Shareholder Letter
|
2
|
Portfolio Update
|
|
Clarkston Partners Fund
|
5
|
Clarkston Fund
|
9
|
Clarkston Select Fund
|
13
|
Clarkston Founders Fund
|
17
|
Disclosure of Fund Expenses
|
21
|
Portfolios of Investments
|
|
Clarkston Partners Fund
|
23
|
Clarkston Fund
|
25
|
Clarkston Select Fund
|
27
|
Clarkston Founders Fund
|
29
|
Statements of Assets and Liabilities
|
31
|
Statements of Operations
|
34
|
Statements of Changes in Net Assets
|
|
Clarkston Partners Fund
|
36
|
Clarkston Fund
|
37
|
Clarkston Select Fund
|
38
|
Clarkston Founders Fund
|
39
|
Financial Highlights
|
40
|
Notes to Financial Statements
|
47
|
Report of Independent Registered Public Accounting Firm
|
59
|
Additional Information
|
60
|
Trustees and Officers
|
65
|
Clarkston Funds
|
Shareholder Letter
|
2
|
www.clarkstonfunds.com
|
Clarkston Funds
|
Shareholder Letter
|
Jeffrey A. Hakala, CFA, CPA
|
Jerry W. Hakala, CFA |
Annual Report | September 30, 2017
|
3
|
Clarkston Funds
|
Shareholder Letter
|
4
|
www.clarkstonfunds.com
|
Clarkston Partners Fund
|
Portfolio Update
|
Annual Report | September 30, 2017
|
5
|
Clarkston Partners Fund
|
Portfolio Update
|
The Western Union Co.
|
6.02%
|
Willis Towers Watson PLC
|
5.75%
|
LPL Financial Holdings, Inc.
|
5.53%
|
Legg Mason, Inc.
|
5.14%
|
Brown & Brown, Inc.
|
4.95%
|
Broadridge Financial Solutions, Inc.
|
4.23%
|
John Wiley & Sons, Inc.
|
3.85%
|
C.H. Robinson Worldwide, Inc.
|
3.68%
|
Hillenbrand, Inc.
|
3.50%
|
Stericycle, Inc.
|
3.09%
|
Top Ten Holdings
|
45.74%
|
Financial Services
|
34.26%
|
Producer Durables
|
21.33%
|
Consumer Discretionary
|
6.90%
|
Consumer Staples
|
4.22%
|
Materials & Processing
|
1.79%
|
Technology
|
1.73%
|
Cash, Cash Equivalents, & Other Net Assets
|
29.77%
|
Total
|
100.00%
|
*
|
Holdings are subject to change, and may not reflect the current or future position of the portfolio.
|
6
|
www.clarkstonfunds.com
|
Clarkston Partners Fund
|
Portfolio Update
|
3 Month
|
6 Month
|
1 Year
|
Since Inception*
|
|
Clarkston Partners Fund – Founders Class
|
4.47%
|
5.18%
|
12.86%
|
11.81%
|
Clarkston Partners Fund – Institutional Class
|
4.48%
|
5.10%
|
12.75%
|
11.63%
|
Russell 2500TM Index TR
|
4.74%
|
6.98%
|
17.79%
|
12.87%
|
*
|
Fund’s inception date is September 15, 2015.
|
Annual Report | September 30, 2017
|
7
|
Clarkston Partners Fund
|
Portfolio Update
|
8
|
www.clarkstonfunds.com
|
Clarkston Fund
|
Portfolio Update
|
Annual Report | September 30, 2017
|
9
|
Clarkston Fund
|
Portfolio Update
|
General Electric Co.
|
6.58%
|
The Western Union Co.
|
4.96%
|
The Procter & Gamble Co.
|
4.95%
|
Sysco Corp.
|
4.59%
|
Johnson & Johnson
|
4.42%
|
Microsoft Corp.
|
4.05%
|
American Express Co.
|
4.00%
|
International Business Machines Corp.
|
3.95%
|
Diageo PLC
|
3.82%
|
PepsiCo, Inc.
|
3.79%
|
Top Ten Holdings
|
45.11%
|
Financial Services
|
22.70%
|
Consumer Staples
|
21.53%
|
Producer Durables
|
14.18%
|
Technology
|
11.55%
|
Health Care
|
10.24%
|
Consumer Discretionary
|
3.64%
|
Cash, Cash Equivalents, & Other Net Assets
|
16.16%
|
Total
|
100.00%
|
* |
Holdings are subject to change, and may not reflect the current or future position of the portfolio.
|
10
|
www.clarkstonfunds.com
|
Clarkston Fund
|
Portfolio Update
|
3 Month
|
6 Month
|
1 Year
|
Since Inception*
|
|
Clarkston Fund – Institutional Class
|
2.14%
|
2.78%
|
10.13%
|
10.32%
|
Russell 1000® Index TR
|
4.48%
|
7.68%
|
18.54%
|
16.47%
|
*
|
Fund’s inception date is April 1, 2016.
|
Annual Report | September 30, 2017
|
11
|
Clarkston Fund
|
Portfolio Update
|
12
|
www.clarkstonfunds.com
|
Clarkston Select Fund
|
Portfolio Update
|
Annual Report | September 30, 2017
|
13
|
Clarkston Select Fund
|
Portfolio Update
|
General Electric Co.
|
6.16%
|
The Procter & Gamble Co.
|
5.40%
|
Sysco Corp.
|
5.04%
|
The Western Union Co.
|
4.89%
|
Microsoft Corp.
|
4.74%
|
International Business Machines Corp.
|
4.31%
|
Cisco Systems, Inc.
|
4.28%
|
PepsiCo, Inc.
|
4.26%
|
Paychex, Inc.
|
4.07%
|
Johnson & Johnson
|
3.53%
|
Top Ten Holdings
|
46.68%
|
Consumer Staples
|
20.84%
|
Producer Durables
|
20.37%
|
Financial Services
|
15.27%
|
Technology
|
13.33%
|
Health Care
|
6.56%
|
Consumer Discretionary
|
3.92%
|
Materials & Processing
|
2.32%
|
Cash, Cash Equivalents, & Other Net Assets
|
17.39%
|
Total
|
100.00%
|
* |
Holdings are subject to change, and may not reflect the current or future position of the portfolio.
|
14
|
www.clarkstonfunds.com
|
Clarkston Select Fund
|
Portfolio Update
|
3 Month
|
6 Month
|
Since Inception*
|
|
Clarkston Select Fund – Institutional Class
|
3.50%
|
2.98%
|
6.21%
|
Russell 1000® Index TR
|
4.48%
|
7.68%
|
11.92%
|
*
|
Fund’s inception date is January 31, 2017.
|
Annual Report | September 30, 2017
|
15
|
Clarkston Select Fund
|
Portfolio Update
|
16
|
www.clarkstonfunds.com
|
Clarkston Founders Fund
|
Portfolio Update
|
Annual Report | September 30, 2017
|
17
|
Clarkston Founders Fund
|
Portfolio Update
|
The Western Union Co.
|
6.12%
|
Willis Towers Watson PLC
|
5.43%
|
Sysco Corp.
|
5.14%
|
Brown & Brown, Inc.
|
5.09%
|
Broadridge Financial Solutions, Inc.
|
4.69%
|
Legg Mason, Inc.
|
4.07%
|
C.H. Robinson Worldwide, Inc.
|
3.62%
|
Stericycle, Inc.
|
3.11%
|
The Charles Schwab Corp.
|
3.08%
|
McCormick & Co., Inc.
|
2.98%
|
Top Ten Holdings
|
43.33%
|
Financial Services
|
32.82%
|
Producer Durables
|
14.80%
|
Consumer Staples
|
8.11%
|
Health Care
|
4.53%
|
Consumer Discretionary
|
3.17%
|
Materials & Processing
|
2.17%
|
Technology
|
1.83%
|
Cash, Cash Equivalents, & Other Net Assets
|
32.57%
|
Total
|
100.00%
|
* |
Holdings are subject to change, and may not reflect the current or future position of the portfolio.
|
18
|
www.clarkstonfunds.com
|
Clarkston Founders Fund
|
Portfolio Update
|
3 Month
|
6 Month
|
Since Inception*
|
|
Clarkston Founders Fund – Institutional Class
|
2.50%
|
3.60%
|
6.40%
|
Russell Midcap® Index TR
|
3.47%
|
6.27%
|
9.11%
|
*
|
Fund’s inception date is January 31, 2017.
|
Annual Report | September 30, 2017
|
19
|
Clarkston Founders Fund
|
Portfolio Update
|
20
|
www.clarkstonfunds.com
|
Clarkston Funds
|
Disclosure of Fund Expenses
|
Annual Report | September 30, 2017
|
21
|
Clarkston Funds
|
Disclosure of Fund Expenses
|
Beginning
Account Value April 1, 2017 |
Ending
Account Value September 30, 2017 |
Expense
Ratio(a) |
Expenses Paid
During Period April 1, 2017 - September 30, 2017(b) |
|
Clarkston Partners Fund
|
||||
Founders Class
|
||||
Actual
|
$1,000.00
|
$1,051.80
|
0.85%
|
$4.37
|
Hypothetical (5% return before expenses)
|
$1,000.00
|
$1,020.81
|
0.85%
|
$4.31
|
Institutional Class
|
||||
Actual
|
$1,000.00
|
$1,051.00
|
0.97%
|
$4.99
|
Hypothetical (5% return before expenses)
|
$1,000.00
|
$1,020.21
|
0.97%
|
$4.91
|
Clarkston Fund
|
||||
Institutional Class
|
||||
Actual
|
$1,000.00
|
$1,027.80
|
0.64%
|
$3.25
|
Hypothetical (5% return before expenses)
|
$1,000.00
|
$1,021.86
|
0.64%
|
$3.24
|
Clarkston Select Fund
|
||||
Institutional Class
|
||||
Actual
|
$1,000.00
|
$1,029.80
|
0.67%
|
$3.41
|
Hypothetical (5% return before expenses)
|
$1,000.00
|
$1,021.71
|
0.67%
|
$3.40
|
Clarkston Founders Fund
|
||||
Institutional Class
|
||||
Actual
|
$1,000.00
|
$1,036.00
|
0.92%
|
$4.70
|
Hypothetical (5% return before expenses)
|
$1,000.00
|
$1,020.46
|
0.92%
|
$4.66
|
(a) |
Each Fund's expense ratios have been annualized based on the Fund's actual expenses for the 6 month period ending September 30, 2017.
|
(b) |
Expenses are equal to the annualized expense ratio shown above for the applicable class, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year (183), divided by 365.
|
22
|
www.clarkstonfunds.com
|
Clarkston Partners Fund
|
Portfolio of Investments
|
|
Shares
|
Value (Note 2)
|
||||||
COMMON STOCKS (70.23%)
|
||||||||
Consumer Discretionary (6.90%)
|
||||||||
John Wiley & Sons, Inc., Class A
|
550,000
|
$
|
29,425,000
|
|||||
Matthews International Corp., Class A
|
375,000
|
23,343,750
|
||||||
Total Consumer Discretionary
|
52,768,750
|
|||||||
Consumer Staples (4.22%)
|
||||||||
McCormick & Co., Inc.
|
160,000
|
16,422,400
|
||||||
Post Holdings, Inc.(a)
|
180,000
|
15,888,600
|
||||||
Total Consumer Staples
|
32,311,000
|
|||||||
Financial Services (34.26%)
|
||||||||
Broadridge Financial Solutions, Inc.
|
400,000
|
32,328,000
|
||||||
Brown & Brown, Inc.
|
785,000
|
37,829,150
|
||||||
Equifax, Inc.
|
60,000
|
6,359,400
|
||||||
Legg Mason, Inc.
|
1,000,000
|
39,310,000
|
||||||
LPL Financial Holdings, Inc.
|
820,000
|
42,287,400
|
||||||
Markel Corp.(a)
|
13,000
|
13,883,740
|
||||||
The Western Union Co.
|
2,400,000
|
46,080,000
|
||||||
Willis Towers Watson PLC
|
285,000
|
43,955,550
|
||||||
Total Financial Services
|
262,033,240
|
|||||||
Materials & Processing (1.79%)
|
||||||||
Fastenal Co.
|
300,000
|
13,674,000
|
||||||
Total Materials & Processing
|
13,674,000
|
|||||||
Producer Durables (21.33%)
|
||||||||
Actuant Corp., Class A
|
864,610
|
22,134,016
|
||||||
C.H. Robinson Worldwide, Inc.
|
370,000
|
28,157,000
|
||||||
Cintas Corp.
|
115,000
|
16,592,200
|
||||||
Graco, Inc.
|
67,000
|
8,287,230
|
||||||
Hillenbrand, Inc.
|
690,000
|
26,806,500
|
||||||
Landstar System, Inc.
|
220,000
|
21,923,000
|
||||||
Stericycle, Inc.(a)
|
330,000
|
23,634,600
|
||||||
Waters Corp.(a)
|
87,000
|
15,618,240
|
||||||
Total Producer Durables
|
163,152,786
|
|||||||
Technology (1.73%)
|
||||||||
IHS Markit Ltd.(a)
|
300,000
|
13,224,000
|
||||||
Total Technology
|
13,224,000
|
|||||||
TOTAL COMMON STOCKS (Cost $421,724,293)
|
537,163,776
|
Annual Report | September 30, 2017
|
23
|
Clarkston Partners Fund
|
Portfolio of Investments
|
|
Shares |
Value (Note 2)
|
||||||
TOTAL INVESTMENTS (70.23%) (Cost $421,724,293)
|
$
|
537,163,776
|
||||||
Other Assets In Excess Of Liabilities (29.77%)
|
227,702,731
|
|||||||
NET ASSETS (100.00%)
|
$
|
764,866,507
|
(a) |
Non-income producing security.
|
24
|
www.clarkstonfunds.com
|
Clarkston Fund
|
Portfolio of Investments
|
|
Shares
|
Value (Note 2)
|
||||||
COMMON STOCKS (83.84%)
|
||||||||
Consumer Discretionary (3.64%)
|
||||||||
Wal‐Mart Stores, Inc.
|
9,300
|
$
|
726,702
|
|||||
The Walt Disney Co.
|
3,500
|
344,995
|
||||||
Total Consumer Discretionary
|
1,071,697
|
|||||||
Consumer Staples (21.53%)
|
||||||||
Anheuser‐Busch InBev SA/NV, Sponsored
|
6,200
|
739,660
|
||||||
Diageo PLC, Sponsored ADR
|
8,500
|
1,123,105
|
||||||
Mondelez International, Inc., Class A
|
13,500
|
548,910
|
||||||
PepsiCo, Inc.
|
10,000
|
1,114,300
|
||||||
The Procter & Gamble Co.
|
16,000
|
1,455,680
|
||||||
Sysco Corp.
|
25,000
|
1,348,750
|
||||||
Total Consumer Staples
|
6,330,405
|
|||||||
Financial Services (22.70%)
|
||||||||
American Express Co.
|
13,000
|
1,175,980
|
||||||
Capital One Financial Corp.
|
10,000
|
846,600
|
||||||
The Charles Schwab Corp.
|
18,000
|
787,320
|
||||||
Markel Corp.(a)
|
275
|
293,695
|
||||||
MasterCard, Inc., Class A
|
3,500
|
494,200
|
||||||
US Bancorp
|
11,500
|
616,285
|
||||||
The Western Union Co.
|
76,000
|
1,459,200
|
||||||
Willis Towers Watson PLC
|
6,500
|
1,002,495
|
||||||
Total Financial Services
|
6,675,775
|
|||||||
Health Care (10.24%)
|
||||||||
AmerisourceBergen Corp.
|
3,500
|
289,625
|
||||||
Anthem, Inc.
|
3,000
|
569,640
|
||||||
Johnson & Johnson
|
10,000
|
1,300,100
|
||||||
McKesson Corp.
|
2,000
|
307,220
|
||||||
Medtronic PLC
|
7,000
|
544,390
|
||||||
Total Health Care
|
3,010,975
|
|||||||
Producer Durables (14.18%)
|
||||||||
C.H. Robinson Worldwide, Inc.
|
10,000
|
761,000
|
||||||
Emerson Electric Co.
|
12,000
|
754,080
|
||||||
General Electric Co.
|
80,000
|
1,934,400
|
||||||
United Parcel Service, Inc., Class B
|
6,000
|
720,540
|
||||||
Total Producer Durables
|
4,170,020
|
|||||||
Technology (11.55%)
|
||||||||
Cisco Systems, Inc.
|
31,000
|
1,042,530
|
||||||
International Business Machines Corp.
|
8,000
|
1,160,640
|
Annual Report | September 30, 2017
|
25
|
Clarkston Fund
|
Portfolio of Investments
|
Shares
|
Value (Note 2)
|
|||||||
Technology (continued)
|
||||||||
Microsoft Corp.
|
16,000
|
$
|
1,191,840
|
|||||
Total Technology
|
3,395,010
|
|||||||
TOTAL COMMON STOCKS (Cost $21,845,433)
|
24,653,882
|
|||||||
TOTAL INVESTMENTS (83.84%) (Cost $21,845,433)
|
$
|
24,653,882
|
||||||
Other Assets In Excess Of Liabilities (16.16%)
|
4,753,026
|
|||||||
NET ASSETS (100.00%)
|
$
|
29,406,908
|
(a)
|
Non-income producing security.
|
26
|
www.clarkstonfunds.com
|
Clarkston Select Fund
|
Portfolio of Investments
|
|
Shares
|
Value (Note 2)
|
||||||
COMMON STOCKS (82.61%)
|
||||||||
Consumer Discretionary (3.92%)
|
||||||||
Nielsen Holdings PLC
|
5,500
|
$
|
227,975
|
|||||
Wal‐Mart Stores, Inc.
|
3,000
|
234,420
|
||||||
Total Consumer Discretionary
|
462,395
|
|||||||
Consumer Staples (20.84%)
|
||||||||
Anheuser‐Busch InBev SA/NV, Sponsored ADR
|
3,300
|
393,690
|
||||||
Diageo PLC, Sponsored ADR
|
2,500
|
330,325
|
||||||
PepsiCo, Inc.
|
4,500
|
501,435
|
||||||
The Procter & Gamble Co.
|
7,000
|
636,860
|
||||||
Sysco Corp.
|
11,000
|
593,450
|
||||||
Total Consumer Staples
|
2,455,760
|
|||||||
Financial Services (15.27%)
|
||||||||
American Express Co.
|
4,000
|
361,840
|
||||||
Capital One Financial Corp.
|
3,800
|
321,708
|
||||||
T. Rowe Price Group, Inc.
|
3,000
|
271,950
|
||||||
US Bancorp
|
5,000
|
267,950
|
||||||
The Western Union Co.
|
30,000
|
576,000
|
||||||
Total Financial Services
|
1,799,448
|
|||||||
Health Care (6.56%)
|
||||||||
Johnson & Johnson
|
3,200
|
416,032
|
||||||
Pfizer, Inc.
|
10,000
|
357,000
|
||||||
Total Health Care
|
773,032
|
|||||||
Materials & Processing (2.32%)
|
||||||||
Fastenal Co.
|
6,000
|
273,480
|
||||||
Total Materials & Processing
|
273,480
|
|||||||
Producer Durables (20.37%)
|
||||||||
3M Co.
|
500
|
104,950
|
||||||
C.H. Robinson Worldwide, Inc.
|
5,000
|
380,500
|
||||||
Emerson Electric Co.
|
5,000
|
314,200
|
||||||
General Electric Co.
|
30,000
|
725,400
|
||||||
Paychex, Inc.
|
8,000
|
479,680
|
||||||
United Parcel Service, Inc., Class B
|
3,300
|
396,297
|
||||||
Total Producer Durables
|
2,401,027
|
|||||||
Technology (13.33%)
|
||||||||
Cisco Systems, Inc.
|
15,000
|
504,450
|
||||||
International Business Machines Corp.
|
3,500
|
507,780
|
Annual Report | September 30, 2017
|
27
|
Clarkston Select Fund
|
Portfolio of Investments
|
Shares
|
Value (Note 2)
|
|||||||
Technology (continued)
|
||||||||
Microsoft Corp.
|
7,500
|
$
|
558,675
|
|||||
Total Technology
|
1,570,905
|
|||||||
TOTAL COMMON STOCKS (Cost $9,330,434)
|
9,736,047
|
|||||||
|
||||||||
TOTAL INVESTMENTS (82.61%) (Cost $9,330,434)
|
$
|
9,736,047
|
||||||
Other Assets In Excess Of Liabilities (17.39%)
|
2,049,163
|
|||||||
NET ASSETS (100.00%)
|
$
|
11,785,210
|
28
|
www.clarkstonfunds.com
|
Clarkston Founders Fund
|
Portfolio of Investments
|
September 30, 2017
|
|
Shares
|
Value (Note 2)
|
||||||
COMMON STOCKS (67.43%)
|
||||||||
Consumer Discretionary (3.17%)
|
||||||||
LKQ Corp.(a)
|
8,000
|
$
|
287,920
|
|||||
Nielsen Holdings PLC
|
11,500
|
476,675
|
||||||
Total Consumer Discretionary
|
764,595
|
|||||||
|
||||||||
Consumer Staples (8.11%)
|
||||||||
McCormick & Co., Inc.
|
7,000
|
718,480
|
||||||
Sysco Corp.
|
23,000
|
1,240,850
|
||||||
Total Consumer Staples
|
1,959,330
|
|||||||
|
||||||||
Financial Services (32.82%)
|
||||||||
Broadridge Financial Solutions, Inc.
|
14,000
|
1,131,480
|
||||||
Brown & Brown, Inc.
|
25,500
|
1,228,845
|
||||||
The Charles Schwab Corp.
|
17,000
|
743,580
|
||||||
Equifax, Inc.
|
2,300
|
243,777
|
||||||
FactSet Research Systems, Inc.
|
1,500
|
270,165
|
||||||
Legg Mason, Inc.
|
25,000
|
982,750
|
||||||
Markel Corp.(a)
|
500
|
533,990
|
||||||
The Western Union Co.
|
77,000
|
1,478,400
|
||||||
Willis Towers Watson PLC
|
8,500
|
1,310,955
|
||||||
Total Financial Services
|
7,923,942
|
|||||||
|
||||||||
Health Care (4.53%)
|
||||||||
AmerisourceBergen Corp.
|
3,000
|
248,250
|
||||||
DENTSPLY SIRONA, Inc.
|
8,500
|
508,385
|
||||||
McKesson Corp.
|
2,200
|
337,942
|
||||||
Total Health Care
|
1,094,577
|
|||||||
|
||||||||
Materials & Processing (2.17%)
|
||||||||
Fastenal Co.
|
11,500
|
524,170
|
||||||
Total Materials & Processing
|
524,170
|
|||||||
|
||||||||
Producer Durables (14.80%)
|
||||||||
C.H. Robinson Worldwide, Inc.
|
11,500
|
875,150
|
||||||
Cintas Corp.
|
3,000
|
432,840
|
||||||
Paychex, Inc.
|
11,000
|
659,560
|
||||||
Roper Technologies, Inc.
|
1,300
|
316,420
|
||||||
Stericycle, Inc.(a)
|
10,500
|
752,010
|
||||||
Waters Corp.(a)
|
3,000
|
538,560
|
||||||
Total Producer Durables
|
3,574,540
|
See Notes to Financial Statements.
|
Annual Report | September 30, 2017
|
29
|
Clarkston Founders Fund
|
Portfolio of Investments
|
September 30, 2017
|
Shares
|
Value (Note 2)
|
|||||||
Technology (1.83%)
|
||||||||
IHS Markit Ltd.(a)
|
10,000
|
$
|
440,800
|
|||||
Total Technology
|
440,800
|
|||||||
TOTAL COMMON STOCKS (Cost $15,054,444)
|
16,281,954
|
|||||||
TOTAL INVESTMENTS (67.43%) (Cost $15,054,444)
|
$
|
16,281,954
|
||||||
Other Assets In Excess Of Liabilities (32.57%)
|
7,864,695
|
|||||||
NET ASSETS (100.00%)
|
$
|
24,146,649
|
(a)
|
Non-income producing security.
|
See Notes to Financial Statements.
|
30
|
www.clarkstonfunds.com
|
Clarkston Funds
|
Statements of Assets and Liabilities
|
September 30, 2017
|
|
CLARKSTON PARTNERS FUND
|
CLARKSTON FUND
|
||||||
ASSETS:
|
||||||||
Investments, at value (Cost $421,724,293 and $21,845,433)
|
$
|
537,163,776
|
$
|
24,653,882
|
||||
Cash & Cash Equivalents
|
226,595,606
|
4,835,064
|
||||||
Receivable for shares sold
|
1,583,669
|
24,000
|
||||||
Dividends receivable
|
386,518
|
50,191
|
||||||
Other Assets
|
32,382
|
5,035
|
||||||
Total Assets
|
765,761,951
|
29,568,172
|
||||||
|
||||||||
LIABILITIES:
|
||||||||
Administration and transfer agency fees payable
|
62,905
|
4,555
|
||||||
Payable for investments purchased
|
–
|
120,825
|
||||||
Payable for shares redeemed
|
177,029
|
–
|
||||||
Payable to adviser
|
429,306
|
6,632
|
||||||
Payable for distribution and service fees
|
125,434
|
8,395
|
||||||
Payable for printing
|
9,167
|
391
|
||||||
Payable for professional fees
|
59,194
|
16,735
|
||||||
Payable to trustees
|
1,815
|
98
|
||||||
Payable to Chief Compliance Officer
|
3,837
|
151
|
||||||
Accrued expenses and other liabilities
|
26,757
|
3,482
|
||||||
Total Liabilities
|
895,444
|
161,264
|
||||||
NET ASSETS
|
$
|
764,866,507
|
$
|
29,406,908
|
||||
|
||||||||
NET ASSETS CONSIST OF:
|
||||||||
Paid-in capital (Note 5)
|
$
|
641,559,177
|
$
|
26,290,466
|
||||
Accumulated net investment income
|
1,172,608
|
306,977
|
||||||
Accumulated net realized gain on investments
|
6,695,239
|
1,016
|
||||||
Net unrealized appreciation on investments
|
115,439,483
|
2,808,449
|
||||||
NET ASSETS
|
$
|
764,866,507
|
$
|
29,406,908
|
See Notes to Financial Statements.
|
Annual Report | September 30, 2017
|
31
|
Clarkston Funds
|
Statements of Assets and Liabilities
|
September 30, 2017
|
|
CLARKSTON PARTNERS FUND
|
CLARKSTON FUND
|
||||||
PRICING OF SHARES
|
||||||||
Founders Class:
|
||||||||
Net Asset Value, offering and redemption price per share
|
$
|
12.39
|
N/A
|
|||||
Net Assets
|
$
|
397,473,641
|
N/A
|
|||||
Shares of beneficial interest outstanding
|
32,076,305
|
N/A
|
||||||
Institutional Class:
|
||||||||
Net Asset Value, offering and redemption price per share
|
$
|
12.36
|
$
|
11.46
|
||||
Net Assets
|
$
|
367,392,866
|
$
|
29,406,908
|
||||
Shares of beneficial interest outstanding
|
29,714,792
|
2,566,479
|
See Notes to Financial Statements.
|
32
|
www.clarkstonfunds.com
|
Clarkston Funds
|
Statements of Assets and Liabilities
|
September 30, 2017
|
|
CLARKSTON SELECT FUND
|
CLARKSTON FOUNDERS FUND
|
||||||
ASSETS:
|
||||||||
Investments, at value (Cost $9,330,434 and $15,054,444)
|
$
|
9,736,047
|
$
|
16,281,954
|
||||
Cash & Cash Equivalents
|
2,020,449
|
7,643,796
|
||||||
Receivable for shares sold
|
25,000
|
232,975
|
||||||
Dividends receivable
|
14,267
|
12,967
|
||||||
Deferred offering cost
|
13,246
|
13,255
|
||||||
Other Assets
|
1,345
|
1,004
|
||||||
Total Assets
|
11,810,354
|
24,185,951
|
||||||
|
||||||||
LIABILITIES:
|
||||||||
Administration and transfer agency fees payable
|
3,472
|
4,151
|
||||||
Payable to adviser
|
105
|
8,490
|
||||||
Payable for distribution and service fees
|
3,304
|
6,680
|
||||||
Payable for printing
|
153
|
282
|
||||||
Payable for professional fees
|
15,678
|
16,384
|
||||||
Payable to trustees
|
73
|
79
|
||||||
Payable to Chief Compliance Officer
|
59
|
120
|
||||||
Accrued expenses and other liabilities
|
2,300
|
3,116
|
||||||
Total Liabilities
|
25,144
|
39,302
|
||||||
NET ASSETS
|
$
|
11,785,210
|
$
|
24,146,649
|
||||
|
||||||||
NET ASSETS CONSIST OF:
|
||||||||
Paid-in capital (Note 5)
|
$
|
11,346,901
|
$
|
22,891,107
|
||||
Accumulated net investment income
|
8,019
|
67,019
|
||||||
Accumulated net realized gain/(loss) on investments
|
24,677
|
(38,987
|
)
|
|||||
Net unrealized appreciation on investments
|
405,613
|
1,227,510
|
||||||
NET ASSETS
|
$
|
11,785,210
|
$
|
24,146,649
|
||||
|
||||||||
PRICING OF SHARES
|
||||||||
Institutional Class:
|
||||||||
Net Asset Value, offering and redemption price per share
|
$
|
10.50
|
$
|
10.64
|
||||
Net Assets
|
$
|
11,785,210
|
$
|
24,146,649
|
||||
Shares of beneficial interest outstanding
|
1,122,736
|
2,268,598
|
See Notes to Financial Statements.
|
Annual Report | September 30, 2017
|
33
|
Clarkston Funds
|
Statements of Operations
|
For the Year Ended September 30, 2017
|
|
CLARKSTON PARTNERS FUND
|
CLARKSTON FUND
|
||||||
INVESTMENT INCOME:
|
||||||||
Dividends
|
$
|
8,309,888
|
$
|
537,435
|
||||
Foreign taxes withheld
|
–
|
(4,939
|
)
|
|||||
Total Investment Income
|
8,309,888
|
532,496
|
||||||
|
||||||||
EXPENSES:
|
||||||||
Investment advisory fees (Note 6)
|
5,332,383
|
129,280
|
||||||
Administration fees
|
428,415
|
16,654
|
||||||
Shareholder service fees
|
||||||||
Institutional Class
|
403,952
|
25,991
|
||||||
Custodian fees
|
64,372
|
5,027
|
||||||
Legal fees
|
93,999
|
3,523
|
||||||
Audit and tax fees
|
17,988
|
13,487
|
||||||
Transfer agent fees
|
204,737
|
25,023
|
||||||
Trustees fees and expenses
|
82,540
|
3,217
|
||||||
Registration and filing fees
|
71,242
|
19,395
|
||||||
Printing fees
|
33,806
|
1,489
|
||||||
Chief Compliance Officer fees
|
40,424
|
1,578
|
||||||
Insurance expense
|
22,489
|
676
|
||||||
Offering costs
|
–
|
22,265
|
||||||
Other expenses
|
17,348
|
2,720
|
||||||
Total Expenses
|
6,813,695
|
270,325
|
||||||
Less fees waived by investment adviser
|
||||||||
Founders Class (Note 6)
|
(389,579
|
)
|
N/A
|
|||||
Institutional Class (Note 6)
|
(349,038
|
)
|
(101,949
|
)
|
||||
Total fees waived by investment adviser
|
(738,617
|
)
|
(101,949
|
)
|
||||
Net Expenses
|
6,075,078
|
168,376
|
||||||
NET INVESTMENT INCOME
|
2,234,810
|
364,120
|
||||||
|
||||||||
REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
|
||||||||
Net realized gain/(loss) on:
|
||||||||
Investments
|
7,147,287
|
48,652
|
||||||
Net realized gain
|
7,147,287
|
48,652
|
||||||
Change in unrealized appreciation on:
|
||||||||
Investments
|
71,238,487
|
2,041,410
|
||||||
Net change
|
71,238,487
|
2,041,410
|
||||||
|
||||||||
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
|
78,385,774
|
2,090,062
|
||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
|
$
|
80,620,584
|
$
|
2,454,182
|
See Notes to Financial Statements.
|
34
|
www.clarkstonfunds.com
|
Clarkston Funds
|
Statements of Operations
|
For the Period Ended September 30, 2017
|
|
CLARKSTON SELECT FUND(a)
|
CLARKSTON FOUNDERS
FUND(a) |
||||||
INVESTMENT INCOME:
|
||||||||
Dividends
|
$
|
162,017
|
$
|
166,432
|
||||
Foreign taxes withheld
|
(2,366
|
)
|
–
|
|||||
Total Investment Income
|
159,651
|
166,432
|
||||||
|
||||||||
EXPENSES:
|
||||||||
Investment advisory fees (Note 6)
|
32,657
|
102,826
|
||||||
Administration fees
|
5,076
|
9,707
|
||||||
Shareholder service fees
|
||||||||
Institutional Class
|
8,045
|
16,920
|
||||||
Custodian fees
|
3,333
|
3,334
|
||||||
Legal fees
|
835
|
1,762
|
||||||
Audit and tax fees
|
15,000
|
15,000
|
||||||
Transfer agent fees
|
16,705
|
16,716
|
||||||
Trustees fees and expenses
|
685
|
1,324
|
||||||
Registration and filing fees
|
1,407
|
2,239
|
||||||
Printing fees
|
490
|
1,053
|
||||||
Chief Compliance Officer fees
|
429
|
903
|
||||||
Offering costs
|
26,533
|
26,546
|
||||||
Other expenses
|
1,428
|
1,617
|
||||||
Total Expenses
|
112,623
|
199,947
|
||||||
Less fees waived/reimbursed by investment adviser Institutional Class (Note 6)
|
(68,518
|
)
|
(73,077
|
)
|
||||
Net Expenses
|
44,105
|
126,870
|
||||||
NET INVESTMENT INCOME
|
115,546
|
39,562
|
||||||
|
||||||||
REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
|
||||||||
Net realized gain/(loss) on:
|
||||||||
Investments
|
24,677
|
(38,987
|
)
|
|||||
Net realized gain/(loss)
|
24,677
|
(38,987
|
)
|
|||||
Change in unrealized appreciation on:
|
||||||||
Investments
|
405,613
|
1,227,510
|
||||||
Net change
|
405,613
|
1,227,510
|
||||||
|
||||||||
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
|
430,290
|
1,188,523
|
||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
|
$
|
545,836
|
$
|
1,228,085
|
(a)
|
Commenced operations on February 1, 2017.
|
See Notes to Financial Statements.
|
Annual Report | September 30, 2017
|
35
|
Clarkston Partners Fund
|
Statements of Changes in Net Assets
|
|
For the Year
Ended September 30, 2017 |
For the Year
Ended September 30, 2016 |
||||||
OPERATIONS:
|
||||||||
Net investment income
|
$
|
2,234,810
|
$
|
2,249,095
|
||||
Net realized gain on investments
|
7,147,287
|
3,777,861
|
||||||
Net change in unrealized appreciation on investments
|
71,238,487
|
48,070,769
|
||||||
Net increase in net assets resulting from operations
|
80,620,584
|
54,097,725
|
||||||
DISTRIBUTIONS TO SHAREHOLDERS:
|
||||||||
From net investment income:
|
||||||||
Founders Class
|
(1,616,473
|
)
|
(243,684
|
)
|
||||
Institutional Class
|
(1,336,460
|
)
|
(204,594
|
)
|
||||
From net realized gains on investments:
|
||||||||
Founders Class
|
(2,235,203
|
)
|
–
|
|||||
Institutional Class
|
(1,995,087
|
)
|
–
|
|||||
Total distributions
|
(7,183,223
|
)
|
(448,278
|
)
|
||||
|
||||||||
BENEFICIAL SHARE TRANSACTIONS (Note 5):
|
||||||||
Founders Class
|
||||||||
Shares sold
|
73,621,564
|
164,645,963
|
||||||
Dividends reinvested
|
122,627
|
243,684
|
||||||
Shares redeemed
|
(23,374,148
|
)
|
(13,965,015
|
)
|
||||
Net increase from beneficial share transactions
|
50,370,043
|
150,924,632
|
||||||
Institutional Class
|
||||||||
Shares sold
|
150,671,817
|
334,694,172
|
||||||
Dividends reinvested
|
3,265,521
|
199,826
|
||||||
Shares redeemed
|
(63,780,279
|
)
|
(114,871,126
|
)
|
||||
Net increase from beneficial share transactions
|
90,157,059
|
220,022,872
|
||||||
Net increase in net assets
|
213,964,463
|
424,596,951
|
||||||
|
||||||||
NET ASSETS:
|
||||||||
Beginning of year
|
550,902,044
|
126,305,093
|
||||||
End of year (including accumulated net investment income of $1,172,608 and $1,891,112)
|
$
|
764,866,507
|
$
|
550,902,044
|
See Notes to Financial Statements.
