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: 811-10371
LORD ABBETT EQUITY TRUST
(Exact name of Registrant as specified in charter)
90 Hudson Street, Jersey City, NJ 07302
(Address of principal executive offices) (Zip code)
Brooke A. Fapohunda, Esq., Vice President & Assistant Secretary
90 Hudson Street, Jersey City, NJ 07302
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 201-6984
Date of fiscal year end: 7/31
Date of reporting period: 7/31/2015
Item 1: | Report(s) to Shareholders. |
2015 LORD ABBETT
ANNUAL REPORT
Lord Abbett
Calibrated Large Cap Value Fund
Calibrated Mid Cap Value Fund
For the fiscal year ended July 31, 2015
Lord Abbett Equity Trust
Lord Abbett Calibrated Large Cap Value Fund and
Lord Abbett Calibrated Mid Cap Value Fund
Annual Report
For the fiscal year ended July 31, 2015
Daria L. Foster, Trustee, President and Chief Executive Officer of the Lord Abbett Funds, and E. Thayer Bigelow, Independent Chairman of the Lord Abbett Funds.
Dear Shareholders: We are pleased to provide you with this overview of the performance of the Lord Abbett Equity Trust Funds for the fiscal year ended July 31, 2015. On this page and the following pages, we discuss the major factors that influenced fiscal year performance. For detailed and more timely information about the Funds, please visit our website at www.lordabbett.com, where you also can access quarterly commentaries that provide updates on each Fund’s performance and other portfolio related updates.
Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.
Best regards,
Daria L. Foster
Trustee, President and Chief Executive Officer
Calibrated Large Cap Value Fund
For the fiscal year ended July 31, 2015, the Fund returned 6.71%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the Russell 1000 Value® Index,1 which returned 6.40% over the same period.
Domestic equity markets saw solid gains over the past year, with the S&P 500® Index2 rising more than 11% during
the trailing 12-month period. Despite this general trend upward, there were a few periods of short-term volatility, most notably in October 2014, when the market almost entered correction territory, before rebounding to end the month at a new high, and in January 2015 when the S&P 500 declined 3.1%. One of the prevailing market themes during the trailing 12-month period was the decline in energy prices, with oil notably plunging 60% from a high in June 2014 to a six-year low in
1
March 2015. Finally, the U.S. economy initially was reported to have contracted by 0.2% in the first quarter of 2015; however, that figure was later revised up to a modest 0.6% expansion.
Consistent with our Calibrated investment approach that seeks to achieve excess returns through a focus on security selection, individual stock positions drove relative performance during the period. Strong stock selection within the energy and health care sectors contributed to relative performance over the trailing 12-month period. Within the energy sector, the share price of Valero Energy Corp., an international manufacturer and marketer of transportation fuels, advanced after the company reported strong earnings for the fourth quarter of 2014. Management remained focused on returning capital to shareholders, in the form of an increased dividend. The portfolio’s underweight position in Exxon Mobil Corp., an oil and natural gas exploration and production company, contributed to relative performance. The share price of Exxon fell during the period amid challenging market conditions.
Within the health care sector, the share price of Aetna Inc., a diversified health care benefits company, rose after the company reported well-managed medical expenses and membership growth during the first quarter of calendar year 2015. Pfizer, Inc., a global biopharmaceutical company, benefited from the acquisition of Hospira, Inc., a
world leader in injectable drugs and infusion technologies.
Stock selection within the information technology and utilities sectors detracted from relative performance during the period. Semiconductor provider Micron Technology, Inc. detracted from performance after missing on both the top and bottom line on second quarter 2015 results. Despite reporting an impressive second quarter, Intel Corp., a designer and manufacturer of digital technology platforms, faced headwinds surrounding the PC market.
Within the utilities sector, AES Corporation, a diversified power generation and utility company, detracted from relative performance. A diminished Brazilian economic outlook presented headwinds for the company. Edison International, a public utility company, also detracted from performance following a request to reopen a legal settlement for the permanent retirement of SONGS nuclear plant.
Calibrated Mid Cap Value Fund
For the fiscal year ended July 31, 2015, the Fund returned 10.15%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the Russell Midcap Value® Index,3 which returned 6.64% over the same period.
Domestic equity markets saw solid gains over the past year, with the S&P 500® Index2 rising more than 11% during
2
the trailing 12-month period. Despite this general trend upward, there were a few periods of short-term volatility, most notably in October 2014, when the market almost entered correction territory, before rebounding to end the month at a new high, and in January 2015 when the S&P 500 declined 3.1%. One of the prevailing market themes during the trailing 12-month period was the decline in energy prices, with oil notably plunging 60% from a high in June 2014 to a six-year low in March 2015. Finally, the U.S. economy initially was reported to have contracted by 0.2% in the first quarter of 2015; however, that figure was later revised up to a modest 0.6% expansion.
Consistent with our Calibrated investment approach that seeks to achieve excess returns through a focus on security selection, individual stock positions drove relative performance during the period. Stock selection within the consumer discretionary and energy sectors contributed to relative performance. Within the consumer discretionary sector, the share price of Whirlpool Corp., a home appliances manufacturer, advanced amid new product launches and improving demand in North and Latin America. Cruise company Royal Caribbean Cruises Ltd. benefited during the period from lower fuel costs and an increase in booking volumes.
Within the energy sector, an overweight of strong-performing PBF Energy Inc., a petroleum refiner, resulted in
a positive contribution to performance. Lower oil prices resulted in stronger than expected East Coast refining margins, pushing earnings ahead of estimates at the end of 2014. An underweight position in natural gas producer Chesapeake Energy Corp. contributed to relative performance. Although Chesapeake saw an improvement in its operations and finances, legacy commitments continue to drag on the company’s share price.
Stock selection within the health care and industrials sectors detracted from relative performance during the period. Within the health care sector, the portfolio’s underweight in Humana Inc., a health and well-being company, detracted from performance. Humana benefited from speculation that Aetna Inc. would acquire the company. Aetna announced the acquisition on July 6, 2015. An underweight position in HCA Holdings Inc., a health care services company, also detracted from relative performance. HCA continued to see strong volumes and improving margins in its core business.
Within the industrials sector, Timken Company, an engineering and manufacturing company, detracted from relative performance after management announced currency headwinds adversely affected revenues. Terex Corp., a diversified global manufacturer, detracted from performance after the company reported operating margins were weighed down by labor issues at West Coast ports, poor weather, and oil/gas weakness.
3
Each Fund’s portfolio is actively managed and, therefore, its holdings and the weightings of a particular sector as a percentage of portfolio assets are subject to change. Sectors may include many industries.
1 The Russell 1000® Value Index measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.
2 The S&P 500® Index is widely regarded as the standard for measuring large cap U.S. stock market performance and includes a representative sample of leading companies in leading industries.
3 The Russell Midcap® Value Index measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values. The stocks are also members of the Russell 1000® Value index.
Unless otherwise specified, indexes reflect total return, with all dividends reinvested. Indexes are unmanaged, do not reflect the deduction of fees or expenses, and are not available for direct investment.
Important Performance and Other Information
Performance data quoted in the following pages reflect past performance and are no guarantee of future results. Current performance may be higher or lower than the performance quoted. The investment return and principal value of an investment in the Funds will fluctuate so that shares, on any given day or when redeemed, may be worth more or less than their original cost.
You can obtain performance data current to the most recent month end by calling Lord Abbett at 888-522-2388 or referring to www.lordabbett.com.
Except where noted, comparative Fund performance does not account for the deduction of sales charges and would be different if sales charges were included. Each Fund offers classes of shares with distinct pricing options. For a full description of the differences in pricing alternatives, please see each Fund’s prospectus.
During certain periods shown, expense waivers and reimbursements were in place. Without such expense reimbursements, the Funds’ returns would have been lower.
The annual commentary above discusses the views of the Funds’ management and various portfolio holdings of the Funds as of July 31, 2015. These views and portfolio holdings may have changed after this date. Information provided in the commentary is not a recommendation to buy or sell securities. Because the Funds’ portfolio is actively managed and may change significantly, the Funds may no longer own the securities described above or may have otherwise changed their positions in the securities. For more recent information about the Funds’ portfolio holdings, please visit www.lordabbett.com.
A Note about Risk: See Notes to Financial Statements for a discussion of investment risks. For a more detailed discussion of the risks associated with each Fund, please see each Fund’s prospectus.
Mutual funds are not insured by the FDIC, are not deposits or other obligations of, or guaranteed by, banks, and are subject to investment risks including possible loss of principal amount invested.
4
Calibrated Large Cap Value Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Russell 1000® Value Index, assuming reinvestment of all distributions. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During the period, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended July 31, 2015
| | | 1 Year | | Life of Class |
Class A3 | | | 0.58 | % | | | 15.28 | % |
Class C4 | | | 5.00 | % | | | 16.34 | % |
Class F5 | | | 6.90 | % | | | 17.37 | % |
Class I5 | | | 6.99 | % | | | 17.49 | % |
Class R25 | | | 6.35 | % | | | 17.00 | % |
Class R35 | | | 6.47 | % | | | 16.96 | % |
Class R46 | | | – | | | | 0.38 | %* |
Class R56 | | | – | | | | 0.38 | %* |
Class R66 | | | – | | | | 0.38 | %* |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for the unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance. Performance of the index begins on December 29, 2011.
3 Class A shares commenced operations on December 21, 2011 and performance for the Class began on December 29, 2011. Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the period ended July 31, 2015, is calculated using the SEC-required uniform method to compute such return.
4 Class C shares commenced operations on December 21, 2011 and performance for the Class began on December 29, 2011. Reflects the deduction of the 1% CDSC for Class C shares, which normally applies before the first anniversary of the purchase date.
5 Class F, I, R2 and R3 commenced operations on December 21, 2011 and performance for the Classes began on December 29, 2011. Performance is at net asset value.
6 Class R4, R5 and R6 commenced operations and performance for the classes began on June 30, 2015. Performance is at net asset value.
* Because Class R4, R5 and R6 shares have existed for less than one year, average annual returns are not provided.
5
Calibrated Mid Cap Value Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Russell Midcap® Value Index, assuming reinvestment of all distributions. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During the period, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended July 31, 2015
| | 1 Year | | Life of Class |
Class A3 | | | 3.83 | % | | | 16.61 | % |
Class C4 | | | 8.35 | % | | | 17.68 | % |
Class F5 | | | 10.31 | % | | | 18.74 | % |
Class I5 | | | 10.41 | % | | | 18.86 | % |
Class R25 | | | 9.72 | % | | | 18.36 | % |
Class R35 | | | 9.84 | % | | | 18.45 | % |
Class R46 | | | – | | | | 0.46 | %* |
Class R56 | | | – | | | | 0.46 | %* |
Class R66 | | | – | | | | 0.46 | %* |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for the unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance. Performance of the index begins on December 29, 2011.
3 Class A shares commenced operations on December 21, 2011 and performance for the Class began on December 29, 2011. Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the period ended July 31, 2015, is calculated using the SEC-required uniform method to compute such return.
4 Class C shares commenced operations on December 21, 2011 and performance for the Class began on December 29, 2011. Reflects the deduction of the 1% CDSC for Class C shares, which normally applies before the first anniversary of the purchase date.
5 Class F, I, R2 and R3 commenced operations on December 21, 2011 and performance for the Classes began on December 29, 2011. Performance is at net asset value.
6 Class R4, R5 and R6 commenced operations and performance for the classes began on June 30, 2015. Performance is at net asset value.
* Because Class R4, R5 and R6 shares have existed for less than one year, average annual returns are not provided.
6
Expense Example
As a shareholder of each Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (these charges vary among the share classes); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (these charges vary among the share classes); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2015 through July 31, 2015).
