N-CSR 1 easterlyncsr.htm N-CSR

 

 

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 811-23611

 

James Alpha Funds Trust

(Exact name of registrant as specified in charter)

 

515 Madison Avenue, 24th Floor, New York, NY 10022

(Address of principal executive offices) (Zip code)

 

Emile R. Molineaux, Gemini Fund Services, LLC

80 Arkay Drive, Suite 110, Hauppauge, NY 11788

(Name and address of agent for service)

 

Registrant's telephone number, including area code: 888-814-8180

 

Date of fiscal year end: 8/31

 

Date of reporting period: 8/31/2021

 

 

Item 1. Reports to Stockholders.

 

 

 

(LOGO)

 

JAMES ALPHA FUNDS TRUST d/b/a EASTERLY FUNDS TRUST

 

 

 

 

CLASS A, C, I AND R6 SHARES

 

 

 

 

 

ANNUAL REPORT 

AUGUST 31, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

THIS REPORT IS AUTHORIZED FOR DISTRIBUTION ONLY TO SHAREHOLDERS AND TO OTHERS WHO HAVE RECEIVED A COPY OF THE PROSPECTUS.

 

 

James Alpha Funds Trust d/b/a Easterly Funds Trust 

ANNUAL REPORT TO SHAREHOLDERS

 

October 12, 2021

 

Dear Shareholder:

 

We are pleased to provide you with this annual report on the investment strategies and performance of the funds in the James Alpha Funds Trust d/b/a Easterly Funds Trust (the “Trust”). This report covers the twelve months from September 1, 2020 through August 31, 2021.

 

We believe that successful investing requires discipline and patience. Try to stay focused on your long-term investment goals. Don’t let short-term stock and bond market fluctuations or investment manias change your long-term investment strategy. The Easterly Funds are managed by some of the world’s leading institutional investment advisory firms. Combining the strength of the Trust’s performance with a well-designed asset allocation plan can help you to achieve your long-term investment goals.

 

ECONOMIC OVERVIEW

 

As measured by Real Gross Domestic Product (GDP), the value of the production of goods and services in the United States increased by an annualized growth rate (AGR) of 12.2% during the second quarter of 2021, a massive growth rate driven by technical ‘base effects’ from Q2 2020. The primary driver of strong performance in the markets in the past 12 months has been the continued recovery in the post-Covid world. Successful vaccination programs, continued support from both monetary and fiscal sources, and consumers who are ready to spend have all supported a robust recovery. New Home Sales were down from their cycle high (around 1 million) to an annualized 740 thousand units in August 2021, still far above average from the past decade. The auto industry suffered a massive decline in sales during the first half of 2020, experienced a cycle high in April 2021 (where an annualized 18.5 million auto sales occurred; a five year high), but has been on a decline each month since. The unemployment rate declined from 14.8% in April 2020 to 5.2% in August 2021. The unemployment claims is an important leading indicator in our work, specifically the 4-week sum of weekly Initial Claims data. That number has dropped to 1.4 million from a pandemic peak of over 21 million claims. For perspective, the historic average from 1967 to present is about 1.5 million. The overall economy in 2021 could be characterized as a ‘boom’ economy, with expanding equity valuations, rising interest rates, and shortages of good and services across the economy driven by robust consumer demand and lingering supply chain issues that have been morphing since the beginning of the pandemic. This market has been largely controlled by the Federal Reserve, who have signaled their commitment to support economic demand through extremely easy monetary policy and continued massive liquidity injections. The Fed’s language around inflation in the past year has meaningfully changed from an absolute target to an inflation averaging target where they have let inflation run hot (above target) in order to achieve a long-term average of their target of 2%. The Fed continues to sustain historic emergency measures even with the strong economic backdrop.

 

Monetary Policy: The Federal Reserve has remained extraordinarily accommodative since the beginning of the pandemic, but with falling unemployment, strong demand, and persistently high inflation, the tone at the Fed has begun to shift towards reining in their emergency measures. In its most recent FOMC statement, the Committee stated that “last December, the Committee indicated that it would continue to increase its holdings of Treasury securities by at least $80 billion per month and of agency mortgage-backed securities by at least $40 billion per month until substantial further progress has been made towards its maximum employment and price stability goals. Since then, the economy has made progress towards these goals. If progress continues broadly as expected, the Committee judges that a moderation in the pace of asset purchases may soon be warranted.” During the press conference, Powell said “while no decisions were made, participants generally viewed that so long as the recovery remains on track, a

1

 

gradual tapering process that concludes around the middle of next year is likely to be appropriate.” In terms of the benchmark Fed Funds rate, the Committee’s updated projection (i.e., the Dot Plot) signaled that rate hikes may come sooner than expected with the median forecast showing one rate hike in 2022 and three more hikes in 2023.

 

Interest Rates: Treasury yields bottomed in August 2020 and have generally increased ever since, although the rise has been volatile. In the twelve months since the end of August 2020, the yield curve has steepened with the 5-year treasury rate moving from 0.27% to 0.78%, the 10 year rate going from 0.70% to 1.31%, and the 30 year rate going from 1.47% to 1.93%. Short term rates are largely unchanged. With the Fed setting the stage for tapering their asset purchases (and raising the Fed Funds rate soon thereafter), we believe the environment is supportive of rates and yields will remain steady to higher over the next 12 months.

 

Equity Valuations: Equity markets have rebounded strongly off the pandemic lows with the S&P 500 up 31.2% since the end of August 2020. During 2021, the S&P 500 achieved a new record high close on 54 separate trading sessions with a maximum drawdown of only 4.2%. Depending on the metric, valuations range anywhere from fairly valued to strongly overvalued. As an example, Warren Buffett’s favorite indicator is the ratio of total equity market cap to GDP (termed “the Buffett Indicator”) is at a record high level of 207% with the previous record high of 143% set in March 2000, indicating the market is strongly overvalued. However, the S&P 500 is currently trading at a forward P/E ratio of approximately 23.4 times, which is only modestly above it’s 30 year average of 21.2 times.

 

Inflation: Inflation, as measured by the consumer price index (CPI) was up 5.25% y-o-y in August 2021, a rate not seen since July 2008 and not experienced on a sustained basis since the early 1980’s. For the last year and a half, the Fed’s objective has been to run the economy hot through ultra-easy monetary policy with the intention of spurring inflation above their target to achieve a long-term average of 2%. Inflation data has come in higher than forecast throughout 2021, which the Fed has called ‘transitory’ due to shortages and supply chain issues. Recently, they have stopped using the term ‘transitory’ with Powell now calling inflation pressures ‘frustrating’, a possible signal of future monetary tightening if inflation persists above forecast into next year.

 

COMPARING THE FUND PERFORMANCE TO BENCHMARKS

 

When reviewing the performance of the funds against their benchmarks, it is important to note that the Trust is designed to help investors to implement an asset allocation strategy to meet their individual needs as well as select individual investments within each asset category among the myriad of choices available. Each Easterly Fund was formed to represent an asset class, and each portfolio’s institutional money manager was selected based on their ability to manage money within that class.

 

Therefore, the Easterly Funds can help investors to properly implement their asset allocation decisions and keep their investments within the risk parameters that they establish with their investment consultants. Without the intended asset class consistency of the Easterly Funds, even the most carefully crafted allocation strategy could be negated. Furthermore, the benchmarks do not necessarily provide precise standards against which to measure the portfolios, in that the characteristics of the benchmarks can vary widely at different points in time from the Easterly Funds (e.g., characteristics such as: average market capitalizations, price-to-earnings and price-to-book ratios, bond quality ratings and maturities, etc.). In addition, the benchmarks can potentially have a survivor bias built into them (i.e., the performance of only funds that are still in existence may remain part of the benchmark’s performance while funds that do not exist anymore may be removed from the benchmark’s performance). 

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ELECTRONIC DELIVERY AVAILABLE

 

This report can be delivered to you electronically. Electronic delivery can help simplify your record keeping. With electronic delivery, you’ll receive an email with a link to your James Alpha Funds Trust quarterly statement, daily confirmations and/or semi-annual and annual reports each time one is available. You have the ability to choose which items you want delivered electronically. Choose one item or all items. It’s up to you. Please call our Customer Service Department toll-free at (888) 814-8180 for instructions on how to establish electronic delivery.

 

Investors should consider the investment objectives, risks, charges and expenses of the Easterly Funds carefully. This and other information about the Easterly Funds is contained in your prospectus, which should be read carefully. To obtain an additional copy of the prospectus, please call 888.814.8180. Past performance is not indicative of future results. Investments in stocks, bonds and mutual funds are not guaranteed and the principal value and investment return can fluctuate. Consequently, investors may receive back less than invested.

 

The S&P 500 is an unmanaged, capitalization-weighted index. It is not possible to invest directly in the S&P 500.

 

The security holdings discussed may not be representative of the Funds’ current or future investments. Fund holdings are subject to change and should not be considered to be investment advice. Any statements not of a factual nature constitute opinions which are subject to change without notice. Information contained herein was obtained from recognized statistical services and other sources believed to be reliable and we therefore cannot make any representation as to its completeness or accuracy. The Easterly Funds are distributed by Ultimus Fund Distributors, LLC, member FINRA/SIPC.

 

13681984-UFD-10202021 

3

 

Easterly Global Macro Fund 

PORTFOLIO REVIEW (Unaudited) 

August 31, 2021

 

The Fund’s performance figures* for the year ended August 31, 2021, as compared to its benchmark:

 

    Annualized Annualized Annualized Annualized
  One Year Five Year Ten Year Since Inception (a) Since Inception (b)
Class I 13.16% 2.84% 1.02% 1.23% n/a
Class R6 13.86% n/a n/a n/a 4.67%
Bank of America Merrill Lynch 3-Month Treasury Bill Index (c) 0.08% 1.17% 0.63% 0.60% 1.30%

 

 

Comparison of the Change in Value of a $1,000,000 Investment 

 (LINE GRAPH)

 

Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (833) 999-2636. The total operating expense ratio as stated in the fee table to the Fund’s prospectus dated March 22, 2021 as amended August 23, 2021, is 2.96% and 2.96% for the I and R6 Classes, respectively.

 

(a)Inception date for Class I is February 11, 2011.

 

(b)Inception date for Class R6 is August 17, 2017

 

(c)The Bank of America Merrill Lynch 3-Month Treasury Bill Index consists of U.S. Treasury Bills maturing in 90 days.

 

Top 10 Holdings by Industry     % of Net Assets 
Open End Funds - Fixed Income   33.2%
Exchange Traded Funds - Fixed Income   16.4%
Exchange Traded Funds - Equity   10.9%
Exchange Traded Funds - Commodity   7.6%
Exchange Traded Funds - Mixed Allocation   3.6%
Open End Funds - Alternative   2.2%
Exchange Traded Funds - Specialty   0.8%
Other/Cash & Equivalents   25.3%
    100.0%

 

Please refer to the Portfolio of Investments for a more detailed breakdown of the Fund’s assets. 

4

 

Easterly Global Real Estate Fund 

PORTFOLIO REVIEW (Unaudited) 

August 31, 2021

 

The Fund’s performance figures* for the year ended August 31, 2021, as compared to its benchmark:

 

    Annualized Annualized Annualized Annualized Annualized Annualized
  One Year Five Year Ten Year Since Inception (a) Since Inception (b) Since Inception (c) Since Inception (d)
Class A 33.47% 10.44% 10.20% 10.42% n/a n/a n/a
Class A With Load 25.79% 9.14% 9.55% 9.87% n/a n/a n/a
Class C 32.51% 9.62% n/a n/a 10.13% n/a n/a
Class I 34.06% 10.92% 10.75% n/a n/a 9.78% n/a
Class R6 34.29% n/a n/a n/a n/a n/a 11.34%
FTSE EPRA/NAREIT Developed Net Index (e) 34.55% 6.56% 8.46% 8.96% 9.42% 7.69% 8.12%

 

Comparison of the Change in Value of a $1,000,000 Investment

 

(LINE GRAPH)

 

Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (833) 999-2636. The total operating expense ratio as stated in the fee table to the Fund’s prospectus dated March 22, 2021 as amended August 23, 2021, is 1.44%, 2.19%, 1.19% and 1.21% for the A, C, I and R6 Classes, respectively.

 

(a)Inception date for Class A is October 26, 2009.

 

(b)Inception date for Class C is January 5, 2012.

 

(c)Inception date for Class I is August 1, 2011.

 

(d)Inception date for Class R6 is August 17, 2017.

 

(e)The FTSE EPRA/NAREIT Developed Net Index Series is designed to represent general trends in eligible real estate equities worldwide. Relevant real estate activities are defined as the ownership, disposure and development of income-producing real estate.

 

Top 10 Holdings by Country       % of Net Assets 
United States   49.6%
Japan   11.2%
Cayman Islands   10.3%
United Kingdom   6.2%
Hong Kong   6.0%
Bermuda   4.3%
France   3.9%
Italy   1.6%
Singapore   1.6%
Ireland   1.5%
Other/Cash & Equivalents   3.8%
    100.0%

 

Please refer to the Portfolio of Investments for a more detailed breakdown of the Fund’s assets.

5

 

Easterly Multi Strategy Alternative Income Fund 

PORTFOLIO REVIEW (Unaudited) 

August 31, 2021

 

The Fund’s performance figures* for the year ended August 31, 2021, as compared to its benchmark:

 

    Annualized Annualized Annualized
  One Year Five Year Since Inception (a) Since Inception (b)
Class A 14.90% 6.57% 3.72% n/a
Class A With Load 8.33% 5.32% 2.84% n/a
Class C 13.86% 5.75% 2.94% n/a
Class I 15.14% 6.81% 3.95% n/a
Class R6 15.59% n/a n/a 8.95%
Russel 2000 Total Return Index (c) 47.08% 14.38% 12.30% 15.07%

 

Comparison of the Change in Value of a $1,000,000 Investment

 

(LINE GRAPH)  

Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (833) 999-2636. The total operating expense ratio as stated in the fee table to the Fund’s prospectus dated March 22, 2021 as amended August 23, 2021, is 4.79%, 5.54%, 4.54% and 4.54% for the A, C, I and R6 Classes, respectively.

 

(a)Inception date for Class A, C and I is September 29, 2014.

 

(b)Inception date for Class R6 is August 17, 2017.

 

(c)The Russell 2000 Total Return Index is an unmanaged market capitalization-weighted index which measures the performance of the small-cap sector of the U.S. stock market. Index returns assume reinvestment of dividends. Investors may not invest in the Index directly. Unlike the Fund’s returns, the Index does not reflect any fees or expenses.

 

Top 10 Holdings by Industry/Security Type *     % of Net Assets 
Closed End Funds - Fixed Income   21.5%
REITS   18.7%
Software   13.1%
Liesure Facilities & Services   4.6%
Technology Services   4.4%
Real Estate Owners & Developers   4.4%
Exchanged Traded Funds - Fixed Income   4.2%
Telecommunications   3.6%
Health Care Facilities & Services   3.4%
Banking   3.2%
Other/Cash & Equivalents   18.9%
    100.0%

 

*Does not include securities sold short in which the Fund invests.

 

Please refer to the Portfolio of Investments for a more detailed breakdown of the Fund’s assets. 

6

 

Easterly Hedged Equity Fund 

PORTFOLIO REVIEW (Unaudited) 

August 31, 2021

 

The Fund’s performance figures* for the year ended August 31, 2021, as compared to its benchmark:

 

    Annualized Annualized Annualized
  One Year Five Year Since Inception (a) Since Inception (b)
Class A 10.67% 6.84% 5.54% n/a
Class A With Load 4.31% 5.58% 4.52% n/a
Class C 9.77% 6.00% 4.72% n/a
Class I 10.91% 7.20% 5.91% n/a
Class R6 11.49% n/a n/a 8.64%
S&P 500 Total Return Index (c) 31.17% 18.02% 15.64% 18.80%

 

Comparison of the Change in Value of a $1,000,000 Investment

 

(LINE GRAPH)

 

Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (833) 999-2636. The total operating expense ratio as stated in the fee table to the Fund’s prospectus dated March 22, 2021 as amended August 23, 2021, is 1.95%, 2.69%, 1.70% and 1.69% for the A, C, I and R6 Classes, respectively.

 

(a)Inception date for Class A, C and I is July 31, 2015,

 

(b)Inception date for Class R6 is August 17, 2017.

 

(c)The S&P 500 Total Return Index is an unmanaged free-float capitalization-weighted index which measures the performance of 500 large-cap common stocks actively traded in the United States. Index returns assume reinvestment of dividends. Investors may not invest in the Index directly. Unlike the Fund’s returns, the Index does not reflect any fees or expenses.

 

Top 10 Holdings by Security Type *      % of Net Assets 
Exchange Traded Funds   91.0%
Other/Cash & Equivalents   9.0%
    100.0%

 

*Does not include derivatives in which the Fund invests.

 

Please refer to the Portfolio of Investments for a more detailed breakdown of the Fund’s assets. 

7

 

Easterly Hedged High Income Fund 

PORTFOLIO REVIEW (Unaudited) 

August 31, 2021

 

The Fund’s performance figures* for the year ended August 31, 2021, as compared to its benchmark:

 

    Annualized Annualized Annualized
  One Year Five Year Since Inception (a) Since Inception (b)
Class A 7.56% 4.04% 3.14% n/a
Class A With Load 1.40% 2.80% 2.34% n/a
Class C 7.05% 3.42% 2.50% n/a
Class I 8.12% 4.55% 3.60% n/a
Class R6 8.55% n/a n/a 3.92%
Bloomberg Capital U.S. Aggregate Bond Index (0.08)% 3.11% 3.63% 3.84%

 

Comparison of the Change in Value of a $1,000,000 Investment

 

(LINE GRAPH)

 

Performance data quoted above is historical. Past performance does not guarantee future results and current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate, so that shares when redeemed, may be worth more or less than their original cost. For more performance numbers current to the most recent month-end please call (833) 999-2636. The total operating expense ratio as stated in the fee table to the Fund’s prospectus dated March 22, 2021 as amended August 23, 2021, is 3.16%, 3.92%, 2.93% and 2.91% for the A, C, I and R6 Classes, respectively.

 

(a)Inception date for Class A, C and I is December 31, 2013.

 

(b)Inception date for Class R6 is August 17, 2017.

 

(c)The Bloomberg Capital U.S. Aggregate Bond Index, is made up of the Barclays Capital U.S. Government/Corporate Bond Index, Mortgage-Backed Securities Index, and Asset-Backed Securities Index, including securities that are of investment grade quality or better, have at least one year to maturity, and have an outstanding par value of at least $100 million. Investors cannot invest directly in an index.

 

Top 10 Holdings by Industry      % of Net Assets 
Closed End Funds - Fixed Income   18.3%
Exchange Traded Fund - Equity   0.9%
Other/Cash & Equivalents   80.8%
    100.0%

 

Please refer to the Portfolio of Investments for a more detailed breakdown of the Fund’s assets. 

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EASTERLY GLOBAL MACRO FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
August 31, 2021

 

Shares      Fair Value 
     EXCHANGE-TRADED FUNDS — 39.3%     
     ALTERNATIVE - 0.0%(a)     
 65   IQ Merger Arbitrage ETF  $2,135 
           
     COMMODITY - 7.6%     
 63   Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF   1,262 
 53   iShares GSCI Commodity Dynamic Roll Strategy ETF   1,825 
 22,687   iShares S&P GSCI Commodity Indexed Trust(b)   360,951 
 257   SPDR Gold Shares(b),(c)   43,610 
 5,629   United States Commodity Index Fund(b)   224,970 
 1,926   United States Natural Gas Fund, L.P.(b)   29,506 
 68   United States Oil Fund, L.P.(b)   3,267 
         665,391 
     EQUITY - 10.9%     
 146   AdvisorShares STAR Global Buy-Write ETF   5,939 
 9   CI Active Utility & Infrastructure ETF   99 
 611   Core Alternative ETF   18,489 
 90   Direxion NASDAQ-100 Equal Weighted Index Shares   7,847 
 516   First Trust Financial AlphaDEX Fund   23,555 
 177   Global X MSCI Argentina ETF   6,496 
 950   Invesco KBW High Dividend Yield Financial ETF   19,646 
 3,731   Invesco S&P 500 Equal Weight ETF   583,156 
 114   iShares Currency Hedged MSCI EAFE ETF   3,985 
 105   iShares Exponential Technologies ETF   6,917 
 375   iShares Latin America 40 ETF   11,096 
 832   iShares Mortgage Real Estate ETF   30,900 
 509   iShares MSCI All Country Asia ex Japan ETF   45,179 
 572   iShares MSCI Brazil ETF   20,821 
 878   iShares MSCI Chile ETF   25,093 
 1,639   iShares MSCI Global Multifactor ETF   63,858 
 57   iShares MSCI Japan ETF   3,899 
 26   iShares S&P/TSX Global Gold Index ETF   374 
 1   SPDR EURO STOXX 50 ETF   48 
 321   SPDR S&P Metals & Mining ETF   14,217 
 387   VanEck Africa Index ETF   8,487 
 547   VanEck Russia ETF   16,016 

 

See accompanying notes to financial statements.

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EASTERLY GLOBAL MACRO FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)
August 31, 2021

 

Shares      Fair Value 
     EXCHANGE-TRADED FUNDS — 39.3% (Continued)     
     EQUITY - 10.9% (Continued)     
 583   Vanguard FTSE Emerging Markets ETF  $30,450 
 57   WisdomTree Global ex-US Quality Dividend Growth Fund   2,458 
         949,025 
     FIXED INCOME - 16.4%     
 933   Highland/iBoxx Senior Loan ETF   14,975 
 17   iShares 20+ Year Treasury Bond ETF   2,530 
 354   iShares 7-10 Year Treasury Bond ETF   41,478 
 8,787   iShares Barclays USD Asia High Yield Bond Index   85,673 
 499   iShares Floating Rate Bond ETF   25,339 
 2,661   iShares iBoxx High Yield Corporate Bond ETF   234,407 
 1,734   iShares JP Morgan USD Emerging Markets Bond ETF   196,618 
 171   iShares MBS ETF   18,569 
 3,898   SPDR Bloomberg Barclays Euro High Yield Bond UCITS ETF   264,333 
 29   SPDR Bloomberg Barclays High Yield Bond ETF   3,190 
 1,049   SPDR Doubleline Total Return Tactical ETF   50,897 
 2,537   VanEck Vectors Emerging Markets High Yield Bond ETF   60,203 
 4,119   Vanguard Total International Bond ETF   237,337 
 5,969   WisdomTree Emerging Markets Local Debt Fund   193,217 
         1,428,766 
     MIXED ALLOCATION - 3.6%     
 6,126   iShares Morningstar Multi-Asset Income ETF   149,568 
 5,842   SPDR SSgA Multi-Asset Real Return ETF   167,548 
         317,116 
     SPECIALTY - 0.8%     
 1,935   Invesco DB US Dollar Index Bullish Fund(b)   48,162 
 372   ProShares Short VIX Short-Term Futures ETF(b)   21,546 
         69,708 
           
     TOTAL EXCHANGE-TRADED FUNDS (Cost $3,290,865)   3,432,141 

 

See accompanying notes to financial statements.

10

 

EASTERLY GLOBAL MACRO FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)
August 31, 2021

 

Shares      Fair Value 
     EXCHANGE-TRADED NOTES — 0.0%(a)     
     COMMODITY - 0.0%(a)     
 44   iPath Series B Bloomberg Grains Subindex Total Return ETN(b)  $2,742 
           
     TOTAL EXCHANGE-TRADED NOTES (Cost $1,731)   2,742 
           
     OPEN END FUNDS — 35.4%     
     ALTERNATIVE - 2.2%     
 1,248   AQR Managed Futures Strategy Fund, Class I   9,538 
 15,889   Easterly Hedged Equity Fund, Class R6(d)   183,999 
         193,537 
     FIXED INCOME - 33.2%     
 259,678   Easterly Structured Credit Value Fund, Class R6(d)   2,903,195 
           
           
     TOTAL OPEN END FUNDS (Cost $3,019,704)   3,096,732 
           
     TOTAL INVESTMENTS - 74.7% (Cost $6,312,300)  $6,531,615 
     OTHER ASSETS IN EXCESS OF LIABILITIES- 25.3%   2,215,248 
     NET ASSETS - 100.0%  $8,746,863 
           
EAFE- Europe, Australasia and Far East

 

ETF- Exchange-Traded Fund

 

LP- Limited Partnership

 

MSCI- Morgan Stanley Capital International

 

SPDR- Standard & Poor's Depositary Receipt

 

(a)Percentage rounds to less than 0.1%.

 

(b)Non-income producing security.

 

(c)All or a portion of this investment is a holding of the of the James Alpha Cayman Commodity Fund I Ltd.

 

(d)Affiliated investment.

 

See accompanying notes to financial statements.

11

 

EASTERLY GLOBAL MACRO FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)
August 31, 2021

 

Forward Currency Contracts
Settlement  Units to                US Dollar      Appreciation/ 
Date  Receive/Deliver     Counterparty  In Exchange For     Value     (Depreciation) 
To Buy:                                
9/24/2021   2,630   AUD  Brown Brothers Harriman  $1,911   USD  $1,922     $11 
9/24/2021   6,715   CHF  Brown Brothers Harriman   7,360   USD   7,335       (25)
9/24/2021   475,145   EUR  Brown Brothers Harriman   557,573   USD   561,147       3,574 
                           Total Unrealized:  $3,560 
To Sell:                                
9/24/2021   (28,225)  CAD  Brown Brothers Harriman  $(22,377)  USD  $(22,335)     $42 
9/24/2021   (11,903)  GBP  Brown Brothers Harriman   (16,371)  USD   (16,383)      (12)
9/24/2021   (60,866,012)  JPY  Brown Brothers Harriman   (555,951)  USD   (554,145)      1,806 
9/24/2021   (246,592)  MXN  Brown Brothers Harriman   (12,276)  USD   (12,267)      9 
                           Total Unrealized:  $1,845 

 

Currency Abbreviations:

 

AUD- Australian Dollar

 

CAD- Canadian Dollar

 

CHF- Swiss Franc

 

EUR- Euro

 

GBP- British Pound

 

JPY- Japanese Yen

 

MXN- Mexican Peso

 

USD - U.S. Dollar

 

TOTAL RETURN SWAP - 9.9 %  Unrealized Gain 
The Deutsche Bank Total Return Swap provides exposure to the daily, total returns of the James Alpha Index, a proprietary index of the London Branch of Deutsche Bank AG. The number of shares is 80,351, with a receivable rate of 0.39%. The James Alpha Index features a basket of commodity trading advisor (“CTA”) programs selected by James Alpha Advisors, LLC from an approved list of third-party managers offered through Deutsche Bank AG on its DB Select platform. The James Alpha Index comprises a diversified collection of strategy and style types, including trend following, short-term trading, discretionary, global macro, and sector specialists. According to the terms of the swap, James Alpha Advisors, LLC can modify the James Alpha Index as frequently as daily, on a T+1 basis, by adjusting the notional value of the James Alpha Index, or by adding, deleting, or re-weighting the constituent CTA programs. The swap became effective on December 7, 2016. The maturity date of the swap is December 9, 2022. (Notional Value $8,240,337)  $868,317 
   $868,317 
      
TOTAL RETURN SWAP - (0.2) %  Unrealized Loss 
The Goldman Sachs i-Select III Series 88 Excess Return Strategy (“GS i-Select”) is a synthetic rules-based proprietary strategy created by Goldman Sachs International as strategy sponsor. The GS i-Select Index includes strategies of the GS Risk Premia Universe that were selected by James Alpha. The GS i-Select Index is actively managed by James Alpha. The Index features 15 Portfolio Constituents that James Alpha Advisors, LLC determines the daily weighting of each constituent within the GS i-Select Index. The GS i-Select Index is comprised a diversified collection of strategy and style types, including equity, interest rates, FX, commodities, and credit based strategies such as imbalance, volatility carry, carry, momentum, low beta, and quality. According to the terms of the GS i-Select Index, James Alpha Advisors, LLC can modify the GS i-Select Index as frequently as daily, by adjusting the notional value of the GS i-Select Index, or by adding, deleting, or re-weighting the constituent Indexes in the GS i-Select Index. The swap became effective on May 28, 2021, and has a maturity date of February 4, 2022. The number of shares is 25,578. (Notional Value $2,555,489)  $— 
   $— 
      
TOTAL RETURN SWAP - (0.0) %  Unrealized Loss 
The Goldman Sachs Intraday Momentum ES Series 1 Excess Return Strategy (“GS Intraday Momentum”) aims to capture intraday trend risk premium on the S&P 500. There is empirical evidence that the returns in the earlier part of the day tend to continue in the same direction in the subsequent part of the day, across several markets, including equities. The strategy attempts to monetize this historical tendency for intraday trends from the previous close to extend unto the following close: 1) Every day after the open, the strategy buys futures if markets are rising since the previous close; conversely, it sells futures if markets are falling since previous close. 2) The strategy monitors market moves every 30-minutes to reactively modify its positioning if a new trend appears. 3) All positions are exited at the close. The swap became effective on May 3, 2021, and has a maturity date of February 1, 2022. The number of shares is 1,766. (Notional Value $202,934)  $(782)
   $(782)
      
TOTAL RETURN SWAP - 0.0 %  Unrealized Gain 
The Goldman Sachs Long Gamma US Series 10 Excess Return Strategy (“GS Long Gamma”) attempts to provide protection in tail scenarios through a levered position in delta-hedged put options. The strategy buys 12m 10-delta S&P Put options and delta-hedges them to attempt to neutralize the inherent short market exposure in typical markets. The strategy takes a long position in volatility and is best-positioned for left-tail events with very high realized volatility. The swap became effective on May 3, 2021, and has a maturity date of February 1, 2022. The number of shares is 1,521. (Notional Value $215,065)  $907 
   $907 
      
TOTAL RETURN SWAP - (0.0) %  Unrealized Loss 
The Goldman Sachs Calls-vs-Calls US Series 2 Total Return Strategy (“GS Calls vs Calls”) is designed to extract dislocated call premiums from S&P 500 constituents; the strategy sells call options on a daily basis across top 100 constituents of the SPX where the term structure is most inverted. The stocks are picked with constraints on leverage, beta towards SPX and tracking error. The strategy also purchases an ATM call option on SPX to mitigate market risk. The swap became effective on May 28, 2021, and has a maturity date of February 1, 2022. The number of shares is 1,641. (Notional Value $203,000)  $— 
   $— 
      
TOTAL RETURN SWAP - 0.0 %  Unrealized Gain 
The Goldman Sachs Systematic Skew US Series 1D Total Return Strategy (“GS Systematic Skew”) is designed to capture the spot-volatility covariance risk premium in equity markets, while minimizing exposure to volatility risk. The strategy sells 3m 15d puts and buys 3m 40d calls (delta and gamma hedged) that target a constant exposure to skew, with performance driven by Vanna. The strategy also buys 5d tail puts for added risk management. The swap became effective on May 28, 2021, and has a maturity date of February 1, 2022. The number of shares is 1,502. (Notional Value $203,000)  $— 
   $— 

 

See accompanying notes to financial statements.