|
36
|
www.clarkstonfunds.com
|
Clarkston Fund
|
Statements of Changes in Net Assets
|
|
For the Year
Ended September 30, 2017 |
For the Period Ended
September 30, 2016(a) |
||||||
OPERATIONS:
|
||||||||
Net investment income
|
$
|
364,120
|
$
|
113,393
|
||||
Net realized gain on investments
|
48,652
|
–
|
||||||
Net change in unrealized appreciation on investments
|
2,041,410
|
767,039
|
||||||
Net increase in net assets resulting from operations
|
2,454,182
|
880,432
|
||||||
DISTRIBUTIONS TO SHAREHOLDERS:
|
||||||||
From net investment income:
|
||||||||
Institutional Class
|
(206,855
|
)
|
–
|
|||||
From net realized gains on investments:
|
||||||||
Institutional Class
|
(47,636
|
)
|
–
|
|||||
Total distributions
|
(254,491
|
)
|
–
|
|||||
|
||||||||
BENEFICIAL SHARE TRANSACTIONS (Note 5):
|
||||||||
Institutional Class
|
||||||||
Shares sold
|
9,872,180
|
19,603,769
|
||||||
Dividends reinvested
|
254,490
|
–
|
||||||
Shares redeemed
|
(3,092,454
|
)
|
(311,200
|
)
|
||||
Net increase from beneficial share transactions
|
7,034,216
|
19,292,569
|
||||||
Net increase in net assets
|
9,233,907
|
20,173,001
|
||||||
|
||||||||
NET ASSETS:
|
||||||||
Beginning of period
|
20,173,001
|
–
|
||||||
End of period (including accumulated net investment income of $306,977 and $127,815)
|
$
|
29,406,908
|
$
|
20,173,001
|
(a)
|
Commenced operations on April 4, 2016.
|
See Notes to Financial Statements.
|
Annual Report | September 30, 2017
|
37
|
Clarkston Select Fund
|
Statements of Changes in Net Assets
|
For the Period Ended
September 30, 2017(a) |
||||
OPERATIONS:
|
||||
Net investment income
|
$
|
115,546
|
||
Net realized gain on investments
|
24,677
|
|||
Net change in unrealized appreciation on investments
|
405,613
|
|||
Net increase in net assets resulting from operations
|
545,836
|
|||
DISTRIBUTIONS TO SHAREHOLDERS:
|
||||
From net investment income:
|
||||
Institutional Class
|
(122,180
|
)
|
||
Total distributions
|
(122,180
|
)
|
||
BENEFICIAL SHARE TRANSACTIONS (Note 5):
|
||||
Institutional Class
|
||||
Shares sold
|
12,545,640
|
|||
Dividends reinvested
|
122,057
|
|||
Shares redeemed
|
(1,306,143
|
)
|
||
Net increase from beneficial share transactions
|
11,361,554
|
|||
Net increase in net assets
|
11,785,210
|
|||
NET ASSETS:
|
||||
Beginning of period
|
–
|
|||
End of period (including accumulated net investment income of $8,019)
|
$
|
11,785,210
|
(a)
|
Commenced operations on February 1, 2017.
|
See Notes to Financial Statements.
|
38
|
www.clarkstonfunds.com
|
Clarkston Founders Fund
|
Statements of Changes in Net Assets
|
For the Period Ended
September 30, 2017(a) |
||||
OPERATIONS:
|
||||
Net investment income
|
$
|
39,562
|
||
Net realized loss on investments
|
(38,987
|
)
|
||
Net change in unrealized appreciation on investments
|
1,227,510
|
|||
Net increase in net assets resulting from operations
|
1,228,085
|
|||
BENEFICIAL SHARE TRANSACTIONS (Note 5):
|
||||
Institutional Class
|
||||
Shares sold
|
24,019,280
|
|||
Shares redeemed
|
(1,100,716
|
)
|
||
Net increase from beneficial share transactions
|
22,918,564
|
|||
Net increase in net assets
|
24,146,649
|
|||
NET ASSETS:
|
||||
Beginning of period
|
–
|
|||
End of period (including accumulated net investment income of $67,019)
|
$
|
24,146,649
|
(a)
|
Commenced operations on February 1, 2017.
|
See Notes to Financial Statements.
|
Annual Report | September 30, 2017
|
39
|
Clarkston Partners Fund – Founders Class
|
Financial Highlights
|
For the Year Ended
September 30, 2017 |
For the
Year Ended September 30, 2016 |
For the Period Ended
September 30, 2015(a) |
||||||||||
NET ASSET VALUE, BEGINNING OF PERIOD
|
$
|
11.11
|
$
|
9.70
|
$
|
10.00
|
||||||
INCOME/(LOSS) FROM OPERATIONS:
|
||||||||||||
Net investment income(b)
|
0.05
|
0.06
|
0.00
|
(c)
|
||||||||
Net realized and unrealized gain/(loss) on investments
|
1.37
|
1.37
|
(0.30
|
)
|
||||||||
Total from investment operations
|
1.42
|
1.43
|
(0.30
|
)
|
||||||||
LESS DISTRIBUTIONS:
|
||||||||||||
From net investment income
|
(0.06
|
)
|
(0.02
|
)
|
–
|
|||||||
From net realized gains on investments
|
(0.08
|
)
|
–
|
–
|
||||||||
Total Distributions
|
(0.14
|
)
|
(0.02
|
)
|
–
|
|||||||
NET INCREASE/(DECREASE) IN NET ASSET VALUE
|
1.28
|
1.41
|
(0.30
|
)
|
||||||||
NET ASSET VALUE, END OF PERIOD
|
$
|
12.39
|
$
|
11.11
|
$
|
9.70
|
||||||
TOTAL RETURN(d)
|
12.86
|
%
|
14.73
|
%(e)
|
(3.00
|
%)
|
||||||
SUPPLEMENTAL DATA:
|
||||||||||||
Net assets, end of period (in 000s)
|
$
|
397,474
|
$
|
308,607
|
$
|
126,281
|
||||||
RATIOS TO AVERAGE NET ASSETS
|
||||||||||||
Operating expenses excluding reimbursement/waiver
|
0.96
|
%
|
1.02
|
%
|
1.81
|
%(f)
|
||||||
Operating expenses including reimbursement/waiver
|
0.85
|
%
|
0.85
|
%
|
0.85
|
%(f)
|
||||||
Net investment income including reimbursement/waiver
|
0.40
|
%
|
0.62
|
%
|
0.05
|
%(f)
|
||||||
PORTFOLIO TURNOVER RATE(g)
|
13
|
%
|
16
|
%
|
0
|
%
|
(a) |
Commenced operations on September 16, 2015.
|
(b) |
Per share amounts are based upon average shares outstanding.
|
(c) |
Less than $0.005 per share.
|
(d) |
Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal year. Total returns are for the period indicated and have not been annualized. Total returns would have been lower had certain expenses not been waived during the period. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
|
(e) |
In 2016, the Fund's total return consists of a voluntary/unvoluntary reimbursement by the adviser for a realized investment loss. Excluding this item, total return would not change as the impact is less than 0.005%.
|
40
|
www.clarkstonfunds.com
|
Clarkston Partners Fund – Founders Class
|
Financial Highlights
|
(f) |
Annualized.
|
(g) |
Portfolio turnover rate for periods less than one full year have not been annualized.
|
Annual Report | September 30, 2017
|
41
|
Clarkston Partners Fund – Institutional Class
|
Financial Highlights
|
For the Year Ended
September 30, 2017 |
For the Year Ended
September 30, 2016 |
For the Period Ended
September 30, 2015(a) |
||||||||||
NET ASSET VALUE, BEGINNING OF PERIOD
|
$
|
11.09
|
$
|
9.70
|
$
|
10.00
|
||||||
INCOME/(LOSS) FROM OPERATIONS:
|
||||||||||||
Net investment income/(loss)(b)
|
0.03
|
0.05
|
(0.00
|
)(c)
|
||||||||
Net realized and unrealized gain/(loss) on investments
|
1.37
|
1.35
|
(0.30
|
)
|
||||||||
Total from investment operations
|
1.40
|
1.40
|
(0.30
|
)
|
||||||||
LESS DISTRIBUTIONS:
|
||||||||||||
From net investment income
|
(0.05
|
)
|
(0.01
|
)
|
–
|
|||||||
From net realized gains on investments
|
(0.08
|
)
|
–
|
–
|
||||||||
Total Distributions
|
(0.13
|
)
|
(0.01
|
)
|
–
|
|||||||
NET INCREASE/(DECREASE) IN NET ASSET VALUE
|
1.27
|
1.39
|
(0.30
|
)
|
||||||||
NET ASSET VALUE, END OF PERIOD
|
$
|
12.36
|
$
|
11.09
|
$
|
9.70
|
||||||
TOTAL RETURN(d)
|
12.75
|
%
|
14.47
|
%(e)
|
(3.00
|
%)
|
||||||
SUPPLEMENTAL DATA:
|
||||||||||||
Net assets, end of period (in 000s)
|
$
|
367,393
|
$
|
242,295
|
$
|
24
|
||||||
RATIOS TO AVERAGE NET ASSETS
|
||||||||||||
Operating expenses excluding reimbursement/waiver
|
1.09
|
%
|
1.16
|
%
|
1.96
|
%(f)
|
||||||
Operating expenses including reimbursement/waiver
|
0.98
|
%(g)
|
1.00
|
%
|
1.00
|
%(f)
|
||||||
Net investment income/(loss) including reimbursement/waiver
|
0.27
|
%
|
0.46
|
%
|
(0.10
|
%)(f)
|
||||||
PORTFOLIO TURNOVER RATE(h)
|
13
|
%
|
16
|
%
|
0
|
%
|
(a) |
Commenced operations on September 16, 2015.
|
(b) |
Per share amounts are based upon average shares outstanding.
|
(c) |
Less than ($0.005) per share.
|
(d) |
Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal year. Total returns are for the period indicated and have not been annualized. Total returns would have been lower had certain expenses not been waived during the period. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
|
(e) |
In 2016, the Fund's total return consists of a voluntary/unvoluntary reimbursement by the adviser for a realized investment loss. Excluding this item, total return would not change as the impact is less than 0.005%.
|
42
|
www.clarkstonfunds.com
|
Clarkston Partners Fund – Institutional Class
|
Financial Highlights
|
(f) |
Annualized.
|
(g) |
According to the Fund's shareholder services plan with respect to the Fund's Institutional shares, any amount of fees accrued according to the plan but not paid during the Fund's fiscal year for such service activities shall be reimbursed to the Fund as soon as practical. Fees were reimbursed to the Fund during the year ended September 30, 2017, in the amount of 0.02% of average net assets of Institutional shares.
|
(h) |
Portfolio turnover rate for periods less than one full year have not been annualized.
|
Annual Report | September 30, 2017
|
43
|
Clarkston Fund – Institutional Class
|
Financial Highlights
|
For the Year Ended
September 30, 2017 |
For the Period Ended
September 30, 2016(a) |
|||||||
NET ASSET VALUE, BEGINNING OF PERIOD
|
$
|
10.52
|
$
|
10.00
|
||||
INCOME/(LOSS) FROM OPERATIONS:
|
||||||||
Net investment income(b)
|
0.16
|
0.08
|
||||||
Net realized and unrealized gain on investments
|
0.90
|
0.44
|
||||||
Total from investment operations
|
1.06
|
0.52
|
||||||
LESS DISTRIBUTIONS:
|
||||||||
From net investment income
|
(0.10
|
)
|
–
|
|||||
From net realized gains on investments
|
(0.02
|
)
|
–
|
|||||
Total Distributions
|
(0.12
|
)
|
–
|
|||||
NET INCREASE IN NET ASSET VALUE
|
0.94
|
0.52
|
||||||
NET ASSET VALUE, END OF PERIOD
|
$
|
11.46
|
$
|
10.52
|
||||
TOTAL RETURN(c)
|
10.13
|
%
|
5.20
|
%
|
||||
SUPPLEMENTAL DATA:
|
||||||||
Net assets, end of period (in 000s)
|
$
|
29,407
|
$
|
20,173
|
||||
RATIOS TO AVERAGE NET ASSETS
|
||||||||
Operating expenses excluding reimbursement/waiver
|
1.04
|
%
|
1.48
|
%(d)
|
||||
Operating expenses including reimbursement/waiver
|
0.65
|
%(e)
|
0.70
|
%(d)
|
||||
Net investment income including reimbursement/waiver
|
1.41
|
%
|
1.36
|
%(d)
|
||||
PORTFOLIO TURNOVER RATE(f)
|
5
|
%
|
0
|
%
|
(a) |
Commenced operations on April 4, 2016.
|
(b) |
Per share amounts are based upon average shares outstanding.
|
(c) |
Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal year. Total returns are for the period indicated and have not been annualized. Total returns would have been lower had certain expenses not been waived during the period. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
|
(d) |
Annualized.
|
(e) |
According to the Fund's shareholder services plan with respect to the Fund's Institutional shares, any amount of fees accrued according to the plan but not paid during the Fund's fiscal year for such service activities shall be reimbursed to the Fund as soon as practical. Fees were reimbursed to the Fund during the year ended September 30, 2017, in the amount of 0.05% of average net assets of Institutional shares.
|
(f) |
Portfolio turnover rate for periods less than one full year have not been annualized.
|
44
|
www.clarkstonfunds.com
|
Clarkston Select Fund – Institutional Class
|
Financial Highlights
|
For the Period Ended
September 30, 2017(a) |
||||
NET ASSET VALUE, BEGINNING OF PERIOD
|
$
|
10.00
|
||
INCOME/(LOSS) FROM OPERATIONS:
|
||||
Net investment income(b)
|
0.12
|
|||
Net realized and unrealized gain on investments
|
0.50
|
|||
Total from investment operations
|
0.62
|
|||
LESS DISTRIBUTIONS:
|
||||
From net investment income
|
(0.12
|
)
|
||
Total Distributions
|
(0.12
|
)
|
||
NET INCREASE IN NET ASSET VALUE
|
0.50
|
|||
NET ASSET VALUE, END OF PERIOD
|
$
|
10.50
|
||
TOTAL RETURN(c)
|
6.21
|
%
|
||
SUPPLEMENTAL DATA:
|
||||
Net assets, end of period (in 000s)
|
$
|
11,785
|
||
RATIOS TO AVERAGE NET ASSETS
|
||||
Operating expenses excluding reimbursement/waiver
|
1.72
|
%(d)
|
||
Operating expenses including reimbursement/waiver
|
0.67
|
%(d)(e)
|
||
Net investment income including reimbursement/waiver
|
1.76
|
%(d)
|
||
PORTFOLIO TURNOVER RATE(f)
|
3
|
%
|
(a) |
Commenced operations on February 1, 2017.
|
(b) |
Per share amounts are based upon average shares outstanding.
|
(c) |
Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal year. Total returns are for the period indicated and have not been annualized. Total returns would have been lower had certain expenses not been waived during the period. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
|
(d) |
Annualized.
|
(e) |
According to the Fund's shareholder services plan with respect to the Fund's Institutional shares, any amount of fees accrued according to the plan but not paid during the Fund's fiscal year for such service activities shall be reimbursed to the Fund as soon as practical. Fees were reimbursed to the Fund during the year ended September 30, 2017, in the amount of 0.03% of average net assets of Institutional shares.
|
(f) |
Portfolio turnover rate for periods less than one full year have not been annualized.
|
Annual Report | September 30, 2017
|
45
|
Clarkston Founders Fund – Institutional Class
|
Financial Highlights
|
For the Period Ended
September 30, 2017(a) |
||||
NET ASSET VALUE, BEGINNING OF PERIOD
|
$
|
10.00
|
||
INCOME/(LOSS) FROM OPERATIONS:
|
||||
Net investment income(b)
|
0.02
|
|||
Net realized and unrealized gain on investments
|
0.62
|
|||
Total from investment operations
|
0.64
|
|||
NET INCREASE IN NET ASSET VALUE
|
0.64
|
|||
NET ASSET VALUE, END OF PERIOD
|
$
|
10.64
|
||
TOTAL RETURN(c)
|
6.40
|
%
|
||
SUPPLEMENTAL DATA:
|
||||
Net assets, end of period (in 000s)
|
$
|
24,147
|
||
RATIOS TO AVERAGE NET ASSETS
|
||||
Operating expenses excluding reimbursement/waiver
|
1.46
|
%(d)
|
||
Operating expenses including reimbursement/waiver
|
0.92
|
%(d)(e)
|
||
Net investment income including reimbursement/waiver
|
0.29
|
%(d)
|
||
PORTFOLIO TURNOVER RATE(f)
|
4
|
%
|
(a) |
Commenced operations on February 1, 2017.
|
(b) |
Per share amounts are based upon average shares outstanding.
|
(c) |
Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal year. Total returns are for the period indicated and have not been annualized. Total returns would have been lower had certain expenses not been waived during the period. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
|
(d) |
Annualized.
|
(e) |
According to the Fund's shareholder services plan with respect to the Fund's Institutional shares, any amount of fees accrued according to the plan but not paid during the Fund's fiscal year for such service activities shall be reimbursed to the Fund as soon as practical. Fees were reimbursed to the Fund during the year ended September 30, 2017, in the amount of 0.03% of average net assets of Institutional shares.
|
(f) |
Portfolio turnover rate for periods less than one full year have not been annualized.
|
46
|
www.clarkstonfunds.com
|
Clarkston Funds
|
Notes to Financial Statements
|
September 30, 2017
|
Annual Report | September 30, 2017
|
47
|
Clarkston Funds
|
Notes to Financial Statements
|
September 30, 2017
|
Level 1 – |
Unadjusted quoted prices in active markets for identical investments, unrestricted assets or liabilities that the Fund has the ability to access at the measurement date;
|
Level 2 – |
Quoted prices which are not active, quoted prices for similar assets or liabilities in active markets or inputs other than quoted prices that are observable (either directly or indirectly); and
|
Level 3 – |
Significant unobservable prices or inputs (including the Fund’s own assumptions in determining the fair value of investments) where there is little or no market activity for the asset or liability at the measurement date.
|
48
|
www.clarkstonfunds.com
|
Clarkston Funds
|
Notes to Financial Statements
|
September 30, 2017
|
Investments in Securities at Value
|
Level 1 - Unadjusted
Quoted Prices |
Level 2 -
Other Significant Observable Inputs |
Level 3 -
Significant Unobservable Inputs |
Total
|
||||||||||||
Common Stocks
|
||||||||||||||||
Consumer Discretionary
|
$
|
52,768,750
|
$
|
–
|
$
|
–
|
$
|
52,768,750
|
||||||||
Consumer Staples
|
32,311,000
|
–
|
–
|
32,311,000
|
||||||||||||
Financial Services
|
262,033,240
|
–
|
–
|
262,033,240
|
||||||||||||
Materials & Processing
|
13,674,000
|
–
|
–
|
13,674,000
|
||||||||||||
Producer Durables
|
163,152,786
|
–
|
–
|
163,152,786
|
||||||||||||
Technology
|
13,224,000
|
–
|
–
|
13,224,000
|
||||||||||||
Total
|
$
|
537,163,776
|
$
|
–
|
$
|
–
|
$
|
537,163,776
|
Investments in Securities at Value
|
Level 1 - Unadjusted
Quoted Prices |
Level 2 -
Other Significant Observable Inputs |
Level 3 -
Significant Unobservable Inputs |
Total
|
||||||||||||
Common Stocks
|
||||||||||||||||
Consumer Discretionary
|
$
|
1,071,697
|
$
|
–
|
$
|
–
|
$
|
1,071,697
|
||||||||
Consumer Staples
|
6,330,405
|
–
|
–
|
6,330,405
|
||||||||||||
Financial Services
|
6,675,775
|
–
|
–
|
6,675,775
|
||||||||||||
Health Care
|
3,010,975
|
–
|
–
|
3,010,975
|
||||||||||||
Producer Durables
|
4,170,020
|
–
|
–
|
4,170,020
|
||||||||||||
Technology
|
3,395,010
|
–
|
–
|
3,395,010
|
||||||||||||
Total
|
$
|
24,653,882
|
$
|
–
|
$
|
–
|
$
|
24,653,882
|
Annual Report | September 30, 2017
|
49
|
Clarkston Funds
|
Notes to Financial Statements
|
September 30, 2017
|
Investments in Securities at Value
|
Level 1 - Unadjusted
Quoted Prices |
Level 2 -
Other Significant Observable Inputs |
Level 3 -
Significant Unobservable Inputs |
Total
|
||||||||||||
Common Stocks
|
||||||||||||||||
Consumer Discretionary
|
$
|
462,395
|
$
|
–
|
$
|
–
|
$
|
462,395
|
||||||||
Consumer Staples
|
2,455,760
|
–
|
–
|
2,455,760
|
||||||||||||
Financial Services
|
1,799,448
|
–
|
–
|
1,799,448
|
||||||||||||
Health Care
|
773,032
|
–
|
–
|
773,032
|
||||||||||||
Materials & Processing
|
273,480
|
–
|
–
|
273,480
|
||||||||||||
Producer Durables
|
2,401,027
|
–
|
–
|
2,401,027
|
||||||||||||
Technology
|
1,570,905
|
–
|
–
|
1,570,905
|
||||||||||||
Total
|
$
|
9,736,047
|
$
|
–
|
$
|
–
|
$
|
9,736,047
|
Investments in Securities at Value
|
Level 1 - Unadjusted
Quoted Prices |
Level 2 -
Other Significant Observable Inputs |
Level 3 -
Significant Unobservable Inputs |
Total
|
||||||||||||
Common Stocks
|
||||||||||||||||
Consumer Discretionary
|
$
|
764,595
|
$
|
–
|
$
|
–
|
$
|
764,595
|
||||||||
Consumer Staples
|
1,959,330
|
–
|
–
|
1,959,330
|
||||||||||||
Financial Services
|
7,923,942
|
–
|
–
|
7,923,942
|
||||||||||||
Health Care
|
1,094,577
|
–
|
–
|
1,094,577
|
||||||||||||
Materials & Processing
|
524,170
|
–
|
–
|
524,170
|
||||||||||||
Producer Durables
|
3,574,540
|
–
|
–
|
3,574,540
|
||||||||||||
Technology
|
440,800
|
–
|
–
|
440,800
|
||||||||||||
Total
|
$
|
16,281,954
|
$
|
–
|
$
|
–
|
$
|
16,281,954
|
50
|
www.clarkstonfunds.com
|
Clarkston Funds
|
Notes to Financial Statements
|
September 30, 2017
|
Annual Report | September 30, 2017
|
51
|
Clarkston Funds
|
Notes to Financial Statements
|
September 30, 2017
|
Ordinary Income
|
Long-Term
Capital Gains |
|||||||
Clarkston Partners Fund
|
$
|
7,091,111
|
$
|
92,112
|
||||
Clarkston Fund
|
254,491
|
–
|
||||||
Clarkston Select Fund
|
122,180
|
–
|
Ordinary Income
|
Long-Term
Capital Gains |
|||||||
Clarkston Partners Fund
|
$
|
448,278
|
$
|
–
|
Paid-in Capital
|
Accumulated Net Investment Income
|
Accumulated Net Realized Gains on Investments
|
||||||||||
Clarkston Partners Fund
|
$
|
–
|
$
|
(381
|
)
|
$
|
381
|
|||||
Clarkston Fund
|
(21,897
|
)
|
21,897
|
–
|
||||||||
Clarkston Select Fund
|
(14,653
|
)
|
14,653
|
–
|
||||||||
Clarkston Founders Fund
|
(27,457
|
)
|
27,457
|
–
|
52
|
www.clarkstonfunds.com
|
Clarkston Funds
|
Notes to Financial Statements
|
September 30, 2017
|
Clarkston
Partners Fund |
Clarkston Fund
|
Clarkston
Select Fund |
Clarkston
Founders Fund |
|||||||||||||
Gross unrealized appreciation (excess of value over tax cost)
|
$
|
118,082,828
|
$
|
3,284,206
|
$
|
635,496
|
$
|
1,389,325
|
||||||||
Gross unrealized depreciation (excess of tax cost over value)
|
(3,095,211
|
)
|
(475,757
|
)
|
(229,883
|
)
|
(161,815
|
)
|
||||||||
Net unrealized appreciation
|
$
|
114,987,617
|
$
|
2,808,449
|
$
|
405,613
|
$
|
1,227,510
|
||||||||
Cost of investments for income tax purposes
|
$
|
422,176,159
|
$
|
21,845,433
|
$
|
9,330,434
|
$
|
15,054,444
|
Clarkston
Partners Fund |
Clarkston Fund
|
Clarkston
Select Fund |
Clarkston
Founders Fund |
|||||||||||||
Undistributed ordinary income
|
$
|
1,172,608
|
$
|
307,993
|
$
|
32,696
|
$
|
67,019
|
||||||||
Accumulated capital gains/(losses)
|
7,147,105
|
–
|
–
|
(38,987
|
)
|
|||||||||||
Net unrealized appreciation
|
114,987,617
|
2,808,449
|
405,613
|
1,227,510
|
||||||||||||
Total
|
$
|
123,307,330
|
$
|
3,116,442
|
$
|
438,309
|
$
|
1,255,542
|
Fund
|
Non-expiring
Short-Term |
|||
Clarkston Founders Fund
|
$
|
38,987
|
Annual Report | September 30, 2017
|
53
|
Clarkston Funds
|
Notes to Financial Statements
|
September 30, 2017
|
Purchases of Securities
|
Proceeds from Sales of Securities
|
|||||||
Clarkston Partners Fund
|
$
|
85,511,821
|
$
|
61,238,988
|
||||
Clarkston Fund
|
7,569,077
|
1,030,758
|
||||||
Clarkston Select Fund
|
9,531,573
|
225,816
|
||||||
Clarkston Founders Fund
|
15,661,712
|
568,281
|
54
|
www.clarkstonfunds.com
|
Clarkston Funds
|
Notes to Financial Statements
|
September 30, 2017
|
For the Year or Period Ended September 30,
2017 |
For the Year or Period Ended September 30,
2016 |
|||||||
Clarkston Partners Fund
|
||||||||
Founders Class
|
||||||||
Shares sold
|
6,286,064
|
16,080,830
|
||||||
Shares issued in reinvestment of distributions to shareholders
|
10,663
|
24,396
|
||||||
Shares redeemed
|
(1,999,988
|
)
|
(1,341,410
|
)
|
||||
Net increase in shares outstanding
|
4,296,739
|
14,763,816
|
||||||
Institutional Class
|
||||||||
Shares sold
|
13,053,266
|
32,679,127
|
||||||
Shares issued in reinvestment of distributions to shareholders
|
284,204
|
19,999
|
||||||
Shares redeemed
|
(5,461,351
|
)
|
(10,862,954
|
)
|
||||
Net increase in shares outstanding
|
7,876,119
|
21,836,172
|
||||||
Clarkston Fund(a)
|
||||||||
Institutional Class
|
||||||||
Shares sold
|
904,686
|
1,948,035
|
||||||
Shares issued in reinvestment of distributions to shareholders
|
23,542
|
–
|
||||||
Shares redeemed
|
(279,399
|
)
|
(30,385
|
)
|
||||
Net increase in shares outstanding
|
648,829
|
1,917,650
|
||||||
Clarkston Select Fund(b)
|
||||||||
Institutional Class
|
||||||||
Shares sold
|
1,237,139
|
N/A
|
||||||
Shares issued in reinvestment of distributions to shareholders
|
11,806
|
N/A
|
||||||
Shares redeemed
|
(126,209
|
)
|
N/A
|
|||||
Net increase in shares outstanding
|
1,122,736
|
N/A
|
||||||
Clarkston Founders Fund(b)
|
||||||||
Institutional Class
|
||||||||
Shares sold
|
2,374,806
|
N/A
|
||||||
Shares issued in reinvestment of distributions to shareholders
|
–
|
N/A
|
||||||
Shares redeemed
|
(106,208
|
)
|
N/A
|
|||||
Net increase in shares outstanding
|
2,268,598
|
N/A
|
(a) |
Commenced operations on April 4, 2016.
|
(b) |
Commenced operations on February 1, 2017.
|
Annual Report | September 30, 2017
|
55
|
Clarkston Funds
|
Notes to Financial Statements
|
September 30, 2017
|
56
|
www.clarkstonfunds.com
|
Clarkston Funds
|
Notes to Financial Statements
|
September 30, 2017
|
Expiring in 2018
|
Expiring in 2019
|
Expiring in 2020
|
||||||||||
Clarkston Partners Fund
|
||||||||||||
Founders
|
50,396
|
368,096
|
389,579
|
|||||||||
Institutional
|
10
|
301,646
|
349,038
|
|||||||||
Clarkston Fund
|
||||||||||||
Institutional
|
–
|
64,723
|
101,949
|
|||||||||
Clarkston Select Fund
|
||||||||||||
Institutional
|
–
|
–
|
68,518
|
|||||||||
Clarkston Founders Fund
|
||||||||||||
Institutional
|
–
|
–
|
73,077
|
Annual Report | September 30, 2017
|
57
|
Clarkston Funds
|
Notes to Financial Statements
|
September 30, 2017
|
58
|
www.clarkstonfunds.com
|
Clarkston Funds
|
Report of Independent Registered Public Accounting Firm
|
Annual Report | September 30, 2017
|
59
|
Clarkston Funds
|
Additional Information
|
September 30, 2017 (Unaudited)
|
60
|
www.clarkstonfunds.com
|
Clarkston Funds
|
Additional Information
|
September 30, 2017 (Unaudited)
|
Amount
|
|
Clarkston Partners Fund
|
96.22%
|
Clarkston Fund
|
89.45%
|
Amount
|
|
Clarkston Partners Fund
|
95.83%
|
Clarkston Fund
|
89.45%
|
Annual Report | September 30, 2017
|
61
|
Clarkston Funds
|
Additional Information
|
September 30, 2017 (Unaudited)
|
62
|
www.clarkstonfunds.com
|
Clarkston Funds
|
Additional Information
|
September 30, 2017 (Unaudited)
|
● |
each Clarkston Fund’s contractual advisory fee was at or below the peer group median, and in two cases the lowest in the peer group and was not unreasonable;
|
● |
each Clarkston Fund’s total net expenses (after fee waiver and expense reimbursement) for each class of such Fund were substantially below the peer group median (and in one case the lowest in the peer group), with exception of one class which was approximately at the peer group median, and in all cases, fair to the Clarkston Fund’s shareholders;
|
● |
bearing in mind the limitations of comparing different types of accounts and the different levels of service typically associated with such accounts, the fee structures applicable to Clarkston Capital’s other clients employing a comparable strategy to any Clarkston Fund were not indicative of any unreasonableness with respect to the advisory payable by such Clarkston Fund;
|
● |
the terms of the fee waiver/expense reimbursement letter agreement between the Trust, (on behalf of each Clarkston Fund) and Clarkston Capital, were reasonable;
|
Annual Report | September 30, 2017
|
63
|
Clarkston Funds
|
Additional Information
|
September 30, 2017 (Unaudited)
|
● |
the nature, extent and quality of services rendered by Clarkston Capital under the Investment Advisory Agreement were adequate;
|
● |
bearing in mind the relatively short performance history of the Clarkston Funds (especially the Clarkston Founders Fund and the Clarkston Select Fund), the performance of each Clarkston Fund, was acceptable;
|
● |
the estimated profitability of Clarkston Capital relating to the management of each Clarkston Fund was not unreasonable; and
|
● |
there were no material economies of scale or other material incidental benefits accruing to Clarkston Capital because of its relationship with each Clarkston Fund.
|
64
|
www.clarkstonfunds.com
|
Clarkston Funds
|
Trustees and Officers
|
Name,
Birth Year & Address* |
Position(s)Held with Fund
|
Term of
Office and Length of Time Served** |
Principal Occupation(s)
During Past 5 Years*** |
Number of
Funds in Fund Complex Overseen by Trustee**** |
Other
Directorships Held by Trustee During Past 5 Years*** |
Ward D. Armstrong
Birth year: 1954
|
Trustee and Chairman
|
Mr. Armstrong was appointed to the Board on May 27, 2016. Mr. Armstrong was appointed Chairman of the Board at the August 24, 2017 meeting of the Board of Trustees.
|
Retired; Managing Partner, NorthRock Partners, LLC (October 2013 to July 2015); Managing Director, NorthRock Partners, a Private Wealth Advisory Practice of Ameriprise Financial (February 2010 to October 2013); Senior Vice President, Ameriprise Financial, Inc. (November 1984 to May 2007); President, American Express Asset Management (2002 to 2004); and Chairman, Ameriprise Trust Company (November 1996 to May 2007).
|
9
|
Mr. Armstrong is a Director of the Heartland Group, Inc. (5 Funds).
|
*
|
All communications to Trustees and Officers may be directed to ALPS Series Trust c/o 1290 Broadway, Suite 1100, Denver, CO 80203.
|
**
|
This is the period for which the Trustee or Officer began serving the Trust. Each Trustee serves an indefinite term, until such Trustee’s successor is elected and appointed, or such Trustee resigns or is deceased. Officers are elected on an annual basis.
|
***
|
Except as otherwise indicated, each individual has held the office shown or other offices in the same company for the last five years.
|
****
|
The Fund Complex currently consists of 9 series of the Trust and any other investment companies for which Clarkston Capital Partners, LLC provides investment advisory services, currently none.
|
Annual Report | September 30, 2017
|
65
|
Clarkston Funds
|
Trustees and Officers
|
Name,
Birth Year & Address* |
Position(s)Held with Fund
|
Term of
Office and Length of Time Served** |
Principal Occupation(s)
During Past 5 Years*** |
Number of
Funds in Fund Complex Overseen by Trustee**** |
Other
Directorships Held by Trustee During Past 5 Years*** |
J. Wayne Hutchens
Birth year: 1944
|
Trustee
|
Mr. Hutchens was elected to the Board on October 30, 2012.
|
Mr. Hutchens is currently retired. From April 2006 to December 2012, he served as President and CEO of the University of Colorado (CU) Foundation and from April 2009 to December 2012, he was Executive Director of the CU Real Estate Foundation. Mr. Hutchens is also Trustee of the Denver Museum of Nature and Science (2000 to present), Director of AMG National Trust Bank (June 2012 to present) and Trustee of Children’s Hospital Colorado (May 2012 to present). Prior to these positions, Mr. Hutchens spent 29 years in the banking industry, retiring as Chairman of Chase Bank Colorado.
|
9
|
RiverNorth Opportunity fund (2013 to present).
|
Patrick Seese
Birth year: 1971
|
Trustee
|
Mr. Seese was elected to the Board on October 30, 2012.
|
Mr. Seese is an owner and a Managing Director of Integris Partners, a middle- market investment banking firm serving closely-held companies, financial sponsors and public companies (February 2008 to present). Prior to this, Mr. Seese was a Managing Director of Headwaters MB, a middle-market investing banking firm (December 2003 to February 2008). Prior to that, Mr. Seese worked in Credit Suisse First Boston’s Mergers and Acquisitions Group and served as Head of Corporation Development, Katy Industries, a publicly traded industrial and consumer products company and at Deloitte & Touche LLP, where he began his career in 1994.
|
9
|
None.
|
*
|
All communications to Trustees and Officers may be directed to ALPS Series Trust c/o 1290 Broadway, Suite 1100, Denver, CO 80203.
|
**
|
This is the period for which the Trustee or Officer began serving the Trust. Each Trustee serves an indefinite term, until such Trustee’s successor is elected and appointed, or such Trustee resigns or is deceased. Officers are elected on an annual basis.
|
***
|
Except as otherwise indicated, each individual has held the office shown or other offices in the same company for the last five years.
|
****
|
The Fund Complex currently consists of 9 series of the Trust and any other investment companies for which Clarkston Capital Partners, LLC provides investment advisory services, currently none.
|
66
|
www.clarkstonfunds.com
|
Clarkston Funds
|
Trustees and Officers
|
Name,
Birth Year & Address* |
Position(s) Held with Fund
|
Term of
Office and Length of Time Served** |
Principal Occupation(s)
During Past 5 Years*** |
Number of
Funds in Fund Complex Overseen by Trustee**** |
Other
Directorships Held by Trustee During Past 5 Years*** |
Jeremy O. May
Birth year: 1970
|
Trustee and President
|
Mr. May was elected Trustee and President on October 30, 2012. Mr. May was Chairman from October 30, 2012 to August 24, 2017.
