N-Q 1 clsnq.htm N-Q Blu Giant, 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: 1/31/16

 

 

Item 1. Schedule of Investments.

 

CLS Funds Quarterly Report        
         
Schedule of Investments - Global Diversified Equity Fund (Unaudited)      
January 31, 2016
    Shares   Value
Equity Funds - 99.55%        
Commodity Funds - 0.31%        
PowerShares DB Commodity Index Tracking Fund *          100,000    $           1,278,000
         
Developed International - 34.24%        
iShares Core MSCI Europe ETF          585,000               23,236,200
iShares MSCI ACWI ex US ETF          279,229               10,445,957
iShares MSCI EAFE ETF +          480,800               26,674,784
iShares MSCI Eurozone ETF          297,100                 9,863,720
iShares MSCI Italy Capped ETF          122,000                 1,472,540
iShares MSCI Japan ETF          842,500                 9,688,750
iShares MSCI Spain Capped ETF            70,000                 1,845,200
Vanguard FTSE Europe ETF          281,000               13,226,670
Vanguard FTSE Pacific ETF          269,000               14,335,010
Vanguard Total International Stock ETF          700,000               29,855,000
WisdomTree Global ex-US Quality Dividend Growth Fund            52,000                 2,254,200
                  142,898,031
Emerging Markets - 12.94%        
iShares MSCI Emerging Markets Minimum Volatility ETF          100,000                 4,700,000
iShares MSCI Russia Capped ETF          295,000                 3,265,650
Morgan Stanley China A Share Fund, Inc.            97,967                 1,556,695
SPDR S&P Emerging Asia Pacific ETF +          185,000               12,580,000
WisdomTree Emerging Markets High Dividend Fund +       1,048,525               31,896,130
                    53,998,475
Global Equity - 8.68%        
Fidelity MSCI Energy Index ETF +          275,000                 4,529,250
iShares Global 100 ETF +          257,200               17,723,652
iShares Global Energy ETF +          513,000               13,984,380
                    36,237,282
Large Cap Core - 12.22%        
iShares MSCI USA Momentum Factor ETF +            52,000                 3,666,000
SPDR Health Care Select Sector Fund +          158,600               10,542,142
Vanguard Dividend Appreciation ETF          484,016               36,785,216
                    50,993,358
Large Cap Growth - 27.58%        
Fidelity MSCI Information Technology Index ETF            71,000                 2,194,610
iShares MSCI USA Quality Factor ETF          631,840               38,933,981
iShares Russell 1000 Growth ETF          215,900               20,257,897
iShares Russell Top 200 Growth ETF +          204,500               10,394,735
SPDR Technology Select Sector Fund +          865,000               35,672,600
Vanguard Information Technology ETF +            75,000                 7,642,500
                  115,096,323
Large Cap Value - 3.58%        
SPDR Financial Select Sector Fund +          560,100               12,159,771
SPDR S&P Global Natural Resources ETF +            93,000                 2,792,790
                    14,952,561
         
Total Equity Funds (cost $393,276,422)                 415,454,030
         
         
         
         
CLS Funds Quarterly Report        
         
Schedule of Investments - Global Diversified Equity Fund (Unaudited) (Continued)      
January 31, 2016
    Shares   Value
Money Market Funds - 0.53%        
Short-Term Cash - 0.53%        
Federated Prime Cash Obligations Fund Institutional Class, 0.35% **     2,238,514    $           2,238,514
Total Money Market Funds (cost $2,238,514)                     2,238,514
         
Collateral for Securities Loaned - 8.68%        
Dreyfus Government Cash Management Institutional Class, 0.17% **     6,710,115                 6,710,115
Milestone Treasury Obligations Fund Institutional Class, 0.17% ** ^     29,500,000               29,500,000
Total Collateral for Securities Loaned (cost $36,210,115)               36,210,115
         
Total Investments (cost $431,725,051) (a) - 108.76%        $       453,902,659
Liabilities Less Other Assets - Net - (8.76)%                  (36,577,608)
NET ASSETS - 100.00%        $       417,325,051
         
+ All or a portion of this security is on loan.  Total loaned securities had a value of $35,397,567 at January 31, 2016.
* Non-income producing security.        
** Money Market Fund; Interest rate reflects seven-day effective yield on January 31, 2016.      
^ Represtents affiliated issuer        
         
ACWI - All Country World Index        
DB - Deutsche Bank        
EAFE - Europe, Australasia, Far East        
ETF - Exchange Traded Fund        
FTSE - Financial Times Stock Exchange        
MSCI - Morgan Stanley Capital International        
SPDR - Standard & Poors' Depositary Receipts        
         
(a) Represents cost for financial reporting purposes.   Aggregate cost for federal tax purposes is      
$432,677,349 and differs from market value by net unrealized appreciation (depreciation)      
of securities as follows:        
Unrealized appreciation:    $         43,915,402
Unrealized depreciation:              (22,690,092)
Net unrealized appreciation:    $         21,225,310

