LETTER TO SHAREHOLDERS
|
3
|
||
EXPENSE EXAMPLES
|
9
|
||
CONVERGENCE CORE PLUS FUND
|
|||
SCHEDULE OF INVESTMENTS
|
18
|
||
SCHEDULE OF SECURITIES SOLD SHORT
|
25
|
||
CONVERGENCE OPPORTUNITIES FUND
|
|||
SCHEDULE OF INVESTMENTS
|
33
|
||
SCHEDULE OF SECURITIES SOLD SHORT
|
40
|
||
CONVERGENCE MARKET NEUTRAL FUND
|
|||
SCHEDULE OF INVESTMENTS
|
47
|
||
SCHEDULE OF SECURITIES SOLD SHORT
|
54
|
||
STATEMENTS OF ASSETS AND LIABILITIES
|
61
|
||
STATEMENTS OF OPERATIONS
|
62
|
||
STATEMENTS OF CHANGES IN NET ASSETS
|
|||
CONVERGENCE CORE PLUS FUND
|
63
|
||
CONVERGENCE OPPORTUNITIES FUND
|
64
|
||
CONVERGENCE MARKET NEUTRAL FUND
|
65
|
||
STATEMENTS OF CASH FLOWS
|
66
|
||
FINANCIAL HIGHLIGHTS
|
|||
CONVERGENCE CORE PLUS FUND
|
68
|
||
CONVERGENCE OPPORTUNITIES FUND
|
70
|
||
CONVERGENCE MARKET NEUTRAL FUND
|
72
|
||
NOTES TO FINANCIAL STATEMENTS
|
73
|
||
REPORT OF INDEPENDENT REGISTERED
|
|||
PUBLIC ACCOUNTING FIRM
|
87
|
||
BASIS FOR TRUSTEES’ APPROVAL OF INVESTMENT
|
|||
ADVISORY AGREEMENT
|
88
|
||
NOTICE OF PRIVACY POLICY & PRACTICES
|
92
|
||
ADDITIONAL INFORMATION
|
93
|
Since
|
||||||
One
|
One
|
Three
|
Five
|
Inception
|
||
Through November 30, 2017
|
Month
|
YTD
|
Year
|
Year
|
Year
|
Annualized
|
Convergence Core Plus
|
||||||
Institutional Class (MARNX)
|
3.65%
|
15.80%
|
18.81%
|
9.12%
|
13.97%
|
14.22%
|
Russell 3000® Total Return
|
3.04%
|
19.93%
|
22.27%
|
10.75%
|
15.63%
|
13.78%
|
Since
|
||||||
One
|
Three
|
Five
|
Inception
|
|||
Through September 30, 2017
|
Quarter**
|
YTD
|
Year
|
Year
|
Year
|
Annualized
|
Convergence Core Plus
|
||||||
Institutional Class (MARNX)
|
6.61%
|
10.19%
|
20.97%
|
9.20%
|
12.81%
|
13.82%
|
Russell 3000® Total Return
|
4.57%
|
13.91%
|
18.71%
|
10.74%
|
14.23%
|
13.34%
|
*
|
This illustrates the performance of a hypothetical $10,000 investment made in the Fund from 12/29/2009 – 11/30/2017 and assumes reinvestment of dividends and capital gains, but does not reflect the effect of any applicable sales charge or redemption fees. This does not imply any future performance.
|
Since
|
|||||
One
|
One
|
Three
|
Inception
|
||
Through November 30, 2017
|
Month
|
YTD
|
Year
|
Year
|
Annualized
|
Convergence Opportunities
|
|||||
Institutional Class (CIPOX)
|
0.37%
|
11.53%
|
16.24%
|
9.25%
|
8.53%
|
Russell 2000® Total Return
|
2.88%
|
15.11%
|
18.34%
|
11.14%
|
9.30%
|
Since
|
|||||
One
|
Three
|
Inception
|
|||
Through September 30, 2017
|
Quarter**
|
YTD
|
Year
|
Year
|
Annualized
|
Convergence Opportunities
|
|||||
Institutional Class (CIPOX)
|
7.82%
|
8.52%
|
21.77%
|
11.04%
|
8.15%
|
Russell 2000® Total Return
|
5.67%
|
10.94%
|
20.74%
|
12.18%
|
8.68%
|
Fund inception = 11/29/2013
|
Since
|
||||
One
|
One
|
Inception
|
||
Through November 30, 2017
|
Month
|
YTD
|
Year
|
Annualized
|
Convergence Market Neutral
|
||||
Institutional Class (CPMNX)
|
1.13%
|
2.87%
|
4.37%
|
4.01%
|
ICE BofA Merrill Lynch 3 Month U.S. Treasury Bill
|
0.08%
|
0.74%
|
0.79%
|
0.58%
|
Russell 3000® Total Return
|
3.04%
|
19.93%
|
22.27%
|
21.61%
|
S&P 500 TR
|
3.07%
|
20.49%
|
22.87%
|
20.99%
|
Since
|
||||
One
|
Inception
|
|||
Through September 30, 2017
|
Quarter**
|
YTD
|
Year
|
Annualized
|
Convergence Market Neutral
|
||||
Institutional Class (CPMNX)
|
2.73%
|
0.96%
|
9.10%
|
3.26%
|
ICE BofA Merrill Lynch 3 Month U.S. Treasury Bill
|
0.26%
|
0.57%
|
0.66%
|
0.54%
|
S&P 500 TR
|
4.48%
|
14.24%
|
18.61%
|
19.45%
|
David J. Abitz, CFA
|
Justin Neuberg, CFA
|
President & Chief Investment Officer
|
Co-Portfolio Manager
|
Convergence Investment Partners, LLC
|
Convergence Investment Partners, LLC
|
Convergence Core Plus Fund –
|
|||
Institutional Class
|
|||
Beginning
|
Ending
|
Expenses Paid
|
|
Account Value
|
Account Value
|
During Period
|
|
6/1/17
|
11/30/17
|
6/1/17 – 11/30/17*
|
|
Actual**
|
$1,000.00
|
$1,137.40
|
$11.57
|
Hypothetical (5% return
|
|||
before expenses)***
|
$1,000.00
|
$1,014.24
|
$10.91
|
*
|
Expenses are equal to the Fund’s annualized expense ratio of 2.16%, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). Excluding dividends on short positions, interest and broker expenses, the Fund’s annualized expense ratio would be 1.25%.
|
|
**
|
Excluding dividends on short positions, interest and broker expenses, your actual cost of investing in the Fund would be $6.70.
|
|
***
|
Excluding dividends on short positions, interest and broker expenses, your hypothetical cost of investing in the Fund would be $6.33.
|
Convergence Opportunities Fund –
|
|||
Institutional Class
|
|||
Beginning
|
Ending
|
Expenses Paid
|
|
Account Value
|
Account Value
|
During Period
|
|
6/1/17
|
11/30/17
|
6/1/17 – 11/30/17*
|
|
Actual**
|
$1,000.00
|
$1,146.90
|
$12.92
|
Hypothetical (5% return
|
|||
before expenses)***
|
$1,000.00
|
$1,013.04
|
$12.11
|
*
|
Expenses are equal to the Fund’s annualized expense ratio of 2.40%, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). Excluding dividends on short positions, interest and broker expenses, the Fund’s annualized expense ratio would be 1.35%.
|
|
**
|
Excluding dividends on short positions, interest and broker expenses, your actual cost of investing in the Fund would be $7.27.
|
|
***
|
Excluding dividends on short positions, interest and broker expenses, your hypothetical cost of investing in the Fund would be $6.83.
|
Convergence Market Neutral Fund –
|
|||
Institutional Class
|
|||
Beginning
|
Ending
|
Expenses Paid
|
|
Account Value
|
Account Value
|
During Period
|
|
6/1/17
|
11/30/17
|
6/1/17 – 11/30/17*
|
|
Actual**
|
$1,000.00
|
$1,058.10
|
$12.18
|
Hypothetical (5% return
|
|||
before expenses)***
|
$1,000.00
|
$1,013.24
|
$11.91
|
*
|
Expenses are equal to the Fund’s annualized expense ratio of 2.36%, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). Excluding dividends on short positions, interest and broker expenses, the Fund’s annualized expense ratio would be 1.50%.
|
|
**
|
Excluding dividends on short positions, interest and broker expenses, your actual cost of investing in the Fund would be $7.74.
|
|
***
|
Excluding dividends on short positions, interest and broker expenses, your hypothetical cost of investing in the Fund would be $7.59.
|
*
|
Excludes securities lending collateral.
|
Russell
|
||||||||
Institutional
|
3000® Total
|
|||||||
Class Shares
|
Return Index
|
|||||||
One Year
|
18.81
|
%
|
22.27
|
%
|
||||
Three Year
|
9.12
|
%
|
10.75
|
%
|
||||
Five Year
|
13.97
|
%
|
15.63
|
%
|
||||
Since Inception (12/29/09)
|
14.22
|
%
|
13.78
|
%
|
|
Growth of $15,000 Investment
|
|
|
*
|
Inception Date
|
*
|
Excludes securities lending collateral.
|
Russell
|
||||||||
Institutional
|
2000® Total
|
|||||||
Class Shares
|
Return Index
|
|||||||
One Year
|
16.24
|
%
|
18.34
|
%
|
||||
Three Year
|
9.25
|
%
|
11.14
|
%
|
||||
Since Inception (11/29/13)
|
8.53
|
%
|
9.30
|
%
|
|
Growth of $15,000 Investment
|
|
|
*
|
Inception Date
|
*
|
Excludes securities lending collateral.
|
ICE BofA
|
||||||||
Merrill Lynch
|
||||||||
3 Month
|
||||||||
Institutional
|
U.S. Treasury
|
|||||||
Class Shares
|
Bill Index
|
|||||||
One Year
|
4.37
|
%
|
0.79
|
%
|
||||
Since Inception (1/29/16)
|
4.01
|
%
|
0.58
|
%
|
|
Growth of $15,000 Investment
|
|
|
*
|
Inception Date
|
Schedule of Investments
|
Shares
|
Value
|
|||||||
COMMON STOCKS* 131.25%
|
||||||||
Accommodation 0.75%
|
||||||||
Penn National Gaming, Inc. (a)
|
33,697
|
$
|
969,125
|
|||||
Administrative and Support Services 2.76%
|
||||||||
Alliance Data Systems Corp.
|
8,666
|
2,073,513
|
||||||
ManpowerGroup, Inc.
|
3,845
|
495,621
|
||||||
Rollins, Inc.
|
8,830
|
409,271
|
||||||
TriNet Group, Inc. (a)
|
12,841
|
574,763
|
||||||
3,553,168
|
||||||||
Air Transportation 0.96%
|
||||||||
Copa Holdings SA – Class A (b)
|
9,203
|
1,234,951
|
||||||
Amusement, Gambling, and Recreation Industries 0.54%
|
||||||||
Las Vegas Sands Corp.
|
9,974
|
691,098
|
||||||
Apparel Manufacturing 0.22%
|
||||||||
Michael Kors Holdings Ltd. (a)(b)
|
4,873
|
284,778
|
||||||
Broadcasting (except Internet) 2.29%
|
||||||||
Comcast Corp. – Class A
|
42,325
|
1,588,881
|
||||||
Sinclair Broadcast Group, Inc. – Class A
|
39,476
|
1,344,158
|
||||||
2,933,039
|
||||||||
Building Material and Garden Equipment 2.85%
|
||||||||
Home Depot, Inc.
|
10,378
|
1,866,172
|
||||||
Lowe’s Companies, Inc.
|
21,601
|
1,800,875
|
||||||
3,667,047
|
||||||||
Chemical Manufacturing 10.36%
|
||||||||
AbbVie, Inc.
|
38,556
|
3,736,847
|
||||||
Bioverativ, Inc. (a)
|
5,096
|
254,902
|
||||||
Bristol-Myers Squibb Co.
|
43,849
|
2,770,818
|
||||||
Chemours Co.
|
16,110
|
828,054
|
||||||
Emergent BioSolutions, Inc. (a)
|
9,149
|
401,916
|
||||||
Gilead Sciences, Inc.
|
28,680
|
2,144,690
|
||||||
Huntsman Corp.
|
26,060
|
832,878
|
||||||
IDEXX Laboratories, Inc. (a)
|
8,508
|
1,330,736
|
||||||
Vertex Pharmaceuticals, Inc. (a)
|
6,995
|
1,009,309
|
||||||
13,310,150
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Computer and Electronic Product Manufacturing 13.77%
|
||||||||
Apple, Inc.
|
18,116
|
$
|
3,113,234
|
|||||
Applied Materials, Inc.
|
32,039
|
1,690,697
|
||||||
ARRIS International PLC (a)(b)
|
36,637
|
1,098,011
|
||||||
Cisco Systems, Inc.
|
23,069
|
860,474
|
||||||
Jabil, Inc.
|
36,515
|
1,053,458
|
||||||
Lam Research Corp.
|
8,763
|
1,685,388
|
||||||
NetApp, Inc.
|
32,559
|
1,839,909
|
||||||
ON Semiconductor Corp. (a)
|
83,586
|
1,678,407
|
||||||
Skyworks Solutions, Inc.
|
13,770
|
1,442,270
|
||||||
Teradata Corp. (a)
|
56,078
|
2,131,525
|
||||||
Vishay Intertechnology, Inc.
|
50,601
|
1,108,162
|
||||||
17,701,535
|
||||||||
Construction of Buildings 1.24%
|
||||||||
KB Home
|
18,289
|
573,543
|
||||||
PulteGroup, Inc.
|
16,375
|
558,879
|
||||||
Toll Brothers, Inc.
|
9,251
|
465,603
|
||||||
1,598,025
|
||||||||
Credit Intermediation and Related Activities 10.74%
|
||||||||
Bank of America Corp.
|
125,490
|
3,535,053
|
||||||
Capital One Financial Corp.
|
18,195
|
1,673,940
|
||||||
CIT Group, Inc.
|
7,290
|
363,334
|
||||||
Citigroup, Inc.
|
46,684
|
3,524,642
|
||||||
Fifth Third Bancorp.
|
11,620
|
354,526
|
||||||
JPMorgan Chase & Co.
|
34,709
|
3,627,784
|
||||||
Nationstar Mortgage Holdings, Inc. (a)(c)
|
19,836
|
358,437
|
||||||
Regions Financial Corp.
|
21,936
|
363,918
|
||||||
13,801,634
|
||||||||
Electrical Equipment, Appliance, and
|
||||||||
Component Manufacturing 0.32%
|
||||||||
Generac Holdings, Inc. (a)
|
8,296
|
407,914
|
||||||
Fabricated Metal Product Manufacturing 0.64%
|
||||||||
Mueller Industries, Inc.
|
11,918
|
433,815
|
||||||
Rexnord Corp. (a)
|
15,774
|
393,088
|
||||||
|
826,903
|
|||||||
Food Manufacturing 5.68%
|
||||||||
General Mills, Inc.
|
27,365
|
1,547,764
|
||||||
Pilgrim’s Pride Corp. (a)
|
56,318
|
2,065,181
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Food Manufacturing 5.68% (Continued)
|
||||||||
Sanderson Farms, Inc.
|
11,229
|
$
|
1,905,449
|
|||||
Tyson Foods, Inc. – Class A
|
21,733
|
1,787,539
|
||||||
7,305,933
|
||||||||
Food Services and Drinking Places 0.72%
|
||||||||
Hyatt Hotels Corp. – Class A (a)
|
12,760
|
923,314
|
||||||
General Merchandise Stores 3.03%
|
||||||||
Target Corp.
|
25,757
|
1,542,844
|
||||||
Wal-Mart Stores, Inc.
|
24,213
|
2,354,231
|
||||||
3,897,075
|
||||||||
Health and Personal Care Stores 2.61%
|
||||||||
Express Scripts Holding Co. (a)
|
20,553
|
1,339,645
|
||||||
McKesson Corp.
|
9,523
|
1,406,928
|
||||||
Walgreens Boots Alliance, Inc.
|
8,299
|
603,835
|
||||||
3,350,408
|
||||||||
Insurance Carriers and Related Activities 8.66%
|
||||||||
Centene Corp. (a)
|
13,772
|
1,405,983
|
||||||
CNO Financial Group, Inc.
|
38,145
|
961,635
|
||||||
First American Financial Corp.
|
17,454
|
970,268
|
||||||
Humana, Inc.
|
5,339
|
1,392,732
|
||||||
Lincoln National Corp.
|
12,209
|
934,599
|
||||||
MGIC Investment Corp. (a)
|
25,679
|
375,427
|
||||||
Torchmark Corp.
|
11,195
|
994,676
|
||||||
UnitedHealth Group, Inc.
|
6,632
|
1,513,223
|
||||||
Unum Group
|
18,750
|
1,061,625
|
||||||
WellCare Health Plans, Inc. (a)
|
7,180
|
1,529,268
|
||||||
11,139,436
|
||||||||
Leather and Allied Product Manufacturing 0.43%
|
||||||||
Deckers Outdoor Corp. (a)
|
7,438
|
555,842
|
||||||
Machinery Manufacturing 3.26%
|
||||||||
Caterpillar, Inc.
|
19,318
|
2,726,736
|
||||||
Cummins, Inc.
|
5,378
|
900,277
|
||||||
SPX FLOW, Inc. (a)
|
12,512
|
560,162
|
||||||
4,187,175
|
||||||||
Management of Companies and Enterprises 0.80%
|
||||||||
AES Corp.
|
97,366
|
1,030,132
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Merchant Wholesalers, Durable Goods 1.63%
|
||||||||
Builders FirstSource, Inc. (a)
|
25,086
|
$
|
511,754
|
|||||
Honeywell International, Inc.
|
10,171
|
1,586,269
|
||||||
2,098,023
|
||||||||
Merchant Wholesalers, Nondurable Goods 2.02%
|
||||||||
Ingevity Corp. (a)
|
12,540
|
998,059
|
||||||
Nu Skin Enterprises, Inc. – Class A
|
23,538
|
1,598,466
|
||||||
2,596,525
|
||||||||
Mining (except Oil and Gas) 0.63%
|
||||||||
Freeport-McMoRan, Inc. – Class B (a)
|
58,053
|
808,098
|
||||||
Miscellaneous Manufacturing 1.11%
|
||||||||
Estee Lauder Companies, Inc. – Class A
|
9,500
|
1,185,885
|
||||||
MSA Safety, Inc.
|
2,761
|
237,446
|
||||||
1,423,331
|
||||||||
Motion Picture and Sound Recording Industries 1.27%
|
||||||||
Netflix, Inc. (a)
|
8,674
|
1,627,069
|
||||||
Nonmetallic Mineral Product Manufacturing 0.60%
|
||||||||
Owens-Illinois, Inc. (a)
|
32,036
|
775,912
|
||||||
Nonstore Retailers 1.53%
|
||||||||
Amazon.com, Inc. (a)
|
1,671
|
1,966,349
|
||||||
Other Information Services 2.95%
|
||||||||
Alphabet, Inc. – Class C (a)
|
1,943
|
1,984,600
|
||||||
Facebook, Inc. – Class A (a)
|
10,229
|
1,812,374
|
||||||
3,796,974
|
||||||||
Performing Arts, Spectator Sports, and Related Industries 1.18%
|
||||||||
Live Nation Entertainment, Inc. (a)
|
33,496
|
1,520,049
|
||||||
Personal and Laundry Services 0.56%
|
||||||||
Weight Watchers International, Inc. (a)(c)
|
16,380
|
721,867
|
||||||
Petroleum and Coal Products Manufacturing 7.75%
|
||||||||
Chevron Corp.
|
9,808
|
1,167,054
|
||||||
CVR Energy, Inc. (c)(d)
|
57,942
|
1,891,806
|
||||||
Exxon Mobil Corp. (c)
|
15,440
|
1,285,998
|
||||||
HollyFrontier Corp.
|
38,179
|
1,698,202
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Petroleum and Coal Products Manufacturing 7.75% (Continued)
|
||||||||
Marathon Petroleum Corp.
|
20,437
|
$
|
1,279,969
|
|||||
PBF Energy, Inc. – Class A (c)(d)
|
28,236
|
913,999
|
||||||
Valero Energy Corp.
|
20,077
|
1,718,993
|
||||||
9,956,021
|
||||||||
Primary Metal Manufacturing 0.61%
|
||||||||
Alcoa Corp. (a)
|
18,880
|
783,709
|
||||||
Professional, Scientific, and Technical Services 8.31%
|
||||||||
Amgen, Inc.
|
19,325
|
3,394,630
|
||||||
Aspen Technology, Inc. (a)
|
29,104
|
1,947,640
|
||||||
eBay, Inc. (a)
|
51,616
|
1,789,527
|
||||||
F5 Networks, Inc. (a)
|
9,345
|
1,254,099
|
||||||
VMware, Inc. – Class A (a)(c)
|
19,142
|
2,299,145
|
||||||
10,685,041
|
||||||||
Publishing Industries (except Internet) 6.21%
|
||||||||
Citrix Systems, Inc. (a)
|
23,297
|
2,041,516
|
||||||
Fortinet, Inc. (a)
|
47,700
|
2,006,262
|
||||||
Microsoft Corp.
|
24,707
|
2,079,587
|
||||||
Oracle Corp.
|
38,070
|
1,867,714
|
||||||
7,995,079
|
||||||||
Rail Transportation 0.75%
|
||||||||
Union Pacific Corp.
|
7,597
|
961,021
|
||||||
Real Estate 0.94%
|
||||||||
CBRE Group, Inc. – Class A (a)
|
15,160
|
657,338
|
||||||
Realogy Holdings Corp.
|
19,924
|
556,079
|
||||||
1,213,417
|
||||||||
Rental and Leasing Services 0.44%
|
||||||||
Triton International Ltd. – Class A (b)
|
14,148
|
559,836
|
||||||
Securities, Commodity Contracts, and Other Financial
|
||||||||
Investments and Related Activities 6.37%
|
||||||||
BGC Partners, Inc. – Class A
|
96,750
|
1,579,928
|
||||||
Legg Mason, Inc.
|
39,712
|
1,586,892
|
||||||
Morgan Stanley
|
32,326
|
1,668,344
|
||||||
Stifel Financial Corp.
|
28,191
|
1,585,462
|
||||||
Travelport Worldwide Ltd. (b)
|
132,036
|
1,767,962
|
||||||
8,188,588
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Support Activities for Mining 0.85%
|
||||||||
MDU Resources Group, Inc.
|
39,305
|
$
|
1,098,575
|
|||||
Support Activities for Transportation 1.07%
|
||||||||
XPO Logistics, Inc. (a)
|
17,477
|
1,381,207
|
||||||
Telecommunications 2.44%
|
||||||||
AT&T, Inc.
|
86,192
|
3,135,665
|
||||||
Transportation Equipment Manufacturing 5.55%
|
||||||||
Allison Transmission Holdings, Inc.
|
12,490
|
512,590
|
||||||
Boeing Co.
|
13,924
|
3,854,163
|
||||||
Dana, Inc.
|
29,826
|
985,451
|
||||||
Lear Corp.
|
4,817
|
871,347
|
||||||
Meritor, Inc. (a)
|
20,402
|
509,642
|
||||||
Moog, Inc. – Class A (a)
|
4,792
|
403,055
|
||||||
7,136,248
|
||||||||
Truck Transportation 0.21%
|
||||||||
Schneider National, Inc. – Class B
|
10,357
|
271,664
|
||||||
Utilities 2.38%
|
||||||||
CenterPoint Energy, Inc.
|
32,870
|
986,428
|
||||||
Exelon Corp.
|
22,749
|
948,861
|
||||||
National Fuel Gas Co.
|
19,018
|
1,118,259
|
||||||
3,053,548
|
||||||||
Water Transportation 0.61%
|
||||||||
Royal Caribbean Cruises Ltd. (b)
|
6,289
|
779,081
|
||||||
Wood Product Manufacturing 0.65%
|
||||||||
Louisiana-Pacific Corp. (a)
|
30,496
|
841,995
|
||||||
TOTAL COMMON STOCKS (Cost $136,604,471)
|
168,743,574
|
|||||||
REAL ESTATE INVESTMENT TRUSTS* 5.08%
|
||||||||
American Tower Corp.
|
3,329
|
479,143
|
||||||
First Industrial Realty Trust, Inc.
|
16,118
|
524,641
|
||||||
Invesco Mortgage Capital, Inc.
|
55,915
|
987,459
|
||||||
LaSalle Hotel Properties
|
22,225
|
632,079
|
||||||
Mack-Cali Realty Corp.
|
16,875
|
373,444
|
||||||
Park Hotels & Resorts, Inc.
|
22,901
|
668,709
|
||||||
Piedmont Office Realty Trust, Inc. – Class A
|
19,753
|
393,875
|
||||||
Potlatch Corp.
|
12,221
|
630,604
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
REAL ESTATE INVESTMENT TRUSTS* 5.08% (Continued)
|
||||||||
Prologis, Inc.
|
8,502
|
$
|
563,087
|
|||||
PS Business Parks, Inc.
|
4,522
|
599,436
|
||||||
Xenia Hotels & Resorts, Inc.
|
31,139
|
684,747
|
||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $6,101,404)
|
6,537,224 | |||||||
INVESTMENTS PURCHASED WITH PROCEEDS
|
||||||||
FROM SECURITIES LENDING 1.90%
|
||||||||
Money Market Fund 1.90%
|
||||||||
First American Government Obligations
|
||||||||
Fund, Class Y, 0.670% (c)(e)
|
2,438,410
|
2,438,410
|
||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS
|
||||||||
FROM SECURITIES LENDING (Cost $2,438,410)
|
2,438,410
|
|||||||
SHORT-TERM INVESTMENTS 0.09%
|
||||||||
Fidelity Institutional Money Market Funds –
|
||||||||
Government Portfolio – Class I, 0.970% (c)(e)
|
113,003
|
113,003
|
||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $113,003)
|
113,003
|
|||||||
Total Investments (Cost $145,257,288) 138.32%
|
177,832,211
|
|||||||
Liabilities in Excess of Other Assets (38.32)%
|
(49,266,937
|
)
|
||||||
TOTAL NET ASSETS 100.00%
|
$
|
128,565,274
|
*
|
Unless otherwise noted, all or a portion of these securities, totaling $167,619,034, are pledged as collateral for securities sold short.
