N-CSR 1 c105072_ncsr.htm CERTIFIED ANNUAL SHAREHOLDER REPORT

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: 811-07988

 

LORD ABBETT INVESTMENT TRUST

(Exact name of Registrant as specified in charter)

 

90 Hudson Street, Jersey City, New Jersey 07302-3973

(Address of principal executive offices) (Zip code)

 

Lawrence B. Stoller, Esq.
Vice President, Secretary, and Chief Legal Officer

90 Hudson Street, Jersey City, New Jersey 07302-3973

(Name and address of agent for service)

 

Registrant’s telephone number, including area code: (888) 522-2388

 

Date of fiscal year end: 11/30

 

Date of reporting period: 11/30/2022

 
Item 1: Report(s) to Shareholders.
 

 

LORD ABBETT
ANNUAL REPORT

 

Lord Abbett

 

Multi-Asset Balanced Opportunity Fund

Multi-Asset Income Fund

 

For the fiscal year ended November 30, 2022

   

Table of Contents

 

1   A Letter to Shareholders
     
10   Investment Comparisons
     
14   Information About Your Fund’s Expenses and Holdings Presented by Portfolio Allocation
     
    Schedules of Investments:
     
19   Multi-Asset Balanced Opportunity Fund
     
22   Multi-Asset Income Fund
     
25   Statements of Assets and Liabilities
     
27   Statements of Operations
     
28   Statements of Changes in Net Assets
     
30   Financial Highlights
     
38   Notes to Financial Statements
     
59   Report of Independent Registered Public Accounting Firm
     
60   Supplemental Information to Shareholders
   

 

 

Lord Abbett Investment Trust

Lord Abbett Multi-Asset Balanced Opportunity Fund
and Lord Abbett Multi-Asset Income Fund
Annual Report

For the fiscal year ended November 30, 2022

 

 

From left to right: James L.L. Tullis, Independent Chair of the Lord Abbett Funds and Douglas B. Sieg, Trustee, President, and Chief Executive Officer of the Lord Abbett Funds.

Dear Shareholders: We are pleased to provide you with this overview of the performance of the Funds for the fiscal year ended November 30, 2022. On this page and the following pages, we discuss the major factors that influenced fiscal year performance. For detailed and more timely information about the Funds, please visit our website at www.lordabbett.com, where you also can access the quarterly commentaries that provide updates on each Fund’s performance and other portfolio related updates.

Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.

 

Best regards,

 

Douglas B. Sieg

Trustee, President and Chief Executive Officer


 

Lord Abbett Multi-Asset Balanced Opportunity Fund

 

For the fiscal year ended November 30, 2022, the Fund returned -12.00%, reflecting performance at the net asset value (“NAV”) of Class A shares, with all distributions reinvested, compared to its benchmark, the Russell 1000® Index1, which returned -10.66% over the same period.

U.S. markets faced many challenges throughout the twelve-month period ending November 30, 2022, including the spread of the Omicron variant of COVID-19, supply chain dislocations, labor shortages, inflationary pressures, tighter fiscal and monetary policy, and Russia’s invasion of Ukraine. The Dow Jones Industrial Average was up 2.48% and the S&P 500® Index fell -9.21%, while the tech-heavy Nasdaq Composite lost


 

1

   

 

 

-25.59%. Value stocks2 significantly outperformed growth stocks3 (1.95% vs -21.59%), while large cap stocks4 outperformed small cap stocks5 (-10.66% vs -13.01%).

Within fixed income, rates spiked across the U.S. yield curve, causing softness in U.S. Treasuries6, which returned -12.46%. Investment grade corporate bonds7 also exhibited poor performance, returning -12.32% over the period as a combination of wider spreads and rising rates were both headwinds for the asset class. Although several macro headwinds led to increased recessionary fears in the U.S. economy, lower quality assets outperformed their higher quality counterparts given their more limited sensitivity to rate volatility. High yield bonds8 and leveraged loans9 returned -8.82% and -0.79%, respectively, over the period, outperforming investment grade corporates.

In November 2021, just prior to the start of the period, the World Health Organization designated the newly discovered Omicron variant as a “variant of concern”, leading to one of the largest selloffs of U.S. risk assets since the start of the pandemic, amid fears that the world would succumb to a new wave of infections. U.S. cases hit the highest levels of the pandemic in December, rising above 580,000 new cases in the last week of the month, more than doubling the previous record high. Yet, negative sentiment quickly reversed as cases proved to be

generally less severe than prior strains. Market sentiment also increased after the Center for Disease Control shortened its suggested isolation policy for those infected from 10 days to five.

Inflationary concerns began to take focus towards the end of 2021 and became a dominant story throughout the period. Headline consumer price index (CPI) readings had hovered a little above 5% year-over-year for most of 2021, which led investors to question whether this period of rising prices would be more persistent than originally thought. This debate was intensified by November’s headline consumer price index rising 6.8% year-over-year, the fastest pace since 1982. The sharp increase in prices was generally due to supply and demand imbalances across multiple industries, led initially by energy, food, and used cars. Inflation readings continued to climb throughout the first half of 2022, peaking at 9.1% year-over-year in June.

Energy costs were the primary driver of inflation for the period, rising more than 30% year-over-year by the end of June. The energy sector, which had been subject to rising consumer demand as global economies reopened from lockdowns induced by COVID-19, faced added friction with Russia’s invasion of Ukraine. Investors were concerned about the secondary effects of the war, particularly from a commodity and supply chain standpoint. Russia has been a large exporter of oil and certain minerals, and the various sanctions


 

2

   

 

 

set on Russia from Western nations led to a surge in commodity prices, with crude oil reaching over $100 per barrel for the first time since 2014.

The surge in prices forced the U.S. Federal Reserve (Fed) into a more aggressive approach to combating inflation. After remaining mostly consistent in its messaging that price pressures would likely be transitory, elevated and more persistent inflation pressures caused the Fed to move the target federal funds rate into more restrictive territory. This resulted in a 25-basis point (bps) hike in the federal funds rate at the March Federal Open Market Committee meeting, the first hike in more than three years. Five additional rate hikes of 50 bps, 75 bps, 75 bps, 75 bps, and 75 bps, respectively, followed in the succeeding months as inflation prints continued to come in hotter than expected, resulting in a federal funds rate of 4.00% by November 2, 2022. Bond yields shot up in response to this aggressive policy, leading to a bearish curve flattening and ultimately a yield curve inversion, as shorter-term yields moved higher than longer-term yields.

Separately, global markets faced increased geopolitical tensions due to Russia’s invasion of Ukraine on February 23rd. Tensions remained elevated for the remainder of the twelve-month period, as Russia continued to weaponize energy flows, annexed four Ukrainian regions, and ratcheted up its nuclear warnings. In addition, the rhetoric between the U.S. and China over Taiwan further heated up after

U.S. House of Representatives Speaker Nancy Pelosi visited Taiwan in August. China responded to the trip with large-scale military drills, which led to a pledge by U.S. President Joe Biden to defend the democratically governed island.

Key macroeconomic indicators mostly trended lower throughout the period, with the U.S. reporting negative gross domestic product of -1.6% in the first quarter of 2022 and -0.9% in the second quarter before returning to growth in the third quarter. Worries among investors that a recession was pending continued to grow, leading to a decline in consumer sentiment to lower levels than during the height of the COVID-19 pandemic and the global financial crisis of 2008 as measured by the consumer confidence index.

Despite rising recessionary signs, select bright spots in the U.S. economy supported the idea that a potential recession would be shallow. For example, one positive development was the peak inflation narrative, which included a 99 day stretch of declines in U.S. gasoline prices and October CPI coming in better than expected on both the headline and core numbers. In addition, apartment rents fell for the first time in nearly two years in July, and lumber prices declined by more than 70% from their March peak late in the third quarter, falling back to pre-COVID levels. The second quarter of 2022 earnings season also generated a lot of “better-than-feared” takeaways, including a common theme of relatively stable demand and pricing power


 

3

   

 

 

protecting margins. Third-quarter earnings were slightly below expectations but provided evidence of healthy consumer spending. Capital return and capital expenditures were also mentioned as relative bright spots as companies flagged easing labor shortages and supply chain constraints. The U.S. labor market also remained strong over the period, with the national unemployment rate at 3.7% as of the end of November.

The Fund is a “fund of funds” that invests in affiliated mutual funds managed by Lord Abbett. Under normal conditions, through the underlying funds, the Fund indirectly invests in U.S. equity securities across all market capitalization ranges and all investment styles, fixed income securities of various types, and select foreign (including emerging market) securities. The Fund tactically allocates its assets among these asset classes in response to market conditions or to seek to capitalize on investment opportunities.

Over the 12-month period ending November 30, 2022, the Fund’s allocation to domestic mid- and large-cap growth stocks within the Lord Abbett Growth Leaders Fund and the Lord Abbett Growth Opportunities Fund was the largest detractor from relative performance over the period. As a result of supply chain dislocations, labor shortages, inflationary pressures, tighter fiscal and monetary policy, and the war in Ukraine, high innovation small and midcap companies,

particularly those aggressively reinvesting in research and development to drive future revenues and earnings, underperformed lower growth, lower valuation names within the index during the period as the market has largely expressed a technical preference for companies with positive earnings today, compared to larger growth potential in the future.

The Fund’s allocation to high quality fixed income securities within the Lord Abbett Core Fixed Income Fund was also a notable detractor from relative performance over the period as rising interest rates caused longer duration securities to struggle relative to large cap stocks.

The Fund’s weightings in domestic mid- and large-cap value stocks within the Lord Abbett Fundamental Equity Fund, the Lord Abbett Focused Large Cap Value Fund, and the Lord Abbett Mid Cap Stock Fund were the largest contributors to relative performance. As mentioned above, given the macro environment, investors largely expressed a technical preference for companies with positive earnings today – which served as a tailwind for value-oriented sectors of the U.S. equity market.

The Fund’s allocation to inflation-linked derivatives, bank loans, and other short maturity fixed income securities within the Lord Abbett Floating Rate Fund, the Lord Abbett Inflation Focused Fund, and the Lord Abbett Short Duration Income Fund was also a notable contributor to


 

4

   

 

 

relative performance as red-hot inflation readings, rising interest rates, and a hawkish Fed stance drove demand for inflation-protected securities and securities with floating rate coupons, as well as securities with shorter maturities.

 

Lord Abbett Multi-Asset Income Fund

 

For the fiscal year ended November 30, 2022, the Fund returned -11.23%, reflecting performance at the net asset value (“NAV”) of Class A shares with all distributions reinvested, compared to its benchmark, the Bloomberg U.S. Aggregate Bond Index10, which returned -12.84% over the same period.

U.S. markets faced many challenges throughout the twelve-month period ending November 30, 2022, including the spread of the Omicron variant of COVID-19, supply chain dislocations, labor shortages, inflationary pressures, tighter fiscal and monetary policy, and Russia’s invasion of Ukraine. The Dow Jones Industrial Average was up 2.48% and the S&P 500® Index fell -9.21%, while the tech-heavy Nasdaq Composite lost -25.59%. Value stocks2 significantly outperformed growth stocks3 (1.95% vs -21.59%), while large cap stocks4 outperformed small cap stocks5 (-10.66% vs -13.01%).

Within fixed income, rates spiked across the U.S. yield curve, causing softness in U.S. Treasuries6, which returned -12.46%. Investment grade

corporate bonds7 also exhibited poor performance, returning -12.32% over the period as a combination of wider spreads and rising rates were both headwinds for the asset class. Although several macro headwinds led to increased recessionary fears in the U.S. economy, lower quality assets outperformed their higher quality counterparts given their more limited sensitivity to rate volatility. High yield bonds8 and leveraged loans9 returned -8.82% and -0.79%, respectively, over the period, outperforming investment grade corporates.

In November 2021, just prior to the start of the period, the World Health Organization designated the newly discovered Omicron variant as a “variant of concern”, leading to one of the largest selloffs of U.S. risk assets since the start of the pandemic, amid fears that the world would succumb to a new wave of infections. U.S. cases hit the highest levels of the pandemic in December, rising above 580,000 new cases in the last week of the month, more than doubling the previous record high. Yet, negative sentiment quickly reversed as cases proved to be generally less severe than prior strains. Market sentiment also increased after the Center for Disease Control shortened its suggested isolation policy for those infected from 10 days to five.

Inflationary concerns began to take focus towards the end of 2021 and became a dominant story throughout the period.


 

5

   

 

 

Headline consumer price index (CPI) readings had hovered a little above 5% year-over-year for most of 2021, which led investors to question whether this period of rising prices would be more persistent than originally thought. This debate was intensified by November’s headline consumer price index rising 6.8% year-over-year, the fastest pace since 1982. The sharp increase in prices was generally due to supply and demand imbalances across multiple industries, led initially by energy, food, and used cars. Inflation readings continued to climb throughout the first half of 2022, peaking at 9.1% year-over-year in June.

Energy costs were the primary driver of inflation for the period, rising more than 30% year-over-year by the end of June. The energy sector, which had been subject to rising consumer demand as global economies reopened from lockdowns induced by COVID-19, faced added friction with Russia’s invasion of Ukraine. Investors were concerned about the secondary effects of the war, particularly from a commodity and supply chain standpoint. Russia has been a large exporter of oil and certain minerals, and the various sanctions set on Russia from Western nations led to a surge in commodity prices, with crude oil reaching over $100 per barrel for the first time since 2014.

The surge in prices forced the U.S. Federal Reserve (Fed) into a more aggressive approach to combating inflation. After remaining mostly consistent in its messaging that price pressures would likely

be transitory, elevated and more persistent inflation pressures caused the Fed to move the target federal funds rate into more restrictive territory. This resulted in a 25-basis point (bps) hike in the federal funds rate at the March Federal Open Market Committee meeting, the first hike in more than three years. Five additional rate hikes of 50 bps, 75 bps, 75 bps, 75 bps, and 75 bps, respectively, followed in the succeeding months as inflation prints continued to come in hotter than expected, resulting in a federal funds rate of 4.00% by November 2, 2022. Bond yields shot up in response to this aggressive policy, leading to a bearish curve flattening and ultimately a yield curve inversion, as shorter-term yields moved higher than longer-term yields.

Separately, global markets faced increased geopolitical tensions due to Russia’s invasion of Ukraine on February 23rd. Tensions remained elevated for the remainder of the twelve-month period, as Russia continued to weaponize energy flows, annexed four Ukrainian regions, and ratcheted up its nuclear warnings. In addition, the rhetoric between the U.S. and China over Taiwan further heated up after U.S. House of Representatives Speaker Nancy Pelosi visited Taiwan in August. China responded to the trip with large-scale military drills, which led to a pledge by U.S. President Joe Biden to defend the democratically governed island.


 

6

   

 

 

Key macroeconomic indicators mostly trended lower throughout the period, with the U.S. reporting negative gross domestic product of -1.6% in the first quarter of 2022 and -0.9% in the second quarter before returning to growth in the third quarter. Worries among investors that a recession was pending continued to grow, leading to a decline in consumer sentiment to lower levels than during the height of the COVID-19 pandemic and the global financial crisis of 2008 as measured by the consumer confidence index.

Despite rising recessionary signs, select bright spots in the U.S. economy supported the idea that a potential recession would be shallow. For example, one positive development was the peak inflation narrative, which included a 99 day stretch of declines in U.S. gasoline prices and October CPI coming in better than expected on both the headline and core numbers. In addition, apartment rents fell for the first time in nearly two years in July, and lumber prices declined by more than 70% from their March peak late in the third quarter, falling back to pre-COVID levels. The second quarter of 2022 earnings season also generated a lot of “better-than-feared” takeaways, including a common theme of relatively stable demand and pricing power protecting margins. Third-quarter earnings were slightly below expectations but provided evidence of healthy consumer spending.

Capital return and capital expenditures were also mentioned as relative bright spots as companies flagged easing labor shortages and supply chain constraints. The U.S. labor market also remained strong over the period, with the national unemployment rate at 3.7% as of the end of November.