 

 

CLS Funds Quarterly Report        
         
Schedule of Investments - Growth and Income Fund (Unaudited)      
January 31, 2016
    Shares    Value
Bond Funds - 51.33%        
High Yield Bonds - 2.57%        
BlackRock Corporate High Yield Fund, Inc. +          143,559    $           1,379,602
PIMCO Dynamic Credit Income Fund            50,000                    874,000
SPDR Blackstone / GSO Senior Loan ETF          154,816                 7,112,247
                      9,365,849
Intermediate/Long-Term Bonds - 32.29%        
Fidelity Total Bond ETF +          240,000               11,553,600
iShares TIPS Bond ETF          287,000               31,971,800
iShares iBoxx $ Investment Grade Corporate Bond ETF            70,800                 8,081,820
PIMCO Total Return Active ETF +          443,668               46,580,703
SPDR Doubleline Total Return Tactical ETF +          400,000               19,632,000
                  117,819,923
International Bond - 5.79%        
PowerShares Emerging Markets Sovereign Debt Portfolio          743,958               20,213,339
Templeton Global Income Fund          146,395                    916,433
                    21,129,772
Short-Term Bonds - 10.68%        
iShares Floating Rate Bond ETF +          277,800               13,987,230
PIMCO Enhanced Short Maturity Active ETF          248,014               24,977,490
                    38,964,720
         
Total Bond Funds (cost $189,567,503)                 187,280,264
         
Equity Funds - 48.24%        
Alternative - 3.19%        
WisdomTree Managed Futures Strategy Fund * +          281,932               11,652,249
         
Balanced - 0.28%        
PowerShares CEF Income Composite Portfolio +            50,000                 1,029,500
         
Commodity Funds - 2.44%        
PowerShares DB Commodity Index Tracking Fund * +          510,000                 6,517,800
WisdomTree Continuous Commodity Index Fund *          132,000                 2,382,600
                      8,900,400
Developed International - 13.93%        
FlexShares International Quality Dividend Index Fund +            77,000                 1,589,280
iShares MSCI EAFE Minimum Volatility ETF +          225,888               14,343,888
iShares MSCI Eurozone ETF          133,100                 4,418,920
iShares MSCI Japan ETF          765,000                 8,797,500
iShares Europe ETF          380,000               14,424,800
Vanguard FTSE Europe ETF          154,000                 7,248,780
                    50,823,168
Emerging Markets - 6.84%        
iShares Core MSCI Emerging Markets ETF          175,200                 6,541,968
iShares MSCI Emerging Markets Minimum Volatility ETF            72,100                 3,388,700
iShares MSCI Russia Capped ETF          150,000                 1,660,500
Morgan Stanley China A Share Fund, Inc.            78,689                 1,250,368
PowerShares FTSE RAFI Emerging Markets Portfolio +          502,800                 6,662,100
SPDR S&P Emerging Asia Pacific ETF +            80,000                 5,440,000
                    24,943,636
Large Cap Core - 4.77%        
Vanguard Dividend Appreciation ETF          229,300               17,426,800
         
Large Cap Growth - 12.83%        
iShares North American Tech-Software ETF +            40,000                 3,796,400
iShares MSCI USA Quality Factor ETF          395,113               24,346,863
Market Vectors Gold Miners ETF          140,000                 1,993,600
Powershares QQQ Trust Series 1 +            44,100                 4,592,133
SPDR Technology Select Sector Fund +          209,000                 8,619,160
Vanguard Information Technology ETF            34,000                 3,464,600
                    46,812,756
         
CLS Funds Quarterly Report        
         
Schedule of Investments - Growth and Income Fund (Unaudited) (Continued)      
January 31, 2016        
    Shares    Value
Large Cap Value - 3.69%        
SPDR Energy Select Sector Fund +            93,000    $           5,416,320
SPDR Financial Select Sector Fund          370,607                 8,045,878
                    13,462,198
Small/Mid-Cap Core - 0.27%        
Kayne Anderson MLP Investment Co.            64,000                    982,400
         
Total Equity Funds (cost $173,948,703)                   176,033,107
         
Money Market Funds - 0.50%        
Short-Term Cash - 0.50%        
Federated Prime Cash Obligations Fund Institutional Class, 0.35% **     1,824,419                 1,824,419
Total Money Market Funds (cost $1,824,419)                     1,824,419
         
Collateral for Securities Loaned - 10.63%        
Dreyfus Government Cash Management Institutional Class, 0.17% **                   1                               1
Milestone Treasury Obligations Fund Institutional Class, 0.17% ** ^     38,800,000               38,800,000
Total Collateral for Securities Loaned (cost $38,800,001)               38,800,001
         
