N-CSR 1 frankncsr.htm N-CSR Filing

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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES


Investment Company Act file number: 811-21532


FRANK FUNDS

(Exact Name of Registrant as Specified in Charter)


781 Crandon Blvd. Unit 602

Key Biscayne, FL 33149

(Address of Principal Executive Offices)  (Zip Code)


Brian J. Frank, Frank Capital Partners LLC

781 Crandon Blvd. Unit 602

Key Biscayne, FL 33149

 (Name and Address of Agent for Service)


With copy to:

JoAnn M. Strasser, Thompson Hine LLP

312 Walnut Street, 14th Floor, Cincinnati, Ohio  45202


Registrant’s Telephone Number, including Area Code:  973-887-7698


Date of fiscal year end: June 30


Date of reporting period: June 30, 2019


Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).  The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection and policymaking roles.


A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public.  A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number.  Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609.  The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.


Item 1.  Reports to Stockholders.






Item 2. Code of Ethics.




FRANK FUNDS



FRANK VALUE FUND

Investor Class – FRNKX

Class C – FNKCX

Institutional Class – FNKIX



LEIGH BALDWIN TOTAL RETURN FUND – LEBOX



CAMELOT EVENT DRIVEN FUND

Class A - EVDAX

Institutional Class - EVDIX





ANNUAL REPORT

June 30, 2019






Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ websites www.frankfunds.com, www.leighbaldwin.com, and www.cameloteventdrivenfund.com, and you will be notified by mail each time a report is posted and provided with a website link to access the report.


If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, by following the instructions included with paper Fund documents that have been mailed to you.




FRANK FUNDS


SHAREHOLDER LETTER

JUNE 30, 2019 (UNAUDITED)



To our Fellow Shareholders,


Frank Funds is well positioned to lead active managers into a new paradigm. As US stocks remain near record valuations and passive investment vehicles gain market share, a large opportunity exists for Frank Funds to remain focused on its strategies and reap the long-term rewards of discipline. We are optimistic about the future for our Trust and thankful for our shareholders, employees, and stakeholders.


Frank Value Fund Portfolio Performance


Frank Capital Partners LLC continues to position the Frank Value Fund defensively. This paid off significantly in the fourth calendar quarter of 2018 when the S&P 500 declined (-13.52%) and the Frank Value Fund lost (-2.93%.) Those three months of declines in an otherwise rising market caught most of our peers being too aggressive, and the Frank Value Fund ended calendar 2018 as the #1 performing fund in its Morningstar Category, Mid-Cap Blend. Frank Capital Partners LLC believes extreme valuations and slowing growth justify material future declines in the S&P 500.


The first two quarters of calendar 2019 have again been an uptrend for stocks, and the Frank Value Fund’s holdings have lagged the S&P 500. Specifically, Fund holding Liberty Latin America (NYSE: LILA) declined 13.4% in the fiscal year ending June 30, 2019, yet the company produced over $1.3 billion in pre-tax cashflow. At the current valuation the company trades around a 6x EV/EBITDA ratio which is roughly a 60% discount to the average S&P 500 company. Numerous value stocks the Fund is avoiding trade at a discount due to lack of revenue growth. Liberty Latin America, however, enjoys a mid-single digit sales growth, and in the second calendar quarter of 2019, LILA grew its operating profit over 10% from the previous year. The company’s target markets in Latin America have less than 50% of households using broadband Internet connections, giving Liberty Latin America much more room for growth than its US peers. The Frank Value Fund remains invested in Liberty Latin America.


Towards the end of the Fund’s fiscal year, gold and the Fund’s gold mining holdings experienced increases and outperformance relative to the index. Both Frank Value Fund holdings Barrick Gold (NYSE: GOLD) and Newmont Goldcorp (NYSE: NEM) completed mergers in 2019, making them the largest holders of gold deposits in the world. The Federal Reserve halted its increases in the Fed Funds Rate in 2019 and has since embarked on an interest rate lowering cycle. Globally, nearly all developed markets outside of the US trade with negative government bond yields. Lower US rates and negative rates in Europe and Japan vastly increase the attractiveness of gold and gold miners. Institutions in Europe are now charged interest to deposit money at the European Central Bank – creating an urgent need for a store of value like gold. Frank Capital Partners LLC believes an economic slowdown in the US would result in the Fed cutting rates to zero or negative, creating the same drivers for gold in the US marketplace. The Frank Value Fund remains invested in Barrick Gold and Newmont Goldcorp.


While Frank Capital Partners LLC is disappointed with the relative performance of the Frank Value Fund, the investment manger remains confident that its strategy will prevail in the long-term. US stock valuations are at near all-time record levels yet large swaths of macro and company-level data are deteriorating. As Central Banks around the world exhaust their



1


FRANK FUNDS


SHAREHOLDER LETTER (CONTINUED)

JUNE 30, 2019 (UNAUDITED)



abilities to ease and passive strategies run out of flows from active, Frank Capital Partners LLC believes it has positioned the Frank Value Fund to significantly outperform all asset classes.


The Frank Value Fund (“Value Fund”) Investor Class lost -0.99% for the fiscal year ended June 30, 2019, compared to a gain of 10.42% for its benchmark, the S&P 500 Index.


Leigh Baldwin Total Return Fund Portfolio Performance


The Leigh Baldwin Total Return Fund (LEBOX) begins fiscal year 2019-2020 after finishing its second year in a row of positive returns.  In fact, the fund has outperformed the HFRX EH (Equity Market Neutral Index) for the past 6-month, 1-year, and 3-year time periods.  As he begins his twelfth year at the helm since inception, manager Leigh Baldwin continues to adhere to his market neutral roots of investing into high quality companies or indexes that represent these companies, with a nod to potential dividends.  Additionally, the fund seeks to limit downside risk by simultaneously using options to protect these investments from downward moves.  The stated goal is to outperform traditional equity and fixed income investments during periods of high volatility, high interest rates, and bearish equity prices.


2018 proved to be a challenging year for investors, with the major averages trading at or near all-time highs on two separate occasions, only to fall in violent fashion shortly thereafter.  The fund performed as designed as higher interest rates, higher volatility, and lower stock prices accelerated a sharp sell-off into the end of the year.  In fact, during the last quarter of 2018, LEBOX gained 0.88% while the Vanguard S&P 500 Index (VFINX) fell 13.55% and the Vanguard Market Neutral Fund (VMNFX) fell 2.48%.  With 10 of the past 11 years (including 2019 year to date) positive for stocks, it has arguably been difficult for a market neutral fund, with an emphasis on outperformance in times of financial stress, to shine.  The manager believes our systematic process to capture equity appreciation and dividend income while mirroring the same position for the downside will continue to be a complement to a well-designed, diverse portfolio.


The Baldwin Fund returned 1.20% for the year ending June 30, 2019 which compares to a loss of -4.37% in the HFRX market neutral index during the same time period.


Camelot Event Driven Fund Portfolio Performance


The Camelot Event-Driven Fund Institutional Class returned 5.77% for the fiscal year ended June 30, 2019, compared to 10.42% for the S&P 500 Index.



Thank you for your investments.  We look forward to continuing to work with you.


Sincerely,


[frankfundsannual002.gif]

Brian Frank

President

Frank Funds Trust



2


VALUE FUND – INVESTOR CLASS


PERFORMANCE ILLUSTRATION

JUNE 30, 2019 (UNAUDITED)



AVERAGE ANNUAL RATE OF RETURN (%)

FOR PERIODS ENDED JUNE 30, 2019


Cumulative Performance Comparison $10,000 Investment Since Inception

FUND/INDEX

1-YEAR

5-YEAR

10-YEAR

SINCE INCEPTION

VALUE AS OF 6/30/19

Frank Value Fund - Investor Class

-0.99%

-0.79%

8.40%

5.64%

$     22,696

S&P 500 Index

10.42%

10.72%

14.70%

9.01%

$     36,316

[frankfundsannual004.gif]



This chart assumes an initial investment of $10,000 made on 7/21/2004 for the Investor Class (commencement of investment operations). Total return is based on the net change in NAV and assumes reinvestment of all dividends and other distributions. Performance figures represent past performance which is not predictive of future performance. Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost.


The Standard & Poor’s 500 Index (“S&P 500”) is a market value-weighted index, representing the aggregate market value of the common equity of 500 stocks primarily traded on the New York Stock Exchange.  The S&P 500 is a widely recognized, unmanaged index of common stock prices.  The figures for the S&P 500 reflect all dividends reinvested but do not reflect any deductions for fees, expenses or taxes.


Per the fee table in the November 1, 2018 Prospectus, the Fund’s total annual operating expense ratio was 1.52% for Investor Class Shares.


The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares.


Current performance may be lower or higher than the performance data quoted.  To obtain performance data current to the most recent month end, please call (888)-217-5426.



3


VALUE FUND – CLASS C


PERFORMANCE ILLUSTRATION

JUNE 30, 2019 (UNAUDITED)



AVERAGE ANNUAL RATE OF RETURN (%)

FOR PERIODS ENDED JUNE 30, 2019


 FUND/INDEX

1-YEAR



5 Year

SINCE INCEPTION

VALUE AS OF 6/30/19

Frank Value Fund - Class C

-1.77%

-1.52%

6.02%

 $   16,691

S&P 500 Index

10.42%

10.72%

13.95%

 $   31,148


Cumulative Performance Comparison $10,000 Investment Since Inception

[frankfundsannual006.gif]


This chart assumes an initial investment of $10,000 made on 9/23/2010 for Class C (commencement of investment operations). Total return is based on the net change in NAV and assumes reinvestment of all dividends and other distributions. Performance figures represent past performance which is not predictive of future performance. Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost.


The Standard & Poor’s 500 Index (“S&P 500”) is a market value-weighted index, representing the aggregate market value of the common equity of 500 stocks primarily traded on the New York Stock Exchange.  The S&P 500 is a widely recognized, unmanaged index of common stock prices.  The figures for the S&P 500 reflect all dividends reinvested but do not reflect any deductions for fees, expenses or taxes.


The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares.


Per the fee table in the November 1, 2018 Prospectus, the Fund’s total annual operating expense ratio was 2.27% for Class C Shares.


Current performance may be lower or higher than the performance data quoted.  To obtain performance data current to the most recent month end, please call (888)-217-5426.  







4


VALUE FUND – INSTITUTIONAL CLASS


PERFORMANCE ILLUSTRATION

JUNE 30, 2019 (UNAUDITED)



AVERAGE ANNUAL RATE OF RETURN (%)

FOR PERIODS ENDED JUNE 30, 2019

 

FUND/INDEX

1-YEAR



5-YEAR

SINCE INCEPTION

VALUE AS OF 6/30/19

Frank Value Fund - Institutional Class

-0.78%

-0.54%

6.17%

 $   16,793

S&P 500 Index

10.42%

10.72%

13.29%

 $   29,557


Cumulative Performance Comparison $10,000 Investment Since Inception

[frankfundsannual008.gif]



This chart assumes an initial investment of $10,000 made on 11/03/2010 for the Institutional Class (commencement of investment operations). Total return is based on the net change in NAV and assumes reinvestment of all dividends and other distributions. Performance figures represent past performance which is not predictive of future performance. Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost.


The Standard & Poor’s 500 Index (“S&P 500”) is a market value-weighted index, representing the aggregate market value of the common equity of 500 stocks primarily traded on the New York Stock Exchange.  The S&P 500 is a widely recognized, unmanaged index of common stock prices.  The figures for the S&P 500 reflect all dividends reinvested but do not reflect any deductions for fees, expenses or taxes.


Per the fee table in the November 1, 2018 Prospectus, the Fund’s total annual operating expense ratio was 1.27% for Institutional Class Shares.


The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares.


Current performance may be lower or higher than the performance data quoted.  To obtain performance data current to the most recent month end, please call (888)-217-5426.



5


BALDWIN FUND


PERFORMANCE ILLUSTRATION

JUNE 30, 2019 (UNAUDITED)



 AVERAGE ANNUAL RATE OF RETURN (%)

FOR PERIODS ENDED JUNE 30, 2019


 FUND/INDEX

1-YEAR

5-YEAR

SINCE

INCEPTION

VALUE AS OF 6/30/19

Leigh Baldwin Fund

1.20%

-1.06%

-1.08%

$8,882

S&P 500 Index

10.42%

10.72%

10.36%

$29,329

HFRX Equity Market Neutral Index

-4.37%

-0.02%

-1.02%

$8,938


    Cumulative Performance Comparison $10,000 Investment Since Inception

[frankfundsannual010.gif]



This chart assumes an initial investment of $10,000 made on 8/1/2008 (commencement of investment operations).  Total return is based on the net change in NAV and assumes reinvestment of all dividends and other distributions. Performance figures represent past performance which is not predictive of future performance.   Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost.


The Standard & Poor’s 500 Index (“S&P 500”) is a market value-weighted index, representing the aggregate market value of the common equity of 500 stocks primarily traded on the New York Stock Exchange.  The S&P 500 is a widely recognized, unmanaged index of common stock prices.  The figures for the S&P 500 reflect all dividends reinvested but do not reflect any deductions for fees, expenses or taxes.


Equity Market Neutral strategies employ sophisticated quantitative techniques of analyzing price data to ascertain information about future price movement and relationships between securities, select securities for purchase and sale. These can include both Factor-based and Statistical Arbitrage/Trading strategies. Factor-based investment strategies include strategies in which the investment thesis is predicated on the systematic analysis of common relationships between securities. In many but not all cases, portfolios are constructed to be neutral to one or multiple variables, such as broader equity markets in dollar or beta terms, and leverage is frequently employed to enhance the return profile of the positions identified. Statistical Arbitrage/Trading strategies consist of strategies in which the investment thesis is predicated on exploiting pricing anomalies which may occur as a function of expected mean reversion inherent in security prices; high frequency techniques may be employed and trading strategies may also be employed on the basis on technical analysis or opportunistically to exploit new information the investment manager believes has not been fully, completely or accurately discounted into current security prices.


Hedge Fund Research, Inc. (HFR) utilizes a UCITSIII compliant methodology to construct the HFRX Hedge Fund Indices. The methodology is based on defined and predetermined rules and objective criteria to select and rebalance components to maximize representation of the Hedge Fund Universe. HFRX Indices utilize state-of-the-art quantitative techniques and analysis; multi-level screening, cluster analysis, Monte-Carlo simulations and optimization techniques ensure that each Index is a pure representation of its corresponding investment focus.


Per the fee table in the November 1, 2018 Prospectus the Fund’s total annual operating expenses ratio was 4.95%. The Adviser has contractually agreed to limit its fees and reimburse expenses, subject to certain limitations, until at least October 31, 2024. After waiver the Fund’s net expense ratio in the November 1, 2018 Prospectus was 1.05%.


The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares.  


Current performance may be lower or higher than the performance data quoted.  To obtain performance data current to the most recent month end, please call (888)-217-5426.




6


CAMELOT FUND - CLASS A


PERFORMANCE ILLUSTRATION

JUNE 30, 2019 (UNAUDITED)



AVERAGE ANNUAL RATE OF RETURN (%)

FOR PERIODS ENDED JUNE 30, 2019

 

FUND/INDEX

1-YEAR


5-YEAR


10-YEAR

SINCE INCEPTION

VALUE AS OF 6/30/19

Camelot Event Driven Fund

      - Class A (with load)

-0.33%

3.38%

5.17%

5.51%

 $   23,110

Camelot Event Driven Fund

      - Class A (without load)

5.46%

4.57%

5.76%

5.90%

 $   24,454

S&P 500 Index

10.42%

10.72%

14.70%

9.34%

 $   40,262


Cumulative Performance Comparison $10,000 Investment Since Inception

[frankfundsannual012.gif]


This chart assumes an initial investment of $10,000 made on 11/21/2003 for Class A (commencement of investment operations). Total return is based on the net change in NAV and assumes reinvestment of all dividends and other distributions. Performance figures represent past performance which is not predictive of future performance. Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost.


The Standard & Poor’s 500 Index (“S&P 500”) is a market value-weighted index, representing the aggregate market value of the common equity of 500 stocks primarily traded on the New York Stock Exchange.  The S&P 500 is a widely recognized, unmanaged index of common stock prices.  The figures for the S&P 500 reflect all dividends reinvested but do not reflect any deductions for fees, expenses or taxes.


The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares.


Class A shares of the Fund have a maximum sales charge of 5.50%.


Per the fee table in the November 1, 2018 Prospectus the Fund’s total annual operating expenses ratio was 3.29%. The Adviser has contractually agreed to limit its fees and reimburse expenses, subject to certain limitations, until at least October 31, 2019. After waiver the Fund’s net expense ratio in the November 1, 2018 Prospectus was 2.00%.


