N-CSR 1 frankfundsncsr.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, 2020


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.






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, 2020






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, 2020 (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 strategies continue to gain market share, a large opportunity exists for Frank Funds to remain focused on its active strategies and reap the long-term rewards of discipline. Recent market volatility highlights both the downside protection and opportunistic purchases active management can provide. 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 first calendar quarter of 2020 when the S&P 500 Total Return Index declined (-19.60%) and the Frank Value Fund lost (-1.31%.) Those three months of declines in an otherwise rising market caught most of our peers being too aggressive, and the Frank Value Fund ended the second quarter 2020 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. Frank Capital Partners LLC has written extensively on how passive investing negatively affects stock valuation discovery and market structure, and the management company believes a historic disruption in equity markets will result when passive strategies collectively suffer  their first sustained net outflows in history. Given the high market share of passive investing, Frank Capital Partners LLC believes net outflows from passive strategies are inevitable and probable in the next year.  


The first two quarters of calendar 2020 have seen large upward and downward volatility in US stocks. The Frank Value Fund’s holdings have outperformed the S&P 500 in both the first two calendar quarters of 2020 as well as the Fund’s fiscal year ended June 30, 2020. Specifically, Fund holdings in gold and gold mining companies experienced increases and outperformance relative to the index. Both Frank Value Fund holdings Barrick Gold (NYSE: GOLD) and Newmont Goldcorp (NYSE: NEM) benefited from reduced cost structures from their 2019 M&A, while an increase in the price of gold caused revenues to grow. The Federal Reserve cut interest rates to 0-0.25% in the first quarter of 2020, and globally, nearly all developed markets outside of the US trade with negative government bond yields. Near-zero US rates and negative rates in Europe and Japan vastly increase the attractiveness of gold and gold miners. As inflation expectations returned to normal in the US in Q2 2020, the Federal Reserve has elected to keep interest rates low. As inflation rises and rates stay the same, real rates, calculated as nominal yield minus inflation, are now deeply negative in the US, further bolstering the investment case for a store of value like gold. The Frank Value Fund remains invested in Barrick Gold and Newmont Goldcorp.


While Frank Capital Partners LLC is pleased with the short-term performance of the Frank Value Fund, the investment manger remains confident that its strategy will significantly outperform in the long-term. The management company has detected and



1


FRANK FUNDS


SHAREHOLDER LETTER (CONTINUED)

JUNE 30, 2020 (UNAUDITED)



extensively researched and documented market distortions from passive investing, and Frank Capital Partners LLC has concluded drastic compression to stock valuations will eventually result. Frank Capital Partners LLC believes it has positioned the Frank Value Fund to significantly outperform both its peers all equity indices.


The Frank Value Fund (“Value Fund”) Institutional Class returned 10.85% for the fiscal year ended June 30, 2020, compared to a gain of 7.35% for its benchmark, the S&P 500 Total Return Index.


Leigh Baldwin Total Return Fund Portfolio Performance


The Baldwin Fund returned 1.04% for the year ending June 30, 2020 which compares to a loss of -5.77% in the HFRX market neutral index during the same time period. The Leigh Baldwin Total Return Fund will be transitioning into the West Hills Tactical Core Fund in the next few months.


Camelot Event Driven Fund Portfolio Performance


The Camelot Event-Driven Fund Institutional Class returned -4.79% for the fiscal year ended June 30, 2020, compared to 7.35% for the S&P 500 Total Return 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, 2020 (UNAUDITED)



 AVERAGE ANNUAL RATE OF RETURN (%)

FOR PERIODS ENDED JUNE 30, 2020


FUND/INDEX

1-YEAR

5-YEAR

10-YEAR

SINCE INCEPTION

VALUE AS OF 6/30/20

Frank Value Fund - Investor Class

10.50%

1.22%

8.11%

5.94%

 $    25,080

S&P 500 Index

7.51%

10.72%

13.98%

8.98%

 $    39,041


Cumulative Performance Comparison $10,000 Investment Since Inception

[frankfundsannual003.jpg]



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, 2019 Prospectus, the Fund’s total annual operating expense ratio was 1.51% 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, 2020 (UNAUDITED)



 AVERAGE ANNUAL RATE OF RETURN (%)

FOR PERIODS ENDED JUNE 30, 2020


FUND/INDEX

1-YEAR

5-YEAR

SINCE INCEPTION

VALUE AS OF 6/30/20

Frank Value Fund - Class C

9.67%

0.47%

6.39%

 $   18,306

S&P 500 Index

7.51%

10.72%

13.26%

 $   33,486


Cumulative Performance Comparison $10,000 Investment Since Inception

[frankfundsannual004.jpg]


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, 2019 Prospectus, the Fund’s total annual operating expense ratio was 2.26% 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, 2020 (UNAUDITED)



AVERAGE ANNUAL RATE OF RETURN (%)

FOR PERIODS ENDED JUNE 30, 2020


FUND/INDEX

1-YEAR

5-YEAR

SINCE INCEPTION

VALUE AS OF 6/30/20

Frank Value Fund - Institutional Class

10.76%

1.47%

6.64%

 $   18,599

S&P 500 Index

7.51%

10.72%

12.66%

 $   31,776


Cumulative Performance Comparison $10,000 Investment Since Inception

[frankfundsannual005.jpg]


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, 2019 Prospectus, the Fund’s total annual operating expense ratio was 1.26% 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, 2020 (UNAUDITED)



AVERAGE ANNUAL RATE OF RETURN (%)

FOR PERIODS ENDED JUNE 30, 2020


FUND/INDEX

1-YEAR

5-YEAR

10-YEAR

SINCE INCEPTION

VALUE AS OF 6/30/20

Leigh Baldwin Fund

1.19%

-0.43%

-0.23%

-0.89%

$   8,987

S&P 500 Index

7.51%

10.72%

13.98%

10.12%

$ 31,530

HFRX Equity Market Neutral Index

-5.78%

-1.83%

-1.01%

-1.43%

$   8,421


Cumulative Performance Comparison $10,000 Investment Since Inception

[frankfundsannual006.jpg]


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, 2019 Prospectus the Fund’s total annual operating expenses ratio was 4.42%. 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, 2019 Prospectus was 1.08%.


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, 2020 (UNAUDITED)



 AVERAGE ANNUAL RATE OF RETURN (%)

FOR PERIODS ENDED JUNE 30, 2020


FUND/INDEX

1-YEAR

5-YEAR

10-Year

SINCE INCEPTION

VALUE AS OF 6/30/20

Camelot Event Driven Fund - Class A (with load)

-10.30%

2.04%

2.82%

4.84%

 $   22,019

Camelot Event Driven Fund - Class A (without load)

-5.09%

3.20%

3.41%

5.20%

 $   23,298

S&P 500 Total Return Index

7.51%

10.72%

13.98%

9.04%

 $   43,283


Cumulative Performance Comparison $10,000 Investment Since Inception

[frankfundsannual007.jpg]

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, 2019 Prospectus the Fund’s total annual operating expenses ratio was 2.86%. The Adviser has contractually agreed to limit its fees and reimburse expenses, subject to certain limitations, until at least October 31, 2020. After waiver the Fund’s net expense ratio in the November 1, 2019 Prospectus was 1.99%.


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, 2020 (UNAUDITED)



 AVERAGE ANNUAL RATE OF RETURN (%)

FOR PERIODS ENDED JUNE 30, 2020


FUND/INDEX

1-YEAR

5-YEAR

10-YEAR

SINCE INCEPTION

VALUE AS OF 6/30/20

Camelot Event Driven Fund - Institutional Class

-4.81%

3.48%

3.68%

3.82%

 $   14,576

S&P 500 Total Return Index

7.51%

10.72%

13.98%

13.68%

 $   36,381


Cumulative Performance Comparison $10,000 Investment Since Inception

[frankfundsannual008.jpg]


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, 2019 Prospectus the Fund’s total annual operating expenses ratio was 2.49%. The Adviser has contractually agreed to limit its fees and reimburse expenses, subject to certain limitations, until at least October 31, 2020. After waiver the Fund’s net expense ratio in the November 1, 2019 Prospectus was 1.74%.


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, 2020 (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.


[frankfundsannual010.gif]


Sectors are based on Morningstar® classifications.

Portfolio composition subject to change.





9


BALDWIN FUND


PORTFOLIO ANALYSIS

JUNE 30, 2020 (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.

[frankfundsannual012.gif]

Sectors are based on Morningstar® classifications.

Portfolio composition subject to change.









10


CAMELOT FUND


PORTFOLIO ANALYSIS

JUNE 30, 2020 (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.

[frankfundsannual014.gif]


Categorizations above are made using Morningstar® classifications.


Portfolio composition is subject to change.


Excludes written options.



11


VALUE FUND


SCHEDULE OF INVESTMENTS

JUNE 30, 2020






Shares

 

 

Value

 

 

 

 

COMMON STOCKS - 36.09%

 

 

 

 

 

Apparel & Other Finished Prods of Fabrics & Similar Material - 1.72%

 

24,456

 

Under Armour, Inc. Class C *

$      216,191

 

 

 

 

Fire, Marine & Casualty Insurance - 3.97%

 

2,801

 

Berkshire Hathaway, Inc. Class B *

500,007

 

 

 

 

Gold and Silver Ores - 9.70%

 

24,860

 

Barrick Gold Corp.

669,729

8,942

 

Newmont Goldcorp Corp.

552,079

 

 

 

1,221,808

Oil & Gas Filed Machinery & Equipment - 3.59%

 

6,527

 

Dril-Quip, Inc. *

194,439

29,829

 

Now, Inc. *

257,424

 

 

 

451,863

Petroleum Refining - 1.38%

 

8,606

 

CVR Energy, Inc.

173,067

 

 

 

 

Retail-Hobby, Toy & Game Shops - 1.47%

 

26,256

 

Michaels Companies, Inc. *

185,630

 

 

 

 

Services-Advertising Agencies - 1.44%

 

3,322

 

Omnicom Group, Inc.

181,381

 

 

 

 

Services-Business Services - 3.35%

 

8,037

 

Ebay, Inc.

421,541

 

 

 

 

Services-Computer Programming, Data Processing, Etc. - 2.67%

 

11,303

 

Twitter, Inc. *

336,716

 

 

 

 

Wholesale-Drugs, Propietaries - 6.80%

 

2,689

 

McKesson Corp.

412,546

4,400

 

AmerisourceBergen Corp.

443,388

 

 

 

855,934

 

 

 

 

TOTAL FOR COMMON STOCKS (Cost $2,972,778) - 36.09%

     4,544,138

 

 

 

 

CORPORATE BONDS - 3.22% ()

 

 

 

 

 

Retail-Computer & Computer Software Stores - 2.84%

 

450,000

 

GameStop Corp. 6.75%, 03/15/2021

      357,750

 

 

 

 

Transportation Services - 0.38%

 



12


VALUE FUND


SCHEDULE OF INVESTMENTS

JUNE 30, 2020






48,000

 

Expedia Group, Inc. 5.95%, 8/15/2020

          48,141

 

 

 

 

TOTAL FOR CORPORATE BONDS  (Cost $498,215) - 3.22%

        405,891





























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




13


VALUE FUND


SCHEDULE OF INVESTMENTS (CONTINUED)

JUNE 30, 2020






Shares

 

 

Value

 

 

 

 

EXCHANGE TRADED FUND - 9.91%

 

87,152

 

Sprott Physical Gold Trust *

$   1,247,145

TOTAL FOR EXCHANGE TRADED FUND (Cost $1,011,295) - 9.91%

     1,247,145

 

 

 

 

U.S. GOVERNMENT AGENCIES AND OBLIGATIONS - 29.23% ()

 

 

 

 

 

U.S. Treasury Note Bonds - 16.03%

 

1,000,000

 

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

     1,006,875

1,000,000

 

U.S. Treasury Note 1.125%, 09/30/2021

     1,011,875

 

 

 

     2,018,750

U.S. Treasury Strips Principal Bonds - 13.20%

 

2,559,000

 

U.S. Treasury Strips Principal 0.00%, 02/15/2050

     1,661,989

 

 

 

 

TOTAL FOR U.S. GOVERNMENT AGENCIES AND OBLIGATIONS

      (Cost $3,648,148) - 29.23%

     3,680,739

 

 

 

 

MONEY MARKET FUND - 20.84%

 

2,624,023

 

Morgan Stanley Institutional Liquidity Funds - Treasury

      Securities Portfolio 0.03% **

     2,624,023

TOTAL FOR MONEY MARKET FUND (Cost $2,624,023) - 20.84%

     2,624,023

 

 

 

 

TOTAL INVESTMENTS (Cost $10,754,459) *** - 99.29%

12,501,936

 

 

 

 

ASSETS IN EXCESS OF LIABILITIES - 0.71%

          88,749

 

 

 

 

NET ASSETS - 100.00%

$ 12,590,685














* Non-income producing securities during the period.

** Variable rate security; the coupon rate shown represents the yield at June 30, 2020.

*** Refer to Note 10 for tax cost.

Level 2 Security.

