N-Q 1 hamft_nq.htm QUARTERLY NOTICE OF PORTFOLIO HOLDINGS hamft_nq.htm

 
As filed with the Securities and Exchange Commission on November 30, 2015



UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549


 
FORM N-Q
 
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY



Investment Company Act file number  811-21079



Hatteras Alternative Mutual Funds Trust (Formerly AIP Alternative Strategies Funds)
(Exact name of registrant as specified in charter)



6601 Six Forks Road, Suite 340, Raleigh, NC 27615
(Address of principal executive offices) (Zip code)



Mr. David B. Perkins, 6601 Six Forks Road, Suite 340, Raleigh, NC 27615
(Name and address of agent for service)



1-877-569-2382
Registrant's telephone number, including area code



Date of fiscal year end: December 31, 2015

Date of reporting period:  September 30, 2015

 
 

 

Item 1. Schedule of Investments.
 
HATTERAS ALTERNATIVE MUTUAL FUNDS TRUST
HATTERAS ALPHA HEDGED STRATEGIES FUND
SCHEDULE OF INVESTMENTS
September 30, 2015 (Unaudited)
             
   
Shares
   
Value
 
Underlying Funds Trust - 101.1%
           
Hatteras Event Driven Fund a,b
    8,727,738     $ 92,092,475  
Long/Short Equity a,b
    19,932,864       159,008,443  
Hatteras Market Neutral Fund a,b
    4,965,254       48,560,186  
Relative Value Long/Short Debt a,b
    7,004,883       63,650,568  
Managed Futures Strategies a,b
    4,239,353       41,775,856  
Total Underlying Funds Trust (Cost $340,265,789)
          $ 405,087,528  
Money Market Funds - 0.0%
               
Invesco Advisers, Inc. STIT - Liquid Assets Portfolio - Institutional Class, 0.16%c
    626       626  
Total Money Market Funds (Cost $626)
            626  
Total Investments (Cost $340,266,415) - 101.1%
            405,088,154  
Liabilities in Excess of Other Assets - (1.1)%
            (4,426,896 )
TOTAL NET ASSETS - 100.0%
          $ 400,661,258  
                 
Percentages are stated as a percent of net assets.
               
   
Footnotes
               
                 
a - Non-income producing.
               
b - Affiliated issuer. Please refer to Note 3 of the Notes to Financial Statements.
               
c - Variable Rate Security. Rate shown is the seven day yield as of September 30, 2015.
               
                 
The accompanying notes are an integral part of these financial statements.
               

 
 

 
 
HATTERAS ALTERNATIVE MUTUAL FUNDS TRUST
HATTERAS ALTERNATIVE MULTI-MANAGER FUND
SCHEDULE OF INVESTMENTS
September 30, 2015 (Unaudited)
             
   
Shares
   
Value
 
Underlying Funds Trust - 98.1%
           
Hatteras Event Driven Funda,b
    2,356,287     $ 24,862,832  
Long/Short Equitya,b
    3,710,895       29,602,550  
Hatteras Market Neutral Funda,b
    771,008       7,540,454  
Relative Value - Long/Short Debta,b
    684,110       6,216,238  
Total Underlying Funds Trust (Cost $61,373,011)
          $ 68,222,074  
Money Market Funds - 1.0%
               
Invesco Advisers, Inc. STIT - Liquid Assets Portfolio - Institutional Class, 0.16%c
    707,738       707,738  
Total Money Market Funds (Cost $707,738)
            707,738  
Total Investments (Cost $62,080,749) - 99.1%
            68,929,812  
Other Assets in Excess of Liabilities - 0.9%
            653,960  
Total Net Assets - 100.0%
          $ 69,583,772  
                 
Percentages are stated as a percent of net assets.
               
                 
Footnotes
               
                 
a - Non-income producing.
               
b - Affiliated issuer. Please refer to Note 3 of the Notes to Financial Statements.
         
c - Variable Rate Security. Rate shown is the seven day yield as of September 30, 2015.
         
                 
  The accompanying notes are an integral part of these financial statements.          
 
 
 

 
 
HATTERAS ALTERNATIVE MUTUAL FUNDS TRUST
HATTERAS DISCIPLINED OPPORTUNITY FUND
SCHEDULE OF INVESTMENTS
September 30, 2015 (Unaudited)
             
Purchased Options - 103.0%
           
             
Call Options - 93.0% (a)
 