Current performance may be lower or higher than the performance data quoted.  To obtain performance data current to the most recent month end, please call (866) 706-9790.  



7


CAMELOT FUND - INSTITUTIONAL CLASS


PERFORMANCE ILLUSTRATION

JUNE 30, 2019 (UNAUDITED)



AVERAGE ANNUAL RATE OF RETURN (%)

FOR PERIODS ENDED JUNE 30, 2019

 

FUND/INDEX

1-YEAR


5-YEAR

SINCE INCEPTION

VALUE AS OF 6/30/19

Camelot Event Driven Fund - Institutional Class

5.77%

4.84%

4.81%

 $   15,313

S&P 500 Index

10.42%

10.72%

14.39%

 $   33,841


Cumulative Performance Comparison $10,000 Investment Since Inception

[frankfundsannual014.gif]


This chart assumes an initial investment of $10,000 made on 06/07/2010 for the Institutional Class (commencement of investment operations). Total return is based on the net change in NAV and assumes reinvestment of all dividends and other distributions. Performance figures represent past performance which is not predictive of future performance. Investment return and principal value will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost.


The Standard & Poor’s 500 Index (“S&P 500”) is a market value-weighted index, representing the aggregate market value of the common equity of 500 stocks primarily traded on the New York Stock Exchange.  The S&P 500 is a widely recognized, unmanaged index of common stock prices.  The figures for the S&P 500 reflect all dividends reinvested but do not reflect any deductions for fees, expenses or taxes.


Per the fee table in the November 1, 2018 Prospectus the Fund’s total annual operating expenses ratio was 2.80%. The Adviser has contractually agreed to limit its fees and reimburse expenses, subject to certain limitations, until at least June 30, 2019. After waiver the Fund’s net expense ratio in the November 1, 2018 Prospectus was 1.75%.


The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares.


Current performance may be lower or higher than the performance data quoted.  To obtain performance data current to the most recent month end, please call (866) 706-9790.  



8


VALUE FUND


PORTFOLIO ANALYSIS

JUNE 30, 2019 (UNAUDITED)



The following chart gives a visual breakdown of the Frank Value Fund (the “Value Fund”) by the industry sectors, while the underlying securities represent a percentage of the portfolio of investments.


[frankfundsannual016.gif]


Sectors are based on Morningstar® classifications.

Portfolio composition subject to change.







9


BALDWIN FUND


PORTFOLIO ANALYSIS

JUNE 30, 2019 (UNAUDITED)



The following chart gives a visual breakdown of the Leigh Baldwin Total Return Fund (the “Baldwin Fund”) by the industry sectors or investment type, while the underlying securities represent a percentage of the portfolio of investments.


[frankfundsannual018.gif]


Sectors are based on Morningstar® classifications.


The above chart excludes Written Options.  Purchased options are represented by the underlying security sector.  


Portfolio composition subject to change.







10


CAMELOT FUND


PORTFOLIO ANALYSIS

JUNE 30, 2019 (UNAUDITED)



The following chart gives a visual breakdown of the Camelot Event Driven Fund (the “Camelot Fund”) by the industry sectors or investment type, while the underlying securities represent a percentage of the portfolio of investments.

[frankfundsannual020.gif]


Categorizations above are made using Morningstar® classifications.


Portfolio composition is subject to change.  


Excludes securities sold short and written options. Purchased options are represented by the underlying security sector.





11


VALUE FUND


SCHEDULE OF INVESTMENTS

JUNE 30, 2019






 Shares

 

 

Value

 

 

 

 

COMMON STOCKS - 27.43%

 

 

 

 

 

Cable & Other Pay Television Services - 4.34%

 

11,688

 

Liberty Latin America Ltd. Class A *

$     201,384

19,531

 

Liberty Latin America Ltd. Class C *

335,738

 

 

 

537,122

Fire, Marine & Casualty Insurance - 5.24%

 

3,043

 

Berkshire Hathaway, Inc. Class B *

648,676

 

 

 

 

Gold and Silver Ores - 6.45%

 

26,999

 

Barrick Gold Corp.

425,774

9,711

 

Newmont Goldcorp Corp.

373,582

 

 

 

799,356

Patent Owners & Lessors - 4.98%

 

64,213

 

Liberty Tax, Inc. Class A

616,445

 

 

 

 

Wholesale-Drugs, Propietaries - 6.42%

 

2,907

 

McKesson Corp.

390,672

4,748

 

AmerisourceBergen Corp.

404,814

 

 

 

795,486

 

 

 

 

TOTAL FOR COMMON STOCKS (Cost $2,910,831) - 27.43%

    3,397,085

 

 

 

 

CORPORATE BONDS - 4.77% ()

 

 

 

 

 

Asset-Backed Securities - 1.21%

 

150,000

 

Harley-Davidson Financial Services, Inc., 2.40%, 09/15/2019

      149,855

 

 

 

 

Retail-Computer & Computer Software Stores - 3.56%

 

450,000

 

GameStop Corp. 6.75%, 03/15/2021

       441,000

 

 

 

 

TOTAL FOR CORPORATE BONDS  (Cost $600,163) - 4.77%

       590,855

 

 

 

 

EXCHANGE TRADED FUNDS - 3.45%

 

37,696

 

Sprott Physical Gold Trust *

      427,096

TOTAL FOR EXCHANGE TRADED FUNDS (Cost $401,863) - 3.45%

      427,096



The accompanying notes are an integral part of these financial statements.




12


VALUE FUND


SCHEDULE OF INVESTMENTS (CONTINUED)

JUNE 30, 2019






 Shares

 

 

Value

 

 

 

 

U.S. GOVERNMENT AGENCIES AND OBLIGATIONS - 32.14% ()

 

 

 

 

 

U.S. Treasury Note Bonds - 32.14%

 

1,000,000

 

U.S. Treasury Bill 0.75%, 07/15/2019

$     999,433

1,000,000

 

U.S. Treasury Note 1.125%, 12/31/2019

       995,156

1,000,000

 

U.S. Treasury Note 1.125%, 04/30/2020

       992,656

1,000,000

 

U.S. Treasury Note 1.375%, 01/31/2021

       992,969

 

 

 

 

TOTAL FOR U.S. GOVERNMENT AGENCIES AND OBLIGATIONS  

      (Cost $3,972,089) - 32.14%

    3,980,214

 

 

 

 

MONEY MARKET FUND - 31.76%

 

3,933,337

 

Morgan Stanley Institutional Liquidity Funds - Treasury

      Securities Portfolio 2.07% **

    3,933,337

TOTAL FOR MONEY MARKET FUND (Cost $3,933,337) - 31.76%

    3,933,337

 

 

 

 

TOTAL INVESTMENTS (Cost $11,818,283) *** - 99.55%

12,328,587

 

 

 

 

OTHER ASSETS LESS LIABILITIES - 0.45%

        55,286

 

 

 

 

NET ASSETS - 100.00%

$12,383,873








* Non-income producing securities during the period.

** Variable rate security; the coupon rate shown represents the yield at June 30, 2019.

*** Refer to Note 10 for tax cost.

Level 2 Security.

The accompanying notes are an integral part of these financial statements.



13


BALDWIN FUND


SCHEDULE OF INVESTMENTS

JUNE 30, 2019






  Shares

 

 

Value

 

 

 

 

COMMON STOCKS - 21.28%

 

 

 

 

 

Air Transportation, Scheduled - 1.23%

 

500

 

Delta Airlines, Inc.

$       28,375

 

 

 

 

Electronic Computers - 5.13%

 

600

 

Apple, Inc.

118,752

 

 

 

 

Pharmaceutical Preparations - 4.81%

 

800

 

Johnson & Johnson

111,424

 

 

 

 

Retail-Grocery Stores - 1.63%

 

2,000

 

Sprout Farmers Market, Inc. *

        37,780

 

 

 

 

Security Brokers, Dealers & Flotation Companies - 1.89%

 

1,000

 

Morgan Stanley

        43,810

 

 

 

 

Semiconductors & Related Devices - 3.60%

 

1,000

 

Applied Materials, Inc.

        44,910

1,000

 

Micron Technology, Inc. *

        38,590

 

 

 

        83,500

Surgical & Medical Instruments & Apparatus - 2.99%

 

400

 

3M Co.

        69,336

 

 

 

 

TOTAL FOR COMMON STOCKS (Cost $533,313) - 21.28%

       492,977

 

 

 

 

EXCHANGE TRADED FUNDS - 24.93%

 

400

 

Invesco QQQ Trust Series 1

        74,696

900

 

SPDR Dow Jones Industrial Average ETF Trust

       239,265

900

 

SPDR S&P 500 ETF Trust

       263,700

TOTAL FOR EXCHANGE TRADED FUNDS (Cost $569,908) - 24.93%

       577,661

 

 

 

 

INVESTMENTS IN PURCHASED OPTIONS, AT VALUE (Premiums Paid $94,991) - 3.57%

        82,631

 

 

 

 

MONEY MARKET FUND - 40.88%

 

947,113

 

Fidelity Institutional Government Money Market Fund Class I 2.27% **

       947,113

TOTAL FOR MONEY MARKET FUND (Cost $947,113) - 40.88%

       947,113

 

 

 

 

TOTAL INVESTMENTS (Cost $2,145,325) *** - 90.66%

2,100,382



The accompanying notes are an integral part of these financial statements.



14


BALDWIN FUND


SCHEDULE OF INVESTMENTS (CONTINUED)

JUNE 30, 2019






 

 

 

Value

 

 

 

 

INVESTMENTS IN WRITTEN OPTIONS, AT VALUE

         (Premiums Received $15,683) - (0.54)%

$     (12,529)

 

 

 

 

ASSETS IN EXCESS OF LIABILITIES, NET - 9.88%

228,967

 

 

 

 

NET ASSETS - 100.00%

$  2,316,820
















* Non-income producing securities during the period.

** Variable rate security; the coupon rate shown represents the yield at June 30, 2019.

*** Refer to Note 10 for tax cost.

The accompanying notes are an integral part of these financial statements.




15


BALDWIN FUND


SCHEDULE OF PURCHASED OPTIONS

JUNE 30, 2019






 PUT OPTIONS - 3.57% *

 

 

 

 

 

 

 

 

 

 

 

 

 

Underlying Security

Counterparty

Contracts

Notional Amount**

Exercise Price

Expiration

Value

 

 

 

 

 

 

 

 

3M Co.

Fidelity National Financial Services Corp.

4

$  69,336

$230.00

9/20/2019

$ 21,900

 

 

 

 

 

 

 

 

Apple, Inc.

Fidelity National Financial Services Corp.

1

19,792

195.00

7/19/2019

375

 

 

 

 

 

 

 

 

Apple, Inc.

Fidelity National Financial Services Corp.

5

98,960

210.00

9/20/2019

8,300

 

 

 

 

 

 

 

 

Applied Materials, Inc.

Fidelity National Financial Services Corp.

10

44,910

48.00

7/19/2019

3,300

 

 

 

 

 

 

 

 

Delta Airlines, Inc.

Fidelity National Financial Services Corp.

10

56,750

62.50

9/20/2019

6,350

 

 

 

 

 

 

 

 

Invesco QQQ Trust Series 1

Fidelity National Financial Services Corp.

8

149,392

190.00

9/20/2019

6,088

 

 

 

 

 

 

 

 

Johnson & Johnson

Fidelity National Financial Services Corp.

8

111,424

145.00

9/20/2019

6,200

 

 

 

 

 

 

 

 

Micron Technology, Inc.

Fidelity National Financial Services Corp.

10

38,590

45.00

7/19/2019

6,550

 

 

 

 

 

 

 

 

Morgan Stanley

Fidelity National Financial Services Corp.

10

43,810

40.00

7/19/2019

190

 

 

 

 

 

 

 

 

SPDR Dow Jones Industrial Average ETF Trust

Fidelity National Financial Services Corp.

10

265,850

260.00

9/20/2019

5,050

 

 

 

 

 

 

 

 

SPDR S&P 500 ETF Trust

Fidelity National Financial Services Corp.

4

117,200

285.00

7/19/2019

528

 

 

 

 

 

 

 

 

SPDR S&P 500 ETF Trust

Fidelity National Financial Services Corp.

8

234,400

295.00

9/20/2019

6,200

 

 

 

 

 

 

 

 

Sprout Farmers Market, Inc.

Fidelity National Financial Services Corp.

20

37,780

25.00

9/20/2019

11,600

 

 

 

 

 

 

 

 

Total Put Options (Premiums Paid $94,991) - 3.57%

 

 

$ 82,631

 

 

 

 

 

 

 

 

TOTAL PURCHASED OPTIONS (Premiums Paid $94,991) - 3.57%

 

$ 82,631





* Non-income producing securities during the period.

** The notional value is the total amount of the underlying security's market price at June 30, 2019. The notional value distinguishes between the amount of money invested and the amount associated with the whole transaction. The notional value is calculated by multiplying the units in one contract by the market price of the underlying security at June 30, 2019.

The accompanying notes are an integral part of these financial statements.




16


BALDWIN FUND


SCHEDULE OF WRITTEN OPTIONS

JUNE 30, 2019



 

CALL OPTIONS - (0.54)% *

 

 

 

 

 

 

 

 

 

 

 

 

 

Underlying Security

Counterparty

Contracts

Notional Amount**

Exercise Price

Expiration

Value

 

 

 

 

 

 

 

 

Apple, Inc.

Fidelity National Financial Services Corp.

(6)

 $(118,752)

$195.00

7/19/2019

$  (4,092)

 

 

 

 

 

 

 

 

Invesco QQQ Trust Series 1

Fidelity National Financial Services Corp.

(2)

(37,348)

185.00

7/12/2019

(844)

 

 

 

 

 

 

 

 

Invesco QQQ Trust Series 1

Fidelity National Financial Services Corp.

(2)

(37,348)

188.00

7/12/2019

(518)

 

 

 

 

 

 

 

 

Johnson & Johnson

Fidelity National Financial Services Corp.

(4)

(55,712)

145.00

7/5/2019

(12)

 

 

 

 

 

 

 

 

Micron Technology, Inc.

Fidelity National Financial Services Corp.

(5)

(19,295)

45.00

7/19/2019

(60)

 

 

 

 

 

 

 

 

SPDR Dow Jones Industrial Average ETF Trust

Fidelity National Financial Services Corp.

(4)

(106,340)

265.00

7/12/2019

(1,520)

 

 

 

 

 

 

 

 

SPDR Dow Jones Industrial Average ETF Trust

Fidelity National Financial Services Corp.

(5)

(132,925)

267.50

7/5/2019

(675)

 

 

 

 

 

 

 

 

SPDR S&P 500 ETF Trust

Fidelity National Financial Services Corp.

(3)

(87,900)

296.00

7/5/2019

(444)

 

 

 

 

 

 

 

 

SPDR S&P 500 ETF Trust

Fidelity National Financial Services Corp.

(4)

(117,200)

285.00

7/19/2019

(4,364)

 

 

 

 

 

 

 

 

Total Call Options (Premiums Received $15,683) - (0.54)%

 

 

$ (12,529)

 

 

 

 

 

 

 

 

TOTAL WRITTEN OPTIONS (Premiums Received $15,683) - (0.54)%

 

 

$(12,529)







* Non-income producing securities during the period.

** The notional value is the total amount of the underlying security's market price at June 30, 2019. The notional value distinguishes between the amount of money invested and the amount associated with the whole transaction. The notional value is calculated by multiplying the units in one contract by the market price of the underlying security at June 30, 2019.

The accompanying notes are an integral part of these financial statements.




17


CAMELOT FUND


SCHEDULE OF INVESTMENTS

JUNE 30, 2019






 Shares

 

 

Value

 

 

 

 

COMMON STOCKS - 59.53%

 

 

 

 

 

Agriculture - 0.00%

 

240,000

 

Black Earth Farming Ltd. ADR ^ † *

$             801

 

 

 

 

Automotive - 0.03%

 

5,926

 

Exide Technologies ^ *

8,593

 

 

 

 

Bakery Products - 0.86%

 

304,811

 

Bab, Inc.