Actual Expenses
For each class of each Fund, the first line of the applicable table on the following pages provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses Paid During Period 2/1/15 - 7/31/15” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
For each class of each Fund, the second line of the applicable table on the following pages provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
7
Calibrated Large Cap Value Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | Beginning | | Ending | | Expenses |
| | Account | | Account | | Paid During |
| | Value | | Value | | Period† |
| | | | | | |
| | | | | | 2/1/15 – |
| | 2/1/15 | | 7/31/15 | | 7/31/15 |
Class A | | | | | | |
Actual | | $1,000.00 | | $1,039.30 | | $3.79 |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.08 | | $3.76 |
Class C | | | | | | |
Actual | | $1,000.00 | | $1,035.80 | | $7.52 |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,017.41 | | $7.45 |
Class F | | | | | | |
Actual | | $1,000.00 | | $1,040.30 | | $3.04 |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.82 | | $3.01 |
Class I | | | | | | |
Actual | | $1,000.00 | | $1,040.80 | | $2.53 |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,022.32 | | $2.51 |
Class R2 | | | | | | |
Actual | | $1,000.00 | | $1,037.60 | | $5.56 |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.34 | | $5.51 |
Class R3 | | | | | | |
Actual | | $1,000.00 | | $1,038.50 | | $5.05 |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.84 | | $5.01 |
Class R4 | | | | | | |
Actual | | $1,000.00 | | $1,003.80 | | $0.64 |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,003.61 | | $0.64 |
Class R5 | | | | | | |
Actual | | $1,000.00 | | $1,003.80 | | $0.43 |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,003.82 | | $0.43 |
Class R6 | | | | | | |
Actual | | $1,000.00 | | $1,003.80 | | $0.40 |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,003.85 | | $0.40 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.75% for Class A, 1.49% for Class C, 0.60% for Class F, 0.50% for Class I, 1.10% for Class R2, 1.00% for Class R3, 0.75% for Class R4, 0.50% for Class R5 and 0.47% for Class R6) multiplied by the average account value over the period, multiplied by 181/365 (to reflect one-half year period for Classes A, C, F, I, R2 and R3) and multiplied by 31/365 (to reflect the period from June 30, 2015, commencement of operations, to July 31, 2015, for Classes R4, R5 and R6). |
8
Portfolio Holdings Presented by Sector
July 31, 2015
Sector* | %** |
Consumer Discretionary | 5.33% |
Consumer Staples | 6.25% |
Energy | 12.60% |
Financials | 30.76% |
Health Care | 11.73% |
Industrials | 10.55% |
Information Technology | 11.69% |
Materials | 2.46% |
Telecommunication Services | 2.76% |
Utilities | 5.32% |
Repurchase Agreement | 0.55% |
Total | 100.00% |
* | | A sector may comprise several industries. |
** | | Represents percent of total investments. |
9
Calibrated Mid Cap Value Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | Beginning | | Ending | | Expenses |
| | Account | | Account | | Paid During |
| | Value | | Value | | Period† |
| | | | | | |
| | | | | | 2/1/15 ��� |
| | 2/1/15 | | 7/31/15 | | 7/31/15 |
Class A | | | | | | |
Actual | | $1,000.00 | | $1,029.40 | | $4.28 |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,020.58 | | $4.26 |
Class C | | | | | | |
Actual | | $1,000.00 | | $1,025.50 | | $8.04 |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,016.86 | | $8.00 |
Class F | | | | | | |
Actual | | $1,000.00 | | $1,030.40 | | $3.52 |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.32 | | $3.51 |
Class I | | | | | | |
Actual | | $1,000.00 | | $1,030.30 | | $3.02 |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,021.82 | | $3.01 |
Class R2 | | | | | | |
Actual | | $1,000.00 | | $1,027.30 | | $6.03 |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,018.84 | | $6.01 |
Class R3 | | | | | | |
Actual | | $1,000.00 | | $1,027.80 | | $5.53 |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,019.34 | | $5.51 |
Class R4 | | | | | | |
Actual | | $1,000.00 | | $1,000.00 | | $0.72 |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,003.52 | | $0.72 |
Class R5 | | | | | | |
Actual | | $1,000.00 | | $1,000.00 | | $0.51 |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,003.74 | | $0.51 |
Class R6 | | | | | | |
Actual | | $1,000.00 | | $1,000.00 | | $0.50 |
Hypothetical (5% Return Before Expenses) | | $1,000.00 | | $1,003.75 | | $0.50 |
† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.85% for Class A, 1.60% for Class C, 0.70% for Class F, 0.60% for Class I, 1.20% for Class R2,1.10% for Class R3, 0.85% for Class R4, 0.60% for Class R5 and 0.59% for R6) multiplied by the average account value over the period, multiplied by 181/365 (to reflect one-half year period for Classes A, B, C, F, I, P, R2 and R3) and multiplied by 31/365 (to reflect the period from June 30, 2015, commencement of operations, to July 31, 2015, for Classes R4, R5 and R6). |
10
Portfolio Holdings Presented by Sector
July 31, 2015
Sector* | %** |
Consumer Discretionary | 9.04% |
Consumer Staples | 3.23% |
Energy | 9.00% |
Financial | 33.19% |
Health Care | 6.89% |
Industrials | 9.92% |
Information Technology | 9.71% |
Materials | 6.32% |
Telecommunication Services | 0.99% |
Utilities | 11.09% |
Repurchase Agreement | 0.62% |
Total | 100.00% |
* | | A sector may comprise several industries. |
** | | Represents percent of total investments. |
11
Schedule of Investments
CALIBRATED LARGE CAP VALUE FUND July 31, 2015
| | | | | Fair | |
| | | | | Value | |
Investments | | Shares | | | (000) | |
COMMON STOCKS 99.42% | | | | | | | | |
| | | | | | | | |
Aerospace & Defense 3.78% | | | | | | | | |
General Dynamics Corp. | | | 25,100 | | | $ | 3,743 | |
Orbital ATK, Inc. | | | 82,700 | | | | 5,868 | |
Raytheon Co. | | | 35,900 | | | | 3,916 | |
Spirit AeroSystems Holdings, Inc. Class A* | | | 27,100 | | | | 1,526 | |
United Technologies Corp. | | | 39,900 | | | | 4,002 | |
Total | | | | | | | 19,055 | |
| | | | | | | | |
Air Freight & Logistics 0.34% | | | | | | | | |
FedEx Corp. | | | 10,000 | | | | 1,714 | |
| | | | | | | | |
Airlines 1.37% | | | | | | | | |
Delta Air Lines, Inc. | | | 156,000 | | | | 6,917 | |
| | | | | | | | |
Automobiles 2.12% | | | | | | | | |
Ford Motor Co. | | | 219,800 | | | | 3,259 | |
General Motors Co. | | | 235,000 | | | | 7,405 | |
Total | | | | | | | 10,664 | |
| | | | | | | | |
Banks 11.00% | | | | | | | | |
BB&T Corp. | | | 144,100 | | | | 5,803 | |
Citigroup, Inc. | | | 302,900 | | | | 17,707 | |
Fifth Third Bancorp | | | 274,700 | | | | 5,788 | |
JPMorgan Chase & Co. | | | 287,900 | | | | 19,730 | |
Wells Fargo & Co. | | | 110,000 | | | | 6,366 | |
Total | | | | | | | 55,394 | |
| | | | | | | | |
Biotechnology 0.78% | | | | | | | | |
Alkermes plc (Ireland)*(a) | | | 23,800 | | | | 1,667 | |
Amgen, Inc. | | | 12,900 | | | | 2,278 | |
Total | | | | | | | 3,945 | |
| | | | | | | | |
Capital Markets 3.87% | | | | | | | | |
Ameriprise Financial, Inc. | | | 48,700 | | | | 6,120 | |
Invesco Ltd. | | | 210,500 | | | | 8,125 | |
Morgan Stanley | | | 135,700 | | | | 5,271 | |
Total | | | | | | | 19,516 | |
| | | | | | | | |
Chemicals 0.89% | | | | | | | | |
Huntsman Corp. | | | 236,000 | | | | 4,484 | |
| | | | | Fair | |
| | | | | Value | |
Investments | | Shares | | | (000) | |
Communications Equipment 2.66% | | | | | | | | |
Cisco Systems, Inc. | | | 287,200 | | | $ | 8,162 | |
CommScope Holding Co., Inc.* | | | 166,400 | | | | 5,220 | |
Total | | | | | | | 13,382 | |
| | | | | | | | |
Consumer Finance 2.66% | | | | | | | | |
Capital One Financial Corp. | | | 126,400 | | | | 10,276 | |
Santander Consumer USA Holdings, Inc.* | | | 128,500 | | | | 3,107 | |
Total | | | | | | | 13,383 | |
| | | | | | | | |
Diversified Financial Services 1.80% | | | | | | | | |
Intercontinental Exchange, Inc. | | | 9,150 | | | | 2,087 | |
Voya Financial, Inc. | | | 148,200 | | | | 6,958 | |
Total | | | | | | | 9,045 | |
| | | | | | | | |
Diversified Telecommunication Services 2.76% | | | | | | | | |
AT&T, Inc. | | | 325,200 | | | | 11,297 | |
Verizon Communications, Inc. | | | 55,300 | | | | 2,588 | |
Total | | | | | | | 13,885 | |
| | | | | | | | |
Electric: Utilities 2.37% | | | | | | | | |
Duke Energy Corp. | | | 44,900 | | | | 3,333 | |
Edison International | | | 28,700 | | | | 1,722 | |
PPL Corp. | | | 181,500 | | | | 5,774 | |
Westar Energy, Inc. | | | 28,800 | | | | 1,084 | |
Total | | | | | | | 11,913 | |
| | | | | | | | |
Electronic Equipment, Instruments & Components 1.92% | |
Avnet, Inc. | | | 163,500 | | | | 6,823 | |
Ingram Micro, Inc. Class A* | | | 104,300 | | | | 2,840 | |
Total | | | | | | | 9,663 | |
| | | | | | | | |
Energy Equipment & Services 2.28% | | | | | | | | |
Atwood Oceanics, Inc. | | | 105,900 | | | | 2,203 | |
National Oilwell Varco, Inc. | | | 20,700 | | | | 872 | |
Rowan Cos., plc Class A | | | 100,700 | | | | 1,735 | |
Schlumberger Ltd. | | | 72,200 | | | | 5,979 | |
Tidewater, Inc. | | | 34,500 | | | | 674 | |
Total | | | | | | | 11,463 | |
12 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CALIBRATED LARGE CAP VALUE FUND July 31, 2015
| | | | | Fair | |
| | | | | Value | |
Investments | | Shares | | | (000) | |
Food & Staples Retailing 2.23% | | | | | | | | |
CVS Health Corp. | | | 38,200 | | | $ | 4,296 | |
Sysco Corp. | | | 27,900 | | | | 1,013 | |
Wal-Mart Stores, Inc. | | | 82,600 | | | | 5,946 | |
Total | | | | | | | 11,255 | |
| | | | | | | | |
Food Products 1.45% | | | | | | | | |
Bunge Ltd. | | | 45,600 | | | | 3,641 | |
ConAgra Foods, Inc. | | | 83,600 | | | | 3,684 | |
Total | | | | | | | 7,325 | |
| | | | | | | | |
Health Care Equipment & Supplies 1.04% | | | | | | | | |
Medtronic plc (Ireland)(a) | | | 66,500 | | | | 5,213 | |
| | | | | | | | |
Health Care Providers & Services 2.46% | | | | | | | | |
Cardinal Health, Inc. | | | 67,000 | | | | 5,694 | |
UnitedHealth Group, Inc. | | | 55,000 | | | | 6,677 | |
Total | | | | | | | 12,371 | |
| | | | | | | | |
Household Durables 1.45% | | | | | | | | |
Whirlpool Corp. | | | 41,000 | | | | 7,287 | |
| | | | | | | | |
Household Products 1.52% | | | | | | | | |
Procter & Gamble Co. (The) | | | 100,000 | | | | 7,670 | |
| | | | | | | | |
Independent Power and Renewable Electricity Producer 1.23% | |
AES Corp. (The) | | | 484,400 | | | | 6,200 | |
| | | | | | | | |
Information Technology Services 2.71% | | | | | | | | |
Booz Allen Hamilton Holding Corp. | | | 96,900 | | | | 2,687 | |
Fidelity National Information Services, Inc. | | | 84,800 | | | | 5,548 | |
International Business Machines Corp. | | | 33,450 | | | | 5,419 | |
Total | | | | | | | 13,654 | |
| | | | | | | | |
Insurance 6.81% | | | | | | | | |
ACE Ltd. (Switzerland)(a) | | | 93,900 | | | | 10,213 | |
Allstate Corp. (The) | | | 167,100 | | | | 11,522 | |
Everest Re Group Ltd. | | | 39,200 | | | | 7,178 | |
Hartford Financial Services Group, Inc. (The) | | | 36,300 | | | | 1,726 | |
| | | | | Fair | |
| | | | | Value | |
Investments | | Shares | | | (000) | |
Prudential Financial, Inc. | | | 41,500 | | | $ | 3,667 | |
Total | | | | | | | 34,306 | |
| | | | | | | | |
Machinery 2.14% | | | | | | | | |
Cummins, Inc. | | | 56,600 | | | | 7,332 | |
Timken Co. (The) | | | 103,600 | | | | 3,458 | |
Total | | | | | | | 10,790 | |
| | | | | | | | |
Media 1.40% | | | | | | | | |
Comcast Corp. Class A | | | 113,100 | | | | 7,059 | |
| | | | | | | | |
Multi-Line Retail 0.36% | | | | | | | | |
Target Corp. | | | 22,300 | | | | 1,825 | |
| | | | | | | | |
Multi-Utilities 1.72% | | | | | | | | |
PG&E Corp. | | | 124,100 | | | | 6,516 | |
Sempra Energy | | | 21,200 | | | | 2,158 | |
Total | | | | | | | 8,674 | |
| | | | | | | | |
Oil, Gas & Consumable Fuels 10.32% | | | | | | | | |
Anadarko Petroleum Corp. | | | 39,800 | | | | 2,959 | |
Chevron Corp. | | | 187,500 | | | | 16,590 | |
ConocoPhillips | | | 155,500 | | | | 7,828 | |
Devon Energy Corp. | | | 62,300 | | | | 3,079 | |
Exxon Mobil Corp. | | | 108,000 | | | | 8,555 | |
Kinder Morgan, Inc. | | | 79,500 | | | | 2,754 | |
Occidental Petroleum Corp. | | | 25,000 | | | | 1,755 | |
Valero Energy Corp. | | | 129,200 | | | | 8,475 | |
Total | | | | | | | 51,995 | |
| | | | | | | | |
Paper & Forest Products 1.57% | | | | | | | | |
International Paper Co. | | | 165,000 | | | | 7,899 | |
| | | | | | | | |
Pharmaceuticals 7.45% | | | | | | | | |
Allergan plc* | | | 6,500 | | | | 2,153 | |
Eli Lilly & Co. | | | 30,700 | | | | 2,594 | |
Johnson & Johnson | | | 91,600 | | | | 9,179 | |
Mylan NV* | | | 52,500 | | | | 2,940 | |
Pfizer, Inc. | | | 573,300 | | | | 20,673 | |
Total | | | | | | | 37,539 | |
| | | | | | | | |
Professional Services 1.40% | | | | | | | | |
Nielsen NV | | | 145,700 | | | | 7,061 | |
| See Notes to Financial Statements. | 13 |
Schedule of Investments (continued)
CALIBRATED LARGE CAP VALUE FUND July 31, 2015
| | | | | Fair | |
| | | | | Value | |
Investments | | Shares | | | (000) | |
Real Estate Investment Trusts 4.61% | | | | | | | | |
Alexandria Real Estate Equities, Inc. | | | 29,800 | | | $ | 2,763 | |
AvalonBay Communities, Inc. | | | 36,300 | | | | 6,256 | |
General Growth Properties, Inc. | | | 209,700 | | | | 5,691 | |
Health Care REIT, Inc. | | | 21,600 | | | | 1,498 | |
Liberty Property Trust | | | 30,200 | | | | 1,028 | |
SL Green Realty Corp. | | | 15,300 | | | | 1,762 | |
Starwood Property Trust, Inc. | | | 99,700 | | | | 2,169 | |
Vornado Realty Trust | | | 10,600 | | | | 1,034 | |
Weyerhaeuser Co. | | | 33,500 | | | | 1,028 | |
Total | | | | | | | 23,229 | |
| | | | | | | | |
Road & Rail 0.20% | | | | | | | | |
Norfolk Southern Corp. | | | 12,100 | | | | 1,020 | |
| | | | | | | | |
Semiconductors & Semiconductor Equipment 3.36% | |
Applied Materials, Inc. | | | 57,900 | | | | 1,005 | |
Intel Corp. | | | 389,300 | | | | 11,270 | |
Micron Technology, Inc.* | | | 53,800 | | | | 996 | |
ON Semiconductor Corp.* | | | 341,700 | | | | 3,629 | |
Total | | | | | | | 16,900 | |
| | | | | | | | |
Software 0.55% | | | | | | | | |
Oracle Corp. | | | 44,800 | | | | 1,789 | |
Symantec Corp. | | | 44,100 | | | | 1,003 | |
Total | | | | | | | 2,792 | |
| | | | | | | | |
Technology Hardware, Storage & Peripherals 0.49% | |
Hewlett-Packard Co. | | | 81,000 | | | | 2,472 | |
| | | | | | | | |
Tobacco 1.04% | | | | | | | | |
Altria Group, Inc. | | | 96,400 | | | | 5,242 | |
| | | | | | | | |
Trading Companies & Distributors 1.31% | | | | | | | | |
Air Lease Corp. | | | 186,200 | | | | 6,582 | |
Total Common Stocks (cost $492,034,901) | | | | | | | 500,783 | |
