UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22894
INVESTMENT MANAGERS SERIES TRUST II
(Exact name of registrant as specified in charter)
235 W. Galena Street
Milwaukee, WI 53212
(Address of principal executive offices) (Zip code)
Diane J. Drake
Mutual Fund Administration, LLC
2220 E. Route 66, Suite 226
Glendora, CA 91740
(Name and address of agent for service)
(626) 385-5777
Registrant's telephone number, including area code
Date of fiscal year end: September 30
Date of reporting period: March 31, 2022
Item 1. Report to Stockholders.
The registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:
AXS Alternative Growth Fund
(Class A: EEHAX)
(Class I: EEHIX)
AXS Chesapeake Strategy Fund
(Class A: ECHAX)
(Class C: ECHCX)
(Class I: EQCHX)
AXS Managed Futures Strategy Fund
(Class A: MHFAX)
(Class C: MHFCX)
(Class I: MHFIX)
AXS Multi-Strategy Alternatives Fund
(Class I: KCMIX)
(Investor Class: KCMTX)
AXS Sustainable Income Fund
(Class I: AXSKX)
AXS Thomson Reuters Private Equity Return Tracker Fund
(Class A: LDPAX)
(Class C: LDPCX)
(Class I: LDPIX)
AXS Thomson Reuters Venture Capital Return Tracker Fund
(Class A: LDVAX)
(Class C: LDVCX)
(Class I: LDVIX)
SEMI-ANNUAL REPORT
MARCH 31, 2022
AXS Funds
Each a series of Investment Managers Series Trust II
Table of Contents
Consolidated Schedule of Investments | 1 |
Consolidated Statements of Assets and Liabilities | 50 |
Consolidated Statements of Operations | 56 |
Consolidated Statements of Changes in Net Assets | 59 |
Consolidated Financial Highlights | 66 |
Notes to Consolidated Financial Statements | 83 |
Supplemental Information | 122 |
Expense Examples | 133 |
This report and the financial statements contained herein are provided for the general information of the shareholders of the AXS Funds. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
www.axsinvestments.com
AXS Alternative Growth Fund |
CONSOLIDATED SCHEDULE OF INVESTMENTS |
As of March 31, 2022 (Unaudited) |
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 70.9% | ||||||||
$ | 9,500 | UMB Bank Demand Deposit, 0.01%1,2 | $ | 9,500 |
Number of Shares | ||||||||
2,712,104 | Fidelity Investments Money Market Government Portfolio - Class I, 0.12%2 | 2,712,104 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $2,721,604) | 2,721,604 | |||||||
TOTAL INVESTMENTS — 70.9% | ||||||||
(Cost $2,721,604) | 2,721,604 | |||||||
Other Assets in Excess of Liabilities — 29.1% | 1,116,771 | |||||||
TOTAL NET ASSETS — 100.0% | $ | 3,838,375 |
1 | All or a portion of this investment is a holding of AXS Alternative Growth Fund Limited. |
2 | The rate is the annualized seven-day yield at period end. |
See accompanying Notes to Consolidated Financial Statements.
1 |
AXS Alternative Growth Fund |
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued |
As of March 31, 2022 (Unaudited) |
FUTURES CONTRACTS
Number of Contracts | Description | Expiration Date | Notional Value | Value at March 31, 2022 | Unrealized Appreciation (Depreciation) | |||||||||||
19 | S&P 500 E-Mini | June 2022 | $ | 4,021,831 | $ | 4,304,266 | $ | 282,435 | ||||||||
TOTAL FUTURES CONTRACTS | $ | 4,021,831 | $ | 4,304,266 | $ | 282,435 |
See accompanying Notes to Consolidated Financial Statements.
2 |
AXS Alternative Growth Fund |
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued |
As of March 31, 2022 (Unaudited) |
SWAP CONTRACT
TOTAL RETURN SWAP
Counterparty | Reference Entity | Pay/Receive Total Return on Reference Entity | Financing Rate1 | Termination Date | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||
Deutsche Bank | AXS Alternative Growth Fund Custom Basket2 | Receive | 0.50% of Notional Value | June 1, 2023 | $ | 7,580,641 | $ | (274,481 | ) | |||||||
TOTAL SWAP CONTRACT | $ | (274,481 | ) |
1 | Financing rate is based upon predetermined notional amounts. |
2 | This investment is a holding of the AXS Alternative Growth Fund Limited. |
See accompanying Notes to Consolidated Financial Statements.
3 |
AXS Alternative Growth Fund |
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued |
As of March 31, 2022 (Unaudited) |
Total Return Swap Top 50 Holdings^
FUTURES CONTRACTS
Number of Long Contracts | Description | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||
8 | 90 Day Bank Accepted Bill Future | Jun-23 | $ | 1,435,978 | $ | (16,023 | ) | |||||
5 | SOFR 3month Futures | Sep-23 | 1,129,485 | (9,396 | ) |
Number of Short Contracts | Description | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||
(18) | 90 Day Bank Accepted Bill Future | Jun-22 | $ | 3,307,338 | $ | 10,308 | ||||||
(7) | Eurodollar | Dec-24 | 1,746,597 | 12,234 | ||||||||
(8) | EUR/USD | Jun-22 | 1,109,230 | 365 |
OPTIONS ON CURRENCY
Put/Call | Description | Expiration Date | Strike Price | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||
Purchased | ||||||||||||||||
Put | JPY/AUD | Apr-22 | $ | 70.00 | $ | 8,381,825 | $ | - | ||||||||
Put | USD/EUR | May-22 | 1.06 | 4,433,809 | 7,259 | |||||||||||
Put | JPY/GBP | Apr-22 | 136.00 | 3,937,284 | - | |||||||||||
Put | JPY/CAD | Jun-22 | 81.25 | 2,874,680 | 1,073 | |||||||||||
Call | CAD/EUR | Apr-22 | 1.59 | 2,660,285 | - | |||||||||||
Call | CAD/EUR | Apr-22 | 1.53 | 2,660,285 | - | |||||||||||
Put | USD/EUR | Apr-22 | 1.07 | 2,660,285 | 2,401 | |||||||||||
Put | JPY/GBP | Apr-22 | 147.00 | 2,624,856 | 2 | |||||||||||
Put | JPY/AUD | Apr-22 | 77.00 | 2,394,807 | - | |||||||||||
Put | AUD/GBP | Jul-22 | 1.72 | 2,099,885 | 20,143 | |||||||||||
Put | JPY/GBP | May-22 | 146.00 | 2,099,885 | 1,255 | |||||||||||
Put | JPY/CAD | Apr-22 | 84.00 | 1,916,453 | 69 | |||||||||||
Put | JPY/AUD | Jul-22 | 72.00 | 1,796,105 | 1,231 | |||||||||||
Call | NOK/EUR | Apr-22 | 10.80 | 1,773,523 | - | |||||||||||
Call | ZAR/USD | May-22 | 17.00 | 1,595,900 | 849 | |||||||||||
Put | AUD/GBP | Apr-22 | 1.82 | 1,574,914 | 61,748 | |||||||||||
Put | JPY/CAD | May-22 | 84.50 | 1,277,636 | 379 | |||||||||||
Call | NOK/USD | Jun-22 | 9.80 | 1,196,925 | 1,978 | |||||||||||
Put | NOK/EUR | Jun-22 | 9.60 | 1,108,452 | 8,754 | |||||||||||
Written | ||||||||||||||||
Put | JPY/AUD | Apr-22 | $ | 70.00 | $ | 8,381,825 | $ | - | ||||||||
Put | USD/EUR | May-22 | 1.06 | 4,433,809 | (7,259) | |||||||||||
Put | JPY/GBP | Apr-22 | 136.00 | 3,937,284 | - | |||||||||||
Put | JPY/CAD | Jun-22 | 81.25 | 2,874,680 | (1,073) | |||||||||||
Call | CAD/EUR | Apr-22 | 1.59 | 2,660,285 | - | |||||||||||
Call | CAD/EUR | Apr-22 | 1.53 | 2,660,285 | - | |||||||||||
Put | USD/EUR | Apr-22 | 1.07 | 2,660,285 | (2,401) | |||||||||||
Put | JPY/GBP | Apr-22 | 147.00 | 2,624,856 | (2) | |||||||||||
Put | JPY/AUD | Apr-22 | 77.00 | 2,394,807 | - | |||||||||||
Put | AUD/GBP | May-22 | 1.72 | 2,099,885 | (13,330) | |||||||||||
Put | JPY/GBP | May-22 | 146.00 | 2,099,885 | (1,255) | |||||||||||
Put | JPY/CAD | Apr-22 | 84.00 | 1,916,453 | (69) | |||||||||||
Put | JPY/AUD | Jul-22 | 72.00 | 1,796,105 | (1,231) | |||||||||||
Put | JPY/EUR | Sep-22 | 119.00 | 1,773,523 | (6,401) | |||||||||||
Call | NOK/EUR | Apr-22 | 10.80 | 1,773,523 | - | |||||||||||
Call | ZAR/USD | May-22 | 17.00 | 1,595,900 | (849) | |||||||||||
Put | AUD/GBP | Apr-22 | 1.82 | 1,574,914 | (61,748) | |||||||||||
Put | JPY/CAD | May-22 | 84.50 | 1,277,636 | (379) | |||||||||||
Call | NOK/USD | Jun-22 | 9.80 | 1,196,925 | (1,978) | |||||||||||
Put | NOK/EUR | Jun-22 | 9.60 | 1,108,452 | (8,754) |
OPTIONS ON FUTURES CONTRACTS
Put/Call | Description | Expiration Date | Strike Price | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||
Purchased | ||||||||||||||||
Call | Eurodollar | Jun-22 | $ | 99.44 | $ | 1,946,703 | $ | 98 | ||||||||
Call | Eurodollar | Jun-22 | 99.31 | 1,944,256 | 171 | |||||||||||
Call | Eurodollar | Mar-23 | 98.75 | 1,606,079 | 1,220 | |||||||||||
Written | ||||||||||||||||
Call | Eurodollar | Jun-22 | $ | 99.38 | $ | 3,890,958 | $ | (392) | ||||||||
Call | Eurodollar | Mar-23 | 99.50 | 1,618,277 | (366) | |||||||||||
Call | Eurodollar | Sep-22 | 97.13 | 1,096,979 | (1,073) |
AUD - Australian Dollar
CAD - Canadian Dollar
EUR - Euro
GBP - British Pound
JPY - Japanese Yen
NOK - Norwegian Krone
USD - U.S. Dollar
ZAR - South African Rand
^ | These investments are not direct holdings of the Fund. The holdings were determined based on the absolute notional values of the positions within the underlying swap basket. |
See accompanying Notes to Consolidated Financial Statements.
4 |
AXS Alternative Growth Fund |
CONSOLIDATED SUMMARY OF INVESTMENTS |
As of March 31, 2022 (Unaudited) |
Security Type | Percent of Total Net Assets | |||
Short-Term Investments | 70.9 | % | ||
Total Investments | 70.9 | % | ||
Other Assets in Excess of Liabilities | 29.1 | % | ||
Total Net Assets | 100.0 | % |
See accompanying Notes to Consolidated Financial Statements.
5 |
AXS Chesapeake Strategy Fund |
CONSOLIDATED SCHEDULE OF INVESTMENTS |
As of March 31, 2022 (Unaudited) |
Number of Shares | Value | |||||||
SHORT-TERM INVESTMENTS — 93.0% | ||||||||
17,087,822 | Fidelity Investments Money Market Government Portfolio - Class I, 0.12%1 | $ | 17,087,822 |
Principal | ||||||||
Amount | ||||||||
$ | 11,401,672 | UMB Bank Demand Deposit, 0.01%1 | 11,401,672 | |||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $28,489,494) | 28,489,494 | |||||||
TOTAL INVESTMENTS — 93.0% | ||||||||
(Cost $28,489,494) | 28,489,494 | |||||||
Other Assets in Excess of Liabilities — 7.0% | 2,145,410 | |||||||
TOTAL NET ASSETS — 100.0% | $ | 30,634,904 |
1 | The rate is the annualized seven-day yield at period end. |
See accompanying Notes to Consolidated Financial Statements.
6 |
AXS Chesapeake Strategy Fund |
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued |
As of March 31, 2022 (Unaudited) |
FUTURES CONTRACTS
Long Contracts | Expiration Date | Number of Contracts | Notional Value* | Value at March 31, 2022* | Unrealized Appreciation (Depreciation) | |||||||||||
Commodity Futures | ||||||||||||||||
CBOT Corn1 | May 2022 | 24 | 779,700 | 898,500 | $ | 118,800 | ||||||||||
CBOT Soybean1 | May 2022 | 7 | 559,300 | 566,388 | 7,088 | |||||||||||
CBOT Soybean Oil1 | May 2022 | 16 | 646,932 | 671,424 | 24,492 | |||||||||||
CBOT Wheat1 | May 2022 | 3 | 121,087 | 150,900 | 29,813 | |||||||||||
CME Lean Hogs1 | June 2022 | 9 | 455,775 | 434,250 | (21,525 | ) | ||||||||||
CMX Copper1 | May 2022 | 6 | 680,775 | 712,650 | 31,875 | |||||||||||
CMX Gold1 | June 2022 | 4 | 781,880 | 781,600 | (280 | ) | ||||||||||
CMX Silver1 | May 2022 | 2 | 265,450 | 251,330 | (14,120 | ) | ||||||||||
ICE Canola1 | May 2022 | 39 | 780,661 | 861,489 | 80,828 | |||||||||||
LME Lead1 | June 2022 | 9 | 550,688 | 545,063 | (5,625 | ) | ||||||||||
LME Primary Aluminum1 | June 2022 | 7 | 668,763 | 611,013 | (57,750 | ) | ||||||||||
LME Primary Nickel1 | June 2022 | 4 | 340,560 | 385,200 | 44,640 | |||||||||||
LME Zinc1 | June 2022 | 5 | 499,375 | 523,563 | 24,188 | |||||||||||
NYBOT Coffee 'C'1 | May 2022 | 4 | 372,075 | 339,600 | (32,475 | ) | ||||||||||
NYBOT Cotton #21 | May 2022 | 21 | 1,290,689 | 1,424,745 | 134,056 | |||||||||||
NYBOT Sugar #111 | May 2022 | 40 | 800,576 | 873,152 | 72,576 | |||||||||||
NYMEX Natural Gas1 | May 2022 | 2 | 111,040 | 112,840 | 1,800 | |||||||||||
NYMEX Platinum1 | July 2022 | 1 | 51,430 | 49,790 | (1,640 | ) | ||||||||||
NYMEX RBOB Gasoline1 | May 2022 | 4 | 570,309 | 529,351 | (40,958 | ) | ||||||||||
NYMEX WTI Crude Oil1 | May 2022 | 4 | 415,760 | 401,119 | (14,641 | ) | ||||||||||
Currency Futures | ||||||||||||||||
Brazil Real | May 2022 | 51 | 1,048,050 | 1,063,605 | 15,555 | |||||||||||
CME Mexican Peso | June 2022 | 38 | 918,275 | 944,870 | 26,595 | |||||||||||
Swedish Krona | June 2022 | 15 | 14,599,575 | 14,541,424 | (58,151 | ) | ||||||||||
Index Futures | ||||||||||||||||
ICF FTSE 100 Index | June 2022 | 4 | 283,640 | 304,397 | 20,757 | |||||||||||
Total Long Contracts | 27,592,365 | 27,978,263 | 385,898 | |||||||||||||
Short Contracts | ||||||||||||||||
Commodity Futures | ||||||||||||||||
LME Primary Nickel1 | June 2022 | (2) | (383,964 | ) | (385,200 | ) | (1,236 | ) | ||||||||
Currency Futures | ||||||||||||||||
Canadian Dollar | June 2022 | (15) | (1,175,850 | ) | (1,201,350 | ) | (25,500 | ) | ||||||||
CME Australian Dollar | June 2022 | (4) | (294,357 | ) | (299,860 | ) | (5,503 | ) | ||||||||
CME British Pound | June 2022 | (25) | (2,056,650 | ) | (2,051,719 | ) | 4,931 | |||||||||
CME Euro | June 2022 | (21) | (2,879,432 | ) | (2,913,487 | ) | (34,055 | ) | ||||||||
CME Japanese Yen | June 2022 | (19) | (2,062,566 | ) | (1,956,406 | ) | 106,160 | |||||||||
CME Swiss Franc | June 2022 | (17) | (2,310,163 | ) | (2,310,088 | ) | 75 | |||||||||
New Zealand Dollar | June 2022 | (15) | (1,022,250 | ) | (1,038,600 | ) | (16,350 | ) | ||||||||
Index Futures | ||||||||||||||||
CAC 40 10 Euro | April 2022 | (1) | (63,088 | ) | (66,945 | ) | (3,857 | ) | ||||||||
EUX DAX Index | June 2022 | (2) | (691,575 | ) | (724,844 | ) | (33,269 | ) | ||||||||
FTSE China A50 | April 2022 | (55) | (755,480 | ) | (756,195 | ) | (715 | ) | ||||||||
MSCI Emerging Markets | June 2022 | (5) | (254,429 | ) | (281,375 | ) | (26,946 | ) | ||||||||
SGX Nikkei 225 | June 2022 | (4) | (52,592,000 | ) | (52,616,626 | ) | (24,626 | ) | ||||||||
Interest Rate Futures | ||||||||||||||||
CBOT 5-Year U.S. Treasury Note | June 2022 | (73) | (8,593,468 | ) | (8,372,188 | ) | 221,280 | |||||||||
CBOT 10-Year U.S. Treasury Note | June 2022 | (66) | (8,349,000 | ) | (8,109,750 | ) | 239,250 | |||||||||
CBOT U.S. Long Bond | June 2022 | (14) | (2,134,258 | ) | (2,100,875 | ) | 33,383 | |||||||||
CBOT Ultra Long-Term U.S. Treasury Bond | June 2022 | (8) | (1,426,609 | ) | (1,417,000 | ) | 9,609 | |||||||||
EUX Euro-BTP Italian Government Bond | June 2022 | (11) | (1,591,040 | ) | (1,514,016 | ) | 77,024 | |||||||||
EUX Euro-Bund | June 2022 | (33) | (5,505,060 | ) | (5,207,184 | ) | 297,876 | |||||||||
EUX Euro-Buxl 30-Year Bond | June 2022 | (5) | (930,040 | ) | (931,102 | ) | (1,062 | ) | ||||||||
ICF Long Gilt | June 2022 | (38) | (4,670,184 | ) | (4,586,836 | ) | 83,348 | |||||||||
Total Short Contracts | (99,741,463 | ) | (98,841,646 | ) | 899,817 | |||||||||||
TOTAL FUTURES CONTRACTS | (72,149,098 | ) | (70,863,383 | ) | $ | 1,285,715 |
* | Local currency. |
1 | This investment is a holding of AXS Chesapeake Strategy Fund Limited. |
See accompanying Notes to Consolidated Financial Statements.
7 |
AXS Chesapeake Strategy Fund |
CONSOLIDATED SUMMARY OF INVESTMENTS |
As of March 31, 2022 (Unaudited) |
Security Type | Percent of Total Net Assets | |||
Short-Term Investments | 93.0 | % | ||
Total Investments | 93.0 | % | ||
Other Assets in Excess of Liabilities | 7.0 | % | ||
Total Net Assets | 100.0 | % |
See accompanying Notes to Consolidated Financial Statements.
8 |
AXS Managed Futures Strategy Fund |
CONSOLIDATED SCHEDULE OF INVESTMENTS |
As of March 31, 2022 (Unaudited) |
Number of Shares | Value | |||||||
SHORT-TERM INVESTMENTS — 14.7% | ||||||||
2,182,363 | Fidelity Investments Money Market Government Portfolio - Class I, 0.12%1 | $ | 2,182,363 | |||||
Principal Amount | ||||||||
$ | 365,000 | UMB Bank Demand Deposit, 0.01%1,2 | 365,000 | |||||
50,000 | UMB Bank Demand Deposit, 0.01%1 | 50,000 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $2,597,363) | 2,597,363 | |||||||
TOTAL INVESTMENTS — 14.7% | ||||||||
(Cost $2,597,363) | 2,597,363 | |||||||
Other Assets in Excess of Liabilities — 85.3% | 15,044,902 | |||||||
TOTAL NET ASSETS — 100.0% | $ | 17,642,265 |
1 | The rate is the annualized seven-day yield at period end. |
2 | All or a portion of this investment is a holding of AXS Managed Futures Strategy Fund Limited. |
See accompanying Notes to Consolidated Financial Statements.
9 |
AXS Managed Futures Strategy Fund |
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued |
As of March 31, 2022 (Unaudited) |
SWAP CONTRACTS
TOTAL RETURN SWAPS
Counterparty | Reference Entity | Pay/Receive Total Return on Reference Entity | Financing Rate1 | Termination Date | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||
Deutsche Bank | AXS Financial Futures Index | Receive | 0.50% of Notional Value | 1/29/27 | $ | 28,827,913 | $ | (3,626,959 | ) | |||||||
Deutsche Bank | AXS Physical Futures Index2 | Receive | 0.50% of Notional Value | 9/30/26 | 23,127,432 | (647,779 | ) | |||||||||
Morgan Stanley | Single CTA Program Total Return Swap2 | Receive | One month USD Libor plus 0.27% of the notional value | 3/9/23 | 4,230,064 | (19,677 | ) | |||||||||
Morgan Stanley | Alphas Managed Accounts Platform XV Limited Portfolio2 | Receive | 0.45% of Notional Value | 3/9/23 | 4,710,051 | 19,981 | ||||||||||
TOTAL SWAP CONTRACTS | $ | (4,274,434 | ) |
1 | Financing rate is based upon predetermined notional amounts. |
2 | This investment is a holding of the AXS Managed Futures Strategy Fund Limited. |
See accompanying Notes to Consolidated Financial Statements.
10 |
AXS Managed Futures Strategy Fund |
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued |
As of March 31, 2022 (Unaudited) |
AXS Financial Futures Index Top 50 Holdings1
FUTURES CONTRACTS
Number of Short Contracts | Description | Counterparty | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||
(38) | 3 Month SONIA Index | Deutsche Bank | Jun-23 | $ | (12,263,578 | ) | $ | 16,825 |
OPTIONS ON CURRENCY
Put/Call | Description | Expiration Date | Strike Price | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Purchased | ||||||||||||||||||||
Put | JPY/AUD | Apr-22 | $ | 70.00 | $ | 94,606,657 | $ | - | ||||||||||||
Put | USD/EUR | May-22 | 1.06 | 50,044,923 | 81,933 | |||||||||||||||
Put | JPY/GBP | Apr-22 | 136.00 | 44,440,595 | - | |||||||||||||||
Put | JPY/CAD | Jun-22 | 81.25 | 32,446,856 | 12,107 | |||||||||||||||
Call | CAD/EUR | Apr-22 | 1.59 | 30,026,954 | - | |||||||||||||||
Call | CAD/EUR | Apr-22 | 1.53 | 30,026,954 | - | |||||||||||||||
Put | USD/EUR | Apr-22 | 1.07 | 30,026,954 | 27,103 | |||||||||||||||
Put | JPY/GBP | Apr-22 | 147.00 | 29,627,063 | 20 | |||||||||||||||
Put | JPY/AUD | Apr-22 | 77.00 | 27,030,474 | - | |||||||||||||||
Put | AUD/GBP | Jul-22 | 1.72 | 23,701,651 | 227,352 | |||||||||||||||
Put | JPY/GBP | May-22 | 146.00 | 23,701,651 | 14,163 | |||||||||||||||
Put | JPY/CAD | Apr-22 | 84.00 | 21,631,237 | 774 | |||||||||||||||
Put | JPY/AUD | Jul-22 | 72.00 | 20,272,855 | 13,892 | |||||||||||||||
Call | NOK/EUR | Apr-22 | 10.80 | 20,017,969 | - | |||||||||||||||
Call | ZAR/USD | May-22 | 17.00 | 18,013,111 | 9,587 | |||||||||||||||
Put | AUD/GBP | Apr-22 | 1.82 | 17,776,238 | 696,962 | |||||||||||||||
Put | JPY/CAD | May-22 | 84.50 | 14,420,825 | 4,275 | |||||||||||||||
Call | NOK/USD | Jun-22 | 9.80 | 13,509,833 | 22,329 | |||||||||||||||
Put | NOK/EUR | Jun-22 | 9.60 | 12,511,231 | 98,805 | |||||||||||||||
Put | JPY/GBP | Apr-22 | 141.00 | 11,850,825 | 2 | |||||||||||||||
Written | ||||||||||||||||||||
Put | JPY/AUD | Apr-22 | $ | 70.00 | $ | (94,606,657 | ) | $ | - | |||||||||||
Put | USD/EUR | May-22 | 1.06 | (50,044,923 | ) | (81,933) | ||||||||||||||
Put | JPY/GBP | Apr-22 | 136.00 | (44,440,595 | ) | - | ||||||||||||||
Put | JPY/CAD | Jun-22 | 81.25 | (32,446,856 | ) | (12,107) | ||||||||||||||
Put | USD/EUR | Apr-22 | 1.07 | (30,026,954 | ) | (27,103) | ||||||||||||||
Call | CAD/EUR | Apr-22 | 1.59 | (30,026,954 | ) | - | ||||||||||||||
Call | CAD/EUR | Apr-22 | 1.53 | (30,026,954 | ) | - | ||||||||||||||
Put | JPY/GBP | Apr-22 | 147.00 | (29,627,063 | ) | (20) | ||||||||||||||
Put | JPY/AUD | Apr-22 | 77.00 | (27,030,474 | ) | - | ||||||||||||||
Put | AUD/GBP | May-22 | 1.72 | (23,701,651 | ) | (150,460) | ||||||||||||||
Put | JPY/GBP | May-22 | 146.00 | (23,701,651 | ) | (14,163) | ||||||||||||||
Put | JPY/CAD | Apr-22 | 84.00 | (21,631,237 | ) | (774) | ||||||||||||||
Put | JPY/AUD | Jul-22 | 72.00 | (20,272,855 | ) | (13,892) | ||||||||||||||
Put | JPY/EUR | Sep-22 | 119.00 | (20,017,969 | ) | (72,245) | ||||||||||||||
Call | NOK/EUR | Apr-22 | 10.80 | (20,017,969 | ) | - | ||||||||||||||
Call | ZAR/USD | May-22 | 17.00 | (18,013,111 | ) | (9,587) | ||||||||||||||
Put | AUD/GBP | Apr-22 | 1.82 | (17,776,238 | ) | (696,962) | ||||||||||||||
Put | JPY/CAD | May-22 | 84.50 | (14,420,825 | ) | (4,275) | ||||||||||||||
Call | NOK/USD | Jun-22 | 9.80 | (13,509,833 | ) | (22,329) | ||||||||||||||
Put | NOK/EUR | Jun-22 | 9.60 | (12,511,231 | ) | (98,805) | ||||||||||||||
Put | JPY/GBP | Apr-22 | 141.00 | (11,850,825 | ) | (2) |
See accompanying Notes to Consolidated Financial Statements.
11 |
AXS Managed Futures Strategy Fund |
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued |
As of March 31, 2022 (Unaudited) |
AXS Financial Futures Index Top 50 Holdings1 - Continued
OPTIONS ON FUTURES
Put/Call | Description | Number of Contracts | Expiration Date | Strike Price | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||
Purchased | |||||||||||||||||||
Call | Eurodollar | 127 | Jun-22 | $ | 99.44 | $ | 31,570,566 | $ | 1,588 | ||||||||||
Call | Eurodollar | 127 | Jun-22 | 99.31 | 31,530,880 | 2,778 | |||||||||||||
Call | Eurodollar | 106 | Mar-23 | 98.75 | 26,046,518 | 19,784 | |||||||||||||
Written | |||||||||||||||||||
Call | Eurodollar | (254) | Jun-22 | $ | 99.38 | $ | (63,101,446 | ) | $ | (6,351) | |||||||||
Call | Eurodollar | (106) | Mar-23 | 99.50 | (26,244,340 | ) | (5,935) | ||||||||||||
Call | Eurodollar | (73) | Sep-22 | 97.13 | (17,790,212 | ) | (17,403) | ||||||||||||
Call | 3 month Euro (EURIBOR) | (49) | Dec-22 | 99.50 | (13,502,469 | ) | (679) | ||||||||||||
Call | Eurodollar | (53) | Mar-23 | 96.75 | (12,759,497 | ) | (56,055) |
AUD - Australian Dollar
CAD - Canadian Dollar
EUR - Euro
GBP - British Pound
JPY - Japanese Yen
NOK - Norwegian Krone
USD - U.S. Dollar
ZAR - South African Rand
1 | These investments are not direct holdings of the Fund. The holdings were determined based on the absolute notional values of the positions within the underlying swap basket. |
See accompanying Notes to Consolidated Financial Statements.
12 |
AXS Managed Futures Strategy Fund |
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued |
As of March 31, 2022 (Unaudited) |
AXS Physical Futures Index Top 50 Holdings1
FUTURES CONTRACTS
Number of Long Contracts | Description | Counterparty | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||
24 | 90 Day Bank Accepted Bill Future | Deutsche Bank | Jun-23 | $ | 4,316,961 | $ | (48,171 | ) | ||||||
14 | SOFR 3 month Futures | Deutsche Bank | Sep-23 | 3,395,555 | (28,248 | ) | ||||||||
16 | 90 Day Bank Accepted Bill Future | Deutsche Bank | Mar-23 | 2,892,146 | (30,000 | ) | ||||||||
33 | Soybeans Future | Deutsche Bank | May-22 | 2,740,593 | (8,072 | ) | ||||||||
14 | Three Month Canadian Bankers Acceptance Future | Deutsche Bank | Dec-22 | 2,716,914 | (22,982 | ) | ||||||||
13 | Three Month Canadian Bankers Acceptance Future | Deutsche Bank | Sep-22 | 2,594,205 | (26,184 | ) | ||||||||
13 | Euro-BUND | Deutsche Bank | Jun-22 | 2,290,693 | 1,769 | |||||||||
12 | Gold | Deutsche Bank | Jun-22 | 2,282,366 | 43,517 | |||||||||
9 | SOFR 3 month Futures | Deutsche Bank | Mar-23 | 2,171,318 | (17,288 | ) | ||||||||
10 | Three Month Canadian Bankers Acceptance Future | Deutsche Bank | Jun-23 | 1,968,721 | (16,799 | ) | ||||||||
7 | Copper Grade A Future | Deutsche Bank | May-22 | 1,846,548 | 75,472 | |||||||||
11 | Long Gilt Future | Deutsche Bank | Jun-22 | 1,752,910 | (9,585 | ) | ||||||||
9 | Three Month Canadian Bankers Acceptance Future | Deutsche Bank | Mar-23 | 1,724,829 | (17,298 | ) | ||||||||
7 | Copper Grade A Future | Deutsche Bank | Apr-22 | 1,723,937 | 99,469 | |||||||||
7 | E-Mini S&P 500 | Deutsche Bank | Jun-22 | 1,712,608 | 35,028 | |||||||||
14 | 10 year US Treasury Notes | Deutsche Bank | Jun-22 | 1,688,115 | (20,053 | ) | ||||||||
9 | 90 Day Bank Accepted Bill Future | Deutsche Bank | Dec-22 | 1,684,976 | (16,090 | ) | ||||||||
5 | 3 Month SONIA Index Futures | Deutsche Bank | Sep-23 | 1,683,075 | (15,430 | ) | ||||||||
7 | SOFR 3 month Futures | Deutsche Bank | Dec-22 | 1,661,384 | (8,408 | ) | ||||||||
5 | 3 Month SONIA Index Futures | Deutsche Bank | Dec-23 | 1,495,588 | (8,534 | ) | ||||||||
17 | Coffee C Future | Deutsche Bank | Jul-22 | 1,427,327 | 40,042 | |||||||||
4 | 3 Month SONIA Index Futures | Deutsche Bank | Mar-23 | 1,364,084 | (6,699 | ) | ||||||||
6 | Three Month Canadian Bankers Acceptance Future | Deutsche Bank | Jun-22 | 1,248,738 | (3,917 | ) | ||||||||
7 | 90 Day Bank Accepted Bill Future | Deutsche Bank | Sep-23 | 1,208,991 | (11,036 | ) | ||||||||
5 | SOFR 3 month Futures | Deutsche Bank | Mar-24 | 1,133,125 | (7,586 | ) | ||||||||
5 | SOFR 3 month Futures | Deutsche Bank | Dec-23 | 1,132,047 | (8,679 | ) | ||||||||
6 | 90 Day Bank Accepted Bill Future | Deutsche Bank | Sep-22 | 1,078,190 | (5,328 | ) | ||||||||
28 | Corn Future | Deutsche Bank | May-22 | 1,031,823 | 34,879 | |||||||||
5 | E-mini Dow | Deutsche Bank | Jun-22 | 953,983 | 13,731 | |||||||||
12 | AUD/USD | Deutsche Bank | Jun-22 | 906,473 | 1,730 | |||||||||
10 | Coffee C Future | Deutsche Bank | Sep-22 | 889,005 | 27,750 | |||||||||
3 | Copper Grade A Future | Deutsche Bank | Jun-22 | 849,662 | 15,989 |
Number of Short Contracts | Description | Counterparty | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||
(54) | 90 Day Bank Accepted Bill Future | Deutsche Bank | Jun-22 | $ | (9,942,801 | ) | $ | 30,989 | ||||||
(21) | EUR/USD | Deutsche Bank | Jun-22 | (2,943,739 | ) | 987 | ||||||||
(35) | Soybeans Future | Deutsche Bank | Jul-22 | (2,858,603 | ) | 12,595 | ||||||||
(31) | Coffee C Future | Deutsche Bank | May-22 | (2,643,298 | ) | (43,120 | ) | |||||||
(24) | JPY/USD | Deutsche Bank | Jun-22 | (2,453,360 | ) | 54,000 | ||||||||
(2) | 10 year Japanese Government Bond | Deutsche Bank | Jun-22 | (2,201,359 | ) | (122 | ) | |||||||
(24) | GBP/USD | Deutsche Bank | Jun-22 | (1,979,340 | ) | (4,781 | ) | |||||||
(8) | Eurodollar | Deutsche Bank | Dec-24 | (1,941,008 | ) | 9,158 | ||||||||
(7) | Copper Grade A Future | Deutsche Bank | May-22 | (1,846,548 | ) | (78,216 | ) | |||||||
(6) | 3 month Euro (EURIBOR) | Deutsche Bank | Dec-23 | (1,736,239 | ) | 11,163 | ||||||||
(7) | Copper Grade A Future | Deutsche Bank | Apr-22 | (1,723,937 | ) | (102,152 | ) | |||||||
(13) | 5 year US Treasury Notes | Deutsche Bank | Jun-22 | (1,501,479 | ) | 8,178 | ||||||||
(6) | 2 year US Treasury Notes | Deutsche Bank | Jun-22 | (1,221,063 | ) | 4,457 | ||||||||
(9) | CHF/USD | Deutsche Bank | Jun-22 | (1,210,871 | ) | (10,302 | ) | |||||||
(8) | 10 year US Treasury Notes | Deutsche Bank | Jun-22 | (1,029,923 | ) | 13,044 | ||||||||
(3) | E-Mini Nasdaq-100 | Deutsche Bank | Jun-22 | (1,014,943 | ) | (48,577 | ) | |||||||
(2) | DAX Index Future | Deutsche Bank | Jun-22 | (923,837 | ) | (3,530 | ) | |||||||
(5) | Euro-BUND | Deutsche Bank | Jun-22 | (892,044 | ) | 18,019 |
AUD - Australian Dollar
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
JPY - Japanese Yen
USD - U.S. Dollar
1 | These investments are not direct holdings of the Fund. The holdings were determined based on the absolute notional values of the positions within the underlying swap basket. |
See accompanying Notes to Consolidated Financial Statements.
13 |
AXS Managed Futures Strategy Fund |
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued |
As of March 31, 2022 (Unaudited) |
Single CTA Program Total Return Swap Top 50 Holdings1
FUTURES CONTRACTS
Number of Long Contracts | Description | Counterparty | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||
5 | Candian $ Currency Future | Morgan Stanley | Jun-22 | $ | 411,663 | $ | 6,453 | |||||||
4 | AUD/USD Currency Future | Morgan Stanley | Jun-22 | 303,629 | 4,003 | |||||||||
1 | 90-Day Bank Bill | Morgan Stanley | Jun-22 | 200,762 | (169 | ) | ||||||||
2 | GBP Currency Future | Morgan Stanley | Jun-22 | 155,110 | 179 | |||||||||
1 | Soybean Future | Morgan Stanley | May-22 | 87,386 | (3,287 | ) | ||||||||
1 | Soybean Future | Morgan Stanley | Jul-22 | 86,292 | 713 | |||||||||
3 | Mexican Peso Future | Morgan Stanley | Jun-22 | 80,514 | 5,163 |
Number of Short Contracts | Description | Counterparty | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||
(8) | Euro Fx Currency Future | Morgan Stanley | Jun-22 | $ | (1,050,338 | ) | $ | (2,511 | ) | |||||
(9) | JPN Yen Currency Future | Morgan Stanley | Jun-22 | (974,144 | ) | 33,608 | ||||||||
(1) | JPN 10Yr Bond (Ose) | Morgan Stanley | Jun-22 | (664,022 | ) | (244 | ) | |||||||
(3) | Us 2Yr Note (Cbt) | Morgan Stanley | Jun-22 | (572,184 | ) | 6,438 | ||||||||
(2) | 90 Day Euro Future | Morgan Stanley | Mar-24 | (393,174 | ) | 3,331 | ||||||||
(1) | 90 Day Euro Future | Morgan Stanley | Jun-24 | (327,949 | ) | 2,916 | ||||||||
(1) | 90 Day Euro Future | Morgan Stanley | Dec-23 | (327,274 | ) | 3,615 | ||||||||
(1) | 90 Day Euro Future | Morgan Stanley | Sep-23 | (326,970 | ) | 2,771 | ||||||||
(1) | 90 Day Euro Future | Morgan Stanley | Dec-24 | (262,710 | ) | 1,743 | ||||||||
(1) | 90 Day Euro Future | Morgan Stanley | Sep-24 | (262,548 | ) | 2,179 | ||||||||
(2) | Euro-Schatz Future | Morgan Stanley | Jun-22 | (231,525 | ) | 1,023 | ||||||||
(1) | 3 month Euro (EURIBOR) | Morgan Stanley | Jun-24 | (221,115 | ) | 1,996 | ||||||||
(1) | 3 month Euro (EURIBOR) | Morgan Stanley | Dec-23 | (221,092 | ) | 2,702 | ||||||||
(1) | 3 month Euro (EURIBOR) | Morgan Stanley | Mar-24 | (221,070 | ) | 2,527 | ||||||||
(1) | 90 Day Euro Future | Morgan Stanley | Mar-25 | (197,235 | ) | 1,088 | ||||||||
(1) | 90 Day Euro Future | Morgan Stanley | Jun-23 | (196,162 | ) | 2,608 | ||||||||
(1) | ICE 3 Month Sonia Future | Morgan Stanley | Dec-24 | (173,873 | ) | 1,225 | ||||||||
(1) | ICE 3 Month Sonia Future | Morgan Stanley | Sep-24 | (173,767 | ) | 1,442 | ||||||||
(1) | ICE 3 Month Sonia Future | Morgan Stanley | Jun-24 | (173,572 | ) | 670 | ||||||||
(1) | ICE 3 Month Sonia Future | Morgan Stanley | Mar-24 | (173,324 | ) | 1,638 | ||||||||
(1) | ICE 3 Month Sonia Future | Morgan Stanley | Dec-23 | (173,075 | ) | 2,068 | ||||||||
(1) | ICE 3 Month Sonia Future | Morgan Stanley | Sep-23 | (172,951 | ) | 1,522 | ||||||||
(1) | ICE 3 Month Sonia Future | Morgan Stanley | Jun-23 | (172,951 | ) | 2,064 | ||||||||
(1) | US 5Yr Note (Cbt) | Morgan Stanley | Jun-22 | (154,832 | ) | 3,907 | ||||||||
(1) | Euro-Bobl Future | Morgan Stanley | Jun-22 | (153,948 | ) | 2,078 | ||||||||
(1) | 3 month Euro (EURIBOR) | Morgan Stanley | Jun-23 | (147,798 | ) | 1,372 | ||||||||
(1) | 3 month Euro (EURIBOR) | Morgan Stanley | Sep-23 | (147,499 | ) | 654 | ||||||||
(1) | 3 month Euro (EURIBOR) | Morgan Stanley | Dec-24 | (147,440 | ) | 1,417 | ||||||||
(1) | 3 month Euro (EURIBOR) | Morgan Stanley | Sep-24 | (147,425 | ) | 1,151 | ||||||||
(1) | Long Gilt Future | Morgan Stanley | Jun-22 | (129,000 | ) | 1,143 | ||||||||
(2) | Australian 3Yr Bond Future | Morgan Stanley | Jun-22 | (118,130 | ) | 1,500 | ||||||||
(1) | CAN 10Yr Bond Future | Morgan Stanley | Jun-22 | (112,786 | ) | 2,783 | ||||||||
(1) | Australian 10Yr Bond Future | Morgan Stanley | Jun-22 | (98,088 | ) | 4,290 | ||||||||
(1) | Euro-Bund Future | Morgan Stanley | Jun-22 | (94,775 | ) | 3,170 | ||||||||
(1) | ICE 3 Month Sonia Future | Morgan Stanley | Mar-25 | (86,981 | ) | 448 | ||||||||
(1) | ICE 3 Month Sonia Future | Morgan Stanley | Dec-22 | (86,768 | ) | 297 | ||||||||
(1) | ICE 3 Month Sonia Future | Morgan Stanley | Mar-23 | (86,582 | ) | 985 | ||||||||
(1) | Hang Seng Index Future | Morgan Stanley | Apr-22 | (75,796 | ) | (1,027 | ) | |||||||
(1) | 3 month Euro (EURIBOR) | Morgan Stanley | Mar-23 | (74,145 | ) | 475 | ||||||||
(1) | 3 month Euro (EURIBOR) | Morgan Stanley | Mar-15 | (73,727 | ) | 688 | ||||||||
(1) | CHF Currency Future | Morgan Stanley | Jun-22 | (73,379 | ) | (889 | ) | |||||||
(1) | US 10Yr Note (Cbt) | Morgan Stanley | Jun-22 | (66,355 | ) | 2,175 | ||||||||
(1) | 90 Day Euro Future | Morgan Stanley | Dec-12 | (65,705 | ) | 1,007 |
AUD - Australian Dollar
GBP - British Pound
CAN - Canadian Dollar
CHF - Swiss Franc
JPN - Japanese Yen
USD - United States Dollar
1 | These investments are not direct holdings of the Fund. The holdings were determined based on the absolute notional values of the positions within the underlying swap basket. |
See accompanying Notes to Consolidated Financial Statements.