|
(a)
|
Non-income producing security.
|
(b)
|
Foreign issued security.
|
(c)
|
This security is not pledged as collateral for securities sold short.
|
(d)
|
All or a portion of this security is out on loan.
|
(e)
|
Seven day yield as of November 30, 2017.
|
Abbreviations:
|
|
Ltd.
|
Limited Liability Company.
|
PLC
|
Public Limited Company.
|
SA
|
Generally designates a type of corporation in various countries, mostly those employing a civil law legal system.
|
Schedule of Securities Sold Short
|
Shares
|
Value
|
|||||||
SECURITIES SOLD SHORT (42.80)%
|
||||||||
COMMON STOCKS (40.74)%
|
||||||||
Accommodation (0.19)%
|
||||||||
Red Rock Resorts, Inc. – Class A
|
(7,810
|
)
|
$
|
(240,939
|
)
|
|||
Administrative and Support Services (0.86)%
|
||||||||
Gartner, Inc.
|
(3,873
|
)
|
(468,207
|
)
|
||||
TripAdvisor, Inc.
|
(15,048
|
)
|
(520,962
|
)
|
||||
WageWorks, Inc.
|
(1,878
|
)
|
(120,474
|
)
|
||||
(1,109,643
|
)
|
|||||||
Air Transportation (0.43)%
|
||||||||
Allegiant Travel Co.
|
(1,920
|
)
|
(291,840
|
)
|
||||
Spirit Airlines, Inc.
|
(6,167
|
)
|
(262,899
|
)
|
||||
(554,739
|
)
|
|||||||
Ambulatory Health Care Services (0.72)%
|
||||||||
Envision Healthcare Corp.
|
(11,180
|
)
|
(356,976
|
)
|
||||
Loxo Oncology, Inc.
|
(3,010
|
)
|
(231,018
|
)
|
||||
MEDNAX, Inc.
|
(6,750
|
)
|
(336,083
|
)
|
||||
(924,077
|
)
|
|||||||
Amusement, Gambling, and Recreation Industries (0.37)%
|
||||||||
Global Payments, Inc.
|
(4,758
|
)
|
(478,464
|
)
|
||||
Apparel Manufacturing (0.29)%
|
||||||||
Lululemon Athletica, Inc.
|
(1,502
|
)
|
(100,574
|
)
|
||||
Under Armour, Inc. – Class C
|
(11,890
|
)
|
(141,848
|
)
|
||||
UniFirst Corp.
|
(790
|
)
|
(129,165
|
)
|
||||
(371,587
|
)
|
|||||||
Broadcasting (except Internet) (0.67)%
|
||||||||
Charter Communications, Inc. – Class A
|
(2,130
|
)
|
(694,828
|
)
|
||||
Liberty Broadband Corp. – Class A
|
(1,954
|
)
|
(167,477
|
)
|
||||
(862,305
|
)
|
|||||||
Building Material and Garden Equipment (0.24)%
|
||||||||
MSC Industrial Direct Company, Inc. – Class A
|
(3,370
|
)
|
(303,536
|
)
|
||||
Chemical Manufacturing (3.44)%
|
||||||||
ACADIA Pharmaceuticals, Inc.
|
(11,738
|
)
|
(355,075
|
)
|
||||
Agios Pharmaceuticals, Inc.
|
(5,135
|
)
|
(316,059
|
)
|
||||
Air Products & Chemicals, Inc.
|
(1,540
|
)
|
(251,082
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Chemical Manufacturing (3.44)% (Continued)
|
||||||||
Ashland Global Holdings, Inc.
|
(2,950
|
)
|
$
|
(218,241
|
)
|
|||
Avexis, Inc.
|
(3,140
|
)
|
(297,703
|
)
|
||||
Bluebird Bio, Inc.
|
(4,480
|
)
|
(774,144
|
)
|
||||
Clovis Oncology, Inc.
|
(4,690
|
)
|
(294,860
|
)
|
||||
Coty, Inc. – Class A
|
(26,172
|
)
|
(450,944
|
)
|
||||
Incyte Corp.
|
(3,360
|
)
|
(332,606
|
)
|
||||
Medicines Co.
|
(6,340
|
)
|
(183,860
|
)
|
||||
Seattle Genetics, Inc.
|
(4,205
|
)
|
(256,211
|
)
|
||||
TESARO, Inc.
|
(5,194
|
)
|
(439,413
|
)
|
||||
Ultragenyx Pharmaceutical, Inc.
|
(4,850
|
)
|
(244,877
|
)
|
||||
(4,415,075
|
)
|
|||||||
Clothing and Clothing Accessories Stores (0.47)%
|
||||||||
Foot Locker, Inc.
|
(13,985
|
)
|
(599,117
|
)
|
||||
Computer and Electronic Product Manufacturing (2.93)%
|
||||||||
Analog Devices, Inc.
|
(4,430
|
)
|
(381,467
|
)
|
||||
Cavium, Inc.
|
(5,197
|
)
|
(444,241
|
)
|
||||
DexCom, Inc.
|
(6,860
|
)
|
(400,829
|
)
|
||||
Hologic, Inc.
|
(8,155
|
)
|
(340,227
|
)
|
||||
Infinera Corp.
|
(55,031
|
)
|
(398,424
|
)
|
||||
Inphi Corp.
|
(9,862
|
)
|
(405,032
|
)
|
||||
MACOM Technology Solutions Holdings, Inc.
|
(13,230
|
)
|
(431,166
|
)
|
||||
MaxLinear, Inc.
|
(16,510
|
)
|
(436,029
|
)
|
||||
ViaSat, Inc.
|
(7,058
|
)
|
(523,986
|
)
|
||||
(3,761,401
|
)
|
|||||||
Construction of Buildings (0.52)%
|
||||||||
Dycom Industries, Inc.
|
(3,220
|
)
|
(345,731
|
)
|
||||
Taylor Morrison Home Corp. – Class A
|
(5,680
|
)
|
(137,229
|
)
|
||||
TRI Pointe Group, Inc.
|
(10,300
|
)
|
(186,636
|
)
|
||||
(669,596
|
)
|
|||||||
Credit Intermediation and Related Activities (3.04)%
|
||||||||
Flagstar Bancorp, Inc.
|
(4,940
|
)
|
(187,769
|
)
|
||||
FNB Corp.
|
(25,920
|
)
|
(367,805
|
)
|
||||
LendingClub Corp.
|
(84,155
|
)
|
(367,757
|
)
|
||||
Old National Bancorp.
|
(11,850
|
)
|
(216,263
|
)
|
||||
Pinnacle Financial Partners, Inc.
|
(6,540
|
)
|
(448,971
|
)
|
||||
Signature Bank
|
(4,841
|
)
|
(664,572
|
)
|
||||
SLM Corp.
|
(38,649
|
)
|
(447,169
|
)
|
||||
Sterling Bancorp.
|
(19,660
|
)
|
(498,381
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Credit Intermediation and Related Activities (3.04)% (Continued)
|
||||||||
SVB Financial Group
|
(955
|
)
|
$
|
(217,396
|
)
|
|||
TCF Financial Corp.
|
(15,040
|
)
|
(305,462
|
)
|
||||
TFS Financial Corp.
|
(11,814
|
)
|
(179,927
|
)
|
||||
(3,901,472
|
)
|
|||||||
Electrical Equipment, Appliance, and
|
||||||||
Component Manufacturing (0.34)%
|
||||||||
Spectrum Brands Holdings, Inc.
|
(3,766
|
)
|
(432,638
|
)
|
||||
Fabricated Metal Product Manufacturing (0.54)%
|
||||||||
Axalta Coating Systems Ltd. (a)
|
(6,640
|
)
|
(210,222
|
)
|
||||
Ball Corp.
|
(4,744
|
)
|
(189,333
|
)
|
||||
Simpson Manufacturing Company, Inc.
|
(5,010
|
)
|
(300,450
|
)
|
||||
(700,005
|
)
|
|||||||
Food and Beverage Stores (0.78)%
|
||||||||
GrubHub, Inc.
|
(8,230
|
)
|
(556,019
|
)
|
||||
Sprouts Farmers Market, Inc.
|
(19,860
|
)
|
(464,326
|
)
|
||||
(1,020,345
|
)
|
|||||||
Food Manufacturing (1.79)%
|
||||||||
B&G Foods, Inc.
|
(13,727
|
)
|
(531,235
|
)
|
||||
J.M. Smucker Co.
|
(3,880
|
)
|
(452,680
|
)
|
||||
Kraft Heinz Co.
|
(5,444
|
)
|
(442,978
|
)
|
||||
McCormick & Company, Inc.
|
(4,012
|
)
|
(409,946
|
)
|
||||
TreeHouse Foods, Inc.
|
(10,320
|
)
|
(474,926
|
)
|
||||
(2,311,765
|
)
|
|||||||
Food Services and Drinking Places (1.17)%
|
||||||||
Casey’s General Stores, Inc.
|
(3,522
|
)
|
(425,281
|
)
|
||||
Cheesecake Factory, Inc.
|
(4,300
|
)
|
(210,872
|
)
|
||||
Dunkin’ Brands Group, Inc.
|
(3,260
|
)
|
(194,622
|
)
|
||||
Jack in the Box, Inc.
|
(1,840
|
)
|
(190,458
|
)
|
||||
McDonald’s Corp.
|
(1,138
|
)
|
(195,702
|
)
|
||||
Yum! Brands, Inc.
|
(3,446
|
)
|
(287,637
|
)
|
||||
(1,504,572
|
)
|
|||||||
Furniture and Home Furnishings Stores (0.37)%
|
||||||||
Bed Bath & Beyond, Inc.
|
(21,150
|
)
|
(473,549
|
)
|
||||
General Merchandise Stores (0.42)%
|
||||||||
Macy’s, Inc.
|
(22,430
|
)
|
(533,834
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Insurance Carriers and Related Activities (1.17)%
|
||||||||
American International Group, Inc.
|
(3,886
|
)
|
$
|
(233,005
|
)
|
|||
AmTrust Financial Services, Inc.
|
(16,890
|
)
|
(162,820
|
)
|
||||
Aspen Insurance Holdings Ltd. (a)
|
(4,950
|
)
|
(202,950
|
)
|
||||
Navigators Group, Inc.
|
(3,349
|
)
|
(172,474
|
)
|
||||
RLI Corp.
|
(2,406
|
)
|
(143,710
|
)
|
||||
Third Point Reinsurance Ltd. (a)
|
(12,296
|
)
|
(208,417
|
)
|
||||
White Mountains Insurance Group Ltd. (a)
|
(274
|
)
|
(244,131
|
)
|
||||
Willis Towers Watson PLC (a)
|
(916
|
)
|
(147,293
|
)
|
||||
(1,514,800
|
)
|
|||||||
Machinery Manufacturing (1.39)%
|
||||||||
AAON, Inc.
|
(5,627
|
)
|
(205,104
|
)
|
||||
Flowserve Corp.
|
(6,340
|
)
|
(269,957
|
)
|
||||
II-VI, Inc.
|
(10,317
|
)
|
(489,026
|
)
|
||||
IMAX Corp. (a)
|
(8,160
|
)
|
(207,264
|
)
|
||||
Middleby Corp.
|
(2,520
|
)
|
(321,350
|
)
|
||||
Nordson Corp.
|
(2,280
|
)
|
(292,661
|
)
|
||||
(1,785,362
|
)
|
|||||||
Management of Companies and Enterprises (0.46)%
|
||||||||
Ameris Bancorp.
|
(4,053
|
)
|
(201,029
|
)
|
||||
ServisFirst Bancshares, Inc.
|
(5,163
|
)
|
(216,794
|
)
|
||||
Simmons First National Corp. – Class A
|
(2,903
|
)
|
(168,084
|
)
|
||||
(585,907
|
)
|
|||||||
Merchant Wholesalers, Durable Goods (0.37)%
|
||||||||
American Axle & Manufacturing Holdings, Inc.
|
(14,156
|
)
|
(254,100
|
)
|
||||
Mohawk Industries, Inc.
|
(771
|
)
|
(217,892
|
)
|
||||
(471,992
|
)
|
|||||||
Merchant Wholesalers, Nondurable Goods (0.13)%
|
||||||||
Global Blood Therapeutics, Inc.
|
(4,150
|
)
|
(163,718
|
)
|
||||
Mining (except Oil and Gas) (0.47)%
|
||||||||
Hecla Mining Co.
|
(52,181
|
)
|
(195,157
|
)
|
||||
Martin Marietta Materials, Inc.
|
(1,084
|
)
|
(225,894
|
)
|
||||
Vulcan Materials Co.
|
(1,507
|
)
|
(189,355
|
)
|
||||
(610,406
|
)
|
|||||||
Miscellaneous Manufacturing (1.36)%
|
||||||||
DENTSPLY SIRONA, Inc.
|
(5,350
|
)
|
(358,503
|
)
|
||||
Mattel, Inc.
|
(8,090
|
)
|
(147,643
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Miscellaneous Manufacturing (1.36)% (Continued)
|
||||||||
Nevro Corp.
|
(4,146
|
)
|
$
|
(310,204
|
)
|
|||
NuVasive, Inc.
|
(5,440
|
)
|
(313,834
|
)
|
||||
Stryker Corp.
|
(1,971
|
)
|
(307,476
|
)
|
||||
Wright Medical Group NV (a)
|
(12,981
|
)
|
(315,568
|
)
|
||||
(1,753,228
|
)
|
|||||||
Motion Picture and Sound Recording Industries (0.24)%
|
||||||||
Regal Entertainment Group – Class A
|
(15,374
|
)
|
(310,709
|
)
|
||||
Motor Vehicle and Parts Dealers (0.42)%
|
||||||||
Advance Auto Parts, Inc.
|
(5,289
|
)
|
(534,189
|
)
|
||||
Nonmetallic Mineral Product Manufacturing (0.25)%
|
||||||||
USG Corp.
|
(8,309
|
)
|
(315,825
|
)
|
||||
Nonstore Retailers (0.24)%
|
||||||||
WW Grainger, Inc.
|
(1,418
|
)
|
(313,818
|
)
|
||||
Oil and Gas Extraction (1.75)%
|
||||||||
Callon Petroleum Co.
|
(31,130
|
)
|
(343,675
|
)
|
||||
Diamondback Energy, Inc.
|
(3,147
|
)
|
(343,999
|
)
|
||||
Extraction Oil & Gas, Inc.
|
(15,938
|
)
|
(240,026
|
)
|
||||
Jagged Peak Energy, Inc.
|
(25,180
|
)
|
(382,233
|
)
|
||||
MRC Global, Inc.
|
(16,280
|
)
|
(255,759
|
)
|
||||
Parsley Energy, Inc. – Class A
|
(12,876
|
)
|
(345,849
|
)
|
||||
RSP Permian, Inc.
|
(9,040
|
)
|
(332,039
|
)
|
||||
(2,243,580
|
)
|
|||||||
Other Information Services (0.78)%
|
||||||||
Box, Inc. – Class A
|
(24,360
|
)
|
(512,290
|
)
|
||||
Twitter, Inc.
|
(23,853
|
)
|
(490,895
|
)
|
||||
(1,003,185
|
)
|
|||||||
Pipeline Transportation (0.56)%
|
||||||||
South Jersey Industries, Inc.
|
(7,338
|
)
|
(248,465
|
)
|
||||
Targa Resources Corp.
|
(10,604
|
)
|
(460,213
|
)
|
||||
(708,678
|
)
|
|||||||
Plastics and Rubber Products Manufacturing (0.50)%
|
||||||||
Cooper Tire & Rubber Co.
|
(7,169
|
)
|
(263,461
|
)
|
||||
Newell Brands, Inc.
|
(2,720
|
)
|
(84,238
|
)
|
||||
Sealed Air Corp.
|
(6,380
|
)
|
(306,559
|
)
|
||||
(654,258
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Primary Metal Manufacturing (0.38)%
|
||||||||
Finisar Corp.
|
(24,366
|
)
|
$
|
(487,564
|
)
|
|||
Printing and Related Support Activities (0.27)%
|
||||||||
Centennial Resource Development, Inc. – Class A
|
(16,980
|
)
|
(344,524
|
)
|
||||
Professional, Scientific, and Technical Services (2.54)%
|
||||||||
Diebold Nixdorf, Inc.
|
(26,375
|
)
|
(506,401
|
)
|
||||
Factset Research Systems, Inc.
|
(2,155
|
)
|
(430,741
|
)
|
||||
Henry Jack & Associates, Inc.
|
(4,558
|
)
|
(525,629
|
)
|
||||
Macquarie Infrastructure Corp.
|
(4,239
|
)
|
(283,080
|
)
|
||||
MuleSoft, Inc. – Class A
|
(24,946
|
)
|
(572,511
|
)
|
||||
Nutanix, Inc. – Class A
|
(17,460
|
)
|
(572,688
|
)
|
||||
Trade Desk, Inc. – Class A
|
(7,650
|
)
|
(375,921
|
)
|
||||
(3,266,971
|
)
|
|||||||
Publishing Industries (except Internet) (2.51)%
|
||||||||
Akamai Technologies, Inc.
|
(9,608
|
)
|
(535,934
|
)
|
||||
Autodesk, Inc.
|
(4,020
|
)
|
(440,994
|
)
|
||||
Cornerstone OnDemand, Inc.
|
(11,943
|
)
|
(441,533
|
)
|
||||
Palo Alto Networks, Inc.
|
(2,685
|
)
|
(391,339
|
)
|
||||
PTC, Inc.
|
(7,385
|
)
|
(470,276
|
)
|
||||
Splunk, Inc.
|
(6,642
|
)
|
(531,957
|
)
|
||||
Twilio, Inc. – Class A
|
(15,930
|
)
|
(424,694
|
)
|
||||
(3,236,727
|
)
|
|||||||
Rental and Leasing Services (0.15)%
|
||||||||
Hertz Global Holdings, Inc.
|
(10,510
|
)
|
(199,165
|
)
|
||||
Securities, Commodity Contracts, and Other Financial Investments
|
||||||||
and Related Activities (1.32)%
|
||||||||
Charles Schwab Corp.
|
(8,573
|
)
|
(418,277
|
)
|
||||
CommScope Holding Company, Inc.
|
(13,562
|
)
|
(488,096
|
)
|
||||
Financial Engines, Inc.
|
(14,275
|
)
|
(398,273
|
)
|
||||
MarketAxess Holdings, Inc.
|
(2,019
|
)
|
(394,250
|
)
|
||||
(1,698,896
|
)
|
|||||||
Specialty Trade Contractors (0.21)%
|
||||||||
Comfort Systems USA, Inc.
|
(6,300
|
)
|
(270,585
|
)
|
||||
Support Activities for Mining (0.26)%
|
||||||||
Patterson-UTI Energy, Inc.
|
(15,215
|
)
|
(328,492
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Telecommunications (0.70)%
|
||||||||
CenturyLink, Inc.
|
(31,692
|
)
|
$
|
(462,386
|
)
|
|||
Zayo Group Holdings, Inc.
|
(12,440
|
)
|
(439,630
|
)
|
||||
(902,016
|
)
|
|||||||
Textile Mills (0.25)%
|
||||||||
Albany International Corp. – Class A
|
(4,950
|
)
|
(320,265
|
)
|
||||
Transportation Equipment Manufacturing (0.45)%
|
||||||||
REV Group, Inc.
|
(11,109
|
)
|
(303,387
|
)
|
||||
Wabtec Corp.
|
(3,446
|
)
|
(264,997
|
)
|
||||
(568,384
|
)
|
|||||||
Truck Transportation (0.14)%
|
||||||||
Heartland Express, Inc.
|
(8,044
|
)
|
(183,725
|
)
|
||||
Utilities (1.12)%
|
||||||||
Alliant Energy Corp.
|
(6,282
|
)
|
(283,381
|
)
|
||||
Dominion Energy, Inc.
|
(3,513
|
)
|
(295,549
|
)
|
||||
Duke Energy Corp.
|
(3,060
|
)
|
(272,891
|
)
|
||||
Entergy Corp.
|
(3,140
|
)
|
(271,547
|
)
|
||||
Sempra Energy
|
(2,567
|
)
|
(310,581
|
)
|
||||
(1,433,949
|
)
|
|||||||
Waste Management and Remediation Services (0.20)%
|
||||||||
Covanta Holding Corp.
|
(8,056
|
)
|
(122,451
|
)
|
||||
Stericycle, Inc.
|
(1,996
|
)
|
(132,355
|
)
|
||||
(254,806
|
)
|
|||||||
Wholesale Electronic Markets and Agents and Brokers (0.34)%
|
||||||||
Genuine Parts Co.
|
(4,769
|
)
|
(443,374
|
)
|
||||
Wood Product Manufacturing (0.23)%
|
||||||||
Masonite International Corp. (a)
|
(4,000
|
)
|
(294,600
|
)
|
||||
TOTAL COMMON STOCKS (Proceeds $52,244,588)
|
(52,372,357
|
)
|
||||||
REAL ESTATE INVESTMENT TRUSTS (2.06)%
|
||||||||
Acadia Realty Trust
|
(5,375
|
)
|
(150,661
|
)
|
||||
American Campus Communities, Inc.
|
(3,236
|
)
|
(137,142
|
)
|
||||
Boston Properties, Inc.
|
(1,290
|
)
|
(161,740
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
REAL ESTATE INVESTMENT TRUSTS (2.06)% (Continued)
|
||||||||
Colony NorthStar, Inc. – Class A
|
(12,190
|
)
|
$
|
(148,596
|
)
|
|||
Crown Castle International Corp.
|
(1,558
|
)
|
(176,054
|
)
|
||||
Education Realty Trust, Inc.
|
(3,986
|
)
|
(145,768
|
)
|
||||
EPR Properties
|
(2,211
|
)
|
(149,950
|
)
|
||||
GGP, Inc
|
(8,578
|
)
|
(201,582
|
)
|
||||
HCP, Inc.
|
(5,224
|
)
|
(138,123
|
)
|
||||
Macerich Co.
|
(3,149
|
)
|
(203,898
|
)
|
||||
Paramount Group, Inc.
|
(9,101
|
)
|
(147,163
|
)
|
||||
Regency Centers Corp.
|
(2,474
|
)
|
(167,762
|
)
|
||||
Sabra Health Care REIT, Inc.
|
(8,625
|
)
|
(165,945
|
)
|
||||
Starwood Property Trust, Inc.
|
(18,416
|
)
|
(399,259
|
)
|
||||
Uniti Group, Inc.
|
(9,986
|
)
|
(160,775
|
)
|
||||
TOTAL REAL ESTATE INVESTMENT TRUSTS
|
||||||||
(Proceeds $2,688,993)
|
(2,654,418
|
)
|
||||||
TOTAL SECURITIES SOLD SHORT (Proceeds $54,933,581)
|
$
|
(55,026,775
|
)
|
(a)
|
Foreign issued security.
|
Abbreviations:
|
|
Ltd.
|
Limited Liability Company.
|
NV
|
Naamloze Vennootschap is a Dutch term for publicly traded companies.
|
PLC
|
Public Limited Company.
|
Schedule of Investments
|
Shares
|
Value
|
|||||||
COMMON STOCKS* 128.72%
|
||||||||
Accommodation 1.05%
|
||||||||
Penn National Gaming, Inc. (a)
|
25,096
|
$
|
721,761
|
|||||
Administrative and Support Services 3.75%
|
||||||||
Kelly Services, Inc. – Class A
|
26,338
|
767,753
|
||||||
TriNet Group, Inc. (a)
|
20,584
|
921,340
|
||||||
TrueBlue, Inc. (a)
|
31,328
|
891,281
|
||||||
2,580,374
|
||||||||
Air Transportation 1.16%
|
||||||||
Copa Holdings SA – Class A (b)
|
5,978
|
802,188
|
||||||
Ambulatory Health Care Services 2.68%
|
||||||||
Genomic Health, Inc. (a)
|
15,193
|
460,196
|
||||||
LHC Group, Inc. (a)
|
11,230
|
738,597
|
||||||
Medpace Holdings, Inc. (a)(c)
|
19,479
|
648,846
|
||||||
1,847,639
|
||||||||
Beverage and Tobacco Product Manufacturing 1.68%
|
||||||||
Boston Beer Company, Inc. – Class A (a)
|
3,535
|
635,770
|
||||||
National Beverage Corp.
|
4,757
|
519,084
|
||||||
1,154,854
|
||||||||
Broadcasting (except Internet) 1.45%
|
||||||||
Gray Television, Inc. (a)
|
33,452
|
481,709
|
||||||
Sinclair Broadcast Group, Inc. – Class A
|
15,284
|
520,420
|
||||||
1,002,129
|
||||||||
Chemical Manufacturing 10.87%
|
||||||||
Acorda Therapeutics, Inc. (a)
|
9,786
|
198,656
|
||||||
Corcept Therapeutics, Inc. (a)
|
46,433
|
833,008
|
||||||
Emergent BioSolutions, Inc. (a)
|
21,800
|
957,673
|
||||||
Innoviva, Inc. (a)
|
63,513
|
833,291
|
||||||
Lannett Company, Inc. (a)(c)(d)
|
24,410
|
645,645
|
||||||
Lantheus Holdings, Inc. (a)
|
40,107
|
898,397
|
||||||
Ligand Pharmaceuticals, Inc. (a)
|
6,581
|
867,705
|
||||||
Myers Industries, Inc.
|
17,150
|
366,153
|
||||||
Myriad Genetics, Inc. (a)
|
28,405
|
983,664
|
||||||
Supernus Pharmaceuticals, Inc. (a)
|
24,090
|
910,602
|
||||||
7,494,794
|
||||||||
Clothing and Clothing Accessories Stores 0.82%
|
||||||||
Tailored Brands, Inc.
|
33,462
|
564,169
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Computer and Electronic Product Manufacturing 13.60%
|
||||||||
Amkor Technology, Inc. (a)
|
98,514
|
$
|
1,041,292
|
|||||
Dolby Laboratories, Inc. – Class A
|
15,454
|
960,930
|
||||||
Ichor Holdings Ltd. (a)(b)
|
34,711
|
986,140
|
||||||
Jabil, Inc.