| | Principal | | | Fair | |
| | Amount | | | Value | |
Investments | | (000) | | | (000) | |
SHORT-TERM INVESTMENT 0.55% | | | | | | | | |
| | | | | | | | |
Repurchase Agreement | | | | | | | | |
Repurchase Agreement dated 7/31/2015, Zero Coupon due 8/3/2015 with Fixed Income Clearing Corp. collateralized by $2,830,000 of U.S. Treasury Note at 1.50% due 5/31/2020; value: $2,819,388; proceeds: $2,759,315 (cost $2,759,315) | | $ | 2,759 | | | $ | 2,759 | |
Total Investments in Securities 99.97% (cost $494,794,216) | | | | | | | 503,542 | |
Cash and Other Assets in Excess of Liabilities(b) 0.03% | | | | | | | 142 | |
Net Assets 100.00% | | | | | | $ | 503,684 | |
* | Non-income producing security. |
(a) | Foreign security traded in U.S. dollars. |
(b) | Cash and Other Assets in Excess of Liabilities include net unrealized appreciation on futures contracts as follows: |
14 | See Notes to Financial Statements. |
Schedule of Investments (concluded)
CALIBRATED LARGE CAP VALUE FUND July 31, 2015
Open Futures Contracts at July 31, 2015: | | | | | | | | | | | |
| | | | | | | | | | | | Unrealized | |
Type | | Expiration | | Contracts | | | Position | | Fair Value | | | Appreciation | |
E-Mini S&P 500 Index | | September 2015 | | | 19 | | | Long | | | $1,993,480 | | | | $841 | |
| | | | | | | | | | | | | | | | |
The following is a summary of the inputs used as of July 31, 2015 in valuing the Fund’s investments carried at fair value(1):
| | Level 1 | | | Level 2 | | | Level 3 | | | Total |
Investment Type(2)(3) | | (000) | | | (000) | | | (000) | | | (000) |
Common Stocks | | $ | 500,783 | | | $ | – | | | $ | – | | | $ | 500,783 |
Repurchase Agreement | | | – | | | | 2,759 | | | | – | | | | 2,759 |
Total | | $ | 500,783 | | | $ | 2,759 | | | $ | – | | | $ | 503,542 |
| | | | | | | | | | | | | | | |
Other Financial Instruments | | | | | | | | | | | | | | | |
Futures Contracts | | | | | | | | | | | | | | | |
Assets | | $ | 1 | | | $ | – | | | $ | – | | | $ | 1 |
Liabilities | | | – | | | | – | | | | – | | | | – |
Total | | $ | 1 | | | $ | – | | | $ | – | | | $ | 1 |
(1) | Refer to Note 2(h) for a description of fair value measurements and the three-tier hierarchy of inputs. |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. |
(3) | There were no level transfers during the fiscal year ended July 31, 2015. |
| See Notes to Financial Statements. | 15 |
Schedule of Investments
CALIBRATED MID CAP VALUE FUND July 31, 2015
| | | | | Fair | |
| | | | | Value | |
Investments | | Shares | | | (000) | |
COMMON STOCKS 99.41% | | | | | | | | |
| | | | | | | | |
Aerospace & Defense 1.52% | | | | | | | | |
Orbital ATK, Inc. | | | 171,500 | | | $ | 12,168 | |
Triumph Group, Inc. | | | 78,000 | | | | 4,200 | |
Total | | | | | | | 16,368 | |
| | | | | | | | |
Airlines 0.41% | | | | | | | | |
Alaska Air Group, Inc. | | | 32,100 | | | | 2,432 | |
Southwest Airlines Co. | | | 54,400 | | | | 1,969 | |
Total | | | | | | | 4,401 | |
| | | | | | | | |
Auto Components 0.21% | | | | | | | | |
Lear Corp. | | | 21,600 | | | | 2,248 | |
| | | | | | | | |
Banks 5.50% | | | | | | | | |
CIT Group, Inc. | | | 152,300 | | | | 7,164 | |
Comerica, Inc. | | | 94,900 | | | | 4,501 | |
Fifth Third Bancorp | | | 1,269,100 | | | | 26,740 | |
Fulton Financial Corp. | | | 178,200 | | | | 2,309 | |
M&T Bank Corp. | | | 140,500 | | | | 18,427 | |
Total | | | | | | | 59,141 | |
| | | | | | | | |
Biotechnology 1.13% | | | | | | | | |
Alkermes plc (Ireland)*(a) | | | 173,700 | | | | 12,163 | |
| | | | | | | | |
Capital Markets 3.48% | | | | | | | | |
Ameriprise Financial, Inc. | | | 90,500 | | | | 11,373 | |
Invesco Ltd. | | | 675,300 | | | | 26,067 | |
Total | | | | | | | 37,440 | |
| | | | | | | | |
Chemicals 3.48% | | | | | | | | |
Celanese Corp. Series A | | | 64,000 | | | | 4,219 | |
CF Industries Holdings, Inc. | | | 153,350 | | | | 9,079 | |
Eastman Chemical Co. | | | 69,800 | | | | 5,472 | |
FMC Corp. | | | 43,700 | | | | 2,121 | |
Huntsman Corp. | | | 871,800 | | | | 16,564 | |
Total | | | | | | | 37,455 | |
| | | | | | | | |
Commercial Services & Supplies 0.90% | | | | | | | | |
R.R. Donnelley & Sons Co. | | | 550,600 | | | | 9,663 | |
| | | | | Fair | |
| | | | | Value | |
Investments | | Shares | | | (000) | |
Communications Equipment 0.46% | | | | | | | | |
CommScope Holding Co., Inc.* | | | 158,000 | | | $ | 4,956 | |
| | | | | | | | |
Consumer Finance 1.43% | | | | | | | | |
Navient Corp. | | | 183,100 | | | | 2,875 | |
Santander Consumer USA Holdings, Inc.* | | | 517,200 | | | | 12,506 | |
Total | | | | | | | 15,381 | |
| | | | | | | | |
Diversified Consumer Services 0.24% | | | | | | | | |
H&R Block, Inc. | | | 78,700 | | | | 2,620 | |
| | | | | | | | |
Diversified Telecommunication Services 0.99% | | | | | | | | |
Frontier Communications Corp. | | | 442,200 | | | | 2,087 | |
Level 3 Communications, Inc.* | | | 170,600 | | | | 8,616 | |
Total | | | | | | | 10,703 | |
| | | | | | | | |
Electric: Utilities 5.72% | | | | | | | | |
Edison International | | | 190,200 | | | | 11,414 | |
Entergy Corp. | | | 93,500 | | | | 6,640 | |
Great Plains Energy, Inc. | | | 305,200 | | | | 7,969 | |
ITC Holdings Corp. | | | 280,000 | | | | 9,459 | |
PPL Corp. | | | 255,050 | | | | 8,113 | |
Westar Energy, Inc. | | | 476,500 | | | | 17,940 | |
Total | | | | | | | 61,535 | |
| | | | | | | | |
Electrical Equipment 0.22% | | | | | | | | |
Eaton Corp. plc | | | 39,894 | | | | 2,417 | |
| | | | | | | | |
Electronic Equipment, Instruments & Components 3.46% | |
Avnet, Inc. | | | 413,700 | | | | 17,264 | |
Ingram Micro, Inc. Class A* | | | 456,800 | | | | 12,439 | |
Jabil Circuit, Inc. | | | 370,300 | | | | 7,498 | |
Total | | | | | | | 37,201 | |
| | | | | | | | |
Energy Equipment & Services 2.23% | | | | | | | | |
Cameron International Corp.* | | | 94,100 | | | | 4,748 | |
National Oilwell Varco, Inc. | | | 152,000 | | | | 6,404 | |
Rowan Cos., plc Class A | | | 746,100 | | | | 12,855 | |
Total | | | | | | | 24,007 | |
16 | See Notes to Financial Statements. |
Schedule of Investments (continued)
CALIBRATED MID CAP VALUE FUND July 31, 2015
| | | | | Fair | |
| | | | | Value | |
Investments | | Shares | | | (000) | |
Food Products 3.23% | | | | | | | | |
Bunge Ltd. | | | 207,000 | | | $ | 16,529 | |
ConAgra Foods, Inc. | | | 88,100 | | | | 3,882 | |
Ingredion, Inc. | | | 163,000 | | | | 14,376 | |
Total | | | | | | | 34,787 | |
| | | | | | | | |
Health Care Providers & Services 3.45% | | | | | | | | |
Cardinal Health, Inc. | | | 60,500 | | | | 5,141 | |
Cigna Corp. | | | 48,300 | | | | 6,958 | |
Community Health Systems, Inc.* | | | 91,700 | | | | 5,365 | |
Laboratory Corp. of America Holdings* | | | 66,500 | | | | 8,465 | |
Quest Diagnostics, Inc. | | | 151,900 | | | | 11,212 | |
Total | | | | | | | 37,141 | |
| | | | | | | | |
Hotels, Restaurants & Leisure 2.13% | | | | | | | | |
Norwegian Cruise Line Holdings Ltd.* | | | 243,000 | | | | 15,168 | |
Royal Caribbean Cruises Ltd. | | | 85,700 | | | | 7,700 | |
Total | | | | | | | 22,868 | |
| | | | | | | | |
Household Durables 2.75% | | | | | | | | |
Lennar Corp. | | | 55,300 | | | | 2,933 | |
Tupperware Brands Corp. | | | 33,500 | | | | 1,959 | |
Whirlpool Corp. | | | 138,900 | | | | 24,687 | |
Total | | | | | | | 29,579 | |
| | | | | | | | |
Independent Power and Renewable Electricity Producer 1.42% | |
AES Corp. (The) | | | 1,196,100 | | | | 15,310 | |
| | | | | | | | |
Information Technology Services 1.35% | | | | | | | | |
Total System Services, Inc. | | | 106,500 | | | | 4,922 | |
Xerox Corp. | | | 874,100 | | | | 9,633 | |
Total | | | | | | | 14,555 | |
| | | | | | | | |
Insurance 9.14% | | | | | | | | |
Arthur J Gallagher & Co. | | | 72,300 | | | | 3,429 | |
Endurance Specialty Holdings Ltd. | | | 37,000 | | | | 2,571 | |
Everest Re Group Ltd. | | | 106,800 | | | | 19,557 | |
| | | | | Fair | |
| | | | | Value | |
Investments | | Shares | | | (000) | |
Hanover Insurance Group, Inc. (The) | | | 61,900 | | | $ | 5,005 | |
Hartford Financial Services Group, Inc. (The) | | | 452,408 | | | | 21,512 | |
Lincoln National Corp. | | | 177,500 | | | | 9,997 | |
Reinsurance Group of America, Inc. | | | 65,198 | | | | 6,293 | |
Validus Holdings Ltd. | | | 97,800 | | | | 4,533 | |
XL Group plc (Ireland)(a) | | | 671,100 | | | | 25,515 | |
Total | | | | | | | 98,412 | |
| | | | | | | | |
Machinery 3.96% | | | | | | | | |
PACCAR, Inc. | | | 112,600 | | | | 7,301 | |
Parker-Hannifin Corp. | | | 19,000 | | | | 2,142 | |
SPX Corp. | | | 52,900 | | | | 3,460 | |
Stanley Black & Decker, Inc. | | | 89,200 | | | | 9,410 | |
Timken Co. (The) | | | 382,200 | | | | 12,758 | |
Trinity Industries, Inc. | | | 256,100 | | | | 7,493 | |
Total | | | | | | | 42,564 | |
| | | | | | | | |
Media 0.39% | | | | | | | | |
Starz Class A* | | | 102,400 | | | | 4,142 | |
| | | | | | | | |
Metals & Mining 1.32% | | | | | | | | |
Steel Dynamics, Inc. | | | 710,000 | | | | 14,221 | |
| | | | | | | | |
Multi-Line Retail 2.31% | | | | | | | | |
Kohl’s Corp. | | | 303,400 | | | | 18,605 | |
Macy’s, Inc. | | | 91,100 | | | | 6,291 | |
Total | | | | | | | 24,896 | |
| | | | | | | | |
Multi-Utilities 3.95% | | | | | | | | |
Consolidated Edison, Inc. | | | 129,300 | | | | 8,222 | |
Public Service Enterprise Group, Inc. | | | 175,000 | | | | 7,292 | |
SCANA Corp. | | | 392,746 | | | | 21,523 | |
Sempra Energy | | | 54,200 | | | | 5,516 | |
Total | | | | | | | 42,553 | |
| | | | | | | | |
Oil, Gas & Consumable Fuels 6.78% | | | | | | | | |
Cheniere Energy, Inc.* | | | 104,000 | | | | 7,173 | |
Cimarex Energy Co. | | | 40,100 | | | | 4,175 | |
Denbury Resources, Inc. | | | 313,100 | | | | 1,234 | |
| See Notes to Financial Statements. | 17 |
Schedule of Investments (continued)
CALIBRATED MID CAP VALUE FUND July 31, 2015
| | | | | Fair | |
| | | | | Value | |
Investments | | Shares | | | (000) | |
Oil, Gas & Consumable Fuels (continued) | | | | | | | | |
EQT Corp. | | | 106,200 | | | $ | 8,162 | |
Hess Corp. | | | 176,500 | | | | 10,415 | |
Marathon Oil Corp. | | | 428,900 | | | | 9,011 | |
Murphy Oil Corp. | | | 137,300 | | | | 4,502 | |
PBF Energy, Inc. Class A | | | 314,200 | | | | 9,919 | |
Pioneer Natural Resources Co. | | | 86,000 | | | | 10,902 | |
Tesoro Corp. | | | 51,300 | | | | 4,994 | |
Ultra Petroleum Corp.* | | | 312,200 | | | | 2,429 | |
Total | | | | | | | 72,916 | |
| | | | | | | | |
Paper & Forest Products 1.52% | | | | | | | | |
International Paper Co. | | | 341,500 | | | | 16,348 | |
| | | | | | | | |
Pharmaceuticals 2.31% | | | | | | | | |
Mallinckrodt plc* | | | 182,900 | | | | 22,672 | |
Mylan NV* | | | 38,200 | | | | 2,139 | |
Total | | | | | | | 24,811 | |
| | | | | | | | |
Professional Services 1.98% | | | | | | | | |
Nielsen NV | | | 440,000 | | | | 21,322 | |
| | | | | | | | |
Real Estate Investment Trusts 13.45% | | | | | | | | |
Alexandria Real Estate Equities, Inc. | | | 135,500 | | | | 12,562 | |
Annaly Capital Management, Inc. | | | 599,500 | | | | 5,965 | |
AvalonBay Communities, Inc. | | | 45,350 | | | | 7,815 | |
Boston Properties, Inc. | | | 17,000 | | | | 2,096 | |
Camden Property Trust | | | 158,500 | | | | 12,621 | |
DDR Corp. | | | 307,000 | | | | 5,004 | |
Duke Realty Corp. | | | 343,500 | | | | 6,928 | |
Essex Property Trust, Inc. | | | 27,300 | | | | 6,140 | |
General Growth Properties, Inc. | | | 596,600 | | | | 16,192 | |
HCP, Inc. | | | 184,100 | | | | 7,114 | |
Health Care REIT, Inc. | | | 113,100 | | | | 7,846 | |
Healthcare Trust of America, Inc. Class A | | | 194,100 | | | | 4,878 | |
Host Hotels & Resorts, Inc. | | | 339,900 | | | | 6,587 | |
Kimco Realty Corp. | | | 269,600 | | | | 6,662 | |
| | | | | Fair | |
| | | | | Value | |
Investments | | Shares | | | (000) | |
Liberty Property Trust | | | 143,600 | | | $ | 4,887 | |
Prologis, Inc. | | | 174,900 | | | | 7,103 | |
Retail Properties of America, Inc. Class A | | | 177,800 | | | | 2,589 | |
SL Green Realty Corp. | | | 29,400 | | | | 3,385 | |
Starwood Property Trust, Inc. | | | 300,900 | | | | 6,547 | |
Vornado Realty Trust | | | 83,800 | | | | 8,175 | |
Weyerhaeuser Co. | | | 121,000 | | | | 3,713 | |
Total | | | | | | | 144,809 | |
| | | | | | | | |
Real Estate Management & Development 0.20% | |
Realogy Holdings Corp.* | | | 47,300 | | | | 2,153 | |
| | | | | | | | |
Semiconductors & Semiconductor Equipment 2.70% | |
Cypress Semiconductor Corp.* | | | 453,900 | | | | 5,211 | |
KLA-Tencor Corp. | | | 151,200 | | | | 8,021 | |
ON Semiconductor Corp.* | | | 1,494,400 | | | | 15,871 | |
Total | | | | | | | 29,103 | |
| | | | | | | | |
Software 1.22% | | | | | | | | |
CA, Inc. | | | 211,600 | | | | 6,165 | |
Rovi Corp.* | | | 232,200 | | | | 2,552 | |
Symantec Corp. | | | 191,900 | | | | 4,364 | |
Total | | | | | | | 13,081 | |
| | | | | | | | |
Specialty Retail 1.02% | | | | | | | | |
GameStop Corp. Class A | | | 238,700 | | | | 10,944 | |
| | | | | | | | |
Technology Hardware, Storage & Peripheral 0.52% | |
NCR Corp.* | | | 204,700 | | | | 5,637 | |
| | | | | | | | |
Trading Companies & Distributors 0.93% | | | | | | | | |
Air Lease Corp. | | | 284,600 | | | | 10,061 | |
Total Common Stocks (cost $1,067,672,728) | | | | | | | 1,069,912 | |
18 | See Notes to Financial Statements. |
Schedule of Investments (concluded)
CALIBRATED MID CAP VALUE FUND July 31, 2015
| | Principal | | | Fair | |
| | Amount | | | Value | |
Investments | | (000) | | | (000) | |
SHORT-TERM INVESTMENT 0.61% | | | | | | | | |
| | | | | | | | |
Repurchase Agreement | | | | | | | | |
Repurchase Agreement dated 7/31/2015, Zero Coupon due 8/3/2015 with Fixed Income Clearing Corp. collateralized by $6,795,000 of U.S. Treasury Note at 1.50% due 5/31/2020 value: $6,769,519; proceeds: $6,633,944 (cost $6,633,944) | | $ | 6,634 | | | $ | 6,634 | |
Total Investments in Securities 100.02% (cost $1,074,306,672) | | | | | | | 1,076,546 | |
Liabilities in Excess of Other Assets(b) (0.02)% | | | | | | | (255 | ) |
Net Assets 100.00% | | | | | | $ | 1,076,291 | |
* | Non-income producing security. |
(a) | Foreign security traded in U.S. dollars. |
(b) | Liabilities in Excess of Other Assets include net unrealized appreciation on futures contracts as follows: |
Open Futures Contracts at July 31, 2015:
| | | | | | | | | | | | Unrealized | |
Type | | Expiration | | Contracts | | | Position | | Fair Value | | | Appreciation | |
E-Mini S&P 500 Index | | September 2015 | | | 49 | | | Long | | $ | 5,141,080 | | | | $ 16,916 | |
| | | | | | | | | | | | | | | | |
The following is a summary of the inputs used as of July 31, 2015 in valuing the Fund’s investments carried at fair value(1):
