Neuberger Berman
Alternative and Multi-Asset Class Funds
Institutional Class Shares
Class A Shares
Class C Shares
Class R6 Shares
Absolute Return Multi-Manager Fund
Long Short Multi-Manager Fund
Semi-Annual Report
April 30, 2015
Contents
THE FUNDS | |||||||
President's Letter | 1 | ||||||
PORTFOLIO COMMENTARY | |||||||
Absolute Return Multi-Manager Fund | 2 | ||||||
Long Short Multi-Manager Fund | 4 | ||||||
FUND EXPENSE INFORMATION | 8 | ||||||
SCHEDULE OF INVESTMENTS/TOP TEN EQUITY HOLDINGS | |||||||
Absolute Return Multi-Manager Fund | 10 | ||||||
Long Short Multi-Manager Fund | 34 | ||||||
FINANCIAL STATEMENTS | 54 | ||||||
FINANCIAL HIGHLIGHTS (ALL CLASSES)/ PER SHARE DATA | |||||||
Absolute Return Multi-Manager Fund | 83 | ||||||
Long Short Multi-Manager Fund | 85 | ||||||
Directory | 89 | ||||||
Proxy Voting Policies and Procedures | 90 | ||||||
Quarterly Portfolio Schedule | 90 |
The "Neuberger Berman" name and logo are registered service marks of Neuberger Berman Group LLC. "Neuberger Berman Management LLC" and the individual Fund names in this piece are either service marks or registered service marks of Neuberger Berman Management LLC. ©2015 Neuberger Berman Management LLC. All rights reserved.
President's Letter
Dear Shareholder,
I am pleased to present this semi-annual shareholder report for Neuberger Berman Absolute Return Multi-Manager Fund and Neuberger Berman Long Short Multi-Manager Fund.
The global financial markets experienced periods of volatility but largely generated positive results during the six months ended April 30, 2015. Investor sentiment was challenged at times given mixed global economic data, questions regarding future central bank monetary policy and a host of geopolitical issues. Despite several setbacks, the global equity market posted solid returns during the period. In the U.S., the S&P 500® Index reached several new all-time highs. Elsewhere, optimism regarding the European Central Bank's aggressive actions to stimulate growth supported a number of international developed market equities. While emerging market equities also rose, their gains were less robust. Within fixed income, longer-term Treasury yields declined and the yield curve flattened. The high yield corporate bond market was largely flat as headwinds in the energy sector lead to overall spread widening.
Looking ahead, we think the U.S. economy is likely to continue to strengthen as the year progresses. However, data suggest that expansion may be modest and is unlikely to trigger a sharp uptick in inflation. This scenario, along with ongoing slack in the broader global economy, leads us to believe the U.S. Federal Reserve's (Fed) initial interest rate hike will not occur until later in the year. Furthermore, we believe the Fed will take a cautious and measured approach in terms of monetary tightening after interest rate "liftoff" begins.
From an investment perspective, we believe that potentially rising interest rates in the U.S. and divergent central bank policies across the globe could lead to greater volatility in the broader markets, which we think presents a healthy opportunity set for hedge fund strategies. In the U.S., the end of quantitative easing has already led to lower correlations between stocks and improved performance for short positions, both of which are beneficial to long/short equity strategies—and we anticipate those dynamics will persist. In our opinion, event driven strategies appear poised to benefit from a healthy pipeline of corporate activity stimulated by the low growth environment and we anticipate seeing more attractive merger spreads driven by higher interest rates. Within fixed income, we believe credit long/short managers should be able to capitalize on rising interest rates by focusing on floating rate debt and increasing their exposure to short positions.
Thank you for your continued support and trust. We look forward to continue serving your investment needs in the years to come.
Sincerely,
ROBERT CONTI
PRESIDENT AND CEO
NEUBERGER BERMAN MUTUAL FUNDS
1
Absolute Return Multi-Manager Fund Commentary
Neuberger Berman Absolute Return Multi-Manager Fund Institutional Class generated a 3.33% total return for the six months ended April 30, 2015. During the period, the Fund outperformed its primary benchmark, the HFRX Absolute Return Index, which posted a 1.15% return. (Performance for all share classes is provided in the table immediately following this letter.)
The global financial markets largely posted positive results during the reporting period. Still, there were periods of volatility given mixed global economic data, shifting central bank monetary policy, declining oil prices and a number of geopolitical issues. Despite periods of weakness, U.S. equities generated positive results. Elsewhere, international developed equities rallied sharply and outperformed emerging market equities. Within fixed income, Treasury yields declined and the curve flattened. High yield was largely flat as headwinds in the Energy sector lead to overall spread widening.
All of the portfolio's strategies generated positive absolute returns for the period. Equity long/short was the largest positive contributor. In the U.S., equity markets began to normalize after the U.S. Federal Reserve's (Fed) quantitative easing (QE) program ended and our equity long/short subadvisers benefited from more fundamentally driven stock prices. Importantly, after several years of underperformance from short positions primarily due to QE, performance for shorts began to improve during the reporting period. Outside the U.S., our subadvisers increased their net long exposure to capture the effects of QE in Europe and Japan.
Event driven strategies were the next most material positive contributors for the period. Special situations were responsible for the majority of gains, while merger arbitrage contributed to a lesser extent. The largest contributor was a long position in a special purpose acquisition company that traded up after announcing the purchase of a frozen foods business. The largest detractors were long positions in the Energy sector that traded down with the sharp decline in oil prices.
The Fund's credit strategies also generated positive performance. In particular, credit long/short strategies were the largest contributors, followed by gains from asset-backed securities (ABS) strategies. Within credit long/short, the largest positive contributing sectors were Consumer Non-Cyclicals and Communications, while the largest detractors were index hedges, municipal bonds and Energy. In ABS, collateralized loan obligations (CLOs) and commercial mortgage-backed securities (CMBS) were the largest contributors, followed by smaller gains from residential mortgage-backed securities (RMBS).
Divergent central bank policies across the globe and the ending of QE in the U.S. have led to slightly higher volatility, lower correlations between stocks and prices driven more by company fundamentals. We think this provides a strong opportunity set for long/short equity strategies focused on fundamentals.
The trend of high corporate activity continued during the reporting period. Given the current low growth environment, potential interest rate rises in the U.S., growth in activist shareholder campaigns and still high corporate cash balances, we think the pieces are in place for a strong pipeline of deals over the next several quarters. We have therefore maintained our high conviction in event driven strategies.
We believe U.S. Treasury rates are unsustainable at the current low levels, especially given indications from the Fed that it will soon begin raising rates. Our credit long/short subadviser remains positioned in a way they expect will benefit from higher rates. Our ABS subadviser continues to favor CMBS and CLOs over RMBS.
Sincerely,
DAVID KUPPERMAN AND JEFF MAJIT
PORTFOLIO CO-MANAGERS
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change.
The opinions expressed are those of the Fund's portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
2
Absolute Return Multi-Manager Fund
TICKER SYMBOLS
Institutional Class | NABIX | ||||||
Class A | NABAX | ||||||
Class C | NABCX | ||||||
Class R6 | NRABX |
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets)
Long | Short | ||||||||||
Asset-Backed Securities | 4.8 | % | — | % | |||||||
Bank Loan Obligations | 9.4 | — | |||||||||
Common Stocks | 62.1 | (17.1 | ) | ||||||||
Corporate Debt Securities | 3.9 | (0.7 | ) | ||||||||
Exchange Traded Funds | 0.5 | (9.9 | ) | ||||||||
Mortgage-Backed Securities | 4.8 | — | |||||||||
Municipal Notes | 0.8 | — | |||||||||
Preferred Stocks | 0.1 | — | |||||||||
Purchased Options | 0.3 | — | |||||||||
Rights | 0.0 | — | |||||||||
Warrants | 0.2 | — | |||||||||
Short-Term Investments | 15.0 | — | |||||||||
Cash, receivables and other assets, less liabilities | 25.8 | — | |||||||||
Total | 127.7 | % | (27.7 | )% |
PERFORMANCE HIGHLIGHTS3
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2015 | |||||||||||||||||
Date | 04/30/2015 | 1 Year | Life of Fund | ||||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 05/15/2012 | 3.33 | % | 3.05 | % | 4.84 | % | ||||||||||||
Class A | 05/15/2012 | 3.15 | % | 2.68 | % | 4.46 | % | ||||||||||||
Class C | 05/15/2012 | 2.71 | % | 1.85 | % | 3.66 | % | ||||||||||||
Class R64 | 12/31/2013 | 3.29 | % | 3.01 | % | 4.86 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | –2.81 | % | –3.23 | % | 2.40 | % | |||||||||||||
Class C | 1.71 | % | 0.85 | % | 3.66 | % | |||||||||||||
Index | |||||||||||||||||||
HFRX Absolute Return Index1,2 | 1.15 | % | 1.54 | % | 2.35 | % | |||||||||||||
S&P 500® Index1,2 | 4.40 | % | 12.98 | % | 18.64 | % | |||||||||||||
Barclays U.S. Aggregate Bond Index1,2 | 2.06 | % | 4.46 | % | 2.48 | % |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Management LLC (Management) had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the total annual operating expense ratios for fiscal year 2014 were 2.68%, 3.05%, 3.80% and 2.58% for Institutional Class, Class A, Class C and Class R6 shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratio was 2.57% for Class R6 shares after expense reimbursements and/or fee waivers. The total annual operating expense ratio for each of Institutional Class, Class A and Class C includes the class's repayment of expenses previously reimbursed and/or fees previously waived by Management. The expense ratios for the semi-annual period ending April 30, 2015 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
3
Long Short Multi-Manager Fund Commentary
Neuberger Berman Long Short Multi-Manager Fund Institutional Class generated a 2.88% total return for the six months ended April 30, 2015. During this period, the Fund underperformed its benchmarks, the HFRX Equity Hedge Index and the S&P 500® Index, which returned 3.76% and 4.40%, respectively. (Performance for all share classes is provided in the table immediately following this letter.)
