SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
(Exact name of registrant as specified in charter)
(Address of principal executive offices) (Zip code)
(Name and address of agent for service)
(a) |
Fulcrum Diversified Absolute Return Fund
INSTITUTIONAL CLASS (FARIX)
SUPER INSTITUTIONAL CLASS (FARYX)
ANNUAL REPORT TO SHAREHOLDERS
JUNE 30, 2021
TABLE OF CONTENTS
DISCUSSION OF FUND PERFORMANCE
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND
Market conditions/environment July 1st 2020 to June 30th 2021
It was a strong 12-month period for risk assets as solid economic activity, stimulative economic policies and the broadening rollout of a vaccine allowed for benign market outcomes, with equities returning +37.3%1 and commodities returning +45.5%2. The path for bonds was nowhere near as smooth and they finished close to flat (+0.1%)3 over the 12-month period as investors reassessed the appropriate level for bond yields with stronger growth and inflationary pressures.
Breaking down the period further, the second half of 2020 saw a continuation of the strong economic recovery as the Covid virus was brought under control, lockdowns were eased and the economies tentatively re-opened. Optimism remained fragile, however, with the acceleration of new coronavirus cases and associated localised lockdowns in certain parts of the world. While Fiscal authorities in Europe announced the formation of the European Recovery Fund, US fiscal discussions stalled. However, Central banks remained highly accommodative globally and the Chairman of the US Federal Reserve introduced and clarified the Central Bank’s much anticipated framework on inflation. More specifically, an explicit willingness to tolerate inflation overshoots to compensate for previous undershoots was signalled, so that average inflation would be at the 2% target, as well as the Fed’s formal acknowledgement of the dominance of labour market conditions over inflation, which was a surprise. The markets interpreted this as implying that rates would stay close to zero for a long time.
The key moment for the global economy and markets came in November with two key events: leading vaccine candidates announced positive trials and political uncertainty dissipated in the US. Amidst this positive backdrop and the Federal Reserve’s accommodative measures, equities had one of the strongest Novembers on record and finished the second half of the year up +20.2%1. Sectors and regions that had suffered most during the pandemic set record breaking performance in November, with value and cyclical sectors performing particularly strongly, such as banks, insurance, automobiles and energy as investors believed growth could extend into these areas. In contrast, companies that had benefited most from lockdowns, for example in the technology sector, underperformed. Nominal government bond yields - which had been exceptionally stable in Q3-20 - begun to climb higher in Q4-20 and for the most part failed to keep pace with rising market-based inflation expectations, pushing US real bond yields (nominal yields less inflation expectations) further into negative territory and the lowest level since Treasury Inflation Protected Securities were first issued in 1997. This backdrop, combined with the shift of spending from services to goods and an ever-increasing focus on climate change, was highly supportive of the commodity complex (especially metals and energies) which were up +11.3%2 during the quarter, while the US dollar continued to depreciate against most major currencies.
On the surface at least, it was a positive start to 2021 with pro-cyclical assets reflecting a strong economic recovery, better-than-expected vaccine roll-out and supportive monetary and fiscal policy providing a positive tailwind to risk markets. Global equity markets finished the first quarter at close to their all-time highs while credit spreads tightened markedly. Meanwhile, government bond yields increased sharply in the latter half of the 1st quarter, triggering a continued outperformance of value stocks relative to growth stocks which we saw in the fourth quarter. However, the first quarter of 2021 also saw government bonds repricing to reflect a more optimistic growth and reflationary outlook. Elsewhere, oil and other commodities performed well, despite a period of US dollar strength.
Risk assets finished the first half of 2021 on a positive footing, supported by a continued global reopening as vaccinations continued apace especially in developed countries, with the S&P 500 and Nasdaq making new all-time highs. Meanwhile, long-term US bond yields halted their ascent, finishing lower and short-term US bond yields were higher on the quarter as markets interpreted the Fed’s “dots” projections in June as hawkish, after the Core CPI4 hit what was nigh on a 30-year high.
Fund Performance for the fiscal year ended June 30th 2021
Fulcrum Diversified Absolute Return Institutional Class shares returned +10.6% over the period, net of fees.
The flexibility to implement investment ideas across a broad range of assets and our focus on being able to generate returns via complementary ways that are not overly dependent on positive returns from traditional asset classes served the fund well through this period. In particular, the first quarter of 2021 was a timely reminder, as government bonds yields once perceived to be “safe”, repriced to reflect the improving economic backdrop, with yields rising sharply.
The Fund’s strong performance was broadly distributed across strategies and asset classes, with only hedging acting as a small drag on performance, which would be expected in a strong period for equities.
Directional Strategies were the largest overall contributor and in particular returns were generated from exposures to US and European equities. Within Relative Value the largest gains were from positioning within currencies, commodities, and our volatility strategies. Our equity thematic strategy was marginally down over the period given the previously mentioned rotation from growth to value names served as a headwind. Diversifying Strategies captured a broad set of returns across a wide range of assets.
Overall, the macroeconomic landscape remains fluid and data-driven as the world continues to emerge from the Covid shock and policy makers adjust policy accordingly. Our focus on diversification remains high, with investment ideas diversified by asset class, time horizon and strategy. This broad and flexible approach is one that enables us to seek to deliver returns in the broadest range of market environments.
1 MSCI World Index Hedged Daily measures the equity market performance of developed markets (Source: MSCI)
2 Commodity Research Bureau BLS/US Spot Raw Industrials Index measures price movements in 22 basic commodities whose markets are believed to be sensitive to changes in economic conditions. (Source: CRB)
3Barclays Global Aggregate Bond Index (USD Hedged): The Barclays Global Aggregate Index is a flagship measure of global investment grade debt from twenty-four local currency markets. This multi-currency benchmark includes treasury, government-related, corporate and securitized fixed-rate bonds from both developed and emerging markets issuers. (Source: Barclays)
4 CPI, also known as Consumer Price Index, measures changes in the price level of a weighted average market basket of consumer goods purchased by households. It measures inflation. Core CPI measures the change in the costs of goods and services but does not include those from the food and energy sectors.
It is not possible to invest directly in an index.
Opinions expressed are those of Fulcrum Asset Management LLP and are subject to change, are not guaranteed and should not be considered investment advice.
Past performance does not guarantee future results. Investment performance reflects fee waivers in effect. In the absence of such waivers, total return would be reduced.
Mutual fund investing involves risk. Principal loss is possible. Absolute return strategies are not designed to outperform stocks and bonds during strong market rallies. Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or sectors affecting a particular industry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatory developments. Derivatives involve special risks including correlation, counterparty, liquidity, operational, accounting and tax risks. These risks, in certain cases, may be greater than the risks presented by more traditional investments. The Fund may use leverage which may exaggerate the effect of any increase or decrease in the value of portfolio securities or the Net Asset Value of the fund, and money borrowed will be subject to interest costs. The Fund invests in foreign securities which involve greater volatility and political, economic and currency risks and differences in accounting methods. These risks are greater in emerging markets. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investment by the Fund in lower-rated and non-rated securities presents a greater risk of loss to principal and interest than higher-rated securities.
The Fulcrum Diversified Absolute Return Fund is distributed by Quasar Distributors, LLC.
Fulcrum Diversified Absolute Return Fund |
Performance Summary (Unaudited) |
June 30, 2021 |
Comparison of a Hypothetical $1,000,000 Investment in
the Fulcrum Diversified Absolute Return Fund - Institutional Class
and Barclays 3-month USD LIBOR Cash Index
Investment Returns
For the periods ended June 30, 2021
One Year | 3 Year* | 5 Year * | Since Inception* | |
Fulcrum Diversified Absolute Return Fund | ||||
Institutional Class ** | 10.58% | 6.66% | 5.00% | 3.43% |
Super Institutional Class ** | 10.60% | 6.75% | 5.06% | 3.47% |
Barclays 3-month USD LIBOR Cash Index *** | 0.37% | 1.84% | 1.75% | 1.59% |
* Average annualized returns.
** Inception date on July 31, 2015.
*** The Barclays 3 month USD Libor Cash Index reflects the return of an assumed investment at the daily 3 month USD Libor rate.
As of the prospectus dated October 31, 2020, the gross and annual fund operating expense ratio for the Institutional Share Class is 1.19% and for the Super-Institutional Class is 1.16%.
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-855-538-5278 visiting the Fund’s website at https://www.fulcrumassetfunds.com.
Fulcrum Diversified Absolute Return Fund |
Expense Example (Unaudited) |
June 30, 2021 |
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2021 to June 30, 2021 (the “period”).
Actual Expenses
The first line of the table below 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 you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 equals 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The information in the table under the heading “Hypothetical Performance (5% return before expenses)” 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 the 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.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as redemption fees. Therefore, the information under the heading “Hypothetical Performance (5% Return Before Expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Expenses Paid During the Period
Beginning Account Value | Ending Account Value | Annualized Expense Ratio | Expenses Paid During the Period (1) | |
Institutional Class | ||||
Actual Fund Return | $1,000.00 | $1,063.80 | 1.12% | $5.71 |
Hypothetical 5% Return | $1,000.00 | $1,019.24 | 1.12% | $5.61 |
Super Institutional Class | ||||
Actual Fund Return | $1,000.00 | $1,063.60 | 1.12% | $5.74 |
Hypothetical 5% Return | $1,000.00 | $1,019.24 | 1.12% | $5.61 |
(1) | Expenses are equal to the Fund’s annualized expense ratio as indicated, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the “period”). |
Fulcrum Diversified Absolute Return Fund |
Consolidated Allocation of Portfolio Holdings (Unaudited) |
By Market Exposure of Cash settled instruments, Futures, and Options |
June 30, 2021 |
* | Diversifying Strategies – are comprised of systematically implemented exposure using futures to various asset classes which are included for diversification purposes and could include equities, fixed income, currencies and commodities. |
Fulcrum Diversified Absolute Return Fund |
Consolidated Allocation of Portfolio Holdings (Unaudited) |
By Risk Contribution |
June 30, 2021 |
Individual Risk1 Exposure by Strategy
Directional | 5.1% |
Macro Equities - North America | 2.6 |
Climate Change | 1.0 |
Macro Equities - Europe ex-UK | 0.5 |
Real Assets | 0.4 |
Macro Equities - Japan | 0.3 |
Macro Equities - United Kingdom | 0.2 |
Macro Equities - Asia ex-Japan | 0.1 |
Fixed Income | 2.9% |
U.S. Rates | 1.7 |
European Rates | 0.5 |
U.K. Rates | 0.4 |
Chinese Rates | 0.1 |
Asian Rates | 0.1 |
Japanese Rates | 0.1 |
Currencies | 5.5% |
Japanese Yen | 1.5 |
Scandinavian Currencies | 0.8 |
Asian Currencies | 0.7 |
Euro | 0.5 |
Australian Dollar | 0.5 |
Swiss Franc | 0.4 |
CEEMEA Currencies | 0.3 |
Chinese Renminbi (Yuan) | 0.3 |
UK Pound | 0.3 |
LATAM Currencies | 0.2 |
Thematic Equities | 2.4% |
Technology Disruption | 0.9 |
Cyclicals | 0.5 |
Consumer Trends | 0.3 |
Climate Change | 0.2 |
Global Energy Sector | 0.2 |
Idiosyncratic | 0.2 |
Defensive | 0.1 |
Cross Asset | 0.9% |
Data Surprises | 0.5 |
Slowdown | 0.3 |
Inflation | 0.1 |
Commodities | 3.3% |
Long-dated Oil | 1.1 |
Carbon Emissions | 1.0 |
Global Commodities | 0.8 |
Precious Metals | 0.3 |
Copper | 0.1 |
Volatility Strategies | 1.1% |
VRP | 0.4 |
Tactical Dividends | 0.2 |
Volatility Carry | 0.2 |
Vix Put | 0.2 |
Global Dispersion | 0.1 |
Diversifying Strategies | 0.9% |
Diversifying Strategies | 0.9 |
Macro Equities | 0.9% |
FTSE vs Nasdaq | 0.4 |
Cyclical vs Long Duration Equities | 0.3 |
Chinese Equities | 0.2 |
Sum of Individual Volatility Risk | 23.1%2 |
1 | Individual risk by asset class - is calculated by the current category weight in the portfolio multiplied by the standard deviation of portfolio holdings in that category. Data used is as of June 30, 2021. Standalone risk is measured for each category independently of other categories and does not take into account their potential offsetting effect. Therefore, the sum of standalone risk for all categories will exceed the risk of the entire portfolio. Standalone risk indicates to the investor the risk of holding a category by itself. |
2 | Individual Risk percentages may not total to Sum of Individual Volatility Risk due to rounding. |
Fulcrum Diversified Absolute Return Fund |
Consolidated Schedule of Investments |
June 30, 2021 |
COMMON STOCKS - 4.8% | Shares | Value | ||||||
Aerospace/Defense - 0.0% | ||||||||
Dassault Aviation SA (1) | 2 | $ | 2,353 | |||||
MTU Aero Engines AG (1) | 11 | 2,725 | ||||||
Saab AB (1) | 60 | 1,592 | ||||||
6,670 | ||||||||
Apparel - 0.1% | ||||||||
adidas AG (1) | 79 | 29,404 | ||||||
Asics Corp. (1) | 197 | 4,986 | ||||||
Hermes International (1) | 28 | 40,787 | ||||||
PRADA SpA (1) | 466 | 3,538 | ||||||
PVH Corp. (2) | 88 | 9,468 | ||||||
NIKE, Inc. | 328 | 50,673 | ||||||
138,856 | ||||||||
Auto Manufacturers - 0.2% | ||||||||
PACCAR, Inc. | 130 | 11,602 | ||||||
Tesla, Inc. (2) | 196 | 133,221 | ||||||
Toyota Motor Corp. (1) | 779 | 68,087 | ||||||
212,910 | ||||||||
Auto Parts & Equipment - 0.0% | ||||||||
Aptiv Plc - ADR (2) | 67 | 10,541 | ||||||
NGK Spark Plug Co Ltd. (1) | 400 | 5,926 | ||||||
16,467 | ||||||||
Banks - 0.4% | ||||||||
Bank of America Corp. | 1,318 | 54,341 | ||||||
Citigroup, Inc. | 319 | 22,569 | ||||||
Comerica, Inc. | 156 | 11,129 | ||||||
DNB ASA (1) | 794 | 17,300 | ||||||
Fifth Third Bancorp | 110 | 4,205 | ||||||
Goldman Sachs Group, Inc./The | 54 | 20,495 | ||||||
Huntington Bancshares, Inc./OH | 1,147 | 16,368 | ||||||
JPMorgan Chase & Co. | 465 | 72,326 | ||||||
KeyCorp | 144 | 2,974 | ||||||
Macquarie Group Ltd. (1) | 888 | 104,176 | ||||||
Morgan Stanley | 286 | 26,223 | ||||||
PNC Financial Services Group, Inc./The | 66 | 12,590 | ||||||
Royal Bank of Canada (1) | 212 | 21,479 | ||||||
Toronto-Dominion Bank/The (1) | 274 | 19,202 | ||||||
US Bancorp | 229 | 13,046 | ||||||
Wells Fargo & Co. | 637 | 28,850 | ||||||
447,273 | ||||||||
Beverages - 0.0% | ||||||||
Remy Cointreau SA (1) | 159 | 32,824 | ||||||
Building Materials - 0.1% | ||||||||
Holcim Ltd. (1) | 84 | 5,039 | ||||||
Masco Corp. | 396 | 23,328 | ||||||
Owens Corning | 162 | 15,860 | ||||||
Vulcan Materials Co. | 170 | 29,592 | ||||||
73,819 | ||||||||
Chemicals - 0.1% | ||||||||
Albemarle Corp. | 140 | 23,584 | ||||||
Arkema SA (1) | 9 | 1,129 | ||||||
Brenntag SE (1) | 26 | 2,418 | ||||||
Chr. Hansen Holding A/S (1) | 15 | 1,354 | ||||||
Clariant AG (1) | 34 | 676 | ||||||
Croda International (1) | 13 | 1,325 | ||||||
DuPont de Nemours, Inc. | 638 | 49,388 | ||||||
FMC Corp. | 81 | 8,764 | ||||||
Givaudan SA (1) | 1 | 4,651 | ||||||
Koninklijke DSM NV (1) | 27 | 5,039 | ||||||
98,328 |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund |
Consolidated Schedule of Investments |
June 30, 2021 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Commercial Services - 0.1% | ||||||||
Ashtead Group Plc (1) | 170 | $ | 12,614 | |||||
Automatic Data Processing, Inc. | 123 | 24,430 | ||||||
Edenred (1) | 47 | 2,678 | ||||||
Experian Plc (1) | 298 | 11,485 | ||||||
IHS Markit Ltd. - ADR | 129 | 14,533 | ||||||
Moody's Corp. | 31 | 11,233 | ||||||
QinetiQ Group Plc (1) | 271 | 1,288 | ||||||
RELX Plc (1) | 547 | 14,520 | ||||||