14 |
AXS Managed Futures Strategy Fund |
CONSOLIDATED SCHEDULE OF INVESTMENTS - Continued |
As of March 31, 2022 (Unaudited) |
Alphas Managed Accounts Platform XV Limited Portfolio Top 50 Holdings1
FUTURES CONTRACTS
Number of Long Contracts | Description | Counterparty | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||
10 | WTI Crude Future | Morgan Stanley | Aug-22 | $ | 950,520 | $ | 293 | |||||||
1 | Dax Index Future | Morgan Stanley | Jun-22 | 405,733 | (5,201 | ) | ||||||||
3 | CHF Currency Future | Morgan Stanley | Jun-22 | 403,338 | 4,317 | |||||||||
1 | Topix Index Future | Morgan Stanley | Jun-22 | 193,950 | 575 | |||||||||
2 | Canadian $ Currency Future | Morgan Stanley | Jun-22 | 158,040 | 2,138 | |||||||||
4 | Soybean Oil Future | Morgan Stanley | Dec-22 | 156,936 | (4,443 | ) | ||||||||
2 | AUD/USD Currency Future | Morgan Stanley | Jun-22 | 150,210 | (281 | ) | ||||||||
4 | Corn Future | Morgan Stanley | Jul-22 | 141,200 | 5,445 | |||||||||
1 | Coffee C Future | Morgan Stanley | May-22 | 85,009 | (107 | ) | ||||||||
1 | Soybean Future | Morgan Stanley | May-22 | 83,800 | (2,880 | ) | ||||||||
1 | Soybean Future | Morgan Stanley | Jul-22 | 82,450 | (2,532 | ) | ||||||||
1 | GBP Currency Future | Morgan Stanley | Jun-22 | 82,069 | 2 | |||||||||
1 | GBP Currency Future | Morgan Stanley | Apr-22 | 74,697 | (797 | ) | ||||||||
1 | Cotton No.2 Future | Morgan Stanley | May-22 | 60,420 | 7,426 | |||||||||
1 | Natural Gas Future | Morgan Stanley | May-22 | 52,100 | 4,343 | |||||||||
1 | Cotton No.2 Future | Morgan Stanley | Dec-22 | 52,060 | 3,579 | |||||||||
1 | Wheat Future (Cbt) | Morgan Stanley | Sep-22 | 50,550 | (1,095 | ) |
Number of Short Contracts | Description | Counterparty | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||
(10) | WTI Crude Future | Morgan Stanley | Jul-22 | $ | (974,110 | ) | $ | 5,319 | ||||||
(6) | Long Gilt Future | Morgan Stanley | Jun-22 | (951,820 | ) | (1,046 | ) | |||||||
(4) | CAN 10Yr Bond Future | Morgan Stanley | Jun-22 | (416,056 | ) | (1,735 | ) | |||||||
(1) | Nasdaq 100 E-Mini | Morgan Stanley | Jun-22 | (295,857 | ) | (1,518 | ) | |||||||
(1) | S&P500 Emini Future | Morgan Stanley | Jun-22 | (227,359 | ) | 821 | ||||||||
(2) | JPN Yen Curr Future | Morgan Stanley | Jun-22 | (210,675 | ) | 4,735 | ||||||||
(3) | New Zealand $ Future | Morgan Stanley | Jun-22 | (206,190 | ) | (1,528 | ) | |||||||
(4) | Soybean Oil Future | Morgan Stanley | Jul-22 | (170,352 | ) | 5,624 | ||||||||
(1) | Euro Fx Currency Future | Morgan Stanley | Jun-22 | (139,038 | ) | 298 | ||||||||
(4) | Corn Future | Morgan Stanley | Sep-22 | (132,400 | ) | (6,806 | ) | |||||||
(3) | Soybean Oil Future | Morgan Stanley | May-22 | (131,484 | ) | 5,590 | ||||||||
(1) | E-Mini Russ 2000 | Morgan Stanley | Jun-22 | (103,836 | ) | 515 | ||||||||
(1) | FTSE 100 Index Future | Morgan Stanley | Jun-22 | (96,609 | ) | (1,462 | ) | |||||||
(1) | Soybean Future | Morgan Stanley | Nov-22 | (73,600 | ) | 2,551 | ||||||||
(1) | Cotton No.2 Future | Morgan Stanley | Jul-22 | (59,775 | ) | (6,259 | ) | |||||||
(1) | Wheat Future (Cbt) | Morgan Stanley | Jul-22 | (51,200 | ) | 1,076 | ||||||||
(1) | Cocoa Future | Morgan Stanley | May-22 | (25,579 | ) | (921 | ) |
AUD - Australian Dollar
GBP - British Pounds
CAN - Canadian Dollar
CHF - Swiss Franc
JPN - Japanese Yen
USD - United States Dollar
1 | These investments are not direct holdings of the Fund. The holdings were determined based on the absolute notional values of the positions within the underlying swap basket. This basket contains only 34 investments. |
See accompanying Notes to Consolidated Financial Statements.
15 |
AXS Managed Futures Strategy Fund | ||
CONSOLIDATED SUMMARY OF INVESTMENTS | ||
As of March 31, 2022 (Unaudited) |
Security Type | Percent of Total Net Assets | |||
Short-Term Investments | 14.7 | % | ||
Total Investments | 14.7 | % | ||
Other Assets in Excess of Liabilities | 85.3 | % | ||
Total Net Assets | 100.0 | % |
See accompanying Notes to Consolidated Financial Statements.
16 |
AXS Multi-Strategy Alternatives Fund |
SCHEDULE OF INVESTMENTS |
As of March 31, 2022 (Unaudited) |
Number of Shares | Value | |||||||
COMMON STOCKS — 66.5% | ||||||||
AEROSPACE/DEFENSE — 1.6% | ||||||||
1,085 | Curtiss-Wright Corp. | $ | 162,923 | |||||
235 | Northrop Grumman Corp. | 105,097 | ||||||
268,020 | ||||||||
APPAREL — 1.6% | ||||||||
1,900 | PVH Corp. | 145,559 | ||||||
3,435 | Tapestry, Inc. | 127,610 | ||||||
273,169 | ||||||||
AUTO MANUFACTURERS — 1.9% | ||||||||
515 | Cummins, Inc. | 105,632 | ||||||
190 | Tesla, Inc.* | 204,744 | ||||||
310,376 | ||||||||
AUTO PARTS & EQUIPMENT — 1.1% | ||||||||
4,600 | BorgWarner, Inc. | 178,940 | ||||||
BANKS — 4.5% | ||||||||
9,600 | First BanCorp/Puerto Rico1 | 125,952 | ||||||
5,395 | Hanmi Financial Corp. | 132,771 | ||||||
10,180 | Old Second Bancorp, Inc. | 147,712 | ||||||
6,645 | PCB Bancorp | 152,503 | ||||||
3,045 | Regions Financial Corp. | 67,782 | ||||||
660 | Western Alliance Bancorp | 54,661 | ||||||
1,035 | Zions Bancorp N.A. | 67,854 | ||||||
749,235 | ||||||||
BIOTECHNOLOGY — 1.9% | ||||||||
170 | Bio-Rad Laboratories, Inc. - Class A* | 95,749 | ||||||
2,305 | Corteva, Inc. | 132,491 | ||||||
1,515 | Gilead Sciences, Inc. | 90,067 | ||||||
318,307 | ||||||||
BUILDING MATERIALS — 1.0% | ||||||||
1,955 | Boise Cascade Co. | 135,814 | ||||||
400 | Builders FirstSource, Inc.* | 25,816 | ||||||
161,630 | ||||||||
CHEMICALS — 1.7% | ||||||||
1,240 | CF Industries Holdings, Inc. | 127,794 | ||||||
1,695 | Mosaic Co. | 112,718 | ||||||
800 | Olin Corp. | 41,824 | ||||||
282,336 |
17 |
AXS Multi-Strategy Alternatives Fund |
SCHEDULE OF INVESTMENTS - Continued |
As of March 31, 2022 (Unaudited) |
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
COMMERCIAL SERVICES — 1.8% | ||||||||
105 | Avis Budget Group, Inc.* | $ | 27,646 | |||||
2,795 | Heidrick & Struggles International, Inc. | 110,626 | ||||||
11,385 | Perdoceo Education Corp.* | 130,700 | ||||||
80 | United Rentals, Inc.* | 28,417 | ||||||
297,389 | ||||||||
COMPUTERS — 2.4% | ||||||||
995 | Apple, Inc. | 173,737 | ||||||
4,530 | Western Digital Corp.* | 224,914 | ||||||
398,651 | ||||||||
DIVERSIFIED FINANCIAL SERVICES — 3.4% | ||||||||
520 | Ameriprise Financial, Inc. | 156,187 | ||||||
520 | Capital One Financial Corp. | 68,271 | ||||||
3,395 | Enova International, Inc.* | 128,908 | ||||||
2,215 | Jefferies Financial Group, Inc. | 72,763 | ||||||
15,280 | Medallion Financial Corp. | 129,880 | ||||||
556,009 | ||||||||
ELECTRONICS — 1.6% | ||||||||
960 | Garmin Ltd.1 | 113,866 | ||||||
7,310 | Knowles Corp.* | 157,384 | ||||||
271,250 | ||||||||
ENTERTAINMENT — 0.8% | ||||||||
1,560 | Monarch Casino & Resort, Inc.* | 136,079 | ||||||
FOREST PRODUCTS & PAPER — 0.9% | ||||||||
5,230 | Schweitzer-Mauduit International, Inc. | 143,825 | ||||||
HEALTHCARE-PRODUCTS — 2.4% | ||||||||
24,980 | Co-Diagnostics, Inc.* | 154,377 | ||||||
1,870 | Hologic, Inc.* | 143,653 | ||||||
445 | ResMed, Inc. | 107,917 | ||||||
405,947 | ||||||||
HEALTHCARE-SERVICES — 2.9% | ||||||||
315 | Chemed Corp. | 159,563 | ||||||
2,430 | Fulgent Genetics, Inc.* | 151,656 | ||||||
375 | Humana, Inc. | 163,189 | ||||||
474,408 | ||||||||
HOME BUILDERS — 0.7% | ||||||||
2,025 | Century Communities, Inc. | 108,479 |
18 |
AXS Multi-Strategy Alternatives Fund |
SCHEDULE OF INVESTMENTS - Continued |
As of March 31, 2022 (Unaudited) |
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
INSURANCE — 3.2% | ||||||||
255 | Everest Re Group Ltd.1 | $ | 76,852 | |||||
1,060 | Hanover Insurance Group, Inc. | 158,491 | ||||||
1,945 | Hartford Financial Services Group, Inc. | 139,671 | ||||||
2,205 | MetLife, Inc. | 154,967 | ||||||
529,981 | ||||||||
INTERNET — 7.3% | ||||||||
195 | Alphabet, Inc. - Class A* | 542,363 | ||||||
55 | Amazon.com, Inc.* | 179,297 | ||||||
1,130 | Baidu, Inc. - ADR*,1 | 149,499 | ||||||
430 | Meta Platforms, Inc. - Class A* | 95,615 | ||||||
305 | Netflix, Inc.* | 114,250 | ||||||
3,410 | Twitter, Inc.* | 131,933 | ||||||
1,212,957 | ||||||||
IRON/STEEL — 1.1% | ||||||||
1,385 | Cleveland-Cliffs, Inc.* | 44,611 | ||||||
290 | Nucor Corp. | 43,108 | ||||||
505 | Steel Dynamics, Inc. | 42,132 | ||||||
1,185 | United States Steel Corp. | 44,722 | ||||||
174,573 | ||||||||
MACHINERY-CONSTRUCTION & MINING — 1.0% | ||||||||
3,930 | Argan, Inc. | 159,519 | ||||||
MACHINERY-DIVERSIFIED — 0.2% | ||||||||
100 | Deere & Co. | 41,546 | ||||||
MISCELLANEOUS MANUFACTURING — 0.8% | ||||||||
540 | Carlisle Cos., Inc. | 132,797 | ||||||
OIL & GAS — 4.2% | ||||||||
1,770 | APA Corp. | 73,154 | ||||||
840 | ConocoPhillips | 84,000 | ||||||
1,200 | Devon Energy Corp. | 70,956 | ||||||
1,180 | Diamondback Energy, Inc. | 161,754 | ||||||
725 | EOG Resources, Inc. | 86,442 | ||||||
9,020 | Marathon Oil Corp. | 226,492 | ||||||
702,798 | ||||||||
PACKAGING & CONTAINERS — 0.8% | ||||||||
2,860 | Westrock Co. | 134,506 | ||||||
PHARMACEUTICALS — 1.6% | ||||||||
5,580 | Corcept Therapeutics, Inc.* | 125,662 |
19 |
AXS Multi-Strategy Alternatives Fund |
SCHEDULE OF INVESTMENTS - Continued |
As of March 31, 2022 (Unaudited) |
Number of Shares | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
PHARMACEUTICALS (Continued) | ||||||||
480 | Eli Lilly & Co. | $ | 137,457 | |||||
263,119 | ||||||||
REITS — 2.4% | ||||||||
520 | Essex Property Trust, Inc. - REIT | 179,650 | ||||||
630 | SBA Communications Corp. - REIT | 216,783 | ||||||
396,433 | ||||||||
RETAIL — 1.7% | ||||||||
1,675 | BlueLinx Holdings, Inc.* | 120,399 | ||||||
5,275 | Shoe Carnival, Inc. | 153,819 | ||||||
274,218 | ||||||||
SEMICONDUCTORS — 3.3% | ||||||||
1,705 | Axcelis Technologies, Inc.* | 128,779 | ||||||
40,860 | EMCORE Corp.* | 151,182 | ||||||
375 | KLA Corp. | 137,273 | ||||||
8,150 | Photronics, Inc.* | 138,305 | ||||||
555,539 | ||||||||
SOFTWARE — 3.0% | ||||||||
1,150 | Microsoft Corp. | 354,557 | ||||||
6,655 | NextGen Healthcare, Inc.* | 139,156 | ||||||
493,713 | ||||||||
TELECOMMUNICATIONS — 1.1% | ||||||||
4,995 | Juniper Networks, Inc. | 185,614 | ||||||
TRANSPORTATION — 2.6% | ||||||||
1,875 | ArcBest Corp. | 150,937 | ||||||
6,890 | Covenant Logistics Group, Inc. | 148,342 | ||||||
1,100 | Matson, Inc. | 132,682 | ||||||
431,961 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $11,132,712) | 11,023,324 | |||||||
EXCHANGE-TRADED FUNDS — 18.4% | ||||||||
2,495 | Aberdeen Bloomberg All Commodity Strategy K-1 Free ETF – ETF | 71,657 | ||||||
1,200 | Aberdeen Palladium ETF Trust - ETF* | 250,680 | ||||||
5,230 | Direxion Daily S&P 500 Bull 3X – ETF | 626,554 | ||||||
8,800 | Energy Select Sector SPDR Fund – ETF | 672,672 | ||||||
15,360 | Financial Select Sector SPDR Fund – ETF | 588,595 | ||||||
850 | Invesco KBW Bank ETF | 54,179 | ||||||
4,035 | Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF | 71,177 | ||||||
675 | iShares U.S. Home Construction ETF - ETF | 40,001 |
20 |
AXS Multi-Strategy Alternatives Fund |
SCHEDULE OF INVESTMENTS - Continued |
As of March 31, 2022 (Unaudited) |
Number of Shares | Value | |||||||
EXCHANGE-TRADED FUNDS (Continued) | ||||||||
9,840 | ProShares UltraPro S&P 500 - ETF | $ | 626,119 | |||||
415 | Vaneck Agribusiness ETF | 43,384 | ||||||
TOTAL EXCHANGE-TRADED FUNDS | ||||||||
(Cost $2,205,519) | 3,045,018 | |||||||
SHORT-TERM INVESTMENTS— 14.8% | ||||||||
2,450,844 | Fidelity Investments Money Market Government Portfolio - Class I, 0.12%2,3 | 2,450,844 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $2,450,844) | 2,450,844 | |||||||
TOTAL INVESTMENTS — 99.7% | ||||||||
(Cost $15,789,075) | 16,519,186 | |||||||
Other Assets in Excess of Liabilities — 0.3% | 53,474 | |||||||
TOTAL NET ASSETS — 100.0% | $ | 16,572,660 |
ADR – American Depository Receipt
REIT – Real Estate Investment Trusts
ETF – Exchange-Traded Fund
* | Non-income producing security. |
1 | Foreign security denominated in U.S. Dollars. |
2 | All or a portion of this security is segregated as collateral for swap agreement. As of March 31, 2022, the aggregate value of those securities was $2,246,867, representing 13.6% of net assets. |
3 | The rate is the annualized seven-day yield at period end. |
See accompanying Notes to Consolidated Financial Statements.
21 |
AXS Multi-Strategy Alternatives Fund |
SCHEDULE OF INVESTMENTS - Continued |
As of March 31, 2022 (Unaudited) |
SWAP CONTRACTS
EQUITY SWAP CONTRACTS
Counterparty | Reference Entity | Pay/Receive Equity on Reference Entity | Financing Rate | Pay/Receive Frequency | Termination Date | Notional Amount | Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||
Cowen | Cowen Financial Product - AXS Multi-Strat Long | Receive | OBRF01* | Monthly | 8/31/2022 | $ | 3,307,839 | $ | - | $ | 133,759 | |||||||||||
Cowen | Cowen Financial Product - AXS Multi-Strat Short | Pay | OBRF01* | Monthly | 8/31/2022 | (3,294,453 | ) | - | (67,374 | ) | ||||||||||||
TOTAL EQUITY SWAP CONTRACTS | $ | 66,385 |
* | OBFR01 - Overnight Bank Funding Rate, 0.32% as of March 31, 2022. |
Equity Swap Top 50 Holdings^
Cowen Financial Product - AXS Multi-Strat Long | EQUITIES |
Number of Shares | Description | Notional Value | Percentage of Equity Swap's Notional Amount | |||||||||
3,045 | Invesco QQQ Trust Series 1 ETF | $ | 1,103,934 | 33.37 | % | |||||||
3,180 | SPDR Dow Jones Industrial Average ETF | 1,102,919 | 33.34 | % | ||||||||
5,280 | iShares S&P 100 ETF | 1,100,986 | 33.29 | % |
Cowen Financial Product - AXS Multi-Strat Short | EQUITIES |
Number of Shares | Description | Notional Value | Percentage of Equity Swap's Notional Amount | |||||||||
(6,995 | ) | Invesco S&P 500 Equal Weight ETF | $ | (1,103,182 | ) | 33.49 | % | |||||
(2,235 | ) | SPDR S&P MidCap 400 ETF | (1,096,156 | ) | 33.27 | % | ||||||
(5,335 | ) | iShares Russell 2000 ETF | (1,095,115 | ) | 33.24 | % |
^ | These investments are not direct holdings of the Fund. The holdings were determined based on the absolute notional values of the positions within the underlying swap basket. This basket contains only 6 investments. |
See accompanying Notes to Consolidated Financial Statements.
22 |
AXS Multi-Strategy Alternatives Fund |
SUMMARY OF INVESTMENTS |
As of March 31, 2022 (Unaudited) |
Security Type/Industry | Percent of Total Net Assets | |||
Common Stocks | ||||
Internet | 7.3 | % | ||
Banks | 4.5 | % | ||
Oil & Gas | 4.2 | % | ||
Diversified Financial Services | 3.4 | % | ||
Semiconductors | 3.3 | % | ||
Insurance | 3.2 | % | ||
Software | 3.0 | % | ||
Healthcare-Services | 2.9 | % | ||
Transportation | 2.6 | % | ||
Computers | 2.4 | % | ||
Healthcare-Products | 2.4 | % | ||
REITS | 2.4 | % | ||
Auto Manufacturers | 1.9 | % | ||
Biotechnology | 1.9 | % | ||
Commercial Services | 1.8 | % | ||
Chemicals | 1.7 | % | ||
Retail | 1.7 | % | ||
Pharmaceuticals | 1.6 | % | ||
Apparel | 1.6 | % | ||
Aerospace/Defense | 1.6 | % | ||
Electronics | 1.6 | % | ||
Iron/Steel | 1.1 | % | ||
Auto Parts & Equipment | 1.1 | % | ||
Telecommunications | 1.1 | % | ||
Machinery-Construction & Mining | 1.0 | % | ||
Building Materials | 1.0 | % | ||
Forest Products & Paper | 0.9 | % | ||
Miscellaneous Manufacturing | 0.8 | % | ||
Packaging & Containers | 0.8 | % | ||
Entertainment | 0.8 | % | ||
Home Builders | 0.7 | % | ||
Machinery-Diversified | 0.2 | % | ||
Total Common Stocks | 66.5 | % | ||
Exchange-Traded Funds | 18.4 | % | ||
Short-Term Investments | 14.8 | % | ||
Total Investments | 99.7 | % | ||
Other Assets in Excess of Liabilities | 0.3 | % | ||
Total Net Assets | 100.0 | % |
See accompanying Notes to Consolidated Financial Statements.
23 |
AXS Sustainable Income Fund |
SCHEDULE OF INVESTMENTS |
As of March 31, 2022 (Unaudited) |
Principal Amount | Value | |||||||
CORPORATE BONDS — 89.0% | ||||||||
ADVERTISING — 1.9% | ||||||||
Clear Channel Outdoor Holdings, Inc. | ||||||||
$ | 27,000 | 7.750%, 4/15/20281,2 | $ | 27,135 | ||||
AEROSPACE/DEFENSE — 0.7% | ||||||||
Triumph Group, Inc. | ||||||||
8,000 | 8.875%, 6/1/20241,2 | 8,449 | ||||||
2,000 | 6.250%, 9/15/20241,2 | 1,989 | ||||||
10,438 | ||||||||
AIRLINES — 3.5% | ||||||||
American Airlines, Inc. | ||||||||
33,000 | 11.750%, 7/15/20252 | 38,519 | ||||||
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd. | ||||||||
12,000 | 5.750%, 1/20/20261,2,3 | 12,007 | ||||||
50,526 | ||||||||
AUTO PARTS & EQUIPMENT — 2.9% | ||||||||
American Axle & Manufacturing, Inc. | ||||||||
9,000 | 6.875%, 7/1/20281 | 8,960 | ||||||
Clarios Global LP | ||||||||
12,000 | 6.750%, 5/15/20251,2,3 | 12,426 | ||||||
Tenneco, Inc. | ||||||||
20,000 | 5.375%, 12/15/20241 | 19,707 | ||||||
41,093 | ||||||||
BUILDING MATERIALS — 1.8% | ||||||||
CP Atlas Buyer, Inc. | ||||||||
18,000 | 7.000%, 12/1/20281,2 | 15,348 | ||||||
Koppers, Inc. | ||||||||
11,000 | 6.000%, 2/15/20251,2 | 10,780 | ||||||
26,128 | ||||||||
CHEMICALS — 8.0% | ||||||||
CVR Partners LP / CVR Nitrogen Finance Corp. | ||||||||
8,000 | 6.125%, 6/15/20281,2 | 7,998 | ||||||
GPD Cos., Inc. | ||||||||
24,000 | 10.125%, 4/1/20261,2 | 24,960 | ||||||
Innophos Holdings, Inc. | ||||||||
15,000 | 9.375%, 2/15/20281,2 | 15,900 | ||||||
Iris Holdings, Inc. | ||||||||
5,000 | 8.750%, 2/15/20261,2 | 5,000 | ||||||
Polar U.S. Borrower LLC / Schenectady International Group, Inc. | ||||||||
19,000 | 6.750%, 5/15/20261,2 | 16,197 | ||||||
Rayonier AM Products, Inc. | ||||||||
27,000 | 7.625%, 1/15/20261,2 | 26,730 |
24 |
AXS Sustainable Income Fund |
SCHEDULE OF INVESTMENTS - Continued |
As of March 31, 2022 (Unaudited) |
Principal Amount | Value | |||||||
CORPORATE BONDS (Continued) | ||||||||
CHEMICALS (Continued) | ||||||||
Venator Finance Sarl / Venator Materials LLC | ||||||||
$ | 17,000 | 9.500%, 7/1/20251,2,3 | $ | 17,765 | ||||
114,550 | ||||||||
COMMERCIAL SERVICES — 1.5% | ||||||||
Alta Equipment Group, Inc. | ||||||||
9,000 | 5.625%, 4/15/20261,2 | 8,554 | ||||||
Prime Security Services Borrower LLC / Prime Finance, Inc. | ||||||||
8,000 | 5.250%, 4/15/20242 | 8,180 | ||||||
WASH Multifamily Acquisition, Inc. | ||||||||
5,000 | 5.750%, 4/15/20261,2 | 5,013 | ||||||
21,747 | ||||||||
COMPUTERS — 2.5% | ||||||||
NCR Corp. | ||||||||
6,000 | 5.750%, 9/1/20271,2 | 6,000 | ||||||
Unisys Corp. | ||||||||
12,000 | 6.875%, 11/1/20271,2 | 12,537 | ||||||
Virtusa Corp. | ||||||||
19,000 | 7.125%, 12/15/20281,2 | 17,670 | ||||||
36,207 | ||||||||
DISTRIBUTION/WHOLESALE — 1.3% | ||||||||
BCPE Empire Holdings, Inc. | ||||||||
20,000 | 7.625%, 5/1/20271,2 | 18,769 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 3.3% | ||||||||
LFS Topco LLC | ||||||||
13,000 | 5.875%, 10/15/20261,2 | 12,188 | ||||||
Nationstar Mortgage Holdings, Inc. | ||||||||
15,000 | 6.000%, 1/15/20271,2 | 15,264 | ||||||
OneMain Finance Corp. | ||||||||
8,000 | 5.625%, 3/15/2023 | 8,128 | ||||||
12,000 | 6.125%, 3/15/20241 | 12,300 | ||||||
47,880 | ||||||||
ENGINEERING & CONSTRUCTION — 2.7% | ||||||||
Artera Services LLC | ||||||||
23,000 | 9.033%, 12/4/20251,2 | 22,713 | ||||||
Railworks Holdings LP / Railworks Rally, Inc. | ||||||||
15,000 | 8.250%, 11/15/20281,2 | 15,402 | ||||||
38,115 |
25 |
AXS Sustainable Income Fund |
SCHEDULE OF INVESTMENTS - Continued |
As of March 31, 2022 (Unaudited) |
Principal Amount | Value | |||||||
CORPORATE BONDS (Continued) | ||||||||
ENTERTAINMENT — 1.8% | ||||||||
Cinemark USA, Inc. | ||||||||
$ | 7,000 | 5.875%, 3/15/20261,2 | $ | 6,842 | ||||
16,000 | 5.250%, 7/15/20281,2 | 14,800 | ||||||
Powdr Corp. | ||||||||
4,000 | 6.000%, 8/1/20251,2 | 4,090 | ||||||
25,732 | ||||||||
FOOD — 1.3% | ||||||||
H-Food Holdings LLC / Hearthside Finance Co., Inc. | ||||||||
19,000 | 8.500%, 6/1/20261,2 | 18,192 | ||||||
HEALTHCARE-SERVICES — 6.9% | ||||||||
Cano Health LLC | ||||||||
12,000 | 6.250%, 10/1/20281,2 | 11,520 | ||||||
CHS/Community Health Systems, Inc. | ||||||||
20,000 | 8.000%, 3/15/20261,2 | 20,829 | ||||||
ModivCare, Inc. | ||||||||
16,000 | 5.875%, 11/15/20251,2 | 16,160 | ||||||
RP Escrow Issuer LLC | ||||||||
15,000 | 5.250%, 12/15/20251,2 | 14,647 | ||||||
Select Medical Corp. | ||||||||
15,000 | 6.250%, 8/15/20261,2 | 15,494 | ||||||
Tenet Healthcare Corp. | ||||||||
4,000 | 4.625%, 7/15/20241 | 4,017 | ||||||
U.S. Acute Care Solutions LLC | ||||||||
16,000 | 6.375%, 3/1/20261,2 | 15,800 | ||||||
98,467 | ||||||||
HOME BUILDERS — 2.8% | ||||||||
New Home Co., Inc. | ||||||||
41,000 | 7.250%, 10/15/20251,2 | 39,640 | ||||||
INTERNET — 1.3% | ||||||||
Uber Technologies, Inc. | ||||||||
18,000 | 8.000%, 11/1/20261,2 | 19,129 | ||||||
IRON/STEEL — 1.3% | ||||||||
TMS International Corp. | ||||||||
20,000 | 6.250%, 4/15/20291,2 | 19,000 | ||||||
LEISURE TIME — 1.6% | ||||||||
Carnival Corp. | ||||||||
18,000 | 7.625%, 3/1/20261,2,3 | 18,138 |
26 |
AXS Sustainable Income Fund |
SCHEDULE OF INVESTMENTS - Continued |
As of March 31, 2022 (Unaudited) |
Principal Amount | Value | |||||||
CORPORATE BONDS (Continued) | ||||||||
LEISURE TIME (Continued) | ||||||||
Royal Caribbean Cruises Ltd. | ||||||||
$ | 5,000 | 5.500%, 8/31/20261,2,3 | $ | 4,818 | ||||
22,956 | ||||||||
LODGING — 0.1% | ||||||||
Marriott Ownership Resorts, Inc. | ||||||||
2,000 | 6.125%, 9/15/20251,2 | 2,050 | ||||||
MACHINERY-CONSTRUCTION & MINING — 0.7% | ||||||||
Manitowoc Co., Inc. | ||||||||
9,000 | 9.000%, 4/1/20261,2 | 9,384 | ||||||
MACHINERY-DIVERSIFIED — 0.8% | ||||||||
Titan Acquisition Ltd. / Titan Co.-Borrower LLC | ||||||||
11,000 | 7.750%, 4/15/20261,2,3 | 10,945 | ||||||
MEDIA — 15.0% | ||||||||
Audacy Capital Corp. | ||||||||
14,000 | 6.500%, 5/1/20271,2 | 13,175 | ||||||
34,000 | 6.750%, 3/31/20291,2 | 31,752 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
20,000 | 5.500%, 5/1/20261,2 | 20,306 | ||||||
Cengage Learning, Inc. | ||||||||
29,000 | 9.500%, 6/15/20241,2 | 28,927 | ||||||
Directv Financing LLC / Directv Financing Co.-Obligor, Inc. | ||||||||
13,000 | 5.875%, 8/15/20271,2 | 12,796 | ||||||
DISH DBS Corp. | ||||||||
10,000 | 7.375%, 7/1/20281 | 9,475 | ||||||
Gannett Holdings LLC | ||||||||
21,000 | 6.000%, 11/1/20261,2 | 20,317 | ||||||
iHeartCommunications, Inc. | ||||||||
18,000 | 8.375%, 5/1/20271 | 18,630 | ||||||
McGraw-Hill Education, Inc. | ||||||||
10,000 | 5.750%, 8/1/20281,2 | 9,538 | ||||||
Townsquare Media, Inc. | ||||||||
40,000 | 6.875%, 2/1/20261,2 | 41,194 | ||||||
Univision Communications, Inc. | ||||||||
8,000 | 6.625%, 6/1/20271,2 | 8,380 | ||||||
214,490 | ||||||||
METAL FABRICATE/HARDWARE — 0.9% | ||||||||
Park-Ohio Industries, Inc. | ||||||||
15,000 | 6.625%, 4/15/20271 | 12,562 |
27 |
AXS Sustainable Income Fund |
SCHEDULE OF INVESTMENTS - Continued |
As of March 31, 2022 (Unaudited) |
Principal Amount | Value | |||||||
CORPORATE BONDS (Continued) | ||||||||
MISCELLANEOUS MANUFACTURING — 3.4% | ||||||||
FXI Holdings, Inc. | ||||||||
$ | 9,000 | 7.875%, 11/1/20241,2 | $ | 8,964 | ||||
27,000 | 12.250%, 11/15/20261,2 | 29,202 | ||||||
LSB Industries, Inc. | ||||||||
10,000 | 6.250%, 10/15/20281,2 | 10,163 | ||||||
48,329 | ||||||||
PACKAGING & CONTAINERS — 3.6% | ||||||||
LABL, Inc. | ||||||||
10,000 | 6.750%, 7/15/20261,2 | 9,887 | ||||||
Mauser Packaging Solutions Holding Co. | ||||||||
18,000 | 8.500%, 4/15/20241,2 | 18,315 | ||||||
23,000 | 7.250%, 4/15/20251,2 | 22,796 | ||||||
50,998 | ||||||||
PHARMACEUTICALS — 1.2% | ||||||||
AdaptHealth LLC | ||||||||
12,000 | 6.125%, 8/1/20281,2 | 11,910 | ||||||
Bausch Health Americas, Inc. | ||||||||
5,000 | 8.500%, 1/31/20271,2 | 4,996 | ||||||
16,906 | ||||||||
REITS — 1.8% | ||||||||
Apollo Commercial Real Estate Finance, Inc. | ||||||||
10,000 | 5.375%, 10/15/20234 | 9,950 | ||||||
iStar, Inc. | ||||||||
14,000 | 4.750%, 10/1/20241 | 14,114 | ||||||
Starwood Property Trust, Inc. | ||||||||
2,000 | 3.750%, 12/31/20241,2 | 1,950 | ||||||
26,014 | ||||||||
RETAIL — 2.9% | ||||||||
Dave & Buster's, Inc. | ||||||||
13,000 | 7.625%, 11/1/20251,2 | 13,678 | ||||||
Guitar Center, Inc. | ||||||||
12,000 | 8.500%, 1/15/20261,2 | 12,244 | ||||||
LSF9 Atlantis Holdings LLC / Victra Finance Corp. | ||||||||
16,000 | 7.750%, 2/15/20261,2 | 15,465 | ||||||
41,387 | ||||||||
SEMICONDUCTORS — 0.7% | ||||||||
Amkor Technology, Inc. | ||||||||
10,000 | 6.625%, 9/15/20271,2 | 10,330 |
28 |
AXS Sustainable Income Fund |
SCHEDULE OF INVESTMENTS - Continued |
As of March 31, 2022 (Unaudited) |
Principal Amount | Value | |||||||
CORPORATE BONDS (Continued) | ||||||||
SOFTWARE — 3.1% | ||||||||
Rocket Software, Inc. | ||||||||
$ | 25,000 | 6.500%, 2/15/20291,2 | $ | 22,688 | ||||
SS&C Technologies, Inc. | ||||||||
7,000 | 5.500%, 9/30/20271,2 | 7,083 | ||||||
Veritas US, Inc. / Veritas Bermuda Ltd. | ||||||||
15,000 | 7.500%, 9/1/20251,2 | 14,241 | ||||||
44,012 | ||||||||
TELECOMMUNICATIONS — 7.7% | ||||||||
Avaya, Inc. | ||||||||
23,000 | 6.125%, 9/15/20281,2 | 22,682 | ||||||
CommScope Technologies LLC | ||||||||
18,000 | 6.000%, 6/15/20251,2 | 17,190 | ||||||
Level 3 Financing, Inc. | ||||||||
20,000 | 5.375%, 5/1/20251 | 20,190 | ||||||
Lumen Technologies, Inc. | ||||||||
20,000 | 6.750%, 12/1/2023 | 20,767 | ||||||
Sprint Corp. | ||||||||
20,000 | 7.875%, 9/15/2023 | 21,250 | ||||||
Viasat, Inc. | ||||||||
9,000 | 5.625%, 4/15/20271,2 | 8,865 | ||||||
110,944 | ||||||||
TOTAL CORPORATE BONDS | ||||||||
(Cost $1,297,381) | 1,274,055 |
Number of Shares | ||||||||
MEDIUM TERM NOTES — 0.4% | ||||||||
DIVERSIFIED FINANCIAL SERVICES — 0.4% | ||||||||
5,000 | Navient Corp. | 5,062 | ||||||
TOTAL MEDIUM TERM NOTES | ||||||||
(Cost $5,043) | 5,062 |
29 |
AXS Sustainable Income Fund |
SCHEDULE OF INVESTMENTS - Continued |
As of March 31, 2022 (Unaudited) |
Principal Amount | Value | |||||||
SHORT-TERM INVESTMENTS — 11.1% | ||||||||
$ | 159,350 | UMB Bank demand deposit, 0.01%5 | $ | 159,350 | ||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $159,350) | 159,350 | |||||||
TOTAL INVESTMENTS — 100.5% | ||||||||
(Cost $1,461,774) | 1,438,467 | |||||||
Liabilities in Excess of Other Assets — (0.5)% | (7,446 | ) | ||||||
TOTAL NET ASSETS — 100.0% | $ | 1,431,021 |
LP – Limited Partnership
LLC – Limited Liability Company
1 | Callable. |
2 | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities are restricted and may be resold in transactions exempt from registration normally to qualified institutional buyers. The total value of these securities is $1,094,005, which represents 76.5% of total net assets of the Fund. |
3 | Foreign security denominated in U.S. Dollars. |
4 | Convertible security. |
5 | The rate is the annualized seven-day yield at period end. |
See accompanying Notes to Consolidated Financial Statements.
30 |
AXS Sustainable Income Fund |
SUMMARY OF INVESTMENTS |
As of March 31, 2022 (Unaudited) |
Security Type/Industry | Percent of Total Net Assets | |||
Corporate Bonds | ||||
Media | 15.0 | % | ||
Chemicals | 8.0 | % | ||
Telecommunications | 7.7 | % | ||
Healthcare-Services | 6.9 | % | ||
Packaging & Containers | 3.6 | % | ||
Airlines | 3.5 | % | ||
Miscellaneous Manufacturing | 3.4 | % | ||
Diversified Financial Services | 3.3 | % | ||
Software | 3.1 | % | ||
Auto Parts & Equipment | 2.9 | % | ||
Retail | 2.9 | % | ||
Home Builders | 2.8 | % | ||
Engineering & Construction | 2.7 | % | ||
Computers | 2.5 | % | ||
Advertising | 1.9 | % | ||
REITS | 1.8 | % | ||
Entertainment | 1.8 | % | ||
Building Materials | 1.8 | % | ||
Leisure Time | 1.6 | % | ||
Commercial Services | 1.5 | % | ||
Internet | 1.3 | % | ||
Food | 1.3 | % | ||
Iron/Steel | 1.3 | % | ||
Distribution/Wholesale | 1.3 | % | ||
Pharmaceuticals | 1.2 | % | ||
Metal Fabricate/Hardware | 0.9 | % | ||
Machinery-Diversified | 0.8 | % | ||
Machinery-Construction & Mining | 0.7 | % | ||
Aerospace/Defense | 0.7 | % | ||
Semiconductors | 0.7 | % | ||
Lodging | 0.1 | % | ||
Total Corporate Bonds | 89.0 | % | ||
Medium Term Notes | ||||
Diversified Financial Services | 0.4 | % | ||
Total Medium Term Notes | 0.4 | % | ||
Short-Term Investments | 11.1 | % | ||
Total Investments | 100.5 | % | ||
Liabilities in Excess of Other Assets | (0.5 | )% | ||
Total Net Assets | 100.0 | % |
See accompanying Notes to Consolidated Financial Statements.
31 |
AXS Thomson Reuters Private Equity Return Tracker Fund
SCHEDULE OF INVESTMENTS
As of March 31, 2022 (Unaudited)
Number of Shares | Value | |||||||
COMMON STOCKS — 93.8% | ||||||||
AEROSPACE/DEFENSE — 2.2% | ||||||||
795 | Boeing Co.* | $ | 152,242 | |||||
374 | Lockheed Martin Corp. | 165,084 | ||||||
2,037 | Raytheon Technologies Corp. | 201,806 | ||||||
519,132 | ||||||||
AGRICULTURE — 1.3% | ||||||||
1,868 | Altria Group, Inc. | 97,603 | ||||||
524 | Archer-Daniels-Midland Co. | 47,296 | ||||||
1,614 | Philip Morris International, Inc. | 151,619 | ||||||
296,518 | ||||||||
APPAREL — 0.6% | ||||||||
966 | NIKE, Inc. - Class B | 129,985 | ||||||
AUTO MANUFACTURERS — 3.3% | ||||||||
2,992 | Ford Motor Co. | 50,595 | ||||||
973 | General Motors Co.* | 42,559 | ||||||
617 | Tesla, Inc.*,1 | 664,879 | ||||||
758,033 | ||||||||
BANKS — 5.2% | ||||||||
5,978 | Bank of America Corp. | 246,413 | ||||||
1,668 | Citigroup, Inc. | 89,071 | ||||||
270 | Goldman Sachs Group, Inc. | 89,127 | ||||||
2,414 | JPMorgan Chase & Co. | 329,076 | ||||||
1,164 | Morgan Stanley | 101,734 | ||||||
341 | PNC Financial Services Group, Inc. | 62,897 | ||||||
1,078 | Truist Financial Corp. | 61,123 | ||||||
1,100 | U.S. Bancorp | 58,465 | ||||||
3,313 | Wells Fargo & Co. | 160,548 | ||||||
1,198,454 | ||||||||
BEVERAGES — 2.7% | ||||||||
4,283 | Coca-Cola Co. | 265,546 | ||||||
182 | Constellation Brands, Inc. - Class A | 41,918 | ||||||
969 | Keurig Dr Pepper, Inc. | 36,725 | ||||||
384 | Monster Beverage Corp.* | 30,682 | ||||||
1,507 | PepsiCo, Inc. | 252,242 | ||||||
627,113 | ||||||||
BIOTECHNOLOGY — 0.5% | ||||||||
263 | Amgen, Inc. | 63,599 | ||||||
809 | Corteva, Inc. | 46,501 | ||||||
110,100 |
32 |
AXS Thomson Reuters Private Equity Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2022 (Unaudited)
Number | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
BUILDING MATERIALS — 0.3% | ||||||||
92 | Martin Marietta Materials, Inc. | $ | 35,410 | |||||
205 | Vulcan Materials Co. | 37,658 | ||||||
73,068 | ||||||||
CHEMICALS — 3.6% | ||||||||
344 | Air Products and Chemicals, Inc. | 85,969 | ||||||
196 | Albemarle Corp. | 43,345 | ||||||
1,153 | Dow, Inc. | 73,469 | ||||||
878 | DuPont de Nemours, Inc. | 64,603 | ||||||
422 | Ecolab, Inc. | 74,508 | ||||||
252 | International Flavors & Fragrances, Inc. | 33,095 | ||||||
867 | Linde PLC2 | 276,946 | ||||||
331 | LyondellBasell Industries N.V. - Class A2 | 34,034 | ||||||
378 | PPG Industries, Inc. | 49,545 | ||||||
401 | Sherwin-Williams Co. | 100,098 | ||||||
835,612 | ||||||||
COMMERCIAL SERVICES — 1.3% | ||||||||
218 | Moody's Corp. | 73,555 | ||||||
804 | PayPal Holdings, Inc.* | 92,983 | ||||||
324 | S&P Global, Inc. | 132,898 | ||||||
299,436 | ||||||||
COMPUTERS — 5.3% | ||||||||
449 | Accenture PLC2 | 151,416 | ||||||
5,714 | Apple, Inc.1 | 997,722 | ||||||
604 | International Business Machines Corp. | 78,532 | ||||||
1,227,670 | ||||||||
COSMETICS/PERSONAL CARE — 2.3% | ||||||||
921 | Colgate-Palmolive Co. | 69,840 | ||||||
253 | Estee Lauder Cos., Inc. - Class A | 68,897 | ||||||
2,648 | Procter & Gamble Co.1 | 404,614 | ||||||
543,351 | ||||||||
DIVERSIFIED FINANCIAL SERVICES — 3.8% | ||||||||
518 | American Express Co. | 96,866 | ||||||
109 | BlackRock, Inc. | 83,295 | ||||||
1,357 | Charles Schwab Corp. | 114,409 | ||||||
263 | CME Group, Inc. | 62,557 | ||||||
452 | Intercontinental Exchange, Inc. | 59,718 | ||||||
588 | Mastercard, Inc. - Class A | 210,139 | ||||||
1,144 | Visa, Inc. - Class A | 253,705 | ||||||
880,689 |
33 |
AXS Thomson Reuters Private Equity Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2022 (Unaudited)
Number | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
ELECTRIC — 1.9% | ||||||||
334 | American Electric Power Co., Inc. | $ | 33,323 | |||||
239 | Consolidated Edison, Inc. | 22,629 | ||||||
562 | Dominion Energy, Inc. | 47,753 | ||||||
508 | Duke Energy Corp. | 56,723 | ||||||
618 | Exelon Corp. | 29,436 | ||||||
1,368 | NextEra Energy, Inc. | 115,883 | ||||||
341 | Public Service Enterprise Group, Inc. | 23,870 | ||||||
180 | Sempra Energy | 30,262 | ||||||
700 | Southern Co. | 50,757 | ||||||
313 | Xcel Energy, Inc. | 22,589 | ||||||
433,225 | ||||||||
ELECTRONICS — 0.8% | ||||||||
935 | Honeywell International, Inc. | 181,932 | ||||||
ENERGY-ALTERNATE SOURCES — 0.1% | ||||||||
112 | Enphase Energy, Inc.* | 22,599 | ||||||
ENVIRONMENTAL CONTROL — 0.4% | ||||||||
567 | Waste Management, Inc. | 89,870 | ||||||
FOOD — 0.8% | ||||||||
657 | General Mills, Inc. | 44,492 | ||||||
1,523 | Mondelez International, Inc. | 95,614 | ||||||
556 | Sysco Corp. | 45,397 | ||||||
185,503 | ||||||||
HEALTHCARE-PRODUCTS — 1.8% | ||||||||
929 | Abbott Laboratories | 109,957 | ||||||
349 | Danaher Corp. | 102,372 | ||||||
701 | Medtronic PLC2 | 77,776 | ||||||
205 | Thermo Fisher Scientific, Inc. | 121,083 | ||||||
411,188 | ||||||||
HEALTHCARE-SERVICES — 1.3% | ||||||||
120 | Anthem, Inc. | 58,946 | ||||||
466 | UnitedHealth Group, Inc. | 237,646 | ||||||
296,592 | ||||||||
HOUSEHOLD PRODUCTS/WARES — 0.2% | ||||||||
347 | Kimberly-Clark Corp. | 42,737 | ||||||
INSURANCE — 4.2% | ||||||||
2,397 | Berkshire Hathaway, Inc.*,1 | 845,926 | ||||||
329 | Chubb Ltd.2 | 70,373 |
34 |
AXS Thomson Reuters Private Equity Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2022 (Unaudited)
Number | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
INSURANCE (Continued) | ||||||||
379 | Marsh & McLennan Cos., Inc. | $ | 64,589 | |||||
980,888 | ||||||||
INTERNET — 10.7% | ||||||||
348 | Alphabet, Inc. - Class A*,1 | 967,910 | ||||||
306 | Amazon.com, Inc.*,1 | 997,545 | ||||||
31 | Booking Holdings, Inc.* | 72,802 | ||||||
1,533 | Meta Platforms, Inc. * | 340,878 | ||||||
277 | Netflix, Inc.* | 103,761 | ||||||
2,482,896 | ||||||||
IRON/STEEL — 0.3% | ||||||||
413 | Nucor Corp. | 61,392 | ||||||
LODGING — 0.2% | ||||||||
220 | Marriott International, Inc. - Class A* | 38,665 | ||||||
MACHINERY-CONSTRUCTION & MINING — 0.7% | ||||||||
737 | Caterpillar, Inc. | 164,218 | ||||||
MACHINERY-DIVERSIFIED — 0.7% | ||||||||
380 | Deere & Co. | 157,875 | ||||||
MEDIA — 1.6% | ||||||||
35 | Charter Communications, Inc. - Class A* | 19,093 | ||||||
3,453 | Comcast Corp. - Class A | 161,670 | ||||||
162 | Liberty Global PLC*,2 | 4,133 | ||||||
1,371 | Walt Disney Co.* | 188,046 | ||||||
372,942 | ||||||||
MINING — 0.9% | ||||||||
2,442 | Freeport-McMoRan, Inc. | 121,465 | ||||||
1,249 | Newmont Corp. | 99,233 | ||||||
220,698 | ||||||||
MISCELLANEOUS MANUFACTURING — 1.7% | ||||||||
785 | 3M Co. | 116,871 | ||||||
510 | Eaton Corp. PLC2 | 77,398 | ||||||
1,277 | General Electric Co. | 116,845 | ||||||
361 | Illinois Tool Works, Inc. | 75,593 | ||||||
386,707 | ||||||||
OIL & GAS — 4.4% | ||||||||
1,679 | Chevron Corp. | 273,392 | ||||||
1,106 | ConocoPhillips | 110,600 |
35 |
AXS Thomson Reuters Private Equity Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2022 (Unaudited)
Number | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
OIL & GAS (Continued) | ||||||||
529 | Devon Energy Corp. | $ | 31,280 | |||||
144 | Diamondback Energy, Inc. | 19,739 | ||||||
404 | EOG Resources, Inc. | 48,169 | ||||||
3,674 | Exxon Mobil Corp. | 303,436 | ||||||
216 | Hess Corp. | 23,121 | ||||||
527 | Marathon Petroleum Corp. | 45,058 | ||||||
819 | Occidental Petroleum Corp. | 46,470 | ||||||
372 | Phillips 66 | 32,137 | ||||||
211 | Pioneer Natural Resources Co. | 52,756 | ||||||
337 | Valero Energy Corp. | 34,219 | ||||||
1,020,377 | ||||||||
OIL & GAS SERVICES — 0.4% | ||||||||
578 | Baker Hughes Co. | 21,045 | ||||||
741 | Halliburton Co. | 28,061 | ||||||
1,228 | Schlumberger N.V.2 | 50,729 | ||||||
99,835 | ||||||||
PACKAGING & CONTAINERS — 0.2% | ||||||||
497 | Ball Corp. | 44,730 | ||||||
PHARMACEUTICALS — 4.4% | ||||||||
926 | AbbVie, Inc. | 150,114 | ||||||
1,163 | Bristol-Myers Squibb Co. | 84,934 | ||||||
688 | CVS Health Corp. | 69,632 | ||||||
414 | Eli Lilly & Co. | 118,557 | ||||||
1,377 | Johnson & Johnson | 244,046 | ||||||
161 | McKesson Corp. | 49,287 | ||||||
1,324 | Merck & Co., Inc. | 108,634 | ||||||
2,932 | Pfizer, Inc. | 151,790 | ||||||
246 | Zoetis, Inc. | 46,393 | ||||||
1,023,387 | ||||||||
PIPELINES — 0.5% | ||||||||
221 | Cheniere Energy, Inc. | 30,642 | ||||||
1,911 | Kinder Morgan, Inc. | 36,137 | ||||||
371 | ONEOK, Inc. | 26,204 | ||||||
1,013 | Williams Cos., Inc. | 33,844 | ||||||
126,827 | ||||||||
REITS — 1.0% | ||||||||
366 | American Tower Corp. - REIT | 91,947 | ||||||
329 | Crown Castle International Corp. - REIT | 60,733 | ||||||
559 | Prologis, Inc. - REIT | 90,267 | ||||||
242,947 |
36 |
AXS Thomson Reuters Private Equity Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2022 (Unaudited)
Number | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
RETAIL — 5.5% | ||||||||
15 | AutoZone, Inc.* | $ | 30,669 | |||||
19 | Chipotle Mexican Grill, Inc.* | 30,058 | ||||||
331 | Costco Wholesale Corp. | 190,606 | ||||||
155 | Dollar General Corp. | 34,508 | ||||||
799 | Home Depot, Inc. | 239,165 | ||||||
529 | Lowe's Cos., Inc. | 106,958 | ||||||
561 | McDonald's Corp. | 138,724 | ||||||
52 | O'Reilly Automotive, Inc.* | 35,618 | ||||||
891 | Starbucks Corp. | 81,054 | ||||||
344 | Target Corp. | 73,004 | ||||||
917 | TJX Cos., Inc. | 55,552 | ||||||
791 | Walgreens Boots Alliance, Inc. | 35,413 | ||||||
1,551 | Walmart, Inc. | 230,975 | ||||||
1,282,304 | ||||||||
SEMICONDUCTORS — 5.3% | ||||||||
1,112 | Advanced Micro Devices, Inc.* | 121,586 | ||||||
362 | Analog Devices, Inc. | 59,795 | ||||||
579 | Applied Materials, Inc. | 76,312 | ||||||
211 | Broadcom, Inc. | 132,863 | ||||||
2,610 | Intel Corp. | 129,352 | ||||||
770 | Micron Technology, Inc. | 59,975 | ||||||
1,573 | NVIDIA Corp.1 | 429,209 | ||||||
765 | QUALCOMM, Inc. | 116,907 | ||||||
623 | Texas Instruments, Inc. | 114,308 | ||||||
1,240,307 | ||||||||
SOFTWARE — 6.7% | ||||||||
321 | Adobe, Inc.* | 146,254 | ||||||
740 | Fiserv, Inc.* | 75,036 | ||||||
169 | Intuit, Inc. | 81,262 | ||||||
3,156 | Microsoft Corp.1 | 973,026 | ||||||
1,080 | Oracle Corp. | 89,348 | ||||||
614 | salesforce.com, Inc.* | 130,365 | ||||||
123 | ServiceNow, Inc.* | 68,498 | ||||||
1,563,789 | ||||||||
TELECOMMUNICATIONS — 1.3% | ||||||||
2,083 | AT&T, Inc. | 49,221 | ||||||
2,856 | Cisco Systems, Inc. | 159,251 | ||||||
197 | T-Mobile US, Inc.* | 25,285 | ||||||
1,196 | Verizon Communications, Inc. | 60,924 | ||||||
294,681 |
37 |
AXS Thomson Reuters Private Equity Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2022 (Unaudited)
Number | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
TRANSPORTATION — 3.1% | ||||||||
2,622 | CSX Corp. | $ | 98,194 | |||||
311 | FedEx Corp. | 71,962 | ||||||
312 | Norfolk Southern Corp. | 88,989 | ||||||
883 | Union Pacific Corp. | 241,244 | ||||||
986 | United Parcel Service, Inc. - Class B | 211,458 | ||||||
711,847 | ||||||||
VENTURE CAPITAL — 0.3% | ||||||||
551 | Blackstone, Inc. | 69,944 | ||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $18,072,431) | 21,750,063 |
Principal | ||||||||
SHORT-TERM INVESTMENTS — 2.3% | ||||||||
$ | 540,256 | UMB Bank Demand Deposit, 0.01%3 | 540,256 | |||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $540,256) | 540,256 | |||||||
TOTAL INVESTMENTS — 96.1% | ||||||||
(Cost $18,612,687) | 22,290,319 | |||||||
Other Assets in Excess of Liabilities — 3.9% | 900,231 | |||||||
TOTAL NET ASSETS — 100.0% | $ | 23,190,550 |
PLC – Public Limited Company
REIT – Real Estate Investment Trusts
* | Non-income producing security. |
1 | All or a portion of this security is segregated as collateral for swap agreement. As of March 31, 2022, the aggregate value of those securities was $3,195,986, representing 13.8% of net assets. |
2 | Foreign security denominated in U.S. Dollars. |
3 | The rate is the annualized seven-day yield at period end. |
See accompanying Notes to Consolidated Financial Statements.