|
Mr. May joined ALPS in 1995 and is currently President and Director of ALPS Fund Services, Inc. and ALPS Distributors, Inc., Executive Vice President and Director of ALPS Holdings, Inc. and ALPS Advisors, Inc. and Director of ALPS Portfolio Solutions Distributor, Inc. Because of his positions with these entities, Mr. May is deemed an affiliate of the Trust as defined under the 1940 Act. Mr. May is also Trustee of the Reaves Utility Income Fund and the ALPS Elevation Trust. Mr. May is also on the Board of Directors of the University of Colorado Foundation and the AV Hunter Trust.
|
9
|
Mr. May is Chairman and Trustee of the Reaves Utility Income Fund (1 fund) and ALPS Elevation Trust (2 ETFs).
|
*
|
All communications to Trustees and Officers may be directed to ALPS Series Trust c/o 1290 Broadway, Suite 1100, Denver, CO 80203.
|
**
|
This is the period for which the Trustee or Officer began serving the Trust. Each Trustee serves an indefinite term, until such Trustee’s successor is elected and appointed, or such Trustee resigns or is deceased. Officers are elected on an annual basis.
|
***
|
Except as otherwise indicated, each individual has held the office shown or other offices in the same company for the last five years.
|
****
|
The Fund Complex currently consists of 9 series of the Trust and any other investment companies for which Clarkston Capital Partners, LLC provides investment advisory services, currently none.
|
Annual Report | September 30, 2017
|
67
|
Clarkston Funds
|
Trustees and Officers
|
Name,
Birth Year & Address* |
Position(s)
Held with Fund |
Term of
Office and Length of Time Served** |
Principal Occupation(s) During Past 5 Years***
|
Kimberly R. Storms
Birth year: 1972
|
Treasurer
|
Ms. Storms was elected Treasurer of the Trust on October 30, 2012.
|
Ms. Storms is Senior Vice President and Director of Fund Administration of ALPS. Because of her position with ALPS, Ms. Storms is deemed an affiliate of the Trust as defined under the 1940 Act. Ms. Storms is also Treasurer of Financial Investors Trust, Liberty All-Star Equity Fund and Liberty All- Star Growth Fund, Inc.
|
Richard C. Noyes
Birth year: 1970
|
Secretary
|
Mr. Noyes was elected Secretary of the Trust on November 14, 2016
|
Mr. Noyes joined ALPS in 2015 and is Senior Vice President and Director of Legal Administration of ALPS. Prior to joining ALPS, Mr. Noyes served as Assistant Vice President and Senior Counsel of Janus Capital Management LLC. Mr. Noyes is deemed an affiliate of the Trust as defined under the 1940 Act. Mr. Noyes is also Secretary of Westcore Trust.
|
Jennifer A. Craig
Birth year: 1973
|
Assistant Secretary
|
Ms. Craig was elected Assistant Secretary of the Trust on May 27, 2016.
|
Ms. Craig joined ALPS in 2007 and is currently Assistant Vice President and Paralegal Manager. Prior to joining ALPS, Ms. Craig was Legal Manager at Janus Capital Management LLC and served as Assistant Secretary of Janus Investment Fund, Janus Adviser Series and Janus Aspen Series. Because of her position with ALPS, Ms. Craig is deemed an affiliate of the Trust as defined under the 1940 Act. Ms. Craig is also Assistant Secretary of Clough Funds Trust, Clough Global Opportunities Fund, Clough Global Allocation Fund, Clough Global Equity Fund and Financial Investors Trust.
|
Alan Gattis
Birth year: 1980
|
Assistant Treasurer
|
Mr. Gattis was elected Assistant Treasurer of the Trust on August 9, 2016.
|
Mr. Gattis joined ALPS in 2011 and is currently Vice President and Fund Controller of ALPS. Prior to joining ALPS, Mr. Gattis was an Auditor at Spicer Jeffries LLP (2009 through 2011) and an Auditor at PricewaterhouseCoopers LLP (2004 - 2009). Because of his position with ALPS, Mr. Gattis is deemed an affiliate of the Trust as defined under the 1940 Act. Mr. Gattis is also Assistant Treasurer of Clough Funds Trust, Clough Global Opportunities Fund, Clough Global Allocation Fund, Clough Global Equity Fund, Griffin Institutional Access Real Estate Fund, Stadion Funds and Centaur Mutual Funds Trust.
|
*
|
All communications to Trustees and Officers may be directed to ALPS Series Trust c/o 1290 Broadway, Suite 1100, Denver, CO 80203.
|
**
|
This is the period for which the Trustee or Officer began serving the Trust. Each Trustee serves an indefinite term, until such Trustee’s successor is elected and appointed, or such Trustee resigns or is deceased. Officers are elected on an annual basis.
|
***
|
Except as otherwise indicated, each individual has held the office shown or other offices in the same company for the last five years.
|
68
|
www.clarkstonfunds.com
|
Clarkston Funds
|
Trustees and Officers
|
Name,
Birth Year & Address* |
Position(s)
Held with Fund |
Term of
Office and Length of Time Served** |
Principal Occupation(s) During Past 5 Years***
|
Cory J. Gossard
Birth year: 1972
|
Chief Compliance Officer (“CCO”)
|
Mr. Gossard was elected CCO of the Trust on October 20, 2017.
|
Mr. Gossard oversees all day-to-day compliance aspects of ALPS’ business within Fund CCO Services, Compliance Administration, Risk Management and Assurance Services. Mr. Gossard is deemed an affiliate of the Trust as defined under the 1940 Act. Mr. Gossard also serves as Fund CCO for the SPDR S&P 500 ETF Trust, SPDR DJIA ETF Trust, and SPDR S&P MidCap 400 ETF Trust. Prior to joining ALPS in 2014, Mr. Gossard held a series of progressively responsible roles throughout an 18-year career with Citibank.
|
*
|
All communications to Trustees and Officers may be directed to ALPS Series Trust c/o 1290 Broadway, Suite 1100, Denver, CO 80203.
|
**
|
This is the period for which the Trustee or Officer began serving the Trust. Each Trustee serves an indefinite term, until such Trustee’s successor is elected and appointed, or such Trustee resigns or is deceased. Officers are elected on an annual basis.
|
***
|
Except as otherwise indicated, each individual has held the office shown or other offices in the same company for the last five years.
|
Annual Report | September 30, 2017
|
69
|
Shareholder Letter
|
1
|
Portfolio Update
|
5
|
Disclosure of Fund Expenses
|
8
|
Portfolio of Investments
|
9
|
Statement of Assets and Liabilities
|
17
|
Statement of Operations
|
18
|
Statements of Changes in Net Assets
|
19
|
Statement of Cash Flows
|
20
|
Financial Highlights
|
21
|
Notes to Financial Statements
|
27
|
Report of Independent Registered Public Accounting Firm
|
37
|
Additional Information
|
38
|
Trustees and Officers
|
40
|
Shareholder Letter
|
September 30, 2017 (Unaudited)
|
Annual Report | September 30, 2017
|
1
|
Shareholder Letter
|
September 30, 2017 (Unaudited)
|
Longs
|
Shorts
|
||||||||||
Ticker
|
Company
|
Profits
|
Ticker
|
Company
|
Profits
|
||||||
MCD
|
McDonald’s Corp.
|
$
|
1,840,420
|
SWN
|
Southwestern Energy Co.
|
$
|
297,804
|
||||
RTN
|
Raytheon Company
|
$
|
1,677,099
|
REGN
|
Regeneron Pharmaceuticals
|
$
|
260,235
|
||||
GOOGL
|
Alphabet Inc.
|
$
|
1,331,105
|
AYI
|
Acuity Brands Inc.
|
$
|
254,840
|
||||
FISV
|
Fiserv Inc.
|
$
|
1,254,224
|
ALXN
|
Alexion Pharmaceuticals Inc.
|
$
|
252,507
|
||||
MMM
|
3M Company
|
$
|
1,106,902
|
AMD
|
Advanced Micro Devices Inc.
|
$
|
245,399
|
Beta to the S&P 500 Index
|
Annualized Alpha to the S&P 500 Index
|
|
COGIX
|
0.12
|
1.56%
|
COGMX
|
0.13
|
1.29%
|
Correlation of Returns to the S&P 500 Index
|
R Squared of Returns to the S&P 500 Index
|
|
COGIX
|
0.161
|
2.6%
|
COGMX
|
0.163
|
2.7%
|
2
|
www.cogniosfunds.com
|
Shareholder Letter
|
September 30, 2017 (Unaudited)
|
Jonathan Angrist
|
Brian Machtley
|
Francisco Bido
|
Annual Report | September 30, 2017
|
3
|
Shareholder Letter
|
September 30, 2017 (Unaudited)
|
4
|
www.cogniosfunds.com
|
Portfolio Update
|
September 30, 2017 (Unaudited)
|
3 Month
|
6 Month
|
1 Year
|
3 Year
|
Since Inception*
|
|
Cognios Market Neutral Large Cap Fund – Investor Class
|
0.43%
|
‐1.87%
|
‐4.31%
|
1.15%
|
3.13%
|
Cognios Market Neutral Large Cap Fund – Institutional Class
|
0.32%
|
‐2.00%
|
‐4.65%
|
0.91%
|
2.87%
|
S&P 500® Total Return Index(a)
|
4.48%
|
7.71%
|
18.61%
|
10.81%
|
15.12%
|
HFRX Equity Market Neutral Index(b)
|
2.07%
|
1.25%
|
1.52%
|
1.28%
|
1.72%
|
* |
Fund’s inception date is December 31, 2012.
|
(a) |
The S&P 500® Total Return Index is an unmanaged index of 500 common stocks chosen for the market size, liquidity and industry group representation. It is a market-value weighted index.
|
(b) |
The HFRX Equity Market Neutral Index is a common benchmark for long/ short market neutral hedge funds (funds traditionally only available to high net-worth accredited and institutional investors that are also “qualified clients” as defined by the SEC).
|
Annual Report | September 30, 2017
|
5
|
Portfolio Update
|
September 30, 2017 (Unaudited)
|
Basic Materials (Short)
|
‐1.17%
|
Communications ‐ Long
|
3.37%
|
Communications (Short)
|
‐4.08%
|
Consumer Cyclical ‐ Long
|
29.07%
|
Consumer Cyclical (Short)
|
‐5.25%
|
Consumer Non‐cyclical ‐ Long
|
51.07%
|
Consumer Non‐cyclical (Short)
|
‐21.15%
|
Energy (Short)
|
‐11.66%
|
Financials ‐ Long
|
6.65%
|
Financials (Short)
|
‐24.68%
|
Industrials ‐ Long
|
18.67%
|
Industrials (Short)
|
‐7.82%
|
Money Market Fund ‐ Long
|
0.26%
|
Technology ‐ Long
|
3.34%
|
Technology (Short)
|
‐2.89%
|
Utilities ‐ Long
|
12.52%
|
Utilities (Short)
|
‐10.27%
|
Cash, Cash Equivalents, & Other Net Assets
|
64.02%
|
TOTAL
|
100.00%
|
* |
Holdings are subject to change, and may not reflect the current or future position of the portfolio. Table presents indicative values only.
|
6
|
www.cogniosfunds.com
|
Portfolio Update
|
September 30, 2017 (Unaudited)
|
Security
|
Ticker
|
Weight^
|
Michael Kors Holdings, Ltd.
|
KORS
|
1.84%
|
AutoZone, Inc.
|
AZO
|
1.84%
|
Centene Corp.
|
CNC
|
1.84%
|
L Brands, Inc.
|
LB
|
1.83%
|
Tyson Foods, Inc.
|
TSN
|
1.82%
|
O'Reilly Automotive, Inc.
|
ORLY
|
1.81%
|
WW Grainger, Inc.
|
GWW
|
1.81%
|
Dollar Tree, Inc.
|
DLTR
|
1.80%
|
CH Robinson Worldwide, Inc.
|
CHRW
|
1.78%
|
McCormick & Co., Inc.
|
MKC
|
1.78%
|
* |
Holdings are subject to change, and may not reflect the current or future position of the portfolio. Table presents indicative values only.
|
^ |
Position Rank based on percentage of net assets
|
Annual Report | September 30, 2017
|
7
|
Disclosure of Fund Expenses
|
September 30, 2017 (Unaudited)
|
Beginning Account Value April 1, 2017
|
Ending
Account Value September 30, 2017 |
Expense
Ratio(a) |
Expenses Paid, and During
Period April 1, 2017 - September 30, 2017(b) |
|
Investor Class
|
||||
Actual
|
$1,000.00
|
$ 980.00
|
3.60%
|
$17.87
|
Hypothetical (5% return before expenses)
|
$1,000.00
|
$1,007.02
|
3.60%
|
$18.11
|
Institutional Class
|
||||
Actual
|
$1,000.00
|
$ 981.30
|
3.35%
|
$16.64
|
Hypothetical (5% return before expenses)
|
$1,000.00
|
$1,008.27
|
3.35%
|
$16.87
|
(a) |
Annualized, based on the Fund's most recent fiscal half-year expenses. Expense ratio excluding interest expense and dividends paid on borrowed securities is 1.95% and 1.70% for Investor Class and Institutional Class, respectively.
|
(b) |
Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year (183), divided by 365.
|
8
|
www.cogniosfunds.com
|
Cognios Market Neutral Large Cap Fund
|
Portfolio of Investments
|
September 30, 2017
|
|
Shares
|
Value (Note 2)
|
||||||
COMMON STOCKS (124.69%)
|
||||||||
Communications (3.37%)
|
||||||||
AT&T, Inc.(a)
|
27,310
|
$
|
1,069,733
|
|||||
Facebook, Inc., Class A(a)(b)
|
5,941
|
1,015,138
|
||||||
Total Communications
|
2,084,871
|
|||||||
|
||||||||
Consumer Cyclical (29.07%)
|
||||||||
AutoZone, Inc.(b)
|
1,911
|
1,137,255
|
||||||
Coach, Inc.(a)
|
24,477
|
985,934
|
||||||
Darden Restaurants, Inc.(a)
|
12,504
|
985,065
|
||||||
Dollar Tree, Inc.(a)(b)
|
12,827
|
1,113,640
|
||||||
Foot Locker, Inc.(a)
|
28,158
|
991,725
|
||||||
Hanesbrands, Inc.(a)
|
41,573
|
1,024,359
|
||||||
L Brands, Inc.(a)
|
27,216
|
1,132,458
|
||||||
McDonald's Corp.(a)
|
6,414
|
1,004,945
|
||||||
Michael Kors Holdings, Ltd.(a)(b)
|
23,839
|
1,140,696
|
||||||
NIKE, Inc., Class B(a)
|
19,254
|
998,320
|
||||||
Nordstrom, Inc(a)
|
22,263
|
1,049,700
|
||||||
O'Reilly Automotive, Inc.(b)
|
5,203
|
1,120,570
|
||||||
Ralph Lauren Corp.(a)
|
11,513
|
1,016,483
|
||||||
Target Corp.(a)
|
18,503
|
1,091,862
|
||||||
Ulta Beauty, Inc.(b)
|
4,636
|
1,048,014
|
||||||
Wal‐Mart Stores, Inc.(a)
|
13,065
|
1,020,899
|
||||||
WW Grainger, Inc.(a)
|
6,229
|
1,119,663
|
||||||
Total Consumer Cyclical
|
17,981,588
|
|||||||
|
||||||||
Consumer Non‐cyclical (51.07%)
|
||||||||
Altria Group, Inc.(a)
|
16,209
|
1,027,975
|
||||||
Anthem, Inc.(a)
|
5,207
|
988,705
|
||||||
Biogen, Inc.(a)(b)
|
3,209
|
1,004,802
|
||||||
Campbell Soup Co.
|
22,192
|
1,039,029
|
||||||
Centene Corp.(a)(b)
|
11,732
|
1,135,306
|
||||||
Church & Dwight Co., Inc.(a)
|
20,361
|
986,490
|
||||||
Cigna Corp.(a)
|
5,598
|
1,046,490
|
||||||
Clorox Co.(a)
|
7,378
|
973,232
|
||||||
Coca‐Cola Co.
|
22,420
|
1,009,124
|
||||||
Conagra Brands, Inc.
|
31,214
|
1,053,160
|
||||||
Constellation Brands, Inc., Class A
|
5,119
|
1,020,985
|
||||||
Cooper Cos., Inc.(a)
|
4,347
|
1,030,717
|
||||||
Dr Pepper Snapple Group, Inc.
|
11,199
|
990,775
|
||||||
Envision Healthcare Corp.(a)(b)
|
19,637
|
882,683
|
||||||
Estee Lauder Cos., Inc., Class A(a)
|
9,532
|
1,027,931
|
||||||
General Mills, Inc.(a)
|
19,076
|
987,374
|
||||||
H&R Block, Inc.(a)
|
38,158
|
1,010,424
|
||||||
HCA Healthcare, Inc.(a)(b)
|
13,053
|
1,038,888
|
||||||
Hershey Co.(a)
|
9,786
|
1,068,338
|
See Notes to Financial Statements.
|
Annual Report | September 30, 2017
|
9
|
Cognios Market Neutral Large Cap Fund
|
Portfolio of Investments
|
September 30, 2017
|
|
Shares
|
Value (Note 2)
|
||||||
Consumer Non‐cyclical (continued)
|
||||||||
Hormel Foods Corp.(a)
|
33,381
|
$
|
1,072,865
|
|||||
JM Smucker Co.
|
9,729
|
1,020,864
|
||||||
Kellogg Co.
|
15,680
|
977,962
|
||||||
McCormick & Co., Inc.
|
10,709
|
1,099,172
|
||||||
PepsiCo, Inc.
|
8,847
|
985,821
|
||||||
Procter & Gamble Co.
|
11,065
|
1,006,694
|
||||||
Quest Diagnostics, Inc.(a)
|
9,487
|
888,363
|
||||||
Sysco Corp.
|
19,418
|
1,047,601
|
||||||
Tyson Foods, Inc., Class A
|
16,012
|
1,128,045
|
||||||
UnitedHealth Group, Inc.(a)
|
5,154
|
1,009,411
|
||||||
Varian Medical Systems, Inc.(a)(b)
|
9,794
|
979,988
|
||||||
Verisk Analytics, Inc.(a)(b)
|
12,617
|
1,049,608
|
||||||
Total Consumer Non‐cyclical
|
31,588,822
|
|||||||
|
||||||||
Financials (6.65%)
|
||||||||
Everest RE Group, Ltd.(a)
|
4,055
|
926,121
|
||||||
Intercontinental Exchange, Inc.(a)
|
15,766
|
1,083,124
|
||||||
Loews Corp.(a)
|
21,831
|
1,044,832
|
||||||
Public Storage ‐ REIT(a)
|
4,955
|
1,060,321
|
||||||
Total Financials
|
4,114,398
|
|||||||
|
||||||||
Industrials (18.67%)
|
||||||||
CH Robinson Worldwide, Inc.(a)
|
14,506
|
1,103,907
|
||||||
Expeditors International of Washington, Inc.(a)
|
18,122
|
1,084,783
|
||||||
FLIR Systems, Inc.(a)
|
26,757
|
1,041,115
|
||||||
General Dynamics Corp.(a)
|
5,088
|
1,045,991
|
||||||
Lockheed Martin Corp.(a)
|
3,359
|
1,042,264
|
||||||
Northrop Grumman Corp.(a)
|
3,789
|
1,090,171
|
||||||
Raytheon Co.(a)
|
5,627
|
1,049,886
|
||||||
Republic Services, Inc.(a)
|
15,642
|
1,033,310
|
||||||
Stericycle, Inc.(a)(b)
|
14,246
|
1,020,299
|
||||||
TransDigm Group, Inc.(a)
|
3,919
|
1,001,892
|
||||||
Waste Management, Inc.(a)
|
13,224
|
1,035,042
|
||||||
Total Industrials
|
11,548,660
|
|||||||
|
||||||||
Technology (3.34%)
|
||||||||
Akamai Technologies, Inc.(a)(b)
|
21,665
|
1,055,519
|
||||||
Electronic Arts, Inc.(a)(b)
|
8,549
|
1,009,295
|
||||||
Total Technology
|
2,064,814
|
|||||||
|
||||||||
Utilities (12.52%)
|
||||||||
Ameren Corp.(a)
|
17,109
|
989,585
|
||||||
American Electric Power Co., Inc.(a)
|
13,900
|
976,336
|
||||||
Consolidated Edison, Inc.(a)
|
12,162
|
981,230
|
||||||
Eversource Energy(a)
|
16,284
|
984,205
|
See Notes to Financial Statements.
|
10
|
www.cogniosfunds.com
|
Cognios Market Neutral Large Cap Fund
|
Portfolio of Investments
|
September 30, 2017
|
|
Shares
|
Value (Note 2)
|
||||||
Utilities (continued)
|
||||||||
FirstEnergy Corp.(a)
|
31,338
|
$
|
966,151
|
|||||
PG&E Corp.(a)
|
14,650
|
997,518
|
||||||
Public Service Enterprise Group, Inc.(a)
|
22,025
|
1,018,656
|
||||||
SCANA Corp.(a)
|
17,038
|
826,173
|
||||||
Total Utilities
|
7,739,854
|
|||||||
|
||||||||
TOTAL COMMON STOCKS (Cost $76,545,822)
|
77,123,007
|
7-Day Yield
|
Shares
|
Value (Note 2)
|
||||||||||
SHORT‐TERM INVESTMENTS (0.26%)
|
||||||||||||
Money Market Fund (0.26%)
|
||||||||||||
BlackRock Liquidity Treasury Fund
|
0.66000
|
%
|
163,817
|
163,817
|
||||||||
TOTAL SHORT‐TERM INVESTMENTS (Cost $163,817)
|
163,817
|
|||||||||||
TOTAL INVESTMENTS (124.95%) (Cost $76,709,639)
|
$
|
77,286,824
|
||||||||||
SECURITIES SOLD SHORT (-88.97%)
|
||||||||||||
(Proceeds $54,216,277)
|
$
|
(55,032,982
|
)
|
|||||||||
Other Assets In Excess Of Liabilities (64.02%)
|
39,599,382
|
(c)
|
||||||||||
NET ASSETS (100.00%)
|
$
|
61,853,224
|
Shares
|
Value (Note 2)
|
|||||||
SCHEDULE OF SECURITIES SOLD SHORT
|
||||||||
COMMON STOCKS (‐88.97%)
|
||||||||
Basic Materials (-1.17%)
|
||||||||
DowDuPont, Inc.
|
(5,315
|
)
|
$
|
(367,958
|
)
|
|||
Newmont Mining Corp.
|
(9,434
|
)
|
(353,869
|
)
|
||||
Total Basic Materials
|
(721,827
|
)
|
||||||
Communications (-4.08%)
|
||||||||
CenturyLink, Inc.
|
(18,131
|
)
|
(342,676
|
)
|
||||
Charter Communications, Inc., Class A
|
(917
|
)
|
(333,256
|
)
|
||||
Comcast Corp., Class A
|
(8,877
|
)
|
(341,587
|
)
|
||||
Motorola Solutions, Inc.
|
(4,140
|
)
|
(351,362
|
)
|
See Notes to Financial Statements.
|
Annual Report | September 30, 2017
|
11
|
Cognios Market Neutral Large Cap Fund
|
Portfolio of Investments
|
September 30, 2017
|
|
Shares
|
Value (Note 2)
|
||||||
Communications (continued)
|
||||||||
NetFlix, Inc.
|
(2,076
|
)
|
$
|
(376,483
|
)
|
|||
Symantec Corp.
|
(12,184
|
)
|
(399,757
|
)
|
||||
Verizon Communications, Inc.
|
(7,595
|
)
|
(375,876
|
)
|
||||
Total Communications
|
(2,520,997
|
)
|
||||||
|
||||||||
Consumer Cyclical (‐5.25%)
|
||||||||
Advance Auto Parts, Inc.
|
(3,716
|
)
|
(368,627
|
)
|
||||
Chipotle Mexican Grill, Inc.
|
(1,140
|
)
|
(350,926
|
)
|
||||
Costco Wholesale Corp.
|
(2,298
|
)
|
(377,538
|
)
|
||||
Hilton Worldwide Holdings, Inc.
|
(5,654
|
)
|
(392,670
|
)
|
||||
Mattel, Inc.
|
(22,208
|
)
|
(343,780
|
)
|
||||
Newell Brands, Inc.
|
(7,483
|
)
|
(319,300
|
)
|
||||
PulteGroup, Inc.
|
(13,973
|
)
|
(381,882
|
)
|
||||
PVH Corp.
|
(2,883
|
)
|
(363,431
|
)
|
||||
Yum! Brands, Inc.
|
(4,719
|
)
|
(347,366
|
)
|
||||
Total Consumer Cyclical
|
(3,245,520
|
)
|
||||||
|
||||||||
Consumer Non‐cyclical (-21.15%)
|
||||||||
Abbott Laboratories
|
(7,123
|
)
|
(380,083
|
)
|
||||
Aetna, Inc.
|
(2,308
|
)
|
(366,995
|
)
|
||||
Allergan PLC
|
(1,593
|
)
|
(326,485
|
)
|
||||
AmerisourceBergen Corp.
|
(4,564
|
)
|
(377,671
|
)
|
||||
Automatic Data Processing, Inc.
|
(3,403
|
)
|
(372,016
|
)
|
||||
Baxter International, Inc.
|
(5,867
|
)
|
(368,154
|
)
|
||||
Becton Dickinson & Co.
|
(1,836
|
)
|
(359,764
|
)
|
||||
Boston Scientific Corp.
|
(13,272
|
)
|
(387,144
|
)
|
||||
Brown-Forman Corp., Class B
|
(6,843
|
)
|
(371,575
|
)
|
||||
Cardinal Health, Inc.
|
(5,370
|
)
|
(359,360
|
)
|
||||
Coty, Inc., Class A
|
(21,939
|
)
|
(362,652
|
)
|
||||
CR Bard, Inc.
|
(1,136
|
)
|
(364,088
|
)
|
||||
Ecolab, Inc.
|
(2,745
|
)
|
(353,035
|
)
|
||||
Edwards Lifesciences Corp.
|
(3,217
|
)
|
(351,650
|
)
|
||||
Eli Lilly & Co.
|
(4,496
|
)
|
(384,588
|
)
|
||||
Gartner, Inc.
|
(3,030
|
)
|
(376,962
|
)
|
||||
Global Payments, Inc.
|
(3,795
|
)
|
(360,639
|
)
|
||||
Hologic, Inc.
|
(9,491
|
)
|
(348,225
|
)
|
||||
IDEXX Laboratories, Inc.
|
(2,355
|
)
|
(366,179
|
)
|
||||
IHS Markit, Ltd.
|
(7,786
|
)
|
(343,207
|
)
|
||||
Illumina, Inc.
|
(1,775
|
)
|
(353,580
|
)
|
||||
Incyte Corp.
|
(2,649
|
)
|
(309,244
|
)
|
||||
Intuitive Surgical, Inc.
|
(364
|
)
|
(380,700
|
)
|
||||
Kraft Heinz Co.
|
(4,519
|
)
|
(350,449
|
)
|
||||
Merck & Co., Inc.
|
(5,700
|
)
|
(364,971
|
)
|
||||
Molson Coors Brewing Co., Class B
|
(4,041
|
)
|
(329,907
|
)
|
||||
Mondelez International, Inc., Class A
|
(8,916
|
)
|
(362,525
|
)
|
See Notes to Financial Statements.
|
12
|
www.cogniosfunds.com
|
Cognios Market Neutral Large Cap Fund
|
Portfolio of Investments
|
September 30, 2017
|
|
Shares
|
Value (Note 2)
|
||||||
Consumer Non-cyclical (continued)
|
||||||||
Patterson Cos., Inc.
|
(9,549
|
)
|
$
|
(369,069
|
)
|
|||
Perrigo Co. PLC
|
(4,633
|
)
|
(392,184
|
)
|
||||
Pfizer, Inc.
|
(10,732
|
)
|
(383,132
|
)
|
||||
Quanta Services, Inc.
|
(10,047
|
)
|
(375,456
|
)
|
||||
Quintiles IMS Holdings, Inc.
|
(3,799
|
)
|
(361,171
|
)
|
||||
ResMed, Inc.
|
(4,705
|
)
|
(362,097
|
)
|
||||
Stryker Corp.
|
(2,591
|
)
|
(367,974
|
)
|
||||
Thermo Fisher Scientific, Inc.
|
(1,955
|
)
|
(369,886
|
)
|
||||
Zoetis, Inc.
|
(5,805
|
)
|
(370,127
|
)
|
||||
Total Consumer Non-cyclical
|
(13,082,944
|
)
|
||||||
|
||||||||
Energy (-11.66%)
|
||||||||
Apache Corp.
|
(9,205
|
)
|
(421,589
|
)
|
||||
Baker Hughes, a GE Co.
|
(10,645
|
)
|
(389,820
|
)
|
||||
Cabot Oil & Gas Corp.
|
(13,804
|
)
|
(369,257
|
)
|
||||
Concho Resources, Inc.
|
(3,237
|
)
|
(426,378
|
)
|
||||
ConocoPhillips
|
(8,206
|
)
|
(410,710
|
)
|
||||
EOG Resources, Inc.
|
(4,241
|
)
|
(410,274
|
)
|
||||
EQT Corp.
|
(5,836
|
)
|
(380,741
|
)
|
||||
Exxon Mobil Corp.
|
(4,738
|
)
|
(388,421
|
)
|
||||
Halliburton Co.
|
(9,255
|
)
|
(426,008
|
)
|
||||
Kinder Morgan, Inc.
|
(18,753
|
)
|
(359,683
|
)
|
||||
National Oilwell Varco, Inc.
|
(11,826
|
)
|
(422,543
|
)
|
||||
Noble Energy, Inc.
|
(15,087
|
)
|
(427,867
|
)
|
||||
Occidental Petroleum Corp.
|
(6,079
|
)
|
(390,333
|
)
|
||||
Phillips 66
|
(4,325
|
)
|
(396,213
|
)
|
||||
Pioneer Natural Resources Co.
|
(2,790
|
)
|
(411,637
|
)
|
||||
Range Resources Corp.
|
(20,206
|
)
|
(395,431
|
)
|
||||
Schlumberger, Ltd.
|
(5,715
|
)
|
(398,678
|
)
|
||||
Technipfmc PLC
|
(13,885
|
)
|
(387,669
|
)
|
||||
Total Energy
|
(7,213,252
|
)
|
||||||
|
||||||||
Financials (-24.68%)
|
||||||||
Alexandria Real Estate Equities, Inc. -REIT
|
(2,988
|
)
|
(355,482
|
)
|
||||
American Express Co.
|
(4,209
|
)
|
(380,746
|
)
|
||||
American International Group, Inc.
|
(5,973
|
)
|
(366,682
|
)
|
||||
American Tower Corp. -REIT
|
(2,486
|
)
|
(339,787
|
)
|
||||
Apartment Investment & Management Co., Class A - REIT
|
(7,968
|
)
|
(349,477 | ) | ||||
AvalonBay Communities, Inc. -REIT
|
(1,921
|
)
|
(342,745
|
)
|
||||
BB&T Corp.
|
(7,830
|
)
|
(367,540
|
)
|
||||
Boston Properties, Inc. -REIT
|
(3,001
|
)
|
(368,763
|
)
|
||||
CBOE Holdings, Inc.
|
(3,605
|
)
|
(388,006
|
)
|
||||
Cincinnati Financial Corp.
|
(4,714
|
)
|
(360,951
|
)
|
||||
CME Group, Inc.
|
(2,883
|
)
|
(391,165
|
)
|
See Notes to Financial Statements.
|
Annual Report | September 30, 2017
|
13
|
Cognios Market Neutral Large Cap Fund
|
Portfolio of Investments
|
September 30, 2017
|
|
Shares
|
Value (Note 2)
|
||||||
Financials (continued)
|
||||||||
Crown Castle International Corp. - REIT
|
(3,399
|
)
|
$
|
(339,832
|
)
|
|||
Digital Realty Trust, Inc. - REIT
|
(3,092
|
)
|
(365,876
|
)
|
||||
Duke Realty Corp. - REIT
|
(12,203
|
)
|
(351,690
|
)
|
||||
Equinix, Inc. - REIT
|
(780
|
)
|
(348,114
|
)
|
||||
Equity Residential - REIT
|
(5,394
|
)
|
(355,626
|
)
|
||||
Essex Property Trust, Inc. - REIT
|
(1,358
|
)
|
(344,973
|
)
|
||||
Extra Space Storage, Inc. - REIT
|
(4,634
|
)
|
(370,349
|
)
|
||||
Federal Realty Investment Trust - REIT
|
(2,825
|
)
|
(350,893
|
)
|
||||
GGP, Inc. - REIT
|
(17,163
|
)
|
(356,476
|
)
|
||||
Hartford Financial Services Group, Inc.
|
(6,693
|
)
|
(370,993
|
)
|
||||
HCP, Inc. - REIT
|
(12,053
|
)
|
(335,435
|
)
|
||||
Iron Mountain, Inc. - REIT
|
(9,196
|
)
|
(357,724
|
)
|
||||
KeyCorp
|
(20,891
|
)
|
(393,169
|
)
|
||||
Kimco Realty Corp. - REIT
|
(18,250
|
)
|
(356,788
|
)
|
||||
M&T Bank Corp.
|
(2,430
|
)
|
(391,327
|
)
|
||||
Macerich Co. - REIT
|
(6,777
|
)
|
(372,532
|
)
|
||||
Mastercard, Inc., Class A
|
(2,726
|
)
|
(384,911
|
)
|
||||
Mid-America Apartment Communities, Inc. - REIT
|
(3,401
|
)
|
(363,499
|
) | ||||
Nasdaq, Inc.
|
(4,812
|
)
|
(373,267
|
)
|
||||
Northern Trust Corp.
|
(4,071
|
)
|
(374,247
|
)
|
||||
People's United Financial, Inc.
|
(21,581
|
)
|
(391,479
|
)
|
||||
Prologis, Inc. - REIT
|
(5,687
|
)
|
(360,897
|
)
|
||||
Realty Income Corp. - REIT
|
(6,236
|
)
|
(356,637
|
)
|
||||
Regency Centers Corp. - REIT
|
(5,602
|
)
|
(347,548
|
)
|
||||
Simon Property Group, Inc. - REIT
|
(2,284
|
)
|
(367,747
|
)
|
||||
SL Green Realty Corp. - REIT
|
(3,734
|
)
|
(378,329
|
)
|
||||
UDR, Inc. - REIT
|
(9,324
|
)
|
(354,592
|
)
|
||||
Ventas, Inc. - REIT
|
(5,250
|
)
|
(341,933
|
)
|
||||
Vornado Realty Trust - REIT
|
(4,856
|
)
|
(373,329
|
)
|
||||
Welltower, Inc. - REIT
|
(4,934
|
)
|
(346,762
|
)
|
||||
Willis Towers Watson PLC
|
(2,443
|
)
|
(376,784
|
)
|
||||
Total Financials
|
(15,265,102
|
)
|
||||||
|
||||||||
Industrials (-7.82%)
|
||||||||
Ball Corp.
|
(9,033
|
)
|
(373,063
|
)
|
||||
Deere & Co.
|
(3,125
|
)
|
(392,469
|
)
|
||||
General Electric Co.
|
(14,535
|
)
|
(351,456
|
)
|
||||
Harris Corp.
|
(2,952
|
)
|
(388,719
|
)
|
||||
Kansas City Southern
|
(3,489
|
)
|
(379,185
|
)
|
||||
Martin Marietta Materials, Inc.
|
(1,731
|
)
|
(356,984
|
)
|
||||
Mettler-Toledo International, Inc.
|
(603
|
)
|
(377,575
|
)
|
||||
PerkinElmer, Inc.
|
(5,427
|
)
|
(374,300
|
)
|
||||
Stanley Black & Decker, Inc.
|
(2,522
|
)
|
(380,746
|
)
|
||||
United Parcel Service, Inc., Class B
|
(3,169
|
)
|
(380,565
|
)
|
See Notes to Financial Statements.
|
14
|
www.cogniosfunds.com
|
Cognios Market Neutral Large Cap Fund
|
Portfolio of Investments
|
September 30, 2017
|
|
Shares
|
Value (Note 2)
|
||||||
Industrials (continued)
|
||||||||
United Technologies Corp.
|
(3,066
|
)
|
$
|
(355,901
|
)
|
|||
Vulcan Materials Co.
|
(3,017
|
)
|
(360,833
|
)
|
||||
Xylem, Inc.
|
(5,863
|
)
|
(367,200
|
)
|
||||
Total Industrials
|
(4,838,996
|
)
|
||||||
|
||||||||
Technology (-2.89%)
|
||||||||
Activision Blizzard, Inc.
|
(5,603
|
)
|
(361,450
|
)
|
||||
Broadcom, Ltd.
|
(1,426
|
)
|
(345,862
|
)
|
||||
DXC Technology Co.