The Fund is a “fund of funds” that invests in affiliated mutual funds managed by Lord Abbett. Under normal conditions, through the underlying funds, the Fund indirectly invests in fixed income securities of various types, select U.S. equity securities across all market capitalization ranges and all investment styles, and foreign (including emerging market) securities. The Fund tactically allocates its assets among these asset classes in response to market conditions or to seek to capitalize on investment opportunities.

Over the 12-month period ending November 30, 2022, the Fund’s weightings in domestic mid- and large-cap value stocks within the Lord Abbett Fundamental Equity Fund, the Lord Abbett Focused Large Cap Value Fund, and the Lord Abbett Mid Cap Stock Fund were the largest contributors to relative performance, as value-oriented stocks were largely more resilient than longer-duration, high quality fixed income securities amid the rising interest rate environment.


 

7

   

 

 

The Fund’s allocation to inflation-linked derivatives and other short maturity fixed income securities within the Lord Abbett Inflation Focused Fund and the Lord Abbett Ultra Short Bond Fund was also a notable contributor to relative performance as red-hot inflation readings, rising interest rates, and a hawkish Fed stance drove demand for inflation-protected securities and shorter maturity securities.

The Fund’s allocation to U.S. mid- and large-cap growth stocks within the Lord Abbett Growth Leaders Fund and the Lord Abbett Growth Opportunities Fund was the largest detractor from

relative performance over the period. As a result of supply chain dislocations, labor shortages, inflationary pressures, less accommodative fiscal and monetary policy, and geopolitical tensions, growth-oriented sectors of the U.S. equity market largely underperformed high quality fixed income sectors during the period.

Each Fund’s portfolio is actively managed and, therefore, holdings and the weightings of a particular issuer or particular sector as a percentage of portfolio assets are subject to change. Sectors may include many industries.


 

1  The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000® Index.

2   As represented by the Russell 3000® Value Index as of 11/30/2022.

3   As represented by the Russell 3000® Growth Index as of 11/30/2022.

4   As represented by the Russell 1000® Index as of 11/30/2022.

5   As represented by the Russell 2000® Index as of 11/30/2022.

6  As represented by the U.S. Treasury component of the Bloomberg U.S. Government Index as of 11/30/2022.

7   As represented by the Bloomberg US Corp Investment Grade Index as of 11/30/2022.

8   As represented by the ICE BofA U.S. High Yield Constrained Index as of 11/30/2022.

9 As represented by the Credit Suisse Leveraged Loan Index as of 11/30/2022.

10 The Bloomberg U.S. Aggregate Bond Index is an index of U.S dollar-denominated, investment-grade U.S. government and corporate securities, and mortgage pass-through securities, and asset-backed securities. Indexes are unmanaged, do not reflect the

deduction of fees or expenses, and an investor cannot invest directly in an index.

 

Unless otherwise specified, indexes reflect total return, with all dividends reinvested. Indexes are unmanaged, do not reflect the deduction of fees or expenses, and are not available for direct investment.

 

Important Performance and Other Information

Performance data quoted in the following pages reflect past performance and are no guarantee of future results. Current performance may be higher or lower than the performance quoted. The investment return and principal value of an investment in the Funds will fluctuate so that shares, on any given day or when redeemed, may be worth more or less than their original cost. You can obtain performance data current to the most recent month end by calling Lord Abbett at 888-522-2388 or referring to www.lordabbett.com.

 

Except where noted, comparative Fund performance does not account for the deduction of sales charges and would be different if sales charges were included. Each Fund offers classes of shares with distinct pricing options. For a full description of the differences in pricing alternatives, please see each Fund’s prospectus.


 

8

   

 

 

During certain periods shown, expense waivers and reimbursements were in place. Without such waivers and expense reimbursements, the Funds’ returns would have been lower.

 

The annual commentary above discusses the views of the Funds’ management and various portfolio holdings of the Funds as of November 30, 2022. These views and portfolio holdings may have changed after this date. Information provided in the commentary is not a recommendation to buy or sell securities. Because the Funds’ portfolios are actively managed and may change significantly, the Funds may no longer own the securities described above or may

have otherwise changed their positions in the securities. For more recent information about the Funds’ portfolio holdings, please visit www.lordabbett.com.

 

A Note about Risk: See Notes to Financial Statements for a discussion of investment risks. For a more detailed discussion of the risks associated with each Fund, please see each Fund’s prospectus.

 

Mutual funds are not insured by the FDIC, are not deposits or other obligations of, or guaranteed by, banks, and are subject to investment risks including possible loss of principal amount invested.


 

9

   

Multi-Asset Balanced Opportunity Fund

Investment Comparison

 

Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Russell 1000® Index, 40% Russell 1000® Index/30% Bloomberg U.S. Aggregate Bond Index/20% ICE BofA U.S. High Yield Constrained Index/10% MSCI EAFE® Index with Gross Dividends and the Morningstar Allocation 50-70% Equity Category Average, assuming reinvestment of all dividends and distributions. The performance of the other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett and reimbursed by the Underlying Funds; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower. Past performance is no guarantee of future results.

 

 

10

 

 

 

Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended November 30, 2022

    1 Year   5 Year   10 Year   Life of Class  
Class A4   -13.97%   4.15%   6.16%    
Class C5   -13.35%   3.85%   5.61%    
Class F6   -11.88%   4.80%   6.57%    
Class F37   -11.64%   4.99%     5.60%  
Class I6   -11.78%   4.88%   6.67%    
Class P6   -12.17%   4.42%   6.20%    
Class R26   -12.29%   4.27%   6.03%    
Class R36   -12.17%   4.39%   6.15%    
Class R48   -12.00%   4.63%     4.99%  
Class R58   -11.69%   4.91%     5.27%  
Class R68   -11.73%   4.96%     5.30%  

 

1  Reflects the deduction of the maximum initial sales charge of 2.25%.

2  Performance for the unmanaged index does not reflect any fees or expenses. The performance of the index is not necessarily representative of the Fund’s performance.

3 Source: Morningstar, Inc. The performance of the average is not necessarily representative of the Fund’s performance.

4  Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 2.25% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended

November 30, 2022, is calculated using the SEC-required uniform method to compute such return.

5  The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.

6  Performance is at net asset value.

7 Commenced operations and performance for the class began on April 4, 2017. Performance is at net asset value.

8  Commenced operations and performance for the class began on June 30, 2015. Performance is at net asset value.


 

11

 

Multi-Asset Income Fund

Investment Comparison

 

Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Bloomberg U.S. Aggregate Bond Index, 45% Bloomberg U.S. Aggregate Bond Index/25% ICE BofA U.S. High Yield Constrained Index/20% Russell 1000® Index/10% MSCI EAFE® Index with Gross Dividends and the Morningstar Allocation 30-50% Equity Category Average, assuming reinvestment of all dividends and distributions. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett and reimbursed by the Underlying Funds; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower. Past performance is no guarantee of future results.

 

 

12

 

 

 

Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended November 30, 2022

    1 Year   5 Year   10 Year   Life of Class  
Class A4   -13.23%   2.59%   4.30%    
Class C5   -12.76%   2.30%   3.75%    
Class F6   -11.10%   3.21%   4.69%    
Class F37   -10.98%   3.38%     4.04%  
Class I6   -11.02%   3.33%   4.79%    
Class R26   -11.54%   2.71%   4.17%    
Class R36   -11.46%   2.80%   4.27%    
Class R48   -11.23%   3.06%     3.71%  
Class R58   -11.02%   3.32%     3.97%  
Class R68   -10.98%   3.38%     4.02%  

 

1   Reflects the deduction of the maximum initial sales charge of 2.25%.

2   Performance for the unmanaged index does not reflect any fees or expenses. The performance of the index is not necessarily representative of the Fund’s performance.

3  Source: Morningstar, Inc. The performance of the average is not necessarily representative of the Fund’s performance.

4   Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 2.25% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended

November 30, 2022, is calculated using the SEC-required uniform method to compute such return.

5   The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance for other periods is at net asset value.

6   Performance is at net asset value.

7  Commenced operations and performance for the class began on April 4, 2017. Performance is at net asset value.

8   Commenced operations and performance for the class began on June 30, 2015. Performance is at net asset value.


 

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Expense Example

 

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (these charges vary among the share classes); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (these charges vary among the share classes); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2022 through November 30, 2022).

 

Actual Expenses

For each class of each Fund, the first line of the applicable table on the following pages provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses Paid During Period 6/1/22 – 11/30/22” to estimate the expenses you paid on your account during this period.

 

Hypothetical Example for Comparison Purposes

For each class of each Fund, the second line of the applicable table on the following pages 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 you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

 

14

 

Multi-Asset Balanced Opportunity Fund

 

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

   Beginning
Account
Value
  Ending
Account
Value
  Expenses
Paid During
Period†#
 
   6/1/22  11/30/22  6/1/22 -
11/30/22
 
Class A                 
Actual    $1,000.00     $970.80         $2.47      
Hypothetical (5% Return Before Expenses)  $1,000.00   $1,022.56   $2.54   
Class C                 
Actual  $1,000.00   $966.70   $6.16   
Hypothetical (5% Return Before Expenses)  $1,000.00   $1,018.80   $6.33   
Class F                 
Actual  $1,000.00   $971.50   $1.73   
Hypothetical (5% Return Before Expenses)  $1,000.00   $1,023.31   $1.78   
Class F3                 
Actual  $1,000.00   $972.30   $0.89   
Hypothetical (5% Return Before Expenses)  $1,000.00   $1,024.17   $0.91   
Class I                 
Actual  $1,000.00   $972.00   $1.24   
Hypothetical (5% Return Before Expenses)  $1,000.00   $1,023.82   $1.27   
Class P                 
Actual  $1,000.00   $969.60   $3.46   
Hypothetical (5% Return Before Expenses)  $1,000.00   $1,021.56   $3.55   
Class R2                 
Actual  $1,000.00   $969.00   $4.20   
Hypothetical (5% Return Before Expenses)  $1,000.00   $1,020.81   $4.31   
Class R3                 
Actual  $1,000.00   $969.50   $3.70   
Hypothetical (5% Return Before Expenses)  $1,000.00   $1,021.31   $3.80   
Class R4                 
Actual  $1,000.00   $970.80   $2.47   
Hypothetical (5% Return Before Expenses)  $1,000.00   $1,022.56   $2.54   
Class R5                 
Actual  $1,000.00   $972.10   $1.24   
Hypothetical (5% Return Before Expenses)  $1,000.00   $1,023.82   $1.27   
Class R6                 
Actual  $1,000.00   $972.30   $0.89   
Hypothetical (5% Return Before Expenses)  $1,000.00   $1,024.17   $0.91   

 

For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.50% for Class A, 1.25% for Class C, 0.35% for Class F, 0.18% for Class F3, 0.25% for Class I, 0.70% for Class P, 0.85% for Class R2, 0.75% for Class R3, 0.50% for Class R4, 0.25% for Class R5 and 0.18% for Class R6) multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period).
# Does not include expenses of the Underlying Funds in which Multi-Asset Balanced Opportunity Fund invests.

 

15

 

 

 

Portfolio Holdings Presented by Portfolio Allocation

November 30, 2022

 

Underlying Fund Name  %*
Lord Abbett Investment Trust-Convertible Fund-Class I   4.14%
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I   16.05%
Lord Abbett Research Fund, Inc.-Dividend Growth Fund-Class I   18.67%
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I   3.81%
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I   17.96%
Lord Abbett Securities Trust-Growth Leaders Fund-Class I   8.18%
Lord Abbett Investment Trust-High Yield Fund-Class I   7.29%
Lord Abbett Investment Trust-Inflation Focused Fund-Class I   3.79%
Lord Abbett Securities Trust-International Equity Fund-Class I   4.16%
Lord Abbett Securities Trust-International Value Fund-Class I   3.52%
Lord Abbett Investment Trust-Ultra Short Bond Fund-Class I   12.35%
Repurchase Agreements   0.08%
Total   100.00%

 

* Represents percent of total investments, which excludes derivatives.

 

16

 

Multi-Asset Income Fund

 

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

   Beginning
Account
Value
  Ending
Account
Value
  Expenses
Paid During
Period†#
 
   6/1/22  11/30/22  6/1/22 -
11/30/22
 
Class A                 
Actual    $1,000.00     $965.60          $2.46      
Hypothetical (5% Return Before Expenses)  $1,000.00   $1,022.56   $2.54   
Class C                 
Actual  $1,000.00   $962.20   $6.15   
Hypothetical (5% Return Before Expenses)  $1,000.00   $1,018.80   $6.33   
Class F                 
Actual  $1,000.00   $966.40   $1.73   
Hypothetical (5% Return Before Expenses)  $1,000.00   $1,023.31   $1.78   
Class F3                 
Actual  $1,000.00   $966.80   $0.94   
Hypothetical (5% Return Before Expenses)  $1,000.00   $1,024.12   $0.96   
Class I                 
Actual  $1,000.00   $967.30   $1.23   
Hypothetical (5% Return Before Expenses)  $1,000.00   $1,023.82   $1.27   
Class R2                 
Actual  $1,000.00   $964.30   $4.19   
Hypothetical (5% Return Before Expenses)  $1,000.00   $1,020.81   $4.31   
Class R3                 
Actual  $1,000.00   $964.40   $3.69   
Hypothetical (5% Return Before Expenses)  $1,000.00   $1,021.31   $3.80   
Class R4                 
Actual  $1,000.00   $965.60   $2.46   
Hypothetical (5% Return Before Expenses)  $1,000.00   $1,022.56   $2.54   
Class R5                 
Actual  $1,000.00   $967.30   $1.23   
Hypothetical (5% Return Before Expenses)  $1,000.00   $1,023.82   $1.27   
Class R6                 
Actual  $1,000.00   $967.40   $0.94   
Hypothetical (5% Return Before Expenses)  $1,000.00   $1,024.12   $0.96   

 

For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.50% for Class A, 1.25% for Class C, 0.35% for Class F, 0.19% for Class F3, 0.25% for Class I, 0.85% for Class R2, 0.75% for Class R3, 0.50% for Class R4, 0.25% for Class R5 and 0.19% for Class R6) multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period).
# Does not include expenses of the Underlying Funds in which Multi-Asset Income Fund invests.

 

17

 

 

 

Portfolio Holdings Presented by Portfolio Allocation

November 30, 2022

 

Underlying Fund Name  %*
Lord Abbett Investment Trust-Convertible Fund-Class I   3.87%
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I   30.69%
Lord Abbett Research Fund, Inc.-Dividend Growth Fund-Class I   10.65%
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I   3.33%
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I   11.35%
Lord Abbett Securities Trust-Growth Leaders Fund-Class I   4.82%
Lord Abbett Investment Trust-High Yield Fund-Class I   10.42%
Lord Abbett Investment Trust-Inflation Focused Fund-Class I   5.69%
Lord Abbett Securities Trust-International Equity Fund-Class I   4.42%
Lord Abbett Securities Trust-International Value Fund-Class I   3.46%
Lord Abbett Investment Trust-Ultra Short Bond Fund-Class I   11.17%
Repurchase Agreements   0.13%
Total   100.00%

 

* Represents percent of total investments, which excludes derivatives.

