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)
SEMI-ANNUAL REPORT TO SHAREHOLDERS
DECEMBER 31, 2021
TABLE OF CONTENTS
DISCUSSION OF FUND PERFORMANCE
FULCRUM DIVERSIFIED ABSOLUTE RETURN FUND
Market conditions/environment July 1st 2021 to December 31st 2021
After a very strong first half of 2021, global markets experienced a temporary wobble in July, driven by three primary factors: a deceleration of US growth, weaker data from China, and an acceleration of Delta variant cases. This caused several broad-based but short-lived sell-offs in risk assets over the summer and a flight to the safety of government bonds. Even as inflation expectations, equity and commodity markets recovered, government bond yields stayed close to their recent lows.
But these gains were short lived as in September investors grappled with the prospect of default from China’s second largest property developer, continued supply disruptions across the globe and a growing energy crisis in Europe and China. The combination of events raised fears of both rising inflation and falling growth, otherwise known as stagflation. Against this backdrop, both equities1 and government bonds2 declined in unison, finishing the third quarter close to flat (+0.2% and +0.1% respectively).
Acknowledging the persistence and pervasive nature of inflation, some central banks acted pre-emptively by increasing rates in Q3, with many others warning of a less transitory nature than they had initially anticipated.
Entering the fourth quarter, the impact of supply bottlenecks, high inflation and elevated energy prices continued to dominate markets for much of the time, but most risk assets trended higher. Towards the end of November, however, the emergence of a new Covid-19 variant, Omicron, sparked a risk-off mood across equities, commodities, and credit markets. Concurrently, US Fed Chair Powell’s acknowledgement that inflation might not be as “transitory” as initially expected led markets to price in faster than previously expected rises in interest rates.
Towards the middle of December, markets looked beyond the Federal Reserve’s hawkish pivot, the more transmissible – but more benign – Omicron variant, and a pairing back of US fiscal support after the Build Back Better program failed to pass through Congress.
Overall, global equity markets3 had a strong final quarter (+16.8%), topping off a stellar year especially for US Equities4 (+10.6% in Q4-21 and +28.7% for the calendar year). Whilst 2021 ended with global aggregate fixed income markets2 (in developed countries) posting a negative return of -1.4% in US Dollar terms, which translates into an 8% loss in purchasing power terms of fixed income investments after adjusting for US inflation. Elsewhere, global commodities5 finished the year on a high (+27.1%), with oil6 flying high (+50.1%) whilst gold7 offered little protection finishing the year down (-3.6%).
The past decade has experienced favourable returns for many 60/40 balanced portfolios, driven largely by macroeconomic fundamentals supported by central bank policies, but as we have recovered from the pandemic the further acceleration in returns has not been fully justified by macro fundamentals. We view the current environment is particularly unfavourable for bonds, with inflation looming large and central banks under increasing political pressure to control inflation, and therefore role of bonds as a defensive asset within portfolios should not be taken for granted.
Fund Performance For the fiscal year ended December 31st 2021
From July 1, 2021 to December 31, 2021, Fulcrum Diversified Absolute Return Institutional Class shares returned -1.94%.
The second half of 2021 was more challenging for the fund, as the Delta wave and worries about the Chinese real estate sector both impacted markets more than we had initially anticipated, even if they ultimately did not derail the growth or inflation story.
The Fund’s performance in the second half of the year was driven by our directional macro equity strategy, with particularly strong contributions from North American equities and Climate Change aligned equities.
Relative value strategies accounted for the bulk of the losses, as pro-cyclical positions were hurt over the summer and defensive positions such as precious metals provided little offset. Equity thematic, commodity and volatility strategies were nonetheless all positive contributors.
Diversifying strategies contributed positively to the portfolio, with a broad-based contribution across all sub-strategies, whilst hedging detracted.
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. We believe the low expected returns for both stocks and bonds at these valuations make our flexible style of investing more attractive on a relative basis.
1 S&P 500 Index measures the US equity performance based on changes in the aggregate market value of 500 stocks representing all major industries (Ticker: SPX Index).
2 Barclays Global Aggregate Bond Index (USD Hedged): The Barclays Global Aggregate Bond 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. (Ticker: LEGATRUH Index).
3 The MSCI ACWI Index is a free-float weighted equity index. It is designed to represent performance of the full opportunity set of large- and mid-cap stocks across 23 developed and 25 emerging markets. (Ticker: MXWD Index).
4 S&P 500 Total Return Index which is calculated intraday by S&P based on the price changes and reinvested dividends of SPX Index. (Ticker: SPXT Index).
5 Bloomberg Commodity Total Return Index is composed of futures contracts and reflects the returns on a fully collateralized investment in the Bloomberg Commodity Index (Ticker: BCOM). This combines the returns of the BCOM with the returns on cash collateral invested in 13 weeks (3 Month) U.S. Treasury Bills. (Ticker: BCOMTR Index)
6 Represented by the Brent Crude Future (Ticker: C01 Comdty).
7 Represented by the Gold Spot Price. Gold spot price is quoted as US Dollars per Troy Ounce. (Ticker: XAU Curncy)
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.
Diversification does not assure a profit nor protect against loss in a declining market.
The Fulcrum Diversified Absolute Return Fund is distributed by Quasar Distributors, LLC.
Fulcrum Diversified Absolute Return Fund
December 31, 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 July 1, 2021 to December 31, 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
Expenses Paid | ||||||||||||||||
Beginning | Ending | Annualized | During the | |||||||||||||
Account Value | Account Value | Expense Ratio | Period (1) | |||||||||||||
Institutional Class | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 980.60 | 1.14% | $5.69 | ||||||||||
Hypothetical 5% Return | $ | 1,000.00 | $ | 1,019.46 | 1.14% | $5.80 | ||||||||||
Super Institutional Class | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 980.60 | 1.14% | $5.69 | ||||||||||
Hypothetical 5% Return | $ | 1,000.00 | $ | 1,019.46 | 1.14% | $5.80 |
(1) | Expenses are equal to the Fund’s annualized expense ratio as indicated, multiplied by the average account value over the period, multiplied by 184/365 (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
December 31, 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
December 31, 2021
Individual Risk1 Exposure by Strategy
Portfolio ex-ante risk (post-diversification): 6.2%
Directional | 3.8% |
Macro Equities - North America | 1.7 |
Climate Change | 1.0 |
Macro Equities - Europe ex-UK | 0.4 |
Real Assets | 0.3 |
Macro Equities - Japan | 0.2 |
Macro Equities - United Kingdom | 0.1 |
Macro Equities - Asia ex-Japan | 0.1 |
Fixed Income | 2.3% |
U.S. Rates | 0.7 |
U.K. Rates | 0.5 |
European Rates | 0.4 |
Chinese Rates | 0.2 |
Australian Rates | 0.2 |
CEEMEA Rates | 0.1 |
Asian Rates | 0.1 |
Scandinavian Rates | 0.1 |
Currencies | 1.5% |
U.K. Pound | 0.3 |
LATAM Currencies | 0.3 |
Japanese Yen | 0.3 |
Asian Currencies | 0.2 |
Canadian Dollar | 0.2 |
Australian Rates | 0.2 |
Thematic Equities | 2.7% |
Technology Disruption | 1.0 |
Climate Change | 0.4 |
Cyclicals | 0.3 |
Consumer Trends | 0.3 |
Global Energy Sector | 0.3 |
Global Financials | 0.2 |
Idiosyncratic | 0.1 |
Defensive | 0.1 |
Cross Asset | 0.1% |
Data Surprises | 0.1 |
Commodities | 2.0% |
Precious Metals | 0.7 |
Long-dated Oil | 0.6 |
Carbon Emissions | 0.3 |
Copper | 0.2 |
Global Commodities | 0.2 |
Volatility Strategies | 1.0% |
VRP | 0.4 |
Vix Put | 0.2 |
S&P Call Ratio | 0.1 |
Volatility Carry | 0.1 |
FX Correlation | 0.1 |
Global Dispersion | 0.1 |
Diversifying Strategies | 0.6% |
Diversifying Strategies | 0.6 |
Macro Equities | 0.4% |
U.S. Equities | 0.2 |
U.K. Equities | 0.2 |
Dynamic Convexity | 2.0% |
Inflation | 0.7 |
European Rates | 0.5 |
U.K. Equities | 0.3 |
Japanese Yen | 0.3 |
Slowdown | 0.2 |
Sum of Individual Risk | 16.5%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 December 31, 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 (Unaudited)
December 31, 2021
COMMON STOCKS - 6.1% | Shares | Value | ||||||
Aerospace/Defense - 0.0% | ||||||||
Dassault Aviation SA (1) | 20 | $ | 2,163 | |||||
MTU Aero Engines AG (1) | 11 | 2,247 | ||||||
Saab AB (1) | 60 | 1,529 | ||||||
5,939 | ||||||||
Apparel - 0.2% | ||||||||
adidas AG (1) | 79 | 22,773 | ||||||
Asics Corp. (1) | 197 | 4,367 | ||||||
Hermes International (1) | 28 | 48,964 | ||||||
NIKE, Inc. | 328 | 54,668 | ||||||
PRADA SpA (1) | 466 | 2,982 | ||||||
PVH Corp. | 81 | 8,639 | ||||||
142,393 | ||||||||
Auto Manufacturers - 0.2% | ||||||||
PACCAR, Inc. | 148 | 13,063 | ||||||
Tesla, Inc. (2) | 109 | 115,189 | ||||||
Toyota Motor Corp. (1) | 3,876 | 70,946 | ||||||
199,198 | ||||||||
Auto Parts & Equipment - 0.0% | ||||||||
Aptiv Plc - ADR (2) | 60 | 9,897 | ||||||
NGK Spark Plug Co Ltd. (1) | 391 | 6,808 | ||||||
16,705 | ||||||||
Banks - 0.6% | ||||||||
Bank of America Corp. | 1,295 | 57,615 | ||||||
Citigroup, Inc. | 349 | 21,076 | ||||||
Comerica, Inc. | 148 | 12,876 | ||||||
DNB Bank ASA (1) | 777 | 17,822 | ||||||
Fifth Third Bancorp | 105 | 4,573 | ||||||
Goldman Sachs Group, Inc./The | 52 | 19,893 | ||||||
Huntington Bancshares Inc/OH | 1,140 | 17,579 | ||||||
JPMorgan Chase & Co. | 457 | 72,366 | ||||||
KeyCorp | 150 | 3,469 | ||||||
Macquarie Group Ltd. (1) | 919 | 137,334 | ||||||
Morgan Stanley | 249 | 24,442 | ||||||
PNC Financial Services Group, Inc./The | 64 | 12,833 | ||||||
Royal Bank of Canada (1) | 213 | 22,606 | ||||||
Toronto-Dominion Bank/The (1) | 278 | 21,313 | ||||||
U.S. Bancorp | 225 | 12,638 | ||||||
Wells Fargo & Co. | 620 | 29,748 | ||||||
488,183 | ||||||||
Beverages - 0.0% | ||||||||
Remy Cointreau SA (1) | 159 | 38,739 | ||||||
Building Materials - 0.1% | ||||||||
Holcim Ltd. (1) | 84 | 4,288 | ||||||
Masco Corp. | 339 | 23,804 | ||||||
Owens Corning | 178 | 16,109 | ||||||
Vulcan Materials Co. | 170 | 35,289 | ||||||
79,490 | ||||||||
Chemicals - 0.1% | ||||||||
Albemarle Corp. | 96 | 22,442 | ||||||
Arkema SA (1) | 9 | 1,269 | ||||||
Brenntag SE (1) | 26 | 2,356 | ||||||
Chr Hansen Holding A/S (1) | 15 | 1,183 | ||||||
Clariant AG (1) | 34 | 709 | ||||||
Croda International (1) | 13 | 1,781 | ||||||
DuPont de Nemours, Inc. | 764 | 61,716 | ||||||
FMC Corp. | 102 | 11,209 | ||||||
Givaudan SA (1) | 1 | 5,259 | ||||||
Koninklijke DSM NV (1) | 27 | 6,086 | ||||||
114,010 |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Schedule of Investments (Unaudited)
December 31, 2021
COMMON STOCKS (Continued) | Shares | Value | ||||||
Commercial Services - 0.1% | ||||||||