|
(4,282
|
)
|
(367,738
|
)
|
||||
Fidelity National Information Services, Inc.
|
(3,921
|
)
|
(366,182
|
)
|
||||
Qorvo, Inc.
|
(4,929
|
)
|
(348,382
|
)
|
||||
Total Technology
|
(1,789,614
|
)
|
||||||
|
||||||||
Utilities (-10.27%)
|
||||||||
Alliant Energy Corp.
|
(8,492
|
)
|
(353,012
|
)
|
||||
American Water Works Co., Inc.
|
(4,491
|
)
|
(363,367
|
)
|
||||
CenterPoint Energy, Inc.
|
(12,264
|
)
|
(358,231
|
)
|
||||
CMS Energy Corp.
|
(7,498
|
)
|
(347,307
|
)
|
||||
Dominion Energy, Inc.
|
(4,631
|
)
|
(356,263
|
)
|
||||
DTE Energy Co.
|
(3,235
|
)
|
(347,310
|
)
|
||||
Duke Energy Corp.
|
(4,171
|
)
|
(350,030
|
)
|
||||
Edison International
|
(4,548
|
)
|
(350,969
|
)
|
||||
Entergy Corp.
|
(4,576
|
)
|
(349,423
|
)
|
||||
Exelon Corp.
|
(9,625
|
)
|
(362,574
|
)
|
||||
NextEra Energy, Inc.
|
(2,419
|
)
|
(354,505
|
)
|
||||
NiSource, Inc.
|
(13,494
|
)
|
(345,312
|
)
|
||||
Pinnacle West Capital Corp.
|
(4,050
|
)
|
(342,468
|
)
|
||||
PPL Corp.
|
(9,293
|
)
|
(352,669
|
)
|
||||
Sempra Energy
|
(3,084
|
)
|
(351,977
|
)
|
||||
Southern Co.
|
(7,566
|
)
|
(371,793
|
)
|
||||
WEC Energy Group, Inc.
|
(5,566
|
)
|
(349,434
|
)
|
||||
Xcel Energy, Inc.
|
(7,356
|
)
|
(348,086
|
)
|
||||
Total Utilities
|
(6,354,730
|
)
|
||||||
|
||||||||
TOTAL COMMON STOCKS (Proceeds $54,216,277)
|
(55,032,982
|
)
|
||||||
|
||||||||
TOTAL SECURITIES SOLD SHORT (-88.97%)
|
||||||||
(Proceeds $54,216,277)
|
$
|
(55,032,982
|
)
|
(a)
|
Security, or a portion of security, is being held as collateral for short sales. As of September 30, 2017, the aggregate market value of those securities was $37,680,117, which represents approximately 60.92% of the Fund's net assets.
|
(b)
|
Non-income producing security.
|
(c)
|
Includes segregated cash that is being held as collateral for securities sold short.
|
See Notes to Financial Statements.
|
Annual Report | September 30, 2017
|
15
|
Cognios Market Neutral Large Cap Fund
|
Portfolio of Investments
|
September 30, 2017
|
See Notes to Financial Statements.
|
16
|
www.cogniosfunds.com
|
Cognios Market Neutral Large Cap Fund
|
Statement of Assets and Liabilities
|
September 30, 2017
|
ASSETS:
|
||||
Investments, at value (cost $76,709,639)
|
$
|
77,286,824
|
||
Segregated cash with brokers (Note 2)
|
206,127
|
|||
Deposit with broker for securities sold short (Note 2)
|
39,523,653
|
|||
Receivable for shares sold
|
30,772
|
|||
Dividends receivable
|
96,083
|
|||
Prepaid assets
|
7,549
|
|||
Total Assets
|
117,151,008
|
|||
|
||||
LIABILITIES:
|
||||
Securities sold short (proceeds $54,216,277)
|
55,032,982
|
|||
Payable for dividends on short sales
|
102,296
|
|||
Payable for shares redeemed
|
7,517
|
|||
Payable to adviser
|
90,698
|
|||
Payable for administration and transfer agency
|
21,100
|
|||
Payable for distribution and service fees
|
4,959
|
|||
Payable to trustees
|
135
|
|||
Payable to chief compliance officer
|
1,761
|
|||
Payable to principal financial officer
|
833
|
|||
Accrued expenses and other liabilities
|
35,503
|
|||
Total Liabilities
|
55,297,784
|
|||
NET ASSETS
|
$
|
61,853,224
|
||
|
||||
NET ASSETS CONSIST OF:
|
||||
Paid-in capital (Note 5)
|
$
|
72,811,975
|
||
Accumulated net investment loss
|
(675,014
|
)
|
||
Accumulated net realized loss
|
(10,044,217
|
)
|
||
Net unrealized depreciation
|
(239,520
|
)
|
||
NET ASSETS
|
$
|
61,853,224
|
||
|
||||
PRICING OF SHARES
|
||||
Investor Class:
|
||||
Net Asset Value, offering and redemption price per share
|
$
|
9.32
|
||
Net Assets
|
$
|
22,997,086
|
||
Shares of beneficial interest outstanding
|
2,467,423
|
|||
Institutional Class:
|
||||
Net Asset Value, offering and redemption price per share
|
$
|
9.44
|
||
Net Assets
|
$
|
38,856,138
|
||
Shares of beneficial interest outstanding
|
4,117,483
|
See Notes to Financial Statements.
|
Annual Report | September 30, 2017
|
17
|
Cognios Market Neutral Large Cap Fund
|
Statement of Operations
|
For the Year Ended September 30, 2017
|
INVESTMENT INCOME:
|
||||
Dividends
|
$
|
2,668,460
|
||
Total Investment Income
|
2,668,460
|
|||
|
||||
EXPENSES:
|
||||
Investment advisory fee (Note 6)
|
1,725,602
|
|||
Dividend expense on securities sold short
|
1,688,001
|
|||
Interest expense
|
347,204
|
|||
Administration fee
|
148,237
|
|||
Distribution and service fees
|
||||
Investor Class
|
82,580
|
|||
Custodian fee
|
20,442
|
|||
Legal fees
|
21,198
|
|||
Audit fees
|
19,600
|
|||
Transfer agent fee
|
62,381
|
|||
Trustees fees and expenses
|
13,069
|
|||
Registration and filing fees
|
47,038
|
|||
Printing fees
|
14,697
|
|||
Chief compliance officer fee
|
20,848
|
|||
Principal financial officer fee
|
10,000
|
|||
Insurance expense
|
5,418
|
|||
Other expenses
|
10,591
|
|||
Total Expenses
|
4,236,906
|
|||
Less fees waived/reimbursed by investment adviser
|
||||
Investor Class
|
(49,859
|
)
|
||
Institutional Class
|
(118,298
|
)
|
||
Total fees waived/reimbursed by investment adviser (Note 6)
|
(168,157
|
)
|
||
Net Expenses
|
4,068,749
|
|||
NET INVESTMENT LOSS
|
(1,400,289
|
)
|
||
|
||||
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
|
||||
Net realized gain/(loss) on:
|
||||
Investments
|
14,135,646
|
|||
Securities sold short
|
(22,476,064
|
)
|
||
Net realized loss
|
(8,340,418
|
)
|
||
Change in unrealized appreciation/(depreciation) on:
|
||||
Investments
|
(1,426,293
|
)
|
||
Securities sold short
|
4,821,275
|
|||
Net change
|
3,394,982
|
|||
|
||||
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS AND SECURITIES SOLD SHORT
|
(4,945,436
|
)
|
||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS
|
$
|
(6,345,725
|
)
|
See Notes to Financial Statements.
|
18
|
www.cogniosfunds.com
|
Cognios Market Neutral Large Cap Fund
|
Statements of Changes in Net Assets
|
|
For the Year
Ended September 30, 2017 |
For the Year
Ended September 30, 2016 |
||||||
OPERATIONS:
|
||||||||
Net investment loss
|
$
|
(1,400,289
|
)
|
$
|
(1,100,414
|
)
|
||
Net realized gain/(loss)
|
(8,340,418
|
)
|
2,060,468
|
|||||
Net change in unrealized appreciation/(depreciation)
|
3,394,982
|
(4,313,673
|
)
|
|||||
Net decrease in net assets resulting from operations
|
(6,345,725
|
)
|
(3,353,619
|
)
|
||||
DISTRIBUTIONS TO SHAREHOLDERS:
|
||||||||
From net realized gains on investments:
|
||||||||
Investor class
|
(651,783
|
)
|
(35,903
|
)
|
||||
Institutional class
|
(1,426,049
|
)
|
(58,099
|
)
|
||||
Total distributions
|
(2,077,832
|
)
|
(94,002
|
)
|
||||
|
||||||||
BENEFICIAL SHARE TRANSACTIONS (Note 5):
|
||||||||
Investor Class
|
||||||||
Shares sold
|
13,810,913
|
63,300,469
|
||||||
Dividends reinvested
|
630,723
|
35,674
|
||||||
Shares redeemed
|
(32,642,780
|
)
|
(24,373,872
|
)
|
||||
Net increase/(decrease) from beneficial share transactions
|
(18,201,144
|
)
|
38,962,271
|
|||||
Institutional Class
|
||||||||
Shares sold
|
26,032,387
|
117,037,344
|
||||||
Dividends reinvested
|
1,351,002
|
55,295
|
||||||
Shares redeemed
|
(96,184,014
|
)
|
(11,983,550
|
)
|
||||
Net increase/(decrease) from beneficial share transactions
|
(68,800,625
|
)
|
105,109,089
|
|||||
Net increase/(decrease) in net assets
|
(95,425,326
|
)
|
140,623,739
|
|||||
|
||||||||
NET ASSETS:
|
||||||||
Beginning of year
|
157,278,550
|
16,654,811
|
||||||
End of year(including accumulated net investment loss of $(675,014) and $0)
|
$
|
61,853,224
|
$
|
157,278,550
|
See Notes to Financial Statements.
|
Annual Report | September 30, 2017
|
19
|
Cognios Market Neutral Large Cap Fund
|
Statement of Cash Flows
|
For the Year Ended September 30, 2017
|
CASH FLOWS FROM OPERATING ACTIVITIES:
|
||||
Net decrease in net assets from operations
|
$
|
(6,345,725
|
)
|
|
Adjustments to reconcile net decrease in net assets from operations to net cash provided by operating activities:
|
||||
Purchases of investment securities
|
(326,239,002
|
)
|
||
Proceeds from disposition of investment securities
|
447,437,659
|
|||
Proceeds from securities sold short transactions
|
244,375,265
|
|||
Purchases to cover securities sold short transactions
|
(315,356,632
|
)
|
||
Net purchases of short-term investment securities
|
2,378,976
|
|||
Net realized loss on investments and securities sold short
|
8,340,418
|
|||
Net change in unrealized appreciation on investments and securities sold short
|
(3,394,982
|
)
|
||
(Increase) decrease in assets:
|
||||
Segregated cash with brokers
|
2,702,811
|
|||
Deposit with broker for securities sold short
|
36,581,902
|
|||
Dividends receivable
|
121,437
|
|||
Prepaid assets
|
4,846
|
|||
Increase (decrease) in liabilities:
|
||||
Payable for dividends on short sales
|
23,635
|
|||
Payable for administration and transfer agency
|
21,100
|
|||
Payable for distribution and service fees
|
(6,075
|
)
|
||
Payable to adviser
|
(68,502
|
)
|
||
Payable to trustees
|
(3,348
|
)
|
||
Payable to chief compliance officer
|
(1,666
|
)
|
||
Payable to principal financial officer
|
(1
|
)
|
||
Accrued expenses and other liabilities
|
(41,955
|
)
|
||
Net cash provided by operating activities
|
90,530,161
|
|||
|
||||
CASH FLOWS USED IN FINANCING ACTIVITIES:
|
||||
Proceeds from sale of shares
|
40,088,123
|
|||
Cost of shares redeemed
|
(130,522,177
|
)
|
||
Cash distributions paid
|
(96,107
|
)
|
||
Net cash used in financing activities
|
(90,530,161
|
)
|
||
|
||||
NET INCREASE IN CASH FOR THE PERIOD
|
–
|
|||
|
||||
CASH, BEGINNING OF PERIOD
|
$
|
–
|
||
CASH, END OF PERIOD
|
$
|
–
|
||
|
||||
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION:
|
||||
Non-cash financing activities not included herein consist of reinvestment of distributions of:
|
$
|
1,981,725
|
See Notes to Financial Statements.
|
20
|
www.cogniosfunds.com
|
Cognios Market Neutral Large Cap Fund - Investor Class
|
Financial Highlights
|
For a share outstanding throughout the periods presented.
|
For the Year
Ended September 30, 2017 |
For the Year
Ended September 30, 2016 |
For the Year
Ended September 30, 2015 |
For the Year
Ended September 30, 2014 |
For the Period Ended
September 30, 2013(a) |
||||||||||||||||
NET ASSET VALUE, BEGINNING OF PERIOD
|
$
|
9.93
|
$
|
9.68
|
$
|
10.77
|
$
|
9.93
|
$
|
10.00
|
||||||||||
INCOME/(LOSS) FROM OPERATIONS:
|
||||||||||||||||||||
Net investment loss(b)
|
(0.13
|
)
|
(0.15
|
)
|
(0.20
|
)
|
(0.17
|
)
|
(0.12
|
)
|
||||||||||
Net realized and unrealized gain/(loss) on investments
|
(0.33
|
)
|
0.45
|
0.60
|
1.35
|
0.05
|
||||||||||||||
Total from investment operations
|
(0.46
|
)
|
0.30
|
0.40
|
1.18
|
(0.07
|
)
|
|||||||||||||
LESS DISTRIBUTIONS:
|
||||||||||||||||||||
From net realized gains on investments
|
(0.15
|
)
|
(0.05
|
)
|
(1.49
|
)
|
(0.34
|
)
|
–
|
|||||||||||
Total distributions
|
(0.15
|
)
|
(0.05
|
)
|
(1.49
|
)
|
(0.34
|
)
|
–
|
|||||||||||
NET INCREASE/ (DECREASE) IN NET ASSET VALUE
|
(0.61
|
)
|
0.25
|
(1.09
|
)
|
0.84
|
(0.07
|
)
|
||||||||||||
NET ASSET VALUE, END OF PERIOD
|
$
|
9.32
|
$
|
9.93
|
$
|
9.68
|
$
|
10.77
|
$
|
9.93
|
||||||||||
TOTAL RETURN(c)
|
(4.65
|
%)
|
3.15
|
%
|
4.47
|
%(d)
|
12.12
|
%
|
(0.70
|
%)
|
||||||||||
SUPPLEMENTAL DATA:
|
||||||||||||||||||||
Net assets, End of Period (in 000s)
|
$
|
22,997
|
$
|
43,779
|
$
|
6,253
|
$
|
5,699
|
$
|
5,067
|
See Notes to Financial Statements.
|
Annual Report | September 30, 2017
|
21
|
Cognios Market Neutral Large Cap Fund - Investor Class
|
Financial Highlights (continued)
|
For a share outstanding throughout the periods presented.
|
For the Year Ended
September 30, 2017 |
For the Year Ended
September 30, 2016 |
For the Year Ended
September 30, 2015 |
For the Year Ended
September 30, 2014 |
For the Period Ended
September 30, 2013(a) |
||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (including interest expense and dividend expense on securities sold short)
|
||||||||||||||||||||
Operating expenses excluding reimbursement/ waiver
|
3.87
|
%
|
4.07
|
%
|
6.06
|
%
|
6.16
|
%
|
6.27
|
%(e)
|
||||||||||
Operating expenses including reimbursement/ waiver
|
3.72
|
%
|
3.80
|
%
|
4.12
|
%(f)
|
4.26
|
%
|
4.13
|
%(e)
|
||||||||||
Net investment loss including reimbursement/ waiver
|
(1.42
|
%)
|
(1.53
|
%)
|
(2.06
|
%)
|
(1.71
|
%)
|
(1.69
|
%)(e)
|
||||||||||
RATIOS TO AVERAGE NET ASSETS (excluding interest expense and dividend expense on securities sold short)
|
||||||||||||||||||||
Operating expenses excluding reimbursement/ waiver
|
2.10
|
%
|
2.22
|
%
|
4.04
|
%
|
4.15
|
%
|
4.38
|
%(e)
|
||||||||||
Operating expenses including reimbursement/ waiver
|
1.95
|
%
|
1.95
|
%
|
2.10
|
%(f)
|
2.25
|
%
|
2.25
|
%(e)
|
||||||||||
Net investment income including reimbursement/ waiver
|
0.35
|
%
|
0.32
|
%
|
(0.04
|
%)
|
0.30
|
%
|
0.19
|
%(e)
|
||||||||||
PORTFOLIO TURNOVER RATE(g)
|
277
|
%
|
250
|
%
|
291
|
%
|
461
|
%
|
155
|
%
|
(a) |
Commenced operations on January 2, 2013.
|
(b) |
Calculated using the average shares method.
|
(c) |
Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal year. Total returns are for the period indicated and have not been annualized. Total returns would have been lower had certain expenses not been waived during the period. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
|
See Notes to Financial Statements.
|
22
|
www.cogniosfunds.com
|
Cognios Market Neutral Large Cap Fund - Investor Class
|
Financial Highlights (continued)
|
For a share outstanding throughout the periods presented.
|
(d) |
In 2015, 0.31% of the Fund's total return consists of a voluntary reimbursement by the adviser for a realized investment loss. Excluding this item, total return would have been 4.16%.
|
(e) |
Annualized.
|
(f) |
Contractual expense limitation changed from 2.25% to 1.95% effective April 1, 2015.
|
(g) |
Portfolio turnover rate for periods less than one full year have not been annualized.
|
See Notes to Financial Statements.
|
Annual Report | September 30, 2017
|
23
|
Cognios Market Neutral Large Cap Fund - Institutional Class
|
Financial Highlights
|
For a share outstanding throughout the periods presented.
|
For the Year
Ended September 30, 2017 |
For the Year
Ended September 30, 2016 |
For the Year
Ended September 30, 2015 |
For the Year
Ended September 30, 2014 |
For the Period Ended
September 30, 2013(a) |
||||||||||||||||
NET ASSET VALUE, BEGINNING OF PERIOD
|
$
|
10.02
|
$
|
9.76
|
$
|
10.82
|
$
|
9.95
|
$
|
10.00
|
||||||||||
INCOME/(LOSS) FROM OPERATIONS:
|
||||||||||||||||||||
Net investment loss(b)
|
(0.11
|
)
|
(0.13
|
)
|
(0.18
|
)
|
(0.14
|
)
|
(0.10
|
)
|
||||||||||
Net realized and unrealized gain/(loss) on investments
|
(0.32
|
)
|
0.44
|
0.61
|
1.35
|
0.05
|
||||||||||||||
Total from investment operations
|
(0.43
|
)
|
0.31
|
0.43
|
1.21
|
(0.05
|
)
|
|||||||||||||
LESS DISTRIBUTIONS:
|
||||||||||||||||||||
From net realized gains on investments
|
(0.15
|
)
|
(0.05
|
)
|
(1.49
|
)
|
(0.34
|
)
|
–
|
|||||||||||
Total distributions
|
(0.15
|
)
|
(0.05
|
)
|
(1.49
|
)
|
(0.34
|
)
|
–
|
|||||||||||
NET INCREASE/ (DECREASE) IN NET ASSET VALUE
|
(0.58
|
)
|
0.26
|
(1.06
|
)
|
0.87
|
(0.05
|
)
|
||||||||||||
NET ASSET VALUE, END OF PERIOD
|
$
|
9.44
|
$
|
10.02
|
$
|
9.76
|
$
|
10.82
|
$
|
9.95
|
||||||||||
TOTAL RETURN(c)
|
(4.31
|
%)
|
3.23
|
%
|
4.77
|
%(d)
|
12.41
|
%
|
(0.50
|
%)
|
||||||||||
SUPPLEMENTAL DATA:
|
||||||||||||||||||||
Net assets, End of Period (in 000s)
|
$
|
38,856
|
$
|
113,499
|
$
|
10,402
|
$
|
8,907
|
$
|
6,128
|
See Notes to Financial Statements.
|
24
|
www.cogniosfunds.com
|
Cognios Market Neutral Large Cap Fund - Institutional Class
|
Financial Highlights (continued)
|
For a share outstanding throughout the periods presented.
|
For the Year Ended
September 30, 2017 |
For the Year Ended
September 30, 2016 |
For the Year Ended
September 30, 2015 |
For the Year Ended
September 30, 2014 |
For the Period Ended
September 30, 2013(a) |
||||||||||||||||
RATIOS TO AVERAGE NET ASSETS (including interest expense and dividend expense on securities sold short)
|
||||||||||||||||||||
Operating expenses excluding reimbursement/ waiver
|
3.62
|
%
|
3.83
|
%
|
5.81
|
%
|
5.45
|
%
|
6.02
|
%(e)
|
||||||||||
Operating expenses including reimbursement/ waiver
|
3.47
|
%
|
3.55
|
%
|
3.86
|
%(f)
|
4.01
|
%
|
3.88
|
%(e)
|
||||||||||
Net investment loss including reimbursement/ waiver
|
(1.14
|
%)
|
(1.30
|
%)
|
(1.80
|
%)
|
(1.37
|
%)
|
(1.42
|
%)(e)
|
||||||||||
RATIOS TO AVERAGE NET ASSETS (excluding interest expense and dividend expense on securities sold short)
|
||||||||||||||||||||
Operating expenses excluding reimbursement/ waiver
|
1.85
|
%
|
1.98
|
%
|
3.79
|
%
|
3.43
|
%
|
4.13
|
%(e)
|
||||||||||
Operating expenses including reimbursement/ waiver
|
1.70
|
%
|
1.70
|
%
|
1.84
|
%(f)
|
2.00
|
%
|
2.00
|
%(e)
|
||||||||||
Net investment income including reimbursement/ waiver
|
0.63
|
%
|
0.55
|
%
|
0.21
|
%
|
0.65
|
%
|
0.46
|
%(e)
|
||||||||||
PORTFOLIO TURNOVER RATE(g)
|
277
|
%
|
250
|
%
|
291
|
%
|
461
|
%
|
155
|
%
|
(a) |
Commenced operations on January 2, 2013.
|
(b) |
Calculated using the average shares method.
|
(c) |
Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal year. Total returns are for the period indicated and have not been annualized. Total returns would have been lower had certain expenses not been waived during the period. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
|
(d) |
In 2015, 0.33% of the Fund's total return consists of a voluntary reimbursement by the adviser for a realized investment loss. Excluding this item, total return would have been 4.44%.
|
See Notes to Financial Statements.
|
Annual Report | September 30, 2017
|
25
|
Cognios Market Neutral Large Cap Fund - Institutional Class
|
Financial Highlights (continued)
|
For a share outstanding throughout the periods presented.
|
(e) |
Annualized.
|
(f) |
Contractual expense limitation changed from 2.00% to 1.70% effective April 1, 2015.
|
(g) |
Portfolio turnover rate for periods less than one full year have not been annualized.
|
See Notes to Financial Statements.
|
26
|
www.cogniosfunds.com
|
Cognios Market Neutral Large Cap Fund
|
Notes to Financial Statements
|
September 30, 2017
|
Annual Report | September 30, 2017
|
27
|
Cognios Market Neutral Large Cap Fund
|
Notes to Financial Statements
|
September 30, 2017
|
Level 1 – |
Unadjusted quoted prices in active markets for identical investments, unrestricted assets or liabilities that the Fund has the ability to access at the measurement date;
|
Level 2 – |
Quoted prices which are not active, quoted prices for similar assets or liabilities in active markets or inputs other than quoted prices that are observable (either directly or indirectly); and
|
Level 3 – |
Significant unobservable prices or inputs (including the Fund’s own assumptions in determining the fair value of investments) where there is little or no market activity for the asset or liability at the measurement date.
|
28
|
www.cogniosfunds.com
|
Cognios Market Neutral Large Cap Fund
|
Notes to Financial Statements
|
September 30, 2017
|
Investments in Securities at Value
|
Level 1 - Unadjusted
Quoted Prices |
Level 2 -
Other Significant Observable Inputs |
Level 3 -
Significant Unobservable Inputs |
Total
|
||||||||||||
Common Stocks
|
||||||||||||||||
Communications
|
$
|
2,084,871
|
$
|
–
|
$
|
–
|
$
|
2,084,871
|
||||||||
Consumer Cyclical
|
17,981,588
|
–
|
–
|
17,981,588
|
||||||||||||
Consumer Non-cyclical
|
31,588,822
|
–
|
–
|
31,588,822
|
||||||||||||
Financials
|
4,114,398
|
–
|
–
|
4,114,398
|
||||||||||||
Industrials
|
11,548,660
|
–
|
–
|
11,548,660
|
||||||||||||
Technology
|
2,064,814
|
–
|
–
|
2,064,814
|
||||||||||||
Utilities
|
7,739,854
|
–
|
–
|
7,739,854
|
||||||||||||
Short-Term Investments
|
163,817
|
–
|
–
|
163,817
|
||||||||||||
Total
|
$
|
77,286,824
|
$
|
–
|
$
|
–
|
$
|
77,286,824
|
Investments in Securities at Value
|
Level 1 - Unadjusted
Quoted Prices |
Level 2 -
Other Significant Observable Inputs |
Level 3 -
Significant Unobservable Inputs |
Total
|
||||||||||||
Other Financial Instruments
|
||||||||||||||||
Liabilities
|
||||||||||||||||
Securities Sold Short
|
||||||||||||||||
Basic Materials
|
$
|
(721,827
|
)
|
$
|
–
|
$
|
–
|
$
|
(721,827
|
)
|
||||||
Communications
|
(2,520,997
|
)
|
–
|
–
|
(2,520,997
|
)
|
||||||||||
Consumer Cyclical
|
(3,245,520
|
)
|
–
|
–
|
(3,245,520
|
)
|
||||||||||
Consumer Non-cyclical
|
(13,082,944
|
)
|
–
|
–
|
(13,082,944
|
)
|
||||||||||
Energy
|
(7,213,252
|
)
|
–
|
–
|
(7,213,252
|
)
|
||||||||||
Financials
|
(15,265,102
|
)
|
–
|
–
|
(15,265,102
|
)
|
||||||||||
Industrials
|
(4,838,996
|
)
|
–
|
–
|
(4,838,996
|
)
|
||||||||||
Technology
|
(1,789,614
|
)
|
–
|
–
|
(1,789,614
|
)
|
||||||||||
Utilities
|
(6,354,730
|
)
|
–
|
–
|
(6,354,730
|
)
|
||||||||||
Total
|
$
|
(55,032,982
|
)
|
$
|
–
|
$
|
–
|
$
|
(55,032,982
|
)
|
Annual Report | September 30, 2017
|
29
|
Cognios Market Neutral Large Cap Fund
|
Notes to Financial Statements
|
September 30, 2017
|
30
|
www.cogniosfunds.com
|
Cognios Market Neutral Large Cap Fund
|
Notes to Financial Statements
|
September 30, 2017
|
Distributions Paid From:
|
2017
|
2016
|
||||||
Ordinary Income
|
$
|
1,595,948
|
$
|
94,002
|
||||
Capital Gains
|
481,884
|
–
|
||||||
Total
|
$
|
2,077,832
|
$
|
94,002
|
Annual Report | September 30, 2017
|
31
|
Cognios Market Neutral Large Cap Fund
|
Notes to Financial Statements
|
September 30, 2017
|
Paid-in Capital
|
Accumulated Net Investment Loss
|
Accumulated Net Realized Loss on Investments
|
||||||||||
|
$
|
(590,126
|
)
|
$
|
725,275
|
$
|
(135,149
|
)
|
Gross unrealized appreciation (excess of value over tax cost)(a)
|
$
|
5,448,884
|
||
Gross unrealized depreciation (excess of tax cost over value) (a)
|
(6,861,278
|
)
|
||
Net unrealized depreciation
|
$
|
(1,412,394
|
)
|
|
Cost of investments for income tax purposes
|
$
|
77,882,513
|
(a) |
Includes appreciation/(depreciation) on securities sold short.
|
Accumulated Capital losses
|
$
|
(8,871,343
|
)
|
|
Net unrealized depreciation
|
(1,412,394
|
)
|
||
Other cumulative effect of timing differences
|
(675,014
|
)
|
||
Total
|
$
|
(10,958,751
|
)
|
32
|
www.cogniosfunds.com
|
Cognios Market Neutral Large Cap Fund
|
Notes to Financial Statements
|
September 30, 2017
|
Purchases of Securities
|
Proceeds from Sales of Securities
|
|||||||
|
$
|
641,595,634
|
$
|
691,766,587
|
For the Year
Ended September 30, 2017 |
For the Year
Ended September 30, 2016 |
|||||||
Investor Class
|
||||||||
Shares sold
|
1,444,959
|
6,180,973
|
||||||
Shares issued in reinvestment of distributions to shareholders
|
66,044
|
3,666
|
||||||
Shares redeemed
|
(3,454,438
|
)
|
(2,419,405
|
)
|
||||
Net increase/(decrease) in shares outstanding
|
(1,943,435
|
)
|
3,765,234
|
|||||
Institutional Class
|
||||||||
Shares sold
|
2,715,596
|
11,428,697
|
||||||
Shares issued in reinvestment of distributions to shareholders
|
140,000
|
5,642
|
||||||
Shares redeemed
|
(10,064,766
|
)
|
(1,173,940
|
)
|
||||
Net increase/(decrease) in shares outstanding
|
(7,209,170
|
)
|
10,260,399
|
Annual Report | September 30, 2017
|
33
|
Cognios Market Neutral Large Cap Fund
|
Notes to Financial Statements
|
September 30, 2017
|
Expiring in 2018
|
Expiring in 2019
|
Expiring in 2020
|
|
Investor Class
|
116,046
|
71,553
|
49,859
|
Institutional Class
|
186,946
|
149,854
|
118,298
|
34
|
www.cogniosfunds.com
|
Cognios Market Neutral Large Cap Fund
|
Notes to Financial Statements
|
September 30, 2017
|
Annual Report | September 30, 2017
|
35
|
Cognios Market Neutral Large Cap Fund
|
Notes to Financial Statements
|
September 30, 2017
|
36
|
www.cogniosfunds.com
|
Cognios Market Neutral Large Cap Fund
|
Report of Independent Registered
|
Public Accounting Firm
|
Annual Report | September 30, 2017
|
37
|
Cognios Market Neutral Large Cap Fund
|
Additional Information
|
September 30, 2017 (Unaudited)
|
38
|
www.cogniosfunds.com
|
Cognios Market Neutral Large Cap Fund
|
Additional Information
|
September 30, 2017 (Unaudited)
|
Annual Report | September 30, 2017
|
39
|
Trustees and Officers
|
September 30, 2017 (Unaudited)
|
Name,
Birth Year & Address* |
Position(s)Held with Fund
|
Term of
Office and Length of Time Served** |
Principal Occupation(s)
During Past 5 Years*** |
Number of
Funds in Fund Complex Overseen by Trustee**** |
Other
Directorships Held by Trustee During Past 5 Years*** |
Ward D. Armstrong
Birth year: 1954
|
Trustee and Chairman
|
Mr. Armstrong was appointed to the Board on May 27, 2016. Mr. Armstrong was appointed Chairman of the Board at the August 24, 2017 meeting of the Board of Trustees.
|
Retired; Managing Partner, NorthRock Partners, LLC (October 2013 to July 2015); Managing Director, NorthRock Partners, a Private Wealth Advisory Practice of Ameriprise Financial (February 2010 to October 2013); Senior Vice President, Ameriprise Financial, Inc. (November 1984 to May 2007); President, American Express Asset Management (2002 to 2004); and Chairman, Ameriprise Trust Company (November 1996 to May 2007).
|
9
|
Mr. Armstrong is a Director of the Heartland Group, Inc. (5 funds).
|
*
|
All communications to Trustees and Officers may be directed to ALPS Series Trust c/o 1290 Broadway, Suite 1100, Denver, CO 80203.
|
**
|
This is the period for which the Trustee or Officer began serving the Trust. Each Trustee serves an indefinite term, until such Trustee’s successor is elected and appointed, or such Trustee resigns or is deceased. Officers are elected on an annual basis.
|
***
|
Except as otherwise indicated, each individual has held the office shown or other offices in the same company for the last five years.
|
****
|
The Fund Complex currently consists of 9 series of the Trust and any other investment companies for which Cognios Capital, LLC provides investment advisory services, currently none.
|
40
|
www.cogniosfunds.com
|
Trustees and Officers
|
September 30, 2017 (Unaudited)
|
Name,
Birth Year & Address* |
Position(s)Held with Fund
|
Term of
Office and Length of Time Served** |
Principal Occupation(s)
During Past 5 Years*** |
Number of
Funds in Fund Complex Overseen by Trustee**** |
Other
Directorships Held by Trustee During Past 5 Years*** |
J. Wayne Hutchens
Birth year: 1944
|
Trustee
|
Mr. Hutchens was elected to the Board on October 30, 2012.
|
Mr. Hutchens is currently retired. From April 2006 to December 2012, he served as President and CEO of the University of Colorado (CU) Foundation and from April 2009 to December 2012, he was Executive Director of the CU Real Estate Foundation. Mr. Hutchens is also Trustee of the Denver Museum of Nature and Science (2000 to present), Director of AMG National Trust Bank (June 2012 to present) and Trustee of Children’s Hospital Colorado (May 2012 to present). Prior to these positions, Mr. Hutchens spent 29 years in the banking industry, retiring as Chairman of Chase Bank Colorado.
|
9
|
RiverNorth Opportunity Fund (2013 to present).
|
Patrick Seese
Birth year: 1971
|
Trustee
|
Mr. Seese was elected to the Board on October 30, 2012.
|
Mr. Seese is an owner and a Managing Director of Integris Partners, a middle- market investment banking firm serving closely-held companies, financial sponsors and public companies (February 2008 to present). Prior to this, Mr. Seese was a Managing Director of Headwaters MB, a middle-market investing banking firm (December 2003 to February 2008). Prior to that, Mr. Seese worked in Credit Suisse First Boston’s Mergers and Acquisitions Group and served as Head of Corporation Development, Katy Industries, a publicly traded industrial and consumer products company and at Deloitte & Touche LLP, where he began his career in 1994.
|
9
|
None.
|
*
|
All communications to Trustees and Officers may be directed to ALPS Series Trust c/o 1290 Broadway, Suite 1100, Denver, CO 80203.
|
**
|
This is the period for which the Trustee or Officer began serving the Trust. Each Trustee serves an indefinite term, until such Trustee’s successor is elected and appointed, or such Trustee resigns or is deceased. Officers are elected on an annual basis.
|
***
|
Except as otherwise indicated, each individual has held the office shown or other offices in the same company for the last five years.
|
****
|
The Fund Complex currently consists of 9 series of the Trust and any other investment companies for which Cognios Capital, LLC provides investment advisory services, currently none.
|
Annual Report | September 30, 2017
|
41
|
Trustees and Officers
|
September 30, 2017 (Unaudited)
|
Name,
Birth Year & Address* |
Position(s) Held with Fund
|
Term of
Office and Length of Time Served** |
Principal Occupation(s)
During Past 5 Years*** |
Number of
Funds in Fund Complex Overseen by Trustee**** |
Other
Directorships Held by Trustee During Past 5 Years*** |
Jeremy O. May
Birth year: 1970
|
Trustee and President
|
Mr. May was elected Trustee and President on October 30, 2012. Mr. May was Chairman from October 30, 2012 to August 24, 2017.
|
Mr. May joined ALPS in 1995 and is currently President and Director of ALPS Fund Services, Inc. and ALPS Distributors, Inc., Executive Vice President and Director of ALPS Holdings, Inc. and ALPS Advisors, Inc. and Director of ALPS Portfolio Solutions Distributor, Inc. Because of his positions with these entities, Mr. May is deemed an affiliate of the Trust as defined under the 1940 Act. Mr. May is also the Trustee of the Reaves Utility Income Fund and the ALPS Elevation Trust. Mr. May is also on the Board of Directors of the University of Colorado Foundation and the AV Hunter Trust.
|
9
|
Mr. May is Chairman and Trustee of the Reaves Utility Income Fund (1 fund) and ALPS Elevation Trust (2 ETFs).
|
*
|
All communications to Trustees and Officers may be directed to ALPS Series Trust c/o 1290 Broadway, Suite 1100, Denver, CO 80203.
|
**
|
This is the period for which the Trustee or Officer began serving the Trust. Each Trustee serves an indefinite term, until such Trustee’s successor is elected and appointed, or such Trustee resigns or is deceased. Officers are elected on an annual basis.
|
***
|
Except as otherwise indicated, each individual has held the office shown or other offices in the same company for the last five years.