|
13,232
|
381,743
|
||||||
Masimo Corp. (a)
|
8,682
|
771,309
|
||||||
NETGEAR, Inc. (a)
|
15,730
|
810,095
|
||||||
Tech Data Corp. (a)
|
7,381
|
713,743
|
||||||
Teradata Corp. (a)
|
25,405
|
965,644
|
||||||
TTM Technologies, Inc. (a)
|
46,264
|
755,491
|
||||||
Ultra Clean Holdings, Inc. (a)
|
44,431
|
932,162
|
||||||
Vishay Intertechnology, Inc.
|
48,534
|
1,062,894
|
||||||
9,381,443
|
||||||||
Construction of Buildings 1.97%
|
||||||||
KB Home
|
24,105
|
755,932
|
||||||
MDC Holdings, Inc.
|
16,775
|
600,881
|
||||||
1,356,813
|
||||||||
Credit Intermediation and Related Activities 13.82%
|
||||||||
BancorpSouth Bank
|
30,382
|
1,010,202
|
||||||
Banner Corp.
|
10,450
|
601,816
|
||||||
CIT Group, Inc.
|
24,354
|
1,213,803
|
||||||
Comerica, Inc.
|
13,073
|
1,089,112
|
||||||
East West Bancorp, Inc.
|
16,996
|
1,045,934
|
||||||
Encore Capital Group, Inc. (a)(c)
|
6,057
|
277,411
|
||||||
Houlihan Lokey, Inc. – Class A
|
5,471
|
244,225
|
||||||
Nationstar Mortgage Holdings, Inc. (a)(c)
|
45,768
|
827,028
|
||||||
Opus Bank (a)
|
17,150
|
478,485
|
||||||
Synovus Financial Corp.
|
15,073
|
748,073
|
||||||
Walker & Dunlop, Inc. (a)
|
15,137
|
745,951
|
||||||
Zions Bancorporation
|
25,109
|
1,244,150
|
||||||
9,526,190
|
||||||||
Educational Services 1.07%
|
||||||||
Adtalem Global Education, Inc.
|
17,706
|
733,914
|
||||||
Electrical Equipment, Appliance, and
|
||||||||
Component Manufacturing 2.07%
|
||||||||
Generac Holdings, Inc. (a)
|
14,389
|
707,507
|
||||||
Integer Holdings Corp. (a)
|
14,813
|
717,690
|
||||||
1,425,197
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Electronics and Appliance Stores 0.75%
|
||||||||
Conn’s, Inc. (a)(c)(d)
|
16,800
|
$
|
519,120
|
|||||
Fabricated Metal Product Manufacturing 2.95%
|
||||||||
Harsco Corp. (a)
|
33,372
|
602,365
|
||||||
Mueller Industries, Inc.
|
19,140
|
696,696
|
||||||
Rexnord Corp. (a)
|
29,430
|
733,396
|
||||||
2,032,457
|
||||||||
Food and Beverage Stores 0.71%
|
||||||||
SpartanNash Co.
|
8,728
|
221,255
|
||||||
United Natural Foods, Inc. (a)
|
5,595
|
268,672
|
||||||
489,927
|
||||||||
Food Manufacturing 0.98%
|
||||||||
Sanderson Farms, Inc.
|
3,975
|
674,518
|
||||||
Food Services and Drinking Places 1.87%
|
||||||||
Bloomin’ Brands, Inc.
|
26,817
|
575,761
|
||||||
Hyatt Hotels Corp. – Class A (a)
|
9,882
|
715,061
|
||||||
1,290,822
|
||||||||
Furniture and Home Furnishings Stores 0.99%
|
||||||||
Restoration Hardware Outlet (a)(c)(d)
|
6,693
|
678,603
|
||||||
General Merchandise Stores 0.74%
|
||||||||
Big Lots, Inc.
|
8,656
|
511,570
|
||||||
Insurance Carriers and Related Activities 7.65%
|
||||||||
CNO Financial Group, Inc.
|
33,178
|
836,417
|
||||||
Essent Group Ltd. (a)(b)
|
26,614
|
1,177,670
|
||||||
MGIC Investment Corp. (a)
|
85,617
|
1,251,720
|
||||||
Primerica, Inc.
|
9,105
|
946,920
|
||||||
Radian Group, Inc.
|
41,845
|
857,404
|
||||||
Trupanion, Inc. (a)(c)(d)
|
6,735
|
200,568
|
||||||
5,270,699
|
||||||||
Leather and Allied Product Manufacturing 0.84%
|
||||||||
Deckers Outdoor Corp. (a)
|
7,763
|
580,129
|
||||||
Machinery Manufacturing 2.88%
|
||||||||
Alamo Group, Inc.
|
6,845
|
807,367
|
||||||
Hyster-Yale Materials Handling, Inc. – Class A
|
8,975
|
761,349
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Machinery Manufacturing 2.88% (Continued)
|
||||||||
Newpark Resources, Inc. (a)
|
46,196
|
$
|
408,835
|
|||||
1,977,551
|
||||||||
Management of Companies and Enterprises 0.80%
|
||||||||
American Equity Investment Life Holding Co.
|
17,263
|
547,755
|
||||||
Merchant Wholesalers, Durable Goods 1.80%
|
||||||||
Schnitzer Steel Industries, Inc. – Class A
|
13,575
|
396,390
|
||||||
Varonis Systems, Inc. (a)
|
16,690
|
839,507
|
||||||
1,235,897
|
||||||||
Merchant Wholesalers, Nondurable Goods 2.59%
|
||||||||
Ingevity Corp. (a)
|
12,616
|
1,004,108
|
||||||
Nu Skin Enterprises, Inc. – Class A
|
5,987
|
406,577
|
||||||
Phibro Animal Health Corp. – Class A (c)
|
10,962
|
380,381
|
||||||
1,791,066
|
||||||||
Miscellaneous Manufacturing 3.40%
|
||||||||
AngioDynamics, Inc. (a)
|
42,242
|
725,718
|
||||||
Haemonetics Corp. (a)
|
17,185
|
993,293
|
||||||
Johnson Outdoors, Inc. – Class A
|
8,490
|
620,959
|
||||||
2,339,970
|
||||||||
Motor Vehicle and Parts Dealers 0.98%
|
||||||||
Rush Enterprises, Inc. – Class A (a)
|
13,870
|
675,608
|
||||||
Nonmetallic Mineral Product Manufacturing 1.24%
|
||||||||
Owens-Illinois, Inc. (a)
|
35,364
|
856,516
|
||||||
Oil and Gas Extraction 0.63%
|
||||||||
Kosmos Energy Ltd. (a)(b)
|
54,698
|
436,490
|
||||||
Other Information Services 1.15%
|
||||||||
NIC, Inc.
|
47,855
|
794,393
|
||||||
Paper Manufacturing 1.02%
|
||||||||
Boise Cascade Co.
|
18,165
|
699,353
|
||||||
Performing Arts, Spectator Sports, and Related Industries 1.36%
|
||||||||
Pinnacle Entertainment, Inc. (a)
|
30,478
|
935,065
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Personal and Laundry Services 1.79%
|
||||||||
SP Plus Corp. (a)
|
17,692
|
$
|
693,526
|
|||||
Weight Watchers International, Inc. (a)(c)
|
12,195
|
537,434
|
||||||
1,230,960
|
||||||||
Petroleum and Coal Products Manufacturing 2.59%
|
||||||||
CVR Energy, Inc. (c)(d)
|
20,945
|
683,855
|
||||||
Murphy Oil Corp.
|
18,080
|
505,336
|
||||||
PBF Energy, Inc. – Class A (c)
|
18,401
|
595,640
|
||||||
1,784,831
|
||||||||
Plastics and Rubber Products Manufacturing 1.22%
|
||||||||
Proto Labs, Inc. (a)
|
8,720
|
838,864
|
||||||
Professional, Scientific, and Technical Services 9.17%
|
||||||||
Aspen Technology, Inc. (a)
|
12,758
|
853,766
|
||||||
Convergys Corp.
|
31,897
|
787,218
|
||||||
Magellan Health, Inc. (a)
|
7,225
|
610,513
|
||||||
MAXIMUS, Inc.
|
13,084
|
903,842
|
||||||
MDC Partners, Inc. – Class A (a)(b)
|
26,438
|
306,681
|
||||||
Providence Service Corp. (a)
|
9,661
|
584,877
|
||||||
Sykes Enterprises, Inc. (a)
|
28,480
|
906,233
|
||||||
Verint Systems, Inc. (a)
|
15,805
|
691,469
|
||||||
VSE Corp.
|
14,065
|
671,885
|
||||||
6,316,484
|
||||||||
Publishing Industries (except Internet) 2.56%
|
||||||||
Cogent Communications Holdings, Inc.
|
8,500
|
398,225
|
||||||
Shutterfly, Inc. (a)
|
12,580
|
555,784
|
||||||
Web.com Group, Inc. (a)
|
35,022
|
805,506
|
||||||
1,759,515
|
||||||||
Rental and Leasing Services 3.77%
|
||||||||
CAI International, Inc. (a)
|
19,070
|
653,148
|
||||||
Exterran Corp. (a)
|
12,338
|
378,036
|
||||||
Textainer Group Holdings Ltd. (a)(b)
|
31,045
|
712,483
|
||||||
Triton International Ltd. – Class A (b)
|
21,505
|
850,952
|
||||||
2,594,619
|
||||||||
Securities, Commodity Contracts, and Other
|
||||||||
Financial Investments and Related Activities 3.43%
|
||||||||
Legg Mason, Inc.
|
17,884
|
714,645
|
||||||
Moelis & Co. – Class A
|
4,492
|
215,167
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Securities, Commodity Contracts, and Other
|
||||||||
Financial Investments and Related Activities 3.43% (Continued)
|
||||||||
Stifel Financial Corp.
|
12,796
|
$
|
719,647
|
|||||
Travelport Worldwide Ltd. (b)
|
53,293
|
713,593
|
||||||
2,363,052
|
||||||||
Support Activities for Mining 0.74%
|
||||||||
Transocean Ltd. (a)(b)
|
49,720
|
504,161
|
||||||
Support Activities for Transportation 0.61%
|
||||||||
Forward Air Corp.
|
7,351
|
418,272
|
||||||
Telecommunications 0.55%
|
||||||||
United States Cellular Corp. (a)
|
9,937
|
376,016
|
||||||
Transportation Equipment Manufacturing 3.81%
|
||||||||
Dana, Inc.
|
22,486
|
742,937
|
||||||
Meritor, Inc. (a)
|
26,086
|
651,628
|
||||||
Tower International, Inc.
|
20,091
|
646,930
|
||||||
Wabash National Corp.
|
28,959
|
583,524
|
||||||
2,625,019
|
||||||||
Truck Transportation 0.62%
|
||||||||
ArcBest Corp.
|
11,301
|
427,743
|
||||||
Utilities 5.10%
|
||||||||
Dynegy, Inc. (a)
|
100,179
|
1,215,171
|
||||||
National Fuel Gas Co.
|
19,812
|
1,164,946
|
||||||
PNM Resources, Inc.
|
24,890
|
1,132,495
|
||||||
3,512,612
|
||||||||
Wood Product Manufacturing 1.44%
|
||||||||
Louisiana-Pacific Corp. (a)
|
36,044
|
995,175
|
||||||
TOTAL COMMON STOCKS (Cost $74,262,585)
|
88,676,297
|
|||||||
REAL ESTATE INVESTMENT TRUSTS* 10.25%
|
||||||||
Brandywine Realty Trust
|
36,948
|
636,614
|
||||||
First Industrial Realty Trust, Inc.
|
23,942
|
779,312
|
||||||
Invesco Mortgage Capital, Inc.
|
34,788
|
614,356
|
||||||
LaSalle Hotel Properties
|
27,451
|
780,707
|
||||||
National Storage Affiliates Trust
|
28,577
|
761,291
|
||||||
Pebblebrook Hotel Trust
|
17,015
|
654,567
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
REAL ESTATE INVESTMENT TRUSTS* 10.25% (Continued)
|
||||||||
Potlatch Corp.
|
14,402
|
$
|
743,143
|
|||||
PS Business Parks, Inc.
|
5,461
|
723,910
|
||||||
Washington Prime Group, Inc.
|
75,852
|
539,308
|
||||||
Xenia Hotels & Resorts, Inc.
|
37,520
|
825,065
|
||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $6,743,304)
|
7,058,273
|
|||||||
INVESTMENTS PURCHASED WITH PROCEEDS
|
||||||||
FROM SECURITIES LENDING – 3.92%
|
||||||||
Money Market Fund 3.92%
|
||||||||
First American Government Obligations Fund, Class Y, 0.670% (c)(e)
|
2,703,559
|
2,703,559
|
||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS
|
||||||||
FROM SECURITIES LENDING (Cost $2,703,559)
|
2,703,559
|
|||||||
SHORT-TERM INVESTMENTS 0.12%
|
||||||||
Fidelity Institutional Money Market Funds –
|
||||||||
Government Portfolio – Class I, 0.970% (c)(e)
|
79,887
|
79,887
|
||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $79,887)
|
79,887
|
|||||||
Total Investments (Cost $83,789,335) 143.01%
|
98,518,016
|
|||||||
Liabilities in Excess of Other Assets (43.01)%
|
(29,629,631
|
)
|
||||||
TOTAL NET ASSETS 100.00%
|
$
|
68,888,385
|
*
|
Unless otherwise noted, all or a portion of these securities, totaling $89,740,040, are pledged as collateral for securities sold short.
|
(a)
|
Non-income producing security.
|
(b)
|
Foreign issued security.
|
(c)
|
This security is not pledged as collateral for securities sold short.
|
(d)
|
All or a portion of security is out on loan.
|
(e)
|
Seven day yield as of November 30, 2017.
|
Ltd.
|
Limited Liability Company.
|
SA
|
Generally designates a type of corporation in various countries, mostly those employing a civil law legal system.
|
Schedule of Securities Sold Short
|
Shares
|
Value
|
|||||||
SECURITIES SOLD SHORT (42.34)%
|
||||||||
COMMON STOCKS (39.39)%
|
||||||||
Accommodation (0.34)%
|
||||||||
Red Rock Resorts, Inc. – Class A
|
(7,690
|
)
|
$
|
(237,237
|
)
|
|||
Administrative and Support Services (0.55)%
|
||||||||
Hostess Brands, Inc. – Class A
|
(13,924
|
)
|
(195,771
|
)
|
||||
PRA Group, Inc.
|
(5,276
|
)
|
(183,605
|
)
|
||||
(379,376
|
)
|
|||||||
Air Transportation (0.27)%
|
||||||||
Spirit Airlines, Inc.
|
(4,361
|
)
|
(185,909
|
)
|
||||
Ambulatory Health Care Services (0.45)%
|
||||||||
Spark Therapeutics, Inc.
|
(1,195
|
)
|
(87,510
|
)
|
||||
US Physical Therapy, Inc.
|
(3,016
|
)
|
(220,319
|
)
|
||||
(307,829
|
)
|
|||||||
Apparel Manufacturing (0.44)%
|
||||||||
Under Armour, Inc. – Class C
|
(10,310
|
)
|
(122,998
|
)
|
||||
UniFirst Corp.
|
(1,105
|
)
|
(180,668
|
)
|
||||
(303,666
|
)
|
|||||||
Chemical Manufacturing (3.53)%
|
||||||||
ACADIA Pharmaceuticals, Inc.
|
(3,319
|
)
|
(100,400
|
)
|
||||
Achaogen, Inc.
|
(7,505
|
)
|
(89,760
|
)
|
||||
Aduro Biotech, Inc.
|
(12,320
|
)
|
(117,040
|
)
|
||||
Aerie Pharmaceuticals, Inc.
|
(1,627
|
)
|
(104,535
|
)
|
||||
Alder Biopharmaceuticals, Inc.
|
(8,815
|
)
|
(96,965
|
)
|
||||
Ashland Global Holdings, Inc.
|
(2,700
|
)
|
(199,746
|
)
|
||||
Avexis, Inc.
|
(1,060
|
)
|
(100,499
|
)
|
||||
Clovis Oncology, Inc.
|
(1,370
|
)
|
(86,132
|
)
|
||||
Coherus Biosciences, Inc.
|
(7,713
|
)
|
(69,031
|
)
|
||||
Coty, Inc. – Class A
|
(2,422
|
)
|
(41,731
|
)
|
||||
Dermira, Inc.
|
(4,140
|
)
|
(105,984
|
)
|
||||
G1 Therapeutics, Inc.
|
(4,360
|
)
|
(89,598
|
)
|
||||
Heron Therapeutics, Inc.
|
(6,770
|
)
|
(119,151
|
)
|
||||
Intercept Pharmaceuticals, Inc.
|
(1,940
|
)
|
(119,135
|
)
|
||||
Kraton Corp.
|
(3,815
|
)
|
(179,496
|
)
|
||||
La Jolla Pharmaceutical Co.
|
(2,980
|
)
|
(99,383
|
)
|
||||
MacroGenics, Inc.
|
(5,420
|
)
|
(104,714
|
)
|
||||
Quaker Chemical Corp.
|
(1,181
|
)
|
(194,605
|
)
|
||||
Radius Health, Inc.
|
(3,000
|
)
|
(84,930
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Chemical Manufacturing (3.53)% (Continued)
|
||||||||
Sage Therapeutics, Inc.
|
(1,100
|
)
|
$
|
(101,651
|
)
|
|||
Ultragenyx Pharmaceutical, Inc.
|
(1,820
|
)
|
(91,892
|
)
|
||||
WD-40 Co.
|
(317
|
)
|
(37,850
|
)
|
||||
Xencor, Inc.
|
(4,525
|
)
|
(98,238
|
)
|
||||
(2,432,466
|
)
|
|||||||
Clothing and Clothing Accessories Stores (0.47)%
|
||||||||
Foot Locker, Inc.
|
(3,909
|
)
|
(167,462
|
)
|
||||
Genesco, Inc.
|
(4,933
|
)
|
(153,416
|
)
|
||||
(320,878
|
)
|
|||||||
Computer and Electronic Product Manufacturing (4.47)%
|
||||||||
Cray, Inc.
|
(11,251
|
)
|
(255,961
|
)
|
||||
Cubic Corp.
|
(3,515
|
)
|
(217,754
|
)
|
||||
DexCom, Inc.
|
(4,605
|
)
|
(269,070
|
)
|
||||
FARO Technologies, Inc.
|
(4,520
|
)
|
(236,396
|
)
|
||||
Infinera Corp.
|
(24,841
|
)
|
(179,849
|
)
|
||||
Inphi Corp.
|
(5,519
|
)
|
(226,665
|
)
|
||||
LivaNova PLC (a)
|
(3,100
|
)
|
(270,257
|
)
|
||||
MACOM Technology Solutions Holdings, Inc.
|
(7,568
|
)
|
(246,641
|
)
|
||||
MaxLinear, Inc.
|
(9,615
|
)
|
(253,933
|
)
|
||||
Natus Medical, Inc.
|
(5,515
|
)
|
(220,876
|
)
|
||||
Super Micro Computer, Inc.
|
(11,049
|
)
|
(243,630
|
)
|
||||
ViaSat, Inc.
|
(3,260
|
)
|
(242,022
|
)
|
||||
Xperi Corp.
|
(11,040
|
)
|
(213,072
|
)
|
||||
(3,076,126
|
)
|
|||||||
Construction of Buildings (0.28)%
|
||||||||
TRI Pointe Group, Inc.
|
(10,809
|
)
|
(195,859
|
)
|
||||
Credit Intermediation and Related Activities (4.65)%
|
||||||||
BankUnited, Inc.
|
(7,707
|
)
|
(286,931
|
)
|
||||
Bridge Bancorp, Inc.
|
(5,380
|
)
|
(193,411
|
)
|
||||
ConnectOne Bancorp, Inc.
|
(8,090
|
)
|
(219,644
|
)
|
||||
First of Long Island Corp.
|
(6,845
|
)
|
(206,377
|
)
|
||||
FNB Corp.
|
(13,810
|
)
|
(195,964
|
)
|
||||
Independent Bank Group, Inc.
|
(3,395
|
)
|
(233,915
|
)
|
||||
Investors Bancorp, Inc.
|
(15,595
|
)
|
(222,541
|
)
|
||||
LendingClub Corp.
|
(22,095
|
)
|
(96,555
|
)
|
||||
Live Oak Bancshares, Inc.
|
(9,007
|
)
|
(231,929
|
)
|
||||
New York Community Bancorp, Inc.
|
(17,064
|
)
|
(227,634
|
)
|
||||
OceanFirst Financial Corp.
|
(7,530
|
)
|
(208,958
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Credit Intermediation and Related Activities (4.65)% (Continued)
|
||||||||
Pinnacle Financial Partners, Inc.
|
(3,190
|
)
|
$
|
(218,994
|
)
|
|||
Signature Bank
|
(1,566
|
)
|
(214,980
|
)
|
||||
Sterling Bancorp
|
(8,598
|
)
|
(217,959
|
)
|
||||
SVB Financial Group
|
(1,010
|
)
|
(229,916
|
)
|
||||
(3,205,708
|
)
|
|||||||
Data Processing, Hosting and Related Services (0.33)%
|
||||||||
WEX, Inc.
|
(1,756
|
)
|
(226,032
|
)
|
||||
Educational Services (0.31)%
|
||||||||
Career Education Corp.
|
(15,920
|
)
|
(211,258
|
)
|
||||
Electrical Equipment, Appliance, and
|
||||||||
Component Manufacturing (0.56)%
|
||||||||
Axon Enterprise, Inc.
|
(7,925
|
)
|
(197,174
|
)
|
||||
AZZ, Inc.
|
(3,900
|
)
|
(187,590
|
)
|
||||
(384,764
|
)
|
|||||||
Fabricated Metal Product Manufacturing (0.44)%
|
||||||||
ACCO Brands Corp.
|
(13,635
|
)
|
(179,301
|
)
|
||||
American Outdoor Brands Corp.
|
(8,975
|
)
|
(125,919
|
)
|
||||
(305,220
|
)
|
|||||||
Food and Beverage Stores (0.13)%
|
||||||||
Smart & Final Stores, Inc.
|
(9,723
|
)
|
(88,966
|
)
|
||||
Food Manufacturing (0.52)%
|
||||||||
B&G Foods, Inc.
|
(4,894
|
)
|
(189,398
|
)
|
||||
Snyder’s-Lance, Inc.
|
(4,488
|
)
|
(173,596
|
)
|
||||
(362,994
|
)
|
|||||||
Food Services and Drinking Places (1.10)%
|
||||||||
BJ’s Restaurants, Inc.
|
(6,042
|
)
|
(216,002
|
)
|
||||
Buffalo Wild Wings, Inc.
|
(1,490
|
)
|
(232,365
|
)
|
||||
Casey’s General Stores, Inc.
|
(735
|
)
|
(88,751
|
)
|
||||
DineEquity, Inc.
|
(4,759
|
)
|
(218,295
|
)
|
||||
(755,413
|
)
|
|||||||
Furniture and Home Furnishings Stores (0.19)%
|
||||||||
Bed Bath & Beyond, Inc.
|
(5,895
|
)
|
(131,989
|
)
|
||||
Furniture and Related Product Manufacturing (0.26)%
|
||||||||
Knoll, Inc.
|
(8,090
|
)
|
(176,119
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Health and Personal Care Stores (0.19)%
|
||||||||
Sally Beauty Holdings, Inc.
|
(7,763
|
)
|
$
|
(132,359
|
)
|
|||
Heavy and Civil Engineering Construction (0.25)%
|
||||||||
Century Communities, Inc.
|
(5,430
|
)
|
(170,231
|
)
|
||||
Insurance Carriers and Related Activities (0.98)%
|
||||||||
AMERISAFE, Inc.
|
(2,250
|
)
|
(147,712
|
)
|
||||
AmTrust Financial Services, Inc.
|
(11,320
|
)
|
(109,125
|
)
|
||||
Aspen Insurance Holdings Ltd. (a)
|
(3,360
|
)
|
(137,760
|
)
|
||||
National Western Life Group, Inc. – Class A
|
(395
|
)
|
(139,629
|
)
|
||||
ProAssurance Corp.
|
(2,222
|
)
|
(137,431
|
)
|
||||
(671,657
|
)
|
|||||||
Machinery Manufacturing (1.13)%
|
||||||||
Dril-Quip, Inc.
|
(2,878
|
)
|
(138,000
|
)
|
||||
Glaukos Corp.
|
(5,830
|
)
|
(156,069
|
)
|
||||
IMAX Corp. (a)
|
(3,850
|
)
|
(97,790
|
)
|
||||
John Bean Technologies Corp.
|
(1,685
|
)
|
(201,779
|
)
|
||||
Tennant Co.
|
(2,775
|
)
|
(182,595
|
)
|
||||
(776,233
|
)
|
|||||||
Management of Companies and Enterprises (0.98)%
|
||||||||
Ameris Bancorp.
|
(4,473
|
)
|
(221,861
|
)
|
||||
ServisFirst Bancshares, Inc.
|
(5,590
|
)
|
(234,723
|
)
|
||||
Simmons First National Corp. – Class A
|
(3,795
|
)
|
(219,731
|
)
|
||||
(676,315
|
)
|
|||||||
Merchant Wholesalers, Durable Goods (1.79)%
|
||||||||
Beacon Roofing Supply, Inc.
|
(3,460
|
)
|
(221,717
|
)
|
||||
Fitbit, Inc. – Class A
|
(33,519
|
)
|
(229,939
|
)
|
||||
GCP Applied Technologies, Inc.
|
(5,809
|
)
|
(190,245
|
)
|
||||
Gentherm, Inc.
|
(4,965
|
)
|
(178,740
|
)
|
||||
Sunrun, Inc.
|
(33,356
|
)
|
(186,794
|
)
|
||||
Titan International, Inc.
|
(18,935
|
)
|
(226,652
|
)
|
||||
(1,234,087
|
)
|
|||||||
Merchant Wholesalers, Nondurable Goods (0.56)%
|
||||||||
Adamas Pharmaceuticals, Inc.