The global financial markets largely posted positive results during the reporting period. Still, there were periods of volatility given mixed global economic data, shifting central bank monetary policy, declining oil prices and a number of geopolitical issues. Despite periods of weakness, U.S. equities generated positive results. Elsewhere, international developed equities rallied sharply and outperformed emerging markets equities.
During the reporting period, gains from our subadvisors' long positions outweighed losses from their short positions. From a sector perspective, most areas of the portfolio were additive to performance. In particular, Consumer Cyclicals was the largest positive contributor, followed by Financials, Communications and Health Care. The only real detractor was Utilities, which was down during the period.
At the position level, a number of the Fund's largest contributors were beneficiaries of M&A activity. Within Health Care, the Fund made money in a long position in a provider of injectable drugs and infusion technologies that agreed to be acquired by a global pharmaceutical company at a significant premium. The Fund was also rewarded for its two long positions in pharmaceutical companies whose stock prices appreciated amid a three-way merger battle. Elsewhere, a long position in a consumer packaged food and beverage company also generated a gain as it announced its intentions to merge with another firm in the industry.
The Fund also owns a number of companies that we believe are well capitalized and have been active in making acquisitions. This has been an attractive environment for this type of activity, as acquirer stocks have appreciated alongside their targets' stocks in many instances. For example, the Fund benefited from its long position in a commercial real estate services firm that announced a highly accretive acquisition of a facility maintenance company.
Another main theme over the period was holdings that reacted positively to an improving U.S. consumer backdrop given lower energy prices. Beneficiaries of this included a long position in an owner and operator of amusement parks and a long position in a provider of horseracing events, casino gaming and entertainment.
On the negative side, a long position in a Greek bank detracted from performance as its shares declined due to macro concerns over Greece. Another notable detractor was a long position in a provider of home infusion and other home health care services. In a surprise move, the company announced a dilutive convertible preferred stock offering.
During the reporting period, the subadvisors' use of futures, options and equity swaps had an overall positive impact on the Fund's performance.
Divergent central bank policies across the globe and the ending of quantitative easing in the U.S. have led to slightly higher volatility, lower correlations between stocks and prices driven more by company fundamentals. We think this provides a strong opportunity set for equity long/short strategies focused on fundamentals. Looking ahead, we anticipate that company specific issues will continue to be primary drivers of stock prices once the U.S. Federal Reserve begins raising interest rates.
Sincerely,
DAVID KUPPERMAN AND JEFF MAJIT
PORTFOLIO CO-MANAGERS
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change.
The opinions expressed are those of the Fund's portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
4
Long Short Multi-Manager Fund
TICKER SYMBOLS
Institutional Class | NLMIX | ||||||
Class A | NLMAX | ||||||
Class C | NLMCX |
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets)
Long | Short | ||||||||||
Common Stocks | 75.2 | % | (32.7 | )% | |||||||
Exchange Traded Funds | 1.1 | (4.0 | ) | ||||||||
Preferred Stocks | 0.3 | — | |||||||||
Purchased Options | 0.2 | — | |||||||||
Short-Term Investments | 23.0 | — | |||||||||
Cash, receivables and other assets, less liabilities | 36.9 | — | |||||||||
Total | 136.7 | % | (36.7 | )% |
PERFORMANCE HIGHLIGHTS
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2015 | |||||||||||||||||
Date | 04/30/2015 | 1 Year | Life of Fund | ||||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 12/19/2013 | 2.88 | % | 4.49 | % | 5.01 | % | ||||||||||||
Class A | 12/19/2013 | 2.64 | % | 4.05 | % | 4.60 | % | ||||||||||||
Class C | 12/19/2013 | 2.36 | % | 3.37 | % | 3.88 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | –3.24 | % | –1.90 | % | 0.16 | % | |||||||||||||
Class C | 1.36 | % | 2.37 | % | 3.88 | % | |||||||||||||
Index | |||||||||||||||||||
HFRX Equity Hedge Index1,2 | 3.76 | % | 5.09 | % | 4.55 | % | |||||||||||||
S&P 500® Index1,2 | 4.40 | % | 12.98 | % | 13.16 | % |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Management LLC (Management) had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the estimated total annual operating expense ratios for fiscal year 2014 were 5.12%, 5.90% and 8.21% for Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratios were 2.80%, 3.14% and 3.90% for Institutional Class, Class A and Class C shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ending April 30, 2015 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
5
Endnotes
1 Please see "Glossary of Indices" on page 7 for a description of indices. Please note that individuals cannot invest directly in any index. The S&P 500® and the Barclays U.S. Aggregate Bond indices do not take into account any fees, expenses or tax consequences of investing in the individual securities that they track. The HFRX Absolute Return and HFRX Equity Hedge indices do take into account fees and expenses of investing since they are based on the underlying hedge funds' net returns. Data about the performance of an index are prepared or obtained by Neuberger Berman Management LLC ("Management") and reflect the reinvestment of income dividends and other distributions, if any. The Fund may invest in securities not included in a described index and generally does not invest in all securities included in a described index.
2 The date used to calculate Life of Fund performance for the index is the inception date of the oldest share class.
3 The investments for the Fund are managed by the same portfolio manager(s) who manage(s) one or more other registered funds that have names, investment objectives and investment styles that are similar to those of the Fund. You should be aware that the Fund is likely to differ from the other mutual fund(s) in size, cash flow pattern and tax matters. Accordingly, the holdings and performance of the Fund can be expected to vary from those of the other mutual fund(s).
4 The performance information for Class R6 prior to the class' inception date is that of the Institutional Class of Neuberger Berman Absolute Return Multi-Manager Fund. The Institutional Class has higher expenses and typically lower returns than Class R6.
For more complete information on any of the Neuberger Berman Alternative and Multi-Asset Class Funds, call Neuberger Berman Management LLC at (800) 877-9700, or visit our website at www.nb.com.
6
Glossary of Indices
Barclays U.S. Aggregate Bond Index: | The index measures the investment grade, U.S. dollar-denominated, fixed-rate, taxable bond market and includes Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid adjustable rate mortgage (ARM) pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS) (agency and non-agency). | ||||||
HFRX Absolute Return Index: | The index is designed to be representative of the overall composition of the hedge fund universe. The index comprises all eligible hedge fund strategies including, but not limited to, convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. The index employs a constituent weighting methodology that selects constituent funds which characteristically exhibit lower volatilities and lower correlations to standard directional benchmarks of equity market and hedge fund industry performance. Constituent funds are selected from an eligible pool of the more than 7,500 funds worldwide that report to the Hedge Fund Research (HFR) Database. Constituent funds must meet all of the following criteria: report monthly; report performance net of all fees; be U.S. dollar-denominated; be active and accepting new investments; have a minimum 24 months track record; and the fund's manager must have at least $50 million in assets under management. The index is rebalanced quarterly. | ||||||
HFRX Equity Hedge Index: | The index comprises equity hedge strategies. Equity hedge strategies maintain positions both long and short in primarily equity and equity derivative securities. A wide variety of investment processes can be employed to arrive at an investment decision, including both quantitative and fundamental techniques; strategies can be broadly diversified or narrowly focused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed, holding period, concentrations of market capitalizations and valuation ranges of typical portfolios. Equity hedge managers would typically maintain at least 50%, and may in some cases be substantially entirely invested, in equities, both long and short. Constituent funds are selected from an eligible pool of the more than 7,500 funds worldwide that report to the Hedge Fund Research (HFR) Database. Constituent funds must meet all of the following criteria: report monthly; report performance net of all fees; be U.S. dollar-denominated; be active and accepting new investments; have a minimum 24 months track record; and the fund's manager must have at least $50 million in assets under management. The index is rebalanced quarterly. | ||||||
S&P 500® Index: | The index is a float-adjusted market capitalization-weighted index that focuses on the large-cap segment of the U.S. equity market, and includes a significant portion of the total value of the market. |
7
Information About Your Fund's Expenses (Unaudited)
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds (if applicable); and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees (if applicable), and other Fund expenses. This example is intended to help you understand your ongoing costs (in U.S. dollars) of investing in a Fund and compare these costs with the ongoing costs of investing in other mutual funds.
