Litman Gregory Masters Equity Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)
Shares | Value | |||||||
COMMON STOCKS: 93.2% | ||||||||
Communication Services: 12.1% | ||||||||
9,626 | Alphabet, Inc. - Class A* | $ | 11,754,694 | |||||
4,811 | Alphabet, Inc. - Class C* | 5,864,609 | ||||||
50,000 | CBS Corp. - Class B Non Voting | 2,018,500 | ||||||
6,700 | Charter Communications, Inc. - Class A* | 2,761,204 | ||||||
12,275 | Facebook, Inc. - Class A* | 2,185,932 | ||||||
139,849 | Global Eagle Entertainment, Inc.* | 100,971 | ||||||
12,000 | MultiChoice Group - ADR* | 92,160 | ||||||
19,400 | Netflix, Inc.* | 5,191,828 | ||||||
15,450 | Spotify Technology S.A.* | 1,761,300 | ||||||
46,325 | Tencent Holdings Ltd. | 1,950,986 | ||||||
|
| |||||||
33,682,184 | ||||||||
|
| |||||||
Consumer Discretionary: 16.6% | ||||||||
36,330 | Alibaba Group Holding Ltd. - ADR* | 6,075,466 | ||||||
5,140 | Amazon.com, Inc.* | 8,922,577 | ||||||
22,700 | Dollar General Corp. | 3,607,938 | ||||||
148,308 | Fiat Chrysler Automobiles N.V. | 1,920,589 | ||||||
119,700 | General Motors Co. | 4,486,356 | ||||||
49,930 | Hilton Worldwide Holdings, Inc. | 4,648,982 | ||||||
37,300 | Lear Corp. | 4,397,670 | ||||||
60,000 | Naspers Ltd. - Class N, ADR | 1,797,600 | ||||||
62,700 | Nordstrom, Inc. | 2,111,109 | ||||||
60,000 | Prosus N.V. - ADR* | 874,200 | ||||||
21,005 | Royal Caribbean Cruises Ltd. | 2,275,472 | ||||||
34,450 | Thor Industries, Inc. | 1,951,248 | ||||||
58,000 | TJX Cos., Inc. (The) | 3,232,920 | ||||||
|
| |||||||
46,302,127 | ||||||||
|
| |||||||
Consumer Staples: 3.1% | ||||||||
27,635 | Cal-Maine Foods, Inc. | 1,104,157 | ||||||
64,306 | Conagra Brands, Inc. | 1,972,908 | ||||||
29,400 | Henkel AG & Co. KGaA | 2,693,221 | ||||||
30,700 | Monster Beverage Corp.* | 1,782,442 | ||||||
7,216 | Sanderson Farms, Inc. | 1,091,997 | ||||||
|
| |||||||
8,644,725 | ||||||||
|
| |||||||
Energy: 2.8% | ||||||||
31,420 | Apache Corp. | 804,352 | ||||||
49,250 | Concho Resources, Inc. | 3,344,075 | ||||||
126,000 | Parsley Energy, Inc. - Class A | 2,116,800 | ||||||
167,400 | US Silica Holdings, Inc. | 1,600,344 | ||||||
|
| |||||||
7,865,571 | ||||||||
|
| |||||||
Financials: 22.3% | ||||||||
91,200 | Ally Financial, Inc. | 3,024,192 | ||||||
45,500 | American International Group, Inc. | 2,534,350 | ||||||
78,000 | Bank of America Corp. | 2,275,260 | ||||||
57,975 | Bank of New York Mellon Corp. (The) | 2,621,050 | ||||||
22 | Berkshire Hathaway, Inc. - Class A* | 6,860,304 | ||||||
20,750 | Berkshire Hathaway, Inc. - Class B* | 4,316,415 | ||||||
35,750 | Blackstone Group, Inc. (The) - Class A | 1,746,030 | ||||||
98,260 | Capital One Financial Corp. | 8,939,695 |
Shares | Value | |||||||
Financials (continued) | ||||||||
28,319 | Charles Schwab Corp. (The) | $ | 1,184,584 | |||||
43,800 | Citigroup, Inc. | 3,025,704 | ||||||
8,100 | Fairfax Financial Holdings Ltd. | 3,571,938 | ||||||
38,600 | HDFC Bank Ltd. - ADR | 2,202,130 | ||||||
17,630 | JPMorgan Chase & Co. | 2,074,875 | ||||||
23,035 | MetLife, Inc. | 1,086,330 | ||||||
11,927 | Northern Trust Corp. | 1,113,027 | ||||||
40,181 | Pinnacle Financial Partners, Inc. | 2,280,272 | ||||||
12,116 | Reinsurance Group of America, Inc. | 1,937,106 | ||||||
9,091 | Travelers Cos., Inc. (The) | 1,351,741 | ||||||
46,315 | Unum Group | 1,376,482 | ||||||
57,040 | US Bancorp | 3,156,593 | ||||||
109,480 | Wells Fargo & Co. | 5,522,171 | ||||||
|
| |||||||
62,200,249 | ||||||||
|
| |||||||
Health Care: 8.4% | ||||||||
20,239 | Alexion Pharmaceuticals, Inc.* | 1,982,208 | ||||||
30,000 | Cerner Corp. | 2,045,100 | ||||||
10,900 | Edwards Lifesciences Corp.* | 2,397,019 | ||||||
6,788 | ICU Medical, Inc.* | 1,083,365 | ||||||
7,525 | Illumina, Inc.* | 2,289,255 | ||||||
11,192 | Johnson & Johnson | 1,448,021 | ||||||
98,700 | Mylan N.V.* | 1,952,286 | ||||||
29,000 | Quest Diagnostics, Inc. | 3,103,870 | ||||||
15,000 | Regeneron Pharmaceuticals, Inc.* | 4,161,000 | ||||||
13,200 | UnitedHealth Group, Inc. | 2,868,624 | ||||||
|
| |||||||
23,330,748 | ||||||||
|
| |||||||
Industrials: 11.6% | ||||||||
15,288 | 3M Co. | 2,513,347 | ||||||
68,400 | Arconic, Inc. | 1,778,400 | ||||||
21,100 | Carlisle Cos., Inc. | 3,070,894 | ||||||
45,700 | CH Robinson Worldwide, Inc. | 3,874,446 | ||||||
48,000 | Ferguson Plc | 3,510,478 | ||||||
260,000 | General Electric Co. | 2,324,400 | ||||||
17,400 | Honeywell International, Inc. | 2,944,080 | ||||||
38,552 | Knight-Swift Transportation Holdings, Inc. | 1,399,438 | ||||||
10,735 | Lindsay Corp. | 996,745 | ||||||
23,400 | ManpowerGroup, Inc. | 1,971,216 | ||||||
72,000 | Southwest Airlines Co. | 3,888,720 | ||||||
31,180 | United Technologies Corp. | 4,256,693 | ||||||
|
| |||||||
32,528,857 | ||||||||
|
| |||||||
Information Technology: 13.9% | ||||||||
12,300 | Accenture Plc - Class A | 2,365,905 | ||||||
14,495 | Amphenol Corp. - Class A | 1,398,768 | ||||||
73,138 | Marvell Technology Group Ltd. | 1,826,256 | ||||||
74,700 | NCR Corp.* | 2,357,532 | ||||||
24,800 | salesforce.com, Inc.* | 3,681,312 | ||||||
18,725 | ServiceNow, Inc.* | 4,753,341 | ||||||
89,100 | TE Connectivity Ltd. | 8,302,338 | ||||||
55,335 | Visa, Inc. - Class A | 9,518,173 | ||||||
16,250 | Workday, Inc. - Class A* | 2,761,850 | ||||||
27,000 | Zendesk, Inc.* | 1,967,760 | ||||||
|
| |||||||
38,933,235 | ||||||||
|
| |||||||
Materials: 0.8% | ||||||||
40,250 | Agnico Eagle Mines Ltd. | 2,157,802 | ||||||
|
|
Litman Gregory Masters Equity Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Shares | Value | |||||||
COMMON STOCKS (CONTINUED) | ||||||||
Real Estate: 1.6% | ||||||||
55,200 | CBRE Group, Inc. - Class A* | $ | 2,926,152 | |||||
48,355 | Equity Commonwealth | 1,656,159 | ||||||
|
| |||||||
4,582,311 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | 260,227,809 | ||||||
|
| |||||||
PREFERRED STOCKS: 0.6% | ||||||||
Information Technology: 0.6% | ||||||||
55,000 | Samsung Electronics Co. Ltd. - (Preference Shares) (Cost: $1,621,352) | 1,816,244 | ||||||
|
| |||||||
| TOTAL PREFERRED STOCKS | 1,816,244 | ||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS: 6.1% | ||||||||
REPURCHASE AGREEMENTS: 6.1% | ||||||||
$16,959,000 | Fixed Income Clearing Corp. 0.250%, 9/30/2019, due 10/01/2019 [collateral: par value $14,570,000, U.S. Treasury Bond, 3.000%, due 05/15/2045, value $17,313,476] (proceeds $16,959,118) | 16,959,000 | ||||||
|
| |||||||
| TOTAL SHORT-TERM INVESTMENTS | 16,959,000 | ||||||
|
| |||||||
| TOTAL INVESTMENTS (Cost: $203,809,154): 99.9% | 279,003,053 | ||||||
|
| |||||||
Other Assets in Excess of Liabilities: 0.1% | 317,414 | |||||||
|
| |||||||
NET ASSETS: 100.0% | $ | 279,320,467 | ||||||
|
|
Percentages are stated as a percent of net assets. | ||||
ADR | American Depositary Receipt | |||
L.P. | Limited Partnership | |||
* | Non-Income Producing Security. |
The cost basis of investments for federal income tax purposes at September 30, 2019 was as follows*:
Cost of investments | $ | 203,809,154 | ||||
|
| |||||
Gross unrealized appreciation | 83,554,391 | |||||
Gross unrealized depreciation | (8,360,492 | ) | ||||
|
| |||||
Net unrealized appreciation | $ | 75,193,899 | ||||
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
Litman Gregory Masters International Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)
Shares | Value | |||||
COMMON STOCKS: 95.4% |
| |||||
Australia: 1.1% |
| |||||
1,802,975 | Incitec Pivot Ltd. | $ | 4,129,571 | |||
|
| |||||
Austria: 1.0% |
| |||||
190,300 | S&T AG | 3,791,344 | ||||
|
| |||||
Belgium: 1.7% |
| |||||
370,437 | Fagron(a) | 6,569,284 | ||||
|
| |||||
Bermuda: 6.2% |
| |||||
1,137,779 | Frontline Ltd.* | 10,353,789 | ||||
955,581 | Teekay LNG Partners L.P. | 13,043,681 | ||||
|
| |||||
23,397,470 | ||||||
|
| |||||
Canada: 1.8% |
| |||||
610,300 | Bombardier, Inc. - Class B* | 824,885 | ||||
239,800 | CAE, Inc. | 6,094,815 | ||||
|
| |||||
6,919,700 | ||||||
|
| |||||
China: 2.7% |
| |||||
198,793 | Ctrip.com International Ltd. - ADR* | 5,822,647 | ||||
157,528 | JD.com, Inc. - ADR* | 4,443,865 | ||||
|
| |||||
10,266,512 | ||||||
|
| |||||
Denmark: 1.1% |
| |||||
27,185 | Carlsberg A/S - Class B | 4,024,049 | ||||
|
| |||||
Finland: 2.0% |
| |||||
18,185 | Nordea Bank Abp | 128,831 | ||||
181,856 | Sampo Oyj - Class A | 7,238,764 | ||||
|
| |||||
7,367,595 | ||||||
|
| |||||
France: 12.5% |
| |||||
151,100 | BNP Paribas S.A. | 7,371,199 | ||||
1,780,983 | Bollore S.A. | 7,389,610 | ||||
237,396 | Elis S.A. | 4,201,921 | ||||
49,239 | Safran S.A. | 7,766,371 | ||||
747,185 | Vivendi S.A. | 20,530,734 | ||||
|
| |||||
47,259,835 | ||||||
|
| |||||
Germany: 4.6% |
| |||||
17,855 | Allianz SE | 4,166,001 | ||||
140,672 | AURELIUS Equity Opportunities SE & Co. KGaA | 5,805,526 | ||||
148,850 | Daimler AG | 7,397,574 | ||||
|
| |||||
17,369,101 | ||||||
|
| |||||
Hong Kong: 6.1% |
| |||||
713,000 | CK Hutchison Holdings Ltd. | 6,266,099 | ||||
4,720,537 | MGM China Holdings Ltd. | 7,419,224 | ||||
3,699,000 | New World Development Co. Ltd. | 4,830,472 | ||||
2,284,592 | Wynn Macau Ltd. | 4,490,225 | ||||
|
| |||||
23,006,020 | ||||||
|
| |||||
Ireland: 0.9% |
| |||||
52,200 | Ryanair Holdings Plc - ADR* | 3,465,036 | ||||
|
| |||||
Israel: 2.9% |
| |||||
2,498,092 | Israel Discount Bank Ltd. - Class A | 10,983,904 | ||||
|
|
Shares | Value | |||||
Japan: 10.6% |
| |||||
172,600 | Asahi Group Holdings Ltd. | $ | 8,546,046 | |||
87,700 | Cocokara fine, Inc. | 4,723,327 | ||||
94,700 | Hoshizaki Corp. | 7,472,755 | ||||
307,448 | Nexon Co. Ltd.* | 3,731,705 | ||||
136,868 | Pan Pacific International Holdings Corp. | 2,285,503 | ||||
83,600 | Square Enix Holdings Co. Ltd. | 4,062,732 | ||||
39,700 | Toyota Motor Corp. | 2,663,092 | ||||
201,122 | Universal Entertainment Corp. | 6,496,365 | ||||
|
| |||||
39,981,525 | ||||||
|
| |||||
Mexico: 0.7% |
| |||||
272,846 | Grupo Televisa SAB - ADR | 2,668,434 | ||||
|
| |||||
Monaco: 1.2% |
| |||||
719,963 | Scorpio Bulkers, Inc.(a) | 4,377,375 | ||||
|
| |||||
Netherlands: 10.0% |
| |||||
5,148 | ASML Holding N.V. | 1,278,446 | ||||
1,191,055 | CNH Industrial N.V. | 12,152,184 | ||||
113,846 | EXOR N.V. | 7,642,800 | ||||
634,880 | OCI N.V.* | 14,991,052 | ||||
23,970 | Prosus N.V.* | 1,760,561 | ||||
|
| |||||
37,825,043 | ||||||
|
| |||||
Norway: 0.3% |
| |||||
248,141 | B2Holding ASA | 170,479 | ||||
64,000 | Borr Drilling Ltd.* | 328,960 | ||||
126,418 | Borr Drilling Ltd.* | 651,878 | ||||
|
| |||||
1,151,317 | ||||||
|
| |||||
Russia: 1.6% |
| |||||
4,217,570 | Moscow Exchange MICEX-RTS PJSC | 6,151,467 | ||||
|
| |||||
South Africa: 0.8% |
| |||||
19,870 | Naspers Ltd. - Class N | 3,015,051 | ||||
|
| |||||
South Korea: 2.4% |
| |||||
23,235 | NAVER Corp. | 3,055,723 | ||||
85,000 | SK Hynix, Inc. | 5,845,213 | ||||
|
| |||||
8,900,936 | ||||||
|
| |||||
Spain: 0.8% |
| |||||
1,023,255 | Codere S.A.*(a)(b) | 3,175,880 | ||||
|
| |||||
Sweden: 2.0% |
| |||||
428,297 | Modern Times Group MTG AB - Class B* | 3,555,282 | ||||
174,900 | Nordic Entertainment Group AB - Class B | 4,141,307 | ||||
|
| |||||
7,696,589 | ||||||
|
| |||||
Switzerland: 8.3% |
| |||||
32,200 | Cie Financiere Richemont S.A. | 2,367,020 | ||||
541,333 | Credit Suisse Group AG* | 6,648,114 | ||||
2,564,200 | Glencore Plc* | 7,730,649 | ||||
1,312,321 | IWG Plc | 6,600,067 | ||||
146,623 | Julius Baer Group Ltd.* | 6,505,807 | ||||
8,855 | Kuehne & Nagel International AG | 1,305,446 | ||||
|
| |||||
31,157,103 | ||||||
|
|
Litman Gregory Masters International Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Shares | Value | |||||
COMMON STOCKS (CONTINUED) |
| |||||
United Kingdom: 11.3% |
| |||||
122,471 | Coca-Cola European Partners Plc | $ | 6,836,822 | |||
569,658 | easyJet Plc | 8,059,045 | ||||
1,511,454 | Informa Plc | 15,841,364 | ||||
17,613,850 | Lloyds Banking Group Plc | 11,754,371 | ||||
|
| |||||
42,491,602 | ||||||
|
| |||||
United States: 0.8% | ||||||
333,287 | Genco Shipping & Trading Ltd.* | 3,066,240 | ||||
|
| |||||
TOTAL COMMON STOCKS | 360,207,983 | |||||
|
| |||||
Principal Amount | ||||||
SHORT-TERM INVESTMENTS: 4.1% |
| |||||
REPURCHASE AGREEMENTS: 4.1% |
| |||||
$15,402,000 | Fixed Income Clearing Corp. 0.250%, 9/30/2019, due 10/01/2019 [collateral: par value $13,235,000, U.S. Treasury Bond, 3.000%, due 05/15/2045, value $15,727,100] (proceeds $15,402,107) | 15,402,000 | ||||
|
| |||||
TOTAL SHORT-TERM INVESTMENTS | 15,402,000 | |||||
|
| |||||
TOTAL INVESTMENTS (Cost: $363,910,897): 99.5% | 375,609,983 | |||||
|
| |||||
Other Assets in Excess of Liabilities: 0.5% | 1,861,135 | |||||
|
| |||||
NET ASSETS: 100.0% | $ | 377,471,118 | ||||
|
|
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
L.P. | Limited Partnership |
PJSC | Public Joint-Stock Company |
* | Non-Income Producing Security. |
(a) | Illiquid securities at September 30, 2019, at which time the aggregate value of these illiquid securities is $14,122,539 or 3.7% of net assets. |
(b) | Security is valued using significant unobservable inputs in good faith in accordance with procedures approved by the Board of Trustees. |
CURRENCY ABBREVIATIONS:
CHF | Swiss Franc |
EUR | Euro |
GBP | British Pound |
USD | U.S. Dollar |
The cost basis of investments for federal income tax purposes at September 30, 2019 was as follows*:
Cost of investments | $ | 363,910,897 | ||
|
| |||
Gross unrealized appreciation | 47,127,427 | |||
Gross unrealized depreciation | (35,187,140 | ) | ||
|
| |||
Net unrealized appreciation | $ | 11,940,287 | ||
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
Litman Gregory Masters International Fund
SCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS at September 30, 2019 (Unaudited)
At September 30, 2019, the Fund had the following forward foreign currency exchange contracts:
U.S. $ Value at | U.S. $ Value at | Asset Derivatives | Liability Derivatives | |||||||||||||||||||||||||
Counterparty | Settlement Date | Fund Receiving | September 30, 2019 | Fund Delivering | September 30, 2019 | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||
State Street Bank and Trust Company | 10/10/2019 | USD | $ | 5,801,950 | GBP | $ | 5,688,802 | $ | 113,148 | $ | — | |||||||||||||||||
10/10/2019 | USD | 2,184,698 | GBP | 2,210,411 | — | (25,713 | ) | |||||||||||||||||||||
11/15/2019 | USD | 4,639,295 | EUR | 4,505,298 | 133,997 | — | ||||||||||||||||||||||
12/18/2019 | USD | 1,525,266 | CHF | 1,505,497 | 19,769 | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 14,151,209 | $ | 13,910,008 | $ | 266,914 | $ | (25,713 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
Litman Gregory Masters Smaller Companies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)
Shares | Value | |||||
COMMON STOCKS: 84.0% |
| |||||
Communication Services: 7.4% |
| |||||
65,000 | EW Scripps Co. (The) - Class A | $ | 863,200 | |||
73,016 | MDC Partners, Inc. - Class A* | 205,905 | ||||
21,593 | Millicom International Cellular S.A. | 1,050,931 | ||||
|
| |||||
2,120,036 | ||||||
|
| |||||
Consumer Discretionary: 6.2% |
| |||||
32,200 | American Eagle Outfitters, Inc. | 522,284 | ||||
200 | Cheesecake Factory, Inc. (The) | 8,336 | ||||
159,000 | Groupon, Inc.* | 422,940 | ||||
3,462 | Jack in the Box, Inc. | 315,457 | ||||
19,000 | Tapestry, Inc. | 494,950 | ||||
|
| |||||
1,763,967 | ||||||
|
| |||||
Consumer Staples: 9.0% |
| |||||
65,612 | Hain Celestial Group, Inc. (The)* | 1,409,018 | ||||
10,000 | Spectrum Brands Holdings, Inc. | 527,200 | ||||
11,284 | TreeHouse Foods, Inc.* | 625,698 | ||||
|
| |||||
2,561,916 | ||||||
|
| |||||
Energy: 3.3% |
| |||||
23,600 | Noble Energy, Inc. | 530,056 | ||||
5,398 | PDC Energy, Inc.* | 149,795 | ||||
23,805 | WPX Energy, Inc.* | 252,095 | ||||
|
| |||||
931,946 | ||||||
|
| |||||
Financials: 3.6% |
| |||||
18,200 | AllianceBernstein Holding L.P. | 534,170 | ||||
16,800 | Bank of NT Butterfield & Son Ltd. (The) | 497,952 | ||||
|
| |||||
1,032,122 | ||||||
|
| |||||
Health Care: 7.2% |
| |||||
135,700 | Capital Senior Living Corp.* | 594,366 | ||||
6,600 | Integer Holdings Corp.* | 498,696 | ||||
3,833 | Magellan Health, Inc.* | 238,029 | ||||
13,805 | Orthofix Medical, Inc.* | 731,941 | ||||
|
| |||||
2,063,032 | ||||||
|
| |||||
Industrials: 16.2% |
| |||||
7,440 | ASGN, Inc.* | 467,678 | ||||
16,000 | Avis Budget Group, Inc.* | 452,160 | ||||
7,850 | Axon Enterprise, Inc.* | 445,723 | ||||
14,400 | Gardner Denver Holdings, Inc.* | 407,376 | ||||
74,500 | GP Strategies Corp.* | 956,580 | ||||
35,000 | Heritage-Crystal Clean, Inc.* | 927,500 | ||||
3,441 | Regal Beloit Corp. | 250,677 | ||||
9,350 | Sensata Technologies Holding Plc* | 468,061 | ||||
6,274 | SPX Corp.* | 251,023 | ||||
|
| |||||
4,626,778 | ||||||
|
| |||||
Information Technology: 14.5% |
| |||||
5,658 | Arrow Electronics, Inc.* | 421,974 |
Shares | Value | |||||
Information Technology (continued) |
| |||||
26,500 | Dropbox, Inc. - Class A* | $ | 534,505 | |||
52,800 | FireEye, Inc.* | 704,352 | ||||
8,800 | FLIR Systems, Inc. | 462,792 | ||||
6,600 | LogMeIn, Inc. | 468,336 | ||||
25,031 | NCR Corp.* | 789,978 | ||||
10,300 | ViaSat, Inc.* | 775,796 | ||||
|
| |||||
4,157,733 | ||||||
|
| |||||
Materials: 14.8% |
| |||||
31,100 | Axalta Coating Systems Ltd.* | 937,665 | ||||
23,000 | Compass Minerals International, Inc. | 1,299,270 | ||||
46,365 | Innophos Holdings, Inc. | 1,505,008 | ||||
20,900 | Norbord, Inc. | 500,555 | ||||
|
| |||||
4,242,498 | ||||||
|
| |||||
Real Estate: 1.8% |
| |||||
15,288 | Equity Commonwealth | 523,614 | ||||
|
| |||||
TOTAL COMMON STOCKS | 24,023,642 | |||||
|
| |||||
Principal Amount | ||||||
SHORT-TERM INVESTMENTS: 16.0% |
| |||||
REPURCHASE AGREEMENTS : 16.0% |
| |||||
$4,584,000 | Fixed Income Clearing Corp. 0.250%, 9/30/2019, due 10/01/2019 [collateral: par value $3,940,000 U.S. Treasury Bond, 3.000%, due 05/15/2045, value $4,681,887] (proceeds $4,584,032) | 4,584,000 | ||||
|
| |||||
TOTAL SHORT-TERM INVESTMENTS | 4,584,000 | |||||
|
| |||||
TOTAL INVESTMENTS (Cost: $28,593,469): 100.0% | 28,607,642 | |||||
|
| |||||
Liabilities in Excess of Other Assets: (0.0)% | (14,095 | ) | ||||
|
| |||||
NET ASSETS: 100.0% | $ | 28,593,547 | ||||
|
|
Percentages are stated as a percent of net assets.
L.P. Limited Partnership
* | Non-Income Producing Security. |
The cost basis of investments for federal income tax purposes at September 30, 2019 was as follows*:
Cost of investments | $ | 28,593,469 | ||
|
| |||
Gross unrealized appreciation | 2,318,814 | |||
Gross unrealized depreciation | (2,304,641 | ) | ||
|
| |||
Net unrealized appreciation | $ | 14,173 | ||
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)
Shares | Value | |||||||
COMMON STOCKS: 28.5% | ||||||||
Communication Services: 4.2% | ||||||||
5,863 | Alphabet, Inc. - Class A* | $ | 7,159,544 | |||||
5,901 | Alphabet, Inc. - Class C*(a) | 7,193,319 | ||||||
599 | AT&T, Inc. | 22,666 | ||||||
86,514 | Axel Springer SE* | 5,943,911 | ||||||
43,730 | Baidu, Inc. - ADR* | 4,493,695 | ||||||
17,257 | Charter Communications, Inc. - Class A* | 7,111,955 | ||||||
63,157 | Clear Channel Outdoor Holdings, Inc.* | 159,156 | ||||||
182,366 | Comcast Corp. - Class A(a) | 8,221,059 | ||||||
19,094 | Discovery, Inc. - Class C* | 470,094 | ||||||
120,093 | Entertainment One Ltd. | 836,335 | ||||||
40,648 | Facebook, Inc. - Class A*(a) | 7,238,596 | ||||||
234,507 | Gannett Co., Inc. | 2,518,605 | ||||||
26,858 | iHeartMedia, Inc. - Class A* | 402,870 | ||||||
329,118 | Inmarsat Plc | 2,368,128 | ||||||
45,133 | Liberty Global Plc - Class A* | 1,117,042 | ||||||
13,628 | NAVER Corp. | 1,788,735 | ||||||
153,100 | Nexon Co. Ltd.* | 1,856,487 | ||||||
1,644 | Nexstar Broadcasting Group, Inc. - Class A | 168,198 | ||||||
2,126 | Omnicom Group, Inc. | 166,466 | ||||||
3,723 | Sinclair Broadcast Group, Inc. - Class A | 159,121 | ||||||
2,405 | Verizon Communications, Inc. | 145,166 | ||||||
529,762 | Zayo Group Holdings, Inc.* | 17,958,932 | ||||||
|
| |||||||
77,500,080 | ||||||||
|
| |||||||
Consumer Discretionary: 2.9% | ||||||||
732,718 | BCA Marketplace Plc | 2,125,822 | ||||||
1,997 | Best Buy Co., Inc. | 137,773 | ||||||
394,590 | Caesars Entertainment Corp.*(a) | 4,600,919 | ||||||
1,384 | Darden Restaurants, Inc. | 163,616 | ||||||
1,230 | Expedia Group, Inc. | 165,324 | ||||||
1,935 | Garmin Ltd. | 163,875 | ||||||
34,801 | GrandVision N.V.(b) | 1,042,927 | ||||||
253,405 | Greene King Plc | 2,640,857 | ||||||
724 | Home Depot, Inc. (The) | 167,983 | ||||||
161,420 | International Speedway Corp. - Class A | 7,265,514 | ||||||
144,101 | JD.com, Inc. - ADR* | 4,065,089 | ||||||
23,177 | Lowe’s Cos., Inc. | 2,548,543 | ||||||
731 | McDonald’s Corp. | 156,953 | ||||||
17,753 | Mohawk Industries, Inc.* | 2,202,615 | ||||||
34,448 | Naspers Ltd. - Class N | 5,213,742 | ||||||
86,020 | Porsche Automobil Holding SE - (Preference Shares) | 5,600,401 | ||||||
34,448 | Prosus N.V.* | 2,530,154 | ||||||
86,042 | Regis Corp.* | 1,739,769 | ||||||
3,100 | Rent-A-Center, Inc. | 79,949 | ||||||
155,210 | Sotheby’s* | 8,843,866 | ||||||
1,825 | Starbucks Corp. | 161,367 | ||||||
1,557 | Target Corp. | 166,459 | ||||||
26,437 | Wyndham Hotels & Resorts, Inc.(a) | 1,367,850 | ||||||
1,460 | Yum! Brands, Inc. | 165,608 | ||||||
|
| |||||||
53,316,975 | ||||||||
|
| |||||||
Consumer Staples: 0.2% | ||||||||
2,863 | General Mills, Inc. | 157,809 |
Shares | Value | |||||||
Consumer Staples (continued) | ||||||||
2,326 | Philip Morris International, Inc. | $ | 176,613 | |||||
426,458 | Pioneer Foods Group Ltd. | 2,981,374 | ||||||
9,845 | Spectrum Brands Holdings, Inc. | 519,015 | ||||||
2,981 | Walgreens Boots Alliance, Inc. | 164,879 | ||||||
|
| |||||||
3,999,690 | ||||||||
|
| |||||||
Energy: 1.8% | ||||||||
167,176 | Bellatrix Exploration Ltd.*(c) | 12,623 | ||||||
528,388 | Buckeye Partners L.P. | 21,711,463 | ||||||
3,672 | CVR Energy, Inc. | 161,678 | ||||||
220 | Dommo Energia S.A. - ADR* | 2,561 | ||||||
5,750 | Enterprise Products Partners L.P. | 164,335 | ||||||
280,494 | Kinder Morgan, Inc. | 5,780,981 | ||||||
326,660 | SemGroup Corp. - Class A | 5,337,624 | ||||||
21,289 | Whiting Petroleum Corp.* | 170,951 | ||||||
|
| |||||||
33,342,216 | ||||||||
|
| |||||||
Financials: 4.7% | ||||||||
2,816 | Aflac, Inc. | 147,333 | ||||||
126,231 | Ally Financial, Inc.(a) | 4,185,820 | ||||||
245,343 | American International Group, | 13,665,605 | ||||||
21,504 | Aon Plc | 4,162,529 | ||||||
267,116 | Bank of America Corp. | 7,791,774 | ||||||
191,250 | Brookfield Asset Management, Inc. - Class A | 10,113,300 | ||||||
167,290 | CIT Group, Inc.(a) | 7,579,910 | ||||||
129,521 | Citigroup, Inc.(a) | 8,947,311 | ||||||
3,634 | Fidelity National Financial, Inc. | 161,386 | ||||||
67,640 | Groupe Bruxelles Lambert S.A.(d) | 6,498,676 | ||||||
392,870 | Jefferies Financial Group, Inc.(a) | 7,228,808 | ||||||
61,320 | LPL Financial Holdings, Inc. | 5,022,108 | ||||||
3,507 | MetLife, Inc. | 165,390 | ||||||
2,204 | Progressive Corp. (The) | 170,259 | ||||||
1,575 | Prudential Financial, Inc. | 141,671 | ||||||
1,210,335 | Royal Bank of Scotland Group Plc | 3,091,571 | ||||||
17,610 | Signature Bank | 2,099,464 | ||||||
4,878 | Synchrony Financial | 166,291 | ||||||
122,110 | Wells Fargo & Co.(a) | 6,159,228 | ||||||
|
| |||||||
87,498,434 | ||||||||
|
| |||||||
Health Care: 5.7% | ||||||||
2,336 | AbbVie, Inc. | 176,882 | ||||||
110,525 | Allergan Plc(a) | 18,600,252 | ||||||
1,995 | AmerisourceBergen Corp. | 164,248 | ||||||
790 | Amgen, Inc. | 152,873 | ||||||
3,315 | Bristol-Myers Squibb Co. | 168,104 | ||||||
312,514 | Celgene Corp.*(a) | 31,032,640 | ||||||
641 | Eli Lilly & Co. | 71,683 | ||||||
2,494 | Gilead Sciences, Inc. | 158,070 | ||||||
1,217 | Johnson & Johnson | 157,456 | ||||||
1,092 | McKesson Corp. | 149,233 | ||||||
181,067 | Medidata Solutions, Inc.* | 16,567,631 | ||||||
1,194 | Medtronic Plc | 129,692 | ||||||
1,905 | Merck & Co., Inc. | 160,363 | ||||||
157,398 | Mylan N.V.*(a) | 3,113,332 | ||||||
157,700 | Olympus Corp. | 2,123,768 | ||||||
1,041,433 | Pacific Biosciences of California, Inc.*(a) | 5,373,794 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Shares | Value | |||||||
COMMON STOCKS (CONTINUED) | ||||||||
Health Care (continued) | ||||||||
137,303 | Paratek Pharmaceuticals, Inc.*(a) | $ | 593,149 | |||||
11,610 | Spark Therapeutics, Inc.* | 1,125,938 | ||||||
717 | UnitedHealth Group, Inc. | 155,818 | ||||||
94,994 | WellCare Health Plans, Inc.*(a) | 24,619,595 | ||||||
|
| |||||||
104,794,521 | ||||||||
|
| |||||||
Industrials: 3.6% | ||||||||
450,606 | Arconic, Inc.(a) | 11,715,756 | ||||||
1,279 | Caterpillar, Inc. | 161,551 | ||||||
3,002,732 | Cobham Plc* | 5,794,918 | ||||||
1,026 | Cummins, Inc. | 166,899 | ||||||
385 | Delta Air Lines, Inc. | 22,176 | ||||||
1,968 | Eaton Corp. Plc | 163,639 | ||||||
22,826 | HD Supply Holdings, Inc.* | 894,209 | ||||||
24,424 | Herc Holdings, Inc.*(a) | 1,135,960 | ||||||
971 | Honeywell International, Inc. | 164,293 | ||||||
1,050 | Illinois Tool Works, Inc. | 164,315 | ||||||
1,653 | Insperity, Inc. | 163,019 | ||||||
49,370 | Jardine Strategic Holdings Ltd.(d) | 1,475,176 | ||||||
57 | Lockheed Martin Corp. | 22,233 | ||||||
46,523 | Masco Corp.(a) | 1,939,079 | ||||||
528,367 | Meggitt Plc(d) | 4,128,152 | ||||||
612,170 | Milacron Holdings Corp.* | 10,204,874 | ||||||
211,098 | Navigant Consulting, Inc. | 5,900,189 | ||||||
2,344 | PACCAR, Inc. | 164,103 | ||||||
115,909 | Quad/Graphics, Inc. | 1,218,204 | ||||||
47,688 | Rush Enterprises, Inc. - Class A(a) | 1,839,803 | ||||||
17,500 | Sound Holding FP Luxemburg*(c)(d) | 606,290 | ||||||
57,164 | United Technologies Corp.(a) | 7,804,029 | ||||||
112,365 | Univar, Inc.* | 2,332,697 | ||||||
62,519 | WABCO Holdings, Inc.*(a) | 8,361,916 | ||||||
928 | Waste Management, Inc. | 106,720 | ||||||
|
| |||||||
66,650,200 | ||||||||
|
| |||||||
Information Technology: 4.0% | ||||||||
836 | Accenture Plc - Class A | 160,805 | ||||||
119,216 | Altran Technologies S.A. | 1,873,458 | ||||||
77,705 | Analog Devices, Inc.(a) | 8,681,980 | ||||||
192 | Apple, Inc. | 43,002 | ||||||
954 | Automatic Data Processing, Inc. | 153,995 | ||||||
231,408 | Avaya Holdings Corp.* | 2,367,304 | ||||||
1,568 | Booz Allen Hamilton Holding Corp. | 111,359 | ||||||
30,105 | Broadcom, Inc. | 8,311,087 | ||||||
254,594 | Carbon Black, Inc.* | 6,616,898 | ||||||
1,377 | CDW Corp. | 169,701 | ||||||
2,445 | Cisco Systems, Inc. | 120,807 | ||||||
11,197 | Hewlett Packard Enterprise Co. | 169,859 | ||||||
8,421 | HP, Inc. | 159,325 | ||||||
3,223 | Intel Corp. | 166,081 | ||||||
588 | Intuit, Inc. | 156,373 | ||||||
1,057 | KLA-Tencor Corp. | 168,539 | ||||||
1,906 | Leidos Holdings, Inc. | 163,687 | ||||||
12,750 | LiveRamp Holdings, Inc.* | 547,740 | ||||||
16,195 | LogMeIn, Inc.(a) | 1,149,197 |
Shares | Value | |||||||
Information Technology (continued) | ||||||||
602 | MasterCard, Inc. - Class A | $ | 163,485 | |||||
165,817 | Mellanox Technologies Ltd.*(a) | 18,171,885 | ||||||
45,982 | Microsoft Corp. | 6,392,877 | ||||||
159,124 | MINDBODY, Inc. - Class A*(d) | 5,808,026 | ||||||
2,968 | Oracle Corp. | 163,329 | ||||||
1,966 | Paychex, Inc. | 162,726 | ||||||
134,704 | Pivotal Software, Inc. - Class A* | 2,009,784 | ||||||
70,663 | Presidio, Inc.(a) | 1,194,205 | ||||||
67,824 | Symantec Corp. | 1,602,681 | ||||||
72,340 | TE Connectivity Ltd.(a) | 6,740,641 | ||||||
600 | Texas Instruments, Inc. | 77,544 | ||||||
770 | Visa, Inc. - Class A | 132,448 | ||||||
|
| |||||||
73,910,828 | ||||||||
|
| |||||||
Materials: 1.3% | ||||||||
56,970 | Axalta Coating Systems Ltd.* | 1,717,646 | ||||||
15,148 | Cabot Corp. | 686,507 | ||||||
357,443 | Cemex SAB de C.V. - ADR | 1,401,177 | ||||||
3,295 | CF Industries Holdings, Inc. | 162,114 | ||||||
1,154,652 | Glencore Plc* | 3,477,123 | ||||||
73,728 | HeidelbergCement AG | 5,332,395 | ||||||
58,729 | Hexion Holdings Corp. - | 660,701 | ||||||
139,455 | LafargeHolcim Ltd.* | 6,865,133 | ||||||
1,873 | LyondellBasell Industries N.V. - Class A | 167,577 | ||||||
214,808 | OMNOVA Solutions, Inc.*(a) | 2,163,117 | ||||||
216,650 | Owens-Illinois, Inc.(a) | 2,224,995 | ||||||
|
| |||||||
24,858,485 | ||||||||
|
| |||||||
Real Estate: 0.0% | ||||||||
8,710 | CoreCivic, Inc. | 150,509 | ||||||
4,289 | Gaming and Leisure Properties, Inc. | 164,011 | ||||||
5,121 | Iron Mountain, Inc. | 165,869 | ||||||
|
| |||||||
480,389 | ||||||||
|
| |||||||
Utilities: 0.1% | ||||||||
2,096 | FirstEnergy Corp. | 101,090 | ||||||
86,230 | PG&E Corp.* | 862,300 | ||||||
1,694 | PPL Corp. | 53,344 | ||||||
|
| |||||||
1,016,734 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | 527,368,552 | ||||||
|
| |||||||
RIGHTS/WARRANTS: 0.0% | ||||||||
17,471 | Avaya Holdings Corp. (Expiration date 12/15/22)*(d) | 18,781 | ||||||
4,030 | Ditech Holding Corp. (Expiration date 01/31/28)*(d) | 20 | ||||||
5,079 | Ditech Holding Corp. (Expiration date 02/09/28)*(d) | 28 | ||||||
|
| |||||||
| TOTAL RIGHTS/WARRANTS | 18,829 | ||||||
|
| |||||||
PREFERRED STOCKS: 0.2% | ||||||||
Consumer Staples: 0.1% | ||||||||
Bunge Ltd. |
| |||||||
16,326 | 4.875%, 12/20/2165(e) | 1,659,211 | ||||||
|
|
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Shares | Value | |||||||
PREFERRED STOCKS (CONTINUED) | ||||||||
Energy: 0.0% | ||||||||
Chesapeake Energy Corp. | ||||||||
506 | 5.750%, 08/15/2166(e) | $ | 193,292 | |||||
El Paso Energy Capital Trust I | ||||||||
528 | 4.750%, 03/31/2028 | 27,704 | ||||||
|
| |||||||
220,996 | ||||||||
|
| |||||||
Financials: 0.0% | ||||||||
Ditech Holding Corp. | ||||||||
241 | 0.000%, 02/09/2023*(d)(e) | 133 | ||||||
|
| |||||||
Industrials: 0.1% | ||||||||
Element Communication Aviation | ||||||||
170 | 12.000%, 03/16/2040(c)(d) | 1,468,800 | ||||||
|
| |||||||
| TOTAL PREFERRED STOCKS | 3,349,140 | ||||||
|
| |||||||
CLOSED-END FUND: 0.1% | ||||||||
114,390 | Altaba, Inc.*(a) | 2,228,317 | ||||||
|
| |||||||
| TOTAL CLOSED-END FUND | 2,228,317 | ||||||
|
| |||||||
Principal Amount^ | ||||||||
ASSET-BACKED SECURITIES: 9.5% | ||||||||
ACC Trust | ||||||||
$ 35,121 | Series 2018-1-A 3.700%, 12/21/2020(b) | 35,166 | ||||||
Accelerated Assets LLC | ||||||||
247,188 | Series 2018-1-B 4.510%, 12/02/2033(b) | 254,142 | ||||||
Adams Outdoor Advertising L.P. | ||||||||
923,845 | Series 2018-1-A 4.810%, 11/15/2048(b) | 960,212 | ||||||
AIM Aviation Finance Ltd. | ||||||||
690,544 | Series 2015-1A-B1 5.072%, 02/15/2040(b)(f) | 697,267 | ||||||
Ajax Mortgage Loan Trust | ||||||||
100,741 | Series 2017-A-A 3.470%, 04/25/2057(b)(f) | 101,000 | ||||||
364,269 | Series 2017-B-A 3.163%, 09/25/2056(b)(g) | 365,832 | ||||||
Ally Auto Receivables Trust | ||||||||
881,640 | Series 2017-4-A3 1.750%, 12/15/2021 | 880,255 | ||||||
American Express Credit Account Master Trust | ||||||||
525,000 | Series 2019-1-A 2.870%, 10/15/2024 | 538,547 | ||||||
American Homes 4 Rent | ||||||||
875,000 | Series 2014-SFR2-E 6.231%, 10/17/2036(b) | 975,684 | ||||||
600,000 | Series 2014-SFR3-E 6.418%, 12/17/2036(b) | 676,437 | ||||||
845,000 | Series 2015-SFR1-E 5.639%, 04/17/2052(b) | 924,218 | ||||||
AmeriCredit Automobile Receivables Trust | ||||||||
795,000 | Series 2018-2-D 4.010%, 07/18/2024 | 828,594 |
Principal Amount^ | Value | |||||||
Americredit Automobile Receivables Trust | ||||||||
$ 1,010,000 | Series 2018-3-D 4.040%, 11/18/2024 | $ | 1,058,129 | |||||
AmeriCredit Automobile Receivables Trust | ||||||||
630,000 | Series 2019-3-A3 2.060%, 04/18/2024 | 630,776 | ||||||
Apidos CLO XXI | ||||||||
500,000 | Series 2015-21A-ER 10.550%, 07/18/2027(b)(h) 3 mo. USD LIBOR + 8.250% | 478,183 | ||||||
Apidos CLO XXII | ||||||||
500,000 | Series 2015-22A-D 8.278%, 10/20/2027(b)(h) 3 mo. USD LIBOR + 6.000% | 484,895 | ||||||
Apidos CLO XXIV | ||||||||
1,000,000 | Series 2016-24A-DR 8.078%, 10/20/2030(b)(h) 3 mo. USD LIBOR + 5.800% | 937,314 | ||||||
Ascentium Equipment Receivables Trust | ||||||||
95,000 | Series 2017-2A-C 2.870%, 08/10/2022(b) | 95,921 | ||||||
Atrium XIII | ||||||||
500,000 | Series 13A-E 8.309%, 11/21/2030(b)(h) 3 mo. USD LIBOR + 6.050% | 477,628 | ||||||
Atrium XIV LLC | ||||||||
750,000 | Series 14A-E 7.972%, 08/23/2030(b)(h) 3 mo. USD LIBOR + 5.650% | 703,255 | ||||||
BA Credit Card Trust | ||||||||
1,940,000 | Series 2018-A1-A1 2.700%, 07/17/2023 | 1,961,447 | ||||||
Barings CLO Ltd. | ||||||||
1,000,000 | Series 2018-3A-E 8.028%, 07/20/2029(b)(h) 3 mo. USD LIBOR + 5.750% | 898,142 | ||||||
500,000 | Series 2018-4A-E 8.123%, 10/15/2030(b)(h) 3 mo. USD LIBOR + 5.820% | 469,676 | ||||||
Bayview Opportunity Master Fund IIIa Trust | ||||||||
51,587 | Series 2018-RN8-A1 4.066%, 09/28/2033(b)(f) | 51,897 | ||||||
Bayview Opportunity Master Fund IVa Trust | ||||||||
387,219 | Series 2019-RN2-A1 3.967%, 03/28/2034(b)(f) | 389,760 | ||||||
Bayview Opportunity Master Fund IVb Trust | ||||||||
237,328 | Series 2018-RN9-A1 4.213%, 10/29/2033(b)(f) | 238,624 | ||||||
326,160 | Series 2019-RN1-A1 4.090%, 02/28/2034(b)(f) | 329,017 | ||||||
Blackbird Capital Aircraft Lease Securitization Ltd. | ||||||||
291,667 | Series 2016-1A-A 4.213%, 12/16/2041(b)(f) | 301,187 | ||||||
270,833 | Series 2016-1A-B 5.682%, 12/16/2041(b)(f) | 283,615 | ||||||
BMW Vehicle Owner Trust | ||||||||
33,439 | Series 2018-A-A2B 2.088%, 11/25/2020(h) 1 mo. USD LIBOR + 0.070% | 33,436 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
Buttermilk Park CLO Ltd. | ||||||||
$ 750,000 | Series 2018-1A-E 8.053%, 10/15/2031(b)(h) 3 mo. USD LIBOR + 5.750% | $ | 688,775 | |||||
California Republic Auto Receivables Trust | ||||||||
520,000 | Series 2018-1-D 4.330%, 04/15/2025 | 541,752 | ||||||
CAM Mortgage Trust | ||||||||
6,373 | Series 2018-1-A1 3.960%, 12/01/2065(b)(f) | 6,386 | ||||||
Canyon Capital CLO Ltd. | ||||||||
1,000,000 | Series 2016-1A-ER 8.053%, 07/15/2031(b)(h) 3 mo. USD LIBOR + 5.750% | 881,301 | ||||||
500,000 | Series 2018-1A-E 8.053%, 07/15/2031(b)(h) 3 mo. USD LIBOR + 5.750% | 456,419 | ||||||
Capital One Multi-Asset Execution Trust | ||||||||
745,000 | Series 2019-A1-A1 2.840%, 12/15/2024 | �� | 762,268 | |||||
Carlyle Global Market Strategies CLO Ltd. | ||||||||
500,000 | Series 2014-2RA-D 7.508%, 05/15/2031(b)(h) 3 mo. USD LIBOR + 5.350% | 435,879 | ||||||
CarMax Auto Owner Trust | ||||||||
9,474 | Series 2017-4-A2B 2.158%, 04/15/2021(h) 1 mo. USD LIBOR + 0.130% | 9,474 | ||||||
80,768 | Series 2018-1-A2B 2.178%, 05/17/2021(h) 1 mo. USD LIBOR + 0.150% | 80,756 | ||||||
445,000 | Series 2018-2-D 3.990%, 04/15/2025 | 460,875 | ||||||
1,022,734 | Series 2018-3-A2B 2.228%, 10/15/2021(h) 1 mo. USD LIBOR + 0.200% | 1,023,157 | ||||||
305,000 | Series 2018-4-D 4.150%, 04/15/2025 | 319,260 | ||||||
Castlelake Aircraft Securitization Trust | ||||||||
231,985 | Series 2018-1-B 5.300%, 06/15/2043(b) | 238,430 | ||||||
3,874,370 | Series 2018-1-C 6.625%, 06/15/2043(b) | 3,912,772 | ||||||
Castlelake Aircraft Structured Trust | ||||||||
3,000,000 | Series 2019-1A-E 0.000%, 04/15/2039(b) | 3,025,744 | ||||||
Catskill Park CLO Ltd. | ||||||||
1,000,000 | Series 2017-1A-D 8.278%, 04/20/2029(b)(h) 3 mo. USD LIBOR + 6.000% | 950,930 | ||||||
CCG Receivables Trust | ||||||||
100,000 | Series 2018-1-C 3.420%, 06/16/2025(b) | 101,407 | ||||||
Chenango Park CLO Ltd. | ||||||||
500,000 | Series 2018-1A-D 8.103%, 04/15/2030(b)(h) 3 mo. USD LIBOR + 5.800% | 459,653 |
Principal Amount^ | Value | |||||||
Chesapeake Funding II LLC | ||||||||
$ 180,000 | Series 2017-2A-D 3.710%, 05/15/2029(b) | $ | 181,602 | |||||
395,366 | Series 2017-4A-A2 2.368%, 11/15/2029(b)(h) 1 mo. USD LIBOR + 0.340% | 395,551 | ||||||
250,000 | Series 2018-1A-C 3.570%, 04/15/2030(b) | 257,009 | ||||||
640,000 | Series 2018-1A-D 3.920%, 04/15/2030(b) | 656,723 | ||||||