38 |
AXS Thomson Reuters Private Equity Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2022 (Unaudited)
SWAP CONTRACTS
EQUITY SWAP CONTRACTS
Counterparty | Reference Entity | Fund Pays | Fund Receives | Pay/Receive Frequency | Termination Date | Notional Amount | Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||
BNP Paribas | BNP Paribas Index Swap1 | 1-Month Federal Funds + 0.57% | Index Return | Monthly | 4/1/22 | $ | 22,453,055 | $ | 336 | $ | 633,755 | |||||||||||
BNP Paribas | BNP Paribas Equity Basket Swap2 | 1-Month Federal Funds + 0.57% | Basket Return | Monthly | 4/1/22 | 4,550,496 | 796 | 234,585 | ||||||||||||||
TOTAL EQUITY SWAP CONTRACTS | $ | 868,340 |
1 | The BNP Paribas Index Swap is made up of the NASDAQ 100 Total Return Index, Dow Jones Industrial Average Total Return Index, and S&P 500 Total Return Index and exposure to each index was 65.90%, (65.90)%, and 95.91%, respectively. |
2 | BNP Paribas Equity Basket Swap Top 50 Holdings^ |
Number of Shares | Description | Value | Percentage of Equity Swap's Notional Amount | |||||||||
65 | Amazon.com, Inc. | $ | 201,115 | 4.42 | % | |||||||
330 | NVIDIA Corp. | 176,197 | 3.87 | % | ||||||||
75 | Alphabet, Inc. - Class A | 154,689 | 3.40 | % | ||||||||
655 | Microsoft Corp. | 154,429 | 3.39 | % | ||||||||
1,190 | Apple, Inc. | 145,359 | 3.19 | % | ||||||||
500 | Berkshire Hathaway, Inc. | 127,735 | 2.81 | % | ||||||||
320 | Meta Platforms, Inc. | 94,250 | 2.07 | % | ||||||||
130 | Tesla, Inc. | 86,831 | 1.91 | % | ||||||||
550 | Procter & Gamble Co. | 74,487 | 1.64 | % | ||||||||
85 | Sherwin-Williams Co. | 62,731 | 1.38 | % | ||||||||
545 | CSX Corp. | 52,549 | 1.15 | % | ||||||||
240 | Visa, Inc. - Class A | 50,815 | 1.12 | % | ||||||||
180 | Linde PLC | 50,425 | 1.11 | % | ||||||||
165 | Home Depot, Inc. | 50,366 | 1.11 | % | ||||||||
1,245 | Bank of America Corp. | 48,169 | 1.06 | % | ||||||||
890 | Coca-Cola Co. | 46,912 | 1.03 | % | ||||||||
285 | Johnson & Johnson | 46,840 | 1.03 | % | ||||||||
315 | PepsiCo, Inc. | 44,557 | 0.98 | % | ||||||||
125 | Mastercard, Inc. - Class A | 44,506 | 0.98 | % | ||||||||
325 | Walmart, Inc. | 44,145 | 0.97 | % | ||||||||
765 | Exxon Mobil Corp. | 42,710 | 0.94 | % | ||||||||
195 | Honeywell International, Inc. | 42,329 | 0.93 | % | ||||||||
165 | Boeing Co. | 42,029 | 0.92 | % | ||||||||
165 | PayPal Holdings, Inc. | 40,069 | 0.88 | % | ||||||||
720 | Comcast Corp. - Class A | 38,959 | 0.86 | % | ||||||||
350 | Chevron Corp. | 36,677 | 0.81 | % | ||||||||
155 | Caterpillar, Inc. | 35,940 | 0.79 | % | ||||||||
545 | Intel Corp. | 34,880 | 0.77 | % | ||||||||
205 | United Parcel Service, Inc. - Class B | 34,848 | 0.77 | % | ||||||||
690 | Wells Fargo & Co. | 33,910 | 0.75 | % | ||||||||
425 | Raytheon Technologies Corp. | 32,840 | 0.72 | % | ||||||||
165 | 3M Co. | 31,792 | 0.70 | % | ||||||||
60 | Netflix, Inc. | 31,300 | 0.69 | % | ||||||||
65 | Adobe, Inc. | 30,899 | 0.68 | % | ||||||||
595 | Cisco Systems, Inc. | 30,767 | 0.68 | % | ||||||||
80 | Deere & Co. | 29,931 | 0.66 | % | ||||||||
335 | Philip Morris International, Inc. | 29,728 | 0.65 | % | ||||||||
80 | Lockheed Martin Corp. | 29,560 | 0.65 | % | ||||||||
130 | salesforce.com, Inc. | 27,543 | 0.61 | % | ||||||||
200 | NIKE, Inc. - Class B | 26,578 | 0.58 | % | ||||||||
95 | Accenture PLC | 26,244 | 0.58 | % | ||||||||
115 | McDonald's Corp. | 25,776 | 0.57 | % | ||||||||
345 | Citigroup, Inc. | 25,099 | 0.55 | % | ||||||||
70 | S&P Global, Inc. | 24,701 | 0.54 | % | ||||||||
70 | Costco Wholesale Corp. | 24,674 | 0.54 | % | ||||||||
130 | Texas Instruments, Inc. | 24,569 | 0.54 | % | ||||||||
195 | Abbott Laboratories | 23,369 | 0.51 | % | ||||||||
610 | Pfizer, Inc. | 22,100 | 0.49 | % | ||||||||
285 | NextEra Energy, Inc. | 21,549 | 0.47 | % | ||||||||
160 | QUALCOMM, Inc. | 21,214 | 0.47 | % |
^ | These investments are not direct holdings of the Fund. The holdings were determined based on the absolute notional values of the positions within the underlying swap basket. |
See accompanying Notes to Consolidated Financial Statements.
39 |
AXS Thomson Reuters Private Equity Return Tracker Fund
SUMMARY OF INVESTMENTS
As of March 31, 2022 (Unaudited)
Security Type/Industry | Percent of Total Net Assets | |||
Common Stocks | ||||
Internet | 10.7 | % | ||
Software | 6.7 | % | ||
Retail | 5.5 | % | ||
Computers | 5.3 | % | ||
Semiconductors | 5.3 | % | ||
Banks | 5.2 | % | ||
Pharmaceuticals | 4.4 | % | ||
Oil & Gas | 4.4 | % | ||
Insurance | 4.2 | % | ||
Diversified Financial Services | 3.8 | % | ||
Chemicals | 3.6 | % | ||
Auto Manufacturers | 3.3 | % | ||
Transportation | 3.1 | % | ||
Beverages | 2.7 | % | ||
Cosmetics/Personal Care | 2.3 | % | ||
Aerospace/Defense | 2.2 | % | ||
Electric | 1.9 | % | ||
Healthcare-Products | 1.8 | % | ||
Miscellaneous Manufacturing | 1.7 | % | ||
Media | 1.6 | % | ||
Healthcare-Services | 1.3 | % | ||
Telecommunications | 1.3 | % | ||
Agriculture | 1.3 | % | ||
Commercial Services | 1.3 | % | ||
REITS | 1.0 | % | ||
Mining | 0.9 | % | ||
Food | 0.8 | % | ||
Electronics | 0.8 | % | ||
Machinery-Diversified | 0.7 | % | ||
Machinery-Construction & Mining | 0.7 | % | ||
Apparel | 0.6 | % | ||
Biotechnology | 0.5 | % | ||
Pipelines | 0.5 | % | ||
Environmental Control | 0.4 | % | ||
Oil & Gas Services | 0.4 | % | ||
Iron/Steel | 0.3 | % | ||
Building Materials | 0.3 | % | ||
Venture Capital | 0.3 | % | ||
Packaging & Containers | 0.2 | % | ||
Household Products/Wares | 0.2 | % | ||
Lodging | 0.2 | % | ||
Energy-Alternate Sources | 0.1 | % | ||
Total Common Stocks | 93.8 | % | ||
Short-Term Investments | 2.3 | % |
40 |
AXS Thomson Reuters Private Equity Return Tracker Fund
SUMMARY OF INVESTMENTS - Continued
As of March 31, 2022 (Unaudited)
Security Type/Industry | Percent of Total Net Assets | |||
Total Investments | 96.1 | % | ||
Other Assets in Excess of Liabilities | 3.9 | % | ||
Total Net Assets | 100.0 | % |
See accompanying Notes to Consolidated Financial Statements.
41 |
AXS Thomson Reuters Venture Capital Return Tracker Fund
SCHEDULE OF INVESTMENTS
As of March 31, 2022 (Unaudited)
Number | Value | |||||||
COMMON STOCKS — 96.7% | ||||||||
AEROSPACE/DEFENSE — 1.4% | ||||||||
4,926 | Boeing Co.* | $ | 943,329 | |||||
2,330 | Lockheed Martin Corp. | 1,028,462 | ||||||
12,674 | Raytheon Technologies Corp. | 1,255,613 | ||||||
3,227,404 | ||||||||
AGRICULTURE — 0.4% | ||||||||
6,116 | Altria Group, Inc. | 319,561 | ||||||
5,276 | Philip Morris International, Inc. | 495,627 | ||||||
815,188 | ||||||||
AUTO MANUFACTURERS — 0.2% | ||||||||
354 | Tesla, Inc.* | 381,470 | ||||||
BANKS — 1.2% | ||||||||
16,746 | Bank of America Corp. | 690,270 | ||||||
4,672 | Citigroup, Inc. | 249,485 | ||||||
758 | Goldman Sachs Group, Inc. | 250,216 | ||||||
6,753 | JPMorgan Chase & Co. | 920,569 | ||||||
3,254 | Morgan Stanley | 284,400 | ||||||
9,286 | Wells Fargo & Co. | 449,999 | ||||||
2,844,939 | ||||||||
BEVERAGES — 0.7% | ||||||||
14,002 | Coca-Cola Co. | 868,124 | ||||||
4,929 | PepsiCo, Inc. | 825,016 | ||||||
1,693,140 | ||||||||
BIOTECHNOLOGY — 0.1% | ||||||||
799 | Illumina, Inc.* | 279,171 | ||||||
CHEMICALS — 0.6% | ||||||||
655 | Air Products and Chemicals, Inc. | 163,691 | ||||||
2,184 | Dow, Inc. | 139,164 | ||||||
1,650 | DuPont de Nemours, Inc. | 121,407 | ||||||
803 | Ecolab, Inc. | 141,778 | ||||||
1,641 | Linde PLC1 | 524,185 | ||||||
708 | PPG Industries, Inc. | 92,797 | ||||||
764 | Sherwin-Williams Co. | 190,710 | ||||||
1,373,732 | ||||||||
COMMERCIAL SERVICES — 5.7% | ||||||||
19,617 | Automatic Data Processing, Inc. | 4,463,652 | ||||||
54,528 | PayPal Holdings, Inc.* | 6,306,163 | ||||||
2,026 | S&P Global, Inc. | 831,025 |
42 |
AXS Thomson Reuters Venture Capital Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2022 (Unaudited)
Number | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
COMMERCIAL SERVICES (Continued) | ||||||||
7,491 | Verisk Analytics, Inc. - Class A | $ | 1,607,793 | |||||
13,208,633 | ||||||||
COMPUTERS — 11.5% | ||||||||
30,927 | Accenture PLC1 | 10,429,512 | ||||||
25,681 | Apple, Inc. | 4,484,160 | ||||||
24,390 | Cognizant Technology Solutions Corp. - Class A | 2,187,051 | ||||||
9,555 | Crowdstrike Holdings, Inc. - Class A* | 2,169,749 | ||||||
5,681 | Fortinet, Inc.* | 1,941,425 | ||||||
41,597 | International Business Machines Corp. | 5,408,442 | ||||||
26,620,339 | ||||||||
COSMETICS/PERSONAL CARE — 0.8% | ||||||||
3,009 | Colgate-Palmolive Co. | 228,173 | ||||||
830 | Estee Lauder Cos., Inc. - Class A | 226,026 | ||||||
8,658 | Procter & Gamble Co. | 1,322,942 | ||||||
1,777,141 | ||||||||
DIVERSIFIED FINANCIAL SERVICES — 9.3% | ||||||||
3,803 | Charles Schwab Corp. | 320,631 | ||||||
7,006 | Coinbase Global, Inc. - Class A* | 1,330,159 | ||||||
27,147 | Mastercard, Inc. - Class A2 | 9,701,795 | ||||||
45,330 | Visa, Inc. - Class A2 | 10,052,834 | ||||||
21,405,419 | ||||||||
ELECTRIC — 0.0% | ||||||||
47 | Duke Energy Corp. | 5,248 | ||||||
126 | NextEra Energy, Inc. | 10,673 | ||||||
64 | Southern Co. | 4,641 | ||||||
20,562 | ||||||||
ELECTRONICS — 0.6% | ||||||||
1,666 | Agilent Technologies, Inc. | 220,462 | ||||||
5,801 | Honeywell International, Inc. | 1,128,758 | ||||||
1,349,220 | ||||||||
FOOD — 0.1% | ||||||||
4,983 | Mondelez International, Inc. | 312,833 | ||||||
HEALTHCARE-PRODUCTS — 3.4% | ||||||||
11,225 | Abbott Laboratories | 1,328,591 | ||||||
468 | Align Technology, Inc.* | 204,048 | ||||||
3,009 | Baxter International, Inc. | 233,318 | ||||||
8,383 | Boston Scientific Corp.* | 371,283 | ||||||
4,247 | Danaher Corp. | 1,245,773 |
43 |
AXS Thomson Reuters Venture Capital Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2022 (Unaudited)
Number | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
HEALTHCARE-PRODUCTS (Continued) | ||||||||
3,946 | Edwards Lifesciences Corp.* | $ | 464,523 | |||||
504 | IDEXX Laboratories, Inc.* | 275,718 | ||||||
2,080 | Intuitive Surgical, Inc.* | 627,494 | ||||||
8,526 | Medtronic PLC1 | 945,960 | ||||||
812 | ResMed, Inc. | 196,918 | ||||||
2,100 | Stryker Corp. | 561,435 | ||||||
2,491 | Thermo Fisher Scientific, Inc. | 1,471,309 | ||||||
7,926,370 | ||||||||
HEALTHCARE-SERVICES — 2.0% | ||||||||
1,465 | Anthem, Inc. | 719,637 | ||||||
3,209 | Centene Corp.* | 270,166 | ||||||
1,460 | HCA Healthcare, Inc. | 365,905 | ||||||
690 | Humana, Inc. | 300,267 | ||||||
5,670 | UnitedHealth Group, Inc. | 2,891,530 | ||||||
4,547,505 | ||||||||
HOUSEHOLD PRODUCTS/WARES — 0.1% | ||||||||
1,138 | Kimberly-Clark Corp. | 140,156 | ||||||
INSURANCE — 2.3% | ||||||||
14,889 | Berkshire Hathaway, Inc.* | 5,254,477 | ||||||
INTERNET — 18.9% | ||||||||
15,621 | Airbnb, Inc. - Class A* | 2,683,063 | ||||||
3,623 | Alphabet, Inc. - Class A*,2 | 10,076,831 | ||||||
188 | Amazon.com, Inc.* | 612,871 | ||||||
28,659 | eBay, Inc. | 1,641,014 | ||||||
1,727 | MercadoLibre, Inc.* | 2,054,232 | ||||||
46,422 | Meta Platforms, Inc. * | 10,322,396 | ||||||
19,099 | Netflix, Inc.* | 7,154,294 | ||||||
4,520 | Palo Alto Networks, Inc.* | 2,813,745 | ||||||
51,066 | Snap, Inc. - Class A* | 1,837,865 | ||||||
37,034 | Twitter, Inc.* | 1,432,846 | ||||||
81,325 | Uber Technologies, Inc.* | 2,901,676 | ||||||
43,530,833 | ||||||||
MACHINERY-CONSTRUCTION & MINING — 0.5% | ||||||||
4,599 | Caterpillar, Inc. | 1,024,749 | ||||||
MACHINERY-DIVERSIFIED — 0.4% | ||||||||
2,373 | Deere & Co. | 985,887 | ||||||
MEDIA — 0.1% | ||||||||
916 | Altice USA, Inc. - Class A* | 11,432 |
44 |
AXS Thomson Reuters Venture Capital Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2022 (Unaudited)
Number | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
MEDIA (Continued) | ||||||||
8 | Cable One, Inc. | $ | 11,714 | |||||
243 | Charter Communications, Inc. - Class A* | 132,561 | ||||||
1,168 | Liberty Global PLC*,1 | 29,796 | ||||||
782 | Walt Disney Co.* | 107,259 | ||||||
292,762 | ||||||||
MINING — 0.2% | ||||||||
4,628 | Freeport-McMoRan, Inc. | 230,197 | ||||||
2,371 | Newmont Corp. | 188,376 | ||||||
418,573 | ||||||||
OIL & GAS — 0.4% | ||||||||
1,459 | Chevron Corp. | 237,569 | ||||||
961 | ConocoPhillips | 96,100 | ||||||
358 | EOG Resources, Inc. | 42,684 | ||||||
3,190 | Exxon Mobil Corp. | 263,462 | ||||||
458 | Marathon Petroleum Corp. | 39,159 | ||||||
702 | Occidental Petroleum Corp. | 39,832 | ||||||
324 | Phillips 66 | 27,990 | ||||||
187 | Pioneer Natural Resources Co. | 46,756 | ||||||
793,552 | ||||||||
OIL & GAS SERVICES — 0.0% | ||||||||
1,054 | Schlumberger N.V.1 | 43,541 | ||||||
PACKAGING & CONTAINERS — 0.0% | ||||||||
950 | Ball Corp. | 85,500 | ||||||
PHARMACEUTICALS — 1.4% | ||||||||
1,482 | AbbVie, Inc. | 240,247 | ||||||
1,819 | Becton, Dickinson and Co. | 483,854 | ||||||
2,004 | Cigna Corp. | 480,179 | ||||||
8,353 | CVS Health Corp. | 845,407 | ||||||
546 | Dexcom, Inc.* | 279,334 | ||||||
665 | Eli Lilly & Co. | 190,436 | ||||||
2,206 | Johnson & Johnson | 390,969 | ||||||
2,123 | Merck & Co., Inc. | 174,192 | ||||||
4,707 | Pfizer, Inc. | 243,681 | ||||||
3,328,299 | ||||||||
PIPELINES — 0.0% | ||||||||
1,698 | Kinder Morgan, Inc. | 32,109 | ||||||
RETAIL — 0.4% | ||||||||
452 | Home Depot, Inc. | 135,297 |
45 |
AXS Thomson Reuters Venture Capital Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2022 (Unaudited)
Number | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
RETAIL (Continued) | ||||||||
5,073 | Walmart, Inc. | $ | 755,471 | |||||
890,768 | ||||||||
SEMICONDUCTORS — 1.2% | ||||||||
2,682 | Advanced Micro Devices, Inc.* | 293,250 | ||||||
1,403 | Applied Materials, Inc. | 184,915 | ||||||
509 | Broadcom, Inc. | 320,507 | ||||||
6,301 | Intel Corp. | 312,278 | ||||||
1,841 | Micron Technology, Inc. | 143,396 | ||||||
3,801 | NVIDIA Corp. | 1,037,141 | ||||||
1,844 | QUALCOMM, Inc. | 281,800 | ||||||
1,509 | Texas Instruments, Inc. | 276,871 | ||||||
2,850,158 | ||||||||
SOFTWARE — 31.0% | ||||||||
36,092 | Activision Blizzard, Inc. | 2,891,330 | ||||||
20,944 | Adobe, Inc.*,2 | 9,542,505 | ||||||
5,285 | Atlassian Corp. PLC - Class A*,1 | 1,552,892 | ||||||
10,200 | Autodesk, Inc.* | 2,186,370 | ||||||
12,201 | Cadence Design Systems, Inc.* | 2,006,576 | ||||||
1,871 | Cerner Corp. | 175,051 | ||||||
9,343 | Datadog, Inc. - Class A* | 1,415,184 | ||||||
12,547 | Electronic Arts, Inc. | 1,587,321 | ||||||
28,666 | Fidelity National Information Services, Inc. | 2,878,640 | ||||||
11,662 | Intuit, Inc. | 5,607,556 | ||||||
32,786 | Microsoft Corp.2 | 10,108,252 | ||||||
73,577 | Oracle Corp. | 6,087,025 | ||||||
4,302 | Roper Technologies, Inc. | 2,031,533 | ||||||
42,253 | salesforce.com, Inc.*,2 | 8,971,157 | ||||||
8,552 | ServiceNow, Inc.* | 4,762,523 | ||||||
12,568 | Snowflake, Inc. * | 2,879,706 | ||||||
6,651 | Synopsys, Inc.* | 2,216,579 | ||||||
7,744 | Twilio, Inc. - Class A* | 1,276,289 | ||||||
809 | Veeva Systems, Inc. - Class A* | 171,880 | ||||||
8,422 | Workday, Inc. - Class A* | 2,016,732 | ||||||
9,273 | Zoom Video Communications, Inc. - Class A* | 1,087,074 | ||||||
71,452,175 | ||||||||
TELECOMMUNICATIONS — 0.6% | ||||||||
14,849 | AT&T, Inc. | 350,882 | ||||||
6,901 | Cisco Systems, Inc. | 384,800 | ||||||
538 | Frontier Communications Parent, Inc.* | 14,886 | ||||||
2,069 | Lumen Technologies, Inc. | 23,318 | ||||||
1,377 | T-Mobile US, Inc.* | 176,738 | ||||||
8,611 | Verizon Communications, Inc. | 438,644 |
46 |
AXS Thomson Reuters Venture Capital Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2022 (Unaudited)
Number | Value | |||||||
COMMON STOCKS (Continued) | ||||||||
TELECOMMUNICATIONS (Continued) | ||||||||
488 | Vonage Holdings Corp.* | $ | 9,902 | |||||
1,399,170 | ||||||||
TRANSPORTATION — 1.2% | ||||||||
5,481 | Union Pacific Corp. | 1,497,464 | ||||||
6,121 | United Parcel Service, Inc. - Class B | 1,312,710 | ||||||
2,810,174 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $224,581,231) | 223,115,949 |
Principal | ||||||||
SHORT-TERM INVESTMENTS — 1.0% | ||||||||
$ | 2,792,046 | UMB Bank Demand Deposit, 0.01%3 | 2,402,046 | |||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $2,402,046) | 2,402,046 | |||||||
TOTAL INVESTMENTS — 97.7% | ||||||||
(Cost $226,983,277) | 225,517,995 | |||||||
Other Assets in Excess of Liabilities — 2.3% | 5,340,683 | |||||||
TOTAL NET ASSETS — 100.0% | $ | 230,858,678 |
PLC – Public Limited Company
* | Non-income producing security. |
1 | Foreign security denominated in U.S. Dollars. |
2 | All or a portion of this security is segregated as collateral for swap agreement. As of March 31, 2022, the aggregate value of those securities was $31,332,317, representing 13.6.0% of net assets. |
3 | The rate is the annualized seven-day yield at period end. |
See accompanying Notes to Consolidated Financial Statements.
47 |
AXS Thomson Reuters Venture Capital Return Tracker Fund
SCHEDULE OF INVESTMENTS - Continued
As of March 31, 2022 (Unaudited)
SWAP CONTRACTS
EQUITY SWAP CONTRACTS
Counterparty | Reference Entity | Fund Pays | Fund Receives | Pay/Receive Frequency | Termination Date | Notional Amount | Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||
BNP Paribas | BNP Paribas Index Swap1 | 0.50% | Index Return | Monthly | 4/1/22 | $ | 233,953,748 | $ | 16,570 | $ | 1,116,898 | |||||||||||
BNP Paribas | BNP Paribas Equity Basket Swap2 | 1-Month Federal Funds + 0.57% | Basket Return | Monthly | 4/1/22 | 130,670,851 | 47,196 | 4,950,768 | ||||||||||||||
TOTAL EQUITY SWAP CONTRACTS | $ | 6,067,666 |
1 | The BNP Paribas Index Swap is made up of the NASDAQ 100 Total Return Index and the S&P 500 Total Return Index and exposure to each index was 208.69% and (208.69)%, respectively. |
2 | BNP Paribas Equity Basket Swap Top 50 Holdings^ |
Number of Shares | Description | Value | Percentage of Equity Swap's Notional Amount | |||||||||
27,230 | Meta Platforms, Inc. | $ | 8,020,052 | 6.14 | % | |||||||
31,990 | PayPal Holdings, Inc. | 7,768,452 | 5.95 | % | ||||||||
11,205 | Netflix, Inc. | 5,845,200 | 4.47 | % | ||||||||
12,290 | Adobe, Inc. | 5,842,297 | 4.47 | % | ||||||||
15,925 | Mastercard, Inc. - Class A | 5,670,096 | 4.34 | % | ||||||||
26,590 | Visa, Inc. - Class A | 5,629,901 | 4.31 | % | ||||||||
24,785 | salesforce.com, Inc. | 5,251,198 | 4.02 | % | ||||||||
18,145 | Accenture PLC | 5,012,556 | 3.84 | % | ||||||||
19,235 | Microsoft Corp. | 4,535,036 | 3.47 | % | ||||||||
2,130 | Alphabet, Inc. - Class A | 4,393,168 | 3.36 | % | ||||||||
24,400 | International Business Machines Corp. | 3,251,544 | 2.49 | % | ||||||||
43,165 | Oracle Corp. | 3,028,888 | 2.32 | % | ||||||||
6,840 | Intuit, Inc. | 2,620,130 | 2.01 | % | ||||||||
47,710 | Uber Technologies, Inc. | 2,600,672 | 1.99 | % | ||||||||
5,015 | ServiceNow, Inc. | 2,508,052 | 1.92 | % | ||||||||
16,815 | Fidelity National Information Services, Inc. | 2,364,357 | 1.81 | % | ||||||||
8,735 | Berkshire Hathaway, Inc. | 2,231,530 | 1.71 | % | ||||||||
11,510 | Automatic Data Processing, Inc. | 2,169,290 | 1.66 | % | ||||||||
21,170 | Activision Blizzard, Inc. | 1,968,810 | 1.51 | % | ||||||||
15,065 | Apple, Inc. | 1,840,190 | 1.41 | % | ||||||||
5,440 | Zoom Video Communications, Inc. - Class A | 1,747,818 | 1.34 | % | ||||||||
7,370 | Snowflake, Inc. | 1,688,688 | 1.29 | % | ||||||||
5,985 | Autodesk, Inc. | 1,658,743 | 1.27 | % | ||||||||
9,160 | Airbnb, Inc. - Class A | 1,573,322 | 1.20 | % | ||||||||
29,960 | Snap, Inc. - Class A | 1,566,608 | 1.20 | % | ||||||||
4,545 | Twilio, Inc. - Class A | 1,548,754 | 1.19 | % | ||||||||
1,015 | MercadoLibre, Inc. | 1,494,222 | 1.14 | % | ||||||||
21,725 | Twitter, Inc. | 1,382,362 | 1.06 | % | ||||||||
4,940 | Workday, Inc. - Class A | 1,227,244 | 0.94 | % | ||||||||
2,230 | NVIDIA Corp. | 1,190,664 | 0.91 | % | ||||||||
14,310 | Cognizant Technology Solutions Corp. - Class A | 1,117,897 | 0.86 | % | ||||||||
16,810 | eBay, Inc. | 1,029,444 | 0.79 | % | ||||||||
5,605 | Crowdstrike Holdings, Inc. - Class A | 1,022,969 | 0.78 | % | ||||||||
2,525 | Roper Technologies, Inc. | 1,018,434 | 0.78 | % | ||||||||
7,360 | Electronic Arts, Inc. | 996,323 | 0.76 | % | ||||||||
7,160 | Cadence Design Systems, Inc. | 980,848 | 0.75 | % | ||||||||
3,905 | Synopsys, Inc. | 967,581 | 0.74 | % | ||||||||
3,105 | Atlassian Corp. PLC - Class A | 912,342 | 0.70 | % | ||||||||
1,220 | Intuitive Surgical, Inc. | 901,507 | 0.69 | % | ||||||||
2,650 | Palo Alto Networks, Inc. | 853,459 | 0.65 | % | ||||||||
6,585 | Abbott Laboratories | 789,146 | 0.60 | % | ||||||||
4,110 | Coinbase Global, Inc. - Class A | 780,325 | 0.60 | % | ||||||||
4,395 | Verisk Analytics, Inc. - Class A | 776,553 | 0.59 | % | ||||||||
3,405 | Honeywell International, Inc. | 739,123 | 0.57 | % | ||||||||
2,890 | Boeing Co. | 736,141 | 0.56 | % | ||||||||
5,080 | Procter & Gamble Co. | 687,984 | 0.53 | % | ||||||||
1,460 | Thermo Fisher Scientific, Inc. | 666,315 | 0.51 | % | ||||||||
2,700 | Caterpillar, Inc. | 626,049 | 0.48 | % | ||||||||
3,335 | Fortinet, Inc. | 615,041 | 0.47 | % | ||||||||
3,590 | United Parcel Service, Inc. - Class B | 610,264 | 0.47 | % |
^ | These investments are not direct holdings of the Fund. The holdings were determined based on the absolute notional values of the positions within the underlying swap basket. |
See accompanying Notes to Consolidated Financial Statements.
48 |
AXS Thomson Reuters Venture Capital Return Tracker Fund
SUMMARY OF INVESTMENTS
As of March 31, 2022 (Unaudited)
Security Type/Industry | Percent of Total Net Assets | |||
Common Stocks | ||||
Software | 31.0 | % | ||
Internet | 18.9 | % | ||
Computers | 11.5 | % | ||
Diversified Financial Services | 9.3 | % | ||
Commercial Services | 5.7 | % | ||
Healthcare-Products | 3.4 | % | ||
Insurance | 2.3 | % | ||
Healthcare-Services | 2.0 | % | ||
Pharmaceuticals | 1.4 | % | ||
Aerospace/Defense | 1.4 | % | ||
Transportation | 1.2 | % | ||
Banks | 1.2 | % | ||
Semiconductors | 1.2 | % | ||
Cosmetics/Personal Care | 0.8 | % | ||
Beverages | 0.7 | % | ||
Telecommunications | 0.6 | % | ||
Chemicals | 0.6 | % | ||
Electronics | 0.6 | % | ||
Machinery-Construction & Mining | 0.5 | % | ||
Retail | 0.4 | % | ||
Oil & Gas | 0.4 | % | ||
Agriculture | 0.4 | % | ||
Machinery-Diversified | 0.4 | % | ||
Mining | 0.2 | % | ||
Auto Manufacturers | 0.2 | % | ||
Media | 0.1 | % | ||
Food | 0.1 | % | ||
Biotechnology | 0.1 | % | ||
Household Products/Wares | 0.1 | % | ||
Electric | 0.0 | % | ||
Pipelines | 0.0 | % | ||
Oil & Gas Services | 0.0 | % | ||
Packaging & Containers | 0.0 | % | ||
Total Common Stocks | 96.7 | % | ||
Short-Term Investments | 1.0 | % | ||
Total Investments | 97.7 | % | ||
Other Assets in Excess of Liabilities | 2.3 | % | ||
Total Net Assets | 100.0 | % |
See accompanying Notes to Consolidated Financial Statements.
49 |
AXS Funds
CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES
As of March 31, 2022 (Unaudited)
Alternative Growth Fund | Chesapeake Strategy Fund | Managed Futures Strategy Fund | ||||||||||
Assets: | ||||||||||||
Investments, at value (cost $2,721,604, $28,489,494, | ||||||||||||
and $2,597,363, respectively) | $ | 2,721,604 | $ | 28,489,494 | $ | 2,597,363 | ||||||
Cash | - | - | 32,899,671 | |||||||||
Cash deposited with brokers for investments | 2,753,518 | - | - | |||||||||
Cash deposited with brokers for open futures contracts | - | 895,739 | - | |||||||||
Variation margin on futures contracts | 282,435 | 1,285,715 | - | |||||||||
Unrealized appreciation on open swap contracts | - | - | 19,981 | |||||||||
Receivables: | - | - | - | |||||||||
Fund shares sold | 149 | 36,872 | 444 | |||||||||
Due from Advisor | 9,510 | - | 10,918 | |||||||||
Dividends and interest | 86 | 652 | 34 | |||||||||
Prepaid expenses and other assets | 21,234 | 19,950 | 17,925 | |||||||||
Total assets | 5,788,536 | 30,728,422 | 35,546,336 | |||||||||
Liabilities: | ||||||||||||
Unrealized depreciation on open swap contract | 274,481 | - | 4,294,415 | |||||||||
Variation margin on futures contracts | 1,286,132 | - | - | |||||||||
Variation margin on swap contracts | - | - | - | |||||||||
Payables: | ||||||||||||
Fund shares redeemed | 172 | 9,893 | 14,877 | |||||||||
Due to Broker - Swap contract | 290,271 | - | 13,486,479 | |||||||||
Due to Broker - Futures contract | 58,208 | - | - | |||||||||
Advisory fees | - | 11,860 | - | |||||||||
Distribution fees - Class A & Class C (Note 7) | 157 | 3,070 | 5,034 | |||||||||
Auditing fees | 16,683 | 16,019 | 18,239 | |||||||||
Fund administration and accounting fees | 10,199 | 19,317 | 26,627 | |||||||||
Custody fees | 3,262 | 6,537 | 6,494 | |||||||||
Legal fees | 2,474 | 561 | 3,676 | |||||||||
Shareholder reporting fees | 2,390 | 2,252 | 9,590 | |||||||||
Chief Compliance Officer fees | 1,530 | 1,450 | 4,874 | |||||||||
Transfer agent fees and expenses | 1,172 | 7,109 | 8,240 | |||||||||
Trustees' deferred compensation (Note 3) | 1,095 | 6,781 | 11,408 | |||||||||
Trustees' fees and expenses | 295 | 3,538 | 5,573 | |||||||||
Sub-transfer agent fees and expenses | 243 | 3,229 | 8,390 | |||||||||
Accrued other expenses | 1,397 | 1,902 | 155 | |||||||||
Total liabilities | 1,950,161 | 93,518 | 17,904,071 | |||||||||
Net Assets | $ | 3,838,375 | $ | 30,634,904 | $ | 17,642,265 |
See accompanying Notes to Consolidated Financial Statements.
50 |
AXS Funds
CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES - Continued
As of March 31, 2022 (Unaudited)
Alternative Growth Fund | Chesapeake Strategy Fund | Managed Futures Strategy Fund | ||||||||||
Components of Net Assets: | ||||||||||||
Paid-in capital (par value of $0.01 per share with an unlimited number of shares authorized) | $ | 6,414,960 | $ | 53,113,014 | $ | 151,642,959 | ||||||
Total accumulated deficit | (2,576,585 | ) | (22,478,110 | ) | (134,000,694 | ) | ||||||
Net Assets | $ | 3,838,375 | $ | 30,634,904 | $ | 17,642,265 | ||||||
Maximum Offering Price per Share: | ||||||||||||
Class A Shares: | ||||||||||||
Net assets applicable to shares outstanding | $ | 692,291 | $ | 5,169,779 | $ | 4,445,853 | ||||||
Shares of beneficial interest issued and outstanding | 49,306 | 446,133 | 800,914 | |||||||||
Redemption price per share1 | $ | 14.04 | $ | 11.59 | $ | 5.55 | ||||||
Maximum sales charge (5.75% of offering price)2 | 0.86 | 0.71 | 0.34 | |||||||||
Maximum offering price to public | $ | 14.90 | $ | 12.30 | $ | 5.89 | ||||||
Class C Shares: | ||||||||||||
Net assets applicable to shares outstanding | $ | 2,353,744 | $ | 4,679,519 | ||||||||
Shares of beneficial interest issued and outstanding | 192,037 | 904,032 | ||||||||||
Redemption price per share3 | $ | 12.26 | $ | 5.18 | ||||||||
Class I Shares: | ||||||||||||
Net assets applicable to shares outstanding | $ | 3,146,084 | $ | 23,111,381 | $ | 8,516,892 | ||||||
Shares of beneficial interest issued and outstanding | 220,541 | 1,971,035 | 1,507,225 | |||||||||
Redemption price per share1 | $ | 14.27 | $ | 11.73 | $ | 5.65 |
1 | Redemptions made within 30 days of purchase may be assessed a redemption fee of 1.00%. |
2 | No sales charge applies on investments of $1 million or more. |
3 | A contingent deferred sales charge ("CDSC") of 1.00% may be charged on purchases that are redeemed within 12 months of purchase. |
51 |
AXS Funds
CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES - Continued
As of March 31, 2022 (Unaudited)
Multi-Strategy Alternatives Fund4 | Sustainable Income Fund4 | Thomson Reuters Private Equity Return Tracker Fund4 | ||||||||||
Assets: | ||||||||||||
Investments, at value (cost $15,789,075, $1,461,774, and $18,612,687, respectively) | $ | 16,519,186 | $ | 1,438,467 | $ | 22,290,319 | ||||||
Cash | - | 193 | 15,023 | |||||||||
Cash deposited with brokers for investments | - | - | - | |||||||||
Cash deposited with brokers for open futures contracts | - | - | - | |||||||||
Variation margin on futures contracts | - | - | - | |||||||||
Unrealized appreciation on open swap contracts | 66,385 | - | 868,340 | |||||||||
Receivables: | - | - | - | |||||||||
Fund shares sold | 6,486 | - | 199 | |||||||||
Due from Advisor | - | 9,352 | - | |||||||||
Dividends and interest | 6,020 | 26,833 | 14,549 | |||||||||
Prepaid expenses and other assets | 16,807 | 17,595 | 50,503 | |||||||||
Total assets | 16,614,884 | 1,492,440 | 23,238,933 | |||||||||
Liabilities: | ||||||||||||
Unrealized depreciation on open swap contracts | - | - | - | |||||||||
Variation margin on futures contracts | - | - | - | |||||||||
Variation margin on swap contracts | - | - | - | |||||||||
Payables: | ||||||||||||
Fund shares redeemed | 1,200 | - | 4,268 | |||||||||
Due to Broker - Swap contracts | - | - | 9,112 | |||||||||
Due to Broker - Futures contract | - | - | - | |||||||||
Advisory fees | 3,806 | - | 3,932 | |||||||||
Distribution fees - Class A, Class C, & Class R-1 (Note 7) | 1,844 | - | 281 | |||||||||
Auditing fees | 11,829 | 9,224 | 10,969 | |||||||||
Fund administration and accounting fees | 8,561 | 19,414 | 4,352 | |||||||||
Custody fees | 1,824 | 448 | 6,935 | |||||||||
Legal fees | 721 | 6,473 | 629 | |||||||||
Shareholder reporting fees | 841 | 3,010 | 478 | |||||||||
Chief Compliance Officer fees | 1,251 | 4,257 | 122 | |||||||||
Transfer agent fees and expenses | 1,817 | 5,459 | 1,680 | |||||||||
Trustees' deferred compensation (Note 3) | 5,477 | 3,903 | 1,890 | |||||||||
Trustees' fees and expenses | 1,574 | 2,168 | 1,117 | |||||||||
Sub-transfer agent fees and expenses | 388 | 3,958 | 1,898 | |||||||||
Accrued other expenses | 1,091 | 3,105 | 720 | |||||||||
Total liabilities | 42,224 | 61,419 | 48,383 | |||||||||
Net Assets | $ | 16,572,660 | $ | 1,431,021 | $ | 23,190,550 |
See accompanying Notes to Consolidated Financial Statements.