|
(3,185
|
)
|
(118,323
|
)
|
||||
Aimmune Therapeutics, Inc.
|
(3,045
|
)
|
(116,319
|
)
|
||||
Global Blood Therapeutics, Inc.
|
(3,880
|
)
|
(153,066
|
)
|
||||
(387,708
|
)
|
|||||||
Mining (except Oil and Gas) (0.50)%
|
||||||||
Hecla Mining Co.
|
(38,870
|
)
|
(145,374
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Mining (except Oil and Gas) (0.50)% (Continued)
|
||||||||
Summit Materials, Inc. – Class A
|
(6,482
|
)
|
$
|
(199,386
|
)
|
|||
(344,760
|
)
|
|||||||
Miscellaneous Manufacturing (1.43)%
|
||||||||
Acushnet Holdings Corp.
|
(7,828
|
)
|
(155,542
|
)
|
||||
GenMark Diagnostics, Inc.
|
(27,077
|
)
|
(120,492
|
)
|
||||
Mattel, Inc.
|
(10,605
|
)
|
(193,542
|
)
|
||||
Nevro Corp.
|
(1,950
|
)
|
(145,899
|
)
|
||||
NuVasive, Inc.
|
(3,510
|
)
|
(202,492
|
)
|
||||
WR Grace & Co.
|
(2,302
|
)
|
(168,760
|
)
|
||||
(986,727
|
)
|
|||||||
Miscellaneous Store Retailers (0.23)%
|
||||||||
Party City Holdco, Inc.
|
(11,350
|
)
|
(157,765
|
)
|
||||
Motion Picture and Sound Recording Industries (0.16)%
|
||||||||
Cinemark Holdings, Inc.
|
(3,008
|
)
|
(108,619
|
)
|
||||
Oil and Gas Extraction (1.05)%
|
||||||||
Bonanza Creek Energy, Inc.
|
(3,915
|
)
|
(108,720
|
)
|
||||
Extraction Oil & Gas, Inc.
|
(9,937
|
)
|
(149,651
|
)
|
||||
Jagged Peak Energy, Inc.
|
(8,893
|
)
|
(134,996
|
)
|
||||
MRC Global, Inc.
|
(12,030
|
)
|
(188,991
|
)
|
||||
NOW, Inc.
|
(13,525
|
)
|
(139,578
|
)
|
||||
(721,936
|
)
|
|||||||
Other Information Services (0.23)%
|
||||||||
Box, Inc. – Class A
|
(7,557
|
)
|
(158,924
|
)
|
||||
Pipeline Transportation (0.76)%
|
||||||||
New Jersey Resources Corp.
|
(6,287
|
)
|
(280,400
|
)
|
||||
South Jersey Industries, Inc.
|
(7,125
|
)
|
(241,253
|
)
|
||||
(521,653
|
)
|
|||||||
Primary Metal Manufacturing (0.27)%
|
||||||||
Insteel Industries, Inc.
|
(6,770
|
)
|
(186,514
|
)
|
||||
Printing and Related Support Activities (0.19)%
|
||||||||
Centennial Resource Development, Inc. – Class A
|
(6,365
|
)
|
(129,146
|
)
|
||||
Professional, Scientific, and Technical Services (2.76)%
|
||||||||
Biohaven Pharmaceutical Holding Co. Ltd. (a)
|
(2,905
|
)
|
(67,193
|
)
|
||||
Diebold Nixdorf, Inc.
|
(9,788
|
)
|
(187,930
|
)
|
||||
Huron Consulting Group, Inc.
|
(4,760
|
)
|
(194,684
|
)
|
||||
Instructure, Inc.
|
(6,341
|
)
|
(220,350
|
)
|
||||
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Professional, Scientific, and Technical Services (2.76)% (Continued)
|
||||||||
Intra-Cellular Therapies, Inc.
|
(4,401
|
)
|
$
|
(68,216
|
)
|
|||
Liberty Media Corp-Liberty Formula One – Class A
|
(2,516
|
)
|
(87,532
|
)
|
||||
Monotype Imaging Holdings, Inc.
|
(9,125
|
)
|
(229,950
|
)
|
||||
MuleSoft, Inc. – Class A
|
(7,028
|
)
|
(161,293
|
)
|
||||
Nutanix, Inc. – Class A
|
(8,495
|
)
|
(278,635
|
)
|
||||
Shake Shack, Inc. – Class A
|
(4,860
|
)
|
(199,745
|
)
|
||||
VASCO Data Security International, Inc.
|
(15,395
|
)
|
(206,293
|
)
|
||||
(1,901,821
|
)
|
|||||||
Publishing Industries (except Internet) (1.46)%
|
||||||||
Cornerstone OnDemand, Inc.
|
(4,972
|
)
|
(183,815
|
)
|
||||
Evolent Health, Inc. – Class A
|
(11,200
|
)
|
(143,920
|
)
|
||||
MicroStrategy, Inc. – Class A
|
(1,470
|
)
|
(201,037
|
)
|
||||
PROS Holdings, Inc.
|
(7,845
|
)
|
(196,831
|
)
|
||||
Scholastic Corp.
|
(2,403
|
)
|
(98,811
|
)
|
||||
Twilio, Inc. – Class A
|
(6,799
|
)
|
(181,261
|
)
|
||||
(1,005,675
|
)
|
|||||||
Real Estate (0.26)%
|
||||||||
St. Joe Co.
|
(9,520
|
)
|
(178,976
|
)
|
||||
Rental and Leasing Services (0.18)%
|
||||||||
Hertz Global Holdings, Inc.
|
(6,706
|
)
|
(127,079
|
)
|
||||
Securities, Commodity Contracts, and Other
|
||||||||
Financial Investments and Related Activities (1.08)%
|
||||||||
Camping World Holdings, Inc. – Class A
|
(3,166
|
)
|
(146,776
|
)
|
||||
Financial Engines, Inc.
|
(3,843
|
)
|
(107,220
|
)
|
||||
Nexeo Solutions, Inc.
|
(22,125
|
)
|
(175,451
|
)
|
||||
PJT Partners, Inc. – Class A
|
(3,593
|
)
|
(152,810
|
)
|
||||
WisdomTree Investments, Inc.
|
(14,245
|
)
|
(163,818
|
)
|
||||
(746,075
|
)
|
|||||||
Support Activities for Mining (0.41)%
|
||||||||
C&J Energy Services, Inc.
|
(4,400
|
)
|
(137,544
|
)
|
||||
Patterson-UTI Energy, Inc.
|
(6,815
|
)
|
(147,136
|
)
|
||||
(284,680
|
)
|
|||||||
Telecommunications (0.63)%
|
||||||||
8x8, Inc.
|
(16,158
|
)
|
(227,828
|
)
|
||||
Consolidated Communications Holdings, Inc.
|
(6,065
|
)
|
(85,759
|
)
|
||||
ORBCOMM, Inc.
|
(11,280
|
)
|
(121,373
|
)
|
||||
(434,960
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Transportation Equipment Manufacturing (1.00)%
|
||||||||
American Railcar Industries, Inc.
|
(4,537
|
)
|
$
|
(183,839
|
)
|
|||
Astec Industries, Inc.
|
(3,500
|
)
|
(193,795
|
)
|
||||
Standard Motor Products, Inc.
|
(3,715
|
)
|
(167,955
|
)
|
||||
Wesco Aircraft Holdings, Inc.
|
(19,335
|
)
|
(143,079
|
)
|
||||
(688,668
|
)
|
|||||||
Utilities (0.80)%
|
||||||||
Chesapeake Utilities Corp.
|
(3,152
|
)
|
(269,654
|
)
|
||||
Connecticut Water Service, Inc.
|
(4,451
|
)
|
(281,792
|
)
|
||||
(551,446
|
)
|
|||||||
Waste Management and Remediation Services (0.49)%
|
||||||||
Covanta Holding Corp.
|
(11,806
|
)
|
(179,451
|
)
|
||||
US Ecology, Inc.
|
(3,015
|
)
|
(155,122
|
)
|
||||
(334,573
|
)
|
|||||||
Water Transportation (0.33)%
|
||||||||
International Seaways, Inc. (a)
|
(6,205
|
)
|
(105,423
|
)
|
||||
Scorpio Bulkers, Inc. (a)
|
(16,545
|
)
|
(119,124
|
)
|
||||
(224,547
|
)
|
|||||||
TOTAL COMMON STOCKS (Proceeds $26,445,026)
|
(27,130,943
|
)
|
||||||
REAL ESTATE INVESTMENT TRUSTS (2.95)%
|
||||||||
Acadia Realty Trust
|
(6,352
|
)
|
(178,047
|
)
|
||||
Education Realty Trust, Inc.
|
(4,756
|
)
|
(173,927
|
)
|
||||
Government Properties Income Trust
|
(9,896
|
)
|
(184,560
|
)
|
||||
Independence Realty Trust, Inc.
|
(17,769
|
)
|
(183,554
|
)
|
||||
Ladder Capital Corp. – Class A
|
(9,488
|
)
|
(129,511
|
)
|
||||
Life Storage, Inc.
|
(2,439
|
)
|
(219,047
|
)
|
||||
Physicians Realty Trust
|
(10,585
|
)
|
(189,154
|
)
|
||||
Sabra Health Care REIT, Inc.
|
(8,672
|
)
|
(166,849
|
)
|
||||
Uniti Group, Inc.
|
(13,330
|
)
|
(214,613
|
)
|
||||
Washington Real Estate Investment Trust
|
(6,456
|
)
|
(208,658
|
)
|
||||
Weingarten Realty Investors
|
(5,691
|
)
|
(187,518
|
)
|
||||
TOTAL REAL ESTATE INVESTMENT TRUSTS
|
||||||||
(Proceeds $2,199,253)
|
(2,035,438
|
)
|
||||||
TOTAL SECURITIES SOLD SHORT (Proceeds $28,644,279)
|
$
|
(29,166,381
|
)
|
(a)
|
Foreign issued security.
|
Abbreviations:
|
|
Ltd.
|
Limited Liability Company.
|
PLC
|
Publicly Traded Company.
|
Schedule of Investments
|
Shares
|
Value
|
|||||||
COMMON STOCKS* 101.85%
|
||||||||
Accommodation 0.89%
|
||||||||
Penn National Gaming, Inc. (a)
|
6,994
|
$
|
201,147
|
|||||
Administrative and Support Services 2.50%
|
||||||||
Alliance Data Systems Corp.
|
788
|
188,545
|
||||||
ManpowerGroup, Inc.
|
1,495
|
192,706
|
||||||
TriNet Group, Inc. (a)
|
4,107
|
183,829
|
||||||
565,080
|
||||||||
Air Transportation 0.87%
|
||||||||
Copa Holdings SA – Class A (b)
|
1,459
|
195,783
|
||||||
Amusement, Gambling, and Recreation Industries 0.84%
|
||||||||
Las Vegas Sands Corp.
|
2,766
|
191,656
|
||||||
Beverage and Tobacco Product Manufacturing 0.86%
|
||||||||
National Beverage Corp.
|
1,791
|
195,434
|
||||||
Broadcasting (except Internet) 2.65%
|
||||||||
AMC Networks, Inc. – Class A (a)
|
3,190
|
164,413
|
||||||
Comcast Corp. – Class A
|
4,275
|
160,483
|
||||||
Liberty Interactive Corp. – Class A (a)
|
5,082
|
124,001
|
||||||
Sinclair Broadcast Group, Inc. – Class A
|
4,383
|
149,241
|
||||||
598,138
|
||||||||
Building Material and Garden Equipment 1.83%
|
||||||||
Home Depot, Inc.
|
1,200
|
215,784
|
||||||
Lowe’s Companies, Inc.
|
2,391
|
199,338
|
||||||
415,122
|
||||||||
Chemical Manufacturing 6.97%
|
||||||||
AbbVie, Inc.
|
2,319
|
224,758
|
||||||
Bioverativ, Inc. (a)
|
3,770
|
188,575
|
||||||
Emergent BioSolutions, Inc. (a)
|
4,811
|
211,347
|
||||||
Gilead Sciences, Inc.
|
2,593
|
193,905
|
||||||
Huntsman Corp.
|
5,926
|
189,395
|
||||||
Myriad Genetics, Inc. (a)
|
5,310
|
183,885
|
||||||
Vertex Pharmaceuticals, Inc. (a)
|
1,356
|
195,657
|
||||||
Westlake Chemical Corp.
|
1,903
|
186,361
|
||||||
1,573,883
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Computer and Electronic Product Manufacturing 6.47%
|
||||||||
Apple, Inc.
|
1,156
|
$
|
198,659
|
|||||
Applied Materials, Inc.
|
3,559
|
187,808
|
||||||
Cisco Systems, Inc.
|
5,173
|
192,953
|
||||||
Jabil, Inc.
|
6,822
|
196,815
|
||||||
Lam Research Corp.
|
841
|
161,750
|
||||||
Micron Technology, Inc. (a)
|
4,426
|
187,618
|
||||||
NetApp, Inc.
|
3,479
|
196,598
|
||||||
ON Semiconductor Corp. (a)
|
7,074
|
142,046
|
||||||
1,464,247
|
||||||||
Construction of Buildings 2.43%
|
||||||||
KB Home
|
6,128
|
192,175
|
||||||
PulteGroup, Inc.
|
5,042
|
172,083
|
||||||
Toll Brothers, Inc.
|
3,685
|
185,466
|
||||||
549,724
|
||||||||
Credit Intermediation and Related Activities 9.34%
|
||||||||
Ameriprise Financial, Inc.
|
1,021
|
166,658
|
||||||
Bank of America Corp.
|
7,020
|
197,753
|
||||||
Capital One Financial Corp.
|
2,049
|
188,508
|
||||||
CIT Group, Inc.
|
3,815
|
190,140
|
||||||
Citigroup, Inc.
|
2,704
|
204,152
|
||||||
Fifth Third Bancorp.
|
6,600
|
201,366
|
||||||
JPMorgan Chase & Co.
|
1,963
|
205,172
|
||||||
Nationstar Mortgage Holdings, Inc. (a)(c)
|
10,576
|
191,108
|
||||||
Regions Financial Corp.
|
11,679
|
193,755
|
||||||
Santander Consumer USA Holdings, Inc.
|
10,478
|
180,641
|
||||||
Wells Fargo & Co.
|
3,429
|
193,636
|
||||||
2,112,889
|
||||||||
Electrical Equipment, Appliance, and
|
||||||||
Component Manufacturing 0.85%
|
||||||||
Generac Holdings, Inc. (a)
|
3,915
|
192,501
|
||||||
Fabricated Metal Product Manufacturing 1.68%
|
||||||||
Mueller Industries, Inc.
|
5,189
|
188,880
|
||||||
Rexnord Corp. (a)
|
7,690
|
191,634
|
||||||
380,514
|
||||||||
Food Manufacturing 2.25%
|
||||||||
Archer-Daniels-Midland Co.
|
3,814
|
152,102
|
||||||
Pilgrim’s Pride Corp. (a)
|
5,208
|
190,978
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Food Manufacturing 2.25% (Continued)
|
||||||||
Sanderson Farms, Inc.
|
980
|
$
|
166,296
|
|||||
509,376
|
||||||||
Food Services and Drinking Places 0.84%
|
||||||||
Hyatt Hotels Corp. – Class A (a)
|
2,635
|
190,669
|
||||||
General Merchandise Stores 0.48%
|
||||||||
Wal-Mart Stores, Inc.
|
1,112
|
108,120
|
||||||
Health and Personal Care Stores 2.34%
|
||||||||
CVS Health Corp.
|
1,246
|
95,444
|
||||||
Express Scripts Holding Co. (a)
|
3,264
|
212,748
|
||||||
McKesson Corp.
|
1,487
|
219,688
|
||||||
527,880
|
||||||||
Heavy and Civil Engineering Construction 0.84%
|
||||||||
KBR, Inc.
|
10,100
|
189,375
|
||||||
Insurance Carriers and Related Activities 8.36%
|
||||||||
Athene Holding, Ltd. – Class A (a)(b)
|
3,639
|
174,927
|
||||||
Centene Corp. (a)
|
1,852
|
189,071
|
||||||
CNO Financial Group, Inc.
|
8,339
|
210,226
|
||||||
Humana, Inc.
|
781
|
203,732
|
||||||
Lincoln National Corp.
|
2,487
|
190,380
|
||||||
MGIC Investment Corp. (a)
|
13,150
|
192,253
|
||||||
Molina Healthcare, Inc. (a)
|
1,202
|
94,044
|
||||||
Torchmark Corp.
|
2,080
|
184,808
|
||||||
UnitedHealth Group, Inc.
|
935
|
213,339
|
||||||
WellCare Health Plans, Inc. (a)
|
1,123
|
239,187
|
||||||
1,891,967
|
||||||||
Leather and Allied Product Manufacturing 0.80%
|
||||||||
Deckers Outdoor Corp. (a)
|
2,420
|
180,847
|
||||||
Machinery Manufacturing 1.70%
|
||||||||
Caterpillar, Inc.
|
1,380
|
194,787
|
||||||
Cummins, Inc.
|
1,129
|
188,995
|
||||||
383,782
|
||||||||
Management of Companies and Enterprises 0.91%
|
||||||||
American Equity Investment Life Holding Co.
|
6,503
|
206,340
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Merchant Wholesalers, Durable Goods 0.87%
|
||||||||
Builders FirstSource, Inc. (a)
|
9,691
|
$
|
197,696
|
|||||
Merchant Wholesalers, Nondurable Goods 1.36%
|
||||||||
Ingevity Corp. (a)
|
2,330
|
185,445
|
||||||
Nu Skin Enterprises, Inc. – Class A
|
1,802
|
122,374
|
||||||
307,819
|
||||||||
Mining (except Oil and Gas) 0.76%
|
||||||||
Freeport-McMoRan, Inc. – Class B (a)
|
12,320
|
171,494
|
||||||
Miscellaneous Manufacturing 0.54%
|
||||||||
Estee Lauder Companies, Inc. – Class A
|
980
|
122,333
|
||||||
Motion Picture and Sound Recording Industries 0.75%
|
||||||||
Netflix, Inc. (a)
|
899
|
168,634
|
||||||
Nonmetallic Mineral Product Manufacturing 0.82%
|
||||||||
Owens-Illinois, Inc. (a)
|
7,653
|
185,356
|
||||||
Nonstore Retailers 1.04%
|
||||||||
Amazon.com, Inc. (a)
|
200
|
235,350
|
||||||
Oil and Gas Extraction 0.89%
|
||||||||
Pattern Energy Group, Inc. – Class A
|
8,951
|
201,756
|
||||||
Other Information Services 1.58%
|
||||||||
Alphabet, Inc. – Class C (a)
|
168
|
171,597
|
||||||
Facebook, Inc. – Class A (a)
|
1,050
|
186,039
|
||||||
357,636
|
||||||||
Performing Arts, Spectator Sports, and Related Industries 0.83%
|
||||||||
Live Nation Entertainment, Inc. (a)
|
4,127
|
187,283
|
||||||
Personal and Laundry Services 0.65%
|
||||||||
Weight Watchers International, Inc. (a)(c)
|
3,321
|
146,356
|
||||||
Petroleum and Coal Products Manufacturing 6.01%
|
||||||||
Chevron Corp.
|
1,596
|
189,908
|
||||||
CVR Energy, Inc. (c)
|
6,442
|
210,331
|
||||||
Exxon Mobil Corp. (c)
|
2,341
|
194,982
|
||||||
HollyFrontier Corp.
|
3,975
|
176,808
|
||||||
Marathon Petroleum Corp.
|
3,150
|
197,285
|
||||||
PBF Energy, Inc. – Class A (c)
|
5,614
|
181,725
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Petroleum and Coal Products Manufacturing 6.01% (Continued)
|
||||||||
Valero Energy Corp.
|
2,410
|
$
|
206,344
|
|||||
1,357,383
|
||||||||
Primary Metal Manufacturing 0.81%
|
||||||||
Alcoa Corp. (a)
|
4,430
|
183,889
|
||||||
Professional, Scientific, and Technical Services 6.03%
|
||||||||
Amgen, Inc.
|
1,243
|
218,345
|
||||||
Aspen Technology, Inc. (a)
|
2,630
|
176,000
|
||||||
Cadence Design System, Inc. (a)
|
4,260
|
187,057
|
||||||
F5 Networks, Inc. (a)
|
1,420
|
190,564
|
||||||
Insperity, Inc.
|
1,660
|
195,714
|
||||||
MAXIMUS, Inc.
|
2,990
|
206,549
|
||||||
VMware, Inc. – Class A (a)(c)
|
1,587
|
190,615
|
||||||
1,364,844
|
||||||||
Publishing Industries (except Internet) 3.64%
|
||||||||
Citrix Systems, Inc. (a)
|
2,016
|
176,662
|
||||||
Cogent Communications Holdings, Inc.
|
2,132
|
99,884
|
||||||
Fortinet, Inc. (a)
|
4,690
|
197,261
|
||||||
Microsoft Corp.
|
2,074
|
174,569
|
||||||
Oracle Corp.
|
3,640
|
178,578
|
||||||
826,954
|
||||||||
Rail Transportation 0.82%
|
||||||||
Union Pacific Corp.
|
1,475
|
186,588
|
||||||
Real Estate 2.49%
|
||||||||
CBRE Group, Inc. – Class A (a)
|
4,860
|
210,730
|
||||||
Jones Lang LaSalle, Inc.
|
1,225
|
186,800
|
||||||
Realogy Holdings Corp.
|
5,945
|
165,925
|
||||||
563,455
|
||||||||
Rental and Leasing Services 1.63%
|
||||||||
Synchrony Financial
|
4,724
|
169,544
|
||||||
Triton International Ltd. – Class A (b)
|
5,030
|
199,037
|
||||||
368,581
|
||||||||
Securities, Commodity Contracts, and Other
|
||||||||
Financial Investments and Related Activities 2.32%
|
||||||||
Legg Mason, Inc.
|
4,109
|
164,196
|
||||||
Morgan Stanley
|
3,435
|
177,280
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
Securities, Commodity Contracts, and Other
|
||||||||
Financial Investments and Related Activities 2.32% (Continued)
|
||||||||
Travelport Worldwide Ltd. (b)
|
13,712
|
$
|
183,604
|
|||||
525,080
|
||||||||
Support Activities for Mining 0.95%
|
||||||||
MDU Resources Group, Inc.
|
7,713
|
215,578
|
||||||
Support Activities for Transportation 0.90%
|
||||||||
XPO Logistics, Inc. (a)
|
2,553
|
201,763
|
||||||
Telecommunications 0.42%
|
||||||||
AT&T, Inc.
|
2,594
|
94,370
|
||||||
Transportation Equipment Manufacturing 4.79%
|
||||||||
Allison Transmission Holdings, Inc.
|
4,700
|
192,888
|
||||||
Boeing Co.
|
722
|
199,850
|
||||||
Dana, Inc.
|
4,909
|
162,193
|
||||||
Lear Corp.
|
889
|
160,811
|
||||||
Meritor, Inc. (a)
|
6,970
|
174,111
|
||||||
Oshkosh Corp.
|
2,157
|
194,216
|
||||||
1,084,069
|
||||||||
Utilities 2.66%
|
||||||||
CenterPoint Energy, Inc.
|
7,020
|
210,670
|
||||||
National Fuel Gas Co.
|
3,303
|
194,216
|
||||||
PNM Resources, Inc.
|
4,331
|
197,061
|
||||||
601,947
|
||||||||
Water Transportation 0.79%
|
||||||||
Royal Caribbean Cruises Ltd. (b)
|
1,450
|
179,626
|
||||||
Wood Product Manufacturing 0.80%
|
||||||||
Louisiana-Pacific Corp. (a)
|
6,587
|
181,867
|
||||||
TOTAL COMMON STOCKS (Cost $19,984,092)
|
23,042,181
|
|||||||
REAL ESTATE INVESTMENT TRUSTS* 6.57%
|
||||||||
American Tower Corp.
|
1,271
|
182,935
|
||||||
First Industrial Realty Trust, Inc.
|
5,970
|
194,323
|
||||||
Granite Point Mortgage Trust, Inc.
|
1
|
11
|
||||||
Mack-Cali Realty Corp.
|
6,659
|
147,363
|
||||||
Park Hotels & Resorts, Inc.
|
6,340
|
185,128
|
||||||
Potlatch Corp.
|
3,706
|
191,230
|
Schedule of Investments (Continued)
|
Shares
|
Value
|
|||||||
REAL ESTATE INVESTMENT TRUSTS* 6.57% (Continued)
|
||||||||
Prologis, Inc.
|
2,935
|
$
|
194,385
|
|||||
PS Business Parks, Inc.
|
1,359
|
180,149
|
||||||
Xenia Hotels & Resorts, Inc.
|
9,549
|
209,983
|
||||||
TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $1,423,694)
|
1,485,507
|
|||||||
SHORT-TERM INVESTMENTS 1.30%
|
||||||||
Fidelity Institutional Money Market Funds –
|
||||||||
Government Portfolio – Class I, 0.970% (c)(d)
|
294,823
|
294,823
|
||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $294,823)
|
294,823
|
|||||||
Total Investments (Cost $21,702,609) 109.72%
|
24,822,511
|
|||||||
Liabilities in Excess of Other Assets (9.72)%
|
(2,198,217
|
)
|
||||||
TOTAL NET ASSETS 100.00%
|
$
|
22,624,294
|
*
|
Unless otherwise noted, all or a portion of these securities, totaling $22,349,678, are pledged as collateral for securities sold short.
|
(a)
|
Non-income producing security.
|
(b)
|
Foreign issued security.
|
(c)
|
This security is not pledged as collateral for securities sold short.
|
(d)
|
Seven day yield as of November 30, 2017.
|
Abbreviations:
|
|
Ltd.
|
Limited Liability Company.
|
SA
|
Generally designates a type of corporation in various countries, mostly those employing a civil law legal system.