S&P Global, Inc. | 39 | 16,008 | ||||||
Savills Plc (1) | 54 | 859 | ||||||
Square, Inc. (2) | 94 | 22,917 | ||||||
Verisk Analytics, Inc. | 65 | 11,357 | ||||||
143,922 | ||||||||
Computers - 0.1% | ||||||||
Alten SA (1) | 255 | 33,804 | ||||||
Amdocs Ltd. - ADR | 577 | 44,637 | ||||||
Jenoptik AG (1) | 328 | 8,969 | ||||||
87,410 | ||||||||
Cosmetics/Personal Care - 0.2% | ||||||||
Estee Lauder Cos., Inc./The | 413 | 131,367 | ||||||
Unicharm Corp. (1) | 1,018 | 40,960 | ||||||
172,327 | ||||||||
Diversified Financial Services - 0.2% | ||||||||
Capital One Financial Corp. | 70 | 10,828 | ||||||
London Stock Exchange Group Plc (1) | 283 | 31,201 | ||||||
Mastercard, Inc. | 244 | 89,082 | ||||||
Nasdaq, Inc. | 26 | 4,571 | ||||||
Visa, Inc. | 510 | 119,248 | ||||||
Vontobel Holding AG (1) | 119 | 9,273 | ||||||
264,203 | ||||||||
Electric - 0.1% | ||||||||
Albioma SA (1) | 14 | 573 | ||||||
Alliant Energy Corp. | 106 | 5,911 | ||||||
Ameren Corp. | 98 | 7,844 | ||||||
American Electric Power Co, Inc. | 190 | 16,072 | ||||||
EDP Renovaveis SA (1) | 55 | 1,274 | ||||||
Enel SpA (1) | 699 | 6,491 | ||||||
Eversource Energy | 131 | 10,511 | ||||||
Iberdrola SA (1) | 441 | 5,376 | ||||||
RWE AG (1) | 43 | 1,558 | ||||||
Sempra Energy | 110 | 14,573 | ||||||
Verbund AG (1) | 24 | 2,210 | ||||||
Xcel Energy, Inc. | 206 | 13,571 | ||||||
85,964 | ||||||||
Electronics - 0.2% | ||||||||
Honeywell International, Inc. | 264 | 57,908 | ||||||
Hoya Corp. (1) | 615 | 81,542 | ||||||
Omron Corp. (1) | 175 | 13,878 | ||||||
Renishaw Plc (1) | 90 | 6,133 | ||||||
Trimble, Inc. (2) | 57 | 4,664 | ||||||
164,125 | ||||||||
Energy-Alternative Sources - 0.0% | ||||||||
Ence Energia y Celulosa, S.A. (1)(2) | 75 | 305 | ||||||
ERG SpA (1) | 65 | 1,927 | ||||||
Falck Renewables SpA (1) | 125 | 824 | ||||||
Nordex SE (1)(2) | 54 | 1,311 | ||||||
Solaria Energia y Medio Ambiente SA (1)(2) | 52 | 940 | ||||||
5,307 |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund |
Consolidated Schedule of Investments |
June 30, 2021 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Environmental Control - 0.0% | ||||||||
Fluidra SA (1) | 32 | $ | 1,269 | |||||
Republic Services, Inc. | 114 | 12,541 | ||||||
13,810 | ||||||||
Food - 0.2% | ||||||||
Austevoll Seafood ASA (1) | 1,257 | 15,592 | ||||||
Glanbia Plc (1) | 1,865 | 30,341 | ||||||
JBS SA (1) | 6,760 | 39,673 | ||||||
Kikkoman Corp. (1) | 153 | 10,095 | ||||||
Marfrig Global Foods SA (1) | 2,306 | 8,883 | ||||||
SunOpta, Inc. (1)(2) | 3,110 | 38,059 | ||||||
Tyson Foods, Inc. | 432 | 31,864 | ||||||
174,507 | ||||||||
Forest Products & Paper - 0.0% | ||||||||
BillerudKorsnas AB (1) | 64 | 1,270 | ||||||
Mondi Plc (1) | 56 | 1,473 | ||||||
Suzano SA (1)(2) | 3,351 | 40,356 | ||||||
Svenska Cellulosa AB SCA (1) | 78 | 1,278 | ||||||
UPM-Kymmene Oyj (1) | 69 | 2,610 | ||||||
46,987 | ||||||||
Healthcare Products - 0.1% | ||||||||
Boston Scientific Corp. (2) | 437 | 18,686 | ||||||
Cochlear Ltd. (1) | 93 | 17,553 | ||||||
Koninklijke Philips NV (1) | 952 | 47,174 | ||||||
Siemens Healthineers AG (1) | 1,142 | 69,981 | ||||||
153,394 | ||||||||
Healthcare Services - 0.2% | ||||||||
Anthem, Inc. | 77 | 29,399 | ||||||
Humana, Inc. | 41 | 18,151 | ||||||
IQVIA Holdings, Inc. (2) | 58 | 14,055 | ||||||
UnitedHealth Group, Inc. | 293 | 117,329 | ||||||
178,934 | ||||||||
Home Builders - 0.1% | ||||||||
Barratt Developments Plc (1) | 315 | 3,029 | ||||||
Berkeley Group Holdings Plc (1) | 37 | 2,352 | ||||||
DR Horton, Inc. | 73 | 6,597 | ||||||
KB Home | 1,389 | 56,560 | ||||||
LENNAR Corp. | 64 | 6,359 | ||||||
NVR, Inc. (2) | 4 | 19,893 | ||||||
Persimmon Plc (1) | 96 | 3,928 | ||||||
PulteGroup, Inc. | 307 | 16,753 | ||||||
Redrow Plc (1) | 1,162 | 9,834 | ||||||
Taylor Wimpey PLC (1) | 1,132 | 2,489 | ||||||
127,794 | ||||||||
Home Furnishings - 0.0% | ||||||||
Howden Joinery Group Plc (1) | 111 | 1,254 | ||||||
Household Products/Wares - 0.0% | ||||||||
Clorox Co./The | 145 | 26,087 | ||||||
Insurance - 0.2% | ||||||||
Admiral Group Plc (1) | 73 | 3,175 | ||||||
Aflac, Inc. | 106 | 5,688 | ||||||
Allstate Corp/The | 47 | 6,131 | ||||||
American International Group, Inc. | 160 | 7,616 | ||||||
ASR Nederland NV (1) | 36 | 1,391 | ||||||
AXA SA (1) | 1,359 | 34,460 | ||||||
Cattolica Assicurazioni SPA (1)(2) | 488 | 4,053 | ||||||
CNP Assurances (1) | 212 | 3,607 |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund |
Consolidated Schedule of Investments |
June 30, 2021 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Insurance (Continued) | ||||||||
Coface SA (1) | 326 | $ | 3,951 | |||||
Direct Line Insurance Group Plc (1) | 340 | 1,340 | ||||||
Fidelity National Financial, Inc. | 335 | 14,559 | ||||||
Hartford Financial Services Group Inc/The | 76 | 4,710 | ||||||
Lincoln National Corp. | 281 | 17,658 | ||||||
Loews Corp. | 301 | 16,450 | ||||||
Marsh & McLennan Cos, Inc. | 82 | 11,536 | ||||||
NN Group NV (1) | 98 | 4,623 | ||||||
Phoenix Group Holdings Plc (1) | 246 | 2,302 | ||||||
Prudential Financial, Inc. | 69 | 7,070 | ||||||
Sampo Oyj (1) | 313 | 14,385 | ||||||
SCOR SE (1) | 53 | 1,685 | ||||||
Sun Life Financial, Inc. (1) | 87 | 4,486 | ||||||
Travelers Cos Inc/The | 42 | 6,288 | ||||||
UNIQA Insurance Group AG (1) | 649 | 5,649 | ||||||
Voya Financial, Inc. | 153 | 9,410 | ||||||
192,223 | ||||||||
Internet - 0.4% | ||||||||
Alphabet, Inc. (2) | 75 | 183,134 | ||||||
ASOS Plc (1)(2) | 28 | 1,921 | ||||||
CyberAgent, Inc. (1) | 1,211 | 25,998 | ||||||
eBay, Inc. | 140 | 9,829 | ||||||
Facebook, Inc. (2) | 348 | 121,003 | ||||||
Future Plc (1) | 1,088 | 47,138 | ||||||
Moneysupermarket.com Group Plc (1) | 1,684 | 5,977 | ||||||
Rightmove Plc (1) | 2,100 | 18,865 | ||||||
413,865 | ||||||||
Iron/Steel - 0.0% | ||||||||
APERAM SA (1) | 23 | 1,178 | ||||||
Nucor Corp. | 350 | 33,575 | ||||||
Outokumpu Oyj (1)(2) | 122 | 731 | ||||||
SSAB AB (1)(2) | 276 | 1,351 | ||||||
36,835 | ||||||||
Investment Company - 0.1% | ||||||||
Aker ASA (1) | 19 | 1,401 | ||||||
Machinery - 0.0% | ||||||||
Daifuku Co Ltd. (1) | 54 | 4,905 | ||||||
Husqvarna AB (1) | 133 | 1,767 | ||||||
GEA Group AG (1) | 42 | 1,701 | ||||||
Konecranes Oyj (1) | 47 | 1,980 | ||||||
Valmet Oyj (1) | 28 | 1,221 | ||||||
Yaskawa Electric Corp. (1) | 226 | 11,046 | ||||||
22,620 | ||||||||
Media - 0.0% | ||||||||
Schibsted ASA (1) | 525 | 25,341 | ||||||
Thomson Reuters Corp. (1) | 171 | 16,986 | ||||||
42,327 | ||||||||
Mining - 0.1% | ||||||||
Alcoa Corp. (2) | 722 | 26,598 | ||||||
Alumina Ltd. (1) | 29,538 | 36,440 | ||||||
Rio Tinto Plc (1) | 225 | 18,516 | ||||||
81,554 | ||||||||
Miscellaneous Manufacturing - 0.0% | ||||||||
Vestas Wind Systems (1) | 290 | 11,320 |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund |
Consolidated Schedule of Investments |
June 30, 2021 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Oil & Gas - 0.2% | ||||||||
Aker BP ASA (1) | 999 | $ | 31,837 | |||||
Atmos Energy Corp. | 55 | 5,286 | ||||||
Halliburton Co. | 3,814 | 88,180 | ||||||
Murphy Oil Corp. | 481 | 11,198 | ||||||
Oil Search Ltd. (1) | 7,182 | 20,521 | ||||||
PrairieSky Royalty Ltd. (1) | 699 | 8,464 | ||||||
165,486 | ||||||||
Packaging & Containers - 0.0% | ||||||||
AptarGroup, Inc. | 45 | 6,338 | ||||||
Metsa Board Oyj (1) | 109 | 1,121 | ||||||
Westrock Co. | 183 | 9,739 | ||||||
17,198 | ||||||||
Pharmaceuticals - 0.2% | ||||||||
Becton Dickinson and Co. | 90 | 21,887 | ||||||
Bristol-Myers Squibb Co. | 695 | 46,440 | ||||||
Cigna Corp. | 108 | 25,604 | ||||||
Merck & Co, Inc. | 788 | 61,283 | ||||||
Organon & Co. (2) | 69 | 2,088 | ||||||
Zoetis, Inc. | 148 | 27,581 | ||||||
184,883 | ||||||||
Real Estate Services - 0.1% | ||||||||
CBRE Group, Inc. (2) | 120 | 10,288 | ||||||
China Overseas Land & Investment Ltd. (1) | 1,664 | 3,780 | ||||||
China Resources Land Ltd. (1) | 1,109 | 4,492 | ||||||
Hufvudstaden AB (1) | 98 | 1,666 | ||||||
REA Group Ltd. (1) | 307 | 38,917 | ||||||
Vonovia SE (1) | 285 | 18,424 | ||||||
Wihlborgs Fastigheter AB (1) | 70 | 1,519 | ||||||
Yuexiu Property Co Ltd. (1) | 1,912 | 2,014 | ||||||
Yuexiu Services Group Ltd. (1)(2) | 22 | 16 | ||||||
81,116 | ||||||||
REIT - 0.1% | ||||||||
AvalonBay Communities, Inc. | 48 | 10,017 | ||||||
Equity Residential | 128 | 9,856 | ||||||
Invitation Homes, Inc. | 191 | 7,122 | ||||||
Mirvac Group (1) | 4,822 | 10,559 | ||||||
Nippon Prologis REIT, Inc. (1) | 3 | 9,546 | ||||||
Prologis, Inc. | 250 | 29,883 | ||||||
Segro Plc (1) | 214 | 3,240 | ||||||
Sun Communities, Inc. | 99 | 16,969 | ||||||
UNITE Group PLC/The (1) | 76 | 1,129 | ||||||
Weyerhaeuser Co. | 285 | 9,810 | ||||||
108,131 | ||||||||
Retail - 0.1% | ||||||||
Home Depot, Inc./The | 218 | 69,518 | ||||||
Grafton Group Plc (1) | 146 | 2,316 | ||||||
Lowe's Cos, Inc. | 146 | 28,320 | ||||||
Moncler SpA (1) | 61 | 4,127 | ||||||
TJX Cos, Inc./The | 262 | 17,664 | ||||||
Zalando SE (1)(2) | 101 | 12,210 | ||||||
134,155 |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund |
Consolidated Schedule of Investments |
June 30, 2021 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Semiconductors - 0.5% | ||||||||
Advanced Micro Devices, Inc. (2) | 280 | $ | 26,300 | |||||
Analog Devices, Inc. | 84 | 14,461 | ||||||
Applied Materials, Inc. | 209 | 29,762 | ||||||
ASM International NV (1) | 53 | 17,408 | ||||||
BE Semiconductor Industries NV (1) | 84 | 7,125 | ||||||
Infineon Technologies AG (1) | 3,429 | 137,510 | ||||||
Maxim Integrated Products, Inc. | 60 | 6,322 | ||||||
Micron Technology, Inc. (2) | 254 | 21,585 | ||||||
NVIDIA Corp. | 142 | 113,614 | ||||||
SUMCO Corp. (1) | 193 | 4,734 | ||||||
Tokyo Electron Ltd. (1) | 258 | 111,658 | ||||||
Texas Instruments, Inc. | 209 | 40,191 | ||||||
530,670 | ||||||||
Software - 0.1% | ||||||||
Broadridge Financial Solutions, Inc. | 511 | 82,542 | ||||||
Workday, Inc. (2) | 61 | 14,563 | ||||||
97,105 | ||||||||
Telecommunications - 0.1% | ||||||||
Viavi Solutions, Inc. (2) | 7,738 | 136,653 | ||||||
Textiles - 0.0% | ||||||||
Mohawk Industries, Inc. (2) | 82 | 15,760 | ||||||
Transportation - 0.3% | ||||||||
Canadian Pacific Railway Ltd. (1) | 252 | 19,378 | ||||||
CH Robinson Worldwide, Inc. | 207 | 19,390 | ||||||
Clarkson Plc (1) | 20 | 882 | ||||||
CSX Corp. | 858 | 27,525 | ||||||
Expeditors International of Washington, Inc. | 63 | 7,976 | ||||||
FedEx Corp. | 100 | 29,833 | ||||||
Hapag-Lloyd AG (1) | 51 | 11,738 | ||||||
Kansas City Southern | 34 | 9,634 | ||||||
Mitsui OSK Lines Ltd. (1) | 251 | 12,065 | ||||||
United Parcel Service, Inc. | 328 | 68,214 | ||||||
ZIM Integrated Shipping Services Ltd - ADR (2) | 2,605 | 117,043 | ||||||
323,678 | ||||||||
Water - 0.0% | ||||||||
American Water Works Co, Inc. | 72 | 11,097 | ||||||
Essential Utilities, Inc. | 109 | 4,981 | ||||||
16,078 | ||||||||
Wholesale Distribution - 0.0% | ||||||||
Itochu Corp. (1) | 1,628 | 46,893 | ||||||
Toyota Tsusho Corp. (1) | 136 | 6,427 | ||||||
53,320 | ||||||||
TOTAL COMMON STOCKS (Cost $4,973,515) | 5,339,550 | |||||||
PREFERRED STOCKS - 0.00% | ||||||||
Machinery - 0.00% | ||||||||
Jungheinrich AG (1) | ||||||||
0.00% | 49 | 2,395 | ||||||
TOTAL PREFERRED STOCKS (Cost $2,430) | 2,395 |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund |
Consolidated Schedule of Investments |
June 30, 2021 |
PURCHASED OPTIONS AND WARRANTS - 3.4% | Contracts | Notional | Value | |||||||||||
Call Option Purchased - 1.0% | ||||||||||||||
Crude Oil Dec 21 Futures at $70, October 26, 2021 (3) | 139 | 10,059,430 | USD | $ | 874,310 | |||||||||
Crude Oil Dec 21 Futures at $80, October 26, 2021 (3) | 91 | 6,585,670 | USD | 185,640 | ||||||||||
Crude Oil Dec 21 Futures at $90, October 26, 2021 (3) | 20 | 1,447,400 | USD | 12,400 | ||||||||||
Crude Oil Dec 21 Futures at $100, October 26, 2021 (3) | 20 | 1,447,400 | USD | 4,800 | ||||||||||
Total Call Option Purchased (Premiums Paid $349,652) | 1,077,150 | |||||||||||||
Put Option Purchased - 0.3% | �� | |||||||||||||
CBOE Volatility Index (VIX) at $18, July 21, 2021 | 311 | 492,313 | USD | 55,980 | ||||||||||
CBOE Volatility Index (VIX) at $19, July 21, 2021 | 451 | 713,933 | USD | 115,005 | ||||||||||
CBOE Volatility Index (VIX) at $20, July 21, 2021 | 389 | 615,787 | USD | 130,315 | ||||||||||
Euro-Bund Aug 21 Futures at 171, July 23, 2021 | 51 | 8,803,110 | EUR | 10,280 | ||||||||||
Total Put Option Purchased (Premiums Paid $226,223) | 311,580 | |||||||||||||
Over-The-Counter Options Purchased - 1.5% | Counterparty a | |||||||||||||
AUD Call / USD Put at 0.7875 KI < 0.74, September 20, 2021 (4)(5) | GS | 834,000 | AUD | 19,881 | ||||||||||
AUD Call / USD Put at 0.7975 KI < 0.7375, September 20, 2021 (4)(5) | GS | 834,000 | AUD | 6,670 | ||||||||||
AUD Put / USD Call at 0.710, September 3, 2021 (4) | JPM | 492,000 | AUD | 27,489 | ||||||||||
AUD Put / USD Call at 0.740, September 3, 2021 (4) | JPM | 124,000 | AUD | 29,144 | ||||||||||
CAD Put / NOK Call at 6.65, August 18, 2021 | JPM | 5,279,000 | CAD | 2,921 | ||||||||||
EUR Put / GBP Call at 0.832, July 22, 2021 (6) | JPM | 235,000 | EUR | 4,834 | ||||||||||
EUR Put / KRW Call at 1,365, August 20, 2021 | JPM | 5,132,000 | EUR | 130,054 | ||||||||||
EUR/USD > 1.2359 and EUSA30 > 0.826%, October 28, 2021 (7) | CITI | 559,000 | EUR | 17,499 | ||||||||||
NOK Call / SEK Put at 1.009, July 15, 2021 | JPM | 78,311,000 | NOK | 6,803 | ||||||||||
SPX < 3989.76 and EUR/JPY < 131.3744, August 20, 2021 (7) | CITI | 680,000 | USD | 49,028 | ||||||||||
SPX < 3937.275 and EUR/USD < 1.1858, September 17, 2021 (7) | CITI | 682,000 | USD | 39,889 | ||||||||||
SPX < 3937.275 and EUR/USD < 1.1858, October 15, 2021 (7) | CITI | 682,000 | USD | 47,011 | ||||||||||
SPX < 3957.8 and USD/JPY < 106.72, November 19, 2021 (7) | JPM | 627,000 | USD | 85,523 | ||||||||||
SPX < 3957.8 and USD/JPY < 106.72, December 17, 2021 (7) | JPM | 627,000 | USD | 93,194 | ||||||||||
SPX < 4068.67 and USD/JPY < 107.79 and USSW10 > 1.72, November 19, 2021 (8) | CITI | 676,000 | USD | 2,569 | ||||||||||
SPX < 4068.67 and USD/JPY < 107.79 and USSW10 > 1.741, December 17, 2021 (8) | CITI | 676,000 | USD | 3,245 | ||||||||||
SX5E < 3790.12 and EUR/USD < 1.1748, September 17, 2021 (7) | JPM | 1,712,000 | EUR | 82,621 | ||||||||||
USD Call / JPY Put at 113.5, September 10, 2021 (4) | JPM | 627,000 | USD | 110,044 | ||||||||||
USD Call / JPY Put at 115, November 4, 2021 (4)(6) | MLI | 1,170,000 | USD | 333,624 | ||||||||||
USD Call / JPY Put at 120, September 11, 2023 (4)(6) | JPM | 1,446,000 | USD | 483,198 | ||||||||||
XAU > $2,031.48 and USSW30 > 1.687%, September 10, 2021 (7) | MS | 804,000 | USD | 12,382 | ||||||||||
XAU > $2,031.48 and USSW30 > 1.687%, September 24, 2021 (7) | MS | 878,000 | USD | 18,175 | ||||||||||
Total Over-The-Counter Options (Premiums Paid $1,524,606) | 1,605,798 | |||||||||||||
Warrants - 0.6% | ||||||||||||||
Swiss Market Index Dispersion Warrant (1)(9) | ||||||||||||||
Effective: 01/28/2021, Expiration: 12/17/2021, Strike: 19.94% | UBS | 30 | 300,000 | CHF | 331,668 | |||||||||
S&P 500 Index Dispersion Warrants (9) | ||||||||||||||
Effective: 04/20/2021, Expiration: 06/17/2022, Strike: 20.89% | BNP | 400 | 400,000 | USD | 369,444 | |||||||||
Total Warrants (Cost $737,705) | 701,112 | |||||||||||||
TOTAL PURCHASED OPTIONS AND WARRANTS (Cost/Premiums Paid $2,838,186) | 3,695,640 |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund |
Consolidated Schedule of Investments |
June 30, 2021 |
SHORT-TERM INVESTMENTS - 39.8% | Principal Amount | Value | |||||
United States Treasury Bills - 39.8% (10) | |||||||
0.033%, 07/15/2021 | 5,500,000 | USD | $ | 5,499,914 | |||
0.016%, 08/05/2021 | 4,000,000 | USD | 3,999,837 | ||||
0.046%, 08/12/2021 | 4,690,000 | USD | 4,689,713 | ||||
0.051%, 08/26/2021 | 4,460,000 | USD | 4,459,726 | ||||
0.041%, 09/09/2021 | 5,100,000 | USD | 5,099,579 | ||||
0.039%, 09/23/2021 | 5,000,000 | USD | 4,999,475 | ||||
0.021%, 10/07/2021 | 5,500,000 | USD | 5,499,326 | ||||
0.030%, 11/04/2021 | 7,000,000 | USD | 6,998,816 | ||||
0.029%, 12/02/2021 | 2,500,000 | USD | 2,499,501 | ||||
Total United States Treasury Bills (Cost $43,747,121) | 43,745,887 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $43,747,121) | 43,745,887 | ||||||
Investments, at value (Cost $51,561,252) - 48.0% | 52,783,472 | ||||||
Other Assets in Excess of Liabilities - 52.0% | 57,216,997 | ||||||
TOTAL NET ASSETS - 100.0% | $ | 110,000,469 |
ADR | American Depositary Receipt |
(1) | Foreign issued security. | |
(2) | Non-income producing security. | |
(3) | Position held in subsidiary. | |
(4) | Binary option - Payoff is either notional amount or nothing. | |
(5) | Position includes a knock-in (KI) term at level indicated. Option activates when closing level above or below knock-in term as indicated. | |
(6) | One touch option - Option pays notional if spot rate meets strike at any point during the term of the option. | |
(7) | Dual binary option - Option only pays if both terms are met at maturity. | |
(8) | Triple barrier option - Option only pays if all terms are met at maturity. | |
(9) | The payout of the dispersion warrants is calculated with the observed volatility of a weighted basket of component stocks of the respective Index relative to each stock's assigned strike value in excess of the volatility of the respective Index relative to a strike volatility between the effective and expiration dates of the respective warrant. | |
(10) | Rate quoted is effective yield of position. |
a | Counterparty abbreviations |
BNP - BNP Paribas S.A.
