N-CSRS 1 topsmanagedriskncsrs.htm N-CSRS Blu Giant, LLC

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 811-21853

 

Northern Lights Variable Fund Trust

(Exact name of registrant as specified in charter)

 

17605 Wright Street, Omaha, Nebraska 68130

(Address of principal executive offices) (Zip code)

 

Stephanie Shearer, 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: 06/30/17

 

Item 1. Reports to Stockholders.

 

 
(TOPS LOGO) 
 
 
 
 
Semi-Annual Report
 
June 30, 2017
 
 
 
 
TOPS® Managed Risk Balanced ETF Portfolio
TOPS® Managed Risk Growth ETF Portfolio
TOPS® Managed Risk Moderate Growth ETF Portfolio
 
 
 
 
Each a series of the Northern Lights Variable Trust
 
 
 
 
 
 
 
 
 
 
Distributed by Northern Lights Distributors, LLC
 
Member FINRA

 

 

A Message from the TOPS® Portfolio Management Team
 
Mid-Year 2017 Market Commentary
 

Strong Returns and Low Market Volatility was a Favorable Combination for the First Half

 

Halfway through the year, TOPS portfolio returns range from mid single digits to high single digits for the varying risk levels. All underlying ETFs held in the TOPS portfolios showed positive first half returns, except a small position in energy, and several had double-digit gains. Prices were also quite stable with no significant pullbacks. International stocks outpaced U.S. stocks and corporate debt outpaced treasuries, boosting results for TOPS. Needless to say, we would be very happy to experience similar returns in the second half of the year.

 

As usual, we will begin by discussing year-to-date returns and will then shift to addressing topics that may prove important to TOPS portfolio strategies over the remainder of the year and looking out into 2018, including:

 

1)In January, we noted low stock volatility levels and warned higher market volatility may come in 2017. However, markets have reacted to all events, both political and economic, with equanimity. Can this low volatility persist?

 

2)Valuations appear historically rich for virtually all sectors of the stock and bond markets. How risky are the markets at this point?

 

3)Central banks around the world are reversing monetary stimulus. How does that impact the economy?

 

Second Quarter and Year to Date Market Review

 

The rising tide lifted nearly all boats in the first half of 2017. According to Morningstar, most popular fund types rose in Q2, whether focused on stocks or bonds, US or foreign. The breadth of the rally is reflected in a few additional reports, as Fidelity stated the average 401(k) balance is at a record high. Finally, the Wall Street Journal reported that all but four of the 30 largest stock market indexes have risen this year. They note that only 4 first half rallies in the past 20 years have been as widespread as this year’s gains.

 

The diversified TOPS portfolios were well-positioned to take advantage of this broad advance. For Q2, stock index leaders included Developed International (Vanguard FTSE – VEU) +5.74%, Small Cap International (Vanguard FTSE SmallCap -VSS) +6.14% and S&P 500 Growth (IVW) +4.42%. Emerging Markets also contributed, as did both international and domestic REITs. In spite of a weak quarter for natural resources, Guggenheim Global Timber (CUT) rallied sharply gaining 8.47% for the quarter. S&P 500 Value, S&P MidCap and S&P SmallCap all trailed the returns of the S&P 500, as Growth stocks fueled S&P 500 returns.

 

Despite another Fed Funds rate increase in June, the yield on the US Treasury 10-year bond dropped modestly from 2.4% to 2.3% during Q2 and the Barclays US Aggregate returned 1.45% for the quarter. Continued US Dollar weakness helped Local Currency Emerging Market bonds to lead the way for fixed income in Q2 with a 3.44% return. US corporates and broader international bond sectors also outperformed the Barclays US Aggregate.

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For the first half overall, domestic equities did well. In a continuation of Q1 leadership, relative gains were ranked in the opposite order of full year 2016. Over the first half of 2017, the S&P 500 total return was +9.3%, S&P MidCap was +6.0% and S&P SmallCap was +2.8%. The same pattern held in the battle between S&P 500 Value and Growth, as Growth returned +13.15% vs. Value at +4.67%. Surges in market values for the FAANG stocks (Facebook, Apple, Amazon, Netflix and Google) have pushed them to over 10% of the S&P 500 and 20% of S&P Growth. With such a high concentration in these indexes, strong buying pressure has been a big driver of index returns.

 

The “pause” in the US Dollar (USD) rally we discussed earlier this year has turned into a bona fide decline as the USD dropped to its lowest level since October 2016 towards the end of Q2. Expectations of Central Bank actions have shifted significantly over that timeframe. While the US Fed has led the way in reducing monetary stimulus, central banks in Europe, the UK and Canada have all signaled they, too may be tightening. In addition, improving economic growth prospects for international economies relative to slowing US growth forecasts have contributed to a weaker USD.

 

As we noted last year, international equity valuations appeared relatively attractive vs. US valuations, which combined with USD weakness and improved earnings has invited strong investment inflows to international equities recently. Year-to-date (YTD) returns have been robust, as shown by the TOPS International (FTSE) ETFs: Vanguard Ex-US (VEU) +14.84%, Vanguard ex-US SmallCap +15.95% and Vanguard Emerging Markets (VWO) +15.03%.

 

The YTD Barclays US Aggregate Bond Index return was +2.27% and, as noted earlier, the rising trend of 10 year US Treasury bond yields paused in Q1. The Federal Reserve rate increase to 1.0% in March and 1.25% in June has not led to higher longer maturity bond yields thus far. Returns for US Treasuries were slightly positive all along the yield curve in the first half, as the curve flattened a bit. Significantly stronger returns were recorded by Emerging Markets local currency bonds at +9.73% and from both investment grade US corporates and the US High Yield sector at approximately 4%.

 

Will Market Volatility Remain at Historic Low Levels?

 

Most investors have heard of the Volatility Index (VIX). The value of VIX relates to the cost of insuring against sharp price movements (ie, volatility) via options contracts. Supply and demand for the options causes VIX to rise and fall, much like any traded asset. Nobody knows what the actual price movements will be, but a high VIX indicates a lot of investors want to insure against sharp volatility, which is why the VIX is also known as the “fear index”. Currently, many people are aware that VIX is at a very low level, which is generally seen as a sign of investor complacency.

 

Low volatility is further reflected in the price movements of the S&P 500 so far this year. The first trading day in 2017 with a 1% or more daily change in the S&P 500 was in March. According to Strategas Research Partners, the S&P has averaged well over 100 such days yearly over the past 35 years. Another way to think about volatility is the maximum drawdown (price change from a trading high to a trading low) so far in 2017 is 2.8%. Since 1928 the only year with a smaller maximum drawdown was in 1995. Of course, we are only halfway through 2017 and things could change, but stocks have been very smooth overall.

 

So far, there have been numerous news events that might have started a chain reaction of greater volatility, including President Trump’s tweets, the firing of FBI director James Comey, the failure of the House version of ACA repeal/replace, two Fed rate hikes, the Fed’s signal that it would start reducing its large balance sheet, the ECB QE reduction, China’s overstressed banking system, numerous terrorist attacks, North Korean nuclear tests, the UK election results, volatile oil

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prices, obvious signs of Russian interference in US elections, the WannaCry ransomware virus, surging Bitcoin prices and the list goes on. The point is investors have remained calm and optimistic in the face of a lot of news. The certain answers are that volatility will not stay low forever and that we cannot predict the Black Swan that will usher in higher volatility. These truths are bedrock to our philosophy of strategic, diversified portfolios.

 

With Market Valuations Above Historic Norms, Are Stocks and Bonds Really Risky?

 

Valuations are higher than normal and that means (all else equal) risks are higher than when valuations were at normal levels. “All else equal” is the key to this discussion. If fundamentals such as earnings and dividends improve significantly, forward valuations won’t turn out to be as high as they now appear. If other fundamentals such as inflation and interest rates hold steady at very low levels, higher equity valuations may not be a problem.

 

Nonetheless, it is difficult to ignore the fact US stocks entered 2017 with relatively high valuations and they are now even higher. The TOPS Portfolio Management Team monitors valuations by ranking the current index p/e’s (historical P/E) versus monthly data from the past 20 years. Large, mid and small cap stocks are currently above the 80th percentile compared to values over the last 20 years.

 

The valuation story is similar for bonds. The 10 year US Treasury Bond (10UST) yield hit an all-time low of 1.37% a year ago, but that was with short rates at 0.50%. With Fed Funds now at 1.25%, how much lower (more highly valued) can the 10UST get versus its current 2.3% yield?

 

Our answer to this section’s question is that US stocks AND bonds look fully valued on the surface– which heightens the risk of volatility should something happen to shatter the optimism/complacency of investors discussed in the prior section.

 

The situation is somewhat different for international investments, even after their strong relative performance this year. Perhaps the leadership trend is finally shifting – returns of US stocks had nearly doubled those of developed international and tripled the returns of EM over the last 5 years. We have discussed this many times and conclude that the strong USD, better US economic growth and stronger US earnings prospects were the primary drivers. Each of these factors has shifted in favor of international this year, and foreign valuations were already less rich. The case for significant strategic exposure to international markets is one we continue to strongly support.

 

Will Central Bank Actions Impact the Markets?

 

Globally, Central Banks have flooded the markets with liquidity over the past 8 years. Since economic growth has been slow, the liquidity flowed into assets such as stocks, bonds, housing and commercial real estate. Confidence in the Central Bankers as backstops to any price downturns created strong demand for what may eventually turn out to be overvalued assets. If history is a guide, the belief in the Central Bankers ability to reverse their unprecedented actions since 2009 will bring grief to many investors. The fact the US Fed and the ECB are trying to figure this out simultaneously is certainly a concern.

 

We don’t fully subscribe to the common worry that reduced stimulus raises the risk of recession. Every post WWII recession began with an inverted yield curve and it generally takes a while for the curve to impact the economy enough to

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cause a slowdown that can morph into a recession. Now, the yield curve is still solidly positive. Depending on the outcome of healthcare and tax reform legislation, “animal spirits” could still be unleashed and the Trump Trade could resume. We will continue to closely monitor whether the hard data changes, but at this time signs of recession are not apparent.

 

Portfolio Strategies

 

The TOPS strategy for managing globally diversified portfolios is focused on optimizing risk adjusted returns. Consensus forecasts indicate the growth rate of the global economy is improving modestly. Global equities are at relatively high valuations, but stronger economies generally lead to stronger earnings. While it appears to us that interest rates will rise somewhat globally, the absence of inflation and the presence of high demand for fixed income should moderate any increase that develops. As always, we are constantly analyzing the markets and economy for indications that changes to the TOPS portfolios are necessary. We believe the portfolios are appropriately structured for the current environment.

 

Summary of the Milliman Managed Risk Strategy™ (MMRS)

 

Equity markets were eerily calm as realized volatility remained exceptionally low during the first month of the year. For both the S&P 500 and MSCI Emerging Markets indices, there has been only one January over the past 30 years when volatility was lower than it was in January 2017. Similarly, there have only been two Januarys in the history of the VIX volatility index (dating back to 1990) when the daily average was lower than it was this January. This low volatility meant that the TOPS Managed Risk Growth, Moderate and Balanced Portfolios maintained their maximum respective equity allocations throughout all of January.

 

Volatility in February was lower than it was in January across nearly every segment of the capital markets. Accordingly, TOPS Managed-Risk Growth, Moderate and Conservative Portfolios maintained their maximum respective equity allocations throughout the month.

 

Equity market volatility climbed in March from the lower end of its 12-month range. The increase, while large on a relative basis, was not sufficient to cause a reduction in the net equity allocation in any of TOPS Managed Risk Funds. Accordingly, TOPS Managed Risk Growth, Moderate and Balanced Funds all maintained their maximum respective equity allocations through the entire month.

 

Realized equity market volatility increased in April even as implied volatility declined. International developed-equity market volatility touched its year-to-date high, but nevertheless remained low by historical standards. After declining for several months, correlations between domestic and international equity markets edged higher in April. However, this was offset by a lower correlation between domestic stock and bond markets, helping to reduce volatility in a diversified portfolio. This ongoing low volatility meant that TOPS Managed Risk Growth, Moderate and Balanced ETF portfolios all maintained their maximum respective equity allocations throughout April.

 

Apart from a brief modest increase in the middle of the month, global equity market volatility in May extended its low year-to-date trend. By way of context, year-to-date volatilities across U.S., developed and emerging equity markets have exhibited about two-thirds of their average volatilities during the five years prior to 2017. For the TOPS Managed Risk Growth, Moderate & Balanced ETF Portfolios, the low equity market volatility has again resulted in each Portfolio

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maintaining its maximum respective equity allocation throughout the month, enabling them to participate in May’s strong global equity market returns.

 

The volatility levels of broad segments of the global equity market remained low in June, but reversed course. After pushing higher in May, the volatility of US and developed market equities edged lower in June, while emerging market equity volatility changed direction and trended steadily higher. At mid-month, the volatility of the S&P 500 touched its lowest point since February; looking back even further, the first six months of 2017 marked the lowest volatility the S&P 500 has exhibited during the first half of a calendar year in the last 50 years. June’s low volatility meant that the TOPS Managed Risk Growth, Moderate and Balanced ETF Portfolios all maintained their respective maximum equity allocations throughout the month.

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The S&P 500® Index is an unmanaged composite of 500 large capitalization companies. This index is widely used by professional investors as a performance benchmark for large-cap stocks.

 

The S&P MidCap 400®measures the mid-cap segment of the U.S.equity market. The index is designed to be an investable portfolio of companies that meet specific inclusion criteria to ensure that they are liquid and financially viable.

 

The S&P SmallCap 600®measures the small cap segment of the U.S. equity market. The index is designed to be an investable portfolio of companies that meet specific inclusion criteria to ensure that they are liquid and financially viable.

 

The MSCI EAFE®Index is a free float -adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada. As of June 2007 the MSCI EAFE Index consisted of the following 21 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom.

 

The MSCI Emerging Markets Index is a free float -adjusted, market capitalization-weighted index designed to measure the combined equity market performance of the materials sector of emerging markets countries. Component securities include those of chemical companies, construction materials companies, containers and packaging companies, metals and mining companies, and paper and forest products companies.