52 |
AXS Funds
CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES - Continued
As of March 31, 2022 (Unaudited)
Multi-Strategy Alternatives Fund4 | Sustainable Income Fund4 | Thomson Reuters Private Equity Return Tracker Fund4 | ||||||||||
Components of Net Assets: | ||||||||||||
Paid-in capital (par value of $0.01 per share with an unlimited number of shares authorized) | $ | 14,768,953 | $ | 1,894,661 | $ | 18,982,786 | ||||||
Total distributable earnings (accumulated deficit) | 1,803,707 | (463,640 | ) | 4,207,764 | ||||||||
Net Assets | $ | 16,572,660 | $ | 1,431,021 | $ | 23,190,550 | ||||||
Maximum Offering Price per Share: | ||||||||||||
Class A Shares: | ||||||||||||
Net assets applicable to shares outstanding | $ | 531,573 | ||||||||||
Shares of beneficial interest issued and outstanding | 40,224 | |||||||||||
Redemption price per share5 | $ | 13.22 | ||||||||||
Maximum sales charge (5.75% of offering price)6 | 0.81 | |||||||||||
Maximum offering price to public | $ | 14.03 | ||||||||||
Class C Shares: | ||||||||||||
Net assets applicable to shares outstanding | $ | 218,155 | ||||||||||
Shares of beneficial interest issued and outstanding | 16,947 | |||||||||||
Redemption price per share7 | $ | 12.87 | ||||||||||
Investor Class Shares8: | ||||||||||||
Net assets applicable to shares outstanding | $ | 8,560,227 | ||||||||||
Shares of beneficial interest issued and outstanding | 751,147 | |||||||||||
Redemption price per share | $ | 11.40 | ||||||||||
Class I Shares: | ||||||||||||
Net assets applicable to shares outstanding | $ | 8,012,433 | $ | 1,431,021 | $ | 22,440,822 | ||||||
Shares of beneficial interest issued and outstanding | 698,836 | 167,046 | 1,667,966 | |||||||||
Redemption price per share | $ | 11.47 | $ | 8.57 | $ | 13.45 |
4 | Financial statements are not consolidated. |
5 | Redemptions made within 30 days of purchase may be assessed a redemption fee of 1.00%. |
6 | No sales charge applies on investments of $1 million or more. |
7 | A contingent deferred sales charge ("CDSC") of 1.00% may be charged on purchases that are redeemed within 12 months of purchase. |
8 | Previously R-1 Class Shares. |
See accompanying Notes to Consolidated Financial Statements.
53 |
AXS Funds
CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES - Continued
As of March 31, 2022 (Unaudited)
Thomson Reuters Venture Capital Return Tracker Fund9 | ||||
Assets: | ||||
Investments, at value (cost $226,983,277) | $ | 225,517,995 | ||
Cash | 153,444 | |||
Cash deposited with brokers for investments | - | |||
Cash deposited with brokers for open futures contracts | - | |||
Variation margin on futures contracts | - | |||
Unrealized appreciation on open swap contracts | 6,067,666 | |||
Receivables: | - | |||
Fund shares sold | 178,994 | |||
Due from Advisor | - | |||
Dividends and interest | 62,254 | |||
Prepaid expenses | 93,106 | |||
Total assets | 232,073,459 | |||
Liabilities: | ||||
Unrealized depreciation on open swap contracts | - | |||
Variation margin on futures contracts | - | |||
Variation margin on swap contracts | 547,112 | |||
Payables: | ||||
Fund shares redeemed | 400,769 | |||
Due to Broker - Swap contracts | - | |||
Due to Broker - Futures contract | - | |||
Advisory fees | 92,740 | |||
Distribution fees - Class A & Class C (Note 7) | 19,735 | |||
Auditing fees | 11,218 | |||
Fund administration and accounting fees | 55,867 | |||
Custody fees | 1,204 | |||
Legal fees | 2,609 | |||
Shareholder reporting fees | 5,811 | |||
Chief Compliance Officer fees | 2,167 | |||
Transfer agent fees and expenses | 14,920 | |||
Trustees' deferred compensation (Note 3) | 22,510 | |||
Trustees' fees and expenses | 5,258 | |||
Sub-transfer agent fees and expenses | 29,445 | |||
Accrued other expenses | 3,416 | |||
Total liabilities | 1,214,781 | |||
Net Assets | $ | 230,858,678 |
See accompanying Notes to Consolidated Financial Statements.
54 |
AXS Funds
CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES - Continued
As of March 31, 2022 (Unaudited)
Thomson Reuters Venture Capital Return Tracker Fund8 | ||||
Components of Net Assets: | ||||
Paid-in capital (par value of $0.01 per share with an unlimited number of shares authorized) | $ | 295,198,438 | ||
Total accumulated deficit | (64,339,760 | ) | ||
Net Assets | $ | 230,858,678 | ||
Maximum Offering Price per Share: | ||||
Class A Shares: | ||||
Net assets applicable to shares outstanding | $ | 67,513,579 | ||
Shares of beneficial interest issued and outstanding | 3,296,532 | |||
Redemption price per share10 | $ | 20.48 | ||
Maximum sales charge (5.75% of offering price)11 | 1.25 | |||
Maximum offering price to public | $ | 21.73 | ||
Class C Shares: | ||||
Net assets applicable to shares outstanding | $ | 7,498,652 | ||
Shares of beneficial interest issued and outstanding | 389,771 | |||
Redemption price per share10,12 | $ | 19.24 | ||
Class I Shares: | ||||
Net assets applicable to shares outstanding | $ | 155,846,447 | ||
Shares of beneficial interest issued and outstanding | 7,487,528 | |||
Redemption price per share10 | $ | 20.81 |
9 | Financial statements are not consolidated. |
10 | Redemptions made within 30 days of purchase may be assessed a redemption fee of 1.00%. |
11 | No sales charge applies on investments of $1 million or more. |
12 | A contingent deferred sales charge ("CDSC") of 1.00% may be charged on purchases that are redeemed within 12 months of purchase. |
See accompanying Notes to Consolidated Financial Statements.
55 |
AXS Funds
CONSOLIDATED STATEMENTS OF OPERATIONS
For the Six Months Ended March 31, 2022 (Unaudited)
Alternative Growth Fund | Chesapeake Strategy Fund | Managed Futures Strategy Fund | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 26 | $ | - | $ | - | ||||||
Interest | 241 | 636 | 234 | |||||||||
Total investment income | 267 | 636 | 234 | |||||||||
Expenses: | ||||||||||||
Fund administration and accounting fees | 28,928 | 41,311 | 48,927 | |||||||||
Registration fees | 26,653 | 30,167 | 28,037 | |||||||||
Advisory fees | 19,761 | 176,262 | 192,182 | |||||||||
Auditing fees | 14,683 | 3,344 | 18,238 | |||||||||
Legal fees | 10,617 | 11,127 | 14,985 | |||||||||
Custody fees | 9,358 | 9,596 | 13,765 | |||||||||
Miscellaneous | 4,987 | 3,736 | 5,734 | |||||||||
Transfer agent fees and expenses | 4,780 | 12,502 | 14,329 | |||||||||
Sub-transfer agent fees and expenses | 3,944 | 8,890 | 18,657 | |||||||||
Shareholder reporting fees | 3,740 | 5,986 | 8,306 | |||||||||
Chief Compliance Officer fees | 2,873 | 5,681 | 5,713 | |||||||||
Distribution fees - Class A (Note 7) | 916 | 5,502 | 7,385 | |||||||||
Trustees' fees and expenses | 715 | 2,183 | 5,311 | |||||||||
Insurance fees | 149 | 5,278 | 1,575 | |||||||||
Interest expense | 29 | - | - | |||||||||
Distribution fees - Class C (Note 7) | - | 6,682 | 27,550 | |||||||||
Total expenses | 132,133 | 328,247 | 410,694 | |||||||||
Advisory fees waived | (19,761 | ) | (97,968 | ) | (149,545 | ) | ||||||
Other expenses absorbed | (85,188 | ) | - | - | ||||||||
Fees paid indirectly (Note 3) | (193 | ) | (687 | ) | (898 | ) | ||||||
Net expenses | 26,991 | 229,592 | 260,251 | |||||||||
Net investment loss | (26,724 | ) | (228,956 | ) | (260,017 | ) | ||||||
Realized and Unrealized Gain (Loss): | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments | - | - | - | |||||||||
Futures contracts | (476,152 | ) | 3,307,980 | - | ||||||||
Foreign currency transactions | - | (11,061 | ) | - | ||||||||
Swap contract | (717,740 | ) | - | (3,998,526 | ) | |||||||
Net realized gain (loss) | (1,193,892 | ) | 3,296,919 | (3,998,526 | ) | |||||||
Net change in unrealized appreciation/depreciation on: | ||||||||||||
Investments | - | - | - | |||||||||
Futures contracts | 415,505 | 647,959 | - | |||||||||
Foreign currency translations | - | 6,375 | - | |||||||||
Swap contract | 360,879 | - | 3,344,164 | |||||||||
Net change in unrealized appreciation/depreciation | 776,384 | 654,334 | 3,344,164 | |||||||||
Net increase from payment by affiliates (Note 3) | - | - | - | |||||||||
Net realized and unrealized gain (loss) | (417,508 | ) | 3,951,253 | (654,362 | ) | |||||||
Net Increase (Decrease) in Net Assets from Operations | $ | (444,232 | ) | $ | 3,722,297 | $ | (914,379 | ) |
See accompanying Notes to Consolidated Financial Statements.
56 |
AXS Funds
CONSOLIDATED STATEMENTS OF OPERATIONS - Continued
For the Six Months Ended March 31, 2022 (Unaudited)
Multi-Strategy Alternatives Fund1 | Sustainable Income Fund1 | Thomson Reuters Private Equity Return Tracker Fund1 | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 100,151 | $ | - | $ | 183,116 | ||||||
Interest | 218 | 1,005,011 | 60 | |||||||||
Total investment income | 100,369 | 1,005,011 | 183,176 | |||||||||
Expenses: | ||||||||||||
Fund administration and accounting fees | 21,598 | 47,027 | 27,295 | |||||||||
Registration fees | 22,040 | 13,463 | 26,920 | |||||||||
Advisory fees | 95,639 | 124,900 | 160,839 | |||||||||
Auditing fees | 7,329 | 9,224 | 10,969 | |||||||||
Legal fees | 3,241 | 10,720 | 4,987 | |||||||||
Custody fees | 6,205 | 6,358 | 16,393 | |||||||||
Miscellaneous | 1,491 | 1,646 | 4,242 | |||||||||
Transfer agent fees and expenses | 5,187 | 7,660 | 12,150 | |||||||||
Sub-transfer agent fees and expenses | 9,274 | 1,772 | 14,227 | |||||||||
Shareholder reporting fees | 1,745 | 3,241 | 4,581 | |||||||||
Chief Compliance Officer fees | 897 | 8,620 | 1,496 | |||||||||
Distribution fees - Class A (Note 7) | - | - | 758 | |||||||||
Trustees' fees and expenses | 2,168 | 5,886 | 4,329 | |||||||||
Insurance fees | 1,061 | 2,532 | 799 | |||||||||
Interest expense | - | - | - | |||||||||
Distribution fees - Class C (Note 7) | - | - | 1,280 | |||||||||
Total expenses | 189,785 | 243,049 | 291,265 | |||||||||
Advisory fees waived | (36,772 | ) | (64,844 | ) | (95,545 | ) | ||||||
Other expenses absorbed | - | - | - | |||||||||
Fees paid indirectly (Note 3) | (597 | ) | (1,592 | ) | (836 | ) | ||||||
Net expenses | 152,416 | 176,613 | 194,884 | |||||||||
Net investment income (loss) | (52,047 | ) | 828,398 | (11,708 | ) | |||||||
Realized and Unrealized Gain (Loss): | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments | 1,369,412 | (411,171 | ) | 2,199,534 | ||||||||
Futures contracts | - | - | - | |||||||||
Foreign currency transactions | - | - | - | |||||||||
Swap contracts | 16,446 | - | (2,060,773 | ) | ||||||||
Net realized gain (loss) | 1,385,858 | (411,171 | ) | 138,761 | ||||||||
Net change in unrealized appreciation/depreciation on: | ||||||||||||
Investments | (1,516,750 | ) | (887,699 | ) | (974,459 | ) | ||||||
Futures contracts | - | - | - | |||||||||
Foreign currency translations | - | - | - | |||||||||
Swap contracts | 46,045 | - | 1,812,929 | |||||||||
Net change in unrealized appreciation/depreciation | (1,470,705 | ) | (887,699 | ) | 838,470 | |||||||
Net increase from payment by affiliates (Note 3) | - | - | - | |||||||||
Net realized and unrealized gain (loss) | (84,847 | ) | (1,298,870 | ) | 977,231 | |||||||
Net Increase (Decrease) in Net Assets from Operations | $ | (136,894 | ) | $ | (470,472 | ) | $ | 965,523 |
1 | Financial statements are not consolidated. |
See accompanying Notes to Consolidated Financial Statements.
57 |
AXS Funds
CONSOLIDATED STATEMENTS OF OPERATIONS - Continued
For the Six Months Ended March 31, 2022 (Unaudited)
Thomson Reuters Venture Capital Return Tracker Fund2 | ||||
Investment Income: | ||||
Dividends | $ | 1,170,376 | ||
Interest | 275 | |||
Total investment income | 1,170,651 | |||
Expenses: | ||||
Fund administration and accounting fees | 231,105 | |||
Registration fees | 51,885 | |||
Advisory fees | 2,058,679 | |||
Auditing fees | 11,218 | |||
Legal fees | 58,676 | |||
Custody fees | 38,335 | |||
Miscellaneous | 6,977 | |||
Transfer agent fees and expenses | 76,825 | |||
Sub-transfer agent fees and expenses | 154,552 | |||
Shareholder reporting fees | 17,215 | |||
Chief Compliance Officer fees | 18,452 | |||
Distribution fees - Class A (Note 7) | 114,259 | |||
Trustees' fees and expenses | 42,694 | |||
Insurance fees | 10,687 | |||
Interest expense | - | |||
Distribution fees - Class C (Note 7) | 61,309 | |||
Total expenses | 2,952,868 | |||
Advisory fees waived | (295,608 | ) | ||
Other expenses absorbed | - | |||
Fees paid indirectly (Note 3) | (11,277 | ) | ||
Net expenses | 2,645,983 | |||
Net investment loss | (1,475,332 | ) | ||
Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 20,330,520 | |||
Futures contracts | - | |||
Foreign currency transactions | - | |||
Swap contracts | (87,884,789 | ) | ||
Net realized loss | (67,554,269 | ) | ||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (61,066,847 | ) | ||
Futures contracts | - | |||
Foreign currency translations | - | |||
Swap contracts | 26,273,231 | |||
Net change in unrealized appreciation/depreciation | (34,793,616 | ) | ||
Net increase from payment by affiliates (Note 3) | 8,347 | |||
Net realized and unrealized loss | (102,339,538 | ) | ||
Net Decrease in Net Assets from Operations | $ | (103,814,870 | ) |
2 | Financial statements are not consolidated. |
See accompanying Notes to Consolidated Financial Statements.
58 |
AXS Alternative Growth Fund
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 | |||||||
Increase (Decrease) in Net Assets from: | ||||||||
Operations: | ||||||||
Net investment loss | $ | (26,724 | ) | $ | (38,423 | ) | ||
Net realized gain (loss) on investments, futures contracts and swap contract | (1,193,892 | ) | 1,134,562 | |||||
Net change in unrealized appreciation/depreciation on investments, futures contracts and swap contract | 776,384 | 104,334 | ||||||
Net increase (decrease) in net assets resulting from operations | (444,232 | ) | 1,200,473 | |||||
Capital Transactions: | ||||||||
Net proceeds from shares sold: | ||||||||
Class A | 125,051 | 162,430 | ||||||
Class I | 5,992,639 | 1,225,609 | ||||||
Cost of shares redeemed: | ||||||||
Class A1 | (117,380 | ) | (605,943 | ) | ||||
Class I2 | (5,133,196 | ) | (6,539,009 | ) | ||||
Net increase (decrease) in net assets from capital transactions | 867,114 | (5,756,913 | ) | |||||
Total increase (decrease) in net assets | 422,882 | (4,556,440 | ) | |||||
Net Assets: | ||||||||
Beginning of period | 3,415,493 | 7,971,933 | ||||||
End of period | $ | 3,838,375 | $ | 3,415,493 | ||||
Capital Share Transactions: | ||||||||
Shares sold: | ||||||||
Class A | 8,459 | 11,852 | ||||||
Class I | 382,923 | 95,457 | ||||||
Shares redeemed: | ||||||||
Class A | (8,083 | ) | (48,304 | ) | ||||
Class I | (357,517 | ) | (526,727 | ) | ||||
Net increase (decrease) in capital share transactions | 25,782 | (467,722 | ) |
1 | Net of redemption fee proceeds of $22 and $69, respectively. |
2 | Net of redemption fee proceeds of $102 and $1,738, respectively. |
See accompanying Notes to Consolidated Financial Statements.
59 |
AXS Chesapeake Strategy Fund |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS |
For the Six Months Ended March 31, 20221 (Unaudited) | For the Year Ended September 30, 2021 | |||||||
Increase in Net Assets from: | ||||||||
Operations: | ||||||||
Net investment loss | $ | (228,956 | ) | $ | (265,660 | ) | ||
Net realized gain on investments, futures contracts and foreign currency transactions | 3,296,919 | 3,770,890 | ||||||
Net change in unrealized appreciation/depreciation on investments, futures contracts and foreign currency translations | 654,334 | 686,271 | ||||||
Net increase in net assets resulting from operations | 3,722,297 | 4,191,501 | ||||||
Distributions to Shareholders: | ||||||||
Distributions: | ||||||||
Class A | (651,094 | ) | - | |||||
Class C | (15,388 | ) | - | |||||
Class I | (2,485,912 | ) | - | |||||
Total distributions to shareholders | (3,152,394 | ) | - | |||||
Capital Transactions: | ||||||||
Net proceeds from shares sold: | ||||||||
Class A | 1,091,027 | 630,452 | ||||||
Class C | 1,951,844 | 39,312 | ||||||
Class I | 10,071,298 | 4,336,958 | ||||||
Reinvestment of distributions: | ||||||||
Class A | 628,759 | - | ||||||
Class C | 14,657 | - | ||||||
Class I | 2,321,839 | - | ||||||
Cost of shares redeemed: | ||||||||
Class A | (358,752 | ) | (1,136,715 | ) | ||||
Class C | (183,569 | ) | (159,981 | ) | ||||
Class I | (4,264,869 | ) | (4,748,821 | ) | ||||
Net increase (decrease) in net assets from capital transactions | 11,272,234 | (1,038,795 | ) | |||||
Total increase in net assets | 11,842,137 | 3,152,706 | ||||||
Net Assets: | ||||||||
Beginning of period | 18,792,767 | 15,640,061 | ||||||
End of period | $ | 30,634,904 | $ | 18,792,767 | ||||
Capital Share Transactions: | ||||||||
Shares sold: | ||||||||
Class A | 105,723 | 54,343 | ||||||
Class C | 183,163 | 3,316 | ||||||
Class I | 928,563 | 362,604 | ||||||
Shares reinvested: | ||||||||
Class A | 62,439 | - | ||||||
Class C | 1,372 | - | ||||||
Class I | 228,078 | - | ||||||
Shares redeemed: | ||||||||
Class A | (33,138 | ) | (101,613 | ) | ||||
Class C | (15,355 | ) | (14,039 | ) | ||||
Class I | (378,378 | ) | (428,122 | ) | ||||
Net increase (decrease) in capital share transactions | 1,082,467 | (123,511 | ) |
1 | With the Plan of Reorganization with respect to the AXS Aspect Core Diversified Strategy Fund, Class A, Class C and Class I shareholders received Class A, Class C and Class I shares of the AXS Chesapeake Strategy Fund, respectively, effective as of the close of business on December 17, 2021. See Note 1 in the accompanying Notes to Consolidate Financial Statements. |
See accompanying Notes to Consolidated Financial Statements
60 |
AXS Managed Futures Strategy Fund |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS |
For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 | |||||||
Increase (Decrease) in Net Assets from: | ||||||||
Operations: | ||||||||
Net investment loss | $ | (260,017 | ) | $ | (1,167,694 | ) | ||
Net realized loss on investments and swap contracts | (3,998,526 | ) | (5,018,756 | ) | ||||
Net change in unrealized appreciation/depreciation on investments and swap contracts | 3,344,164 | 5,501,206 | ||||||
Net decrease in net assets resulting from operations | (914,379 | ) | (685,244 | ) | ||||
Capital Transactions: | ||||||||
Net proceeds from shares sold: | ||||||||
Class A | 410,291 | 1,260,390 | ||||||
Class C | 640 | 310,232 | ||||||
Class I | 2,472,049 | 10,225,081 | ||||||
Cost of shares redeemed: | ||||||||
Class A1 | (2,997,636 | ) | (7,382,334 | ) | ||||
Class C2 | (1,537,378 | ) | (4,490,423 | ) | ||||
Class I3 | (22,131,117 | ) | (73,113,135 | ) | ||||
Net decrease in net assets from capital transactions | (23,783,151 | ) | (73,190,189 | ) | ||||
Total decrease in net assets | (24,697,530 | ) | (73,875,433 | ) | ||||
Net Assets: | ||||||||
Beginning of period | 42,339,795 | 116,215,228 | ||||||
End of period | $ | 17,642,265 | $ | 42,339,795 | ||||
Capital Share Transactions: | ||||||||
Shares sold: | ||||||||
Class A | 71,893 | 204,277 | ||||||
Class C | 120 | 53,530 | ||||||
Class I | 426,709 | 1,628,082 | ||||||
Shares redeemed: | ||||||||
Class A | (520,258 | ) | (1,199,090 | ) | ||||
Class C | (287,121 | ) | (772,571 | ) | ||||
Class I | (3,798,989 | ) | (11,618,454 | ) | ||||
Net decrease in capital share transactions | (4,107,646 | ) | (11,704,226 | ) |
1 | Net of redemption fee proceeds of $79 and $387, respectively. |
2 | Net of redemption fee proceeds of $0 and $11, respectively. |
3 | Net of redemption fee proceeds of $10 and $3,979, respectively. |
See accompanying Notes to Consolidated Financial Statements
61 |
AXS Multi-Strategy Alternatives Fund |
STATEMENTS OF CHANGES IN NET ASSETS |
For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 2021 | |||||||
Increase (Decrease) in Net Assets from: | ||||||||
Operations: | ||||||||
Net investment loss | $ | (52,047 | ) | $ | (203,469 | ) | ||
Net realized gain on investments and swap contracts | 1,385,858 | 7,850,070 | ||||||
Net change in unrealized appreciation/depreciation on investments and swap contracts | (1,470,705 | ) | (2,321,016 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (136,894 | ) | 5,325,585 | |||||
Distributions to Shareholders: | ||||||||
Distributions: | ||||||||
Investor Class | (1,996,507 | ) | - | |||||
Class I | (2,049,477 | ) | - | |||||
Total distributions to shareholders | (4,045,984 | ) | - | |||||
Capital Transactions: | ||||||||
Net proceeds from shares sold: | ||||||||
Investor Class | 3,431,630 | 4,296,537 | ||||||
Class I | 2,131,188 | 3,478,805 | ||||||
Reinvestment of distributions: | ||||||||
Investor Class | 1,875,222 | - | ||||||
Class I | 1,793,047 | - | ||||||
Cost of shares redeemed: | ||||||||
Investor Class | (5,167,158 | ) | (9,622,259 | ) | ||||
Class I | (3,344,831 | ) | (46,307,874 | ) | ||||
Net increase (decrease) in net assets from capital transactions | 719,098 | (48,154,791 | ) | |||||
Total decrease in net assets | (3,463,780 | ) | (42,829,206 | ) | ||||
Net Assets: | ||||||||
Beginning of period | 20,036,440 | 62,865,646 | ||||||
End of period | $ | 16,572,660 | $ | 20,036,440 | ||||
Capital Share Transactions: | ||||||||
Shares sold: | ||||||||
Investor Class | 259,353 | 314,196 | ||||||
Class I | 169,878 | 255,045 | ||||||
Shares reinvested: | ||||||||
Investor Class | 156,138 | - | ||||||
Class I | 148,431 | - | ||||||
Shares redeemed: | ||||||||
Investor Class | (398,278 | ) | (743,673 | ) | ||||
Class I | (277,337 | ) | (4,069,561 | ) | ||||
Net increase (decrease) in capital share transactions | 58,185 | (4,243,993 | ) |
See accompanying Notes to Consolidated Financial Statements
62 |
AXS Sustainable Income Fund |
STATEMENTS OF CHANGES IN NET ASSETS |
For the Six Months Ended March 31, 2022 (Unaudited) | For the Period October 17, 2020* through September 30, 2021 | |||||||
Increase (Decrease) in Net Assets from: | ||||||||
Operations: | ||||||||
Net investment income | $ | 828,398 | $ | 2,342,473 | ||||
Net realized gain (loss) on investments | (411,171 | ) | 951,695 | |||||
Net change in unrealized appreciation/depreciation on investments | (887,699 | ) | 864,392 | |||||
Net increase (decrease) in net assets resulting from operations | (470,472 | ) | 4,158,560 | |||||
Distributions to Shareholders: | ||||||||
Distributions: | ||||||||
Class I | (1,806,646 | ) | (2,357,551 | ) | ||||
Total distributions to shareholders | (1,806,646 | ) | (2,357,551 | ) | ||||
Capital Transactions: | ||||||||
Net proceeds from shares sold: | ||||||||
Class I | 430,000 | 52,140,340 | ||||||
Reinvestment of distributions: | ||||||||
Class I | 192,896 | 67,580 | ||||||
Cost of shares redeemed: | ||||||||
Class I | (49,755,020 | ) | (1,168,666 | ) | ||||
Net increase (decrease) in net assets from capital transactions | (49,132,124 | ) | 51,039,254 | |||||
Total increase (decrease) in net assets | (51,409,242 | ) | 52,840,263 | |||||
Net Assets: | ||||||||
Beginning of period | 52,840,263 | - | ||||||
End of period | $ | 1,431,021 | $ | 52,840,263 | ||||
Capital Share Transactions: | ||||||||
Shares sold: | ||||||||
Class I | 41,963 | 5,199,789 | ||||||
Shares reinvested: | ||||||||
Class I | 21,748 | 6,576 | ||||||
Shares redeemed: | ||||||||
Class I | (4,991,474 | ) | (111,556 | ) | ||||
Net increase (decrease) in capital share transactions | (4,927,763 | ) | 5,094,809 |
* | Commencement of operations. |
See accompanying Notes to Consolidated Financial Statements
63 |
AXS Thomson Reuters Private Equity Return Tracker Fund |
STATEMENTS OF CHANGES IN NET ASSETS |
For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 20211 | |||||||
Increase (Decrease) in Net Assets from: | ||||||||
Operations: | ||||||||
Net investment loss | $ | (11,708 | ) | $ | (36,582 | ) | ||
Net realized gain on investments and swap contracts | 138,761 | 5,615,745 | ||||||
Net change in unrealized appreciation/depreciation on investments and swap contracts | 838,470 | 45,453 | ||||||
Net increase in net assets resulting from operations | 965,523 | 5,624,616 | ||||||
Distributions to Shareholders: | ||||||||
Distributions: | ||||||||
Class A | (187,364 | ) | (11,023 | ) | ||||
Class C | (61,607 | ) | (53,502 | ) | ||||
Class I | (7,060,546 | ) | (890,391 | ) | ||||
Total distributions to shareholders | (7,309,517 | ) | (954,916 | ) | ||||
Capital Transactions: | ||||||||
Net proceeds from shares sold: | ||||||||
Class A | 68,456 | 365,919 | ||||||
Class C | 429,809 | 23,000 | ||||||
Class I | 1,762,261 | 11,879,384 | ||||||
Reinvestment of distributions: | ||||||||
Class A | 187,364 | 11,023 | ||||||
Class C | 61,607 | 53,502 | ||||||
Class I | 6,710,716 | 844,151 | ||||||
Cost of shares redeemed: | ||||||||
Class A2 | (131,335 | ) | (84,414 | ) | ||||
Class C | (402,664 | ) | (1,201,610 | ) | ||||
Class I3 | (4,994,496 | ) | (13,112,031 | ) | ||||
Net increase (decrease) in net assets from capital transactions | 3,691,718 | (1,221,076 | ) | |||||
Total increase (decrease) in net assets | (2,652,276 | ) | 3,448,624 | |||||
Net Assets: | ||||||||
Beginning of period | 25,842,826 | 22,394,202 | ||||||
End of period | $ | 23,190,550 | $ | 25,842,826 | ||||
Capital Share Transactions: | ||||||||
Shares sold: | ||||||||
Class A | 3,959 | 20,524 | ||||||
Class C | 29,043 | 1,317 | ||||||
Class I | 114,172 | 682,158 | ||||||
Shares reinvested: | ||||||||
Class A | 12,824 | 697 | ||||||
Class C | 4,320 | 3,485 | ||||||
Class I | 451,596 | 52,726 | ||||||
Shares redeemed: | ||||||||
Class A | (9,799 | ) | (4,850 | ) | ||||
Class C | (28,685 | ) | (71,834 | ) | ||||
Class I | (316,146 | ) | (800,862 | ) | ||||
Net increase (decrease) in capital share transactions | 261,284 | (116,639 | ) |
1 | With the Plan of Reorganization with respect to the Leland Thomson Reuters Private Equity Buyout Index Fund, Class A, Class C, and Class I shareholders received Class A, Class C, and Class I shares of the AXS Thomson Reuters Private Equity Return Tracker Fund, respectively, effective as of the close of business on November 20, 2020. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
2 | Net of redemption fee proceeds of $0 and $3, respectively. |
3 | Net of redemption fee proceeds of $901 and $3,470, respectively. |
See accompanying Notes to Consolidated Financial Statements
64 |
AXS Thomson Reuters Venture Capital Return Tracker Fund |
STATEMENTS OF CHANGES IN NET ASSETS |
For the Six Months Ended March 31, 2022 (Unaudited) | For the Year Ended September 30, 20211 | |||||||
Increase (Decrease) in Net Assets from: | ||||||||
Operations: | ||||||||
Net investment loss | $ | (1,475,332 | ) | $ | (2,520,842 | ) | ||
Net realized gain (loss) on investments and swap contracts | (67,554,269 | ) | 63,177,785 | |||||
Net change in unrealized appreciation/depreciation on investments and swap contracts | (34,793,616 | ) | 8,094,089 | |||||
Net increase from payment by affiliates (Note 3) | 8,347 | 3,927 | ||||||
Net increase in net assets resulting from operations | (103,814,870 | ) | 68,754,959 | |||||
Distributions to Shareholders: | ||||||||
Distributions: | ||||||||
Class A | (20,127,174 | ) | (13,240,552 | ) | ||||
Class C | (2,991,249 | ) | (1,962,054 | ) | ||||
Class I | (48,306,816 | ) | (23,679,428 | ) | ||||
Total distributions to shareholders | (71,425,239 | ) | (38,882,034 | ) | ||||
Capital Transactions: | ||||||||
Net proceeds from shares sold: | ||||||||
Class A | 14,639,197 | 37,247,911 | ||||||
Class C | 1,983,324 | 7,619,615 | ||||||
Class I | 75,816,915 | 153,482,443 | ||||||
Reinvestment of distributions: | ||||||||
Class A | 19,793,050 | 13,091,280 | ||||||
Class C | 2,888,966 | 1,886,193 | ||||||
Class I | 46,839,363 | 22,996,333 | ||||||
Cost of shares redeemed: | ||||||||
Class A2 | (21,521,284 | ) | (39,974,916 | ) | ||||
Class C3 | (5,382,998 | ) | (6,828,995 | ) | ||||
Class I4 | (104,133,264 | ) | (86,311,291 | ) | ||||
Net increase in net assets from capital transactions | 30,923,269 | 103,208,573 | ||||||
Total increase in net assets | (144,316,840 | ) | 133,081,498 | |||||
Net Assets: | ||||||||
Beginning of period | 375,175,518 | 242,094,020 | ||||||
End of period | $ | 230,858,678 | $ | 375,175,518 | ||||
Capital Share Transactions: | ||||||||
Shares sold: | ||||||||
Class A | 515,740 | 1,095,729 | ||||||
Class C | 71,663 | 229,902 | ||||||
Class I | 2,753,723 | 4,378,995 | ||||||
Shares reinvested: | ||||||||
Class A | 713,777 | 438,275 | ||||||
Class C | 110,646 | 66,182 | ||||||
Class I | 1,663,330 | 760,461 | ||||||
Shares redeemed: | ||||||||
Class A | (871,193 | ) | (1,250,854 | ) | ||||
Class C | (235,923 | ) | (226,413 | ) | ||||
Class I | (4,146,526 | ) | (2,634,485 | ) | ||||
Net increase in capital share transactions | 575,237 | 2,857,792 |
1 | With the Plan of Reorganization with respect to the Leland Thomson Reuters Venture Capital Index Fund, Class A, Class C, and Class I shareholders received Class A, Class C, and Class I shares of the AXS Thomson Reuters Venture Capital Return Tracker Fund, respectively, effective as of the close of business on November 20, 2020. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
2 | Net of redemption fee proceeds of $4,038 and $25,603, respectively. |
3 | Net of redemption fee proceeds of $981 and $4,547, respectively. |
4 | Net of redemption fee proceeds of $27,326 and $36,967, respectively. |
See accompanying Notes to Consolidated Financial Statements
65 |
AXS Alternative Growth Fund |
CONSOLIDATED FINANCIAL HIGHLIGHTS |
Class A* |
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2022 | For the Year Ended September 30, | For the Period July 1, 2020 through September 30, | For the Year Ended June 30, | |||||||||||||||||||||||||
(Unaudited) | 2021 | 2020** | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.83 | $ | 11.08 | $ | 10.33 | $ | 11.47 | $ | 10.42 | $ | 10.36 | $ | 10.21 | ||||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||||||
Net investment income (loss)1 | (0.09 | ) | (0.13 | ) | (0.01 | ) | 0.01 | 0.09 | (0.07 | ) | (0.11 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.30 | 2.88 | 0.76 | (0.44 | ) | 1.41 | 1.05 | 0.78 | ||||||||||||||||||||
Total from investment operations | 0.21 | 2.75 | 0.75 | (0.43 | ) | 1.50 | 0.98 | 0.67 | ||||||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||||||
From net investment income | - | - | - | (0.34 | ) | - | 2 | - | (0.26 | ) | ||||||||||||||||||
From net realized gain | - | - | - | (0.41 | ) | (0.45 | ) | (0.92 | ) | (0.26 | ) | |||||||||||||||||
Total distributions | - | - | - | (0.75 | ) | (0.45 | ) | (0.92 | ) | (0.52 | ) | |||||||||||||||||
Redemption fee proceeds1 | - | 2 | - | 2 | - | 0.04 | - | 2 | - | 2 | - | 2 | ||||||||||||||||
Net asset value, end of period | $ | 14.04 | $ | 13.83 | $ | 11.08 | $ | 10.33 | $ | 11.47 | $ | 10.42 | $ | 10.36 | ||||||||||||||
Total return3 | 1.52 | %7 | 24.82 | % | 7.26 | %7 | (4.05 | )% | 15.75 | % | 9.50 | % | 6.79 | % | ||||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 692 | $ | 677 | $ | 946 | $ | 1,282 | $ | 1,163 | $ | 4,029 | $ | 4,098 | ||||||||||||||
Ratio of expenses to average net assets (including interest expense): | ||||||||||||||||||||||||||||
Before fees waived and expenses absorbed | 5.24 | %8,9 | 5.58 | %9 | 4.83 | %8 | 2.33 | %4 | 3.98 | %5 | 3.36 | % | 3.37 | % | ||||||||||||||
After fees waived and expenses absorbed | 1.24 | %8,9 | 1.24 | %9 | 1.24 | %8 | 1.25 | %4 | 1.24 | %5 | 1.45 | % | 1.45 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets (including interest expense): | ||||||||||||||||||||||||||||
Before fees waived and expenses absorbed | (5.23 | )%8 | (5.33 | )% | (4.05 | )%8 | (0.95 | )% | (1.86 | )%5,6 | (2.61 | )% | (3.00 | )% | ||||||||||||||
After fees waived and expenses absorbed | (1.23 | )%8 | (0.99 | )% | (0.46 | )%8 | 0.13 | % | 0.88 | %5,6 | (0.70 | )% | (1.08 | )% | ||||||||||||||
Portfolio turnover rate | 0 | %7 | 0 | % | 0 | %7 | 99 | % | 80 | % | 69 | % | 0 | % |
* | Financial information from June 30, 2015 through November 8, 2019 is for the Equinox Ampersand Strategy Fund, which was reorganized into the AXS Alternative Growth Fund as of the close of business on November 8, 2019. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
** | Fiscal year end changed to September 30, effective July 1, 2020. |
1 | Based on average shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been lower had expenses not been waived and absorbed by the Advisor. Returns shown include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns shown do not include payment of sales load of 5.75% of offering price which will not apply on sales of $1 million or more. If the sales charge was included total returns would be lower. |
4 | If expenses not included in the expense cap had been excluded, the expense ratios would have been lower by 0.01% for the year ended June 30, 2020. |
5 | Does not include the expenses of other investment companies in which the Fund invests. |
6 | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying exchange traded funds in which the Fund invests. |
7 | Not annualized. |
8 | Annualized. |
9 | If interest expense had been excluded, the expense ratios would have remained unchanged for the six months ended March 31, 2022 and for the year ended September 30, 2021. |
See accompanying Notes to Consolidated Financial Statements
66 |
AXS Alternative Growth Fund |
CONSOLIDATED FINANCIAL HIGHLIGHTS |
Class I* |
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2022 | For the Year Ended September 30, | For the Period July 1, 2020 through September 30, | For the Year Ended June 30, | |||||||||||||||||||||||||
(Unaudited) | 2021 | 2020** | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.03 | $ | 11.22 | $ | 10.44 | $ | 11.62 | $ | 10.56 | $ | 10.43 | $ | 10.28 | ||||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||||||
Net investment income (loss)1 | (0.07 | ) | (0.09 | ) | (0.01 | ) | 0.04 | 0.11 | (0.04 | ) | (0.09 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.31 | 2.89 | 0.79 | (0.44 | ) | 1.45 | 1.05 | 0.79 | ||||||||||||||||||||
Total from investment operations | 0.24 | 2.80 | 0.78 | (0.40 | ) | 1.56 | 1.01 | 0.70 | ||||||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||||||
From net investment income | - | - | - | (0.37 | ) | (0.05 | ) | - | (0.29 | ) | ||||||||||||||||||
From net realized gain | - | - | - | (0.41 | ) | (0.45 | ) | (0.92 | ) | (0.26 | ) | |||||||||||||||||
Total distributions | - | - | - | (0.78 | ) | (0.50 | ) | (0.92 | ) | (0.55 | ) | |||||||||||||||||
Redemption fee proceeds1 | - | 2 | 0.01 | - | 2 | - | 2 | - | 2 | 0.04 | - | |||||||||||||||||
Net asset value, end of period | $ | 14.27 | $ | 14.03 | $ | 11.22 | $ | 10.44 | $ | 11.62 | $ | 10.56 | $ | 10.43 | ||||||||||||||
Total return3 | 1.71 | %7 | 25.04 | % | 7.47 | %7 | (4.13 | )% | 16.19 | % | 10.15 | % | 7.00 | % | ||||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,146 | $ | 2,739 | $ | 7,026 | $ | 5,770 | $ | 5,503 | $ | 7,758 | $ | 2,458 | ||||||||||||||
Ratio of expenses to average net assets (including interest expense): | ||||||||||||||||||||||||||||
Before fees waived and expenses absorbed | 4.99 | %8,9 | 5.33 | %9 | 4.58 | %8 | 2.08 | %4 | 3.57 | %5 | 3.32 | % | 3.11 | % | ||||||||||||||
After fees waived and expenses absorbed | 0.99 | %8,9 | 0.99 | %9 | 0.99 | %8 | 1.00 | %4 | 0.99 | %5 | 1.20 | % | 1.20 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets (including interest expense): | ||||||||||||||||||||||||||||
Before fees waived and expenses absorbed | (4.98 | )%8 | (5.08 | )% | (3.80 | )%8 | (0.70 | )% | (1.50 | )%5,6 | (2.53 | )% | (2.74 | )% | ||||||||||||||
After fees waived and expenses absorbed | (0.98 | )%8 | (0.74 | )% | (0.21 | )%8 | 0.38 | % | 1.08 | %5,6 | (0.41 | )% | (0.83 | )% | ||||||||||||||
Portfolio turnover rate | 0 | %7 | 0 | % | 0 | %7 | 99 | % | 80 | % | 69 | % | 0 | % |
* | Financial information from June 30, 2015 through November 8, 2019 is for the Equinox Ampersand Strategy Fund, which was reorganized into the AXS Alternative Growth Fund as of the close of business on November 8, 2019. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
** | Fiscal year end changed to September 30, effective July 1, 2020. |
1 | Based on average shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been lower had expenses not been waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
4 | If expenses not included in the expense cap had been excluded, the expense ratios would have been lower by 0.01% for the year ended June 30, 2020. |
5 | Does not include the expenses of other investment companies in which the Fund invests. |
6 | Recognition of net investment income by the Fund is affected by the timing of the declaration of dividends by the underlying exchange traded funds in which the Fund invests. |
7 | Not annualized. |
8 | Annualized. |
9 | If interest expense had been excluded, the expense ratios would have remained unchanged for the six months ended March 31, 2022 and for the year ended September 30, 2021. |
See accompanying Notes to Consolidated Financial Statements
67 |
AXS Chesapeake Strategy Fund |
CONSOLIDATED FINANCIAL HIGHLIGHTS |
Class A* |
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2022 | For the Year Ended September 30, | |||||||||||||||||||||||
(Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||||
Net asset value, beginning of period | $ | 12.21 | $ | 9.42 | $ | 11.26 | $ | 12.54 | $ | 11.77 | $ | 11.90 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.12 | ) | (0.20 | ) | (0.02 | ) | 0.03 | (0.11 | ) | (0.10 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 1.57 | 2.99 | (1.45 | ) | (1.21 | ) | 0.88 | (0.03 | ) | |||||||||||||||
Total from investment operations | 1.45 | 2.79 | (1.47 | ) | (1.18 | ) | 0.77 | (0.13 | ) | |||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | (2.07 | ) | - | (0.37 | ) | (0.05 | ) | - | - | |||||||||||||||
From net realized gain | - | - | - | (0.05 | ) | - | - | |||||||||||||||||
Total distributions | (2.07 | ) | - | (0.37 | ) | (0.10 | ) | - | - | |||||||||||||||
Net increase from payment by affiliates (Note 3) | - | - | 0.00 | 2 | - | - | - | |||||||||||||||||
Net asset value, end of period | $ | 11.59 | $ | 12.21 | $ | 9.42 | $ | 11.26 | $ | 12.54 | $ | 11.77 | ||||||||||||
Total return3 | 14.46 | %4 | 29.62 | % | (13.31 | )% | (9.40 | )% | 6.54 | % | (1.09 | )% | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 5,170 | $ | 3,799 | $ | 3,376 | $ | 5,048 | $ | 5,799 | $ | 1,181 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed5 | 2.94 | %6 | 3.36 | % | 2.35 | % | 2.24 | % | 2.04 | % | 1.86 | % | ||||||||||||
After fees waived and expenses absorbed5 | 2.10 | %6 | 2.10 | % | 2.12 | % | 2.10 | % | 2.10 | % | 1.42 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (2.93 | )%6 | (2.96 | )% | (0.44 | )% | 0.11 | % | (0.84 | )% | (1.32 | )% | ||||||||||||
After fees waived and expenses absorbed | (2.09 | )%6 | (1.70 | )% | (0.21 | )% | 0.25 | % | (0.90 | )% | (0.88 | )% | ||||||||||||
Portfolio turnover rate | 0 | %4 | 0 | % | 0 | % | 36 | % | 13 | % | 0 | % |
* | Financial information from September 30, 2015 through November 8, 2019 is for the Equinox Chesapeake Strategy Fund, which was reorganized into the AXS Chesapeake Strategy Fund as of the close of business on November 8, 2019. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns shown do not include payment of sales load of 5.75% of offering price which will not apply on sales of $1 million or more. If the sales charge was included total returns would be lower. |
4 | Not annualized. |
5 | If reorganizational costs and interest expense had been excluded, the expense ratios would have been lower by 0% for the six months ended March 31, 2022 and 0%, 0.02%, 0%, 0%, and 0% for years ended September 30, 2021, 2020, 2019, 2018, and 2017, respectively. |
6 | Annualized. |
See accompanying Notes to Consolidated Financial Statements
68 |
AXS Chesapeake Strategy Fund |
CONSOLIDATED FINANCIAL HIGHLIGHTS |
Class C* |
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2022 | For the Year Ended September 30, | |||||||||||||||||||||||
(Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||||
Net asset value, beginning of period | $ | 11.85 | $ | 9.21 | $ | 10.98 | $ | 12.26 | $ | 11.59 | $ | 11.81 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment loss1 | (0.16 | ) | (0.27 | ) | (0.10 | ) | (0.05 | ) | (0.20 | ) | (0.19 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 1.66 | 2.91 | (1.41 | ) | (1.18 | ) | 0.87 | (0.03 | ) | |||||||||||||||
Total from investment operations | 1.50 | 2.64 | (1.51 | ) | (1.23 | ) | 0.67 | (0.22 | ) | |||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | (1.09 | ) | - | (0.26 | ) | - | - | - | ||||||||||||||||
From net realized gain | - | - | - | (0.05 | ) | - | - | |||||||||||||||||
Total distributions | (1.09 | ) | - | (0.26 | ) | (0.05 | ) | - | - | |||||||||||||||
Net increase from payment by affiliates (Note 3) | - | - | 0.00 | 2 | - | - | - | |||||||||||||||||
Net asset value, end of period | $ | 12.26 | $ | 11.85 | $ | 9.21 | $ | 10.98 | $ | 12.26 | $ | 11.59 | ||||||||||||
Total return3 | 13.99 | %4 | 28.66 | % | (13.96 | )% | (10.04 | )% | 5.78 | % | (1.86 | )% | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,354 | $ | 271 | $ | 309 | $ | 592 | $ | 931 | $ | 514 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed5 | 3.69 | %6 | 4.11 | % | 3.10 | % | 2.99 | % | 2.81 | % | 2.90 | % | ||||||||||||
After fees waived and expenses absorbed5 | 2.85 | %6 | 2.85 | % | 2.87 | % | 2.85 | % | 2.85 | % | 2.24 | % | ||||||||||||
Ratio of net investment loss to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (3.68 | )%6 | (3.71 | )% | (1.19 | )% | (0.63 | )% | (1.61 | )% | (2.34 | )% | ||||||||||||
After fees waived and expenses absorbed | (2.84 | )%6 | (2.45 | )% | (0.96 | )% | (0.49 | )% | (1.65 | )% | (1.68 | )% | ||||||||||||
Portfolio turnover rate | 0 | %4 | 0 | % | 0 | % | 36 | % | 13 | % | 0 | % |
* | Financial information from September 30, 2015 through November 8, 2019 is for the Equinox Chesapeake Strategy Fund, which was reorganized into the AXS Chesapeake Strategy Fund as of the close of business on November 8, 2019. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
4 | Not annualized. |
5 | If reorganizational costs and interest expense had been excluded, the expense ratios would have been lower by 0% for the six months ended March 31, 2022 and 0%, 0.02%, 0%, 0%, and 0% for years ended September 30, 2021, 2020, 2019, 2018, and 2017, respectively. |
6 | Annualized. |
See accompanying Notes to Consolidated Financial Statements
69 |
AXS Chesapeake Strategy Fund |
CONSOLIDATED FINANCIAL HIGHLIGHTS |
Class I* |
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2022 | For the Year Ended September 30, | |||||||||||||||||||||||
(Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||||
Net asset value, beginning of period | $ | 12.34 | $ | 9.50 | $ | 11.35 | $ | 12.65 | $ | 11.83 | $ | 11.93 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.11 | ) | (0.17 | ) | - | 2 | 0.05 | (0.08 | ) | (0.08 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 1.60 | 3.01 | (1.45 | ) | (1.22 | ) | 0.90 | (0.02 | ) | |||||||||||||||
Total from investment operations | 1.49 | 2.84 | (1.45 | ) | (1.17 | ) | 0.82 | (0.10 | ) | |||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | (2.10 | ) | - | (0.40 | ) | (0.08 | ) | - | - | |||||||||||||||
From net realized gain | - | - | - | (0.05 | ) | - | - | |||||||||||||||||
Total distributions | (2.10 | ) | - | (0.40 | ) | (0.13 | ) | - | - | |||||||||||||||
Net increase from payment by affiliates (Note 3) | - | - | - | 2 | - | - | - | |||||||||||||||||
Net asset value, end of period | $ | 11.73 | $ | 12.34 | $ | 9.50 | $ | 11.35 | $ | 12.65 | $ | 11.83 | ||||||||||||
Total return3 | 14.66 | %4 | 29.89 | % | (13.07 | )% | (9.23 | )% | 6.93 | % | (0.84 | )% | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 23,111 | $ | 14,723 | $ | 11,955 | $ | 90,105 | $ | 158,876 | $ | 51,427 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed5 | 2.69 | %6 | 3.11 | % | 2.10 | % | 1.98 | % | 1.81 | % | 1.87 | % | ||||||||||||
After fees waived and expenses absorbed5 | 1.85 | %6 | 1.85 | % | 1.87 | % | 1.85 | % | 1.85 | % | 1.24 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (2.68 | )%6 | (2.71 | )% | (0.19 | )% | 0.36 | % | (0.56 | )% | (1.31 | )% | ||||||||||||
After fees waived and expenses absorbed | (1.84 | )%6 | (1.45 | )% | 0.04 | % | 0.49 | % | (0.60 | )% | (0.68 | )% | ||||||||||||
Portfolio turnover rate | 0 | %4 | 0 | % | 0 | % | 36 | % | 13 | % | 0 | % |
* | Financial information from September 30, 2015 through November 8, 2019 is for the Equinox Chesapeake Strategy Fund, which was reorganized into the AXS Chesapeake Strategy Fund as of the close of business on November 8, 2019. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
4 | Not annualized. |
5 | If reorganizational costs and interest expense had been excluded, the expense ratios would have been lower by 0% for the six months ended March 31, 2022 and 0%, 0.02%, 0%, 0%, and 0% for years ended September 30, 2021, 2020, 2019, 2018, and 2017, respectively. |
6 | Annualized. |
70 |
AXS Managed Futures Strategy Fund |
CONSOLIDATED FINANCIAL HIGHLIGHTS |
Class A* |
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2022 | For the Year Ended September 30, | |||||||||||||||||||||||
(Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||||
Net asset value, beginning of period | $ | 5.78 | $ | 6.07 | $ | 9.24 | $ | 8.08 | $ | 8.05 | $ | 8.82 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.06 | ) | (0.11 | ) | (0.04 | ) | 0.02 | (0.08 | ) | (0.12 | ) | |||||||||||||
Net realized and unrealized gain (loss) | (0.17 | ) | (0.18 | )2 | (2.05 | ) | 1.14 | 0.11 | (0.36 | ) | ||||||||||||||
Total from investment operations | (0.23 | ) | (0.29 | ) | (2.09 | ) | 1.16 | 0.03 | (0.48 | ) | ||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | - | - | (1.02 | ) | - | - | (0.11 | ) | ||||||||||||||||
From net realized gain | - | - | - | - | - | (0.04 | ) | |||||||||||||||||
From return of capital | - | - | (0.06 | ) | - | - | (0.14 | ) | ||||||||||||||||
Total distributions | - | - | (1.08 | ) | - | - | (0.29 | ) | ||||||||||||||||
Redemption fee proceeds1 | - | 3 | - | 3 | - | 3 | - | 3 | - | 3 | - | 3 | ||||||||||||
Net asset value, end of period | $ | 5.55 | $ | 5.78 | $ | 6.07 | $ | 9.24 | $ | 8.08 | $ | 8.05 | ||||||||||||
Total return4 | (3.98 | )%5 | (4.78 | )% | (25.22 | )% | 14.36 | % | 0.37 | % | (5.67 | )% | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,446 | $ | 7,220 | $ | 13,632 | $ | 33,150 | $ | 31,434 | $ | 72,169 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 3.08 | %6 | 2.36 | % | 2.02 | % | 1.91 | % | 1.93 | % | 1.97 | % | ||||||||||||
After fees waived and expenses absorbed | 1.95 | %6 | 1.95 | % | 1.94 | % | 1.94 | % | 1.95 | % | 1.95 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (3.08 | )%6 | (2.14 | )% | (0.62 | )% | 0.24 | % | (0.99 | )% | (1.48 | )% | ||||||||||||
After fees waived and expenses absorbed | (1.95 | )%6 | (1.73 | )% | (0.54 | )% | 0.21 | % | (1.01 | )% | (1.46 | )% | ||||||||||||
Portfolio turnover rate | 0 | %5 | 0 | % | 15 | % | 11 | % | 75 | % | 78 | % |
* | Financial information from October 1, 2016 through January 24, 2020 is for the Equinox MutualHedge Futures Strategy Fund, which was reorganized into the AXS Managed Futures Strategy Fund as of the close of business on January 24, 2020. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average shares outstanding for the period. |
2 | Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statement of Operations due to share transactions for the period. |
3 | Amount represents less than $0.005 per share. |
4 | Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns shown do not include payment of sales load of 5.75% of offering price which will not apply on sales of $1 million or more. If the sales charge was included total returns would be lower. |
5 | Not annualized. |
6 | Annualized. |
See accompanying Notes to Consolidated Financial Statements.