CITI - Citigroup Global Markets
GS - Goldman Sachs
JPM - J.P. Morgan Investment Bank
MLI - Merrill Lynch
MS - Morgan Stanley
UBS - UBS AG
Reference entity abbreviations
EUSA30 - EUR Swap Annual 30-year
SPX - S&P 500 Index
SX5E - Euro Stoxx 50 Index
USSW30 - 30 year US Swap Rate
USSW10 - 10 year US Swap Rate
XAU - Gold spot price quoted in US dollar
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Schedule of Investments
June 30, 2021
WRITTEN OPTIONS - (0.6%) | Contracts | National | Value | |||||||||||
Call Option Written - (0.3%) | ||||||||||||||
10-Year US Treasury Note Futures at $132.25, July 23,2021 | (18 | ) | (2,380,500 | ) | USD | $ | (12,094 | ) | ||||||
10-Year US Treasury Note Futures at $132.75, July 23,2021 | (18 | ) | (2,380,500 | ) | USD | (7,312 | ) | |||||||
10-Year US Treasury Note Futures at $133, July 23,2021 | (18 | ) | (2,380,500 | ) | USD | (5,625 | ) | |||||||
10-Year US Treasury Note Futures at $133.5, July 23,2021 | (18 | ) | (2,380,500 | ) | USD | (3,094 | ) | |||||||
CBOE Volatility Index (VIX) at $21, July 21, 2021 | (140 | ) | (221,620 | ) | USD | (15,400 | ) | |||||||
CBOE Volatility Index (VIX) at $24, July 21, 2021 | (140 | ) | (221,620 | ) | USD | (10,850 | ) | |||||||
CBOE Volatility Index (VIX) at $29, July 21, 2021 | (140 | ) | (221,620 | ) | USD | (6,650 | ) | |||||||
CBOE Volatility Index (VIX) at $37.5, July 21, 2021 | (140 | ) | (221,620 | ) | USD | (3,500 | ) | |||||||
Crude Oil Sep 21 Futures at $75, July 27, 2021 (1) | (60 | ) | (4,477,200 | ) | USD | (129,600 | ) | |||||||
Crude Oil Sep 21 Futures at $78, July 27, 2021 (1) | (51 | ) | (3,805,620 | ) | USD | (50,915 | ) | |||||||
E-mini S&P 500 at $4,260, July 2, 2021 | (4 | ) | (857,720 | ) | USD | (6,540 | ) | |||||||
E-mini S&P 500 at $4,275, July 2, 2021 | (4 | ) | (857,720 | ) | USD | (4,120 | ) | |||||||
E-mini S&P 500 at $4,290, July 2, 2021 | (4 | ) | (857,720 | ) | USD | (2,120 | ) | |||||||
E-mini S&P 500 at $4,310, July 2, 2021 | (4 | ) | (857,720 | ) | USD | (600 | ) | |||||||
Euro-Bund Aug 21 Futures at 172, July 23, 2021 | (11 | ) | (1,898,710 | ) | EUR | (13,043 | ) | |||||||
Euro-Bund Aug 21 Futures at 173, July 23, 2021 | (11 | ) | (1,898,710 | ) | EUR | (5,869 | ) | |||||||
Euro-Bund Aug 21 Futures at 173.5, July 23, 2021 | (11 | ) | (1,898,710 | ) | EUR | (3,522 | ) | |||||||
Euro-Bund Aug 21 Futures at 174, July 23, 2021 | (11 | ) | (1,898,710 | ) | EUR | (1,956 | ) | |||||||
FTSE 100 Index at 7,175, July 16, 2021 (1) | (5 | ) | (351,874 | ) | GBP | (1,522 | ) | |||||||
FTSE 100 Index at 7,225, July 16, 2021 (1) | (5 | ) | (351,874 | ) | GBP | (761 | ) | |||||||
FTSE 100 Index at 7,300, July 16, 2021 (1) | (5 | ) | (351,874 | ) | GBP | (277 | ) | |||||||
FTSE 100 Index at 7,350, July 16, 2021 (1) | (5 | ) | (351,874 | ) | GBP | (138 | ) | |||||||
JPY/USD FX at 91, July 9, 2021 | (7 | ) | (788,113 | ) | USD | (612 | ) | |||||||
JPY/USD FX at 91.5, July 9, 2021 | (7 | ) | (788,113 | ) | USD | (219 | ) | |||||||
JPY/USD FX at 92, July 9, 2021 | (7 | ) | (788,113 | ) | USD | (88 | ) | |||||||
JPY/USD FX at 92.5, July 9, 2021 | (7 | ) | (788,113 | ) | USD | (44 | ) | |||||||
Total Call Option Written (Premiums Received $312,240) | (286,471 | ) | ||||||||||||
Put Option Written - (0.3%) | ||||||||||||||
10-Year US Treasury Note Futures at $130.75, July 23,2021 | (18 | ) | (2,380,500 | ) | USD | (1,406 | ) | |||||||
10-Year US Treasury Note Futures at $131.25, July 23,2021 | (18 | ) | (2,380,500 | ) | USD | (2,531 | ) | |||||||
10-Year US Treasury Note Futures at $131.75, July 23,2021 | (18 | ) | (2,380,500 | ) | USD | (4,500 | ) | |||||||
10-Year US Treasury Note Futures at $132, July 23,2021 | (18 | ) | (2,380,500 | ) | USD | (5,906 | ) | |||||||
CBOE Volatility Index (VIX) at $15, July 21, 2021 | (140 | ) | (221,620 | ) | USD | (3,150 | ) | |||||||
CBOE Volatility Index (VIX) at $16, July 21, 2021 | (1,043 | ) | (1,651,069 | ) | USD | (59,972 | ) | |||||||
CBOE Volatility Index (VIX) at $17, July 21, 2021 | (1,043 | ) | (1,651,069 | ) | USD | (117,337 | ) | |||||||
Copper Aug 21 Futures at $400, July 27, 2021 (1) | (23 | ) | (2,466,175 | ) | USD | (14,375 | ) | |||||||
E-mini S&P 500 at $4,160, July 2, 2021 | (4 | ) | (857,720 | ) | USD | (80 | ) | |||||||
E-mini S&P 500 at $4,200, July 2, 2021 | (4 | ) | (857,720 | ) | USD | (170 | ) | |||||||
E-mini S&P 500 at $4,225, July 2, 2021 | (4 | ) | (857,720 | ) | USD | (290 | ) | |||||||
E-mini S&P 500 at $4,245, July 2, 2021 | (4 | ) | (857,720 | ) | USD | (520 | ) | |||||||
Euro-Bund Aug 21 Futures at 169.5, July 23, 2021 | (11 | ) | (1,898,710 | ) | EUR | (522 | ) | |||||||
Euro-Bund Aug 21 Futures at 170.5, July 23, 2021 | (11 | ) | (1,898,710 | ) | EUR | (1,435 | ) | |||||||
Euro-Bund Aug 21 Futures at 171.5, July 23, 2021 | (11 | ) | (1,898,710 | ) | EUR | (3,391 | ) | |||||||
Gold Aug 21 Futures at $1,725, July 27, 2021 (1) | (35 | ) | (6,200,600 | ) | USD | (35,000 | ) | |||||||
JPY/USD FX at 89, July 9, 2021 | (7 | ) | (788,113 | ) | USD | (525 | ) | |||||||
JPY/USD FX at 89.5, July 9, 2021 | (7 | ) | (788,113 | ) | USD | (1,225 | ) | |||||||
JPY/USD FX at 90, July 9, 2021 | (7 | ) | (788,113 | ) | USD | (2,713 | ) | |||||||
JPY/USD FX at 90.5, July 9, 2021 | (7 | ) | (788,113 | ) | USD | (5,250 | ) | |||||||
VSTOXX Futures at 20, July 21, 2021 | (318 | ) | (570,810 | ) | EUR | (123,490 | ) | |||||||
Total Put Option Written (Premiums Received $353,960) | (383,788 | ) | ||||||||||||
TOTAL WRITTEN OPTIONS (Premiums Received $666,200) | $ | (670,259 | ) |
(1) Position held in subsidiary.
Reference entity abbreviations
VSTOXX - Euro Stoxx 50 Volatility Index
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Schedule of Investments
June 30, 2021
FORWARD CURRENCY CONTRACTS (1)
Settlemend Date | Currency Delivered | Pay Amount | USD Value June 30, 2021 | Currency Received | Receive Amount | USD Value June 30, 2021 | Unrealized Gain/(Loss) | |||||||||||||||||
07/02/2021 | EUR | 704,166 | $ | 835,000 | USD | 840,778 | $ | 840,778 | $ | 5,778 | ||||||||||||||
07/30/2021 | AUD | 2,481,896 | 1,861,587 | CAD | 2,308,390 | 1,862,183 | 596 | |||||||||||||||||
07/30/2021 | AUD | 2,431,000 | 1,823,412 | USD | 1,848,679 | 1,848,679 | 25,267 | |||||||||||||||||
07/30/2021 | CAD | 2,318,095 | 1,870,012 | AUD | 2,481,896 | 1,861,587 | (8,425 | ) | ||||||||||||||||
07/30/2021 | CAD | 6,738,146 | 5,435,676 | USD | 5,473,147 | 5,473,147 | 37,471 | |||||||||||||||||
07/30/2021 | CHF | 7,200,400 | 7,788,511 | USD | 7,869,310 | 7,869,310 | 80,799 | |||||||||||||||||
07/30/2021 | EUR | 1,026,527 | 1,217,981 | CZK | 26,192,300 | 1,217,669 | (312 | ) | ||||||||||||||||
07/30/2021 | EUR | 6,238,000 | 7,401,431 | GBP | 5,359,981 | 7,415,118 | 13,687 | |||||||||||||||||
07/30/2021 | EUR | 4,333,017 | 5,141,156 | JPY | 573,440,181 | 5,163,025 | 21,869 | |||||||||||||||||
07/30/2021 | EUR | 2,134,000 | 2,532,006 | USD | 2,537,523 | 2,537,523 | 5,517 | |||||||||||||||||
07/30/2021 | GBP | 10,407,389 | 14,397,816 | EUR | 12,098,000 | 14,354,362 | (43,454 | ) | ||||||||||||||||
07/30/2021 | GBP | 1,326,000 | 1,834,418 | USD | 1,834,912 | 1,834,912 | 494 | |||||||||||||||||
07/30/2021 | JPY | 569,789,867 | 5,130,159 | EUR | 4,333,017 | 5,141,156 | 10,997 | |||||||||||||||||
07/30/2021 | JPY | 409,557,432 | 3,687,491 | USD | 3,700,512 | 3,700,512 | 13,021 | |||||||||||||||||
07/30/2021 | MXN | 40,296,587 | 2,013,848 | USD | 2,026,330 | 2,026,330 | 12,482 | |||||||||||||||||
07/30/2021 | NZD | 8,626,141 | 6,029,273 | AUD | 8,036,722 | 6,028,076 | (1,197 | ) | ||||||||||||||||
07/30/2021 | PLN | 196,524 | 51,549 | USD | 52,051 | 52,051 | 502 | |||||||||||||||||
07/30/2021 | SEK | 53,514,314 | 6,254,858 | NOK | 53,599,000 | 6,226,067 | (28,791 | ) | ||||||||||||||||
07/30/2021 | SEK | 13,193,436 | 1,542,075 | USD | 1,561,786 | 1,561,786 | 19,711 | |||||||||||||||||
07/30/2021 | USD | 1,823,630 | 1,823,630 | AUD | 2,431,000 | 1,823,412 | (218 | ) | ||||||||||||||||
07/30/2021 | USD | 10,638,596 | 10,638,596 | CNH | 68,812,888 | 10,615,259 | (23,337 | ) | ||||||||||||||||
07/30/2021 | USD | 90,836 | 90,836 | EUR | 76,000 | 90,175 | (661 | ) | ||||||||||||||||
07/30/2021 | USD | 3,738,406 | 3,738,406 | GBP | 2,687,000 | 3,717,256 | (21,150 | ) | ||||||||||||||||
07/30/2021 | USD | 229,045 | 229,045 | HUF | 67,325,244 | 227,095 | (1,950 | ) | ||||||||||||||||
07/30/2021 | USD | 3,706,000 | 3,706,000 | JPY | 410,094,573 | 3,692,327 | (13,673 | ) | ||||||||||||||||
07/30/2021 | USD | 2,032,179 | 2,032,179 | MXN | 40,296,587 | 2,013,848 | (18,331 | ) | ||||||||||||||||
07/30/2021 | USD | 5,396,783 | 5,396,783 | NOK | 45,614,817 | 5,298,624 | (98,159 | ) | ||||||||||||||||
07/30/2021 | USD | 3,612,660 | 3,612,660 | NZD | 5,102,000 | 3,566,062 | (46,598 | ) | ||||||||||||||||
07/30/2021 | USD | 10,000 | 10,000 | SEK | 84,719 | 9,902 | (98 | ) | ||||||||||||||||
07/30/2021 | USD | 2,670,042 | 2,670,042 | SGD | 3,582,990 | 2,664,528 | (5,514 | ) | ||||||||||||||||
07/30/2021 | USD | 1,102,396 | 1,102,396 | ZAR | 15,779,073 | 1,100,753 | (1,643 | ) | ||||||||||||||||
07/30/2021 | ZAR | 12,074,616 | 842,329 | USD | 851,771 | 851,771 | 9,442 | |||||||||||||||||
09/15/2021 | BRL | 12,645,208 | 2,517,724 | USD | 2,498,000 | 2,498,000 | (19,724 | ) | ||||||||||||||||
09/15/2021 | CLP | 22,394,358 | 30,428 | USD | 30,000 | 30,000 | (428 | ) | ||||||||||||||||
09/15/2021 | IDR | 50,725,893,493 | 3,476,015 | USD | 3,524,831 | 3,524,831 | 48,816 | |||||||||||||||||
09/15/2021 | INR | 166,597,252 | 2,221,832 | USD | 2,253,863 | 2,253,863 | 32,031 | |||||||||||||||||
09/15/2021 | KRW | 56,499,152 | 50,156 | USD | 50,000 | 50,000 | (156 | ) | ||||||||||||||||
09/15/2021 | PHP | 101,392,976 | 2,071,800 | USD | 2,105,364 | 2,105,364 | 33,564 | |||||||||||||||||
09/15/2021 | RUB | 235,988,671 | 3,187,920 | USD | 3,213,729 | 3,213,729 | 25,809 | |||||||||||||||||
09/15/2021 | THB | 95,940,846 | 2,992,516 | USD | 3,070,377 | 3,070,377 | 77,861 | |||||||||||||||||
09/15/2021 | TWD | 554,735 | 19,913 | USD | 20,000 | 20,000 | 87 | |||||||||||||||||
09/15/2021 | USD | 1,420,747 | 1,420,747 | BRL | 7,052,500 | 1,404,188 | (16,559 | ) | ||||||||||||||||
09/15/2021 | USD | 97,648 | 97,648 | CLP | 70,432,020 | 95,700 | (1,948 | ) | ||||||||||||||||
09/15/2021 | USD | 90,000 | 90,000 | IDR | 1,303,682,000 | 89,335 | (665 | ) | ||||||||||||||||
09/15/2021 | USD | 1,279,000 | 1,279,000 | INR | 95,968,253 | 1,279,885 | 885 | |||||||||||||||||
09/15/2021 | USD | 11,409,000 | 11,409,000 | KRW | 12,751,083,252 | 11,319,422 | (89,578 | ) | ||||||||||||||||
09/15/2021 | USD | 50,000 | 50,000 | PHP | 2,418,145 | 49,411 | (589 | ) | ||||||||||||||||
09/15/2021 | USD | 180,000 | 180,000 | RUB | 13,174,683 | 177,974 | (2,026 | ) | ||||||||||||||||
09/15/2021 | USD | 50,000 | 50,000 | TWD | 1,382,130 | 49,613 | (387 | ) | ||||||||||||||||
$ | 31,115 |
(1) J.P. Morgan Securities, Inc. is the counterparty to all contracts.