Contracts
   
Value
 
S&P 500 Composite Stock Price Index
           
Expiration October 2015, Exercise Price: $25.50
    130     $ 2,161,058  
Expiration October 2015, Exercise Price: $26.00
    30       497,206  
Expiration October 2015, Exercise Price: $194.50
    130       26,002  
Expiration October 2015, Exercise Price: $199.26
    30       1,612  
Expiration November 2015, Exercise Price: $26.00
    30       496,205  
Expiration November 2015, Exercise Price: $26.10
    130       2,148,923  
Expiration November 2015, Exercise Price: $199.26
    30       5,606  
Expiration November 2015, Exercise Price: $200.00
    130       21,218  
Expiration December 2015, Exercise Price: $24.06
    120       2,003,265  
Expiration December 2015, Exercise Price: $26.97
    40       656,123  
Expiration December 2015, Exercise Price: $184.50
    120       137,711  
Expiration December 2015, Exercise Price: $205.19
    40       4,781  
Expiration January 2016, Exercise Price: $26.00
    40       658,984  
Expiration January 2016, Exercise Price: $26.97
    120       1,965,324  
Expiration January 2016, Exercise Price: $199.20
    40       16,325  
Expiration January 2016, Exercise Price: $205.19
    120       23,925  
Expiration February 2016, Exercise Price: $26.11
    120       1,971,607  
Expiration February 2016, Exercise Price: $27.32
    45       733,914  
Expiration February 2016, Exercise Price: $200.20
    120       54,527  
Expiration February 2016, Exercise Price: $209.50
    45       7,189  
Expiration March 2016, Exercise Price: $27.32
    165       2,683,618  
Expiration March 2016, Exercise Price: $209.50
    165       35,821  
Expiration April 2016, Exercise Price: $27.15
    165       2,682,344  
Expiration April 2016, Exercise Price: $207.40
    165       56,970  
Expiration May 2016, Exercise Price: $27.65
    20       323,563  
Expiration May 2016, Exercise Price: $211.80
    20       5,549  
Expiration May 2016, Exercise Price: $27.45
    140       2,267,733  
Expiration May 2016, Exercise Price: $210.50
    140       43,743  
Expiration June 2016, Exercise Price: $27.15
    65       1,051,760  
Expiration June 2016, Exercise Price: $27.65
    100       1,613,108  
Expiration June 2016, Exercise Price: $208.25
    65       28,493  
Expiration June 2016, Exercise Price: $211.80
    100       33,078  
Expiration July 2016, Exercise Price: $27.15
    130       2,099,880  
Expiration July 2016, Exercise Price: $27.50
    35       564,132  
Expiration July 2016, Exercise Price: $208.25
    130       64,212  
Expiration July 2016, Exercise Price: $211.00
    35       14,186  
Expiration August 2016, Exercise Price: $27.35
    182       2,930,922  
Expiration August 2016, Exercise Price: $209.77
    77       37,894  
Expiration August 2016, Exercise Price: $211.00
    105       47,505  
Expiration September 2016, Exercise Price: $25.70
    100       1,622,191  
Expiration September 2016, Exercise Price: $197.15
    100       107,034  
Total Call Options
            31,905,241  
 
 
 

 
 
                 
Put Options - 10.0% (a)
               
S&P 500 Composite Stock Price Index
               
Expiration October 2015, Exercise Price: $194.50
    130       61,808  
Expiration October 2015, Exercise Price: $199.26
    30       24,154  
Expiration November 2015, Exercise Price: $199.26
    30       29,051  
Expiration November 2015, Exercise Price: $200.00
    130       132,431  
Expiration December 2015, Exercise Price: $184.50
    120       58,632  
Expiration December 2015, Exercise Price: $205.19
    40       61,134  
Expiration January 2016, Exercise Price: $199.20
    40       49,497  
Expiration January 2016, Exercise Price: $205.19
    120       195,256  
Expiration February 2016, Exercise Price: $200.20
    120       169,542  
Expiration February 2016, Exercise Price: $209.50
    45       92,121  
Expiration March 2016, Exercise Price: $209.50
    165       353,344  
Expiration April 2016, Exercise Price: $207.40
    165       342,626  
Expiration May 2016, Exercise Price: $211.80
    20       49,404  
Expiration May 2016, Exercise Price: $210.50
    140       332,569  
Expiration June 2016, Exercise Price: $208.25
    65       150,439  
Expiration June 2016, Exercise Price: $211.80
    100       256,085  
Expiration July 2016, Exercise Price: $208.25
    130       310,493  
Expiration July 2016, Exercise Price: $211.00
    35       90,084  
Expiration August 2016, Exercise Price: $209.77
    77       197,061  
Expiration August 2016, Exercise Price: $211.00
    105       277,417  
Expiration September 2016, Exercise Price: $197.15
    100       191,545  
Total Put Options
            3,424,693  
Total Purchased Options (Cost $38,402,788)
          $ 35,329,934  
                 
Money Market Funds - 1.1%
 
Shares
         
Invesco Advisers, Inc. STIT - Liquid Assets Portfolio - Institutional Class
               
0.16% (b)
    373,560       373,560  
Total Money Market Funds (Cost $373,560)
          $ 373,560  
                 
Total Investments (Cost $38,776,348) - 104.1%
            35,703,494  
                 
Liabilities in Excess of Other Assets - (4.1)%
            (1,415,330 )
TOTAL NET ASSETS - 100.0%
          $ 34,288,164  
 
Percentages are stated as a percent of net assets.
 
(a)
 
Non-income producing.
(b)
 
Variable Rate Security.  The rate shown represents the rate at September 30, 2015.