        259,089

 

 

 

 

Biotech & Pharma - 2.45%

 

45,000

 

Akorn, Inc. (b) *

231,750

8,000

 

Bristol-Myers Squibb Co. (a) (b)

362,800

167,850

 

Inyx, Inc. *

185

3,000

 

Perrigo Co. Plc (Ireland)

142,860

 

 

 

737,595

Chemicals - 2.11%

 

28,000

 

GCP Applied Technologies, Inc. (a) *

633,920

 

 

 

 

Consumer Products - 2.55%

 

28,900

 

Conagra Brands, Inc. (a)

766,428

 

 

 

 

Containers & Packaging - 1.92%

 

11,000

 

Berry Global Group, Inc. (a) *

578,490

 

 

 

 

Distributors-Consumer Staples - 1.11%

 

6,000

 

Bunge Ltd. (a) (b)

334,260

 

 

 

 

Drilling Oil & Gas Wells - 0.53%

 

25,000

 

Transocean Ltd. *

160,250

 

 

 

 

Engineering & Construction Services - 0.76%

 

6,000

 

Quanta Services, Inc. (a)

229,140

 

 

 

 

Gaming, Lodging & Restaurants - 2.80%

 

10,000

 

Guoco Group Ltd. (Hong Kong)

156,197

22,500

 

Red Robin Gourmet Burgers, Inc. (a) *

687,825

 

 

 

844,022

Hardware - 2.29%

 

87,741

 

IEC Electronics Corp. *

551,013

8,011

 

Medion AG (Germany)

137,575

 

 

 

688,588


The accompanying notes are an integral part of these financial statements.



18


CAMELOT FUND


SCHEDULE OF INVESTMENTS (CONTINUED)

JUNE 30, 2019






 Shares

 

 

Value

 

 

Healthcare Facilities & Services - 7.26%

 

7,000

 

Acadia Healthcare Co., Inc. (a) *

$      244,650

29,650

 

Brookdale Senior Living, Inc. *

        213,776

3,000

 

Centene Corp. (a) *

        157,320

1,500

 

Cigna Corp. (a) (b)

        236,325

4,000

 

DaVita, Inc. (a) (b) *

        225,040

1,000

 

Humana, Inc. (a)

        265,300

6,500

 

Magellan Health, Inc. (a) *

482,495

11,796

 

McKesson Europe AG (Germany)

        359,538

 

 

 

     2,184,444

Holding Companies - 0.00%

 

400

 

Stoneleigh Partners Acquisition Corp. ^ † *

-

 

 

 

 

Home & Office Products - 1.41%

 

27,500

 

Newell Brands, Inc. (a)

424,050

 

 

 

 

Industrial Services - 0.94%

 

7,000

 

HD Supply Holdings, Inc. (a) *

281,960

 

 

 

 

Insurance - 0.27%

 

22,000

 

Genworth Financial, Inc. *

81,620

 

 

 

 

IT Services - 0.00%

 

65,000

 

Computer Horizons Corp. ^ *

-

 

 

 

 

Media - 4.78%

 

50,000

 

30DC, Inc. *

260

5,399

 

Axel Springer SE (Germany)

380,391

9,000

 

Cars.com, Inc. (a) *

177,480

4,500

 

CBS Corp. Class B

224,550

11,249

 

Clear Channel Outdoor Holdings, Inc. *

53,095

6,000

 

Eventbrite, Inc. Class A (a) *

97,200

4,774

 

iHeartMedia, Inc. Class A *

71,849

3,000

 

Scout24 AG (Germany) *

159,404

5,900

 

Uber Technologies, Inc. (a) *

        273,642

 

 

 

1,437,871

Metals & Mining - 1.01%

 

15,000

 

AngloGold Ashanti Ltd. ADR (a) (b)

267,150

109,444

 

Sacre-Coeur Minerals Ltd. (Canada) ^ † *

-

30,000

 

Turquoise Hill Resources Ltd. (Canada) *

37,200

 

 

 

304,350



The accompanying notes are an integral part of these financial statements.



19


CAMELOT FUND


SCHEDULE OF INVESTMENTS (CONTINUED)

JUNE 30, 2019






 Shares

 

 

Value

 

 

Oil, Gas & Coal - 4.62%

 

3,600

 

Anadarko Petroleum Corp.

$      254,016

2,000

 

Chevron Corp. (a)

        248,880

7,500

 

Devon Energy Corp. (a)

        213,900

551

 

Dommo Energia SA ADR *

3,304

8,000

 

Occidental Petroleum Corp. (a)

402,240

22,000

 

QEP Resources, Inc. *

        159,060

58,000

 

Roan Resources, Inc. Class A *

        100,920

2,152

 

Seadrill Ltd. (United Kingdom) *

8,952

 

 

 

1,391,272

Real Estate - 1.40%

 

45,000

 

Conwert Immobilien Invest SE (Austria) ^

                  -

11,500

 

CA Immobilien Anlagen AG (Austria)

        422,450

 

 

 

        422,450

Retail-Discretionary - 2.01%

 

6,000

 

Lowe's Companies, Inc. (a)

        605,460

 

 

 

 

Semiconductors - 1.01%

 

4,000

 

Qualcomm, Inc. (a) (b)

        304,280

 

 

 

 

Software - 10.91%

 

10,000

 

Carbonite, Inc. (a) *

260,400

6,000

 

Citrix Systems, Inc. (a)

588,840

12,500

 

CommVault Systems, Inc. (a) *

620,250

12,500

 

LogMeIn, Inc. (a)

921,000

32,000

 

Playtech PLC (Isle of Man)

173,288

33,000

 

Symantec Corp. (a)

718,080

 

 

 

3,281,858

Specialty Finance - 1.12%

 

2,400

 

Alliance Data Systems Corp. (a)

336,312

 

 

 

 

Technology Services - 3.70%

 

5,000

 

comScore, Inc. *

          25,800

13,000

 

Conduent, Inc. *

        124,670

10,100

 

DXC Technology Co. (a)

        557,015

18,000

 

Nielsen Holdings PLC (a)

        406,800

 

 

 

1,114,285

Telecom - 1.28%

 

94,529

 

NII Holdings, Inc. *

        159,754

35,000

 

Oi SA ADR *

          70,350

28,000

 

Telecom Italia SpA ADR

        154,840

 

 

 

        384,944


The accompanying notes are an integral part of these financial statements.



20


CAMELOT FUND


SCHEDULE OF INVESTMENTS (CONTINUED)

JUNE 30, 2019






 Shares

 

 

Value

 

 

Utilities - 0.39%

 

2,500

 

Innogy SE (Germany)

$      118,564

 

 

 

 

Waste & Environmental Services & Equipment - 0.01%

 

43,000

 

Strategic Environmental & Energy Resources, Inc. ^ *

2,318

 

 

 

 

TOTAL FOR COMMON STOCKS (Cost $20,018,213) - 59.53%

   17,917,214

 

 

 

 

ESCROW SHARES - 0.00%

 

1,777

 

Exide Technologies ^ † *

-

200

 

Petrocorp., Inc. ^ † *

-

TOTAL FOR ESCROW SHARES (Cost $1,687) - 0.00%

-

 

 

 

 

ASSET-BACKED SECURITIES - 0.54%

 

5,795

 

AFC Home Equity Loan Trust Series 2000-02 Class 1A, 3.19438%

     (1 Month LIBOR USD + 0.79%), 6/25/2030 ** +

5,457

142,060

 

Citigroup Mortgage Loan Trust Inc. Series 2005-OPT1 Class M3,

     3.10938% (1 Month LIBOR USD + 0.71%), 2/25/2035 ** +

136,193

649,319

 

Countrywide Asset-Backed Certificates Series 2007-11 Class 2M2,

     2.72438% (1 Month LIBOR USD + 0.32%), 6/25/2047 ** +

14,022

8,550

 

Countrywide Home Equity Loan Trust Series 2005-A Class 2A,  

     2.63425% (1 Month LIBOR USD + 0.24%), 4/15/2035 ** +

8,319

960,000

 

Countrywide Alternative Loan Series 07-0A7 Class A3, 0.5017%  

    (1 Month LIBOR USD + 0.30%) 5/25/2047 ** + ^

-

TOTAL FOR ASSET-BACKED SECURITIES (Cost $156,046) - 0.54%

        163,991

 

 

 

 

CONTINGENT VALUE RIGHT - 0.00%

 

 

 

 

 

Medical-Drugs - 0.00%

 

12,000

 

Corium International, Inc.  Exp. 3/31/2019 0.50/share (b)

-

TOTAL FOR CONTINGENT VALUE RIGHT (Cost $0) - 0.00%

 

 

 

 

 

CONVERTIBLE BONDS - 1.36%

 

 

 

 

 

Banking - 1.36%

 

500,000

 

BNP Paribas Fortis SA (France) 1.679% (3 Month EURIBOR +

     2.000%), Perpetual ** +

410,245

 

 

 

 

TOTAL FOR CONVERTIBLE BONDS (Cost $561,620) - 1.36%

        410,245



The accompanying notes are an integral part of these financial statements.



21


CAMELOT FUND


SCHEDULE OF INVESTMENTS (CONTINUED)

JUNE 30, 2019






 Shares

 

 

Value

 

 

 

 

CORPORATE BONDS - 5.04%

 

 

 

 

 

Automotive - 1.80%

 

196,214

 

Exide Technologies 7.00%, 4/30/2025

$      107,918

528,319

 

Exide Technologies 11.00%, 4/30/2022 #

433,222

 

 

 

541,140

Engineering and Construction Services - 1.02%

 

1,000,000

 

Astaldi SpA ADR 7.125%, 12/01/2020

308,443

 

 

 

 

Financial Services - 0.03%

 

5,000,000

 

Hellas Telecommunication Luxembourg II SCA (United Kingdom)

     6.054%, (3 Month LIBOR USD + 5.75% ) 1/15/2015 + ^ #

6,250

110,000

 

Lehman Brothers Holdings, Inc. 0.00%, 2/17/2015 +

1,837

100,000

 

Lehman Brothers Holdings, Inc. 5.50%, 2/27/2020 +

1,570

 

 

 

9,657

Media - 0.26%

 

26,067

 

iHeart Communications, Inc., 6.375%, 5/01/2026

27,664

47,247

 

iHeart Communications, Inc., 8.375%, 5/01/2027

49,492

 

 

 

77,156

Oil, Gas & Coal - 0.35%

 

3,500,000

 

OGX Austria GMBH 8.50%, 6/01/2018 + ^

35

110,102

 

Seadrill New Finance Private Placement Series 144A (United Kingdom)

     12.00%, 7/15/2025

106,248

 

 

 

106,283

Radio Telephone Communications - 0.35%

 

502,138

 

Digicel Group Ltd. 9.125%, 4/01/2024

105,449

 

 

 

 

Retail - 1.23%

 

500,000

 

The Neiman Marcus Group LLC. 7.125%, 6/01/2028

370,000

 

 

 

 

Venture Capital - 0.00%

 

25,000

 

Infinity Capital Group 7.00%, 12/31/2049 + ^

-

 

 

 

 

TOTAL FOR CORPORATE BONDS (Cost $2,180,423) - 5.04%

     1,518,128

 

 

 

 

ESCROW NOTES - 0.00%

 

300,000

 

NewPage Corp. + ^

-

TOTAL FOR ESCROW NOTES (Cost $196,568) - 0.00%

                  -

 

 

 

 

MORTGAGE-BACKED SECURITIES - 0.37%

 

533,865

 

GSR Mortgage Loan Trust Series 2005-5F Class B2 5.74079%, 6/25/2035 ~

110,121

TOTAL FOR MORTGAGE-BACKED SECURITIES (Cost $520,031) - 0.37%

        110,121


The accompanying notes are an integral part of these financial statements.



22


CAMELOT FUND


SCHEDULE OF INVESTMENTS (CONTINUED)

JUNE 30, 2019






 Shares

 

 

Value

 

 

 

 

MUNICIPAL BONDS - 3.41%

 

 

 

 

 

Puerto Rico - 3.41%

 

10,000

 

Puerto Rico Electric Power Authority Series CCC 4.25%, 7/01/2021 +

$          7,825

10,000

 

Puerto Rico Electric Power Authority Series CCC 4.25%, 7/01/2023 +

7,637

30,000

 

Puerto Rico Electric Power Authority Series CCC 4.50%, 7/01/2023 +

23,475

25,000

 

Puerto Rico Electric Power Authority Series CCC 4.80%, 7/01/2027 +

19,563

250,000

 

Puerto Rico Electric Power Authority Series CCC 4.80%, 7/01/2028 +

195,625

75,000

 

Puerto Rico Electric Power Authority Series DDD 3.50%, 7/01/2020 +

56,438

30,000

 

Puerto Rico Electric Power Authority Series DDD 3.625%, 7/01/2021 +

22,575

55,000

 

Puerto Rico Electric Power Authority Series TT 5.00%, 7/01/2020 +

43,037

15,000

 

Puerto Rico Electric Power Authority Series TT 5.00%, 7/01/2023 +

11,738

10,000

 

Puerto Rico Electric Power Authority Series TT 5.00%, 7/01/2024 +

7,825

25,000

 

Puerto Rico Electric Power Authority Series TT 5.00%, 7/01/2025 +

19,562

15,000

 

Puerto Rico Electric Power Authority Series WW 5.50%, 7/01/2019 +

11,831

75,000

 

Puerto Rico Electric Power Authority Series ZZ 4.75%, 7/01/2027 +

58,688

50,000

 

Puerto Rico Public Buildings Authority Series U 5.00%, 7/01/2018 +

42,625

40,000

 

Puerto Rico Public Buildings Authority Series C 5.75%, 7/01/2019 +

34,100

55,000

 

Puerto Rico Public Buildings Authority Series N 5.50%, 7/01/2027 +

46,887

50,000

 

Puerto Rico Public Buildings Authority Series D 5.25%, 7/01/2036 +

42,625

410,000

 

Puerto Rico Public Buildings Authority Series N 5.00%, 7/01/2037 +

349,525

1,000

 

Puerto Rico Sales Tax Financing Corp. Series A-1 0.00%, 7/01/2024

850

1,000

 

Puerto Rico Sales Tax Financing Corp. Series A-1 0.00%, 7/01/2027

765

1,000

 

Puerto Rico Sales Tax Financing Corp. Series A-1 0.00%, 7/01/2029

701

1,000

 

Puerto Rico Sales Tax Financing Corp. Series A-1 0.00%, 7/01/2046

229

1,000

 

Puerto Rico Sales Tax Financing Corp. Series A-1 0.00%, 7/01/2051

169

1,000

 

Puerto Rico Sales Tax Financing Corp. Series A-2 4.75%, 7/01/2053

944

20,000

 

University of Puerto Rico Series P 5.00%, 6/01/2020

19,950

TOTAL FOR MUNICIPAL BONDS (Cost $690,112) - 3.41%

     1,025,189

 

 

 

 

PREFERRED STOCKS - 3.42%

 

 

 

 

 

Government Agencies - 3.29%

 

4,500

 

Federal Home Loan Mortgage Corp. Series F 0.00%, Perpetual

91,575

9,500

 

Federal Home Loan Mortgage Corp. Series M 0.00%, Perpetual

175,750

1,000

 

Federal Home Loan Mortgage Corp. Series Q 0.00%, Perpetual **

18,750

25,000

 

Federal Home Loan Mortgage Corp. Series S 0.00%, (3 Month

      LIBOR USD + 0.50%) Perpetual   **

470,000

8,300

 

Federal Home Loan Mortgage Corp. Series V 5.57%, Perpetual

89,640

2,674

 

Federal Home Loan Mortgage Corp. Series W 5.66%, Perpetual

28,986

10,000

 

Federal Home Loan Mortgage Corp. Series X 6.02%, Perpetual

116,400

 

 

 

991,101


The accompanying notes are an integral part of these financial statements.



23


CAMELOT FUND


SCHEDULE OF INVESTMENTS (CONTINUED)

JUNE 30, 2019






 Shares

 

 

Value

 

 

Insurance - 0.13%

 

10

 

MBIA Insurance Corp. 4.707%, Perpetual ^ # †

$        40,000

 

 

 

 

Oil, Gas & Coal - 0.00%

 

155,336

 

Seadrill Ltd.(United Kingdom)

-

 

 

 

 

TOTAL FOR PREFERRED STOCKS (Cost $1,099,271) - 3.42%

     1,031,101

 

 

 

 

STOCK CERTIFICATE - 1.39%

 

 

 

 

 

Retail Discretionary - 1.39%

 

68,600

 

eHi Car Services Ltd. ^ *

418,460

TOTAL FOR STOCK CERTIFICATE (Cost $419,228) - 1.39%

        418,460

 

 

 

 

STRUCTURED NOTE - 2.85%

 

 

 

 

 

Financial Services 2.85%

 

130,000

 

Lehman Brothers Holdings, Inc. 7.27%, (1 Month CPI YOY + 2.25%)

      7/08/2014 + **

2,041

100,000

 

Lehman Brothers Holdings, Inc. 7.00%, 1/28/2020 + **

1,570

100,000

 

Lehman Brothers Holdings, Inc. 8.25%, 9/23/2020 + **

1,570

200,000

 

Lehman Brothers Holdings, Inc. 0.00%, 2/14/2023 + **

3,140

1,000,000

 

Twin Reefs Pass-Through Trust 0.00% (1 Month LIBOR USD + 2.00%)

      Perpetual + ^ # **

850,000

TOTAL FOR STRUCTURED NOTE (Cost $485,000) - 2.85%

        858,321

 

 

 

 

WARRANTS - 0.03%

 

 

 

 

 

Insurance - 0.03%

 

5,700

 

FGL Holdings (Bermuda) Exp. 12/2022 (Notional Value $47,880)

7,524

TOTAL FOR WARRANTS (Cost $9,132) - 0.03%

            7,524

 

 

 

 

TERM LOAN - 0.38%

 

114,000

 

iHeart Communications, Inc., Term Loan Exit (3 Month LIBOR

      USD + 4.00%) 5/01/2026

114,000

TOTAL FOR TERM LOAN - (Cost $153,413) - 0.38%

        114,000

 

 

 

 

INVESTMENTS IN PURCHASED OPTIONS, AT VALUE (Premiums Paid $639,502) - 1.44%

        432,183



The accompanying notes are an integral part of these financial statements.