|
****
|
The Fund Complex currently consists of 9 series of the Trust and any other investment companies for which Cognios Capital, LLC provides investment advisory services, currently none.
|
42
|
www.cogniosfunds.com
|
Trustees and Officers
|
September 30, 2017 (Unaudited)
|
Name,
Birth Year & Address* |
Position(s)
Held with Fund |
Term of
Office and Length of Time Served** |
Principal Occupation(s) During Past 5 Years***
|
Kimberly R. Storms
Birth year: 1972
|
Treasurer
|
Ms. Storms was elected Treasurer of the Trust on October 30, 2012.
|
Ms. Storms is Senior Vice President and Director of Fund Administration of ALPS. Because of her position with ALPS, Ms. Storms is deemed an affiliate of the Trust as defined under the 1940 Act. Ms. Storms is also Treasurer of Financial Investors Trust, Liberty All-Star Equity Fund and Liberty All-Star Growth Fund, Inc.
|
Rick Noyes
Birth year: 1970
|
Secretary
|
Mr. Noyes was elected Secretary of the Trust on November 14, 2016
|
Mr. Noyes joined ALPS in 2015 and is Senior Vice President and Director of Legal Administration of ALPS. Prior to joining ALPS, Mr. Noyes served as Assistant Vice President and Senior Counsel of Janus Capital Management LLC. Mr. Noyes is deemed an affiliate of the Trust as defined under the 1940 Act. Mr. Noyes is also Secretary of Westcore Trust.
|
Jennifer A. Craig
Birth year: 1973
|
Assistant Secretary
|
Ms. Craig was elected Assistant Secretary of the Trust on May 27, 2016.
|
Ms. Craig joined ALPS in 2007 and is currently Assistant Vice President and Paralegal Manager. Prior to joining ALPS, Ms. Craig was Legal Manager at Janus Capital Management LLC and served as Assistant Secretary of Janus Investment Fund, Janus Adviser Series and Janus Aspen Series. Because of her position with ALPS, Ms. Craig is deemed an affiliate of the Trust as defined under the 1940 Act. Ms. Craig is also Assistant Secretary of Clough Funds Trust, Clough Global Opportunities Fund, Clough Global Allocation Fund, Clough Global Equity Fund and Financial Investors Trust.
|
Alan Gattis
Birth year: 1980
|
Assistant Treasurer
|
Mr. Gattis was elected Assistant Treasurer of the Trust on August 9, 2016.
|
Mr. Gattis joined ALPS in 2011 and is currently Vice President and Fund Controller of ALPS. Prior to joining ALPS, Mr. Gattis was an Auditor at Spicer Jeffries LLP (2009 through 2011) and an Auditor at PricewaterhouseCoopers LLP (2004 - 2009). Because of his position with ALPS, Mr. Gattis is deemed an affiliate of the Trust as defined under the 1940 Act. Mr. Gattis is also Assistant Treasurer of Clough Funds Trust, Clough Global Opportunities Fund, Clough Global Allocation Fund, Clough Global Equity Fund, Griffin Institutional Access Real Estate Fund, Stadion Funds and Centaur Mutual Funds Trust.
|
Annual Report | September 30, 2017
|
43
|
Trustees and Officers
|
September 30, 2017 (Unaudited)
|
Name,
Birth Year & Address* |
Position(s)
Held with Fund |
Term of
Office and Length of Time Served** |
Principal Occupation(s) During Past 5 Years***
|
Cory J. Gossard
Birth year: 1972
|
Chief Compliance Officer (“CCO”)
|
Mr. Gossard was elected CCO of the Trust on October 20, 2017.
|
Mr. Gossard oversees all day-to-day compliance aspects of ALPS’ business within Fund CCO Services, Compliance Administration, Risk Management and Assurance Services. Mr. Gossard is deemed an affiliate of the Trust as defined under the 1940 Act. Mr. Gossard also serves as Fund CCO for the SPDR S&P 500 ETF Trust, SPDR DJIA ETF Trust, and SPDR S&P MidCap 400 ETF Trust. Prior to joining ALPS in 2014, Mr. Gossard held a series of progressively responsible roles throughout an 18-year career with Citibank.
|
*
|
All communications to Trustees and Officers may be directed to ALPS Series Trust c/o 1290 Broadway, Suite 1100, Denver, CO 80203.
|
**
|
This is the period for which the Trustee or Officer began serving the Trust. Each Trustee serves an indefinite term, until such Trustee’s successor is elected and appointed, or such Trustee resigns or is deceased. Officers are elected on an annual basis.
|
***
|
Except as otherwise indicated, each individual has held the office shown or other offices in the same company for the last five years.
|
44
|
www.cogniosfunds.com
|
Shareholder Letter
|
1
|
Portfolio Update
|
3
|
Disclosure of Fund Expenses
|
5
|
Portfolio of Investments
|
6
|
Statement of Assets and Liabilities
|
11
|
Statement of Operations
|
12
|
Statements of Changes in Net Assets
|
13
|
Statement of Cash Flows
|
14
|
Financial Highlights
|
15
|
Notes to Financial Statements
|
18
|
Report of Independent Registered Public Accounting Firm
|
26
|
Additional Information
|
27
|
Trustees and Officers
|
30
|
DDJ Opportunistic High Yield Fund
|
Shareholder Letter
|
Annual Report | September 30, 2017
|
1
|
DDJ Opportunistic High Yield Fund
|
Shareholder Letter
|
2
|
www.ddjcap.com
|
DDJ Opportunistic High Yield Fund
|
Portfolio Update
|
3 Month
|
6 Month
|
1 Year
|
Since Inception*
|
|
DDJ Opportunistic High Yield Fund – Institutional Class
|
2.22%
|
5.45%
|
12.73%
|
8.62%
|
DDJ Opportunistic High Yield Fund – Class I
|
2.16%
|
5.47%
|
12.74%
|
8.60%
|
DDJ Opportunistic High Yield Fund – Class II
|
2.13%
|
5.36%
|
12.38%
|
8.30%
|
BofA ML U.S. High Yield Non‐Financial Index(a)
|
2.04%
|
4.08%
|
8.96%
|
7.21%
|
* |
Fund’s inception date is July 16, 2015.
|
(a)
|
The BofA Merrill Lynch U.S. High Yield Non-Financial Index is a subset of The BofA Merrill Lynch US High Yield Index but that excludes all securities of financial issuers.
|
Annual Report | September 30, 2017
|
3
|
DDJ Opportunistic High Yield Fund
|
Portfolio Update
|
Cleaver‐Brooks, Inc.
|
3.96%
|
Foresight Energy LLC / Foresight Energy
|
3.50%
|
Tenet Healthcare Corp.
|
3.23%
|
U.S. Renal Care, Inc. ‐ Term Loan (Second Lien)
|
2.79%
|
Berlin Packaging LLC ‐ Initial Term Loan (Second Lien)
|
2.75%
|
American Tire Distributors, Inc.
|
2.74%
|
Century Aluminum Co.
|
2.73%
|
TransDigm, Inc.
|
2.68%
|
Alliant Holdings Intermediate LLC
|
2.64%
|
Fairmount Santrol, Inc. (Fairmount Minerals, Ltd.) – New Tranche B‐2 Term Loan
|
2.58%
|
Top Ten Holdings
|
29.60%
|
*
|
Holdings are subject to change, and may not reflect the current or future position of the portfolio. Tables present indicative values only.
|
4
|
www.ddjcap.com
|
DDJ Opportunistic High Yield Fund
|
Disclosure of Fund Expenses
|
Beginning Account Value April 1, 2017
|
Ending Account Value September 30, 2017
|
Expense
Ratio(a) |
Expense Paid During Period April 1, 2017 - September 30, 2017(b)
|
|
DDJ Opportunistic High Yield Fund
|
||||
Institutional Class
|
||||
Actual
|
$1,000.00
|
$1,054.50
|
0.79%
|
$4.07
|
Hypothetical (5% return before expenses)
|
$1,000.00
|
$1,021.11
|
0.79%
|
$4.00
|
Class I
|
||||
Actual
|
$1,000.00
|
$1,054.70
|
0.71%
|
$3.66
|
Hypothetical (5% return before expenses)
|
$1,000.00
|
$1,021.51
|
0.71%
|
$3.60
|
Class II
|
||||
Actual
|
$1,000.00
|
$1,053.60
|
0.99%
|
$5.10
|
Hypothetical (5% return before expenses)
|
$1,000.00
|
$1,020.10
|
0.99%
|
$5.01
|
(a)
|
The Fund's expense ratios have been annualized based on the Fund's most recent fiscal half-year expenses after any applicable waivers and reimbursements.
|
(b)
|
Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year (183), divided by 365.
|
Annual Report | September 30, 2017
|
5
|
DDJ Opportunistic High Yield Fund
|
Portfolio of Investments
|
Rate
|
Maturity Date
|
Principal Amount
|
Value (Note 2)
|
|||||||||
BANK LOANS (48.13%)
|
||||||||||||
Basic Materials (2.12%)
|
||||||||||||
New Arclin U.S. Holding Corp. - Second Lien Term Loan
|
3M US L + 8.75%,
1.00% Floor |
02/14/2025
|
$
|
30,000
|
$
|
30,413
|
||||||
Optima Specialty Steel, Inc. - DIP Loan(a)(b)(c)(d)(e)
|
3M US L + 9.00%,
1.00% Floor |
10/31/2017
|
140,000
|
140,000
|
||||||||
Total Basic Materials
|
170,413
|
|||||||||||
Communications (5.82%)
|
||||||||||||
Ancestry.com Operations, Inc. - Term Loan (Second Lien)
|
3M US L + 8.25%,
1.00% Floor |
10/19/2024
|
42,000
|
42,735
|
||||||||
Getty Images, Inc. - Initial Term Loan(a)
|
3M US L + 3.50%,
1.25% Floor |
10/18/2019
|
178,984
|
155,371
|
||||||||
MH Sub I LLC (Micro Holding Corp.) - Initial Term Loan (Second Lien)(a)
|
3M US L + 7.50%,
1.00% Floor |
09/15/2025
|
90,000
|
89,625
|
||||||||
Ten-X LLC - Term Loan (Second Lien)(b)(c)(e)
|
3M US L + 8.00%,
1.00% Floor |
09/26/2025
|
180,000
|
180,000
|
||||||||
Total Communications
|
467,731
|
|||||||||||
Consumer Discretionary (2.25%)
|
||||||||||||
KUEHG Corp. (MergerSub, Inc.) - Tranche B Term Loan (Second Lien)(c)
|
3M US L + 8.25%,
1.00% Floor |
08/22/2025
|
70,000
|
70,000
|
||||||||
NVA Holdings, Inc. - Term Loan (Second Lien)
|
3M US L + 7.00%,
1.00% Floor |
08/14/2022
|
110,000
|
110,963
|
||||||||
Total Consumer Discretionary
|
180,963
|
|||||||||||
Consumer Staples (1.18%)
|
||||||||||||
PFS Holdings Corporation - Term Loan (Second Lien)(e)
|
3M US L + 7.25%,
1.00% Floor |
01/31/2022
|
110,000
|
94,985
|
||||||||
Total Consumer Staples
|
94,985
|
|||||||||||
Consumer, Cyclical (8.02%)
|
||||||||||||
DexKo Global, Inc. - Term B Loan (Second Lien)(b)(c)
|
3M US L + 8.25%,
1.00% Floor |
07/24/2025
|
110,000
|
110,000
|
||||||||
Genoa Healthcare - Initial Term Loan (Second Lien)(c)
|
3M US L + 8.00%,
1.00% Floor |
10/28/2024
|
90,000
|
92,475
|
||||||||
National Vision, Inc. - Initial Term Loan (Second Lien)(c)
|
3M US L + 5.75%,
1.00% Floor |
03/11/2022
|
205,000
|
200,899
|
||||||||
Parq Holdings, Ltd. - Closing Date Term Loan (First Lien)(b)(c)
|
3M US L + 7.50%,
1.00% Floor |
12/17/2020
|
160,317
|
160,317
|
||||||||
Truck Hero, Inc. - Term Loan (Second Lien)(c)
|
3M US L + 8.25%,
1.00% Floor |
04/21/2025
|
80,000
|
80,800
|
||||||||
Total Consumer, Cyclical
|
644,491
|
6
|
www.ddjcap.com
|
DDJ Opportunistic High Yield Fund
|
Portfolio of Investments
|
Rate
|
Maturity Date
|
Principal Amount
|
Value (Note 2)
|
|||||||||
Consumer, Non-cyclical (12.06%)
|
||||||||||||
Aveanna Healthcare LLC (BCPE Eagle Buyer LLC) - Term Loan (Second Lien)(c)
|
3M US L + 8.00%,
1.00% Floor |
10/31/2017
|
$
|
120,000
|
$
|
120,300
|
||||||
Heartland Dental LLC - Term Loan (Second Lien)
|
3M US L + 8.50%,
1.00% Floor |
07/31/2024
|
150,000
|
151,688
|
||||||||
Lanai Holdings II, Inc. - Initial Term Loan (First Lien)(a)
|
3M US L + 4.75%,
1.00% Floor |
08/29/2022
|
80,000
|
77,750
|
||||||||
Lanai Holdings III, Inc. - Initial Term Loan (Second Lien)(e)
|
3M US L + 8.50%,
1.00% Floor |
08/28/2023
|
160,000
|
157,199
|
||||||||
Opal Acquisition, Inc. - Term B Loan
|
3M US L + 4.00%,
1.00% Floor |
11/27/2020
|
9,974
|
9,423
|
||||||||
Packaging Coordinators Midco, Inc. - Term Loan (Second Lien)(b)(c)
|
3M US L + 8.75%,
1.00% Floor |
06/29/2024
|
140,000
|
139,300
|
||||||||
Parfums Holding Company, Inc. -Term Loan (Second Lien)
|
3M US L + 8.75%,
1.00% Floor |
06/30/2025
|
90,000
|
88,350
|
||||||||
U.S. Renal Care, Inc. - Term Loan (Second Lien)(a)
|
3M US L + 8.00%,
1.00% Floor |
12/29/2017
|
230,000
|
224,537
|
||||||||
Total Consumer, Non-cyclical
|
968,547
|
|||||||||||
Financials (1.01%)
|
||||||||||||
Focus Financial Partners, LLC - Term Loan (Second Lien)(c)
|
3M US L + 7.50%,
1.00% Floor |
10/03/2017
|
80,000
|
81,400
|
||||||||
Total Financials
|
81,400
|
|||||||||||
Health Care (0.88%)
|
||||||||||||
PharMerica Corp. - Term Loan (Second Lien)(a)
|
3M US L + 8.25%,
1.00% Floor |
09/26/2025
|
70,000
|
70,525
|
||||||||
Total Health Care
|
70,525
|
|||||||||||
Industrials (5.29%)
|
||||||||||||
Berlin Packaging LLC - Initial Term Loan (Second Lien)
|
3M US L + 6.75%,
1.00% Floor |
09/30/2022
|
220,000
|
220,962
|
||||||||
Engineered Machinery Holdings, Inc. - Delayed Draw Term Loan (Second Lien)(d)
|
3M US L + 7.25%,
1.00% Floor |
07/18/2025
|
7,447
|
7,503
|
||||||||
Engineered Machinery Holdings, Inc. - Initial Term Loan (Second Lien)
|
3M US L + 7.25%,
1.00% Floor |
07/18/2025
|
62,553
|
63,022
|
||||||||
Lully Finance S.A.R.L. (Lully Finance) - Initial Term B-1 Loan (Second Lien)(c)
|
3M US L + 8.50%,
1.00% Floor |
10/16/2023
|
60,000
|
57,600
|
||||||||
SRS Distribution, Inc. - Initial Term Loan (Second Lien)
|
3M US L + 8.75%,
1.00% Floor |
02/24/2023
|
30,000
|
30,863
|
||||||||
Utex Industries, Inc. - Initial Loan (Second Lien)
|
1M US L + 7.25%,
1.00% Floor |
05/20/2022
|
50,000
|
45,113
|
||||||||
Total Industrials
|
425,063
|
|||||||||||
Materials (3.95%)
|
||||||||||||
Avantor Performance Materials Holdings, LLC - Initial Term Loan (Second Lien)(c)
|
3M US L + 8.25%,
1.00% Floor |
03/10/2025
|
97,490
|
97,734
|
||||||||
Fairmount Santrol, Inc. (Fairmount Minerals, Ltd.) - New Tranche B-2 Term Loan(a)
|
3M US L + 3.50%,
1.00% Floor |
09/05/2019
|
208,434
|
207,001
|
||||||||
Miami Valley Steel Services, Inc. - Term Loan(b)(c)(e)
|
3M US L + 9.00%,
1.00% Floor |
01/20/2023
|
13,000
|
13,000
|
||||||||
Total Materials
|
317,735
|
Annual Report | September 30, 2017
|
7
|
DDJ Opportunistic High Yield Fund
|
Portfolio of Investments
|
Rate
|
Maturity Date
|
Principal Amount
|
Value (Note 2)
|
|||||||||
Technology (5.55%)
|
||||||||||||
Evergreen Skills Lux S.A.R.L. - Initial Term Loan (First Lien)
|
3M US L + 4.75%,
1.00% Floor |
04/28/2021
|
$
|
166,856
|
$
|
158,175
|
||||||
Evergreen Skills Lux S.A.R.L. - Initial Term Loan (Second Lien)
|
3M US L + 8.25%,
1.00% Floor |
04/28/2022
|
119,990
|
98,742
|
||||||||
Optiv, Inc. - Initial Term Loan (Second Lien)
|
3M US L + 7.25%,
1.00% Floor |
01/31/2025
|
40,000
|
37,150
|
||||||||
Peak 10 Holding Corp. - Initial Term Loan (Second Lien)
|
3M US L + 7.25%,
1.00% Floor |
08/01/2025
|
110,000
|
110,871
|
||||||||
TierPoint LLC - Initial Term Loan (Second Lien)
|
3M US L + 7.25%,
1.00% Floor |
05/05/2025
|
40,000
|
40,817
|
||||||||
Total Technology
|
445,755
|
|||||||||||
TOTAL BANK LOANS
(Cost $3,802,972) |
3,867,608
|
|||||||||||
HIGH YIELD BONDS AND NOTES (49.65%)
|
||||||||||||
Basic Materials (6.90%)
|
||||||||||||
Century Aluminum Co.(e)(f)
|
7.500%
|
06/01/2021
|
215,000
|
219,300
|
||||||||
Hexion, Inc.
|
6.625%
|
04/15/2020
|
210,000
|
189,000
|
||||||||
Optima Specialty Steel, Inc.(b)(c)(e)(g)(h)
|
12.000%
|
12/30/2016
|
150,000
|
146,145
|
||||||||
Total Basic Materials
|
554,445
|
|||||||||||
Communications (1.90%)
|
||||||||||||
Urban One, Inc.(f)
|
9.250%
|
02/15/2020
|
160,000
|
152,400
|
||||||||
Total Communications
|
152,400
|
|||||||||||
Consumer, Cyclical (2.74%)
|
||||||||||||
American Tire Distributors, Inc.(f)
|
10.250%
|
03/01/2022
|
210,000
|
220,038
|
||||||||
Total Consumer, Cyclical
|
220,038
|
|||||||||||
Consumer, Non-cyclical (9.61%)
|
||||||||||||
Opal Acquisition, Inc., Series AI
|
||||||||||||
7.500%
|
07/01/2024
|
204,000
|
199,919
|
|||||||||
10.000%
|
10/01/2024
|
166,000
|
144,213
|
|||||||||
Surgery Center Holdings, Inc.(f)
|
8.875%
|
04/15/2021
|
160,000
|
168,400
|
||||||||
Tenet Healthcare Corp.
|
6.750%
|
06/15/2023
|
270,000
|
259,538
|
||||||||
Total Consumer, Non-cyclical
|
772,070
|
|||||||||||
Diversified (1.89%)
|
||||||||||||
HRG Group, Inc.
|
7.750%
|
01/15/2022
|
145,000
|
152,069
|
||||||||
Total Diversified
|
152,069
|
|||||||||||
Energy (8.55%)
|
||||||||||||
Foresight Energy LLC / Foresight Energy(a)(f)
|
11.500%
|
04/01/2023
|
320,000
|
281,600
|
||||||||
Forum Energy Technologies, Inc., Series WI
|
6.250%
|
10/01/2021
|
100,000
|
100,750
|
||||||||
Jones Energy Holdings LLC / Jones Energy Finance Corp.
|
||||||||||||
6.750%
|
04/01/2022
|
20,000
|
16,450
|
|||||||||
9.250%
|
03/15/2023
|
20,000
|
16,700
|
|||||||||
Resolute Energy Corp.
|
8.500%
|
05/01/2020
|
80,000
|
81,800
|
||||||||
SESI LLC
|
7.125%
|
12/15/2021
|
185,000
|
189,625
|
||||||||
Total Energy
|
686,925
|
8
|
www.ddjcap.com
|
DDJ Opportunistic High Yield Fund
|
Portfolio of Investments
|
Rate
|
Maturity Date
|
Principal Amount
|
Value (Note 2)
|
|||||||||
Financials (2.64%)
|
||||||||||||
Alliant Holdings Intermediate LLC(f)
|
8.250%
|
08/01/2023
|
$
|
200,000
|
$
|
211,958
|
||||||
Total Financials
|
211,958
|
|||||||||||
Industrials (13.65%)
|
||||||||||||
Cleaver-Brooks, Inc.(f)
|
8.750%
|
12/15/2019
|
310,000
|
318,524
|
||||||||
Material Sciences Corp.(b)(c)(e)(i)
|
9.000% Cash +
5.00% PIK% |
06/22/2022
|
102,656
|
97,010
|
||||||||
Optimas OE Solutions Holding LLC / Optimas OE Solutions, Inc.(f)
|
8.625%
|
06/01/2021
|
190,000
|
186,200
|
||||||||
Real Alloy Holding, Inc.(f)
|
10.000%
|
01/15/2019
|
175,000
|
165,375
|
||||||||
TransDigm, Inc.
|
6.375%
|
06/15/2026
|
210,000
|
215,645
|
||||||||
Xerium Technologies, Inc.
|
9.500%
|
08/15/2021
|
110,000
|
114,125
|
||||||||
Total Industrials
|
1,096,879
|
|||||||||||
Utilities (1.77%)
|
||||||||||||
Calpine Corp.
|
5.750%
|
01/15/2025
|
150,000
|
142,313
|
||||||||
Total Utilities
|
142,313
|
|||||||||||
TOTAL HIGH YIELD BONDS AND NOTES (Cost $3,830,668)
|
3,989,097
|
Shares
|
Value (Note 2)
|
|||||||
WARRANT (0.09%)
|
||||||||
Industrials (0.09%)
|
||||||||
Material Sciences Corp., Strike Price: $0.01, Expires 12/22/2036(b)(c)(e)(j)
|
5,549
|
7,436
|
||||||
TOTAL WARRANT (Cost $9,863)
|
7,436
|
|||||||
TOTAL INVESTMENTS (97.87%) (Cost $7,643,503)
|
$ |
7,864,141
|
||||||
Other Assets In Excess Of Liabilities (2.13%)
|
170,805
|
|||||||
NET ASSETS (100.00%)
|
$ |
8,034,946
|
(a) |
All or a portion of this position has not settled as of September 30, 2017. The interest rate shown represents the stated spread over the London Interbank Offered Rate ("LIBOR" or "L") or the applicable LIBOR floor; the Fund will not accrue interest until the settlement date, at which point LIBOR will be established.
|
(b) |
Fair valued security under the procedures approved by the Fund's Board of Trustees.
|
(c) |
As a result of the use of significant unobservable inputs to determine fair value, these investments have been classified as Level 3 assets. See also footnote 2 to the financial statements for additional information.
|
(d) |
A portion of this position was not funded as of September 30, 2017. The Fund had approximately $79,600 in unfunded commitments pursuant to a DIP Loan facility and a Delayed Draw Term Loan facility. The Portfolio of Investments records each of these investments as fully funded and accordingly, a corresponding payable for investments purchased has also been recorded which represents the actual unfunded amount on the balance sheet date.
|
(e) |
Security deemed to be illiquid under the procedures approved by the Fund's Board of Trustees. As of September 30, 2017, the market value of illiquid securities was $1,055,075, representing 13.13% of the Fund's net assets.
|
(f) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of September 30, 2017, the market value of securities restricted under Rule 144A was $1,923,795, representing 23.94% of the Fund's net assets. These securities have been determined to be liquid pursuant to procedures adopted by the Board.
|
Annual Report | September 30, 2017
|
9
|
DDJ Opportunistic High Yield Fund
|
Portfolio of Investments
|
(g)
|
Security deemed to be restricted as of September 30, 2017. As of September 30, 2017 the market value of restricted securities was $146,145, representing 1.82% of the Fund’s net assets. Additional information on restricted securities can be found in Note 2. Significant Accounting Policies.
|
(h)
|
Security is currently in default.
|
(i)
|
Payment in-kind.
|
(j)
|
Non-income producing security.
|
10
|
www.ddjcap.com
|
DDJ Opportunistic High Yield Fund
|
Statement of Assets and Liabilities
|
ASSETS:
|
||||
Investments, at value (Cost $7,643,503)
|
$
|
7,864,141
|
||
Cash and cash equivalents
|
343,437
|
|||
Receivable for investments sold
|
465,676
|
|||
Interest receivable
|
105,486
|
|||
Receivable due from adviser
|
17,140
|
|||
Prepaid expenses
|
21,438
|
|||
Total Assets
|
8,817,318
|
|||
LIABILITIES:
|
||||
Payable for investments purchased
|
729,775
|
|||
Payable for administration and transfer agency fees
|
22,189
|
|||
Payable for distribution and services fees
|
||||
Class I
|
446
|
|||
Class II
|
136
|
|||
Payable for 12b-1 fees
|
||||
Class II
|
40
|
|||
Trustees' fees and expenses payable
|
44
|
|||
Payable for Chief Compliance Officer fees
|
1,667
|
|||
Payable for legal fees
|
3,572
|
|||
Payable for audit and tax fees
|
20,000
|
|||
Accrued expenses and other liabilities
|
4,503
|
|||
Total Liabilities
|
782,372
|
|||
NET ASSETS
|
$
|
8,034,946
|
||
NET ASSETS CONSIST OF:
|
||||
Paid-in capital (Note 5)
|
$
|
7,731,711
|
||
Accumulated net investment income
|
12,711
|
|||
Accumulated net realized gain
|
69,886
|
|||
Net unrealized appreciation
|
220,638
|
|||
NET ASSETS
|
$
|
8,034,946
|
||
PRICING OF SHARES
|
||||
Institutional Class:
|
||||
Net Asset Value, offering and redemption price per share
|
$
|
10.04
|
||
Net Assets
|
$
|
7,101,163
|
||
Shares of beneficial interest outstanding
|
706,959
|
|||
Class I:
|
||||
Net Asset Value, offering and redemption price per share
|
$
|
10.04
|
||
Net Assets
|
$
|
732,452
|
||
Shares of beneficial interest outstanding
|
72,925
|
|||
Class II:
|
||||
Net Asset Value, offering and redemption price per share
|
$
|
10.04
|
||
Net Assets
|
$
|
201,331
|
||
Shares of beneficial interest outstanding
|
20,044
|
Annual Report | September 30, 2017
|
11
|
DDJ Opportunistic High Yield Fund
|
Statement of Operations
|
INVESTMENT INCOME:
|
||||
Interest income
|
$
|
739,850
|
||
Total Investment Income
|
739,850
|
|||
EXPENSES:
|
||||
Investment advisory fees (Note 6)
|
54,708
|
|||
Administrative fees
|
157,182
|
|||
Distribution and service fees
|
||||
Class I
|
60
|
|||
Class II
|
16
|
|||
12b-1 fees
|
||||
Class II
|
320
|
|||
Transfer agent fees
|
41,062
|
|||
Legal fees
|
5,009
|
|||
Audit and tax fees
|
24,300
|
|||
Printing fees
|
2,620
|
|||
Insurance fees
|
309
|
|||
Custody fees
|
5,806
|
|||
Trustees' fees and expenses
|
1,049
|
|||
Chief Compliance Officer fees
|
20,000
|
|||
State registration fees
|
39,030
|
|||
Other expenses
|
9,365
|
|||
Total Expenses
|
360,836
|
|||
Less fees waived/reimbursed by investment adviser (Note 6)
|
||||
Institutional Class
|
(267,174
|
)
|
||
Class I
|
(26,613
|
)
|
||
Class II
|
(4,896
|
)
|
||
Net Expenses
|
62,153
|
|||
NET INVESTMENT INCOME
|
677,697
|
|||
REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
|
||||
Net realized gain on:
|
||||
Investments
|
70,887
|
|||
Net realized gain
|
70,887
|
|||
Net change in unrealized appreciation on:
|
||||
Investments
|
166,494
|
|||
Net Change
|
166,494
|
|||
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
|
237,381
|
|||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
|
$
|
915,078
|
12
|
www.ddjcap.com
|
DDJ Opportunistic High Yield Fund
|
Statements of Changes in Net Assets
|
For the
Year Ended September 30, 2017 |
For the
Year Ended September 30, 2016 |
|||||||
OPERATIONS:
|
||||||||
Net investment income
|
$
|
677,697
|
$
|
582,816
|
||||
Net realized gain
|
70,887
|
59,028
|
||||||
Net change in unrealized appreciation
|
166,494
|
132,770
|
||||||
Net increase in net assets resulting from operations
|
915,078
|
774,614
|
||||||
DISTRIBUTIONS TO SHAREHOLDERS:
|
||||||||
Dividends to shareholders from net investment income
|
||||||||
Institutional Class
|
(610,670
|
)
|
(527,986
|
)
|
||||
Class I
|
(60,815
|
)
|
(27,106
|
)
|
||||
Class II
|
(10,856
|
)
|
(7,007
|
)
|
||||
Dividends to shareholders from net realized gains
|
||||||||
Institutional Class
|
(71,297
|
)
|
–
|
|||||
Class I
|
(7,300
|
)
|
–
|
|||||
Class II
|
(1,192
|
)
|
–
|
|||||
Total distributions
|
(762,130
|
)
|
(562,099
|
)
|
||||
BENEFICIAL SHARE TRANSACTIONS (NOTE 5):
|
||||||||
Institutional Class
|
||||||||
Shares sold
|
80,081
|
5,150,155
|
||||||
Dividends reinvested
|
671,353
|
399,517
|
||||||
Shares redeemed
|
(1,702,459
|
)
|
(788,988
|
)
|
||||
Net Increase/(Decrease) from beneficial share transactions
|
(951,025
|
)
|
4,760,684
|
|||||
Class I
|
||||||||
Shares sold
|
–
|
500,000
|
||||||
Dividends reinvested
|
68,115
|
27,106
|
||||||
Net Increase from beneficial share transactions
|
68,115
|
527,106
|
||||||
Class II
|
||||||||
Shares sold
|
81,617
|
–
|
||||||
Dividends reinvested
|
12,048
|
7,007
|
||||||
Shares redeemed
|
(621
|
)
|
–
|
|||||
Net Increase from beneficial share transactions
|
93,044
|
7,007
|
||||||
Net increase/(decrease) in net assets
|
(636,918
|
)
|
5,507,312
|
|||||
NET ASSETS:
|
||||||||
Beginning of year
|
8,671,864
|
3,164,552
|
||||||
End of year (Including accumulated net investment income/(loss) of $12,711 and $16,355)
|
$
|
8,034,946
|
$
|
8,671,864
|
Annual Report | September 30, 2017
|
13
|
DDJ Opportunistic High Yield Fund
|
Statement of Cash Flows
|
CASH FLOWS FROM OPERATING ACTIVITIES:
|
||||
Net increase in net assets resulting from operations
|
$
|
915,078
|
||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities
|
||||
Purchase of investment securities
|
(6,592,300
|
)
|
||
Proceeds from disposition of investment securities
|
7,510,384
|
|||
Amortization of premium and accretion of discount on investments
|
(97,296
|
)
|
||
Net realized (gain)/loss on:
|
||||
Investments
|
(70,887
|
)
|
||
Net change in unrealized (appreciation)/depreciation on:
|
||||
Investments
|
(166,494
|
)
|
||
(Increase)/Decrease in assets:
|
||||
Receivable for investments sold
|
(369,935
|
)
|
||
Receivable due from adviser
|
11,529
|
|||
Interest receivable
|
47,241
|
|||
Prepaid expenses
|
(5,605
|
)
|
||
Increase/(Decrease) in liabilities:
|
||||
Payable for investments purchased
|
371,100
|
|||
Payable for 12b-1 fees
|
18
|
|||
Payable for distribution and service fees
|
76
|
|||
Payable for administration and transfer agency fees
|
771
|
|||
Payable for trustees' fees and expenses
|
44
|
|||
Payable for Chief Compliance Officer fees
|
(1,666
|
)
|
||
Payable for legal fees
|
539
|
|||
Payable for audit and tax fees
|
(3,500
|
)
|
||
Accrued expenses and other liabilities
|
82
|
|||
Net cash provided by operating activities
|
1,549,179
|
|||
CASH FLOWS FROM FINANCING ACTIVITIES:
|
||||
Proceeds from sale of shares
|
161,698
|
|||
Payment on shares redeemed
|
(1,703,080
|
)
|
||
Net cash distributions paid
|
(10,614
|
)
|
||
Net cash used in financing activities
|
(1,551,996
|
)
|
||
Net change in cash & cash equivalents
|
(2,817
|
)
|
||
Cash & cash equivalents, beginning of year
|
$
|
346,254
|
||
Cash & cash equivalents, end of year
|
$
|
343,437
|
||
Non-cash financing activities not included herein consist of reinvestment of distributions of:
|
$
|
751,516
|
14
|
www.ddjcap.com
|
DDJ Opportunistic High Yield Fund
|
Financial Highlights
|
Institutional Class
|
For a Share Outstanding Throughout the Periods Presented
|
For the Year
Ended September 30, 2017 |
For the Year
Ended September 30, 2016 |
For the Period Ended
September 30, 2015(a) |
||||||||||
NET ASSET VALUE, BEGINNING OF PERIOD
|
$
|
9.84
|
$
|
9.76
|
$
|
10.00
|
||||||
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
|
||||||||||||
Net investment income(b)
|
0.87
|
0.72
|
0.08
|
|||||||||
Net realized and unrealized gain/(loss) on investments
|
0.33
|
0.06
|
(0.26
|
)
|
||||||||
Total from investment operations
|
1.20
|
0.78
|
(0.18
|
)
|
||||||||
LESS DISTRIBUTIONS:
|
||||||||||||
From net investment income
|
(0.89
|
)
|
(0.70
|
)
|
(0.06
|
)
|
||||||
From net realized gains
|
(0.11
|
)
|
–
|
–
|
||||||||
Total distributions
|
(1.00
|
)
|
(0.70
|
)
|
(0.06
|
)
|
||||||
NET INCREASE/(DECREASE) IN NET ASSET VALUE
|
0.20
|
0.08
|
(0.24
|
)
|
||||||||
NET ASSET VALUE, END OF PERIOD
|
$
|
10.04
|
$
|
9.84
|
$
|
9.76
|
||||||
TOTAL RETURN(c)
|
12.73
|
%
|
8.41
|
%
|
(1.77
|
)%
|
||||||
SUPPLEMENTAL DATA:
|
||||||||||||
Net assets, end of period (000s)
|
$
|
7,101
|
$
|
7,916
|
$
|
2,968
|
||||||
RATIOS TO AVERAGE NET ASSETS
|
||||||||||||
Operating expenses excluding reimbursement/waiver
|
4.61
|
%
|
5.19
|
%
|
14.66
|
%(d)
|
||||||
Operating expenses including reimbursement/waiver
|
0.79
|
%
|
0.79
|
%
|
0.79
|
%(d)
|
||||||
Net investment income – including reimbursement/waiver
|
8.67
|
%
|
7.55
|
%
|
3.71
|
%(d)
|
||||||
PORTFOLIO TURNOVER RATE(e)
|
86
|
%
|
72
|
%
|
4
|
%
|
(a) |
Commenced operations on July 17, 2015.
|
(b) |
Calculated using the average shares method.
|
(c) |
Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal year. Total returns are for the period indicated and have not been annualized. Total returns would have been lower had certain expenses not been waived during the period. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
|
(d) |
Annualized.
|
(e) |
Portfolio turnover rate for periods less than one full year have not been annualized.