Ashtead Group Plc (1) | 170 | $ | 13,673 | |||||
Automatic Data Processing, Inc. | 109 | 26,877 | ||||||
Edenred (1) | 23 | 1,062 | ||||||
Experian Plc (1) | 105 | 5,162 | ||||||
IHS Markit Ltd. - ADR | 129 | 17,147 | ||||||
Moody’s Corp. | 31 | 12,108 | ||||||
QinetiQ Group Plc (1) | 271 | 976 | ||||||
RELX Plc (1) | 482 | 15,671 | ||||||
S&P Global, Inc. | 39 | 18,405 | ||||||
Savills Plc (1) | 50 | 953 | ||||||
Block, Inc. (2) | 45 | 7,268 | ||||||
Verisk Analytics, Inc. | 47 | 10,750 | ||||||
130,052 | ||||||||
Computers - 0.2% | ||||||||
Alten SA (1) | 87 | 15,699 | ||||||
Amdocs Ltd. - ADR | 1,871 | 140,026 | ||||||
Jenoptik AG (1) | 328 | 13,869 | ||||||
169,594 | ||||||||
Cosmetics/Personal Care - 0.2% | ||||||||
Estee Lauder Cos., Inc./The | 365 | 135,123 | ||||||
Unicharm Corp. (1) | 932 | 40,503 | ||||||
175,626 | ||||||||
Diversified Financial Services - 0.2% | ||||||||
Capital One Financial Corp. | 68 | 9,866 | ||||||
London Stock Exchange Group Plc (1) | 283 | 26,546 | ||||||
Mastercard, Inc. | 115 | 41,322 | ||||||
Nasdaq, Inc. | 26 | 5,460 | ||||||
Visa, Inc. | 278 | 60,245 | ||||||
Vontobel Holding AG (1) | 119 | 10,435 | ||||||
153,874 | ||||||||
Electric - 0.1% | ||||||||
Albioma SA (1) | 14 | 547 | ||||||
Alliant Energy Corp. | 106 | 6,516 | ||||||
Ameren Corp. | 98 | 8,723 | ||||||
American Electric Power Co, Inc. | 190 | 16,904 | ||||||
EDP Renovaveis SA (1) | 55 | 1,371 | ||||||
Enel SpA (1) | 699 | 5,607 | ||||||
Eversource Energy | 131 | 11,919 | ||||||
Iberdrola SA (1) | 452 | 5,357 | ||||||
RWE AG (1) | 43 | 1,749 | ||||||
Sempra Energy | 110 | 14,551 | ||||||
Verbund AG (1) | 24 | 2,702 | ||||||
Xcel Energy, Inc. | 206 | 13,946 | ||||||
89,892 | ||||||||
Electronics - 0.2% | ||||||||
Honeywell International, Inc. | 264 | 55,047 | ||||||
Hoya Corp. (1) | 468 | 69,612 | ||||||
Omron Corp. (1) | 175 | 17,434 | ||||||
Renishaw Plc (1) | 90 | 5,823 | ||||||
Trimble, Inc. (2) | 57 | 4,970 | ||||||
152,886 | ||||||||
Energy - Alternative Sources - 0.0% | ||||||||
Ence Energia y Celulosa, S.A. (1)(2) | 75 | 193 | ||||||
ERG SpA (1) | 65 | 2,105 | ||||||
Falck Renewables SpA (1) | 125 | 1,232 | ||||||
Nordex SE (1)(2) | 73 | 1,156 | ||||||
Solaria Energia y Medio Ambiente SA (1) | 52 | 1,014 | ||||||
5,700 | ||||||||
Environmental Control - 0.0% | ||||||||
Fluidra SA (1) | 32 | 1,283 | ||||||
Republic Services, Inc. | 114 | 15,897 | ||||||
17,180 |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Schedule of Investments (Unaudited)
December 31, 2021
COMMON STOCKS (Continued) | Shares | Value | ||||||
Food - 0.2% | ||||||||
Austevoll Seafood ASA (1) | 1,257 | $ | 15,187 | |||||
Glanbia Plc (1) | 1,865 | 26,478 | ||||||
JBS SA (1) | 6,542 | 44,502 | ||||||
Kikkoman Corp. (1) | 131 | 11,012 | ||||||
Marfrig Global Foods SA (1) | 2,176 | 8,696 | ||||||
SunOpta, Inc. (1)(2) | 4,701 | 32,592 | ||||||
Tyson Foods, Inc. | 454 | 39,571 | ||||||
178,038 | ||||||||
Forest Products & Paper - 0.1% | ||||||||
BillerudKorsnas AB (1) | 64 | 1,209 | ||||||
Mondi Plc (1) | 56 | 1,384 | ||||||
Suzano SA (1) | 3,351 | 36,163 | ||||||
Svenska Cellulosa AB SCA (1) | 78 | 1,388 | ||||||
UPM-Kymmene Oyj (1) | 69 | 2,628 | ||||||
42,772 | ||||||||
Healthcare Products - 0.2% | ||||||||
Boston Scientific Corp. (2) | 437 | 18,564 | ||||||
Cochlear Ltd. (1) | 93 | 14,623 | ||||||
Koninklijke Philips NV (1) | 952 | 35,512 | ||||||
Siemens Healthineers AG (1) | 1,142 | 85,577 | ||||||
154,276 | ||||||||
Healthcare Services - 0.2% | ||||||||
Anthem, Inc. | 67 | 31,057 | ||||||
Humana, Inc. | 39 | 18,091 | ||||||
IQVIA Holdings, Inc. (2) | 58 | 16,364 | ||||||
UnitedHealth Group, Inc. | 239 | 120,011 | ||||||
185,523 | ||||||||
Home Builders - 0.2% | ||||||||
Barratt Developments Plc (1) | 345 | 3,493 | ||||||
Berkeley Group Holdings Plc (1) | 38 | 2,456 | ||||||
DR Horton, Inc. | 63 | 6,832 | ||||||
KB Home | 1,427 | 63,830 | ||||||
LENNAR Corp. | 53 | 6,157 | ||||||
NVR, Inc. (2) | 4 | 23,635 | ||||||
Persimmon Plc (1) | 114 | 4,407 | ||||||
PulteGroup, Inc. | 319 | 18,234 | ||||||
Redrow Plc (1) | 1,241 | 11,772 | ||||||
Taylor Wimpey PLC (1) | 1,242 | 2,950 | ||||||
143,766 | ||||||||
Home Furnishings - 0.0% | ||||||||
Howden Joinery Group Plc (1) | 101 | 1,232 | ||||||
Household Products/Wares - 0.0% | ||||||||
Clorox Co./The | 166 | 28,944 | ||||||
Insurance - 0.2% | ||||||||
Admiral Group Plc (1) | 85 | 3,632 | ||||||
Aflac, Inc. | 111 | 6,481 | ||||||
Allstate Corp/The | 47 | 5,530 | ||||||
American International Group, Inc. | 120 | 6,823 | ||||||
ASR Nederland NV (1) | 40 | 1,844 | ||||||
AXA SA (1) | 1,571 | 46,834 | ||||||
Cigna Holding Co. | 19 | 4,363 | ||||||
CNP Assurances (1) | 209 | 5,175 | ||||||
Coface SA (1) | 287 | 4,094 | ||||||
Direct Line Insurance Group Plc (1) | 430 | 1,624 | ||||||
Fidelity National Financial, Inc. | 312 | 16,280 | ||||||
Hartford Financial Services Group Inc/The | 60 | 4,142 | ||||||
Lincoln National Corp. | 206 | 14,062 | ||||||
Loews Corp. | 319 | 18,425 | ||||||
Marsh & McLennan Cos, Inc. | 63 | 10,951 |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Schedule of Investments (Unaudited)
December 31, 2021
COMMON STOCKS (Continued) | Shares | Value | ||||||
Insurance (Continued) | ||||||||
NN Group NV (1) | 86 | $ | 4,662 | |||||
Phoenix Group Holdings Plc (1) | 323 | 2,856 | ||||||
Prudential Financial, Inc. | 57 | 6,170 | ||||||
Sampo Oyj (1) | 308 | 15,450 | ||||||
SCOR SE (1) | 66 | 2,062 | ||||||
Sun Life Financial, Inc. (1) | 92 | 5,121 | ||||||
Travelers Cos Inc/The | 43 | 6,726 | ||||||
UNIQA Insurance Group AG (1) | 627 | 5,761 | ||||||
Voya Financial, Inc. | 149 | 9,880 | ||||||
208,948 | ||||||||
Internet - 0.5% | ||||||||
Alphabet, Inc. (2) | 65 | 188,308 | ||||||
ASOS Plc (1)(2) | 28 | 906 | ||||||
CyberAgent, Inc. (1) | 1,227 | 20,416 | ||||||
eBay, Inc. | 140 | 9,310 | ||||||
Meta Platforms, Inc. (2) | 346 | 116,377 | ||||||
Future Plc (1) | 860 | 44,583 | ||||||
Moneysupermarket.com Group Plc (1) | 2,257 | 6,599 | ||||||
Rightmove Plc (1) | 1,899 | 20,435 | ||||||
406,934 | ||||||||
Investment Company - 0.00% | ||||||||
Aker ASA (1) | 17 | 1,593 | ||||||
Iron/Steel - 0.1% | ||||||||
APERAM SA (1) | 23 | 1,247 | ||||||
Nucor Corp. | 350 | 39,953 | ||||||
Outokumpu Oyj | 122 | 764 | ||||||
SSAB AB (1) | 276 | 1,602 | ||||||
43,566 | ||||||||
Machinery - 0.0% | ||||||||
Daifuku Co Ltd. (1) | 54 | 4,413 | ||||||
GEA Group AG (1) | 42 | 2,299 | ||||||
Husqvarna AB (1) | 133 | 2,132 | ||||||
Konecranes Oyj (1) | 52 | 2,082 | ||||||
Valmet Oyj (1) | 28 | 1,202 | ||||||
Yaskawa Electric Corp. (1) | 226 | 11,081 | ||||||
23,209 | ||||||||
Media - 0.0% | ||||||||
Schibsted ASA (1) | 499 | 19,271 | ||||||
Thomson Reuters Corp. (1) | 171 | 20,449 | ||||||
39,720 | ||||||||
Mining - 0.1% | ||||||||
Alcoa Corp. | 722 | 43,017 | ||||||
Alumina Ltd. (1) | 29,538 | 40,079 | ||||||
Rio Tinto Plc (1) | 225 | 14,899 | ||||||
97,995 | ||||||||
Miscellaneous Manufacturing - 0.0% | ||||||||
Vestas Wind Systems (1) | 290 | 8,879 | ||||||
Oil & Gas - 0.2% | ||||||||
Aker BP ASA (1) | 878 | 27,078 | ||||||
Atmos Energy Corp. | 55 | 5,763 | ||||||
Halliburton Co. | 3,982 | 91,068 | ||||||
Murphy Oil Corp. | 420 | 10,966 | ||||||
PrairieSky Royalty Ltd. (1) | 715 | 7,704 | ||||||
Santos Ltd. (1) | 4,293 | 19,708 | ||||||
162,287 |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Schedule of Investments (Unaudited)
December 31, 2021
COMMON STOCKS (Continued) | Shares | Value | ||||||
Packaging & Containers - 0.0% | ||||||||
AptarGroup, Inc. | 45 | $ | 5,512 | |||||
Metsa Board Oyj (1) | 109 | 1,068 | ||||||
Westrock Co. | 183 | 8,118 | ||||||
14,698 | ||||||||
Pharmaceuticals - 0.2% | ||||||||
Becton Dickinson and Co. | 90 | 22,633 | ||||||
Bristol-Myers Squibb Co. | 695 | 43,333 | ||||||
Cigna Corp. | 108 | 24,800 | ||||||
Merck & Co, Inc. | 788 | 60,392 | ||||||
Zoetis, Inc. | 148 | 36,117 | ||||||
187,275 | ||||||||
Real Estate Services - 0.1% | ||||||||
CBRE Group, Inc. (2) | 105 | 11,394 | ||||||
Hufvudstaden AB (1) | 120 | 1,795 | ||||||
REA Group Ltd. (1) | 347 | 42,322 | ||||||
Vonovia SE (1) | 514 | 28,382 | ||||||
Wihlborgs Fastigheter AB (1) | 77 | 1,750 | ||||||
85,643 | ||||||||
REIT - 0.2% | ||||||||
AvalonBay Communities, Inc. | 52 | 13,135 | ||||||
Equity Residential | 145 | 13,123 | ||||||
Invitation Homes, Inc. | 201 | 9,113 | ||||||
Mirvac Group (1) | 5,555 | 11,761 | ||||||
Nippon Prologis REIT, Inc. (1) | 4 | 14,153 | ||||||
Prologis, Inc. | 246 | 41,417 | ||||||
Segro Plc (1) | 210 | 4,083 | ||||||
Sun Communities, Inc. | 98 | 20,577 | ||||||
UNITE Group PLC/The (1) | 98 | 1,473 | ||||||
Weyerhaeuser Co. | 285 | 11,736 | ||||||
140,571 | ||||||||
Retail - 0.2% | ||||||||
Grafton Group Plc (1) | 151 | 2,520 | ||||||
Home Depot Inc/The | 162 | 67,232 | ||||||
Lowe’s Cos, Inc. | 107 | 27,657 | ||||||
Moncler SpA (1) | 61 | 4,446 | ||||||
TJX Cos Inc/The | 262 | 19,891 | ||||||
Zalando SE (1)(2) | 101 | 8,180 | ||||||
129,926 | ||||||||
Semiconductors - 0.6% | ||||||||
Advanced Micro Devices, Inc.(2) | 171 | 24,607 | ||||||
Analog Devices, Inc. | 120 | 21,092 | ||||||
Applied Materials, Inc. | 210 | 33,046 | ||||||
ASM International NV (1) | 38 | 16,816 | ||||||
BE Semiconductor Industries NV (1) | 81 | 6,918 | ||||||
Infineon Technologies AG (1) | 3,139 | 145,666 | ||||||
Micron Technology, Inc. | 320 | 29,808 | ||||||
NVIDIA Corp. | 367 | 107,938 | ||||||
SUMCO Corp. (1) | 239 | 4,881 | ||||||
Texas Instruments, Inc. | 236 | 44,479 | ||||||
Tokyo Electron Ltd. (1) | 243 | 140,016 | ||||||
575,267 | ||||||||
Software - 0.0% | ||||||||
Broadridge Financial Solutions, Inc. | 33 | 6,033 | ||||||
Workday, Inc. (2) | 60 | 16,391 | ||||||
22,424 | ||||||||
Telecommunications - 0.2% | ||||||||
Viavi Solutions, Inc. (2) | 8,170 | 143,955 | ||||||
Textiles - 0.0% | ||||||||
Mohawk Industries, Inc. (2) | 92 | 16,761 |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Schedule of Investments (Unaudited)
December 31, 2021
COMMON STOCKS (Continued) | Shares | Value | ||||||
Transportation - 0.4% | ||||||||
Canadian Pacific Railway Ltd. (1) | 276 | $ | 19,851 | |||||
Canadian Pacific Railway Ltd. - ADR | 112 | 8,092 | ||||||
CH Robinson Worldwide, Inc. | 218 | 23,463 | ||||||
Clarkson Plc (1) | 20 | 1,050 | ||||||
CSX Corp. | 889 | 33,427 | ||||||
Expeditors International of Washington, Inc. | 62 | 8,326 | ||||||
FedEx Corp. | 111 | 28,709 | ||||||
Hapag-Lloyd AG (1) | 43 | 13,561 | ||||||
Localiza Rent a Car SA (1) | 5,951 | 56,390 | ||||||
Mitsui OSK Lines Ltd. (1) | 163 | 12,101 | ||||||
United Parcel Service, Inc. | 362 | 77,591 | ||||||
ZIM Integrated Shipping Services Ltd - ADR | 829 | 48,795 | ||||||
331,356 | ||||||||
Water - 0.0% | ||||||||
American Water Works Co, Inc. | 72 | 13,598 | ||||||
Essential Utilities, Inc. | 109 | 5,852 | ||||||
19,450 | ||||||||
Wholesale Distribution - 0.0% | ||||||||
ITOCHU Corp. (1) | 1,628 | 49,789 | ||||||
Toyota Tsusho Corp. (1) | 143 | 6,589 | ||||||
56,378 | ||||||||
TOTAL COMMON STOCKS (Cost $4,722,631) | 5,430,847 | |||||||
PREFERRED STOCKS - 0.0% | ||||||||
Machinery - 0.0% | ||||||||
Jungheinrich AG | 49 | 2,504 | ||||||
TOTAL PREFERRED STOCKS (Cost $2,430) | 2,504 |
PURCHASED OPTIONS AND WARRANTS - 2.0% | Contracts | Notional | Value | |||||||||
Call Options Purchased - 0.4% | ||||||||||||
E-mini S&P 500 at $4,750, January 21, 2022 | 33 | 7,851,525 | USD | 101,063 | ||||||||
E-mini S&P 500 at $4,850, January 21, 2022 | 67 | 15,940,975 | USD | 51,087 | ||||||||
E-mini S&P 500 at $4,770, January 31, 2022 | 22 | 5,234,350 | USD | 69,850 | ||||||||