This table is designed to provide information regarding costs related to your investments. The following examples are based on an investment of $1,000 made at the beginning of the six month period ended April 30, 2015 and held for the entire period. The table illustrates each Fund's costs in two ways:
Actual Expenses and Performance: | The first section of the table provides information about actual account values and actual expenses in dollars, based on the Fund's actual performance during the period indicated. You may use the information in this line, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section of the table under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid over the period. | ||||||
Hypothetical Example for Comparison Purposes: | The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return at 5% per year before expenses. This return is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund versus other funds. To do so, compare the expenses shown in this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. |
Please note that the expenses in the table are meant to highlight your ongoing costs only and do not include any transaction costs, such as sales charges (loads) (if applicable). Therefore, the information under the heading "Hypothetical (5% annual return before expenses)" is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
8
Expense Information as of 4/30/15 (Unaudited)
Neuberger Berman Alternative Funds | |||||||||||||||||||||||||||||||||||
ACTUAL | HYPOTHETICAL (5% ANNUAL RETURN BEFORE EXPENSES)(2) | ||||||||||||||||||||||||||||||||||
Beginning Account Value 11/1/14 | Ending Account Value 4/30/15 | Expenses Paid During the Period(1) 11/1/14 - 4/30/15 | Expense Ratio | Beginning Account Value 11/1/14 | Ending Account Value 4/30/15 | Expenses Paid During the Period(1) 11/1/14 - 4/30/15 | Expense Ratio | ||||||||||||||||||||||||||||
Absolute Return Multi-Manager Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,033.30 | $ | 13.31 | 2.64 | % | $ | 1,000.00 | $ | 1,011.70 | $ | 13.17 | 2.64 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,031.50 | $ | 15.11 | 3.00 | % | $ | 1,000.00 | $ | 1,009.92 | $ | 14.95 | 3.00 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 1,027.10 | $ | 18.85 | 3.75 | % | $ | 1,000.00 | $ | 1,006.20 | $ | 18.65 | 3.75 | % | |||||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 1,032.90 | $ | 13.21 | 2.62 | % | $ | 1,000.00 | $ | 1,011.80 | $ | 13.07 | 2.62 | % | |||||||||||||||||||
Long Short Multi-Manager Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,028.80 | $ | 14.08 | 2.80 | % | $ | 1,000.00 | $ | 1,010.91 | $ | 13.96 | 2.80 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,026.40 | $ | 15.88 | 3.16 | % | $ | 1,000.00 | $ | 1,009.12 | $ | 15.74 | 3.16 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 1,023.60 | $ | 19.67 | 3.92 | % | $ | 1,000.00 | $ | 1,005.36 | $ | 19.49 | 3.92 | % |
(1) For each class, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown), unless otherwise indicated.
(2) Hypothetical 5% annual return before expenses is calculated by multiplying the number of days in the most recent period divided by 365.
9
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) 4/30/15
TOP TEN EQUITY HOLDINGS LONG POSITIONS (as a % of Net Assets)
Country | Industry | ||||||||||||||||||
1 | TRW Automotive Holdings Corp. | United States | Auto Components | 1.6 | % | ||||||||||||||
2 | DIRECTV | United States | Media | 1.5 | % | ||||||||||||||
3 | Nomad Holdings Ltd. | United Kingdom | Diversified Financial Services | 1.2 | % | ||||||||||||||
4 | Sigma-Aldrich Corp. | United States | Chemicals | 1.2 | % | ||||||||||||||
5 | Family Dollar Stores, Inc. | United States | Multiline Retail | 1.1 | % | ||||||||||||||
6 | NorthStar Realty Finance Corp. | United States | Real Estate Investment Trusts | 0.9 | % | ||||||||||||||
7 | New Senior Investment Group, Inc. | United States | Real Estate Investment Trusts | 0.8 | % | ||||||||||||||
8 | Actavis PLC | United States | Pharmaceuticals | 0.8 | % | ||||||||||||||
9 | Dresser-Rand Group, Inc. | United States | Energy Equipment & Services | 0.7 | % | ||||||||||||||
10 | Verint Systems, Inc. | United States | Software | 0.7 | % |
TOP TEN EQUITY HOLDINGS SHORT POSITIONS (as a % of Net Assets)
Country | Industry | ||||||||||||||||||
1 | AT&T, Inc. | United States | Diversified Telecommunication Services | (0.6 | )% | ||||||||||||||
2 | Simon Property Group, Inc. | United States | Real Estate Investment Trusts | (0.5 | )% | ||||||||||||||
3 | Dollar Tree, Inc. | United States | Multiline Retail | (0.3 | )% | ||||||||||||||
4 | Alibaba Group Holding Ltd. | China | Internet Software & Services | (0.2 | )% | ||||||||||||||
5 | Fastenal Co. | United States | Trading Companies & Distributors | (0.2 | )% | ||||||||||||||
6 | Guess?, Inc. | United States | Specialty Retail | (0.2 | )% | ||||||||||||||
7 | Deere & Co. | United States | Machinery | (0.2 | )% | ||||||||||||||
8 | Praxair, Inc. | United States | Chemicals | (0.2 | )% | ||||||||||||||
9 | Exxon Mobil Corp. | United States | Oil, Gas & Consumable Fuels | (0.2 | )% | ||||||||||||||
10 | Wisconsin Energy Corp. | United States | Multi-Utilities | (0.2 | )% |
Number of Shares | Value† | ||||||||||
Long Positions (101.9%) | |||||||||||
Common Stocks (62.1%) | |||||||||||
Aerospace & Defense (1.6%) | |||||||||||
B/E Aerospace, Inc. | 90,618 | $ | 5,418,050 | Ø | |||||||
Exelis, Inc. | 284,224 | 6,969,173 | Ø | ||||||||
Honeywell International, Inc. | 43,800 | 4,420,296 | Ø | ||||||||
KLX, Inc. | 71,750 | 3,007,043 | *Ø | ||||||||
MacDonald Dettwiler & Associates Ltd. | 13,452 | 1,067,909 | |||||||||
United Technologies Corp. | 40,175 | 4,569,906 | Ø | ||||||||
25,452,377 | |||||||||||
Air Freight & Logistics (0.3%) | |||||||||||
Norbert Dentressangle SA | 2,000 | 486,444 | |||||||||
TNT Express NV | 241,500 | 2,061,462 | |||||||||
Toll Holdings Ltd. | 30,000 | 212,332 | |||||||||
XPO Logistics, Inc. | 44,664 | 2,166,204 | * | ||||||||
4,926,442 |
Number of Shares | Value† | ||||||||||
Airlines (0.2%) | |||||||||||
AMR Corp. | 14,383 | $ | 41,567 | *fN | |||||||
Delta Air Lines, Inc. | 7,800 | 348,192 | |||||||||
United Continental Holdings, Inc. | 46,700 | 2,789,858 | * | ||||||||
3,179,617 | |||||||||||
Auto Components (2.5%) | |||||||||||
American Axle & Manufacturing Holdings, Inc. | 90,502 | 2,256,215 | *Ø | ||||||||
Cooper Tire & Rubber Co. | 27,000 | 1,147,230 | |||||||||
Delphi Automotive PLC | 39,270 | 3,259,410 | |||||||||
Lear Corp. | 8,604 | 955,302 | Ø | ||||||||
TRW Automotive Holdings Corp. | 228,128 | 23,967,128 | *Ø | ||||||||
Visteon Corp. | 65,741 | 6,666,137 | *Ø | ||||||||
38,251,422 | |||||||||||
Banks (1.9%) | |||||||||||
BOC Hong Kong Holdings Ltd. | 368,500 | 1,429,308 | Ø |
Number of Shares | Value† | ||||||||||
Chongqing Rural Commercial Bank Co. Ltd. Class H | 2,473,000 | $ | 2,205,946 | Ø | |||||||
Citizens Financial Group, Inc. | 119,900 | 3,123,395 | |||||||||
City National Corp. | 23,676 | 2,206,603 | Ø | ||||||||
ING Groep NV CVA | 104,160 | 1,597,976 | *Ø | ||||||||
Israel Discount Bank Ltd. Class A | 643,632 | 1,130,678 | *Ø | ||||||||
Kasikornbank PCL | 112,400 | 713,586 | Ø | ||||||||
Mitsubishi UFJ Financial Group, Inc. | 419,000 | 2,976,723 | Ø | ||||||||
Mizuho Financial Group, Inc. | 2,144,900 | 4,088,782 | Ø | ||||||||
Piraeus Bank SA | 997,714 | 445,278 | *Ø | ||||||||
Sumitomo Mitsui Financial Group, Inc. | 100,200 | 4,375,193 | Ø | ||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 676,000 | 2,975,710 | Ø |
See Notes to Schedule of Investments
10
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Susquehanna Bancshares, Inc. | 26,875 | $ | 361,200 | Ø | |||||||