Total Investments (cost $404,140,626) (a) - 110.70%        $       403,937,791
Liabilities Less Other Assets - Net - (10.70)%                  (39,049,299)
NET ASSETS - 100.00%        $       364,888,492
         
+ All or a portion of this security is on loan.  Total loaned securities had a value of $36,668,135 at January 31, 2016.
* Non-income producing security.        
** Money Market Fund; Interest rate reflects seven-day effective yield on January 31, 2016.      
^ Represtents affiliated issuer        
         
DB - Deutsche Bank        
EAFE - Europe, Australasia, Far East        
ETF - Exchange Traded Fund        
FTSE - Financial Times Stock Exchange        
MLP - Master Limited Partnership        
MSCI - Morgan Stanley Capital International        
RAFI - Research Affiliates        
SPDR - Standard & Poors' Depositary Receipts        
TIPS - Treasury Inflation-Protected Securities        
         
(a) Represents cost for financial reporting purposes.   Aggregate cost for federal tax purposes is      
$404,246,601 and differs from market value by net unrealized appreciation (depreciation)      
of securities as follows:        
Unrealized appreciation:    $         10,861,341
Unrealized depreciation:              (11,170,151)
Net unrealized depreciation:    $             (308,810)

 

 

CLS Funds Quarterly Report        
         
Schedule of Investments - Global Growth Fund (Unaudited)      
January 31, 2016
    Shares    Value
Bond Funds - 17.11%        
High Yield Bonds - 3.96%        
PIMCO 0-5 Year High Yield Corporate Bond Index ETF   104,700    $           9,442,893
         
Intermediate/Long-Term Bonds - 7.73%        
SPDR Doubleline Total Return Tactical ETF   376,000               18,454,080
         
International Bond - 5.42%        
PowerShares Emerging Markets Sovereign Debt Portfolio +   358,152                 9,730,990
Vanguard Total International Bond ETF   60,000                 3,214,200
                    12,945,190
         
Total Bond Funds (cost $41,088,169)                   40,842,163
         
Equity Funds - 81.55%        
Commodity Funds - 2.32%        
iShares S&P GSCI Commodity Indexed Trust * +   217,500                 2,931,900
PowerShares DB Agriculture Fund *   130,000                 2,598,700
                      5,530,600
Developed International - 21.73%        
Deutsche X-trackers MSCI EAFE Hedged Equity ETF   586,000               15,277,020
iShares MSCI EAFE Minimum Volatility ETF +   300,000               19,050,000
iShares MSCI Eurozone ETF +   345,000               11,454,000
WisdomTree Japan Hedged Equity Fund   128,000                 6,087,680
                    51,868,700
Emerging Markets - 8.15%        
EGShares Emerging Markets Consumer ETF +   576,000               11,831,040
iShares MSCI Emerging Markets Minimum Volatility ETF   162,000                 7,614,000
                    19,445,040
Global Equity - 8.58%        
FlexShares STOXX Global Broad Infrastructure Index Fund   130,000                 5,296,200
iShares Global Energy ETF +   224,600                 6,122,596
iShares Global Healthcare ETF +   95,000                 9,051,600
                    20,470,396
Large Cap Core - 7.84%        
First Trust NASDAQ Technology Dividend Index Fund   780,000               18,712,200
         
Large Cap Growth - 15.71%        
iShares MSCI USA Quality Factor ETF   365,000               22,491,300
iShares Russell Top 200 Growth ETF   295,000               14,994,850
                    37,486,150
         
Large Cap Value - 17.22%        
iShares MSCI USA Minimum Volatility ETF   546,000               22,517,040
SPDR Financial Select Sector Fund +   856,450               18,593,529
                    41,110,569
         
Total Equity Funds (cost $194,345,459)                 194,623,655
         
         
         
         
CLS Funds Quarterly Report        
         
Schedule of Investments - Global Growth Fund (Unaudited) (Continued)      
January 31, 2016        
    Shares    Value
         
Money Market Funds - 1.42%        
Short-Term Cash - 1.42%        
Federated Prime Cash Obligations Fund Institutional Class, 0.35% **     3,398,530    $           3,398,530
Total Money Market Funds (cost $3,398,530)                     3,398,530
         
Collateral for Securities Loaned - 9.00%        
Dreyfus Government Cash Management Institutional Class, 0.17% **     5,575,875                 5,575,875
Milestone Treasury Obligations Fund Institutional Class, 0.17% ** ^     15,900,000               15,900,000
Total Collateral for Securities Loaned (cost $21,475,875)               21,475,875
         
Total Investments (cost $260,308,033) (a) - 109.08%        $       260,340,223
Liabilities Less Other Assets - Net - (9.08)%                  (21,668,032)
NET ASSETS - 100.00%        $       238,672,191
         
+ All or a portion of this security is on loan.  Total loaned securities had a value of $20,929,570 at January 31, 2016.
* Non-income producing security.        
** Money Market Fund; Interest rate reflects seven-day effective yield on January 31, 2016.      
^ Represtents affiliated issuer        
         