EUR/USD FX at 1.135, January 7, 2022 | 8 | 1,140,250 | USD | 6,600 | ||||||||
EUR/USD FX at 1.140, January 7, 2022 | 8 | 1,140,250 | USD | 3,500 | ||||||||
EUR/USD FX at 1.145, January 7, 2022 | 8 | 1,140,250 | USD | 1,500 | ||||||||
EUR/USD FX at 1.155, January 7, 2022 | 8 | 1,140,250 | USD | 200 | ||||||||
Gold Mar 22 Futures at $2,000, February 23, 2022 (3) | 114 | 20,873,400 | USD | 42,180 | ||||||||
JPY/USD FX at 88.0, January 7, 2022 | 11 | 1,195,975 | USD | 344 | ||||||||
JPY/USD FX at 88.5, January 7, 2022 | 11 | 1,195,975 | USD | 137 | ||||||||
JPY/USD FX at 89.0, January 7, 2022 | 11 | 1,195,975 | USD | 69 | ||||||||
Silver Mar 22 Futures at $24.5, February 23, 2022 (3) | 21 | 2,451,960 | USD | 49,245 | ||||||||
Total Call Options (Premiums Paid $359,100) | 325,775 | |||||||||||
Put Options Purchased - 0.1% | ||||||||||||
E-mini S&P 500 at $4,200, January 21, 2022 | 22 | 5,234,350 | USD | 4,675 | ||||||||
E-mini S&P 500 at $4,350, January 21, 2022 | 88 | 20,937,400 | USD | 29,700 | ||||||||
EUR/USD FX at 1.110, January 7, 2022 | 8 | 1,140,250 | USD | 50 | ||||||||
EUR/USD FX at 1.115, January 7, 2022 | 8 | 1,140,250 | USD | 50 | ||||||||
EUR/USD FX at 1.125, January 7, 2022 | 8 | 1,140,250 | USD | 100 | ||||||||
EUR/USD FX at 1.130, January 7, 2022 | 8 | 1,140,250 | USD | 400 | ||||||||
JPY/USD FX at 86.5, January 7, 2022 | 11 | 1,195,975 | USD | 825 | ||||||||
JPY/USD FX at 87.0, January 7, 2022 | 11 | 1,195,975 | USD | 3,300 | ||||||||
JPY/USD FX at 87.5, January 7, 2022 | 11 | 1,195,975 | USD | 8,112 | ||||||||
CBOE Volatility Index (VIX) at $19, January 19, 2022 | 264 | 454,608 | USD | 36,960 | ||||||||
Total Put Options (Premiums Paid $266,281) | 84,172 |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Schedule of Investments (Unaudited)
December 31, 2021
PURCHASED OPTIONS AND WARRANTS (Continued) | Counterparty a | Contracts | Notional | Value | ||||||||||
Over-The-Counter Options Purchased - 1.2% | ||||||||||||||
AUD Call / NZD Put at 1.08, January 14, 2022 (4) | JPM | 191,000 | AUD | $ | 4,797 | |||||||||
EUR Call / GBP Put at 0.8705, Jaunary 14, 2022 (4) | JPM | 110,000 | EUR | 516 | ||||||||||
EUR Call / GBP Put at 0.865, January 27, 2022 (4) | JPM | 139,000 | EUR | — | ||||||||||
EUR Call / USD Put at 1.295, December 19, 2022 (4) | JPM | 458,000 | EUR | 13,885 | ||||||||||
EUR/BRL USD/BRL Put on correlation swap at 100, May 6, 2021 (5) | CITI | 27,700 | USD | 197,566 | ||||||||||
GBP GS Basket 99% EUR/USD/JPY/AUD, February 2, 2022 (7) | GS | 4,626,000 | GBP | 3,701 | ||||||||||
GBP MS Basket 99% EUR/USD/JPY/AUD, February 4, 2022 (7) | MS | 3,791,000 | GBP | 3,033 | ||||||||||
GBP Put / USD Call at 1.315 RKO at 1.265, January 14,2022 (6) | JPM | 3,868,000 | GBP | 429 | ||||||||||
GLD US > 174.28 and CON2 > 80.01, May 26, 2022 (8) | MS | 328,395 | USD | 46,796 | ||||||||||
SPX < 4,113.16 and USSW10 < 1.388%, January 21, 2022 (8) | CITI | 495,000 | USD | 743 | ||||||||||
SPX < 4,311.89 and USSW10 > 2.023%, November 18, 2022 (8) | CITI | 400,000 | USD | 22,285 | ||||||||||
SPX < 4,390.19 and USSW5 > 1.667%, September 16, 2022 (8) | CITI | 406,000 | USD | 30,450 | ||||||||||
SPX < 4,395.6975 and US10Y > 1.897%, June 17, 2022 (8) | CITI | 403,000 | USD | 16,249 | ||||||||||
SPX < 4,455.97 and USISDA30 > 2.02%, June 17, 2022 (8) | GS | 402,000 | USD | 28,140 | ||||||||||
SPX > 4,651.53 and GBP/USD < 1.33802, January 21, 2022 (8) | MS | 244,000 | USD | 34,378 | ||||||||||
SX5E < 3,825.8 and USSW10 < 1.424%, January 21, 2022 (8) | CITI | 753,000 | USD | 2,861 | ||||||||||
SX5E < 3,887.64 and EUSA10 < 0.141%, January 21, 2022 (8) | MS | 498,000 | EUR | 4,311 | ||||||||||
SX5E < 3,950 and EUR/USD < 1.104, June 17, 2022 (8) | B | 361,000 | EUR | 17,225 | ||||||||||
SX5E < 4,140 and EUR/USD < 1.0974, November 18, 2022 (8) | JPM | 402,000 | EUR | 36,614 | ||||||||||
UKX < 6,919 and XAU > 1,877.50, April 14, 2022 (8) | JPM | 310,000 | USD | 24,800 | ||||||||||
UKX < 6,972.95 and XAU > 1,957, May 20, 2022 (8) | MS | 311,000 | USD | 22,084 | ||||||||||
USD Call / CAD Put at 1.286, January 7, 2022 | JPM | 17,081,000 | USD | 3,058 | ||||||||||
USD Call / JPY Put at 120, September 11, 2023 (4)(9) | JPM | 1,064,000 | USD | 567,357 | ||||||||||
Total Over-The-Counter Options (Premiums Paid $1,226,214) | 1,081,278 | |||||||||||||
Warrants - 0.4% | ||||||||||||||
S&P 500 Index Dispersion Warrants (10) | ||||||||||||||
Effective: 04/20/2021, Expiration: 06/17/2022, Strike: 20.89% | BNP | 400 | 400,000 | USD | 389,872 | |||||||||
Total Warrants (Cost $400,000) | 389,872 | |||||||||||||
TOTAL PURCHASED OPTIONS AND WARRANTS (Cost/Premiums Paid $2,251,595) | 1,881,097 |
SHORT-TERM INVESTMENTS - 39.6% | Principal Amount | Value | ||||||
United States Treasury Bills - 39.6% (11) | ||||||||
0.046%, 01/27/2022 | 1,890,000 | USD | 1,889,972 | |||||
0.029%, 02/10/2022 | 4,700,000 | USD | 4,699,864 | |||||
0.031%, 02/17/2022 | 5,300,000 | USD | 5,299,834 | |||||
0.042%, 02/24/2022 | 5,390,000 | USD | 5,389,825 | |||||
0.035%, 03/03/2022 | 6,005,000 | USD | 6,004,582 | |||||
0.043%, 03/17/2022 | 5,100,000 | USD | 5,099,480 | |||||
0.053%, 04/07/2022 | 4,500,000 | USD | 4,499,201 | |||||
0.058%, 05/05/2022 | 2,400,000 | USD | 2,399,400 | |||||
Total United States Treasury Bills (Cost $35,282,325) | 35,282,158 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $35,282,325) | 35,282,158 | |||||||
Total Investments (Cost $42,258,981) - 47.8% | 42,596,606 | |||||||
Other Assets in Excess of Liabilities- 52.3% | 46,498,495 | |||||||
TOTAL NET ASSETS - 100.0% | $ | 89,095,101 |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Schedule of Investments (Unaudited)
December 31, 2021
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 option expires worthless. |
(5) | Correlation swap option - Option gives right to the Fund to short correlation swap. |
(6) | Position includes a reverse knock-out (RKO) term at level indicated. The option intermediately terminates if the exchange rate closes at the knock-out term. |
(7) | Basket FX change option - Option pays based on equal-weighted basket of indicated FX to GBP pairs. The change is rate is determined by difference in each FX rate from trade date to expiration, and each option will pay percentage of notional that basket decreases below the strike percentage indicated. MS option opened November 4, 2021; GS option opened November 4, 2021 |
(8) | Dual binary option - Option only pays if both terms are met at maturity. |
(9) | One touch option - Option pays notional if spot rate meets strike at any point during the term of the option. |
(10) | 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. |
(11) | Rate quoted is effective yield of position. |
a | Counterparty abbreviations |
B - Barclays
BNP - BNP Paribas S.A.
CITI - Citigroup Global Markets
GS - Goldman Sachs
JPM - J.P. Morgan Investment Bank
MS - Morgan Stanley
Reference entity abbreviations |
CON2 - Brent Crude Future July 2022
EUSA10 - Euro 10-year Interest Swap Rate
EUSA30 - Euro 30-year Interest Swap Rate
GLD - SPDR Gold Shares
SPX - S&P 500 Index
SX5E - Euro Stoxx 50 Index
UKX - FTSE 100 Index
USSW5 - 5 year U.S. Swap Rate
USSW10 - 10 year U.S. Swap Rate
USSW30 - 30 year U.S. Swap Rate
USISDA30 - USD 30-year CMS Rate
US10Y - U.S. 10-year Treasury
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 (Unaudited)
December 31, 2021
WRITTEN OPTIONS - (0.5%) | Contracts | Notional | Value | |||||||||||
Call Option Written - (0.3%) | ||||||||||||||
CBOE Volatility Index (VIX) at $26, January 19, 2022 | (107 | ) | (184,254) | USD | $ | (9,630 | ) | |||||||
CBOE Volatility Index (VIX) at $30, January 19, 2022 | (107 | ) | (184,254) | USD | (6,687 | ) | ||||||||
CBOE Volatility Index (VIX) at $35, January 19, 2022 | (107 | ) | (184,254) | USD | (4,547 | ) | ||||||||
CBOE Volatility Index (VIX) at $47.5, January 19, 2022 | (107 | ) | (184,254) | USD | (1,873 | ) | ||||||||
Crude Oil Mar 22 Future at $85, January 26, 2022 (1) | (25 | ) | (10,750) | USD | (16,000 | ) | ||||||||
E-mini S&P 500 at $4,600, January 21, 2021 | (22 | ) | (5,234,350) | USD | (198,000 | ) | ||||||||
E-mini S&P 500 at $4,870, January 31, 2022 | (45 | ) | (10,706,625) | USD | (43,875 | ) | ||||||||
HG Copper Feb 22 Future at $475, January 26, 2022 (1) | (19 | ) | (2,120,163) | USD | (10,450 | ) | ||||||||
Total Call Option Written (Premiums Received $257,168) | (291,062 | ) | ||||||||||||
Put Option Written - (0.2%) | ||||||||||||||
CBOE Volatility Index (VIX) at $18, January 19, 2022 | (107 | ) | (184,254) | USD | (8,560 | ) | ||||||||
CBOE Volatility Index (VIX) at $20, January 19, 2022 | (107 | ) | (184,254) | USD | (22,738 | ) | ||||||||
CBOE Volatility Index (VIX) at $21, January 19, 2022 | (107 | ) | (184,254) | USD | (31,030 | ) | ||||||||
CBOE Volatility Index (VIX) at $22, January 19, 2022 | (107 | ) | (184,254) | USD | (40,125 | ) | ||||||||
Crude Oil Mar 22 Future at $55, January 26, 2022 (1) | (56 | ) | (24,080) | USD | (6,160 | ) | ||||||||
Gold Mar 22 Futures at $1,700, February 23, 2022 (1) | (25 | ) | (4,577,500) | USD | (11,500 | ) | ||||||||
HG Copper Feb 22 Future at $400, January 26, 2022 (1) | (39 | ) | (4,351,913) | USD | (9,750 | ) | ||||||||
Total Put Option Written (Premiums Received $276,632) | (129,863 | ) | ||||||||||||
Over-The-Counter Options Written - (0.0%) | Counterparty a | |||||||||||||
AUD Put / USD Call at 0.7196, January 21, 2022 | JPM | (7,062,000) AUD | (19,349 | ) | ||||||||||
Over-The-Counter Options Written (Premiums Received $47,267) | (19,349 | ) | ||||||||||||
TOTAL WRITTEN OPTIONS (Premiums Received $581,067) | �� | $ | (440,274 | ) |
(1) | 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 (Unaudited)
December 31, 2021
FORWARD CURRENCY CONTRACTS (1)
Settlement Date | Currency Delivered | Pay Amount | USD Value December 31, 2021 | Currency Received | Receive Amount | USD Value December 31, 2021 | Unrealized Gain/(Loss) | |||||||||||||||||
01/28/2022 | CNH | 22,979,556 | $ | 3,607,468 | USD | 3,577,531 | $ | 3,577,531 | $ | (29,937 | ) | |||||||||||||
01/28/2022 | USD | 2,345,000 | 2,345,000 | CNH | 14,955,730 | 2,347,840 | 2,840 | |||||||||||||||||
01/31/2022 | CHF | 262,587 | 288,412 | USD | 284,455 | 284,455 | (3,957 | ) | ||||||||||||||||
01/31/2022 | CZK | 17,240,361 | 786,748 | EUR | 686,000 | 781,509 | (5,239 | ) | ||||||||||||||||
01/31/2022 | EUR | 686,000 | 781,509 | CZK | 17,451,915 | 796,402 | 14,893 | |||||||||||||||||
01/31/2022 | EUR | 905,000 | 1,031,000 | NOK | 9,152,446 | 1,038,690 | 7,690 | |||||||||||||||||
01/31/2022 | EUR | 686,000 | 781,509 | PLN | 3,171,923 | 785,545 | 4,035 | |||||||||||||||||
01/31/2022 | HUF | 210,874,114 | 647,999 | USD | 644,643 | 644,643 | (3,356 | ) | ||||||||||||||||
01/31/2022 | JPY | 591,393,789 | 5,142,501 | EUR | 4,557,000 | 5,191,456 | 48,955 | |||||||||||||||||
01/31/2022 | MXN | 65,076,729 | 3,161,209 | USD | 3,088,962 | 3,088,962 | (72,248 | ) | ||||||||||||||||
01/31/2022 | NOK | 23,047,417 | 2,615,598 | EUR | 2,270,000 | 2,586,044 | (29,554 | ) | ||||||||||||||||
01/31/2022 | NOK | 11,633,306 | 1,320,237 | USD | 1,294,000 | 1,294,000 | (26,237 | ) | ||||||||||||||||
01/31/2022 | PLN | 3,182,496 | 788,163 | EUR | 686,000 | 781,509 | (6,654 | ) | ||||||||||||||||
01/31/2022 | PLN | 2,575,647 | 637,873 | USD | 619,297 | 619,297 | (18,576 | ) | ||||||||||||||||
01/31/2022 | SEK | 7,630,837 | 844,681 | USD | 841,000 | 841,000 | (3,681 | ) | ||||||||||||||||
