N-Q/A 1 topsnqa.htm N-Q/A

united states
securities and exchange commission
washington, d.c. 20549

form n-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-21853

 

Northern Lights Variable Trust

(Exact name of registrant as specified in charter)

 

17605 Wright Street, Suite 2; Omaha, NE 68130

(Address of principal executive offices) (Zip code)

 

James Ash

Gemini Fund Services, LLC., 80 Arkay Drive, Suite 110; Hauppauge, NY 11788

(Name and address of agent for service)

 

Registrant's telephone number, including area code: 631-470-2619

 

Date of fiscal year end: 12/31

 

Date of reporting period: 9/30/2015

 

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

 

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q 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. Schedule of Investments.

 

TOPS® Aggressive Growth ETF Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2015 (Unaudited)
Shares       Value
         
    EXCHANGE TRADED FUNDS - 98.0%  
    EQUITY FUNDS - 98.0%  
4,936   FlexShares Global Upstream Natural Resources Index Fund    $                             115,897
1,724   Guggenheim Timber ETF                                      38,531
3,954   iShares Core S&P Mid-Cap ETF                                    540,156
5,435   iShares Core S&P Small-Cap ETF                                    579,208
5,730   iShares S&P 500 Growth ETF                                    617,694
6,883   iShares S&P 500 Value ETF                                    578,378
1,959   SPDR Dow Jones International Real Estate ETF                                      77,067
894   SPDR Dow Jones REIT ETF                                      77,036
16,293   Vanguard FTSE All-World ex-US ETF                                    694,571
1,277   Vanguard FTSE All-World ex-US Small-Cap ETF                                    115,824
9,665   Vanguard FTSE Emerging Markets ETF                                    319,815
758   WisdomTree Emerging Markets SmallCap Dividend Fund                                      27,007
    TOTAL EXCHANGE TRADED FUNDS (Cost - $4,053,560)                               3,781,184
         
    SHORT-TERM INVESTMENT - 3.2%  
    MONEY MARKET FUND - 3.2%  
123,028   Invesco Short-Term Investments Trust - Liquid Assets Portfolio to yield 0.16%  
    (Cost - $123,028) (a) 123,028
         
    TOTAL INVESTMENTS - 101.2% (Cost - $4,176,588) (b)  $                          3,904,212
    OTHER ASSETS AND LIABILITIES - NET - (1.2)%                                  (47,389)
    TOTAL NET ASSETS - 100.0%  $                        3,856,823
         
ETF - Exchange Traded Fund
REIT - Real Estate Investment Trust
(a) Variable rate security, the money market rate shown represents the rate at September 30, 2015.
(b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $4,177,721 and differs from value by
net unrealized appreciation (depreciation) of securities as follows:    
         
  Unrealized appreciation:  $                               16,398
  Unrealized depreciation:                                (289,907)
  Net unrealized depreciation:  $                         (273,509)

 

 

TOPS® Balanced ETF Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2015 (Unaudited)
Shares       Value
         
    EXCHANGE TRADED FUNDS - 98.0%  
    DEBT FUNDS - 48.0%  
17,973   FlexShares iBoxx 3-Year Target Duration TIPS Index Fund    $                             438,182
2,733   iShares 3-7 Year Treasury Bond ETF                                    340,668
1,928   iShares Floating Rate Bond ETF                                      97,268
2,926   iShares iBoxx $ High Yield Corporate Bond ETF                                    243,707
2,938   iShares iBoxx $ Investment Grade Corporate Bond ETF                                    341,072
7,557   PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund                                    389,714
4,219   PowerShares Senior Loan Portfolio                                      97,206
6,372   SPDR Barclays Short Term Corporate Bond ETF                                    194,473
1,837   Vanguard Total International Bond ETF                                      97,232
2,809   WisdomTree Emerging Markets Local Debt Fund                                      97,332
      2,336,854
    EQUITY FUNDS - 50.0%  
2,086   FlexShares Global Upstream Natural Resources Index Fund 48,979
2,180   Guggenheim Timber ETF   48,723
1,428   iShares Core S&P Mid-Cap ETF   195,079
1,833   iShares Core S&P Small-Cap ETF   195,343
3,169   iShares S&P 500 Growth ETF   341,618
6,383   iShares S&P 500 Value ETF   536,364
3,714   SPDR Dow Jones International Real Estate ETF   146,109
1,696   SPDR Dow Jones REIT ETF   146,144
577   Vanguard Energy ETF   48,907
9,157   Vanguard FTSE All-World ex-US ETF   390,363
1,078   Vanguard FTSE All-World ex-US Small-Cap ETF   97,775
5,892   Vanguard FTSE Emerging Markets ETF   194,966
559   Vanguard Materials ETF   48,817
                                    2,439,187
    TOTAL EXCHANGE TRADED FUNDS (Cost - $4,930,247)                               4,776,041
         
    SHORT-TERM INVESTMENT - 2.5%  
    MONEY MARKET FUND - 2.5%  
121,136   Invesco Short-Term Investments Trust - Liquid Assets Portfolio to yield 0.16%  
    (Cost - $121,136) (a)                                  121,136
         
    TOTAL INVESTMENTS - 100.5% (Cost - $5,051,383) (b)  $                          4,897,177
    OTHER ASSETS AND LIABILITIES - NET - (0.5)%                                  (25,471)
    TOTAL NET ASSETS - 100.0%  $                        4,871,706
         