|
Annual Report | September 30, 2017
|
15
|
DDJ Opportunistic High Yield Fund
|
Financial Highlights
|
Class I
|
For a Share Outstanding Throughout the Periods Presented
|
For the Year Ended
September 30, 2017 |
For the Year Ended
September 30, 2016 |
For the Period Ended
September 30, 2015(a) |
||||||||||
NET ASSET VALUE, BEGINNING OF PERIOD
|
$
|
9.84
|
$
|
9.76
|
$
|
10.00
|
||||||
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
|
||||||||||||
Net investment income(b)
|
0.86
|
0.73
|
0.07
|
|||||||||
Net realized and unrealized gain/(loss) on investments
|
0.33
|
0.05
|
(0.24
|
)
|
||||||||
Total from investment operations
|
1.19
|
0.78
|
(0.17
|
)
|
||||||||
LESS DISTRIBUTIONS:
|
||||||||||||
From net investment income
|
(0.88
|
)
|
(0.70
|
)
|
(0.07
|
)
|
||||||
From net realized gains
|
(0.11
|
)
|
–
|
–
|
||||||||
Total distributions
|
(0.99
|
)
|
(0.70
|
)
|
(0.07
|
)
|
||||||
NET INCREASE/(DECREASE) IN NET ASSET VALUE
|
0.20
|
0.08
|
(0.24
|
)
|
||||||||
NET ASSET VALUE, END OF PERIOD
|
$
|
10.04
|
$
|
9.84
|
$
|
9.76
|
||||||
TOTAL RETURN(c)
|
12.63
|
%
|
8.43
|
%
|
(1.76
|
)%
|
||||||
SUPPLEMENTAL DATA:
|
||||||||||||
Net assets, end of period (000s)
|
$
|
732
|
$
|
650
|
$
|
98
|
||||||
RATIOS TO AVERAGE NET ASSETS
|
||||||||||||
Operating expenses excluding reimbursement/waiver
|
4.63
|
%
|
5.10
|
%
|
14.74
|
%(d)
|
||||||
Operating expenses including reimbursement/waiver
|
0.80
|
%(e)
|
0.89
|
%
|
0.89
|
%(d)
|
||||||
Net investment income – including reimbursement/waiver
|
8.66
|
%
|
7.55
|
%
|
3.47
|
%(d)
|
||||||
PORTFOLIO TURNOVER RATE(f)
|
86
|
%
|
72
|
%
|
4
|
%
|
(a) |
Commenced operations on July 17, 2015.
|
(b) |
Calculated using the average shares method.
|
(c) |
Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal year. Total returns are for the period indicated and have not been annualized. Total returns would have been lower had certain expenses not been waived during the period. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
|
(d) |
Annualized.
|
(e) |
According to the Fund's shareholder services plan with respect to the Fund's Class I shares, any amount of such payment not paid during the Fund's fiscal year for such services activities shall be reimbursed to the Fund as soon as practical after the end of the fiscal year. Fees were reimbursed to the Fund during the year ended September 30, 2017, for the prior fiscal year in the amount of 0.09% of average net assets of Class I shares.
|
(f) |
Portfolio turnover rate for periods less than one full year have not been annualized.
|
16
|
www.ddjcap.com
|
DDJ Opportunistic High Yield Fund
|
Financial Highlights
|
Class II
|
For a Share Outstanding Throughout the Periods Presented
|
|
For the Year Ended September 30, 2017 |
For the Year Ended September 30, 2016 |
For the Period Ended September 30, 2015(a) |
|||||||||
NET ASSET VALUE, BEGINNING OF PERIOD
|
$
|
9.83
|
$
|
9.76
|
$
|
10.00
|
||||||
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
|
||||||||||||
Net investment income(b)
|
0.84
|
0.68
|
0.07
|
|||||||||
Net realized and unrealized gain/(loss) on investments
|
0.32
|
0.06
|
(0.25
|
)
|
||||||||
Total from investment operations
|
1.16
|
0.74
|
(0.18
|
)
|
||||||||
LESS DISTRIBUTIONS:
|
||||||||||||
From net investment income
|
(0.84
|
)
|
(0.67
|
)
|
(0.06
|
)
|
||||||
From net realized gains
|
(0.11
|
)
|
–
|
–
|
||||||||
Total distributions
|
(0.95
|
)
|
(0.67
|
)
|
(0.06
|
)
|
||||||
NET INCREASE/(DECREASE) IN NET ASSET VALUE
|
0.21
|
0.07
|
(0.24
|
)
|
||||||||
NET ASSET VALUE, END OF PERIOD
|
$
|
10.04
|
$
|
9.83
|
$
|
9.76
|
||||||
TOTAL RETURN(c)
|
12.38
|
%
|
8.06
|
%
|
(1.80
|
)%
|
||||||
SUPPLEMENTAL DATA:
|
||||||||||||
Net assets, end of period (000s)
|
$
|
201
|
$
|
106
|
$
|
98
|
||||||
RATIOS TO AVERAGE NET ASSETS
|
||||||||||||
Operating expenses excluding reimbursement/waiver
|
4.86
|
%
|
6.18
|
%
|
14.99
|
%(d)
|
||||||
Operating expenses including reimbursement/waiver
|
1.05
|
%(e)
|
1.14
|
%
|
1.14
|
%(d)
|
||||||
Net investment income – including reimbursement/waiver
|
8.41
|
%
|
7.15
|
%
|
3.22
|
%(d)
|
||||||
PORTFOLIO TURNOVER RATE(f)
|
86
|
%
|
72
|
%
|
4
|
%
|
(a) |
Commenced operations on July 17, 2015.
|
(b) |
Calculated using the average shares method.
|
(c) |
Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal year. Total returns are for the period indicated and have not been annualized. Total returns would have been lower had certain expenses not been waived during the period. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
|
(d) |
Annualized.
|
(e) |
According to the Fund's shareholder services plan with respect to the Fund's Class II shares, any amount of such payment not paid during the Fund's fiscal year for such services activities shall be reimbursed to the Fund as soon as practical after the end of the fiscal year. Fees were reimbursed to the Fund during the year ended September 30, 2017, for the prior fiscal year in the amount of 0.09% of average net assets of Class II shares.
|
(f) |
Portfolio turnover rate for periods less than one full year have not been annualized.
|
Annual Report | September 30, 2017
|
17
|
DDJ Opportunistic High Yield Fund
|
Notes to Financial Statements
|
18
|
www.ddjcap.com
|
DDJ Opportunistic High Yield Fund
|
Notes to Financial Statements
|
Level 1 –
|
Unadjusted quoted prices in active markets for identical investments, unrestricted assets or liabilities that the Fund has the ability to access at the measurement date;
|
|
Level 2 –
|
Quoted prices which are not active, quoted prices for similar assets or liabilities in active markets or inputs other than quoted prices that are observable (either directly or indirectly); and
|
|
Level 3 –
|
Significant unobservable prices or inputs (including the Fund’s own assumptions in determining the fair value of investments) where there is little or no market activity for the asset or liability at the measurement date.
|
Investments in Securities at Value
|
Level 1 - Unadjusted
Quoted Prices |
Level 2 - Other Significant Observable Inputs |
Level 3 -
Significant Unobservable Inputs |
Total
|
||||||||||||
Bank Loans
|
||||||||||||||||
Basic Materials
|
$
|
–
|
$
|
30,413
|
$
|
140,000
|
$
|
170,413
|
||||||||
Communications
|
–
|
287,731
|
180,000
|
467,731
|
||||||||||||
Consumer Discretionary
|
–
|
110,963
|
70,000
|
180,963
|
||||||||||||
Consumer Staples
|
–
|
94,985
|
–
|
94,985
|
||||||||||||
Consumer, Cyclical
|
–
|
–
|
644,491
|
644,491
|
||||||||||||
Consumer, Non‐cyclical
|
–
|
708,947
|
259,600
|
968,547
|
||||||||||||
Financials
|
–
|
–
|
81,400
|
81,400
|
||||||||||||
Health Care
|
–
|
70,525
|
–
|
70,525
|
||||||||||||
Industrials
|
–
|
367,463
|
57,600
|
425,063
|
||||||||||||
Materials
|
–
|
207,001
|
110,734
|
317,735
|
||||||||||||
Technology
|
–
|
445,755
|
–
|
445,755
|
||||||||||||
High Yield Bonds And Notes
|
||||||||||||||||
Basic Materials
|
–
|
408,300
|
146,145
|
554,445
|
||||||||||||
Communications
|
–
|
152,400
|
–
|
152,400
|
||||||||||||
Consumer, Cyclical
|
–
|
220,038
|
–
|
220,038
|
||||||||||||
Consumer, Non‐cyclical
|
–
|
772,070
|
–
|
772,070
|
||||||||||||
Diversified
|
–
|
152,069
|
–
|
152,069
|
||||||||||||
Energy
|
–
|
686,925
|
–
|
686,925
|
||||||||||||
Financials
|
–
|
211,958
|
–
|
211,958
|
||||||||||||
Industrials
|
–
|
999,869
|
97,010
|
1,096,879
|
||||||||||||
Utilities
|
–
|
142,313
|
–
|
142,313
|
||||||||||||
Warrant
|
||||||||||||||||
Industrials
|
–
|
–
|
7,436
|
7,436
|
||||||||||||
TOTAL
|
$
|
–
|
$
|
6,069,725
|
$
|
1,794,416
|
$
|
7,864,141
|
Annual Report | September 30, 2017
|
19
|
DDJ Opportunistic High Yield Fund
|
Notes to Financial Statements
|
DDJ Opportunistic High Yield Fund
|
High Yield Bonds
|
Bank Loans
|
Warrant
|
Total
|
||||||||||||
Balance as of September 30, 2016
|
$
|
128,250
|
$
|
1,090,830
|
$
|
–
|
$
|
1,219,080
|
||||||||
Accrued discount/ premium
|
910
|
5,172
|
–
|
6,082
|
||||||||||||
Return of Capital
|
–
|
–
|
–
|
–
|
||||||||||||
Realized Gain/(Loss)
|
–
|
8,179
|
–
|
8,179
|
||||||||||||
Change in Unrealized Appreciation/(Depreciation)
|
21,203
|
21,573
|
(2,427
|
)
|
40,349
|
|||||||||||
Purchases
|
92,792
|
1,094,908
|
9,863
|
1,197,563
|
||||||||||||
Sales Proceeds
|
–
|
(553,600
|
)
|
–
|
(553,600
|
)
|
||||||||||
Transfer into Level 3
|
–
|
258,499
|
–
|
258,499
|
||||||||||||
Transfer out of Level 3
|
–
|
(381,736
|
)
|
–
|
(381,736
|
)
|
||||||||||
Balance as of September 30, 2017
|
$
|
243,155
|
$
|
1,543,825
|
$
|
7,436
|
$
|
1,794,416
|
||||||||
Net change in unrealized appreciation/(depreciation) included in the Statements of Operations attributable to Level 3 investments held at September 30, 2017
|
$
|
21,203
|
$
|
28,020
|
$
|
(2,427
|
)
|
$
|
46,796
|
Asset Class
|
Market Value
|
Valuation Technique(s)
|
Unobservable Input(s)(a)
|
Value/Range
|
|||
Bank Loans
|
$ |
602,617
|
Market Analysis
|
Market Data of Similar Companies
|
N/A
|
||
Bank Loans
|
$ |
801,208
|
Third‐Party Vendor Pricing Service
|
Vendor Quotes
|
N/A
|
||
Bank Loans
|
$ |
140,000
|
Market Analysis, Discounted Cash Flow Analysis
|
Discount Rate, EBITDA Multiple
|
17.50%, 8.0x
|
||
High Yield Bonds
|
$ |
97,010
|
Market Analysis
|
Market Data of Similar Companies
|
N/A
|
||
High Yield Bonds
|
$ |
146,145
|
Market Analysis, Discounted Cash Flow Analysis
|
Discount Rate, EBITDA Multiple
|
17.50%, 8.0x
|
||
Warrant
|
$ |
7,436
|
Transaction Analysis
|
Intrinsic Value, Discount Rate
|
N/A
|
(a)
|
A change to an unobservable input may result in a significant change to the value of the investment as follows:
|
Unobservable Input
|
Impact to Value if Input Increases
|
Impact to Value if Input Decreases
|
Market Data of Similar Companies
|
Increase
|
Decrease
|
Vendor Quotes
|
Increase
|
Decrease
|
Discount Rate
|
Decrease
|
Increase
|
EBITDA Multiple
|
Increase
|
Decrease
|
Intrinsic Value
|
Increase
|
Decrease
|
20
|
www.ddjcap.com
|
DDJ Opportunistic High Yield Fund
|
Notes to Financial Statements
|
Acquisition Date
|
Shares or
Principal Amount |
Amortized Cost
|
Fair Value
|
||||||||||
Optima Specialty Steel, Inc. 12.000% 12/30/2016 (a)
|
1/20/15
|
$
|
150,000
|
$
|
131,030
|
$
|
146,145
|
(a)
|
The Fund also invests in unrestricted securities of the same issuer. The fair value of restricted securities is 51.07% of the total value of securities of the same issuer.
|
Annual Report | September 30, 2017
|
21
|
DDJ Opportunistic High Yield Fund
|
Notes to Financial Statements
|
Distributions Paid From:
|
2017
|
2016
|
||||||
Ordinary Income
|
$
|
762,130
|
$
|
562,099
|
||||
Total
|
$
|
762,130
|
$
|
562,099
|
|
Paid‐in Capital
|
Accumulated Net Investment Income
|
Accumulated Net Realized Gain on Investments
|
|||||||||
$
|
–
|
$
|
1,000
|
$
|
(1,000
|
)
|
Gross unrealized appreciation (excess of value over tax cost)
|
$
|
275,541
|
||
Gross unrealized depreciation (excess of tax cost over value)
|
(55,193
|
)
|
||
Net unrealized appreciation
|
220,348
|
|||
Cost of investments for income tax purposes
|
$
|
7,643,793
|
Undistributed ordinary income
|
$
|
82,887
|
||
Accumulated capital gains
|
–
|
|||
Net unrealized appreciation on investments
|
220,348
|
|||
Total
|
$
|
303,235
|
Purchases of Securities
|
Proceeds from Sales of Securities
|
|||||||
$
|
6,592,300
|
$
|
7,510,384
|
22
|
www.ddjcap.com
|
DDJ Opportunistic High Yield Fund
|
Notes to Financial Statements
|
For the
Year Ended September 30, 2017 |
For the
Year Ended September 30, 2016 |
|||||||
Institutional Class
|
||||||||
Shares sold
|
8,001
|
538,741
|
||||||
Dividends reinvested
|
67,601
|
41,782
|
||||||
Shares redeemed
|
(172,889
|
)
|
(80,426
|
)
|
||||
Net increase/(decrease) in shares outstanding
|
(97,287
|
)
|
500,097
|
|||||
Class I
|
||||||||
Shares sold
|
–
|
53,192
|
||||||
Dividends reinvested
|
6,860
|
2,807
|
||||||
Net increase in shares outstanding
|
6,860
|
55,999
|
||||||
Class II
|
||||||||
Shares sold
|
8,099
|
–
|
||||||
Dividends reinvested
|
1,213
|
734
|
||||||
Shares redeemed
|
(63
|
)
|
–
|
|||||
Net increase in shares outstanding
|
9,249
|
734
|
Annual Report | September 30, 2017
|
23
|
DDJ Opportunistic High Yield Fund
|
Notes to Financial Statements
|
Expiring in 2018
|
Expiring in 2019
|
Expiring in 2020
|
||||||||||
Institutional Class
|
$
|
82,371
|
$
|
319,671
|
$
|
267,174
|
||||||
Class I
|
2,863
|
15,385
|
26,613
|
|||||||||
Class II
|
2,862
|
5,004
|
4,896
|
24
|
www.ddjcap.com
|
DDJ Opportunistic High Yield Fund
|
Notes to Financial Statements
|
Annual Report | September 30, 2017
|
25
|
DDJ Opportunistic High Yield Fund
|
Report of Independent Registered
Public Accounting Firm |
COHEN & COMPANY, LTD.
Cleveland, Ohio
November 29, 2017
|
26
|
www.ddjcap.com
|
DDJ Opportunistic High Yield Fund
|
Additional Information
|
Annual Report | September 30, 2017
|
27
|
DDJ Opportunistic High Yield Fund
|
Additional Information
|
●
|
the contractual annual advisory fees of 0.70% of the DDJ Fund’s daily average net assets to be paid to DDJ Capital under the Investment Advisory Agreement and the total net expense of 0.89% for the DDJ Fund’s Institutional Class shares, taking into account the contractual fee waiver in place, were fair to the DDJ Fund’s shareholders;
|
●
|
the terms of the fee waiver/expense reimbursement letter agreement between the Trust, on behalf of the DDJ Fund, and DDJ Capital, were reasonable;
|
●
|
the nature, extent and quality of services rendered by DDJ Capital under the Investment Advisory Agreement were adequate;
|
● |
the performance for the DDJ Fund was acceptable;
|
28
|
www.ddjcap.com
|
DDJ Opportunistic High Yield Fund
|
Additional Information
|
●
|
the estimated profitability of DDJ Capital in connection with the management of the DDJ Fund was not unreasonable; and
|
●
|
there were no material economies of scale or other material incidental benefits accruing to DDJ Capital in connection with its relationship with the DDJ Fund.
|
Annual Report | September 30, 2017
|
29
|
DDJ Opportunistic High Yield Fund
|
Trustees & Officers
|
Name, Birth Year & Address*
|
Position(s) Held with Fund
|
Term of Office and
Length of Time Served** |
Principal Occupation(s)
During Past 5 Years*** |
Number of Funds in Fund Complex Overseen by Trustee****
|
Other Directorships Held by Trustee During Past 5 Years***
|
Ward D. Armstrong
Birth year: 1954
|
Trustee and Chairman
|
Mr. Armstrong was appointed to the Board on May 27, 2016. Mr. Armstrong was appointed Chairman of the Board at the August 24, 2017 meeting of the Board of Trustees.
|
Retired; Managing Partner, NorthRock Partners, LLC (October 2013 to July 2015); Managing Director, NorthRock Partners, a Private Wealth Advisory Practice of Ameriprise Financial (February 2010 to October 2013); Senior Vice President, Ameriprise Financial, Inc. (November 1984 to May 2007); President, American Express Asset Management (2002 to 2004); and Chairman, Ameriprise Trust Company (November 1996 to May 2007).
|
9
|
Mr. Armstrong is a Director of the Heartland Group, Inc. (5 funds).
|
J. Wayne Hutchens
Birth year: 1944
|
Trustee
|
Mr. Hutchens was elected to the Board on October 30, 2012.
|
Mr. Hutchens is currently retired. From April 2006 to December 2012, he served as President and CEO of the University of Colorado (CU) Foundation and from April 2009 to December 2012, he was Executive Director of the CU Real Estate Foundation. Mr. Hutchens is also Trustee of the Denver Museum of Nature and Science (2000 to present), Director of AMG National Trust Bank (June 2012 to present) and Trustee of Children’s Hospital Colorado (May 2012 to present). Prior to these positions, Mr. Hutchens spent 29 years in the banking industry, retiring as Chairman of Chase Bank Colorado.
|
9
|
RiverNorth Opportunity Fund (2013 to Present).
|
* |
All communications to Trustees and Officers may be directed to ALPS Series Trust c/o 1290 Broadway, Suite 1100, Denver, CO 80203.
|
**
|
This is the period for which the Trustee or Officer began serving the Trust. Each Trustee serves an indefinite term, until such Trustee’s successor is elected and appointed, or such Trustee resigns or is deceased. Officers are elected on an annual basis.
|
***
|
Except as otherwise indicated, each individual has held the office shown or other offices in the same company for the last five years.
|
****
|
The Fund Complex currently consists of 9 series of the Trust and any other investment companies for which DDJ Capital Management, LLC provides investment advisory services, currently none.
|
30
|
www.ddjcap.com
|
DDJ Opportunistic High Yield Fund
|
Trustees & Officers
|
Name, Birth Year & Address*
|
Position(s) Held with Fund
|
Term of Office and
Length of Time Served** |
Principal Occupation(s)
During Past 5 Years*** |
Number of Funds in Fund Complex Overseen by Trustee****
|
Other Directorships Held by Trustee During Past 5 Years***
|
Patrick Seese Birth year: 1971
|
Trustee
|
Mr. Seese was elected to the Board on October 30, 2012..
|
Mr. Seese is an owner and a Managing Director of Integris Partners, a middle‐ market investment banking firm serving closely‐held companies, financial sponsors and public companies (February 2008 to present). Prior to this, Mr. Seese was a Managing Director of Headwaters MB, a middle‐market investing banking firm (December 2003 to February 2008). Prior to that, Mr. Seese worked in Credit Suisse First Boston’s Mergers and Acquisitions Group and served as Head of Corporation Development, Katy Industries, a publicly traded industrial and consumer products company and at Deloitte & Touche LLP, where he began his career in 1994.
|
9
|
None.
|
INTERESTED TRUSTEE
|
|||||
Jeremy O. May Birth year: 1970
|
Trustee and President
|
Mr. May was elected Trustee and President on October 30, 2012. Mr. May was Chairman from October 30, 2012 to August 24, 2017.
|
Mr. May joined ALPS in 1995 and is currently President and Director of ALPS Fund Services, Inc. and ALPS Distributors, Inc., Executive Vice President and Director of ALPS Holdings, Inc. and ALPS Advisors, Inc. and Director of ALPS Portfolio Solutions Distributor, Inc. Because of his positions with these entities, Mr. May is deemed an affiliate of the Trust as defined under the 1940 Act. Mr. May is also Trustee of the Reaves Utility Income Fund and the ALPS Elevation Trust. Mr. May is also on the Board of Directors of the University of Colorado Foundation and the AV Hunter Trust.
|
9
|
Mr. May is Chairman and Trustee of the Reaves Utility Income Fund (1 fund) and ALPS Elevation Trust (2 ETFs).
|
* |
All communications to Trustees and Officers may be directed to ALPS Series Trust c/o 1290 Broadway, Suite 1100, Denver, CO 80203.
|
**
|
This is the period for which the Trustee or Officer began serving the Trust. Each Trustee serves an indefinite term, until such Trustee’s successor is elected and appointed, or such Trustee resigns or is deceased. Officers are elected on an annual basis.
|
***
|
Except as otherwise indicated, each individual has held the office shown or other offices in the same company for the last five years.
|
****
|
The Fund Complex currently consists of 9 series of the Trust and any other investment companies for which DDJ Capital Management, LLC provides investment advisory services, currently none.
|
Annual Report | September 30, 2017
|
31
|
DDJ Opportunistic High Yield Fund
|
Trustees & Officers
|
Name, Birth Year
& Address* |
Position(s) Held with Fund
|
Term of Office and Length of Time Served**
|
Principal Occupation(s) During Past 5 Years***
|
Kimberly R. Storms
Birth year: 1972 |
Treasurer
|
Ms. Storms was elected Treasurer of the Trust on October 30, 2012.
|
Ms. Storms is Senior Vice President and Director of Fund Administration of ALPS. Because of her position with ALPS, Ms. Storms is deemed an affiliate of the Trust as defined under the 1940 Act. Ms. Storms is also Treasurer of Financial Investors Trust, Liberty All‐Star Equity Fund and Liberty All‐Star Growth Fund, Inc.
|
Rick Noyes
Birth year: 1970 |
Secretary
|
Mr. Noyes was elected Secretary of the Trust on November 14, 2016.
|
Mr. Noyes joined ALPS in 2015 and is Senior Vice President and Director of Legal Administration of ALPS. Prior to joining ALPS, Mr. Noyes served as Assistant Vice President and Senior Counsel of Janus Capital Management LLC. Mr. Noyes is deemed an affiliate of the Trust as defined under the 1940 Act. Mr. Noyes is also Secretary of Westcore Trust.
|
Jennifer A. Craig
Birth year: 1973 |
Assistant Secretary
|
Ms. Craig was elected Assistant Secretary of the Trust on May 27, 2016.
|
Ms. Craig joined ALPS in 2007 and is currently Assistant Vice President and Paralegal Manager. Prior to joining ALPS, Ms. Craig was Legal Manager at Janus Capital Management LLC and served as Assistant Secretary of Janus Investment Fund, Janus Adviser Series and Janus Aspen Series. Because of her position with ALPS, Ms. Craig is deemed an affiliate of the Trust as defined under the 1940 Act. Ms. Craig is also Assistant Secretary of Clough Funds Trust, Clough Global Opportunities Fund, Clough Global Allocation Fund, Clough Global Equity Fund and Financial Investors Trust.
|
Alan Gattis
Birth year: 1980 |
Assistant Treasurer
|
Mr. Gattis was elected Assistant Treasurer of the Trust on August 9, 2016.
|
Mr. Gattis joined ALPS in 2011 and is currently Vice President and Fund Controller of ALPS. Prior to joining ALPS, Mr. Gattis was an Auditor at Spicer Jeffries LLP (2009 through 2011) and an Auditor at PricewaterhouseCoopers LLP (2004 ‐ 2009). Because of his position with ALPS, Mr. Gattis is deemed an affiliate of the Trust as defined under the 1940 Act. Mr. Gattis is also Assistant Treasurer of Clough Funds Trust, Clough Global Opportunities Fund, Clough Global Allocation Fund, Clough Global Equity Fund, Griffin Institutional Access Real Estate Fund, Stadion Funds and Centaur Mutual Funds Trust.
|
Cory J. Gossard
Birth year: 1972 |
Chief Compliance Officer (“CCO”)
|
Mr. Gossard was elected CCO of the Trust on October 20, 2017.
|
Mr. Gossard oversees all day‐to‐day compliance aspects of ALPS’ business within Fund CCO Services, Compliance Administration, Risk Management and Assurance Services. Mr. Gossard is deemed an affiliate of the Trust as defined under the 1940 Act. Mr. Gossard also serves as Fund CCO for the SPDR S&P 500 ETF Trust, SPDR DJIA ETF Trust, and SPDR S&P MidCap 400 ETF Trust. Prior to joining ALPS in 2014, Mr. Gossard held a series of progressively responsible roles throughout an 18‐year career with Citibank.
|
* |
All communications to Trustees and Officers may be directed to ALPS Series Trust c/o 1290 Broadway, Suite 1100, Denver, CO 80203.
|
**
|
This is the period for which the Trustee or Officer began serving the Trust. Each Trustee serves an indefinite term, until such Trustee’s successor is elected and appointed, or such Trustee resigns or is deceased. Officers are elected on an annual basis.
|
***
|
Except as otherwise indicated, each individual has held the office shown or other offices in the same company for the last five years.
|
32
|
www.ddjcap.com
|
table of contents
|
|
Shareholder Letter
|
1
|
Portfolio Update
|
5
|
Disclosure of Fund Expenses
|
7
|
Consolidated Portfolio of Investments
|
8
|
Consolidated Statement of Assets and Liabilities
|
20
|
Consolidated Statement of Operations
|
21
|
Consolidated Statements of Changes in Net Assets
|
22
|
Consolidated Financial Highlights
|
23
|
Notes to Consolidated Financial Statements
|
27
|
Report of Independent Registered Public Accounting Firm
|
42
|
Additional Information
|
43
|
Trustees and Officers
|
44
|
Insignia Macro Fund
|
Shareholder Letter
|
September 30, 2017 (Unaudited)
|
Annual Report | September 30, 2017
|
1
|
Insignia Macro Fund
|
Shareholder Letter
|
September 30, 2017 (Unaudited)
|
2
|
www.insigniafunds.com
|
Insignia Macro Fund
|
Shareholder Letter
|
September 30, 2017 (Unaudited)
|
Annual Report | September 30, 2017
|
3
|
Insignia Macro Fund
|
Shareholder Letter
|
September 30, 2017 (Unaudited)
|
4
|
www.insigniafunds.com
|
Insignia Macro Fund
|
Portfolio Update
|
September 30, 2017 (Unaudited)
|
3 Month
|
6 Month
|
1 Year
|
3 Year
|
Since Inception*
|
|
Insignia Macro Fund - Class A - NAV
|
-1.64%
|
-3.92%
|
-3.25%
|
-0.74%
|
0.51%
|
Insignia Macro Fund - Class A - LOAD
|
-7.09%
|
-9.20%
|
-8.60%
|
-2.60%
|
-0.99%
|
Insignia Macro Fund - Class I - NAV
|
-1.64%
|
-3.92%
|
-3.19%**
|
-0.68%
|
0.55%
|
HFRI Macro (Total) Index(a)
|
0.22%
|
-0.43%
|
-1.18%
|
0.50%
|
1.25%
|
S&P 500® Total Return Index(b)
|
4.48%
|
7.71%
|
18.61%
|
10.81%
|
10.91%
|
* |
Fund's inception date is December 31, 2013.
|
** |
Excludes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value and total return for shareholder transactions reported to the market may differ from the net asset value for financial reporting purposes.
|
(a) |
The HFRI Macro (Total) Index is an equally weighted performance index. It uses the HFR database and consists only of macro funds with a minimum of US$50 million AUM or a 12-month track record and that report assets in USD. It is calculated and rebalanced monthly, and shown net of all fees and expenses. It is an index comprising of investment managers which trade a broad range of strategies in which the investment process is predicated on movements in underlying economic variables and the impact these have on equity, fixed income, hard currency and commodity markets. Managers employ a variety of techniques, both discretionary and systematic analysis, combinations of top down and bottom up theses, quantitative and fundamental approaches and long and short-term holding periods. Both index returns and index methodology are provided by Hedge Fund Research Inc. Index returns are updated periodically and are subject to change. Returns were accurate as of the publication date of this presentation.
|
(b) |
S&P 500® Total Return Index is the Standard & Poor's composite index of 500 stocks, a widely recognized, unmanaged index of common stock prices.
|
Annual Report | September 30, 2017
|
5
|
Insignia Macro Fund
|
Portfolio Update
|
September 30, 2017 (Unaudited)
|
Corporate Bonds
|
44.66%
|
Asset-Backed Securities
|
18.26%
|
Mortgage-Backed Securities
|
7.16%
|
U.S. Treasury Notes & Bonds
|
4.11%
|
Government Bond
|
0.64%
|
Municipal Bond
|
0.13%
|
Other Assets in Excess of Liabilities
|
25.04%
|
Total
|
100.00%
|
* |
Holdings are subject to change, and may not reflect the current or future position of the portfolio. Tables present indicative values only.
|
6
|
www.insigniafunds.com
|
Insignia Macro Fund
|
Disclosure of Fund Expenses
|
September 30, 2017 (Unaudited)
|
Beginning
Account Value April 1, 2017 |
Ending
Account Value September 30, 2017 |
Expense
Ratio(a)(b) |
Expenses Paid,
and During Period April 1, 2017 - September 30, 2017(c) |
|
Class A
|
||||
Actual
|
$1,000.00
|
$960.80
|
2.00%
|
$9.83
|
Hypothetical (5% return before expenses)
|
$1,000.00
|
$1,015.04
|
2.00%
|
$10.10
|
Class I
|
||||
Actual
|
$1,000.00
|
$961.80
|
1.75%
|
$8.61
|
Hypothetical (5% return before expenses)
|
$1,000.00
|
$1,016.29
|
1.75%
|
$8.85
|
(a) |
The Fund's expense ratios have been annualized based on the Fund's most recent fiscal half-year expenses.
|
(b) |
Includes expenses of the Insignia Macro Cayman Fund (wholly-owned subsidiary).
|
(c) |
Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year (183), divided by 365.
|
Annual Report | September 30, 2017
|
7
|
Insignia Macro Fund
|
Consolidated Portfolio of Investments
|
September 30, 2017
|
Principal Amount
|
Value (Note 2)
|
|||||||
ASSET-BACKED SECURITIES (18.26%)
|
||||||||
Automobile (7.73%)
|
||||||||
CarMax Auto Owner Trust
|
||||||||
Series 2016-2, 1.520% 02/16/2021
|
$
|
400,000
|
$
|
399,224
|
||||
Series 2014-1, 1.930% 11/15/2019
|
220,000
|
220,303
|
||||||
Ford Credit Auto Owner Trust
|
||||||||
Series 2014-A, 1.900% 09/15/2019
|
445,000
|
445,916
|
||||||
Honda Auto Receivables Trust
|
||||||||
Series 2015-1, 1.050% 10/15/2018
|
185,434
|
185,326
|
||||||
Series 2016-4, 1.210% 12/18/2020
|
400,000
|
397,222
|
||||||
Series 2016-1, 1.220% 12/18/2019
|
109,785
|
109,548
|
||||||
Hyundai Auto Receivables Trust
|
||||||||
Series 2015-B A3, 1.120% 11/15/2019
|
234,931
|
234,514
|
||||||
Series 2017-B, 1.570% 08/17/2020
|
75,000
|
74,979
|
||||||
Series 2013-C, 2.100% 03/15/2019
|
233,978
|
234,077
|
||||||
Nissan Auto Receivables Owner Trust
|
||||||||
Series 2015-C, 0.870% 11/15/2018
|
11,376
|
11,374
|
||||||
Series 2015-A, 1.050% 10/15/2019
|
255,632
|
255,253
|
||||||
Series 2016-C, 1.180% 01/15/2021
|
325,000
|
322,707
|
||||||
Series 2016-A, 1.340% 10/15/2020
|
145,000
|
144,627
|
||||||
Toyota Auto Receivables Owner Trust
|
||||||||
Series 2016-C, 1.000% 01/15/2019
|
137,214
|
137,126
|
||||||
Series 2016-A, 1.030% 07/16/2018
|
31,402
|
31,397
|
||||||
Series 2016-D, 1.230% 10/15/2020
|
460,000
|
457,391
|
||||||
Total Automobile
|
3,660,984
|
|||||||
Credit Card (10.53%)
|
||||||||
American Express Credit Account Master Trust
|
||||||||
Series 2014-1, 1M US L + 0.37% 12/15/2021(a)
|
750,000
|
753,486
|
||||||
Bank of America Credit Card Trust
|
||||||||
Series 2015-A2, 1.360% 09/15/2020
|
150,000
|
149,938
|
||||||
Series 2014-A1, 1M US L + 0.38% 06/15/2021(a)
|
605,000
|
607,299
|
||||||
Capital One Multi-Asset Execution Trust
|
||||||||
Series 2016-A3, 1.340% 04/15/2022
|
330,000
|
327,660
|
||||||
Series 2016-A2, 1M US L + 0.63% 02/15/2024(a)
|
400,000
|
405,704
|
||||||
Chase Issuance Trust
|
||||||||
Series 2016-A2, 1.370% 06/15/2021
|
730,000
|
725,301
|
||||||
Citibank Credit Card Issuance Trust
|
||||||||
Series 2014-A8, 1.730% 04/09/2020
|
605,000
|
605,774
|
||||||
Series 2017-A2, 1.740% 01/19/2021
|
200,000
|
200,207
|
||||||
Discover Card Execution Note Trust
|
||||||||
Series 2014-A5, 1.390% 04/15/2020
|
500,000
|
500,002
|
||||||
Series 2013-A1, 1M US L + 0.30% 08/17/2020(a)
|
325,000
|
325,353
|
||||||
Synchrony Credit Card Master Note Trust
|
||||||||
Series 2015-2, 1.600% 04/15/2021
|
200,000
|
200,095
|
See Notes to Consolidated Financial Statements.
|
8
|
www.insigniafunds.com
|
Insignia Macro Fund
|
Consolidated Portfolio of Investments
|
September 30, 2017
|
Principal Amount
|
Value (Note 2)
|
|||||||
Credit Card (continued)
|
||||||||
World Financial Network Credit Card Master Trust
|
||||||||
Series 2014-C, 1.540% 08/16/2021
|
$
|
190,000
|
$
|
190,014
|
||||
Total Credit Card
|
4,990,833
|
|||||||
TOTAL ASSET-BACKED SECURITIES (Cost $8,650,954)
|
8,651,817
|
|||||||
CORPORATE BONDS (44.66%)
|
||||||||
Basic Materials (1.03%)
|
||||||||
The Sherwin-Williams Co., Sr. Unsec. Notes
|
||||||||
1.350% 12/15/2017
|
486,000
|
485,757
|
||||||
Communications (5.34%)
|
||||||||
Amazon.com, Inc., Sr. Unsec. Notes
|
||||||||
1.200% 11/29/2017
|
195,000
|
194,973
|
||||||
AT&T, Inc., Sr. Unsec. Notes
|
||||||||
3M US L + 0.89% 02/14/2023(a)
|
190,000
|
189,720
|
||||||
3M US L + 0.93% 06/30/2020(a)
|
455,000
|
461,346
|
||||||
Cisco Systems, Inc., Sr. Unsec. Notes
|
||||||||
2.125% 03/01/2019
|
270,000
|
272,115
|
||||||
Comcast Corp., Sr. Sec. Notes
|
||||||||
6.300% 11/15/2017
|
240,000
|
241,345
|
||||||
eBay, Inc., Sr. Unsec. Notes
|
||||||||
2.500% 03/09/2018
|
390,000
|
391,552
|
||||||
Time Warner Cable LLC, Sr. Sec. Notes
|
||||||||
6.750% 07/01/2018
|
365,000
|
378,015
|
||||||
Vodafone Group PLC, Sr. Unsec. Notes
|
||||||||
1.500% 02/19/2018
|
400,000
|
399,820
|
||||||
Total Communications
|
2,528,886
|
|||||||
Consumer, Cyclical (5.42%)
|
||||||||
CVS Health Corp., Sr. Unsec. Notes
|
||||||||
1.900% 07/20/2018
|
390,000
|
391,002
|
||||||
Ford Motor Credit Co. LLC, Sr. Unsec. Notes
|
||||||||
1.724% 12/06/2017
|
420,000
|
420,047
|
||||||
2.240% 06/15/2018
|
370,000
|
371,226
|
||||||
General Motors Co., Sr. Unsec. Notes
|
||||||||
3.500% 10/02/2018
|
190,000
|
193,126
|
||||||
McDonald's Corp., Sr. Unsec. Notes
|
||||||||
Series GMTN, 5.800% 10/15/2017
|
215,000
|
215,102
|
||||||
Toyota Motor Credit Corp., Sr. Unsec. Notes
|
||||||||
2.125% 07/18/2019
|
363,000
|
365,592
|
||||||
Wal-Mart Stores, Inc., Sr. Unsec. Notes
|
||||||||
1.125% 04/11/2018
|
211,000
|
210,726
|
See Notes to Consolidated Financial Statements.
