of liquidity on an ETF could result in it being more volatile.  Additionally, ETFs have fees and expenses that reduce their value.  
         
Option Transactions        
The Funds are subject to equity price risk in the normal course of pursuing their investment objectives and may purchase or sell (write) options to help hedge against risk.  When a Fund writes a call option, an amount equal to the premium received is included in the statement of assets and liabilities as a liability.  The amount of the liability is subsequently marked-to-market to reflect the current market value of the option.  If an option expires on its stipulated expiration date or if the Fund enters into a closing purchase transaction, a gain or loss is realized.  If a written call option is exercised, a gain or loss is realized for the sale of the underlying security and the proceeds from the sale are increased by the premium originally received.  As the writer of an option, a Fund has no control over whether the option will be exercised and, as a result, retains the market risk of an unfavorable change in price of the security underlying the written option.
 
Each Fund may purchase put and call options.  Put options are purchased to hedge against a decline in the value of securities held in the Fund’s portfolio.  If such a decline occurs, the put options will permit the Fund to sell the securities underlying such options at the exercise price, or to close out the options at a profit.  The premium paid for a put or call option plus any transaction costs will reduce the benefit, if any, realized by the Fund upon exercise of the option, and, unless the price of the underlying security rises or declines sufficiently, the option may expire worthless to the Fund.  In addition, in the event that the price of the security in connection with which an option was purchased moves in a direction favorable to the Fund, the benefits realized by the Fund as a result of such favorable movement will be reduced by the amount of the premium paid for the option and related transaction costs.  Written and purchased options are non-income producing securities.  During the period ended January 31, 2015, the Enhanced Long/Short Fund's unrealized appreciation and realized gain on option contracts subject to equity price risk amounted to $34,496 and $69,620 respectively and serve as an indicator of the volume of derivative activity for the Fund during the period.
 
The number of option contracts written and the premiums received during the period ended January 31, 2015, were as follows :
      Enhanced Long/Short Fund  
      Number of Contracts Premiums Received  
Options outstanding, beginning of period                          3,723  $          44,595  
Options written                         42,549            478,929  
Options exercised                          (2,626)             (30,878)  
Options expired                        (32,632)           (361,807)  
Options closed                          (2,512)             (30,437)  
Options outstanding, end of period                            8,502            100,402  

 

 

Item 2. Controls and Procedures.

 

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.

 

(b) There were no significant changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

 

Certifications required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) (and Item 3 of Form N-Q) are filed herewith.

 

 

 

 

 
 

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant) AdvisorOne Funds

 

By (Signature and Title)

/s/ Ryan Beach

Ryan Beach, President

 

Date 3/31/2015

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)

/s/ Ryan Beach

Ryan Beach, President

 

Date 3/31/2015

 

By (Signature and Title)

/s/ Brian Curley

Brian Curley, Treasurer

 

Date 3/31/2015