12

 

EASTERLY GLOBAL MACRO FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)
August 31, 2021

 

James Alpha Index Swap Top 50 Holdings

FUTURES CONTRACTS

 

                     Percentage of 
                 Unrealized   Total Return 
Number of        Notional Value at       Appreciation /   Swap Unrealized 
Contracts  Open Long Future Contracts  Counterparty  August 31, 2021   Expiration   (Depreciation)   Gain/(Loss) 
4  2 year Euro-Schatz  Deutsche Bank  $528,421    12/8/2021   $(14)   (0.00)%
4  2 year Euro-Schatz  Deutsche Bank   504,266    9/8/2021    (47)   (0.01)%
10  3 month Euro (EURIBOR)  Deutsche Bank   3,107,677    6/19/2023    74    0.01%
2  3 month Euro (EURIBOR)  Deutsche Bank   732,373    12/18/2023    194    0.02%
1  3 month Euro (EURIBOR)  Deutsche Bank   227,139    3/14/2022    4    0.00%
7  3 year Australian Treasury Bond  Deutsche Bank   576,051    9/15/2021    1,356    0.16%
7  10 year Australian Treasury Bond Future  Deutsche Bank   722,258    9/15/2021    388    0.04%
4  10 year Canadian Govt Bond  Deutsche Bank   452,598    12/20/2021    (843)   (0.10)%
4  10 year Italian Bond  Deutsche Bank   781,835    9/8/2021    (2,596)   (0.30)%
1  10 year Japanese Government Bond  Deutsche Bank   1,514,730    9/13/2021    (107)   (0.01)%
8  10 year US Treasury Notes  Deutsche Bank   1,133,894    12/21/2021    1,140    0.13%
3  30 year US Treasury Bonds  Deutsche Bank   501,072    12/21/2021    616    0.07%
4  90 Day Bank Accepted Bill Future  Deutsche Bank   799,881    6/9/2022    306    0.04%
5  Brent Crude Monthly Future  Deutsche Bank   348,133    9/30/2021    3,546    0.41%
1  DAX Index Future  Deutsche Bank   361,528    9/17/2021    (1,105)   (0.13)%
64  DJ EURO STOXX Banks Future  Deutsche Bank   362,516    9/17/2021    (548)   (0.06)%
3  E-Mini Nasdaq-100  Deutsche Bank   799,113    9/17/2021    4,997    0.58%
1  E-Mini S&P 500  Deutsche Bank   315,675    9/17/2021    6,323    0.73%
10  Euro-BOBL  Deutsche Bank   1,602,822    9/8/2021    1,114    0.13%
14  Euro-BUND  Deutsche Bank   2,879,513    9/8/2021    1,911    0.22%
1  Euro-BUXL  Deutsche Bank   249,230    9/8/2021    (3,155)   (0.36)%
2  Eurodollar  Deutsche Bank   463,799    9/19/2022    81    0.01%
2  Eurodollar  Deutsche Bank   399,746    3/14/2022    25    0.00%
1  Eurodollar  Deutsche Bank   369,980    6/13/2022    (18)   (0.00)%
1  Eurodollar  Deutsche Bank   229,738    12/18/2023    (25)   (0.00)%
1  Eurodollar  Deutsche Bank   222,560    6/19/2023    20    0.00%
3  Euro-OAT Future  Deutsche Bank   578,374    9/8/2021    (1,243)   (0.14)%
2  Long Gilt Future  Deutsche Bank   412,118    12/29/2021    (2,319)   (0.27)%
2  Mini Japanese Goverment Bond Future  Deutsche Bank   233,361    9/10/2021    42    0.00%
1  S&P Canada 60 Index Future  Deutsche Bank   234,259    9/16/2021    4,387    0.51%
3  Three Month Canadian Bankers Acceptance Future  Deutsche Bank   502,483    6/13/2022    85    0.01%
1  Three Month Canadian Bankers Acceptance Future  Deutsche Bank   227,367    12/19/2022    386    0.04%
2  Ultra Long-Term T Bond  Deutsche Bank   433,734    12/21/2021    1,005    0.12%
                   $15,980      

 

                     Percentage of 
                 Unrealized   Total Return 
Number of        Notional Value at       Appreciation /   Swap Unrealized 
Contracts  Open Short Future Contracts  Counterparty  August 31, 2021   Expiration   (Depreciation)   Gain/(Loss) 
(2)  2 year US Treasury Notes  Deutsche Bank  $(397,878)   12/31/2021   $(189)   (0.02)%
(2)  3 month Sterling  Deutsche Bank   (305,436)   6/15/2022    (108)   (0.01)%
(11)  3 month Sterling  Deutsche Bank   (1,886,785)   6/21/2023    (312)   (0.04)%
(3)  5 year US Treasury Notes  Deutsche Bank   (430,351)   12/31/2021    (95)   (0.01)%
(4)  AUD/USD Future  Deutsche Bank   (309,279)   9/13/2021    2,221    0.26%
(3)  CAD/USD Future  Deutsche Bank   (273,055)   9/14/2021    344    0.04%
(2)  CME E-Mini Russell 2000 Index  Deutsche Bank   (244,959)   9/17/2021    1,402    0.16%
(6)  EUR/USD Future  Deutsche Bank   (851,343)   9/13/2021    423    0.05%
(2)  Eurodollar  Deutsche Bank   (382,077)   6/17/2024    (865)   (0.10)%
(4)  JPY/USD Future  Deutsche Bank   (483,830)   9/13/2021    968    0.11%
(2)  Three Month Canadian Bankers Acceptance Future  Deutsche Bank   (301,382)   3/14/2022    5    0.00%
                   $3,794      
                           
   TOTAL FUTURES CONTRACTS               $19,774      

 

PURCHASED PUT OPTIONS

 

                        Percentage of 
                        Total Return 
         Notional Value at          Unrealized   Swap Unrealized 
  Description  Counterparty  August 31, 2021   Expiration  Strike Price   Appreciation   Gain 
  CNH/USD  Deutsche Bank   $374,707   11/17/2021  $6.00    $0    0.00%
   TOTAL PURCHASED PUT OPTIONS          0      

 

James Alpha Index Swap Top 50 Holdings (Continued) 

 

FORWARD CURRENCY CONTRACTS +

 

                        Unrealized 
Settlement  Units to                US Dollar   Appreciation / 
Date  Receive/Deliver      Counterparty  In Exchange For      Value   (Depreciation) 
To Buy:                             
9/29/2021   593,479   USD  Deutsche Bank  $504,362   EUR  $506,535   $2,173 
9/29/2021   276,750   USD  Deutsche Bank   381,907   AUD   384,161    2,254 
9/29/2021   328,504   CHF  Deutsche Bank   360,928   USD   363,237    2,309 
To Sell:                             
9/1/2021   313,130   CHF  Deutsche Bank   290,888   EUR   289,250    (1,639)
9/29/2021   4,104,287   MXN  Deutsche Bank   201,224   USD   203,759    2,535 
TOTAL FORWARD CURRENCY CONTRACTS        7,632 

 

+Foreign currency transactions are done by notional and not by contracts

 

Currency Abbreviations:

 

AUD- Australian Dollar

 

CHF- Swiss Franc

 

EUR- Euro

 

MXN- Mexican Peso

 

USD- U.S. Dollar

 

See accompanying notes to financial statements.

13

 

EASTERLY GLOBAL MACRO FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)
August 31, 2021

 

Goldman Sachs i-Select III Series 88 Excess Return Strategy Top 50 Holdings 

FUTURES CONTRACTS *

 

Number of         Notional Value at      
Contracts  Open Long Future Contracts   Counterparty  August 31, 2021   Expiration  
0  CBOT 10 Year US Treasury Note 12/21/2021   Goldman Sachs  $51,374   12/21/2021  
1  CBOT 2 Year US Treasury Note Future 12/31/2021   Goldman Sachs   281,387   12/31/2021  
2  CBOT 5 Year US Treasury Note 12/31/2021   Goldman Sachs   284,800   12/31/2021  
1  CBOT 5 Year US Treasury Note 12/31/2021   Goldman Sachs   93,887   12/31/2021  
0  CBOT Soybean Future 03/14/2022   Goldman Sachs   11,733   3/14/2022  
0  CBOT US Long Bond Future 12/21/2021   Goldman Sachs   25,179   12/21/2021  
1  CBOT Wheat Future 03/14/2022   Goldman Sachs   22,104   3/14/2022  
1  CME 3 Month Eurodollar Future 03/14/2022   Goldman Sachs   280,951   3/14/2022  
1  CME 3 Month Eurodollar Future 06/13/2022   Goldman Sachs   280,846   6/13/2022  
1  CME 3 Month Eurodollar Future 09/19/2022   Goldman Sachs   280,677   9/19/2022  
1  CME 3 Month Eurodollar Future 12/13/2021   Goldman Sachs   280,936   12/13/2021  
1  CME 3 Month Eurodollar Future 12/19/2022   Goldman Sachs   280,424   12/19/2022  
2  CME E-Mini NASDAQ 100 Index Future 09/17/2021   Goldman Sachs   34,108   9/17/2021  
7  CME E-Mini Standard & Poor's 500 Index Future 09/17/2021   Goldman Sachs   31,338   9/17/2021  
1  Corn Future   Goldman Sachs   16,048   3/14/2022  
0  Cotton No.2 Future   Goldman Sachs   12,305   3/9/2022  
0  Eurex 10 Year Euro BUND Future 09/08/2021   Goldman Sachs   19,561   9/8/2021  
0  Eurex 10 Year Euro BUND Future 12/08/2021   Goldman Sachs   39,493   12/8/2021  
0  Eurex 2 Year Euro SCHATZ Future 44447   Goldman Sachs   58,787   9/8/2021  
1  Eurex 2 Year Euro SCHATZ Future 44538   Goldman Sachs   117,612   12/8/2021  
0  Eurex 5 Year Euro BOBL Future   Goldman Sachs   69,058   12/8/2021  
2  Eurex 5 Year Euro BOBL Future 44447   Goldman Sachs   273,542   9/8/2021  
0  Eurex 5 Year Euro BOBL Future 44447   Goldman Sachs   34,411   9/8/2021  
2  Eurex Swiss Market New Index Future 09/17/2021   Goldman Sachs   33,722   9/17/2021  
0  Euro-BTP Future   Goldman Sachs   17,870   12/8/2021  
34  Euronext Amsterdam Index Future 44456   Goldman Sachs   31,269   9/17/2021  
2  Euronext CAC 40 Index Future 09/17/2021   Goldman Sachs   15,474   9/17/2021  
61,985  KOPSI 200 Index Future   Goldman Sachs   22,427   9/9/2021  
0  LME Copper Future   Goldman Sachs   9,965   10/18/2021  
0  LME Nickel Future   Goldman Sachs   10,131   10/18/2021  
0  LME Primary Aluminum Future   Goldman Sachs   14,405   2/14/2022  
0  LME Primary Aluminum Future   Goldman Sachs   10,818   1/17/2022  
0  LME Primary Aluminum Future 10/18/2021   Goldman Sachs   10,111   10/18/2021  
0  LME Zinc Future   Goldman Sachs   10,731   11/15/2021  
0  LME Zinc Future 10/18/2021   Goldman Sachs   9,855   10/18/2021  
0  Montreal Exchange 10 Year Canadian Bond Future 12/20/2021   Goldman Sachs   28,823   12/20/2021  
30  Montreal Exchange S&P/TSX 60 Index Future 09/16/2021   Goldman Sachs   28,863   9/17/2021  
0  NYBOT CSC C Coffee Future   Goldman Sachs   26,815   3/21/2022  
0  NYBOT CSC C Coffee Future 12/20/2021   Goldman Sachs   10,038   12/20/2021  
1  NYBOT CSC Number 11 World Sugar Future 02/28/2022   Goldman Sachs   28,792   2/28/2022  
123  OML Stockholm OMXS30 Index Future 09/17/2021   Goldman Sachs   33,469   9/17/2021  
0  SFE 10 Year Australian Bond Future 09/15/2021   Goldman Sachs   29,418   9/15/2021  
5  SFE S&P ASX Share Price Index 200 Future 09/16/2021   Goldman Sachs   25,492   9/16/2021  
0  TSE Japanese 10 Year Bond Futures 09/13/2021   Goldman Sachs   33,756   9/9/2021  

 

CREDIT DEFAULT SWAP

 

Number of        Notional Value at        
Contracts  Open Credit Default Swap  Counterparty  August 31, 2021   Expiration  Value 
84,435  Markit CDX North America Investment Grade Index  Goldman Sachs   84,435   6/20/2026  $(2,309)
12,949  Markit CDX North America High Yield Index  Goldman Sachs   12,949   6/20/2026   (1,400)
                  (3,709)

 

PURCHASED CALL OPTIONS

 

Number of        Notional Value at      Exercise     
Contracts  Open Put Options  Counterparty  August 31, 2021   Expiration  Price   Market Value 
76  Apple, Inc.  Goldman Sachs  $11,574   9/17/2021  $130   $1,676 
86  Apple, Inc.  Goldman Sachs   13,117   9/17/2021   135    1,482 
83  Apple, Inc.  Goldman Sachs   12,657   9/17/2021   140    1,025 
71  Apple, Inc.  Goldman Sachs   10,798   9/17/2021   145    549 
                       4,732 

 

*The GS i-Select invests in 15 Portfolio Constituents which do not trade individual futures, therefore the Futures do not have any individual unrealized gains/losses.

 

See accompanying notes to financial statements.

14

 

EASTERLY GLOBAL MACRO FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)
August 31, 2021

 

Goldman Sachs Intraday Momentum ES Series 1 Excess Return Strategy Top 50 Holdings

NO OPEN POSITIONS

             

Goldman Sachs Long Gamma US Series 10 Total Return Strategy Top 50 Holdings

EQUITY FORWARDS

         

Number of        Notional Value at      Exercise     
Contracts  Open Short Equity Forwards  Counterparty  August 31, 2021   Expiration  Price   Market Value 
4  S&P 500 Index  Goldman Sachs  $18,461   12/17/2021  $4,530    (79)
3  S&P 500 Index  Goldman Sachs   15,073   3/18/2022   4,525    (72)
6  S&P 500 Index  Goldman Sachs   26,825   6/17/2022   4,525    (185)
                       (336)

 

PURCHASED PUT OPTIONS

 

Number of        Notional Value at      Exercise     
Contracts  Open Put Options  Counterparty  August 31, 2021   Expiration  Price   Market Value 
9  S&P 500 Index  Goldman Sachs  $41,080   9/17/2021  $1,850   $— 
6  S&P 500 Index  Goldman Sachs   29,192   12/17/2021   2,125    15 
6  S&P 500 Index  Goldman Sachs   27,971   12/17/2021   2,525    28 
6  S&P 500 Index  Goldman Sachs   27,851   9/17/2021   2,250    — 
6  S&P 500 Index  Goldman Sachs   27,435   9/17/2021   1,900    — 
6  S&P 500 Index  Goldman Sachs   27,169   3/18/2022   2,150    45 
6  S&P 500 Index  Goldman Sachs   26,537   12/17/2021   2,800    43 
5  S&P 500 Index  Goldman Sachs   23,761   9/17/2021   2,225    — 
5  S&P 500 Index  Goldman Sachs   23,541   12/17/2021   2,150    12 
5  S&P 500 Index  Goldman Sachs   23,105   9/17/2021   2,500    — 
5  S&P 500 Index  Goldman Sachs   22,487   12/17/2021   2,175    12 
5  S&P 500 Index  Goldman Sachs   21,353   12/17/2021   2,250    13 
5  S&P 500 Index  Goldman Sachs   20,631   12/17/2021   2,450    18 
4  S&P 500 Index  Goldman Sachs   20,186   3/18/2022   2,100    31 
4  S&P 500 Index  Goldman Sachs   19,841   12/17/2021   2,550    21 
4  S&P 500 Index  Goldman Sachs   19,693   12/17/2021   2,500    19 
4  S&P 500 Index  Goldman Sachs   19,443   3/18/2022   2,050    28 
4  S&P 500 Index  Goldman Sachs   18,832   9/17/2021   2,325    — 
4  S&P 500 Index  Goldman Sachs   18,512   9/17/2021   2,275    — 
4  S&P 500 Index  Goldman Sachs   18,487   12/17/2021   2,575    20 
4  S&P 500 Index  Goldman Sachs   18,466   9/17/2021   1,800    — 
4  S&P 500 Index  Goldman Sachs   17,822   12/17/2021   2,200    10 
4  S&P 500 Index  Goldman Sachs   17,812   4/14/2022   2,500    62 
4  S&P 500 Index  Goldman Sachs   17,725   9/17/2021   1,950    — 
4  S&P 500 Index  Goldman Sachs   17,454   7/15/2022   2,600    114 
4  S&P 500 Index  Goldman Sachs   17,156   9/17/2021   2,400    — 
4  S&P 500 Index  Goldman Sachs   17,023   3/18/2022   2,600    56 
4  S&P 500 Index  Goldman Sachs   16,221   3/18/2022   2,500    46 
3  S&P 500 Index  Goldman Sachs   15,778   9/17/2021   2,525    — 
3  S&P 500 Index  Goldman Sachs   15,654   12/17/2021   2,825    26 
3  S&P 500 Index  Goldman Sachs   15,262   9/17/2021   2,050    — 
3  S&P 500 Index  Goldman Sachs   15,205   9/17/2021   2,475    — 
3  S&P 500 Index  Goldman Sachs   15,087   12/17/2021   2,100    7 
3  S&P 500 Index  Goldman Sachs   14,877   6/17/2022   2,500    75 
3  S&P 500 Index  Goldman Sachs   14,179   12/17/2021   2,425    12 
3  S&P 500 Index  Goldman Sachs   14,092   9/17/2021   2,200    — 
3  S&P 500 Index  Goldman Sachs   13,901   12/17/2021   1,800    4 
3  S&P 500 Index  Goldman Sachs   13,869   9/17/2021   2,550    — 
3  S&P 500 Index  Goldman Sachs   13,766   9/17/2021   2,000    — 
3  S&P 500 Index  Goldman Sachs   13,357   9/17/2021   1,750    — 
3  S&P 500 Index  Goldman Sachs   13,170   12/17/2021   2,700    18 
3  S&P 500 Index  Goldman Sachs   12,940   6/17/2022   2,050    33 
3  S&P 500 Index  Goldman Sachs   12,883   12/17/2021   2,675    17 
3  S&P 500 Index  Goldman Sachs   12,838   3/18/2022   2,250    25 
3  S&P 500 Index  Goldman Sachs   12,837   9/17/2021   2,350    — 
3  S&P 500 Index  Goldman Sachs   12,657   3/18/2022   2,550    39 
3  S&P 500 Index  Goldman Sachs   12,647   9/17/2021   2,450    — 
                       849 

 

See accompanying notes to financial statements.

15

 

EASTERLY GLOBAL MACRO FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)
August 31, 2021

 

Goldman Sachs Calls-vs-Calls US Series 2 Total Return Strategy Top 50 Holdings 

PURCHASED CALL OPTIONS

 

Number of        Notional Value at      Exercise     
Contracts  Open Call Options  Counterparty  August 31, 2021   Expiration  Price   Market Value 
6  S&P 500 Index  Goldman Sachs  $27,382   9/17/2021  $4,400   $825 
5  S&P 500 Index  Goldman Sachs   21,135   9/17/2021   4,475    333 
4  S&P 500 Index  Goldman Sachs   18,031   9/17/2021   4,445    384 
3  S&P 500 Index  Goldman Sachs   15,657   9/17/2021   4,435    363 
3  S&P 500 Index  Goldman Sachs   13,466   9/17/2021   4,405    392 
3  S&P 500 Index  Goldman Sachs   12,573   9/17/2021   4,440    280 
3  S&P 500 Index  Goldman Sachs   11,366   9/17/2021   4,420    297 
2  S&P 500 Index  Goldman Sachs   11,096   9/17/2021   4,485    156 
2  S&P 500 Index  Goldman Sachs   10,907   10/15/2021   4,400    405 
2  S&P 500 Index  Goldman Sachs   10,362   9/17/2021   4,495    128 
2  S&P 500 Index  Goldman Sachs   9,718   9/17/2021   4,470    162 
2  S&P 500 Index  Goldman Sachs   9,586   9/17/2021   4,385    318 
2  S&P 500 Index  Goldman Sachs   9,022   9/17/2021   4,465    159 
2  S&P 500 Index  Goldman Sachs   8,963   9/17/2021   4,505    97 
2  S&P 500 Index  Goldman Sachs   8,695   9/17/2021   4,455    169 
2  S&P 500 Index  Goldman Sachs   8,327   10/15/2021   4,470    208 
2  S&P 500 Index  Goldman Sachs   8,281   9/17/2021   4,525    65 
2  S&P 500 Index  Goldman Sachs   7,845   9/17/2021   4,430    190 
2  S&P 500 Index  Goldman Sachs   7,220   9/17/2021   4,425    182 
2  S&P 500 Index  Goldman Sachs   6,907   10/15/2021   4,430    219 
2  S&P 500 Index  Goldman Sachs   6,901   10/15/2021   4,525    115 
2  S&P 500 Index  Goldman Sachs   6,886   9/17/2021   4,355    271 
2  S&P 500 Index  Goldman Sachs   6,800   10/15/2021   4,480    159 
1  S&P 500 Index  Goldman Sachs   6,502   9/17/2021   4,325    296 
1  S&P 500 Index  Goldman Sachs   6,473   9/17/2021   4,245    405 
1  S&P 500 Index  Goldman Sachs   6,432   9/17/2021   4,370    233 
1  S&P 500 Index  Goldman Sachs   6,378   10/15/2021   4,510    120 
1  S&P 500 Index  Goldman Sachs   6,212   10/15/2021   4,420    208 
1  S&P 500 Index  Goldman Sachs   6,063   9/17/2021   4,225    405 
1  S&P 500 Index  Goldman Sachs   6,039   9/17/2021   4,395    188 
1  S&P 500 Index  Goldman Sachs   5,977   9/17/2021   4,320    279 
1  S&P 500 Index  Goldman Sachs   5,718   9/17/2021   4,415    155 
1  S&P 500 Index  Goldman Sachs   5,716   10/15/2021   4,370    244 
1  S&P 500 Index  Goldman Sachs   5,461   9/17/2021   4,290    289 
1  S&P 500 Index  Goldman Sachs   5,354   10/15/2021   4,495    113 
1  S&P 500 Index  Goldman Sachs   5,294   10/15/2021   4,410    187 
1  S&P 500 Index  Goldman Sachs   5,136   10/15/2021   4,360    229 
1  S&P 500 Index  Goldman Sachs   4,855   10/15/2021   4,485    110 
1  S&P 500 Index  Goldman Sachs   4,849   10/15/2021   4,450    137 
1  S&P 500 Index  Goldman Sachs   4,605   11/19/2021   4,440    176 
1  S&P 500 Index  Goldman Sachs   4,550   11/19/2021   4,400    205 
1  S&P 500 Index  Goldman Sachs   4,440   9/17/2021   4,410    125 
1  S&P 500 Index  Goldman Sachs   4,298   9/17/2021   4,240    273 
1  S&P 500 Index  Goldman Sachs   4,160   9/17/2021   4,200    300 
1  S&P 500 Index  Goldman Sachs   4,155   9/17/2021   4,365    155 
1  S&P 500 Index  Goldman Sachs   3,971   9/17/2021   4,220    270 
1  S&P 500 Index  Goldman Sachs   3,923   11/19/2021   4,470    131 
1  S&P 500 Index  Goldman Sachs   3,842   10/15/2021   4,440    115 
1  S&P 500 Index  Goldman Sachs   3,818   11/19/2021   4,480    122 
1  S&P 500 Index  Goldman Sachs   3,519   10/15/2021   4,325    180 
                       11,527 

 

See accompanying notes to financial statements.