TIPS - Treasury Inflation Protected Security
ETF - Exchange Traded Fund
REIT - Real Estate Investment Trust
(a) Variable rate security, the money market rate shown represents the rate at September 30, 2015.
(b) Represents cost for financial reporting purposes.  Aggregate cost for federal tax purposes is $5,081,784 and differs from value by
 net unrealized appreciation (depreciation) of securities as follows:    
         
    Unrealized appreciation:  $                               65,076
  Unrealized depreciation:                                (249,683)
  Net unrealized depreciation:  $                         (184,607)

 

 

TOPS® Conservative ETF Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2015 (Unaudited)
Shares       Value
         
    EXCHANGE TRADED FUNDS - 98.0%  
    DEBT FUNDS - 67.9%  
10,693   FlexShares iBoxx 3-Year Target Duration TIPS Index Fund    $                             260,695
1,839   iShares 1-3 Year Treasury Bond ETF                                    156,297
1,045   iShares 3-7 Year Treasury Bond ETF                                    130,259
1,549   iShares Floating Rate Bond ETF                                      78,147
1,348   iShares iBoxx $ Investment Grade Corporate Bond ETF                                    156,489
1,100   PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund                                    104,082
5,059   PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund                                    260,893
1,034   PIMCO Enhanced Short Maturity Exchange-Traded Fund                                    104,176
6,776   PowerShares Senior Loan Portfolio                                    156,119
6,825   SPDR Barclays Short Term Corporate Bond ETF                                    208,299
1,968   Vanguard Total International Bond ETF                                    104,166
1,504   WisdomTree Emerging Markets Local Debt Fund                                      52,114
                                    1,771,736
    EQUITY FUNDS - 30.1%  
2,234   FlexShares Global Upstream Natural Resources Index Fund 52,454
766   iShares Core S&P Mid-Cap ETF   104,643
491   iShares Core S&P Small-Cap ETF   52,326
1,214   iShares S&P 500 Growth ETF   130,869
2,178   iShares S&P 500 Value ETF   183,018
1,327   SPDR Dow Jones International Real Estate ETF   52,204
605   SPDR Dow Jones REIT ETF   52,133
3,066   Vanguard FTSE All-World ex-US ETF   130,704
289   Vanguard FTSE All-World ex-US Small-Cap ETF   26,212
                                       784,563
    TOTAL EXCHANGE TRADED FUNDS (Cost - $2,551,690)                               2,556,299
         
    SHORT-TERM INVESTMENT - 13.8%  
    MONEY MARKET FUND - 13.8%  
358,309   Invesco Short-Term Investments Trust - Liquid Assets Portfolio to yield 0.16%  
    (Cost - $358,309) (a)                                  358,309
         
    TOTAL INVESTMENTS - 111.8% (Cost - $3,003,484) (b)  $                          2,914,608
    OTHER LIABILITIES AND ASSETS - NET - (11.8)%                                (306,614)
    TOTAL NET ASSETS - 100.0%  $                        2,607,994
         
TIPS - Treasury Inflation Protected Security
ETF - Exchange Traded Fund
REIT - Real Estate Investment Trust
(a) Variable rate security, the money market rate shown represents the rate at September 30, 2015.
(b) Represents cost for financial reporting purposes.  Aggregate cost for federal tax purposes is $3,004,463 and differs from value by
net unrealized appreciation (depreciation) of securities as follows:    
         
Unrealized appreciation:  $                                 9,726
Unrealized depreciation:                                  (99,581)
Net unrealized depreciation:  $                           (89,855)

 

 

TOPS® Growth ETF Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2015 (Unaudited)
Shares       Value
         
    EXCHANGE TRADED FUNDS - 98.0%  
    DEBT FUNDS - 13.0%  
               8,031   FlexShares iBoxx 3-Year Target Duration TIPS Index Fund    $                             195,796
               3,138   iShares iBoxx $ High Yield Corporate Bond ETF                                    261,364
               3,799   PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund                                    195,914
               5,649   WisdomTree Emerging Markets Local Debt Fund                                    195,738
                                       848,812
    EQUITY FUNDS - 85.0%  
             11,185   FlexShares Global Upstream Natural Resources Index Fund                                  262,624
               2,923   Guggenheim Timber ETF                                      65,329
               5,265   iShares Core S&P Mid-Cap ETF                                    719,252
               7,369   iShares Core S&P Small-Cap ETF                                    785,314
               7,890   iShares S&P 500 Growth ETF                                    850,542
               9,335   iShares S&P 500 Value ETF                                    784,420
               4,983   SPDR Dow Jones International Real Estate ETF                                    196,031
               1,516   SPDR Dow Jones REIT ETF                                    130,634
                  773   Vanguard Energy ETF                                      65,520
             26,083   Vanguard FTSE All-World ex-US ETF                                 1,111,918
               1,443   Vanguard FTSE All-World ex-US Small-Cap ETF                                    130,880
             10,858   Vanguard FTSE Emerging Markets ETF                                    359,291
                  749   Vanguard Materials ETF                                      65,410
                  917   WisdomTree Emerging Markets SmallCap Dividend Fund                                      32,673
                                      5,559,838
    TOTAL EXCHANGE TRADED FUNDS (Cost - $6,645,458)                               6,408,650
         
    SHORT-TERM INVESTMENT - 0.9%  
    MONEY MARKET FUND - 0.9%  
             57,682   Invesco Short-Term Investments Trust - Liquid Assets Portfolio to yield 0.16%  
    (Cost - $57,682) (a)                                    57,682
         