24


CAMELOT FUND


SCHEDULE OF INVESTMENTS (CONTINUED)

JUNE 30, 2019






 Shares

 

 

Value

 

 

 

 

BANK DEPOSIT ACCOUNTS - 22.01%

 

567,418

 

Collateral Huntington Conservative Deposit Account 2.20% ** (b)

$      567,418

6,056,333

 

Huntington Conservative Deposit Account 2.20% **

     6,056,333

TOTAL FOR BANK DEPOSIT ACCOUNTS - (Cost $6,623,751) - 22.01%

     6,623,751

 

 

 

 

TOTAL INVESTMENTS (Cost $33,753,997) *** - 101.77%

30,630,228

 

 

 

 

INVESTMENTS IN WRITTEN OPTIONS, AT VALUE

        (Premiums Received $902,563) - (2.66)%

      (799,381)

 

 

 

 

ASSETS IN EXCESS OF LIABILITIES, NET - 0.89%

        267,873

 

 

 

 

NET ASSETS - 100.00%

$ 30,098,720






* Non-income producing securities during the period.

** Variable rate security; the coupon rate shown represents the yield at June 30, 2019.

*** Refer to Note 10 for tax cost.

ADR - American Depositary Receipt.

(a) Subject to written option contracts.

(b) All or a portion of this security is held as collateral for securities sold short. Total value of collateral for securities sold short is $2,626,583.

+ Default Bonds

Distressed Bonds

Level 2 Security

~ Variable Rate Security. The coupon is based on an underlying pool of loans.

^ Indicates a fair valued security. Total market value for fair valued securities is $1,326,457 representing 4.40% of net assets and Level 3 securities.

# Indicates securities that may be sold to "qualified institutional buyers" pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended, is $1,329,472 representing 4.42% of net assets.

† Indicates an illiquid security. Total market value for illiquid securities is $1,330,308 representing 4.41% of net assets.

Principal denominated in Euros.

The accompanying notes are an integral part of these financial statements.



25


CAMELOT FUND


SCHEDULE OF PURCHASED OPTIONS

JUNE 30, 2019






CALL OPTIONS - 0.04% *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Underlying Security

Counterparty

Contracts

Notional Amount**

Exercise Price

Expiration

Value

 

 

 

 

 

 

 

 

Devon Energy Corp.

Susquehanna

65

$   185,380

$   33.00

10/18/2019

$  6,078

 

 

 

 

 

 

 

 

Newell Brands, Inc.

Susquehanna

200

308,400

18.00

9/20/2019

6,000

 

 

 

 

 

 

 

 

Total Call Options (Premiums Paid $47,745) - 0.04%

 

 

$12,078

 

 

 

 

 

 

 

 

PUT OPTIONS - 1.40% *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Underlying Security

Counterparty

Contracts

Notional Amount**

Exercise Price

Expiration

Value

 

 

 

 

 

 

 

 

Acadia Healthcare Co., Inc.

Susquehanna

70

$   244,650

$   30.00

9/20/2019

$  6,475

 

 

 

 

 

 

 

 

AngloGold Ashanti Ltd. ADR

Susquehanna

150

267,150

13.00

10/18/2019

3,000

 

 

 

 

 

 

 

 

Berry Global Group, Inc.

Susquehanna

50

262,950

47.50

9/20/2019

3,750

 

 

 

 

 

 

 

 

Berry Global Group, Inc.

Susquehanna

60

315,540

47.50

12/20/2019

9,300

 

 

 

 

 

 

 

 

Bristol-Myers Squibb Co.

Susquehanna

40

181,400

50.00

9/20/2019

21,700

 

 

 

 

 

 

 

 

CBS Corp. Class B

Susquehanna

45

224,550

45.00

9/20/2019

3,735

 

 

 

 

 

 

 

 

Chevron Corp.

Susquehanna

20

248,880

120.00

9/20/2019

5,980

 

 

 

 

 

 

 

 

Citrix Systems, Inc.

Susquehanna

20

196,280

100.00

9/20/2019

9,800

 

 

 

 

 

 

 

 

Citrix Systems, Inc.

Susquehanna

20

196,280

95.00

12/20/2019

8,000

 

 

 

 

 

 

 

 

CommVault Systems, Inc.

Susquehanna

40

198,480

52.50

10/18/2019

20,440

 

 

 

 

 

 

 

 

Conagra Brands, Inc.

Susquehanna

90

238,680

23.00

9/20/2019

3,150

 

 

 

 

 

 

 

 

Conagra Brands, Inc.

Susquehanna

125

331,500

26.00

9/20/2019

14,250

 

 

 

 

 

 

 

 

Deckers Outdoor Corp.

Susquehanna

10

175,970

175.00

9/20/2019

10,750

 

 

 

 

 

 

 

 

Devon Energy Corp.

Susquehanna

140

399,280

29.00

7/19/2019

17,080

 

 

 

 

 

 

 

 

DXC Technology Co.

Susquehanna

50

275,750

55.00

9/20/2019

16,500

 

 

 

 

 

 

 

 

GCP Applied Technology, Inc.

Susquehanna

150

339,600

22.50

11/15/2019

24,750

 

 

 

 

 

 

 

 

HD Supply Holdings, Inc.

Susquehanna

70

281,960

40.00

9/20/2019

10,850

 

 

 

 

 

 

 

 

Hologic, Inc.

Susquehanna

30

144,060

48.00

12/20/2019

8,850

 

 

 

 

 

 

 

 

Invesco CurrencyShares Euro  

Currency Trust

Susquehanna

217

2,349,459

109.00

9/20/2019

29,295

 

 

 

 

 

 

 

 

Logmeln, Inc.

Susquehanna

25

184,200

80.00

9/20/2019

21,900

 

 

 

 

 

 

 

 

Lowe's Companies, Inc.

Susquehanna

30

302,730

95.00

7/19/2019

1,380


The accompanying notes are an integral part of these financial statements.





26


CAMELOT FUND


SCHEDULE OF PURCHASED OPTIONS (CONTINUED)

JUNE 30, 2019






PUT OPTIONS - (CONTINUED) *

 

 

 

 

 

 

 

 

 

 

 

 

Underlying Security

Counterparty

Contracts

Notional Amount**

Exercise Price

Expiration

Value

 

 

 

 

 

 

 

 

Lowe's Companies, Inc.

Susquehanna

30

$302,730

$97.50

7/19/2019

$  2,490

 

 

 

 

 

 

 

 

Magellan Health, Inc.

Susquehanna

5

37,115

65.00

9/20/2019

500

 

 

 

 

 

 

 

 

Magellan Health, Inc.

Susquehanna

30

222,690

70.00

9/20/2019

9,300

 

 

 

 

 

 

 

 

Newell Brands, Inc.

Susquehanna

150

231,300

15.00

9/20/2019

16,350

 

 

 

 

 

 

 

 

Nielsen Holdings PLC

Susquehanna

80

180,800

24.00

8/16/2019

19,360

 

 

 

 

 

 

 

 

QualComm, Inc.

Susquehanna

40

304,280

72.50

10/18/2019

15,800

 

 

 

 

 

 

 

 

Quanta Services, Inc.

Susquehanna

60

229,140

35.00

11/15/2019

6,750

 

 

 

 

 

 

 

 

Red Robin Gourmet Burgers, Inc.

Susquehanna

100

305,700

25.00

9/20/2019

9,000

 

 

 

 

 

 

 

 

Red Robin Gourmet Burgers, Inc.

Susquehanna

125

382,125

30.00

12/20/2019

50,000

 

 

 

 

 

 

 

 

Symantec Corp.

Susquehanna

230

500,480

19.00

10/18/2019

13,800

 

 

 

 

 

 

 

 

The Home Depot, Inc.

Susquehanna

10

207,970

210.00

9/20/2019

8,500

 

 

 

 

 

 

 

 

Vanguard Real Estate ETF

Susquehanna

20

174,800

90.00

9/20/2019

7,220

 

 

 

 

 

 

 

 

Yum China Holdings, Inc. (China)

Susquehanna

40

184,800

45.00

10/18/2019

10,100

 

 

 

 

 

 

 

 

Total Put Options (Premiums Paid $591,757) - 1.40%

 

$420,105

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL PURCHASED OPTIONS (Premiums Paid $639,502) - 1.44%

 

$432,183







* Non-income producing securities during the period.

** The notional value is the total amount of the underlying security's market price at June 30, 2019. The notional value distinguishes between the amount of money invested and the amount associated with the whole transaction. The notional value is calculated by multiplying the units in one contract by the market price of the underlying security at June 30, 2019.

Level 2 Security

The accompanying notes are an integral part of these financial statements.



27


CAMELOT FUND


SCHEDULE OF WRITTEN OPTIONS

JUNE 30, 2019






CALL OPTIONS - (2.01)% *

 

 

 

 

 

 

 

 

 

 

 

 

 

Underlying Security

Counterparty

Contracts

Notional Amount**

Exercise Price

Expiration

Value

 

 

 

 

 

 

 

 

Acadia Healthcare Co., Inc.

Susquehanna

(70)

 $(244,650)

$ 35.00

9/20/2019

$(16,975)

 

 

 

 

 

 

 

 

Alliance Data Systems Corp.

Susquehanna

(12)

(168,156)

190.00

9/20/2019

(120)

 

 

 

 

 

 

 

 

AngloGold Ashanti Ltd. ADR

Susquehanna

(150)

(267,150)

16.00

10/18/2019

(41,250)

 

 

 

 

 

 

 

 

Berry Global Group, Inc.

Susquehanna

(50)

(262,950)

50.00

9/20/2019

(20,750)

 

 

 

 

 

 

 

 

Berry Global Group, Inc.

Susquehanna

(60)

(315,540)

52.50

12/20/2019

(23,400)

 

 

 

 

 

 

 

 

Bristol-Myers Squibb Co.

Susquehanna

(40)

(181,400)

45.00

1/17/2020

(12,240)

 

 

 

 

 

 

 

 

Bristol-Myers Squibb Co.

Susquehanna

(40)

(181,400)

55.00

9/20/2019

(360)

 

 

 

 

 

 

 

 

Bunge Ltd.

Susquehanna

(60)

(334,260)

57.50

7/19/2019

(3,300)

 

 

 

 

 

 

 

 

Carbonite, Inc.

Susquehanna

(100)

(260,400)

25.00

12/20/2019

(40,000)

 

 

 

 

 

 

 

 

Cars.com, Inc.

Susquehanna

(90)

(177,480)

22.50

9/20/2019

(8,100)

 

 

 

 

 

 

 

 

CBS Corp. Class B

Susquehanna

(45)

(224,550)

47.50

9/20/2019

(17,438)

 

 

 

 

 

 

 

 

Centene Corp.

Susquehanna

(30)

(157,320)

50.00

1/17/2020

(21,450)

 

 

 

 

 

 

 

 

Chevron Corp.

Susquehanna

(20)

(248,880)

125.00

9/20/2019

(7,400)

 

 

 

 

 

 

 

 

Cigna Corp.

Susquehanna

(15)

(236,325)

180.00

7/19/2019

(105)

 

 

 

 

 

 

 

 

Citrix Systems, Inc.

Susquehanna

(20)

(196,280)

110.00

9/20/2019

(1,700)

 

 

 

 

 

 

 

 

Citrix Systems, Inc.

Susquehanna

(20)

(196,280)

100.00

12/20/2019

(10,000)

 

 

 

 

 

 

 

 

Citrix Systems, Inc.

Susquehanna

(20)

(196,280)

105.00

12/20/2019

(5,400)

 

 

 

 

 

 

 

 

CommVault Systems, Inc.

Susquehanna

(40)

(198,480)

57.50

10/18/2019

(2,700)

 

 

 

 

 

 

 

 

Conagra Brands, Inc.

Susquehanna

(90)

(238,680)

25.00

9/20/2019

(19,800)

 

 

 

 

 

 

 

 

Conagra Brands, Inc.

Susquehanna

(125)

(331,500)

27.00

9/20/2019

(14,250)

 

 

 

 

 

 

 

 

Conagra Brands, Inc.

Susquehanna

(74)

(196,248)

30.00

9/20/2019

(2,220)

 

 

 

 

 

 

 

 

DaVita, Inc.

Susquehanna

(40)

(225,040)

55.00

7/19/2019

(9,200)

 

 

 

 

 

 

 

 

Deckers Outdoor Corp.

Susquehanna

(10)

(175,970)

175.00

9/20/2019

(12,550)

 

 

 

 

 

 

 

 

Devon Energy Corp.

Susquehanna

(140)

(399,280)

31.00

7/19/2019

(3,500)

 

 

 

 

 

 

 

 

DXC Technology Co.

Susquehanna

(50)

(275,750)

65.00

9/20/2019

(2,500)

 

 

 

 

 

 

 

 

Eventbrite, Inc. Class A

Susquehanna

(60)

(97,200)

20.00

7/19/2019

(300)

 

 

 

 

 

 

 

 

GCP Applied Technology, Inc.

Susquehanna

(150)

(339,600)

25.00

11/15/2019

(15,000)

 

 

 

 

 

 

 

 

HD Supply Holdings, Inc.

Susquehanna

(70)

(281,960)

40.00

9/20/2019

(15,050)


The accompanying notes are an integral part of these financial statements.





28


CAMELOT FUND


SCHEDULE OF WRITTEN OPTIONS (CONTINUED)

JUNE 30, 2019






CALL OPTIONS - (CONTINUED) *

 

 

 

 

 

 

 

 

 

 

 

 

 

Underlying Security

Counterparty

Contracts

Notional Amount**

Exercise Price

Expiration

Value

 

 

 

 

 

 

 

 

Hologic, Inc.

Susquehanna

(30)

$(144,060)

$48.00

12/20/2019

$(10,350)

 

 

 

 

 

 

 

 

Humana, Inc.

Susquehanna

(10)

(265,300)

305.00

8/16/2019

(850)

 

 

 

 

 

 

 

 

Invesco CurrencyShares Euro Currency Trust

Susquehanna

(217)

(2,349,459)

109.00

9/20/2019

(23,653)

 

 

 

 

 

 

 

 

Logmeln, Inc.

Susquehanna

(25)

(184,200)

90.00

9/20/2019

(3,187)

 

 

 

 

 

 

 

 

Lowe's Companies, Inc.

Susquehanna

(30)

(302,730)

95.00

7/19/2019

(19,410)

 

 

 

 

 

 

 

 

Lowe's Companies, Inc.

Susquehanna

(30)

(302,730)

100.00

7/19/2019

(8,190)

 

 

 

 

 

 

 

 

Magellan Health, Inc.

Susquehanna

(35)

(259,805)

75.00

9/20/2019

(11,585)

 

 

 

 

 

 

 

 

Magellan Health, Inc.

Susquehanna

(30)

(222,690)

80.00

9/20/2019

(4,500)

 

 

 

 

 

 

 

 

Newell Brands, Inc.

Susquehanna

(150)

(231,300)

17.00

9/20/2019

(8,250)

 

 

 

 

 

 

 

 

Nielsen Holdings PLC

Susquehanna

(80)

(180,800)

26.00

8/16/2019

(3,200)

 

 

 

 

 

 

 

 

Occidental Petroleum Corp.

Susquehanna

(60)

(301,680)

62.50

8/16/2019

(600)

 

 

 

 

 

 

 

 

QualComm, Inc.