16

 

EASTERLY GLOBAL MACRO FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)
August 31, 2021

 

Goldman Sachs Systematic Skew US Series 1D Total Return Strategy Top 50 Holdings              

 

Number of        Notional Value at      Exercise     
Contracts  Open Call Options  Counterparty  August 31, 2021   Expiration  Price   Market Value 
5  S&P 500 Index  Goldman Sachs   $24,235   9/17/2021  $4,330   $1,080 
                       1,080 

 

Number of        Notional Value at      Exercise     
Contracts  Open Put Options  Counterparty  August 31, 2021   Expiration  Price   Market Value 
20  S&P 500 Index  Goldman Sachs  $90,774   10/15/2021  $2,500   $12 
16  S&P 500 Index  Goldman Sachs   74,497   10/15/2021   2,450    8 
16  S&P 500 Index  Goldman Sachs   74,298   9/17/2021   2,650    1 
16  S&P 500 Index  Goldman Sachs   73,776   10/15/2021   2,550    10 
15  S&P 500 Index  Goldman Sachs   68,260   11/19/2021   2,600    42 
15  S&P 500 Index  Goldman Sachs   67,343   10/15/2021   2,600    11 
14  S&P 500 Index  Goldman Sachs   62,910   10/15/2021   2,700    12 
13  S&P 500 Index  Goldman Sachs   61,055   10/15/2021   2,800    15 
13  S&P 500 Index  Goldman Sachs   61,024   9/17/2021   2,740    1 
13  S&P 500 Index  Goldman Sachs   56,974   10/15/2021   2,900    17 
12  S&P 500 Index  Goldman Sachs   56,065   11/19/2021   2,300    19 
12  S&P 500 Index  Goldman Sachs   53,887   9/17/2021   2,500    — 
10  S&P 500 Index  Goldman Sachs   46,010   11/19/2021   2,350    18 
10  S&P 500 Index  Goldman Sachs   44,959   11/19/2021   2,250    14 
10  S&P 500 Index  Goldman Sachs   43,660   9/17/2021   2,900    1 
10  S&P 500 Index  Goldman Sachs   43,096   9/17/2021   2,475    — 
9  S&P 500 Index  Goldman Sachs   41,436   11/19/2021   2,650    28 
9  S&P 500 Index  Goldman Sachs   39,687   9/17/2021   2,960    1 
9  S&P 500 Index  Goldman Sachs   39,333   9/17/2021   2,625    1 
9  S&P 500 Index  Goldman Sachs   39,069   9/17/2021   2,975    2 
8  S&P 500 Index  Goldman Sachs   37,802   9/17/2021   2,825    1 
8  S&P 500 Index  Goldman Sachs   37,562   11/19/2021   2,550    21 
8  S&P 500 Index  Goldman Sachs   36,584   11/19/2021   2,400    15 
8  S&P 500 Index  Goldman Sachs   35,704   10/15/2021   2,940    12 
8  S&P 500 Index  Goldman Sachs   35,439   11/19/2021   2,450    16 
8  S&P 500 Index  Goldman Sachs   34,326   9/17/2021   2,700    — 
7  S&P 500 Index  Goldman Sachs   33,840   9/17/2021   2,325    — 
7  S&P 500 Index  Goldman Sachs   30,907   10/15/2021   2,300    2 
7  S&P 500 Index  Goldman Sachs   30,848   9/17/2021   3,200    2 
7  S&P 500 Index  Goldman Sachs   30,760   9/17/2021   2,425    — 
7  S&P 500 Index  Goldman Sachs   30,622   10/15/2021   2,250    2 
7  S&P 500 Index  Goldman Sachs   30,470   10/15/2021   2,400    3 
7  S&P 500 Index  Goldman Sachs   30,136   10/15/2021   3,020    12 
6  S&P 500 Index  Goldman Sachs   28,986   9/17/2021   3,080    2 
6  S&P 500 Index  Goldman Sachs   28,714   9/17/2021   3,220    2 
6  S&P 500 Index  Goldman Sachs   28,650   12/17/2021   2,400    23 
6  S&P 500 Index  Goldman Sachs   28,429   10/15/2021   3,080    13 
6  S&P 500 Index  Goldman Sachs   28,126   10/15/2021   3,100    13 
6  S&P 500 Index  Goldman Sachs   28,038   9/17/2021   3,150    2 
6  S&P 500 Index  Goldman Sachs   27,826   10/15/2021   3,025    11 
6  S&P 500 Index  Goldman Sachs   27,802   9/17/2021   2,450    — 
6  S&P 500 Index  Goldman Sachs   27,766   10/15/2021   3,180    15 
6  S&P 500 Index  Goldman Sachs   27,722   9/17/2021   3,320    3 
6  S&P 500 Index  Goldman Sachs   26,931   9/17/2021   3,100    2 
6  S&P 500 Index  Goldman Sachs   26,842   9/17/2021   2,100    — 
6  S&P 500 Index  Goldman Sachs   26,754   11/19/2021   2,500    14 
6  S&P 500 Index  Goldman Sachs   25,041   12/17/2021   2,225    15 
5  S&P 500 Index  Goldman Sachs   24,628   9/17/2021   3,030    1 
5  S&P 500 Index  Goldman Sachs   24,423   9/17/2021   2,850    1 
                       416 

 

See accompanying notes to financial statements.

17

 

EASTERLY GLOBAL REAL ESTATE FUND
SCHEDULE OF INVESTMENTS
August 31, 2021

 

Shares      Fair Value 
     COMMON STOCKS — 98.5%     
     Australia - 1.4%     
 1,322,939   NEXTDC Ltd.(a)  $12,753,300 
           
     Bermuda - 4.3%     
 9,230,837   Hongkong Land Holdings Ltd.   38,769,515 
           
     Canada - 0.9%     
 808,074   NorthWest Healthcare Properties Real Estate Investment Trust   8,473,059 
           
     Cayman Islands - 10.3%     
 4,797,909   CK Asset Holdings Ltd.   31,244,833 
 4,840,342   ESR Cayman Ltd.(a)   14,745,758 
 753,839   GDS Holdings Ltd. - ADR(a)   44,084,504 
 568,505   Wharf Real Estate Investment Company Ltd.   2,815,390 
         92,890,485 
     France - 3.9%     
 644,621   Accor S.A.(a)   22,223,770 
 546,727   Klepierre S.A.   13,400,186 
         35,623,956 
     Hong Kong - 6.0%     
 5,890,693   Link REIT   54,162,107 
           
     Ireland - 1.5%     
 10,960,197   Glenveagh Properties PLC(a)   14,016,069 
           
     Italy - 1.6%     
 981,321   COIMA RES SpA   7,983,979 
 563,103   Infrastrutture Wireless Italiane SpA   6,697,771 
         14,681,750 
     Japan - 11.2%     
 3,887   Daiwa House REIT Investment Corporation   11,496,174 
 43,357   Japan Hotel REIT Investment Corporation   25,634,232 
 4,115,901   Mitsubishi Estate Company Ltd.   64,531,004 
         101,661,410 

 

See accompanying notes to financial statements.

18

 

EASTERLY GLOBAL REAL ESTATE FUND
SCHEDULE OF INVESTMENTS (Continued)
August 31, 2021

 

Shares      Fair Value 
     COMMON STOCKS — 98.5% (Continued)     
     Singapore - 1.6%     
 5,698,133   Keppel DC REIT  $10,574,774 
 2,658,897   Mapletree Commercial Trust   4,003,632 
         14,578,406 
     United Kingdom - 6.2%     
 5,064,313   Assura PLC   5,502,822 
 2,165,857   Cushman & Wakefield PLC(a)   39,288,647 
 4,867,684   Empiric Student Property PLC(a)   6,485,281 
 411,379   Great Portland Estates PLC   4,425,064 
         55,701,814 
     United States - 49.6%     
 979,675   Acadia Realty Trust   20,788,704 
 5,675   American Tower Corporation   1,658,065 
 49,001   Americold Realty Trust   1,800,297 
 1,192,505   CatchMark Timber Trust, Inc.   13,761,508 
 534,310   CoreCivic, Inc.   5,193,493 
 225,376   Corporate Office Properties Trust   6,351,096 
 5,496,432   DigitalBridge Group, Inc.(a)   37,925,380 
 680,978   Easterly Government Properties, Inc.   14,552,500 
 987,419   Ellington Financial, Inc.   18,287,000 
 943,652   GEO Group, Inc.   7,313,303 
 1,000,500   Independence Realty Trust, Inc.   20,490,240 
 999,914   Kennedy-Wilson Holdings, Inc.   21,988,109 
 426,803   Kilroy Realty Corporation   28,019,617 
 297,277   Marriott International, Inc. (a)   40,174,014 
 297,151   National Retail Properties, Inc.   14,147,359 
 29,379   National Storage Affiliates Trust   1,681,948 
 348,824   New Senior Investment Group, Inc.   3,045,234 
 1,161,533   Retail Opportunity Investments Corporation   21,000,517 
 504,346   Ventas, Inc.   28,213,115 
 980,339   VICI Properties, Inc.   30,302,278 
 95,396   Welltower, Inc.   8,350,012 
 1,661,635   Weyerhaeuser Company   59,818,859 
 547,576   WP Carey, Inc.   42,776,636 
         447,639,284 

 

See accompanying notes to financial statements.

19

 

EASTERLY GLOBAL REAL ESTATE FUND
SCHEDULE OF INVESTMENTS (Continued)
August 31, 2021

 

     Fair Value 
       
  TOTAL COMMON STOCKS (Cost $1,015,324,959)  $890,951,155 
        
  TOTAL INVESTMENTS - 98.5% (Cost $1,015,324,959)  $890,951,155 
  OTHER ASSETS IN EXCESS OF LIABILITIES- 1.5%   13,815,732 
  NET ASSETS - 100.0%  $904,766,887 
        
ADR- American Depositary Receipt

 

LTD- Limited Company

 

PLC- Public Limited Company

 

REIT- Real Estate Investment Trust

 

S.A.- Société Anonyme

 

(a)Non-income producing security.

 

See accompanying notes to financial statements.

20

 

EASTERLY GLOBAL REAL ESTATE FUND
SCHEDULE OF INVESTMENTS (Continued)
August 31, 2021

 

Forward Currency Contracts

 

            

Settlement  Units to                US Dollar      Unrealized 
Date  Receive/Deliver     Counterparty  In Exchange For     Value     Appreciation/(Depreciation) 
To Buy:                                
9/1/2021  $344,640   HKD  Brown Brothers Harriman  $44,258   USD  $44,313      $55 
9/1/2021   182,482   SGD  Brown Brothers Harriman   135,698   USD   135,665       (33)
9/2/2021   12,792,472   HKD  Brown Brothers Harriman   1,644,672   USD   1,644,837       165 
9/2/2021   914,426,730   JPY  Brown Brothers Harriman   8,314,104   USD   8,323,564       9,460 
9/2/2021   1,505,313   SGD  Brown Brothers Harriman   1,119,325   USD   1,119,109       (216)
                           Total Unrealized:  $9,431 
                                 
To Sell:                                
9/2/2021  $(198,247)  CAD  Brown Brothers Harriman  $(157,117)  USD  $(156,885)     $232 
                           Total Unrealized:  $232 

 

Currency Abbreviations:

 

CAD- Canadian Dollar

 

HKD- Hong Kong Dollar

 

JPY- Japanes Yen

 

SGD- Singapore Dollar

 

USD- U.S. Dollar

21

 

EASTERLY MULTI STRATEGY ALTERNATIVE INCOME FUND
SCHEDULE OF INVESTMENTS
August 31, 2021

 

Shares      Fair Value 
     CLOSED END FUNDS — 21.5%     
     FIXED INCOME - 21.5%     
 6,500   Apollo Tactical Income Fund, Inc.  $103,220 
 8,000   BlackRock Core Bond Trust   130,560 
 10,000   BlackRock Corporate High Yield Fund, Inc.   126,000 
 10,482   BlackRock Credit Allocation Income Trust   160,689 
 10,000   BlackRock Limited Duration Income Trust   173,600 
 8,000   Blackstone / GSO Strategic Credit Fund   110,880 
 2,000   DoubleLine Income Solutions Fund   35,800 
 10,000   Eaton Vance Ltd. Duration Income Fund   133,300 
 10,000   First Trust High Income Long/Short Fund   159,900 
 12,000   Franklin Ltd. Duration Income Trust   111,960 
 10,800   Invesco Dynamic Credit Opportunities Fund   126,360 
 40,000   Invesco Senior Income Trust   175,200 
 7,000   John Hancock Preferred Income Fund III   136,430 
 25,000   Nuveen Credit Strategies Income Fund   162,500 
 7,000   Nuveen Global High Income Fund   113,540 
 7,000   Nuveen Preferred & Income Term Fund   178,220 
 10,000   PGIM Global High Yield Fund, Inc.   157,100 
 10,000   PGIM High Yield Bond Fund, Inc.   163,000 
 17,000   PIMCO Income Strategy Fund II   193,460 
 20,000   Wells Fargo Income Opportunities Fund   181,800 
 15,000   Western Asset High Income Opportunity Fund, Inc.   78,750 
         2,912,269 
           
     TOTAL CLOSED END FUNDS (Cost $2,552,761)   2,912,269 
           
     COMMON STOCKS — 80.9%     
     APPAREL & TEXTILE PRODUCTS - 0.5%     
 1,263   Canada Goose Holdings, Inc.(a),(b)   48,462 
 219   Carter's, Inc.(a)   22,421 
         70,883 
     ASSET MANAGEMENT - 1.8%     
 979   Hamilton Lane, Inc. (a)   84,263 
 2,819   Kennedy-Wilson Holdings, Inc.   61,990 

22

 

EASTERLY MULTI STRATEGY ALTERNATIVE INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
August 31, 2021

  

Shares      Fair Value 
     COMMON STOCKS — 80.9% (Continued)     
     ASSET MANAGEMENT - 1.8% (Continued)     
 574   LPL Financial Holdings, Inc.(a)  $84,865 
         231,118 
     BANKING - 3.2%     
 400   Atlantic Capital Bancshares, Inc.(b)   9,692 
 4,100   Cadence BanCorporation(a)   88,191 
 4,400   CIT Group, Inc.(a)   243,849 
 1,112   Eagle Bancorp Montana, Inc.(a)   24,620 
 2,700   Sterling Bancorp(a)   61,803 
         428,155 
     BEVERAGES - 0.2%     
 1,808   Primo Water Corporation(a)   32,110 
           
     BIOTECH & PHARMA - 0.7%     
 714   AbCellera Biologics, Inc.(a),(b)   11,981 
 900   Translate Bio, Inc.(a),(b)   33,660 
 1,302   TransMedics Group, Inc.(a),(b)   42,550 
         88,191 
     CHEMICALS - 1.0%     
 300   Lydall, Inc.(b)   18,594 
 1,600   W R Grace & Company(a)   111,424 
         130,018 
     COMMERCIAL SUPPORT SERVICES - 1.1%     
 127   Avalara, Inc.(a),(b)   22,822 
 983   Clean Harbors, Inc.(a),(b)   100,875 
 1,100   Covanta Holding Corporation   22,055 
         145,752 
     CONSTRUCTION MATERIALS - 0.0%(c)     
 100   Forterra, Inc.(b)   2,304 
           
     E-COMMERCE DISCRETIONARY - 0.9%     
 1,892   Leslie's, Inc.(a),(b)   45,635 
 605   MYT Netherlands Parent BV - ADR(b)   17,327 
 1,087   Revolve Group, Inc.(a),(b)   62,459 
         125,421 

23

 

EASTERLY MULTI STRATEGY ALTERNATIVE INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
August 31, 2021

 

Shares      Fair Value 
     COMMON STOCKS — 80.9% (Continued)     
     ELECTRIC UTILITIES - 0.5%     
 1,251   Portland General Electric Company(a)  $64,239 
           
     ELECTRICAL EQUIPMENT - 0.3%     
 673   BWX Technologies, Inc.(a)   38,650 
           
     ENGINEERING & CONSTRUCTION - 0.2%     
 2,609   Infrastrutture Wireless Italiane SpA   31,014 
           
     ENTERTAINMENT CONTENT - 0.2%     
 1,800   Sciplay Corporation(b)   33,678 
           
     FORESTRY, PAPER & WOOD PRODUCTS - 1.1%     
 2,800   Domtar Corporation(a)   153,524 
           
     HEALTH CARE FACILITIES & SERVICES - 3.4%     
 532   Accolade, Inc.(a),(b)   25,206 
 1,018   Invitae Corporation(a),(b)   30,163 
 2,200   Magellan Health, Inc.(a),(b)   208,165 
 2,057   NeoGenomics, Inc.(a),(b)   100,011 
 1,000   PPD, Inc.(a),(b)   46,310 
 861   Progyny, Inc.(a),(b)   48,104 
         457,959 
     HOME CONSTRUCTION - 0.4%     
 38,237   Glenveagh Properties PLC(b)   48,928 
           
     INDUSTRIAL SUPPORT SERVICES - 0.3%     
 696   Ritchie Bros Auctioneers, Inc.(a)   43,563 
           
     INSURANCE - 2.5%     
 300   Athene Holding Ltd.(b)   20,091 
 1,500   Willis Towers Watson PLC(a)   331,080 
         351,171 
     INTERNET MEDIA & SERVICES - 0.6%     
 182   Fiverr International Ltd.(a),(b)   32,671 

24

 

EASTERLY MULTI STRATEGY ALTERNATIVE INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
August 31, 2021

 

Shares      Fair Value 
     COMMON STOCKS — 80.9% (Continued)     
     INTERNET MEDIA & SERVICES - 0.6% (Continued)     
 352   Marqeta, Inc.(b)  $10,222 
 391   MediaAlpha, Inc.(a),(b)   8,672 
 2,900   Sogou, Inc. - ADR(a),(b)   25,607 
         77,172 
     LEISURE FACILITIES & SERVICES - 4.6%     
 2,490   Accor S.A.(b)   85,711 
 900   Cineplex, Inc.   9,359 
 1,620   GAN Ltd.(a),(b)   27,702 
 2,000   Great Canadian Gaming Corporation(b)   69,880 
 300   Great Canadian Gaming Corporation(b)   10,458 
 1,248   Marriott International, Inc.   168,654 
 2,471   Norwegian Cruise Line Holdings Ltd.(a),(b)   63,851 
 989   Red Rock Resorts, Inc.(a)   46,295 
 648   Shake Shack, Inc.(a),(b)   56,214 
 460   Wingstop, Inc.(a)   79,088 
         617,212 
     MACHINERY - 0.3%     
 113   Hydrofarm Holdings Group, Inc.(a),(b)   5,713 
 586   Tennant Company(a)   43,353 
         49,066 
     MEDICAL EQUIPMENT & DEVICES - 1.1%     
 873   Acutus Medical, Inc.(a),(b)   11,166 
 409   Axonics, Inc.(a),(b)   30,667 
 210   CareDx, Inc.(a),(b)   15,389 
 137   Inspire Medical Systems, Inc.(a),(b)   30,628 
 1,079   Silk Road Medical, Inc.(a),(b)   63,962 
         151,812 
     REAL ESTATE OWNERS & DEVELOPERS - 4.4%     
 18,354   CK Asset Holdings Ltd.   119,648 
 2,502   COIMA RES SpA   20,350 
 600   Deutsche Wohnen S.E.   37,227 
 14,872   Empiric Student Property PLC   19,792 
 35,285   Hongkong Land Holdings Ltd.   148,197 

25

 

EASTERLY MULTI STRATEGY ALTERNATIVE INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
August 31, 2021

 

Shares      Fair Value 
     COMMON STOCKS — 80.9% (Continued)     
     REAL ESTATE OWNERS & DEVELOPERS - 4.4% (Continued)     
 15,849   Mitsubishi Estate Company Ltd.  $248,281 
         593,495 
     REAL ESTATE SERVICES - 1.5%     
 8,342   Cushman & Wakefield PLC(b)   151,324 
 18,544   ESR Cayman Ltd.(b)   56,509 
         207,833 
     REITS - 18.7%     
 2,650   Acadia Realty Trust   56,233 
 62   American Tower Corporation   18,115 
 900   Americold Realty Trust(a)   33,066 
 28,684   Assura PLC   31,147 
 4,633   CatchMark Timber Trust, Inc.   53,465 
 2,340   CoreCivic, Inc.   22,745 
 687   Corporate Office Properties Trust   19,360 
 497   CyrusOne, Inc.(a)   38,259 
 15   Daiwa House REIT Investment Corporation   44,443 
 19,443   DigitalBridge Group, Inc.(b)   134,157 
 3,083   Easterly Government Properties, Inc.   65,884 
 2,365   GEO Group, Inc.   18,329 
 3,780   Global Medical REIT, Inc.(a)   58,288 
 804   Great Portland Estates PLC   8,636 
 3,840   Independence Realty Trust, Inc.   78,643 
 166   Japan Hotel REIT Investment Corporation   98,216 
 21,843   Keppel DC REIT   40,597 
 1,634   Kilroy Realty Corporation   107,272 
 1,332   Klepierre S.A.   32,548 
 14,813   Link REIT   136,277 
 9,673   Mapletree Commercial Trust   14,598 
 1,076   National Retail Properties, Inc.   51,228 
 133   National Storage Affiliates Trust   7,614 
 1,018   New Senior Investment Group, Inc.   8,887 
 3,093   NorthWest Healthcare Properties Real Estate Investment Trust   32,432 
 3,999   QTS Realty Trust, Inc.(a)   311,841 
 4,451   Retail Opportunity Investments Corporation   80,474 

26

 

EASTERLY MULTI STRATEGY ALTERNATIVE INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
August 31, 2021

 

Shares      Fair Value 
     COMMON STOCKS — 80.9% (Continued)     
     REITS - 18.7% (Continued)     
 1,942   Ventas, Inc.  $108,635 
 5,700   VEREIT, Inc.(a)   288,021 
 3,738   VICI Properties, Inc.   115,542 
 369   Welltower, Inc.   32,299 
 6,376   Weyerhaeuser Company   229,536 
 1,942   WP Carey, Inc.   151,709 
         2,528,496 
     RETAIL - CONSUMER STAPLES - 2.3%     
 264   Five Below, Inc.(a),(b)   56,182 
 1,261   Ollie's Bargain Outlet Holdings, Inc.(a),(b)   91,271 
 2,480   OptimizeRx Corporation(a),(b)   164,127 
         311,580 
     RETAIL - DISCRETIONARY - 0.2%     
 499   Designer Brands, Inc.(a)   7,236 
 458   Driven Brands Holdings, Inc.(b)   13,685 
         20,921 
     SEMICONDUCTORS – 4.2%     
 1,449   Analog Devices, Inc.   236,115 
 200   Coherent, Inc.(a),(b)   50,534 
 1,800   Xilinx, Inc.(a)   280,062 
         566,711 
     SOFTWARE - 13.1%     
 1,010   1Life Healthcare, Inc.(a),(b)   24,755 
 140   Alkami Technology, Inc.(b)   3,998 
 380   Alteryx, Inc.(a),(b)   28,109 
 216   Bandwidth, Inc.(a),(b)   22,226 
 463   BigCommerce Holdings, Inc.(a),(b)   27,567 
 439   Bill.com Holdings, Inc.(a),(b)   120,456 
 481   Black Knight, Inc.(a),(b)   36,397 
 913   Blackline, Inc.(a),(b)   99,608 
 155   C3.ai, Inc.(a),(b)   7,989 
 4,467   Cantaloupe, Inc.(a),(b)   45,742 
 700   Change Healthcare, Inc.(b)   15,281 
 2,500   Cloudera, Inc.(a),(b)   39,825 

27

 

EASTERLY MULTI STRATEGY ALTERNATIVE INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
August 31, 2021

 

Shares      Fair Value 
     COMMON STOCKS — 80.9% (Continued)     
     SOFTWARE - 13.1% (Continued)     
 800   Cornerstone OnDemand, Inc.(a),(b)  $45,840 
 1,129   Domo, Inc.(a),(b)   101,046 
 1,105   Duck Creek Technologies, Inc.(a),(b)   51,526 
 1,471   Dynatrace, Inc.(a),(b)   101,102 
 1,511   eGain Corporation(a),(b)   17,800 
 475   Guidewire Software, Inc.(a),(b)   56,268 
 635   Health Catalyst, Inc.(a),(b)   34,677 
 1,972   Jamf Holding Corporation(a),(b)   69,316 
 589   JFrog Ltd.(a),(b)   22,641 
 200   Medallia, Inc.(b)   6,754 
 1,324   N-Able, Inc.(a),(b)   17,914 
 518   nCino, Inc.(a),(b)   32,121 
 4,500   Nuance Communications, Inc.(a),(b)   247,724 
 913   Nutanix, Inc.(a),(b)   33,699 
 642   Oak Street Health, Inc.(a),(b)   30,001 
 133   ON24, Inc.(b)   3,007 
 54   Paycor HCM, Inc.(b)   1,995 
 263   Paylocity Holding Corporation(a),(b)   70,800 
 49   Paymentus Holdings, Inc.(b)   1,257 
 801   Phreesia, Inc.(a),(b)   57,312 
 886   Ping Identity Holding Corporation(a),(b)   22,992 
 112   Privia Health Group, Inc.(b)   3,339 
 50   Procore Technologies, Inc.(b)   4,535 
 1,231   PROS Holdings, Inc.(a),(b)   53,228 
 842   Sailpoint Technologies Holdings, Inc.(a),(b)   39,456 
 198   Signify Health, Inc.(a),(b)   5,146 
 1,132   SolarWinds Corporation(a)   19,323 
 194   Sprinklr, Inc.(b)   3,042 
 445   Sprout Social, Inc.(a),(b)   54,112 
 1,446   Tenable Holdings, Inc.(a),(b)   64,159 
 425   Vertex, Inc.(a),(b)   8,797 
 1,990   Zeta Global Holdings Corporation(b)   13,472 
         1,766,354 

28

 

EASTERLY MULTI STRATEGY ALTERNATIVE INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
August 31, 2021

 

Shares      Fair Value 
     COMMON STOCKS — 80.9% (Continued)     
     SPECIALTY FINANCE - 0.6%     
 3,521   Ellington Financial, Inc.  $65,208 
 48   Flywire Corporation(b)   2,108 
 844   International Money Express, Inc.(b)   15,395 
         82,711 
     TECHNOLOGY HARDWARE - 0.2%     
 845   Pure Storage, Inc.(a),(b)   21,826 
           
     TECHNOLOGY SERVICES - 4.4%     
 52   Dlocal Ltd.(b)   3,328 
 4,200   IHS Markit Ltd.(a)   506,520 
 939   Paya Holdings, Inc.(a),(b)   9,061 
 641   Repay Holdings Corporation(a),(b)   14,749 
 525   Shift4 Payments, Inc.(a),(b)   44,998 
 601   Telos Corporation(a),(b)   19,833 
 91   WEX, Inc.(a),(b)   16,705 
         615,194 
     TELECOMMUNICATIONS - 3.6%     
 4,777   GDS Holdings Ltd. - ADR(b)   279,359 
 5,067   NEXTDC Ltd.(b)   49,031 
 8,700   ORBCOMM, Inc.(a),(b)   99,963 
 4,213   Vonage Holdings Corporation(a),(b)   59,403 
         487,756 
     TRANSPORTATION & LOGISTICS - 2.5%     
 3,360   AFC Gamma, Inc.   71,602 
 1,585   CryoPort, Inc.(a),(b)   100,758 
 400   Kansas City Southern(a)   112,268 
 987   Knight-Swift Transportation Holdings, Inc.(a)   51,255 
         335,883 
     WHOLESALE - DISCRETIONARY - 0.3%     
 854   IAA, Inc.(a),(b)   45,364 
           
     TOTAL COMMON STOCKS (Cost $9,831,929)   10,956,064 

29

 

EASTERLY MULTI STRATEGY ALTERNATIVE INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
August 31, 2021

 

Shares      Fair Value 
     EXCHANGE-TRADED FUNDS — 4.2%     
     EQUITY - 0.0%(c)     
 1   ProShares UltraPro Short S&P 500(b)  $15 
 1   ProShares UltraShort Russell2000(b)   14 
         29 
     FIXED INCOME - 4.2%     
 7,000   Invesco Senior Loan ETF   154,980 
 6,500   iShares 0-5 Year High Yield Corporate Bond ETF   298,285 
 3,000   iShares Preferred & Income Securities ETF   118,200 
 1   ProShares UltraShort 20+ Year Treasury   17 
         571,482 
           
     TOTAL EXCHANGE-TRADED FUNDS (Cost $571,975)   571,511 
           
     TOTAL INVESTMENTS – 106.6% (Cost $12,956,665)  $14,439,844 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (6.6)%   (888,388)
     NET ASSETS - 100.0%  $13,551,456 

30

 

EASTERLY MULTI STRATEGY ALTERNATIVE INCOME FUND
SCHEDULE OF SECURITIES SOLD SHORT
August 31, 2021

 

Shares      Fair Value 
     COMMON STOCKS — (17.2)%     
     ASSET MANAGEMENT - (0.2)%     
 (345)  Apollo Global Management, Inc.  $(20,624)
           
     BANKING - (3.0)%     
 (2,870)  BancorpSouth Bank   (84,177)
 (271)  First Citizens BancShares, Inc.   (243,277)
 (4)  Huntington Bancshares, Inc.   (62)
 (1)  Prosperity Bancshares, Inc.   (70)
 (144)  SouthState Corporation   (9,875)
 (1,251)  Webster Financial Corporation   (63,200)
         (400,661)
     BIOTECH & PHARMA - (0.3)%     
 (572)  Atara Biotherapeutics, Inc.   (8,569)
 (237)  Ionis Pharmaceuticals, Inc.   (9,423)
 (1,597)  Sinovac Biotech Ltd. (d)   (10,333)
         (28,325)
     INSURANCE - (3.1)%     
 (1,512)  Aon PLC   (433,732)
           
     LEISURE FACILITIES & SERVICES - (0.2)%     
 (450)  Scientific Games Corporation   (32,557)
           
     MACHINERY - 0.0% (a)     
 (77)  Astec Industries, Inc.   (4,708)
           
     REITS - (2.1)%     
 (4,021)  Realty Income Corporation   (290,397)
           
     SEMICONDUCTORS - (4.4)%     
 (3,096)  Advanced Micro Devices, Inc.   (342,789)
 (1,449)  Analog Devices, Inc.   (236,115)
 (182)  II-VI, Inc.   (11,462)
         (590,366)

31

 

EASTERLY MULTI STRATEGY ALTERNATIVE INCOME FUND
SCHEDULE OF SECURITIES SOLD SHORT (Continued)
August 31, 2021

 

Shares     Fair Value 
     COMMON STOCKS — (17.2)% (Continued)     
     TECHNOLOGY SERVICES — (3.8)%     
 (1,190)  S&P Global, Inc.  $(528,145)
           
     TRANSPORTATION & LOGISTICS - (0.1)%     
 (288)  Canadian Pacific Railway Ltd.   (19,812)
           
     EXCHANGE TRADED FUNDS - (13.0)%     
     EQUITY - (13.0)%     
 (1,602)  iShares Russell 2000 ETF  $(361,924)
 (4,570)  iShares Russell 2000 Growth ETF   (1,396,637)
         (1,758,561)
           
     TOTAL SECURITIES SOLD SHORT - (Proceeds - $3,005,801)  $(4,107,888)

 

ADR- American Depositary Receipt

 

ETF- Exchange-Traded Fund

 

LTD- Limited Company

 

PLC- Public Limited Company

 

REIT- Real Estate Investment Trust

 

S/A- Société Anonyme

 

(a)All or a portion of this security is held as collateral for securities sold short.

