UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-10145
(Exact name of registrant as specified in charter)
1 Greenside Row
| Edinburgh, Scotland, UK, EH1 3AN | |
(Address of principal executive offices) (Zip code)
Gareth Griffiths
1 Greenside Row
| Edinburgh, Scotland, UK, EH1 3AN | |
(Name and address of agent for service)
Registrant's telephone number, including area code: 011-44-131-275-2000
Date of fiscal year end: April 30
Date of reporting period: April 30, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a) The Report to Shareholders is attached herewith.
BAILLIE GIFFORD FUNDS
Baillie Gifford Multi Asset Fund
Annual Report
April 30, 2021
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Index
Page Number | | | |
| 01 | | | Management Discussion | |
| 03 | | | Fund Expenses | |
| 05 | | | Industry Diversification Table | |
| 07 | | | Portfolio of Investments | |
| 21 | | | Statement of Assets and Liabilities | |
| 22 | | | Statement of Operations | |
| 24 | | | Statements of Changes in Net Assets | |
| | Financial Highlights | |
| 25 | | | Selected Data for Class K | |
| 26 | | | Selected Data for Institutional Class | |
| 27 | | | Notes to Financial Statements | |
| 39 | | | Report of Independent Registered Public Accounting Firm | |
| | Supplemental Information | |
| 40 | | | Federal Income Tax Information | |
| 41 | | | Management of the Trust | |
![](https://capedge.com/proxy/N-CSR/0001104659-21-087684/j2152832_aa003.jpg)
Source: © David Robertson / Alamy Stock Photo
This report is intended for shareholders of Baillie Gifford Multi Asset Fund and may not be used as sales literature unless preceded or accompanied by a current prospectus for the fund.
The statements and views expressed in this report are as of this report's period end and are subject to change at any time. All investments entail risk, including the possible loss of principal.
Management Discussion (unaudited)
Annual Report April 30, 2021
Baillie Gifford Multi Asset Fund
Market conditions and review of performance during the 12 months ended April 30, 2021
In the 12 months ended April 30, 2021, Baillie Gifford Multi Asset Fund's performance rose by 17.35% (Class K shares) demonstrating a good recovery from the market volatility experienced in early 2020.
Over the period the Fund significantly outperformed its benchmark. This was largely driven by the exposures to more economically sensitive asset classes such as listed equities, commodities and emerging market government bonds. Most asset classes delivered a positive contribution, although absolute return (an asset class which often provides an uncorrelated return) detracted slightly, as did active currency, where our long position in the Japanese yen, typically a defensive position, performed worse against a more positive backdrop.
The past 12 months has been unusual in so many respects. An unprecedented health crisis and the resulting shutdown of economies across the world prompted extraordinary support from central banks, with governments providing liquidity for financial markets, guaranteeing loans for companies and underwriting the salaries of many workers.
At the start of the period, and as the extent of the impact of the virus was gradually becoming more apparent, we maintained a cautious outlook and considered what the COVID-19 pandemic would mean for the economy in terms of the duration of the pandemic, the pandemic's impact on growth and asset prices, the unintended consequences of the fiscal and monetary support, and, of course, the degree to which societies would be impacted and would be forced to adapt. Given the level of uncertainty about the future that existed at the start of the period, we held a significant portion of the portfolio in hedging positions, which provided protection against further increases in volatility and inflation risk through exposure in absolute return, commodities (gold) and government bond asset classes, as well as through holding a higher overall cash level in the portfolio.
As markets began to settle down, however, we gradually adopted a more positive view on the economic outlook over the medium term. Therefore, we took the opportunity to add to our higher-conviction opportunities in areas where we felt some form of economic recovery, coupled with attractive valuations, presented a compelling investment case.
We saw positive momentum coming from several sources: a sustained recovery of the Chinese economy, a significant tailwind from fiscal spending — which is a move away from the austerity measures that affected the post-Global Financial Crisis recovery — and an extended period of interest rates remaining lower.
This crisis has reinforced and accelerated certain trends, including we believe the move towards digitalization (such as more online consumption and shopping) and the drive towards decarbonization of energy demand. In such a world, we would still expect to see equities continuing to do well and an increased demand for logistics companies to facilitate timely and efficient online deliveries and for infrastructure assets stimulated by green and renewable energy policies and substantial fiscal support.
Therefore, whilst we have retained meaningful positions in our Baillie Gifford equity funds to benefit from the continuation of such transformative trends, we have also had exposure into China A-shares, as well as invested into a basket of individual stocks, which we think are well placed to benefit from the ongoing cyclical recovery in the global economy. Elsewhere, within the portfolio's real estate allocation, there is a meaningful exposure to the distribution and logistics sector.
As part of the recovery efforts, many countries have committed to increase spending on green energy and related infrastructure investments, with more countries, including China, having signed up to achieve carbon neutrality in the coming decades. We believe the Biden administration intends to make climate a key policy agenda, which will be a major boost to the green energy revolution. These policy actions will likely create opportunities in infrastructure, particularly energy transmission networks and certain commodities, such as nickel.
Though the COVID-19 vaccine development offers a potentially lasting solution to the pandemic, we do not expect the recovery to be a smooth ride. There remain many challenges, not least the logistical hurdle for the vaccine deployment, its overall efficacy in a continually evolving environment, and the willingness of people to be vaccinated. We are also concerned about the damage that a further wave of infections will do to certain industries and companies and the resulting impact on unemployment and general well-being.
Therefore, whilst we have continued to add to risk assets in recent months in order to express our view of a sustained cyclical growth more clearly in the medium term,
01
Management Discussion (unaudited)
Annual Report April 30, 2021
we continue to make modest additions to portfolio hedges to protect against several potentially significant risks. As a result, we believe the portfolio is well positioned to continue to benefit from a period of economic recovery whilst maintaining a good level of resilience during these challenging times.
Fund Performance for the periods ended 4/30/21 (Average Annual Total Returns)
| | One Year | | % return per annum annualized Since Inception (December 4, 2018) | |
Baillie Gifford Multi Asset Fund Class K* | | | 17.35 | % | | | 8.41 | % | |
Baillie Gifford Multi Asset Fund Institutional Class | | | 17.42 | % | | | 8.43 | % | |
ICE BofA Merrill Lynch 3-Month US Treasury Bill Index | | | 0.11 | % | | | 1.30 | % | |
* Performance of Class K differs from Institutional Class due to rounding. Performance of Class K is expected to be higher than Institutional Class if sub-transfer agency expenses grow within the Fund.
The returns are provided for all shares classes that had shares outstanding as of April 30, 2021. Additional year-over-year returns for each class are available in the Financial Highlights section.
Comparison of the change in value of $10,000 investment in the Fund's Class K share and the index.
![](https://capedge.com/proxy/N-CSR/0001104659-21-087684/j2152832_ba004.jpg)
Past performance does not predict future performance. The graph and the table above do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or redemption of Fund shares.
02
Fund Expenses (unaudited)
Annual Report April 30, 2021
As a shareholder of Baillie Gifford Multi Asset Fund (the "Fund") you incur two types of costs: (1) transaction costs, which may include purchase fees and redemption fees and (2) ongoing costs, including advisory fees, administration and supervisory fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from November 1, 2020 to April 30, 2021.
Actual Expenses
The first line of each table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide the account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each table on the following page provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund's actual return.
The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase fees and redemption fees. Therefore, the second line of the table labeled "Hypothetical (5% return before expenses)" is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
03
Fund Expenses (unaudited)
Annual Report April 30, 2021
| | Beginning Account Value November 1, 2020 | | Ending Account Value April 30, 2021 | | Annualized Expense Ratios Based on the Period November 1, 2020 to April 30, 2021 | | Expenses Paid During Period* | |
Baillie Gifford Multi Asset Fund — Class K | |
Actual | | $ | 1,000 | | | $ | 1,079.50 | | | | 0.30 | % | | $ | 1.55 | | |
Hypothetical (5% return before expenses) | | $ | 1,000 | | | $ | 1,023.31 | | | | 0.30 | % | | $ | 1.51 | | |
Baillie Gifford Multi Asset Fund — Institutional Class | |
Actual | | $ | 1,000 | | | $ | 1,081.10 | | | | 0.30 | % | | $ | 1.55 | | |
Hypothetical (5% return before expenses) | | $ | 1,000 | | | $ | 1,023.31 | | | | 0.30 | % | | $ | 1.51 | | |
* Unless otherwise indicated, expenses are calculated using the Fund's annualized expense ratio, multiplied by the average account value for the period, multiplied by 181/365 (to reflect the six-month period).
Expenses are calculated using the annualized expense ratio for the Fund, which represents the ongoing expenses as a percentage of net assets for the year ended April 30, 2021. Expenses are calculated by multiplying the annualized expense ratio by the average account value for the period; then multiplying the result by the number of days in the
most recent fiscal half-year; and then dividing that result by the number of days in the calendar year. Expense ratios for the most recent fiscal year may differ from expense ratios based on the one-year data in the financial highlights.
04
Industry Diversification Table (unaudited)
Annual Report April 30, 2021
April 30, 2021
Baillie Gifford Multi Asset Fund
| | Value | | % of Total Net Assets | |
Advertising | | $ | 42,261 | | | | 0.2 | % | |
Aerospace/Defense | | | 10,588 | | | | 0.0 | * | |
Agriculture | | | 19,974 | | | | 0.1 | | |
Airlines | | | 85,056 | | | | 0.3 | | |
Apparel | | | 37,310 | | | | 0.2 | | |
Asset Backed Securities | | | 731,985 | | | | 3.0 | | |
Auto Parts & Equipment | | | 59,354 | | | | 0.2 | | |
Banks | | | 1,445,562 | | | | 5.9 | | |
Building Materials | | | 106,871 | | | | 0.4 | | |
Commercial Services | | | 184,750 | | | | 0.7 | | |
Computers | | | 51,985 | | | | 0.2 | | |
Diversified Financial Services | | | 1,343,950 | | | | 5.4 | | |
Electric | | | 2,184,780 | | | | 8.9 | | |
Electrical Components and Equipment | | | 184,106 | | | | 0.7 | | |
Electronics | | | 112,081 | | | | 0.5 | | |
Energy — Alternate Sources | | | 424,181 | | | | 1.7 | | |
Engineering & Construction | | | 96,987 | | | | 0.4 | | |
Entertainment | | | 90,684 | | | | 0.4 | | |
Food | | | 175,544 | | | | 0.7 | | |
Forest Products & Paper | | | 21,150 | | | | 0.1 | | |
Gas | | | 183,583 | | | | 0.7 | | |
Healthcare — Products | | | 20,950 | | | | 0.1 | | |
Healthcare — Services | | | 46,040 | | | | 0.2 | | |
Internet | | | 187,013 | | | | 0.8 | | |
Investment Companies | | | 374,916 | | | | 1.5 | | |
Leisure Time | | | 47,822 | | | | 0.2 | | |
Lodging | | | 148,837 | | | | 0.6 | | |
Machinery — Diversified | | | 10,332 | | | | 0.0 | * | |
Media | | | 123,835 | | | | 0.5 | | |
Mining | | | 746,563 | | | | 3.0 | | |
Oil & Gas | | | 123,763 | | | | 0.5 | | |
Oil & Gas Services | | | 13,617 | | | | 0.1 | | |
Packaging & Containers | | | 31,983 | | | | 0.1 | | |
Pharmaceuticals | | | 15,675 | | | | 0.1 | | |
Pipelines | | | 21,896 | | | | 0.1 | | |
Pooled Investment Vehicles | | | 7,098,029 | | | | 28.8 | | |
Real Estate | | | 1,279,448 | | | | 5.2 | | |
REITS | | | 1,328,982 | | | | 5.4 | | |
05
Industry Diversification Table (unaudited)
Annual Report April 30, 2021
April 30, 2021
Baillie Gifford Multi Asset Fund
| | Value | | % of Total Net Assets | |
Retail | | $ | 225,546 | | | | 0.9 | % | |
Software | | | 16,567 | | | | 0.1 | | |
Sovereign | | | 3,689,658 | | | | 15.0 | | |
Telecommunications | | | 175,339 | | | | 0.7 | | |
Toys/Games/Hobbies | | | 32,949 | | | | 0.1 | | |
Transportation | | | 63,410 | | | | 0.3 | | |
Total Value of Investments | | | 23,415,912 | | | | 95.0 | | |
Other assets less liabilities | | | 1,239,937 | | | | 5.0 | | |
Net Assets | | $ | 24,655,849 | | | | 100.0 | % | |
* Amount rounds to less than 0.1%.
The table above is based on Bloomberg Industry Group classifications. For compliance monitoring purposes, sub-industry classifications are used which results in less concentration across industry sectors.