Susquehanna

(40)

(304,280)

77.50

7/19/2019

(6,640)

 

 

 

 

 

 

 

 

Quanta Services, Inc.

Susquehanna

(60)

(229,140)

39.00

11/15/2019

(12,450)

 

 

 

 

 

 

 

 

Red Robin Gourmet Burgers, Inc.

Susquehanna

(100)

(305,700)

30.00

9/20/2019

(32,000)

 

 

 

 

 

 

 

 

Red Robin Gourmet Burgers, Inc.

Susquehanna

(125)

(382,125)

35.00

12/20/2019

(28,750)

 

 

 

 

 

 

 

 

Symantec Corp.

Susquehanna

(230)

(500,480)

21.00

10/18/2019

(43,240)

 

 

 

 

 

 

 

 

The Home Depot, Inc.

Susquehanna

(10)

(207,970)

210.00

9/20/2019

(7,050)

 

 

 

 

 

 

 

 

Uber Technologies, Inc.

Susquehanna

(59)

(273,642)

45.00

12/20/2019

(33,335)

 

 

 

 

 

 

 

 

Vanguard Real Estate ETF

Susquehanna

(20)

(174,800)

90.00

9/20/2019

(3,000)

 

 

 

 

 

 

 

 

Yum China Holdings, Inc. (China)

Susquehanna

(40)

(184,800)

45.00

10/18/2019

(15,600)

 

 

 

 

 

 

 

 

Total Call Options (Premiums Received $628,588) - (2.01)%

 

 

$(602,898)

 

 

 

 

 

 

 

 

PUT OPTIONS - (0.65)% *

 

 

 

 

 

 

 

 

 

 

 

 

 

Underlying Security

Counterparty

Contracts

Notional Amount**

Exercise Price

Expiration

Value

 

 

 

 

 

 

 

 

AbbVie, Inc.

Susquehanna

(45)

 $(327,240)

$ 65.00

7/19/2019

 $     (810)

 

 

 

 

 

 

 

 

Acadia Healthcare Co., Inc.

Susquehanna

(70)

(244,650)

25.00

9/20/2019

(3,150)



The accompanying notes are an integral part of these financial statements.





29


CAMELOT FUND


SCHEDULE OF WRITTEN OPTIONS (CONTINUED)

JUNE 30, 2019






PUT OPTIONS - (CONTINUED) *

 

 

 

 

 

 

 

 

 

 

 

 

 

Underlying Security

Counterparty

Contracts

Notional Amount**

Exercise Price

Expiration

Value

 

 

 

 

 

 

 

 

AngloGold Ashanti Ltd. ADR

Susquehanna

(150)

$ (267,150)

$ 11.00

10/18/2019

$   (1,200)

 

 

 

 

 

 

 

 

Berry Global Group, Inc.

Susquehanna

(60)

(315,540)

42.50

12/20/2019

(4,200)

 

 

 

 

 

 

 

 

Berry Global Group, Inc.

Susquehanna

(50)

(262,950)

45.00

9/20/2019

(2,125)

 

 

 

 

 

 

 

 

Bristol-Myers Squibb Co.

Susquehanna

(40)

(181,400)

45.00

9/20/2019

(8,560)

 

 

 

 

 

 

 

 

CBS Corp.

Susquehanna

(45)

(224,550)

40.00

9/20/2019

(1,058)

 

 

 

 

 

 

 

 

Centene Corp.

Susquehanna

(50)

(262,200)

52.50

9/20/2019

(16,500)

 

 

 

 

 

 

 

 

Chevron Corp.

Susquehanna

(20)

(248,880)

115.00

9/20/2019

(3,600)

 

 

 

 

 

 

 

 

Citrix Systems, Inc.

Susquehanna

(20)

(196,280)

87.50

12/20/2019

(3,900)

 

 

 

 

 

 

 

 

Citrix Systems, Inc.

Susquehanna

(20)

(196,280)

90.00

9/20/2019

(2,550)

 

 

 

 

 

 

 

 

CommVault Systems, Inc.

Susquehanna

(40)

(198,480)

47.50

10/18/2019

(9,880)

 

 

 

 

 

 

 

 

Conagra Brands, Inc.

Susquehanna

(90)

(238,680)

20.00

9/20/2019

(1,350)

 

 

 

 

 

 

 

 

Conagra Brands, Inc.

Susquehanna

(125)

(331,500)

24.00

9/20/2019

(6,250)

 

 

 

 

 

 

 

 

Devon Energy Corp.

Susquehanna

(140)

(399,280)

25.00

7/19/2019

(1,960)

 

 

 

 

 

 

 

 

Devon Energy Corp.

Susquehanna

(65)

(326,820)

33.00

10/18/2019

(34,450)

 

 

 

 

 

 

 

 

DXC Technology Co.

Susquehanna

(50)

(275,750)

50.00

9/20/2019

(7,375)

 

 

 

 

 

 

 

 

GCP Applied Technology, Inc.

Susquehanna

(150)

(339,600)

20.00

11/15/2019

(11,625)

 

 

 

 

 

 

 

 

HD Supply Holdings, Inc.

Susquehanna

(70)

(281,960)

35.00

9/20/2019

(2,975)

 

 

 

 

 

 

 

 

Logmeln, Inc.

Susquehanna

(25)

(184,200)

75.00

9/20/2019

(14,650)

 

 

 

 

 

 

 

 

Lowe's Companies, Inc.

Susquehanna

(30)

(302,730)

87.50

7/19/2019

(210)

 

 

 

 

 

 

 

 

Lowe's Companies, Inc.

Susquehanna

(30)

(302,730)

90.00

7/19/2019

(390)

 

 

 

 

 

 

 

 

Magellan Health, Inc.

Susquehanna

(35)

(259,805)

60.00

9/20/2019

(2,975)

 

 

 

 

 

 

 

 

Newell Brands, Inc.

Susquehanna

(150)

(231,300)

13.00

9/20/2019

(6,375)

 

 

 

 

 

 

 

 

Nielsen Holdings PLC

Susquehanna

(80)

(180,800)

23.00

8/16/2019

(14,240)

 

 

 

 

 

 

 

 

QualComm, Inc.

Susquehanna

(40)

(304,280)

65.00

7/19/2019

(680)

 

 

 

 

 

 

 

 

Quanta Services, Inc.

Susquehanna

(60)

(229,140)

31.00

11/15/2019

(2,850)

 

 

 

 

 

 

 

 

Red Robin Gourmet Burgers, Inc.

Susquehanna

(100)

(305,700)

20.00

9/20/2019

(7,000)

 

 

 

 

 

 

 

 

Red Robin Gourmet Burgers, Inc.

Susquehanna

(125)

(382,125)

25.00

12/20/2019

(18,750)




The accompanying notes are an integral part of these financial statements.





30


CAMELOT FUND


SCHEDULE OF WRITTEN OPTIONS (CONTINUED)

JUNE 30, 2019






PUT OPTIONS - (CONTINUED) *

 

 

 

 

 

 

 

 

 

 

 

 

 

Underlying Security

Counterparty

Contracts

Notional Amount**

Exercise Price

Expiration

Value

 

 

 

 

 

 

 

 

Symantec Corp.

Susquehanna

(120)

$ (261,120)

$ 16.00

10/18/2019

$    (2,040)

 

 

 

 

 

 

 

 

Symantec Corp.

Susquehanna

(110)

(239,360)

17.00

10/18/2019

(2,805)

 

 

 

 

 

 

 

 

Total Put Options (Premiums Received $273,975) - (0.65)%

 

 

 $(196,483)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL WRITTEN OPTIONS (Premiums Received $902,563) - (2.66)%

 

 $(799,381)













* Non-income producing securities during the period.

** The notional value is the total amount of the underlying security's market price at June 30, 2019. The notional value distinguishes between the amount of money invested and the amount associated with the whole transaction. The notional value is calculated by multiplying the units in one contract by the market price of the underlying security at June 30, 2019.

Level 2 Security

The accompanying notes are an integral part of these financial statements.



31


FRANK FUNDS


STATEMENT OF ASSETS AND LIABILITIES

JUNE 30, 2019






 

 

Value Fund

Baldwin Fund

Camelot Fund

Assets:

 

 

 

 

       Investments in Securities, at Value (Cost $11,818,283,

            $2,145,325 and $33,753,997, respectively)

$12,328,587

$ 2,100,382

$30,630,228

       Deposit with Broker for Securities Sold Short and Options Written

         46,639

                  -

       926,935

       Receivables:

 

 

 

               Dividends and Interest

         33,234

          3,683

         89,172

               Due from Adviser

                  -

        11,685

                   -

               Shareholder Subscriptions

               54

                  -

              258

               Portfolio Securities Sold

                 -

      236,836

    1,435,976

               Prepaid Expenses

                 -

                 1

         26,289

                     Total Assets

 12,408,514

   2,352,587

  33,108,858

Liabilities:

 

 

 

 

       Short Cash Denominated in Foreign Currencies (Premiums

            $1,351, $0, and $0, respectively)

          1,387

                  -

                   -

       Covered Call Options Written at Value (Premiums received

            $0, $15,683 and $902,563, respectively)

                  -

12,529

799,381

       Payables:

 

 

 

 

              Advisory Fees

         10,016

                  -

         44,882

              Administrative Fees

          2,529

          2,606

           4,949

              Shareholder Redemptions

              357

                  -

         67,175

              Portfolio Securities Purchased

                 -

          3,494

    2,046,562

              Chief Compliance Officer Fees

                 -

                  -

           2,731

              Distribution Fees

        10,352

                 -

           3,457

              Accrued Expenses

                 -

        17,138

         41,001

                     Total Liabilities

        24,641

        35,767

   3,010,138

 

 

 

 

 

Net Assets

 

$12,383,873

$ 2,316,820

$30,098,720

 

 

 

 

 

Net Assets Consist of:

 

 

 

    Paid In Capital

$12,126,290

$ 3,260,315

$39,009,856

    Distributable Earnings (Deficit)

      257,583

   (943,495)

  (8,911,136)

Net Assets

 

$12,383,873

$ 2,316,820

$30,098,720

Shares outstanding (unlimited number of shares authorized with no par value)

 

      336,995

 

Net Asset Value Per Share

 

$          6.87

 

Redemption Price Per Share ($6.87 x 0.98) *

 

 

$          6.73

 

 

 

 

 

 

Investor Class:

 

 

 

 

 

 

 

 

Net Assets

 

$  6,922,770

 

 

Shares outstanding (unlimited number of shares authorized with no par value)

       581,347

 

 

Net Asset Value

$         11.91

 

 

Redemption Price Per Share ($11.91 x 0.98) *

$         11.67

 

 



The accompanying notes are an integral part of these financial statements.



32


FRANK FUNDS


STATEMENT OF ASSETS AND LIABILITIES (CONTINUED)

JUNE 30, 2019






 

 

Value Fund

Baldwin Fund

Camelot Fund

 

 

 

 

 

Class A:

 

 

 

 

 

 

 

 

 

Net Assets

 

 

 

$  6,978,263

Shares outstanding (unlimited number of shares authorized with no par value)

 

 

       490,194

Net Asset Value

 

 

$         14.24

Offering Price Per Share ($14.24/ 94.50%) (Note 2)

 

 

$         15.07

Redemption Price Per Share ($14.24 x 0.98) *

 

 

$         13.96

 

 

 

 

 

Class C:

 

 

 

 

 

 

 

 

 

Net Assets

 

$     991,208

 

 

Shares outstanding (unlimited number of shares authorized with no par value)

        89,644

 

 

Net Asset Value

$         11.06

 

 

Redemption Price Per Share ($11.06 x 0.98) *

$         10.84

 

 

 

 

 

 

 

Institutional Class:

 

 

 

 

 

 

 

 

Net Assets

 

$  4,469,895

 

$23,120,457

Shares outstanding (unlimited number of shares authorized with no par value)

       370,377

 

    1,608,771

Net Asset Value

$         12.07

 

$         14.37

Redemption Price Per Share ($12.07 x 0.98) *

$         11.83

 

$         14.08









* The Funds will impose a 2% redemption fee on shares redeemed within 5 business days of purchase for the Value and Baldwin Funds.

The accompanying notes are an integral part of these financial statements.



33


FRANK FUNDS


STATEMENT OF OPERATIONS

        FOR THE YEAR ENDED JUNE 30, 2019






 

 

Value Fund

Baldwin Fund

Camelot Fund

Investment Income:

 

 

 

       Dividends (a)

$    20,210

$    42,228

$   129,149

       Interest

 

    235,555

      16,386

     406,162

            Total Investment Income

   255,765

      58,614

     535,311

 

 

 

 

 

Expenses:

 

 

 

 

       Advisory Fees

    145,040

      10,519

     301,986

       Administration Fees

      36,626

      35,605

       50,241

       Accounting Fees

                -

               -

       31,032

       Servicing Account Fees

              -

               -

       25,227

       Transfer Agent Fees

               -

      12,480

      12,977

       Chief Compliance Officer Fees

               -

               -

       30,356

       Audit Fees

               -

      11,944

      22,613

       Distribution Fees

      32,314

               -

       13,695

       Legal Fees

               -

        6,418

       10,651

       Custody Fees

                -

      21,996

       12,225

       Trustee Fees

                -

               -

         2,428

       Printing and Mailing Expense

                -

           641

         1,394

       Interest Expense

               -

               -

         2,944

       Litigation Fees

               -

               -

       32,632

       Miscellaneous Fees

                -

        1,231

         4,835

       Insurance Fees

               -

               -

            255

       Registration Fees

               -

        1,723

       51,736

            Total Expenses

    213,980

    102,557

     607,227

                 Fees Waived and Reimbursed by the Adviser

               -

   (76,111)

  (148,760)

            Net Expenses

   213,980

      26,446

     458,467

 

 

 

 

 

Net Investment Income

      41,785

      32,168

       76,844

 

 

 

 

 

Realized Gain (Loss) on:

 

 

 

       Investments

 (204,760)

 (118,769)

  1,186,721

       Proceeds from Securities Litigation

               -

               -

     444,232

       Written Options

               -

   132,651

     194,178

       Securities Sold Short

               -

               -

  (502,963)

       Foreign Currency Transactions

                -

               -

      (2,761)

            Net Realized Gain (Loss) on Investments, Proceeds from Litigation,

                 Written Options, Securities Sold Short and Foreign Currency Transactions

  (204,760)

     13,882

  1,319,407

 

 

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

 

 

 

       Investments

      (3,233)

   (23,732)

 (645,215)

       Written Options

           -

        8,288

       35,804

       Securities Sold Short

                -

               -

     506,133

       Foreign Currency Transactions

           (55)

              -

               -

           Net Change in Unrealized Appreciation (Depreciation) on  Investments,

                   Options, Securities Sold Short and Foreign Currency Transactions

    (3,288)

   (15,444)

  (103,278)

 

 

 

 

 

Realized and Unrealized Gain (Loss) on Investments, Proceeds from Litigation,

     Options, Securities Sold Short and Foreign Currency Transactions

  (208,048)

     (1,562)

  1,216,129

 

 

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

$(166,263)

$    30,606

$1,292,973

 

 

 

 

 

(a) Foreign withholding taxes on dividends/tax reclaims/interest.

$    (1,136)

$      (112)

$    (8,109)


The accompanying notes are an integral part of these financial statements.  



34


VALUE FUND


STATEMENT OF CHANGES IN NET ASSETS

 





 

 

Years Ended

 

 

 

6/30/2019

6/30/2018

 

Increase (Decrease) in Net Assets From Operations:

 

 

 

    Net Investment Income (Loss)

 $       41,785

 $   (51,810)

 

    Net Realized Gain (Loss) on:

 

 

 

       Investments

     (204,760)

    1,134,515

 

       Foreign Currency Transactions

                   -

               (5)

 

    Unrealized Appreciation (Depreciation) on:

 

 

 

       Investments

         (3,233)

 (1,311,929)

 

       Foreign Currency Transactions

              (55)

                15

 

    Net Decrease in Net Assets Resulting from Operations

     (166,263)

    (229,214)

 

 

 

 

 

 

Distributions to Shareholders:

 

 

 

    Distributions

     (479,419)

                  -

 

    Total Distributions Paid to Shareholders

     (479,419)

                  -

 

 

 

 

 

 

Capital Share Transactions

  (3,773,755)

 (8,561,352)

 

 

 

 

 

 

Total Decrease in Net Assets

  (4,419,437)

 (8,790,566)

 

 

 

 

 

 

Net Assets:

 

 

 

 

Beginning of Year

   16,803,310

  25,593,876

 

 

 

 

 

 

End of Year

 

$ 12,383,873

$16,803,310

(a)













(a) As of June 30, 2018, Accumulated Undistributed Net Investment Income was $0.