 

(b)Non-income producing security.

 

(c)Percentage rounds to less than 0.1%.

 

(d)The value of this security has been determined in good faith under policies of the Board of Trustees.

32

 

EASTERLY MULTI STRATEGY ALTERNATIVE INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
August 31, 2021

 

Forward Currency Contracts                        

 

Settlement  Units to                US Dollar      Unrealized 
Date  Receive/Deliver      Counterparty  In Exchange For      Value     Appreciation/(Depreciation) 
To Buy:                                
9/1/2021  $1,317   HKD  Brown Brothers Harriman  $169   USD  $169      $— 
9/1/2021   696   SGD  Brown Brothers Harriman   517   USD   517       — 
9/2/2021   48,933   HKD  Brown Brothers Harriman   6,291   USD   6,292       1 
9/2/2021   3,621,492   JPY  Brown Brothers Harriman   32,931   USD   32,965       34 
9/2/2021   5,757   SGD  Brown Brothers Harriman   4,281   USD   4,280       (1)
                           Total Unrealized:  $34 
To Sell:                                
9/2/2021  $(757)  CAD  Brown Brothers Harriman  $(600)  USD  $(599)     $1 
                           Total Unrealized:  $1 

 

Currency Abbreviations:

 

CAD- Canadian Dollar

 

HKD- Hong Kong Dollar

 

JPY- Japanes Yen

 

SGD- Singapore Dollar

 

USD- U.S. Dollar

 

See accompanying notes to financial statements.

33

 

EASTERLY HEDGED EQUITY FUND
SCHEDULE OF INVESTMENTS
August 31, 2021

 

Shares                    Fair Value 
     EXCHANGE-TRADED FUNDS — 91.0%         
     EQUITY - 91.0%                     
 109,000   SPDR S&P 500 ETF Trust(a)                  $49,220,040 
                           
     TOTAL EXCHANGE-TRADED FUNDS (Cost $37,723,431)       49,220,040 
                           
                          
  Contracts(b)     Counterparty  Expiration Date  Exercise Price   Notional Value      
     INDEX OPTIONS PURCHASED - 1.4%                     
     CALL OPTIONS PURCHASED - 0.1%                     
 100   Chicago Board Options Exchange Volatility Index  PER  09/15/2021  $20   $164,800   $11,000 
 200   Chicago Board Options Exchange Volatility Index  PER  10/20/2021   20    329,600    66,000 
     TOTAL CALL OPTIONS PURCHASED (Cost - $97,145)       77,000 
                           
     PUT OPTIONS PURCHASED - 1.3%                     
 135   S&P 500 Index  PER  10/01/2021  $4,350   $61,056,180   $368,550 
 105   S&P 500 Index  PER  10/01/2021   4,410    47,488,140    362,250 
     TOTAL PUT OPTIONS PURCHASED (Cost - $1,428,800)       730,800 
                           
     TOTAL INDEX OPTIONS PURCHASED (Cost - $1,525,945)       807,800 
                           
     TOTAL INVESTMENTS - 92.4% (Cost $39,249,376)      $50,027,840 
     PUT OPTIONS WRITTEN - (0.9)% (Proceeds - $656,485)       (268,125)
     CALL OPTIONS WRITTEN - (0.4)% (Proceeds - $393,688)       (491,838)
     OTHER ASSETS IN EXCESS OF LIABILITIES- 8.9%       4,824,628 
     NET ASSETS - 100.0%      $54,092,505 
                           
                           
       Counterparty  Expiration Date  Exercise Price   Notional Value      
     WRITTEN INDEX OPTIONS - (0.4)%         
     PUT OPTIONS WRITTEN - (0.4)%         
 50   S&P 500 Index  PER  09/17/2021  $4,100   $22,613,400   $23,500 
 55   S&P 500 Index  PER  10/01/2021   4,100    24,874,740    67,100 
 135   S&P 500 Index  PER  10/01/2021   4,125    61,056,180    177,525 
     TOTAL PUT OPTIONS WRITTEN (Proceeds - $656,485)       268,125 
                           
     TOTAL INDEX OPTIONS WRITTEN (Proceeds - $656,485)      $268,125 
                           
                           
       Counterparty  Expiration Date  Exercise Price   Notional Value      
     WRITTEN EQUITY OPTIONS - (0.9)%         
     CALL OPTIONS WRITTEN- (0.9)%         
 250   SPDR S&P 500 ETF Trust  PER  09/07/2021  $445   $11,289,000   $195,750 

 

See accompanying notes to financial statements.

34

 

EASTERLY HEDGED EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
August 31, 2021

 

Contracts(b)     Counterparty  Expiration Date  Exercise Price   Notional Value   Fair Value 
     WRITTEN EQUITY OPTIONS - (0.9)%                     
     CALL OPTIONS WRITTEN- (0.9)% (Continued)                     
 475   SPDR S&P 500 ETF Trust  PER  09/07/2021  $450   $21,449,100   $166,963 
 250   SPDR S&P 500 ETF Trust  PER  09/17/2021   450    11,289,000    129,125 
     TOTAL CALL OPTIONS WRITTEN (Proceeds - $393,688)       491,838 
                           
     TOTAL EQUITY OPTIONS WRITTEN (Proceeds - $393,688)      $491,838 
                           
ETF- Exchange-Traded Fund

 

SPDR- Standard & Poor's Depositary Receipt

 

PER- Pershing

 

(a)All or a portion of this security is held as collateral for written options.

 

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

 

See accompanying notes to financial statements.

35

 

EASTERLY HEDGED EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
August 31, 2021

 

    TOTAL RETURN SWAPS - 1.1 %                     
Notional             Expiration  Pay/Receive  Variable   Unrealized 
Amount   Reference Entity  Shares   Counterparty  Date  Fixed Rate  Rate (%)   Gain/(Loss) 
$2,192,550   SPY SPDR SP 500 ETF Trust   5,000   Goldman Sachs  6/29/2022  Pay   0.0905*  $— 
 6,577,650   SPY SPDR SP 500 ETF Trust   15,000   Goldman Sachs  9/21/2021  Pay   0.0905#    — 
 3,069,570   SPY SPDR SP 500 ETF Trust   7,000   Goldman Sachs  11/12/2021  Pay   0.0905*   — 
 8,770,200   SPY SPDR SP 500 ETF Trust   20,000   Goldman Sachs  12/1/2021  Pay   0.0905*   — 
                           $— 

 

#Variable rate is Libor plus 0.50%

 

*Variable rate is Libor plus 0.40%

 

See accompanying notes to financial statements.

36

 

EASTERLY HEDGED HIGH INCOME FUND
SCHEDULE OF INVESTMENTS
August 31, 2021

 

Shares      Fair Value 
     CLOSED END FUNDS — 18.3%     
     FIXED INCOME - 18.3%     
 10,499   BlackRock Corporate High Yield Fund, Inc.  $132,287 
 10,224   BlackRock Credit Allocation Income Trust   156,734 
 11,997   BlackRock Limited Duration Income Trust   208,268 
 5,000   Blackstone / GSO Strategic Credit Fund   69,300 
 10,000   DoubleLine Income Solutions Fund   179,000 
 9,666   PGIM Global High Yield Fund, Inc.   151,853 
 15,744   PGIM High Yield Bond Fund, Inc.   256,628 
 15,980   PIMCO Income Strategy Fund II   181,852 
 10,520   Wells Fargo Income Opportunities Fund   95,627 
         1,431,549 
           
     TOTAL CLOSED END FUNDS (Cost $1,330,524)   1,431,549 
           
     EXCHANGE-TRADED FUNDS — 0.9%     
     EQUITY - 0.9%     
 5,001   ProShares UltraShort Russell2000(a)   66,764 
           
     TOTAL EXCHANGE-TRADED FUNDS (Cost $77,590)   66,764 
           
     TOTAL INVESTMENTS - 19.2% (Cost $1,408,114)  $1,498,313 
     OTHER ASSETS IN EXCESS OF LIABILITIES- 80.8%   6,314,114 
     NET ASSETS - 100.0%  $7,812,427 
           
(a)Non-income producing security.

 

See accompanying notes to financial statements.

37

 

STATEMENTS OF ASSETS AND LIABILITIES
August 31, 2021

 

   Easterly       Easterly 
   Global Macro   Easterly   Multi Strategy 
   Fund   Global Real Estate   Alternative Income 
   (Consolidated)   Fund   Fund 
Assets:            
Investments in Affiliates, at cost  $3,009,704   $—   $— 
Investments in Unaffilated securities, at cost   3,302,596    1,015,324,959    12,956,665 
Total Investments, at cost  $6,312,300   $1,015,324,959   $12,956,665 
Investments Affiliates, at value  $3,087,194   $—   $— 
Investments in Unaffiated securities, at value   3,444,421    890,951,155    14,439,844 
Total Investments, at value  $6,531,615   $890,951,155   $14,439,844 
Cash   503,841    14,815,465    1,429,683 
Foreign Cash (Cost $18, $0, $0)   18    —    — 
Deposit at Broker   869,067    —    1,642,261 
Unrealized appreciation on swaps   868,442    —    — 
Unrealized appreciation on forward currency contracts   5,405    9,663    35 
Receivable for securities sold   —    8,079,218    67,313 
Receivable for fund shares sold   612    1,735,518    — 
Interest and dividends receivable   1,082    1,579,312    347,565 
Receivable from manager   3,564    —    — 
Prepaid expenses and other assets   20,393    144,549    9,017 
Total Assets   8,804,039    917,314,880    17,935,718 
                
Liabilities:               
Due to Broker   13,513    —    — 
Securities sold short (Proceeds $0, $0, $3,005,801)   —    —    4,107,888 
Foreign Cash Overdraft (cost $0, $1,596, $120,713)   —    1,596    118,954 
Payable for securities purchased   —    11,267,487    83,792 
Payable for fund shares redeemed   574    150,642    — 
Payable to manager   —    682,133    18,932 
Administration fees payable   3,027    110,518    3,626 
Custody fees payable   9,554    34,234    19,007 
Trustee fees payable   3,539    3,782    4,074 
Compliance officer fees payable   1,232    772    1,231 
Payable for distribution (12b-1) fees   256    148,929    212 
Dividend Payable   —    —    947 
Accrued expenses and other liabilities   25,481    147,900    25,599 
Total Liabilities   57,176    12,547,993    4,384,262 
                
Net Assets  $8,746,863   $904,766,887   $13,551,456 
                
Net Assets:               
Par value of shares of beneficial interest  $8,776   $460,267   $13,713 
Paid in capital   10,555,272    995,816,675    12,357,374 
Accumulated earnings (loss)   (1,817,185)   (91,510,055)   1,180,369 
Net Assets  $8,746,863   $904,766,887   $13,551,456 
                
Net Asset Value Per Share               
Class A               
Net Assets       $118,586,976   $487,566 
Shares of beneficial interest outstanding        6,261,344    49,417 
Net asset value, redemption price per share       $18.94   $9.87 
Offering price per share (maximum sales charge of 0.00%, 5.75% and 2.00%, respectively)       $20.10   $10.07 
                
Class C               
Net Assets       $75,700,804   $17,125 
Shares of beneficial interest outstanding        3,971,847    1,782 
Net asset value, offering price per share (a)       $19.06   $9.61 
                
Class I               
Net Assets  $3,713,941   $678,440,049   $13,018,185 
Shares of beneficial interest outstanding   375,436    34,198,457    1,317,292 
Net asset value, redemption price and offering price per share  $9.89   $19.84   $9.88 
                
Class R6               
Net Assets  $5,032,922   $32,039,058   $28,580 
Shares of beneficial interest outstanding   502,202    1,595,092    2,837 
Net asset value, redemption price and offering price per share  $10.02   $20.09   $10.07 

 

(a)Redemption price per C share varies based on length of time shares are held.

 

See accompanying notes to financial statements. 

38

 

STATEMENTS OF ASSETS AND LIABILITIES
August 31, 2021

 

       Easterly 
   Easterly   Hedged 
   Hedged Equity   High Income 
   Fund   Fund 
Assets:          
Investments, at cost  $39,249,376   $1,408,114 
Investments, at value   50,027,840    1,498,313 
Cash   5,745,429    5,785,662 
Receivable for securities sold   —    584,094 
Receivable on open swap contracts   604,677    — 
Receivable for fund shares sold   4,817    — 
Interest and dividends receivable   —    6,624 
Prepaid expenses and other assets   29,631    19,739 
Total Assets   56,412,394    7,894,432 
           
Liabilities:          
Options written (premiums received $1,050,173, $0)   759,963    — 
Due to Broker   1,452,260    — 
Payable for fund shares redeemed   21,133    — 
Payable to manager   40,626    15,056 
Administration fees payable   9,700    14,925 
Custody fees payable   3,335    7,398 
Trustee fees payable   2,844    4,952 
Compliance officer fees payable   1,192    1,110 
Payable for distribution (12b-1) fees   1,586    2,851 
Expense Recapture   1,909    — 
Accrued expenses and other liabilities   25,341    35,713 
Total Liabilities   2,319,889    82,005 
           
Net Assets  $54,092,505   $7,812,427 
           
Net Assets:          
Par value of shares of beneficial interest  $47,454   $8,557 
Paid in capital   50,103,091    11,893,691 
Accumulated earnings (loss)   3,941,960    (4,089,821)
Net Assets  $54,092,505   $7,812,427 
           
Net Asset Value Per Share          
Class A          
Net Assets  $1,899,475   $1,140,092 
Shares of beneficial interest outstanding   169,885    126,274 
Net asset value, redemption price per share  $11.18   $9.03 
Offering price per share (maximum sales charge of 5.75% and 2.00%, respectively)  $11.86   $9.21 
           
Class C          
Net Assets  $745,737   $218,458 
Shares of beneficial interest outstanding   68,399    24,033 
Net asset value, offering price per share (a)  $10.90   $9.09 
           
Class I          
Net Assets  $33,477,593   $5,889,658 
Shares of beneficial interest outstanding   2,954,771    644,899 
Net asset value, redemption price and offering price per share  $11.33   $9.13 
           
Class R6          
Net Assets  $17,969,700   $564,219 
Shares of beneficial interest outstanding   1,552,305    60,485 
Net asset value, redemption price and offering price per share  $11.58   $9.33 

 

 

(a)Redemption price per C share varies based on length of time shares are held.

 

See accompanying notes to financial statements. 

39

 

STATEMENTS OF OPERATIONS
For the Year Ended August 31, 2021

 

   Easterly       Easterly 
   Global Macro   Easterly   Multi Strategy 
   Fund   Global Real Estate   Alternative Income 
   (Consolidated)   Fund   Fund 
             
Investment Income:               
Dividend income  $86,835   $17,614,158   $497,375 
Interest income   113    923    33,788 
Dividend income from Affiliates   180,157    —    32,382 
Less: Foreign withholding taxes   —    (538,717)   (1,793)
Total Investment Income   267,105    17,076,364    561,752 
                
Operating Expenses:               
Management fees   91,896    7,166,312    277,847 
Supervisory fees   4,814    269,058    4,874 
Distribution (12b-1) fees               
Class A Shares   374    249,526    216 
Class C Shares   1,571    704,222    675 
Administration fees   32,267    1,109,828    42,249 
Printing and postage expense   5,317    219,987    5,904 
Custodian fees   14,751    197,788    36,500 
Registration fees   30,414    236,913    14,213 
Audit fees   16,613    39,297    19,145 
Legal fees   13,174    61,221    12,863 
Compliance officer fees   3,773    67,831    4,119 
Trustees’ fees   5,440    61,122    6,199 
Shareholder servicing fees   4,830    592,420    123 
Insurance expense   264    24,794    387 
Dividend Expense   —    —    31,086 
Interest Expense   6,251    5,271    138,829 
Miscellaneous expenses   5,492    4,247    3,542 
Total Operating Expenses   237,241    11,009,837    598,771 
Less: Expenses waived and/or reimbursed   (122,020)   (951,023)   (154,226)
Net Operating Expenses   115,221    10,058,814    444,545 
                
Net Investment Income   151,884    7,017,550    117,207 
                
Realized and Unrealized Gain (Loss) on Investments:               
Net realized gain (loss) from:               
Investments and Foreign currency transactions   201,369    66,259,354    1,475,995 
Affiliated Investments   151,625    —    66,010 
Securities sold short   —    —    (415,549)
Options purchased   —    —    (23,629)
Options written   —    —    354 
Swaps   (19,202)   —    — 
Distribution of realized gains by underlying affiliated and non affiliated investment companies   1,542    —    287 
Net realized gain   335,334    66,259,354    1,103,468 
                
Net change in unrealized appreciation (depreciation) on:               
Investments and Foreign currency transactions   49,844    153,550,412    1,484,193 
Affiliated Investments   (81,368)   (49,833)     
Securities sold short   —    —    (710,519)
Swaps   654,774    —    — 
Net change in unrealized appreciation   623,250    153,550,412    723,841 
                
Net Realized and Unrealized Gain on investments   958,584    219,809,766    1,827,309 
                
Net Increase in Net Assets Resulting From Operations  $1,110,468   $226,827,316   $1,944,516 

 

See accompanying notes to financial statements. 

40

 

STATEMENTS OF OPERATIONS
For the Year Ended August 31, 2021

 

       Easterly 
   Easterly   Hedged 
   Hedged Equity   High Income 
   Fund   Fund 
Investment Income:          
Dividend income  $613,226   $243,868 
Interest income   276    903,692 
Dividend income from Affiliates   —    121,779 
Total Investment Income   613,502    1,269,339 
           
Operating Expenses:          
Management fees   562,785    402,582 
Supervisory fees   18,247    9,685 
Distribution (12b-1) fees          
Class A Shares   4,126    3,406 
Class C Shares   11,445    3,909 
Administration fees   83,325    87,405 
Registration fees   40,625    36,646 
Audit fees   18,605    19,588 
Legal fees   12,047    10,781 
Custodian fees   10,999    33,001 
Trustees’ fees   9,016    6,935 
Compliance officer fees   7,454    5,817 
Printing and postage expense   22,457    11,034 
Insurance expense   1,271    857 
Shareholder servicing fees   52,667    27,736 
Interest Expense   22,009    94,862 
Miscellaneous expenses   3,450    3,000 
Total Operating Expenses   880,528    757,244 
Less: Expenses waived   (44,773)   (268,707)
Net Operating Expenses   835,755    488,537 
           
Net Investment Income (Loss)   (222,253)   780,802 
           
Realized and Unrealized Gain (Loss) on Investments:          
Net realized gain (loss) from:          
Investments and Foreign currency transactions   3,997,444    (1,910,907)
Affiliated Investments   —    333,580 
Options purchased   (17,248,547)   — 
Options written   6,756,643    — 
Swaps   5,311,082    (537,911)
Securities sold short   —    36,446 
Futures contracts   —    102,538 
Distribution of realized gains by underlying affiliated and non affiliated investment companies   —    879 
Net realized loss   (1,183,378)   (1,975,375)
           
Net change in unrealized appreciation (depreciation) on:          
Investments and Foreign currency transactions   6,074,541    3,391,585 
Affiliated Investments   —    (258,381)
Options purchased   (622,519)   — 
Options written   703,906    — 
Swaps   —    236,378 
Securities sold short   35,685    13,424 
Futures contracts   —    14,918 
Net change in unrealized appreciation   6,191,613    3,397,924 
           
Net Realized and Unrealized Gain on investments   5,008,235    1,422,549 
           
Net Increase in Net Assets Resulting From Operations  $4,785,982   $2,203,351 

 

See accompanying notes to financial statements. 

41

 

STATEMENTS OF CHANGES IN NET ASSETS

 

   Easterly   Easterly   Easterly Multi Strategy 
   Global Macro Fund   Global Real Estate Fund   Alternative Income Fund 
   (Consolidated)                 
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   August 31, 2021   August 31, 2020   August 31, 2021   August 31, 2020   August 31, 2021   August 31, 2020 
                         
Operations:                              
Net investment income  $151,884   $165,707   $7,017,550   $13,439,570   $117,207   $46,742 
Net realized gain (loss) on investments, swaps and foreign currency transactions   333,792    (551,644)   66,259,354    78,812,147    1,103,181    1,397,326 
Distribution of realized gains by underlying investment companies   1,542    1,961    —    —    287    748 
Net change in unrealized appreciation (depreciation) on investments, short sells, swaps and foreign currency transactions   623,250    (168,896)   153,550,412    (154,651,589)   723,841    (571,647)
Net increase (decrease) in net assets resulting from operations   1,110,468    (552,872)   226,827,316    (62,399,872)   1,944,516    873,169 
                               
Distributions to Shareholders:                              
Total Distributions Paid:                              
Class A   —    (16,834)   (8,868,934)   (11,550,263)   (348)   (1,077)
Class C   —    (24,761)   (5,974,859)   (8,308,065)   (5,930)   (2,658)
Class I   —    (541,958)   (52,450,299)   (75,761,135)   (1,199,291)   (381,517)
Class R6   —    (280,551)   (3,011,924)   (2,046,015)   (45,105)   (37,008)
Return of Capital                              
Class A   —    (101)   —    —    —    — 
Class C   —    (178)   —    —    —    — 
Class I   —    (3,134)   —    —    —    — 
Class R6   —    (1,623)   —    —    —    — 
Total Dividends and Distributions to Shareholders   —    (869,140)   (70,306,016)   (97,665,478)   (1,250,674)   (422,260)
                               
Share Transactions of Beneficial Interest:                              
                               
Beneficial Interest:                              
Net proceeds from shares sold                              
Class A   548,771    1,130    26,087,332    18,808,078    486,620    564 
Class C   —    653    6,482,935    11,744,939    9    35 
Class I   1,554,963*   447,234    176,356,375    504,892,742    158,369    114,291 
Class R6   3,099,330    1,934,180    8,289,805    31,231,154    8,694    100,438 
Reinvestment of dividends and distributions                              
Class A   —    14,047    6,959,103    9,065,900    348    1,077 
Class C   —    22,918    4,645,136    6,529,449    5,930    2,544 
Class I   —    541,433    32,278,948    42,134,779    1,199,158    381,306 
Class R6   —    188,893    2,767,217    1,709,364    22,495    23,796 
Redemption fee proceeds                              
Class A   —    —    —    5    —    — 
Cost of shares redeemed                              
Class A   (712,389)*   (74,619)   (21,783,889)   (30,137,619)   (532)   (64,426)
Class C   (319,081)*   (100,981)   (14,944,020)   (20,767,479)   (60,227)   (117,747)
Class I   (4,559,893)   (1,254,422)   (191,507,550)   (515,782,732)   (1,634,926)   (121,820)
Class R6   (1,311,366)   (2,348,459)   (17,301,151)   (10,414,985)   (760,026)   (922,187)
Net increase (decrease) in net assets from share transactions of beneficial interest   (1,699,665)   (627,993)   18,330,241    49,013,595    (574,088)   (602,129)
                               
Total Increase (Decrease) in Net Assets   (589,197)   (2,050,005)   174,851,541    (111,051,755)   119,754    (151,220)
                               
Net Assets:                              
Beginning of year   9,336,060    11,386,065    729,915,346    840,967,101    13,431,702    13,582,922 
End of year  $8,746,863   $9,336,060   $904,766,887   $729,915,346   $13,551,456   $13,431,702 
                               
Share Activity                              
Shares sold                              
Class A   58,507    135    1,447,209    1,115,239    49,006    62 
Class C   —    75    358,950    663,725    1    3 
Class I   163,382*   48,080    9,640,463    28,509,376    16,478    12,714 
Class R6   312,630    218,041    452,945    1,781,574    899    11,693 
Shares Reinvested                              
Class A   —    1,564    410,411    550,089    37    124 
Class C   —    2,674    272,684    391,753    652    293 
Class I   —    60,092    1,821,853    2,466,466    128,283    43,844 
Class R6   —    20,895    154,821    108,398    2,376    2,695 
Shares Redeemed                              
Class A   (74,331)*   (9,028)   (1,266,516)   (1,880,732)   (57)   (7,324)
Class C   (35,480)*   (11,979)   (862,722)   (1,312,245)   (6,318)   (14,017)
Class I   (476,994)   (141,252)   (10,884,194)   (32,304,180)   (168,647)   (14,069)
Class R6   (138,280)   (267,045)   (929,981)   (632,371)   (77,343)   (102,188)
Net increase (decrease) in shares of beneficial interest   (190,566)   (77,748)   615,923    (542,908)   (54,633)   (66,170)

 

*Share Transactions of Beneficial Interest and Share Activity include the Conversion of Class A and C shares into I shares (see note 1).

 

See accompanying notes to (consolidated) financial statements. 

42

 

STATEMENTS OF CHANGES IN NET ASSETS

 

   Easterly   Easterly 
   Hedged Equity Fund   Hedged High Income Fund 
                 
   Year Ended   Year Ended   Year Ended   Year Ended 
   August 31, 2021   August 31, 2020   August 31, 2021   August 31, 2020 
                     
Operations:                    
Net investment income (loss)   (222,253)  $(141,749)  $780,802   $1,740,982 
Net realized loss on investments   (1,183,378)   (1,868,377)   (1,976,254)   (671,773)
Distribution of realized gains by underlying investment companies   —    —    879    4,387 
Net change in unrealized appreciation (depreciation) on investments   6,191,613    4,838,914    3,397,924    (1,003,481)
Net increase in net assets resulting from operations   4,785,982    2,828,788    2,203,351    70,115 
                     
Distributions to Shareholders:                    
Total Distributions Paid:                    
Class A   (117,453)   (25,194)   (41,781)   (139,790)
Class C   (89,191)   (40,715)   (10,221)   (25,123)
Class I   (2,714,717)   (785,323)   (332,202)   (788,835)
Class R6   (509,805)   (289,991)   (403,660)   (775,851)
Return of Capital                    
Class A   —    —    (11,546)   (9,654)
Class C   —    —    (2,003)   (2,615)
Class I   —    —    (63,550)   (87,524)
Class R6   —    —    (44,075)   (99,529)
Total Dividends and Distributions to Shareholders   (3,431,166)   (1,141,223)   (909,038)   (1,928,921)
                     
Share Transactions of Beneficial Interest:                    
Beneficial Interest:                    
Net proceeds from shares sold                    
Class A   816,869    1,215,699    190,105    1,409,882 
Class C   114,916    1,372,262    26,509    67,000 
Class I   11,255,894    33,839,328    1,573,388    3,527,409 
Class R6   11,960,114    2,374,471    1,498,696    4,610,520 
Reinvestment of dividends and distributions                    
Class A   108,960    21,319    47,755    139,789 
Class C   89,191    40,272    3,727    5,727 
Class I   1,582,085    622,819    337,321    737,112 
Class R6   335,590    225,164    267,692    605,210 
Redemption fee proceeds                    
Class C   —    —    —    60 
Cost of shares redeemed                    
Class A   (609,057)   (296,846)   (750,410)   (4,559,390)
Class C   (1,249,874)   (197,692)   (388,984)   (425,362)
Class I   (21,367,349)   (14,156,733)   (10,144,806)   (12,911,259)
Class R6   (4,461,045)   (6,666,196)   (17,479,369)   (12,345,170)
Net increase (decrease) in net assets from share transactions of beneficial interest   (1,423,706)   18,393,867    (24,818,376)   (19,138,472)
Total Increase (decrease) in Net Assets   (68,890)   20,081,432    (23,524,063)   (20,997,278)
                     
Net Assets:                    
Beginning of year   54,161,395    34,079,963    31,336,490    52,333,768 
End of year  $54,092,505   $54,161,395   $7,812,427   $31,336,490 
                     
Share Activity                    
Shares sold                    
Class A   74,276    118,773    20,757    161,079 
Class C   11,320    133,175    2,889    7,417 
Class I   1,039,218    3,233,242    171,930    396,497 
Class R6   1,048,515    226,381    161,097    518,448 
Shares Reinvested                    
Class A   10,558    2,036    5,328    15,778 
Class C   8,813    3,925    413    652 
Class I   151,541    58,920    37,374    83,728 
Class R6   31,570    21,065    29,034    67,700 
Shares Redeemed                    
Class A   (56,858)   (28,666)   (82,840)   (510,224)
Class C   (119,990)   (19,800)   (42,813)   (49,371)
Class I   (1,990,538)   (1,406,776)   (1,112,370)   (1,390,599)
Class R6   (399,153)   (631,852)   (1,873,525)   (1,508,195)
Net increase (decrease) in shares of beneficial interest   (190,728)   1,710,423    (2,682,726)   (2,207,090)

 

See accompanying notes to financial statements. 