The Bank of Kentucky Financial Corp. | 14,000 | 670,460 | Ø | ||||||||
Turkiye Garanti Bankasi AS | 499,416 | 1,589,019 | Ø | ||||||||
29,889,857 | |||||||||||
Beverages (1.0%) | |||||||||||
Ambev SA | 82,700 | 519,869 | |||||||||
Belvedere SA | 61,345 | 1,209,554 | *Ø | ||||||||
Cott Corp. | 584,378 | 5,089,932 | £ | ||||||||
Davide Campari- Milano SpA | 217,014 | 1,678,340 | Ø | ||||||||
PepsiCo, Inc. | 39,800 | 3,785,776 | |||||||||
The Coca-Cola Co. | 60,641 | 2,459,599 | Ø | ||||||||
14,743,070 | |||||||||||
Biotechnology (2.4%) | |||||||||||
Actelion Ltd. | 11,936 | 1,570,549 | *Ø | ||||||||
Alexion Pharmaceuticals, Inc. | 16,987 | 2,874,710 | * | ||||||||
Auspex Pharmaceuticals, Inc. | 35,000 | 3,531,150 | *Ø | ||||||||
BioMarin Pharmaceutical, Inc. | 30,921 | 3,464,698 | *Ø | ||||||||
Cellular Dynamics International, Inc. | 115,000 | 1,899,800 | * | ||||||||
Cepheid | 63,341 | 3,553,430 | * | ||||||||
Hyperion Therapeutics, Inc. | 55,000 | 2,527,800 | *Ø | ||||||||
Pharmacyclics, Inc. | 10,100 | 2,587,620 | *Ø | ||||||||
QLT, Inc. | 130,670 | 488,706 | *£ | ||||||||
Receptos, Inc. | 30,895 | 4,552,069 | *£ | ||||||||
United Therapeutics Corp. | 38,334 | 6,121,557 | *£ | ||||||||
Vertex Pharmaceuticals, Inc. | 30,912 | 3,810,831 | *£ | ||||||||
36,982,920 | |||||||||||
Building Products (0.3%) | |||||||||||
LIXIL Group Corp. | 115,500 | 2,407,429 | Ø |
Number of Shares | Value† | ||||||||||
Norcraft Cos., Inc. | 74,200 | $ | 1,915,844 | *Ø | |||||||
4,323,273 | |||||||||||
Capital Markets (1.6%) | |||||||||||
Apollo Global Management LLC Class A | 216,906 | 4,958,471 | |||||||||
Apollo Investment Corp. | 179,524 | 1,436,192 | Ø | ||||||||
Azimut Holding SpA | 24,018 | 704,994 | |||||||||
Capital Southwest Corp. | 6,550 | 311,845 | |||||||||
Jafco Co. Ltd. | 66,000 | 2,472,937 | Ø | ||||||||
Morgan Stanley | 40,885 | 1,525,419 | |||||||||
Nomura Holdings, Inc. | 442,300 | 2,869,386 | Ø | ||||||||
RCS Capital Corp. Class A | 399,831 | 3,434,548 | |||||||||
Solar Capital Ltd. | 161,322 | 3,187,723 | Ø | ||||||||
The Blackstone Group LP | 74,087 | 3,034,603 | Ø | ||||||||
The Goldman Sachs Group, Inc. | 7,990 | 1,569,396 | |||||||||
25,505,514 | |||||||||||
Chemicals (3.3%) | |||||||||||
Air Products & Chemicals, Inc. | 30,250 | 4,338,758 | Ø | ||||||||
Asahi Kasei Corp. | 97,000 | 913,414 | Ø | ||||||||
Ashland, Inc. | 67,243 | 8,496,825 | £ | ||||||||
Auriga Industries A/S Class B | 12,000 | 577,332 | *Ø | ||||||||
FMC Corp. | 41,185 | 2,442,682 | |||||||||
Huntsman Corp. | 166,625 | 3,840,706 | Ø | ||||||||
Nissan Chemical Industries Ltd. | 95,700 | 1,896,573 | Ø | ||||||||
Nitto Denko Corp. | 29,600 | 1,896,931 | Ø | ||||||||
Shin-Etsu Chemical Co. Ltd. | 25,800 | 1,577,124 | Ø | ||||||||
Sigma-Aldrich Corp. | 130,394 | 18,114,335 | Ø |
Number of Shares | Value† | ||||||||||
Ube Industries Ltd. | 472,000 | $ | 783,068 | Ø | |||||||
WR Grace & Co. | 49,258 | 4,764,234 | *Ø | ||||||||
Zep, Inc. | 49,000 | 974,120 | |||||||||
50,616,102 | |||||||||||
Commercial Services & Supplies (0.6%) | |||||||||||
Courier Corp. | 154,000 | 3,739,120 | Ø | ||||||||
Steelcase, Inc. Class A | 36,907 | 648,456 | Ø | ||||||||
Tyco International PLC | 114,480 | 4,508,222 | £Ø | ||||||||
8,895,798 | |||||||||||
Communications Equipment (0.5%) | |||||||||||
Aruba Networks, Inc. | 97,853 | 2,408,162 | *Ø | ||||||||
Emulex Corp. | 120,000 | 962,400 | *Ø | ||||||||
Juniper Networks, Inc. | 153,911 | 4,067,868 | |||||||||
Mitel Networks Corp. | 24,056 | 223,476 | * | ||||||||
7,661,906 | |||||||||||
Construction & Engineering (0.2%) | |||||||||||
Taisei Corp. | 496,000 | 2,873,251 | Ø | ||||||||
Consumer Finance (0.1%) | |||||||||||
Springleaf Holdings, Inc. | 20,100 | 1,005,000 | *Ø | ||||||||
Containers & Packaging (0.4%) | |||||||||||
Berry Plastics Group, Inc. | 41,648 | 1,425,195 | *Ø | ||||||||
Nampak Ltd. | 743,102 | 2,661,309 | Ø | ||||||||
Pact Group Holdings Ltd. | 496,083 | 1,612,513 | Ø | ||||||||
5,699,017 | |||||||||||
Diversified Consumer Services (0.5%) | |||||||||||
Regis Corp. | 184,600 | 3,049,592 | *Ø | ||||||||
Service Corp. International | 94,621 | 2,619,109 | Ø | ||||||||
ServiceMaster Global Holdings, Inc. | 22,537 | 778,879 | * | ||||||||
Stonemor Partners LP | 42,288 | 1,294,013 | Ø | ||||||||
7,741,593 |
See Notes to Schedule of Investments
11
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Diversified Financial Services (1.5%) | |||||||||||
Boulevard Acquisition Corp. | 63,528 | $ | 736,290 | * | |||||||
Nomad Holdings Ltd. | 1,060,114 | 19,082,052 | *fN | ||||||||
ORIX Corp. | 191,700 | 2,948,039 | Ø | ||||||||
22,766,381 | |||||||||||
Diversified Telecommunication Services (0.8%) | |||||||||||
FairPoint Communications, Inc. | 49,501 | 976,160 | *Ø | ||||||||
Globalstar, Inc. | 378,288 | 979,766 | *Ø | ||||||||
Intelsat SA | 265,510 | 3,342,771 | *Ø | ||||||||
Jazztel PLC | 190,000 | 2,743,284 | *Ø | ||||||||
Koninklijke KPN NV | 35,000 | 129,771 | Ø | ||||||||
Sunrise Communications Group AG | 17,268 | 1,613,987 | *ñØ | ||||||||
Telecom Italia SpA | 2,843,232 | 2,736,311 | * | ||||||||
12,522,050 | |||||||||||
Electric Utilities (0.7%) | |||||||||||
Cleco Corp. | 68,000 | 3,695,800 | Ø | ||||||||
Hawaiian Electric Industries, Inc. | 30,000 | 939,000 | Ø | ||||||||
Pepco Holdings, Inc. | 40,000 | 1,039,200 | Ø | ||||||||
PPL Corp. | 91,292 | 3,106,667 | Ø | ||||||||
The Kansai Electric Power Co., Inc. | 114,900 | 1,154,732 | *Ø | ||||||||
UIL Holdings Corp. | 4,000 | 199,520 | |||||||||
10,134,919 | |||||||||||
Electrical Equipment (0.4%) | |||||||||||
Hubbell, Inc. Class B | 9,336 | 1,016,037 | Ø | ||||||||
Nidec Corp. | 23,200 | 1,735,472 | Ø | ||||||||
Polypore International, Inc. | 40,000 | 2,342,400 | *Ø | ||||||||
Sensata Technologies Holding NV | 17,945 | 990,743 | *Ø | ||||||||
6,084,652 |
Number of Shares | Value† | ||||||||||
Electronic Equipment, Instruments & Components (0.4%) | |||||||||||
Axis Communications AB | 16,400 | $ | 667,546 | ||||||||
Belden, Inc. | 35,440 | 2,975,188 | Ø | ||||||||
Hitachi Ltd. | 101,000 | 689,113 | Ø | ||||||||
Keyence Corp. | 3,900 | 2,082,012 | Ø | ||||||||
Viasystems Group, Inc. | 4,000 | 71,120 | *Ø | ||||||||
6,484,979 | |||||||||||
Energy Equipment & Services (0.9%) | |||||||||||
Baker Hughes, Inc. | 18,181 | 1,244,671 | Ø | ||||||||
Dresser-Rand Group, Inc. | 139,052 | 11,495,429 | *Ø | ||||||||
Halliburton Co. | 26,732 | 1,308,532 | Ø | ||||||||
Paragon Offshore PLC | 183,579 | 332,278 | |||||||||
14,380,910 | |||||||||||
Food & Staples Retailing (0.5%) | |||||||||||
CVS Health Corp. | 39,810 | 3,952,735 | Ø | ||||||||
Sysco Corp. | 14,487 | 536,454 | |||||||||
Walgreens Boots Alliance, Inc. | 33,425 | 2,771,935 | |||||||||
7,261,124 | |||||||||||
Food Products (0.4%) | |||||||||||
Cal-Maine Foods, Inc. | 19,934 | 891,249 | |||||||||
GrainCorp. Ltd. Class A | 18,000 | 140,319 | Ø | ||||||||
Kellogg Co. | 31,434 | 1,990,715 | Ø | ||||||||
Oceana Group Ltd. | 64,770 | 578,354 | Ø | ||||||||
The JM Smucker Co. | 26,800 | 3,106,656 | Ø | ||||||||
Warrnambool Cheese & Butter Factory Co. Holding Ltd. | 10,000 | 65,761 | *Ø | ||||||||
6,773,054 | |||||||||||
Health Care Equipment & Supplies (2.3%) | |||||||||||
Alere, Inc. | 153,365 | 7,281,770 | *£Ø | ||||||||
ArthroCare Corp. | 46,000 | 16,100 | *fN | ||||||||
Edwards Lifesciences Corp. | 33,988 | 4,304,580 | *Ø | ||||||||
Globus Medical, Inc. Class A | 103,497 | 2,472,543 | * | ||||||||
Insulet Corp. | 61,789 | 1,844,402 | * |
Number of Shares | Value† | ||||||||||
Intuitive Surgical, Inc. | 7,725 | $ | 3,831,446 | * | |||||||
NuVasive, Inc. | 49,431 | 2,211,049 | * | ||||||||
Optos PLC | 1,000 | 5,219 | * | ||||||||
