TFS Capital Investment Trust N-CSR Certified annual shareholder report (management investment company)

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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-21531

TFS Capital Investment Trust

(Exact name of registrant as specified in charter)

10 N. High Street, Suite 500 West Chester, PA	19380
(Address of principal executive offices)	(Zip code)

Wade R. Bridge, Esq.

Ultimus Fund Solutions, LLC 225 Pictoria Drive, Suite 450 Cincinnati, Ohio 45246

(Name and address of agent for service)

Registrant's telephone number, including area code: (513) 587-3406

Date of fiscal year end:	October 31, 2016
Date of reporting period:	October 31, 2016

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Reports to Stockholders.

ANNUAL REPORT

October 31, 2016

For more information or assistance in opening an account,

please call toll-free 1-888-534-2001.

LETTER TO SHAREHOLDERS

December 21, 2016

Dear Shareholder,

Enclosed is the Annual Report to shareholders of the TFS Market Neutral Fund (ticker: TFSMX), the TFS Small Cap Fund (ticker: TFSSX) and the TFS Hedged Futures Fund (ticker: TFSHX) for the year ended October 31, 2016. On behalf of the investment manager, TFS Capital LLC, we would like to thank you for your continued investment.

TFS Market Neutral Fund (ticker: TFSMX)

	1-year return	3-year return	5-year return	10-year return	Since Inception (9/7/2004)
TFS Market Neutral Fund	-7.79%	-1.24%	1.93%	4.06%	5.32%
S&P 500® Index	4.51%	8.84%	13.57%	6.70%	7.63%

Average annual total returns for periods ended October 31, 2016. Past performance is not a guarantee of future results.

For the fiscal year ended October 31, 2016, the TFS Market Neutral Fund produced significant negative alpha versus the S&P 500 Index. In terms of both absolute and relative performance, this was the worst fiscal year in the Fund’s history.

The significant underperformance was mostly limited to our small cap equity holdings, which make up a majority of the portfolio. The Fund saw positive alpha from its holdings in large cap stocks, closed end funds, and volatility futures. These gains provided a small offset to the larger losses in small cap equities.

During October, the final month of our fiscal year, we observed a reversal of the trend we observed over most of the rest of the year. The small cap equity short positions that hurt performance during most of the prior eleven months contributed positively to the portfolio. The Fund’s alpha in October 2016 was the highest it had been in any month since 2009. (The Fund was up 2.83% in October, while both the S&P 500 and Russell 2000 declined.)

Historically, we have observed that periods of the Fund’s underperformance have been typically followed by periods of outperformance. However, past performance is no guarantee of future results and there is no way to predict how long any period of underperformance will continue or whether it will be followed by outperformance.

We have attempted to improve our portfolio optimization methodology to reduce sector exposures in an effort to position the Fund to benefit from a return of alpha. In addition, we have lowered the beta of the portfolio, which means that moves in the equity markets should have less of an impact on the Fund’s performance.

We believe that many of our investment models have been negatively impacted by historically low interest rates. Based on recent performance we believe this is because our models may function more effectively in a market where interest rates are not so extraordinarily low. In our view, this interest rate environment has allowed companies with weak fundamentals access to money to finance their operations even though their business prospects appear challenging. This, in essence, has propped up company valuations and we believe it has skewed the effectiveness of our models in identifying short sale opportunities among companies with weak fundamentals.

1

We are encouraged by the recent increase in the federal-funds target interest rate. However, there can be no assurance that this or further increases, if any, will positively impact the Fund’s performance.

The strategies used in managing TFSMX have resulted in returns that have a relatively low correlation to other asset classes. According to Modern Portfolio Theory, portfolios may benefit by combining non-correlated investments. For your reference, below are the TFS Market Neutral Fund’s correlations to several other asset classes since inception.

Index	Correlation Since Inception
S&P 500® Index	0.59
Russell 2000® Index	0.58
MSCI EAFE Index	0.46
Barclays U.S. Aggregate Bond Index	-0.16
Dow Jones REIT ETF Index	0.42
Dow Jones Commodity Futures	0.38

Since inception, TFSMX has produced positive alpha, with lower volatility and market exposure than the S&P 500^® Index. From inception through October 31, 2016, TFSMX has had an average annual return of 5.32%, as compared to S&P 500^® Index performance during the same period of 7.63%. During this period, the Fund’s beta was 0.23 vs. the S&P 500. This means that the Fund’s risk exposure to the S&P 500 performed as if 23% of it was allocated to the market. In addition, during this time period, the Fund’s average annual volatility measure was 6.7%, compared to S&P 500^® Index volatility of 19.0%.

Given the Fund’s recent poor performance, TFSMX ranked in the 74th and 37th percentile, respectively, for the 3-year and 5-year periods ending October 31, 2016, among funds in the Morningstar Market Neutral category. However, TFSMX performance ranked in the top percentile over the 10-year period ending October 31, 2016, among the funds in that category.¹

TFS Small Cap Fund (ticker: TFSSX)

	1-year return	3-year return	5-year return	10-year return	Since Inception (3/7/2006)
TFS Small Cap Fund	2.46%	4.09%	12.86%	9.82%	9.97%
Russell 2000® Index	4.11%	4.12%	11.51%	5.96%	6.27%

Average annual total returns for periods ended October 31, 2016. Past performance is not a guarantee of future results.

TFSSX underperformed its benchmark, the Russell 2000^® Index, by 1.65% during the 2016 fiscal year. Most of this underperformance occurred in the first calendar quarter of 2016, when equity volatility increased dramatically; sector exposures during the quarter hurt the Fund’s performance. Due to a new portfolio construction methodology, current sector exposures in the Fund are somewhat closer to the benchmark exposures.

Given its “long-only” mandate, TFSSX is expected to have a high correlation to U.S. small-cap equity market movements with most of the performance deviation attributable to TFS Capital’s equity selection.

2

Despite a year with negative alpha for TFSSX, the Fund’s 10-year track record remains strong. Over the last 10 years, the Fund has generated an average annual return that is 3.86% higher than that of the Russell 2000. TFSSX performance ranked in the top percentile of funds in the Morningstar Small Blend category over the 10-year period ending October 31, 2016.²

TFS Hedged Futures Fund (ticker: TFSHX)

	1-year return	3-year return	Since Inception (12/29/2011)
TFS Hedged Futures Fund	0.28%	2.23%	1.67%
S&P Diversified Trends Indicator	-0.93%	0.27%	-1.75%
Bloomberg Commodity Index	-2.89%	-12.15%	-9.81%
S&P 500 Index	4.51%	8.84%	13.75%

Average annual total return for the periods ended October 31, 2016. Past performance is not a guarantee of future results.

TFS Hedged Futures Fund had a minimal gain of 0.28% during the fiscal year. However, both its short-term and long-term performance compare favorably to the Diversified Trends Indicator; the Fund is outperforming that benchmark over the 1-year and 3-year return periods, as well as since inception.

The Fund’s performance this year was driven by modestly positive returns from its futures volatility strategies, coupled with generally negative performance from its commodities strategies.

During the month of June, we increased the maximum target exposure of each of the Fund’s strategies. This change will cause an increased exposure to the performance of the underlying strategies, both up and down. The amount of money the Fund has invested will also increase. However, even with this increase in exposure, the recent volatility of the Fund’s daily NAV movements has still been well below the average fund in the managed futures mutual fund category.

TFSHX exhibits low-to-negative correlation to all major asset classes including global equities, fixed income, and commodities. The Fund, which does not employ trend-following strategies, also has a low average correlation to the S&P DTI and other funds in Morningstar’s Managed Futures Category. For your reference, below are the TFS Hedged Futures Fund’s correlations to several other asset classes, and the TFS Market Neutral Fund.

Index	Correlation Since Inception
S&P Diversified Trends Indicator	-0.05
S&P 500® Index	0.12
MSCI EAFE Index	0.09
S&P GSCI Index	-0.05
Barclays U.S. Aggregate Bond Index	-0.02
TFS Market Neutral Fund (ticker: TFSMX)	0.20

3

As always, we do not recommend allocating a high percentage of one’s assets to any single investment fund managed by TFS Capital given the risks inherent in each product. Rather, we believe that they are best used as a component of a diversified portfolio of investments. If you have any questions regarding the information presented here, please contact us.

Best regards,

Eric Newman

Kevin Gates

Richard Gates

David Hall

Co-Portfolio Managers

TFS Capital LLC

The performance data quoted represents past performance, which is not a guarantee of future results. Current performance may be lower or higher than the performance data quoted. Performance information current through the most recent month-end is available at www.tfscapital.com. The investment return and principal value of an investment in the mutual funds discussed in this report (the “Funds”) will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Fee reductions and/or expense reimbursements by the Adviser have positively impacted the Funds’ performance. Without such reductions and/or reimbursements, performance would have been lower. An investor should consider the investment objectives, risks, charges and expenses of the Funds carefully before investing. To obtain a summary prospectus and/or prospectus, which each contain this and other important information, go to www.TFSCapital.com or call (888) 534-2001. Please read the summary prospectus and/or prospectus carefully before investing. The Funds may not be suitable for all investors. Futures investing is speculative. Each Fund’s current NAV per share is available at www.TFSCapital.com.

¹ Based on Morningstar data for the periods ended 10/31/16. Category % ranking for TFSMX was 74th percentile out of 121 funds for the 3-year period, 37th percentile out of 79 funds for the 5-year period and 1st percentile out of 37 funds for the 10-year period. Past performance is not a guarantee of future results.

² Based on Morningstar data for the periods ended 10/31/16. Category % ranking for TFSSX was 43rd percentile out of 659 funds for the 3-year period, 1st quartile for the 5-year period out of 5760 funds and 1st percentile for the 10-year periodout of 389 funds. Past performance is not a guarantee of future results.

Investments are placed into Morningstar Categories based on their compositions and portfolio statistics so that investors can make meaningful comparisons. Morningstar Category % Rank is a fund’s total-return percentile rank relative to all funds in the same category. The highest (or most favorable) percentile rank is one and the lowest (or least favorable) percentile rank is 100. The Category % Rank complements the Morningstar Rating, especially for funds in smaller categories because these funds may have received a 3-star rating, but could be in the top half of their category performance.

4

TFS MARKET NEUTRAL FUND
PERFORMANCE INFORMATION (Unaudited)

Comparison of the Change in Value of a $10,000 Investment in
TFS Market Neutral Fund versus the S&P 500^® Index

Average Annual Total Returns For the periods ended October 31, 2016
	1 Year	5 Years	10 Years
TFS Market Neutral Fund(a)	(7.79%)	1.93%	4.06%
S&P 500® Index	4.51%	13.57%	6.70%

^(a) The total returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares.

5

TFS SMALL CAP FUND
PERFORMANCE INFORMATION (Unaudited)

Comparison of the Change in Value of a $10,000 Investment in
TFS Small Cap Fund versus the Russell 2000^® Index

Average Annual Total Returns For the periods ended October 31, 2016
	1 Year	5 Years	10 Years
TFS Small Cap Fund(a)	2.46%	12.86%	9.82%
Russell 2000® Index	4.11%	11.51%	5.96%

^(a) The total returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares.

6

TFS HEDGED FUTURES FUND
PERFORMANCE INFORMATION (Unaudited)

Comparison of the Change in Value of a $10,000 Investment in
TFS Hedged Futures Fund versus the
S&P Diversified Trends Indicator and the S&P 500^® Index

Average Annual Total Returns For the periods ended October 31, 2016
	1 Year	Since Inception(b)
TFS Hedged Futures Fund(a)	0.28%	1.67%
S&P Diversified Trends Indicator	(0.93%)	(1.75%)
S&P 500® Index	4.51%	13.75%

(a)	The total returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares.
(b)	Initial public offering of shares was December 29, 2011.

7

TFS MARKET NEUTRAL FUND
PORTFOLIO INFORMATION
October 31, 2016 (Unaudited)

Common Stocks vs.
the S&P 500^® Index Net Sector Exposure*

* The net percentages for TFS Market Neutral Fund are computed by taking the net dollar exposure, including short positions, and dividing by the net assets of the Fund. Consequently, the percentages will not total to 100%.

Top 10 Long Common Stocks		Top 10 Short Common Stocks
Security Description	% of Net Assets	Security Description	% of Net Assets
Huntsman Corporation	0.53%	Square, Inc. - Class A	0.50%
Regal Beloit Corporation	0.53%	LPL Financial Holdings, Inc.	0.49%
Telephone and Data Systems, Inc.	0.51%	Tempur Sealy International, Inc.	0.48%
Murphy USA, Inc.	0.51%	Alnylam Pharmaceuticals, Inc.	0.47%
Rackspace Hosting, Inc.	0.51%	Fitbit, Inc. - Class A	0.47%
Terex Corporation	0.50%	Sprouts Farmers Market, Inc.	0.46%
Hill-Rom Holdings, Inc.	0.49%	Pandora Media, Inc.	0.46%
Jabil Circuit, Inc.	0.49%	SunPower Corporation	0.45%
Alexandria Real Estate Equities, Inc.	0.49%	Transocean Ltd.	0.45%
Hudson Pacific Properties, Inc.	0.48%	GameStop Corporation - Class A	0.45%

8

TFS SMALL CAP FUND
PORTFOLIO INFORMATION
October 31, 2016 (Unaudited)

Sector Allocation (% of Net Assets)

Top 10 Equity Positions
Security Description	% of Net Assets
Hudson Pacific Properties, Inc.	0.81%
TIER REIT, Inc.	0.73%
CBL & Associates Properties, Inc.	0.68%
Washington Prime Group, Inc.	0.66%
CorEnergy Infrastructure Trust, Inc.	0.63%
Government Properties Income Trust	0.62%
Ramco-Gershenson Properties Trust	0.61%
Washington Real Estate Investment Trust	0.61%
Mack-Cali Realty Corporation	0.60%
ICU Medical, Inc.	0.60%

9

TFS HEDGED FUTURES FUND
PORTFOLIO INFORMATION
October 31, 2016 (Unaudited)

Exposure by Type of Futures Contract
(Notional Value as a % of Net Assets)

Net Exposure by Type of Futures Contract (Net as a % of Net Assets)
Net Commodity Futures Exposure	0.2%
Net Financial Futures Exposure	(12.1%)

10

TFS MARKET NEUTRAL FUND SUMMARY SCHEDULE OF INVESTMENTS* October 31, 2016
COMMON STOCKS — 95.0%	Shares		Value
Consumer Discretionary — 15.3%
American Axle & Manufacturing Holdings, Inc. (a)		74,480	$	1,334,682
Bloomin' Brands, Inc.		78,158		1,352,133
Callaway Golf Company		137,539		1,404,273
Capella Education Company		18,748		1,370,479
Johnson Outdoors, Inc. - Class A		37,622		1,353,640
Liberty TripAdvisor Holdings, Inc. - Series A (a)		65,070		1,444,554
MarineMax, Inc. (a)		64,834		1,293,438
Murphy USA, Inc. (a)		22,812		1,569,009
Office Depot, Inc.		421,572		1,327,952
Other Consumer Discretionary (b)				34,690,898
				47,141,058
Consumer Staples — 5.2%
Darling Ingredients, Inc. (a)		102,076		1,388,234
Fresh Del Monte Produce, Inc.		22,110		1,334,339
Performance Food Group Company (a)		55,084		1,322,016
SpartanNash Company		47,329		1,325,212
Other Consumer Staples (b)				10,709,879
				16,079,680
Energy — 5.4%
Nabors Industries Ltd.		117,763		1,401,380
Other Energy (b)				15,347,430
				16,748,810
Financials — 8.3%
Other Financials (b)				25,419,268
Health Care — 18.6%
BioSpecifics Technologies Corporation (a)		29,948		1,299,444
Cantel Medical Corporation		18,545		1,320,960
Cepheid (a)		24,944		1,319,538
Genomic Health, Inc. (a)		43,404		1,293,873
Haemonetics Corporation (a)		38,896		1,299,515
Halyard Health, Inc. (a)		40,286		1,303,252
Hill-Rom Holdings, Inc.		27,453		1,521,171
INC Research Holdings, Inc. - Class A (a)		31,633		1,445,628
Kindred Healthcare, Inc.		134,465		1,324,480
Orthofix International N.V. (a)		36,146		1,324,751
Phibro Animal Health Corporation - Class A		54,659		1,418,401
Other Health Care (b)				42,436,500
				57,307,513
Industrials — 11.9%
Encore Wire Corporation		38,495		1,314,604
Matson, Inc.		32,457		1,296,332
Regal Beloit Corporation		27,507		1,625,664

11

TFS MARKET NEUTRAL FUND SUMMARY SCHEDULE OF INVESTMENTS* (Continued)
COMMON STOCKS — 95.0% (Continued)	Shares		Value
Industrials — 11.9% (Continued)
SkyWest, Inc.		44,903	$	1,353,825
Terex Corporation		65,199		1,556,952
Viad Corporation		35,558		1,475,657
Other Industrials (b)				28,039,018
				36,662,052
Information Technology — 16.5%
Eastman Kodak Company (a)		86,572		1,289,923
Jabil Circuit, Inc.		70,557		1,505,686
Mentor Graphics Corporation		46,316		1,338,532
Rackspace Hosting, Inc. (a)		48,912		1,562,249
Rudolph Technologies, Inc. (a)		75,048		1,358,369
Super Micro Computer, Inc. (a)		58,861		1,395,005
Other Information Technology (b)				42,414,717
				50,864,481
Materials — 5.4%
Huntsman Corporation		96,845		1,641,523
Other Materials (b)				15,127,007
				16,768,530
Real Estate — 5.4%
Alexandria Real Estate Equities, Inc.		13,918		1,500,500
CBL & Associates Properties, Inc.		122,981		1,315,897
CorEnergy Infrastructure Trust, Inc.		47,714		1,292,095
Corporate Office Properties Trust		53,968		1,440,406
Forest City Realty Trust, Inc. - Class A		63,197		1,364,423
Hudson Pacific Properties, Inc.		44,143		1,484,088
Kilroy Realty Corporation		20,614		1,480,704
SL Green Realty Corporation		13,902		1,365,454
TIER REIT, Inc.		93,535		1,379,641
Other Real Estate (b)				4,113,771
				16,736,979
Telecommunication Services — 1.6%
IDT Corporation - Class B		72,997		1,305,916
Telephone and Data Systems, Inc.		61,438		1,587,558
Other Telecommunication Services (b)				1,951,335
				4,844,809
Utilities — 1.4%
Talen Energy Corporation (a)		99,892		1,391,496
Other Utilities (b)				2,930,309
				4,321,805
Total Common Stocks (Cost $289,972,798)			$	292,894,985

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TFS MARKET NEUTRAL FUND SUMMARY SCHEDULE OF INVESTMENTS* (Continued)
INVESTMENT COMPANIES — 3.6%	Shares	Value
Other Investment Companies (Cost $11,176,369)(b)		$	11,134,446

WARRANTS — 0.0%	Shares		Value
Imperial Holdings, Inc. (d) (Cost $0)		1,663	$	0

MONEY MARKET FUNDS — 1.5%	Shares		Value
Federated Government Obligations Fund - Institutional Class, 0.27% (e) (Cost $4,653,154)		4,653,154	$	4,653,154
Total Investments at Value — 100.1% (Cost $305,802,321)			$	308,682,585
Liabilities in Excess of Other Assets — (0.1%) (f)				(259,608	)
Net Assets — 100.0%			$	308,422,977

* A complete Schedule of Investments is available without charge upon request by calling toll-free 1-888-534-2001 or on the SEC’s website at http://www.sec.gov.

^(a) Non-income producing security.

^(b) Represents issuers not identified as either a top 50 holding in terms of value and issues or issuers not exceeding 1% of net assets individually or in the aggregate, respectively, or not a fair-valued security as of October 31, 2016.

^(c) Percentage rounds to less than 0.1%.

^(d) Security has been valued at fair value pursuant to procedures adopted by and under the supervision of the Board of Trustees. The total value of such securities is $0 at October 31, 2016 representing 0.0% of net assets (Note 2).

^(e) The rate shown is the 7-day effective yield as of October 31, 2016.

^(f) Includes cash held as margin deposits for open short positions.

See accompanying notes to financial statements.

13

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT October 31, 2016
COMMON STOCKS — 81.3%	Shares		Value
Consumer Discretionary — 12.5%
Auto Components — 0.4%
Ballard Power Systems, Inc.		73,593	$	144,978
China XD Plastics Company Ltd.		13		57
Clean Diesel Technologies, Inc.		595		1,660
Motorcar Parts of America, Inc.		39,827		1,045,060
Spartan Motors, Inc.		56		479
Strattec Security Corporation		109		3,869
Unique Fabricating, Inc.		16		200
				1,196,303
Automobiles — 0.6%
Harley-Davidson, Inc.		858		48,923
Kandi Technologies Group, Inc.		241,586		1,207,930
Tesla Motors, Inc.		2,100		415,233
Workhorse Group, Inc.		22,846		151,697
				1,823,783
Distributors — 0.0% (a)
Educational Development Corporation		270		2,524
Fenix Parts, Inc.		967		3,307
VOXX International Corporation		21,681		88,892
Weyco Group, Inc.		76		1,924
				96,647
Diversified Consumer Services — 0.6%
2U, Inc.		3,705		129,156
Carriage Services, Inc.		2,341		55,341
DeVry Education Group, Inc.		2,077		47,148
H&R Block, Inc.		15,371		353,072
Matthews International Corporation - Class A		449		26,895
Sotheby's		365		13,096
Universal Technical Institute, Inc.		2,672		4,062
Weight Watchers International, Inc.		124,890		1,283,869
				1,912,639
Hotels, Restaurants & Leisure — 2.0%
Amaya, Inc.		81,612		1,097,681
Caesars Entertainment Corporation		9,585		68,053
Chipotle Mexican Grill, Inc.		1,048		378,076
Chuy's Holdings, Inc.		189		5,368
Dave & Buster's Entertainment, Inc.		127		5,251
Dunkin' Brands Group, Inc.		6,840		330,782
El Pollo Loco Holdings, Inc.		334		4,075
Gaming Partners International Corporation		1,202		12,489
Intrawest Resorts Holdings, Inc.		9,233		151,514
J. Alexander's Holdings, Inc.		1,204		10,836
Jamba, Inc.		12,830		135,357

14

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Consumer Discretionary — 12.5% (Continued)
Hotels, Restaurants & Leisure — 2.0% (Continued)
Kona Grill, Inc.		727	$	7,815
Lindblad Expeditions Holdings, Inc.		11,450		93,776
Noodles & Company		8,353		39,259
Papa Murphy's Holdings, Inc.		9,298		51,697
Peak Resorts, Inc.		1,758		8,526
Popeyes Louisiana Kitchen, Inc.		28		1,495
Rave Restaurant Group, Inc.		41		114
RCI Hospitality Holdings, Inc.		323		3,750
Ruby Tuesday, Inc.		5,503		16,344
Scientific Games Corporation - Class A		1,222		15,153
SeaWorld Entertainment, Inc.		1,814		25,414
Shake Shack, Inc. - Class A		34,319		1,094,433
Sonic Corporation		46,205		1,058,557
Town Sports International Holdings, Inc.		11,626		29,065
Wynn Resorts Ltd.		4,097		387,371
Zoe's Kitchen, Inc.		48,885		1,108,223
				6,140,474
Household Durables — 1.5%
CSS Industries, Inc.		100		2,510
Ethan Allen Interiors, Inc.		171		5,250
Garmin Ltd.		8,584		415,122
GoPro, Inc. - Class A		12,570		160,645
Green Brick Partners, Inc.		70		535
iRobot Corporation		2,131		108,042
LGI Homes, Inc.		176		5,238
MDC Holdings, Inc.		722		17,119
New Home Company, Inc. (The)		5,158		51,683
Nova Lifestyle, Inc.		28,302		101,887
Skyline Corporation		1,329		15,376
SodaStream International Ltd.		110		2,847
Tempur Sealy International, Inc.		27,551		1,489,683
Turtle Beach Corporation		82,462		112,973
UCP, Inc.		427		3,886
Vuzix Corporation		134,999		985,493
WCI Communities, Inc.		10,730		248,399
William Lyon Homes - Class A		3,628		64,796
ZAGG, Inc.		145,551		946,081
				4,737,565
Internet & Direct Marketing Retail — 1.0%
Blue Nile, Inc.		149		5,205
Gaia, Inc.		4,613		34,136
Lands' End, Inc.		80,108		1,249,685
MakeMyTrip Ltd.		37,239		1,057,588

15

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Consumer Discretionary — 12.5% (Continued)
Internet & Direct Marketing Retail — 1.0% (Continued)
Netflix, Inc.		3,359	$	419,438
PetMed Express, Inc.		9,438		187,533
U.S. Auto Parts Network, Inc.		60		184
				2,953,769
Leisure Products — 0.3%
Arctic Cat, Inc.		1,666		24,973
Escalade, Inc.		10,240		124,416
JAKKS Pacific, Inc.		26,941		180,505
Marine Products Corporation		3,093		28,919
Mattel, Inc.		102		3,216
Performance Sports Group Ltd.		137,677		479,116
Polaris Industries, Inc.		321		24,592
Smith & Wesson Holding Corporation		604		15,964
				881,701
Media — 1.2%
AMC Entertainment Holdings, Inc. - Class A		61		1,918
Central European Media Enterprises Ltd. - Class A		33,135		81,181
Cinemark Holdings, Inc.		97		3,861
Clear Channel Outdoor Holdings, Inc. - Class A		51		293
E.W. Scripps Company (The) - Class A		230		3,050
Entercom Communications Corporation - Class A		2,707		35,732
Eros International plc		5,701		101,193
Global Eagle Entertainment, Inc.		4,803		38,664
Lee Enterprises, Inc.		14,607		37,248
Liberty Broadband - Series C		74		4,932
MDC Partners, Inc. - Class A		106,830		902,714
New Media Investment Group, Inc.		460		6,624
Nexstar Broadcasting Group, Inc. - Class A		1,028		50,166
Pandora Media, Inc.		125,883		1,426,254
Radio One, Inc. - Class D		22,357		55,893
Reading International, Inc.		1,935		25,523
Regal Entertainment Group - Class A		18,567		399,376
Saga Communications, Inc. - Class A		91		3,822
Scripps Networks Interactive, Inc. - Class A		5,611		361,124
Starz - Series A		111		3,492
				3,543,060
Multiline Retail — 0.5%
Bon-Ton Stores, Inc. (The)		508		701
Dillard's, Inc. - Class A		27		1,655
Fred's, Inc. - Class A		68,472		625,149
J. C. Penney Company, Inc.		37,716		323,981
Nordstrom, Inc.		6,496		337,792
Ollie's Bargain Outlet Holdings, Inc.		193		5,279

16

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Consumer Discretionary — 12.5% (Continued)
Multiline Retail — 0.5% (Continued)
Sears Holdings Corporation		16,611	$	184,548
				1,479,105
Specialty Retail — 3.5%
Abercrombie & Fitch Company - Class A		2,138		31,236
America's Car-Mart, Inc.		16,482		673,290
Ascena Retail Group, Inc.		8,959		43,810
Birks Group, Inc.		2,252		3,063
Boot Barn Holdings, Inc.		85,755		1,097,664
Buckle, Inc. (The)		26,613		554,881
Build-A-Bear Workshop, Inc.		34,996		472,446
Cabela's, Inc.		530		32,653
Chico's FAS, Inc.		984		11,483
China Auto Logistics, Inc.		1,509		4,391
Christopher & Banks Corporation		432		553
Conn's, Inc.		56,156		533,482
DavidsTea, Inc.		3,429		36,176
Dick's Sporting Goods, Inc.		37		2,059
Express, Inc.		2,630		31,613
Finish Line, Inc. (The) - Class A		216		4,253
Five Below, Inc.		290		10,898
Foot Locker, Inc.		5,151		343,932
GameStop Corporation - Class A		57,181		1,375,203
GNC Acquisition Holdings, Inc. - Class A		49,538		665,295
Guess?, Inc.		2,432		32,832
Haverty Furniture Companies, Inc.		244		4,331
hhgregg, Inc.		920		1,564
Hibbett Sports, Inc.		2,258		87,723
Lithia Motors, Inc. - Class A		2		172
Lumber Liquidators Holdings, Inc.		46,948		728,163
Monro Muffler Brake, Inc.		18,595		1,022,725
Pier 1 Imports, Inc.		5,283		22,770
Rent-A-Center, Inc.		53,872		543,568
Restoration Hardware Holdings, Inc.		38,416		1,112,912
Sears Hometown and Outlet Stores, Inc.		21,312		103,363
Select Comfort Corporation		563		10,804
Signet Jewelers Ltd.		5,237		425,559
Sonic Automotive, Inc. - Class A		289		5,173
Stein Mart, Inc.		3,224		19,408
Tailored Brands, Inc.		1,615		25,517
Tiffany & Company		5,791		425,175
Ulta Salon Cosmetics & Fragrance, Inc.		1,437		349,680
Vitamin Shoppe, Inc.		2,193		54,935
Winmark Corporation		34		3,636

17

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Consumer Discretionary — 12.5% (Continued)
Specialty Retail — 3.5% (Continued)
Zumiez, Inc.		58	$	1,291
				10,909,682
Textiles, Apparel & Luxury Goods — 0.9%
Delta Apparel, Inc.		107		1,766
Differential Brands Group, Inc.		1,187		4,986
Fossil Group, Inc.		193		5,263
G-III Apparel Group Ltd.		1,024		26,747
Iconix Brand Group, Inc.		114,375		901,275
Kingold Jewelry, Inc.		61,588		121,328
NIKE, Inc. - Class B		6,727		337,561
Sequential Brands Group, Inc.		143,212		1,031,126
Skechers U.S.A., Inc. - Class A		302		6,351
Under Armour, Inc. - Class A		12,922		401,874
				2,838,277
Consumer Staples — 3.9%
Beverages — 0.2%
Brown-Forman Corporation - Class B		7,499		346,229
Craft Brewers Alliance, Inc.		1,577		25,311
MGP Ingredients, Inc.		6,843		240,942
National Beverage Corporation		514		24,281
				636,763
Food & Staples Retailing — 1.1%
Chefs' Warehouse, Inc. (The)		19,152		218,333
Diplomat Pharmacy, Inc.		55		1,274
Natural Grocers by Vitamin Cottage, Inc.		88,416		1,050,382
Rite Aid Corporation		60,628		406,814
Sprouts Farmers Market, Inc.		64,541		1,429,583
SUPERVALU, Inc.		3,303		14,170
Whole Foods Market, Inc.		11,960		338,349
				3,458,905
Food Products — 1.7%
Alico, Inc.		121		3,164
Amira Nature Foods Ltd.		23,724		185,996
Amplify Snack Brands, Inc.		354		5,129
Arcadia Biosciences, Inc.		3,306		5,356
Blue Buffalo Pet Products, Inc.		180		4,522
Cal-Maine Foods, Inc.		32,938		1,273,054
Campbell Soup Company		43		2,337
Dean Foods Company		3,345		61,080
Flowers Foods, Inc.		27,279		423,370
Freshpet, Inc.		125,602		1,067,617
Hormel Foods Corporation		11,175		430,238
Inventure Foods, Inc.		3,018		25,532

18

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Consumer Staples — 3.9% (Continued)
Food Products — 1.7% (Continued)
John B. Sanfilippo & Son, Inc.		8	$	405
Lifeway Foods, Inc.		2,698		48,240
Limoneira Company		241		4,745
Origin Agritech Ltd.		4,703		11,993
Pilgrim's Pride Corporation		16,580		362,107
Skypeople Fruit Juice, Inc.		16,432		104,672
Sunopta, Inc.		155,302		1,032,758
Tootsie Roll Industries, Inc.		670		23,751
Tyson Foods, Inc. - Class A		2,155		152,682
				5,228,748
Household Products — 0.1%
HRG Group, Inc.		305		4,587
Orchids Paper Products Company		4,642		119,114
				123,701
Personal Products — 0.8%
22nd Century Group, Inc.		103,994		134,152
China-Biotics, Inc. (b)		535,616		0
Herbalife Ltd.		5,542		336,289
LifeVantage Corporation		81,412		667,578
Natural Health Trends Corporation		48,970		1,142,470
Synutra International, Inc.		10,471		40,837
United-Guardian, Inc.		3,272		51,043
				2,372,369
Tobacco — 0.0% (a)
Universal Corporation		1,261		68,346
Energy — 4.9%
Energy Equipment & Services — 1.8%
Aspen Aerogels, Inc.		12,655		78,081
Atwood Oceanics, Inc.		4,513		34,434
Bristow Group, Inc.		64,675		647,397
CARBO Ceramics, Inc.		1,728		10,541
Dawson Geophysical Company		384		2,515
Diamond Offshore Drilling, Inc.		1,745		28,775
Dril-Quip, Inc.		50		2,375
Frank's International N.V.		68,097		766,091
Geospace Technologies Corporation		4,130		76,116
Helmerich & Payne, Inc.		5,365		338,585
Hornbeck Offshore Services, Inc.		177,896		706,247
Ion Geophysical Corporation		18,897		111,492
National Oilwell Varco, Inc.		8,992		288,643
Noble Corporation plc		6,474		31,982
Nordic American Offshore Ltd.		24,894		82,150

19

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Energy — 4.9% (Continued)
Energy Equipment & Services — 1.8% (Continued)
Ocean Rig UDW, Inc.		120,700	$	127,942
Oil States International, Inc.		20		585
Pioneer Energy Services Corporation		3,999		14,197
RPC, Inc.		20,655		356,712
SAExploration Holdings, Inc.		14,583		119,726
SEACOR Holdings, Inc.		454		22,387
Seadrill Ltd.		86,205		183,617
Tesco Corporation		3,704		25,372
Tidewater, Inc.		82,802		143,248
Transocean Ltd.		144,107		1,384,868
				5,584,078
Oil, Gas & Consumable Fuels — 3.1%
Amyris, Inc.		92,733		95,515
Approach Resources, Inc.		273,846		780,461
Ardmore Shipping Corporation		83		485
Bonanza Creek Energy, Inc.		221,429		207,523
California Resources Corporation		95,333		978,117
Centrus Energy Corporation - Class A		375		1,466
Chesapeake Energy Corporation		54,739		301,612
Clayton Williams Energy, Inc.		323		28,201
Clean Energy Fuels Corporation		6,226		25,589
Cobalt International Energy, Inc.		131,850		124,480
Comstock Resources, Inc.		122,392		1,194,546
CONSOL Energy, Inc.		21,819		369,832
Denbury Resources, Inc.		111,908		267,460
Dorian LPG Ltd.		12,278		69,125
Earthstone Energy, Inc.		6,158		52,528
EnLink Midstream, LLC		164		2,501
EP Energy Corporation - Class A		4,403		15,675
Evolution Petroleum Corporation		426		3,280
EXCO Resources, Inc.		7,410		8,003
Frontline Ltd.		123,286		883,961
Gastar Exploration, Inc.		23,349		25,217
Golar LNG Ltd.		218		4,772
Jones Energy, Inc. - Class A		10,502		43,058
Kosmos Energy Ltd.		57,756		300,909
Lucas Energy, Inc.		50,312		63,896
Magellan Petroleum Corporation		11,349		56,404
Matador Resources Company		227		4,951
Navios Maritime Acquisition Corporation		5,017		6,372
New Concept Energy, Inc.		46,273		89,307
Nordic American Tankers Ltd.		137,380		1,122,395
Northern Oil & Gas, Inc.		489,762		1,028,500

20

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Energy — 4.9% (Continued)
Oil, Gas & Consumable Fuels — 3.1% (Continued)
Panhandle Oil & Gas, Inc. - Class A		493	$	8,874
Parsley Energy, Inc. - Class A		12,098		398,024
PBF Energy, Inc. - Class A		987		21,517
Range Resources Corporation		4,881		164,929
Renewable Energy Group, Inc.		10,280		89,950
Resolute Energy Corporation		547		14,167
Sanchez Energy Corporation		146		930
Ship Finance International Ltd.		682		8,627
Stone Energy Corporation		23,764		98,858
Synergy Resources Corporation		708		4,843
Uranium Resources, Inc.		317		403
W&T Offshore, Inc.		102,221		148,220
Westmoreland Coal Company		1,942		17,245
Whiting Petroleum Corporation		46,716		384,940
WPX Energy, Inc.		1,091		11,848
				9,529,516
Financials — 6.3%
Banks — 1.9%
American River Bankshares		68		832
Ameris Bancorp		77		2,795
Ames National Corporation		77		2,087
Associated Banc-Corp		67		1,360
Bancorp of New Jersey, Inc.		568		6,418
Bank of Marin Bancorp		30		1,523
Bay Bancorp, Inc.		451		2,413
BCB Bancorp, Inc.		1,283		15,139
Blue Hills Bancorp, Inc.		78		1,213
BOK Financial Corporation		5,994		425,694
Boston Private Financial Holdings, Inc.		2		26
Bridge Bancorp, Inc.		185		5,097
Capital Bank Financial Corporation - Class A		848		27,772
Carolina Bank Holdings, Inc.		68		1,359
Carolina Financial Corporation		52		1,186
City Holding Company		713		37,269
Civista Bancshares, Inc.		41		604
CoBiz Financial, Inc.		293		3,727
Commerce Union Bancshares, Inc.		48		973
Community Bank System, Inc.		18,197		857,261
CVB Financial Corporation		2,592		43,494
Enterprise Bancorp, Inc.		18		470
Enterprise Financial Services Corporation		43		1,423
First Bancorp (North Carolina)		5,502		108,775
First Financial Bankshares, Inc.		31,862		1,153,404

21

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Financials — 6.3% (Continued)
Banks — 1.9% (Continued)
First Horizon National Corporation		650	$	10,017
First Internet Bancorp		139		3,649
First Interstate BancSystem, Inc. - Class A		23		734
First Merchants Corporation		109		3,068
First NBC Bank Holding Company		121,271		654,863
FNB Corporation		389		5,084
Glacier Bancorp, Inc.		182		5,143
Hancock Holding Company		225		7,549
Heritage Oaks Bancorp		31		246
Hope Bancorp, Inc.		8,338		134,575
LegacyTexas Financial Group, Inc.		24		821
Mackinac Financial Corporation		297		3,433
MainSource Financial Group, Inc.		16		399
Merchants Bancshares, Inc.		63		2,709
MidSouth Bancorp, Inc.		11,727		120,202
MidWestOne Financial Group, Inc.		27		785
National Bankshares, Inc.		354		12,302
OFG Bancorp		2,351		25,038
Old National Bancorp		356		5,233
Opus Bank		51,843		1,039,452
Pacific Mercantile Bancorp		2,518		14,101
Park National Corporation		2,740		265,588
Penns Woods Bancorp, Inc.		2,173		92,353
Peoples Financial Services Corporation		2,318		92,349
People's Utah Bancorp		94		1,885
Republic First Bancorp, Inc.		2,924		11,550
S&T Bancorp, Inc.		118		3,704
Sandy Spring Bancorp, Inc.		88		2,790
South State Corporation		328		24,059
Southside Bancshares, Inc.		3,168		103,340
State Bank Financial Corporation		1,123		24,762
Summit Financial Group, Inc.		3,839		75,897
Summit State Bank		790		10,428
Sun Bancorp, Inc./NJ		191		4,393
Tompkins Financial Corporation		672		53,276
TowneBank		159		3,943
Trustmark Corporation		770		21,314
United Bankshares, Inc.		362		13,647
Valley National Bancorp		518		5,107
WesBanco, Inc.		130		4,278
West Bancorporation, Inc.		101		1,949
Westamerica Bancorporation		7,043		349,051

22

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Financials — 6.3% (Continued)
Banks — 1.9% (Continued)
Xenith Banchares, Inc.		6,886	$	16,113
				5,933,493
Capital Markets — 1.1%
American Capital Senior Floating Ltd.		149		1,661
BGC Partners, Inc. - Class A		1,854		15,926
Cowen Group, Inc. - Class A		96,614		313,995
FBR & Company		6,471		89,947
Fidus Investment Corporation		4,319		64,699
Fifth Street Senior Floating Rate Corporation		107		919
Financial Engines, Inc.		3,457		95,586
FS Investment Corporation		51,701		496,330
FXCM, Inc. - Class A		557		4,345
Gladstone Capital Corporation		2,115		16,455
Goldman Sachs Group, Inc. (The)		1,890		336,874
Greenhill & Company, Inc.		217		5,089
GSV Capital Corporation		23,181		111,037
Harvest Capital Credit Corporation		183		2,216
KCAP Financial, Inc.		4,725		19,939
Ladenburg Thalmann Financial Services, Inc.		1,266		2,583
LPL Financial Holdings, Inc.		48,638		1,505,832
Main Street Capital Corporation		64		2,148
OFS Capital Corporation		121		1,591
OHA Investment Corporation		927		2,651
PennantPark Floating Rate Capital Ltd.		209		2,711
PJT Partners, Inc. - Class A		999		27,512
Prospect Capital Corporation		4,578		36,120
Safeguard Scientifics, Inc.		265		3,127
Solar Senior Capital Ltd.		238		3,689
Stellus Capital Investment Corporation		139		1,515
TICC Capital Corporation		24		134
Virtu Financial, Inc. - Class A		1		13
Virtus Investment Partners, Inc.		16		1,717
Wins Finance Holdings, Inc.		596		17,582
WisdomTree Investments, Inc.		2,399		20,583
ZAIS Group Holdings, Inc.		2,034		3,580
				3,208,106
Consumer Finance — 0.6%
Credit Acceptance Corporation		2,268		417,539
Encore Capital Group, Inc.		9,255		183,712
Enova International, Inc.		2,691		25,296
FirstCash, Inc.		74		3,489
OneMain Holdings, Inc.		80		2,267
PRA Group, Inc.		2,243		71,552