CIG Auto Receivables Trust | ||||||||
34,759 | Series 2017-1A-A 2.710%, 05/15/2023(b) | 34,798 | ||||||
Citibank Credit Card Issuance Trust | ||||||||
2,000,000 | Series 2018-A1-A1 2.490%, 01/20/2023 | 2,015,184 | ||||||
Coinstar Funding LLC | ||||||||
1,075,250 | Series 2017-1A-A2 5.216%, 04/25/2047(b) | 1,108,597 | ||||||
Colony American Finance Ltd. | ||||||||
480,000 | Series 2015-1-D 5.649%, 10/15/2047(b) | 491,509 | ||||||
230,000 | Series 2016-1-C 4.638%, 06/15/2048(b)(f) | 231,792 | ||||||
Cook Park CLO Ltd. | ||||||||
1,000,000 | Series 2018-1A-E 7.703%, 04/17/2030(b)(h) 3 mo. USD LIBOR + 5.400% | 902,632 | ||||||
CPS Auto Receivables Trust | ||||||||
220,000 | Series 2017-D-D 3.730%, 09/15/2023(b) | 223,335 | ||||||
105,000 | Series 2018-A-C 3.050%, 12/15/2023(b) | 105,627 | ||||||
490,000 | Series 2018-D-C 3.830%, 09/15/2023(b) | 501,168 | ||||||
Credit Acceptance Auto Loan Trust | ||||||||
775,000 | Series 2018-2A-C 4.160%, 09/15/2027(b) | 805,348 | ||||||
CSAB Mortgage-Backed Trust | ||||||||
1,857,684 | Series 2006-2-A6B 5.700%, 09/25/2036(f) | 289,651 | ||||||
CVP Cascade CLO-2 Ltd. | ||||||||
904,106 | Series 2014-2A-A1R 3.500%, 07/18/2026(b)(h) 3 mo. USD LIBOR + 1.200% | 904,185 | ||||||
DB Master Finance LLC | ||||||||
216,458 | Series 2019-1A-A23 4.352%, 05/20/2049(b) | 229,136 | ||||||
Diamond Resorts Owner Trust | ||||||||
108,936 | Series 2017-1A-C 6.070%, 10/22/2029(b) | 111,973 | ||||||
486,532 | Series 2018-1-C 4.530%, 01/21/2031(b) | 498,177 | ||||||
403,776 | Series 2019-1A-B 3.530%, 02/20/2032(b) | 404,194 | ||||||
Discover Card Execution Note Trust | ||||||||
1,585,000 | Series 2018-A3-A3 2.258%, 12/15/2023(h) 1 mo. LIBOR + 0.230% | 1,585,635 | ||||||
Domino’s Pizza Master Issuer LLC | ||||||||
49,000 | Series 2017-1A-A23 4.118%, 07/25/2047(b) | 51,349 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
Domino’s Pizza Master Issuer LLC (Continued) | ||||||||
$ 325,875 | Series 2018-1A-A2II 4.328%, 07/25/2048(b) | $ | 344,084 | |||||
Dorchester Park CLO Ltd. | ||||||||
500,000 | Series 2015-1A-ER 7.278%, 04/20/2028(b)(h) 3 mo. USD LIBOR + 5.000% | 478,377 | ||||||
Drive Auto Receivables Trust | ||||||||
975,000 | Series 2018-1-D 3.810%, 05/15/2024 | 993,124 | ||||||
630,000 | Series 2018-5-D 4.300%, 04/15/2026 | 653,250 | ||||||
Driven Brands Funding LLC | ||||||||
232,063 | Series 2018-1A-A2 4.739%, 04/20/2048(b) | 243,697 | ||||||
Dryden 40 Senior Loan Fund | ||||||||
1,000,000 | Series 2015-40A-ER 7.908%, 08/15/2031(b)(h) 3 mo. USD LIBOR + 5.750% | 923,020 | ||||||
Dryden 55 CLO Ltd. | ||||||||
500,000 | Series 2018-55A-F 9.503%, 04/15/2031(b)(h) 3 mo. USD LIBOR + 7.200% | 431,103 | ||||||
DT Auto Owner Trust | ||||||||
529,252 | Series 2016-1A-D 4.660%, 12/15/2022(b) | 531,902 | ||||||
556,200 | Series 2016-2A-D 5.430%, 11/15/2022(b) | 562,352 | ||||||
410,000 | Series 2018-2A-D 4.150%, 03/15/2024(b) | 422,725 | ||||||
585,000 | Series 2018-3A-C 3.790%, 07/15/2024(b) | 597,653 | ||||||
Earnest Student Loan Program LLC | ||||||||
13,000 | Series 2016-D-R 0.000%, 01/25/2041(b) | 385,892 | ||||||
Elevation CLO Ltd. | ||||||||
932,478 | Series 2015-4A-AR 3.290%, 04/18/2027(b)(h) 3 mo. USD LIBOR + 0.990% | 932,509 | ||||||
Fairstone Financial Issuance Trust | ||||||||
| 670,000 (CAD) | | Series 2019-1A-A 3.948%, 03/21/2033(b) | 510,067 | ||||
Fillmore Park CLO Ltd. | ||||||||
500,000 | Series 2018-1A-E 7.703%, 07/15/2030(b)(h) 3 mo. USD LIBOR + 5.400% | 459,191 | ||||||
Five Guys Funding LLC | ||||||||
674,900 | Series 2017-1A-A2 4.600%, 07/25/2047(b) | 709,956 | ||||||
Flagship Credit Auto Trust | ||||||||
300,000 | Series 2016-3-E 6.250%, 10/15/2023(b) | 316,415 | ||||||
700,000 | Series 2019-2-D 3.530%, 05/15/2025(b) | 719,057 | ||||||
Flatiron CLO Ltd. | ||||||||
303,006 | Series 2015-1A-AR 3.193%, 04/15/2027(b)(h) 3 mo. USD LIBOR + 0.890% | 303,017 | ||||||
GCAT LLC | ||||||||
144,903 | Series 2018-1-A1 3.844%, 06/25/2048(b)(f) | 145,464 | ||||||
Genesis Sales Finance Master Trust | ||||||||
145,000 | Series 2019-AA-A 4.680%, 08/20/2023(b) | 148,089 |
Principal Amount^ | Value | |||||||
Gilbert Park CLO Ltd. | ||||||||
$ 500,000 | Series 2017-1A-E 8.703%, 10/15/2030(b)(h) 3 mo. USD LIBOR + 6.400% | $ | 485,451 | |||||
Global Container Assets 2014 Holdings Ltd. | ||||||||
748,364 | Series 2014-1-C 6.000%, 01/05/2030(b)(c)(d) | 607,671 | ||||||
330,270 | Series 2014-1-D 7.500%, 01/05/2030(b)(c)(d) | 181,318 | ||||||
1,185,000 | Series 2014-1-E 0.000%, 01/05/2030(b)(c)(d) | 0 | ||||||
Global Container Assets Ltd. | ||||||||
174,157 | Series 2015-1A-B 4.500%, 02/05/2030(b) | 172,041 | ||||||
GM Financial Consumer Automobile Receivables Trust | ||||||||
230,592 | Series 2018-1-A2B 2.118%, 01/19/2021(h) 1 mo. USD LIBOR + 0.090% | 230,561 | ||||||
451,239 | Series 2018-3-A2B 2.138%, 07/16/2021(h) 1 mo. USD LIBOR + 0.110% | 451,138 | ||||||
GSAA Home Equity Trust | ||||||||
668,869 | Series 2006-10-AF5 6.448%, 06/25/2036(f) | 304,548 | ||||||
Halcyon Loan Advisors Funding Ltd. | ||||||||
16,147 | Series 2013-1A-A1 3.453%, 04/15/2025(b)(h) 3 mo. USD LIBOR + 1.150% | 16,150 | ||||||
704,641 | Series 2014-2A-A1BR 3.436%, 04/28/2025(b)(h) 3 mo. USD LIBOR + 1.180% | 704,832 | ||||||
Harbour Aircraft Investments Ltd. | ||||||||
1,363,024 | Series 2017-1-C 8.000%, 11/15/2037 | 1,375,271 | ||||||
Harley Marine Financing LLC | ||||||||
954,473 | Series 2018-1A-A2 5.682%, 05/15/2043(b) | 848,719 | ||||||
Hertz Vehicle Financing II L.P. | ||||||||
365,000 | Series 2017-2A-A 3.290%, 10/25/2023(b) | 373,657 | ||||||
Highbridge Loan Management Ltd. | ||||||||
500,000 | Series 2013-2A-DR 8.878%, 10/20/2029(b)(h) 3 mo. USD LIBOR + 6.600% | 487,494 | ||||||
Home Partners of America Trust | ||||||||
340,000 | Series 2016-2-E 5.805%, 10/17/2033(b)(h) 1 mo. LIBOR + 3.780% | 340,815 | ||||||
580,000 | Series 2016-2-F 6.725%, 10/17/2033(b)(h) 1 mo. LIBOR + 4.700% | 581,039 | ||||||
Honda Auto Receivables Owner Trust | ||||||||
301,197 | Series 2017-3-A3 1.790%, 09/20/2021 | 300,956 | ||||||
690,000 | Series 2019-1-A3 2.830%, 03/20/2023 | 702,350 | ||||||
Horizon Aircraft Finance I Ltd. | ||||||||
2,684,033 | Series 2018-1-C 6.657%, 12/15/2038(b) | 2,722,943 | ||||||
InSite Issuer LLC | ||||||||
3,500,000 | Series 2016-1A-C 6.414%, 11/15/2046(b) | 3,658,621 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
Invitation Homes Trust | ||||||||
$ 714,902 | Series 2018-SFR1-E 4.025%, 03/17/2037(b)(h) 1 mo. LIBOR + 2.000% | $ | 716,043 | |||||
1,225,000 | Series 2018-SFR2-E 4.028%, 06/17/2037(b)(h) 1 mo. LIBOR + 2.000% | 1,228,988 | ||||||
Jamestown CLO VII Ltd. | ||||||||
785,000 | Series 2015-7A-A1R 3.106%, 07/25/2027(b)(h) 3 mo. USD LIBOR + 0.830% | 783,113 | ||||||
JP Morgan Mortgage Acquisition Trust | ||||||||
1,000,000 | Series 2007-CH1-AF5 4.891%, 11/25/2036(f) | 1,078,825 | ||||||
Kestrel Aircraft Funding Ltd. | ||||||||
565,017 | Series 2018-1A-A 4.250%, 12/15/2038(b) | 579,187 | ||||||
Labrador Aviation Finance Ltd. | ||||||||
1,666,667 | Series 2016-1A-B1 5.682%, 01/15/2042(b) | 1,707,190 | ||||||
LCM 26 Ltd. | ||||||||
500,000 | Series 26A-E 7.578%, 01/20/2031(b)(h) 3 mo. USD LIBOR + 5.300% | 434,414 | ||||||
LCM Loan Income Fund I Income Note Issuer Ltd. | ||||||||
500,000 | Series 27A-E 7.922%, 07/16/2031(b)(h) 3 mo. USD LIBOR + 5.600% | 454,793 | ||||||
LCM XVII L.P. | ||||||||
1,000,000 | Series 17A-ER 8.303%, 10/15/2031(b)(h) 3 mo. USD LIBOR + 6.000% | 875,903 | ||||||
LCM XX L.P. | ||||||||
500,000 | Series 20A-ER 7.728%, 10/20/2027(b)(h) 3 mo. USD LIBOR + 5.450% | 473,568 | ||||||
Lehman XS Trust | ||||||||
2,830,502 | Series 2005-6-3A3A 5.760%, 11/25/2035(f) | 2,000,211 | ||||||
574,220 | Series 2006-8-3A3 4.988%, 06/25/2036(f) | 578,011 | ||||||
Limerock CLO III LLC | ||||||||
205,862 | Series 2014-3A-A1R 3.478%, 10/20/2026(b)(h) 3 mo. USD LIBOR + 1.200% | 205,960 | ||||||
Madison Park Funding XII Ltd. | ||||||||
250,000 | Series 2014-12A-B1R 3.928%, 07/20/2026(b)(h) 3 mo. USD LIBOR + 1.650% | 250,028 | ||||||
Madison Park Funding XIV Ltd. | ||||||||
1,000,000 | Series 2014-14A-ER 8.078%, 10/22/2030(b)(h) 3 mo. USD LIBOR + 5.800% | 916,375 | ||||||
MAPS Ltd. | ||||||||
659,340 | Series 2018-1A-A 4.212%, 05/15/2043(b) | 676,909 | ||||||
299,868 | Series 2019-1A-A 4.458%, 03/15/2044(b) | 310,911 |
Principal Amount^ | Value | |||||||
Marlette Funding Trust | ||||||||
$ 253,668 | Series 2019-1A-A 3.440%, 04/16/2029(b) | $ | 255,552 | |||||
404,449 | Series 2019-3A-A 2.690%, 09/17/2029(b) | 405,945 | ||||||
Master Asset-Backed Securities Trust | ||||||||
11,408,774 | Series 2006-NC3-A3 2.118%, 10/25/2036(h) 1 mo. USD LIBOR + 0.100% | 7,508,815 | ||||||
Mosaic Solar Loans LLC | ||||||||
1,906,995 | Series 2017-2A-B 4.770%, 06/22/2043(b) | 1,965,539 | ||||||
Motor Plc | ||||||||
323,563 | Series 2017-1A-A1 2.548%, 09/25/2024(b)(h) 1 mo. USD LIBOR + 0.530% | 323,673 | ||||||
Mountain View CLO X Ltd. | ||||||||
865,000 | Series 2015-10A-AR 3.123%, 10/13/2027(b)(h) 3 mo. USD LIBOR + 0.820% | 865,020 | ||||||
MVW Owner Trust | ||||||||
149,434 | Series 2019-1A-C 3.330%, 11/20/2036(b) | 151,853 | ||||||
Myers Park CLO Ltd. | ||||||||
1,000,000 | Series 2018-1A-E 7.778%, 10/20/2030(b)(h) 3 mo. USD LIBOR + 5.500% | 920,768 | ||||||
Nationstar HECM Loan Trust | ||||||||
3,200,000 | Series 2018-1A-M4 4.705%, 02/25/2028(b)(g) | 3,251,893 | ||||||
Navistar Financial Dealer Note Master Owner Trust | ||||||||
310,000 | Series 2018-1-A 2.648%, 09/25/2023(b)(h) 1 mo. LIBOR + 0.630% | 310,458 | ||||||
Neuberger Berman CLO XVI-S Ltd. | ||||||||
500,000 | Series 2017-16SA-E 7.703%, 01/15/2028(b)(h) 3 mo. USD LIBOR + 5.400% | 481,196 | ||||||
Neuberger Berman CLO XXIII Ltd. | ||||||||
1,000,000 | Series 2016-23A-ER 8.053%, 10/17/2027(b)(h) 3 mo. USD LIBOR + 5.750% | 948,925 | ||||||
Neuberger Berman Loan Advisers CLO 24 Ltd. | ||||||||
1,000,000 | Series 2017-24A-E 8.323%, 04/19/2030(b)(h) 3 mo. USD LIBOR + 6.020% | 962,721 | ||||||
Neuberger Berman Loan Advisers CLO 26 Ltd. | ||||||||
1,000,000 | Series 2017-26A-INC 0.000%, 10/18/2030(b)(g) | 713,520 | ||||||
NextGear Floorplan Master Owner Trust | ||||||||
1,940,000 | Series 2017-1A-A1 2.878%, 04/18/2022(b)(h) 1 mo. LIBOR + 0.850% | 1,944,870 | ||||||
1,210,000 | Series 2017-2A-A1 2.708%, 10/17/2022(b)(h) 1 mo. LIBOR + 0.680% | 1,213,728 | ||||||
845,000 | Series 2018-1A-A1 2.668%, 02/15/2023(b)(h) 1 mo. LIBOR + 0.640% | 846,938 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
Nissan Auto Receivables Owner Trust | ||||||||
$ 71,224 | Series 2017-C-A2B 2.098%, 10/15/2020(h) 1 mo. USD LIBOR + 0.070% | $ | 71,223 | |||||
1,060,000 | Series 2018-A-A3 2.650%, 05/16/2022 | 1,065,143 | ||||||
543,592 | Series 2018-B-A2B 2.128%, 07/15/2021(h) 1 mo. USD LIBOR + 0.100% | 543,601 | ||||||
NRZ Excess Spread-Collateralized Notes | ||||||||
1,993,879 | Series 2018-PLS2-D 4.593%, 02/25/2023(b) | 2,011,201 | ||||||
Oak Hill Advisors Residential Loan Trust | ||||||||
23,168 | Series 2017-NPL1-A1 3.000%, 06/25/2057(b)(f) | 23,225 | ||||||
81,328 | Series 2017-NPL2-A1 3.000%, 07/25/2057(b)(f) | 81,471 | ||||||
Octagon Investment Partners 26 Ltd. | ||||||||
1,000,000 | Series 2016-1A-FR 10.393%, 07/15/2030(b)(h) 3 mo. USD LIBOR + 8.090% | 906,487 | ||||||
Octagon Investment Partners XVI Ltd. | ||||||||
1,000,000 | Series 2013-1A-ER 8.053%, 07/17/2030(b)(h) 3 mo. USD LIBOR + 5.750% | 894,106 | ||||||
1,500,000 | Series 2013-1A-SUB 0.000%, 07/17/2030(b)(g) | 454,840 | ||||||
OneMain Financial Issuance Trust | ||||||||
675,000 | Series 2015-3A-B 4.160%, 11/20/2028(b) | 693,731 | ||||||
1,000,000 | Series 2016-1A-C 6.000%, 02/20/2029(b) | 1,022,942 | ||||||
Oxford Finance Funding LLC | ||||||||
180,000 | Series 2019-1A-A2 4.459%, 02/15/2027(b) | 184,693 | ||||||
Parallel Ltd. | ||||||||
840,000 | Series 2015-1A-AR 3.128%, 07/20/2027(b)(h) 3 mo. USD LIBOR + 0.850% | 840,724 | ||||||
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates | ||||||||
8,000,000 | Series 2005-WHQ1-M5 3.143%, 03/25/2035(h) 1 mo. USD LIBOR + 1.125% | 8,025,660 | ||||||
Penarth Master Issuer Trust | ||||||||
300,000 | Series 2019-1A 2.581%, 07/18/2023(b)(h) 1 mo. USD LIBOR + 0.540% | 300,365 | ||||||
Planet Fitness Master Issuer LLC | ||||||||
856,350 | Series 2018-1A-A2I 4.262%, 09/05/2048(b) | 877,722 | ||||||
PNMAC FMSR Issuer Trust | ||||||||
7,300,000 | Series 2018-FT1-A 4.368%, 04/25/2023(b)(h) 1 mo. USD LIBOR + 2.350% | 7,269,085 | ||||||
Prestige Auto Receivables Trust | ||||||||
200,000 | Series 2019-1A-E 3.900%, 05/15/2026(b) | 202,731 |
Principal Amount^ | Value | |||||||
Preston Ridge Partners Mortgage LLC | ||||||||
$ 496,041 | Series 2017-2A-A1 3.470%, 09/25/2022(b)(f) | $ | 498,062 | |||||
315,000 | Series 2017-2A-A2 5.000%, 09/25/2022(b)(f) | 316,595 | ||||||
236,882 | Series 2017-3A-A1 3.470%, 11/25/2022(b)(g) | 237,535 | ||||||
120,000 | Series 2017-3A-A2 5.000%, 11/25/2022(b)(g) | 119,482 | ||||||
275,000 | Series 2018-1A-A2 5.000%, 04/25/2023(b)(g) | 274,300 | ||||||
Progress Residential Trust | ||||||||
210,000 | Series 2017-SFR2-E 4.142%, 12/17/2034(b) | 212,860 | ||||||
125,000 | Series 2018-SFR2-E 4.656%, 08/17/2035(b) | 129,036 | ||||||
530,000 | Series 2019-SFR1-E 4.466%, 08/17/2035(b) | 548,912 | ||||||
RCO V Mortgage LLC | ||||||||
103,371 | Series 2018-1-A1 4.000%, 05/25/2023(b)(f) | 103,876 | ||||||
S-Jets Ltd. | ||||||||
1,204,563 | Series 2017-1-A 3.967%, 08/15/2042(b) | 1,242,108 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
1,120,000 | Series 2018-2-D 3.880%, 02/15/2024 | 1,140,976 | ||||||
975,000 | Series 2018-3-D 4.070%, 08/15/2024 | 1,006,227 | ||||||
735,000 | Series 2018-5-C 3.810%, 12/16/2024 | 748,752 | ||||||
875,000 | Series 2019-2-D 3.220%, 07/15/2025 | 893,122 | ||||||
SCF Equipment Leasing LLC | ||||||||
1,135,000 | Series 2018-1A-C 4.210%, 04/20/2027(b) | 1,198,440 | ||||||
Shenton Aircraft Investment I Ltd. | ||||||||
170,770 | Series 2015-1A-A 4.750%, 10/15/2042(b) | 174,834 | ||||||
SLM Private Credit Student Loan Trust | ||||||||
334,000 | Series 2003-A-A3 5.410%, 06/15/2032(h) 28 day ARS | 333,900 | ||||||
865,000 | Series 2003-B-A3 5.080%, 03/15/2033(h) 28 day ARS | 864,741 | ||||||
76,000 | Series 2003-B-A4 4.750%, 03/15/2033(h) 28 day ARS | 75,977 | ||||||
SMB Private Education Loan Trust | ||||||||
353,777 | Series 2017-B-A2B 2.778%, 10/15/2035(b)(h) 1 mo. USD LIBOR + 0.750% | 354,147 | ||||||
SoFi Consumer Loan Program Trust | ||||||||
620,000 | Series 2018-2-A2 3.350%, 04/26/2027(b) | 625,423 | ||||||
435,000 | Series 2018-2-B 3.790%, 04/26/2027(b) | 446,175 | ||||||
380,000 | Series 2019-4-C 2.840%, 08/25/2028(b) | 381,646 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
SoFi Professional Loan Program LLC | ||||||||
$ 13,090 | Series 2014-B-A1 3.268%, 08/25/2032(b)(h) 1 mo. USD LIBOR + 1.250% | $ | 13,118 | |||||
257,042 | Series 2016-A-B 3.570%, 01/26/2038(b) | 258,795 | ||||||
133,000 | Series 2017-F-R1 0.000%, 01/25/2041(b) | 8,444,842 | ||||||
63,855 | Series 2019-B-R1 0.000%, 08/17/2048(b) | 2,359,580 | ||||||
Soundview Home Loan Trust | ||||||||
5,966,009 | Series 2007-OPT3-2A3 2.198%, 08/25/2037(h) 1 mo. USD LIBOR + 0.180% | 5,784,810 | ||||||
Sprite Ltd. | ||||||||
314,117 | Series 2017-1-B 5.750%, 12/15/2037(b) | 321,657 | ||||||
Staniford Street CLO Ltd. | ||||||||
457,927 | Series 2014-1A-AR 3.299%, 06/15/2025(b)(h) 3 mo. USD LIBOR + 1.180% | 458,361 | ||||||
Stanwich Mortgage Loan Trust | ||||||||
9,562 | Series 2012-2-A 0.000%, 03/15/2047(b)(d)(g) | 1,312 | ||||||
Stewart Park CLO Ltd. | ||||||||
500,000 | Series 2015-1A-ER 7.583%, 01/15/2030(b)(h) 3 mo. USD LIBOR + 5.280% | 439,194 | ||||||
Terwin Mortgage Trust | ||||||||
834,654 | Series 2006-3-2A2 2.228%, 04/25/2037(b)(h) 1 mo. USD LIBOR + 0.210% | 824,239 | ||||||
THL Credit Wind River CLO Ltd. | ||||||||
2,000,000 | Series 2014-2A-INC 0.000%, 01/15/2031(b) | 690,939 | ||||||
500,000 | Series 2018-2A-E 8.053%, 07/15/2030(b)(h) 3 mo. USD LIBOR + 5.750% | 459,383 | ||||||
Tidewater Auto Receivables Trust | ||||||||
110,000 | Series 2018-AA-D 4.300%, 11/15/2024(b) | 112,529 | ||||||
Towd Point Mortgage Trust | ||||||||
309,715 | Series 2017-6-A1 2.750%, 10/25/2057(b)(g) | 312,869 | ||||||
Toyota Auto Receivables Owner Trust | ||||||||
594 | Series 2017-D-A2B 2.078%, 08/17/2020(h) 1 mo. USD LIBOR + 0.050% | 594 | ||||||
427,109 | Series 2018-A-A2B 2.098%, 10/15/2020(h) 1 mo. USD LIBOR + 0.070% | 427,113 | ||||||
Tricon American Homes Trust | ||||||||
415,000 | Series 2019-SFR1-A 2.750%, 03/17/2038(b) | 416,425 | ||||||
Tryon Park CLO Ltd. | ||||||||
1,000,000 | Series 2013-1A-DR 8.253%, 04/15/2029(b)(h) 3 mo. USD LIBOR + 5.950% | 973,238 |
Principal Amount^ | Value | |||||||
United Auto Credit Securitization Trust | ||||||||
$ 640,000 | Series 2019-1-C 3.160%, 08/12/2024(b) | $ | 643,710 | |||||
Venture XXI CLO Ltd. | ||||||||
645,000 | Series 2015-21A-AR 3.183%, 07/15/2027(b)(h) 3 mo. USD LIBOR + 0.880% | 645,010 | ||||||
Vericrest Opportunity Loan Trust | ||||||||
535,380 | Series 2019-NPL3-A1 3.967%, 03/25/2049(b)(f) | 539,710 | ||||||
806,394 | Series 2019-NPL5-A1A 3.352%, 09/25/2049(b)(f) | 810,920 | ||||||
Verizon Owner Trust | ||||||||
620,000 | Series 2017-3A-A1B 2.314%, 04/20/2022(b)(h) 1 mo. USD LIBOR + 0.270% | 620,899 | ||||||
Veros Automobile Receivables Trust | ||||||||
14,839 | Series 2017-1-A 2.840%, 04/17/2023(b) | 14,838 | ||||||
Volkswagen Auto Loan Enhanced Trust | ||||||||
508,115 | Series 2018-1-A2B 2.224%, 07/20/2021(h) 1 mo. USD LIBOR + 0.180% | 508,171 | ||||||
VOLT LXX LLC | ||||||||
437,611 | Series 2018-NPL6-A1A 4.115%, 09/25/2048(b)(f) | 439,974 | ||||||
VOLT LXXI LLC | ||||||||
223,617 | Series 2018-NPL7-A1A 3.967%, 09/25/2048(b)(f) | 225,253 | ||||||
VOLT LXXII LLC | ||||||||
2,098,326 | Series 2018-NPL8-A1A 4.213%, 10/26/2048(b)(f) | 2,110,867 | ||||||
VOLT LXXV LLC | ||||||||
746,349 | Series 2019-NPL1-A1A 4.336%, 01/25/2049(b)(f) | 753,313 | ||||||
Voya CLO Ltd. | ||||||||
500,000 | Series 2018-2A-E 7.553%, 07/15/2031(b)(h) 3 mo. USD LIBOR + 5.250% | 441,877 | ||||||
WAVE Trust | ||||||||
295,518 | Series 2017-1A-B 5.682%, 11/15/2042(b) | 306,142 | ||||||
Webster Park CLO Ltd. | ||||||||
1,000,000 | Series 2015-1A-DR 7.778%, 07/20/2030(b)(h) 3 mo. USD LIBOR + 5.500% | 909,509 | ||||||
Westlake Automobile Receivables Trust | ||||||||
205,000 | Series 2017-1A-D 3.460%, 10/17/2022(b) | 206,243 | ||||||
245,000 | Series 2018-1A-D 3.410%, 05/15/2023(b) | 247,557 | ||||||
565,000 | Series 2018-2A-D 4.000%, 01/16/2024(b) | 577,666 | ||||||
Wingstop Funding LLC | ||||||||
238,800 | Series 2018-1-A2 4.970%, 12/05/2048(b) | 248,283 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
World Financial Network Credit Card Master Trust | ||||||||
$ 1,765,000 | Series 2019-C-M 2.710%, 07/15/2026 | $ | 1,764,954 | |||||
|
| |||||||
| TOTAL ASSET-BACKED SECURITIES | 176,809,001 | ||||||
|
| |||||||
BANK LOANS: 2.7% | ||||||||
1011778 B.C. Unlimited Liability Co. | ||||||||
522,211 | 4.294%, 02/16/2024(h) 1 mo. LIBOR + 2.250% | 524,561 | ||||||
Acrisure LLC | ||||||||
472,445 | 6.354%, 11/22/2023(h) 3 mo. LIBOR + 4.250% | 471,118 | ||||||
AES Corp. | ||||||||
40,705 | 3.874%, 05/31/2022(h) 3 mo. LIBOR + 1.750% | 40,777 | ||||||
Air Methods Corp. | ||||||||
1,191,952 | 5.604%, 04/21/2024(h) 3 mo. LIBOR + 3.500% | 973,824 | ||||||
Albertsons LLC | ||||||||
86,466 | 4.794%, 11/17/2025(h) 1 mo. LIBOR + 2.750% | 87,094 | ||||||
Allied Universal Holdco LLC | ||||||||
213,829 | 6.507%, 07/10/2026(h) 3 mo. LIBOR + 4.250% | 214,397 | ||||||
Almonde, Inc. | ||||||||
469,041 | 5.696%, 06/13/2024(h) 2 mo. LIBOR + 3.500% | 457,338 | ||||||
American Builders & Contractors Supply Co., Inc. | ||||||||
525,319 | 4.044%, 10/31/2023(h) 1 mo. LIBOR + 2.000% | 525,810 | ||||||
American Tire Distributors Holdings, Inc. | ||||||||
1,157,098 | 9.624%, 09/02/2024(h) 3 mo. LIBOR + 7.500% | 1,022,875 | ||||||
Aramark Services, Inc. | ||||||||
931,618 | 3.794%, 03/11/2025(h) 1 mo. LIBOR + 1.750% | 934,142 | ||||||
Assured Partners, Inc. | ||||||||
473,630 | 5.544%, 10/22/2024(h) 1 mo. LIBOR + 3.500% | 472,372 | ||||||
Athenahealth, Inc. | ||||||||
164,175 | 6.681%, 02/11/2026(h) 3 mo. LIBOR + 4.500% | 164,022 | ||||||
Auris Luxembourg III S.A.R.L. | ||||||||
189,050 | 5.794%, 02/27/2026(h) 1 mo. LIBOR + 3.750% | 188,282 | ||||||
Axalta Coating Systems US Holdings, Inc. | ||||||||
625,664 | 3.854%, 06/01/2024(h) 3 mo. LIBOR + 1.750% | 626,737 | ||||||
Barneys, Inc. | ||||||||
195,205 | 4.350%, 03/31/2020(d)(h) 1 mo. LIBOR + 2.250% | 193,658 | ||||||
659,978 | 4.382%, 03/31/2020(h) 2 mo. LIBOR + 2.250% | 654,750 | ||||||
492,958 | 9.100%, 03/31/2020(h) 1 mo. LIBOR + 7.000% | 489,053 | ||||||
BJ Services LLC | ||||||||
3,258,750 | 9.320%, 01/03/2023(c)(d)(h) 3 mo. LIBOR + 7.000% | 3,231,745 |
Principal Amount^ | Value | |||||||
BJ’s Wholesale Club, Inc. | ||||||||
$ 133,985 | 4.786%, 02/03/2024(h) 1 mo. LIBOR + 2.750% | $ | 134,571 | |||||
Brookfield WEC Holdings, Inc. | ||||||||
262,165 | 5.544%, 08/01/2025(h) 1 mo. LIBOR + 3.500% | 263,329 | ||||||
California Resources Corp. | ||||||||
4,092,000 | 6.794%, 12/31/2022(h) 1 mo. LIBOR + 4.750% | 3,662,340 | ||||||
Canyon Valor Cos., Inc. | ||||||||
482,896 | 4.854%, 06/16/2023(h) 3 mo. LIBOR + 2.750% | 482,896 | ||||||
Capri Finance LLC | ||||||||
466,499 | 5.256%, 11/01/2024(h) 3 mo. LIBOR + 3.000% | 461,687 | ||||||
Catalent Pharma Solutions, Inc. | ||||||||
238,800 | 4.294%, 05/18/2026(h) 1 mo. LIBOR + 2.250% | 239,845 | ||||||
Cengage Learning, Inc. | ||||||||
1,047,294 | 6.294%, 06/07/2023(h) 1 mo. LIBOR + 4.250% | 994,641 | ||||||
CHG Healthcare Services, Inc. | ||||||||
478,446 | 5.044%, 06/07/2023(h) 1 mo. LIBOR + 3.000% | 478,896 | ||||||
Colorado Buyer, Inc. | ||||||||
475,906 | 5.040%, 05/01/2024(h) 1 mo. LIBOR + 3.000% | 431,544 | ||||||
Concentra, Inc. | ||||||||
491,810 | 4.540%, 06/01/2022(h) 3 mo. LIBOR + 2.500% | 495,499 | ||||||
CSC Holdings LLC | ||||||||
194,495 | 0.000%, 04/15/2027(i) | 195,164 | ||||||
38,377 | 0.000%, 04/27/2027(i) | 38,449 | ||||||
Cvent, Inc. | ||||||||
455,820 | 5.794%, 11/29/2024(h) 1 mo. LIBOR + 3.750% | 450,835 | ||||||
Dell International LLC | ||||||||
155,000 | 0.000%, 09/19/2025(i) | 155,914 | ||||||
Equinox Holdings, Inc. | ||||||||
482,939 | 5.044%, 03/08/2024(h) 1 mo. LIBOR + 3.000% | 483,845 | ||||||
Filtration Group Corp. | ||||||||
457,398 | 5.044%, 03/29/2025(h) 1 mo. LIBOR + 3.000% | 459,193 | ||||||
Financial & Risk US Holdings, Inc. | ||||||||
392,237 | 5.794%, 10/01/2025(h) 1 mo. LIBOR + 3.750% | 394,770 | ||||||
Forest City Enterprises L.P. | ||||||||
143,913 | 6.044%, 12/07/2025(h) 1 mo. LIBOR + 4.000% | 145,149 | ||||||
Forterra Finance LLC | ||||||||
1,017,342 | 5.044%, 10/25/2023(h) 1 mo. LIBOR + 3.000% | 965,203 | ||||||
Garda World Security Corp. | ||||||||
477,114 | 5.637%, 05/24/2024(h) 3 mo. PRIME + 2.500% | 478,156 | ||||||
Gavilan Resources LLC | ||||||||
1,025,000 | 8.044%, 03/01/2024(h) 1 mo. LIBOR + 6.000% | 462,962 | ||||||
Gentiva Health Services, Inc. | ||||||||
477,282 | 5.813%, 07/02/2025(h) 1 mo. LIBOR + 3.750% | 480,564 | ||||||
GOBP Holdings, Inc. | ||||||||
127,809 | 5.759%, 10/22/2025(h) 3 mo. LIBOR + 3.500% | 128,648 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
BANK LOANS (CONTINUED) | ||||||||
Granite Holdings US Acquisition Co. | ||||||||
$ 460,000 | 0.000%, 09/19/2026(i) | $ | 449,075 | |||||
Gray Television, Inc. | ||||||||
556,000 | 4.582%, 02/07/2024(h) 1 mo. LIBOR + 2.250% | 557,813 | ||||||
361,090 | 4.832%, 01/02/2026(h) 3 mo. LIBOR + 2.500% | 362,871 | ||||||
Greeneden U.S. Holdings II LLC | ||||||||
362,929 | 5.294%, 12/01/2023(h) 1 mo. LIBOR + 3.250% | 361,416 | ||||||
Gulf Finance LLC | ||||||||
1,311,703 | 7.360%, 08/25/2023(h) 1 mo. LIBOR + 5.250% | 1,005,099 | ||||||
Hamilton Holding Co. LLC | ||||||||
956,687 | 4.110%, 07/02/2025(h) 3 mo. LIBOR + 2.000% | 961,471 | ||||||
Hayward Industries, Inc. | ||||||||
464,816 | 5.544%, 08/05/2024(h) 1 mo. LIBOR + 3.500% | 450,291 | ||||||
HC Group Holdings II, Inc. | ||||||||
175,000 | 6.544%, 08/06/2026(h) 1 mo. LIBOR + 4.500% | 175,000 | ||||||
Hyland Software, Inc. | ||||||||
464,521 | 5.294%, 07/01/2024(h) 1 mo. LIBOR + 3.250% | 465,044 | ||||||
iHeartCommunications, Inc. | ||||||||
523,938 | 6.100%, 05/01/2026(h) 1 mo. LIBOR + 4.000% | 527,957 | ||||||
Informatica LLC | ||||||||
475,506 | 5.294%, 08/05/2022(h) 1 mo. LIBOR + 3.250% | 477,984 | ||||||
Inmarsat Finance Plc | ||||||||
240,000 | 0.000%, 09/23/2026(i) | 236,644 | ||||||
IQVIA, Inc. | ||||||||
303,800 | 4.104%, 01/17/2025(h) 3 mo. LIBOR + 2.000% | 305,699 | ||||||
933,188 | 3.854%, 06/11/2025(h) 3 mo. LIBOR + 1.750% | 935,670 | ||||||
IRB Holding Corp. | ||||||||
471,301 | 5.550%, 02/05/2025(h) 3 mo. LIBOR + 3.250% | 469,861 | ||||||
Iron Mountain, Inc. | ||||||||
1,128,691 | 3.794%, 01/02/2026(h) 1 mo. LIBOR + 1.750% | 1,120,694 | ||||||
Jeld-Wen, Inc. | ||||||||
930,511 | 4.104%, 12/14/2024(h) 3 mo. LIBOR + 2.000% | 932,023 | ||||||
Kronos, Inc. | ||||||||
480,927 | 5.253%, 11/01/2023(h) 3 mo. LIBOR + 3.000% | 482,348 | ||||||
Life Time Fitness, Inc. | ||||||||
476,940 | 4.874%, 06/10/2022(h) 3 mo. LIBOR + 2.750% | 477,672 | ||||||
Lower Cadence Holdings LLC | ||||||||
289,275 | 6.054%, 05/22/2026(h) 1 mo. LIBOR + 4.000% | 282,677 | ||||||
McDermott International, Inc. | ||||||||
3,183,000 | 0.000%, 05/10/2023(d)(i) | 1,941,630 | ||||||
McDermott Technology Americas, Inc. | ||||||||
1,283,000 | 7.104%, 05/09/2025 3 mo. LIBOR + 5.000% | 816,630 |
Principal Amount^ | Value | |||||||
$ 468,810 | 7.104%, 05/09/2025 3 mo. LIBOR + 5.000% | $ | 298,398 | |||||
Minotaur Acquisition, Inc. | ||||||||
1,092,256 | 7.044%, 03/27/2026(h) 1 mo. LIBOR + 5.000% | 1,063,584 | ||||||
MLN U.S. Holding Co. LLC | ||||||||
471,962 | 6.612%, 11/30/2025(h) 1 mo. LIBOR + 4.500% | 440,104 | ||||||
MPH Acquisition Holdings LLC | ||||||||
1,094,041 | 4.854%, 06/07/2023(h) 3 mo. LIBOR + 2.750% | 1,045,263 | ||||||
Murray Energy Corp. | ||||||||
797,900 | 11.332%, 02/12/2021(c)(d)(h) 3 mo. LIBOR + 9.000% | 797,900 | ||||||
NCI Building Systems, Inc. | ||||||||
296,992 | 5.789%, 04/12/2025(h) 1 mo. LIBOR + 3.750% | 291,424 | ||||||
Nexstar Broadcasting, Inc. | ||||||||
185,000 | 4.807%, 09/18/2026(h) 3 mo. LIBOR + 2.750% | 186,055 | ||||||
Panther BF Aggregator 2 L.P. | ||||||||
235,014 | 5.544%, 04/30/2026(h) 1 mo. LIBOR + 3.500% | 233,472 | ||||||
Project Alpha Intermediate Holding, Inc. | ||||||||
364,624 | 5.810%, 04/26/2024(h) 3 mo. LIBOR + 3.500% | 360,522 | ||||||
Radiology Partners Holdings LLC | ||||||||
188,383 | 7.194%, 07/09/2025(h) 3 mo. LIBOR + 4.750% | 186,196 | ||||||
RegionalCare Hospital Partners Holdings, Inc. | ||||||||
233,238 | 6.554%, 11/17/2025(h) 1 mo. LIBOR + 4.500% | 233,803 | ||||||
Science Applications International Corp. | ||||||||
510,864 | 3.794%, 10/31/2025(h) 1 mo. LIBOR + 1.750% | 511,451 | ||||||
Securus Technologies Holdings, Inc. | ||||||||
250,254 | 6.544%, 11/01/2024(h) 3 mo. LIBOR + 4.500% | 221,684 | ||||||
Sophia L.P. | ||||||||
452,966 | 5.354%, 09/30/2022(h) 3 mo. LIBOR + 3.250% | 453,627 | ||||||
Sprint Communications, Inc. | ||||||||
472,577 | 4.563%, 02/02/2024(h) 1 mo. LIBOR + 2.500% | 469,918 | ||||||
Transform SR Holdings LLC | ||||||||
2,235,000 | 9.296%, 02/12/2024(h) 1 mo. LIBOR + 7.250% | 2,240,587 | ||||||
Travel Leaders Group LLC | ||||||||
128,375 | 6.046%, 01/25/2024(h) 1 mo. LIBOR + 4.000% | 128,803 | ||||||
Uber Technologies | ||||||||
647,397 | 5.554%, 07/13/2023(h) 1 mo. LIBOR + 3.500% | 644,027 | ||||||
Verscend Holding Corp. | ||||||||
272,250 | 6.544%, 08/27/2025(h) 1 mo. LIBOR + 4.500% | 273,668 | ||||||
Vertafore, Inc. | ||||||||
405,245 | 5.294%, 07/02/2025(h) 1 mo. LIBOR + 3.250% | 394,609 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
BANK LOANS (CONTINUED) | ||||||||
Web.com Group, Inc. | ||||||||
$ 172,648 | 5.778%, 10/10/2025(h) 1 mo. LIBOR + 3.750% | $ | 170,132 | |||||
Western Digital Corp. | ||||||||
847,790 | 3.862%, 04/29/2023(h) 3 mo. LIBOR + 1.750% | 847,082 | ||||||
Zelis HealthcareCorp. | ||||||||
160,000 | 0.000%, 09/26/2026(i) | 159,000 | ||||||
Ziggo Secured Finance Partnership | ||||||||
807,499 | 4.528%, 04/15/2025(h) 1 mo. LIBOR + 2.500% | 806,849 | ||||||
|
| |||||||
| TOTAL BANK LOANS | 50,010,382 | ||||||
|
| |||||||
CONVERTIBLE BONDS: 0.7% | ||||||||
Communications: 0.2% | ||||||||
CalAmp Corp. | ||||||||
1,090,000 | 2.000%, 08/01/2025 | 889,167 | ||||||
DISH Network Corp. | ||||||||
1,615,000 | 2.375%, 03/15/2024 | 1,425,197 | ||||||
1,360,000 | 3.375%, 08/15/2026 | 1,249,440 | ||||||
|
| |||||||
3,563,804 | ||||||||
|
| |||||||
Consumer, Non-cyclical: 0.1% | ||||||||
BioMarin Pharmaceutical, Inc. | ||||||||
1,385,000 | 0.599%, 08/01/2024 | 1,364,913 | ||||||
Flexion Therapeutics, Inc. | ||||||||
195,000 | 3.375%, 05/01/2024 | 175,591 | ||||||
|
| |||||||
1,540,504 | ||||||||
|
| |||||||
Energy: 0.0% | ||||||||
Chesapeake Energy Corp. | ||||||||
440,000 | 5.500%, 09/15/2026 | 267,300 | ||||||
Nabors Industries, Inc. | ||||||||
415,000 | 0.750%, 01/15/2024 | 266,424 | ||||||
|
| |||||||
533,724 | ||||||||
|
| |||||||
Industrial: 0.4% | ||||||||
Arconic, Inc. | ||||||||
7,390,000 | 1.625%, 10/15/2019 | 7,387,282 | ||||||
Greenbrier Cos., Inc. (The) | ||||||||
180,000 | 2.875%, 02/01/2024 | 172,099 | ||||||
|
| |||||||
7,559,381 | ||||||||
|
| |||||||
| TOTAL CONVERTIBLE BONDS | 13,197,413 | ||||||
|
| |||||||
CORPORATE BONDS: 27.5% | ||||||||
Basic Materials: 0.9% | ||||||||
CSN Islands XII Corp. | ||||||||
600,000 | 7.000%, 12/23/2019(e) | 524,631 | ||||||
FMC Corp. | ||||||||
470,000 | 3.450%, 10/01/2029 | 478,488 | ||||||
260,000 | 4.500%, 10/01/2049 | 271,701 | ||||||
FMG Resources August 2006 Pty Ltd. | ||||||||
6,710,000 | 5.125%, 03/15/2023(b) | 6,936,328 | ||||||
Freeport-McMoRan, Inc. | ||||||||
600,000 | 5.450%, 03/15/2043 | 543,600 | ||||||
IAMGOLD Corp. | ||||||||
733,000 | 7.000%, 04/15/2025(b) | 771,482 |
Principal Amount^ | Value | |||||||
Basic Materials (continued) | ||||||||
LYB International Finance III LLC | ||||||||
$ 515,000 | 4.200%, 10/15/2049(j) | $ | 512,361 | |||||
Methanex Corp. | ||||||||
2,485,000 | 5.250%, 12/15/2029 | 2,499,835 | ||||||
Minera Mexico S.A. de C.V. | ||||||||
925,000 | 4.500%, 01/26/2050(b) | 911,564 | ||||||
Mineral Resources Ltd. | ||||||||
500,000 | 8.125%, 05/01/2027(b) | 515,900 | ||||||
Schweitzer-Mauduit International, Inc. | ||||||||
1,940,000 | 6.875%, 10/01/2026(b) | 2,056,400 | ||||||
Vedanta Resources Finance II Plc | ||||||||
200,000 | 9.250%, 04/23/2026 | 199,550 | ||||||
250,000 | 9.250%, 04/23/2026(b) | 249,438 | ||||||
|
| |||||||
16,471,278 | ||||||||
|
| |||||||
Communications: 4.1% | ||||||||
Altice Luxembourg S.A. | ||||||||
3,000,000 | 7.625%, 02/15/2025(b) | 3,138,750 | ||||||
3,100,000 | 10.500%, 05/15/2027(b) | 3,501,450 | ||||||
AT&T, Inc. | ||||||||
275,000 | 3.200%, 03/01/2022 | 281,802 | ||||||
1,375,000 | 3.800%, 03/15/2022 | 1,427,856 | ||||||
C&W Senior Financing DAC | ||||||||
550,000 | 6.875%, 09/15/2027 | 572,000 | ||||||
CommScope Technologies LLC | ||||||||
100,000 | 6.000%, 06/15/2025(b) | 91,000 | ||||||
1,795,000 | 5.000%, 03/15/2027(b) | 1,489,850 | ||||||
CSC Holdings LLC | ||||||||
2,500,000 | 5.750%, 01/15/2030(b) | 2,615,925 | ||||||
DISH DBS Corp. | ||||||||
1,610,000 | 7.750%, 07/01/2026 | 1,642,200 | ||||||
Intelsat Jackson Holdings S.A. | ||||||||
2,450,000 | 8.500%, 10/15/2024(b) | 2,473,740 | ||||||
Match Group, Inc. | ||||||||
2,900,000 | 5.000%, 12/15/2027(b) | 3,023,250 | ||||||
3,600,000 | 5.625%, 02/15/2029(b) | 3,874,500 | ||||||
MDC Partners, Inc. | ||||||||
1,030,000 | 6.500%, 05/01/2024(b) | 943,738 | ||||||
Millicom International Cellular S.A. | ||||||||
205,000 | 5.125%, 01/15/2028(b) | 214,502 | ||||||
550,000 | 6.250%, 03/25/2029 | 602,036 | ||||||
NBCUniversal Enterprise, Inc. | ||||||||
520,000 | 5.250%, 03/19/2021(b)(e) | 535,782 | ||||||
Quebecor Media, Inc. | ||||||||
6,140,000 | 5.750%, 01/15/2023 | 6,707,950 | ||||||
Sirius XM Radio, Inc. | ||||||||
3,918,000 | 5.000%, 08/01/2027(b) | 4,060,027 | ||||||
2,340,000 | 5.500%, 07/01/2029(b) | 2,503,800 | ||||||
Telecom Argentina S.A. | ||||||||
300,000 | 8.000%, 07/18/2026(b) | 263,250 | ||||||
Telecom Italia SpA | ||||||||
2,700,000 | 5.303%, 05/30/2024(b) | 2,921,940 | ||||||
Uber Technologies, Inc. | ||||||||
1,560,000 | 7.500%, 11/01/2023(b) | 1,575,600 | ||||||
1,130,000 | 8.000%, 11/01/2026(b) | 1,146,950 | ||||||
1,560,000 | 7.500%, 09/15/2027(b) | 1,560,000 | ||||||
VeriSign, Inc. | ||||||||
6,440,000 | 4.750%, 07/15/2027 | 6,770,050 | ||||||
ViaSat, Inc. | ||||||||
6,854,000 | 5.625%, 09/15/2025(b) | 6,939,675 | ||||||
VTR Finance B.V. | ||||||||
550,000 | 6.875%, 01/15/2024 | 567,875 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Communications (continued) | ||||||||
Walt Disney Co. (The) | ||||||||
$ 3,430,000 | 2.502%, 09/01/2022(h) 3 mo. USD LIBOR + 0.390% | $ | 3,442,743 | |||||
Windstream Services LLC/Windstream Finance Corp. | ||||||||
3,595,000 | 8.625%, 10/31/2025(b)(k) | 3,675,887 | ||||||
Zayo Group LLC/Zayo Capital, Inc. | ||||||||
4,544,000 | 6.000%, 04/01/2023 | 4,686,000 | ||||||
2,632,000 | 5.750%, 01/15/2027(b) | 2,697,274 | ||||||
|
| |||||||
75,947,402 | ||||||||
|
| |||||||
Consumer, Cyclical: 4.8% | ||||||||
Allison Transmission, Inc. | ||||||||
6,300,000 | 4.750%, 10/01/2027(b) | 6,496,875 | ||||||
Aramark Services, Inc. | ||||||||
1,470,000 | 5.000%, 02/01/2028(b) | 1,532,475 | ||||||
Beazer Homes USA, Inc. | ||||||||
2,600,000 | 5.875%, 10/15/2027 | 2,530,710 | ||||||
2,080,000 | 7.250%, 10/15/2029(b) | 2,119,000 | ||||||
BMW US Capital LLC | ||||||||
1,870,000 | 2.750%, 04/12/2021(b)(h) 3 mo. USD LIBOR + 0.410% | 1,871,831 | ||||||
Carvana Co. | ||||||||
3,250,000 | 8.875%, 10/01/2023(b) | 3,362,775 | ||||||
Century Communities, Inc. | ||||||||
1,190,000 | 5.875%, 07/15/2025 | 1,232,661 | ||||||
1,200,000 | 6.750%, 06/01/2027(b) | 1,291,800 | ||||||
Churchill Downs, Inc. | ||||||||
1,000,000 | 5.500%, 04/01/2027(b) | 1,063,600 | ||||||
5,670,000 | 4.750%, 01/15/2028(b) | 5,840,100 | ||||||
Daimler Finance North America LLC | ||||||||
965,000 | 3.100%, 05/04/2020(b) | 970,691 | ||||||
2,425,000 | 3.058%, 02/15/2022(b)(h) 3 mo. USD LIBOR + 0.900% | 2,438,375 | ||||||
General Motors Financial Co., Inc. | ||||||||
695,000 | 3.700%, 11/24/2020 | 703,863 | ||||||
1,110,000 | 3.161%, 04/09/2021(h) 3 mo. USD LIBOR + 0.850% | 1,109,630 | ||||||
Grupo Posadas SAB de C.V. | ||||||||
550,000 | 7.875%, 06/30/2022 | 552,756 | ||||||
Hilton Domestic Operating Co., Inc. | ||||||||
5,850,000 | 4.875%, 01/15/2030(b) | 6,191,347 | ||||||
Home Depot, Inc. (The) | ||||||||
1,535,000 | 2.448%, 03/01/2022(h) 3 mo. USD LIBOR + 0.310% | 1,537,518 | ||||||
Hyundai Capital America | ||||||||
1,730,000 | 3.950%, 02/01/2022(b) | 1,778,426 | ||||||
Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp. | ||||||||
7,614,000 | 6.750%, 11/15/2021(a)(b) | 7,794,832 | ||||||
KB Home | ||||||||
2,050,000 | 6.875%, 06/15/2027 | 2,311,375 | ||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC | ||||||||
4,857,000 | 4.750%, 06/01/2027(b) | 5,069,494 | ||||||
Latam Airlines 2015-1 Pass Through Trust | ||||||||
1,631,870 | 4.500%, 11/15/2023 | 1,638,561 | ||||||
Latam Finance Ltd. | ||||||||
550,000 | 7.000%, 03/01/2026 | 587,131 |
Principal Amount^ | Value | |||||||
Consumer, Cyclical (continued) | ||||||||
LGI Homes, Inc. | ||||||||
$ 2,000,000 | 6.875%, 07/15/2026(b) | $ | 2,090,000 | |||||
M/I Homes, Inc. | ||||||||
2,050,000 | 5.625%, 08/01/2025 | 2,121,750 | ||||||
Melco Resorts Finance Ltd. | ||||||||
735,000 | 5.625%, 07/17/2027(b) | 764,561 | ||||||
Murphy Oil USA, Inc. | ||||||||
80,000 | 4.750%, 09/15/2029 | 82,000 | ||||||
Nissan Motor Acceptance Corp. | ||||||||
960,000 | 3.650%, 09/21/2021(b) | 982,351 | ||||||