The accompanying notes are an integral part of these financial statements.  




35


BALDWIN FUND


STATEMENT OF CHANGES IN NET ASSETS

 





 

 

Years Ended

 

 

 

6/30/2019

6/30/2018

 

Increase (Decrease) in Net Assets From Operations:

 

 

 

    Net Investment Income

$        32,168

$        29,163

 

    Net Realized Gain (Loss) on:

 

 

 

       Investments

     (118,769)

     (185,295)

 

       Written Options

        132,651

        124,030

 

    Unrealized Appreciation (Depreciation) on:

 

 

 

       Investments

       (23,732)

          40,294

 

       Written Options

           8,288

            5,532

 

    Net Increase in Net Assets Resulting from Operations

         30,606

          13,724

 

 

 

 

 

 

Distributions to Shareholders:

 

 

 

    Distributions

       (28,217)

       (25,347)

 

    Total Distributions Paid to Shareholders

       (28,217)

       (25,347)

 

 

 

 

 

 

Capital Share Transactions

     (112,137)

     (182,078)

 

 

 

 

 

 

Total Decrease in Net Assets

     (109,748)

     (193,701)

 

 

 

 

 

 

Net Assets:

 

 

 

 

Beginning of Year

     2,426,568

     2,620,269

 

 

 

 

 

 

End of Year

 

$   2,316,820

$   2,426,568

(a)













(a) As of June 30, 2018, Accumulated Undistributed Net Investment Income was $0.

The accompanying notes are an integral part of these financial statements.  



36


CAMELOT FUND


STATEMENT OF CHANGES IN NET ASSETS

 





 

 

Years Ended

 

 

 

6/30/2019

6/30/2018

 

Increase (Decrease) in Net Assets From Operations:

 

 

 

    Net Investment Income (Loss)

$       76,844

 $  (302,669)

 

    Net Realized Gain (Loss) on:

 

 

 

       Investments

    1,186,721

       119,807

 

       Proceeds from Securities Litigation

       444,232

                   -

 

       Written Options

       194,178

       373,044

 

       Securities Sold Short

    (502,963)

     (176,213)

 

       Foreign Currency Transactions

        (2,761)

         35,547

 

    Unrealized Appreciation (Depreciation) on:

 

 

 

       Investments

    (645,215)

    2,124,344

 

       Written Options

         35,804

       173,028

 

       Securities Sold Short

       506,133

     (265,034)

 

       Foreign Currency Transactions

                   -

         (3,871)

 

    Net Increase in Net Assets Resulting from Operations

    1,292,973

    2,077,983

 

 

 

 

 

 

Distributions to Shareholders:

 

 

 

    Distributions:

 

 

 

        Class A

 

      (88,765)

     (344,555)

 

        Class C *

 

                   -

       (75,017)

 

        Institutional Class

    (240,319)

     (448,777)

 

    Total Distributions Paid to Shareholders

    (329,084)

     (868,349)

 

 

 

 

 

 

Capital Share Transactions

    6,921,044

  (8,696,939)

 

 

 

 

 

 

Total Increase (Decrease) in Net Assets

    7,884,933

  (7,487,305)

 

 

 

 

 

 

Net Assets:

 

 

 

 

Beginning of Year

  22,213,787

  29,701,092

 

 

 

 

 

 

End of Year

 

$30,098,720

$22,213,787

(a)







* For the Period July 1, 2017 to June 22, 2018. Class C merged into Class A on June 22, 2018.

(a) As of June 30, 2018, Accumulated Undistributed Net Investment Income was $0.

The accompanying notes are an integral part of these financial statements.




37


VALUE FUND – INVESTOR CLASS


FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each year.






 

 

Years Ended

 

 

6/30/2019

6/30/2018

6/30/2017

6/30/2016

6/30/2015

 

 

 

 

 

 

 

Net Asset Value, at Beginning of Year

$   12.42

$   12.61

$   13.12

$  14.17

$   14.76

 

 

 

 

 

 

 

Income (Loss) From Investment Operations:

 

 

 

 

 

  Net Investment Income (Loss) *

       0.03

    (0.03)

     (0.10)

    (0.13)

    (0.14)

  Net Gain (Loss) on Securities

         (Realized and Unrealized)

    (0.16)

     (0.16)

     (0.03)

      0.05

      0.15

     Total from Investment Operations

    (0.13)

     (0.19)

     (0.13)

    (0.08)

      0.01

 

 

 

 

 

 

 

Distributions:

 

 

 

 

 

 

  Net Investment Income

    (0.01)

             -

             -

            -

            -

  Realized Gains

   (0.37)

             -

    (0.38)

   (0.97)

   (0.60)

     Total from Distributions

    (0.38)

             -

    (0.38)

   (0.97)

   (0.60)

 

 

 

 

 

 

 

Redemption Fees ***

         - (a)

             -

             -

            -

        - (a)

 

 

 

 

 

 

 

Net Asset Value, at End of Year

$   11.91

$   12.42

$   12.61

$  13.12

$   14.17

 

 

 

 

 

 

 

Total Return **

 (0.99)%

 (1.51)%

 (1.01)%

(0.39)%

(0.06)%

 

 

 

 

 

 

 

Ratios/Supplemental Data:

 

 

 

 

 

  Net Assets at End of Year (Thousands)

$   6,923

$ 10,082

$ 16,945

$19,038

$ 19,957

  Ratio of Expenses to Average Net Assets

1.49%

1.49%

1.49%

1.49%

1.49%

  Ratio of Net Investment Income (Loss) to

       Average Net Assets

0.26%

 (0.27)%

 (0.77)%

(1.00)%

(0.95)%

  Portfolio Turnover

33.73%

68.13%

60.96%

51.13%

22.93%






* Per share net investment income (loss) has been determined on the basis of average shares outstanding during the period.

** Assumes reinvestment of dividends.

*** The Fund will impose a 2% redemption fee on shares redeemed within 5 business days of purchase.

(a)  Amount calculated is less that $0.005

The accompanying notes are an integral part of these financial statements.  



38


VALUE FUND – CLASS C


FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each year.






 

 

Years Ended

 

 

6/30/2019

6/30/2018

6/30/2017

6/30/2016

6/30/2015

 

 

 

 

 

 

 

Net Asset Value, at Beginning of Year

$   11.64

$  11.90

$  12.49

$  13.64

$  14.33

 

 

 

 

 

 

 

Income (Loss) From Investment Operations:

 

 

 

 

 

  Net Investment Loss *

    (0.06)

   (0.12)

   (0.19)

    (0.23)

   (0.24)

  Net Gain (Loss) on Securities

        (Realized and Unrealized)

    (0.15)

   (0.14)

   (0.02)

      0.05

      0.15

     Total from Investment Operations

   (0.21)

   (0.26)

   (0.21)

    (0.18)

   (0.09)

 

 

 

 

 

 

 

Distributions:

 

 

 

 

 

 

  Net Investment Income

             -

          -

           -

           -

           -

  Realized Gains

    (0.37)

           -

   (0.38)

    (0.97)

   (0.60)

     Total from Distributions

    (0.37)

           -

   (0.38)

    (0.97)

   (0.60)

 

 

 

 

 

 

 

Redemption Fees ***

             -

          -

           -

           -

           -

 

 

 

 

 

 

 

Net Asset Value, at End of Year

$   11.06

$  11.64

$  11.90

$  12.49

$  13.64

 

 

 

 

 

 

 

Total Return **

 (1.77)%

(2.18)%

(1.71)%

(1.16)%

(0.78)%

 

 

 

 

 

 

 

Ratios/Supplemental Data:

 

 

 

 

 

  Net Assets at End of Year (Thousands)

$      991

$  1,273

$  2,232

$  3,718

$  3,728

  Ratio of Expenses to Average Net Assets

2.24%

2.24%

2.24%

2.24%

2.24%

  Ratio of Net Investment Loss to Average Net Assets

 (0.49)%

(1.01)%

(1.54)%

(1.75)%

(1.71)%

  Portfolio Turnover

33.73%

68.13%

60.96%

51.13%

22.93%







* Per share net investment income (loss) has been determined on the basis of average shares outstanding during the period.

** Assumes reinvestment of dividends.

*** The Fund will impose a 2% redemption fee on shares redeemed within 5 business days of purchase.

The accompanying notes are an integral part of these financial statements.  



39


VALUE FUND – INSTITUTIONAL CLASS


FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each year.






 

 

 

Years Ended

 

 

6/30/2019

6/30/2018

6/30/2017

6/30/2016

6/30/2015

 

 

 

 

 

 

 

Net Asset Value, at Beginning of Year

$   12.59

$  12.75

$  13.23

$  14.24

$  14.79

 

 

 

 

 

 

 

Income (Loss) From Investment Operations:

 

 

 

 

 

  Net Investment Income (Loss) *

      0.06

        - (a)

    (0.07)

   (0.10)

   (0.10)

  Net Gain (Loss) on Securities

         (Realized and Unrealized)

    (0.17)

    (0.16)

    (0.03)

     0.06

      0.15

     Total from Investment Operations

    (0.11)

   (0.16)

   (0.10)

   (0.04)

      0.05

 

 

 

 

 

 

 

Distributions:

 

 

 

 

 

 

  Net Investment Income

    (0.04)

 -

 -

 -

 -

  Realized Gains

    (0.37)

            -

    (0.38)

   (0.97)

   (0.60)

     Total from Distributions

    (0.41)

            -

    (0.38)

   (0.97)

   (0.60)

 

 

 

 

 

 

 

Redemption Fees ***

            -

        - (a)

            -

            -

           -

 

 

 

 

 

 

 

Net Asset Value, at End of Year

$   12.07

$  12.59

$  12.75

$  13.23

$  14.24

 

 

 

 

 

 

 

Total Return **

 (0.78)%

(1.25)%

(0.77)%

(0.09)%

0.21%

 

 

 

 

 

 

 

Ratios/Supplemental Data:

 

 

 

 

 

  Net Assets at End of Year (Thousands)

$   4,470

$  5,449

$  6,417

$  7,451

$  8,870

  Ratio of Expenses to Average Net Assets

1.24%

1.24%

1.24%

1.24%

1.24%

  Ratio of Net Investment Income (Loss) to  

       Average Net Assets

0.51%

0.02%

     (0.52)%

     (0.75)%

     (0.69)%

  Portfolio Turnover

33.73%

68.13%

60.96%

51.13%

22.93%








* Per share net investment income (loss) has been determined on the basis of average shares outstanding during the period.

** Assumes reinvestment of dividends.

*** The Fund will impose a 2% redemption fee on shares redeemed within 5 business days of purchase.

(a)  Amount calculated is less that $0.005

The accompanying notes are an integral part of these financial statements.



40


BALDWIN FUND


FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each year.






 

 

Years Ended

 

 

6/30/2019

6/30/2018

6/30/2017

6/30/2016

6/30/2015

 

 

 

 

 

 

 

Net Asset Value, at Beginning of Year

$     6.87

$    6.90

$    7.01

$    7.33

$    7.64

 

 

 

 

 

 

 

Income From Investment Operations:

 

 

 

 

 

  Net Investment Income (Loss) *

       0.09

      0.08

   (0.01)

      0.02

      0.16

  Net Gain (Loss) on Securities

       (Realized and Unrealized)

    (0.01)

   (0.04)

   (0.10)

   (0.28)

   (0.31)

     Total from Investment Operations

       0.08

      0.04

   (0.11)

   (0.26)

   (0.15)

 

 

 

 

 

 

 

Distributions:

 

 

 

 

 

 

  Net Investment Income

    (0.08)

   (0.07)

           -

   (0.05)

   (0.16)

  Realized Gains

            -

           -

           -

           -

           -

  Return of Capital

            -

           -

           -

   (0.01)

           -

     Total from Distributions

    (0.08)

   (0.07)

           -

   (0.06)

   (0.16)

 

 

 

 

 

 

 

Redemption Fees ***

             -

           -

           -

           -

           -

 

 

 

 

 

 

 

Net Asset Value, at End of Year

$     6.87

$    6.87

$    6.90

$    7.01

$    7.33

 

 

 

 

 

 

 

Total Return **

    1.20%

  0.59%

(1.57)%

(3.49)%

(1.95)%

 

 

 

 

 

 

 

Ratios/Supplemental Data:

 

 

 

 

 

  Net Assets at End of Year (Thousands)

$   2,317

$  2,427

$  2,620

$  3,030

$  3,432

Before Reimbursement:

 

 

 

 

 

  Ratio of Expenses to Average Net Assets

4.34%

4.90%

4.46%

4.88%

4.62%

  Ratio of Net Investment Income (Loss) to Average  

      Net Assets

 (1.86)%

(1.99)%

(2.90)%

(2.88)%

(0.72)%

After Reimbursement:

 

 

 

 

 

  Ratio of Expenses to Average Net Assets

1.12%

1.75%

1.75%

1.75%

1.75%

  Ratio of Net Investment Income (Loss) to Average

      Net Assets

1.36%

1.16%

(0.19)%

0.25%

2.14%

  Portfolio Turnover

1128.92%

686.85%

372.87%

478.51%

660.84%






* Per share net investment income has been determined on the basis of average shares outstanding during the period.

** Assumes reinvestment of dividends.

*** The Fund will impose a 2% redemption fee on shares redeemed within 5 business days of purchase.

The accompanying notes are an integral part of these financial statements.  



41


CAMELOT FUND - CLASS A


FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each year.






 

 

 

Years Ended

 

 

6/30/2019

6/30/2018

6/30/2017

6/30/2016

6/30/2015

 

 

 

 

 

 

 

Net Asset Value, at Beginning of Year

$  13.70

$  13.01

$  11.71

$  13.39

$  14.07

 

 

 

 

 

 

 

Income (Loss) From Investment Operations:

 

 

 

 

 

  Net Investment Income (Loss) *

      0.01

   (0.17)

      0.16

   (0.01)

   (0.04)

  Net Gain (Loss) on Securities

      (Realized and Unrealized)

      0.72

      1.36

      1.21

   (0.65)

      0.21

     Total from Investment Operations

      0.73

      1.19

      1.37

   (0.66)

      0.17

 

 

 

 

 

 

 

Distributions:

 

 

 

 

 

 

  Net Investment Income

   (0.19)

   (0.50)

   (0.07)

          -

   (0.11)

  Realized Gains

          -

           -

           -

   (1.02)

   (0.74)

     Total from Distributions

   (0.19)

   (0.50)

   (0.07)

   (1.02)

   (0.85)

 

 

 

 

 

 

 

Net Asset Value, at End of Year

$  14.24

$  13.70

$  13.01

$  11.71

$  13.39

 

 

 

 

 

 

 

Total Return **

5.46%(f)

9.41%

11.70%

(4.33)%

1.38%

 

 

 

 

 

 

 

Ratios/Supplemental Data:

 

 

 

 

 

  Net Assets at End of Year (Thousands)

$  6,978

$10,022

$12,548

$14,363

$31,817

Before Reimbursement:

 

 

 

 

 

  Ratio of Expenses to Average Net Assets (a) (b)

2.86%

3.04%

2.80%

2.41%

2.17%

  Ratio of Net Investment Income (Loss) to Average

       Net Assets (a) (d)

0.18%

    (2.35)%

0.49%

    (0.50)%

    (0.47)%

After Reimbursement:

 

 

 

 

 

  Ratio of Expenses to Average Net Assets (a) (c)

2.16%(e)

1.99%

1.99%

1.99%

1.99%

  Ratio of Net Investment Income to Average Net

       Assets (a) (d)

0.08%

    (1.30)%

1.30%

    (0.08)%

    (0.29)%

  Portfolio Turnover

386%

391%

326%

160%

237%



* Per share net investment income (loss) has been determined on the basis of average shares outstanding during the period.

** Assumes reinvestment of dividends.

(a) Expense waived or reimbursed reflect reductions to total expenses, as discussed in the notes to the financial statements. These amounts would increase the net investment loss ratio or decrease the net investment income ratio, as applicable, had such reductions not occurred.

(b) Expenses before reimbursements (excluding dividend and interest expense for securities sold short) were 2.85%, 3.01%, 2.78%, 2.40%, and 2.16% for the years ended June 30, 2019, 2018, 2017, 2016, and 2015, respectively.

(c) Expenses after reimbursements (excluding dividend and interest expense for securities sold short) were 2.15%, 1.97%, 1.98%,1.98%, and 1.98% for the years ended June 30, 2019, 2018, 2017, 2016, and 2015, respectively.

(d) The net investment income (loss) ratios include dividends on short positions, if applicable.