DB - Deutsche Bank        
EAFE - Europe, Australasia, Far East        
ETF - Exchange Traded Fund        
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      
$259,111,969 and differs from market value by net unrealized appreciation (depreciation)      
of securities as follows:        
Unrealized appreciation:    $           5,986,356
Unrealized depreciation:                (4,758,102)
Net unrealized appreciation:    $           1,228,254

 

 

CLS Funds Quarterly Report        
         
Schedule of Investments - International Equity Fund (Unaudited)
January 31, 2016
    Shares   Value
Equity Funds - 99.95%        
Developed International - 68.04%        
Deutsche X-trackers MSCI EAFE Hedged Equity ETF            32,300    $              842,061
iShares International Select Dividend ETF +            82,800                 2,260,440
iShares MSCI Canada ETF +            14,600                    305,286
iShares MSCI Denmark Capped ETF            10,500                    568,260
iShares MSCI EAFE Minimum Volatility ETF            47,000                 2,984,500
iShares MSCI Europe Minimum Volatility ETF +            65,500                 1,513,705
iShares MSCI Finland Capped ETF            18,400                    590,088
iShares MSCI Israel Capped ETF              6,400                    294,848
iShares MSCI Japan Minimum Volatility ETF +            13,500                    752,895
iShares MSCI New Zealand Capped ETF              9,700                    340,179
iShares MSCI Switzerland Capped ETF            21,700                    632,772
iShares MSCI United Kingdom ETF            24,800                    380,928
WisdomTree International Hedged Quality Dividend Growth Fund            54,000                 1,398,600
                    12,864,562
Emerging Markets - 31.91%        
Global X MSCI Argentina ETF            22,500                    385,965
Global X MSCI Nigeria ETF +            94,000                    568,700
iShares MSCI All Peru Capped ETF +            45,500                    891,345
iShares MSCI Chile Capped ETF +            15,500                    505,765
iShares MSCI India ETF +            20,000                    520,800
iShares MSCI Indonesia ETF +            44,600                    965,590
iShares MSCI Mexico Capped ETF +              8,000                    387,120
iShares MSCI Poland Capped ETF +            47,800                    806,386
iShares MSCI South Korea Capped ETF            11,000                    525,140
iShares MSCI Thailand Capped ETF              3,900                    239,070
Market Vectors Egypt Index ETF              7,000                    237,860
                      6,033,741
         
Total Equity Funds (cost $19,565,413)                   18,898,303
         
Money Market Funds - 0.21%        
Short-Term Cash - 0.21%        
Federated Prime Cash Obligations Fund Institutional Class, 0.35% *          40,518                      40,518
Total Money Market Funds (cost $40,518)                          40,518
         
Collateral for Securities Loaned - 25.66%        
Dreyfus Government Cash Management Institutional Class, 0.17% *     4,852,014                 4,852,014
Total Collateral for Securities Loaned (cost $4,852,014)                 4,852,014
         
         
         
Total Investments (cost $24,457,945) (a) - 125.82%        $         23,790,835
Liabilities Less Other Assets - Net - (25.82)%                    (4,882,677)
NET ASSETS - 100.00%        $         18,908,158
         
+ All or a portion of this security is on loan.  Total loaned securities had a value of $4,719,277 at January 31, 2016.
* Money Market Fund; Interest rate reflects seven-day effective yield on January 31, 2016.
         
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, including securities      
sold short, is $24,488,254 and differs from market value by net unrealized appreciation (depreciation)      
of securities (including short sales) as follows:        
Unrealized appreciation:    $              110,022
Unrealized depreciation:                   (807,441)
Net unrealized depreciation:    $             (697,419)

 

 