 

The Barclays Capital Aggregate Bond Index is weighted according to market capitalization, which means the securities represented in the index are weighted according to the market size of the bond category. Treasury securities, mortgage-backed securities (MBS) foreign bonds , government agency bonds and corporate bonds are some of the categories included in the index. The bonds represented are medium term with an average maturity of about 4.57 years. In all, the index represents about 8,200 fixed-income securities with a total value of approximately $15 trillion (about 43% of the total U.S. bond market).

 

The Barclays Capital High Yield Very Liquid Index includes publicly issued U.S. dollar denominated, non-investment grade, fixed-rate, taxable corporate bonds that have a remaining maturity of at least one year, regardless of optionality, are rated high-yield (Ba1/BB+/BB+ or below) using the middle rating of Moody’s, S&P, and Fitch, respectively (before July 1, 2005, the lower of Moody’s and S&P was used), and have $600 million or more of outstanding face value.

 

The Barclays Capital U.S. Credit Bond Index measures the performance of investment grade corporate debt and agency bonds that are dollar denominated and have a remaining maturity of greater than one year.

 

The Barclays Capital Intermediate U.S. Treasury Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of greater than or equal to 1 year and less than 10 years, are rated investment grade, and have $250 million or more of outstanding face value.

 

The Barclays Capital U.S. Treasury Inflation Protected Securities (TIPS) Index includes all publicly issued, U.S. Treasury inflation-protected securities that have at least one year remaining to maturity, are rated investment grade, and have $250 million or more of outstanding face value.

 

The PIMCO 0-5 Year High Yield Corporate Bond Index ETF tracks the BofA Merrill Lynch 0- 5 Year US High Yield Constrained Index. The BofA Merrill Lynch 0-5 Year US High Yield Constrained Index is an unmanaged index comprised of US dollar denominated below investment grade corporate debt securities publicly issued in the US domestic market with remaining maturities of less than 5 years.

 

You cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges. Past Performance is no guarantee of future results.

 

8101-NLD-8/2/2017

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TOPS® Managed Risk Balanced ETF Portfolio
Portfolio Review (Unaudited)
June 30, 2017
 

The Portfolio’s performance figures* for the periods ended June 30, 2017, as compared to its benchmark:

 

         Five         
   Six  One  Year  Annualized Since  Annualized Since  Since
   Months  Year  (Annualized)  Inception (6/9/11)**  Inception (5/1/12)***  Inception (7/22/15)****
Managed Risk Balanced ETF Portfolio                  
Class 1  4.97%  8.06%  4.81%  4.25%  N/A  N/A
Class 2  4.82%  7.81%  4.55%  4.00%  N/A  N/A
Class 3  4.80%  7.70%  4.58%  N/A  3.96%  N/A
Class 4  4.62%  7.44%  4.11%  N/A  3.49%  N/A
Investor Class  4.60%  7.43%  N/A  N/A  N/A  2.39%
S&P 500 Total Return Index *****  9.34%  17.90%  14.63%  13.39%  13.53%  9.64%
                   
*The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Per the fee table in the most recent prospectuses, the Portfolio’s total annual operating expense ratios including acquired fund fees and expenses, for Class 1, Class 2, Class 3, Class 4, and Investor Class are 0.61%, 0.86%, 0.96%, 1.21%, and 1.11% respectively. For performance information current to the most recent month-end, please call 1-855-572-5945.

 

**Class 1 and Class 2’s inception date was June 9, 2011.

 

***Class 3 and Class 4’s inception date was May 1, 2012.

 

****Investor Class’s inception date was July 22, 2015.

 

*****The S&P 500 Total Return Index is an unmanaged market capitalization-weighted index of 500 of the largest capitalized U.S. domiciled companies. Index returns assume reinvestment of dividends. Investors may not invest in the index directly; unlike the Portfolio’s returns, the Index does not reflect any fees or expenses.

 

Holdings by Asset Class as of June 30, 2017  % of Net Assets 
Equity Funds   45.0%
Debt Funds   43.2%
Other Assets/Cash & Cash Equivalents   11.8%
    100.0%
      

Please refer to the Portfolio of Investments in this semi-annual report for a detailed analysis of the Portfolio’s holdings.

7

 

TOPS® Managed Risk Growth ETF Portfolio
Portfolio Review (Unaudited)
June 30, 2017
 

The Portfolio’s performance figures* for the periods ended June 30, 2017, as compared to its benchmark:

 

         Five         
   Six  One  Year  Annualized Since  Annualized Since  Since
   Months  Year  (Annualized)  Inception (4/26/11)**  Inception (5/1/12)***  Inception (7/22/15)****
Managed Risk Growth ETF Portfolio                  
Class 1  7.69%  12.62%  5.50%  3.74%  N/A  N/A
Class 2  7.54%  12.24%  5.22%  3.48%  N/A  N/A
Class 3  7.47%  12.21%  5.18%  N/A  4.21%  N/A
Class 4  7.37%  11.94%  5.03%  N/A  4.14%  N/A
Investor Class  7.28%  11.85%  N/A  N/A  N/A  1.48%
S&P 500 Total Return Index *****  9.34%  17.90%  14.63%  12.36%  13.53%  9.64%
                   
*The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Per the fee table in the most recent prospectuses, the Portfolio’s total annual operating expense ratios including acquired fund fees and expenses, for Class 1, Class 2, Class 3, Class 4, and Investor Class are 0.59%, 0.84%, 0.94%, 1.19%, and 1.09% respectively. For performance information current to the most recent month-end, please call 1-855-572-5945.

 

**Class 1 and Class 2’s inception date was April 26, 2011.

 

***Class 3 and Class 4’s inception date was May 1, 2012.

 

****Investor Class’s inception date was July 22, 2015.

 

*****The S&P 500 Total Return Index is an unmanaged market capitalization-weighted index of 500 of the largest capitalized U.S. domiciled companies. Index returns assume reinvestment of dividends. Investors may not invest in the index directly; unlike the Portfolio’s returns, the Index does not reflect any fees or expenses.

 

Holdings by Asset Class as of June 30, 2017  % of Net Assets 
Equity Funds   76.5%
Debt Funds   11.7%
Other Assets/Cash & Cash Equivalents   11.8%
    100.0%
      

Please refer to the Portfolio of Investments in this semi-annual report for a detailed analysis of the Portfolio’s holdings.

8

 

TOPS® Managed Risk Moderate Growth ETF Portfolio
Portfolio Review (Unaudited)
June 30, 2017
 

The Portfolio’s performance figures* for the periods ended June 30, 2017, as compared to its benchmark:

 

         Five         
   Six  One  Year  Annualized Since  Annualized Since  Since
   Months  Year  (Annualized)  Inception (6/9/11)**  Inception (5/1/12)***  Inception (7/22/15)****
Managed Risk Moderate Growth ETF Portfolio                  
Class 1  6.17%  10.92%  5.59%  4.68%  N/A  N/A
Class 2  6.02%  10.66%  5.32%  4.46%  N/A  N/A
Class 3  6.03%  10.60%  5.31%  N/A  4.42%  N/A
Class 4  5.98%  10.32%  4.94%  N/A  4.23%  N/A
Investor Class  5.72%  10.17%  N/A  N/A  N/A  1.94%
S&P 500 Total Return Index *****  9.34%  17.90%  14.63%  13.39%  13.53%  9.64%
                   
*The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or on the redemption of Portfolio shares, as well as other charges and expenses of the insurance contract or separate account. Per the fee table in the most recent prospectuses, the Portfolio’s total annual operating expense ratios including acquired fund fees and expenses, for Class 1, Class 2, Class 3, Class 4, and Investor Class are 0.60%, 0.85%, 0.95%, 1.20%, and 1.10% respectively. For performance information current to the most recent month-end, please call 1-855-572-5945.

 

**Class 1 and Class 2’s inception date was June 9, 2011.

 

***Class 3 and Class 4’s inception date was May 1, 2012.

 

****Investor Class’s inception date was July 22, 2015.

 

*****The S&P 500 Total Return Index is an unmanaged market capitalization-weighted index of 500 of the largest capitalized U.S. domiciled companies. Index returns assume reinvestment of dividends. Investors may not invest in the index directly; unlike the Portfolio’s returns, the Index does not reflect any fees or expenses.

 

Holdings by Asset Class as of June 30, 2017  % of Net Assets 
Equity Funds   58.6%
Debt Funds   29.7%
Other Assets/Cash & Cash Equivalents   11.7%
    100.0%
      

Please refer to the Portfolio of Investments in this semi-annual report for a detailed analysis of the Portfolio’s holdings.

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TOPS® Managed Risk Balanced ETF Portfolio
PORTFOLIO OF INVESTMENTS
June 30, 2017 (Unaudited)

  

Shares            Fair Value 
               
     EXCHANGE TRADED FUNDS - 88.2%           
     DEBT FUNDS - 43.2%           
 1,346,012   FlexShares iBoxx 3-Year Target Duration TIPS Index Fund        $33,051,325 
 130,513   iShares 1-3 Year Treasury Bond ETF         11,027,043 
 356,011   iShares 3-7 Year Treasury Bond ETF         43,992,279 
 216,709   iShares Floating Rate Bond ETF         11,034,822 
 313,163   iShares iBoxx $ High Yield Corporate Bond ETF         27,680,478 
 319,398   iShares iBoxx $ Investment Grade Corporate Bond ETF         38,490,653 
 633,692   PIMCO 1-5 Year U.S. TIPS Index ETF         33,059,712 
 477,003   PowerShares Senior Loan Portfolio         11,037,849 
 719,865   SPDR Bloomberg Barclays Short Term Corporate Bond ETF         22,056,664 
 581,663   VanEck Vectors J.P. Morgan EM Local Currency Bond ETF         10,987,614 
 208,989   Vanguard Mortgage-Backed Securities ETF         11,005,361 
 201,762   Vanguard Total International Bond ETF         10,967,782 
               264,391,582 
     EQUITY FUNDS - 45.0%           
 194,455   FlexShares Global Upstream Natural Resources Index Fund         5,555,579 
 195,340   Guggenheim MSCI Global Timber         5,580,864 
 127,212   iShares Core S&P Mid-Cap ETF         22,128,527 
 315,089   iShares Core S&P Small-Cap ETF         22,090,890 
 281,031   iShares S&P 500 Growth ETF         38,459,092 
 579,905   iShares S&P 500 Value ETF         60,866,829 
 63,067   Vanguard Energy ETF         5,581,429 
 292,532   Vanguard Global ex-U.S. Real Estate ETF         16,454,925 
 879,388   Vanguard FTSE All-World ex-US ETF         43,995,782 
 102,388   Vanguard FTSE All World ex-US Small-Cap ETF         11,070,191 
 541,538   Vanguard FTSE Emerging Markets ETF         22,110,997 
 45,500   Vanguard Materials ETF         5,532,800 
 196,954   Vanguard REIT ETF         16,392,481 
               275,820,386 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $502,998,061)         540,211,968 
                 
     SHORT-TERM INVESTMENTS - 11.8%           
     MONEY MARKET FUNDS - 11.5%           
 28,750,000   BlackRock Liquidity Funds FedFund Portfolio, Institutional Class 0.86% (a)         28,750,000 
 41,828,136   STIT - Government & Agency Portfolio, Institutional Class - 0.89% (a)         41,828,136 
               70,578,136 
                 
Principal      Coupon (b)  Maturity     
     U.S. TREASURY BILL - 0.3%           
$2,000,000   United States Treasury Bill (c)  0.95%  9/21/2017   1,995,672 
                 
     TOTAL SHORT-TERM INVESTMENTS (Cost - $72,573,808)         72,573,808 
                 
     TOTAL INVESTMENTS - 100.0% (Cost - $575,571,869) (d)        $612,785,776 
     OTHER ASSETS AND LIABILITIES - NET - (0.0)%         (234,371)
     TOTAL NET ASSETS - 100.0%        $612,551,405 

 

ETF - Exchange Traded Fund

 

REIT - Real Estate Investment Trust

 

TIPS - Treasury Inflation Protected Security

 

(a)Variable rate security, the money market rate shown represents the rate at June 30, 2017.

 

(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 $577,998,499 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized appreciation:  $38,182,546 
Unrealized depreciation:   (3,395,269)
Net unrealized appreciation:  $34,787,277 

 

See accompanying notes to financial statements.

10

 

TOPS® Managed Risk Balanced ETF Portfolio
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2017 (Unaudited)

  

       Unrealized 
Contracts      Appreciation (Depreciation) 
    LONG FUTURES CONTRACTS    
 65   MSCI EAFE Index Mini September 2017     
     (Underlying Face Amount at Value $6,141,200)  $18,414 
 101   MSCI Emerging Market Index Mini September 2017     
     (Underlying Face Amount at Value $5,091,915)   40,732 
 62   Russell 2000 Index Mini September 2017     
     (Underlying Face Amount at Value $4,384,330)   (9,837)
 73   S&P 500 Index E-Mini September 2017     
     (Underlying Face Amount at Value $8,836,285)   (27,106)
 21   S&P Midcap 400 Index E-Mini September 2017     
     (Underlying Face Amount at Value $3,666,810)   (23,337)
           
     NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS  $(1,134)

 

See accompanying notes to financial statements.