23

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Financials — 6.3% (Continued)
Consumer Finance — 0.6% (Continued)
Regional Management Corporation		649	$	14,453
Santander Consumer USA Holdings, Inc.		26,677		325,459
World Acceptance Corporation		16,983		807,032
				1,850,799
Diversified Financial Services — 0.2%
CME Group, Inc.		3,169		317,217
Manhattan Bridge Capital, Inc.		3,672		22,215
Medallion Financial Corporation		20,055		68,989
On Deck Capital, Inc.		3,830		18,729
PICO Holdings, Inc.		152		1,839
Tiptree Financial, Inc.		700		4,060
				433,049
Insurance — 1.5%
Allied World Assurance Company Holdings, AG		293		12,593
AmTrust Financial Services, Inc.		16,184		427,096
Argo Group International Holdings Ltd.		15		834
Assurant, Inc.		42		3,382
Baldwin & Lyons, Inc. - Class B		40		984
Blue Capital Holdings Ltd.		4,014		71,048
Citizens, Inc.		81,714		635,735
CNA Financial Corporation		9,989		365,298
Conifer Holdings, Inc.		2,465		18,980
Crawford & Company - Class B		3,874		43,582
Federated National Holding Company		891		15,958
Fidelity & Guaranty Life		1,087		24,023
Hallmark Financial Services, Inc.		456		4,724
HCI Group, Inc.		39,680		1,075,725
Heritage Insurance Holdings, Inc.		800		9,432
Infinity Property & Casualty Corporation		22		1,803
MBIA, Inc.		1,556		11,981
National Western Life Group, Inc. - Class A		10		2,154
OneBeacon Insurance Group Ltd. - Class A		222		3,050
Patriot National, Inc.		117,304		743,707
Primerica, Inc.		1,591		87,028
United Insurance Holdings Corporation		864		12,528
Universal Insurance Holdings, Inc.		51,317		1,093,052
				4,664,697
Mortgage Real Estate Investment Trusts — 0.0% (a)
ZAIS Financial Corporation		1,044		13,990
Thrifts & Mortgage Finance — 1.0%
Banc of California, Inc.		85,582		1,138,241
BankFinancial Corporation		124		1,559

24

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Financials — 6.3% (Continued)
Thrifts & Mortgage Finance — 1.0% (Continued)
BBX Capital Corporation - Class A		240	$	4,886
BofI Holding, Inc.		5,340		99,484
Capitol Federal Financial, Inc.		1,606		23,560
Charter Financial Corporation		161		2,037
Clifton Bancorp, Inc.		1,769		27,048
Impac Mortgage Holdings, Inc.		3,124		49,515
Lake Sunapee Bank Group		95		1,731
LendingTree, Inc.		324		25,871
Meridian Bancorp, Inc.		206		3,286
MMA Capital Management, LLC		26		458
Nationstar Mortgage Holdings, Inc.		7,188		108,611
Northwest Bancshares, Inc.		1,641		25,829
OceanFirst Financial Corporation		710		14,683
Ocwen Financial Corporation		16,770		71,608
People's United Financial, Inc.		26,106		423,961
Stonegate Mortgage Corporation		20,469		82,285
Timberland Bancorp, Inc.		3		49
Walter Investment Management Corporation		200,369		1,001,845
Washington Federal, Inc.		34		927
Western New England Bancorp, Inc.		10,687		84,427
WSFS Financial Corporation		10		351
				3,192,252
Health Care — 17.5%
Biotechnology — 7.2%
ACADIA Pharmaceuticals, Inc.		18,001		419,603
Acorda Therapeutics, Inc.		169		2,991
Actinium Pharmaceuticals, Inc.		140,235		133,223
Adamas Pharmaceuticals, Inc.		358		4,919
Aduro Biotech, Inc.		458		4,923
Advaxis, Inc.		2,188		17,701
Aeterna Zentaris, Inc.		27,704		106,660
Alder Biopharmaceuticals, Inc.		894		21,679
Alnylam Pharmaceuticals, Inc.		40,753		1,450,807
Amicus Therapeutics, Inc.		686		4,733
Anavex Life Sciences Corporation		58,165		162,280
Anthera Pharmaceuticals, Inc.		18,544		40,797
Applied Genetic Technologies Corporation		2,032		14,529
Aquinox Pharmaceuticals, Inc.		102,372		1,071,835
Arbutus Biopharma Corporation		3,215		10,127
Argos Therapeutics, Inc.		3,997		16,787
Array BioPharma, Inc.		5,438		30,997
Arrowhead Pharmaceuticals, Inc.		33,918		196,724
Asterias Biotherapeutics, Inc. - Class A		12,343		40,732

25

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Health Care — 17.5% (Continued)
Biotechnology — 7.2% (Continued)
Athersys, Inc.		8,181	$	14,808
aTyr Pharma, Inc.		1,497		4,117
Aurinia Pharmaceuticals, Inc.		44,126		133,702
Bio Blast Pharma Ltd.		285		433
BioTime, Inc.		6,382		20,550
bluebird bio, Inc.		20,971		1,001,365
Calithera Biosciences, Inc.		6,554		18,023
Cara Therapeutics, Inc.		7,150		49,979
CareDx, Inc.		4,550		16,380
Cascadian Therapeutics, Inc.		15,900		16,377
Catabasis Pharmaceuticals, Inc.		32,435		111,901
Catalyst Pharmaceutical, Inc.		32,208		33,818
Celldex Therapeutics, Inc.		228,101		718,518
Cellectar Biosciences, Inc.		742		1,358
Cellular Biomedicine Group, Inc.		224		2,699
Chiasma, Inc.		45,802		103,055
Clovis Oncology, Inc.		35,571		1,034,405
Contrafect Corporation		1,762		4,053
Corbus Pharmaceuticals Holdings, Inc.		170,802		956,491
CorMedix, Inc.		15,031		31,264
Dynavax Technologies Corporation		109,948		1,017,019
Eagle Pharmaceuticals, Inc.		82		4,582
Eleven Biotherapeutics, Inc.		51,471		90,589
Enanta Pharmaceuticals, Inc.		210		4,939
Esperion Therapeutics, Inc.		374		3,852
Exact Sciences Corporation		198		3,085
Exelixis, Inc.		331		3,505
Fate Therapeutics, Inc.		14,580		30,618
Fortress Biotech, Inc.		5,352		12,738
Foundation Medicine, Inc.		68		1,544
Genocea Biosciences, Inc.		80,496		276,906
Geron Corporation		78,141		144,561
Global Blood Therapeutics, Inc.		259		4,520
GlycoMimetics, Inc.		75		452
Heat Biologics, Inc.		73,131		97,996
Heron Therapeutics, Inc.		45,420		674,487
Idera Pharmaceuticals, Inc.		582,500		902,875
Ignyta, Inc.		577		2,885
Immunomedics, Inc.		295,335		679,271
Infinity Pharmaceuticals, Inc.		46,191		55,891
Inotek Pharmaceuticals Corporation		2,510		17,570
Inovio Pharmaceuticals, Inc.		4,223		27,323
Insys Therapeutics, Inc.		113,704		1,229,140

26

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Health Care — 17.5% (Continued)
Biotechnology — 7.2% (Continued)
Intercept Pharmaceuticals, Inc.		2,486	$	307,618
Intrexon Corporation		16,135		421,124
Invitae Corporation		2,301		17,672
Juno Therapeutics, Inc.		235		5,708
Keryx Biopharmaceuticals, Inc.		5,876		26,501
Kindred Biosciences, Inc.		354		1,912
Kura Oncology, Inc.		911		3,690
Lexicon Pharmaceuticals, Inc.		3,216		47,693
Ligand Pharmaceuticals, Inc. - Class B		55		5,265
Lion Biotechnologies, Inc.		2,843		17,769
MacroGenics, Inc.		80		1,895
MediciNova, Inc.		923		6,267
Merrimack Pharmaceuticals, Inc.		210,802		1,100,386
MiMedx Group, Inc.		8,051		71,734
Mirati Therapeutics, Inc.		12,637		63,817
Myriad Genetics, Inc.		82		1,616
NantKwest, Inc.		2,811		16,838
Neurocrine Biosciences, Inc.		9,249		404,829
Novavax, Inc.		714,158		1,085,520
Nymox Pharmaceutical Corporation		11,626		36,971
Ohr Pharmaceutical, Inc.		33,305		104,911
Omeros Corporation		135,462		1,110,788
Opexa Therapeutics, Inc.		258		219
OpGen, Inc.		56,197		58,445
Ophthotech Corporation		6,022		215,708
OPKO Health, Inc.		45,393		427,602
Organovo Holdings, Inc.		10,982		27,345
PDL BioPharma, Inc.		745		2,399
Pieris Pharmaceuticals, Inc.		37,615		57,175
Portola Pharmaceuticals, Inc.		284		5,163
Proteon Therapeutics, Inc.		36		358
PTC Therapeutics, Inc.		2,648		16,444
Retrophin, Inc.		269		5,071
Sage Therapeutics, Inc.		60		2,612
Sarepta Therapeutics, Inc.		642		25,192
Seres Therapeutics, Inc.		63,826		688,683
Sophiris Bio, Inc.		38,514		107,454
Sorrento Therapeutics, Inc.		112		644
Stellar Biotechnologies, Inc.		1,413		2,925
Stemcells, Inc.		3,664		2,855
Stemline Therapeutics, Inc.		228		2,599
Stonebridge Biopharma plc		1,200		5,400
Synergy Pharmaceuticals, Inc.		3,151		14,463

27

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Health Care — 17.5% (Continued)
Biotechnology — 7.2% (Continued)
Synthetic Biologics, Inc.		86,322	$	120,851
T2 Biosystems, Inc.		43,615		275,647
TG Therapeutics, Inc.		50,721		271,357
Tracon Pharmaceuticals, Inc.		201		1,126
Trovagene, Inc.		2,399		8,277
Vascular Biogenics Ltd.		16,086		79,626
vTv Therapeutics, Inc. - Class A		497		2,679
XBiotech, Inc.		10,444		138,383
Zafgen, Inc.		37,717		113,528
ZIOPHARM Oncology, Inc.		228,446		1,297,573
				22,150,018
Health Care Equipment & Supplies — 3.6%
Accuray, Inc.		68		333
Alere, Inc.		67		2,994
Align Technology, Inc.		1,247		107,142
Analogic Corporation		176		14,406
Antares Pharma, Inc.		2,334		4,108
AtriCure, Inc.		33,433		609,818
Avinger, Inc.		38,227		133,794
AxoGen, Inc.		59,752		528,805
Baxter International, Inc.		7		333
Biolase, Inc.		1,279		1,829
Bovie Medical Corporation		4,019		22,145
Cerus Corporation		2,033		9,799
Cesca Therapeutics, Inc.		31,929		96,106
Check Cap Ltd.		12,846		28,518
ConforMIS, Inc.		5,181		39,531
Corindus Vascular Robotics, Inc.		63,484		48,895
CytoSorbents Corporation		8,004		47,224
Derma Sciences, Inc.		530		2,358
DexCom, Inc.		5,298		414,515
Digirad Corporation		5,486		24,138
Ekso Bionics Holdings, Inc.		34,641		156,231
EndoChoice Holdings, Inc.		93,604		744,152
Endologix, Inc.		22,824		238,739
Entellus Medical, Inc.		96		1,963
GenMark Diagnostics, Inc.		34		363
IDEXX Laboratories, Inc.		1,334		142,925
Innocoll Holdings plc		19,484		94,692
InVivo Therapeutics Holdings Corporation		16,619		72,293
Invuity, Inc.		7,325		74,349
iRadimed Corporation		61,796		583,972
IRIDEX Corporation		101		1,369

28

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Health Care — 17.5% (Continued)
Health Care Equipment & Supplies — 3.6% (Continued)
K2M Group Holdings, Inc.		1,491	$	25,451
Navidea Biopharmaceuticals, Inc.		5,000		4,283
Nevro Corporation		11,593		1,065,629
Novadaq Technologies, Inc.		96,591		1,073,126
Novocure Ltd.		126,733		766,735
Obalon Therapeutics, Inc.		4,001		51,733
Oxford Immunotec Global plc		2,186		28,112
Quidel Corporation		3,022		58,325
Quotient Ltd.		8,407		45,482
Retractable Technologies, Inc.		1,650		4,356
ReWalk Robotics Ltd.		11,789		38,314
Rockwell Medical, Inc.		193,240		1,122,724
Second Sight Medical Products, Inc.		241,905		631,372
Sientra, Inc.		14,886		116,855
St. Jude Medical, Inc.		4,406		342,963
Tandem Diabetes Care, Inc.		2,691		16,281
TransEnterix, Inc.		787,842		1,181,763
Unilife Corporation		38,462		107,309
Vascular Solutions, Inc.		23		1,049
ViewRay, Inc.		35,674		95,606
Volitionrx Ltd.		2,210		9,790
ZELTIQ Aesthetics, Inc.		357		11,817
				11,046,914
Health Care Providers & Services — 2.9%
AAC Holdings, Inc.		61,958		1,015,492
Acadia Healthcare Company, Inc.		10,985		395,021
Aceto Corporation		1,264		23,169
Adeptus Health, Inc. - Class A		19,488		586,979
Air Methods Corporation		43,402		1,147,983
AmSurg Corporation		1,600		95,600
Anthem, Inc.		20		2,437
BioScrip, Inc.		1,688		4,541
Community Health Systems, Inc.		5,867		30,978
Cross Country Healthcare, Inc.		120		1,340
Express Scripts Holding Company		37		2,494
Five Star Quality Care, Inc.		9,514		26,639
InfuSystems Holdings, Inc.		234		597
Landauer, Inc.		81		3,523
LifePoint Health, Inc.		6,973		417,334
Nobilis Health Corporation		296,111		991,972
Patterson Companies, Inc.		6,838		292,051
Psychemedics Corporation		57		1,338
Sharps Compliance Corporation		24,955		92,583

29

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Health Care — 17.5% (Continued)
Health Care Providers & Services — 2.9% (Continued)
Surgery Partners, Inc.		188	$	3,027
Team Health Holdings, Inc.		27,056		1,159,350
Teladoc, Inc.		77,792		1,264,120
Tenet Healthcare Corporation		44		867
Triple-S Management Corporation - Class B		68		1,406
Trupanion, Inc.		76,665		1,241,206
Veracyte, Inc.		500		3,630
				8,805,677
Health Care Technology — 0.4%
Castlight Health, Inc. - Class B		41,606		180,986
Computer Programs & Systems, Inc.		35,196		918,616
Connecture, Inc.		1,929		3,588
Evolent Health, Inc. - Class A		49		1,031
Inovalon Holdings, Inc. - Class A		12,362		168,123
Nanthealth, Inc.		8,216		107,876
Quality Systems, Inc.		165		2,127
				1,382,347
Life Sciences Tools & Services — 1.4%
Accelerate Diagnostics, Inc.		51,892		1,102,705
Albany Molecular Research, Inc.		60,857		948,761
Chromadex Corporation		8,032		22,168
Combimatrix Corporation		251		565
Fluidigm Corporation		145,919		675,605
Illumina, Inc.		3,076		418,767
NeoGenomics, Inc.		73		588
Pacific Biosciences of California, Inc.		127,660		1,085,110
pSivida Corporation		31,516		65,553
				4,319,822
Pharmaceuticals — 2.0%
AcelRx Pharmaceuticals, Inc.		14,076		39,413
Achaogen, Inc.		12,165		55,837
Aclaris Therapeutics, Inc.		169		3,591
Adamis Pharmaceuticals Corporation		23,927		61,014
Aerie Pharmaceuticals, Inc.		544		18,088
Akorn, Inc.		363		8,694
Alcobra Ltd.		55,556		106,668
Aralez Pharmaceuticals, Inc.		17,146		69,784
Auris Medical Holding A.G.		2,182		2,247
BioDelivery Sciences International, Inc.		22,575		51,923
Bio-Path Holdings, Inc.		2,014		2,014
Biostar Pharmaceuticals, Inc.		29,577		98,196
Cempra, Inc.		1,396		25,302
Collegium Pharmaceutical, Inc.		2,192		32,814

30

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Health Care — 17.5% (Continued)
Pharmaceuticals — 2.0% (Continued)
Concordia International Corporation		298,211	$	1,016,900
ContraVir Pharmaceuticals, Inc.		71,430		144,289
Corcept Therapeutics, Inc.		696		4,830
Depomed, Inc.		222		4,964
Dipexium Pharmaceuticals, Inc.		27		45
DURECT Corporation		51,630		57,826
Egalet Corporation		179,733		1,008,302
Evoke Pharma, Inc.		1,361		2,164
Eyegate Pharmaceuticals, Inc.		59		87
Flex Pharma, Inc.		23,810		115,717
Innoviva, Inc.		7,480		77,044
Intellipharmaceutics International, Inc.		36,207		100,293
Intra-Cellular Therapies, Inc.		58,425		724,470
Jaguar Animal Health, Inc.		3,193		3,001
KemPharm, Inc.		654		2,420
Lannett Company, Inc.		727		15,921
Lipocine, Inc.		35,294		113,294
Neos Therapeutics, Inc.		5,173		30,521
Ocular Therapeutix, Inc.		170,300		963,898
Paratek Pharmaceuticals, Inc.		970		10,379
Pernix Therapeutics Holdings, Inc.		28,000		99,400
Reata Pharmaceuticals, Inc. - Class A		4,382		99,208
Revance Therapeutics, Inc.		49,203		656,860
SCYNEXIS, Inc.		34,483		110,690
Supernus Pharmaceuticals, Inc.		244		4,831
Teligent, Inc.		9,635		62,724
TherapeuticsMD, Inc.		8,886		51,006
Titan Pharmaceuticals, Inc.		12,039		54,777
VIVUS, Inc.		3,909		4,104
Wave Life Science Ltd.		1,054		33,570
Zogenix, Inc.		4,326		35,257
Zynerba Pharmaceuticals, Inc.		10,198		117,481
				6,301,858
Industrials — 10.4%
Aerospace & Defense — 1.4%
Aerojet Rocketdyne Holdings, Inc.		48,449		852,702
Astrotech Corporation		596		1,097
B/E Aerospace, Inc.		7,120		423,782
CPI Aerostructures, Inc.		3,688		24,894
DigitalGlobe, Inc.		994		24,949
KEYW Holding Corporation (The)		66,836		701,110
KLX, Inc.		152		5,232
Kratos Defense & Security Solutions, Inc.		133,885		752,434

31

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Industrials — 10.4% (Continued)
Aerospace & Defense — 1.4% (Continued)
National Presto Industries, Inc.		1,984	$	173,104
TASER International, Inc.		48,768		1,091,428
TransDigm Group, Inc.		1,246		339,485
Vectrus, Inc.		2,490		41,757
				4,431,974
Air Freight & Logistics — 0.0% (a)
Echo Global Logistics, Inc.		238		5,046
Forward Air Corporation		73		3,016
Park-Ohio Holdings Corporation		47		1,502
				9,564
Airlines — 0.6%
Copa Holdings S.A. - Class A		4,564		420,938
Spirit Airlines, Inc.		5,219		250,146
Virgin America, Inc.		19,394		1,054,064
				1,725,148
Building Products — 0.1%
Advanced Drainage Systems, Inc.		1,853		35,392
Apogee Enterprises, Inc.		999		40,709
Armstrong Flooring, Inc.		162		2,623
Armstrong World Industries, Inc.		8,270		310,125
Griffon Corporation		3,884		64,863
Insteel Industries, Inc.		375		10,087
MFRI, Inc.		831		6,648
PGT, Inc.		72		706
Trex Company, Inc.		28		1,507
				472,660
Commercial Services & Supplies — 1.4%
Acme United Corporation		3		65
Aqua Metals, Inc.		99,843		893,595
ARC Document Solutions, Inc.		161		552
Avery Dennison Corporation		43		3,001
CompX International, Inc.		258		2,877
Covanta Holding Corporation		24,438		366,570
Deluxe Corporation		84		5,141
EnerNOC, Inc.		934		4,857
Healthcare Services Group, Inc.		3,404		125,846
Hudson Technologies, Inc.		166,649		1,016,559
Interface, Inc.		35		555
Mobile Mini, Inc.		25,582		648,504
R.R. Donnelley & Sons Company		42		751
Ritchie Bros. Auctioneers, Inc.		30,662		1,060,599
Team, Inc.		996		30,627
Tetra Tech, Inc.		9		346

32

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Industrials — 10.4% (Continued)
Commercial Services & Supplies — 1.4% (Continued)
Virco Manufacturing Corporation		3,634	$	15,444
				4,175,889
Construction & Engineering — 0.4%
Ameresco, Inc. - Class A		11,387		54,658
Comfort Systems USA, Inc.		94		2,712
Dycom Industries, Inc.		19		1,462
Goldfield Corporation (The)		134		368
HC2 Holdings, Inc.		179		712
IES Holdings, Inc.		36,149		540,428
Layne Christensen Company		69,067		591,904
Northwest Pipe Company		5		66
Orion Marine Group, Inc.		75		606
Primoris Services Corporation		370		7,411
				1,200,327
Electrical Equipment — 1.8%
Acuity Brands, Inc.		1,420		317,469
American Superconductor Corporation		17,751		113,784
China BAK Battery, Inc.		1,689		2,956
Energous Corporation		11,913		162,374
Energy Focus, Inc.		9,051		37,019
Enphase Energy, Inc.		98,891		98,891
Ensync, Inc.		25,379		17,765
FuelCell Energy, Inc.		294,287		985,862
Generac Holdings, Inc.		2,338		89,054
Highpower International, Inc.		388		1,125
Ideal Power, Inc.		7,579		39,411
LSI Industries, Inc.		330		2,838
Ocean Power Technologies, Inc.		34,091		79,091
Plug Power, Inc.		795,209		1,216,670
Real Goods Solar, Inc.		58,659		75,084
SolarCity Corporation		55,829		1,094,248
Sunrun, Inc.		203,996		1,062,819
Ultralife Corporation		7,069		28,983
				5,425,443
Industrial Conglomerates — 0.1%
General Electric Company		10,306		299,904
Raven Industries, Inc.		244		5,234
				305,138
Machinery — 2.2%
Actuant Corporation - Class A		231		5,151
Altra Industrial Motion Corporation		3,744		110,448
American Railcar Industries, Inc.		18,197		669,286
Blue Bird Corporation		3,547		52,318

33

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Industrials — 10.4% (Continued)
Machinery — 2.2% (Continued)
Briggs & Stratton Corporation		17,682	$	329,239
CIRCOR International, Inc.		100		5,378
Cleantech Solutions International, Inc.		2,902		2,105
Eastern Company (The)		701		13,810
Energy Recovery, Inc.		625		7,631
ExOne Company (The)		1,812		21,617
Gencor Industries, Inc.		10,256		124,098
Greenbrier Companies, Inc. (The)		2,671		84,137
John Bean Technologies Corporation		6,448		514,873
Kornit Digital Ltd.		12,048		124,094
Lincoln Electric Holdings, Inc.		50		3,291
Lindsay Corporation		15,430		1,208,169
Manitowoc Foodservice, Inc.		9,105		137,577
Miller Industries, Inc.		2,294		50,353
Navistar International Corporation		2,018		45,001
Omega Flex, Inc.		425		16,163
Proto Labs, Inc.		22,985		1,027,430
Snap-on, Inc.		1,465		225,757
Sun Hydraulics Corporation		918		27,017
Supreme Industries, Inc. - Class A		89,770		1,094,296
Tennant Company		32		2,014
Valmont Industries, Inc.		2,715		347,384
Wabash National Corporation		1,041		11,711
Westinghouse Air Brake Technologies Corporation		5,406		417,938
Westport Innovations, Inc.		135,154		209,489
				6,887,775
Marine — 0.3%
Costamare, Inc.		4,534		29,471
Diana Shipping, Inc.		11,653		29,133
Eagle Bulk Shipping, Inc.		30,401		124,948
Global Ship Lease, Inc. - Class A		146		191
Navios Maritime Holdings, Inc.		24,204		25,656
Scorpio Bulkers, Inc.		183,709		716,465
Seanergy Maritime Holdings Corporation		531		1,168
Star Bulk Carriers Corporation		8,321		37,944
				964,976
Professional Services — 0.9%
Advisory Board Company (The)		447		17,791
CDI Corporation		437		2,687
Cogint, Inc.		139,918		531,688
Huron Consulting Group, Inc.		2		112
Korn/Ferry International		51,532		1,050,737
Paylocity Holding Corporation		544		23,659

34

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Industrials — 10.4% (Continued)
Professional Services — 0.9% (Continued)
Resources Connection, Inc.		68,128	$	1,011,701
TriNet Group, Inc.		645		12,107
VSE Corporation		82		2,365
				2,652,847
Road & Rail — 0.5%
Avis Budget Group, Inc.		50		1,618
Celadon Group, Inc.		4,164		27,066
Heartland Express, Inc.		57,512		1,058,221
Norfolk Southern Corporation		3,644		338,892
Providence and Worcester Railroad Company		230		5,748
Student Transportation, Inc.		20,374		117,965
Swift Transportation Company		1,313		29,385
Universal Logistics Holdings, Inc.		32		398
USA Truck, Inc.		168		1,383
				1,580,676
Trading Companies & Distributors — 0.7%
CAI International, Inc.		587		4,467
DXP Enterprises, Inc.		17,865		389,278
Fastenal Company		10,999		428,741
GATX Corporation		1,791		78,392
Houston Wire & Cable Company		510		2,728
Huttig Building Products, Inc.		641		3,096
Kaman Corporation		1,180		51,519
Neff Corporation - Class A		114		1,032
Nexeo Solutions, Inc.		134,945		1,014,786
NOW, Inc.		610		13,152
W.W. Grainger, Inc.		1,547		321,962
				2,309,153
Transportation Infrastructure — 0.0% (a)
Sino-Global Shipping America Ltd.		2,905		3,079
Information Technology — 13.7%
Communications Equipment — 1.5%
Applied Optoelectronics, Inc.		75		1,442
Arista Networks, Inc.		4,095		347,051
Blackberry Ltd.		140,496		990,497
CalAmp Corporation		81,072		1,047,450
Ciena Corporation		2,287		44,322
ClearOne, Inc.		1,930		20,940
DragonWave, Inc.		28,000		99,400
EMCORE Corporation		30,214		197,902
Extreme Networks, Inc.		376		1,583
Finisar Corporation		4,885		133,751

35

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Information Technology — 13.7% (Continued)
Communications Equipment — 1.5% (Continued)
Harmonic, Inc.		232,671	$	1,186,622
Novatel Wireless, Inc.		12,219		32,014
Numerex Corporation - Class A		11,637		82,739
Oclaro, Inc.		5		37
ORBCOMM, Inc.		576		5,144
Palo Alto Networks, Inc.		1,162		178,750
ParkerVision, Inc.		26,988		101,745
PCTEL, Inc.		231		1,173
Resonant, Inc.		21,288		91,113
ViaSat, Inc.		342		24,166
Wi-Lan, Inc.		1,476		2,111
				4,589,952
Electronic Equipment, Instruments & Components — 1.5%
Agilysys, Inc.		3,125		30,156
Anixter International, Inc.		425		27,944
Applied DNA Science, Inc.		17,370		48,636
Clearfield, Inc.		7,385		123,699
ClearSign Combustion Corporation		13,699		71,920
CUI Global, Inc.		2,320		10,997
DTS, Inc.		98		4,150
Fabrinet		9,886		375,273
Fitbit, Inc. - Class A		108,974		1,444,995
Ingram Micro, Inc. - Class A		793		29,500
InvenSense, Inc.		46,564		356,215
Knowles Corporation		77,566		1,158,836
Maxwell Technologies, Inc.		15,735		76,157
Mesa Laboratories, Inc.		927		117,024
MicroVision, Inc.		103,448		105,517
MTS Systems Corporation		304		14,455
Neonode, Inc.		98,507		131,014
Netlist, Inc.		97,966		106,783
Park Electrochemical Corporation		116		1,790
PCM, Inc.		8,353		177,084
RadiSys Corporation		14,102		58,805
Research Frontiers, Inc.		5,980		13,096
SuperCom Ltd.		256		686
Uni-Pixel, Inc.		4,574		6,221
Vishay Intertechnology, Inc.		6,330		89,253
				4,580,206
Internet Software & Services — 2.1%
Angie's List, Inc.		12,593		96,966
Apigee Corporation		57,309		994,311
Benefitfocus, Inc.		353		11,473

36

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Information Technology — 13.7% (Continued)
Internet Software & Services — 2.1% (Continued)
Care.com, Inc.		55	$	499
Chegg, Inc.		11,550		76,808
Cimpress N.V.		62		5,162
Envestnet, Inc.		637		22,518
Five9, Inc.		215		3,079
Gogo, Inc.		106,465		1,076,361
Great Elm Capital Group, Inc.		21,845		80,827
GTT Communications, Inc.		1,012		22,770
Hortonworks, Inc.		143,610		1,097,180
inContact, Inc.		369		5,133
Internet Gold-Golden Lines Ltd.		20		240
iPass, Inc.		27,104		48,245
LendingClub Corporation		198,209		977,170
Live Ventures, Inc.		1,310		2,450
LogMeIn, Inc.		21		1,995
Marchex, Inc. - Class B		1,467		3,697
MeetMe, Inc.		196,747		962,093
Net Element, Inc.		1,502		1,712
New Relic, Inc.		118		4,301
Perion Network Ltd.		2,611		2,715
Piksel, Inc. - Series A-2 (b)		346,880		0
Q2 Holdings, Inc.		183		5,142
Reis, Inc.		5,994		117,782
Rocket Fuel, Inc.		5,497		10,884
Shutterstock, Inc.		86		5,073
Stamps.com, Inc.		299		29,168
Synacor, Inc.		22,848		63,403
Tremor Video, Inc.		7,337		12,400
TrueCar, Inc.		2,939		28,361
Tucows, Inc. - Class A		171		5,104
Twilio, Inc. - Class A		2,720		92,806
Twitter, Inc.		17,614		316,171
Zillow Group, Inc. - Class A		12,989		429,027
				6,613,026
IT Services — 2.1%
Accenture plc - Class A		36		4,185
Blackhawk Network Holdings, Inc.		105		3,617
China Customer Relations Centers, Inc.		6,291		84,425
CIBER, Inc.		16,045		16,366
Cognizant Technology Solutions Corporation		8,393		430,981
Computer Sciences Corporation		6,497		353,762
FleetCor Technologies, Inc.		18		3,155
Forrester Research, Inc.		42		1,565

37

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Information Technology — 13.7% (Continued)
Internet Software & Services — 2.1% (Continued)
Mattersight Corporation		24,975	$	102,398
ModusLink Global Solutions, Inc.		114,868		156,221
NeuStar, Inc. - Class A		4,416		99,139
Paychex, Inc.		6,192		341,798
Planet Payment, Inc.		67,276		234,793
Rightside Group Ltd.		408		3,431
ServiceSource International, Inc.		135,888		645,468
Square, Inc. - Class A		137,477		1,539,742
VeriFone Systems, Inc.		68,540		1,060,999
Virtusa Corporation		51,961		984,141
Visa, Inc. - Class A		4,199		346,460
				6,412,646
Semiconductors & Semiconductor Equipment — 3.0%
Adesto Technologies Corporation		3,178		6,515
Ambarella, Inc.		363		22,277
Amtech Systems, Inc.		1		5
Camtek Ltd.		697		2,021
Canadian Solar, Inc.		43,264		624,732
Cavium, Inc.		1,577		89,022
Cirrus Logic, Inc.		307		16,572
Cree, Inc.		60,783		1,355,461
DSP Group, Inc.		230		2,507
First Solar, Inc.		647		26,197
FormFactor, Inc.		100,190		899,205
GigPeak, Inc.		423,252		1,003,107
Kopin Corporation		57,971		121,159
M/A-COM Technology Solutions Holdings, Inc.		15,038		552,797
Microchip Technology, Inc.		5,593		338,656
MKS Instruments, Inc.		10,081		508,587
Nova Measuring Instruments Ltd.		98		1,173	��
NVE Corporation		1,940		109,164
NVIDIA Corporation		5,913		420,769
Photronics, Inc.		1,013		9,826
Pixelworks, Inc.		7,488		20,966
QuickLogic Corporation		62,882		51,563
SemiLEDs Corporation		9,531		40,507
Skyworks Solutions, Inc.		4,410		339,306
SolarEdge Technologies, Inc.		83,436		1,143,073
SunPower Corporation		192,250		1,391,890
Sunworks, Inc.		5,610		17,784
Ultratech, Inc.		84		1,788
Veeco Instruments, Inc.		3,999		86,778
				9,203,407

38

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Information Technology — 13.7% (Continued)
Software — 2.4%
ACI Worldwide, Inc.		768	$	13,916
Allot Communications Ltd.		6		31
Attunity Ltd.		14,066		86,787
Blackbaud, Inc.		84		5,158
Bottomline Technologies (de), Inc.		981		22,259
BroadSoft, Inc.		307		12,756
BSQUARE Corporation		909		3,772
Covisint Corporation		1,057		2,378
Digimarc Corporation		2,373		74,987
Ebix, Inc.		17,970		1,006,320
ePlus, inc.		558		51,085
Evolving Systems, Inc.		545		2,316
Exa Corporation		727		10,178
FireEye, Inc.		53,666		623,599
Globant S.A.		346		15,051
Glu Mobile, Inc.		36,964		73,189
Guidance Software, Inc.		21,700		111,972
Imperva, Inc.		28,866		1,065,155
Mitek Systems, Inc.		87,107		587,972
MobileIron, Inc.		140,058		511,212
Model N, Inc.		653		6,726
Net 1 UEPS Technologies, Inc.		172		1,767
NetScout Systems, Inc.		980		26,901
NetSol Technologies, Inc.		316		2,038
Nxt-ID, Inc.		10,488		31,988
Park City Group, Inc.		5,461		71,812
PROS Holdings, Inc.		1,332		29,197
QAD, Inc.		30		722
Sapiens International Corporation		114		1,552
Seachange International, Inc.		17,034		44,799
ServiceNow, Inc.		5,326		468,209
Sito Mobile Ltd.		591		2,837
SS&C Technologies Holdings, Inc.		10,658		340,310
Symantec Corporation		13,883		347,492
TubeMogul, Inc.		2,087		15,235
Tyler Technologies, Inc.		1,959		314,224
VASCO Data Security International, Inc.		320		4,400
VirnetX Holding Corporation		386,647		1,179,273
Workday, Inc. - Class A		3,844		333,198
Workiva, Inc.		477		7,894
				7,510,667

39

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Information Technology — 13.7% (Continued)
Technology Hardware, Storage & Peripherals — 1.1%
3D Systems Corporation		77,790	$	1,078,947
Apple, Inc.		3,461		392,962
Concurrent Computer Corporation		27		167
CPI Card Group, Inc.		30,730		169,015
Electronics for Imaging, Inc.		145		6,167
Immersion Corporation		69,248		565,064
Intevac, Inc.		1,142		6,566
Pure Storage, Inc. - Class A		85,806		1,058,846
USA Technologies, Inc.		906		4,077
				3,281,811
Materials — 5.1%
Chemicals — 1.4%
A. Schulman, Inc.		851		24,466
Advanced Emissions Solutions, Inc.		2,184		17,734
AgroFresh Solutions, Inc.		24,925		117,148
American Vanguard Corporation		341		5,183
Balchem Corporation		7,882		598,244
BioAmber, Inc.		23,589		109,925
CF Industries Holdings, Inc.		16,641		399,551
Chemours Company (The)		191		3,138
China Green Agriculture, Inc.		1,818		2,400
E.I. du Pont de Nemours and Company		6,105		419,963
Flotek Industries, Inc.		83,568		984,431
LSB Industries, Inc.		2,352		12,442
NL Industries, Inc.		455		1,456
Olin Corporation		14		307
Platform Specialty Products Corporation		100		729
Rayonier Advanced Materials, Inc.		1,218		15,749
Senomyx, Inc.		410,066		479,777
Terravia Holdings, Inc.		483,995		1,137,388
Tronox Ltd. - Class A		614		4,973
Valhi, Inc.		1,400		2,744
				4,337,748
Construction Materials — 0.4%
Caesarstone Sdot-Yam Ltd.		141		4,984
Summit Materials, Inc. - Class A		56,479		1,058,416
U.S. Concrete, Inc.		105		5,240
				1,068,640
Containers & Packaging — 0.6%
AEP Industries, Inc.		16		1,753
AptarGroup, Inc.		4,777		341,269
Ball Corporation		5,329		410,706
Myers Industries, Inc.		273		3,290

40

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Materials — 5.1% (Continued)
Containers & Packaging — 0.6% (Continued)
Sealed Air Corporation		80	$	3,650
Silgan Holdings, Inc.		20,873		1,063,479
UFP Technologies, Inc.		4,454		118,922
				1,943,069
Metals & Mining — 2.7%
AK Steel Holding Corporation		4,084		21,237
Alamos Gold, Inc. - Class A		2,764		21,697
Alexco Resource Corporation		38,791		68,272
Allegheny Technologies, Inc.		1,432		19,533
Asanko Gold, Inc.		281,158		1,040,285
Avino Silver & Gold Mines Ltd.		64,171		125,133
B2Gold Corporation		131,697		380,604
Carpenter Technology Corporation		1,494		47,225
Century Aluminum Company		3,537		25,856
Cliffs Natural Resources, Inc.		206,916		1,142,176
Coeur Mining, Inc.		1,897		21,209
Compass Minerals International, Inc.		658		47,277
Eldorado Gold Corporation		251		793
Endeavour Silver Corporation		8,397		36,947
Exeter Resource Corporation		3,353		3,856
First Majestic Silver Corporation		140,912		1,134,342
Gold Resource Corporation		198,204		1,125,799
Gold Standard Ventures Corporation		292,988		700,241
Great Panther Silver Ltd.		57,169		77,750
Hecla Mining Company		3,562		21,336
HudBay Minerals, Inc.		657		2,792
IAMGOLD Corporation		8,335		33,423
Kaiser Aluminum Corporation		300		21,747
McEwen Mining, Inc.		55,703		181,035
Mountain Province Diamonds, Inc.		701		3,680
NN, Inc.		53,465		943,657
NOVAGOLD Resources, Inc.		3,817		19,085
Olympic Steel, Inc.		36		831
Paramount Gold Nevada Corporation		174		305
Pretium Resources, Inc.		492		4,817
Primero Mining Corporation		180,957		247,911
Royal Gold, Inc.		4,206		289,457
Sandstorm Gold Ltd.		7,003		33,755
Seabridge Gold, Inc.		5,060		55,407
Stillwater Mining Company		1,854		24,695
Tahoe Resources, Inc.		34,525		416,372
United States Steel Corporation		30		580
Worthington Industries, Inc.		236		11,092
				8,352,209

41

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Materials — 5.1% (Continued)
Paper & Forest Products — 0.0% (a)
Boise Cascade Company		27	$	520
Domtar Corporation		701		25,201
Rentech, Inc.		69		166
				25,887
Real Estate — 4.4%
Equity Real Estate Investment Trusts (REITs) — 4.4%
Acadia Realty Trust		32,946		1,109,951
Agree Realty Corporation		21,661		1,047,309
American Campus Communities, Inc.		5,617		292,702
American Farmland Company		15,813		116,700
City Office REIT, Inc.		41,840		525,510
Cousins Properties, Inc.		34,473		267,855
DCT Industrial Trust, Inc.		17,686		826,821
Education Realty Trust, Inc.		19,043		811,041
Farmland Partners, Inc.		51,177		544,523
Gladstone Commercial Corporation		249		4,445
Healthcare Realty Trust, Inc.		1,628		51,917
Independence Realty Trust, Inc.		135,982		1,132,730
Investors Real Estate Trust		38,214		231,959
Medical Properties Trust, Inc.		83,300		1,161,202
Monogram Residential Trust, Inc.		36,038		379,841
New York REIT, Inc.		127,404		1,200,146
Physicians Realty Trust		21,557		426,182
Preferred Apartment Communities, Inc. - Class A		6,466		84,187
Realty Income Corporation		19,380		1,148,071
Retail Properties of America, Inc. - Class A		93		1,448
STAG Industrial, Inc.		52,181		1,203,816
Terreno Realty Corporation		40,307		1,052,013
				13,620,369
Real Estate Management & Development — 0.0% (a)
Griffin Industrial Realty, Inc.		113		3,520
Realogy Holdings Corporation		636		14,558
				18,078
Telecommunication Services — 1.3%
Diversified Telecommunication Services — 0.8%
Cogent Communications Holdings, Inc.		136		5,018
Frontier Communications Corporation		103,406		415,692
Globalstar, Inc.		51,702		47,855
Intelsat S.A.		97,107		263,160
Iridium Communications, Inc.		14,885		121,313
magicJack VocalTec Ltd.		17,890		110,024
pdvWireless, Inc.		30,170		712,012
Straight Path Communications, Inc. - Class B		38,310		930,167

42

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
COMMON STOCKS — 81.3% (Continued)	Shares		Value
Telecommunication Services — 1.3% (Continued)
Diversified Telecommunication Services — 0.8% (Continued)
Windstream Holdings, Inc.		3,520	$	27,632
Zayo Group Holdings, Inc.		73		2,349
				2,635,222
Wireless Telecommunication Services — 0.5%
NII Holdings, Inc.		9,285		22,748
Shenandoah Telecommunications Company		40,460		1,068,144
Sprint Corporation		65,385		402,772
				1,493,664
Utilities — 1.3%
Electric Utilities — 0.3%
ALLETE, Inc.		16		980
Duke Energy Corporation		39		3,121
Fortis, Inc.		1,934		63,540
Otter Tail Corporation		31		1,114
Spark Energy, Inc. - Class A		25,754		623,247
Westar Energy, Inc.		6,102		349,767
				1,041,769
Gas Utilities — 0.0% (a)
Chesapeake Utilities Corporation		43		2,754
Gas Natural, Inc.		83		1,025
South Jersey Industries, Inc.		475		14,084
				17,863
Independent Power and Renewable Electricity Producers — 0.7%
Atlantica Yield plc		288		5,178
Dynegy, Inc.		168		1,789
TerraForm Global, Inc. - Class A		285,547		1,070,801
TerraForm Power, Inc. - Class A		2,362		29,313
Vivint Solar, Inc.		362,361		1,123,319
				2,230,400
Multi-Utilities — 0.3%
Black Hills Corporation		11,848		732,799
CenterPoint Energy, Inc.		165		3,762
				736,561
Water Utilities — 0.0% (a)
Cadiz, Inc.		15,013		111,096
Total Common Stocks (Proceeds $296,178,947)			$	250,787,392

43

TFS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (Continued)
RIGHTS — 0.0% (a)	Shares		Value
Great Elm Capital Group, Inc. (Proceeds $18,647)		21,845	$	934

WARRANTS — 0.1%	Shares		Value
Central European Media Enterprises Ltd.		113,022	$	163,882
Sears Holdings Corporation		36		120
Total Warrants (Proceeds $538,828)			$	164,002
Total Securities Sold Short — 81.4% (Proceeds $296,736,422)			$	250,952,328

^(a) Percentage rounds to less than 0.1%.