(e) Expense includes 0.17% of litigation fees. After reimbursement ratio of expenses to average net assets excluding litigation fees is 1.99%.

(f) The Fund's total return for the year ended June 30, 2019, would have been 3.91% if it had not received proceeds from securities litigation in the amount of $444,232.

The accompanying notes are an integral part of these financial statements.




42


CAMELOT FUND - INSTITUTIONAL CLASS


FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each year.






 

 

 

Years Ended

 

 

6/30/2019

6/30/2018

6/30/2017

6/30/2016

6/30/2015

 

 

 

 

 

 

 

Net Asset Value, at Beginning of Year

$  13.83

$  13.14

$  11.80

$  13.46

$  14.15

 

 

 

 

 

 

 

Income (Loss) From Investment Operations:

 

 

 

 

 

  Net Investment Income (Loss) *

      0.06

   (0.14)

     0.19

      0.02

   (0.01)

  Net Gain (Loss) on Securities

        (Realized and Unrealized)

      0.71

      1.37

      1.23

   (0.66)

      0.21

     Total from Investment Operations

      0.77

      1.23

      1.42

   (0.64)

      0.20

 

 

 

 

 

 

 

Distributions:

 

 

 

 

 

 

  Net Investment Income

   (0.23)

   (0.54)

   (0.08)

          -

   (0.15)

  Realized Gains

          -

           -

           -

   (1.02)

   (0.74)

     Total from Distributions

   (0.23)

   (0.54)

   (0.08)

   (1.02)

   (0.89)

 

 

 

 

 

 

 

Net Asset Value, at End of Year

$  14.37

$  13.83

$  13.14

$  11.80

$  13.46

 

 

 

 

 

 

 

Total Return **

5.77%(f)

9.71%

12.10%

(4.15)%

1.61%

 

 

 

 

 

 

 

Ratios/Supplemental Data:

 

 

 

 

 

  Net Assets at End of Year (Thousands)

$23,120

$12,191

$13,890

$14,953

$75,420

Before Reimbursement:

 

 

 

 

 

  Ratio of Expenses to Average Net Assets (a) (b)

2.49%

2.80%

2.55%

2.16%

1.92%

  Ratio of Net Investment Income (Loss) to Average

       Net Assets (a) (d)

(0.16)%

(2.15)%

0.74%

(0.25)%

(0.22)%

After Reimbursement:

 

 

 

 

 

  Ratio of Expenses to Average Net Assets (a) (c)

1.88%(e)

1.74%

1.74%

1.74%

1.74%

  Ratio of Net Investment Income to Average Net

       Assets (a) (d)

0.45%

(1.09)%

1.55%

0.17%

(0.04)%

  Portfolio Turnover

386%

391%

326%

160%

237%



* Per share net investment income (loss) has been determined on the basis of average shares outstanding during the period.

** Assumes reinvestment of dividends.

(a) Expense waived or reimbursed reflect reductions to total expenses, as discussed in the notes to the financial statements. These amounts would increase the net investment loss ratio or decrease the net investment income ratio, as applicable, had such reductions not occurred.

(b) Expenses before reimbursements (excluding dividend and interest expense for securities sold short) were 2.48%, 2.77%, 2.53%, 2.15%, and 1.91% for the years ended June 30, 2019, 2018, 2017, 2016, and 2015, respectively.

(c) Expenses after reimbursements (excluding dividend and interest expense for securities sold short) were 1.87%, 1.71%, 1.73%, 1.73%, and 1.73% for the years ended June 30, 2019, 2018, 2017, 2016, and 2015, respectively.

(d) The net investment income (loss) ratios include dividends on short positions, if applicable.

(e) Expense includes 0.14% of litigation fees. After reimbursement ratio of expenses to average net assets excluding litigation fees is 1.74%.

(f) The Fund's total return for the year ended June 30, 2019, would have been 4.22% if it had not received proceeds from securities litigation in the amount of $444,232.

The accompanying notes are an integral part of these financial statements.



43


FRANK FUNDS


NOTES TO FINANCIAL STATEMENTS

JUNE 30, 2019



Note 1. Organization

Frank Funds (the “Trust”), is an open-end regulated investment company that was organized as an Ohio business trust on February 12, 2004. The Trust is permitted to issue an unlimited number of shares of beneficial interest of separate series, each series representing a distinct fund with its own investment objective and policies.  At present, there are three series authorized by the Trust, the Frank Value Fund (the “Value Fund”), the Leigh Baldwin Total Return Fund (the “Baldwin Fund”), and the Camelot Event Driven Fund (the “Camelot Fund”) (each a “Fund” and collectively the “Funds”).  Frank Capital Partners LLC (“FCP”) is the adviser to the Value Fund, Leigh Baldwin & Co., LLC (“LBC”) is the adviser to the Baldwin Fund, and Camelot Event Driven Advisors, LLC (“Camelot Advisors”) is the adviser to the Camelot Fund.


The Value Fund’s investment objective is to provide long-term capital appreciation. The Value Fund’s principal investment strategy is value investing. The Value Fund commenced operations on July 21, 2004.  The Baldwin Fund’s investment objective is to provide total return. The Baldwin Fund seeks to achieve its investment objective by purchasing equity securities (including common stock, shares of other investment companies and exchange traded funds) and selling covered calls to generate income to the Baldwin Fund.  The Baldwin Fund also utilizes put options in conjunction with the covered calls to limit the risk of ownership of the underlying equity securities.  The Baldwin Fund commenced operations on August 1, 2008.  The Camelot Fund’s investment objective is to provide long-term growth of capital. The Camelot Fund seeks to achieve its investment objective by investing in the securities of publicly traded companies involved in mergers, takeovers, tender offers, leveraged buyouts, spin-offs, liquidations, or similar events (“corporate reorganizations”). The Camelot Fund acquired all of the assets and liabilities of the Quaker Event Arbitrage Fund (“Predecessor Fund”), a series of Quaker Investment Trust, in a tax-free reorganization on June 22, 2018. In connection with this acquisition, Class A, Class C and Institutional Class shares of the Predecessor Fund were exchanged for Class A, Class A and Institutional Class shares of the Fund, respectively. The Camelot Fund commenced operations on June 7, 2010 in conjunction with the reorganization of the Pennsylvania Avenue Event Driven Fund (“Event Driven Fund”). The predecessor to the Predecessor Fund, the Pennsylvania Avenue Event Driven Fund, commenced operations on November 21, 2003. Class C merged into Class A on June 22, 2018.


The Value Fund currently has 3 classes of shares; Investor Class shares, Class C shares, and Institutional Class shares. The share classes vary in distribution (12b-1) fee accruals and minimum initial investment required.  


The Camelot Fund currently has 2 classes of shares; Class A shares and Institutional shares. Class A shares are charged a front-end sales charge and a distribution and servicing fee; and Institutional Class shares bear no front-end sales charge or CDSC, but have higher minimum investment thresholds.



44


FRANK FUNDS


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2019



Note 2. Summary of Significant Accounting Policies

The following is a summary of the significant accounting policies followed by the Funds in the preparation of their financial statements.  The Funds are each a series of an investment company that follows the accounting and reporting guidance of Accounting Standards Codification Topic 946 and Accounting Standards Update 2013-08 applicable to investment companies.


Securities Valuations - All investments in securities are recorded at their estimated fair value, as described in Note 3.


Share Valuation - The price (net asset value) of the shares of each Fund is normally determined as of 4:00 p.m., Eastern time on each day the Funds are open for business and on any other day on which there is sufficient trading in the Funds’ securities to materially affect the net asset value. The Funds are normally open for business on every day except Saturdays, Sundays and the following holidays: New Year’s Day, Martin Luther King Day, Presidents’ Day, Good Friday, Memorial Day, Independence Day, Labor Day, Thanksgiving and Christmas.


Short Sales of Investments - Certain Funds may make short sales of investments, which are transactions in which a Fund sells a security it does not own in anticipation of a decline in the fair value of that security. To complete such a transaction, the Fund must borrow the security to make delivery to the buyer. The Fund is then obligated to replace the security borrowed by purchasing it at the market price at the time of replacement. The broker retains the proceeds of short sales to the extent necessary to meet margin requirements until the short position is closed out.

 

If a security pays a dividend while the Fund holds it short, the Fund will need to pay the dividend to the original owner of the security. Since the Fund borrowed the shares and sold them to a third party, the third party will receive the dividend from the security and the Fund will pay the original owner the dividend directly. The Fund is not entitled to the dividend because it does not own the shares. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in size, will be recognized upon the termination of a short sale.


Futures Contracts - Certain Funds may enter into financial futures contracts, to the extent permitted by their investment policies and objectives, for bona fide hedging and other permissible risk management purposes including protecting against anticipated changes in the value of securities a Fund intends to purchase. Upon entering into a financial futures contract, a Fund is required to deposit cash or securities as initial margin.


Additional securities are also segregated as collateral up to the current market value of the financial futures contracts. Subsequent payments, known as variation margin, are made or received by the Fund, depending on the fluctuation in the value of the underlying financial instruments. The Fund recognizes an unrealized gain or loss equal to the variation margin. When the financial futures contracts are closed, a realized gain or loss is recognized equal to the difference between the proceeds from (or cost of) the closing



45


FRANK FUNDS


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2019



transactions and the Fund’s basis in the contracts. The risks associated with entering into financial futures contracts include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. In addition, investing in financial futures contracts involves the risk that the Fund could lose more than the original margin deposit and subsequent payments required for a futures transaction. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.

 

Foreign Currency Transactions - Securities and other assets and liabilities denominated in foreign currencies are converted each business day into U.S. dollars based on the prevailing rates of exchange. Purchases and sales of portfolio securities and income and expenses are converted into U.S. dollars on the respective dates of such transactions.

 

Gains and losses resulting from changes in exchange rates applicable to foreign securities are not reported separately from gains and losses arising from movements in securities prices.

 

Net realized foreign exchange gains and losses include gains and losses from sales and maturities of foreign currency exchange contracts, gains and losses realized between the trade and settlement dates of foreign securities transactions, and the difference between the amount of dividends, interest and foreign withholding taxes on the Funds’ books and the U.S. dollar equivalent of the amounts actually received. Net unrealized foreign exchange gains and losses include gains and losses from changes in the fair value of assets and liabilities denominated in foreign currencies other than portfolio securities, resulting from changes in exchange rates.

 

Forward Foreign Currency Contracts - Certain Funds may enter into forward foreign currency contracts to hedge against foreign currency exchange rate risk on their non-U.S. dollar denominated securities or to facilitate settlement of foreign currency denominated portfolio transactions. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The contract is marked-to-market daily and the change in value is recorded by a Fund as an unrealized gain or loss. When a forward foreign currency contract is extinguished, through either delivery or offset by entering into another forward foreign currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished.


Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected in the Statements of Assets and Liabilities. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.


Redemption Fee - To discourage short-term trades by investors, the Value, Baldwin, and Camelot Funds will impose a redemption fee of 2.00% of the total redemption amount (calculated at market value) if shares are redeemed within five business days of purchase.



46


FRANK FUNDS


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2019



There was $5 of redemption fees collected for the Value Fund and $84 of redemption fees collected for the Camelot Fund during the year ended June 30, 2019.


Security Transactions Timing - Security transactions are recorded on the dates transactions are entered into (the trade dates).  Dividend income and distributions to shareholders are recognized on the ex-dividend date.  Interest income is recognized on an accrual basis.  The Funds use the identified cost basis in computing gain or loss on sale of investment securities.  Discounts and premiums on securities purchased are amortized over the life of the respective securities. Withholding taxes on foreign dividends are provided for in accordance with the Funds’ understanding of the applicable country’s tax rules and rates.


Federal Income Taxes -  The Funds make no provision for federal income or excise tax. The Funds intend to qualify each year as “regulated investment companies” (“RIC”) under subchapter M of the Internal Revenue Code of 1986, as amended, by complying with the requirements applicable to RICs and by distributing substantially all of their taxable income. The Funds also intend to distribute sufficient net investment income and net capital gains, if any, so that they will not be subject to excise tax on undistributed income and gains. If the required amount of net investment income or gains is not distributed, the Funds could incur a tax expense. Therefore, no federal income tax or excise provision is required.


The Funds recognize the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained, assuming examination by tax authorities. Management has analyzed the Funds’ tax positions and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years (2016-2019) or expected to be taken in the Funds’ 2019 tax returns. The Funds identify their major tax jurisdiction as U.S. Federal, however the Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next 12 months.


The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statement of Operations. During the period ended June 30, 2019, the Funds did not incur any interest or penalties.


Distributions to Shareholders - The Value Fund and Camelot Fund intend to distribute to their shareholders substantially all of their net realized capital gains and net investment income, if any, at year-end; the Baldwin Fund distributes net investment income quarterly and net realized capital gains, if any, annually.  Distributions will be recorded on ex-dividend date.


Foreign Currency - Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based on the exchange rate of such currencies against U.S. dollars on the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies



47


FRANK FUNDS


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2019



are translated into U.S. dollar amounts at the exchange rate in effect on the respective dates of such transactions.


The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held.  Such fluctuations are included with the net realized and unrealized gain or loss from investments.


Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds' books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.


Derivative Transactions - The Funds may invest in put and call options.  When a Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current fair value of the option written.  Premiums received from writing options that expire unexercised are treated by the Funds on the expiration date as realized gains.  The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or, if the premium is less than the amount paid for the closing purchase transaction, as a realized loss.  If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security or currency in determining if the Fund has a realized gain or loss.  If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund.  The Fund(s) as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.


The Camelot Fund may invest in structured notes.  A structured note is a type of derivative security for which the amount of principal repayments and/or interest payments is based upon the movement of one or more “factors.”  The impact of the movements of these factors may increase or decrease through the use of multipliers or deflators.  Structured notes may be designed to have particular quality and maturity characteristics and may vary from money market quality to below investment grade.


The Camelot Fund may also invest in warrants.  Warrants provide the Camelot Fund with exposure and potential gains upon equity appreciation of the underlying company’s share price. The value of a warrant has two components: time value and intrinsic value. A warrant has a limited life and expires on a certain date. As the expiration date of a warrant approaches, the time value of a warrant will decline. In addition, if the stock underlying the warrant declines in price, the intrinsic value of an in-the-money warrant will decline. Further, if the price of the stock underlying the warrant does not exceed the strike price of the warrant on the expiration date, the warrant will expire worthless. As a



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JUNE 30, 2019



result, the Camelot Fund could potentially lose its entire investment in a warrant.  See Note 8 for additional information on derivative transactions in the Funds.


Share class accountingInvestment income, common expenses and realized/unrealized gains (losses) on investments are allocated to the three classes of shares of the Value Fund on the basis of the daily net assets of each class. Investment income, common expenses and realized/unrealized gains (losses) on investments are allocated to the two classes of shares of the Camelot Fund on the basis of the daily net assets of each class.  Fees relating to a specific class are charged directly to that share class.


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 increases and decreases in net assets during the reporting period.  Actual results could differ from those estimates.


Subsequent events: Management has evaluated the impact of all subsequent events on the Funds through the issuance date of these financial statements and has noted no such events requiring disclosure.


Note 3. Securities Valuations


Processes and Structure

The Trust’s Board of Trustees has adopted guidelines for valuing securities including in circumstances in which market quotes are not readily available and has delegated to the respective adviser the responsibility for determining fair value prices, subject to review by the Board of Trustees.


In accordance with the Trust’s good faith pricing guidelines, the respective adviser is required to consider all appropriate factors relevant to the value of securities for which it has determined other pricing sources are not available or reliable as described above.  No single standard for determining fair value exists since fair value depends upon the circumstances of each individual case.  As a general principle, the current fair value of an issue of securities being valued by the adviser would appear to be the amount which the owner might reasonably expect to receive for them upon their current sale.  Methods which are in accord with this principle may, for example, be based on (i) a multiple of earnings; (ii) a discount from market of a similar freely traded security (including a derivative security or a basket of securities traded on other markets, exchanges or among dealers); or (iii) yield to maturity with respect to debt issues, or a combination of these and other methods.


Hierarchy of Fair Value Inputs

The Funds utilize various methods to measure the fair value of most of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. The three levels of inputs are as follows:



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JUNE 30, 2019




·

Level 1. Unadjusted quoted prices in active markets for identical assets or liabilities that the company has the ability to access.


·

Level 2. Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data.


·

Level 3. Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the company's own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.


The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.


The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.


A Fund may hold securities, some of which are classified as Level 3 investments (as defined below). Level 3 investments have significant unobservable inputs, as they trade infrequently. In determining the fair value of these investments, management uses the market approach which includes as the primary input the capital balance reported; however, adjustments to the reported capital balance may be made based on various factors, including, but not limited to, the attributes of the interest held, including the rights and obligations, and any restrictions or illiquidity of such interests, and the fair value of these securities.