06
Annual Report April 30, 2021
April 30, 2021
Baillie Gifford Multi Asset Fund
| | Shares/Principal | | Value | |
POOLED INVESTMENT VEHICLES — 28.8% | |
GUERNSEY — 4.6% | |
International Public Partnerships Ltd. | | | 100,208 | | | $ | 233,235 | | |
NextEnergy Solar Fund Ltd. | | | 140,895 | | | | 190,859 | | |
Pershing Square Holdings Ltd. | | | 1,297 | | | | 48,563 | | |
Renewables Infrastructure Group Ltd. (The) | | | 152,662 | | | | 265,177 | | |
Sequoia Economic Infrastructure Income Fund Ltd. | | | 82,100 | | | | 121,097 | | |
TwentyFour Income Fund Ltd. | | | 186,024 | | | | 276,171 | | |
| | | | | 1,135,102 | | |
IRELAND — 1.3% | |
Aspect Core Trend Fund | | | 3,174 | | | | 321,149 | | |
LUXEMBOURG — 0.4% | |
BBGI Global Infrastructure SA | | | 36,537 | | | | 90,532 | | |
SINGAPORE — 0.3% | |
Keppel Infrastructure Trust | | | 151,600 | | | | 62,656 | | |
UNITED KINGDOM — 3.5% | |
3i Infrastructure PLC | | | 15,679 | | | | 64,324 | | |
Foresight Solar Fund Ltd. | | | 105,097 | | | | 140,500 | | |
Greencoat UK Wind PLC | | | 108,807 | | | | 202,325 | | |
HICL Infrastructure PLC | | | 161,862 | | | | 381,337 | | |
JLEN Environmental Assets Group Ltd. | | | 57,030 | | | | 86,637 | | |
| | | | | 875,123 | | |
UNITED STATES — 18.7% | |
Baillie Gifford Emerging Markets Equities Fund, Class K (1) | | | 30,265 | | | | 864,974 | | |
Baillie Gifford International Alpha Fund, Class K (1) | | | 109,775 | | | | 1,913,385 | | |
Baillie Gifford U.S. Equity Growth Fund, Class K (1) | | | 37,844 | | | | 1,591,352 | | |
Credit Suisse Managed Futures Strategy Fund, Class I | | | 22,200 | | | | 243,756 | | |
| | | | | 4,613,467 | | |
Total Pooled Investment Vehicles | |
(cost $5,182,944) | | | | | 7,098,029 | | |
The accompanying notes are an integral part of the financial statements.
07
Annual Report April 30, 2021
April 30, 2021
Baillie Gifford Multi Asset Fund
| | Shares/Principal | | Value | |
COMMON STOCKS — 25.8% | |
AUSTRALIA — 1.1% | |
BHP Group PLC | | | 1,726 | | | $ | 51,978 | | |
Nickel Mines Ltd. | | | 178,996 | | | | 156,047 | | |
Rio Tinto PLC * | | | 605 | | | | 50,673 | | |
| | | | | 258,698 | | |
BELGIUM — 0.3% | |
Elia Group SA | | | 782 | | | | 84,651 | | |
CANADA — 0.5% | |
Hydro One Ltd. | | | 5,530 | | | | 132,587 | | |
DENMARK — 0.6% | |
NKT A/S | | | 1,608 | | | | 66,526 | | |
Orsted AS | | | 582 | | | | 84,602 | | |
| | | | | 151,128 | | |
FRANCE — 0.4% | |
JCDecaux SA * | | | 1,660 | | | | 42,261 | | |
Nexans SA * | | | 716 | | | | 58,803 | | |
| | | | | 101,064 | | |
GERMANY — 5.4% | |
Deutsche Wohnen SE | | | 8,080 | | | | 437,117 | | |
E.ON Se | | | 8,394 | | | | 101,213 | | |
Fraport AG Frankfurt Airport Services Worldwide * | | | 1,036 | | | | 68,714 | | |
LEG Immobilien SE | | | 1,892 | | | | 263,244 | | |
RWE AG | | | 2,098 | | | | 79,665 | | |
TAG Immobilien AG | | | 3,994 | | | | 123,519 | | |
Vonovia SE | | | 3,892 | | | | 255,723 | | |
| | | | | 1,329,195 | | |
INDONESIA — 0.7% | |
Vale Indonesia TBK PT * | | | 531,700 | | | | 169,137 | | |
The accompanying notes are an integral part of the financial statements.
08
Annual Report April 30, 2021
April 30, 2021
Baillie Gifford Multi Asset Fund
| | Shares/Principal | | Value | |
IRELAND — 1.0% | |
CRH PLC * | | | 946 | | | $ | 44,770 | | |
Greencoat Renewables PLC | | | 118,583 | | | | 168,941 | | |
Ryanair Holdings PLC ADR * | | | 352 | | | | 41,131 | | |
| | | | | 254,842 | | |
ITALY — 2.3% | |
Enel SpA | | | 12,514 | | | | 124,256 | | |
Italgas SpA | | | 28,149 | | | | 183,583 | | |
Prysmian SpA | | | 4,005 | | | | 125,303 | | |
Terna Rete Elettrica Nazionale SpA | | | 18,064 | | | | 133,158 | | |
| | | | | 566,300 | | |
MACAU — 0.4% | |
Galaxy Entertainment Group Ltd. * | | | 5,000 | | | | 43,891 | | |
Sands China Ltd. * | | | 8,800 | | | | 41,642 | | |
| | | | | 85,533 | | |
NETHERLANDS — 0.3% | |
CTP NV* | | | 4,932 | | | | 83,309 | | |
RUSSIA — 1.2% | |
MMC Norilsk Nickel PJSC ADR | | | 8,410 | | | | 285,187 | | |
SOUTH KOREA — 0.3% | |
Korea Electric Power Corp. | | | 2,541 | | | | 53,926 | | |
Korea Electric Power Corp. ADR | | | 1,900 | | | | 20,102 | | |
| | | | | 74,028 | | |
SPAIN — 2.3% | |
EDP Renovaveis SA * | | | 9,914 | | | | 236,237 | | |
Iberdrola SA | | | 6,458 | | | | 87,273 | | |
Red Electrica Corp. SA | | | 6,761 | | | | 124,119 | | |
Siemens Gamesa Renewable Energy SA | | | 3,140 | | | | 113,416 | | |
| | | | | 561,045 | | |
SWITZERLAND — 0.6% | |
Dufry AG | | | 715 | | | | 47,053 | | |
The accompanying notes are an integral part of the financial statements.
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Annual Report April 30, 2021
April 30, 2021
Baillie Gifford Multi Asset Fund
| | Shares/Principal | | Value | |
Kuehne + Nagel International AG | | | 187 | | | $ | 55,912 | | |
Wizz Air Holdings PLC* | | | 649 | | | | 43,925 | | |
| | | | | 146,890 | | |
UNITED KINGDOM — 2.3% | |
Ashtead Group PLC * | | | 902 | | | | 57,954 | | |
Greggs PLC * | | | 1,715 | | | | 55,959 | | |
Hays PLC * | | | 21,859 | | | | 49,328 | | |
John Laing Group PLC | | | 70,770 | | | | 300,277 | | |
SSP Group PLC | | | 13,994 | | | | 61,919 | | |
Whitbread PLC | | | 1,056 | | | | 47,344 | | |
| | | | | 572,781 | | |
UNITED STATES — 6.1% | |
Ameren Corp. | | | 1,150 | | | | 97,566 | | |
American Electric Power Co., Inc. | | | 1,148 | | | | 101,839 | | |
Ares Capital Corp. | | | 10,700 | | | | 205,975 | | |
Avangrid, Inc. | | | 2,701 | | | | 137,481 | | |
Booking Holdings, Inc. * | | | 19 | | | | 46,856 | | |
Brookfield Renewable Corp., Class A | | | 3,106 | | | | 128,837 | | |
CBRE Group, Inc., Class A * | | | 671 | | | | 57,169 | | |
Consolidated Edison, Inc. | | | 1,275 | | | | 98,698 | | |
DTE Energy Co. | | | 838 | | | | 117,337 | | |
Eversource Energy | | | 1,077 | | | | 92,859 | | |
FirstCash, Inc. | | | 660 | | | | 47,540 | | |
Howard Hughes Corp. (The) * | | | 550 | | | | 59,367 | | |
Lyft, Inc., Class A * | | | 757 | | | | 42,135 | | |
Martin Marietta Materials, Inc. | | | 143 | | | | 50,496 | | |
NextEra Energy, Inc. | | | 1,500 | | | | 116,265 | | |
Royal Caribbean Cruises Ltd. | | | 550 | | | | 47,822 | | |
Six Flags Entertainment Corp. * | | | 1,076 | | | | 50,550 | | |
| | | | | 1,498,792 | | |
Total Common Stocks | |
(cost $5,400,558) | | | | | 6,355,167 | | |
The accompanying notes are an integral part of the financial statements.
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Annual Report April 30, 2021
April 30, 2021
Baillie Gifford Multi Asset Fund
| | Shares/Principal | | Value | |
STRUCTURED NOTES — 10.0% | |
SWITZERLAND — 4.6% | |
Credit Suisse AG, Zero cpn., 10/25/21 (2) | | | 1,092 | | | $ | 1,131,312 | | |
UNITED STATES — 5.4% | |
Citigroup Global Markets Holdings, Inc., Zero cpn., 01/15/26 (3) | | | 1,000 | | | | 991,570 | | |
GS Finance Corp., Zero cpn., 05/24/21 (4) | | | 300,000 | | | | 352,380 | | |
| | | | | 1,343,950 | | |
Total Structured Notes | |
(cost $2,394,546) | | | | | 2,475,262 | | |
FOREIGN GOVERNMENT BONDS — 8.0% | |
BRAZIL — 2.1% | |
Brazil Letras do Tesouro Nacional, Series LTN, Zero cpn., 01/01/24 | | BRL | 3,289,000 | | | | 498,949 | | |
Brazilian Government International Bond, 7.13%, 01/20/37 | | | 20,000 | | | | 25,291 | | |
| | | | | 524,240 | | |
COLOMBIA — 0.2% | |
Colombian TES, Series B, 7.75%, 09/18/30 | | COP | 231,200,000 | | | | 64,967 | | |
DOMINICAN REPUBLIC — 0.5% | |
Dominican Republic International Bond, 6.88%, 01/29/26 | | | 100,000 | | | | 116,751 | | |
EGYPT — 0.4% | |
Egypt Government Bond, Series 7YR, 14.41%, 07/07/27 | | EGP | 1,639,000 | | | | 103,996 | | |
HUNGARY — 0.2% | |
Hungary Government International Bond, 7.63%, 03/29/41 | | | 36,000 | | | | 57,980 | | |
INDONESIA — 1.3% | |
Indonesia Treasury Bond, Series FR58, 8.25%, 06/15/32 | | IDR | 1,385,000,000 | | | | 105,267 | | |
Indonesia Treasury Bond, Series FR80, 7.50%, 06/15/35 | | IDR | 1,500,000,000 | | | | 107,157 | | |
Indonesia Treasury Bond, Series FR83, 7.50%, 04/15/40 | | IDR | 1,540,000,000 | | | | 109,245 | | |
| | | | | 321,669 | | |
The accompanying notes are an integral part of the financial statements.
11
Annual Report April 30, 2021
April 30, 2021
Baillie Gifford Multi Asset Fund
| | Shares/Principal | | Value | |
IVORY COAST (COTE D'IVOIRE) — 0.5% | |
Ivory Coast Government International Bond, 5.25%, 03/22/30 | | EUR | 100,000 | | | $ | 126,164 | | |
MEXICO — 0.4% | |
Mexican Bonos, Series M, 7.75%, 05/29/31 | | MXN | 1,906,800 | | | | 99,879 | | |
PERU — 0.5% | |
Peru Government Bond, 6.90%, 08/12/37 | | PEN | 245,000 | | | | 68,908 | | |
Peruvian Government International Bond, 8.75%, 11/21/33 | | | 32,000 | | | | 49,400 | | |
| | | | | 118,308 | | |
ROMANIA — 0.3% | |
Romanian Government International Bond, 2.00%, 01/28/32 | | EUR | 60,000 | | | | 72,496 | | |
RUSSIA — 0.4% | |
Russian Federal Bond — OFZ, Series 6229, 7.15%, 11/12/25 | | RUB | 5,195,000 | | | | 71,212 | | |
Russian Foreign Bond — Eurobond, 7.50%, 03/31/30 | | | 19,575 | | | | 22,605 | | |
| | | | | 93,817 | | |
SOUTH AFRICA — 0.2% | |
Republic of South Africa Government Bond, Series R209, 6.25%, 03/31/36 | | ZAR | 1,153,000 | | | | 53,185 | | |
TURKEY — 0.3% | |
Turkey Government Bond, 8.00%, 03/12/25 | | TRY | 395,000 | | | | 35,021 | | |
Turkish Government International Bond, 7.38%, 02/05/25 | | | 15,000 | | | | 15,918 | | |
Turkish Government International Bond, 6.88%, 03/17/36 | | | 16,000 | | | | 15,672 | | |
| | | | | 66,611 | | |
UKRAINE — 0.2% | |
Ukraine Government International Bond, 15.84%, 02/26/25 | | UAH | 1,082,000 | | | | 41,724 | | |
URUGUAY — 0.5% | |
Uruguay Government International Bond, 4.38%, 12/15/28 | | UYU | 2,855,226 | | | | 77,414 | | |
Uruguay Government International Bond, 4.98%, 04/20/55 | | | 32,000 | | | | 39,704 | | |
| | | | | 117,118 | | |
Total Foreign Government Bonds | |
(cost $1,978,329) | | | | | 1,978,905 | | |
The accompanying notes are an integral part of the financial statements.