| | Level 1 | | | Level 2 | | | Level 3 | | | Total |
Investment Type(2)(3) | | (000) | | | (000) | | | (000) | | | (000) |
Common Stocks | | $ | 1,069,912 | | | $ | – | | | $ | – | | | $ | 1,069,912 |
Repurchase Agreement | | | – | | | | 6,634 | | | | – | | | | 6,634 |
Total | | $ | 1,069,912 | | | $ | 6,634 | | | $ | – | | | $ | 1,076,546 |
| | | | | | | | | | | | | | | |
Other Financial Instruments | | | | | | | | | | | | | | | |
Futures Contracts | | | | | | | | | | | | | | | |
Assets | | $ | 17 | | | $ | – | | | $ | – | | | $ | 17 |
Liabilities | | | – | | | | – | | | | – | | | | – |
Total | | $ | 17 | | | $ | – | | | $ | – | | | $ | 17 |
(1) | Refer to Note 2(h) for a description of fair value measurements and the three-tier hierarchy of inputs. |
(2) | See Schedule of Investments for fair values in each industry and identification of foreign issuers and/or geography. |
(3) | There were no level transfers during the fiscal year ended July 31, 2015. |
| See Notes to Financial Statements. | 19 |
Statements of Assets and Liabilities
July 31, 2015
| | Calibrated Large | | | Calibrated Mid | |
| | Cap Value Fund | | | Cap Value Fund | |
ASSETS: | | | | | | | | |
Investments in securities, at cost | | $ | 494,794,216 | | | $ | 1,074,306,672 | |
Investments in securities, at fair value | | $ | 503,541,814 | | | $ | 1,076,546,105 | |
Cash | | | 132 | | | | – | |
Deposits with brokers for futures collateral | | | 96,600 | | | | 220,800 | |
Receivables: | | | | | | | | |
Capital shares sold | | | 278,465 | | | | 3,811,958 | |
Dividends | | | 720,060 | | | | 277,478 | |
From advisor (See Note 3) | | | 151,537 | | | | 240,418 | |
Prepaid expenses and other assets | | | 63,950 | | | | 92,494 | |
Total assets | | | 504,852,558 | | | | 1,081,189,253 | |
LIABILITIES: | | | | | | | | |
Payables: | | | | | | | | |
Investment securities purchased | | | 447,676 | | | | 3,572,457 | |
Capital shares reacquired | | | 221,964 | | | | 381,998 | |
12b-1 distribution plan | | | 38,205 | | | | 100,822 | |
Management fee | | | 255,737 | | | | 538,749 | |
Trustees’ fees | | | 29,700 | | | | 38,378 | |
Fund administration | | | 17,049 | | | | 35,917 | |
To affiliate (See Note 3) | | | 81,320 | | | | 149,664 | |
Variation margin | | | 5,350 | | | | 11,227 | |
Accrued expenses | | | 71,607 | | | | 69,128 | |
Total liabilities | | | 1,168,608 | | | | 4,898,340 | |
NET ASSETS | | $ | 503,683,950 | | | $ | 1,076,290,913 | |
COMPOSITION OF NET ASSETS: | | | | | | | | |
Paid-in capital | | $ | 462,652,809 | | | $ | 1,005,769,395 | |
Undistributed net investment income | | | 4,677,980 | | | | 6,284,831 | |
Accumulated net realized gain on investments and futures contracts | | | 27,604,722 | | | | 61,980,338 | |
Net unrealized appreciation on investments and futures contracts | | | 8,748,439 | | | | 2,256,349 | |
Net Assets | | $ | 503,683,950 | | | $ | 1,076,290,913 | |
20 | See Notes to Financial Statements. |
Statements of Assets and Liabilities (concluded)
July 31, 2015
| | Calibrated Large | | | Calibrated Mid | |
| | Cap Value Fund | | | Cap Value Fund | |
| | | | | | |
Net assets by class: | | | | | | | | |
Class A Shares | | $ | 75,083,493 | | | $ | 132,998,160 | |
Class C Shares | | $ | 18,361,444 | | | $ | 48,851,289 | |
Class F Shares | | $ | 26,401,223 | | | $ | 194,111,045 | |
Class I Shares | | $ | 383,100,657 | | | $ | 699,681,164 | |
Class R2 Shares | | $ | 370,687 | | | $ | 234,192 | |
Class R3 Shares | | $ | 336,330 | | | $ | 384,924 | |
Class R4 Shares | | $ | 10,037 | | | $ | 10,045 | |
Class R5 Shares | | $ | 10,039 | | | $ | 10,047 | |
Class R6 Shares | | $ | 10,040 | | | $ | 10,047 | |
Outstanding shares by class (unlimited number of authorized shares of beneficial interest): | | | | | | | | |
Class A Shares | | | 3,595,560 | | | | 6,128,846 | |
Class C Shares | | | 894,256 | | | | 2,290,265 | |
Class F Shares | | | 1,263,185 | | | | 8,937,684 | |
Class I Shares | | | 18,297,668 | | | | 32,134,358 | |
Class R2 Shares | | | 17,674 | | | | 10,746 | |
Class R3 Shares | | | 16,194 | | | | 17,673 | |
Class R4 Shares | | | 480.77 | | | | 463 | |
Class R5 Shares | | | 479.62 | | | | 461.47 | |
Class R6 Shares | | | 479.62 | | | | 461.47 | |
Net asset value, offering and redemption price per share (Net assets divided by outstanding shares): | | | | | | | | |
Class A Shares-Net asset value | | | $20.88 | | | | $21.70 | |
Class A Shares-Maximum offering price (Net asset value plus sales charge of 5.75%) | | | $22.15 | | | | $23.02 | |
Class C Shares-Net asset value | | | $20.53 | | | | $21.33 | |
Class F Shares-Net asset value | | | $20.90 | | | | $21.72 | |
Class I Shares-Net asset value | | | $20.94 | | | | $21.77 | |
Class R2 Shares-Net asset value | | | $20.97 | | | | $21.79 | |
Class R3 Shares-Net asset value | | | $20.77 | | | | $21.78 | |
Class R4 Shares-Net asset value | | | $20.88 | | | | $21.70 | |
Class R5 Shares-Net asset value | | | $20.93 | | | | $21.77 | |
Class R6 Shares-Net asset value | | | $20.93 | | | | $21.77 | |
| See Notes to Financial Statements. | 21 |
Statements of Operations
For the Year Ended July 31, 2015
| | Calibrated Large | | | Calibrated Mid | |
| | Cap Value Fund | | | Cap Value Fund | |
Investment income: | | | | | | | | |
Dividends (net of foreign withholding taxes of $15,598 and $45,076, respectively) | | $ | 10,954,382 | | | $ | 16,425,933 | |
Interest and other | | | 20 | | | | – | |
Total investment income | | | 10,954,402 | | | | 16,425,933 | |
Expenses: | | | | | | | | |
Management fee | | | 2,858,288 | | | | 4,784,525 | |
12b-1 distribution plan-Class A | | | 189,004 | | | | 168,046 | |
12b-1 distribution plan-Class C | | | 143,721 | | | | 183,039 | |
12b-1 distribution plan-Class F | | | 21,835 | | | | 66,768 | |
12b-1 distribution plan-Class R2 | | | 1,654 | | | | 458 | |
12b-1 distribution plan-Class R3 | | | 1,258 | | | | 791 | |
12b-1 distribution plan-Class R4 | | | 2 | | | | 2 | |
Shareholder servicing | | | 151,026 | | | | 204,792 | |
Fund administration | | | 190,552 | | | | 318,968 | |
Subsidy (See Note 3) | | | 498,857 | | | | 911,848 | |
Reports to shareholders | | | 22,032 | | | | 36,779 | |
Registration | | | 71,829 | | | | 80,164 | |
Trustees’ fees | | | 18,813 | | | | 30,080 | |
Custody | | | 57,897 | | | | 98,790 | |
Professional | | | 57,010 | | | | 61,963 | |
Other | | | 27,965 | | | | 30,179 | |
Gross expenses | | | 4,311,743 | | | | 6,977,192 | |
Expense reductions (See Note 9) | | | (124 | ) | | | (157 | ) |
Management fee waived (See Note 3) | | | (1,572,239 | ) | | | (1,773,407 | ) |
Net expenses | | | 2,739,380 | | | | 5,203,628 | |
Net investment income | | | 8,215,022 | | | | 11,222,305 | |
Net realized and unrealized gain (loss): | | | | | | | | |
Net realized gain on investments | | | 36,136,543 | | | | 77,235,702 | |
Net realized gain on futures contracts | | | 117,005 | | | | 277,321 | |
Net change in unrealized appreciation/depreciation on investments | | | (14,273,972 | ) | | | (25,877,298 | ) |
Net change in unrealized appreciation/depreciation on futures contracts | | | 14,688 | | | | 34,574 | |
Net realized and unrealized gain | | | 21,994,264 | | | | 51,670,299 | |
Net Increase in Net Assets Resulting From Operations | | $ | 30,209,286 | | | $ | 62,892,604 | |
22 | See Notes to Financial Statements. |
Statements of Changes in Net Assets
| | Calibrated Large Cap Value Fund | |
| | For the Year Ended | | | For the Year Ended | |
INCREASE IN NET ASSETS | | July 31, 2015 | | | July 31, 2014 | |
Operations: | | | | | | | | |
Net investment income | | $ | 8,215,022 | | | $ | 7,795,574 | |
Net realized gain on investments and futures contracts | | | 36,253,548 | | | | 52,694,291 | |
Net change in unrealized appreciation/depreciation on investments and futures contracts | | | (14,259,284 | ) | | | (10,085,670 | ) |
Net increase in net assets resulting from operations | | | 30,209,286 | | | | 50,404,195 | |
Distributions to shareholders from: | | | | | | | | |
Net investment income | | | | | | | | |
Class A | | | (1,204,218 | ) | | | (1,045,611 | ) |
Class C | | | (102,230 | ) | | | (76,854 | ) |
Class F | | | (304,560 | ) | | | (194,362 | ) |
Class I | | | (6,351,681 | ) | | | (4,691,550 | ) |
Class R2 | | | (2,399 | ) | | | (2,270 | ) |
Class R3 | | | (2,316 | ) | | | (1,329 | ) |
Net realized gain | | | | | | | | |
Class A | | | (8,726,127 | ) | | | (5,297,306 | ) |
Class C | | | (1,271,990 | ) | | | (567,582 | ) |
Class F | | | (1,982,750 | ) | | | (894,441 | ) |
Class I | | | (39,332,925 | ) | | | (20,521,883 | ) |
Class R2 | | | (22,392 | ) | | | (13,679 | ) |
Class R3 | | | (18,667 | ) | | | (7,550 | ) |
Total distributions to shareholders | | | (59,322,255 | ) | | | (33,314,417 | ) |
Capital share transactions (See Note 13): | | | | | | | | |
Net proceeds from sales of shares | | | 102,023,014 | | | | 54,278,817 | |
Reinvestment of distributions | | | 54,453,620 | | | | 30,660,755 | |
Cost of shares reacquired | | | (76,282,834 | ) | | | (44,156,441 | ) |
Net increase in net assets resulting from capital share transactions | | | 80,193,800 | | | | 40,783,131 | |
Net increase in net assets | | | 51,080,831 | | | | 57,872,909 | |
NET ASSETS: | | | | | | | | |
Beginning of year | | $ | 452,603,119 | | | $ | 394,730,210 | |
End of year | | $ | 503,683,950 | | | $ | 452,603,119 | |
Undistributed net investment income | | $ | 4,677,980 | | | $ | 4,437,656 | |
| See Notes to Financial Statements. | 23 |
Statements of Changes in Net Assets (concluded)
| | Calibrated Mid Cap Value Fund | |
| | For the Year Ended | | | For the Year Ended | |
INCREASE IN NET ASSETS | | July 31, 2015 | | | July 31, 2014 | |
Operations: | | | | | | | | |
Net investment income | | $ | 11,222,305 | | | $ | 7,268,966 | |
Net realized gain on investments and futures contracts | | | 77,513,023 | | | | 62,191,475 | |
Net change in unrealized appreciation/depreciation on investments and futures contracts | | | (25,842,724 | ) | | | (4,406,302 | ) |
Net increase in net assets resulting from operations | | | 62,892,604 | | | | 65,054,139 | |
Distributions to shareholders from: | | | | | | | | |
Net investment income | | | | | | | | |
Class A | | | (343,526 | ) | | | (293,397 | ) |
Class C | | | (22,152 | ) | | | (24,892 | ) |
Class F | | | (85,392 | ) | | | (82,472 | ) |
Class I | | | (8,637,527 | ) | | | (4,558,009 | ) |
Class R2 | | | (375 | ) | | | (121 | ) |
Class R3 | | | (841 | ) | | | (155 | ) |
Net realized gain | | | | | | | | |
Class A | | | (2,934,370 | ) | | | (2,474,174 | ) |
Class C | | | (457,201 | ) | | | (317,466 | ) |
Class F | | | (645,519 | ) | | | (626,065 | ) |
Class I | | | (60,424,949 | ) | | | (32,739,473 | ) |
Class R2 | | | (3,861 | ) | | | (1,518 | ) |
Class R3 | | | (7,872 | ) | | | (1,714 | ) |
Total distributions to shareholders | | | (73,563,585 | ) | | | (41,119,456 | ) |
Capital share transactions (See Note 13): | | | | | | | | |
Net proceeds from sales of shares | | | 476,119,680 | | | | 216,544,820 | |
Reinvestment of distributions | | | 72,567,576 | | | | 40,540,557 | |
Cost of shares reacquired | | | (80,310,064 | ) | | | (21,953,455 | ) |
Net increase in net assets resulting from capital share transactions | | | 468,377,192 | | | | 235,131,922 | |
Net increase in net assets | | | 457,706,211 | | | | 259,066,605 | |
NET ASSETS: | | | | | | | | |
Beginning of year | | $ | 618,584,702 | | | $ | 359,518,097 | |
End of year | | $ | 1,076,290,913 | | | $ | 618,584,702 | |
Undistributed net investment income | | $ | 6,284,831 | | | $ | 4,171,295 | |
24 | See Notes to Financial Statements. |
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25
Financial Highlights
CALIBRATED LARGE CAP VALUE FUND
| | | | Per Share Operating Performance: |
|
| | | | | | | | | | Distributions to |
| | | | Investment operations: | | shareholders from: |
| | | | | | Net | | | | | | | | |
| | Net asset | | | | realized | | Total | | | | | | |
| | value, | | Net | | and | | from | | Net | | Net | | |
| | beginning | | investment | | unrealized | | investment | | investment | | realized | | Total |
| | of period | | income(a) | | gain | | operations | | income | | gain | | distributions |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
7/31/2015 | | | $22.30 | | | | $0.33 | | | | $1.15 | | | | $1.48 | | | | $(0.35 | ) | | | $(2.55 | ) | | | $(2.90 | ) |
7/31/2014 | | | 21.52 | | | | 0.36 | | | | 2.19 | | | | 2.55 | | | | (0.29 | ) | | | (1.48 | ) | | | (1.77 | ) |
7/31/2013 | | | 17.18 | | | | 0.35 | | | | 4.59 | | | | 4.94 | | | | (0.20 | ) | | | (0.40 | ) | | | (0.60 | ) |
12/21/2011 to 7/31/2012(c) | | | 15.00 | | | | 0.19 | | | | 1.99 | | | | 2.18 | | | | – | | | | – | | | | 0.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
7/31/2015 | | | 21.98 | | | | 0.17 | | | | 1.14 | | | | 1.31 | | | | (0.21 | ) | | | (2.55 | ) | | | (2.76 | ) |
7/31/2014 | | | 21.30 | | | | 0.19 | | | | 2.17 | | | | 2.36 | | | | (0.20 | ) | | | (1.48 | ) | | | (1.68 | ) |
7/31/2013 | | | 17.10 | | | | 0.18 | | | | 4.59 | | | | 4.77 | | | | (0.17 | ) | | | (0.40 | ) | | | (0.57 | ) |
12/21/2011 to 7/31/2012(c) | | | 15.00 | | | | 0.15 | | | | 1.95 | | | | 2.10 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class F | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
7/31/2015 | | | 22.32 | | | | 0.36 | | | | 1.16 | | | | 1.52 | | | | (0.39 | ) | | | (2.55 | ) | | | (2.94 | ) |
7/31/2014 | | | 21.54 | | | | 0.39 | | | | 2.19 | | | | 2.58 | | | | (0.32 | ) | | | (1.48 | ) | | | (1.80 | ) |
7/31/2013 | | | 17.19 | | | | 0.38 | | | | 4.59 | | | | 4.97 | | | | (0.22 | ) | | | (0.40 | ) | | | (0.62 | ) |
12/21/2011 to 7/31/2012(c) | | | 15.00 | | | | 0.20 | | | | 1.99 | | | | 2.19 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
7/31/2015 | | | 22.36 | | | | 0.39 | | | | 1.15 | | | | 1.54 | | | | (0.41 | ) | | | (2.55 | ) | | | (2.96 | ) |
7/31/2014 | | | 21.56 | | | | 0.41 | | | | 2.21 | | | | 2.62 | | | | (0.34 | ) | | | (1.48 | ) | | | (1.82 | ) |
7/31/2013 | | | 17.20 | | | | 0.39 | | | | 4.60 | | | | 4.99 | | | | (0.23 | ) | | | (0.40 | ) | | | (0.63 | ) |
12/21/2011 to 7/31/2012(c) | | | 15.00 | | | | 0.19 | | | | 2.01 | | | | 2.20 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
7/31/2015 | | | 22.38 | | | | 0.26 | | | | 1.15 | | | | 1.41 | | | | (0.27 | ) | | | (2.55 | ) | | | (2.82 | ) |
7/31/2014 | | | 21.61 | | | | 0.31 | | | | 2.19 | | | | 2.50 | | | | (0.25 | ) | | | (1.48 | ) | | | (1.73 | ) |
7/31/2013 | | | 17.14 | | | | 0.41 | | | | 4.59 | | | | 5.00 | | | | (0.13 | ) | | | (0.40 | ) | | | (0.53 | ) |