    TOTAL INVESTMENTS - 98.9% (Cost - $6,703,140) (b)  $                          6,466,332
    OTHER ASSETS AND LIABILITIES - NET - 1.1%                                    70,274
    TOTAL NET ASSETS - 100.0%  $                        6,536,606
         
TIPS - Treasury Inflation Protected Security
ETF - Exchange Traded Fund
REIT - Real Estate Investment Trust
(a) Variable rate security, the money market rate shown represents the rate at September 30, 2015.
(b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $6,708,509 and differs from value by
net unrealized appreciation (depreciation) of securities as follows:    
         
  Unrealized appreciation:  $                             199,875
Unrealized depreciation:                                (442,052)
  Net unrealized depreciation:  $                         (242,177)

 

 

TOPS® Moderate Growth ETF Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2015 (Unaudited)
Shares       Value
         
    EXCHANGE TRADED FUNDS - 98.0%  
    DEBT FUNDS - 33.0%  
9,790   FlexShares iBoxx 3-Year Target Duration TIPS Index Fund  $                             238,680
2,391   iShares iBoxx $ High Yield Corporate Bond ETF                                    199,146
2,401   iShares iBoxx $ Investment Grade Corporate Bond ETF                                    278,732
3,859   PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund                                    199,009
3,447   PowerShares Senior Loan Portfolio                                      79,419
6,508   SPDR Barclays Short Term Corporate Bond ETF                                    198,624
751   Vanguard Total International Bond ETF                                      39,750
2,295   WisdomTree Emerging Markets Local Debt Fund                                      79,522
                                    1,312,882
    EQUITY FUNDS - 65.0%  
5,113   FlexShares Global Upstream Natural Resources Index Fund                                  120,053
1,781   Guggenheim Timber ETF                                      39,805
2,334   iShares Core S&P Mid-Cap ETF                                    318,848
2,994   iShares Core S&P Small-Cap ETF                                    319,071
3,699   iShares S&P 500 Growth ETF                                    398,752
4,741   iShares S&P 500 Value ETF                                    398,386
3,037   SPDR Dow Jones International Real Estate ETF                                    119,476
924   SPDR Dow Jones REIT ETF                                      79,621
471   Vanguard Energy ETF                                      39,922
11,221   Vanguard FTSE All-World ex-US ETF                                    478,351
880   Vanguard FTSE All-World ex-US Small-Cap ETF                                      79,816
4,812   Vanguard FTSE Emerging Markets ETF                                    159,229
456   Vanguard Materials ETF                                      39,823
                                    2,591,153
    TOTAL EXCHANGE TRADED FUNDS (Cost - $4,162,561)                               3,904,035
         
    SHORT-TERM INVESTMENT - 4.3%  
    MONEY MARKET FUND - 4.3%  
172,428   Invesco Short-Term Investments Trust - Liquid Assets Portfolio to yield 0.16%  
    (Cost - $172,428) (a)                                  172,428
         
    TOTAL INVESTMENTS - 102.4% (Cost - $4,334,989) (b)  $                          4,076,463
    OTHER ASSETS AND LIABILITIES - NET - (2.4)%                                  (94,295)
    TOTAL NET ASSETS - 100.0%  $                        3,982,168

 

 

TIPS - Treasury Inflation Protected Security
ETF - Exchange Traded Fund
REIT - Real Estate Investment Trust
(a) Variable rate security, the money market rate shown represents the rate at September 30, 2015.
(b) Represents cost for financial reporting purposes.  Aggregate cost for federal tax purposes is $4,347,154 and differs from value by
net unrealized appreciation (depreciation) of securities as follows:  
         
      Unrealized appreciation:  $                                 3,415
      Unrealized depreciation:                                (274,106)
      Net unrealized depreciation:  $                         (270,691)

 

 

TOPS® Managed Risk Balanced ETF Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2015 (Unaudited)
Shares         Value
           
    EXCHANGE TRADED FUNDS - 88.5%  
    DEBT FUNDS - 43.3%  
2,147,054   FlexShares iBoxx 3-Year Target Duration TIPS Index Fund      $                        52,345,177
326,425   iShares 3-7 Year Treasury Bond ETF                                 40,688,876
230,236   iShares Floating Rate Bond ETF                                 11,615,406
349,517   iShares iBoxx $ High Yield Corporate Bond ETF                                 29,111,271
350,783   iShares iBoxx $ Investment Grade Corporate Bond ETF                                 40,722,398
902,453   PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund                                 46,539,501
503,814   PowerShares Senior Loan Portfolio                                 11,607,875
761,009   SPDR Barclays Short Term Corporate Bond ETF                                 23,225,995
219,403   Vanguard Total International Bond ETF                                 11,613,001
335,488   WisdomTree Emerging Markets Local Debt Fund                                 11,624,659
                                    279,094,159
    EQUITY FUNDS - 45.2%  
248,459   FlexShares Global Upstream Natural Resources Index Fund                                   5,833,817
260,346   Guggenheim Timber ETF                                   5,818,733
170,601   iShares Core S&P Mid-Cap ETF                                 23,305,803
218,897   iShares Core S&P Small-Cap ETF                                 23,327,853
378,576   iShares S&P 500 Growth ETF                                 40,810,493
762,151   iShares S&P 500 Value ETF                                 64,043,549
443,779   SPDR Dow Jones International Real Estate ETF                                 17,458,266
202,615   SPDR Dow Jones REIT ETF                                 17,459,335
68,790   Vanguard Energy ETF                                   5,830,640
1,093,454   Vanguard FTSE All-World ex-US ETF                                 46,613,944
128,546   Vanguard FTSE All-World ex-US Small-Cap ETF                                 11,659,122
703,159   Vanguard FTSE Emerging Markets ETF                                 23,267,531
66,708   Vanguard Materials ETF                                   5,825,610
                                    291,254,696
    TOTAL EXCHANGE TRADED FUNDS (Cost - $579,905,312)                           570,348,855
           