12
Annual Report April 30, 2021
April 30, 2021
Baillie Gifford Multi Asset Fund
| | Shares/Principal | | Value | |
CORPORATE BONDS — 7.1% | |
AUSTRALIA — 0.1% | |
FMG Resources August 2006 Pty Ltd., 4.50%, 09/15/27 | | | 16,000 | | | $ | 17,378 | | |
CANADA — 0.3% | |
Bell Canada, Series MTN, 4.75%, 09/29/44 | | | 32,000 | | | | 28,573 | | |
Stars Group Holdings BV / Stars Group US Co.-Borrower LLC, 7.00%, 07/15/26 | | | 26,000 | | | | 27,170 | | |
Vermilion Energy, Inc., 5.63%, 03/15/25 | | | 15,000 | | | | 14,288 | | |
| | | | | 70,031 | | |
CHILE — 0.1% | |
Liberty Latin America Ltd., 2.00%, 07/15/24 | | | 17,000 | | | | 17,283 | | |
FRANCE — 0.2% | |
Electricite de France SA, 6.95%, 01/26/39 | | | 22,000 | | | | 32,109 | | |
Orange SA, 9.00%, 03/01/31 | | | 20,000 | | | | 31,231 | | |
| | | | | 63,340 | | |
ITALY — 0.0% (5) | |
Telecom Italia Capital SA, 7.20%, 07/18/36 | | | 7,000 | | | | 8,674 | | |
MEXICO — 0.2% | |
Petroleos Mexicanos, 6.50%, 03/13/27 | | | 50,000 | | | | 52,875 | | |
NETHERLANDS — 1.1% | |
Stichting AK Rabobank Certificaten, 2.19% (6) | | | 168,550 | | | | 265,711 | | |
PUERTO RICO — 0.1% | |
Popular, Inc., 6.13%, 09/14/23 | | | 14,000 | | | | 15,070 | | |
UNITED KINGDOM — 0.1% | |
Tesco PLC, 5.50%, 01/13/33 | | | 21,000 | | | | 37,409 | | |
UNITED STATES — 4.9% | |
ACI Worldwide, Inc., 5.75%, 08/15/26 | | | 6,000 | | | | 6,307 | | |
ANGI Group LLC, 3.88%, 08/15/28 | | | 21,000 | | | | 20,869 | | |
Antero Resources Corp., 5.63%, 06/01/23 | | | 12,000 | | | | 12,045 | | |
The accompanying notes are an integral part of the financial statements.
13
Annual Report April 30, 2021
April 30, 2021
Baillie Gifford Multi Asset Fund
| | Shares/Principal | | Value | |
Aptiv PLC, 4.35%, 03/15/29 | | | 29,000 | | | $ | 33,105 | | |
Arrow Bidco LLC, 9.50%, 03/15/24 | | | 16,000 | | | | 15,960 | | |
At Home Holding III, Inc., 8.75%, 09/01/25 | | | 20,000 | | | | 21,875 | | |
AT&T, Inc., 3.50%, 09/15/53 | | | 27,000 | | | | 24,805 | | |
Avantor Funding, Inc., 4.63%, 07/15/28 | | | 20,000 | | | | 20,950 | | |
Cable One, Inc., 4.00%, 11/15/30 | | | 16,000 | | | | 15,760 | | |
Catalent Pharma Solutions, Inc., 3.13%, 02/15/29 | | | 11,000 | | | | 10,642 | | |
CCO Holdings LLC / CCO Holdings Capital Corp., 5.50%, 05/01/26 | | | 10,000 | | | | 10,320 | | |
CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%, 08/15/30 | | | 19,000 | | | | 19,330 | | |
Centene Corp., 4.63%, 12/15/29 | | | 15,000 | | | | 16,237 | | |
ChampionX Corp., 6.38%, 05/01/26 | | | 13,000 | | | | 13,617 | | |
Cheniere Energy, Inc., 4.63%, 10/15/28 | | | 21,000 | | | | 21,896 | | |
Cincinnati Bell, Inc., 7.00%, 07/15/24 | | | 7,000 | | | | 7,227 | | |
Cincinnati Bell, Inc., 8.00%, 10/15/25 | | | 12,000 | | | | 12,720 | | |
Citigroup, Inc., 8.13%, 07/15/39 | | | 20,000 | | | | 33,469 | | |
Cogent Communications Group, Inc., 5.38%, 03/01/22 | | | 10,000 | | | | 10,262 | | |
Cogent Communications Group, Inc., 3.50%, 05/01/26 | | | 11,000 | | | | 11,000 | | |
Compass Minerals International, Inc., 6.75%, 12/01/27 | | | 15,000 | | | | 16,163 | | |
Corning, Inc., 5.45%, 11/15/79 | | | 25,000 | | | | 32,061 | | |
Crowdstrike Holdings, Inc., 3.00%, 02/15/29 | | | 19,000 | | | | 18,830 | | |
Darling Ingredients, Inc., 5.25%, 04/15/27 | | | 19,000 | | | | 19,974 | | |
Dell International LLC / EMC Corp., 5.30%, 10/01/29 | | | 28,000 | | | | 33,155 | | |
Enviva Partners LP / Enviva Partners Finance Corp., 6.50%, 01/15/26 | | | 10,000 | | | | 10,488 | | |
FirstCash, Inc., 4.63%, 09/01/28 | | | 26,000 | | | | 26,715 | | |
frontdoor, Inc., 6.75%, 08/15/26 | | | 19,000 | | | | 20,146 | | |
Gartner, Inc., 4.50%, 07/01/28 | | | 15,000 | | | | 15,769 | | |
Go Daddy Operating Co. LLC / Gd Finance Co., Inc., 5.25%, 12/01/27 | | | 13,000 | | | | 13,601 | | |
Graham Holdings Co., 5.75%, 06/01/26 | | | 20,000 | | | | 20,900 | | |
Hanesbrands, Inc., 4.63%, 05/15/24 | | | 18,000 | | | | 18,950 | | |
Hasbro, Inc., 6.35%, 03/15/40 | | | 25,000 | | | | 32,949 | | |
HCA, Inc., 5.88%, 02/15/26 | | | 13,000 | | | | 14,934 | | |
Hilcorp Energy I LP / Hilcorp Finance Co., 6.25%, 11/01/28 | | | 8,000 | | | | 8,304 | | |
HLF Financing Sarl LLC / Herbalife International, Inc., 7.25%, 08/15/26 | | | 15,000 | | | | 15,675 | | |
LABL Escrow Issuer LLC, 6.75%, 07/15/26 | | | 10,000 | | | | 10,775 | | |
Land O' Lakes, Inc., 7.25% (6) | | | 15,000 | | | | 15,616 | | |
Land O'Lakes Capital Trust I, 7.45%, 03/15/28 | | | 4,000 | | | | 4,641 | | |
Laredo Petroleum, Inc., 10.13%, 01/15/28 | | | 12,000 | | | | 12,359 | | |
Liberty Interactive LLC, 8.25%, 02/01/30 | | | 7,000 | | | | 8,070 | | |
Lumen Technologies Inc., Series P, 7.60%, 09/15/39 | | | 18,000 | | | | 20,648 | | |
The accompanying notes are an integral part of the financial statements.
14
Annual Report April 30, 2021
April 30, 2021
Baillie Gifford Multi Asset Fund
| | Shares/Principal | | Value | |
Masonite International Corp., 5.38%, 02/01/28 | | | 11,000 | | | $ | 11,605 | | |
Matador Resources Co., 5.88%, 09/15/26 | | | 11,000 | | | | 10,973 | | |
Match Group Holdings II LLC, 5.00%, 12/15/27 | | | 12,000 | | | | 12,630 | | |
Match Group Holdings II LLC, 5.63%, 02/15/29 | | | 11,000 | | | | 11,880 | | |
Meritor, Inc., 6.25%, 02/15/24 | | | 5,000 | | | | 5,075 | | |
Meritor, Inc., 4.50%, 12/15/28 | | | 13,000 | | | | 13,163 | | |
Mueller Water Products, Inc., 5.50%, 06/15/26 | | | 10,000 | | | | 10,332 | | |
Nielsen Finance LLC / Nielsen Finance Co., 5.63%, 10/01/28 | | | 7,000 | | | | 7,464 | | |
Nordstrom, Inc., 4.38%, 04/01/30 | | | 10,000 | | | | 10,256 | | |
Penske Automotive Group, Inc., 5.50%, 05/15/26 | | | 20,000 | | | | 20,650 | | |
PTC, Inc., 3.63%, 02/15/25 | | | 10,000 | | | | 10,260 | | |
QVC, Inc., 5.45%, 08/15/34 | | | 25,000 | | | | 25,675 | | |
Range Resources Corp., 4.88%, 05/15/25 | | | 13,000 | | | | 12,919 | | |
Sally Holdings LLC / Sally Capital, Inc., 8.75%, 04/30/25 | | | 14,000 | | | | 15,470 | | |
Sally Holdings LLC / Sally Capital, Inc., 5.63%, 12/01/25 | | | 10,000 | | | | 10,312 | | |
Schweitzer-Mauduit International, Inc., 6.88%, 10/01/26 | | | 20,000 | | | | 21,150 | | |
Sealed Air Corp., 6.88%, 07/15/33 | | | 17,000 | | | | 21,208 | | |
Sensata Technologies BV, 5.00%, 10/01/25 | | | 23,000 | | | | 25,530 | | |
Service Corp. International, 5.13%, 06/01/29 | | | 19,000 | | | | 20,512 | | |
Sirius XM Radio, Inc., 4.13%, 07/01/30 | | | 27,000 | | | | 27,000 | | |
Six Flags Theme Parks, Inc., 7.00%, 07/01/25 | | | 12,000 | | | | 12,964 | | |
Sprint Corp., 7.25%, 09/15/21 | | | 2,000 | | | | 2,042 | | |
Sprint Corp., 7.63%, 03/01/26 | | | 6,000 | | | | 7,358 | | |
Tenet Healthcare Corp., 4.63%, 07/15/24 | | | 15,000 | | | | 15,227 | | |
TransDigm, Inc., 6.25%, 03/15/26 | | | 10,000 | | | | 10,588 | | |
TTM Technologies, Inc., 4.00%, 03/01/29 | | | 20,000 | | | | 20,025 | | |
VeriSign, Inc., 5.25%, 04/01/25 | | | 6,000 | | | | 6,780 | | |
VM Consolidated, Inc., 5.50%, 04/15/29 | | | 8,000 | | | | 8,127 | | |
Walt Disney Co. (The), 6.15%, 02/15/41 | | | 18,000 | | | | 26,072 | | |
Wheel Pros, Inc., 6.50%, 05/15/29 | | | 8,000 | | | | 8,011 | | |
Wolverine World Wide, Inc., 5.00%, 09/01/26 | | | 18,000 | | | | 18,360 | | |
WW International, Inc., 4.50%, 04/15/29 | | | 13,000 | | | | 12,823 | | |
XPO Logistics, Inc., 6.25%, 05/01/25 | | | 7,000 | | | | 7,498 | | |
| | | | | 1,189,058 | | |
Total Corporate Bonds | |
(cost $1,581,972) | | | | | 1,736,829 | | |
The accompanying notes are an integral part of the financial statements.
15
Annual Report April 30, 2021
April 30, 2021
Baillie Gifford Multi Asset Fund
| | Shares/Principal | | Value | |
TREASURY BILLS — 6.9% | |
UNITED STATES — 6.9% | |
U.S. Treasury Bill, 05/06/21 (7) | | | 490,800 | | | $ | 490,798 | | |
U.S. Treasury Bill, 07/15/21 (7) | | | 620,000 | | | | 619,983 | | |
U.S. Treasury Bill, 08/12/21 (7) | | | 600,000 | | | | 599,972 | | |
Total Treasury Bills | |
(cost $1,710,670) | | | | | 1,710,753 | | |
REAL ESTATE INVESTMENT TRUSTS — 5.4% | |
UNITED KINGDOM — 3.2% | |
LondonMetric Property PLC | | | 22,100 | | | | 68,860 | | |
LXI REIT PLC | | | 55,750 | | | | 105,152 | | |
Segro PLC | | | 12,374 | | | | 171,907 | | |
Target Healthcare REIT PLC | | | 64,541 | | | | 105,357 | | |
Tritax Big Box REIT PLC | | | 72,433 | | | | 190,341 | | |
UK Commercial Property REIT Ltd. | | | 121,233 | | | | 134,715 | | |
| | | | | 776,332 | | |
UNITED STATES — 2.2% | |
Duke Realty Corp. | | | 3,000 | | | | 139,560 | | |
First Industrial Realty Trust, Inc. | | | 2,700 | | | | 134,379 | | |
Prologis, Inc. | | | 1,200 | | | | 139,836 | | |
Rexford Industrial Realty, Inc. | | | 2,500 | | | | 138,875 | | |
| | | | | 552,650 | | |
Total Real Estate Investment Trusts | |
(cost $1,106,841) | | | | | 1,328,982 | | |
COLLATERALIZED LOAN OBLIGATIONS — 3.0% | |
IRELAND — 2.4% | |
Aurium CLO I DAC, 2.30%, FRN, (3 Month EURIBOR + 2.30%), 03/23/32 (8) | | | 250,000 | | | | 301,218 | | |
Carlyle Euro CLO, Class B, Series 2017-1X, 2.15%, FRN, (3 Month EURIBOR + 2.15%), 07/15/30 (8) | | | 150,000 | | | | 179,199 | | |
Harvest CLO XVII DAC, 3.95%, FRN, (3 Month EURIBOR + 3.95%), 05/11/32 (8) | | | 100,000 | | | | 119,624 | | |
| | | | | 600,041 | | |
The accompanying notes are an integral part of the financial statements.