STERIS Corp. | 42,900 | 2,852,850 | Ø | ||||||||
The Cooper Cos., Inc. | 20,076 | 3,574,933 | Ø | ||||||||
Wright Medical Group, Inc. | 11,572 | 293,582 | * | ||||||||
Zimmer Holdings, Inc. | 67,754 | 7,442,099 | £ | ||||||||
36,130,573 | |||||||||||
Health Care Providers & Services (1.4%) | |||||||||||
Accretive Health, Inc. | 189,790 | 1,066,620 | * | ||||||||
Brookdale Senior Living, Inc. | 167,947 | 6,084,720 | *Ø | ||||||||
Catamaran Corp. | 127,348 | 7,558,104 | *Ø | ||||||||
Fresenius SE & Co. KGaA | 20,395 | 1,213,358 | Ø | ||||||||
Mediclinic International Ltd. | 88,885 | 941,238 | |||||||||
Omnicare, Inc. | 62,234 | 5,475,347 | |||||||||
22,339,387 | |||||||||||
Health Care Technology (0.2%) | |||||||||||
HMS Holdings Corp. | 171,482 | 2,916,909 | *Ø | ||||||||
Hotels, Restaurants & Leisure (2.6%) | |||||||||||
Accor SA | 95,360 | 5,229,050 | |||||||||
Aramark | 158,140 | 4,859,642 | |||||||||
Belmond Ltd. Class A | 3,000 | 36,960 | *Ø | ||||||||
Bloomin' Brands, Inc. | 159,350 | 3,610,871 | Ø | ||||||||
Bob Evans Farms, Inc. | 131,639 | 5,663,110 | Ø | ||||||||
Churchill Downs, Inc. | 47,250 | 5,630,782 | Ø | ||||||||
Life Time Fitness, Inc. | 31,953 | 2,284,639 | *Ø | ||||||||
MGM Resorts International | 253,499 | 5,361,504 | * | ||||||||
Morgans Hotel Group Co. | 85,898 | 588,401 | *£Ø |
See Notes to Schedule of Investments
12
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Pinnacle Entertainment, Inc. | 193,181 | $ | 7,101,334 | *£Ø | |||||||
40,366,293 | |||||||||||
Household Durables (0.3%) | |||||||||||
Blyth, Inc. | 4,000 | 30,720 | *Ø | ||||||||
Lennar Corp. Class B | 38,108 | 1,392,085 | Ø | ||||||||
Rinnai Corp. | 11,800 | 895,302 | Ø | ||||||||
Sony Corp. | 68,700 | 2,076,921 | *Ø | ||||||||
4,395,028 | |||||||||||
Industrial Conglomerates (0.3%) | |||||||||||
Alliance Global Group, Inc. | 4,368,100 | 2,482,407 | Ø | ||||||||
Toshiba Corp. | 425,000 | 1,702,788 | Ø | ||||||||
4,185,195 | |||||||||||
Insurance (1.9%) | |||||||||||
Ambac Financial Group, Inc. | 26,615 | 612,411 | *Ø | ||||||||
American International Group, Inc. | 66,050 | 3,717,955 | Ø | ||||||||
Aspen Insurance Holdings Ltd. | 2,000 | 93,460 | Ø | ||||||||
Assured Guaranty Ltd. | 216,074 | 5,615,763 | £ | ||||||||
BB Seguridade Participacoes SA | 101,829 | 1,191,348 | Ø | ||||||||
Brit PLC | 15,000 | 63,826 | ñ | ||||||||
MetLife, Inc. | 28,800 | 1,477,152 | |||||||||
Montpelier Re Holdings Ltd. | 200 | 7,622 | |||||||||
National Interstate Corp. | 145,295 | 4,071,166 | Ø | ||||||||
PartnerRe Ltd. | 5,500 | 704,000 | |||||||||
Sampo OYJ Class A | 31,684 | 1,535,226 | Ø | ||||||||
Sanlam Ltd. | 164,850 | 1,066,186 | Ø | ||||||||
Syncora Holdings Ltd. | 22,879 | 33,175 | *Ø |
Number of Shares | Value† | ||||||||||
The Hartford Financial Services Group, Inc. | 105,820 | $ | 4,314,281 | Ø | |||||||
WMI Holdings Corp. | 450,764 | 1,162,971 | *£ | ||||||||
XL Group PLC | 99,311 | 3,682,452 | Ø | ||||||||
29,348,994 | |||||||||||
Internet & Catalog Retail (0.4%) | |||||||||||
Liberty Ventures Series A | 123,149 | 5,132,850 | *Ø | ||||||||
Orbitz Worldwide, Inc. | 44,231 | 518,388 | * | ||||||||
5,651,238 | |||||||||||
Internet Software & Services (1.4%) | |||||||||||
AOL, Inc. | 76,600 | 3,056,340 | *Ø | ||||||||
Baidu, Inc. ADR | 4,901 | 981,572 | *Ø | ||||||||
eBay, Inc. | 89,865 | 5,235,535 | *Ø | ||||||||
Equinix, Inc. | 14,816 | 3,791,859 | Ø | ||||||||
Google, Inc. Class A | 3,990 | 2,189,592 | *Ø | ||||||||
Travelport LLC | 71,059 | 1,124,864 | *N | ||||||||
Yahoo!, Inc. | 122,908 | 5,231,579 | *£ | ||||||||
21,611,341 | |||||||||||
IT Services (0.5%) | |||||||||||
Blackhawk Network Holdings, Inc. Class B | 5,000 | 183,550 | *Ø | ||||||||
Computer Sciences Corp. | 57,950 | 3,734,877 | Ø | ||||||||
IGATE Corp. | 31,800 | 1,512,408 | * | ||||||||
InterXion Holding NV | 200 | 6,090 | * | ||||||||
Visa, Inc. Class A | 46,150 | 3,048,208 | Ø | ||||||||
8,485,133 | |||||||||||
Life Sciences Tools & Services (0.1%) | |||||||||||
Thermo Fisher Scientific, Inc. | 11,500 | 1,445,320 | Ø | ||||||||
Machinery (0.7%) | |||||||||||
Amada Holdings Co. Ltd. | 183,500 | 1,851,745 | Ø | ||||||||
EnPro Industries, Inc. | 16,577 | 1,061,094 |
Number of Shares | Value† | ||||||||||
FANUC Corp. | 5,700 | $ | 1,253,787 | Ø | |||||||
ITT Corp. | 37,200 | 1,474,980 | |||||||||
Komatsu Ltd. | 42,300 | 851,039 | Ø | ||||||||
Makita Corp. | 30,500 | 1,522,080 | Ø | ||||||||
Pentair PLC | 6,461 | 401,551 | £ | ||||||||
Xylem, Inc. | 46,604 | 1,725,280 | £ | ||||||||
10,141,556 | |||||||||||
Marine (0.1%) | |||||||||||
Nippon Yusen KK | 273,000 | 858,177 | Ø | ||||||||
Media (5.6%) | |||||||||||
Altice SA | 11,633 | 1,230,121 | *Ø | ||||||||
Cablevision Systems Corp. Class A | 124,984 | 2,497,180 | Ø | ||||||||
CBS Corp. Class B | 76,725 | 4,766,924 | £ | ||||||||
Cineplex, Inc. | 26,432 | 1,058,156 | |||||||||
Cumulus Media, Inc. Class A | 115,591 | 263,548 | * | ||||||||
DIRECTV | 261,536 | 23,722,623 | *Ø | ||||||||
DISH Network Corp. Class A | 67,166 | 4,544,452 | *Ø | ||||||||
Gannett Co., Inc. | 139,548 | 4,789,287 | Ø | ||||||||
Gray Television, Inc. | 301,285 | 3,995,039 | *Ø | ||||||||
Journal Media Group, Inc. | 23,618 | 219,411 | * | ||||||||
Liberty Global PLC Class A | 3,994 | 208,247 | *Ø | ||||||||
Liberty Global PLC Series C | 83,201 | 4,197,490 | *Ø | ||||||||
Loral Space & Communications, Inc. | 59,010 | 4,071,690 | *Ø | ||||||||
Media General, Inc. | 50,000 | 844,500 | *Ø | ||||||||
New Media Investment Group, Inc. | 86,545 | 2,001,786 | £ | ||||||||
Nexstar Broadcasting Group, Inc. Class A | 23,550 | 1,376,733 | Ø | ||||||||
SFX Entertainment, Inc. | 1,000 | 4,370 | * |
See Notes to Schedule of Investments
13
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Sinclair Broadcast Group, Inc. Class A | 39,792 | $ | 1,219,227 | Ø | |||||||
The EW Scripps Co. Class A | 62,690 | 1,460,050 | Ø | ||||||||
Time Warner Cable, Inc. | 35,606 | 5,537,445 | Ø | ||||||||
Time Warner, Inc. | 43,624 | 3,682,302 | Ø | ||||||||
Time, Inc. | 202,800 | 4,629,924 | Ø | ||||||||
Tribune Co. Class 1C Litigation | 300,000 | 750 | *N | ||||||||
Tribune Media Co. Class A | 122,266 | 6,855,455 | Ø | ||||||||
Viacom, Inc. Class B | 17,260 | 1,198,707 | Ø | ||||||||
Videocon d2h Ltd. ADR | 234,361 | 2,608,438 | *£ | ||||||||
86,983,855 | |||||||||||
Metals & Mining (0.6%) | |||||||||||
Gold Fields Ltd. ADR | 594,189 | 2,715,444 | Ø | ||||||||
Nippon Steel & Sumitomo Metal Corp. | 392,000 | 1,019,677 | Ø | ||||||||
RTI International Metals, Inc. | 10,596 | 398,939 | * | ||||||||
SunCoke Energy, Inc. | 275,988 | 4,838,070 | Ø | ||||||||
8,972,130 | |||||||||||
Multiline Retail (1.4%) | |||||||||||
Dollar Tree, Inc. | 37,100 | 2,834,811 | *Ø | ||||||||
Family Dollar Stores, Inc. | 224,618 | 17,551,651 | Ø | ||||||||
Takashimaya Co. Ltd. | 136,000 | 1,269,214 | Ø | ||||||||
21,655,676 | |||||||||||
Multi-Utilities (0.4%) | |||||||||||
Integrys Energy Group, Inc. | 21,000 | 1,535,100 | Ø | ||||||||
NiSource, Inc. | 98,050 | 4,257,331 | Ø | ||||||||
5,792,431 |
Number of Shares | Value† | ||||||||||
Oil, Gas & Consumable Fuels (2.2%) | |||||||||||
Anadarko Petroleum Corp. | 80,354 | $ | 7,561,311 | £ | |||||||
BG Group PLC | 13,000 | 235,476 | |||||||||
Caltex Australia Ltd. | 22,629 | 631,120 | |||||||||
Cheniere Energy Partners LP | 117,199 | 3,819,515 | Ø | ||||||||
Cheniere Energy Partners LP Holdings LLC | 181,138 | 4,582,791 | Ø | ||||||||
Cheniere Energy, Inc. | 61,281 | 4,687,384 | *£Ø | ||||||||
Encana Corp. | 71,727 | 1,019,241 | |||||||||
Freehold Royalties Ltd. | 61,500 | 908,355 | |||||||||
Hess Corp. | 41,605 | 3,199,425 | Ø | ||||||||
Liquefied Natural Gas Ltd. | 283,105 | 1,019,590 | * | ||||||||