01/31/2022 | SGD | 632,230 | 469,056 | USD | 462,000 | 462,000 | (7,056 | ) | ||||||||||||||||
01/31/2022 | USD | 369,212 | 369,212 | CHF | 339,220 | 372,582 | 3,370 | |||||||||||||||||
01/31/2022 | USD | 2,067,504 | 2,067,504 | GBP | 1,547,000 | 2,093,781 | 26,278 | |||||||||||||||||
01/31/2022 | USD | 100,000 | 100,000 | HUF | 32,192,691 | 98,926 | (1,074 | ) | ||||||||||||||||
01/31/2022 | USD | 2,056,000 | 2,056,000 | MXN | 43,887,103 | 2,131,888 | 75,888 | |||||||||||||||||
01/31/2022 | USD | 1,278,930 | 1,278,930 | NOK | 11,595,264 | 1,315,920 | 36,990 | |||||||||||||||||
01/31/2022 | USD | 40,000 | 40,000 | PLN | 163,664 | 40,532 | 532 | |||||||||||||||||
01/31/2022 | USD | 175,045 | 175,045 | SEK | 1,589,288 | 175,923 | 878 | |||||||||||||||||
01/31/2022 | USD | 2,590,388 | 2,590,388 | SGD | 3,550,268 | 2,633,971 | 43,583 | |||||||||||||||||
01/31/2022 | USD | 43,695 | 43,695 | ZAR | 710,469 | 44,383 | 687 | |||||||||||||||||
01/31/2022 | ZAR | 18,529,650 | 1,157,542 | USD | 1,154,000 | 1,154,000 | (3,542 | ) | ||||||||||||||||
03/16/2022 | BRL | 417,322 | 73,544 | USD | 72,880 | 72,880 | (664 | ) | ||||||||||||||||
03/16/2022 | CLP | 335,754,883 | 389,562 | USD | 392,955 | 392,955 | 3,393 | |||||||||||||||||
03/16/2022 | IDR | 15,305,420,840 | 1,066,970 | USD | 1,056,461 | 1,056,461 | (10,509 | ) | ||||||||||||||||
03/16/2022 | INR | 78,928,997 | 1,052,992 | USD | 1,035,609 | 1,035,609 | (17,383 | ) | ||||||||||||||||
03/16/2022 | KRW | 519,635,788 | 436,504 | USD | 440,986 | 440,986 | 4,482 | |||||||||||||||||
03/16/2022 | PHP | 83,153,628 | 1,625,420 | USD | 1,642,606 | 1,642,606 | 17,186 | |||||||||||||||||
03/16/2022 | RUB | 32,051,982 | 419,598 | USD | 425,804 | 425,804 | 6,206 | |||||||||||||||||
03/16/2022 | THB | 104,371,178 | 3,123,541 | USD | 3,114,866 | 3,114,866 | (8,675 | ) | ||||||||||||||||
03/16/2022 | TWD | 551,939 | 19,950 | USD | 20,000 | 20,000 | 50 | |||||||||||||||||
03/16/2022 | USD | 2,088,000 | 2,088,000 | BRL | 11,840,443 | 2,086,624 | (1,376 | ) | ||||||||||||||||
03/16/2022 | USD | 60,000 | 60,000 | CLP | 52,651,055 | 61,089 | 1,089 | |||||||||||||||||
03/16/2022 | USD | 718,855 | 718,855 | IDR | 10,411,069,007 | 725,776 | 6,921 | |||||||||||||||||
03/16/2022 | USD | 390,138 | 390,138 | INR | 29,736,975 | 396,721 | 6,583 | |||||||||||||||||
03/16/2022 | USD | 20,000 | 20,000 | KRW | 23,753,500 | 19,953 | (47 | ) | ||||||||||||||||
03/16/2022 | USD | 622,000 | 622,000 | PHP | 31,446,990 | 614,700 | (7,300 | ) | ||||||||||||||||
03/16/2022 | USD | 425,903 | 425,903 | RUB | 32,051,982 | 419,598 | (6,305 | ) | ||||||||||||||||
03/16/2022 | USD | 1,327,632 | 1,327,632 | TWD | 36,523,472 | 1,320,145 | (7,487 | ) | ||||||||||||||||
$ | 41,672 |
(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 (Unaudited)
December 31, 2021
FUTURES CONTRACTS | ||||||||||||||||
Number of Contracts | Notional | Unrealized | ||||||||||||||
Description | Long (Short) | Expiration Date | Amount | Gain/(Loss) | ||||||||||||
Amsterdam Exchanges Index | 1 | January 2022 | 181,634 | EUR | $ | 3,999 | ||||||||||
Australia SPI 200 Index | 4 | March 2022 | 534,529 | AUD | 9,015 | |||||||||||
Australian 10 Year Government Bond | (2 | ) | March 2022 | (202,502 | ) | AUD | (181 | ) | ||||||||
Australian 3 Year Government Bond | 45 | March 2022 | 3,737,235 | AUD | 1,557 | |||||||||||
Australian Dollar | 1 | March 2022 | 72,780 | USD | 759 | |||||||||||
* Brent Crude | (13 | ) | January 2022 | (1,011,140 | ) | USD | (53,731 | ) | ||||||||
* Brent Crude | 34 | October 2022 | 2,493,900 | USD | 103,895 | |||||||||||
* Brent Crude | 15 | October 2023 | 1,039,950 | USD | 12,002 | |||||||||||
British Pound | 10 | March 2022 | 845,688 | USD | 6,962 | |||||||||||
CAC 40 Index | 7 | January 2022 | 569,261 | EUR | 20,672 | |||||||||||
Canadian 10 Year Government Bond | (1 | ) | March 2022 | (112,748 | ) | CAD | (3,053 | ) | ||||||||
Canadian Dollar | (76 | ) | March 2022 | (6,007,800 | ) | USD | (81,251 | ) | ||||||||
* Canola | 20 | March 2022 | 320,202 | CAD | 7,420 | |||||||||||
CBOE Volatility Index | (5 | ) | January 2022 | (98,373 | ) | USD | 712 | |||||||||
CBOE Volatility Index | (6 | ) | February 2022 | (131,823 | ) | USD | 7,445 | |||||||||
* Cocoa | (3 | ) | March 2022 | (75,600 | ) | USD | (2,448 | ) | ||||||||
* Coffee ’C’ | 1 | March 2022 | 84,788 | USD | (3,171 | ) | ||||||||||
* Copper | (5 | ) | March 2022 | (557,938 | ) | USD | (16,717 | ) | ||||||||
* Corn | 9 | March 2022 | 266,963 | USD | 7,739 | |||||||||||
* Cotton No. 2 | 3 | March 2022 | 168,900 | USD | 67 | |||||||||||
* Crude Oil | 1 | January 2022 | 75,210 | USD | 4,548 | |||||||||||
DAX Index | 1 | March 2022 | 451,301 | EUR | 7,683 | |||||||||||
DAX Mini | 2 | March 2022 | 180,520 | EUR | 2,879 | |||||||||||
E-mini S&P 500 | 51 | March 2022 | 12,134,175 | USD | 181,772 | |||||||||||
Euro FX Currency | 15 | March 2022 | 2,137,969 | USD | 13,286 | |||||||||||
Euro STOXX 50 Index | 1 | March 2022 | 48,813 | EUR | 978 | |||||||||||
Euro STOXX 50 Volatility Index | 1 | January 2022 | 2,340 | EUR | (234 | ) | ||||||||||
Euro STOXX 50 Volatility Index | (15 | ) | February 2022 | (36,973 | ) | EUR | 812 | |||||||||
Euro-BTP Italian Government Bond | (112 | ) | March 2022 | (18,745,511 | ) | EUR | 338,390 | |||||||||
Euro-Bund | 83 | March 2022 | 16,193,670 | EUR | (296,153 | ) | ||||||||||
Euro-BUXL 30 Year Bond | 13 | March 2022 | 3,059,851 | EUR | (172,999 | ) | ||||||||||
* European Emission Allowances | 30 | December 2022 | 2,754,597 | EUR | 23,178 | |||||||||||
* Feeder Cattle | (2 | ) | March 2022 | (169,950 | ) | USD | (4,906 | ) | ||||||||
FTSE 100 Index | 66 | March 2022 | 6,542,826 | GBP | 107,036 | |||||||||||
FTSE 250 Index | (74 | ) | March 2022 | (4,693,211 | ) | GBP | (170,370 | ) | ||||||||
FTSE/JSE TOP 40 Index | 1 | March 2022 | 42,041 | ZAR | 818 | |||||||||||
FTSE/MIB Index | 1 | March 2022 | 155,109 | EUR | 4,425 | |||||||||||
* Gold 100 oz | 9 | February 2022 | 1,645,740 | USD | 38,871 | |||||||||||
Hang Seng China Enterprises Index | (11 | ) | January 2022 | (583,113 | ) | HKD | (6,185 | ) | ||||||||
* Hard Red Winter Wheat | 1 | March 2022 | 40,075 | USD | (1,753 | ) | ||||||||||
IBEX 35 Index | 1 | January 2022 | 98,872 | EUR | 3,793 | |||||||||||
Japanese Yen | 54 | March 2022 | 5,871,150 | USD | (65,122 | ) | ||||||||||
Korea 10 Year Bond | 6 | March 2022 | 627,281 | KRW | (4,212 | ) | ||||||||||
Korea 3 Year Bond | 12 | March 2022 | 1,101,426 | KRW | 552 | |||||||||||
Korea Stock Exchange KOSPI 200 Index | (2 | ) | March 2022 | (165,825 | ) | KRW | (885 | ) | ||||||||
* Lean Hogs | 5 | February 2022 | 162,950 | USD | 3,236 | |||||||||||
* Live Cattle | 2 | February 2022 | 111,760 | USD | 1,005 | |||||||||||
* London Metal Exchange Lead | 3 | January 2022 | 174,581 | USD | (2,158 | ) | ||||||||||
* London Metal Exchange Lead | (3 | ) | January 2022 | (174,581 | ) | USD | (3,356 | ) | ||||||||
* London Metal Exchange Lead | 1 | February 2022 | 57,988 | USD | 360 |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Schedule of Investments (Unaudited)
December 31, 2021
FUTURES CONTRACTS | ||||||||||||||||
Number of Contracts | Notional | Unrealized | ||||||||||||||
Description | Long (Short) | Expiration Date | Amount | Gain/(Loss) | ||||||||||||
* London Metal Exchange Nickel | 1 | January 2022 | 125,241 | USD | $ | 8,520 | ||||||||||
* London Metal Exchange Nickel | (1 | ) | January 2022 | (125,241 | ) | USD | (5,364 | ) | ||||||||
* London Metal Exchange Nickel | 1 | February 2022 | 125,001 | USD | 5,346 | |||||||||||
* London Metal Exchange Primary Aluminum | 4 | January 2022 | 280,300 | USD | 18,451 | |||||||||||
* London Metal Exchange Primary Aluminum | (4 | ) | January 2022 | (280,300 | ) | USD | (16,611 | ) | ||||||||
* London Metal Exchange Primary Aluminum | 3 | February 2022 | 210,375 | USD | 13,653 | |||||||||||
* London Metal Exchange Primary Aluminum | (1 | ) | February 2022 | (70,125 | ) | USD | 477 | |||||||||
* London Metal Exchange Zinc | 1 | January 2022 | 89,500 | USD | 7,210 | |||||||||||
* London Metal Exchange Zinc | (1 | ) | January 2022 | (89,500 | ) | USD | (6,003 | ) | ||||||||
* London Metal Exchange Zinc | 1 | February 2022 | 89,063 | USD | 5,760 | |||||||||||
Long Gilt | (86 | ) | March 2022 | (14,538,982 | ) | GBP | 80,655 | |||||||||
* Low Sulphur Gas Oil | 1 | February 2022 | 66,625 | USD | 2,123 | |||||||||||
* Milling Wheat No. 2 | 4 | March 2022 | 63,414 | EUR | (1,571 | ) | ||||||||||
MSCI Emerging Markets Index | 2 | March 2022 | 122,630 | USD | 760 | |||||||||||
MSCI World Index | 1 | March 2022 | 98,170 | USD | 89 | |||||||||||
* Natural Gas | 3 | January 2022 | 111,900 | USD | (867 | ) | ||||||||||
New Zealand Dollar | (28 | ) | March 2022 | (1,916,180 | ) | USD | (18,547 | ) | ||||||||
Nikkei 225 Dividend Index | 1 | March 2023 | 49,248 | JPY | 3,431 | |||||||||||
Nikkei 225 Mini | 5 | March 2022 | 625,054 | JPY | 23,593 | |||||||||||
Nikkei 225 Mini | 14 | March 2022 | 350,274 | JPY | 6,048 | |||||||||||
* NY Harbor ULSD | 1 | February 2022 | 97,663 | USD | 3,341 | |||||||||||
OMX 30 Index | 9 | January 2022 | 240,956 | SEK | 10,834 | |||||||||||
* Palladium | (1 | ) | March 2022 | (191,210 | ) | USD | (12,912 | ) | ||||||||
* Platinum | (1 | ) | April 2022 | (48,310 | ) | USD | (1,307 | ) | ||||||||
* RBOB Gasoline | 1 | January 2022 | 93,433 | USD | 3,933 | |||||||||||
* Red Spring Wheat | 2 | March 2022 | 98,200 | USD | (4,493 | ) | ||||||||||
* Robusta Coffee | 5 | March 2022 | 118,500 | USD | 3,492 | |||||||||||
S&P/Toronto Stock Exchange 60 Index | 5 | March 2022 | 1,012,609 | CAD | 17,053 | |||||||||||
SGX MSCI Singapore Index | (1 | ) | January 2022 | (25,241 | ) | SGD | (266 | ) | ||||||||
* SGX TSI Iron Ore | (6 | ) | February 2022 | (72,444 | ) | USD | (320 | ) | ||||||||
Short-Term Euro-BTP | (5 | ) | March 2022 | (642,739 | ) | EUR | 1,532 | |||||||||
* Silver | (1 | ) | March 2022 | (116,760 | ) | USD | (3,634 | ) | ||||||||
* Soybean Meal | 1 | March 2022 | 39,910 | USD | (393 | ) | ||||||||||
* Soybean Oil | 1 | March 2022 | 33,918 | USD | 519 | |||||||||||
STOXX 600 Banks Index | 2 | March 2022 | 45,950 | EUR | 2,013 | |||||||||||
* Sugar No. 11 | 2 | February 2022 | 42,291 | USD | (2,358 | ) | ||||||||||
Swiss Franc | 1 | March 2022 | 137,400 | USD | 1,823 | |||||||||||
U.S. 2 Year Treasury Note | (25 | ) | March 2022 | (5,454,297 | ) | USD | (1,021 | ) | ||||||||
U.S. 5 Year Treasury Note | (120 | ) | March 2022 | (14,517,188 | ) | USD | 15,703 | |||||||||
U.S. 10 Year Treasury Note | (139 | ) | March 2022 | (18,135,156 | ) | USD | 22,017 | |||||||||
U.S. Treasury Long Bond | (25 | ) | March 2022 | (4,010,938 | ) | USD | 6,187 | |||||||||
* UK Emission Allowances | (22 | ) | December 2022 | (2,221,440 | ) | GBP | 16,296 | |||||||||
* UK Natural Gas | (2 | ) | January 2022 | (129,343 | ) | GBP | 193,162 | |||||||||
* Wheat | 1 | March 2022 | 38,538 | USD | (440 | ) | ||||||||||
* White Sugar | 2 | February 2022 | 49,710 | USD | (1,429 | ) | ||||||||||
$ | 423,466 |
* | 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 (Unaudited)
December 31, 2021
INTEREST RATE SWAPS *
Rate paid 1 | Rate received 1 | Payment Frequency | Effective Date | Termination Date | Notional Amount | Value | Premium (Received) | Unrealized Gain/(Loss) | |||||||||||||||||
CAD-BA-CDOR 0.52% | 1.770% | 6 Month | 3/16/2022 | 3/16/2024 | 6,561,300 | CAD | $ | 4,196 | $ | — | $ | 4,196 | |||||||||||||
CAD-BA-CDOR 0.52% | 1.826% | 6 Month | 3/16/2022 | 3/16/2027 | 1,378,000 | CAD | (2,182 | ) | — | (2,182 | ) | ||||||||||||||