16
Annual Report April 30, 2021
April 30, 2021
Baillie Gifford Multi Asset Fund
| | Shares/Principal | | Value | |
NETHERLANDS — 0.6% | |
Barings Euro CLO, Class B1A, Series 2018-2X, 1.70%, FRN, (3 Month EURIBOR + 1.70%), 10/15/31 (8) | | | 110,000 | | | $ | 131,944 | | |
Total Collateralized Loan Obligations | |
(cost $657,474) | | | | | 731,985 | | |
TOTAL INVESTMENTS — 95.0% | |
(cost $20,013,334) | | | | $ | 23,415,912 | | |
Other assets less liabilities — 5.0% | | | | | 1,239,937 | | |
NET ASSETS — 100.0% | | | | $ | 24,655,849 | | |
* Non-income producing security.
(1) Affiliated Fund.
(2) ETF-linked certificate which tracks the CSI 500 China A Shares Small Cap ETF as the reference price. Value correlates to changes in this reference price.
(3) Index-linked note which tracks the Citi Equity Intraday Momentum Basket Index as the reference price. Value correlates to changes in this reference price.
(4) Commodity-linked note which uses LME Primary Nickel as the reference price. Value correlates to changes in this reference price.
(5) Amount rounds to less than 0.1%.
(6) Perpetual, callable security with no stated maturity date.
(7) Security issued on a discount basis with no stated coupon rate. Income is recognized through the accretion of discount.
(8) Variable rate security which benefits from a EURIBOR floor of zero. Please refer to Note H with regards to the LIBOR phaseout.
3-Month EURIBOR rate as of April 30, 2021 was (0.535)%.
This report classifies issuers geographically by their country of risk. For compliance monitoring purposes, Baillie Gifford Overseas Limited retains discretion to consider a number of factors in determining where a particular issuer is located, as described in further detail in the Fund's prospectus.
A summary of the Fund's transactions with affiliated funds during the year ended April 30, 2021 is as follows:
Affiliated Fund Holdings
| | Shares at April 30, 2020 | | Value at April 30, 2020 | | Purchases Cost | | Sales Proceeds | | Net Realized Gain/ (Loss) | | Net Change in unrealized Appreciation/ (Depreciation) | | Shares at April 30, 2021 | | Value at April 30, 2021 | | Income Distributions | | Capital Gain Distributions | |
Baillie Gifford Emerging Markets Equities Fund, Class K | | | 8,691 | | | $ | 151,837 | | | $ | 576,505 | | | $ | (224,865 | ) | | $ | 40,011 | | | $ | 321,486 | | | | 30,265 | | | $ | 864,974 | | | $ | 10,713 | | | $ | — | | |
Baillie Gifford International Alpha Fund, Class K | | | 100,493 | | | | 1,177,782 | | | | 858,286 | | | | (1,031,695 | ) | | | 225,383 | | | | 683,629 | | | | 109,775 | | | | 1,913,385 | | | | 12,804 | | | | 31,869 | | |
Baillie Gifford U.S. Equity Growth Fund, Class K | | | 20,877 | | | | 446,766 | | | | 830,757 | | | | (688,706 | ) | | | 347,687 | | | | 654,848 | | | | 37,844 | | | | 1,591,352 | | | | — | | | | 51,761 | | |
| | | 130,061 | | | $ | 1,776,385 | | | $ | 2,265,548 | | | $ | (1,945,266 | ) | | $ | 613,081 | | | $ | 1,659,963 | | | | 177,884 | | | $ | 4,369,711 | | | $ | 23,517 | | | $ | 83,630 | | |
For more information on the affiliated fund holdings, please refer to Note B.
The accompanying notes are an integral part of the financial statements.
17
Annual Report April 30, 2021
April 30, 2021
Baillie Gifford Multi Asset Fund
Open futures contracts outstanding at April 30, 2021:
Description | | Counterparty | | Expiration Date | | Number of Contracts Purchased (Sold) | | Notional Value at April 30, 2021 | | Unrealized Appreciation | |
Euro — BOBL Futures | | HSBC Securities (USA) Inc | | June 2021 | | | (2 | ) | | $ | (323,959 | ) | | $ | 448 | | |
Euro — Buxl Futures | | HSBC Securities (USA) Inc | | June 2021 | | | (1 | ) | | | (242,734 | ) | | | 8,171 | | |
| | | | | | | | $ | 8,619 | | |
Open forward foreign currency contracts outstanding at April 30, 2021:
Counterparty | | Settlement Date | | Currency To Deliver | | Currency To Receive | | Unrealized Appreciation | | Unrealized Depreciation | |
HSBC Securities (USA) Inc | | 5/12/2021 | | AUD | 819,000 | | | USD | 623,737 | | | $ | — | | | $ | (7,215 | ) | |
HSBC Securities (USA) Inc | | 5/12/2021 | | CAD | 2,572,100 | | | USD | 2,043,612 | | | | — | | | | (49,012 | ) | |
HSBC Securities (USA) Inc | | 5/12/2021 | | CHF | 1,255,700 | | | USD | 1,358,001 | | | | — | | | | (17,398 | ) | |
HSBC Securities (USA) Inc | | 5/12/2021 | | EUR | 4,411,170 | | | USD | 5,246,579 | | | | — | | | | (57,996 | ) | |
Deutsche Bank AG | | 5/12/2021 | | EUR | 166,000 | | | USD | 196,480 | | | | — | | | | (3,140 | ) | |
HSBC Securities (USA) Inc | | 5/12/2021 | | GBP | 3,791,090 | | | USD | 5,196,338 | | | | — | | | | (39,479 | ) | |
HSBC Securities (USA) Inc | | 5/12/2021 | | NOK | 5,230,000 | | | USD | 614,232 | | | | — | | | | (14,084 | ) | |
HSBC Securities (USA) Inc | | 5/12/2021 | | NZD | 833,000 | | | USD | 586,008 | | | | — | | | | (10,064 | ) | |
HSBC Securities (USA) Inc | | 5/12/2021 | | USD | 2,173,898 | | | JPY | 238,411,200 | | | | 7,748 | | | | — | | |
Deutsche Bank AG | | 5/12/2021 | | USD | 145,349 | | | JPY | 15,973,000 | | | | 817 | | | | — | | |
HSBC Securities (USA) Inc | | 5/13/2021 | | USD | 250,416 | | | CZK | 5,300,000 | | | | — | | | | (4,028 | ) | |
HSBC Securities (USA) Inc | | 5/19/2021 | | BRL | 2,500,000 | | | USD | 442,595 | | | | — | | | | (16,820 | ) | |
HSBC Securities (USA) Inc | | 5/20/2021 | | HUF | 65,000,000 | | | USD | 219,249 | | | | 2,225 | | | | — | | |
HSBC Securities (USA) Inc | | 5/20/2021 | | IDR | 4,940,000,000 | | | USD | 343,976 | | | | 3,131 | | | | — | | |
HSBC Securities (USA) Inc | | 5/20/2021 | | TRY | 920,000 | | | USD | 113,735 | | | | 3,707 | | | | — | | |
HSBC Securities (USA) Inc | | 5/20/2021 | | USD | 343,222 | | | IDR | 4,940,000,000 | | | | — | | | | (2,377 | ) | |
HSBC Securities (USA) Inc | | 5/20/2021 | | USD | 219,835 | | | HUF | 65,000,000 | | | | — | | | | (2,811 | ) | |
HSBC Securities (USA) Inc | | 5/20/2021 | | USD | 125,401 | | | TRY | 920,000 | | | | — | | | | (15,373 | ) | |
HSBC Securities (USA) Inc | | 6/10/2021 | | BRL | 1,016,000 | | | USD | 181,524 | | | | — | | | | (4,815 | ) | |
HSBC Securities (USA) Inc | | 6/10/2021 | | USD | 118,153 | | | THB | 3,650,000 | | | | — | | | | (961 | ) | |
HSBC Securities (USA) Inc | | 6/10/2021 | | USD | 240,609 | | | CNY | 1,570,000 | | | | 1,097 | | | | — | | |
HSBC Securities (USA) Inc | | 6/10/2021 | | USD | 119,596 | | | CHF | 111,000 | | | | 2,080 | | | | — | | |
HSBC Securities (USA) Inc | | 6/10/2021 | | USD | 57,983 | | | BRL | 320,000 | | | | 707 | | | | — | | |
Barclays Bank PLC | | 6/17/2021 | | TRY | 334,000 | | | USD | 39,340 | | | | — | | | | (14 | ) | |
HSBC Securities (USA) Inc | | 6/17/2021 | | USD | 120,776 | | | EGP | 1,930,000 | | | | 1,168 | | | | — | | |
The accompanying notes are an integral part of the financial statements.
18
Annual Report April 30, 2021
April 30, 2021
Baillie Gifford Multi Asset Fund
Counterparty | | Settlement Date | | Currency To Deliver | | Currency To Receive | | Unrealized Appreciation | | Unrealized Depreciation | |
HSBC Securities (USA) Inc | | 7/8/2021 | | CLP | 87,000,000 | | | USD | 121,094 | | | $ | — | | | $ | (1,269 | ) | |
HSBC Securities (USA) Inc | | 7/8/2021 | | USD | 122,450 | | | PEN | 455,000 | | | | — | | | | (2,174 | ) | |
HSBC Securities (USA) Inc | | 7/15/2021 | | KRW | 124,000,000 | | | USD | 109,902 | | | | — | | | | (1,023 | ) | |
HSBC Securities (USA) Inc | | 7/15/2021 | | USD | 483,646 | | | KRW | 534,000,000 | | | | — | | | | (5,951 | ) | |
HSBC Securities (USA) Inc | | 7/29/2021 | | EUR | 173,760 | | | USD | 208,522 | | | | — | | | | (777 | ) | |
HSBC Securities (USA) Inc | | 9/9/2021 | | USD | 491,243 | | | ILS | 1,607,600 | | | | 4,616 | | | | — | | |
HSBC Securities (USA) Inc | | 9/16/2021 | | RUB | 17,454,000 | | | USD | 230,389 | | | | 2,826 | | | | — | | |
HSBC Securities (USA) Inc | | 9/16/2021 | | USD | 229,382 | | | RUB | 17,454,000 | | | | — | | | | (1,819 | ) | |
HSBC Securities (USA) Inc | | 9/16/2021 | | ZAR | 3,579,000 | | | USD | 247,096 | | | | 4,779 | | | | — | | |
HSBC Securities (USA) Inc | | 10/21/2021 | | EUR | 708,000 | | | USD | 851,186 | | | | — | | | | (3,098 | ) | |
HSBC Securities (USA) Inc | | 10/21/2021 | | USD | 368,855 | | | MXN | 7,500,000 | | | | — | | | | (5,905 | ) | |
HSBC Securities (USA) Inc | | 10/21/2021 | | USD | 118,543 | | | JPY | 12,880,000 | | | | — | | | | (502 | ) | |
Total unrealized appreciation (depreciation) | | | | | | | | $ | 34,901 | | | $ | (268,105 | ) | |
Net unrealized appreciation (depreciation) | | | | | | | | | | $ | (233,204 | ) | |
ADR — American Depositary Receipt
CLO — Collateralized Loan Obligation
ETF — Exchange Traded Fund
EURIBOR — Euro Inter Bank Offer Rate
FRN — Floating Rate Note
GO — General Obligation
MTN — Medium Term Note
REIT — Real Estate Investment Trust
Currency Abbreviations:
AUD — Australian Dollar
BRL — Brazilian Real
CAD — Canadian Dollar
CHF — Swiss Franc
CLP — Chilean Peso
CNY — Chinese Yuan
COP — Colombian Peso
CZK — Czech Koruna
EGP — Egyptian Pound
EUR — Euro
GBP — Great Britain Pound
HUF — Hungarian Forint
IDR — Indonesian Rupiah
ILS — Israeli Shekel
JPY — Japanese Yen
KRW — South Korean Won
MXN — Mexican Peso
NOK — Norwegian Krone
NZD — New Zealand Dollar
PEN — Peruvian Nuevo Sol
RUB — Russian Ruble
THB — Thai Baht
TRY — Turkish Lira
ZAR — South African Rand
The accompanying notes are an integral part of the financial statements.
19
Annual Report April 30, 2021
April 30, 2021
Baillie Gifford Multi Asset Fund
Fair Value Measurement
The following is a summary of the inputs used as of April 30, 2021 in valuing the Fund's investments carried at fair value:
Investments in Securities(1) | | Level 1 | | Level 2 | | Level 3 | | Total | |
Assets: | |
Pooled Investment Vehicles | | $ | 5,224,409 | | | $ | 1,873,620 | | | $ | — | | | $ | 7,098,029 | | |
Common Stocks | | | 2,230,427 | | | | 4,124,740 | | | | — | | | | 6,355,167 | | |
Structured Notes | | | — | | | | 2,475,262 | | | | — | | | | 2,475,262 | | |
Foreign Government Bonds | | | — | | | | 1,978,905 | | | | — | | | | 1,978,905 | | |
Corporate Bonds | | | — | | | | 1,736,829 | | | | — | | | | 1,736,829 | | |
Treasury Bills | | | 1,710,753 | | | | — | | | | — | | | | 1,710,753 | | |
Real Estate Investment Trusts | | | 658,007 | | | | 670,975 | | | | — | | | | 1,328,982 | | |
Collateralized Loan Obligations | | | — | | | | 731,985 | | | | — | | | | 731,985 | | |
Total Investments in Securities | | $ | 9,823,596 | | | $ | 13,592,316 | | | $ | — | | | $ | 23,415,912 | | |
Other Financial Instruments(2) | |
Forward Foreign Currency Contracts | | | — | | | | 34,901 | | | | — | | | | 34,901 | | |
Futures Contracts | | | 8,619 | | | | — | | | | — | | | | 8,619 | | |
Total Investments in Securities and Other Financial Instruments | | $ | 9,832,215 | | | $ | 13,627,217 | | | $ | — | | | $ | 23,459,432 | | |
Liabilities: | |
Other Financial Instruments(2) | |
Forward Foreign Currency Contracts | | | — | | | | 268,105 | | | | — | | | | 268,105 | | |
Total Other Financial Instruments | | $ | — | | | $ | 268,105 | | | $ | — | | | $ | 268,105 | | |
(1) A complete listing of investments and additional information regarding the industry classification and geographical location of these investments is disclosed in the Portfolio of Investments.