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Schedule of Investments
June 30, 2021
FUTURES CONTRACTS
Description | Number of Long (Short) | Expiration Date | Notional | Unrealized | |||||||||||||
Amsterdam Exchanges Index | 3 | July 2021 | 518,881 | EUR | $ | (2,653 | ) | ||||||||||
Australia SPI 200 Index | 5 | September 2021 | 677,112 | AUD | (3,401 | ) | |||||||||||
Australian 3 Year Government Bond | (61 | ) | September 2021 | (5,328,935 | ) | AUD | 19,224 | ||||||||||
Australian 10 Year Government Bond | (1 | ) | September 2021 | (105,885 | ) | AUD | 458 | ||||||||||
Australian Dollar | 5 | September 2021 | 374,900 | USD | (12,418 | ) | |||||||||||
* Brent Crude | (76 | ) | September 2021 | (5,671,120 | ) | USD | (49,013 | ) | |||||||||
* Brent Crude | 21 | December 2022 | 1,410,780 | USD | 182,315 | ||||||||||||
British Pound | 13 | September 2021 | 1,121,656 | USD | (24,031 | ) | |||||||||||
CAC 40 Index | 13 | July 2021 | 1,002,727 | EUR | (20,562 | ) | |||||||||||
Canadian 10 Year Government Bond | (12 | ) | September 2021 | (1,408,712 | ) | CAD | (7,767 | ) | |||||||||
Canadian Dollar | 10 | September 2021 | 806,200 | USD | (19,797 | ) | |||||||||||
* Canola | 6 | November 2021 | 78,577 | CAD | 12,932 | ||||||||||||
CBOE Volatility Index | 10 | July 2021 | 179,033 | USD | (7,784 | ) | |||||||||||
CBOE Volatility Index | (16 | ) | August 2021 | (315,979 | ) | USD | 10,297 | ||||||||||
* Cocoa | (1 | ) | September 2021 | (23,890 | ) | USD | (193 | ) | |||||||||
* Coffee 'C' | 1 | September 2021 | 59,906 | USD | 484 | ||||||||||||
* Copper | 2 | September 2021 | 214,450 | USD | 745 | ||||||||||||
* Corn | 3 | September 2021 | 89,888 | USD | (3,821 | ) | |||||||||||
* Cotton No. 2 | 3 | December 2021 | 127,350 | USD | (2,944 | ) | |||||||||||
* Crude Oil | 3 | August 2021 | 220,410 | USD | 6,813 | ||||||||||||
DAX Index | 1 | September 2021 | 460,307 | EUR | (4,597 | ) | |||||||||||
DAX Mini | 6 | September 2021 | 552,369 | EUR | (5,575 | ) | |||||||||||
E-mini Dow | 1 | September 2021 | 171,995 | USD | 3,132 | ||||||||||||
E-mini Russell 2000 Index | 1 | September 2021 | 115,390 | USD | (404 | ) | |||||||||||
E-mini S&P 500 | 48 | September 2021 | 10,292,640 | USD | 142,314 | ||||||||||||
Euro FX Currency | 51 | September 2021 | 7,563,938 | USD | (60,157 | ) | |||||||||||
EURO STOXX 50 Dividend Index | 24 | December 2022 | 308,199 | EUR | 5,331 | ||||||||||||
Euro STOXX 50 Index | (73 | ) | September 2021 | (3,510,423 | ) | EUR | 66,499 | ||||||||||
Euro STOXX 50 Volatility Index | (3 | ) | July 2021 | (6,385 | ) | EUR | 93 | ||||||||||
Euro STOXX 50 Volatility Index | (57 | ) | August 2021 | (128,754 | ) | EUR | 2,887 | ||||||||||
Euro-Bund | 42 | September 2021 | 8,596,217 | EUR | 19,762 | ||||||||||||
Euro-BUXL 30 Year Bond | 48 | September 2021 | 11,567,582 | EUR | 78,860 | ||||||||||||
* European Emission Allowances | 49 | December 2021 | 3,275,188 | EUR | 641,257 | ||||||||||||
* Feeder Cattle | (1 | ) | August 2021 | (77,313 | ) | USD | (1,603 | ) | |||||||||
FTSE 100 Dividend Index | 46 | December 2022 | 161,561 | GBP | 3,117 | ||||||||||||
FTSE 100 Index | 17 | September 2021 | 1,641,539 | GBP | (23,840 | ) | |||||||||||
FTSE/JSE TOP 40 Index | 1 | September 2021 | 41,930 | ZAR | (985 | ) | |||||||||||
FTSE/MIB Index | 2 | September 2021 | 296,484 | EUR | (6,895 | ) | |||||||||||
Hang Seng China Enterprises Index | 14 | July 2021 | 953,041 | HKD | (19,153 | ) | |||||||||||
Hang Seng Index | 2 | July 2021 | 368,739 | HKD | (6,341 | ) | |||||||||||
* Hard Red Winter Wheat | 1 | September 2021 | 32,950 | USD | 935 | ||||||||||||
IBEX 35 Index | 2 | July 2021 | 208,414 | EUR | (8,512 | ) | |||||||||||
Japanese Yen | (13 | ) | September 2021 | (1,463,638 | ) | USD | 7,901 | ||||||||||
Korea 10 Year Bond | (3 | ) | September 2021 | (335,097 | ) | KRW | 572 | ||||||||||
Korea 3 Year Bond | (142 | ) | September 2021 | (13,866,483 | ) | KRW | 44,514 | ||||||||||
Korea Stock Exchange KOSPI 200 Index | 2 | September 2021 | 194,845 | KRW | 2,572 | ||||||||||||
* Lean Hogs | 5 | August 2021 | 206,500 | USD | (30,634 | ) | |||||||||||
* Live Cattle | (1 | ) | August 2021 | (49,090 | ) | USD | (681 | ) | |||||||||
* London Metal Exchange Lead | 4 | July 2021 | 226,400 | USD | 5,544 | ||||||||||||
* London Metal Exchange Lead | (4 | ) | July 2021 | (226,400 | ) | USD | (6,705 | ) | |||||||||
* London Metal Exchange Lead | 2 | August 2021 | 113,450 | USD | 3,957 |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Schedule of Investments
June 30, 2021
FUTURES CONTRACTS (Continued)
Description | Number of | Expiration Date | Notional Amount | Unrealized Gain/(Loss) | |||||||||||||
* London Metal Exchange Nickel | 1 | July 2021 | 109,236 | USD | $ | 1,311 | |||||||||||
* London Metal Exchange Nickel | (1 | ) | July 2021 | (109,236 | ) | USD | (519 | ) | |||||||||
* London Metal Exchange Nickel | 1 | August 2021 | 109,248 | USD | 453 | ||||||||||||
* London Metal Exchange Primary Aluminum | 2 | July 2021 | 125,975 | USD | (2,418 | ) | |||||||||||
* London Metal Exchange Primary Aluminum | (2 | ) | July 2021 | (125,975 | ) | USD | (3,981 | ) | |||||||||
* London Metal Exchange Primary Aluminum | 2 | August 2021 | 126,125 | USD | 3,969 | ||||||||||||
* London Metal Exchange Zinc | 1 | July 2021 | 74,256 | USD | (1,353 | ) | |||||||||||
* London Metal Exchange Zinc | (1 | ) | July 2021 | (74,256 | ) | USD | 741 | ||||||||||
* London Metal Exchange Zinc | 1 | August 2021 | 74,331 | USD | (847 | ) | |||||||||||
Long Gilt | (74 | ) | September 2021 | (13,112,836 | ) | GBP | (64,009 | ) | |||||||||
* Low Sulphur Gas Oil | 2 | August 2021 | 119,650 | USD | 2,497 | ||||||||||||
Mexican Peso | 5 | September 2021 | 124,250 | USD | (1,333 | ) | |||||||||||
* Milling Wheat No. 2 | 4 | December 2021 | 49,742 | EUR | 556 | ||||||||||||
MSCI Emerging Markets Index | 2 | September 2021 | 136,480 | USD | 586 | ||||||||||||
MSCI World Index | (83 | ) | September 2021 | (7,512,330 | ) | USD | 5,259 | ||||||||||
NASDAQ 100 E-mini | 1 | September 2021 | — | USD | (1,310 | ) | |||||||||||
* Natural Gas | 3 | August 2021 | 109,500 | USD | 8,642 | ||||||||||||
New Zealand Dollar | 7 | September 2021 | 488,810 | USD | (14,257 | ) | |||||||||||
Nikkei 225 Dividend Index | 5 | December 2022 | 237,319 | JPY | (3,931 | ) | |||||||||||
Nikkei 225 Mini | 11 | September 2021 | 1,422,836 | JPY | (12,942 | ) | |||||||||||
Nikkei 225 Mini | 9 | September 2021 | 2,331,518 | JPY | (17,933 | ) | |||||||||||
Nikkei 225 Mini | 27 | September 2021 | 699,455 | JPY | (5,504 | ) | |||||||||||
* NY Harbor ULSD | 1 | August 2021 | 89,389 | USD | (317 | ) | |||||||||||
OMX 30 Index | 14 | July 2021 | 370,690 | SEK | (2,077 | ) | |||||||||||
* Platinum | 10 | October 2021 | 536,450 | USD | (16,904 | ) | |||||||||||
* RBOB Gasoline | 1 | August 2021 | 94,156 | USD | 720 | ||||||||||||
* Red Spring Wheat | 1 | September 2021 | 42,488 | USD | 4,832 | ||||||||||||
* Robusta Coffee | 4 | September 2021 | 68,200 | USD | 3,926 | ||||||||||||
S&P 500 Dividend Index | 193 | December 2021 | 2,885,350 | USD | 859,417 | ||||||||||||
S&P 500 Dividend Index | 131 | December 2022 | 2,037,050 | USD | 293,657 | ||||||||||||
S&P 500 Dividend Index | 68 | December 2023 | 1,082,050 | USD | 380,554 | ||||||||||||
S&P/Toronto Stock Exchange 60 Index | 8 | September 2021 | 1,552,372 | CAD | 6,630 | ||||||||||||
SGX MSCI Singapore Index | 9 | July 2021 | 237,901 | SGD | 494 | ||||||||||||
* SGX TSI Iron Ore | 4 | July 2021 | 84,476 | USD | 8,184 | ||||||||||||
Short-Term Euro-BTP | 12 | September 2021 | 1,610,150 | EUR | 267 | ||||||||||||
* Silver | 1 | September 2021 | 130,970 | USD | (9,557 | ) | |||||||||||
* Soybean | 1 | November 2021 | 69,950 | USD | (2,653 | ) | |||||||||||
* Soybean Meal | 1 | December 2021 | 38,170 | USD | (1,313 | ) | |||||||||||
* Soybean Oil | 1 | December 2021 | 37,656 | USD | (2,229 | ) | |||||||||||
STOXX 600 Banks Index | 2 | September 2021 | 43,730 | EUR | (1,675 | ) | |||||||||||
* Sugar No. 11 | 3 | October 2021 | 60,110 | USD | 461 | ||||||||||||
Swiss Franc | 3 | September 2021 | 405,713 | USD | (14,311 | ) | |||||||||||
U.S. 10 Year Treasury Note | 79 | September 2021 | 10,467,500 | USD | 17,204 | ||||||||||||
U.S. 5 Year Treasury Note | (1 | ) | September 2021 | (123,430 | ) | USD | 452 | ||||||||||
U.S. Treasury Long Bond | (184 | ) | September 2021 | (29,578,000 | ) | USD | (603,109 | ) | |||||||||
Ultra T-Bond | (35 | ) | September 2021 | (6,744,063 | ) | USD | (199,238 | ) | |||||||||
* Wheat | 1 | September 2021 | 33,975 | USD | (590 | ) | |||||||||||
* White Sugar | 3 | August 2021 | 67,155 | USD | 2,542 | ||||||||||||
$ | 1,551,093 | ||||||||||||||||
* Position held in Subsidiary |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Schedule of Investments
June 30, 2021
INTEREST RATE SWAPS *
Rate paid 1 | Rate received 1 | Payment Frequency | Effective Date | Termination Date | Notional Amount | Value | Premium Paid (Received) | Unrealized Gain/(Loss) | ||||||||||||||||||||
CAD-BA-CDOR 0.439% | 2.370% | 3 Month | 9/15/2021 | 9/15/2051 | 1,606,000 | CAD | $ | 42,116 | $ | $ | (4,902 | ) | $ | 47,018 | ||||||||||||||
CNY-CNREPOFIX 2.903% | 2.980% | 3 Month | 9/15/2021 | 9/15/2026 | 38,680,653 | CNY | 55,846 | 35,690 | 20,156 | |||||||||||||||||||
0.893% | GBP-SONIA 0.047% | 12 Month | 9/15/2021 | 9/15/2051 | 1,684,200 | GBP | (39,254 | ) | — | (39,254 | ) | |||||||||||||||||
HKD-HIBOR-HKAB 0.170% | 1.371% | 3 Month | 9/15/2021 | 9/15/2031 | 3,300,000 | HKD | 181 | 98 | 83 | |||||||||||||||||||
HKD-HIBOR-HKAB 0.170% | 0.413% | 3 Month | 9/15/2021 | 9/15/2024 | 14,670,000 | HKD | (8,637 | ) | 85 | (8,722 | ) | |||||||||||||||||
2.674% | HUF-BUBOR-Reuters 1.140% | 6 Month | 9/15/2021 | 9/15/2031 | 89,800,000 | HUF | 1,908 | 208 | 1,700 | |||||||||||||||||||
2.062% | HUF-BUBOR-Reuters 1.140% | 6 Month | 9/15/2021 | 9/15/2024 | 164,050,000 | HUF | 4,166 | 138 | 4,028 | |||||||||||||||||||
INR-FBIL-MIBOR 3.360% | 5.300% | 6 Month | 9/15/2021 | 9/15/2026 | 29,500,000 | INR | (4,304 | ) | 1,118 | (5,422 | ) | |||||||||||||||||
0.520% | JPY-LIBOR-BBA -0.065% | 6 Month | 9/15/2021 | 9/15/2051 | 182,904,400 | JPY | (5,963 | ) | 299 | (6,262 | ) | |||||||||||||||||
0.543% | JPY-LIBOR-BBA -0.065% | 6 Month | 9/15/2021 | 9/15/2061 | 22,200,000 | JPY | (1,060 | ) | 18 | (1,078 | ) | |||||||||||||||||
6.790% | MXN-TIIE-Banxico 4.529% | 28 Days | 9/15/2021 | 9/3/2031 | 500,000 | MXN | 541 | — | 541 | |||||||||||||||||||
1.810% | NOK-NIBOR-OIBOR 0.400% | 6 Month | 9/15/2021 | 9/15/2031 | 3,100,000 | NOK | (3,711 | ) | (35 | ) | (3,676 | ) | ||||||||||||||||
0.934% | NZD-BBR-FRA 0.250% | 3 Month | 9/15/2021 | 9/15/2024 | 600,000 | NZD | 2,063 | (12 | ) | 2,075 | ||||||||||||||||||
PLN-WIBOR-WIBO 0.150% | 1.958% | 6 Month | 9/15/2021 | 9/15/2031 | 800,000 | PLN | 3,058 | 56 | 3,002 | |||||||||||||||||||
1.265% | PLN-WIBOR-WIBO 0.150% | 6 Month | 9/15/2021 | 9/15/2024 | 1,000,000 | PLN | (346 | ) | 22 | (368 | ) | |||||||||||||||||
0.651% | SGD-SOR-VWAP 0.239% | 6 Month | 9/15/2021 | 9/15/2024 | 100,000 | SGD | 442 | 3 | 439 | |||||||||||||||||||
0.640% | TWD-TAIBOR-Reuters 0.480% | 3 Month | 9/15/2021 | 9/15/2026 | 22,900,000 | TWD | 2,618 | 389 | 2,229 | |||||||||||||||||||
1.898% | USD-LIBOR-BBA 0.146% | 3 Month | 9/15/2021 | 9/15/2051 | 1,285,900 | USD | (43,012 | ) | (58 | ) | (42,954 | ) | ||||||||||||||||
USD-LIBOR-BBA 0.146% | 0.521% | 3 Month | 9/15/2021 | 9/15/2024 | 300,000 | USD | (1,009 | ) | 13 | (1,022 | ) | |||||||||||||||||
ZAR-JIBAR-SAFEX 3.692% | 7.358% | 3 Month | 9/15/2021 | 9/15/2031 | 6,700,000 | ZAR | (4,735 | ) | (101 | ) | (4,634 | ) | ||||||||||||||||
Total of Interest Rate Swaps | $ | 908 | $ | 33,029 | $ | (32,121 | ) |
* Counterparty is J.P. Morgan Investment Bank
1 Floating rate definitions
CAD-BA-CDOR - Canada Bankers Average Rate
CNY-CNREPOFIX - China Foreign Exchange Trade System 7 day Interbank Repo Fixing Rate
GBP-SONIA - Sterling Overnight Index Average
HKD-HIBOR-HKAB - Hong Kong Inter-Bank Offered Rate
HUF-BUBOR-Reuters - Budapest Inter-Bank Offered Rate
INR-FBIL-MIBOR - Financial Benchmarks India Overnight Mumbai Interbank Outright Rate
JPY-LIBOR-BBA - Japanese Yen - London Inter-bank Offered Rate
MXN-TIIE-Banxico - Mexico 28 Day Interbank Equilibrium Interest Rate (TIIE)
NOK-NIBOR - Norway Interbank Offered Rate
NZD-BBR-FRA - New Zealand Official Cash Rate
PLN-WIBOR-WIBO - Offered rate for deposits in Polish Zloty
SGD-SOR-VWAP - Singapore Dollar Swap Offer Rate Volume Weighted Average Price
TWD-TAIBOR-Reuters - Taipei Interbank Offered Rate
USD-LIBOR-BBA - U.S. Dollar - London Inter-Bank Offered Rate
ZAR-JIBAR-SAFEX - Johannesburg Interbank Average Rate
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Schedule of Investments
June 30, 2021
CREDIT DEFAULT SWAPS *
Reference Entity | Buy/Sell Protection | Rate Paid/(Received) by the Fund | Termination Date | Notional Amount | Value | Premium Paid (Received) | Unrealized Gain/(Loss) | |||||||||||||||||
Markit CDX North America High Yield Index | Buy | 5.00% | 6/20/2026 | 100,000 | USD | (10,303 | ) | (8,005 | ) | (2,298 | ) | |||||||||||||
Markit iTraxx Europe Crossover Index | Buy | 5.00% | 6/20/2026 | 100,000 | EUR | (14,867 | ) | (12,226 | ) | (2,641 | ) | |||||||||||||
Total of Credit Default Swaps - Buy Protection | $ | (25,170 | ) | $ | (20,231 | ) | $ | (4,939 | ) |
Reference Entity | Buy/Sell Protection | Rate Paid/(Received) by the Fund | Termination Date | Notional Amount | Value | Premium Paid (Received) | Unrealized Gain/(Loss) | |||||||||||||||||
Markit CDX North America Investment Grade Index | Sell | 1.00% | 6/20/2026 | 1,100,000 | USD | 28,089 | 26,525 | 1,564 | ||||||||||||||||
Markit iTraxx Europe Index | Sell | 1.00% | 6/20/2026 | 1,500,000 | EUR | 47,744 | 42,392 | 5,352 | ||||||||||||||||
Total of Credit Default Swaps - Sell Protection | $ | 75,833 | $ | 68,917 | $ | 6,916 |
* Counterparty is J.P. Morgan Investment Bank
AUD - Australian Dollar | HKD - Hong Kong Dollar | PHP - Philippine Peso |
BRL - Brazilian Real | HUF - Hungarian Forint | PLN - Polish Zloty |
CAD - Canadian Dollar | IDR - Indonesian Rupiah | RUB - Russian Ruble |
CHF - Swiss Franc | INR - Indian Rupee | SEK - Swedish Krona |