43

 

FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period)
Easterly Global Macro Fund (Consolidated)

 

   CLASS I 
                     
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   August 31,   August 31,   August 31,   August 31,   August 31, 
   2021   2020   2019   2018   2017 
Net Asset Value, Beginning of Year/Period  $8.74   $9.95   $9.15   $9.16   $9.34 
Income (Loss) from Investment Operations:                         
Net investment income (1)   0.17    0.13    0.09    0.10    0.03 
Net realized and unrealized gain (loss)   0.98    (0.57)   0.71    (0.11)   (0.21)
Total from investment operations   1.15    (0.44)   0.80    (0.01)   (0.18)
Dividends and Distributions:                         
Dividends from net investment income   —    (0.77)   —    —    — 
Distributions from return of capital   —    (0.00) **   —    —    — 
Total dividends and distributions   —    (0.77)   —    —    — 
Redemption Fees   —    —    (0.00) **   —    (0.00) **
Net Asset Value, End of Year/Period  $9.89   $8.74   $9.95   $9.15   $9.16 
Total Return*   13.16%   (4.58)%   8.74%   (0.11)%   (1.93)%
Ratios and Supplemental Data:                         
Net assets, end of year/period (000s)  $3,714   $6,020   $7,187   $6,849   $8,448 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2)   2.80%   2.57%   2.46%   2.36%   2.36%
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3)   1.57%   1.45%   1.28%   1.30%   1.25%
Ratio of net investment income (including dividend and interest expense) after expense reimbursement/recoupment to average net assets   1.87%   1.50%   1.00%   1.03%   0.36%
Portfolio Turnover Rate   145%   125%   133%   103%   83%
                          
   CLASS R6 
                     
                  For the Period 
                  August 17, 
   Year Ended   Year Ended   Year Ended   Year Ended   2017 (4) to 
   August 31,   August 31,   August 31,   August 31,   August 31, 
   2021   2020   2019   2018   2017 
Net Asset Value, Beginning of Year/Period  $8.80   $9.97   $9.16   $9.17   $9.05 
Income (Loss) from Investment Operations:                         
Net investment income (1)   0.18    0.18    0.10    0.13    0.00 **
Net realized and unrealized gain (loss)   1.04    (0.58)   0.71    (0.14)   0.12 
Total from investment operations   1.22    (0.40)   0.81    (0.01)   0.12 
Dividends and Distributions:                         
Dividends from net investment income   —    (0.77)   —    —    — 
Distributions from realized gains   —    (0.00) **   —    —    — 
Total dividends and distributions   —    (0.77)   —    —    — 
Redemption Fees   —    —    0.00 **   0.00 **   0.00 **
Net Asset Value, End of Year/Period  $10.02   $8.80   $9.97   $9.16   $9.17 
Total Return*   13.86%   (4.15)%   8.84%   (0.11)%   1.33%
Ratios and Supplemental Data:                         
Net assets, end of year/period (000s)  $5,033   $2,885   $3,550   $4,636   $109 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (5)   2.89%   2.57%   2.41%   2.39%   2.36% (7)
Ratio of net operating expenses (including dividend and interest expense) to average net assets (6)   1.01%   0.98%   1.20%   1.30%   1.25% (7)
Ratio of net investment income (including dividend and interest expense) after expense reimbursement/recoupment to average net assets   1.91%   1.97%   1.08%   1.39%   0.36% (7)
Portfolio Turnover Rate   145%   125%   133%   103%   83% (8)
 
(1)     Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.
 
(2)     Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Global Macro Fund - Class I:
                          
    2.72%   2.53%   2.43%   2.31%   2.36% (7)
 
(3)     Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Global Macro Fund - Class I:
                          
    1.49%   1.41%   1.25%   1.25%   1.25% (7)
 
(4)     Commencement of offering.
 
(5)     Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Global Macro Fund - Class R6:
                          
    2.81%   2.53%   2.38%   2.30%   2.36% (7)
 
(6)     Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Global Macro Fund - Class R6:
                          
    0.93%   0.94%   1.17%   1.20%   1.25% (7)
 
(7)      Annualized for periods less than one year.
 
(8)      Not annualized

 

*Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

**Per share amount represents less than $0.01 per share.

 

44

 

FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period)
Easterly Global Real Estate Fund

 

   CLASS A
                     
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   August 31,   August 31,   August 31,   August 31,   August 31, 
   2021   2020   2019   2018   2017 
Net Asset Value, Beginning of Year/Period  $15.56   $17.81   $18.73   $18.98   $19.03 
Income (Loss) from Investment Operations:                         
Net investment income (1)   0.11    0.19    0.09    0.33    0.27 
Net realized and unrealized gain (loss)   4.85    (0.51)   0.65    1.22    1.51 
Total from investment operations   4.96    (0.32)   0.74    1.55    1.78 
Dividends and Distributions:                         
Dividends from net investment income   (0.28)   (0.28)   (0.64)   (0.69)   (0.28)
Distributions from realized gains   (1.30)   (1.65)   (1.02)   (1.11)   (1.55)
Total dividends and distributions   (1.58)   (1.93)   (1.66)   (1.80)   (1.83)
Redemption Fees   —    —    —    —    0.00 **
Net Asset Value, End of Year/Period  $18.94   $15.56   $17.81   $18.73   $18.98 
Total Return*   33.47%   (1.93)%   4.67%   8.75%   10.27%
Ratios and Supplemental Data:                         
Net assets, end of year/period (000s)  $118,587   $88,222   $104,815   $109,634   $94,239 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2)   1.51%   1.60%   1.60%   1.62%   1.93%
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3)   1.51%   1.60%   1.60%   1.62%   1.92%
Ratio of net investment income (including dividend and interest expense) after expense reimbursement/recoupment to average net assets   0.64%   1.16%   0.52%   1.80%   1.46%
Portfolio Turnover Rate   160%   187%   172%   204%   141%
                          
   CLASS C 
                     
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   August 31,   August 31,   August 31,   August 31,   August 31, 
   2021   2020   2019   2018   2017 
Net Asset Value, Beginning of Year/Period  $15.68   $17.95   $18.89   $19.13   $19.15 
Income (Loss) from Investment Operations:                         
Net investment income (loss) (1)   (0.02)   0.07    (0.04)   0.20    0.13 
Net realized and unrealized gain (loss)   4.89    (0.51)   0.65    1.22    1.54 
Total from investment operations   4.87    (0.44)   0.61    1.42    1.67 
Dividends and Distributions:                         
Dividends from net investment income   (0.19)   (0.18)   (0.53)   (0.55)   (0.14)
Distributions from realized gains   (1.30)   (1.65)   (1.02)   (1.11)   (1.55)
Total dividends and distributions   (1.49)   (1.83)   (1.55)   (1.66)   (1.69)
Redemption Fees   —    —    —    —    0.00 **
Net Asset Value, End of Year/Period  $19.06   $15.68   $17.95   $18.89   $19.13 
Total Return*   32.51%   (2.62)%   3.87%   7.90%   9.56%
Ratios and Supplemental Data:                         
Net assets, end of year/period (000s)  $75,701   $65,907   $80,048   $82,262   $73,602 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (4)   2.26%   2.35%   2.37%   2.37%   2.68%
Ratio of net operating expenses (including dividend and interest expense) to average net assets (5)   2.26%   2.35%   2.37%   2.37%   2.61%
Ratio of net investment income (loss) (including dividend and interest expense) after expense reimbursement/recoupment to average net assets   (0.11)%   0.42%   (0.25)%   1.06%   0.73%
Portfolio Turnover Rate   160%   187%   172%   204%   141%
 
(1)     Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.
 
(2)     Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Global Real Estate Fund - Class A:
                          
    1.51%   1.60%   1.60%   1.62%   1.93%
 
(3)     Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Global Real Estate Fund - Class A:
                          
    1.51%   1.60%   1.60%   1.62%   1.92%
 
(4)     Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Global Real Estate Fund - Class C:
                          
    2.26%   2.35%   2.37%   2.37%   2.68%
 
(5)     Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Global Real Estate Fund - Class C:
                          
    2.26%   2.35%   2.37%   2.37%   2.61%

 

*Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

**Per share amount represents less than $0.01 per share.

 

45

 

FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period)
Easterly Global Real Estate Fund

 

   CLASS I
                     
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   August 31,   August 31,   August 31,   August 31,   August 31, 
   2021   2020   2019   2018   2017 
Net Asset Value, Beginning of Year/Period  $16.19   $18.42   $19.29   $19.46   $19.42 
Income (Loss) from Investment Operations:                         
Net investment income (1)   0.18    0.28    0.17    0.41    0.34 
Net realized and unrealized gain (loss)   5.08    (0.54)   0.66    1.27    1.58 
Total from investment operations   5.26    (0.26)   0.83    1.68    1.92 
Dividends and Distributions:                         
Dividends from net investment income   (0.31)   (0.32)   (0.68)   (0.74)   (0.33)
Distributions from realized gains   (1.30)   (1.65)   (1.02)   (1.11)   (1.55)
Total dividends and distributions   (1.61)   (1.97)   (1.70)   (1.85)   (1.88)
Redemption Fees   —    —    —    —    0.00 **
Net Asset Value, End of Year/Period  $19.84   $16.19   $18.42   $19.29   $19.46 
Total Return*   34.06%   (1.51)%   5.06%   9.22%   10.82%
Ratios and Supplemental Data:                         
Net assets, end of year/period (000s)  $678,440   $544,432   $643,866   $591,437   $314,904 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2)   1.26%   1.35%   1.33%   1.37%   1.68%
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3)   1.12%   1.19%   1.19%   1.19%   1.43%
Ratio of net investment income (including dividend and interest expense) after expense reimbursement/recoupment to average net assets   1.02%   1.68%   0.93%   2.13%   1.79%
Portfolio Turnover Rate   160%   187%   172%   204%   141%
                          
   CLASS R6 
     
                  For the Period 
                   August 17, 
   Year Ended   Year Ended   Year Ended   Year Ended   2017 (4) to 
   August 31,   August 31,   August 31,   August 31,   August 31, 
   2021   2020   2019   2018   2017 
Net Asset Value, Beginning of Year/Period  $16.35   $18.55   $19.35   $19.46   $19.30 
Income (Loss) from Investment Operations:                         
Net investment income (loss) (1)   0.22    0.31    0.22    0.42    (0.36)
Net realized and unrealized gain (loss)   5.13    (0.54)   0.69    1.32    0.52 
Total from investment operations   5.35    (0.23)   0.91    1.74    0.16 
Dividends and Distributions:                         
Dividends from net investment income   (0.31)   (0.32)   (0.69)   (0.74)   — 
Distributions from realized gains   (1.30)   (1.65)   (1.02)   (1.11)   — 
Total dividends and distributions   (1.61)   (1.97)   (1.71)   (1.85)   — 
Redemption Fees   —    —    —    0.00 **   0.00 **
Net Asset Value, End of Year/Period  $20.09   $16.35   $18.55   $19.35   $19.46 
Total Return*   34.29%   (1.32)%   5.44%   9.54%   0.83%
Ratios and Supplemental Data:                         
Net assets, end of year/period (000s)  $32,039   $31,355   $12,238   $21,284   $285 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (5)   1.26%   1.36%   1.33%   1.37%   1.68% (7)
Ratio of net operating expenses (including dividend and interest expense) to average net assets (6)   0.97%   1.00%   0.88%   0.90%   1.19% (7)
Ratio of net investment income (including dividend and interest expense) after expense reimbursement/recoupment to average net assets   1.18%   1.86%   1.20%   2.23%   1.79% (7)
Portfolio Turnover Rate   160%   187%   172%   204%   141% (8)
 
(1)     Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.
 
(2)     Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Global Real Estate Fund - Class I:
                          
    1.26%   1.35%   1.33%   1.37%   1.68% (7)
 
(3)     Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Global Real Estate Fund - Class I:
                          
    1.12%   1.19%   1.19%   1.19%   1.43% (7)
 
(4)     Commencement of offering.
 
(5)     Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Global Real Estate Fund - Class R6:
                          
    1.26%   1.36%   1.33%   1.37%   1.68% (7)
 
(6)     Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Global Real Estate Fund - Class R6:
                          
    0.97%   1.00%   0.88%   0.90%   1.19% (7)
 
(7)     Annualized for periods less than one year.
 
(8)     Not annualized.

 

*Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

**Per share amount represents less than $0.01 per share.

 

46

 

FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period)
Easterly Multi Strategy Alternative Income Fund

 

   CLASS A
                     
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   August 31,   August 31,   August 31,   August 31,   August 31, 
   2021   2020   2019   2018   2017 
Net Asset Value, Beginning of Year/Period  $9.40   $9.07   $9.59   $8.85   $9.07 
Income (Loss) from Investment Operations:                         
Net investment income (loss) (1)   0.43    0.01    0.03    (0.01)   (0.02)
Net realized and unrealized gain (loss)   0.91    0.57    (0.22)   1.10    0.16 
Total from investment operations   1.34    0.58    (0.19)   1.09    0.14 
Dividends and Distributions:                         
Dividends from net investment income   (0.19)   (0.25)   (0.18)   —    — 
Distributions from realized gains   (0.68)   —    —    —    (0.20)
Distributions from return of capital   —    —    (0.15)   (0.35)   (0.16)
Total dividends and distributions   (0.87)   (0.25)   (0.33)   (0.35)   (0.36)
Net Asset Value, End of Year/Period  $9.87   $9.40   $9.07   $9.59   $8.85 
Total Return*   14.90%   6.66%   (1.92)%   12.62%   1.53%
Ratios and Supplemental Data:                         
Net assets, end of year/period (000s)  $488   $4   $69   $78   $99 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2)   4.55%   4.75%   4.78%   4.35%   4.03%
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3)   3.46%   3.22%   3.39%   3.63%   3.51%
Ratio of net investment income (loss) (including dividend and interest expense) after expense reimbursement/recoupment to average net assets   4.26%   0.25%   0.28%   (0.13)%   (0.25)%
Portfolio Turnover Rate   229%   185%   414%   183%   118%
                          
   CLASS C 
                     
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   August 31,   August 31,   August 31,   August 31,   August 31, 
   2021   2020   2019   2018   2017 
Net Asset Value, Beginning of Year/Period  $9.21   $8.90   $9.42   $8.69   $8.96 
Income (Loss) from Investment Operations:                         
Net investment loss (1)   (0.02)   (0.06)   (0.04)   (0.07)   (0.09)
Net realized and unrealized gain (loss)   1.24    0.57    (0.23)   1.08    0.17 
Total from investment operations   1.22    0.51    (0.27)   1.01    0.08 
Dividends and Distributions:                         
Dividends from net investment income   (0.14)   (0.20)   (0.14)   —    — 
Distributions from realized gains   (0.68)   —    —    —    (0.20)
Distributions from return of capital   —    —    (0.11)   (0.28)   (0.15)
Total dividends and distributions   (0.82)   (0.20)   (0.25)   (0.28)   (0.35)
Net Asset Value, End of Year/Period  $9.61   $9.21   $8.90   $9.42   $8.69 
Total Return*   13.86%   5.89%   (2.72)%   11.88%   0.79%
Ratios and Supplemental Data:                         
Net assets, end of year/period (000s)  $17   $69   $188   $270   $318 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (4)   5.30%   5.50%   5.53%   5.11%   4.79%
Ratio of net operating expenses (including dividend and interest expense) to average net assets (5)   4.21%   3.97%   4.14%   4.38%   4.26%
Ratio of net investment loss (including dividend and interest expense) after expense reimbursement/recoupment to average net assets   (0.24)%   (0.61)%   (0.50)%   (0.84)%   (1.03)%
Portfolio Turnover Rate   229%   185%   414%   183%   118%
 
(1)     Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.
 
(2)     Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Multi Strategy Alternative Fund - Class A:
                          
    3.33%   3.77%   3.80%   3.47%   3.27%
 
(3)     Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Multi Strategy Alternative Fund - Class A:
                          
    2.24%   2.24%   2.41%   2.75%   2.75%
 
(4)     Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Multi Strategy Alternative Fund - Class C:
                          
    4.08%   4.52%   4.53%   4.23%   4.03%
 
(5)     Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Multi Strategy Alternative Fund - Class C:
                          
    2.99%   2.99%   3.17%   3.50%   3.50%

 

*Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

**Per share amount represents less than $0.01 per share.

 

47

 

FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period)
Easterly Multi Strategy Alternative Income Fund

 

   CLASS I
                     
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   August 31,   August 31,   August 31,   August 31,   August 31, 
   2021   2020   2019   2018   2017 
Net Asset Value, Beginning of Year/Period  $9.41   $9.10   $9.62   $8.88   $9.09 
Income (Loss) from Investment Operations:                         
Net investment income (1)   0.08    0.03    0.05    0.01    — 
Net realized and unrealized gain (loss)   1.28    0.57    (0.22)   1.10    0.16 
Total from investment operations   1.36    0.60    (0.17)   1.11    0.16 
Dividends and Distributions:                         
Dividends from net investment income   (0.21)   (0.29)   (0.19)   —    (0.00) **
Distributions from realized gains   (0.68)   —    —    —    (0.20)
Distributions from return of capital   —    —    (0.16)   (0.37)   (0.17)
Total dividends and distributions   (0.89)   (0.29)   (0.35)   (0.37)   (0.37)
Net Asset Value, End of Year/Period  $9.88   $9.41   $9.10   $9.62   $8.88 
Total Return*   15.14%   6.90%   (1.66)%   12.88%   1.75%
Ratios and Supplemental Data:                         
Net assets, end of year/period (000s)  $13,018   $12,625   $11,815   $12,034   $13,380 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2)   4.30%   4.50%   4.53%   4.11%   3.78%
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3)   3.21%   2.97%   3.14%   3.38%   3.26%
Ratio of net investment income (loss) (including dividend and interest expense) after expense reimbursement/recoupment to average net assets   0.81%   0.32%   0.52%   0.14%   (0.02)%
Portfolio Turnover Rate   229%   185%   414%   183%   118%
                          
   CLASS R6 
     
                   For the Period 
                   August 17, 
   Year Ended   Year Ended   Year Ended   Year Ended   2017 (4) to 
   August 31,   August 31,   August 31,   August 31,   August 31, 
   2021   2020   2019   2018   2017 
Net Asset Value, Beginning of Year/Period  $9.54   $9.17   $9.67   $8.87   $8.73 
Income (Loss) from Investment Operations:                         
Net investment income (loss) (1)   0.12    0.07    0.07    0.06    (0.01)
Net realized and unrealized gain (loss)   1.30    0.59    (0.22)   1.11    0.15 
Total from investment operations   1.42    0.66    (0.15)   1.17    0.14 
Dividends and Distributions:                         
Dividends from net investment income   (0.21)   (0.29)   (0.19)   —    — 
Distributions from realized gains   (0.68)   —    —    —    — 
Distributions from return of capital   —    —    (0.16)   (0.37)   — 
Total dividends and distributions   (0.89)   (0.29)   (0.35)   (0.37)   — 
Net Asset Value, End of Year/Period  $10.07   $9.54   $9.17   $9.67   $8.87 
Total Return*   15.59%   7.51%   (1.44)%   13.59%   1.60%
Ratios and Supplemental Data:                         
Net assets, end of year/period (000s)  $29   $734   $1,511   $3,206   $89 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (5)   4.30%   4.50%   4.45%   4.34%   3.78% (7) 
Ratio of net operating expenses (including dividend and interest expense) to average net assets (6)   2.71%   2.47%   2.87%   3.08%   3.26% (7) 
Ratio of net investment income (loss) (including dividend and interest expense) after expense reimbursement/recoupment to average net assets   1.26%   0.87%   0.75%   0.66%   (0.02)% (7) 
Portfolio Turnover Rate   229%   185%   414%   183%   118% (8) 
 
(1)    Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.
 
(2)     Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Multi Strategy Alternative Fund - Class I:
                          
    3.08%   3.52%   3.55%   3.23%   3.02% (7)
 
(3)     Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Multi Strategy Alternative Fund - Class I:
                          
    1.99%   1.99%   2.16%   2.50%   2.50% (7) 
 
(4)     Commencement of offering.
 
(5)     Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Multi Strategy Alternative Fund - Class R6:
                          
    3.08%   3.52%   3.47%   3.34%   3.02% (7) 
 
(6)     Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Multi Strategy Alternative Fund - Class R6:
                          
    1.49%   1.49%   1.89%   2.09%   2.50% (7) 
 
(7)     Annualized for periods less than one year.
 
(8)     Not annualized

 

*Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

**Per share amount represents less than $0.01 per share.

 

48

 

FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period)
Easterly Hedged Equity Fund

 

   CLASS A 
                     
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   August 31,   August 31,   August 31,   August 31,   August 31, 
   2021   2020   2019   2018   2017 
Net Asset Value, Beginning of Year/Period  $10.83   $10.42   $10.80   $10.33   $9.94 
Income (Loss) from Investment Operations:                         
Net investment (loss) (1)   (0.08)   (0.05)   (0.13)   (0.11)   (0.08)
Net realized and unrealized gain   1.17    0.72    0.75    0.81    0.46 
Total from investment operations   1.09    0.67    0.62    0.70    0.38 
Dividends and Distributions:                         
Dividends from net investment income   (0.74)   —    (0.31)   (0.23)   — 
Distributions from realized gains   —    (0.26)   (0.69)   —    — 
Total dividends and distributions   (0.74)   (0.26)   (1.00)   (0.23)   — 
Redemption Fees   —    —    —    —    0.01 
Net Asset Value, End of Year/Period  $11.18   $10.83   $10.42   $10.80   $10.33 
Total Return*   10.67%   6.56%   6.26%   6.91%   3.92%
Ratios and Supplemental Data:                         
Net assets, end of year/period (000s)  $1,899   $1,537   $519   $230   $373 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2)   2.04%   2.07%   2.22%   2.70%   3.20%
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3)   2.04%   2.01%   2.20%   2.76%   2.67%
Ratio of net investment loss (including dividend and interest expense) after expense reimbursement/recoupment to average net assets   (0.73)%   (0.44)%   (1.28)%   (1.04)%   (0.81)%
Portfolio Turnover Rate   44%   173%   245%   84%   11%
                          
   CLASS C
                     
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   August 31,   August 31,   August 31,   August 31,   August 31, 
   2021   2020   2019   2018   2017 
Net Asset Value, Beginning of Year/Period  $10.57   $10.28   $10.66   $10.21   $9.89 
Income (Loss) from Investment Operations:                         
Net investment loss (1)   (0.14)   (0.14)   (0.18)   (0.19)   (0.15)
Net realized and unrealized gain   1.12    0.69    0.72    0.81    0.46 
Total from investment operations   0.98    0.55    0.54    0.62    0.31 
Dividends and Distributions:                         
Dividends from net investment income   (0.65)   —    (0.23)   (0.17)   — 
Distributions from realized gains   —    (0.26)   (0.69)   —    — 
Total dividends and distributions   (0.65)   (0.26)   (0.92)   (0.17)   — 
Redemption Fees   —    —    —    —    0.01 
Net Asset Value, End of Year/Period  $10.90   $10.57   $10.28   $10.66   $10.21 
Total Return*   9.77%   5.47% +   5.51% +    6.11%   3.24%
Ratios and Supplemental Data:                         
Net assets, end of year/period (000s)  $746   $1,781   $524   $322   $307 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (4)   2.68%   2.81%   2.96%   3.45%   3.94%
Ratio of net operating expenses (including dividend and interest expense) to average net assets (5)   2.68%   2.94%   2.96%   3.51%   3.42%
Ratio of net investment loss (including dividend and interest expense) after expense reimbursement/recoupment to average net assets   (1.31)%   (1.36)%   (1.74)%   (1.83)%   (1.52)%
Portfolio Turnover Rate   44%   173%   245%   84%   11%
 
(1)     Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.
 
(2)     Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Hedged Equity Fund - Class A:
                          
    1.99%   2.05%   2.19%   2.39%   2.98%
 
(3)     Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Hedged Equity Fund - Class A:
                          
    1.99%   1.99%   2.17%   2.45%   2.45%
 
(4)     Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Hedged Equity Fund - Class C:
                          
    2.63%   2.79%   2.93%   3.14%   3.72%
 
(5)     Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Hedged Equity Fund - Class C:
                          
    2.63%   2.92%   2.93%   3.20%   3.20%

 

+Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

 

*Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

**Per share amount represents less than $0.01 per share.

 

49

 

FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period)
Easterly Hedged Equity Fund

 

   CLASS I 
                     
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   August 31,   August 31,   August 31,   August 31,   August 31, 
   2021   2020   2019   2018   2017 
Net Asset Value, Beginning of Year/Period  $10.96   $10.53   $10.90   $10.41   $9.98 
Income (Loss) from Investment Operations:                         
Net investment loss (1)   (0.06)   (0.03)   (0.10)   (0.06)   (0.04)
Net realized and unrealized gain   1.19    0.72    0.76    0.82    0.47 
Total from investment operations   1.13    0.69    0.66    0.76    0.43 
Dividends and Distributions:                         
Dividends from net investment income   (0.76)   —    (0.34)   (0.27)   (0.01)
Distributions from realized gains   —    (0.26)   (0.69)   —    — 
Total dividends and distributions   (0.76)   (0.26)   (1.03)   (0.27)   (0.01)
Redemption Fees   —    —    —    —    0.01 
Net Asset Value, End of Year/Period  $11.33   $10.96   $10.53   $10.90   $10.41 
Total Return*   10.91%   6.69%   6.68%   7.40%   4.42%
Ratios and Supplemental Data:                         
Net assets, end of year/period (000s)  $33,478   $41,145   $19,673   $3,742   $4,705 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (3)   1.84%   1.82%   1.99%   2.25%   2.96%
Ratio of net operating expenses (including dividend and interest expense) to average net assets (4)   1.84%   1.81%   1.86%   2.30%   2.21%
Ratio of net investment loss (including dividend and interest expense) after expense reimbursement/recoupment to average net assets   (0.51)%   (0.29)%   (0.93)%   (0.61)%   (0.37)%
Portfolio Turnover Rate   44%   173%   245%   84%   11%
                          
   CLASS R6 
     
                   For the Period 
                   August 17, 
   Year Ended   Year Ended   Year Ended   Year Ended   2017 (4) to 
   August 31,   August 31,   August 31,   August 31,   August 31, 
   2021   2020   2019   2018   2017 
Net Asset Value, Beginning of Year/Period  $11.13   $10.64   $10.95   $10.38   $10.30 
Income (Loss) from Investment Operations:                         
Net investment income (loss) (1)   (0.02)   0.02    —    (0.01)   (0.08)
Net realized and unrealized gain   1.23    0.73    0.72    0.85    0.16 
Total from investment operations   1.21    0.75    0.72    0.84    0.08 
Dividends and Distributions:                         
Dividends from net investment income   (0.76)   —    (0.34)   (0.27)   — 
Distributions from realized gains   —    (0.26)   (0.69)   —    — 
Total dividends and distributions   (0.76)   (0.26)   (1.03)   (0.27)   — 
Redemption Fees   —    —    —    0.00 **   0.00 **
Net Asset Value, End of Year/Period  $11.58   $11.13   $10.64   $10.95   $10.38 
Total Return*   11.49%   7.19%   7.23%   8.21%   0.78%
Ratios and Supplemental Data:                         
Net assets, end of year/period (000s)  $17,970   $9,702   $13,365   $21,023   $369 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (5)   1.84%   1.81%   1.94%   2.22%   2.96% (7)
Ratio of net operating expenses (including dividend and interest expense) to average net assets (6)   1.38%   1.36%   1.33%   1.62%   2.21% (7)
Ratio of net investment income (loss) (including dividend and interest expense) after expense reimbursement/recoupment to average net assets   (0.20)%   0.16%   (0.03)%   (0.13)%   (0.37)% (7)
Portfolio Turnover Rate   44%   173%   245%   84%   11% (8)
 
(1)     Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.
 
(2)     Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Hedged Equity Fund - Class I:
                          
    1.79%   1.79%   1.95%   1.93%   2.74% (7)
 
(3)     Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Hedged Equity Fund - Class I:
                          
    1.79%   1.79%   1.82%   1.99%   1.99% (7)
 
(4)     Commencement of operations.
 
(5)     Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Hedged Equity Fund - Class R6:
                          
    1.79%   1.78%   1.90%   1.89%   2.74% (7)
 
(6)     Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Hedged Equity Fund - Class R6:
                          
    1.33%   1.34%   1.30%   1.29%   1.99% (7)
 
(7)     Annualized for periods less than one year.
 