|
Annual Report | September 30, 2017
|
9
|
Insignia Macro Fund
|
Consolidated Portfolio of Investments
|
September 30, 2017
|
Principal Amount
|
Value (Note 2)
|
|||||||
Consumer, Cyclical (continued)
|
||||||||
Whirlpool Corp., Sr. Unsec. Notes
|
||||||||
1.650% 11/01/2017
|
$
|
400,000
|
$
|
400,022
|
||||
Total Consumer, Cyclical
|
2,566,843
|
|||||||
Consumer, Non-cyclical (4.51%)
|
||||||||
Abbott Laboratories, Sr. Unsec. Notes
|
||||||||
2.350% 11/22/2019
|
362,000
|
365,090
|
||||||
AbbVie, Inc., Sr. Unsec. Notes
|
||||||||
1.800% 05/14/2018
|
395,000
|
395,605
|
||||||
Actavis Funding SCS, Sr. Unsec. Notes
|
||||||||
3M US L + 1.255% 03/12/2020(a)
|
395,000
|
402,496
|
||||||
Gilead Sciences, Inc., Sr. Unsec. Notes
|
||||||||
1.850% 09/20/2019
|
185,000
|
185,198
|
||||||
Kroger Co., Sr. Unsec. Notes
|
||||||||
2.000% 01/15/2019
|
250,000
|
250,495
|
||||||
Target Corp., Sr. Unsec. Notes
|
||||||||
6.000% 01/15/2018
|
250,000
|
253,161
|
||||||
Tyson Foods, Inc., Sr. Unsec. Notes
|
||||||||
3M US L + 0.55% 06/02/2020(a)
|
285,000
|
286,467
|
||||||
Total Consumer, Non-cyclical
|
2,138,512
|
|||||||
Energy (3.75%)
|
||||||||
BP Capital Markets PLC, Sr. Sec. Notes
|
||||||||
1.375% 05/10/2018
|
395,000
|
394,785
|
||||||
Chevron Corp., Sr. Unsec. Notes
|
||||||||
1.104% 12/05/2017
|
400,000
|
399,818
|
||||||
ConocoPhillips Co., Sr. Unsec. Notes
|
||||||||
1.050% 12/15/2017
|
445,000
|
444,684
|
||||||
Enbridge Energy Partners, Sr. Unsec. Notes
|
||||||||
Series B, 6.500% 04/15/2018
|
190,000
|
194,741
|
||||||
Energy Transfer LP, Sr. Unsec. Notes
|
||||||||
2.500% 06/15/2018
|
340,000
|
341,391
|
||||||
Total Energy
|
1,775,419
|
|||||||
Financial (16.63%)
|
||||||||
Air Lease Corp., Sr. Unsec. Notes
|
||||||||
2.125% 01/15/2018
|
195,000
|
195,226
|
||||||
American Express Co., Sr. Unsec. Notes
|
||||||||
7.000% 03/19/2018
|
350,000
|
358,668
|
||||||
Bank of America Corp., Sr. Unsec. Notes
|
||||||||
Series L, 2.650% 04/01/2019
|
385,000
|
388,571
|
||||||
5.650% 05/01/2018
|
195,000
|
199,479
|
||||||
Bank Of New York Mellon, Sr. Unsec. Notes
|
||||||||
Series G, 2.200% 05/15/2019
|
195,000
|
196,163
|
See Notes to Consolidated Financial Statements.
|
10
|
www.insigniafunds.com
|
Insignia Macro Fund
|
Consolidated Portfolio of Investments
|
September 30, 2017
|
Principal Amount
|
Value (Note 2)
|
|||||||
Financial (continued)
|
||||||||
The Bank of Nova Scotia, Sr. Unsec. Notes
|
||||||||
1.375% 12/18/2017
|
$
|
405,000
|
$
|
404,968
|
||||
Barclays Bank PLC, Sr. Unsec. Notes
|
||||||||
3M US L + 0.55% 08/07/2019(a)
|
180,000
|
180,360
|
||||||
BNP Paribas SA, Sr. Sec. Notes
|
||||||||
2.400% 12/12/2018
|
155,000
|
156,199
|
||||||
Branch Banking & Trust Co., Sr. Unsec. Notes
|
||||||||
3M US L + 0.45% 01/15/2020(a)
|
250,000
|
250,941
|
||||||
Citigroup, Inc., Sr. Unsec. Notes
|
||||||||
1.800% 02/05/2018
|
405,000
|
405,163
|
||||||
2.500% 09/26/2018
|
60,000
|
60,378
|
||||||
6.125% 11/21/2017
|
95,000
|
95,570
|
||||||
The Goldman Sachs Group, Inc., Sr. Unsec. Notes
|
||||||||
Series FRN, 3M US L + 1.77% 02/25/2021(a)
|
645,000
|
669,287
|
||||||
International Lease Finance Corp., Sr. Unsec. Notes
|
||||||||
3.875% 04/15/2018
|
300,000
|
303,363
|
||||||
Jefferies Group LLC, Sr. Unsec. Notes
|
||||||||
5.125% 04/13/2018
|
302,000
|
307,338
|
||||||
JPMorgan Chase & Co., Sr. Unsec. Notes
|
||||||||
3M US L + 1.48% 03/01/2021(a)
|
455,000
|
469,784
|
||||||
MetLife, Inc., Sr. Unsec. Notes
|
||||||||
1.756% 12/15/2017
|
445,000
|
445,306
|
||||||
Realty Income Corp., Sr. Unsec. Notes
|
||||||||
2.000% 01/31/2018
|
410,000
|
410,379
|
||||||
Royal Bank of Canada, Sr. Unsec. Notes
|
||||||||
1.500% 01/16/2018
|
125,000
|
124,999
|
||||||
Series GMTN, 1.800% 07/30/2018
|
310,000
|
310,755
|
||||||
Sumitomo Mitsui Financial Group, Inc., Sr. Unsec. Notes
|
||||||||
3M US L + 1.68% 03/09/2021(a)
|
285,000
|
294,781
|
||||||
UBS AG, Sr. Unsec. Notes
|
||||||||
5.875% 12/20/2017
|
135,000
|
136,261
|
||||||
US Bancorp, Sr. Unsec. Notes
|
||||||||
3M US L + 0.64% 01/24/2022(a)
|
525,000
|
527,504
|
||||||
Ventas Realty LP / Ventas Capital Corp., Sr. Unsec. Notes
|
||||||||
2.000% 02/15/2018
|
410,000
|
410,403
|
||||||
Visa, Inc., Sr. Unsec. Notes
|
||||||||
1.200% 12/14/2017
|
83,000
|
83,031
|
||||||
Wells Fargo & Co., Sr. Unsec. Notes
|
||||||||
2.125% 04/22/2019
|
270,000
|
271,521
|
||||||
5.625% 12/11/2017
|
225,000
|
226,746
|
||||||
Total Financial
|
7,883,144
|
|||||||
Industrial (3.66%)
|
||||||||
Eaton Corp., Sr. Unsec. Notes
|
||||||||
1.500% 11/02/2017
|
460,000
|
459,976
|
See Notes to Consolidated Financial Statements.
|
Annual Report | September 30, 2017
|
11
|
Insignia Macro Fund
|
Consolidated Portfolio of Investments
|
September 30, 2017
|
Principal Amount
|
Value (Note 2)
|
|||||||
Industrial (continued)
|
||||||||
General Electric Co., Sr. Unsec. Notes
|
||||||||
5.250% 12/06/2017
|
$
|
395,000
|
$
|
397,767
|
||||
United Parcel Service, Inc., Sr. Unsec. Notes
|
||||||||
5.500% 01/15/2018
|
250,000
|
252,740
|
||||||
United Technologies Corp., Sr. Unsec. Notes
|
||||||||
3M US L + 0.35% 11/01/2019(a)
|
410,000
|
412,152
|
||||||
Vulcan Materials Co., Sr. Unsec. Notes
|
||||||||
3M US L + 0.60% 06/15/2020(a)
|
210,000
|
210,211
|
||||||
Total Industrial
|
1,732,846
|
|||||||
Technology (3.57%)
|
||||||||
Apple, Inc., Sr. Unsec. Notes
|
||||||||
3M US L + 0.50% 02/09/2022(a)
|
400,000
|
405,743
|
||||||
Intel Corp., Sr. Unsec. Notes
|
||||||||
1.350% 12/15/2017
|
475,000
|
475,066
|
||||||
Microsoft Corp., Sr. Unsec. Notes
|
||||||||
0.875% 11/15/2017
|
395,000
|
394,783
|
||||||
Oracle Corp., Sr. Unsec. Notes
|
||||||||
1.200% 10/15/2017
|
415,000
|
414,952
|
||||||
Total Technology
|
1,690,544
|
|||||||
Utilities (0.75%)
|
||||||||
American Electric Power Co., Inc., Sr. Unsec. Notes
|
||||||||
Series E, 1.650% 12/15/2017
|
354,000
|
354,030
|
||||||
TOTAL CORPORATE BONDS (Cost $21,113,527)
|
21,155,981
|
|||||||
GOVERNMENT BONDS (0.64%)
|
||||||||
Export-Import Bank of Korea, Sr. Unsec. Notes
|
||||||||
1.750% 02/27/2018
|
305,000
|
304,746
|
||||||
TOTAL GOVERNMENT BONDS (Cost $305,054)
|
304,746
|
|||||||
MORTGAGE-BACKED SECURITIES (7.16%)
|
||||||||
Commercial (2.57%)
|
||||||||
CFCRE Commercial Mortgage Trust
|
||||||||
Series 2011-C2, 3.061% 12/15/2047
|
2,085
|
2,084
|
||||||
COMM Mortgage Trust
|
||||||||
Series 2013-CR6, 2.122% 03/10/2046
|
227,032
|
227,207
|
||||||
Series 2013-LC13, 3.009% 08/10/2046
|
200,000
|
202,153
|
See Notes to Consolidated Financial Statements.
|
12
|
www.insigniafunds.com
|
Insignia Macro Fund
|
Consolidated Portfolio of Investments
|
September 30, 2017
|
Principal Amount
|
Value (Note 2)
|
|||||||
Commercial (continued)
|
||||||||
WFRBS Commercial Mortgage Trust
|
||||||||
Series 2014-C22, 1.479% 09/15/2057
|
$
|
347,681
|
$
|
346,646
|
||||
Series 2013-C13, 1.964% 05/15/2045
|
405,000
|
405,445
|
||||||
Series 2013-C11, 2.029% 03/15/2045
|
36,142
|
36,127
|
||||||
Total Commercial
|
|
1,219,662
|
||||||
U.S. Government Agency (4.59%)
|
||||||||
Fannie Mae Connecticut Avenue Securities
|
||||||||
Series 2017-C05, 1M US L + 0.55% 01/25/2030(a)
|
355,402
|
355,312
|
||||||
Series 2014-C02, 1M US L + 0.95% 05/25/2024(a)
|
171,093
|
171,761
|
||||||
Series 2017-C03, 1M US L + 0.95% 10/25/2029(a)
|
460,237
|
462,559
|
||||||
Series 2014-C03, 1M US L + 1.20% 07/25/2024(a)
|
67,381
|
67,458
|
||||||
Series 2016-C06, 1M US L + 1.30% 04/25/2029(a)
|
596,566
|
603,655
|
||||||
Series 2016-C04, 1M US L + 1.45% 01/25/2029(a)
|
504,582
|
509,366
|
||||||
Total U.S. Government Agency
|
2,170,111
|
|||||||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $3,381,929)
|
3,389,773
|
|||||||
MUNICIPAL BONDS (0.13%)
|
||||||||
Revenue Bonds (0.13%)
|
||||||||
Louisiana Local Government Environmental Facilities & Community Development Authority, Prefunded 10/01/17 @ 100
|
||||||||
4.500% 10/01/2029(b)
|
60,000
|
60,000
|
||||||
TOTAL MUNICIPAL BONDS (Cost $61,564)
|
60,000
|
|||||||
U.S. TREASURY NOTES & BONDS (4.11%)
|
||||||||
U.S. Treasury Note
|
||||||||
1.250% 11/30/2018
|
1,585,000
|
1,582,461
|
||||||
1.375% 09/30/2018
|
365,000
|
365,029
|
||||||
TOTAL U.S. TREASURY NOTES & BONDS (Cost $1,950,100)
|
1,947,490
|
See Notes to Consolidated Financial Statements.
|
Annual Report | September 30, 2017
|
13
|
Insignia Macro Fund
|
Consolidated Portfolio of Investments
|
September 30, 2017
|
TOTAL INVESTMENTS (74.96%) (Cost $35,463,128)
|
$
|
35,509,807
|
||
Other Assets In Excess Of Liabilities (25.04%)
|
11,863,395
|
(c)
|
||
NET ASSETS (100.00%)
|
$
|
47,373,202
|
(a) |
Floating or variable rate security. The reference rate is described below. The rate in effect as of September 30, 2017 is based on the reference rate plus the displayed spread as of the security’s last reset date.
|
(b) |
Prefunded Issues are bonds which are prerefunded and collateralized by U.S. Treasury securities held in escrow and used to pay principal and interest on tax-exempt issues and to retire the bonds in full at the earliest refunding date.
|
(c) |
Includes cash which is being held as collateral for swap contracts.
|
See Notes to Consolidated Financial Statements.
|
14
|
www.insigniafunds.com
|
Insignia Macro Fund
|
Consolidated Portfolio of Investments
|
Exposure by Manager
|
||
Underlying Manager
|
Exposure*
|
Strategy Description
|
H2O Asset Management
|
17.65%
|
Discretionary Macro | Fundamental
|
QMS Capital Management
|
13.35%
|
Quantitative | Fundamental & Technical Models
|
FORT
|
13.20%
|
Quantitative | Trend Anticipation
|
The Cambridge Strategy
|
11.81%
|
Quantitative | Fundamental & Technical Models
|
Quantitative Investment Mgmt.
|
11.79%
|
Fundamental & Technical Models
|
Abraham Trading Company
|
9.78%
|
Quantitative | Technical Models
|
Millburn Ridgefield Corporation
|
8.69%
|
Quantitative | Technical Models
|
* |
Based on total Net Assets.
|
Number of Contracts
|
Notional
Amount |
Percentage of Notional |
Expiration Date
|
||||||||||
Agricultural Futures
|
|||||||||||||
Long
|
|||||||||||||
Corn Future
|
75.45
|
$
|
1,326,536
|
0.11
|
% |
12/14/17
|
|||||||
Soybeans Future
|
31.09
|
1,486,196
|
0.12
|
% |
11/14/17
|
||||||||
106.54
|
2,812,732
|
0.23
|
% | ||||||||||
Bond Futures
|
|||||||||||||
Long
|
|||||||||||||
10 year Australian Treasury
|
|||||||||||||
Bond Future
|
13.42
|
13,013,784
|
1.06
|
% |
12/15/17
|
||||||||
10 year Italian Bond Future
|
33.45
|
4,515,057
|
0.37
|
% |
12/7/17
|
||||||||
10 year US Treasury
|
|||||||||||||
Notes Future
|
69.08
|
8,661,991
|
0.70
|
% |
12/19/17
|
||||||||
30 year US Treasury
|
|||||||||||||
Bonds Future
|
19.35
|
2,954,741
|
0.24
|
% |
12/19/17
|
||||||||
Long Gilt Future
|
26.63
|
3,299,087
|
0.27
|
% |
12/27/17
|
||||||||
161.93
|
32,444,660
|
2.64
|
% |
Annual Report | September 30, 2017
|
15
|
Insignia Macro Fund
|
Consolidated Portfolio of Investments
|
|
Number of Contracts
|
Notional Amount
|
Percentage of Notional
|
Expiration Date
|
|||||||||
|
|||||||||||||
Short
|
|||||||||||||
10 year Canadian Govt Bond Future
|
32.27
|
$
|
4,379,659
|
0.36
|
%
|
12/18/17
|
|||||||
10 year Japanese Goverment Bond Future
|
1.11
|
166,814,225
|
13.56
|
%
|
12/13/17
|
||||||||
2 year Euro‐Schatz Future
|
14.28
|
1,600,831
|
0.13
|
%
|
12/7/17
|
||||||||
2 year US Treasury Notes Future
|
46.13
|
9,952,873
|
0.81
|
%
|
12/29/17
|
||||||||
3 year Australian Treasury Bond Future
|
29.34
|
8,832,519
|
0.72
|
%
|
12/15/17
|
||||||||
5 year US Treasury Notes Future
|
78.67
|
9,246,355
|
0.75
|
%
|
12/29/17
|
||||||||
Euro‐BUND Future
|
8.49
|
1,367,710
|
0.11
|
%
|
12/7/17
|
||||||||
|
210.29
|
202,194,171
|
16.43
|
%
|
|||||||||
|
|||||||||||||
Energy Futures
|
|||||||||||||
Long
|
|||||||||||||
Brent Crude Monthly Future
|
28.62
|
1,624,191
|
0.13
|
%
|
11/30/17
|
||||||||
Gasoil Monthly Future
|
24.42
|
1,324,562
|
0.11
|
%
|
11/10/17
|
||||||||
Light Sweet Crude Oil (WTI) Future
|
61.71
|
3,196,801
|
0.26
|
%
|
11/20/17
|
||||||||
|
114.75
|
6,145,554
|
0.50
|
%
|
|||||||||
|
|||||||||||||
Short
|
|||||||||||||
Light Sweet Crude Oil
|
|||||||||||||
(WTI) Future
|
78.44
|
4,037,946
|
0.33
|
%
|
10/20/17
|
||||||||
|
78.44
|
4,037,946
|
0.33
|
%
|
|||||||||
|
|||||||||||||
Equity Futures
|
|||||||||||||
Long
|
|||||||||||||
DAX Index Future
|
9.16
|
2,925,588
|
0.24
|
%
|
12/15/17
|
||||||||
DJ EURO STOXX Banks Future
|
195.83
|
1,347,322
|
0.11
|
%
|
12/15/17
|
||||||||
E‐mini Dow
|
20.38
|
2,274,077
|
0.18
|
%
|
12/15/17
|
||||||||
Nikkei 225 Future
|
12.16
|
247,489,342
|
20.11
|
%
|
12/7/17
|
||||||||
Nikkei 225 Index
|
8.91
|
90,702,072
|
7.37
|
%
|
12/7/17
|
||||||||
Nikkei 225 Mini (JPY) Future
|
22.21
|
45,202,963
|
3.67
|
%
|
12/7/17
|
||||||||
OSE JPX‐Nikkei Index 400 Future
|
6.85
|
10,133,020
|
0.82
|
%
|
12/7/17
|
||||||||
TOPIX Future
|
24.15
|
404,715,079
|
32.89
|
%
|
12/7/17
|
||||||||
|
299.65
|
804,789,463
|
65.40
|
%
|
16
|
www.insigniafunds.com
|
Insignia Macro Fund
|
Consolidated Portfolio of Investments
|
|
Number of Contracts
|
Notional Amount
|
Percentage of Notional
|
Expiration Date
|
|||||||||
|
|||||||||||||
Short
|
|||||||||||||
E‐Mini S&P 500
|
11.40
|
$
|
1,431,630
|
0.12
|
%
|
12/15/17
|
|||||||
Hang Seng Index
|
3.41
|
4,697,956
|
0.38
|
%
|
10/30/17
|
||||||||
Nikkei 225 (JPY) Future
|
1.20
|
12,256,693
|
1.00
|
%
|
12/7/17
|
||||||||
OMXS30
|
27.78
|
4,542,723
|
0.37
|
%
|
10/20/17
|
||||||||
|
43.79
|
22,929,002
|
1.86
|
%
|
|||||||||
|
|||||||||||||
FX Futures
|
|||||||||||||
Long
|
|||||||||||||
AUD/USD
|
21.74
|
1,703,066
|
0.14
|
%
|
12/18/17
|
||||||||
EUR/CHF
|
9.41
|
1,345,778
|
0.11
|
%
|
12/18/17
|
||||||||
EUR/JPY
|
4.71
|
78,323,363
|
6.36
|
%
|
12/18/17
|
||||||||
EUR/USD
|
16.59
|
2,460,027
|
0.20
|
%
|
12/18/17
|
||||||||
|
52.44
|
83,832,234
|
6.81
|
%
|
|||||||||
|
|||||||||||||
Short
|
|||||||||||||
JPY/USD
|
14.68
|
1,635,671
|
0.13
|
%
|
12/18/17
|
||||||||
|
14.68
|
1,635,671
|
0.13
|
%
|
|||||||||
|
|||||||||||||
Interest Rate Futures
|
|||||||||||||
Long
|
|||||||||||||
3 month Sterling
|
18.31
|
2,271,415
|
0.18
|
%
|
6/20/18
|
||||||||
3 month Sterling
|
17.26
|
2,136,705
|
0.17
|
%
|
3/20/19
|
||||||||
3 month Sterling
|
16.73
|
2,072,341
|
0.17
|
%
|
12/19/18
|
||||||||
3 month Sterling
|
11.45
|
1,415,772
|
0.12
|
%
|
9/18/19
|
||||||||
Eurodollar
|
16.90
|
4,154,081
|
0.34
|
%
|
6/18/18
|
||||||||
Eurodollar
|
6.69
|
1,646,164
|
0.13
|
%
|
3/19/18
|
||||||||
Eurodollar
|
6.07
|
1,490,367
|
0.12
|
%
|
12/17/18
|
||||||||
|
93.41
|
15,186,846
|
1.23
|
%
|
|||||||||
|
|||||||||||||
Short
|
|||||||||||||
3 month Euro (EURIBOR)
|
9.71
|
2,433,897
|
0.20
|
%
|
9/17/18
|
||||||||
3 month Euro (EURIBOR)
|
7.22
|
1,809,965
|
0.15
|
%
|
6/18/18
|
||||||||
3 month Euro (EURIBOR)
|
5.72
|
1,435,014
|
0.12
|
%
|
3/19/18
|
||||||||
90 Day Bank Accepted
|
|||||||||||||
Bill Future
|
5.36
|
1,284,982
|
0.10
|
%
|
3/8/18
|
||||||||
Eurodollar
|
27.61
|
6,778,985
|
0.55
|
%
|
9/17/18
|
||||||||
Three Month Canadian Bankers Acceptance Future
|
5.58
|
1,370,758
|
0.11
|
%
|
3/19/18
|
||||||||
Three Month Euroyen Future
|
0.39
|
9,774,324
|
0.79
|
%
|
12/18/17
|
||||||||
|
61.59
|
24,887,924
|
2.02
|
%
|
Annual Report | September 30, 2017
|
17
|
Insignia Macro Fund
|
Consolidated Portfolio of Investments
|
Number of Contracts
|
Notional Amount
|
Percentage of Notional
|
Expiration Date
|
||||||||||
Precious Metal Futures
|
|||||||||||||
Long
|
|||||||||||||
Gold
|
10.43
|
$
|
1,342,481
|
0.11
|
%
|
12/27/17
|
|||||||
10.43
|
1,342,481
|
0.11
|
%
|
||||||||||
Total
|
1,247.96
|
$
|
1,202,238,685
|
97.69
|
%
|
Unrealized Depreciation
|
||||||||||||||||
$
|
(3,227,468
|
)
|
Exposure by Manager
|
||
Underlying Manager
|
Exposure*
|
Strategy Description
|
Willowbridge Associates
|
13.94%
|
Discretionary Macro | Fundamental
|
* |
Based on total Net Assets.
|
Number of Contracts
|
Notional Amount
|
Percentage of Notional
|
Expiration Date
|
||||||||||
Base Metals
|
|||||||||||||
Long
|
|||||||||||||
Aluminum LME
|
5.00
|
$
|
262,134
|
0.34
|
%
|
Dec‐17
|
|||||||
Copper LME
|
4.00
|
678,229
|
0.88
|
%
|
Dec‐17
|
||||||||
Nickel LME
|
3.00
|
211,753
|
0.27
|
%
|
Dec‐17
|
||||||||
12.00
|
1,152,116
|
1.49
|
%
|
||||||||||
Short
|
|||||||||||||
Aluminum LME
|
5.00
|
259,249
|
0.34
|
%
|
Dec‐17
|
||||||||
Copper LME
|
4.00
|
654,230
|
0.85
|
%
|
Dec‐17
|
||||||||
Nickel LME
|
3.00
|
198,901
|
0.26
|
%
|
Dec‐17
|
||||||||
12.00
|
1,112,380
|
1.45
|
%
|
18
|
www.insigniafunds.com
|
Insignia Macro Fund
|
Consolidated Portfolio of Investments
|
Number of Contracts
|
Notional Amount
|
Percentage of Notional
|
Expiration Date
|
||||||||||||
Interest Rates Long Term
|
|||||||||||||||
Short
|
|||||||||||||||
Euro BTP Futures
|
10.00
|
$
|
1,348,330
|
1.75
|
%
|
Dec‐17
|
|||||||||
10.00
|
1,348,330
|
1.75
|
%
|
||||||||||||
Interest Rates Medium Term
|
|||||||||||||||
Short
|
|||||||||||||||
5 Year Treasury Note
|
54.00
|
6,329,830
|
8.19
|
%
|
Dec‐17
|
||||||||||
ERX BOBL
|
368.00
|
11,105,430
|
14.37
|
%
|
Nov 17 ‐
Dec 17
|
||||||||||
422.00
|
17,435,260
|
22.56
|
%
|
||||||||||||
Interest Rates Short Term
|
|||||||||||||||
Long
|
|||||||||||||||
Euro Dollars
|
104.00
|
25,525,500
|
33.04
|
%
|
Jun‐19
|
||||||||||
104.00
|
25,525,500
|
33.04
|
%
|
||||||||||||
Short
|
|||||||||||||||
Euro Dollars
|
104.00
|
25,483,250
|
32.98
|
%
|
Jun‐20
|
||||||||||
104.00
|
25,483,250
|
32.98
|
%
|
||||||||||||
Stock Indicies
|
|||||||||||||||
Long
|
|||||||||||||||
Emini S&P
|
21.00
|
48,825
|
0.06
|
%
|
Dec‐17
|
||||||||||
S&P Composite
|
7.00
|
68,664
|
0.09
|
%
|
Dec‐17
|
||||||||||
28.00
|
117,489
|
0.15
|
%
|
||||||||||||
Short
|
|||||||||||||||
Emini S&P
|
35.00
|
4,344,490
|
5.62
|
%
|
Dec‐17
|
||||||||||
35.00
|
4,344,490
|
5.62
|
%
|
||||||||||||
U.S. Major Cross
|
|||||||||||||||
Short
|
|||||||||||||||
EUR/USD CME
|
5.00
|
738,162
|
0.96
|
%
|
Dec‐17
|
||||||||||
5.00
|
738,162
|
0.96
|
%
|
||||||||||||
Total
|
732.00
|
77,256,977
|
100.00
|
%
|
|||||||||||
Unrealized Depreciation
|
||||||||||||||||
$ |
(943,726
|
) | ||||||||||||||
Total Net Unrealized Depreciation on Swap Contracts
|
||||||||||||||||
$ |
(4,171,194
|
) |
Annual Report | September 30, 2017
|
19
|
Insignia Macro Fund
|
Consolidated Statement of Assets and Liabilities
|
ASSETS:
|
||||
Investments, at value (cost $35,463,128)
|
$
|
35,509,807
|
||
Cash
|
6,119,537
|
|||
Deposit with broker for swap contracts (Note 3)
|
7,730,781
|
|||
Advance receipt on swap contract
|
4,050,000
|
|||
Receivable for swap contract payments
|
1,487,372
|
|||
Receivable for shares sold
|
411
|
|||
Interest and dividends receivable
|
158,362
|
|||
Prepaid swap premiums
|
844,563
|
|||
Prepaid expenses and other assets
|
4,871
|
|||
Total Assets
|
55,905,704
|
|||
LIABILITIES:
|
||||
Payable for advance payment on swap contract
|
4,050,000
|
|||
Unrealized depreciation on swap contracts
|
4,171,194
|
|||
Payable for swap contract payments
|
17,679
|
|||
Payable for investments purchased
|
180,409
|
|||
Payable to adviser
|
46,598
|
|||
Professional fees payable
|
24,740
|
|||
Payable for administration fees
|
24,337
|
|||
Payable for distribution and service fees
|
84
|
|||
Payable to Chief Compliance Officer
|
2,228
|
|||
Accrued expenses and other liabilities
|
15,233
|
|||
Total Liabilities
|
8,532,502
|
|||
NET ASSETS
|
$
|
47,373,202
|
||
NET ASSETS CONSIST OF:
|
||||
Paid‐in capital (Note 7)
|
$
|
51,679,744
|
||
Accumulated net investment income
|
174,053
|
|||
Accumulated net realized loss
|
(356,080
|
)
|
||
Net unrealized depreciation
|
(4,124,515
|
)
|
||
NET ASSETS
|
$
|
47,373,202
|
||
PRICING OF SHARES
|
||||
Class A:
|
||||
Net Asset Value, offering and redemption price per share
|
$
|
9.57
|
||
Net Assets
|
$
|
407,167
|
||
Shares of beneficial interest outstanding
|
42,527
|
|||
Maximum offering price per share (NAV/0.945, based on maximum sales charge of 5.50% of the offering price)
|
$
|
10.13
|
||
Class I:
|
||||
Net Asset Value, offering and redemption price per share
|
$
|
9.58
|
||
Net Assets
|
$
|
46,966,035
|
||
Shares of beneficial interest outstanding
|
4,904,782
|
20
|
www.insigniafunds.com
|
Insignia Macro Fund
|
Consolidated Statement of Operations
|
INVESTMENT INCOME:
|
||||
Interest
|
$
|
555,662
|
||
Foreign taxes withheld
|
(67
|
)
|
||
Total Investment Income
|
555,595
|
|||
|
||||
EXPENSES:
|
||||
Investment advisory fee (Note 8)
|
671,648
|
|||
Administration fee
|
193,374
|
|||
Distribution and service fees
|
||||
Class A
|
968
|
|||
Custodian fee
|
16,019
|
|||
Legal fees
|
14,919
|
|||
Audit and tax fees
|
26,550
|
|||
Transfer agent fee
|
46,273
|
|||
Trustees fees and expenses
|
7,030
|
|||
Registration fees
|
32,303
|
|||
Printing fees
|
3,243
|
|||
Chief Compliance Officer fee
|
22,089
|
|||
Insurance expense
|
2,871
|
|||
Other expenses
|
12,308
|
|||
Total Expenses
|
1,049,595
|
|||
Less fees waived/reimbursed by investment adviser
|
||||
Class A
|
(791
|
)
|
||
Class I
|
(108,036
|
)
|
||
Total fees waived/reimbursed by investment adviser (Note 8)
|
(108,827
|
)
|
||
Net Expenses
|
940,768
|
|||
NET INVESTMENT LOSS
|
(385,173
|
)
|
||
|
||||
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
|
||||
Net realized gain/(loss) on:
|
||||
Investments
|
(61,584
|
)
|
||
Swap contracts
|
712,312
|
|||
Net realized gain
|
650,728
|
|||
|
||||
Change in unrealized appreciation/(depreciation) on:
|
||||
Investments
|
23,269
|
|||
Swap contracts
|
(1,866,025
|
)
|
||
Net change
|
(1,842,756
|
)
|
||
|
||||
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS
|
(1,192,028
|
)
|
||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS
|
$
|
(1,577,201
|
)
|
Annual Report | September 30, 2017
|
21
|
Insignia Macro Fund
|
Consolidated Statements of Changes in Net Assets
|
For the Year Ended
September 30, 2017 |
For the Year Ended
September 30, 2016 |
|||||||
OPERATIONS:
|
||||||||
Net investment loss
|
$
|
(385,173
|
)
|
$
|
(612,637
|
)
|
||
Net realized gain
|
650,728
|
619,980
|
||||||
Long‐term capital gain distributions from other investment companies
|
–
|
8,835
|
||||||
Net change in unrealized depreciation
|
(1,842,756
|
)
|
(1,853,298
|
)
|
||||
Net decrease in net assets resulting from operations
|
(1,577,201
|
)
|
(1,837,120
|
)
|
||||
DISTRIBUTIONS TO SHAREHOLDERS:
|
0
|
0
|
||||||
From net investment income
|
||||||||
Class A
|
(340
|
)
|
(16,366
|
)
|
||||
Class I
|
(86,251
|
)
|
(3,584,295
|
)
|
||||
Total distributions
|
(86,591
|
)
|
(3,600,661
|
)
|
||||
BENEFICIAL SHARE TRANSACTIONS (Note 7):
|
||||||||
Class A
|
||||||||
Shares sold
|
165,735
|
270,991
|
||||||
Dividends reinvested
|
340
|
16,367
|
||||||
Shares redeemed
|
(62,945
|
)
|
(216,343
|
)
|
||||
Redemption fees
|
–
|
445
|
||||||
Net increase from beneficial share transactions
|
103,130
|
71,460
|
||||||
Class I
|
||||||||
Shares sold
|
5,031,639
|
8,163,166
|
||||||
Dividends reinvested
|
5,877
|
718,228
|
||||||
Shares redeemed
|
(14,600,869
|
)
|
(9,543,928
|
)
|
||||
Redemption fees
|
5
|
32
|
||||||
Net decrease from beneficial share transactions
|
(9,563,348
|
)
|
(662,502
|
)
|
||||
Net decrease in net assets
|
(11,124,010
|
)
|
(6,028,823
|
)
|
||||
NET ASSETS:
|
||||||||
Beginning of year
|
58,497,212
|
64,526,035
|
||||||
End of year(including accumulated net investment income of $174,053 and $86,582)
|
$
|
47,373,202
|
$
|
58,497,212
|
22
|
www.insigniafunds.com
|
Insignia Macro Fund - Class A
|
Consolidated Financial Highlights
|
For the Year
Ended September 30, 2017 |
For the Year
Ended September 30, 2016 |
For the Year
Ended September 30, 2015 |
For the Period Ended
September 30, 2014(a) |
|||||||||||||
NET ASSET VALUE, BEGINNING OF PERIOD
|
$
|
9.90
|
$
|
10.82
|
$
|
10.42
|
$
|
10.00
|
||||||||
INCOME/(LOSS) FROM OPERATIONS:
|
||||||||||||||||
Net investment loss(b)
|
(0.09
|
)
|
(0.13
|
)
|
(0.16
|
)
|
(0.08
|
)
|
||||||||
Net realized and unrealized gain/(loss) on investments and swap contracts
|
(0.23
|
)
|
(0.21
|
)
|
0.61
|
0.50
|
||||||||||
Total from investment operations
|
(0.32
|
)
|
(0.34
|
)
|
0.45
|
0.42
|
||||||||||
LESS DISTRIBUTIONS:
|
||||||||||||||||
From investment income
|
(0.01
|
)
|
(0.60
|
)
|
(0.04
|
)
|
–
|
|||||||||
From net realized gain on investments
|
–
|
–
|
(0.01
|
)
|
–
|
|||||||||||
Total distributions
|
(0.01
|
)
|
(0.60
|
)
|
(0.05
|
)
|
–
|
|||||||||
REDEMPTION FEES (Note 7)
|
–
|
0.02
|
–
|
–
|
||||||||||||
NET INCREASE/(DECREASE) IN NET ASSET VALUE
|
(0.33
|
)
|
(0.92
|
)
|
0.40
|
0.42
|
||||||||||
NET ASSET VALUE, END OF PERIOD
|
$
|
9.57
|
$
|
9.90
|
$
|
10.82
|
$
|
10.42
|
||||||||
TOTAL RETURN(c)
|
(3.25
|
%)
|
(3.12
|
%)(d)
|
4.34
|
%
|
4.20
|
%
|
Annual Report | September 30, 2017
|
23
|
Insignia Macro Fund - Class A
|
Consolidated Financial Highlights
|
For the Year Ended
September 30, 2017 |
For the Year Ended
September 30, 2016 |
For the Year Ended
September 30, 2015 |
For the Period Ended
September 30, 2014(a) |
|||||||||||||
SUPPLEMENTAL DATA:
|
||||||||||||||||
Net assets, end of period (in 000s)
|
$
|
407
|
$
|
319
|
$
|
274
|
$
|
85
|
||||||||
RATIOS TO AVERAGE NET ASSETS
|
||||||||||||||||
Operating expenses excluding reimbursement/waiver
|
2.20
|
%
|
2.20
|
%
|
2.40
|
%
|
80.48
|
%(e)
|
||||||||
Operating expenses including reimbursement/waiver
|
2.00
|
%
|
2.00
|
%
|
1.96
|
%(f)
|
1.75
|
%(e)
|
||||||||
Net investment loss including reimbursement/waiver
|
(0.95
|
%)
|
(1.26
|
%)
|
(1.44
|
%)
|
(1.03
|
%)(e)
|
||||||||
PORTFOLIO TURNOVER RATE(g)
|
129
|
%
|
132
|
%
|
119
|
%
|
43
|
%
|
(a) |
Commenced operations on January 2, 2014.