PulteGroup, Inc. | ||||||||
3,050,000 | 5.000%, 01/15/2027 | 3,309,250 | ||||||
Suburban Propane Partners L.P./Suburban Energy Finance Corp. | ||||||||
4,185,000 | 5.875%, 03/01/2027 | 4,298,079 | ||||||
Taylor Morrison Communities, Inc. | ||||||||
2,632,000 | 5.875%, 06/15/2027(b) | 2,901,780 | ||||||
750,000 | 5.750%, 01/15/2028(b) | 815,625 | ||||||
Tempur Sealy International, Inc. | ||||||||
1,000,000 | 5.500%, 06/15/2026 | 1,046,250 | ||||||
Toll Brothers Finance Corp. | ||||||||
300,000 | 4.350%, 02/15/2028 | 311,250 | ||||||
Toyota Motor Credit Corp. | ||||||||
740,000 | 2.583%, 04/13/2021(h) 3 mo. USD LIBOR + 0.280% | 741,131 | ||||||
United Airlines Pass Through Trust | ||||||||
1,755,000 | Series 2019-2-B 3.500%, 05/01/2028 | 1,756,641 | ||||||
Volkswagen Group of America Finance LLC | ||||||||
1,760,000 | 2.972%, 09/24/2021(b)(h) 3 mo. USD LIBOR + 0.860% | 1,763,382 | ||||||
Walmart, Inc. | ||||||||
1,940,000 | 2.389%, 06/23/2021(h) 3 mo. USD LIBOR + 0.230% | 1,946,420 | ||||||
William Lyon Homes, Inc. | ||||||||
2,895,000 | 6.625%, 07/15/2027(b) | 3,018,037 | ||||||
Yum! Brands, Inc. | ||||||||
1,400,000 | 3.875%, 11/01/2023 | 1,459,500 | ||||||
|
| |||||||
89,433,833 | ||||||||
|
| |||||||
Consumer, Non-cyclical: 4.3% | ||||||||
Avon International Operations, Inc. | ||||||||
2,981,000 | 7.875%, 08/15/2022(b) | 3,118,037 | ||||||
BAT Capital Corp. | ||||||||
3,530,000 | 4.758%, 09/06/2049 | 3,479,627 | ||||||
Bausch Health Cos., Inc. | ||||||||
500,000 | 7.250%, 05/30/2029(b) | 547,400 | ||||||
BRF S.A. | ||||||||
1,110,000 | 4.875%, 01/24/2030(b) | 1,097,790 | ||||||
Brink’s Co. (The) | ||||||||
1,425,000 | 4.625%, 10/15/2027(b) | 1,436,596 | ||||||
Bristol-Myers Squibb Co. | ||||||||
1,735,000 | 2.600%, 05/16/2022(b) | 1,759,568 | ||||||
Campbell Soup Co. | ||||||||
985,000 | 2.619%, 03/16/2020(h) 3 mo. USD LIBOR + 0.500% | 985,178 | ||||||
Carriage Services, Inc. | ||||||||
2,130,000 | 6.625%, 06/01/2026(b) | 2,192,835 | ||||||
Cimpress N.V. | ||||||||
2,600,000 | 7.000%, 06/15/2026(b) | 2,696,980 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Consumer, Non-cyclical (continued) | ||||||||
CVS Health Corp. | ||||||||
$ 1,970,000 | 2.822%, 03/09/2021(h) 3 mo. USD LIBOR + 0.720% | $ | 1,980,058 | |||||
DaVita, Inc. | ||||||||
840,000 | 5.000%, 05/01/2025 | 839,849 | ||||||
Diageo Capital Plc | ||||||||
590,000 | 3.000%, 05/18/2020 | 593,501 | ||||||
Graham Holdings Co. | ||||||||
2,180,000 | 5.750%, 06/01/2026(b) | 2,348,950 | ||||||
Hologic, Inc. | ||||||||
1,310,000 | 4.375%, 10/15/2025(b) | 1,349,300 | ||||||
3,750,000 | 4.625%, 02/01/2028(b) | 3,904,687 | ||||||
JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc. | ||||||||
670,000 | 5.500%, 01/15/2030(b) | 711,862 | ||||||
Lamb Weston Holdings, Inc. | ||||||||
2,100,000 | 4.625%, 11/01/2024(b) | 2,220,540 | ||||||
2,550,000 | 4.875%, 11/01/2026(b) | 2,683,875 | ||||||
Minerva Luxembourg S.A. | ||||||||
600,000 | 5.875%, 01/19/2028 | 603,120 | ||||||
Mylan N.V. | ||||||||
1,030,000 | 5.250%, 06/15/2046 | 1,099,474 | ||||||
Mylan, Inc. | ||||||||
350,000 | 5.400%, 11/29/2043 | 368,824 | ||||||
175,000 | 5.200%, 04/15/2048 | 185,591 | ||||||
NBM US Holdings, Inc. | ||||||||
1,860,000 | 7.000%, 05/14/2026(b) | 1,956,487 | ||||||
Nielsen Co. Luxembourg S.A.R.L. (The) | ||||||||
5,732,000 | 5.500%, 10/01/2021(b) | 5,767,825 | ||||||
Pfizer, Inc. | ||||||||
1,925,000 | 3.000%, 09/15/2021 | 1,964,553 | ||||||
Pilgrim’s Pride Corp. | ||||||||
5,178,000 | 5.875%, 09/30/2027(b) | 5,580,589 | ||||||
Polaris Intermediate Corp. | ||||||||
3,050,000 | 8.500%, 12/01/2022(b)(l) PIK rate 9.250% | 2,607,750 | ||||||
Post Holdings, Inc. | ||||||||
3,000,000 | 5.750%, 03/01/2027(b) | 3,195,600 | ||||||
1,750,000 | 5.625%, 01/15/2028(b) | 1,861,562 | ||||||
1,500,000 | 5.500%, 12/15/2029(b) | 1,569,375 | ||||||
Select Medical Corp. | ||||||||
325,000 | 6.250%, 08/15/2026(b) | 340,438 | ||||||
Service Corp. International | ||||||||
5,010,000 | 4.625%, 12/15/2027 | 5,247,975 | ||||||
1,500,000 | 5.125%, 06/01/2029 | 1,610,625 | ||||||
Teleflex, Inc. | ||||||||
2,488,000 | 4.875%, 06/01/2026 | 2,606,180 | ||||||
3,700,000 | 4.625%, 11/15/2027 | 3,875,750 | ||||||
Teva Pharmaceutical Finance Co. B.V. | ||||||||
785,000 | 2.950%, 12/18/2022 | 676,081 | ||||||
Teva Pharmaceutical Finance Netherlands III B.V. | ||||||||
4,795,000 | 4.100%, 10/01/2046 | 3,026,844 | ||||||
Vector Group Ltd. | ||||||||
830,000 | 10.500%, 11/01/2026(b) | 850,750 | ||||||
|
| |||||||
78,942,026 | ||||||||
|
| |||||||
Energy: 3.8% | ||||||||
AI Candelaria Spain SLU | ||||||||
550,000 | 7.500%, 12/15/2028(b) | 627,006 |
Principal Amount^ | Value | |||||||
Energy (continued) | ||||||||
Alliance Resource Operating Partners L.P./Alliance Resource Finance Corp. | ||||||||
$ 2,000,000 | 7.500%, 05/01/2025(b) | $ | 1,982,500 | |||||
Bellatrix Exploration Ltd. | ||||||||
417,000 | 8.500%, 09/11/2023(c)(d) | 333,600 | ||||||
454,000 | 12.500%, 12/15/2023(c)(d)(l) PIK rate 12.500% | 254,240 | ||||||
Berry Petroleum Co. LLC | ||||||||
750,000 | 7.000%, 02/15/2026(b) | 721,875 | ||||||
Bruin E&P Partners LLC | ||||||||
2,820,000 | 8.875%, 08/01/2023(b) | 2,122,050 | ||||||
California Resources Corp. | ||||||||
4,117,000 | 8.000%, 12/15/2022(b) | 2,058,500 | ||||||
23,000 | 6.000%, 11/15/2024 | 8,625 | ||||||
Calumet Specialty Products Partners L.P./Calumet Finance Corp. | ||||||||
3,950,000 | 7.750%, 04/15/2023 | 3,683,375 | ||||||
Canacol Energy Ltd. | ||||||||
550,000 | 7.250%, 05/03/2025 | 583,963 | ||||||
Cheniere Energy Partners L.P. | ||||||||
5,000,000 | 5.625%, 10/01/2026 | 5,330,750 | ||||||
CNX Midstream Partners L.P./CNX Midstream Finance Corp. | ||||||||
795,000 | 6.500%, 03/15/2026(b) | 737,442 | ||||||
CNX Resources Corp. | ||||||||
450,000 | 7.250%, 03/14/2027(b) | 375,750 | ||||||
Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp. | ||||||||
4,500,000 | 5.625%, 05/01/2027(b) | 4,605,480 | ||||||
Eclipse Resources Corp. | ||||||||
985,000 | 8.875%, 07/15/2023 | 758,450 | ||||||
Exxon Mobil Corp. | ||||||||
1,735,000 | 2.498%, 08/16/2022(h) 3 mo. USD LIBOR + 0.330% | 1,742,249 | ||||||
Genesis Energy L.P./Genesis Energy Finance Corp. | ||||||||
3,666,000 | 6.500%, 10/01/2025 | 3,588,097 | ||||||
2,795,000 | 6.250%, 05/15/2026 | 2,711,150 | ||||||
Geopark Ltd. | ||||||||
550,000 | 6.500%, 09/21/2024 | 567,875 | ||||||
Global Partners L.P./GLP Finance Corp. | ||||||||
325,000 | 7.000%, 08/01/2027(b) | 335,563 | ||||||
Gran Tierra Energy, Inc. | ||||||||
550,000 | 7.750%, 05/23/2027(b) | 518,375 | ||||||
Gulfport Energy Corp. | ||||||||
2,260,000 | 6.000%, 10/15/2024 | 1,646,071 | ||||||
Halcon Resources Corp. | ||||||||
3,105,000 | 6.750%, 02/15/2025(k) | 309,103 | ||||||
Kinder Morgan, Inc. | ||||||||
2,000,000 | 4.300%, 03/01/2028 | 2,170,826 | ||||||
Lonestar Resources America, Inc. | ||||||||
380,000 | 11.250%, 01/01/2023(b) | 326,488 | ||||||
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp. | ||||||||
2,870,000 | 6.000%, 08/01/2026(b) | 2,884,350 | ||||||
NGL Energy Partners L.P./NGL Energy Finance Corp. | ||||||||
3,335,000 | 7.500%, 04/15/2026(b) | 3,358,345 | ||||||
NuStar Logistics L.P. | ||||||||
2,975,000 | 6.000%, 06/01/2026 | 3,227,280 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Energy (continued) | ||||||||
Parkland Fuel Corp. | ||||||||
$ 3,585,000 | 6.000%, 04/01/2026(b) | $ | 3,800,100 | |||||
2,175,000 | 5.875%, 07/15/2027(b) | 2,287,687 | ||||||
Petrobras Global Finance B.V. | ||||||||
885,000 | 5.750%, 02/01/2029 | 978,261 | ||||||
550,000 | 6.900%, 03/19/2049 | 631,950 | ||||||
Phillips 66 Partners L.P. | ||||||||
1,500,000 | 3.150%, 12/15/2029 | 1,481,401 | ||||||
QEP Resources, Inc. | ||||||||
2,033,000 | 6.875%, 03/01/2021 | 2,027,917 | ||||||
Sunoco L.P./Sunoco Finance Corp. | ||||||||
4,801,000 | 6.000%, 04/15/2027 | 5,124,971 | ||||||
Tennessee Gas Pipeline Co. LLC | ||||||||
325,000 | 7.000%, 03/15/2027 | 401,720 | ||||||
TerraForm Power Operating LLC | ||||||||
1,686,000 | 5.000%, 01/31/2028(b) | 1,761,870 | ||||||
Transportadora de Gas del Sur S.A. | ||||||||
665,000 | 6.750%, 05/02/2025(b) | 586,863 | ||||||
Vine Oil & Gas L.P./Vine Oil & Gas Finance Corp. | ||||||||
2,070,000 | 8.750%, 04/15/2023(b) | 952,200 | ||||||
955,000 | 9.750%, 04/15/2023(b) | 451,238 | ||||||
YPF S.A. | ||||||||
780,000 | 51.625%, 07/07/2020(b)(d)(h) BADLARPP + 4.000% | 190,253 | ||||||
450,000 | 8.500%, 07/28/2025 | 353,025 | ||||||
840,000 | 6.950%, 07/21/2027(b) | 645,498 | ||||||
|
| |||||||
69,244,332 | ||||||||
|
| |||||||
Financial: 5.1% | ||||||||
AIA Group Ltd. | ||||||||
765,000 | 2.676%, 09/20/2021(b)(h) 3 mo. USD LIBOR + 0.520% | 765,000 | ||||||
AIG Global Funding | ||||||||
925,000 | 2.300%, 07/01/2022(b) | 927,854 | ||||||
Aircastle Ltd. | ||||||||
1,295,000 | 4.250%, 06/15/2026 | 1,328,443 | ||||||
American Express Co. | ||||||||
1,300,000 | 2.887%, 11/05/2021(h) 3 mo. USD LIBOR + 0.600% | 1,307,965 | ||||||
Ameriprise Financial, Inc. | ||||||||
680,000 | 3.000%, 03/22/2022 | 692,847 | ||||||
Assurant, Inc. | ||||||||
1,960,000 | 3.700%, 02/22/2030 | 1,966,520 | ||||||
Banco BTG Pactual S.A. | ||||||||
550,000 | 7.750%, 02/15/2029(g) 5 year CMT + 5.257% | 574,750 | ||||||
Banco do Brasil S.A. | ||||||||
600,000 | 6.250%, 04/15/2024(e)(g) 10 year CMT + 4.398% | 592,500 | ||||||
Banco Hipotecario S.A. | ||||||||
| 8,500,915 (ARS) | | 50.417%, 01/12/2020(b)(h) BADLARPP + 2.500% | 106,154 | ||||
| 12,020,000 (ARS) | | 63.625%, 11/07/2022(b)(h) BADLARPP + 4.000% | 149,270 | ||||
Banco Macro S.A. | ||||||||
| 7,805,000 (ARS) | | 17.500%, 05/08/2022(b) | 56,608 | ||||
250,000 | 6.750%, 11/04/2026(g) 5 year USD Swap + 5.463% | 173,125 |
Principal Amount^ | Value | |||||||
Financial (continued) | ||||||||
Banco Mercantil del Norte S.A. | ||||||||
$ 500,000 | 7.625%, 01/10/2028(e)(g) 10 year CMT + 5.353% | $ | 511,880 | |||||
Banco Santander Mexico S.A. | ||||||||
500,000 | 8.500%, 01/20/2022(e)(g) 5 year CMT + 6.472% | 527,500 | ||||||
Banco Supervielle S.A. | ||||||||
| 15,000,000 (ARS) | | 55.104%, 08/09/2020(b)(h) BADLARPP + 4.500% | 192,119 | ||||
Bank of America Corp. | ||||||||
1,750,000 | 3.499%, 05/17/2022(g) 3 mo. USD LIBOR + 0.630% | 1,785,112 | ||||||
1,575,000 | 2.756%, 06/25/2022(h) 3 mo. USD LIBOR + 0.650% | 1,580,976 | ||||||
Bank of New York Mellon (The) | ||||||||
875,000 | 2.433%, 12/04/2020(h) 3 mo. USD LIBOR + 0.300% | 875,274 | ||||||
BBVA Bancomer S.A. | ||||||||
600,000 | 5.125%, 01/18/2033(g) 5 year CMT + 2.650% | 573,750 | ||||||
Capital One N.A. | ||||||||
1,905,000 | 2.150%, 09/06/2022 | 1,903,940 | ||||||
CFLD Cayman Investment Ltd. | ||||||||
200,000 | 6.500%, 12/21/2020 | 200,495 | ||||||
CIFI Holdings Group Co. Ltd. | ||||||||
200,000 | 5.500%, 01/23/2022 | 198,390 | ||||||
Citibank N.A. | ||||||||
1,110,000 | 2.531%, 02/12/2021(h) 3 mo. USD LIBOR + 0.350% | 1,111,500 | ||||||
Citigroup, Inc. | ||||||||
1,780,000 | 2.350%, 08/02/2021 | 1,787,921 | ||||||
Compass Group Diversified Holdings LLC | ||||||||
2,760,000 | 8.000%, 05/01/2026(b) | 2,932,500 | ||||||
Credit Acceptance Corp. | ||||||||
870,000 | 6.625%, 03/15/2026(b) | 933,075 | ||||||
Credito Real SAB de C.V. | ||||||||
550,000 | 9.125%, 11/29/2022(e)(g) 5 year CMT + 7.026% | 566,505 | ||||||
Danske Bank A/S | ||||||||
360,000 | 3.244%, 12/20/2025(b)(g) 3 mo. USD LIBOR + 1.591% | 363,153 | ||||||
Docuformas SAPI de C.V. | ||||||||
550,000 | 10.250%, 07/24/2024(b) | 542,443 | ||||||
Easy Tactic Ltd. | ||||||||
200,000 | 7.000%, 04/25/2021 | 198,292 | ||||||
Enova International, Inc. | ||||||||
1,120,000 | 8.500%, 09/01/2024(b) | 1,050,000 | ||||||
580,000 | 8.500%, 09/15/2025(b) | 529,975 | ||||||
Financiera de Desarrollo Territorial S.A. | ||||||||
| 6,675,000,000 (COP) | | 7.875%, 08/12/2024(b) | 2,039,286 | ||||
Financiera Independencia SAB de C.V. | ||||||||
600,000 | 8.000%, 07/19/2024 | 556,506 | ||||||
Gilex Holding S.A.R.L | ||||||||
510,000 | 8.500%, 05/02/2023 | 548,893 | ||||||
Hall of Fame | ||||||||
422,008 | 10.822%, 05/15/2020(c)(d)(g) | 422,008 | ||||||
Howard Hughes Corp. (The) | ||||||||
1,327,000 | 5.375%, 03/15/2025(b) | 1,386,715 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Financial (continued) | ||||||||
HSBC Holdings Plc | ||||||||
$ 1,910,000 | 2.782%, 09/11/2021(h) 3 mo. USD LIBOR + 0.650% | $ | 1,912,895 | |||||
Icahn Enterprises L.P./Icahn Enterprises Finance Corp. | ||||||||
1,282,000 | 4.750%, 09/15/2024(b) | 1,282,320 | ||||||
4,275,000 | 6.250%, 05/15/2026(b) | 4,494,094 | ||||||
JPMorgan Chase Bank N.A. | ||||||||
1,780,000 | 3.086%, 04/26/2021(g) 3 mo. USD LIBOR + 0.350% | 1,788,948 | ||||||
KeyBank N.A. | ||||||||
1,050,000 | 3.300%, 02/01/2022 | 1,080,367 | ||||||
Logan Property Holdings Co. Ltd. | ||||||||
200,000 | 5.250%, 02/23/2023 | 193,005 | ||||||
Marsh & McLennan Cos., Inc. | ||||||||
1,210,000 | 3.500%, 12/29/2020 | 1,229,647 | ||||||
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc. | ||||||||
3,070,000 | 5.625%, 05/01/2024 | 3,377,000 | ||||||
3,100,000 | 5.750%, 02/01/2027(b) | 3,484,555 | ||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
1,935,000 | 2.917%, 07/26/2021(h) 3 mo. USD LIBOR + 0.650% | 1,942,126 | ||||||
1,935,000 | 3.535%, 07/26/2021 | 1,979,121 | ||||||
MPT Operating Partnership L.P./MPT Finance Corp. | ||||||||
5,050,000 | 5.000%, 10/15/2027 | 5,302,500 | ||||||
Navient Corp. | ||||||||
40,000 | 6.750%, 06/15/2026 | 41,100 | ||||||
New York Life Global Funding | ||||||||
880,000 | 2.780%, 07/12/2022(b)(h) 3 mo. USD LIBOR + 0.440% | 882,704 | ||||||
PNC Bank N.A. | ||||||||
3,520,000 | 2.709%, 07/22/2022(h) 3 mo. USD LIBOR + 0.450% | 3,523,802 | ||||||
Radian Group, Inc. | ||||||||
2,570,000 | 4.500%, 10/01/2024 | 2,659,950 | ||||||
3,550,000 | 4.875%, 03/15/2027 | 3,603,250 | ||||||
Shimao Property Holdings Ltd. | ||||||||
200,000 | 4.750%, 07/03/2022 | �� | 203,900 | |||||
Springleaf Finance Corp. | ||||||||
575,000 | 7.125%, 03/15/2026 | 638,940 | ||||||
500,000 | 6.625%, 01/15/2028 | 538,900 | ||||||
Standard Chartered Plc | ||||||||
1,760,000 | 3.334%, 09/10/2022(b)(h) 3 mo. USD LIBOR + 1.200% | 1,770,366 | ||||||
955,000 | 3.428%, 01/20/2023(b)(h) 3 mo. USD LIBOR + 1.150% | 959,097 | ||||||
955,000 | 4.247%, 01/20/2023(b)(g) 3 mo. USD LIBOR + 1.150% | 989,251 | ||||||
Starwood Property Trust, Inc. | ||||||||
6,733,000 | 4.750%, 03/15/2025 | 6,980,774 | ||||||
Sumitomo Mitsui Banking Corp. | ||||||||
1,960,000 | 2.653%, 01/17/2020(h) 3 mo. USD LIBOR + 0.350% | 1,961,901 | ||||||
Sunac China Holdings Ltd. | ||||||||
200,000 | 8.625%, 07/27/2020 | 204,372 | ||||||
200,000 | 7.350%, 07/19/2021 | 200,762 | ||||||
Unifin Financiera SAB de C.V. | ||||||||
600,000 | 8.875%, 01/29/2025(e)(g) 5 year CMT + 6.308% | 535,506 |
Principal Amount^ | Value | |||||||
Financial (continued) | ||||||||
US Bank N.A. | ||||||||
$ 1,735,000 | 3.000%, 02/04/2021 | $ | 1,756,796 | |||||
1,860,000 | 2.548%, 11/16/2021(h) 3 mo. USD LIBOR + 0.380% | 1,864,862 | ||||||
USAA Capital Corp. | ||||||||
1,940,000 | 3.000%, 07/01/2020(b) | 1,954,781 | ||||||
Wells Fargo Bank N.A. | ||||||||
940,000 | 3.625%, 10/22/2021 | 967,512 | ||||||
2,475,000 | 2.798%, 09/09/2022(h) 3 mo. USD LIBOR + 0.660% | 2,481,564 | ||||||
Yanlord Land Hong Kong Co. Ltd. | ||||||||
200,000 | 5.875%, 01/23/2022 | 203,590 | ||||||
|
| |||||||
94,949,502 | ||||||||
|
| |||||||
Industrial: 2.7% | ||||||||
3M Co. | ||||||||
1,750,000 | 2.750%, 03/01/2022 | 1,793,510 | ||||||
Aeropuertos Dominicanos Siglo XXI S.A. | ||||||||
550,000 | 6.750%, 03/30/2029 | 579,838 | ||||||
Arconic, Inc. | ||||||||
6,280,000 | 5.125%, 10/01/2024 | 6,692,690 | ||||||
Ball Corp. | ||||||||
6,385,000 | 4.875%, 03/15/2026 | 6,967,631 | ||||||
Boeing Co. (The) | ||||||||
1,555,000 | 2.700%, 05/01/2022 | 1,586,016 | ||||||
Bombardier, Inc. | ||||||||
1,289,000 | 7.500%, 03/15/2025(b) | 1,292,222 | ||||||
C10 Capital SPV Ltd. | ||||||||
200,000 | 6.814%, 12/29/2049(e)(h) 3 mo. USD LIBOR + 4.710% | 199,000 | ||||||
C5 Capital SPV Ltd. | ||||||||
200,000 | 6.381%, 12/29/2049(e)(h) 3 mo. USD LIBOR + 4.277% | 196,632 | ||||||
Caterpillar Financial Services Corp. | ||||||||
1,650,000 | 2.423%, 09/04/2020(h) 3 mo. USD LIBOR + 0.290% | 1,652,376 | ||||||
680,000 | 3.150%, 09/07/2021 | 694,275 | ||||||
Clean Harbors, Inc. | ||||||||
500,000 | 4.875%, 07/15/2027(b) | 523,125 | ||||||
Compania General Combust | ||||||||
600,000 | 9.500%, 11/07/2021 | 457,500 | ||||||
Covanta Holding Corp. | ||||||||
1,901,000 | 6.000%, 01/01/2027 | 2,010,307 | ||||||
FedEx Corp. | ||||||||
695,000 | 3.400%, 01/14/2022 | 712,840 | ||||||
General Dynamics Corp. | ||||||||
2,030,000 | 2.471%, 05/11/2020(h) 3 mo. USD LIBOR + 0.290% | 2,032,617 | ||||||
General Electric Co. | ||||||||
613,000 | 5.000%, 01/21/2021(e)(g) 3 mo. USD LIBOR + 3.330% | 579,978 | ||||||
Honeywell International, Inc. | ||||||||
1,755,000 | 2.150%, 08/08/2022 | 1,770,344 | ||||||
1,755,000 | 2.557%, 08/08/2022(h) 3 mo. USD LIBOR + 0.370% | 1,765,417 | ||||||
Hornbeck Offshore Services, Inc. | ||||||||
186,000 | 5.875%, 04/01/2020 | 108,810 | ||||||
IHS Netherlands Holdco B.V. | ||||||||
500,000 | 7.125%, 03/18/2025(b) | 508,938 | ||||||
John Deere Capital Corp. | ||||||||
2,000,000 | 2.622%, 06/13/2022(h) 3 mo. USD LIBOR + 0.490% | 2,004,586 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Industrial (continued) | ||||||||
John Deere Capital Corp. (Continued) | ||||||||
$ 700,000 | 2.582%, 09/08/2022(h) 3 mo. USD LIBOR + 0.480% | $ | 701,848 | |||||
JSL Europe S.A. | ||||||||
550,000 | 7.750%, 07/26/2024 | 592,641 | ||||||
Klabin Austria GmbH | ||||||||
550,000 | 7.000%, 04/03/2049 | 586,465 | ||||||
Koppers, Inc. | ||||||||
500,000 | 6.000%, 02/15/2025(b) | 502,815 | ||||||
Leonardo US Holdings, Inc. | ||||||||
438,000 | 6.250%, 01/15/2040(b) | 485,087 | ||||||
OSX 3 Leasing B.V. | ||||||||
1,216,328 | 13.000%, 03/20/2015(b)(d)(k) | 243,266 | ||||||
39,531 | 0.000%, 12/31/2099(c)(e) | 0 | ||||||
39,531 | 0.000%, 12/31/2099(c)(e) | 0 | ||||||
Rolls-Royce Plc | ||||||||
1,750,000 | 2.375%, 10/14/2020(b) | 1,752,241 | ||||||
Sensata Technologies, Inc. | ||||||||
1,891,000 | 4.375%, 02/15/2030(b) | 1,893,364 | ||||||
TopBuild Corp. | ||||||||
2,810,000 | 5.625%, 05/01/2026(b) | 2,932,966 | ||||||
TransDigm UK Holdings Plc | ||||||||
1,200,000 | 6.875%, 05/15/2026 | 1,293,000 | ||||||
TransDigm, Inc. | ||||||||
2,325,000 | 6.375%, 06/15/2026 | 2,455,781 | ||||||
Vertiv Group Corp. | ||||||||
2,848,000 | 9.250%, 10/15/2024(b) | 2,759,000 | ||||||
|
| |||||||
50,327,126 | ||||||||
|
| |||||||
Technology: 1.6% | ||||||||
Apple, Inc. | ||||||||
2,275,000 | 1.700%, 09/11/2022 | 2,272,422 | ||||||
Broadcom, Inc. | ||||||||
2,675,000 | 4.750%, 04/15/2029(b) | 2,830,487 | ||||||
CDW LLC/CDW Finance Corp. | ||||||||
1,240,000 | 4.250%, 04/01/2028 | 1,268,024 | ||||||
Diebold Nixdorf, Inc. | ||||||||
2,820,000 | 8.500%, 04/15/2024 | 2,668,425 | ||||||
Entegris, Inc. | ||||||||
2,930,000 | 4.625%, 02/10/2026(b) | 3,047,200 | ||||||
Fair Isaac Corp. | ||||||||
2,865,000 | 5.250%, 05/15/2026(b) | 3,072,712 | ||||||
Hewlett Packard Enterprise Co. | ||||||||
1,760,000 | 2.807%, 03/12/2021(h) 3 mo. USD LIBOR + 0.680% | 1,763,827 | ||||||
International Business Machines Corp. | ||||||||
1,740,000 | 2.850%, 05/13/2022 | 1,777,207 | ||||||
IQVIA, Inc. | ||||||||
1,232,000 | 5.000%, 05/15/2027(b) | 1,293,600 | ||||||
MSCI, Inc. | ||||||||
4,155,000 | 4.750%, 08/01/2026(b) | 4,362,750 | ||||||
NCR Corp. | ||||||||
1,000,000 | 6.125%, 09/01/2029(b) | 1,057,800 | ||||||
Nuance Communications, Inc. | ||||||||
1,770,000 | 5.625%, 12/15/2026 | 1,876,200 | ||||||
Qorvo, Inc. | ||||||||
319,000 | 4.375%, 10/15/2029(b) | 321,791 |
Principal Amount^ | Value | |||||||
Technology (continued) | ||||||||
Western Digital Corp. | ||||||||
$ 2,030,000 | 4.750%, 02/15/2026 | $ | 2,093,438 | |||||
|
| |||||||
29,705,883 | ||||||||
|
| |||||||
Utilities: 0.2% | ||||||||
AES Gener S.A. | ||||||||
200,000 | 7.125%, 03/26/2079(g) 5 year USD Swap + 4.664% | 209,500 | ||||||
Cometa Energia S.A. de C.V. | ||||||||
585,000 | 6.375%, 04/24/2035 | 624,487 | ||||||
Enel SpA | ||||||||
1,990,000 | 8.750%, 09/24/2073(b)(g) 5 year USD Swap + 5.880% | 2,340,737 | ||||||
Pampa Energia S.A. | ||||||||
150,000 | 7.500%, 01/24/2027 | 114,375 | ||||||
150,000 | 9.125%, 04/15/2029(b) | 119,342 | ||||||
Star Energy Geothermal Wayang Windu Ltd. | ||||||||
574,800 | 6.750%, 04/24/2033 | 600,810 | ||||||
Stoneway Capital Corp. | ||||||||
531,350 | 10.000%, 03/01/2027 | 320,138 | ||||||
|
| |||||||
4,329,389 | ||||||||
|
| |||||||
| TOTAL CORPORATE BONDS | 509,350,771 | ||||||
|
| |||||||
GOVERNMENT SECURITIES & AGENCY ISSUE: 2.3% | ||||||||
Abu Dhabi Government International Bond | ||||||||
660,000 | 3.125%, 09/30/2049(b) | 641,025 | ||||||
Argentina POM Politica Monetaria | ||||||||
| 10,815,000 (ARS) | | 79.499%, 06/21/2020(h) | 91,572 | ||||
Dominican Republic International Bond | ||||||||
550,000 | 6.400%, 06/05/2049(b) | 587,130 | ||||||
Export-Import Bank of Korea | ||||||||
895,000 | 2.631%, 06/25/2022(h) 3 mo. USD LIBOR + 0.525% | 897,159 | ||||||
Provincia de Buenos Aires Government Bonds | ||||||||
| 72,825,000 (ARS) | | 63.194%, 05/31/2022(h) BADLARPP + 3.830% | 528,680 | ||||
| 15,545,000 (ARS) | | 57.850%, 04/12/2025(b)(h) BADLARPP + 3.750% | 142,016 | ||||
Republic of South Africa Government Bond | ||||||||
| 57,275,000 (ZAR) | | 8.750%, 01/31/2044 | 3,368,229 | ||||
| 24,010,000 (ZAR) | | 8.750%, 02/28/2048 | 1,400,686 | ||||
United States Treasury Note | ||||||||
23,600,000 | 1.875%, 12/31/2019(a) | 23,597,695 | ||||||
10,500,000 | 2.750%, 09/30/2020(a) | 10,596,182 | ||||||
|
| |||||||
| TOTAL GOVERNMENT SECURITIES & | 41,850,374 | ||||||
|
| |||||||
LIMITED PARTNERSHIPS: 0.2% | ||||||||
33,031 | GACP II L.P.(d) | 2,622,783 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
LIMITED PARTNERSHIPS (CONTINUED) | ||||||||
1,300,000 | U.S. Farming Realty Trust II | $ | 1,164,998 | |||||
|
| |||||||
| TOTAL LIMITED PARTNERSHIPS | 3,787,781 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES: 20.8% | ||||||||
Adjustable Rate Mortgage Trust | ||||||||
62,490 | Series 2004-4-3A1 4.240%, 03/25/2035(g) | 63,913 | ||||||
278,983 | Series 2005-1-3A1 4.325%, 05/25/2035(g) | 288,740 | ||||||
2,125,712 | Series 2005-2-6M2 2.998%, 06/25/2035(h) 1 mo. USD LIBOR + 0.980% | 2,141,274 | ||||||
362,561 | Series 2006-1-2A1 4.523%, 03/25/2036(g) | 289,670 | ||||||
American Home Mortgage Investment Trust | ||||||||
37,211 | Series 2004-2-5A 5.500%, 02/25/2044(g) | 38,270 | ||||||
374,826 | Series 2006-1-11A1 2.298%, 03/25/2046(h) 1 mo. USD LIBOR + 0.280% | 358,037 | ||||||
AREIT Trust | ||||||||
1,000,000 | Series 2019-CRE3-D 4.678%, 09/14/2036(b)(h) 1 mo. USD LIBOR + 2.650% | 1,005,075 | ||||||
Banc of America Alternative Loan Trust | ||||||||
77,318 | Series 2003-8-1CB1 5.500%, 10/25/2033 | 82,118 | ||||||
679,467 | Series 2006-7-A4 5.998%, 10/25/2036(f) | 370,140 | ||||||
Banc of America Funding Trust | ||||||||
37,885 | Series 2005-5-1A1 5.500%, 09/25/2035 | 41,868 | ||||||
73,005 | Series 2005-7-3A1 5.750%, 11/25/2035 | 79,575 | ||||||
134,713 | Series 2006-6-1A2 6.250%, 08/25/2036 | 135,966 | ||||||
784,935 | Series 2006-7-T2A3 5.695%, 10/25/2036(g) | 755,969 | ||||||
457,558 | Series 2006-B-7A1 4.465%, 03/20/2036(g) | 438,721 | ||||||
3,473,427 | Series 2007-1-TA4 6.090%, 01/25/2037(f) | 3,470,815 | ||||||
77,814 | Series 2007-4-5A1 5.500%, 11/25/2034 | 78,407 | ||||||
3,151,825 | Series 2010-R5-1A3 6.000%, 10/26/2037(b)(g) | 3,043,589 | ||||||
826,314 | Series 2010-R9-3A3 5.500%, 12/26/2035(b) | 694,494 | ||||||
Banc of America Merrill Lynch Commercial Mortgage Securities Trust | ||||||||
1,474,000 | Series 2019-AHT-D 4.528%, 03/15/2034(b)(h) 1 mo. USD LIBOR + 2.500% | 1,481,582 | ||||||
Banc of America Mortgage Trust | ||||||||
24,081 | Series 2005-A-2A1 4.469%, 02/25/2035(c)(g) | 24,171 | ||||||
238,538 | Series 2005-I-4A1 3.733%, 10/25/2035(g) | 231,506 |
Principal Amount^ | Value | |||||||
Bancorp Commercial Mortgage Trust | ||||||||
$ 665,000 | Series 2019-CRE5-D 4.378%, 03/15/2036(b)(h) 1 mo. LIBOR + 2.350% | $ | 666,902 | |||||
BBCMS Trust | ||||||||
750,000 | Series 2018-CBM-E 5.178%, 07/15/2037(b)(h) 1 mo. LIBOR + 3.150% | 753,313 | ||||||
BCAP LLC Trust | ||||||||
72,312 | Series 2007-AA2-22A1 6.000%, 03/25/2022(c) | 71,169 | ||||||
238,540 | Series 2010-RR6-6A2 9.300%, 07/26/2037(b)(g) | 201,962 | ||||||
3,198,169 | Series 2011-R11-2A4 5.500%, 12/26/2035(b) | 2,781,522 | ||||||
2,771,119 | Series 2013-RR1-4A3 6.001%, 08/26/2037(b)(g) | 2,857,792 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
4,208,539 | Series 2005-12-25A1 3.497%, 02/25/2036(g) | 3,487,751 | ||||||
Bear Stearns Asset-Backed Securities I Trust | ||||||||
543,629 | Series 2006-AC1-1A1 6.250%, 02/25/2036(f) | 403,737 | ||||||
BF Mortgage Trust | ||||||||
666,000 | Series 2019-NYT-F 5.028%, 11/15/2035(b)(h) 1 mo. LIBOR + 3.000% | 673,410 | ||||||
BHP Trust | ||||||||
710,000 | Series 2019-BXHP-E 4.595%, 08/15/2036(b)(h) 1 mo. USD LIBOR + 2.568% | 710,687 | ||||||
BX Commercial Mortgage Trust | ||||||||
1,517,000 | Series 2019-IMC-G 5.628%, 04/15/2034(b)(h) 1 mo. LIBOR + 3.600% | 1,533,893 | ||||||
BX Trust | ||||||||
709,000 | Series 2019-MMP-F 4.820%, 08/15/2036(b)(h) 1 mo. USD LIBOR + 2.792% | 710,760 | ||||||
Carbon Capital VI Commercial Mortgage Trust | ||||||||
649,000 | Series 2019-FL2-B 4.878%, 10/15/2035(b)(h) 1 mo. LIBOR + 2.850% | 654,699 | ||||||
CF Trust | ||||||||
1,420,000 | Series 2019-MF1-F 4.978%, 08/21/2032(b)(h) 1 mo. USD LIBOR + 2.950% | 1,423,683 | ||||||
CFCRE Commercial Mortgage Trust | ||||||||
16,323,000 | Series 2016-C7-XE 1.124%, 12/10/2054(b)(g)(m) | 1,053,860 | ||||||
7,346,000 | Series 2016-C7-XF 1.124%, 12/10/2054(b)(g)(m) | 456,327 | ||||||
CG-CCRE Commercial Mortgage Trust | ||||||||
105,000 | Series 2014-FL2-COL1 5.528%, 11/15/2031(b)(h) 1 mo. LIBOR + 3.500% | 104,780 | ||||||
205,000 | Series 2014-FL2-COL2 6.528%, 11/15/2031(b)(h) 1 mo. LIBOR + 4.500% | 204,355 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Chase Mortgage Finance Trust | ||||||||
$ 3,548,013 | Series 2007-S2-1A9 6.000%, 03/25/2037 | $ | 2,758,876 | |||||
1,770,630 | Series 2007-S3-1A15 6.000%, 05/25/2037 | 1,369,852 | ||||||
ChaseFlex Trust | ||||||||
1,288,527 | Series 2007-3-2A1 2.318%, 07/25/2037(h) 1 mo. USD LIBOR + 0.300% | 1,147,983 | ||||||
CIM Trust | ||||||||
6,000,000 | Series 2016-1RR-B2 8.824%, 07/26/2055(b)(g) | 6,039,826 | ||||||
10,000,000 | Series 2016-2RR-B2 7.756%, 02/25/2056(b)(g) | 10,110,657 | ||||||
10,000,000 | Series 2016-3RR-B2 8.144%, 02/27/2056(b)(g) | 10,069,908 | ||||||
7,860,000 | Series 2017-3RR-B2 10.970%, 01/27/2057(b)(g) | 8,249,035 | ||||||
Citicorp Mortgage Securities Trust | ||||||||
2,903,763 | Series 2006-7-1A1 6.000%, 12/25/2036 | 2,620,354 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
668,000 | Series 2015-GC27-D 4.575%, 02/10/2048(b)(g) | 639,434 | ||||||
1,497,000 | Series 2018-TBR-F 5.678%, 12/15/2036(b)(h) 1 mo. USD LIBOR + 3.650% | 1,507,071 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
253,452 | Series 2005-5-2A2 5.750%, 08/25/2035 | 210,118 | ||||||
3,414,984 | Series 2005-5-3A2A 3.942%, 10/25/2035(g) | 2,602,214 | ||||||
494,499 | Series 2009-6-8A2 6.000%, 08/25/2022(b)(g) | 522,156 | ||||||
3,213,840 | Series 2011-12-1A2 4.032%, 04/25/2036(b)(g) | 2,610,525 | ||||||
339,461 | Series 2018-A-A1 4.000%, 01/25/2068(b)(g) | 340,695 | ||||||
791,379 | Series 2018-C-A1 4.125%, 03/25/2059(b)(f) | 797,818 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
299,771 | Series 2006-A5-1A13 2.468%, 10/25/2036(h) 1 mo. USD LIBOR + 0.450% | 241,560 | ||||||
296,833 | Series 2006-A5-1A2 4.532%, 10/25/2036(h)(m) -1*1 mo. USD LIBOR + 6.550% | 52,350 | ||||||
511,587 | Series 2007-A4-1A13 5.750%, 04/25/2037 | 501,647 | ||||||
261,949 | Series 2007-A4-1A6 5.750%, 04/25/2037 | 256,985 | ||||||
2,524,274 | Series 2007-A6-1A5 6.000%, 06/25/2037 | 2,498,336 | ||||||
COMM Mortgage Trust | ||||||||
1,868,035 | Series 2014-UBS4-F 3.750%, 08/10/2047(b) | 724,434 | ||||||
3,345,369 | Series 2014-UBS4-G 3.750%, 08/10/2047(b) | 408,137 | ||||||
7,000 | Series 2014-UBS4-V 0.000%, 08/10/2047(b)(g) | 1 |
Principal Amount^ | Value | |||||||
$ 1,000,000 | Series 2015-CR26-E 3.250%, 10/10/2048(b) | $ | 878,554 | |||||
1,989,000 | Series 2018-HCLV-D 4.204%, 09/15/2033(b)(h) 1 mo. LIBOR + 2.177% | 1,990,529 | ||||||
Countrywide Alternative Loan Trust | ||||||||
147,378 | Series 2003-22CB-1A1 5.750%, 12/25/2033 | 153,990 | ||||||
549,843 | Series 2004-13CB-A4 0.000%, 07/25/2034(n) | 478,441 | ||||||
55,517 | Series 2004-14T2-A11 5.500%, 08/25/2034(c) | 56,578 | ||||||
115,593 | Series 2004-16CB-1A1 5.500%, 07/25/2034 | 121,378 | ||||||
124,518 | Series 2004-16CB-3A1 5.500%, 08/25/2034 | 130,476 | ||||||
42,083 | Series 2004-28CB-5A1 5.750%, 01/25/2035(c) | 42,615 | ||||||
256,665 | Series 2004-J10-2CB1 6.000%, 09/25/2034 | 276,387 | ||||||
47,743 | Series 2004-J3-1A1 5.500%, 04/25/2034 | 49,367 | ||||||
5,755,452 | Series 2005-64CB-1A10 5.750%, 12/25/2035 | 5,786,959 | ||||||
86,834 | Series 2005-J1-2A1 5.500%, 02/25/2025 | 89,363 | ||||||
2,755,347 | Series 2006-13T1-A13 6.000%, 05/25/2036 | 2,094,512 | ||||||
451,757 | Series 2006-31CB-A7 6.000%, 11/25/2036 | 384,838 | ||||||
4,300,862 | Series 2006-36T2-2A1 6.250%, 12/25/2036 | 3,017,004 | ||||||
449,784 | Series 2006-J1-2A1 7.000%, 02/25/2036 | 122,065 | ||||||
230,686 | Series 2007-16CB-2A1 2.468%, 08/25/2037(h) 1 mo. USD LIBOR + 0.450% | 123,036 | ||||||
66,801 | Series 2007-16CB-2A2 37.764%, 08/25/2037(h) -8.3333*1 mo. USD LIBOR + 54.583% | 160,325 | ||||||
458,342 | Series 2007-19-1A34 6.000%, 08/25/2037 | 372,091 | ||||||
1,302,499 | Series 2007-20-A12 6.250%, 08/25/2047 | 1,100,760 | ||||||
443,164 | Series 2007-22-2A16 6.500%, 09/25/2037 | 299,317 | ||||||
3,139,812 | Series 2007-HY2-1A 4.156%, 03/25/2047(g) | 3,050,127 | ||||||
2,170,594 | Series 2007-HY7C-A4 2.248%, 08/25/2037(h) 1 mo. USD LIBOR + 0.230% | 2,055,453 | ||||||
Countrywide Alternative Loan Trust Resecuritization | ||||||||
615,014 | Series 2008-2R-2A1 6.000%, 08/25/2037(g) | 430,458 | ||||||
3,979,903 | Series 2008-2R-4A1 6.250%, 08/25/2037(g) | 3,420,191 | ||||||
Countrywide Home Loan GMSR Issuer Trust | ||||||||
1,980,000 | Series 2018-GT1-A 4.768%, 05/25/2023(b)(h) 1 mo. USD LIBOR + 2.750% | 1,988,270 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||||
$ 54,014 | Series 2004-12-8A1 4.607%, 08/25/2034(c)(g) | $ | 53,448 | |||||
9,425 | Series 2004-HYB4-2A1 4.225%, 09/20/2034(c)(g) | 9,252 | ||||||
701,534 | Series 2005-23-A1 5.500%, 11/25/2035 | 600,041 | ||||||
433,288 | Series 2005-HYB8-4A1 3.981%, 12/20/2035(g) | 432,522 | ||||||
3,491,219 | Series 2006-9-A1 6.000%, 05/25/2036 | 2,932,122 | ||||||
186,710 | Series 2007-10-A5 6.000%, 07/25/2037 | 155,237 | ||||||
748,190 | Series 2007-13-A5 6.000%, 08/25/2037 | 605,030 | ||||||
Credit Suisse Commercial Mortgage Securities Corp. | ||||||||
175,000 | Series 2019-SKLZ-D 5.628%, 01/15/2034(b)(h) 1 mo. LIBOR + 3.600% | 176,739 | ||||||
Credit Suisse First Boston Mortgage Securities Corp. | ||||||||
62,888 | Series 2003-AR26-7A1 4.279%, 11/25/2033(g) | 65,411 | ||||||
31,480 | Series 2003-AR28-4A1 4.536%, 12/25/2033(c)(g) | 32,126 | ||||||
1,386,872 | Series 2005-11-7A1 6.000%, 12/25/2035 | 1,182,322 | ||||||
Credit Suisse First Boston Mortgage- Backed Pass-Through Certificates | ||||||||
52,915 | Series 2003-27-4A4 5.750%, 11/25/2033 | 55,693 | ||||||
2,478,609 | Series 2005-10-10A3 6.000%, 11/25/2035 | 1,278,425 | ||||||
Credit Suisse Mortgage-Backed Trust | ||||||||
824,569 | Series 2006-6-1A10 6.000%, 07/25/2036 | 672,768 | ||||||
652,567 | Series 2007-1-4A1 6.500%, 02/25/2022 | 164,334 | ||||||
77,801 | Series 2007-2-2A5 5.000%, 03/25/2037 | 75,919 | ||||||
1,738,190 | Series 2011-17R-1A2 5.750%, 02/27/2037(b) | 1,908,763 | ||||||
635,000 | Series 2014-USA-D 4.373%, 09/15/2037(b) | 634,689 | ||||||
1,475,000 | Series 2014-USA-E 4.373%, 09/15/2037(b) | 1,422,607 | ||||||
839,733 | Series 2018-RPL2-A1 4.030%, 08/25/2062(b)(f) | 846,156 | ||||||
319,927 | Series 2018-RPL7-A1 4.000%, 08/26/2058(b) | 324,192 | ||||||
Deutsche Mortgage and Asset Receiving Corp. | ||||||||
3,225,874 | Series 2014-RS1-1A2 6.500%, 07/27/2037(b)(g) | 3,134,939 | ||||||
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust | ||||||||
191,783 | Series 2004-4-7AR1 2.368%, 06/25/2034(h) 1 mo. USD LIBOR + 0.350% | 190,986 |
Principal Amount^ | Value | |||||||
$ 117,321 | Series 2006-PR1-3A1 9.286%, 04/15/2036(b)(h) -1.4*1 mo. USD LIBOR + 12.124% | $ | 114,582 | |||||
DSLA Mortgage Loan Trust | ||||||||
142,849 | Series 2005-AR5-2A1A 2.387%, 09/19/2045(h) 1 mo. USD LIBOR + 0.330% | 118,847 | ||||||
Dukinfield II Plc | ||||||||
| 407,030 (GBP) | | Series 2-A 2.026%, 12/20/2052(h) 3 mo. GBP LIBOR + 1.250% | 505,414 | ||||
Eurosail-UK Plc | ||||||||
| 139,344 (GBP) | | Series 2007-2X-A3C 0.930%, 03/13/2045(h) 3 mo. GBP LIBOR + 0.150% | 167,714 | ||||
Federal Home Loan Mortgage Corp. REMICS | ||||||||
662,096 | Series 3118-SD 4.673%, 02/15/2036(h)(m) -1*1 mo. LIBOR + 6.700% | 114,939 | ||||||
253,197 | Series 3301-MS 4.073%, 04/15/2037(h)(m) -1*1 mo. LIBOR + 6.100% | 28,482 | ||||||
342,672 | Series 3303-SE 4.053%, 04/15/2037(h)(m) -1*1 mo. LIBOR + 6.080% | 48,595 | ||||||
222,737 | Series 3303-SG 4.073%, 04/15/2037(h)(m) -1*1 mo. LIBOR + 6.100% | 31,590 | ||||||
70,427 | Series 3382-SB 3.973%, 11/15/2037(h)(m) -1*1 mo. LIBOR + 6.000% | 6,226 | ||||||
318,914 | Series 3382-SW 4.273%, 11/15/2037(h)(m) -1*1 mo. LIBOR + 6.300% | 47,769 | ||||||
86,948 | Series 3384-S 4.363%, 11/15/2037(h)(m) -1*1 mo. LIBOR + 6.390% | 10,672 | ||||||
200,330 | Series 3384-SG 4.283%, 08/15/2036(h)(m) -1*1 mo. LIBOR + 6.310% | 29,595 | ||||||
2,176,881 | Series 3404-SA 3.973%, 01/15/2038(h)(m) -1*1 mo. LIBOR + 6.000% | 337,151 | ||||||
118,502 | Series 3417-SX 3.985%, 02/15/2038(h)(m) -1*1 mo. LIBOR + 6.180% | 11,883 | ||||||
74,887 | Series 3423-GS 3.623%, 03/15/2038(h)(m) -1*1 mo. LIBOR + 5.650% | 8,416 | ||||||
682,281 | Series 3423-TG 0.350%, 03/15/2038(h)(m) -1*1 mo. LIBOR + 6.000% | 5,220 | ||||||
2,845,871 | Series 3435-S 3.953%, 04/15/2038(h)(m) -1*1 mo. LIBOR + 5.980% | 464,558 | ||||||
102,655 | Series 3445-ES 3.973%, 05/15/2038(h)(m) -1*1 mo. LIBOR + 6.000% | 11,533 | ||||||
402,785 | Series 3523-SM 3.805%, 04/15/2039(h)(m) -1*1 mo. LIBOR + 6.000% | 64,797 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Federal Home Loan Mortgage Corp. REMICS (Continued) | ||||||||
$ 242,375 | Series 3560-KS 4.373%, 11/15/2036(h)(m) -1*1 mo. LIBOR + 6.400% | $ | 32,047 | |||||
153,763 | Series 3598-SA 4.323%, 11/15/2039(h)(m) -1*1 mo. LIBOR + 6.350% | 18,434 | ||||||
178,444 | Series 3641-TB 4.500%, 03/15/2040 | 196,539 | ||||||
667,543 | Series 3728-SV 2.423%, 09/15/2040(h)(m) -1*1 mo. LIBOR + 4.450% | 52,973 | ||||||
251,135 | Series 3758-S 3.835%, 11/15/2040(h)(m) -1*1 mo. LIBOR + 6.030% | 50,460 | ||||||
960,961 | Series 3770-SP 4.473%, 11/15/2040(h)(m) -1*1 mo. LIBOR + 6.500% | 101,530 | ||||||
306,970 | Series 3815-ST 3.823%, 02/15/2041(h)(m) -1*1 mo. LIBOR + 5.850% | 46,361 | ||||||
666,724 | Series 3859-SI 4.573%, 05/15/2041(h)(m) -1*1 mo. LIBOR + 6.600% | 133,627 | ||||||
204,642 | Series 3872-SL 3.923%, 06/15/2041(h)(m) -1*1 mo. LIBOR + 5.950% | 28,399 | ||||||
168,542 | Series 3900-SB 3.775%, 07/15/2041(h)(m) -1*1 mo. LIBOR + 5.970% | 22,443 | ||||||
30,651 | Series 3946-SM 8.618%, 10/15/2041(h) -3*1 mo. LIBOR + 14.700% | 39,653 | ||||||
1,294,422 | Series 3957-DZ 3.500%, 11/15/2041 | 1,346,869 | ||||||
1,269,405 | Series 3972-AZ 3.500%, 12/15/2041 | 1,309,730 | ||||||