 
 

 
 
HATTERAS ALTERNATIVE MUTUAL FUNDS TRUST
HATTERAS DISCIPLINED OPPORTUNITY FUND
SCHEDULE OF OPTIONS WRITTEN
September 30, 2015 (Unaudited)
             
             
Options Written - 6.6%
           
Call Options - 1.8%
 
Contracts
   
Value
 
S&P 500 Composite Stock Price Index
           
Expiration: October 2015, Exercise Price: $203.45
    260     $ 2,953  
Expiration: October 2015, Exercise Price: $207.00
    60       180  
Expiration: November 2015, Exercise Price: $207.90
    60       1,512  
Expiration: November 2015, Exercise Price: $208.90
    260       4,948  
Expiration: December 2015, Exercise Price: $195.50
    240       111,861  
Expiration: December 2015, Exercise Price: $214.01
    80       1,361  
Expiration: January 2016, Exercise Price: $210.00
    80       7,569  
Expiration: January 2016, Exercise Price: $214.49
    240       9,603  
Expiration: February 2016, Exercise Price: $210.50
    240       33,370  
Expiration: February 2016, Exercise Price: $218.00
    90       3,673  
Expiration: March 2016, Exercise Price: $218.80
    330       19,938  
Expiration: April 2016, Exercise Price: $216.70
    330       42,045  
Expiration: May 2016, Exercise Price: $220.00
    320       37,158  
Expiration: June 2016, Exercise Price: $218.00
    130       24,367  
Expiration: June 2016, Exercise Price: $221.00
    200       27,394  
Expiration: July 2016, Exercise Price: $218.25
    260       57,851  
Expiration: July 2016, Exercise Price: $219.30
    70       14,137  
Expiration: August 2016, Exercise Price: $217.80
    154       41,529  
Expiration: August 2016, Exercise Price: $220.10
    210       46,563  
Expiration: September 2016, Exercise Price: $205.80
    200       137,257  
Total Call Options
            625,269  
                 
Put Options - 4.8%
               
S&P 500 Composite Stock Price Index
               
Expiration: October 2015, Exercise Price: $175.05
    130       3,984  
Expiration: October 2015, Exercise Price: $179.33
    30       1,799  
Expiration: November 2015, Exercise Price: $179.33
    30       6,621  
Expiration: November 2015, Exercise Price: $180.00
    130       30,240  
Expiration: December 2015, Exercise Price: $166.05
    120       19,854  
Expiration: December 2015, Exercise Price: $184.67
    40       19,736  
Expiration: January 2016, Exercise Price: $179.28
    40       19,107  
Expiration: January 2016, Exercise Price: $184.67
    120       74,565  
Expiration: February 2016, Exercise Price: $180.18
    120       72,593  
Expiration: February 2016, Exercise Price: $188.55
    45       39,006  
Expiration: March 2016, Exercise Price: $188.55
    165       162,509  
Expiration: April 2016, Exercise Price: $186.66
    165       167,583  
Expiration: May 2016, Exercise Price: $190.62
    20       25,224  
Expiration: May 2016, Exercise Price: $189.45
    140       169,847  
Expiration: June 2016, Exercise Price: $187.43
    65       80,218  
Expiration: June 2016, Exercise Price: $190.62
    100       136,331  
Expiration: July 2016, Exercise Price: $187.43
    130       170,913  
Expiration: July 2016, Exercise Price: $189.90
    35       49,554  
Expiration: August 2016, Exercise Price: $188.79
    77       111,396  
Expiration: August 2016, Exercise Price: $189.90
    105       156,838  
Expiration: September 2016, Exercise Price: $177.44
    100       111,717  
Total Put Options
            1,629,635  
                 
Total Options Written (Premiums received $4,553,903) - 6.6%
          $ 2,254,904  

 
 

 
 
HATTERAS ALTERNATIVE MUTUAL FUNDS TRUST
 
HATTERAS DISCIPLINED OPPORTUNITY FUND
 
                         
The Trust has performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination.
 
Various inputs are used in determining the value of the Fund's 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 the Fund’s own assumptions in determining the fair value of investments).
In addition to the fair-valued securities, the other securities designated as level 3 included securities where prices are obtained from a broker quote in an illiquid market.
     
                         
The following is a summary of the inputs used to value the Fund’s assets and liabilities as of September 30, 2015:
       
                         
Description
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Purchased Options
  $ -     $ 35,329,934     $ -     $ 35,329,934  
Money Market Funds
    373,560       -       -       373,560  
Total Investments
  $ 373,560     $ 35,329,934     $ -     $ 35,703,494  
                                 
Options Written
  $ -     $ 2,254,904     $ -     $ 2,254,904  
                                 
There were no transfers into or out of Level 1, Level 2, or Level 3 during the period.
                 
Transfers between levels are recognized at the end of the reporting period.
                         
                                 
The accompanying notes are an integral part of these financial statements.
                       