SemGroup Corp. Class A | 39,750 | 3,346,552 | Ø | ||||||||
Talisman Energy, Inc. | 288,606 | 2,300,190 | Ø | ||||||||
Whiting Petroleum Corp. | 2,000 | 75,820 | * | ||||||||
33,386,770 | |||||||||||
Paper & Forest Products (0.0%) | |||||||||||
Norbord, Inc. | 5,000 | 100,870 | |||||||||
Personal Products (0.1%) | |||||||||||
Asaleo Care Ltd. | 1,247,588 | 1,815,353 | Ø | ||||||||
Pharmaceuticals (4.1%) | |||||||||||
Actavis PLC | 41,746 | 11,808,274 | *Ø | ||||||||
Bayer AG | 10,376 | 1,493,445 | *Ø | ||||||||
Hospira, Inc. | 66,020 | 5,762,886 | *Ø | ||||||||
Impax Laboratories, Inc. | 77,215 | 3,494,751 | * | ||||||||
Jazz Pharmaceuticals PLC | 27,797 | 4,967,324 | *Ø | ||||||||
Mallinckrodt PLC | 44,785 | 5,068,766 | *£Ø | ||||||||
Mylan NV | 104,944 | 7,583,253 | *£ | ||||||||
Nektar Therapeutics | 285,775 | 2,720,578 | *£ | ||||||||
Novartis AG | 11,887 | 1,213,332 | Ø |
Number of Shares | Value† | ||||||||||
Perrigo Co. PLC | 27,091 | $ | 4,965,239 | Ø | |||||||
Revance Therapeutics, Inc. | 26,334 | 518,121 | * | ||||||||
Shire PLC ADR | 20,765 | 5,056,485 | |||||||||
Teva Pharmaceutical Industries Ltd. ADR | 16,867 | 1,019,104 | |||||||||
Zoetis, Inc. | 173,358 | 7,700,562 | £ | ||||||||
63,372,120 | |||||||||||
Professional Services (0.1%) | |||||||||||
Nielsen NV | 36,901 | 1,658,331 | |||||||||
Real Estate Investment Trusts (3.9%) | |||||||||||
American Realty Capital Properties, Inc. | 205,071 | 1,851,791 | £ | ||||||||
Apollo Commercial Real Estate Finance, Inc. | 112,694 | 1,925,940 | Ø | ||||||||
Associated Estates Realty Corp. | 1,000 | 28,500 | |||||||||
Colony Capital, Inc. Class A | 174,945 | 4,532,825 | Ø | ||||||||
CyrusOne, Inc. | 44,362 | 1,440,878 | Ø | ||||||||
Easterly Government Properties, Inc. | 56,054 | 882,851 | *Ø | ||||||||
Home Properties, Inc. | 35,293 | 2,596,153 | |||||||||
Lamar Advertising Co. Class A | 101,627 | 5,890,301 | |||||||||
New Senior Investment Group, Inc. | 742,849 | 12,004,440 | £Ø | ||||||||
Newcastle Investment Corp. | 219,864 | 1,171,875 | £ | ||||||||
NorthStar Realty Finance Corp. | 720,110 | 13,509,264 | £ | ||||||||
Simon Property Group, Inc. | 16,638 | 3,019,631 | Ø | ||||||||
STAG Industrial, Inc. | 87,040 | 1,891,379 | Ø |
See Notes to Schedule of Investments
14
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
The Macerich Co. | 114,150 | $ | 9,332,904 | Ø | |||||||
Xenia Hotels & Resorts, Inc. | 40,274 | 882,403 | Ø | ||||||||
60,961,135 | |||||||||||
Real Estate Management & Development (1.7%) | |||||||||||
Altus Group Ltd. | 51,008 | 853,163 | Ø | ||||||||
CBRE Group, Inc. Class A | 170,188 | 6,525,008 | *Ø | ||||||||
Conwert Immobilien Invest SE | 2,000 | 25,284 | * | ||||||||
Daito Trust Construction Co. Ltd. | 9,300 | 1,082,991 | Ø | ||||||||
Daiwa House Industry Co. Ltd. | 204,600 | 4,567,700 | Ø | ||||||||
DO Deutsche Office AG | 312,679 | 1,487,364 | * | ||||||||
Kennedy Wilson Europe Real Estate PLC | 246,425 | 4,228,973 | Ø | ||||||||
Mitsubishi Estate Co. Ltd. | 80,000 | 1,882,983 | Ø | ||||||||
Pruksa Real Estate PCL | 1,235,200 | 1,026,859 | Ø | ||||||||
Tokyo Tatemono Co. Ltd. | 298,000 | 2,160,696 | Ø | ||||||||
Tokyu Fudosan Holdings Corp. | 329,400 | 2,447,753 | Ø | ||||||||
26,288,774 | |||||||||||
Road & Rail (0.9%) | |||||||||||
Canadian Pacific Railway Ltd. | 7,374 | 1,405,337 | |||||||||
Hertz Global Holdings, Inc. | 116,268 | 2,423,025 | *Ø |
Number of Shares | Value† | ||||||||||
Roadrunner Transportation Systems, Inc. | 156,710 | $ | 3,834,694 | * | |||||||
Ryder System, Inc. | 31,222 | 2,977,330 | Ø | ||||||||
Swift Transportation Co. | 111,531 | 2,699,050 | * | ||||||||
13,339,436 | |||||||||||
Semiconductors & Semiconductor Equipment (1.3%) | |||||||||||
Altera Corp. | 114,108 | 4,756,021 | £ | ||||||||
Applied Materials, Inc. | 457,500 | 9,053,925 | |||||||||
Broadcom Corp. Class A | 75,000 | 3,315,375 | Ø | ||||||||
OmniVision Technologies, Inc. | 1,000 | 27,895 | *Ø | ||||||||
REC Solar ASA | 1,500 | 20,320 | *Ø | ||||||||
SCREEN Holdings Co. Ltd. | 283,000 | 1,921,179 | Ø | ||||||||
Tokyo Electron Ltd. ADR | 102,105 | 1,393,733 | £ | ||||||||
20,488,448 | |||||||||||
Software (1.7%) | |||||||||||
Advent Software, Inc. | 60,000 | 2,604,600 | Ø | ||||||||
ClickSoftware Technologies Ltd. | 3,000 | 37,260 | * | ||||||||
Informatica Corp. | 9,800 | 471,086 | * | ||||||||
Nintendo Co. Ltd. | 4,900 | 822,711 | Ø | ||||||||
Nuance Communications, Inc. | 412,331 | 6,321,034 | *Ø | ||||||||
PTC, Inc. | 143,050 | 5,484,537 | *Ø | ||||||||
Verint Systems, Inc. | 170,617 | 10,481,002 | *£ | ||||||||
26,222,230 | |||||||||||
Specialty Retail (0.8%) | |||||||||||
Advance Auto Parts, Inc. | 10,237 | 1,463,891 | Ø | ||||||||
ANN, Inc. | 74,100 | 2,805,426 | *Ø | ||||||||
GLENTEL, Inc. | 5,000 | 104,227 | Ø | ||||||||
JB Hi-Fi Ltd. | 60,319 | 931,749 | Ø |
Number of Shares | Value† | ||||||||||
Office Depot, Inc. | 10,000 | $ | 92,200 | * | |||||||
Tiffany & Co. | 28,013 | 2,450,577 | £ | ||||||||
Vitamin Shoppe, Inc. | 101,412 | 4,247,135 | *Ø | ||||||||
World Duty Free SpA | 8,000 | 89,306 | * | ||||||||
12,184,511 | |||||||||||
Technology Hardware, Storage & Peripherals (0.7%) | |||||||||||
EMC Corp. | 157,759 | 4,245,295 | Ø | ||||||||
NCR Corp. | 65,350 | 1,793,204 | * | ||||||||
Ricoh Co. Ltd. | 71,400 | 737,900 | |||||||||
Western Digital Corp. | 37,006 | 3,616,966 | £ | ||||||||
10,393,365 | |||||||||||
Textiles, Apparel & Luxury Goods (0.2%) | |||||||||||
PVH Corp. | 35,450 | 3,663,758 | Ø | ||||||||
Thrifts & Mortgage Finance (0.1%) | |||||||||||
Federal National Mortgage Association | 121,249 | 328,585 | * | ||||||||
Home Loan Servicing Solutions Ltd. | 500 | 337 | |||||||||
Hudson City Bancorp, Inc. | 103,500 | 962,550 | Ø | ||||||||
1,291,472 | |||||||||||
Tobacco (0.0%) | |||||||||||
Lorillard, Inc. | 9,763 | 682,043 | |||||||||
Trading Companies & Distributors (0.5%) | |||||||||||
AerCap Holdings NV | 66,268 | 3,093,390 | *Ø | ||||||||
Air Lease Corp. | 85,007 | 3,283,820 | |||||||||
Mitsubishi Corp. | 35,400 | 763,816 | Ø | ||||||||
7,141,026 | |||||||||||
Transportation Infrastructure (0.3%) | |||||||||||
Macquarie Infrastructure Co. LLC | 61,689 | 5,105,382 | Ø |
See Notes to Schedule of Investments
15
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Water Utilities (0.1%) | |||||||||||
Cia de Saneamento Basico do Estado de Sao Paulo | 195,000 | $ | 1,152,027 | Ø | |||||||
Wireless Telecommunication Services (0.2%) | |||||||||||
SoftBank Corp. | 28,000 | 1,750,290 | Ø | ||||||||
Turkcell Iletisim Hizmetleri | 201,428 | 896,871 | Ø | ||||||||
2,647,161 | |||||||||||
Total Common Stocks (Cost $926,111,117) | 957,328,676 | ||||||||||
Preferred Stocks (0.1%) | |||||||||||
Banks (0.1%) | |||||||||||
National Bank of Greece SA , Ser. A, 9.00% (Cost $3,572,349) | 222,541 | 2,042,926 | *Ø | ||||||||
Exchange Traded Funds (0.5%) | |||||||||||
iPATH S&P 500 VIX Short-Term Futures ETN | 108,080 | 2,357,225 | * | ||||||||
PowerShares DB U.S. Dollar Index Bullish Fund | 235,600 | 5,868,796 | *Ø | ||||||||
Total Exchange Traded Funds (Cost $8,495,433) | 8,226,021 | ||||||||||
Number of Rights | |||||||||||
Rights (0.0%) | |||||||||||
Biotechnology (0.0%) | |||||||||||
Ambit Biosciences Corp. (Daiichi Sankyo Co. Ltd.) | 70,000 | 42,000 | *fNØ | ||||||||
Chelsea Therapeutics International Ltd. (H Lundbeck A/S) | 3,500 | 385 | *fNØ |
Number of Rights | Value† | ||||||||||
Durata Therapeutics, Inc. (Actavis PLC) | 40,000 | $ | 6,400 | *fN | |||||||
Prosensa Holding NV | 20,000 | 19,800 | *fN | ||||||||
Trius Therapeutics Inc. (Cubist Pharmaceuticals Inc.) | 24,000 | 3,120 | *fN | ||||||||
71,705 | |||||||||||
Food & Staples Retailing (0.0%) |
Safeway, 112,000 33,600fN
Inc.