12/21/2011 to 7/31/2012(c) | | | 15.00 | | | | 0.16 | | | | 1.98 | | | | 2.14 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class R3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
7/31/2015 | | | 22.21 | | | | 0.28 | | | | 1.15 | | | | 1.43 | | | | (0.32 | ) | | | (2.55 | ) | | | (2.87 | ) |
7/31/2014 | | | 21.46 | | | | 0.30 | | | | 2.19 | | | | 2.49 | | | | (0.26 | ) | | | (1.48 | ) | | | (1.74 | ) |
7/31/2013 | | | 17.15 | | | | 0.33 | | | | 4.58 | | | | 4.91 | | | | (0.20 | ) | | | (0.40 | ) | | | (0.60 | ) |
12/21/2011 to 7/31/2012(c) | | | 15.00 | | | | 0.17 | | | | 1.98 | | | | 2.15 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class R4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2015 to 7/31/2015(f) | | | 20.80 | | | | 0.02 | | | | 0.06 | | | | 0.08 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2015 to 7/31/2015(f) | | | 20.85 | | | | 0.03 | | | | 0.05 | | | | 0.08 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2015 to 7/31/2015(f) | | | 20.85 | | | | 0.03 | | | | 0.05 | | | | 0.08 | | | | – | | | | – | | | | – | |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for classes A and C does not consider the effects of sales loads and assumes the reinvestments of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Commencement of operations was 12/21/2011, SEC effective date was 12/15/2011 and date shares first became available to the public was 1/3/2012. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Commencement of operations was at the close of business on June 30, 2015. |
26 | See Notes to Financial Statements. |
| | | | Ratios to average net assets: | | | | Supplemental Data: |
| | | | Expenses, | | | | | | | | | | |
| | | | excluding | | Expenses, | | Expenses, | | | | | | |
| | | | expense | | including | | excluding | | | | | | |
| | | | reductions | | expense | | expense | | | | | | |
| | | | and including | | reductions, | | reductions, | | | | | | |
Net | | | | management | | management | | management | | | | Net | | |
asset | | | | fee waived | | fee waived | | fee waived | | Net | | assets | | Portfolio |
value, | | Total | | and expenses | | and expenses | | and expenses | | investment | | end of | | turnover |
end of | | return | | reimbursed | | reimbursed | | reimbursed | | income | | period | | rate |
period | | (%)(b) | | (%) | | (%) | | (%) | | (%) | | (000) | | (%) |
| | | | | | | | | | | | | | |
$ | 20.88 | | | | 6.71 | | | | 0.75 | | | | 0.75 | | | | 1.08 | | | | 1.54 | | | $ | 75,083 | | | | 80.48 | |
| 22.30 | | | | 12.38 | | | | 0.75 | | | | 0.75 | | | | 1.08 | | | | 1.66 | | | | 81,218 | | | | 103.92 | |
| 21.52 | | | | 29.60 | | | | 0.75 | | | | 0.75 | | | | 1.12 | | | | 1.83 | | | | 74,466 | | | | 90.00 | |
| 17.18 | | | | 14.53 | (d) | | | 0.73 | (e) | | | 0.73 | (e) | | | 1.41 | (e) | | | 1.89 | (e) | | | 35,932 | | | | 62.31 | |
|
| 20.53 | | | | 5.93 | | | | 1.49 | | | | 1.49 | | | | 1.82 | | | | 0.82 | | | | 18,361 | | | | 80.48 | |
| 21.98 | | | | 11.54 | | | | 1.49 | | | | 1.49 | | | | 1.82 | | | | 0.91 | | | | 10,456 | | | | 103.92 | |
| 21.30 | | | | 28.71 | | | | 1.48 | | | | 1.48 | | | | 1.85 | | | | 0.91 | | | | 7,057 | | | | 90.00 | |
| 17.10 | | | | 14.00 | (d) | | | 1.47 | (e) | | | 1.47 | (e) | | | 2.15 | (e) | | | 1.44 | (e) | | | 61 | | | | 62.31 | |
|
| 20.90 | | | | 6.90 | | | | 0.60 | | | | 0.60 | | | | 0.93 | | | | 1.70 | | | | 26,401 | | | | 80.48 | |
| 22.32 | | | | 12.53 | | | | 0.60 | | | | 0.60 | | | | 0.93 | | | | 1.81 | | | | 17,316 | | | | 103.92 | |
| 21.54 | | | | 29.82 | | | | 0.60 | | | | 0.60 | | | | 0.97 | | | | 1.94 | | | | 13,153 | | | | 90.00 | |
| 17.19 | | | | 14.60 | (d) | | | 0.58 | (e) | | | 0.58 | (e) | | | 1.33 | (e) | | | 2.03 | (e) | | | 35 | | | | 62.31 | |
|
| 20.94 | | | | 6.99 | | | | 0.50 | | | | 0.50 | | | | 0.83 | | | | 1.80 | | | | 383,101 | | | | 80.48 | |
| 22.36 | | | | 12.70 | | | | 0.50 | | | | 0.50 | | | | 0.83 | | | | 1.91 | | | | 343,275 | | | | 103.92 | |
| 21.56 | | | | 29.91 | | | | 0.50 | | | | 0.50 | | | | 0.87 | | | | 2.01 | | | | 299,673 | | | | 90.00 | |
| 17.20 | | | | 14.67 | (d) | | | 0.49 | (e) | | | 0.49 | (e) | | | 0.94 | (e) | | | 1.89 | (e) | | | 34,155 | | | | 62.31 | |
|
| 20.97 | | | | 6.35 | | | | 1.10 | | | | 1.10 | | | | 1.43 | | | | 1.21 | | | | 371 | | | | 80.48 | |
| 22.38 | | | | 12.04 | | | | 1.01 | | | | 1.01 | | | | 1.44 | | | | 1.43 | | | | 198 | | | | 103.92 | |
| 21.61 | | | | 29.97 | | | | 0.49 | | | | 0.49 | | | | 1.37 | | | | 2.01 | | | | 303 | | | | 90.00 | |
| 17.14 | | | | 14.27 | (d) | | | 1.06 | (e) | | | 1.06 | (e) | | | 1.81 | (e) | | | 1.55 | (e) | | | 11 | | | | 62.31 | |
|
| 20.77 | | | | 6.47 | | | | 1.00 | | | | 1.00 | | | | 1.33 | | | | 1.31 | | | | 336 | | | | 80.48 | |
| 22.21 | | | | 12.11 | | | | 1.00 | | | | 1.00 | | | | 1.33 | | | | 1.38 | | | | 141 | | | | 103.92 | |
| 21.46 | | | | 29.51 | | | | 0.95 | | | | 0.95 | | | | 1.35 | | | | 1.70 | | | | 79 | | | | 90.00 | |
| 17.15 | | | | 14.33 | (d) | | | 0.96 | (e) | | | 0.96 | (e) | | | 1.71 | (e) | | | 1.65 | (e) | | | 11 | | | | 62.31 | |
|
| 20.88 | | | | 0.38 | (d) | | | 0.75 | (e) | | | 0.75 | (e) | | | 1.06 | (e) | | | 1.41 | (e) | | | 10 | | | | 80.48 | |
|
| 20.93 | | | | 0.38 | (d) | | | 0.50 | (e) | | | 0.50 | (e) | | | 0.82 | (e) | | | 1.64 | (e) | | | 10 | | | | 80.48 | |
|
| 20.93 | | | | 0.38 | (d) | | | 0.47 | (e) | | | 0.47 | (e) | | | 0.70 | (e) | | | 1.64 | (e) | | | 10 | | | | 80.48 | |
| See Notes to Financial Statements. | 27 |
Financial Highlights (concluded)
CALIBRATED MID CAP VALUE FUND
| | | | Per Share Operating Performance: |
|
| | | | | | | | | | Distributions to |
| | | | Investment operations: | | shareholders from: |
| | | | | | Net | | | | | | | | |
| | Net asset | | Net | | realized | | Total | | | | | | |
| | value, | | investment | | and | | from | | Net | | Net | | |
| | beginning | | income | | unrealized | | investment | | investment | | realized | | Total |
| | of period | | (loss)(a) | | gain | | operations | | income | | gain | | distributions |
Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
7/31/2015 | | | $22.04 | | | | $0.24 | | | | $1.92 | | | | $2.16 | | | | $(0.26 | ) | | | $(2.24 | ) | | | $(2.50 | ) |
7/31/2014 | | | 21.11 | | | | 0.29 | | | | 2.78 | | | | 3.07 | | | | (0.23 | ) | | | (1.91 | ) | | | (2.14 | ) |
7/31/2013 | | | 16.47 | | | | 0.31 | | | | 4.93 | | | | 5.24 | | | | (0.22 | ) | | | (0.38 | ) | | | (0.60 | ) |
12/21/2011 to 7/31/2012(c) | | | 15.00 | | | | 0.15 | | | | 1.32 | | | | 1.47 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
7/31/2015 | | | 21.71 | | | | 0.07 | | | | 1.90 | | | | 1.97 | | | | (0.11 | ) | | | (2.24 | ) | | | (2.35 | ) |
7/31/2014 | | | 20.89 | | | | 0.13 | | | | 2.75 | | | | 2.88 | | | | (0.15 | ) | | | (1.91 | ) | | | (2.06 | ) |
7/31/2013 | | | 16.39 | | | | 0.08 | | | | 4.99 | | | | 5.07 | | | | (0.19 | ) | | | (0.38 | ) | | | (0.57 | ) |
12/21/2011 to 7/31/2012(c) | | | 15.00 | | | | 0.08 | | | | 1.31 | | | | 1.39 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class F | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
7/31/2015 | | | 22.06 | | | | 0.27 | | | | 1.93 | | | | 2.20 | | | | (0.30 | ) | | | (2.24 | ) | | | (2.54 | ) |
7/31/2014 | | | 21.11 | | | | 0.32 | | | | 2.79 | | | | 3.11 | | | | (0.25 | ) | | | (1.91 | ) | | | (2.16 | ) |
7/31/2013 | | | 16.48 | | | | 0.27 | | | | 4.99 | | | | 5.26 | | | | (0.25 | ) | | | (0.38 | ) | | | (0.63 | ) |
12/21/2011 to 7/31/2012(c) | | | 15.00 | | | | 0.16 | | | | 1.32 | | | | 1.48 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
7/31/2015 | | | 22.11 | | | | 0.33 | | | | 1.89 | | | | 2.22 | | | | (0.32 | ) | | | (2.24 | ) | | | (2.56 | ) |
7/31/2014 | | | 21.16 | | | | 0.34 | | | | 2.79 | | | | 3.13 | | | | (0.27 | ) | | | (1.91 | ) | | | (2.18 | ) |
7/31/2013 | | | 16.50 | | | | 0.35 | | | | 4.95 | | | | 5.30 | | | | (0.26 | ) | | | (0.38 | ) | | | (0.64 | ) |
12/21/2011 to 7/31/2012(c) | | | 15.00 | | | | 0.17 | | | | 1.33 | | | | 1.50 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class R2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
7/31/2015 | | | 22.16 | | | | 0.16 | | | | 1.93 | | | | 2.09 | | | | (0.22 | ) | | | (2.24 | ) | | | (2.46 | ) |
7/31/2014 | | | 21.19 | | | | 0.22 | | | | 2.81 | | | | 3.03 | | | | (0.15 | ) | | | (1.91 | ) | | | (2.06 | ) |
7/31/2013 | | | 16.43 | | | | 0.37 | | | | 4.93 | | | | 5.30 | | | | (0.16 | ) | | | (0.38 | ) | | | (0.54 | ) |
12/21/2011 to 7/31/2012(c) | | | 15.00 | | | | 0.11 | | | | 1.32 | | | | 1.43 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class R3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
7/31/2015 | | | 22.15 | | | | 0.20 | | | | 1.91 | | | | 2.11 | | | | (0.24 | ) | | | (2.24 | ) | | | (2.48 | ) |
7/31/2014 | | | 21.18 | | | | 0.23 | | | | 2.82 | | | | 3.05 | | | | (0.17 | ) | | | (1.91 | ) | | | (2.08 | ) |
7/31/2013 | | | 16.44 | | | | 0.37 | | | | 4.93 | | | | 5.30 | | | | (0.18 | ) | | | (0.38 | ) | | | (0.56 | ) |
12/21/2011 to 7/31/2012(c) | | | 15.00 | | | | 0.12 | | | | 1.32 | | | | 1.44 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class R4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2015 to 7/31/2015(f) | | | 21.60 | | | | (0.01 | ) | | | 0.11 | | | | 0.10 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class R5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2015 to 7/31/2015(f) | | | 21.67 | | | | – | | | | 0.10 | | | | 0.10 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6/30/2015 to 7/31/2015(f) | | | 21.67 | | | | – | | | | 0.10 | | | | 0.10 | | | | – | | | | – | | | | – | |
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return for classes A and C does not consider the effects of sales loads and assumes the reinvestments of all distributions. Total return for all other classes assumes the reinvestment of all distributions. |
(c) | Commencement of operations was 12/21/2011, SEC effective date was 12/15/2011 and date shares first became available to the public was 1/3/2012. |
(d) | Not annualized. |
(e) | Annualized. |
(f) | Commencement of operations was at the close of business on June 30, 2015. |
28 | See Notes to Financial Statements. |
| | | | Ratios to average net assets: | | | | Supplemental Data: |
| | | | Expenses, | | | | | | | | | | |
| | | | excluding | | Expenses, | | Expenses, | | | | | | |
| | | | expense | | including | | excluding | | | | | | |
| | | | reductions | | expense | | expense | | | | | | |
| | | | and including | | reductions, | | reductions, | | | | | | |
Net | | | | management | | management | | management | | Net | | Net | | |
asset | | | | fee waived | | fee waived | | fee waived | | investment | | assets | | Portfolio |
value, | | Total | | and expenses | | and expenses | | and expenses | | income | | end of | | turnover |
end of | | return(b) | | reimbursed | | reimbursed | | reimbursed | | (loss) | | period | | rate |
period | | (%) | | (%) | | (%) | | (%) | | (%) | | (000) | | (%) |
| | | | | | | | | | | | | | | | | | | | | | |
$ | 21.70 | | | | 10.15 | | | | 0.85 | | | | 0.85 | | | | 1.07 | | | | 1.12 | | | $ | 132,998 | | | | 78.28 | |
| 22.04 | | | | 15.42 | | | | 0.85 | | | | 0.85 | | | | 1.09 | | | | 1.38 | | | | 28,422 | | | | 97.89 | |
| 21.11 | | | | 32.83 | | | | 0.85 | | | | 0.85 | | | | 1.13 | | | | 1.66 | | | | 27,545 | | | | 90.30 | |
| 16.47 | | | | 9.80 | (d) | | | 0.83 | (e) | | | 0.83 | (e) | | | 1.63 | (e) | | | 1.51 | (e) | | | 13,726 | | | | 76.72 | |
|
| 21.33 | | | | 9.33 | | | | 1.60 | | | | 1.60 | | | | 1.81 | | | | 0.31 | | | | 48,851 | | | | 78.28 | |
| 21.71 | | | | 14.60 | | | | 1.60 | | | | 1.60 | | | | 1.84 | | | | 0.60 | | | | 4,354 | | | | 97.89 | |
| 20.89 | | | | 31.91 | | | | 1.58 | | | | 1.58 | | | | 1.86 | | | | 0.40 | | | | 2,204 | | | | 90.30 | |
| 16.39 | | | | 9.27 | (d) | | | 1.54 | (e) | | | 1.54 | (e) | | | 2.38 | (e) | | | 0.80 | (e) | | | 15 | | | | 76.72 | |
|
| 21.72 | | | | 10.31 | | | | 0.70 | | | | 0.70 | | | | 0.92 | | | | 1.22 | | | | 194,111 | | | | 78.28 | |
| 22.06 | | | | 15.66 | | | | 0.70 | | | | 0.70 | | | | 0.94 | | | | 1.50 | | | | 7,853 | | | | 97.89 | |
| 21.11 | | | | 33.01 | | | | 0.69 | | | | 0.69 | | | | 0.98 | | | | 1.35 | | | | 6,062 | | | | 90.30 | |
| 16.48 | | | | 9.87 | (d) | | | 0.68 | (e) | | | 0.68 | (e) | | | 1.51 | (e) | | | 1.59 | (e) | | | 56 | | | | 76.72 | |
|
| 21.77 | | | | 10.41 | | | | 0.60 | | | | 0.60 | | | | 0.82 | | | | 1.49 | | | | 699,681 | | | | 78.28 | |
| 22.11 | | | | 15.70 | | | | 0.60 | | | | 0.60 | | | | 0.84 | | | | 1.59 | | | | 577,851 | | | | 97.89 | |
| 21.16 | | | | 33.21 | | | | 0.60 | | | | 0.60 | | | | 0.88 | | | | 1.88 | | | | 323,673 | | | | 90.30 | |
| 16.50 | | | | 10.00 | (d) | | | 0.58 | (e) | | | 0.58 | (e) | | | 0.95 | (e) | | | 1.73 | (e) | | | 106,844 | | | | 76.72 | |
|
| 21.79 | | | | 9.72 | | | | 1.20 | | | | 1.20 | | | | 1.42 | | | | 0.72 | | | | 234 | | | | 78.28 | |
| 22.16 | | | | 15.14 | | | | 1.13 | | | | 1.13 | | | | 1.43 | | | | 1.03 | | | | 31 | | | | 97.89 | |
| 21.19 | | | | 33.23 | | | | 0.58 | | | | 0.58 | | | | 0.87 | | | | 1.98 | | | | 16 | | | | 90.30 | |
| 16.43 | | | | 9.53 | (d) | | | 1.15 | (e) | | | 1.15 | (e) | | | 2.01 | (e) | | | 1.15 | (e) | | | 11 | | | | 76.72 | |
|
| 21.78 | | | | 9.84 | | | | 1.10 | | | | 1.10 | | | | 1.32 | | | | 0.90 | | | | 385 | | | | 78.28 | |
| 22.15 | | | | 15.27 | | | | 1.05 | | | | 1.05 | | | | 1.32 | | | | 1.04 | | | | 72 | | | | 97.89 | |
| 21.18 | | | | 33.21 | | | | 0.59 | | | | 0.59 | | | | 1.05 | | | | 1.95 | | | | 18 | | | | 90.30 | |
| 16.44 | | | | 9.60 | (d) | | | 1.05 | (e) | | | 1.05 | (e) | | | 1.91 | (e) | | | 1.24 | (e) | | | 11 | | | | 76.72 | |
|
| 21.70 | | | | .46 | (d) | | | 0.85 | (e) | | | 0.85 | (e) | | | 1.06 | (e) | | | (.35 | )(e) | | | 10 | | | | 78.28 | |
|
| 21.77 | | | | .46 | (d) | | | 0.60 | (e) | | | 0.60 | (e) | | | .82 | (e) | | | – | | | | 10 | | | | 78.28 | |
|
| 21.77 | | | | .46 | (d) | | | 0.59 | (e) | | | 0.59 | (e) | | | .70 | (e) | | | – | | | | 10 | | | | 78.28 | |
| See Notes to Financial Statements. | 29 |
Notes to Financial Statements
Lord Abbett Equity Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company. The Trust was formed on May 1, 2001 and is organized as a Delaware statutory trust. The Trust consists of the following two funds (each, a “Fund” and collectively, the “Funds”) and their respective classes: Lord Abbett Calibrated Large Cap Value Fund (“Calibrated Large Cap Value Fund”) and Lord Abbett Calibrated Mid Cap Value Fund (“Calibrated Mid Cap Value Fund”).