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



14


BALDWIN FUND


SCHEDULE OF INVESTMENTS

JUNE 30, 2020






Shares

 

 

Value

 

 

 

 

MONEY MARKET FUND - 0.69%

 

966

 

Fidelity Institutional Government Money Market Fund Class I 0.05% **

$          966

TOTAL FOR MONEY MARKET FUND (Cost $966) - 0.69%

            966

 

 

 

 

TOTAL INVESTMENTS (Cost $966) *** - 0.69%

966

 

 

 

 

ASSETS IN EXCESS OF LIABILITIES, NET - 99.31%

139,623

 

 

 

 

NET ASSETS - 100.00%

$   140,589

 



















** Variable rate security; the coupon rate shown represents the yield at June 30, 2020.

*** Refer to Note 10 for tax cost.

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




15


CAMELOT FUND


SCHEDULE OF INVESTMENTS

JUNE 30, 2020






 Shares

 

 

Value

 

 

 

 

COMMON STOCKS - 65.34%

 

 

 

 

 

Automotive - 0.04%

 

5,926

 

Exide Technologies ^

$         8,296

101,663

 

Flyht Aerospace Solutions, Inc. (Canada) ^

-

 

 

 

8,296

Bakery Products - 1.24%

 

479,411

 

Bab, Inc.

       273,264

 

 

 

 

Biotech & Pharma - 5.11%

 

10,000

 

Alexion Pharmaceuticals, Inc. (a) (b) *

1,122,400

167,850

 

Inyx, Inc. *

336

 

 

 

1,122,736

Chemicals - 1.21%

 

5,000

 

DuPont de Nemours, Inc. (a)

265,650

 

 

 

 

Crude Petroleum & Natural Gas - 1.05%

 

5,500

 

Diamondback Energy, Inc. (a)

230,010

 

 

 

 

Electric & Other Services Combines - 4.59%

 

17,000

 

Evergy, Inc. (a) (b)

1,007,930

 

 

 

 

Gaming, Lodging & Restaurants - 0.65%

 

10,000

 

Guoco Group Ltd. (Hong Kong)

143,072

 

 

 

 

Hardware - 13.94%

 

14,500

 

Dell Technologies, Inc. Class C (a) (b) *

796,630

235,316

 

IEC Electronics Corp. (b) *

2,266,093

 

 

 

3,062,723

Healthcare Facilities & Services - 4.56%

 

21,000

 

Acadia Healthcare Co., Inc. (a) (b) *

       527,520

50

 

Brookdale Senior Living, Inc. *

              148

6,500

 

Magellan Health, Inc. (a) *

474,370

 

 

 

    1,002,038

Holding Companies - 0.00%

 

400

 

Stoneleigh Partners Acquisition Corp. ^ †

-

 

 

 

 

Hotels & Motels - 4.59%

 

60,000

 

MGM Resorts International (a) (b)

1,008,000

 

 

 

 

Hotels, Rooming House, Camps & Other Lodging Places - 1.87%

 

21,000

 

Hilton Grand Vacations, Inc. (a) *

410,550

 

 

 

 



16


CAMELOT FUND


SCHEDULE OF INVESTMENTS

JUNE 30, 2020






Investment Advice - 0.98%

 

7,000

 

KKR & Co., Inc. Class A (a)

216,160


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




17


CAMELOT FUND


SCHEDULE OF INVESTMENTS (CONTINUED)

JUNE 30, 2020






Shares

 

 

Value

 

 

 

 

IT Services - 0.00%

 

65,000

 

Computer Horizons Corp. ^ †

$                 -

 

 

 

 

Media - 5.50%

 

50,000

 

30DC, Inc. * #

180

7,000

 

Axel Springer SE (Germany)

495,419

11,249

 

Clear Channel Outdoor Holdings, Inc. *

11,699

30,062

 

ViacomCBS, Inc. Class B (a)

       701,046

 

 

 

1,208,344

Medical Equipment & Devices - 1.94%

 

9,000

 

Shockwave Medical, Inc. * (b)

426,330

 

 

 

 

Metals & Mining - 0.00%

 

109,444

 

Sacre-Coeur Minerals Ltd. (Canada) ^ †

-

 

 

 

 

National Commercial Banks - 0.47%

 

2,000

 

Citigroup, Inc.

       102,200

 

 

 

 

Oil, Gas & Coal - 1.64%

 

4,000

 

Chevron Corp. (a) (b)

       356,920

551

 

Dommo Energia SA ADR *

1,646

2,152

 

Seadrill Ltd.(United Kingdom) *

925

 

 

 

359,491

Passenger Transportation - 0.44%

 

23,000

 

Transat AT, Inc. (Canada) *

         97,558

 

 

 

 

Petroleum Refining - 5.53%

 

6,500

 

Hess Corp.

       336,765

23,500

 

Marathon Petroleum Corp. (a) (b)

       878,430

 

 

 

    1,215,195

Radio Broadcasting Stations - 0.18%

 

4,610

 

iHeartMedia, Inc. *

        38,494

 

 

 

 

Real Estate - 2.50%

 

45,000

 

Conwert Immobilien Invest SE (Austria) ^ *

                 -

16,500

 

CA Immobilien Anlagen AG (Austria) *

       549,595

 

 

 

       549,595

Retail-Eating Places - 0.75%

 

3,000

 

Restaurant Brands International, Inc. (Canada) (a)

       163,890

 

 

 

 

Security Brokers, Dealers & Floatation Cos. - 0.45%

 

500

 

Goldman Sachs Group, Inc. (a)

         98,810

 

 

 

 



18


CAMELOT FUND


SCHEDULE OF INVESTMENTS (CONTINUED)

JUNE 30, 2020






Semiconductors - 1.66%

 

4,000

 

Qualcomm, Inc. (a) (b)

       364,840


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

Shares

 

 

Value

 

 

 

 

Services-Miscellaneous Amusement & Recreation - 0.87%

 

10,000

 

Six Flags Entertainment Corp. (a)

$     192,100

 

 

 

 

Software - 3.13%

 

64,000

 

Playtech PLC (Isle of Man)

223,417

3,000

 

VMware, Inc. Class A (a) *

464,580

 

 

 

687,997

Telecom - 0.44%

 

44,529

 

NII Holdings, Inc. ^ *

         96,628

 

 

 

 

Waste & Environmental Services & Equipment - 0.01%

 

43,000

 

Strategic Environmental & Energy Resources, Inc. ^  #

2,683

 

 

 

 

TOTAL FOR COMMON STOCKS (Cost $16,288,636) - 65.34%

  14,354,584

 

 

 

 

ESCROW SHARES - 0.01%

 

1,777

 

Exide Technologies ^ †

1,777

200

 

Petrocorp., Inc. ^ †

-

TOTAL FOR ESCROW SHARES (Cost $1,687) - 0.01%

1,777

 

 

 

 

ASSET-BACKED SECURITIES - 0.67%

 

5,122

 

AFC Home Equity Loan Trust Series 2000-02 Class 1A, 2.582%

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

4,659

124,437

 

Citigroup Mortgage Loan Trust Inc. Series 2005-OPT1 Class M3, 2.497%

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

112,380

649,319

 

Countrywide Asset-Backed Certificates Series 2007-11 Class 2M2, 2.112%    

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

23,725

6,325

 

Countrywide Home Equity Loan Trust Series 2005-A Class 2A, 1.97975%

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

6,065

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 $139,361) - 0.67%

       146,829

 

 

 

 

CONTINGENT VALUE RIGHT - 0.00%

 

 

 

 

 

Services-Advertising

 

11,249

 

Clear Channel Outdoor Holdings, Inc. *

-

 

 

 

 

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

                   -

 

 

 

 



19


CAMELOT FUND


SCHEDULE OF INVESTMENTS (CONTINUED)

JUNE 30, 2020






CONVERTIBLE BONDS - 0.00%

 

 

 

 

 

Radio Telephone Communicatinos

 

76,581

 

Digicel Group 0.5 Ltd. Private Placement Series 144A Conv.

       7.0%, 12/03/2099 #

-

 

 

 

 

TOTAL FOR CONVERTIBLE BONDS (Cost $1,604) - 0.00%

                  -


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

Shares

 

 

Value

 

 

 

 

CORPORATE BONDS - 5.46%

 

 

 

 

 

Automotive - 2.04%

 

546,810

 

Exide Technologies 11.00%, 4/30/2022 ^ + #

$     448,384

 

 

 

 

Communication Services - 1.55%

 

1,000,000

 

Intelsat Jackson Holdings SA (Luxembourg) 8.125%, 06/01/2023 +

55,000

500,000

 

Intelsat Jackson Holdings SA (Luxembourg) 5.50%, 08/01/2023 +

285,000

 

 

 

340,000

Engineering and Construction Services - 0.46%

 

1,000,000

 

Astaldi SpA ADR 7.125%, 12/01/2020 + #

101,016

 

 

 

 

Financial Services - 0.04%

 

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 +

1,232

100,000

 

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

1,020

 

 

 

8,502

Oil, Gas & Coal - 0.20%

 

3,500,000

 

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

35

119,086

 

Seadrill New Finance Private Placement Series 144A

       (United Kingdom) 12.00%, 7/15/2025 #

43,466

 

 

 

43,501

Radio Telephone Communications - 0.06%

 

51,222

 

Digicel Group 0.5 Ltd. 8.0%, 04/01/2025 #

12,806

 

 

 

 

Retail - 0.22%

 

685,000

 

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

47,950

 

 

 

 

Sovereign - 0.89%

 

1,000,000

 

Lebanese Republic Series GMTN (Lebanon) 6.15%, 6/19/2020 +

       196,250

 

 

 

 

Venture Capital - 0.00%

 

25,000

 

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

-

 

 

 

 

TOTAL FOR CORPORATE BONDS (Cost $3,158,953) - 5.46%

    1,198,409



20


CAMELOT FUND


SCHEDULE OF INVESTMENTS (CONTINUED)

JUNE 30, 2020






 

 

 

 

MORTGAGE-BACKED SECURITIES - 0.29%

 

624,746

 

GNR Government National Mortgage Series 2019-108 Class NI

      4.00%, 8/20/2049 ~

18,203

533,865

 

GSR Mortgage Loan Trust Series 2005-5F Class B2 5.73101%,

      6/25/2035 ~

46,298

TOTAL FOR MORTGAGE-BACKED SECURITIES (Cost $602,476) - 0.29%

         64,501




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

Shares

 

 

Value

 

 

 

 

MUNICIPAL BONDS - 4.14%

 

 

 

 

 

Puerto Rico - 4.14%

 

10,000

 

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

$         6,875

10,000

 

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

6,587

30,000

 

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

20,700

25,000

 

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

17,250

250,000

 

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

172,500

75,000

 

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

50,531

30,000

 

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

20,212

55,000

 

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

38,225

15,000

 

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

10,425

10,000

 

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

6,950

25,000

 

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

17,375

15,000

 

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

10,444

75,000

 

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

51,750

50,000

 

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

34,625

40,000

 

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

32,500

55,000

 

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

44,894

50,000

 

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

39,813

410,000

 

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

327,488

 

 

 

909,144

 

 

 

 

TOTAL FOR MUNICIPAL BONDS (Cost $710,583) - 4.14%

       909,144

 

 

 

 

PREFERRED STOCKS - 4.52%

 

 

 

 

 

Government Agencies - 4.38%

 

19,000

 

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

212,800

4,500

 

Federal Home Loan Mortgage Corp. Series F 5.00%, Perpetual

52,965

9,500

 

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

111,815

1,000

 

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

11,350



21


CAMELOT FUND


SCHEDULE OF INVESTMENTS (CONTINUED)

JUNE 30, 2020






25,000

 

Federal Home Loan Mortgage Corp. Series S 0.00%,

      (3 Month LIBOR USD + 0.50%) Perpetual  **

288,750

8,300

 

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

53,535

2,674

 

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

16,713

10,000

 

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

77,000

5,500

 

Federal National Mortgage Corp. Series H 5.81%, Perpetual

68,860

700

 

Federal National Mortgage Corp. Series I 5.375%, Perpetual

10,500

4,440

 

Federal National Mortgage Corp. Series M 4.75%, Perpetual

53,280

360

 

Federal National Mortgage Corp. Series N 5.50%, Perpetual

4,464

 

 

 

962,032




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

Shares

 

 

Value

 

 

 

 

Insurance - 0.14%

 

10

 

MBIA Insurance Corp. 4.707%, Perpetual ^ # †

$       30,000

 

 

 

 

Oil, Gas & Coal - 0.00%

 

155,336

 

Seadrill Ltd.(United Kingdom)

-

 

 

 

 

TOTAL FOR PREFERRED STOCKS (Cost $1,445,914) - 4.52%

       992,032

 

 

 

 

STRUCTURED NOTES- 3.55%

 

 

 

 

 

Financial Services 3.55%

 

130,000

 

Lehman Brothers Holdings, Inc. 0.00%, (1 Month CPI YOY +

      2.25%) 7/08/2014 + **

1,326

100,000

 

Lehman Brothers Holdings, Inc. 0.00%, 1/28/2020 + **

1,020

100,000

 

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

1,020

200,000

 

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

2,040

1,000,000

 

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

      2.00%) Perpetual + ^ # †**

775,000

TOTAL FOR STRUCTURED NOTES(Cost $485,000) - 3.55%

       780,406

 

 

 

 

WARRANTS - 0.05%

 

 

 

 

 

Insurance - 0.05%

 

5,700

 

FGL Holdings (Bermuda) Exp. 12/2022 (Notional Value $60,705)

11,400

 

 

 

 

TOTAL FOR WARRANTS (Cost $9,132) - 0.05%

         11,400

 

 

 

 

INVESTMENTS IN PURCHASED OPTIONS, AT VALUE

        (Premiums Paid $3,507,144) - 22.30%

             4,899,579

 

 

 

 



22


CAMELOT FUND


SCHEDULE OF INVESTMENTS (CONTINUED)

JUNE 30, 2020






 

 

BANK DEPOSIT ACCOUNTS - 2.82%

 

 

 

 

 

69,162

 

Collateral Huntington Conservative Deposit Account 0.06% ** (b)

         69,162

549,985

 

Huntington Conservative Deposit Account 0.06% **

       549,985

TOTAL FOR BANK DEPOSIT ACCOUNTS - (Cost $619,147) - 2.82%

       619,147

 

 

 

 

TOTAL INVESTMENTS (Cost $26,969,637) *** - 109.15%

23,977,808

 

 

 

 

INVESTMENTS IN WRITTEN OPTIONS, AT VALUE

       (Premiums Received $1,134,286) - (9.70)%

          (2,131,168)

 

 

 

 

ASSETS IN EXCESS OF LIABILITIES, NET - 0.55%

       120,406

 

 

 

 

NET ASSETS - 100.00%

$  21,967,046






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

* Non-income producing securities during the period.