    SHORT-TERM INVESTMENTS - 11.8%  
    MONEY MARKET FUNDS - 11.5%  
28,750,000   BlackRock Liquidity Funds TempFund Portfolio to yield 0.11% (a)                                 28,750,000
28,750,000   Federated Prime Cash Obligations Fund to yield 0.10% (a)                                 28,750,000
16,740,281   Invesco Short-Term Investments Trust - Liquid Assets Portfolio to yield 0.16% (a)                                 16,740,281
    (Cost - $74,240,281)                                   74,240,281
           
Principal     Coupon (b) Maturity  
    U.S. TREASURY BILL - 0.3%  
 $     1,527,000   United States Treasury Bill (Cost $1,526,870) (c) 0.04% 12/17/2015                               1,526,870
           
    TOTAL SHORT-TERM INVESTMENTS (Cost - $75,767,151)                                 75,767,151
           
    TOTAL INVESTMENTS - 100.3% (Cost - $655,672,463) (d)      $                      646,116,006
    OTHER ASSETS AND LIABILITIES - NET - (0.3)%                                 (1,888,822)
    TOTAL NET ASSETS - 100.0%      $                   644,227,184

 

 

TIPS - Treasury Inflation Protected Security
ETF - Exchange Traded Fund
REIT - Real Estate Investment Trust
(a) Variable rate security, the money market rate shown represents the rate at September 30, 2015.
(b) Represents discount rate at time of purchase.
(c) All or a portion of this security held as collateral for futures contracts.
(d) Represents cost for financial reporting purposes.  Aggregate cost for federal tax purposes is $656,305,689 and differs from value by net unrealized appreciation (depreciation) of securities as follows:
   
         
      Unrealized appreciation:  $                        16,858,793
      Unrealized depreciation:                           (27,048,476)
      Net unrealized depreciation:  $                   (10,189,683)

 

 

           Unrealized  
Contracts         Appreciation
    OPEN SHORT FUTURES CONTRACTS      
                (264)   MSCI EAFE Index Mini December 2015      
         (Underlying Face Amount at Value $21,773,400)      $                               88,285
                (437)   MSCI Emerging Market Index Mini December 2015      
         (Underlying Face Amount at Value $17,285,535)                                        18,515
                (192)   Russell 2000 Index Mini December 2015      
         (Underlying Face Amount at Value $21,041,280)                                      619,740
                (293)   S&P 500 Index E-Mini December 2015      
         (Underlying Face Amount at Value $27,963,188)                                      215,325
                  (86)   S&P Midcap 400 Index E-Mini December 2015      
         (Underlying Face Amount at Value $11,720,940)                                      212,390
           
    NET UNREALIZED APPRECIATION OF OPEN SHORT FUTURES CONTRACTS    $                        1,154,255

 

 

TOPS® Managed Risk Growth ETF Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2015 (Unaudited)
Shares         Value
           
    EXCHANGE TRADED FUNDS -89.0%  
    DEBT FUNDS - 11.8%  
1,253,966   FlexShares iBoxx 3-Year Target Duration TIPS Index Fund      $                        30,571,691
490,000   iShares iBoxx $ High Yield Corporate Bond ETF                                 40,812,100
593,196   PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund                                 30,591,118
882,085   WisdomTree Emerging Markets Local Debt Fund (a)                                 30,564,245
                                132,539,154
    EQUITY FUNDS - 77.2%  
1,742,037   FlexShares Global Upstream Natural Resources Index Fund                                 40,903,029
456,345   Guggenheim Timber ETF (a)                                 10,199,311
822,744   iShares Core S&P Mid-Cap ETF                               112,395,058
1,151,670   iShares Core S&P Small-Cap ETF                               122,733,472
1,232,024   iShares S&P 500 Growth ETF                               132,812,187
1,457,203   iShares S&P 500 Value ETF                               122,448,768
778,256   SPDR Dow Jones International Real Estate ETF                                 30,616,591
241,732   SPDR Dow Jones REIT ETF                                 20,830,046
120,485   Vanguard Energy ETF                                 10,212,309
225,320   Vanguard FTSE All World ex-US Small-Cap ETF                                 20,436,524
4,074,799   Vanguard FTSE All-World ex-US ETF                               173,708,681
1,678,143   Vanguard FTSE Emerging Markets ETF                                 55,529,752
116,916   Vanguard Materials ETF                                 10,210,274
158,988   WisdomTree Emerging Markets SmallCap Dividend Fund                                   5,664,743
                                868,700,745
    TOTAL EXCHANGE TRADED FUNDS (Cost - $1,002,013,069)                        1,001,239,899
           
    SHORT-TERM INVESTMENTS - 12.2%  
    MONEY MARKET FUNDS - 11.1%  
40,000,000   BlackRock Liquidity Funds TempFund Portfolio to yield 0.11% (b)                                 40,000,000
40,000,000   Federated Prime Cash Obligations Fund to yield 0.10% (b)                                 40,000,000
44,662,066   Invesco Short-Term Investments Trust - Liquid Assets Portfolio to yield 0.16% (b)                                 44,662,066
    (Cost - $124,662,066)                               124,662,066
           