3,470,920 | Series 3984-DS 3.923%, 01/15/2042(h)(m) -1*1 mo. LIBOR + 5.950% | 553,561 | ||||||
4,426,478 | Series 4223-AT 3.000%, 07/15/2043(h) -6*1 mo. LIBOR + 30.000% | 4,352,266 | ||||||
2,106,028 | Series 4229-MS 3.859%, 07/15/2043(h) -1.75*1 mo. LIBOR + 7.700% | 2,146,947 | ||||||
4,661,180 | Series 4239-OU 0.000%, 07/15/2043(n) | 3,836,738 | ||||||
3,273,811 | Series 4291-MS 3.873%, 01/15/2054(h)(m) -1*1 mo. LIBOR + 5.900% | 506,325 | ||||||
3,369,345 | Series 4314-MS 4.073%, 07/15/2043(h)(m) -1*1 mo. LIBOR + 6.100% | 399,604 | ||||||
10,000,000 | Series 4435-SA 5.510%, 01/15/2041(h) -2*1 mo. LIBOR + 9.900% | 12,447,436 | ||||||
8,783,203 | Series 4657-VZ 3.000%, 02/15/2047 | 8,953,670 | ||||||
2,782,000 | Series 4767-ZH 3.500%, 03/15/2048 | 2,778,205 |
Principal Amount^ | Value | |||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | ||||||||
$ 55,900 | Series 2014-DN2-M2 3.668%, 04/25/2024(h) 1 mo. USD LIBOR + 1.650% | $ | 56,091 | |||||
346,332 | Series 2015-DNA1-M2 3.868%, 10/25/2027(h) 1 mo. USD LIBOR + 1.850% | 348,691 | ||||||
40,000 | Series 2018-DNA1-M2 3.818%, 07/25/2030(h) 1 mo. USD LIBOR + 1.800% | 40,044 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities | ||||||||
430,000 | Series 2017-C05-1M2 4.218%, 01/25/2030(h) 1 mo. USD LIBOR + 2.200% | 435,960 | ||||||
95,000 | Series 2017-C07-1M2 4.418%, 05/25/2030(h) 1 mo. USD LIBOR + 2.400% | 96,235 | ||||||
Federal National Mortgage Association REMICS | ||||||||
372,483 | Series 2003-84-PZ 5.000%, 09/25/2033 | 414,153 | ||||||
789,251 | Series 2005-42-SA 4.782%, 05/25/2035(h)(m) -1*1 mo. LIBOR + 6.800% | 82,351 | ||||||
2,440,568 | Series 2006-92-LI 4.562%, 10/25/2036(h)(m) -1*1 mo. LIBOR + 6.580% | 489,205 | ||||||
625,173 | Series 2007-39-AI 4.102%, 05/25/2037(h)(m) -1*1 mo. LIBOR + 6.120% | 110,104 | ||||||
184,292 | Series 2007-57-SX 4.602%, 10/25/2036(h)(m) -1*1 mo. LIBOR + 6.620% | 25,136 | ||||||
33,384 | Series 2007-68-SA 4.632%, 07/25/2037(h)(m) -1*1 mo. LIBOR + 6.650% | 2,135 | ||||||
42,691 | Series 2008-1-CI 4.282%, 02/25/2038(h)(m) -1*1 mo. LIBOR + 6.300% | 6,339 | ||||||
1,920,038 | Series 2008-33-SA 3.982%, 04/25/2038(h)(m) -1*1 mo. LIBOR + 6.000% | 318,312 | ||||||
73,024 | Series 2008-56-SB 4.042%, 07/25/2038(h)(m) -1*1 mo. LIBOR + 6.060% | 8,592 | ||||||
3,890,642 | Series 2009-110-SD 4.232%, 01/25/2040(h)(m) -1*1 mo. LIBOR + 6.250% | 576,494 | ||||||
48,912 | Series 2009-111-SE 4.232%, 01/25/2040(h)(m) -1*1 mo. LIBOR + 6.250% | 6,289 | ||||||
237,355 | Series 2009-86-CI 3.782%, 09/25/2036(h)(m) -1*1 mo. LIBOR + 5.800% | 23,833 | ||||||
147,334 | Series 2009-87-SA 3.982%, 11/25/2049(h)(m) -1*1 mo. LIBOR + 6.000% | 18,789 | ||||||
76,550 | Series 2009-90-IB 3.702%, 04/25/2037(h)(m) -1*1 mo. LIBOR + 5.720% | 8,939 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Federal National Mortgage Association REMICS (Continued) | ||||||||
$ 87,559 | Series 2010-11-SC 2.782%, 02/25/2040(h)(m) -1*1 mo. LIBOR + 4.800% | $ | 7,640 | |||||
54,508 | Series 2010-115-SD 4.582%, 11/25/2039(h)(m) -1*1 mo. LIBOR + 6.600% | 7,393 | ||||||
3,946,204 | Series 2010-123-SK 4.032%, 11/25/2040(h)(m) -1*1 mo. LIBOR + 6.050% | 740,917 | ||||||
1,035,149 | Series 2010-134-SE 4.632%, 12/25/2025(h)(m) -1*1 mo. LIBOR + 6.650% | 87,035 | ||||||
247,965 | Series 2010-15-SL 2.932%, 03/25/2040(h)(m) -1*1 mo. LIBOR + 4.950% | 26,986 | ||||||
76,872 | Series 2010-9-GS 2.605%, 02/25/2040(h)(m) -1*1 mo. LIBOR + 4.750% | 5,357 | ||||||
6,420 | Series 2011-110-LS 5.900%, 11/25/2041(h) -2*1 mo. LIBOR + 10.100% | 8,480 | ||||||
317,700 | Series 2011-111-VZ 4.000%, 11/25/2041 | 338,411 | ||||||
1,364,522 | Series 2011-141-PZ 4.000%, 01/25/2042 | 1,460,302 | ||||||
171,013 | Series 2011-5-PS 4.382%, 11/25/2040(h)(m) -1*1 mo. LIBOR + 6.400% | 12,107 | ||||||
2,314,647 | Series 2011-93-ES 4.482%, 09/25/2041(h)(m) -1*1 mo. LIBOR + 6.500% | 431,809 | ||||||
1,574,313 | Series 2012-106-SA 4.142%, 10/25/2042(h)(m) -1*1 mo. LIBOR + 6.160% | 284,218 | ||||||
2,994,607 | Series 2012-131-BS 2.880%, 12/25/2042(h) -1.2*1 mo. LIBOR + 5.400% | 2,983,401 | ||||||
11,100,940 | Series 2013-109-BO 0.000%, 07/25/2043(n) | 8,398,987 | ||||||
2,002,333 | Series 2013-15-SC 2.940%, 03/25/2033(h) -1.2*1 mo. LIBOR + 5.460% | 2,091,472 | ||||||
5,787,725 | Series 2013-51-HS 2.826%, 04/25/2043(h) -1.2*1 mo. LIBOR + 5.400% | 5,571,702 | ||||||
8,462,740 | Series 2013-53-ZC 3.000%, 06/25/2043 | 8,630,093 | ||||||
3,711,610 | Series 2013-67-NS 2.972%, 07/25/2043(h) -1.5*1 mo. LIBOR + 6.000% | 3,696,805 | ||||||
6,029,740 | Series 2013-74-HZ 3.000%, 07/25/2043 | 6,155,701 | ||||||
3,946,296 | Series 2014-50-WS 4.182%, 08/25/2044(h)(m) -1*1 mo. LIBOR + 6.200% | 597,440 | ||||||
11,045,106 | Series 2016-72-ZG 3.000%, 10/25/2046 | 10,804,607 | ||||||
First Horizon Alternative Mortgage Securities Trust | ||||||||
829,612 | Series 2006-FA6-1A4 6.250%, 11/25/2036 | 612,162 | ||||||
327,764 | Series 2007-FA4-1A7 6.000%, 08/25/2037 | 243,239 |
Principal Amount^ | Value | |||||||
First Horizon Mortgage Pass-Through Trust | ||||||||
$ 202,095 | Series 2006-1-1A10 6.000%, 05/25/2036 | $ | 164,576 | |||||
GCAT Trust | ||||||||
777,693 | Series 2019-RPL1-A1 2.650%, 10/25/2068(b)(g) | 781,028 | ||||||
GMACM Mortgage Loan Trust | ||||||||
236,382 | Series 2005-AR1-3A 4.686%, 03/18/2035(g) | 239,873 | ||||||
Gosforth Funding Plc | ||||||||
411,487 | Series 2018-1A-A1 2.582%, 08/25/2060(b)(h) 3 mo. USD LIBOR + 0.450% | 411,036 | ||||||
Government National Mortgage Association | ||||||||
696,418 | Series 2007-21-S 4.173%, 04/16/2037(h)(m) -1*1 mo. LIBOR + 6.200% | 121,652 | ||||||
249,841 | Series 2008-69-SB 5.458%, 08/20/2038(h)(m) -1*1 mo. LIBOR + 7.630% | 41,065 | ||||||
287,518 | Series 2009-104-SD 4.323%, 11/16/2039(h)(m) -1*1 mo. LIBOR + 6.350% | 52,896 | ||||||
48,126 | Series 2010-98-IA 5.708%, 03/20/2039(g)(m) | 5,695 | ||||||
672,918 | Series 2011-45-GZ 4.500%, 03/20/2041 | 723,108 | ||||||
179,020 | Series 2011-69-OC 0.000%, 05/20/2041(n) | 166,698 | ||||||
3,633,476 | Series 2011-69-SC 3.336%, 05/20/2041(h)(m) -1*1 mo. LIBOR + 5.380% | 554,713 | ||||||
586,970 | Series 2011-89-SA 3.406%, 06/20/2041(h)(m) -1*1 mo. LIBOR + 5.450% | 86,652 | ||||||
5,803,788 | Series 2012-135-IO 0.574%, 01/16/2053(g)(m) | 208,200 | ||||||
2,944,585 | Series 2013-102-BS 4.106%, 03/20/2043(h)(m) -1*1 mo. LIBOR + 6.150% | 414,492 | ||||||
51,108,339 | Series 2013-155-IB 0.169%, 09/16/2053(g)(m) | 852,201 | ||||||
4,718,301 | Series 2014-145-CS 3.573%, 05/16/2044(h)(m) -1*1 mo. LIBOR + 5.600% | 679,891 | ||||||
3,109,354 | Series 2014-156-PS 4.206%, 10/20/2044(h)(m) -1*1 mo. LIBOR + 6.250% | 508,547 | ||||||
5,100,227 | Series 2014-5-SA 3.506%, 01/20/2044(h)(m) -1*1 mo. LIBOR + 5.550% | 850,897 | ||||||
5,184,886 | Series 2014-58-SG 3.403%, 04/16/2044(h)(m) -1*1 mo. LIBOR + 5.600% | 779,093 | ||||||
5,136,440 | Series 2014-76-SA 3.556%, 01/20/2040(h)(m) -1*1 mo. LIBOR + 5.600% | 836,127 | ||||||
5,438,366 | Series 2014-95-CS 4.223%, 06/16/2044(h)(m) -1*1 mo. LIBOR + 6.250% | 1,053,221 | ||||||
7,060,281 | Series 2018-105-SH 4.206%, 08/20/2048(h)(m) -1*1 mo. LIBOR + 6.250% | 835,088 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Government National Mortgage Association (Continued) | ||||||||
$ 89,446,530 | Series 2018-111-SA 2.506%, 08/20/2048(h)(m) -1*1 mo. LIBOR + 4.550% | $ | 7,718,592 | |||||
30,050,886 | Series 2018-134-CS 4.156%, 10/20/2048(h)(m) -1*1 mo. LIBOR + 6.200% | 4,010,315 | ||||||
8,822,244 | Series 2018-153-AS 4.106%, 11/20/2048(h)(m) -1*1 mo. LIBOR + 6.150% | 1,105,239 | ||||||
GPMT Ltd. | ||||||||
1,507,000 | Series 2018-FL1-D 4.994%, 11/21/2035(b)(h) 1 mo. USD LIBOR + 2.950% | 1,519,046 | ||||||
GS Mortgage Securities Corp. Trust | ||||||||
962,000 | Series 2018-FBLU-F 5.278%, 11/15/2035(b)(h) 1 mo. USD LIBOR + 3.250% | 968,107 | ||||||
1,503,000 | Series 2018-TWR-G 5.952%, 07/15/2031(b)(h) 1 mo. LIBOR + 3.925% | 1,517,098 | ||||||
GS Mortgage Securities Trust | ||||||||
1,010,000 | Series 2011-GC5-D 5.556%, 08/10/2044(b)(g) | 1,007,257 | ||||||
2,216,000 | Series 2014-GC26-D 4.668%, 11/10/2047(b)(g) | 1,955,143 | ||||||
GSCG Trust | ||||||||
710,000 | Series 2019-600C-H 4.118%, 09/06/2034(b)(g) | 659,327 | ||||||
GSR Mortgage Loan Trust | ||||||||
43,341 | Series 2005-4F-6A1 6.500%, 02/25/2035(c) | 43,237 | ||||||
833,740 | Series 2005-9F-2A1 6.000%, 01/25/2036 | 669,521 | ||||||
126,930 | Series 2005-AR4-6A1 4.643%, 07/25/2035(g) | 130,247 | ||||||
222,357 | Series 2005-AR6-4A5 4.547%, 09/25/2035(g) | 228,591 | ||||||
283,380 | Series 2006-7F-3A4 6.250%, 08/25/2036 | 163,350 | ||||||
156,155 | Series 2006-8F-2A1 6.000%, 09/25/2036 | 149,168 | ||||||
HarborView Mortgage Loan Trust | ||||||||
124,926 | Series 2003-2-1A 2.797%, 10/19/2033(h) 1 mo. USD LIBOR + 0.740% | 123,491 | ||||||
302,869 | Series 2004-11-2A2A 2.697%, 01/19/2035(c)(h) 1 mo. USD LIBOR + 0.640% | 290,234 | ||||||
9,637,911 | Series 2006-8-1A1 2.246%, 07/21/2036(h) 1 mo. USD LIBOR + 0.200% | 7,325,471 | ||||||
4,800,313 | Series 2007-7-2A1B 3.018%, 10/25/2037(h) 1 mo. USD LIBOR + 1.000% | 4,033,871 | ||||||
Hawaii Hotel Trust | ||||||||
1,297,000 | Series 2019-MAUI-F 4.778%, 05/15/2038(b)(h) 1 mo. LIBOR + 2.750% | 1,306,126 |
Principal Amount^ | Value | |||||||
Hilton Orlando Trust | ||||||||
$ 873,000 | Series 2018-ORL-F 5.678%, 12/15/2034(b)(h) 1 mo. USD LIBOR + 3.650% | $ | 880,316 | |||||
Hilton USA Trust | ||||||||
1,073,000 | Series 2016-SFP-E 5.519%, 11/05/2035(b) | 1,080,408 | ||||||
Hospitality Mortgage Trust | ||||||||
1,283,875 | Series 2019-HIT-G 5.928%, 11/15/2036(b)(h) 1 mo. USD LIBOR + 3.900% | 1,296,994 | ||||||
Impac Secured Assets Trust | ||||||||
7,596,309 | Series 2007-2-1A1C 2.398%, 05/25/2037(h) 1 mo. USD LIBOR + 0.380% | 6,714,119 | ||||||
IndyMac INDA Mortgage Loan Trust | ||||||||
307,504 | Series 2006-AR3-1A1 4.307%, 12/25/2036(g) | 295,446 | ||||||
IndyMac INDX Mortgage Loan Trust | ||||||||
568,582 | Series 2004-AR6-4A 4.563%, 10/25/2034(g) | 581,120 | ||||||
204,432 | Series 2004-AR7-A5 3.238%, 09/25/2034(h) 1 mo. USD LIBOR + 1.220% | 194,062 | ||||||
335,939 | Series 2005-AR11-A3 3.889%, 08/25/2035(g) | 306,684 | ||||||
793,053 | Series 2006-AR2-2A1 2.228%, 02/25/2046(h) 1 mo. USD LIBOR + 0.210% | 685,223 | ||||||
2,436,682 | Series 2006-AR5-2A1 3.777%, 05/25/2036(g) | 2,219,452 | ||||||
4,250,096 | Series 2006-R1-A3 3.736%, 12/25/2035(g) | 4,014,952 | ||||||
1,508,983 | Series 2007-AR5-2A1 3.801%, 05/25/2037(g) | 1,451,172 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||
15,102 | Series 2007-LDPX-AM 5.464%, 01/15/2049(g) | 15,067 | ||||||
1,285,000 | Series 2011-C3-E 5.853%, 02/15/2046(b)(g) | 1,244,944 | ||||||
1,531,000 | Series 2019-MFP-F 5.128%, 07/15/2036(b)(h) 1 mo. USD LIBOR + 3.100% | 1,540,701 | ||||||
219,000 | Series 2019-UES-C 4.343%, 05/05/2032(b) | 234,054 | ||||||
224,000 | Series 2019-UES-D 4.601%, 05/05/2032(b)(g) | 236,557 | ||||||
261,000 | Series 2019-UES-E 4.601%, 05/05/2032(b)(g) | 271,703 | ||||||
274,000 | Series 2019-UES-F 4.601%, 05/05/2032(b)(g) | 275,923 | ||||||
299,000 | Series 2019-UES-G 4.601%, 05/05/2032(b)(g) | 289,718 | ||||||
JP Morgan Mortgage Trust | ||||||||
66,018 | Series 2003-A2-3A1 4.247%, 11/25/2033(g) | 68,401 | ||||||
395,396 | Series 2004-S1-2A1 6.000%, 09/25/2034 | 424,483 | ||||||
73,586 | Series 2005-A1-6T1 4.683%, 02/25/2035(g) | 74,576 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
JP Morgan Mortgage Trust (Continued) | ||||||||
$ 90,716 | Series 2005-A2-3A2 4.524%, 04/25/2035(g) | $ | 93,229 | |||||
23,390 | Series 2005-A3-4A1 4.854%, 06/25/2035(c)(g) | 23,935 | ||||||
2,746,334 | Series 2005-ALT1-3A1 3.886%, 10/25/2035(g) | 2,440,712 | ||||||
75,627 | Series 2007-A1-4A2 4.660%, 07/25/2035(c)(g) | 77,647 | ||||||
35,941 | Series 2007-S1-1A2 5.500%, 03/25/2022 | 35,134 | ||||||
818,565 | Series 2007-S3-1A97 6.000%, 08/25/2037 | 647,240 | ||||||
408,066 | Series 2008-R2-2A 5.500%, 12/27/2035(b)(g) | 409,013 | ||||||
JP Morgan Resecuritization Trust | ||||||||
7,558,140 | Series 2015-4-1A7 2.335%, 06/26/2047(b)(h) 1 mo. USD LIBOR + 0.190% | 5,384,847 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
1,616,000 | Series 2014-C23-D 4.112%, 09/15/2047(b)(g) | 1,593,874 | ||||||
300,000 | Series 2014-C23-E 3.364%, 09/15/2047(b)(g) | 255,319 | ||||||
78,000 | Series 2015-C27-D 3.986%, 02/15/2048(b)(g) | 77,373 | ||||||
4,749,500 | Series 2015-C27-XFG 1.486%, 02/15/2048(b)(g)(m) | 298,018 | ||||||
Lanark Master Issuer Plc | ||||||||
354,667 | Series 2019-1A-1A1 2.902%, 12/22/2069(h) 3 mo. USD LIBOR + 0.770% | 355,575 | ||||||
Lehman Mortgage Trust | ||||||||
1,915,085 | Series 2006-2-2A3 5.750%, 04/25/2036 | 1,980,214 | ||||||
Lehman XS Trust | ||||||||
144,992 | Series 2006-2N-1A1 2.278%, 02/25/2046(h) 1 mo. USD LIBOR + 0.260% | 135,378 | ||||||
LoanCore Issuer Ltd. | ||||||||
1,296,000 | Series 2019-CRE3-D 4.528%, 04/15/2034(b)(h) 1 mo. LIBOR + 2.500% | 1,305,535 | ||||||
Ludgate Funding Plc | ||||||||
| 120,443 (EUR) | | Series 2007-1-A2B 0.000%, 01/01/2061(h) -1*3 mo. EURIBOR + 0.160% | 124,609 | ||||
| 467,949 (GBP) | | Series 2008-W1X-A1 1.380%, 01/01/2061(h) 3 mo. GBP LIBOR + 0.600% | 558,620 | ||||
Master Adjustable Rate Mortgages Trust | ||||||||
149,281 | Series 2004-7-3A1 4.405%, 07/25/2034(g) | 149,507 | ||||||
65,214 | Series 2006-2-1A1 4.759%, 04/25/2036(g) | 66,574 | ||||||
Master Alternative Loan Trust | ||||||||
38,429 | Series 2003-9-4A1 5.250%, 11/25/2033 | 40,713 | ||||||
36,307 | Series 2004-5-1A1 5.500%, 06/25/2034 | 38,102 | ||||||
45,048 | Series 2004-5-2A1 6.000%, 06/25/2034 | 47,679 |
Principal Amount^ | Value | |||||||
$ 183,099 | Series 2004-8-2A1 6.000%, 09/25/2034 | $ | 197,593 | |||||
Merrill Lynch Alternative Note Asset Trust | ||||||||
571,451 | Series 2007-AF1-1AF2 5.750%, 05/25/2037 | 547,235 | ||||||
Merrill Lynch Mortgage Investors Trust | ||||||||
14,431 | Series 2006-2-2A 4.226%, 05/25/2036(c)(g) | 14,613 | ||||||
Monarch Beach Resort Trust | ||||||||
1,250,000 | Series 2018-MBMZ-M 6.988%, 07/15/2025(b)(h) 1 mo. LIBOR + 4.960% | 1,257,254 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
15,000 | Series 2015-C20-D 3.071%, 02/15/2048(b) | 14,075 | ||||||
1,000,000 | Series 2015-C26-E 4.551%, 10/15/2048(b)(g) | 814,326 | ||||||
Morgan Stanley Capital I Trust | ||||||||
285,000 | Series 2011-C2-D 5.671%, 06/15/2044(b)(g) | 288,282 | ||||||
235,000 | Series 2011-C2-E 5.671%, 06/15/2044(b)(g) | 233,702 | ||||||
1,508,000 | Series 2019-PLND-F 4.828%, 05/15/2036(b)(h) 1 mo. USD LIBOR + 2.800% | 1,511,516 | ||||||
Morgan Stanley Mortgage Loan Trust | ||||||||
2,898,227 | Series 2005-9AR-2A 4.261%, 12/25/2035(g) | 2,795,318 | ||||||
3,191,037 | Series 2006-11-2A2 6.000%, 08/25/2036 | 2,548,219 | ||||||
415,421 | Series 2006-7-3A 5.043%, 06/25/2036(g) | 359,311 | ||||||
271,753 | Series 2007-13-6A1 6.000%, 10/25/2037 | 224,810 | ||||||
Morgan Stanley Re-Remic Trust | ||||||||
435,642 | Series 2010-R9-3C 6.000%, 11/26/2036(b)(g) | 456,081 | ||||||
Motel 6 Trust | ||||||||
1,339,858 | Series 2017-M6MZ-M 8.954%, 08/15/2024(b)(h) 1 mo. LIBOR + 6.927% | 1,364,281 | ||||||
Newgate Funding Plc | ||||||||
| 186,322 (EUR) | | Series 2007-3X-A2B 0.206%, 12/15/2050(h) -1*3 mo. EURIBOR + 0.600% | 196,909 | ||||
Prime Mortgage Trust | ||||||||
1,445,122 | Series 2006-DR1-2A1 5.500%, 05/25/2035(b) | 1,271,406 | ||||||
Residential Accredit Loans, Inc. | ||||||||
1,054,749 | Series 2006-QS10-A9 6.500%, 08/25/2036 | 1,012,602 | ||||||
674,847 | Series 2006-QS14-A18 6.250%, 11/25/2036 | 615,807 | ||||||
515,831 | Series 2006-QS17-A5 6.000%, 12/25/2036 | 486,243 | ||||||
504,421 | Series 2006-QS2-1A4 5.500%, 02/25/2036 | 473,213 | ||||||
603,826 | Series 2006-QS7-A3 6.000%, 06/25/2036 | 566,370 | ||||||
650,108 | Series 2007-QS1-2A10 6.000%, 01/25/2037 | 610,383 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Residential Accredit Loans, Inc. (Continued) | ||||||||
$ 1,007,034 | Series 2007-QS3-A1 6.500%, 02/25/2037 | $ | 958,184 | |||||
2,272,934 | Series 2007-QS6-A6 6.250%, 04/25/2037 | 2,208,151 | ||||||
568,734 | Series 2007-QS8-A8 6.000%, 06/25/2037 | 531,539 | ||||||
1,666,390 | Series 2007-QS9-A33 6.500%, 07/25/2037 | 1,599,340 | ||||||
Residential Asset Securitization Trust | ||||||||
482,155 | Series 2003-A9-A2 4.000%, 08/25/2033 | 482,694 | ||||||
180,328 | Series 2005-A8CB-A9 5.375%, 07/25/2035 | 158,054 | ||||||
330,108 | Series 2006-A8-1A1 6.000%, 08/25/2036 | 293,827 | ||||||
263,477 | Series 2007-A1-A8 6.000%, 03/25/2037 | 152,797 | ||||||
518,600 | Series 2007-A5-2A5 6.000%, 05/25/2037 | 444,561 | ||||||
16,316,452 | Series 2007-A9-A1 2.568%, 09/25/2037(h) 1 mo. USD LIBOR + 0.550% | 5,693,794 | ||||||
16,316,456 | Series 2007-A9-A2 4.432%, 09/25/2037(h)(m) -1*1 mo. USD LIBOR + 6.450% | 5,833,622 | ||||||
596,861 | Series 2006-S4-A5 6.000%, 04/25/2036 | 594,044 | ||||||
346,785 | Series 2006-SA2-3A1 5.300%, 08/25/2036(g) | 323,401 | ||||||
RMAC Securities No 1 Plc | ||||||||
| 102,259 (EUR) | | Series 2006-NS1X-A2C 0.000%, 06/12/2044(h) -1*3 mo. EURIBOR + 0.150% | 107,476 | ||||
Sequoia Mortgage Trust | ||||||||
306,870 | Series 2018-CH1-A1 4.000%, 02/25/2048(b)(g) | 315,285 | ||||||
SLIDE | ||||||||
2,417,315 | Series 2018-FUN-F 5.028%, 06/15/2031(b)(h) 1 mo. LIBOR + 3.000% | 2,442,996 | ||||||
Starwood Retail Property Trust | ||||||||
235,000 | Series 2014-STAR-C 4.528%, 11/15/2027(b)(h) 1 mo. USD LIBOR + 2.500% | 234,314 | ||||||
980,000 | Series 2014-STAR-D 5.278%, 11/15/2027(b)(d)(h) 1 mo. USD LIBOR + 3.250% | 855,538 | ||||||
950,000 | Series 2014-STAR-E 6.178%, 11/15/2027(b)(d)(h) 1 mo. LIBOR + 4.150% | 749,897 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
50,119 | Series 2004-12-7A3 4.234%, 09/25/2034(c)(g) | 50,572 | ||||||
843,373 | Series 2005-14-A1 2.328%, 07/25/2035(h) 1 mo. USD LIBOR + 0.310% | 678,999 | ||||||
354,810 | Series 2005-15-1A1 4.151%, 07/25/2035(g) | 287,276 | ||||||
423,787 | Series 2005-22-3A1 4.484%, 12/25/2035(g) | 360,761 |
Principal Amount^ | Value | |||||||
$ 1,048,042 | Series 2008-1-A2 4.103%, 10/25/2037(g) | $ | 948,538 | |||||
Structured Asset Mortgage Investments II Trust | ||||||||
7,612,755 | Series 2007-AR1-2A1 2.198%, 01/25/2037(h) 1 mo. USD LIBOR + 0.180% | 7,379,535 | ||||||
Structured Asset Securities Corp. Trust | ||||||||
955,462 | Series 2005-5-2A2 5.500%, 04/25/2035 | 946,553 | ||||||
9,413,557 | Series 2007-4-1A3 3.998%, 03/28/2045(b)(h)(m) -1*1 mo. LIBOR + 6.250% | 1,371,914 | ||||||
Tharaldson Hotel Portfolio Trust | ||||||||
1,382,807 | Series 2018-THL-F 5.995%, 11/11/2034(b)(h) 1 mo. USD LIBOR + 3.952% | 1,391,601 | ||||||
UBS-Barclays Commercial Mortgage Trust | ||||||||
305,000 | Series 2012-C2-E 5.048%, 05/10/2063(b)(d)(g) | 252,726 | ||||||
Washington Mutual Mortgage Pass-Through Certificates Trust | ||||||||
468,585 | Series 2005-1-5A1 6.000%, 03/25/2035 | 480,324 | ||||||
681,203 | Series 2006-5-1A5 6.000%, 07/25/2036 | 633,059 | ||||||
480,281 | Series 2006-8-A6 4.378%, 10/25/2036(f) | 268,749 | ||||||
3,259,696 | Series 2007-5-A3 7.000%, 06/25/2037 | 2,312,775 | ||||||
Wells Fargo Alternative Loan Trust | ||||||||
200,140 | Series 2007-PA2-3A1 2.368%, 06/25/2037(h) 1 mo. USD LIBOR + 0.350% | 143,465 | ||||||
298,797 | Series 2007-PA2-3A2 4.632%, 06/25/2037(h)(m) -1*1 mo. USD LIBOR + 6.650% | 41,890 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
19,971,000 | Series 2015-C28-XE 1.248%, 05/15/2048(b)(g)(m) | 1,157,246 | ||||||
750,000 | Series 2016-C33-D 3.123%, 03/15/2059(b) | 700,031 | ||||||
1,225,000 | Series 2019-JWDR-C 3.139%, 09/15/2031(b)(j) | 1,225,307 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
108,757 | Series 2003-M-A1 4.887%, 12/25/2033(c)(g) | 111,808 | ||||||
270,839 | Series 2004-I-2A1 5.063%, 07/25/2034(g) | 283,093 | ||||||
35,498 | Series 2004-O-A1 4.883%, 08/25/2034(c)(g) | 36,247 | ||||||
12,213 | Series 2005-11-2A3 5.500%, 11/25/2035(c) | 12,302 | ||||||
294,137 | Series 2005-12-1A5 5.500%, 11/25/2035 | 296,808 | ||||||
73,352 | Series 2005-16-A18 6.000%, 12/25/2035(c) | 74,049 | ||||||
34,948 | Series 2005-AR10-2A4 4.968%, 05/01/2035(g) | 36,606 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Wells Fargo Mortgage-Backed Securities Trust (Continued) | ||||||||
$ 130,539 | Series 2005-AR2-3A1 5.141%, 03/25/2035(g) | $ | 135,023 | |||||
422,365 | Series 2006-3-A11 5.500%, 03/25/2036 | 430,377 | ||||||
136,364 | Series 2006-AR19-A1 4.852%, 12/25/2036(g) | 136,083 | ||||||
369,329 | Series 2006-AR2-2A5 4.991%, 03/25/2036(g) | 370,563 | ||||||
WFRBS Commercial Mortgage Trust | ||||||||
155,000 | Series 2011-C2-D 5.839%, 02/15/2044(b)(g) | 158,906 | ||||||
510,000 | Series 2011-C3-D 5.856%, 03/15/2044(b)(g) | 444,562 | ||||||
500,000 | Series 2012-C6-D 5.768%, 04/15/2045(b)(g) | 529,365 | ||||||
100,000 | Series 2012-C7-C 4.969%, 06/15/2045(g) | 102,801 | ||||||
290,000 | Series 2012-C7-E 4.969%, 06/15/2045(b)(g) | 244,292 | ||||||
|
| |||||||
| TOTAL MORTGAGE-BACKED | 385,215,406 | ||||||
|
| |||||||
MUNICIPAL BONDS: 0.4% | ||||||||
Puerto Rico: 0.4% | ||||||||
Commonwealth of Puerto Rico | ||||||||
2,220,000 | 8.000%, 07/01/2035(k) | 1,340,325 | ||||||
Puerto Rico Commonwealth Aqueduct & Sewer Authority | ||||||||
165,000 | Series A 5.000%, 07/01/2021 | 172,013 | ||||||
76,000 | Series A 5.000%, 07/01/2022 | 79,800 | ||||||
190,000 | Series A 5.250%, 07/01/2029 | 199,738 | ||||||
488,000 | Series A 5.000%, 07/01/2033 | 509,350 | ||||||
311,000 | Series A 5.125%, 07/01/2037 | 325,384 | ||||||
338,000 | Series A 5.750%, 07/01/2037 | 358,702 | ||||||
1,775,000 | Series A 5.250%, 07/01/2042 | 1,861,531 | ||||||
280,000 | Series A 6.000%, 07/01/2047 | 297,850 | ||||||
Puerto Rico Public Buildings Authority | ||||||||
1,125,000 | Series U 5.250%, 07/01/2042(k) | 850,781 | ||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | ||||||||
35,000 | Series A-1 0.000%, 07/01/2024(o) | 30,586 | ||||||
66,000 | Series A-1 0.000%, 07/01/2027(o) | 52,605 | ||||||
65,000 | Series A-1 0.000%, 07/01/2029(o) | 48,322 | ||||||
83,000 | Series A-1 0.000%, 07/01/2031(o) | 57,209 | ||||||
94,000 | Series A-1 0.000%, 07/01/2033(o) | 59,292 | ||||||
69,000 | Series A-1 4.500%, 07/01/2034 | 73,881 |
Principal Amount^ | Value | |||||||
Puerto Rico (continued) | ||||||||
$ 35,000 | Series A-1 4.550%, 07/01/2040 | $ | 36,175 | |||||
893,000 | Series A-1 0.000%, 07/01/2046(o) | 237,922 | ||||||
728,000 | Series A-1 0.000%, 07/01/2051(o) | 142,026 | ||||||
255,000 | Series A-1 4.750%, 07/01/2053 | 265,200 | ||||||
645,000 | Series A-1 5.000%, 07/01/2058 | 681,584 | ||||||
353,000 | Series A-2 4.329%, 07/01/2040 | 359,170 | ||||||
11,000 | Series A-2 4.536%, 07/01/2053 | 11,248 | ||||||
141,000 | Series A-2 4.784%, 07/01/2058 | 146,653 | ||||||
|
| |||||||
| TOTAL MUNICIPAL BONDS | 8,197,347 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS: 6.2% | ||||||||
TREASURY BILLS: 1.5% | ||||||||
United States Treasury Bill | ||||||||
3,900,000 | 1.951%, 11/21/2019(p) | 3,890,116 | ||||||
3,560,000 | 2.057%, 01/30/2020(p) | 3,535,973 | ||||||
3,570,000 | 2.555%, 01/30/2020(p) | 3,540,482 | ||||||
7,210,000 | 1.878%, 02/20/2020(p) | 7,157,785 | ||||||
3,550,000 | 1.726%, 03/26/2020(p) | 3,520,590 | ||||||
3,550,000 | 1.770%, 04/23/2020(p) | 3,515,128 | ||||||
2,190,000 | 1.986%, 07/16/2020(a)(p) | 2,156,201 | ||||||
|
| |||||||
| TOTAL TREASURY BILLS | 27,316,275 | ||||||
|
| |||||||
REPURCHASE AGREEMENTS: 4.7% | ||||||||
88,064,000 | Fixed Income Clearing Corp. 0.250%, 9/30/2019, due 10/01/2019 [collateral: par value $2,065,000 U.S. Treasury Note, 1.750%, due 05/15/2022, value $2,087,199; par value $85,765,000 U.S. Treasury Note, 2.625%, due 06/15/2021, value $87,754,912] (proceeds $88,064,612) | 88,064,000 | ||||||
|
| |||||||
| TOTAL REPURCHASE AGREEMENTS | 88,064,000 | ||||||
|
| |||||||
| TOTAL SHORT-TERM INVESTMENTS | 115,380,275 | ||||||
|
| |||||||
| TOTAL PURCHASED OPTIONS(q) | 1,324,740 | ||||||
|
| |||||||
| TOTAL INVESTMENTS BEFORE | |||||||
(Cost: $1,774,857,405): 99.2% | 1,838,088,328 | |||||||
|
| |||||||
Other Assets in Excess of Liabilities: 0.8% | 14,574,083 | |||||||
|
| |||||||
NET ASSETS: 100.0% | $ | 1,852,662,411 | ||||||
|
|
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
BADLARPP | Argentina Badlar Floating Rate Notes | |
CLO | Collateralized Loan Obligation | |
CMT | Constant Maturity Treasury Index | |
ETF | Exchange Traded Fund | |
EURIBOR | Euro Interbank Offered Rate | |
LIBOR | London Interbank Offered Rate | |
L.P. | Limited Partnership | |
PIK | Payment-in-kind | |
REMICS | Real Estate Mortgage Investment Conduit | |
* | Non-Income Producing Security. | |
^ | The principal amount is stated in U.S. Dollars unless otherwise indicated. | |
(a) | Securities with an aggregate fair value of $225,220,084 have been pledged as collateral for options, total return swaps, credit default swaps, securities sold short and futures positions. | |
(b) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under Securities Act of 1933. | |
(c) | Security is valued using significant unobservable inputs in good faith in accordance with procedures approved by the Board of Trustees. | |
(d) | Illiquid securities at September 30, 2019, at which time the aggregate value of these illiquid securities is $34,048,625 or 1.8% of net assets. | |
(e) | Perpetual Call. | |
(f) | Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at September 30, 2019. | |
(g) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect at September 30, 2019. |
(h) | Floating Interest Rate at September 30, 2019. | |
(i) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date. | |
(j) | When issued security. | |
(k) | Security is currently in default and/or non-income producing. | |
(l) | Pay-in-kind securities. | |
(m) | Interest Only security. Security with a notional or nominal principal amount. | |
(n) | Principal Only security. | |
(o) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
(p) | The rate shown represents yield-to-maturity. | |
(q) | For a breakout of open positions, see details shown in the Schedule of Purchased Options table that follows. | |
CURRENCY ABBREVIATIONS: | ||
ARS | Argentine Peso | |
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
COP | Colombian Peso | |
EUR | Euro | |
GBP | British Pound | |
HUF | Hungary Forint | |
MYR | Malaysian Ringgit | |
NOK | Norwegian Krone | |
SGD | Singapore Dollar | |
THB | Thai Baht | |
USD | U.S. Dollar | |
ZAR | South African Rand |
UNFUNDED LOAN COMMITMENTS — At September 30, 2019, the Fund had unfunded loan commitments which could be extended at the option of the borrowers, pursuant to the following agreements:
Borrower | Principal Amount | Current Value | Unrealized Gain (Loss) | |||||||||
Allied Universal Holdco LLC, 2.125%, 07/10/2026 | $ | 21,171 | $ | 21,227 | $ | 56 | ||||||
|
|
|
|
|
| |||||||
TOTAL | $ | 56 | ||||||||||
|
|
The cost basis of investments for federal income tax purposes at September 30, 2019 was as follows*:
Cost of investments | $ | 1,693,358,238 | ||
|
| |||
Gross unrealized appreciation | 137,823,619 | |||
Gross unrealized depreciation | (74,268,000 | ) | ||
|
| |||
Net unrealized appreciation | $ | 63,555,619 | ||
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF PURCHASED OPTIONS at September 30, 2019 (Unaudited)
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||
COMMON STOCKS | ||||||||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||||
Abbvie, Inc. | Goldman Sachs & Co. | $ | 80.00 | 11/15/2019 | 606 | $ | 4,588,632 | $ | 49,692 | $ | 68,044 | $ | (18,352 | ) | ||||||||||||||||||
Nielsen Holdings Plc | Goldman Sachs & Co. | 22.00 | 11/15/2019 | 261 | 554,625 | 23,490 | 16,565 | 6,925 | ||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||
Avaya Holdings Corp. | Goldman Sachs & Co. | 12.50 | 10/18/2019 | 1,927 | 1,971,321 | 462,480 | 194,700 | 267,780 | ||||||||||||||||||||||||
Live Residential Asset Mortgage Products, Inc. Holdings, Inc. | Goldman Sachs & Co. | 40.00 | 11/15/2019 | 57 | 244,872 | 9,690 | 8,176 | 1,514 | ||||||||||||||||||||||||
Lowe’s Cos., Inc. | Goldman Sachs & Co. | 100.00 | 1/17/2020 | 99 | 1,088,604 | 27,225 | 27,212 | 13 | ||||||||||||||||||||||||
Masco Corp. | Goldman Sachs & Co. | 38.00 | 10/18/2019 | 187 | 779,416 | 2,805 | 14,181 | (11,376 | ) | |||||||||||||||||||||||
Mellanox Technologies Ltd. | Goldman Sachs & Co. | 100.00 | 12/20/2019 | 422 | 4,624,698 | 74,694 | 178,240 | (103,546 | ) | |||||||||||||||||||||||
Mellanox Technologies Ltd. | Goldman Sachs & Co. | 105.00 | 12/20/2019 | 382 | 4,186,338 | 103,140 | 108,036 | (4,896 | ) | |||||||||||||||||||||||
Quad/Graphics, Inc. | Goldman Sachs & Co. | 7.50 | 10/18/2019 | 1,113 | 1,169,763 | 27,825 | 50,529 | (22,704 | ) | |||||||||||||||||||||||
Quad/Graphics, Inc. | Goldman Sachs & Co. | 10.00 | 10/18/2019 | 531 | 558,081 | 14,603 | 37,071 | (22,468 | ) | |||||||||||||||||||||||
Spark Therapeutics, Inc. | Goldman Sachs & Co. | 80.00 | 12/20/2019 | 28 | 271,544 | 14,280 | 18,069 | (3,789 | ) | |||||||||||||||||||||||
Symantec Corp. | Goldman Sachs & Co. | 20.00 | 1/17/2020 | 146 | 344,998 | 3,504 | 8,141 | (4,637 | ) | |||||||||||||||||||||||
Wyndham Hotels & Resorts, Inc. | Goldman Sachs & Co. | 52.50 | 11/15/2019 | 230 | 1,190,020 | 55,200 | 33,818 | 21,382 | ||||||||||||||||||||||||
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Total | 868,628 | 762,782 | 105,846 | |||||||||||||||||||||||||||||
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EXCHANGE-TRADED FUNDS |
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Call | ||||||||||||||||||||||||||||||||
Invesco QQQ Trust Series 1 | Goldman Sachs & Co. | 194.00 | 10/18/2019 | 25 | 472,025 | 2,000 | 6,421 | (4,421 | ) | |||||||||||||||||||||||
Invesco QQQ Trust Series 1 | Goldman Sachs & Co. | 195.00 | 10/18/2019 | 29 | 547,549 | 1,653 | 7,203 | (5,550 | ) | |||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||
iShares Russell 2000 ETF | Goldman Sachs & Co. | 145.00 | 12/20/2019 | 389 | 5,887,126 | 127,981 | 252,779 | (124,798 | ) | |||||||||||||||||||||||
iShares Russell 2000 ETF | Goldman Sachs & Co. | 147.00 | 12/20/2019 | 389 | 5,887,126 | 152,488 | 195,363 | (42,875 | ) | |||||||||||||||||||||||
iShares Russell 2000 ETF | Goldman Sachs & Co. | 149.00 | 12/20/2019 | 378 | 5,720,652 | 171,990 | 183,647 | (11,657 | ) | |||||||||||||||||||||||
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Total | 456,112 | 645,413 | (189,301 | ) | ||||||||||||||||||||||||||||
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Total Purchased Options |
| $ | 1,324,740 | $ | 1,408,195 | $ | (83,455 | ) | ||||||||||||||||||||||||
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Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF SECURITIES SOLD SHORT at September 30, 2019 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS: (2.5)% | ||||||||
(70,700) | Aramark | $ | (3,081,106 | ) | ||||
(111,787) | Avon Products, Inc.* | (491,863 | ) | |||||
(7,185) | Bayerische Motoren Werke AG | (506,101 | ) | |||||
(780) | Beacon Roofing Supply, Inc.* | (26,153 | ) | |||||
(191,250) | Brookfield Asset Management, Inc. Class A | (10,153,463 | ) | |||||
(1,496) | Builders FirstSource, Inc.* | (30,780 | ) | |||||
(159,757) | Celgene Corp. | (319,514 | ) | |||||
(321,053) | Centene Corp.* | (13,888,753 | ) | |||||
(9,193) | Daimler AG | (457,360 | ) | |||||
(17,560) | Discovery, Inc. Class A* | (467,623 | ) | |||||
(35,473) | Eldorado Resorts, Inc.* | (1,414,309 | ) | |||||
(234,242) | Energy Transfer Equity L.P. | (3,063,885 | ) | |||||
(3,549) | Fastenal Co. | (115,946 | ) | |||||
(28,036) | Fiat Chrysler Automobiles N.V. | (362,982 | ) | |||||
(56,705) | Ford Motor Co. | (519,418 | ) | |||||
(3,394) | Fortune Brands Home & Security, Inc. | (185,652 | ) | |||||
(17,168) | General Motors Co. | (643,457 | ) | |||||
(11,473) | Home Depot, Inc. (The) | (2,661,965 | ) | |||||
(22,880) | Honda Motor Co. Ltd. | (592,237 | ) | |||||
(7,337) | JELD-WEN Holding, Inc.* | (141,531 | ) | |||||
(45,104) | Liberty Global Plc Series C* | (1,073,024 | ) | |||||
(2,812) | Masonite International Corp.* | (163,096 | ) | |||||
(442) | MSC Industrial Direct Co., Inc. Class A | (32,058 | ) | |||||
(1) | New Media Investment Group, Inc. | (9 | ) | |||||
(26,100) | Nielsen Holdings Plc | (554,625 | ) | |||||
(14,180) | Pennsylvania Real Estate Investment Trust | (81,110 | ) | |||||
(15,909) | Peugeot S.A. | (396,958 | ) | |||||
(5,344) | PPG Industries, Inc. | (633,317 | ) | |||||
(4,313) | Renault S.A. | (247,688 | ) | |||||
(4,615) | RPM International, Inc. | (317,558 | ) | |||||
(627) | Sherwin-Williams Co. (The) | (344,768 | ) | |||||
(22,000) | Tencent Holdings Ltd. | (926,534 | ) | |||||
(12,060) | Toyota Motor Corp. | (804,930 | ) | |||||
(3,368) | United Rentals, Inc.* | (419,788 | ) | |||||
(708) | Watsco, Inc. | (119,779 | ) | |||||
(2,107) | WW Grainger, Inc. | (626,095 | ) | |||||
(19,205) | Zayo Group Holdings, Inc.* | (651,049 | ) | |||||
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| TOTAL COMMON STOCKS | (46,516,484 | ) | |||||
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EXCHANGE-TRADED FUNDS: (1.6)% | ||||||||
(190,834) | Financial Select Sector SPDR Fund | (5,343,352 | ) | |||||
(31,565) | iShares Russell 1000 Growth ETF | (5,038,721 | ) | |||||
(19,335) | SPDR S&P 500 ETF Trust | (5,738,048 | ) | |||||
(212,912) | SPDR S&P Regional Banking ETF | (11,239,624 | ) | |||||
(25,500) | Utilities Select Sector SPDR Fund | (1,650,870 | ) | |||||
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| TOTAL EXCHANGE-TRADED FUNDS | (29,010,615 | ) | |||||
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Principal | Value | |||||||
CORPORATE BONDS: (0.1)% | ||||||||
Dell International LLC/EMC Corp. |
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$(450,000) | 7.125%, 06/15/2024(b) | (474,863 | ) | |||||
Gray Television, Inc. |
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(556,000) | 5.125%, 10/15/2024(b) | (577,545 | ) | |||||
Gray Television, Inc. |
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(362,000) | 5.875%, 07/15/2026(b) | (377,385 | ) | |||||
Western Digital Corp. |
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(848,000) | 4.750%, 02/15/2026 | (874,500 | ) | |||||
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| TOTAL CORPORATE BONDS | (2,304,293 | ) | |||||
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| TOTAL SECURITIES SOLD SHORT | (77,831,392 | ) | |||||
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Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS AT September 30, 2019 (Unaudited)
At September 30, 2019, the Fund had the following forward foreign currency exchange contracts:
Settlement Date | Fund Receiving | U.S. $ Value at September 30, 2019 | Fund Delivering | U.S. $ Value at September 30, 2019 | Asset Derivatives | Liability Derivatives | ||||||||||||||||||||||
Counterparty | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||||||||||
Bank of America N.A. | 10/15/2019 | NOK | $ | 891,696 | USD | $ | 944,595 | $ | — | $ | (52,899 | ) | ||||||||||||||||
10/15/2019 | NOK | 2,438,956 | USD | 2,599,052 | — | (160,096 | ) | |||||||||||||||||||||
10/18/2019 | USD | 503,099 | CAD | 494,721 | 8,378 | — | ||||||||||||||||||||||
Citibank N.A. | 11/15/2019 | USD | 6,903,758 | SGD | 6,929,950 | — | (26,192 | ) | ||||||||||||||||||||
Credit Suisse International | 10/2/2019 | COP | 1,886,473 | USD | 1,898,844 | — | (12,371 | ) | ||||||||||||||||||||
10/2/2019 | USD | 2,056,274 | COP | 1,886,473 | 169,801 | — | ||||||||||||||||||||||
1/2/2020 | USD | 1,890,865 | COP | 1,878,264 | 12,601 | — | ||||||||||||||||||||||
Deutsche Bank AG | 10/31/2019 | USD | 621,694 | EUR | 605,485 | 16,209 | — | |||||||||||||||||||||
10/31/2019 | USD | 1,766,364 | GBP | 1,771,414 | — | (5,050 | ) | |||||||||||||||||||||