CNY-CNREPOFIX 2.56% | 2.720% | 3 Month | 3/16/2022 | 3/16/2027 | 78,999,853 | CNY | 194,472 | 12,749 | 181,723 | ||||||||||||||||
CZK-PRIBOR-PRBO 4.29% | 3.395% | 6 Month | 3/16/2022 | 3/16/2027 | 25,394,100 | CZK | (21,867 | ) | — | (21,867 | ) | ||||||||||||||
0.695% | GBP-SONIA 0.05% | 12 Month | 3/16/2022 | 3/16/2052 | 1,199,300 | GBP | 59,869 | 45 | 59,824 | ||||||||||||||||
1.267% | HKD-HIBOR-HKAB 0.26% | 3 Month | 3/16/2022 | 3/16/2025 | 5,330,000 | HKD | (866 | ) | 153 | (1,019 | ) | ||||||||||||||
HKD-HIBOR-HKAB 0.26% | 1.689% | 3 Month | 3/16/2022 | 3/16/2032 | 3,300,000 | HKD | 5,036 | (127 | ) | 5,163 | |||||||||||||||
4.463% | HUF-BUBOR-Reuters 4.49% | 6 Month | 3/16/2022 | 3/16/2025 | 164,050,000 | HUF | 9,626 | 135 | 9,491 | ||||||||||||||||
4.201% | HUF-BUBOR-Reuters 4.49% | 6 Month | 3/16/2022 | 3/16/2032 | 89,800,000 | HUF | 6,783 | 217 | 6,566 | ||||||||||||||||
INR-FBIL-MIBOR 3.60% | 5.540% | 6 Month | 3/16/2022 | 3/16/2027 | 191,840,000 | INR | (10,601 | ) | (8,907 | ) | (1,694 | ) | |||||||||||||
JPY-LIBOR-BBA -0.04% | 0.583% | 6 Month | 3/16/2022 | 3/16/2062 | 64,100,000 | JPY | 4,366 | 5,233 | (867 | ) | |||||||||||||||
7.760% | MXN-TIIE-Banxico 5.72% | 28 Days | 3/16/2022 | 3/3/2032 | 500,000 | MXN | (309 | ) | — | (309 | ) | ||||||||||||||
1.710% | NOK-NIBOR 1.09% | 6 Month | 3/16/2022 | 3/16/2027 | 18,903,400 | NOK | 20,052 | 4,288 | 15,764 | ||||||||||||||||
1.852% | NOK-NIBOR 1.09% | 6 Month | 3/16/2022 | 3/16/2032 | 3,100,000 | NOK | 1,991 | 18 | 1,973 | ||||||||||||||||
NZD-BBR-FRA 0.75% | 2.464% | 3 Month | 3/16/2022 | 3/16/2024 | 3,913,800 | NZD | 5,688 | 2,968 | 2,720 | ||||||||||||||||
2.598% | NZD-BBR-FRA 0.75% | 3 Month | 3/16/2022 | 3/16/2025 | 600,000 | NZD | (669 | ) | 43 | (712 | ) | ||||||||||||||
NZD-BBR-FRA 0.75% | 2.510% | 3 Month | 3/16/2022 | 3/16/2027 | 1,992,300 | NZD | (7,272 | ) | (4,708 | ) | (2,564 | ) | |||||||||||||
NZD-BBR-FRA 0.75% | 2.775% | 3 Month | 3/16/2022 | 3/16/2032 | 1,678,400 | NZD | 9,565 | 398 | 9,167 | ||||||||||||||||
3.147% | PLN-WIBOR-WIBO 2.74% | 6 Month | 3/16/2022 | 3/16/2025 | 1,000,000 | PLN | 5,717 | 21 | 5,696 | ||||||||||||||||
3.128% | PLN-WIBOR-WIBO 2.74% | 6 Month | 3/16/2022 | 3/16/2027 | 9,270,400 | PLN | 68,507 | (379 | ) | 68,886 | |||||||||||||||
PLN-WIBOR-WIBO 2.74% | 3.027% | 6 Month | 3/16/2022 | 3/16/2032 | 800,000 | PLN | (9,029 | ) | 52 | (9,081 | ) | ||||||||||||||
1.180% | SGD-SOR-VWAP 0.43% | 6 Month | 3/16/2022 | 3/16/2025 | 2,900,000 | SGD | (844 | ) | 1,097 | (1,941 | ) | ||||||||||||||
1.500% | SGD-SOR-VWAP 0.43% | 6 Month | 3/16/2022 | 3/16/2032 | 300,000 | SGD | (837 | ) | 182 | (1,019 | ) | ||||||||||||||
1.190% | THB-THBFIX 0.40% | 6 Month | 3/16/2022 | 3/16/2027 | 22,300,000 | THB | 4,198 | — | 4,198 | ||||||||||||||||
0.750% | TWD-TAIBOR 0.48% | 3 Month | 3/16/2022 | 3/16/2027 | 89,400,000 | TWD | 6,242 | — | 6,242 | ||||||||||||||||
USD-LIBOR-BBA 0.21% | 1.232% | 3 Month | 3/16/2022 | 3/16/2025 | 300,000 | USD | (257 | ) | 11 | (268 | ) | ||||||||||||||
1.157% | USD-SOFR 0.05% | 12 Month | 3/16/2022 | 3/16/2027 | 1,061,600 | USD | 690 | — | 690 | ||||||||||||||||
ZAR-JIBAR-SAFEX 3.88% | 8.022% | 3 Month | 3/16/2022 | 3/16/2032 | 6,700,000 | ZAR | 13,867 | 294 | 13,573 | ||||||||||||||||
Total of Interest Rate Swaps | $ | 366,132 | $ | 13,783 | $ | 352,349 |
* | 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
CZK-PRIBOR-PRBO - Czech koruna-denominated Prague Interbank Offered Rate Fixings
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
THB-THBFIX - Bank of Thailand Thai Baht Interest Rate Fixing
TWD-TAIBOR-Reuters - Taipei Interbank Offered Rate
USD-LIBOR-BBA - U.S. Dollar - London Inter-Bank Offered Rate
USD-SOFR - Secured Overnight Financing 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 (Unaudited)
December 31, 2021
CREDIT DEFAULT SWAPS *
Rate Paid/ | Premium | ||||||||||||||||||||||
Buy/Sell | (Received) | Termination | Notional | Paid | Unrealized | ||||||||||||||||||
Reference Entity | Protection | by the Fund | Date | Amount | Value | (Received) | Gain/(Loss) | ||||||||||||||||
Markit CDX North America High Yield Index | Buy | 5.00% | 12/20/2026 | 100,000 | USD | $ | (9,363 | ) | $ | (7,786 | ) | $ | (1,577 | ) | |||||||||
Markit iTraxx Europe Crossover Index | Buy | 5.00% | 12/20/2026 | 100,000 | EUR | (13,685 | ) | (11,223 | ) | (2,462 | ) | ||||||||||||
Total of Credit Default Swaps - Buy Protection | $ | (23,048 | ) | $ | (19,009 | ) | $ | (4,039 | ) | ||||||||||||||
Rate Paid/ | Premium | ||||||||||||||||||||||
Buy/Sell | (Received) | Termination | Notional | Paid | Unrealized | ||||||||||||||||||
Reference Entity | Protection | by the Fund | Date | Amount | Value | (Received) | Gain/(Loss) | ||||||||||||||||
Markit CDX North America Investment Grade Index | Sell | 1.00% | 12/20/2026 | 1,100,000 | USD | $ | 27,244 | $ | 24,679 | $ | 2,565 | ||||||||||||
Markit iTraxx Europe Index | Sell | 1.00% | 12/20/2026 | 1,500,000 | EUR | 45,057 | 42,941 | 2,116 | |||||||||||||||
Total of Credit Default Swaps - Sell Protection | $ | 72,301 | $ | 67,620 | $ | 4,681 |
* 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 | USD - US Dollar |
EUR - Euro | NOK - Norwegian Kroner | ZAR - South African Rand |
GBP - British Pound | NZD - New Zealand Dollar |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Schedule of Investments (Unaudited)
December 31, 2021
TOTAL RETURN SWAPS * | |||||||||||||||||
Reference Entity | Counter- party a | Rate Paid/Received b | Payment Frequency | Termination Date | Notional Amount | Unrealized Gain/(Loss) | |||||||||||
AAR Corp | JPM | USD OBFR + 0.30% (0.370%) | monthly | 01/25/2023 | 12,468 | USD | $ | 254 | |||||||||
1 BCIIFFOD Index | B | USD LIBOR 1M - 0.10% (0.009%) | monthly | 03/08/2022 | (768,352 | ) | USD | (2,100 | ) | ||||||||
2 BCIIPRIV Index | B | USD LIBOR 1M + 0.41% (0.519%) | monthly | 05/10/2022 | 295,866 | USD | 10,174 | ||||||||||
3 BCOMXIM Index | JPM | 0.07% | monthly | 01/13/2022 | 950,101 | USD | 21,359 | ||||||||||
4 CGFCECOM Index | CITI | SOFR 1D - 0.70% (-0.650%) | monthly | 12/14/2022 | (180,171 | ) | USD | — | |||||||||
5 CGFCITDS Index | CITI | SOFR 1D + 0.35% (0.400%) | monthly | 12/02/2022 | 445,301 | USD | 26,014 | ||||||||||
6 CGFCREIT Index | CITI | EURIBOR 1M - 0.05% (-0.626%) | monthly | 02/09/2022 | (377,660 | ) | EUR | (14,384 | ) | ||||||||
7 CGFOREIT Index | CITI | USD OBFR 1D - 0.25% (-0.179%) | monthly | 11/28/2022 | (453,582 | ) | USD | 3,032 | |||||||||
8 Buenaventura | JPM | USD OBFR - 0.20% (-0.130%) | monthly | 03/22/2022 | (9,436 | ) | USD | (296 | ) | ||||||||
Cosan SA | MS | BRL CDI + 1.50% (10.650%) | monthly | 09/20/2023 | 233,673 | BRL | (1,273 | ) | |||||||||
Crane Co. | JPM | USD OBFR + 0.30% (0.370%) | monthly | 01/25/2023 | 12,492 | USD | 426 | ||||||||||
Didi Global Inc. | B | USD LIBOR 1M -50.00% (-49.891%) | monthly | 07/28/2022 | (3,005 | ) | USD | 367 | |||||||||
ECLAT Textile Company | MS | SOFR 1D + 0.75% (0.800%) | monthly | 06/15/2023 | 34,459 | USD | 1,232 | ||||||||||
Evergreen Marine | MS | SOFR 1D + 0.75% (0.800%) | monthly | 06/15/2023 | 56,734 | USD | 2,118 | ||||||||||
Feng Tay Enterprises Co. | MS | SOFR 1D + 0.75% (0.800%) | monthly | 06/15/2023 | 11,334 | USD | 647 | ||||||||||
9 GSCBFACT Index | GS | USD LIBOR 1M - 0.50% (-0.397%) | monthly | 05/09/2024 | (888,301 | ) | USD | (29,774 | ) | ||||||||
10 GSGLDISF Index | GS | SOFR 1D + 0.600% (0.650%) | monthly | 11/22/2024 | 519,703 | USD | 17,977 | ||||||||||
11 GSGLFCOA Index | GS | USD LIBOR 1M - 0.95% (-0.847%) | monthly | 11/01/2024 | (703,296 | ) | USD | (4,654 | ) | ||||||||
12 GSGLFEXC Index | GS | USD LIBOR 1M + 0.50% (0.603%) | monthly | 07/05/2024 | 368,991 | USD | 8,533 | ||||||||||
13 GSGLFMIN Index | GS | USD LIBOR 1M + 0.40% (0.503%) | monthly | 10/13/2023 | 792,687 | USD | 20,108 | ||||||||||
14 GSGLPHRE Index | GS | SOFR 1D - 0.35% (-0.300%) | monthly | 11/22/2024 | (697,860 | ) | USD | (12,839 | ) | ||||||||
15 GSGLPLAS Index | GS | USD LIBOR 1M - 0.900% (-0.797%) | monthly | 07/12/2024 | (247,003 | ) | USD | (1,708 | ) | ||||||||
16 GSGLSMA3 Index | GS | USD LIBOR 1M - 1.12% (-1.017%) | monthly | 03/22/2023 | (639,176 | ) | USD | (12,533 | ) | ||||||||
Hexcel Corporation | JPM | USD OBFR + 0.30% (0.370%) | monthly | 01/25/2023 | 12,691 | USD | 257 | ||||||||||
HMM Company Ltd. | MS | SOFR 1D + 0.75% (0.800%) | monthly | 10/25/2023 | 15,828 | USD | (124 | ) | |||||||||
17 JPEBCSMI Index | JPM | CHF SARON + 0.30% (-0.403%) | monthly | 09/27/2022 | 425,973 | CHF | 6,653 | ||||||||||
18 JPFCITSV Index | JPM | USD OBFR - 0.30% (-0.230%) | monthly | 08/10/2022 | (1,221,265 | ) | USD | (22,427 | ) | ||||||||
19 JPFCUOIL Index | JPM | USD OBFR + 0.45% (0.520%) | monthly | 05/18/2022 | 671,826 | USD | 8,930 | ||||||||||
20 JPFUAIR Index | JPM | USD OBFR - 1.05% (-0.980%) | monthly | 09/07/2022 | (778,721 | ) | USD | (18,119 | ) | ||||||||
21 JPFUEMBK Index | JPM | USD OBFR + 0.00% (0.070%) | monthly | 02/02/2023 | (354,368 | ) | USD | — | |||||||||
22 JPFUMEDA Index | JPM | USD OBFR + 0.40% (0.470%) | monthly | 07/27/2022 | 260,803 | USD | 5,362 | ||||||||||
23 JPFUOMED Index | JPM | USD OBFR - 0.50% (-0.430%) | monthly | 07/27/2022 | (533,598 | ) | USD | (9,723 | ) | ||||||||
24 JPFUREGU Index | JPM | USD OBFR - 0.35% (-0.280%) | monthly | 10/04/2022 | (806,616 | ) | USD | (34,966 | ) | ||||||||
25 JPFUSTEE Index | JPM | USD OBFR + 0.30% (0.370%) | monthly | 11/23/2022 | 209,052 | USD | 4,457 | ||||||||||
26 JPFUTRVL Index | JPM | USD OBFR + 0.00% (0.070%) | monthly | 02/02/2023 | (354,954 | ) | USD | — | |||||||||
27 JPTAOBRL Index | JPM | BRL CDI - 4.78% (4.370%) | monthly | 09/27/2022 | (645,531 | ) | BRL | 397 | |||||||||
Makalot Industrial | MS | SOFR 1D + 0.75% (0.800%) | monthly | 06/15/2023 | 32,402 | USD | 280 | ||||||||||
28 MSFDRUS Index | MS | N/A | monthly | 07/01/2022 | 39,470,184 | USD | 143,156 | ||||||||||
29 MSFINTOT Index | MS | SOFR 1D + 0.75% (0.800%) | monthly | 08/03/2022 | 267,146 | USD | 8,525 | ||||||||||
Raytheon Technologies Corp | JPM | USD OBFR + 0.30% (0.370%) | monthly | 01/25/2023 | 17,923 | USD | 407 | ||||||||||
30 S5MATR | JPM | USD OBFR - 0.35% (-0.280%) | monthly | 02/01/2023 | (444,506 | ) | USD | (1,183 | ) | ||||||||
31 S5UTIL | JPM | USD OBFR - 0.35% (-0.280%) | monthly | 02/01/2023 | 356,081 | USD | 4,461 | ||||||||||
32 Shenzhen | MS | SOFR 1D + 1.15% (1.200%) | monthly | 07/10/2023 | 19,480 | USD | (1,413 | ) | |||||||||
Spirit AeroSystems | JPM | USD OBFR + 0.30% (0.370%) | monthly | 01/25/2023 | 8,965 | USD | (218 | ) | |||||||||
33 SX86P | JPM | EUR ESTRON + 0.35% (0.230%) | monthly | 09/28/2022 | 82,476 | EUR | 3,451 | ||||||||||
Teledyne Technologies Inc. | JPM | USD OBFR + 0.30% (0.370%) | monthly | 01/25/2023 | 14,383 | USD | 470 | ||||||||||
TransDigm Group Inc. | JPM | USD OBFR + 0.30% (0.370%) | monthly | 01/25/2023 | 19,605 | USD | 754 | ||||||||||
Yang Ming Marine Transport | MS | SOFR 1D + 0.75% (0.800%) | monthly | 06/15/2023 | 19,176 | USD | (148 | ) | |||||||||
Total of Total Return Swaps | $ | 131,919 |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Schedule of Investments (Unaudited)
December 31, 2021
a Counterparty abbreviations
B - Barclays
CITI - Citigroup Global Markets
GS - Goldman Sachs
JPM - J.P. Morgan Investment Bank
MS - Morgan Stanley
b Floating rate definitions
BRL CDI - Brazil Average One-Day Interbank Deposit
ESTRON - Euro Short-term Rate Overnight
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.