 
 

 
 
 
HATTERAS ALTERNATIVE MUTUAL FUNDS TRUST
 
HATTERAS EVENT DRIVEN FUND
 
SCHEDULE OF INVESTMENTS
 
September 30, 2015 (Unaudited)
 
             
   
Shares
   
Value
 
COMMON STOCKS - 68.0%
           
Aerospace & Defense - 1.4%
           
KLX, Inc. (a)
    45,675     $ 1,632,424  
Air Freight & Logistics - 0.5%
               
Air Transport Services Group, Inc. (a)
    73,541       628,775  
Airlines - 3.6%
               
Delta Air Lines, Inc. (b)
    85,105       3,818,662  
United Continental Holdings, Inc. (a)(b)
    7,406       392,888  
Total Airlines
            4,211,550  
                 
Automobiles - 3.0%
               
Fiat Chrysler Automobiles NV (a)(b)
    265,062       3,501,469  
Banks - 1.3%
               
Blue Hills Bancorp, Inc.
    5,074       70,275  
Citigroup, Inc. (b)
    30,090       1,492,765  
Total Banks
            1,563,040  
                 
Beverages - 0.4%
               
Molson Coors Brewing Co.
    5,915       491,063  
Capital Markets - 0.1%
               
Ashford, Inc. (a)
    2,837       180,008  
Chemicals - 6.4%
               
Canexus Corp. (a)
    315,177       273,964  
Ferro Corp. (a)(b)
    284,663       3,117,060  
Innophos Holdings, Inc. (b)
    29,534       1,170,728  
OCI Partners LP
    63,293       633,563  
Olin Corp. (b)
    40,112       674,283  
Orion Engineered Carbons SA (b)
    84,499       1,221,010  
Sigma-Aldrich Corp.
    2,614       363,137  
Total Chemicals
            7,453,745  
                 
Commercial Services & Supplies - 0.4%
               
Casella Waste Systems, Inc. (a)
    83,622       485,008  
Construction Materials - 3.6%
               
Cemex SAB de CV - ADR (a)
    205,535       1,436,690  
Eagle Materials, Inc. (b)
    40,258       2,754,452  
Total Construction Materials
            4,191,142  
                 
Consumer Finance - 0.4%
               
Ally Financial, Inc. (a)
    7,886       160,717  
Nelnet, Inc.
    9,419       325,991  
Total Consumer Finance
            486,708  
                 
Containers & Packaging - 5.7%
               
Graphic Packaging Holding Co. (b)
    269,655       3,448,887  
Intertape Polymer Group, Inc. (a)
    296,451       3,169,993  
Total Containers & Packaging
            6,618,880  
                 
 
 
 
 

 
 
Diversified Consumer Services - 1.6%
           
Enercare, Inc. (a)(b)
    173,368       1,829,166  
Diversified Financial Services - 0.1%
               
Gain Cap Holdings, Inc.
    11,878       86,472  
Diversified Telecommunication Services - 2.5%
               
Level 3 Communications, Inc. (a)(b)
    67,182       2,935,182  
Electrical Equipment - 2.5%
               
BWX Technologies, Inc. (b)
    103,206       2,720,510  
SolarCity Corp. (a)
    5,625       240,244  
Total Electrical Equipment
            2,960,754  
                 
Energy Equipment & Services - 0.5%
               
North American Energy Partners, Inc.
    278,327       606,753  
Food Products - 1.1%
               
Nomad Foods Ltd. (a)
    81,670       1,286,302  
Health Care Equipment & Supplies - 0.1%
               
Human Touch (Acquired 8/12/2009 through 10/1/2013, Cost $97,925) (a)(e)(f)
    394       27,605  
Symmetry Surgical, Inc. (a)
    4,582       40,780  
Total Health Care Equipment & Supplies
            68,385  
                 
Hotels, Restaurants & Leisure - 8.2%
               
ClubCorp Holdings, Inc. (b)
    151,303       3,246,963  
Diamond Resorts International, Inc. (a)(b)
    142,844       3,341,121  
Marriott International, Inc. (b)
    1       68  
Panera Bread Co. (a)
    10,986       2,124,802  
Vail Resorts, Inc. (b)
    7,984       835,765  
Total Hotels, Restaurants & Leisure
            9,548,719  
                 
Household Durables - 1.5%
               
WCI Communities, Inc. (a)
    77,522       1,754,323  
Independent Power and Renewable Electricity Producers - 0.4%
               
Mytrah Energy Ltd. (a)
    436,530       416,026  
Insurance - 0.2%
               
WMIH Corp. (a)
    78,899       203,559  
IT Services - 1.7%
               
Paypal Holdings, Inc. (a)
    63,076       1,957,879  
Machinery - 0.6%
               
Jason Industries, Inc. (a)(b)
    153,333       671,598  
Marine - 1.7%
               
Matson, Inc. (b)
    51,995       2,001,288  
Media - 0.7%
               
CBS Corp.
    12,422       495,638  
Sinclair Broadcast Group, Inc.
    3,827       96,900  
Tribune Media Co.
    8,117       288,965  
Total Media
            881,503  
                 
Metals & Mining - 0.0%
               
Primero Mining Corp. (a)
    15,368       35,930  
Oil, Gas & Consumable Fuels - 1.3%
               
Penn West Petroleum Ltd. (b)
    978,629       440,579  
Rock Energy, Inc. (a)
    872,097       875,691  
World Point Terminals LP
    11,365       152,291  
Total Oil, Gas & Consumable Fuels
            1,468,561  
                 
Paper & Forest Products - 1.2%
               
Norbord, Inc.
    94,963       1,362,002  
 
 
 
 

 
 