|
(b) |
Calculated using the average shares method.
|
(c) |
Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal year. Total returns are for the period indicated and have not been annualized. Total returns would have been lower had certain expenses not been waived during the period. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns shown exclude any applicable sales charge.
|
(d) |
In 2016, the Fund's total return includes a voluntary reimbursement by the adviser for a realized investment loss. Excluding this item, total return would not change as the impact is less than 0.05%.
|
(e) |
Annualized.
|
(f) |
Contractual expense limitation changed from 1.75% to 2.00% effective February 1, 2015.
|
(g) |
Portfolio turnover rate for periods less than one full year have not been annualized.
|
24
|
www.insigniafunds.com
|
Insignia Macro Fund - Class I
|
Consolidated Financial Highlights
|
For a share outstanding through the periods presented.
|
For the Year Ended
September 30, 2017 |
For the Year Ended
September 30, 2016 |
For the Year Ended
September 30, 2015 |
For the Period Ended
September 30, 2014(a) |
|||||||||||||
NET ASSET VALUE, BEGINNING OF PERIOD
|
$
|
9.90
|
$
|
10.82
|
$
|
10.42
|
$
|
10.00
|
||||||||
INCOME/(LOSS) FROM OPERATIONS:
|
||||||||||||||||
Net investment loss(b)
|
(0.07
|
)
|
(0.10
|
)
|
(0.13
|
)
|
(0.06
|
)
|
||||||||
Net realized and unrealized gain/(loss) on investments and swap contracts
|
(0.24
|
)
|
(0.21
|
)
|
0.59
|
0.48
|
||||||||||
Total from investment operations
|
(0.31
|
)
|
(0.31
|
)
|
0.46
|
0.42
|
||||||||||
LESS DISTRIBUTIONS:
|
||||||||||||||||
From investment income
|
(0.01
|
)
|
(0.61
|
)
|
(0.05
|
)
|
–
|
|||||||||
From net realized gain on investments
|
–
|
–
|
(0.01
|
)
|
–
|
|||||||||||
Total distributions
|
(0.01
|
)
|
(0.61
|
)
|
(0.06
|
)
|
–
|
|||||||||
REDEMPTION FEES (Note 7)
|
0.00
|
(c)
|
0.00
|
(c)
|
0.00
|
(c)
|
0.00
|
(c)
|
||||||||
NET INCREASE/(DECREASE) IN NET ASSET VALUE
|
(0.32
|
)
|
(0.92
|
)
|
0.40
|
0.42
|
||||||||||
NET ASSET VALUE, END OF PERIOD
|
$
|
9.58
|
$
|
9.90
|
$
|
10.82
|
$
|
10.42
|
||||||||
TOTAL RETURN(d)
|
(3.09
|
%)
|
(3.06
|
%)(e)
|
4.39
|
%
|
4.20
|
%
|
See Notes to Consolidated Financial Statements.
|
Annual Report | September 30, 2017
|
25
|
Insignia Macro Fund - Class I
|
Consolidated Financial Highlights
|
For a share outstanding through the periods presented.
|
For the Year Ended
September 30, 2017 |
For the Year Ended
September 30, 2016 |
For the Year Ended
September 30, 2015 |
For the Period Ended
September 30, 2014(a) |
|||||||||||||
SUPPLEMENTAL DATA:
|
||||||||||||||||
Net assets, end of period (in 000s)
|
$
|
46,966
|
$
|
58,178
|
$
|
64,252
|
$
|
24,017
|
||||||||
RATIOS TO AVERAGE NET ASSETS
|
||||||||||||||||
Operating expenses excluding reimbursement/waiver
|
1.95
|
%
|
1.94
|
%
|
2.17
|
%
|
3.62
|
%(f)
|
||||||||
Operating expenses including reimbursement/waiver
|
1.75
|
%
|
1.75
|
%
|
1.69
|
%(g)
|
1.50
|
%(f)
|
||||||||
Net investment loss including reimbursement/waiver
|
(0.72
|
%)
|
(1.01
|
%)
|
(1.18
|
%)
|
(0.85
|
%)(f)
|
||||||||
PORTFOLIO TURNOVER RATE(h)
|
129
|
%
|
132
|
%
|
119
|
%
|
43
|
%
|
(a)
|
Commenced operations on January 2, 2014.
|
(b)
|
Calculated using the average shares method.
|
(c)
|
Less than $0.005 per share.
|
(d)
|
Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal year. Total returns are for the period indicated and have not been annualized. Total returns would have been lower had certain expenses not been waived during the period. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
|
(e)
|
In 2016, the Fund's total return includes a voluntary reimbursement by the adviser for a realized investment loss. Excluding this item, total return would not change as the impact is less than 0.05%.
|
(f)
|
Annualized.
|
(g)
|
Contractual expense limitation changed from 1.50% to 1.75% effective February 1, 2015.
|
(h)
|
Portfolio turnover rate for periods less than one full year have not been annualized.
|
See Notes to Consolidated Financial Statements.
|
26
|
www.insigniafunds.com
|
Insignia Macro Fund
|
Notes to Consolidated Financial Statements
|
September 30, 2017
|
Annual Report | September 30, 2017
|
27
|
Insignia Macro Fund
|
Notes to Consolidated Financial Statements
|
September 30, 2017
|
Level 1 –
|
Unadjusted quoted prices in active markets for identical investments, unrestricted assets or liabilities that the Fund has the ability to access at the measurement date;
|
28
|
www.insigniafunds.com
|
Insignia Macro Fund
|
Notes to Consolidated Financial Statements
|
September 30, 2017
|
Level 2 –
|
Quoted prices which are not active, quoted prices for similar assets or liabilities in active markets or inputs other than quoted prices that are observable (either directly or indirectly); and
|
Level 3 –
|
Significant unobservable prices or inputs (including the Fund’s own assumptions in determining the fair value of investments) where there is little or no market activity for the asset or liability at the measurement date.
|
Investments in Securities at Value
|
Level 1 -
Unadjusted Quoted Prices |
Level 2 -
Other Significant Observable Inputs |
Level 3 -
Significant Unobservable Inputs |
Total
|
||||||||||||
Asset‐Backed Securities
|
$
|
–
|
$
|
8,651,817
|
$
|
–
|
$
|
8,651,817
|
||||||||
Corporate Bonds
|
||||||||||||||||
Basic Materials
|
–
|
485,757
|
–
|
485,757
|
||||||||||||
Communications
|
–
|
2,528,886
|
–
|
2,528,886
|
||||||||||||
Consumer, Cyclical
|
–
|
2,566,843
|
–
|
2,566,843
|
||||||||||||
Consumer, Non‐cyclical
|
–
|
2,138,512
|
–
|
2,138,512
|
||||||||||||
Energy
|
–
|
1,775,419
|
–
|
1,775,419
|
||||||||||||
Financial
|
–
|
7,883,144
|
–
|
7,883,144
|
||||||||||||
Industrial
|
–
|
1,732,846
|
–
|
1,732,846
|
||||||||||||
Technology
|
–
|
1,690,544
|
–
|
1,690,544
|
||||||||||||
Utilities
|
–
|
354,030
|
–
|
354,030
|
||||||||||||
Government Bonds
|
–
|
304,746
|
–
|
304,746
|
||||||||||||
Mortgage‐Backed Securities
|
–
|
3,389,773
|
–
|
3,389,773
|
||||||||||||
Municipal Bonds
|
–
|
60,000
|
–
|
60,000
|
||||||||||||
U.S. Treasury Notes & Bonds
|
–
|
1,947,490
|
–
|
1,947,490
|
||||||||||||
TOTAL
|
$
|
–
|
$
|
35,509,807
|
$
|
–
|
$
|
35,509,807
|
Valuation Inputs | ||||||||||||||||
Other Financial Instruments
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Liabilities:
|
||||||||||||||||
Total Return Swap Contracts
|
$
|
–
|
$
|
(4,171,194
|
)
|
$
|
–
|
$
|
(4,171,194
|
)
|
||||||
Total
|
$
|
–
|
$
|
(4,171,194
|
)
|
$
|
–
|
$
|
(4,171,194
|
)
|
Annual Report | September 30, 2017
|
29
|
Insignia Macro Fund
|
Notes to Consolidated Financial Statements
|
September 30, 2017
|
30
|
www.insigniafunds.com
|
Insignia Macro Fund
|
Notes to Consolidated Financial Statements
|
September 30, 2017
|
Annual Report | September 30, 2017
|
31
|
Insignia Macro Fund
|
Notes to Consolidated Financial Statements
|
September 30, 2017
|
32
|
www.insigniafunds.com
|
Insignia Macro Fund
|
Notes to Consolidated Financial Statements
|
September 30, 2017
|
Annual Report | September 30, 2017
|
33
|
Insignia Macro Fund
|
Notes to Consolidated Financial Statements
|
Derivatives Not Accounted for As Hedging Instruments
|
Consolidated Statement of Assets and Liabilities Location
|
Liability Derivatives Gross Unrealized Appreciation/
(Depreciation)
|
|||
Commodity Contracts (total return swap contracts)
|
Unrealized depreciation on swap contracts
|
$
|
(4,171,194
|
)
|
|
Total
|
$
|
(4,171,194
|
)
|
Derivatives Not Accounted for
As Hedging Instruments |
Consolidated Statement of Operations Location
|
Realized Gain on
Derivatives Recognized
|
Change in Unrealized
Depreciation on
Derivatives Recognized
|
||||||
Commodity Contracts (total return swap contracts)
|
Net realized gain/(loss) on Swap Contracts/ Change in unrealized appreciation/ (depreciation) on swap contracts
|
$
|
712,312
|
$
|
(1,866,025
|
)
|
|||
Total
|
$
|
712,312
|
$
|
(1,866,025
|
)
|
34 |
www.insigniafunds.com
|
Insignia Macro Fund
|
Notes to Consolidated Financial Statements
|
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | ||||||||||||||||||||||||
Gross Amounts of Recognized Liabilities
|
Gross Amounts Offset in the Consolidated Statement of Assets and Liabilities
|
Net Amounts Presented in the Consolidated Statement of Assets and Liabilities
|
Financial Instruments(a)
|
Cash Collateral Pledged(a)(b)
|
Net Amount Payable
|
|||||||||||||||||||
Liabilities
|
||||||||||||||||||||||||
Total Return Swap Contracts
|
$
|
4,171,194
|
$ |
–
|
$
|
4,171,194
|
$
|
–
|
$
|
(4,171,194
|
)
|
$ |
–
|
|||||||||||
Total
|
$
|
4,171,194
|
$ |
–
|
$
|
4,171,194
|
$
|
–
|
$
|
(4,171,194
|
)
|
$ |
–
|
(a)
|
These amounts are limited to the derivative liability balance and, accordingly, do not include excess collateral pledged.
|
(b)
|
Includes cash collateral pledged and prepaid on swap premiums.
|
Annual Report | September 30, 2017
|
35 |
Insignia Macro Fund
|
Notes to Consolidated Financial Statements
|
Distributions Paid From:
|
2017
|
2016
|
||||||
Ordinary Income
|
$
|
86,591
|
$
|
3,600,661
|
||||
Total
|
$
|
86,591
|
$
|
3,600,661
|
Paid-in Capital
|
Accumulated Net
Investment Income
|
Accumulated Net
Realized Loss on
Investments
|
|||||||||
$
|
225,713
|
$
|
559,235
|
$
|
(784,948
|
)
|
Gross unrealized appreciation (excess of value over tax cost)(a)
|
$
|
40,933,942
|
||
Gross unrealized depreciation (excess of tax cost over value)(a)
|
(45,058,457
|
)
|
||
Net unrealized depreciation
|
$
|
(4,124,515
|
)
|
|
Cost of investments for income tax purposes
|
$
|
35,463,128
|
(a)
|
Includes appreciation/(depreciation) on Total Return Swap Contracts.
|
Undistributed ordinary income
|
$
|
174,053
|
||
Accumulated capital losses
|
$
|
(356,080
|
)
|
|
Net unrealized depreciation
|
(4,124,515
|
)
|
||
Total
|
$
|
(4,306,542
|
)
|
Non-Expiring
Short-Term |
Non-Expiring
Long-Term |
||||||
$
|
170,429
|
$
|
119,389
|
36 |
www.insigniafunds.com
|
Insignia Macro Fund
|
Notes to Consolidated Financial Statements
|
Purchases of Securities |
Proceeds From
Sales of Securities |
||||||
$ |
41,820,400
|
$
|
48,030,266
|
Purchases of Securities |
Proceeds From
Sales of Securities |
||||||
$ |
9,715,175
|
$
|
11,266,651
|
Annual Report | September 30, 2017
|
37 |
Insignia Macro Fund
|
Notes to Consolidated Financial Statements
|
For the Year
Ended September 30, 2017 |
For the Year
Ended September 30, 2016 |
|||||||
Class A:
|
||||||||
Shares sold
|
16,593
|
26,940
|
||||||
Shares issued in reinvestment of distributions to shareholders
|
34
|
1,600
|
||||||
Shares redeemed
|
(6,346
|
)
|
(21,651
|
)
|
||||
Net increase from share transactions
|
10,281
|
6,889
|
||||||
Class I:
|
||||||||
Shares sold
|
507,349
|
791,563
|
||||||
Shares issued in reinvestment of distributions to shareholders
|
589
|
70,208
|
||||||
Shares redeemed
|
(1,482,425
|
)
|
(922,383
|
)
|
||||
Net decrease from share transactions
|
(974,487
|
)
|
(60,612
|
)
|
38 |
www.insigniafunds.com
|
Insignia Macro Fund
|
Notes to Consolidated Financial Statements
|
Expiring in 2018
|
Expiring in 2019
|
Expiring in 2020
|
||||||||||
Class A
|
$
|
849
|
$
|
574
|
$
|
791
|
||||||
Class I
|
272,155
|
248,402
|
108,036
|
Annual Report | September 30, 2017
|
39 |
Insignia Macro Fund
|
Notes to Consolidated Financial Statements
|
40 |
www.insigniafunds.com
|
Insignia Macro Fund
|
Notes to Consolidated Financial Statements
|
Annual Report | September 30, 2017
|
41 |
Insignia Macro Fund
|
Report of Independent Registered
Public Accounting Firm
|
42 |
www.insigniafunds.com
|
Insignia Macro Fund
|
Additional Information
|
Annual Report | September 30, 2017
|
43 |
Insignia Macro Fund
|
Trustees and Officers
|
Name,
Birth Year & Address* |
Position(s)Held with Fund
|
Term of
Office and Length of Time Served** |
Principal Occupation(s)
During Past 5 Years*** |
Number of
Funds in Fund Complex Overseen by Trustee**** |
Other
Directorships Held by Trustee During Past 5 Years*** |
Ward D. Armstrong
Birth year: 1954
|
Trustee and Chairman
|
Mr. Armstrong was appointed to the Board on May 27, 2016. Mr. Armstrong was appointed Chairman of the Board at the August 24, 2017 meeting of the Board of Trustees.
|
Retired; Managing Partner, NorthRock Partners, LLC (October 2013 to July 2015); Managing Director, NorthRock Partners, a Private Wealth Advisory Practice of Ameriprise Financial (February 2010 to October 2013); Senior Vice President, Ameriprise Financial, Inc. (November 1984 to May 2007); President, American Express Asset Management (2002 to 2004); and Chairman, Ameriprise Trust Company (November 1996 to May 2007).
|
9
|
Mr. Armstrong is a Director of the Heartland Group, Inc. (5 Funds).
|
*
|
All communications to Trustees and Officers may be directed to ALPS Series Trust c/o 1290 Broadway, Suite 1100, Denver, CO 80203.
|
**
|
This is the period for which the Trustee or Officer began serving the Trust. Each Trustee serves an indefinite term, until such Trustee’s successor is elected and appointed, or such Trustee resigns or is deceased. Officers are elected on an annual basis.
|
***
|
Except as otherwise indicated, each individual has held the office shown or other offices in the same company for the last five years.
|
****
|
The Fund Complex currently consists of 9 series of the Trust and any other investment companies for which Meritage Capital, LLC or Sage Advisory Services, Ltd. Co provide investment advisory services, currently none.
|
44
|
www.insigniafunds.com
|
Insignia Macro Fund
|
Trustees and Officers
|
Name,
Birth Year & Address* |
Position(s)Held with Fund
|
Term of
Office and Length of Time Served** |
Principal Occupation(s)
During Past 5 Years*** |
Number of
Funds in Fund Complex Overseen by Trustee**** |
Other
Directorships Held by Trustee During Past 5 Years*** |
J. Wayne Hutchens
Birth year: 1944
|
Trustee
|
Mr. Hutchens was elected to the Board on October 30, 2012.
|
Mr. Hutchens is currently retired. From April 2006 to December 2012, he served as President and CEO of the University of Colorado (CU) Foundation and from April 2009 to December 2012, he was Executive Director of the CU Real Estate Foundation. Mr. Hutchens is also Trustee of the Denver Museum of Nature and Science (2000 to present), Director of AMG National Trust Bank (June 2012 to present) and Trustee of Children’s Hospital Colorado (May 2012 to present). Prior to these positions, Mr. Hutchens spent 29 years in the banking industry, retiring as Chairman of Chase Bank Colorado.
|
9
|
RiverNorth Opportunity Fund (2013 to present).
|
Patrick Seese
Birth year: 1971
|
Trustee
|
Mr. Seese was elected to the Board on October 30, 2012.
|
Mr. Seese is an owner and a Managing Director of Integris Partners, a middle- market investment banking firm serving closely-held companies, financial sponsors and public companies (February 2008 to present). Prior to this, Mr. Seese was a Managing Director of Headwaters MB, a middle-market investing banking firm (December 2003 to February 2008). Prior to that, Mr. Seese worked in Credit Suisse First Boston’s Mergers and Acquisitions Group and served as Head of Corporation Development, Katy Industries, a publicly traded industrial and consumer products company and at Deloitte & Touche LLP, where he began his career in 1994.
|
9
|
None.
|
*
|
All communications to Trustees and Officers may be directed to ALPS Series Trust c/o 1290 Broadway, Suite 1100, Denver, CO 80203.
|
**
|
This is the period for which the Trustee or Officer began serving the Trust. Each Trustee serves an indefinite term, until such Trustee’s successor is elected and appointed, or such Trustee resigns or is deceased. Officers are elected on an annual basis.
|
***
|
Except as otherwise indicated, each individual has held the office shown or other offices in the same company for the last five years.
|
****
|
The Fund Complex currently consists of 9 series of the Trust and any other investment companies for which Meritage Capital, LLC or Sage Advisory Services, Ltd. Co provide investment advisory services, currently none.
|
Annual Report | September 30, 2017
|
45
|
Insignia Macro Fund
|
Trustees and Officers
|
Name,
Birth Year & Address* |
Position(s) Held with Fund
|
Term of
Office and Length of Time Served** |
Principal Occupation(s)
During Past 5 Years*** |
Number of
Funds in Fund Complex Overseen by Trustee**** |
Other
Directorships Held by Trustee During Past 5 Years*** |
Jeremy O. May
Birth year: 1970
|
Trustee and President
|
Mr. May was elected Trustee and President on October 30, 2012. Mr. May was Chairman from October 30, 2012 to August 24, 2017.
|
Mr. May joined ALPS in 1995 and is currently President and Director of ALPS Fund Services, Inc. and ALPS Distributors, Inc., Executive Vice President and Director of ALPS Holdings, Inc. and ALPS Advisors, Inc. and Director of ALPS Portfolio Solutions Distributor, Inc. Because of his positions with these entities, Mr. May is deemed an affiliate of the Trust as defined under the 1940 Act. Mr. May is also Trustee of the Reaves Utility Income Fund and the ALPS Elevation Trust. Mr. May is also on the Board of Directors of the University of Colorado Foundation and the AV Hunter Trust.
|
9
|
Mr. May is Chairman and Trustee of the Reaves Utility Income Fund (1 fund) and ALPS Elevation Trust (2 ETFs).
|
*
|
All communications to Trustees and Officers may be directed to ALPS Series Trust c/o 1290 Broadway, Suite 1100, Denver, CO 80203.
|
**
|
This is the period for which the Trustee or Officer began serving the Trust. Each Trustee serves an indefinite term, until such Trustee’s successor is elected and appointed, or such Trustee resigns or is deceased. Officers are elected on an annual basis.
|
***
|
Except as otherwise indicated, each individual has held the office shown or other offices in the same company for the last five years.
|
****
|
The Fund Complex currently consists of 9 series of the Trust and any other investment companies for which Meritage Capital, LLC or Sage Advisory Services, Ltd. Co provide investment advisory services, currently none.
|
46
|
www.insigniafunds.com
|
Insignia Macro Fund
|
Trustees and Officers
|
Name,
Birth Year & Address* |
Position(s)
Held with Fund |
Term of
Office and Length of Time Served** |
Principal Occupation(s) During Past 5 Years***
|
Kimberly R. Storms
Birth year: 1972
|
Treasurer
|
Ms. Storms was elected Treasurer of the Trust on October 30, 2012.
|
Ms. Storms is Senior Vice President and Director of Fund Administration of ALPS. Because of her position with ALPS, Ms. Storms is deemed an affiliate of the Trust as defined under the 1940 Act. Ms. Storms is also Treasurer of Financial Investors Trust, Liberty All-Star Equity Fund and Liberty All- Star Growth Fund, Inc.
|
Richard C. Noyes
Birth year: 1970
|
Secretary
|
Mr. Noyes was elected Secretary of the Trust on November 14, 2016
|
Mr. Noyes joined ALPS in 2015 and is Senior Vice President and Director of Legal Administration of ALPS. Prior to joining ALPS, Mr. Noyes served as Assistant Vice President and Senior Counsel of Janus Capital Management LLC. Mr. Noyes is deemed an affiliate of the Trust as defined under the 1940 Act. Mr. Noyes is also Secretary of Westcore Trust.
|
Jennifer A. Craig
Birth year: 1973
|
Assistant Secretary
|
Ms. Craig was elected Assistant Secretary of the Trust on May 27, 2016.
|
Ms. Craig joined ALPS in 2007 and is currently Assistant Vice President and Paralegal Manager. Prior to joining ALPS, Ms. Craig was Legal Manager at Janus Capital Management LLC and served as Assistant Secretary of Janus Investment Fund, Janus Adviser Series and Janus Aspen Series. Because of her position with ALPS, Ms. Craig is deemed an affiliate of the Trust as defined under the 1940 Act. Ms. Craig is also Assistant Secretary of Clough Funds Trust, Clough Global Opportunities Fund, Clough Global Allocation Fund, Clough Global Equity Fund and Financial Investors Trust.
|
Alan Gattis
Birth year: 1980
|
Assistant Treasurer
|
Mr. Gattis was elected Assistant Treasurer of the Trust on August 9, 2016.
|
Mr. Gattis joined ALPS in 2011 and is currently Vice President and Fund Controller of ALPS. Prior to joining ALPS, Mr. Gattis was an Auditor at Spicer Jeffries LLP (2009 through 2011) and an Auditor at PricewaterhouseCoopers LLP (2004 - 2009). Because of his position with ALPS, Mr. Gattis is deemed an affiliate of the Trust as defined under the 1940 Act. Mr. Gattis is also Assistant Treasurer of Clough Funds Trust, Clough Global Opportunities Fund, Clough Global Allocation Fund, Clough Global Equity Fund, Griffin Institutional Access Real Estate Fund, Stadion Funds and Centaur Mutual Funds Trust.
|
*
|
All communications to Trustees and Officers may be directed to ALPS Series Trust c/o 1290 Broadway, Suite 1100, Denver, CO 80203.
|
**
|
This is the period for which the Trustee or Officer began serving the Trust. Each Trustee serves an indefinite term, until such Trustee’s successor is elected and appointed, or such Trustee resigns or is deceased. Officers are elected on an annual basis.
|
***
|
Except as otherwise indicated, each individual has held the office shown or other offices in the same company for the last five years.
|
Annual Report | September 30, 2017
|
47
|
Insignia Macro Fund
|
Trustees and Officers
|
Name,
Birth Year & Address* |
Position(s)
Held with Fund |
Term of
Office and Length of Time Served** |
Principal Occupation(s) During Past 5 Years***
|
Cory J. Gossard
Birth year: 1972
|
Chief Compliance Officer (“CCO”)
|
Mr. Gossard was elected CCO of the Trust on October 20, 2017.
|
Mr. Gossard oversees all day-to-day compliance aspects of ALPS’ business within Fund CCO Services, Compliance Administration, Risk Management and Assurance Services. Mr. Gossard is deemed an affiliate of the Trust as defined under the 1940 Act. Mr. Gossard also serves as Fund CCO for the SPDR S&P 500 ETF Trust, SPDR DJIA ETF Trust, and SPDR S&P MidCap 400 ETF Trust. Prior to joining ALPS in 2014, Mr. Gossard held a series of progressively responsible roles throughout an 18-year career with Citibank.
|
*
|
All communications to Trustees and Officers may be directed to ALPS Series Trust c/o 1290 Broadway, Suite 1100, Denver, CO 80203.
|
**
|
This is the period for which the Trustee or Officer began serving the Trust. Each Trustee serves an indefinite term, until such Trustee’s successor is elected and appointed, or such Trustee resigns or is deceased. Officers are elected on an annual basis.
|
***
|
Except as otherwise indicated, each individual has held the office shown or other offices in the same company for the last five years.
|
48
|
www.insigniafunds.com
|
(a) |
The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or any persons performing similar functions on behalf of the registrant.
|
(b)
|
Not applicable.
|
(c)
|
During the period covered by this report, no amendments to the provisions of the code of ethics adopted in Item 2(a) above were made.
|
(d)
|
During the period covered by this report, no implicit or explicit waivers to the provisions of the code of ethics adopted in Item 2(a) above were granted.
|
(e)
|
Not applicable.
|
(f)
|
The registrant’s Code of Ethics is attached as an Exhibit to this report.
|
(a)
|
Audit Fees: For the registrant’s fiscal years ended September 30, 2017 and September 30, 2016, the aggregate fees billed for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements were $97,000 and $107,300, respectively. For the registrant’s fiscal year ended September 30, 2017, Cohen & Company, Ltd. served as principal accountant and for the registrant’s fiscal year ended September 30, 2016, KPMG LLP served as principal accountant. In 2017, the amount of $97,000 was paid to Cohen & Company, Ltd. and in 2016, the amount of $107,300 was paid to KPMG LLP.
|
(b)
|
Audit-Related Fees: For the registrant’s fiscal years ended September 30, 2017 and September 30, 2016, the aggregate fees billed for assurance and related services by the principal accountant that were reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 and $0, respectively.
|
(c)
|
Tax Fees: For the registrant’s fiscal years ended September 30, 2017 and September 30, 2016, the aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice and tax planning were $23,000 and $40,430, respectively. The fiscal year 2017 and 2016 tax fees were for services for dividend calculation, excise tax preparation and tax return preparation. The registrant’s fiscal year ended September 30, 2017, Cohen & Company, Ltd. served as principal accountant and for registrant’s fiscal year ended September 30, 2016, KPMG LLP served as principal accountant. In 2017, the amount of $23,000 was paid to Cohen & Company, Ltd. and in 2016, $40,430 was paid to KPMG LLP.
|
(d)
|
All Other Fees: For the registrant’s fiscal year ended September 30, 2017, $6,500 of other fees were billed to registrant by the principal accountant, KPMG LLP. For the registrant’s fiscal year ended September 30, 2016, no fees were billed to registrant by the principal accountant for services other than the services reported in paragraphs (a) through (c) of this Item.
|
(e)(1) |
Audit Committee Pre-Approval Policies and Procedures: All services to be performed by the registrant’s principal accountant must be pre-approved by the registrant’s audit committee.
|
(e)(2) |
No services described in paragraphs (b) through (d) of this Item were approved by the registrant’s audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
|
(f)
|
Not applicable.
|
(g)
|
The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant, were $23,000 in fiscal year ended September 30, 2017 and $40,430 in fiscal year ended September 30, 2016. These fees consisted of tax fees billed to the registrant as described in response to paragraph (c) of this Item. The registrant’s fiscal year ended September 30, 2017, Cohen & Company, Ltd. served as principal accountant and for registrant’s fiscal year ended September 30, 2016, KPMG LLP served as principal accountant.
|
(h)
|
The registrant’s audit committee has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, is compatible with maintaining the principal accountant’s independence and has determined that the provision of such non-audit services is compatible with maintaining the principal accountant’s independence.
|
(a) |
Schedule of Investments is included as part of the Reports to Stockholders filed under Item 1 of this Form N-CSR.
|
(b) |
Not applicable.
|
(a)
|
The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) within 90 days of this report and have concluded that the registrant’s disclosure controls and procedures were effective as of that date.
|
(b)
|
There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
|
(a)(1)
|
The registrant’s Code of Ethics for Principal Executive and Senior Financial Officers, which is the subject of the disclosure required by Item 2 of Form N-CSR is filed herewith as Exhibit 12(a)(1).
|
(a)(2)
|
The certifications required by Rule 30a-2(a) of the Investment Company Act of 1940, as amended, and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto as Exhibit 99.Cert.
|
(a)(3)
|
None.
|
(b) |
The certifications by the registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(b) of the Investment Company Act of 1940, as amended, and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as Exhibit 99.906Cert.
|
By:
|
/s/ Jeremy O. May
|
|
Jeremy O. May
|
||
President (Principal Executive Officer)
|
||
Date:
|
December 8, 2017
|
By:
|
/s/ Jeremy O. May
|
|
Jeremy O. May
|
||
President (Principal Executive Officer)
|
||
Date:
|
December 8, 2017
|
|
By:
|
/s/ Kimberly R. Storms
|
|
Kimberly R. Storms
|
||
Treasurer (Principal Financial Officer)
|
||
Date:
|
December 8, 2017
|
•
|
honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;
|
•
|
full, fair, accurate, timely, and understandable disclosure in reports and documents that the Trust files with, or submits to, the SEC and in any other public communications by the Trust;
|
•
|
compliance with applicable governmental laws, rules and regulations;
|
•
|
the prompt internal reporting of violations of the Code to the appropriate persons as set forth in the Code; and
|
•
|
accountability for adherence to the Code.
|
•
|
with honesty, diligence, and a commitment to professional and ethical responsibility;
|
•
|
carefully, thoroughly and in a timely manner; and
|
•
|
in conformity with applicable professional and technical standards.
|
•
|
use his or her personal influence or personal relationships improperly to influence investment decisions or financial reporting by the Trust whereby the Covered Officer would benefit personally to the detriment of the Trust;
|
•
|
cause the Trust to take action, or fail to take actions, for the individual personal benefit of the Covered Officer rather than the benefit of the Trust; or
|
•
|
use material non-public knowledge of portfolio transactions made or contemplated for the Trust to trade personally or cause others to trade personally in contemplation of the market effect of such transactions.
|
•
|
making, or permitting or directing another to make, materially false or misleading entries in the Trust’s financial statements or records;
|
•
|
failing to correct the Trust’s financial statements or records that are materially false or misleading when he or she has the authority to record an entry; and
|
•
|
signing, or permitting or directing another to sign, a document containing materially false or misleading financial information.
|
•
|
The Covered Officer should consider whether (i) the entry or the failure to record a transaction in the records, or (ii) the financial statement presentation or the nature or omission of disclosure in the financial statements, as proposed by the supervisor, represents the use of an acceptable alternative and does not materially misrepresent the facts or result in an omission of a material fact. If, after appropriate research or consultation, the Covered Officer concludes that the matter has authoritative support and/or does not result in a material misrepresentation, the Covered Officer need do nothing further.
|
•
|
If the Covered Officer concludes that the financial statements or records could be materially misstated as a result of the supervisor’s determination, the Covered Officer should follow the reporting procedures set forth in Section VI (Reporting and Accountability).
|
A.
|
Any Covered Officer who knows of any violation of this Code or who questions whether a situation, activity or practice is acceptable must immediately report such practice to the Trust’s Chief Legal Officer. The Chief Legal Officer shall take appropriate action to investigate any reported potential violations. If, after such investigation, the Chief Legal Officer believes that no violation has occurred, the Chief Legal Officer is not required to take any further action. Any matter that the Chief Legal Officer believes is a violation will be reported to the Chairman of the Board of Trustees. The Chief Legal Officer shall respond to the Covered Officer within a reasonable period of time.
|
B.
|
If the Covered Officer is not satisfied with the response of the Chief Legal Officer, the Covered Officer shall report the matter to the Chairman of the Board of Trustees. If the Chairman is unavailable, the Covered Officer may report the matter to any other member of the Board of Trustees. The person receiving the report shall consider the matter, refer it to the full Board of Trustees if he or she deems appropriate, and respond to the Covered Officer within a reasonable amount of time. If the Board of Trustees concurs that a violation has occurred, it will consider appropriate action, which may include review of and appropriate modifications to applicable policies and procedures or notification to appropriate personnel of the investment adviser or its board.
|
C.
|
If the Board of Trustees determines that a Covered Officer violated this Code, failed to report a known or suspected violation of this Code, or provided intentionally false or malicious information in connection with an alleged violation of this Code, the Board of Trustees may take disciplinary action against any such Covered Officer to the extent the Board of Trustees deems appropriate. No Covered Officer will be disciplined for reporting a concern in good faith.
|
•
|
Filing a copy of this Code as an exhibit to the Trust’s annual report on Form N- CSR;
|
•
|
Posting the text of this Code on the Trust’s Internet website and disclosing, in its most recent report on Form N-CSR, its Internet address and the fact that it has posted this Code on its Internet website; or
|
•
|
Providing an undertaking in the Trust’s most recent report on Form N-CSR to provide a copy of this Code to any person without charge upon request, and explaining the manner in which such a request may be made.
|
Name:
|
|||||
Date:
|
Signature:
|
1.
|
I have reviewed this report on Form N-CSR the registrant;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements and other financial information included in this report fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
|
(a) |
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b) |
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c) |
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation;
|
(d) |
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
(a) |
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
|
(b) |
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
By:
|
/s/ Jeremy O. May
|
|
Jeremy O. May
|
||
President (Principal Executive Officer)
|
||
Date: December 8, 2017
|
1.
|
I have reviewed this report on Form N-CSR of the registrant;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements and other financial information included in this report fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
|
(a) |
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b) |
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c) |
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation;
|
(d) |
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of trustees (or persons performing the equivalent functions):
|
(a) |
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
|
(b) |
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
By:
|
/s/ Kimberly R. Storms
|
|
Kimberly R. Storms
|
||
Treasurer (Principal Financial Officer)
|
||
Date: December 8, 2017
|
(i) |
the Report fully complies with the requirements of Section 13(a) or Section 15(d), as applicable, of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and
|
(ii) |
the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
By:
|
/s/ Jeremy O. May
|
|
Jeremy O. May
|
||
President (Principal Executive Officer)
|
||
Date:
|
December 8, 2017
|
(i) |
the Report fully complies with the requirements of Section 13(a) or Section 15(d), as applicable of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and
|
(ii) |
the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
By:
|
/s/ Kimberly R. Storms
|
|
Kimberly R. Storms
|
||
Treasurer (Principal Financial Officer)
|
||
Date:
|
December 8, 2017
|
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