LIBOR - London Interbank Offered Rate
OBFR - Overnight Bank Funding Rate
SARON - Swiss Average Rate Overnight
SOFR - Secured Overnight Financing Rate
* | 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 | BCOMXIM - Bloomberg Commodity ex-Industrial Metals Index. The components of the basket as of December 31, 2021 are shown on the following pages. |
4 | CGFCECOM is a custom basket of E-commerce company stocks. |
5 | CGFCITDS is a custom basket of IT consulting company stocks. |
6 | CGFCREIT is a custom basket of real estate investment trust stocks. |
7 | CGFOREIT is a custom basket of U.S. real estate investment trust stocks. |
8 | Buenaventura - Compañia de Minas Buenaventura |
9 | GSCBFACT is a custom basket of investment management company stocks. |
10 | GSGLDISF is a custom basket of discount retail company stocks. |
11 | GSGLFCOA is a custom basket of energy company stocks. |
12 | GSGLFEXC is a custom basket of investment management company stocks. |
13 | GSGLFMIN is a custom basket of mining company stocks. |
14 | GSGLPHRE is a custom basket of retail company stocks. |
15 | GSGLPLAS is a custom basket of plastics company stocks. |
16 | GSGLSMA3 is a custom basket of smartphone company stocks. |
17 | JPEBCSMI is a custom basket of Swiss stocks. |
18 | JPFCITSV is a custom basket of information technology company stocks. The components of the basket as of December 31, 2021 are shown on the following pages. |
19 | JPFCUOIL is a custom basket of U.S. oil company stocks |
20 | JPFUAIR is a custom basket of airline company stocks. |
21 | JPFUEMBK is a custom basket of financial services company stocks. |
22 | JPFUMEDA is a custom basket of media company stocks. |
23 | JPFUOMED is a custom basket of media company stocks. |
24 | JPFUREGU is a custom basket of U.S. real estate company stocks. |
25 | JPFUSTEE is a custom basket of steel company stocks. |
26 | JPFUTRVL is a custom basket of travel company stocks. |
27 | JPTAOBRL is a custom basket of Brazilian stocks. |
28 | MSFDRUS - The components of the basket as of December 31, 2021 are shown on the following pages. |
29 | MSFINTOT is a custom basket of South Korea and Taiwan electronics company stocks. |
30 | S5MATR - S&P 500 Materials Index |
31 | S5UTIL - S&P 500 Utilities Index |
32 | Shenzhen - Shenzhen SC New Energy Technology Corp |
33 | SX86P - STOXX Europe 600 Real Estate Index. |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Schedule of Investments (Unaudited)
December 31, 2021
BCOMXIM Index | ||||||||||||
Name | Settlement Price | Weight | ||||||||||
Gold 100 oz Future Feb 22 | $ | 1,829 | 13.52 | % | ||||||||
Crude Oil Future Mar 22 | 75 | 11.58 | % | |||||||||
Natural Gas Future Mar 22 | 4 | 10.30 | % | |||||||||
Brent Crude Future Mar 22 | 78 | 9.47 | % | |||||||||
Corn Future Mar 22 | 593 | 6.48 | % | |||||||||
Soybean Future Mar 22 | 1,339 | 5.55 | % | |||||||||
Coffee ’C’ Future Mar 22 | 226 | 4.93 | % | |||||||||
Live Cattle Future Feb 22 | 140 | 4.51 | % | |||||||||
Soybean Oil Future Mar 22 | 57 | 3.98 | % | |||||||||
Low Sulphur Gas Oil Mar 22 | 663 | 3.82 | % | |||||||||
Silver Future Mar 22 | 23 | 3.60 | % | |||||||||
Sugar #11 (World) Mar 22 | 19 | 3.49 | % | |||||||||
Wheat Future Mar 22 | 771 | 3.34 | % | |||||||||
Soybean Meal Future Mar 22 | 399 | 3.21 | % | |||||||||
RBOB Gasoline Future Mar 22 | 223 | 3.16 | % | |||||||||
NY Harbor ULSD Future Mar 22 | 231 | 3.01 | % | |||||||||
Cotton No.2 Future Mar 22 | 113 | 2.06 | % | |||||||||
Hard Red Winter Wheat Future Mar 22 | 802 | 2.03 | % | |||||||||
Lean Hogs Future Feb 22 | 81 | 1.96 | % | |||||||||
$ | 7,666 | 100.00 | % | |||||||||
JPFCITSV Index | ||||||||||||
Name | Quantity | Value | Weight | |||||||||
International Business Machines Corp | 13,462 | $ | 1,799,330 | 11.27 | % | |||||||
Hewlett Packard Enterprise Co | 84,862 | 1,338,267 | 8.38 | % | ||||||||
Fujitsu Ltd | 6,576 | 1,127,868 | 7.06 | % | ||||||||
Atos SE | 23,522 | 1,001,405 | 6.27 | % | ||||||||
TietoEVRY Oyj | 26,434 | 827,097 | 5.18 | % | ||||||||
Temenos AG | 5,561 | 769,111 | 4.82 | % | ||||||||
Cisco Systems Inc/Delaware | 11,731 | 743,366 | 4.65 | % | ||||||||
DXC Technology Co | 22,702 | 730,771 | 4.58 | % | ||||||||
Intel Corp | 13,289 | 684,380 | 4.29 | % | ||||||||
SAP SE | 4,487 | 638,092 | 4.00 | % | ||||||||
Citrix Systems Inc | 6,575 | 621,899 | 3.89 | % | ||||||||
VMware Inc | 4,858 | 562,995 | 3.52 | % | ||||||||
Conduent Inc | 103,342 | 551,844 | 3.46 | % | ||||||||
Oracle Corp | 5,602 | 488,572 | 3.06 | % | ||||||||
Indra Sistemas SA | 42,574 | 461,479 | 2.89 | % | ||||||||
TD SYNNEX Corp | 3,236 | 370,118 | 2.32 | % | ||||||||
CANCOM SE | 4,674 | 315,170 | 1.97 | % | ||||||||
Open Text Corp | 6,555 | 311,164 | 1.95 | % | ||||||||
NortonLifeLock Inc | 10,011 | 260,073 | 1.63 | % | ||||||||
NetApp Inc | 2,750 | 252,986 | 1.58 | % | ||||||||
Concentrix Corp | 1,382 | 246,912 | 1.55 | % | ||||||||
Software AG | 6,113 | 244,171 | 1.53 | % | ||||||||
Trend Micro Inc/Japan | 4,342 | 241,200 | 1.51 | % | ||||||||
Nutanix Inc | 6,991 | 222,734 | 1.39 | % | ||||||||
Blue Prism Group plc | 10,941 | 187,027 | 1.17 | % | ||||||||
NetScout Systems Inc | 5,032 | 166,457 | 1.04 | % | ||||||||
Amdocs Ltd | 2,222 | 166,285 | 1.04 | % | ||||||||
SecureWorks Corp | 8,963 | 143,143 | 0.90 | % | ||||||||
TeamViewer AG | 9,985 | 134,378 | 0.84 | % | ||||||||
Ping Identity Holding Corp | 5,818 | 133,121 | 0.83 | % | ||||||||
Agora Inc | 7,404 | 120,015 | 0.75 | % | ||||||||
Fastly Inc | 3,065 | 108,660 | 0.68 | % | ||||||||
$ | 15,970,090 | 100.00 | % |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Schedule of Investments (Unaudited)
December 31, 2021
MSFDRUS Index | ||||||||||||
Name | Quantity | Value | Weight | |||||||||
USD Cash | 32,393,714 | $ | 32,125,256 | 81.09 | % | |||||||
NOK Cash | (11,766,395 | ) | (1,235,885 | ) | (3.12 | %) | ||||||
JPY Cash | (811,794 | ) | 708,322 | 1.79 | % | |||||||
CNY Cash | (3,608,039 | ) | (497,389 | ) | (1.26 | %) | ||||||
Cdn Pac Rlway | (492,856 | ) | 398,476 | 1.01 | % | |||||||
Union Pacific Cp | 5,443 | 345,144 | 0.87 | % | ||||||||
CAD Cash | 262,628 | (322,847 | ) | (0.82 | %) | |||||||
Republic Svcs | 2,269 | 276,250 | 0.70 | % | ||||||||
Vonovia Se | 2,067 | 265,277 | 0.67 | % | ||||||||
Cf Industries Holdings | 1,326 | 263,514 | 0.66 | % | ||||||||
Waste Connections Inc | 4,321 | 246,344 | 0.62 | % | ||||||||
Nutrien Ltd | 385 | 232,669 | 0.59 | % | ||||||||
Csx Corp | 3,575 | 229,473 | 0.58 | % | ||||||||
Mowi Asa | 9,066 | 228,668 | 0.58 | % | ||||||||
Norfolk Southern | 3,474 | 220,603 | 0.56 | % | ||||||||
Waste Management | 1,481 | 215,802 | 0.54 | % | ||||||||
Dnb Asa | 9,363 | 213,790 | 0.54 | % | ||||||||
Prologis Inc | 1,069 | 210,618 | 0.53 | % | ||||||||
The Mosaic Co | 5,547 | 190,674 | 0.48 | % | ||||||||
Cdn Natl Rr | 5,672 | 188,959 | 0.48 | % | ||||||||
Gfl Environmental Inc-Sub Vt | 22,373,646 | 183,345 | 0.46 | % | ||||||||
EUR Cash | 1,411 | (175,216 | ) | (0.44 | %) | |||||||
Leg Immobilien Se | 2,699 | 173,990 | 0.44 | % | ||||||||
CHF Cash | 1,503 | 163,586 | 0.41 | % | ||||||||
Li Ning | (872 | ) | 159,527 | 0.40 | % | |||||||
Salmar Asa | 2,614 | 155,339 | 0.39 | % | ||||||||
Darling Ingredients Inc | 5,905 | 142,322 | 0.36 | % | ||||||||
American Homes 4 Rent | 1,488 | 141,384 | 0.36 | % | ||||||||
Corteva Inc | 717 | 141,367 | 0.36 | % | ||||||||
Invitation Homes | (898 | ) | 139,919 | 0.35 | % | |||||||
Klepierre | 14,070 | (138,771 | ) | (0.35 | %) | |||||||
Zoetis Inc | 2,639 | 137,633 | 0.35 | % | ||||||||
Wheaton Precious Metal | (1,819 | ) | 135,144 | 0.34 | % | |||||||
Veolia Environnement Ords | 22,200 | 133,640 | 0.34 | % | ||||||||
Unibail-Rodamco-Westfield | 557 | (127,668 | ) | (0.32 | %) | |||||||
Franco Nev Corp Common (Canada) | 7,821 | 125,152 | 0.31 | % | ||||||||
Anta Sports Products Ltd | 3,462 | 121,454 | 0.31 | % | ||||||||
Clean Harbors | 1,388 | 120,921 | 0.30 | % | ||||||||
Aroundtown Property Holdings S | 2,116 | 118,669 | 0.30 | % | ||||||||
United Parcel Service - Cl B | (1,366 | ) | (118,101 | ) | (0.30 | %) | ||||||
Casella Waste | 3,676 | 116,427 | 0.29 | % | ||||||||
Eastgrp Prop | 282 | 114,153 | 0.29 | % | ||||||||
HKD Cash | 3,499 | (111,910 | ) | (0.28 | %) | |||||||
Pool Corp | (1,035,928 | ) | 111,502 | 0.28 | % | |||||||
Uber Technologies Inc | (395 | ) | (110,821 | ) | (0.28 | %) | ||||||
Honeywell International Inc | (679 | ) | (107,800 | ) | (0.27 | %) | ||||||
Duke Realty Corp | (742 | ) | 106,796 | 0.27 | % | |||||||
Rexford Inl Rty | 4,271 | 105,686 | 0.27 | % | ||||||||
Tag Immobilien Ag | 1,960 | 105,615 | 0.27 | % | ||||||||
Mid Am Apt Comm | 840 | 105,542 | 0.27 | % | ||||||||
Other Underlying Index Components * | 2,943,199 | 7.43 | % | |||||||||
$ | 39,615,743 | 100.00 | % |
* Largest 50 underlying components by market value at December 31, 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 (Unaudited)
December 31, 2021
Assets | ||||
Investments, at value (cost $42,258,981) | $ | 42,596,606 | ||
Cash | 5,411,752 | |||
Cash collateral for derivative instruments | 21,105,084 | |||
Deposits with brokers for derivative instruments | 18,353,855 | |||
Foreign currency, at value (cost $1,704,705) | 1,726,390 | |||
Premiums paid for swaps | 95,524 | |||
Unrealized appreciation on swaps | 700,354 | |||
Unrealized appreciation on forward currency contracts | 41,672 | |||
Receivables: | ||||
Investment securities sold | 928,267 | |||
Dividend and tax reclaim receivable | 3,175 | |||
Return of capital receivable | 24 | |||
Fund shares sold | 47,083 | |||
Prepaid expenses | 17,236 | |||
Total Assets | 91,027,022 | |||
Liabilities | ||||
Written options, at value (premiums received $581,067) | 440,274 | |||
Premiums received from swaps | 33,130 | |||
Unrealized depreciation on swaps | 215,444 | |||
Payables: | ||||
Investment securities purchased | 570,700 | |||
Interest payable | ||||
Fund shared redeemed | 575,173 | |||
Due to Investment Adviser | 38,372 | |||
Accrued Distribution fees | 639 | |||
Other accrued expenses | 58,189 | |||
Total Liabilities | 1,931,921 | |||
Net Assets | $ | 89,095,101 | ||
COMPONENTS OF NET ASSETS | ||||
Paid-in capital | $ | 90,399,616 | ||
Distributable Earnings | (1,304,515 | ) | ||
Net Assets | $ | 89,095,101 | ||
Institutional Class: | ||||
Net assets applicable to shares outstanding | $ | 4,741,802 | ||
Shares outstanding (unlimited shares authorized with no par value) | 526,849 | |||
Net Asset Value, Redemption Price and Offering Price Per Share | $ | 9.00 | ||
Super Institutional Class: | ||||
Net assets applicable to shares outstanding | $ | 84,353,299 | ||
Shares outstanding (unlimited shares authorized with no par value) | 9,348,989 | |||
Net Asset Value, Redemption Price and Offering Price Per Share | $ | 9.02 |
The accompanying notes are an integral part of these consolidated financial statements.