CLS Funds Quarterly Report        
         
Schedule of Investments - Flexible Income Fund (Unaudited)
January 31, 2016
     Shares    Value
Bond Funds - 81.82%        
High Yield Bonds - 16.10%        
BlackRock Corporate High Yield Fund, Inc.            78,416    $              753,578
iShares iBoxx $ High Yield Corporate Bond ETF          101,080                 8,013,622
PIMCO 0-5 Year High Yield Corporate Bond Index ETF            56,295                 5,077,246
PowerShares Senior Loan Portfolio +          434,800                 9,643,864
SPDR Barclays Short Term High Yield Bond ETF          252,775                 6,357,291
SPDR Blackstone / GSO Senior Loan ETF            42,500                 1,952,450
                    31,798,051
Intermediate/Long-Term Bonds - 41.13%        
iShares 3-7 Year Treasury Bond ETF +            41,200                 5,159,888
iShares 20+ Year Treasury Bond ETF +            11,000                 1,400,300
iShares Core US Credit Bond ETF            33,450                 3,576,809
iShares Intermediate Credit Bond ETF            90,380                 9,748,387
iShares TIPS Bond ETF            67,548                 7,524,847
iShares Core U.S. Aggregate Bond ETF            90,626                 9,906,328
iShares iBoxx $ Investment Grade Corporate Bond ETF            18,725                 2,137,459
iShares National Muni Bond ETF +            31,275                 3,489,039
PIMCO Total Return Active ETF            59,909                 6,289,846
SPDR Doubleline Total Return Tactical ETF          290,414               14,253,519
Vanguard Intermediate-Term Corporate Bond ETF            94,483                 7,982,869
Vanguard Mortgage-Backed Securities ETF            41,000                 2,188,170
Vanguard Total Bond Market ETF            92,385                 7,553,398
                    81,210,859
International Bond - 6.35%        
iShares Emerging Markets Local Currency Bond ETF +            52,400                 2,082,376
iShares JP Morgan USD Emerging Markets Bond ETF +            50,350                 5,328,037
PowerShares Emerging Markets Sovereign Debt Portfolio            71,000                 1,929,070
SPDR Citi International Government Inflation-Protected Bond ETF +          63,675                 3,204,126
                    12,543,609
Short-Term Bonds - 18.24%        
iShares 1-3 Year Treasury Bond ETF              2,541                    215,756
iShares Floating Rate Bond ETF +            47,201                 2,376,570
PIMCO 1-5 Year U.S. TIPS Index ETF            71,372                 3,686,364
PIMCO Enhanced Short Maturity Active ETF +          171,117               17,233,193
SPDR Nuveen Barclays Short Term Municipal Bond ETF          325,536                 7,962,611
Vanguard Short-Term Corporate Bond ETF            57,375                 4,541,231
                    36,015,725
         
Total Bond Funds (cost $167,577,836)                 161,568,244
         
Equity Funds - 8.64%        
Commodity - 0.71%        
United States Commodity Index Fund *            35,500                 1,400,830
         
Currency - 1.15%        
PowerShares DB US Dollar Index Bullish Fund *            88,000                 2,275,680
         
Developed International - 0.70%        
iShares MSCI EAFE ETF +            12,500                    693,500
iShares MSCI EAFE Value ETF            16,000                    694,080
                      1,387,580
Emerging Markets - 0.19%        
Vanguard FTSE Emerging Markets ETF            12,000                    369,960
         
Large Cap Core - 1.54%        
iShares Core S&P 500 ETF            15,660                 3,047,749
         
Large Cap Growth - 0.20%        
Vanguard Growth ETF              4,000                    399,760
         
         
         
CLS Funds Quarterly Report        
         
Schedule of Investments - Flexible Income Fund (Unaudited) (Continued)
January 31, 2016
     Shares    Value
         
Large Cap Value - 1.07%        
PowerShares S&P 500 Low Volatility Portfolio            26,800    $           1,013,576
Vanguard High Dividend Yield ETF +            17,000                 1,102,790
                      2,116,366
Preferred Security - 2.71%        
iShares US Preferred Stock ETF +            46,775                 1,799,434
PowerShares Financial Preferred Portfolio +          119,461                 2,230,337
PowerShares Preferred Portfolio +            88,700                 1,314,534
                      5,344,305
Small/Mid-Cap Value - 0.37%        
Alerian MLP ETF +            70,000                    728,000
         
Total Equity Funds (cost $17,137,920)                   17,070,230
         
     Principal ($)    
U.S. Government and Agency Obligations - 6.88%        
Fannie Mae, 3.50%, due 12/1/2030    $    295,368                    311,416
Fannie Mae, 3.50%, due 7/1/2032          605,474                    642,536
Fannie Mae, 4.00%, due 2/1/2040          320,548                    342,832
Fannie Mae, 4.00%, due 10/1/2040          289,077                    309,891
Fannie Mae, 4.00%, due 6/1/2041          537,812                    576,572
Fannie Mae, 4.00%, due 9/1/2041          633,236                    678,874
Fannie Mae, 4.00%, due 12/1/2041          385,988                    413,807
Fannie Mae, 5.00%, due 11/1/2039          354,116                    396,723
Fannie Mae, 5.00%, due 2/1/2040          545,651                    604,390
Fannie Mae, 5.50%, due 12/1/2039          237,794                    268,039
Fannie Mae, 5.50%, due 4/1/2040          294,529                    328,827
Fannie Mae, 6.00%, due 12/1/2035          336,841                    384,217
Fannie Mae, 6.00%, due 12/1/2038          125,063                    141,553
Federal Home Loan Banks, 2.90%, due 4/20/2017          136,324                    139,115
Federal Home Loan Mortgage Corp., 2.00%, due 3/12/2020       1,000,000                 1,031,397
Federal Home Loan Mortgage Corp., 5.40%, due 3/17/2021          750,000                    754,059
Federal National Mortgage Association, 2.00%, due 8/28/2020       1,000,000                 1,025,362
Freddie Mac Gold Pool, 4.50%, due 2/1/2041          357,105                    389,815
Freddie Mac Gold Pool, 5.50%, due 6/1/2034          327,189                    365,231
Freddie Mac Gold Pool, 6.00%, due 5/1/2037          106,347                    120,549
Freddie Mac Gold Pool, 6.50%, due 4/1/2039          137,811                    157,219
Government National Mortgage Association, 3.50%, due 7/16/2039        147,929                    153,845
Government National Mortgage Association, 4.00%, due 2/20/2039        331,114                    341,606
United States Treasury Note/Bond, 4.25%, due 11/15/2017       2,500,000                 2,653,272
United States Treasury Note/Bond, 4.50%, due 5/15/2017       1,000,000                 1,048,809
Total U.S. Government and Agency Obligations (cost $13,115,085)               13,579,956
         