Pharmaceuticals - 0.8%
           
Taro Pharmaceutical Industries Ltd. (a)(b)
    6,919       988,656  
Real Estate Investment Trusts (REITs) - 1.3%
               
American Hotel Income Properties (a)
    20,558       152,664  
Dream Global Real Estate Investment Trust (a)
    55,800       369,631  
WPT Industrial Real Estate Investment Trust
    52,601       598,073  
Xenia Hotels & Resorts, Inc.
    21,324       372,317  
Total Real Estate Investment Trusts (REITs)
            1,492,685  
                 
Road & Rail - 3.8%
               
AMERCO (b)
    7,548       2,969,912  
Hertz Global Holdings, Inc. (a)(b)
    87,173       1,458,404  
Total Road & Rail
            4,428,316  
                 
Semiconductors & Semiconductor Equipment - 3.2%
               
Micron Technology, Inc. (a)(b)
    95,851       1,435,848  
Siltronic AG (a)
    10,422       287,185  
SunEdison Semiconductor Ltd. (a)
    166,399       1,753,845  
Tower Semiconductor Ltd. (a)
    21,373       275,071  
Total Semiconductors & Semiconductor Equipment
            3,751,949  
                 
Software - 2.4%
               
Ebix, Inc.
    7,359       183,681  
Ubisoft Entertainment (a)
    131,059       2,660,037  
Total Software
            2,843,718  
                 
Specialty Retail - 1.0%
               
Signet Jewelers Ltd.
    8,256       1,123,889  
Thrifts & Mortgage Finance - 0.3%
               
Clifton Bancorp, Inc.
    5,986       83,086  
Kearny Financial Corp.
    14,568       167,095  
Waterstone Financial, Inc.
    10,777       145,274  
Total Thrifts & Mortgage Finance
            395,455  
                 
Transportation Infrastructure - 2.5%
               
Aena SA (Acquired 2/23/2015, Cost $2,294,043)(a)(d)
    14,906       1,648,827  
Macquarie Infrastructure Corp.
    17,772       1,326,857  
Total Transportation Infrastructure
            2,975,684  
                 
TOTAL COMMON STOCKS (Cost $86,714,438)
          $ 79,518,566  
                 
PREFERRED STOCKS - 0.5%
               
Health Care Equipment & Supplies - 0.1%
               
Human Touch Series B, 0.000% (Acquired 8/12/2009 through 10/1/2013, Cost $195,800) (a)(e)(f)
    787       59,028  
Thrifts & Mortgage Finance - 0.4%
               
Federal Home Loan Mortgage Corp., 8.375% (a)(c)
    48,976       239,983  
Federal National Mortgage Association, 8.250% (a)(c)
    55,619       269,752  
Total Thrifts & Mortgage Finance
            509,735  
                 
TOTAL PREFERRED STOCKS (Cost $686,772)
          $ 568,763  
                 
   
Principal
         
   
Amount
         
CONVERTIBLE BONDS - 0.2%
               
IT Services - 0.2%
               
ModusLink Global Solutions, Inc.
               
5.250%, 03/01/2019
  $ 245,000       198,144  
TOTAL CONVERTIBLE BONDS (Cost $215,289)
          $ 198,144  
 
 
 
 

 
 
CORPORATE BONDS - 3.0%
           
Oil, Gas & Consumable Fuels - 1.7%
           
Endeavour International Corp.
           
12.000%, 03/01/2018 (g)
    609,613       67,057  
Lightstream Resources Ltd.
               
8.625%, 02/01/2020 (Acquired 02/03/2015 through 03/12/2015, Cost $2,988,879) (b)(d)
    4,307,451       990,714  
W&T Offshore, Inc.
               
8.500%, 06/15/2019
    1,500,000       667,500  
WPX Energy, Inc.
               
8.250%, 08/01/2023
    315,000       285,863  
Total Oil, Gas & Consumable Fuels
            2,011,134  
                 
Paper & Forest Products - 1.0%
               
Millar Western Forest Products Ltd.
               
8.500%, 04/01/2021
    1,410,000       1,029,300  
Verso Paper Holdings LLC/Verso Paper, Inc.
               
11.375%, 08/01/2016
    925,000       92,500  
11.750%, 01/15/2019
    950,000       95,000  
Total Paper & Forest Products
            1,216,800  
                 
Semiconductors & Semiconductor Equipment - 0.3%
               
Magnachip Semiconductor Corp.
               
6.625%, 07/15/2021
    420,000       327,600  
TOTAL CORPORATE BONDS (Cost $8,074,262)
          $ 3,555,534  
                 
ESCROW NOTES - 0.0%
               
Lear Corp. (a)(e)
    1,000,000       100  
Smurfit-Stone Container Corp. (a)(b)(e)
    7,125       0  
TOTAL ESCROW NOTES (Cost $0)
          $ 100  
                 
EXCHANGE TRADED FUNDS - 1.2%
 
Shares
         
iShares U.S. Home Construction ETF
    56,362       1,471,048  
TOTAL EXCHANGE TRADED FUNDS (Cost $1,546,899)
          $ 1,471,048  
                 
CLOSED-END FUNDS - 2.6%
               
Capital Southwest Corp. (b)
    63,932       3,030,377  
TOTAL CLOSED-END FUNDS (Cost $2,680,000)
          $ 3,030,377  
                 