Fulcrum Diversified Absolute Return Fund
Consolidated Statement of Operations (Unaudited)
For the Six Months Ended December 31, 2021
Investment Income
Dividend income (Net of foreign tax of $2,961) | $ | 42,654 | ||
Interest | 9,111 | |||
Total Investment Income | 51,765 | |||
Expenses Management fees | 462,625 | |||
Administration fees | 95,960 | |||
Interest expense | 46,362 | |||
Transfer agent fees | 30,820 | |||
Legal fees | 26,680 | |||
Custody fees | 19,610 | |||
Audit fees | 18,505 | |||
Registration fees | 8,856 | |||
Trustees fees | 7,363 | |||
Compliance fees | 6,166 | |||
Miscellaneous expenses | 3,250 | |||
Reports to shareholders | 2,668 | |||
Insurance expense | 1,365 | |||
Shareholder servicing fees | 16 | |||
Total expenses | 730,246 | |||
Less: Expense waived by the Adviser (Note 3) | (144,139 | ) | ||
Net expenses | 586,107 | |||
Net Investment Loss | (534,342 | ) | ||
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: Investments | (1,969,266 | ) | ||
Written options | 2,985,297 | |||
Forward currency contracts | (847,020 | ) | ||
Futures contracts | (35,674 | ) | ||
Foreign currency | (646,324 | ) | ||
Swap contracts | 465,838 | |||
Net realized loss | (47,149 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (884,595 | ) | ||
Written options | 144,852 | |||
Forward currency contracts | 10,557 | |||
Futures contracts | (1,127,627 | ) | ||
Foreign currency | 27,873 | |||
Swap contracts | 282,730 | |||
Net change in unrealized appreciation (depreciation) | (1,546,210 | ) | ||
Net realized and unrealized loss on investments, written options, forward currency, futures contracts, foreign currency, and swap contracts | (1,593,359 | ) | ||
Net Decrease in Net Assets from Operations | $ | (2,127,701 | ) |
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 Six Months | ||||||||
ended | For the Year | |||||||
December 31, 2021 | ended | |||||||
Operations | (Unaudited) | June 30, 2021 | ||||||
Net investment loss | $ | (534,342 | ) | $ | (1,247,139 | ) | ||
Net realized gain (loss) on investments, written options, forward currency, futures contracts, foreign currency, and swap contracts | (47,149 | ) | 11,590,556 | |||||
Net change in unrealized appreciation (depreciation) on investments, written options, forward currency, futures contracts, foreign currency, and swap contracts | (1,546,210 | ) | 1,243,233 | |||||
Net increase (decrease) in net assets resulting from operations | (2,127,701 | ) | 11,586,650 | |||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
Net dividends and distributions to shareholders - Institutional Class | (395,320 | ) | (103,953 | ) | ||||
Net dividends and distributions to shareholders - Super Institutional Class | (7,118,173 | ) | (9,031,859 | ) | ||||
Net decrease in net assets resulting from distributions paid | (7,513,493 | ) | (9,135,812 | ) | ||||
CAPITAL TRANSACTIONS | ||||||||
Proceeds from shares sold | ||||||||
Institutional Class | 3,385,287 | 570,655 | ||||||
Super Institutional Class | 1,678,831 | 6,414,893 | ||||||
Proceeds from reinvestment of distributions | ||||||||
Institutional Class | 349,089 | 95,877 | ||||||
Super Institutional Class | 7,054,812 | 7,100,516 | ||||||
Cost of units redeemed | ||||||||
Institutional Class | (572,730 | ) | (60,877 | ) | ||||
Super Institutional Class | (23,159,463 | ) | (75,190,839 | ) | ||||
Net decrease in net assets from capital transactions | (11,264,174 | ) | (61,069,775 | ) | ||||
Total decrease in net assets | (20,905,368 | ) | (58,618,937 | ) | ||||
Net Assets | ||||||||
Beginning of period | 110,000,469 | 168,619,406 | ||||||
End of period | $ | 89,095,101 | $ | 110,000,469 | ||||
CAPITAL SHARE TRANSACTIONS | ||||||||
Institutional Class | ||||||||
Shares sold | 348,577 | 57,262 | ||||||
Shares reinvested | 39,136 | 10,265 | ||||||
Shares redeemed | (59,564 | ) | (6,135 | ) | ||||
Net increase in shares outstanding | 328,149 | 61,392 | ||||||
Super Institutional Class | ||||||||
Shares sold | 173,244 | 656,891 | ||||||
Shares reinvested | 789,129 | 758,602 | ||||||
Shares redeemed | (2,377,710 | ) | (7,754,550 | ) | ||||
Net decrease in shares outstanding | (1,415,337 | ) | (6,339,057 | ) |
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 periods presented
For the Six Months ended December 31, 2021 (Unaudited) | For the Year ended June 30, 2021 | For the Year ended June 30, 2020 | For the Year ended June 30, 2019 | For the Year ended June 30, 2018 | For the Year ended June 30, 2017 | |||||||||||||||||||
Net asset value, beginning of period | $ | 10.01 | $ | 9.76 | $ | 8.99 | $ | 9.69 | $ | 9.73 | $ | 9.56 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss (1) | (0.05 | ) | (0.10 | ) | (0.00 | )^ | (0.03 | ) | (0.08 | ) | (0.08 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investments | (0.15 | ) | 1.08 | 0.77 | 0.10 | 0.36 | 0.29 | |||||||||||||||||
Total from investment operations | (0.20 | ) | 0.98 | 0.77 | 0.07 | 0.28 | 0.21 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
From net investment income | (0.81 | ) | (0.41 | ) | — | (0.77 | ) | (0.12 | ) | (0.04 | ) | |||||||||||||
From net realized gain on investments | — | (0.32 | ) | — | — | (0.20 | ) | — | ||||||||||||||||
Total distributions | (0.81 | ) | (0.73 | ) | — | (0.77 | ) | (0.32 | ) | (0.04 | ) | |||||||||||||
Net asset value, end of period | $ | 9.00 | $ | 10.01 | $ | 9.76 | $ | 8.99 | $ | 9.69 | $ | 9.73 | ||||||||||||
Total return | -1.94 | %(2) | 10.58 | % | 8.57 | % | 1.09 | % | 2.96 | % | 2.18 | % | ||||||||||||
SUPPLEMENTAL DATA AND RATIOS: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,742 | $ | 1,990 | $ | 1,340 | $ | 2,743 | $ | 1,438 | $ | 1,048 | ||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||||||
Before fees waived by the Adviser (4) | 1.45 | %(3) | 1.32 | % | 1.19 | % | 1.24 | % | 1.19 | % | 1.19 | % | ||||||||||||
After fees waived by the Adviser (4) | 1.14 | %(3) | 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 (5) | -1.35 | %(3) | -1.19 | % | -0.11 | % | -0.46 | % | -0.97 | % | -0.97 | % | ||||||||||||
After fees waived by the Adviser (5) | -1.04 | %(3) | -0.98 | % | -0.01 | % | -0.35 | % | -0.84 | % | -0.87 | % | ||||||||||||
Portfolio turnover rate (6) | 2 | %(2) | 13 | % | 88 | % | 81 | % | 11 | % | 4 | % |
^ | Amount represents less than $0.01 per share. |
(1) | Computed using the average shares method. |
(2) | Not annualized |
(3) | Annualized |
(4) | The ratios of expenses to average net assets include interest and brokerage expenses. For the periods ended June 30, 2017, June 30, 2018, June 30, 2019, June 30, 2020, June 30, 2021 and December 31, 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%, 1.26% and 1.37%, 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%, 1.05% and 1.05%, respectively. |
(5) | The ratios of net investment loss to average net assets include interest and brokerage expenses. For the periods ended June 30, 2017, June 30, 2018, June 30, 2019, June 30, 2020, June 30, 2021 and December 31, 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%, -1.14%, -1.28% and -1.26%, 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%, -0.93%, -0.99% and -0.96%, respectively. |
(6) | 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 periods presented
For the Six Months ended December 31, 2021 (Unaudited) | For the Year ended June 30, 2021 | For the Year ended June 30, 2020 | For the Year ended June 30, 2019 | For the Year ended June 30, 2018 | For the Year ended June 30, 2017 | |||||||||||||||||||
Net asset value, beginning of period | $ | 10.03 | $ | 9.78 | $ | 9.00 | $ | 9.69 | $ | 9.73 | $ | 9.56 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) (1) | (0.05 | ) | (0.10 | ) | 0.02 | (0.02 | ) | (0.08 | ) | (0.08 | ) | |||||||||||||
Net realized and unrealized gain (loss) on investments | (0.15 | ) | 1.08 | 0.76 | 0.10 | 0.36 | 0.29 | |||||||||||||||||
Total from investment operations | (0.20 | ) | 0.98 | 0.78 | 0.08 | 0.28 | 0.21 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
From net investment income | (0.81 | ) | (0.41 | ) | (0.00 | )^ | (0.77 | ) | (0.12 | ) | (0.04 | ) | ||||||||||||
From net realized gain on investments | — | (0.32 | ) | — | — | (0.20 | ) | — | ||||||||||||||||
Total distributions | (0.81 | ) | (0.73 | ) | (0.00 | ) | (0.77 | ) | (0.32 | ) | (0.04 | ) | ||||||||||||
Net asset value, end of period | $ | 9.02 | $ | 10.03 | $ | 9.78 | $ | 9.00 | $ | 9.69 | $ | 9.73 | ||||||||||||
Total return | -1.94 | %(2) | 10.60 | % | 8.69 | % | 1.21 | % | 2.96 | % | 2.18 | % | ||||||||||||
SUPPLEMENTAL DATA AND RATIOS: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 84,353 | $ | 108,011 | $ | 167,280 | $ | 183,278 | $ | 178,578 | $ | 185,112 | ||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||||||
Before fees waived by the Adviser (4) | 1.42 | %(3) | 1.29 | % | 1.16 | % | 1.17 | % | 1.19 | % | 1.17 | % | ||||||||||||
After fees waived by the Adviser (4) | 1.14 | %(3) | 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 (5) | -1.32 | %(3) | -1.16 | % | 0.07 | % | -0.35 | % | -0.97 | % | -0.95 | % | ||||||||||||
After fees waived by the Adviser (5) | -1.04 | %(3) | -0.97 | % | 0.17 | % | -0.24 | % | -0.84 | % | -0.84 | % | ||||||||||||
Portfolio turnover rate (6) | 2 | %(2) | 13 | % | 88 | % | 81 | % | 11 | % | 4 | % |
^ | Amount represents less than $0.01 per share. |
(1) | Computed using the average shares method. |
(2) | Not annualized |
(3) | Annualized |
(4) | The ratios of expenses to average net assets include interest and brokerage expenses. For the periods ended June 30, 2017, June 30, 2018, June 30, 2019, June 30, 2020, June 30, 2021 and December 31, 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%, 1.24% and 1.33%, 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%, 1.05% and 1.05%, respectively. |
(5) | The ratios of net investment income (loss) to average net assets include interest and brokerage expenses. For the periods ended June 30, 2017, June 30, 2018, June 30, 2019, June 30, 2020, June 30, 2021 and December 31, 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%, -1.12% and -1.23%, 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%, -0.93% and -0.95%, respectively. |
(6) | 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 (Unaudited)
December 31, 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 December 31, 2021 the Fund’s investment in the Subsidiary represented 6.00% of the Fund’s net assets. The results from operations of the Subsidiary were as follows:
Net investment loss | $ | (14,457 | ) | |
Net realized gain | 1,364,413 | |||
Net change in unrealized appreciation (depreciation) | (1,066,091 | ) | ||
Net increase in net assets resulting from Operations | $ | 283,865 |
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 (Unaudited) (Continued)
December 31, 2021
At December 31, 2021, the investment held in the Subsidiary was $5,350,397; there were $425,297 of unrealized gains in the Subsidiary. The Subsidiary holds cash and cash equivalents as collateral on open contracts. There were 235 futures contracts and 299 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 (Unaudited) (Continued)
December 31, 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 December 31, 2021:
Description | Quoted Prices Level 1 | Other Significant Observable Inputs Level 2 | Significant Unobservable Inputs Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Common Stocks | $ | 5,430,847 | $ | — | $ | — | $ | 5,430,847 | ||||||||
Preferred Stocks | 2,504 | — | — | 2,504 | ||||||||||||
Purchased Options and Warrants | 409,947 | 1,471,150 | — | 1,881,097 | ||||||||||||
Short-Term Investments | — | 35,282,158 | — | 35,282,158 | ||||||||||||
Total Investments | $ | 5,843,298 | $ | 36,753,308 | $ | — | $ | 42,596,606 |
Description | Quoted Prices Level 1 | Other Significant Observable Inputs Level 2 | Significant Unobservable Inputs Level 3 | Total | ||||||||||||
Other Financial Instruments | ||||||||||||||||
Written Options | $ | (420,925 | ) | $ | (19,349 | ) | $ | — | $ | (440,274 | ) | |||||
Forward Currency Contracts * | — | 41,672 | — | 41,672 | ||||||||||||
Futures Contracts * | 423,466 | — | — | 423,466 | ||||||||||||
Interest Rate Swaps * | — | 352,349 | — | 352,349 | ||||||||||||
Credit Default Swaps * | — | 642 | — | 642 | ||||||||||||
Total Return Swaps * | — | 131,919 | — | 131,919 | ||||||||||||
Total Other Financial Instruments | $ | 2,541 | $ | 507,233 | $ | — | $ | 509,774 |
* 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 (Unaudited) (Continued)
December 31, 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 period ended December 31, 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 (Unaudited) (Continued)
December 31, 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 (Unaudited) (Continued)
December 31, 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 December 31, 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 | ||||||||||||
Interest rate | $ | — | $ | — | $ | 395,872 | $ | 466,593 | ||||||||
Credit | — | — | 4,681 | — | ||||||||||||
Currency | 621,963 | 41,672 | — | 22,830 | ||||||||||||
Equity | 543,311 | — | 278,442 | 406,891 | ||||||||||||
Commodity | 91,425 | — | 21,359 | 484,604 | ||||||||||||
Volatility | 624,398 | — | — | 8,969 | ||||||||||||
Total | $ | 1,881,097 | $ | 41,672 | $ | 700,354 | $ | 2,899,341 |
Liabilities | ||||||||||||
Risk Exposure Category | Written Options | Unrealized Depreciation on Swaps | Unrealized Depreciation on Futures (2) | |||||||||
Interest rate | $ | — | $ | (43,523 | ) | $ | (477,619 | ) | ||||
Credit | — | (4,039 | ) | — | ||||||||
Currency | (19,349 | ) | — | (164,920 | ) | |||||||
Equity | (241,875 | ) | (167,882 | ) | (177,706 | ) | ||||||
Commodity | (53,860 | ) | — | (145,942 | ) | |||||||
Volatility | (125,190 | ) | — | (234 | ) | |||||||
Total | $ | (440,274 | ) | $ | (215,444 | ) | $ | (966,421 | ) |
(1) | Includes purchased options and warrants. |
Fulcrum Diversified Absolute Return Fund
Notes to Consolidated Financial Statements (Unaudited) (Continued)
December 31, 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 period ended December 31, 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) | $ | (377,274 | ) | $ | 460,509 | $ | — | $ | (1,518,667 | ) | $ | (690,516 | ) | $ | (2,125,948 | ) | ||||||||
Commodity | (448,859 | ) | 776,568 | — | 1,115,834 | 24,242 | 1,467,785 | |||||||||||||||||
Credit | — | — | — | — | 82,283 | 82,283 | ||||||||||||||||||
Currency | (606,225 | ) | 86,000 | (847,020 | ) | (178,258 | ) | — | (1,545,503 | ) | ||||||||||||||
Equity | �� | (742,255 | ) | 595,157 | — | 1,389,320 | 1,049,829 | 2,292,051 | ||||||||||||||||
Volatility | 45,819 | 1,067,063 | — | (843,903 | ) | — | 268,979 | |||||||||||||||||
Total | $ | (2,128,794 | ) | $ | 2,985,297 | $ | (847,020 | ) | $ | (35,674 | ) | $ | 465,838 | $ | 439,647 |
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 | $ | (3,394 | ) | $ | — | $ | 681,784 | $ | 384,470 | $ | 1,135,581 | |||||||||||
Credit | — | — | — | — | (1,335 | ) | (1,335 | ) | ||||||||||||||||
Currency | (301,142 | ) | 18,120 | 10,557 | (3,687 | ) | — | (276,152 | ) | |||||||||||||||
Equity | (204,747 | ) | (90,181 | ) | — | (1,392,087 | ) | (130,400 | ) | (1,817,415 | ) | |||||||||||||
Commodity | (698,941 | ) | 183,946 | — | (416,879 | ) | 29,995 | (901,879 | ) | |||||||||||||||
Volatility | (95,843 | ) | 36,361 | — | 3,242 | — | (56,240 | ) | ||||||||||||||||
Total | $ | (1,227,952 | ) | $ | 144,852 | $ | 10,557 | $ | (1,127,627 | ) | $ | 282,730 | $ | (1,917,440 | ) |
(1) | Includes purchased options and warrants. |
(2) | Includes inflation risk |