11

 

TOPS® Managed Risk Growth ETF Portfolio
PORTFOLIO OF INVESTMENTS
June 30, 2017 (Unaudited)

  

Shares            Fair Value 
               
     EXCHANGE TRADED FUNDS - 88.2%           
     DEBT FUNDS - 11.7%           
 698,690   FlexShares iBoxx 3-Year Target Duration TIPS Index Fund        $17,156,333 
 138,599   iShares 3-7 Year Treasury Bond ETF         17,126,678 
 390,141   iShares iBoxx $ High Yield Corporate Bond ETF         34,484,563 
 164,469   PIMCO 1-5 Year U.S. TIPS Index ETF         8,580,348 
 1,358,687   VanEck Vectors J.P. Morgan EM Local Currency Bond ETF         25,665,597 
 162,724   Vanguard Mortgage-Backed Securities ETF         8,569,046 
               111,582,565 
     EQUITY FUNDS - 76.5%           
 1,211,300   FlexShares Global Upstream Natural Resources Index Fund         34,606,841 
 304,277   Guggenheim MSCI Global Timber         8,693,194 
 545,156   iShares Core S&P Mid-Cap ETF         94,829,886 
 1,228,081   iShares Core S&P Small-Cap ETF         86,100,759 
 876,887   iShares S&P 500 Growth ETF         120,001,986 
 1,067,547   iShares S&P 500 Value ETF         112,049,733 
 98,205   Vanguard Energy ETF         8,691,143 
 2,917,734   Vanguard FTSE All-World ex-US ETF         145,974,232 
 159,450   Vanguard FTSE All World ex-US Small-Cap ETF         17,239,734 
 1,147,821   Vanguard FTSE Emerging Markets ETF         46,865,531 
 455,538   Vanguard Global ex-U.S. Real Estate ETF         25,624,013 
 70,862   Vanguard Materials ETF         8,616,819 
 204,485   Vanguard REIT ETF         17,019,287 
 104,822   WisdomTree Emerging Markets SmallCap Dividend Fund         4,795,607 
               731,108,765 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $735,778,803)         842,691,330 
                 
     SHORT-TERM INVESTMENTS - 11.9%           
     MONEY MARKET FUNDS - 11.5%           
 30,000,000   BlackRock Liquidity Funds FedFund Portfolio, Institutional Class 0.86% (a)         30,000,000 
 30,000,000   Federated Prime Cash Obligations Fund, Institutional Class 0.85% (a)         30,000,000 
 49,289,689   STIT - Government & Agency Portfolio, Institutional Class - 0.89% (a)         49,289,689 
               109,289,689 
                 
Principal      Coupon (c)  Maturity     
     U.S. TREASURY BILL - 0.4%           
$4,000,000   United States Treasury Bill (b)  0.95%  9/21/2017   3,991,344 
                 
     TOTAL SHORT-TERM INVESTMENTS (Cost - $113,281,033)         113,281,033 
                 
     TOTAL INVESTMENTS - 100.1% (Cost - $849,059,836) (d)        $955,972,363 
     OTHER ASSETS AND LIABILITIES - NET - (0.1)%         (755,340)
     TOTAL NET ASSETS - 100.0%        $955,217,023 

 

ETF - Exchange Traded Fund

 

REIT - Real Estate Investment Trust

 

TIPS - Treasury Inflation Protected Security

 

(a)Variable rate security, the money market rate shown represents the rate at June 30, 2017.

 

(b)All or a portion of this security may be held as collateral for futures contracts.

 

(c)Represents discount rate at time of purchase.

 

(d)Represents cost for financial reporting purposes. Aggregate cost for Federal tax purposes is $853,467,320 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized appreciation:  $105,945,463 
Unrealized depreciation:   (3,440,420)
Net unrealized appreciation:  $102,505,043 

 

See accompanying notes to financial statements.

12

 

TOPS® Managed Risk Growth ETF Portfolio
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2017 (Unaudited)

  

       Unrealized 
Contracts      Appreciation (Depreciation) 
    LONG FUTURES CONTRACTS    
 189   MSCI EAFE Index Mini September 2017     
     (Underlying Face Amount at Value $17,856,720)  $53,542 
 269   MSCI Emerging Market Index Mini September 2017     
     (Underlying Face Amount at Value $13,561,635)   108,485 
 234   Russell 2000 Index Mini September 2017     
     (Underlying Face Amount at Value $16,547,310)   (37,127)
 152   S&P 500 Index E-Mini September 2017     
     (Underlying Face Amount at Value $18,398,840)   (56,439)
 65   S&P Midcap 400 Index E-Mini September 2017     
     (Underlying Face Amount at Value $11,349,650)   (72,110)
           
     NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS  $(3,649)

 

See accompanying notes to financial statements.

13

 

TOPS® Managed Risk Moderate Growth ETF Portfolio
PORTFOLIO OF INVESTMENTS
June 30, 2017 (Unaudited)

  

Shares            Fair Value 
               
     EXCHANGE TRADED FUNDS - 88.3%           
     DEBT FUNDS - 29.7%           
 1,101,362   FlexShares iBoxx 3-Year Target Duration TIPS Index Fund        $27,043,944 
 213,583   iShares 1-3 Year Treasury Bond ETF         18,045,628 
 72,826   iShares 3-7 Year Treasury Bond ETF         8,999,109 
 512,488   iShares iBoxx $ High Yield Corporate Bond ETF         45,298,814 
 522,689   iShares iBoxx $ Investment Grade Corporate Bond ETF         62,989,251 
 518,513   PIMCO 1-5 Year U.S. TIPS Index ETF         27,050,823 
 780,608   PowerShares Senior Loan Portfolio         18,063,269 
 1,472,557   SPDR Bloomberg Barclays Short Term Corporate Bond ETF         45,119,147 
 951,881   VanEck Vectors J.P. Morgan EM Local Currency Bond ETF         17,981,032 
 342,008   Vanguard Mortgage-Backed Securities ETF         18,010,141 
 165,089   Vanguard Total International Bond ETF         8,974,238 
               297,575,396 
     EQUITY FUNDS - 58.6%           
 954,694   FlexShares Global Upstream Natural Resources Index Fund         27,275,608 
 319,682   Guggenheim MSCI Global Timber         9,133,315 
 416,356   iShares Core S&P Mid-Cap ETF         72,425,126 
 774,281   iShares Core S&P Small-Cap ETF         54,284,841 
 723,686   iShares S&P 500 Growth ETF         99,036,429 
 948,317   iShares S&P 500 Value ETF         99,535,352 
 103,202   Vanguard Energy ETF         9,133,377 
 886,231   Vanguard FTSE Emerging Markets ETF         36,184,812 
 2,164,110   Vanguard FTSE All-World ex-US ETF         108,270,423 
 167,561   Vanguard FTSE All World ex-US Small-Cap ETF         18,116,695 
 478,723   Vanguard Global ex-U.S. Real Estate ETF         26,928,169 
 74,453   Vanguard Materials ETF         9,053,485 
 214,877   Vanguard REIT ETF         17,884,213 
               587,261,845 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $803,521,219)         884,837,241 
                 
     SHORT-TERM INVESTMENTS - 11.9%           
     MONEY MARKET FUNDS - 11.5%           
 35,000,000   BlackRock Liquidity Funds FedFund Portfolio, Institutional Class 0.86% (a)         35,000,000 
 35,000,000   Federated Prime Cash Obligations Fund, Institutional Class 0.85% (a)         35,000,000 
 45,572,107   STIT - Government & Agency Portfolio, Institutional Class - 0.89% (a)         45,572,107 
               115,572,107 
                 
Principal      Coupon (c)  Maturity     
     U.S. TREASURY BILL - 0.4%           
$4,000,000   United States Treasury Bill (b)  0.95%  9/21/2017   3,991,344 
                 
     TOTAL SHORT-TERM INVESTMENTS (Cost - $119,563,451)         119,563,451 
                 
     TOTAL INVESTMENTS - 100.2% (Cost - $923,084,670) (d)        $1,004,400,692 
     OTHER ASSETS AND LIABILITIES - NET - (0.2)%         (2,297,978)
     TOTAL NET ASSETS - 100.0%        $1,002,102,714 

 

ETF - Exchange Traded Fund

 

REIT - Real Estate Investment Trust

 

TIPS - Treasury Inflation Protected Security

 

(a)Variable rate security, the money market rate shown represents the rate at June 30, 2017.

 

(b)All or a portion of this security held as collateral for futures contracts.

 

(c)Represents discount rate at time of purchase.

 

(d)Represents cost for financial reporting purposes. Aggregate cost for Federal tax purposes is $926,995,104 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized appreciation:  $82,966,133 
Unrealized depreciation:   (5,560,545)
Net unrealized appreciation:  $77,405,588 

 

See accompanying notes to financial statements.

14

 

TOPS® Managed Risk Moderate Growth ETF Portfolio
PORTFOLIO OF INVESTMENTS (Continued)
June 30, 2017 (Unaudited)

  

       Unrealized 
Contracts      Appreciation (Depreciation) 
    LONG FUTURES CONTRACTS    
 165   MSCI EAFE Index Mini September 2017     
     (Underlying Face Amount at Value $15,589,200)  $46,698 
 255   MSCI Emerging Market Index Mini September 2017     
     (Underlying Face Amount at Value $12,855,825)   102,839 
 182   Russell 2000 Index Mini September 2017     
     (Underlying Face Amount at Value $12,870,130)   (28,876)
 151   S&P 500 Index E-Mini September 2017     
     (Underlying Face Amount at Value $18,277,795)   (56,068)
 66   S&P Midcap 400 Index E-Mini September 2017     
     (Underlying Face Amount at Value $11,524,260)   (73,347)
           
     NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS  $(8,754)

 

See accompanying notes to financial statements.

15

 

TOPS® Managed Risk ETF Portfolios
Statements of Assets and Liabilities
June 30, 2017 (Unaudited)

 

   Managed Risk   Managed Risk   Managed Risk 
   Balanced   Growth   Moderate Growth 
Assets:  ETF Portfolio   ETF Portfolio   ETF Portfolio 
Investments in securities, at cost  $575,571,869   $849,059,836   $923,084,670 
Investments in securities, at value  $612,785,776   $955,972,363   $1,004,400,692 
Receivable for securities sold   1,570,114    2,625,253    2,920,877 
Receivable for Portfolio shares sold   401,087    507,614    208,736 
Interest and dividends receivable   143,001    224,113    233,176 
Deposits with Broker   30,644    69,874    78,674 
Total Assets   614,930,622    959,399,217    1,007,842,155 
Liabilities:               
Payable for Portfolio shares redeemed   153,259    403,214    968,736 
Payable for securities purchased   1,885,865    3,249,303    4,204,507 
Accrued investment advisory fees   151,401    237,498    249,472 
Accrued distribution (12b-1) fees   137,092    209,364    224,816 
Unrealized depreciation on futures contracts   1,134    3,649    8,754 
Payable to related parties and administrative service fees   50,466    79,166    83,156 
Total Liabilities   2,379,217    4,182,194    5,739,441 
Net Assets  $612,551,405   $955,217,023   $1,002,102,714 
Components of Net Assets:               
Paid in capital  $556,662,859   $840,075,297   $904,128,551 
Undistributed net investment income   12,598,004    20,683,630    21,954,924 
Accumulated net realized gain (loss) on investments and futures contracts   6,077,769    (12,450,782)   (5,288,029)
Net unrealized appreciation on investments and futures contracts   37,212,773    106,908,878    81,307,268 
Net Assets  $612,551,405   $955,217,023   $1,002,102,714 

 

See accompanying notes to financial statements.

16

 

TOPS® Managed Risk ETF Portfolios
Statements of Assets and Liabilities (Continued)
June 30, 2017 (Unaudited)

  

   Managed Risk   Managed Risk   Managed Risk 
   Balanced   Growth   Moderate Growth 
   ETF Portfolio   ETF Portfolio   ETF Portfolio 
                
Class 1 Shares:               
Net assets  $397,399   $29,528,988   $1,698,186 
Total shares of beneficial interest outstanding at end of year ($0 par value, unlimited shares authorized)   33,620    2,509,456    140,996 
                
Net asset value, offering and redemption price per share (Net assets ÷ Total shares of beneficial interest outstanding)  $11.82   $11.77   $12.04 
                
Class 2 Shares:               
Net assets  $507,961,446   $740,145,529   $812,826,251 
Total shares of beneficial interest outstanding at end of year ($0 par value, unlimited shares authorized)   43,264,714    63,294,308    67,829,135 
                
Net asset value, offering and redemption price per share (Net assets ÷ Total shares of beneficial interest outstanding)  $11.74   $11.69   $11.98 
                
Class 3 Shares:               
Net assets  $92,567,189   $175,127,423   $179,310,743 
Total shares of beneficial interest outstanding at end of year               
($0 par value, unlimited shares authorized)   7,848,936    15,036,022    15,002,166 
                
Net asset value, offering and redemption price per share (Net assets ÷ Total shares of beneficial interest outstanding)  $11.79   $11.65   $11.95 
                
                
Class 4 Shares:               
Net assets  $11,625,359   $10,415,071   $8,267,521 
Total shares of beneficial interest outstanding at end of year ($0 par value, unlimited shares authorized)   1,005,371    893,780    696,151 
                
Net asset value, offering and redemption price per share (Net assets ÷ Total shares of beneficial interest outstanding)  $11.56   $11.65   $11.88 
                
                
Investor Class Shares:               
Net assets  $12   $12   $13 
Total shares of beneficial interest outstanding at end of year ($0 par value, unlimited shares authorized)   1    1    1 
                
Net asset value, offering and redemption price per share (Net assets ÷ Total shares of beneficial interest outstanding)  $12.29 (a)  $12.08 (a)  $12.57 (a)

 

(a)NAV does not recalculate due to rounding of net assets.

 

See accompanying notes to financial statements.

17

 

TOPS® Managed Risk ETF Portfolios
Statements of Operations
For the Six Months Ended June 30, 2017 (Unaudited)

  

   Managed Risk   Managed Risk   Managed Risk 
   Balanced   Growth   Moderate Growth 
   ETF Portfolio   ETF Portfolio   ETF Portfolio 
Investment Income:               
Dividend income  $5,257,902   $8,498,544   $9,010,023 
Interest income   211,163    331,079    348,164 
Total Investment Income   5,469,065    8,829,623    9,358,187 
Expenses:               
Investment advisory fees   914,043    1,435,695    1,502,639 
Distribution fees (12b-1) - Class 2 Shares   635,163    933,642    1,020,711 
Distribution fees (12b-1) - Class 3 Shares   155,881    299,787    306,943 
Distribution fees (12b-1) - Class 4 Shares   34,986    30,466    24,429 
Related parties and administrative service fees   304,681    478,565    500,880 
Total Expenses   2,044,754    3,178,155    3,355,602 
Net Investment Income   3,424,311    5,651,468    6,002,585 
Realized and Unrealized Gain on Investments and Futures Contracts:               
Net realized gain on:               
Investments   4,817,365    16,342,709    13,085,997 
Futures contracts   2,371,817    5,839,779    5,372,150 
    7,189,182    22,182,488    18,458,147 
Net change in unrealized appreciation on:               
Unaffiliated Investments   18,170,544    41,308,133    34,143,305 
Futures contracts   372,941    1,080,494    893,664 
    18,543,485    42,388,627    35,036,969 
Net Realized and Unrealized Gain on Investments and Futures Contracts   25,732,667    64,571,115    53,495,116 
Net Increase in Net Assets Resulting from Operations  $29,156,978   $70,222,583   $59,497,701 

 

See accompanying notes to financial statements.