RIGHTS - 0.2%
               
Ambit Biosciences Corp. (a)(e)
    1,500       900  
Chelsea Therapeutics International Ltd.  (a)(e)
    1,000       110  
Contra Teva Pharmaceuticals, Inc. (a)(e)
    71,885       38,099  
Durata Therapeutics, Inc. (a)(e)
    10,000       1,600  
Furiex Pharmaceuticals Inc. (a)
    1,000       9,770  
Leap Wireless International, Inc. (a)(e)
    60,000       151,200  
Omthera Pharmaceuticals (a)(e)
    100       60  
Trius Therapeutics, Inc. (a)(e)
    70,000       9,100  
TOTAL RIGHTS (Cost $0)
          $ 210,839  
                 
WARRANTS - 0.0%
               
Alpha Bank AE
               
Expiration December 2017, Exercise Price: $0.45
    269,581       5,723  
TOTAL WARRANTS (Cost $341,323)
          $ 5,723  
                 
 
 
 
 

 
 
PURCHASED OPTIONS - 0.8%
           
Call Options - 0.0%
 
Contracts
       
Fiat Chrysler Automobiles NV
           
Expiration March 2016, Exercise Price: $19.00
    73       2,372  
Expiration January 2017, Exercise Price: $20.00
    211       29,540  
Total Call Options
            31,912  
Put Options - 0.8%
               
iShares Russell 2000 ETF
               
Expiration October 2015, Exercise Price: $111.00
    2,182       658,964  
SPDR S&P 500 ETF Trust
               
Expiration October 2015, Exercise Price: $189.00
    118       43,660  
Expiration October 2015, Exercise Price: $190.00
    118       50,150  
Expiration October 2015, Exercise Price: $192.50
    119       60,095  
Expiration October 2015, Exercise Price: $193.00
    119       66,759  
Total Put Options
            879,628  
TOTAL PURCHASED OPTIONS (Cost $940,792)
          $ 911,540  
                 
MONEY MARKET FUNDS - 22.6%
 
Shares
         
Invesco Advisers, Inc. STIT - Liquid Assets Portfolio - Institutional Class
               
0.16% (c)
    26,398,853       26,398,853  
TOTAL MONEY MARKET FUNDS (Cost $26,398,853)
          $ 26,398,853  
                 
Total Investments (Cost $127,598,628) - 99.1%
            115,869,487  
                 
Other Assets in Excess of Liabilities - 0.9%
            1,074,357  
TOTAL NET ASSETS - 100.0%
          $ 116,943,844  
                 
 
Percentages are stated as a percent of net assets.
 
ADR 
American Depository Receipt
(a) 
Non-income producing.
(b) 
Security position is either entirely or partially held in a segregated account as collateral for securities sold short, aggregating a total value of $50,488,355.
(c) 
Variable Rate Security.  The rate shown represents the rate at September 30, 2015.
(d) 
Restricted security as defined in Rule 144(a) under the Securities Act of 1933 and determined to be liquid by the Investment Advisor (unaudited).  Purchased in private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers.  At September 30, 2015, the value of these securities total $2,639,541 which represents 2.3% of total net assets.
(e) 
Security classified as Level 3 - Significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments). At September 30, 2015, the market value of these securities total $287,802 which represents less than 0.2% of total net assets.
(f) 
Restricted security as defined in Rule 144(a) under the Securities Act of 1933 and determined to be illiquid by the Investment Advisor (unaudited).  Purchased in private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers.  At September 30, 2015, the value of these securities total $86,633 which represents 0.1% of total net assets.
(g) 
Default or other conditions exist and security is not presently accruing income.
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard &
Poor Financial Services LLC (“S&P”).  GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund
Services, LLC.
 
 
 
 

 
 
 
HATTERAS ALTERNATIVE MUTUAL FUNDS TRUST
 
HATTERAS EVENT DRIVEN FUND
 
SCHEDULE OF SECURITIES SOLD SHORT
 
September 30, 2015 (Unaudited)
 
             
   
Shares
   
Value
 
COMMON STOCKS - 14.1%
           
Airlines - 0.5%
           
United Continental Holdings, Inc.
    11,210     $ 594,691  
Automobiles - 2.3%
               
AutoCanada, Inc.
    48,506       939,951  
Bayerische Motoren Werke Aktiengesellschaft
    1,185       103,383  
Ford Motor Co.
    60,737       824,201  
Magna International, Inc.
    4,446       213,452  
Peugeot SA
    42,655       646,337  
Total Automobiles
            2,727,324  
                 
Capital Markets - 0.3%
               
Ashmore Group PLC
    101,695       379,664  
Chemicals - 0.1%
               
A. Schulman, Inc.
    4,719       153,226  
Consumer Finance - 0.5%
               
Navient Corp.
    15,626       175,636  
PRA Group, Inc.
    6,618       350,225  
Total Consumer Finance
            525,861  
                 
Diversified Telecommunication Services - 0.0%
               
Straight Path Communications, Inc.
    378       15,275  
Energy Equipment & Services - 1.0%
               