 

18

 

Schedule of Investments

MULTI-ASSET BALANCED OPPORTUNITY FUND November 30, 2022

 

Investments  Shares   Fair
Value
 
LONG-TERM INVESTMENTS 100.15%          
           
INVESTMENTS IN UNDERLYING FUNDS(a)(b) 100.15%          
Lord Abbett Investment Trust-Convertible Fund-Class I(c)   6,786,525   $86,596,052 
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I(d)   36,015,661    336,026,112 
Lord Abbett Research Fund, Inc.-Dividend Growth Fund-Class I(l)   20,812,444    390,857,691 
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I(e)   20,160,981    79,837,486 
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I(f)   29,971,577    376,143,288 
Lord Abbett Securities Trust-Growth Leaders Fund-Class I*(g)   6,098,457    171,305,666 
Lord Abbett Investment Trust-High Yield Fund-Class I(h)   24,498,385    152,624,937 
Lord Abbett Investment Trust-Inflation Focused Fund-Class I(i)   6,810,325    79,340,291 
Lord Abbett Securities Trust-International Equity Fund-Class I(j)   6,571,876    87,011,638 
Lord Abbett Securities Trust-International Value Fund-Class I(k)   10,623,744    73,728,784 
Lord Abbett Investment Trust-Ultra Short Bond Fund(m)   26,394,351    258,664,644 
Total Investments in Underlying Funds (cost $2,192,294,831)        2,092,136,589 
OPTIONS PURCHASED 0.12%
(cost $9,850,391)
        2,496,055 
           
    Principal
Amount
      
SHORT-TERM INVESTMENTS 0.08%          
           
REPURCHASE AGREEMENTS 0.08%          
Repurchase Agreement dated 11/30/2022, 1.75% due 12/1/2022 with Fixed Income Clearing Corp. collateralized by $1,384,800 of U.S. Treasury Inflation Indexed Note at 0.125% due 7/15/2024; value: $1,673,934; proceeds: $1,641,152
(cost $1,641,072)
   $1,641,072    1,641,072 
Total Investments in Securities 100.35% (cost $2,203,786,294)        2,096,273,716 
Other Assets and Liabilities – Net(n) (0.35)%        (7,232,737)
Net Assets 100.00%       $2,089,040,979 

 

*   Non-income producing security.
(a)   Affiliated issuers (See Note 12).
(b)   These investments offer daily redemptions.
(c)   Fund investment objective is to seek current income and the opportunity for capital appreciation to produce a high total return.
(d)   Fund investment objective is to seek income and capital appreciation to produce a high total return.
(e)   Fund investment objective is to seek high total return.
(f)   Fund investment objective is long-term growth of capital and income without excessive fluctuations in market value.
(g)   Fund investment objective is to seek capital appreciation.

 

  See Notes to Financial Statements. 19
 

Schedule of Investments (continued)

MULTI-ASSET BALANCED OPPORTUNITY FUND November 30, 2022

 

(h)   Fund investment objective is to seek high current income and the opportunity for capital appreciation to produce a high total return.
(i)   Fund investment objective is to provide investment returns that exceed the rate of inflation in the U.S. economy over a full economic cycle and to seek current income.
(j)   Fund investment objective is to seek long-term capital appreciation.
(k)   Fund investment objective is to seek a high level of total return.
(l)   Fund investment objective is to seek current income and capital appreciation.
(m)   Fund investment objective is to seek current income consistent with the preservation of capital.
(n)   Other Assets and Liabilities - Net include net unrealized appreciation/depreciation on futures contracts, options purchased and written options as follows:

 

OTC Options Purchased at November 30, 2022:

 

Description  Counterparty  Contracts  Expiration
Date
  Exercise
Price
   Notional
Amount
 Fair
Value
 
S&P 500 Index, Put  UBS AG  77,050  2/17/2023   $3,450    $77,050      $1,549,943 
S&P 500 Index, Put  UBS AG  27,778  2/17/2023   3,600    27,778    925,925 
S&P 500 Index, Put  Morgan Stanley  22,110  12/16/2022   3,400    22,110    20,187 
Total OTC Options Purchased                      $2,496,055 

 

OTC Written Options at November 30, 2022:

 

Description  Counterparty  Exercise
Price
   Expiration
Date
  Contracts  Notional
Amount
   Fair
Value
   Premiums
(Received)
   Unrealized
Appreciation
 
S&P 500 Index, Put  UBS AG   $3,100   2/17/2023  77,050   $(77,050)  $(577,993)  $(2,157,400)   $1,579,407 

 

Futures Contracts at November 30, 2022:

 

Type  Expiration  Contracts  Position  Notional
Amount
   Notional
Value
 Unrealized
Appreciation
 
E-Mini S&P 500 Index  December 2022  10  Long  $1,985,837   $2,040,625   $54,788 
MSCI EAFE  December 2022  559  Long   51,659,016    55,335,410    3,676,394 
Total Unrealized Appreciation on Futures Contracts                  $3,731,182 
                         
Type  Expiration  Contracts  Position  Notional
Amount
   Notional
Value
 Unrealized
Depreciation
 
E-Mini S&P 500 Index  December 2022  177  Short  $(34,861,714)  $(36,119,062)  $(1,257,348)

 

20 See Notes to Financial Statements.
 

Schedule of Investments (concluded)

MULTI-ASSET BALANCED OPPORTUNITY FUND November 30, 2022

 

The following is a summary of the inputs used as of November 30, 2022 in valuing the Fund’s investments carried at fair value(1):

 

Investment Type(2)  Level 1   Level 2   Level 3   Total 
Long-Term Investments                    
Investments in Underlying Funds  $2,092,136,589   $   $   $2,092,136,589 
OTC Options Purchased       2,496,055        2,496,055 
Short-Term Investments                    
Repurchase Agreements       1,641,072        1,641,072 
Total  $2,092,136,589   $4,137,127   $   $2,096,273,716 
                     
Other Financial Instruments                    
OTC Written Options                    
Assets  $   $   $   $ 
Liabilities       (577,993)       (577,993)
Futures Contracts                    
Assets   3,731,182            3,731,182 
Liabilities   (1,257,348)           (1,257,348)
Total  $2,473,834   $(577,993)  $   $1,895,841 

 

(1)   Refer to Note 2(m) for a description of fair value measurements and the three-tier hierarchy of inputs.
(2)   See Schedule of Investments for fair values in each investment in Underlying Funds. When applicable each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized.

 

A reconciliation of Level 3 investments is presented when the Fund has a material amount of Level 3 investments at the beginning or end of the year in relation to the Fund’s net assets.

 

  See Notes to Financial Statements. 21
 

Schedule of Investments

MULTI-ASSET INCOME FUND November 30, 2022

 

Investments  Shares   Fair
Value
 
LONG-TERM INVESTMENTS(a)(b) 100.03%          
           
INVESTMENTS IN UNDERLYING FUNDS 100.03%          
Lord Abbett Investment Trust-Convertible Fund-Class I(c)   3,033,482   $38,707,231 
Lord Abbett Investment Trust-Core Fixed Income Fund-Class I(d)   32,943,699    307,364,715 
Lord Abbett Research Fund, Inc.-Dividend Growth Fund-Class I(l)   5,680,665    106,682,889 
Lord Abbett Global Fund, Inc.-Emerging Markets Bond Fund-Class I(e)   8,428,036    33,375,023 
Lord Abbett Securities Trust-Fundamental Equity Fund-Class I(f)   9,059,817    113,700,699 
Lord Abbett Securities Trust-Growth Leaders Fund-Class I*(g)   1,717,089    48,233,031 
Lord Abbett Investment Trust-High Yield Fund-Class I(h)   16,744,455    104,317,957 
Lord Abbett Investment Trust-Inflation Focused Fund-Class I(i)   4,888,930    56,956,034 
Lord Abbett Securities Trust-International Equity Fund-Class I(j)   3,340,281    44,225,320 
Lord Abbett Securities Trust-International Value Fund-Class I(k)   4,996,605    34,676,436 
Lord Abbett Investment Trust-Ultra Short Bond Fund(m)   11,420,736    111,923,216 
Total Investments in Underlying Funds (cost $1,070,596,794)        1,000,162,551 
OPTIONS PURCHASED 0.12%
(cost $4,851,702)
        1,229,410 
           
    Principal
Amount
      
SHORT-TERM INVESTMENTS 0.13%          
           
REPURCHASE AGREEMENTS 0.13%          
Repurchase Agreement dated 11/30/2022, 1.75% due 12/1/2022 with Fixed Income Clearing Corp. collateralized by $1,349,000 of U.S. Treasury Note at 2.125% due 3/31/2024; value: $1,307,907; proceeds: $1,282,256
(cost $1,282,194)
   $1,282,194    1,282,194 
Total Investments in Securities 100.28% (cost $1,076,730,690)        1,002,674,155 
Other Assets and Liabilities – Net(n) (0.28)%        (2,770,611)
Net Assets 100.00%       $999,903,544 

 

*   Non-income producing security.
(a)   Affiliated issuer (see Note 12).
(b)   These investments offer daily redemptions.
(c)   Fund investment objective is to seek current income and the opportunity for capital appreciation to produce a high total return.
(d)   Fund investment objective is to seek income and capital appreciation to produce a high total return.
(e)   Fund investment objective is to seek high total return.
(f)   Fund investment objective is long-term growth of capital and income without excessive fluctuations in market value.
(g)   Fund investment objective is to seek capital appreciation.

 

22 See Notes to Financial Statements.
 

Schedule of Investments (continued)

MULTI-ASSET INCOME FUND November 30, 2022

 

(h)   Fund investment objective is to seek high current income and the opportunity for capital appreciation to produce a high total return.
(i)   Fund investment objective is to provide investment returns that exceed the rate of inflation in the U.S. economy over a full economic cycle and to seek current income.
(j)   Fund investment objective is to seek long-term capital appreciation.
(k)   Fund investment objective is to seek a high level of total return.
(l)   Fund investment objective is to seek current income and capital appreciation.
(m)   Fund investment objective is to seek current income consistent with the preservation of capital.
(n)   Other Assets and Liabilities - Net include net unrealized appreciation/depreciation on futures contracts, options purchased and written options as follows:

 

OTC Options Purchased at November 30, 2022:

 

Description  Counterparty  Contracts  Expiration
Date
  Exercise
Price
   Notional
Amount
 Fair
Value
 
S&P 500 Index, Put  UBS AG  37,950  2/17/2023   $3,450    $37,950     $763,405 
S&P 500 Index, Put  UBS AG  13,682  2/17/2023   3,600    13,682    456,062 
S&P 500 Index, Put  Morgan Stanley  10,890  12/16/2022   3,400    10,890    9,943 
Total OTC Options Purchased                     $1,229,410 

 

OTC Written Options at November 30, 2022:

 

Description  Counterparty  Exercise
Price
   Expiration
Date
  Contracts  Notional
Amount
   Fair
Value
   Premiums
(Received)
   Unrealized
Appreciation
 
S&P 500 Index, Put  UBS AG   $3,100   2/17/2023  37,950   $(37,950)   $(284,683)   $(1,062,600)   $777,917 

 

Futures Contracts at November 30, 2022:

 

Type  Expiration  Contracts  Position  Notional
Amount
   Notional
Value
   Unrealized
Appreciation
 
MSCI EAFE  December 2022  269  Long   $24,847,603    $26,628,310   $1,780,707 
                         
Type  Expiration  Contracts  Position   Notional
Amount
    Notional
Value
    Unrealized
Depreciation
 
E-Mini S&P 500 Index   December 2022  176  Short   $(34,520,249)   $(35,915,000)  $(1,394,751)

 

  See Notes to Financial Statements. 23
 

Schedule of Investments (concluded)

MULTI-ASSET INCOME FUND November 30, 2022

 

The following is a summary of the inputs used as of November 30, 2022 in valuing the Fund’s investments carried at fair value(1):

 

Investment Type(2)  Level 1   Level 2   Level 3   Total 
Long-Term Investments                    
Investments in Underlying Funds  $1,000,162,551   $   $   $1,000,162,551 
OTC Options Purchased       1,229,410        1,229,410 
Short-Term Investments                    
Repurchase Agreements       1,282,194        1,282,194 
Total  $1,000,162,551   $2,511,604   $   $1,002,674,155 
                     
Other Financial Instruments                    
OTC Written Options                    
Assets  $   $   $   $ 
Liabilities       (284,683)       (284,683)
Futures Contracts                    
Assets   1,780,707            1,780,707 
Liabilities   (1,394,751)           (1,394,751)
Total  $385,956   $(284,683)  $   $101,273 

 

(1)   Refer to Note 2(m) for a description of fair value measurements and the three-tier hierarchy of inputs.
(2)   See Schedule of Investments for fair values in each in each investment in Underlying Funds. When applicable each Level 3 security is identified on the Schedule of Investments along with the valuation technique utilized.

 

A reconciliation of Level 3 investments is presented when the Fund has a material amount of Level 3 investments at the beginning or end of the year in relation to the Fund’s net assets.

 

24 See Notes to Financial Statements.
 

Statements of Assets and Liabilities

November 30, 2022

 

   Multi-Asset
Balanced
Opportunity
Fund
   Multi-Asset
Income Fund
 
ASSETS:        
Investments in securities, at cost  $11,491,463   $6,133,896 
Investments in Underlying Funds, at cost   2,192,294,831    1,070,596,794 
Investments in securities, at fair value  $4,137,127   $2,511,604 
Investments in Underlying Funds, at fair value   2,092,136,589    1,000,162,551 
Deposits with brokers for futures collateral   4,783,769    3,315,779 
Receivables:          
Capital shares sold   8,019,443    4,934,549 
Premiums for OTC written options sold   6,929,652    3,413,733 
Interest and dividends   3,278,269    2,236,863 
Investments in Underlying Funds sold   1,019,498    249,818 
Prepaid expenses and other assets   68,742    58,201 
Total assets   2,120,373,089    1,016,883,098 
LIABILITIES:          
Payables:          
Investments in Underlying Funds purchased   3,327,167    2,260,950 
Premiums for OTC options purchased   12,634,438    6,223,506 
Capital shares reacquired   5,250,335    1,740,027 
Variation margin for futures contracts   567,792    2,267,050 
Trustees’ fees   409,075    184,327 
12b-1 distribution plan   350,110    228,347 
Management fee   168,392    80,767 
To bank   81,815    79,098 
Fund administration   67,358    32,309 
Foreign currency overdraft (cost $389 and $515, respectively)   196    530 
Options written outstanding, at fair value (including premiums received of $2,157,400 and $1,062,600, respectively) (See Note 2)   577,993    284,683 
Distributions payable   7,453,026    3,397,939 
Accrued expenses   444,413    200,021 
Total liabilities   31,332,110    16,979,554 
NET ASSETS  $2,089,040,979   $999,903,544 
COMPOSITION OF NET ASSETS:          
Paid-in capital  $2,382,192,897   $1,164,915,950 
Total distributable earnings (loss)   (293,151,918)   (165,012,406)
Net Assets  $2,089,040,979   $999,903,544 

 

  See Notes to Financial Statements. 25
 

Statements of Assets and Liabilities (concluded)

November 30, 2022

 

   Multi-Asset
Balanced
Opportunity
Fund
   Multi-Asset
Income Fund
 
Net Assets by class:          
Class A Shares  $1,808,433,729   $734,968,114 
Class C Shares  $135,989,208   $92,855,948 
Class F Shares  $27,902,122   $54,006,042 
Class F3 Shares  $42,438   $540,917 
Class I Shares  $56,783,402   $98,929,037 
Class P Shares  $339,594   $—   
Class R2 Shares  $592,549   $173,628 
Class R3 Shares  $37,063,250   $14,878,213 
Class R4 Shares  $11,617,315   $2,489,494 
Class R5 Shares  $158,470   $47,092 
Class R6 Shares  $10,118,902   $1,015,059 
Outstanding shares by class (unlimited number of authorized shares of beneficial interest):          
Class A Shares   175,544,108    50,354,164 
Class C Shares   13,316,703    6,245,808 
Class F Shares   2,708,397    3,699,800 
Class F3 Shares   4,101    37,202 
Class I Shares   5,512,397    6,824,522 
Class P Shares   33,165     
Class R2 Shares   55,805    11,526 
Class R3 Shares   3,605,552    1,019,185 
Class R4 Shares   1,127,578    170,564 
Class R5 Shares   15,347    3,246 
Class R6 Shares   979,159    69,814 
Net Asset Value, offering and redemption price per share (Net assets divided by outstanding shares):          
Class A Shares-Net asset value   $10.30   $14.60 
Class A Shares-Maximum offering price
(Net asset value plus sales charge of 2.25%)
  $10.54   $14.94 
Class C Shares-Net asset value  $10.21   $14.87 
Class F Shares-Net asset value  $10.30   $14.60 
Class F3 Shares-Net asset value  $10.35   $14.54 
Class I Shares-Net asset value  $10.30   $14.50 
Class P Shares-Net asset value  $10.24   $       – 
Class R2 Shares-Net asset value  $10.62   $15.06 
Class R3 Shares-Net asset value  $10.28   $14.60 
Class R4 Shares-Net asset value  $10.30   $14.60 
Class R5 Shares-Net asset value  $10.33   $14.51 
Class R6 Shares-Net asset value  $10.33   $14.54 