The investment objective of each Fund is total return. Each Fund has nine classes of shares: Class A, C, F, I, R2, R3, R4, R5 and R6, each with different expenses and dividends. Classes R4, R5 and R6 shares commenced at the close of business on June 30, 2015. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A shares. There is no front-end sales charge in the case of Class C, F, I, R2, R3, R4, R5 and R6 shares, although there may be a contingent deferred sales charge (“CDSC”) in certain cases as follows: Class A shares purchased without a sales charge and redeemed before the first day of the month in which the one-year anniversary of the purchase falls (subject to certain exceptions as set forth in each Fund’s prospectus); and Class C shares redeemed before the first anniversary of purchase.
The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
2. | SIGNIFICANT ACCOUNTING POLICIES |
(a) | Investment Valuation–Under procedures approved by the Funds’ Board of Trustees (the “Board”), Lord, Abbett & Co. LLC (“Lord Abbett”), the Funds’ investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Funds to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value. |
| |
| Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to reflect their fair value as of the close of regular trading on the New York Stock Exchange. Each Fund may utilize an independent fair valuation service in adjusting the valuations of foreign securities. Unlisted equity securities are valued at the last quoted sale price or, if no sale price is available, at the mean between the most recently quoted bid and asked prices. Exchange traded options and futures contracts are valued at the last sale price in the market where they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and asked prices is used. |
| |
| Securities for which prices are not readily available are valued at fair value as determined by |
30
Notes to Financial Statements (continued)
| the Pricing Committee. The Pricing Committee considers a number of factors, including observable and unobservable inputs, when arriving at fair value. The Pricing Committee may use related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information to determine the fair value of portfolio investments. The Board or a designated committee thereof regularly reviews fair value determinations made by the Pricing Committee and employs techniques such as reviewing related market activity, reviewing inputs and assumptions, and retrospectively comparing prices of subsequent purchases and sales transactions to fair value determinations made by the Pricing Committee. |
| |
| Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. |
| |
(b) | Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Realized and unrealized gains (losses) are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
| |
(c) | Investment Income–Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis as earned. Discounts are accreted and premiums are amortized using the effective interest method and are included in Interest and other income on the Statements of Operations. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates. Investment income is allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
| |
(d) | Income Taxes–It is the policy of each Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required. |
| |
| Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s filed U.S. federal tax returns remains open for the fiscal period ended July 31, 2012 through the fiscal year ended July 31, 2015. The statutes of limitations on the Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction. |
| |
(e) | Expenses–Expenses, excluding class-specific expenses, are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. Each share class bears its class-specific share of expenses. |
| |
(f) | Futures Contracts–Each Fund may purchase and sell index futures contracts to manage cash or as a substitute position in lieu of holding the underlying asset on which the instrument is based. At the time of entering into a futures transaction, an investor is required to deposit and maintain a specified amount of cash or eligible securities called “initial margin.” Subsequent payments made or received by a Fund called “variation margin” are made on a daily basis as the market price of the futures contract fluctuates. Each Fund will record an unrealized gain (loss) based on the amount of variation margin. When a contract is closed, a realized gain (loss) is recorded equal to the difference between the opening and closing value of the contract. |
| |
(g) | Repurchase Agreements–Each Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a fund acquires a security and |
31
Notes to Financial Statements (continued)
| simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. Each Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, a Fund may incur a loss upon disposition of the securities. |
| |
(h) | Fair Value Measurements–Fair value is defined as the price that each Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk – for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below: |
| |
| • | Level 1 – | unadjusted quoted prices in active markets for identical investments; |
| | | |
| • | Level 2 – | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and |
| | | |
| • | Level 3 – | significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments). |
| | | |
| A summary of inputs used in valuing each Fund’s investments and other financial instruments as of July 31, 2015 and, if applicable, Level 1/Level 2 transfers and Level 3 rollforwards for the fiscal year then ended is included in each Fund’s Schedule of Investments. |
| |
| Changes in valuation techniques may result in transfers into or out of an assigned level within the three-tier hierarchy. All transfers between different levels within the three-tier hierarchy are deemed to have occurred as of the beginning of the reporting period. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. |
| |
3. | MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES |
Management Fee
The Trust has a management agreement with Lord Abbett, pursuant to which Lord Abbett supplies each Fund with investment management services and executive and other personnel, provides office space and pays for ordinary and necessary office and clerical expenses relating to research and statistical work and supervision of each Fund’s investment portfolio.
32
Notes to Financial Statements (continued)
The management fee is based on each Fund’s average daily net assets at the following annual rate:
First $2 billion | .60% |
Over $2 billion | .55% |
For the fiscal year ended July 31, 2015, for Calibrated Large Cap Value Fund and Calibrated Mid Cap Value Fund, the effective management fee, net of waivers, was at an annualized rate of .27% and .38%, respectively.
In addition, Lord Abbett provides certain administrative services to each Fund pursuant to an Administrative Services Agreement in return for a fee at an annual rate of .04% of each Fund’s average daily net assets.
Lord Abbett has contractually agreed to waive its fees and reimburse each Fund’s expenses to the extent necessary to limit total net annual operating expenses, excluding 12b-1 fees, to an annual rate of .50% for Calibrated Large Cap Value Fund and .60% for Calibrated Mid Cap Value Fund for each class other than R6. For Class R6 shares, Lord Abbett has contractually agreed to waive its fees and reimburse expenses to the extent necessary to limit total net annual operating expenses to an annual rate of 0.47% and 0.59% for Calibrated Large Cap Value Fund and Calibrated Mid Cap Value Fund, respectively. This agreement continues through November 30, 2016 and may be terminated only upon the approval of the Board.
Each Fund, along with certain other funds managed by Lord Abbett (collectively, the “Underlying Funds”), has entered into a Servicing Arrangement with certain “Fund of Funds” managed by Lord Abbett, pursuant to which each Underlying Fund pays a portion of the expenses (excluding management fees and distribution and service fees) of each Fund of Funds in proportion to the average daily value of the Underlying Fund shares owned by each Fund of Funds. Amounts paid pursuant to the Servicing Arrangement, if applicable, are included in Subsidy expense on each Fund’s Statement of Operations and Payable to affiliates on each Fund’s Statement of Assets and Liabilities.
As of July 31, 2015, the percentages of Calibrated Large Cap Value Fund’s and Calibrated Mid Cap Value Fund’s outstanding shares owned by each Fund of Funds were as follows:
| | Underlying Funds |
| Calibrated Large Cap | Calibrated Mid Cap |
Fund of Funds | Value Fund | Value Fund |
Lord Abbett Multi-Asset Balanced Opportunity Fund | 42.16% | 27.14% |
Lord Abbett Multi-Asset Global Opportunity Fund | – | 3.48% |
Lord Abbett Multi-Asset Growth Fund | 29.58% | 19.83% |
Lord Abbett Multi-Asset Income Fund | – | 11.59% |
12b-1 Distribution Plan
Each Fund has adopted a distribution plan with respect to Class A, C, F, R2, R3 and R4 shares pursuant to Rule 12b-1 under the Act, which provides for the payment of ongoing distribution and service fees to Lord Abbett Distributor LLC (the “Distributor”), an affiliate of Lord Abbett. The following annual rates have been authorized by the Board pursuant to the plan:
Fees* | Class A | Class C | Class F | Class R2 | Class R3 | Class R4 |
Service | .25% | .25% | – | .25% | .25% | .25% |
Distribution | – | .75% | .10% | .35% | .25% | – |
| |
* | Each Fund may designate a portion of the aggregate fee as attributable to service activities for purposes of calculating Financial Industry Regulatory Authority, Inc. (“FINRA”) sales charge limitations. |
Class I, Class R5 and Class R6 shares do not have a distribution plan.
33
Notes to Financial Statements (continued)
Commissions
Distributor received the following commissions on sales of shares of the Funds, after concessions were paid to authorized dealers, for the fiscal year ended July 31, 2015:
| Distributor | Dealers’ |
| Commissions | Concessions |
Calibrated Large Cap Value Fund | $ 63,496 | $ 342,829 |
Calibrated Mid Cap Value Fund | 179,168 | 1,019,331 |
Distributor received the following amount of CDSCs for the fiscal year ended July 31, 2015:
| Class A | Class C |
Calibrated Large Cap Value Fund | $2,068 | $2,530 |
Calibrated Mid Cap Value Fund | – | 7,631 |
A Trustee and certain of the Trust’s officers have an interest in Lord Abbett.
4. | DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS |
Dividends from net investment income, if any, are declared and paid at least annually. Taxable net realized gains from investment transactions, reduced by allowable capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amounts of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions, which exceed earnings and profits for tax purposes, are reported as a tax return of capital.
The tax character of distributions paid during the fiscal years ended July 31, 2015 and 2014 was as follows:
Calibrated Large Cap Value Fund | Calibrated Mid Cap Value Fund |
| Year Ended | Year Ended | Year Ended | Year Ended |
| 7/31/2015 | 7/31/2014 | 7/31/2015 | 7/31/2014 |
Distributions paid from: | | | | |
Ordinary income | $36,031,671 | $30,575,481 | $42,724,676 | $33,496,072 |
Net long-term capital gains | 23,290,584 | 2,738,936 | 30,838,909 | 7,623,384 |
Total distributions paid | $59,322,255 | $33,314,417 | $73,563,585 | $41,119,456 |
34
Notes to Financial Statements (continued)
As of July 31, 2015, the components of accumulated gains on a tax-basis were as follows:
| Calibrated Large | | Calibrated Mid Cap | |
| Value Fund | | Value Fund | |
Undistributed ordinary income – net | | $ | 18,771,434 | | | $ | 42,046,372 | |
Undistributed long-term capital gains | | | 15,785,848 | | | | 29,266,882 | |
Total undistributed earnings | | | 34,557,282 | | | | 71,313,254 | |
Temporary differences | | | (29,700 | ) | | | (38,378 | ) |
Unrealized gains (losses) – net | | | 6,503,559 | | | | (753,358 | ) |
Total accumulated gains – net | | $ | 41,031,141 | | | $ | 70,521,518 | |
As of July 31, 2015, the aggregate unrealized security gains and losses based on cost for U.S. federal income tax purposes were as follows:
| Calibrated Large Cap | | Calibrated Mid Cap | |
| Value Fund | | Value Fund | |
Tax cost | | $ | 497,038,255 | | | $ | 1,077,299,463 | |
Gross unrealized gain | | | 32,880,277 | | | | 48,046,917 | |
Gross unrealized loss | | | (26,376,718 | ) | | | (48,800,275 | ) |
Net unrealized security gain (loss) | | $ | 6,503,559 | | | $ | (753,358 | ) |
The difference between book-basis and tax basis unrealized gains (losses) is attributable to the tax treatment of wash sales.
Permanent items identified during the fiscal year ended July 31, 2015 have been reclassified among the components of net assets based on their tax basis treatment as follows:
| Undistributed | Accumulated Net |
| Net Investment Income | Realized Gain |
Calibrated Large Cap Value Fund | $ (7,294) | $ 7,294 |
Calibrated Mid Cap Value Fund | (18,956) | 18,956 |
The permanent differences are attributable to the tax treatment of certain distributions received.
5. | PORTFOLIO SECURITIES TRANSACTIONS |
Purchases and sales of investment securities (excluding short-term investments) for the fiscal year ended July 31, 2015 were as follows:
| Purchases | Sales |
Calibrated Large Cap Value Fund | $ 410,440,303 | $380,953,913 |
Calibrated Mid Cap Value Fund | 1,028,510,101 | 623,679,764 |
There were no purchases or sales of U.S. Government securities for the fiscal year ended July 31, 2015.
6. | DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES |
Each Fund entered into E-Mini S&P 500 Index futures contracts for the fiscal year ended July 31, 2015 (as described in note 2(f)) to manage cash. The Funds bear the risk that the underlying index will move unexpectedly, in which case each Fund may realize a loss. There is minimal counterparty credit risk to each Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees futures against default.