(8)     Not annualized

 

*Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

**Per share amount represents less than $0.01 per share.

 

50

 

FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period)
Easterly Hedged High Income Fund

 

   CLASS A 
     
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   August 31,   August 31,   August 31,   August 31,   August 31, 
   2021   2020   2019   2018   2017 
Net Asset Value, Beginning of Year/Period  $8.72   $9.02   $9.25   $9.46   $9.10 
Income (Loss) from Investment Operations:                         
Net investment income (1)   0.21    0.32    0.32    0.36    0.43 
Net realized and unrealized gain (loss)   0.44    (0.24)   (0.17)   (0.19)   0.32 
Total from investment operations   0.65    0.08    0.15    0.17    0.75 
Dividends and Distributions:                         
Dividends from net investment income   (0.25)   (0.33)   (0.32)   (0.34)   (0.39)
Distributions from return of capital   (0.09)   (0.05)   (0.06)   (0.04)   — 
Total dividends and distributions   (0.34)   (0.38)   (0.38)   (0.38)   (0.39)
Net Asset Value, End of Year/Period  $9.03   $8.72   $9.02   $9.25   $9.46 
Total Return*   7.56%   0.97%   1.63%   1.84%   8.43%
Ratios and Supplemental Data:                         
Net assets, end of year/period (000s)  $1,140   $1,595   $4,659   $2,931   $1,308 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2)   3.72%   3.10%   3.11%   2.76%   3.12%
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3)   2.82%   2.65%   2.68%   2.52%   2.39%
Ratio of net investment income (including dividend and interest expense) after expense reimbursement/recoupment to average net assets   2.38%   3.57%   3.50%   3.85%   4.68%
Portfolio Turnover Rate   310%   277%   195%   171%   106%
                          
   CLASS C 
                     
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   August 31,   August 31,   August 31,   August 31,   August 31, 
   2021   2020   2019   2018   2017 
Net Asset Value, Beginning of Year/Period  $8.75   $9.04   $9.26   $9.45   $9.10 
Income (Loss) from Investment Operations:                         
Net investment income (1)   0.18    0.24    0.27    0.30    0.38 
Net realized and unrealized gain (loss)   0.43    (0.22)   (0.18)   (0.17)   0.32 
Total from investment operations   0.61    0.02    0.09    0.13    0.70 
Dividends and Distributions:                         
Dividends from net investment income   (0.20)   (0.27)   (0.26)   (0.29)   (0.35)
Distributions from return of capital   (0.07)   (0.04)   (0.05)   (0.03)   — 
Total dividends and distributions   (0.27)   (0.31)   (0.31)   (0.32)   (0.35)
Net Asset Value, End of Year/Period  $9.09   $8.75   $9.04   $9.26   $9.45 
Total Return*   7.05%   0.29%   0.96%   1.34%   7.76%
Ratios and Supplemental Data:                         
Net assets, end of year/period (000s)  $218   $556   $948   $824   $717 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (4)   4.31%   3.86%   3.82%   3.46%   3.75%
Ratio of net operating expenses (including dividend and interest expense) to average net assets (5)   3.41%   3.25%   3.28%   3.10%   2.99%
Ratio of net investment income (including dividend and interest expense) after expense reimbursement/recoupment to average net assets   1.99%   2.74%   2.90%   3.32%   4.06%
Portfolio Turnover Rate   310%   277%   195%   171%   106%
 
(1)     Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.
 
(2)     Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Hedged High Income Fund - Class A:
                          
    3.29%   2.84%   2.81%   2.64%   2.39%
 
(3)     Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Hedged High Income Fund - Class A:
                          
    2.39%   2.39%   2.39%   2.39%   2.39%
 
(4)     Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Hedged High Income Fund - Class C:
                          
    3.89%   3.60%   3.53%   3.35%   3.75%
 
(5)     Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Hedged High Income Fund - Class C:
                          
    2.99%   2.99%   2.99%   2.99%   2.99%

 

*Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

**Per share amount represents less than $0.01 per share.

 

51

 

FINANCIAL HIGHLIGHTS (For a share outstanding throughout each year/period)
Easterly Hedged High Income Fund

 

   CLASS I 
                     
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   August 31,   August 31,   August 31,   August 31,   August 31, 
    2021    2020    2019    2018    2017 
Net Asset Value, Beginning of Year/Period  $8.79   $9.07   $9.27   $9.46   $9.10 
Income (Loss) from Investment Operations:                         
Net investment income (1)   0.28    0.35    0.37    0.40    0.47 
Net realized and unrealized gain (loss)   0.43    (0.23)   (0.18)   (0.18)   0.32 
Total from investment operations   0.71    0.12    0.19    0.22    0.79 
Dividends and Distributions:                         
Dividends from net investment income   (0.27)   (0.35)   (0.33)   (0.37)   (0.43)
Distributions from return of capital   (0.10)   (0.05)   (0.06)   (0.04)   — 
Total dividends and distributions   (0.37)   (0.40)   (0.39)   (0.41)   (0.43)
Net Asset Value, End of Year/Period  $9.13   $8.79   $9.07   $9.27   $9.46 
Total Return*   8.12%   1.45%   2.36% +    2.36%+    8.86%+ 
Ratios and Supplemental Data:                         
Net assets, end of year/period (000s)  $5,890   $13,601   $24,647   $24,647   $16,820 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (2)   3.18%   2.86%   2.45%   2.45%   2.70%
Ratio of net operating expenses (including dividend and interest expense) to average net assets (3)   2.28%   2.11%   2.04%   2.04%   1.99%
Ratio of net investment income (including dividend and interest expense) after expense reimbursement/recoupment to average net assets   3.10%   3.93%   4.37%   4.37%   5.07%
Portfolio Turnover Rate   310%   277%   171%   171%   106%
                          
   CLASS R6 
                     
                   For the Period 
                   August 17, 
   Year Ended   Year Ended   Year Ended   Year Ended   2017 (4) to 
   August 31,   August 31,   August 31,   August 31,   August 31, 
   2021   2020   2019   2018   2017 
Net Asset Value, Beginning of Year/Period  $8.94   $9.17   $9.33   $9.47   $9.48 
Income (Loss) from Investment Operations:                         
Net investment income (1)   0.34    0.39    0.41    0.46    0.01 
Net realized and unrealized gain (loss)   0.42    (0.22)   (0.18)   (0.19)   (0.02)
Total from investment operations   0.76    0.17    0.23    0.27    (0.01)
Dividends and Distributions:                         
Dividends from net investment income   (0.27)   (0.34)   (0.33)   (0.37)   — 
Distributions from return of capital   (0.10)   (0.06)   (0.06)   (0.04)   — 
Total dividends and distributions   (0.37)   (0.40)   (0.39)   (0.41)   — 
Redemption Fees   —    —    —    —    0.00 **
Net Asset Value, End of Year/Period  $9.33   $8.94   $9.17   $9.33   $9.47 
Total Return*   8.55%   1.99%   2.63%   2.89%   (0.11)%
Ratios and Supplemental Data:                         
Net assets, end of year/period (000s)  $564   $15,584   $23,374   $39,016   $621 
Ratio of gross operating expenses (including dividend and interest expense) to average net assets (5)   3.18%   2.85%   2.78%   2.50%   2.70% (7)
Ratio of net operating expenses (including dividend and interest expense) to average net assets (6)   1.82%   1.64%   1.68%   1.51%   1.99% (7)
Ratio of net investment income (including dividend and interest expense) after expense reimbursement/recoupment to average net assets   3.63%   4.34%   4.48%   4.74%   5.07% (7)
Portfolio Turnover Rate   310%   277%   195%   171%   106% (8)
 
(1)     Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.
 
(2)     Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Hedged High Income Fund - Class I:
                          
    2.75%   2.60%   1.95%   1.93%   2.74% (7)
 
(3)     Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Hedged High Income Fund - Class I:
                          
    1.85%   1.85%   1.82%   1.99%   1.99% (7)
 
(4)     Commencement of offering.
 
(5)     Ratio of gross expenses to average net assets (excluding dividend and interest expenses) for the Easterly Hedged High Income Fund - Class R6:
                          
    2.75%   2.60%   2.49%   2.35%   2.70% (7)
 
(6)     Ratio of net operating expenses to average net assets (excluding dividend and interest expenses) for the Easterly Hedged High Income Fund - Class R6:
                          
    1.39%   1.39%   1.39%   1.35%   1.99% (7)
 
(7)     Annualized for periods less than one year.
 
(8)     Not annualized

 

+Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

 

*Assumes reinvestment of all dividends and distributions and does not assume the effects of any sales charges. Aggregate (not annualized) total return is shown for any period shorter than one year. Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

 

**Per share amount represents less than $0.01 per share.

52

 

CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
Year Ended August 31, 2021

 

1.ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

 

James Alpha Fund Trust (the “Trust”) was organized in 2020, as a Delaware Statutory Trust and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The Trust currently consists of eight series. These financial statements include the following five series:

 

New Fund Name Effective August 23, 2021 Formerly Known As Prior to August 23, 2021
Easterly Global Macro Fund James Alpha Macro Fund
Easterly Global Real Estate Fund James Alpha Global Real Estate Investments Fund
Easterly Multi Strategy Alternative Income Fund James Alpha Multi Strategy Alternative Income Fund
Easterly Hedged Equity Fund James Alpha Managed Risk Domestic Equity Fund
Easterly Hedged High Income Fund James Alpha Hedged High Income Fund
 

Easterly Funds LLC serves as the Funds’ Advisor.

 

The following serve as Sub-Advisors (the “Sub-Advisors”) to their respective Fund(s):

 

Fund Sub-Advisor
Easterly Global Real Estate Fund Ranger Global Real Estate Advisors, LLC
Easterly Multi Strategy Alternative Income Fund Ranger Global Real Estate Advisors, LLC
  Bullseye Asset Management LLC
  Kellner Private Fund Management, LP
  Lazard Asset Management LLC
Easterly Hedged Equity Fund EAB Investment Group, LLC
Easterly Hedged High Income Fund * Lazard Asset Management LLC.

 

*Prior to August 5, 2021 Concise Capital Management, LP and Amundi Asset Management US, Inc. served as sub-advisors to the Easterly Hedged High Income Fund.

 

Ultimus Fund Solutions, LLC (the “Administrator”), serves the Trust as administrator, custody administrator, transfer agent and fund accounting agent. Ultimus Fund Distributors, LLC (“NLD” or the “Distributor”) is the Trust’s Distributor.

 

The Easterly Global Macro Fund, the Easterly Global Real Estate Fund, the Easterly Multi Strategy Alternative Income Fund, the Easterly Hedged Equity Fund and the Easterly Hedged High Income Fund are diversified Funds.

 

The James Alpha Global Macro Portfolio, the James Alpha Global Real Estate Investments Portfolio, the James Alpha Multi Strategy Alternative Income Portfolio, the James Alpha Managed Risk Domestic Equity Portfolio, and the James Alpha Hedged High Income Portfolio (each an “Existing Fund”) were reorganized on March 19, 2021, from a series of The Saratoga Advantage Trust, a Delaware statutory trust, to a series of the Trust, into the Easterly Global Macro Fund, Easterly Global Real Estate Fund, Easterly Multi Strategy Alternative Income Fund, the Easterly Hedged Equity Fund and the Easterly Hedged High Income Fund (each a “Survivor Fund”). As a series of the Trust, Class A, Class C, Class I and Class S of the Existing Funds converted to Class A, Class C, Class I and Class R6 of the Surviving Funds, respectively. Class A and Class C of the James Alpha Global Macro Portfolio converted to Class I of the Surviving Fund. Each Existing Fund and its corresponding Survivor Fund have the same investment objective, principal investment strategies. The details of this re-organization are shown below.

 

At the Close of Business on March 19, 2021

 

  James Alpha Global Macro Fund Easterly Global Macro Fund NAVs
Net Assets Class A 688,653 —  
Net Assets Class C 280,090 —  
Net Assets Class I 2,508,811 3,475,578 9.65
Net Asset Class S/R6 3,074,959 3,074,959 9.75
       
Shares Redeemed/ Received Class A 71,823 —  
Shares Redeemed/ Received Class C 30,907 —  
Shares Redeemed/ Received Class I 259,965 360,150  
Shares Redeemed/ Received Class S/R6 315,369 315,278  

 

  James Alpha Global Real Estate
Portfolio		 Easterly Global Real Estate
Fund		 NAVs
Net Assets Class A 98,594,394 98,594,394 17.94
Net Assets Class C 71,454,431 71,454,431 18.05
Net Assets Class I 598,977,506 598,977,506 18.75
Net Asset Class S/R6 35,516,303 35,516,303 18.97
       
Shares Redeemed/ Received Class A 5,495,262 5,495,867  
Shares Redeemed/ Received Class C 3,957,955 3,957,691  
Shares Redeemed/ Received Class I 31,938,901 31,949,125  
Shares Redeemed/ Received Class S/R6 1,872,178 1,872,501  

53

 

CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
Year Ended August 31, 2021 (Continued)

 

  James Alpha Multi Strategy
Alternative Income Portfolio		 Easterly Multi Strategy
Alternative Income Fund		 NAVs
Net Assets Class A 3,894 3,894 9.57
Net Assets Class C 70,471 70,471 9.33
Net Assets Class I 13,261,926 13,261,926 9.58
Net Asset Class S/R6 370,352 370,352 9.75
       
Shares Redeemed/ Received Class A 407 407  
Shares Redeemed/ Received Class C 7,556 7,556  
Shares Redeemed/ Received Class I 1,383,887 1,383,680  
Shares Redeemed/ Received Class S/R6 37,973 37,973  

 

  James Alpha Managed Risk
Domestic Equity Portfolio		 Easterly Hedged Equity
Fund		 NAVs
Net Assets Class A 1,582,640 1,582,640 10.67
Net Assets Class C 951,173 951,173 10.44
Net Assets Class I 31,579,986 31,579,986 10.80
Net Asset Class S/R6 7,860,069 7,860,069 11.02
       
Shares Redeemed/ Received Class A 148,295 148,295  
Shares Redeemed/ Received Class C 91,074 91,074  
Shares Redeemed/ Received Class I 2,922,835 3,054,198  
Shares Redeemed/ Received Class S/R6 713,439 713,285  

 

  James Alpha Hedged High
Income Portfolio		 Easterly Hedged High
Income Fund		 NAVs
Net Assets Class A 1,212,919 1,212,919 9.15
Net Assets Class C 304,557 304,557 9.20
Net Assets Class I 9,463,898 9,463,898 9.24
Net Asset Class S/R6 13,085,705 13,085,705 9.43
       
Shares Redeemed/ Received Class A 132,539 132,539  
Shares Redeemed/ Received Class C 33,104 33,104  
Shares Redeemed/ Received Class I 1,023,847 1,023,847  
Shares Redeemed/ Received Class S/R6 1,387,914 1,387,757  

 

Fund Primary Objective
Easterly Global Macro Attractive long-term risk-adjusted returns relative to traditional financial market indices
Easterly Global Real Estate Total return through a combination of current income and capital appreciation
Easterly Multi Strategy Alternative Income Long-term capital appreciation as its primary objective, with a secondary objective of providing income for its shareholders.
Easterly Hedged Equity Capital appreciation
Easterly Hedged High Income High current income as its primary investment objective and, as a secondary investment objective, seeks capital preservation, with the potential for capital appreciation.

 

Currently, all Funds offer Class A, Class C, Class I shares and Class R6 shares with the exception of the Easterly Global Macro Fund which offers Class I and Class R6 Shares. Class A shares of Easterly Multi Strategy Alternative Income Fund and the Easterly Hedged High Income Fund are offered at net asset value plus a maximum sales load of 2.00%. Class A shares of the Easterly Global Real Estate Investments Fund and the Easterly Hedged Equity Fund are offered at net asset value plus a maximum sales load of 5.75%. Class C shares are offered subject to a CDSC of 1.00%. Class I and Class R6 shares are offered at net asset value. Each class represents an interest in the same assets of the applicable Fund, and the classes are identical except for differences in their sales charge structures, ongoing service and distribution charges. Class R6 shares are only available to certain qualified investors and the minimum initial investment will vary depending on the type of qualified investor. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans.

 

The following is a summary of significant accounting policies followed by the Funds in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. 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” including FASB Accounting Standard Update ASU 2013-08.

 

(a) Valuation of Investments

 

Investment securities listed on a national securities exchange are valued at the last reported sale price on the valuation date. NASDAQ traded securities are valued at the NASDAQ Official Closing Price (NOCP). If there are no such reported sales, the securities are valued at the mean between current bid and ask. Debt securities

54

 

CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
Year Ended August 31, 2021 (Continued)

 

(other than short-term obligations) are valued each day by an independent pricing service approved by the Board of Trustees using methods which include current market quotations from a major market maker in the securities and trader-reviewed “matrix” prices. Short-term debt securities having a remaining maturity of sixty days or less may be valued at amortized cost or amortized value, which approximates market value. U.S. Government Money Market values all of its securities on the basis of amortized cost, which approximates market value. Options listed on a securities exchange or board of trade for which market quotations are readily available shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the last bid and ask price. Options not listed on a securities exchange or board of trade for which over-the-counter market quotations are readily available shall be valued at the mean of the current bid and asked prices. Futures are valued based on their daily settlement value. Swap transactions are valued through an independent pricing service or at fair value based on daily price reporting from the swap counterparty issuing the swap. Total return swaps on securities listed on an exchange shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the current bid and ask prices. Any securities or other assets for which market quotations are not readily available are valued at their fair value as determined in good faith under procedures established by the Board of Trustees. There is no single standard for determining the fair value of such securities. Rather, in determining the fair value of a security, the board-appointed Fair Valuation Committee shall take into account the relevant factors and surrounding circumstances, a few of which may include: (i) the nature and pricing history (if any) of the security; (ii) whether any dealer quotations for the security are available; and (iii) possible valuation methodologies that could be used to determine the fair value of a security. The Easterly Global Real Estate Fund uses fair value prices as provided by an independent pricing vendor on a daily basis for those securities traded on a foreign exchange. Foreign currency and Forward currency exchange contracts are valued daily at the London close each day. The ability of issuers of debt securities held by the Funds to meet their obligations may be affected by economic or political developments in a specific state, industry or region. Investments in foreign countries may involve certain considerations and risks not typically associated with domestic investments, including, but not limited to, the possibility of future political and economic developments and the level of government supervision and regulation of foreign securities markets.

 

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

 

Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the 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.

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of August 31, 2021, for the Funds’ assets and liabilities measured at fair value:

 

Easterly Global Macro Fund   
                 
Assets*  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $3,432,141   $—   $—   $3,432,141 
Exchange Traded Notes   2,742    —    —    2,742 
Open End Funds   3,096,732    —    —    3,096,732 
Total  $6,531,615   $—   $—   $6,531,615 
                     
Derivatives                    
Total Return Swaps  $—   $868,442   $—   $868,442 
Forward Currency Contracts   —    5,405    —    5,405 
                     
Easterly Global Real Estate Fund  
                     
Assets*  Level 1   Level 2   Level 3   Total 
Common Stock  $578,255,009   $312,696,146   $—   $890,951,155 
Total  $578,255,009   $312,696,146   $—   $890,951,155 
Derivatives                    
Forward Currency Contracts   —   $9,663    —   $9,663 

55

 

CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
Year Ended August 31, 2021 (Continued)

 

Easterly Multi Strategy Alternative Income Fund   
                 
Assets*  Level 1   Level 2   Level 3   Total 
Closed End Funds  $2,912,269   $—   $—   $2,912,269 
Common Stock   10,956,064    —    —    10,956,064 
Exchange Traded Funds   571,511    —    —    571,511 
Total  $14,439,844   $—   $—   $14,439,844 
Liabilities*                    
Securities Sold Short  $(4,097,555)  $—   $(10,333)   (4,107,888)
Total  $(4,097,555)  $—   $(10,333)  $(4,107,888)
Derivatives                    
Forward Currency Contracts  $—   $35   $—   $35 
Total  $—   $35   $—   $35 
                     
Easterly Hedged Equity Fund  
                     
Assets*  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $49,220,040   $—   $—   $49,220,040 
Call Options Purchased   —    77,000    —    77,000 
Put Options Purchased   —    730,800    —    730,800 
Total  $49,220,040   $807,800   $—   $50,027,840 
Derivatives* - Assets                    
Total Return Swaps  $—   $—   $—   $— 
Total  $—   $—   $—   $— 
Derivatives* - Liabilities                    
Call Options Written  $—   $(491,838)  $—   $(491,838)
Put Options Written   —    (268,125)   —    (268,125)
Total  $—   $(759,963)  $—   $(759,963)
                     
Easterly Hedged High Income Fund  
                     
Assets*  Level 1   Level 2   Level 3   Total 
Closed End Funds  $1,431,549   $—   $—   $1,431,549 
Exchange Traded Fund   66,764    —    —    66,764 
Total  $1,498,313   $—   $—   $1,498,313 

 

It is the Funds’ policy to recognize transfers into and out of Levels at the end of the reporting period.

 

*Refer to the Schedules of Investments for industry or category classifications.

 

The following is a reconciliation for the Easterly Hedged High Income Fund for which Level 3 inputs were used in determining value:

 

   Beginning
balance August
31, 2020		   Total Realized
Gain/(Loss)		   Change in
unrealized
appreciation		   Conversion   Net Purchases   Net Sales   Net transfers
in/(out) of
Level 3		   Ending balance
August 31,
2021		 
Term Loans  $314,692   $6,568   $837   $—   $—   $(322,097)  $—   $— 
Corporate Bonds   324,624    (104,998)   465,055    —    —    (684,681)   —    — 
Convertible Bonds   13    (221,711)   221,698    —    —    —    —    — 
Common Stock   547,570    (522,434)   173,627    —    105,511    (304,274)   —    — 
Warrants   1,999    (3,131)   1,132    —    —    —    —    — 

 

The following is a reconciliation for the Easterly Multi Strategy Alternative Income Fund for which Level 3 inputs were used in determining value:

 

   Beginning
balance August
31, 2020		   Total Realized
Gain/(Loss)		   Change in
unrealized
appreciation		   Conversion   Net Purchases   Net Sales   Net transfers
in/(out) of
Level 3		   Ending balance
August 31,
2021		 
Common Stock  $—   $—   $—   $—   $—   $—   $(10,333)  $(10,333)

 

Quantitative disclosures of unobservable inputs and assumptions used by Easterly Multi Strategy Alternative Income Fund are below:

 

Common Stock  Fair Value   Valuation Techniques  Unobservable Input
Sinovac Biotech Ltd.  $(10,333)  Last Price  Discount for lack of marketability

56

 

CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
Year Ended August 31, 2021 (Continued)

 

Consolidation of Subsidiary – James Alpha Cayman Commodity Fund I Ltd. (JACC-SPC)

 

The Consolidated Schedule of Investments, Consolidated Statement of Assets and Liabilities, Consolidated Statement of Operations and Consolidated Statement of Changes in Net Assets and the Consolidated Financial Highlights of the Easterly Global Macro Fund includes the accounts of JACC-SPC, a wholly owned and controlled subsidiary. JACC-SPC is a closed-end fund incorporated as an exempted company under the company’s law of the Cayman Islands on February 2, 2011, and is a disregarded entity for tax purposes. All inter-company accounts and transactions have been eliminated in consolidation.

 

The Easterly Global Macro Fund may invest up to 25% of its total assets in the segregated portfolio company (“SPC”) which acts as an investment vehicle in order to effect certain investments consistent with the Fund’s investment objectives and policies.

 

A summary of the Easterly Global Macro Fund’s investments in the SPC is as follows:

 

    SPC Net Assets at % of Fund Net Assets at   August
  Inception Date of SPC August 31, 2021 31, 2021
James Alpha Cayman Commodity Fund I Ltd. August 5, 2011 $                270,150 3.09%

 

(b) Federal Income Tax

 

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

 

Capital loss carry forwards, as of each Fund’s most recent tax year-ended August 31, 2021 (for the tax year ended December 31, 2020 for the Easterly Global Real Estate Fund), available to offset future capital gains, utilized capital gains, if any, are as follows:

 

   Short-Term   Long-Term   Capital Loss Carry Forward
Utilized		   Total 
Easterly Global Macro Fund   742,034    1,106,761    242,125    1,848,795 
Easterly Global Real Estate Fund   —    —    —    — 
Easterly Multi Strategy Alternative Income Fund   —    —    —    — 
Easterly Hedged Equity Fund   1,457,549    552,636    —    2,010,185 
Easterly Hedged High Income Fund   —    2,392,621    —    2,392,621 

 

The Funds recognize the tax benefits of uncertain tax positions only when the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has reviewed the tax positions taken on its 2018-2020 returns and expected to be taken in the Funds’ 2021 returns and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions. The Funds identify its major tax jurisdictions as U.S. Federal, Arizona and foreign jurisdictions where the Funds make significant investments. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the year ended August 31, 2021, the Funds did not incur any interest or penalties.

 

(c) Security Transactions and Other Income

 

Security transactions are reflected for financial reporting purposes as of the trade date. Dividend income is recognized on the ex-dividend date, and interest income is recognized on an accrual basis including premium amortized and discount accreted. All paydown gains and losses are classified as interest income in the accompanying Statements of Operations in accordance with U.S. GAAP. Discounts and premiums on securities purchased are accreted and amortized, over the lives of the respective securities with a corresponding increase/decrease in the cost basis of that security using the yield to maturity method, or where applicable, the first call date of the security. Realized gains or losses from sales of securities are determined by comparing the identified cost of the security lot sold with the net sales proceeds. Withholding taxes on foreign dividends have been provided for in accordance with the Trust’s understanding of the applicable country’s tax rules and rates.

 

(d) Dividends and Distributions

 

The following table summarizes each Fund’s intended dividend and capital gain declaration policy:

 

Fund   Income Dividends   Capital Gains
Easterly Global Macro Fund   Annually   Annually
Easterly Global Real Estate Fund   Quarterly   Quarterly
Easterly Multi Strategy Alternative Income Fund   Quarterly   Annually
Easterly Hedged Equity Fund   Annually   Annually
Easterly Hedged High Income Fund   Monthly   Annually

 

Each Fund records dividends and distributions to its shareholders on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These “book-tax” differences are either permanent or temporary in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the net asset accounts based on their federal tax-basis treatment; temporary differences do not require reclassification. To the extent dividends and distributions exceed current and accumulated earnings and profits for federal income tax purposes, they are reported as distributions of paid-in-surplus or tax return of capital. These reclassifications have no effect on net assets, results from operations or net asset value per share of each Fund.

57

 

CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
Year Ended August 31, 2021 (Continued)

 

(e) Allocation of Expenses

 

Expenses of the Trust that are directly identifiable to a specific fund are charged to that fund. Expenses incurred by the Trust that do not relate to a specific Fund of the Trust are allocated to the individual Funds on an equal basis or another reasonable basis.

 

(f) Repurchase Agreements

 

In connection with transactions in repurchase agreements, it is the Trust’s policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the seller defaults, and the fair value of the collateral declines, realization of the collateral by the Trust may be delayed or limited.

 

(g) Indemnification

 

The Trust indemnifies its Officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties and which provide general indemnities. 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, based on experience, the risk of loss due to these warranties and indemnities appears to be remote.

 

(h) Other

 

The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

 

Foreign currency. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Trust does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.

 

Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the company’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates.

 

Market Disruptions Risk. The Funds are subject to investment and operational risks associated with financial, economic and other global market developments and disruptions, including the recent spread of an infectious respiratory illness caused by a novel strain of coronavirus (known as COVID-19), which can negatively impact the securities markets and cause the Funds to lose value.

 

The spread of COVID-19 has caused volatility, severe market dislocations and liquidity constraints in many markets, including markets for the securities the Funds hold, and may adversely affect the Funds’ investments and operations. The transmission of COVID-19 and efforts to contain its spread have resulted in travel restrictions and disruptions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, quarantines, event and service cancellations or interruptions, disruptions to business operations and supply chains, and a reduction in consumer and business spending, as well as general concern and uncertainty that has negatively affected the economy. These disruptions have led to instability in the marketplace and the jobs market. The impact of COVID-19 could adversely affect the economies of many nations or the entire global economy, the financial well-being and performance of individual issuers, borrowers and sectors and the health of the markets generally in potentially significant and unforeseen ways.

 

The foregoing could lead to a significant economic downturn or recession, increased market volatility, a greater number of market closures, higher default rates and adverse effects on the values and liquidity of the Funds’ securities or other assets. Such impacts may adversely affect the performance of the Funds.