18

 

TOPS® Managed Risk ETF Portfolios
Statements of Changes in Net Assets

 

   Managed Risk Balanced ETF Portfolio 
   Six Months Ended     
   June 30, 2017   Year Ended 
   (Unaudited)   December 31, 2016 
Increase (Decrease) in Net Assets:          
From Operations:          
Net investment income  $3,424,311   $9,174,853 
Net realized gain on investments and futures contracts   7,189,182    1,593,978 
Distributions of realized gains by underlying investment companies   —    312 
Net change in unrealized appreciation on investments and futures contracts   18,543,485    25,975,846 
Net increase in net assets resulting from operations   29,156,978    36,744,989 
From Distributions to Shareholders:          
Net Investment Income:          
Class 1   —    (13,006)
Class 2   —    (6,726,128)
Class 3   —    (1,086,424)
Class 4   —    (109,157)
Total distributions to shareholders   —    (7,934,715)
From Shares of Beneficial Interest:          
Proceeds from shares sold          
Class 2   21,491,807    66,541,740 
Class 3   11,093,335    28,063,874 
Class 4   40,314    187,409 
Investor Class   —    1 
Reinvestment of distributions          
Class 1   —    13,006 
Class 2   —    6,726,128 
Class 3   —    1,086,424 
Class 4   —    109,157 
Cost of shares redeemed          
Class 1   (138,327)   (449,561)
Class 2   (49,653,070)   (117,157,993)
Class 3   (9,727,041)   (13,519,628)
Class 4   (539,868)   (1,848,226)
Investor Class   —    (1)
Net decrease in net assets from share transactions of beneficial interest   (27,432,850)   (30,247,670)
Total increase (decrease) in net assets   1,724,128    (1,437,396)
Net Assets:          
Beginning of period   610,827,277    612,264,673 
End of period  $612,551,405   $610,827,277 
Undistributed net investment income at end of period  $12,598,004   $9,173,693 
           

See accompanying notes to financial statements.

19

 

TOPS® Managed Risk ETF Portfolios
Statements of Changes in Net Assets (Continued)

 

   Managed Risk Balanced ETF Portfolio 
   Six Months Ended     
   June 30, 2017   Year Ended 
   (Unaudited)   December 31, 2016 
SHARE ACTIVITY          
Class 1          
Shares Reinvested   —    1,173 
Shares Redeemed   (11,743)   (40,369)
Net decrease in shares of beneficial interest outstanding   (11,743)   (39,196)
           
Class 2          
Shares Sold   1,857,682    6,065,479 
Shares Reinvested   —    609,251 
Shares Redeemed   (4,302,613)   (10,667,132)
Net decrease in shares of beneficial interest outstanding   (2,444,931)   (3,992,402)
           
Class 3          
Shares Sold   955,540    2,549,523 
Shares Reinvested   —    97,876 
Shares Redeemed   (838,955)   (1,215,351)
Net increase in shares of beneficial interest outstanding   116,585    1,432,048 
           
Class 4          
Shares Sold   3,540    17,880 
Shares Reinvested   —    10,014 
Shares Redeemed   (47,193)   (171,422)
Net decrease in shares of beneficial interest outstanding   (43,653)   (143,528)
           
Investor Class          
Shares Sold   —    0 (a)
Shares Redeemed   —    (0) (a)
Net increase in shares of beneficial interest outstanding   —    0 
           
(a)Represents less than one share

 

See accompanying notes to financial statements.

20

 

TOPS® Managed Risk ETF Portfolios
Statements of Changes in Net Assets (Continued)

 

   Managed Risk Growth ETF Portfolio 
   Six Months Ended     
   June 30, 2017   Year Ended 
   (Unaudited)   December 31, 2016 
Increase (Decrease) in Net Assets:          
From Operations:          
Net investment income  $5,651,468   $15,032,889 
Net realized gain (loss) on investments and futures contracts   22,182,488    (20,056,230)
Distributions of realized gains by underlying investment companies   —    245 
Net change in unrealized appreciation on investments and futures contracts   42,388,627    59,102,476 
Net increase in net assets resulting from operations   70,222,583    54,079,380 
From Distributions to Shareholders:          
Net Investment Income:          
Class 1   —    (597,989)
Class 2   —    (12,756,332)
Class 3   —    (2,641,138)
Class 4   —    (136,643)
Total distributions to shareholders   —    (16,132,102)
From Shares of Beneficial Interest:          
Proceeds from shares sold          
Class 2   12,671,311    51,929,321 
Class 3   7,619,376    17,288,037 
Class 4   132,996    186,845 
Investor Class   —    1 
Reinvestment of distributions          
Class 1   —    597,989 
Class 2   —    12,756,332 
Class 3   —    2,641,138 
Class 4   —    136,643 
Cost of shares redeemed          
Class 1   (604,473)   (5,763,106)
Class 2   (79,889,162)   (189,671,067)
Class 3   (13,262,674)   (26,176,820)
Class 4   (671,170)   (1,282,102)
Investor Class   —    (1)
Net decrease in net assets from share transactions of beneficial interest   (74,003,796)   (137,356,790)
Total decrease in net assets   (3,781,213)   (99,409,512)
Net Assets:          
Beginning of period   958,998,236    1,058,407,748 
End of period  $955,217,023   $958,998,236 
Undistributed net investment income at end of period  $20,683,630   $15,032,162 

 

See accompanying notes to financial statements.

21

 

TOPS® Managed Risk ETF Portfolios
Statements of Changes in Net Assets (Continued)

 

   Managed Risk Growth ETF Portfolio 
   Six Months Ended     
   June 30, 2017   Year Ended 
   (Unaudited)   December 31, 2016 
SHARE ACTIVITY          
Class 1          
Shares Reinvested   —    56,414 
Shares Redeemed   (53,182)   (535,911)
Net decrease in shares of beneficial interest outstanding   (53,182)   (479,497)
           
Class 2          
Shares Sold   1,112,867    4,901,566 
Shares Reinvested   —    1,207,986 
Shares Redeemed   (7,015,631)   (17,826,051)
Net decrease in shares of beneficial interest outstanding   (5,902,764)   (11,716,499)
           
Class 3          
Shares Sold   669,410    1,634,860 
Shares Reinvested   —    251,059 
Shares Redeemed   (1,172,186)   (2,471,465)
Net decrease in shares of beneficial interest outstanding   (502,776)   (585,546)
           
Class 4          
Shares Sold   11,591    17,570 
Shares Reinvested   —    12,952 
Shares Redeemed   (60,130)   (123,820)
Net decrease in shares of beneficial interest outstanding   (48,539)   (93,298)
           
Investor Class          
Shares Sold   —    0 (a)
Shares Redeemed   —    (0) (a)
Net increase in shares of beneficial interest outstanding   —    0 
           
(a)Represents less than one share

 

See accompanying notes to financial statements.

22

 

TOPS® Managed Risk ETF Portfolios
Statements of Changes in Net Assets (Continued)

 

   Managed Risk Moderate Growth ETF Portfolio 
   Six Months Ended     
   June 30, 2017   Year Ended 
   (Unaudited)   December 31, 2016 
Increase (Decrease) in Net Assets:          
From Operations:          
Net investment income  $6,002,585   $15,953,456 
Net realized gain (loss) on investments and futures contracts   18,458,147    (12,064,858)
Distributions of realized gains by underlying investment companies   —    505 
Net change in unrealized appreciation on investments and futures contracts   35,036,969    57,171,937 
Net increase in net assets resulting from operations   59,497,701    61,061,040 
From Distributions to Shareholders:          
Net Investment Income:          
Class 1   —    (28,142)
Class 2   —    (12,450,210)
Class 3   —    (2,480,564)
Class 4   —    (98,851)
Total distributions to shareholders   —    (15,057,767)
From Shares of Beneficial Interest:          
Proceeds from shares sold          
Class 2   23,024,477    54,399,577 
Class 3   17,450,034    47,057,640 
Class 4   43,137    97,353 
Investor Class   —    1 
Reinvestment of distributions          
Class 1   —    28,142 
Class 2   —    12,450,210 
Class 3   —    2,480,564 
Class 4   —    98,851 
Cost of shares redeemed          
Class 1   (20,086)   (1,422,263)
Class 2   (73,869,084)   (165,654,714)
Class 3   (18,247,926)   (24,925,105)
Class 4   (531,642)   (1,312,927)
Investor Class   —    (1)
Net decrease in net assets from share transactions of beneficial interest   (52,151,090)   (76,702,672)
Total increase (decrease) in net assets   7,346,611    (30,699,399)
Net Assets:          
Beginning of period   994,756,103    1,025,455,502 
End of period  $1,002,102,714   $994,756,103 
Undistributed net investment income at end of period  $21,954,924   $15,952,339 
           

See accompanying notes to financial statements.

23

 

TOPS® Managed Risk ETF Portfolios
Statements of Changes in Net Assets (Continued)

 

   Managed Risk Moderate Growth ETF Portfolio 
   Six Months Ended     
   June 30, 2017   Year Ended 
   (Unaudited)   December 31, 2016 
SHARE ACTIVITY          
Class 1          
Shares Reinvested   —    2,549 
Shares Redeemed   (1,729)   (131,572)
Net decrease in shares of beneficial interest outstanding   (1,729)   (129,023)
           
Class 2          
Shares Sold   1,971,288    4,945,337 
Shares Reinvested   —    1,131,837 
Shares Redeemed   (6,294,099)   (15,049,331)
Net decrease in shares of beneficial interest outstanding   (4,322,811)   (8,972,157)
           
Class 3          
Shares Sold   1,493,105    4,298,629 
Shares Reinvested   —    225,917 
Shares Redeemed   (1,556,566)   (2,255,997)
Net increase (decrease) in shares of beneficial interest outstanding   (63,461)   2,268,549 
           
Class 4          
Shares Sold   3,744    8,972 
Shares Reinvested   —    9,044 
Shares Redeemed   (46,348)   (119,181)
Net decrease in shares of beneficial interest outstanding   (42,604)   (101,165)
           
Investor Class          
Shares Sold   —    0 (a)
Shares Redeemed   —    (0) (a)
Net increase in shares of beneficial interest outstanding   —    0 
           
(a)Represents less than one share

 

See accompanying notes to financial statements.

24

 

TOPS® Managed Risk ETF Portfolios
Financial Highlights
Managed Risk Balanced ETF Portfolio
 
Selected data based on a share outstanding throughout each period indicated.

 

   Class 1 Shares 
   Six Months Ended                     
   June 30, 2017   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   (Unaudited)   December 31, 2016   December 31, 2015   December 31, 2014   December 31, 2013   December 31, 2012 
                         
Net asset value, beginning of period  $11.26   $10.75   $11.68   $11.52   $10.75   $9.90 
Income (loss) from investment operations:                              
Net investment income (a) (b)   0.08    0.18    0.12    0.18    0.17    0.23 
Net realized and unrealized gain (loss) on investments and futures contracts   0.48    0.50    (0.61)   0.20    0.70    0.63 
Total income (loss) from investment operations   0.56    0.68    (0.49)   0.38    0.87    0.86 
Less distributions from:                              
Net investment income   —    (0.17)   (0.17)   (0.13)   (0.10)   (0.01)
Net realized gain   —    —    (0.27)   (0.09)   —    — 
Total distributions   —    (0.17)   (0.44)   (0.22)   (0.10)   (0.01)
Net asset value, end of period  $11.82   $11.26   $10.75   $11.68   $11.52   $10.75 
Total return (c)   4.97% (f)   6.39%   (4.15)%   3.34%   8.08%   8.69%
Ratios and Supplemental Data:                              
Net assets, end of year (in 000’s)  $397   $511   $909   $5,250   $6,632   $5,314 
Ratio of expenses to average net assets (d)   0.40% (e)   0.40%   0.40%   0.40%   0.40%   0.40%
Ratio of net investment income to average net assets (b)(d)   1.31% (e)   1.62%   1.02%   1.51%   1.51%   2.24%
Portfolio turnover rate   10% (f)   16%   20%   19%   25%   25%
                               
(a)Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(b)Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.

 

(c)Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions, if any.

 

(d)Does not include the expenses of the underlying investment companies in which the Portfolio invests.

 

(e)Annualized.

 

(f)Not annualized.

 

See accompanying notes to financial statements.

25

 

TOPS® Managed Risk ETF Portfolios
Financial Highlights
Managed Risk Balanced ETF Portfolio
 
Selected data based on a share outstanding throughout each period indicated.

 

   Class 2 Shares 
   Six Months Ended                     
   June 30, 2017   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   (Unaudited)   December 31, 2016   December 31, 2015   December 31, 2014   December 31, 2013   December 31, 2012 
                         
Net asset value, beginning of period  $11.20   $10.68   $11.62   $11.47   $10.71   $9.89 
Income (loss) from investment operations:                              
Net investment income (a) (b)   0.07    0.16    0.14    0.15    0.14    0.26 
Net realized and unrealized gain (loss) on investments and futures contracts   0.47    0.50    (0.67)   0.20    0.71    0.57 
Total income (loss) from investment operations   0.54    0.66    (0.53)   0.35    0.85    0.83 
Less distributions from:                              
Net investment income   —    (0.14)   (0.14)   (0.11)   (0.09)   (0.01)
Net realized gain   —    —    (0.27)   (0.09)   —    — 
Total distributions   —    (0.14)   (0.41)   (0.20)   (0.09)   (0.01)
Net asset value, end of period  $11.74   $11.20   $10.68   $11.62   $11.47   $10.71 
Total return (c)   4.82% (f)   6.22%   (4.50)%   3.06%   7.93%   8.39%
Ratios and Supplemental Data:                              
Net assets, end of year (in 000’s)  $507,961   $511,731   $531,055   $592,975   $529,690   $346,206 
Ratio of expenses to average net assets (d)   0.65% (e)   0.65%   0.65%   0.65%   0.65%   0.65%
Ratio of net investment income to average net assets (b) (d)   1.14% (e)   1.50%   1.21%   1.32%   1.30%   2.49%
Portfolio turnover rate   10% (f)   16%   20%   19%   25%   25%
                               
(a)Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(b)Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.

 

(c)Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions, if any.

 

(d)Does not include the expenses of the underlying investment companies in which the Portfolio invests.

 

(e)Annualized.

 

(f)Not annualized.