As of July 31, 2015, the Funds had the following derivatives at fair value, grouped into appropriate risk categories that illustrate the Funds’ use of derivative instruments:
35
Notes to Financial Statements (continued)
| Calibrated Large Cap Value Fund | | | Calibrated Mid Cap Value Fund |
Assets Derivatives | Equity Index Contracts | | | Equity Index Contracts |
Futures Contracts(1) | $841 | | | $16,916 |
(1) | Statements of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
Transactions in derivative instruments for the fiscal year ended July 31, 2015, were as follows:
| Calibrated Large Cap Value Fund | | | Calibrated Mid Cap Value Fund |
| Equity Index Contracts | | | Equity Index Contracts |
Net Realized Gain (Loss)(1) | | | | |
Futures Contracts | $117,005 | | | $277,321 |
Net Change in Unrealized Appreciation/Depreciation(2) | | | | |
Futures Contracts | $ 14,688 | | | $ 34,574 |
Average Number of Contracts* | | | | |
Futures Contracts | 19 | | | 35 |
* | Calculated based on the number of contracts for the fiscal year ended July 31, 2015. |
(1) | Statements of Operations location: Net realized gain on futures contracts. |
(2) | Statements of Operations location: Net change in unrealized appreciation/depreciation on futures contracts. |
7. | DISCLOSURES ABOUT OFFSETTING ASSETS AND LIABILITIES |
The following tables illustrate gross and net information about recognized assets eligible for offset in the statement of assets and liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between a fund and a counterparty which provides for the net settlement of amounts owed under all contracts traded under that agreement, as well as cash collateral, through a single payment by one party to the other in the event of default on or termination of any one contract. The Funds’ accounting policy with respect to balance sheet offsetting is that, absent an event of default by the counterparty or a termination of the agreement, the master netting agreement does not result in an offset of reported amounts of financial assets and liabilities in the statement of assets and liabilities across transactions between the Funds and the applicable counterparty:
| | Calibrated Large Cap Value Fund |
| | Gross Amounts | Net Amounts of |
| | Offset in the | Assets Presented |
| Gross Amounts of | Statement of Assets | in the Statement of |
Description | Recognized Assets | and Liabilities | Assets and Liabilities |
Repurchase Agreement | $2,759,315 | $ – | $2,759,315 |
Total | $2,759,315 | $ – | $2,759,315 |
| Net Amounts | | | | | |
| of Assets | | Amounts Not Offset in the | |
| Presented in | | Statement of Assets and Liabilities | |
| the Statement | | | Cash | Securities | |
| of Assets and | | Financial | Collateral | Collateral | Net |
Counterparty | Liabilities | | Instruments | Received(a) | Received(a) | Amount(b) |
Fixed Income Clearing Corp. | $2,759,315 | | $ – | $ – | $(2,759,315) | $ – |
Total | $2,759,315 | | $ – | $ – | $(2,759,315) | $ – |
36
Notes to Financial Statements (continued)
| | Calibrated Mid Cap Value Fund |
| | Gross Amounts | Net Amounts of |
| | Offset in the | Assets Presented |
| Gross Amounts of | Statement of Assets | in the Statement of |
Description | Recognized Assets | and Liabilities | Assets and Liabilities |
Repurchase Agreement | $6,633,944 | $ – | $6,633,944 |
Total | $6,633,944 | $ – | $6,633,944 |
| Net Amounts | | | | | |
| of Assets | | Amounts Not Offset in the | |
| Presented in | | Statement of Assets and Liabilities | |
| the Statement | | | Cash | Securities | |
| of Assets and | | Financial | Collateral | Collateral | Net |
Counterparty | Liabilities | | Instruments | Received(a) | Received(a) | Amount(b) |
Fixed Income Clearing Corp. | $6,633,944 | | $ – | $ – | $(6,633,944) | $ – |
Total | $6,633,944 | | $ – | $ – | $(6,633,944) | $ – |
(a) | Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty. |
(b) | Net amount represents the amount owed to the Fund by the counterparty as of July 31, 2015. |
The Trust’s officers and a Trustee, who are associated with Lord Abbett, do not receive any compensation from the Trust for serving in such capacities. Independent Trustees’ fees are allocated among all Lord Abbett-sponsored funds based on the net assets of each fund. There is an equity-based plan available to all Independent Trustees under which Independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of Trustees’ fees. The deferred amounts are treated as though equivalent dollar amounts had been invested in the funds. Such amounts and earnings accrued thereon are included in Trustees’ fees on the Statements of Operations and in Trustees’ fees payable on the Statements of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.
The Trust has entered into an arrangement with its transfer agent and custodian, whereby credits realized as a result of uninvested cash balances are used to reduce a portion of each Fund’s expenses.
During the fiscal year ended July 31, 2015, the Funds and certain other funds managed by Lord Abbett (collectively, the “Participating Funds”) participated in a $500 million unsecured revolving credit facility (the “Facility”) with State Street Bank and Trust Company (“SSB”). The Facility is to be used for temporary or emergency purposes as an additional source of liquidity to satisfy redemptions. The Participating Funds are subject to graduated borrowing limits of one-third of Fund assets (if Fund assets are less than $750 million), $250 million, $300 million, or $350 million based on past borrowings and likelihood of future borrowings. Each Participating Fund bears its ratable share of the $525,000 annual Facility fee based on the maximum amount the Fund can borrow under the Facility. This amount is included for each Fund in Other expenses in the Statements of Operations. Any borrowings under the Facility will incur interest at current market rates as set forth in the credit agreement.
37
Notes to Financial Statements (continued)
During the fiscal year ended July 31, 2015, the Funds did not utilize the Facility.
Effective August 31, 2015, the Facility expired and the Funds and certain other funds managed by Lord Abbett entered into a syndicated line of credit with various lenders for $550 million, whereas SSB participates as a lender and as agent for the lenders. The syndicated line of credit will continue through August 29, 2016.
11. | CUSTODIAN AND ACCOUNTING AGENT |
SSB is the Trust’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculating each Fund’s NAV.
Each Fund is subject to the general risks and considerations associated with equity investing. The value of a Fund’s investment in an individual company will fluctuate in response to its changing prospects and movements in the equity securities markets in general. If a Fund’s assessment of a company’s value or prospects for exceeding earnings expectations or market conditions is wrong, the Fund could suffer losses or produce poor performance relative to other funds, even in a rising market.
The market may fail to recognize for a long time the intrinsic value of particular value stocks each Fund may hold. The large companies in which Calibrated Large Cap Value Fund invests may be less able to respond quickly to certain market developments and may have slower rates of growth than smaller companies. The mid-sized companies in which Calibrated Mid Cap Value Fund invests may be less able to weather economic shifts or other adverse developments than larger, more established companies.
Because each Fund invests in real estate investment trusts (“REITS”), they may be subject to the risks that impact the value of the underlying properties or mortgages of the REITs in which they invest. Other factors that may adversely affect REITs include poor performance by management of the REIT, changes to the tax laws, or failure by the REIT to qualify for tax-free distribution of income, and changes in local, regional, or general economic conditions.
Due to each Fund’s exposure to foreign companies and American Depository Receipts, each Fund may experience increased market, liquidity, currency, political, information, and other risks.
These factors can affect each Fund’s performance.
13. | SUMMARY OF CAPITAL TRANSACTIONS |
Transactions in shares of beneficial interest were as follows:
| | | | | Year Ended | | | | | | Year Ended | |
Calibrated Large Cap Value Fund | | | | | July 31, 2015 | | | | | | July 31, 2014 | |
Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 1,533,731 | | | $ | 32,646,743 | | | | 1,061,171 | | | $ | 22,815,065 | |
Reinvestment of distributions | | | 327,319 | | | | 6,801,697 | | | | 233,019 | | | | 4,872,435 | |
Shares reacquired | | | (1,907,324 | ) | | | (40,114,312 | ) | | | (1,112,900 | ) | | | (24,016,001 | ) |
Increase (decrease) | | | (46,274 | ) | | $ | (665,872 | ) | | | 181,290 | | | $ | 3,671,499 | |
38
Notes to Financial Statements (continued)
| | | | | Year Ended | | | | | | Year Ended | |
Calibrated Large Cap Value Fund | | | | | July 31, 2015 | | | | | | July 31, 2014 | |
Class C Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 550,806 | | | $ | 11,464,588 | | | | 250,344 | | | $ | 5,333,372 | |
Reinvestment of distributions | | | 55,797 | | | | 1,146,068 | | | | 24,072 | | | | 498,530 | |
Shares reacquired | | | (187,938 | ) | | | (3,926,603 | ) | | | (130,160 | ) | | | (2,789,970 | ) |
Increase | | | 418,665 | | | $ | 8,684,053 | | | | 144,256 | | | $ | 3,041,932 | |
Class F Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 925,144 | | | $ | 19,637,645 | | | | 412,641 | | | $ | 9,043,556 | |
Reinvestment of distributions | | | 72,562 | | | | 1,507,834 | | | | 30,328 | | | | 634,150 | |
Shares reacquired | | | (510,147 | ) | | | (10,982,400 | ) | | | (278,072 | ) | | | (5,945,485 | ) |
Increase | | | 487,559 | | | $ | 10,163,079 | | | | 164,897 | | | $ | 3,732,221 | |
Class I Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,775,488 | | | $ | 37,857,946 | | | | 777,584 | | | $ | 16,992,025 | |
Reinvestment of distributions | | | 2,162,257 | | | | 44,974,938 | | | | 1,178,087 | | | | 24,645,578 | |
Shares reacquired | | | (993,667 | ) | | | (21,239,532 | ) | | | (500,456 | ) | | | (11,248,242 | ) |
Increase | | | 2,944,078 | | | $ | 61,593,352 | | | | 1,455,215 | | | $ | 30,389,361 | |
Class R2 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 8,795 | | | $ | 184,859 | | | | 1,135 | | | $ | 24,022 | |
Reinvestment of distributions | | | 100 | | | | 2,100 | | | | 56 | | | | 1,183 | |
Shares reacquired | | | (52 | ) | | | (1,143 | ) | | | (6,390 | ) | | | (134,635 | ) |
Increase (decrease) | | | 8,843 | | | $ | 185,816 | | | | (5,199 | ) | | $ | (109,430 | ) |
Class R3 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 9,703 | | | $ | 201,233 | | | | 3,304 | | | $ | 70,777 | |
Reinvestment of distributions | | | 1,014 | | | | 20,983 | | | | 426 | | | | 8,879 | |
Shares reacquired | | | (883 | ) | | | (18,844 | ) | | | (1,069 | ) | | | (22,108 | ) |
Increase | | | 9,834 | | | $ | 203,372 | | | | 2,661 | | | $ | 57,548 | |
Class R4 Shares(a) | | | | | | | | | | | | | | | | |
Shares sold | | | 480.77 | | | $ | 10,000 | | | | – | | | $ | – | |
Increase | | | 480.77 | | | $ | 10,000 | | | | – | | | $ | – | |
Class R5 Shares(a) | | | | | | | | | | | | | | | | |
Shares sold | | | 479.62 | | | $ | 10,000 | | | | – | | | $ | – | |
Increase | | | 479.62 | | | $ | 10,000 | | | | – | | | $ | – | |
Class R6 Shares(a) | | | | | | | | | | | | | | | | |
Shares sold | | | 479.62 | | | $ | 10,000 | | | | – | | | $ | – | |
Increase | | | 479.62 | | | $ | 10,000 | | | | – | | | $ | – | |
(a) | Shares commenced at the close of business on June 30, 2015. |
| | | | | Year Ended | | | | | | Year Ended | |
Calibrated Mid Cap Value Fund | | | | | July 31, 2015 | | | | | | July 31, 2014 | |
Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 5,671,340 | | | $ | 123,910,360 | | | | 636,892 | | | $ | 13,578,846 | |
Reinvestment of distributions | | | 139,429 | | | | 2,940,570 | | | | 135,575 | | | | 2,744,038 | |
Shares reacquired | | | (971,334 | ) | | | (21,251,722 | ) | | | (788,179 | ) | | | (16,842,676 | ) |
Increase (decrease) | | | 4,839,435 | | | $ | 105,599,208 | | | | (15,712 | ) | | $ | (519,792 | ) |
39
Notes to Financial Statements (continued)
| | | | | Year Ended | | | | | | Year Ended | |
Calibrated Mid Cap Value Fund | | | | | July 31, 2015 | | | | | | July 31, 2014 | |
Class C Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 2,198,094 | | | $ | 47,431,592 | | | | 114,481 | | | $ | 2,391,410 | |
Reinvestment of distributions | | | 21,689 | | | | 451,774 | | | | 16,509 | | | | 330,852 | |
Shares reacquired | | | (130,031 | ) | | | (2,807,109 | ) | | | (35,976 | ) | | | (760,225 | ) |
Increase | | | 2,089,752 | | | $ | 45,076,257 | | | | 95,014 | | | $ | 1,962,037 | |
Class F Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 9,499,636 | | | $ | 207,837,691 | | | | 195,308 | | | $ | 4,267,569 | |
Reinvestment of distributions | | | 33,948 | | | | 715,617 | | | | 33,748 | | | | 683,057 | |
Shares reacquired | | | (951,914 | ) | | | (20,956,313 | ) | | | (160,140 | ) | | | (3,350,678 | ) |
Increase | | | 8,581,670 | | | $ | 187,596,995 | | | | 68,916 | | | $ | 1,599,948 | |
Class I Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 4,388,569 | | | $ | 96,387,078 | | | | 9,064,522 | | | $ | 196,244,201 | |
Reinvestment of distributions | | | 3,240,878 | | | | 68,447,334 | | | | 1,813,576 | | | | 36,779,322 | |
Shares reacquired | | | (1,625,100 | ) | | | (35,281,325 | ) | | | (47,494 | ) | | | (999,827 | ) |
Increase | | | 6,004,347 | | | $ | 129,553,087 | | | | 10,830,604 | | | $ | 232,023,696 | |
Class R2 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 9,205 | | | $ | 203,436 | | | | 571 | | | $ | 12,334 | |
Reinvestment of distributions | | | 168 | | | | 3,568 | | | | 69 | | | | 1,419 | |
Shares reacquired | | | (28 | ) | | | (630 | ) | | | – | | | | – | |
Increase | | | 9,345 | | | $ | 206,374 | | | | 640 | | | $ | 13,753 | |
Class R3 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 14,582 | | | $ | 319,523 | | | | 2,334 | | | $ | 50,460 | |
Reinvestment of distributions | | | 411 | | | | 8,713 | | | | 92 | | | | 1,869 | |
Shares reacquired | | | (591 | ) | | | (12,965 | ) | | | (2 | ) | | | (49 | ) |
Increase | | | 14,402 | | | $ | 315,271 | | | | 2,424 | | | $ | 52,280 | |
Class R4 Shares(a) | | | | | | | | | | | | | | | | |
Shares sold | | | 463 | | | $ | 10,000 | | | | – | | | $ | – | |
Increase | | | 463 | | | $ | 10,000 | | | | – | | | $ | – | |
Class R5 Shares(a) | | | | | | | | | | | | | | | | |
Shares sold | | | 461.47 | | | $ | 10,000 | | | | – | | | $ | – | |
Increase | | | 461.47 | | | $ | 10,000 | | | | – | | | $ | – | |
Class R6 Shares(a) | | | | | | | | | | | | | | | | |
Shares sold | | | 461.47 | | | $ | 10,000 | | | | – | | | $ | – | |
Increase | | | 461.47 | | | $ | 10,000 | | | | – | | | $ | – | |
(a) | Shares commenced at the close of business on June 30, 2015. |
40
Notes to Financial Statements (concluded)
14. | RECENT ACCOUNTING PRONOUNCEMENT |
In June 2014, FASB issued ASU 2014-11 Transfers & Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures to improve the financial reporting of repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into repurchase agreements or securities lending transactions. The guidance is effective for financial statements with fiscal years beginning after December 15, 2014. The effective dates for interim periods vary for the requirements within this guidance. Management does not believe the impact, if any, of this guidance will be material to the Funds’ financial statement disclosures.
41
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Lord Abbett Equity Trust and the Shareholders of Lord Abbett Calibrated Large Cap Value Fund and Lord Abbett Calibrated Mid Cap Value Fund:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of the Lord Abbett Calibrated Large Cap Value Fund and Lord Abbett Calibrated Mid Cap Value Fund (collectively, the “Funds”), the two portfolios constituting the Lord Abbett Equity Trust (the “Trust”) as of July 31, 2015, and the related statements 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, and the financial highlights for the each of the periods presented. These financial statements and financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of July 31, 2015, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Lord Abbett Calibrated Large Cap Value Fund and Lord Abbett Calibrated Mid Cap Value Fund as of July 31, 2015, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
New York, New York
September 25, 2015
42
Basic Information About Management
The Board is responsible for the management of the business and affairs of the Trust in accordance with the laws of the State of Delaware. The Board elects officers who are responsible for the day-to-day operations of the Funds and who execute policies authorized by the Board. The Board also approves an investment adviser to each Fund and continues to monitor the cost and quality of the services the investment adviser provides, and annually considers whether to renew the contract with the adviser. Generally, each Trustee holds office until his/her successor is elected and qualified or until his/her earlier resignation or removal, as provided in the Trust’s organizational documents.