** Variable rate security; the coupon rate shown represents the yield at June 30, 2020.

*** 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 written options. Total value of collateral for written options is $5,432,981 representing 24.73% of net assets.

+ Default Bonds

Distressed Securities

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 $1,369,053 representing 6.22% of net assets and Level 3 securities.

# Denotes a restricted security that may be sold without restriction to "qualified institutional buyers" as defined in Rule 144A under the Securities Act of 1933, as amended, is $1,419,785 representing 6.46% of net assets.

† Indicates an illiquid security. Total market value for illiquid securities is $1,261,446 representing 5.74% of net assets.


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



23


CAMELOT FUND


SCHEDULE OF PURCHASED OPTIONS

JUNE 30, 2020






 CALL OPTIONS - 22.29% *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Underlying Security

Counterparty

Contracts +

Notional Amount**

Exercise Price

Expiration

Value

 

 

 

 

 

 

 

 

Acadia Healthcare Co., Inc.

Susquehanna

210

$ 472,500

$   22.50

12/18/2020

$   110,250

 

 

 

 

 

 

 

 

Alerian MLP ETF

Susquehanna

600

480,000

8.00

1/21/2022

19,500

 

 

 

 

 

 

 

 

Alexion Pharmaceuticals, Inc.

Susquehanna

100

900,000

90.00

1/15/2021

269,000

 

 

 

 

 

 

 

 

Anheuser-Busch InBev SA/NV

Susquehanna

50

325,000

65.00

1/21/2022

25,000

 

 

 

 

 

 

 

 

AT&T, Inc.

Susquehanna

200

800,000

40.00

1/21/2022

14,200

 

 

 

 

 

 

 

 

The Bank of New York Mellon Corp.

Susquehanna

250

500,000

20.00

1/15/2021

468,750

 

 

 

 

 

 

 

 

The Bank of New York Mellon Corp.

Susquehanna

250

1,000,000

40.00

1/15/2021

80,000

 

 

 

 

 

 

 

 

BP, PLC

Susquehanna

300

600,000

20.00

1/21/2022

166,500

 

 

 

 

 

 

 

 

Chevron Corp.

Susquehanna

20

240,000

120.00

1/21/2022

8,510

 

 

 

 

 

 

 

 

Chevron Corp.

Susquehanna

40

360,000

90.00

1/21/2022

53,500

 

 

 

 

 

 

 

 

Citigroup, Inc.

Susquehanna

20

100,000

50.00

6/18/2021

16,800

 

 

 

 

 

 

 

 

Communication Services Select

    Sector SPDR Fund

Susquehanna

100

600,000

60.00

1/21/2022

42,000

 

 

 

 

 

 

 

 

Consumer Discretionary Select

    Sector SPDR Fund

Susquehanna

40

540,000

135.00

1/21/2022

48,400

 

 

 

 

 

 

 

 

Dell Technologies, Inc.

Susquehanna

145

580,000

40.00

1/15/2021

240,700

 

 

 

 

 

 

 

 

Diamondback Energy, Inc.

Susquehanna

55

165,000

30.00

1/21/2022

95,150

 

 

 

 

 

 

 

 

DuPont de Nemours, Inc.

Susquehanna

50

200,000

40.00

1/21/2022

85,000

 

 

 

 

 

 

 

 

Energy Select Sector SPDR Fund

Susquehanna

250

1,500,000

60.00

1/21/2022

21,250

 

 

 

 

 

 

 

 

Energy Transfer L.P.

Susquehanna

250

250,000

10.00

1/21/2022

20,250

 

 

 

 

 

 

 

 

Energy Transfer L.P.

Susquehanna

300

360,000

12.00

1/21/2022

15,300

 

 

 

 

 

 

 

 

Evergy, Inc.

Susquehanna

170

1,190,000

70.00

12/18/2020

39,950

 

 

 

 

 

 

 

 

FedEx Corp.

Susquehanna

50

750,000

150.00

1/21/2022

108,250

 

 

 

 

 

 

 

 

The Goldman Sachs Group, Inc.

Susquehanna

5

85,000

170.00

1/15/2021

19,300

 

 

 

 

 

 

 

 

Health Care Select Sector SPDR Fund

Susquehanna

40

420,000

105.00

1/21/2022

31,400

 

 

 

 

 

 

 

 

Hess Corp.

Susquehanna

65

260,000

40.00

1/21/2022

129,837

 

 

 

 

 

 

 

 



24


CAMELOT FUND


SCHEDULE OF PURCHASED OPTIONS

JUNE 30, 2020






Hilton Grand Vacations, Inc.

Susquehanna

210

420,000

20.00

1/15/2021

65,100

 

 

 

 

 

 

 

 

Johnson & Johnson

Susquehanna

40

620,000

155.00

1/21/2022

31,800

 

 

 

 

 

 

 

 

KKR & Co., Inc.

Susquehanna

70

175,000

25.00

1/21/2022

71,400

 

 

 

 

 

 

 

 

Magellan Health, Inc.

Susquehanna

65

357,500

55.00

12/18/2020

134,875

 

 

 

 

 

 

 

 

Marathon Petroleum Corp.

Susquehanna

235

705,000

30.00

1/21/2022

282,000

 

 

 

 

 

 

 

 

MGM Resorts International

Susquehanna

600

1,200,000

20.00

1/21/2022

258,000

 

 

 

 

 

 

 

 

Molson Coors Beverage Co.

Susquehanna

60

120,000

20.00

1/15/2021

90,600

 

 

 

 

 

 

 

 

Molson Coors Beverage Co.

Susquehanna

60

270,000

45.00

1/15/2021

7,200

 

 

 

 

 

 

 

 

Occidental Petroleum Corp.

Susquehanna

125

500,000

40.00

1/21/2022

27,000

 

 

 

 

 

 

 

 

Pfizer, Inc.

Susquehanna

200

800,000

40.00

1/21/2022

27,200

 

 

 

 

 

 

 

 

Phillips 66

Susquehanna

100

1,000,000

100.00

1/21/2022

39,000

 

 

 

 

 

 

 

 

Procter & Gamble Co.

Susquehanna

40

540,000

135.00

1/21/2022

25,760

 

 

 

 

 

 

 

 

QEP Resources, Inc.

Susquehanna

1200

960,000

8.00

1/15/2021

18,000

 

 

 

 

 

 

 

 

Qualcomm, Inc.

Susquehanna

40

280,000

70.00

1/15/2021

95,640

 

 

 

 

 

 

 

 

Red Robin Gourmet Burgers, Inc.

Susquehanna

200

250,000

12.50

1/15/2021

49,000


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




25


CAMELOT FUND


SCHEDULE OF PURCHASED OPTIONS (CONTINUED)

JUNE 30, 2020






CALL OPTIONS (Continued) *

 

 

 

 

 

Underlying Security

Counterparty

Contracts +

Notional Amount**

Exercise Price

Expiration

Value

 

 

 

 

 

 

 

 

Red Robin Gourmet Burgers, Inc.

Susquehanna

145

$  181,250

$   12.50

1/21/2022

$     65,975

 

 

 

 

 

 

 

 

Restaurant Brands International, Inc.

Susquehanna

30

120,000

40.00

6/18/2021

48,900

 

 

 

 

 

 

 

 

Six Flags Entertainment Corp.

Susquehanna

100

175,000

17.50

1/21/2022

80,000

 

 

 

 

 

 

 

 

SPDR S&P Oil & Gas Exploration

     & Production ETF

Susquehanna

100

100,000

10.00

1/21/2022

46,000

 

 

 

 

 

 

 

 

SPDR S&P Oil & Gas Exploration

     & Production ETF

Susquehanna

250

375,000

15.00

1/21/2022

55,500

 

 

 

 

 

 

 

 

Sysco Corp.

Susquehanna

100

700,000

70.00

1/21/2022

55,000

 

 

 

 

 

 

 

 

Twitter, Inc.

Susquehanna

250

375,000

15.00

1/21/2022

407,500

 

 

 

 

 

 

 

 

Twitter, Inc.

Susquehanna

250

750,000

30.00

1/21/2022

189,500

 

 

 

 

 

 

 

 

United States Oil Fund L.P.

Susquehanna

350

157,500

4.50

1/21/2022

9,450

 

 

 

 

 

 

 

 

ViacommCBS, Inc.

Susquehanna

300

300,000

10.00

6/18/2021

419,250

 

 

 

 

 

 

 

 

ViacommCBS, Inc.

Susquehanna

100

270,000

27.00

6/18/2021

40,750

 

 

 

 

 

 

 

 

Vmware, Inc. Class A

Susquehanna

30

390,000

130.00

1/21/2022

128,100

 

 

 

 

 

 

 

 

Total Call Options (Premiums Paid $3,504,336) - 22.29%

 

 

 

$4,897,297

 

 

 

 

 

 

 

 

 

 

 

 

 

PUT OPTIONS - 0.01% *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Underlying Security

Counterparty

Contracts +

Notional Amount**

Exercise Price

Expiration

Value

 

 

 

 

 

 

 

 

Invesco CurrencyShares Euro

      Currency Trust

Susquehanna

117

$1,181,700

$ 101.00

9/18/2020

$       2,282

 

 

 

 

 

 

 

 

Total Put Options (Premiums Paid $2,808) - 0.01%

 

 

 

$       2,282

 

 

 

 

 

 

 

 

TOTAL PURCHASED OPTIONS (Premiums Paid $3,507,144) - 22.30%

 

 

$4,899,579







* Non-income producing securities during the period.

**The notional amount is calculated by multiplying outstanding contracts by the exercise price at June 30, 2020.

+ Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security.

Level 2 Security

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



26


CAMELOT FUND


SCHEDULE OF WRITTEN OPTIONS

JUNE 30, 2020






CALL OPTIONS - (9.49)% *

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Underlying Security

Counterparty

Contracts +

Notional Amount**

Exercise Price

Expiration

Value

 

 

 

 

 

 

 

 

Acadia Healthcare Co., Inc.

Susquehanna

(420)

$(1,260,000)

$   30.00

12/18/2020

 $  (109,200)

 

 

 

 

 

 

 

 

Alexion Pharmaceuticals, Inc.

Susquehanna

(200)

(2,300,000)

115.00

1/15/2021

(229,400)

 

 

 

 

 

 

 

 

The Bank of New York Mellon Corp.

Susquehanna

(500)

(2,500,000)

50.00

1/15/2021

(32,500)

 

 

 

 

 

 

 

 

Citigroup, Inc.

Susquehanna

(40)

(320,000)

80.00

6/18/2021

(4,040)

 

 

 

 

 

 

 

 

Dell Technologies, Inc.

Susquehanna

(290)

(1,377,500)

47.50

1/15/2021

(292,900)

 

 

 

 

 

 

 

 

Diamondback Energy, Inc.

Susquehanna

(110)

(770,000)

70.00

1/21/2022

(63,800)

 

 

 

 

 

 

 

 

DuPont de Nemours, Inc.

Susquehanna

(100)

(750,000)

75.00

1/21/2022

(33,850)

 

 

 

 

 

 

 

 

Evergy, Inc.

Susquehanna

(340)

(2,720,000)

80.00

12/18/2020

(93,500)

 

 

 

 

 

 

 

 

The Goldman Sachs Group, Inc.

Susquehanna

(10)

(220,000)

220.00

1/15/2021

(13,300)

 

 

 

 

 

 

 

 

Hess Corp.

Susquehanna

(130)

(910,000)

70.00

1/21/2022

(107,250)

 

 

 

 

 

 

 

 

Hilton Grand Vacations, Inc.

Susquehanna

(420)

(1,050,000)

25.00

1/15/2021

(56,700)

 

 

 

 

 

 

 

 

Invesco Currency Shares Euro

    Currency Trust

Susquehanna

(117)

(1,181,700)

101.00

9/18/2020

(62,478)

 

 

 

 

 

 

 

 

KKR & Co., Inc.