 

See accompanying notes to financial statements.

26

 

TOPS® Managed Risk ETF Portfolios
Financial Highlights
Managed Risk Balanced ETF Portfolio
 
Selected data based on a share outstanding throughout each period indicated.

 

   Class 3 Shares 
   Six Months Ended                     
   June 30, 2017   Year Ended   Year Ended   Year Ended   Year Ended   Period Ended 
   (Unaudited)   December 31, 2016   December 31, 2015   December 31, 2014   December 31, 2013   December 31, 2012 (a) 
                         
Net asset value, beginning of period  $11.25   $10.75   $11.69   $11.56   $10.83   $10.42 
Income (loss) from investment operations:                              
Net investment income (b) (c)   0.06    0.16    0.13    0.15    0.22    0.19 
Net realized and unrealized gain (loss) on investments and futures contracts   0.48    0.49    (0.66)   0.20    0.61    0.22 
Total income (loss) from investment operations   0.54    0.65    (0.53)   0.35    0.83    0.41 
Less distributions from:                              
Net investment income   —    (0.15)   (0.14)   (0.13)   (0.10)   — 
Net realized gain   —    —    (0.27)   (0.09)   —    — 
Total distributions   —    (0.15)   (0.41)   (0.22)   (0.10)   — 
Net asset value, end of period  $11.79   $11.25   $10.75   $11.69   $11.56   $10.83 
Total return (d)   4.80%   6.02%   (4.54)%   3.00%   7.65%   3.93%
Ratios and Supplemental Data:                              
Net assets, end of period (in 000’s)  $92,567   $86,999   $67,731   $58,657   $40,788   $16 (g)
Ratio of expenses to average net assets (e)   0.75% (f)   0.75%   0.75%   0.75%   0.75%   0.75% (f)
Ratio of net investment income to average net assets (c) (e)   1.06% (f)   1.47%   1.17%   1.25%   1.93%   2.72% (f)
Portfolio turnover rate   10% (g)   16%   20%   19%   25%   25%
                               
(a)The Managed Risk Balanced ETF Portfolio Class 3 commenced operations on May 1, 2012.

 

(b)Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(c)Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.

 

(d)Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions, if any. Total returns for periods of less than one year are not annualized.

 

(e)Does not include the expenses of the underlying investment companies in which the Portfolio invests.

 

(f)Annualized.

 

(g)Not annualized.

 

See accompanying notes to financial statements.

27

 

TOPS® Managed Risk ETF Portfolios
Financial Highlights
Managed Risk Balanced ETF Portfolio
 
Selected data based on a share outstanding throughout each period indicated.

 

   Class 4 Shares 
   Six Months Ended                     
   June 30, 2017   Year Ended   Year Ended   Year Ended   Year Ended   Period Ended 
   (Unaudited)   December 31, 2016   December 31, 2015   December 31, 2014   December 31, 2013   December 31, 2012 (a) 
                         
Net asset value, beginning of period  $11.05   $10.54   $11.49   $11.39   $10.69   $10.42 
Income (loss) from investment operations:                              
Net investment income (b) (c)   0.05    0.12    0.10    0.13    0.13    0.76 
Net realized and unrealized gain (loss) on investments and futures contracts   0.46    0.49    (0.65)   0.18    0.67    (0.49) (d)
Total income (loss) from investment operations   0.51    0.61    (0.55)   0.31    0.80    0.27 
Less distributions from:                              
Net investment income   —    (0.10)   (0.13)   (0.12)   (0.10)   — 
Net realized gain   —    —    (0.27)   (0.09)   —    — 
Total distributions   —    (0.10)   (0.40)   (0.21)   (0.10)   — 
Net asset value, end of period  $11.56   $11.05   $10.54   $11.49   $11.39   $10.69 
Total return (e)   4.62%   5.82%   (4.77)%   2.69%   7.47%   2.59%
Ratios and Supplemental Data:                              
Net assets, end of period (in 000’s)  $11,625   $11,587   $12,570   $11,319   $5,327   $284 
Ratio of expenses to average net assets (f)   1.00% (g)   1.00%   1.00%   1.00%   1.00%   1.00% (g)
Ratio of net investment income to average net assets (c) (f)   0.80% (g)   1.14%   0.89%   1.08%   1.16%   10.49% (g)
Portfolio turnover rate   10% (h)   16%   20%   19%   25%   25%
                               
(a)The Managed Risk Balanced ETF Portfolio Class 4 commenced operations on May 1, 2012.

 

(b)Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(c)Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.

 

(d)The amount of net gain (loss) from securities (both realized and unrealized) per share does not accord with the amounts reported in the Statements of Operations for the period ended December 31, 2012 due to the timing of purchases and redemptions of Portfolio shares during the period.

 

(e)Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions, if any. Total returns for periods of less than one year are not annualized.

 

(f)Does not include the expenses of the underlying investment companies in which the Portfolio invests.

 

(g)Annualized.

 

(h)Not annualized.

 

See accompanying notes to financial statements.

28

 

TOPS® Managed Risk ETF Portfolios
Financial Highlights
Managed Risk Balanced ETF Portfolio
 
Selected data based on a share outstanding throughout the period indicated.

 

   Investor Class Shares 
   Six Months Ended         
   June 30, 2017   Year Ended   Period Ended 
   (Unaudited)   December 31, 2016   December 31, 2015(a) 
             
Net asset value, beginning of period  $11.75   $11.09   $11.74 
Income (loss) from investment operations:               
Net investment income (b) (c)   0.07    0.16    0.05 
Net realized and unrealized gain (loss) on investments   0.47    0.50    (0.70)
Total income (loss) from investment operations   0.54    0.66    (0.65)
Net asset value, end of period  $12.29   $11.75   $11.09 
Total return (d)   4.60%   5.95%   (5.54)%
Ratios and Supplemental Data:               
Net assets, end of period  $12 (g)  $12 (g)  $11 (g)
Ratio of expenses to average net assets (e)   0.90% (f)   0.90%   0.90% (f)
Ratio of net investment income to average net assets (c) (e)   0.89% (f)   1.25%   0.96% (f)
Portfolio turnover rate   10% (h)   16%   20%
                
(a)The Managed Risk Balanced ETF Portfolio Investor Class commenced operations on July 22, 2015.

 

(b)Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(c)Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.

 

(d)Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions, if any. Total returns for periods of less than one year are not annualized.

 

(e)Does not include the expenses of the underlying investment companies in which the Portfolio invests.

 

(f)Annualized.

 

(g)Actual net assets, not truncated.

 

(h)Not annualized.

 

See accompanying notes to financial statements.

29

 

TOPS® Managed Risk ETF Portfolios
Financial Highlights
Managed Risk Growth ETF Portfolio
 
Selected data based on a share outstanding throughout each period indicated.

 

   Class 1 Shares 
   Six Months Ended                     
   June 30, 2017   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   (Unaudited)   December 31, 2016   December 31, 2015   December 31, 2014   December 31, 2013   December 31, 2012 
                         
Net asset value, beginning of period  $10.93   $10.53   $11.82   $11.77   $10.22   $9.43 
Income (loss) from investment operations:                              
Net investment income (a) (b)   0.08    0.19    0.18    0.19    0.18    0.21 
Net realized and unrealized gain (loss) on investments and futures contracts   0.76    0.42    (1.23)   (0.02)   1.48    0.59 
Total income (loss) from investment operations   0.84    0.61    (1.05)   0.17    1.66    0.80 
Less distributions from:                              
Net investment income   —    (0.21)   (0.19)   (0.12)   (0.11)   (0.01)
Net realized gain   —    —    (0.05)   —    —    — 
Total distributions   —    (0.21)   (0.24)   (0.12)   (0.11)   (0.01)
Net asset value, end of period  $11.77   $10.93   $10.53   $11.82   $11.77   $10.22 
Total return (c)   7.69% (f)   5.87%   (8.86)%   1.49%   16.32%   8.45%
Ratios and Supplemental Data:                              
Net assets, end of year (in 000’s)  $29,529   $28,004   $32,032   $39,059   $36,004   $24,123 
Ratio of expenses to average net assets (d)   0.40% (e)   0.40%   0.40%   0.40%   0.40%   0.40%
Ratio of net investment income to average net assets (b) (d)   1.47% (e)   1.74%   1.59%   1.64%   1.66%   2.12%
Portfolio turnover rate   10% (f)   12%   15%   14%   15%   8%
                               
(a)Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(b)Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.

 

(c)Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions, if any.

 

(d)Does not include the expenses of the underlying investment companies in which the Portfolio invests.

 

(e)Annualized.

 

(f)Not annualized.

 

See accompanying notes to financial statements.

30

 

TOPS® Managed Risk ETF Portfolios
Financial Highlights
Managed Risk Growth ETF Portfolio
 
Selected data based on a share outstanding throughout each period indicated.

 

   Class 2 Shares 
   Six Months Ended                     
   June 30, 2017   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   (Unaudited)   December 31, 2016   December 31, 2015   December 31, 2014   December 31, 2013   December 31, 2012 
                         
Net asset value, beginning of period  $10.87   $10.47   $11.76   $11.71   $10.19   $9.42 
Income (loss) from investment operations:                              
Net investment income (a) (b)   0.07    0.16    0.15    0.17    0.15    0.24 
Net realized and unrealized gain (loss) on investments and futures contracts   0.75    0.42    (1.23)   (0.02)   1.47    0.54 
Total income (loss) from investment operations   0.82    0.58    (1.08)   0.15    1.62    0.78 
Less distributions from:                              
Net investment income   —    (0.18)   (0.16)   (0.10)   (0.10)   (0.01)
Net realized gain   —    —    (0.05)   —    —    — 
Total distributions   —    (0.18)   (0.21)   (0.10)   (0.10)   (0.01)
Net asset value, end of period  $11.69   $10.87   $10.47   $11.76   $11.71   $10.19 
Total return (c)   7.54% (f)   5.57%   (9.15)%   1.31%   15.96%   8.24%
Ratios and Supplemental Data:                              
Net assets, end of year (in 000’s)  $740,146   $752,397   $847,241   $1,029,438   $888,391   $573,528 
Ratio of expenses to average net assets (d)   0.65% (e)   0.65%   0.65%   0.65%   0.65%   0.65%
Ratio of net investment income to average net assets (b) (d)   1.19% (e)   1.50%   1.34%   1.41%   1.40%   2.43%
Portfolio turnover rate   10% (f)   12%   15%   14%   15%   8%
                               
(a)Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(b)Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.

 

(c)Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions, if any.

 

(d)Does not include the expenses of the underlying investment companies in which the Portfolio invests.

 

(e)Annualized.

 

(f)Not annualized.

 

See accompanying notes to financial statements.

31

 

TOPS® Managed Risk ETF Portfolios
Financial Highlights
Managed Risk Growth ETF Portfolio
 
Selected data based on a share outstanding throughout each period indicated.

 

   Class 3 Shares 
   Six Months Ended                     
   June 30, 2017   Year Ended   Year Ended   Year Ended   Year Ended   Period Ended 
   (Unaudited)   December 31, 2016   December 31, 2015   December 31, 2014   December 31, 2013   December 31, 2012 (a) 
                         
Net asset value, beginning of period  $10.84   $10.44   $11.72   $11.70   $10.15   $9.95 
Income (loss) from investment operations:                              
Net investment income (b) (c)   0.06    0.15    0.14    0.16    0.26    0.17 
Net realized and unrealized gain (loss) on investments and futures contracts   0.75    0.42    (1.22)   (0.02)   1.40    0.03 
Total income (loss) from investment operations   0.81    0.57    (1.08)   0.14    1.66    0.20 
Less distributions from:                              
Net investment income   —    (0.17)   (0.15)   (0.12)   (0.11)   — 
Net realized gain   —    —    (0.05)   —    —    — 
Total distributions   —    (0.17)   (0.20)   (0.12)   (0.11)   — 
Net asset value, end of period  $11.65   $10.84   $10.44   $11.72   $11.70   $10.15 
Total return (d)   7.47%   5.51%   (9.22)%   1.18%   16.43%   2.01%
Ratios and Supplemental Data:                              
Net assets, end of period (in 000’s)  $175,127   $168,368   $168,305   $206,885   $133,241   $15 (g)
Ratio of expenses to average net assets (e)   0.75% (f)   0.75%   0.75%   0.75%   0.75%   0.75% (f)
Ratio of net investment income to average net assets (c) (e)   1.12% (f)   1.44%   1.24%   1.35%   2.28%   2.67% (f)
Portfolio turnover rate   10% (h)   12%   15%   14%   15%   8%
                               
(a)The Managed Risk Growth ETF Portfolio Class 3 commenced operations on May 1, 2012.

 

(b)Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(c)Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.

 

(d)Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions, if any. Total returns for periods of less than one year are not annualized.

 

(e)Does not include the expenses of the underlying investment companies in which the Portfolio invests.

 

(f)Annualized.

 

(g)Actual net assets, not truncated.

 

(h)Not annualized.

 

See accompanying notes to financial statements.

32

 

TOPS® Managed Risk ETF Portfolios
Financial Highlights
Managed Risk Growth ETF Portfolio
 
Selected data based on a share outstanding throughout each period indicated.

 

   Class 4 Shares 
   Six Months Ended                     
   June 30, 2017   Year Ended   Year Ended   Year Ended   Year Ended   Period Ended 
   (Unaudited)   December 31, 2016   December 31, 2015   December 31, 2014   December 31, 2013   December 31, 2012 (a) 
                         
Net asset value, beginning of period  $10.85   $10.46   $11.77   $11.77   $10.28   $9.95 
Income (loss) from investment operations:                              
Net investment income (b) (c)   0.05    0.12    0.13    0.14    0.17    0.47 
Net realized and unrealized gain (loss) on investments and futures contracts   0.75    0.41    (1.23)   (0.04)   1.43    (0.14) (d)
Total income (loss) from investment operations   0.80    0.53    (1.10)   0.10    1.60    0.33 
Less distributions from:                              
Net investment income   —    (0.14)   (0.16)   (0.10)   (0.11)   — 
Net realized gain   —    —    (0.05)   —    —    — 
Total distributions   —    (0.14)   (0.21)   (0.10)   (0.11)   — 
Net asset value, end of period  $11.65   $10.85   $10.46   $11.77   $11.77   $10.28 
Total return (e)   7.37%   5.15%   (9.38)%   0.88%   15.64%   3.32%
Ratios and Supplemental Data:                              
Net assets, end of period (in 000’s)  $10,415   $10,228   $10,829   $7,510   $4,689   $151 
Ratio of expenses to average net assets (f)   1.00% (g)   1.00%   1.00%   1.00%   1.00%   1.00% (g)
Ratio of net investment income to average net assets (c) (f)   0.87% (g)   1.17%   1.13%   1.16%   1.48%   6.97% (g)
Portfolio turnover rate   10% (h)   12%   15%   14%   15%   8%
                               
(a)The Managed Risk Growth ETF Portfolio Class 4 commenced operations on May 1, 2012.