(Casa Ley)
Safeway, 112,000 5,466fN
Inc.
(Property
Development
Centers)
39,066 | |||||||||||
Health Care Providers & Services (0.0%) | |||||||||||
Community Health Systems, Inc., due 1/4/16 | 19,880 | 320 | *£ | ||||||||
Pharmaceuticals (0.0%) | |||||||||||
Furiex Pharmaceuticals, Inc. (Actavis PLC) | 1,500 | 14,655 | *fN | ||||||||
Omthera Pharmaceuticals, Inc. (AstraZeneca PLC) | 100 | — | *fN | ||||||||
14,655 | |||||||||||
Wireless Telecommunication Services (0.0%) | |||||||||||
Leap Wireless International, Inc. (AT&T Inc.) | 60,000 | 151,200 | *fN | ||||||||
Total Rights (Cost $438) | 276,946 |
Number of Warrants | Value† | ||||||||||
Warrants (0.2%) | |||||||||||
Diversified Financial Services (0.2%) | |||||||||||
Nomad Holdings Ltd., due 4/10/17 | 1,071,510 | $ | 2,678,775 | *fN | |||||||
Insurance (0.0%) | |||||||||||
TIG Holdings, Inc., due 12/31/15 | 73 | — | *fN | ||||||||
Media (0.0%) | |||||||||||
Tribune Media Co., due 12/31/32 | 1,877 | 105,243 | *f | ||||||||
Metals & Mining (0.0%) | |||||||||||
HudBay Minerals, Inc., due 7/20/18 | 1,360 | 1,860 | * | ||||||||
Total Warrants (Cost $314,913) | 2,785,878 | ||||||||||
Principal Amount | |||||||||||
Mortgage-Backed Securities (4.8%) | |||||||||||
Collateralized Mortgage Obligations (1.2%) | |||||||||||
Alternative Loan Trust, Ser. 2005-21CB, Class A17, 6.00%, due 6/25/35 | $ | 1,050,952 | 1,078,068 | ||||||||
Alternative Loan Trust, Ser. 2005-J2, Class 1A5, 0.68%, due 4/25/35 | 2,825,568 | 2,478,721 | µ | ||||||||
Banc of America Alternative Loan Trust, Ser. 2005-6, Class 2CB2, 6.00%, due 7/25/35 | 726,650 | 681,500 |
See Notes to Schedule of Investments
16
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Principal Amount | Value† | ||||||||||
Bear Stearns Asset Backed Securities Trust, Ser. 2004-AC4, Class A1, 5.83%, due 8/25/34 | $ | 376,010 | $ | 385,752 | a | ||||||
Chase Mortgage Finance Trust, Ser. 2007-A2, Class 3A2, 2.56%, due 7/25/37 | 548,814 | 522,628 | µ | ||||||||
CHL Mortgage Pass-Through Trust, Ser. 2005-19, Class 1A1, 5.50%, due 8/25/35 | 334,509 | 325,161 | |||||||||
Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust, Ser. 2005-7, Class 1A4, 5.50%, due 10/25/35 | 283,580 | 285,490 | |||||||||
Citicorp Mortgage Securities, Inc., Ser. 2006-3, Class 1A10, 6.25%, due 6/25/36 | 3,143,440 | 3,266,449 | |||||||||
Citicorp Mortgage Securities, Inc., Ser. 2006-3, Class 1A9, 5.75%, due 6/25/36 | 641,518 | 655,294 | |||||||||
Citicorp Mortgage Securities, Inc., Ser. 2006-4, Class 1A2, 6.00%, due 8/25/36 | 798,135 | 810,822 |
Principal Amount | Value† | ||||||||||
Citicorp Mortgage Securities, Inc., Ser. 2007-8, Class 1A4, 6.00%, due 9/25/37 | $ | 179,199 | $ | 178,921 | |||||||
GSR Mortgage Loan Trust, Ser. 2005-AR6, Class 3A2, 2.70%, due 9/25/35 | 498,497 | 474,272 | µ | ||||||||
JP Morgan Alternative Loan Trust, Ser. 2005-A2, Class 1A1, 0.70%, due 1/25/36 | 124,858 | 114,412 | µ | ||||||||
JP Morgan Alternative Loan Trust, Ser. 2006-S4, Class A3A, 5.78%, due 12/25/36 | 761,034 | 731,100 | a | ||||||||
JP Morgan Alternative Loan Trust, Ser. 2006-S4, Class A6, 5.71%, due 12/25/36 | 711,572 | 691,572 | a | ||||||||
JP Morgan Mortgage Trust, Ser. 2007-A1, Class 4A1, 2.49%, due 7/25/35 | 281,925 | 282,269 | µ | ||||||||
JP Morgan Mortgage Trust, Ser. 2007-A1, Class 5A6, 2.56%, due 7/25/35 | 324,838 | 312,443 | µ |
Principal Amount | Value† | ||||||||||
MASTR Alternative Loans Trust, Ser. 2004-10, Class 4A1, 6.00%, due 9/25/19 | $ | 125,925 | $ | 129,835 | |||||||
WaMu Mortgage Pass-Through Certificates Trust, Ser. 2004-S1, Class 1A11, 5.50%, due 3/25/34 | 194,979 | 205,346 | |||||||||
Washington Mutual Mortgage Pass-Through Certificates Trust, Ser. 2005-1, Class 1A1, 5.50%, due 3/25/35 | 1,019,036 | 1,023,832 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, Ser. 2005-9, Class 1A12, 5.50%, due 10/25/35 | 1,101,685 | 1,106,967 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, Ser. 2006-13, Class A5, 6.00%, due 10/25/36 | 327,123 | 336,091 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, Ser. 2007-10, Class 2A5, 6.25%, due 7/25/37 | 1,126,425 | 1,129,172 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, Ser. 2007-12, Class A6, 5.50%, due 9/25/37 | 798,251 | 814,744 |
See Notes to Schedule of Investments
17
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Principal Amount | Value† | ||||||||||
Wells Fargo Mortgage Backed Securities Trust, Ser. 2007-14, Class 1A1, 6.00%, due 10/25/37 | $ | 888,871 | $ | 900,128 | |||||||
Wells Fargo Mortgage Backed Securities Trust, Ser. 2007-16, Class 1A7, 6.00%, due 12/28/37 | 249,082 | 256,786 | |||||||||
19,177,775 | |||||||||||
Commercial Mortgage-Backed (3.6%) | |||||||||||
BAMLL Commercial Mortgage Securities Trust, Ser. 2013-DSNY, Class F, 3.68%, due 9/15/26 | 4,600,000 | 4,587,000 | ñص | ||||||||
BAMLL Commercial Mortgage Securities Trust, Ser. 2014-ICTS, Class E, 3.13%, due 6/15/28 | 3,450,000 | 3,436,907 | ñµ | ||||||||
BAMLL Commercial Mortgage Securities Trust, Ser. 2014-INLD, Class D, 3.68%, due 12/15/29 | 100,000 | 100,438 | ñµ | ||||||||
Boca Hotel Portfolio Trust, Ser. 2013-BOCA, Class E, 3.93%, due 8/15/26 | 700,000 | 699,999 | ñص | ||||||||
CDGJ Commercial Mortgage Trust, Ser. 2014-BXCH, Class DPB, 4.02%, due 12/15/27 | 1,400,000 | 1,404,487 | ñµ |
Principal Amount | Value† | ||||||||||
CDGJ Commercial Mortgage Trust, Ser. 2014-BXCH, Class EPB, 5.17%, due 12/15/27 | $ | 1,500,000 | $ | 1,502,509 | ñµ | ||||||
COMM Mortgage Trust, Ser. 2014-PAT, Class E, 3.33%, due 8/13/27 | 4,800,000 | 4,800,010 | ñص | ||||||||
Credit Suisse Commercial Mortgage Trust, Ser. 2006-C4, Class AJ, 5.54%, due 9/15/39 | 4,450,000 | 4,452,594 | ص | ||||||||