         
         
         
         
CLS Funds Quarterly Report        
         
Schedule of Investments - Flexible Income Fund (Unaudited) (Continued)
January 31, 2016
     Shares    Value
Money Market Funds - 2.22%        
Short-Term Cash - 2.22%        
Federated Prime Cash Obligations Fund Institutional Class, 0.35% **     4,387,191    $           4,387,191
Total Money Market Funds (cost $4,387,191)                     4,387,191
         
Collateral for Securities Loaned - 11.90%        
Dreyfus Government Cash Management Institutional Class, 0.17% **                   1                               1
Milestone Treasury Obligations Fund Institutional Class, 0.17% ** ^     23,500,000               23,500,000
Total Collateral for Securities Loaned (cost $23,500,001)               23,500,001
         
Total Investments (cost $225,718,033) (a) - 111.46%          $       220,105,622
Liabilities Less Other Assets - Net - (11.46)%                  (22,630,539)
NET ASSETS - 100.00%        $       197,475,083
         
+ All or a portion of this security is on loan.  Total loaned securities had a value of $ 21,044,664 at January 31, 2016.
* Non-income producing security.        
** Money Market Fund; Interest rate reflects seven-day effective yield on January 31, 2016.
^ Represtents affiliated issuer        
         
DB - Deutsche Bank            
EAFE - Europe, Australasia, Far East        
ETF - Exchange Traded Fund        
FTSE - Financial Times Stock Exchange        
MLP - Master Limited Partnership        
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
$225,619,464 and differs from market value by net unrealized appreciation (depreciation)
of securities as follows:        
Unrealized appreciation:    $           2,312,613
Unrealized depreciation:                (7,826,455)
Net unrealized depreciation:    $          (5,513,842)

 

 

CLS Funds Quarterly Report        
         
Schedule of Investments - Global Aggressive Equity Fund (Unaudited)
January 31, 2016
    Shares   Value
Equity Funds - 99.51%        
Alternative - 6.61%        
ProShares Large Cap Core Plus            92,000    $           4,281,680
ProShares Short VIX Short-Term Futures ETF * +            20,000                    782,400
WisdomTree Managed Futures Strategy Fund *            32,500                 1,343,225
                      6,407,305
Developed International - 29.56%        
Deutsche X-trackers MSCI Japan Hedged Equity ETF +          152,000                 5,523,680
Deutsche X-trackers MSCI Europe Hedged Equity ETF +          111,000                 2,752,800
First Trust Dorsey Wright International Focus 5 ETF +          313,000                 5,089,380
iShares International Select Dividend ETF +            52,000                 1,419,600
iShares MSCI ACWI ETF            81,000                 4,281,660
iShares MSCI Europe Financials ETF            94,978                 1,712,454
iShares MSCI Ireland Capped ETF +            50,000                 1,939,000
iShares MSCI United Kingdom ETF            66,000                 1,013,760
WisdomTree Europe SmallCap Dividend Fund +            93,000                 4,915,980
                    28,648,314
Emerging Markets - 4.05%        
Global X China Financials ETF            33,000                    383,790
iShares MSCI All Country Asia ex Japan ETF +            17,500                    870,625
iShares MSCI India ETF +            29,304                    763,076
SPDR S&P Emerging Asia Pacific ETF +            28,000                 1,904,000
                      3,921,491
Global Equity - 10.19%        
Cambria Global Value ETF            70,100                 1,172,072
Fidelity MSCI Energy Index ETF +            95,000                 1,564,650
PowerShares Global Listed Private Equity Portfolio          201,000                 1,933,620
Vanguard Total World Stock ETF +            96,000                 5,207,040
                      9,877,382
Large Cap Core - 16.24%        
First Trust NASDAQ Technology Dividend Index Fund          237,000                 5,685,630
Guggenheim S&P 500 Equal Weight ETF +            36,000                 2,605,680
Market Vectors Morningstar Wide Moat ETF +          271,000                 7,447,080
                    15,738,390
Large Cap Growth - 11.06%        
iShares U.S. Oil Equipment & Services ETF            44,000                 1,450,240
iShares PHLX Semiconductor ETF +            64,000                 5,313,920
Market Vectors Gold Miners ETF            62,000                    882,880
Powershares Dynamic Pharmaceuticals Portfolio +            50,000                 3,067,500
                    10,714,540
Large Cap Value - 2.06%        
First Trust Capital Strength ETF +            54,000                 1,994,760
         