 

(b)Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(c)Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.

 

(d)The amount of net gain (loss) from securities (both realized and unrealized) per share does not accord with the amounts reported in the Statements of Operations for the period ended December 31, 2012 due to the timing of purchases and redemptions of Portfolio shares during the period.

 

(e)Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions, if any. Total returns for periods of less than one year are not annualized.

 

(f)Does not include the expenses of the underlying investment companies in which the Portfolio invests.

 

(g)Annualized.

 

(h)Not annualized.

 

See accompanying notes to financial statements.

33

 

TOPS® Managed Risk ETF Portfolios
Financial Highlights
Managed Risk Growth ETF Portfolio
 
Selected data based on a share outstanding throughout the period indicated.

 

   Investor Class Shares 
   Six Months Ended         
   June 30, 2017   Year Ended   Period Ended 
   (Unaudited)   December 31, 2016   December 31, 2015(a) 
             
Net asset value, beginning of period  $11.26   $10.68   $11.74 
Income (loss) from investment operations:               
Net investment income (b) (c)   0.07    0.16    0.05 
Net realized and unrealized gain (loss) on investments   0.75    0.42    (1.11)
Total income (loss) from investment operations   0.82    0.58    (1.06)
Net asset value, end of period  $12.08   $11.26   $10.68 
Total return (d)   7.28%   5.43%   (9.03)%
Ratios and Supplemental Data:               
Net assets, end of period  $12 (g)  $11 (g)  $11 (g)
Ratio of expenses to average net assets (e)   0.90% (f)   0.90%   0.90% (f)
Ratio of net investment income to average net assets (c) (e)   0.94% (f)   1.25%   1.09% (f)
Portfolio turnover rate   10% (h)   12%   15%
                
(a)The Managed Risk Growth ETF Portfolio Investor Class commenced operations on July 22, 2015.

 

(b)Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(c)Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.

 

(d)Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions, if any. Total returns for periods of less than one year are not annualized.

 

(e)Does not include the expenses of the underlying investment companies in which the Portfolio invests.

 

(f)Annualized

 

(g)Actual net assets, not truncated.

 

(h)Not annualized.

 

See accompanying notes to financial statements.

34

 

TOPS® Managed Risk ETF Portfolios
Financial Highlights
Managed Risk Moderate Growth ETF Portfolio
 
Selected data based on a share outstanding throughout each period indicated.

 

   Class 1 Shares 
   Six Months Ended                     
   June 30, 2017   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   (Unaudited)   December 31, 2016   December 31, 2015   December 31, 2014   December 31, 2013   December 31, 2012 
                         
Net asset value, beginning of period  $11.34   $10.84   $12.02   $11.93   $10.68   $9.82 
Income (loss) from investment operations:                              
Net investment income (a) (b)   0.09    0.18    0.17    0.20    0.18    0.25 
Net realized and unrealized gain (loss) on investments and futures contracts   0.61    0.52    (0.90)   0.18    1.17    0.62 
Total income (loss) from investment operations   0.70    0.70    (0.73)   0.38    1.35    0.87 
Less distributions from:                              
Net investment income   —    (0.20)   (0.19)   (0.15)   (0.10)   (0.01)
Net realized gain   —    —    (0.26)   (0.14)   —    — 
Total distributions   —    (0.20)   (0.45)   (0.29)   (0.10)   (0.01)
Net asset value, end of period  $12.04   $11.34   $10.84   $12.02   $11.93   $10.68 
Total return (c)   6.17% (f)   6.50%   (6.10)%   3.16%   12.66%   8.88%
Ratios and Supplemental Data:                              
Net assets, end of year (in 000’s)  $1,698   $1,618   $2,945   $6,286   $6,389   $6,068 
Ratio of expenses to average net assets (d)   0.40% (e)   0.40%   0.40%   0.40%   0.40%   0.40%
Ratio of net investment income to average net assets (b) (d)   1.48% (e)   1.68%   1.44%   1.65%   1.57%   2.46%
Portfolio turnover rate   10% (f)   13%   20%   19%   25%   12%
                               
(a)Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(b)Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.

 

(c)Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions, if any.

 

(d)Does not include the expenses of the underlying investment companies in which the Portfolio invests.

 

(e)Annualized.

 

(f)Not annualized.

 

See accompanying notes to financial statements.

35

 

TOPS® Managed Risk ETF Portfolios
Financial Highlights
Managed Risk Moderate Growth ETF Portfolio
 
Selected data based on a share outstanding throughout each period indicated.

 

   Class 2 Shares 
   Six Months Ended                     
   June 30, 2017   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   (Unaudited)   December 31, 2016   December 31, 2015   December 31, 2014   December 31, 2013   December 31, 2012 
                         
Net asset value, beginning of period  $11.30   $10.79   $11.97   $11.90   $10.67   $9.83 
Income (loss) from investment operations:                              
Net investment income (a) (b)   0.07    0.17    0.16    0.18    0.17    0.27 
Net realized and unrealized gain (loss) on investments and futures contracts   0.61    0.51    (0.92)   0.15    1.15    0.58 
Total income (loss) from investment operations   0.68    0.68    (0.76)   0.33    1.32    0.85 
Less distributions from:                              
Net investment income   —    (0.17)   (0.16)   (0.12)   (0.09)   (0.01)
Net realized gain   —    —    (0.26)   (0.14)   —    — 
Total distributions   —    (0.17)   (0.42)   (0.26)   (0.09)   (0.01)
Net asset value, end of period  $11.98   $11.30   $10.79   $11.97   $11.90   $10.67 
Total return (c)   6.02% (f)   6.31%   (6.36)%   2.81%   12.39%   8.66%
Ratios and Supplemental Data:                              
Net assets, end of year (in 000’s)  $812,826   $815,029   $875,534   $971,963   $814,589   $514,568 
Ratio of expenses to average net assets (d)   0.65% (e)   0.65%   0.65%   0.65%   0.65%   0.65%
Ratio of net investment income to average net assets (b) (d)   1.22% (e)   1.59%   1.36%   1.46%   1.49%   2.57%
Portfolio turnover rate   10% (f)   13%   20%   19%   25%   12%
                               
(a)Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(b)Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.

 

(c)Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions, if any.

 

(d)Does not include the expenses of the underlying investment companies in which the Portfolio invests.

 

(e)Annualized.

 

(f)Not annualized.

 

See accompanying notes to financial statements.

36

 

TOPS® Managed Risk ETF Portfolios
Financial Highlights
Managed Risk Moderate Growth ETF Portfolio
 
Selected data based on a share outstanding throughout each period indicated.

 

   Class 3 Shares 
   Six Months Ended                     
   June 30, 2017   Year Ended   Year Ended   Year Ended   Year Ended   Period Ended 
   (Unaudited)   December 31, 2016   December 31, 2015   December 31, 2014   December 31, 2013   December 31, 2012 (a) 
                         
Net asset value, beginning of period  $11.27   $10.78   $11.96   $11.91   $10.67   $10.39 
Income (loss) from investment operations:                              
Net investment income (b) (c)   0.07    0.17    0.15    0.16    0.25    0.20 
Net realized and unrealized gain (loss) on investments and futures contracts   0.61    0.49    (0.92)   0.17    1.09    0.08 
Total income (loss) from investment operations   0.68    0.66    (0.77)   0.33    1.34    0.28 
Less distributions from:                              
Net investment income   —    (0.17)   (0.15)   (0.14)   (0.10)   — 
Net realized gain   —    —    (0.26)   (0.14)   —    — 
Total distributions   —    (0.17)   (0.41)   (0.28)   (0.10)   — 
Net asset value, end of period  $11.95   $11.27   $10.78   $11.96   $11.91   $10.67 
Total return (d)   6.03%   6.14%   (6.46)%   2.75%   12.57%   2.69%
Ratios and Supplemental Data:                              
Net assets, end of period (in 000’s)  $179,311   $169,824   $137,981   $130,856   $101,414   $15 (g)
Ratio of expenses to average net assets (e)   0.75% (f)   0.75%   0.75%   0.75%   0.75%   0.75% (f)
Ratio of net investment income to average net assets (c) (e)   1.13% (f)   1.56%   1.31%   1.36%   2.17%   2.95% (f)
Portfolio turnover rate   10% (h)   13%   20%   19%   25%   12%
                               
(a)The Managed Risk Moderate Growth ETF Portfolio Class 3 commenced operations on May 1, 2012.

 

(b)Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(c)Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.

 

(d)Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions, if any. Total returns for periods of less than one year are not annualized.

 

(e)Does not include the expenses of the underlying investment companies in which the Portfolio invests.

 

(f)Annualized.

 

(g)Actual net assets, not truncated.

 

(h)Not annualized.

 

See accompanying notes to financial statements.

37

 

TOPS® Managed Risk ETF Portfolios
Financial Highlights
Managed Risk Moderate Growth ETF Portfolio
 
Selected data based on a share outstanding throughout each period indicated.

 

   Class 4 Shares 
   Six Months Ended                     
   June 30, 2017   Year Ended   Year Ended   Year Ended   Year Ended   Period Ended 
   (Unaudited)   December 31, 2016   December 31, 2015   December 31, 2014   December 31, 2013   December 31, 2012 (a) 
                         
Net asset value, beginning of period  $11.21   $10.71   $11.91   $11.89   $10.70   $10.39 
Income (loss) from investment operations:                              
Net investment income (b) (c)   0.05    0.14    0.12    0.16    0.18    0.58 
Net realized and unrealized gain (loss) on investments and futures contracts   0.62    0.48    (0.91)   0.14    1.11    (0.27) (d)
Total income (loss) from investment operations   0.67    0.62    (0.79)   0.30    1.29    0.31 
Less distributions from:                              
Net investment income   —    (0.12)   (0.15)   (0.14)   (0.10)   — 
Net realized gain   —    —    (0.26)   (0.14)   —    — 
Total distributions   —    (0.12)   (0.41)   (0.28)   (0.10)   — 
Net asset value, end of period  $11.88   $11.21   $10.71   $11.91   $11.89   $10.70 
Total return (e)   5.98%   5.84%   (6.67)%   2.50%   12.07%   2.98%
Ratios and Supplemental Data:                              
Net assets, end of period (in 000’s)  $8,268   $8,285   $8,996   $9,508   $2,145   $77 
Ratio of expenses to average net assets (f)   1.00% (g)   1.00%   1.00%   1.00%   1.00%   1.00% (g)
Ratio of net investment income to average net assets (c)(f)   0.87% (g)   1.24%   1.02%   1.37%   1.56%   8.19% (g)
Portfolio turnover rate   10% (h)   13%   20%   19%   25%   12%
                               
(a)The Managed Risk Moderate Growth ETF Portfolio Class 4 commenced operations on May 1, 2012.

 

(b)Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(c)Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.

 

(d)The amount of net gain (loss) from securities (both realized and unrealized) per share does not accord with the amounts reported in the Statements of Operations for the period ended December 31, 2012 due to the timing of purchases and redemptions of Portfolio shares during the period.

 

(e)Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions, if any. Total returns for periods of less than one year are not annualized.

 

(f)Does not include the expenses of the underlying investment companies in which the Portfolio invests.

 

(g)Annualized.

 

(h)Not annualized.

 

See accompanying notes to financial statements.

38

 

TOPS® Managed Risk ETF Portfolios
Financial Highlights
Managed Risk Moderate Growth ETF Portfolio
 
Selected data based on a share outstanding throughout the period indicated.

 

   Investor Class Shares 
   Six Months Ended         
   June 30, 2017   Year Ended   Period Ended 
   (Unaudited)   December 31, 2016   December 31, 2015(a) 
             
Net asset value, beginning of period  $11.89   $11.21   $12.11 
Income (loss) from investment operations:               
Net investment income (b) (c)   0.07    0.17    0.06 
Net realized and unrealized gain (loss) on investments   0.61    0.51    (0.96)
Total income (loss) from investment operations   0.68    0.68    (0.90)
Net asset value, end of period  $12.57   $11.89   $11.21 
Total return (d)   5.72%   6.07%   (7.43)%
Ratios and Supplemental Data:               
Net assets, end of period  $13 (g)  $12 (g)  $11 (g)
Ratio of expenses to average net assets (e)   0.90% (f)   0.90%   0.90% (f)
Ratio of net investment income to average net assets (c) (e)   0.97% (f)   1.34%   1.11% (f)
Portfolio turnover rate   10% (h)   13%   20%
                
(a)The Managed Risk Moderate Growth ETF Portfolio Investor Class commenced operations on July 22, 2015.

 

(b)Net investment income has been calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(c)Recognition of net investment income by the Portfolio is affected by the timing of the declaration of dividends by the underlying investment companies in which the Portfolio invests.

 

(d)Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions, if any. Total returns for periods of less than one year are not annualized.

 

(e)Does not include the expenses of the underlying investment companies in which the Portfolio invests.

 

(f)Annualized.

 

(g)Actual net assets, not truncated.

 

(h)Not annualized.

 

See accompanying notes to financial statements.

39

 

TOPS® Managed Risk ETF Portfolios
NOTES TO FINANCIAL STATEMENTS
June 30, 2017 (Unaudited)
 
1.ORGANIZATION

 

The TOPS® Managed Risk ETF Portfolios (each a “Portfolio”, collectively the “Portfolios”) are comprised of three different actively managed portfolios. Each Portfolio is a diversified series of shares of beneficial interest of Northern Lights Variable Trust (the “Trust”), a statutory trust organized on November 2, 2005 under the laws of the State of Delaware and registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Portfolios are intended to be funding vehicles for variable annuity contracts and flexible premium variable life insurance policies offered by the separate accounts of various insurance companies. The assets of each Portfolio are segregated and a shareholder’s interest is limited to the Portfolio in which shares are held. Each Portfolio pays its own expenses. The investment objective of each Portfolio is as follows:

 

Portfolio   Primary Objective
     
Managed Risk Balanced ETF Portfolio   Income and capital appreciation with less volatility than the fixed income and equity markets as a whole.
     