 

2.MANAGEMENT FEE, ADMINISTRATION FEE AND OTHER TRANSACTIONS WITH AFFILIATES

 

(a) Easterly Funds, LLC acts as investment manager for the Funds pursuant to the terms of a Management Agreement with the Trust, on behalf of the Funds (the “Management Agreement”). Under the terms of the Management Agreement, the Manager manages the investment operations of the Funds in accordance with each Fund’s respective investment policies and restrictions. Each investment sub-advisor is responsible for the day-to-day management of its Fund’s portfolios. Easterly Funds, LLC serves the Funds in a supervision capacity with responsibility to monitor the performance of the Funds’ outside service providers, assist in the review of financial statements and other regulatory filings and board meeting materials related to each Fund. The management fees are payable to Easterly Funds, LLC monthly by each Fund and are computed daily as shown in the table below. The Funds’ subadvisors are paid by the manager, not the Funds.

 

(b) Pursuant to an operating expense limitation agreement between Easterly Funds, LLC and the Funds, Easterly Funds, LLC has contractually agreed to waive all or a portion of its advisory fee and/or pay expenses of the Fund so that total annual Fund operating expenses (excluding front-end and contingent deferred sales loads, leverage, interest and tax expenses, dividends and interest on short positions, brokerage commissions, expenses incurred in connection with any merger, reorganization or liquidation, extraordinary or non-routine expenses and Acquired Fund Fees and Expenses) do not exceed the expense limitation shown in the table below, and is based on the Funds’ average daily net assets. This operating expense limitation agreement cannot be terminated during its term. Easterly Funds, LLC is permitted to seek reimbursement from the Fund, subject to limitations, for management fees waived and Fund expenses it paid within three (3) years of the end of the fiscal year in which such management fees were waived or expenses paid, as long as the reimbursement does not cause the Fund’s operating expenses to exceed (i) the expense cap in place at the time the fees were waived or the expenses were incurred; or (ii) the current expense cap, whichever is less. The expense limitation agreement will be in effect through March 19, 2023.

58

 

CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
Year Ended August 31, 2021 (Continued)

 

        Expense Limitation
Fund  Management
Agreement		  Cl A  Cl C 
Cl I		 
CL R6		  Expires  Management
Fee Waived/
Expenses Reimbursed
YTD 8/31/2021		 
Easterly Global Macro Fund  1.10%  N/A  N/A  1.48%  0.93%  3/19/2023  $122,020 
Easterly Global Real Estate Fund  0.90%  1.69%  2.37%  1.04%  0.94%  3/19/2023   951,023 
Easterly Multi Strategy Alternative Income Fund  2.00%  2.23%  2.98%  1.98%  1.48%  3/19/2023   154,226 
Easterly Hedged Equity Fund  1.20%  1.99%  3.00%  1.79%  1.34%  3/19/2023   44,773 
Easterly Hedged High Income Fund  1.70%  2.38%  2.98%  1.84%  1.38%  3/19/2023   268,707 

 

Prior to March 19, 2021 the expense limitation was as follows:

 

  Expense Limitation
Fund Cl A Cl C Cl I CL R6
Easterly Global Macro Fund 1.74% 2.49% 1.49% 0.94%
Easterly Global Real Estate Fund 1.69% 2.37% 1.19% 0.99%
Easterly Multi Strategy Alternative Income Fund 2.24% 2.99% 1.99% 1.49%
Easterly Hedged Equity Fund 1.99% 3.00% 1.79% 1.34%
Easterly Hedged High Income Fund 2.39% 2.99% 1.85% 1.39%

 

The following table shows the available waived expenses and expiration date for each Fund subject to potential recovery.

 

Fund  8/31/2022   8/31/2023   8/31/2024 
Easterly Global Macro Fund  $99,260   $129,870   $122,020 
Easterly Global Real Estate Fund   808,019    1,158,275    951,023 
Easterly Multi Strategy Alternative Income Fund   176,432    205,534    154,226 
Easterly Hedged Equity Fund   117,016    52,139    44,773 
Easterly Hedged High Income Fund   270,139    399,006    268,707 

 

(c) Ultimus Fund Distributors, LLC (“UFD”) is the Trust’s Distributor. The Trust with respect to the Funds has adopted a Plan of Distribution pursuant to Rule 12b-1 under the 1940 Act (the “Plan”) with respect to the sale and distribution of Class A and C shares of the Funds. The Plan provides that the Funds will pay UFD and other entities, including a broker-dealer affiliate of the Adviser, are paid pursuant to the Plans provided and the expenses borne by the distributor and others in the distribution of Fund shares a fee, which is accrued daily and paid monthly, at the annual rate of 0.25% of the average daily net assets of Class A shares and 1.00% of the average daily net assets of each of the Funds’ Class C shares. The aggregate of such service fee payments will not exceed 0.25% of average daily net assets. Prior to March 19, 2021, Northern Lights Distributor, LLC (“NLD”) was the Funds’ Distributor.

 

For the year ended, August 31, 2021, NLD and UFD received sales charges on sales of the Funds’ Class A shares.

 

   Northern Lights Distributors, LLC 
   Sales Charges 
Fund     Class A 
Easterly Global Real Estate Fund  $179,417 
Easterly Multi Strategy Alternative Income Fund   — 
Easterly Hedged Equity Fund   11,304 
Easterly Hedged High Income Fund   2,864 
      
   UFD Sales Charges 
Fund     Class A 
Easterly Global Real Estate Fund  $886,836 
Easterly Multi Strategy Alternative Income Fund   — 
Easterly Hedged Equity Fund   246 
Easterly Hedged High Income Fund   606 
      
For the year ended August 31, 2021 CDSC fees were as follows.
      
   CDSC Fees 
Fund     Class C 
Easterly Global Real Estate Fund  $1,630 
Easterly Hedged High Income Fund   78 

 

(d) Ultimus Fund Solutions, LLC (“UFS”), an affiliate of UFD provides administrative, fund accounting and transfer agency services to the Funds pursuant to agreements with the Trust, for which it receives from each Fund: (i) a minimum annual fee or basis points in decreasing amounts as assets reach certain breakpoints; and (ii) any related out-of-pocket expenses.

59

 

CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
Year Ended August 31, 2021 (Continued)

 

Prior to March 19, 2021 Pursuant to the terms of the Trust’s Custody Administration Agreement with UFS (the “Custody Administration Agreement”), the Trust pays an asset-based fee in decreasing amounts as Trust assets reach certain breakpoints. The Trust also pays certain transaction fees and out-of-pocket expenses pursuant to the Custody Administration Agreement.

 

(e) Affiliated Investments — The Funds’ transactions with affiliates represent holdings for which the respective Fund and the underlying investee fund have the same investment advisor or where the investee fund’s investment advisor is under common control with the Fund’s investment advisor. Companies which are affiliates of the Funds at August 31, 2021, are noted in the Fund’s Schedule of Investments.

 

Affiliated Holding  Value at
8/31/2020		   Purchases   Sales   Realized Gain
(Loss)		   Change in
Unrealized
Appreciation
(Depreciation)		   Income   Value at
8/31/2021		   Shares at
8/31/2021		 
Easterly Global Macro Fund                                        
Easterly Hedged Equity Fund, CL R6   —    180,000              3,999         183,999    15,889 
Easterly Structured Credit Value Fund, Cl I   —    500,000    (500,452)   452    —    —    —    — 
Easterly Structured Credit Value Fund, Cl R6   3,091,078    1,946,311    (2,200,000)   151,173    (85,367)   180,157    2,903,195    259,678 
Easterly Multi Strategy Alternative Income Fund                                        
Easterly Structured Credit Value Fund, Cl R6   763,594    5,070    (784,841)   66,010    (49,833)   32,382    —    — 
Easterly Hedged High Income                                        
Easterly Structured Credit Value Fund, Cl R6   3,066,873    13,587    (3,155,659)   333,580    (258,381)   121,779    —    — 

 

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

 

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

 

Blu Giant, LLC (“Blu Giant”) – Blu Giant, an affiliate of UFS and the Distributor, provides EDGAR conversion and filing services as well as print management services for the Trust on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from the Funds.

 

Certain employees of UFS and NLCS are also officers of the Trust, and are not paid any fees directly by the Trust for serving in such capacity.

 

3.INVESTMENT TRANSACTIONS

 

(a) For the year ended August 31, 2021, the cost of purchases and proceeds from sales of investment securities, other than short-term securities, for the Funds were as follows: 

 

Fund  Purchases   Sales 
Easterly Global Macro Fund   8,645,714    9,845,337 
Easterly Global Real Estate Fund   1,244,520,107    1,296,499,822 
Easterly Multi Strategy Alternative Income Fund   23,758,206    25,402,193 
Easterly Hedged Equity Fund   18,301,759    28,755,753 
Easterly Hedged High Income Fund   57,733,366    84,897,609 

 

(b) Certain Funds may enter into options contracts. An option contract is a contract in which the writer of the option grants the buyer of the option the right to purchase from (call option), or sell to (put option), the writer a designated instrument at a specified price within a specified period of time. Certain options, including options on indices, will require cash settlement by the Fund if the option is exercised.

 

Premiums paid when put or call options are purchased by the Fund, represent investments, which are marked-to-market daily. When a purchase option expires, the Fund will realize a loss in the amount of the premium paid. When the Fund enters into a closing sales transaction, the Fund will realize a gain or loss depending on whether the proceeds from the closing sales transaction are greater or less than the premium paid for the option. When the Fund exercises a put option, it will realize a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security, which the Fund purchases upon exercise, will be increased by the premium originally paid.

 

Certain Funds may write covered call options. This means that the Fund will own the security subject to the option or an option to purchase the same underlying security, having an exercise price equal to or less than the exercise price of the covered option, or will establish and maintain with its custodian for the term of the option, an account consisting of cash, U.S. government securities or other liquid securities having a value equal to the fluctuating market value of the securities on which the Fund holds a covered call position.

 

When a Fund writes a call option, an amount equal to the premium received by the Fund is recorded as a liability, the value of which is marked-to-market daily. When a written option expires, the Fund realizes a gain equal to the amount of the premium received. When the Fund enters into a closing purchase transaction, the Fund realizes a gain or loss depending upon whether the cost of the closing transaction is greater or less than the premium originally received, without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is eliminated. When a written call option is exercised the proceeds of the security sold will be increased by the premium originally received.

 

The liability representing a Fund’s obligation under an exchange traded written option or investment in a purchased option is valued at the last sale price or, in the absence of a sale, the last available bid price.

60

 

CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
Year Ended August 31, 2021 (Continued)

 

The Funds may enter into options for hedging purposes. The risk associated with purchasing options is limited to the premium originally paid. The risk in writing a covered call option is that the Fund gives up the opportunity to participate in any increase in the price of the underlying security beyond the exercise price.

 

(c) Certain Funds may enter into futures contracts. The Funds are subject to equity price risk in the normal course of pursuing their investment objective. To manage equity price risk, the Funds may enter into futures contracts. Upon entering into a futures contract with a broker, the Funds are required to deposit in a segregated account a specified amount of cash or U.S. government securities. Futures contracts are valued daily and unrealized gains or losses are recorded in a “variation margin” account. Periodically, the Funds receive from or pays to the broker a specified amount of cash based upon changes in the variation margin account. When a contract is closed, the Funds recognize a realized gain or loss. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. With futures contracts, there is minimal counterparty credit risk to the Funds since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Futures contracts outstanding at period end are listed after the Funds’ portfolio of investments.

 

(d) Certain Funds may enter into foreign currency exchange contracts. Because various Funds may invest in securities denominated in foreign currencies, they may seek to hedge foreign currency risks by engaging in foreign currency exchange transactions. These may include buying or selling foreign currencies on a spot basis, entering into foreign currency forward contracts, and buying and selling foreign currency options, foreign currency futures, and options on foreign currency futures. Currency exchange rates may fluctuate significantly over short periods and can be subject to unpredictable change based on such factors as political developments and currency controls by foreign governments.

 

(e) Swap Agreements – Certain funds are subject to equity price risk and/or interest rate risk in the normal course of pursuing their respective investment objectives. The Funds may enter into various swap transactions for investment purposes or to manage interest rate, equity, foreign exchange (currency), commodity or credit risk. These would be two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular pre-determined investments or instruments.

 

The gross returns to be 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 unrealized gains or losses in the 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. Payments received or paid at the beginning of the agreement are reflected as such on the Statements of Assets and Liabilities and may be referred to as upfront payments. The Funds amortize upfront payments and/or accrue for the fixed payment stream on swap agreements on a daily basis with the net amount recorded as a component of unrealized gain or loss on the Statements of Operations. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Statements of Operations. The Funds segregate liquid securities having a value at least equal to the amount of their current obligation under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Statements of Assets and Liabilities. The Funds’ maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that that amount is positive.

 

(f) Short Sales – Certain funds may sell securities short. A short sale is a transaction in which the Fund sells a security it does not own or have the right to acquire (or that it owns but does not wish to deliver) in anticipation that the market price of that security will decline.

 

When the Fund makes a short sale, the broker-dealer through which the short sale is made must borrow the security sold short and deliver it to the party purchasing the security. The Fund is required to make a margin deposit in connection with such short sales; the Fund may have to pay a fee to borrow particular securities and will often be obligated to pay over any dividends and accrued interest on borrowed securities.

 

If the price of the security sold short increases between the time of the short sale and the time the Fund covers its short position, the Fund will incur a loss; conversely, if the price declines, the Fund will realize a capital gain. Any gain will be decreased, and any loss increased, by the transaction costs described above. The successful use of short selling may be adversely affected by imperfect correlation between movements in the price of the security sold short and the securities being hedged.

 

To the extent the Fund sells securities short, it will provide collateral to the broker-dealer and (except in the case of short sales “against the box”) will maintain additional asset coverage in the form of cash, U.S. government securities or other liquid securities with its custodian in a segregated account in an amount at least equal to the difference between the current market value of the securities sold short and any amounts required to be deposited as collateral with the selling broker (not including the proceeds of the short sale). A short sale is “against the box” to the extent the Fund contemporaneously owns, or has the right to obtain at no added cost, securities identical to those sold short.

 

(g) Other Investment Companies or Exchange Traded Funds – Certain Funds may invest up to 100% of their net assets in shares of affiliated and unaffiliated investment companies, including money market mutual funds, other mutual funds or exchange-traded funds (“ETFs”). An ETF generally is an open-end investment company, unit investment trust or a portfolio of securities deposited with a depository in exchange for depository receipts. ETFs provide investors the opportunity to buy or sell throughout the day an entire portfolio of securities in a single security. Although index mutual funds are similar to index-based ETFs, they are generally sold and redeemed only once per day at market close. The ETFs in which a Fund invests may be subject to liquidity risk. Liquidity risk exists when particular investments are difficult to purchase or sell, possibly preventing the sale of the security at an advantageous time or price. To the extent that the ETFs in which a Fund invests hold securities of companies with smaller market capitalizations or securities with substantial market risk, they will have a greater exposure to liquidity risk. In addition, ETFs are subject to the following risks that do not apply to conventional mutual funds that can be found in “Exchange-Traded Funds” below: (1) the market price of the ETF’s shares may trade at a discount to their net asset value; (2) an active trading market for an ETF’s shares may not develop or be maintained; or (3) trading of an ETF’s shares may be halted if the listing exchange deem such action appropriate, the shares are de-listed from the exchange, or the activation of market-wide “circuit breakers” (which are tied to large decreases in stock prices) halts stock trading generally. Additionally, ETFs have management fees, which increase their cost. In addition to the advisory and operational fees a Fund bears directly in connection with its own operation, the Fund also bears its pro rata portion of the advisory and operational expenses incurred indirectly through investments in other investment companies.

61

 

CONSOLIDATED NOTES TO FINANCIAL STATEMENTS

Year Ended August 31, 2021 (Continued)

 

The derivatives are not accounted for as hedging instruments under GAAP. The effect of derivative instruments on the Statements of Assets and Liabilities at August 31, 2021, were as follows:

 

Fund  Derivative  Risk Type  Location of derivatives on Statements
of Assets and Liabilities		  Fair value of asset/liability
derivatives		 
Easterly Global Macro Fund     
   Forward Exchange Contracts  Foreign Exchange  Unrealized appreciation on forward currency contracts  $1,177,379 
   Forward Exchange Contracts  Foreign Exchange  Unrealized depreciation on forward currency exchange contracts   (1,171,974)
   Swap Contracts  Equity  Unrealized appreciation on swaps   868,442 
         Totals  $873,847 
               
Easterly Global Real Estate Fund     
   Forward Exchange Contracts  Foreign Exchange  Unrealized appreciation on forward currency exchange contracts  $11,424,604 
   Forward Exchange Contracts  Foreign Exchange  Unrealized depreciation on forward currency exchange contracts  $(11,414,941)
         Totals  $9,663 
               
Easterly Multi Strategy Alternative Income Fund     
   Forward Exchange Contracts  Foreign Exchange  Unrealized appreciation on forward currency contracts  $44,823 
   Forward Exchange Contracts  Foreign Exchange  Unrealized depreciation on forward currency exchange contracts  $(44,788)
         Totals  $35 
               
Easterly Hedged Equity Fund     
   Call options purchased  Equity  Investments, at value  $77,000 
   Put options purchased  Equity  Investments, at value  $730,800 
   Call options written  Equity  Options written   (491,838)
   Put options written  Equity  Options written   (268,125)
         Totals  $47,837 

62

 

CONSOLIDATED NOTES TO FINANCIAL STATEMENTS

Year Ended August 31, 2021 (Continued)

 

The effect of derivative instruments on the Statements of Operations for the year ended August 31, 2021, were as follows:

 

Fund  Derivative  Location of gain (loss) on derivatives  Risk Type  Realized and unrealized gain (loss)
on derivatives		 
Easterly Global Macro Fund     
   Swaps Contracts     
      Net realized loss on swaps     
         Equity  $(19,202)
      Net change in unrealized appreciation on swaps     
         Equity  $654,774 
               
   Forward Currency Contracts     
      Net realized loss on Investments and foreign currency translations     
         Foreign Exchange  $(11,204)
      Net change in unrealized appreciation on investments and foreign currency transactions     
         Foreign Exchange  $4,328 
Easterly Global Real Estate Fund     
   Forward Currency Contracts     
      Net realized loss on Investments and foreign currency translations     
         Foreign Exchange  $(263,421)
      Net change in unrealized appreciation on investments and foreign currency transactions     
         Foreign Exchange  $95,670 
         Totals  $(167,751)
Easterly Multi Strategy Alternative Income Fund     
   Options     
      Net realized loss on options purchased     
         Equity  $(23,629)
      Net realized gain on options written     
         Equity   354 
         Totals  $(23,275)
   Forward Currency Contracts     
      Net realized loss from investments and foreign currency transactions     
         Foreign Exchange  $(286)
      Net change in unrealized appreciation on investments and foreign currency transactions     
         Foreign Exchange  $2,166 
Easterly Hedged Equity Fund     
   Options     
      Net realized loss on options purchased     
         Equity  $(17,248,547)
      Net realized gain on options written     
         Equity   6,756,643 
         Totals  $(10,491,904)
      Net change in unrealized depreciation on options purchased     
         Equity   (622,519)
      Net change in unrealized appreciation on options written     
         Equity   703,906 
         Totals  $81,387 
   Swaps     
      Net realized gain on swaps        
         Equity  $5,311,082 
      Net change in unrealized appreciation on swaps     
         Equity  $— 
               
         Totals  $5,311,082 
Easterly Hedged High Income Fund     
   Futures     
      Net realized gain from futures contracts     
         Interest Rate  $102,538 
      Net change in unrealized appreciation on futures contracts     
         Interest Rate  $14,918 
   Swaps     
      Net realized loss from swaps     
         Interest Rate  $(537,911)
      Net change in unrealized appreciation on swaps     
         Interest Rate  $236,378 
               
   Forward Contracts     
      Net realized loss from forward contracts     
         Foreign Exchange  $(28,091)
      Net change in unrealized appreciation on forward contracts     
         Foreign Exchange  $4,753 

 

The amounts of realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed in the Statements of Operations serve as indicators of the volume of derivative activity for the Funds.

63

 

CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
Year Ended August 31, 2021 (Continued)

 

4.AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS

 

The identified cost of investments in securities owned by each Fund for federal income tax purposes, and its respective gross unrealized appreciation and depreciation at August 31, 2021, were as follows:

 

       Gross   Gross   Net Unrealized 
   Tax   Unrealized   Unrealized   Appreciation/ 
   Cost   Appreciation   Depreciation   (Depreciation) 
Easterly Global Macro Fund   6,374,152    236,730    (73,862)   162,868 
Easterly Global Real Estate Fund   1,015,891,819    18,791,755    (143,732,419)   (124,940,664)
Easterly Multi Strategy Alternative Income Fund   9,964,157    2,005,337    (1,637,538)   367,799 
Easterly Hedged Equity Fund   37,869,418    11,496,692    (98,233)   11,398,459 
Easterly Hedged High Income Fund   1,491,407    102,401    (95,495)   6,906 

 

5.DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

 

The tax character of dividends paid during the periods ended August 31, 2021 and August 31, 2020 (for the period ended December 31, 2020 and December 31, 2019 for the Easterly Global Real Estate Fund) was as follows:

 

For fiscal year ended  Ordinary   Long-Term   Return of     
8/31/2021  Income   Capital Gains   Capital   Total 
Easterly Global Macro Fund   —    —    —    — 
Easterly Global Real Estate Fund   73,730,837    —    —    73,730,837 
Easterly Multi Strategy Alternative Income Fund   299,447    951,227    —    1,250,674 
Easterly Hedged Equity Fund   3,431,166    —    —    3,431,166 
Easterly Hedged High Income Fund   787,864    —    121,174    909,038 

 

For fiscal year ended  Ordinary   Long-Term   Return of     
8/31/2020  Income   Capital Gains   Capital   Total 
Easterly Global Macro Fund   864,105    —    5,035    869,140 
Easterly Global Real Estate Fund   98,979,566    —    —    98,979,566 
Easterly Multi Strategy Alternative Income Fund   45,489    376,771    —    422,260 
Easterly Hedged Equity Fund   1,016,443    124,780    —    1,141,223 
Easterly Hedged High Income Fund   1,729,599    —    199,322    1,928,921 

 

As of each of the Fund’s tax year-ended August 31, 2021 (except for the Easterly Global Real Estate Fund in which its December 31, 2020 components of distributable earnings have been adjusted for August 31, 2021 activity), the components of distributable earnings on a tax basis were as follows:

 

   Undistributed   Undistributed   Post October Loss   Capital Loss   Other   Unrealized   Total 
   Ordinary   Long-Term   and   Carry   Book/Tax   Appreciation/   Accumulated 
   Income   Capital Gains   Late Year Loss   Forwards   Differences   (Depreciation)   Earnings/(Deficits) 
Easterly Global Macro Fund   772,267    —    —    (1,848,795)   (903,529)   162,872    (1,817,185)
Easterly Global Real Estate Fund   33,267,347    161,379    —    —    —    (124,938,781)   (91,510,055)
Easterly Multi Strategy Alternative Income Fund   24,862    786,004    —    —    —    369,503    1,180,369 
Easterly Hedged Equity Fund   5,283,529    —    (10,729,760)   (2,010,185)   (83)   11,398,459    3,941,960 
Easterly Hedged High Income Fund   —    —    (1,704,106)   (2,392,621)   —    6,906    (4,089,821)

 

The difference between book basis and tax basis unrealized appreciation (depreciation), undistributed net investment income and accumulated net realized gain from security transactions are primarily attributable to the tax deferral of losses on wash sales, adjustments for a wholly owned subsidiary, mark-to-market on open forward foreign currency contracts, swap contracts and passive foreign investment companies, adjustments for real estate investment trusts, partnerships and C-Corporations adjustments. The unrealized appreciation (depreciation) in the table above includes unrealized foreign currency gains of $4, $1,883 and $1,704 for Easterly Global Macro Fund, Easterly Global Real Estate Fund and Easterly Multi Strategy Alternative Income Fund, respectively.

 

Capital losses incurred after October 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Funds below incurred and elected to defer such capital losses as follows:

 

   Post October 
   Losses 
Easterly Global Macro Fund   — 
Easterly Global Real Estate Fund   — 
Easterly Multi Strategy Alternative Income Fund   — 
Easterly Hedged Equity Fund   10,729,760 
Easterly Hedged High Income Fund   1,704,106 

64

 

CONSOLIDATED NOTES TO FINANCIAL STATEMENTS
Year Ended August 31, 2021 (Continued)

 

6.UNDERLYING INVESTMENTS IN OTHER INVESTMENT COMPANIES

 

Each underlying fund, including each exchange-traded fund (“ETF”), is subject to specific risks, depending on the nature of the underlying fund. These risks could include liquidity risk, sector risk, foreign and related currency risk, as well as risks associated with real estate investments and commodities. Investors in the Fund will indirectly bear fees and expenses charged by the underlying investment companies in which the Fund invests in addition to the Fund’s direct fees and expenses.

 

The performance of the Easterly Global Macro Fund will be directly affected by the performance of the Easterly Structured Credit Value Fund. The Fund seeks to provide a high level of risk-adjusted current income and capital appreciation with a secondary objective of capital appreciation. The financial statements of the Easterly Structured Credit Value Fund, including the schedule of investments, can be found on the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the Fund’s financial statements. As of August 31, 2021, the percentage of net assets invested in the Easterly Structured Credit Value Fund was 33.2%.

 

The performance of the Easterly Hedged Equity Fund will be directly affected by the performance of the SPDR S&P 500 ETF Trust. The Trust seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of the S&P 500 Index. The financial statements of the SPDR S&P 500 ETF Trust, including the schedule of investments, can be found on the Securities and Exchange Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the Fund’s financial statements. As of August 31, 2021, the percentage of net assets invested in the SPDR S&P 500 ETF Trust was 91.0%.

 

7.BENEFICIAL OWNERSHIP (Unaudited)

 

The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a Fund creates a presumption of control of the Fund under Section 2(a)(9) of the 1940 Act. As of August 31, 2021, the below entities held more than 25% of the voting securities for each of the Funds listed.

 

       National       The Dennis & 
   Denis   Financial   LPL   Britta Nayden 
   Nayden   Services *   Financial *   Gifting Trust 
Easterly Global Macro Fund   25.84%   57.53%   —    — 
Easterly Multi Strategy Alternative Income Fund   —    —    —    77.33%
Easterly Hedged Equity Fund   —    56.69%   —    — 
Easterly Hedged High Income Fund   —    35.04%   34.25%   — 

 

*Comprised of multiple investors and accounts

 

8.NEW ACCOUNTING PRONOUNCEMENTS

 

In March 2020, FASB issued ASU 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting (’‘ASU 2020-04’’). The amendments in ASU 2020-04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any of applying this ASU.

 

In October 2020, the Securities and Exchange Commission (“SEC”) adopted new regulations governing the use of derivative 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 Funds. 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 Funds’ use of derivatives.

 

In December 2020, the Securities and Exchange Commission (“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.

 

9.SUBSEQUENT EVENTS

 

Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has determined that no events or transactions occurred requiring adjustment or disclosure in the financial statements other than the following. Effective October 13, 2021 the Easterly Hedged High Income has been liquidated and dissolved.

65

 

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Shareholders and Board of Trustees 

of James Alpha Funds Trust d/b/a Easterly 

Funds Trust

 

Opinion on the Financial Statements

 

We have audited the accompanying consolidated statements of assets and liabilities of the Easterly Global Macro Fund (formerly James Alpha Macro Portfolio), a series of the James Alpha Funds Trust d/b/a Easterly Funds Trust (the “Trust”), including the consolidated schedule of investments as of August 31, 2021, and the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets for the two years in the period then ended and the consolidated financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the “consolidated financial statements”).

 

We have also audited the accompanying statements of assets and liabilities of Easterly Global Real Estate Fund (formerly James Alpha Global Real Estate Portfolio), Easterly Multi Strategy Alternative Income Fund (formerly James Alpha Multi Strategy Alternative Income Portfolio), Easterly Hedged Equity Fund (formerly James Alpha Managed Risk Domestic Equity Portfolio) and Easterly Hedged High Income Fund (formerly James Alpha Hedged High Income Portfolio), (collectively, along with Easterly Global Macro Fund, referred to as the “Funds”) each a series of the James Alpha Funds Trust d/b/a Easterly Funds Trust, including the schedules of investments, as of August 31, 2021, the related statements of operations, the statement of changes in net assets for the two years in the period then ended and the financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of August 31, 2021, the results of their operations, the changes in their net assets and their financial highlights for the periods indicated thereon, in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

 

These consolidated financial statements and financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ consolidated financial statements and financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We have served as the auditor of one or more of the funds in the Trust since 2011.