Fulcrum Diversified Absolute Return Fund
Notes to Consolidated Financial Statements (Unaudited) (Continued)
December 31, 2021
The average monthly volume of derivative instruments held by the Fund during the period ended December 31, 2021 is set forth below:
Derivative Type | Unit of Measure | Average Quantity | ||||
Credit default swaps | Notional Amount | $ | 6,136,745 | |||
Interest rate swaps * | Notional Amount | $ | 40,938,230 | |||
Total return swaps – Long | Notional Amount | $ | 10,383,399 | |||
Total return swaps – Short | Notional Amount | $ | (45,621,137 | ) | ||
Forward currency contracts | Notional Amount | $ | 124,743,213 | |||
Futures – Long | Notional Amount | $ | 12,049 | |||
Futures – Short | Notional Amount | $ | (306 | ) | ||
Purchased options and warrants | Contracts | 107,019 | ||||
Purchased currency options | Notional Amount | $ | 855,143 | |||
Purchased barrier options | Notional Amount | $ | 479,293 | |||
Written options | Contracts | (2,303 | ) | |||
Written currency options | Notional Amount | $ | (34,010 | ) |
* 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 (Unaudited) (Continued)
December 31, 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 December 31, 2021:
Gross Amounts not offset in the | ||||||||||||||||||||||||
Gross Amounts | Net Amounts | Consolidated Statement of Assets | ||||||||||||||||||||||
Offset in the | Presented in the | and Liabilities | ||||||||||||||||||||||
Gross Amounts | Consolidated | Consolidated | Cash | |||||||||||||||||||||
of Recognized | Statement of | Statement of | Offsetting | Collateral | ||||||||||||||||||||
Assets and | Assets & | Assets & | Derivative | Pledged | Net | |||||||||||||||||||
Counterparty | (Liabilities) | (Liabilities) | (Liabilities) | Position | (Received)(1) | Amount | ||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Purchased Options and Warrants | ||||||||||||||||||||||||
Barclays | $ | 17,225 | $ | — | $ | 17,225 | $ | — | $ | — | $ | 17,225 | ||||||||||||
BNP Paribas S.A. | 389,872 | — | 389,872 | — | — | 389,872 | ||||||||||||||||||
Citigroup | 270,154 | 270,154 | 270,154 | |||||||||||||||||||||
Goldman Sachs | 31,841 | — | 31,841 | — | — | 31,841 | ||||||||||||||||||
J.P. Morgan Chase | 651,456 | — | 651,456 | (19,349 | ) | — | 632,107 | |||||||||||||||||
Morgan Stanley | 520,549 | — | 520,549 | (420,925 | ) | — | 99,624 | |||||||||||||||||
Futures Contracts (2) | ||||||||||||||||||||||||
J.P. Morgan Chase | 552 | (552 | ) | — | — | — | — | |||||||||||||||||
Morgan Stanley | 1,389,335 | (961,324 | ) | 428,011 | — | — | 428,011 | |||||||||||||||||
Forward Contracts | ||||||||||||||||||||||||
J.P. Morgan Chase | 312,529 | (270,857 | ) | 41,672 | — | — | 41,672 | |||||||||||||||||
Swaps Contracts | ||||||||||||||||||||||||
Barclays | 10,541 | — | 10,541 | (2,100 | ) | — | 8,441 | |||||||||||||||||
Citigroup | 29,046 | — | 29,046 | (14,384 | ) | — | 14,662 | |||||||||||||||||
Goldman Sachs | 46,618 | — | 46,618 | (46,618 | ) | — | — | |||||||||||||||||
J.P. Morgan Chase | 458,191 | — | 458,191 | (134,494 | ) | — | 323,697 | |||||||||||||||||
Morgan Stanley | 155,958 | — | 155,958 | (2,958 | ) | — | 153,000 | |||||||||||||||||
$ | 4,283,867 | $ | (1,232,733 | ) | $ | 3,051,134 | $ | (640,828 | ) | $ | — | $ | 2,410,306 | |||||||||||
Liabilities: | ||||||||||||||||||||||||
Written Options | ||||||||||||||||||||||||
J.P. Morgan Chase | $ | (19,349 | ) | $ | — | $ | (19,349 | ) | $ | 19,349 | $ | — | $ | — | ||||||||||
Morgan Stanley | (420,925 | ) | — | (420,925 | ) | 420,925 | — | — | ||||||||||||||||
Futures Contracts (2) | ||||||||||||||||||||||||
J.P. Morgan Chase | (5,097 | ) | 552 | (4,545 | ) | — | 4,545 | — | ||||||||||||||||
Morgan Stanley | (961,324 | ) | 961,324 | — | — | — | — | |||||||||||||||||
Forward Contracts | ||||||||||||||||||||||||
J.P. Morgan Chase | (270,857 | ) | 270,857 | — | — | — | — | |||||||||||||||||
Swaps Contracts | ||||||||||||||||||||||||
Barclays | (2,100 | ) | — | (2,100 | ) | 2,100 | — | — | ||||||||||||||||
Citigroup | (14,384 | ) | — | (14,384 | ) | 14,384 | — | — | ||||||||||||||||
Goldman Sachs | (61,508 | ) | — | (61,508 | ) | 46,618 | 14,890 | — | ||||||||||||||||
J.P. Morgan Chase | (134,494 | ) | — | (134,494 | ) | 134,494 | — | — | ||||||||||||||||
Morgan Stanley | (2,958 | ) | — | (2,958 | ) | 2,958 | — | — | ||||||||||||||||
$ | (1,892,996 | ) | $ | 1,232,733 | $ | (660,263 | ) | $ | 640,828 | $ | 19,435 | $ | — |
(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 (Unaudited) (Continued) December 31, 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 December 31, 2021, the Fund held foreign currency.
Fulcrum Diversified Absolute Return Fund Notes to Consolidated Financial Statements (Unaudited) (Continued) December 31, 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 December 31, 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 December 31, 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 December 31, 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 | $ | — | $ | 260,000 | ||||
Citibank, N.A. | 730,000 | — | ||||||
Goldman Sachs | 860,000 | — | ||||||
J.P. Morgan Chase | 1,665,084 | 1,024,453 | ||||||
Morgan Stanley | 17,850,000 | 17,069,402 | ||||||
Total | $ | 21,105,084 | $ | 18,353,855 |
(1) | Excludes non-pledged cash or collateral held by broker. |
Fulcrum Diversified Absolute Return Fund Notes to Consolidated Financial Statements (Unaudited) (Continued) December 31, 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 December 31, 2021, the Fund held $5,161,752 as cash reserves at U.S. Bank, N.A. (“U.S. Bank”); $10,000 as deposits with broker at Barclays; $774,453 as deposits with broker at J.P. Morgan Chase; and $16,819,402 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 December 31, 2021, the amounts reimbursed by the Adviser and subject to potential recapture by year were as follows:
Amount | Expiration | |||||
$ | 87,268 | June 30, 2022 | ||||
181,991 | June 30, 2023 | |||||
244,853 | June 30, 2024 | |||||
144,139 | December 31, 2024 | |||||
$ | 658,251 |
Fulcrum Diversified Absolute Return Fund Notes to Consolidated Financial Statements (Unaudited) (Continued) December 31, 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 period ended December 31, 2021, the Fund incurred the following expenses for administration and fund accounting, compliance, custody and transfer agency fees:
Administration and fund accounting | $ | 95,960 | ||
Compliance Services | $ | 6,166 | ||
Custody | $ | 19,610 | ||
Transfer Agency | $ | 30,820 |
At December 31, 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 | $ | 31,143 | ||
Compliance Services | $ | 2,047 | ||
Custody | $ | 6,253 | ||
Transfer Agency | $ | 10,626 |
The above payable amounts are included in other accrued expenses in the Consolidated Statement of Assets and Liabilities.
The Independent Trustees were paid $7,363 for their services during the period ended December 31, 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.
Note 5 – Portfolio Securities Transactions
The cost of purchases and proceeds from sales and maturities of long-term securities for the period ended December 31, 2021, were as follows:
Purchases | $ | 785,404 | |||
Sales | $ | 1,069,571 |
Fulcrum Diversified Absolute Return Fund Notes to Consolidated Financial Statements (Unaudited) (Continued) December 31, 2021 |
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 |
The tax character of distributions paid during six months ended December 31, 2021, and the year ended June 30, 20201were as follows:
Six Months ended | Year ended | |||||||
Distributions Paid From: | December 31, 2021 | June 30, 2021 | ||||||
Ordinary Income | $ | 7,513,493 | $ | 7,747,458 | ||||
Long-Term Capital Gains | — | 1,388,354 | ||||||
Total Distributions Paid | $ | 7,513,493 | $ | 9,135,812 |
Fulcrum Diversified Absolute Return Fund Notes to Consolidated Financial Statements (Unaudited) (Continued) December 31, 2021 |
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 December 31, 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.
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.
Fulcrum Diversified Absolute Return Fund Notes to Consolidated Financial Statements (Unaudited) (Continued) December 31, 2021 |
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.
Fulcrum Diversified Absolute Return Fund Additional Information (Unaudited) December 31, 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.
Approval of Investment Advisory Agreement
At a meeting held on August 12 and 13, 2021, the Board of Trustees (the “Board”) of Trust for Advised Portfolios (the “Trust”), including all Trustees who are not “interested persons” of the Trust (“Independent Trustees”), as that term is defined in the Investment Company Act of 1940, considered and approved the continuance of the investment advisory agreement (“Advisory Agreement”) with Fulcrum Asset Management, LLC (the “Adviser”), for the Fulcrum Diversified Absolute Return Fund (the “Fund”).
Ahead of the August meeting, the Board received and reviewed substantial information regarding the Fund, the Adviser and the services provided by the Adviser to the Fund under the Advisory Agreement. This information formed the primary (but not exclusive) basis for the Board’s determinations. The information prepared specifically for the annual review of the Advisory Agreement supplemented the information provided to the Board and its committees throughout the year. The Board and its committees met regularly during the year and the information provided and topics discussed at such meetings were relevant to the review of the Advisory Agreement. Some of these reports and other data included, among other things, materials that outlined the investment performance of the Fund; compliance, regulatory, and risk management matters; the trading practices of the Adviser; valuation of investments; fund expenses; and overall market and regulatory developments. The Trustees considered the review of the Advisory Agreement to be an ongoing process and employed the accumulated information, knowledge, and experience they had gained during their tenure on the Board governing the Fund and working with the Adviser in their review of the Advisory Agreement. The Independent Trustees were advised by independent legal counsel during the annual review process as well as throughout the year, including meeting in executive sessions with such counsel without representatives from the Adviser present. In connection with their annual review, the Independent Trustees also received a memorandum from independent legal counsel outlining their fiduciary duties and legal standards in reviewing the Advisory Agreement.
Fulcrum Diversified Absolute Return Fund Additional Information (Unaudited) (Continued) December 31, 2021 |
In considering the continuance of the Advisory Agreement, the Board considered the following factors and made the following determinations. In its deliberations, the Board did not identify any single factor or piece of information as all important, controlling, or determinative of its decision, and each Trustee may have attributed different weights to the various factors and information.
• | In considering the nature, extent and quality of the services provided by the Adviser, the Trustees considered the Adviser’s specific responsibilities in all aspects of the day-to-day management of the Fund, as well as the qualifications, experience and responsibilities of the portfolio managers and other key personnel involved in the day-to-day activities of the Fund. The Board also considered the resources and compliance structure of the Adviser, including information regarding its compliance program, chief compliance officer and compliance record, and its disaster recovery/business continuity plan, including how the Adviser has operated through the COVID-19 pandemic. The Board also considered the existing relationship between the Adviser and the Trust, as well as the Board’s knowledge of the Adviser’s operations, and noted that during the year it had met with the Adviser to discuss fund performance and investment outlook, as well as various marketing and compliance topics, including the Adviser’s risk management process. The Board concluded that the Adviser had sufficient quality and depth of personnel, resources, investment methods and compliance policies and procedures essential to performing its duties under the Advisory Agreement and that, in the Board’s view, the nature, overall quality, and extent of the management services provided were and would continue to be satisfactory and reliable. |
• | In assessing the quality of the portfolio management delivered by the Adviser, the Board reviewed the performance of the Fund on both an absolute basis and in comparison to its peer group, relevant benchmark index, and a comparable account managed by the Adviser. The Board considered that the Fund had outperformed relative to its peer group median/average for the year-to-date, three-year, and five-year periods as of June 30, 2021 and performed in line with its peer group median/average for the one-year period as of June 30, 2021. The Board also considered that the Fund had outperformed its benchmark index and the Adviser’s comparable account for the one-year, three-year, five-year and since inception periods as of June 30, 2021. The Board evaluated this information in the context of the Fund’s aim to achieve long-term absolute returns in all market conditions over rolling five-year periods. |
• | The Trustees also reviewed the cost of the Adviser’s services, and the structure and level of the advisory fee payable by the Fund, including a comparison of the fee to fees payable by a peer group of funds. The Board noted that the Adviser had contractually agreed to maintain an annual expense cap for each of the Fund’s classes. The Board noted that the Fund’s advisory fee and net expense ratio were lower than its peer group median/average. After reviewing the materials that were provided, the Trustees noted that the fee to be received by the Adviser was within the rage of advisory fees charged to comparable funds and concluded that such fee was fair and reasonable. |
• | The Trustees considered whether, based on the asset size of the Fund, economies of scale had been achieved. The Board also considered the Adviser’s commitment to maintain its caps on Fund expenses. The Trustees concluded that they will have the opportunity to periodically reexamine whether economies of scale have been achieved. |
Fulcrum Diversified Absolute Return Fund Additional Information (Unaudited) (Continued) December 31, 2021 |
• | The Trustees considered the profitability of the Adviser from managing the Fund. In assessing The Adviser’s profitability, the Trustees reviewed The Adviser’s financial information that was provided in the August meeting materials and took into account both the direct and indirect benefits to The Adviser from managing the Fund. The Trustees concluded that the Adviser’s profits from managing the Fund were not excessive and, after a review of the relevant financial information, that the Adviser appeared to have adequate capitalization and/or would maintain adequate profit levels to support the Fund. |
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.
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. |
(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. |
(a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not applicable for semi-annual reports. |
(b) | Certifications pursuant to Section 906 of the Sarbanes‑Oxley Act of 2002. Furnished herewith. |