Susquehanna

(140)

(518,000)

37.00

1/21/2022

(60,200)

 

 

 

 

 

 

 

 

Magellan Health, Inc.

Susquehanna

(130)

(975,000)

75.00

12/18/2020

(120,250)

 

 

 

 

 

 

 

 

Marathon Petroleum Corp.

Susquehanna

(470)

(3,055,000)

65.00

1/21/2022

(96,350)

 

 

 

 

 

 

 

 

MGM Resorts International

Susquehanna

(1,200)

(4,200,000)

35.00

1/21/2022

(168,000)

 

 

 

 

 

 

 

 

Molson Coors Beverage Co.

Susquehanna

(120)

(690,000)

57.50

1/15/2021

(3,600)

 

 

 

 

 

 

 

 

Qualcomm, Inc.

Susquehanna

(80)

(700,000)

87.50

1/15/2021

(96,000)

 

 

 

 

 

 

 

 

Red Robin Gourmet Burgers, Inc.

Susquehanna

(255)

(573,750)

22.50

1/15/2021

(20,400)

 

 

 

 

 

 

 

 

Red Robin Gourmet Burgers, Inc.

Susquehanna

(90)

(225,000)

25.00

1/21/2022

(17,550)

 

 

 

 

 

 

 

 

Restaurant Brands International, Inc.

Susquehanna

(60)

(360,000)

60.00

6/18/2021

(33,900)

 

 

 

 

 

 

 

 

Six Flags Entertainment Corp.

Susquehanna

(200)

(650,000)

32.50

1/21/2022

(66,000)

 

 

 

 

 

 

 

 

Twitter, Inc.

Susquehanna

(500)

(2,750,000)

55.00

1/21/2022

(85,000)

 

 

 

 

 

 

 

 

ViacommCBS, Inc. Class B

Susquehanna

(600)

(2,100,000)

35.00

6/18/2021

(115,800)

 

 

 

 

 

 

 

 

Vmware, Inc. Class A

Susquehanna

(60)

(1,140,000)

190.00

1/21/2022

(103,200)



27


CAMELOT FUND


SCHEDULE OF WRITTEN OPTIONS

JUNE 30, 2020






 

 

 

 

 

 

 

 

Total Call Options (Premiums Received $1,119,486) - (9.49)%

 

 

$(2,085,168)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PUT OPTIONS - (0.21)% *

 

 

 

 

 

 

 

 

 

 

 

 

 

Underlying Security

Counterparty

Contracts +

Notional Amount**

Exercise Price

Expiration

Value

 

 

 

 

 

 

 

 

Mednax, Inc.

Susquehanna

(100)

 $  (200,000)

$   20.00

8/21/2020

$     (46,000)

 

 

 

 

 

 

 

 

Total Put Options (Premiums Received $14,800) - (0.21)%

 

 

 

 $     (46,000)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL WRITTEN OPTIONS (Premiums Received $1,134,286) - (9.70)%

 

$(2,131,168)

















* Non-income producing securities during the period.

**The notional amount is calculated by multiplying outstanding contracts by the exercise price at June 30, 2020.

+ Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security.

Level 2 Security

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



28


FRANK FUNDS


STATEMENT OF ASSETS AND LIABILITIES

JUNE 30, 2020






 

 

Value

Fund

Baldwin Fund

Camelot Fund

Assets:

 

 

 

 

       Investments in Securities, at Value (Cost $10,754,459,

             $966 and $26,969,637, respectively)

$ 12,501,936

$           966

$23,977,808

       Deposit with Broker for Securities Sold Short and Options Written

          91,787

                 -

       103,532

       Receivables:

 

 

 

               Dividends and Interest

        21,576

            891

         93,716

               Due from Adviser

                 -

        16,612

                   -

               Shareholder Subscriptions

             163

                 -

           1,037

               Portfolio Securities Sold

                 -

      146,261

       508,665

               Prepaid Expenses

                 -

             535

         26,639

                     Total Assets

 12,615,462

      165,265

  24,711,397

Liabilities:

 

 

 

 

       Short Cash Denominated in Foreign Currencies (Premiums

             $1,445, $0, and $0, respectively)

        1,507

                 -

               -

       Covered Call Options Written at Value (Premiums

             received $0, $0 and $1,134,286, respectively)

                       -

                        -

2,131,168

       Payables:

 

 

 

 

              Advisory Fees

     9,867

             -

     17,946

              Due to Custodian

               -

       4,000

                -

              Administrative Fees

        2,492

          2,705

           3,989

              Shareholder Redemptions

            774

               -

        41,085

              Portfolio Securities Purchased

                -

                -

       516,400

              Chief Compliance Officer Fees

             -

             -

       2,731

              Distribution Fees

     10,137

             -

            569

              Accrued Expenses

             -

 17,971

     30,463

                     Total Liabilities

  24,777

       24,676

  2,744,351

 

 

 

 

 

Net Assets

 

$ 12,590,685

$    140,589

$21,967,046

 

 

 

 

 

Net Assets Consist of:

 

 

 

    Paid In Capital

$ 11,212,081

$ 1,078,929

$34,610,493

    Distributable Earnings (Deficit)

   1,378,604

   (938,340)

(12,643,447)

Net Assets

 

$ 12,590,685

$    140,589

$21,967,046

Shares outstanding (unlimited number of shares authorized

    with no par value)

 

       20,429

 

Net Asset Value Per Share

 

$          6.88

 

Redemption Price Per Share ($6.88 x 0.98) *

 

$          6.74

 

 

 

 

 

 

Investor Class:

 

 

 

 

 

 

 

 

Net Assets

 

$   6,763,328

 

 

Shares outstanding (unlimited number of shares authorized

    with no par value)

        515,232

 

 

Net Asset Value

$          13.13

 

 

Redemption Price Per Share ($12.23 x 0.98) *

$          12.87

 

 


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




29


FRANK FUNDS

STATEMENT OF ASSETS AND LIABILITIES (CONTINUED)

JUNE 30, 2020





 

 

Value

Fund

Baldwin Fund

Camelot Fund

 

 

 

 

 

Class A:

 

 

 

 

 

 

 

 

 

Net Assets

 

 

 

$  5,475,145

Shares outstanding (unlimited number of shares authorized

    with no par value)

 

 

       408,839

Net Asset Value

 

 

$         13.39

Offering Price Per Share ($13.39 / 94.50%) (Note 2)

 

 

$         14.17

Redemption Price Per Share ($13.39 x 0.98) *

 

 

$         13.12

 

 

 

 

 

Class C:

 

 

 

 

 

 

 

 

 

Net Assets

 

$   1,070,632

 

 

Shares outstanding (unlimited number of shares authorized

    with no par value)

         88,290

 

 

Net Asset Value

$          12.13

 

 

Redemption Price Per Share ($12.13 x 0.98) *

$          11.89

 

 

 

 

 

 

 

Institutional Class:

 

 

 

 

 

 

 

 

Net Assets

 

$   4,756,725

 

$16,491,901

Shares outstanding (unlimited number of shares authorized

    with no par value)

      357,920

 

    1,217,051

Net Asset Value

$          13.29

 

$         13.55

Redemption Price Per Share ($13.55 x 0.98) *

$          13.02

 

$         13.28












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

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



30


FRANK FUNDS

STATEMENT OF OPERATIONS

        FOR THE YEAR ENDED JUNE 30, 2020





 

 

Value

Fund

Baldwin

Fund

Camelot

Fund

Investment Income:

 

 

 

       Dividends (a)

$          28,495

$        37,550

$        393,897

       Interest

 

         156,624

            9,216

          376,819

            Total Investment Income

        185,119

          46,766

          770,716

 

 

 

 

 

Expenses:

 

 

 

 

       Advisory Fees

        112,991

            9,932

          384,475

       Administration Fees

         28,533

          36,099

            62,108

       Accounting Fees

                    -

          13,398

           34,970

       Servicing Account Fees

                    -

                    -

            19,632

       Transfer Agent Fees

                    -

                    -

            12,270

       Chief Compliance Officer Fees

                   -

                    -

            32,000

       Audit Fees

                    -

          12,571

           18,631

       Distribution Fees

          25,934

                    -

            15,900

       Legal Fees

                    -

            8,022

            12,206

       Custody Fees

                   -

          16,856

            15,134

       Trustee Fees

                   -

                    -

             2,405

       Printing and Mailing Expense

                   -

               567

             6,190

       Dividend Expense

                    -

                    -

           12,746

       Interest Expense

                   -

                   -

             1,397

       Miscellaneous Fees

                    -

            2,414

             2,033

       Litigation Fees

                   -

                    -

            14,994

       Registration Fees

                    -

                 71

           50,139

            Total Expenses

        167,458

          99,930

          697,230

                 Fees Waived and Reimbursed by the Adviser

                   -

        (77,859)

       (139,126)

            Net Expenses

        167,458

          22,071

          558,104

 

 

 

 

 

Net Investment Income

          17,661

          24,695

         212,612

 

 

 

 

 

Realized Gain (Loss) on:

 

 

 

       Investments

     (102,188)

     (197,158)

    (2,884,579)

       Proceeds from Securities Litigation

                    -

               826

            29,998

       Written Options

                   -

        158,638

          256,733

       Securities Sold Short

                   -

                    -

         (59,728)

            Net Realized Loss on Investments, Proceeds from

              Litigation, Written Options, Securities Sold

                Short and Foreign Currency Transactions

       (102,188)

   (37,694)

   (2,657,576)

 

 

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

 

 

 

       Investments

     1,237,172

         44,943

         131,940

       Written Options

                  -

          (3,154)

   (1,100,064)

       Foreign Currency Transactions

              (25)

                    -

                     -

           Net Change in Unrealized Appreciation (Depreciation)

               on Investments, Options, Securities Sold Short and

                     Foreign Currency Transactions

      1,237,147

        41,789

      (968,124)

 

 

 

 

 

Realized and Unrealized Gain (Loss) on Investments,

   Proceeds from Litigation, Options, Securities Sold Short

        and Foreign Currency Transactions

   1,134,959

      4,095

  (3,625,700)

 

 

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

$     1,152,620

$        28,790

 $ (3,413,088)

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

$           (809)

$            (95)

$        (8,889)

 

 

 

 


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



31


VALUE FUND


STATEMENT OF CHANGES IN NET ASSETS

 





 

 

Years Ended

 

 

6/30/2020

6/30/2019

Increase (Decrease) in Net Assets From Operations:

 

 

    Net Investment Income

$      17,661

$     41,785

    Net Realized Loss on:

 

 

       Investments

    (102,188)

   (204,760)

    Unrealized Appreciation (Depreciation) on:

 

 

       Investments

   1,237,172

       (3,233)

       Foreign Currency Transactions

             (25)

            (55)

    Net Increase (Decrease) in Net Assets Resulting from Operations

   1,152,620

   (166,263)

 

 

 

 

Distributions to Shareholders:

 

 

    Distributions

 

 

        Investor Class

      (14,960)

  (273,523)

        Class C

 

                 -

     (35,412)

        Institutional Class

    (20,449)

   (170,484)

    Total Distributions Paid to Shareholders

      (35,409)

   (479,419)

 

 

 

 

Capital Share Transactions

    (910,399)

(3,773,755)

 

 

 

 

Total Increase (Decrease) in Net Assets

      206,812

(4,419,437)

 

 

 

 

Net Assets:

 

 

 

Beginning of Year

12,383,873

16,803,310

 

 

 

 

End of Year

 

$12,590,685

$12,383,873










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




32


BALDWIN FUND


STATEMENT OF CHANGES IN NET ASSETS

 





 

 

Years Ended

 

 

6/30/2020

6/30/2019

Increase (Decrease) in Net Assets From Operations:

 

 

    Net Investment Income

$        24,695

$      32,168

    Net Realized Gain (Loss) on:

 

 

       Investments

   (197,158)

    (118,769)

       Proceeds from Securities Litigation

             826

                  -

       Written Options

       158,638

      132,651

    Unrealized Appreciation (Depreciation) on:

 

 

       Investments

        44,943

      (23,732)

       Written Options

        (3,154)

          8,288

    Net Increase in Net Assets Resulting from Operations

         28,790

        30,606

 

 

 

 

Distributions to Shareholders:

 

 

    Distributions

      (23,635)

      (28,217)

    Total Distributions Paid to Shareholders

      (23,635)

      (28,217)

 

 

 

 

Capital Share Transactions

(2,181,386)

    (112,137)

 

 

 

 

Total Decrease in Net Assets

(2,176,231)

    (109,748)

 

 

 

 

Net Assets:

 

 

 

Beginning of Year

    2,316,820

   2,426,568

 

 

 

 

End of Year

 

$      140,589

$ 2,316,820












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



33


CAMELOT FUND


STATEMENT OF CHANGES IN NET ASSETS

 





 

 

Years Ended

 

 

6/30/2020

6/30/2019

Increase (Decrease) in Net Assets From Operations:

 

 

    Net Investment Income

$     212,612

$       76,844

    Net Realized Gain (Loss) on:

 

 

       Investments

 (2,884,579)

    1,186,721

       Proceeds from Securities Litigation

         29,998

       444,232

       Written Options

       256,733

       194,178

       Securities Sold Short

      (59,728)

    (502,963)

       Foreign Currency Transactions

                  -

        (2,761)

    Unrealized Appreciation (Depreciation) on:

 

 

       Investments

       131,940

    (645,215)

       Written Options

 (1,100,064)

         35,804

       Securities Sold Short

                 -

       506,133

    Net Increase (Decrease) in Net Assets Resulting from Operations

 (3,413,088)

    1,292,973

 

 

 

 

Distributions to Shareholders:

 

 

    Distributions:

 

 

        Class A

 

      (63,369)

      (88,765)

        Institutional Class

   (255,854)

    (240,319)

    Total Distributions Paid to Shareholders

    (319,223)

    (329,084)

 

 

 

 

Capital Share Transactions

 (4,399,363)

    6,921,044

 

 

 

 

Total Increase (Decrease) in Net Assets

 (8,131,674)

    7,884,933

 

 

 

 

Net Assets:

 

 

 

Beginning of Year

  30,098,720

  22,213,787

 

 

 

 

End of Year

 

$21,967,046

$30,098,720












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




34


VALUE FUND – INVESTOR CLASS


FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each year.