 

26 See Notes to Financial Statements.  
 

Statements of Operations

For the Year Ended November 30, 2022

 

   Multi-Asset
Balanced
Opportunity
Fund
   Multi-Asset
Income Fund
 
Investment income:          
Dividends  $52,882,284   $31,114,134 
Interest and other   59,443    24,502 
Total investment income   52,941,727    31,138,636 
Expenses:          
Management fee   2,312,061    1,119,170 
12b-1 distribution plan-Class A   4,926,752    1,945,358 
12b-1 distribution plan-Class C   1,721,799    1,376,305 
12b-1 distribution plan-Class F   48,653    104,575 
12b-1 distribution plan-Class P   2,059     
12b-1 distribution plan-Class R2   3,736    870 
12b-1 distribution plan-Class R3   210,777    85,362 
12b-1 distribution plan-Class R4   31,857    6,593 
Shareholder servicing   2,020,492    809,983 
Fund administration   924,824    447,668 
Registration   247,766    175,438 
Reports to shareholders   172,301    79,250 
Custody   94,132    33,146 
Professional   82,871    55,899 
Trustees’ fees   46,594    22,875 
Other   34,940    22,389 
Gross expenses   12,881,614    6,284,881 
Expense reductions (See Note 9)   (20,958)   (10,228)
Fees waived and expenses reimbursed (See Note 3)   (94,132)   (33,146)
Net expenses   12,766,524    6,241,507 
Net investment income   40,175,203    24,897,129 
Net realized and unrealized gain (loss):          
Capital gain distributions received from Underlying Funds   62,067,168    22,234,766 
Net realized gain (loss) on Investment in Underlying Funds   (220,957,287)   (89,250,281)
Net realized gain (loss) on investments   21,407,889    10,544,335 
Net realized gain (loss) on futures contracts   25,543,326    10,021,766 
Net realized gain (loss) on forward foreign currency exchange contracts   (70,216)   (34,584)
Net realized gain (loss) on OTC written options   (5,176,074)   (2,549,410)
Net realized gain (loss) on swap contracts   (7,317,665)   (3,604,087)
Net realized gain (loss) on foreign currency related transactions   83,702    41,236 
Net change in unrealized appreciation/depreciation in Underlying Funds   (231,377,339)   (112,509,860)
Net change in unrealized appreciation/depreciation on investments   (7,354,336)   (3,622,292)
Net change in unrealized appreciation/depreciation on futures contracts   620,573    (485,922)
Net change in unrealized appreciation/depreciation on OTC written options   1,579,407    777,917 
Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies   19,810    9,746 
Net realized and unrealized gain (loss)   (360,931,042)   (168,426,670)
Net Decrease in Net Assets Resulting From Operations  $(320,755,839)  $(143,529,541)

 

  See Notes to Financial Statements. 27
 

Statements of Changes in Net Assets

 

   Multi-Asset Balanced Opportunity Fund 
INCREASE (DECREASE) IN NET ASSETS  For the Year Ended
November 30, 2022
   For the Year Ended
November 30, 2021
 
Operations:              
Net investment income    $40,175,203     $40,633,922 
Capital gain distributions received from Underlying Funds     62,067,168      254,567,055 
Net realized gain (loss) on investments in Underlying Funds     (220,957,287)     248,232,403 
Net realized gain (loss) on investments     21,407,889      (61,773,106)
Net realized gain (loss) on futures contracts, forward foreign currency exchange contracts, OTC written options, swaps and foreign currency related transactions     13,063,073      (10,373,514)
Net change in unrealized appreciation/depreciation on investments in Underlying Funds     (231,377,339)     (169,067,489)
Net change in unrealized appreciation/depreciation on investments     (7,354,336)     46,274,383 
Net change in unrealized appreciation/depreciation on futures contracts, OTC written options and translation of assets and liabilities denominated in foreign currencies     2,219,790      (29,436,996)
Net increase (decrease) in net assets resulting from operations     (320,755,839)     319,056,658 
Distributions to shareholders:              
Class A     (376,950,615)     (124,302,535)
Class C     (35,233,972)     (12,860,442)
Class F     (13,384,274)     (4,341,328)
Class F3     (9,534)     (7,409)
Class I     (7,352,561)     (2,331,007)
Class P     (131,807)     (42,190)
Class R2     (109,320)     (32,515)
Class R3     (7,935,705)     (2,655,325)
Class R4     (2,366,576)     (814,103)
Class R5     (31,169)     (10,816)
Class R6     (2,014,555)     (665,262)
Total distributions to shareholders     (445,520,088)     (148,062,932)
Capital share transactions (Net of share conversions) (See Note 14):             
Net proceeds from sales of shares     214,390,151      278,728,776 
Reinvestment of distributions     435,509,274      143,736,619 
Cost of shares reacquired     (515,617,581)     (396,771,892)
Net increase (decrease) in net assets resulting from capital share transactions     134,281,844      25,693,503 
Net increase (decrease) in net assets     (631,994,083)     196,687,229 
NET ASSETS:              
Beginning of year    $2,721,035,062     $2,524,347,833 
End of year    $2,089,040,979     $2,721,035,062 

 

28 See Notes to Financial Statements.  
 

Statements of Changes in Net Assets (concluded)

 

   Multi-Asset Income Fund 
INCREASE (DECREASE) IN NET ASSETS  For the Year Ended
November 30, 2022
   For the Year Ended
November 30, 2021
 
Operations:              
Net investment income    $24,897,129     $21,911,275 
Capital gain distributions received from Underlying Funds     22,234,766      84,875,690 
Net realized gain (loss) on investments in Underlying Funds     (89,250,281)     94,294,119 
Net realized gain (loss) on investments     10,544,335      (26,159,384)
Net realized gain (loss) on futures contracts, forward foreign currency exchange contracts, OTC written options, swaps and foreign currency related transactions     3,874,921      (8,032,820)
Net change in unrealized appreciation/depreciation on investments in Underlying Funds     (112,509,860)     (63,099,650)
Net change in unrealized appreciation/depreciation on investments     (3,622,292)     19,980,930 
Net change in unrealized appreciation/depreciation on futures contracts, OTC written options and translation of assets and liabilities denominated in foreign currencies     301,741      (12,290,223)
Net increase (decrease) in net assets resulting from operations     (143,529,541)     111,479,937 
Distributions to shareholders:              
Class A     (44,987,167)     (28,277,347)
Class C     (7,748,205)     (6,337,598)
Class F     (7,965,508)     (6,415,992)
Class F3     (74,975)     (75,006)
Class I     (3,300,072)     (1,426,865)
Class R2     (7,125)     (4,068)
Class R3     (995,718)     (650,165)
Class R4     (145,589)     (113,809)
Class R5     (2,930)     (1,907)
Class R6     (60,472)     (42,452)
Total distributions to shareholders     (65,287,761)     (43,345,209)
Capital share transactions (Net of share conversions) (See Note 14):              
Net proceeds from sales of shares     203,614,810      187,643,881 
Reinvestment of distributions     60,622,463      40,142,084 
Cost of shares reacquired     (341,971,796)     (221,884,544)
Net increase (decrease) in net assets resulting from capital share transactions     (77,734,523)     5,901,421 
Net increase (decrease) in net assets     (286,551,825)     74,036,149 
NET ASSETS:              
Beginning of year    $1,286,455,369     $1,212,419,220 
End of year    $999,903,544     $1,286,455,369 

 

  See Notes to Financial Statements. 29
 

Financial Highlights

MULTI-ASSET BALANCED OPPORTUNITY FUND

 

       Per Share Operating Performance:
        Investment Operations:  Distributions to
shareholders from:
   Net asset
value,
beginning
of period
  Net
invest-
ment
income
(b)
  Net
realized
and
unrealized
gain (loss)
  Total
from
invest-
ment
opera-
tions
  Net
investment
income
  Net
realized
gain
  Total
distri-
butions
Class A                                   
11/30/2022  $14.01   $0.19   $(1.60)  $(1.41)  $(0.89)  $(1.41)  $(2.30)
11/30/2021   13.15    0.22    1.42    1.64    (0.51)   (0.27)   (0.78)
11/30/2020   11.60    0.21    1.66    1.87    (0.18)   (0.14)   (0.32)
11/30/2019   11.28    0.24    0.80    1.04    (0.38)   (0.34)   (0.72)
11/30/2018   12.19    0.25    (0.50)   (0.25)   (0.42)   (0.24)   (0.66)
Class C                                   
11/30/2022   13.90    0.11    (1.58)   (1.47)   (0.81)   (1.41)   (2.22)
11/30/2021   13.06    0.11    1.41    1.52    (0.41)   (0.27)   (0.68)
11/30/2020   11.53    0.12    1.65    1.77    (0.10)   (0.14)   (0.24)
11/30/2019   11.22    0.16    0.79    0.95    (0.30)   (0.34)   (0.64)
11/30/2018   12.12    0.16    (0.49)   (0.33)   (0.33)   (0.24)   (0.57)
Class F                                   
11/30/2022   14.01    0.21    (1.61)   (1.40)   (0.90)   (1.41)   (2.31)
11/30/2021   13.15    0.24    1.42    1.66    (0.53)   (0.27)   (0.80)
11/30/2020   11.60    0.23    1.66    1.89    (0.20)   (0.14)   (0.34)
11/30/2019   11.28    0.26    0.80    1.06    (0.40)   (0.34)   (0.74)
11/30/2018   12.18    0.27    (0.49)   (0.22)   (0.44)   (0.24)   (0.68)
Class F3                                   
11/30/2022   14.05    0.23    (1.60)   (1.37)   (0.92)   (1.41)   (2.33)
11/30/2021   13.18    0.17    1.52    1.69    (0.55)   (0.27)   (0.82)
11/30/2020   11.62    0.26    1.65    1.91    (0.21)   (0.14)   (0.35)
11/30/2019   11.29    0.27    0.81    1.08    (0.41)   (0.34)   (0.75)
11/30/2018   12.19    0.28    (0.49)   (0.21)   (0.45)   (0.24)   (0.69)
Class I                                   
11/30/2022   14.00    0.22    (1.60)   (1.38)   (0.91)   (1.41)   (2.32)
11/30/2021   13.15    0.25    1.41    1.66    (0.54)   (0.27)   (0.81)
11/30/2020   11.60    0.24    1.66    1.90    (0.21)   (0.14)   (0.35)
11/30/2019   11.28    0.28    0.79    1.07    (0.41)   (0.34)   (0.75)
11/30/2018   12.19    0.28    (0.50)   (0.22)   (0.45)   (0.24)   (0.69)
Class P                                   
11/30/2022   13.93    0.18    (1.60)   (1.42)   (0.86)   (1.41)   (2.27)
11/30/2021   13.08    0.19    1.41    1.60    (0.48)   (0.27)   (0.75)
11/30/2020   11.55    0.19    1.64    1.83    (0.16)   (0.14)   (0.30)
11/30/2019   11.23    0.21    0.81    1.02    (0.36)   (0.34)   (0.70)
11/30/2018   12.14    0.22    (0.49)   (0.27)   (0.40)   (0.24)   (0.64)
Class R2                                   
11/30/2022   14.36    0.16    (1.64)   (1.48)   (0.85)   (1.41)   (2.26)
11/30/2021   13.46    0.18    1.45    1.63    (0.46)   (0.27)   (0.73)
11/30/2020   11.87    0.17    1.70    1.87    (0.14)   (0.14)   (0.28)
11/30/2019   11.52    0.20    0.83    1.03    (0.34)   (0.34)   (0.68)
11/30/2018   12.43    0.22    (0.51)   (0.29)   (0.38)   (0.24)   (0.62)

 

30 See Notes to Financial Statements.
 
      Ratios to Average Net Assets:(a)  Supplemental Data:
Net
asset
value,
end of
period
  Total
return
(%)
(c)
  Total
expenses
after
waivers
and/or
reimburse-
ments
(%)
  Total
expenses
(%)
  Net
invest-
ment
income
(%)
  Net
assets,
end of
period
(000)
  Portfolio
turnover
rate
(%)
                                 
   $10.30    (12.00)   0.50    0.51          1.79   $1,808,434    104 
 14.01    12.89    0.49    0.49    1.56    2,293,947    47 
 13.15    17.09    0.52    0.52    1.81    2,087,948    60 
 11.60    10.19    0.52    0.52    2.15    1,974,100    25 
 11.28    (2.18)   0.51    0.51    2.12    1,214,155    31 
                                 
 10.21    (12.62)   1.25    1.26    1.02    135,989    104 
 13.90    12.01    1.24    1.24    0.78    223,713    47 
 13.06    16.17    1.27    1.27    1.03    254,523    60 
 11.53    9.35    1.27    1.27    1.41    337,420    25 
 11.22    (2.85)   1.26    1.26    1.35    223,823    31 
                                 
 10.30    (11.88)   0.35    0.36    1.89    27,902    104 
 14.01    13.06    0.34    0.34    1.73    84,162    47 
 13.15    17.26    0.37    0.37    1.97    70,406    60 
 11.60    10.35    0.37    0.37    2.31    73,256    25 
 11.28    (1.95)   0.36    0.36    2.27    46,998    31 
                                 
 10.35    (11.64)   0.17    0.18    2.15    42    104 
 14.05    13.25    0.17    0.17    1.18    58    47 
 13.18    17.47    0.18    0.18    2.23    75    60 
 11.62    10.56    0.19    0.19    2.40    47    25 
 11.29    (1.83)   0.22    0.22    2.38    10    31 
                                 
 10.30    (11.78)   0.25    0.26    2.07    56,783    104 
 14.00    13.26    0.24    0.24    1.81    41,327    47 
 13.15    17.29    0.27    0.27    2.08    37,220    60 
 11.60    10.45    0.26    0.26    2.47    29,487    25 
 11.28    (1.93)   0.26    0.26    2.38    14,440    31 
                                 
 10.24    (12.17)   0.70    0.71    1.63    340    104 
 13.93    12.72    0.69    0.69    1.37    820    47 
 13.08    16.86    0.72    0.72    1.61    725    60 
 11.55    9.93    0.72    0.72    1.93    588    25 
 11.23    (2.38)   0.71    0.71    1.85    512    31 
                                 
 10.62    (12.29)   0.85    0.86    1.44    593    104 
 14.36    12.55    0.84    0.84    1.23    686    47 
 13.46    16.58    0.87    0.87    1.44    594    60 
 11.87    9.85    0.87    0.87    1.77    837    25 
 11.52    (2.49)   0.86    0.86    1.83    360    31 

 

  See Notes to Financial Statements. 31
 

Financial Highlights (concluded)

MULTI-ASSET BALANCED OPPORTUNITY FUND

 

       Per Share Operating Performance:
       Investment Operations:  Distributions to
shareholders from:
   Net asset
value,
beginning
of period
  Net
invest-
ment
income
(b)
  Net
realized
and
unrealized
gain (loss)
  Total
from
invest-
ment
opera-
tions
  Net
investment
income
  Net
realized
gain
  Total
distri-
butions
Class R3                                     
11/30/2022     $13.98    $0.17    $(1.60)            $(1.43)       $(0.86)    $(1.41)    $(2.27)  
11/30/2021   13.12    0.18    1.42    1.60    (0.47)   (0.27)   (0.74)
11/30/2020   11.58    0.18    1.65    1.83    (0.15)   (0.14)   (0.29)
11/30/2019   11.26    0.21    0.80    1.01    (0.35)   (0.34)   (0.69)
11/30/2018   12.16    0.22    (0.49)   (0.27)   (0.39)   (0.24)   (0.63)
Class R4                                   
11/30/2022   14.01    0.19    (1.60)   (1.41)   (0.89)   (1.41)   (2.30)
11/30/2021   13.15    0.21    1.43    1.64    (0.51)   (0.27)   (0.78)
11/30/2020   11.60    0.21    1.66    1.87    (0.18)   (0.14)   (0.32)
11/30/2019   11.29    0.24    0.79    1.03    (0.38)   (0.34)   (0.72)
11/30/2018   12.19    0.24    (0.48)   (0.24)   (0.42)   (0.24)   (0.66)
Class R5                                   
11/30/2022   14.03    0.22    (1.60)   (1.38)   (0.91)   (1.41)   (2.32)
11/30/2021   13.17    0.25    1.42    1.67    (0.54)   (0.27)   (0.81)
11/30/2020   11.62    0.20    1.70    1.90    (0.21)   (0.14)   (0.35)
11/30/2019   11.30    0.27    0.80    1.07    (0.41)   (0.34)   (0.75)
11/30/2018   12.20    0.29    (0.50)   (0.21)   (0.45)   (0.24)   (0.69)
Class R6                                   
11/30/2022   14.04    0.23    (1.61)   (1.38)   (0.92)   (1.41)   (2.33)
11/30/2021   13.17    0.26    1.43    1.69    (0.55)   (0.27)   (0.82)
11/30/2020   11.61    0.24    1.67    1.91    (0.21)   (0.14)   (0.35)
11/30/2019   11.29    0.30    0.77    1.07    (0.41)   (0.34)   (0.75)
11/30/2018   12.19    0.24    (0.45)   (0.21)   (0.45)   (0.24)   (0.69)

 

(a) Does not include expenses of the Underlying Funds in which the Fund invests.
(b) Calculated using average shares outstanding during the period.
(c) Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions.