^(b) Security has been valued at fair value pursuant to procedures adopted by and under the supervision of the Board of Trustees. The total value of such securities is $0 at October 31, 2016 representing 0.0% of net assets (Note 2).

See accompanying notes to financial statements.

44

TFS SMALL CAP FUND SUMMARY SCHEDULE OF INVESTMENTS* October 31, 2016
COMMON STOCKS — 99.5%	Shares		Value
Consumer Discretionary — 14.3%
American Axle & Manufacturing Holdings, Inc. (a)		14,797	$	265,162
Callaway Golf Company		36,132		368,908
Capella Education Company		4,880		356,728
Genesco, Inc. (a)		4,850		260,930
Johnson Outdoors, Inc. - Class A		7,799		280,608
Liberty TripAdvisor Holdings, Inc. - Series A (a)		16,271		361,216
Office Depot, Inc.		105,012		330,788
Other Consumer Discretionary (b)				7,317,592
				9,541,932
Consumer Staples — 3.7%
Darling Ingredients, Inc. (a)		20,238		275,237
Other Consumer Staples (b)				2,218,949
				2,494,186
Energy — 4.2%
Other Energy (b)				2,790,051
Financials — 14.9%
CenterState Banks, Inc.		16,011		299,086
CYS Investments, Inc.		29,460		253,945
National General Holdings Corporation		12,718		261,355
Navigators Group, Inc. (The)		3,489		325,175
NMI Holdings, Inc. - Class A (a)		36,754		281,168
OM Asset Management plc		21,996		309,483
Safety Insurance Group, Inc.		3,768		255,094
Selective Insurance Group, Inc.		6,952		256,876
United Community Banks, Inc.		12,840		276,959
Other Financials (b)				7,411,354
				9,930,495
Health Care — 17.6%
Cantel Medical Corporation		3,737		266,186
Haemonetics Corporation (a)		9,844		328,888
Heska Corporation (a)		5,231		258,411
ICU Medical, Inc. (a)		2,866		399,234
INC Research Holdings, Inc. - Class A (a)		8,090		369,713
Masimo Corporation (a)		6,735		370,425
Orthofix International N.V. (a)		7,960		291,734
Phibro Animal Health Corporation - Class A		12,458		323,285
Other Health Care (b)				9,139,767
				11,747,643

45

TFS SMALL CAP FUND SUMMARY SCHEDULE OF INVESTMENTS* (Continued)
COMMON STOCKS — 99.5% (Continued)	Shares		Value
Industrials — 13.0%
Essendant, Inc.		19,383	$	297,529
On Assignment, Inc. (a)		7,459		256,664
SkyWest, Inc.		9,014		271,772
Viad Corporation		8,200		340,300
Other Industrials (b)				7,549,775
				8,716,040
Information Technology — 15.4%
Amkor Technology, Inc. (a)		37,888		351,222
Benchmark Electronics, Inc. (a)		10,227		257,209
CommVault Systems, Inc. (a)		4,989		266,911
Entegris, Inc. (a)		16,819		267,422
Rudolph Technologies, Inc. (a)		18,108		327,755
Other Information Technology (b)				8,831,364
				10,301,883
Materials — 4.3%
Stepan Company		4,858		345,064
Other Materials (b)				2,510,420
				2,855,484
Real Estate — 9.0%
CBL & Associates Properties, Inc.		42,658		456,441
CorEnergy Infrastructure Trust, Inc.		15,461		418,684
Government Properties Income Trust		21,589		413,213
Hudson Pacific Properties, Inc.		16,152		543,030
Mack-Cali Realty Corporation		15,575		399,966
National Health Investors, Inc.		4,257		322,510
Pennsylvania Real Estate Investment Trust		19,271		375,977
Ramco-Gershenson Properties Trust		23,547		408,305
Sabra Health Care REIT, Inc.		15,391		358,610
Silver Bay Realty Trust Corporation		15,868		265,789
TIER REIT, Inc.		33,079		487,915
Washington Prime Group, Inc.		42,003		440,612
Washington Real Estate Investment Trust		13,802		406,055
Other Real Estate (b)				695,897
				5,993,004
Telecommunication Services — 1.0%
Other Telecommunication Services (b)				688,816

46

TFS SMALL CAP FUND SUMMARY SCHEDULE OF INVESTMENTS* (Continued)
COMMON STOCKS — 99.5% (Continued)	Shares		Value
Utilities — 2.1%
El Paso Electric Company		5,937	$	274,289
Talen Energy Corporation (a)		19,570		272,610
Other Utilities (b)				843,359
				1,390,258
Total Investments at Value — 99.5% (Cost $65,244,477)			$	66,449,792
Other Assets in Excess of Liabilities — 0.5%				362,134
Net Assets — 100.0%			$	66,811,926

* A complete Schedule of Investments is available without charge upon request by calling toll-free 1-888-534-2001 or on the SEC’s website at http://www.sec.gov.

^(a) Non-income producing security.

^(b) Represents issuers not identified as a top 50 holding in terms of market value and issues or issuers not exceeding 1% of net assets individually or in the aggregate, respectively, as of October 31, 2016.

See accompanying notes to financial statements.

47

TFS HEDGED FUTURES FUND SCHEDULE OF INVESTMENTS* October 31, 2016
U.S. TREASURY OBLIGATIONS — 19.9%	Par Value		Value
U.S. Treasury Bills (a)
0.320%, due 02/23/2017	$	677,000	$	676,295
0.370%, due 03/09/2017		677,000		676,121
0.380%, due 03/23/2017		947,000		945,617
0.410%, due 04/06/2017		947,000		945,253
Total U.S. Treasury Obligations (Cost $3,243,322)			$	3,243,286

MONEY MARKET FUNDS — 50.8%	Shares		Value
Federated U.S. Treasury Cash Reserve Fund - Institutional Shares, 0.18% (b)		285,159	$	285,159
Fidelity Institutional Money Market Government Portfolio - Class I, 0.27% (b)		2,873,072		2,873,072
Invesco Short-Term Investments Trust - Treasury Portfolio - Institutional Shares, 0.22% (b)		1,605,132		1,605,132
PIMCO Government Money Market Fund, 0.29% (b)		284,973		284,973
Premier U.S. Government Money Portfolio, 0.25% (b)		1,605,132		1,605,132
Vanguard Federal Money Market Fund, 0.30% (b)		1,605,132		1,605,132
Total Money Market Funds (Cost $8,258,600)			$	8,258,600
Total Investments at Value — 70.7% (Cost $11,501,922)			$	11,501,886
Other Assets in Excess of Liabilities — 29.3% (c)				4,764,188
Net Assets — 100.0%			$	16,266,074

^(a) Rate shown is the annualized yield at time of purchase, not a coupon rate.

^(b) The rate shown is the 7-day effective yield as of October 31, 2016.

^(c) Includes cash held as margin deposits for future contracts.

* Consolidated financial statement (Note 1).

See accompanying notes to financial statements.

48

TFS HEDGED FUTURES FUND SCHEDULE OF FUTURES CONTRACTS* October 31, 2016
FUTURES CONTRACTS	Expiration Date	Contracts		Aggregate Market Value of Contracts		Unrealized Appreciation (Depreciation)
COMMODITY FUTURES
Cocoa Future	12/14/2016		25	$	683,750	$	(26,068	)
Copper Future	12/28/2016		2		110,325		3,155
Cotton No.2 Future	12/07/2016		2		68,860		1,261
Ethanol Future	12/05/2016		16		728,480		12,605
Feeder Cattle Future	11/17/2016		6		365,550		11,049
Frozen Concentrate Orange Juice Future	01/10/2017		19		608,902		42,735
Oats Future	12/14/2016		26		286,650		2,727
Palladium Future	12/28/2016		3		185,505		(17,931	)
Platinum Future	01/27/2017		4		196,220		4,825
Red Spring Wheat Future	12/14/2016		56		1,474,900		12,101
Soybean Future	01/13/2017		1		50,588		1,259
Sugar No. 11 Future	02/28/2017		24		579,802		(39,426	)
Total Commodity Futures					5,339,532		8,292
Total Futures Contracts				$	5,339,532	$	8,292

* Consolidated financial statement (Note 1).

See accompanying notes to financial statements.

49

TFS HEDGED FUTURES FUND SCHEDULE OF FUTURES CONTRACTS SOLD SHORT* October 31, 2016
FUTURES CONTRACTS SOLD SHORT	Expiration Date	Contracts		Aggregate Market Value of Contracts		Unrealized Appreciation (Depreciation)
COMMODITY FUTURES
Coffee Future	12/19/2016		7	$	430,894	$	(33,349	)
Corn Future	12/14/2016		32		567,600		(30,086	)
Crude Oil Future	11/21/2016		9		420,660		40,546
Hard Red Winter Wheat Future	12/14/2016		31		642,863		(3,408	)
Lean Hogs Future	12/14/2016		8		153,440		(4,115	)
Live Cattle Future	12/30/2016		3		123,990		(5,813	)
Lumber Future	01/13/2017		15		507,870		48,115
Natural Gas Future	11/28/2016		18		542,880		79,602
Rough Rice Future	01/13/2017		27		548,100		10,555
Wheat Future	12/14/2016		66		1,373,625		(39,993	)
Total Commodity Futures					5,311,922		62,054
FINANCIAL FUTURES
EURO STOXX 50 Future	12/16/2016		42		1,405,686		(29,212	)
EURO VSTOXX Mini Future	11/16/2016		93		227,140		17,076
EURO VSTOXX Mini Future	12/21/2016		138		338,562		9,254
Total Financial Futures					1,971,388		(2,882	)
Total Futures Contracts Sold Short				$	7,283,310	$	59,172

*	Consolidated financial statement (Note 1).
See accompanying notes to financial statements.

50

TFS CAPITAL INVESTMENT TRUST STATEMENTS OF ASSETS AND LIABILITIES October 31, 2016
	TFS Market Neutral Fund			TFS Small Cap Fund		TFS Hedged Futures Fund*
ASSETS
Investments in securities:
At acquisition cost	$	305,802,321		$	65,244,477	$	11,501,922
At value (Note 2)	$	308,682,585		$	66,449,792	$	11,501,886
Cash		—			625,546		140,000
Cash denominated in foreign currency		—			—		40,867
Deposits with brokers for short positions (Note 2)		266,498,731			—		—
Margin deposits for futures contracts (Note 2)		—			—		4,539,003
Variation margin receivable (Notes 2 and 5)		—			—		296,953
Dividends and interest receivable		104,998			20,843		2,169
Receivable for investment securities sold		37,567,894			4,867,055		—
Receivable for capital shares sold		27,514			1,183		4,480
Other assets		35,614			11,791		9,894
TOTAL ASSETS		612,917,336			71,976,210		16,535,252
LIABILITIES
Securities sold short, at value (Note 2) (proceeds $296,736,422)		250,952,328			—		—
Variation margin payable (Notes 2 and 5)		—			—		229,481
Dividends payable on securities sold short (Note 2)		126,698			—		—
Payable for investment securities purchased		34,783,869			5,059,242		—
Payable for capital shares redeemed		17,215,478			17,832		18,800
Payable to Adviser (Note 4)		457,756			61,906		4,261
Payable to administrator (Note 4)		43,996			10,559		9,146
Accrued brokerage expense on securities sold short (Note 2)		871,603			—		—
Other accrued expenses and liabilities		42,631			14,745		7,490
TOTAL LIABILITIES		304,494,359			5,164,284		269,178
CONTINGENCIES AND COMMITMENTS (Note 7)		—			—		—
NET ASSETS	$	308,422,977		$	66,811,926	$	16,266,074
Net assets consist of:
Paid-in capital	$	319,370,734		$	62,925,053	$	17,293,840
Accumulated net investment loss		(25,157,304	)		—		(639,244	)
Accumulated net realized gains (losses) from security transactions and other financial instruments		(34,454,810	)		2,681,558		(455,955	)
Net unrealized appreciation (depreciation) on:
Investments		2,880,264			1,205,315		(36	)
Short positions		45,784,094			—		—
Futures contracts		—			—		67,464
Translation of assets and liabilities in foreign currencies		(1	)		—		5
Net assets	$	308,422,977		$	66,811,926	$	16,266,074
Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value)		22,343,737			5,242,907		1,537,204
Net asset value, redemption price and offering price per share (Note 2)	$	13.80		$	12.74	$	10.58

* Consolidated financial statement (Note 1).

See accompanying notes to financial statements.

51

TFS CAPITAL INVESTMENT TRUST STATEMENTS OF OPERATIONS For the Year Ended October 31, 2016
	TFS Market Neutral Fund			TFS Small Cap Fund			TFS Hedged Futures Fund*
INVESTMENT INCOME
Dividends	$	6,321,423		$	989,363		$	40,654
Foreign tax withholding		(7,140	)		(191	)		—
Interest		—			—			11,838
TOTAL INVESTMENT INCOME		6,314,283			989,172			52,492
EXPENSES
Brokerage expense on securities sold short (Note 2)		26,935,767			—			—
Investment advisory fees (Note 4)		9,000,686			926,548			275,842
Dividend expense on securities sold short (Note 2)		4,018,060			—			—
Accounting services fees (Note 4)		454,651			87,553			38,744
Administration fees (Note 4)		387,569			62,794			60,000
Custodian fees		300,350			111,621			27,215
Transfer agent fees (Note 4)		186,604			39,823			18,000
Professional fees		122,338			40,005			39,118
Registration and filing fees		63,401			31,964			30,408
Borrowing costs (Note 2)		112,165			3,166			—
Pricing fees		84,932			19,983			4,042
Trustees’ fees and expenses (Note 4)		36,059			36,059			36,059
Compliance service fees and expenses (Note 4)		36,304			14,245			11,191
Postage and supplies		37,585			10,328			4,408
Insurance expense		42,236			2,949			2,581
Printing of shareholder reports		20,353			5,345			2,753
Other expenses		26,368			18,971			12,081
TOTAL EXPENSES		41,865,428			1,411,354			562,442
Investment advisory fee reductions (Note 4)		(438,414	)		(199,648	)		(231,846	)
NET EXPENSES		41,427,014			1,211,706			330,596
NET INVESTMENT LOSS		(35,112,731	)		(222,534	)		(278,104	)
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gains (losses) from:
Investments		3,273,816			5,587,939			2,894
Securities sold short		19,476,795			—			—
Options contracts		742,213			—			—
Futures contracts (Note 5)		3,498,756			—			283,342
Foreign currency transactions (Note 5)		571			—			(3,118	)
Net change in unrealized appreciation (depreciation) on:
Investments		(16,280,807	)		(3,989,830	)		749
Securities sold short		(41,200,643	)		—			—
Futures contracts (Note 5)		1,021,348			—			(26,230	)
Foreign currency translation (Note 5)		(8	)		—			1,015
NET REALIZED AND UNREALIZED GAINS (LOSSES)		(29,467,959	)		1,598,109			258,652
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS	$	(64,580,690	)	$	1,375,575		$	(19,452	)

* Consolidated financial statement (Note 1).

See accompanying notes to financial statements.

52

TFS MARKET NEUTRAL FUND STATEMENTS OF CHANGES IN NET ASSETS
	Year Ended October 31, 2016			Year Ended October 31, 2015
FROM OPERATIONS
Net investment loss	$	(35,112,731	)	$	(48,587,484	)
Net realized gains from:
Investments		3,273,816			43,896,660
Securities sold short		19,476,795			86,579,676
Option contracts		742,213			—
Futures contracts		3,498,756			11,548,157
Foreign currency transactions		571			77
Net change in unrealized appreciation (depreciation) on:
Investments		(16,280,807	)		(54,251,526	)
Securities sold short		(41,200,643	)		(4,731,243	)
Futures contracts		1,021,348			1,256,252
Foreign currency translation		(8	)		7
Net increase (decrease) in net assets from operations		(64,580,690	)		35,710,576
FROM DISTRIBUTIONS (Note 2)
Distributions from net realized gains from security transactions		(28,447,169	)		(28,360,770	)
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold		134,742,713			284,326,684
Net asset value of shares issued in reinvestment of distributions to shareholders		19,356,148			19,177,908
Payments for shares redeemed		(537,713,899	)		(294,970,033	)
Net increase (decrease) in net assets from capital share transactions		(383,615,038	)		8,534,559
TOTAL INCREASE (DECREASE) IN NET ASSETS		(476,642,897	)		15,884,365
NET ASSETS
Beginning of year		785,065,874			769,181,509
End of year	$	308,422,977		$	785,065,874
ACCUMULATED NET INVESTMENT INCOME (LOSS)	$	(25,157,304	)	$	1,730,051
CAPITAL SHARE ACTIVITY
Shares sold		9,498,421			18,358,000
Shares issued in reinvestment of distributions to shareholders		1,368,893			1,263,367
Shares redeemed		(38,832,823	)		(19,086,260	)
Net increase (decrease) in shares outstanding		(27,965,509	)		535,107
Shares outstanding, beginning of year		50,309,246			49,774,139
Shares outstanding, end of year		22,343,737			50,309,246

See accompanying notes to financial statements.

53

TFS SMALL CAP FUND STATEMENTS OF CHANGES IN NET ASSETS
	Year Ended October 31, 2016			Year Ended October 31, 2015
FROM OPERATIONS
Net investment loss	$	(222,534	)	$	(244,703	)
Net realized gains from investments		5,587,939			3,696,746
Net change in unrealized appreciation (depreciation) on investments		(3,989,830	)		(3,114,635	)
Net increase in net assets from operations		1,375,575			337,408
FROM DISTRIBUTIONS (Note 2)
Distributions from net realized gains from security transactions		(4,457,263	)		(6,562,462	)
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold		20,317,282			31,304,772
Net asset value of shares issued in reinvestment of distributions to shareholders		4,086,135			6,162,314
Payments for shares redeemed		(52,648,482	)		(30,879,354	)
Net increase (decrease) in net assets from capital share transactions		(28,245,065	)		6,587,732
TOTAL INCREASE (DECREASE) IN NET ASSETS		(31,326,753	)		362,678
NET ASSETS
Beginning of year		98,138,679			97,776,001
End of year	$	66,811,926		$	98,138,679
ACCUMULATED NET INVESTMENT LOSS	$	—		$	(4,944	)
CAPITAL SHARE ACTIVITY
Shares sold		1,728,901			2,273,301
Shares issued in reinvestment of distributions to shareholders		335,756			459,531
Shares redeemed		(4,318,425	)		(2,253,891	)
Net increase (decrease) in shares outstanding		(2,253,768	)		478,941
Shares outstanding, beginning of year		7,496,675			7,017,734
Shares outstanding, end of year		5,242,907			7,496,675

See accompanying notes to financial statements.

54

TFS HEDGED FUTURES FUND STATEMENTS OF CHANGES IN NET ASSETS*
	Year Ended October 31, 2016			Year Ended October 31, 2015
FROM OPERATIONS
Net investment loss	$	(278,104	)	$	(374,060	)
Net realized gains (losses) from:
Investments		2,894			1,613
Futures contracts		283,342			946,092
Foreign currency transactions		(3,118	)		(55,994	)
Net change in unrealized appreciation (depreciation) on:
Investments		749			(264	)
Futures contracts		(26,230	)		248,862
Foreign currency translation		1,015			(55,498	)
Net increase (decrease) in net assets from operations		(19,452	)		710,751
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold		11,296,813			5,548,994
Payments for shares redeemed		(11,641,932	)		(27,840,874	)
Net decrease in net assets from capital share transactions		(345,119	)		(22,291,880	)
TOTAL DECREASE IN NET ASSETS		(364,571	)		(21,581,129	)
NET ASSETS
Beginning of year		16,630,645			38,211,774
End of year	$	16,266,074		$	16,630,645
ACCUMULATED NET INVESTMENT LOSS	$	(639,244	)	$	(410,464	)
CAPITAL SHARE ACTIVITY
Shares sold		1,067,335			537,173
Shares redeemed		(1,106,832	)		(2,828,785	)
Net decrease in shares outstanding		(39,497	)		(2,291,612	)
Shares outstanding, beginning of year		1,576,701			3,868,313
Shares outstanding, end of year		1,537,204			1,576,701

* Consolidated financial statements (Note 1).

See accompanying notes to financial statements.

55

TFS MARKET NEUTRAL FUND FINANCIAL HIGHLIGHTS
Per share data for a share outstanding throughout each year:	Year Ended October 31, 2016			Year Ended October 31, 2015			Year Ended October 31, 2014			Year Ended October 31, 2013			Year Ended October 31, 2012
Net asset value at beginning of year	$	15.60		$	15.45		$	16.19		$	15.23		$	14.41
Income (loss) from investment operations:
Net investment loss		(1.53	)		(0.95	)		(1.57	)		(1.25	)		(0.99	)
Net realized and unrealized gains on investments		0.33			1.70			1.49			2.21			2.05
Total from investment operations		(1.20	)		0.75			(0.08	)		0.96			1.06
Less distributions:
Distributions from net realized gains from security transactions		(0.60	)		(0.60	)		(0.66	)		—			(0.24	)
Proceeds from redemption fees collected (Note 2)		—			—			0.00	(a)		0.00	(a)		0.00	(a)
Net asset value at end of year	$	13.80		$	15.60		$	15.45		$	16.19		$	15.23
Total return (b)		(7.79	%)		4.99	%		(0.50	%)		6.30	%		7.48	%
Ratios and supplemental data:
Net assets at end of year (000’s)	$	308,423		$	785,066		$	769,182		$	1,582,797		$	1,789,303
Ratio of total expenses to average net assets		7.70	%		7.71	%		8.44	%		8.67	%		8.63	%
Ratio of net expenses to average net assets		7.62	%(c)		7.65	%(c)		8.43	%(c)		8.67	%		8.63	%
Ratio of net expenses to average net assets excluding dividend expense (d)		6.88	%(c)		6.92	%(c)		7.53	%(c)		7.59	%		7.75	%
Ratio of net expenses to average net assets excluding dividend expense, borrowing costs and brokerage expense on securities sold short (d)		1.90	%(c)		1.90	%(c)		2.02	%(c)(e)		2.41	%		2.42	%
Ratio of net investment loss to average net assets		(6.46	%)(c)		(6.55	%)(c)		(7.17	%)(c)		(6.67	%)		(6.73	%)
Portfolio turnover rate		778	%		795	%		669	%		552	%		607	%

^(a) Amount rounds to less than $0.01 per share.

^(b) Total return is a measure of the change in value of an investment in the Fund over the period covered, which assumes any dividends or capital gains distributions are reinvested in shares of the Fund. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares.

^(c) Ratio was determined after advisory fee reductions (Note 4).

^(d) Dividend expense, borrowing costs and brokerage expense on securities sold short totaled 5.72%, 5.75%, 6.41%, 6.26% and 6.21% of average net assets for the years ended October 31, 2016, 2015, 2014, 2013 and 2012, respectively.

^(e) Effective January 1, 2014, the Advisor reduced its advisory fee from 2.25% to 1.65% of average daily net assets and agreed to further reduce its advisory fees and to absorb the Fund’s operating expenses to the extent necessary to limit aggregate annual operating expenses (which do not include brokerage costs, taxes, borrowing costs such as interest and dividend expenses on securities sold short, and extraordinary expenses) to 1.90% of average daily net assets.

See accompanying notes to financial statements.

56

TFS SMALL CAP FUND FINANCIAL HIGHLIGHTS
Per share data for a share outstanding throughout each year:	Year Ended October 31, 2016			Year Ended October 31, 2015			Year Ended October 31, 2014			Year Ended October 31, 2013			Year Ended October 31, 2012
Net asset value at beginning of year	$	13.09		$	13.93		$	15.87		$	13.56		$	12.07
Income (loss) from investment operations:
Net investment income (loss)		(0.04	)		(0.03	)		(0.04	)		0.02			(0.00	)(a)
Net realized and unrealized gains on investments		0.33			0.12			1.40			4.92			1.52
Total from investment operations		0.29			0.09			1.36			4.94			1.52
Less distributions:
Distributions from net investment income		—			—			—			(0.07	)		—
Distributions from net realized gains from security transactions		(0.64	)		(0.93	)		(3.30	)		(2.56	)		(0.03	)
Total distributions		(0.64	)		(0.93	)		(3.30	)		(2.63	)		(0.03	)
Proceeds from redemption fees collected (Note 2)		—			—			0.00	(a)		0.00	(a)		0.00	(a)
Net asset value at end of year	$	12.74		$	13.09		$	13.93		$	15.87		$	13.56
Total return (b)		2.46	%		0.51	%		9.50	%		44.15	%		12.62	%
Ratios and supplemental data:
Net assets at end of year (000’s)	$	66,812		$	98,139		$	97,776		$	80,989		$	50,073
Ratio of total expenses to average net assets		1.75	%		1.68	%		1.61	%		1.80	%		1.95	%
Ratio of net expenses to average net assets (c)		1.51	%(e)		1.50	%		1.54	%(d)		1.75	%		1.75	%
Ratio of net investment income (loss) to average net assets (c)		(0.28	%)		(0.23	%)		(0.36	%)		0.06	%		(0.03	%)
Portfolio turnover rate		778	%		639	%		579	%		601	%		557	%

^(a) Amount rounds to less than $0.01 per share.

^(b) Total return is a measure of the change in value of an investment in the Fund over the period covered, which assumes any dividends or capital gains distributions are reinvested in shares of the Fund. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares.

^(c) Ratio was determined after advisory fee reductions (Note 4).

^(d) Effective January 1, 2014, the Advisor reduced its advisory fee from 1.25% to 1.15% of average daily net assets and agreed to further reduce its advisory fees and to absorb the Fund’s operating expenses to the extent necessary to limit aggregate annual operating expenses (which do not include brokerage costs, taxes, borrowing costs such as interest and dividend expenses on securities sold short, and extraordinary expenses) to 1.50% of average daily net assets.

^(e) Includes borrowing costs of 0.01% of average net assets with respect to the year ended October 31, 2016.

See accompanying notes to financial statements.

57

TFS HEDGED FUTURES FUND FINANCIAL HIGHLIGHTS*
Per share data for a share outstanding throughout each period:	Year Ended October 31, 2016			Year Ended October 31, 2015			Year Ended October 31, 2014			Year Ended October 31, 2013			Period Ended October 31, 2012(a)
Net asset value at beginning of period	$	10.55		$	9.88		$	9.93		$	11.04		$	10.00
Income (loss) from investment operations:
Net investment loss		(0.19	)		(0.19	)(b)		(0.49	)		(0.20	)		(0.09	)
Net realized and unrealized gains (losses) on investments		0.22			0.86			0.47			(0.68	)		1.13
Total from investment operations		0.03			0.67			(0.02	)		(0.88	)		1.04
Less distributions:
Distributions from net realized gains from security transactions		—			—			(0.03	)		(0.23	)		—
Proceeds from redemption fees collected (Note 2)		—			—			0.00	(c)		0.00	(c)		0.00	(c)
Net asset value at end of period	$	10.58		$	10.55		$	9.88		$	9.93		$	11.04
Total return (d)		0.28	%		6.78	%		(0.22	%)		(8.14	%)		10.40	%(e)
Ratios and supplemental data:
Net assets at end of period (000’s)	$	16,266		$	16,631		$	38,212		$	68,250		$	113,541
Ratio of total expenses to average net assets		3.06	%		2.90	%		2.19	%		2.35	%		2.51	%(f)
Ratio of net expenses to average net assets (g)		1.80	%		1.81	%(i)		1.90	%(h)		2.30	%		2.30	%(f)
Ratio of net investment loss to average net assets (g)		(1.51	%)		(1.75	%)		(1.87	%)		(2.23	%)		(2.19	%)(f)
Portfolio turnover rate (j)		0	%		0	%		0	%		0	%		0	%

* Consolidated financial statements (Note 1).

^(a) Represents the period from commencement of operations (December 29, 2011) through October 31, 2012.

^(b) Calculated using weighted average shares outstanding during the period.

^(c) Amount rounds to less than $0.01 per share.

^(d) Total return is a measure of the change in value of an investment in the Fund over the period covered, which assumes any dividends or capital gains distributions are reinvested in shares of the Fund. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares.

^(e) Not annualized.

^(f) Annualized.

^(g) Ratio was determined after advisory fee reductions (Note 4).

^(h) Effective January 1, 2014, the Advisor reduced its advisory fee from 2.00% to 1.50% of average daily net assets and agreed to further reduce its advisory fees and to absorb the Fund’s operating expenses to the extent necessary to limit aggregate annual operating expenses (which do not include brokerage costs, taxes, borrowing costs such as interest and dividend expenses on securities sold short, and extraordinary expenses) to 1.80% of average daily net assets.

⁽ⁱ⁾ Includes borrowing costs of 0.01% of average net assets with respect to the year ended October 31, 2015.

^(j) All investments held are excluded from the calculation as they are considered to be short-term investments whose maturities or expiration dates at the time of acquisition were one year or less.

See accompanying notes to financial statements.

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October 31, 2016

1. Organization

TFS Market Neutral Fund, TFS Small Cap Fund and TFS Hedged Futures Fund (individually, a “Fund”, and collectively, the “Funds”) are each a series of TFS Capital Investment Trust (the “Trust”), an open-end management investment company established as an Ohio business trust under a Declaration of Trust dated January 30, 2004. TFS Market Neutral Fund commenced operations on September 7, 2004. TFS Small Cap Fund commenced operations on March 7, 2006. TFS Hedged Futures Fund commenced operations on December 29, 2011.

The consolidated financial statements of TFS Hedged Futures Fund include TFS Hedged Futures Strategy Offshore Fund Ltd. (the “Subsidiary”), a wholly-owned and controlled Cayman Islands subsidiary. TFS Hedged Futures Fund may invest up to 25% of its total assets in the Subsidiary. TFS Hedged Futures Fund purchases investments through the Subsidiary to provide exposure to the commodity futures market which otherwise may not be possible in a mutual fund structure. All inter-company accounts and transactions have been eliminated in consolidation for TFS Hedged Futures Fund.

TFS Market Neutral Fund seeks to produce capital appreciation while having a low correlation to the U.S. equity market, which TFS Capital LLC (the “Adviser”) defines as the S&P 500^® Index. In addition, the Fund seeks to produce lower volatility than the movement of the U.S. equity market.

TFS Small Cap Fund seeks long-term capital appreciation. In addition, the Fund seeks to outperform the Russell 2000^® Index.

TFS Hedged Futures Fund seeks to achieve long-term capital appreciation.

2. Significant Accounting Policies

The following is a summary of the Funds’ significant accounting policies. The policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). As an investment company, as defined in Financial Accounting Standards Board (“FASB”) Accounting Standards Update 2013-08, the Funds follow accounting and reporting guidance under FASB Accounting Standards Codification Topic 946, “Financial Services – Investment Companies.”

In October 2016, the Securities and Exchange Commission (the “SEC”) released its Final Rule on Investment Company Reporting Modernization (the “Rule”). The Rule which introduces two new regulatory reporting forms for investment companies – Form N-PORT and Form N-CEN – also contains amendments to Regulation S-X which impact financial statement presentation, particularly the presentation of derivative investments. Although still evaluating the impact of the Rule, management believes that many of the Regulation S-X amendments are consistent with the Funds’ current financial statement presentation and expects that the Funds will be able to comply with the Rule’s Regulation S-X amendments by the August 1, 2017 compliance date.

Securities and futures valuation – The Funds’ portfolio securities are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time) on each business day the NYSE is open. Securities listed on the NYSE or other exchanges are valued on the basis of their last sale prices on the exchanges on which they are primarily traded. If there are no sales on that day, the securities are valued at the mean between the closing bid and

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ask prices on the NYSE or other primary exchange for that day. Securities which are quoted by NASDAQ are valued at the NASDAQ Official Closing Price. If there are no sales on that day, the securities are valued at the mean between the closing bid and ask prices as reported by NASDAQ.

Fixed income securities are generally valued using prices provided by an independent pricing service approved by the Trust’s Board of Trustees (the “Board”). The independent pricing service will employ methodologies that they believe are appropriate, including actual market transactions, broker-dealer supplied valuations, matrix pricing, or other electronic data processing techniques. These techniques generally consider such factors as security prices, yields, maturities, call features, ratings, and developments relating to specific securities in arriving at valuations.

Futures contracts that trade on exchanges that close at 4:00 p.m. Eastern time are valued at their closing price as quoted on their primary exchange. Futures contracts that trade on exchanges that close before 4:00 p.m. Eastern time are valued at their last sale price as of the close of regular trading on their primary exchange. Futures contracts that trade on exchanges that close after 4:00 p.m. Eastern time are valued at their last sale price on their primary exchange as of the close of the NYSE. If no closing price is readily available at the time of valuation, the futures contract will be valued at the closing bid price for that day as reported by the primary exchange. Prices for these futures contracts are monitored daily by the Adviser until 4:00 p.m. Eastern time to determine if fair valuation is required.

Investments in securities and other financial instruments for which no quotations are readily available are valued at fair value as determined in good faith under the supervision of the Board and will be classified as Level 2 or 3 within the fair value hierarchy (see below), depending on the inputs used.

GAAP establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements.

The Funds’ investments and other financial instruments have been categorized based upon a fair value hierarchy in accordance with the FASB’s guidance on fair value measurement. The levels of the fair value hierarchy and their applicability to the Funds are described below:

● Level 1 inputs utilize quoted prices (unadjusted) in active markets for identical assets or liabilities at the reporting date. Level 1 assets and liabilities may include most common stocks, investment company shares, warrants, futures contracts and money market funds.

● Level 2 inputs utilize inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. Level 2 inputs may include quoted prices for similar assets and liabilities in active markets and quoted prices for identical or similar assets or liabilities that are not active. Assets and liabilities included in this category may include common stocks and other securities that are not actively traded on an exchange, and fixed income obligations with values that are based on prices provided by an independent pricing service that utilizes various “other significant observable inputs” including bid and ask quotations, prices of similar securities and interest rates, among other factors.

● Level 3 inputs are unobservable inputs for the asset or liability and include situations where there is little, if any, market activity for the asset or liability. Assets and liabilities included in this category may include common stocks and other securities that trade infrequently or their trading has been halted for an extended period of time.

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The inputs or methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement. The Funds’ assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the asset or liability.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised by the Funds in determining fair value is greatest for investments and other financial instruments categorized as Level 3.

The following is a summary of the inputs used to value the Funds’ investments, securities sold short and other financial instruments as of October 31, 2016:

TFS Market Neutral Fund	Level 1			Level 2			Level 3			Total
Investments in Securities:
Common Stocks	$	292,833,829		$	61,156		$	—		$	292,894,985
Investment Companies		11,134,446			—			—			11,134,446
Warrants		—			0	*		—			0
Money Market Funds		4,653,154			—			—			4,653,154
Total	$	308,621,429		$	61,156		$	—		$	308,682,585
Other Financial Instruments:
Common Stocks – Sold Short	$	(250,308,276	)	$	(479,116	)	$	0	*	$	(250,787,392	)
Rights – Sold Short		—			(934	)		—			(934	)
Warrants – Sold Short		(120	)		(163,882	)		—			(164,002	)
Total	$	(250,308,396	)	$	(643,932	)	$	0		$	(250,952,328	)

TFS Small Cap Fund	Level 1		Level 2		Level 3		Total
Investments in Securities:
Common Stocks	$	66,449,792	$	—	$	—	$	66,449,792
Total	$	66,449,792	$	—	$	—	$	66,449,792

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NOTES TO FINANCIAL STATEMENTS (Continued)

TFS Hedged Futures Fund	Level 1		Level 2		Level 3		Total
Investments in Securities:
U.S. Treasury Obligations	$	—	$	3,243,286	$	—	$	3,243,286
Money Market Funds		8,258,600		—		—		8,258,600
Total	$	8,258,600	$	3,243,286	$	—	$	11,501,886
Other Financial Instruments:
Futures Contracts	$	8,292	$	—	$	—	$	8,292
Futures Contracts – Sold Short		59,172		—		—		59,172
Total	$	67,464	$	—	$	—	$	67,464

* TFS Market Neutral Fund holds Warrants and Common Stocks - Sold Short which have been fair valued at $0.

Refer to each Fund’s Summary Schedule of Investments, Schedule of Securities Sold Short, Schedule of Futures Contracts and Schedule of Futures Contracts Sold Short, as applicable, for a listing of the securities by security type and sector or industry type.

It is the Funds’ policy to recognize transfers into and out of any Level at the end of the reporting period.

Transfers that occurred between Levels 1 and 2 on October 31, 2016 for TFS Market Neutral Fund are as follows:

	Common Stocks - Sold Short
Transfers from Level 1 to Level 2	$	(479,116	)

As of October 31, 2016, TFS Small Cap Fund and TFS Hedged Futures Fund did not have any transfers between any Levels. There were no Level 3 securities held by TFS Small Cap Fund or TFS Hedged Futures Fund as of October 31, 2016.

The following is a reconciliation of Level 3 other financial instruments of TFS Market Neutral Fund for which significant unobservable inputs were used to determine fair value between October 31, 2015 and October 31, 2016.

	Other Financial Instruments
Balance as of October 31, 2015	$	0	*
Change in unrealized appreciation		—
Balance as of October 31, 2016	$	0	*

* TFS Market Neutral Fund held Common Stocks – Sold Short as of October 31, 2015 and October 31, 2016 which have been determined to be Level 3 other financial instruments.

The total amount of unrealized appreciation on TFS Market Neutral Fund’s Level 3 other financial instruments was $5,536,684 as of October 31, 2016.

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NOTES TO FINANCIAL STATEMENTS (Continued)

The following table summarizes the valuation techniques used and unobservable inputs approved and monitored by the Board to determine the fair value of TFS Market Neutral Fund’s Level 3 other financial instruments as of October 31, 2016:

	Fair Value at October 31, 2016			Valuation Technique	Unobservable Input	Range			Impact to Valuation from an Increase in Input**
Common Stocks - Sold Short	$	0	*	Discount from last sale price	Discount Percentage		100	%	Increase

* TFS Market Neutral Fund holds Common Stocks – Sold Short which have been determined to be Level 3 investments and have been fair valued at $0.

** This column represents the directional change in the fair value of the Level 3 investments that would result in an increase from the corresponding input. A decrease to the unobservable input would have the opposite effect. Significant increases and decreases in these inputs in isolation could result in significantly higher or lower fair value measurements.

Share valuation – The net asset value per share of each Fund is calculated daily by dividing the total value of its assets, less liabilities, by the number of shares outstanding. The offering price and redemption price per share of each Fund is equal to the net asset value per share.

Investment income (expense) – Dividend income (expense) is recorded on the ex-dividend date. Interest income is accrued as earned. Discounts and premiums on fixed income securities are amortized using the effective interest method. Withholding taxes on foreign dividends have been recorded in accordance with the Funds’ understanding of the appropriate country’s tax rules and tax rates.

Borrowing costs – From time to time, a Fund may have an overdrawn cash balance at the custodian due to redemptions or market movements. When this occurs, the Fund will incur borrowing costs charged by the custodian.

Security transactions – Security transactions are accounted for on the trade date. Realized gains and losses on securities sold are determined on a specific identification basis.

Distributions to shareholders – Distributions to shareholders arising from net investment income and net realized capital gains, if any, are declared and paid at least once each year. The amount of distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These “book/tax” differences are permanent in nature and are primarily due to differing treatments of net short-term gains. The tax character of distributions paid by the Funds during the years ended October 31, 2016 and 2015 was as follows:

	Years Ended	Ordinary Income		Long-Term Capital Gains		Total Distributions
TFS Market Neutral Fund	10/31/2016	$	1,589,812	$	26,857,357	$	28,447,169
	10/31/2015	$	—	$	28,360,770	$	28,360,770
TFS Small Cap Fund	10/31/2016	$	2,778,851	$	1,678,412	$	4,457,263
	10/31/2015	$	4,947,085	$	1,615,377	$	6,562,462

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TFS CAPITAL INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)

There were no distributions paid to shareholders by TFS Hedged Futures Fund during the years ended October 31, 2016 and 2015.

Short positions – The Funds may sell securities short. For financial statement purposes, an amount equal to the settlement amount is included in the Statements of Assets and Liabilities as an asset and an equivalent liability is then subsequently marked-to-market daily to reflect the current value of the short position. Subsequent fluctuations in the market prices of securities sold, but not yet purchased, may require purchasing the securities at prices which may differ from the market value reflected on the Statements of Assets and Liabilities. The Funds are liable for any dividends payable on securities while those securities are in a short position and will also bear other costs, such as charges for the prime brokerage accounts, in connection with the short positions. These costs are reported as brokerage expense on securities sold short in the Statements of Operations. As collateral for its short positions, the Funds are required under the Investment Company Act of 1940 (“1940 Act”) to maintain assets consisting of cash, cash equivalents or liquid securities equal to the market value of the securities sold short. The deposits with brokers for securities sold short are reported on the Statements of Assets and Liabilities. The amount of the collateral is required to be adjusted daily to reflect changes in the value of the securities sold short. TFS Market Neutral Fund and TFS Hedged Futures Fund both engage in short selling as a principal investment strategy while TFS Small Cap Fund does not. TFS Small Cap Fund currently intends to limit its exposure to short positions, if any, to 5% of its net assets. Short selling subjects a Fund to the potential for unlimited losses.

Option contracts – The Funds may use option contracts in any manner consistent with their investment objectives and as long as their use is consistent with relevant provisions of the 1940 Act. The Funds may use options for speculative investment purposes as well as for the purpose of seeking to reduce the overall investment risk that would otherwise be associated with the securities in which a Fund invests. When a Fund writes an option, an amount equal to the net premium (the premium less the commission) received by the Fund is recorded as a liability in the Fund’s Statement of Assets and Liabilities and is subsequently marked-to-market daily. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing call options which are exercised increase the proceeds used to calculate the realized gain or loss on the sale of the security. Premiums received from writing put options which are exercised increase the basis of the security purchased. If a closing purchase transaction is used to terminate a Fund’s obligation on an option, a gain or loss will be realized, depending upon whether the price of the closing purchase transaction is more or less than the premium previously received on the option written.