(2) Reflects the unrealized appreciation (depreciation) of the instruments.
See Note A for description of inputs used in the fair value hierarchy above.
The accompanying notes are an integral part of the financial statements.
20
Statement of Assets and Liabilities
Annual Report April 30, 2021
April 30, 2021
Baillie Gifford Multi Asset Fund
ASSETS | |
Investments, at value (cost $17,334,985) | | $ | 19,046,201 | | |
Investments in affiliated funds, at value (cost $2,678,349) | | | 4,369,711 | | |
Cash | | | 1,148,929 | | |
Cash segregated for forward foreign currency contracts | | | 280,000 | | |
Interest receivable | | | 69,307 | | |
Due from Investment Advisor | | | 59,365 | | |
Deposit with broker for futures contracts | | | 34,730 | | |
Unrealized appreciation on forward foreign currency contracts | | | 34,901 | | |
Dividends receivable | | | 34,396 | | |
Net unrealized appreciation on futures | | | 8,619 | | |
Receivable for investments sold | | | 6,076 | | |
Tax reclaims receivable | | | 2,126 | | |
Total Assets | | | 25,094,361 | | |
LIABILITIES | |
Advisory fees payable | | | 6,420 | | |
Unrealized depreciation on forward foreign currency contracts | | | 268,105 | | |
Payable for investment purchased | | | 25,522 | | |
Administration & Supervisory fee payable | | | 13,641 | | |
Accrued expenses | | | 124,824 | | |
Total Liabilities | | | 438,512 | | |
NET ASSETS | | $ | 24,655,849 | | |
COMPOSITION OF NET ASSETS | |
Paid-in capital | | $ | 21,589,984 | | |
Total distributable earnings | | | 3,065,865 | | |
| | $ | 24,655,849 | | |
NET ASSET VALUE, PER SHARE | |
Class K ($17,872,876 / 1,585,416 shares outstanding), unlimited authorized, no par value | | $ | 11.27 | | |
Institutional Class ($6,782,973 / 601,499 shares outstanding), unlimited authorized, no par value | | $ | 11.28 | | |
The accompanying notes are an integral part of the financial statements.
21
Annual Report April 30, 2021
For the Year Ended April 30, 2021
Baillie Gifford Multi Asset Fund
INVESTMENT INCOME | |
Dividends (net of foreign withholding taxes of $16,820) | | $ | 254,459 | | |
Income from affiliated funds | | | 23,517 | | |
Interest | | | 226,849 | | |
Total Investment Income | | | 504,825 | | |
EXPENSES | |
Advisory fee, net of Temporary Advisory Fee Waiver (Note B) | | | 18,181 | | |
Administration & Supervisory fee — Class K shares (Note B) | | | 28,600 | | |
Administration & Supervisory fee — Institutional Class shares (Note B) | | | 10,034 | | |
Transfer agency | | | 34,990 | | |
Sub-transfer agency — Institutional Class shares | | | 118 | | |
Fund accounting | | | 132,388 | | |
Legal | | | 126,598 | | |
Registration fees | | | 47,626 | | |
Professional fees | | | 38,379 | | |
Clearing fees | | | 29,737 | | |
Custody | | | 20,174 | | |
Printing fees | | | 16,996 | | |
Trustees' fees | | | 659 | | |
Commitment fees | | | 137 | | |
Miscellaneous | | | 5,609 | | |
Total Expenses | | | 510,226 | | |
Advisory fees waived/reimbursed | | | (419,204 | ) | |
Affiliated fund expenses waived | | | (24,881 | ) | |
Net Expenses | | | 66,141 | | |
Net Investment Income | | | 438,684 | | |
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES, AND FOREIGN CURRENCY TRANSACTIONS | |
Net realized gain (loss) from: | |
Investments | | | 296,828 | | |
Investments in affiliated funds | | | 613,081 | | |
Capital gains distributions from affiliated funds | | | 83,630 | | |
Futures | | | 7,235 | | |
Forward foreign currency contracts | | | (1,572,213 | ) | |
Foreign currency transactions | | | 3,205 | | |
| | | (568,234 | ) | |
The accompanying notes are an integral part of the financial statements.
22
Annual Report April 30, 2021
Net change in unrealized appreciation (depreciation) on: | |
Investments | | $ | 2,038,928 | | |
Investments in affiliated funds | | | 1,659,963 | | |
Futures | | | 13,569 | | |
Forward foreign currency contracts | | | 11,185 | | |
Translation of net assets and liabilities denominated in foreign currencies | | | (174 | ) | |
| | | 3,723,471 | | |
Net realized and unrealized gain | | | 3,155,237 | | |
NET INCREASE IN NET ASSETS FROM OPERATIONS | | $ | 3,593,921 | | |
The accompanying notes are an integral part of the financial statements.
23
Statements of Changes in Net Assets
Annual Report April 30, 2021
Baillie Gifford Multi Asset Fund
| | For the Year Ended April 30, 2021 | | For the Year Ended April 30, 2020 | |
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | |
Net investment income | | $ | 438,684 | | | $ | 249,108 | | |
Net realized gain (loss) | | | (568,234 | ) | | | 348,379 | | |
Net change in unrealized appreciation (depreciation) | | | 3,723,471 | | | | (953,240 | ) | |
Net increase (decrease) in net assets from operations | | | 3,593,921 | | | | (355,753 | ) | |
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | |
Distributable earnings | |
Class K | | | (84,965 | ) | | | (360,050 | ) | |
Institutional Class | | | (26,961 | ) | | | (360,051 | ) | |
Total Distributions to Shareholders | | | (111,926 | ) | | | (720,101 | ) | |
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST | |
Net proceeds from shares subscribed: | |
Class K | | | 10,000,000 | | | | — | | |
Institutional Class | | | 716,420 | | | | — | | |
Dividends reinvested: | |
Class K | | | 84,965 | | | | 360,050 | | |
Institutional Class | | | 26,961 | | | | 360,051 | | |
Increase in Net Assets from Transactions in Shares of Beneficial Interest | | | 10,828,346 | | | | 720,101 | | |
Total Increase (Decrease) in Net Assets | | | 14,310,341 | | | | (355,753 | ) | |
NET ASSETS | |
Beginning of year | | | 10,345,508 | | | | 10,701,261 | | |
End of year | | $ | 24,655,849 | | | $ | 10,345,508 | | |
The accompanying notes are an integral part of the financial statements.
24
Annual Report April 30, 2021
Baillie Gifford Multi Asset Fund
Selected data for a Class K share outstanding throughout each period
| | For the Year Ended April 30, 2021 | | For the Year Ended April 30, 2020 | | For the Period December 4, 2018(a) through April 30, 2019 | |
Net asset value, beginning of period | | $ | 9.65 | | | $ | 10.66 | | | $ | 10.00 | | |
From Investment Operations | |
Net investment income(b) | | | 0.20 | | | | 0.24 | | | | 0.13 | | |
Net realized and unrealized gain (loss) on investments and foreign currency | | | 1.47 | | | | (0.54 | ) | | | 0.57 | | |
Net increase (decrease) in net asset value from investment operations | | | 1.67 | | | | (0.30 | ) | | | 0.70 | | |
Dividends and Distributions to Shareholders | |
From net investment income | | | (0.05 | ) | | | (0.55 | ) | | | (0.04 | ) | |
From net realized gain on investments | | | — | | | | (0.16 | ) | | | — | | |
Total Dividends and Distributions | | | (0.05 | ) | | | (0.71 | ) | | | (0.04 | ) | |
Net asset value, end of period | | $ | 11.27 | | | $ | 9.65 | | | $ | 10.66 | | |
Total Return | |
Total return based on net asset value(c) | | | 17.35 | % | | | (3.35 | )% | | | 7.06 | % | |
Ratios/Supplemental Data | |
Net assets, end of period (000's omitted) | | $ | 17,873 | | | $ | 5,173 | | | $ | 5,351 | | |
Ratio of net expenses to average net assets, after affiliated fund waiver but before waiver under expense limitation agreement(d)(e) | | | 2.14 | % | | | 4.65 | % | | | 3.02 | %* | |
Ratio of net expenses to average net assets, after affiliated fund waiver and waiver under expense limitation agreement(d) | | | 0.29 | % | | | 0.56 | % | | | 0.55 | %* | |
Ratio of net investment income to average net assets | | | 1.91 | % | | | 2.29 | % | | | 3.08 | %* | |
Portfolio turnover rate(f) | | | 58 | % | | | 59 | % | | | 14 | % | |
* Annualized.
(a) Commencement of investment operations.
(b) Calculated based upon average shares outstanding during the period.
(c) Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, if any, at net asset value during the period, and redemption on the last day of the period. Total return is not annualized for periods less than one year.
(d) Does not include the expenses of non-affiliated pooled investment vehicles in which the Fund invests.
(e) This figure represents the gross expenses of the Fund less any waiver in relation to management fees paid on assets invested in affiliated funds (refer to Note B for further details).
(f) Portfolio turnover rate calculated at Fund level.
The accompanying notes are an integral part of the financial statements.
25
Annual Report April 30, 2021
Baillie Gifford Multi Asset Fund
Selected data for an Institutional Class share outstanding throughout each period
| | For the Year Ended April 30, 2021 | | For the Year Ended April 30, 2020 | | For the Period December 4, 2018(a) through April 30, 2019 | |
Net asset value, beginning of period | | $ | 9.65 | | | $ | 10.66 | | | $ | 10.00 | | |
From Investment Operations | |
Net investment income(b) | | | 0.21 | | | | 0.24 | | | | 0.13 | | |
Net realized and unrealized gain (loss) on investments and foreign currency | | | 1.47 | | | | (0.54 | ) | | | 0.57 | | |
Net increase (decrease) in net asset value from investment operations | | | 1.68 | | | | (0.30 | ) | | | 0.70 | | |
Dividends and Distributions to Shareholders | |
From net investment income | | | (0.05 | ) | | | (0.55 | ) | | | (0.04 | ) | |
From net realized gain on investments | | | — | | | | (0.16 | ) | | | — | | |
Total Dividends and Distributions | | | (0.05 | ) | | | (0.71 | ) | | | (0.04 | ) | |
Net asset value, end of period | | $ | 11.28 | | | $ | 9.65 | | | $ | 10.66 | | |
Total Return | |
Total return based on net asset value(c) | | | 17.42 | % | | | (3.35 | )% | | | 7.06 | % | |
Ratios/Supplemental Data | |
Net assets, end of period (000's omitted) | | $ | 6,783 | | | $ | 5,173 | | | $ | 5,350 | | |
Ratio of net expenses to average net assets, after affiliated fund waiver but before waiver under expense limitation agreement(d)(e) | | | 2.13 | %(f) | | | 4.65 | % | | | 3.02 | %* | |
Ratio of net expenses to average net assets, after affiliated fund waiver and waiver under expense limitation agreement(d) | | | 0.29 | % | | | 0.56 | % | | | 0.55 | %* | |
Ratio of net investment income to average net assets | | | 1.99 | % | | | 2.29 | % | | | 3.08 | %* | |
Portfolio turnover rate(g) | | | 58 | % | | | 59 | % | | | 14 | % | |
* Annualized.
(a) Commencement of investment operations.
(b) Calculated based upon average shares outstanding during the period.
(c) Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, if any, at net asset value during the period, and redemption on the last day of the period. Total return is not annualized for periods less than one year.
(d) Does not include the expenses of non-affiliated pooled investment vehicles in which the Fund invests.
(e) This figure represents the gross expenses of the Fund less any waiver in relation to management fees paid on assets invested in affiliated funds (refer to Note B for further details).
(f) Institutional Class has a lower ratio than Class K due to rounding. This ratio is expected to become higher than Class K if sub-transfer agency expenses grow within the Fund.
(g) Portfolio turnover rate calculated at Fund level.
The accompanying notes are an integral part of the financial statements.
26
Notes to Financial Statements
Annual Report April 30, 2021
Note A — Organization and Accounting Policies
The Fund is a diversified series of Baillie Gifford Funds (the "Trust"). The Trust includes other series that are not included in this report. The investment objective of the Fund is to seek long-term capital growth at lower volatility than is typically associated with equity markets. For information on the specific investment strategies of the Fund and a description of each share class, please refer to the Fund's prospectus. The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust was organized on June 21, 2000 as a Massachusetts business trust under the laws of Massachusetts. The Trust operates pursuant to the Second Amended and Restated Agreement and Declaration of Trust dated February 27, 2017, as amended from time to time.
As of April 30, 2021, the Fund offers Class K and Institutional Class shares.
The Fund is an investment company that applies the accounting and reporting guidance issued in Topic 946 by the U.S. Financial Accounting Standards Board. The financial statements of the Fund have been prepared in conformity with accounting principles generally accepted in the United States of America ("GAAP"). Management is required to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations for the Fund during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund:
Valuation of Investments
Investments are recorded at fair value. Equity securities listed on a securities exchange, market or automated quotation system for which quotations are readily available, including equity securities traded over the counter, are valued at the last quoted trade price on the primary exchange or market (foreign or domestic) on which they are most actively traded on a Value Date (or at approximately 4:00 p.m. Eastern Time if a security's primary exchange is normally open at that time), or, if there
is no such reported sale on the Value Date, at the most recent quoted bid price.