Goldman Sachs & Co. | 12/13/2019 | USD | 1,277,612 | GBP | 1,257,426 | 20,186 | — | |||||||||||||||||||||
12/13/2019 | USD | 1,841,401 | ZAR | 1,792,149 | 49,252 | — | ||||||||||||||||||||||
12/13/2019 | USD | 423,104 | ZAR | 408,983 | 14,121 | — | ||||||||||||||||||||||
12/13/2019 | USD | 538,246 | ZAR | 533,453 | 4,793 | — | ||||||||||||||||||||||
12/13/2019 | USD | 50,617 | ZAR | 48,851 | 1,766 | — | ||||||||||||||||||||||
12/13/2019 | USD | 65,839 | ZAR | 64,812 | 1,027 | — | ||||||||||||||||||||||
12/13/2019 | USD | 87,822 | ZAR | 88,032 | — | (210 | ) | |||||||||||||||||||||
12/16/2019 | EUR | 700,002 | USD | 702,780 | — | (2,778 | ) | |||||||||||||||||||||
12/16/2019 | EUR | 2,400,760 | USD | 2,437,461 | — | (36,701 | ) | |||||||||||||||||||||
12/16/2019 | USD | 12,101,916 | EUR | 11,988,777 | 113,139 | — | ||||||||||||||||||||||
12/16/2019 | USD | 8,315,980 | GBP | 8,290,511 | 25,469 | — | ||||||||||||||||||||||
12/16/2019 | USD | 461,572 | GBP | 454,667 | 6,905 | — | ||||||||||||||||||||||
12/16/2019 | USD | 276,769 | GBP | 272,874 | 3,895 | — | ||||||||||||||||||||||
12/16/2019 | USD | 210,492 | GBP | 207,710 | 2,782 | — | ||||||||||||||||||||||
12/16/2019 | USD | 229,663 | GBP | 227,457 | 2,206 | — | ||||||||||||||||||||||
12/16/2019 | USD | 130,639 | GBP | 128,724 | 1,915 | — | ||||||||||||||||||||||
12/16/2019 | USD | 184,386 | GBP | 183,520 | 866 | — | ||||||||||||||||||||||
12/16/2019 | USD | 143,539 | GBP | 143,040 | 499 | — | ||||||||||||||||||||||
12/16/2019 | USD | 85,247 | GBP | 84,911 | 336 | — | ||||||||||||||||||||||
12/16/2019 | USD | 158,424 | GBP | 158,467 | — | (43 | ) | |||||||||||||||||||||
12/16/2019 | USD | 275,556 | GBP | 275,713 | — | (157 | ) | |||||||||||||||||||||
HSBC Holdings Plc | 10/22/2019 | AUD | 1,701,327 | USD | 1,779,649 | — | (78,322 | ) | ||||||||||||||||||||
JPMorgan Chase Bank N.A. | 10/25/2019 | EUR | 1,387,041 | USD | 1,429,086 | — | (42,045 | ) | ||||||||||||||||||||
10/25/2019 | EUR | 3,026,483 | USD | 3,074,452 | — | (47,969 | ) | |||||||||||||||||||||
10/25/2019 | EUR | 1,728,125 | USD | 1,782,899 | — | (54,774 | ) | |||||||||||||||||||||
10/25/2019 | USD | 885,339 | EUR | 867,181 | 18,158 | — | ||||||||||||||||||||||
10/25/2019 | USD | 1,213,760 | EUR | 1,200,158 | 13,602 | — | ||||||||||||||||||||||
10/25/2019 | USD | 965,090 | EUR | 952,616 | 12,474 | — | ||||||||||||||||||||||
10/25/2019 | USD | 1,538,947 | EUR | 1,526,888 | 12,059 | — | ||||||||||||||||||||||
10/25/2019 | USD | 847,982 | EUR | 845,154 | 2,828 | — | ||||||||||||||||||||||
Morgan Stanley & Co. | 10/15/2019 | MYR | 922,938 | USD | 941,076 | — | (18,138 | ) | ||||||||||||||||||||
10/15/2019 | MYR | 2,544,349 | USD | 2,587,107 | �� | (42,758 | ) | |||||||||||||||||||||
10/31/2019 | USD | 5,257,452 | ZAR | 4,953,968 | 303,484 | — | ||||||||||||||||||||||
12/31/2019 | USD | 371,675 | GBP | 370,529 | 1,146 | — | ||||||||||||||||||||||
UBS AG | 10/15/2019 | HUF | 1,253,442 | USD | 1,335,846 | — | (82,404 | ) | ||||||||||||||||||||
10/22/2019 | USD | 3,541,559 | THB | 3,567,621 | — | (26,062 | ) | |||||||||||||||||||||
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$ | 76,104,274 | $ | 75,973,346 | $ | 819,897 | $ | (688,969 | ) | ||||||||||||||||||||
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SCHEDULE OF FINANCIAL FUTURES CONTRACTS at September 30, 2019 (Unaudited)
Description | Number of Contracts | Notional Amount | Notional Value | Expiration Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Futures Contracts - Long | ||||||||||||||||||||
2YR U.S. Treasury Notes | 536 | $ | 107,200,000 | $ | 115,508,000 | 12/31/2019 | $ | (223,246 | ) | |||||||||||
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Total Long | $ | (223,246 | ) | |||||||||||||||||
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Futures Contracts - Short | ||||||||||||||||||||
5YR U.S. Treasury Notes | (1,367 | ) | (136,700,000 | ) | $ | (162,875,915 | ) | 12/31/2019 | $ | 786,416 | ||||||||||
10YR U.S. Treasury Notes | (89 | ) | (8,900,000 | ) | (11,597,812 | ) | 12/19/2019 | 11,374 | ||||||||||||
S&P 500 E Mini Index | (64 | ) | (3,200 | ) | (9,531,200 | ) | 12/20/2019 | 66,336 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF FINANCIAL FUTURES CONTRACTS at September 30, 2019 (Unaudited) (Continued)
Description | Number of Contracts | Notional Amount | Notional Value | Expiration Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Ultra-Long U.S. Treasury Bonds | (25 | ) | (2,500,000 | ) | $ | (4,797,656 | ) | 12/19/2019 | $ | 1,649 | ||||||||||
Ultra 10YR U.S. Treasury Notes | (202 | ) | (20,200,000 | ) | (28,766,063 | ) | 12/19/2019 | 14,255 | ||||||||||||
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Total Short | $ | 880,030 | ||||||||||||||||||
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Total Futures Contracts | $ | 656,784 | ||||||||||||||||||
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SCHEDULE OF SWAPS at September 30, 2019 (Unaudited)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2019 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||||||
Buy Protection | ||||||||||||||||||||||||||||||||
Altria Group, Inc. 4.750%, 05/05/2021 | 12/20/2024 | (1.000 | %) | 0.735 | % | $ | (9,000,000 | ) | Quarterly | $ | (117,240 | ) | $ | (110,787 | ) | $ | (6,453 | ) | ||||||||||||||
American Axle & Manufacturing, Inc. 6.625%, 10/15/2022 | 12/20/2024 | (5.000 | %) | 4.733 | % | (9,600,000 | ) | Quarterly | (106,534 | ) | (6,930 | ) | (99,604 | ) | ||||||||||||||||||
Apache Corp. 3.250%, 04/15/2022 | 12/20/2024 | (1.000 | %) | 1.673 | % | (11,600,000 | ) | Quarterly | 369,014 | 394,496 | (25,482 | ) | ||||||||||||||||||||
ArcelorMittal 2.875%, 07/06/2020 | 12/20/2024 | (5.000 | %) | 1.705 | % | EUR | (8,700,000 | ) | Quarterly | (1,555,972 | ) | (1,585,254 | ) | 29,282 | ||||||||||||||||||
Bank of America Corp. 2.369%, 07/21/2021 | 12/20/2024 | (1.000 | %) | 0.524 | % | $ | (4,750,000 | ) | Quarterly | (112,293 | ) | (130,881 | ) | 18,588 | ||||||||||||||||||
Bayer AG 1.875%, 01/25/2021 | 12/20/2024 | (1.000 | %) | 0.679 | % | EUR | (6,100,000 | ) | Quarterly | (111,243 | ) | (111,629 | ) | 386 | ||||||||||||||||||
Best Buy Co., Inc. 5.500%, 03/15/2021 | 12/20/2024 | (5.000 | %) | 0.848 | % | $ | (6,750,000 | ) | Quarterly | (1,371,927 | ) | (1,370,187 | ) | (1,740 | ) | |||||||||||||||||
Block Financial LLC 5.500%, 11/01/2022 | 12/20/2024 | (5.000 | %) | 0.818 | % | (2,350,000 | ) | Quarterly | (481,720 | ) | (480,849 | ) | (871 | ) | ||||||||||||||||||
Bouygues S.A. 4.250%, 07/22/2020 | 12/20/2024 | (1.000 | %) | 0.351 | % | EUR | (2,000,000 | ) | Quarterly | (74,687 | ) | (75,039 | ) | 352 | ||||||||||||||||||
British Telecommunications Plc 5.750%, 12/07/2028 | 12/20/2024 | (1.000 | %) | 0.930 | % | (4,650,000 | ) | Quarterly | (18,323 | ) | (13,124 | ) | (5,199 | ) | ||||||||||||||||||
Carnival Corp. 6.650%, 01/15/2028 | 12/20/2024 | (1.000 | %) | 0.507 | % | $ | (10,950,000 | ) | Quarterly | (269,075 | ) | (308,341 | ) | 39,266 | ||||||||||||||||||
CDX North America High Yield Index Series 32 5.000%, 06/20/2024 | 6/20/2024 | (5.000 | %) | 3.277 | % | (94,050,000 | ) | Quarterly | (6,635,985 | ) | (5,588,055 | ) | (1,047,930 | ) | ||||||||||||||||||
CDX North America High Yield Index Series 33 5.000%, 12/20/2024 | 12/20/2024 | (5.000 | %) | 3.500 | % | (6,975,000 | ) | Quarterly | (465,267 | ) | (461,745 | ) | (3,522 | ) | ||||||||||||||||||
CDX North America Investment Grade Index Series 31 1.000%, 06/20/2024 | 6/20/2024 | (1.000 | %) | 0.527 | % | (80,000,000 | ) | Quarterly | (1,685,616 | ) | (1,194,527 | ) | (491,089 | ) | ||||||||||||||||||
CDX North America Investment Grade Index Series 33 1.000%, 12/20/2024 | 12/20/2024 | (1.000 | %) | 0.599 | % | (80,000,000 | ) | Quarterly | (1,571,887 | ) | (1,563,272 | ) | (8,615 | ) | ||||||||||||||||||
Centrica Plc 6.375%, 03/10/2022 | 12/20/2024 | (1.000 | %) | 1.251 | % | EUR | (10,300,000 | ) | Quarterly | 143,076 | 152,178 | (9,102 | ) | |||||||||||||||||||
CenturyLink, Inc. 7.500%, 04/01/2024 | 12/20/2024 | (1.000 | %) | 2.562 | % | $ | (9,700,000 | ) | Quarterly | 689,891 | 787,308 | (97,417 | ) | |||||||||||||||||||
CIT Group, Inc. 5.000%, 08/15/2022 | 12/20/2024 | (5.000 | %) | 0.924 | % | (5,700,000 | ) | Quarterly | (1,133,721 | ) | (1,144,943 | ) | 11,222 | |||||||||||||||||||
CNH Industrial Finance Europe S.A. 2.875%, 05/17/2023 | 12/20/2024 | (5.000 | %) | 0.942 | % | EUR | (2,650,000 | ) | Quarterly | (603,267 | ) | (600,268 | ) | (2,999 | ) | |||||||||||||||||
Commerzbank AG 4.000%, 09/16/2020 | 12/20/2024 | (1.000 | %) | 0.787 | % | (10,050,000 | ) | Quarterly | (121,156 | ) | (149,621 | ) | 28,465 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF SWAPS at September 30, 2019(Unaudited) (Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2019 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||
Conagra Brands, Inc. 7.000%, 10/01/2028 | 12/20/2024 | (1.000 | %) | 0.765 | % | $ | (5,550,000 | ) | Quarterly | $ | (64,148 | ) | $ | (52,660 | ) | $ | (11,488 | ) | ||||||||||
Continental AG 3.125%, 09/09/2020 | 12/20/2024 | (1.000 | %) | 0.735 | % | EUR | (10,000,000 | ) | Quarterly | (150,077 | ) | (148,309 | ) | (1,768 | ) | |||||||||||||
Daimler AG 0.625%, 03/05/2020 | 12/20/2024 | (1.000 | %) | 0.671 | % | (9,950,000 | ) | Quarterly | (185,980 | ) | (197,483 | ) | 11,503 | |||||||||||||||
Daimler AG 1.400%, 01/12/2024 | 12/20/2024 | (1.000 | %) | 0.671 | % | (100,000 | ) | Quarterly | (1,869 | ) | (1,903 | ) | 34 | |||||||||||||||
Danske Bank A/S 0.875%, 05/22/2023 | 12/20/2024 | (1.000 | %) | 0.907 | % | (10,100,000 | ) | Quarterly | (53,067 | ) | (97,747 | ) | 44,680 | |||||||||||||||
Darden Restaurants, Inc. 3.850%, 05/01/2027 | 12/20/2024 | (1.000 | %) | 0.373 | % | $ | (9,000,000 | ) | Quarterly | (281,980 | ) | (283,725 | ) | 1,745 | ||||||||||||||
Dell, Inc. 7.100%, 04/15/2028 | 12/20/2024 | (1.000 | %) | 2.037 | % | (9,150,000 | ) | Quarterly | 441,641 | 444,099 | (2,458 | ) | ||||||||||||||||
Deutsche Lufthansa AG 1.125%, 09/12/2019 | 12/20/2024 | (1.000 | %) | 0.748 | % | EUR | (10,100,000 | ) | Quarterly | (144,109 | ) | (133,422 | ) | (10,687 | ) | |||||||||||||
Devon Energy Corp. 7.950%, 04/15/2032 | 12/20/2024 | (1.000 | %) | 1.068 | % | $ | (11,200,000 | ) | Quarterly | 36,863 | 73,967 | (37,104 | ) | |||||||||||||||
Domtar Corp. 4.400%, 04/01/2022 | 12/20/2024 | (1.000 | %) | 1.037 | % | (11,200,000 | ) | Quarterly | 20,362 | (16,498 | ) | 36,860 | ||||||||||||||||
DXC Technology Co. 4.450%, 09/18/2022 | 12/20/2024 | (5.000 | %) | 1.653 | % | (9,650,000 | ) | Quarterly | (1,527,938 | ) | (1,610,873 | ) | 82,935 | |||||||||||||||
Eastman Chemical Co. 7.600%, 02/01/2027 | 12/20/2024 | (1.000 | %) | 0.673 | % | (9,250,000 | ) | Quarterly | (149,347 | ) | (155,304 | ) | 5,957 | |||||||||||||||
Electricite de France S.A. 5.625%, 02/21/2033 | 12/20/2024 | (1.000 | %) | 0.569 | % | EUR | (9,950,000 | ) | Quarterly | (244,330 | ) | (236,085 | ) | (8,245 | ) | |||||||||||||
Electrolux AB 1.000%, 12/05/2019 | 12/20/2024 | (1.000 | %) | 0.282 | % | (9,800,000 | ) | Quarterly | (406,359 | ) | (427,835 | ) | 21,476 | |||||||||||||||
Encana Corp. 3.900%, 11/15/2021 | 12/20/2024 | (1.000 | %) | 1.647 | % | $ | (11,600,000 | ) | Quarterly | 354,905 | 422,722 | (67,817 | ) | |||||||||||||||
Fiat Chrysler Automobiles N.V. 4.500%, 04/15/2020 | 12/20/2024 | (5.000 | %) | 1.397 | % | EUR | (1,000,000 | ) | Quarterly | (198,193 | ) | (197,106 | ) | (1,087 | ) | |||||||||||||
Glencore Finance Europe Ltd. 3.375%, 09/30/2020 | 12/20/2024 | (5.000 | %) | 1.589 | % | (8,700,000 | ) | Quarterly | (1,618,560 | ) | (1,655,816 | ) | 37,256 | |||||||||||||||
Goodyear Tire & Rubber Co. (The) 5.000%, 05/31/2026 | 12/20/2024 | (5.000 | %) | 2.893 | % | $ | (10,250,000 | ) | Quarterly | (969,842 | ) | (786,323 | ) | (183,519 | ) | |||||||||||||
Halliburton Co. 8.750%, 02/15/2021 | 12/20/2024 | (1.000 | %) | 0.900 | % | (11,200,000 | ) | Quarterly | (54,522 | ) | (30,581 | ) | (23,941 | ) | ||||||||||||||
HCA, Inc. 7.500%, 02/15/2022 | 12/20/2024 | (5.000 | %) | 1.073 | % | (3,750,000 | ) | Quarterly | (713,904 | ) | (742,783 | ) | 28,879 | |||||||||||||||
Host Hotels & Resorts L.P. 4.750%, 03/01/2023 | 12/20/2024 | (1.000 | %) | 0.624 | % | (11,050,000 | ) | Quarterly | (205,263 | ) | (221,752 | ) | 16,489 | |||||||||||||||
HP, Inc. 4.650%, 12/09/2021 | 12/20/2024 | (1.000 | %) | 0.707 | % | (11,100,000 | ) | Quarterly | (160,386 | ) | (188,482 | ) | 28,096 | |||||||||||||||
International Paper Co. 7.500%, 08/15/2021 | 12/20/2024 | (1.000 | %) | 0.558 | % | (11,050,000 | ) | Quarterly | (242,110 | ) | (234,235 | ) | (7,875 | ) | ||||||||||||||
Kohl’s Corp. 4.250%, 07/17/2025 | 12/20/2024 | (1.000 | %) | 1.443 | % | (11,450,000 | ) | Quarterly | 242,211 | 241,115 | 1,096 | |||||||||||||||||
Kraft Heinz Foods Co. 6.375%, 07/15/2028 | 12/20/2024 | (1.000 | %) | 1.096 | % | (11,200,000 | ) | Quarterly | 52,090 | 82,708 | (30,618 | ) | ||||||||||||||||
Kroger Co. (The) 6.150%, 01/15/2020 | 12/20/2024 | (1.000 | %) | 0.808 | % | (11,100,000 | ) | Quarterly | (104,328 | ) | (99,547 | ) | (4,781 | ) | ||||||||||||||
L Brands, Inc. 5.625%, 10/15/2023 | 12/20/2024 | (1.000 | %) | 3.529 | % | (7,950,000 | ) | Quarterly | 879,041 | 881,371 | (2,330 | ) |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF SWAPS at September 30, 2019(Unaudited) (Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2019 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||
Liberty Interactive LLC 8.500%, 07/15/2029 | 12/20/2024 | (5.000 | %) | 1.033 | % | $ | (1,900,000 | ) | Quarterly | $ | (366,081 | ) | $ | (346,862 | ) | $ | (19,219 | ) | ||||||||||
Macy’s Retail Holdings, Inc. 3.450%, 01/15/2021 | 12/20/2024 | (1.000 | %) | 2.330 | % | (11,900,000 | ) | Quarterly | 727,477 | 633,984 | 93,493 | |||||||||||||||||
Marathon Petroleum Corp. 3.625%, 09/15/2024 | 12/20/2024 | (5.000 | %) | 0.699 | % | (9,100,000 | ) | Quarterly | (1,928,056 | ) | (1,987,948 | ) | 59,892 | |||||||||||||||
Marks & Spencer Plc 3.000%, 12/08/2023 | 12/20/2024 | (1.000 | %) | 2.210 | % | EUR | (5,850,000 | ) | Quarterly | 375,765 | 389,999 | (14,234 | ) | |||||||||||||||
Meritor, Inc. 6.250%, 02/15/2024 | 12/20/2024 | (5.000 | %) | 1.762 | % | $ | (7,000,000 | ) | Quarterly | (1,067,142 | ) | (1,054,732 | ) | (12,410 | ) | |||||||||||||
MetLife, Inc. 3.600%, 11/13/2025 | 12/20/2024 | (1.000 | %) | 0.725 | % | (150,000 | ) | Quarterly | (2,030 | ) | (2,220 | ) | 190 | |||||||||||||||
METRO AG 1.375%, 10/28/2021 | 12/20/2024 | (1.000 | %) | 1.414 | % | EUR | (10,400,000 | ) | Quarterly | 236,731 | 280,213 | (43,482 | ) | |||||||||||||||
MGM Resorts International 6.750%, 10/01/2020 | 12/20/2024 | (5.000 | %) | 1.107 | % | $ | (2,600,000 | ) | Quarterly | (490,072 | ) | (490,216 | ) | 144 | ||||||||||||||
Morgan Stanley 3.750%, 02/25/2023 | 12/20/2024 | (1.000 | %) | 0.667 | % | (5,850,000 | ) | Quarterly | (96,181 | ) | (125,098 | ) | 28,917 | |||||||||||||||
Nokia Oyj 1.000%, 03/15/2021 | 12/20/2024 | (5.000 | %) | 0.815 | % | EUR | (4,100,000 | ) | Quarterly | (967,992 | ) | (1,000,764 | ) | 32,772 | ||||||||||||||
Nordstrom, Inc. 6.950%, 03/15/2028 | 12/20/2024 | (1.000 | %) | 2.359 | % | $ | (11,900,000 | ) | Quarterly | 742,523 | 688,026 | 54,497 | ||||||||||||||||
Olin Corp. 5.500%, 08/15/2022 | 12/20/2024 | (1.000 | %) | 1.483 | % | (11,500,000 | ) | Quarterly | 264,776 | 315,876 | (51,100 | ) | ||||||||||||||||
Omnicom Group, Inc./Omnicom Capital, Inc. 4.450%, 08/15/2020 | 12/20/2024 | (1.000 | %) | 0.434 | % | (4,600,000 | ) | Quarterly | (129,832 | ) | (143,888 | ) | 14,056 | |||||||||||||||
PostNL N.V. 1.000%, 11/21/2024 | 12/20/2024 | (1.000 | %) | 0.696 | % | EUR | (10,050,000 | ) | Quarterly | (173,312 | ) | (154,052 | ) | (19,260 | ) | |||||||||||||
Publicis Groupe S.A. 1.125%, 12/16/2021 | 12/20/2024 | (1.000 | %) | 0.676 | % | (10,050,000 | ) | Quarterly | (184,791 | ) | (193,966 | ) | 9,175 | |||||||||||||||
Renault S.A. 3.125%, 03/05/2021 | 12/20/2024 | (1.000 | %) | 0.927 | % | (10,100,000 | ) | Quarterly | (41,199 | ) | (14,729 | ) | (26,470 | ) | ||||||||||||||
Rexel S.A. 2.125%, 06/15/2025 | 12/20/2024 | (5.000 | %) | 1.109 | % | (8,350,000 | ) | Quarterly | (1,809,900 | ) | (1,830,881 | ) | 20,981 | |||||||||||||||
Royal Bank of Scotland Group Plc 2.000%, 03/04/2025 | 12/20/2024 | (1.000 | %) | 0.913 | % | (4,850,000 | ) | Quarterly | (23,830 | ) | 27,211 | (51,041 | ) | |||||||||||||||
RR Donnelley & Sons Co. 7.875%, 03/15/2021 | 12/20/2024 | (5.000 | %) | 5.916 | % | $ | (3,600,000 | ) | Quarterly | 130,891 | 171,000 | (40,109 | ) | |||||||||||||||
Ryder System, Inc. 3.875%, 12/01/2023 | 12/20/2024 | (1.000 | %) | 0.904 | % | (11,100,000 | ) | Quarterly | (52,051 | ) | (68,303 | ) | 16,252 | |||||||||||||||
Simon Property Group L.P. 4.375%, 03/01/2021 | 12/20/2024 | (1.000 | %) | 0.558 | % | (10,900,000 | ) | Quarterly | (238,886 | ) | (251,063 | ) | 12,177 | |||||||||||||||
Stora Enso Oyj 2.125%, 06/16/2023 | 12/20/2024 | (5.000 | %) | 0.764 | % | EUR | (8,350,000 | ) | Quarterly | (2,000,187 | ) | (2,026,660 | ) | 26,473 | ||||||||||||||
Teck Resources Ltd. 6.125%, 10/01/2035 | 12/20/2024 | (5.000 | %) | 1.472 | % | $ | (9,450,000 | ) | Quarterly | (1,589,274 | ) | (1,636,674 | ) | 47,400 | ||||||||||||||
Telefonaktiebolaget LM Ericsson 4.125%, 05/15/2022 | 12/20/2024 | (1.000 | %) | 0.815 | % | EUR | (2,450,000 | ) | Quarterly | (25,558 | ) | (19,406 | ) | (6,152 | ) | |||||||||||||
Telenor ASA 2.625%, 12/06/2024 | 12/20/2024 | (1.000 | %) | 0.270 | % | (2,350,000 | ) | Quarterly | (99,209 | ) | (99,780 | ) | 571 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF SWAPS at September 30, 2019(Unaudited) (Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2019 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||
UBS Group Funding Switzerland AG 3.491%, 05/23/2023 | 12/20/2024 | (1.000 | %) | 0.454 | % | EUR | (4,500,000 | ) | Quarterly | $ | (140,888 | ) | $ | (139,268 | ) | $ | (1,620 | ) | ||||||||||
United Rentals North America, Inc. 5.500%, 07/15/2025 | 12/20/2024 | (5.000 | %) | 1.361 | % | $ | (6,350,000 | ) | Quarterly | (1,106,775 | ) | (1,148,324 | ) | 41,549 | ||||||||||||||
United States Steel Corp. 6.650%, 06/01/2037 | 12/20/2024 | (5.000 | %) | 7.016 | % | (9,450,000 | ) | Quarterly | 724,331 | 399,625 | 324,706 | |||||||||||||||||
UnitedHealth Group, Inc. 3.350%, 07/15/2022 | 12/20/2024 | (1.000 | %) | 0.330 | % | (10,800,000 | ) | Quarterly | (362,503 | ) | (388,411 | ) | 25,908 | |||||||||||||||
Valeo S.A. 3.250%, 01/22/2024 | 12/20/2024 | (1.000 | %) | 1.094 | % | EUR | (8,300,000 | ) | Quarterly | 43,514 | 112,860 | (69,346 | ) | |||||||||||||||
Valero Energy Corp. 8.750%, 06/15/2030 | 12/20/2024 | (1.000 | %) | 0.687 | % | $ | (11,050,000 | ) | Quarterly | (170,594 | ) | (179,909 | ) | 9,315 | ||||||||||||||
Volkswagen International Finance N.V. 0.500%, 03/30/2021 | 12/20/2024 | (1.000 | %) | 0.930 | % | EUR | (500,000 | ) | Quarterly | (1,962 | ) | (2,545 | ) | 583 | ||||||||||||||
Wells Fargo & Co. 3.069%, 01/24/2023 | 12/20/2024 | (1.000 | %) | 0.479 | % | $ | (7,700,000 | ) | Quarterly | (199,412 | ) | (232,245 | ) | 32,833 | ||||||||||||||
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Total Buy Protection |
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Accor S.A. 2.625%, 02/05/2021 | 12/20/2024 | 1.000 | % | 0.778 | % | EUR | 10,050,000 | Quarterly | $ | 125,867 | $ | 140,134 | $ | (14,267 | ) | |||||||||||||
AK Steel Corp. 7.000%, 03/15/2027 | 12/20/2024 | 5.000 | % | 10.757 | % | $ | 6,900,000 | Quarterly | (1,310,723 | ) | (957,375 | ) | (353,348 | ) | ||||||||||||||
Akzo Nobel N.V. 1.750%, 11/07/2024 | 12/20/2024 | 1.000 | % | 0.414 | % | EUR | 9,800,000 | Quarterly | 329,711 | 393,748 | (64,037 | ) | ||||||||||||||||
Ally Financial, Inc. 7.500%, 09/15/2020 | 12/20/2024 | 5.000 | % | 0.937 | % | $ | 9,300,000 | Quarterly | 1,842,840 | 1,877,697 | (34,857 | ) | ||||||||||||||||
American International Group, Inc. 6.250%, 05/01/2036 | 12/20/2024 | 1.000 | % | 0.789 | % | 11,100,000 | Quarterly | 114,732 | 127,367 | (12,635 | ) | |||||||||||||||||
Amgen, Inc. 3.625%, 05/22/2024 | 12/20/2024 | 1.000 | % | 0.483 | % | 10,900,000 | Quarterly | 279,999 | 332,697 | (52,698 | ) | |||||||||||||||||
Amkor Technology, Inc. 6.625%, 09/15/2027 | 12/20/2024 | 5.000 | % | 1.132 | % | 5,600,000 | Quarterly | 1,047,590 | 1,010,040 | 37,550 | ||||||||||||||||||
Apache Corp. 3.250%, 04/15/2022 | 12/20/2024 | 1.000 | % | 1.673 | % | 100,000 | Quarterly | (3,181 | ) | (3,167 | ) | (14 | ) | |||||||||||||||
Assicurazioni Generali SpA 5.125%, 09/16/2024 | 12/20/2024 | 1.000 | % | 0.715 | % | EUR | 6,750,000 | Quarterly | 109,035 | 113,936 | (4,901 | ) | ||||||||||||||||
AT&T, Inc. 2.450%, 06/30/2020 | 12/20/2024 | 1.000 | % | 0.822 | % | $ | 11,250,000 | Quarterly | 98,332 | 58,611 | 39,721 | |||||||||||||||||
AutoZone, Inc. 2.500%, 04/15/2021 | 12/20/2024 | 1.000 | % | 0.487 | % | 10,900,000 | Quarterly | 278,020 | 328,867 | (50,847 | ) | |||||||||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 5.250%, 03/15/2025 | 12/20/2024 | 5.000 | % | 2.455 | % | 10,050,000 | Quarterly | 1,169,503 | 1,126,056 | 43,447 | ||||||||||||||||||
Avnet, Inc. 4.875%, 12/01/2022 | 12/20/2024 | 1.000 | % | 0.867 | % | 8,100,000 | Quarterly | 52,625 | 74,073 | (21,448 | ) | |||||||||||||||||
Barrick Gold Corp. 5.800%, 11/15/2034 | 12/20/2024 | 1.000 | % | 0.526 | % | 10,900,000 | Quarterly | 256,455 | 284,287 | (27,832 | ) | |||||||||||||||||
Beazer Homes USA, Inc. 6.750%, 03/15/2025 | 12/20/2024 | 5.000 | % | 2.967 | % | 6,350,000 | Quarterly | 577,902 | 570,138 | 7,764 | ||||||||||||||||||
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF SWAPS at September 30, 2019 (Unaudited) (Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2019 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||||
Berkshire Hathaway, Inc. 2.750%, 03/15/2023 | 12/20/2024 | 1.000 | % | 0.548 | % | $ | 10,950,000 | Quarterly | $ | 245,576 | $ | 268,735 | $ | (23,159 | ) | |||||||||||||||
BP Capital Markets Plc 3.161%, 03/17/2021 | 12/20/2024 | 1.000 | % | 0.418 | % | EUR | 4,850,000 | Quarterly | 161,931 | 185,061 | (23,130 | ) | ||||||||||||||||||
Campbell Soup Co. 4.250%, 04/15/2021 | 12/20/2024 | 1.000 | % | 0.701 | % | $ | 11,000,000 | Quarterly | 162,115 | 230,715 | (68,600 | ) | ||||||||||||||||||
CDX North America Investment Grade Index Series 31 1.000%, 06/20/2024 | 6/20/2024 | 1.000 | % | 0.527 | % | 80,000,000 | Quarterly | 1,685,616 | 1,684,411 | 1,205 | ||||||||||||||||||||
Chesapeake Energy Corp. 8.000%, 01/15/2025 | 12/20/2024 | 5.000 | % | 14.788 | % | 2,400,000 | Quarterly | (671,866 | ) | (476,375 | ) | (195,491 | ) | |||||||||||||||||
CNH Industrial Finance Europe S.A. 2.875%, 05/17/2023 | 12/20/2024 | 5.000 | % | 0.942 | % | EUR | 8,400,000 | Quarterly | 1,912,243 | 1,962,185 | (49,942 | ) | ||||||||||||||||||
Comcast Corp. 3.700%, 04/15/2024 | 12/20/2024 | 1.000 | % | 0.458 | % | $ | 10,950,000 | Quarterly | 295,735 | 318,889 | (23,154 | ) | ||||||||||||||||||
CSC Holdings LLC 10.875%, 10/15/2025 | 12/20/2024 | 5.000 | % | 1.121 | % | 2,450,000 | Quarterly | 459,771 | 443,149 | 16,622 | ||||||||||||||||||||
CVS Health Corp. 2.125%, 06/01/2021 | 12/20/2024 | 1.000 | % | 0.733 | % | 4,550,000 | Quarterly | 59,762 | 62,861 | (3,099 | ) | |||||||||||||||||||
DISH DBS Corp. 6.750%, 06/01/2021 | 12/20/2024 | 5.000 | % | 4.143 | % | 10,900,000 | Quarterly | 398,213 | 168,886 | 229,327 | ||||||||||||||||||||
DR Horton, Inc. 4.750%, 02/15/2023 | 12/20/2024 | 1.000 | % | 0.587 | % | 11,000,000 | Quarterly | 224,960 | 274,212 | (49,252 | ) | |||||||||||||||||||
Enbridge, Inc. 3.500%, 06/10/2024 | 12/20/2024 | 1.000 | % | 0.826 | % | 11,100,000 | Quarterly | 94,476 | 133,849 | (39,373 | ) | |||||||||||||||||||
Enel SpA 5.250%, 05/20/2024 | 12/20/2024 | 1.000 | % | 0.674 | % | EUR | 10,000,000 | Quarterly | 185,064 | 229,650 | (44,586 | ) | ||||||||||||||||||
Experian Finance Plc 3.500%, 10/15/2021 | 12/20/2024 | 1.000 | % | 0.373 | % | 8,100,000 | Quarterly | 292,045 | 319,927 | (27,882 | ) | |||||||||||||||||||
FirstEnergy Corp. 7.375%, 11/15/2031 | 12/20/2024 | 1.000 | % | 0.415 | % | $ | 10,800,000 | Quarterly | 315,042 | 331,370 | (16,328 | ) | ||||||||||||||||||
Ford Motor Co. 4.346%, 12/08/2026 | 12/20/2024 | 5.000 | % | 2.187 | % | 9,800,000 | Quarterly | 1,274,567 | 1,456,540 | (181,973 | ) | |||||||||||||||||||
General Electric Co. 2.700%, 10/09/2022 | 12/20/2024 | 1.000 | % | 1.303 | % | 11,300,000 | Quarterly | (164,559 | ) | (147,417 | ) | (17,142 | ) | |||||||||||||||||
General Mills, Inc. 3.150%, 12/15/2021 | 12/20/2024 | 1.000 | % | 0.424 | % | 10,900,000 | Quarterly | 313,193 | 358,499 | (45,306 | ) | |||||||||||||||||||
General Motors Co. 4.875%, 10/02/2023 | 12/20/2024 | 5.000 | % | 1.378 | % | 9,450,000 | Quarterly | 1,637,938 | 1,756,597 | (118,659 | ) | |||||||||||||||||||
Hertz Corp. (The) 5.500%, 10/15/2024 | 12/20/2024 | 5.000 | % | 3.508 | % | 6,700,000 | Quarterly | 437,391 | 439,294 | (1,903 | ) | |||||||||||||||||||
Hess Corp. 3.500%, 07/15/2024 | 12/20/2024 | 1.000 | % | 1.344 | % | 11,400,000 | Quarterly | (188,160 | ) | (172,221 | ) | (15,939 | ) | |||||||||||||||||
International Lease Finance Corp. 8.250%, 12/15/2020 | 12/20/2024 | 5.000 | % | 0.756 | % | 4,850,000 | Quarterly | 1,011,672 | 1,031,758 | (20,086 | ) | |||||||||||||||||||
ITV Plc 2.125%, 09/21/2022 | 12/20/2024 | 5.000 | % | 1.329 | % | EUR | 8,600,000 | Quarterly | 1,741,544 | 1,762,730 | (21,186 | ) | ||||||||||||||||||
KB Home 7.000%, 12/15/2021 | 12/20/2024 | 5.000 | % | 1.395 | % | $ | 9,500,000 | Quarterly | 1,637,564 | 1,686,878 | (49,314 | ) | ||||||||||||||||||
Kinder Morgan, Inc. 3.050%, 12/01/2019 | 12/20/2024 | 1.000 | % | 0.744 | % | 11,100,000 | Quarterly | 139,566 | 166,001 | (26,435 | ) | |||||||||||||||||||
Koninklijke KPN N.V. 5.625%, 09/30/2024 | 12/20/2024 | 1.000 | % | 0.868 | % | EUR | 10,150,000 | Quarterly | 75,511 | 17,532 | 57,979 | |||||||||||||||||||
LafargeHolcim Ltd. 3.000%, 11/22/2022 | 12/20/2024 | 1.000 | % | 0.713 | % | 10,000,000 | Quarterly | 162,792 | 194,863 | (32,071 | ) |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF SWAPS at September 30, 2019(Unaudited) (Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2019 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||
Lennar Corp. 4.750%, 04/01/2021 | 12/20/2024 | 5.000 | % | 0.941 | % | $ | 9,300,000 | Quarterly | $ | 1,840,305 | $ | 1,907,856 | $ | (67,551 | ) | |||||||||||||
MBIA, Inc. 6.625%, 10/01/2028 | 12/20/2024 | 5.000 | % | 1.663 | % | 9,700,000 | Quarterly | 1,530,134 | 1,541,344 | (11,210 | ) | |||||||||||||||||
MDC Holdings, Inc. 5.625%, 02/01/2020 | 12/20/2024 | 1.000 | % | 0.895 | % | 11,150,000 | Quarterly | 57,191 | 97,875 | (40,684 | ) | |||||||||||||||||
Mediobanca Banca di Credito Finanziario SpA 0.750%, 02/17/2020 | 12/20/2024 | 1.000 | % | 1.026 | % | EUR | 10,150,000 | Quarterly | (14,706 | ) | (10,114 | ) | (4,592 | ) | ||||||||||||||
MetLife, Inc. 3.600%, 11/13/2025 | 12/20/2024 | 1.000 | % | 0.725 | % | $ | 11,150,000 | Quarterly | 150,892 | 171,630 | (20,738 | ) | ||||||||||||||||
MGIC Investment Corp. 5.750%, 08/15/2023 | 12/20/2024 | 5.000 | % | 0.941 | % | 3,450,000 | Quarterly | 682,793 | 682,016 | 777 | ||||||||||||||||||
MGM Resorts International 6.750%, 10/01/2020 | 12/20/2024 | 5.000 | % | 1.107 | % | 9,500,000 | Quarterly | 1,790,648 | 1,724,443 | 66,205 | ||||||||||||||||||
Mondelez International, Inc. 4.000%, 02/01/2024 | 12/20/2024 | 1.000 | % | 0.443 | % | 10,900,000 | Quarterly | 302,608 | 369,368 | (66,760 | ) | |||||||||||||||||
Motorola Solutions, Inc. 7.500%, 05/15/2025 | 12/20/2024 | 1.000 | % | 0.688 | % | 11,050,000 | Quarterly | 170,132 | 217,904 | (47,772 | ) | |||||||||||||||||
Nabors Industries, Inc. 5.500%, 01/15/2023 | 12/20/2024 | 1.000 | % | 11.262 | % | 3,750,000 | Quarterly | (1,246,648 | ) | (982,250 | ) | (264,398 | ) | |||||||||||||||
National Grid Plc 4.375%, 03/10/2020 | 12/20/2024 | 1.000 | % | 0.564 | % | EUR | 9,900,000 | Quarterly | 246,249 | 257,856 | (11,607 | ) | ||||||||||||||||
Navient Corp. 5.500%, 01/25/2023 | 12/20/2024 | 5.000 | % | 3.354 | % | $ | 5,100,000 | Quarterly | 369,799 | 596,812 | (227,013 | ) | ||||||||||||||||
Newell Brands, Inc. 3.850%, 04/01/2023 | 12/20/2024 | 1.000 | % | 1.228 | % | 4,750,000 | Quarterly | (52,209 | ) | (54,948 | ) | 2,739 | ||||||||||||||||
Next Group Plc 5.375%, 10/26/2021 | 12/20/2024 | 1.000 | % | 1.148 | % | EUR | 10,300,000 | Quarterly | (84,886 | ) | (67,742 | ) | (17,144 | ) | ||||||||||||||
Peugeot S.A. 2.375%, 04/14/2023 | 12/20/2024 | 5.000 | % | 1.008 | % | 8,400,000 | Quarterly | 1,875,751 | 1,892,581 | (16,830 | ) | |||||||||||||||||
PulteGroup, Inc. 7.875%, 06/15/2032 | 12/20/2024 | 5.000 | % | 0.903 | % | $ | 9,300,000 | Quarterly | 1,861,093 | 1,851,329 | 9,764 | |||||||||||||||||
Radian Group, Inc. 4.500%, 10/01/2024 | 12/20/2024 | 5.000 | % | 1.162 | % | 9,400,000 | Quarterly | 1,742,456 | 1,729,115 | 13,341 | ||||||||||||||||||
Sherwin-Williams Co. (The) 7.375%, 02/01/2027 | 12/20/2024 | 1.000 | % | 0.720 | % | 11,100,000 | Quarterly | 152,983 | 161,014 | (8,031 | ) | |||||||||||||||||
Springleaf Finance Corp. 7.750%, 10/01/2021 | 12/20/2024 | 5.000 | % | 1.854 | % | 9,650,000 | Quarterly | 1,423,795 | 1,559,020 | (135,225 | ) | |||||||||||||||||
SSE Plc 5.875%, 09/22/2022 | 12/20/2024 | 1.000 | % | 0.713 | % | EUR | 10,000,000 | Quarterly | 162,857 | 182,845 | (19,988 | ) | ||||||||||||||||
Sudzucker International Finance B.V. 1.250%, 11/29/2023 | 12/20/2024 | 1.000 | % | 1.132 | % | 10,150,000 | Quarterly | (74,217 | ) | 11,098 | (85,315 | ) | ||||||||||||||||
Telecom Italia SpA 3.625%, 01/19/2024 | 12/20/2024 | 1.000 | % | 1.710 | % | 10,550,000 | Quarterly | (406,554 | ) | (466,332 | ) | 59,778 | ||||||||||||||||
Telefonica Emisiones S.A. 1.528%, 01/17/2025 | 12/20/2024 | 1.000 | % | 0.767 | % | 10,100,000 | Quarterly | 133,247 | 135,069 | (1,822 | ) | |||||||||||||||||
Tesco Plc 6.125%, 02/24/2022 | 12/20/2024 | 1.000 | % | 1.152 | % | 10,250,000 | Quarterly | (86,272 | ) | (77,619 | ) | (8,653 | ) | |||||||||||||||
Toll Brothers Finance Corp. 4.375%, 04/15/2023 | 12/20/2024 | 1.000 | % | 0.903 | % | $ | 11,100,000 | Quarterly | 52,854 | 82,520 | (29,666 | ) |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF SWAPS at September 30, 2019(Unaudited) (Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2019 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||||
Transocean, Inc. 5.800%, 10/15/2022 | 12/20/2024 | 1.000 | % | 9.925 | % | $ | 1,450,000 | Quarterly | $ | (440,353 | ) | $ | (344,375 | ) | $ | (95,978 | ) | |||||||||||||
Tyson Foods, Inc. 4.500%, 06/15/2022 | 12/20/2024 | 1.000 | % | 0.477 | % | 8,600,000 | Quarterly | 223,924 | 272,158 | (48,234 | ) | |||||||||||||||||||
United Utilities Plc 6.875%, 08/15/2028 | 12/20/2024 | 1.000 | % | 0.690 | % | EUR | 4,850,000 | Quarterly | 85,296 | 104,170 | (18,874 | ) | ||||||||||||||||||
Verizon Communications, Inc. 4.125%, 03/16/2027 | 12/20/2024 | 1.000 | % | 0.539 | % | $ | 11,000,000 | Quarterly | 251,724 | 264,203 | (12,479 | ) | ||||||||||||||||||
Vodafone Group Plc 1.000%, 09/11/2020 | 12/20/2024 | 1.000 | % | 0.671 | % | EUR | 10,000,000 | Quarterly | 186,560 | 214,728 | (28,168 | ) | ||||||||||||||||||
Volkswagen International Finance N.V. 0.500%, 03/30/2021 | 12/20/2024 | 1.000 | % | 0.930 | % | 10,600,000 | Quarterly | 41,591 | 83,985 | (42,394 | ) | |||||||||||||||||||
Whirlpool Corp. 4.850%, 06/15/2021 | 12/20/2024 | 1.000 | % | 0.960 | % | $ | 11,250,000 | Quarterly | 22,010 | 8,340 | 13,670 | |||||||||||||||||||
Xerox Corp. 2.750%, 09/01/2020 | 12/20/2024 | 1.000 | % | 1.973 | % | 11,700,000 | Quarterly | (531,285 | ) | (520,109 | ) | (11,176 | ) | |||||||||||||||||
Yum! Brands, Inc. 3.875%, 11/01/2020 | 12/20/2024 | 1.000 | % | 0.675 | % | 11,150,000 | Quarterly | 178,717 | 148,795 | 29,922 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Sell Protection |
| $ | 31,466,888 | $ | 33,910,273 | $ | (2,443,385 | ) | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total | $ | 762,048 | $ | 4,457,166 | $ | (3,695,118 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
(1) | For centrally cleared swaps, when a credit event occurs as defined under the terms of the swap contract, the Fund as a seller of credit protection will either (i) pay a net amount equal to the par value of the defaulted reference entity and deliver the reference entity or (ii) pay a net amount equal to the par value of the defaulted reference entity less its recovery value. |
(2) | For centrally cleared swaps, implied credit spread, represented in absolute terms, utilized in determining the fair value of the credit default swap contracts as of period will serve as an indicator of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/ selling protection and may include upfront payments required to be made to enter into the contract. Generally, wider credit spreads represent a perceived deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap contract. |
(3) | For centrally cleared swaps, the notional amount represents the maximum potential the Fund may receive as a buyer of credit protection if a credit event occurs, as defined under the terms of the swap contract, for each security included in the CDX North America High Yield Index Series 32, CDX North America High Yield Index Series 33, CDX North America Investment Grade Index Series 31, and CDX North America Investment Grade Series 33. |
(4) | Notional amounts are denominated in foreign currency where indicated. |
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
Description | Maturity Date | Counterparty | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2019 | Notional Amount(1) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | |||||||||||||||||||||||||
Buy Protection | ||||||||||||||||||||||||||||||||||
Enel SpA 5.250%, 05/20/2024 | 6/20/2023 | Bank of America N.A. | (1.000 | %) | 0.440 | % | EUR | (2,000,000) | Quarterly | $ | (46,141 | ) | $ | (1,095 | ) | $ | (45,046 | ) | ||||||||||||||||
Realogy Group LLC / Realogy Co-Issuer Corp. 4.875%, 06/01/2023 | 12/20/2024 | JPMorgan Chase Bank N.A. | (5.000 | %) | 9.221 | % | $ | (4,000,000 | ) | Quarterly | 589,873 | 555,000 | 34,873 | |||||||||||||||||||||
Whiting Petroleum Corp. 6.250%, 04/01/2023 | 12/20/2024 | JPMorgan Chase Bank N.A. | (5.000 | %) | 11.895 | % | (4,850,000 | ) | Quarterly | 1,058,735 | 834,917 | 223,818 | ||||||||||||||||||||||
CDX North America Emerging Markets Index Series 32 1.000%, 12/20/2024 | 12/20/2024 | Morgan Stanley & Co. | (1.000 | %) | 2.115 | % | (7,000,000 | ) | Quarterly | 368,502 | 383,600 | (15,098 | ) |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF SWAPS at September 30, 2019(Unaudited) (Continued)
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS (Continued)
Description | Maturity Date | Counterparty | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2019 | Notional Amount(1) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | |||||||||||||||||||||||||
Enel SpA 5.250%, 05/20/2024 | 12/20/2023 | Morgan Stanley & Co. | (1.000 | %) | 0.508 | % | EUR | (1,660,000 | ) | Quarterly | (38,106 | ) | 11,424 | (49,530 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total Buy Protection | $ | 1,932,863 | $ | 1,783,846 | $ | 149,017 | ||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Sell Protection | ||||||||||||||||||||||||||||||||||
Altice Finco S.A. 9.000%, 06/15/2023 | 12/20/2024 | JPMorgan Chase Bank N.A. | 5.000 | % | 3.342 | % | EUR | 9,450,000 | Quarterly | $ | 793,207 | $ | 923,713 | $ | (130,506 | ) | ||||||||||||||||||