CLP - Chilean Peso | JPY - Japanese Yen | SGD - Singapore Dollar |
CNH/CNY - Chinese Yuan Renminbi | KRW - South-Korean Won | THB - Thai Baht |
CZK - Czech Koruna | MXN - Mexican Peso | TWD - Taiwan Dollar |
EUR - Euro | NOK - Norwegian Kroner | USD - US Dollar |
GBP - British Pound | NZD - New Zealand Dollar | ZAR - South African Rand |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Schedule of Investments
June 30, 2021
TOTAL RETURN SWAPS *
Reference Entity | Counter-party a | Rate Paid/Received b | Payment Frequency | Termination Date | Notional Amount | Unrealized Gain/(Loss) | ||||||||||||||
1 | BCIIFFOD Index | B | USD LIBOR 1M - 0.10% (0.001%) | monthly | 03/08/2022 | (782,467 | ) | USD | $ | 15,787 | ||||||||||
2 | BCIIPRIV Index | B | USD LIBOR 1M + 0.35% (0.451%) | monthly | 05/10/2022 | 540,132 | USD | 14,630 | ||||||||||||
3 | Bloomberg Commodity Index | JPM | 0.07% | monthly | 07/08/2021 | 1,684,852 | USD | (8,636 | ) | |||||||||||
4 | CGFCREIT Index | CITI | EURIBOR 1M + 0.001% (-0.569%) | monthly | 02/04/2022 | (309,987 | ) | EUR | 19,499 | |||||||||||
Compañia de Minas | JPM | USD OBFR - 0.20% (-0.140%) | monthly | 03/22/2022 | (5,788 | ) | USD | 182 | ||||||||||||
Buenaventura | ||||||||||||||||||||
Cosan SA | MS | BRL CDI + 1.50% (5.650%) | monthly | 09/16/2021 | 226,550 | BRL | (2,529 | ) | ||||||||||||
Eclat Textile | MS | SOFR 1D + 0.75% (0.800%) | monthly | 06/15/2023 | 8,937 | USD | 434 | |||||||||||||
5 | GSCBFACT Index | GS | USD LIBOR 1M - 0.50% (-0.400%) | monthly | 05/09/2024 | (664,109 | ) | USD | 5,159 | |||||||||||
6 | GSGLFEXC Index | GS | USD LIBOR 1M + 0.50% (0.601%) | monthly | 07/05/2024 | 330,956 | USD | — | ||||||||||||
7 | GSGLFMIN Index | GS | USD LIBOR 1M + 0.40% (0.501%) | monthly | 10/13/2023 | 617,203 | USD | 26,220 | ||||||||||||
8 | GSGLSMA3 Index | GS | USD LIBOR 1M - 1.12% (-1.020%) | monthly | 03/22/2023 | (647,212 | ) | USD | (21,331 | ) | ||||||||||
9 | JPEBCSMI Index | JPM | CHF SARON + 0.30% (-0.426%) | monthly | 08/25/2021 | 666,651 | CHF | (4,119 | ) | |||||||||||
10 | JPFCITSV Index | JPM | USD OBFR - 0.30% (-0.240%) | monthly | 07/12/2021 | (1,201,763 | ) | USD | (16,317 | ) | ||||||||||
11 | JPFCUOIL Index | JPM | USD OBFR + 0.45% (0.510%) | monthly | 05/18/2022 | 248,917 | USD | 5,677 | ||||||||||||
12 | JPFUAIR Index | JPM | USD OBFR - 1.05% (-0.990%) | monthly | 08/05/2021 | (690,498 | ) | USD | 29,435 | |||||||||||
13 | JPFUCSOE Index | JPM | HKD HIBOR 1M - 0.45% (-0.351%) | monthly | 05/18/2022 | (4,865,490 | ) | HKD | (22,220 | ) | ||||||||||
14 | JPFUEUBA Index | JPM | EUR ESTRON - 1.15% (-1.731%) | monthly | 12/15/2021 | (89,574 | ) | EUR | 583 | |||||||||||
15 | JPFUMEDA Index | JPM | USD OBFR + 0.40% (0.460%) | monthly | 07/27/2022 | 549,935 | USD | (245 | ) | |||||||||||
16 | JPFUOMED Index | JPM | USD OBFR - 0.50% (-0.440%) | monthly | 07/27/2022 | (551,832 | ) | USD | 659 | |||||||||||
17 | JPFUREGU Index | JPM | USD OBFR - 0.35% (-0.290%) | monthly | 09/01/2021 | (661,028 | ) | USD | 5,206 | |||||||||||
18 | JPFUSTEE Index | JPM | USD OBFR + 0.30% (0.360%) | monthly | 12/29/2021 | 653,501 | USD | 28,485 | ||||||||||||
19 | JPTAOBRL Index | JPM | BRL CDI + 0.50% (4.650%) | monthly | 12/29/2021 | 418,316 | BRL | (1,667 | ) | |||||||||||
Klabin SA | MS | BRL CDI + 1.50% (5.650%) | monthly | 09/16/2021 | 402,041 | BRL | 1,751 | |||||||||||||
Lloyds Banking Group PLC | JPM | GBP SONIA + 0.25% (0.300%) | monthly | 03/09/2022 | 61 | GBP | 1 | |||||||||||||
Makalot | MS | SOFR 1D + 0.75% (0.800%) | monthly | 06/15/2023 | 8,756 | USD | 350 | |||||||||||||
20 | MSFDRUS Index | MS | N/A | monthly | 07/01/2022 | 38,548,588 | USD | 137,612 | ||||||||||||
21 | MSFINTOT Index | MS | SOFR 1D + 0.75% (0.800%) | monthly | 08/03/2022 | 452,173 | USD | (11,103 | ) | |||||||||||
22 | NDEUSCH Index | MS | USD LIBOR 3M + 0.20% (0.346%) | 3 month | 03/23/2022 | 102,757 | USD | (1,807 | ) | |||||||||||
NDEUSCH Index | JPM | USD OBFR + 0.65% (0.710%) | monthly | 02/23/2022 | 509,675 | USD | 16,015 | |||||||||||||
23 | NDEUSRU Index | JPM | USD OBFR + 0.00% (0.060%) | monthly | 04/20/2022 | 819,428 | USD | 7,679 | ||||||||||||
24 | NDEUSSA Index | JPM | USD OBFR + 0.10% (0.160%) | monthly | 02/24/2022 | 713,439 | USD | 3,510 | ||||||||||||
25 | NDUEBRAF Index | MS | USD LIBOR 3M + 0.10% (0.246%) | 3 month | 03/23/2023 | 283,633 | USD | (2,098 | ) | |||||||||||
NDUEBRAF Index | JPM | USD OBFR + 0.50% (0.560%) | monthly | 02/23/2022 | 628,450 | USD | (7,458 | ) | ||||||||||||
Pet Center Comercio e | MS | BRL CDI + 1.50% (5.650%) | monthly | 09/16/2021 | 554,834 | BRL | 9,396 | |||||||||||||
Participacoes SA | ||||||||||||||||||||
26 | S5CONS | JPM | USD OBFR - 0.35% (-0.290%) | monthly | 04/19/2022 | (538,284 | ) | USD | (8,050 | ) | ||||||||||
27 | S5INDU | JPM | USD OBFR - 0.35% (-0.290%) | monthly | 02/24/2022 | (357,982 | ) | USD | (3,906 | ) | ||||||||||
28 | S5MATR | JPM | USD OBFR - 0.35% (-0.290%) | monthly | 03/21/2022 | (551,508 | ) | USD | (3,497 | ) | ||||||||||
29 | S5UTIL | JPM | USD OBFR - 0.35% (-0.290%) | monthly | 06/23/2022 | (983,007 | ) | USD | 13,445 | |||||||||||
Societe Generale SA | JPM | EUR ESTRON + 0.25% (-0.331%) | monthly | 03/09/2022 | 75 | EUR | — | |||||||||||||
Suzano SA | MS | BRL CDI + 1.50% (5.650%) | monthly | 09/16/2021 | 544,704 | BRL | 3,061 | |||||||||||||
30 | SXPP | JPM | EUR ESTRON + 0.35% (-0.231%) | monthly | 01/19/2022 | 70,684 | EUR | 2,531 | ||||||||||||
Total of Total Return Swaps | $ | 232,324 |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Schedule of Investments
June 30, 2021
a Counterparty abbreviations | b Floating rate definitions |
B - Barclays | BRL CDI - Brazil Average One-Day Interbank Deposit |
CITI - Citigroup Global Markets | CDOR - Canadian Dollar Offered Rate |
GS - Goldman Sachs | ESTRON - Euro Short-term Rate Overnight |
JPM - J.P. Morgan Investment Bank | EURIBOR - Euro Interbank Offered Rate. The Euribor rates are based on the interest rates at which a panel of European banks borrow funds from one another. |
MS - Morgan Stanley | FEDEF - U.S. Federal Funds Effective Rate |
LIBOR - London Interbank Offered Rate | |
OBFR - Overnight Bank Funding Rate | |
SARON - Swiss Average Rate Overnight | |
SOFR - Secured Overnight Financing Rate | |
SONIA - Sterling Overnight Index Average |
* | No Upfront premiums paid on the Total Return Swaps. |
1 | BCIIFFOD is a custom basket of food company stocks. |
2 | BCIIPRIV is a custom basket of investment company stocks. |
3 | Bloomberg Commodity Index - The components of the basket as of June 30, 2021 are shown on the following pages. |
4 | CGFCREIT is a custom basket of real estate investment trust stocks. |
5 | GSCBFACT is a custom basket of investment management company stocks. |
6 | GSGLFEXC is a custom basket of investment management company stocks. |
7 | GSGLFMIN is a custom basket of mining company stocks. |
8 | GSGLSMA3 is a custom basket of smartphone company stocks. |
9 | JPEBCSMI is a custom basket of Swiss stocks. |
10 | JPFCITSV is a custom basket of information technology company stocks. The components of the basket as of June 30, 2021 are shown on the following pages. |
11 | JPFCUOIL is a custom basket of U.S. oil company stocks |
12 | JPFUAIR is a custom basket of airline company stocks. |
13 | JPFUCSOE is a custom basket of Chinese company stocks. |
14 | JPFUEUBA is a custom basket of European bank stocks. |
15 | JPFUMEDA is a custom basket of media company stocks. |
16 | JPFUOMED is a custom basket of media company stocks. |
17 | JPFUREGU is a custom basket of U.S. real estate company stocks. |
18 | JPFUSTEE is a custom basket of steel company stocks. |
19 | JPTAOBRL is a custom basket of Brazilian stocks. |
20 | MSFDRUS - The components of the basket as of June 30, 2021 are shown on the following pages. |
21 | MSFINTOT is a custom basket of South Korea and Taiwan electronics company stocks. |
22 | NDEUSCH - MSCI Daily Emerging Markets Chile Net Total Return USD Index |
23 | NDEUSRU - MSCI Daily Emerging Markets Russia Net Total Return USD Index |
24 | NDEUSSA - MSCI Emerging Markets Africa Net Total Return USD Index |
25 | NDUEBRAF - MSCI Brazil Net Total Return USD Index |
26 | S5CONS - S&P 500 Consumer Staples Index |
27 | S5INDU - S&P 500 Industrials Index |
28 | S5MATR - S&P 500 Materials Index |
29 | S5UTIL - S&P 500 Utilities Index |
30 | SXPP - STOXX Europe 600 Basic Resources Index. |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Schedule of Investments
June 30, 2021
BCOM Index | ||||||||
Name | Settlement Price | Weight | ||||||
Gold 100 oz Future Aug 21 | $ | 1,771 | 11.53 | % | ||||
Crude Oil Future Sep 21 | 73 | 9.91 | % | |||||
Natural Gas Future Sep 21 | 4 | 9.24 | % | |||||
Brent Crude Future Sep 21 | 75 | 8.00 | % | |||||
Corn Future Sep 21 | 599 | 5.76 | % | |||||
Copper Future Sep 21 | 429 | 5.32 | % | |||||
Soybean Future Nov 21 | 1,399 | 5.11 | % | |||||
LME Primary Aluminum Future Sep 21 | 2,524 | 4.44 | % | |||||
Soybean Oil Future Dec 21 | 63 | 3.89 | % | |||||
Silver Future Sep 21 | 26 | 3.56 | % | |||||
Live Cattle Future Aug 21 | 123 | 3.49 | % | |||||
Coffee 'C' Future Sep 21 | 160 | 3.07 | % | |||||
Low Sulphur Gas Oil Sep 21 | 600 | 3.04 | % | |||||
Sugar #11 (World) Oct 21 | 18 | 2.91 | % | |||||
LME Zinc Future Sep 21 | 2,977 | 2.85 | % | |||||
RBOB Gasoline Future Sep 21 | 222 | 2.77 | % | |||||
Soybean Meal Future Dec 21 | 382 | 2.70 | % | |||||
Wheat Future Sep 21 | 679 | 2.60 | % | |||||
NY Harbor ULSD Future Sep 21 | 213 | 2.45 | % | |||||
LME Nickel Future Sep 21 | 18,214 | 2.32 | % | |||||
Lean Hogs Future Aug 21 | 103 | 2.19 | % | |||||
Hard Red Winter Wheat Future Sep 21 | 659 | 1.47 | % | |||||
Cotton No.2 Future Dec 21 | 85 | 1.38 | % | |||||
$ | 31,398 | 100.00 | % |
JPFCITSV Index
Name | Quantity | Value | Weight | |||||||||
International Business Machines Corp | 9,806 | $ | 1,437,497 | 9.89 | % | |||||||
Fujitsu Ltd | 6,667 | 1,248,224 | 8.59 | % | ||||||||
VMware Inc | 5,992 | 958,512 | 6.59 | % | ||||||||
Hewlett Packard Enterprise Co | 65,134 | 949,647 | 6.53 | % | ||||||||
Atos SE | 14,494 | 880,997 | 6.06 | % | ||||||||
Oracle Corp | 10,828 | 842,854 | 5.80 | % | ||||||||
Wipro Ltd | 98,510 | 769,365 | 5.29 | % | ||||||||
NTT Data Corp | 43,989 | 686,228 | 4.72 | % | ||||||||
Temenos AG | 4,273 | 686,015 | 4.72 | % | ||||||||
Capgemini SE | 3,525 | 676,640 | 4.65 | % | ||||||||
Cognizant Technology Solutions Corp | 9,737 | 674,382 | 4.64 | % | ||||||||
Infosys Ltd | 30,089 | 637,588 | 4.39 | % | ||||||||
Indra Sistemas SA | 65,875 | 600,635 | 4.13 | % | ||||||||
Citrix Systems Inc | 5,013 | 587,878 | 4.04 | % | ||||||||
DXC Technology Co | 14,795 | 576,130 | 3.96 | % | ||||||||
TietoEVRY Oyj | 16,198 | 511,312 | 3.52 | % | ||||||||
SYNNEX Corp | 3,998 | 486,840 | 3.35 | % | ||||||||
Conduent Inc | 64,735 | 485,512 | 3.34 | % | ||||||||
Software AG | 10,722 | 482,025 | 3.32 | % | ||||||||
Concentrix Corp | 2,224 | 357,697 | 2.47 | % | ||||||||
$ | 14,535,978 | 100.00 | % |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Schedule of Investments
June 30, 2021
MSFDRUS Index | ||||||||||||
Name | Quantity | Value | Weight | |||||||||
USD Cash | 29,058,552 | $ | 29,058,552 | 75.11 | % | |||||||
EUR CASH | (1,267,592 | ) | (1,503,311 | ) | (3.89 | %) | ||||||
NOK Cash | (10,996,467 | ) | (1,277,886 | ) | (3.30 | %) | ||||||
CNY Cash | (3,766,411 | ) | (582,900 | ) | (1.51 | %) | ||||||
CAD Cash | (453,023 | ) | (365,843 | ) | (0.95 | %) | ||||||
GBP Cash | (231,271 | ) | (319,479 | ) | (0.83 | %) | ||||||
HKD Cash | 1,771,708 | 228,139 | 0.59 | % | ||||||||
Mowi Asa | 8,900 | 226,503 | 0.59 | % | ||||||||
Idexx Labs | 326 | 205,885 | 0.53 | % | ||||||||
Dnb Asa | 9,363 | 204,121 | 0.53 | % | ||||||||
American Homes 4 Rent | 5,010 | 194,639 | 0.50 | % | ||||||||
Union Pacific Cp | 864 | 190,020 | 0.49 | % | ||||||||
Vonovia Se | 2,763 | 178,651 | 0.46 | % | ||||||||
Invitation Homes | 4,769 | 177,836 | 0.46 | % | ||||||||
Cdn Pac Rlway | 2,245 | 172,663 | 0.45 | % | ||||||||
Zoetis Inc | 903 | 168,283 | 0.43 | % | ||||||||
ZAR Cash | (2,379,933 | ) | (166,676 | ) | (0.43 | %) | ||||||
Republic Svcs | 1,463 | 160,945 | 0.42 | % | ||||||||
Li Ning | 13,136 | 160,354 | 0.41 | % | ||||||||
Anta Sports | 6,801 | 160,087 | 0.41 | % | ||||||||
Waste Connections Inc | 1,333 | 159,426 | 0.41 | % | ||||||||
Chewy Inc - Class A | 1,916 | 152,724 | 0.39 | % | ||||||||
CHF Cash | 138,873 | 150,230 | 0.39 | % | ||||||||
Salmar Asa | 2,073 | 137,603 | 0.36 | % | ||||||||
JPY Cash | (14,928,581 | ) | (134,504 | ) | (0.35 | %) | ||||||
Waste Management | 955 | 133,805 | 0.35 | % | ||||||||
Alibaba Group Holding Ltd | 589 | 133,573 | 0.35 | % | ||||||||
Leg Immobilien Se | 882 | 127,039 | 0.33 | % | ||||||||
Cf Industries Holdings | 2,466 | 126,876 | 0.33 | % | ||||||||
Csx Corp | 3,912 | 125,497 | 0.32 | % | ||||||||
Nutrien Ltd | 2,065 | 125,160 | 0.32 | % | ||||||||
West Fraser | 1,741 | 125,116 | 0.32 | % | ||||||||
Norfolk Southern | 469 | 124,477 | 0.32 | % | ||||||||
Deutsche Wohnen Se | 2,023 | 123,750 | 0.32 | % | ||||||||
Mid Am Apt Comm | 712 | 119,915 | 0.31 | % | ||||||||
Tencent Holdings Ltd. | 1,525 | 114,681 | 0.30 | % | ||||||||
Pool Corp | 249 | 114,206 | 0.30 | % | ||||||||
Gfl Environmental Inc-Sub Vt | 3,577 | 114,178 | 0.30 | % | ||||||||
Equity Residential | 1,437 | 110,649 | 0.29 | % | ||||||||
Bakkafrost | 1,305 | 107,825 | 0.28 | % | ||||||||
Stora Enso Oyj R | 5,877 | 107,266 | 0.28 | % | ||||||||
Louisiana Pacif | 1,769 | 106,653 | 0.28 | % | ||||||||
DKK Cash | (660,058 | ) | (105,262 | ) | (0.27 | %) | ||||||
Essex Prop Tr | 349 | 104,703 | 0.27 | % | ||||||||
Darling Ingredients Inc | 1,545 | 104,288 | 0.27 | % | ||||||||
Kansas City Southern | 363 | 102,863 | 0.27 | % | ||||||||
Trupanion Inc | 892 | 102,669 | 0.27 | % | ||||||||
Avalonbay Communities Inc. Stock | 489 | 102,049 | 0.26 | % | ||||||||
Nb: Lomon Billions Group Co Ltd | 19,047 | 101,934 | 0.26 | % | ||||||||
Prologis Inc | 849 | 101,481 | 0.26 | % | ||||||||
Other Underlying Index Components * | 8,297,128 | 21.44 | % | |||||||||
$ | 38,688,581 | 100.00 | % |
* Largest 50 underlying components by market value at June 30, 2021 are listed.