Aspen Aerogels, Inc.
    29,894       224,205  
Calfrac Well Services Ltd.
    52,590       122,559  
Enerplus Corp.
    162,750       792,713  
Hornbeck Offshore Services, Inc.
    900       12,177  
Mullen Group Ltd.
    1,183       15,823  
Total Energy Equipment & Services
            1,167,477  
                 
Food & Staples Retailing - 1.5%
               
SUPERVALU, Inc.
    54,841       393,758  
Sysco Corp.
    33,631       1,310,600  
Total Food & Staples Retailing
            1,704,358  
                 
Hotels, Restaurants & Leisure - 1.1%
               
Starbucks Corp.
    23,601       1,341,481  
Household Durables - 0.3%
               
Garmin Ltd.
    9,017       323,530  
Machinery - 0.6%
               
Caterpillar, Inc.
    10,064       657,783  
Metals & Mining - 0.1%
               
Primero Mining Corp.
    15,368       35,930  
Schnitzer Steel Industries, Inc.
    8,434       114,196  
Total Metals & Mining
            150,126  
 
 
 
 

 
 
Multiline Retail - 0.4%
           
J.C. Penney Co., Inc.
    46,101       428,278  
Oil, Gas & Consumable Fuels - 0.4%
               
California Resources Corp.
    140,121       364,315  
Lightstream Resources Ltd.
    43,250       11,343  
Whitecap Resources, Inc.
    12,973       102,462  
Total Oil, Gas & Consumable Fuels
            478,120  
                 
Personal Products - 1.2%
               
Coty, Inc.
    53,955       1,460,022  
Pharmaceuticals - 1.1%
               
Herbalife Ltd.
    5,952       324,384  
Valeant Pharmaceuticals International, Inc.
    5,428       968,247  
Total Pharmaceuticals
            1,292,631  
                 
Real Estate Investment Trusts (REITs) - 0.2%
               
DiamondRock Hospitality Co.
    3,882       42,896  
Hospitality Properties Trust
    1,946       49,779  
Host Hotels & Resorts, Inc.
    2,358       37,280  
RLJ Lodging Trust
    948       23,956  
Sunstone Hotel Investors, Inc.
    3,213       42,508  
Total Real Estate Investment Trusts (REITs)
            196,419  
                 
Software - 0.6%
               
Mobileye NV
    13,019       592,104  
Rosetta Stone, Inc.
    19,978       133,853  
Total Software
            725,957  
                 
Specialty Retail - 0.9%
               
Cabela's, Inc.
    2,360       107,616  
GameStop Corp.
    7,974       328,609  
Restoration Hardware Holdings, Inc.
    592       55,239  
Select Comfort Corp.
    26,386       577,326  
Total Specialty Retail
            1,068,790  
                 
Thrifts & Mortgage Finance - 0.2%
               
Essent Group Ltd.
    8,029       199,521  
Trading Companies & Distributors - 0.8%
               
Finning International
    58,209       854,052  
Toromont Industries Ltd.
    2,960       72,020  
Total Trading Companies & Distributors
            926,072  
                 
TOTAL COMMON STOCKS (Proceeds $18,983,930)
          $ 16,516,606  
                 
EXCHANGE TRADED FUNDS - 9.0%
               
CurrencyShares Euro Trust
    4,717       516,889  
Industrial Select Sector SPDR Fund
    46,644       2,327,069  
SPDR Barclays Capital High Yield Bond ETF
    11,511       410,482  
SPDR S&P 500 ETF Trust
    35,454       6,794,050  
SPDR S&P Bank ETF
    14,570       484,307  
SPDR S&P Homebuilders ETF
    1,200       41,076  
TOTAL EXCHANGE TRADED FUNDS (Proceeds $11,591,075)
          $ 10,573,873  
                 
 
 
 
 

 
 
   
Principal
       
   
Amount
       
CORPORATE BONDS - 0.3%
           
Oil, Gas & Consumable Fuels - 0.3%
           
WPX Energy, Inc.
           
6.000%, 01/15/2022
  $ 420,000       361,200  
TOTAL CORPORATE BONDS (Proceeds $400,725)
          $ 361,200  
                 
   
Principal
         
                 
Amount
         
FOREIGN GOVERNMENT NOTES/BONDS - 1.1%
               
France Government Bond OAT
               
3.500%, 04/25/2026
 
EUR                         899,000
      1,255,093  
TOTAL FOREIGN GOVERNMENT NOTES/BONDS (Proceeds $1,283,228)
          $ 1,255,093  
                 
Total Securities Sold Short (Proceeds $32,258,958) - 24.5%
          $ 28,706,772  
 
 
 
 

 
 
HATTERAS ALTERNATIVE MUTUAL FUNDS TRUST
 
HATTERAS EVENT DRIVEN FUND
 
SCHEDULE OF OPTIONS WRITTEN
 
September 30, 2015 (Unaudited)
 
             
             
   
Contracts
   
Value
 
CALL OPTIONS
           
Citigroup, Inc.
           
Expiration: October 2015, Exercise Price: $51.00
    59     $ 413  
Expiration: October 2015, Exercise Price: $52.00
    36       72  
ClubCorp Holdings, Inc.
               