 

 

Years Ended

 

 

6/30/2020

6/30/2019

6/30/2018

6/30/2017

6/30/2016

 

 

 

 

 

 

 

Net Asset Value, at Beginning of Year

$     11.91

$     12.42

$     12.61

$     13.12

$     14.17

 

 

 

 

 

 

 

Income (Loss) From Investment Operations:

 

 

 

 

 

  Net Investment Income (Loss) *

        0.02

        0.03

     (0.03)

     (0.10)

      (0.13)

  Net Gain (Loss) on Securities

       (Realized and Unrealized)

         1.23

      (0.16)

      (0.16)

      (0.03)

        0.05

     Total from Investment Operations

       1.25

    (0.13)

    (0.19)

     (0.13)

      (0.08)

 

 

 

 

 

 

 

Distributions:

 

 

 

 

 

 

  Net Investment Income

     (0.03)

    (0.01)

              -

              -

              -

  Realized Gains

           -   

     (0.37)

              -

     (0.38)

      (0.97)

     Total from Distributions

    (0.03)

     (0.38)

              -

     (0.38)

      (0.97)

 

 

 

 

 

 

 

Redemption Fees ***

           -   

           - (a)

             -

              -

              -

 

 

 

 

 

 

 

Net Asset Value, at End of Year

$     13.13

$     11.91

$     12.42

$     12.61

$     13.12

 

 

 

 

 

 

 

Total Return **

10.50%

   (0.99)%

   (1.51)%

   (1.01)%

  (0.39)%

 

 

 

 

 

 

 

Ratios/Supplemental Data:

 

 

 

 

 

  Net Assets at End of Year (Thousands)

$     6,763

$     6,923

$   10,082

$   16,945

$   19,038

  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

0.13%

0.26%

    (0.27)%

    (0.77)%

  (1.00)%

  Portfolio Turnover

64.60%

33.73%

68.13%

60.96%

51.13%











* 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 than $0.005

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



35


VALUE FUND – CLASS C


FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each year.






 

 

Years Ended

 

 

6/30/2020

6/30/2019

6/30/2018

6/30/2017

6/30/2016

 

 

 

 

 

 

 

Net Asset Value, at Beginning of Year

$     11.06

$     11.64

$     11.90

$     12.49

$     13.64

 

 

 

 

 

 

 

Income (Loss) From Investment Operations:

 

 

 

 

 

  Net Investment Loss *

     (0.07)

     (0.06)

     (0.12)

     (0.19)

     (0.23)

  Net Gain (Loss) on Securities

        (Realized and Unrealized)

         1.14

       (0.15)

       (0.14)

       (0.02)

         0.05

     Total from Investment Operations

         1.07

     (0.21)

     (0.26)

     (0.21)

     (0.18)

 

 

 

 

 

 

 

Distributions:

 

 

 

 

 

 

  Net Investment Income

             -

             -

             -

             -

             -

  Realized Gains

             -

     (0.37)

             -

     (0.38)

     (0.97)

     Total from Distributions

             -

      (0.37)

           -

     (0.38)

     (0.97)

 

 

 

 

 

 

 

Redemption Fees ***

             -

             -

             -

             -

             -

 

 

 

 

 

 

 

Net Asset Value, at End of Year

$     12.13

$     11.06

$     11.64

$     11.90

$     12.49

 

 

 

 

 

 

 

Total Return **

9.67%

   (1.77)%

   (2.18)%

   (1.71)%

   (1.16)%

 

 

 

 

 

 

 

Ratios/Supplemental Data:

 

 

 

 

 

  Net Assets at End of Year (Thousands)

$     1,071

$        991

$     1,273

$     2,232

$     3,718

  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

 (0.62)%

 (0.49)%

 (1.01)%

 (1.54)%

 (1.75)%

  Portfolio Turnover

64.60%

33.73%

68.13%

60.96%

51.13%












* 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.  



36


VALUE FUND – INSTITUTIONAL CLASS


FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each year.






 

 

Years Ended

 

 

6/30/2020

6/30/2019

6/30/2018

6/30/2017

6/30/2016

 

 

 

 

 

 

 

Net Asset Value, at Beginning of Year

$     12.07

$     12.59

$     12.75

$     13.23

$     14.24

 

 

 

 

 

 

 

Income (Loss) From Investment Operations:

 

 

 

 

 

  Net Investment Income (Loss) *

        0.05

        0.06

           - (a)

      (0.07)

      (0.10)

  Net Gain (Loss) on Securities

        (Realized and Unrealized)

          1.24

        (0.17)

        (0.16)

        (0.03)

          0.06

     Total from Investment Operations

       1.29

      (0.11)

     (0.16)

      (0.10)

     (0.04)

 

 

 

 

 

 

 

Distributions:

 

 

 

 

 

 

  Net Investment Income

      (0.07)

      (0.04)

 -

 -

 -

  Realized Gains

              -

      (0.37)

              -

     (0.38)

     (0.97)

     Total from Distributions

     (0.07)

    (0.41)

              -

     (0.38)

     (0.97)

 

 

 

 

 

 

 

Redemption Fees ***

              -

             -

           - (a)

             -

            -

 

 

 

 

 

 

 

Net Asset Value, at End of Year

$     13.29

$     12.07

$     12.59

$     12.75

$     13.23

 

 

 

 

 

 

 

Total Return **

10.76%

   (0.78)%

  (1.25)%

  (0.77)%

   (0.09)%

 

 

 

 

 

 

 

Ratios/Supplemental Data:

 

 

 

 

 

  Net Assets at End of Year (Thousands)

$     4,757

$     4,470

$     5,449

$     6,417

$     7,451

  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

0.38%

0.51%

0.02%

  (0.52)%

 (0.75)%

  Portfolio Turnover

64.60%

33.73%

68.13%

60.96%

51.13%










* 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 than $0.005

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



37


BALDWIN FUND


FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each year.






 

 

Years Ended

 

 

6/30/2020

6/30/2019

6/30/2018

6/30/2017

6/30/2016

 

 

 

 

 

 

 

Net Asset Value, at Beginning of Year

$       6.87

$        6.87

$        6.90

$       7.01

$        7.33

 

 

 

 

 

 

 

Income From Investment Operations:

 

 

 

 

 

  Net Investment Income (Loss) *

         0.08

         0.09

         0.08

      (0.01)

         0.02

  Net Gain (Loss) on Securities

       (Realized and Unrealized)

              -

       (0.01)

       (0.04)

      (0.10)

       (0.28)

     Total from Investment Operations

        0.08

         0.08

         0.04

      (0.11)

       (0.26)

 

 

 

 

 

 

 

Distributions:

 

 

 

 

 

 

  Net Investment Income

       (0.07)

       (0.08)

      (0.07)

             -

       (0.05)

  Realized Gains

             -

              -

              -

             -

              -

  Return of Capital

              -

              -

             -

             -

      (0.01)

     Total from Distributions

       (0.07)

       (0.08)

       (0.07)

              -

       (0.06)

 

 

 

 

 

 

 

Redemption Fees ***

              -

              -

              -

             -

              -

 

 

 

 

 

 

 

Net Asset Value, at End of Year

$       6.88

$        6.87

$        6.87

$       6.90

$        7.01

 

 

 

 

 

 

 

Total Return **

     1.19%

      1.20%

     0.59%

   (1.57)%

    (3.49)%

 

 

 

 

 

 

 

Ratios/Supplemental Data:

 

 

 

 

 

  Net Assets at End of Year (Thousands)

$        141

$      2,317

$      2,427

$     2,620

$      3,030

Before Reimbursement:

 

 

 

 

 

  Ratio of Expenses to Average Net Assets

4.55%

4.34%

4.90%

4.46%

4.88%

  Ratio of Net Investment Income (Loss)

       to Average Net Assets

  (2.42)%

  (1.86)%

  (1.99)%

 (2.90)%

  (2.88)%

After Reimbursement:

 

 

 

 

 

  Ratio of Expenses to Average Net Assets

1.00%

1.12%

1.75%

1.75%

1.75%

  Ratio of Net Investment Income (Loss)

       to Average Net Assets

1.13%

1.36%

1.16%

        (0.19)%

0.25%

  Portfolio Turnover

1276.41%

1128.92%

686.85%

372.87%

478.51%










* 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.  



38


CAMELOT FUND - CLASS A


FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each year.






 

 

Years Ended

 

 

6/30/2020

6/30/2019

6/30/2018

6/30/2017

6/30/2016

 

 

 

 

 

 

 

Net Asset Value, at Beginning of Year

$     14.24

$     13.70

$     13.01

$     11.71

$     13.39

 

 

 

 

 

 

 

Income (Loss) From Investment Operations:

 

 

 

 

 

  Net Investment Income (Loss) *

         0.05

         0.01

      (0.17)

         0.16

      (0.01)

  Net Gain (Loss) on Securities

        (Realized and Unrealized)

       (0.76)

         0.72

         1.36

         1.21

       (0.65)

     Total from Investment Operations

     (0.71)

         0.73

         1.19

         1.37

      (0.66)

 

 

 

 

 

 

 

Distributions:

 

 

 

 

 

 

  Net Investment Income

      (0.14)

      (0.19)

      (0.50)

      (0.07)

             -

  Realized Gains

             -

             -

             -

             -

      (1.02)

     Total from Distributions

      (0.14)

      (0.19)

      (0.50)

      (0.07)

      (1.02)

 

 

 

 

 

 

 

Net Asset Value, at End of Year

$     13.39

$     14.24

$     13.70

$     13.01

$     11.71

 

 

 

 

 

 

 

Total Return **

   (5.09)%

5.46%(f)

9.41%

11.70%

   (4.33)%

 

 

 

 

 

 

 

Ratios/Supplemental Data:

 

 

 

 

 

  Net Assets at End of Year (Thousands)

$     5,475

$     6,978

$   10,022

$   12,548

$   14,363

Before Reimbursement:

 

 

 

 

 

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

2.57%

2.86%

3.04%

2.80%

2.41%

  Ratio of Net Investment Income (Loss) to

       Average Net Assets (a) (d)

  (0.11)%

0.18%

  (2.35)%

0.49%

 (0.50)%

After Reimbursement:

 

 

 

 

 

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

2.09%(e)

2.16%(e)

1.99%

1.99%

1.99%

  Ratio of Net Investment Income to

       Average Net Assets (a) (d)

0.37%

0.08%

    (1.30)%

1.30%

 (0.08)%

  Portfolio Turnover

291%

386%

391%

326%

160%





* 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 2.51%, 2.85%, 3.01%, 2.78%, 2.40%, and 2.16% for the years ended June 30, 2020, 2019, 2018, 2017, and 2016, respectively.

(c) Expenses after reimbursements (excluding dividend and interest expense for securities sold short) were 2.04%, 2.15%, 1.97%, 1.98%,1.98%, and 1.98% for the years ended June 30, 2020, 2019, 2018, 2017, and 2016, respectively.

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

(e) Expense includes 0.05% and 0.17% of litigation fees for the years ended June 30, 2020 and 2019, respectively. 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.




39


CAMELOT FUND - INSTITUTIONAL CLASS


FINANCIAL HIGHLIGHTS

Selected data for a share outstanding throughout each year.