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Statement of Assets and Liabilities
June 30, 2021
Assets | ||||
Investments, at value (cost $51,561,252) | $ | 52,783,472 | ||
Cash | 9,161,101 | |||
Cash collateral for derivative instruments | 21,095,084 | |||
Deposits with brokers for derivative instruments | 24,149,654 | |||
Foreign currency, at value (cost $1,578,307) | 1,572,119 | |||
Premiums paid for swaps | 107,054 | |||
Unrealized appreciation on swaps | 435,494 | |||
Unrealized appreciation on forward currency contracts | 31,115 | |||
Receivables: | ||||
Investment securities sold | 1,964,130 | |||
Dividend and tax reclaim receivable | 9,647 | |||
Fund shares sold | 26,133 | |||
Prepaid expenses | 11,530 | |||
Total Assets | 111,346,533 | |||
Liabilities | ||||
Written options, at value (premiums received $666,200) | 670,259 | |||
Premiums received from swaps | 25,339 | |||
Unrealized depreciation on swaps | 233,314 | |||
Payables: | ||||
Investment securities purchased | 266,922 | |||
Due to Investment Adviser | 55,843 | |||
Accrued Distribution fees | 639 | |||
Other accrued expenses | 93,748 | |||
Total Liabilities | 1,346,064 | |||
Net Assets | $ | 110,000,469 | ||
COMPONENTS OF NET ASSETS | ||||
Paid-in capital | $ | 101,663,790 | ||
Distributable Earnings | 8,336,679 | |||
Net Assets | $ | 110,000,469 | ||
Institutional Class: | ||||
Net assets applicable to shares outstanding | $ | 1,989,811 | ||
Shares outstanding (unlimited shares authorized with no par value) | 198,700 | |||
Net Asset Value, Redemption Price and Offering Price Per Share | $ | 10.01 | ||
Super Institutional Class: | ||||
Net assets applicable to shares outstanding | $ | 108,010,658 | ||
Shares outstanding (unlimited shares authorized with no par value) | 10,764,326 | |||
Net Asset Value, Redemption Price and Offering Price Per Share | $ | 10.03 |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Statement of Operations
For the Year Ended June 30, 2021
Investment Income | ||||
Dividend income (Net of foreign tax of $3,362) | $ | 32,762 | ||
Interest | 131,543 | |||
Total Investment Income | 164,305 | |||
Expenses | ||||
Management fees | 1,152,368 | |||
Administration fees | 190,740 | |||
Transfer agent fees | 63,123 | |||
Interest expense | 62,454 | |||
Legal fees | 57,390 | |||
Audit fees | 34,585 | |||
Custody fees | 28,850 | |||
Registration fees | 18,004 | |||
Trustees fees | 15,967 | |||
Compliance fees | 12,286 | |||
Reports to shareholders | 9,638 | |||
Miscellaneous expenses | 7,300 | |||
Insurance expense | 3,593 | |||
Total expenses | 1,656,298 | |||
Less: Expense waived by the Adviser (Note 3) | (244,854 | ) | ||
Net expenses | 1,411,444 | |||
Net Investment Loss | (1,247,139 | ) | ||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments | (4,756,429 | ) | ||
Written options | 6,635,643 | |||
Forward currency contracts | 1,436,129 | |||
Futures contracts | 5,819,660 | |||
Foreign currency | 468,655 | |||
Swap contracts | 1,986,898 | |||
Net realized gain | 11,590,556 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,795,039 | |||
Written options | (146,934 | ) | ||
Forward currency contracts | 318,308 | |||
Futures contracts | (1,253,288 | ) | ||
Foreign currency | (2,648 | ) | ||
Swap contracts | 532,756 | |||
Net change in unrealized appreciation (depreciation) | 1,243,233 | |||
Net realized and unrealized gain on investments, written options, forward currency, futures contracts, | ||||
foreign currency, and swap contracts | 12,833,789 | |||
Net Increase in Net Assets from Operations | $ | 11,586,650 | ||
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Statements of Changes in Net Assets
For the Year | For the Year | |||||||
ended | ended | |||||||
Operations | June 30, 2021 | June 30, 2020 | ||||||
Net investment income (loss) | $ | (1,247,139 | ) | $ | 306,377 | |||
Net realized gain on investments, written options, forward currency, futures contracts, foreign currency, and swap contracts | 11,590,556 | 16,008,120 | ||||||
Net change in unrealized appreciation (depreciation) on investments, written options, forward currency, futures contracts, foreign currency, and swap contracts | 1,243,233 | (1,005,595 | ) | |||||
Net increase in net assets resulting from operations | 11,586,650 | 15,308,902 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
Net dividends and distributions to shareholders - Institutional Class | (103,953 | ) | — | |||||
Net dividends and distributions to shareholders - Super Institutional Class | (9,031,859 | ) | (41,301 | ) | ||||
Net decrease in net assets resulting from distributions paid | (9,135,812 | ) | (41,301 | ) | ||||
CAPITAL TRANSACTIONS | ||||||||
Proceeds from shares sold | ||||||||
Institutional Class | 570,655 | 6,031,987 | ||||||
Super Institutional Class | 6,414,893 | 12,717,199 | ||||||
Proceeds from reinvestment of distributions | ||||||||
Institutional Class | 95,877 | — | ||||||
Super Institutional Class | 7,100,516 | 41,167 | ||||||
Cost of units redeemed | ||||||||
Institutional Class | (60,877 | ) | (7,539,454 | ) | ||||
Super Institutional Class | (75,190,839 | ) | (43,919,801 | ) | ||||
Net decrease in net assets from capital transactions | (61,069,775 | ) | (32,668,902 | ) | ||||
Total decrease in net assets | (58,618,937 | ) | (17,401,301 | ) | ||||
Net Assets | ||||||||
Beginning of year | 168,619,406 | 186,020,707 | ||||||
End of year | $ | 110,000,469 | $ | 168,619,406 | ||||
CAPITAL SHARE TRANSACTIONS | ||||||||
Institutional Class | ||||||||
Shares sold | 57,262 | 620,541 | ||||||
Shares reinvested | 10,265 | — | ||||||
Shares redeemed | (6,135 | ) | (788,290 | ) | ||||
Net increase (decrease) in shares outstanding | 61,392 | (167,749 | ) | |||||
Super Institutional Class | ||||||||
Shares sold | 656,891 | 1,358,090 | ||||||
Shares reinvested | 758,602 | 4,494 | ||||||
Shares redeemed | (7,754,550 | ) | (4,627,289 | ) | ||||
Net decrease in shares outstanding | (6,339,057 | ) | (3,264,705 | ) |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Financial Highlights
Institutional Class
For a capital share outstanding throughout the years presented
For the Year | For the Year | For the Year | For the Year | For the Year | ||||||||||||||||
ended | ended | ended | ended | ended | ||||||||||||||||
June 30, 2021 | June 30, 2020 | June 30, 2019 | June 30, 2018 | June 30, 2017 | ||||||||||||||||
Net asset value, beginning of year | $ | 9.76 | $ | 8.99 | $ | 9.69 | $ | 9.73 | $ | 9.56 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment loss (1) | (0.10 | ) | (0.00 | )^ | (0.03 | ) | (0.08 | ) | (0.08 | ) | ||||||||||
Net realized and unrealized gain on investments | 1.08 | 0.77 | 0.10 | 0.36 | 0.29 | |||||||||||||||
Total from investment operations | 0.98 | 0.77 | 0.07 | 0.28 | 0.21 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
From net investment income | (0.41 | ) | — | (0.77 | ) | (0.12 | ) | (0.04 | ) | |||||||||||
From net realized gain on investments | (0.32 | ) | — | — | (0.20 | ) | — | |||||||||||||
Total distributions | (0.73 | ) | — | (0.77 | ) | (0.32 | ) | (0.04 | ) | |||||||||||
Net asset value, end of year | $ | 10.01 | $ | 9.76 | $ | 8.99 | $ | 9.69 | $ | 9.73 | ||||||||||
Total return | 10.58 | % | 8.57 | % | 1.09 | % | 2.96 | % | 2.18 | % | ||||||||||
SUPPLEMENTAL DATA AND RATIOS: | ||||||||||||||||||||
Net assets, end of year (in thousands) | $ | 1,990 | $ | 1,340 | $ | 2,743 | $ | 1,438 | $ | 1,048 | ||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
Before fees waived by the Adviser (2) | 1.32 | % | 1.19 | % | 1.24 | % | 1.19 | % | 1.19 | % | ||||||||||
After fees waived by the Adviser (2) | 1.11 | % | 1.09 | % | 1.13 | % | 1.06 | % | 1.09 | % | ||||||||||
Ratio of net investment loss to average net assets | ||||||||||||||||||||
Before fees waived by the Adviser (3) | -1.19 | % | -0.11 | % | -0.46 | % | -0.97 | % | -0.97 | % | ||||||||||
After fees waived by the Adviser (3) | -0.98 | % | -0.01 | % | -0.35 | % | -0.84 | % | -0.87 | % | ||||||||||
Portfolio turnover rate (4) | 13 | % | 88 | % | 81 | % | 11 | % | 4 | % |
^ | Amount represents less than $0.01 per share. |
(1) | Computed using the average shares method. |
(2) | The ratios of expenses to average net assets include interest and brokerage expenses. For the years ended June 30, 2017, June 30, 2018, June 30, 2019, June 30, 2020 and June 30, 2021, excluding interest and brokerage expenses, the ratios of expenses to average net assets, before fees waived by the Adviser, were 1.18%, 1.18%, 1.23%, 1.18% and 1.26% , respectively. Excluding interest and brokerage expenses, the ratios of expenses to average net assets, after fees waived by the Adviser, were 1.07%, 1.05%, 1.12%, 1.08% and 1.05%, respectively. |
(3) | The ratios of net investment loss to average net assets include interest and brokerage expenses. For the years ended June 30, 2017, June 30, 2018, June 30, 2019, June 30, 2020 and June 30, 2021, excluding interest and brokerage expenses, the ratios of net investment loss to average net assets, before fees waived by the Adviser, were -0.96%, -0.96%, -0.45%, -0.10% and -1.14%, respectively. Excluding interest and brokerage expenses, the ratios of net investment loss to average net assets, after fees waived by the Adviser, were -0.85%, -0.83%, -0.34%, 0.00% and -0.93%, respectively. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. The ratio is calculated including cash and long-term derivative positions, as they represent a significant percentage of the Fund's holdings |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Financial Highlights
Super Institutional Class
For a capital share outstanding throughout the years presented
For the Year | For the Year | For the Year | For the Year | For the Year | ||||||||||||||||
ended | ended | ended | ended | ended | ||||||||||||||||
June 30, 2021 | June 30, 2020 | June 30, 2019 | June 30, 2018 | June 30, 2017 | ||||||||||||||||
Net asset value, beginning of year | $ | 9.78 | $ | 9.00 | $ | 9.69 | $ | 9.73 | $ | 9.56 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss) (1) | (0.10 | ) | 0.02 | (0.02 | ) | (0.08 | ) | (0.08 | ) | |||||||||||
Net realized and unrealized gain on investments | 1.08 | 0.76 | 0.10 | 0.36 | 0.29 | |||||||||||||||
Total from investment operations | 0.98 | 0.78 | 0.08 | 0.28 | 0.21 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
From net investment income | (0.41 | ) | (0.00 | )^ | (0.77 | ) | (0.12 | ) | (0.04 | ) | ||||||||||
From net realized gain on investments | (0.32 | ) | — | — | (0.20 | ) | — | |||||||||||||
Total distributions | (0.73 | ) | (0.00 | ) | (0.77 | ) | (0.32 | ) | (0.04 | ) | ||||||||||
Net asset value, end of year | $ | 10.03 | $ | 9.78 | $ | 9.00 | $ | 9.69 | $ | 9.73 | ||||||||||
Total return | 10.60 | % | 8.69 | % | 1.21 | % | 2.96 | % | 2.18 | % | ||||||||||
SUPPLEMENTAL DATA AND RATIOS: | ||||||||||||||||||||
Net assets, end of year (in thousands) | $ | 108,011 | $ | 167,280 | $ | 183,278 | $ | 178,578 | $ | 185,112 | ||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
Before fees waived by the Adviser (2) | 1.29 | % | 1.16 | % | 1.17 | % | 1.19 | % | 1.17 | % | ||||||||||
After fees waived by the Adviser (2) | 1.10 | % | 1.06 | % | 1.06 | % | 1.06 | % | 1.06 | % | ||||||||||
Ratio of net investment income (loss) to average net assets | ||||||||||||||||||||
Before fees waived by the Adviser (3) | -1.16 | % | 0.07 | % | -0.35 | % | -0.97 | % | -0.95 | % | ||||||||||
After fees waived by the Adviser (3) | -0.97 | % | 0.17 | % | -0.24 | % | -0.84 | % | -0.84 | % | ||||||||||
Portfolio turnover rate (4) | 13 | % | 88 | % | 81 | % | 11 | % | 4 | % |
^ | Amount represents less than $0.01 per share. |
(1) | Computed using the average shares method. |
(2) | The ratios of expenses to average net assets include interest and brokerage expenses. For the years ended June 30, 2017, June 30, 2018, June 30, 2019, June 30, 2020 and June 30, 2021, excluding interest and brokerage expenses, the ratios of expenses to average net assets, before fees waived by the Adviser, were 1.15%, 1.18%, 1.16%, 1.15% and 1.24%, respectively. Excluding interest and brokerage expenses, the ratios of expenses to average net assets, after fees waived by the Adviser, were 1.05%, 1.05%, 1.05%, 1.05% and 1.05%, respectively. |
(3) | The ratios of net investment income (loss) to average net assets include interest and brokerage expenses. For the years ended June 30, 2017, June 30, 2018, June 30, 2019, June 30, 2020 and June 30, 2021, excluding interest and brokerage expenses, the ratios of net investment income (loss) to average net assets, before fees waived by the Adviser, were -0.93%, -0.96%, -0.34%, 0.08% and -1.12%, respectively. Excluding interest and brokerage expenses, the ratios of net investment income (loss) to average net assets, after fees waived by the Adviser, were -0.83%, -0.83%, -0.23%, 0.18% and -0.93%, respectively. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. The ratio is calculated including cash and long-term derivative positions, as they represent a significant percentage of the Fund's holdings. |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Notes to Consolidated Financial Statements
June 30, 2021
Note 1 – Organization
Fulcrum Diversified Absolute Return Fund (the “Fund”) is a diversified series of Trust for Advised Portfolios (the “Trust”). The Trust, a Delaware Statutory Trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end investment management company. Fulcrum Asset Management LLP (the “Adviser”) serves as the investment manager to the Fund.
The investment objective of the Fund is to achieve long-term absolute returns. The inception date of the Fund was July 31, 2015. The Fund currently offers two classes of shares, Institutional Class and Super Institutional Class. Each class of shares represents an equal interest in the Fund, except the difference of class specific expenses, which reflects the difference in the range of services provided to each class. Income, expenses (other than class specific), and realized and unrealized gains and losses on investments are allocated daily to each class based on relative net assets.
The Fund may issue an unlimited number of shares of beneficial interest, with no par value. All shares of the Fund have equal rights and privileges.
In order to achieve its investment objective, the Fund invests up to 25% of its total assets (measured at the time of purchase) in a wholly-owned and controlled Cayman Islands subsidiary, the Fulcrum Diversified Absolute Return Cayman Fund Ltd. (the “Subsidiary”). The Subsidiary acts as an investment vehicle that enables the Fund to gain exposure to certain investments consistent with its investment objectives and policies specified in the Prospectus and Statement of Additional Information. At June 30, 2021 the Fund’s investment in the Subsidiary represented 4.76% of the Fund’s net assets. The results from operations of the Subsidiary were as follows:
Net investment loss | $ | (33,208 | ) | |
Net realized gain | 4,134,823 | |||
Net change in unrealized appreciation (depreciation) | 55,844 | |||
Net increase in net assets resulting from Operations | $ | 4,157,459 |
The consolidated financial statements of the Fund include the financial statements of the Subsidiary.
All intercompany accounts and transactions have been eliminated in consolidation. Because the Fund may invest a substantial portion of its assets in the Subsidiary, the Fund may be considered to be indirectly investing in said investments. As such, references to the Fund may also include its Subsidiary. When viewed on a consolidated basis, the Subsidiary will be subject to the same investment restrictions and limitations and follow the same compliance policies and procedures as the Fund. The Fund and its Subsidiary are each a “commodity pool” under the U.S. Commodity Exchange Act, and the Adviser is a “commodity pool operator” registered with and regulated by the Commodity Futures Trading Commission (“CFTC”). As a result, additional CFTC-mandated disclosure, reporting and recordkeeping obligations apply with respect to the Fund and its Subsidiary under CFTC and the U.S. Securities and Exchange Commission (the “SEC”) harmonized regulations.
Fulcrum Diversified Absolute Return Fund
Notes to Consolidated Financial Statements (Continued)
June 30, 2021
At June 30, 2021, the investment held in the Subsidiary was $5,234,143; there were $1,491,388 of unrealized gains in the Subsidiary. The Subsidiary holds cash and cash equivalents as collateral on open contracts. There were 236 futures contracts and 459 options contracts as detailed in the Consolidated Schedule of Investments.
Note 2 – Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”) for investment companies. The Fund is considered an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
(a) Securities Valuation
The Fund follows a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Fund’s own market assumptions (unobservable inputs). The inputs or methodology used in determining the value of the Fund’s investments are not necessarily an indication of the risk associated with investing in those securities.
Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized into three broad categories as defined below:
Level 1 - Quoted prices in active markets for identical securities. An active market for a security is a market in which transactions occur with sufficient frequency and volume to provide pricing information on an ongoing basis. A quoted price in an active market provides the most reliable evidence of fair value.
Level 2 - Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data.
Level 3 - Significant unobservable inputs, including the Fund’s own assumptions in determining fair value of investments
Equity Securities that are traded on a national securities exchange are stated at the last reported sales price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.
Debt securities, including corporate, convertible, U.S. government agencies, U.S. treasury obligations, and sovereign issues, are normally valued by pricing service providers that use broker dealer quotations or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risk/spreads and default rates. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Fulcrum Diversified Absolute Return Fund
Notes to Consolidated Financial Statements (Continued)
June 30, 2021
Derivative instruments, such as foreign currency contracts, options contracts, futures, or swap agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. Exchange traded derivatives are normally valued at the daily settlement price or composite mean depending on the product type. When these valuations are used, the positions are classified as Level 1 in the fair value hierarchy. Over-the-counter derivatives are valued by an independent pricing service using a series of techniques, including simulation pricing models. The pricing models use various inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, implied volatility and exchange rates. When prices are determined by the pricing agent, positions are classified as Level 2 of the fair value hierarchy.
Dispersion warrants are valued using prices provided by the respective counterparty and are reviewed by the Adviser. These valuations are classified a Level 2 of the fair value hierarchy.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a summary of the fair values of the Fund’s consolidated investments in each category investment type as of June 30, 2021:
Description | Quoted Prices Level 1 | Other Significant Observable Inputs Level 2 | Significant Unobservable Inputs Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Common Stocks | $ | 5,339,550 | $ | — | $ | — | $ | 5,339,550 | ||||||||
Preferred Stocks | 2,395 | — | — | 2,395 | ||||||||||||
Purchased Options and Warrants | 1,087,430 | 2,608,210 | — | 3,695,640 | ||||||||||||
Short-Term Investments | — | 43,745,887 | — | 43,745,887 | ||||||||||||
Total Investments | $ | 6,429,375 | $ | 46,354,097 | $ | — | $ | 52,783,472 |
Description | Quoted Prices Level 1 | Other Significant Observable Inputs Level 2 | Significant Unobservable Inputs Level 3 | Total | ||||||||||||
Other Financial Instruments | ||||||||||||||||
Written Options | $ | (453,400 | ) | $ | (216,859 | ) | $ | — | $ | (670,259 | ) | |||||
Forward Currency Contracts * | — | 31,115 | — | 31,115 | ||||||||||||
Futures Contracts * | 1,551,093 | — | — | 1,551,093 | ||||||||||||
Interest Rate Swaps * | — | (32,121 | ) | — | (32,121 | ) | ||||||||||
Credit Default Swaps * | — | 1,977 | — | 1,977 | ||||||||||||
Total Return Swaps * | — | 232,324 | — | 232,324 | ||||||||||||
Total Other Financial Instruments | $ | 1,097,693 | $ | 16,436 | $ | — | $ | 1,114,129 |
* Forward Currency Contracts, Total Return Swaps, Interest Rate Swaps, Credit Default Swaps and Futures Contracts are valued at the unrealized appreciation (depreciation) of the instrument.