Fixed income securities including corporate bonds, inflation indexed bonds, foreign government bonds and sovereign debts 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 within the fair value hierarchy. Certain short-term debt obligations maturing within 60 days or less may be valued at their amortized cost unless Baillie Gifford Overseas Limited (the "Manager") determines that amortized cost does not represent fair value. These securities will be classified as Level 1 securities.
Investments in pooled investment vehicles are valued at the most recent published NAV for each investee fund. Where the most recent published NAV for an investee fund was determined at a time other than the pricing point of the Fund, the price may be subject to fair value adjustment as determined by the Manager. At April 30, 2021, there were no fair value adjustments required on investments in pooled investment vehicles not listed on an exchange.
Investments in structured securities are valued daily from an independent pricing source based on quotes received from the counterparty. Certain derivatives are centrally cleared or trade in the over-the-counter market. The Fund's 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 Fund's net benefit or obligation under the derivative contract, as measured by the fair value of the contract, is included in net assets.
The Fund invests in futures contracts which are valued at the closing settlement price established each day by the board of the exchange on which they are traded.
The Fund invests in forward foreign exchange contracts which are valued based on closing exchange rates from each respective foreign market.
The Fund may enter into swap agreements which are valued by independent third-party pricing agents based upon the specific terms of each agreement.
27
Notes to Financial Statements
Annual Report April 30, 2021
The Fund invests in collateralized loan obligations which are normally valued on the basis of quotes obtained from brokers and dealers or independent pricing services. A collateralized loan obligation (CLO) is a security backed by a pool of debt, often corporate loans with low credit ratings. The investor receives scheduled debt payments from the underlying loans but assumes most of the risk in the event that borrowers default.
Other securities for which current market quotations are not readily available (or for which quotations are not believed to be reliable due to market changes that occur after the most recent available quotations are obtained, or for any other reason) and all other assets are valued at their fair value as determined in good faith by the Manager, pursuant to procedures approved by the Board of Trustees of the Trust (the "Board"). The actual calculations may be made by persons acting pursuant to the direction of the Board or by pricing services.
Generally, trading in foreign securities markets is substantially completed each day at various times prior to close of regular trading on the New York Stock Exchange and such events may not be reflected in the computation of the Fund's net asset value. Occasionally, events affecting the value of equity securities of non-U.S. issuers not traded on a U.S. exchange may occur between the completion of substantial trading of such securities for the day and the close of regular trading on the New York Stock Exchange, and such events may not be reflected in the computation of the Fund's net asset value. If events materially affecting the value of the Fund's portfolio securities occur during such period, then these securities will be valued at their fair value as determined in good faith by the Manager, pursuant to procedures approved by the Board. The Fund utilizes a third party pricing service for all equity securities, except those traded on Canadian, Latin American, or U.S. exchanges, subject to certain minimum confidence levels, which applies a fair value adjustment that seeks to reflect changes in such securities' market prices since the close of the market on which the securities are traded. To the extent that securities are valued using this service, they will be classified as Level 2 securities in the fair value measurement framework described below.
The Fund may invest in bonds issued by governments of both developed and emerging market economies. These may be denominated in the currency of the issuing country, or some other currency such as U.S. dollars.
Fair Value Measurement
GAAP provides guidance on fair value measurements and defines fair value as the price that the Fund would receive to sell an investment or pay to transfer a liability in a timely transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. It establishes a single definition of fair value, creates a three-tier hierarchy as a framework for measuring fair value based on inputs used to value the Fund's investments, and requires additional disclosure about fair value. The hierarchy of inputs is summarized below:
Level 1 — unadjusted quoted prices in active markets for identical investments
Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
Level 3 — significant unobservable inputs (including the Trust's own assumptions in determining the fair value of investments)
For Level 1 inputs, the Fund uses unadjusted quoted prices in active markets for assets or liabilities with sufficient frequency and volume to provide pricing information as the most reliable evidence of fair value.
The Fund's Level 2 valuation techniques include inputs other than quoted prices within Level 1 that are observable for an asset or liability, either directly or indirectly. This includes when a fair value adjustment is applied which seeks to reflect changes in foreign securities' market prices since the close of the market on which they are traded. Level 2 observable inputs may include quoted prices for similar assets and liabilities in active markets or quoted prices for identical or similar assets or liabilities in markets that are not active in which there are few transactions, the prices are not current, or price quotations vary substantially over time or among market participants. Inputs that are observable for the asset or liability in Level 2 include such factors as interest rates, yield curves, prepayment speeds, credit risk, and default rates for similar liabilities.
For Level 3 valuation techniques, the Fund uses unobservable inputs that reflect assumptions market participants would be expected to use in pricing the asset or liability. Unobservable inputs are used to measure fair value to the extent that observable inputs are not available and are developed based on the best information available under the circumstances. In developing unobservable inputs, market participant assumptions are used if they are reasonably available without undue cost and effort.
28
Notes to Financial Statements
Annual Report April 30, 2021
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The hierarchy classification of inputs used to value the Fund's investments at April 30, 2021 is disclosed at the end of the Fund's Portfolio of Investments.
For the year ended April 30, 2021, there were no Level 3 investments for which significant unobservable inputs were used to determine the fair value.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the applicable rate of exchange to determine the value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of 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 exchange 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 Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investments in securities, resulting from changes in the exchange rates.
Derivatives
The Fund invests in derivative financial instruments in order to manage risk or gain exposure to various other investments or markets. Derivatives are financial contracts whose value depends upon, or is derived from, the value of an underlying asset, reference rate or index, and may relate to, among other things, stocks, bonds, interest rates, currencies or currency exchange rates, commodities, and related indexes. Derivatives contain various risks including
the potential inability of the counterparty to fulfill their obligation under the terms of the contract, the potential for an illiquid secondary market, and/or the potential for market movements which expose the Fund to gains or losses in excess of the amounts shown in the Statement of Assets and Liabilities. Realized gain and loss and change in unrealized appreciation and depreciation on these contracts for the reporting period are included in the Statement of Operations.
The Fund invests in forward foreign currency contracts primarily to manage exposure to certain foreign currencies. A forward contract is an agreement between the Fund and a counterparty to buy and sell a foreign currency at a specific exchange rate at a future date, and is subject to foreign exchange rate fluctuations. All contracts are "marked-to-market" daily and any resulting unrealized gains or losses are recorded as unrealized appreciation or depreciation on forward foreign currency contracts on the Statement of Assets and Liabilities. The Fund records realized gains or losses at the time the forward foreign currency contract is settled. These realized and change in unrealized gains and losses are reflected on the Statement of Operations as gain (loss) on forward foreign currency contracts.
The Fund invests in exchange traded futures contracts primarily to manage and/or gain exposure to commodity price, interest rate and equity price risk. A futures contract is an agreement between the Fund and the counterparty to buy or sell an asset at a specific price on a future date. Required initial margins are pledged by the Fund, and the accumulated daily change in the fair value is accounted for as an unrealized appreciation or depreciation on futures in the Statement of Assets and Liabilities.
Swap agreements are privately negotiated agreements between a Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. A swap may be entered into in order to, among other things, change the maturity of a Fund's portfolio, to protect a Fund's value from changes in interest rates, to expose a Fund to a different security or market, or to help a Fund achieve a strategy relative to an index or other benchmark. By entering into a swap agreement, a Fund is exposed to the risk of unanticipated movements in interest rates or in the value of an underlying security or index (or the risk that the counterparty will not fulfil its obligation under the agreement). The Fund did not invest in swap agreements during the year.
29
Notes to Financial Statements
Annual Report April 30, 2021
At April 30, 2021, the fair value of derivative instruments reflected on the Statement of Assets and Liabilities were as follows:
| | | | Asset Derivatives | |
Derivative Instrument | | Risk Exposure | | Statement of Assets and Liabilities Location | | Fair Value | |
Forward foreign currency contracts | | Currency risk | | Unrealized appreciation on forward foreign currency contracts | | $ | 34,901 | | |
Futures | | Interest rate risk | | Net unrealized appreciation on futures | | | 8,619 | * | |
| | | | Liability Derivatives | |
Derivative Instrument | | Risk Exposure | | Statement of Assets and Liabilities Location | | Fair Value | |
Forward foreign currency contracts | | Currency risk | | Unrealized depreciation on forward foreign currency contracts | | $ | 268,105 | | |
* Includes cumulative appreciation or cumulative depreciation of futures contracts as disclosed in the Portfolio of Investments.
The transactions in derivative instruments reflected on the Statement of Operations by primary risk exposure during the year ended April 30, 2021 were as follows:
Net Realized Gain (Loss) from:
Currency Risk — Forward Foreign Currency Contracts | | Interest Rate Risk — Futures Contracts | |
$ | (1,572,213 | ) | | $ | 7,235 | | |
Net Change in Unrealized Appreciation (Depreciation) on:
Currency Risk — Forward Foreign Currency Contracts | | Interest Rate Risk — Futures Contracts | |
$ | 11,185 | | | $ | 13,569 | | |
As of April 30, 2021, the Fund had transactions subject to enforceable master netting agreements which govern the terms of certain transactions, and reduce the counterparty risk associated with such transactions. Master netting agreements allow a fund to close out and net total exposure to a counterparty in the event of a deterioration in the credit quality or contractual default with respect to all of the transactions with a counterparty. As defined by the master netting agreement, the Fund may have collateral agreements with certain counterparties to mitigate risk. Interest expense from collateral received, if any, is included on the Statement of Operations. For financial reporting purposes, the Statement of Assets and Liabilities generally shows derivative assets and liabilities on a gross basis, which reflects the full risks
30
Notes to Financial Statements
Annual Report April 30, 2021
and exposures prior to netting. A reconciliation of the gross amounts on the Statement of Assets and Liabilities to the net amounts, including any collateral exposure, is included in the following table:
Assets | | | | | | | | Gross Amounts Not Offset in the Statement of Assets & Liabilities | | | |
Description | | Gross Amount of Recognized Assets | | Gross Amounts Offset in the Statement of Assets & Liabilities | | Net Amounts of Assets Presented in the Statement of Assets & Liabilities | | Financial Instruments | | Cash Collateral Received* | | Net Amount | |
Futures | | $ | 8,619 | | | $ | — | | | $ | 8,619 | | | $ | — | | | $ | — | | | $ | 8,619 | | |
Forward Foreign Currency Contracts | | | 34,901 | | | | — | | | | 34,901 | | | | (34,901 | ) | | | — | | | | — | | |
Total | | $ | 43,520 | | | $ | — | | | $ | 43,520 | | | $ | (34,901 | ) | | $ | — | | | $ | 8,619 | | |
Liabilities | | | | | | | | Gross Amounts Not Offset in the Statement of Assets & Liabilities | | | |
Description | | Gross Amount of Recognized Liabilities | | Gross Amounts Offset in the Statement of Assets & Liabilities | | Net Amounts of Liabilities Presented in the Statement of Assets & Liabilities | | Financial Instruments | | Cash Collateral Pledged* | | Net Amount | |
Forward Foreign Currency Contracts | | $ | (268,105 | ) | | $ | — | | | $ | (268,105 | ) | | $ | 34,901 | | | $ | 233,204 | | | $ | — | | |
Total | | $ | (268,105 | ) | | $ | — | | | $ | (268,105 | ) | | $ | 34,901 | | | $ | 233,204 | | | $ | — | | |
* Collateral pledged is limited to the net outstanding amount due to/from one individual counterparty. The actual collateral amounts pledged may exceed these amounts and fluctuate with value.
For the year ended April 30, 2021 the average monthly volume of derivatives was as follows:
| | Longs | | Shorts | |
Forward foreign currency contracts (contract value) | | $ | 7,426,713 | | | $ | (19,274,053 | ) | |
Futures (notional value) | | | — | | | | (1,008,904 | ) | |
Securities Transactions and Investment Income
The Fund's securities transactions are recorded on the trade date. Realized gains or losses on sales of investments are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date.
Interest income is recorded on an accrual basis. Purchase discounts and premiums on fixed-income securities are accreted and amortized to maturity using the effective interest method and reflected within interest income on the Statement of Operations.
Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income on the Statement of Operations, even though investors do not receive their principal until maturity.
31
Notes to Financial Statements
Annual Report April 30, 2021
Investment income, expenses (other than those specific to a particular class of shares), and realized and unrealized gains and losses on investments are allocated to the separate classes of shares based upon their relative net asset value on the date income is earned or expensed and realized and unrealized gains and losses are incurred.
Federal Taxes
The Fund intends to continue to qualify to be taxed as a "regulated investment company" under the provisions of the U.S. Internal Revenue Code of 1986, as amended (the "Code"), and as such will not be subject to U.S. federal income tax on income (including any net realized capital gains) which is distributed in accordance with the provisions of the Code to the Fund's shareholders. Therefore, no U.S. federal income tax provision is required.
Investment income received from investments in foreign jurisdictions may be subject to foreign withholding tax. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Whenever possible, the Fund will attempt to operate so as to qualify for reduced tax rates or tax exemptions in those countries with which the United States has a tax treaty. Foreign taxes, if any, net of any reclaims, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Fund invests.
In addition to the requirements of the Code, the Fund may also be subject to capital gains tax in foreign
jurisdictions on gains realized upon the sale of securities. If the Fund had exposure to capital gains taxes, it would accrue a deferred liability for unrealized gains in excess of available loss carryforwards based on existing tax rates and holding periods of the securities. The Fund did not have material exposure to foreign capital gains taxes in the current period.