Expiration: October 2015, Exercise Price: $24.00
    71       888  
Delta Air Lines, Inc.
               
Expiration: October 2015, Exercise Price: $45.50
    24       744  
Expiration: October 2015, Exercise Price: $47.50
    30       30  
Expiration: October 2015, Exercise Price: $48.00
    59       59  
Expiration: October 2015, Exercise Price: $48.50
    130       650  
Eagle Materials, Inc.
               
Expiration: October 2015, Exercise Price: $82.50
    27       337  
Ingredion, Inc.
               
Expiration: October 2015, Exercise Price: $90.00
    53       4,108  
iShares U.S. Home Construction ETF
               
Expiration: October 2015, Exercise Price: $28.00
    29       145  
Panera Bread Co.
               
Expiration: October 2015, Exercise Price: $190.00
    47       23,923  
Expiration: October 2015, Exercise Price: $195.00
    12       2,880  
Expiration: October 2015, Exercise Price: $200.00
    14       1,330  
Signet Jewelers Ltd.
               
Expiration: October 2015, Exercise Price: $140.00
    6       858  
Expiration: October 2015, Exercise Price: $145.00
    57       1,710  
WestRock Co.
               
Expiration: October 2015, Exercise Price: $60.00
    15       375  
Zimmer Biomet Holdings, Inc.
               
Expiration: October 2015, Exercise Price: $105.00
    24       312  
Total Call Options
            38,834  
                 
PUT OPTIONS
               
Activision Blizzard, Inc.
               
Expiration: October 2015, Exercise Price: $31.50
    44       3,828  
California Resources Corp.
               
Expiration: October 2015, Exercise Price: $2.50
    83       1,660  
Expiration: October 2015, Exercise Price: $3.00
    36       2,160  
Caterpillar, Inc.
               
Expiration: October 2015, Exercise Price: $63.50
    71       1,775  
Coty, Inc.
               
Expiration: October 2015, Exercise Price: $24.00
    35       700  
Expiration: October 2015, Exercise Price: $25.00
    94       2,350  
Expiration: October 2015, Exercise Price: $26.00
    95       4,275  
iShares Russell 2000 ETF
               
Expiration: October 2015, Exercise Price: $105.00
    59       5,192  
 
 
 
 

 
 
 
Expiration: October 2015, Exercise Price: $107.00
    940       133,480  
Expiration: October 2015, Exercise Price: $108.00
    496       83,824  
Expiration: October 2015, Exercise Price: $109.00
    672       145,152  
Magna International, Inc.
               
Expiration: October 2015, Exercise Price: $45.00
    59       3,540  
Panera Bread Co.
               
Expiration: October 2015, Exercise Price: $185.00
    65       8,125  
Restoration Hardware Holdings, Inc.
               
Expiration: October 2015, Exercise Price: $95.00
    6       2,334  
Signet Jewelers Ltd.
               
Expiration: October 2015, Exercise Price: $135.00
    26       8,060  
SPDR S&P 500 ETF Trust
               
Expiration: October 2015, Exercise Price: $182.00
    236       46,020  
Expiration: October 2015, Exercise Price: $186.00
    237       66,834  
Starbucks Corp.
               
Expiration: October 2015, Exercise Price: $53.50
    118       767  
Expiration: October 2015, Exercise Price: $54.00
    118       1,298  
Sysco Corp.
               
Expiration: October 2015, Exercise Price: $37.00
    83       1,037  
Expiration: October 2015, Exercise Price: $38.00
    89       2,670  
United Continental Holdings, Inc.
               
Expiration: October 2015, Exercise Price: $52.00
    35       1,400  
Expiration: October 2015, Exercise Price: $52.50
    71       3,408  
Valeant Pharmaceuticals International, Inc.
               
Expiration: October 2015, Exercise Price: $150.00
    1       40  
Expiration: October 2015, Exercise Price: $155.00
    5       475  
Expiration: October 2015, Exercise Price: $175.00
    7       3,150  
Expiration: October 2015, Exercise Price: $180.00
    18       11,520  
Expiration: October 2015, Exercise Price: $185.00
    18       15,300  
Expiration: October 2015, Exercise Price: $190.00
    6       7,680  
Total Put Options
            568,054  
                 
Total Options Written (Premiums received $525,810) - 0.5%
          $ 606,888  

 
 
 

 
 
HATTERAS ALTERNATIVE MUTUAL FUNDS TRUST
 
HATTERAS EVENT DRIVEN FUND
 
FORWARD CONTRACTS
 
September 30, 2015 (Unaudited)
 
                                 
Unrealized
 
     
Currency
 
U.S. $ Value
   
Currency
 
U.S. $ Value
   
Appreciation
 
Settlement Date
Counterparty
 
to be Delivered
 
September 30, 2015
   
to be Received
 
September 30, 2015
   
(Depreciation)
 
10/30/2015
U.S. Bank
    1,800,000  
Canadian Dollars
  $ 1,348,608       1,341,130  
U.S. Dollars
  $ 1,341,130     $ (7,478 )
12/31/2015
BNP Paribas S.A.
    2,400,000  
Canadian Dollars
    1,829,575       1,962,067  
U.S. Dollars
    1,962,067