71 |
AXS Managed Futures Strategy Fund |
CONSOLIDATED FINANCIAL HIGHLIGHTS |
Class C* |
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2022 | For the Year Ended September 30, | |||||||||||||||||||||||
(Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||||
Net asset value, beginning of period | $ | 5.41 | $ | 5.73 | $ | 8.77 | $ | 7.72 | $ | 7.75 | $ | 8.50 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment loss1 | (0.07 | ) | (0.14 | ) | (0.09 | ) | (0.04 | ) | (0.13 | ) | (0.18 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (0.16 | ) | (0.18 | )2 | (1.95 | ) | 1.09 | 0.10 | (0.35 | ) | ||||||||||||||
Total from investment operations | (0.23 | ) | (0.32 | ) | (2.04 | ) | 1.05 | (0.03 | ) | (0.53 | ) | |||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | - | - | (0.94 | ) | - | - | (0.04 | ) | ||||||||||||||||
From net realized gain | - | - | - | - | - | (0.04 | ) | |||||||||||||||||
From return of capital | - | - | (0.06 | ) | - | - | (0.14 | ) | ||||||||||||||||
Total distributions | - | - | (1.00 | ) | - | - | (0.22 | ) | ||||||||||||||||
Redemption fee proceeds1 | - | - | 3 | - | 3 | - | 3 | - | 3 | - | 3 | |||||||||||||
Net asset value, end of period | $ | 5.18 | $ | 5.41 | $ | 5.73 | $ | 8.77 | $ | 7.72 | $ | 7.75 | ||||||||||||
Total return4 | (4.25 | )%5 | (5.58 | )% | (25.80 | )% | 13.60 | % | (0.39 | )% | (6.41 | )% | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,679 | $ | 6,443 | $ | 10,945 | $ | 20,892 | $ | 27,921 | $ | 32,203 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 3.83 | %6 | 3.11 | % | 2.77 | % | 2.66 | % | 2.68 | % | 2.73 | % | ||||||||||||
After fees waived and expenses absorbed | 2.70 | %6 | 2.70 | % | 2.69 | % | 2.69 | % | 2.70 | % | 2.70 | % | ||||||||||||
Ratio of net investment loss to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (3.83 | )%6 | (2.89 | )% | (1.37 | )% | (0.51 | )% | (1.67 | )% | (2.24 | )% | ||||||||||||
After fees waived and expenses absorbed | (2.70 | )%6 | (2.48 | )% | (1.29 | )% | (0.54 | )% | (1.69 | )% | (2.21 | )% | ||||||||||||
Portfolio turnover rate | 0 | %5 | 0 | % | 15 | % | 11 | % | 75 | % | 78 | % |
* | Financial information from October 1, 2016 through January 24, 2020 is for the Equinox MutualHedge Futures Strategy Fund, which was reorganized into the AXS Managed Futures Strategy Fund as of the close of business on January 24, 2020. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average shares outstanding for the period. |
2 | Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statement of Operations due to share transactions for the period. |
3 | Amount represents less than $0.005 per share. |
4 | Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown include Rule 12b-1 fees of up to 1.00% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns do not include payment of Contingent Deferred Sales Charge "(CDSC)" of 1.00% on certain redemptions of Class C shares made within 12 months of purchase. If the Sales charge was included, total returns would be lower. |
5 | Not annualized. |
6 | Annualized. |
See accompanying Notes to Consolidated Financial Statements.
72 |
AXS Managed Futures Strategy Fund |
CONSOLIDATED FINANCIAL HIGHLIGHTS |
Class I* |
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2022 | For the Year Ended September 30, | |||||||||||||||||||||||
(Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||||
Net asset value, beginning of period | $ | 5.88 | $ | 6.16 | $ | 9.36 | $ | 8.16 | $ | 8.12 | $ | 8.89 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.05 | ) | (0.09 | ) | (0.02 | ) | 0.04 | (0.05 | ) | (0.10 | ) | |||||||||||||
Net realized and unrealized gain (loss) | (0.18 | ) | (0.19 | )2 | (2.08 | ) | 1.16 | 0.09 | (0.36 | ) | ||||||||||||||
Total from investment operations | (0.23 | ) | (0.28 | ) | (2.10 | ) | 1.20 | 0.04 | (0.46 | ) | ||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | - | - | (1.04 | ) | - | - | (0.13 | ) | ||||||||||||||||
From net realized gain | - | - | - | - | - | (0.04 | ) | |||||||||||||||||
From return of capital | - | - | (0.06 | ) | - | - | (0.14 | ) | ||||||||||||||||
Total distributions | - | - | (1.10 | ) | - | - | (0.31 | ) | ||||||||||||||||
Redemption fee proceeds1 | - | 3 | - | 3 | - | 3 | - | 3 | - | 3 | - | 3 | ||||||||||||
Net asset value, end of period | $ | 5.65 | $ | 5.88 | $ | 6.16 | $ | 9.36 | $ | 8.16 | $ | 8.12 | ||||||||||||
Total return4 | (3.91 | )%5 | (4.55 | )% | (25.01 | )% | 14.71 | % | 0.49 | % | (5.37 | )% | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 8,517 | $ | 28,677 | $ | 91,638 | $ | 200,948 | $ | 202,274 | $ | 152,690 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 2.83 | %6 | 2.11 | % | 1.77 | % | 1.66 | % | 1.67 | % | 1.74 | % | ||||||||||||
After fees waived and expenses absorbed | 1.70 | %6 | 1.70 | % | 1.69 | % | 1.69 | % | 1.70 | % | 1.70 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (2.83 | )%6 | (1.89 | )% | (0.37 | )% | 0.49 | % | (0.59 | )% | (1.26 | )% | ||||||||||||
After fees waived and expenses absorbed | (1.70 | )%6 | (1.48 | )% | (0.29 | )% | 0.46 | % | (0.62 | )% | (1.22 | )% | ||||||||||||
Portfolio turnover rate | 0 | %5 | 0 | % | 15 | % | 11 | % | 75 | % | 78 | % |
* | Financial information from October 1, 2016 through January 24, 2020 is for the Equinox MutualHedge Futures Strategy Fund, which was reorganized into the AXS Managed Futures Strategy Fund as of the close of business on January 24, 2020. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average shares outstanding for the period. |
2 | Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statement of Operations due to share transactions for the period. |
3 | Amount represents less than $0.005 per share. |
4 | Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
5 | Not annualized. |
6 | Annualized. |
See accompanying Notes to Consolidated Financial Statements.
73 |
AXS Multi-Strategy Alternatives Fund |
FINANCIAL HIGHLIGHTS |
Investor Class* |
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2022 | For the Year Ended September 30, | For the Period May 1, 2020 through September 30, | For the Year Ended April 30, | |||||||||||||||||||||||||
(Unaudited) | 2021 | 2020** | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.37 | $ | 11.12 | $ | 9.95 | $ | 11.49 | $ | 13.28 | $ | 12.80 | $ | 11.56 | ||||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||||||
Net investment income (loss)1 | (0.04 | ) | (0.11 | ) | (0.03 | ) | (0.03 | ) | - | 2 | 0.03 | 0.04 | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.14 | 3.36 | 1.20 | (1.41 | ) | 0.61 | 2.15 | 1.64 | ||||||||||||||||||||
Total from investment operations | 0.10 | 3.25 | 1.17 | (1.44 | ) | 0.61 | 2.18 | 1.68 | ||||||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||||||
From net investment income | - | - | - | - | - | (0.05 | ) | - | ||||||||||||||||||||
From net realized gain | (3.07 | ) | - | - | (0.10 | ) | (2.40 | ) | (1.65 | ) | (0.44 | ) | ||||||||||||||||
Total distributions | (3.07 | ) | - | - | (0.10 | ) | (2.40 | ) | (1.70 | ) | (0.44 | ) | ||||||||||||||||
Net asset value, end of period | $ | 11.40 | $ | 14.37 | $ | 11.12 | $ | 9.95 | $ | 11.49 | $ | 13.28 | $ | 12.80 | ||||||||||||||
Total return3 | (0.38 | )%5 | 29.23 | % | 11.76 | %5 | (12.66 | )%4 | 5.34 | % | 17.25 | % | 14.70 | % | ||||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 8,560 | $ | 10,546 | $ | 12,941 | $ | 14,586 | $ | 97,281 | $ | 84,790 | $ | 81,999 | ||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||||||
Before fees waived and expenses absorbed | 2.11 | %6 | 2.14 | % | 1.66 | %6 | 1.58 | % | 1.68 | % | 1.64 | % | 1.62 | % | ||||||||||||||
After fees waived and expenses absorbed | 1.68 | %6 | 1.68 | % | 1.66 | %6 | 1.58 | % | 1.68 | % | 1.64 | % | 1.62 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||||||
Before fees waived and expenses absorbed | (1.06 | )%6 | (1.34 | )% | (0.75 | )%6 | (0.30 | )% | (0.02 | )% | 0.24 | % | 0.31 | % | ||||||||||||||
After fees waived and expenses absorbed | (0.63 | )%6 | (0.88 | )% | (0.75 | )%6 | (0.30 | )% | (0.02 | )% | 0.24 | % | 0.31 | % | ||||||||||||||
Portfolio turnover rate | 242 | %5 | 419 | % | 193 | %5 | 727 | % | 838 | % | 534 | % | 318 | % |
* | Financial information from April 30, 2016 through October 18, 2019 is for the KCM Macro Trends Fund, which was reorganized into the AXS Multi-Strategy Alternatives Fund as of the close of business on October 18, 2019. On February 1, 2022, Class R-1 shares were re-designated into Investor Class Shares. See Note 1 in the accompanying Notes to Consolidated Financial Statements. | |
** | Fiscal year end changed to September 30, effective May 1, 2020. | |
1 | Based on average daily shares outstanding for the period. | |
2 | Amount represents less than $0.005 per share. | |
3 | Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. | |
4 | A predecessor affiliate reimbursed the Fund $43,948 for losses on pricing error. The payment had a positive 0.09% impact to the total return. | |
5 | Not annualized. | |
6 | Annualized. | |
See accompanying Notes to Consolidated Financial Statements.
74 |
AXS Multi-Strategy Alternatives Fund |
FINANCIAL HIGHLIGHTS |
Class I* |
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2022 | For the Year Ended September 30, | For the Period May 1, 2020 through September 30, | For the Year Ended April 30, | For the Period March 20, 2017**through April 30, | ||||||||||||||||||||||||
(Unaudited) | 2021 | 2020*** | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.43 | $ | 11.16 | $ | 9.97 | $ | 11.53 | $ | 13.28 | $ | 12.80 | $ | 12.77 | ||||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||||||
Net investment income (loss)1 | (0.03 | ) | (0.09 | ) | (0.02 | ) | - | 2 | 0.02 | 0.04 | - | 2 | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.14 | 3.36 | 1.21 | (1.41 | ) | 0.63 | 2.18 | 0.03 | ||||||||||||||||||||
Total from investment operations | 0.11 | 3.27 | 1.19 | (1.41 | ) | 0.65 | 2.22 | 0.03 | ||||||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||||||
From net investment income | - | - | - | (0.05 | ) | - | (0.09 | ) | - | |||||||||||||||||||
From net realized gain | (3.07 | ) | - | - | (0.10 | ) | (2.40 | ) | (1.65 | ) | - | |||||||||||||||||
Total distributions | (3.07 | ) | - | - | (0.15 | ) | (2.40 | ) | (1.74 | ) | - | |||||||||||||||||
Net asset value, end of period | $ | 11.47 | $ | 14.43 | $ | 11.16 | $ | 9.97 | $ | 11.53 | $ | 13.28 | $ | 12.80 | ||||||||||||||
Total return3 | (0.31 | )%4 | 29.30 | % | 11.94 | %4 | (12.43 | )%7 | 5.65 | % | 17.49 | % | 0.23 | %4 | ||||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||||||
Net assets, end of period6 | $ | 8,013 | $ | 9,490,282 | $ | 49,924,822 | $ | 43,876,547 | $ | 467,278 | $ | 563,187 | $ | 15 | ||||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||||||
Before fees waived and expenses absorbed | 1.86 | %5 | 1.89 | % | 1.41 | %5 | 1.31 | % | 1.51 | % | 1.63 | % | 1.37 | %5 | ||||||||||||||
After fees waived and expenses absorbed | 1.51 | %5 | 1.51 | % | 1.41 | %5 | 1.31 | % | 1.51 | % | 1.63 | % | 1.37 | %5 | ||||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||||||
Before fees waived and expenses absorbed | (0.81 | )%5 | (1.09 | )% | (0.50 | )%5 | (0.03 | )% | 0.18 | % | 0.31 | % | 0.00 | %5 | ||||||||||||||
After fees waived and expenses absorbed | (0.46 | )%5 | (0.71 | )% | (0.50 | )%5 | (0.03 | )% | 0.18 | % | 0.31 | % | 0.00 | %5 | ||||||||||||||
Portfolio turnover rate | 242 | %4 | 419 | % | 193 | %4 | 727 | % | 838 | % | 534 | % | 318 | %4 |
* | Financial information from March 20, 2017 through October 18, 2019 is for the KCM Macro Trends Fund, which was reorganized into the AXS Multi-Strategy Alternatives Fund as of the close of business on October 18, 2019. On October 21, 2019, Institutional Class shares were re-designated into Class I Shares. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
** | Commencement of operations. |
*** | Fiscal year end changed to September 30, effective May 1, 2020. |
1 | Based on average daily shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
4 | Not annualized. |
5 | Annualized. |
6 | Amount is actual; not presented in thousands. |
7 | Payment by a predecessor affiliate had no impact to the total return. |
See accompanying Notes to Consolidated Financial Statements.
75 |
AXS Sustainable Income Fund |
FINANCIAL HIGHLIGHTS |
Class I |
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2022 (Unaudited) | For the Period October 17, 2020* through September 30, 2021 | |||||||
Net asset value, beginning of period | $ | 10.37 | $ | 10.00 | ||||
Income from Investment Operations: | ||||||||
Net investment income 1 | 0.24 | 0.47 | ||||||
Net realized and unrealized gain (loss) | (0.45 | ) | 0.36 | |||||
Total from investment operations | (0.21 | ) | 0.83 | |||||
Less Distributions: | ||||||||
From net investment income | (1.40 | ) | (0.46 | ) | ||||
From net realized gain | (0.19 | ) | - | |||||
Total distributions | (1.59 | ) | (0.46 | ) | ||||
Net asset value, end of period | $ | 8.57 | $ | 10.37 | ||||
Total return 2 | (2.06 | %)3 | 8.42 | %3 | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in thousands) | $ | 1,431 | $ | 52,840 | ||||
Ratio of expenses to average net assets: | ||||||||
Before fees waived and expenses absorbed | 1.36 | %4 | 1.11 | %4 | ||||
After fees waived and expenses absorbed | 0.99 | %4 | 0.99 | %4 | ||||
Ratio of net investment income to average net assets: | ||||||||
Before fees waived and expenses absorbed | 4.27 | %4 | 4.62 | %4 | ||||
After fees waived and expenses absorbed | 4.64 | %4 | 4.74 | %4 | ||||
Portfolio turnover rate | 19 | %3 | 114 | %3 |
* | Commencement of operations. |
1 | Based on average shares outstanding for the period. |
2 | Total returns would have been lower had expenses not been waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
3 | Not annualized. |
4 | Annualized. |
See accompanying Notes to Consolidated Financial Statements.
76 |
AXS Thomson Reuters Private Equity Return Tracker Fund |
FINANCIAL HIGHLIGHTS |
Class A* |
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2022 | For the Year Ended September 30, | |||||||||||||||||||||||
(Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||||
Net asset value, beginning of period | $ | 17.43 | $ | 14.05 | $ | 12.70 | $ | 13.97 | $ | 11.83 | $ | 10.28 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.03 | ) | (0.06 | ) | 0.03 | 0.06 | 0.04 | 0.06 | ||||||||||||||||
Net realized and unrealized gain (loss) | 1.08 | 4.11 | 1.32 | (0.46 | ) | 2.66 | 1.64 | |||||||||||||||||
Total from investment operations | 1.05 | 4.05 | 1.35 | (0.40 | ) | 2.70 | 1.70 | |||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Return of capital | - | - | - | (0.02 | ) | - | - | |||||||||||||||||
From net investment income | (1.33 | ) | - | - | - | (0.22 | ) | - | ||||||||||||||||
From net realized gain | (3.93 | ) | (0.67 | ) | - | (0.85 | ) | (0.35 | ) | (0.15 | ) | |||||||||||||
Total distributions | (5.26 | ) | (0.67 | ) | - | (0.87 | ) | (0.57 | ) | (0.15 | ) | |||||||||||||
Redemption fee proceeds1 | - | - | 2 | - | 2 | - | 2 | 0.01 | - | |||||||||||||||
Net asset value, end of period | $ | 13.22 | $ | 17.43 | $ | 14.05 | $ | 12.70 | $ | 13.96 | $ | 11.83 | ||||||||||||
Total return3 | 3.12 | %4 | 29.35 | % | 10.63 | % | (1.99 | )% | 23.41 | % | 16.71 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period5 | $ | 531,573 | $ | 579,282 | $ | 237,027 | $ | 1,722,198 | $ | 1,123,625 | $ | 727,863 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 2.50 | %6 | 2.29 | % | 1.94 | % | 2.05 | % | 2.05 | % | 2.06 | % | ||||||||||||
After fees waived and expenses absorbed | 1.75 | %6 | 1.78 | % | 1.75 | % | 1.75 | % | 1.75 | % | 1.75 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (1.07 | )%6 | (0.87 | )% | 0.04 | % | 0.23 | % | 0.03 | % | 0.19 | % | ||||||||||||
After fees waived and expenses absorbed | (0.32 | )%6 | (0.36 | )% | 0.23 | % | 0.53 | % | 0.33 | % | 0.50 | % | ||||||||||||
Portfolio turnover rate | 23 | %4 | 100 | % | 78 | % | 72 | % | 38 | % | 48 | % |
* | Financial information from October 1, 2016 through November 20, 2020 is for the Leland Thomson Reuters Private Equity Buyout Index Fund, which was reorganized into the AXS Thomson Reuters Private Equity Return Tracker Fund as of the close of business on November 20, 2020. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average daily shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been lower had expenses not been waived and absorbed by the Advisor. Returns shown include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns shown do not include payment of sales load of 5.75% of offering price which will not apply on sales of $1 million or more. If the sales charge was included total returns would be lower. |
4 | Not annualized. |
5 | Amount is actual; not presented in thousands. |
6 | Annualized. |
See accompanying Notes to Consolidated Financial Statements.
77 |
AXS Thomson Reuters Private Equity Return Tracker Fund |
FINANCIAL HIGHLIGHTS |
Class C* |
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2022 | For the Year Ended September 30, | |||||||||||||||||||||||
(Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||||
Net asset value, beginning of period | $ | 16.82 | $ | 13.67 | $ | 12.46 | $ | 13.82 | $ | 11.71 | $ | 10.26 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment loss1 | (0.08 | ) | (0.18 | ) | (0.07 | ) | (0.03 | ) | (0.05 | ) | (0.04 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 1.01 | 4.00 | 1.28 | (0.46 | ) | 2.63 | 1.64 | |||||||||||||||||
Total from investment operations | 0.93 | 3.82 | 1.21 | (0.49 | ) | 2.58 | 1.60 | |||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Return of capital | - | - | - | (0.02 | ) | - | - | |||||||||||||||||
From net investment income | (0.95 | ) | - | - | - | (0.12 | ) | - | ||||||||||||||||
From net realized gain | (3.93 | ) | (0.67 | ) | - | (0.85 | ) | (0.35 | ) | (0.15 | ) | |||||||||||||
Total distributions | (4.88 | ) | (0.67 | ) | - | (0.87 | ) | (0.47 | ) | (0.15 | ) | |||||||||||||
Redemption fee proceeds1 | - | - | - | 2 | - | 2 | - | - | ||||||||||||||||
Net asset value, end of period | $ | 12.87 | $ | 16.82 | $ | 13.67 | $ | 12.46 | $ | 13.82 | $ | 11.71 | ||||||||||||
Total return3 | 2.70 | %4 | 28.36 | % | 9.71 | % | (2.70 | )% | 22.42 | % | 15.76 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period5 | $ | 218,155 | $ | 206,331 | $ | 1,084,258 | $ | 500,680 | $ | 664,524 | $ | 109,775 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 3.25 | %6 | 3.04 | % | 2.69 | % | 2.80 | % | 2.80 | % | 2.81 | % | ||||||||||||
After fees waived and expenses absorbed | 2.50 | %6 | 2.53 | % | 2.50 | % | 2.50 | % | 2.50 | % | 2.50 | % | ||||||||||||
Ratio of net investment loss to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (1.82 | )%6 | (1.62 | )% | (0.71 | )% | (0.52 | )% | (0.70 | )% | (0.67 | )% | ||||||||||||
After fees waived and expenses absorbed | (1.07 | )%6 | (1.11 | )% | (0.52 | )% | (0.22 | )% | (0.40 | )% | (0.36 | )% | ||||||||||||
Portfolio turnover rate | 23 | %4 | 100 | % | 78 | % | 72 | % | 38 | % | 48 | % |
* | Financial information from October 1, 2016 through November 20, 2020 is for the Leland Thomson Reuters Private Equity Buyout Index Fund, which was reorganized into the AXS Thomson Reuters Private Equity Return Tracker Fund as of the close of business on November 20, 2020. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average daily shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been lower had expenses not been waived and absorbed by the Advisor. Returns shown include Rule 12b-1 fees of up to 1.00% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns do not include payment of Contingent Deferred Sales Charge ("CDSC") of 1.00% on certain redemptions of Class C shares made within 12 months of purchase. If the Sales charge was included, total returns would be lower. |
4 | Not annualized. |
5 | Amount is actual; not presented in thousands. |
6 | Annualized. |
See accompanying Notes to Consolidated Financial Statements.
78 |
AXS Thomson Reuters Private Equity Return Tracker Fund |
FINANCIAL HIGHLIGHTS |
Class I* |
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2022 | For the Year Ended September 30, | |||||||||||||||||||||||
(Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||||
Net asset value, beginning of period | $ | 17.67 | $ | 14.20 | $ | 12.81 | $ | 14.05 | $ | 11.88 | $ | 10.30 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.01 | ) | (0.02 | ) | 0.06 | 0.09 | 0.08 | 0.08 | ||||||||||||||||
Net realized and unrealized gain (loss) | 1.08 | 4.16 | 1.33 | (0.46 | ) | 2.68 | 1.65 | |||||||||||||||||
Total from investment operations | 1.07 | 4.14 | 1.39 | (0.37 | ) | 2.76 | 1.73 | |||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Return of capital | - | - | - | (0.02 | ) | - | - | |||||||||||||||||
From net investment income | (1.36 | ) | - | - | - | (0.24 | ) | - | ||||||||||||||||
From net realized gain | (3.93 | ) | (0.67 | ) | - | (0.85 | ) | (0.35 | ) | (0.15 | ) | |||||||||||||
Total distributions | (5.29 | ) | (0.67 | ) | - | (0.87 | ) | (0.59 | ) | (0.15 | ) | |||||||||||||
Redemption fee proceeds1 | - | 2 | - | 2 | - | 2 | - | 2 | - | 2 | - | 2 | ||||||||||||
Net asset value, end of period | $ | 13.45 | $ | 17.67 | $ | 14.20 | $ | 12.81 | $ | 14.05 | $ | 11.88 | ||||||||||||
Total return3 | 3.19 | %4 | 29.68 | % | 10.85 | % | (1.75 | )% | 23.71 | % | 16.98 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 22,441 | $ | 25,057 | $ | 21,073 | $ | 17,336 | $ | 18,108 | $ | 9,884 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 2.25 | %5 | 2.04 | % | 1.69 | % | 1.80 | % | 1.80 | % | 1.81 | % | ||||||||||||
After fees waived and expenses absorbed | 1.50 | %5 | 1.53 | % | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (0.82 | )%5 | (0.62 | )% | 0.29 | % | 0.48 | % | 0.29 | % | 0.39 | % | ||||||||||||
After fees waived and expenses absorbed | (0.07 | )%5 | (0.11 | )% | 0.48 | % | 0.78 | % | 0.59 | % | 0.70 | % | ||||||||||||
Portfolio turnover rate | 23 | %4 | 100 | % | 78 | % | 72 | % | 38 | % | 48 | % |
* | Financial information from October 1, 2016 through November 20, 2020 is for the Leland Thomson Reuters Private Equity Buyout Index Fund, which was reorganized into the AXS Thomson Reuters Private Equity Return Tracker Fund as of the close of business on November 20, 2020. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average daily shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been lower had expenses not been waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
4 | Not annualized. |
5 | Annualized. |
See accompanying Notes to Consolidated Financial Statements.
79 |
AXS Thomson Reuters Venture Capital Return Tracker Fund |
FINANCIAL HIGHLIGHTS |
Class A* |
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2022 | For the Year Ended September 30, | |||||||||||||||||||||||
(Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||||
Net asset value, beginning of period | $ | 35.13 | $ | 31.14 | $ | 18.26 | $ | 19.88 | $ | 14.73 | $ | 11.50 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment loss1 | (0.15 | ) | (0.34 | ) | (0.18 | ) | (0.09 | ) | (0.15 | ) | (0.10 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (7.83 | ) | 9.73 | 13.04 | (0.45 | ) | 6.87 | 3.77 | ||||||||||||||||
Net increase from payment by affiliates (Note 3) | - | 2 | - | 2 | - | - | - | - | ||||||||||||||||
Total from investment operations | (7.98 | ) | 9.39 | 12.86 | (0.54 | ) | 6.72 | 3.67 | ||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | (2.56 | ) | - | - | - | (0.36 | ) | - | ||||||||||||||||
From net realized gain | (4.11 | ) | (5.41 | ) | - | (1.08 | ) | (1.23 | ) | (0.44 | ) | |||||||||||||
Total distributions | (6.67 | ) | (5.41 | ) | - | (1.08 | ) | (1.59 | ) | (0.44 | ) | |||||||||||||
Redemption fee proceeds1 | - | 2 | 0.01 | 0.02 | - | 2 | 0.02 | - | ||||||||||||||||
Net asset value, end of period | $ | 20.48 | $ | 35.13 | $ | 31.14 | $ | 18.26 | $ | 19.88 | $ | 14.73 | ||||||||||||
Total return3 | (27.69 | )%4 | 33.23 | % | 70.54 | % | (1.84 | )% | 49.63 | % | 33.24 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 67,514 | $ | 103,229 | $ | 82,691 | $ | 37,779 | $ | 41,820 | $ | 1,519 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 1.94 | %5 | 1.85 | % | 1.89 | % | 2.06 | % | 1.99 | % | 1.99 | % | ||||||||||||
After fees waived and expenses absorbed | 1.75 | %5 | 1.76 | % | 1.75 | % | 1.75 | % | 1.75 | % | 1.75 | % | ||||||||||||
Ratio of net investment loss to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (1.23 | )%5 | (1.11 | )% | (0.90 | )% | (0.83 | )% | (1.06 | )% | (0.96 | )% | ||||||||||||
After fees waived and expenses absorbed | (1.04 | )%5 | (1.02 | )% | (0.76 | )% | (0.52 | )% | (0.82 | )% | (0.72 | )% | ||||||||||||
Portfolio turnover rate | 49 | %4 | 100 | % | 115 | % | 115 | % | 47 | % | 88 | % |
* | Financial information from October 1, 2016 through November 20, 2020 is for the Leland Thomson Reuters Venture Capital Index Fund, which was reorganized into the AXS Thomson Reuters Venture Capital Return Tracker Fund as of the close of business on November 20, 2020. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average daily shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been lower had expenses not been waived and absorbed by the Advisor. Returns shown include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns shown do not include payment of sales load of 5.75% of offering price which will not apply on sales of $1 million or more. If the sales charge was included total returns would be lower. |
4 | Not annualized. |
5 | Annualized. |
See accompanying Notes to Consolidated Financial Statements.
80 |
AXS Thomson Reuters Venture Capital Return Tracker Fund |
FINANCIAL HIGHLIGHTS |
Class C* |
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2022 | For the Year Ended September 30, | |||||||||||||||||||||||
(Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||||
Net asset value, beginning of period | $ | 33.33 | $ | 29.98 | $ | 17.71 | $ | 19.46 | $ | 14.52 | $ | 11.43 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment loss1 | (0.24 | ) | (0.57 | ) | (0.34 | ) | (0.22 | ) | (0.28 | ) | (0.20 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (7.38 | ) | 9.32 | 12.60 | (0.45 | ) | 6.78 | 3.73 | ||||||||||||||||
Net increase from payment by affiliates (Note 3) | - | 2 | - | 2 | - | - | - | - | ||||||||||||||||
Total from investment operations | (7.62 | ) | 8.75 | 12.26 | (0.67 | ) | 6.50 | 3.53 | ||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | (2.36 | ) | - | - | - | (0.34 | ) | - | ||||||||||||||||
From net realized gain | (4.11 | ) | (5.41 | ) | - | (1.08 | ) | (1.23 | ) | (0.44 | ) | |||||||||||||
Total distributions | (6.47 | ) | (5.41 | ) | - | (1.08 | ) | (1.57 | ) | (0.44 | ) | |||||||||||||
Redemption fee proceeds1 | - | 2 | 0.01 | 0.01 | - | 2 | 0.01 | - | ||||||||||||||||
Net asset value, end of period | $ | 19.24 | $ | 33.33 | $ | 29.98 | $ | 17.71 | $ | 19.46 | $ | 14.52 | ||||||||||||
Total return3 | (27.97 | )%4 | 32.26 | % | 69.28 | % | (2.59 | )% | 48.59 | % | 32.19 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 7,499 | $ | 14,776 | $ | 11,205 | $ | 5,315 | $ | 6,198 | $ | 98 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 2.69 | %5 | 2.60 | % | 2.64 | % | 2.81 | % | 2.74 | % | 2.74 | % | ||||||||||||
After fees waived and expenses absorbed | 2.50 | %5 | 2.51 | % | 2.50 | % | 2.50 | % | 2.50 | % | 2.50 | % | ||||||||||||
Ratio of net investment loss to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (1.98 | )%5 | (1.86 | )% | (1.64 | )% | (1.58 | )% | (1.81 | )% | (1.74 | )% | ||||||||||||
After fees waived and expenses absorbed | (1.79 | )%5 | (1.77 | )% | (1.50 | )% | (1.27 | )% | (1.57 | )% | (1.50 | )% | ||||||||||||
Portfolio turnover rate | 49 | %4 | 100 | % | 115 | % | 115 | % | 47 | % | 88 | % |
* | Financial information from October 1, 2016 through November 20, 2020 is for the Leland Thomson Reuters Venture Capital Index Fund, which was reorganized into the AXS Thomson Reuters Venture Capital Return Tracker Fund as of the close of business on November 20, 2020. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average daily shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been lower had expenses not been waived and absorbed by the Advisor. Returns shown include Rule 12b-1 fees of up to 1.00% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Returns do not include payment of Contingent Deferred Sales Charge ("CDSC") of 1.00% on certain redemptions of Class C shares made within 12 months of purchase. If the Sales charge was included, total returns would be lower. |
4 | Not annualized. |
5 | Annualized. |
See accompanying Notes to Consolidated Financial Statements.
81 |
AXS Thomson Reuters Venture Capital Return Tracker Fund |
FINANCIAL HIGHLIGHTS |
Class I* |
Per share operating performance.
For a capital share outstanding throughout each period.
For the Six Months Ended March 31, 2022 | For the Year Ended September 30, | |||||||||||||||||||||||
(Unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 | |||||||||||||||||||
Net asset value, beginning of period | $ | 35.63 | $ | 31.45 | $ | 18.40 | $ | 19.97 | $ | 14.79 | $ | 11.51 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment loss1 | (0.11 | ) | (0.26 | ) | (0.12 | ) | (0.05 | ) | (0.10 | ) | (0.06 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (7.96 | ) | 9.84 | 13.16 | (0.44 | ) | 6.88 | 3.78 | ||||||||||||||||
Net increase from payment by affiliates (Note 3) | - | 2 | - | 2 | - | - | - | - | ||||||||||||||||
Total from investment operations | (8.07 | ) | 9.58 | 13.04 | (0.49 | ) | 6.78 | 3.72 | ||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
From net investment income | (2.64 | ) | - | - | - | (0.37 | ) | - | ||||||||||||||||
From net realized gain | (4.11 | ) | (5.41 | ) | - | (1.08 | ) | (1.23 | ) | (0.44 | ) | |||||||||||||
Total distributions | (6.75 | ) | (5.41 | ) | - | (1.08 | ) | (1.60 | ) | (0.44 | ) | |||||||||||||
Redemption fee proceeds1 | - | 2 | 0.01 | 0.01 | - | 2 | - | 2 | - | |||||||||||||||
Net asset value, end of period | $ | 20.81 | $ | 35.63 | $ | 31.45 | $ | 18.40 | $ | 19.97 | $ | 14.79 | ||||||||||||
Total return3 | (27.60 | )%4 | 33.54 | % | 70.92 | % | (1.57 | )% | 49.75 | % | 33.66 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 155,846 | $ | 257,170 | $ | 148,199 | $ | 59,881 | $ | 54,377 | $ | 12,191 | ||||||||||||
Ratio of expenses to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | 1.69 | %5 | 1.60 | % | 1.64 | % | 1.81 | % | 1.74 | % | 1.74 | % | ||||||||||||
After fees waived and expenses absorbed | 1.50 | %5 | 1.51 | % | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | ||||||||||||
Ratio of net investment loss to average net assets: | ||||||||||||||||||||||||
Before fees waived and expenses absorbed | (0.98 | )%5 | (0.86 | )% | (0.66 | )% | (0.59 | )% | (0.78 | )% | (0.72 | )% | ||||||||||||
After fees waived and expenses absorbed | (0.79 | )%5 | (0.77 | )% | (0.52 | )% | (0.28 | )% | (0.54 | )% | (0.48 | )% | ||||||||||||
Portfolio turnover rate | 49 | %4 | 100 | % | 115 | % | 115 | % | 47 | % | 88 | % |
* | Financial information from October 1, 2016 through November 20, 2020 is for the Leland Thomson Reuters Venture Capital Index Fund, which was reorganized into the AXS Thomson Reuters Venture Capital Return Tracker Fund as of the close of business on November 20, 2020. See Note 1 in the accompanying Notes to Consolidated Financial Statements. |
1 | Based on average daily shares outstanding for the period. |
2 | Amount represents less than $0.005 per share. |
3 | Total returns would have been lower had expenses not been waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
4 | Not annualized. |
5 | Annualized. |
See accompanying Notes to Consolidated Financial Statements.