Futures contracts – TFS Market Neutral Fund and TFS Hedged Futures Fund are subject to equity price risk, interest rate risk, foreign currency exchange rate risk, and commodity risk in the normal course of pursuing their investment objectives. These Funds may use futures contracts to gain exposure to or to hedge against changes in the value of equities, interest rates, foreign currencies or commodities. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. When a Fund purchases or sells a futures contract, no price is paid to or received by the Fund upon the purchase or sale of the futures contract. Instead, the Fund is required to deposit in a segregated asset account an amount of cash or qualifying securities currently ranging from 5% to 15% of the contract amount. This is called the “initial margin deposit.” Subsequent payments, known as “variation margin,” are accumulated in a receivable or payable account by the Fund each day, depending on the daily fluctuations in

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TFS CAPITAL INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)

the fair value of the underlying asset. The total of this account is received or paid by the Fund when the position is closed. The Fund recognizes an unrealized gain or loss equal to the daily variation margin. If market conditions change unexpectedly, the Fund may not achieve the anticipated benefits of the futures contracts and may realize a loss. The margin deposits for futures contracts and the variation margin receivable and/or payable are reported on the Statements of Assets and Liabilities.

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 disclosures of contingent assets and liabilities as of the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Common expenses – Common expenses of the Trust are allocated among the Funds based on the relative net assets of each Fund or the nature of the services performed and the relative applicability to each Fund.

Foreign Currency Translation – Amounts denominated in or expected to settle in foreign currencies are translated into U.S. dollars based on exchange rates on the following basis:

A. The value of investment securities and other assets and liabilities are translated at exchange rates as of the NYSE close each day.

B. Purchases and sales of investment securities and income and expenses are translated at the rate of exchange prevailing on the respective date of such transactions.

C. The Funds do not isolate that portion of the results of operations caused by changes in foreign exchange rates on investments from those caused by changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gains or losses on investments.

Reported net realized foreign exchange gains or losses arise from 1) purchases and sales of foreign currencies, 2) currency gains or losses realized between the trade and settlement dates on securities transactions and 3) the difference between the amounts of dividends, interest and foreign withholding taxes recorded on a Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Reported net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities that result from changes in exchange rates.

Forward Foreign Currency Exchange Contracts – TFS Market Neutral Fund may use forward foreign currency exchange contracts to hedge exposure to foreign currency. TFS Hedged Futures Fund may invest in forward foreign currency exchange contracts for speculative purposes. When the Adviser believes that the currency of a particular country may produce positive returns against the currency of another country, each of those Funds may purchase or sell forward foreign currency exchange contracts to gain exposure to the differential in currency returns. All foreign currency exchange contracts are “marked-to-market” daily at the applicable translation rates resulting in unrealized gains or losses. Realized and unrealized gains or losses from transactions in foreign currency exchange contracts will be included in a Fund’s Statement of Assets and Liabilities and Statement of Operations. Risks associated with these contracts include the potential inability of counterparties to meet the terms of their contracts and unanticipated movements in the value of a foreign currency relative to the U.S. dollar.

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NOTES TO FINANCIAL STATEMENTS (Continued)

Federal income tax – Each Fund has qualified and intends to continue to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986 (the “Code”). Qualification generally will relieve the Funds of liability for federal income taxes to the extent 100% of their net investment income and net realized capital gains are distributed in accordance with the Code. Accordingly, no provision for income taxes has been made.

In order to avoid imposition of the federal excise tax applicable to regulated investment companies, it is also each Fund’s intention to declare as dividends in each calendar year at least 98% of its ordinary income (net investment income and specified gains and losses) and 98.2% of its net realized capital gains plus undistributed amounts from prior years.

The following information is computed on a tax basis for each item as of October 31, 2016:

	TFS Market Neutral Fund			TFS Small Cap Fund			TFS Hedged Futures Fund
Tax cost of portfolio investments	$	318,014,752		$	66,943,371		$	15,441,670
Gross unrealized appreciation	$	10,956,686		$	3,185,431		$	—
Gross unrealized depreciation		(20,288,853	)		(3,679,010	)		(340,147	)
Net unrealized depreciation on investments		(9,332,167	)		(493,579	)		(340,147	)
Net unrealized appreciation on securities sold short		27,661,181			—			—
Unrealized losses on foreign currency transactions		(1	)		—			(3	)
Undistributed ordinary income		—			3,525,014			—
Undistributed long term gains		—			855,438			—
Accumulated capital and other losses		(28,934,535	)		—			(687,616	)
Other temporary differences		(342,235	)		—			—
Accumulated earnings (deficit)	$	(10,947,757	)	$	3,886,873		$	(1,027,766	)

As of October 31, 2016, the tax proceeds from securities sold short is $278,613,509 for TFS Market Neutral Fund.

The difference between the federal income tax cost of portfolio investments and securities sold short and the financial statement cost for TFS Market Neutral Fund and TFS Small Cap Fund is due to certain timing differences in the recognition of capital gains or losses under GAAP. These “book/tax” differences are temporary in nature and are primarily due to the tax deferral of losses on wash sales. The difference between the federal income tax cost of investments and the financial statement cost for TFS Hedged Futures Fund is due to the tax treatment of the Fund’s wholly owned subsidiary as a controlled foreign corporation (CFC).

During the year ended October 31, 2016, TFS Hedged Futures Fund utilized $192,738 and $285,376 of short-term and long-term capital loss carryforwards, respectively, to offset current year gains.

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NOTES TO FINANCIAL STATEMENTS (Continued)

For the year ended October 31, 2016, the following reclassifications were made as a result of permanent differences between financial statement and income tax reporting requirements:

	TFS Market Neutral Fund			TFS Small Cap Fund			TFS Hedged Futures Fund
Paid-in capital	$	(7,038,963	)	$	—		$	(155,015	)
Accumulated net investment loss		8,225,376			227,478			49,324
Accumulated net realized gains (losses) from securities transactions and other financial instruments		(1,186,413	)		(227,478	)		105,691

As of October 31, 2016, TFS Market Neutral Fund and TFS Hedged Futures Fund had the following capital loss carryforwards:

	TFS Market Neutral Fund		TFS Hedged Futures Fund
Capital loss carryforward – short-term	$	—	$	176,238
Capital loss carryforward – long-term		2,112,803		282,599
Total capital loss carryforwards	$	2,112,803	$	458,837

These capital loss carryforwards, which do not expire, may be utilized in future years to offset net realized capital gains, if any, prior to distributing such gains to shareholders.

Net qualified late year ordinary losses represent ordinary losses incurred after December 31, 2015. These losses are deemed to arise on the first day of the Fund’s next taxable year. For the year ended October 31, 2016, TFS Market Neutral Fund and TFS Hedged Futures Fund intend to defer $26,821,732 and $228,779, respectively, of late year ordinary losses to November 1, 2016 for federal income tax purposes.

The Funds recognize tax benefits or expenses of uncertain tax positions only when the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has reviewed the tax positions taken on federal income tax returns for the current and all open tax periods of each Fund (October 31, 2013 through October 31, 2016 for TFS Market Neutral Fund and TFS Small Cap Fund and December 31, 2013 through October 31, 2016 for TFS Hedged Futures Fund) and has concluded that no provision for unrecognized tax benefits or expenses is required in these financial statements and does not expect this to change over the next twelve months. Each Fund identifies its major tax jurisdiction as U.S. Federal.

3. Investment Transactions

During the year ended October 31, 2016, cost of purchases and proceeds from sales of portfolio securities, other than short-term investments, U.S. government securities and short positions, amounted to $4,150,222,427 and $4,596,763,973, respectively, for TFS Market Neutral Fund; $626,964,590 and $659,454,093, respectively, for TFS Small Cap Fund; and $0 and $0, respectively, for TFS Hedged Futures Fund.

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4. Transactions with Related Parties

INVESTMENT ADVISORY AGREEMENT

Each Fund’s investments are managed by the Adviser pursuant to the terms of an Investment Advisory Agreement. TFS Market Neutral Fund, TFS Small Cap Fund and TFS Hedged Futures Fund pay the Adviser an investment advisory fee, computed and accrued daily and paid monthly, at an annual rate of 1.65%, 1.15% and 1.50%, respectively, of average daily net assets.

The Adviser has contractually agreed to reduce its advisory fees and to absorb each Fund’s operating expenses (for the life of the Funds) to the extent necessary to limit aggregate annual ordinary operating expenses (which do not include brokerage costs, taxes, borrowing costs such as interest and dividend expenses on securities sold short and extraordinary expenses) to 1.90% of TFS Market Neutral Fund’s average daily net assets, 1.50% of TFS Small Cap Fund’s average daily net assets and 1.80% of TFS Hedged Futures Fund’s average daily net assets. During the year ended October 31, 2016, the Adviser reduced its investment advisory fees by $438,414 with respect to TFS Market Neutral Fund, $199,648 with respect to TFS Small Cap Fund and $231,846 with respect to TFS Hedged Futures Fund.

Advisory fee reductions and expense reimbursements by the Adviser are subject to repayment by the applicable Fund for a period of three years after such fees and expenses were incurred, provided that such repayments do not cause ordinary operating expenses to exceed the expense caps of 1.90%, 1.50% and 1.80% for TFS Market Neutral Fund, TFS Small Cap Fund and TFS Hedged Futures Fund, respectively. As of October 31, 2016, the Adviser may in the future recoup fee reductions and expense reimbursements totaling $1,070,208, $468,007 and $623,395 from TFS Market Neutral Fund, TFS Small Cap Fund and TFS Hedged Futures Fund, respectively. The Adviser may recapture these amounts no later than the dates as stated below:

	October 31, 2017		October 31, 2018		October 31, 2019
TFS Market Neutral Fund	$	205,839	$	425,955	$	438,414
TFS Small Cap Fund	$	77,861	$	190,498	$	199,648
TFS Hedged Futures Fund	$	157,600	$	233,949	$	231,846

Certain Trustees and officers of the Trust are also officers of the Adviser.

COMPLIANCE CONSULTING AGREEMENT

Under the terms of a Compliance Consulting Agreement, Drake Compliance, LLC (“Drake”) provides ongoing regulatory compliance consulting, monitoring and reporting services for the Trust. In addition, a principal of Drake serves as the Trust’s Chief Compliance Officer. Drake receives $5,000 per month from the Trust, of which each Fund pays its proportionate share. In addition, each Fund reimburses certain out-of-pocket expenses incurred by Drake, if any, including, but not limited to, postage and supplies and travel expenses.

OTHER SERVICE PROVIDERS

Ultimus Fund Solutions, LLC (“Ultimus”) provides administration, fund accounting, compliance and transfer agent services to the Funds. The Funds pay Ultimus fees in accordance with the agreements for such services. In addition, each Fund pays out-of-pocket expenses including, but not limited to, postage, supplies and costs of pricing portfolio securities. Certain officers of

68

TFS CAPITAL INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)

the Trust are also officers of Ultimus or of Ultimus Fund Distributors, LLC (the “Distributor”), the principal underwriter of each Fund’s shares and an affiliate of Ultimus. The Distributor is compensated by the Adviser (not the Funds) for acting as principal underwriter.

COMPENSATION OF TRUSTEES

Trustees and officers affiliated with the Adviser or Ultimus are not compensated by the Trust for their services. Each Trustee who is not an affiliated person of the Adviser or Ultimus receives from the Trust an annual retainer of $20,000, paid quarterly; a fee of $7,500 for attendance at each in-person meeting of the Board; a fee of $2,500 for attendance at each telephonic regular meeting of the Board; and a fee of $1,500 for attendance at each telephonic special meeting of the Board. The Chairman of the Audit Committee receives an additional fee of $1,000 for each Audit Committee meeting attended. The Funds reimburse each Trustee and officer for his or her travel and other expenses relating to attendance at Board or committee meetings.

Rule 17a-7 is an exemptive rule under the Investment Company Act that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. The Funds have policies and procedures pursuant to Rule 17a-7 to permit transactions between a Fund and an affiliated fund, subject to certain requirements. During the year ended October 31, 2016, none of the Funds entered into any transactions with any other affiliated fund.

5. Derivatives Transactions

Transactions in put option contracts written by TFS Market Neutral Fund during the year ended October 31, 2016 were as follows:

	Option Contracts			Option Premiums
Written put options outstanding at beginning of year		—		$	—
Put options written		2,400			797,210
Put options cancelled in a closing purchase transaction		(2,400	)		(797,210	)
Put options outstanding at end of year		—		$	—

The derivative positions of TFS Hedged Futures Fund as of October 31, 2016 are recorded in the following locations in the Statements of Assets and Liabilities:

Derivative Investment Type	Location
Futures contracts	Variation margin receivable (payable)

69

TFS CAPITAL INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)

The following tables set forth the values of derivative contracts of TFS Hedged Futures Fund as of October 31, 2016:

TFS Hedged Futures Fund Futures Contracts
	Variation Margin					Total
	Receivable		(Payable)
Asset Derivatives
Futures Contracts
Commodity	$	91,717	$	(83,425	)	$	8,292
Total Asset Derivatives		91,717		(83,425	)		8,292
Liability Derivatives
Futures Contracts
Commodity		178,818		(116,764	)		62,054
Financial		26,418		(29,292	)		(2,874	)
Total Liability Derivatives		205,236		(146,056	)		59,180
Total	$	296,953	$	(229,481	)	$	67,472

Certain risks may arise upon entering into futures contracts from the potential inability of counterparties to meet the terms of their contracts. The maximum counterparty credit risk to the Funds is measured by the unrealized gain on appreciated contracts. No credit-risk-related contingent features exist for the futures contracts outstanding at October 31, 2016.

Transactions in derivative instruments for TFS Market Neutral Fund and TFS Hedged Futures Fund during the year ended October 31, 2016 are recorded in the following locations in the Statements of Operations:

TFS Market Neutral Fund
Derivative Investment Type	Location
Futures contracts	Net realized gains (losses) from futures contracts
	Net change in unrealized appreciation (depreciation) on futures contracts
Equity put options written	Net realized gains (losses) from option contracts

TFS Hedged Futures Fund
Derivative Investment Type	Location
Futures contracts	Net realized gains (losses) from futures contracts
	Net change in unrealized appreciation (depreciation) on futures contracts

70

TFS CAPITAL INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)

The following is a summary of net realized gains (losses) and net change in unrealized appreciation (depreciation) on derivative instruments for TFS Market Neutral Fund and TFS Hedged Futures Fund recognized in the Statements of Operations during the year ended October 31, 2016:

Type of Derivative	Net Realized Gains (Losses)			Net Change in Unrealized Appreciation (Depreciation)
TFS Market Neutral Fund
Futures contracts
Financial	$	3,498,756		$	1,021,348
Total	$	3,498,756		$	1,021,348
TFS Hedged Futures Fund
Futures contracts
Commodity	$	386,323		$	89,305
Financial		(102,981	)		(115,535	)
Total	$	283,342		$	(26,230	)

TFS Small Cap Fund had no transactions in derivative instruments during the year ended October 31, 2016.

In the ordinary course of business, TFS Market Neutral Fund and TFS Hedged Futures Fund may enter into transactions subject to enforceable netting agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows the Funds to offset any exposure to a specific counterparty with any collateral received or delivered to that counterparty based on the terms of the agreements. Generally, the Funds manage their cash collateral securities and securities collateral on a counterparty basis.

As of October 31, 2016, the offsetting of financial assets and derivatives assets is as follows:

TFS Hedged Futures Fund
Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in Statements of Assets and Liabilities		Net Amounts of Assets Presented in Statements of Assets and Liabilities		Collateral Pledged		Net Amount
Variation margin receivable - futures contracts	$	296,953	$	—	$	296,953	$	—	$	296,953
Total subject to a master netting or similar arrangement	$	296,953	$	—	$	296,953	$	—	$	296,953

71

TFS CAPITAL INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)

Offsetting of financial liabilities and derivative liabilities as of October 31, 2016 is as follows:

TFS Hedged Futures Fund
Description	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in Statements of Assets and Liabilities		Net Amounts of Liabilities Presented in Statements of Assets and Liabilities			Collateral Pledged		Net Amount
Variation margin payable - futures contracts	$	(229,481	)	$	—	$	(229,481	)	$	—	$	(229,481	)
Total subject to a master netting or similar arrangement	$	(229,481	)	$	—	$	(229,481	)	$	—	$	(229,481	)

6. Certain Investments and Risks

The securities in which the Funds invest, as well as the risks associated with these securities and with the investment programs of the Funds, are described in the Funds’ Prospectuses. Among these risks are those associated with investments in derivative instruments and investments in shares of money market mutual funds.

Risks of Derivative Instruments – The use of derivative instruments, including futures contracts, requires special skills and knowledge of investment techniques that are different than those normally required for purchasing and selling common stock. If the Adviser uses a derivative instrument at the wrong time or incorrectly identifies market conditions, or if the derivative instrument does not perform as expected, these strategies may significantly reduce the Fund’s return. In addition, the Fund may be unable to close out a position because the market for a futures contract may become illiquid.

Investments in Money Market Funds – In order to maintain sufficient liquidity to implement investment strategies, or for temporary defensive purposes, each Fund may invest a significant portion of its assets in shares of one or more money market mutual funds. An investment in a money market mutual fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, entity or person. While investor losses in money market mutual funds have been rare, they have occurred. In addition, indirect expenses will be incurred due to acquired fund fees and other costs to the extent of the investment in shares of money market mutual funds. As of October 31, 2016, TFS Hedged Futures Fund had 50.8% of the value of its net assets invested in shares of money market mutual funds registered under the 1940 Act. As of October 31, 2016, TFS Market Neutral Fund and TFS Small Cap Fund did not have a significant portion of their net assets invested in shares of money market mutual funds.

72

TFS CAPITAL INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)

7. Contingencies and Commitments

The Funds indemnify the Trust’s officers and Trustees for certain liabilities that might arise from their performance of their duties to the Funds. Additionally, in the normal course of business the Funds enter into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

8. Subsequent Events

The Funds are required to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed as of the date of the Statements of Assets and Liabilities. For non-recognized subsequent events that must be disclosed to keep the financial statements from being misleading, the Funds are required to disclose the nature of the event as well as an estimate of its financial effect, or a statement that such an estimate cannot be made. Management has evaluated subsequent events through the issuance of these financial statements and has noted no such events.

73

TFS CAPITAL INVESTMENT TRUST
REPORT OF INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM

The Board of Trustees and Shareholders of
TFS Capital Investment Trust

We have audited the accompanying statements of assets and liabilities of TFS Market Neutral Fund and TFS Small Cap Fund and consolidated statement of assets and liabilities of the TFS Hedged Futures Fund (collectively the “Funds”) each a series of the TFS Capital Investment Trust (the “Trust”), including the summary schedule of investments and schedule of securities sold short for TFS Market Neutral Fund, the summary schedule of investments for TFS Small Cap Fund, and the consolidated schedule of investments, consolidated schedule of futures contracts, and consolidated schedule of futures contracts sold short for TFS Hedged Futures Fund, as of October 31, 2016, and the related statements of operations of TFS Market Neutral Fund and TFS Small Cap Fund for the year then ended, the consolidated statement of operations of TFS Hedged Futures Fund for the year then ended, the statements of changes in net assets of TFS Market Neutral Fund and TFS Small Cap Fund for each of the two years in the period then ended, the consolidated statements of changes in net assets of TFS Hedged Futures Fund for each of the two years in the period then ended, the financial highlights for TFS Market Neutral Fund and TFS Small Cap Fund for each of the four years in the period then ended and the consolidated financial highlights for TFS Hedged Futures Fund for each of the four years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights presented herein for the year ended October 31, 2012 and prior were audited by another registered public accounting firm whose report dated December 24, 2012 expressed an unqualified opinion on those financial statements.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2016, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial positions of TFS Market Neutral Fund and TFS Small Cap Fund and the consolidated financial position of TFS Hedged Futures Fund constituting TFS Capital Investment Trust at October 31, 2016, the results of their operations (consolidated results of its operations for TFS Hedged Futures Fund) for the year then ended, the changes in their net assets (consolidated changes in its net assets for TFS Hedged Futures Fund) for each of the two years in the period then ended and the financial highlights (consolidated financial highlights for TFS Hedged Futures Fund) for each of the four years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Cincinnati, Ohio
December 29, 2016

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TFS CAPITAL INVESTMENT TRUST
ABOUT YOUR FUNDS’ EXPENSES (Unaudited)

We believe it is important for you to understand the impact of costs on your investment. As a shareholder of the Funds, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. The following examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

A mutual fund’s ongoing costs are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The ongoing costs reflected in the table are based on an investment of $1,000 made at the beginning of the most recent semi-annual period (May 1, 2016) and held until the end of the period (October 31, 2016).

The table below illustrates each Fund’s ongoing costs in two ways:

Actual fund return – This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from each Fund’s actual return, and the fourth column shows the dollar amount of operating expenses that would have been paid by an investor who started with $1,000 in the Funds. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.

To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Funds under the heading “Expenses Paid During Period.”

Hypothetical 5% return – This section is intended to help you compare each Fund’s ongoing costs with those of other mutual funds. It assumes that each Fund had an annual return of 5% before expenses during the period shown, but that the expense ratio is unchanged. In this case, because the return used is not each Fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% return. You can assess each Fund’s ongoing costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Note that expenses shown in the table are meant to highlight and help you compare ongoing costs only. The calculations below assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.

More information about each Fund’s expenses, including annual expense ratios, can be found in this report. For additional information on operating expenses and other shareholder costs, please refer to each Fund’s summary prospectus.

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TFS CAPITAL INVESTMENT TRUST
ABOUT YOUR FUNDS’ EXPENSES (Unaudited) (Continued)

	Beginning Account Value May 1, 2016	Ending Account Value October 31, 2016	Net Expense Ratio(a)	Expenses Paid During Period(b)
TFS Market Neutral Fund
Based on Actual Fund Return	$ 1,000.00	$ 1,021.50	7.16%	$ 36.38
Based on Hypothetical 5% Return (before expenses)	$ 1,000.00	$ 989.14	7.16%	$ 35.80
TFS Small Cap Fund
Based on Actual Fund Return	$ 1,000.00	$ 1,048.60	1.51%	$ 7.78
Based on Hypothetical 5% Return (before expenses)	$ 1,000.00	$ 1,017.55	1.51%	$ 7.66
TFS Hedged Futures Fund
Based on Actual Fund Return	$ 1,000.00	$ 1,000.90	1.80%	$ 9.05
Based on Hypothetical 5% Return (before expenses)	$ 1,000.00	$ 1,016.09	1.80%	$ 9.12

^(a) Annualized, based on the Fund’s most recent one-half year expenses.

^(b) Expenses are equal to each Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).

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TFS CAPITAL INVESTMENT TRUST
OTHER INFORMATION (Unaudited)

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available without charge upon request by calling toll-free 1-888-534-2001, or on the SEC’s website at http://www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is also available without charge upon request by calling toll-free 1-888-534-2001, or on the SEC’s website at http://www.sec.gov.

The Funds file a complete listing of portfolio holdings with the SEC as of the end of the first and third quarters of each fiscal year on Form N-Q. The filings are available upon request, by calling 1-888-534-2001. Furthermore, you may obtain copies of the filings on the SEC’s website at http://www.sec.gov. The Funds’ Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

The net asset values for the Funds are published daily at the Funds’ website at http://www.tfscapital.com.

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TFS CAPITAL INVESTMENT TRUST
BOARD OF TRUSTEES AND OFFICERS (Unaudited)

Overall responsibility for management of the Trust rests with its Trustees. The Trustees serve for terms of indefinite duration until death, resignation, retirement or removal from office. The Trustees, in turn, elect the officers of the Trust to actively supervise the Trust’s day-to-day operations. The officers have been elected for an annual term. Certain officers of the Trust also may serve as Trustees. The Trust is managed by the Trustees in accordance with the laws of the State of Ohio governing business trusts. There are currently four Trustees, three of whom are not “interested persons” of the Trust within the meaning of that term under the 1940 Act. The Trustees and executive officers of the Trust, their addresses and their principal occupations during the past five (5) years are as follows:

Name, Address and Year of Birth	Length of Time Served	Position(s) Held with Trust	Principal Occupation(s) During Past 5 Years and Directorships of Public Companies **	Number of Portfolios in Fund Complex Overseen by Trustee
Interested Trustees:
*Eric S. Newman 10 N. High Street, Suite 500 West Chester, Pennsylvania 19380 Year of Birth: 1974	Trustee Since May 2016; President Since January 2015	Trustee/President	Owner, Co-Portfolio Manager and Chief Investment Officer of TFS Capital LLC	3
Independent Trustees:
Mark J. Malone 10 N. High Street, Suite 500 West Chester, Pennsylvania 19380 Year of Birth: 1966	Since June 2004	Trustee	Managing Director of Guggenheim Securities LLC since February 2015; Managing Director of Janney Capital Markets from December 2013 to February 2015; Managing Director of Lazard Capital Markets from March 2008 to December 2013	3
Brian O’Connell 10 N. High Street, Suite 500 West Chester, Pennsylvania 19380 Year of Birth: 1959	Since June 2004	Trustee	Independent writer/author	3
Gregory R. Owens 10 N. High Street, Suite 500 West Chester, Pennsylvania 19380 Year of Birth: 1966	Since October 2011	Trustee	Managing Director with the Fahrenheit Group since April 2015; Finance Executive with Capital One Financial Corporation from 1996 to 2015; CPA and auditor with Arthur Andersen & Co. from 1998 to 1994	3

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TFS CAPITAL INVESTMENT TRUST
BOARD OF TRUSTEES AND OFFICERS (Unaudited)
(Continued)

Name, Address and Year of Birth	Length of Time Served	Position(s) Held with Trust	Principal Occupation(s) During Past 5 Years
Executive Officers:
Kevin Gates*** 10 N. High Street, Suite 500 West Chester, Pennsylvania 19380 Year of Birth: 1971	Since October 2011	Vice President	Owner and Co-Portfolio Manager of TFS Capital LLC
Richard Gates*** 10 N. High Street, Suite 500 West Chester, Pennsylvania 19380 Year of Birth: 1971	Since October 2011	Vice President	Owner and Co-Portfolio Manager of TFS Capital LLC
Robert G. Dorsey 225 Pictoria Drive, Suite 450 Cincinnati, Ohio 45246 Year of Birth: 1957	Since June 2004	Vice President	Managing Director of Ultimus Fund Solutions, LLC and Ultimus Fund Distributors, LLC
Jennifer L. Leamer 225 Pictoria Drive, Suite 450 Cincinnati, Ohio 45246 Year of Birth: 1976	Since June 2016	Treasurer	V.P., Mutual Fund Controller of Ultimus Fund Solutions, LLC (2014 to present); Business Analyst of Ultimus Fund Solutions, LLC (2007 to 2014)
Wade R. Bridge 225 Pictoria Drive, Suite 450 Cincinnati, Ohio 45246 Year of Birth: 1968	Since June 2011	Secretary	Director of Administration of Ultimus Fund Solutions, LLC and Vice President of Ultimus Fund Distributors, LLC
David D. Jones 18630 Crosstimber San Antonio, Texas 78258 Year of Birth: 1957	Since December 2007	Chief Compliance Officer	Managing Member of Drake Compliance, LLC

* Eric S. Newman is an affiliated person of TFS Capital LLC, the Trust’s investment adviser, and is considered an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act.

** None of the Trustees are directors of public companies.

*** Kevin Gates and Richard Gates are brothers.

Additional information about members of the Board of Trustees and executive officers is available in the Statement of Additional Information (“SAI”). To obtain a free copy of the SAI, please call 1-888-534-2001.

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TFS CAPITAL INVESTMENT TRUST
FEDERAL TAX INFORMATION (Unaudited)

In accordance with federal tax requirements, the following provides shareholders with information concerning distributions made by the Funds during the fiscal year ended October 31, 2016. Certain dividends paid by the Funds may be subject to a maximum tax rate of 15%, as provided by the Jobs and Growth Tax Relief Reconciliation Act of 2003. TFS Market Neutral Fund and TFS Small Cap Fund intend to designate up to a maximum amount of $1,589,812 and $2,778,851, respectively, as taxed at a maximum rate of 15%. Additionally, TFS Market Neutral Fund and TFS Small Cap Fund intend to designate $26,857,357 and $1,678,412, respectively, as long-term capital gain distributions.

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Item 2. Code of Ethics.

As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. Pursuant to Item 12(a)(1), a copy of registrant’s code of ethics is filed as an exhibit to this Form N-CSR. During the period covered by this report, the code of ethics has not been amended, and the registrant has not granted any waivers, including implicit waivers, from the provisions of the code of ethics.

Item 3. Audit Committee Financial Expert.

The registrant’s board of trustees has determined that the registrant has at least one audit committee financial expert serving on its audit committee. The name of the audit committee financial expert is Gregory R. Owens. Mr. Owens is “independent” for purposes of this Item.

Item 4. Principal Accountant Fees and Services.

(a) Audit Fees. The aggregate fees billed for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or for services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $68,340 and $64,890 with respect to the registrant’s fiscal periods ended October 31, 2016 and 2015, respectively.

(b) Audit-Related Fees. No fees were billed in either of the last two fiscal periods for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item.

(c) Tax Fees. The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $69,742 and $83,211 with respect to the registrant’s fiscal periods ended October 31, 2016 and 2015, respectively. The services comprising these fees are the preparation of the registrant’s federal income and excise tax returns.

(d) All Other Fees. No fees were billed in either of the last two fiscal periods for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item.

(e)(1) The audit committee has not adopted pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

(e)(2) None of the services described in paragraph (b) through (d) of this Item were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Less than 50% of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.

(g) With respect to the fiscal periods ended October 31, 2016 and 2015, aggregate non-audit fees of $69,742 and $83,211, respectively, were billed by the registrant’s principal accountant for services rendered to the registrant. No non-audit fees were billed in either of the last two fiscal periods by the registrant’s principal accountant for services rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.

(h) The principal accountant has not provided any non-audit services to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant.

Item 5. Audit Committee of Listed Registrants.

Not applicable

Item 6. Schedule of Investments.

(a) See Schedule I (Investments in securities of unaffiliated issuers)

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS

October 31, 2016

COMMON STOCKS - 95.0%		Shares		Value
Consumer Discretionary - 15.3%
Auto Components - 1.1%
American Axle & Manufacturing Holdings, Inc. (a) (b)			74,480	$	1,334,682
Cooper-Standard Holdings, Inc. (a)			490		44,722
Dana Holding Corporation			6,734		104,242
Drew Industries, Inc.			990		88,655
Federal-Mogul Holdings Corporation (a)			34,647		320,831
Horizon Global Corporation (a)			2,829		56,693
Shiloh Industries, Inc. (a)			13,550		94,715
Spartan Motors, Inc.			56		479
Standard Motor Products, Inc.			926		45,281
Stoneridge, Inc. (a)	��		4,876		72,262
STRATTEC Security Corporation			109		3,870
Superior Industries International, Inc.			1,762		43,169
Tenneco, Inc. (a)			4,706		259,160
Tower International, Inc.			15,139		328,516
Visteon Corporation			7,240		511,216
					3,308,493
Automobiles - 0.2%
Ford Motor Company			43,882		515,175
General Motors Company			7,195		227,362
					742,537
Distributors - 0.5%
AMCON Distributing Company			898		83,289
BMC Stock Holdings, Inc. (a)			14,709		243,434
Pool Corporation			11,171		1,034,211
Weyco Group, Inc.			76		1,924
					1,362,858
Diversified Consumer Services - 1.1%
Cambium Learning Group, Inc. (a)			3,122		16,172
Capella Education Company			18,748		1,370,479
Career Education Corporation (a) (b)			65,245		469,112
Graham Holdings Company - Class B			1,340		636,500
K12, Inc. (a) (b)			74,392		806,409
Lincoln Educational Services Corporation (a)			9,449		14,929
Matthews International Corporation - Class A			449		26,895
Universal Technical Institute, Inc.			789		1,199
					3,341,695
Hotels, Restaurants & Leisure - 2.0%
Aramark			11,051		411,429
Arcos Dorados Holdings, Inc. - Class A (a)			12,506		76,912
Bloomin' Brands, Inc. (b)			78,158		1,352,133
Bravo Brio Restaurant Group, Inc. (a) (b)			30,767		138,452
Brinker International, Inc.			7,671		377,720
Caesars Acquisition Company - Class A (a) (b)			17,216		200,566
Carrols Restaurant Group, Inc. (a) (b)			100,621		1,257,762
Choice Hotels International, Inc.			955		46,270
DineEquity, Inc.			545		43,110
El Pollo Loco Holdings, Inc. (a)			334		4,075
International Speedway Corporation - Class A (b)			1,184		38,954
Intrawest Resorts Holdings, Inc. (a)			142		2,330

1

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 95.0% (Continued)	Shares		Value
Consumer Discretionary - 15.3% (Continued)
Hotels, Restaurants & Leisure - 2.0% (Continued)
Isle of Capri Casinos, Inc. (a) (b)		2,823	$	59,283
La Quinta Holdings, Inc. (a)		27,937		279,649
Marcus Corporation (The) (b)		31,755		841,507
Monarch Casino & Resort, Inc. (a)		1,787		42,263
Panera Bread Company - Class A (a)		665		126,855
RCI Hospitality Holdings, Inc.		12,223		141,909
Red Lion Hotels Corporation (a)		1,452		12,197
Ruth's Hospitality Group, Inc. (b)		4,541		71,975
Texas Roadhouse, Inc.		14,335		580,854
				6,106,205
Household Durables - 1.8%
Bassett Furniture Industries, Inc.		1,749		40,139
CSS Industries, Inc.		100		2,510
Dixie Group, Inc. (The) (a)		19,898		79,592
Flexsteel Industries, Inc. (b)		18,400		770,960
Harman International Industries, Inc.		6,652		530,231
Helen of Troy Ltd. (a)		584		47,596
Hooker Furniture Corporation		1,625		42,737
Hovnanian Enterprises, Inc. - Class A (a) (b)		769,165		1,199,897
La-Z-Boy, Inc. (b)		53,544		1,252,930
Libbey, Inc.		74,996		1,200,686
Lifetime Brands, Inc.		2,012		28,470
MDC Holdings, Inc.		722		17,119
Mohawk Industries, Inc. (a)		2,096		386,293
Skyline Corporation (a)		205		2,372
SodaStream International Ltd. (a)		110		2,847
				5,604,379
Internet & Direct Marketing Retail - 1.2%
Cnova N.V. (a)		8,985		48,160
EVINE Live, Inc. (a)		30,324		65,196
Liberty Interactive Corporation QVC Group - Series A (a)		27,528		508,993
Liberty TripAdvisor Holdings, Inc. - Series A (a) (b)		65,070		1,444,554
Nutrisystem, Inc.		15,137		479,843
Overstock.com, Inc. (a) (b)		49,432		724,179
Priceline Group, Inc. (The) (a)		275		405,413
RetailMeNot, Inc. (a)		2,584		23,385
Travelport Worldwide Ltd.		2,907		41,047
				3,740,770
Leisure Products - 1.1%
Black Diamond, Inc. (a)		20,909		103,499
Brunswick Corporation		10,931		475,498
Callaway Golf Company (b)		137,539		1,404,273
Johnson Outdoors, Inc. - Class A (b)		37,622		1,353,640
MCBC Holdings, Inc.		4,669		52,013
				3,388,923
Media - 1.4%
A.H. Belo Corporation - Class A		21,440		136,144
AMC Entertainment Holdings, Inc. - Class A		8,381		263,582
Carmike Cinemas, Inc. (a)		1,309		42,739
Clear Channel Outdoor Holdings, Inc. - Class A		51		293

2

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 95.0% (Continued)	Shares		Value
Consumer Discretionary - 15.3% (Continued)
Media - 1.4% (Continued)
E.W. Scripps Company (The) - Class A (a)		230	$	3,050
Harte-Hanks, Inc.		99,559		140,378
John Wiley & Sons, Inc. - Class A		16,653		859,295
Liberty Braves Group - Series A (a)		2,492		42,239
Liberty Broadband Corporation - Series C (a)		74		4,932
Liberty Media Group - Series A (a)		1,505		41,884
Madison Square Garden Company (The) - Class A (a)		6,586		1,089,917
Meredith Corporation		123		5,578
New Media Investment Group, Inc.		309		4,450
News Corporation - Class A - Non-Voting		41,107		498,217
Starz - Series A (a)		111		3,492
Time, Inc. (b)		97,933		1,273,129
tronc, Inc.		3,029		36,439
				4,445,758
Multiline Retail - 0.2%
Big Lots, Inc.		5,524		239,742
Dillard's, Inc. - Class A		27		1,655
Dollar Tree, Inc. (a)		4,005		302,578
Kohl's Corporation		2,069		90,519
Macy's, Inc.		207		7,553
				642,047
Specialty Retail - 3.5%
Adient plc (a)		17		755
Barnes & Noble, Inc.		62,929		648,169
Best Buy Company, Inc.		10,401		404,703
Caleres, Inc.		1,789		44,743
Cato Corporation (The) - Class A		1,965		58,302
Chico's FAS, Inc.		984		11,483
Christopher & Banks Corporation (a)		432		553
Citi Trends, Inc. (b)		1,961		38,945
Dick's Sporting Goods, Inc.		37		2,059
Finish Line, Inc. (The) - Class A		43,763		861,693
Five Below, Inc. (a)		189		7,103
Genesco, Inc. (a) (b)		17,844		960,007
Haverty Furniture Companies, Inc.		244		4,331
Home Depot, Inc. (The)		3,032		369,934
Lowe's Companies, Inc.		5,437		362,376
MarineMax, Inc. (a) (b)		64,834		1,293,438
Murphy USA, Inc. (a) (b)		22,812		1,569,009
Office Depot, Inc. (b)		421,572		1,327,952
Rent-A-Center, Inc.		384		3,875
Select Comfort Corporation (a)		99		1,900
Shoe Carnival, Inc.		1,960		49,725
Systemax, Inc.		13,335		104,680
Tilly's, Inc. - Class A (a)		84,084		780,300
TJX Company, Inc. (The)		7,063		520,896
TravelCenters of America, LLC (a) (b)		147,307		942,765
West Marine, Inc. (a)		22,419		179,352
Winmark Corporation		1,290		137,966
				10,687,014

3

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 95.0% (Continued)	Shares		Value
Consumer Discretionary - 15.3% (Continued)
Textiles, Apparel & Luxury Goods - 1.2%
Cherokee, Inc. (a)		2,939	$	27,627
Crocs, Inc. (a) (b)		162,431		1,249,094
Crown Crafts, Inc.		1,212		11,696
Culp, Inc.		1,562		43,736
Delta Apparel, Inc. (a)		4,609		76,049
Kate Spade & Company (a)		31,288		524,074
Lakeland Industries, Inc. (a)		756		7,484
Perry Ellis International, Inc. (a)		61,141		1,136,611
PVH Corporation		4,928		527,198
Rocky Brands, Inc.		2,902		31,051
Superior Uniform Group, Inc.		5,317		94,589
Unifi, Inc. (a)		1,432		41,170
				3,770,379
Consumer Staples - 5.2%
Beverages - 0.7%
Coca-Cola Bottling Company Consolidated (b)		7,769		1,097,760
Cott Corporation (b)		82,188		1,077,485
National Beverage Corporation (a)		19		897
				2,176,142
Food & Staples Retailing - 1.8%
Casey's General Stores, Inc.		3,506		396,143
Performance Food Group Company (a) (b)		55,084		1,322,016
SpartanNash Company (b)		47,329		1,325,212
SUPERVALU, Inc. (a)		529		2,270
Sysco Corporation		10,961		527,443
Village Super Market, Inc. - Class A (b)		41,740		1,248,026
Walgreen Boots Alliance, Inc.		4,966		410,837
Wal-Mart Stores, Inc.		5,911		413,888
				5,645,835
Food Products - 2.1%
Alico, Inc.		121		3,164
Bunge Ltd.		2,988		185,286
Campbell Soup Company		7,176		389,944
ConAgra Foods, Inc.		5,249		252,897
Cosan Ltd. - Class A		10,906		97,063
Darling Ingredients, Inc. (a) (b)		102,076		1,388,234
Dean Foods Company		904		16,507
Fresh Del Monte Produce, Inc. (b)		22,110		1,334,339
Hain Celestial Group, Inc. (The) (a)		25,472		926,417
Kellogg Company		7,007		526,436
Limoneira Company		241		4,745
Nomad Foods Ltd. (a)		7,753		95,284
Omega Protein Corporation (a) (b)		25,878		577,079
Rocky Mountain Chocolate Factory, Inc.		4,113		41,953
Seaboard Corporation (a)		76		257,260
Seneca Foods Corporation - Class A (a) (b)		15,567		457,670
				6,554,278
Household Products - 0.2%
Central Garden & Pet Company - Class A (a)		20,914		488,133
HRG Group, Inc. (a)		1,231		18,514
				506,647