 

32 See Notes to Financial Statements.
 
        Ratios to Average Net Assets:(a)   Supplemental Data:
Net
asset
value,
end of
period
  Total
return
(%)
(c)
  Total
expenses
after
waivers
and/or
reimburse-
ments
(%)
  Total
expenses
(%)
  Net
invest-
ment
income
(%)
  Net
assets,
end of
period
(000)
  Portfolio
turnover
rate
(%)
                                 
$10.28    (12.17)   0.75    0.76    1.53   $37,063    104 
 13.98    12.62    0.74    0.74    1.30    49,825    47 
 13.12    16.74    0.77    0.77    1.56    48,308    60 
 11.58    9.94    0.76    0.76    1.91    52,554    25 
 11.26    (2.34)   0.76    0.76    1.84    27,258    31 
                                 
 10.30    (12.00)   0.50    0.51    1.79    11,617    104 
 14.01    12.88    0.49    0.49    1.54    14,343    47 
 13.15    17.09    0.52    0.52    1.79    13,893    60 
 11.60    10.19    0.52    0.52    2.12    12,167    25 
 11.29    (2.17)   0.51    0.51    2.07    4,971    31 
                                 
 10.33    (11.69)   0.25    0.26    2.08    158    104 
 14.03    13.15    0.24    0.24    1.78    186    47 
 13.17    17.34    0.28    0.28    1.79    178    60 
 11.62    10.44    0.27    0.27    2.38    204    25 
 11.30    (1.85)   0.26    0.26    2.45    121    31 
                                 
 10.33    (11.73)   0.17    0.18    2.12    10,119    104 
 14.04    13.26    0.17    0.17    1.88    11,969    47 
 13.17    17.48    0.19    0.19    2.13    10,480    60 
 11.61    10.47    0.19    0.19    2.61    15,985    25 
 11.29    (1.83)   0.18    0.18    2.01    5,451    31 

 

  See Notes to Financial Statements. 33
 

Financial Highlights

MULTI-ASSET INCOME FUND

 

       Per Share Operating Performance:    
       Investment Operations:  Distributions to
shareholders
from:
    
   Net asset
value,
beginning
of period
  Net
investment
income(b)
  Net
realized and
unrealized
gain (loss)
  Total from
investment
operations
  Net
investment
income
  Net asset
value,
end of
period
Class A                              
11/30/2022          $17.39    $0.35    $(2.24)   $(1.89)   $(0.90)       $14.60 
11/30/2021   16.47    0.32    1.21    1.53    (0.61)   17.39 
11/30/2020   15.02    0.33    1.43    1.76    (0.31)   16.47 
11/30/2019   14.34    0.40    0.78    1.18    (0.50)   15.02 
11/30/2018   15.08    0.36    (0.62)   (0.26)   (0.48)   14.34 
Class C                              
11/30/2022   17.68    0.24    (2.27)   (2.03)   (0.78)   14.87 
11/30/2021   16.74    0.18    1.23    1.41    (0.47)   17.68 
11/30/2020   15.25    0.22    1.47    1.69    (0.20)   16.74 
11/30/2019   14.55    0.30    0.79    1.09    (0.39)   15.25 
11/30/2018   15.29    0.26    (0.63)   (0.37)   (0.37)   14.55 
Class F                              
11/30/2022   17.39    0.37    (2.24)   (1.87)   (0.92)   14.60 
11/30/2021   16.47    0.34    1.22    1.56    (0.64)   17.39 
11/30/2020   15.02    0.35    1.43    1.78    (0.33)   16.47 
11/30/2019   14.34    0.42    0.78    1.20    (0.52)   15.02 
11/30/2018   15.08    0.38    (0.62)   (0.24)   (0.50)   14.34 
Class F3                              
11/30/2022   17.32    0.41    (2.25)   (1.84)   (0.94)   14.54 
11/30/2021   16.40    0.37    1.21    1.58    (0.66)   17.32 
11/30/2020   14.95    0.39    1.40    1.79    (0.34)   16.40 
11/30/2019   14.27    0.44    0.78    1.22    (0.54)   14.95 
11/30/2018   15.00    0.40    (0.61)   (0.21)   (0.52)   14.27 
Class I                              
11/30/2022   17.28    0.39    (2.23)   (1.84)   (0.94)   14.50 
11/30/2021   16.37    0.36    1.20    1.56    (0.65)   17.28 
11/30/2020   14.93    0.36    1.42    1.78    (0.34)   16.37 
11/30/2019   14.26    0.44    0.77    1.21    (0.54)   14.93 
11/30/2018   14.99    0.40    (0.61)   (0.21)   (0.52)   14.26 
Class R2                              
11/30/2022   17.92    0.31    (2.32)   (2.01)   (0.85)   15.06 
11/30/2021   16.95    0.26    1.25    1.51    (0.54)   17.92 
11/30/2020   15.44    0.29    1.47    1.76    (0.25)   16.95 
11/30/2019   14.73    0.35    0.81    1.16    (0.45)   15.44 
11/30/2018   15.47    0.32    (0.63)   (0.31)   (0.43)   14.73 
Class R3                              
11/30/2022   17.39    0.31    (2.24)   (1.93)   (0.86)   14.60 
11/30/2021   16.47    0.27    1.21    1.48    (0.56)   17.39 
11/30/2020   15.02    0.29    1.43    1.72    (0.27)   16.47 
11/30/2019   14.34    0.35    0.80    1.15    (0.47)   15.02 
11/30/2018   15.08    0.33    (0.63)   (0.30)   (0.44)   14.34 
   
34 See Notes to Financial Statements.
 
   Ratios to Average Net Assets:(a)  Supplemental Data:
       
Total
return
(%)
(c)
  Total expenses after
waivers and/or
reimbursements
(%)
  Total
expense
(%)
  Net
investment
income
(%)
  Net assets,
end of
period
(000)
  Portfolio
turnover
rate
(%)
                            
 (11.23)     0.49    0.50    2.30     $734,968    83   
 9.43    0.48    0.49    1.81    855,806    40 
 12.33    0.50    0.50    2.19    745,462    75 
 8.50    0.50    0.50    2.74    678,178    27 
 (1.79)   0.50    0.50    2.43    716,679    41 
                            
 (11.92)   1.25    1.25    1.50    92,856    83 
 8.66    1.23    1.24    1.03    188,842    40 
 11.46    1.25    1.25    1.44    240,404    75 
 7.70    1.25    1.25    2.00    340,786    27 
 (2.51)   1.25    1.25    1.69    410,332    41 
                            
 (11.10)   0.34    0.35    2.35    54,006    83 
 9.59    0.33    0.34    1.95    176,727    40 
 12.49    0.35    0.35    2.35    165,707    75 
 8.66    0.35    0.35    2.91    200,060    27 
 (1.64)   0.35    0.35    2.57    227,804    41 
                            
 (10.98)   0.18    0.18    2.59    541    83 
 9.76    0.17    0.18    2.11    1,735    40 
 12.68    0.18    0.18    2.61    2,013    75 
 8.83    0.19    0.19    3.01    3,527    27 
 (1.47)   0.18    0.18    2.70    4,077    41 
                            
 (11.02)   0.24    0.25    2.65    98,929    83 
 9.70    0.23    0.24    2.05    37,860    40 
 12.61    0.25    0.25    2.45    35,613    75 
 8.75    0.25    0.25    3.03    43,319    27 
 (1.48)   0.25    0.25    2.70    54,171    41 
                            
 (11.54)   0.84    0.85    2.00    174    83 
 9.06    0.83    0.83    1.46    140    40 
 11.97    0.85    0.85    1.87    124    75 
 8.10    0.85    0.85    2.36    138    27 
 (2.09)   0.84    0.84    2.08    122    41 
                            
 (11.46)   0.74    0.75    2.02    14,878    83 
 9.15    0.73    0.74    1.56    20,699    40 
 12.04    0.75    0.75    1.94    19,031    75 
 8.24    0.75    0.75    2.41    21,508    27 
 (2.03)   0.74    0.74    2.20    18,400    41 
     
  See Notes to Financial Statements. 35
 

Financial Highlights (concluded)

MULTI-ASSET INCOME FUND

 

        Per Share Operating Performance:     
        Investment Operations:  Distributions to
shareholders
from:
     
   Net asset
value,
beginning
of period
  Net
  investment
income
(b)
  Net
realized and
unrealized
gain (loss)
  Total from
investment
operations
  Net
   investment
income
  Net asset
value,
end of
period
Class R4                              
11/30/2022  $17.39   $0.35   $(2.24)  $(1.89)  $(0.90)  $14.60 
11/30/2021   16.47    0.31    1.22    1.53    (0.61)   17.39 
11/30/2020   15.02    0.33    1.43    1.76    (0.31)   16.47 
11/30/2019   14.34    0.38    0.80    1.18    (0.50)   15.02 
11/30/2018   15.08    0.34    (0.60)   (0.26)   (0.48)   14.34 
Class R5                              
11/30/2022   17.28    0.39    (2.22)   (1.83)   (0.94)   14.51 
11/30/2021   16.38    0.36    1.19    1.55    (0.65)   17.28 
11/30/2020   14.93    0.36    1.43    1.79    (0.34)   16.38 
11/30/2019   14.26    0.42    0.79    1.21    (0.54)   14.93 
11/30/2018   14.99    0.39    (0.60)   (0.21)   (0.52)   14.26 
Class R6                              
11/30/2022   17.32    0.40    (2.24)   (1.84)   (0.94)   14.54 
11/30/2021   16.40    0.37    1.21    1.58    (0.66)   17.32 
11/30/2020   14.95    0.38    1.41    1.79    (0.34)   16.40 
11/30/2019   14.27    0.44    0.78    1.22    (0.54)   14.95 
11/30/2018   15.00    0.38    (0.59)   (0.21)   (0.52)   14.27 
   
(a) Does not include expenses of the Underlying Funds in which the Fund invests.
(b) Calculated using average shares outstanding during the period.
(c) Total return for Classes A and C does not consider the effects of sales loads and assumes the reinvestment of all distributions. Total return for all other classes assumes the reinvestment of all distributions.
   
36 See Notes to Financial Statements.
 
      Ratios to Average Net Assets:(a)  Supplemental Data:
          
Total
return
(%)
(c)
  Total expenses after
waivers and/or
reimbursements
(%)
  Total
expense
(%)
  Net
investment
income
(%)
  Net assets,
end of
period
(000)
  Portfolio
turnover
rate
(%)
                             
  (11.23)   0.49    0.50    2.29   $2,489    83 
  9.43    0.48    0.49    1.80    3,435    40 
  12.33    0.50    0.50    2.18    2,988    75 
  8.50    0.50    0.50    2.62    2,421    27 
  (1.77)   0.49    0.49    2.31    1,756    41 
                             
  (11.02)   0.24    0.24    2.56    47    83 
  9.76    0.23    0.23    2.06    53    40 
  12.61    0.24    0.24    2.42    47    75 
  8.75    0.24    0.24    2.89    36    27 
  (1.55)   0.24    0.24    2.64    28    41 
                             
  (10.98)   0.18    0.19    2.62    1,015    83 
  9.76    0.17    0.18    2.11    1,159    40 
  12.68    0.18    0.18    2.55    1,030    75 
  8.83    0.19    0.19    3.02    2,873    27 
  (1.47)   0.18    0.18    2.58    2,807    41 
     
  See Notes to Financial Statements. 37
 

Notes to Financial Statements

 

1.ORGANIZATION  

 

Lord Abbett Investment Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company and was organized as a Delaware statutory trust on August 16, 1993. The Trust consists of fourteen funds. This report covers the following two funds (separately, a “Fund” and collectively, the “Funds”) and their respective active share classes:

 

Funds   Classes
Lord Abbett Multi-Asset Balanced Opportunity Fund (“Multi-Asset Balanced Opportunity Fund”)   A, C, F, F3, I, P, R2, R3, R4, R5 and R6
Lord Abbett Multi-Asset Income Fund (“Multi-Asset Income Fund”)   A, C, F, F3, I, R2, R3, R4, R5 and R6

 

The Funds’ Class P shares are closed to substantially all new investors, with certain exceptions as set forth in the Funds’ prospectus.

 

Multi-Asset Balanced Opportunity Fund’s investment objective is to seek current income and capital growth. Multi-Asset Income Fund’s investment objective is to seek a high level of current income. The Funds invest principally in other mutual funds (“Underlying Funds”) managed by Lord, Abbett & Co. LLC (“Lord Abbett”).

 

Each class of shares has different expenses and dividends. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A shares. There is no front-end sales charge in the case of Class C, F, F3, I, P, R2, R3, R4, R5 and R6 shares, although there may be a contingent deferred sales charge (“CDSC”) in certain cases as follows: Class A shares purchased without a sales charge and redeemed before the first day of the month in which the one-year anniversary of the purchase falls (subject to certain exceptions as set forth in each Fund’s prospectus); Class C shares redeemed before the first anniversary of purchase. Class C shares automatically convert to Class A shares on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the month on which the purchase order was accepted, provided that the Fund or financial intermediary through which a shareholder purchased Class C shares has records verifying that the C shares have been held at least eight years.

 

The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make certain 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. These Funds are considered investment companies under U.S. GAAP and follow the accounting and reporting guidance applicable to investment companies.

 

2.SIGNIFICANT ACCOUNTING POLICIES  

 

(a) Investment Valuation–Under procedures approved by the Funds’ Board of Trustees (the “Board”), the Board has designated the determination of fair value of the Funds’ portfolio investments to Lord Abbett, as valuation designee. Accordingly, Lord Abbett is responsible for, among other things, assessing and managing valuation risks, establishing, applying and testing fair value methodologies, and evaluating pricing services. Lord Abbett has formed a Pricing Committee that performs these responsibilities on behalf of Lord Abbett, administers the

 

38

 

Notes to Financial Statements (continued)

 

  pricing and valuation of portfolio investments and ensures that prices utilized reasonably reflect fair value. Among other things, these procedures allow Lord Abbett, subject to Board oversight, to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.
   