 

 

Years Ended

 

 

6/30/2020

6/30/2019

6/30/2018

6/30/2017

6/30/2016

 

 

 

 

 

 

 

Net Asset Value, at Beginning of Year

$     14.37

$     13.83

$     13.14

$     11.80

$     13.46

 

 

 

 

 

 

 

Income (Loss) From Investment Operations:

 

 

 

 

 

  Net Investment Income (Loss) *

         0.11

         0.06

      (0.14)

         0.19

         0.02

  Net Gain (Loss) on Securities

       (Realized and Unrealized)

       (0.79)

         0.71

         1.37

         1.23

       (0.66)

     Total from Investment Operations

      (0.68)

        0.77

         1.23

         1.42

      (0.64)

 

 

 

 

 

 

 

Distributions:

 

 

 

 

 

 

  Net Investment Income

      (0.14)

      (0.23)

      (0.54)

       (0.08)

             -

  Realized Gains

             -

             -

             -

             -

      (1.02)

     Total from Distributions

      (0.14)

      (0.23)

      (0.54)

       (0.08)

      (1.02)

 

 

 

 

 

 

 

Net Asset Value, at End of Year

$     13.55

$     14.37

$     13.83

$     13.14

$     11.80

 

 

 

 

 

 

 

Total Return **

   (4.81)%

5.77%(f)

9.71%

12.10%

   (4.15)%

 

 

 

 

 

 

 

Ratios/Supplemental Data:

 

 

 

 

 

  Net Assets at End of Year (Thousands)

$   16,492

$   23,120

$   12,191

$   13,890

$   14,953

Before Reimbursement:

 

 

 

 

 

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

2.30%

2.49%

2.80%

2.55%

2.16%

  Ratio of Net Investment Income (Loss)

       to Average Net Assets (a) (d)

0.35%

  (0.16)%

  (2.15)%

0.74%

  (0.25)%

After Reimbursement:

 

 

 

 

 

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

1.83%(e)

1.88%(e)

1.74%

1.74%

1.74%

  Ratio of Net Investment Income to

      Average Net Assets (a) (d)

0.81%

0.45%

 (1.09)%

1.55%

0.17%

  Portfolio Turnover

291%

386%

391%

326%

160%





* 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 2.26%, 2.48%, 2.77%, 2.53%, 2.15%, and 1.91% for the years ended June 30, 2020, 2019, 2018, 2017, and 2016, respectively.

(c) Expenses after reimbursements (excluding dividend and interest expense for securities sold short) were 1.79%, 1.87%, 1.71%, 1.73%, 1.73%, and 1.73% for the years ended June 30, 2020, 2019, 2018, 2017, and 2016, respectively.

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

(e) Expense includes 0.05% and 0.14% of litigation fees for the years ended June 30, 2020 and 2019, respectively. 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.



40


FRANK FUNDS


NOTES TO FINANCIAL STATEMENTS

JUNE 30, 2020



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.



41


FRANK FUNDS


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2020



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



42


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JUNE 30, 2020



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.



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JUNE 30, 2020



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 (2017-2019) or expected to be taken in the Funds’ 2020 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, 2020, 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 are translated into U.S. dollar amounts at the exchange rate in effect on the respective dates of such transactions.



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JUNE 30, 2020



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 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.



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JUNE 30, 2020



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.


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:


·

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



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JUNE 30, 2020




·

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 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



47


FRANK FUNDS


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JUNE 30, 2020



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, 2020:


Value Fund

Financial Instruments - Assets

 

Level 1

Level 2

Level 3

Total

 

 

 

 

 

    Common Stocks *

 $  4,544,138

$                 -

$          -

 $  4,544,138

    Corporate Bonds *

-

405,891

-

405,891

    Exchange Traded Funds

1,247,145

-

-

1,247,145

    U.S. Government Agencies &

         Obligations

-

3,680,739

-

3,680,739

    Short-Term Investments

2,624,023

-

-

2,624,023

        Total

 $  8,415,306

$  4,086,630

$          -

 $ 12,501,936




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FRANK FUNDS


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2020




Baldwin Fund

Financial Instruments - Assets

 

Level 1

Level 2

Level 3

Total

   

 

 

 

 

    Short-Term Investments

$       966

$           -

$          -

$       966

        Total

$       966

$           -

$          -

$       966




Camelot Fund

Financial Instruments - Assets

 

Level 1

Level 2

Level 3

Total

   

 

 

 

 

    Common Stocks *

$ 14,245,331

$        1,646

$    107,607

$  14,354,584

    Escrow Shares

-

-

1,777

1,777

    Asset-Backed Securities

-

146,829

-

146,829

    Contingent Value Rights

-

-

-

-

    Convertible Bonds

-

-

-

-

    Corporate Bonds *

-

743,740

454,669

1,198,409

    Mortgage-Backed Securities

-

64,501

-

64,501

    Municipal Bonds

-

909,144

-

909,144

    Preferred Stocks *

962,032

-

30,000

992,032

    Structured Note

-

5,406

775,000

780,406

    Warrants

11,400

-

-

11,400

    Purchased Options

 

 

 

 

        Call Options

2,360,833

2,536,464

-

4,897,297

        Put Options

-

2,282

-

2,282

    Bank Deposit Accounts

619,147

-

-

619,147

        Total

 $ 18,198,743

$ 4,410,012

$ 1,369,053

 $ 23,977,808


 

Financial Instruments - Liabilities

 

Level 1

Level 2

Level 3

Total

Written Options:

 

 

 

 

    Call Options

 $(1,192,678)

$ (892,490)

$          -

$  (2,085,168)

    Put Options

-

(46,000)

 

(46,000)

        Total

$ (1,192,678)

$ (938,490)

$          -

 $  (2,131,168)


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


The Value Fund did not hold any Level 3 assets during the year ended June 30, 2020. The Baldwin Fund did not hold any Level 3 assets during the year ended June 30, 2020. 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, 2020 for the Value and Baldwin Funds. The table below shows the transfers between Level 1, Level 2 and Level 3 for the Camelot Fund. The Fund's policy is to recognize transfers in and transfers out as of the end of the reporting period.



49


FRANK FUNDS


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2020




Financial Instruments – Assets

 

 

Transfer out of Level 1**

Transfer into Level 3**

Common Stocks

$   (96,628)

$   96,628

 

 

 

 

Transfer out of Level 2**

Transfer into Level 3**

Corporate Bonds

$ (448,384)

$ 448,384


** Transferred from Level 1 and Level 2 to Level 3 due to the absence of observable inputs other than quoted prices.


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, 2019

Purchases

Sales

Realized Gain/

(Loss)

Net Unrealized Appreciation/

(Depreciation)

Amortized discounts/

Premiums

Transfers

in to

Level 3

Balance as

of June 30, 2020

Common Stocks

$    11,712

$            -

$(103,758)

$(668,956)

$ 771,981

$           -

$  96,628

$  107,607

Escrow Shares

-

-

(465)

(196,104)

198,346

-

-

1,777

Preferred Stocks

40,000

-

-

-

(10,000)

-

-

30,000

Corporate Bonds

6,285

-

-

-

-

-

448,384

454,669

Stock Certificate

418,460

-

(452,109)

32,455

1,194

-

-

-

Structured Note

850,000

-

-

-

(75,000)

-

-

775,000

Escrow Notes

-

-

-

-

-

-

-

-

 

$1,326,457

$            -

$(556,332)

$(832,605)

$ 886,521

$           -

$545,012

$1,369,053


The following presents information about significant unobservable inputs related to Level 3 investments at June 30, 2020:

 

Camelot Fund

 

Asset

Categories

 

Fair Value at

June 30, 2020

 

Valuation

Technique

Unobservable

Input

 

Input

Values

 

Increase in Inputs

Impact on Valuation*

 

 

 

 

Common Stocks

 

 

 

 

 

 

 

 

 

Automotive

 

$

8,296

 

Market approach

Last traded price of pre-conversion bonds

 

$

1.40

 

Decrease

Holding Companies

 

 

0

 

Profitability expected return method

Uncertainty of any additional future payout

 

$

0.00

 

Increase

IT Services

 

 

0

 

Profitability expected return method

Uncertainty of any

additional future payout

 

$

0.00

 

Increase

Metals & Mining

 

 

0

 

Profitability expected return method

Uncertainty of any additional future payout

 

$

0.00

 

Increase



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FRANK FUNDS


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2020






Real Estate

 

 

0

 

Profitability expected

return method

Uncertainty of any

additional future payout

 

$

0.00

 

Increase

Telecom

 

 

96,628

 

Profitability expected return method

Uncertainty of any additional future payout

 

$

2.17

 

Decrease

Waste & Environmental Services & Equip.

 

 

2,683

 

Market approach

Last traded price of non- restricted shares less a discount

 

 

15.75

%

Increase

Escrow Shares

 

 

1,777

 

Profitability expected return method

Uncertainty of any additional future payout

 

$

1.00

 

Increase

Asset

Categories

 

Fair Value at

June 30, 2020

 

Valuation

Technique

Unobservable

Input

 

Input

Values

 

Increase in Inputs

Impact on Valuation*

Asset-Backed Securities

 

 

0

 

Profitability expected return method

Uncertainty of any

additional future payout

 

$

0.00

 

Increase

Corporate Bonds

Automotive

 

 

 

Vendor pricing

Single broker quote

 

0.00 

 

Decrease

 

 

 

 

 

Automotive

 

 

448,384

 

Profitability expected return method

Liquidation value

of asset

 

$

82.00

 

Increase

Financial Services

 

 

6,250

 

Vendor pricing

Single broker quote

 

$

0.12

 

Decrease

Oil, Gas & Coal

 

 

35

 

Profitability expected return method

Uncertainty of any additional future payout

 

$

0.00

 

Increase

Venture Capital

 

 

0

 

Profitability expected return method

Uncertainty of any additional future payout

 

$

0.00

 

Increase

Structured Notes

Financial Services

 

 

775,000 

 

Vendor pricing 

Single broker quote 

 

77.50 

 

Decrease

 

 

 

 

 

Preferred stock

Insurance

 

 

30,000

 

 Vendor pricing

 Single broker quote

 

$

3,000.00

 

Decrease

 

 

 

 

 


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



51


FRANK FUNDS


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JUNE 30, 2020



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 average daily net assets of the Value Fund.  For the year ended June 30, 2020, FCP earned management fees of $112,991 from the Value Fund.  As of June 30, 2020, the Value Fund owed FCP $9,867 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, 2020, the Value Fund accrued $28,533 in administrative fees.  At June 30, 2020, the Value Fund owed $2,492 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, 2020, LBC’s fee of $9,932 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 as 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 $9,932 of advisory fees and reimbursed the Baldwin Fund $67,927 for expenses during the year ended June 30, 2020. As of June 30, 2020, the LBC owed the Baldwin Fund $16,612 in reimbursement fees. At June 30, 2020, the amounts subject to future recoupment total $233,467 and are as follows:



52


FRANK FUNDS


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2020




Fiscal Year Ended

Recoverable Through

Amount

June 30, 2018

June 30, 2021

$   79,497

June 30, 2019

June 30, 2022

$   76,111

June 30, 2020

June 30, 2023

$   77,859


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, 2020, Camelot Advisors earned management fees of $384,475 from the Camelot Fund. As of June 30, 2020, the Camelot Fund owed Camelot Advisors $17,946 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



53


FRANK FUNDS


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JUNE 30, 2020



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 on securities sold short, underlying fund fees, 12b-1 fees and expenses, and extraordinary expenses such as litigation) when they exceed 1.74% of the Fund’s average daily net assets. This agreement will continue in effect until October 31, 2020.  Any waivers and reimbursements made by the Adviser to the Fund are subject to recoupment by the Adviser within three (3) fiscal years following the date of such waiver or reimbursement, provided that such recoupment does not cause the Total Annual Fund Operating Expenses to exceed the Annualized Expense Ratio in effect at the time of the (i) fee waiver and/or expense assumption, or (ii) the fee recoupment.  Camelot Advisors waived $30,284 for Class A and $108,842 for Institutional Class, respectively, in total of $139,126 of advisory fees for the year ended June 30, 2020. At June 30, 2020, the amounts subject to future recoupment total $369,296 and are as follows:


Fiscal Year Ended

Recoverable Through

Amount

June 30, 2018

June 30, 2021

$   81,410

June 30, 2019

June 30, 2022

$ 148,760

June 30, 2020

June 30, 2023

$ 139,126


FCP also provides administrative services to the Camelot Fund under an Administration Agreement and receives a fee equal to 0.21% of the Camelot Fund’s average daily net assets for those services.  Under the Administration Agreement, FCP pays all of the operating expenses of the Camelot Fund, except investment management fees; expenses of shareholders’ meetings and proxy solicitations; advertising, promotion, and other expenses incurred directly or indirectly in connection with the sale or distribution of the Fund’s shares that the Fund is authorized to pay pursuant to Rule 12b-1 under the 1940 Act; all brokerage fees and commissions, taxes, borrowing costs (such as (a) interest and (b) dividend expenses on securities sold short), and such extraordinary or non-recurring expenses as may arise, including litigation to which the Fund may be a party and indemnification of the Trust’s Trustees and officers with respect thereto. For the year ended June 30, 2020, the Camelot Fund accrued $62,108 in administrative fees.  At June 30, 2020, the Camelot Fund owed $3,989 in administrative fees.  


FCP also provides compliance services to the Camelot Fund. FCP earns $32,000 per year for its compliance services.  For the year ended June 30, 2020, the Camelot Fund accrued $32,000 in compliance fees.  At June 30, 2020, the Camelot Fund owed $2,731 in compliance fees.


Note 5. Distribution and Service Fees

The Trust, with respect to the Value Fund has adopted plans under Rule 12b-1 that allow the Fund to pay distribution fees for the sale and distribution of its Investor Class and Class C shares as well as shareholder services. Investor Class and Class C shareholders of the Fund may pay annual 12b-1 expenses of up to 0.25% and 1.00%, respectively, of each class’s average daily net assets.  For the year ended June 30, 2020, the Investor



54


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NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2020



Class accrued $16,678 in distribution fees and Class C accrued $9,256 in distribution fees. At June 30, 2020, the Value Fund owed 10,137 in distribution fees.