4

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 95.0% (Continued)	Shares		Value
Consumer Staples - 5.2% (Continued)
Personal Products - 0.4%
Edgewell Personal Care Company (a)		6,776	$	510,910
Inter Parfums, Inc.		6,777		220,930
Medifast, Inc. (b)		7,582		311,317
Nature's Sunshine Products, Inc.		8,903		111,733
Revlon, Inc. - Class A (a)		1,232		41,888
				1,196,778
Energy - 5.4%
Energy Equipment & Services - 1.9%
Archrock, Inc. (b)		26,653		309,175
Baker Hughes, Inc.		7,941		439,931
Dril-Quip, Inc. (a)		50		2,375
Ensco plc - Class A (b)		61,905		484,097
FMC Technologies, Inc. (a)		13,790		445,003
Gulf Island Fabrication, Inc.		10,693		106,930
Independence Contract Drilling, Inc. (a)		10,803		42,996
Matrix Service Company (a)		2,841		50,286
Nabors Industries Ltd.		117,763		1,401,380
Natural Gas Services Group, Inc. (a)		3,764		81,679
North American Energy Partners, Inc.		13,641		40,241
Oil States International, Inc. (a)		20		585
Parker Drilling Company (a)		103,160		206,320
PHI, Inc. (a)		8,259		128,675
RigNet, Inc. (a) (b)		56,917		853,755
TETRA Technologies, Inc. (a)		228,559		1,245,647
Willbros Group, Inc. (a)		42,443		64,513
				5,903,588
Oil, Gas & Consumable Fuels - 3.5%
Abraxas Petroleum Corporation (a)		187,231		303,314
Adams Resources & Energy, Inc.		2,350		85,869
Anadarko Petroleum Corporation		905		53,793
Ardmore Shipping Corporation		83		486
Carrizo Oil & Gas, Inc. (a)		35,406		1,197,785
Centennial Resource Development, Inc. – Class A (a)		2,887		42,872
Contango Oil & Gas Company (a)		112,496		880,844
Eclipse Resources Corporation (a)		36,458		99,895
Enbridge Energy Management, LLC (a)		1,659		40,502
Enerplus Corporation		100,598		676,019
EnLink Midstream, LLC		164		2,501
Evolution Petroleum Corporation		46,212		355,832
GasLog Ltd. (b)		80,244		1,231,745
Gener8 Maritime, Inc. (a)		62,396		263,311
Geopark Ltd. (a)		1,748		7,779
Gran Tierra Energy, Inc. (a)		341,742		994,469
Green Plains, Inc.		5,783		150,358
Hallador Energy Company		4,716		41,689
HollyFrontier Corporation		16,008		399,400
Marathon Petroleum Corporation		11,902		518,808
Navigator Holdings Ltd. (a)		5,727		43,525
Navios Maritime Acquisition Corporation		3,533		4,487
Newfield Exploration Company (a)		12,381		502,545
Overseas Shipholding Group, Inc. - Class A		4,549		39,849

5

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 95.0% (Continued)	Shares		Value
Energy - 5.4% (Continued)
Oil, Gas & Consumable Fuels - 3.5% (Continued)
PBF Energy, Inc. - Class A		987	$	21,517
PDC Energy, Inc. (a) (b)		4,171		255,807
Pengrowth Energy Corporation (a)		25,645		40,006
Penn West Petroleum Ltd. (a)		14,333		22,789
QEP Resources, Inc.		20,958		336,795
RSP Permian, Inc. (a)		6,672		240,859
Sanchez Energy Corporation (a)		146		930
StealthGas, Inc. (a)		4,519		14,009
Teekay Corporation (b)		124,471		812,796
Tesoro Corporation		5,044		428,589
TransGlobe Energy Corporation		32,999		60,058
Tsakos Energy Navigation Ltd. (b)		14,590		65,655
World Fuel Services Corporation (b)		15,099		607,735
				10,845,222
Financials - 8.3%
Banks - 2.6%
1st Constitution Bancorp		1,182		15,957
1st Source Corporation		1,243		42,958
Ameris Bancorp		77		2,795
Ames National Corporation		1,987		53,848
Associated Banc-Corp		67		1,360
BankUnited, Inc.		199		5,799
Boston Private Financial Holdings, Inc.		2		26
Bryn Mawr Bank Corporation		7,962		250,007
Cardinal Financial Corporation		29,912		786,087
Carolina Bank Holdings, Inc. (a)		68		1,359
Cascade Bancorp (a)		10,868		66,403
CenterState Banks, Inc.		12,220		228,270
Chemical Financial Corporation		409		17,567
City Holding Company		130		6,795
CNB Financial Corporation		797		15,581
Codorus Valley Bancorp, Inc.		2,778		58,066
Comerica, Inc.		7,622		397,030
County Bancorp, Inc.		595		11,722
East West Bancorp, Inc.		3,875		153,101
Eastern Virginia Bankshares, Inc.		6,993		57,692
Enterprise Bancorp, Inc.		18		470
Enterprise Financial Services Corporation		1,328		43,957
Farmers National Banc Corporation		7,368		77,364
First BanCorporation (Puerto Rico) (a)		44,791		229,778
First Citizens BancShares, Inc. - Class A		920		267,720
First Financial Bancorp		1,982		42,613
First Horizon National Corporation		650		10,017
First Internet Bancorp		139		3,649
First Interstate BancSystem, Inc. - Class A		23		734
First Merchants Corporation		109		3,068
First Mid-Illinois Bancshares, Inc.		3,559		94,278
First Midwest Bancorp, Inc.		8,961		173,037
Great Western Bancorp, Inc.		4,472		144,177
Guaranty Bancorp		2,229		42,351
Hanmi Financial Corporation		1,775		44,375

6

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 95.0% (Continued)	Shares		Value
Financials - 8.3% (Continued)
Banks - 2.6% (Continued)
Hilltop Holdings, Inc. (a)		10,798	$	266,711
Home BancShares, Inc.		12,080		259,841
Hope Bancorp, Inc.		8,338		134,575
IBERIABANK Corporation		3,450		226,493
LegacyTexas Financial Group, Inc.		24		821
MainSource Financial Group, Inc.		751		18,745
MB Financial, Inc.		18,627		677,837
Merchants Bancshares, Inc.		931		40,033
MidWestOne Financial Group, Inc.		1,453		42,253
People's Utah Bancorp		25		501
PrivateBancorp, Inc.		5,811		262,890
Republic First Bancorp, Inc. (a)		2,924		11,550
Royal Bancshares of Pennsylvania, Inc. - Class A (a)		8,078		21,003
Sandy Spring Bancorp, Inc.		88		2,790
Seacoast Banking Corporation of Florida (a)		40,676		708,169
Select Bancorp, Inc. (a)		2,401		19,448
Sierra Bancorp		2,341		41,810
South State Corporation		328		24,059
Sterling Bancorp		14,831		266,958
Sun Bancorp, Inc./NJ		191		4,393
TowneBank		159		3,943
United Community Banks, Inc.		50,659		1,092,715
United Community Financial Corporation		27,877		204,896
WesBanco, Inc.		130		4,278
West Bancorporation, Inc.		58		1,119
Wintrust Financial Corporation		4,852		261,765
Xenith Banchares, Inc. (a)		6,886		16,113
				7,965,720
Capital Markets - 1.6%
Affiliated Managers Group, Inc. (a)		2,900		384,714
American Capital Senior Floating Ltd.		2,416		26,938
Apollo Investment Corporation		6,694		39,562
Associated Capital Group, Inc. - Class A		351		11,916
BGC Partners, Inc. - Class A		1,854		15,926
BlackRock Capital Investment Corporation (b)		8,206		61,709
BlackRock, Inc.		1,523		519,708
CIFC Corporation		4,543		51,109
Eaton Vance Corporation		22,250		780,085
Fifth Street Finance Corporation		12,341		66,518
Fifth Street Senior Floating Rate Corporation		7,569		65,018
Gladstone Investment Corporation		33,818		288,468
Hercules Capital, Inc.		5,248		71,950
Houlihan Lokey, Inc. - Class A		1,744		42,501
Ladenburg Thalmann Financial Services, Inc. (a)		1,266		2,583
Legg Mason, Inc.		478		13,728
Medley Capital Corporation		8,849		66,721
Monroe Capital Corporation		30,095		445,707
MVC Capital, Inc.		2,716		23,602
OFS Capital Corporation		121		1,591
OM Asset Management plc (b)		89,922		1,265,203
Oppenheimer Holdings, Inc. - Class A		5,604		78,456

7

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 95.0% (Continued)	Shares		Value
Financials - 8.3% (Continued)
Capital Markets - 1.6% (Continued)
PennantPark Floating Rate Capital Ltd.		5,637	$	73,112
PennantPark Investment Corporation		9,293		69,976
Piper Jaffray Companies (a)		772		43,657
Silvercrest Asset Management Group, Inc. - Class A		1,927		22,257
Solar Capital Ltd.		3,400		68,408
Solar Senior Capital Ltd.		238		3,689
Stellus Capital Investment Corporation		139		1,515
TCP Capital Corporation		4,291		68,613
THL Credit, Inc.		6,273		57,774
TICC Capital Corporation		8,674		48,401
Triangle Capital Corporation		3,428		65,886
Virtu Financial, Inc. - Class A		1		13
Virtus Investment Partners, Inc.		16		1,717
				4,848,731
Consumer Finance - 1.3%
Discover Financial Services		7,235		407,547
FirstCash, Inc.		25,144		1,186,797
Nelnet, Inc. - Class A		8,965		351,249
OneMain Holdings, Inc. (a)		17,532		496,857
SLM Corporation (a)		143,767		1,013,557
Synchrony Financial		14,054		401,804
				3,857,811
Diversified Financial Services - 0.1%
Global Eagle Entertainment, Inc. (a)		194		1,562
Intercontinental Exchange, Inc.		1,303		352,318
On Deck Capital, Inc. (a)		350		1,712
PICO Holdings, Inc. (a)		152		1,839
TPG Specialty Lending, Inc.		3,745		67,110
				424,541
Insurance - 1.9%
Allied World Assurance Company Holdings A.G.		293		12,593
American Equity Investment Life Holding Company		13,969		250,464
American National Insurance Company		68		7,967
AMERISAFE, Inc. (b)		14,732		819,099
Argo Group International Holdings Ltd.		750		41,700
Arthur J. Gallagher & Company		10,750		518,472
Aspen Insurance Holdings Ltd.		882		42,556
Assured Guaranty Ltd.		2,792		83,453
Baldwin & Lyons, Inc. - Class B		733		18,032
Employers Holdings, Inc.		1,350		42,322
First American Financial Corporation		4,195		163,857
Heritage Insurance Holdings, Inc.		325		3,832
Horace Mann Educators Corporation (b)		35,288		1,268,604
Infinity Property & Casualty Corporation		22		1,803
James River Group Holdings Ltd.		3,357		126,357
Kingstone Companies, Inc.		5,682		58,525
National General Holdings Corporation		14,452		296,989
National Western Life Group, Inc. - Class A (a)		195		42,003
Navigators Group, Inc. (The) (b)		12,139		1,131,355
OneBeacon Insurance Group Ltd. - Class A		2,965		40,739
Safety Insurance Group, Inc.		381		25,794

8

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 95.0% (Continued)	Shares		Value
Financials - 8.3% (Continued)
Insurance - 1.9% (Continued)
Selective Insurance Group, Inc.		15,729	$	581,186
State National Companies, Inc.		3,286		33,616
United Fire Group, Inc. (b)		1,613		63,746
				5,675,064
Mortgage Real Estate Investment Trusts - 0.1%
Arbor Realty Trust, Inc.		5,664		41,517
Ares Commercial Real Estate Corporation		3,897		51,129
CYS Investments, Inc.		11,276		97,199
Dynex Capital, Inc.		6,343		43,576
Great Ajax Corporation		2,966		41,109
Newcastle Investment Corporation		9,205		40,502
Two Harbors Investment Corporation		4,766		39,701
ZAIS Financial Corporation (a)		1,330		17,822
				372,555
Thrifts & Mortgage Finance - 0.7%
Berkshire Hills Bancorp, Inc.		1,461		43,173
Essent Group Ltd. (a)		6,346		167,788
EverBank Financial Corporation		5,286		102,073
First Defiance Financial Corporation		7,260		286,625
First Financial Northwest, Inc.		7,581		120,538
FS Bancorp, Inc.		305		9,074
Guaranty Federal Bancshares, Inc.		997		16,520
Hingham Institution for Savings		963		138,142
Lake Sunapee Bank Group		95		1,731
Meridian Bancorp, Inc.		206		3,286
MSB Financial Corporation of Maryland (a)		436		5,842
NMI Holdings, Inc. - Class A (a)		88,333		675,747
PennyMac Financial Services, Inc. - Class A (a)		2,963		50,667
Poage Bankshares, Inc.		311		5,956
Radian Group, Inc.		17,241		234,305
Walker & Dunlop, Inc. (a)		1,768		42,556
Washington Federal, Inc.		9,307		253,616
WSFS Financial Corporation		3,344		117,207
				2,274,846
Health Care - 18.6%
Biotechnology - 7.5%
AbbVie, Inc.		6,084		339,365
Acorda Therapeutics, Inc. (a)		169		2,991
Agios Pharmaceuticals, Inc. (a)		21,309		1,019,423
Aldeyra Therapeutics, Inc. (a)		693		3,673
AMAG Pharmaceuticals, Inc. (a)		37,104		953,573
Amgen, Inc.		3,293		464,840
Ardelyx, Inc. (a)		53,814		661,912
Arena Pharmaceuticals, Inc. (a) (b)		629,773		932,064
Aviragen Therapeutics, Inc. (a)		5,637		7,103
Biogen, Inc. (a)		1,818		509,367
BioMarin Pharmaceutical, Inc. (a)		4,426		356,381
BioSpecifics Technologies Corporation (a) (b)		29,948		1,299,444
Biostage, Inc. (a)		1		1
Celgene Corporation (a)		3,692		377,248
Cepheid (a)		24,944		1,319,538

9

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 95.0% (Continued)	Shares		Value
Health Care - 18.6% (Continued)
Biotechnology - 7.5% (Continued)
ChemoCentryx, Inc. (a)		74,315	$	444,404
China Biologic Products, Inc. (a) (b)		8,668		1,023,777
Coherus Biosciences, Inc. (a)		17,446		477,148
CoLucid Pharmaceuticals, Inc. (a)		1,669		50,738
Concert Pharmaceuticals, Inc. (a)		5,686		43,896
Corvus Pharmaceuticals, Inc. (a)		9,750		130,162
Edge Therapeutics, Inc. (a)		13,529		141,649
Eiger BioPharmaceuticals, Inc. (a)		2,044		23,404
Enzymotec Ltd. (a)		13,375		90,950
Esperion Therapeutics, Inc. (a)		247		2,544
Exelixis, Inc. (a)		331		3,505
Fate Therapeutics, Inc. (a)		1,170		2,457
FibroGen, Inc. (a) (b)		76,657		1,268,673
Foundation Medicine, Inc. (a)		68		1,544
Genomic Health, Inc. (a) (b)		43,404		1,293,873
Gilead Sciences, Inc.		6,988		514,526
GlycoMimetics, Inc. (a)		22,429		135,247
Ignyta, Inc. (a)		8,219		41,095
ImmunoGen, Inc. (a)		512,563		932,865
Intec Pharma Ltd. (a)		7,222		36,471
Ironwood Pharmaceuticals, Inc. - Class A (a)		51,347		655,701
Karyopharm Therapeutics, Inc. (a)		133,088		963,557
Lexicon Pharmaceuticals, Inc. (a)		2,879		42,696
MacroGenics, Inc. (a)		2,937		69,578
Medgenics, Inc. (a)		19,873		95,788
Myriad Genetics, Inc. (a)		82		1,616
Natera, Inc. (a)		137,105		1,162,650
PDL BioPharma, Inc.		745		2,399
Pfenex, Inc. (a) (b)		16,351		130,971
PharmAthene, Inc. (a)		53,099		146,022
Portola Pharmaceuticals, Inc. (a)		284		5,163
Proteon Therapeutics, Inc. (a)		4,142		41,213
Proteostasis Therapeutics, Inc. (a)		4,781		34,041
Rigel Pharmaceuticals, Inc. (a)		4,258		11,071
Sage Therapeutics, Inc. (a)		60		2,612
SciClone Pharmaceuticals, Inc. (a)		116,092		1,039,023
Sinovac Biotech Ltd. (a)		23,825		147,477
Spark Therapeutics, Inc. (a)		18,653		876,878
Stemline Therapeutics, Inc. (a)		3,972		45,281
Syndax Pharmaceuticals, Inc. (a)		3,496		41,288
TRACON Pharmaceuticals, Inc. (a)		201		1,126
Trevena, Inc. (a)		121,097		590,953
Trillium Therapeutics, Inc. (a)		1,357		18,523
uniQure N.V. (a)		35,216		239,117
Vanda Pharmaceuticals, Inc. (a)		81,322		1,207,632
Verastem, Inc. (a)		77,839		97,299
Vericel Corporation (a)		58,057		127,725
Versartis, Inc. (a)		3,510		38,785
Voyager Therapeutics, Inc. (a)		325		3,900
Xencor, Inc. (a)		18,719		398,527

10

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 95.0% (Continued)	Shares		Value
Health Care - 18.6% (Continued)
Biotechnology - 7.5% (Continued)
Xenon Pharmaceuticals, Inc. (a)		2,938	$	22,329
				23,166,792
Health Care Equipment & Supplies - 4.8%
Accuray, Inc. (a)		68		333
Alere, Inc. (a)		67		2,994
Analogic Corporation		176		14,406
AngioDynamics, Inc. (a) (b)		59,453		947,681
Antares Pharma, Inc. (a)		14,800		26,048
Atrion Corporation		182		79,925
Baxter International, Inc.		10,578		503,407
Bovie Medical Corporation (a)		46		253
Cantel Medical Corporation (b)		18,545		1,320,960
CONMED Corporation		18,386		735,440
CRH Medical Corporation (a)		25,538		125,136
CryoLife, Inc.		5,545		94,265
Cutera, Inc. (a)		4,461		58,439
Cynosure, Inc. - Class A (a) (b)		24,287		1,035,841
Derma Sciences, Inc. (a)		14,478		64,427
Entellus Medical, Inc. (a)		96		1,963
Exactech, Inc. (a) (b)		2,679		64,698
FONAR Corporation (a)		8,873		161,045
Glaukos Corporation (a)		5,138		171,609
Haemonetics Corporation (a) (b)		38,896		1,299,515
Halyard Health, Inc. (a) (b)		40,286		1,303,252
Hill-Rom Holdings, Inc. (b)		27,453		1,521,171
ICU Medical, Inc. (a) (b)		4,648		647,466
Integra LifeSciences Holdings Corporation (a)		11,416		907,686
IRIDEX Corporation (a)		101		1,369
K2M Group Holdings, Inc. (a)		1,491		25,451
Kewaunee Scientific Corporation		1,917		42,270
Lantheus Holdings, Inc. (a)		6,503		56,251
LeMaitre Vascular, Inc. (b)		4,129		86,461
LivaNova plc (a)		729		41,320
Masimo Corporation (a) (b)		8,865		487,575
Merit Medical Systems, Inc. (a)		16,190		355,371
Natus Medical, Inc. (a)		1,374		54,067
Nuvectra Corporation (a)		5,455		29,293
OraSure Technologies, Inc. (a) (b)		17,418		130,809
Orthofix International N.V. (a) (b)		36,146		1,324,751
RTI Surgical, Inc. (a)		24,077		61,396
SeaSpine Holdings Corporation (a)		13,377		124,540
Senseonics Holdings, Inc. (a)		1,853		4,336
Syneron Medical Ltd. (a)		39,746		298,095
Teleflex, Inc.		2,443		349,667
Utah Medical Products, Inc. (b)		2,264		140,708
Vascular Solutions, Inc. (a)		23		1,049
				14,702,739
Health Care Providers & Services - 2.3%
Alliance HealthCare Services, Inc. (a)		8,798		73,463
Almost Family, Inc. (a)		1,041		40,859
Amedisys, Inc. (a)		975		42,179

11

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 95.0% (Continued)	Shares		Value
Health Care - 18.6% (Continued)
Health Care Providers & Services - 2.3% (Continued)
American Renal Associates Holdings, Inc. (a)		2,264	$	39,982
AMN Healthcare Services, Inc. (a)		11,335		371,788
BioTelemetry, Inc. (a)		6,154		108,926
Civitas Solutions, Inc. (a) (b)		59,557		1,018,425
CorVel Corporation (a) (b)		19,918		688,167
Cross Country Healthcare, Inc. (a)		120		1,340
DaVita HealthCare Partners, Inc. (a)		5,826		341,520
Envision Healthcare Holdings, Inc. (a)		41,833		827,457
HCA Holdings, Inc. (a)		3,657		279,870
HealthSouth Corporation		5,864		235,440
Kindred Healthcare, Inc. (b)		134,465		1,324,480
Landauer, Inc.		81		3,524
LHC Group, Inc. (a)		3,157		108,190
Magellan Health, Inc. (a)		6,785		349,088
McKesson Corporation		3,281		417,245
National Research Corporation - Class A		1,983		30,439
PharMerica Corporation (a)		1,592		37,890
Providence Service Corporation (The) (a)		1,598		64,663
Psychemedics Corporation		57		1,338
RadNet, Inc. (a) (b)		55,571		386,219
Surgery Partners, Inc. (a)		2,340		37,674
Team Health Holdings, Inc. (a)		3		129
Tenet Healthcare Corporation (a)		44		867
Triple-S Management Corporation - Class B (a)		68		1,406
Universal Health Services, Inc. - Class B		3,417		412,466
Veracyte, Inc. (a)		500		3,630
				7,248,664
Health Care Technology - 0.0% (c)
Evolent Health, Inc. - Class A (a)		49		1,032
iCAD, Inc. (a)		1,868		7,042
Quality Systems, Inc.		165		2,127
				10,201
Life Sciences Tools & Services - 1.7%
Bruker Corporation		51,334		1,051,834
Cambrex Corporation (a)		1,056		42,557
Charles River Laboratories International, Inc. (a)		9,498		720,708
Enzo Biochem, Inc. (a)		24,001		146,406
Harvard Bioscience, Inc. (a)		56,206		134,894
INC Research Holdings, Inc. - Class A (a) (b)		31,633		1,445,628
NanoString Technologies, Inc. (a)		1,976		38,433
NeoGenomics, Inc. (a)		73		588
PAREXEL International Corporation (a)		3,935		229,253
PerkinElmer, Inc.		683		34,758
PRA Health Sciences, Inc. (a)		4,734		251,944
VWR Corporation (a) (b)		37,704		1,037,237
				5,134,240
Pharmaceuticals - 2.3%
Aclaris Therapeutics, Inc. (a)		1,945		41,331
Agile Therapeutics, Inc. (a)		11,364		86,366
Aratana Therapeutics, Inc. (a) (b)		139,663		1,131,270
Assembly Biosciences, Inc. (a)		10,748		151,762

12

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 95.0% (Continued)	Shares		Value
Health Care - 18.6% (Continued)
Pharmaceuticals - 2.3% (Continued)
Catalent, Inc. (a) (b)		55,275	$	1,260,823
Corcept Therapeutics, Inc. (a)		696		4,830
Corium International, Inc. (a)		14,912		70,832
Cumberland Pharmaceuticals, Inc. (a)		2,866		13,614
Dipexium Pharmaceuticals, Inc. (a)		27		45
Endo International plc (a)		576		10,800
Endocyte, Inc. (a)		34,275		94,256
Heska Corporation (a)		3,376		166,774
Impax Laboratories, Inc. (a) (b)		31,623		635,622
Juniper Pharmaceuticals, Inc. (a)		16,616		93,881
Mallinckrodt plc (a)		7,674		454,761
MediWound Ltd. (a)		3,344		21,402
Paratek Pharmaceuticals, Inc. (a)		970		10,379
Phibro Animal Health Corporation - Class A (b)		54,659		1,418,401
Prestige Brands Holdings, Inc. (a) (b)		28,375		1,284,820
Sucampo Pharmaceuticals, Inc. - Class A (a)		7,366		83,972
Supernus Pharmaceuticals, Inc. (a)		244		4,831
VIVUS, Inc. (a)		3,909		4,105
				7,044,877
Industrials - 11.9%
Aerospace & Defense - 0.7%
Astronics Corporation (a)		8,660		320,593
Astronics Corporation - Class B (a)		53		1,961
Ducommun, Inc. (a)		5,161		98,266
LMI Aerospace, Inc. (a)		3,785		28,425
Moog, Inc. - Class A (a)		1,106		64,225
Rockwell Collins, Inc.		791		66,697
Sparton Corporation (a)		51,524		1,232,969
United Technologies Corporation		3,753		383,557
				2,196,693
Air Freight & Logistics - 0.0% (c)
Forward Air Corporation		1,064		43,964
Park-Ohio Holdings Corporation		482		15,400
				59,364
Airlines - 0.7%
Delta Air Lines, Inc.		6,188		258,473
Hawaiian Holdings, Inc. (a)		5,618		252,950
SkyWest, Inc. (b)		44,903		1,353,825
Spirit Airlines, Inc. (a)		5,219		250,147
				2,115,395
Building Products - 0.6%
Armstrong Flooring, Inc. (a)		47,402		767,438
PGT, Inc. (a)		72		706
Ply Gem Holdings, Inc. (a) (b)		46,181		632,680
TopBuild Corporation (a)		2,604		78,458
Trex Company, Inc. (a)		28		1,507
Universal Forest Products, Inc.		484		41,619
USG Corporation (a)		15,248		383,945
				1,906,353
Commercial Services & Supplies - 1.2%
ACCO Brands Corporation (a)		11,313		125,574

13

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 95.0% (Continued)	Shares		Value
Industrials - 11.9% (Continued)
Commercial Services & Supplies - 1.2% (Continued)
AMREP Corporation (a)		1,153	$	8,509
ARC Document Solutions, Inc. (a)		161		552
Brink's Company (The)		1,132		44,771
Casella Waste Systems, Inc. - Class A (a)		7,453		83,474
Cenveo, Inc. (a)		729		6,014
Civeo Corporation (a)		646,751		730,829
Essendant, Inc.		28,667		440,039
Heritage-Crystal Clean, Inc. (a)		6,664		87,298
HNI Corporation		1,803		73,310
Interface, Inc.		3,052		48,374
Johnson Controls International plc		166		6,693
Knoll, Inc.		1,932		41,809
Pointer Telocation Ltd. (a)		4,229		31,506
R.R. Donnelley & Sons Company (a)		24,541		435,603
Tetra Tech, Inc.		1,072		41,218
Viad Corporation (b)		35,558		1,475,657
West Corporation		1,999		39,420
				3,720,650
Construction & Engineering - 0.7%
AECOM (a)		19,231		535,583
Argan, Inc.		948		53,894
Comfort Systems USA, Inc.		2,309		66,615
EMCOR Group, Inc.		4,418		267,112
Goldfield Corporation (The) (a)		134		369
HC2 Holdings, Inc.		179		712
KBR, Inc. (b)		5,466		80,951
MYR Group, Inc. (a)		5,259		156,929
Orion Marine Group, Inc. (a)		5,049		40,796
Sterling Construction Company, Inc. (a)		140,953		1,026,138
				2,229,099
Electrical Equipment - 2.4%
Allied Motion Technologies, Inc.		4,985		98,603
AZZ, Inc.		781		41,588
Babcock & Wilcox Enterprises, Inc. (a) (b)		61,799		972,716
Broadwind Energy, Inc. (a)		31,676		137,791
Encore Wire Corporation (b)		38,495		1,314,604
EnerSys, Inc. (b)		17,905		1,166,153
General Cable Corporation		88,421		1,237,894
LSI Industries, Inc.		4,665		40,119
Powell Industries, Inc.		18,982		671,773
Preformed Line Products Company		474		20,391
Regal Beloit Corporation (b)		27,507		1,625,664
Vicor Corporation (a)		5,870		74,843
				7,402,139
Machinery - 2.7%
Accuride Corporation (a)		146,608		359,190
AGCO Corporation		8,226		420,184
Alamo Group, Inc.		1,025		66,543
Albany International Corporation - Class A		5,988		244,011
Astec Industries, Inc.		803		44,454
Chart Industries, Inc. (a) (b)		23,507		652,084

14

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 95.0% (Continued)	Shares		Value
Industrials - 11.9% (Continued)
Machinery - 2.7% (Continued)
China Yuchai International Ltd.		10,091	$	112,414
Commercial Vehicle Group, Inc. (a) (b)		170,907		775,918
Crane Company		13,496		917,863
Federal Signal Corporation		8,113		99,628
Global Brass & Copper Holdings, Inc. (b)		1,912		54,874
Harsco Corporation (b)		15,993		155,932
Hillenbrand, Inc.		8,515		258,430
Ingersoll-Rand plc		8,050		541,685
John Bean Technologies Corporation		17		1,357
L.B. Foster Company - Class A		9,880		122,512
Lydall, Inc. (a)		1,526		71,341
Manitex International, Inc. (a)		10,124		56,188
Meritor, Inc. (a) (b)		121,171		1,245,638
Mueller Industries, Inc.		1,463		44,314
Mueller Water Products, Inc. - Series A		3,390		41,765
Navistar International Corporation (a)		298		6,645
Rexnord Corporation (a)		2,057		40,914
SPX Corporation (a)		11,313		215,060
SPX FLOW, Inc. (a)		6,477		162,508
Tennant Company		32		2,014
Terex Corporation		65,199		1,556,952
Titan International, Inc. (b)		13,796		140,581
Twin Disc, Inc. (a)		3,165		34,214
				8,445,213
Marine - 0.4%
Global Ship Lease, Inc. - Class A		13,212		17,308
Matson, Inc. (b)		32,457		1,296,332
				1,313,640
Professional Services - 0.8%
Advisory Board Company (The) (a)		447		17,791
CBIZ, Inc. (a)		58		641
CRA International, Inc. (a)		1,440		44,842
Franklin Covey Company (a)		1,798		32,903
FTI Consulting, Inc. (a)		6,364		247,941
Heidrick & Struggles International, Inc.		2,670		49,395
Hill International, Inc. (a)		22		85
Huron Consulting Group, Inc. (a)		2		112
Kelly Services, Inc. - Class A (b)		68,556		1,284,054
Mistras Group, Inc. (a)		2,330		48,790
Navigant Consulting, Inc. (a)		1,870		43,758
On Assignment, Inc. (a) (b)		14,325		492,923
TriNet Group, Inc. (a)		645		12,107
TrueBlue, Inc. (a) (b)		3,058		53,515
				2,328,857
Road & Rail - 0.9%
Avis Budget Group, Inc. (a)		50		1,618
Kansas City Southern		4,456		391,059
Roadrunner Transportation Systems, Inc. (a) (b)		134,742		1,024,039
Ryder System, Inc.		5,975		414,605
Universal Logistics Holdings, Inc.		1,383		17,218
USA Truck, Inc. (a)		6,278		51,668

15

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 95.0% (Continued)	Shares		Value
Industrials - 11.9% (Continued)
Road & Rail - 0.9% (Continued)
YRC Worldwide, Inc. (a) (b)		78,054	$	693,120
				2,593,327
Trading Companies & Distributors - 0.8%
Bluelinx Holdings, Inc. (a)		4,195		33,057
HD Supply Holdings, Inc. (a)		1,034		34,122
Huttig Building Products, Inc. (a)		641		3,096
MFC Bancorp Ltd. (a)		9,753		20,091
Textainer Group Holdings Ltd.		138,563		1,053,079
Univar, Inc. (a)		10,766		239,543
Veritiv Corporation (a)		10,756		580,286
WESCO International, Inc. (a)		6,511		352,896
Willis Lease Finance Corporation (a)		1,321		35,152
				2,351,322
Information Technology - 16.5%
Communications Equipment - 1.5%
Applied Optoelectronics, Inc. (a)		75		1,442
AudioCodes Ltd. (a)		25,746		134,394
Bel Fuse, Inc. - Class B (b)		7,600		181,260
Black Box Corporation (b)		107,581		1,237,182
Ceragon Networks Ltd. (a)		8,388		21,557
CIENA Corporation (a)		2,287		44,322
Digi International, Inc. (a)		1,363		12,471
EchoStar Corporation - Class A (a)		11,207		523,815
Extreme Networks, Inc. (a)		292,528		1,231,543
Finisar Corporation (a)		4,885		133,751
MRV Communications, Inc. (a)		3,112		35,477
Napco Security Technologies, Inc. (a)		19,714		137,998
ShoreTel, Inc. (a)		6,446		42,866
Sierra Wireless, Inc. (a)		41,099		561,001
Sonus Networks, Inc. (a)		5,694		32,968
TESSCO Technologies, Inc.		7,627		88,855
UTStarcom Holdings Corporation (a)		20,927		42,900
ViaSat, Inc. (a)		342		24,166
Viavi Solutions, Inc. (a)		34,580		246,210
				4,734,178
Electronic Equipment, Instruments & Components - 3.0%
Anixter International, Inc. (a)		425		27,944
AVX Corporation		45,478		637,602
Benchmark Electronics, Inc. (a) (b)		50,519		1,270,553
Celestica, Inc. (a)		21,074		249,727
Electro Scientific Industries, Inc. (a)		26,847		139,067
FARO Technologies, Inc. (a)		8,554		286,987
FLIR Systems, Inc.		17,705		582,849
Frequency Electronics, Inc. (a)		2,402		21,834
IEC Electronics Corporation (a)		4,167		15,001
II-VI, Inc. (a) (b)		1,529		42,506
Insight Enterprises, Inc. (a) (b)		41,709		1,200,802
Iteris, Inc. (a)		31,675		108,012
Jabil Circuit, Inc.		70,557		1,505,686
Key Tronic Corporation (a)		12,607		97,326
LRAD Corporation		7,956		13,843

16

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 95.0% (Continued)	Shares		Value
Information Technology - 16.5% (Continued)
Electronic Equipment, Instruments & Components - 3.0% (Continued)
Magal Security Systems Ltd. (a)		12,990	$	59,234
MOCON, Inc.		1,608		24,844
Novanta, Inc. (a)		3,333		58,161
Orbotech Ltd. (a) (b)		2,278		62,417
Park Electrochemical Corporation		116		1,790
PC Connection, Inc.		1,917		44,494
Plexus Corporation (a)		987		45,214
Richardson Electronics Ltd.		800		5,000
Rogers Corporation (a) (b)		23,127		1,258,803
Sanmina Corporation (a) (b)		8,995		248,712
ScanSource, Inc. (a) (b)		36,047		1,261,645
				9,270,053
Internet Software & Services - 3.5%
Akamai Technologies, Inc. (a)		6,224		432,381
Alphabet, Inc. - Class A (a)		438		354,736
Autobytel, Inc. (a) (b)		40,374		660,115
Bankrate, Inc. (a)		5,688		44,366
Bazaarvoice, Inc. (a) (b)		214,794		1,052,491
Carbonite, Inc. (a)		8,315		141,771
ChannelAdvisor Corporation (a)		46,081		506,891
Cornerstone OnDemand, Inc. (a)		6,203		256,184
Cvent, Inc. (a)		1,290		40,274
Demand Media, Inc. (a)		17,683		102,561
DHI Group, Inc. (a)		3,980		22,686
EarthLink Holdings Corporation (b)		214,203		1,225,241
Everyday Health, Inc. (a) (b)		33,274		349,377
Five9, Inc. (a)		215		3,079
IAC/InterActiveCorp		7,745		499,088
Limelight Networks, Inc. (a)		68,135		121,280
Liquidity Services, Inc. (a) (b)		135,735		1,201,255
LivePerson, Inc. (a)		61,288		520,948
LogMeIn, Inc.		21		1,995
Marchex, Inc. - Class B (a)		8,442		21,274
Mimecast Ltd. (a)		4,844		98,043
Monster Worldwide, Inc. (a)		16,628		56,702
Points International Ltd. (a)		6,967		58,384
QuinStreet, Inc. (a)		61,789		179,188
Rackspace Hosting, Inc. (a) (b)		48,912		1,562,249
Sohu.com, Inc. (a) (b)		26,168		979,468
WebMD Health Corporation (a)		4,580		225,015
Weibo Corporation - ADR (a)		167		7,679
XO Group, Inc. (a) (b)		2,183		40,167
Zix Corporation (a)		24,119		98,164
				10,863,052
IT Services - 1.4%
Accenture plc - Class A		36		4,185
Broadridge Financial Solutions, Inc.		7,990		516,633
CACI International, Inc. - Class A (a)		394		38,553
Cardtronics plc (a)		2,045		102,250
Convergys Corporation		3,852		112,478
CoreLogic, Inc. (a)		15,615		664,574

17

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 95.0% (Continued)	Shares		Value
Information Technology - 16.5% (Continued)
IT Services - 1.4% (Continued)
Edgewater Technology, Inc. (a)		6,253	$	50,962
Everi Holdings, Inc. (a)		19,118		38,427
EVERTEC, Inc.		2,816		42,662
ExlService Holdings, Inc. (a)		973		42,841
Fidelity National Information Services, Inc.		726		53,666
Forrester Research, Inc.		4,101		152,762
Hackett Group, Inc. (The)		2,740		44,169
InterXion Holding N.V. (a)		1,815		67,572
MoneyGram International, Inc. (a)		27,660		193,897
NCI, Inc. - Class A		6,634		77,950
PRGX Global, Inc. (a)		8,733		39,735
Rightside Group Ltd. (a)		408		3,431
Sykes Enterprises, Inc. (a)		1,529		40,886
Total System Services, Inc.		8,670		432,460
Unisys Corporation (a) (b)		90,789		948,745
Xerox Corporation		54,110		528,655
				4,197,493
Semiconductors & Semiconductor Equipment - 3.5%
Advanced Energy Industries, Inc. (a)		814		38,828
Alpha & Omega Semiconductor Ltd. (a)		8,594		181,591
Amkor Technology, Inc. (a)		129,015		1,195,969
Amtech Systems, Inc. (a)		1,194		5,385
Applied Materials, Inc.		9,210		267,827
AXT, Inc. (a)		8,076		41,591
Brooks Automation, Inc.		12,743		166,041
Cavium, Inc. (a)		1,577		89,022
ChipMOS TECHNOLOGIES, INC. - ADR (a) (b) (d)		3,718		61,156
Cirrus Logic, Inc. (a)		307		16,572
Cohu, Inc. (b)		94,289		1,055,094
Cyberoptics Corporation (a)		1,628		39,316
DSP Group, Inc. (a)		3,511		38,270
Entegris, Inc. (a)		33,605		534,319
Exar Corporation (a)		9,361		84,436
GSI Technology, Inc. (a)		14,031		74,084
Kulicke & Soffa Industries, Inc. (a) (b)		85,044		1,125,983
MagnaChip Semiconductor Corporation (a)		120,926		749,741
MaxLinear, Inc. - Class A (a)		3,274		61,257
Nanometrics, Inc. (a)		15,205		317,632
Nova Measuring Instruments Ltd. (a)		98		1,173
ON Semiconductor Corporation (a)		43,661		509,524
Photronics, Inc. (a)		1,013		9,826
Rudolph Technologies, Inc. (a) (b)		75,048		1,358,369
Semtech Corporation (a)		1,666		40,317
SunEdison Semiconductor Ltd. (a)		92,790		1,103,273
Teradyne, Inc.		23,712		552,252
Ultra Clean Holdings, Inc. (a)		5,550		47,175
Ultratech, Inc. (a)		14,496		308,620
Xcerra Corporation (a)		15,753		86,799
Xilinx, Inc.		9,879		502,545
				10,663,987

18

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 95.0% (Continued)	Shares		Value
Information Technology - 16.5% (Continued)
Software - 2.2%
A10 Networks, Inc. (a)		9,321	$	71,399
Allot Communications Ltd. (a)		6		31
American Software, Inc. - Class A		9,785		102,058
ANSYS, Inc. (a)		4,182		382,026
CDK Global, Inc.		9,568		522,508
CommVault Systems, Inc. (a)		5,640		301,740
ePlus, Inc. (a)		243		22,247
Evolving Systems, Inc.		3,595		15,279
Fair Isaac Corporation		2,237		269,961
Fleetmatics Group plc (a)		803		48,100
Guidewire Software, Inc. (a)		6,878		395,141
Mentor Graphics Corporation		46,316		1,338,532
MicroStrategy, Inc. - Class A (a)		1,480		288,319
Model N, Inc. (a)		202		2,081
Monotype Imaging Holdings, Inc.		3,592		68,607
Net 1 UEPS Technologies, Inc. (a)		5,937		60,973
Oracle Corporation		11,970		459,887
QAD, Inc. - Class A		30		721
Rosetta Stone, Inc. (a)		6,373		45,376
Rubicon Project, Inc. (The) (a)		162,494		1,244,704
Sapiens International Corporation N.V.		3,006		40,912
Synchronoss Technologies, Inc. (a)		4,028		147,868
Synopsys, Inc. (a)		6,599		391,387
Telenav, Inc. (a)		26,499		144,419
TubeMogul, Inc. (a)		159		1,161
Workiva, Inc. (a)		38		629
Zynga, Inc. - Class A (a)		187,050		525,610
				6,891,676
Technology Hardware, Storage & Peripherals - 1.4%
AstroNova, Inc.		4,586		66,726
Concurrent Computer Corporation		1,349		8,337
Eastman Kodak Company (a) (b)		86,572		1,289,923
HP, Inc.		906		13,128
Intevac, Inc. (a)		205		1,179
Lexmark International, Inc. - Class A (b)		4,839		192,060
Silicon Graphics International Corporation (a) (b)		162,604		1,260,181
Super Micro Computer, Inc. (a) (b)		58,861		1,395,005
TransAct Technologies, Inc.		2,431		17,503
				4,244,042
Materials - 5.4%
Chemicals - 1.5%
A. Schulman, Inc.		851		24,466
Air Products & Chemicals, Inc.		2,992		399,193
Ashland Global Holdings, Inc.		4,289		479,210
Axalta Coating Systems Ltd. (a)		4,946		124,244
Balchem Corporation		41		3,112
Chemours Company (The)		191		3,138
Codexis, Inc. (a)		1,813		9,156
Core Molding Technologies, Inc. (a)		35,822		624,019
FutureFuel Corporation		15,914		174,417
H.B. Fuller Company		6,003		252,546