82 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
March 31, 2022 (Unaudited)
Note 1 – Organization
AXS Alternative Growth Fund (the ‘‘Alternative Growth Fund’’), AXS Chesapeake Strategy Fund (the “Chesapeake Strategy Fund”), AXS Managed Futures Strategy Fund (the “Managed Futures Strategy Fund”), AXS Multi-Strategy Alternatives Fund (the “Multi-Strategy Alternatives Fund”), AXS Sustainable Income Fund (the “Sustainable Income Fund”), AXS Thomson Reuters Private Equity Return Tracker Fund (the “Thomson Reuters Private Equity Return Tracker Fund”) and AXS Thomson Reuters Venture Capital Return Tracker Fund (the “Thomson Reuters Venture Capital Return Tracker Fund”) (each a “Fund” and collectively the ‘‘Funds’’) are organized as a diversified series of Investment Managers Series Trust II, a Delaware statutory trust (the “Trust”) which is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”).
Each Fund, other than the Alternative Growth Fund, the Multi-Strategy Alternatives Fund, and the Sustainable Income Fund, is authorized to, and currently offers three classes of shares, Class A, Class C, and Class I. The Alternative Growth Fund currently offers two classes of shares, Class A and Class I. The Multi-Strategy Alternatives Fund currently offers two classes of shares, Class R-1 and Class I. The Sustainable Income Fund currently offers one class of shares, Class I. Class A Shares of the Sustainable Income Fund are not currently available.
The Alternative Growth Fund’s investment objective is to seek to achieve returns and volatility comparable to the S&P 500® Total Return Index, while seeking to avoid the full impact of downside risk. Effective July 1, 2020, the Alternative Growth Fund changed fiscal year end from June 30th to September 30th.
The Alternative Growth Fund commenced investment operations on November 11, 2019 with Class A shares and Class I shares. Prior to that date, the Alternative Growth Fund acquired the assets and assumed the liabilities of the Equinox Ampersand Strategy Fund (the "Alternative Growth Predecessor Fund"), a series of Equinox Funds Trust, which offered two classes of shares, Class A shares and Class I shares, in a tax-free reorganization as set out in the Agreement and Plan of Reorganization. The proposed Plan of Reorganization was approved by the Trust’s Board on June 14, 2019, by the Board of Equinox Funds Trust on July 1, 2019, and by beneficial owners of the Alternative Growth Predecessor Fund on October 17, 2019. The tax-free reorganization was accomplished on November 8, 2019. As a result of the reorganization, the Alternative Growth Fund assumed the performance and accounting history of the Alternative Growth Predecessor Fund. Financial information included for the dates prior to the reorganization is that of the Alternative Growth Predecessor Fund.
The reorganization was accomplished by the following tax-free exchange in which each shareholder of the Alternative Growth Predecessor Fund received the same aggregate share net asset value in the corresponding classes as noted below:
Shares Issued | Net Assets | |||||||
Class A | 146,943 | $ | 1,754,296 | |||||
Class I | 1,488,202 | 18,014,396 |
The net unrealized appreciation of investments transferred was $653,641 as of the date of the acquisition.
The Chesapeake Strategy Fund’s investment objective is to achieve long-term capital appreciation.
The Chesapeake Strategy Fund commenced investment operations on November 11, 2019 with Class A shares, Class C Shares and Class I shares. Prior to that date, the Chesapeake Strategy Fund acquired the assets and assumed the liabilities of the Equinox Chesapeake Strategy Fund (the “Chesapeake Strategy Predecessor Fund”), a series of Equinox Funds Trust, which offered three class of shares, Class A, Class C, and Class I shares. On November 6, 2019, beneficial owners of the Chesapeake Strategy Predecessor Fund approved a proposed Agreement and Plan of Reorganization that provided for the reorganization into the AXS Chesapeake Strategy Fund. The Plan of Reorganization was approved by the Trust’s Board on June 14, 2019 and by the Equinox Funds Trust Board on July 1, 2019. The tax-free reorganization was accomplished on November 8, 2019. As a result of the reorganization, the Chesapeake Strategy Fund assumed the performance and accounting history of the Chesapeake Strategy Predecessor Fund. Financial information included for the dates prior to the reorganization is that of the Chesapeake Strategy Predecessor Fund.
83 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
The reorganization was accomplished by the following tax-free exchange in which each shareholder of the Chesapeake Strategy Predecessor Fund received the same aggregate share net asset value in the corresponding classes as noted below:
Shares Issued | Net Assets | |||||||
Class A | 455,380 | $ | 4,835,786 | |||||
Class C | 52,298 | 541,044 | ||||||
Class I | 7,369,196 | 78,929,398 |
The net unrealized depreciation of investments transferred was $2,540,824 as of the date of the acquisition.
On November 3, 2021, based on the recommendation of the Advisor, the Trust’s Board approved the reorganization of the AXS Aspect Core Diversified Strategy Fund (the “Aspect Core Fund”) into the Chesapeake Strategy Fund. The Board called and held a meeting of shareholders of Aspect Core Fund on December 15, 2021, where shareholders approved the reorganization. The purpose of the reorganization was to combine two funds within the Trust with similar investment objectives and strategies. The reorganization provided for the transfer of assets of the Aspect Core Fund (the “Target Fund”) to the Chesapeake Strategy Fund (the Acquiring Fund”) and the assumption of the liabilities of the Aspect Core Fund by the Chesapeake Strategy Fund. Following the reorganization, the Chesapeake Strategy Fund held the assets of the Aspect Core Fund. The reorganization was effective as of the close of business on December 17, 2021. The reorganization was accomplished by the following tax-free exchange in which each shareholder of the Aspect Core Fund received the same aggregate share net asset value in the corresponding classes as noted below:
Shares Issued | Net Assets | |||||||
Class A | 83,620 | $ | 839,543 | |||||
Class C | 180,850 | 1,924,244 | ||||||
Class I | 295,670 | 3,001,051 |
The Managed Futures Strategy Fund’s investment objective is to seek capital appreciation in both rising and falling (bull and bear) equity markets with an annualized level of volatility that is generally lower than the historic level of volatility experienced by the S&P 500 Index.
The Managed Futures Strategy Fund commenced investment operations on January 27, 2020 with Class A shares, Class C shares, and Class I shares. Prior to that date, the Managed Futures Strategy Fund acquired the assets and assumed the liabilities of the Equinox MutualHedge Futures Strategy Fund (the "Managed Futures Strategy Predecessor Fund"), a series of Northern Lights Fund Trust, which offered three classes of shares, Class A shares, Class C shares, and Class I shares, in a tax-free reorganization as set out in the Agreement and Plan of Reorganization. The proposed Plan of Reorganization was approved by the Trust’s Board on June 14, 2019, by the Board of Equinox Funds Trust on June 17, 2019, and by beneficial owners of the Managed Futures Strategy Predecessor Fund on December 20, 2019. The tax-free reorganization was accomplished on January 24, 2020. As a result of the reorganization, the Managed Futures Strategy Fund assumed the performance and accounting history of the Managed Futures Strategy Predecessor Fund. Financial information included for the dates prior to the reorganization is that of the Managed Futures Strategy Predecessor Fund.
84 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
The reorganization was accomplished by the following tax-free exchange in which each shareholder of the Managed Futures Strategy Predecessor Fund received the same aggregate share net asset value in the corresponding classes as noted below:
Shares Issued | Net Assets | |||||||
Class A | 3,732,844 | $ | 29,812,110 | |||||
Class C | 2,500,224 | 18,932,788 | ||||||
Class I | 24,003,504 | 194,134,986 |
The net unrealized appreciation of investments transferred was $27,079,696 as of the date of the acquisition.
The Multi-Strategy Alternatives Fund’s investment objective is long-term growth of capital. As a secondary goal, the Fund seeks to manage volatility and market risk. Effective May 1, 2020, the Multi-Strategy Alternatives Fund changed fiscal year end from April 30th to September 30th.
The Multi-Strategy Alternatives Fund commenced investment operations on October 21, 2019 with Investor Class (previously R-1 Class Shares) and Class I shares. Prior to that date, the Multi-Strategy Alternatives Fund acquired the assets and assumed the liabilities of the KCM Macro Trends Fund (the "Multi-Strategy Alternatives Predecessor Fund"), a series of Northern Lights Fund Trust, which offered two classes of shares, Investor Class (previously R-1 Class Shares) and Institutional Class, in a tax-free reorganization as set out in the Agreement and Plan of Reorganization. The proposed Plan of Reorganization was approved by the Trusts Board on June 14, 2019, by the Board of Northern Lights Fund Trust on June 17, 2019, and by beneficial owners of the Multi-Strategy Alternatives Predecessor Fund on October 17, 2019. The tax-free reorganization was accomplished on October 18, 2019. Upon closing of the Plan of Reorganization, Institutional Class shares were designated to Class I shares. As a result of the reorganization, the Multi-Strategy Alternatives Fund assumed the performance and accounting history of the Multi-Strategy Alternatives Predecessor Fund. Financial information included for the dates prior to the reorganization is that of the Multi-Strategy Alternatives Predecessor Fund.
The reorganization was accomplished by the following tax-free exchange in which each shareholder of the Multi-Strategy Alternatives Predecessor Fund received the same aggregate share net asset value in the corresponding classes as noted below:
Shares Issued | Net Assets | |||||||
Investor Class* | 7,643,433 | $ | 84,119,077 | |||||
Class I | 67,002 | 740,865 |
* | Previously R-1 Class Shares. |
The net unrealized appreciation of investments transferred was $2,594,449 as of the date of the acquisition.
The Sustainable Income Fund’s investment objective is to seek to generate current income.
85 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
The Sustainable Income Fund commenced investment operations on October 19, 2020 with Class I shares. Prior to that date, its only activity was a transfer of 101,960 newly issued shares of the Fund’s Class I in exchange for the net assets of the SKY Harbor Short Duration High Yield Partners, LP, a Delaware limited liability company (the “Company”) valued at $1,019,596. This exchange was nontaxable. The primary assets received by the Fund were cash, interest receivable and securities of the Company with a fair value of $946,696 (identified cost of investments transferred were $951,387), totaling $1,019,596. For financial reporting purposes, assets received and shares issued by the Fund were recorded at fair value; however, the cost basis of the investments received from the Company was carried forward to align ongoing reporting of the Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
The Thomson Reuters Private Equity Return Tracker Fund’s investment objective is to provide investment results that, before fees and expenses, correspond generally to the price performance of a specific benchmark designed to track the aggregate performance of U.S. private equity-backed companies. The Fund’s current benchmark is the Thomson Reuters Private Equity Buyout Index.
The Thomson Reuters Private Equity Return Tracker Fund commenced investment operations on November 23, 2020 with Class A shares, Class C shares, and Class I shares. Prior to that date, the Thomson Reuters Private Equity Return Tracker Fund acquired the assets and assumed the liabilities of the Leland Thomson Reuters Private Equity Buyout Index Fund (the "Thomson Reuters Private Equity Return Tracker Predecessor Fund"), a series of Northern Lights Fund Trust III, which offered three classes of shares, Class A shares, Class C shares, and Class I shares, in a tax-free reorganization as set out in the Agreement and Plan of Reorganization. The proposed Plan of Reorganization was approved by the Trust’s Board on August 6, 2020, by the Board of Northern Lights Fund Trust III on August 5, 2020, and by beneficial owners of the Thomson Reuters Private Equity Return Tracker Predecessor Fund on November 18, 2020. The tax-free reorganization was accomplished on November 20, 2020. As a result of the reorganization, the Thomson Reuters Private Equity Return Tracker Fund assumed the performance and accounting history of the Thomson Reuters Private Equity Return Tracker Predecessor Fund. Financial information included for the dates prior to the reorganization is that of the Thomson Reuters Private Equity Return Tracker Predecessor Fund.
The reorganization was accomplished by the following tax-free exchange in which each shareholder of the Thomson Reuters Private Equity Return Tracker Predecessor Fund received the same aggregate share net asset value in the corresponding classes as noted below:
Shares Issued | Net Assets | |||||||
Class A | 16,123 | $ | 248,292 | |||||
Class C | 79,301 | 1,187,114 | ||||||
Class I | 1,342,937 | 20,904,719 |
The net unrealized appreciation of investments transferred was $7,553,217 as of the date of the acquisition.
The Thomson Reuters Venture Capital Return Tracker Fund’s investment objective is to provide investment results that, before fees and expenses, correspond generally to the price performance of a specific benchmark designed to track the aggregate performance of U.S. venture capital-backed companies. The Fund’s current benchmark is the Thomson Reuters Venture Capital Index.
The Thomson Reuters Venture Capital Return Tracker Fund commenced investment operations on November 23, 2020 with Class A shares, Class C shares, and Class I shares. Prior to that date, the Thomson Reuters Venture Capital Return Tracker Fund acquired the assets and assumed the liabilities of the Leland Thomson Reuters Venture Capital Index Fund (the " Thomson Reuters Venture Capital Return Tracker Predecessor Fund"), a series of Northern Lights Fund Trust III, which offered three classes of shares, Class A shares, Class C shares, and Class I shares, in a tax-free reorganization as set out in the Agreement and Plan of Reorganization. The proposed Plan of Reorganization was approved by the Trust’s Board on August 6, 2020, by the Board of Northern Lights Fund Trust III on August 5, 2020, and by beneficial owners of the Thomson Reuters Venture Capital Return Tracker Predecessor Fund on November 18, 2020. The tax-free reorganization was accomplished on November 20, 2020. As a result of the reorganization, the Thomson Reuters Venture Capital Return Tracker Fund assumed the performance and accounting history of the Thomson Reuters Venture Capital Return Tracker Predecessor Fund. Financial information included for the dates prior to the reorganization is that of the Thomson Reuters Venture Capital Return Tracker Predecessor Fund.
86 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
The reorganization was accomplished by the following tax-free exchange in which each shareholder of the Thomson Reuters Venture Capital Return Tracker Predecessor Fund received the same aggregate share net asset value in the corresponding classes as noted below:
Shares Issued | Net Assets | |||||||
Class A | 2,543,961 | $ | 81,237,729 | |||||
Class C | 382,538 | 11,745,929 | ||||||
Class I | 4,326,594 | 139,556,985 |
The net unrealized appreciation of investments transferred was $64,795,988 as of the date of the acquisition.
The shares of each class of each Fund (other than the Sustainable Income Fund which currently only offers one class of shares) represent an interest in the same portfolio of investments of each particular Fund and have equal rights as to voting, redemptions, dividends and liquidation, subject to the approval of the Trustees. Income, expenses (other than expenses attributable to a specific class) and realized and unrealized gains and losses on investments are allocated to each class of shares in proportion to their relative net assets. Shareholders of a class that bears distribution and service expenses under the terms of a distribution plan have exclusive voting rights to that distribution plan.
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services—Investment Companies.”
(a) Consolidation of Subsidiary
The Alternative Growth Fund may invest up to 25% of its total assets in its subsidiary, AXS Alternative Growth Fund Limited, a wholly-owned and controlled subsidiary formed under the laws of the Cayman Islands. The Consolidated Schedule of Investments, Statement of Assets and Liabilities, Statement of Operations, Statements of Changes in Net Assets and Financial Highlights of the Fund include the accounts of the AXS Alternative Growth Fund Limited. All inter-company accounts and transactions have been eliminated in the consolidation for the Alternative Growth Fund. The AXS Alternative Growth Fund Limited is advised by Ampersand Investment Management LLC (“Ampersand” or the “Sub-Advisor”) and acts as an investment vehicle in order to effect certain investments consistent with the Alternative Growth Fund’s investment objectives and policies specified in the Alternative Growth Fund’s prospectus and statement of additional information. The AXS Alternative Growth Fund Limited will generally invest in derivatives, including swaps, and other investments intended to serve as margin or collateral for swap positions. The inception date of the AXS Alternative Growth Fund Limited was June 27, 2018. As of March 31, 2022, total assets of the Alternative Growth Fund were $5,788,536, of which $912,133, or approximately 15.8%, represented the Alternative Growth Fund’s ownership of the shares of the AXS Alternative Growth Fund Limited.
87 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
The Chesapeake Strategy Fund may invest up to 25% of its total assets in its subsidiary, AXS Chesapeake Strategy Fund Limited, a wholly-owned and controlled subsidiary formed under the laws of the Cayman Islands. The Consolidated Schedule of Investments, Statement of Assets and Liabilities, Statement of Operations, Statements of Changes in Net Assets and Financial Highlights of the Chesapeake Strategy Fund include the accounts of the AXS Chesapeake Strategy Fund Limited. All inter-company accounts and transactions have been eliminated in the consolidation for the Chesapeake Strategy Fund. The AXS Chesapeake Strategy Fund Limited is advised by Chesapeake Investment Management LLC (“Chesapeake” or the “Sub-Advisor”) and acts as an investment vehicle in order to effect certain investments consistent with the Chesapeake Strategy Fund’s investment objectives and policies specified in the Chesapeake Strategy Fund’s prospectus and statement of additional information. The AXS Chesapeake Strategy Fund Limited will generally invest in derivatives, including commodity futures, and other investments intended to serve as margin or collateral for derivative positions. The inception date of the AXS Chesapeake Strategy Fund Limited was April 19, 2012. As of March 31, 2022, total assets of the Chesapeake Strategy Fund were $30,728,422 of which $803,761, or approximately 2.6%, represented the Chesapeake Strategy Fund’s ownership of the shares of the AXS Chesapeake Strategy Fund Limited.
The Managed Futures Strategy Fund may invest up to 25% of its total assets in its subsidiary, AXS Managed Futures Fund Limited, a wholly-owned and controlled subsidiary formed under the laws of the Cayman Islands. The Consolidated Schedule of Investments, Statement of Assets and Liabilities, Statement of Operations, Statements of Changes in Net Assets and Financial Highlights of the Managed Futures Strategy Fund include the accounts of the AXS Managed Futures Fund Limited. All inter-company accounts and transactions have been eliminated in the consolidation for the Managed Futures Strategy Fund. The AXS Managed Futures Fund Limited is advised by Ampersand Investment Management LLC (“Ampersand” or the “Sub-Advisor”) and acts as an investment vehicle in order to effect certain investments consistent with the Managed Futures Strategy Fund’s investment objectives and policies specified in the Managed Futures Strategy Fund’s prospectus and statement of additional information. The AXS Managed Futures Fund Limited will generally invest in derivatives, including swaps, and other investments intended to serve as margin or collateral for swap positions. The inception date of the AXS Managed Futures Fund Limited was January 12, 2010. As of March 31, 2022, total assets of the Managed Futures Strategy Fund were $35,546,336, of which $4,844,864 or approximately 13.6%, represented the Managed Futures Strategy Fund’s ownership of the shares of the AXS Managed Futures Fund Limited.
For tax purposes, the AXS Alternative Growth Fund Limited, AXS Chesapeake Strategy Fund Limited and AXS Managed Futures Fund Limited are each an exempted Cayman investment company. Each subsidiary has received an undertaking from the Government of the Cayman Islands exempting it from all local income, profits and capital gains taxes. No such taxes are levied in the Cayman Islands at the present time. For U.S. income tax purposes, each subsidiary is a Controlled Foreign Corporation (“CFC”) and as such is not subject to U.S. income tax. However, as a wholly-owned CFC, each subsidiary’s net income and capital gains, to the extent of its earnings and profits, will be included each year in the Funds’ investment company taxable income.
Note 2 – Accounting Policies
The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of their financial statements. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.
88 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
(a) Valuation of Investments
The Funds value equity securities at the last reported sale price on the principal exchange or in the principal over the counter (“OTC”) market in which such securities are traded, as of the close of regular trading on the NYSE on the day the securities are being valued or, if the last-quoted sales price is not readily available, the securities will be valued at the last bid or the mean between the last available bid and ask price. Securities traded on the NASDAQ are valued at the NASDAQ Official Closing Price (“NOCP”). Investments in open-end investment companies are valued at the daily closing net asset value of the respective investment company. Debt securities are valued by utilizing a price supplied by independent pricing service providers. The independent pricing service providers may use various valuation methodologies including matrix pricing and other analytical pricing models as well as market transactions and dealer quotations. These models generally consider such factors as yields or prices of bonds of comparable quality, type of issue, coupon, maturity, ratings and general market conditions. If a price is not readily available for a portfolio security, the security will be valued at fair value (the amount which the Funds might reasonably expect to receive for the security upon its current sale) as determined in good faith by the Funds’ advisor, subject to review and approval by the Valuation Committee, pursuant to procedures adopted by the Board of Trustees. The actions of the Valuation Committee are subsequently reviewed by the Board at its next regularly scheduled board meeting. The Valuation Committee meets as needed. The Valuation Committee is comprised of all the Trustees, but action may be taken by any one of the Trustees.
(b) Foreign Currency Translation
The Funds’ records are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the reporting period. The currencies are translated into U.S. dollars by using the exchange rates quoted as of 4:00 PM Eastern Standard Time. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.
The Funds do not isolate that portion of their net realized and unrealized gains and losses on investments resulting from changes in foreign exchange rates from the impact arising from changes in market prices. Such fluctuations are included with net realized and unrealized gain or loss from investments and foreign currency.
Net realized foreign currency transaction gains and losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the differences between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency translation gains and losses arise from changes in the value of assets and liabilities, other than investments in securities, resulting from changes in the exchange rates.
(c) Exchange Traded Funds (“ETFs”)
ETFs typically trade on securities exchanges and their shares may, at times, trade at a premium or discount to their net asset values. In addition, an ETF may not replicate exactly the performance of the benchmark index it seeks to track for a number of reasons, including transaction costs incurred by the ETF, the temporary unavailability of certain index securities in the secondary market or discrepancies between the ETF and the index with respect to the weighting of securities or the number of securities held. Investing in ETFs, which are investment companies, may involve duplication of advisory fees and certain other expenses. As a result, Fund shareholders indirectly bear their proportionate share of these incurred expenses. Therefore, the cost of investing in the Funds will be higher than the cost of investing directly in ETFs and may be higher than other mutual funds that invest directly in securities.
89 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
Each ETF in which the Funds invest is subject to specific risks, depending on the nature of the ETF. Each ETF is subject to the risks associated with direct ownership of the securities comprising the index on which the ETF is based. These risks could include liquidity risk, sector risk, and risks associated with fixed-income securities.
(d) Total Return Swaps
The Alternative Growth Fund and Managed Futures Strategy Fund are subject to equity price risk, interest rate risk and/or commodity risk in the normal course of pursuing its investment objective. The Funds enter into various swap transactions for investment purposes and to manage interest rate, equity, foreign exchange (currency), or credit risk. These two-party contracts are entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular pre-determined investments or instruments.
To help to reduce counterparty risk on the Alternative Growth Fund, the Advisor has the right to reduce the Alternative Growth Fund’s exposure and remove cash from the Alternative Growth Fund’s total return swap with Deutsche Bank AG. This cash holding shall be in excess of $250,000 and may not exceed 40% of the Index exposure in total. The Alternative Growth Fund is charged interest on this cash holding and any amount removed will be offset against the final settlement value of the swap. As of March 31, 2022, the Alternative Growth Fund did not have such cash advance.
To help to reduce counterparty risk on the Managed Futures Strategy Fund, the Advisor has the right to reduce the Managed Futures Strategy Fund’s exposure and remove cash from the Managed Futures Strategy Fund’s total return swap with Deutsche Bank AG. This cash holding shall be in excess of $250,000 and may not exceed 40% of the Index exposure in total. The Managed Futures Strategy Fund is charged interest on this cash holding and any amount removed will be offset against the final settlement value of the swap. As of March 31, 2022, the Managed Futures Strategy Fund did not have such cash advance.
The gross returns exchanged or “swapped” between parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a “basket” of securities representing a particular index or market segment. Changes in the value of swap agreements are recognized as net change in unrealized appreciation or depreciation in the Consolidated Statements of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Consolidated Statements of Operations. Realized gains and losses from a decrease in the notional value swap are recognized on trade date. Swap agreements may also involve fees, commissions and other costs that may reduce the value of the swap agreement. These costs are not reflected in the Consolidated Statements of Operations, are deducted from the return of any such derivative instrument and, therefore, represent an indirect cost of investment in the Funds.
(e) Equity Swaps (Total Return Swaps)
The Multi-Strategy Alternatives Fund, Thomson Reuters Private Equity Return Tracker Fund and Thomson Reuters Venture Capital Return Tracker Fund may enter into equity swap contracts for hedging or investment purposes. Equity swap contracts may be structured in different ways. The counterparty may agree to pay the Funds the amount, if any, by which the notional amount of the equity swap contract would have increased in value had it been invested in particular stocks (or an index of stocks), plus the dividends that would have been received on those stocks. In these cases, the Funds may agree to pay to the counterparty a floating-rate of interest on the notional amount of the equity swap contract plus the amount, if any, by which that notional amount would have decreased in value had it been invested in such stocks. In these cases, the return to the Funds on any equity swap contract should be the gain or loss on the notional amount plus dividends on the stocks less the interest paid by the Funds on the notional amount. In other cases, the counterparty and the Fund may agree to pay the other the difference between the relative investment performance that would have been achieved if the notional amount of the equity swap contract had been invested in different stocks (or indices of stocks).
90 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
Total return swap contracts are agreements between counterparties to exchange cash flow, one based on a market-linked return of an individual asset or group of assets (such as an index), and the other on a fixed or floating rate. As a total return swap, an equity swap may be structured in different ways. When the Funds enter into a “long” equity swap, the counterparty may agree to pay the Funds the amount, if any, by which the notional amount of the equity swap would have increased in value had it been invested in a particular referenced security or securities, plus the dividends that would have been received on those securities. In return, the Funds will generally agree to pay the counterparty interest on the notional amount of the equity swap plus the amount, if any, by which that notional amount would have decreased in value had it been invested in such referenced security or securities, plus, in certain instances, commissions or trading spreads on the notional amounts. Therefore, the Funds’ return on the equity swap generally should equal the gain or loss on the notional amount, plus dividends on the referenced security or securities less the interest paid by the Funds on the notional amount. Alternatively, when the Funds enter into a “short” equity swap, the counterparty will generally agree to pay the Funds the amount, if any, by which the notional amount of the equity swap would have decreased in value had the Funds sold a particular referenced security or securities short, less the dividend expense that the Funds would have incurred on the referenced security or securities, as adjusted for interest payments or other economic factors. In this situation, the Funds will generally be obligated to pay the amount, if any, by which the notional amount of the swap would have increased in value had they been invested directly in the referenced security or securities.
Equity swaps generally do not involve the delivery of securities or other referenced assets. Accordingly, the risk of loss with respect to equity swaps is normally limited to the net amount of payments that the Funds are contractually obligated to make. If the other party to an equity swap defaults, the Funds’ risk of loss consists of the net amount of payments that the Funds are contractually entitled to receive, if any. The Funds will segregate cash or liquid assets, enter into offsetting transactions or use other measures permitted by applicable law to “cover” the Funds’ current obligations.
Equity swaps are derivatives and their value can be very volatile. The Funds may engage in total return swaps to gain exposure to securities, along with offsetting long total return swap positions to maintain appropriate currency balances and risk exposures across all swap positions. To the extent that the Advisor does not accurately analyze and predict future market trends, the values or assets or economic factors, the Funds may suffer a loss, which may be substantial. As of March 31, 2022, open swap agreements are shown in the Schedules of Investments.
(f) Futures Contracts
The Funds purchase and sell futures contracts to pursue their investment objective and to gain exposure to, or hedge against, change in the value of equities, interest rates, foreign currency, or commodities. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral for the account of the broker (the Portfolio’s agent in acquiring the futures position). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the market value of the contracts at the end of each day’s trading. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When the contracts are closed, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. If a Fund was unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. The Funds segregate liquid securities having a value at least equal to the amount of the current obligation under any open futures contract. Risks may exceed amounts recognized in the Consolidated Statements of Assets and Liabilities. With futures, there is minimal counterparty credit risk to a Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
91 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
(g) Forward Foreign Currency Contracts
The Chesapeake Strategy Fund may enter into forward currency exchange contracts in order to hedge against foreign currency exchange rate risks. A forward involves an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. The market value of the contract fluctuates with changes in currency exchange rates. The contract is marked-to-market daily and the change in market value is recorded by the Fund as an unrealized gain or loss. As foreign securities are sold, a portion of the contract is generally closed and the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses from contract transactions are included as a component of net realized gains/(losses) from forward foreign currency contracts in the Consolidated Statements of Operations.
(h) Short-Term Investments
The Alternative Growth Fund invests a significant amount (70.7% as of March 31, 2022) in the Fidelity Investments Money Market Government Portfolio – Class I (“FIGXX”). FIGXX Invests in U.S. Government securities and/or repurchase agreements that are collateralized fully, U.S. Government securities issued by entities that are chartered by Congress but whose securities are neither issued nor guaranteed by the U.S. Treasury and investing in compliance with industry-standard regulatory requirements for money market funds for the quality, maturity, liquidity and diversification of investments. FIGXX may invest at least 80% of its assets in U.S. Treasury securities and repurchase agreements for those securities.
FIGXX files complete Semi-Annual and Annual Reports with the U.S. Securities and Exchange Commission for semi-annual and annual periods of each fiscal year on Form N-CSR. The Forms N-CSR are available on the website of the U.S. Securities and Exchange Commission at www.sec.gov, and may also be viewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The net expense ratio per the March 31, 2021 Annual report of the Fidelity Investments Money Market Government Portfolio – Class I was 0.15%.
(i) Investment Transactions, Investment Income and Expenses
Investment transactions are accounted for on the trade date. Realized gains and losses on investments are determined on the identified cost basis. Dividend income is recorded net of applicable withholding taxes on the ex-dividend date and interest income is recorded on an accrual basis. Withholding taxes on foreign dividends, if applicable, are paid (a portion of which may be reclaimable) or provided for in accordance with the applicable country’s tax rules and rates and are disclosed in the Consolidated Statement of Operations. Withholding tax reclaims are filed in certain countries to recover a portion of the amounts previously withheld. The Funds record a reclaim receivable based on a number of factors, including a jurisdiction’s legal obligation to pay reclaims as well as payment history and market convention. Income and expenses of the Funds (other than the Sustainable Income Fund which currently only offers one class of shares) are allocated on a pro rata basis to each class of shares relative net assets, except for distribution and service fees which are unique to each class of shares. Expenses incurred by the Trust with respect to more than one fund are allocated in proportion to the net assets of the fund except where allocation of direct expenses to the fund or an alternative allocation method can be more appropriately made.
92 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
(j) Federal Income Tax
The Funds intend to comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of their net investment income and any net realized gains to their shareholders. Therefore, no provision is made for federal income or excise taxes. Due to the timing of dividend distributions and the differences in accounting for income and realized gains and losses for financial statement and federal income tax purposes, the fiscal year in which amounts are distributed may differ from the year in which the income and realized gains and losses are recorded by the Funds.
Accounting for Uncertainty in Income Taxes (the “Income Tax Statement”) requires an evaluation of tax positions taken (or expected to be taken) in the course of preparing a Fund’s tax returns to determine whether these positions meet a “more-likely-than-not” standard that, based on the technical merits, have a more than fifty percent likelihood of being sustained by a taxing authority upon examination. A tax position that meets the “more-likely-than-not” recognition threshold is measured to determine the amount of benefit to recognize in the financial statements. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Consolidated Statements of Operations.
The Income Tax Statement requires management of the Funds to analyze tax positions taken in the prior three open tax years, if any, and tax positions expected to be taken in the Funds’ current tax year, as defined by the IRS statute of limitations for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of March 31, 2022, and during the prior three open tax years, the Funds did not have a liability for any unrecognized tax benefits. The Funds have no examinations in progress and are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
(k) Distributions to Shareholders
Dividends from net investment income, if any, are declared and paid at least annually, except for the Sustainable Income Fund which will distribute net investment income, if any, quarterly. Distributable net realized capital gains, if any, are declared and distributed annually. Distributions to shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
The character of distributions made during the year from net investment income or net realized gains may differ from the characterization for federal income tax purposes due to differences in the recognition of income, expense and gain (loss) items for financial statement and tax purposes.
(l) Illiquid Securities
Pursuant to Rule 22e-4 under the 1940 Act, the Funds have adopted a Liquidity Risk Management Program (“LRMP”) that requires, among other things, that the Funds limit their illiquid investments that are assets to no more than 15% of net assets. An illiquid investment is any security which may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. If the Advisor, at any time, determines that the value of illiquid securities held by the Fund exceed 15% of its net asset value, the Advisor will take such steps as it considers appropriate to reduce them as soon as reasonably practicable in accordance with the Funds’ written LRMP.
Note 3 – Investment Advisory and Other Agreements
The Trust, on behalf of the Funds, entered into an Investment Advisory Agreement (the “Agreement”) with AXS Investments LLC (the “Advisor”). Under the terms of the Agreement, the Funds pay twice a month investment advisory fee to the Advisor. The annual rates are listed by Fund in the table below.
93 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
Fund |
Investment Advisory Fees |
Subsidiary |
Investment Advisory Fees |
Alternative Growth Fund | 0.75% | Alternative Growth Fund Limited | 0.75% |
Chesapeake Strategy Fund | 1.50% | Chesapeake Strategy Fund Limited | 1.50% |
Managed Futures Strategy Fund | 1.45% | Managed Futures Strategy Fund Limited | 1.45% |
Multi-Strategy Alternatives Fund | 1.00% | ||
Sustainable Income Fund | 0.70% | ||
Thomson Reuters Private Equity Return Tracker Fund | 1.25% | ||
Thomson Reuters Venture Capital Return Tracker Fund | 1.25% |
The investment management fees included a management fee paid to the Advisor by each Fund’s subsidiary at an annual rate listed above of the subsidiary’s average daily net assets. The Advisor had contractually agreed, for so long as each Fund invests in each subsidiary, to waive the management fee it received from the Fund in an amount equal to the management fee paid to the Advisor by each subsidiary. This undertaking may not be terminated by the advisor as long as the investment advisory agreement between the Subsidiary and the Advisor is in place unless the Advisor obtains the prior approval of the Fund’s Board of Trustees. The Advisor has contractually agreed to waive its fee and, if necessary, to absorb other operating expenses to ensure that total annual operating expenses (excluding any taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses as determined in accordance with Form N-1A, expenses incurred in connection with any merger or reorganization, and extraordinary expenses such as litigation expenses) in order to limit total annual operating expenses of each fund. For the Alternative Growth Fund, the Chesapeake Strategy Fund, the Managed Futures Strategy Fund, the Multi-Strategy Alternatives Fund, the Sustainable Income Fund the Thomson Reuters Private Equity Return Tracker Fund and the Thomson Reuters Venture Capital Return Tracker Fund, this agreement is effective until January 31, 2023. These agreements may be terminated before that date only by the Trust’s Board of Trustees. The table below contains the expense cap by Fund and by Class.
|
Total Limit on Annual Operating Expenses |
|||
Class A Shares | Class C Shares | Class I Shares | Investor Class Shares* | |
Alternative Growth Fund | 1.24% | - | 0.99% | - |
Chesapeake Strategy Fund | 2.10% | 2.85% | 1.85% | - |
Managed Futures Strategy Fund | 1.95% | 2.70% | 1.70% | - |
Multi-Strategy Alternatives Fund | - | - | 1.51% | 1.68% |
Sustainable Income Fund | - | - | 0.99% | - |
Thomson Reuters Private Equity Return Tracker Fund | 1.75% | 2.50% | 1.50% | - |
Thomson Reuters Venture Capital Return Tracker Fund | 1.75% | 2.50% | 1.50% | - |
* | Previously R-1 Class Shares. |
94 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
The Advisor has engaged Ampersand Investment Management LLC (the “Ampersand”), a Sub-Advisor, to manage the Alternative Growth Fund and Managed Futures Strategy Fund and pays Ampersand from its advisory fees.
The Advisor has engaged Chesapeake Capital Corporation (“Chesapeake”), a Sub-Advisor, to manage the Chesapeake Strategy Fund’s overall investment program, and pays Chesapeake from its advisory fees.
The Advisor has engaged SKY Harbor Capital Management, LLC (“SKY Harbor”), a Sub-Advisor, to manage the Sustainable Income Fund’s overall investment program, and pays SKY Harbor from its advisory fees.
Prior to the close of business on November 8, 2019, investment advisory services were provided to the Alternative Growth Predecessor Fund and the Chesapeake Strategy Predecessor Fund by Equinox Institutional Asset Management, LP (“Equinox”), which received investment management fees for its services pursuant to the terms of the investment advisory agreements for the Alternative Growth Predecessor Fund and the Chesapeake Strategy Predecessor Fund. The investment advisory fees were computed and accrued daily and paid monthly at an annual rate of 0.75% of the Alternative Growth Predecessor Fund’s average daily net assets and 1.50% of the Chesapeake Strategy Predecessor Fund’s, average daily net assets. Equinox had contractually agreed to waive its fee and, if necessary, to absorb other operating expenses to ensure that total annual operating expenses (excluding any taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses as determined in accordance with Form N-1A, expenses incurred in connection with any merger or reorganization, and extraordinary expenses such as litigation expenses) do not exceed 1.24% and 0.99% of the average daily net assets of Class A and Class I shares, respectively, of the Alternative Growth Predecessor Fund. Equinox had contractually agreed to waive its fee and, if necessary, to absorb other operating expenses to ensure that total annual operating expenses (excluding any taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses as determined in accordance with Form N-1A, expenses incurred in connection with any merger or reorganization, and extraordinary expenses such as litigation expenses) do not exceed 2.10%, 2.85% and 1.85% of the average daily net assets of Class A, Class C and Class I shares, respectively, of the Chesapeake Strategy Predecessor Fund.
Prior to the close of business on January 24, 2020, investment advisory services were provided to the Managed Futures Strategy Predecessor Fund by Equinox, which received investment management fees for its services pursuant to the terms of the investment advisory agreements for the Managed Futures Strategy Predecessor Fund. The investment advisory fees were computed and accrued daily and paid monthly at an annual rate of 1.45% of the Managed Futures Strategy Predecessor Fund’s average daily net assets. Equinox had contractually agreed to waive its fee and, if necessary, to absorb other operating expenses to ensure that total annual operating expenses (excluding any taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses as determined in accordance with Form N-1A, expenses incurred in connection with any merger or reorganization, and extraordinary expenses such as litigation expenses) do not exceed 1.95%, 2.70%, and 1.70% of the average daily net assets of Class A, Class C, and Class I shares, respectively, of the Managed Futures Strategy Predecessor Fund.
Prior to the close of business on October 18, 2019, investment advisory services were provided to the Multi-Strategy Alternatives Predecessor Fund by Kerns Capital Management, Inc., which received investment management fees for its services pursuant to the terms of the investment advisory agreements for the Multi-Strategy Alternatives Predecessor Fund. The investment advisory fees, which were computed and accrued daily and paid monthly, at an annual rate of 1.00% of the Fund’s average daily net assets.
95 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
Prior to the close of business on November 20, 2020, investment advisory services were provided to the Thomson Reuters Private Equity Return Tracker Predecessor Fund and the Thomson Reuters Venture Capital Return Tracker Predecessor Fund by Good Harbor Financial, LLC (“Good Harbor”) which received investment management fees for its services pursuant to the terms of the investment advisory agreements for the Thomson Reuters Private Equity Return Tracker Predecessor Fund and the Thomson Reuters Venture Capital Return Tracker Predecessor Fund. The investment advisory fees were computed and accrued daily and paid monthly at an annual rate of 1.25% of the Thomson Reuters Private Equity Return Tracker Predecessor Fund's average daily net assets and 1.25% of the Thomson Reuters Venture Capital Return Tracker Predecessor Fund's average daily net assets. Good Harbor had contractually agreed to waive its fee and, if necessary, to absorb other operating expenses to ensure that total annual operating expenses (excluding any taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses as determined in accordance with Form N-1A, expenses incurred in connection with any merger or reorganization, and extraordinary expenses such as litigation expenses) do not exceed 1.75%, 2.50%, and 1.50% of the average daily net assets of Class A, Class C, and Class I shares, respectively, of the Thomson Reuters Private Equity Return Tracker Predecessor Fund and the Thomson Reuters Venture Capital Return Tracker Predecessor Fund.
The Advisor may recover from the Fund’s fees and/or expenses previously waived and/or absorbed if the Funds’ expense ratio, including the recovered expenses, falls below the expense limit at which it was waived. The Advisor is permitted to seek reimbursement from the Fund, subject to certain limitations, of fees waived or payments made to the Fund for a period ending three full years after the date of the waiver or payment. This reimbursement may be requested from the Funds if the reimbursement will not cause the Funds’ annual expense ratio to exceed the lesser of (a) the expense limitation amount in effect at the time such fees were waived or payments made, or (b) the expense limitation amount in effect at the time of the reimbursement. The Advisor may recapture all or a portion of this amount no later than the dates stated below:
Alternative Growth Fund | Chesapeake Strategy Fund | Managed Futures Strategy Fund | Multi-Strategy Alternatives fund | |||||||||||||
June 30, 2023 | $ | 121,818 | $ | - | $ | - | $ | - | ||||||||
September 30, 2023 | 69,919 | 120,589 | 120,251 | - | ||||||||||||
September 30, 2024 | 212,481 | 217,024 | 280,243 | 105,332 | ||||||||||||
September 30, 2025 | 104,949 | 97,968 | 149,545 | 36,772 | ||||||||||||
Total | $ | 509,167 | $ | 435,581 | $ | 550,039 | $ | 142,104 |
Sustainable Income Fund | Thomson Reuters Private Equity Return Tracker Fund | Thomson Reuters Venture Capital Return Tracker Fund | ||||||||||
September 30, 2024 | $ | 53,753 | $ | 114,282 | $ | 148,438 | ||||||
September 30, 2025 | 64,844 | 95,545 | 295,608 | |||||||||
Total | $ | 118,597 | $ | 209,827 | $ | 444,046 |
96 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
Equinox is permitted to seek reimbursement, subject to certain limitations, of fees waived or payments made by Equinox to the Alternative Growth Predecessor Fund prior to the Alternative Growth Predecessor Fund’s reorganization on November 8, 2019, for a period ending three years after the date of the waiver of payment for the Alternative Growth Fund. This reimbursement may be requested from the Alternative Growth Fund if the reimbursement will not cause the Alternative Growth Fund’s annual expense ratio to exceed the lesser of (a) the expense limitation amount in effect at the time such fees were waived or payments made, or (b) the expense limitation amount in effect at the time of the reimbursement. Reimbursements of fees waived or payments made will be made on a “first in, first out” basis so that the oldest fees waived or payments are satisfied first. Any reimbursement of fees waived or payments made by Equinox to the Alternative Growth Predecessor Fund prior to the reorganization must be approved by the Trust’s Board of Trustees. Equinox may recapture all or a portion of this amount no later than June 30 of the years of the dates stated below for the Alternative Growth Fund:
2022 | $ | 231,363 | ||
2023 | 45,463 | |||
Total | $ | 276,826 |
Equinox is permitted to seek reimbursement, subject to certain limitations, of fees waived or payments made by Equinox to the Chesapeake Strategy Predecessor Fund prior to the Chesapeake Strategy Predecessor Fund’s reorganization on November 8, 2019, for a period ending three years after the date of the waiver of payment. This reimbursement may be requested from the Chesapeake Strategy Fund if the reimbursement will not cause the Chesapeake Strategy Fund’s annual expense ratio to exceed the lesser of (a) the expense limitation amount in effect at the time such fees were waived or payments made, or (b) the expense limitation amount in effect at the time of the reimbursement. Reimbursements of fees waived or payments made will be made on a “first in, first out” basis so that the oldest fees waived or payments are satisfied first. Any reimbursement of fees waived or payments made by Equinox to the Chesapeake Strategy Predecessor Fund prior to the reorganization must be approved by the Trust’s Board of Trustees. Equinox may recapture all or a portion of this amount no later than September 30 of the years stated below for the Chesapeake Strategy Fund:
2022 | $ | 148,881 | ||
2023 | 9,685 | |||
Total | $ | 158,566 |
Good Harbor is permitted to seek reimbursement, subject to certain limitations, of fees waived or payments made by Good Harbor to the Thomson Reuters Private Equity Return Tracker Predecessor Fund and Thomson Reuters Venture Capital Return Tracker Predecessor Fund prior to reorganization on November 20, 2020, for a period ending three years after the date of the waiver of payment. This reimbursement may be requested from the Thomson Reuters Private Equity Return Tracker Fund and Thomson Reuters Venture Capital Return Tracker Fund if the reimbursement will not cause the Thomson Reuters Private Equity Return Tracker’s annual expense ratio to exceed the lesser of (a) the expense limitation amount in effect at the time such fees were waived or payments made, or (b) the expense limitation amount in effect at the time of the reimbursement. Reimbursements of fees waived or payments made will be made on a “first in, first out” basis so that the oldest fees waived or payments are satisfied first. Any reimbursement of fees waived or payments made by Good Harbor to the Thomson Reuters Private Equity Return Tracker Predecessor Fund prior to the reorganization must be approved by the Trust’s Board of Trustees. Good Harbor may recapture all or a portion of this amount no later than September 30 of the years stated below for the Thomson Reuters Private Equity Return Tracker Fund and Thomson Reuters Venture Capital Return Tracker Fund:
97 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
Thomson Reuters Private Equity Return Tracker Fund | ||||
2022 | $ | 56,758 | ||
2023 | 38,717 | |||
2024 | 10,366 | |||
Total | $ | 105,841 |
Thomson Reuters Venture Capital Return Tracker Fund | ||||
2022 | $ | 307,693 | ||
2023 | 231,346 | |||
2024 | 98,415 | |||
Total | $ | 637,454 |
During the period ended March 31, 2022, a service provider reimbursed the Thomson Reuters Venture Capital Return Tracker Fund $8,347 for losses from a pricing error. This amount is reported on the Thomson Reuters Venture Capital Return Tracker Fund’s Statements of Operations and Statements of Changes under the caption “Net increase from payment by affiliates.” This reimbursement had no impact to the total return.