  Investments in the Underlying Funds are valued at their NAV each business day at the close of regular trading on the New York Stock Exchange, normally 4:00 p.m. Eastern time. Exchange traded options and futures contracts are valued at the last quoted sale price in the market where they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and ask prices is used. Forward foreign currency exchange contracts are valued using daily forward exchange rates. Swaps are valued daily using independent pricing services or quotations from broker/dealers to the extent available.
   
  Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information to determine the fair value of portfolio investments. The Board or a designated committee thereof periodically reviews reports that may include fair value determinations made by the Pricing Committee, related market activity, inputs and assumptions, and retrospective comparison of prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee.
   
  Investments in open-end money market mutual funds are valued at their NAV as of the close of each business day. Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value.
   
(b) Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Realized and unrealized gains (losses) are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day.
   
(c) Investment Income–Dividend income and capital gain distributions are recorded on the ex-dividend date. Interest income is recorded on the accrual basis as earned. Discounts are accreted and premiums are amortized using the effective interest method and are included in Interest and other, if applicable, on the Statements of Operations. Investment income is allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day.
   
(d) Income Taxes–It is the policy of each Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required.
   
  Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s filed U.S. federal tax returns remains open for the fiscal years ended November 30, 2019 through November 30, 2022. The statutes of limitations on the Trust’s state and local tax returns may remain open for an additional year depending upon each Fund’s jurisdiction.

 

39

 

Notes to Financial Statements (continued)

 

(e) Expenses–Expenses incurred by the Trust that do not specifically relate to an individual fund are generally allocated to the Funds within the Trust on a pro rata basis by relative net assets. Expenses, excluding class-specific expenses, are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. In addition, Class F3 and R6 bear only their class-specific shareholder servicing expenses. Class A, C, F, P, R2, R3 and R4 shares bear their class-specific share of all expenses and fees relating to the Funds’ 12b-1 Distribution Plan.
   
(f) Foreign Transactions–The books and records of each Fund are maintained in U.S. dollars and transactions denominated in foreign currencies are recorded in each Fund’s records at the rate prevailing when earned or recorded. Asset and liability accounts that are denominated in foreign currencies are adjusted daily to reflect current exchange rates and any unrealized gain (loss), if applicable, is included in Net change in unrealized appreciation/depreciation on translation of assets and liabilities denominated in foreign currencies on each Fund’s Statement of Operations. The resultant exchange gains and losses upon settlement of such transactions, if applicable, are included in Net realized gain (loss) on foreign currency related transactions on each Fund’s Statement of Operations. The Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in market prices of the securities.
   
  Each Fund uses foreign currency exchange contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
   
(g) Forward Foreign Currency Exchange Contracts–Each Fund may enter into forward foreign currency exchange contracts in order to reduce exposure to changes in foreign currency exchange rates on foreign portfolio holdings, or gain or reduce exposure to foreign currency solely for investment purposes. A forward foreign currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated rate. The contracts are valued daily at forward exchange rates and any unrealized gain (loss), if applicable, is included in Net change in unrealized appreciation/depreciation on forward foreign currency exchange contracts in each Fund’s Statement of Operations. The gain (loss) arising from the difference between the U.S. dollar cost of the original contract and the value of the forward foreign currency in U.S. dollars upon closing of such contracts is included, if applicable, in Net realized gain (loss) on forward foreign currency exchange contracts in each Fund’s Statement of Operations.
   
(h) Futures Contracts–Each Fund may purchase and sell futures contracts to enhance returns, to attempt to economically hedge some of its investment risk, or as a substitute position in lieu of holding the underlying asset on which the instrument is based. At the time of entering into a futures transaction, an investor is required to deposit and maintain a specified amount of cash or eligible securities called “initial margin.” Subsequent payments made or received by the Fund called “variation margin” are made on a daily basis as the market price of the futures contract fluctuates. Each Fund will record an unrealized gain (loss) based on the amount of variation margin. When a contract is closed, a realized gain (loss) is recorded equal to the difference between the opening and closing value of the contract.
   
(i) Credit Default Swaps–Each Fund may enter into credit default swap contracts in order to hedge credit risk or for speculation purposes. As a seller of a credit default swap contract

 

40

 

Notes to Financial Statements (continued)

 

(“seller of protection”), a Fund is required to pay the notional amount or other agreed-upon value of a referenced debt obligation to the counterparty in the event of a default by or other credit event involving the referenced issuer, obligation or index. In return, a Fund receives from the counterparty a periodic stream of payments over the term of the contract.

 

As a purchaser of a credit default swap contract (“buyer of protection”), a Fund would receive the notional amount or other agreed upon value of a referenced debt obligation from the counterparty in the event of default by or other credit event involving the referenced issuer, obligation or index. In return, a Fund makes periodic payments to the counterparty over the term of the contracts, provided no event of default has occurred.

 

These credit default swaps may have as a reference obligation corporate or sovereign issuers or credit indexes. These credit indexes are comprised of a basket of securities representing a particular sector of the market.

 

Credit default swaps are fair valued based upon quotations from counterparties, brokers or market-makers and the change in value, if any, is recorded as an unrealized appreciation or depreciation. For a credit default swap sold by a Fund, payment of the agreed-upon amount made by a Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation purchased/received. For a credit default swap purchased by a Fund, the agreed-upon amount received by a Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by a Fund.

 

Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the custodian bank or broker in accordance with the swap agreement. The value and credit rating of each credit default swap where a Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities.

 

Entering into credit default swaps involves credit and market risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates, and that Lord Abbett does not correctly predict the creditworthiness of the issuers of the reference obligation on which the credit default swap is based. For the centrally cleared credit default swaps, there was minimal counterparty risk to the Fund, since such credit default swaps entered into were traded through a central clearinghouse, which guarantees against default.

 

41

 

Notes to Financial Statements (continued)

 

(j) Options–Each Fund may purchase and write exchange-listed and over-the-counter put or call options on securities, stock indices, currencies and other financial instruments for hedging purposes, to enhance portfolio returns and reduce overall volatility.
   
  When a Fund writes (sells) an option, an amount equal to the premium received by each Fund is recorded as a liability in the Statements of Assets and Liabilities. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. When an option expires, each fund realizes a gain on the option to the extent of the premium received. Premiums received from writing options which are exercised or closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. If a put option on a security is exercised, the premium reduces the cost basis of the security purchased by each Fund. If a call option is exercised, the premium is added to the proceeds of the security sold to determine the realized gain or loss. Each Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the underlying investment. Other risks include the possibility of an illiquid options market or the inability of the counterparties to fulfill their obligations under the contracts.
   
  Put and call options purchased are accounted for in the same manner as portfolio securities. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss when the underlying transaction is executed. The risk associated with purchasing an option is that each Fund pays a premium whether or not the option is exercised. Additionally, each Fund bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract. Realized and change in unrealized gains and losses on purchased options are included in realized and change in unrealized gains and losses on investments in each Fund’s Statement of Operations.
   
(k) Total Return Swaps–Each Fund may enter into total return swap agreements to obtain exposure to a security or market without owning such security or investing directly in that market. Each Fund may agree to make payments that are the equivalent of interest in exchange for the right to receive payments equivalent to any appreciation in the value of an underlying security, index or other asset, as well as receive payments equivalent to any distributions made on that asset, over the term of the swap. If the value of the asset underlying a total return swap declines over the term of the swap, each Fund also may be required to pay an amount equal to that decline in value to their counterparty.
   
(l) Repurchase Agreements–Each Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. Each Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, a Fund may incur a loss upon disposition of the securities.

 

42

 

Notes to Financial Statements (continued)

 

(m) Fair Value Measurements–Fair value is defined as the price that each Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk - for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy classification is determined based on the lowest level of inputs that is significant to the fair value measurement, and is summarized in the three broad Levels listed below:

 

  Level 1 – unadjusted quoted prices in active markets for identical investments;
     
  Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and
     
  Level 3 – significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments).

 

A summary of inputs used in valuing each Fund’s investments and other financial instruments as of November 30, 2022 and, if applicable, Level 3 rollforwards for the fiscal year then ended is included in each Fund’s Schedule of Investments.

 

Changes in valuation techniques may result in transfers into or out of an assigned level within the three-tier hierarchy. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

3.MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES  

 

Management Fee

The Trust has a management agreement with Lord Abbett, pursuant to which Lord Abbett provides each Fund with investment management services and executive and other personnel, provides office space and pays for ordinary and necessary office and clerical expenses relating to research and statistical work and supervision of each Fund’s investment portfolio. The management fee is accrued daily and payable monthly.

 

The management fee is based on each Fund’s average daily net assets at an annual rate of .10%.

 

For the fiscal year ended November 30, 2022, the effective management fee, net of any applicable waivers, was based on each Fund’s average daily net assets at the following annualized rates:

 

    Net Effective
Management Fee
Multi-Asset Balanced Opportunity Fund   .10%
Multi-Asset Income Fund   .10%

 

In addition, Lord Abbett provides certain administrative services to each Fund pursuant to an Administrative Services Agreement in return for a fee at an annual rate of .04% of each Fund’s daily

 

43

 

Notes to Financial Statements (continued)

 

net assets. The fund administration fee is accrued daily and payable monthly. Lord Abbett voluntarily waived the following fund administration fees for the fiscal year ended November 30, 2022:

 

Fund    Fund
Administration Fee
Multi-Asset Balanced Opportunity Fund $94,132
Multi-Asset Income Fund   33,146

 

12b-1 Distribution Plan

Each Fund has adopted a distribution plan with respect to Class A, C, F, P, R2, R3 and R4 shares pursuant to Rule 12b-1 under the Act, which provides for the payment of ongoing distribution and service fees to Lord Abbett Distributor LLC (the “Distributor”), an affiliate of Lord Abbett. The distribution and service fees are accrued daily and payable monthly. The following annual rates have been authorized by the Board pursuant to the plan:

 

Fees* Class A   Class C   Class F(1)   Class P   Class R2   Class R3   Class R4
Service .25%   .25%     .25%   .25%   .25%   .25%
Distribution   .75%   .10%   .20%   .35%   .25%  

 

* The Funds may designate a portion of the aggregate fees attributable to service activities for purposes of calculating Financial Industry Regulatory Authority, Inc. (“FINRA”) sales charge limitations.
(1)  The Class F Share Rule 12b-1 fee may be designated as a service fee in limited circumstances as described in the Funds’ prospectus.

 

Class F3, Class I, Class R5 and Class R6 shares do not have a distribution plan.

 

Commissions

Distributor received the following commissions on sales of shares of the Funds , after concessions were paid to authorized dealers, for the fiscal year ended November 30, 2022:

 

   Distributor
Commissions
   Dealers’
Concessions
 
Multi-Asset Balanced Opportunity Fund             $138,970            $867,606 
Multi-Asset Income Fund   46,002    283,311 

 

Distributor received the following amount of CDSCs for the fiscal year ended November 30, 2022:

 

   Class A   Class C 
Multi-Asset Balanced Opportunity Fund   $23,638    $8,540 
Multi-Asset Income Fund   16,850    6,217 

 

One Trustee and certain of the Trust’s officers have an interest in Lord Abbett.

 

4.DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS  

 

Dividends from net investment income, if any, are declared and paid monthly for Multi-Asset Balanced Opportunity Fund and Multi-Asset Income Fund. Taxable net realized gains from investment transactions, reduced by allowable capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amounts of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions, which exceed earnings and profits for tax purposes, are reported as a tax return of capital.

 

44

 

Notes to Financial Statements (continued)

 

The tax character of distributions paid during the fiscal year ended November 30, 2022 and fiscal year ended November 30, 2021 was as follows:

 

Multi-Asset Balanced Opportunity Fund    Multi-Asset Income Fund 
   Year Ended   Year Ended   Year Ended   Year Ended 
   11/30/22   11/30/21   11/30/22   11/30/21 
Distributions paid from:                            
Tax Exempt Income    $     $324,743     $     $1,454,134 
Ordinary income     173,818,814      93,819,030      65,287,761      41,891,075 
Net long-term capital gains     271,701,274      53,919,159             
Total distributions paid    $445,520,088     $148,062,932     $65,287,761     $43,345,209 

 

As of November 30, 2022, the components of accumulated gains (losses) on a tax-basis were as follows:

 

  Multi-Asset Balanced    Multi-Asset 
  Opportunity Fund    Income Fund 
Undistributed ordinary income - net                $7,066,906       $3,457,798 
Total undistributed earnings   7,066,906      3,457,798 
Capital loss carryforwards*   (146,985,239)     (74,482,310)
Temporary differences   (9,441,511)     (4,360,183)
Unrealized gains (losses) - net   (143,792,074)     (89,627,711)
Total accumulated gains (losses) - net  $(293,151,918)    $(165,012,406)
* The capital losses will carry forward indefinitely.

 

As of November 30, 2022, the aggregate unrealized security gains and losses on investments and other financial instruments based on cost for U.S. federal income tax purposes were as follows:

 

 Multi-Asset Balanced
Opportunity Fund
   Multi-Asset
Income Fund
 
Tax cost              $2,244,138,847       $1,093,475,443 
Gross unrealized gain   51,032,693      15,647,540 
Gross unrealized loss   (194,844,583)     (105,284,955)
Net unrealized security gain (loss)  $(143,811,890)    $(89,637,415)

 

The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of certain distributions, other financial instruments and wash sales.

 

Permanent items identified during the fiscal year ended November 30, 2022 have been reclassified among the components of net assets based on their tax basis treatment as follows:

 

 Total Distributable
Earnings (Loss
)   Paid-in Capital 
Multi-Asset Balanced Opportunity Fund     $(450,000)       $450,000 

 

The permanent differences are attributable to certain distributions.

 

 5.PORTFOLIO SECURITIES TRANSACTIONS  

 

Purchases and sales of investment securities (excluding short-term investments) for the fiscal year ended November 30, 2022 were as follows:

 

   Purchases   Sales 
Multi-Asset Balanced Opportunity Fund  $2,395,456,526   $2,565,286,433 
Multi-Asset Income Fund   918,311,359    999,705,731 

 

There were no purchases or sales of U.S. Government securities for the fiscal year ended November 30, 2022.

 

45

 

Notes to Financial Statements (continued)

 

 6.DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES  

 

The Funds entered into forward foreign currency exchange contracts for the fiscal year ended November 30, 2022 (as described in Note 2(g)). A forward foreign currency exchange contract reduces each Fund’s exposure to changes in the value of the currency it will deliver (or settle in cash) and increases its exposure to changes in the value of the currency it will receive (or settle in cash) for the duration of the contract. Each Fund’s use of forward foreign currency exchange contracts involves the risk that Lord Abbett will not accurately predict currency movements, and each Fund’s returns could be reduced as a result. Forward foreign currency exchange contracts are subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedged positions, that the U.S. dollar will decline relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time. Each Fund’s risk of loss from counterparty credit risk is the unrealized appreciation on forward foreign currency exchange contracts.

 

The Funds entered into domestic and foreign equity index futures contracts for the fiscal year ended November 30, 2022 (as described in Note 2(h)) to manage cash and economically hedge against changes in interest rates. The Funds bear the risk of interest rates moving unexpectedly, in which case the Funds may not achieve the anticipated benefits of the futures contracts and realize a loss. 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 futures against default.

 

The Funds entered into options on indexes and foreign currencies for the fiscal year ended November 30, 2022 (as described in Note 2(j)) to obtain exposure to an issuer (the Reference Entity). The Funds’ use of swaptions and options involves the risk that Lord Abbett will not accurately predict expectations of market value of the Reference Entity, and the Funds’ returns could be reduced as a result. The Funds’ risk of loss from counterparty credit risk is the notional value of the contract.