19

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 95.0% (Continued)	Shares		Value
Materials - 5.4% (Continued)
Chemicals - 1.5% (Continued)
Hawkins, Inc.		383	$	15,454
Huntsman Corporation (b)		96,845		1,641,523
Innophos Holdings, Inc.		3,512		160,990
Innospec, Inc.		845		50,911
Intrepid Potash, Inc. (a)		33,735		35,084
KMG Chemicals, Inc. (b)		3,481		94,474
Northern Technologies International Corporation (a)		612		8,507
Olin Corporation		14		307
Orion Engineered Carbons S.A.		2,327		43,631
Platform Specialty Products Corporation (a)		100		729
PolyOne Corporation		3,273		95,670
Stepan Company		3,423		243,136
Tredegar Corporation		4,929		91,187
Valhi, Inc.		1,400		2,744
				4,577,848
Construction Materials - 0.2%
Headwaters, Inc. (a)		43,532		713,925
United States Lime & Minerals, Inc.		1,237		81,382
				795,307
Containers & Packaging - 0.7%
AEP Industries, Inc.		4,216		461,863
Crown Holdings, Inc. (a)		7,288		395,374
Graphic Packaging Holding Company		4,743		59,288
Myers Industries, Inc.		9,667		116,487
Owens-Illinois, Inc. (a)		30,588		590,348
Sealed Air Corporation		12,250		558,968
				2,182,328
Metals & Mining - 2.9%
Alexco Resource Corporation (a)		1,459		2,568
AuRico Metals, Inc. (a)		7,127		6,536
Coeur Mining, Inc. (a)		289		3,231
Commercial Metals Company		10,216		160,493
Constellium N.V. - Class A (a) (b)		209,556		1,100,169
Dominion Diamond Corporation (b)		125,481		1,067,843
Eldorado Gold Corporation (a)		5,200		16,432
Fortuna Silver Mines, Inc. (a)		6,780		46,375
Handy & Harman Ltd. (a)		3,688		70,625
Hudbay Minerals, Inc.		657		2,792
Kaiser Aluminum Corporation		300		21,747
Materion Corporation		7,069		214,191
Mountain Province Diamonds, Inc. (a)		701		3,680
Nevsun Resources Ltd. (b)		216,741		630,716
New Gold, Inc. (a)		11,511		45,584
Olympic Steel, Inc.		46,907		1,083,083
Pan American Silver Corporation		2,948		47,257
Real Industry, Inc. (a)		227,774		1,218,591
Reliance Steel & Aluminum Company		7,582		521,490
Schnitzer Steel Industries, Inc. - Class A		9,614		232,178
Steel Dynamics, Inc.		13,337		366,234
SunCoke Energy, Inc. (b)		99,975		1,020,745
Synalloy Corporation		10,577		108,943

20

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 95.0% (Continued)	Shares		Value
Materials - 5.4% (Continued)
Metals & Mining - 2.9% (Continued)
TimkenSteel Corporation (a) (b)		81,949	$	839,977
United States Steel Corporation		30		580
Universal Stainless & Alloy Products, Inc. (a)		9,647		101,294
Worthington Industries, Inc.		236		11,092
				8,944,446
Paper & Forest Products - 0.1%
Domtar Corporation		701		25,201
Louisiana-Pacific Corporation (a)		7,178		131,716
Mercer International, Inc.		8,554		67,577
Schweitzer-Mauduit International, Inc.		1,195		44,107
				268,601
Real Estate - 5.4%
Equity Real Estate Investment Trusts (REITs) - 5.4%
Agree Realty Corporation		60		2,901
Alexandria Real Estate Equities, Inc.		13,918		1,500,500
BRT Realty Trust (a)		1,934		14,892
CBL & Associates Properties, Inc.		122,981		1,315,897
Cedar Realty Trust, Inc.		10,437		70,659
CorEnergy Infrastructure Trust, Inc.		47,714		1,292,095
Corporate Office Properties Trust		53,968		1,440,406
DDR Corporation		25,908		396,133
Equity Lifestyle Properties, Inc.		5,800		439,872
First Potomac Realty Trust		118,975		1,061,257
Forest City Realty Trust, Inc. - Class A		63,197		1,364,423
Global Net Lease, Inc.		63,830		472,980
Healthcare Realty Trust, Inc.		1,628		51,917
Hudson Pacific Properties, Inc.		44,143		1,484,088
Kilroy Realty Corporation		20,614		1,480,704
Pennsylvania Real Estate Investment Trust		15,138		295,342
Retail Properties of America, Inc. - Class A		93		1,448
SL Green Realty Corporation		13,902		1,365,454
TIER REIT, Inc.		93,535		1,379,641
UMH Properties, Inc.		2,027		24,567
Washington Prime Group, Inc.		120,805		1,267,245
				16,722,421
Real Estate Management & Development - 0.0% (c)
Realogy Holdings Corporation		636		14,558
Telecommunication Services - 1.6%
Diversified Telecommunication Services - 1.1%
8x8, Inc. (a)		4,360		62,130
ATN International, Inc.		1,429		96,658
Cincinnati Bell, Inc. (a)		7,589		149,124
Cogent Communications Holdings, Inc.		136		5,018
Hawaiian Telcom Holdco, Inc. (a)		6,861		140,788
IDT Corporation - Class B (b)		72,997		1,305,916
Inteliquent, Inc.		2,669		44,812
Level 3 Communications, Inc. (a)		11,087		622,535
Lumos Networks Corporation (a)		55,440		787,802
RADCOM Ltd. (a)		2,092		42,468
				3,257,251

21

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 95.0% (Continued)	Shares		Value
Telecommunication Services - 1.6% (Continued)
Wireless Telecommunication Services - 0.5%
Telephone and Data Systems, Inc. (b)		61,438	$	1,587,558
Utilities - 1.4%
Electric Utilities - 0.3%
ALLETE, Inc.		677		41,493
El Paso Electric Company		3,431		158,512
FirstEnergy Corporation		15,467		530,363
NRG Yield, Inc. - Class A		19,697		290,137
Otter Tail Corporation		31		1,115
				1,021,620
Gas Utilities - 0.1%
Chesapeake Utilities Corporation		43		2,754
Gas Natural, Inc.		9,955		122,944
Spire, Inc.		4,187		262,944
				388,642
Independent Power and Renewable Electricity Producers - 0.9%
Atlantic Power Corporation		11,038		25,387
Dynegy, Inc. (a)		168		1,789
NRG Energy, Inc.		97,421		1,035,585
Ormat Technologies, Inc.		3,026		145,944
Talen Energy Corporation (a) (b)		99,892		1,391,496
				2,600,201
Multi-Utilities - 0.0% (c)
NorthWestern Corporation		918		52,831
Water Utilities - 0.1%
Artesian Resources Corporation - Class A		1,401		39,536
Consolidated Water Company Ltd. (b)		11,341		127,019
Middlesex Water Company		1,201		43,356
Pure Cycle Corporation (a)		9,257		48,600
				258,511
Total Common Stocks (Cost $289,972,798)			$	292,894,985

INVESTMENT COMPANIES - 3.6%	Shares		Value
Aberdeen Asia-Pacific Income Fund, Inc.		8,097	$	39,837
Aberdeen Australia Equity Fund, Inc.		2,400		13,344
Adams Diversified Equity Fund		19,158		244,839
Adams Natural Resources Fund, Inc.		12,670		242,884
Advent/Claymore Convertible Securities & Income Fund		16,246		227,606
Advent/Claymore Convertible Securities & Income Fund II		14,366		80,162
Advent/Claymore Enhanced Growth & Income Fund		94		768
AllianzGI Diversified Income & Convertible Fund		1,602		28,596
AllianzGI NFJ Dividend, Interest & Premium Strategy Fund		18,906		231,031
Alpine Global Dynamic Dividend Fund		6,571		55,328
Alpine Global Premier Properties Fund		45,126		238,265
Alpine Total Dynamic Dividend Fund		23,194		170,940
Apollo Tactical Income Fund, Inc.		12		183
Bancroft Fund Ltd.		19		395
BlackRock Energy and Resources Trust		2,204		30,393

22

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

INVESTMENT COMPANIES - 3.6% (Continued)	Shares		Value
BlackRock Global Opportunities Equity Trust		51	$	593
BlackRock Muni Intermediate Duration Fund, Inc.		94		1,361
BlackRock Municipal 2030 Target Term Trust		47		1,088
BlackRock Municipal Income Investment Quality Trust		822		12,051
BlackRock Municipal Income Quality Trust		72		1,043
BlackRock MuniHoldings Quality Fund, Inc.		34		461
BlackRock MuniYield Investment Quality Fund		97		1,382
BlackRock MuniYield Michigan Quality Fund, Inc.		13,404		189,533
BlackRock MuniYield Pennsylvania Quality Fund		300		4,437
BlackRock New Jersey Municipal Income Trust		47		728
BlackRock Resources & Commodities Strategy Trust		27,134		216,258
BlackRock Taxable Municipal Bond Trust		2,617		59,537
Boulder Growth & Income Fund, Inc.		28,315		232,749
Brookfield Global Listed Infrastructure Income Fund, Inc.		2,249		27,415
Brookfield Mortgage Opportunity Income Fund, Inc.		10		143
Calamos Dynamic Convertible & Income Fund		1,900		33,877
CBRE Clarion Global Real Estate Income Fund		9		69
Central Europe Russia and Turkey Fund, Inc. (The)		1,177		22,375
China Fund, Inc. (The)		10,524		169,963
ClearBridge American Energy MLP Fund, Inc.		15,495		131,707
Clough Global Dividend and Income Fund		18,976		220,501
Clough Global Equity Fund		22,088		236,121
Clough Global Opportunities Fund		25,881		233,964
Cohen & Steers Global Income Builder, Inc.		68		591
Cohen & Steers MLP Income and Energy Opportunity Fund, Inc.		3,600		36,036
Cohen & Steers Quality Income Realty Fund, Inc.		59		712
Cohen & Steers REIT and Preferred Income Fund, Inc.		5,000		93,850
Cushing Renaissance Fund (The)		3,786		62,166
Cutwater Select Income Fund		1		9
Delaware Enhanced Global Dividend & Income Fund		23,548		228,416
Delaware Investments Minnesota Municipal Income Fund II, Inc.		38		549
Diversified Real Asset Income Fund (The)		7,984		129,979
Dividend and Income Fund		22,603		242,530
DTF Tax-Free Income, Inc.		25		377
Eagle Growth & Income Fund (The)		3,262		53,725
Eaton Vance California Municipal Income Trust		8,872		115,425
Eaton Vance Municipal Bond Fund II		7		89
Eaton Vance Municipal Income 2028 Term Trust		1,199		23,321
Eaton Vance New York Municipal Bond Fund		5,089		65,953
Eaton Vance Tax-Advantaged Bond and Options Strategies Fund		21,363		256,356
Ellsworth Growth and Income Fund Ltd.		9,028		73,127
First Trust Energy Infrastructure Fund		29		534
First Trust Enhanced Equity Income Fund		1,502		19,766
First Trust High Income Long/Short Fund		65		1,009
First Trust Strategic High Income Fund II		5,813		70,570
First Trust/Aberdeen Emerging Opportunity Fund		1,967		29,702
Franklin Limited Duration Income Trust		41		494
Franklin Universal Trust		3,936		26,135
Gabelli Healthcare & WellnessRx Trust (The)		235		2,296
GAMCO Natural Resources, Gold & Income Trust		3		24

23

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

INVESTMENT COMPANIES - 3.6% (Continued)	Shares		Value
GDL Fund (The)		25,958	$	252,312
General American Investors Company, Inc.		7,816		245,969
Guggenheim Build America Bonds Managed Duration Trust		4,262		94,872
India Fund, Inc. (The)		6,745		165,252
Invesco Advantage Municipal Income Trust II		20,899		244,518
Invesco Municipal Trust		107		1,370
Invesco Pennsylvania Value Municipal Income Trust		13,857		177,092
Invesco Quality Municipal Income Trust		3,888		50,933
Invesco Trust for Investment Grade New York Municipals		96		1,356
Invesco Value Municipal Income Trust		15,298		233,293
Japan Smaller Capitalization Fund, Inc.		8,683		93,082
John Hancock Investors Trust		26		435
John Hancock Preferred Income Fund III		900		16,416
John Hancock Premium Dividend Fund		6,811		101,893
John Hancock Tax-Advantaged Dividend Income Fund		37		882
Korea Fund, Inc.		73		2,462
Lazard World Dividend & Income Fund, Inc.		5,474		53,974
Legg Mason BW Global Income Opportunities Fund, Inc.		12,967		167,793
Liberty All-Star Equity Fund		24,331		119,465
Macquarie Global Infrastructure Total Return Fund, Inc.		10,868		223,772
Macquarie/First Trust Global Infrastructure/Utilities Dividend & Income Fund		419		5,045
Madison Strategic Sector Premium Fund		63		734
MainStay DefinedTerm Municipal Opportunities Fund		51		988
Mexico Fund, Inc. (The)		27		440
MFS High Yield Municipal Trust		2,318		10,616
MFS Investment Grade Municipal Trust		85		846
MFS Multimarket Income Trust		3,000		17,910
Morgan Stanley China A Share Fund, Inc.		4,500		81,225
Morgan Stanley Emerging Markets Debt Fund, Inc.		1,692		15,769
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.		66		519
Morgan Stanley India Investment Fund, Inc.		1,711		49,123
Neuberger Berman MLP Income Fund, Inc.		3,963		34,359
New Germany Fund, Inc. (The)		2,761		37,467
Nuveen AMT-Free Municipal Income Fund		17,620		242,275
Nuveen Build America Bond Opportunity Fund		16		349
Nuveen California Dividend Advantage Municipal Fund 2		1		15
Nuveen Connecticut Premium Income Municipal Fund		10,510		141,780
Nuveen Diversified Dividend & Income Fund		28		319
Nuveen Dividend Advantage Municipal Fund		17,153		243,401
Nuveen Enhanced Municipal Credit Opportunities Fund		3,375		50,017
Nuveen Global High Income Fund		10		157
Nuveen Intermediate Duration Quality Municipal Term Fund		3,129		41,178
Nuveen Long/short Commodity Total Return Fund		4,837		64,042
Nuveen Maryland Premium Income Municipal Fund		16,994		221,942
Nuveen Michigan Quality Income Municipal Fund		16,839		237,261
Nuveen New Jersey Dividend Advantage Municipal Fund		17,321		244,572
Nuveen New York AMT-Free Municipal Income Fund		10,573		141,255
Nuveen North Carolina Premium Income Municipal Fund		16,704		228,511
Nuveen Ohio Quality Income Municipal Fund		7,033		108,308
Nuveen Pennsylvania Investment Quality Municipal Fund		17,294		241,424
Nuveen Real Asset Income and Growth Fund		5		82
Nuveen Real Estate Income Fund		4,400		46,288

24

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

INVESTMENT COMPANIES - 3.6% (Continued)	Shares		Value
Nuveen Select Tax-Free Income Portfolio		1,689	$	24,794
Nuveen Select Tax-Free Income Portfolio 2		181		2,534
Nuveen Select Tax-Free Income Portfolio 3		946		13,887
Nuveen Short Duration Credit Opportunities Fund		52		858
Nuveen Virginia Premium Income Municipal Fund		1,879		25,987
Pioneer Municipal High Income Trust		7,521		95,141
Principal Real Estate Income Fund		1,300		21,606
RMR Real Estate Income Fund		3,282		65,740
Royce Global Value Trust, Inc.		13,744		106,928
Royce Micro-Cap Trust, Inc.		17		125
Royce Value Trust, Inc.		14,886		177,739
Salient Midstream & MLP Fund		9,456		118,011
Sprott Focus Trust, Inc.		9		60
Swiss Helvetia Fund, Inc. (The)		63		655
Tekla Healthcare Investors		1,648		34,592
Templeton Dragon Fund, Inc.		13,793		238,067
Templeton Emerging Markets Fund		6,139		77,536
Tortoise Power and Energy Infrastructure Fund, Inc.		800		16,632
Tri-Continental Corporation		970		20,292
Voya Infastructure, Industrials and Materials Fund		2,300		28,957
Wells Fargo Global Dividend Opportunity Fund		8,431		46,708
Western Asset High Income Opportunity Fund, Inc.		60		298
Western Asset Municipal High Income Fund, Inc.		6		45
Western Asset Municipal Partners Fund, Inc.		28		442
Western Asset Worldwide Income Fund, Inc.		2,774		30,625
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund		13,252		149,085
Western Asset/Claymore Inflation-Linked Securities & Income Fund		12,752		145,373
Zweig Fund, Inc. (The)		58		703
Total Investment Companies (Cost $11,176,369)			$	11,134,446

WARRANTS - 0.0%(c)	Shares		Value
Imperial Holdings, Inc. (d) (Cost $0)		1,663	$	0

25

TFS MARKET NEUTRAL FUND

SCHEDULE OF INVESTMENTS (Continued)

MONEY MARKET FUNDS - 1.5%	Shares		Value
Federated Government Obligations Fund - Institutional Class, 0.27% (e) (Cost $4,653,154)		4,653,154	$	4,653,154
Total Investments at Value - 100.1% (Cost $305,802,321)			$	308,682,585
Liabilities in Excess of Other Assets - (0.1%) (f)				(259,608	)
Net Assets - 100.0%			$	308,422,977

ADR - American Depositary Receipt.

^(a) Non-income producing security.

^(b) All or a portion of the shares have been committed as collateral for open short positions.

^(c) Percentage rounds to less than 0.1%.

^(d) Security has been valued at fair value pursuant to procedures adopted by and under the supervision of the Board of Trustees. The total value of such securities is $61,156 at October 31, 2016 representing 0.0%^(c) of net assets.

^(e) The rate shown is the 7-day effective yield as of October 31, 2016.

^(f) Includes cash held as margin deposits for open short positions and futures contracts.

See accompanying notes to financial statements.

26

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT

October 31, 2016

COMMON STOCKS - 81.3%	Shares		Value
Consumer Discretionary - 12.5%
Auto Components - 0.4%
Ballard Power Systems, Inc.		73,593	$	144,978
China XD Plastics Company Ltd.		13		57
Clean Diesel Technologies, Inc.		595		1,660
Motorcar Parts of America, Inc.		39,827		1,045,060
Spartan Motors, Inc.		56		479
Strattec Security Corporation		109		3,869
Unique Fabricating, Inc.		16		200
				1,196,303
Automobiles - 0.6%
Harley-Davidson, Inc.		858		48,923
Kandi Technologies Group, Inc.		241,586		1,207,930
Tesla Motors, Inc.		2,100		415,233
Workhorse Group, Inc.		22,846		151,697
				1,823,783
Distributors - 0.0% (a)
Educational Development Corporation		270		2,524
Fenix Parts, Inc.		967		3,307
VOXX International Corporation		21,681		88,892
Weyco Group, Inc.		76		1,924
				96,647
Diversified Consumer Services - 0.6%
2U, Inc.		3,705		129,156
Carriage Services, Inc.		2,341		55,341
DeVry Education Group, Inc.		2,077		47,148
H&R Block, Inc.		15,371		353,072
Matthews International Corporation - Class A		449		26,895
Sotheby's		365		13,096
Universal Technical Institute, Inc.		2,672		4,062
Weight Watchers International, Inc.		124,890		1,283,869
				1,912,639
Hotels, Restaurants & Leisure - 2.0%
Amaya, Inc.		81,612		1,097,681
Caesars Entertainment Corporation		9,585		68,053
Chipotle Mexican Grill, Inc.		1,048		378,076
Chuy's Holdings, Inc.		189		5,368
Dave & Buster's Entertainment, Inc.		127		5,251
Dunkin' Brands Group, Inc.		6,840		330,782
El Pollo Loco Holdings, Inc.		334		4,075
Gaming Partners International Corporation		1,202		12,489
Intrawest Resorts Holdings, Inc.		9,233		151,514
J. Alexander's Holdings, Inc.		1,204		10,836
Jamba, Inc.		12,830		135,357
Kona Grill, Inc.		727		7,815
Lindblad Expeditions Holdings, Inc.		11,450		93,776
Noodles & Company		8,353		39,259
Papa Murphy's Holdings, Inc.		9,298		51,697
Peak Resorts, Inc.		1,758		8,526
Popeyes Louisiana Kitchen, Inc.		28		1,495
Rave Restaurant Group, Inc.		41		114
RCI Hospitality Holdings, Inc.		323		3,750

27

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Consumer Discretionary - 12.5% (Continued)
Hotels, Restaurants & Leisure - 2.0% (Continued)
Ruby Tuesday, Inc.		5,503	$	16,344
Scientific Games Corporation - Class A		1,222		15,153
SeaWorld Entertainment, Inc.		1,814		25,414
Shake Shack, Inc. - Class A		34,319		1,094,433
Sonic Corporation		46,205		1,058,557
Town Sports International Holdings, Inc.		11,626		29,065
Wynn Resorts Ltd.		4,097		387,371
Zoe's Kitchen, Inc.		48,885		1,108,223
				6,140,474
Household Durables - 1.5%
CSS Industries, Inc.		100		2,510
Ethan Allen Interiors, Inc.		171		5,250
Garmin Ltd.		8,584		415,122
GoPro, Inc. - Class A		12,570		160,645
Green Brick Partners, Inc.		70		535
iRobot Corporation		2,131		108,042
LGI Homes, Inc.		176		5,238
MDC Holdings, Inc.		722		17,119
New Home Company, Inc. (The)		5,158		51,683
Nova Lifestyle, Inc.		28,302		101,887
Skyline Corporation		1,329		15,376
SodaStream International Ltd.		110		2,847
Tempur Sealy International, Inc.		27,551		1,489,683
Turtle Beach Corporation		82,462		112,973
UCP, Inc.		427		3,886
Vuzix Corporation		134,999		985,493
WCI Communities, Inc.		10,730		248,399
William Lyon Homes - Class A		3,628		64,796
ZAGG, Inc.		145,551		946,081
				4,737,565
Internet & Direct Marketing Retail - 1.0%
Blue Nile, Inc.		149		5,205
Gaia, Inc.		4,613		34,136
Lands' End, Inc.		80,108		1,249,685
MakeMyTrip Ltd.		37,239		1,057,588
Netflix, Inc.		3,359		419,438
PetMed Express, Inc.		9,438		187,533
U.S. Auto Parts Network, Inc.		60		184
				2,953,769
Leisure Products - 0.3%
Arctic Cat, Inc.		1,666		24,973
Escalade, Inc.		10,240		124,416
JAKKS Pacific, Inc.		26,941		180,505
Marine Products Corporation		3,093		28,919
Mattel, Inc.		102		3,216
Performance Sports Group Ltd. (b)		137,677		479,116
Polaris Industries, Inc.		321		24,592
Smith & Wesson Holding Corporation		604		15,964
				881,701
Media - 1.2%
AMC Entertainment Holdings, Inc. - Class A		61		1,918

28

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Consumer Discretionary - 12.5% (Continued)
Media - 1.2% (Continued)
Central European Media Enterprises Ltd. - Class A		33,135	$	81,181
Cinemark Holdings, Inc.		97		3,861
Clear Channel Outdoor Holdings, Inc. - Class A		51		293
E.W. Scripps Company (The) - Class A		230		3,050
Entercom Communications Corporation - Class A		2,707		35,732
Eros International plc		5,701		101,193
Global Eagle Entertainment, Inc.		4,803		38,664
Lee Enterprises, Inc.		14,607		37,248
Liberty Broadband - Series C		74		4,932
MDC Partners, Inc. - Class A		106,830		902,714
New Media Investment Group, Inc.		460		6,624
Nexstar Broadcasting Group, Inc. - Class A		1,028		50,166
Pandora Media, Inc.		125,883		1,426,254
Radio One, Inc. - Class D		22,357		55,893
Reading International, Inc.		1,935		25,523
Regal Entertainment Group - Class A		18,567		399,376
Saga Communications, Inc. - Class A		91		3,822
Scripps Networks Interactive, Inc. - Class A		5,611		361,124
Starz - Series A		111		3,492
				3,543,060
Multiline Retail - 0.5%
Bon-Ton Stores, Inc. (The)		508		701
Dillard's, Inc. - Class A		27		1,655
Fred's, Inc. - Class A		68,472		625,149
J. C. Penney Company, Inc.		37,716		323,981
Nordstrom, Inc.		6,496		337,792
Ollie's Bargain Outlet Holdings, Inc.		193		5,279
Sears Holdings Corporation		16,611		184,548
				1,479,105
Specialty Retail - 3.5%
Abercrombie & Fitch Company - Class A		2,138		31,236
America's Car-Mart, Inc.		16,482		673,290
Ascena Retail Group, Inc.		8,959		43,810
Birks Group, Inc.		2,252		3,063
Boot Barn Holdings, Inc.		85,755		1,097,664
Buckle, Inc. (The)		26,613		554,881
Build-A-Bear Workshop, Inc.		34,996		472,446
Cabela's, Inc.		530		32,653
Chico's FAS, Inc.		984		11,483
China Auto Logistics, Inc.		1,509		4,391
Christopher & Banks Corporation		432		553
Conn's, Inc.		56,156		533,482
DavidsTea, Inc.		3,429		36,176
Dick's Sporting Goods, Inc.		37		2,059
Express, Inc.		2,630		31,613
Finish Line, Inc. (The) - Class A		216		4,253
Five Below, Inc.		290		10,898
Foot Locker, Inc.		5,151		343,932
GameStop Corporation - Class A		57,181		1,375,203
GNC Acquisition Holdings, Inc. - Class A		49,538		665,295
Guess?, Inc.		2,432		32,832

29

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Consumer Discretionary - 12.5% (Continued)
Specialty Retail - 3.5% (Continued)
Haverty Furniture Companies, Inc.		244	$	4,331
hhgregg, Inc.		920		1,564
Hibbett Sports, Inc.		2,258		87,723
Lithia Motors, Inc. - Class A		2		172
Lumber Liquidators Holdings, Inc.		46,948		728,163
Monro Muffler Brake, Inc.		18,595		1,022,725
Pier 1 Imports, Inc.		5,283		22,770
Rent-A-Center, Inc.		53,872		543,568
Restoration Hardware Holdings, Inc.		38,416		1,112,912
Sears Hometown and Outlet Stores, Inc.		21,312		103,363
Select Comfort Corporation		563		10,804
Signet Jewelers Ltd.		5,237		425,559
Sonic Automotive, Inc. - Class A		289		5,173
Stein Mart, Inc.		3,224		19,408
Tailored Brands, Inc.		1,615		25,517
Tiffany & Company		5,791		425,175
Ulta Salon Cosmetics & Fragrance, Inc.		1,437		349,680
Vitamin Shoppe, Inc.		2,193		54,935
Winmark Corporation		34		3,636
Zumiez, Inc.		58		1,291
				10,909,682
Textiles, Apparel & Luxury Goods - 0.9%
Delta Apparel, Inc.		107		1,766
Differential Brands Group, Inc.		1,187		4,986
Fossil Group, Inc.		193		5,263
G-III Apparel Group Ltd.		1,024		26,747
Iconix Brand Group, Inc.		114,375		901,275
Kingold Jewelry, Inc.		61,588		121,328
NIKE, Inc. - Class B		6,727		337,561
Sequential Brands Group, Inc.		143,212		1,031,126
Skechers U.S.A., Inc. - Class A		302		6,351
Under Armour, Inc. - Class A		12,922		401,874
				2,838,277
Consumer Staples - 3.9%
Beverages - 0.2%
Brown-Forman Corporation - Class B		7,499		346,229
Craft Brewers Alliance, Inc.		1,577		25,311
MGP Ingredients, Inc.		6,843		240,942
National Beverage Corporation		514		24,281
				636,763
Food & Staples Retailing - 1.1%
Chefs' Warehouse, Inc. (The)		19,152		218,333
Diplomat Pharmacy, Inc.		55		1,274
Natural Grocers by Vitamin Cottage, Inc.		88,416		1,050,382
Rite Aid Corporation		60,628		406,814
Sprouts Farmers Market, Inc.		64,541		1,429,583
SUPERVALU, Inc.		3,303		14,170
Whole Foods Market, Inc.		11,960		338,349
				3,458,905
Food Products - 1.7%
Alico, Inc.		121		3,164

30

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Consumer Staples - 3.9% (Continued)
Food Products - 1.7% (Continued)
Amira Nature Foods Ltd.		23,724	$	185,996
Amplify Snack Brands, Inc.		354		5,129
Arcadia Biosciences, Inc.		3,306		5,356
Blue Buffalo Pet Products, Inc.		180		4,522
Cal-Maine Foods, Inc.		32,938		1,273,054
Campbell Soup Company		43		2,337
Dean Foods Company		3,345		61,080
Flowers Foods, Inc.		27,279		423,370
Freshpet, Inc.		125,602		1,067,617
Hormel Foods Corporation		11,175		430,238
Inventure Foods, Inc.		3,018		25,532
John B. Sanfilippo & Son, Inc.		8		405
Lifeway Foods, Inc.		2,698		48,240
Limoneira Company		241		4,745
Origin Agritech Ltd.		4,703		11,993
Pilgrim's Pride Corporation		16,580		362,107
Skypeople Fruit Juice, Inc.		16,432		104,672
Sunopta, Inc.		155,302		1,032,758
Tootsie Roll Industries, Inc.		670		23,751
Tyson Foods, Inc. - Class A		2,155		152,682
				5,228,748
Household Products - 0.1%
HRG Group, Inc.		305		4,587
Orchids Paper Products Company		4,642		119,114
				123,701
Personal Products - 0.8%
22nd Century Group, Inc.		103,994		134,152
China-Biotics, Inc. (b)		535,616		0
Herbalife Ltd.		5,542		336,289
LifeVantage Corporation		81,412		667,578
Natural Health Trends Corporation		48,970		1,142,470
Synutra International, Inc.		10,471		40,837
United-Guardian, Inc.		3,272		51,043
				2,372,369
Tobacco - 0.0% (a)
Universal Corporation		1,261		68,346
Energy - 4.9%
Energy Equipment & Services - 1.8%
Aspen Aerogels, Inc.		12,655		78,081
Atwood Oceanics, Inc.		4,513		34,434
Bristow Group, Inc.		64,675		647,397
CARBO Ceramics, Inc.		1,728		10,541
Dawson Geophysical Company		384		2,515
Diamond Offshore Drilling, Inc.		1,745		28,775
Dril-Quip, Inc.		50		2,375
Frank's International N.V.		68,097		766,091
Geospace Technologies Corporation		4,130		76,116
Helmerich & Payne, Inc.		5,365		338,585
Hornbeck Offshore Services, Inc.		177,896		706,247
Ion Geophysical Corporation		18,897		111,492

31

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Energy - 4.9% (Continued)
Energy Equipment & Services - 1.8% (Continued)
National Oilwell Varco, Inc.		8,992	$	288,643
Noble Corporation plc		6,474		31,982
Nordic American Offshore Ltd.		24,894		82,150
Ocean Rig UDW, Inc.		120,700		127,942
Oil States International, Inc.		20		585
Pioneer Energy Services Corporation		3,999		14,197
RPC, Inc.		20,655		356,712
SAExploration Holdings, Inc.		14,583		119,726
SEACOR Holdings, Inc.		454		22,387
Seadrill Ltd.		86,205		183,617
Tesco Corporation		3,704		25,372
Tidewater, Inc.		82,802		143,248
Transocean Ltd.		144,107		1,384,868
				5,584,078
Oil, Gas & Consumable Fuels - 3.1%
Amyris, Inc.		92,733		95,515
Approach Resources, Inc.		273,846		780,461
Ardmore Shipping Corporation		83		485
Bonanza Creek Energy, Inc.		221,429		207,523
California Resources Corporation		95,333		978,117
Centrus Energy Corporation - Class A		375		1,466
Chesapeake Energy Corporation		54,739		301,612
Clayton Williams Energy, Inc.		323		28,201
Clean Energy Fuels Corporation		6,226		25,589
Cobalt International Energy, Inc.		131,850		124,480
Comstock Resources, Inc.		122,392		1,194,546
CONSOL Energy, Inc.		21,819		369,832
Denbury Resources, Inc.		111,908		267,460
Dorian LPG Ltd.		12,278		69,125
Earthstone Energy, Inc.		6,158		52,528
EnLink Midstream, LLC		164		2,501
EP Energy Corporation - Class A		4,403		15,675
Evolution Petroleum Corporation		426		3,280
EXCO Resources, Inc.		7,410		8,003
Frontline Ltd.		123,286		883,961
Gastar Exploration, Inc.		23,349		25,217
Golar LNG Ltd.		218		4,772
Jones Energy, Inc. - Class A		10,502		43,058
Kosmos Energy Ltd.		57,756		300,909
Lucas Energy, Inc.		50,312		63,896
Magellan Petroleum Corporation		11,349		56,404
Matador Resources Company		227		4,951
Navios Maritime Acquisition Corporation		5,017		6,372
New Concept Energy, Inc.		46,273		89,307
Nordic American Tankers Ltd.		137,380		1,122,395
Northern Oil & Gas, Inc.		489,762		1,028,500
Panhandle Oil & Gas, Inc. - Class A		493		8,874
Parsley Energy, Inc. - Class A		12,098		398,024
PBF Energy, Inc. - Class A		987		21,517
Range Resources Corporation		4,881		164,929
Renewable Energy Group, Inc.		10,280		89,950

32

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Energy - 4.9% (Continued)
Oil, Gas & Consumable Fuels - 3.1% (Continued)
Resolute Energy Corporation		547	$	14,167
Sanchez Energy Corporation		146		930
Ship Finance International Ltd.		682		8,627
Stone Energy Corporation		23,764		98,858
Synergy Resources Corporation		708		4,843
Uranium Resources, Inc.		317		403
W&T Offshore, Inc.		102,221		148,220
Westmoreland Coal Company		1,942		17,245
Whiting Petroleum Corporation		46,716		384,940
WPX Energy, Inc.		1,091		11,848
				9,529,516
Financials - 6.3%
Banks - 1.9%
American River Bankshares		68		832
Ameris Bancorp		77		2,795
Ames National Corporation		77		2,087
Associated Banc-Corp		67		1,360
Bancorp of New Jersey, Inc.		568		6,418
Bank of Marin Bancorp		30		1,523
Bay Bancorp, Inc.		451		2,413
BCB Bancorp, Inc.		1,283		15,139
Blue Hills Bancorp, Inc.		78		1,213
BOK Financial Corporation		5,994		425,694
Boston Private Financial Holdings, Inc.		2		26
Bridge Bancorp, Inc.		185		5,097
Capital Bank Financial Corporation - Class A		848		27,772
Carolina Bank Holdings, Inc.		68		1,359
Carolina Financial Corporation		52		1,186
City Holding Company		713		37,269
Civista Bancshares, Inc.		41		604
CoBiz Financial, Inc.		293		3,727
Commerce Union Bancshares, Inc.		48		973
Community Bank System, Inc.		18,197		857,261
CVB Financial Corporation		2,592		43,494
Enterprise Bancorp, Inc.		18		470
Enterprise Financial Services Corporation		43		1,423
First Bancorp (North Carolina)		5,502		108,775
First Financial Bankshares, Inc.		31,862		1,153,404
First Horizon National Corporation		650		10,017
First Internet Bancorp		139		3,649
First Interstate BancSystem, Inc. - Class A		23		734
First Merchants Corporation		109		3,068
First NBC Bank Holding Company		121,271		654,863
FNB Corporation		389		5,084
Glacier Bancorp, Inc.		182		5,143
Hancock Holding Company		225		7,549
Heritage Oaks Bancorp		31		246
Hope Bancorp, Inc.		8,338		134,575
LegacyTexas Financial Group, Inc.		24		821
Mackinac Financial Corporation		297		3,433
MainSource Financial Group, Inc.		16		399

33

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Financials - 6.3% (Continued)
Banks - 1.9% (Continued)
Merchants Bancshares, Inc.		63	$	2,709
MidSouth Bancorp, Inc.		11,727		120,202
MidWestOne Financial Group, Inc.		27		785
National Bankshares, Inc.		354		12,302
OFG Bancorp		2,351		25,038
Old National Bancorp		356		5,233
Opus Bank		51,843		1,039,452
Pacific Mercantile Bancorp		2,518		14,101
Park National Corporation		2,740		265,588
Penns Woods Bancorp, Inc.		2,173		92,353
Peoples Financial Services Corporation		2,318		92,349
People's Utah Bancorp		94		1,885
Republic First Bancorp, Inc.		2,924		11,550
S&T Bancorp, Inc.		118		3,704
Sandy Spring Bancorp, Inc.		88		2,790
South State Corporation		328		24,059
Southside Bancshares, Inc.		3,168		103,340
State Bank Financial Corporation		1,123		24,762
Summit Financial Group, Inc.		3,839		75,897
Summit State Bank		790		10,428
Sun Bancorp, Inc./NJ		191		4,393
Tompkins Financial Corporation		672		53,276
TowneBank		159		3,943
Trustmark Corporation		770		21,314
United Bankshares, Inc.		362		13,647
Valley National Bancorp		518		5,107
WesBanco, Inc.		130		4,278
West Bancorporation, Inc.		101		1,949
Westamerica Bancorporation		7,043		349,051
Xenith Banchares, Inc.		6,886		16,113
				5,933,493
Capital Markets - 1.1%
American Capital Senior Floating Ltd.		149		1,661
BGC Partners, Inc. - Class A		1,854		15,926
Cowen Group, Inc. - Class A		96,614		313,995
FBR & Company		6,471		89,947
Fidus Investment Corporation		4,319		64,699
Fifth Street Senior Floating Rate Corporation		107		919
Financial Engines, Inc.		3,457		95,586
FS Investment Corporation		51,701		496,330
FXCM, Inc. - Class A		557		4,345
Gladstone Capital Corporation		2,115		16,455
Goldman Sachs Group, Inc. (The)		1,890		336,874
Greenhill & Company, Inc.		217		5,089
GSV Capital Corporation		23,181		111,037
Harvest Capital Credit Corporation		183		2,216
KCAP Financial, Inc.		4,725		19,939
Ladenburg Thalmann Financial Services, Inc.		1,266		2,583
LPL Financial Holdings, Inc.		48,638		1,505,832
Main Street Capital Corporation		64		2,148
OFS Capital Corporation		121		1,591

34

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Financials - 6.3% (Continued)
Capital Markets - 1.1% (Continued)
OHA Investment Corporation		927	$	2,651
PennantPark Floating Rate Capital Ltd.		209		2,711
PJT Partners, Inc. - Class A		999		27,512
Prospect Capital Corporation		4,578		36,120
Safeguard Scientifics, Inc.		265		3,127
Solar Senior Capital Ltd.		238		3,689
Stellus Capital Investment Corporation		139		1,515
TICC Capital Corporation		24		134
Virtu Financial, Inc. - Class A		1		13
Virtus Investment Partners, Inc.		16		1,717
Wins Finance Holdings, Inc.		596		17,582
WisdomTree Investments, Inc.		2,399		20,583
ZAIS Group Holdings, Inc.		2,034		3,580
				3,208,106
Consumer Finance - 0.6%
Credit Acceptance Corporation		2,268		417,539
Encore Capital Group, Inc.		9,255		183,712
Enova International, Inc.		2,691		25,296
FirstCash, Inc.		74		3,489
OneMain Holdings, Inc.		80		2,267
PRA Group, Inc.		2,243		71,552
Regional Management Corporation		649		14,453
Santander Consumer USA Holdings, Inc.		26,677		325,459
World Acceptance Corporation		16,983		807,032
				1,850,799
Diversified Financial Services - 0.2%
CME Group, Inc.		3,169		317,217
Manhattan Bridge Capital, Inc.		3,672		22,215
Medallion Financial Corporation		20,055		68,989
On Deck Capital, Inc.		3,830		18,729
PICO Holdings, Inc.		152		1,839
Tiptree Financial, Inc.		700		4,060
				433,049
Insurance - 1.5%
Allied World Assurance Company Holdings, AG		293		12,593
AmTrust Financial Services, Inc.		16,184		427,096
Argo Group International Holdings Ltd.		15		834
Assurant, Inc.		42		3,382
Baldwin & Lyons, Inc. - Class B		40		984
Blue Capital Holdings Ltd.		4,014		71,048
Citizens, Inc.		81,714		635,735
CNA Financial Corporation		9,989		365,298
Conifer Holdings, Inc.		2,465		18,980
Crawford & Company - Class B		3,874		43,582
Federated National Holding Company		891		15,958
Fidelity & Guaranty Life		1,087		24,023
Hallmark Financial Services, Inc.		456		4,724
HCI Group, Inc.		39,680		1,075,725
Heritage Insurance Holdings, Inc.		800		9,432
Infinity Property & Casualty Corporation		22		1,803
MBIA, Inc.		1,556		11,981

35

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Financials - 6.3% (Continued)
Insurance - 1.5% (Continued)
National Western Life Group, Inc. - Class A		10	$	2,154
OneBeacon Insurance Group Ltd. - Class A		222		3,050
Patriot National, Inc.		117,304		743,707
Primerica, Inc.		1,591		87,028
United Insurance Holdings Corporation		864		12,528
Universal Insurance Holdings, Inc.		51,317		1,093,052
				4,664,697
Mortgage Real Estate Investment Trusts - 0.0% (a)
ZAIS Financial Corporation		1,044		13,990
Thrifts & Mortgage Finance - 1.0%
Banc of California, Inc.		85,582		1,138,241
BankFinancial Corporation		124		1,559
BBX Capital Corporation - Class A		240		4,886
BofI Holding, Inc.		5,340		99,484
Capitol Federal Financial, Inc.		1,606		23,560
Charter Financial Corporation		161		2,037
Clifton Bancorp, Inc.		1,769		27,048
Impac Mortgage Holdings, Inc.		3,124		49,515
Lake Sunapee Bank Group		95		1,731
LendingTree, Inc.		324		25,871
Meridian Bancorp, Inc.		206		3,286
MMA Capital Management, LLC		26		458
Nationstar Mortgage Holdings, Inc.		7,188		108,611
Northwest Bancshares, Inc.		1,641		25,829
OceanFirst Financial Corporation		710		14,683
Ocwen Financial Corporation		16,770		71,608
People's United Financial, Inc.		26,106		423,961
Stonegate Mortgage Corporation		20,469		82,285
Timberland Bancorp, Inc.		3		49
Walter Investment Management Corporation		200,369		1,001,845
Washington Federal, Inc.		34		927
Western New England Bancorp, Inc.		10,687		84,427
WSFS Financial Corporation		10		351
				3,192,252
Health Care - 17.5%
Biotechnology - 7.2%
ACADIA Pharmaceuticals, Inc.		18,001		419,603
Acorda Therapeutics, Inc.		169		2,991
Actinium Pharmaceuticals, Inc.		140,235		133,223
Adamas Pharmaceuticals, Inc.		358		4,919
Aduro Biotech, Inc.		458		4,923
Advaxis, Inc.		2,188		17,701
Aeterna Zentaris, Inc.		27,704		106,660
Alder Biopharmaceuticals, Inc.		894		21,679
Alnylam Pharmaceuticals, Inc.		40,753		1,450,807
Amicus Therapeutics, Inc.		686		4,733
Anavex Life Sciences Corporation		58,165		162,280
Anthera Pharmaceuticals, Inc.		18,544		40,797
Applied Genetic Technologies Corporation		2,032		14,529
Aquinox Pharmaceuticals, Inc.		102,372		1,071,835