|
Schedule of Securities Sold Short
|
Shares
|
Value
|
|||||||
SECURITIES SOLD SHORT (84.92)%
|
||||||||
COMMON STOCKS (77.72)%
|
||||||||
Accommodation (0.49)%
|
||||||||
Red Rock Resorts, Inc. – Class A
|
(3,560
|
)
|
$
|
(109,826
|
)
|
|||
Administrative and Support Services (2.54)%
|
||||||||
Equifax, Inc.
|
(1,020
|
)
|
(116,402
|
)
|
||||
Gartner, Inc.
|
(956
|
)
|
(115,571
|
)
|
||||
IHS Markit Ltd. (a)
|
(2,601
|
)
|
(116,057
|
)
|
||||
TripAdvisor, Inc.
|
(3,173
|
)
|
(109,849
|
)
|
||||
WageWorks, Inc.
|
(1,848
|
)
|
(118,549
|
)
|
||||
(576,428
|
)
|
|||||||
Air Transportation (0.44)%
|
||||||||
Spirit Airlines, Inc.
|
(2,326
|
)
|
(99,157
|
)
|
||||
Ambulatory Health Care Services (1.62)%
|
||||||||
Envision Healthcare Corp.
|
(4,017
|
)
|
(128,262
|
)
|
||||
Loxo Oncology, Inc.
|
(930
|
)
|
(71,378
|
)
|
||||
MEDNAX, Inc.
|
(2,050
|
)
|
(102,070
|
)
|
||||
Spark Therapeutics, Inc.
|
(878
|
)
|
(64,296
|
)
|
||||
(366,006
|
)
|
|||||||
Apparel Manufacturing (0.46)%
|
||||||||
Under Armour, Inc. – Class C
|
(8,800
|
)
|
(104,984
|
)
|
||||
Broadcasting (except Internet) (1.08)%
|
||||||||
Charter Communications, Inc. – Class A
|
(357
|
)
|
(116,457
|
)
|
||||
DISH Network Corp. – Class A
|
(2,535
|
)
|
(128,398
|
)
|
||||
(244,855
|
)
|
|||||||
Building Material and Garden Equipment (0.63)%
|
||||||||
MSC Industrial Direct Company, Inc. – Class A
|
(1,572
|
)
|
(141,590
|
)
|
||||
Chemical Manufacturing (4.87)%
|
||||||||
ACADIA Pharmaceuticals, Inc.
|
(2,359
|
)
|
(71,360
|
)
|
||||
Aerie Pharmaceuticals, Inc.
|
(1,380
|
)
|
(88,664
|
)
|
||||
Ashland Global Holdings, Inc.
|
(1,980
|
)
|
(146,480
|
)
|
||||
Avexis, Inc.
|
(680
|
)
|
(64,471
|
)
|
||||
Blueprint Medicines Corp.
|
(890
|
)
|
(66,803
|
)
|
||||
Clovis Oncology, Inc.
|
(900
|
)
|
(56,583
|
)
|
||||
Coty, Inc. – Class A
|
(5,546
|
)
|
(95,558
|
)
|
||||
Medicines Co.
|
(2,340
|
)
|
(67,860
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Chemical Manufacturing (4.87)% (Continued)
|
||||||||
Prothena Corp. PLC (a)
|
(1,530
|
)
|
$
|
(71,130
|
)
|
|||
Sage Therapeutics, Inc.
|
(670
|
)
|
(61,915
|
)
|
||||
Sarepta Therapeutics, Inc.
|
(1,698
|
)
|
(94,527
|
)
|
||||
Seattle Genetics, Inc.
|
(1,060
|
)
|
(64,586
|
)
|
||||
TESARO, Inc.
|
(896
|
)
|
(75,802
|
)
|
||||
Ultragenyx Pharmaceutical, Inc.
|
(1,470
|
)
|
(74,220
|
)
|
||||
(1,099,959
|
)
|
|||||||
Clothing and Clothing Accessories Stores (0.50)%
|
||||||||
Foot Locker, Inc.
|
(2,648
|
)
|
(113,440
|
)
|
||||
Computer and Electronic Product Manufacturing (6.48)%
|
||||||||
Advanced Micro Devices, Inc.
|
(10,028
|
)
|
(109,205
|
)
|
||||
Analog Devices, Inc.
|
(1,150
|
)
|
(99,027
|
)
|
||||
Ciena Corp.
|
(4,971
|
)
|
(108,119
|
)
|
||||
Cubic Corp.
|
(2,084
|
)
|
(129,104
|
)
|
||||
DexCom, Inc.
|
(1,950
|
)
|
(113,939
|
)
|
||||
Hologic, Inc.
|
(3,145
|
)
|
(131,209
|
)
|
||||
Infinera Corp.
|
(15,173
|
)
|
(109,853
|
)
|
||||
Inphi Corp.
|
(2,330
|
)
|
(95,693
|
)
|
||||
Johnson Controls International PLC (a)
|
(3,017
|
)
|
(113,560
|
)
|
||||
LivaNova PLC (a)
|
(1,280
|
)
|
(111,590
|
)
|
||||
Lumentum Holdings, Inc.
|
(2,040
|
)
|
(110,262
|
)
|
||||
MACOM Technology Solutions Holdings, Inc.
|
(3,440
|
)
|
(112,110
|
)
|
||||
MaxLinear, Inc.
|
(4,580
|
)
|
(120,957
|
)
|
||||
(1,464,628
|
)
|
|||||||
Construction of Buildings (0.97)%
|
||||||||
Dycom Industries, Inc.
|
(1,060
|
)
|
(113,812
|
)
|
||||
Taylor Morrison Home Corp. – Class A
|
(4,370
|
)
|
(105,579
|
)
|
||||
(219,391
|
)
|
|||||||
Credit Intermediation and Related Activities (5.93)%
|
||||||||
Flagstar Bancorp, Inc.
|
(3,240
|
)
|
(123,152
|
)
|
||||
FNB Corp.
|
(9,250
|
)
|
(131,257
|
)
|
||||
Home BancShares, Inc.
|
(5,240
|
)
|
(124,712
|
)
|
||||
IBERIABANK Corp.
|
(1,610
|
)
|
(125,178
|
)
|
||||
Independent Bank Group, Inc.
|
(1,890
|
)
|
(130,220
|
)
|
||||
LendingClub Corp.
|
(25,459
|
)
|
(111,256
|
)
|
||||
Pinnacle Financial Partners, Inc.
|
(1,610
|
)
|
(110,527
|
)
|
||||
Signature Bank
|
(910
|
)
|
(124,925
|
)
|
||||
SLM Corp.
|
(9,536
|
)
|
(110,332
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Credit Intermediation and Related Activities (5.93)% (Continued)
|
||||||||
Sterling Bancorp
|
(4,860
|
)
|
$
|
(123,201
|
)
|
|||
Texas Capital Bancshares, Inc.
|
(1,393
|
)
|
(125,857
|
)
|
||||
(1,340,617
|
)
|
|||||||
Data Processing, Hosting and Related Services (1.13)%
|
||||||||
Acxiom Corp.
|
(4,560
|
)
|
(124,260
|
)
|
||||
WEX, Inc.
|
(1,012
|
)
|
(130,264
|
)
|
||||
(254,524
|
)
|
|||||||
Electrical Equipment, Appliance, and
|
||||||||
Component Manufacturing (0.41)%
|
||||||||
Spectrum Brands Holdings, Inc.
|
(798
|
)
|
(91,674
|
)
|
||||
Fabricated Metal Product Manufacturing (1.10)%
|
||||||||
Axalta Coating Systems Ltd. (a)
|
(3,867
|
)
|
(122,429
|
)
|
||||
Mueller Water Products, Inc. – Class A
|
(10,230
|
)
|
(127,773
|
)
|
||||
(250,202
|
)
|
|||||||
Food Manufacturing (2.44)%
|
||||||||
B&G Foods, Inc.
|
(2,724
|
)
|
(105,419
|
)
|
||||
Blue Buffalo Pet Products, Inc.
|
(3,577
|
)
|
(109,850
|
)
|
||||
Kraft Heinz Co.
|
(1,519
|
)
|
(123,601
|
)
|
||||
Pinnacle Foods, Inc.
|
(1,750
|
)
|
(101,903
|
)
|
||||
TreeHouse Foods, Inc.
|
(2,400
|
)
|
(110,447
|
)
|
||||
(551,220
|
)
|
|||||||
Food Services and Drinking Places (3.01)%
|
||||||||
Casey’s General Stores, Inc.
|
(627
|
)
|
(75,710
|
)
|
||||
Cheesecake Factory, Inc.
|
(2,550
|
)
|
(125,053
|
)
|
||||
Chipotle Mexican Grill, Inc.
|
(390
|
)
|
(118,712
|
)
|
||||
Domino’s Pizza, Inc.
|
(670
|
)
|
(124,727
|
)
|
||||
Dunkin’ Brands Group, Inc.
|
(1,950
|
)
|
(116,415
|
)
|
||||
Yum! Brands, Inc.
|
(1,473
|
)
|
(122,951
|
)
|
||||
(683,568
|
)
|
|||||||
Furniture and Home Furnishings Stores (0.60)%
|
||||||||
Bed Bath & Beyond, Inc.
|
(6,080
|
)
|
(136,131
|
)
|
||||
General Merchandise Stores (0.85)%
|
||||||||
Macy’s, Inc.
|
(4,830
|
)
|
(114,954
|
)
|
||||
PriceSmart, Inc.
|
(890
|
)
|
(76,095
|
)
|
||||
(191,049
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Health and Personal Care Stores (0.55)%
|
||||||||
Ulta Beauty, Inc.
|
(563
|
)
|
$
|
(124,823
|
)
|
|||
Insurance Carriers and Related Activities (3.32)%
|
||||||||
American International Group, Inc.
|
(1,920
|
)
|
(115,123
|
)
|
||||
AmTrust Financial Services, Inc.
|
(13,101
|
)
|
(126,294
|
)
|
||||
Brighthouse Financial, Inc.
|
(2,150
|
)
|
(126,399
|
)
|
||||
Chubb Ltd. (a)
|
(840
|
)
|
(127,772
|
)
|
||||
RLI Corp.
|
(2,120
|
)
|
(126,628
|
)
|
||||
Willis Towers Watson PLC (a)
|
(800
|
)
|
(128,640
|
)
|
||||
(750,856
|
)
|
|||||||
Machinery Manufacturing (2.28)%
|
||||||||
Flowserve Corp.
|
(3,080
|
)
|
(131,146
|
)
|
||||
General Electric Co.
|
(6,910
|
)
|
(126,384
|
)
|
||||
IMAX Corp. (a)
|
(5,045
|
)
|
(128,143
|
)
|
||||
Middleby Corp.
|
(1,020
|
)
|
(130,070
|
)
|
||||
(515,743
|
)
|
|||||||
Management of Companies and Enterprises (1.06)%
|
||||||||
ServisFirst Bancshares, Inc.
|
(2,980
|
)
|
(125,130
|
)
|
||||
Simmons First National Corp. – Class A
|
(2,000
|
)
|
(115,800
|
)
|
||||
(240,930
|
)
|
|||||||
Merchant Wholesalers, Durable Goods (2.25)%
|
||||||||
Avnet, Inc.
|
(2,645
|
)
|
(109,529
|
)
|
||||
GCP Applied Technologies, Inc.
|
(3,890
|
)
|
(127,398
|
)
|
||||
WESCO International, Inc.
|
(2,080
|
)
|
(136,344
|
)
|
||||
Zendesk, Inc.
|
(4,063
|
)
|
(136,557
|
)
|
||||
(509,828
|
)
|
|||||||
Merchant Wholesalers, Nondurable Goods (0.30)%
|
||||||||
Global Blood Therapeutics, Inc.
|
(1,720
|
)
|
(67,854
|
)
|
||||
Mining (except Oil and Gas) (1.60)%
|
||||||||
Martin Marietta Materials, Inc.
|
(580
|
)
|
(120,866
|
)
|
||||
Summit Materials, Inc. – Class A
|
(3,580
|
)
|
(110,121
|
)
|
||||
Vulcan Materials Co.
|
(1,039
|
)
|
(130,550
|
)
|
||||
(361,537
|
)
|
|||||||
Miscellaneous Manufacturing (2.56)%
|
||||||||
DENTSPLY SIRONA, Inc.
|
(2,020
|
)
|
(135,360
|
)
|
||||
Mattel, Inc.
|
(5,900
|
)
|
(107,675
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Miscellaneous Manufacturing (2.56)% (Continued)
|
||||||||
Nevro Corp.
|
(1,170
|
)
|
$
|
(87,539
|
)
|
|||
NuVasive, Inc.
|
(2,050
|
)
|
(118,265
|
)
|
||||
Penumbra, Inc.
|
(1,236
|
)
|
(130,151
|
)
|
||||
(578,990
|
)
|
|||||||
Motion Picture and Sound Recording Industries (0.66)%
|
||||||||
Regal Entertainment Group – Class A
|
(7,390
|
)
|
(149,352
|
)
|
||||
Motor Vehicle and Parts Dealers (0.65)%
|
||||||||
Advance Auto Parts, Inc.
|
(1,473
|
)
|
(148,773
|
)
|
||||
Nonmetallic Mineral Product Manufacturing (0.61)%
|
||||||||
USG Corp.
|
(3,659
|
)
|
(139,079
|
)
|
||||
Nonstore Retailers (0.61)%
|
||||||||
WW Grainger, Inc.
|
(619
|
)
|
(136,991
|
)
|
||||
Oil and Gas Extraction (2.81)%
|
||||||||
Callon Petroleum Co.
|
(10,672
|
)
|
(117,819
|
)
|
||||
Extraction Oil & Gas, Inc.
|
(7,939
|
)
|
(119,561
|
)
|
||||
Jagged Peak Energy, Inc.
|
(9,110
|
)
|
(138,291
|
)
|
||||
Parsley Energy, Inc. – Class A
|
(4,727
|
)
|
(126,967
|
)
|
||||
RSP Permian, Inc.
|
(3,680
|
)
|
(135,167
|
)
|
||||
(637,805
|
)
|
|||||||
Petroleum and Coal Products Manufacturing (0.56)%
|
||||||||
Valvoline, Inc.
|
(5,175
|
)
|
(127,616
|
)
|
||||
Pipeline Transportation (0.51)%
|
||||||||
South Jersey Industries, Inc.
|
(3,430
|
)
|
(116,140
|
)
|
||||
Plastics and Rubber Products Manufacturing (1.60)%
|
||||||||
Cooper Tire & Rubber Co.
|
(3,385
|
)
|
(124,399
|
)
|
||||
Newell Brands, Inc.
|
(3,515
|
)
|
(108,860
|
)
|
||||
Sealed Air Corp.
|
(2,679
|
)
|
(128,726
|
)
|
||||
(361,985
|
)
|
|||||||
Primary Metal Manufacturing (0.44)%
|
||||||||
Finisar Corp.
|
(4,942
|
)
|
(98,889
|
)
|
||||
Printing and Related Support Activities (0.46)%
|
||||||||
Centennial Resource Development, Inc. – Class A
|
(5,100
|
)
|
(103,479
|
)
|
||||
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Professional, Scientific, and Technical Services (2.69)%
|
||||||||
2U, Inc.
|
(1,940
|
)
|
$
|
(124,354
|
)
|
|||
Diebold Nixdorf, Inc.
|
(5,537
|
)
|
(106,310
|
)
|
||||
Macquarie Infrastructure Corp.
|
(1,911
|
)
|
(127,617
|
)
|
||||
MuleSoft, Inc. – Class A
|
(5,490
|
)
|
(125,995
|
)
|
||||
Nutanix, Inc. – Class A
|
(3,810
|
)
|
(124,968
|
)
|
||||
(609,244
|
)
|
|||||||
Publishing Industries (except Internet) (3.33)%
|
||||||||
Akamai Technologies, Inc.
|
(2,325
|
)
|
(129,689
|
)
|
||||
Coupa Software, Inc.
|
(3,580
|
)
|
(126,839
|
)
|
||||
Manhattan Associates, Inc.
|
(2,744
|
)
|
(121,696
|
)
|
||||
TiVo Corp.
|
(6,760
|
)
|
(120,328
|
)
|
||||
Twilio, Inc. – Class A
|
(4,730
|
)
|
(126,102
|
)
|
||||
Ultimate Software Group, Inc.
|
(602
|
)
|
(127,040
|
)
|
||||
(751,694
|
)
|
|||||||
Rental and Leasing Services (0.47)%
|
||||||||
AMERCO
|
(287
|
)
|
(106,382
|
)
|
||||
Securities, Commodity Contracts, and Other
|
||||||||
Financial Investments and Related Activities (3.88)%
|
||||||||
Charles Schwab Corp.
|
(2,494
|
)
|
(121,682
|
)
|
||||
CommScope Holding Company, Inc.
|
(3,000
|
)
|
(107,970
|
)
|
||||
Financial Engines, Inc.
|
(4,141
|
)
|
(115,534
|
)
|
||||
INC Research Holdings, Inc. – Class A
|
(1,860
|
)
|
(71,238
|
)
|
||||
Interactive Brokers Group, Inc. – Class A
|
(1,692
|
)
|
(96,546
|
)
|
||||
MarketAxess Holdings, Inc.
|
(589
|
)
|
(115,014
|
)
|
||||
TD Ameritrade Holding Corp.
|
(2,448
|
)
|
(125,264
|
)
|
||||
Vantiv, Inc. – Class A
|
(1,640
|
)
|
(123,000
|
)
|
||||
(876,248
|
)
|
|||||||
Support Activities for Mining (1.09)%
|
||||||||
Patterson-UTI Energy, Inc.
|
(5,011
|
)
|
(108,187
|
)
|
||||
SemGroup Corp. – Class A
|
(5,707
|
)
|
(136,968
|
)
|
||||
(245,155
|
)
|
|||||||
Telecommunications (0.68)%
|
||||||||
CenturyLink, Inc.
|
(5,423
|
)
|
(79,122
|
)
|
||||
Zayo Group Holdings, Inc.
|
(2,097
|
)
|
(74,108
|
)
|
||||
(153,230
|
)
|
|||||||
Transportation Equipment Manufacturing (2.16)%
|
||||||||
Brunswick Corp.
|
(1,928
|
)
|
(106,715
|
)
|
||||
Tesla, Inc.
|
(420
|
)
|
(129,717
|
)
|
||||
TransDigm Group, Inc.
|
(467
|
)
|
(132,530
|
)
|
Schedule of Securities Sold Short (Continued)
|
Shares
|
Value
|
|||||||
Transportation Equipment Manufacturing (2.16)% (Continued)
|
||||||||
Wabtec Corp.
|
(1,570
|
)
|
$
|
(120,733
|
)
|
|||
(489,695
|
)
|
|||||||
Truck Transportation (0.50)%
|
||||||||
Knight-Swift Transportation Holdings, Inc. – Class A
|
(2,670
|
)
|
(113,956
|
)
|
||||
Utilities (3.48)%
|
||||||||
Aqua America, Inc.
|
(3,595
|
)
|
(136,574
|
)
|
||||
Cheniere Energy, Inc.
|
(2,395
|
)
|
(115,726
|
)
|
||||
Dominion Energy, Inc.
|
(1,550
|
)
|
(130,402
|
)
|
||||
Duke Energy Corp.
|
(1,520
|
)
|
(135,554
|
)
|
||||
Entergy Corp.
|
(1,570
|
)
|
(135,773
|
)
|
||||
Public Service Enterprise Group, Inc.
|
(2,526
|
)
|
(134,030
|
)
|
||||
(788,059
|
)
|
|||||||
Waste Management and Remediation Services (0.48)%
|
||||||||
Stericycle, Inc.
|
(1,640
|
)
|
(108,748
|
)
|
||||
Wood Product Manufacturing (0.58)%
|
||||||||
Masonite International Corp. (a)
|
(1,770
|
)
|
(130,361
|
)
|
||||
TOTAL COMMON STOCKS (Proceeds $17,199,682)
|
(17,582,691
|
)
|
||||||
REAL ESTATE INVESTMENT TRUSTS (7.20)%
|
||||||||
Acadia Realty Trust
|
(4,151
|
)
|
(116,353
|
)
|
||||
American Campus Communities, Inc.
|
(2,452
|
)
|
(103,916
|
)
|
||||
Boston Properties, Inc.
|
(964
|
)
|
(120,866
|
)
|
||||
Colony NorthStar, Inc. – Class A
|
(9,641
|
)
|
(117,524
|
)
|
||||
Crown Castle International Corp.
|
(1,082
|
)
|
(122,266
|
)
|
||||
Government Properties Income Trust
|
(7,447
|
)
|
(138,887
|
)
|
||||
HCP, Inc.
|
(3,601
|
)
|
(95,210
|
)
|
||||
Healthcare Trust of America, Inc. – Class A
|
(1,577
|
)
|
(48,240
|
)
|
||||
Kilroy Realty Corp.
|
(1,906
|
)
|
(143,674
|
)
|
||||
Macerich Co.
|
(2,223
|
)
|
(143,939
|
)
|
||||
Regency Centers Corp.
|
(2,092
|
)
|
(141,859
|
)
|
||||
Sabra Health Care REIT, Inc.
|
(5,408
|
)
|
(104,050
|
)
|
||||
Taubman Centers, Inc.
|
(1,683
|
)
|
(98,775
|
)
|
||||
Uniti Group, Inc.
|
(8,300
|
)
|
(133,630
|
)
|
||||
TOTAL REAL ESTATE INVESTMENT TRUSTS
|
||||||||
(Proceeds $1,675,234)
|
(1,629,189
|
)
|
||||||
TOTAL SECURITIES SOLD SHORT (Proceeds $18,874,916)
|
$
|
(19,211,880
|
)
|
Ltd. | Limited Liability Company. |
PLC
|
Public Limited Company.
|
Statements of Assets and Liabilities
|
Core Plus
|
Opportunities
|
Market
|
||||||||||
Fund
|
Fund
|
Neutral Fund
|
||||||||||
Assets
|
||||||||||||
Investments, at value (cost $145,257,288,
|
||||||||||||
$83,789,335 and $21,702,609, respectively)(1)
|
$
|
177,832,211
|
$
|
98,518,016
|
$
|
24,822,511
|
||||||
Receivable for investments sold
|
—
|
706,972
|
10,356,047
|
|||||||||
Deposit for short sales at broker
|
8,192,843
|
1,615,866
|
16,456,578
|
|||||||||
Dividends and interest receivable
|
302,653
|
70,474
|
37,385
|
|||||||||
Receivable for Fund shares sold
|
—
|
5,000
|
—
|
|||||||||
Receivable for securities lending
|
2,036
|
10,098
|
151
|
|||||||||
Receivable from Broker
|
—
|
—
|
981
|
|||||||||
Other assets
|
14,600
|
14,261
|
6,520
|
|||||||||
Total Assets
|
186,344,343
|
100,940,687
|
51,680,173
|
|||||||||
Liabilities
|
||||||||||||
Securities sold short, at value
|
||||||||||||
(proceeds $54,933,581, $28,644,279 and
|
||||||||||||
$18,874,916, respectively)
|
55,026,775
|
29,166,381
|
19,211,880
|
|||||||||
Payable for Fund shares redeemed
|
48,505
|
46,106
|
861
|
|||||||||
Payable for investments purchased
|
—
|
—
|
9,755,205
|
|||||||||
Dividends payable on short positions
|
72,753
|
13,818
|
24,802
|
|||||||||
Payable to broker for interest expense
|
17,148
|
10,214
|
—
|
|||||||||
Payable for collateral on
|
||||||||||||
securities loaned (Note 11)
|
2,438,410
|
2,703,559
|
—
|
|||||||||
Payable to Adviser
|
103,240
|
56,041
|
11,822
|
|||||||||
Payable to affiliates
|
42,757
|
27,097
|
27,699
|
|||||||||
Accrued expenses and other liabilities
|
29,481
|
29,086
|
23,610
|
|||||||||
Total Liabilities
|
57,779,069
|
32,052,302
|
29,055,879
|
|||||||||
Net Assets
|
$
|
128,565,274
|
$
|
68,888,385
|
$
|
22,624,294
|
||||||
Net Assets Consist Of:
|
||||||||||||
Paid-in capital
|
$
|
80,013,267
|
$
|
47,017,687
|
$
|
20,864,885
|
||||||
Accumulated undistributed
|
||||||||||||
net investment income
|
219,039
|
—
|
—
|
|||||||||
Accumulated net realized gain (loss)
|
15,851,239
|
7,664,119
|
(1,023,529
|
)
|
||||||||
Net unrealized appreciation (depreciation) on
|
||||||||||||
Investments
|
32,574,923
|
14,728,681
|
3,119,902
|
|||||||||
Securities sold short
|
(93,194
|
)
|
(522,102
|
)
|
(336,964
|
)
|
||||||
Net Assets
|
$
|
128,565,274
|
$
|
68,888,385
|
$
|
22,624,294
|
||||||
(1) Includes loaned securities of
|
$
|
2,444,718
|
$
|
2,673,711
|
$
|
0
|
||||||
Institutional Class Shares
|
||||||||||||
Net Assets
|
$
|
128,565,274
|
$
|
68,888,385
|
$
|
22,624,294
|
||||||
Shares of beneficial interest outstanding
|
||||||||||||
(unlimited number of shares authorized,
|
||||||||||||
$0.001 par value)
|
6,112,553
|
5,012,351
|
2,105,574
|
|||||||||
Net asset value, redemption price
|
||||||||||||
and offering price per share
|
$
|
21.03
|
$
|
13.74
|
$
|
10.74
|
Statements of Operations
|
Core Plus
|
Opportunities
|
Market
|
||||||||||
Fund
|
Fund
|
Neutral Fund
|
||||||||||
Investment Income
|
||||||||||||
Dividend income(1)
|
$
|
2,898,310
|
$
|
1,167,827
|
$
|
380,223
|
||||||
Interest income
|
13,279
|
4,624
|
19,050
|
|||||||||
Securities lending income
|
38,449
|
56,556
|
4,334
|
|||||||||
Total Investment Income
|
2,950,038
|
1,229,007
|
403,607
|
|||||||||
Expenses
|
||||||||||||
Management fees
|
1,276,160
|
715,828
|
210,913
|
|||||||||
Interest and broker expenses
|
529,412
|
400,732
|
—
|
|||||||||
Dividends on short positions
|
521,384
|
321,643
|
205,115
|
|||||||||
Administration fees
|
159,384
|
93,403
|
82,095
|
|||||||||
Transfer agent fees and expenses
|
59,154
|
33,741
|
14,112
|
|||||||||
Federal and state registration fees
|
30,992
|
12,762
|
18,782
|
|||||||||
Custody fees
|
19,992
|
20,359
|
11,709
|
|||||||||
Audit and tax fees
|
19,501
|
19,501
|
19,495
|
|||||||||
Legal fees
|
17,490
|
14,836
|
10,169
|
|||||||||
Fund accounting fees
|
15,066
|
13,070
|
12,118
|
|||||||||
Reports to shareholders
|
11,948
|
10,272
|
1,416
|
|||||||||
Chief Compliance Officer fees
|
9,967
|
9,800
|
9,800
|
|||||||||
Trustees’ fees
|
6,684
|
6,670
|
6,291
|
|||||||||
Distribution and service fees –
|
||||||||||||
Investment Class(2)
|
3,273
|
—
|
—
|
|||||||||
Other expenses
|
10,079
|
8,405
|
4,923
|
|||||||||
Total Expenses
|
2,690,486
|
1,681,022
|
606,938
|
|||||||||
Expense waiver by Adviser (Note 4)
|
—
|
—
|
(85,383
|
)
|
||||||||
Net Expenses
|
2,690,486
|
1,681,022
|
521,555
|
|||||||||
Net Investment Income (Loss)
|
259,552
|
(452,015
|
)
|
(117,948
|
)
|
|||||||
Realized and Unrealized
|
||||||||||||
Gain (Loss) on Investments
|
||||||||||||
Net realized gain (loss) from:
|
||||||||||||
Investments
|
26,250,576
|
17,615,411
|
3,044,937
|
|||||||||
Short transactions
|
(5,198,534
|
)
|
(4,479,068
|
)
|
(3,506,777
|
)
|
||||||
Change in net unrealized
|
||||||||||||
appreciation (depreciation) on:
|
||||||||||||
Investments
|
2,548,707
|
(2,023,861
|
)
|
907,635
|
||||||||
Short transactions
|
(1,960,431
|
)
|
(110,460
|
)
|
595,967
|
|||||||
Realized and Unrealized
|
||||||||||||
Gain on Investments
|
21,640,318
|
11,002,022
|
1,041,762
|
|||||||||
Net Increase in Net Assets from Operations
|
$
|
21,899,870
|
$
|
10,550,007
|
$
|
923,814
|
||||||
(1)
|
Net of $366, $1,045, and $52 in dividend withholding tax for the Core Plus Fund, Opportunities Fund and Market Neutral Fund, respectively.