The Trust, with respect to the Baldwin Fund has adopted a plan under Rule 12b-1 of the 1940 Act that allows the Fund to pay distribution and service fees annually for the sale and distribution of shares and servicing of shareholders (“12b-1 fees”).  Effective July 1, 2018, the Fund will incur no 12b-1 fees under the plan unless approved by the Board of Trustees and shareholders are provided advance written notice.  Prior to July 1, 2018, the Fund paid distribution fees of 1.00% of the Fund’s average daily net assets to LBC, as the Fund’s distributor.  As of June 30, 2020, no fees have been accrued.


Prior to June 22, 2018, the Camelot Fund’s Predecessor Fund’s Class A distributor was Foreside Fund Services, LLC. As of June 22, 2018, the Board, with respect to the Camelot Fund Class A has adopted a plan under Rule 12b-1 of the 1940 Act that allows the Camelot Fund to pay distribution and service fees annually for the sale and distribution of shares and servicing of shareholders (“12b-1 fees”). The Fund pays distribution fees of 0.25% of the Fund’s average daily net assets to Arbor Court Capital LLC, as the Fund’s distributor.  For the year ended June 30, 2020, the Camelot Fund accrued $15,900 in 12b-1 fees. At June 30, 2020, the Camelot Fund owed $569 in distribution fees.


Note 6. Related Party Transactions

Brian J. Frank and Monique Weiss are the control persons of FCP.  Brian Frank also serves as a trustee of the Trust, and both Mr. Frank and Ms. Weiss serve as officers of the Trust. Mr. Frank and Ms. Weiss receive benefits from FCP resulting from management fees paid to FCP by the Value Fund.


The Baldwin Fund pays LBC brokerage commissions for executing securities transactions, which are separate from, and in addition to, the fees paid by the Baldwin Fund to LBC for advisory services.  For the year ended June 30, 2020, LBC was paid $17,749 in brokerage commissions. FCP receives administration fees from the Baldwin Fund of $3,000 per month.  Administrative fees paid to FCP for the year ended June 30, 2020, were $36,099.  LBC acts as the distributor of the Baldwin Fund.  At June 30, 2020, the Fund did not owe any distribution fees to LBC.


Note 7. Capital Share Transactions

The Trust is authorized to issue an unlimited number of shares of separate series.  The total paid-in capital as of June 30, 2020, was $11,212,081, $1,078,929 and $34,610,493 for the Value Fund, the Baldwin Fund, and the Camelot Fund, respectively.  Transactions in capital were as follows:


Value Fund –

Investor Class

July 1, 2019 through

June 30, 2020

July 1, 2018 through

June 30, 2019

 

 

 

 

 

 

Shares

Amount

Shares

Amount

Shares sold

130,898

$ 1,643,226

37,377

$      449,150



55


FRANK FUNDS


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2020






Shares reinvested

1,022

12,428

20,380

238,030

Redemption fees

-

-

-

5

Shares redeemed

  (198,035)

 (2,470,537)

  (287,838)

   (3,475,674)

    Net Decrease

    (66,115)

$  (814,883)

  (230,081)

$ (2,788,489)

 

 

 

Value Fund –

Class C

July 1, 2019 through

June 30, 2020

July 1, 2018 through

June 30, 2019

 

 

 

 

 

 

Shares

Amount

Shares

Amount

Shares sold

20,700

$    241,436

9,651

$     112,425

Shares reinvested

-

-

3,071

33,441

Shares redeemed

   (22,054)

   (250,371)

    (32,464)

    (372,575)

    Net Decrease

     (1,354)

$     (8,935)

    (19,742)

$   (226,709)




56


FRANK FUNDS


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2020




Value Fund – Institutional Class

July 1, 2019 through June 30, 2020

July 1, 2018 through June 30, 2019

 

 

 

 

 

 

Shares

Amount

Shares

Amount

Shares sold

96,037

$  1,247,530

18,012

$    222,638

Shares reinvested

1,606

19,743

13,955

165,089

Shares redeemed

  (110,099)

 (1,353,854)

    (94,379)

 (1,146,284)

    Net Decrease

    (12,456)

$    (86,581)

    (62,412)

$  (758,557)


Baldwin Fund

July 1, 2019 through

June 30, 2020

July 1, 2018 through

June 30, 2019

 

 

 

 

 

 

Shares

Amount

Shares

Amount

Shares sold

9,770

$        67,301

12,682

$      87,156

Shares reinvested

3,032

20,772

3,698

25,321

Shares redeemed

  (329,368)

   (2,269,459)

  (32,693)

   (224,614)

    Net Decrease

  (316,566)

$ (2,181,386)    

  (16,313)

$ (112,137)    


Camelot Fund –

Class A

July 1, 2019 through

June 30, 2020

July 1, 2018 through

June 30, 2019

 

 

 

 

 

 

Shares

Amount

Shares

Amount

Shares sold

208,630

$   3,011,483

120,955

$    1,716,799

Shares reinvested

4,033

58,600

6,437

81,553

Redemption fees

-

2

-

2

Shares redeemed

 (294,018)

  (3,354,793)

  (368,603)

   (5,124,012)

    Net Decrease

   (81,355)

$   (284,708)

  (241,211)

$  (3,325,658)


Camelot Fund – Institutional Class

July 1, 2019 through

June 30, 2020

July 1, 2018 through

June 30, 2019

 

 

 

 

 

 

Shares

Amount

Shares

Amount

Shares sold

640,335

$    8,872,479

1,011,718

$  14,263,531

Shares reinvested

13,194

193,816

13,035

166,327

Redemption fees

-

1

-

82

Shares redeemed

  (1,045,249)

  (13,180,951)

  (297,785)

   (4,183,238)

    Net Increase (Decrease)

     (391,720)

$  (4,114,655)

     726,968

$  10,246,702


Shareholders of the Funds are subject to a Redemption Fee on redemptions and exchanges equal to 2.00% of the net asset value of Fund shares redeemed within 5 days after their purchase. The tables above reflect the redemption fees collected from shareholders of the Funds and reclassified to paid-in-capital.



57


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NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2020



Note 8. Derivative Transactions


The Funds consider the average quarter-end notional amounts during the year, categorized by primary underlying risk, to be representative of it's derivative activities during the year ended June 30, 2020.


Leigh Baldwin

Average notional value of:


Call Options Purchased

 $           315,375

Put Options Purchased

 $        1,233,575

Written Call Options

 $        (666,300)


Camelot Fund

Average notional value of:


Call Options Purchased

 $          13,829,688

Put Options Purchased

 $          16,332,413

Written Call Options

 $       (19,207,788)

Written Put Options

 $       (12,526,375)


The Funds have adopted amendments to authoritative guidance on disclosures about derivative instruments and hedging activities which require that the Funds disclose: a) how and why an entity uses derivative instruments; and b) how derivative instruments and related hedged items affect an entity’s financial position, financial performance and cash flows.

 

The Funds may trade financial instruments where they are considered to be a seller of credit derivatives in accordance with authoritative guidance under GAAP on derivatives and hedging.


Baldwin Fund


The Fund had no outstanding options at June 30, 2020.


For the year ended June 30, 2020, financial derivative instruments had the following effect on the Statement of Operations:


Net change in unrealized appreciation (depreciation) on:

 

Equity Contracts

 

Total

Purchased Options

 

$  12,360

 

$  12,360

Written Options

 

(3,154)

 

(3,154)

 

 

 $    9,206

 

 $    9,206




58


FRANK FUNDS


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2020




Net realized gain (loss) on:

 

Equity

Contracts

 

Total

Purchased Options

 

$ (229,012)

 

$ (229,012)

Written Options

 

158,638

 

158,638

 

 

$   (70,374)

 

$   (70,374)


Camelot Fund


As of June 30, 2020, the Statement of Assets and Liabilities included the following financial derivative instrument fair values:


Assets

Derivatives

Purchased Options – equity contracts

$  4,899,579

Warrants – equity contracts

11,400

Structured Notes

       780,406

Total Assets

$  5,691,385

 

 

Liabilities

Equity Contracts

Written Options

$  (2,131,168)

Total Liabilities

$  (2,131,168)


For the year ended June 30, 2020, financial derivative instruments had the following effect on the Statement of Operations:


Net change in unrealized appreciation (depreciation) on:

 

Equity Contracts

 

Total

Purchased Options

 

$  1,599,754

 

$1,599,754

Written Options

 

(1,100,064)

 

(1,100,064)

Structured Notes

 

(77,915)

 

(77,915)

Warrants

 

3,876

 

3,876

 

 

 $    425,651

 

 $  425,651


Net realized gain (loss) on:

 

Equity

Contracts

 

Total

Purchased Options

 

$ 1,241,293

 

$ 1,241,293

Written Options

 

  256,733

 

  256,733

Structured Notes

 

-

 

-

Warrants

 

-

 

-

 

 

$ 1,498,026

 

$ 1,498,026


The selling of written call options may tend to reduce the volatility of the Funds because the premiums received from selling the options will reduce any losses on the underlying securities, but only by the amount of the premiums. However, selling the options may also limit the Funds’ gain on the underlying securities.  Written call options expose the



59


FRANK FUNDS


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2020



Funds to minimal counterparty risk since they are exchange-traded and the exchange’s clearing house guarantees the options against default.


The Funds engage in option transactions involving individual securities and stock indexes. An option involves either: (a) the right or the obligation to buy or sell a specific instrument at a specific price until the expiration date of the option; or (b) the right to receive payments or the obligation to make payments representing the difference between the closing price of a stock index and the exercise price of the option expressed in dollars times a specified multiple until the expiration date of the option. The Funds may purchase and write options. Options are sold (written) on securities and stock indexes. The purchaser of an option on a security pays the seller (the writer) a premium for the right granted but is not obligated to buy or sell the underlying security. The purchaser of an option on a stock index pays the seller a premium for the right granted, and in return the seller of such an option is obligated to make the payment. A writer of an option may terminate the obligation prior to expiration of the option by making an offsetting purchase of an identical option. Options are traded on organized exchanges and in the over-the-counter market. To cover the potential obligations involved in writing options, a Fund will either: (a) own the underlying security, or in the case of an option on a market index, will hold a portfolio of stocks substantially replicating the movement of the index; or (b) the Fund will segregate with the custodian high grade liquid assets sufficient to purchase the underlying security or equal to the market value of the stock index option, marked to market daily.


The purchase of options limits a Fund's potential loss to the amount of the premium paid and can afford the Fund the opportunity to profit from favorable movements in the price of an underlying security to a greater extent than if transactions were effected in the security directly. However, the purchase of an option could result in the Fund losing a greater percentage of its investment than if the transaction were effected directly. When a Fund writes a call option, it will receive a premium, but it will give up the opportunity to profit from a price increase in the underlying security above the exercise price as long as its obligation as a writer continues, and it will retain the risk of loss should the price of the security decline. When a Fund writes a put option, it will assume the risk that the price of the underlying security or instrument will fall below the exercise price, in which case a Fund may be required to purchase the security or instrument at a higher price than the market price of the security or instrument. In addition, there can be no assurance that the Fund can affect a closing transaction on a particular option it has written. Further, the total premium paid for any option may be lost if a Fund does not exercise the option.


The Funds engage in option transactions involving securities and stock indices in order to gain exposure to particular securities or markets, in connection with hedging transactions, or to try to enhance returns. Options require additional skills and techniques beyond normal portfolio management. The Funds’ use of options involves risk that such instruments may not work as intended due to unanticipated developments, especially in abnormal market conditions, or if the adviser makes an error in judgment, or other causes. The use of options may magnify the increase or decrease in the performance of the Funds, and may also subject the Funds to higher price volatility.



60


FRANK FUNDS


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2020



The premiums paid for the options represent the cost of the investment and the options are valued daily at their closing price. The Funds recognize a realized gain or loss when the option is sold or expired. Option holdings within the Funds, which may include put options and call options, are subject to loss of value with the passage of time, and may experience a total loss of value upon expiration. With options, there is minimal counterparty risk to the Funds since they are exchange traded.


Note 9. Offsetting Assets and Liabilities


The Camelot Fund is subject to various Master Netting Arrangements (“MNA”), which govern the terms of certain transactions with select counterparties.  The MNA allows the Fund to close out and net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single agreement with a counterparty.  The MNA also specifies collateral posting arrangements at pre-arranged exposure levels.  Under the MNA, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant MNA with a counterparty in a given account exceeds a specified threshold depending on the counterparty and the type of MNA.


The following is a summary of the Assets and Liabilities for the Camelot Fund subject to offsets as of June 30, 2020:


 

 

 

 

 

Gross

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amounts

 

 

Amounts

 

 

Gross Amounts Not

 

 

 

 

 

 

 

 

 

Offset

 

 

Presented

 

 

Offset in the Statements

 

 

 

 

 

 

 

 

 

in the

 

 

in the

 

 

of Assets and Liabilities

 

 

 

 

 

 

Gross Amounts

 

 

Statements

 

 

Statements

 

 

 

 

 

Collateral

 

 

 

 

 

 

of Recognized

 

 

of Assets

 

 

of Assets

 

 

Financial

 

 

Pledged

 

 

Net

 

Description

 

Liabilities

 

 

and Liabilities

 

 

and Liabilities

 

 

Instruments

 

 

(Received)

 

 

Amount

 

Camelot Fund

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Purchased Options

 

$

4,897,297

 

 

$

 

 

$

4,897,297

 

 

$

 

 

$

4,897,297

 

 

$

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Written Options

 

$

(2,131,168)

 

 

$

 

 

$

(2,131,168)

 

 

$

 

 

$

(2,131,168)

 

 

$

 


Note 10. Investment Transactions

For the year ended June 30, 2020, purchases and sales of investment securities other than U.S. Government obligations, and short-term investments for the Value Fund aggregated $3,085,316 and $2,350,143, respectively. Purchases and sales of U.S. Government obligations aggregated $3,863,685 and $4,304,247, respectively.  Purchases and sales of currency for the Value Fund aggregated $95 and $95, respectively.