Small/Mid Cap Core - 2.69%        
Guggenheim Spin-Off ETF            74,000                 2,601,100
         
Small/Mid Cap Growth - 6.91%        
First Trust US IPO Index Fund            48,000                 2,269,440
iShares U.S. Medical Devices ETF +            38,500                 4,427,500
                      6,696,940
Small/Mid Cap Value - 10.14%        
Guggenheim Shipping ETF +          109,000                 1,234,970
Guggenheim Solar ETF +            16,000                    403,360
Guggenheim Timber ETF          167,000                 3,525,370
iShares U.S. Insurance ETF            97,500                 4,660,500
                      9,824,200
         
Total Equity Funds (cost $94,456,336)                   96,424,422
         
         
         
CLS Funds Quarterly Report        
         
Schedule of Investments - Global Aggressive Equity Fund (Unaudited) (Continued)
January 31, 2016
    Shares   Value
Money Market Funds - 0.56%        
Short-Term Cash - 0.56%        
Federated Prime Cash Obligations Fund Institutional Class, 0.35% **        544,062    $              544,062
Total Money Market Funds (cost $544,062)                        544,062
         
Collateral for Securities Loaned - 26.01%        
Dreyfus Government Cash Management Institutional Class, 0.17% **     2,206,313                 2,206,313
Milestone Treasury Obligations Fund Institutional Class, 0.17% ** ^     23,000,000               23,000,000
Total Collateral for Securities Loaned (cost $25,206,313)               25,206,313
         
Total Investments (cost $120,206,711) (a) - 126.08%          $       122,174,797
Liabilities Less Other Assets - Net - (26.08)%                  (25,269,626)
NET ASSETS - 100.00%        $         96,905,171
         
+ All or a portion of this security is on loan.  Total loaned securities had a value of $24,653,763 at January 31, 2016.
* Non-income producing security.        
** Money Market Fund; Interest rate reflects seven-day effective yield on January 31, 2016.      
^ Represtents affiliated issuer        
         
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      
$120,235,150 and differs from market value by net unrealized appreciation (depreciation)      
of securities as follows:        
Unrealized appreciation:    $           7,854,164
Unrealized depreciation:                (5,914,517)
Net unrealized appreciation:    $           1,939,647

 

 

CLS Funds Quarterly Report        
         
Schedule of Investments - Shelter Fund (Unaudited)        
January 31, 2016
    Shares    Value
Equity Funds - 61.98%        
Developed International - 10.12%        
iShares MSCI All Country World Minimum Volatility ETF               133,000    $           9,075,920
         
Large Cap Growth - 10.14%        
iShares MSCI USA Quality Factor ETF               147,500                 9,088,950
         
Large Cap Value - 41.72%        
iShares MSCI USA Minimum Volatility ETF               456,000               18,805,440
PowerShares S&P 500 Low Volatility Portfolio               492,000               18,607,440
                    37,412,880
         
Total Equity Funds (cost $56,016,349)                   55,577,750
         
Money Market Funds - 1.74%        
Federated Prime Cash Obligations Fund Institutional Class, 0.35% *          1,565,052                 1,565,052
Total Money Market Funds (cost $1,565,052)                     1,565,052
         
    Principal ($)    Value
U.S. Government Securities - 37.02%        
U.S. Treasury Bill:  0.00%, 02/11/16    $    20,700,000               20,698,735
U.S. Treasury Bill:  0.00%, 02/18/16          12,500,000               12,498,539
Total U.S. Government (cost $33,197,274)                   33,197,274
         
Total Investments (cost $90,778,675) (a) - 100.74%        $         90,340,076
Liabilities Less Other Assets - Net - (0.74)%                       (665,818)
NET ASSETS - 100.00%        $         89,674,258
         
* Money Market Fund; Interest rate reflects seven-day effective yield on January 31, 2016.      
         
ETF - Exchange Traded Fund        
MSCI - Morgan Stanley Capital International        
         
(a)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is      
$90,874,567 and differs from market value by net unrealized appreciation (depreciation)      
of securities as follows:        
Unrealized appreciation:    $              101,014
Unrealized depreciation:                   (635,505)
Net unrealized depreciation:    $             (534,491)

 

 

CLS Funds Quarterly Report        
           
Schedule of Investments (Unaudited)  
January 31, 2016  
           
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.  The Funds follow the specialized accounting and reporting requirements under GAAP that are applicable to investment companies.