Lord Abbett, a Delaware limited liability company, is the Fund’s investment adviser. Designated Lord Abbett personnel are responsible for the day-to-day management of the Funds.
Interested Trustee
Ms. Foster is affiliated with Lord Abbett and is an “interested person” of the Trust as defined in the Act. Ms. Foster is a director/trustee and officer of each of the 12 investment companies in the Lord Abbett Family of Funds, which consist of 57 portfolios or series.
Name, Address and Year of Birth | | Current Position and Length of Service with the Trust | | Principal Occupation and Other Directorships During the Past Five Years |
| | | | |
Daria L. Foster Lord, Abbett & Co. LLC 90 Hudson Street Jersey City, NJ 07302 (1954) | | Trustee and President since 2006; Chief Executive Officer since 2012 | | Principal Occupation: Managing Partner of Lord Abbett (since 2007), and was formerly Director of Marketing and Client Service, joined Lord Abbett in 1990.
Other Directorships: None. |
Independent Trustees
The following Independent Trustees also are directors/trustees of each of the 12 investment companies in the Lord Abbett Family of Funds, which consist of 57 portfolios or series.
Name, Address and Year of Birth | | Current Position and Length of Service with the Trust | | Principal Occupation and Other Directorships During the Past Five Years |
| | | | |
E. Thayer Bigelow Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1941) | | Trustee since 2001 Chairman since 2013 | | Principal Occupation: Managing General Partner, Bigelow Media, LLC (since 2000); Senior Adviser, Time Warner Inc. (1998 – 2000). Other Directorships: Currently serves as director of Crane Co. (since 1984) and Huttig Building Products Inc. (since 1998). Previously served as a director of R.H. Donnelley Inc. (2009 – 2010). |
| | | | |
Robert B. Calhoun, Jr. Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1942) | | Trustee since 2001 | | Principal Occupation: Senior Advisor of Monitor Clipper Partners, a private equity investment fund (since 1997); President of Clipper Asset Management Corp. (1991 – 2009).
Other Directorships: None. |
43
Basic Information About Management (continued)
Name, Address and Year of Birth | | Current Position and Length of Service with the Trust | | Principal Occupation and Other Directorships During the Past Five Years |
| | | | |
Eric C. Fast Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1949) | | Trustee since 2014 | | Principal Occupation: Chief Executive Officer Crane Co., an industrial products company (2001 – 2014).
Other Directorships: Currently serves as director of Automatic Data Processing, Inc. (since 2007) and Regions Financial Corporation (since 2010). Previously served as a director of Crane Co. (1999 – 2014). |
| | | | |
Evelyn E. Guernsey Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1955) | | Trustee since 2011 | | Principal Occupation: CEO, Americas of J.P. Morgan Asset Management (2004 – 2010).
Other Directorships: None. |
| | | | |
Julie A. Hill Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1946) | | Trustee since 2004 | | Principal Occupation: Owner and CEO of The Hill Company, a business consulting firm (since 1998).
Other Directorships: Currently serves as director of Anthem, Inc., a health benefits company (since 1994). |
| | | | |
Franklin W. Hobbs Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1947) | | Trustee since 2001 | | Principal Occupation: Advisor of One Equity Partners, a private equity firm (since 2004).
Other Directorships: Currently serves as director and Chairman of the Board of Ally Financial Inc., a financial services firm (since 2009), and as director of Molson Coors Brewing Company (since 2002). |
| | | | |
James M. McTaggart Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1947) | | Trustee since 2012 | | Principal Occupation: Independent management advisor and consultant (since 2012); Vice President, CRA International, Inc. (doing business as Charles River Associates), a global management consulting firm (2009 – 2012); Founder and Chairman of Marakon Associates, Inc., a strategy consulting firm (1978 – 2009); and Officer and Director of Trinsum Group, a holding company (2007 – 2009).
Other Directorships: Currently serves as director of Blyth, Inc., a home products company (since 2004). |
| | | | |
James L.L. Tullis Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1947) | | Trustee since 2006 | | Principal Occupation: CEO of Tullis-Dickerson and Co. Inc., a venture capital management firm (since 1990); CEO of Tullis Health Investors Inc. (since 2012).
Other Directorships: Currently serves as director of Crane Co. (since 1998). |
44
Basic Information About Management (continued)
Officers
None of the officers listed below have received compensation from the Trust. All of the officers of the Funds also may be officers of the other Lord Abbett Funds and maintain offices at 90 Hudson Street, Jersey City, NJ 07302. Unless otherwise indicated, the position(s) and title(s) listed under the “Principal Occupation During the Past Five Years” column indicate each officer’s position(s) and title(s) with Lord Abbett. Each officer serves for an indefinite term (i.e., until his or her death, resignation, retirement, or removal).
Name and Year of Birth | | Current Position with the Trust | | Length of Service of Current Position | | Principal Occupation During the Past Five Years |
| | | | | | |
Daria L. Foster (1954) | | President and Chief Executive Officer | | Elected as President in 2006 and Chief Executive Officer in 2012 | | Managing Partner of Lord Abbett (since 2007), and was formerly Director of Marketing and Client Service, joined Lord Abbett in 1990. |
| | | | | | |
Robert I. Gerber (1954) | | Executive Vice President | | Elected in 2007 | | Partner and Chief Investment Officer (since 2007), joined Lord Abbett in 1997 as Director of Taxable Fixed Income Management. |
| | | | | | |
Walter H. Prahl (1958) | | Executive Vice President | | Elected in 2011 | | Partner and Director, joined Lord Abbett in 1997. |
| | | | | | |
Frederick J. Ruvkun (1957) | | Executive Vice President | | Elected in 2011 | | Partner and Portfolio Manager, joined Lord Abbett in 2006. |
| | | | | | |
John W. Ashbrook (1964) | | Vice President and Assistant Secretary | | Elected in 2014 | | Senior Counsel, joined Lord Abbett in 2008. |
| | | | | | |
Joan A. Binstock (1954) | | Chief Financial Officer and Vice President | | Elected in 2001 | | Partner and Chief Financial and Operations Officer, joined Lord Abbett in 1999. |
| | | | | | |
Brooke A. Fapohunda (1975) | | Vice President and Assistant Secretary | | Elected in 2014 | | Assistant General Counsel, joined Lord Abbett in 2006 and was formerly Vice President and Legal Counsel at Credit Suisse Asset Management LLC and Associate at Willkie Farr & Gallagher LLP. |
| | | | | | |
John K. Forst (1960) | | Vice President and Assistant Secretary | | Elected in 2005 | | Partner and Deputy General Counsel, joined Lord Abbett in 2004. |
| | | | | | |
Lawrence H. Kaplan (1957) | | Vice President and Secretary | | Elected in 2001 | | Partner and General Counsel, joined Lord Abbett in 1997. |
| | | | | | |
David J. Linsen (1974) | | Vice President | | Elected in 2012 | | Partner and Director, joined Lord Abbett in 2001. |
45
Basic Information About Management (concluded)
Name and Year of Birth | | Current Position with the Trust | | Length of Service of Current Position | | Principal Occupation During the Past Five Years |
| | | | | | |
Joseph M. McGill (1962) | | Chief Compliance Officer | | Elected in 2014 | | Chief Compliance Officer, joined Lord Abbett in 2014 and was formerly Managing Director and the Chief Compliance Officer at UBS Global Asset Management (2003 – 2013). |
| | | | | | |
A. Edward Oberhaus, III (1959) | | Vice President | | Elected in 2001 | | Partner and Director, joined Lord Abbett in 1983. |
| | | | | | |
Lawrence B. Stoller (1963) | | Vice President and Assistant Secretary | | Elected in 2007 | | Partner and Senior Deputy General Counsel, joined Lord Abbett in 2007. |
| | | | | | |
Scott S. Wallner (1955) | | AML Compliance Officer | | Elected in 2011 | | Assistant General Counsel, joined Lord Abbett in 2004. |
| | | | | | |
Bernard J. Grzelak (1971) | | Treasurer | | Elected in 2003 | | Partner and Director of Fund Administration, joined Lord Abbett in 2003. |
Please call 888-522-2388 for a copy of the statement of additional information, which contains further information about the Trust’s Trustees. It is available free upon request.
46
Householding
The Trust has adopted a policy that allows it to send only one copy of each Fund’s prospectus, proxy material, annual report and semiannual report to certain shareholders residing at the same “household.” This reduces Fund expenses, which benefits you and other shareholders. If you need additional copies or do not want your mailings to be “householded,” please call Lord Abbett at 888-522-2388 or send a written request with your name, the name of your fund or funds and your account number or numbers to Lord Abbett Family of Funds, P.O. Box 219336, Kansas City, MO 64121.
Proxy Voting Policies, Procedures and Records
A description of the policies and procedures that Lord Abbett uses to vote proxies related to each Fund’s portfolio securities, and information on how Lord Abbett voted each Fund’s proxies during the 12-month period ended June 30 are available without charge, upon request, (i) by calling 888-522-2388; (ii) on Lord Abbett’s Website at www.lordabbett.com; and (iii) on the Securities and Exchange Commission’s (“SEC”) Website at www.sec.gov.
Shareholder Reports and Quarterly Portfolio Disclosure
The Funds are required to file their complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters on Form N-Q. Copies of the filings are available without charge, upon request on the SEC’s Website at www.sec.gov and may be available by calling Lord Abbett at 888-522-2388. You can also obtain copies of Form N-Q by visiting the SEC’s Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330).
Tax Information
The percentages below reflect the portion of ordinary income distributions that are eligible for the corporate dividend received deduction (DRD) and qualified dividend income (QDI) for individual shareholders:
Fund Name | DRD | | QDI | |
Calibrated Large Cap Value Fund | 24% | | 24% | |
Calibrated Mid Cap Value Fund | 19% | | 21% | |
Additionally, of the distributions paid to shareholders during the fiscal year ended July 31, 2015, the following amounts represent short-term capital gains and long-term capital gains:
Fund Name | Short-term capital gains | | Long-term capital gains | |
Calibrated Large Cap Value Fund | $28,064,267 | | $23,290,584 | |
Calibrated Mid Cap Value Fund | 33,634,863 | | 30,838,909 | |
47
This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded | Lord Abbett Equity Trust | |
or accompanied by a current fund prospectus. | | |
| | |
Lord Abbett mutual fund shares are distributed by LORD ABBETT DISTRIBUTOR LLC. | Calibrated Large Cap Value Fund Calibrated Mid Cap Value Fund | CALIBRATED-2 (09/15) |
| (a) | In accordance with applicable requirements, the Registrant adopted a Sarbanes-Oxley Code of Ethics on June 19, 2003 that applies to the principal executive officer and senior financial officers of the Registrant (“Code of Ethics”). The Code of Ethics was in effect during the fiscal year ended July 31, 2015 (the “Period”). |
| (c) | The Registrant has not amended the Code of Ethics as described in Form N-CSR during the Period. |
| (d) | The Registrant has not granted any waiver, including an implicit waiver, from a provision of the Code of Ethics as described in Form N-CSR during the Period. |
| (f) | See Item 12(a)(1) concerning the filing of the Code of Ethics. |
Item 3: | Audit Committee Financial Expert. |
The Registrant’s board of trustees has determined that each of the following independent trustees who are members of the audit committee is an audit committee financial expert: E. Thayer Bigelow and Robert B. Calhoun, Jr. Each of these persons is independent within the meaning of the Form N-CSR.
Item 4: | Principal Accountant Fees and Services. |
In response to sections (a), (b), (c) and (d) of Item 4, the aggregate fees billed to the Registrant for the fiscal years ended July 31, 2015 and 2014 by the Registrant’s principal accounting firm, Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu and their respective affiliates (collectively, “Deloitte”) were as follows:
| Fiscal year ended: |
| 2015 | 2014 |
Audit Fees {a} | $77,200 | $75,400 |
Audit-Related Fees | - 0 - | - 0 - |
Total audit and audit-related fees | $77,200 | $75,400 |
| | |
Tax Fees {b} | 15,371 | 14,758 |
All Other Fees | - 0 - | - 0 - |
| | |
Total Fees | $92,571 | $90,158 |
| | |
________
{a} Consists of fees for audits of the Registrant’s annual financial statements.
{b} Fees for the fiscal year ended July 31, 2015 and 2014 consist of fees for preparing the U.S. Income Tax Return for Regulated Investment Companies, New Jersey Corporation Business Tax Return, New Jersey Annual Report Form, U.S. Return of Excise Tax on Undistributed Income of Investment Companies, IRS Forms 1099-MISC and 1096 Annual Summary and Transmittal of U.S. Information Returns.
(e) (1) Pursuant to Rule 2-01(c) (7) of Regulation S-X, the Registrant’s Audit Committee has adopted pre-approval policies and procedures. Such policies and procedures generally provide that the Audit Committee must pre-approve:
| · | any audit, audit-related, tax, and other services to be provided to the Lord Abbett Funds, including the Registrant, and |
| · | any audit-related, tax, and other services to be provided to the Registrant’s investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to one or more Funds comprising the Registrant if the engagement relates directly to operations and financial reporting of a Fund, by the independent auditor to assure that the provision of such services does not impair the auditor’s independence. |
The Audit Committee has delegated pre-approval authority to its Chairman, subject to a fee limit of $10,000 per event, and not to exceed $25,000 annually. The Chairman will report any pre-approval decisions to the Audit Committee at its next scheduled meeting. Unless a type of service to be provided by the independent auditor has received general pre-approval, it must be pre-approved by the Audit Committee. Any proposed services exceeding pre-approved cost levels will require specific pre-approval by the Audit Committee.
(e) (2) The Registrant’s Audit Committee has approved 100% of the services described in this Item 4 (b) through (d).
(f) Not applicable.
(g) The aggregate non-audit fees billed by Deloitte for services rendered to the Registrant are shown above in the response to Item 4 (a), (b), (c) and (d) as “All Other Fees”.
The aggregate non-audit fees billed by Deloitte for services rendered to the Registrant’s investment adviser, Lord, Abbett & Co. LLC (“Lord Abbett”), for the fiscal years ended
July 31, 2015 and 2014 were:
| Fiscal year ended: |
| 2015 | 2014 |
All Other Fees {a} | $185,031 | $185,734 |
| | |
________
{a} Consist of fees for Independent Services Auditors’ Report on Controls Placed in Operation and Tests of Operating Effectiveness related to Lord Abbett’s Asset Management Services (“SOC-1 Report”).
The aggregate non-audit fees billed by Deloitte for services rendered to entities under the common control of Lord Abbett for the fiscal years ended July 31, 2015 and 2014 were:
| Fiscal year ended: |
| 2015 | 2014 |
All Other Fees | $ - 0 - | $ - 0- |
| | |
________
(h) The Registrant’s Audit Committee has considered the provision of non-audit services that were rendered to the Registrant’s 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 Rule 2-01 (c)(7)(ii) of Regulation S-X and has determined that the provision of such services is compatible with maintaining Deloitte’s independence.
Item 5: | Audit Committee of Listed Registrants. |
Not applicable.
Not applicable.
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.
Item 10: | Submission of Matters to a Vote of Security Holders. |
Not applicable.
Item 11: | Controls and Procedures. |
| (a) | Based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a |
| | date within 90 days prior to the filing date of this report, the Chief Executive Officer and Chief Financial Officer of the Registrant have concluded that such disclosure controls and procedures are reasonably designed and effective to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to them by others within those entities. |
| (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
| (a)(1) | The Lord Abbett Family of Funds Sarbanes Oxley Code of Ethics for the Principal Executive Officer and Senior Financial Officers is attached hereto as part of Ex-99. CODEETH. |
| | |
| (a)(2) | Certification of each Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2 under the Investment Company Act of 1940 is attached hereto as a part of EX-99.CERT. |
| (b) | Certification of each Principal Executive Officer and Principal Financial Officer of the Registrant as required by Section 906 of the Sarbanes-Oxley Act of 2002 is provided as a part of EX-99.906CERT. |
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.
| LORD ABBETT EQUITY TRUST | |
| | | |
| By: | /s/Daria L. Foster | |
| | Daria L. Foster | |
| | President and Chief Executive Officer | |
Date: September 25, 2015
| By: | /s/Joan A. Binstock | |
| | Joan A. Binstock | |
| | Chief Financial Officer and Vice President | |
Date: September 25, 2015
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: | /s/Daria L. Foster | |
| | Daria L. Foster | |
| | President and Chief Executive Officer | |
Date: September 25, 2015
| By: | /s/Joan A. Binstock | |
| | Joan A. Binstock | |
| | Chief Financial Officer and Vice President | |
Date: September 25, 2015