For the year ended June 30, 2020, purchases and sales of investment securities other than U.S. Government obligations, and short-term investments for the Baldwin Fund aggregated $15,902,160 and $17,030,186, respectively.  Purchases and sales of options



61


FRANK FUNDS


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2020



purchased for the Baldwin Fund aggregated $653,220 and $519,729, respectively.  Purchases and sales of options written for the Baldwin Fund aggregated $191,567 and $334,203, respectively.


For the year ended June 30, 2020, purchases and sales of investment securities other than U.S. Government obligations, and short-term investments for the Camelot Fund aggregated $74,900,314 and $74,437,515, respectively. Purchases and sales of securities sold short aggregated $2,527,939 and $2,468,211, respectively. Purchases and sales of options purchased for the Camelot Fund aggregated $7,101,760 and $5,475,412, respectively.  Purchases and sales of options written for the Camelot Fund aggregated $4,365,936 and $4,854,392, respectively.   


Note 11. Tax Matters

As of June 30, 2020, the tax basis components of distributable earnings, unrealized appreciation (depreciation) and cost of investment securities were as follows:



Value

Fund

Baldwin Fund

Camelot Fund

Gross unrealized appreciation on investment securities

$ 1,860,813

$              -

$   3,669,476

Gross unrealized depreciation on investment securities

     (113,398)

              (-)

  (8,241,610)

Net unrealized appreciation (depreciation) on

    investment securities


$ 1,747,415


$              -


$(4,572,134)

 

 

 

 

Cost of investment securities, including short-term

     investments *


$10,754,459


$              -  


$ 26,418,774


Income and long-term capital gain distributions are determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States. The Funds’ tax basis capital gains and losses and undistributed ordinary income are determined at the end of each fiscal year. As of June 30, 2020 the Funds’ most recent fiscal year-end, components of distributable earnings on a tax basis were as follows:

 

Value

Fund

Baldwin

Fund

Camelot

Fund

Unrealized appreciation (depreciation)

$ 1,747,415

$            -

$ (4,572,134)

Deferral of Post October loss

**

(194,134)

(39,796)

(3,110,468)

Accumulated realized gains (loss)

-

-

-

Undistributed accumulated ordinary income (loss)

361

5,053

339,758

Capital loss carry forwards: +

-

-

-

    No expiration:

-

-

-

        Short-term

(175,038)

(685,172)

(1,335,653)

        Long-term

-

    (218,425)

(3,964,950)

Total Distributable earnings/(deficit)

$ 1,378,604

$  (938,340)

$(12,643,447)


* The difference between book and tax cost represents disallowed wash sales for tax purposes.

** These deferrals are considered incurred in the subsequent year.

+ The capital loss carry forward will be used to offset any capital gains realized by the Funds in future years through the indefinite expiration date.  The Funds will not make distributions from capital gains while a capital loss carry forward remains.




62


FRANK FUNDS


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2020



The capital gains (losses) shown may differ from corresponding accumulated net realized gain (loss) reported on the statement of assets and liabilities due to certain temporary book/tax differences due to temporary book/tax differences due to the deferral of  losses on wash sales.  Under current tax law, net capital losses realized after October 31st and net ordinary losses incurred after December 31st may be deferred and treated as occurring on the first day of the following fiscal year and net capital losses may be carried forward indefinitely, and their character is retained as short-term and/or long-term.


The Funds paid the following distributions for the years ended June 30, 2020 and 2019:


Value Fund

 

 

 

 

Years Ended

 

$ Amount

 

Tax Character

 

 

Investor Class

 

 

6/30/2020

 

$            14,960

 

Ordinary income

6/30/2019

 

$              8,490

 

Ordinary income

6/30/2019

 

$          265,033

 

Long-term capital gain

 

 

 

 

 

 

 

Class C

 

 

6/30/2020

 

$                      -

 

Ordinary income

6/30/2019

 

$                      -

 

Ordinary income

6/30/2019

 

$            35,412

 

Long-term capital gain

 

 

 

 

 

 

 

Institutional Class

 

 

6/30/2020

 

$            20,449

 

Ordinary income

6/30/2019

 

$            18,610

 

Ordinary income

6/30/2019

 

$          151,874

 

Long-term capital gain

 

 

 

 

 

Baldwin Fund

 

 

 

 

Years Ended

 

$ Amount

 

Tax Character

6/30/2020

 

$            23,635

 

Ordinary income

6/30/2019

 

$            28,217

 

Ordinary income

 

 

 

 

 

Camelot Fund

 

 

 

 

Years Ended

 

$ Amount

 

Tax Character

 

 

Class A

 

 

6/30/2020

 

$            63,369

 

Ordinary income

6/30/2019

 

$            88,765

 

Ordinary income

 

 

 

 

 

 

 

Institutional Class

 

 

6/30/2020

 

$          255,854

 

Ordinary income

6/30/2019

 

$          240,319

 

Ordinary income




63


FRANK FUNDS


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2020



Permanent book and tax differences relating to shareholder distributions may result in reclassifications to paid in capital and may affect the per-share allocation between net investment income and realized and unrealized gain/loss.  Undistributed net investment income and accumulated undistributed net realized gain/loss on investment transactions may include temporary book and tax differences which reverse in subsequent periods.  Any taxable income or gain remaining at fiscal year end is distributed in the following year.


Note 12. Control and Ownership

The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates a presumption of control of the fund, under Section 2(a)(9) of the Investment Company Act of 1940, as amended.  As of June 30, 2020, Leigh Baldwin owned approximately 79% of the Baldwin Fund, and may be deemed to control the Baldwin Fund.  As of June 30, 2020, NFS, LLC owned approximately 41% of the Value Fund, for the benefit of others, and may be deemed to control the Value Fund. As of June 30, 2020, UBS Financial Services, Inc. owned approximately 32% of the Camelot Fund, for the benefit of others, and may be deemed to control the Camelot Fund.


Note 13.  Indemnifications

In the normal course of business, the Funds enter into contracts that contain general indemnification to other parties. The Funds’ maximum exposure under these contracts is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. The Funds expect the risk of loss to be remote.


Note 14.  Market Risk

Overall market risks may also affect the value of the Funds. Factors such as domestic economic growth and market conditions, interest rate levels and political events affect the securities markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issue, recessions and depressions, or other events could have a significant impact on the Fund and its investments and could result in increased premiums or discounts to the Fund’s net asset value, and may impair market liquidity, thereby increasing liquidity risk. The Funds could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns.  During a general market downturn, multiple asset classes may be negatively affected. Changes in market conditions and interest rates can have the same impact on all types of securities and instruments.


An outbreak of infectious respiratory illness caused by a novel coronavirus known as COVID-19 was first detected in China in December 2019 and has now been detected globally. This coronavirus has resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be



64


FRANK FUNDS


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

JUNE 30, 2020



foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak and its effects cannot be determined with certainty.


Note 15.  Subsequent Events


A prospectus and proxy statement were filed with the SEC dated August 4, 2020 to change the name of the Baldwin Fund to West Hills Tactical Core Fund with a corresponding change in investment objective. These changes need to be approved by shareholders of the Baldwin Fund.


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.






65


REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM



 To the Shareholders and Board of Trustees

   of Frank Value Fund, Leigh Baldwin Total Return Fund and Camelot Event Driven Fund,

   each a Series of the Frank Funds

  

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of Frank Value Fund, ("Value Fund"), Leigh Baldwin Total Return Fund (“Baldwin Fund”), and the Camelot Event Driven Fund (“Camelot Fund”), each a series of the Frank Funds (the “Funds”), including the schedules of investments and schedules of purchased options and options written, as of June 30, 2020 and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended for the Value Fund and Baldwin Fund and each of the three years in the period then ended for the Camelot Fund and the related notes (collectively referred to as the “financial statements”).  In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of June 30, 2020, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended for the Value Fund and Baldwin Fund and each of the three years in the period then ended for the Camelot Fund in conformity with accounting principles generally accepted in the United States of America. The financial highlights for each of the two years in the period ended June 30, 2017, were audited by other auditors whose report dated August 28, 2017, contained an unmodified opinion on those financial statements.


Basis for Opinion

These financial statements are the responsibility of the Funds’ management.  Our responsibility is to express an opinion on these financial statements based on our audits.  We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.


We conducted our audits in accordance with the standards of the PCAOB.  Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud.  The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting.  As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting.  Accordingly, we express no such opinion.  


Our audits included performing procedures to assess the risk of material misstatement of those financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our procedures included confirmation of securities owned as of June 30, 2020, by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights.  We believe that our audits provide a reasonable basis for our opinion.


                                                                                  [frankfundsannual015.jpg]

We have served as the Funds’ auditors since 2005

Abington, Pennsylvania


August 30, 2020




66


FRANK FUNDS


EXPENSE ILLUSTRATION

JUNE 30, 2020 (UNAUDITED)



Expense Example


As a shareholder of the Value Fund, Baldwin Fund or Camelot Fund you typically incur two types of costs: (1) transactions costs, including, deferred sales, charges (loads) and redemption fees; and (2) ongoing costs, including management fees and distribution and/or service (12b-1) fees.  This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.


With respect to the Funds the example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period of January 1, 2020 through June 30, 2020.


Actual Expenses


The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.


Hypothetical Example for Comparison Purposes


The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in these Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.


Frank Value Fund - Investor Class

 

 

 

 

 

 

 

 

Beginning

Account Value

Ending

Account Value

Expenses Paid During the Period*

 

January 1, 2020

June 30, 2020

January 1, 2020 to June 30, 2020

 

 

 

 

Actual

$1,000.00

$1,073.59

$7.68

Hypothetical

 

 

 

 (5% Annual Return before expenses)

$1,000.00

$1,017.45

$7.47

 

 

 

 

* Expenses are equal to the Fund's annualized expense ratio of 1.49%, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).



67


FRANK FUNDS


EXPENSE ILLUSTRATION (CONTINUED)

JUNE 30, 2020 (UNAUDITED)






Frank Value Fund - Class C

 

 

 

 

 

 

 

 

Beginning

Account Value

Ending

Account Value

Expenses Paid During the Period*

 

January 1, 2020

June 30, 2020

January 1, 2020 to June 30, 2020

 

 

 

 

Actual

$1,000.00

$1,069.66

$11.53

Hypothetical

 

 

 

 (5% Annual Return before expenses)

$1,000.00

$1,013.72

$11.22

 

 

 

 

* Expenses are equal to the Fund's annualized expense ratio of 2.24%, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

 

 

 

 

 

 

 

 

Frank Value Fund - Institutional Class

 

 

 

 

 

 

 

Beginning

Account Value

Ending

Account Value

Expenses Paid During the Period*

 

January 1, 2020

June 30, 2020

January 1, 2020 to June 30, 2020

 

 

 

 

Actual

$1,000.00

$1,074.37

$6.40

Hypothetical

 

 

 

 (5% Annual Return before expenses)

$1,000.00

$1,018.70

$6.22

 

 

 

 

* Expenses are equal to the Fund's annualized expense ratio of 1.24%, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

 

 

Leigh Baldwin

 

 

 

 

 

 

 

 

Beginning

Account Value

Ending

Account Value

Expenses Paid During the Period*

 

January 1, 2020

June 30, 2020

January 1, 2020 to June 30, 2020

 

 

 

 

Actual

$1,000.00

$1,010.12

$5.00

Hypothetical

 

 

 

 (5% Annual Return before expenses)

$1,000.00

$1,019.89

$5.02

 

 

 

 

* Expenses are equal to the Fund's annualized expense ratio of 1.00%, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).




68


FRANK FUNDS


EXPENSE ILLUSTRATION (CONTINUED)

JUNE 30, 2020 (UNAUDITED)




Camelot Event Driven Fund - Class A

 

 

 

 

 

 

 

Beginning

Account Value

Ending Account Value

Expenses Paid During the Period*

 

January 1, 2020

June 30, 2020

January 1, 2020 to June 30, 2020

 

 

 

 

Actual

$1,000.00

$919.01

$9.49

Hypothetical

 

 

 

 (5% Annual Return before expenses)

$1,000.00

$1,014.97

$9.97

 

 

 

 

* Expenses are equal to the Fund's annualized expense ratio of 1.99%, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

 

 

Camelot Event Driven Fund - Institutional Class

 

 

 

 

 

 

 

Beginning

Account Value

Ending

Account Value

Expenses Paid During the Period*

 

January 1, 2020

June 30, 2020

January 1, 2020 to June 30, 2020

 

 

 

 

Actual

$1,000.00

$919.89

$8.31