Managed Risk Growth ETF Portfolio   Capital appreciation with less volatility than the equity markets as a whole.
     
Managed Risk Moderate Growth Portfolio   Capital appreciation with less volatility than the equity markets as a whole.
     

The Portfolios currently offer five classes of shares: Class 1 Shares, Class 2 Shares, Class 3 Shares, Class 4 Shares, and Investor Class Shares. Each class of shares of the Portfolios has identical rights and privileges except with respect to arrangements pertaining to shareholder servicing or distribution, class-related expenses, voting rights on matters affecting a single class of shares, and the exchange privilege of each class of shares. The Portfolios’ share classes differ in the fees and expenses charged to shareholders. The Portfolios’ income, expenses (other than class specific distribution fees) and realized and unrealized gains and losses are allocated proportionately each day based upon the relative net assets of each class.

 

2.SIGNIFICANT ACCOUNTING POLICIES

 

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 in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets, 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 from operations during the reporting period. Actual results could differ from those estimates. The Portfolios are investment companies and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies” including FASB Accounting Standard Update ASU 2013-08.

 

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 primary exchange 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 Funds of Funds – The Portfolios may invest in portfolios of open-end investment companies. Open-end investment companies are valued at their respective net asset values as reported by such investment companies. Open-end investment companies 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 boards of directors of the open-end investment companies.

40

 

TOPS® Managed Risk ETF Portfolios
NOTES TO FINANCIAL STATEMENTS (Continued)
June 30, 2017 (Unaudited)
 

A Portfolio may hold securities, such as private investments, 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 using the “fair value” procedures approved by the Trust’s 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 a valuation specialist at a public accounting 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 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 ask price is available; the spread between bid and ask 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 investments 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.

 

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 Portfolios have 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 Portfolios’ 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.

41

 

TOPS® Managed Risk ETF Portfolios
NOTES TO FINANCIAL STATEMENTS (Continued)
June 30, 2017 (Unaudited)
 

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 June 30, 2017 for each Portfolio’s investments measured at fair value:

 

TOPS Managed Risk Balanced ETF Portfolio

 

Assets*  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $540,211,968   $—   $—   $540,211,968 
Short-Term Investments   70,578,136    1,995,672    —    72,573,808 
Total  $610,790,104   $1,995,672   $—   $612,785,776 

  

Liabilities  Level 1   Level 2   Level 3   Total 
Long Futures Contracts **  $(1,134)  $—   $—   $(1,134)

 

TOPS Managed Risk Growth ETF Portfolio

 

Assets*  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $842,691,330   $—   $—   $842,691,330 
Short-Term Investments   109,289,689    3,991,344    —    113,281,033 
Total  $951,981,019   $3,991,344   $—   $955,972,363 
                     

  

Liabilities  Level 1   Level 2   Level 3   Total 
Long Futures Contracts **  $(3,649)  $—   $—   $(3,649)

 

TOPS Managed Risk Moderate Growth ETF Portfolio

 

Assets*  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $884,837,241   $—   $—   $884,837,241 
Short-Term Investments   115,572,107    3,991,344    —    119,563,451 
Total  $1,000,409,348   $3,991,344   $—   $1,004,400,692 

  

Liabilities  Level 1   Level 2   Level 3   Total 
Long Futures Contracts **  $(8,754)  $—   $—   $(8,754)

 

The Portfolios did not hold any Level 3 securities during the period ended June 30, 2017.

 

There were no transfers into or out of any level during the period ended June 30, 2017.

 

It is the Portfolios’ policy to record transfers between levels at the end of the reporting period.

 

*Refer to the Portfolios of Investments for security classifications.

 

**Cumulative depreciation of futures contracts is reported in the above table.

42

 

TOPS® Managed Risk ETF Portfolios
NOTES TO FINANCIAL STATEMENTS (Continued)
June 30, 2017 (Unaudited)
 

Security Transactions and Related Income – Security transactions are accounted for on the trade date. Interest income is recognized on an accrual basis. Discounts are accreted and premiums are amortized on securities purchased over the lives of the respective securities. Dividend income is recorded on the ex-dividend date. Realized gains or losses from sales of securities are determined by comparing the identified cost of the security lot sold with the net sales proceeds.

 

Dividends and Distributions to Shareholders – Dividends from net investment income and distributions from net realized capital gains if any, are declared and paid annually. Dividends and distributions to shareholders are recorded on ex-date and are determined in accordance with Federal income tax regulations, which may differ from GAAP. These “book/tax” differences are considered either temporary (e.g., deferred losses, capital loss carryforwards) or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their Federal tax-basis treatment; temporary differences do not require reclassification. These reclassifications have no effect on net assets, results from operations or net asset values per share of the Portfolios.

 

Federal Income Tax – It is each Portfolio’s policy to continue to qualify as a regulated investment company by complying with the provisions of the Internal Revenue Code that are applicable to regulated investment companies and to distribute substantially all of its taxable income and net realized gains to shareholders. Therefore, no Federal income tax provision is required.

 

Each Portfolio will recognize the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed each Portfolio’s tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken in each Portfolio’s 2014-2016 tax returns or expected to be taken in each Portfolio’s 2017 tax returns. Each Portfolio identified its major tax jurisdictions as U.S. Federal, Nebraska and foreign jurisdictions where the Portfolios make significant investments. The Portfolios 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 twelve months.

 

Futures Contracts – The Portfolios 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 (each 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 Statements 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.

 

For the six months ended June 30, 2017, the Portfolios had the following realized losses from futures contracts reported in the Statements of Operations.

 

Portfolio  Location of Gain on Futures  Net Realized Gain 
Managed Risk Balanced ETF Portfolio  Net realized gain on futures contracts  $2,371,817 
Managed Risk Growth ETF Portfolio  Net realized gain on futures contracts   5,839,779 
Managed Risk Moderate Growth ETF Portfolio  Net realized gain on futures contracts   5,372,150 

43

 

TOPS® Managed Risk ETF Portfolios
NOTES TO FINANCIAL STATEMENTS (Continued)
June 30, 2017 (Unaudited)
 

For the six months ended June 30, 2017, the Portfolios had the following changes in unrealized appreciation from futures contracts.

 

      Net Change in Unrealized 
Portfolio  Location of Gain on Futures  Appreciation 
Managed Risk Balanced ETF Portfolio  Net change in unrealized appreciation on futures contracts  $372,941 
Managed Risk Growth ETF Portfolio  Net change in unrealized appreciation on futures contracts   1,080,494 
Managed Risk Moderate Growth ETF Portfolio  Net change in unrealized appreciation on futures contracts   893,664 
         

The notional value of the derivative instruments outstanding as of June 30, 2017 as disclosed in the Portfolios of Investments and the amounts of realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed above and within the Statements of Operations serve as indicators of the volume of derivative activity for each Portfolio.

 

Offsetting of Financial Assets and Derivative Assets

 

It is each Portfolio’s policy to recognize a net asset or liability equal to the unrealized appreciation (depreciation) of futures contracts. During the six months ended June 30, 2017, each Portfolio was subject to a master netting arrangement for the futures. The following table shows additional information regarding the offsetting of assets and liabilities at June 30, 2017:

 

Managed Risk Balanced ETF Portfolio

 

Liabilities:                                  Gross Amounts Not Offset in the
Statement of Assets & Liabilities		          
Description  Gross Amounts
of Recognized
Liabilities		     Gross Amounts
Offset in the
Statement of
Assets &
Liabilities		     Net Amounts of
Liabilities Presented
in the Statement of
Assets & Liabilities		     Financial
Instruments		     Cash Collateral
Pledged		     Net Amount 
Futures Contracts  $1,134 (1)  $— (1)  $1,134   $1,134 (2)  $—   $— 
Total  $1,134   $—   $1,134   $1,134   $—   $— 

 

(1)Gross unrealized appreciation and depreciation as presented in the Portfolio of Investments

 

(2)The amount is limited to the net derivative balance and, accordingly, does not include excess collateral pledged

44

 

TOPS® Managed Risk ETF Portfolios
NOTES TO FINANCIAL STATEMENTS (Continued)
June 30, 2017 (Unaudited)
 

 

Managed Risk Growth ETF Portfolio

 

Liabilities:                                  Gross Amounts Not Offset in the
Statement of Assets & Liabilities		          
Description  Gross Amounts
of Recognized
Liabilities		     Gross Amounts
Offset in the
Statement of
Assets &
Liabilities		     Net Amounts of
Liabilities Presented
in the Statement of
Assets & Liabilities		     Financial
Instruments		     Cash Collateral
Pledged		     Net Amount 
Futures Contracts  $3,649 (1)  $— (1)  $3,649   $3,649 (2)  $—   $— 
Total  $3,649   $—   $3,649   $3,649   $—   $— 

 

(1)Gross unrealized appreciation and depreciation as presented in the Portfolio of Investments

 

(2)The amount is limited to the net derivative balance and, accordingly, does not include excess collateral pledged

 

Liabilities:                                  Gross Amounts Not Offset in the
Statement of Assets & Liabilities		          
Description  Gross Amounts of
Recognized
Liabilities		     Gross Amounts
Offset in the
Statement of
Assets & Liabilities		     Net Amounts of
Liabilities Presented in
the Statement of
Assets & Liabilities		     Financial
Instruments		     Cash Collateral
Pledged		     Net Amount 
Futures Contracts  $8,754 (1)  $— (1)  $8,754   $8,754 (2)  $—   $— 
Total  $8,754   $—   $8,754   $8,754   $—   $— 

 

(1)Gross unrealized appreciation and depreciation as presented in the Portfolio of Investments

 

(2)The amount is limited to the net derivative balance and, accordingly, does not include excess collateral pledged

 

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 typically 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 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.

 

Expenses – Expenses of the Trust that are directly identifiable to a specific portfolio are charged to that portfolio. Expenses, which are not readily identifiable to a specific portfolio, are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the portfolios in the Trust.

 

Indemnification – The Trust indemnifies its officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Portfolios enter into contracts that contain a variety of representations and warranties and which provide general indemnities. Each Portfolio’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Portfolios that have not yet occurred. However, based on experience, the Portfolios expect the risk of loss due to these warranties and indemnities to be remote.

45

 

TOPS® Managed Risk ETF Portfolios
NOTES TO FINANCIAL STATEMENTS (Continued)
June 30, 2017 (Unaudited)
 
3.INVESTMENT TRANSACTIONS

 

For the six months ended June 30, 2017, cost of purchases and proceeds from sales of portfolio securities, other than short-term investments and government securities, were as follows:

 

Portfolio  Purchases   Sales 
Managed Risk Balanced ETF Portfolio  $52,075,767   $74,614,134 
Managed Risk Growth ETF Portfolio   81,834,985    143,698,129 
Managed Risk Moderate Growth ETF Portfolio   90,193,317    131,160,850 
           
4.INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH RELATED PARTIES

 

ValMark Advisers, Inc. serves as the Portfolios’ investment advisor (the “Advisor”). The Advisor has engaged Milliman Financial Risk Management, LLC as the Portfolios’ Sub-Advisor (the “Sub-Advisor”). Pursuant to an advisory agreement with the Trust, the Advisor, under the oversight of the Board, directs the daily operations of the Portfolios and supervises the performance of administrative and professional services provided by others. As compensation for its services and the related expenses borne by the Advisor, the Portfolios pay the Advisor a management fee, computed on average daily net assets and accrued daily and paid monthly, at an annual rate of 0.30% of each Portfolio’s average daily net assets. Pursuant to a sub-advisory agreement between the Advisor and Sub-Advisor, on behalf of the Managed Risk Portfolios, the Advisor, not the Portfolios, pays the Sub-Advisor a fee, which is computed and accrued daily and paid monthly. For the six months ended June 30, 2017, the Portfolios paid the following in advisory fees.

 

Portfolio  Advisory Fees 
Managed Risk Balanced ETF Portfolio  $914,043 
Managed Risk Growth ETF Portfolio   1,435,695 
Managed Risk Moderate Growth ETF Portfolio   1,502,639 
      

The Trust, with respect to the Portfolios, has adopted the Trust’s Master Distribution and Shareholder Servicing Plan (“12b-1 Plan” or “Plan”) for each of Class 2 shares, Class 3 shares, Class 4 shares, and Investor Class shares. The fee is calculated at an annual rate of 0.25%, 0.35%, 0.60%, and 0.50% of the average daily net assets attributable to each Portfolio’s Class 2 shares, Class 3 shares, Class 4 shares, and Investor Class shares, respectively, and is paid to Northern Lights Distributors, LLC (the “Distributor”) to provide compensation for ongoing shareholder servicing and distribution related activities and/or maintenance of each Portfolio’s shareholder accounts, not otherwise required to be provided by the Advisor. For the six months ended June 30, 2017, the Portfolios paid the following in distribution fees under the Plan.

 

Portfolio  Distribution Fees 
Managed Risk Balanced ETF Portfolio  $826,030 
Managed Risk Growth ETF Portfolio   1,263,896 
Managed Risk Moderate Growth ETF Portfolio   1,352,083 
      

In addition, certain affiliates of the Distributor provide services to the Portfolios as follows:

 

Gemini Fund Services, LLC (“GFS”), an affiliate of the Distributor, provides administration, fund accounting, and transfer agent services to the Trust. Pursuant to the terms of an administrative servicing agreement with GFS, each Portfolio pays to GFS a monthly fee for all operating expenses of the Portfolio, which is calculated by each Portfolio on its average daily net assets. Operating expenses include but are not limited to Fund Accounting, Fund Administration, Transfer Agency, Legal Fees, Audit Fees, Compliance Services, Shareholder Reporting Expense, Trustees fees and Custody Fees. All operating expenses are paid by GFS from the administrative service fees. For the six months ended June 30, 2017, the Trustees received fees in the amount $4,754 on behalf of each Portfolio.

 

The approved entities may be affiliates of GFS and the Distributor. Certain Officers of the Trust are also Officers of GFS, and are not paid any fees directly by the Portfolios for serving in such capacities.