 

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

66

 

To the Shareholders and Board of Trustees 

of James Alpha Funds Trust d/b/a Easterly 

Funds Trust 

Page Two

 

Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements and financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements and financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements and financial statements. Our procedures included confirmation of securities owned as of August 31, 2021 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

 

  TAIT, WELLER & BAKER LLP

 

Philadelphia, Pennsylvania 

October 29, 2021 

67

 

SUPPLEMENTAL INFORMATION (Unaudited)

 

Shareholders of funds will pay ongoing expenses, such as advisory fees, distribution and services fees (12b-1 fees), and other fund expenses. The following examples are intended to help the shareholder understand the ongoing cost (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note, the expenses shown in the tables are meant to highlight ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges (CDSCs) on redemptions.

 

This example is based on an investment of $1,000 invested at the beginning of the period and held for the six-month period from March 1, 2021, through August 31, 2021.

 

Actual Expenses: The first table provides information about actual account values and actual expenses. The shareholder may use the information in this line, together with the amount invested, to estimate the expenses that would be paid over the period. Simply divide 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 under the heading entitled “Expenses Paid” to estimate the expenses paid on the account during the period.

 

    Beginning Account   Ending Account   Expense Paid   Expense Ratio
    Value - 3/1/2021   Value - 8/31/2021   03/1/2021-8/31/2021*   [Annualized]
Actual Expenses:                
Easterly Global Macro Fund - Class I   1,000.00   1,030.20   7.58   1.48%
Easterly Global Macro Fund - Class R6   1,000.00   1,034.10   4.77   0.93%
Easterly Global Real Estate Fund - Class A   1,000.00   1,121.80   7.28   1.36%
Easterly Global Real Estate Fund - Class C   1,000.00   1,117.80   11.35   2.13%
Easterly Global Real Estate Fund - Class I   1,000.00   1,124.40   5.65   1.06%
Easterly Global Real Estate Fund - Class R6   1,000.00   1,125.10   5.07   0.95%
Easterly Multi Strategy Alternative Income Fund - Class A   1,000.00   1,053.40   11.55   2.23%
Easterly Multi Strategy Alternative Income Fund - Class C   1,000.00   1,048.20   15.39   2.98%
Easterly Multi Strategy Alternative Income Fund - Class I   1,000.00   1,054.00   10.26   1.98%
Easterly Multi Strategy Alternative Income Fund - Class R6   1,000.00   1,055.10   7.67   1.48%
Easterly Hedged Equity Fund - Class A   1,000.00   1,065.80   10.36   1.99%
Easterly Hedged Equity Fund - Class C   1,000.00   1,061.30   12.24   2.36%
Easterly Hedged Equity Fund - Class I   1,000.00   1,066.90   9.33   1.79%
Easterly Hedged Equity Fund - Class R6   1,000.00   1,069.30   6.99   1.34%
Easterly Hedged High Income Fund - Class A   1,000.00   1,005.70   12.04   2.38%
Easterly Hedged High Income Fund - Class C   1,000.00   1,002.90   15.05   2.98%
Easterly Hedged High Income Fund - Class I   1,000.00   1,008.00   9.32   1.84%
Easterly Hedged High Income Fund - Class R6   1,000.00   1,010.00   7.00   1.38%

68

 

SUPPLEMENTAL INFORMATION (Unaudited) (Continued)

 

Hypothetical Examples for Comparison Purposes: The second table below provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid for the period. This information may be used to compare the ongoing costs of investing in the fund and other mutual funds. To do so, a shareholder would compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other mutual funds.

 

    Beginning Account   Ending Account   Expense Paid   Expense Ratio
Hypothetical   Value - 3/1/2021   Value - 8/31/2021   03/1/2021-8/31/2021*   [Annualized]
[5% Return Before Expenses]                
Easterly Global Macro Fund - Class I   1,000.00   1,017.74   7.53   1.48%
Easterly Global Macro Fund - Class R6   1,000.00   1,020.51   4.74   0.93%
Easterly Global Real Estate Fund - Class A   1,000.00   1,018.35   6.92   1.36%
Easterly Global Real Estate Fund - Class C   1,000.00   1,014.49   10.79   2.13%
Easterly Global Real Estate Fund - Class I   1,000.00   1,019.88   5.37   1.06%
Easterly Global Real Estate Fund - Class R6   1,000.00   1,020.43   4.82   0.95%
Easterly Multi Strategy Alternative Income Fund - Class A   1,000.00   1,013.96   11.33   2.23%
Easterly Multi Strategy Alternative Income Fund - Class C   1,000.00   1,010.18   15.10   2.98%
Easterly Multi Strategy Alternative Income Fund - Class I   1,000.00   1,015.22   10.06   1.98%
Easterly Multi Strategy Alternative Income Fund - Class R6   1,000.00   1,017.74   7.53   1.48%
Easterly Hedged Equity Fund - Class A   1,000.00   1,015.17   10.11   1.99%
Easterly Hedged Equity Fund - Class C   1,000.00   1,013.33   11.95   2.36%
Easterly Hedged Equity Fund - Class I   1,000.00   1,016.18   9.10   1.79%
Easterly Hedged Equity Fund - Class R6   1,000.00   1,018.45   6.82   1.34%
Easterly Hedged High Income Fund - Class A   1,000.00   1,013.20   12.08   2.38%
Easterly Hedged High Income Fund - Class C   1,000.00   1,010.18   15.10   2.98%
Easterly Hedged High Income Fund - Class I   1,000.00   1,015.92   9.36   1.84%
Easterly Hedged High Income Fund - Class R6   1,000.00   1,018.24   7.03   1.38%

 

*Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the days in reporting period).

69

 

Supplemental Information (Unaudited) 

August 31, 2021

 

LIQUIDITY RISK MANAGEMENT PROGRAM

 

The Funds have adopted and implemented a written liquidity risk management program as required by Rule 22e-4 (the “Liquidity Rule”) under the Investment Company Act. The program is reasonably designed to assess and manage each Fund’s liquidity risk, taking into consideration, among other factors, each respective Fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions; its short and long-term cash flow projections; and its cash holdings and access to other funding sources.

 

During the fiscal period ended August 31, 2021, the Trust’s Liquidity Risk Management Program Committee (the “Committee”) reviewed the Funds’ investments and determined that the Funds held adequate levels of cash and highly liquid investments to meet shareholder redemption activities in accordance with applicable requirements. Accordingly, the Committee concluded that (i) the Funds’ liquidity risk management program is reasonably designed to prevent violations of the Liquidity Rule and (ii) the Funds’ liquidity risk management program has been effectively implemented. 

70

 

Supplemental Information (Unaudited) 

August 31, 2021

 

Board of Trustees (the “Board”) Meeting of January 8, 2021

 

On January 8, 2021, the Board of Trustees (the “Board”) of James Alpha Funds Trust d/b/a Easterly Funds Trust (the “Trust”), a Delaware business trust, met to consider, among other things, (i) the approval of the investment advisory agreements between the Trust and Easterly Funds LLC (the “Adviser”) on behalf of the Easterly Macro Fund, Easterly Global Real Estate Fund, Easterly Multi Strategy Alternative Income Fund, Easterly Hedged Equity Fund, and Easterly Hedged High Income Fund (each, a “Fund” and together the “Funds”), and (ii) the approval of sub-advisory agreements for sub-advisers (the “Sub-Advisers”) for certain Funds. The investment advisory agreements and the sub-advisory agreements collectively are referred to as the “Advisory Agreements.”

 

The Independent Trustees discussed the information received respecting (i) the nature, quality and scope of services provided by the Adviser and the Sub-Advisers; (ii) the investment performance of the Funds relative to comparable funds; (iii) the costs of services provided and profits realized by the Adviser; (iv) fees and expenses relative to other comparable funds; (v) the extent to which economies of scale are realized as the Funds grow and whether fee levels appropriately reflect economies of scale; and (vi) benefits realized by the Adviser from its relationship with the Funds.

 

The Independent Trustees received a memorandum from their independent legal counsel describing their duties in connection with advisory contract approvals and discussing the factors to be considered by the Board.

 

Nature, Extent and Quality of Services. In considering the approval of the Investment Management Agreements with the Adviser, the Board considered the nature, extent and quality of services that the Adviser will provide to the Funds, including the Adviser’s personnel and resources and the Adviser’s criteria for reviewing a Sub-Adviser’s performance. The Board reviewed the services the Adviser will provide in serving as investment adviser, including the backgrounds of the personnel providing the investment management services and compliance staff. The Board also reviewed information provided regarding the structure of portfolio manager compensation, trading and brokerage practices, soft dollar usage, risk management and compliance matters.

 

The Board noted that certain Funds employ a “manager of managers” structure, whereby the Adviser is responsible for selecting sub-advisers (subject to Board approval), allocating the Fund’s assets among them, and overseeing the sub-advisers’ day-to-day management of the Fund’s assets. The Board noted the responsibilities that the Adviser has as the Fund’s investment manager, including (1) overseeing the investment decisions of each of the Sub- Advisers and conduct ongoing performance reviews; (2) reviewing and monitoring the portfolio trading by the Sub-Advisers, including without limitation, trade allocation policies and procedures, best execution and the use of soft-dollars; (3) overseeing the Sub-Advisers’ compliance with prospectus limitations and other relevant investment restrictions; (4) coordinating communications with any Sub-Advisers; and (5) if deemed necessary, recommending to the Board changing one or more Sub-Advisers. The Board considered the investment management services that the Adviser will provide to the Cayman Islands based companies that are wholly owned by certain Funds (Cayman Subsidiaries). The Board concluded that the services the Adviser will provide are satisfactory.

 

In considering the approval of the Sub-Advisory Agreements, as applicable, between the Fund and the Fund’s respective Sub-Adviser(s), the Board considered the nature, extent and quality of services the Sub-Adviser will provide under the Sub-Advisory Agreement. The Board reviewed the services the Sub-Adviser will provide, the background of the investment professionals servicing the Fund, and the Sub-Adviser’s reputation, resources and investment approach. The Board also reviewed information provided regarding the structure of portfolio manager compensation, trading and brokerage practices, soft dollar usage, risk management and compliance matters. The Board concluded that the services each Sub-Adviser will provide are satisfactory.

 

Performance. The Board reviewed performance information that the Adviser provided for each corresponding Predecessor Fund compared to the performance of a Morningstar category average, for the year-to-date, one-, three-, and five-year periods, as applicable.

 

Easterly Global Real Estate Fund: The Board noted that Ranger became sub-adviser to the Predecessor Fund in November 2016 and that prior to that Ranger’s predecessor was the manager of the Predecessor Fund since August 2011. The Board noted that the Class I shares of the Predecessor Fund had outperformed its Morningstar category average for the year-to-date, one-, three- and five-year periods.

 

Easterly Macro Fund: The Board noted that the Adviser became the Adviser to the Predecessor Fund in December 2015. The Board noted that the Class I shares of the Predecessor Fund had outperformed its Morningstar category average for the year-to-date, one-, three- and five-year periods.

 

Easterly Multi Strategy Alternative Income Fund: The Board noted that the Adviser has been the Adviser to the Predecessor Fund since its inception in September 2014. The Board further noted that Ranger and Bullseye have sub-advised a portion of the Predecessor Fund since inception, Kellner has sub-advised a portion of the Predecessor Fund since May 2015, and Lazard, and its predecessor, has sub-advised a portion of the Predecessor Fund since November 2017. The Board noted that the Class I shares of the Predecessor Fund had outperformed its Morningstar category average for the year-to-date, one-, three- and five-year periods.

 

Easterly Hedged Equity Fund: The Board noted that the Adviser has been the Adviser, and EAB has been the sub-adviser, to the Predecessor Fund since its inception in July 2015. The Board noted that the Class I shares of the Predecessor Fund had outperformed its Morningstar category average for the year-to-date, one-, three- and five-year periods. 

71

 

Supplemental Information (Unaudited) (Continued) 

August 31, 2021

 

Easterly Hedged High Income Fund: The Board noted that the Adviser has been the Adviser to the Predecessor Fund since its inception in July 2016. The Board further noted that Concise and Amundi US have sub-advised a portion of the Predecessor Fund since inception, and Lazard, and its predecessor, has sub-advised a portion of the Predecessor Fund since September 2017. The Board noted that the Class I shares of the Predecessor Fund had outperformed its Morningstar category average for the three- and five-year period, and underperformed its Morningstar category average for the year-to-date and one-year periods.

 

Advisory and Sub-Advisory Fees and Fund Expenses. The Board reviewed each Fund’s proposed contractual advisory fee and estimated expense ratio and reviewed information comparing the contractual advisory fee and expense ratio to those of funds in a peer group (the “Peer Group”) and a Morningstar category. The Board noted that the Adviser has contractually agreed to waive fees and/or limit expenses of the Fund for two years from the closing of the Reorganization in an amount necessary to limit total annual operating expenses to a specified percentage of average daily net assets for each class of the Fund. The Board discussed the level of work involved in the Adviser’s oversight of the Funds, the Adviser’s ongoing quantitative and qualitative analysis of each Sub-Adviser (as applicable), and the other services that the Adviser would provide to the Funds. The Board also considered the investment management services that the Adviser will provide to the Cayman Subsidiaries for applicable Funds and the related fee waivers that were in place.

 

The Board considered each sub-advised Fund’s sub-advisory fee schedule. The Board noted that the fee schedule was negotiated at arm’s length between the Adviser and each Sub-Adviser, an unaffiliated third party. The Board also evaluated the reasonableness of the fee split between the Adviser and each Sub-Adviser. He further noted that certain Sub-Advisers had agreed to enter into an agreement to share with the Adviser the responsibility of limiting certain Fund’s operating expenses. Mr. Colandrea also reported that certain Sub-Advisers had entered into marketing and distribution support agreements whereby the Sub -Adviser had agreed to support the Adviser’s efforts to support marketing and distribution activities for certain Funds. The Board noted that, if not paid separately by the Sub-Adviser, fees paid under such agreements will reduce the amount of the fee payable by the Adviser to the Sub-Adviser. In this regard, they considered the nature and scope of the services provided by the Adviser, including (i) ongoing monitoring of performance, (ii) supervision of outside service providers, (iii) responding to questions from brokers and sub-advisers, and (iv) research of Sub-Advisers and potential replacement Sub-Advisers to present to the Board for their consideration. The Board also took note of the Adviser’s representation that with respect to the more complex Funds, these services are expected to be more resource intensive for the Adviser. The Board noted that the sub-advisory fees are paid by the Adviser to each Sub-Adviser and are not additional fees borne by the Funds. In light of the nature, quality and extent of services the Adviser and Sub-Advisers (as applicable) would provide, the Board concluded that each Fund’s proposed advisory fee and sub-advisory fee was reasonable.

 

Economies of Scale. The Board considered the extent to which economies of scale would be realized as each Fund grows and whether fee levels reflect a reasonable sharing of economies of scale for the benefit of Fund investors. The Board also considered that a Fund may benefit from economies of scale through contractual breakpoints in the Fund’s advisory fee schedule, which generally operate to reduce the Fund’s expense ratio as it grows in size. The Board noted that the Funds may also benefit from economies of scale through initial fee setting, fee waivers and expense reimbursements.

 

Profitability. The Board reviewed the profitability of the Adviser with respect to each Predecessor Fund on an individual fund-by-fund basis and in the aggregate. The Board considered the methodology for calculating profitability. Using such methodology, the Board considered the Funds expected to be profitable to the Adviser and the Funds that are not expected to be profitable to the Adviser at current levels of Predecessor Fund assets under management. The Board concluded that the estimated profitability of the Adviser in connection with the management of each Fund was not excessive given the nature, extent and quality of the services provided. The Board noted that the sub-advisory fee schedule was negotiated at arm’s length between the Adviser and each Sub-Adviser (as applicable), an unaffiliated third party.

 

Fallout Benefits. Because of its relationship with the Funds, the Adviser, Sub-Advisers, and their affiliates may derive ancillary benefits from Fund operations, including those derived from the allocation of Fund brokerage and the use of commission dollars to pay for research and other similar services (as applicable). The Board reviewed information provided by the Adviser and the Sub-Advisers as to any such benefits.

 

Conclusion. Based on all of the information considered and the conclusions reached, the Board determined that the compensation to be paid under the Advisory Agreement(s) for each Fund are fair and reasonable, and that the Advisory Agreements be approved for an initial two-year term.

72

 

SUPPLEMENTAL INFORMATION (Unaudited) 

August 31, 2021

 

TRUSTEES AND OFFICERS

 

The Trustees and executive officers of the Trust, and their principal occupations during the past five years, are set forth in the table below. Darrell Crate is an “interested person” of the Trust (as that term is defined in the 1940 Act) by virtue of their position as an officer of Easterly.

 

Name, Year of Birth, and
Address 		Position(s)
Held with
Trust 		Term*/
Length of
Time
Served

Principal

Occupation(s) During
Past 5 Years

Number of
Funds in
Fund Complex
Overseen 		Other
Directorships
Held by Trustee During
Past 5 Years
INTERESTED TRUSTEE:
Darrell Crate,
Year of Birth: 1967
515 Madison Avenue
24th Floor
New York, NY 10022 		President and Chairperson of the Board Since 2021

Chief Executive Officer of Easterly Funds LLC (May 2020 – Present) and Managing Principal of Easterly Asset Management LP

 

 9 Chairman of the Board and Director of Easterly Government Properties Inc. (May 2015 – Present); Chairman of the Board and Director of Easterly Acquisition Corp. (August 2015 to November 2018)
INDEPENDENT TRUSTEES:
David Knowlton,
Year of Birth: 1957
515 Madison Avenue
24th Floor
New York, NY 10022 		Trustee Since 2021 Managing Partner of Three Ocean Partners LLC 9 Director of Easterly Acquisition Corp. (August 2015 to November 2018)
Neil Medugno,
Year of Birth: 1957
515 Madison Avenue
24th Floor
New York, NY 10022 		Trustee Since 2021 Retired; Partner, Wellington Management Company LLP, Chief Financial Officer, Wellington Funds Group (investment management) (1994–2017) 9 Trustee of Six Circles Trust (July 2017 – Present)
Patricia Walker,
Year of Birth: 1966
515 Madison Avenue
24th Floor
New York, NY 10022 		Trustee Since 2021

Retired; Senior Advisor of Best Buy Co., Inc. (March 2020 – August 2020); President, Home and Services of Best Buy Co., Inc. (April 2016 – March 2020); Senior Managing Director of Accenture plc (July 2000 –April 2016)

 

 9 Director of BUILD Boston (June 2020 – Present)

73

 

SUPPLEMENTAL INFORMATION (Unaudited) (Continued) 

August 31, 2021

 

OFFICERS:
Michael Montague,
Year of Birth: 1975
515 Madison Avenue
24th Floor
New York, NY 10022 		Treasurer Since 2021 Chief Operating Officer of Easterly Funds LLC and James Alpha Management, LLC Not Applicable Not Applicable
Emile Molineaux,
Year of Birth: 1962
4221 North 203rd Street,
Ste. 100
Elkhorn, NE 68022 		Chief Compliance Officer Since 2021 Senior Compliance Officer (2011 – Present) Northern Lights Compliance Services, LLC Not Applicable Not Applicable
Chad Bitterman,
Year of Birth: 1972
4221 North 203rd Street,
Ste. 100
Elkhorn, NE 68022 		Anti-Money Laundering Compliance Officer Since 2021 Compliance Officer (2010 – Present) Northern Lights Compliance Services, LLC Not Applicable Not Applicable
Amaris Sahota,
Year of Birth: 1992
515 Madison Avenue
24th Floor
New York, NY 10022

Secretary Since 2021 Chief Operating Officer, Easterly Management Operations LLC (May 2021 – Present); Senior Management Consultant, The Poirier Group (2018 – 2021); Rotational Program, Sun Life Financial (2015 – 2018) Not Applicable Not Applicable
Eric Colandrea,
Year of Birth: 1974
515 Madison Avenue
24th Floor
New York, NY 10022 		Chief Legal Officer and Senior Vice President Since 2021 General Counsel of Easterly Funds LLC (May 2020 – Present) and Easterly Asset Management LP (February 2016 – Present) Not Applicable Not Applicable
Erik Naviloff,
Year of Birth: 1968
4221 North 203rd Street,
Ste. 100
Elkhorn, NE 68022 		Assistant Treasurer Since 2021 Vice President, Gemini Fund Services, LLC (2011 – present) Not Applicable Not Applicable
Timothy Burdick,
Year of Birth: 1986
4221 North 203rd Street,
Ste. 100
Elkhorn, NE 68022 		Assistant Secretary Since 2021 Assistant Vice President, Gemini Fund Services, LLC (2019 –present); Senior Program Compliance Manager, CJ Affiliate (2016 –2019) Not Applicable Not Applicable

 

*Each Trustee will serve an indefinite term until they resign or retire and/or their successor, if any, is duly elected and qualified. Officers of the Trust serve at the pleasure of the Board.

74

 

PRIVACY NOTICE

 

JAMES ALPHA FUNDS TRUST

 

March 2021

 

FACTS WHAT DOES JAMES ALPHA FUNDS TRUST DO WITH YOUR PERSONAL INFORMATION?
   
Why? Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some, but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.
   
What?

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

 

●    Social Security number and wire transfer instructions   

 

●    account transactions and transaction history   

 

●    investment experience and purchase history

 

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

   
How? All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons James Alpha Funds Trust chooses to share; and whether you can limit this sharing.
   
Reasons we can share your personal
information:		 Does James Alpha Funds Trust
share information?		 Can you limit
this sharing?

For our everyday business purposes -

such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus.

 YES NO

For our marketing purposes -

to offer our products and services to you.

 YES YES
For joint marketing with other financial companies. NO We don’t share

For our affiliates’ everyday business purposes -

information about your transactions and records.

 NO We don’t share

For our affiliates’ everyday business purposes -

information about your credit worthiness.

 NO We don’t share
For nonaffiliates to market to you NO We don’t share
     
QUESTIONS? Call (888) 814-8180    

75

 

What we do:
How does James Alpha Funds Trust
protect my personal information?

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

 

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

How does James Alpha Funds Trust
collect my personal information?

We collect your personal information, for example, when you

 

●    open an account or deposit money

 

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

 

●    seek advice about your investments

 

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

Why can’t I limit all sharing?

Federal law gives you the right to limit only:

 

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

 

●    affiliates from using your information to market to you.

 

●    sharing for nonaffiliates to market to you.

 

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

 
Definitions
Affiliates

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

 

●    James Alpha Funds Trust does not share with our affiliates.

Nonaffiliates

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

 

●    James Alpha Funds Trust does not share with nonaffiliates so they can market to you.

Joint marketing

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

 

●    James Alpha Funds Trust doesn’t jointly market.

76

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

How to Obtain Proxy Voting Information

 

Information regarding how the Portfolios voted proxies relating to portfolio securities during the most recent twelve month period ended June 30 as well as a description of the policies and procedures that the Portfolios use to determine how to vote proxies is available without charge, upon request, by calling 1-833-999-2636 or by referring to the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

How to Obtain 1st and 3rd Fiscal Quarter Portfolio Holdings

 

Funds file a complete schedule of portfolio holdings with the Securities and Exchange Commission (the “SEC”) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, within sixty days after the end of the period. Form N-PORT reports are available at the SEC’s website at www.sec.gov.

  

  

Easterly Funds-AR21

 

 

Item 2. Code of Ethics.

 

(a)       As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.

 

(b)        For purposes of this item, “code of ethics” means written standards that are reasonably designed to deter wrongdoing and to promote:

 

(1)Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;
(2)Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the Commission and in other public communications made by the registrant;

(3)        Compliance with applicable governmental laws, rules, and regulations;

(4)The prompt internal reporting of violations of the code to an appropriate person or persons identified in the code; and

(5)        Accountability for adherence to the code.

 

(c)        Amendments: During the period covered by the report, there have not been any amendments to the provisions of the code of ethics.

 

(d)        Waivers: During the period covered by the report, the registrant has not granted any express or implicit waivers from the provisions of the code of ethics.

 

Item 3. Audit Committee Financial Expert.

 

The Registrant’s board of trustees has determined that Neil Medugno is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mr. Medugno is independent for purposes of this Item 3.

 

Item 4. Principal Accountant Fees and Services.

 

(a) Audit Fees  2021
    
Easterly Global Macro Fund  $14,000 
Easterly Global Real Estate Fund  $38,500 
Easterly Multi Strategy Alternative Income Fund  $12,500 
Easterly Hedged Equity Fund  $16,500 
Easterly Hedged High Income Fund  $18,000 

 

 

(b) Audit-Related Fees   2021 
      
Easterly Global Macro Fund   None 
Easterly Global Real Estate Fund   None 
Easterly Multi Strategy Alternative Income Fund   None 
Easterly Hedged Equity Fund   None 
Easterly Hedged High Income Fund   None 

 

 

(c) Tax Fees  2021
    
Easterly Global Macro Fund  $3,000 
Easterly Global Real Estate Fund  $3,500 
Easterly Multi Strategy Alternative Income Fund  $3,000 
Easterly Hedged Equity Fund  $2,500 
Easterly Hedged High Income Fund  $2,500 

 

 

Preparation of Federal & State income tax returns, assistance with calculation of required income, capital gain and excise distributions and preparation of Federal excise tax returns.

 

(d) All Other Fees   2021 
      
Easterly Global Macro Fund   None 
Easterly Global Real Estate Fund   None 
Easterly Multi Strategy Alternative Income Fund   None 
Easterly Hedged Equity Fund   None 
Easterly Hedged High Income Fund   None 

 

(e) (1) Audit Committee’s Pre-Approval Policies

 

The registrant’s Audit Committee is required to pre-approve all audit services and, when appropriate, any non-audit services (including audit-related, tax and all other services) to the registrant. The registrant’s Audit Committee also is required to pre-approve, when appropriate, any non-audit services (including audit-related, tax and all other services) to its adviser, or any entity controlling, controlled by or under common control with the adviser that provides ongoing services to the registrant, to the extent that the services may be determined to have an impact on the operations or financial reporting of the registrant. Services are reviewed on an engagement by engagement basis by the Audit Committee.

 

 

(2) Percentages of Services Approved by the Audit Committee

 

Easterly Global Macro Fund  2021
Audit-Related Fees:  0.00%
Tax Fees:  0.00%
All Other Fees:  0.00%

 

Easterly Global Real Estate Fund  2021
Audit-Related Fees:  0.00%
Tax Fees:  0.00%
All Other Fees:  0.00%

 

Easterly Multi Strategy Alternative Income Fund  2021
Audit-Related Fees:  0.00%
Tax Fees:  0.00%
All Other Fees:  0.00%

 

Easterly Hedged Equity Fund  2021
Audit-Related Fees:  0.00%
Tax Fees:  0.00%
All Other Fees:  0.00%

 

Easterly Hedged High Income Fund  2021
Audit-Related Fees:  0.00%
Tax Fees:  0.00%
All Other Fees:  0.00%

 

(f)        During the audit of registrant's financial statements for the most recent fiscal year, less than 50 percent of the hours expended on the principal accountant's engagement were attributed to work performed by persons other than the principal accountant's full-time, permanent employees.

 

(g)        The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant:

   2021
Easterly Global Macro Fund  $3,000 
Easterly Global Real Estate Fund  $3,500 
Easterly Multi Strategy Alternative Income Fund  $3,000 
Easterly Hedged Equity Fund  $2,500 
Easterly Hedged High Income Fund  $2,500 

 

(h)        The registrant's audit committee has considered whether the provision of non-audit services to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant, that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, is compatible with maintaining the principal accountant's independence.

 

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

 

Item 6. Schedule of Investments. See Item 1.

 

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

open-end investment companies.

 

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

 

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. Not applicable to open-end investment companies.

 

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

 

Item 11. Controls and Procedures.

 

(a)       Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

(b)       Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) 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-Ended Management Investment Companies.

 

Not applicable

 

Item 13. Exhibits.

 

(a)(1) Code of Ethics filed herewith.

 

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

 

(a)(3) Not applicable.

 

(b) Certification(s) required by Section 906 of the Sarbanes-Oxley Act of 2002 (and Item 11(b) of Form N-CSR) are filed herewith.

 

 

 

SIGNATURES

 

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

 

(Registrant) James Alpha Funds Trust

 

By (Signature and Title)

* /s/ Darrell Crate

Darrell Crate, President and Chief Executive Officer

 

Date 11/5/21

 

 

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/ Michael Montague

Michael Montague, Treasurer and Principal Financial Officer

 

Date 11/5/21

 

By (Signature and Title)

* /s/ Darrell Crate

Darrell Crate, President and Chief Executive Officer

 

Date 11/5/21

 

* Print the name and title of each signing officer under his or her signature.