EDP Finance B.V. 1.875%, 09/29/2023 | 12/20/2024 | JPMorgan Chase Bank N.A. | 1.000 | % | 0.682 | % | 9,900,000 | Quarterly | 178,781 | 199,896 | (21,115 | ) | ||||||||||||||||||||||
Hapag-Lloyd AG 5.125%, 07/15/2024 | 12/20/2024 | JPMorgan Chase Bank N.A. | 5.000 | % | 4.296 | % | 4,850,000 | Quarterly | 166,071 | 398,102 | (232,031 | ) | ||||||||||||||||||||||
Intrum AB 3.125%, 07/15/2024 | 12/20/2024 | JPMorgan Chase Bank N.A. | 5.000 | % | 3.333 | % | 4,700,000 | Quarterly | 396,674 | 535,331 | (138,657 | ) | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total Sell Protection |
| $ | 1,534,733 | $ | 2,057,042 | $ | (522,309 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total | $ | 3,467,596 | $ | 3,840,888 | $ | (373,292 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
(1) | Notional amounts are denominated in foreign currency where indicated. |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS
Referenced Obligation | Maturity Date | Counterparty | Fund Pays/Receives Floating Rate | Floating Rate Index and Spread | Notional Amount | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid (Received) | Unrealized Apreciation | |||||||||||||||||||
New Media Investment Group USD | 8/31/2020 | Goldman Sachs & Co. | Receives | 1 Month USD LIBOR-3.510% | $ | 1,121,055 | Monthly | $ | — | $ | — | $ | — | |||||||||||||||
iBoxx USD Liquid High Yield Index USD | 12/20/2019 | JPMorgan Chase Bank N.A. | Receives | 3 Month USD LIBOR | 100,000,000 | Quarterly | 251,207 | — | 251,207 | |||||||||||||||||||
Abbvie, Inc. USD | 8/31/2020 | Morgan Stanley & Co. | Receives | 1 Month USD LIBOR- 0.400% | 7,247,540 | Monthly | — | — | — | |||||||||||||||||||
Bristol - Myers Squibb Co. USD | 8/31/2020 | Morgan Stanley & Co. | Receives | 1 Month USD LIBOR- 0.400% | 15,847,585 | Monthly | — | — | — | |||||||||||||||||||
Hillenbrand, Inc. USD | 8/31/2020 | Morgan Stanley & Co. | Receives | 1 Month USD LIBOR- 0.400% | 3,058,170 | Monthly | — | — | — | |||||||||||||||||||
Invesco QQQ Trust Series 1 USD | 8/31/2020 | Morgan Stanley & Co. | Receives | 1 Month USD LIBOR- 0.400% | 5,424,889 | Monthly | — | — | — | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total |
| $ | 251,207 | $ | — | $ | 251,207 | |||||||||||||||||||||
|
|
|
|
|
|
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF WRITTEN OPTIONS at September 30, 2019 (Unaudited)
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
COMMON STOCKS | ||||||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||
Abbvie, Inc. | Morgan Stanley & Co. | $ | 75.00 | 10/18/2019 | (7 | ) | $ | (53,004 | ) | $ | (1,253 | ) | $ | (684 | ) | $ | (569 | ) | ||||||||||||
Accenture Plc | Morgan Stanley & Co. | 200.00 | 10/18/2019 | (2 | ) | (38,470 | ) | (108 | ) | (461 | ) | 353 | ||||||||||||||||||
Amerisourcebergen Corp. | Morgan Stanley & Co. | 90.00 | 10/18/2019 | (13 | ) | (107,029 | ) | (228 | ) | (633 | ) | 405 | ||||||||||||||||||
Automatic Data Processing, Inc. | Morgan Stanley & Co. | 165.00 | 10/18/2019 | (9 | ) | (145,278 | ) | (1,350 | ) | (1,050 | ) | (300 | ) | |||||||||||||||||
Best Buy Co., Inc. | Morgan Stanley & Co. | 70.00 | 10/18/2019 | (1 | ) | (6,899 | ) | (145 | ) | (249 | ) | 104 | ||||||||||||||||||
Best Buy Co., Inc. | Morgan Stanley & Co. | 72.50 | 10/18/2019 | (13 | ) | (89,687 | ) | (741 | ) | (815 | ) | 74 | ||||||||||||||||||
Booz Allen Hamilton Holding Co. | Morgan Stanley & Co. | 75.00 | 10/18/2019 | (7 | ) | (49,714 | ) | (210 | ) | (166 | ) | (44 | ) | |||||||||||||||||
Booz Allen Hamilton Holding Co. | Morgan Stanley & Co. | 80.00 | 12/20/2019 | (7 | ) | (49,714 | ) | (490 | ) | (327 | ) | (163 | ) | |||||||||||||||||
Bristol-myers Squibb Co. | Morgan Stanley & Co. | 52.50 | 10/18/2019 | (10 | ) | (50,710 | ) | (240 | ) | (347 | ) | 107 | ||||||||||||||||||
Bristol-myers Squibb Co. | Morgan Stanley & Co. | 49.00 | 12/20/2019 | (10 | ) | (50,710 | ) | (3,300 | ) | (1,868 | ) | (1,432 | ) | |||||||||||||||||
Bristol-myers Squibb Co. | Morgan Stanley & Co. | 50.00 | 12/20/2019 | (10 | ) | (50,710 | ) | (2,560 | ) | (1,481 | ) | (1,079 | ) | |||||||||||||||||
Broadcom, Inc. | Morgan Stanley & Co. | 300.00 | 10/18/2019 | (1 | ) | (27,607 | ) | (50 | ) | (580 | ) | 530 | ||||||||||||||||||
Broadcom, Inc. | Morgan Stanley & Co. | 310.00 | 10/18/2019 | (3 | ) | (82,821 | ) | (45 | ) | (224 | ) | 179 | ||||||||||||||||||
Caterpillar, Inc. | Morgan Stanley & Co. | 125.00 | 10/18/2019 | (4 | ) | (50,524 | ) | (1,480 | ) | (821 | ) | (659 | ) | |||||||||||||||||
Caterpillar, Inc. | Morgan Stanley & Co. | 135.00 | 10/18/2019 | (4 | ) | (50,524 | ) | (124 | ) | (281 | ) | 157 | ||||||||||||||||||
CDW Corp. | Morgan Stanley & Co. | 130.00 | 10/18/2019 | (6 | ) | (73,944 | ) | (402 | ) | (250 | ) | (152 | ) | |||||||||||||||||
CDW Corp. | Morgan Stanley & Co. | 135.00 | 12/20/2019 | (6 | ) | (73,944 | ) | (1,485 | ) | (1,006 | ) | (479 | ) | |||||||||||||||||
Cisco Systems, Inc. | Morgan Stanley & Co. | 52.50 | 10/18/2019 | (11 | ) | (54,351 | ) | (88 | ) | (371 | ) | 283 | ||||||||||||||||||
Citigroup, Inc. | Morgan Stanley & Co. | 67.50 | 10/18/2019 | (7 | ) | (48,356 | ) | (1,967 | ) | (1,006 | ) | (961 | ) | |||||||||||||||||
Citigroup, Inc. | Morgan Stanley & Co. | 75.00 | 10/18/2019 | (7 | ) | (48,356 | ) | (77 | ) | (110 | ) | 33 | ||||||||||||||||||
Citigroup, Inc. | Morgan Stanley & Co. | 75.00 | 12/20/2019 | (7 | ) | (48,356 | ) | (679 | ) | (698 | ) | 19 | ||||||||||||||||||
Corecivic, Inc. | Morgan Stanley & Co. | 18.00 | 10/18/2019 | (43 | ) | (74,304 | ) | (860 | ) | (633 | ) | (227 | ) | |||||||||||||||||
Corecivic, Inc. | Morgan Stanley & Co. | 19.00 | 12/20/2019 | (42 | ) | (72,576 | ) | (2,310 | ) | (1,480 | ) | (830 | ) | |||||||||||||||||
Cummins, Inc. | Morgan Stanley & Co. | 170.00 | 10/18/2019 | (7 | ) | (113,869 | ) | (630 | ) | (642 | ) | 12 | ||||||||||||||||||
Cummins, Inc. | Morgan Stanley & Co. | 160.00 | 12/20/2019 | (2 | ) | (32,534 | ) | (1,900 | ) | (829 | ) | (1,071 | ) | |||||||||||||||||
Darden Restaurants, Inc. | Morgan Stanley & Co. | 130.00 | 10/18/2019 | (6 | ) | (70,932 | ) | (6 | ) | (1,810 | ) | 1,804 | ||||||||||||||||||
Darden Restaurants, Inc. | Morgan Stanley & Co. | 135.00 | 10/18/2019 | (6 | ) | (70,932 | ) | (15 | ) | (1,181 | ) | 1,166 | ||||||||||||||||||
Delta Air Lines, Inc. | Morgan Stanley & Co. | 62.50 | 10/18/2019 | (2 | ) | (11,520 | ) | (40 | ) | (213 | ) | 173 | ||||||||||||||||||
Delta Air Lines, Inc. | Morgan Stanley & Co. | 62.50 | 12/20/2019 | (1 | ) | (5,760 | ) | (92 | ) | (107 | ) | 15 | ||||||||||||||||||
Eaton Corp. Plc | Morgan Stanley & Co. | 87.50 | 10/18/2019 | (6 | ) | (49,890 | ) | (138 | ) | (899 | ) | 761 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF WRITTEN OPTIONS at September 30, 2019(Unaudited) (Continued)
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Eaton Corp. Plc | Morgan Stanley & Co. | $ | 90.00 | 10/18/2019 | (6 | ) | $ | (49,890 | ) | $ | (45 | ) | $ | (536 | ) | $ | 491 | |||||||||||
Eli Lilly & Co. | Morgan Stanley & Co. | 120.00 | 10/18/2019 | (3 | ) | (33,549 | ) | (60 | ) | (203 | ) | 143 | ||||||||||||||||
Enterprise Products Partners L.P. | Morgan Stanley & Co. | 30.00 | 10/18/2019 | (56 | ) | (160,048 | ) | (280 | ) | (880 | ) | 600 | ||||||||||||||||
Expedia Group, Inc. | Morgan Stanley & Co. | 140.00 | 10/18/2019 | (6 | ) | (80,646 | ) | (480 | ) | (364 | ) | (116 | ) | |||||||||||||||
Fidelity National Financial, Inc. | Morgan Stanley & Co. | 45.00 | 10/18/2019 | (11 | ) | (48,851 | ) | (572 | ) | (415 | ) | (157 | ) | |||||||||||||||
Fidelity National Financial, Inc. | Morgan Stanley & Co. | 46.00 | 12/20/2019 | (11 | ) | (48,851 | ) | (1,100 | ) | (822 | ) | (278 | ) | |||||||||||||||
Fidelity National Financial, Inc. | Morgan Stanley & Co. | 47.00 | 12/20/2019 | (11 | ) | (48,851 | ) | (688 | ) | (481 | ) | (207 | ) | |||||||||||||||
FirstEnergy Corp. | Morgan Stanley & Co. | 46.00 | 10/18/2019 | (10 | ) | (48,230 | ) | (2,250 | ) | (417 | ) | (1,833 | ) | |||||||||||||||
FirstEnergy Corp. | Morgan Stanley & Co. | 47.00 | 10/18/2019 | (10 | ) | (48,230 | ) | (1,650 | ) | (208 | ) | (1,442 | ) | |||||||||||||||
General Mills, Inc. | Morgan Stanley & Co. | 57.50 | 10/18/2019 | (11 | ) | (60,632 | ) | (121 | ) | (481 | ) | 360 | ||||||||||||||||
Home Depot, Inc. (The) | Goldman Sachs & Co. | 255.00 | 12/20/2019 | (48 | ) | (1,113,696 | ) | (7,392 | ) | (7,400 | ) | 8 | ||||||||||||||||
Home Depot, Inc. (The) | Morgan Stanley & Co. | 235.00 | 10/18/2019 | (2 | ) | (46,404 | ) | (478 | ) | (237 | ) | (241 | ) | |||||||||||||||
Home Depot, Inc. (The) | Morgan Stanley & Co. | 240.00 | 12/20/2019 | (2 | ) | (46,404 | ) | (1,104 | ) | (687 | ) | (417 | ) | |||||||||||||||
Honeywell International, Inc. | Morgan Stanley & Co. | 175.00 | 10/18/2019 | (6 | ) | (101,520 | ) | (594 | ) | (502 | ) | (92 | ) | |||||||||||||||
Honeywell International, Inc. | Morgan Stanley & Co. | 175.00 | 12/20/2019 | (3 | ) | (50,760 | ) | (906 | ) | (1,058 | ) | 152 | ||||||||||||||||
Illinois Tool Works, Inc. | Morgan Stanley & Co. | 170.00 | 12/20/2019 | (6 | ) | (93,894 | ) | (1,140 | ) | (783 | ) | (357 | ) | |||||||||||||||
Insperity, Inc. | Morgan Stanley & Co. | 105.00 | 10/18/2019 | (5 | ) | (49,310 | ) | (350 | ) | (494 | ) | 144 | ||||||||||||||||
Insperity, Inc. | Morgan Stanley & Co. | 110.00 | 12/20/2019 | (10 | ) | (98,620 | ) | (2,975 | ) | (3,017 | ) | 42 | ||||||||||||||||
Intel Corp. | Morgan Stanley & Co. | 49.00 | 10/18/2019 | (10 | ) | (51,530 | ) | (2,960 | ) | (1,255 | ) | (1,705 | ) | |||||||||||||||
Iron Mountain, Inc. | Morgan Stanley & Co. | 35.00 | 12/20/2019 | (50 | ) | (161,950 | ) | (2,500 | ) | (1,357 | ) | (1,143 | ) | |||||||||||||||
Johnson & Johnson | Morgan Stanley & Co. | 135.00 | 10/18/2019 | (8 | ) | (103,504 | ) | (344 | ) | (726 | ) | 382 | ||||||||||||||||
KLA Corp. | Morgan Stanley & Co. | 165.00 | 10/18/2019 | (5 | ) | (79,725 | ) | (800 | ) | (865 | ) | 65 | ||||||||||||||||
KLA Corp. | Morgan Stanley & Co. | 170.00 | 10/18/2019 | (5 | ) | (79,725 | ) | (350 | ) | (379 | ) | 29 | ||||||||||||||||
Leidos Holdings, Inc. | Morgan Stanley & Co. | 90.00 | 10/18/2019 | (9 | ) | (77,292 | ) | (225 | ) | (393 | ) | 168 | ||||||||||||||||
Logmein, Inc. | Goldman Sachs & Co. | 75.00 | 10/18/2019 | (126 | ) | (894,096 | ) | (8,820 | ) | (4,653 | ) | (4,167 | ) | |||||||||||||||
LPL Financial Holdings, Inc. | Morgan Stanley & Co. | 90.00 | 10/18/2019 | (9 | ) | (73,710 | ) | (112 | ) | (258 | ) | 146 | ||||||||||||||||
LPL Financial Holdings, Inc. | Morgan Stanley & Co. | 80.00 | 12/20/2019 | (1 | ) | (8,190 | ) | (640 | ) | (272 | ) | (368 | ) | |||||||||||||||
Lyondellbasell Industries N.V. | Morgan Stanley & Co. | 95.00 | 10/18/2019 | (12 | ) | (107,364 | ) | (528 | ) | (633 | ) | 105 | ||||||||||||||||
Lyondellbasell Industries N.V. | Morgan Stanley & Co. | 80.00 | 12/20/2019 | (6 | ) | (53,682 | ) | (6,930 | ) | (1,504 | ) | (5,426 | ) | |||||||||||||||
Mastercard, Inc. | Morgan Stanley & Co. | 290.00 | 10/18/2019 | (3 | ) | (81,471 | ) | (123 | ) | (260 | ) | 137 | ||||||||||||||||
Mastercard, Inc. | Morgan Stanley & Co. | 295.00 | 10/18/2019 | (1 | ) | (27,157 | ) | (20 | ) | (367 | ) | 347 | ||||||||||||||||
Mcdonald’s Corp. | Morgan Stanley & Co. | 220.00 | 12/20/2019 | (3 | ) | (64,413 | ) | (1,350 | ) | (1,046 | ) | (304 | ) | |||||||||||||||
Mckesson Corp. | Morgan Stanley & Co. | 155.00 | 10/18/2019 | (10 | ) | (136,660 | ) | (150 | ) | (387 | ) | 237 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF WRITTEN OPTIONS at September 30, 2019(Unaudited) (Continued)
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Merck & Co., Inc. | Morgan Stanley & Co. | $ | 87.50 | 10/18/2019 | (12 | ) | $ | (101,016 | ) | $ | (384 | ) | $ | (633 | ) | $ | 249 | |||||||||||
Metlife, Inc. | Morgan Stanley & Co. | 50.00 | 12/20/2019 | (26 | ) | (122,616 | ) | (2,106 | ) | (2,263 | ) | 157 | ||||||||||||||||
Microsoft Corp. | Morgan Stanley & Co. | 145.00 | 10/18/2019 | (7 | ) | (97,321 | ) | (357 | ) | (959 | ) | 602 | ||||||||||||||||
Nexstar Media Group, Inc. | Morgan Stanley & Co. | 110.00 | 10/18/2019 | (10 | ) | (102,310 | ) | (950 | ) | (2,517 | ) | 1,567 | ||||||||||||||||
Omnicom Group, Inc. | Morgan Stanley & Co. | 80.00 | 10/18/2019 | (6 | ) | (46,980 | ) | (696 | ) | (910 | ) | 214 | ||||||||||||||||
Omnicom Group, Inc. | Morgan Stanley & Co. | 82.50 | 10/18/2019 | (7 | ) | (54,810 | ) | (245 | ) | (271 | ) | 26 | ||||||||||||||||
Omnicom Group, Inc. | Morgan Stanley & Co. | 85.00 | 10/18/2019 | (6 | ) | (46,980 | ) | (60 | ) | (733 | ) | 673 | ||||||||||||||||
Oracle Corp. | Morgan Stanley & Co. | 55.00 | 10/18/2019 | (9 | ) | (49,527 | ) | (837 | ) | (330 | ) | (507 | ) | |||||||||||||||
Oracle Corp. | Morgan Stanley & Co. | 57.50 | 12/20/2019 | (19 | ) | (104,557 | ) | (2,394 | ) | (1,344 | ) | (1,050 | ) | |||||||||||||||
Paccar, Inc. | Morgan Stanley & Co. | 75.00 | 12/20/2019 | (11 | ) | (77,011 | ) | (1,485 | ) | (1,680 | ) | 195 | ||||||||||||||||
Paychex, Inc. | Morgan Stanley & Co. | 85.00 | 10/18/2019 | (6 | ) | (49,662 | ) | (528 | ) | (510 | ) | (18 | ) | |||||||||||||||
Paychex, Inc. | Morgan Stanley & Co. | 87.50 | 12/20/2019 | (6 | ) | (49,662 | ) | (660 | ) | (946 | ) | 286 | ||||||||||||||||
Philip Morris International, Inc. | Morgan Stanley & Co. | 77.50 | 10/18/2019 | (23 | ) | (174,639 | ) | (2,783 | ) | (1,094 | ) | (1,689 | ) | |||||||||||||||
Progressive Corp. (The) | Morgan Stanley & Co. | 80.00 | 10/18/2019 | (10 | ) | (77,250 | ) | (650 | ) | (387 | ) | (263 | ) | |||||||||||||||
Prudential Financial, Inc. | Morgan Stanley & Co. | 95.00 | 10/18/2019 | (10 | ) | (89,950 | ) | (300 | ) | (343 | ) | 43 | ||||||||||||||||
Prudential Financial, Inc. | Morgan Stanley & Co. | 97.50 | 12/20/2019 | (5 | ) | (44,975 | ) | (675 | ) | (642 | ) | (33 | ) | |||||||||||||||
Sinclair Broadcast Group, Inc. | Morgan Stanley & Co. | 48.00 | 10/18/2019 | (24 | ) | (102,576 | ) | (960 | ) | (1,643 | ) | 683 | ||||||||||||||||
Synchrony Financial | Morgan Stanley & Co. | 36.00 | 12/20/2019 | (16 | ) | (54,544 | ) | (1,264 | ) | (1,275 | ) | 11 | ||||||||||||||||
Synchrony Financial | Morgan Stanley & Co. | 37.00 | 12/20/2019 | (32 | ) | (109,088 | ) | (1,600 | ) | (1,591 | ) | (9 | ) | |||||||||||||||
Target Corp. | Morgan Stanley & Co. | 95.00 | 10/18/2019 | (5 | ) | (53,455 | ) | (6,050 | ) | (759 | ) | (5,291 | ) | |||||||||||||||
Target Corp. | Morgan Stanley & Co. | 115.00 | 10/18/2019 | (10 | ) | (106,910 | ) | (160 | ) | (777 | ) | 617 | ||||||||||||||||
Texas Instruments, Inc. | Morgan Stanley & Co. | 135.00 | 10/18/2019 | (1 | ) | (12,924 | ) | (62 | ) | (51 | ) | (11 | ) | |||||||||||||||
Unitedhealth Group, Inc. | Morgan Stanley & Co. | 250.00 | 10/18/2019 | (2 | ) | (43,464 | ) | (26 | ) | (155 | ) | 129 | ||||||||||||||||
Unitedhealth Group, Inc. | Morgan Stanley & Co. | 260.00 | 10/18/2019 | (2 | ) | (43,464 | ) | (6 | ) | (609 | ) | 603 | ||||||||||||||||
Unitedhealth Group, Inc. | Morgan Stanley & Co. | 250.00 | 12/20/2019 | (2 | ) | (43,464 | ) | (290 | ) | (733 | ) | 443 | ||||||||||||||||
Verizon Communications, Inc. | Morgan Stanley & Co. | 60.00 | 10/18/2019 | (17 | ) | (102,612 | ) | (1,411 | ) | (811 | ) | (600 | ) | |||||||||||||||
Visa, Inc. | Morgan Stanley & Co. | 185.00 | 10/18/2019 | (2 | ) | (34,402 | ) | (42 | ) | (82 | ) | 40 | ||||||||||||||||
Visa, Inc. | Morgan Stanley & Co. | 190.00 | 10/18/2019 | (3 | ) | (51,603 | ) | (15 | ) | (685 | ) | 670 | ||||||||||||||||
Walgreens Boots Alliance, Inc. | Morgan Stanley & Co. | 57.50 | 10/18/2019 | (18 | ) | (99,558 | ) | (612 | ) | (1,183 | ) | 571 | ||||||||||||||||
Walgreens Boots Alliance, Inc. | Morgan Stanley & Co. | 60.00 | 10/18/2019 | (9 | ) | (49,779 | ) | (72 | ) | (431 | ) | 359 | ||||||||||||||||
Waste Management, Inc. | Morgan Stanley & Co. | 120.00 | 10/18/2019 | (6 | ) | (69,000 | ) | (150 | ) | (233 | ) | 83 |
Litman Gregory Masters Alternative Strategies Fund
SCHEDULE OF WRITTEN OPTIONS at September 30, 2019(Unaudited) (Continued)
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||
Logmein, Inc. | Goldman Sachs & Co. | $ | 65.00 | 10/18/2019 | (126 | ) | $ | (894,096 | ) | $ | (5,418 | ) | $ | (11,228 | ) | $ | 5,810 | |||||||||||||
Nielsen Holdings Plc | Goldman Sachs & Co. | 20.00 | 11/15/2019 | (261 | ) | (554,625 | ) | (15,660 | ) | (19,224 | ) | 3,564 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total | (119,958 | ) | (111,594 | ) | (8,364 | ) | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
EXCHANGE-TRADED FUNDS | ||||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||
Invesco QQQ Trust Series 1 | Goldman Sachs & Co. | 184.00 | 10/18/2019 | (25 | ) | (472,025 | ) | (3,750 | ) | (4,529 | ) | 779 | ||||||||||||||||||
Invesco QQQ Trust Series 1 | Goldman Sachs & Co. | 185.00 | 10/18/2019 | (29 | ) | (547,549 | ) | (4,814 | ) | (5,137 | ) | 323 | ||||||||||||||||||
iShares Russell 2000 ETF | Goldman Sachs & Co. | 135.00 | 12/20/2019 | (389 | ) | (5,887,126 | ) | (57,572 | ) | (136,380 | ) | 78,808 | ||||||||||||||||||
iShares Russell 2000 ETF | Goldman Sachs & Co. | 137.00 | 12/20/2019 | (389 | ) | (5,887,126 | ) | (72,743 | ) | (101,349 | ) | 28,606 | ||||||||||||||||||
iShares Russell 2000 ETF | Goldman Sachs & Co. | 139.00 | 12/20/2019 | (378 | ) | (5,720,652 | ) | (75,978 | ) | (88,525 | ) | 12,547 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total | (214,857 | ) | (335,920 | ) | 121,063 | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Written Options |
| $ | (334,815 | ) | $ | (447,514 | ) | $ | 112,699 | |||||||||||||||||||||
|
|
|
|
|
|
Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)
Shares | Value | |||||||
COMMON STOCKS: 10.3% | ||||||||
Energy: 1.9% | ||||||||
10,300 | CNX Midstream Partners L.P. | $ | 145,230 | |||||
15,100 | Enable Midstream Partners L.P. | 181,653 | ||||||
16,100 | Energy Transfer L.P. | 210,588 | ||||||
7,306 | EnLink Midstream LLC | 62,101 | ||||||
12,957 | Enterprise Products Partners L.P. | 370,311 | ||||||
3,537 | Magellan Midstream Partners L.P. | 234,397 | ||||||
5,298 | MPLX L.P. | 148,397 | ||||||
9,088 | Plains All American Pipeline L.P. | 188,576 | ||||||
3,956 | Western Midstream Partners L.P. | 98,465 | ||||||
5,807 | Williams Cos., Inc. (The) | 139,716 | ||||||
|
| |||||||
1,779,434 | ||||||||
|
| |||||||
Financials: 8.4% | ||||||||
23,100 | AGNC Investment Corp. | 371,679 | ||||||
23,668 | Alcentra Capital Corp. | 210,409 | ||||||
21,617 | Apollo Investment Corp. | 347,818 | ||||||
60,984 | Ares Capital Corp. | 1,136,437 | ||||||
49,200 | Barings BDC, Inc. | 499,380 | ||||||
58,290 | BlackRock Capital Investment Corp. | 292,033 | ||||||
11,300 | Ellington Financial, Inc. | 204,191 | ||||||
27,078 | Ellington Residential Mortgage REIT | 285,402 | ||||||
375 | Exantas Capital Corp. | 4,264 | ||||||
125,982 | FS KKR Capital Corp. | 734,475 | ||||||
15,000 | Granite Point Mortgage Trust, Inc. | 281,100 | ||||||
13,750 | KKR Real Estate Finance Trust, Inc. | 268,537 | ||||||
26,322 | New Residential Investment Corp. | 412,729 | ||||||
1,304 | Oaktree Specialty Lending Corp. | 6,755 | ||||||
46,401 | Oaktree Strategic Income Corp. | 382,808 | ||||||
17,768 | PennantPark Investment Corp. | 111,405 | ||||||
12,119 | Ready Capital Corp. | 192,934 | ||||||
16,450 | Redwood Trust, Inc. | 269,944 | ||||||
11,047 | Solar Capital Ltd. | 228,121 | ||||||
26,575 | TCG BDC, Inc. | 382,680 | ||||||
20,655 | TPG RE Finance Trust, Inc. | 409,795 | ||||||
23,437 | Two Harbors Investment Corp. | 307,728 | ||||||
29,132 | WhiteHorse Finance, Inc. | 405,809 | ||||||
|
| |||||||
7,746,433 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | 9,525,867 | ||||||
|
| |||||||
PREFERRED STOCKS: 1.8% | ||||||||
Energy: 0.1% | ||||||||
NuStar Energy L.P. - Series B |
| |||||||
3,000 | 7.625%, 06/15/2022(a)(b) | 63,300 | ||||||
|
| |||||||
Financials: 1.7% | ||||||||
AG Mortgage Investment Trust, Inc. - Series C |
| |||||||
2,350 | 8.000%, 09/17/2024(a)(b) | 60,513 | ||||||
AGNC Investment Corp. - Series B |
| |||||||
4,700 | 0.000%, 10/30/2019 | 117,735 |
Shares | Value | |||||||
Financials (continued) | ||||||||
AGNC Investment Corp. - Series B |
| |||||||
5,975 | 7.750%, 10/30/2019(b) | $ | 152,303 | |||||
AmTrust Financial Services, Inc. - Series B |
| |||||||
50 | 7.250%, 10/30/2019(b) | 845 | ||||||
AmTrust Financial Services, Inc. - Series C |
| |||||||
23 | 7.625%, 10/30/2019(b) | 369 | ||||||
AmTrust Financial Services, Inc. - Series D |
| |||||||
205 | 7.500%, 03/19/2020(b) | 3,434 | ||||||
AmTrust Financial Services, Inc. - Series E |
| |||||||
122 | 7.750%, 03/15/2021(b) | 2,026 | ||||||
Annaly Capital Management, Inc. - Series F |
| |||||||
5,950 | 6.950%, 09/30/2022(a)(b) | 153,212 | ||||||
Annaly Capital Management, Inc. - Series G |
| |||||||
5,950 | 6.500%, 03/31/2023(a)(b) | 148,988 | ||||||
Chimera Investment Corp. - Series C |
| |||||||
7,570 | 7.750%, 09/30/2025(a)(b) | 190,613 | ||||||
Chimera Investment Corp. - Series D |
| |||||||
4,000 | 8.000%, 03/30/2024(a)(b) | 103,760 | ||||||
Dynex Capital, Inc. - Series A |
| |||||||
1,800 | 8.500%, 10/30/2019(b) | 45,990 | ||||||
New Residential Investment Corp. - Series A |
| |||||||
7,775 | 7.500%, 08/15/2024(a)(b) | 204,560 | ||||||
New Residential Investment Corp. - Series B |
| |||||||
8,200 | 7.125%, 08/15/2024(a)(b) | 207,624 | ||||||
Two Harbors Investment Corp. - Series B |
| |||||||
4,475 | 7.625%, 06/15/2022(a)(b) | 118,408 | ||||||
Two Harbors Investment Corp. - Series C |
| |||||||
3,000 | 7.250%, 01/27/2025(a)(b) | 77,760 | ||||||
Two Harbors Investment Corp. - Series D |
| |||||||
1,550 | 7.750%, 10/30/2019(b) | 39,231 | ||||||
|
| |||||||
1,627,371 | ||||||||
|
| |||||||
| TOTAL PREFERRED STOCKS | 1,690,671 | ||||||
|
| |||||||
Principal Amount^ | ||||||||
ASSET-BACKED SECURITIES: 23.3% | ||||||||
Aaset Trust |
| |||||||
$ 242,425 | Series 2019-1-B 4.948%, 05/15/2039(c) | 243,116 | ||||||
AASET US Ltd. |
| |||||||
231,061 | Series 2018-2A-A 4.454%, 11/18/2038(c) | 237,225 | ||||||
ACC Trust |
| |||||||
191,856 | Series 2019-1-A 3.750%, 05/20/2022(c) | 193,590 | ||||||
Adams Outdoor Advertising L.P. |
| |||||||
395,228 | Series 2018-1-A 4.810%, 11/15/2048(c) | 410,786 | ||||||
AIM Aviation Finance Ltd. |
| |||||||
170,669 | Series 2015-1A-A1 4.213%, 02/15/2040(c)(d) | 172,720 |
Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
$ 170,048 | Series 2015-1A-B1 5.072%, 02/15/2040(c)(d) | $ | 171,704 | |||||
American Express Credit Account Master Trust |
| |||||||
500,000 | Series 2018-1-A 2.670%, 10/17/2022 | 501,311 | ||||||
Applebee’s Funding LLC/HOP Funding LLC |
| |||||||
150,000 | Series 2019-1A-A2I 4.194%, 06/07/2049(c) | 153,617 | ||||||
Avis Budget Rental Car Funding AESOP LLC |
| |||||||
100,000 | Series 2015-1A-A 2.500%, 07/20/2021(c) | 100,089 | ||||||
AXIS Equipment Finance Receivables VI LLC |
| |||||||
199,724 | Series 2018-2A-A2 3.890%, 07/20/2022(c) | 202,474 | ||||||
Bain Capital Credit CLO Ltd. |
| |||||||
500,000 | Series 2016-2A-CR 4.674%, 01/15/2029(c)(e) 3 mo. USD LIBOR + 2.550% | 501,226 | ||||||
Capital Automotive LLC |
| |||||||
331,914 | Series 2017-1A-A1 3.870%, 04/15/2047(c) | 335,272 | ||||||
Carmax Auto Owner Trust |
| |||||||
160,612 | Series 2019-3-A1 2.257%, 08/17/2020 | 160,604 | ||||||
Castlelake Aircraft Securitization Trust |
| |||||||
382,877 | Series 2017-1A 3.967%, 07/15/2042 | 388,514 | ||||||
CFG Investments Ltd. |
| |||||||
400,000 | Series 2019-1-B 7.620%, 08/15/2029(c) | 402,709 | ||||||
Citibank Credit Card Issuance Trust |
| |||||||
600,000 | Series 2017-A3-A3 1.920%, 04/07/2022 | 599,635 | ||||||
Colombia Cent CLO 27 Ltd. |
| |||||||
333,333 | Series 2018-27A-X 2.976%, 10/25/2028(c)(e) 3 mo. USD LIBOR + 0.700% | 333,341 | ||||||
Drug Royalty III L.P. |
| |||||||
414,005 | Series 2018-1A-A1 3.903%, 10/15/2031(c)(e) 3 mo. USD LIBOR + 1.600% | 413,623 | ||||||
Elm Trust |
| |||||||
300,000 | Series 2018-2A-A2 4.605%, 10/20/2027(c) | 305,215 | ||||||
100,000 | Series 2018-2A-B 5.584%, 10/20/2027(c) | 101,835 | ||||||
Falcon Aerospace Ltd. |
| |||||||
490,305 | Series 2017-1-B 6.300%, 02/15/2042(c) | 507,230 | ||||||
Finance of America Structured Securities Trust |
| |||||||
370,000 | Series 2018-HB1-M1 3.774%, 09/25/2028(a)(c) | 374,543 | ||||||
FREED ABS Trust |
| |||||||
400,000 | Series 2018-2-B 4.610%, 10/20/2025(c) | 411,152 |
Principal | Value | |||||||
Global SC Finance II SRL |
| |||||||
$ 290,000 | Series 2014-1A-A1 3.190%, 07/17/2029(c) | $ | 290,140 | |||||
Greywolf CLO III Ltd. |
| |||||||
250,000 | Series 2018-3RA-A2 3.928%, 10/22/2028(c)(e) 3 mo. USD LIBOR + 1.650% | 249,850 | ||||||
285,714 | Series 2018-3RA-X 2.928%, 10/22/2028(c)(e) 3 mo. USD LIBOR + 0.650% | 285,790 | ||||||
GSAMP Trust |
| |||||||
291,124 | Series 2007-NC1-A1 2.148%, 12/25/2046(e) 1 mo. USD LIBOR + 0.130% | 190,036 | ||||||
Hercules Capital Funding Trust |
| |||||||
400,000 | Series 2018-1A-A 4.605%, 11/22/2027(c) | 405,444 | ||||||
100,000 | Series 2019-1A-A 4.703%, 02/20/2028(c) | 101,690 | ||||||
Hull Street CLO Ltd. |
| |||||||
300,000 | Series 2014-1A-CR 5.000%, 10/18/2026(c)(e) 3 mo. USD LIBOR + 2.700% | 300,000 | ||||||
InSite Issuer LLC |
| |||||||
480,000 | Series 2018-1A-C 6.115%, 12/15/2048(c) | 509,136 | ||||||
KREF Ltd. |
| |||||||
400,000 | Series 2018-FL1-A 3.125%, 06/15/2036(c)(e) 1 mo. USD LIBOR + 1.100% | 401,372 | ||||||
Legacy Mortgage Asset Trust |
| |||||||
246,254 | Series 2019-GS5-A1 3.200%, 05/25/2059(c)(d) | 247,737 | ||||||
Marathon CLO V Ltd. |
| |||||||
500,000 | Series 2013-5A-A2R 3.602%, 11/21/2027(c)(e) 3 mo. USD LIBOR + 1.450% | 498,814 | ||||||
Marathon CRE Ltd. |
| |||||||
100,000 | Series 2018-FL1-C 4.628%, 06/15/2028(c)(e) 1 mo. USD LIBOR + 2.600% | 100,515 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust |
| |||||||
349,881 | Series 2006-HE8-A2D 2.238%, 10/25/2036(e) 1 mo. USD LIBOR + 0.220% | 226,431 | ||||||
407,729 | Series 2007-HE4-A2C 2.248%, 02/25/2037(e) 1 mo. USD LIBOR + 0.230% | 189,688 | ||||||
Morgan Stanley IXIS Real Estate Capital Trust |
| |||||||
420,612 | Series 2006-2-A4 2.238%, 11/25/2036(e) 1 mo. USD LIBOR + 0.220% | 214,977 | ||||||
Nassau CFO LLC |
| |||||||
250,000 | Series 2019-1-A 3.980%, 08/15/2034(c) | 248,750 | ||||||
Nationstar HECM Loan Trust |
| |||||||
460,000 | Series 2018-3A-M1 3.903%, 11/25/2028(a)(c) | 465,133 | ||||||
Neuberger Berman CLO XX Ltd. |
| |||||||
420,000 | Series 2015-20A-AR 3.103%, 01/15/2028(c)(e) 3 mo. USD LIBOR + 0.800% | 419,990 |
Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
New Residential Advance Receivables Trust |
| |||||||
$ 600,000 | Series 2019-T3-DT3 3.055%, 10/20/2052(c) | $ | 601,682 | |||||
NewStar Clarendon Fund CLO LLC |
| |||||||
250,000 | Series 2014-1A-BR 4.326%, 01/25/2027(c)(e) 3 mo. USD LIBOR + 2.050% | 250,007 | ||||||
300,000 | Series 2014-1A-CR 5.326%, 01/25/2027(c)(e) 3 mo. USD LIBOR + 3.050% | 300,006 | ||||||
Newtek Small Business Loan Trust |
| |||||||
190,332 | Series 2018-1-A 3.718%, 02/25/2044(c)(e) 1 mo. USD LIBOR + 1.700% | 190,095 | ||||||
86,514 | Series 2018-1-B 5.018%, 02/25/2044(c)(e) 1 mo. USD LIBOR + 3.000% | 86,426 | ||||||
NextGear Floorplan Master Owner Trust |
| |||||||
200,000 | Series 2018-2A-A2 3.690%, 10/15/2023(c) | 206,012 | ||||||
Ocwen Master Advance Receivables Trust |
| |||||||
100,000 | Series 2019-T1-BT1 2.662%, 08/15/2050(c) | 100,275 | ||||||
100,000 | Series 2019-T1-CT1 2.811%, 08/15/2050(c) | 100,276 | ||||||
100,000 | Series 2019-T1-DT1 3.107%, 08/15/2050(c) | 100,278 | ||||||
Oportun Funding X LLC |
| |||||||
400,000 | Series 2018-C-B 4.590%, 10/08/2024(c) | 410,007 | ||||||
Oxford Finance Funding LLC |
| |||||||
260,000 | Series 2019-1A-A2 4.459%, 02/15/2027(c) | 266,779 | ||||||
Palmer Square Loan Funding Ltd. |
| |||||||
413,914 | Series 2018-4A-A1 3.058%, 11/15/2026(c)(e) 3 mo. USD LIBOR + 0.900% | 414,018 | ||||||
215,000 | Series 2019-2A-B 4.773%, 04/20/2027(c)(e) 3 mo. USD LIBOR + 2.250% | 214,849 | ||||||
340,000 | Series 2019-3A-B 4.275%, 08/20/2027(c)(e) 1 mo. USD LIBOR + 2.100% | 340,135 | ||||||
Raspro Trust |
| |||||||
607,578 | Series 2005-1A-B 3.203%, 03/23/2024(c)(e) 3 mo. LIBOR + 0.925% | 599,595 | ||||||
Regatta VI Funding Ltd. |
| |||||||
500,000 | Series 2016-1A-AR 3.358%, 07/20/2028(c)(e) 3 mo. USD LIBOR + 1.080% | 500,205 | ||||||
Regional Management Issuance Trust |
| |||||||
480,000 | Series 2018-2-B 4.940%, 01/18/2028(c) | 494,661 | ||||||
RMF Buyout Issuance Trust |
| |||||||
460,000 | Series 2018-1-M1 3.912%, 11/25/2028(a)(c) | 466,500 |
Principal Amount^ | Value | |||||||
Saganaw Insurance Recievables LLC |
| |||||||
$ 186,511 | Series 2019-1A-A 5.125%, 12/01/2023(c) | $ | 187,950 | |||||
Sapphire Aviation Finance I Ltd. |
| |||||||
204,925 | Series 2018-1A-A 4.250%, 03/15/2040(c) | 210,028 | ||||||
Secured Tenant Site Contract Revenue Notes |
| |||||||
122,522 | Series 2018-1A-C 3.970%, 06/15/2048(c) | 125,725 | ||||||
SPS Servicer Advance Receivables Trust |
| |||||||
168,000 | Series 2018-T1-AT1 3.620%, 10/17/2050(c) | 170,317 | ||||||
Stack Infrastructure Issuer LLC |
| |||||||
457,317 | Series 2019-1A-A2 4.540%, 02/25/2044(c) | 479,872 | ||||||
Staniford Street CLO Ltd. |
| |||||||
324,311 | Series 2014-1A-AR 3.299%, 06/15/2025(c)(e) 3 mo. USD LIBOR + 1.180% | 324,618 | ||||||
STWD Ltd. |
| |||||||
150,000 | Series 2019-FL1-B 4.019%, 07/15/2038(c)(e) 1 mo. USD LIBOR + 1.600% | 150,739 | ||||||
THL Credit Wind River CLO Ltd. |
| |||||||
600,000 | Series 2012-1A-AR2 3.183%, 01/15/2026(c)(e) 3 mo. USD LIBOR + 0.880% | 600,037 | ||||||
TPG Real Estate Finance Issuer Ltd. |
| |||||||
470,000 | Series 2018-FL2-A 3.155%, 11/15/2037(c)(e) 1 mo. USD LIBOR + 1.130% | 471,204 | ||||||
Venture XIII CLO Ltd. |
| |||||||
250,000 | Series 2013-13A-SUB 0.000%, 09/10/2029(a)(c) | 112,608 | ||||||
Veros Automobile Receivables Trust |
| |||||||
143,804 | Series 2018-1-A 3.630%, 05/15/2023(c) | 144,206 | ||||||
Wachovia Asset Securitization Issuance II LLC Trust |
| |||||||
298,558 | Series 2007-HE2A-A 2.150%, 07/25/2037(c)(e) 1 mo. USD LIBOR + 0.130% | 286,428 | ||||||
Wingstop Funding LLC |
| |||||||
99,500 | Series 2018-1-A2 4.970%, 12/05/2048(c) | 103,451 | ||||||
|
| |||||||
| TOTAL ASSET-BACKED SECURITIES | 21,576,013 | ||||||
|
| |||||||
BANK LOANS: 15.6% | ||||||||
Accuride Corp. |
| |||||||
49,617 | 7.354%, 11/17/2023(e)(f) 3 mo. LIBOR + 5.250% | 41,958 | ||||||
Air Newco LLC |
| |||||||
100,000 | 0.000%, 09/19/2026(g) | 99,563 | ||||||
Altice France S.A. |
| |||||||
99,250 | 6.028%, 08/14/2026(e) 1 mo. LIBOR + 4.000% | 99,188 | ||||||
API Technologies Corp. |
| |||||||
99,750 | 6.294%, 05/09/2026(e) 1 mo. LIBOR + 4.250% | 97,256 |
Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
BANK LOANS (CONTINUED) | ||||||||
Arctic Glacier U.S.A., Inc. |
| |||||||
$ 100,000 | 5.544%, 03/20/2024(e) 1 mo. LIBOR + 3.500% | $ | 97,625 | |||||
Aria Energy Operating LLC |
| |||||||
297,915 | 6.544%, 05/27/2022(e) 1 mo. LIBOR + 4.500% | 298,009 | ||||||
Assetmark Financial Holdings, Inc. |
| |||||||
49,500 | 5.354%, 11/07/2025(e) 3 mo. LIBOR + 3.250% | 49,748 | ||||||
Avolon TLB Borrower 1 (US) LLC |
| |||||||
454,422 | 3.794%, 01/15/2025(e) 1 mo. LIBOR + 1.750% | 456,674 | ||||||
BCP Renaissance Parent LLC |
| |||||||
494,987 | 5.756%, 10/31/2024(e) 3 mo. LIBOR + 3.500% | 473,953 | ||||||
BCPE Empire Holdings, Inc. |
| |||||||
83,544 | 6.044%, 06/11/2026(e) 1 mo. LIBOR + 4.000% | 82,605 | ||||||
BWAY Holding Co. |
| |||||||
98,987 | 5.590%, 04/03/2024(e) 3 mo. LIBOR + 3.250% | 97,076 | ||||||
CD&R Hydra Buyer, Inc. |
| |||||||
99,746 | 6.294%, 12/11/2024(e) 1 mo. LIBOR + 4.250% | 97,814 | ||||||
CenturyLink, Inc. |
| |||||||
264,145 | 4.794%, 11/01/2022(e) 1 mo. LIBOR + 2.750% | 265,267 | ||||||
Cologix, Inc. |
| |||||||
100,000 | 5.794%, 03/20/2024(e)(f) 1 mo. LIBOR + 3.750% | 97,750 | ||||||
Comet Acquisition, Inc. |
| |||||||
99,250 | 5.624%, 10/24/2025(e) 3 mo. LIBOR + 3.500% | 98,258 | ||||||
CPM Holdings, Inc. |
| |||||||
99,250 | 5.794%, 11/15/2025(e) 1 mo. LIBOR + 3.750% | 98,133 | ||||||
Cvent, Inc. |
| |||||||
98,995 | 5.794%, 11/29/2024(e) 1 mo. LIBOR + 3.750% | 97,912 | ||||||
Diamond (BC) B.V. |
| |||||||
98,992 | 5.256%, 09/06/2024(e) 2 mo. LIBOR + 3.000% | 94,584 | ||||||
Eastern Power LLC |
| |||||||
680,516 | 5.794%, 10/02/2023(e) 1 mo. LIBOR + 3.750% | 683,681 | ||||||
Emerald TopCo, Inc. |
| |||||||
100,000 | 5.544%, 07/24/2026(e) 1 mo. LIBOR + 3.500% | 99,875 | ||||||
Flex Acquisition Co., Inc. |
| |||||||
25,228 | 5.569%, 06/29/2025(e) 3 mo. LIBOR + 3.250% | 24,361 | ||||||
Frontera Generation Holdings LLC |
| |||||||
492,401 | 6.289%, 05/02/2025(e) 1 mo. LIBOR + 4.250% | 466,550 | ||||||
GlobalFoundries, Inc. |
| |||||||
99,750 | 6.063%, 06/05/2026(e) 1 mo. LIBOR + 4.000% | 97,381 | ||||||
Greatbatch Ltd. |
| |||||||
476,538 | 4.310%, 10/27/2021(e) 1 mo. LIBOR + 2.250% | 476,986 |
Principal Amount^ | Value | |||||||
HCA, Inc. |
| |||||||
$595,466 | 4.044%, 03/13/2025(e) 1 mo. LIBOR + 2.000% | $ | 598,184 | |||||
Helix Gen Funding LLC |
| |||||||
500,000 | 5.794%, 06/02/2024(e) 1 mo. LIBOR + 3.750% | 479,555 | ||||||
Houghton Mifflin Harcourt Publishing Co. |
| |||||||
49,483 | 5.044%, 05/31/2021(e) 1 mo. LIBOR + 3.000% | 48,195 | ||||||
IBC Capital Ltd. |
| |||||||
98,995 | 5.895%, 09/11/2023(e) 3 mo. LIBOR + 3.750% | 98,541 | ||||||
II-VI, Inc. |
| |||||||
100,000 | 5.537%, 09/24/2026(e) 1 mo. LIBOR + 3.500% | 100,219 | ||||||
IRB Holding Corp. |
| |||||||
98,995 | 5.550%, 02/05/2025(e) 3 mo. LIBOR + 3.250% | 98,693 | ||||||
Jefferies Finance LLC |
| |||||||
99,750 | 5.875%, 06/03/2026(e) 1 mo. LIBOR + 3.750% | 99,859 | ||||||
Kestrel Acquisition LLC |
| |||||||
494,987 | 6.300%, 06/02/2025(e) 1 mo. LIBOR + 4.250% | 462,813 | ||||||
Liberty Cablevision of Puerto Rico LLC |
| |||||||
50,000 | 5.528%, 01/07/2022(e) 1 mo. LIBOR + 3.500% | 49,906 | ||||||
Lineage Logistics Holdings LLC |
| |||||||
98,995 | 5.044%, 02/27/2025(e) 1 mo. LIBOR + 3.000% | 99,160 | ||||||
LTI Holdings, Inc. |
| |||||||
99,000 | 5.544%, 09/06/2025(e) 1 mo. LIBOR + 3.500% | 93,976 | ||||||
Moran Foods LLC |
| |||||||
49,617 | 8.104%, 12/05/2023(e) 3 mo. LIBOR + 6.000% | 21,253 | ||||||
NES Global Talent Finance US LLC |
| |||||||
48,487 | 7.756%, 05/11/2023(e) 3 mo. LIBOR + 5.500% | 48,487 | ||||||
NFP Corp. |
| |||||||
49,491 | 5.044%, 01/08/2024(e) 1 mo. LIBOR + 3.000% | 48,702 | ||||||
NorthRiver Midstream Finance L.P. |
| |||||||
594,248 | 5.569%, 10/01/2025(e) 3 mo. LIBOR + 3.250% | 590,409 | ||||||
Panther BF Aggregator 2 L.P. |
| |||||||
655,000 | 5.544%, 04/30/2026(e) 1 mo. LIBOR + 3.500% | 650,703 | ||||||
Playpower, Inc. |
| |||||||
99,750 | 7.604%, 05/08/2026(e) 3 mo. LIBOR + 5.500% | 99,875 | ||||||
ProQuest LLC |
| |||||||
98,941 | 5.294%, 10/24/2021(e) 1 mo. LIBOR + 3.250% | 99,049 | ||||||
PSAV Holdings LLC |
| |||||||
98,995 | 5.320%, 03/01/2025(e) 1 mo. LIBOR + 3.250% | 96,025 | ||||||
RPI Finance Trust |
| |||||||
678,205 | 4.044%, 03/27/2023(e) 1 mo. LIBOR + 2.000% | 682,549 |
Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
BANK LOANS (CONTINUED) | ||||||||
ScribeAmerica Intermediate Holdco LLC |
| |||||||
$ 49,497 | 6.539%, 04/03/2025(e)(f) 1 mo. LIBOR + 4.500% | $ | 48,662 | |||||
Sprint Communications, Inc. |
| |||||||
569,351 | 4.563%, 02/02/2024(e) 1 mo. LIBOR + 2.500% | 566,149 | ||||||
SS&C Technologies, Inc. |
| |||||||
1,093,418 | 4.294%, 04/16/2025(e) 1 mo. LIBOR + 2.250% | 1,099,169 | ||||||
Summit Midstream Partners Holdings LLC |
| |||||||
16,532 | 8.044%, 05/13/2022(e) 1 mo. LIBOR + 6.000% | 16,247 | ||||||
Teneo Holdings LLC |
| |||||||
50,000 | 7.289%, 07/11/2025(e) 1 mo. LIBOR + 5.250% | 47,938 | ||||||