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 Funds may hold securities, such as private investments, 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 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 Value Team and 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 ask price is available; the spread between bid and ask 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 Funds' 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).

CLS Funds Quarterly Report        
           
Schedule of Investments (Unaudited)  
January 31, 2016  
           
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 Funds' 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, 2016 in valuing the Funds' investments measured at fair value:

           
Global Diversified Equity        
Assets *   Level 1 Level 2 Level 3 Total
Equity Funds  $          415,454,030  $                            -     $                    -     $           415,454,030
Money Market Funds                   2,238,514                                 -                           -                       2,238,514
Collateral for Securities Loaned                36,210,115                                 -                           -                     36,210,115
Total  $          453,902,659  $                            -     $                    -     $           453,902,659
Growth and Income        
Assets *   Level 1 Level 2 Level 3 Total
Bond Funds  $          187,280,264  $                            -     $                    -     $           187,280,264
Equity Funds              176,033,107                                 -                           -                  176,033,107
Money Market Funds                   1,824,419                                 -                           -                       1,824,419
Collateral for Securities Loaned                38,800,001                                 -                           -                     38,800,001
Total  $          403,937,791  $                            -     $                    -     $           403,937,791


CLS Funds Quarterly Report		        
           
Schedule of Investments (Unaudited)  
January 31, 2016  
Global Growth        
Assets *   Level 1 Level 2 Level 3 Total
Bond Funds  $            40,842,163  $                            -     $                    -     $             40,842,163
Equity Funds              194,623,655                                 -                           -                  194,623,655
Money Market Funds                   3,398,530                                 -                           -                       3,398,530
Collateral for Securities Loaned                21,475,875                                 -                           -                     21,475,875
Total  $          260,340,223  $                            -     $                    -     $           260,340,223
International Equity        
Assets *   Level 1 Level 2 Level 3 Total
Equity Funds  $            18,898,303  $                            -     $                    -     $             18,898,303
Money Market Funds                        40,518                                 -                           -                             40,518
Collateral for Securities Loaned                   4,852,014                                 -                           -                       4,852,014
Total  $            23,790,835  $                            -     $                    -     $             23,790,835
Flexible Income        
Assets *   Level 1 Level 2 Level 3 Total
Bond Funds  $          161,568,244  $                            -     $                    -     $           161,568,244
Equity Funds                17,070,230                                 -                           -                     17,070,230
U.S. Government & Agency Obligations                                  -                  13,579,956                        -                     13,579,956
Money Market Funds                   4,387,191                                 -                           -                       4,387,191
Collateral for Securities Loaned                23,500,001                                 -                           -                     23,500,001
Total  $          206,525,666  $           13,579,956  $                    -     $           220,105,622
Global Aggressive Equity        
Assets *   Level 1 Level 2 Level 3 Total
Equity Funds  $            96,424,422  $                            -     $                    -     $             96,424,422
Money Market Funds                      544,062                                 -                           -                          544,062
Collateral for Securities Loaned                25,206,313                                 -                           -                     25,206,313
Total  $          122,174,797  $                            -     $                    -     $           122,174,797
Shelter        
Assets *   Level 1 Level 2 Level 3 Total
Equity Funds  $            55,577,750  $                            -     $                    -     $             55,577,750
Money Market Funds                   1,565,052                                 -                           -                       1,565,052
U.S. Government Securities                                  -                  33,197,274                        -                     33,197,274
Total  $            57,142,802  $           33,197,274  $                    -     $             90,340,076
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)  
January 31, 2016  
           
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.  
           
Securities Lending  
CLS Global Diversified Equity Fund, CLS Growth and Income Fund, CLS Global Growth Fund, CLS International Equity Fund, CLS Flexible Income Fund, CLS Global Aggressive Equity Fund and CLS Shelter Fund have entered into a securities lending arrangement with The Bank of New York Mellon (the “Lending Agent”). Under the terms of the agreement, the Funds are authorized to loan securities through the Lending Agent to approved third-party borrowers. In exchange, the Fund receives cash collateral in the amount of at least 102% of the value of the securities loaned. The value of securities loaned is disclosed in a footnote on the Schedule of Investments. Although risk is mitigated by the collateral, the Funds could experience a delay in recovering their securities and possible loss of income or value if the Borrower fails to return them.

The Funds may invest the cash collateral received in connection with securities lending transactions in the Milestone Treasury Obligations Fund. The Milestone Treasury Obligations Fund, is deemed an affiliate of the Trust and is managed by CLS Investments, LLC. The Funds receive compensation relating to the lending of the Funds’ securities.

 

 

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, Principal Executive Officer/President

 

Date 3/30/2016

 

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, Principal Executive Officer /President

 

Date 3/30/2016

 

By (Signature and Title)

/s/Brian Curley

Brian Curley, Principal Financial Officer/Treasurer

 

Date 3/30/2016