Principal     Coupon (d) Maturity  
    U.S. TREASURY BILL - 1.1%  
 $       12,392,000   United States Treasury Bill (Cost $12,390,942) (c) 0.04% 12/17/2015                             12,390,942
           
    TOTAL SHORT-TERM INVESTMENTS (Cost - $137,053,008)                               137,053,008
       
    TOTAL INVESTMENTS - 101.2% (Cost - $1,139,066,077) (e)  $                   1,138,292,907
    OTHER ASSETS AND LIABILITIES - NET - (1.2)%                           (13,787,130)
    TOTAL NET ASSETS - 100.0%  $                1,124,505,777

 

 

TIPS - Treasury Inflation Protected Security
ETF - Exchange Traded Fund
REIT - Real Estate Investment Trust
(a) Affiliated company - TOPS Managed Risk Growth ETF holds in excess of 5% of outstanding voting securities of this exchange traded fund.
(b) Variable rate security, the money market rate shown represents the rate at Septmeber 30, 2015.
(c) All or a portion of this security may be held as collateral for futures contracs.
(d) Represents discount rate at time of purchase.
(e) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $1,139,874,452 and differs from value by
 net unrealized appreciation (depreciation) of securities as follows:
         
      Unrealized appreciation:  $                        63,394,851
      Unrealized depreciation:                           (64,976,396)
      Net unrealized depreciation:  $                      (1,581,545)

 

 

           Unrealized  
Contracts          Appreciation
    OPEN SHORT FUTURES CONTRACTS      
                  (1,219)   MSCI EAFE Index Mini December 2015      
         (Underlying Face Amount at Value $100,537,025)      $                          1,993,835
                  (2,262)   MSCI Emerging Market Index Mini December 2015      
         (Underlying Face Amount at Value $89,473,410)                                   1,190,940
                  (1,076)   Russell 2000 Index Mini December 2015      
         (Underlying Face Amount at Value $117,918,840)                                   4,777,580
                  (1,214)   S&P 500 Index E-Mini December 2015      
         (Underlying Face Amount at Value $115,861,125)                                   1,926,720
                     (555)   S&P Midcap 400 Index E-Mini December 2015      
         (Underlying Face Amount at Value $75,640,950)                                   1,916,770
           
    NET UNREALIZED APPRECIATION OF OPEN SHORT FUTURES CONTRACTS  $                      11,805,845

 

 

TOPS® Managed Risk Moderate Growth ETF Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2015 (Unaudited)
Shares         Value
           
    EXCHANGE TRADED FUNDS - 88.7%  
    DEBT FUNDS - 29.8%  
2,369,879   FlexShares iBoxx 3-Year Target Duration TIPS Index Fund      $                        57,777,650
578,923   iShares iBoxx $ High Yield Corporate Bond ETF                                 48,218,497
580,971   iShares iBoxx $ Investment Grade Corporate Bond ETF                                 67,444,923
934,237   PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund                                 48,178,602
834,312   PowerShares Senior Loan Portfolio                                 19,222,548
1,575,624   SPDR Barclays Short Term Corporate Bond ETF                                 48,088,044
181,729   Vanguard Total International Bond ETF                                   9,618,916
555,686   WisdomTree Emerging Markets Local Debt Fund                                 19,254,520
      317,803,700
    EQUITY FUNDS - 58.9%  
1,234,607   FlexShares Global Upstream Natural Resources Index Fund     28,988,572
431,225   Guggenheim Timber ETF (a)     9,637,879
565,442   iShares Core S&P Mid-Cap ETF     77,245,032
725,414   iShares Core S&P Small-Cap ETF     77,307,370
896,126   iShares S&P 500 Growth ETF     96,602,383
1,147,627   iShares S&P 500 Value ETF     96,435,097
734,977   SPDR Dow Jones International Real Estate ETF     28,913,995
223,787   SPDR Dow Jones REIT ETF     19,283,726
113,941   Vanguard Energy ETF     9,657,639
2,716,717   Vanguard FTSE All-World ex-US ETF     115,813,646
212,917   Vanguard FTSE All-World ex-US Small-Cap ETF     19,311,572
1,164,679   Vanguard FTSE Emerging Markets ETF     38,539,228
110,480   Vanguard Materials ETF     9,648,218
      627,384,357
    TOTAL EXCHANGE TRADED FUNDS (Cost - $961,709,070) 945,188,057
           
    SHORT-TERM INVESTMENTS - 11.4%  
    MONEY MARKET FUNDS - 11.3%  
35,000,000   BlackRock Liquidity Funds TempFund Portfolio to yield 0.11% (b)     35,000,000
35,000,000   Federated Prime Cash Obligations Fund to yield 0.10% (b)     35,000,000
50,587,356   Invesco Short-Term Investments Trust - Liquid Assets Portfolio to yield 0.16% (b)   50,587,356
    (Cost - $120,587,356)     120,587,356
           
Principal     Coupon (d) Maturity  
    U.S. TREASURY BILL - 0.1%  
 $        645,000   United States Treasury Bill (Cost $644,945) (c) 0.04% 12/17/2015                                  644,945
           