Fulcrum Diversified Absolute Return Fund
Notes to Consolidated Financial Statements (Continued)
June 30, 2021
(b) Derivatives
The Fund invests in certain derivative instruments, as detailed below, to meet its investment objectives. Derivatives are financial contracts whose value depends upon, or is derived from, the value of an underlying asset, reference rate, or index, and may relate to equity securities, fixed income securities, interest rates, commodities, or currency exchange rates and related indexes. The Fund may also use these derivatives to modify or hedge the Fund’s exposure to a particular investment market related risk, as well as to manage the volatility of the Fund. Additionally, the Fund may use derivatives to manage cash. By investing in derivatives, the Fund attempts to achieve the economic equivalence it would achieve if it were to invest directly in the underlying security. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligation under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell at favorable prices) and the potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Consolidated Statement of Assets and Liabilities.
Specific types of derivative instruments used by the Fund for the year ended June 30, 2021, include purchased options and warrants; written options; forward currency and futures contracts; and interest rate, inflation, credit default and total return swaps. All open derivative positions are listed on the Consolidated Schedule of Investments.
Options Contracts – The Fund may write call and put options on securities, derivative instruments, or currencies. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked-to-market to reflect the current value of the option written. These liabilities are reflected as written options outstanding in the Consolidated Statement of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Written options which are closed or exercised will result in a gain if the closing price of the underlying security is lower than the premium received. The Fund, as a writer of an option, has no control over whether the underlying security may be sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of said underlying security. The risk exists that the Fund may not be able to enter into a closing transaction because of an illiquid market.
The Fund may also purchase call and put options. The Fund pays a premium which is included in the Consolidated Statement of Assets and Liabilities as an investment and subsequently marked-to-market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Purchasing options will result in a gain if the closing price of the transaction is higher than the premium paid.
Dispersion Warrants – The Fund makes investments in dispersion warrants as detailed in the Consolidated Statement of Investments. The final payout is calculated based on the volatility of a basket of underlying stocks compared to an established strike value for each constituent relative to the actual volatility of the overall index compared to an index strike value. The Fund pays a premium for each warrant. The Fund will recognize a gain if the dispersion calculation results in a payment greater than the premium paid. Otherwise, the Fund will recognize a realized loss at maturity. The amount of loss is limited to the amount of premium paid.
Fulcrum Diversified Absolute Return Fund
Notes to Consolidated Financial Statements (Continued)
June 30, 2021
Forward and Futures Contracts – A forward contract involves a negotiated obligation to purchase or sell a specific asset at a future date, at a price set at the time of the contract. A futures contract is a standardized forward contract to buy or sell a financial instrument or commodity at a predetermined price in the future. The primary risks associated with the use of these contracts are: (a) the imperfect correlation between the change in market value of the instruments held by the Fund and the price of the forward or futures contract, (b) possible lack of a liquid secondary market for a forward or futures contract and the resulting inability to close a forward or futures contract when desired, (c) losses caused by unanticipated market movements, which are potentially unlimited, (d) the Adviser’s inability to predict correctly the direction of securities prices, interest rates, currency exchange rates and other economic factors, (e) the possibility that the counterparty will default in the performance of its obligations, and (f) if the Fund has insufficient cash, it may have to sell securities from its portfolio to meet daily variation margin requirements, thus the Fund may have to sell securities at a time when it may be disadvantageous to do so.
Swap Contracts – The Fund invests in total return swaps, in which payments made by the Fund or the counterparty are based on the total return of a particular reference asset or portfolio of assets (such as a single security, combination or “basket” of securities, or an index). The value of the Fund’s swap positions increases or decreases depending on the changes in value of the underlying rates, currency values, volatility or other indices or measures.
The Fund enters into interest rate swaps. The two parties to the swap exchange the right to receive floating interest payments versus fixed interest payments. The value of an interest rate swap will change based on the spread between the rates.
The Fund invests in inflation swaps. The two parties exchange the return based on an inflation index for a fixed coupon payment. The value of the Fund’s position changes based on the change in the underlying inflation index value.
The Fund enters into credit default swap agreements, credit default index swap agreements and similar agreements as a protection “seller” or as a “buyer” of credit protection. The credit default swap agreement or similar instruments may have as reference obligations one or more securities that are not held by the Fund. The protection “buyer” in a credit default swap agreement is generally obligated to pay the protection “seller” a periodic stream of payments over the term of the agreement, provided generally that no credit event on a reference obligation has occurred. In addition, at the inception of the agreement, the protection “buyer” may receive or be obligated to pay an additional up-front amount depending on the current market value of the contract. If a credit event occurs, an auction process is used to determine the “recovery value” of the contract. The seller then must pay the buyer the “par value” (full notional value) of the swap contract minus the “recovery value” as determined by the auction process. For credit default index swaps, the settlement payment for a constituent’s credit event is scaled down to the weighting in the index.
As a seller of protection, the Fund generally receives a fixed rate of income throughout the term of the swap provided that there is no credit event. In addition, at the inception of the agreement, the Fund may receive or be obligated to pay an additional up-front amount depending on the current market value of the contract. If a credit event occurs, the Fund will be generally obligated to pay the buyer the “par value” (full notional value) of the swap contract minus the “recovery value” as determined by the auction process. Credit default swaps could result in losses if the Adviser does not correctly evaluate the creditworthiness of the underlying instrument on which the credit default swap is based. Additionally, if the Fund is a seller of a credit default swap and a credit event occurs, the Fund could suffer significant losses.
Fulcrum Diversified Absolute Return Fund
Notes to Consolidated Financial Statements (Continued)
June 30, 2021
Changes in value of swaps are recorded as unrealized appreciation (depreciation). Unrealized gains are reported as an asset and unrealized losses are reported as a liability. The change in value of swaps, including accruals of interest to be paid or received is reported as unrealized gains or losses. Gains or losses are realized upon termination of the contracts. The risk of loss on a swap contract may exceed the amount recorded as an asset or liability on the Consolidated Statement of Assets and Liabilities. The notional amount of a swap contract is the reference amount pursuant to which the counterparties make payments. Risks associated with swap contracts include changes in the returns of underlying instruments, failure of the counterparties to perform under a contract’s terms and the possible lack of liquidity with respect to the contracts.
Derivative Investment Holdings Categorized by Risk Exposure — The following table sets forth the fair value and the location in the Consolidated Statement of Assets and Liabilities of the Fund’s derivative contracts by primary risk exposure as of June 30, 2021:
Consolidated Statement of Assets and Liabilities Location
Assets | ||||||||||||||||
Risk Exposure Category | Investments (1) | Unrealized Appreciation on Forward Currency Contracts | Unrealized Appreciation on Swaps | Unrealized Appreciation on Futures (2) | ||||||||||||
Interest rate | $ | 27,779 | $ | — | $ | 81,271 | $ | 181,313 | ||||||||
Credit | — | — | 6,916 | — | ||||||||||||
Currency | 1,154,662 | 31,115 | — | 7,901 | ||||||||||||
Equity | 403,080 | — | 347,307 | 1,769,562 | ||||||||||||
Commodity | 1,107,707 | — | — | 893,816 | ||||||||||||
Volatility | 1,002,412 | — | — | 13,277 | ||||||||||||
Total | $ | 3,695,640 | $ | 31,115 | $ | 435,494 | $ | 2,865,869 |
Liabilities | ||||||||||||||||
Risk Exposure Category | Written Options | Unrealized Depreciation on Forward Currency Contracts | Unrealized Depreciation on Swaps | Unrealized Depreciation on Futures (2) | ||||||||||||
Interest rate | $ | (72,206 | ) | $ | — | $ | (113,392 | ) | $ | (874,123 | ) | |||||
Credit | — | — | (4,939 | ) | — | |||||||||||
Currency | (10,676 | ) | — | — | (146,304 | ) | ||||||||||
Equity | (17,138 | ) | — | (106,347 | ) | (148,290 | ) | |||||||||
Commodity | (229,890 | ) | — | (8,636 | ) | (138,275 | ) | |||||||||
Volatility | (340,349 | ) | — | — | (7,784 | ) | ||||||||||
Total | $ | (670,259 | ) | $ | — | $ | (233,314 | ) | $ | (1,314,776 | ) |
(1) Includes purchased options and warrants.
Fulcrum Diversified Absolute Return Fund
Notes to Consolidated Financial Statements (Continued)
June 30, 2021
(2) Reflects the cumulative unrealized appreciation (depreciation) of futures contracts as reported in the Fund’s Consolidated Schedule of Investments. The variation margin is captured in the deposits with brokers for derivative instruments in the Fund’s Consolidated Statement of Assets and Liabilities.
The following table sets forth the Fund’s realized and unrealized gain (loss), as reflected in the Consolidated Statement of Operations, by primary risk exposure and by type of derivative contract for the year ended June 30, 2021:
Amount of Realized Gain / (Loss) on Derivatives | ||||||||||||||||||||||||
Risk Exposure Category | Investments (1) | Written Options | Forward Currency Contracts | Futures Contracts | Swap Contracts | Total | ||||||||||||||||||
Interest rate (2) | $ | (364,597 | ) | $ | 474,098 | $ | — | $ | 1,560,233 | $ | (2,362,777 | ) | $ | (693,043 | ) | |||||||||
Commodity | (266,370 | ) | 2,176,941 | — | 2,207,804 | 60,539 | 4,178,914 | |||||||||||||||||
Credit | — | — | — | — | (617,898 | ) | (617,898 | ) | ||||||||||||||||
Currency | (2,998,088 | ) | 661,598 | 1,436,129 | 181,941 | — | (718,420 | ) | ||||||||||||||||
Equity | (2,930,194 | ) | 2,892,669 | — | 1,869,661 | 4,907,034 | 6,739,170 | |||||||||||||||||
Volatility | 1,720,364 | 430,337 | — | 21 | — | 2,150,722 | ||||||||||||||||||
Total | $ | (4,838,885 | ) | $ | 6,635,643 | $ | 1,436,129 | $ | 5,819,660 | $ | 1,986,898 | $ | 11,039,445 |
Change in Unrealized Gain / (Loss) on Derivatives | ||||||||||||||||||||||||
Risk Exposure Category | Investments (1) | Written Options | Forward Currency Contracts | Futures Contracts | Swap Contracts | Total | ||||||||||||||||||
Interest rate (2) | $ | (72,721 | ) | $ | 195 | $ | — | $ | (758,502 | ) | $ | 602,424 | $ | (228,604 | ) | |||||||||
Credit | — | — | — | — | 1,977 | 1,977 | ||||||||||||||||||
Currency | 612,312 | (26,057 | ) | 318,308 | (111,079 | ) | — | 793,484 | ||||||||||||||||
Equity | 463,346 | (67,833 | ) | — | 504,500 | (63,009 | ) | 837,004 | ||||||||||||||||
Commodity | 755,114 | 62,541 | — | (893,062 | ) | (8,636 | ) | (84,043 | ) | |||||||||||||||
Volatility | (251,146 | ) | (115,780 | ) | — | 4,855 | — | (362,071 | ) | |||||||||||||||
Total | $ | 1,506,905 | $ | (146,934 | ) | $ | 318,308 | $ | (1,253,288 | ) | $ | 532,756 | $ | 957,747 |
(1) Includes purchased options and warrants.
(2) Includes inflation risk
Fulcrum Diversified Absolute Return Fund
Notes to Consolidated Financial Statements (Continued)
June 30, 2021
The average monthly volume of derivative instruments held by the Fund during the year ended June 30, 2021 is set forth below:
Derivative Type | Unit of Measure | Average Quantity | ||||
Credit default swaps | Notional Amount | $ | 4,901,440 | |||
Interest rate swaps * | Notional Amount | $ | 79,608,632 | |||
Total return swaps – Long | Notional Amount | $ | 9,808,575 | |||
Total return swaps – Short | Notional Amount | $ | (44,578,259 | ) | ||
Forward currency contracts | Notional Amount | $ | 217,610,160 | |||
Futures – Long | Notional Amount | $ | 39,094 | |||
Futures – Short | Notional Amount | $ | (23,016 | ) | ||
Purchased options and warrants | Contracts | 9,006 | ||||
Purchased currency options | Notional Amount | $ | 959,039 | |||
Purchased barrier options | Notional Amount | $ | 465,383 | |||
Written options | Contracts | (2,096 | ) | |||
Written currency options | Notional Amount | $ | (51,970 | ) |
* Includes inflation swaps
The Fund is subject to various Master Netting Arrangements, which govern the terms of certain transactions with select counterparties. The Master Netting Arrangements allow the Fund to close out and net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single agreement with a counterparty. The Master Netting Arrangements also specify collateral posting arrangements at pre-arranged exposure levels. Under the Master Netting Arrangements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Netting Arrangement with a counterparty in a given account exceeds a specified threshold depending on the counterparty and the type of Master Netting Arrangement.
Fulcrum Diversified Absolute Return Fund
Notes to Consolidated Financial Statements (Continued)
June 30, 2021
The following tables set forth the Fund’s net exposure for derivative instruments that are subject to enforceable master netting arrangements or similar agreements as of June 30, 2021:
Gross Amounts Offset in the | Net Amounts Presented in the | Gross Amounts not offset in the Consolidated Statement of Assets and Liabilities | ||||||||||||||||||||||
Counterparty | Gross Amounts of Recognized Assets and (Liabilities) | Consolidated Statement of Assets & (Liabilities) | Consolidated Statement of Assets & (Liabilities) | Offsetting Derivative Position | Cash Collateral Pledged (Received)(1) | Net Amount | ||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Purchased Options and Warrants | ||||||||||||||||||||||||
BNP Paribas S.A. | $ | 369,444 | $ | — | $ | 369,444 | $ | — | $ | — | $ | 369,444 | ||||||||||||
Citigroup | 159,241 | 159,241 | 159,241 | |||||||||||||||||||||
Goldman Sachs | 26,551 | — | 26,551 | — | — | 26,551 | ||||||||||||||||||
J.P. Morgan Chase | 1,055,825 | — | 1,055,825 | — | — | 1,055,825 | ||||||||||||||||||
Merrill Lynch | 333,624 | 333,624 | 333,624 | |||||||||||||||||||||
Morgan Stanley | 1,419,287 | — | 1,419,287 | (670,259 | ) | — | 749,028 | |||||||||||||||||
UBS AG | 331,668 | — | 331,668 | — | — | 331,668 | ||||||||||||||||||
Futures Contracts (2) | ||||||||||||||||||||||||
J.P. Morgan Chase | 47,658 | — | 47,658 | — | — | 47,658 | ||||||||||||||||||
Morgan Stanley | 2,818,211 | (1,314,776 | ) | 1,503,435 | — | — | 1,503,435 | |||||||||||||||||
Forward Contracts | ||||||||||||||||||||||||
J.P. Morgan Chase | 476,686 | (445,571 | ) | 31,115 | — | — | 31,115 | |||||||||||||||||
Swaps Contracts | ||||||||||||||||||||||||
Barclays | 30,417 | — | 30,417 | — | — | 30,417 | ||||||||||||||||||
Citigroup | 19,499 | — | 19,499 | — | — | 19,499 | ||||||||||||||||||
Goldman Sachs | 31,379 | — | 31,379 | (21,331 | ) | — | 10,048 | |||||||||||||||||
J.P. Morgan Chase | 201,595 | — | 201,595 | (194,446 | ) | — | 7,149 | |||||||||||||||||
Morgan Stanley | 152,604 | — | 152,604 | (17,537 | ) | — | 135,067 | |||||||||||||||||
$ | 7,473,689 | $ | (1,760,347 | ) | $ | 5,713,342 | $ | (903,573 | ) | $ | — | $ | 4,809,769 | |||||||||||
Liabilities: | ||||||||||||||||||||||||
Written Options | ||||||||||||||||||||||||
Morgan Stanley | $ | (670,259 | ) | $ | — | $ | (670,259 | ) | $ | 670,259 | $ | — | $ | — | ||||||||||
Futures Contracts (2) | ||||||||||||||||||||||||
Morgan Stanley | (1,314,776 | ) | 1,314,776 | — | — | — | — | |||||||||||||||||
Forward Contracts | ||||||||||||||||||||||||
J.P. Morgan Chase | (445,571 | ) | 445,571 | — | — | — | — | |||||||||||||||||
Swaps Contracts | ||||||||||||||||||||||||
Goldman Sachs | (21,331 | ) | — | (21,331 | ) | 21,331 | — | — | ||||||||||||||||
J.P. Morgan Chase | (194,446 | ) | — | (194,446 | ) | 194,446 | — | — | ||||||||||||||||
Morgan Stanley | (17,537 | ) | — | (17,537 | ) | 17,537 | — | — | ||||||||||||||||
$ | (2,663,920 | ) | $ | 1,760,347 | $ | (903,573 | ) | $ | 903,573 | $ | — | $ | — |
(1) | Any over-collateralization of total financial instruments or cash is not shown. |
(2) | Reflects the cumulative unrealized appreciation (depreciation) of futures contracts as reported in the Fund’s Consolidated Schedule of Investments. |
Fulcrum Diversified Absolute Return Fund
Notes to Consolidated Financial Statements (Continued)
June 30, 2021
(c) Use of Estimates
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
(d) Security Transactions and Investment Income
The Fund records security transactions based on trade date. The Fund determines the gain or loss realized from investment transactions by comparing the original cost of the specifically identified security lot sold with the net sales proceeds. Dividend income is recognized on the ex-dividend date, and interest income is recognized on an accrual basis. Discounts and premiums on securities purchased are amortized over the lives of the respective securities using the effective yield method. Withholding taxes on foreign dividends have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates.
(e) Foreign currency translation
Investment securities and other assets and liabilities in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.
The Fund does not isolate that portion of the results of operations resulting from fluctuations in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, including gains and losses on forward foreign currency contracts, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, other than investments in securities, on the date of valuation, resulting from changes in exchange rates.
Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability. As of June 30, 2021, the Fund held foreign currency.
Fulcrum Diversified Absolute Return Fund
Notes to Consolidated Financial Statements (Continued)
June 30, 2021
(f) Distributions to Shareholders
The Fund records distributions to shareholders, which are determined in accordance with income tax regulations, on the ex-dividend date. Distributions of net investment income and net realized gains from investment transactions, if any, will be distributed to shareholders annually. The Fund may periodically make reclassifications among certain income and capital gains distributions determined in accordance with federal tax regulations, which may differ from GAAP. These reclassifications are due to differences in the recognition of income, expense and gain (loss) items for financial statement and tax purposes.
(g) Federal Income Taxes
The Fund has elected to be taxed as a Regulated Investment Company (“RIC”) under the U.S. Internal Revenue Code of 1986, as amended, and intends to maintain this qualification and to distribute substantially all of the net taxable income to its shareholders. Therefore no provision is made for federal income taxes. Due to the timing of dividend distributions and the differences in accounting for income and realized gains and losses for financial statement and federal income tax purpose, the fiscal year in which amounts are distributed may differ from the year in which the income and realized gains and losses are recorded by the Fund.