36

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Health Care - 17.5% (Continued)
Biotechnology - 7.2% (Continued)
Arbutus Biopharma Corporation		3,215	$	10,127
Argos Therapeutics, Inc.		3,997		16,787
Array BioPharma, Inc.		5,438		30,997
Arrowhead Pharmaceuticals, Inc.		33,918		196,724
Asterias Biotherapeutics, Inc. - Class A		12,343		40,732
Athersys, Inc.		8,181		14,808
aTyr Pharma, Inc.		1,497		4,117
Aurinia Pharmaceuticals, Inc.		44,126		133,702
Bio Blast Pharma Ltd.		285		433
BioTime, Inc.		6,382		20,550
bluebird bio, Inc.		20,971		1,001,365
Calithera Biosciences, Inc.		6,554		18,023
Cara Therapeutics, Inc.		7,150		49,979
CareDx, Inc.		4,550		16,380
Cascadian Therapeutics, Inc.		15,900		16,377
Catabasis Pharmaceuticals, Inc.		32,435		111,901
Catalyst Pharmaceutical, Inc.		32,208		33,818
Celldex Therapeutics, Inc.		228,101		718,518
Cellectar Biosciences, Inc.		742		1,358
Cellular Biomedicine Group, Inc.		224		2,699
Chiasma, Inc.		45,802		103,055
Clovis Oncology, Inc.		35,571		1,034,405
Contrafect Corporation		1,762		4,053
Corbus Pharmaceuticals Holdings, Inc.		170,802		956,491
CorMedix, Inc.		15,031		31,264
Dynavax Technologies Corporation		109,948		1,017,019
Eagle Pharmaceuticals, Inc.		82		4,582
Eleven Biotherapeutics, Inc.		51,471		90,589
Enanta Pharmaceuticals, Inc.		210		4,939
Esperion Therapeutics, Inc.		374		3,852
Exact Sciences Corporation		198		3,085
Exelixis, Inc.		331		3,505
Fate Therapeutics, Inc.		14,580		30,618
Fortress Biotech, Inc.		5,352		12,738
Foundation Medicine, Inc.		68		1,544
Genocea Biosciences, Inc.		80,496		276,906
Geron Corporation		78,141		144,561
Global Blood Therapeutics, Inc.		259		4,520
GlycoMimetics, Inc.		75		452
Heat Biologics, Inc.		73,131		97,996
Heron Therapeutics, Inc.		45,420		674,487
Idera Pharmaceuticals, Inc.		582,500		902,875
Ignyta, Inc.		577		2,885
Immunomedics, Inc.		295,335		679,271
Infinity Pharmaceuticals, Inc.		46,191		55,891
Inotek Pharmaceuticals Corporation		2,510		17,570
Inovio Pharmaceuticals, Inc.		4,223		27,323
Insys Therapeutics, Inc.		113,704		1,229,140
Intercept Pharmaceuticals, Inc.		2,486		307,618
Intrexon Corporation		16,135		421,124
Invitae Corporation		2,301		17,672

37

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Health Care - 17.5% (Continued)
Biotechnology - 7.2% (Continued)
Juno Therapeutics, Inc.		235	$	5,708
Keryx Biopharmaceuticals, Inc.		5,876		26,501
Kindred Biosciences, Inc.		354		1,912
Kura Oncology, Inc.		911		3,690
Lexicon Pharmaceuticals, Inc.		3,216		47,693
Ligand Pharmaceuticals, Inc. - Class B		55		5,265
Lion Biotechnologies, Inc.		2,843		17,769
MacroGenics, Inc.		80		1,895
MediciNova, Inc.		923		6,267
Merrimack Pharmaceuticals, Inc.		210,802		1,100,386
MiMedx Group, Inc.		8,051		71,734
Mirati Therapeutics, Inc.		12,637		63,817
Myriad Genetics, Inc.		82		1,616
NantKwest, Inc.		2,811		16,838
Neurocrine Biosciences, Inc.		9,249		404,829
Novavax, Inc.		714,158		1,085,520
Nymox Pharmaceutical Corporation		11,626		36,971
Ohr Pharmaceutical, Inc.		33,305		104,911
Omeros Corporation		135,462		1,110,788
Opexa Therapeutics, Inc.		258		219
OpGen, Inc.		56,197		58,445
Ophthotech Corporation		6,022		215,708
OPKO Health, Inc.		45,393		427,602
Organovo Holdings, Inc.		10,982		27,345
PDL BioPharma, Inc.		745		2,399
Pieris Pharmaceuticals, Inc.		37,615		57,175
Portola Pharmaceuticals, Inc.		284		5,163
Proteon Therapeutics, Inc.		36		358
PTC Therapeutics, Inc.		2,648		16,444
Retrophin, Inc.		269		5,071
Sage Therapeutics, Inc.		60		2,612
Sarepta Therapeutics, Inc.		642		25,192
Seres Therapeutics, Inc.		63,826		688,683
Sophiris Bio, Inc.		38,514		107,454
Sorrento Therapeutics, Inc.		112		644
Stellar Biotechnologies, Inc.		1,413		2,925
Stemcells, Inc.		3,664		2,855
Stemline Therapeutics, Inc.		228		2,599
Stonebridge Biopharma plc		1,200		5,400
Synergy Pharmaceuticals, Inc.		3,151		14,463
Synthetic Biologics, Inc.		86,322		120,851
T2 Biosystems, Inc.		43,615		275,647
TG Therapeutics, Inc.		50,721		271,357
Tracon Pharmaceuticals, Inc.		201		1,126
Trovagene, Inc.		2,399		8,277
Vascular Biogenics Ltd.		16,086		79,626
vTv Therapeutics, Inc. - Class A		497		2,679
XBiotech, Inc.		10,444		138,383
Zafgen, Inc.		37,717		113,528
ZIOPHARM Oncology, Inc.		228,446		1,297,573
				22,150,018

38

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Health Care - 17.5% (Continued)
Health Care Equipment & Supplies - 3.6%
Accuray, Inc.		68	$	333
Alere, Inc.		67		2,994
Align Technology, Inc.		1,247		107,142
Analogic Corporation		176		14,406
Antares Pharma, Inc.		2,334		4,108
AtriCure, Inc.		33,433		609,818
Avinger, Inc.		38,227		133,794
AxoGen, Inc.		59,752		528,805
Baxter International, Inc.		7		333
Biolase, Inc.		1,279		1,829
Bovie Medical Corporation		4,019		22,145
Cerus Corporation		2,033		9,799
Cesca Therapeutics, Inc.		31,929		96,106
Check Cap Ltd.		12,846		28,518
ConforMIS, Inc.		5,181		39,531
Corindus Vascular Robotics, Inc.		63,484		48,895
CytoSorbents Corporation		8,004		47,224
Derma Sciences, Inc.		530		2,358
DexCom, Inc.		5,298		414,515
Digirad Corporation		5,486		24,138
Ekso Bionics Holdings, Inc.		34,641		156,231
EndoChoice Holdings, Inc.		93,604		744,152
Endologix, Inc.		22,824		238,739
Entellus Medical, Inc.		96		1,963
GenMark Diagnostics, Inc.		34		363
IDEXX Laboratories, Inc.		1,334		142,925
Innocoll Holdings plc		19,484		94,692
InVivo Therapeutics Holdings Corporation		16,619		72,293
Invuity, Inc.		7,325		74,349
iRadimed Corporation		61,796		583,972
IRIDEX Corporation		101		1,369
K2M Group Holdings, Inc.		1,491		25,451
Navidea Biopharmaceuticals, Inc.		5,000		4,283
Nevro Corporation		11,593		1,065,629
Novadaq Technologies, Inc.		96,591		1,073,126
Novocure Ltd.		126,733		766,735
Obalon Therapeutics, Inc.		4,001		51,733
Oxford Immunotec Global plc		2,186		28,112
Quidel Corporation		3,022		58,325
Quotient Ltd.		8,407		45,482
Retractable Technologies, Inc.		1,650		4,356
ReWalk Robotics Ltd.		11,789		38,314
Rockwell Medical, Inc.		193,240		1,122,724
Second Sight Medical Products, Inc.		241,905		631,372
Sientra, Inc.		14,886		116,855
St. Jude Medical, Inc.		4,406		342,963
Tandem Diabetes Care, Inc.		2,691		16,281
TransEnterix, Inc.		787,842		1,181,763
Unilife Corporation		38,462		107,309
Vascular Solutions, Inc.		23		1,049
ViewRay, Inc.		35,674		95,606

39

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Health Care - 17.5% (Continued)
Health Care Equipment & Supplies - 3.6% (Continued)
Volitionrx Ltd.		2,210	$	9,790
ZELTIQ Aesthetics, Inc.		357		11,817
				11,046,914
Health Care Providers & Services - 2.9%
AAC Holdings, Inc.		61,958		1,015,492
Acadia Healthcare Company, Inc.		10,985		395,021
Aceto Corporation		1,264		23,169
Adeptus Health, Inc. - Class A		19,488		586,979
Air Methods Corporation		43,402		1,147,983
AmSurg Corporation		1,600		95,600
Anthem, Inc.		20		2,437
BioScrip, Inc.		1,688		4,541
Community Health Systems, Inc.		5,867		30,978
Cross Country Healthcare, Inc.		120		1,340
Express Scripts Holding Company		37		2,494
Five Star Quality Care, Inc.		9,514		26,639
InfuSystems Holdings, Inc.		234		597
Landauer, Inc.		81		3,523
LifePoint Health, Inc.		6,973		417,334
Nobilis Health Corporation		296,111		991,972
Patterson Companies, Inc.		6,838		292,051
Psychemedics Corporation		57		1,338
Sharps Compliance Corporation		24,955		92,583
Surgery Partners, Inc.		188		3,027
Team Health Holdings, Inc.		27,056		1,159,350
Teladoc, Inc.		77,792		1,264,120
Tenet Healthcare Corporation		44		867
Triple-S Management Corporation - Class B		68		1,406
Trupanion, Inc.		76,665		1,241,206
Veracyte, Inc.		500		3,630
				8,805,677
Health Care Technology - 0.4%
Castlight Health, Inc. - Class B		41,606		180,986
Computer Programs & Systems, Inc.		35,196		918,616
Connecture, Inc.		1,929		3,588
Evolent Health, Inc. - Class A		49		1,031
Inovalon Holdings, Inc. - Class A		12,362		168,123
Nanthealth, Inc.		8,216		107,876
Quality Systems, Inc.		165		2,127
				1,382,347
Life Sciences Tools & Services - 1.4%
Accelerate Diagnostics, Inc.		51,892		1,102,705
Albany Molecular Research, Inc.		60,857		948,761
Chromadex Corporation		8,032		22,168
Combimatrix Corporation		251		565
Fluidigm Corporation		145,919		675,605
Illumina, Inc.		3,076		418,767
NeoGenomics, Inc.		73		588
Pacific Biosciences of California, Inc.		127,660		1,085,110
pSivida Corporation		31,516		65,553
				4,319,822

40

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Health Care - 17.5% (Continued)
Pharmaceuticals - 2.0%
AcelRx Pharmaceuticals, Inc.		14,076	$	39,413
Achaogen, Inc.		12,165		55,837
Aclaris Therapeutics, Inc.		169		3,591
Adamis Pharmaceuticals Corporation		23,927		61,014
Aerie Pharmaceuticals, Inc.		544		18,088
Akorn, Inc.		363		8,694
Alcobra Ltd.		55,556		106,668
Aralez Pharmaceuticals, Inc.		17,146		69,784
Auris Medical Holding A.G.		2,182		2,247
BioDelivery Sciences International, Inc.		22,575		51,923
Bio-Path Holdings, Inc.		2,014		2,014
Biostar Pharmaceuticals, Inc.		29,577		98,196
Cempra, Inc.		1,396		25,302
Collegium Pharmaceutical, Inc.		2,192		32,814
Concordia International Corporation		298,211		1,016,900
ContraVir Pharmaceuticals, Inc.		71,430		144,289
Corcept Therapeutics, Inc.		696		4,830
Depomed, Inc.		222		4,964
Dipexium Pharmaceuticals, Inc.		27		45
DURECT Corporation		51,630		57,826
Egalet Corporation		179,733		1,008,302
Evoke Pharma, Inc.		1,361		2,164
Eyegate Pharmaceuticals, Inc.		59		87
Flex Pharma, Inc.		23,810		115,717
Innoviva, Inc.		7,480		77,044
Intellipharmaceutics International, Inc.		36,207		100,293
Intra-Cellular Therapies, Inc.		58,425		724,470
Jaguar Animal Health, Inc.		3,193		3,001
KemPharm, Inc.		654		2,420
Lannett Company, Inc.		727		15,921
Lipocine, Inc.		35,294		113,294
Neos Therapeutics, Inc.		5,173		30,521
Ocular Therapeutix, Inc.		170,300		963,898
Paratek Pharmaceuticals, Inc.		970		10,379
Pernix Therapeutics Holdings, Inc.		28,000		99,400
Reata Pharmaceuticals, Inc. - Class A		4,382		99,208
Revance Therapeutics, Inc.		49,203		656,860
SCYNEXIS, Inc.		34,483		110,690
Supernus Pharmaceuticals, Inc.		244		4,831
Teligent, Inc.		9,635		62,724
TherapeuticsMD, Inc.		8,886		51,006
Titan Pharmaceuticals, Inc.		12,039		54,777
VIVUS, Inc.		3,909		4,104
Wave Life Science Ltd.		1,054		33,570
Zogenix, Inc.		4,326		35,257
Zynerba Pharmaceuticals, Inc.		10,198		117,481
				6,301,858
Industrials - 10.4%
Aerospace & Defense - 1.4%
Aerojet Rocketdyne Holdings, Inc.		48,449		852,702
Astrotech Corporation		596		1,097

41

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Industrials - 10.4% (Continued)
Aerospace & Defense - 1.4% (Continued)
B/E Aerospace, Inc.		7,120	$	423,782
CPI Aerostructures, Inc.		3,688		24,894
DigitalGlobe, Inc.		994		24,949
KEYW Holding Corporation (The)		66,836		701,110
KLX, Inc.		152		5,232
Kratos Defense & Security Solutions, Inc.		133,885		752,434
National Presto Industries, Inc.		1,984		173,104
TASER International, Inc.		48,768		1,091,428
TransDigm Group, Inc.		1,246		339,485
Vectrus, Inc.		2,490		41,757
				4,431,974
Air Freight & Logistics - 0.0% (a)
Echo Global Logistics, Inc.		238		5,046
Forward Air Corporation		73		3,016
Park-Ohio Holdings Corporation		47		1,502
				9,564
Airlines - 0.6%
Copa Holdings S.A. - Class A		4,564		420,938
Spirit Airlines, Inc.		5,219		250,146
Virgin America, Inc.		19,394		1,054,064
				1,725,148
Building Products - 0.1%
Advanced Drainage Systems, Inc.		1,853		35,392
Apogee Enterprises, Inc.		999		40,709
Armstrong Flooring, Inc.		162		2,623
Armstrong World Industries, Inc.		8,270		310,125
Griffon Corporation		3,884		64,863
Insteel Industries, Inc.		375		10,087
MFRI, Inc.		831		6,648
PGT, Inc.		72		706
Trex Company, Inc.		28		1,507
				472,660
Commercial Services & Supplies - 1.4%
Acme United Corporation		3		65
Aqua Metals, Inc.		99,843		893,595
ARC Document Solutions, Inc.		161		552
Avery Dennison Corporation		43		3,001
CompX International, Inc.		258		2,877
Covanta Holding Corporation		24,438		366,570
Deluxe Corporation		84		5,141
EnerNOC, Inc.		934		4,857
Healthcare Services Group, Inc.		3,404		125,846
Hudson Technologies, Inc.		166,649		1,016,559
Interface, Inc.		35		555
Mobile Mini, Inc.		25,582		648,504
R.R. Donnelley & Sons Company		42		751
Ritchie Bros. Auctioneers, Inc.		30,662		1,060,599
Team, Inc.		996		30,627
Tetra Tech, Inc.		9		346
Virco Manufacturing Corporation		3,634		15,444
				4,175,889

42

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Industrials - 10.4% (Continued)
Construction & Engineering - 0.4%
Ameresco, Inc. - Class A		11,387	$	54,658
Comfort Systems USA, Inc.		94		2,712
Dycom Industries, Inc.		19		1,462
Goldfield Corporation (The)		134		368
HC2 Holdings, Inc.		179		712
IES Holdings, Inc.		36,149		540,428
Layne Christensen Company		69,067		591,904
Northwest Pipe Company		5		66
Orion Marine Group, Inc.		75		606
Primoris Services Corporation		370		7,411
				1,200,327
Electrical Equipment - 1.8%
Acuity Brands, Inc.		1,420		317,469
American Superconductor Corporation		17,751		113,784
China BAK Battery, Inc.		1,689		2,956
Energous Corporation		11,913		162,374
Energy Focus, Inc.		9,051		37,019
Enphase Energy, Inc.		98,891		98,891
Ensync, Inc.		25,379		17,765
FuelCell Energy, Inc.		294,287		985,862
Generac Holdings, Inc.		2,338		89,054
Highpower International, Inc.		388		1,125
Ideal Power, Inc.		7,579		39,411
LSI Industries, Inc.		330		2,838
Ocean Power Technologies, Inc.		34,091		79,091
Plug Power, Inc.		795,209		1,216,670
Real Goods Solar, Inc.		58,659		75,084
SolarCity Corporation		55,829		1,094,248
Sunrun, Inc.		203,996		1,062,819
Ultralife Corporation		7,069		28,983
				5,425,443
Industrial Conglomerates - 0.1%
General Electric Company		10,306		299,904
Raven Industries, Inc.		244		5,234
				305,138
Machinery - 2.2%
Actuant Corporation - Class A		231		5,151
Altra Industrial Motion Corporation		3,744		110,448
American Railcar Industries, Inc.		18,197		669,286
Blue Bird Corporation		3,547		52,318
Briggs & Stratton Corporation		17,682		329,239
CIRCOR International, Inc.		100		5,378
Cleantech Solutions International, Inc.		2,902		2,105
Eastern Company (The)		701		13,810
Energy Recovery, Inc.		625		7,631
ExOne Company (The)		1,812		21,617
Gencor Industries, Inc.		10,256		124,098
Greenbrier Companies, Inc. (The)		2,671		84,137
John Bean Technologies Corporation		6,448		514,873
Kornit Digital Ltd.		12,048		124,094
Lincoln Electric Holdings, Inc.		50		3,291

43

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Industrials - 10.4% (Continued)
Machinery - 2.2% (Continued)
Lindsay Corporation		15,430	$	1,208,169
Manitowoc Foodservice, Inc.		9,105		137,577
Miller Industries, Inc.		2,294		50,353
Navistar International Corporation		2,018		45,001
Omega Flex, Inc.		425		16,163
Proto Labs, Inc.		22,985		1,027,430
Snap-on, Inc.		1,465		225,757
Sun Hydraulics Corporation		918		27,017
Supreme Industries, Inc. - Class A		89,770		1,094,296
Tennant Company		32		2,014
Valmont Industries, Inc.		2,715		347,384
Wabash National Corporation		1,041		11,711
Westinghouse Air Brake Technologies Corporation		5,406		417,938
Westport Innovations, Inc.		135,154		209,489
				6,887,775
Marine - 0.3%
Costamare, Inc.		4,534		29,471
Diana Shipping, Inc.		11,653		29,133
Eagle Bulk Shipping, Inc.		30,401		124,948
Global Ship Lease, Inc. - Class A		146	��	191
Navios Maritime Holdings, Inc.		24,204		25,656
Scorpio Bulkers, Inc.		183,709		716,465
Seanergy Maritime Holdings Corporation		531		1,168
Star Bulk Carriers Corporation		8,321		37,944
				964,976
Professional Services - 0.9%
Advisory Board Company (The)		447		17,791
CDI Corporation		437		2,687
Cogint, Inc.		139,918		531,688
Huron Consulting Group, Inc.		2		112
Korn/Ferry International		51,532		1,050,737
Paylocity Holding Corporation		544		23,659
Resources Connection, Inc.		68,128		1,011,701
TriNet Group, Inc.		645		12,107
VSE Corporation		82		2,365
				2,652,847
Road & Rail - 0.5%
Avis Budget Group, Inc.		50		1,618
Celadon Group, Inc.		4,164		27,066
Heartland Express, Inc.		57,512		1,058,221
Norfolk Southern Corporation		3,644		338,892
Providence and Worcester Railroad Company		230		5,748
Student Transportation, Inc.		20,374		117,965
Swift Transportation Company		1,313		29,385
Universal Logistics Holdings, Inc.		32		398
USA Truck, Inc.		168		1,383
				1,580,676
Trading Companies & Distributors - 0.7%
CAI International, Inc.		587		4,467
DXP Enterprises, Inc.		17,865		389,278
Fastenal Company		10,999		428,741

44

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Industrials - 10.4% (Continued)
Trading Companies & Distributors - 0.7% (Continued)
GATX Corporation		1,791	$	78,392
Houston Wire & Cable Company		510		2,728
Huttig Building Products, Inc.		641		3,096
Kaman Corporation		1,180		51,519
Neff Corporation - Class A		114		1,032
Nexeo Solutions, Inc.		134,945		1,014,786
NOW, Inc.		610		13,152
W.W. Grainger, Inc.		1,547		321,962
				2,309,153
Transportation Infrastructure - 0.0% (a)
Sino-Global Shipping America Ltd.		2,905		3,079
Information Technology - 13.7%
Communications Equipment - 1.5%
Applied Optoelectronics, Inc.		75		1,442
Arista Networks, Inc.		4,095		347,051
Blackberry Ltd.		140,496		990,497
CalAmp Corporation		81,072		1,047,450
Ciena Corporation		2,287		44,322
ClearOne, Inc.		1,930		20,940
DragonWave, Inc.		28,000		99,400
EMCORE Corporation		30,214		197,902
Extreme Networks, Inc.		376		1,583
Finisar Corporation		4,885		133,751
Harmonic, Inc.		232,671		1,186,622
Novatel Wireless, Inc.		12,219		32,014
Numerex Corporation - Class A		11,637		82,739
Oclaro, Inc.		5		37
ORBCOMM, Inc.		576		5,144
Palo Alto Networks, Inc.		1,162		178,750
ParkerVision, Inc.		26,988		101,745
PCTEL, Inc.		231		1,173
Resonant, Inc.		21,288		91,113
ViaSat, Inc.		342		24,166
Wi-Lan, Inc.		1,476		2,111
				4,589,952
Electronic Equipment, Instruments & Components - 1.5%
Agilysys, Inc.		3,125		30,156
Anixter International, Inc.		425		27,944
Applied DNA Science, Inc.		17,370		48,636
Clearfield, Inc.		7,385		123,699
ClearSign Combustion Corporation		13,699		71,920
CUI Global, Inc.		2,320		10,997
DTS, Inc.		98		4,150
Fabrinet		9,886		375,273
Fitbit, Inc. - Class A		108,974		1,444,995
Ingram Micro, Inc. - Class A		793		29,500
InvenSense, Inc.		46,564		356,215
Knowles Corporation		77,566		1,158,836
Maxwell Technologies, Inc.		15,735		76,157
Mesa Laboratories, Inc.		927		117,024

45

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Information Technology - 13.7% (Continued)
Electronic Equipment, Instruments & Components - 1.5% (Continued)
MicroVision, Inc.		103,448	$	105,517
MTS Systems Corporation		304		14,455
Neonode, Inc.		98,507		131,014
Netlist, Inc.		97,966		106,783
Park Electrochemical Corporation		116		1,790
PCM, Inc.		8,353		177,084
RadiSys Corporation		14,102		58,805
Research Frontiers, Inc.		5,980		13,096
SuperCom Ltd.		256		686
Uni-Pixel, Inc.		4,574		6,221
Vishay Intertechnology, Inc.		6,330		89,253
				4,580,206
Internet Software & Services - 2.1%
Angie's List, Inc.		12,593		96,966
Apigee Corporation		57,309		994,311
Benefitfocus, Inc.		353		11,473
Care.com, Inc.		55		499
Chegg, Inc.		11,550		76,808
Cimpress N.V.		62		5,162
Envestnet, Inc.		637		22,518
Five9, Inc.		215		3,079
Gogo, Inc.		106,465		1,076,361
Great Elm Capital Group, Inc.		21,845		80,827
GTT Communications, Inc.		1,012		22,770
Hortonworks, Inc.		143,610		1,097,180
inContact, Inc.		369		5,133
Internet Gold-Golden Lines Ltd.		20		240
iPass, Inc.		27,104		48,245
LendingClub Corporation		198,209		977,170
Live Ventures, Inc.		1,310		2,450
LogMeIn, Inc.		21		1,995
Marchex, Inc. - Class B		1,467		3,697
MeetMe, Inc.		196,747		962,093
Net Element, Inc.		1,502		1,712
New Relic, Inc.		118		4,301
Perion Network Ltd.		2,611		2,715
Piksel, Inc. - Series A-2 (b)		346,880		0
Q2 Holdings, Inc.		183		5,142
Reis, Inc.		5,994		117,782
Rocket Fuel, Inc.		5,497		10,884
Shutterstock, Inc.		86		5,073
Stamps.com, Inc.		299		29,168
Synacor, Inc.		22,848		63,403
Tremor Video, Inc.		7,337		12,400
TrueCar, Inc.		2,939		28,361
Tucows, Inc. - Class A		171		5,104
Twilio, Inc. - Class A		2,720		92,806
Twitter, Inc.		17,614		316,171
Zillow Group, Inc. - Class A		12,989		429,027
				6,613,026

46

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Information Technology - 13.7% (Continued)
IT Services - 2.1%
Accenture plc - Class A		36	$	4,185
Blackhawk Network Holdings, Inc.		105		3,617
China Customer Relations Centers, Inc.		6,291		84,425
CIBER, Inc.		16,045		16,366
Cognizant Technology Solutions Corporation		8,393		430,981
Computer Sciences Corporation		6,497		353,762
FleetCor Technologies, Inc.		18		3,155
Forrester Research, Inc.		42		1,565
Mattersight Corporation		24,975		102,398
ModusLink Global Solutions, Inc.		114,868		156,221
NeuStar, Inc. - Class A		4,416		99,139
Paychex, Inc.		6,192		341,798
Planet Payment, Inc.		67,276		234,793
Rightside Group Ltd.		408		3,431
ServiceSource International, Inc.		135,888		645,468
Square, Inc. - Class A		137,477		1,539,742
VeriFone Systems, Inc.		68,540		1,060,999
Virtusa Corporation		51,961		984,141
Visa, Inc. - Class A		4,199		346,460
				6,412,646
Semiconductors & Semiconductor Equipment - 3.0%
Adesto Technologies Corporation		3,178		6,515
Ambarella, Inc.		363		22,277
Amtech Systems, Inc.		1		5
Camtek Ltd.		697		2,021
Canadian Solar, Inc.		43,264		624,732
Cavium, Inc.		1,577		89,022
Cirrus Logic, Inc.		307		16,572
Cree, Inc.		60,783		1,355,461
DSP Group, Inc.		230		2,507
First Solar, Inc.		647		26,197
FormFactor, Inc.		100,190		899,205
GigPeak, Inc.		423,252		1,003,107
Kopin Corporation		57,971		121,159
M/A-COM Technology Solutions Holdings, Inc.		15,038		552,797
Microchip Technology, Inc.		5,593		338,656
MKS Instruments, Inc.		10,081		508,587
Nova Measuring Instruments Ltd.		98		1,173
NVE Corporation		1,940		109,164
NVIDIA Corporation		5,913		420,769
Photronics, Inc.		1,013		9,826
Pixelworks, Inc.		7,488		20,966
QuickLogic Corporation		62,882		51,563
SemiLEDs Corporation		9,531		40,507
Skyworks Solutions, Inc.		4,410		339,306
SolarEdge Technologies, Inc.		83,436		1,143,073
SunPower Corporation		192,250		1,391,890
Sunworks, Inc.		5,610		17,784
Ultratech, Inc.		84		1,788
Veeco Instruments, Inc.		3,999		86,778
				9,203,407

47

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Information Technology - 13.7% (Continued)
Software - 2.4%
ACI Worldwide, Inc.		768	$	13,916
Allot Communications Ltd.		6		31
Attunity Ltd.		14,066		86,787
Blackbaud, Inc.		84		5,158
Bottomline Technologies (de), Inc.		981		22,259
BroadSoft, Inc.		307		12,756
BSQUARE Corporation		909		3,772
Covisint Corporation		1,057		2,378
Digimarc Corporation		2,373		74,987
Ebix, Inc.		17,970		1,006,320
ePlus, inc.		558		51,085
Evolving Systems, Inc.		545		2,316
Exa Corporation		727		10,178
FireEye, Inc.		53,666		623,599
Globant S.A.		346		15,051
Glu Mobile, Inc.		36,964		73,189
Guidance Software, Inc.		21,700		111,972
Imperva, Inc.		28,866		1,065,155
Mitek Systems, Inc.		87,107		587,972
MobileIron, Inc.		140,058		511,212
Model N, Inc.		653		6,726
Net 1 UEPS Technologies, Inc.		172		1,767
NetScout Systems, Inc.		980		26,901
NetSol Technologies, Inc.		316		2,038
Nxt-ID, Inc.		10,488		31,988
Park City Group, Inc.		5,461		71,812
PROS Holdings, Inc.		1,332		29,197
QAD, Inc.		30		722
Sapiens International Corporation		114		1,552
Seachange International, Inc.		17,034		44,799
ServiceNow, Inc.		5,326		468,209
Sito Mobile Ltd.		591		2,837
SS&C Technologies Holdings, Inc.		10,658		340,310
Symantec Corporation		13,883		347,492
TubeMogul, Inc.		2,087		15,235
Tyler Technologies, Inc.		1,959		314,224
VASCO Data Security International, Inc.		320		4,400
VirnetX Holding Corporation		386,647		1,179,273
Workday, Inc. - Class A		3,844		333,198
Workiva, Inc.		477		7,894
				7,510,667
Technology Hardware, Storage & Peripherals - 1.1%
3D Systems Corporation		77,790		1,078,947
Apple, Inc.		3,461		392,962
Concurrent Computer Corporation		27		167
CPI Card Group, Inc.		30,730		169,015
Electronics for Imaging, Inc.		145		6,167
Immersion Corporation		69,248		565,064
Intevac, Inc.		1,142		6,566
Pure Storage, Inc. - Class A		85,806		1,058,846

48

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Information Technology - 13.7% (Continued)
Technology Hardware, Storage & Peripherals - 1.1% (Continued)
USA Technologies, Inc.		906	$	4,077
				3,281,811
Materials - 5.1%
Chemicals - 1.4%
A. Schulman, Inc.		851		24,466
Advanced Emissions Solutions, Inc.		2,184		17,734
AgroFresh Solutions, Inc.		24,925		117,148
American Vanguard Corporation		341		5,183
Balchem Corporation		7,882		598,244
BioAmber, Inc.		23,589		109,925
CF Industries Holdings, Inc.		16,641		399,551
Chemours Company (The)		191		3,138
China Green Agriculture, Inc.		1,818		2,400
E.I. du Pont de Nemours and Company		6,105		419,963
Flotek Industries, Inc.		83,568		984,431
LSB Industries, Inc.		2,352		12,442
NL Industries, Inc.		455		1,456
Olin Corporation		14		307
Platform Specialty Products Corporation		100		729
Rayonier Advanced Materials, Inc.		1,218		15,749
Senomyx, Inc.		410,066		479,777
Terravia Holdings, Inc.		483,995		1,137,388
Tronox Ltd. - Class A		614		4,973
Valhi, Inc.		1,400		2,744
				4,337,748
Construction Materials - 0.4%
Caesarstone Sdot-Yam Ltd.		141		4,984
Summit Materials, Inc. - Class A		56,479		1,058,416
U.S. Concrete, Inc.		105		5,240
				1,068,640
Containers & Packaging - 0.6%
AEP Industries, Inc.		16		1,753
AptarGroup, Inc.		4,777		341,269
Ball Corporation		5,329		410,706
Myers Industries, Inc.		273		3,290
Sealed Air Corporation		80		3,650
Silgan Holdings, Inc.		20,873		1,063,479
UFP Technologies, Inc.		4,454		118,922
				1,943,069
Metals & Mining - 2.7%
AK Steel Holding Corporation		4,084		21,237
Alamos Gold, Inc. - Class A		2,764		21,697
Alexco Resource Corporation		38,791		68,272
Allegheny Technologies, Inc.		1,432		19,533
Asanko Gold, Inc.		281,158		1,040,285
Avino Silver & Gold Mines Ltd.		64,171		125,133
B2Gold Corporation		131,697		380,604
Carpenter Technology Corporation		1,494		47,225
Century Aluminum Company		3,537		25,856
Cliffs Natural Resources, Inc.		206,916		1,142,176
Coeur Mining, Inc.		1,897		21,209

49

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Materials - 5.1% (Continued)
Metals & Mining - 2.7% (Continued)
Compass Minerals International, Inc.		658	$	47,277
Eldorado Gold Corporation		251		793
Endeavour Silver Corporation		8,397		36,947
Exeter Resource Corporation		3,353		3,856
First Majestic Silver Corporation		140,912		1,134,342
Gold Resource Corporation		198,204		1,125,799
Gold Standard Ventures Corporation		292,988		700,241
Great Panther Silver Ltd.		57,169		77,750
Hecla Mining Company		3,562		21,336
HudBay Minerals, Inc.		657		2,792
IAMGOLD Corporation		8,335		33,423
Kaiser Aluminum Corporation		300		21,747
McEwen Mining, Inc.		55,703		181,035
Mountain Province Diamonds, Inc.		701		3,680
NN, Inc.		53,465		943,657
NOVAGOLD Resources, Inc.		3,817		19,085
Olympic Steel, Inc.		36		831
Paramount Gold Nevada Corporation		174		305
Pretium Resources, Inc.		492		4,817
Primero Mining Corporation		180,957		247,911
Royal Gold, Inc.		4,206		289,457
Sandstorm Gold Ltd.		7,003		33,755
Seabridge Gold, Inc.		5,060		55,407
Stillwater Mining Company		1,854		24,695
Tahoe Resources, Inc.		34,525		416,372
United States Steel Corporation		30		580
Worthington Industries, Inc.		236		11,092
				8,352,209
Paper & Forest Products - 0.0% (a)
Boise Cascade Company		27		520
Domtar Corporation		701		25,201
Rentech, Inc.		69		166
				25,887
Real Estate - 4.4%
Equity Real Estate Investment Trusts (REITs) - 4.4%
Acadia Realty Trust		32,946		1,109,951
Agree Realty Corporation		21,661		1,047,309
American Campus Communities, Inc.		5,617		292,702
American Farmland Company		15,813		116,700
City Office REIT, Inc.		41,840		525,510
Cousins Properties, Inc.		34,473		267,855
DCT Industrial Trust, Inc.		17,686		826,821
Education Realty Trust, Inc.		19,043		811,041
Farmland Partners, Inc.		51,177		544,523
Gladstone Commercial Corporation		249		4,445
Healthcare Realty Trust, Inc.		1,628		51,917
Independence Realty Trust, Inc.		135,982		1,132,730
Investors Real Estate Trust		38,214		231,959
Medical Properties Trust, Inc.		83,300		1,161,202
Monogram Residential Trust, Inc.		36,038		379,841
New York REIT, Inc.		127,404		1,200,146

50

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Real Estate - 4.4% (Continued)
Equity Real Estate Investment Trusts (REITs) - 4.4% (Continued)
Physicians Realty Trust		21,557	$	426,182
Preferred Apartment Communities, Inc. - Class A		6,466		84,187
Realty Income Corporation		19,380		1,148,071
Retail Properties of America, Inc. - Class A		93		1,448
STAG Industrial, Inc.		52,181		1,203,816
Terreno Realty Corporation		40,307		1,052,013
				13,620,369
Real Estate Management & Development - 0.0% (a)
Griffin Industrial Realty, Inc.		113		3,520
Realogy Holdings Corporation		636		14,558
				18,078
Telecommunication Services - 1.3%
Diversified Telecommunication Services - 0.8%
Cogent Communications Holdings, Inc.		136		5,018
Frontier Communications Corporation		103,406		415,692
Globalstar, Inc.		51,702		47,855
Intelsat S.A.		97,107		263,160
Iridium Communications, Inc.		14,885		121,313
magicJack VocalTec Ltd.		17,890		110,024
pdvWireless, Inc.		30,170		712,012
Straight Path Communications, Inc. - Class B		38,310		930,167
Windstream Holdings, Inc.		3,520		27,632
Zayo Group Holdings, Inc.		73		2,349
				2,635,222
Wireless Telecommunication Services - 0.5%
NII Holdings, Inc.		9,285		22,748
Shenandoah Telecommunications Company		40,460		1,068,144
Sprint Corporation		65,385		402,772
				1,493,664
Utilities - 1.3%
Electric Utilities - 0.3%
ALLETE, Inc.		16		980
Duke Energy Corporation		39		3,121
Fortis, Inc.		1,934		63,540
Otter Tail Corporation		31		1,114
Spark Energy, Inc. - Class A		25,754		623,247
Westar Energy, Inc.		6,102		349,767
				1,041,769
Gas Utilities - 0.0% (a)
Chesapeake Utilities Corporation		43		2,754
Gas Natural, Inc.		83		1,025
South Jersey Industries, Inc.		475		14,084
				17,863
Independent Power and Renewable Electricity Producers - 0.7%
Atlantica Yield plc		288		5,178
Dynegy, Inc.		168		1,789
TerraForm Global, Inc. - Class A		285,547		1,070,801
TerraForm Power, Inc. - Class A		2,362		29,313
Vivint Solar, Inc.		362,361		1,123,319
				2,230,400

51

TFS MARKET NEUTRAL FUND

SCHEDULE OF SECURITIES SOLD SHORT (Continued)

COMMON STOCKS - 81.3% (Continued)	Shares		Value
Utilities - 1.3% (Continued)
Multi-Utilities - 0.3%
Black Hills Corporation		11,848	$	732,799
CenterPoint Energy, Inc.		165		3,762
				736,561
Water Utilities - 0.0% (a)
Cadiz, Inc.		15,013		111,096
Total Common Stocks (Proceeds $296,178,947)			$	250,787,392

RIGHTS - 0.0% (a)	Shares		Value
Great Elm Capital Group, Inc. (b) (Proceeds $18,647)		21,845	$	934

WARRANTS - 0.1%	Shares		Value
Central European Media Enterprises Ltd. (b)		113,022	$	163,882
Sears Holdings Corporation		36		120
Total Warrants (Proceeds $538,828)			$	164,002
Total Securities Sold Short - 81.4% (Proceeds $296,736,422)			$	250,952,328

ADR - American Depositary Receipt.

^(a) Percentage rounds to less than 0.1%.

^(b) Security has been valued at fair value pursuant to procedures adopted by and under the supervision of the Board of Trustees. The total value of such securities is $643,932 at October 31, 2016 representing 0.2% of net assets.

See accompanying notes to financial statements.