|
(2)
|
The Investment Class of the Core Plus Fund converted to Institutional Class shares on March 27, 2017. See Note 1 to the financial statements.
|
Statements of Changes in Net Assets
|
Year Ended
|
Year Ended
|
|||||||
November 30, 2017
|
November 30, 2016
|
|||||||
From Operations
|
||||||||
Net investment income
|
$
|
259,552
|
$
|
1,043,403
|
||||
Net realized gain (loss) from:
|
||||||||
Investments
|
26,250,576
|
5,128,110
|
||||||
Short transactions
|
(5,198,534
|
)
|
9,162,554
|
|||||
Change in net unrealized
|
||||||||
appreciation (depreciation) on:
|
||||||||
Investments
|
2,548,707
|
(5,321,490
|
)
|
|||||
Short transactions
|
(1,960,431
|
)
|
(7,812,963
|
)
|
||||
Net increase in net assets from operations
|
21,899,870
|
2,199,614
|
||||||
From Distributions
|
||||||||
Net investment income – Institutional Class
|
(1,185,521
|
)
|
(825,056
|
)
|
||||
Net investment income – Investment Class(1)
|
(24,153
|
)
|
(13,170
|
)
|
||||
Net realized gain on investments –
|
||||||||
Institutional Class
|
(4,226,829
|
)
|
(13,520,585
|
)
|
||||
Net realized gain on investments –
|
||||||||
Investment Class(1)
|
(139,053
|
)
|
(598,326
|
)
|
||||
Net decrease in net assets resulting
|
||||||||
from distributions paid
|
(5,575,556
|
)
|
(14,957,137
|
)
|
||||
From Capital Share Transactions
|
||||||||
Proceeds from shares sold – Institutional Class
|
14,370,696
|
20,865,722
|
||||||
Proceeds from shares sold – Investment Class(1)
|
91,813
|
1,123,654
|
||||||
Proceeds from exchange of Investment Class(1)
|
3,788,824
|
—
|
||||||
Net asset value of shares issued in reinvestment of
|
||||||||
distributions to shareholders – Institutional Class
|
4,037,834
|
11,864,999
|
||||||
Net asset value of shares issued in reinvestment of
|
||||||||
distributions to shareholders – Investment Class(1)
|
154,592
|
608,921
|
||||||
Payments for shares redeemed – Institutional Class
|
(35,807,761
|
)
|
(120,637,738
|
)
|
||||
Payments for shares redeemed –
|
||||||||
Investment Class(1)
|
(660,570
|
)
|
(6,701,237
|
)
|
||||
Payments for exchange to Institutional Class
|
(3,788,824
|
)
|
—‚
|
|||||
Net decrease in net assets from capital
|
||||||||
share transactions
|
(17,813,396
|
)
|
(92,875,679
|
)
|
||||
Total Decrease In Net Assets
|
(1,489,082
|
)
|
(105,633,202
|
)
|
||||
Net Assets
|
||||||||
Beginning of year
|
130,054,356
|
235,687,558
|
||||||
End of year
|
$
|
128,565,274
|
$
|
130,054,356
|
||||
Accumulated Undistributed
|
||||||||
Net Investment Income
|
$
|
219,039
|
$
|
1,083,095
|
(1)
|
The Investment Class shares converted to Institutional Class shares on March 27, 2017. See Note 1 to the financial statements.
|
Statements of Changes in Net Assets
|
Year Ended
|
Year Ended
|
|||||||
November 30, 2017
|
November 30, 2016
|
|||||||
From Operations
|
||||||||
Net investment income (loss)
|
$
|
(452,015
|
)
|
$
|
88,714
|
|||
Net realized gain (loss) from:
|
||||||||
Investments
|
17,615,411
|
(488,537
|
)
|
|||||
Short transactions
|
(4,479,068
|
)
|
(804,338
|
)
|
||||
Change in net unrealized
|
||||||||
appreciation (depreciation) on:
|
||||||||
Investments
|
(2,023,861
|
)
|
9,496,090
|
|||||
Short transactions
|
(110,460
|
)
|
(2,582,696
|
)
|
||||
Net increase in net assets from operations
|
10,550,007
|
5,709,233
|
||||||
From Distributions
|
||||||||
Net realized gain on investments –
|
||||||||
Institutional Class
|
—
|
(785,835
|
)
|
|||||
Net decrease in net assets resulting
|
||||||||
from distributions paid
|
—
|
(785,835
|
)
|
|||||
From Capital Share Transactions
|
||||||||
Proceeds from shares sold – Institutional Class
|
7,409,537
|
11,656,066
|
||||||
Net asset value of shares issued in reinvestment of
|
||||||||
distributions to shareholders – Institutional Class
|
—
|
760,541
|
||||||
Payments for shares redeemed –
|
||||||||
Institutional Class
|
(27,061,203
|
)
|
(24,885,662
|
)
|
||||
Net decrease in net assets from capital
|
||||||||
share transactions
|
(19,651,666
|
)
|
(12,469,055
|
)
|
||||
Total Decrease In Net Assets
|
(9,101,659
|
)
|
(7,545,657
|
)
|
||||
Net Assets
|
||||||||
Beginning of year
|
77,990,044
|
85,535,701
|
||||||
End of year
|
$
|
68,888,385
|
$
|
77,990,044
|
||||
Accumulated Undistributed Net Investment Loss
|
$
|
—
|
$
|
—
|
Statements of Changes in Net Assets
|
Year Ended
|
Period Ended
|
|||||||
November 30, 2017
|
November 30, 2016(1)
|
|||||||
From Operations
|
||||||||
Net investment loss
|
$
|
(117,948
|
)
|
$
|
(100,682
|
)
|
||
Net realized gain (loss) from:
|
||||||||
Investments
|
3,044,937
|
1,135,708
|
||||||
Short transactions
|
(3,506,777
|
)
|
(1,652,937
|
)
|
||||
Change in net unrealized
|
||||||||
appreciation (depreciation) on:
|
||||||||
Investments
|
907,635
|
2,212,267
|
||||||
Short transactions
|
595,967
|
(932,931
|
)
|
|||||
Net increase in net assets from operations
|
923,814
|
661,425
|
||||||
From Capital Share Transactions
|
||||||||
Proceeds from shares sold – Institutional Class
|
7,506,103
|
14,646,195
|
||||||
Proceeds from shares issued from
|
||||||||
transfers in-kind – Institutional Class(2)
|
—
|
2,495,039
|
||||||
Payments for shares redeemed –
|
||||||||
Institutional Class
|
(2,677,366
|
)
|
(930,916
|
)
|
||||
Net increase in net assets from capital
|
||||||||
share transactions
|
4,828,737
|
16,210,318
|
||||||
Total Increase In Net Assets
|
5,752,551
|
16,871,743
|
||||||
Net Assets
|
||||||||
Beginning of year
|
16,871,743
|
—
|
||||||
End of year
|
$
|
22,624,294
|
$
|
16,871,743
|
||||
Accumulated Undistributed Net Investment Loss
|
$
|
—
|
$
|
—
|
(1)
|
The Fund commenced operations on January 29, 2016.
|
(2)
|
See Note 8 to the Financial Statements.
|
Statements of Cash Flows
|
Core Plus
|
Opportunities
|
Market
|
||||||||||
Fund
|
Fund
|
Neutral Fund
|
||||||||||
CASH FLOWS FROM OPERATING ACTIVITIES:
|
||||||||||||
Net increase in net
|
||||||||||||
assets resulting from operations
|
$
|
21,899,870
|
$
|
10,550,007
|
$
|
923,814
|
||||||
Adjustments to reconcile net increase in net
|
||||||||||||
assets from operations to net cash used in
|
||||||||||||
operating activities:
|
||||||||||||
Purchases of investments
|
(359,117,984
|
)
|
(255,787,494
|
)
|
(59,200,659
|
)
|
||||||
Investments purchased with
|
||||||||||||
proceeds from securities lending, net
|
506,959
|
(2,172,701
|
)
|
412,474
|
||||||||
Purchases of short-term investments, net
|
3,132,221
|
(5,357
|
)
|
1,536,393
|
||||||||
Proceeds from sales of
|
||||||||||||
long-term investments
|
381,251,412
|
281,474,466
|
56,484,547
|
|||||||||
Return of capital distributions received
|
||||||||||||
from underlying investments
|
233,280
|
102,745
|
(110,600
|
)
|
||||||||
Decrease in payable for distribution fees(1)
|
(9,976
|
)
|
—
|
—
|
||||||||
(Increase)/Decrease in dividends
|
||||||||||||
and interest receivable
|
2,227
|
72,375
|
(5,083
|
)
|
||||||||
Increase in deposits at broker for short sales
|
(8,165,646
|
)
|
(837,968
|
)
|
(5,698,286
|
)
|
||||||
(Increase)/Decrease in receivable
|
||||||||||||
for investment securities sold
|
2,344,776
|
(706,972
|
)
|
(10,356,047
|
)
|
|||||||
(Increase)/Decrease in receivable
|
||||||||||||
for securities lending
|
1,482
|
(8,841
|
)
|
194
|
||||||||
Increase in receivable from broker
|
—
|
—
|
(981
|
)
|
||||||||
(Increase)/Decrease in prepaid expenses
|
||||||||||||
and other assets
|
4,560
|
(6,816
|
)
|
(3,161
|
)
|
|||||||
Proceeds from securities sold short
|
171,821,599
|
107,777,763
|
67,993,862
|
|||||||||
Purchases to cover securities sold short
|
(165,666,990
|
)
|
(111,928,665
|
)
|
(65,097,226
|
)
|
||||||
Increase/(Decrease) in payable
|
||||||||||||
for investment securities purchased
|
(2,482,194
|
)
|
—
|
9,755,205
|
||||||||
Increase/(Decrease) in payable for collateral
|
||||||||||||
on securities loaned
|
(506,959
|
)
|
2,172,701
|
(412,474
|
)
|
|||||||
Increase/(Decrease) in dividends payable
|
||||||||||||
on short positions
|
31,953
|
(1,501
|
)
|
14,109
|
||||||||
Increase/(Decrease) in payable to broker
|
1,026
|
323
|
(2,142
|
)
|
||||||||
Increase/(Decrease) in payable to Adviser
|
2,316
|
(5,310
|
)
|
1,681
|
||||||||
Decrease in accrued expenses and other
|
||||||||||||
liabilities and expenses payable
|
(23,656
|
)
|
(3,108
|
)
|
(4,151
|
)
|
||||||
Unrealized depreciation/(appreciation)
|
||||||||||||
on investments
|
(2,548,707
|
)
|
2,023,861
|
(907,635
|
)
|
|||||||
Unrealized depreciation/(appreciation)
|
||||||||||||
on short transactions
|
1,960,431
|
110,460
|
(595,967
|
)
|
||||||||
Net realized gain on investments
|
(26,250,576
|
)
|
(17,615,411
|
)
|
(3,044,937
|
)
|
||||||
Net realized loss on short transactions
|
5,198,534
|
4,479,068
|
3,506,777
|
|||||||||
Net cash provided/(used)
|
||||||||||||
in operating activities
|
23,619,958
|
19,683,625
|
(4,810,293
|
)
|
Statements of Cash Flows (Continued)
|
Core Plus
|
Opportunities
|
Market
|
||||||||||
Fund
|
Fund
|
Neutral Fund
|
||||||||||
CASH FLOWS FROM FINANCING ACTIVITIES:
|
||||||||||||
Proceeds from shares sold
|
$
|
14,489,166
|
$
|
7,425,663
|
$
|
7,506,103
|
||||||
Proceeds from exchange of Investment Class
|
3,788,824
|
—
|
—
|
|||||||||
Payment on shares redeemed
|
(36,725,994
|
)
|
(27,109,288
|
)
|
(2,695,810
|
)
|
||||||
Payment for exchange to Institutional Class
|
(3,788,824
|
)
|
—
|
—
|
||||||||
Cash distributions paid to shareholders
|
(1,383,130
|
)
|
—
|
—
|
||||||||
Net cash provided/(used) by
|
||||||||||||
financing activities
|
(23,619,958
|
)
|
(19,683,625
|
)
|
4,810,293
|
|||||||
Net change in cash
|
$
|
—
|
$
|
—
|
$
|
—
|
||||||
CASH:
|
||||||||||||
Beginning Balance
|
—
|
—
|
—
|
|||||||||
Ending Balance
|
$
|
—
|
$
|
—
|
$
|
—
|
||||||
SUPPLEMENTAL DISCLOSURES:
|
||||||||||||
Cash paid for interest
|
528,386
|
400,409
|
2,142
|
|||||||||
Non-cash financing activities –
|
||||||||||||
distributions reinvested
|
4,192,426
|
—
|
—
|
|||||||||
Non-cash financing activities –
|
||||||||||||
decrease in receivable for
|
||||||||||||
Fund shares sold
|
(26,657
|
)
|
(16,126
|
)
|
—
|
|||||||
Non-cash financing activities –
|
||||||||||||
decrease in payable for
|
||||||||||||
Fund shares redeemed
|
257,663
|
48,085
|
18,444
|
(1)
|
The Investment Class shares converted to Institutional Class shares on March 27, 2017. See Note 1 to the Financial Statements.
|
Financial Highlights – Institutional Class
|
(1)
|
Per share net investment income was calculated using the daily average shares outstanding method.
|
(2)
|
Total return in the table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends.
|
(3)
|
The ratio of expenses to average net assets includes dividends on short positions, interest and broker expenses. The annualized before waiver, expense reimbursement and recoupments and after waiver, expense reimbursement and recoupments ratios excluding dividends on short positions, interest and broker expenses were 1.28% and 1.28%, 1.31% and 1.31%, 1.26% and 1.26%, 1.24% and 1.24% and 1.28% and 1.31% for the years ended November 30, 2017, November 30, 2016, November 30, 2015, November 30, 2014, and November 30, 2013, respectively.
|
(4)
|
Securities redeemed-in-kind were excluded from the computation of the ratio.
|
Year Ended November 30,
|
||||||||||||||||||
2017
|
2016
|
2015
|
2014
|
2013
|
||||||||||||||
$
|
18.47
|
$
|
18.63
|
$
|
18.11
|
$
|
17.65
|
$
|
13.97
|
|||||||||
0.04
|
0.11
|
0.04
|
0.02
|
0.11
|
||||||||||||||
3.32
|
0.93
|
0.53
|
2.02
|
4.18
|
||||||||||||||
3.36
|
1.04
|
0.57
|
2.04
|
4.29
|
||||||||||||||
(0.18
|
)
|
(0.07
|
)
|
(0.05
|
)
|
(0.09
|
)
|
(0.07
|
)
|
|||||||||
(0.62
|
)
|
(1.13
|
)
|
—
|
(1.49
|
)
|
(0.54
|
)
|
||||||||||
(0.80
|
)
|
(1.20
|
)
|
(0.05
|
)
|
(1.58
|
)
|
(0.61
|
)
|
|||||||||
$
|
21.03
|
$
|
18.47
|
$
|
18.63
|
$
|
18.11
|
$
|
17.65
|
|||||||||
18.81
|
%
|
6.04
|
%
|
3.15
|
%
|
12.18
|
%
|
31.90
|
%
|
|||||||||
$
|
128,565
|
$
|
125,815
|
$
|
225,867
|
$
|
316,621
|
$
|
276,054
|
|||||||||
2.11
|
%
|
2.21
|
%
|
2.24
|
%
|
2.24
|
%
|
2.21
|
%
|
|||||||||
2.11
|
%
|
2.21
|
%
|
2.24
|
%
|
2.24
|
%
|
2.23
|
%
|
|||||||||
0.20
|
%
|
0.65
|
%
|
0.24
|
%
|
0.15
|
%
|
0.70
|
%
|
|||||||||
0.20
|
%
|
0.65
|
%
|
0.24
|
%
|
0.15
|
%
|
0.68
|
%
|
|||||||||
214.61
|
%
|
260.81
|
%
|
251.00
|
%
|
267.84
|
%
|
247.67
|
%(4)
|
Financial Highlights – Institutional Class
|
(1)
|
The Fund commenced operations on November 29, 2013.
|
(2)
|
Per share net investment income was calculated using average shares outstanding.
|
(3)
|
Amount is less than 0.5 cent per share.
|
(4)
|
Total return in the table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends.
|
(5)
|
Not annualized for periods less than a full year.
|
(6)
|
The ratio of expenses to average net assets includes dividends on short positions, interest and broker expenses. The annualized before waiver and expense reimbursement and after waiver and expense reimbursement ratios excluding dividends on short positions, interest and broker expenses were 1.34% and 1.34%, 1.36% and 1.36%, 1.34% and 1.34%, and 1.50% and 1.50% for the years ended November 30, 2017, November 30, 2016, November 30, 2015 and November 30, 2014, respectively.
|
(7)
|
Annualized for periods less than one year.
|
Year Ended November 30,
|
||||||||||||||
2017
|
2016
|
2015
|
2014(1)
|
|||||||||||
$
|
11.82
|
$
|
11.04
|
$
|
10.63
|
$
|
10.00
|
|||||||
(0.08
|
)
|
0.01
|
(0.11
|
)
|
(0.10
|
)
|
||||||||
2.00
|
0.87
|
0.52
|
0.73
|
|||||||||||
1.92
|
0.88
|
0.41
|
0.63
|
|||||||||||
—
|
—
|
—
|
(0.00
|
)(3)
|
||||||||||
—
|
(0.10
|
)
|
—
|
0.00
|
||||||||||
—
|
(0.10
|
)
|
—
|
—
|
||||||||||
$
|
13.74
|
$
|
11.82
|
$
|
11.04
|
$
|
10.63
|
|||||||
16.24
|
%
|
8.11
|
%
|
3.76
|
%
|
6.34
|
%
|
|||||||
$
|
68,888
|
$
|
77,990
|
$
|
85,536
|
$
|
69,026
|
|||||||
2.35
|
%
|
2.57
|
%
|
2.63
|
%
|
2.69
|
%
|
|||||||
2.35
|
%
|
2.57
|
%
|
2.63
|
%
|
2.69
|
%
|
|||||||
(0.63
|
)%
|
0.12
|
%
|
(0.99
|
)%
|
(1.02
|
)%
|
|||||||
(0.63
|
)%
|
0.12
|
%
|
(0.99
|
)%
|
(1.02
|
)%
|
|||||||
262.18
|
%
|
316.15
|
%
|
319.97
|
%
|
281.92
|
%
|
Financial Highlights – Institutional Class
|
Year Ended
|
Period Ended
|
|||||||
November 30,
|
November 30,
|
|||||||
2017
|
2016(1)
|
|||||||
Net Asset Value, Beginning of Period
|
$
|
10.30
|
$
|
10.00
|
||||
Income from investment operations:
|
||||||||
Net investment loss(2)
|
(0.06
|
)
|
(0.07
|
)
|
||||
Net realized and unrealized gain on investments
|
0.50
|
0.37
|
||||||
Total from investment operations
|
0.44
|
0.30
|
||||||
Net Asset Value, End of Period
|
$
|
10.74
|
$
|
10.30
|
||||
Total Return(3)(4)
|
4.37
|
%
|
3.00
|
%
|
||||
Supplemental Data and Ratios:
|
||||||||
Net assets at end of period (000’s)
|
$
|
22,624
|
$
|
16,872
|
||||
Ratio of expenses to average net assets:
|
||||||||
Before waiver and expense reimbursement(5)(6)
|
2.88
|
%
|
4.27
|
%
|
||||
After waiver and expense reimbursement(5)(6)
|
2.47
|
%
|
3.26
|
%
|
||||
Ratio of net investment loss to average net assets:
|
||||||||
Before waiver and expense reimbursement(6)
|
(0.96
|
)%
|
(1.92
|
)%
|
||||
After waiver and expense reimbursement(6)
|
(0.55
|
)%
|
(0.91
|
)%
|
||||
Portfolio turnover rate(4)
|
262.19
|
%
|
218.04
|
%
|
(1)
|
The Fund commenced operations on January 29, 2016.
|
(2
|
)Per share net investment income was calculated using average shares outstanding.
|
(3)
|
Total return in the table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends.
|
(4)
|
Not annualized for periods less than a full year.
|
(5)
|
The ratio of expenses to average net assets includes dividends on short positions, interest and broker expenses. The annualized before waiver and expense reimbursement and after waiver and expense reimbursement ratios excluding dividends on short positions, interest and broker expenses were 1.91% and 1.50%, and 2.51% and 1.50% for the periods ended November 30, 2017 and November 30, 2016, respectively.
|
(6)
|
Annualized for periods less than one year.
|
(1)
|
Organization
|
Trust for Professional Managers (the “Trust”) was organized as a Delaware statutory trust under a Declaration of Trust dated May 29, 2001. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Convergence Core Plus Fund, Convergence Opportunities Fund and Convergence Market Neutral Fund (each, a “Fund” and together the “Funds”) represent distinct diversified series with their own investment objectives and policies within the Trust. The investment objective of the Convergence Core Plus Fund and Convergence Opportunities Fund is long-term capital growth. The investment objective of the Convergence Market Neutral Fund is positive absolute returns. The Trust may issue an unlimited number of shares of beneficial interest at $0.001 par value. The assets of the Funds are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. The Convergence Core Plus Fund became effective on December 29, 2009 and commenced operations on December 29, 2009 and January 31, 2013 for the Institutional Class and Investment Class shares, respectively. Effective February 27, 2017 the Convergence Core Plus Fund ceased offering its Investment Class shares. The remaining Investment Class shares converted to Institutional Class shares on March 27, 2017. The Convergence Opportunities Fund became effective November 29, 2013 and commenced operations on November 29, 2013 for the Institutional Class shares. As of the date of this report, the Investment Class shares of the Convergence Opportunities Fund have not commenced operations. The Convergence Market Neutral Fund became effective January 29, 2016 and commenced operations on January 29, 2016 for the Institutional Class shares. Each class of shares has identical rights and privileges except with respect to the distribution fees, and voting rights on matters affecting a single class of shares. Costs incurred by the Funds in connection with the organization, registration and the initial public offering of shares were paid by Convergence Investment Partners, LLC (the “Adviser”), the Funds’ investment adviser.
|
|
The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 “Financial Services–Investment Companies.”
|
|
(2)
|
Significant Accounting Policies
|
The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. These policies are in conformity with generally accepted accounting principles in the United States of America (“GAAP”).
|
|
(a) Investment Valuation
|
|
Each security owned by the Funds, including long and short positions of common stock and real estate investment trusts, that is listed on a securities exchange is valued at its last sale price on that exchange on the date as of which assets are valued. When the security is listed on more than one exchange, the Funds will use the price of the exchange that the Funds generally consider to be the principal exchange on which the stock is traded.
|
Fund securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”) will be valued at the NASDAQ Official Closing Price (“NOCP”), which may not necessarily represent the last sale price. If there has been no sale on such exchange or on NASDAQ on such day, the security shall be valued at, (i) the mean between the most recent quoted bid and asked prices on such day or (ii) the last sales price on the Composite Market. “Composite Market” means a consolidation of the trade information provided by national securities and foreign exchanges and over-the-counter markets, as published by a pricing service (“Pricing Service”).