Management has analyzed the Fund’s tax positions taken on income tax returns for all open tax years (prior three fiscal years) and has concluded that as of June 30, 2021, no provision for income tax is required in the Fund’s financial statements. The Fund’s federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. The Fund has no examination in progress and are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
(h) Restricted Cash & Deposits with Broker
At June 30, 2021, the Fund held restricted cash in connection with investments with certain derivative securities. Restricted cash is held in a segregated account with the Fund’s custodian and is reflected on the Consolidated Statement of Assets and Liabilities as cash collateral for derivative instruments. On June 30, 2021, the Fund had pledged the following amounts as collateral for open currency contracts, options, futures and swap contracts:
Counterparty | Amount Pledged (1) | Deposits with Brokers | ||||||
Barclays | $ | — | $ | — | ||||
Citibank, N.A. | 670,000 | — | ||||||
Goldman Sachs | 860,000 | — | ||||||
J.P. Morgan Chase | 1,715,084 | 1,317,645 | ||||||
Morgan Stanley | 17,850,000 | 22,832,009 | ||||||
Total | $ | 21,095,084 | 24,149,654 |
(1) | Excludes non-pledged cash or collateral held by broker. |
Fulcrum Diversified Absolute Return Fund
Notes to Consolidated Financial Statements (Continued)
June 30, 2021
(i) Cash – Concentration in Uninsured Cash
For cash management purposes the Fund may concentrate cash with the Fund’s custodian. This typically results in cash balances exceeding the Federal Deposit Insurance Corporation (“FDIC”) insurance limits. As of June 30, 2021, the Fund held $8,911,101 as cash reserves at U.S. Bank, N.A. (“U.S. Bank”); $1,067,645 as deposits with broker at J.P. Morgan Chase; and $22,582,009 as deposits with broker at Morgan Stanley that exceeded the FDIC insurance limit.
Note 3 – Investment Management Agreement and Other Related Party Transactions
The Trust has an agreement with the Adviser to furnish investment advisory services to the Fund. Under the terms of this agreement, the Fund will pay the Adviser a monthly fee based on the Fund’s average daily net assets at an annual rate of 0.90%. Pursuant to a contractual fee waiver and reimbursement agreement, the Adviser will reimburse the Fund for expenses in excess of 1.05%, of average daily net assets for both the Institutional and Super Institutional Classes, excluding any shareholder servicing fees pursuant to a Shareholder Servicing Plan, any front-end or contingent deferred loads, taxes, leverage interest, brokerage commissions, acquired fund fees and expenses, expenses incurred in connection with any merger or reorganization, portfolio transaction expenses, interest expense and dividends paid on short sales or extraordinary expenses such as litigation.
The Adviser is permitted to recapture amounts waived and/or reimbursed to a class within three years if the class’s total annual operating expenses have fallen to a level below the expense limitation (“expense cap”) in effect at the time the fees were earned or the expenses incurred. In no case will the Adviser recapture any amount that would result, on any particular business day of the Fund, in the class’s total annual operating expenses exceeding the expense cap or any other lower limit then in effect.
At June 30, 2021, the amounts reimbursed by the Adviser and subject to potential recapture by year were as follows:
Amount | Expiration | |||||
$ | 200,582 | June 30, 2022 | ||||
181,991 | June 30, 2023 | |||||
244,854 | June 30, 2024 | |||||
$ | 627,427 |
Fulcrum Diversified Absolute Return Fund
Notes to Consolidated Financial Statements (Continued)
June 30, 2021
U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as the Fund’s administrator fund accountant and transfer agent. The officers of the Trust are employees of Fund Services. U.S. Bank serves as the Fund’s custodian and provides compliance services to the Fund. For the year ended June 30, 2021, the Fund incurred the following expenses for administration and fund accounting, compliance, custody and transfer agency fees:
Administration and fund accounting | $ | 190,740 | ||
Compliance Services | $ | 12,286 | ||
Custody | $ | 28,850 | ||
Transfer Agency | $ | 63,123 |
At June 30, 2021, the Fund had payables due to Fund Services for administration and fund accounting, compliance, custody, transfer agency fees to U.S. Bank in the following amounts:
Administration and fund accounting | $ | 32,406 | ||
Compliance Services | $ | 2,061 | ||
Custody | $ | 4,938 | ||
Transfer Agency | $ | 10,502 |
The above payable amounts are included in other accrued expenses in the Consolidated Statement of Assets and Liabilities.
The Independent Trustees were paid $15,967 for their services during the year ended June 30, 2021. The Fund pays no compensation to the Interested Trustee or officers of the Trust.
Note 4 – Distribution Plan
Third party distribution and servicing expenses may be paid directly by the Fund or through the Investment Adviser in its administrative role for purposes of facilitating and monitoring payments under the Plan.
Quasar Distributors, LLC (“Quasar” or the “Distributor”) acts as the Fund’s distributor and principal underwriter in a continuous public offering of the Fund’s shares and is paid for its services by the Investment Adviser out of the fees received under the Plan and may be paid out of the Investment Adviser’s own resources.
On July 7, 2021, Foreside Financial Group, LLC (“Foreside”), the parent company of Quasar Distributors, LLC (“Quasar”), the Fund’s distributor, announced that it had entered into a definitive purchase and sale agreement with Genstar Capital (“Genstar”) such that Genstar would acquire a majority stake in Foreside. The transaction is expected to close at the end of the third quarter of 2021. Quasar will remain the Fund’s distributor at the close of the transaction, subject to Board approval.
Fulcrum Diversified Absolute Return Fund
Notes to Consolidated Financial Statements (Continued)
June 30, 2021
Note 5 – Portfolio Securities Transactions
The cost of purchases and proceeds from sales and maturities of long-term securities for the year ended June 30, 2021, were as follows:
Purchases | $ | 14,644,197 | ||||
Sales | $ | 15,091,557 |
Note 6 – Federal Income Tax Information
At June 30, 2021, the components of distributable earnings for income tax purposes were as follows:
Investments | Written Options | Foreign Currencies | Forward Currency Contracts | Futures Contracts | Swap Contracts | Total | ||||||||||||||||||||||
Tax cost of Investments | $ | 51,563,767 | $ | (682,026 | ) | $ | 1,578,307 | $ | (122,058 | ) | $ | 839,743 | $ | 202,180 | $ | 53,379,913 | ||||||||||||
Unrealized Appreciation | 1,915,010 | 11,767 | 3,156 | 160,994 | 829,021 | — | 2,919,948 | |||||||||||||||||||||
Unrealized Depreciation | (695,305 | ) | — | (9,344 | ) | (7,821 | ) | (117,671 | ) | — | (830,141 | ) | ||||||||||||||||
Net unrealized appreciation (depreciation) | 1,219,705 | 11,767 | (6,188 | ) | 153,173 | 711,350 | — | 2,089,807 | ||||||||||||||||||||
Undistributed Ordinary Income | 7,513,986 | — | — | — | — | — | 7,513,986 | |||||||||||||||||||||
Other accumulated gain | (1,267,114 | ) | — | — | — | — | — | (1,267,114 | ) | |||||||||||||||||||
Total distributable earnings | $ | 7,466,577 | $ | 11,767 | $ | (6,188 | ) | $ | 153,173 | $ | 711,350 | $ | — | $ | 8,336,679 |
The difference between book basis and tax basis unrealized appreciation/depreciation is attributable in part to the tax deferral of losses on wash sales.
GAAP requires that certain components of net assets be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. For the year ended June 30, 2021, permanent differences in book and tax accounting have been reclassified to capital, and distributable earnings as follows:
Distributable Earnings | Paid In Capital |
$ (2,325,244) | $ 2,325,244 |
Fulcrum Diversified Absolute Return Fund
Notes to Consolidated Financial Statements (Continued)
June 30, 2021
The tax character of distributions paid during the year ended June 30, 2021, and June 30, 2020 were as follows:
Distributions Paid From: | Year ended June 30, 2021 | Year ended June 30, 2020 | ||||||
Ordinary Income | $ | 7,747,458 | $ | 41,301 | ||||
Long-Term Capital Gains | 1,388,354 | — | ||||||
Total Distributions Paid | $ | 9,135,812 | $ | 41,301 |
The Fund is required, in order to meet certain excise tax requirements, to measure and distribute annually, net capital gains realized during the twelve month period ending October 31. In connection with this requirement, the Fund is permitted, for tax purposes, to defer into its next fiscal year any net capital losses incurred from November 1 through the end of the fiscal year. Late year losses incurred after December 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. At June 30, 2021, the Fund had no late-year losses and $1,272,918 in post-October losses.
At June 30, 2021, the Fund had no capital loss carryforwards, which reduce the Fund’s taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code, and thus will reduce the amount of distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal tax.
Note 7 – Commitments and Contingencies
In the normal course of business, the Fund enters into contracts that provide general indemnifications by the Fund to the counterparty to the contract. The Fund’s maximum exposure under these arrangements is dependent on future claims that may be made against each Fund and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote.
Note 8 – Subsequent Events
Management has evaluated events and transactions that occurred subsequent to June 30, 2021 through the date the financial statements have been issued and has determined that there were no significant subsequent events that would require adjustment to or additional disclosure in these financial statements.
Note 9 – COVID-19 Risk
The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. The operational and financial performance of the issuers of securities in which the Fund invest depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Fund’s investments, impair the Fund’s ability to satisfy redemption requests, and negatively impact the Fund’s performance.
Fulcrum Diversified Absolute Return Fund
Notes to Consolidated Financial Statements (Continued)
June 30, 2021
Note 10 – New Accounting Pronouncement
ASU 2020-04. In March 2020, FASB issued ASU 2020-04, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The main objective of the new guidance is to provide relief to companies that will be impacted by the expected change in benchmark interest rates at the end of 2021, when participating banks will no longer be required to submit London Interbank Offered Rate (“LIBOR”) quotes by the UK Financial Conduct Authority. The new guidance allows companies to, provided the only change to existing contracts are a change to an approved benchmark interest rate, account for modifications as a continuance of the existing contract without additional analysis. In addition, derivative contracts that qualified for hedge accounting prior to modification, will be allowed to continue to receive such treatment, even if critical terms change due to a change in the benchmark interest rate. For new and existing contracts, the Fund may elect to apply the amendments as of March 12, 2020 through December 31, 2022. Management is currently assessing the impact of the ASU’s adoption to the Fund’s consolidated financial statements and various filings.
Rule 18f-4. On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted new regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). The Fund will be required to implement and comply with Rule 18f-4 by August 19, 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, treat derivatives as senior securities and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.
Rule 2a-5. In December 2020, the SEC adopted a new rule providing a framework for fund valuation practices (“Rule 2a-5”). Rule 2a-5 establishes requirements for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit fund boards to designate certain parties to perform fair value determinations, subject to board oversight and certain other conditions. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must fair value a security. In connection with Rule 2a-5, the SEC also adopted related recordkeeping requirements and is rescinding previously issued guidance, including with respect to the role of a board in determining fair value and the accounting and auditing of fund investments. The Fund will be required to comply with the rules by September 8, 2022.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Trust for Advised Portfolios
and the Shareholders of Fulcrum Diversified Absolute Return Fund
Opinion on the Financial Statements
We have audited the accompanying consolidated statement of assets and liabilities of Fulcrum Diversified Absolute Return Fund, a series of shares of beneficial interest in Trust for Advised Portfolios (the “Fund”), including the consolidated schedule of investments, as of June 30, 2021, and the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets for each of the years in the two-year period then ended and the consolidated financial highlights for each of the years in the five-year period then ended, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of June 30, 2021, and the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended and its financial highlights for each of the years in the five-year period then ended, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities law and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risk of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2021 by correspondence with the custodian, brokers, or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
BBD, LLP
We have served as the auditor of one or more of the Funds in the Trust for Advised Portfolios since 2010.
Philadelphia, Pennsylvania
August 28, 2021
Fulcrum Diversified Absolute Return Fund |
Additional Information |
June 30, 2021 |
Quarterly Portfolio Schedule
The Fund files its complete schedule of portfolio holdings for the first and third quarters of each fiscal year with the Securities and Exchange Commission (SEC) on Part F of Form N-PORT. The Fund’s Form N-PORT is available without charge by visiting the SEC’s Web site at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. You may obtain information on the operation of the Public Reference Room by calling 1-800-SEC-0330.
Proxy Voting
You may obtain a description of the Fund’s proxy voting policy and voting records, without charge, upon request by contacting the Fund directly at 1-855-538-5278 or on the EDGAR Database on the SEC’s website at ww.sec.gov. The Fund files its proxy voting records annually as of June 30, with the SEC on Form N-PX. The Fund’s Form N-PX is available without charge by visiting the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. You may obtain information on the operation of the Public Reference Room by calling 1-800-SEC-0330.
Tax Information
For the fiscal year ended June 30, 2021, certain dividends paid by the Fund may be subject to a maximum tax rate of 20%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The percentage of dividends declared from ordinary income designated as qualified dividend income was 0.00%.
For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal year ended June 30, 2021 was 0.00%.
The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(C) for the Fund was 33.42%.
Statement Regarding Liquidity Risk Management Program
The Fund has adopted a liquidity risk management program. The Funds' Board has designated a Liquidity Risk Committee ("Committee") of the Adviser to serve as the administrator of the program. The Committee conducts the day-to-day operation of the program pursuant to policies and procedures administered by the Committee.
Under the program, the Committee manages the Fund's liquidity risk, which is the risk that a Fund could not meet shareholder redemption requests without significant dilution of remaining shareholders' interests in a Fund. This risk is managed by monitoring the degree of liquidity of the Fund's investments, limiting the amount of the Fund's illiquid investments, and utilizing various risk management tools and facilities available to each Fund for meeting shareholder redemptions, among other means.
The Funds' Board reviewed a report prepared by the Committee regarding the operation and effectiveness of the program for the period January 1, 2020 through December 31, 2020. No liquidity events impacting either of the Funds were noted in the report. In addition, the Committee provided its assessment that the program had been effective in managing each Fund's liquidity risk.
Fulcrum Diversified Absolute Return Fund |
Trustees and Officer Information (Unaudited) |
Name, Address and Age | Position(s) Held with Trust | Term of Office(1) and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex(2) Overseen by Trustee | Other Directorships(3) Held During Past 5 Years by Trustee |
Independent Trustees(4) | |||||
John Chrystal 615 E. Michigan Street Milwaukee, WI 53202 Year of birth: 1958 | Trustee | Since 2011 | Retired. | 1 | The Bancorp, Inc. (2013 to present); Insurance Acquisition Corp II (2020 to present); Regatta Loan Management LLC (2015 to present). |
Harry E. Resis 615 E. Michigan Street Milwaukee, WI 53202 Year of birth: 1945 | Trustee | Since 2012 | Private investor. Previously served as Director of US Fixed Income for Henderson Global Investors | 1 | None |
Brian S. Ferrie 615 E. Michigan Street Milwaukee, WI 53202 Year of birth: 1958 | Trustee | Since 2020 | Chief Compliance Officer, Treasurer, The Jensen Quality Growth Fund (2004 to 2020); Treasurer, Jensen Investment Management (2003 to 2020) | 1 | None |
Wan-Chong Kung 615 E. Michigan Street Milwaukee, WI 53202 Year of birth: 1960 | Trustee | Since 2020 | Senior Fund Manager, Nuveen Asset Management (FAF Advisors/First American Funds) (2011 to 2019) | 1 | None |
Interested Trustee(5) | |||||
Christopher E. Kashmerick 615 E. Michigan Street Milwaukee, WI 53202 Year of birth: 1974 | Trustee, Chairman, President and Principal Executive Officer | Trustee since 2018; Chairman Since 2018; President and Principal Executive Officer since 2014 | Senior Vice President, U.S. Bancorp Fund Services, LLC (2011 to present) | 1 | None |
Fulcrum Diversified Absolute Return Fund
Trustees and Officer Information (Continued) (Unaudited)
Name, Address and Age | Position(s) Held with Trust | Term of Office(1) and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Officers | |||
Steven J. Jensen 615 E. Michigan Street Milwaukee, WI 53202 Year of birth: 1957 | Vice President, Chief Compliance Officer and AML Officer | Since 2014 | Senior Vice President, U.S. Bancorp Fund Services, LLC (2011 to present) |
Russell B. Simon 615 E. Michigan Street Milwaukee, WI 53202 Year of birth:1980 | Treasurer and Principal Financial Officer | Since 2014 | Vice President, U.S. Bancorp Fund Services, LLC (2011 to present) |
Scott A. Resnick 615 E. Michigan Street Milwaukee, WI 53202 Year of birth: 1983 | Secretary | Since 2019 | Assistant Vice President, U.S. Bancorp Fund Services, LLC (2018 - present); Associate, Legal & Compliance, PIMCO (2012-2018) |
(1) | Each Trustee serves an indefinite term; however, under the terms of the Board’s retirement policy, a Trustee shall retire at the end of the calendar year in which he or she reaches the age of 75 (this policy does not apply to any Trustee serving at the time the policy was adopted). Each officer serves an indefinite term until the election of a successor. |
(2) | The Trust is comprised of numerous series managed by unaffiliated investment advisers. The term “Fund Complex” applies only to the Fund. The Fund does not hold itself out as related to any other series within the Trust for purposes of investment and investor services, nor do they share the same investment advisor with any other series. |
(3) | “Other Directorships Held” includes only directorships of companies required to register or file reports with the SEC under the Securities Exchange Act of 1934, as amended, (that is, “public companies”) or other investment companies registered under the 1940 Act. |
(4) | The Trustees of the Trust who are not “interested persons” of the Trust as defined under the 1940 Act (“Independent Trustees”). |
(5) | Mr. Kashmerick is an “interested person” of the Trust as defined by the 1940 Act. Mr. Kashmerick is an interested Trustee of the Trust by virtue of the fact that, until March 31, 2020, he was an interested person of Quasar Distributors, LLC, the Trust’s distributor. |
The Fund’s Statement of Additional Information (“SAI”) includes information about the Fund’s Trustees and is available without charge, upon request, by calling 1-855-538-5278.
The Fund collects non-public information about you from the following sources:
• | Information we receive about you on applications or other forms; |
• | Information you give us orally; and/or |
• | Information about your transactions with us or others. |
We do not disclose any non-public personal information about our customers or former customers without the customer’s authorization, except as permitted by law or in response to inquiries from governmental authorities. We may share information with affiliated and unaffiliated third parties with whom we have contracts for servicing the Fund. We will provide unaffiliated third parties with only the information necessary to carry out their assigned responsibilities. We maintain physical, electronic and procedural safeguards to guard your non-public personal information and require third parties to treat your personal information with the same high degree of confidentiality.
In the event that you hold shares of the Fund through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your non-public personal information would be shared by those entities with unaffiliated third parties.
Investment Adviser
Fulcrum Asset Management LLP
Marble Arch House
66 Seymour Street
London W1H 5BT
United Kingdom
Distributor
Quasar Distributors, LLC
111 East Kilbourn Ave. Suite 2200
Milwaukee, Wisconsin 53202
Custodian
U.S. Bank National Association
Custody Operations
1555 North River Center Drive, Suite 302
Milwaukee, Wisconsin 53212
Transfer Agent, Fund Accountant and Fund Administrator
U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, Wisconsin 53202
Independent Registered Public Accounting Firm
BBD, LLP
1835 Market Street, 3rd Floor
Philadelphia, PA 19103
Legal Counsel
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
(b) | Not applicable. |
FYE 6/30/2021 | FYE 06/30/2020 | |
( a ) Audit Fees | $30,000 | $30,000 |
( b ) Audit-Related Fees | None | None |
( c ) Tax Fees | $4,600 | $4,600 |
( d ) All Other Fees | None | None |
FYE 6/30/2021 | FYE 6/30/2020 | |
Audit-Related Fees | 0% | 0% |
Tax Fees | 0% | 0% |
All Other Fees | 0% | 0% |
Non-Audit Related Fees | FYE 6/30/2021 | FYE 6/30/2020 |
Registrant | N/A | N/A |
Registrant’s Investment Adviser | N/A | N/A |
(a) | Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | Not Applicable |
(a) | The Registrant’s President and Treasurer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d 15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during 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. |