 

The Funds entered into total return swaps on indexes and foreign currencies for the fiscal year ended November 30, 2022 (as described in Note 2(k)) to hedge credit risk. The Funds may enter into total return swap agreements to obtain exposure to a security or market without owning such security or investing directly in that market. The Funds may agree to make payments that are the equivalent of interest in exchange for the right to receive payments equivalent to any appreciation in the value of an underlying security, index or other asset, as well as receive payments equivalent to any distributions made on that asset, over the term of the swap. If the value of the asset underlying a total return swap declines over the term of the swap, the Funds also may be required to pay an amount equal to that decline in value to their counterparty.

 

As of November 30, 2022 the Funds had the following derivatives at fair value, grouped into risk categories that illustrate the Funds use of derivative instruments:

 

 Multi-Asset Balanced Opportunity Fund 
Asset Derivatives  Equity
Contracts
 
Futures Contracts(1)    $3,731,182 
Purchased Options(2)     2,496,055 
Liability Derivatives       
Futures Contracts(1)     1,257,348 
OTC Written Options(3)     577,993 

 

46

 

Notes to Financial Statements (continued)

 

 Multi-Asset Income Fund 
Asset Derivatives  Equity
Contracts
 
Futures Contracts(1)    $1,780,707 
Purchased Options(2)     1,229,410 
Liability Derivatives       
Futures Contracts(1)     1,394,751 
OTC Written Options(3)     284,683 

 

(1) Statements of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation on futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.
(2) Statements of Assets and Liabilities location: included in Investments in securities, at fair value.
(3) Statements of Assets and Liabilities location: Options written outstanding, at fair value.

 

Transactions in derivative instruments for the fiscal year ended November 30, 2022, were as follows:

 

   Multi-Asset Balanced Opportunity Fund 
             
   Equity
Contracts
   Inflation
Linked/
Interest
Rate
Contracts
   Foreign
Currency
Contracts
 
Net Realized Gain (Loss)               
Forward Foreign Currency Exchange Contracts(1)  $   $   $(70,216)
Futures Contracts(2)   26,344,095    (800,769)    
Purchased Options(3)   18,092,216        3,315,082 
Total Return Swap Contracts(4)   (1,425,320)   (5,892,345)    
OTC Written Options(5)   (2,037,734)       (3,138,340)
Net Change in Unrealized Appreciation/Depreciation               
Futures Contracts(6)   620,573         
Purchased Options(7)   (7,354,336)        
OTC Written Options(8)   1,579,407         
Average Number of Contracts/Notional Amounts*               
Total Return Swap Contracts(9)  $26,594,035         
Futures Contracts(10)   1,053    502     
Purchased Options(9)  $25,339       $93,538,462 
OTC Written Options(9)  $(9,947)      $(82,461,538)

 

47

 

Notes to Financial Statements (continued)

 

   Multi-Asset Income Fund 
             
   Equity
Contracts
   Inflation
Linked/
Interest
Rate
Contracts
   Foreign
Currency
Contracts
 
Net Realized Gain (Loss)               
Forward Foreign Currency Exchange Contracts(1)  $   $   $(34,584)
Futures Contracts(2)   10,829,700    (807,934)    
Purchased Options(3)   8,911,091        1,682,372 
Total Return Swap Contracts(4)   (701,958)   (2,902,129)    
OTC Written Options(5)   (990,576)       (1,558,834)
Net Change in Unrealized Appreciation/Depreciation               
Futures Contracts(6)   (485,922)        
Purchased Options(7)   (3,622,292)        
OTC Written Options(8)   777,917         
Average Number of Contracts/Notional Amounts*               
Total Return Swap Contracts(9)  $13,098,398         
Futures Contracts(10)   511    239     
Purchased Options(9)  $12,481       $46,076,923 
OTC Written Options(9)  $(4,899)      $(40,615,385)

 

* Calculated based on the number of contracts or notional amounts for the fiscal year ended November 30, 2022.
(1)  Statements of Operations location: Net realized gain (loss) on forward foreign currency exchange contracts.
(2)  Statements of Operations location: Net realized gain (loss) on futures contracts.
(3)  Statements of Operations location: Net realized gain (loss) on investments includes options purchased.
(4)  Statements of Operations location: Net realized gain (loss) on swap contracts.
(5)  Statements of Operations location: Net realized gain (loss) on OTC written options.
(6)  Statements of Operations location: Net change in unrealized appreciation/depreciation on futures contracts.
(7)  Statements of Operations location: Net change in unrealized appreciation/depreciation on investments includes options purchased.
(8)  Statements of Operations location: Net change in unrealized appreciation/depreciation on OTC written options.
(9)  Amounts represents notional amounts in U.S. dollars.
(10)  Amounts represents number of contracts.

 

 7.DISCLOSURES ABOUT OFFSETTING ASSETS AND LIABILITIES  

 

The Financial Accounting Standards Board requires disclosures intended to help better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. The following tables illustrate gross and net information about recognized assets and liabilities eligible for offset in the Statements of Assets and Liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by the counterparty. A master netting agreement is an agreement between a fund and the counterparty which provides for the net settlement of amounts owed under all contracts traded under that agreement, as well as cash collateral, through a single payment by one party to the other in the event of default on or termination of any one contract. The Funds’ accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master netting agreement does not result in an offset of reported amounts of financial assets and liabilities in the Statements of Assets and Liabilities across transactions between the Funds and the applicable counterparty:

 

48

 

Notes to Financial Statements (continued)

 

     Multi-Asset Balanced Opportunity Fund 
         Gross Amounts   Net Amounts of 
         Offset in the   Assets Presented 
   Gross Amounts of   Statement of Assets   in the Statement of 
Description  Recognized Assets   and Liabilities   Assets and Liabilities 
OTC Options Purchased      $2,496,055     $       $2,496,055 
Repurchase Agreements     1,641,072            1,641,072 
Total    $4,137,127     $     $4,137,127 
       Amounts Not Offset in the     
   Net Amounts of   Statement of Assets and Liabilities     
Counterparty  Assets Presented
in the Statement of
Assets and Liabilities
   Financial
Instruments
   Cash
Collateral
Received
(a)
   Securities
Collateral
Received(a)
   Net
Amount(b)
 
Morgan Stanley       $20,187          $   $   $     $20,187 
UBS AG     2,475,868    (577,993)           1,897,875 
Fixed Income Clearing Corp.     1,641,072            (1,641,072)    
Total    $4,137,127   $(577,993)  $   $(1,641,072)  $1,918,062 
Description  Gross Amounts of
Recognized Liabilities
   Gross Amounts
Offset in the
Statement of Assets
and Liabilities
   Net Amounts of
Liabilities Presented
in the Statement of
Assets and Liabilities
 
OTC Options Written                            $577,993        $                      $577,993 
Total    $577,993     $     $577,993 
        Amounts Not Offset in the    
    Net Amounts of   Statement of Assets and Liabilities      
Counterparty   Liabilities Presented
in the Statement of
Assets and Liabilities
   Financial
Instruments
    Cash
Collateral
Pledged(a)
   Securities
Collateral
Pledged(a)
   Net
Amount(c)
 
UBS AG        $577,993         $ (577,993)    $   $   $ 
Total     $577,993   $ (577,993)    $   $   $ 
      Multi-Asset Income Fund 
Description  Gross Amounts of
Recognized Assets
   Gross Amounts
Offset in the
Statement of Assets
and Liabilities
   Net Amounts of
Assets Presented
in the Statement of
Assets and Liabilities
 
OTC Options Purchased    $1,229,410     $                          $1,229,410 
Repurchase Agreements     1,282,194            1,282,194 
Total    $2,511,604     $     $2,511,604 
   Net Amounts of   Amounts Not Offset in the
Statement of Assets and Liabilities
     
Counterparty  Assets Presented
in the Statement of
Assets and Liabilities
   Financial
Instruments
   Cash
Collateral
Received(a)
   Securities
Collateral
Received(a)
   Net
Amount(b)
 
Morgan Stanley     $9,943         $   $   $      $9,943 
UBS AG      1,219,467    (284,683)           934,784 
Fixed Income Clearing Corp.     1,282,194       $   $(1,282,194)    
Total     $2,511,604   $(284,683)  $   $(1,282,194)  $944,727 
Description  Gross Amounts of
Recognized Liabilities
   Gross Amounts
Offset in the
Statement of Assets
and Liabilities
   Net Amounts of
Liabilities Presented
in the Statement of
Assets and Liabilities
 
OTC Options Written                        $284,683    $                         $284,683 
Total  $284,683   $   $284,683 

 

49

 

Notes to Financial Statements (continued)

 

       Amounts Not Offset in the    
   Net Amounts of   Statement of Assets and Liabilities      
Counterparty  Liabilities Presented
in the Statement of
Assets and Liabilities
   Financial
Instruments
    Cash
Collateral
Pledged(a)
   Securities
Collateral
Pledged(a)
   Net
Amount(c)
 
UBS AG    $284,683   $ (284,683)    $   $   $ 
Total    $284,683   $ (284,683)    $   $   $ 
   
(a) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets (liabilities) presented in the Statements of Assets and Liabilities, for each respective counterparty.
(b) Net amount represents the amount owed to the Fund by the counterparty as of November 30, 2022.
(c) Net amount represents the amount owed by the Fund to the counterparty as of November 30, 2022.

 

8. TRUSTEES’ REMUNERATION  

 

The Trust’s officers and one Trustee, who are associated with Lord Abbett, do not receive any compensation from the Trust for serving in such capacities. Independent Trustees’ fees are allocated among all Lord Abbett-sponsored funds based on the net assets of each fund. There is an equity-based plan available to all Independent Trustees under which Independent Trustees may elect to defer receipt of a portion of Trustees’ fees. The deferred amounts are treated as though equivalent dollar amounts had been invested in the Funds. Such amounts and earnings accrued thereon are included in Trustees’ fees on the Statements of Operations and in Trustees’ fees payable on the Statements of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.

 

9. EXPENSE REDUCTIONS  

 

The Trust has entered into an arrangement with its transfer agent and custodian, whereby credits realized as a result of uninvested cash balances are used to reduce a portion of each Fund’s expenses.

 

10. INTERFUND LENDING PROGRAM  

 

Pursuant to an exemptive order issued by the U.S. Securities and Exchange Commission (“SEC exemptive order”) certain registered open-end management investment companies managed by Lord Abbett, including each Fund, participate in a joint lending and borrowing program (the “Interfund Lending Program”). The SEC exemptive order allows the funds that participate in the Interfund Lending Program to borrow money from and lend money to each other for temporary or emergency purposes subject to the limitations and conditions.

 

For the fiscal year ended November 30, 2022, the Funds did not participate as a borrower or lender in the Interfund Lending Program.

 

11. CUSTODIAN AND ACCOUNTING AGENT  

 

State Street Bank and Trust Company (“SSB”) is the Trust’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculating each Fund’s NAV.

 

12. TRANSACTIONS WITH AFFILIATED ISSUERS  

 

An affiliated issuer is one in which a Fund has ownership of at least 5% of the outstanding voting securities of the underlying issuer at any point during the fiscal year or any company which is under common ownership or control. Multi-Asset Balanced Opportunity Fund and Multi-Asset

 

50

 

Notes to Financial Statements (continued)

 

Income Fund had the following transactions with affiliated issuers during the fiscal year ended November 30, 2022:

 

       Multi-Asset Balanced Opportunity Fund 
Affiliated Issuer  Value at
11/30/2021
   Purchases
at Cost
   Proceeds
from
Sales
   Net
Realized
Gain (Loss)
   Change in
Appreciation
(Depreciation)
   Value at
11/30/2022
   Shares
 as of
11/30/2022
   Dividend
Income
 
Lord Abbett Investment Trust–Convertible Fund–Class I  $38,141,381   $140,350,698   $(79,581,043)  $1,084,174(a)   $(8,240,863)  $86,596,052    6,786,525   $1,316,772 
Lord Abbett Investment Trust–Core Fixed Income Fund–Class I   87,721,578    264,673,357    (335,819)   289,414(b)    (16,000,851)   336,026,112    36,015,661    4,520,720 
Lord Abbett Research Fund, Inc.–Dividend Growth Fund–Class I       359,263,268            31,594,423    390,857,691    20,812,444    254,764 
Lord Abbett Securities Trust–Durable Growth Fund–Class I   177,699,338    169,304,591    (273,326,745)   (75,562,566)   1,885,382            156,160 
Lord Abbett Global Fund, Inc.–Emerging Markets Bond Fund–Class I   119,016,869    4,884,371    (21,728,334)   (5,943,068)   (16,392,352)   79,837,486    20,160,981    4,884,371 
Lord Abbett Investment Trust–Floating Rate Loan Fund–Class I   11,472,224    110,213,404    (114,447,562)   (7,229,489)   (8,577)           2,348,528 
Lord Abbett Securities Trust–Focused Large Cap Value Fund–Class I   492,032,108    126,118,950    (580,019,432)   (40,132,647)   2,001,021             
Lord Abbett Securities Trust–Focused Small Cap Value Fund–Class I   13,971,351    250,000    (13,762,145)   767,690    (1,226,896)            
Lord Abbett Securities Trust–Fundamental Equity Fund–Class I   166,762,679    246,065,382    (40,027,008)   19,227,071(c)    (1,439,752)   376,143,288    29,971,577    5,036,940 
Lord Abbett Securities Trust–Growth Leaders Fund–Class I   299,984,032    110,866,315    (139,078,595)   2,313,401    (102,779,487)   171,305,666    6,098,457     
Lord Abbett Research Fund, Inc.–Growth Opportunities Fund–Class I   158,387,442    95,043,387    (180,460,994)   (28,732,105)(d)    (23,412,268)            
Lord Abbett Investment Trust–High Yield Fund–Class I   451,367,037    17,452,482    (255,628,766)   (32,924,906)(e)    (27,036,794)   152,624,937    24,498,385    16,848,366 
Lord Abbett Investment Trust–Inflation Focused Fund–Class I   137,252,289    14,074,881    (64,296,814)   1,947,947    (9,638,012)   79,340,291    6,810,325    3,395,206 
Lord Abbett Securities Trust–International Equity Fund–Class I   106,067,394    12,621,520    (5,703,398)   9,700,929(f)    (24,829,818)   87,011,638    6,571,876    1,601,531 
Lord Abbett Securities Trust–International Value Fund–Class I   210,076,641    8,295,133    (121,959,004)   (4,273,549)   (18,410,437)   73,728,784    10,623,744    8,070,134 
Lord Abbett Mid-Cap Stock Fund–Class I   120,558,068    42,969,069    (147,850,727)   20,782,323(g)    (26,591,078)           1,203,717 
Lord Abbett Investment Trust–Short Duration Income Fund–Class I   15,670,366    101,335,847    (114,989,756)   (2,061,091)   44,634            440,140 

 

51

 

Notes to Financial Statements (continued)

 

           Multi-Asset Balanced Opportunity Fund 
Affiliated Issuer  Value at
11/30/2021
   Purchases
at Cost
   Proceeds
from
Sales
   Net
Realized
Gain (Loss)
   Change in
Appreciation
(Depreciation)
   Value at
11/30/2022
   Shares
 as of
11/30/2022
   Dividend
Income
 
Lord Abbett Investment Trust–Ultra Short Bond Fund–Class I  $   $571,673,871   $(310,871,022)  $(1,736,960)  $(401,245)  $258,664,644    26,394,351   $2,804,935 
Lord Abbett Securities Trust–Value Opportunities Fund–Class I   108,120,324        (101,219,268)   (16,406,687)   9,505,631             
Total                 $(158,890,119)  $(231,377,339)  $2,092,136,589        $52,882,284 

 

(a)  Includes $5,158,295 of distributed capital gains.
(b)  Includes $321,567 of distributed capital gains.
(c)  Includes $14,445,084 of distributed capital gains.
(d)  Includes $20,825,462 of distributed capital gains.
(e)  Includes $604,116 of distributed capital gains.
(f)  Includes $10,844,989 of distributed capital gains.
(g)  Includes $9,867,655 of distributed capital gains.