Fair Value Measurements

A description of the valuation techniques applied to the company's major categories of assets and liabilities measured at fair value on a recurring basis follows.


Equity securities (common stock, closed-end and exchange traded funds). Securities traded on a national securities exchange (or reported on the NASDAQ national market) are stated at the last reported sales price on the day of valuation. To the extent these securities are actively traded, and valuation adjustments are not applied, they are



50


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NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2019



categorized in Level 1 of the fair value hierarchy. Certain foreign securities may be fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments such as american depositary receipts, financial futures, exchange traded funds, and the movement of the certain indexes of securities based on a statistical analysis of the historical relationship and that are categorized in Level 2. Preferred stock and other equities traded on inactive markets or valued by reference to similar instruments are also categorized in Level 2.


Debt and other fixed - income securities are valued at the last quoted bid price and/or by using a combination of daily quotes and matrix evaluations provided by an independent pricing service (which reflect such factors as security prices, yields, maturities, ratings, and dealer and exchange quotations), the use of which has been approved by the Board.


U.S. government obligations - U.S. government securities are normally valued using a model that incorporates market observable data, such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued principally using dealer quotations. U.S. government securities are categorized in Level 1 or Level 2 of the fair value hierarchy, depending on the inputs used and market activity levels for specific securities.


Short term investments - Short term investments are valued using amortized cost, which approximates fair value.  These securities will be categorized in Level 1 of the fair value hierarchy.


Derivative instruments (structured notes, warrants and options) – Derivative transactions which are actively traded, and valuation adjustments are not applied, they are categorized in Level 1 of the fair value hierarchy. Derivative transactions traded on inactive markets or valued by reference to similar instruments are categorized in Level 2 of the fair value hierarchy. Options are valued at the last sales prices on the valuation date if the last sales price is between the closing bid and asked prices.  Otherwise, options are valued at the closing bid price. These securities will be categorized in Level 2 of the fair value hierarchy if valued at other than closing price.


The following tables summarize the inputs used to value each Fund’s assets and liabilities measured at fair value as of June 30, 2019:


Value Fund

Financial Instruments - Assets

 

Level 1

Level 2

Level 3

Total

 

 

 

 

 

    Common Stocks *

$3,397,085

$            -

$          -

 $ 3,397,085

    Corporate Bonds *

-

590,855

-

590,855

    Exchange Traded Funds

427,096

-

-

427,096

    U.S. Government Agencies & Obligations

-

3,980,214

-

3,980,214

    Short-Term Investments

3,933,337

-

-

3,933,337

        Total

$7,757,518

$4,571,069

$          -

$12,328,587



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NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2019






Baldwin Fund

Financial Instruments - Assets

 

Level 1

Level 2

Level 3

Total

   

 

 

 

 

    Common Stocks *

$    492,977

$           -

$          -

$    492,977

    Exchange Traded Funds

577,661

-

-

577,661

    Purchased Options

46,881

35,750

-

82,631

    Short-Term Investments

947,113

-

-

947,113

        Total

 $2,064,632

$ 35,750

$          -

 $2,100,382


 

Financial Instruments - Liabilities

 

Level 1

Level 2

Level 3

Total

    

 

 

 

 

    Written Options

 $ (12,529)

$          -

$          -

 $  (12,529)

        Total

 $ (12,529)

$          -

$          -

 $  (12,529)


Camelot Fund

Financial Instruments - Assets

 

Level 1

Level 2

Level 3

Total

   

 

 

 

 

    Common Stocks *

$ 17,901,753

$       3,749

$     11,712

$ 17,917,214

    Escrow Shares

-

-

-

-

    Asset-Backed Securities

-

163,991

-

163,991

    Contingent Value Rights

-

-

-

-

    Convertible Bonds

-

410,245

-

410,245

    Corporate Bonds *

-

1,511,843

6,285

1,518,128

    Escrow Notes

-

-

-

-

    Mortgage-Backed Securities

-

110,121

-

110,121

    Municipal Bonds

-

1,025,189

-

1,025,189

    Preferred Stocks *

492,115

498,986

40,000

1,031,101

    Stock Certificate

-

-

418,460

418,460

    Structured Note

-

8,321

850,000

858,321

    Warrants

7,524

-

-

7,524

    Purchased Options

226,855

205,328

-

432,183

    Term Loan

-

114,000

-

114,000

    Bank Deposit Accounts

6,623,751

-

-

6,623,751

        Total

 $25,251,998

$4,051,773

$1,326,457

 $ 30,630,228


 

Financial Instruments - Liabilities

 

Level 1

Level 2

Level 3

Total

Written Options:

 

 

 

 

    Call Options

 $ (312,925)

$(289,973)

$          -

 $(602,898)

    Put Options

(97,070)

(99,413)

 

(196,483)

        Total

 $ (409,995)

$(389,386)

$          -

 $(799,381)


*Industry classifications for these categories are detailed on the Schedule of Investments of each Fund.



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NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2019




The Value Fund did not hold any Level 3 assets during the year ended June 30, 2019. The Baldwin Fund did not hold any Level 3 assets during the year ended June 30, 2019. It is the Funds policy to recognize transfers into and out of Level 1, Level 2 and Level 3 at the end of the reporting period. There have been no transfers in and out of Level 1 and Level 2 fair value measurements as of June 30, 2019.

The following is a reconciliation of Camelot Fund’s Level 3 investments for which significant unobservable inputs were used in determining value. See Schedules of Investments for industry breakouts:


 

Balance as of June 30, 2018

Purchases

Sales

Realized Gain/

(Loss)

Net Unrealized Appreciation/

(Depreciation)

Amortized discounts/

Premiums

Transfers in to Level 2

Balance as of June 30,

2019

Common Stocks

$    17,934

$           -

$        -

$         -

$  (6,222)

$           -

$           -

$     11,712

Escrow Shares

-

-

-

-

-

-

-

-

Preferred Stocks

20,000

-

-

-

20,000

-

-

40,000

Corporate Bonds*

6,285

-

-

-

-

-

-

6,285

Stock Certificate

-

419,228

-

-

(768)

-

-

418,460

Structured Note

680,000

-

-

-

170,000

-

-

850,000

Escrow Notes

-

-

-

-

-

-

-

-

 

$ 724,219

$419,228

$        -

$         -

$ 183,010

$           -

$           -

$1,326,457


* During year ended June 30, 2019, $850,000 of Level 3 Corporate Bonds was reclassified to Structured Notes.


The following presents information about significant unobservable inputs related to Level 3 investments at June 30, 2019:




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NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2019



Camelot Fund

 

Asset

 

Fair Value at

 

Valuation

Unobservable

 

Input

 

Increase in Inputs

Categories

 

June 30, 2019

 

Technique

Input

 

Values

 

Impact on Valuation*

Common Stocks

 

 

 

 

 

 

 

 

     

Agriculture

 

$

801

 

Market approach

Uncertainty of any

 

$

0.00

 

Decrease

 

 

 

 

 

  

additional future payout

 

 

 

 

  

Automotive

 

 

8,593

 

Market approach

Last traded price of

 

$

1.45

 

Increase

 

 

 

 

 

  

pre-conversion bonds

 

 

 

 

  

IT Services

 

 

0

 

Profitability expected

Uncertainty of any

 

$

0.00

 

Increase

 

 

 

 

 

return method

additional future payout

 

 

 

 

  

Holding Companies

 

 

0

 

Profitability expected

Uncertainty of any

 

$

0.00

 

Increase

  

 

 

 

 

return method

additional future payout

 

 

 

 

  

Metals & Mining

 

 

0

 

Profitability expected

Uncertainty of any

 

$

0.00

 

Increase

 

 

 

 

 

return method

additional future payout

 

 

 

 

  

Real Estate

 

 

0

 

Profitability expected

Uncertainty of any

 

$

0.00

 

Increase

 

 

 

 

 

return method

additional future payout

 

 

 

 

  

Waste & Environmental

 

 

2,318

 

Market approach

Last traded price of non-

 

 

-72.76

%

Decrease

 Services & Equip.

 

 

 

 

   

restricted shares less a discount

 

 

 

 

  

Escrow Shares

 

 

0

 

Profitability expected

Uncertainty of any

 

$

0.00

 

Increase

 

 

 

 

 

return method

additional future payout

 

 

 

 

  

Asset-Backed

 

 

0

 

Profitability expected

Uncertainty of any

 

$

0.00

 

Increase

 Securities

 

 

 

 

return method

additional future payout

 

 

 

 

  

Corporate Bonds

 

 

6,250

 

Vendor pricing

Single broker quote

 

$

0.12

 

Decrease

Financial Services

 

 

 

 

 

 

 

 

 

 

  

Oil, Gas & Coal

 

 

35

 

Profitability expected

Uncertainty of any

 

$

0.00

 

Increase

 

 

 

 

 

return method

additional future payout

 

 

 

 

  

Venture Capital

 

 

0

 

Profitability expected

Uncertainty of any

 

$

0.00

 

Increase

 

 

 

 

 

return method

additional future payout

 

 

 

 

  

Structured Notes

 

 

850,000

 

Vendor pricing

Single broker quote

 

$

85.00

 

Increase

  Financial Services

 

 

 

 

 

 

 

 

 

 

     

Escrow Notes

 

 

0

 

Profitability expected

Uncertainty of any

 

$

0.00

 

Increase

 

 

 

 

 

return method

additional future payout

 

 

 

 

  

Preferred stock

 

 

 

 

 

 

 

 

 

 

     

Insurance

 

 

40,000

 

Vendor pricing

Single broker quote

 

$

4,000.00

 

Increase

Stock Certificate

 

 

 

 

 

 

 

 

 

 

     

Retail Discretionary

 

 

418,460

 

Vendor pricing

Single broker quote

 

$

6.10

 

Increase


Note 4. Investment Management and Administrative Agreements


Value Fund

The Trust has a “Management Agreement” with FCP, with respect to the Value Fund. Under the terms of the Management Agreement, FCP manages the investment portfolio of the Value Fund, subject to policies adopted by the Trust’s Board of Trustees. Under the Management Agreement, FCP, at its own expense and without reimbursement from the Trust, furnishes office space and all necessary office facilities, and pays fees and expenses incurred by the Value Fund, including but not limited to, legal, auditing, accounting, and expenses of the custodian, along with equipment and executive personnel necessary for managing the assets of the Value Fund. FCP also pays the salaries and fees of all its officers and employees that serve as officers and trustees of the Trust. FCP pays all ordinary operating expenses of the Value Fund except brokerage fees and commissions, taxes, borrowing costs (such as (a) interest and (b) dividend expenses on securities sold short), Rule 12b-1 fees,  acquired fund fees and expenses, and extraordinary expenses. For its services and the payment of Value Fund ordinary operating expenses, FCP receives an annual investment management fee of 0.99% of the



54


FRANK FUNDS


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2019



average daily net assets of the Value Fund.  For the year ended June 30, 2019, FCP earned management fees of $145,040 from the Value Fund.  As of June 30, 2019, the Value Fund owed FCP $10,016 for management fees.


FCP also provides administrative services to the Value Fund under an Administration Agreement and receives a fee equal to 0.25% of the Value Fund’s average daily net assets for those services.  Under the Administration Agreement, FCP pays all of the operating expenses of the Value Fund except management fees, Rule 12b-1 fees, brokerage, taxes, borrowing costs (such as interest and dividend expense of securities sold short), and extraordinary expenses.  For the year ended June 30, 2019, the Value Fund accrued $36,626 in administrative fees.  At June 30, 2019, the Value Fund owed $2,529 in administrative fees.  


Baldwin Fund

The Trust has a “Management Agreement” with LBC with respect to the Baldwin Fund.  Under the terms of the Management Agreement, LBC manages the investment portfolio of the Baldwin Fund, subject to policies adopted by the Trust's Board of Trustees.  Under the terms of the Management Agreement, the Baldwin Fund is authorized to pay LBC a management fee computed and accrued daily and paid monthly at an annual rate of 0.45% of the Baldwin Fund’s average daily net assets. For the year ended June 30, 2019, LBC’s fee of $10,519 was accrued by the Baldwin Fund for advisory fees.


Prior to November 1, 2018, LBC contractually agreed to waive its advisory fees and/or to reimburse the Baldwin Fund’s expenses to 1.75% of the Baldwin Fund’s average daily net assets. Effective of November 1, 2018, LBC has contractually agreed to waive its advisory fees and/or to reimburse the Baldwin Fund’s expenses, at least until October 31, 2024, to the extent necessary to limit the Baldwin Fund’s ordinary operating expenses (exclusive of any front-end or contingent deferred loads, taxes, leverage interest, brokerage commissions, expenses incurred in connection with any merger or reorganization, dividend expenses on securities sold short, underlying fund fees, Rule 12b-1 fees and expenses, or extraordinary expenses such as litigation) to 1.00% of the Baldwin Fund’s average daily net assets, subject to possible recoupment from the Baldwin Fund in future years on a rolling three year basis (within the three years after the fees have been deferred  or reimbursed) if such recoupment can be achieved within the foregoing expense limits.  LBC waived $10,519 of advisory fees and reimbursed the Baldwin Fund $65,592 for expenses during the year ended June 30, 2019. As of June 30, 2019, the LBC owed the Baldwin Fund $11,685 in reimbursement fees. At June 30, 2019, the amounts subject to future recoupment total $232,912 and are as follows:


Fiscal Year Ended

Recoverable Through

Amount

June 30, 2017

June 30, 2020

$   77,304

June 30, 2018

June 30, 2021

$   79,497

June 30, 2019

June 30, 2022

$   76,111




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FRANK FUNDS


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2019



Camelot Fund

Prior to February 24, 2018, the Fund’s advisor was Quaker Funds, Inc. (“QFI”). As compensation for its management services, the Fund was obligated to pay the QFI a fee computed and accrued daily and paid monthly at an annual rate of 1.30% of the average daily net assets of the Fund. On February 24, 2018, the Trustees selected Camelot Advisors as the adviser to the Camelot Fund.  Under the terms of the management agreement, and subject to the Board of Trustees of Frank Funds, Camelot will be responsible for formulating the Fund’s investment policies, making ongoing investment decisions and engaging in portfolio transactions. Under the terms of the “Management Agreement” the Adviser manages the Fund’s investments subject to approval of the Board of Trustees; furnishes investment advice to the Fund on the basis of a continuous review of the portfolio; and recommends to the Fund when and to what extent securities should be purchased or sold.  As compensation for its management services, the Fund is obligated to pay the Adviser a fee computed and accrued daily and paid monthly at an annual rate of 1.30% of the average daily net assets of the Fund.  The Management Agreement was approved for an initial term of two years, and will continue on a year to year basis thereafter, provided that continuance is approved at least annually by specific approval of the Board of Trustees of the Fund or by vote of the holders of a majority of the outstanding voting securities of the Fund.  For the year ended June 30, 2019, Camelot Advisors earned management fees of $301,986 from the Camelot Fund. As of June 30, 2019, the Camelot Fund owed Camelot Advisors $44,882 for management fees.


Prior to February 24, 2018, QFI contractually agreed to waive its management fee to the extent that the total operating expenses of Camelot Fund’s Predecessor Fund (exclusive of interest, taxes, brokerage commissions and other costs incurred in connection with the purchase or sale of portfolio securities, and extraordinary items) exceed the annual rate of 1.99% for Class A shares, and 1.74% for Institutional Class shares of the average net assets of each class, respectively. If, at any time, the annualized expenses of Camelot Fund’s Predecessor Fund were less than the annualized expense ratio, the Trust, on behalf of Camelot Fund’s Predecessor Fund, would reimburse QFI for any fees previously waived and/or expenses previously assumed; provided, however, that repayment would be payable only to the extent that it (a) can be made during the three (3) years following the time at which the adviser waived fees or assumed expenses for Camelot Fund’s Predecessor Fund, and (b) can be repaid without causing the expenses of Camelot Fund’s Predecessor Fund to exceed the annualized expense ratio. This fee waiver agreement shall continue in effect from October 28, 2016 until November 1, 2017. This agreement shall automatically terminate upon termination of the advisory agreement between QFI and the Trust or, with respect to Camelot Fund’s Predecessor Fund, in the event of its merger or liquidation.  As of February 24, 2018, Camelot Advisors have contractually agreed to waive its management fees and/or assume expenses to the extent necessary to reduce the Total Annual Fund Operating Expenses (exclusive of any front-end or contingent deferred loads, taxes, all interest, brokerage commissions, expenses incurred in connection with any merger or reorganization, dividend expense