The Fund is subject to tax accounting standards that provide guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. These standards require the evaluation of tax positions taken, or expected to be taken, in the course of preparing the Fund's tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the "more-likely-than-not" threshold would be recorded as a reduction in a tax benefit or expense in the current year. Management has evaluated the application of these standards and has determined no liabilities for income tax related expenses are required in the financial statements of the Fund. The tax periods since inception through present remain subject to examination.
At April 30, 2021 for federal income tax purposes, the Fund had no capital loss carryforwards.
Realized capital losses, currency losses and passive foreign investment company ("PFIC") losses incurred after October 31 ("Post October Capital/Late Year Ordinary Losses") within the taxable year are deemed to arise on the first business day of the Fund's next taxable year. During the year ended April 30, 2021, the Fund elected to defer net post-October or late-year ordinary losses as indicated.
At April 30, 2021, the components of accumulated earnings on a tax basis were as follows:
Fund | | Undistributed Net Ordinary Income* | | Long Term Capital Gains | | Capital Loss Carryforwards | | Post October Capital/Late Year Ordinary Losses | | Net Unrealized Appreciation/ Depreciation on Investments and Foreign Currencies | | Total Accumulated Earnings/Deficit | |
Baillie Gifford Multi Asset Fund | | $ | (51,350 | ) | | $ | 603,704 | | | $ | — | | | $ | (557,443 | ) | | $ | 3,070,954 | | | $ | 3,065,865 | | |
* Includes $51,350 of disallowed straddle losses.
32
Notes to Financial Statements
Annual Report April 30, 2021
Dividends and Distributions to Shareholders
The Fund intends to distribute each year, as dividends, substantially all net investment income and net capital gains realized. All such dividends or distributions are credited in the form of additional shares of the Fund at net asset value on the ex-dividend date unless the shareholder
elects to receive dividends and distributions in cash. Currently, the Fund's policy is to distribute net investment income and net capital gains on an annual basis. Such distributions are determined in conformity with U.S. federal income tax regulations, which may differ from GAAP.
For the years ended April 30, 2021 and April 30, 2020, the tax characters of the dividends paid were:
Fund | | Ordinary Income 2021 | | Long Term Capital Gains 2021 | | Return of Capital 2021 | | Ordinary Income 2020 | | Long Term Capital Gains 2020 | | Return of Capital 2020 | |
Baillie Gifford Multi Asset Fund | | $ | 111,924 | | | $ | 2 | | | $ | — | | | $ | 611,427 | | | $ | 108,674 | | | $ | — | | |
For tax purposes, distributions from short-term capital gains, if any, are considered ordinary income distributions.
The Fund's cost of investments and gross unrealized appreciation (depreciation) at April 30, 2021 for U.S. federal income tax purposes were as follows:
Fund | | Cost of Investments | | Gross Appreciation | | Gross Depreciation | | Net Appreciation | |
Baillie Gifford Multi Asset Fund | | $ | 20,343,632 | | | $ | 3,635,047 | | | $ | (562,767 | ) | | $ | 3,072,280 | | |
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales and net mark to market gains (losses) on securities categorized as PFICs.
Note B — Investment Management and Other Services
The Fund is advised and managed by the Manager. The Manager, an investment adviser registered with the Securities and Exchange Commission (the "SEC"), is a wholly owned subsidiary of Baillie Gifford & Co.
Under an investment advisory agreement between the Manager and the Trust on behalf of the Fund (the "Advisory Agreement"), the Fund pays the Manager an investment advisory fee, (the "Advisory Fee") in arrears.
The Advisory Fee paid by the Fund under the Advisory Agreement is calculated and accrued daily on the basis of the annual rate noted below and expressed as a percentage of the Fund's average daily net assets.
Fund | | Average Daily Net Assets of the Fund (billions) | | Annual Rate at Each Asset Level | | Annual Rate at Each Asset Level Post Waiver* | |
Baillie Gifford Multi Asset Fund | | | $0 - $2 >$2 - $5 Above $5 | | | | 0.33% 0.29% 0.27% | | | | 0.08% 0.06% 0.05% | | |
* The Manager has contractually agreed to waive a portion of its Advisory Fee (the "Temporary Advisory Fee Waiver") with respect to the Fund from May 1, 2020 until May 1, 2022.
33
Notes to Financial Statements
Annual Report April 30, 2021
The Manager is responsible for providing certain administrative services to Fund shareholders as well as coordinating, overseeing and supporting services provided to Fund shareholders by third parties, including financial intermediaries that hold accounts with the Fund, pursuant to an Administration and Supervisory Agreement between the Manager and the Trust on behalf of the Fund. The Fund has adopted an Administration, Supervisory and Sub-Accounting Services Plan with respect to Class K and Institutional Class shares, which authorizes the Fund to pay the Manager an administration and supervisory fee (the "Administration and Supervisory Fee") quarterly, in arrears, at an annual rate of 0.17% of the Fund's average net assets.
The Fund may enter into certain agreements with Financial Intermediaries that require payments for sub-transfer agency services in excess of the Board approved cap on payments and/or reimbursements to Financial
Intermediaries. In such instances the Manager will pay, out of its own profits, the difference between the amount due under the agreement with the Financial Intermediary and the cap on such payments and/or reimbursements approved by the Board.
The Manager has contractually agreed to irrevocably waive a portion of its management fee in an amount equal to 100% of the Advisory Fee and Administration and Supervisory Fee paid by any Affiliated Fund with respect to Fund assets invested in such Affiliated Fund. For purposes of this waiver, "Affiliated Fund" means any pooled investment vehicle that is managed by the Manager or by any of its affiliates and that pays a management fee. This contractual agreement (the "Affiliated Fund Waiver") has an indefinite term for so long as the Fund's Advisory Agreement and related contractual arrangements remain in full force and effect, and it may only be terminated by the Board.
The Manager has contractually agreed to waive its fees and/or bear expenses of the Fund to the extent that the Fund's total annual operating expenses (excluding taxes, sub-accounting expenses, acquired fund fees and expenses* and extraordinary expenses) exceed the following amounts, less the above Affiliated Fund Waiver.
Fund | | Class | | Expense Limitation** | | Expiration Date | |
Baillie Gifford Multi Asset Fund | | Class K | | | 0.40 | % | | 5/01/2022 | |
Baillie Gifford Multi Asset Fund | | Institutional Class | | | 0.40 | % | | 5/01/2022 | |
* The term "acquired fund fees and expenses" originates in the mutual fund prospectus disclosure requirements and refers to a methodology for estimating the operating expenses of funds in which the Fund invests. This information is part of the fees and expenses displayed in the Fund's prospectus.
** This expense limitation has changed from 0.65% to 0.40%, effective May 1, 2020, and is applied after giving effect to the Temporary Advisory Fee Waiver described above.
Waived fees for the Fund are not subject to recoupment. The contractual fee waiver/expense reimbursement arrangements described above may only be terminated by the Board.
Baillie Gifford Funds Services LLC, a wholly-owned subsidiary of the Manager, serves as the sole distributor and principal underwriter of the shares of the Fund.
The Bank of New York Mellon serves as the Fund's administrator and custodian. BNY Mellon Investment Servicing (U.S.) Inc. serves as the Trust's transfer agent, registrar and dividend disbursing agent.
The Fund may own outstanding voting shares of other funds within Baillie Gifford Funds, the issuer of which is considered an affiliate. At April 30, 2021, transactions in affiliated funds, if any, are listed under the heading Affiliated Fund Holdings at the end of the Portfolio of Investments.
Note C — Investment Transactions
Purchases and proceeds from sales of securities (excluding short-term securities) for the year ended April 30, 2021 were as follows:
| | Purchases | | Sales | |
Long Term Investments | | $ | 19,023,090 | | | $ | 10,416,410 | | |
U.S. Government Obligations | | | 203,158 | | | | 556,461 | | |
34
Notes to Financial Statements
Annual Report April 30, 2021
Note D — Transactions in Shares of Beneficial Interest
| | Baillie Gifford Multi Asset Fund | |
| | Class K Shares For the Year Ended April 30, 2021 | | Institutional Class Shares For the Year Ended April 30, 2021 | |
| | Shares | | Amount | | Shares | | Amount | |
Shares sold | | | 1,041,667 | | | $ | 10,000,000 | | | | 62,931 | | | $ | 716,420 | | |
Shares issued in reinvestment of dividends and distributions | | | 7,586 | | | | 84,965 | | | | 2,405 | | | | 26,961 | | |
Shares redeemed | | | — | | | | — | | | | — | | | | — | | |
Net increase (decrease) | | | 1,049,253 | | | $ | 10,084,965 | | | | 65,336 | | | $ | 743,381 | | |
| | Baillie Gifford Multi Asset Fund | |
| | Class K Shares For the Year Ended April 30, 2020 | | Institutional Class Shares For the Year Ended April 30, 2020 | |
| | Shares | | Amount | | Shares | | Amount | |
Shares sold | | | — | | | $ | — | | | | — | | | $ | — | | |
Shares issued in reinvestment of dividends and distributions | | | 33,999 | | | | 360,050 | | | | 33,999 | | | | 360,051 | | |
Shares redeemed | | | — | | | | — | | | | — | | | | — | | |
Net increase (decrease) | | | 33,999 | | | $ | 360,050 | | | | 33,999 | | | $ | 360,051 | | |
Note E — Beneficial Ownership
Beneficial ownership, either direct or indirect, of more than 25% of the voting securities of the Fund creates a presumption of control under Section 2(a)(9) of the 1940 Act. As of April 30, 2021, the following shareholders beneficially owned 25% or more of the Fund's voting securities:
Fund | | Investor | | Percentage | |
Baillie Gifford Multi Asset Fund | | Baillie Gifford International LLC | | | 49.27 | % | |
Baillie Gifford Multi Asset Fund | | City of Austin Employees' Retirement System | | | 47.85 | % | |
Purchase and redemption activity of these accounts may have a significant effect on the operation of the Fund.
35
Notes to Financial Statements
Annual Report April 30, 2021
Note F — Commitments and Contingencies
The Fund indemnifies the Trust's officers and Trustees for certain liabilities that might arise from the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnifications.
The Fund's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
Note G — Line of Credit
The Trust entered into a committed facility with Bank of New York Mellon on May 1, 2017, renewed April 20, 2021, and expiring April 19, 2022, which allows certain series of the Trust to borrow up to $75 million in total subject to minimum asset coverage requirements set out in the Credit Agreement. Each such series may borrow money under this credit facility for the temporary funding of shareholder redemptions or for other temporary or emergency purposes.
In normal market conditions, borrowings are charged an interest rate of 1.25% per annum plus the greater of the Federal Funds Effective Rate or the one-month U.S. LIBOR Rate.
Effective April 20, 2021, language was added to the credit agreement to set out alternative rates chargeable on borrowings if certain conditions are met including if LIBOR ceases to be published. In these circumstances the rate chargeable would be calculated based on an alternative such as the Secured Overnight Financing Rate (SOFR).
The Fund pays a share of a commitment fee on the portion of the facility which is undrawn. Effective April 20, 2021, the commitment fee increased from 0.20% to 0.25% on undrawn amounts.
The rate payable at April 30, 2021 was 1.36% on any amounts drawn down. There were no drawdowns for the Fund in the year ended April 30, 2021.
Note H — Principal Risks (unaudited)
The below is a selection of the Fund's principal risks. For a full list of the Fund's principal risks, including a description of each risk, please refer to the Fund's prospectus.
Cash
Cash held by the Fund may be in excess of Federal Deposit Insurance Corporation (FDIC) limitations. The Manager does not expect any losses as a result of cash being in excess of FDIC limits.
Asset Allocation Risk
The Fund's investment performance depends upon the successful allocation of the Fund's assets among asset classes, geographical regions, industry sectors, and specific issuers and investments. Asset allocation does not eliminate risk, and market conditions sometimes arise in which even effective asset allocation cannot prevent losses, such as market conditions in which most or all asset valuations decline simultaneously. There is no guarantee that the Fund's allocation techniques and decisions will produce the desired results. It is possible to lose money on an investment in the Fund as a result of these allocation decisions.
Volatility Management Risk
There can be no guarantee that the portfolio managers will be successful in managing the Fund's overall level of volatility. As a result, the Fund may not realize the anticipated benefits from its volatility management strategies or it may realize losses, especially in situations where the valuation of a broad range of asset classes, markets and instruments move in the same direction. Under certain market conditions, the use of volatility management strategies may also result in less favorable performance than if such strategies had not been used. Volatility is nondirectional; low volatility does not necessarily suggest that the Fund will not lose value or is less risky.
36
Notes to Financial Statements
Annual Report April 30, 2021
Market Risk
The value of the Fund's investments will be affected by fluctuations in the markets in which the Fund is invested, factors affecting a particular industry or industries, real or perceived adverse economic conditions, changes in interest or currency rates or adverse investor sentiment generally. Declines in securities market prices may reduce the net asset value of the Fund's shares.
Derivatives Risk
Investing in derivative instruments involves the risk that these instruments' values may not move as expected relative to the values of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, counterparty risk, and liquidity risk.
Futures Contracts Risk
Investments 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.
Structured Finance Securities Risk
Holders of structured finance securities bear the risks of the underlying investments, index or reference obligation and are subject to counterparty risk. Payment streams associated with structured finance securities held by the Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, deal structure, creditworthiness of any credit-support provider, and reliability of various other service providers with access to the payment stream), and a problem in any of these factors can lead to a reduction in the payment stream the Manager expected the Fund to receive when the Fund purchased the structured finance security.