TerraForm Power Operating LLC |
| |||||||
693,447 | 4.044%, 11/08/2022(e) 1 mo. LIBOR + 2.000% | 695,181 | ||||||
Tivity Health, Inc. |
| |||||||
738,886 | 7.294%, 03/06/2026(e) 1 mo. LIBOR + 5.250% | 735,343 | ||||||
TVC Albany, Inc. |
| |||||||
99,000 | 5.540%, 07/23/2025(e) 1 mo. LIBOR + 3.500% | 98,196 | ||||||
U.S. Renal Care, Inc. |
| |||||||
400,000 | 7.063%, 06/26/2026(e) 1 mo. LIBOR + 5.000% | 379,800 | ||||||
UGI Energy Services LLC |
| |||||||
289,275 | 5.794%, 08/13/2026(e) 1 mo. LIBOR + 3.750% | 291,806 | ||||||
Vistra Operations Co. LLC |
| |||||||
651,344 | 4.036%, 12/31/2025(e) 1 mo. LIBOR + 2.000% | 654,015 | ||||||
Wyndham Hotels & Resorts, Inc. |
| |||||||
594,248 | 3.794%, 05/30/2025(e) 1 mo. LIBOR + 1.750% | 597,757 | ||||||
|
| |||||||
| TOTAL BANK LOANS | 14,388,623 | ||||||
|
| |||||||
CORPORATE BONDS: 12.0% | ||||||||
Basic Materials: 0.2% | ||||||||
Georgia-Pacific LLC |
| |||||||
20,000 | 5.400%, 11/01/2020(c) | 20,692 | ||||||
Neon Holdings, Inc. |
| |||||||
25,000 | 10.125%, 04/01/2026(c) | 25,250 | ||||||
Newmont GoldCorp Corp. |
| |||||||
60,000 | 5.125%, 10/01/2019 | 60,000 | ||||||
Yamana Gold, Inc. |
| |||||||
100,000 | 4.625%, 12/15/2027 | 105,995 | ||||||
|
| |||||||
211,937 | ||||||||
|
| |||||||
Communications: 0.8% | ||||||||
TEGNA, Inc. |
| |||||||
260,000 | 5.000%, 09/15/2029(c) | 263,931 | ||||||
Telefonica Emisiones S.A. |
| |||||||
25,000 | 5.134%, 04/27/2020 | 25,403 | ||||||
VeriSign, Inc. |
| |||||||
400,000 | 5.250%, 04/01/2025 | 438,220 | ||||||
|
| |||||||
727,554 | ||||||||
|
|
Principal Amount^ | Value | |||||||
Consumer, Cyclical: 0.2% | ||||||||
McDonald’s Corp. |
| |||||||
$50,000 | 3.500%, 07/15/2020 | $ | 50,582 | |||||
Panther BF Aggregator 2 L.P./Panther Finance Co., Inc. |
| |||||||
5,000 | 8.500%, 05/15/2027(c) | 5,075 | ||||||
Party City Holdings, Inc. |
| |||||||
50,000 | 6.625%, 08/01/2026(c)(h) | 49,625 | ||||||
Starbucks Corp. |
| |||||||
50,000 | 2.100%, 02/04/2021 | 50,060 | ||||||
|
| |||||||
155,342 | ||||||||
|
| |||||||
Consumer, Non-cyclical: 2.0% | ||||||||
Allergan Funding SCS |
| |||||||
100,000 | 3.387%, 03/12/2020(e) 3 mo. USD LIBOR + 1.255% | 100,411 | ||||||
BidFair MergeRight, Inc. |
| |||||||
50,000 | 7.375%, 10/15/2027(c)(i) | 51,066 | ||||||
Bunge Ltd. Finance Corp. |
| |||||||
110,000 | 4.350%, 03/15/2024 | 115,942 | ||||||
290,000 | 3.250%, 08/15/2026 | 290,256 | ||||||
Cigna Corp. |
| |||||||
65,000 | 2.489%, 03/17/2020(e) 3 mo. USD LIBOR + 0.350% | 65,014 | ||||||
Conagra Brands, Inc. |
| |||||||
20,000 | 3.028%, 10/22/2020(e) 3 mo. USD LIBOR + 0.750% | 20,005 | ||||||
Constellation Brands, Inc. |
| |||||||
160,000 | 2.250%, 11/06/2020 | 160,079 | ||||||
CVS Pass-Through Trust |
| |||||||
157,032 | 5.926%, 01/10/2034(c) | 182,836 | ||||||
KeHE Distributors LLC/KeHE Finance Corp. |
| |||||||
10,000 | 8.625%, 10/15/2026(c) | 10,219 | ||||||
MEDNAX, Inc. |
| |||||||
415,000 | 6.250%, 01/15/2027(c) | 412,896 | ||||||
Molson Coors Brewing Co. |
| |||||||
70,000 | 2.250%, 03/15/2020 | 69,967 | ||||||
Mondelez International, Inc. |
| |||||||
100,000 | 3.000%, 05/07/2020 | 100,524 | ||||||
Nathan’s Famous, Inc. |
| |||||||
50,000 | 6.625%, 11/01/2025(c) | 50,000 | ||||||
Reynolds American, Inc. |
| |||||||
100,000 | 3.250%, 06/12/2020 | 100,645 | ||||||
Vector Group Ltd. |
| |||||||
50,000 | 6.125%, 02/01/2025(c) | 48,125 | ||||||
Zimmer Biomet Holdings, Inc. |
| |||||||
60,000 | 2.700%, 04/01/2020 | 60,107 | ||||||
|
| |||||||
1,838,092 | ||||||||
|
| |||||||
Energy: 0.5% | ||||||||
Energy Transfer Operating L.P. |
| |||||||
25,000 | 7.500%, 10/15/2020 | 26,279 | ||||||
320,000 | 6.250%, 02/15/2023(a)(b) 3 mo. USD LIBOR + 4.028% | 297,287 | ||||||
Florida Gas Transmission Co. LLC |
| |||||||
60,000 | 5.450%, 07/15/2020(c) | 61,394 | ||||||
Sabine Pass Liquefaction LLC |
| |||||||
100,000 | 5.625%, 02/01/2021 | 103,314 | ||||||
|
| |||||||
488,274 | ||||||||
|
|
Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Financial: 7.3% | ||||||||
American Equity Investment Life Holding Co. |
| |||||||
$ 100,000 | 5.000%, 06/15/2027 | $ | 105,180 | |||||
Aon Corp. |
| |||||||
70,000 | 5.000%, 09/30/2020 | 71,990 | ||||||
Assurant, Inc. |
| |||||||
17,000 | 3.363%, 03/26/2021(e) 3 mo. USD LIBOR + 1.250% | 17,002 | ||||||
Avolon Holdings Funding Ltd. |
| |||||||
50,000 | 5.250%, 05/15/2024(c) | 53,665 | ||||||
AXIS Specialty Finance LLC |
| |||||||
70,000 | 5.875%, 06/01/2020 | 71,641 | ||||||
BlackRock TCP Capital Corp. |
| |||||||
390,000 | 4.125%, 08/11/2022 | 391,131 | ||||||
Business Development Corp. of America |
| |||||||
375,000 | 4.750%, 12/30/2022(c) | 375,679 | ||||||
Capital One Financial Corp. |
| |||||||
60,000 | 2.716%, 10/30/2020(e) 3 mo. USD LIBOR + 0.450% | 60,103 | ||||||
Credit Acceptance Corp. |
| |||||||
200,000 | 6.125%, 02/15/2021 | 200,875 | ||||||
200,000 | 7.375%, 03/15/2023 | 208,000 | ||||||
285,000 | 6.625%, 03/15/2026(c) | 305,662 | ||||||
Credit Agricole Corporate & Investment Bank S.A. |
| |||||||
100,000 | Series MTN 2.687%, 05/03/2021(c)(e) 3 mo. USD LIBOR + 0.400% | 100,073 | ||||||
Credit Suisse AG |
| |||||||
100,000 | 2.656%, 07/31/2020(e) 3 mo. USD LIBOR + 0.400% | 100,000 | ||||||
Drawbridge Special Opportunities Fund L.P./Drawbridge Special Opportunities Finance |
| |||||||
465,000 | 5.000%, 08/01/2021(c) | 471,120 | ||||||
Enstar Group Ltd. |
| |||||||
500,000 | 4.950%, 06/01/2029 | 528,873 | ||||||
HAT Holdings I LLC/HAT Holdings II LLC |
| |||||||
230,000 | 5.250%, 07/15/2024(c) | 242,363 | ||||||
Icahn Enterprises L.P./Icahn Enterprises Finance Corp. |
| |||||||
50,000 | 5.875%, 02/01/2022 | 50,656 | ||||||
Lloyds Banking Group Plc |
| |||||||
400,000 | 3.900%, 03/12/2024 | 418,845 | ||||||
Main Street Capital Corp. |
| |||||||
200,000 | 5.200%, 05/01/2024 | 214,299 | ||||||
Owl Rock Capital Corp. |
| |||||||
250,000 | 5.250%, 04/15/2024 | 263,215 | ||||||
RBC USA Holdco Corp. |
| |||||||
100,000 | 5.250%, 09/15/2020 | 102,979 | ||||||
Sirius International Group Ltd. |
| |||||||
700,000 | 4.600%, 11/01/2026(c) | 700,000 | ||||||
Solar Capital Ltd. |
| |||||||
400,000 | 4.500%, 01/20/2023 | 397,860 | ||||||
Swiss Re Finance Luxembourg S.A. |
| |||||||
495,000 | 5.000%, 04/02/2049(a)(c) 5 year CMT + 3.582% | 548,027 | ||||||
Synchrony Bank |
| |||||||
250,000 | 2.729%, 03/30/2020(e) 3 mo. USD LIBOR + 0.625% | 250,129 |
Principal Amount^ | Value | |||||||
Financial (continued) | ||||||||
United Insurance Holdings Corp. |
| |||||||
$ 530,000 | 6.250%, 12/15/2027(f) | $ | 553,152 | |||||
|
| |||||||
6,802,519 | ||||||||
|
| |||||||
Industrial: 0.3% | ||||||||
Cleaver-Brooks, Inc. |
| |||||||
50,000 | 7.875%, 03/01/2023(c) | 47,500 | ||||||
Molex Electronic Technologies LLC |
| |||||||
60,000 | 2.878%, 04/15/2020(c) | 60,102 | ||||||
Northrop Grumman Corp. |
| |||||||
30,000 | 3.500%, 03/15/2021 | 30,563 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu |
| |||||||
48,455 | 5.750%, 10/15/2020 | 48,618 | ||||||
Textron, Inc. |
| |||||||
100,000 | 2.731%, 11/10/2020(e) 3 mo. USD LIBOR + 0.550% | 99,973 | ||||||
|
| |||||||
286,756 | ||||||||
|
| |||||||
Technology: 0.5% | ||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd. |
| |||||||
60,000 | 2.375%, 01/15/2020 | 60,001 | ||||||
CA, Inc. |
| |||||||
60,000 | 5.375%, 12/01/2019 | 60,291 | ||||||
Dell International LLC/EMC Corp. |
| |||||||
200,000 | 6.020%, 06/15/2026(c) | 225,086 | ||||||
Fidelity National Information Services, Inc. |
| |||||||
60,000 | 3.625%, 10/15/2020 | 60,809 | ||||||
Fiserv, Inc. |
| |||||||
20,000 | 2.700%, 06/01/2020 | 20,055 | ||||||
|
| |||||||
426,242 | ||||||||
|
| |||||||
Utilities: 0.2% | ||||||||
Exelon Corp. |
| |||||||
60,000 | 2.850%, 06/15/2020 | 60,258 | ||||||
NextEra Energy Capital Holdings, Inc. |
| |||||||
100,000 | 2.554%, 09/28/2020(e) 3 mo. USD LIBOR + 0.450% | 100,059 | ||||||
|
| |||||||
160,317 | ||||||||
|
| |||||||
| TOTAL CORPORATE BONDS | 11,097,033 | ||||||
|
| |||||||
GOVERNMENT SECURITIES & AGENCY ISSUE: 24.1% | ||||||||
Brazil Letras do Tesouro Nacional |
| |||||||
3,400,000 (BRL) | 0.000%, 01/01/2020 | 806,690 | ||||||
2,000,000 (BRL) | 0.000%, 07/01/2020 | 463,986 | ||||||
400,000 (BRL) | 0.000%, 07/01/2021 | 87,933 | ||||||
Israel Government Bond - Fixed |
| |||||||
2,350,000 (ILS) | 0.500%, 01/31/2021 | 680,570 | ||||||
690,000 (ILS) | 5.500%, 01/31/2022 | 229,894 | ||||||
2,110,000 (ILS) | 1.000%, 04/30/2021 | 616,768 | ||||||
Portugal Obrigacoes do Tesouro OT |
| |||||||
106,000 (EUR) | 4.800%, 06/15/2020(c) | 119,947 | ||||||
Spain Government Bond |
| |||||||
250,000 (EUR) | 4.000%, 04/30/2020(c) | 279,732 | ||||||
350,000 (EUR) | 0.750%, 07/30/2021 | 390,591 |
Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
| GOVERNMENT SECURITIES & AGENCY ISSUE | | ||||||
United States Treasury Inflation Protected Security |
| |||||||
$ 290,670 | 1.375%, 01/15/2020(j) | $ | 289,796 | |||||
United States Treasury Note |
| |||||||
1,100,000 | 1.375%, 12/15/2019 | 1,098,861 | ||||||
1,600,000 | 1.625%, 03/15/2020(k) | 1,598,250 | ||||||
1,600,000 | 1.500%, 06/15/2020 | 1,595,982 | ||||||
2,000,000 | 1.375%, 09/15/2020(k) | 1,992,539 | ||||||
1,800,000 | 1.875%, 12/15/2020 | 1,801,863 | ||||||
1,600,000 | 2.375%, 03/15/2021 | 1,614,469 | ||||||
1,600,000 | 2.625%, 06/15/2021 | 1,624,781 | ||||||
1,600,000 | 2.750%, 09/15/2021 | 1,634,469 | ||||||
1,800,000 | 2.625%, 12/15/2021 | 1,839,973 | ||||||
1,500,000 | 2.375%, 03/15/2022 | 1,528,799 | ||||||
1,500,000 | 1.750%, 06/15/2022 | 1,506,973 | ||||||
461,000 | 2.375%, 02/29/2024 | 477,018 | ||||||
|
| |||||||
| TOTAL GOVERNMENT SECURITIES & | 22,279,884 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES: 6.5% | ||||||||
Alternative Loan Trust |
| |||||||
364,872 | Series 2005-38-A3 2.368%, 09/25/2035(e) 1 mo. USD LIBOR + 0.350% | 361,593 | ||||||
208,735 | Series 2007-OA4-A1 2.188%, 05/25/2047(e) 1 mo. USD LIBOR + 0.170% | 201,921 | ||||||
222,774 | Series 2007-OA7-A1A 2.198%, 05/25/2047(e) 1 mo. USD LIBOR + 0.180% | 213,797 | ||||||
Cascade Funding Mortgage Trust |
| |||||||
525,445 | Series 2018-RM2-A 4.000%, 10/25/2068(a)(c) | 543,641 | ||||||
CD Mortgage Trust |
| |||||||
1,027,101 | Series 2017-CD4-XA 1.467%, 05/10/2050(a)(l) | 74,779 | ||||||
CGBAM Commercial Mortgage Trust |
| |||||||
250,000 | Series 2015-SMRT-F 3.912%, 04/10/2028(a)(c) | 251,153 | ||||||
CGBAM Mezzanine Securities Trust |
| |||||||
100,000 | Series 2015-SMMZ-MZ 8.210%, 04/10/2028(c) | 101,683 | ||||||
CGMS Commercial Mortgage Trust |
| |||||||
260,000 | Series 2017-MDRC-E 5.428%, 07/15/2030(c)(e) 1 mo. USD LIBOR + 3.400% | 258,027 | ||||||
Citigroup Mortgage Loan Trust |
| |||||||
143,915 | Series 2019-IMC1-A1 2.720%, 07/25/2049(a)(c) | 144,062 | ||||||
COLT Mortgage Loan Trust |
| |||||||
155,230 | Series 2018-3-A1 3.692%, 10/26/2048(a)(c) | 156,626 | ||||||
Credit Suisse First Boston Mortgage Securities Corp. |
| |||||||
250,000 | Series 2006-OMA-D 5.626%, 05/15/2023(c) | 251,642 | ||||||
Credit Suisse Mortgage Trust |
| |||||||
170,344 | Series 2018-RPL9-A1 3.850%, 09/25/2057(a)(c) | 177,813 | ||||||
480,000 | Series 2018-SITE-C 4.941%, 04/15/2036(a)(c) | 508,055 |
Principal Amount^ | Value | |||||||
Federal National Mortgage Association |
| |||||||
$250,000 | Series AN0285 1.950%, 11/01/2020 | $ | 249,315 | |||||
GPMT Ltd. |
| |||||||
200,000 | Series 2018-FL1-C 4.194%, 11/19/2035(c)(e) 1 mo. USD LIBOR + 2.150% | 200,808 | ||||||
HarborView Mortgage Loan Trust |
| |||||||
367,099 | Series 2006-12-2A2A 2.247%, 01/19/2038(e) 1 mo. USD LIBOR + 0.190% | 356,671 | ||||||
Homeward Opportunities Fund I Trust |
| |||||||
291,244 | Series 2019-2-A1 2.702%, 09/25/2059(a)(c) | 291,598 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust |
| |||||||
1,857,553 | Series 2016-JP2-XA 1.982%, 08/15/2049(a)(l) | 186,763 | ||||||
JPMDB Commercial Mortgage Securities Trust |
| |||||||
214,814 | Series 2017-C5-XA 1.138%, 03/15/2050(a)(l) | 12,166 | ||||||
LSTAR Securities Investment Trust |
| |||||||
354,704 | Series 2019-1-A1 3.789%, 03/01/2024(c)(e) 1 mo. USD LIBOR + 1.700% | 357,599 | ||||||
New Residential Mortgage Loan Trust |
| |||||||
94,894 | Series 2019-RPL1-A1 4.335%, 02/26/2024(c)(d) | 95,779 | ||||||
NRPL Trust |
| |||||||
250,000 | Series 2019-3A-A1 3.000%, 06/25/2059(c) | 249,253 | ||||||
Residential Accredit Loans, Inc. Trust |
| |||||||
446,671 | Series 2006-QO6-A1 2.198%, 06/25/2046(e) 1 mo. USD LIBOR + 0.180% | 178,220 | ||||||
Station Place Securitization Trust |
| |||||||
50,000 | Series 2019-2-A 2.587%, 04/24/2021(c)(e) 1 mo. USD LIBOR + 0.550% | 50,154 | ||||||
200,000 | Series 2019-8-A 2.637%, 03/24/2020(c)(e) 1 mo. USD LIBOR + 0.600% | 200,000 | ||||||
50,000 | Series 2019-9-A 2.737%, 10/24/2020(c)(e) 1 mo. USD LIBOR + 0.700% | 50,000 | ||||||
150,000 | Series 2019-WL1-B 2.818%, 08/25/2052(c)(e) 1 mo. USD LIBOR + 0.800% | 150,527 | ||||||
Wells Fargo Commercial Mortgage Trust |
| |||||||
968,019 | Series 2016-BNK1-XA 1.911%, 08/15/2049(a)(l) | 93,922 | ||||||
|
| |||||||
| TOTAL MORTGAGE-BACKED SECURITIES | 5,967,567 | ||||||
|
| |||||||
MUNICIPAL BOND: 0.0% | ||||||||
Indiana: 0.0% | ||||||||
Knox County Industry Economic Development Revenue |
| |||||||
5,000 | Series B 5.900%, 04/01/2034 | 5,175 | ||||||
|
| |||||||
| TOTAL MUNICIPAL BONDS | 5,175 | ||||||
|
|
Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
Principal Amount^ | Value | |||||||
SHORT-TERM INVESTMENTS: 6.9% | ||||||||
COMMERCIAL PAPER: 1.1% | ||||||||
Barclays Bank Plc |
| |||||||
250,000 | 3.220%, 10/31/2019(c)(m) | $ | 250,000 | |||||
Lloyds Bank Corporate Markets Plc |
| |||||||
100,000 | 2.657%, 08/05/2020(e)(m) 3 mo. USD LIBOR + 0.370% | 100,000 | ||||||
Mondelez International, Inc. |
| |||||||
250,000 | 2.224%, 10/03/2019(c)(m) | 249,969 | ||||||
Standard Chartered Bank |
| |||||||
100,000 | 2.687%, 08/04/2020(c)(e)(m) 3 mo. USD LIBOR + 0.400% | 100,000 | ||||||
Walgreens Boots Alliance, Inc. |
| |||||||
�� | 300,000 | 2.514%, 01/13/2020 | 297,877 | |||||
|
| |||||||
| TOTAL COMMERCIAL PAPER | 997,846 | ||||||
|
| |||||||
Shares | ||||||||
MONEY MARKET FUNDS: 0.1% | ||||||||
65,185 | State Street Institutional Treasury Money Market Fund - Premier Class, 1.950%(n) | 65,185 | ||||||
|
| |||||||
| TOTAL MONEY MARKET FUNDS | 65,185 | ||||||
|
| |||||||
Principal | ||||||||
REPURCHASE AGREEMENTS : 5.7% | ||||||||
$ 100,000 | Bank of America N.A. 2.800%, 9/30/2019, due 10/01/2019 [collateral: par value $103,000, U.S. Treasury Note, 1.500%, due 09/30/2024, value $102,041] (proceeds $100,008) | 100,000 | ||||||
52,780 | Barclays Capital Plc 2.268%, 9/26/2019, due 11/04/2019 [collateral: par value $56,000, Murphy Oil USA, Inc., 4.750%, due 09/15/2029, value $57,473] (proceeds $52,910) | 52,780 | ||||||
400,000 | BNP Paribas 2.467%, 8/9/2019, due 11/01/2019 [collateral : par value $637,000, HSI Asset Securitization Corp. Trust Series 2017-HE1-2A3, 2.208%, due 01/25/2037, value $411,372; par value $91,000, Structured Asset Securites Corp. Mortgage Loan Trust Series 2017-OSI-A4, 2.218%, due 06/25/2037, value $60,094] (proceeds $402,494) | 400,000 |
Principal Amount^ | Value | |||||||
$ 179,000 | Deutsche Bank AG 2.619%, 8/6/2019, due 11/06/2019 [collateral: par value $250,000, Octagon Investment Partners 29 Ltd. Series 2016-1A-E, 8.830%, due 01/24/2028, value $238,668] (proceeds $180,198) | $ | 179,000 | |||||
4,303,000 | Fixed Income Clearing Corp. 0.250%, 9/30/2019, due 10/01/2019 [collateral: par value $4,295,000, U.S. Treasury Note, 2.625%, due 06/15/2021, value $4,394,652] (proceeds $4,303,030) | 4,303,000 | ||||||
25,000 | JPMorgan Chase & Co. 2.350%, 9/30/2019, due 10/01/2019 [collateral: par value $25,000, U.S. Treasury Note, 2.625%, due 02/28/2023, value $25,510] (proceeds $25,002) | 25,000 | ||||||
51,000 | JPMorgan Chase & Co. 2.370%, 9/30/2019, due 10/01/2019 [collateral: par value $50,000, Government National Mortgage Associaiton II Pool MA5987, 4.500%, due 06/20/2049, value $53,128] (proceeds $51,003) | 51,000 | ||||||
200,000 | JPMorgan Chase & Co. 3.000%, 9/30/2019, due 10/01/2019 [collateral: par value $97,000, U.S. Treasury Note, 2.500%, due 05/15/2024, value $102,041; par value $99,000, Government National Mortgage Association II Poll MA5987, 4.500%, due 06/20/2049, value $104,171] (proceeds $200,017) | 200,000 | ||||||
|
| |||||||
| TOTAL REPURCHASE AGREEMENTS | 5,310,780 | ||||||
|
| |||||||
TREASURY BILLS: 0.0% | ||||||||
United States Treasury Bill |
| |||||||
25,000 | 2.360%, 11/21/2019(k)(m) | 24,937 | ||||||
|
| |||||||
| TOTAL TREASURY BILLS | 24,937 | ||||||
|
| |||||||
| TOTAL SHORT-TERM INVESTMENTS | 6,398,748 | ||||||
|
| |||||||
| TOTAL PURCHASED OPTIONS(o) | 44,250 | ||||||
|
| |||||||
| TOTAL INVESTMENTS (Cost: $92,355,398): 100.5% | 92,973,831 | ||||||
|
| |||||||
Liabilities in Excess of Other Assets: (0.5)% | (474,827 | ) | ||||||
|
| |||||||
NET ASSETS: 100.0% | $ | 92,499,004 | ||||||
|
|
Percentages are stated as a percent of net assets.
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury Index |
Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2019(Unaudited)(Continued)
LIBOR | London Interbank Offered Rate |
L.P. | Limited Partnership |
^ | The principal amount is stated in U.S. Dollars unless otherwise indicated. |
(a) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect at September 30, 2019. |
(b) | Perpetual Call. |
(c) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under Securities Act of 1933. |
(d) | Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at September 30, 2019. |
(e) | Floating Interest Rate at September 30, 2019. |
(f) | Illiquid securities at September 30, 2019, at which time the aggregate value of these illiquid securities is $741,522 or 0.8% of net assets. |
(g) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date. |
(h) | All or a portion of this security has been pledged to cover collateral requirements for reverse repurchase agreements. |
(i) | When issued security. |
(j) | Index Linked |
(k) | Securities with an aggregate fair value of $3,316,054 have been pledged as collateral for options, credit default swaps, interest rate swaps and futures positions. |
(l) | Interest Only security. Security with a notional or nominal principal amount. |
(m) | The rate shown represents yield-to-maturity. |
(n) | The rate disclosed is the 7 day net yield as of September 30, 2019. |
(o) | For a breakout of open positions, see details shown in the Schedule of Purchased Options table that follows. |
CURRENCY ABBREVIATIONS:
BRL | Brazilian Real |
EUR | Euro |
ILS | Israeli New Shekel |
USD | U.S. Dollar |
UNFUNDED LOAN COMMITMENTS — At September 30, 2019, the Fund had unfunded loan commitments which could be extended at the option of the borrowers, pursuant to the following agreements:
Borrower | Principal Amount | Current Value | Unrealized Gain (Loss) | |||||||||
BCPE Empire Holdings, Inc., 4.000%, 06/11/2026 | $ | 16,456 | $ | 16,271 | $ | (185 | ) | |||||
|
|
|
|
|
| |||||||
TOTAL | $ | (185 | ) | |||||||||
|
|
The cost basis of investments for federal income tax purposes at September 30, 2019 was as follows*:
Cost of investments | $ | 92,187,988 | ||
|
| |||
Gross unrealized appreciation | 1,538,586 | |||
Gross unrealized depreciation | (919,032 | ) | ||
|
| |||
Net unrealized appreciation | $ | 619,554 | ||
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF PURCHASED OPTIONS at September 30, 2019 (Unaudited)
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
INTEREST RATE SWAPTIONS | ||||||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||
Two Year Ten Year USD Constant Maturity Swaption | Bank of America N.A. | 0.40 | 7/29/2022 | 11,000,000 | $ | 11,000,000 | $ | 18,608 | $ | 25,410 | $ | (6,802 | ) | |||||||||||||||||
Two Year Ten Year USD Constant Maturity Swaption | Goldman Sachs International | 0.40 | 7/29/2022 | 2,000,000 | 2,000,000 | 3,383 | 4,540 | (1,157 | ) | |||||||||||||||||||||
Two Year Ten Year USD Constant Maturity Swaption | Goldman Sachs International | 0.61 | 7/29/2022 | 7,000,000 | 7,000,000 | 7,034 | 10,150 | (3,116 | ) | |||||||||||||||||||||
Two Year Ten Year USD Constant Maturity Swaption | Morgan Stanley & Co. | 0.40 | 7/29/2022 | 9,000,000 | 9,000,000 | 15,225 | 21,600 | (6,375 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Purchased Options |
| $ | 44,250 | $ | 61,700 | $ | (17,450 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
Litman Gregory Masters High Income Alternatives Fund
REVERSE REPURCHASE AGREEMENTS at September 30, 2019 (Unaudited)
Principal Amount^ | Value | |||||
$(37,000) | JPMorgan Chase & Co. 2.000%, 9/19/2019, due 09/18/2020 [collateral: par value $(50,000), Party City Holdings, Inc., 6.625%, due 08/01/2026, value $(49,334)] (proceeds $(37,750)) | $ | (37,000 | ) | ||
|
| |||||
TOTAL REVERSE REPURCHASE AGREEMENTS | $ | (37,000 | ) | |||
|
| |||||
Average balance outstanding | $ | (37,000 | ) | |||
Average interest rate (net) | (2.03 | )% | ||||
Maximum balance outstanding | $ | (37,000 | ) |
Average balance outstanding was calculated based on daily faced value balances outstanding during the period that the Fund had entered into the reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entere into the reverse repurchased agreements.
Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS AT September 30, 2019 (Unaudited)
At September 30, 2019, the Fund had the following forward foreign currency exchange contracts:
Asset | Liability | |||||||||||||||||||||||||||
Settlement Date | Fund Receiving | U.S. $ Value at September 30, 2019 | Fund Delivering | U.S. $ Value at September 30, 2019 | Derivatives | Derivatives | ||||||||||||||||||||||
Counterparty | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||||||||||
Bank of America N.A. | 1/31/2020 | USD | $ | 4,747 | ILS | $ | 4,789 | $ | — | $ | (42 | ) | ||||||||||||||||
4/30/2020 | USD | 293 | ILS | 292 | 1 | — | ||||||||||||||||||||||
6/15/2020 | USD | 67,489 | EUR | 65,171 | 2,318 | — | ||||||||||||||||||||||
2/1/2021 | USD | 4,821 | ILS | 4,871 | — | (50 | ) | |||||||||||||||||||||
4/30/2021 | USD | 29,953 | ILS | 29,951 | 2 | — | ||||||||||||||||||||||
1/31/2022 | USD | 93,833 | ILS | 94,903 | — | (1,070 | ) | |||||||||||||||||||||
Citibank N.A. | 4/30/2020 | USD | 3,980 | ILS | 3,968 | 12 | — | |||||||||||||||||||||
7/1/2020 | USD | 495,762 | BRL | 472,759 | 23,003 | — | ||||||||||||||||||||||
4/30/2021 | USD | 406,848 | ILS | 407,333 | — | (485 | ) | |||||||||||||||||||||
Goldman Sachs International | 1/31/2020 | USD | 2,906 | ILS | 2,895 | 11 | — | |||||||||||||||||||||
1/31/2020 | USD | 501 | ILS | 507 | — | (6 | ) | |||||||||||||||||||||
1/31/2020 | USD | 6,150 | ILS | 6,209 | — | (59 | ) | |||||||||||||||||||||
4/30/2020 | USD | 298,168 | EUR | 287,877 | 10,291 | — | ||||||||||||||||||||||
4/30/2020 | USD | 926 | ILS | 934 | — | (8 | ) | |||||||||||||||||||||
4/30/2020 | USD | 951 | ILS | 963 | — | (12 | ) | |||||||||||||||||||||
6/15/2020 | USD | 60,291 | EUR | 58,189 | 2,102 | — | ||||||||||||||||||||||
7/30/2020 | USD | 1,449 | EUR | 1,420 | 29 | — | ||||||||||||||||||||||
2/1/2021 | USD | 6,282 | ILS | 6,350 | — | (68 | ) | |||||||||||||||||||||
2/1/2021 | USD | 593,208 | ILS | 593,416 | — | (208 | ) | |||||||||||||||||||||
2/1/2021 | USD | 102,448 | ILS | 103,848 | — | (1,400 | ) | |||||||||||||||||||||
4/30/2021 | USD | 94,794 | ILS | 95,843 | — | (1,049 | ) | |||||||||||||||||||||
4/30/2021 | USD | 97,470 | ILS | 98,838 | — | (1,368 | ) | |||||||||||||||||||||
7/30/2021 | USD | 198,957 | EUR | 194,941 | 4,016 | — | ||||||||||||||||||||||
1/31/2022 | USD | 121,979 | ILS | 123,374 | — | (1,395 | ) | |||||||||||||||||||||
JPMorgan Chase Bank N.A. | 1/2/2020 | USD | 890,518 | BRL | 812,522 | 77,996 | — | |||||||||||||||||||||
7/30/2020 | USD | 1,525 | EUR | 1,503 | 22 | — | ||||||||||||||||||||||
7/1/2021 | USD | 95,024 | BRL | 91,407 | 3,617 | — | ||||||||||||||||||||||
7/30/2021 | USD | 209,309 | EUR | 206,409 | 2,900 | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 3,890,582 | $ | 3,771,482 | $ | 126,320 | $ | (7,220 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
SCHEDULE OF FINANCIAL FUTURES CONTRACTS at September 30, 2019 (Unaudited)
Description | Number of Contracts | Notional Amount | Notional Value | Expiration Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Futures Contracts - Long | ||||||||||||||||||||
Ultra 10YR U.S. Treasury Notes | 3 | $ | 300,000 | $ | 427,219 | 12/19/2019 | $ | (5,445 | ) | |||||||||||
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Total Long | $ | (5,445 | ) | |||||||||||||||||
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Futures Contracts - Short | ||||||||||||||||||||
5YR U.S. Treasury Notes | (4 | ) | (400,000 | ) | $ | (476,594 | ) | 12/31/2019 | $ | 2,276 | ||||||||||
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Total Short | $ | 2,276 | ||||||||||||||||||
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| |||||||||||||||||||
Total Futures Contracts | $ | (3,169 | ) | |||||||||||||||||
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SCHEDULE OF SWAPS at September 30, 2019 (Unaudited)
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
Rates Exchanged | ||||||||||||||||||||||||||||
Notional Amount | Maturity Date | Payment Received | Payment Made | Periodic Payment Frequency | Fair Value | Upfront Payment Made (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
$2,600,000 | 11/06/2021 | 3 Month LIBOR | 3.144 | % | Quarterly | $ | (81,504 | ) | $ | 965 | $ | (82,469 | ) | |||||||||||||||
$350,000 | 11/07/2023 | 3 Month LIBOR | 3.180 | Quarterly | (23,064 | ) | 80 | (23,144 | ) | |||||||||||||||||||
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| |||||||||||||||||||||||
$ | (104,568 | ) | $ | 1,045 | $ | (105,613 | ) | |||||||||||||||||||||
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Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF SWAPS at September 30, 2019(Unaudited) (Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2019 | Notional Amount | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Depreciation | ||||||||||||||||||||||||
Buy Protection | ||||||||||||||||||||||||||||||||
CDX North American Investment Grade Index Series 31 1.000%, 12/20/2023 | 12/20/2023 | (1.000 | %) | 0.463 | % | $ | (4,605,000 | ) | Quarterly | $ | (101,314 | ) | $ | (54,518 | ) | $ | (46,796 | ) | ||||||||||||||
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|
|
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| |||||||||||||||||||||||||||
Total Buy Protection |
| $ | (101,314 | ) | $ | (54,518 | ) | $ | (46,796 | ) | ||||||||||||||||||||||
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|
|
|
|
(1) | For centrally cleared swaps, when a credit event occurs as defined under the terms of the swap contract, the Fund as a seller of credit protection will either (i) pay a net amount equal to the par value of the defaulted reference entity and deliver the reference entity or (ii) pay a net amount equal to the par value of the defaulted reference entity less its recovery value. |
(2) | For centrally cleared swaps, implied credit spread, represented in absolute terms, utilized in determining the fair value of the credit default swap contracts as of period will serve as an indicator of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/ selling protection and may include upfront payments required to be made to enter into the contract. Generally, wider credit spreads represent a perceived deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap contract. |
(3) | For centrally cleared swaps, the notional amount represents the maximum potential the Fund may receive as a buyer of credit protection if a credit event occurs, as defined under the terms of the swap contract, for each security included in the CDX North America Investment Grade Index Series 31. |
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
Description | Maturity Date | Counterparty | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2019 | Notional Amount | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Depreciation | |||||||||||||||||||||||||||
Buy Protection | ||||||||||||||||||||||||||||||||||||
CDX North American Investment Grade Index Series 31 1.000%, 12/20/2023 | 12/20/2023 | | Goldman Sachs International | | (1.000 | %) | 0.503 | % | $ | (540,000 | ) | Quarterly | $ | (11,725 | ) | $ | (723 | ) | $ | (11,002 | ) | |||||||||||||||
CDX North American Investment Grade Index Series 31 1.000%, 12/20/2023 | 12/20/2023 | | Morgan Stanley & Co. | | (1.000 | %) | 0.503 | % | (240,000 | ) | Quarterly | (5,210 | ) | (20 | ) | (5,190 | ) | |||||||||||||||||||
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|
|
| |||||||||||||||||||||||||||||||
Total Buy Protection |
| $ | (16,935 | ) | $ | (743 | ) | $ | (16,192 | ) | ||||||||||||||||||||||||||
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|
|
|
| |||||||||||||||||||||||||||||||
Total | $ | (16,935 | ) | $ | (743 | ) | $ | (16,192 | ) | |||||||||||||||||||||||||||
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|
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|
|
Litman Gregory Masters High Income Alternatives Fund
SCHEDULE OF WRITTEN OPTIONS at September 30, 2019 (Unaudited)
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
INDEX OPTIONS | ||||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | $ | 1,470.00 | 10/4/2019 | (1 | ) | $ | (152,337 | ) | $ | (86 | ) | $ | (1,813 | ) | $ | 1,727 | |||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,475.00 | 10/4/2019 | (1 | ) | (152,337 | ) | (108 | ) | (1,630 | ) | 1,522 | ||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,535.00 | 10/4/2019 | (1 | ) | (152,337 | ) | (1,579 | ) | (1,250 | ) | (329 | ) | |||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,475.00 | 10/11/2019 | (2 | ) | (304,674 | ) | (1,324 | ) | (3,949 | ) | 2,625 | ||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,480.00 | 10/11/2019 | (1 | ) | (152,337 | ) | (549 | ) | (2,029 | ) | 1,480 | ||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,530.00 | 10/11/2019 | (2 | ) | (304,674 | ) | (4,338 | ) | (3,369 | ) | (969 | ) | |||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,530.00 | 10/18/2019 | (2 | ) | (304,674 | ) | (5,156 | ) | (3,939 | ) | (1,217 | ) | |||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,550.00 | 10/18/2019 | (2 | ) | (304,674 | ) | (7,544 | ) | (3,749 | ) | (3,795 | ) | |||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,490.00 | 10/25/2019 | (3 | ) | (457,011 | ) | (4,635 | ) | (6,628 | ) | 1,993 | ||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,500.00 | 10/25/2019 | (1 | ) | (152,337 | ) | (1,904 | ) | (2,129 | ) | 225 | ||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,495.00 | 11/1/2019 | (2 | ) | (304,674 | ) | (4,120 | ) | (4,129 | ) | 9 | ||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 2,855.00 | 10/4/2019 | (3 | ) | (893,022 | ) | (252 | ) | (11,278 | ) | 11,026 | ||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 2,865.00 | 10/4/2019 | (2 | ) | (595,348 | ) | (200 | ) | (6,491 | ) | 6,291 | ||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 2,905.00 | 10/4/2019 | (2 | ) | (595,348 | ) | (480 | ) | (5,174 | ) | 4,694 | ||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 2,940.00 | 10/4/2019 | (1 | ) | (297,674 | ) | (555 | ) | (996 | ) | 441 | ||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 2,900.00 | 10/11/2019 | (1 | ) | (297,674 | ) | (900 | ) | (2,669 | ) | 1,769 | ||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 2,905.00 | 10/11/2019 | (10 | ) | (2,976,740 | ) | (11,900 | ) | (30,069 | ) | 18,169 | ||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 2,910.00 | 10/11/2019 | (3 | ) | (893,022 | ) | (3,090 | ) | (8,135 | ) | 5,045 | ||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 2,900.00 | 10/18/2019 | (1 | ) | (297,674 | ) | (1,550 | ) | (3,204 | ) | 1,654 | ||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 2,920.00 | 10/18/2019 | (5 | ) | (1,488,370 | ) | (9,525 | ) | (13,437 | ) | 3,912 | ||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 2,925.00 | 10/18/2019 | (1 | ) | (297,674 | ) | (2,200 | ) | (2,318 | ) | 118 | ||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 2,940.00 | 10/18/2019 | (6 | ) | (1,786,044 | ) | (14,280 | ) | (13,063 | ) | (1,217 | ) | |||||||||||||||||
S&P 500 Index | UBS Securities LLC | 2,890.00 | 10/25/2019 | (3 | ) | (893,022 | ) | (6,390 | ) | (9,216 | ) | 2,826 | ||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 2,925.00 | 10/25/2019 | (8 | ) | (2,381,392 | ) | (23,080 | ) | (20,846 | ) | (2,234 | ) | |||||||||||||||||
S&P 500 Index | UBS Securities LLC | 2,940.00 | 10/25/2019 | (3 | ) | (893,022 | ) | (9,345 | ) | (7,525 | ) | (1,820 | ) | |||||||||||||||||
S&P 500 Index | UBS Securities LLC | 2,905.00 | 11/1/2019 | (5 | ) | (1,488,370 | ) | (14,800 | ) | (14,831 | ) | 31 | ||||||||||||||||||
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|
|
|
|
| |||||||||||||||||||||||||
Total Written Options |
| $ | (129,890 | ) | $ | (183,866 | ) | $ | 53,976 | |||||||||||||||||||||
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|
|
|
|
|
Litman Gregory Funds Trust
SCHEDULE OF INVESTMENTS (Continued)
September 30, 2019 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS
The following is a summary of the significant accounting policies followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
Security Valuation.Investments in securities and derivatives traded on a national securities exchange are valued at the last reported sales price at the close of regular trading on each day that the exchanges are open for trading. Securities listed on the NASDAQ Global Market, the NASDAQ Global Select Market and the NASDAQ Capital Market are valued using the NASDAQ Official Closing Price. Securities traded on an exchange for which there have been no sales are valued at the mean between the closing bid and asked prices. Debt securities maturing within 60 days or less are valued at amortized cost unless the Valuation Committee determines that amortized cost does not represent fair value. Securities for which market prices are not readily available or if a security’s value has materially changed after the close of the security’s primary market but before the close of trading on the New York Stock Exchange (“NYSE”), the securities are valued at fair value as determined in good faith by the Managers that selected the security for the Funds’ portfolio and the Trust’s Valuation Committee in accordance with procedures approved by the Board of Trustees (the “Board”). In determining fair value, the Funds take into account all relevant factors and available information. Consequently, the price of the security used by a Fund to calculate its net asset value may differ from quoted or published prices for the same security. Fair value pricing involves subjective judgments and there is no single standard for determining the fair value of a security. As a result, different mutual funds could reasonably arrive at a different value for the same security. For securities that do not trade during NYSE hours, fair value determinations are based on analyses of market movements after the close of those securities’ primary markets, and include reviews of developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. Pricing services are used to obtain closing market prices and to compute certain fair value adjustments utilizing computerized pricing models. It is possible that the fair value determined for a security is materially different from the value that could be realized upon the sale of that security or from the values that other mutual funds may determine.