52

TFS SMALL CAP FUND

SCHEDULE OF INVESTMENTS

October 31, 2016

COMMON STOCKS - 99.5%	Shares		Value
Consumer Discretionary - 14.3%
Auto Components - 1.8%
American Axle & Manufacturing Holdings, Inc. (a)		14,797	$	265,162
Cooper-Standard Holdings, Inc. (a)		890		81,230
Dana Holding Corporation		1,173		18,158
Drew Industries, Inc.		1,706		152,772
Federal-Mogul Holdings Corporation (a)		18,976		175,718
Horizon Global Corporation (a)		5,122		102,645
Standard Motor Products, Inc.		38		1,858
Stoneridge, Inc. (a)		5,510		81,658
Superior Industries International, Inc.		3,186		78,057
Tenneco, Inc. (a)		3,464		190,763
Tower International, Inc.		3,668		79,596
				1,227,617
Diversified Consumer Services - 0.9%
Capella Education Company		4,880		356,728
Graham Holdings Company - Class B		247		117,325
K12, Inc. (a)		2,127		23,057
Liberty Tax, Inc. - Class A		6,530		77,380
				574,490
Hotels, Restaurants & Leisure - 2.4%
Bloomin' Brands, Inc.		11,312		195,698
Caesars Acquisition Company - Class A (a)		12,086		140,802
Carrols Restaurant Group, Inc. (a)		13,418		167,725
Choice Hotels International, Inc.		1,777		86,096
DineEquity, Inc.		1,014		80,207
International Speedway Corporation - Class A		2,529		83,204
Isle of Capri Casinos, Inc. (a)		3,967		83,307
La Quinta Holdings, Inc. (a)		24,364		243,884
Marcus Corporation (The)		4,951		131,201
Monarch Casino & Resort, Inc. (a)		3,273		77,406
Ruth's Hospitality Group, Inc.		5,647		89,505
Texas Roadhouse, Inc.		4,876		197,576
				1,576,611
Household Durables - 1.6%
Bassett Furniture Industries, Inc.		3,069		70,433
Beazer Homes USA, Inc. (a)		6,151		62,925
Century Communities, Inc. (a)		1,014		19,976
Flexsteel Industries, Inc.		1,990		83,381
Helen of Troy Ltd. (a)		996		81,174
Hooker Furniture Corporation		3,080		81,004
Hovnanian Enterprises, Inc. - Class A (a)		80,526		125,621
La-Z-Boy, Inc.		9,957		232,994
Lennar Corporation - Class B		2,423		81,219
Libbey, Inc.		8,090		129,521
Taylor Morrison Home Corporation - Class A (a)		3,204		54,660
WCI Communities, Inc. (a)		1,160		26,854
				1,049,762
Internet & Direct Marketing Retail - 1.0%
Liberty TripAdvisor Holdings, Inc. - Series A (a)		16,271		361,216
Overstock.com, Inc. (a)		11,301		165,560

53

TFS SMALL CAP FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 99.5% (Continued)	Shares		Value
Consumer Discretionary - 14.3% (Continued)
Internet & Direct Marketing Retail - 1.0% (Continued)
Travelport Worldwide Ltd.		11,019	$	155,588
				682,364
Leisure Products - 1.1%
Callaway Golf Company		36,132		368,908
Johnson Outdoors, Inc. - Class A		7,799		280,608
MCBC Holdings, Inc.		6,954		77,467
				726,983
Media - 1.5%
AMC Entertainment Holdings, Inc. - Class A		5,849		183,951
Clear Channel Outdoor Holdings, Inc. - Class A		1,975		11,356
E.W. Scripps Company (The) - Class A (a)		4,716		62,534
Liberty Braves Group - Series A (a)		4,624		78,377
Liberty Braves Group - Series C (a)		4,944		82,416
Liberty Broadband Corporation - Series A (a)		1,234		80,148
Liberty Media Group - Series A (a)		2,888		80,373
Meredith Corporation		27		1,225
National CineMedia, Inc.		1,425		19,765
News Corporation - Class B		6,245		77,438
Time, Inc.		13,824		179,712
Tronc, Inc.		6,413		77,148
Viacom, Inc. - Class A		1,929		81,597
				1,016,040
Multiline Retail - 0.2%
Big Lots, Inc.		2,217		96,218
Dillard's, Inc. - Class A		1,175		72,027
				168,245
Specialty Retail - 3.2%
Aaron's, Inc.		3,067		75,786
Ascena Retail Group, Inc. (a)		14,182		69,350
Barnes & Noble, Inc.		13,289		136,877
Caleres, Inc.		3,235		80,907
Cato Corporation (The) - Class A		2,755		81,741
Chico's FAS, Inc.		1,939		22,628
Citi Trends, Inc.		4,032		80,076
Francesca's Holdings Corporation (a)		5,210		83,725
Genesco, Inc. (a)		4,850		260,930
Kirkland's, Inc. (a)		1,630		19,902
Lithia Motors, Inc. - Class A		913		78,317
MarineMax, Inc. (a)		11,803		235,470
Office Depot, Inc.		105,012		330,788
Party City Holdco, Inc. (a)		10,076		163,735
Rent-A-Center, Inc.		8,033		81,053
Select Comfort Corporation (a)		4,107		78,813
Shoe Carnival, Inc.		2,324		58,960
Stage Stores, Inc.		5,191		26,422
Tilly's, Inc. - Class A (a)		8,590		79,715
West Marine, Inc. (a)		9,985		79,880
				2,125,075
Textiles, Apparel & Luxury Goods - 0.6%
Crocs, Inc. (a)		23,819		183,168
Culp, Inc.		3,035		84,980

54

TFS SMALL CAP FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 99.5% (Continued)	Shares		Value
Consumer Discretionary - 14.3% (Continued)
Textiles, Apparel & Luxury Goods - 0.6% (Continued)
Perry Ellis International, Inc. (a)		2,806	$	52,163
Unifi, Inc. (a)		2,589		74,434
				394,745
Consumer Staples - 3.7%
Beverages - 0.4%
Coca-Cola Bottling Company Consolidated		1,790		252,927
Food & Staples Retailing - 1.3%
Diplomat Pharmacy, Inc. (a)		1,997		46,270
Performance Food Group Company (a)		7,893		189,432
SpartanNash Company		8,775		245,700
SUPERVALU, Inc. (a)		17,972		77,100
Village Super Market, Inc. - Class A		8,018		239,738
Weis Markets, Inc.		1,438		79,996
				878,236
Food Products - 1.2%
Darling Ingredients, Inc. (a)		20,238		275,237
Fresh Del Monte Produce, Inc.		3,183		192,094
John B. Sanfilippo & Son, Inc.		1,716		86,967
Lifeway Foods, Inc. (a)		1,048		18,738
Omega Protein Corporation (a)		2,999		66,878
Seaboard Corporation (a)		55		186,175
				826,089
Household Products - 0.4%
Central Garden & Pet Company - Class A (a)		10,668		248,991
HRG Group, Inc. (a)		145		2,181
				251,172
Personal Products - 0.4%
Inter Parfums, Inc.		3,938		128,379
Medifast, Inc.		1,926		79,081
Revlon, Inc. - Class A (a)		2,303		78,302
				285,762
Energy - 4.2%
Energy Equipment & Services - 1.8%
Archrock, Inc.		20,288		235,341
Atwood Oceanics, Inc.		7,297		55,676
Dril-Quip, Inc. (a)		1,399		66,452
Exterran Corporation (a)		4,947		78,212
Fairmount Santrol Holdings, Inc. (a)		969		8,324
Helix Energy Solutions Group, Inc. (a)		18,580		162,018
Independence Contract Drilling, Inc. (a)		16,483		65,602
Matrix Service Company (a)		4,581		81,084
Noble Corporation plc		10,710		52,907
Parker Drilling Company (a)		26,552		53,104
RigNet, Inc. (a)		5,293		79,395
TETRA Technologies, Inc. (a)		32,567		177,490
Unit Corporation (a)		4,167		71,381
				1,186,986
Oil, Gas & Consumable Fuels - 2.4%
Abraxas Petroleum Corporation (a)		22,509		36,465
Callon Petroleum Company (a)		9,827		127,653

55

TFS SMALL CAP FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 99.5% (Continued)	Shares		Value
Energy - 4.2% (Continued)
Oil, Gas & Consumable Fuels - 2.4% (Continued)
Carrizo Oil & Gas, Inc. (a)		4,999	$	169,116
Cloud Peak Energy, Inc. (a)		529		3,259
Contango Oil & Gas Company (a)		9,103		71,276
Eclipse Resources Corporation (a)		28,112		77,027
Evolution Petroleum Corporation		11,879		91,468
GasLog Ltd.		16,379		251,418
Gastar Exploration, Inc. (a)		40,728		43,986
Gener8 Maritime, Inc. (a)		8,287		34,971
Green Plains, Inc.		1,562		40,612
Hallador Energy Company		10,361		91,591
Overseas Shipholding Group, Inc. - Class A		8,568		75,056
PDC Energy, Inc. (a)		3,024		185,462
Rex American Resources Corporation (a)		980		77,410
Sanchez Energy Corporation (a)		9,493		60,470
Teekay Corporation		21,743		141,982
Westmoreland Coal Company (a)		2,685		23,843
				1,603,065
Financials - 14.9%
Banks - 6.5%
1st Source Corporation		2,282		78,866
Associated Banc-Corp		3,910		79,373
Boston Private Financial Holdings, Inc.		6,077		79,913
Bryn Mawr Bank Corporation		4,916		154,362
Cardinal Financial Corporation		7,686		201,988
Cathay General Bancorp		2,404		72,000
CenterState Banks, Inc.		16,011		299,086
Community Trust Bancorp, Inc.		342		12,500
Enterprise Financial Services Corporation		2,774		91,819
Farmers National Banc Corporation		1,449		15,215
Fidelity Southern Corporation		3,425		62,438
First BanCorp (Puerto Rico) (a)		46,457		238,324
First Busey Corporation		1,956		45,203
First Citizens BancShares, Inc. - Class A		663		192,933
First Financial Bancorp		3,691		79,357
First Horizon National Corporation		1		3
First Midwest Bancorp, Inc.		9,720		187,693
First NBC Bank Holding Company (a)		14,312		77,285
German American Bancorp, Inc.		359		13,976
Great Southern Bancorp, Inc.		1,935		80,012
Great Western Bancorp, Inc.		3,076		99,170
Guaranty Bancorp		4,516		85,804
Hanmi Financial Corporation		3,370		84,250
Hilltop Holdings, Inc. (a)		7,822		193,203
Home BancShares, Inc.		2,331		50,140
IBERIABANK Corporation		2,736		179,618
Lakeland Financial Corporation		1,134		41,777
LegacyTexas Financial Group, Inc.		1,385		47,381
MainSource Financial Group, Inc.		856		21,366
MB Financial, Inc.		3,008		109,461
Merchants Bancshares, Inc.		1,837		78,991
National Bank Holdings Corporation - Class A		3,239		78,837

56

TFS SMALL CAP FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 99.5% (Continued)	Shares		Value
Financials - 14.9% (Continued)
Banks - 6.5% (Continued)
Pacific Premier Bancorp, Inc. (a)		1,951	$	50,433
PrivateBancorp, Inc.		4,221		190,958
Seacoast Banking Corporation of Florida (a)		14,100		245,481
Sierra Bancorp		4,323		77,209
Simmons First National Corporation - Class A		895		44,168
Sterling Bancorp		10,753		193,554
Union Bankshares Corporation		298		8,323
United Community Banks, Inc.		12,840		276,959
United Community Financial Corporation		4,314		31,708
Wintrust Financial Corporation		2,196		118,474
				4,369,611
Capital Markets - 1.0%
Arlington Asset Investment Corporation - Class A		467		6,669
Associated Capital Group, Inc. - Class A		2,100		71,295
BGC Partners, Inc. - Class A		1,959		16,828
Houlihan Lokey, Inc. - Class A		2,451		59,731
INTL FCStone, Inc. (a)		981		35,218
Moelis & Company - Class A		1,448		36,779
OM Asset Management plc		21,996		309,483
Piper Jaffray Companies (a)		1,925		108,859
				644,862
Consumer Finance - 0.6%
FirstCash, Inc.		3,855		181,956
Nelnet, Inc. - Class A		4,816		188,691
				370,647
Insurance - 3.9%
American Equity Investment Life Holding Company		10,388		186,257
AMERISAFE, Inc.		3,096		172,138
Argo Group International Holdings Ltd.		164		9,118
Aspen Insurance Holdings Ltd.		1,639		79,082
Atlas Financial Holdings, Inc. (a)		3,629		62,237
CNO Financial Group, Inc.		4,802		72,414
Employers Holdings, Inc.		4,386		137,501
FBL Financial Group, Inc. - Class A		505		31,966
Federated National Holding Company		3,054		54,697
Genworth Financial, Inc. - Class A (a)		17,727		73,390
Horace Mann Educators Corporation		5,138		184,711
James River Group Holdings Ltd.		2,913		109,645
National General Holdings Corporation		12,718		261,355
National Western Life Group, Inc. - Class A		429		92,407
Navigators Group, Inc. (The)		3,489		325,175
OneBeacon Insurance Group Ltd. - Class A		5,567		76,491
Safety Insurance Group, Inc.		3,768		255,094
Selective Insurance Group, Inc.		6,952		256,876
State National Companies, Inc.		6,709		68,633
United Fire Group, Inc.		3,178		125,595
				2,634,782
Mortgage Real Estate Investment Trusts - 1.2%
Ares Commercial Real Estate Corporation		6,295		82,590
CYS Investments, Inc.		29,460		253,945
Dynex Capital, Inc.		11,643		79,988

57

TFS SMALL CAP FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 99.5% (Continued)	Shares		Value
Financials - 14.9% (Continued)
Mortgage Real Estate Investment Trusts - 1.2% (Continued)
Great Ajax Corporation		5,729	$	79,404
Ladder Capital Corporation - Class A		6,564		83,232
MTGE Investment Corporation		4,579		78,072
New Residential Investment Corporation		2,054		28,674
Two Harbors Investment Corporation		9,895		82,425
				768,330
Thrifts & Mortgage Finance - 1.7%
Bank Mutual Corporation		91		710
Berkshire Hills Bancorp, Inc.		2,957		87,379
Essent Group Ltd. (a)		6,860		181,378
Hingham Institution for Savings		306		43,896
HomeStreet, Inc. (a)		786		21,654
NMI Holdings, Inc. - Class A (a)		36,754		281,168
Ocwen Financial Corporation (a)		22,159		94,619
PennyMac Financial Services, Inc. - Class A (a)		3,690		63,099
Provident Financial Services, Inc.		3,883		88,105
Radian Group, Inc.		710		9,649
Walker & Dunlop, Inc. (a)		567		13,648
Washington Federal, Inc.		6,679		182,003
Waterstone Financial, Inc.		243		4,119
WSFS Financial Corporation		2,021		70,836
				1,142,263
Health Care - 17.6%
Biotechnology - 4.1%
Agios Pharmaceuticals, Inc. (a)		1,492		71,377
AMAG Pharmaceuticals, Inc. (a)		9,629		247,465
BioSpecifics Technologies Corporation (a)		5,833		253,094
Biostage, Inc. (a)		1		1
Cepheid (a)		3,617		191,339
Chemocentryx, Inc. (a)		5,524		33,034
Coherus Biosciences, Inc. (a)		1,506		41,189
CoLucid Pharmaceuticals, Inc. (a)		3,069		93,298
Concert Pharmaceuticals, Inc. (a)		8,137		62,818
FibroGen, Inc. (a)		13,740		227,397
Genomic Health, Inc. (a)		8,451		251,924
Ignyta, Inc. (a)		15,581		77,905
Ironwood Pharmaceuticals, Inc. - Class A (a)		13,723		175,243
Karyopharm Therapeutics, Inc. (a)		13,731		99,412
Medgenics, Inc. (a)		11,772		56,741
Natera, Inc. (a)		16,780		142,294
Proteostasis Therapeutics, Inc. (a)		9,246		65,832
Rigel Pharmaceuticals, Inc. (a)		13,782		35,833
Spark Therapeutics, Inc. (a)		3,047		143,240
Stemline Therapeutics, Inc. (a)		8,928		101,779
Syndax Pharmaceuticals, Inc. (a)		6,452		76,198
Tobira Therapeutics, Inc. (a)		2,038		85,779
Vanda Pharmaceuticals, Inc. (a)		9,269		137,645
Versartis, Inc. (a)		4,947		54,664
				2,725,501
Health Care Equipment & Supplies - 5.6%
Abaxis, Inc.		1,474		70,369

58

TFS SMALL CAP FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 99.5% (Continued)	Shares		Value
Health Care - 17.6% (Continued)
Health Care Equipment & Supplies - 5.6% (Continued)
Accuray, Inc. (a)		9,902	$	48,520
AngioDynamics, Inc. (a)		5,099		81,278
Atrion Corporation		190		83,438
Bovie Medical Corporation (a)		5,747		31,666
Cantel Medical Corporation		3,737		266,186
CryoLife, Inc.		9,916		168,572
Cutera, Inc. (a)		3,339		43,741
Cynosure, Inc. - Class A (a)		5,241		223,529
EndoChoice Holdings, Inc. (a)		1,297		10,311
Exactech, Inc. (a)		3,205		77,401
Glaukos Corporation (a)		5,161		172,377
Haemonetics Corporation (a)		9,844		328,888
Halyard Health, Inc. (a)		7,632		246,895
ICU Medical, Inc. (a)		2,866		399,234
Integra LifeSciences Holdings Corporation (a)		1,012		80,464
Lantheus Holdings, Inc. (a)		14,795		127,977
LeMaitre Vascular, Inc.		6,186		129,535
Masimo Corporation (a)		6,735		370,425
Merit Medical Systems, Inc. (a)		3,585		78,691
Natus Medical, Inc. (a)		2,814		110,731
Neogen Corporation (a)		1,414		74,504
OraSure Technologies, Inc. (a)		20,421		153,362
Orthofix International N.V. (a)		7,960		291,734
Spectranetics Corporation (The) (a)		3,609		78,315
Surmodics, Inc. (a)		826		20,567
				3,768,710
Health Care Providers & Services - 3.9%
Almost Family, Inc. (a)		2,131		83,642
Amedisys, Inc. (a)		1,873		81,026
AMN Healthcare Services, Inc. (a)		1,390		45,592
BioTelemetry, Inc. (a)		5,409		95,739
Capital Senior Living Corporation (a)		4,450		71,067
Chemed Corporation		506		71,559
Civitas Solutions, Inc. (a)		7,698		131,636
Community Health Systems, Inc. (a)		6,022		31,796
CorVel Corporation (a)		4,407		152,262
Cross Country Healthcare, Inc. (a)		3,748		41,865
Ensign Group, Inc. (The)		3,894		71,922
HealthEquity, Inc. (a)		2,304		76,562
HealthSouth Corporation		3,746		150,402
Healthways, Inc. (a)		3,275		81,220
HMS Holdings Corporation (a)		5,564		117,233
Kindred Healthcare, Inc.		24,065		237,040
Landauer, Inc.		528		22,968
LHC Group, Inc. (a)		5,073		173,852
Magellan Health, Inc. (a)		2,652		136,445
National HealthCare Corporation		857		55,448
PharMerica Corporation (a)		4,255		101,269
Premier, Inc. - Class A (a)		2,528		80,492
Providence Service Corporation (The) (a)		1,881		76,115
Psychemedics Corporation		500		11,740

59

TFS SMALL CAP FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 99.5% (Continued)	Shares		Value
Health Care - 17.6% (Continued)
Health Care Providers & Services - 3.9% (Continued)
Quorum Health Corporation (a)		3,159	$	12,762
RadNet, Inc. (a)		15,295		106,300
Select Medical Holdings Corporation (a)		5,644		73,372
Surgery Partners, Inc. (a)		6,253		100,673
Surgical Care Affiliates, Inc. (a)		1,546		66,153
Tenet Healthcare Corporation (a)		2,665		52,527
				2,610,679
Health Care Technology - 0.2%
Allscripts Healthcare Solutions, Inc. (a)		5,148		61,828
Quality Systems, Inc.		6,300		81,207
				143,035
Life Sciences Tools & Services - 1.6%
Albany Molecular Research, Inc. (a)		21		327
Cambrex Corporation (a)		1,922		77,457
Enzo Biochem, Inc. (a)		17,863		108,964
INC Research Holdings, Inc. - Class A (a)		8,090		369,713
NanoString Technologies, Inc. (a)		4,031		78,403
NeoGenomics, Inc. (a)		9,700		78,182
PAREXEL International Corporation (a)		2,841		165,517
PRA Health Sciences, Inc. (a)		3,249		172,912
				1,051,475
Pharmaceuticals - 2.2%
Aclaris Therapeutics, Inc. (a)		3,668		77,945
ANI Pharmaceuticals, Inc. (a)		1,160		69,252
Aratana Therapeutics, Inc. (a)		19,445		157,505
Catalent, Inc. (a)		7,958		181,522
DURECT Corporation (a)		32,060		35,907
Heska Corporation (a)		5,231		258,411
Impax Laboratories, Inc. (a)		7,980		160,398
Phibro Animal Health Corporation - Class A		12,458		323,285
Prestige Brands Holdings, Inc. (a)		4,064		184,018
				1,448,243
Industrials - 13.0%
Aerospace & Defense - 1.0%
Astronics Corporation (a)		2,945		109,024
Curtiss-Wright Corporation		2,151		192,773
Ducommun, Inc. (a)		4,041		76,941
HEICO Corporation - Class A		1,412		84,720
Moog, Inc. - Class A (a)		2,205		128,044
Sparton Corporation (a)		3,247		77,701
Teledyne Technologies, Inc. (a)		158		17,013
				686,216
Air Freight & Logistics - 0.2%
Forward Air Corporation		1,962		81,070
Park-Ohio Holdings Corporation		1,460		46,647
				127,717
Airlines - 0.4%
SkyWest, Inc.		9,014		271,772
Building Products - 1.4%
American Woodmark Corporation (a)		924		69,023

60

TFS SMALL CAP FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 99.5% (Continued)	Shares		Value
Industrials - 13.0% (Continued)
Building Products - 1.4% (Continued)
Armstrong Flooring, Inc. (a)		11,374	$	184,145
Continental Building Products, Inc. (a)		8,551		174,868
PGT, Inc. (a)		5,358		52,508
Ply Gem Holdings, Inc. (a)		13,419		183,840
TopBuild Corporation (a)		5,537		166,830
Trex Company, Inc. (a)		1,290		69,415
Universal Forest Products, Inc.		917		78,853
				979,482
Commercial Services & Supplies - 2.2%
ACCO Brands Corporation (a)		7,027		78,000
Brink's Company (The)		2,188		86,535
Casella Waste Systems, Inc. - Class A (a)		11,933		133,649
CECO Environmental Corporation		1,921		19,018
Essendant, Inc.		19,383		297,529
Interface, Inc.		5,228		82,864
Knoll, Inc.		11,125		240,745
Quad/Graphics, Inc. - Class A		2,568		61,016
Viad Corporation		8,200		340,300
West Corporation		5,601		110,452
				1,450,108
Construction & Engineering - 1.4%
Argan, Inc.		3,019		171,630
Comfort Systems USA, Inc.		2,962		85,454
EMCOR Group, Inc.		3,203		193,653
HC2 Holdings, Inc.		4,273		17,007
IES Holdings, Inc. (a)		5,545		82,898
KBR, Inc.		5,479		81,144
MYR Group, Inc. (a)		4,904		146,335
Orion Marine Group, Inc. (a)		9,887		79,887
Sterling Construction Company, Inc. (a)		10,668		77,663
				935,671
Electrical Equipment - 1.2%
AZZ, Inc.		1,483		78,970
Babcock & Wilcox Enterprises, Inc. (a)		9,442		148,617
Belden, Inc.		524		33,960
Encore Wire Corporation		5,332		182,088
EnerSys, Inc.		2,881		187,639
LSI Industries, Inc.		4,665		40,119
Powell Industries, Inc.		931		32,948
Regal Beloit Corporation		1,366		80,731
				785,072
Machinery - 2.3%
Alamo Group, Inc.		1,246		80,890
Albany International Corporation - Class A		3,479		141,769
Chart Industries, Inc. (a)		8,141		225,831
Commercial Vehicle Group, Inc. (a)		4,614		20,948
Dynamic Materials Corporation		1,044		11,327
Federal Signal Corporation		2,892		35,514
Global Brass & Copper Holdings, Inc.		2,836		81,393
Harsco Corporation		16,101		156,985
Hillenbrand, Inc.		2,015		61,155

61

TFS SMALL CAP FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 99.5% (Continued)	Shares		Value
Industrials - 13.0% (Continued)
Machinery - 2.3% (Continued)
Kadant, Inc.		356	$	18,387
Lydall, Inc. (a)		3,356		156,893
Meritor, Inc. (a)		16,140		165,919
Mueller Industries, Inc.		5,298		160,476
Mueller Water Products, Inc. - Series A		6,511		80,216
Rexnord Corporation (a)		2,532		50,362
SPX Corporation (a)		972		18,478
SPX FLOW, Inc. (a)		4,506		113,056
				1,579,599
Marine - 0.3%
Matson, Inc.		4,765		190,314
Professional Services - 1.7%
Acacia Research Corporation (a)		13,484		78,881
CBIZ, Inc. (a)		106		1,171
CRA International, Inc. (a)		3,571		111,201
FTI Consulting, Inc. (a)		4,342		169,164
Heidrick & Struggles International, Inc.		4,421		81,789
ICF International, Inc. (a)		42		1,949
Kelly Services, Inc. - Class A		9,217		172,635
Mistras Group, Inc. (a)		3,894		81,540
Navigant Consulting, Inc. (a)		4,036		94,442
On Assignment, Inc. (a)		7,459		256,664
Resources Connection, Inc.		81		1,203
TrueBlue, Inc. (a)		4,647		81,323
				1,131,962
Road & Rail - 0.1%
Roadrunner Transportation Systems, Inc. (a)		1,848		14,045
YRC Worldwide, Inc. (a)		5,584		49,586
				63,631
Trading Companies & Distributors - 0.8%
Textainer Group Holdings Ltd.		17,600		133,760
Univar, Inc. (a)		8,545		190,126
Veritiv Corporation (a)		2,045		110,328
Willis Lease Finance Corporation (a)		3,017		80,282
				514,496
Information Technology - 15.4%
Communications Equipment - 1.2%
Applied Optoelectronics, Inc. (a)		61		1,173
Bel Fuse, Inc. - Class B		489		11,663
Black Box Corporation		14,440		166,060
Digi International, Inc. (a)		7,429		67,975
Extreme Networks, Inc. (a)		37,079		156,103
Ixia (a)		3,537		42,267
ShoreTel, Inc. (a)		11,648		77,459
Sonus Networks, Inc. (a)		13,269		76,828
Viavi Solutions, Inc. (a)		26,193		186,494
				786,022
Electronic Equipment, Instruments & Components - 2.2%
Anixter International, Inc. (a)		1,211		79,623
AVX Corporation		14,665		205,603

62

TFS SMALL CAP FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 99.5% (Continued)	Shares		Value
Information Technology - 15.4% (Continued)
Electronic Equipment, Instruments & Components - 2.2% (Continued)
Benchmark Electronics, Inc. (a)		10,227	$	257,209
Fitbit, Inc. - Class A (a)		900		11,934
II-VI, Inc. (a)		3,410		94,798
Insight Enterprises, Inc. (a)		8,381		241,289
Kimball Electronics, Inc. (a)		3,354		46,621
PCM, Inc. (a)		1,456		30,867
Plexus Corporation (a)		319		14,613
Rogers Corporation (a)		4,470		243,302
Sanmina Corporation (a)		993		27,457
ScanSource, Inc. (a)		4,770		166,950
TTM Technologies, Inc. (a)		5,718		75,192
				1,495,458
Internet Software & Services - 2.6%
Apigee Corporation (a)		4,635		80,417
Bankrate, Inc. (a)		10,286		80,231
Bazaarvoice, Inc. (a)		21,953		107,570
Carbonite, Inc. (a)		7,788		132,785
Cornerstone OnDemand, Inc. (a)		4,632		191,302
Cvent, Inc. (a)		2,608		81,422
DHI Group, Inc. (a)		13,927		79,384
EarthLink Holdings Corporation		36,809		210,547
Endurance International Group Holdings, Inc. (a)		9,017		66,275
Everyday Health, Inc. (a)		10,381		109,001
Intralinks Holdings, Inc. (a)		8,194		75,139
Limelight Networks, Inc. (a)		3,312		5,895
Liquidity Services, Inc. (a)		19,277		170,601
LivePerson, Inc. (a)		8,257		70,185
NIC, Inc.		2,510		57,605
Rackspace Hosting, Inc. (a)		34		1,086
Rocket Fuel, Inc. (a)		7,696		15,238
WebMD Health Corporation (a)		3,049		149,797
XO Group, Inc. (a)		4,343		79,911
				1,764,391
IT Services - 1.4%
CACI International, Inc. - Class A (a)		805		78,769
Cass Information Systems, Inc.		324		17,451
Convergys Corporation		5,882		171,754
EVERTEC, Inc.		5,167		78,280
ExlService Holdings, Inc. (a)		2,228		98,099
Forrester Research, Inc.		3,422		127,469
Hackett Group, Inc. (The)		4,973		80,165
MoneyGram International, Inc. (a)		5,033		35,281
Perficient, Inc. (a)		7,624		141,883
PFSweb, Inc. (a)		976		7,047
Sykes Enterprises, Inc. (a)		2,977		79,605
				915,803
Semiconductors & Semiconductor Equipment - 3.8%
Advanced Energy Industries, Inc. (a)		1,727		82,378
Alpha & Omega Semiconductor Ltd. (a)		7,956		168,110
Amkor Technology, Inc. (a)		37,888		351,222
AXT, Inc. (a)		16,347		84,187

63

TFS SMALL CAP FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 99.5% (Continued)	Shares		Value
Information Technology - 15.4% (Continued)
Semiconductors & Semiconductor Equipment - 3.8% (Continued)
Brooks Automation, Inc.		9,597	$	125,049
Cohu, Inc.		10,126		113,310
Cyberoptics Corporation (a)		4,463		107,781
DSP Group, Inc. (a)		7,750		84,475
Entegris, Inc. (a)		16,819		267,422
MaxLinear, Inc. - Class A (a)		9,676		181,038
Nanometrics, Inc. (a)		6,265		130,876
NeoPhotonics Corporation (a)		4,460		62,440
Rudolph Technologies, Inc. (a)		18,108		327,755
Semtech Corporation (a)		3,257		78,819
Synaptics, Inc. (a)		1,160		60,459
Ultra Clean Holdings, Inc. (a)		9,530		81,005
Ultratech, Inc. (a)		9,493		202,106
Xcerra Corporation (a)		3,749		20,657
				2,529,089
Software - 3.1%
A10 Networks, Inc. (a)		15,107		115,720
Barracuda Networks, Inc. (a)		2,015		46,990
CommerceHub, Inc. - Series A (a)		3,795		57,001
CommerceHub, Inc. - Series C (a)		5,289		79,599
CommVault Systems, Inc. (a)		4,989		266,911
Fair Isaac Corporation		1,565		188,864
Fleetmatics Group plc (a)		1,345		80,566
HubSpot, Inc. (a)		1,453		76,210
Mentor Graphics Corporation		6,618		191,260
MicroStrategy, Inc. - Class A (a)		1,103		214,875
MobileIron, Inc. (a)		5,818		21,236
Monotype Imaging Holdings, Inc.		3,885		74,204
Progress Software Corporation (a)		2,975		80,057
RealPage, Inc. (a)		2,947		80,158
RingCentral, Inc. - Class A (a)		3,165		65,516
Rubicon Project, Inc. (The) (a)		28,010		214,557
Synchronoss Technologies, Inc. (a)		4,669		171,399
Zynga, Inc. - Class A (a)		27,988		78,646
				2,103,769
Technology Hardware, Storage & Peripherals - 1.1%
Eastman Kodak Company (a)		9,920		147,808
Lexmark International, Inc. - Class A		2,797		111,013
Silicon Graphics International Corporation (a)		25,701		199,183
Super Micro Computer, Inc. (a)		10,521		249,347
				707,351
Materials - 4.3%
Chemicals - 2.3%
A. Schulman, Inc.		2,816		80,960
Chemtura Corporation (a)		2,712		88,953
FutureFuel Corporation		8,435		92,448
H.B. Fuller Company		4,110		172,908
Hawkins, Inc.		383		15,454
Innophos Holdings, Inc.		2,109		96,676
Innospec, Inc.		1,948		117,367
KMG Chemicals, Inc.		2,900		78,706

64

TFS SMALL CAP FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 99.5% (Continued)	Shares		Value
Materials - 4.3% (Continued)
Chemicals - 2.3% (Continued)
Kraton Corporation (a)		3,048	$	78,120
OMNOVA Solutions, Inc. (a)		10,353		78,683
PolyOne Corporation		6,270		183,272
Stepan Company		4,858		345,064
Trinseo S.A.		1,487		77,993
				1,506,604
Construction Materials - 0.3%
Headwaters, Inc. (a)		10,730		175,972
Containers & Packaging - 0.1%
AEP Industries, Inc.		729		79,862
Metals & Mining - 1.1%
Cliffs Natural Resources, Inc. (a)		9,288		51,270
Commercial Metals Company		11,635		182,786
Hecla Mining Company		11,303		67,705
Real Industry, Inc. (a)		27,276		145,926
Schnitzer Steel Industries, Inc. - Class A		3,319		80,154
SunCoke Energy, Inc.		21,496		219,474
				747,315
Paper & Forest Products - 0.5%
Boise Cascade Company (a)		8,018		154,347
Clearwater Paper Corporation (a)		1,464		77,738
Schweitzer-Mauduit International, Inc.		3,079		113,646
				345,731
Real Estate - 9.0%
Equity Real Estate Investment Trusts (REITs) - 9.0%
Bluerock Residential Growth REIT, Inc. - Class A		19,205		238,142
CBL & Associates Properties, Inc.		42,658		456,441
Cedar Realty Trust, Inc.		30,645		207,467
CorEnergy Infrastructure Trust, Inc.		15,461		418,684
Global Net Lease, Inc.		14,672		108,720
Government Properties Income Trust		21,589		413,213
Hudson Pacific Properties, Inc.		16,152		543,030
Mack-Cali Realty Corporation		15,575		399,966
National Health Investors, Inc.		4,257		322,510
Pennsylvania Real Estate Investment Trust		19,271		375,977
Ramco-Gershenson Properties Trust		23,547		408,305
Sabra Health Care REIT, Inc.		15,391		358,610
Silver Bay Realty Trust Corporation		15,868		265,789
TIER REIT, Inc.		33,079		487,915
Urban Edge Properties		5,485		141,568
Washington Prime Group, Inc.		42,003		440,612
Washington Real Estate Investment Trust		13,802		406,055
				5,993,004
Telecommunication Services - 1.0%
Diversified Telecommunication Services - 0.9%
8x8, Inc. (a)		5,398		76,922
ATN International, Inc.		1,254		84,821
Cincinnati Bell, Inc. (a)		2,225		43,721
FairPoint Communications, Inc. (a)		2,614		40,778

65

TFS SMALL CAP FUND

SCHEDULE OF INVESTMENTS (Continued)

COMMON STOCKS - 99.5% (Continued)	Shares		Value
Telecommunication Services - 1.0% (Continued)
Diversified Telecommunication Services - 0.9% (Continued)
Hawaiian Telcom Holdco, Inc. (a)		1,852	$	38,003
IDT Corporation - Class B		13,577		242,893
Inteliquent, Inc.		4,957		83,228
				610,366
Wireless Telecommunication Services - 0.1%
Telephone and Data Systems, Inc.		3,036		78,450
Utilities - 2.1%
Electric Utilities - 0.9%
ALLETE, Inc.		1,386		84,948
El Paso Electric Company		5,937		274,289
NRG Yield, Inc. - Class A		17,129		252,310
				611,547
Gas Utilities - 0.3%
Southwest Gas Corporation		486		35,215
Spire, Inc.		2,081		130,687
				165,902
Independent Power and Renewable Electricity Producers - 0.6%
Atlantic Power Corporation		36,915		84,905
Ormat Technologies, Inc.		1,139		54,934
Talen Energy Corporation (a)		19,570		272,610
				412,449
Water Utilities - 0.3%
Consolidated Water Company Ltd.		10,824		121,229
Middlesex Water Company		2,192		79,131
				200,360
Total Investments at Value – 99.5% (Cost $65,244,477)			$	66,449,792
Other Assets in Excess of Liabilities – 0.5%				362,134
Net Assets - 100.0%			$	66,811,926

^(a) Non-income producing security.

See accompanying notes to financial statements.

66

TFS HEDGED FUTURES FUND

SCHEDULE OF INVESTMENTS

October 31, 2016

U.S. TREASURY OBLIGATIONS - 19.9%	Par Value		Value
U.S. Treasury Bills (a)
0.320%, due 02/23/2017	$	677,000	$	676,295
0.370%, due 03/09/2017		677,000		676,121
0.380%, due 03/23/2017		947,000		945,617
0.410%, due 04/06/2017		947,000		945,253
Total U.S. Treasury Obligations (Cost $3,243,322)			$	3,243,286

MONEY MARKET FUNDS - 50.8%	Shares		Value
Federated U.S. Treasury Cash Reserve Fund - Institutional Shares, 0.18% (b)		285,159	$	285,159
Fidelity Institutional Money Market Government Portfolio - Class I, 0.27% (b)		2,873,072		2,873,072
Invesco Short-Term Investments Trust - Treasury Portfolio - Institutional Shares, 0.22% (b)		1,605,132		1,605,132
PIMCO Government Money Market Fund, 0.29% (b)		284,973		284,973
Premier U.S. Government Money Portfolio, 0.25% (b)		1,605,132		1,605,132
Vanguard Federal Money Market Fund, 0.30% (b)		1,605,132		1,605,132
Total Money Market Funds (Cost $8,258,600)			$	8,258,600
Total Investments at Value - 70.7% (Cost $11,501,922)			$	11,501,886
Other Assets in Excess of Liabilities - 29.3% (c)				4,764,188
Net Assets - 100.0%			$	16,266,074

^(a) Rate shown is the annualized yield at time of purchase, not a coupon rate.

^(b) The rate shown is the 7-day effective yield as of October 31, 2016.

^(c) Includes cash held as margin deposits for futures contracts.

See accompanying notes to financial statements.

67

TFS HEDGED FUTURES FUND

SCHEDULE OF FUTURES CONTRACTS

October 31, 2016

FUTURES CONTRACTS	Expiration Date	Contracts		Aggregate Market Value of Contracts		Unrealized Appreciation (Depreciation)
COMMODITY FUTURES
Cocoa Future	12/14/2016		25	$	683,750	$	(26,068	)
Copper Future	12/28/2016		2		110,325		3,155
Cotton No.2 Future	12/07/2016		2		68,860		1,261
Ethanol Future	12/05/2016		16		728,480		12,605
Feeder Cattle Future	11/17/2016		6		365,550		11,049
Frozen Concentrate Orange Juice Future	01/10/2017		19		608,902		42,735
Oats Future	12/14/2016		26		286,650		2,727
Palladium Future	12/28/2016		3		185,505		(17,931	)
Platinum Future	01/27/2017		4		196,220		4,825
Red Spring Wheat Future	12/14/2016		56		1,474,900		12,101
Soybean Future	01/13/2017		1		50,588		1,259
Sugar No. 11 Future	02/28/2017		24		579,802		(39,426	)
Total Commodity Futures					5,339,532		8,292
Total Futures Contracts				$	5,339,532	$	8,292

See accompanying notes to financial statements.

68

TFS HEDGED FUTURES FUND

SCHEDULE OF FUTURES CONTRACTS SOLD SHORT

October 31, 2016

FUTURES CONTRACTS SOLD SHORT	Expiration Date	Contracts		Aggregate Market Value of Contracts		Unrealized Appreciation (Depreciation)
COMMODITY FUTURES
Coffee Future	12/19/2016		7	$	430,894	$	(33,349	)
Corn Future	12/14/2016		32		567,600		(30,086	)
Crude Oil Future	11/21/2016		9		420,660		40,546
Hard Red Winter Wheat Future	12/14/2016		31		642,863		(3,408	)
Lean Hogs Future	12/14/2016		8		153,440		(4,115	)
Live Cattle Future	12/30/2016		3		123,990		(5,813	)
Lumber Future	01/13/2017		15		507,870		48,115
Natural Gas Future	11/28/2016		18		542,880		79,602
Rough Rice Future	01/13/2017		27		548,100		10,555
Wheat Future	12/14/2016		66		1,373,625		(39,993	)
Total Commodity Futures					5,311,922		62,054
FINANCIAL FUTURES
EURO STOXX 50 Future	12/16/2016		42		1,405,686		(29,212	)
EURO VSTOXX Mini Future	11/16/2016		93		227,140		17,076
EURO VSTOXX Mini Future	12/21/2016		138		338,562		9,254
Total Financial Futures					1,971,388		(2,882	)
Total Futures Contracts Sold Short				$	7,283,310	$	59,172

See accompanying notes to financial statements.

69

Report of Independent Registered Public Accounting Firm

The Board of Trustees and Shareholders of

TFS Capital Investment Trust

We have audited the accompanying statements of assets and liabilities of TFS Market Neutral Fund and TFS Small Cap Fund and consolidated statement of assets and liabilities of the TFS Hedged Futures Fund (collectively the “Funds”), including the summary schedule of investments and schedule of securities sold short for TFS Market Neutral Fund, the summary schedule of investments for TFS Small Cap Fund, and the consolidated schedule of investments, consolidated schedule of futures contracts, and consolidated schedule of futures contracts sold short for TFS Hedged Futures Fund, as of October 31, 2016, and the related statements of operations of TFS Market Neutral Fund and TFS Small Cap Fund for the year then ended, the consolidated statement of operations of TFS Hedged Futures Fund for the year then ended, the statements of changes in net assets of TFS Market Neutral Fund and TFS Small Cap Fund for each of the two years in the period then ended, and the consolidated statements of changes in net assets of TFS Hedged Futures Fund for each of the two years in the period then ended, (collectively, the “financial statements”), the financial highlights for TFS Market Neutral Fund and TFS Small Cap Fund for each of the four years in the period then ended and the consolidated financial highlights for TFS Hedged Futures Fund for each of the four years in the period then ended (the financial statements and financial highlights are included in Item 1 of this Form N-CSR) and the schedule of investments and schedule of securities sold short for TFS Market Neutral Fund, the schedule of investments for TFS Small Cap Fund and the consolidated schedule of investments, the consolidated schedule of futures contracts and consolidated schedule of future contracts sold short for TFS Hedged Futures Fund as of October 31, 2016 (included in Item 6 of this Form N-CSR). These financial statements, financial highlights and schedules of investments in securities are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements, financial highlights and schedules of investments in securities based on our audits. The financial highlights for the years ended October 31, 2012 and prior were audited by another registered public accounting firm whose report dated December 24, 2012 expressed an unqualified opinion on those financial statements.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements, financial highlights and schedules of investments in securities are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and schedules of investments in securities. Our procedures included confirmation of securities owned as of October 31, 2016, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used an significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements, financial highlights and schedules of investments in securities referred to above present fairly, in all material respects, the financial positions of TFS Market Neutral Fund and TFS Small Cap Fund and the consolidated financial position of TFS Hedged Futures Fund constituting TFS Capital Investment Trust at October 31, 2016, the results of their operations (consolidated results of its operations for TFS Hedged Futures Fund) for the year then ended, the changes in their net assets (consolidated changes in its net assets for TFS Hedged Futures Fund) for each of the two years in the period then ended and the financial highlights (consolidated financial highlights for TFS Hedged Futures Fund) for each of the four years in the period then ended, in conformity with U.S. generally accepted accounting principles.

/s/ Ernst & Young LLP

Cincinnati, Ohio

December 29, 2016

(b) Not applicable

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable

Item 10. Submission of Matters to a Vote of Security Holders.

The registrant has not adopted procedures by which shareholders may recommend nominees to the registrant’s board of trustees.

Item 11. Controls and Procedures.

(a) Based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days of the filing date of this report, the registrant’s principal executive officer and principal financial officer have concluded that such disclosure controls and procedures are reasonably designed and are operating effectively to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to them by others within those entities, particularly during the period in which this report is being prepared, and that the information required in filings on Form N-CSR is recorded, processed, summarized, and reported on a timely basis.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.

(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 the Item 2 requirements through filing of an exhibit: Attached hereto

(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)): Attached hereto

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons: Not applicable

(b) Certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)): Attached hereto

Exhibit 99.CODE ETH Code of Ethics

Exhibit 99.CERT Certifications required by Rule 30a-2(a) under the Act

Exhibit 99.906CERT Certifications required by Rule 30a-2(b) under the Act

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)	TFS Capital Investment Trust
By (Signature and Title)*		/s/ Eric S. Newman
		Eric S. Newman, President
Date	January 4, 2017
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)*		/s/ Eric S. Newman
		Eric S. Newman, President
Date	January 4, 2017
By (Signature and Title)*		/s/ Jennifer L. Leamer
		Jennifer L. Leamer, Treasurer and Principal Financial Officer
Date	January 4, 2017

^* Print the name and title of each signing officer under his or her signature.