    TOTAL SHORT-TERM INVESTMENTS (Cost - $121,232,301)                               121,232,301
       
    TOTAL INVESTMENTS - 100.1% (Cost - $1,082,941,371) (e)  $                   1,066,420,358
    OTHER ASSETS AND LIABILITIES - NET - (0.1)%                                (909,899)
    TOTAL NET ASSETS - 100.0%  $                1,065,510,459

 

 

TIPS - Treasury Inflation Protected Security  
ETF - Exchange Traded Fund  
REIT - Real Estate Investment Trust  
(a) Affiliated company - TOPS Managed Risk Moderate Growth ETF holds in excess of 5% of outstanding voting securities of this exchange traded fund.
(b) Variable rate security, the money market rate shown represents the rate at September 30, 2015.
(c) All or a portion of this security held as collateral for futures contracts.
(d) Represents discount rate at time of purchase.
(e) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $1,083,858,450 and differs from value by net unrealized appreciation (depreciation) of securities as follows:  
 
           
        Unrealized appreciation:  $                        36,972,616
        Unrealized depreciation:                           (54,410,708)
        Net unrealized depreciation:  $                   (17,438,092)

 

 

           Unrealized  
Contracts          Appreciation
    OPEN SHORT FUTURES CONTRACTS      
                (707)   MSCI EAFE Index Mini December 2015      
         (Underlying Face Amount at Value $58,309,825)      $                             652,260
             (1,179)   MSCI Emerging Market Index Mini December 2015      
         (Underlying Face Amount at Value $46,635,345)                                      360,150
                (552)   Russell 2000 Index Mini December 2015      
         (Underlying Face Amount at Value $60,493,680)                                   2,249,270
                (702)   S&P 500 Index E-Mini December 2015      
         (Underlying Face Amount at Value $66,997,125)                                      824,500
                (308)   S&P Midcap 400 Index E-Mini December 2015      
         (Underlying Face Amount at Value $41,977,320)                                      976,180
           
    NET UNREALIZED APPRECIATION OF OPEN SHORT FUTURES CONTRACTS  $                        5,062,360

 

 

TOPS® Managed Risk Flex ETF Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2015 (Unaudited)
Shares           Value
    EXCHANGE TRADED FUNDS - 88.6%    
    DEBT FUNDS - 38.8%    
           173,971   FlexShares iBoxx 3-Year Target Duration TIPS Index Fund        $                          4,241,413
             19,845   iShares 3-7 Year Treasury Bond ETF                                     2,473,679
             13,995   iShares Floating Rate Bond ETF                                        706,048
             31,881   iShares iBoxx $ High Yield Corporate Bond ETF                                     2,655,369
             31,989   iShares iBoxx $ Investment Grade Corporate Bond ETF                                     3,713,603
             71,990   PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund                                     3,712,524
             45,930   PowerShares Senior Loan Portfolio                                     1,058,227
             75,183   SPDR Barclays Short Term Corporate Bond ETF                                     2,294,585
             16,672   Vanguard Total International Bond ETF                                        882,449
             30,594   WisdomTree Emerging Markets Local Debt Fund                                     1,060,082
                                        22,797,979
    EQUITY FUNDS - 49.8%    
             37,779   FlexShares Global Upstream Natural Resources Index Fund                                        887,051
             23,742   Guggenheim Timber ETF                                        530,634
             20,587   iShares Core S&P Mid-Cap ETF                                     2,812,390
             26,636   iShares Core S&P Small-Cap ETF                                     2,838,599
             39,492   iShares S&P 500 Growth ETF                                     4,257,238
             67,446   iShares S&P 500 Value ETF                                     5,667,487
             40,469   SPDR Dow Jones International Real Estate ETF                                     1,592,050
             16,428   SPDR Dow Jones REIT ETF                                     1,415,601
               6,277   Vanguard Energy ETF                                        532,039
             11,730   Vanguard FTSE All World ex-US Small-Cap ETF                                     1,063,911
           116,473   Vanguard FTSE All-World ex-US ETF                                     4,965,244
             64,172   Vanguard FTSE Emerging Markets ETF                                     2,123,451
               6,083   Vanguard Materials ETF                                        531,228
                                        29,216,923
    TOTAL EXCHANGE TRADED FUNDS (Cost - $55,507,255)                               52,014,902
             
    SHORT-TERM INVESTMENTS - 12.1%    
    MONEY MARKET FUND - 12.0%    
        7,068,397   STIT - Liquid Assets Portfolio                                     7,068,397
             
Principal     Coupon (b) Maturity    
    U.S. TREASURY BILL - 0.1%    
 $          12,000   United States Treasury Bill (c) 0.01% 12/17/2015                                      11,999
             
    TOTAL SHORT-TERM INVESTMENTS (Cost - $7,080,396)                                 7,080,396
             
    TOTAL INVESTMENTS - 100.7% (Cost - $62,587,651) (d)        $                        59,095,298
    OTHER ASSETS AND LIABILITIES - NET - (0.7)%                                      (404,238)
    TOTAL NET ASSETS - 100.0%        $                      58,691,060

 

 

TIPS - Treasury Inflation Protected Security    
ETF - Exchange Traded Fund        
REIT - Real Estate Investment Trust        
(a) Variable rate security, the money market rate shown represents the rate at  September 30, 2015.
(b) Represents discount rate at time of purchase.
(c) All or a portion of this security may be held as collateral for futures contracts.
(d) Represents cost for financial reporting purposes.  Aggregate cost for federal tax purposes is $62,592,235 and differs from value by net unrealized appreciation (depreciation) of securities as follows:
       