|
|
Debt securities, including short-term debt instruments having a maturity of 60 days or less, are valued at the mean in accordance with prices supplied by a Pricing Service. Pricing Services may use various valuation methodologies such as the mean between the bid and the asked prices, matrix pricing and other analytical pricing models as well as market transactions and dealer quotations. If a price is not available from a Pricing Service, the most recent quotation obtained from one or more broker-dealers known to follow the issue will be obtained. Quotations will be valued at the mean between the bid and the offer. Any discount or premium is accreted or amortized using the constant yield 2 method until maturity. In the absence of available quotations, the securities will be priced at fair value.
|
|
Redeemable securities issued by open-end, registered investment companies, including money market funds, are valued at the net asset value (“NAV”) of such companies for purchase and/or redemption orders placed on that day.
|
|
When market quotations are not readily available, any security or other asset is valued at its fair value as determined under procedures approved by the Trust’s Board of Trustees. These fair value procedures will also be used to price a security when corporate events, events in the securities market or world events cause the Adviser to believe that a security’s last sale price may not reflect its actual fair market value. The intended effect of using fair value pricing procedures is to ensure that the Funds are accurately priced.
|
|
FASB Accounting Standards Codification, “Fair Value Measurements and Disclosures” Topic 820 (“ASC 820”), establishes an authoritative definition of fair value and sets out a hierarchy for measuring fair value. ASC 820 requires an entity to evaluate certain factors to determine whether there has been a significant decrease in volume and level of activity for the security such that recent transactions and quoted prices may not be determinative of fair value and further analysis and adjustment may be necessary to estimate fair value. ASC 820 also requires enhanced disclosures regarding the inputs and valuation techniques used to measure fair value in those instances as well as expanded disclosure of valuation levels for each class of investments. These inputs are summarized in the three broad levels listed below:
|
Level 1—
|
Quoted prices in active markets for identical securities.
|
||
Level 2—
|
Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
|
||
Level 3—
|
Significant unobservable inputs (including a Fund’s own assumptions in determining the fair value of investments).
|
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 to value the Funds’ investments carried at fair value as of November 30, 2017:
|
Core Plus Fund
|
|||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||||
Assets(1):
|
|||||||||||||||||
Common Stocks
|
$
|
168,743,574
|
$
|
—
|
$
|
—
|
$
|
168,743,574
|
|||||||||
Real Estate
|
|||||||||||||||||
Investment Trusts
|
6,537,224
|
—
|
—
|
6,537,224
|
|||||||||||||
Investments Purchased
|
|||||||||||||||||
with Proceeds from
|
|||||||||||||||||
Securities Lending
|
2,438,410
|
—
|
—
|
2,438,410
|
|||||||||||||
Short-Term Investments
|
113,003
|
—
|
—
|
113,003
|
|||||||||||||
Total Assets
|
$
|
177,832,211
|
$
|
—
|
$
|
—
|
$
|
177,832,211
|
|||||||||
Liabilities:
|
|||||||||||||||||
Securities Sold Short
|
|||||||||||||||||
Common Stocks
|
$
|
(52,372,357
|
)
|
$
|
—
|
$
|
—
|
$
|
(52,372,357
|
)
|
|||||||
Real Estate
|
|||||||||||||||||
Investment Trusts
|
(2,654,418
|
)
|
—
|
—
|
(2,654,418
|
)
|
|||||||||||
Total Securities
|
|||||||||||||||||
Sold Short
|
$
|
(55,026,775
|
)
|
$
|
—
|
$
|
—
|
$
|
(55,026,775
|
)
|
|||||||
Total Liabilities
|
$
|
(55,026,775
|
)
|
$
|
—
|
$
|
—
|
$
|
(55,026,775
|
)
|
|||||||
Opportunities Fund
|
|||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||||
Assets(1):
|
|||||||||||||||||
Common Stocks
|
$
|
88,676,297
|
$
|
—
|
$
|
—
|
$
|
88,676,297
|
|||||||||
Real Estate
|
|||||||||||||||||
Investment Trusts
|
7,058,273
|
—
|
—
|
7,058,273
|
|||||||||||||
Investments Purchased
|
|||||||||||||||||
with Proceeds from
|
|||||||||||||||||
Securities Lending
|
2,703,559
|
—
|
—
|
2,703,559
|
|||||||||||||
Short-Term Investments
|
79,887
|
—
|
—
|
79,887
|
|||||||||||||
Total Assets
|
$
|
98,518,016
|
$
|
—
|
$
|
—
|
$
|
98,518,016
|
|||||||||
Liabilities:
|
|||||||||||||||||
Securities Sold Short
|
|||||||||||||||||
Common Stocks
|
$
|
(27,130,943
|
)
|
$
|
—
|
$
|
—
|
$
|
(27,130,943
|
)
|
|||||||
Real Estate
|
|||||||||||||||||
Investment Trusts
|
(2,035,438
|
)
|
—
|
—
|
(2,035,438
|
)
|
|||||||||||
Total Securities
|
|||||||||||||||||
Sold Short
|
$
|
(29,166,381
|
)
|
$
|
—
|
$
|
—
|
$
|
(29,166,381
|
)
|
|||||||
Total Liabilities
|
$
|
(29,166,381
|
)
|
$
|
—
|
$
|
—
|
$
|
(29,166,381
|
)
|
Market Neutral Fund
|
|||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||||
Assets(1):
|
|||||||||||||||||
Common Stocks
|
$
|
23,042,181
|
$
|
—
|
$
|
—
|
$
|
23,042,181
|
|||||||||
Real Estate
|
|||||||||||||||||
Investment Trusts
|
1,485,507
|
—
|
—
|
1,485,507
|
|||||||||||||
Short-Term Investments
|
294,823
|
—
|
—
|
294,823
|
|||||||||||||
Total Assets
|
$
|
24,822,511
|
$
|
—
|
$
|
—
|
$
|
24,822,511
|
|||||||||
Liabilities:
|
|||||||||||||||||
Securities Sold Short
|
|||||||||||||||||
Common Stocks
|
$
|
(17,582,691
|
)
|
$
|
—
|
$
|
—
|
$
|
(17,582,691
|
)
|
|||||||
Real Estate
|
|||||||||||||||||
Investment Trusts
|
(1,629,189
|
)
|
—
|
—
|
(1,629,189
|
)
|
|||||||||||
Total Securities
|
|||||||||||||||||
Sold Short
|
$
|
(19,211,880
|
)
|
$
|
—
|
$
|
—
|
$
|
(19,211,880
|
)
|
|||||||
Total Liabilities
|
$
|
(19,211,880
|
)
|
$
|
—
|
$
|
—
|
$
|
(19,211,880
|
)
|
(1)
|
See the Schedule of Investments for industry classifications.
|
|
The Funds did not hold any investments during the year ended November 30, 2017 with significant unobservable inputs which would be classified as Level 3. During the year ended November 30, 2017, there were no transfers between levels for the Funds. It is the Funds’ policy to record transfers between levels as of the end of the reporting period. The Funds did not hold financial derivative instruments during the reporting period.
|
|
|
|
(b) Short Positions
|
The Funds may sell a security they do not own in anticipation of a decline in the fair value of that security. When a fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. A gain, limited to the price at which a fund sold the security short, or a loss, unlimited in size, will be recognized upon the termination of a short sale. For financial statement purposes, an amount equal to the settlement amount is included in the Statements of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the short positions. Subsequent fluctuations in the market prices of the securities sold, but not yet purchased, may require purchasing the securities at prices which could differ from the amount reflected in the Statements of Assets and Liabilities. The Funds are liable for any dividends or interest payable on securities while those securities are in a short position. Such amounts are recorded on the ex-dividend date as a dividend expense, and interest expense is accrued daily. As collateral for its short positions, the Funds are required under the 1940 Act to maintain segregated assets consisting of cash, cash equivalents or liquid securities. The segregated assets are valued consistent with Note 2a above. The amount of segregated assets are required to be adjusted daily to the extent additional collateral is required based on the change in fair value of |
the securities sold short. The Funds’ securities sold short and deposits for short sales are held with one major securities broker-dealer. The Funds do not require this broker-dealer to maintain collateral in support of the receivable for proceeds on securities sold short.
|
|
(c) Security Loans
|
|
When the Funds loan securities held in their portfolios, the Funds receive compensation in the form of fees, or retain a portion of the interest on the investment of any cash received as collateral. The Funds also continue to receive dividends on the securities loaned. The loans are secured by collateral at least equal to: (i) 105% of the market value of the loaned securities that are foreign securities, or 102% of the market value of any other loaned securities, at the time the securities are loaned; and (ii) 100% of the market value of the loaned securities at all times. Gain or loss in the value of securities loaned that may occur during the term of the loan will be for the account of the Funds. The Funds have the right under the lending agreement to recover the securities from the borrower on demand.
|
|
(d) Federal Income Taxes
|
|
The Funds comply with the requirements of Subchapter M of the Internal Revenue Code, as amended, necessary to qualify as a regulated investment company and make the requisite distributions of income and capital gains to their shareholders sufficient to relieve them from all or substantially all federal income taxes. Therefore, no federal income tax provision has been provided.
|
|
As of and during the year ended November 30, 2017, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the year ended November 30, 2017, the Funds did not incur any interest or penalties.
|
|
(e) Distributions to Shareholders
|
|
The Funds will distribute any net investment income and any net capital gains at least annually. Distributions from net realized gains for book purposes may include short-term capital gains. All short-term capital gains are included in ordinary income for tax purposes. Distributions to shareholders are recorded on the ex-dividend date. The Funds may also pay a special distribution at the end of the calendar year to comply with federal tax requirements.
|
|
(f) Use of Estimates
|
|
The preparation of financial statements in conformity with GAAP 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 revenues and expenses during the reporting period. Actual results could differ from those estimates.
|
(g) Share Valuation
|
|
The NAV per share of each Fund is calculated by dividing the sum of the fair value of the securities held by the Fund, plus cash or other assets, minus all liabilities (including estimated accrued expenses) by the total number of shares outstanding for the Fund, rounded to the nearest cent. The Funds’ shares will not be priced on the days on which the New York Stock Exchange is closed for trading. The Funds do not charge a redemption fee, and therefore the offering and redemption price per share are equal to a Fund’s net asset value per share.
|
|
(h) Allocation of Income, Expenses and Gains/Losses
|
|
Income, expenses (other than those deemed attributable to a specific share class), and gains and losses of the Funds are allocated daily to each class of shares based upon the ratio of net assets represented by each class as a percentage of the net assets of the applicable Fund. Expenses deemed directly attributable to a class of shares are recorded by the specific class. Most expenses are allocated by class based on relative net assets. Distribution and service (12b-1) fees are expensed at 0.25% of average daily net assets of the Investment Class shares of the Convergence Core Plus Fund and the Convergence Opportunities Fund. Expenses associated with a specific fund in the Trust are charged to that fund. Common Trust expenses are typically allocated evenly between the funds of the Trust, or by other equitable means.
|
|
(i) Other
|
|
Investment transactions are recorded on the trade date. The Funds determine the gain or loss from investment transactions on the identified cost basis by comparing original cost of the security lot sold with the net sale proceeds. Dividend income and expense is recognized on the ex-dividend date and interest income and expense is recognized on an accrual basis. Dividend income from real estate investment trusts (REITs) is recognized on the ex-date and included in dividend income. The calendar year-end classification of distributions received from REITs during the fiscal year are reported subsequent to year end; accordingly, the Funds estimate the character of REIT distributions based on the most recent information available and adjust for actual classifications in the calendar year the information is reported.
|
(3)
|
Federal Tax Matters
|
The tax character of distributions paid during the fiscal years ended November 30, 2017 and November 30, 2016 was as follows:
|
|
Convergence Core Plus Fund
|
|
November 30, 2017
|
November 30, 2016
|
|||||||
Ordinary Income
|
$ |
5,240,678
|
$
|
838,226
|
|||||
Long-Term Capital Gain
|
$
|
334,878
|
$
|
14,118,911
|
|||||
|
|||||||||
Convergence Opportunities Fund
|
|||||||||
|
November 30, 2017
|
November 30, 2016
|
|||||||
Long-Term Capital Gain
|
$
|
—
|
$
|
785,835
|
The Convergence Core Plus Fund and Convergence Opportunities Fund designated as short-term and long-term capital gain dividend, pursuant to Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the earnings and profits of the Fund related to net capital gain to zero for the tax year ended November 30, 2017. The Convergence Core Plus Fund and Convergence Opportunities Fund utilized earnings and profits distributed to shareholders on redemption of shares as part of the dividend paid deduction. The amounts designated as gain for the fiscal years ended November 30, 2017 and 2016 were as follows:
|
|
Convergence Core Plus Fund
|
November 30, 2017
|
November 30, 2016
|
||
Long-term
|
$4,521,695
|
$8,494,488
|
Convergence Opportunities Fund | |||
November 30, 2017
|
November 30, 2016
|
||
Long-term
|
$2,808,716
|
$—
|
As of November 30, 2017, the components of accumulated earnings on a tax basis were as follows:
|
Convergence
|
Convergence
|
Convergence
|
||||||||||||
Core Plus
|
Opportunities
|
Market
|
||||||||||||
Fund
|
Fund
|
Neutral Fund
|
||||||||||||
Cost basis of investments for
|
||||||||||||||
federal income tax purposes(1)
|
$
|
145,460,209
|
$
|
83,858,231
|
$
|
21,731,787
|
||||||||
Gross tax unrealized appreciation
|
$
|
36,330,254
|
$
|
16,849,712
|
$
|
4,045,372
|
||||||||
Gross tax unrealized depreciation
|
(4,130,754
|
)
|
(2,794,583
|
)
|
(1,315,071
|
)
|
||||||||
Net tax unrealized appreciation
|
32,199,500
|
14,055,129
|
2,730,301
|
|||||||||||
Undistributed ordinary income
|
8,735,788
|
6,149,021
|
—
|
|||||||||||
Undistributed long-term capital gain
|
7,618,545
|
1,670,938
|
—
|
|||||||||||
Total distributable earnings
|
16,354,333
|
7,819,959
|
—
|
|||||||||||
Other accumulated gains/losses
|
(1,826
|
)
|
(4,390
|
)
|
(970,892
|
)
|
||||||||
Total accumulated gains
|
$
|
48,552,007
|
$
|
21,870,698
|
$
|
1,759,409
|
(1) Excludes securities sold short.
|
|
The tax basis of distributable earnings for tax and financial reporting purposes differs principally due to the deferral of losses on wash sales, transfers in-kind, and straddle adjustments for the Funds.
|
|
At November 30, 2017, the Convergence Market Neutral Fund had the following capital losses remaining, which will be carried forward indefinitely to offset future realized capital gains. To the extent the Convergence Market Neutral Fund realizes future net capital gains, taxable distributions to its shareholders will be first offset by any unused capital loss carryovers from the year ended November 30, 2017.
|
Short-Term
|
|||
Convergence Market Neutral Fund
|
$970,892
|
During the year ended November 30, 2017, the Convergence Opportunities Fund utilized short-term capital loss carryovers of $1,567,262.
|
|
Income and capital gains distributions may differ from GAAP, primarily due to timing differences in the recognition of income, gains and losses and equalization by the Funds. To the extent that these differences are attributable to permanent book and tax accounting differences, the components of net assets have been adjusted.
|
|
On the Statements of Assets and Liabilities, the following adjustments were made for permanent tax adjustments:
|
Convergence
|
Convergence
|
Convergence
|
|||||||||||
Core Plus
|
Opportunities
|
Market
|
|||||||||||
Fund
|
Fund
|
Neutral Fund
|
|||||||||||
Accumulated Undistributed Net
|
|||||||||||||
Investment Income/(Loss)
|
$
|
86,066
|
$
|
452,015
|
$
|
117,948
|
|||||||
Accumulated Undistributed Net
|
|||||||||||||
Realized Gain/(Loss)
|
$
|
(4,608,757
|
)
|
$
|
(3,257,176
|
)
|
$
|
(21,306
|
)
|
||||
Paid-In Capital
|
$
|
4,522,691
|
$
|
2,805,161
|
$
|
(96,642
|
)
|
Such adjustments were attributed to the reclassification of net investment loss, distribution adjustments and the usage of equalization for tax purposes.
|
(4)
|
Investment Adviser
|
The Trust has an Investment Advisory Agreement (the “Agreement”) with the Adviser to furnish investment advisory services to the Funds. Under the terms of the Agreement, each Fund compensates the Adviser for its management services at the annual rate of 1.00% of the Fund’s average daily net assets.
|
|
The Adviser has contractually agreed to waive its management fee and/or reimburse each Fund’s other expenses at least through the expiration dates listed below, at the discretion of the Adviser and the Board of Trustees, to the extent necessary to ensure that the Fund’s operating expenses (excluding any taxes, leverage, interest, brokerage commissions, expenses incurred in connection with any merger or reorganization, dividends on short positions and interest and broker expenses, acquired fund fees and expenses or extraordinary expenses) do not exceed the expense limitation caps listed below of each Fund’s average daily net assets.
|
Expiration Date
|
Expense Limitation Cap
|
||
Convergence Core Plus Fund
|
|||
Institutional Class
|
March 30, 2019
|
1.50%
|
|
Convergence Opportunities Fund
|
|||
Institutional Class
|
March 30, 2019
|
1.50%
|
|
Convergence Market Neutral Fund
|
|||
Institutional Class
|
March 30, 2019
|
1.50%
|
Any such waiver or reimbursement is subject to later adjustment to allow the Adviser to recoup amounts waived or reimbursed to the extent actual fees and expenses for a fiscal period do not exceed the lesser of: (1) the Expense Limitation Cap in place at
|
the time of the waiver or reimbursement; or (2) the Expense Limitation Cap in place at the time of the recoupment; provided, however, that the Adviser shall only be entitled to recoup such amounts over the following three year period from the date of the waiver or reimbursement. During the year ended November 30, 2017, there were no expense recoupments by the Adviser from the Funds. As of the date of this report, there were no prior waivers or reimbursements subject to recoupment from the Convergence Core Plus Fund and Convergence Opportunities Fund. The following table details the remaining waived or reimbursed expenses for the Convergence Market Neutral Fund subject to potential recovery expiring by:
|
November 30, 2019
|
111,707
|
||
November 30, 2020
|
85,383
|
(5)
|
Distribution Plan
|
The Trust adopted a plan pursuant to Rule 12b-1 (the “12b-1 Plan”), on behalf of the Convergence Core Plus Fund, which authorizes it to pay Quasar Distributors, LLC (the “Distributor”) a distribution and service (Rule 12b-1) fee of 0.25% of the Convergence Core Plus Fund’s average daily net assets of Investment Class shares for services to prospective shareholders and distribution of shares. During the period ended November 30, 2017, the Convergence Core Plus Fund accrued expenses of $3,273 pursuant to the 12b-1 Plan. As of November 30, 2017, the Distributor was owed fees of $0 pursuant to the 12b-1 Plan.
|
|
(6)
|
Related Party Transactions
|
U.S. Bancorp Fund Services, LLC (“USBFS” or the “Administrator”) acts as the Funds’ administrator under an Administration Agreement. The Administrator prepares various federal and state regulatory filings, reports and returns for the Funds; prepares reports and materials to be supplied to the Trustees; monitors the activities of the Funds’ custodian, transfer agent and accountants; coordinates the preparation and payment of the Funds’ expenses and reviews the Funds’ expense accruals. Fees incurred for the year ended November 30, 2017, and owed as of November 30, 2017 are as follows:
|
Incurred
|
Owed
|
||||||||
Convergence Core Plus Fund
|
$
|
159,384
|
$
|
26,149
|
|||||
Convergence Opportunities Fund
|
$
|
93,403
|
$
|
15,133
|
|||||
Convergence Market Neutral Fund
|
$
|
82,095
|
$
|
14,336
|
USBFS also serves as the fund accountant and transfer agent to the Funds. U.S. Bank, N.A. (“US Bank”), an affiliate of USBFS, serves as each Fund’s custodian. Fees incurred for the year ended November 30, 2017, and owed as of November 30, 2017 are as follows:
|
Fund Accounting
|
Incurred
|
Owed
|
|||||||
Convergence Core Plus Fund
|
$
|
15,066
|
$
|
1,619
|
|||||
Convergence Opportunities Fund
|
$
|
13,070
|
$
|
1,729
|
|||||
Convergence Market Neutral Fund
|
$
|
12,118
|
$
|
1,617
|
Transfer Agency
|
Incurred
|
Owed
|
|||||||
Convergence Core Plus Fund
|
$
|
59,154
|
$
|
9,536
|
|||||
Convergence Opportunities Fund
|
$
|
33,646
|
(1)
|
$
|
5,363
|
||||
Convergence Market Neutral Fund
|
$
|
14,112
|
$
|
8,041
|
(1)
|
This amount does not include sub-transfer agency fees, therefore it does not agree to the amount on the Statements of Operations.
|
Custody
|
Incurred
|
Owed
|
|||||||
Convergence Core Plus Fund
|
$
|
19,992
|
$
|
3,781
|
|||||
Convergence Opportunities Fund
|
$
|
20,359
|
$
|
3,203
|
|||||
Convergence Market Neutral Fund
|
$
|
11,709
|
$
|
2,036
|
Certain Funds have a line of credit with US Bank (see Note 10).
|
|
The Funds have entered into a securities lending agreement with US Bank (see Note 11).
|
|
The Distributor acts as the Funds’ principal underwriter in a continuous public offering of the Funds’ shares. The Distributor is an affiliate of USBFS and US Bank.
|
|
Certain officers of the Funds are also employees of USBFS. A Trustee of the Trust is affiliated with USBFS and US Bank. This same Trustee is a board member and an interested person of the Distributor.
|
|
The Trust’s Chief Compliance Officer is also an employee of USBFS. Each Funds’ allocation of the Trust’s Chief Compliance Officer fee incurred for the period ended November 30, 2017, and owed as of November 30, 2017 are as follows:
|
Incurred
|
Owed
|
||||||||
Convergence Core Plus Fund
|
$
|
9,967
|
$
|
1,672
|
|||||
Convergence Opportunities Fund
|
$
|
9,800
|
$
|
1,669
|
|||||
Convergence Market Neutral Fund
|
$
|
9,800
|
$
|
1,669
|
(7)
|
Capital Share Transactions
|
Transactions in shares of the Funds were as follows:
|
|
Convergence Core Plus – Institutional Class
|
Year Ended
|
Year Ended
|
||||||||
November 30, 2017
|
November 30, 2016
|
||||||||
Shares sold
|
762,420
|
1,259,411
|
|||||||
Shares reinvested
|
219,686
|
688,624
|
|||||||
Shares exchanged from Investment Class
|
207,990
|
(1)
|
—
|
||||||
Shares redeemed
|
(1,891,195
|
)
|
(7,260,138
|
)
|
|||||
Net decrease
|
(701,099
|
)
|
(5,312,103
|
)
|
Convergence Core Plus Fund – Investment Class
|
|||||||||
Year Ended
|
Year Ended
|
||||||||
November 30, 2017
|
November 30, 2016
|
||||||||
Shares sold
|
4,921
|
67,882
|
|||||||
Shares reinvested
|
8,425
|
35,423
|
|||||||
Shares exchanged to Institutional Class
|
(208,407
|
)(1)
|
—
|
||||||
Shares redeemed
|
(35,575
|
)
|
(402,227
|
)
|
|||||
Net decrease
|
(230,636
|
)
|
(298,922
|
)
|
(1)
|
The Investment Class shares converted to Institutional Class shares on March 27, 2017.
|
Convergence Opportunities Fund – Institutional Class
|
|||||||||
Year Ended
|
Year Ended
|
||||||||
November 30, 2017
|
November 30, 2016
|
||||||||
Shares sold
|
599,029
|
1,128,075
|
|||||||
Shares reinvested
|
—
|
72,501
|
|||||||
Shares redeemed
|
(2,184,554
|
)
|
(2,351,949
|
)
|
|||||
Net decrease
|
(1,585,525
|
)
|
(1,151,373
|
)
|
Convergence Market Neutral Fund – Institutional Class
|
|||||||||
Year Ended
|
Period Ended
|
||||||||
November 30, 2017
|
November 30, 2016
|
||||||||
Shares sold
|
724,872
|
1,484,384
|
|||||||
Shares issued from
|
|||||||||
transfer in-kind (See Note 8)
|
—
|
249,504
|
|||||||
Shares reinvested
|
—
|
—
|
|||||||
Shares redeemed
|
(257,316
|
)
|
(95,870
|
)
|
|||||
Net increase
|
467,556
|
1,638,018
|
(8)
|
Investment Transactions
|
The aggregate purchases and sales of securities, excluding short-term investments, securities transferred in-kind disclosed below, and securities sold short, for the Funds for the year ended November 30, 2017 are summarized below. There were no purchases or sales of U.S. government securities for the Funds.
|
Convergence Core
|
Convergence
|
Convergence Market
|
|||||||||||||
Plus Fund
|
Opportunities Fund
|
Neutral Fund
|
|||||||||||||
Purchases
|
$
|
359,117,984
|
$
|
255,787,494
|
$
|
59,200,659
|
|||||||||
Sales
|
$
|
381,251,412
|
$
|
281,474,466
|
$
|
56,484,547
|
Convergence Market Neutral Fund
|
|
On January 29, 2016, the Convergence Market Neutral Fund accepted, in accordance with the Rule 17a-7 of the 1940 Act procedures adopted by the Trust, securities eligible for investment by the Fund as consideration for Fund shares issued at fair value of $2,495,039.