During the periods ended September 30, 2021, a service provider reimbursed the Thomson Reuters Venture Capital Return Tracker Fund $3,927 for losses from a pricing error. This amount is reported on the Thomson Reuters Venture Capital Return Tracker Fund’s Statements of Changes under the caption “Net increase from payment by affiliates.” This reimbursement had no impact to the total return.
UMB Fund Services, Inc. (“UMBFS”) serves as the Funds’ fund accountant, transfer agent and co-administrator; and Mutual Fund Administration, LLC (“MFAC”) serves as the Funds’ other co-administrator. UMB Bank, N.A., an affiliate of UMBFS, serves as the Funds’ custodian. Deutsche Bank Trust Company America (“DBTCA”) acts as the custodian with respect to certain collateral arrangements between the Alternative Growth Fund and Managed Futures Strategy Fund and counter-parties. DBTCA also acts as the custodian for the Alternative Growth Fund’s and Managed Futures Strategy Fund’s subsidiaries, Alternative Growth Fund Limited and Managed Futures Strategy Fund Limited, respectively, including certain collateral arrangements between the Subsidiaries and counter-parties.
Prior to the close of business on November 20, 2020, Gemini Fund Services, LLC (“GFS”), an affiliate of Northern Lights Distributors, LLC (“NLD”), served as administrator, fund accountant, and transfer agent to the Thomson Reuters Private Equity Return Tracker Predecessor Fund’s and Thomson Reuters Venture Capital Return Tracker Predecessor Fund and U.S. Bank N.A. served as these Predecessor Funds’ Custodian. These Funds’ allocated fees incurred for fund accounting, fund administration, transfer agency and custody services for the six months ended March 31, 2022, are reported on the Consolidated Statements of Operations.
IMST Distributors, LLC serves as the Funds’ distributor (the “Distributor”).
98 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
Prior to the close of business on November 20, 2020, NLD served as distributor to the Thomson Reuters Private Equity Return Tracker Predecessor Fund and Thomson Reuters Venture Capital Return Tracker Predecessor Fund.
Certain trustees and officers of the Trust are employees of UMBFS or MFAC. The Funds do not compensate trustees and officers affiliated with the Funds’ co-administrators. For the six months ended March 31, 2022, the Funds’ allocated fees incurred to Trustees who are not affiliated with the Funds’ co-administrators are reported on the Consolidated Statements of Operations. A portion of the fees were paid by the Trust’s Co-Administrators. Such amount is shown as a reduction of expenses, “Fees paid indirectly”, on the Consolidated Statements of Operations.
The Funds’ Board of Trustees has adopted a Deferred Compensation Plan (the “Plan”) for the Independent Trustees that enables Trustees to elect to receive payment in cash or the option to select various fund(s) in the Trust in which their deferred accounts shall be deemed to be invested. If a trustee elects to defer payment, the Plan provides for the creation of a deferred payment account. The Funds’ liability for these amounts is adjusted for market value changes in the invested fund and remains a liability to the Funds until distributed in accordance with the Plan. The Trustees’ Deferred compensation liability under the Plan constitutes a general unsecured obligation of the Funds and is disclosed in the Consolidated Statements of Assets and Liabilities. Contributions made under the plan and the change in unrealized appreciation/depreciation and income are included in the Trustees’ fees and expenses in the Consolidated Statements of Operations.
Dziura Compliance Consulting, LLC provides Chief Compliance Officer (“CCO”) services to the Trust. Prior to the close of business on November 20, 2020, Northern Lights Compliance Services, LLC (“NLCS”), an affiliate of GFS and NLD, served as the CCO to the Thomson Reuters Private Equity Return Tracker Predecessor Fund and Thomson Reuters Venture Capital Return Tracker Predecessor Fund. The Funds’ allocated fees incurred for CCO services for the six months ended March 31, 2022, are reported on the Consolidated Statements of Operations.
Note 4 – Federal Income Taxes
At March 31, 2022, the cost of securities on a tax basis and gross unrealized appreciation and (depreciation) on investments for federal income tax purposes were as follows:
Alternative Growth Fund | Chesapeake Strategy Fund | Managed Futures Strategy Fund | Multi-Strategy Alternatives Fund | |||||||||||||
Cost of investments | $ | 2,721,604 | $ | 37,936,435 | $ | 133,334,034 | $ | 15,789,075 | ||||||||
Gross unrealized appreciation | $ | - | $ | - | $ | - | $ | 1,390,480 | ||||||||
Gross unrealized depreciation | - | (9,446,941 | ) | (130,736,671 | ) | (660,369 | ) | |||||||||
Net unrealized appreciation (depreciation) on investments | $ | - | $ | (9,446,941 | ) | $ | (130,736,671 | ) | $ | 730,111 |
99 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
Sustainable Income Fund | Thomson Reuters Private Equity Return Tracker Fund | Thomson Reuters Venture Capital Return Tracker Fund | ||||||||||
Cost of investments | $ | 1,461,774 | $ | 18,657,370 | $ | 228,774,006 | ||||||
Gross unrealized appreciation | $ | 14,306 | $ | 4,454,816 | $ | 20,723,240 | ||||||
Gross unrealized depreciation | (37,613 | ) | (821,867 | ) | (23,979,251 | ) | ||||||
Net unrealized appreciation (depreciation) on investments | $ | (23,307 | ) | $ | 3,632,949 | $ | (3,256,011 | ) |
The difference between cost amounts for financial statement and federal income tax purposes is due primarily to timing differences in recognizing certain gains and losses in security transactions.
The tax basis of the components of distributable net earnings (deficit) at September 30, 2021 were as follows:
Alternative Growth Fund | Chesapeake Strategy Fund | Managed Futures Strategy Fund | ||||||||||
Undistributed ordinary income | $ | - | $ | 3,152,347 | $ | - | ||||||
Undistributed long-term capital gains | - | - | - | |||||||||
Tax accumulated earnings | - | 3,152,347 | - | |||||||||
Accumulated capital and other losses | (650,151 | ) | (17,070,529 | ) | (239,147 | ) | ||||||
Unrealized depreciation on investments | (845,792 | ) | (9,769,093 | ) | (125,217,761 | ) | ||||||
Unrealized depreciation on open swap contracts | (768,430 | ) | - | (7,618,598 | ) | |||||||
Unrealized appreciation on futures contracts | 133,070 | 637,756 | - | |||||||||
Unrealized depreciation on forward foreign currency exchange contracts | - | - | - | |||||||||
Unrealized appreciation (depreciation) on foreign currency translations | - | 5,118 | - | |||||||||
Unrealized Trustees’ deferred compensation | (1,050 | ) | (3,612 | ) | (10,809 | ) | ||||||
Total accumulated deficit | $ | (2,132,353 | ) | $ | (23,048,013 | ) | $ | (133,086,315 | ) |
100 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
Multi-Strategy Alternatives Fund | Sustainable Income Fund | Thomson Reuters Private Equity Return Tracker Fund | ||||||||||
Undistributed ordinary income | $ | 3,443,735 | $ | 939,331 | $ | 853,191 | ||||||
Undistributed long-term capital gains | 317,539 | 12,926 | 5,089,908 | |||||||||
Tax accumulated earnings | 3,761,274 | 952,257 | 5,943,099 | |||||||||
Accumulated capital and other losses | - | - | - | |||||||||
Unrealized appreciation (depreciation) on investments | 2,230,507 | 864,392 | 5,554,718 | |||||||||
Unrealized depreciation on open swap contracts | - | - | (944,589 | ) | ||||||||
Unrealized appreciation (depreciation) on futures contracts | - | - | - | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts | - | - | - | |||||||||
Unrealized appreciation on foreign currency translations | - | - | - | |||||||||
Unrealized Trustees’ deferred compensation | (5,196 | ) | (3,171 | ) | (1,470 | ) | ||||||
Total accumulated earnings (deficit) | $ | 5,986,585 | $ | 1,813,478 | $ | 10,551,758 |
101 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
Thomson Reuters Venture Capital Return Tracker Fund | ||||
Undistributed ordinary income | $ | 11,871,918 | ||
Undistributed long-term capital gains | 41,241,352 | |||
Tax accumulated earnings | 53,113,270 | |||
Accumulated capital and other losses | - | |||
Unrealized appreciation on investments | 78,017,375 | |||
Unrealized depreciation on open swap contracts | (20,205,565 | ) | ||
Unrealized appreciation (depreciation) on futures contracts | - | |||
Unrealized appreciation on forward foreign currency exchange contracts | - | |||
Unrealized appreciation on foreign currency translations | - | |||
Unrealized Trustees’ deferred compensation | (16,384 | ) | ||
Total accumulated earnings | $ | 110,908,696 |
The tax character of the distributions paid during the periods ended September 30, 2021 and September 30, 2020 were as follows:
Alternative Growth Fund | ||||||||
September 30, 2021 | September 30, 2020 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | - | $ | - | ||||
Net long-term capital gains | - | - | ||||||
Return of capital | - | - | ||||||
Total distributions paid | $ | - | $ | - |
Chesapeake Strategy Fund | ||||||||
Distributions paid from: | September 30, 2021 | September 30, 2020 | ||||||
Ordinary income | $ | - | $ | 3,146,191 | ||||
Net long-term capital gains | - | - | ||||||
Return of capital | - | - | ||||||
Total distributions paid | $ | - | $ | 3,146,191 |
102 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
Managed Futures Strategy Fund | ||||||||
Distributions paid from: | September 30, 2021 | September 30, 2020 | ||||||
Ordinary income | $ | - | $ | 27,725,036 | ||||
Net long-term capital gains | - | - | ||||||
Return of capital | - | 1,660,265 | ||||||
Total distributions paid | $ | - | $ | 29,385,301 |
Multi-Strategy Alternatives Fund | ||||||||
September 30, 2021 | September 30, 2020 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | - | $ | - | ||||
Net long-term capital gains | - | - | ||||||
Return of capital | - | - | ||||||
Total distributions paid | $ | - | $ | - |
Sustainable Income Fund | ||||||||
September 30, 2021 | September 30, 2020 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 2,357,551 | $ | - | ||||
Net long-term capital gains | - | - | ||||||
Return of capital | - | - | ||||||
Total distributions paid | $ | 2,357,551 | $ | - |
Thomson Reuters Private Equity Return Tracker Fund | ||||||||
September 30, 2021 | September 30, 2020 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 954,916 | $ | 126,901 | ||||
Net long-term capital gains | - | 126,587 | ||||||
Return of capital | - | - | ||||||
Total distributions paid | $ | 954,916 | $ | 253,488 |
Thomson Reuters Venture Capital Return Tracker Fund | ||||||||
September 30, 2021 | September 30, 2020 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 38,882,034 | $ | 13,498,495 | ||||
Net long-term capital gains | - | 3,955,152 | ||||||
Return of capital | - | - | ||||||
Total distributions paid | $ | 38,882,034 | $ | 17,453,647 |
103 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
Tax equalization allows a Fund to treat as distribution that portion of redemption proceeds representing a redeeming shareholder’s portion of undistributed taxable and net capital gains. The Thomson Reuters Private Equity Return Tracker Fund and Thomson Reuters Venture Capital Return Tracker Fund utilized equalization in the amount of $253,488 and $17,453,647, respectively, which resulted in a difference between tax distributions and book distributions as disclosed on the Statement of Changes for the year ended September 30, 2020. Net investment income and net realized gains(losses), as disclosed on the Statements of Operations and net assets were not affected by these reclassifications.
As of September 30, 2021, the Alternative Growth Fund had $30,210 of qualified late-year ordinary losses, which are deferred until fiscal year 2021 for tax purposes. Net late-year ordinary losses incurred after December 31, and within the taxable year, are deemed to arise on the first day of each Fund’s next taxable year.
As of September 30, 2021, the Funds had net capital loss carryovers as follows:
Alternative Growth Fund | Chesapeake Strategy Fund | Managed Futures Strategy Fund | Multi-Strategy Alternatives Fund | |||||||||||||
Not subject to expiration: | ||||||||||||||||
Short-term | $ | 212,610 | $ | 15,436,522 | $ | 135,836 | $ | - | ||||||||
Long-Term | 407,331 | 1,634,007 | 103,311 | - | ||||||||||||
Total | $ | 619,941 | $ | 17,070,529 | $ | 239,147 | $ | - |
Sustainable Income Fund | Thomson Reuters Private Equity Return Tracker Fund | Thomson Reuters Venture Capital Return Tracker Fund | ||||||||||
Not subject to expiration: | ||||||||||||
Short-term | $ | - | $ | - | $ | - | ||||||
Long-Term | - | - | - | |||||||||
Total | $ | - | $ | - | $ | - |
The Alternative Growth Fund, Chesapeake Strategy Fund and Multi-Strategy Alternatives Fund had utilized non-expiring capital loss carry overs totaling $2,261,400, $960,028 and $3,731,893, respectively.
104 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
Note 5 – Redemption Fee
The Alternative Growth Fund, Managed Futures Strategy Fund, Sustainable Income Fund, Thomson Reuters Private Equity Return Tracker Fund and Thomson Reuters Venture Capital Return Tracker Fund may impose a redemption fee of 1.00% of the total redemption amount on all shares redeemed within 30 days of purchase. These Funds received redemption fees as follows:
Six Months Ended March 31, 2022 | Periods Ended September 30, 2021 | |||||||
Alternative Growth Fund | $ | 124 | $ | 1,807 | ||||
Managed Futures Strategy Fund | 89 | 4,377 | ||||||
Sustainable Income Fund | - | - | ||||||
Thomson Reuters Private Equity Return Tracker Fund | 901 | 3,473 | ||||||
Thomson Reuters Venture Capital Return Tracker Fund | 32,345 | 67,117 |
Note 6 – Investment Transactions
For the six months ended March 31, 2022, cost of purchases and proceeds from sales of portfolio securities, other than short-term investments and short-term U.S. Government securities were as follows:
Purchases | Sales | |||||||
Alternative Growth Fund | $ | - | $ | - | ||||
Chesapeake Strategy Fund | - | - | ||||||
Managed Futures Strategy Fund | - | - | ||||||
Multi-Strategy Alternatives Fund | 39,512,100 | 41,540,677 | ||||||
Sustainable Income Fund | 5,609,487 | 54,713,770 | ||||||
Thomson Reuters Private Equity Return Tracker Fund | 5,815,870 | 11,361,374 | ||||||
Thomson Reuters Venture Capital Return Tracker Fund | 164,112,834 | 283,858,196 |
In accordance with the Funds’ registration statement, the Funds may pay all or a portion of a shareholder’s redemption proceeds in liquid securities (from the Fund’s portfolio) with a market value equal to the redemption amount (an in-kind redemption) in lieu of cash. An in-kind redemption is allowed by the Funds’ registration statement in order to protect the interests of the Funds’ remaining shareholders. On January 28, 2021, the Sustainable Income Fund had an in-kind redemption, whereby 4,944,439 shares were redeemed from the Fund. The Fund delivered investment securities with a fair value of $49,291,607 to this shareholder in lieu of cash. The fair market value of the investment securities delivered in this transaction are included in the Statements of Changes.
Note 7 – Distribution Plan
The Trust, on behalf of each Fund, has adopted a Distribution Plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act that allows each Fund to pay distribution fees for the sale and distribution of its shares. With respect to Class A shares and Investor Class shares, the Plan provides for the payment of distribution fees at the annual rate of up to 0.25% of average daily net assets. For Class C shares, the maximum annual fees payable to the Distributor for distribution services and administrative services are 0.75% and 0.25%, respectively, of the average daily net assets of such shares. Class I Shares are not subject to any distribution or service fees under the Plan.
105 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
Prior to the close of business on November 20, 2020, the Thomson Reuters Private Equity Return Tracker Predecessor Fund and Thomson Reuters Venture Capital Return Tracker Predecessor Fund adopted a distribution plan pursuant to Rule 12b-1 with respect to Class A shares and C shares. Pursuant to the Plan, the Thomson Reuters Private Equity Return Tracker Predecessor Fund and Thomson Reuters Venture Capital Return Tracker Predecessor Fund paid NLD at the annual rate of up to 0.25% and 1.00% of average daily net assets attributable to Class A shares and C shares, respectively. Class I shares did not pay any distribution fees. For the period October 1, 2020 through November 20, 2020, the Thomson Reuters Private Equity Return Tracker Predecessor Fund and Thomson Reuters Venture Capital Return Tracker Predecessor Fund paid NLD $1,668 and $45,346, respectively, with respect to Class A and Class C shares under the Predecessor Funds’ distribution plan. For the six months ended March 31, 2022, distribution fees incurred are disclosed on the Consolidated Statements of Operations.
Note 8 – Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations, which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds expect the risk of loss to be remote.
Note 9 – Fair Value Measurements and Disclosure
Fair Value Measurements and Disclosures defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and expands disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or a liability, when a transaction is not orderly, and how that information must be incorporated into a fair value measurement.
Under Fair Value Measurements and Disclosures, various inputs are used in determining the value of the Funds’ investments. These inputs are summarized into three broad Levels as described below:
· | Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access. |
· | Level 2 – Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. |
· | Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability and would be based on the best information available. |
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different Levels of the fair value hierarchy. In such cases, for disclosure purposes, the Level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest Level input that is significant to the fair value measurement in its entirety.
106 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the inputs used, as of March 31, 2022, in valuing the Funds’ assets and liabilities carried at fair value:
Alternative Growth Fund | Level 1 | Level 2 | Level 3** | Total | ||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Short-Term Investments | $ | 2,721,604 | $ | - | $ | - | $ | 2,721,604 | ||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | 282,435 | - | - | 282,435 | ||||||||||||
Total Assets | $ | 3,004,039 | $ | - | $ | - | $ | 3,004,039 | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Swap Contract | $ | - | $ | 274,481 | $ | - | $ | 274,481 | ||||||||
Total Liabilities | $ | - | $ | 274,481 | $ | - | $ | 274,481 |
Chesapeake Strategy Fund | Level 1 | Level 2* | Level 3** | Total | ||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Short-Term Investments | $ | 28,489,494 | $ | - | $ | - | $ | 28,489,494 | ||||||||
Total Investments | 28,489,494 | - | - | 28,489,494 | ||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | 1,705,999 | - | - | 1,705,999 | ||||||||||||
Total Assets | $ | 30,195,493 | $ | - | $ | - | $ | 30,195,493 | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Futures Contracts | $ | 420,284 | $ | - | $ | - | $ | 420,284 | ||||||||
Total Liabilities | $ | 420,284 | $ | - | $ | - | $ | 420,284 |
107 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
Managed Futures Strategy Fund | Level 1 | Level 2 | Level 3** | Total | ||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Short-Term Investments | $ | 2,597,363 | $ | - | $ | - | $ | 2,597,263 | ||||||||
Total Investments | 2,597,363 | - | - | 2,597,363 | ||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Swap Contracts | - | 19,981 | - | 19,981 | ||||||||||||
Total Assets | $ | 2,597,363 | $ | 19,981 | $ | - | $ | 2,617,244 | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Swap Contracts | $ | - | $ | 4,294,415 | $ | - | $ | 4,294,415 | ||||||||
Total Liabilities | $ | - | $ | 4,294,415 | $ | - | $ | 4,294,415 |
Multi-Strategy Alternatives Fund | Level 1 | Level 2 | Level 3** | Total | ||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Common Stocks1 | $ | 11,023,324 | $ | - | $ | - | $ | 11,023,324 | ||||||||
Exchange-Traded Funds | 3,045,018 | - | - | 3,045,018 | ||||||||||||
Short-Term Investments | 2,450,844 | - | - | 2,450,844 | ||||||||||||
Total Investments | $ | 16,519,186 | $ | - | $ | - | $ | 16,519,186 | ||||||||
Other Financial Instruments*** | ||||||||||||||||
Swap Contracts | $ | - | $ | 133,759 | $ | - | $ | 133,759 | ||||||||
Total Assets | $ | 16,519,186 | $ | 133,759 | $ | - | $ | 16,652,945 | ||||||||
Liabilities | ||||||||||||||||
Other Financial Instruments*** | ||||||||||||||||
Swap Contracts | $ | - | $ | 67,374 | $ | - | $ | 67,374 | ||||||||
Total Liabilities | $ | - | $ | 67,374 | $ | - | $ | 67,374 |
Sustainable Income Fund | Level 1 | Level 2 | Level 3** | Total | ||||||||||||
Investments | ||||||||||||||||
Corporate Bonds1 | $ | - | $ | 1,274,055 | $ | - | $ | 1,274,055 | ||||||||
Medium Term Notes | - | 5,062 | - | 5,062 | ||||||||||||
Short-Term Investments | 159,350 | - | - | 159,350 | ||||||||||||
Total Investments | $ | 159,350 | $ | 1,279,117 | $ | - | $ | 1,438,467 |
108 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
Thomson Reuters Private Equity Return Tracker Fund | Level 1 | Level 2 | Level 3** | Total | ||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Common Stocks1 | $ | 21,750,063 | $ | - | $ | - | $ | 21,750,063 | ||||||||
Short-Term Investments | 540,256 | - | - | 540,256 | ||||||||||||
Total Investments | $ | 22,290,319 | $ | - | $ | - | $ | 22,290,319 | ||||||||
Other Financial Instruments*** | ||||||||||||||||
Swap Contracts | $ | - | $ | 868,340 | $ | - | $ | 868,340 | ||||||||
Total Assets | $ | 22,290,319 | $ | 868,340 | $ | - | $ | 23,158,659 |
Thomson Reuters Venture Capital Return Tracker Fund | Level 1 | Level 2 | Level 3** | Total | ||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Common Stocks1 | $ | 223,115,949 | $ | - | $ | - | $ | 223,115,949 | ||||||||
Short-Term Investments | 2,402,046 | - | - | 2,402,046 | ||||||||||||
Total Investments | $ | 225,517,995 | $ | - | $ | - | $ | 225,517,995 | ||||||||
Other Financial Instruments*** | ||||||||||||||||
Swap Contracts | $ | - | $ | 6,067,666 | $ | - | $ | 6,067,666 | ||||||||
Total Assets | $ | 225,517,995 | $ | 6,067,666 | $ | - | $ | 231,585,661 |
1 | For a detailed break-out of common stocks and corporate bonds by major industry classification, please refer to the Schedules of Investments. |
* | The Funds did not hold any Level 2 securities at period end. |
** | The Funds did not hold any Level 3 securities at period end. |
*** | Other financial instruments are derivative instruments such as swap contracts, futures contracts and forward foreign currency contracts. Swap contracts, futures contracts and forward foreign currency contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
Note 10 – Derivative and Hedging Disclosure
Derivatives and Hedging requires enhanced disclosures about the Funds’ derivative and hedging activities, including how such activities are accounted for and their effects on the Funds’ financial position and performance. The Funds invested in futures contracts, swap contracts and forward foreign currency contracts during the six months ended March 31, 2022.
109 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
The effects of these derivative instruments on the Funds’ financial position and financial performance as reflected in the Consolidated Statements of Assets and Liabilities and Consolidated Statements of Operations are presented in the tables below. The fair values of derivative instruments, as of March 31, 2022, by risk category are as follows:
Alternative Growth Fund | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not designated as hedging instruments | Consolidated Statements of Assets and Liabilities | Value | Consolidated Statements of Assets and Liabilities |
Value | ||||||||
Equity contracts | Unrealized appreciation on open futures contracts | $ | 282,435 | Unrealized depreciation on open futures contracts | $ | - | ||||||
Mixed: Interest rate, equity and foreign exchange contracts | Unrealized appreciation on open swap contracts | - | Unrealized depreciation on open swap contracts | 274,481 | ||||||||
Total | $ | 282,435 | $ | 274,481 |
* | Includes cumulative appreciation/depreciation on futures contracts as reported on the Schedule of Investments. Net unrealized appreciation/depreciation is shown as variation margin on futures contracts on the Consolidated Statements of Assets and Liabilities. |
Chesapeake Strategy Fund | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not designated as hedging instruments | Consolidated Statements of Assets and Liabilities | Value | Consolidated Statements of Assets and Liabilities | Value | ||||||||
Commodity contracts | Unrealized appreciation on open futures contracts | $ | 570,156 | Unrealized depreciation on open futures contracts | $ | 190,250 | ||||||
Currency contracts | Unrealized appreciation on open futures contracts | 153,316 | Unrealized depreciation on open futures contracts | 139,559 | ||||||||
Interest rate contracts | Unrealized appreciation on open futures contracts | 961,770 | Unrealized depreciation on open futures contracts | 1,062 | ||||||||
Index contracts | Unrealized appreciation on open futures contracts | 20,757 | Unrealized depreciation on open futures contracts | 89,413 | ||||||||
Total | $ | 1,705,999 | $ | 420,284 |
110 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
Managed Futures Strategy Fund | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not designated as hedging instruments | Consolidated Statements of Assets and Liabilities | Value | Consolidated Statements of Assets and Liabilities | Value | ||||||||
Mixed: Interest rate, equity and foreign exchange contracts | Unrealized appreciation on open swap contracts | $ | 19,981 | Unrealized depreciation on open swap contracts | $ | 4,294,415 | ||||||
Total | $ | 19,981 | $ | 4,294,415 |
Multi-Strategy Alternatives Fund | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not designated as hedging instruments | Consolidated Statements of Assets and Liabilities | Value | Consolidated Statements of Assets and Liabilities | Value | ||||||||
Equity contracts | Unrealized appreciation on open swap contracts | $ | 133,759 | Unrealized depreciation on open swap contracts | $ | 67,374 | ||||||
Total | $ | 133,759 | $ | 67,374 |
Thomson Reuters Private Equity Return Tracker Fund | ||||||
Asset Derivatives | ||||||
Derivatives not designated as hedging instruments | Consolidated Statements of Assets and Liabilities | Value | ||||
Equity contracts | Unrealized appreciation on open swap contracts | $ | 868,340 | |||
Total | $ | 868,340 |
Thomson Reuters Venture Capital Return Tracker Fund | ||||||
Asset Derivatives | ||||||
Derivatives not designated as hedging instruments | Consolidated Statements of Assets and Liabilities | Value | ||||
Equity contracts | Unrealized appreciation on open swap contracts | $ | 6,067,666 | |||
Total | $ | 6,067,666 |
111 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
The effects of derivative instruments on the Consolidated Statements of Operations for the six months ended March 31, 2022, are as follows:
Alternative Growth Fund | ||||||||
Amount of Realized Gain or (Loss) on Derivatives Recognized in the Consolidated Statements of Operations | ||||||||
Derivatives not designated as hedging instruments | Futures Contracts | Open Swap Contract | ||||||
Equity contracts | $ | (476,152 | ) | $ | - | |||
Mixed: Interest rate, equity and foreign exchange contracts | - | (717,740 | ) | |||||
Total | $ | (476,152 | ) | $ | (717,740 | ) |
Chesapeake Strategy Fund | ||||
Amount of Realized Gain or (Loss) on Derivatives Recognized in the Consolidated Statements of Operations | ||||
Derivatives not designated as hedging instruments | Futures Contracts | |||
Commodity contracts | $ | 2,613,103 | ||
Currency contracts | 71,108 | |||
Index contracts | (168,174 | ) | ||
Interest rate contracts | 791,943 | |||
Total | $ | 3,307,980 |
Managed Futures Strategy Fund | ||||
Amount of Realized Gain or (Loss) on Derivatives Recognized in the Consolidated Statements of Operations | ||||
Derivatives not designated as hedging instruments | Open Swap Contracts | |||
Mixed: Interest rate, equity and foreign exchange contracts | $ | (3,998,526 | ) |
Multi-Strategy Alternatives Fund | ||||
Amount of Realized Gain or (Loss) on Derivatives Recognized in the Consolidated Statements of Operations | ||||
Derivatives not designated as hedging instruments | Open Swap Contracts | |||
Equity contracts | $ | 16,446 |
Thomson Reuters Private Equity Return Tracker Fund | ||||
Amount of Realized Gain or (Loss) on Derivatives Recognized in the Consolidated Statements of Operations | ||||
Derivatives not designated as hedging instruments | Open Swap Contracts | |||
Equity contracts | $ | (2,060,773 | ) |
Thomson Reuters Venture Capital Return Tracker Fund | ||||
Amount of Realized Gain or (Loss) on Derivatives Recognized in the Consolidated Statements of Operations | ||||
Derivatives not designated as hedging instruments | Open Swap Contracts | |||
Equity contracts | $ | (87,884,789 | ) |
112 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
Alternative Growth Fund | ||||||||||||
Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in the Consolidated Statements of Operations | ||||||||||||
Derivatives not designated as hedging instruments | Futures Contracts | Open Swap Contract | Total | |||||||||
Equity contracts | $ | 415,505 | $ | - | $ | 415,505 | ||||||
Mixed: Interest rate, equity and foreign exchange contracts | - | 360,879 | 360,879 | |||||||||
Total | $ | 415,505 | $ | 360,879 | $ | 776,384 |
Chesapeake Strategy Fund | ||||
Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in the Consolidated Statements of Operations | ||||
Derivatives not designated as hedging instruments | Futures Contracts | |||
Commodity contracts | $ | 64,006 | ||
Currency contracts | 6,357 | |||
Index contracts | 569,659 | |||
Interest rate contracts | 7,937 | |||
Total | $ | 647,959 |
Managed Futures Strategy Fund | ||||
Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in the Consolidated Statements of Operations | ||||
Derivatives not designated as hedging instruments | Open Swap Contracts | |||
Mixed: Interest rate, equity and foreign exchange contracts | $ | 3,344,164 |
Multi-Strategy Alternatives Fund | ||||
Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in the Consolidated Statements of Operations | ||||
Derivatives not designated as hedging instruments | Open Swap Contracts | |||
Equity contracts | $ | 46,045 |
113 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
Thomson Reuters Private Equity Return Tracker Fund | ||||
Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in the Consolidated Statements of Operations | ||||
Derivatives not designated as hedging instruments | Open Swap Contracts | |||
Equity contracts | $ | 1,812,929 |
Thomson Reuters Venture Capital Return Tracker Fund | ||||
Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in the Consolidated Statements of Operations | ||||
Derivatives not designated as hedging instruments | Open Swap Contracts | |||
Equity contracts | $ | 26,273,231 |
The average quarterly volume of derivative instruments held by the Funds during the six months ended March 31, 2022 are as follows:
Alternative Growth Fund | ||||||||||
Futures Contracts | Open Swap Contract | |||||||||
Equity contracts | Notional Value | $ | 5,936,027 | $ | - | |||||
Mixed: Interest Rate, Equity and Foreign Exchange Contracts | Notional Value | - | 10,403,317 |
Chesapeake Strategy Fund | ||||||||||
Long Futures Contracts* | Short Futures Contracts* | |||||||||
Commodity contracts | Notional Value | $ | 9,404,023 | $ | 279,099 | |||||
Currency contracts | Notional Value | 13,828,965 | 10,080,914 | |||||||
Index contracts | Notional Value | 78,426,788 | 18,178,867 | |||||||
Interest rate contracts | Notional Value | - | 24,195,920 |
*Local currency
Managed Futures Strategy Fund | ||||||
Open Swap Contract | ||||||
Mixed: Interest Rate, Equity and Foreign Exchange Contracts | Notional Value | $ | 111,158,267 |
114 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
Multi-Strategy Alternatives Fund | ||||||||||||
Open Swap Contracts - Long | Open Swap Contracts - Short | |||||||||||
Equity contracts | Notional Value | $ | 3,537,216 | $ | 3,510,373 |
Thomson Reuters Private Equity Return Tracker Fund | ||||||
Open Swap Contracts - Long | ||||||
Equity contracts | Notional Value | $ | 31,957,695 |
Thomson Reuters Venture Capital Return Tracker Fund | ||||||
Open Swap Contracts - Long | ||||||
Equity contracts | Notional Value | $ | 594,137,422 |
Note 11 - Disclosures about Offsetting Assets and Liabilities
Disclosures about Offsetting Assets and Liabilities requires an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. The guidance requires retrospective application for all comparative periods presented.
A Fund mitigates credit risk with respect to OTC derivative counterparties through credit support annexes included with International Swaps and Derivative Association (“ISDA”) Master Agreements or other Master Netting Agreements which are the standard contracts governing most derivative transactions between the Funds and each of its counterparties. These agreements allow the Funds and each counterparty to offset certain derivative financial instruments’ payables and/or receivables against each other and/or with collateral, which is generally held by the Funds’ custodian. The amount of collateral moved to/from applicable counterparties is based upon minimum transfer amounts specified in the agreement. To the extent amounts due to the Funds from its counterparties are not fully collateralized contractually or otherwise, the Funds bear the risk of loss from counterparty non-performance.
115 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
It is the Funds’ policy to recognize a net asset or liability equal to the unrealized appreciation (depreciation) of futures, forward foreign currency exchange and swap contracts. As of March 31, 2022, the Funds are subject to a master netting arrangement for the futures, foreign forward currency exchange and swap contracts. The following table shows additional information regarding the offsetting of assets and liabilities, as of March 31, 2022:
Alternative Growth Fund | ||||||||||||||||||||||||||
Amounts Not Offset in Statement of Assets and Liabilities | ||||||||||||||||||||||||||
Description | Counterparty | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | Financial Instruments** | Cash Collateral** | Net Amount | |||||||||||||||||||
Unrealized appreciation on open futures contracts* | Morgan Stanley | $ | 282,435 | $ | - | $ | 282,435 | $ | - | $ | - | $ | - | |||||||||||||
Unrealized depreciation on open swap contract | Deutsche Bank | (274,481 | ) | - | (274,481 | ) | - | 274,481 | - |
Chesapeake Strategy Fund | ||||||||||||||||||||||||||
Amounts Not Offset in Statement of Assets and Liabilities | ||||||||||||||||||||||||||
Description | Counterparty | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | Financial Instruments** | Cash Collateral** | Net Amount | |||||||||||||||||||
Unrealized appreciation on open futures contracts* | Morgan Stanley | $ | 1,705,999 | $ | (420,284 | ) | $ | 1,285,715 | $ | - | $ | - | $ | - |
116 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
Managed Futures Strategy Fund | ||||||||||||||||||||||||||
Amounts Not Offset in Statement of Assets and Liabilities | ||||||||||||||||||||||||||
Description | Counterparty | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | Financial Instruments** | Cash Collateral** | Net Amount | |||||||||||||||||||
Unrealized depreciation on open swap contracts | Deutsche Bank | $ | - | $ | (4,274,738 | ) | $ | (4,274,738 | ) | $ | - | $ | 4,274,738 | $ | - | |||||||||||
Unrealized appreciation/ depreciation on open swap contracts | Morgan Stanley | 19,981 | (19,677 | ) | 304 | - | - | - |
Multi-Strategy Alternatives Fund | ||||||||||||||||||||||||||
Amounts Not Offset in Statement of Assets and Liabilities | ||||||||||||||||||||||||||
Description | Counterparty | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | Financial Instruments** | Cash Collateral** | Net Amount | |||||||||||||||||||
Unrealized appreciation on open swap contracts | Cowen | $ | 133,759 | $ | (67,374 | ) | $ | 66,385 | $ | - | $ | - | $ | - |
117 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
Thomson Reuters Private Equity Return Tracker Fund | ||||||||||||||||||||||||||
Amounts Not Offset in Statement of Assets and Liabilities | ||||||||||||||||||||||||||
Description | Counterparty | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | Financial Instruments** | Cash Collateral** | Net Amount | |||||||||||||||||||
Unrealized depreciation on open swap contracts | BNP Paribas | $ | 868,340 | $ | - | $ | 868,340 | $ | 868,340 | $ | - | $ | - |
Thomson Reuters Venture Capital Return Tracker Fund | ||||||||||||||||||||||||||
Amounts Not Offset in Statement of Assets and Liabilities | ||||||||||||||||||||||||||
Description | Counterparty | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | Financial Instruments** | Cash Collateral** | Net Amount | |||||||||||||||||||
Unrealized depreciation on open swap contracts | BNP Paribas | $ | 6,067,666 | $ | - | $ | 6,067,666 | $ | 6,067,666 | $ | - | $ | - |
* | Includes cumulative appreciation/depreciation on futures contracts as reported on the Schedule of Investments. Net unrealized appreciation/depreciation is shown as variation margin on futures contracts on the Consolidated Statements of Assets and Liabilities. |
** | Amounts relate to master netting agreements and collateral agreements which have been determined by the Advisor to be legally enforceable in the event of default but where certain other criteria are not met in accordance with applicable offsetting accounting guidance. The collateral amounts may exceed the related net amounts of financial assets and liabilities presented in the Consolidated Statements of Assets and Liabilities. Where this is the case, the total amount reported is limited to the net amounts of financial assets and liabilities with that counterparty. |
118 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
Note 12 – Control Ownership
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a Fund creates presumption of control of the Fund, under Section 2(a) 9 of the Act. As of March 31, 2022, beneficial ownership in excess of 25% is as follows:
Fund | Beneficial Owner | % of Outstanding Shares |
Alternative Growth Fund | National Financial Services, LLC | 33% |
Alternative Growth Fund | TD Ameritrade, Inc. | 35% |
Managed Futures Strategy Fund | Raymond James Financial | 46% |
Multi-Strategy Alternatives Fund | National Financial Services, LLC | 63% |
Sustainable Income Fund | SEI Private Trust Company | 68% |
Thomson Reuters Private Equity Return Tracker Fund | National Financial Services, LLC | 69% |
Thomson Reuters Venture Capital Return Tracker Fund | LPL Financial Holdings, Inc. | 30% |
The Trust has no knowledge as to whether all or any portion of the shares owned of record are also owned beneficially.
Note 13 – Market Disruption and Geopolitical Risks
Certain local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, or other events could have a significant impact on a security or instrument. Since 2020, the novel strain of coronavirus (COVID-19) has negatively affected the worldwide economy, as well as the economies of individual countries, the financial health of individual companies and the market in general in significant and unforeseen ways. Following Russia’s large-scale invasion of Ukraine, the President of the United States signed an Executive Order in February 2022 prohibiting U.S. persons from entering transactions with the Central Bank of Russia and Executive Orders in March 2022 prohibiting U.S. persons from importing oil and gas from Russia as well as other popular Russian exports, such as diamonds, seafood and vodka. There may also be restrictions on investments in Chinese companies. For example, the President of the United States of America signed an Executive Order in June 2021 affirming and expanding the U.S. policy prohibiting U.S. persons from purchasing or investing in publicly-traded securities of companies identified by the U.S. Government as “Chinese Military-Industrial Complex Companies.” The list of such companies can change from time to time, and as a result of forced selling or an inability to participate in an investment the Advisor otherwise believes is attractive, the Funds may incur losses. The duration of the coronavirus outbreak and the Russian-Ukraine conflict could adversely affect the Funds’ performance, the performance of the securities in which the Funds invest and may lead to losses on your investment. The ultimate impact of COVID-19 and Russia Invasion on the financial performance of the Funds’ investments is not reasonably estimable at this time. Management is actively monitoring these events.
Note 14 – New Accounting Pronouncement
In October 2020, the SEC adopted new regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). Rule 18f-4 will impose limits on the amount of derivatives a Fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, and require funds whose use of derivatives is greater than a limited specified amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager. Funds will be required to comply with Rule 18f-4 by August 19, 2022. It is not currently clear what impact, if any, Rule 18f-4 will have on the availability, liquidity or performance of derivatives. Management is currently evaluating the potential impact of Rule 18f-4 on the Fund(s). When fully implemented, Rule 18f-4 may require changes in how a Fund uses derivatives, adversely affect the Fund’s performance and increase costs related to the Fund’s use of derivatives.
119 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
In December 2020, the SEC adopted a new rule providing a framework for fund valuation practices (“Rule 2a-5”). Rule 2a-5 establishes requirements for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit fund boards to designate certain parties to perform fair value determinations, subject to board oversight and certain other conditions. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. In connection with Rule 2a-5, the SEC also adopted related recordkeeping requirements and is rescinding previously issued guidance, including with respect to the role of a board in determining fair value and the accounting and auditing of fund investments. The Funds will be required to comply with the rules by September 8, 2022. Management is currently assessing the potential impact of the new rules on the Funds’ financial statements.
The SEC adopted new Rule 12d1-4, which will allow registered investment companies (including business development companies (“BDCs”), unit investment trusts (“UITs”), closed-end funds, exchange-traded funds (“ETFs”), and exchange-traded managed funds (“ETMFs”) (an “acquiring” fund), to invest in other investment companies (an “acquired fund”), including private funds under a specific exception, beyond the limits of Section 12(d)(1), subject to the conditions of the rule. Rule 12d1-4 became effective January 19, 2021. Funds electing to rely on Rule 12d1-4 will have to comply with the rules by January 19, 2022.
In March 2020, FASB issued ASU 2020-04, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The main objective of the new guidance is to provide relief to companies that will be impacted by the expected change in benchmark interest rates at the end of 2021, when participating banks will no longer be required to submit London Interbank Offered Rate (“LIBOR”) quotes by the UK Financial Conduct Authority. The new guidance allows companies to, provided the only change to existing contracts are a change to an approved benchmark interest rate, account for modifications as a continuance of the existing contract without additional analysis. In addition, derivative contracts that qualified for hedge accounting prior to modification, will be allowed to continue to receive such treatment, even if critical terms change due to a change in the benchmark interest rate. For new and existing contracts, the Funds may elect to apply the amendments as of March 12, 2020 through December 31, 2022. Management is currently assessing the impact of the ASU’s adoption to the Funds’ financial statements and various filings.
Note 15 – Events Subsequent to the Fiscal Period End
The Funds have adopted financial reporting rules regarding subsequent events which require an entity to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed at the date of the balance sheet. Management has evaluated the Funds’ related events and transactions that occurred through the date of issuance of the Funds’ consolidated financial statements.
On May 17, 2022, based on the recommendation of Advisor, the Board of Trustees of the Trust has approved the proposed reorganization of the AXS Managed Futures Strategy Fund (the “Target Fund”) into the AXS Chesapeake Strategy Fund (the “Acquiring Fund” and together with the Target Fund, the “Funds”).
In order to accomplish the Reorganization, the Board approved an Agreement and Plan of Reorganization (the “Plan”). The Plan provides for an exchange of shares of each class of the Target Fund for shares of the same class of the Acquiring Fund, which would be distributed pro rata by the Target Fund to the holders of the shares of such class in complete liquidation of the Target Fund, and the Acquiring Fund’s assumption of all of the liabilities of the Target Fund. Shareholders of each class of the Target Fund will receive shares of the Acquiring Fund equal in value to the shares of the Target Fund held by the shareholders prior to the Reorganization. The effect of the Reorganization will be that the Target Fund’s shareholders will become shareholders of the Acquiring Fund. Target Fund shareholders are generally not expected to recognize gain or loss for U.S. federal income tax purposes as a direct result of the Reorganization.
120 |
AXS Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS - Continued
March 31, 2022 (Unaudited)
The Advisor will continue to serve as investment advisor to the Acquiring Fund following the Reorganization. The Target Fund and Acquiring Fund have similar investment objectives, investment strategies, investment restrictions and investment risks. The primary difference is that the Funds are managed by different sub-advisors, each of which uses its own proprietary investment program to invest its Fund’s assets. The Acquiring Fund utilizes trend following strategies, which generally seek to identify the general direction of one or more global market segments (either up or down) using indicators such as current market prices and moving average prices, and buy or sell investments based on the assessment of these trade signals as determined before a trade is made. The Acquiring Fund invests directly or indirectly through its wholly-owned and controlled subsidiary in a diversified portfolio of futures contracts and futures-related instruments such as forwards and swaps. The Target Fund invests directly or indirectly through its wholly-owned and controlled subsidiary in trading companies that employ managed futures programs, with the aim of providing exposure to a portfolio of complementary managed futures programs that is consistent with the Target Fund’s investment objective. The Target Fund utilizes total return swaps based on a customized index to gain exposure to managed futures programs.
No vote of the shareholders of the Target Fund is required to approve the Reorganization. A prospectus/information statement that contains important information about the Reorganization, including information about investment strategies, risks, fees and expenses, will be mailed before the consummation of the Reorganization to holders of the Target Fund’s shares as of the record date. The Reorganization is expected to take effect in the third quarter of 2022.
There were no other events or transactions that occurred during this period that materially impacted the amounts or disclosures in the Funds’ consolidated financial statements.