             
        Unrealized appreciation:    $                               41,339
        Unrealized depreciation:                               (3,538,276)
        Net unrealized depreciation:    $                      (3,496,937)
             

 

 

             Unrealized  
Contracts            Appreciation
    OPEN SHORT FUTURES CONTRACTS        
                  (32)   MSCI EAFE Index Mini December 2015        
         (Underlying Face Amount at Value $2,639,200)        $                               20,830
                  (52)   MSCI Emerging Market Index Mini December 2015        
         (Underlying Face Amount at Value $2,056,860)                                          13,345
                  (24)   Russell Mini December 2015        
         (Underlying Face Amount at Value $2,630,160)                                          86,380
                  (34)   S&P 500 Index E-MiniDecember 2015        
         (Underlying Face Amount at Value $3,244,875)                                          36,675
                  (11)   S&P Midcap 400 Index E-Mini  December 2015        
         (Underlying Face Amount at Value $1,499,190)                                          33,350
             
    NET UNREALIZED APPRECIATION OF OPEN SHORT FUTURES CONTRACTS    $                           190,580

 

The following is a summary of significant accounting policies followed by the Portfolios in the preparation of their financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates. The Portfolios follow the specialized accounting and reporting requirements under GAAP that are applicable to investment companies.

 

Securities Valuation – Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the primary exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ at the NASDAQ Official Closing Price (“NOCP”). In the absence of a sale such securities shall be valued at the mean between the current bid and ask prices on the day of valuation. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost. Futures and options on futures are valued at the final settled price or, in the absence of a settled price, at the last sale price on the day of valuation.

 

Valuation of Fund of Funds - The Portfolios may invest in portfolios of open-end investment companies (the “underlying funds”). Open-end funds are valued at their respective net asset values as reported by such investment companies. Open-end funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value based on the methods established by the board of directors of the open-end funds.

 

A Portfolio may hold securities, such as private placements, interests in commodity pools, other non-traded securities or temporarily illiquid securities, for which market quotations are not readily available or are determined to be unreliable.  These securities will be valued at their fair market value as determined using the “fair value” procedures approved by the Board of Trustees (the “Board”).  The Board has delegated execution of these procedures to a fair value team composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) Advisor and/or Sub-Advisor.  The team may also enlist third party consultants such as an audit firm, valuation consultant or financial officer of a security issuer on an as-needed basis to assist in determining a security-specific fair value. The Board has also engaged a third party valuation firm to attend valuation meetings held by the Trust, review minutes of such meetings and report to the Board on a quarterly basis. The Board reviews and ratifies the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results.

 

Fair Valuation Process – As noted above, the fair value team is composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) Advisor and/or Sub-Advisor.  The applicable investments are valued collectively via inputs from each of these groups.  For example, fair value determinations are required for the following securities:  (i) securities for which market quotations are insufficient or not readily available on a particular business day (including securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source), (ii) securities for which, in the judgment of the Advisor or Sub-Advisor, the prices or values available do not represent the fair value of the instrument.  Factors which may cause the Advisor or Sub-Advisor to make such a judgment include, but are not limited to, the following: only a bid price or an asked price is available; the spread between bid and asked prices is substantial; the frequency of sales; the thinness of the market; the size of reported trades; and actions of the securities markets, such as the suspension or limitation of trading; (iii) securities determined to be illiquid; (iv) securities with respect to which an event that will affect the value thereof has occurred (a “significant event”) since the closing prices were established on the principal exchange on which they are traded, but prior to a Portfolio’s calculation of its net asset value.  Specifically, interests in commodity pools or managed futures pools are valued on a daily basis by reference to the closing market prices of each futures contract or other asset held by a pool, as adjusted for pool expenses.  Restricted or illiquid securities, such as private placements or non-traded securities are valued via inputs from the Advisor or Sub-Advisor based upon the current bid for the security from two or more independent dealers or other parties reasonably familiar with the facts and circumstances of the security (who should take into consideration all relevant factors as may be appropriate under the circumstances).  If the Advisor or Sub-Advisor is unable to obtain a current bid from such independent dealers or other independent parties, the fair value team shall determine the fair value of such security using the following factors: (i) the type of security; (ii) the cost at date of purchase; (iii) the size and nature of the Portfolio’s holdings; (iv) the discount from market value of unrestricted securities of the same class at the time of purchase and subsequent thereto; (v) information as to any transactions or offers with respect to the security; (vi) the nature and duration of restrictions on disposition of the security and the existence of any registration rights; (vii) how the yield of the security compares to similar securities of companies of similar or equal creditworthiness; (viii) the level of recent trades of similar or comparable securities; (ix) the liquidity characteristics of the security; (x) current market conditions; and (xi) the market value of any securities into which the security is convertible or exchangeable.

 

Exchange Traded Funds – The Portfolios may invest in exchange traded funds (“ETFs”). ETFs are a type of index fund bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed portfolio of securities designed to track the performance and dividend yield of a particular domestic or foreign market index. A Portfolio may purchase an ETF to temporarily gain exposure to a portion of the U.S. or a foreign market. The risks of owning an ETF generally reflect the risks of owning the underlying securities they are designed to track, although the lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.

 

Each Portfolio utilizes various methods to measure the fair value of all of its investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:

 

Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Portfolio has the ability to access.

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

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

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less 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.