Investments in other funds are valued at their respective net asset values as determined by those funds in accordance with the 1940 Act.
Debt securities generally trade in the over-the-counter market rather than on a securities exchange. The Funds’ pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services also utilize proprietary valuation models which may consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair value. Securities denominated in a foreign currency are converted into their U.S. dollar equivalent at the foreign exchange rate in effect at the close of the NYSE on the date that the values of the foreign debt securities are determined. Repurchase agreements are valued at cost, which approximates fair value.
Certain derivatives trade in the over-the-counter market. The Funds’ pricing services use various techniques including industry standard option pricing models and proprietary discounted cash flow models to determine the fair value of those instruments. The Funds’ net benefit or obligation under the derivative contract, as measured by the fair value of the contract, is included in net assets.
The Funds have procedures to determine the fair value of securities and other financial instruments for which market prices are not readily available or which may not be reliably priced. Under these procedures, the Funds primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The Funds may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed.
Senior Term Loans.The Alternative Strategies Fund and the High Income Alternatives Fund may invest in bank debt, which includes interests in loans to companies or their affiliates undertaken to finance a capital restructuring or in connection with recapitalizations, acquisitions, leveraged buyouts, refinancings or other financially leveraged transactions and may include loans which are designed to provide temporary or bridge financing to a borrower pending the sale of identified assets, the arrangement of longer-term loans or the issuance and sale of debt obligations. These loans, which may bear fixed or floating rates, have generally been arranged through private negotiations between a corporate borrower and one or more financial institutions (“Lenders”), including banks. The Alternative Strategies Fund’s and the High Income Alternatives Fund’s investments may be in the form of participations in loans (“Participations”) or of assignments of all or a portion of loans from third parties (“Assignments”).
Unfunded Loan Commitments. The Alternative Strategies Fund and the High Income Alternatives Fund may enter into certain credit agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are disclosed in the Schedule of Investments.
Short Sales. Each Fund may sell a security it does not own in anticipation of a decline in the fair value of that security. When each Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. In addition, cash and certain investments in securities may be used to collateralize the securities sold short. Each day the securities sold short transaction is open, the liability to replace the borrowed security is marked to market and an unrealized gain or loss is recorded. While the transaction remains open, the Fund may also incur expenses for any dividends or interest which will be paid to the lender of the securities as well as a fee to borrow the delivered security. During the term of the short sale, the value of the securities pledged as collateral on short sales is required to exceed the value of the securities sold short. A gain, limited to the price at which each Fund sold the security short, or a loss, unlimited in size, will be recognized upon the termination of a short sale. Each Fund is also subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price.
Repurchase Agreements.Each Fund may enter into repurchase agreements through which the Fund acquires a security (the “underlying security”) from a seller, a well-established securities dealer or a bank that is a member of the Federal Reserve System. The bank or securities dealer agrees to repurchase the underlying security at the same price, plus a specified amount of interest, at a later date, generally for a period of less than one week. It is the Trust’s policy that
its Custodian takes possession of securities as collateral under repurchase agreements and to determine on a daily basis that the value of such securities, including recorded interest, is sufficient to cover the value of the repurchase agreements. The Trust’s policy states that the value of the collateral is at least 102% of the value of the repurchase agreement. If the counterparty defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the counterparty of the security, realization of the collateral by a Fund may be delayed or limited. At September 30, 2019, the Funds’ ongoing exposure to the economic return on repurchase agreements is shown on the Schedules of Investments.
Reverse repurchase agreements.The High Income Alternatives Fund may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. The Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. Reverse repurchase agreements outstanding at September 30, 2019, if any, are shown on the Schedules of Investments.
Foreign Currency Translation. The Funds’ records are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the reporting period. The currencies are translated into U.S. dollars by using the exchange rates quoted at the close of the London Stock Exchange prior to when each Fund’s net asset value is next determined. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.
The Funds do not isolate that portion of their net realized and unrealized gains and losses on investments resulting from changes in foreign exchange rates from the impact arising from changes in market prices. Such fluctuations are included with net realized and unrealized gain or loss from investments.
Net realized foreign currency transaction gains and losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the differences between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency transactions gains and losses arise from changes in the value of assets and liabilities, other than investments in securities, resulting from changes in the exchange rates.
Forward Foreign Currency Exchange Contracts. The Funds may utilize forward foreign currency exchange contracts (“forward contracts”) under which they are obligated to exchange currencies on specified future dates at specified rates, and are subject to foreign exchange rates fluctuations. All contracts are “marked-to-market” daily and any resulting unrealized gains or losses are recorded as unrealized appreciation or depreciation on foreign currency transactions. The Funds record realized gains or losses at the time the forward contract is settled. These gains and losses are reflected on the Statements of Operations as realized gain (loss) on foreign currency transactions. Counterparties to these forward contracts are major U.S. financial institutions.
Futures Contracts. The Alternative Strategies Fund and the High Income Alternatives Fund invest in financial futures contracts primarily for the purpose of hedging their existing portfolio securities, or securities that the Funds intend to purchase, against fluctuations in fair value caused by changes in prevailing market interest rates. Upon entering into a financial futures contract, a Fund is required to pledge to the broker an amount of cash, U.S. government securities, or other assets, equal to a certain percentage of the contract amount (initial margin deposit). Subsequent payments, known as variation margin, are made or received by a Fund each day, depending on the daily fluctuations in the fair value of the underlying security. Each Fund recognizes a gain or loss equal to the daily variation margin. If market conditions move unexpectedly, a Fund may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates, and the underlying hedged assets.
Interest Rate Swaps.An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other. Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, and upfront payments, if any, are recorded as a receivable or payable for variation margin.
Credit Default Swaps.During the period ended September 30, 2019, the Alternative Strategies Fund and the High Income Alternatives Fund entered into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate issuers or indexes or to create exposure to corporate issuers or indexes to which they are not otherwise exposed. In a credit default swap, the protection buyer makes a stream of payments based on a fixed percentage applied to the contract notional amount to the protection seller in exchange for the right to receive a specified return upon the occurrence of a defined credit event on the reference obligation which may be either a single security or a basket of securities issued by corporate or sovereign issuers. Although contract-specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. Upon the occurrence of a defined credit event, the difference between the value of the reference obligation and the swap’s notional amount is recorded as realized gain (for protection written) or loss (for protection sold) in the Statements of Operations. In the case of credit default swaps where a Fund is selling protection, the notional amount approximates the maximum loss. For centrally cleared swaps the daily change in valuation, and upfront payments, if any, are recorded as a receivable or payable for variation margin.
Total Return Swaps. Total return swap is the generic name for any non-traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of London Interbank Offered Rate (“LIBOR”) based cash flows. A total return swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. Total return swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the Statement of Assets and Liabilities. The other leg of the swap, usually LIBOR, is a spread to reflect the non-Statement of Assets and Liabilities nature of the product. No notional amounts are exchanged with total return swaps. The total return receiver assumes the entire economic exposure - that is, both market and credit exposure - to the reference asset. The total return payer - often the owner of the reference obligation - gives up economic exposure to the performance of the reference asset and in return takes on counterparty credit exposure to the total return receiver in the event of a default or fall in value of the reference asset.
Purchasing Put and Call Options. Each Fund may purchase covered “put” and “call” options with respect to securities which are otherwise eligible for purchase by a Fund and with respect to various stock indices subject to certain restrictions. Each Fund will engage in trading of such derivative securities primarily for hedging purposes.
If a Fund purchases a put option, a Fund acquires the right to sell the underlying security at a specified price at any time during the term of the option (for “American-style” options) or on the option expiration date (for “European-style” options). Purchasing put options may be used as a portfolio investment strategy when a portfolio manager perceives significant short-term risk but substantial long-term appreciation for the underlying security. The put option acts as an insurance policy, as it protects against significant downward price movement while it allows full participation in any upward movement. If a Fund is holding a stock which it feels has strong fundamentals, but for some reason may be weak in the near term, a Fund may purchase a put option on such security, thereby giving itself the right to sell such security at a certain strike price throughout the term of the option. Consequently, a Fund will exercise the put only if the price of such security falls below the strike price of the put. The difference between the put’s strike price and the market price of the underlying security on the date a Fund exercises the put, less transaction costs, will be the amount by which a Fund will be able to hedge against a decline in the underlying security. If during the period of the option the market price for the underlying security remains at or above the put’s strike price, the put will expire worthless, representing a loss of the price a Fund paid for the put, plus transaction costs. If the price of the underlying security increases, the profit a Fund realizes on the sale of the security will be reduced by the premium paid for the put option less any amount for which the put may be sold.
If a Fund purchases a call option, it acquires the right to purchase the underlying security at a specified price at any time during the term of the option. The purchase of a call option is a type of insurance policy to hedge against losses that could occur if a Fund has a short position in the underlying security and the security thereafter increases in price. Each Fund will exercise a call option only if the price of the underlying security is above the strike price at the time of exercise. If during the option period the market price for the underlying security remains at or below the strike price of the call option, the option will expire worthless, representing a loss of the price paid for the option, plus transaction costs. If the call option has been purchased to hedge a short position of a Fund in the underlying security and the price of the underlying security thereafter falls, the profit a Fund realizes on the cover of the short position in the security will be reduced by the premium paid for the call option less any amount for which such option may be sold.
Prior to exercise or expiration, an option may be sold when it has remaining value by a purchaser through a “closing sale transaction,” which is accomplished by selling an option of the same series as the option previously purchased. Each Fund generally will purchase only those options for which a Manager believes there is an active secondary market to facilitate closing transactions.
Writing Call Options. Each Fund may write covered call options. A call option is “covered” if a Fund owns the security underlying the call or has an absolute right to acquire the security without additional cash consideration (or, if additional cash consideration is required, cash or cash equivalents in such amount as are held in a segregated account by the Custodian). The writer of a call option receives a premium and gives the purchaser the right to buy the security underlying the option at the exercise price. The writer has the obligation upon exercise of the option to deliver the underlying security against payment of the exercise price during the option period. If the writer of an exchange-traded option wishes to terminate his obligation, he may effect a “closing purchase transaction.” This is accomplished by buying an option of the same series as the option previously written. A writer may not effect a closing purchase transaction after it has been notified of the exercise of an option.
Effecting a closing transaction in the case of a written call option will permit a Fund to write another call option on the underlying security with either a different exercise price, expiration date or both. Also, effecting a closing transaction will permit the cash or proceeds from the concurrent sale of any securities subject to the option to be used for other investments of a Fund. If a Fund desires to sell a particular security from its portfolio on which it has written a call option, it will effect a closing transaction prior to or concurrent with the sale of the security.
Each Fund will realize a gain from a closing transaction if the cost of the closing transaction is less than the premium received from writing the option or if the proceeds from the closing transaction are more than the premium paid to purchase the option. Each Fund will realize a loss from a closing transaction if the cost of the closing transaction is more than the premium received from writing the option or if the proceeds from the closing transaction are less than the premium paid to purchase the option. However, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss to a Fund resulting from the repurchase of a call option is likely to be offset in whole or in part by appreciation of the underlying security owned by a Fund.
Writing Put Options. Each Fund may write put options. By writing put options, the Fund takes on the risk of declines in the value of the underlying instrument, including the possibility of a loss up to the entire strike price of each option it sells, but without the corresponding opportunity to benefit from potential increases in the value of the underlying instrument. When the Fund writes a put option, it assumes the risk that it must purchase the underlying instrument at a strike price that may be higher than the market price of the instrument. If there is a broad market decline and the Fund is able to close out its written put options, it may result in substantial losses to the Fund.
Risks of Investing in Options. There are several risks associated with transactions in options on securities. Options may be more volatile than the underlying instruments and, therefore, on a percentage basis, an investment in options may be subject to greater fluctuation than an investment in the underlying instruments themselves. There are also significant differences between the securities and options markets that could result in an imperfect correlation between these markets, causing a given transaction not to achieve its objective. In addition, a liquid secondary market for particular options may be absent for reasons which include the following: there may be insufficient trading interest in certain options; restrictions may be imposed by an exchange on opening transactions or closing transactions or both; trading halts, suspensions or other restrictions may be imposed with respect to particular classes or series of option of underlying securities; unusual or unforeseen circumstances may interrupt normal operations on an exchange; the facilities of an exchange or clearing corporation may not at all times be adequate to handle current trading volume; or one or more exchanges could, for economic or other reasons, decide or be compelled at some future date to discontinue the trading of options (or a particular class or series of options), in which event the secondary market on that exchange (or in that class or series of options) would cease to exist, although outstanding options that had been issued by a clearing corporation as a result of trades on that exchange would continue to be exercisable in accordance with their terms.
A decision as to whether, when and how to use options involves the exercise of skill and judgment, and even a well-conceived transaction may be unsuccessful to some degree because of market behavior or unexpected events. The extent to which a Fund may enter into options transactions may be limited by the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), with respect to qualification of a Fund as a regulated investment company.
Restricted Securities. A restricted security cannot be resold to the general public without prior registration under the Securities Act of 1933. If the security is subsequently registered and resold, the issuers would typically bear the expense of all registrations at no cost to the Fund. Restricted securities are valued according to the guidelines and procedures adopted by the Funds’ Board of Trustees. As of September 30, 2019, there were no restricted securities held in the Funds.
Illiquid Securities.Each Fund may not invest more than 15% of the value of its net assets in illiquid securities, including restricted securities that are not deemed to be liquid by the Sub-Advisors. The Advisor and the Sub-Advisors will monitor the amount of illiquid securities in a Fund’s portfolio, under the supervision of the Board, to ensure compliance with a Fund’s investment restrictions. In accordance with procedures approved by the Board, these securities may be valued using techniques other than market quotations, and the values established for these securities may be different than what would be produced through the use of another methodology or if they had been priced using market quotations. Illiquid securities and other portfolio securities that are valued using techniques other than market quotations, including “fair valued” securities, may be subject to greater fluctuation in their value from one day to the next than would be the case if market quotations were used. In addition, there is no assurance that a Fund could sell a portfolio security for the value established for it at any time, and it is possible that a Fund would incur a loss because a portfolio security is sold at a discount to its established value.
Fair Value of Financial Investments
The Funds follow a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Funds’ own market assumptions (unobservable inputs). These inputs are used in determining the value of each Fund’s investments and are summarized in the following fair value hierarchy:
Level 1 – Quoted prices in active markets for identical securities.
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, foreign exchange rates, and fair value estimates for foreign securities indices).
Level 3 – Significant unobservable inputs (including the Funds’ own assumptions in determining fair value of investments).
Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, U.S. Treasury inflation protected securities, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued on the basis of quotes obtained from brokers and dealers or independent pricing services or sources. Independent pricing services typically use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. The service providers’ internal models use inputs that are observable such as, among other things, issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Fixed income securities purchased on a delayed-delivery basis are typically marked to market daily until settlement at the forward settlement date.
Mortgage and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by pricing service providers that use broker dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, estimated cash flows and market-based yield spreads for each tranche, current market data and incorporates deal collateral performance, as available.
Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all interest payments (interest-only, or “IO” and/or high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all principal payments (principal-only, or “PO”) from a pool of mortgage loans. Little to no principal will be received at the maturity of an IO; as a result, periodic adjustments are recorded to reduce the cost of the security until maturity. These adjustments are included in interest income.
Mortgage and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Shares of the unregistered Underlying Funds are valued at their closing net asset value (“NAV”) as reported on each business day, as a practical expedient for fair value. Each of the unregistered Underlying Funds is daily valued and offer daily liquidity and hold no unfunded commitments. The shares of the open-end registered Underlying Funds are valued at NAV each business day. If the Underlying Funds’ designated representative to the Trustee determines, based on its own due diligence and investment monitoring procedures, that the reported NAV per share does not represent fair value, Underlying Funds’ designated representative to the Trustee shall estimate the fair value of the Underlying Funds in good faith and in a manner that it reasonably chooses.
Financial derivative instruments, such as foreign currency contracts, options contracts, futures, or swap agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or pricing service providers at the settlement price determined by the relevant exchange. Depending on the product and the terms of the transaction, the value of the derivative contracts can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates. Derivatives that use similar valuation techniques and inputs as described above are categorized as Level 1 or Level 2 of the fair value hierarchy.
The following table provides the fair value measurements of applicable Fund assets and liabilities by level within the fair value hierarchy for each Fund as of September 30, 2019. These assets and liabilities are measured on a recurring basis.
Equity Fund
Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | |||||||||||||
Description | ||||||||||||||||
Equity(a) | ||||||||||||||||
Common Stocks | $ | 260,227,809 | $ | — | $ | — | $ | 260,227,809 | ||||||||
Preferred Stocks | 1,816,244 | — | — | 1,816,244 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equity | 262,044,053 | — | — | 262,044,053 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | — | 16,959,000 | — | 16,959,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 262,044,053 | $ | 16,959,000 | $ | — | $ | 279,003,053 | ||||||||
|
|
|
|
|
|
|
|
(a) | See Fund’s Schedule of Investments in Securities for sector classifications. |
International Fund
Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | |||||||||||||
Description | ||||||||||||||||
Equity | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 4,129,571 | $ | — | $ | 4,129,571 | ||||||||
Austria | — | 3,791,344 | — | 3,791,344 | ||||||||||||
Belgium | — | 6,569,284 | — | 6,569,284 | ||||||||||||
Bermuda | 23,397,470 | — | — | 23,397,470 | ||||||||||||
Canada | 6,919,700 | — | — | 6,919,700 | ||||||||||||
China | 10,266,512 | — | — | 10,266,512 | ||||||||||||
Denmark | — | 4,024,049 | — | 4,024,049 | ||||||||||||
Finland | — | 7,367,595 | — | 7,367,595 | ||||||||||||
France | — | 47,259,835 | — | 47,259,835 | ||||||||||||
Germany | — | 17,369,101 | — | 17,369,101 | ||||||||||||
Hong Kong | — | 23,006,020 | — | 23,006,020 | ||||||||||||
Ireland | 3,465,036 | — | — | 3,465,036 | ||||||||||||
Israel | — | 10,983,904 | — | 10,983,904 | ||||||||||||
Japan | — | 39,981,525 | — | 39,981,525 | ||||||||||||
Mexico | 2,668,434 | — | — | 2,668,434 | ||||||||||||
Monaco | 4,377,375 | — | — | 4,377,375 | ||||||||||||
Netherlands | 1,760,561 | 36,064,482 | — | 37,825,043 | ||||||||||||
Norway | 328,960 | 822,357 | — | 1,151,317 | ||||||||||||
Russia | — | 6,151,467 | — | 6,151,467 | ||||||||||||
South Africa | — | 3,015,051 | — | 3,015,051 | ||||||||||||
South Korea | — | 8,900,936 | — | 8,900,936 | ||||||||||||
Spain | — | — | 3,175,880 | ** | 3,175,880 | |||||||||||
Sweden | — | 7,696,589 | — | 7,696,589 | ||||||||||||
Switzerland | — | 31,157,103 | — | 31,157,103 | ||||||||||||
United Kingdom | — | 42,491,602 | — | 42,491,602 | ||||||||||||
United States | 3,066,240 | — | — | 3,066,240 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equity | 56,250,288 | 300,781,815 | 3,175,880 | ** | 360,207,983 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | — | 15,402,000 | — | 15,402,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 15,402,000 | — | 15,402,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 56,250,288 | $ | 316,183,815 | $ | 3,175,880 | ** | $ | 375,609,983 | |||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments* | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | 241,201 | $ | — | $ | — | $ | 241,201 | ||||||||
|
|
|
|
|
|
|
|
* | Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value. |
** | Significant unobservable inputs were used in determining the value of portfolio securities for the Alternative Strategies Fund. |
Smaller Companies Fund
Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | |||||||||||||
Description | ||||||||||||||||
Equity(a) | ||||||||||||||||
Common Stocks | $ | 24,023,642 | $ | — | $ | — | $ | 24,023,642 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equity | 24,023,642 | — | — | 24,023,642 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | — | 4,584,000 | — | 4,584,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 24,023,642 | $ | 4,584,000 | $ | — | $ | 28,607,642 | ||||||||
|
|
|
|
|
|
|
|
(a) | See Fund’s Schedule of Investments in Securities for sector classifications. |
Alternative Strategies Fund
Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | |||||||||||||
Description | ||||||||||||||||
Equity(a) | ||||||||||||||||
Common Stocks | $ | 520,941,613 | $ | 5,808,026 | $ | 618,913 | ** | $ | 527,368,552 | |||||||
Closed-End Fund | 2,228,317 | — | — | 2,228,317 | ||||||||||||
Limited Partnerships | — | — | 1,164,998 | ** | 1,164,998 | |||||||||||
Preferred Stocks | 1,880,340 | — | 1,468,800 | ** | 3,349,140 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equity | 525,050,270 | 5,808,026 | 3,252,711 | ** | 534,111,007 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights/Warrants | 48 | 18,781 | — | 18,829 | ||||||||||||
Fixed Income | ||||||||||||||||
Asset-Backed Securities | — | 176,020,012 | 788,989 | ** | 176,809,001 | |||||||||||
Bank Loans | — | 45,980,737 | 4,029,645 | ** | 50,010,382 | |||||||||||
Convertible Bonds | — | 13,197,413 | — | 13,197,413 | ||||||||||||
Corporate Bonds | — | 508,340,923 | 1,009,848 | ** | 509,350,771 | |||||||||||
Government Securities & Agency Issue | — | 41,850,374 | — | 41,850,374 | ||||||||||||
Mortgage-Backed Securities | — | 384,191,403 | 1,024,003 | (1) | 385,215,406 | |||||||||||
Municipal Bonds | — | 8,197,347 | — | 8,197,347 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income | — | 1,177,778,209 | 6,852,485 | ** | 1,184,630,694 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Treasury Bills | — | 27,316,275 | — | 27,316,275 | ||||||||||||
Repurchase Agreements | — | 88,064,000 | — | 88,064,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 115,380,275 | — | 115,380,275 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchased Options | 1,324,740 | — | — | 1,324,740 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investments Valued at NAV(2) | — | — | — | 2,622,783 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 526,375,058 | $ | 1,298,985,291 | $ | 10,105,196 | ** | $ | 1,838,088,328 | |||||||
|
|
|
|
|
|
|
| |||||||||
Fixed Income | ||||||||||||||||
Unfunded Loan Commitments | — | 21,227 | — | 21,227 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities in Assets | $ | 526,375,058 | $ | 1,299,006,518 | $ | 10,105,196 | ** | $ | 1,838,109,555 | |||||||
|
|
|
|
|
|
|
| |||||||||
Short Sales | ||||||||||||||||
Common Stocks | (46,196,970 | ) | (319,514 | ) | — | (46,516,484 | ) | |||||||||
Exchange-Traded Funds | (29,010,615 | ) | — | — | (29,010,615 | ) | ||||||||||
Corporate Bonds | — | (2,304,293 | ) | — | (2,304,293 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Sales | (75,207,585 | ) | (2,623,807 | ) | — | (77,831,392 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities in Liabilities | $ | (75,207,585 | ) | $ | (2,623,807 | ) | $ | — | $ | (77,831,392 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments* | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | 130,928 | $ | — | $ | — | $ | 130,928 | ||||||||
Futures | 656,784 | — | — | 656,784 | ||||||||||||
Swaps - Credit Default | — | (4,068,410 | ) | — | (4,068,410 | ) | ||||||||||
Swaps - Total Return | — | 251,207 | — | 251,207 | ||||||||||||
Written Options | (334,815 | ) | — | — | (334,815 | ) | ||||||||||
|
|
|
|
|
|
|
|
(a) | See Fund’s Schedule of Investments in Securities for sector classifications. |
* | Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value. |
** | Significant unobservable inputs were used in determining the value of portfolio securities for the Alternative Strategies Fund. |
(1) | These securities were priced by a pricing service; however, the Advisor/Sub-Advisor used their fair value procedures based on other available inputs which more accurately reflected the current fair value of these securities. |
(2) | As of September 30, 2019, certain of the Portfolio’s investments were valued using net asset value per unit as practical expedient (“NAV”) and have been excluded from the fair value hierarchy. |
There was $1,302,343 transferred from Level 2 to Level 3 in Alternative Strategies Fund. Securities were moved from Level 2 to Level 3 to reflect a potential liquidity discount on odd-lot fixed income holdings.
High Income Alternatives Fund
Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | |||||||||||||
Description | ||||||||||||||||
Equity(a) | ||||||||||||||||
Common Stocks | $ | 9,525,867 | $ | — | $ | — | $ | 9,525,867 | ||||||||
Preferred Stocks | 1,690,671 | — | — | 1,690,671 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Equity | 11,216,538 | — | — | 11,216,538 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Fixed Income | ||||||||||||||||
Asset-Backed Securities | — | 21,576,013 | — | 21,576,013 | ||||||||||||
Bank Loans | — | 14,388,623 | — | 14,388,623 | ||||||||||||
Corporate Bonds | — | 11,097,033 | — | 11,097,033 | ||||||||||||
Government Securities & Agency Issue | — | 22,279,884 | — | 22,279,884 | ||||||||||||
Mortgage-Backed Securities | — | 5,967,567 | — | 5,967,567 | ||||||||||||
Municipal Bond | — | 5,175 | — | 5,175 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Fixed Income | — | 75,314,295 | — | 75,314,295 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Commercial Paper | — | 997,846 | — | 997,846 | ||||||||||||
Money Market Funds | 65,185 | — | — | 65,185 | ||||||||||||
Repurchase Agreements | — | 5,310,780 | — | 5,310,780 | ||||||||||||
Treasury Bills | — | 24,937 | — | 24,937 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 65,185 | 6,333,563 | — | 6,398,748 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Purchased Options | — | 44,250 | — | 44,250 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 11,281,723 | $ | 81,692,108 | $ | — | $ | 92,973,831 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Fixed Income | ||||||||||||||||
Unfunded Loan Commitments | — | 16,271 | — | 16,271 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities in Assets | $ | 11,281,723 | $ | 81,708,379 | $ | — | $ | 92,990,102 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Reverse Repurchase Agreements | — | (37,000 | ) | — | (37,000 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities in Liabilities | $ | — | $ | (37,000 | ) | $ | — | $ | (37,000 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments* | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | 119,100 | $ | — | $ | — | $ | 119,100 | ||||||||
Futures | (3,169 | ) | — | — | (3,169 | ) | ||||||||||
Swaps - Interest Rate | — | (105,613 | ) | — | (105,613 | ) | ||||||||||
Swaps - Credit Default | — | (62,988 | ) | — | (62,988 | ) | ||||||||||
Written Options | (129,890 | ) | — | — | (129,890 | ) | ||||||||||
|
|
|
|
|
|
|
|
(a) | See Fund’s Schedule of Investments in Securities for sector classifications. |
* | Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value. |
Principal Risks
Below are summaries of the principal risks of investing in one or more of the Funds, each of which could adversely affect a Fund’s net asset value, yield and total return. Each risk listed below does not necessarily apply to each Fund, and you should read a Fund’s prospectus carefully for a description of the principal risks associated with investing in a particular Fund.
• | Asset-Backed Securities Risk. This is the risk that the impairment of the value of the collateral underlying a security in which the High Income Alternatives Fund invests, such as the non-payment of loans, will result in a reduction in the value of the security. The value of these securities may also fluctuate in response to the market’s perception of the value of issuers or collateral. |
• | Below Investment-Grade Fixed Income Securities Risk. This is the risk of investing in below investment-grade fixed income securities (also known as “junk bonds”), which may be greater than that of higher rated fixed income securities. These securities are rated Ba1 through C by Moody’s Investors Service (“Moody’s”) or BB+ through D by Standard & Poor’s Rating Group (“S&P”) (or comparably rated by another nationally recognized statistical rating organization), or, if not rated by Moody’s or S&P, are considered by the sub-advisors to be of similar quality. These securities have greater risk of default than higher rated securities. The market value of these securities is more sensitive to corporate developments and economic conditions and can be volatile. Market conditions can diminish liquidity and make accurate valuations difficult to obtain. There is no limit to the Alternative Strategies Fund’s ability to invest in below investment-grade fixed income securities; however, under normal market conditions, it does not expect to invest more than 50% of its total assets in below investment-grade fixed income securities. |
• | Capital Structure Arbitrage Risk. The perceived mispricing identified by the sub-advisor may not disappear or may even increase, in which case losses may be realized. |
• | Collateral Risk. If the Alternative Strategies Fund and High Income Alternatives Fund’s financial instruments are secured by collateral, the issuer may have difficulty liquidating the collateral and/or the Fund may have difficulty enforcing its rights under the terms of the securities if an issuer defaults. Collateral may be insufficient or the Fund’s right to the collateral may be set aside by a court. Collateral will generally consist of assets that may not be readily liquidated, including for example, equipment, inventory, work in the process of manufacture, real property and payments to become due under contracts or other receivable obligations. There is no assurance that the liquidation of those assets would satisfy an issuer’s obligations under a financial instrument. Non-affiliates and affiliates of issuers of financial instruments may provide collateral in the form of secured and unsecured guarantees and/or security interests in assets that they own, which may also be insufficient to satisfy an issuer’s obligations under a financial instrument. |
• | Collateralized Loan Obligations and Collateralized Debt Obligations Risk. Collateralized loan obligations (“CLOs”) bear many of the same risks as other forms of asset-backed securities, including interest rate risk, credit risk and default risk. As they are backed by pools of loans, CLOs also bear similar |
risks to investing in loans directly. CLOs issue classes or “tranches” that vary in risk and yield. CLOs may experience substantial losses attributable to loan defaults. Losses caused by defaults on underlying assets are borne first by the holders of subordinate tranches. The Alternative Strategies Fund and High Income Alternatives Fund’s investment in CLOs may decrease in market value when the CLO experiences loan defaults or credit impairment, the disappearance of a subordinate tranche, or market anticipation of defaults and investor aversion to CLO securities as a class. |
Collateralized debt obligations (“CDOs”) are structured similarly to CLOs and bear the same risks as CLOs including interest rate risk, credit risk and default risk. CDOs are subject to additional risks because they are backed by pools of assets other than loans including securities (such as other asset-backed securities), synthetic instruments or bonds and may be highly leveraged. Like CLOs, losses incurred by a CDO are borne first by holders of subordinate tranches. Accordingly, the risks of CDOs depend largely on the type of underlying collateral and the tranche of CDOs in which the Fund invests. For example, CDOs that obtain their exposure through synthetic investments entail the risks associated with derivative instruments.
• | Convertible Arbitrage Risk.Arbitrage strategies involve engaging in transactions that attempt to exploit price differences of identical, related or similar securities on different markets or in different forms. A Fund may realize losses or reduced rate of return if underlying relationships among securities in which investment positions are taken change in an adverse manner or a transaction is unexpectedly terminated or delayed. Trading to seek short-term capital appreciation can be expected to cause the Fund’s portfolio turnover rate to be substantially higher than that of the average equity-oriented investment company, resulting in higher transaction costs and additional capital gains tax liabilities. |
• | Convertible Securities Risk. This is the risk that the market value of convertible securities may fluctuate due to changes in, among other things, interest rates; other general economic conditions; industry fundamentals; market sentiment; the issuer’s operating results, financial statements, and credit ratings; and the market value of the underlying common or preferred stock. |
• | Credit Risk. This is the risk that a Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty of a derivatives contract or other transaction, is unable or unwilling (or is perceived to be unable or unwilling) to make timely payment of principal and/or interest, or to otherwise honor its obligations. |
• | Currency Risk. This is the risk that investing in foreign currencies may expose the Fund to fluctuations in currency exchange rates and that such fluctuations in the exchange rates may negatively affect an investment related to a currency or denominated in a foreign currency. The Alternative Strategies Fund may invest in foreign currencies for investment and hedging purposes. All of the Funds may invest in foreign currencies for hedging purposes. |
• | Cybersecurity Risk.Information and technology systems relied upon by the Funds, the Advisor, the sub-advisors, the Funds’ service providers (including, but not limited to, Fund accountants, custodians, transfer agents, administrators, distributors and other financial intermediaries) and/or the issuers of securities in which a Fund invests may be vulnerable to damage or interruption from computer viruses, network failures, computer and telecommunication failures, infiltration by unauthorized persons, security breaches, usage errors, power outages and catastrophic events such as fires, tornadoes, floods, hurricanes and earthquakes. Although the Advisor has implemented measures to manage risks relating to these types of events, if these systems are compromised, become inoperable for extended periods of time or cease to function properly, significant investment may be required to fix or replace them. The failure of these systems and/or of disaster recovery plans could cause significant interruptions in the operations of the Funds, the Advisor, the sub-advisors, the Funds’ service providers and/or issuers of securities in which a Fund invests and may result in a failure to maintain the security, confidentiality or privacy of sensitive data, including personal information relating to investors (and the beneficial owners of investors). Such a failure could also harm the reputation of the Funds, the Advisor, the sub-advisors, the Funds’ service providers and/or issuers of securities in which a Fund invests, subject such entities and their respective affiliates to legal claims or otherwise affect their business and financial performance. |
• | Debt Securities Risk. This is the risk that the value and liquidity of debt securities may be reduced under certain circumstances. The value of debt securities can fluctuate in response to issuer activity and changes in general economic and credit market conditions, including changes in interest rates. In recent years, dealer capacity in the debt and fixed income markets appears to have undergone fundamental changes, including a reduction in dealer market-making capacity. These changes have the potential to decrease substantially liquidity and increase volatility in the debt and fixed income markets. |
• | Derivatives Risk. This is the risk that an investment in derivatives may not correlate completely to the performance of the underlying securities and may be volatile and that the insolvency of the counterparty to a derivative instrument could cause the Fund to lose all or substantially all of its investment in the derivative instrument, as well as the benefits derived therefrom. |
• | Options Risk.This is the risk that an investment in options may be subject to greater fluctuation than an investment in the underlying instruments themselves and may be subject to a complete loss of the amounts paid as premiums to purchase the options. |
• | Futures Contracts Risk.This is the risk that an investment in futures contracts may be subject to losses that exceed the amount of the premiums paid and may subject the Fund’s net asset value to greater volatility. |
• | P-Notes Risk.This is the risk that the performance results of P-Notes will not replicate exactly the performance of the issuers or markets that the P-Notes seek to replicate. Investments in P-Notes involve risks normally associated with a direct investment in the underlying securities as well as additional risks, such as counterparty risk. |
• | Swaps Risk. Risks inherent in the use of swaps include: (1) swap contracts may not be assigned without the consent of the counterparty; (2) potential default of the counterparty to the swap; (3) absence of a liquid secondary market for any particular swap at any time; and (4) possible inability of the Fund to close out the swap transaction at a time that otherwise would be favorable for it to do so. |
• | Distressed Companies Risk. A Fund may invest a portion of its assets in securities of distressed companies. Debt obligations of distressed companies typically are unrated, lower rated, in default or close to default and may be difficult to value accurately or may become worthless. |
• | Emerging Markets Risk. A Fund may invest a portion of its assets in emerging market countries. Emerging market countries are those with immature economic and political structures, and investing in emerging markets entails greater risk than in developed markets. Such risks could include those related to government dependence on a few industries or resources, government-imposed taxes on foreign investment or limits on the removal of capital from a country, unstable government, and volatile markets. |
• | Equity Securities Risk. This is the risk that the value of equity securities may fluctuate, sometimes rapidly and unpredictably, due to factors affecting the general market, an entire industry or sector, or particular companies. These factors include, without limitation, adverse changes in economic conditions, the general outlook for corporate earnings, interest rates or investor sentiment; increases in production costs; and significant management decisions. This risk is greater for small- and medium-sized companies, which tend to be more vulnerable to adverse developments than larger companies. |
• | Event-Driven Risk. Event-driven strategies seek to profit from the market inefficiencies surrounding market events, such as mergers, acquisitions, asset sales, restructurings, refinancings, recapitalizations, reorganizations or other special situations. Event-driven investing involves attempting to predict the outcome of a particular transaction as well as the optimal time at which to commit capital to it. Event-driven opportunities involve difficult legal as well as financial analysis, as some of the principal impediments to the consummation of major corporate events are often legal or regulatory rather than economic. In addition, certain of the securities issued in the context of major corporate events include complex call, put and other features, and it is difficult to precisely evaluate the terms and embedded option characteristics of these securities. A Fund may take both long and short positions in a wide range of securities, derivatives and other instruments in implementing its event-driven strategies. |
• | Foreign Investment and Emerging Markets Risks.This is the risk that an investment in foreign (non-U.S.) securities may cause the Funds to experience more rapid and extreme changes in value than a fund that invests exclusively in securities of U.S. companies, due to factors such as currency conversion rate fluctuations, currency blockages, political and economic instability, differences in financial reporting, accounting and auditing standards, nationalization, expropriation or confiscatory taxation, and smaller and less-strict regulation of securities markets. These risks are greater in emerging markets. There is no limit to the Alternative Strategies Fund’s ability to invest in emerging market securities; however, under normal market conditions, it does not expect to invest more than 50% of its total assets in emerging market securities; however, some Funds may invest a portion of their assets in stocks of companies based outside of the United States. |
• | Interest Rate Risk. This is the risk that debt securities will decline in value because of changes in interest rates. A Fund with a longer average portfolio duration will be more sensitive to changes in interest rates than a Fund with a shorter average portfolio duration. |
• | Investment Companies Risk. This is the risk that investing in other investment companies, including ETFs, CEFs, BDCs, unit investment trusts and open-end funds, subjects the Fund to those risks affecting the investment vehicle, including the possibility that the value of the underlying securities held by the investment vehicle could decrease or the portfolio becomes illiquid. Moreover, the High Income Alternatives Fund and its shareholders will incur its pro rata share of the underlying vehicles’ expenses, which will reduce the Fund’s performance. In addition, investments in an ETF are subject to, among other risks, the risk that the ETF’s shares may trade at a discount or premium relative to the net asset value of the shares and the listing exchange may halt trading of the ETF’s shares. BDCs may carry risks similar to those of a private equity or venture capital fund. BDC company securities are not redeemable at the option of the shareholder and they may trade in the market at a discount to their net asset value. BDCs usually trade at a discount to their net asset value because they invest in unlisted securities and have limited access to capital markets. Shares of CEFs also frequently trade at a discount to their net asset value for those and other reasons. |
• | Investments in Loan Risk. Investments in loans, including loan syndicates and other direct lending opportunities, involve special types of risks, including credit risk, interest rate risk, counterparty risk and prepayment risk. Loans may offer a fixed or floating interest rate. Loans are often generally below investment grade and may be unrated. The High Income Alternatives Fund’s investments in loans can also be difficult to value accurately and may be more susceptible to liquidity risk than fixed-income instruments of similar credit quality and/or maturity. The Fund is also subject to the risk that the value of the collateral for the loan may be insufficient or unavailable to cover the borrower’s obligations should the borrower fail to make payments or become insolvent. Participations in loans may subject the Fund to the credit risk of both the borrower and the issuer of the participation and may make enforcement of loan covenants, if any, more difficult for the Fund as legal action may have to go through the issuer of the participations. Transactions in loans are often subject to long settlement periods, thus potentially limiting the ability of the Fund to invest sale proceeds in other investments and to use proceeds to meet its current redemption obligations. In addition, many banks have been weakened by the recent financial crisis, and it may be difficult for the Fund to obtain an accurate picture of a lending bank’s financial condition. |
• | Large Shareholder Purchase and Redemption Risk. This is the risk that a Fund may experience adverse effects when certain large shareholders purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions may cause the Fund to sell its securities at times when it would not otherwise do so, which may negatively impact the Fund’s net asset value and liquidity. Similarly, large share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would. In addition, a large redemption could result in the Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. |
• | Leverage Risk. This is the risk that leverage may cause the effect of an increase or decrease in the value of the Alternative Strategies Fund’s portfolio securities to be magnified and the Fund to be more volatile than if leverage was not used. Leverage may result from certain transactions, including the use of derivatives and borrowing. Under normal circumstances, the Alternative Strategies Fund may borrow amounts up to one third of the value of its total assets except that it may exceed this limit to satisfy redemption requests or for other temporary purposes. |
• | Market Risk. As with all mutual funds that invest in common stocks, the value of an individual’s investment will fluctuate daily in response to the performance of the individual stocks held in a Fund. The stock market has been subject to significant volatility recently, which has increased the risks associated with an investment in a Fund. |
• | Merger Arbitrage Risk. This is the risk that a proposed reorganization in which the Alternative Strategies Fund invests may be renegotiated or terminated. |
• | MLP Risk. Investing in MLP units involves some risks that differ from an investment in the equity securities of a company. Holders of MLP units have limited control and voting rights on matters affecting the partnership. Holders of units issued by a MLP are exposed to a remote possibility of liability for all of the obligations of that MLP in the event that a court determines that the rights of the holders of MLP units to vote to remove or replace the general partner of that MLP, to approve amendments to that MLP’s partnership agreement, or to take other action under the partnership agreement of that MLP would constitute “control” of the business of that MLP, or a court or governmental agency determines that the MLP is conducting business in a state without complying with the partnership statute of that state. Holders of MLP units are also exposed to the risk that they will be required to repay amounts to the MLP that are wrongfully distributed to them. |
• | Mortgage-Backed Securities Risk. This is the risk of investing in mortgaged-backed securities, which includes interest rate risk, prepayment risk and the risk of defaults on the mortgage loans underlying these securities. |
• | Mortgage REIT Risk. Investing in mREITs involves certain risks related to investing in real property mortgages. In addition, mREITs must satisfy highly |
technical and complex requirements in order to qualify for the favorable tax treatment accorded to REITs under the Internal Revenue Code of 1986 (the “Code”). No assurances can be given that a mREIT in which the High Income Alternatives Fund invests will be able to continue to qualify as a REIT or that complying with the REIT requirements under the Code will not adversely affect such REIT’s ability to execute its business plan. |
• | Multi-Style Management Risk. Because portions of a Fund’s assets are managed by different portfolio managers using different styles, the Fund could experience overlapping security transactions. Certain portfolio managers may be purchasing securities at the same time other portfolio managers may be selling those same securities, which may lead to higher transaction expenses compared to a Fund using a single investment management style. |
• | Municipal Securities Risk. Municipal securities can be significantly affected by litigation, political or economic events, as well as uncertainties in the municipal market related to taxation, legislative changes or the rights of municipal security holders. Municipal securities backed by current or anticipated revenues from specific projects or assets can be negatively affected by the inability of the issuer to collect revenues for the projects or from the assets. |
• | Portfolio Turnover Risk. This is the risk that a Fund may experience high portfolio turnover rates as a result of its investment strategies. High portfolio turnover rates may indicate higher transaction costs and may result in higher taxes when shares of a Fund are held in a taxable account as compared to shares in investment companies that hold investments for a longer period. High portfolio turnover involves correspondingly greater expenses to a Fund, including brokerage commissions or dealer mark-ups and other transaction costs on the sale of securities and reinvestments in other securities, which may result in adverse tax consequences to a Fund’s shareholders as compared to shares in investment companies that hold investments for a longer period. |
• | Short Sale Risk. This is the risk that the value of a security the Alternative Strategies Fund sells short does not go down as expected. The risk of loss is theoretically unlimited if the value of the security sold short continues to increase. In addition, short sales may cause the Alternative Strategies Fund to be compelled, at a time disadvantageous to it, to buy the security previously sold short, thus resulting in a loss. To meet current margin requirements, the Alternative Strategies Fund is required to deposit with the broker additional cash or securities so that the total deposit with the broker is maintained daily at 150% of the current market value of the securities sold short. |
• | Smaller Companies Risk. A Fund may invest a portion of its assets in the securities of small- and mid-sized companies. Securities of small and mid-cap companies are generally more volatile and less liquid than the securities of large-cap companies. This is because smaller companies may be more reliant on a few products, services or key personnel, which can make it riskier than investing in larger companies with more diverse product lines and structured management. |
• | Special Situations Risk. Investments in special situations (undervalued equities, merger arbitrage situations, distressed companies, etc.) may involve greater risks when compared to other investments a Fund may make due to a variety of factors. For example, mergers, acquisitions, reorganizations, liquidations or recapitalizations may fail or not be completed on the terms originally contemplated, and expected developments may not occur in a timely manner, if at all. |
• | Technology Investment Risk.A Fund may invest a portion of its assets in the technology sector, which is a very volatile segment of the market. The nature of technology is that it is rapidly changing. Therefore, products or services that may initially look promising may subsequently fail or become obsolete. In addition, many technology companies are younger, smaller and unseasoned companies which may not have established products, an experienced management team, or earnings history. |
• | Unfavorable Tax Treatment Risk. This is the risk that a material portion of the Alternative Strategies Fund’s return could be in the form of net investment income or short-term capital gains, some of which may be distributed to shareholders and taxed at ordinary income tax rates. Therefore, shareholders may have a greater need to pay regular taxes than compared to other investment strategies that hold investments longer. Due to this investment strategy, it may be preferable for certain shareholders to invest in the Fund through pre-tax or tax-deferred accounts as compared to investment through currently taxable accounts. Potential shareholders are encouraged to consult their tax advisors in this regard. |
• | Value Stock Risk. Value stocks are stocks of companies that may have experienced adverse business or industry developments or may be subject to special risks that have caused the stocks to be out of favor and, in the opinion of the manager, undervalued. The value of a security believed by a manager to be undervalued may never reach what is believed to be its full (intrinsic) value, or such security’s value may decrease. |