Underlying Funds Risk
Investments in other pooled investment vehicles may indirectly expose the Fund to all of the risks applicable to
an investment in such other pool. The Fund must pay its pro rata portion of the other pooled vehicles fees and expenses. If such pool is an ETF or other product traded on a securities exchange or otherwise actively traded, its shares may trade at a premium or discount to their net asset value, an effect that might be more pronounced in less liquid markets. Further, the Manager or an affiliate will serve as investment adviser to some pools in which the Fund invests, leading to potential conflicts of interest.
LIBOR Phaseout
The Fund does not have any exposure to LIBOR based instruments impacted by the planned cessation of LIBOR. The Fund does have exposure to four EURIBOR based instruments, however, this reference rate will remain in place and as a result there are no additional complexities or concerns associated with these instruments.
Market Disruption and Geopolitical Risk
Communicable diseases, including those that result in pandemics or epidemics, may pose significant threats to human health, and such diseases, along with any efforts to contain their spread, may be highly disruptive to both global and local economies and markets, with significant negative impact on individual issuers, sectors, industries, and asset classes. Significant public health crises, including those triggered by the transmission of a communicable disease and efforts to contain it may result in, among other things, border closings and other significant travel restrictions and disruptions, significant disruptions to business operations, supply chains and customer activity, lower consumer demand for goods and services, event cancellations and restrictions, service cancellations, reductions and other changes, significant challenges in healthcare service preparation and delivery, and prolonged quarantines, as well as general concern and uncertainty. All of these disruptive effects were present, for example, in the global pandemic linked to the outbreak of respiratory disease caused by a novel coronavirus designated as COVID-19 that was first reported in China in December 2019.
For further information on the risks of investing in the Fund, please refer to the Fund's prospectus.
37
Notes to Financial Statements
Annual Report April 30, 2021
Note I — Legal Notice (unaudited)
ICE
ICE Data Indices, LLC ("ICE DATA"), is used with permission. ICE DATA, its affiliates and their respective third party suppliers disclaim any and all warranties and representations, express and/or implied, including any warranties of merchantability or fitness for a particular purpose or use, including the indices, index data and any data included in, related to, or derived therefrom. Neither ICE DATA, its affiliates nor their respective third party providers shall be subject to any damages or liability with respect to the adequacy, accuracy, timeliness or completeness of the indices or the index data or any component thereof, and the indices and index data and all components thereof are provided on an "as is" basis and
your use is at your own risk. ICE DATA, its affiliates and their respective third party suppliers do not sponsor, endorse, or recommend Baillie Gifford, or any of its products or services.
Note J — Subsequent Events
Events or transactions that occur after the financial statement date but before the financial statements are issued are categorized as recognized or non-recognized for financial statement purposes.
There were no subsequent events identified between April 30, 2021 and the issuance of the Financial Statements.
38
Report of Independent Registered Public Accounting Firm
Annual Report April 30, 2021
To the Shareholders of Baillie Gifford Multi Asset Fund
and Board of Trustees of Baillie Gifford Funds
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of Baillie Gifford Multi Asset Fund (the "Fund"), a series of Baillie Gifford Funds, as of April 30, 2021, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the related notes, and the financial highlights for each of the three periods in the period then ended (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of April 30, 2021, the results of its operations for the year then ended, the changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the three periods in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of April 30, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more of Baillie Gifford Overseas Limited's investment companies since 2017.
COHEN & COMPANY, LTD.
Cleveland, Ohio
June 28, 2021
39
Supplemental Information (unaudited)
Annual Report April 30, 2021
Federal Income Tax Information
Qualified dividend income was taxable to the Fund through April 30, 2021. The Fund intends to designate the maximum amount of dividends that qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief Reconciliation Act of 2003.
Fund | | Qualified Dividend Income | |
Baillie Gifford Multi Asset Fund | | | 16.98 | % | |
For corporate shareholders, the percentage of ordinary income distributions for the year ended April 30, 2021 for the corporate dividends-received deduction is:
Fund | | Dividends-received Deductions | |
Baillie Gifford Multi Asset Fund | | | 0.87 | % | |
40
Supplemental Information (unaudited)
Annual Report April 30, 2021
Management of the Trust
The following tables set forth the Trustees and officers of the Trust, their principal occupations during the past five years, and certain other information as of April 30, 2021.
Name and Year of Birth | | Position(s) Held with Trust | | Length of Time Served as Trustee(1) | | Principal Occupation and Other Directorships Held During Past 5 Years(2) | | Number of Funds in Fund Complex overseen by Trustee(3) | |
Indepedent Trustees | | | | | | | | | |
Howard W. Chin 1952 | | Trustee, Chair of the Nominating and Governance Committee(4) | | Since 2015 | | Retired. Formerly: Managing Director, Investments, Guardian Life Insurance (financial services). | | | 19 | | |
Pamela M. J. Cox 1952 | | Trustee | | Since 2017 | | Retired. Formerly: Senior Associate (non-resident), CSIS (think tank); Senior Vice President; Vice President East Asia, World Bank Group (international bank & financial services). | | | 19 | | |
Robert E. Rigsby 1949 | | Trustee, Chair of the Audit Oversight Committee | | Since 2014 | | Retired. Formerly: President & COO, Delivery Business at Dominion Energy, Inc. (electric and gas energy company). | | | 19 | | |
Donald P. Sullivan Jr.(5) 1954 | | Trustee | | Since 2020 | | Retired. Formerly: Senior Vice President, Agency Distribution, Guardian Life Insurance (financial services). | | | 19 | | |
Interested Trustee as defined in the 1940 Act(2) | |
David Salter(6) 1975 | | Trustee, Chair of the Board, and President | | Since 2016. Formerly, Vice President. | | Partner, Baillie Gifford & Co. (parent of investment adviser); CEO & Chairman, Baillie Gifford Funds Services LLC (broker-dealer). | | | 19 | | |
Name and Year of Birth | | Position(s) Held with Trust | | Length of Time Served(1) | | Principal Occupation During Past 5 Years(2) | |
Officers (other than officers who are also Trustees) | | | | | | | |
Andrew Telfer 1967 | | Vice President | | Since 2008 | | Managing Partner, Baillie Gifford & Co. | |
Michael Stirling-Aird 1977 | | Vice President | | Since 2012 | | Client Service Director, Baillie Gifford Overseas Limited. | |
Julie Paul 1975 | | Vice President | | Since 2012 | | Manager, North American Funds Operations Department, Baillie Gifford & Co. | |
Tim Campbell 1975 | | Vice President | | Since 2014 | | Partner, Baillie Gifford & Co.; Manager, Baillie Gifford International LLC with oversight of marketing performed in North America. | |
Lindsay Cockburn 1978 | | Treasurer | | Since 2015 | | Manager, North American Funds Operations Department, Baillie Gifford & Co. | |
41
Supplemental Information (unaudited)
Annual Report April 30, 2021
Name and Year of Birth | | Position(s) Held with Trust | | Length of Time Served(1) | | Principal Occupation During Past 5 Years(2) | |
Officers (other than officers who are also Trustees) | | | | | | | |
Gareth Griffiths 1973 | | Secretary and Chief Legal Officer | | Secretary since 2015; Chief Legal Officer since 2017 | | Senior Legal Counsel for Baillie Gifford & Co. | |
Graham Laybourn 1966 | | Vice President | | Since 2018 | | Partner, Baillie Gifford & Co. | |
Suzanne Quinn 1979 | | Chief Compliance Officer and AML Compliance Officer | | Since 2018 | | Manager, Compliance Department, Baillie Gifford & Co. | |
Evan Delaney(7) 1969 | | Chief Risk Officer | | Since 2013 | | Partner, Baillie Gifford & Co.; Group Chief Risk Officer, Director of Business Risk and Internal Audit, Baillie Gifford Group (investment adviser). | |
Lesley-Anne Archibald 1988 | | Vice President | | Since 2017 | | Manager, North American Funds Operations Department, Baillie Gifford & Co. | |
Kelly Cameron 1989 | | Vice President | | Since 2020 | | Client Service Manager, Baillie Gifford Overseas Limited. | |
The address of each Trustee is c/o Ropes & Gray LLP, Prudential Tower, 800 Boylston Street Boston, MA 02199. The address of each officer of the Trust is c/o Baillie Gifford Funds, Calton Square, 1 Greenside Row, Edinburgh, Scotland EH1 3AN.
(1) There is no stated term of office for the Trustees and a Trustee may serve until such Trustee reaches the age of 75 years. The Chair of the Board and officers of the Trust, including the President of the Trust, are elected annually by the Board.
(2) Previous positions during the past five years with Baillie Gifford & Co., the Manager, and Baillie Gifford Group are omitted if not materially different from the positions listed.
(3) The number of Funds in the Fund complex overseen by the Trustee includes series of the Trust not included in this shareholder report or which have not yet commenced investment operations as of the date hereof.
(4) On October 1, 2020, Howard W. Chin took over as Chair of the Nominating and Governance Committee in anticipation of Bruce C. Long's retirement on December 31, 2020.
(5) Donald P. Sullivan Jr. joined the Board as a new trustee on July 1, 2020.
(6) David Salter is an "interested person" (as defined in the 1940 Act) of the Trust or the Manager due to his positions with the Manager and his role as an officer of the Trust.
(7) The Board has accepted the resignation of Evan Delaney as Chief Risk Officer of the Trust and approved the appointment of Neil Riddell to that position effective July 1, 2021. Neil Riddell (year of birth 1988) is Head of Group Risk at Baillie Gifford & Co.
42
Supplemental Information (unaudited)
Annual Report April 30, 2021
Additional information regarding the Trustees is in the Fund's Statement of Additional Information and is available upon request, without charge, by calling the Manager at 011-44-131-275-2000. Shareholders may submit to the Trust claims for reimbursement of telephone charges incurred in placing such calls.
A description of the Fund's proxy voting policies and procedures related to portfolio securities is available without charge, upon request, by calling the Manager at 011-44-131-275-2000 or on the SEC's website at http://www.sec.gov. Shareholders may submit to the Trust claims for reimbursement of telephone charges incurred in placing such calls.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is also available without
charge upon request by calling the Manager at 011-44-131-275-2000 or by accessing the Fund's Form N-PX on the SEC's website at http://www.sec.gov. Shareholders may submit to the Trust claims for reimbursement of telephone charges incurred in placing such calls.
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its Form N-PORT. The Fund's Form N-PORT is available on the SEC's website at http://www.sec.gov. The Fund's holdings can also be found at Baillie Gifford Funds' website: http://USmutualfund.bailliegifford.com.
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Copyright © Baillie Gifford & Co 2015.
(b) Not applicable
Item 2. Code of Ethics.
| (a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
| (c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
| (d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
Item 3. Audit Committee Financial Expert.
As of the end of the period covered by the report, the registrant’s Board of Trustees has determined that Mr. Robert E. Rigsby, is qualified to serve as an audit committee financial expert serving on its audit oversight committee and that he is “independent,” as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
The following fees being reported are those charged with respect to services provided in relation to Baillie Gifford Multi Asset Fund, except where otherwise noted.
Audit Fees
| (a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $28,000 for 2021 and $25,200 for 2020. |
Audit-Related Fees
| (b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item are $0 for 2021 and $0 for 2020. |
Tax Fees
| (c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $7,000 for 2021 and $7,000 for 2020. These services are related to the review of federal and state income tax returns, excise tax returns, and the review of the distribution requirements for excise tax purposes. |
All Other Fees
| (d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2021 and $0 for 2020. |
| (e)(1) | In order for the Trust’s accountant to remain independent, the following engagements must be approved in advance by the Trust’s Audit Oversight Committee or pursuant to the Pre-Approval Policies and Procedures for Audit and Non-Audit Services, as adopted by the Trust’s Audit Oversight Committee: |
(a) any engagement of the accountant to provide audit services or non-audit services to the Trust; and
(b) any engagement of the accountant to provide non-audit services to the Trust’s investment adviser, or any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Trust (“Service Providers”), if the engagement relates directly to the operations and financial reporting of the Trust.
Audit Oversight Committee Pre-Approval Policies and Procedures: All services to be performed by the Registrant’s principal auditors must be approved by the Registrant’s audit committee.
| (e)(2) | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows: |
(b) Audit Related Fees – Not Applicable
(c) Tax Fees – 100%
(d) All Other Fees – 100%
| (g) | The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $5,500* for 2021 and $6,838 for 2020. |
| (h) | The registrant's audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
* This amount was paid by the Trust’s investment adviser in relation to services delivered to the adviser and applicable to the Trust, rather than services applicable to any individual series of the Trust.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
| (a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): | Baillie Gifford Funds | |
By (Signature and Title)* | /s/ David Salter | |
| David Salter, President | |
| (principal executive officer)** | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ David Salter | |
| David Salter, President | |
| (principal executive officer)** | |
By (Signature and Title)* | /s/ Lindsay Cockburn, Treasurer | |
| Lindsay Cockburn, Treasurer | |
| (principal financial officer) | |
* Print the name and title of each signing officer under his or her signature.
**By: | /s/ Michael Stirling-Aird | |
Michael Stirling-Aird*** |
*** | Attorney-in-Fact pursuant to a Power of Attorney executed on March 12, 2020 and filed as an exhibit to Post-Effective Amendment No. 49 to the registration statement of the Trust on Form N-1A filed on April 27, 2020. |