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of September 30, 2015 for each Portfolio’s investments measured at fair value:

 

Aggressive Growth ETF Portfolio
Assets Level 1 Level 2 Level 3 Total
Equity Funds  $       3,781,184 $                    -  $                  -  $       3,781,184
Short-Term Investment             123,028                       -                      -              123,028
Total  $       3,904,212 $                     -  $                  -  $       3,904,212
         
Balanced ETF Portfolio
Assets Level 1 Level 2 Level 3 Total
Debt Funds  $       2,336,854  $                    -  $                  -  $       2,336,854
Equity Funds           2,439,187                     -                     -           2,439,187
Short-Term Investment             121,136                     -                     -             121,136
Total  $       4,897,177 $                     -  $                  -  $       4,897,177
Conservative ETF Portfolio
Assets Level 1 Level 2 Level 3 Total
Debt Funds  $       1,771,736  $                   -  $                  -  $       1,771,736
Equity Funds             784,563                        -                      -             784,563
Short-Term Investment             358,309                       -                      -              358,309
Total  $       2,914,608  $                    -  $                  -  $       2,914,608
         
Growth ETF Portfolio
Assets Level 1 Level 2 Level 3 Total
Debt Funds  $         848,812  $                    -  $               -  $         848,812
Equity Funds           5,559,838                        -                   -           5,559,838
Short-Term Investment              57,682                        -                   -             57,682
Total  $       6,466,332  $                    -  $               -  $       6,466,332
         
Moderate Growth ETF Portfolio
Assets Level 1 Level 2 Level 3 Total
Debt Funds  $       1,312,882  $                    -  $                  -  $       1,312,882
Equity Funds          2,591,153                        -                      -          2,591,153
Short-Term Investment             172,428                        -                      -             172,428
Total  $       4,076,463  $                    -  $                  -  $       4,076,463
         
Managed Risk Balanced ETF Portfolio
Assets Level 1 Level 2 Level 3 Total
Debt Funds  $   279,094,159  $                    -  $                  -  $   279,094,159
Equity Funds       291,254,696                        -                      -       291,254,696
Short-Term Investments         75,767,151                        -                      -         75,767,151
Short Futures Contracts           1,154,255                      -                    -              1,154,255
Total  $   647,270,261  $                    -  $                  -  $   647,270,261

 

Managed Risk Flex ETF Portfolio
Assets Level 1 Level 2 Level 3 Total
Debt Funds  $     22,797,979  $                    -  $                  -  $     22,797,979
Equity Funds         29,216,923                        -                      -         29,216,923
Short-Term Investments           7,080,396                        -                      -           7,080,396
Short Futures Contracts             190,580                    -                   -                  190,580
Total  $     59,285,878  $                    -  $                  -  $     59,858,878

 

 

 

 

 

        
Managed Risk Growth ETF Portfolio
Assets Level 1 Level 2 Level 3 Total
Debt Funds  $   132,539,154  $                    -  $                  -  $    132,539,154
Equity Funds       868,700,745                        -                      -       868,700,745
Short-Term Investments       137,053,008                        -                      -       137,053,008
Short Futures Contracts         11,805,845                        -                      -       11,805,845
Total  $ 1,150,098,752  $                    -  $                  -  $ 1,150,098,752
         
         
Managed Risk Moderate Growth ETF Portfolio
Assets Level 1 Level 2 Level 3 Total
Debt Funds  $   317,803,700  $                    -  $                  -  $      317,803,700
Equity Funds       627,384,357                        -                      -       627,384,357
Short-Term Investments       121,232,301                        -                      -       121,232,301
Short Futures Contracts           5,062,360                      -                    -           5,062,360
Total  $ 1,071,482,718  $                    -  $                  -   $    1,071,482,718
         

The Portfolios did not hold any Level 3 securities during the period.

There were no transfers in to or out of Level 1 and Level 2 during the current period presented. It is the Portfolios’ policy to record transfers between Level 1 and Level 2 at the end of the reporting period.

 

Futures Contracts – The Managed Risk Balanced ETF Portfolio, Managed Risk Growth ETF Portfolio, Managed Risk Moderate Growth ETF Portfolio and Managed Risk Flex ETF Portfolio are subject to equity price risk in the normal course of pursuing their investment objectives. The Portfolios may purchase or sell futures contracts to hedge against market risk and to reduce return volatility. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral for the account of the broker (the Portfolio’s agent in acquiring the futures position). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the market value of the contracts at the end of each day’s trading. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When the contracts are closed, a Portfolio recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Portfolio’s basis in the contract. If a Portfolio were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Portfolio would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Each Portfolio segregates liquid securities having a value at least equal to the amount of the current obligation under any open futures contract. Risks may exceed amounts recognized in the Statement of Assets and Liabilities. With futures, there is minimal counterparty credit risk to a Portfolio since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.

 

The notional value of the futures contracts disclosed in the Portfolio of Investments at September 30, 2015 is a reflection of the volume of derivative activity for the respective Portfolio.

 

 

Item 2. Controls and Procedures.

 

(a)The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.

 

(b)There were no significant changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

 

Certifications required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) (and Item 3 of Form N-Q) are filed herewith.

 

 

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

TOPS Portfolios

 

By

*/s/ Andrew B. Rogers

Andrew B. Rogers, Principal Executive Officer

 

Date 11/25/2015

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By

*/s/ Andrew B. Rogers

Andrew B. Rogers, Principal Executive Officer

 

Date 11/25/2015

 

By

*/s/ Kevin E. Wolf

Kevin E. Wolf, Principal Financial Officer

 

Date 11/25/2015