 

           Multi-Asset Income Fund 
Affiliated Issuer  Value at
11/30/2021
   Purchases
at Cost
   Proceeds
from
Sales
   Net
Realized
Gain (Loss)
   Change in
 Appreciation
(Depreciation)
   Value at
11/30/2022
   Shares
as of
11/30/2022
   Dividend
Income
 
Lord Abbett Investment Trust–Convertible Fund–Class I  $12,935,007   $67,282,697   $(37,093,929)  $1,547,271(a)   $(4,232,094)  $38,707,231    3,033,482   $546,272 
Lord Abbett Investment Trust–Core Fixed Income Fund–Class I   164,060,863    176,393,527        681,194(b)    (33,089,675)   307,364,715    32,943,699    6,341,807 
Lord Abbett Research Fund, Inc.–Dividend Growth Fund–Class I       99,119,756            7,563,133    106,682,889    5,680,665    32,286 
Lord Abbett Securities Trust–Durable Growth Fund–Class I   67,358,168    69,562,350    (110,513,011)   (29,661,189)   3,253,682            64,014 
Lord Abbett Global Fund, Inc.–Emerging Markets Bond Fund–Class I   62,761,365    2,481,575    (19,713,383)   (5,378,676)   (6,775,858)   33,375,023    8,428,036    2,481,575 
Lord Abbett Investment Trust–Floating Rate Loan Fund–Class I   38,184,802    54,162,564    (87,311,945)   (4,762,977)   (272,444)           1,987,027 
Lord Abbett Securities Trust–Focused Large Cap Value Fund–Class I   147,095,808    30,225,502    (164,855,263)   (13,686,606)   1,220,559             
Lord Abbett Securities Trust–Focused Small Cap Value Fund–Class I   5,353,035        (5,181,545)   325,374    (496,864)            
Lord Abbett Securities Trust–Fundamental Equity Fund–Class I   57,433,506    70,163,919    (15,930,330)   6,443,997(c)    (43,658)   113,700,699    9,059,817    1,522,662 
Lord Abbett Securities Trust–Growth Leaders Fund–Class I   89,024,074    27,696,050    (40,590,207)   (5,390,819)   (22,506,067)   48,233,031    1,717,089     
Lord Abbett Research Fund, Inc.–Growth Opportunities Fund–Class I   49,248,133    6,532,246    (35,687,656)   (8,649,001)(d)    (4,911,476)            
Lord Abbett Investment Trust–High Yield Fund–Class I   232,287,718    9,618,356    (105,293,138)   (14,030,805)(e)    (17,953,319)   104,317,957    16,744,455    9,307,500 

 

52

 

Notes to Financial Statements (continued)

 

                   Multi-Asset Income Fund 
Affiliated Issuer  Value at
11/30/2021
   Purchases
at Cost
   Proceeds
from
Sales
   Net
Realized
Gain (Loss)
   Change in
 Appreciation
(Depreciation)
   Value at
11/30/2022
   Shares
as of
11/30/2022
   Dividend
Income
 
Lord Abbett Investment Trust–Inflation Focused Fund–Class I   $107,147,185   $7,743,639   $(52,129,860)  $898,506   $(6,703,436)  $56,956,034    4,888,930   $2,645,947 
Lord Abbett Municipal Income Fund, Inc.–Intermediate Tax Free Fund–Class I   21,821,309        (21,821,309)   547,678    (547,678)           3,088 
Lord Abbett Securities Trust–International Equity Fund–Class I   54,072,999    6,345,217    (2,951,027)   5,618,038(f)    (13,331,148)   44,225,320    3,340,281    816,458 
Lord Abbett Securities Trust–International Value Fund–Class I   90,413,587    3,561,365    (49,602,135)   (3,220,279)   (6,476,102)   34,676,436    4,996,605    3,561,366 
Lord Abbett Mid-Cap Stock Fund–Class I   37,452,060    13,855,635    (46,911,716)   8,755,465(g)    (10,068,188)           378,694 
Lord Abbett Investment Trust–Short Duration Income Fund–Class I   13,086,250    49,894,024    (61,850,518)   (1,229,608)   99,852            259,303 
Lord Abbett Investment Trust–Ultra Short Bond Fund–Class I       223,672,937    (110,951,704)   (605,093)   (192,924)   111,923,216    11,420,736    1,166,135 
Lord Abbett Securities Trust–Value Opportunities Fund–Class I   33,581,195        (31,317,055)   (5,217,985)   2,953,845             
Total                 $(67,015,515)  $(112,509,860)  $1,000,162,551        $31,114,134 

 

(a)  Includes $1,731,721 of distributed capital gains.
(b)  Represents $681,194 of distributed capital gains.
(c)  Includes $4,366,735 of distributed capital gains.
(d)  Includes $6,532,246 of distributed capital gains.
(e)  Includes $310,855 of distributed capital gains.
(f)  Includes $5,528,759 of distributed capital gains.
(g)  Includes $3,083,256 of distributed capital gains.

 

13. INVESTMENT RISKS  

 

The Funds invest principally in the Underlying Funds and, as a result, a Fund’s performance is directly related to the Underlying Fund’s performance. Each Fund’s ability to meet its investment objective depends on the ability of the Underlying Funds to achieve their investment objectives and on the Fund’s particular allocation of assets among the Underlying Funds and the asset classes they represent. Consequently, a Fund is subject to the particular risks of the Underlying Funds in the proportion in which the Fund invests in them. The value of the Underlying Funds’ investments and the NAVs of the shares of both the Funds and their Underlying Funds will fluctuate in response to various market and economic factors related to the domestic and foreign equity and fixed income markets, as well as the financial condition and prospects of issuers in which the Underlying Funds invest.

 

Certain instruments in which the Funds may invest may rely in some fashion upon LIBOR. On March 5, 2021 the United Kingdom Financial Conduct Authority (FCA) and LIBOR’s administrator, ICE Benchmark Administration (IBA), announced that most LIBOR settings will no longer be published after the end of 2021 and the remaining U.S. dollar LIBOR settings will no longer be published after June 30, 2023. Abandonment of or modification to LIBOR could have adverse impacts on newly issued financial

 

53

 

Notes to Financial Statements (continued)

 

instruments and existing financial instruments which reference LIBOR and lead to significant short-term and long-term uncertainty and market instability.

 

Multi-Asset Balanced Opportunity Fund and Multi-Asset Income Fund are subject to the general risks and considerations associated with investing in fixed income securities. The value of an investment will change as interest rates fluctuate and in response to market movements. When interest rates rise, the prices of fixed income securities are likely to decline; when rates fall, such prices tend to rise. Longer-term securities are usually more sensitive to interest rate changes. There is also the risk that an issuer of a fixed income security will fail to make timely payments of principal and/or interest to an Underlying Fund, a risk that is greater with high-yield bonds (sometimes called “junk bonds”) in which one or more of the Underlying Funds may invest. Some issuers, particularly of high-yield bonds, may default as to principal and/or interest payments after an Underlying Fund purchases their securities. A default, or concerns in the market about an increase in risk of default, may result in losses to the Underlying Fund. High-yield bonds are subject to greater price fluctuations, as well as additional risks. The market for below investment grade securities may be less liquid due to such factors as interest rate sensitivity, negative perceptions of the junk bond markets generally, and less secondary market liquidity. This may make such securities more difficult to sell at an acceptable price, especially during periods of financial distress, increased market volatility, or significant market decline.

 

Each Fund is subject to the general risks and considerations associated with equity investing. The value of an investment will fluctuate in response to movements in the equity securities market in general, a particular industry or sector, or to the changing prospects of individual companies in which the Underlying Funds invest. If an Underlying Fund’s assessment of market conditions or companies held in the Underlying Fund fails to produce the intended result, a Fund could suffer losses or produce poor performance relative to other funds, even in a rising market. Each Fund’s investment exposure to foreign (which may include emerging market) companies generally is subject to the risk that the value of securities issued by foreign companies may be adversely affected by political, economic and social volatility and subject to less government supervision, lack of transparency, or inadequate regulatory and accounting standards, inadequate exchange control regulations, foreign taxes, higher transaction and other costs, and delays in settlement. The cost of a Fund’s potential use of forward currency exchange contracts varies with factors such as the currencies involved, the length of the contract period and the market conditions prevailing. The Underlying Fund’s investments in emerging market companies generally are subject to more risks than investments in developed market companies.

 

Because Multi-Asset Income Fund will be more heavily invested in fixed income funds than equity funds, it will be more affected by the risks associated with fixed income securities. Given Multi-Asset Balanced Opportunity Fund’s more balanced allocation among fixed income funds and equity funds, it will be affected by risks associated with both equity and fixed income investments.

 

Each Fund may invest in derivatives, either directly or through its Underlying Funds. Each Fund is subject to the risks associated with derivatives, which may be different from and greater than the risks associated with directly investing in securities and other investments. Derivatives may be subject to risks such as liquidity risk, leveraging risk, interest rate risk, market risk, heightened counterparty risk, credit risk, and volatility. Illiquid securities may lower the Funds’ returns since the Funds may be unable to sell these securities at their desired time or price. Derivatives also may involve the risk of mispricing or improper valuation and the risk that changes in the value of the derivative may not correlate perfectly with the value of the underlying asset, rate or index.

 

54

 

Notes to Financial Statements (continued)

 

Whether a Fund’s use of derivatives is successful will depend on, among other things, the Fund’s ability to correctly forecast market movements, changes in foreign exchange and interest rates, and other factors. If a Fund incorrectly forecasts these and other factors, its performance could suffer. A Fund’s use of derivatives could result in a loss exceeding the amount of the Fund’s investment in these instruments.

 

Geopolitical and other events (e.g., wars, terrorism, natural disasters, epidemics or pandemics such as the COVID-19 outbreak which began in late 2019) may disrupt securities markets and adversely affect global economies and markets, thereby decreasing the value of each Fund’s investments. Market disruptions can also prevent the Funds from implementing their investment strategies and achieving their investment objectives.

 

The transmission of COVID-19 and efforts to contain its spread have resulted in, among other things, border closings and other significant travel restrictions and disruptions, significant disruptions to business operations, supply chains and customer activity, lower consumer demand for goods and services, event cancellations and restrictions, service cancellations, reductions and other changes, significant challenges in healthcare service preparation and delivery, and prolonged quarantines, as well as general concern and uncertainty. The impact of the COVID-19 outbreak has, and could again negatively affect the global economy, the economies of individual countries, and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways. The COVID-19 pandemic and its effects may last for an extended period of time. Although the long-term economic fallout of COVID-19 is difficult to predict, it has contributed to, and is likely to continue to contribute to, market volatility, inflation and systemic economic weakness. The foregoing could disrupt the operations of each Fund and its service providers, adversely affect the value and liquidity of each Fund’s investments, and negatively impact each Fund’s performance and your investment in each Fund.

 

These factors, and others, can affect each Fund’s performance.

55

 

Notes to Financial Statements (continued)

 

14. SUMMARY OF CAPITAL TRANSACTIONS  

 

Transactions in shares of beneficial interest were as follows:

 

   Year Ended   Year Ended 
Multi-Asset Balanced Opportunity Fund  November 30, 2022   November 30, 2021 
Class A Shares  Shares   Amount   Shares   Amount 
Shares sold   13,313,208   $147,197,515    15,718,373   $219,093,643 
Converted from Class C*   3,398,592    36,477,615    1,813,202    25,251,677 
Reinvestment of distributions   31,082,801    369,954,171    9,172,348    121,436,320 
Shares reacquired   (36,026,029)   (391,622,754)   (21,736,270)   (301,735,617)
Increase   11,768,572   $162,006,547    4,967,653   $64,046,023 
Class C Shares                    
Shares sold   966,551   $10,594,011    1,591,251   $21,981,160 
Reinvestment of distributions   2,959,000    35,106,865    980,150    12,783,991 
Shares reacquired   (3,270,084)   (35,402,667)   (4,142,411)   (57,084,175)
Converted to Class A*   (3,430,472)   (36,477,615)   (1,827,445)   (25,251,677)
Decrease   (2,775,005)  $(26,179,406)   (3,398,455)  $(47,570,701)
Class F Shares                    
Shares sold   599,800   $6,838,279    1,588,190   $22,203,336 
Reinvestment of distributions   1,103,077    13,196,069    321,440    4,264,437 
Shares reacquired   (5,003,453)   (54,841,556)   (1,255,877)   (17,384,631)
Increase (decrease)   (3,300,576)  $(34,807,208)   653,753   $9,083,142 
Class F3 Shares                    
Shares sold      $    137,517   $1,887,594 
Reinvestment of distributions           293    4,059 
Shares reacquired           (139,369)   (1,964,324)
Decrease      $    (1,559)  $(72,671)
Class I Shares                    
Shares sold   3,900,170   $42,013,944    267,686   $3,705,542 
Reinvestment of distributions   483,757    5,715,991    104,562    1,379,207 
Shares reacquired   (1,822,561)   (18,487,539)   (252,535)   (3,512,697)
Increase   2,561,366   $29,242,396    119,713   $1,572,052 
Class P Shares                    
Shares sold   10,022   $105,141    4,640   $64,269 
Reinvestment of distributions   11,085    131,807    3,207    42,190 
Shares reacquired   (46,820)   (526,811)   (4,346)   (58,636)
Increase (decrease)   (25,713)  $(289,863)   3,501   $47,823 
Class R2 Shares                    
Shares sold   3,052   $33,902    4,536   $65,309 
Reinvestment of distributions   8,897    109,251    2,401    32,495 
Shares reacquired   (3,921)   (42,728)   (3,292)   (46,418)
Increase   8,028   $100,425    3,645   $51,386 
Class R3 Shares                    
Shares sold   364,549   $4,006,659    442,079   $6,133,938 
Reinvestment of distributions   667,120    7,933,931    201,349    2,654,458 
Shares reacquired   (990,069)   (10,713,995)   (760,649)   (10,480,650)
Increase (decrease)   41,600   $1,226,595    (117,221)  $(1,692,254)

 

56

 

Notes to Financial Statements (continued)

 

       Year Ended   Year Ended 
Multi-Asset Balanced Opportunity Fund  November 30, 2022   November 30, 2021 
Class R4 Shares  Shares   Amount   Shares   Amount 
Shares sold   196,398   $2,140,551    186,341   $2,581,625 
Reinvestment of distributions   198,384    2,360,324    61,262    810,680 
Shares reacquired   (291,102)   (3,100,878)   (280,367)   (3,908,608)
Increase (decrease)   103,680   $1,399,997    (32,764)  $(516,303)
Class R5 Shares                    
Shares sold   11,469   $130,262    1,014   $13,711 
Reinvestment of distributions   2,618    31,169    813    10,816 
Shares reacquired   (11,998)   (137,609)   (2,104)   (29,641)
Increase (decrease)   2,089   $23,822    (277)  $(5,114)
Class R6 Shares                    
Shares sold   113,969   $1,329,887    73,060   $998,649 
Reinvestment of distributions   81,491    969,696    23,894    317,966 
Shares reacquired   (68,917)   (741,044)   (40,122)   (566,495)
Increase   126,543   $1,558,539    56,832   $750,120 
           
    Year Ended    Year Ended 
Multi-Asset Income Fund   November 30, 2022    November 30, 2021 
Class A Shares   Shares    Amount    Shares    Amount 
Shares sold   5,289,095   $82,211,859    7,457,828   $130,130,309 
Converted from Class C*   3,590,158    54,668,017    2,175,517    37,996,319 
Reinvestment of distributions   2,583,273    41,898,843    1,545,618    26,231,442 
Shares reacquired   (10,326,927)   (157,380,890)   (7,219,942)   (125,560,967)
Increase   1,135,599   $21,397,829    3,959,021   $68,797,103 
Class C Shares