46

 

TOPS® Managed Risk ETF Portfolios
NOTES TO FINANCIAL STATEMENTS (Continued)
June 30, 2017 (Unaudited)
 

Northern Lights Compliance Services, LLC (“NLCS”), an affiliate of GFS and the Distributor, provides a Chief Compliance Officer to the Trust, as well as related compliance services, pursuant to a consulting agreement between NLCS and the Trust. Under the terms of such agreement, NLCS receives customary fees from GFS under the administrative servicing agreement.

 

Blu Giant, LLC (“Blu Giant”), an affiliate of GFS and the Distributor, provides EDGAR conversion and filing services as well as print management services for the Portfolios on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from GFS under the administrative servicing agreement.

 

5.CONTROL OWNERSHIP

 

The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a Portfolio creates presumption of the control of the Portfolio, under section 2(a)(9) of the 1940 Act. As of June 30, 2017, ownership percentages of the holders of the voting securities of each Portfolio that may be deemed to control the Portfolio was as follows:

 

Managed Risk Balanced ETF Portfolio  
Ohio National Life Insurance Company 83%
   
Managed Risk Growth ETF Portfolio  
Ohio National Life Insurance Company 69%
   
Managed Risk Moderate Growth ETF Portfolio  
Ohio National Life Insurance Company 81%

 

The Trust has no knowledge as to whether all or any portion of the shares owned of record are also owned beneficially.

 

6.DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

 

The tax character of Portfolio distributions paid for the year ended December 31, 2016 and December 31, 2015 was as follows:

 

   For the year ended December 31, 2016   For the year ended December 31, 2015 
   Ordinary   Long-Term       Ordinary   Long-Term     
Fund  Income   Capital Gains   Total   Income   Capital Gains   Total 
Managed Risk Balanced ETF Portfolio  $7,934,715   $—   $7,934,715   $8,490,515   $15,545,500   $24,036,015 
                               
Managed Risk Growth ETF Portfolio   16,132,102    —    16,132,102    17,068,804    5,240,406    22,309,210 
                               
Managed Risk Moderate Growth ETF Portfolio   15,057,767    —    15,057,767    15,013,241    24,438,045    39,451,286 

 

As of December 31, 2016, the components of accumulated earnings/(deficit) on a tax basis were as follows:

 

   Undistributed   Undistributed   Capital Loss   Post   Unrealized   Total 
   Ordinary   Long-Term   Carry   October   Appreciation/   Accumulated 
Fund  Income   Capital Gains   Forwards   Loss   (Depreciation)   Earnings/(Deficits) 
Managed Risk Balanced ETF Portfolio   9,173,693    941,142    —    —    16,616,733    26,731,568 
                               
Managed Risk Growth ETF Portfolio   15,032,162    —    (31,309,929)   —    61,196,910    44,919,143 
                               
Managed Risk Moderate Growth ETF Portfolio   15,952,339    —    (20,738,160)   —    43,262,283    38,476,462 

47

 

TOPS® Managed Risk ETF Portfolios
NOTES TO FINANCIAL STATEMENTS (Continued)
June 30, 2017 (Unaudited)
 

The difference between book basis and tax basis accumulated net realized losses, and unrealized appreciation/ depreciation from investments is primarily attributable to the tax deferral of losses on wash sales and the mark-to-market treatment of 1256 futures contracts.

 

At December 31, 2016, the Portfolios had capital loss carry forwards for federal income tax purposes available to offset future capital gains as follows:

 

   Non-Expiring     
Fund  Short-Term   Long-Term   Total 
Managed Risk Balanced ETF Portfolio  $—   $—   $— 
Managed Risk Growth ETF Portfolio   30,264,439    1,045,490    31,309,929 
Managed Risk Moderate Growth ETF Portfolio   19,276,619    1,461,541    20,738,160 
                
7.NEW ACCOUNTING PRONOUNCEMENTS

 

On October 13, 2016 the Securities and Exchange Commission amended existing rules intended to modernize reporting and disclosure of information. These amendments relate to Regulation S-X which sets forth the form and content of financial statements. At this time, management is evaluating the implications of adopting these amendments and their impact on the financial statements and accompanying notes.

 

8.SUBSEQUENT EVENTS

 

Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has concluded that there are no subsequent events requiring adjustment or disclosure in the financial statements.

48

 

TOPS®Managed Risk ETF Portfolios
EXPENSE EXAMPLES (Unaudited)
June 30, 2017
 

As a shareholder of the Portfolios, you incur ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.

 

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2017 through June 30, 2017.

 

Actual Expenses

 

The “Actual” expenses line in the table below provides information about actual account values and actual expenses. You may use the information below 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 table 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 “Hypothetical” line in the table below provides information about hypothetical account values and hypothetical expenses based on each Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balances or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, or other expenses charged by your insurance contract or separate account. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

            Hypothetical
            (5% return before
      Actual   expenses)
               
  Portfolio’s   Ending Expenses   Ending Expenses
  Annualized Beginning Account Paid   Account Paid
  Expense Account Value Value During   Value During
Class 1 Ratio 1-1-17 6-30-17 Period*   6-30-17 Period*
Managed Risk Balanced ETF Portfolio 0.40% $1,000.00 $1,049.70 $2.03   $1,022.81 $2.01
Managed Risk Growth ETF Portfolio 0.40% $1,000.00 $1,076.90 $2.06   $1,022.81 $2.01
Managed Risk Moderate Growth ETF Portfolio 0.40% $1,000.00 $1,061.70 $2.04   $1,022.81 $2.01

49

 

TOPS® Managed Risk ETF Portfolios
EXPENSE EXAMPLES (Unaudited)(Continued)
June 30, 2017

 

           Hypothetical
           (5% return before
      Actual  expenses)
              
  Portfolio’s   Ending Expenses  Ending Expenses
  Annualized Beginning Account Paid  Account Paid
  Expense Account Value Value During  Value During
Class 2 Ratio 1-1-17 6-30-17 Period*  6-30-17 Period*
Managed Risk Balanced ETF Portfolio 0.65% $1,000.00 $1,048.20 $3.30  $1,021.57 $3.26
Managed Risk Growth ETF Portfolio 0.65% $1,000.00 $1,075.40 $3.34  $1,021.57 $3.26
Managed Risk Moderate Growth ETF Portfolio 0.65% $1,000.00 $1,060.20 $3.32  $1,021.57 $3.26

 

            Hypothetical
            (5% return before
      Actual   expenses)
               
  Portfolio’s Beginning Ending Expenses   Ending Expenses
  Annualized Account Account Paid   Account Paid
  Expense Value Value During   Value During
Class 3 Ratio 1-1-17 6-30-17 Period *   6-30-17 Period*
Managed Risk Balanced ETF Portfolio 0.75% $1,000.00 $1,048.00 $3.81   $1,021.08 $3.76
Managed Risk Growth ETF Portfolio 0.75% $1,000.00 $1,074.70 $3.86   $1,021.08 $3.76
Managed Risk Moderate Growth ETF Portfolio 0.75% $1,000.00 $1,060.30 $3.83   $1,021.08 $3.76

  

            Hypothetical
            (5% return before
      Actual   expenses)
               
  Portfolio’s Beginning Ending Expenses   Ending Expenses
  Annualized Account Account Paid   Account Paid
  Expense Value Value During   Value During
Class 4 Ratio 1-1-17 6-30-17 Period *   6-30-17 Period*
Managed Risk Balanced ETF Portfolio 1.00% $1,000.00 $1,046.20 $5.07   $1,019.84 $5.01
Managed Risk Growth ETF Portfolio 1.00% $1,000.00 $1,073.70 $5.14   $1,019.84 $5.01
Managed Risk Moderate Growth ETF Portfolio 1.00% $1,000.00 $1,059.80 $5.11   $1,019.84 $5.01

50

 

TOPS® Managed Risk ETF Portfolios
EXPENSE EXAMPLES (Unaudited)(Continued)
June 30, 2017

 

            Hypothetical
            (5% return before
      Actual   expenses)
               
  Portfolio’s   Ending Expenses   Ending Expenses
  Annualized Beginning Account Paid   Account Paid
  Expense Account Value Value During   Value During
Investor Class Ratio 1-1-17 6-30-17 Period*   6-30-17 Period*
Managed Risk Balanced ETF Portfolio 0.90% $1,000.00 $1,046.00 $4.57   $1,020.33 $4.51
Managed Risk Growth ETF Portfolio 0.90% $1,000.00 $1,072.80 $4.63   $1,020.33 $4.51
Managed Risk Moderate Growth ETF Portfolio 0.90% $1,000.00 $1,057.20 $4.59   $1,020.33 $4.51

 

*Expenses are equal to the average account value over the period, multiplied by each Portfolio’s annualized expense ratio, multiplied by the number of days in the period (181) divided by the number of days in the fiscal year (365).

51

 

PRIVACY NOTICE

 

Northern Lights Variable Trust

Rev. February 2014

 

FACTS WHAT DOES NORTHERN LIGHTS VARIABLE TRUST DO WITH YOUR PERSONAL INFORMATION?

 

Why? Financial companies choose how they share your personal information.  Federal law gives consumers the right to limit some, but not all sharing.  Federal law also requires us to tell you how we collect, share, and protect your personal information.  Please read this notice carefully to understand what we do.

 

What?

The types of personal information we collect and share depends on the product or service that you have with us. This information can include:

 

●         Social Security number and wire transfer instructions

 

●         account transactions and transaction history

 

●         investment experience and purchase history

 

When you are no longer our customer, we continue to share your information as described in this notice.

 

How? All financial companies need to share customers’ personal information to run their everyday business.  In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Northern Lights Variable Trust chooses to share; and whether you can limit this sharing.

 

Reasons we can share your
personal information:		 Does Northern Lights Variable
Trust share information?		 Can you limit this sharing?
For our everyday business purposes - such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus. YES NO
For our marketing purposes - to offer our products and services to you. NO We don’t share
For joint marketing with other financial companies. NO We don’t share
For our affiliates’ everyday business purposes - information about your transactions and records. NO We don’t share
For our affiliates’ everyday business purposes - information about your credit worthiness. NO We don’t share
For nonaffiliates to market to you NO We don’t share

 

QUESTIONS?   Call 1-402-493-4603

52

 

PRIVACY NOTICE

 

Northern Lights Variable Trust

 

Page 2  

 

What we do:

 

How does Northern Lights Variable Trust protect my personal information?

To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.

 

Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information.

 

How does Northern Lights Variable Trust collect my personal information?

We collect your personal information, for example, when you

●     open an account or deposit money

 

●     direct us to buy securities or direct us to sell your securities

 

●     seek advice about your investments

 

We also collect your personal information from others, such as credit bureaus, affiliates, or other companies.

 

Why can’t I limit all sharing?

Federal law gives you the right to limit only:

●     sharing for affiliates’ everyday business purposes – information about your creditworthiness.

 

●     affiliates from using your information to market to you.

 

●     sharing for nonaffiliates to market to you.

 

State laws and individual companies may give you additional rights to limit sharing.

 

Definitions
Affiliates

Companies related by common ownership or control. They can be financial and nonfinancial companies.

 

●     Northern Lights Variable Trust does not share with our affiliates.

Nonaffiliates

Companies not related by common ownership or control. They can be financial and nonfinancial companies.

 

●     Northern Lights Variable Trust does not share with nonaffiliates so they can market to you.

Joint marketing

A formal agreement between nonaffiliated financial companies that together market financial products or services to you.

 

●     Northern Lights Variable Trust doesn’t jointly market.

53

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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PROXY VOTING POLICY

 

Information regarding how the Portfolios voted proxies relating to portfolio securities for the most recent twelve month period ended June 30 as well as a description of the policies and procedures that the Portfolios use to determine how to vote proxies is available without charge, upon request, by calling 1-855-572-5945 or by referring to the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

PORTFOLIO HOLDINGS

 

Each Portfolio files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC (1-800-SEC-0330). The information on Form N-Q is available without charge, upon request, by calling 1-855-572-5945.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
INVESTMENT ADVISOR
ValMark Advisers, Inc.
130 Springside Drive
Akron, OH 44333
 
INVESTMENT SUB-ADVISOR
Milliman Financial Risk Management, LLC
71 S. Wacker Drive, 31st Floor
Chicago, IL 60606
 
ADMINISTRATOR
Gemini Fund Services, LLC
80 Arkay Drive, Suite 110
Hauppauge, New York 11788

 

 

Item 2. Code of Ethics.

 

Item 3. Audit Committee Financial Expert.

 

Item 4. Principal Accountant Fees and Services.

 

Item 5. Audit Committee of Listed Companies. Not applicable to open-end investment companies.

 

Item 6. Schedule of Investments. Schedule of investments in securities of unaffiliated issuers is included under Item 1.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds. Not applicable to open-end investment companies.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies. Not applicable to open-end investment companies.

 

Item 9. Purchases of Equity Securities by Closed-End Funds. Not applicable to open-end investment companies.

 

Item 10. Submission of Matters to a Vote of Security Holders. None

 

 

Item 11. Controls and Procedures.

 

(a)       Based on an evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of filing date of this Form N-CSR, the principal executive officer and principal financial officer of the Registrant have concluded that the disclosure controls and procedures of the Registrant are reasonably designed to ensure that the information required in filings on Form N-CSR is recorded, processed, summarized, and reported by the filing date, including that information required to be disclosed is accumulated and communicated to the Registrant’s management, including the Registrant’s principal executive officer and principal financial officer, as appropriate to allow timely decisions regarding required disclosure.

 

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

 

Item 12. Exhibits.

 

(a)(1) Not applicable.

 

(a)(2) Certifications required by Section 302 of the Sarbanes-Oxley Act of 2002 (and Item 11(a)(2) of Form N-CSR) are filed herewith.

 

(a)(3) Not applicable for open-end investment companies.

 

(b)Certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 (and Item 11(b) of Form N-CSR) 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.

 

(Registrant) Northern Lights Variable Fund Trust

 

By (Signature and Title)

/s/ Kevin E. Wolf

Kevin E. Wolf, Principal Executive Officer/President

 

Date 08/29/17

 

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 (Signature and Title)

/s/ Kevin E. Wolf

Kevin E. Wolf, Principal Executive Officer/President

 

Date 08/29/17

 

 

By (Signature and Title)

/s/ Jim Colantino

Jim Colantino, Principal Financial Officer/Treasurer

 

Date 08/29/17