121 |
AXS Funds
SUPPLEMENTAL INFORMATION (Unaudited)
Board Consideration of Investment Advisory and Sub-Advisory Agreements
At an in-person meeting held on January 20, 2022, the Board of Trustees (the “Board”) of Investment Managers Series Trust II (the “Trust”), including the trustees who are not “interested persons” of the Trust (the “Independent Trustees”) as defined in the Investment Company Act of 1940, as amended (the “1940 Act”), reviewed and unanimously approved the renewal of the investment advisory agreement (the “Advisory Agreement”) between the Trust and AXS Investments LLC (the “Investment Advisor”) for an additional one-year term from when it otherwise would expire, with respect to the following series of the Trust (each a “Fund” and collectively, the “Funds”):
· | AXS Alternative Growth Fund (the “Alternative Growth Fund”), |
· | AXS Managed Futures Strategy Fund (the “Managed Futures Strategy Fund”), |
· | AXS Chesapeake Strategy Fund (the “Chesapeake Strategy Fund”), |
· | AXS Multi-Strategy Alternatives Fund (the “Multi-Strategy Alternatives Fund”), |
· | AXS Thomson Reuters Private Equity Return Tracker Fund (the “Private Equity Return Tracker Fund”), |
· | AXS Thomson Reuters Venture Capital Return Tracker Fund (the “Venture Capital Return Tracker Fund”), and |
· | AXS Sustainable Income Fund (the “Sustainable Income Fund”). |
At the same meeting, the Board and the Independent Trustees also reviewed and unanimously approved the renewal of the following agreements for an additional one-year term from when they otherwise would expire:
· | the sub-advisory agreement (the “Ampersand Sub-Advisory Agreement”) between the Investment Advisor and Ampersand Investment Management, LLC (“Ampersand”) with respect to the Alternative Growth Fund and the Managed Futures Strategy Fund; |
· | the sub-advisory agreement (the “Chesapeake Sub-Advisory Agreement”) between the Investment Advisor and Chesapeake Capital Corporation (“Chesapeake Capital”) with respect to the Chesapeake Strategy Fund; |
· | the sub-advisory agreement (the “SKY Harbor Sub-Advisory Agreement”) between the Investment Advisor and SKY Harbor Capital Management, LLC (“SKY Harbor” and together with Ampersand and Chesapeake Capital, the “Sub-Advisors”) with respect to the Sustainable Income Fund; |
· | the investment advisory agreement between the Investment Advisor and AXS Alternative Growth Fund Limited (the “Alternative Growth Fund Subsidiary”), a wholly-owned subsidiary of the Alternative Growth Fund organized in the Cayman Islands, and the sub-advisory agreement between the Investment Advisor and Ampersand with respect to the Alternative Growth Fund Subsidiary (together, the “Alternative Growth Fund Subsidiary Agreements”); |
· | the investment advisory agreement between the Investment Advisor and AXS Managed Futures Strategy Fund Limited (the “Managed Futures Strategy Fund Subsidiary”), a wholly-owned subsidiary of the Managed Futures Strategy Fund organized in the Cayman Islands, and the sub-advisory agreement between the Investment Advisor and Ampersand with respect to the Managed Futures Strategy Fund Subsidiary (together, the “Managed Futures Strategy Fund Subsidiary Agreements”); and |
122 |
AXS Funds
SUPPLEMENTAL INFORMATION (Unaudited) - Continued
· | the investment advisory agreement between the Investment Advisor and AXS Chesapeake Strategy Fund Limited (the “Chesapeake Strategy Fund Subsidiary” and together with the Alternative Growth Fund Subsidiary and Managed Futures Strategy Fund Subsidiary, the “Subsidiaries”), a wholly-owned subsidiary of the Chesapeake Strategy Fund organized in the Cayman Islands, and the sub-advisory agreement between the Investment Advisor and Chesapeake Capital with respect to the Chesapeake Strategy Fund Subsidiary (together, the “Chesapeake Strategy Fund Subsidiary Agreements”). |
The Alternative Growth Fund Subsidiary Agreements, the Managed Futures Strategy Fund Subsidiary Agreements, and the Chesapeake Strategy Fund Subsidiary Agreements are collectively referred to below as the “Subsidiary Agreements.” The Advisory Agreement, the Ampersand Sub-Advisory Agreement, the Chesapeake Sub-Advisory Agreement, the SKY Harbor Sub-Advisory Agreement, and the Subsidiary Agreements are collectively referred to below as the “Fund Advisory Agreements.”
In approving the renewal of the Fund Advisory Agreements with respect to each Fund, as applicable, the Board, including the Independent Trustees, determined that such renewal was in the best interests of the Fund and its shareholders.
Background
In advance of the meeting, the Board received information about the Funds, the Subsidiaries, and the Fund Advisory Agreements from the Investment Advisor, the Sub-Advisors, and Mutual Fund Administration, LLC and UMB Fund Services, Inc., the Trust’s co-administrators, certain portions of which are discussed below. The materials, among other things, included information about the organization and financial condition of the Investment Advisor and the Sub-Advisors; information regarding the background, experience, and compensation structure of relevant personnel providing services to each Fund and Subsidiary, as applicable; information about the Investment Advisor’s and the Sub-Advisors’ compliance policies and procedures, disaster recovery and contingency planning, and policies with respect to portfolio execution and trading; information regarding the profitability of the Investment Advisor’s overall relationship with the Funds; reports comparing the performance of each Fund with returns of its benchmark index and a Peer Group selected by Broadridge from Morningstar, Inc.’s relevant Fund Universe for various periods ended October 31, 2021; reports comparing the investment advisory fee and total expenses of each Fund with those of its respective Peer Group and Fund Universe; and the advisory and sub-advisory fees paid pursuant to each Fund Advisory Agreement, as applicable. The Board also received a memorandum from legal counsel to the Trust and the Independent Trustees discussing the legal standards under the 1940 Act and other applicable law for their consideration of the proposed renewal of the Fund Advisory Agreements. In addition, the Board considered information reviewed by the Board regarding other series of the Trust managed by the Investment Advisor during the year at other Board and Board committee meetings. No representatives of the Investment Advisor or the Sub-Advisors were present during the Board’s consideration of the Fund Advisory Agreements, and the Independent Trustees were represented by their legal counsel with respect to the matters considered.
In renewing each Fund Advisory Agreement, the Board and the Independent Trustees considered a variety of factors, including those discussed below. In their deliberations, the Board and the Independent Trustees did not identify any particular factor that was controlling, and each Trustee may have attributed different weights to the various factors.
123 |
AXS Funds
SUPPLEMENTAL INFORMATION (Unaudited) - Continued
AXS Investments LLC
Nature, Extent and Quality of Services
The Board considered information included in the meeting materials regarding the performance of each Fund. The materials they reviewed indicated the following:
· | The Alternative Growth Fund’s annualized total returns for the one-, three-, and five-year periods were above the Peer Group and Long-Short Equity Fund Universe median returns, but below the S&P 500 Index returns by 0.30%, 2.19%, and 4.78%, respectively. The Trustees considered the Investment Advisor’s belief that the Fund’s underperformance relative to the S&P 500 Index was due to the impact of fees and expenses, as well as the difference in the Fund’s strategy, which allocates to an overlay that is dedicated to diversifying commodity trading advisor (“CTA”) strategies and CTA market hedge strategies. |
· | The Managed Futures Strategy Fund’s annualized total return for the ten-year period was below the Peer Group and Systematic Trend Fund Universe median returns and the S&P 500 Index return by 3.32%, 4.09%, and 17.95%, respectively. The Fund’s annualized total return for the five-year period was below the Peer Group and Fund Universe median returns, the S&P 500 Index return, and the Barclay BTOP50 Index return by 7.57%, 8.70%, 8.88%, and 24.12%, respectively. The Fund’s annualized total return for the three-year period was below the Peer Group median return by 9.81%, the Barclay BTOP50 Index return by 12.88%, the Fund Universe median return by 12.94%, and the S&P 500 Index return by 28.11%. For the one-year period, the Fund’s total return was below the Peer Group and Fund Universe median returns, the Barclay BTOP50 Index return, and the S&P 500 Index return by 18.61%, 21.20%, 23.77%, and 46.80%, respectively. The Trustees considered the Investment Advisor’s assertion that the Fund’s underperformance relative to the Peer Group can be attributed to a single trading program, the Quadriga Smart Gold options and futures trading program, and that the Quadriga program was reduced and removed from the Fund’s portfolio in October 2021. |
· | The Chesapeake Strategy Fund’s total return for the one-year period was above the Peer Group and Systematic Trend Fund Universe median returns, and the Barclay BTOP50 Index return and the SG Trend Index return. The Fund’s annualized total return for the five-year period was above the Peer Group median return, but below the Fund Universe median return by 0.80%, the Barclay BTOP50 Index return by 0.98%, and the SG Trend Index return by 1.57%. The Fund’s annualized total return for the three-year period was below the Peer Group median return, the Barclay BTOP50 Index return, the Fund Universe median return, and the SG Trend Index return by 0.44%, 2.42%, 2.48%, and 5.59%, respectively. The Trustees considered the Investment Advisor’s assertion that the Fund’s underperformance relative to the Peer Group and the SG Trend Index was primarily due to the Fund’s performance in the fourth quarter of 2018, when commodities, equity securities, and currencies negatively impacted the Fund, and in the first quarter of 2020, when equity markets were negatively impacted by the onset of the COVID-19 pandemic. |
· | The Multi-Strategy Alternatives Fund’s annualized total returns for the one- and three-year periods were above the Peer Group and Multistrategy Fund Universe median returns and the HFRX Equity Hedge Index returns. |
· | The Private Equity Return Tracker Fund’s annualized total returns for the one- and three-year periods were above the Peer Group and Large Blend Fund Universe median returns and the S&P 500 Index returns, but below the Refinitiv (Thomson Reuters) Private Equity Buyout Index returns by 1.48% and 2.42%, respectively. The Fund’s annualized total return for the five-year period was above the Peer Group and Fund Universe median returns, but below the S&P 500 Index return by 0.48% and the Refinitiv (Thomson Reuters) Private Equity Buyout Index return by 2.17%. |
124 |
AXS Funds
SUPPLEMENTAL INFORMATION (Unaudited) - Continued
· | The Venture Capital Return Tracker Fund’s annualized total returns for the one-, three-, and five-year periods were above the Peer Group and Large Growth Fund Universe median returns and the NASDAQ Composite Total Return Index returns, but below the Refinitiv (Thomson Reuters) Venture Capital Index returns by 1.94%, 2.30%, and 3.09%, respectively. The Trustees observed that the Fund’s risk-adjusted returns relative to its benchmark, as measured by its information ratio, ranked it in the first quartile of the funds (which is the most favorable) in the Peer Group and Fund Universe for the one-, three-, and five-year periods. |
· | The Sustainable Income Fund’s total return for the one-year period was above the ICE BofA 1-3 Year U.S. Corporate & Government Bond Index return, but below the Peer Group and High Yield Bond Fund Universe median returns by 1.21% and 1.83%, respectively. The Fund’s annualized total return for the five year period was above the ICE BofA Index return, but below the Fund Universe and Peer Group median returns by 1.67% and 1.95%, respectively. The Fund’s annualized total return for the three-year period was above the ICE BofA Index return, but below the Fund Universe and Peer Group median returns by 2.16% and 2.39%, respectively. The Trustees observed that the Fund’s volatility of returns, as measured by its standard deviation, and its downside volatility, as measured by its Morningstar risk score, ranked it in the first quartile of the funds (which is the most favorable) in the Peer Group and Fund Universe for the one-, three-, and five-year periods. |
The Board noted its familiarity with the Investment Advisor and considered the overall quality of services provided by the Investment Advisor to the Funds and the Subsidiaries. In doing so, the Board considered the Investment Advisor’s specific responsibilities in day-to-day management and oversight of the Funds and the Subsidiaries, as well as the qualifications, experience, and responsibilities of the personnel involved in the activities of the Funds and the Subsidiaries. The Board also considered the overall quality of the organization and operations of the Investment Advisor, its commitment to the maintenance and growth of the Funds’ assets, and its compliance structure and compliance procedures. In addition, the Board considered the respective roles of the Investment Advisor and the Sub-Advisors, noting that the Investment Advisor provides overall supervision of the general investment management and investment operations of each applicable Fund and its corresponding Subsidiary, and oversees the Sub-Advisors with respect to each applicable Fund’s and Subsidiary’s operations, including monitoring the investment and trading activities of the Sub-Advisors, monitoring each Fund’s and Subsidiary’s compliance with its investment policies, and providing general administrative services related to the Investment Advisor’s overall supervision of each Fund and Subsidiary; and that the Sub-Advisors’ responsibilities include day-to-day portfolio management. The Board and the Independent Trustees concluded that based on the various factors they had reviewed, the nature, overall quality, and extent of the management and oversight services provided by the Investment Advisor to each Fund and Subsidiary were satisfactory.
Advisory Fees and Expense Ratios
With respect to the advisory fees and expenses paid by the Funds, the meeting materials indicated the following:
· | The Alternative Growth Fund’s annual investment advisory fee (gross of fee waivers) was lower than the Peer Group and Long-Short Equity Fund Universe medians. The annual total expenses paid by the Fund (net of fee waivers) for the Fund’s most recent fiscal year were lower than the Peer Group and Fund Universe medians. |
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SUPPLEMENTAL INFORMATION (Unaudited) - Continued
· | The Managed Futures Strategy Fund’s annual investment advisory fee (gross of fee waivers) was higher than the Systematic Trend Fund Universe and Peer Group medians by 0.25% and 0.40%, respectively. The annual total expenses paid by the Fund (net of fee waivers) for the Fund’s most recent fiscal year were higher than both the Peer Group and Fund Universe medians by 0.24%. The Trustees considered the Investment Advisor’s observation that some of the funds in the Peer Group are part of larger fund complexes and therefore could have lower expenses or support lower expense caps. The Trustees also noted that the average net assets of the Fund’s class considered by Broadridge were significantly lower than the average net assets of corresponding classes of funds in the Peer Group and Fund Universe, and that certain of those other funds also had significant assets in other classes. |
· | The Chesapeake Strategy Fund’s annual investment advisory fee (gross of fee waivers) was higher than the Systematic Trend Fund Universe and Peer Group medians by 0.30% and 0.375%, respectively. The Trustees considered the Investment Advisor’s observation that the Fund has greater diversification, invests in a broader universe of markets, and employs a less trend-following style than many of the funds in the Peer Group. The Trustees also observed that for the fiscal year ended September 30, 2021, the Investment Advisor waived all but approximately 0.25% of its 1.50% advisory fee for the Fund. |
The annual total expenses paid by the Fund (net of fee waivers) for the Fund’s most recent fiscal year were higher than the Peer Group and Fund Universe medians by 0.26% and 0.39%, respectively. The Trustees considered the Investment Advisor’s observation that some of the funds in the Peer Group are part of larger fund complexes and therefore could have lower expenses or support lower expense caps. The Trustees also noted that the average net assets of the Fund’s class considered by Broadridge were significantly lower than the average net assets of corresponding classes of funds in the Peer Group and Fund Universe, and that certain of those other funds also had significant assets in other classes.
· | The Multi-Strategy Alternatives Fund’s annual investment advisory fee (gross of fee waivers) was lower than the Peer Group and Multistrategy Fund Universe medians. The annual total expenses paid by the Fund (net of fee waivers) for the Fund’s most recent fiscal year were lower than the Peer Group median, but higher than Fund Universe median by 0.18%. The Trustees noted, however, that the average net assets of the Fund’s class considered by Broadridge were significantly lower than the average net assets of corresponding classes of funds in the Fund Universe, and that certain of those other funds also had significant assets in other classes. |
· | The Private Equity Return Tracker Fund’s annual investment advisory fee (gross of fee waivers) was higher than both the Peer Group and Large Blend Fund Universe medians by 0.65%. The Trustees noted the Investment Advisor’s assertions that the Fund offers an investment objective and strategies that are unique and distinct from those of the funds in the Peer Group and Fund Universe, that the Fund’s strategies are typically only available in more costly and less transparent portfolios that charge both management fees and performance fees, and that the advisory fee includes the cost of licensing the Fund’s research index and underlying index. |
The annual total expenses paid by the Fund (net of fee waivers) for the Fund’s most recent fiscal year were higher than the Peer Group and Fund Universe medians by 0.73% and 0.81%, respectively. The Trustees considered the Investment Advisor’s observation that some of the funds in the Peer Group are part of larger fund complexes and therefore could have lower expenses or support lower expense caps. The Trustees also noted that the average net assets of the Fund’s class considered by Broadridge were lower than the average net assets of corresponding classes of funds in the Peer Group, and significantly lower than the average net assets of corresponding classes of funds in the Fund Universe, and that certain of those other funds also had significant assets in other classes.
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SUPPLEMENTAL INFORMATION (Unaudited) - Continued
· | The Venture Capital Return Tracker Fund’s annual investment advisory fee (gross of fee waivers) was higher than the Peer Group and Large Growth Fund Universe medians by 0.55% and 0.5675%, respectively. The Trustees noted the Investment Advisor’s assertions that the Fund offers an investment objective and strategies that are unique and distinct from those of the funds in the Peer Group and Fund Universe, that the Fund’s strategies are typically only available in more costly and less transparent portfolios that charge both management fees and performance fees, and that the advisory fee includes the cost of licensing the Fund’s research index and underlying index. |
The annual total expenses paid by the Fund (net of fee waivers) for the Fund’s most recent fiscal year were higher than the Peer Group and Fund Universe medians by 0.73% and 0.75%, respectively. The Trustees considered the Investment Advisor’s observation that some of the funds in the Peer Group are part of larger fund complexes and therefore could have lower expenses or support lower expense caps. The Trustees also noted that the average net assets of the Fund’s class considered by Broadridge were significantly lower than the average net assets of corresponding classes of funds in the Fund Universe, and that certain of those other funds also had significant assets in other classes.
· | The Sustainable Income Fund’s annual investment advisory fee (gross of fee waivers) was higher than the High Yield Bond Fund Universe and Peer Group medians by 0.146% and 0.15%, respectively. The Trustees considered the Investment Advisor’s assertion that the Fund’s advisory fee is appropriate because the Fund’s strategy is unique in that it incorporates environmental, social, and governance considerations, unlike most funds in the Peer Group. The Trustees also observed that for the period from October 16, 2020, through September 30, 2021, the Investment Advisor waived a portion of its advisory fee for the Fund. |
The annual total expenses paid by the Fund (net of fee waivers) for the Fund’s most recent fiscal year were higher than the Peer Group and Fund Universe medians by 0.24% and 0.29%, respectively. The Trustees considered the Investment Advisor’s observation that some of the funds in the Peer Group are part of larger fund complexes and therefore could have lower expenses or support lower expense caps. The Trustees also noted that the average net assets of the Fund’s class considered by Broadridge were significantly lower than the average net assets of corresponding classes of funds in the Fund Universe, and that certain of those other funds also had significant assets in other classes.
In reviewing the advisory fee for each Fund, the Trustees noted that the Investment Advisor does not manage any other accounts with the same objectives and policies as any Fund, and therefore they did not have a good basis for comparing each Fund’s advisory fee with those of other similar client accounts of the Investment Advisor. The Trustee also considered that each Fund’s advisory fee was within the range of advisory fees paid by other series of the Trust managed by the Investment Advisor.
The Board and the Independent Trustees concluded that based on the factors they had reviewed, the compensation payable to the Investment Advisor under the Advisory Agreement was fair and reasonable in light of the nature and quality of the services the Investment Advisor provides to the Funds and the Subsidiaries.
Profitability and Economies of Scale
The Board next considered information prepared by the Investment Advisor relating to its costs and profits with respect to each Fund for the year ended October 31, 2021, noting that the Investment Advisor had waived its entire advisory fee and subsidized certain of the operating expenses for the Alternative Growth Fund; had waived a significant portion of its advisory fee for the Managed Futures Strategy Fund, Chesapeake Strategy Fund, Private Equity Return Tracker Fund, and Multi-Strategy Alternatives Fund; had waived a portion of its advisory fee for the Venture Capital Return Tracker Fund and Sustainable Income Fund; and had not realized a profit with respect to the Alternative Growth Fund, Chesapeake Strategy Fund, and Private Equity Return Tracker Fund. The Board and the Independent Trustees determined that the profits of the Investment Advisor from its relationships with the Managed Futures Strategy Fund, Multi-Strategy Alternatives Fund, Venture Capital Return Tracker Fund, and Sustainable Income Fund were reasonable.
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SUPPLEMENTAL INFORMATION (Unaudited) - Continued
The Board also considered the benefits received by the Investment Advisor as a result of the Investment Advisor’s relationship with the Funds, other than the receipt of its investment advisory fees, including any research received from broker-dealers providing execution services to the Funds, the beneficial effects from the review by the Trust’s Chief Compliance Officer of the Investment Advisor’s compliance program, and the intangible benefits of the Investment Advisor’s association with the Funds generally and any favorable publicity arising in connection with the Funds’ performance. The Board noted that although there were no advisory fee breakpoints, the asset levels of the Funds were not currently likely to lead to significant economies of scale, and that any such economies would be considered in the future as the assets of the Funds grow.
Ampersand Investment Management LLC
Nature, Extent and Quality of Services
The Board considered the overall quality of services provided by Ampersand to the Alternative Growth Fund, the Managed Futures Strategy Fund, and each Fund’s Subsidiary. In doing so, the Board considered Ampersand’s specific responsibilities in day-to-day portfolio management of the Funds and the Subsidiaries, as well as the qualifications, experience, and responsibilities of the personnel involved in the activities of the Funds and the Subsidiaries. The Board also considered the overall quality of the organization and operations of Ampersand, as well as its compliance structure. The Board’s observations regarding the performance of the Alternative Growth Fund and the Managed Futures Strategy Fund are described above. The Board and the Independent Trustees concluded that based on the various factors they had reviewed, the nature, overall quality, and extent of the management services provided by Ampersand to the Alternative Growth Fund, the Managed Futures Strategy Fund, and each Fund’s Subsidiary were satisfactory.
Sub-Advisory Fee
The Board reviewed information regarding the sub-advisory fee charged by Ampersand with respect to the Alternative Growth Fund, the Managed Futures Strategy Fund, and each Fund’s Subsidiary. The Board noted that Ampersand does not manage any other accounts with the same investment objectives and policies as the Alternative Growth Fund or the Managed Futures Strategy Fund, and therefore they did not have a good basis for comparing the Funds’ sub-advisory fees with those of other similar client accounts of Ampersand. The Board also noted that the Investment Advisor’s services include supervision and monitoring of the investment and trading activities of Ampersand, analysis of each Fund’s and its Subsidiary’s investment operations, and general administrative services related to the Investment Advisor’s overall supervision of each Fund and its Subsidiary. The Board also noted that the Investment Advisor pays Ampersand’s sub-advisory fees out of the Investment Advisor’s advisory fees.
The Board and the Independent Trustees concluded that based on the factors they had reviewed, the compensation payable to Ampersand under the Ampersand Sub-Advisory Agreement was fair and reasonable in light of the nature and quality of the services Ampersand provides to the Funds and the Subsidiaries.
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SUPPLEMENTAL INFORMATION (Unaudited) - Continued
Benefits to the Sub-Advisor
The Board also considered the benefits received by Ampersand as a result of its relationship with the Alternative Growth Fund, the Managed Futures Strategy Fund, and each Fund’s Subsidiary, other than the receipt of its sub-advisory fees, including any research received from broker-dealers providing execution services to the Funds, the beneficial effects from the review by the Trust’s Chief Compliance Officer of Ampersand’s compliance program, and the intangible benefits of Ampersand’s association with the Funds and the Subsidiaries generally and any favorable publicity arising in connection with the Funds’ performance.
Chesapeake Capital Corporation
Nature, Extent and Quality of Services
The Board considered the overall quality of services provided by Chesapeake Capital to the Chesapeake Strategy Fund and its Subsidiary. In doing so, the Board considered Chesapeake Capital’s specific responsibilities in day-to-day portfolio management of the Fund and its Subsidiary, as well as the qualifications, experience, and responsibilities of the personnel involved in the activities of the Fund and its Subsidiary. The Board also considered the overall quality of the organization and operations of Chesapeake Capital, as well as its compliance structure. The Board’s observations regarding the performance of the Chesapeake Strategy Fund are described above. The Board and the Independent Trustees concluded that based on the various factors they had reviewed, the nature, overall quality, and extent of the management services provided by Chesapeake Capital to the Chesapeake Strategy Fund and its Subsidiary were satisfactory.
Sub-Advisory Fee
The Board reviewed information regarding the sub-advisory fee charged by Chesapeake Capital with respect to the Chesapeake Strategy Fund and its Subsidiary, which they noted was within the range of the management fees that Chesapeake Capital charges to manage various series of interests in a private fund, which also charges an incentive fee and an administrative fee to certain of the series, and to a separately managed account for a fund of funds, which also charges an incentive fee. The Trustees observed, however, that management of mutual fund assets requires compliance with certain requirements under the 1940 Act that do not apply to the private fund and separately managed account that Chesapeake Capital manages. The Board also noted that the Investment Advisor’s services include supervision and monitoring of the investment and trading activities of Chesapeake Capital, analysis of the Fund’s and its Subsidiary’s investment operations, and general administrative services related to the Investment Advisor’s overall supervision of the Fund and its Subsidiary. The Board also noted that the Investment Advisor pays Chesapeake Capital’s sub-advisory fee out of the Investment Advisor’s advisory fee.
The Board and the Independent Trustees concluded that based on the factors they had reviewed, the compensation payable to Chesapeake Capital under the Chesapeake Sub-Advisory Agreement was fair and reasonable in light of the nature and quality of the services Chesapeake Capital provides to the Fund and its Subsidiary.
Benefits to the Sub-Advisor
The Board also considered the benefits received by Chesapeake Capital as a result of its relationship with the Chesapeake Strategy Fund and its Subsidiary, other than the receipt of its sub-advisory fee, including any research received from broker-dealers providing execution services to the Fund, the beneficial effects from the review by the Trust’s Chief Compliance Officer of Chesapeake Capital’s compliance program, and the intangible benefits of Chesapeake Capital’s association with the Fund and its Subsidiary generally and any favorable publicity arising in connection with the Fund’s performance.
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SUPPLEMENTAL INFORMATION (Unaudited) - Continued
SKY Harbor Capital Management, LLC
Nature, Extent and Quality of Services
The Board considered the overall quality of services provided by SKY Harbor to the Sustainable Income Fund. In doing so, the Board considered SKY Harbor’s specific responsibilities in day-to-day portfolio management of the Fund, as well as the qualifications, experience, and responsibilities of the personnel involved in the activities of the Fund. The Board also considered the overall quality of the organization and operations of SKY Harbor, as well as its compliance structure. The Board’s observations regarding the performance of the Sustainable Income Fund are described above. The Board and the Independent Trustees concluded that based on the various factors they had reviewed, the nature, overall quality, and extent of the management services provided by SKY Harbor to the Sustainable Income Fund were satisfactory.
Sub-Advisory Fee
The Board reviewed information regarding the sub-advisory fee charged by SKY Harbor with respect to the Sustainable Income Fund, which they noted was lower than SKY Harbor’s standard fee schedule to manage institutional separate accounts using its short maturity strategy, and lower than SKY Harbor’s fee schedule to manage a Luxembourg-based UCITS fund with similar objectives and constraints as the Fund. The Board also noted that the Investment Advisor’s services include supervision and monitoring of the investment and trading activities of SKY Harbor, analysis of the Fund’s investment operations, and general administrative services related to the Investment Advisor’s overall supervision of the Fund. The Board also noted that the Investment Advisor pays SKY Harbor’s sub-advisory fee out of the Investment Advisor’s advisory fee.
The Board and the Independent Trustees concluded that based on the factors they had reviewed, the compensation payable to SKY Harbor under the SKY Harbor Sub-Advisory Agreement was fair and reasonable in light of the nature and quality of the services SKY Harbor provides to the Fund.
Benefits to the Sub-Advisor
The Board also considered the benefits received by SKY Harbor as a result of its relationship with the Sustainable Income Fund, other than the receipt of its sub-advisory fee, including any research received from broker-dealers providing execution services to the Fund, the beneficial effects from the review by the Trust’s Chief Compliance Officer of SKY Harbor’s compliance program, and the intangible benefits of SKY Harbor’s association with the Fund generally and any favorable publicity arising in connection with the Fund’s performance.
Conclusion
Based on these and other factors, the Board and the Independent Trustees concluded that renewal of each Fund Advisory Agreement was in the best interests of each Fund, each Subsidiary, and the shareholders of the Funds and the Subsidiaries and, accordingly, approved the renewal of each Fund Advisory Agreement with respect to the Funds and the Subsidiaries, as applicable.
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SUPPLEMENTAL INFORMATION (Unaudited) - Continued
Statement Regarding Liquidity Risk Management Program
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Board of Trustees (the “Board”) of Investment Managers Series Trust II (the “Trust”) met on January 20, 2022 (the “Meeting”), to review the liquidity risk management program (the “Fund Program”) applicable to the following series of the Trust (each, a “Fund” and together, the “Funds”) pursuant to the Liquidity Rule:
Reporting Period - November 1, 2020 through October 31, 2021
AXS Alternative Growth Fund
AXS Chesapeake Strategy Fund
AXS Managed Futures Strategy Fund
AXS Multi Strategy Alternatives Fund
AXS Sustainable Income Fund
Reporting Period – November 21, 2020 through October 31, 2021
AXS Thomson Reuters Private Equity Return Tracker Fund
AXS Thomson Reuters Venture Capital Return Tracker Fund1
The Board has appointed AXS Investments LLC, the investment adviser to the Funds, as the program administrator (“Program Administrator”) for the Fund Program. Under the Trust’s liquidity risk management program (the “Trust Program”), the Board has delegated oversight of the Trust Program to the Liquidity Oversight Committee (the “Oversight Committee”). At the Meeting, the Oversight Committee, on behalf of Program Administrator and the Funds, provided the Board with a written report (the “Report”) that addressed the operation, adequacy, and effectiveness of implementation of the Fund Program, and any material changes to it for the periods detailed above (the “Program Reporting Periods”).
In assessing the adequacy and effectiveness of implementation of the Fund Program, the Report discussed the following, among other things:
· | The Fund Program’s liquidity classification methodology for categorizing each Fund’s investments (including derivative transactions); |
· | An overview of market liquidity for each Fund during the Program Reporting Periods; |
· | Each Fund’s ability to meet redemption requests; |
· | Each Fund’s cash management; |
· | Each Fund’s borrowing activity, if any, in order to meet redemption requests; |
· | Each Fund’s compliance with the 15% limit of illiquid investments; and |
· | Each Fund’s status as a primarily highly liquid fund (“PHLF”), the effectiveness of the implementation of the PHLF standard, and whether it would be appropriate for each Fund to adopt a highly liquid investment minimum (“HLIM”). |
1 | Fund reorganized into the Trust on November 20, 2020 |
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SUPPLEMENTAL INFORMATION (Unaudited) - Continued
The Report stated that the Funds primarily hold assets that are defined under the Liquidity Rule as "highly liquid investments," and therefore each Fund is not required to establish an HLIM. Highly liquid investments are defined as cash and any investment reasonably expected to be convertible to cash in current market conditions in three business days or less without the conversion to cash significantly changing the market value of the investment. The Report also stated that there were no material changes made to the Fund Program during the Program Reporting Periods.
In the Report, the Program Administrator concluded that (i) the Fund Program, as adopted and implemented, remains reasonably designed to assess and manage each Fund’s liquidity risk; (ii) each Fund continues to qualify as a PHLF and therefore is not required to adopt an HLIM; (iii) during the Program Reporting Periods, each Fund was able to meet redemption requests without significant dilution of remaining investors’ interests; and (iv) there were no weaknesses in the design or implementation of the Fund Program during the Program Reporting Periods.
There can be no assurance that the Fund Program will achieve its objectives in the future. Please refer to the Funds’ prospectus for more information regarding each Fund’s exposure to liquidity risk and other principal risks to which an investment in the Funds may be subject.
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EXPENSE EXAMPLES
For the Six Months Ended March 31, 2022 (Unaudited)
Expense Examples
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees; distribution and/or 12b-1 fees (Class A, Class C, and Investor Class shares only) and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from October 1, 2021 to March 31, 2022.
Actual Expenses
The information in the row titled “Actual Performance” of the table below provides actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the appropriate row for your share class, under the column titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The information in the row titled “Hypothetical (5% annual return before expenses)” of the table below provides hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (load) or contingent deferred sales charges. Therefore, the information in the row titled “Hypothetical (5% annual return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Alternative Growth Fund | Beginning Account Value | Ending Account Value |
Expenses Paid During Period* | |
10/1/21 | 3/31/22 | 10/1/21 – 3/31/22 | ||
Class A | Actual Performance | $ 1,000.00 | $1,015.20 | $ 6.24 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,018.74 | 6.25 | |
Class I | Actual Performance | 1,000.00 | 1,017.10 | 4.98 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,019.99 | 4.99 |
* | Expenses are equal to the Fund’s annualized expense ratios of 1.24% and 0.99% for Class A shares and Class I shares, respectively, multiplied by the average account values over the period, multiplied by 182/365 (to reflect the six-month period). The expense ratios reflect an expense waiver and other expenses absorbed. Assumes all dividends and distributions were reinvested. |
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EXPENSE EXAMPLES - Continued
For the Six Months Ended March 31, 2022 (Unaudited)
Chesapeake Strategy Fund | Beginning Account Value | Ending Account Value |
Expenses Paid During Period* | |
10/1/21 | 3/31/22 | 10/1/21 – 3/31/22 | ||
Class A | Actual Performance | $ 1,000.00 | $ 1,144.60 | $ 11.23 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,014.46 | 10.55 | |
Class C | Actual Performance | 1,000.00 | 1,139.90 | 15.20 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,010.72 | 14.28 | |
Class I | Actual Performance | 1,000.00 | 1,146.60 | 9.90 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,015.71 | 9.30 |
* | Expenses are equal to the Fund’s annualized expense ratios of 2.10%, 2.85% and 1.85% for Class A shares, Class C shares and Class I shares, respectively, multiplied by the average account values over the period, multiplied by 182/365 (to reflect the six-month period). The expense ratios reflect an expense waiver. Assumes all dividends and distributions were reinvested. |
Managed Futures Strategy Fund | Beginning Account Value | Ending Account Value |
Expenses Paid During Period* | |
10/1/21 | 3/31/22 | 10/1/21 – 3/31/22 | ||
Class A | Actual Performance | $ 1,000.00 | $ 960.20 | $ 9.53 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,015.21 | 9.80 | |
Class C | Actual Performance | 1,000.00 | 957.50 | 13.18 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,011.47 | 13.54 | |
Class I | Actual Performance | 1,000.00 | 960.90 | 8.31 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,016.45 | 8.55 |
* | Expenses are equal to the Fund’s annualized expense ratios of 1.95%, 2.70%, and 1.70% for Class A shares, Class C share, and Class I shares, respectively, multiplied by the average account values over the period, multiplied by 182/365 (to reflect the six-month period). The expense ratios reflect an expense waiver. Assumes all dividends and distributions were reinvested. |
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AXS Funds
EXPENSE EXAMPLES - Continued
For the Six Months Ended March 31, 2022 (Unaudited)
Multi-Strategy Alternatives Fund | Beginning Account Value | Ending Account Value |
Expenses Paid During Period** | |
10/1/21 | 3/31/22 | 10/1/21 – 3/31/22 | ||
Investor Class* | Actual Performance | $ 1,000.00 | $ 996.20 | $ 8.36 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,016.55 | 8.45 | |
Class I | Actual Performance | 1,000.00 | 996.90 | 7.52 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,017.40 | 7.60 |
* | Previously R-1 Class Shares. |
** | Expenses are equal to the Fund’s annualized expense ratios of 1.68% and 1.51% for Investor Class shares and Class I shares, respectively, multiplied by the average account values over the period, multiplied by 182/365 (to reflect the six-month period). The expense ratios reflect an expense waiver. Assumes all dividends and distributions were reinvested. |
Sustainable Income Fund | Beginning Account Value | Ending Account Value |
Expenses Paid During Period* | |
10/1/21 | 3/31/22 | 10/1/21 – 3/31/22 | ||
Class I | Actual Performance | $ 1,000.00 | $ 979.40 | $ 4.89 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,019.99 | 4.99 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.99% for Class I shares, multiplied by the average account values over the period, multiplied by 182/365 (to reflect the six-month period). The expense ratios reflect an expense waiver. Assumes all dividends and distributions were reinvested. |
Thomson Reuters Private Equity Return Tracker Fund | Beginning Account Value | Ending Account Value |
Expenses Paid During Period* | |
10/1/21 | 3/31/22 | 10/1/21 – 3/31/22 | ||
Class A | Actual Performance | $ 1,000.00 | $ 1,031.20 | $ 8.86 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,016.21 | 8.79 | |
Class C | Actual Performance | 1,000.00 | 1,027.00 | 12.63 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,012.47 | 12.54 | |
Class I | Actual Performance | 1,000.00 | 1,031.90 | 7.60 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,017.45 | 7.54 |
* | Expenses are equal to the Fund’s annualized expense ratios of 1.75%, 2.50% and 1.50% for Class A shares, Class C shares and Class I shares, respectively, multiplied by the average account values over the period, multiplied by 182/365 (to reflect the six-month period). The expense ratio reflects an expense waiver. Assumes all dividends and distributions were reinvested. |
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EXPENSE EXAMPLES - Continued
For the Six Months Ended March 31, 2022 (Unaudited)
Thomson Reuters Venture Capital Return Tracker Fund | Beginning Account Value | Ending Account Value |
Expenses Paid During Period* | |
10/1/21 | 3/31/22 | 10/1/21 – 3/31/22 | ||
Class A | Actual Performance | $ 1,000.00 | $ 723.10 | $ 7.52 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,016.21 | 8.80 | |
Class C | Actual Performance | 1,000.00 | 720.30 | 10.72 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,012.47 | 12.54 | |
Class I | Actual Performance | 1,000.00 | 724.00 | 6.45 |
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,017.45 | 7.55 |
* | Expenses are equal to the Fund’s annualized expense ratios of 1.75%, 2.50% and 1.50% for Class A shares, Class C shares and Class I shares, respectively, multiplied by the average account values over the period, multiplied by 182/365 (to reflect the six-month period). The expense ratio reflects an expense waiver. Assumes all dividends and distributions were reinvested. |
136 |
AXS Funds
Each a series of Investment Managers Series Trust II
Investment Advisor
AXS Investments LLC
181 Westchester Avenue, Unit 402
Port Chester, New York 10573
Sub-Advisor
Ampersand Investment Management, LLC
10 Canal Street, Suite 336
Bristol, Pennsylvania 19007
Sub-Advisor
Chesapeake Capital Corporation
1721 Summit Avenue
Richmond, Virginia 23220
Sub-Advisor
SKY Harbor Capital Management, LLC
20 Horseneck Lane, 1st Floor
Greenwich, Connecticut 06830
Custodian
UMB Bank, n.a.
928 Grand Boulevard, 5th Floor
Kansas City, Missouri 64106
Fund Co-Administrator
Mutual Fund Administration, LLC
2220 E. Route 66, Suite 226
Glendora, California 91740
Fund Co-Administrator, Transfer Agent and Fund Accountant
UMB Fund Services, Inc.
235 W. Galena Street
Milwaukee, Wisconsin 53212
Distributor
IMST Distributors, LLC
Three Canal Plaza, Suite 100
Portland, Maine 04101
www.foreside.com
FUND INFORMATION
TICKER | CUSIP | |
AXS Alternative Growth Fund – Class A | EEHAX | 46141T 430 |
AXS Alternative Growth Fund – Class I | EEHIX | 46141T 380 |
AXS Chesapeake Strategy Fund – Class A | ECHAX | 46141T 471 |
AXS Chesapeake Strategy Fund – Class C | ECHCX | 46141T 463 |
AXS Chesapeake Strategy Fund – Class I | EQCHX | 46141T 372 |
AXS Managed Futures Strategy Fund – Class A | MHFAX | 46141T 521 |
AXS Managed Futures Strategy Fund – Class C | MHFCX | 46141T 513 |
AXS Managed Futures Strategy Fund – Class I | MHFIX | 46141T 489 |
AXS Multi-Strategy Alternatives Fund – Class I | KCMIX | 46141T 455 |
AXS Multi-Strategy Alternatives Fund – Investor Class | KCMTX | 46141T 448 |
AXS Sustainable Income Fund – Class I | AXSKX | 46141T 349 |
AXS Thomson Reuters Private Equity Return Tracker Fund – Class A | LDPAX | 46141T 323 |
AXS Thomson Reuters Private Equity Return Tracker Fund – Class C | LDPCX | 46141T 315 |
AXS Thomson Reuters Private Equity Return Tracker Fund – Class I | LDPIX | 46141T 299 |
AXS Thomson Reuters Venture Capital Return Tracker Fund – Class A | LDVAX | 46141T 281 |
AXS Thomson Reuters Venture Capital Return Tracker Fund – Class C | LDVCX | 46141T 273 |
AXS Thomson Reuters Venture Capital Return Tracker Fund – Class I | LDVIX | 46141T 265 |
Privacy Principles of the AXS Funds for Shareholders
The Funds are committed to maintaining the privacy of their shareholders and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information the Funds collect, how we protect that information and why, in certain cases, we may share information with select other parties.
Generally, the Funds do not receive any non-public personal information relating to their shareholders, although certain non-public personal information of their shareholders may become available to the Funds. The Funds do not disclose any non-public personal information about their shareholders or former shareholders to anyone, except as permitted by law or as is necessary in order to service shareholder accounts (for example, to a transfer agent or third party administrator).
This report is sent to shareholders of the AXS Funds for their information. It is not a Prospectus, circular or representation intended for use in the purchase or sale of shares of the Funds or of any securities mentioned in this report.
Proxy Voting
The Funds’ proxy voting policies and procedures, as well as information regarding how the Funds voted proxies for portfolio securities, if applicable, during the most recent 12-month period ended June 30, are available, without charge and upon request by calling (833) 297-2587 or on the SEC’s website at www.sec.gov.
Fund Portfolio Holdings
The Funds file a complete schedule of their portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the Funds’ Form N-PORT on the SEC’s website at www.sec.gov.
Prior to the use of Form N-PORT, the Funds filed their complete schedule of portfolio holdings with the SEC on Form N-Q, which is available online at www.sec.gov.
Householding
The Funds will mail only one copy of shareholder documents, including prospectuses notice of annual and semi-annual reports availability and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (833) 297-2587.
AXS Funds
P.O. Box 2175
Milwaukee, WI 53201
Toll Free: (833) 297-2587
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
(a) | Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934). |
(b) | Not applicable. |
Item 6. Schedule of Investments.
(a) | Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
Item 11. Controls and Procedures.
(a) | The Registrant’s President/Chief Executive Officer and Treasurer/Chief Financial Officer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during 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. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 13. Exhibits.
(a) | (1) Any code of ethics or amendment thereto, that is subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not applicable. |
(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.
(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.
(b) | Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Investment Managers Series Trust II | |
By (Signature and Title) | /s/ Terrance Gallagher | |
Terrance Gallagher, President/Chief Executive Officer | ||
Date | 6/9/2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Terrance Gallagher | |
Terrance Gallagher, President/Chief Executive Officer | ||
Date | 6/9/2022 | |
By (Signature and Title) | /s/ Rita Dam | |
Rita Dam, Treasurer/Chief Financial Officer | ||
Date | 6/9/2022 |
EX.99.CERT
CERTIFICATIONS
I, Terrance Gallagher, certify that:
1. | I have reviewed this report on Form N-CSR of AXS Funds, each a series of Investment Managers Series Trust II (the “Trust”); |
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(s) 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; and |
(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(s) 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. |
Date: | 6/9/2022 | /s/ Terrance Gallagher | ||
Terrance Gallagher | ||||
President/Chief Executive Officer |
CERTIFICATIONS
I, Rita Dam, certify that:
1. | I have reviewed this report on Form N-CSR of AXS Funds, each a series of Investment Managers Series Trust II (the “Trust”); |
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(s) 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; and |
(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(s) 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. |
Date: | 6/9/2022 | /s/ Rita Dam | ||
Rita Dam | ||||
Treasurer/Chief Financial Officer |
EX.99.906CERT
Certification of CEO and CFO Pursuant to
18 U.S.C. Section 1350,
as Adopted Pursuant to
Section 906 of the Sarbanes-Oxley Act of 2002
In connection with the report on Form N-CSR of AXS Funds, each a series of Investment Managers Series Trust II (the “Trust”); for the six months ended March 31, 2022 (the “Report”), Terrance Gallagher, as President/Chief Executive Officer of the Trust, and Rita Dam, as Treasurer/Chief Financial Officer of the Trust, each hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of his or her knowledge:
(1) | the Report fully complies with the requirements of Section 13 (a) or 15 (d) of the Securities Exchange Act of 1934; and |
(2) | the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company. |
Date | 6/9/2022 | |
/s/ Terrance Gallagher | ||
Terrance Gallagher | ||
President/Chief Executive Officer | ||
/s/ Rita Dam | ||
Rita Dam | ||
Treasurer/Chief Financial Officer |
This statement accompanies this report on Form N-CSR pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and shall not be deemed as filed by Investment Managers Series Trust II for purposes of Section 18 of the Exchange Act of 1934.
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