|
(9)
|
Beneficial Ownership
|
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates a presumption of control of the fund, under Section 2(a)(9) of the 1940 Act. At November 30, 2017, National Financial Services, LLC, for the benefit of others, held 58.38% of the Convergence Core Plus Fund’s outstanding Institutional Class shares. At November 30, 2017, National Financial Services, LLC, for the benefit of others, held 87.34% of the Convergence Opportunities Fund’s outstanding Institutional Class shares. At November 30, 2017, Charles Schwab & Co., Inc. and National Financial Services, LLC, for the benefit of others, held 55.89% and 42.13%, respectively, of the Convergence Market Neutral Fund’s outstanding Institutional Class shares. | |
(10)
|
Line of Credit
|
The Convergence Core Plus Fund and Convergence Opportunities Fund each have a line of credit in the amount of the lessor of $13,000,000 and $5,000,000, respectively, or 33.33% of the fair value of unencumbered assets of the Convergence Core Plus Fund and Convergence Opportunities Fund, which both mature on August 10, 2018. These unsecured lines of credit are intended to provide short-term financing, if necessary and subject to certain restrictions, in connection with shareholder redemptions. Interest was accrued at the prime rate of 3.50% from December 1, 2016 through December 14, 2016, 3.75% from December 15, 2016 through March 15, 2017, 4.00% from March 16, 2017 through June 14, 2017, and 4.25% thereafter. The credit facility is with the Funds’ custodian, US Bank. The following table provides information regarding usage of the lines of credit for the year ended November 30, 2017. There were no outstanding balances on the lines of credit as of November 30, 2017. |
Average
|
Maximum
|
Date of
|
||||||||||||||||
Days
|
Amount of
|
Interest
|
Amount of
|
Maximum
|
||||||||||||||
Utilized
|
Borrowing
|
Expense*
|
Borrowing
|
Borrowing
|
||||||||||||||
Convergence
|
||||||||||||||||||
Core Plus Fund
|
23
|
$
|
232,826
|
$
|
617
|
$
|
894,000
|
6/6/2017
|
||||||||||
Convergence
|
||||||||||||||||||
Opportunities Fund
|
38
|
$
|
158,526
|
$
|
677
|
$
|
462,000
|
7/31/2017
|
||||||||||
* Interest expense is included within interest and broker expenses on the Statements of Operations. |
The Convergence Market Neutral Fund does not have a line of credit.
|
|
(11)
|
Securities Lending
|
Following terms of a securities lending agreement with the Funds’ custodian US Bank, a Fund may lend securities from its portfolio to brokers, dealers and financial institutions in order to increase the return on its portfolio, primarily through the receipt of borrowing fees and earnings on invested collateral. Any such loan must be continuously secured by collateral in cash or cash equivalents maintained on a current basis in an amount at least equal to the market value of the securities loaned
|
by a Fund. During the time securities are on loan, the borrower will pay the applicable Fund any accrued income on those securities, and the Fund may invest the cash collateral and earn income or receive an agreed-upon fee from a borrower that has delivered cash-equivalent collateral. In determining whether or not to lend a security to a particular broker, dealer or financial institution, the Adviser considers all relevant facts and circumstances, including the size, creditworthiness and reputation of the broker, dealer or financial institution.
|
|
Securities lending involves the risk of a default or insolvency of the borrower. In either of these cases, a Fund could experience delays in recovering securities or collateral or could lose all or part of the value of the loaned securities. A Fund also could lose money in the event of a decline in the value of the collateral provided for loaned securities. Additionally, the loaned portfolio securities may not be available to a Fund on a timely basis and that Fund may therefore lose the opportunity to sell the securities at a desirable price. Any decline in the value of a security that occurs while the security is out on loan would continue to be borne by the applicable Fund.
|
|
As of November 30, 2017, the market value of the securities on loan and value of collateral received for securities lending were as follows:
|
Market Value of
|
Value of
|
||||||||
Securities on Loan
|
Collateral
|
||||||||
Convergence Core Plus Fund
|
$
|
2,444,718
|
$
|
2,438,410
|
|||||
Convergence Opportunities Fund
|
2,673,711
|
2,703,559
|
|||||||
Convergence Market Neutral Fund
|
—
|
—
|
The Funds receive cash as collateral in return for securities lent as part of the securities lending program. The collateral is invested in the First American Government Obligations Fund – Class Y (a money market fund subject to Rule 2a-7 under the 1940 Act). The Schedules of Investments for the Funds include the particular cash collateral holding as of November 30, 2017. The remaining contractual maturity of all securities lending transactions is overnight and continuous.
|
|
The Funds are not subject to a master netting agreement with respect to securities lending; therefore no additional disclosures are required.
|
|
The fee and interest income earned by the Funds on investments of cash collateral received from borrowers for the securities loaned to them are reflected in the Funds’ Statements of Operations.
|
(12)
|
Subsequent Event
|
On December 28, 2017, the Funds declared and paid distributions from ordinary income and long-term realized gain to shareholders of record as of December 27, 2017, as follows:
|
Ordinary
|
Short-Term
|
Long-Term
|
|||||||||||
Income
|
Realized Gains
|
Realized Gains
|
|||||||||||
Convergence Core Plus Fund
|
|||||||||||||
Institutional Class
|
$
|
219,038
|
$
|
8,514,983
|
$
|
7,618,781
|
|||||||
Convergence Opportunities Fund
|
|||||||||||||
Institutional Class
|
$
|
—
|
$
|
6,144,138
|
$
|
1,671,517
|
On January 23, 2018, the Board of Trustees approved the removal of the Investment Class shares of the Convergence Core Plus Fund and the Convergence Opportunities Fund, from each Funds prospectus offering effective January 25, 2018.
|
1.
|
NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED TO THE FUNDS
|
2.
|
INVESTMENT PERFORMANCE OF THE FUNDS AND THE ADVISER
|
3.
|
COSTS OF SERVICES PROVIDED AND PROFITS REALIZED BY THE ADVISER
|
4.
|
EXTENT OF ECONOMIES OF SCALE AS THE FUNDS GROW
|
5.
|
BENEFITS DERIVED FROM THE RELATIONSHIP WITH THE FUNDS
|
•
|
information we receive about you on applications or other forms;
|
•
|
information you give us orally; and
|
•
|
information about your transactions with us or others.
|
Convergence Core Plus Fund
|
77.38%
|
|
Convergence Opportunities Fund
|
0.00%
|
|
Convergence Market Neutral Fund
|
0.00%
|
Other
|
|||||
Directorships
|
|||||
Term of
|
Number of
|
Principal
|
Held by
|
||
Office and
|
Portfolios
|
Occupation(s)
|
Trustee
|
||
Position(s)
|
Length
|
in Trust
|
During the
|
During the
|
|
Name, Address
|
Held with
|
of Time
|
Overseen
|
Past Five
|
Past Five
|
and Year of Birth
|
the Trust
|
Served
|
by Trustee
|
Years
|
Years
|
Independent Trustees
|
|||||
Michael D. Akers, Ph.D.
|
Trustee
|
Indefinite
|
31
|
Professor,
|
Independent
|
615 E. Michigan St.
|
Term; Since
|
Department of
|
Trustee, USA
|
||
Milwaukee, WI 53202
|
August 22,
|
Accounting,
|
MUTUALS
|
||
Year of Birth: 1955
|
2001
|
Marquette
|
(an open-end
|
||
University
|
investment
|
||||
(2004–present);
|
company with
|
||||
Chair, Department
|
three
|
||||
of Accounting,
|
portfolios).
|
||||
Marquette
|
|||||
University
|
|||||
(2004–2017).
|
|||||
Gary A. Drska
|
Trustee
|
Indefinite
|
31
|
Pilot,
|
Independent
|
615 E. Michigan St.
|
Term; Since
|
Frontier/Midwest
|
Trustee, USA
|
||
Milwaukee, WI 53202
|
August 22,
|
Airlines, Inc.
|
MUTUALS
|
||
Year of Birth: 1956
|
2001
|
(airline company)
|
(an open-end
|
||
(1986–present).
|
investment
|
||||
company with
|
|||||
three
|
|||||
portfolios).
|
Other
|
|||||
Directorships
|
|||||
Term of
|
Number of
|
Principal
|
Held by
|
||
Office and
|
Portfolios
|
Occupation(s)
|
Trustee
|
||
Position(s)
|
Length
|
in Trust
|
During the
|
During the
|
|
Name, Address
|
Held with
|
of Time
|
Overseen
|
Past Five
|
Past Five
|
and Year of Birth
|
the Trust
|
Served
|
by Trustee
|
Years
|
Years
|
Jonas B. Siegel
|
Trustee
|
Indefinite
|
31
|
Retired
|
Independent
|
615 E. Michigan St.
|
Term; Since
|
(2011–present);
|
Trustee,
|
||
Milwaukee, WI 53202
|
October 23,
|
Managing Director,
|
Gottex Trust
|
||
Year of Birth: 1943
|
2009
|
Chief Administrative
|
(an open-end
|
||
Officer (“CAO”) and
|
investment
|
||||
Chief Compliance
|
company with
|
||||
Officer (“CCO”),
|
one portfolio)
|
||||
Granite Capital
|
(2010–2016);
|
||||
International Group,
|
Independent
|
||||
L.P. (an investment
|
Manager,
|
||||
management firm)
|
Ramius IDF
|
||||
(1994–2011).
|
fund complex
|
||||
(two closed-
|
|||||
end investment
|
|||||
companies)
|
|||||
(2010–2015);
|
|||||
Independent
|
|||||
Trustee, Gottex
|
|||||
Multi-Asset
|
|||||
Endowment
|
|||||
fund complex
|
|||||
(three closed-
|
|||||
end investment
|
|||||
companies)
|
|||||
(2010–2015);
|
|||||
Independent
|
|||||
Trustee,
|
|||||
Gottex Multi-
|
|||||
Alternatives
|
|||||
fund complex
|
|||||
(three closed-
|
|||||
end investment
|
|||||
companies)
|
|||||
(2010–2015).
|
Other
|
|||||
Directorships
|
|||||
Term of
|
Number of
|
Principal
|
Held by
|
||
Office and
|
Portfolios
|
Occupation(s)
|
Trustee
|
||
Position(s)
|
Length
|
in Trust
|
During the
|
During the
|
|
Name, Address
|
Held with
|
of Time
|
Overseen
|
Past Five
|
Past Five
|
and Year of Birth
|
the Trust
|
Served
|
by Trustee
|
Years
|
Years
|
Interested Trustee and Officers
|
|||||
Joseph C. Neuberger*
|
Chairperson
|
Indefinite
|
31
|
President
|
Trustee,
|
615 E. Michigan St.
|
and
|
Term; Since
|
(2017–present);
|
Buffalo Funds
|
|
Milwaukee, WI 53202
|
Trustee
|
August 22,
|
Chief Operating
|
(an open-end
|
|
Year of Birth: 1962
|
2001
|
Officer (2016–
|
investment
|
||
present); Executive
|
company with
|
||||
Vice President,
|
ten portfolios);
|
||||
U.S. Bancorp
|
Trustee, USA
|
||||
Fund Services,
|
MUTUALS
|
||||
LLC (1994–2017).
|
(an open-end
|
||||
investment
|
|||||
company with
|
|||||
three
|
|||||
portfolios).
|
|||||
John P. Buckel
|
President
|
Indefinite
|
N/A
|
Vice President,
|
N/A
|
615 E. Michigan St.
|
and
|
Term; Since
|
U.S. Bancorp Fund
|
||
Milwaukee, WI 53202
|
Principal
|
January 24,
|
Services, LLC
|
||
Year of Birth: 1957
|
Executive
|
2013
|
(2004–present).
|
||
Officer
|
|||||
Jennifer A. Lima
|
Vice
|
Indefinite
|
N/A
|
Vice President,
|
N/A
|
615 E. Michigan St.
|
President,
|
Term; Since
|
U.S. Bancorp Fund
|
||
Milwaukee, WI 53202
|
Treasurer
|
January 24,
|
Services, LLC
|
||
Year of Birth: 1974
|
and
|
2013
|
(2002–present).
|
||
Principal
|
|||||
Financial
|
|||||
and
|
|||||
Accounting
|
|||||
Officer
|
Other
|
|||||
Directorships
|
|||||
Term of
|
Number of
|
Principal
|
Held by
|
||
Office and
|
Portfolios
|
Occupation(s)
|
Trustee
|
||
Position(s)
|
Length
|
in Trust
|
During the
|
During the
|
|
Name, Address
|
Held with
|
of Time
|
Overseen
|
Past Five
|
Past Five
|
and Year of Birth
|
the Trust
|
Served
|
by Trustee
|
Years
|
Years
|
Elizabeth B. Scalf
|
Chief
|
Indefinite
|
N/A
|
Vice President,
|
N/A
|
615 E. Michigan St.
|
Compliance
|
Term; Effective
|
U.S. Bancorp
|
||
Milwaukee, WI 53202
|
Officer,
|
July 1,
|
Fund Services,
|
||
Year of Birth: 1985
|
Vice
|
2017
|
LLC (February
|
||
President
|
2017–present);
|
||||
and
|
Vice President and
|
||||
Anti-Money
|
Assistant CCO,
|
||||
Laundering
|
Heartland Advisors,
|
||||
Officer
|
Inc. (December
|
||||
2016–January
|
|||||
2017); Vice
|
|||||
President and
|
|||||
CCO, Heartland
|
|||||
Group, Inc.
|
|||||
(May 2016–
|
|||||
November 2016);
|
|||||
Vice President,
|
|||||
CCO and Senior
|
|||||
Legal Counsel
|
|||||
(May 2016–
|
|||||
November 2016),
|
|||||
Assistant CCO
|
|||||
and Senior Legal
|
|||||
Counsel (January
|
|||||
2016–April 2016),
|
|||||
Senior Legal and
|
|||||
Compliance
|
|||||
Counsel (2013–
|
|||||
2015), Legal and
|
|||||
Compliance Counsel
|
|||||
(2011–2013),
|
|||||
Heartland
|
|||||
Advisors, Inc.
|
|||||
Adam W. Smith
|
Secretary
|
Indefinite
|
N/A
|
Assistant Vice
|
N/A
|
615 E. Michigan St.
|
Term; Since
|
President, U.S.
|
|||
Milwaukee, WI 53202
|
May 29,
|
Bancorp Fund
|
|||
Year of Birth: 1981
|
2015
|
Services, LLC
|
|||
(2012–present).
|
Other
|
|||||
Directorships
|
|||||
Term of
|
Number of
|
Principal
|
Held by
|
||
Office and
|
Portfolios
|
Occupation(s)
|
Trustee
|
||
Position(s)
|
Length
|
in Trust
|
During the
|
During the
|
|
Name, Address
|
Held with
|
of Time
|
Overseen
|
Past Five
|
Past Five
|
and Year of Birth
|
the Trust
|
Served
|
by Trustee
|
Years
|
Years
|
Cullen O. Small
|
Assistant
|
Indefinite
|
N/A
|
Assistant Vice
|
N/A
|
615 E. Michigan St.
|
Treasurer
|
Term; Since
|
President, U.S.
|
||
Milwaukee, WI 53202
|
January 22,
|
Bancorp Fund
|
|||
Year of Birth: 1987
|
2015
|
Services, LLC
|
|||
(2010–present).
|
|||||
Kelly A. Burns
|
Assistant
|
Indefinite
|
N/A
|
Assistant Vice
|
N/A
|
615 E. Michigan St.
|
Treasurer
|
Term; Since
|
President, U.S.
|
||
Milwaukee, WI 53202
|
April 23,
|
Bancorp Fund
|
|||
Year of Birth: 1987
|
2015
|
Services, LLC
|
|||
(2011–present);
|
|||||
Melissa Aguinaga
|
Assistant
|
Indefinite
|
N/A
|
Assistant Vice
|
N/A
|
615 E. Michigan St.
|
Treasurer
|
Term; Since
|
President, U.S.
|
||
Milwaukee, WI 53202
|
July 1,
|
Bancorp Fund
|
|||
Year of Birth: 1987
|
2015
|
Services, LLC
|
|||
(2010–present).
|
*
|
Mr. Neuberger is an “interested person” of the Trust as defined by the 1940 Act by virtue of the fact that he is a board member and an interested person of Quasar Distributors, LLC (the “Distributor”), the Funds’ principal underwriter.
|
Investment Adviser
|
Convergence Investment Partners, LLC
|
1245 Cheyenne Avenue
|
|
Suite 102
|
|
Grafton, Wisconsin 53024
|
|
Legal Counsel
|
Godfrey & Kahn, S.C.
|
833 East Michigan Street
|
|
Suite 1800
|
|
Milwaukee, Wisconsin 53202
|
|
Independent Registered Public
|
Cohen & Company, Ltd.
|
Accounting Firm
|
1350 Euclid Avenue
|
Suite 800
|
|
Cleveland, Ohio 44115
|
|
Transfer Agent, Fund Accountant and
|
U.S. Bancorp Fund Services, LLC
|
Fund Administrator
|
615 East Michigan Street
|
Milwaukee, Wisconsin 53202
|
|
Custodian
|
U.S. Bank, N.A.
|
Custody Operations
|
|
1555 North River Center Drive
|
|
Milwaukee, Wisconsin 53212
|
|
Distributor
|
Quasar Distributors, LLC
|
777 East Wisconsin Avenue
|
|
Milwaukee, Wisconsin 53202
|
FYE 11/30/2017
|
FYE 11/30/2016
|
|
Audit Fees
|
$49,500
|
$46,500
|
Audit-Related Fees
|
0
|
0
|
Tax Fees
|
$9,000
|
$9,000
|
All Other Fees
|
0
|
0
|
FYE 11/30/2017
|
FYE 11/30/2016
|
|
Audit-Related Fees
|
0%
|
0%
|
Tax Fees
|
0%
|
0%
|
All Other Fees
|
0%
|
0%
|
Non-Audit Related Fees
|
FYE 11/30/2017
|
FYE 11/30/2016
|
Registrant
|
$ 0
|
$ 0
|
Registrant’s Investment Adviser
|
$ 0
|
$ 0
|
(a)
|
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.
|
(b)
|
Not Applicable.
|
(a)
|
The Registrant’s President and Treasurer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d‑15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider.
|
(b)
|
There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
|
(a)
|
(1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Incorporated by reference to the registrant’s Form N-CSR filed on February 3, 2017.
|
(b)
|
Certifications pursuant to Section 906 of the Sarbanes‑Oxley Act of 2002. Furnished herewith.
|
1.
|
I have reviewed this report on Form N-CSR of Trust for Professional Managers;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: February 1, 2018
|
/s/John Buckel
John Buckel President |
1.
|
I have reviewed this report on Form N-CSR of Trust for Professional Managers;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: February 1, 2018
|
/s/Jennifer Lima
Jennifer Lima Treasurer |
/s/John Buckel
John Buckel
President, Trust for Professional Managers
|
/s/Jennifer Lima
Jennifer Lima
Treasurer, Trust for Professional Managers
|
Dated: February 1, 2018
|
'!A8VME="!B96=I;CTB[[N_(B!I9#TB
M5S5-,$UP0V5H:4AZ &UP1SIT>7!E/2)0
M4D]#15-3(B!X;7!'.F-Y86X](C N,# P,# P(B!X;7!'.FUA9V5N=&$](C N
M,# P,# P(B!X;7!'.GEE;&QO=STB,"XP,# P,# B('AM<$ V-L_K3
MMSY"[2R^V_CY\:ZGXW?%+-];]+5&RMV[*BI=S=*[IVCVUVJ^<[)WEMWL'?.T
M\C\<]GNF.QE#M_ 5-32UM0:6(U%'%C3?=,=&=V;)SW>7=W:?8?6'8OR0[7'R%_]!KXH_\ W,?OW^A?
MLC_O+CY"_P#H-?%'_P"YC]^_T+]D?]Y(7_ -!KXH__ ',?OW^A?LC_ +RX
M^0O_ *#7Q1_^YC]^_P!"_9'_ 'EQ\A?_ $&OBC_]S'[]_H7[(_[RX^0O_H-?
M%'_[F/W[_0OV1_WEQ\A?_0:^*/\ ]S'[]_H7[(_[RX^0O_H-?%'_ .YC]^_T
M+]D?]Y(7_T&OBC_P#
7'R%_\
M0:^*/_W,?OW^A?LC_O+CY"_^@U\4?_N8_?O]"_9'_>7'R%_]!KXH_P#W,?OW
M^A?LC_O+CY"_^@U\4?\ [F/W[_0OV1_WEQ\A?_0:^*/_ -S'[]_H7[(_[RX^
M0O\ Z#7Q1_\ N8_?O]"_9'_>7'R%_P#0:^*/_P!S'[]_H7[(_P"\N/D+_P"@
MU\4?_N8_?O\ 0OV1_P!Y(7_P!!KXH__
7
M'R%_]!KXH_\ W,?OW^A?LC_O+CY"_P#H-?%'_P"YC]^_T+]D?]Y(7_ -!K
MXH__ ',?OW^A?LC_ +RX^0O_ *#7Q1_^YC]^_P!"_9'_ 'EQ\A?_ $&OBC_]
MS'[]_H7[(_[RX^0O_H-?%'_[F/W[_0OV1_WEQ\A?_0:^*/\ ]S'[]_H7[(_[
MRX^0O_H-?%'_ .YC]^_T+]D?]Y(7_T&OBC_P#
7'R%_\ 0:^*/_W,?OW^A?LC_O+CY"_^@U\4?_N8_?O]"_9'
M_>7'R%_]!KXH_P#W,?OW^A?LC_O+CY"_^@U\4?\ [F/W[_0OV1_WEQ\A?_0:
M^*/_ -S'[]_H7[(_[RX^0O\ Z#7Q1_\ N8_?O]"_9'_>7'R%_P#0:^*/_P!S
M'[]_H7[(_P"\N/D+_P"@U\4?_N8_?O\ 0OV1_P!Y(7_P!!KXH__
7'R%_]!KXH_\ W,?OW^A?LC_O+CY"_P#H-?%'_P"Y
MC]^_T+]D?]Y(7_ -!KXH__ ',?OW^A?LC_ +RX^0O_ *#7Q1_^YC]@/\I^
MH.P:'XQ?(ZMJ?E/WSF*:CZ&[?JJC$9';WQBBQ^4@I^OMPRRXZOEQ'QQQ>5CH
MJZ-#%*U+54U0$8F.6-]+CYNGO__0W^/?O?O?O9%OYH?_ &[/_F)?^*+?+?\
M]\#V![JC^(__ &2C\8__ !7KI?\ ]]OMKV87W[W[WK\C_MX[_,I_\.#XF_\
MP,VU?8_>_>_>_>_>_>_>_>Q2_DV_]NT/BI_X:>[?_?G;X]V;>_>_>_>_>_>_
M>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_
M>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>R]?+C_LE'Y.?^*]=T?^^WW+
M[^7Y[__1W^/?O?O?O9%OYH?_ &[/_F)?^*+?+?\ ]\#V![JC^(__ &2C\8__
M !7KI?\ ]]OMKV87W[W[WK\C_MX[_,I_\.#XF_\ P,VU?8_>_>_>_>_>_>_>
M_>Q2_DV_]NT/BI_X:>[?_?G;X]V;>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_
M>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_>_
M>_>_>_>_>_>_>_>_>R]?+C_LE'Y.?^*]=T?^^WW+[^7Y[__2WU=X;JQ&Q=I;
MIWMN!JU,#L[;F;W5FWQN-K\SD$Q&WL959?)-08?%4]9E,K6K14CF*FIH9:B=
M[)&C.P4ZTFU?Y@O8_96[OG;GL?WOO#;NX>T?C5\"]Q=8]
7'R%_]!KXH_\ W,?OW^A?
MLC_O+CY"_P#H-?%'_P"YC]^_T+]D?]Y(7_ -!KXH__ ',?OW^A?LC_ +RX
M^0O_ *#7Q1_^YC]^_P!"_9'_ 'EQ\A?_ $&OBC_]S'[]_H7[(_[RX^0O_H-?
M%'_[F/W[_0OV1_WEQ\A?_0:^*/\ ]S'[]_H7[(_[RX^0O_H-?%'_ .YC]^_T
M+]D?]Y(7_T&OBC_P#
7'R%_\
M0:^*/_W,?OW^A?LC_O+CY"_^@U\4?_N8_?O]"_9'_>7'R%_]!KXH_P#W,?OW
M^A?LC_O+CY"_^@U\4?\ [F/W[_0OV1_WEQ\A?_0:^*/_ -S'[]_H7[(_[RX^
M0O\ Z#7Q1_\ N8_?O]"_9'_>7'R%_P#0:^*/_P!S'[]_H7[(_P"\N/D+_P"@
MU\4?_N8_?O\ 0OV1_P!Y(7_P!!KXH__
7
M'R%_]!KXH_\ W,?OW^A?LC_O+CY"_P#H-?%'_P"YC]^_T+]D?]Y(7_ -!K
MXH__ ',?OW^A?LC_ +RX^0O_ *#7Q1_^YC]^_P!"_9'_ 'EQ\A?_ $&OBC_]
MS'[]_H7[(_[RX^0O_H-?%'_[F/W[_0OV1_WEQ\A?_0:^*/\ ]S'[]_H7[(_[
MRX^0O_H-?%'_ .YC]^_T+]D?]Y(7_T&OBC_P#
7'R%_\ 0:^*/_W,?OW^A?LC_O+CY"_^@U\4?_N8_?O]"_9'
M_>7'R%_]!KXH_P#W,?OW^A?LC_O+CY"_^@U\4?\ [F/W[_0OV1_WEQ\A?_0:
M^*/_ -S'[]_H7[(_[RX^0O\ Z#7Q1_\ N8_?O]"_9'_>7'R%_P#0:^*/_P!S
M'[]_H7[(_P"\N/D+_P"@U\4?_N8_?O\ 0OV1_P!Y(7_P!!KXH__
_?\.%_$S_GO]V?^B/[Z_\ M9>_?\.%_$S_ )[_ '9_Z(_OK_[67OW_
M X7\3/^>_W9_P"B/[Z_^UE[]_PX7\3/^>_W9_Z(_OK_ .UE[]_PX7\3/^>_
MW9_Z(_OK_P"UE[]_PX7\3/\ GO\ =G_HC^^O_M9>_?\ #A?Q,_Y[_=G_ *(_
MOK_[67M&['[FZ^^4'S_^!F(Z1[%["P];MC,?).JSV\L%UGFMNY7:L&4^/FZQ
M024K]U]69'9M7_&GQLU&XEH*UDCE8H(IC#*NP3_H7[(_[RX^0O\ Z#7Q1_\
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MW[W[W[W[W[W[W[W[W[W[W[W[W[W[W[W[W[W[W[W[W[W[W[V7KY]DH_)S_Q
M7KNC_P!]ON7W\OSW_]7;G^
NTJ_M+:-5V7E*VI
M[$VQTI3U>,BW?UYTM5XS:\6QAGJ2*FI,I+N;