GE Capital Commercial Mortgage Corp., Ser. 2005-C3, Class G, 5.32%, due 7/10/45 | 3,000,000 | 3,007,956 | ñµ | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Ser. 2006-CB15, Class AM, 5.86%, due 6/12/43 | 4,800,000 | 4,909,997 | ص | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Ser. 2013-JWRZ, Class E, 3.92%, due 4/15/30 | 4,330,000 | 4,330,732 | ñµ |
Principal Amount | Value† | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Ser. 2014-FL5, Class D, 3.68%, due 7/15/31 | $ | 1,150,000 | $ | 1,156,326 | ñµ | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Ser. 2015-CSMO, Class D, 3.48%, due 1/15/32 | 3,800,000 | 3,806,050 | ñµ | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Ser. 2015-CSMO, Class E, 4.13%, due 1/15/32 | 800,000 | 801,242 | ñµ | ||||||||
Morgan Stanley Capital I Trust, Ser. 2007-T25, Class AJ, 5.57%, due 11/12/49 | 7,725,000 | 7,907,194 | ص | ||||||||
NorthStar, Ser. 2013-1A, Class B, 5.18%, due 8/25/29 | 500,000 | 506,250 | ñص | ||||||||
PFP III Ltd., Ser. 2014-1, Class D, 4.28%, due 6/14/31 | 3,300,000 | 3,304,610 | ñص | ||||||||
Resource Capital Corp., Ser. 2015-CRE3, Class D, 4.18%, due 3/15/32 | 2,400,000 | 2,399,993 | ñµ |
See Notes to Schedule of Investments
18
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Principal Amount | Value† | ||||||||||
Wells Fargo Commercial Mortgage Trust, Ser. 2014-TISH, Class WTS2, 3.43%, due 2/15/27 | $ | 1,700,000 | $ | 1,696,401 | ñص | ||||||
54,810,695 | |||||||||||
Total Mortgage-Backed Securities (Cost $74,172,287) | 73,988,470 | ||||||||||
Asset-Backed Securities (4.8%) | |||||||||||
Ameri- Credit Automobile Receivables Trust, Ser. 2014-1, Class E, 3.58%, due 8/9/21 | 3,500,000 | 3,520,958 | |||||||||
AMMC CDO, Ser. 2015-16A, Class E, 5.87%, due 4/14/27 | 750,000 | 697,500 | fñµ | ||||||||
AMMC CLO XII Ltd., Ser. 2013-12A, Class D1, 4.01%, due 5/10/25 | 750,000 | 732,560 | ñص | ||||||||
Ares XXVI CLO Ltd., Ser. 2013-1A, Class D, 4.03%, due 4/15/25 | 400,000 | 381,387 | ñµ | ||||||||
Ares XXVIII CLO Ltd., Ser. 2013-3A, Class D, 3.77%, due 10/17/24 | 1,100,000 | 1,043,285 | ñµ | ||||||||
Atlas Senior Loan Fund II Ltd., Ser. 2012-2A, Class D, 4.53%, due 1/30/24 | 2,200,000 | 2,218,853 | ñµ | ||||||||
Babson CLO Ltd., Ser. 2006-2A, Class D, 1.68%, due 10/16/20 | 5,000,000 | 4,810,224 | ñص |
Principal Amount | Value† | ||||||||||
Babson CLO Ltd., Ser. 2013-IA, Class D, 3.78%, due 4/20/25 | $ | 1,450,000 | $ | 1,399,983 | ñµ | ||||||
Canyon Capital CLO Ltd., Ser. 2012-1A, Class D, 4.58%, due 1/15/24 | 500,000 | 498,150 | ñµ | ||||||||
Carrington Mortgage Loan Trust, Ser. 2007-FRE1, Class A2, 0.38%, due 2/25/37 | 79,373 | 72,663 | µ | ||||||||
Catamaran CLO Ltd., Ser. 2015-1A, Class D, 3.93%, due 4/22/27 | 600,000 | 570,720 | fñµ | ||||||||
Catamaran CLO Ltd., Ser. 2015-1A, Class E, 5.43%, due 4/22/27 | 800,000 | 716,080 | fñµ | ||||||||
Cedar Funding III CLO Ltd., Ser. 2014-3A, Class E, 5.16%, due 5/20/26 | 1,200,000 | 1,072,991 | ñµ | ||||||||
CIFC Funding Ltd., Ser. 2006-1BA, Class B2L, 4.26%, due 12/22/20 | 1,900,000 | 1,900,935 | ñµ | ||||||||
ColumbusNova CLO IV Ltd., Ser. 2007-2A, Class D, 4.78%, due 10/15/21 | 900,000 | 902,026 | ñµ | ||||||||
Countrywide Asset-Backed Certificates, Ser. 2005-7, Class AF4, 4.87%, due 10/25/35 | 446,690 | 450,345 | µ |
Principal Amount | Value† | ||||||||||
DT Auto Owner Trust, Ser. 2015-1A, Class D, 4.26%, due 2/15/22 | $ | 1,500,000 | $ | 1,510,065 | ñ | ||||||
Exeter Automobile Receivables Trust, Ser. 2014-1A, Class D, 5.53%, due 2/16/21 | 3,000,000 | 3,046,170 | ñ | ||||||||
Exeter Automobile Receivables Trust, Ser. 2014-2A, Class D, 4.93%, due 12/15/20 | 1,300,000 | 1,291,469 | ñ | ||||||||
Exeter Automobile Receivables Trust, Ser. 2014-3A, Class C, 4.17%, due 6/15/20 | 300,000 | 303,135 | ñ | ||||||||
Fraser Sullivan CLO VII Ltd., Ser. 2012-7A, Class D, 5.78%, due 4/20/23 | 1,600,000 | 1,555,546 | ñµ | ||||||||
Gale Force 4 CLO Ltd., Ser. 2007-4A, Class E, 6.66%, due 8/20/21 | 1,300,000 | 1,307,471 | µ | ||||||||
Golub Capital Partners CLO Ltd., Ser. 2011-10AR, Class DR, 4.13%, due 10/20/21 | 750,000 | 736,572 | ñµ | ||||||||
Greens Creek Funding Ltd., Ser. 2007-1A, Class C, 2.53%, due 4/18/21 | 2,000,000 | 1,970,203 | ñµ |
See Notes to Schedule of Investments
19
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Principal Amount | Value† | ||||||||||
Halcyon Loan Advisors Funding Ltd., Ser. 2012-2A, Class E, 5.67%, due 12/20/24 | $ | 300,000 | $ | 272,504 | ñµ | ||||||
JP Morgan Mortgage Acquisition Trust, Ser. 2007-CH1, Class AF3, 5.40%, due 11/25/36 | 656,722 | 669,227 | a | ||||||||
JP Morgan Mortgage Acquisition Trust, Ser. 2007-CH1, Class AF6, 5.40%, due 11/25/36 | 709,390 | 714,340 | a | ||||||||
Kingsland VI Ltd., Ser. 2013-6A, Class D, 3.93%, due 10/28/24 | 3,000,000 | 2,907,585 | ñµ | ||||||||
KKR CLO Trust, Ser. 2012-1A, Class C, 4.77%, due 12/15/24 | 600,000 | 609,806 | ñµ | ||||||||
LCM XI LP, Ser. 11A, Class D2, 4.23%, due 4/19/22 | 2,600,000 | 2,614,701 | ñµ | ||||||||
LCM XII LP, Ser. 12A, Class D, 4.78%, due 10/19/22 | 500,000 | 500,000 | ñµ | ||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Ser. 2006-HE3, Class A2C, 0.34%, due 4/25/36 | 1,663,024 | 1,628,931 | µ |
Principal Amount | Value† | ||||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Ser. 2006-NC4, Class A2C, 0.33%, due 6/25/36 | $ | 1,623,795 | $ | 1,481,957 | µ | ||||||
Nationstar Home Equity Loan Trust, Ser. 2007-C, Class 2AV2, 0.31%, due 6/25/37 | 636,328 | 613,525 | µ | ||||||||
Nelder Grove CLO Ltd., Ser. 2014-1A, Class D1, 4.78%, due 8/28/26 | 1,400,000 | 1,411,975 | ñµ | ||||||||
Ocean Trails CLO IV, Ser. 2013-4A, Class D, 4.26%, due 8/13/25 | 400,000 | 394,040 | ñµ | ||||||||
Ocean Trails CLO V, Ser. 2014-5A, Class D, 4.24%, due 10/13/26 | 2,050,000 | 1,980,796 | ñµ | ||||||||
Ocean Trails CLO V, Ser. 2014-5A, Class E, 5.63%, due 10/13/26 | 400,000 | 361,086 | ñµ | ||||||||
Octagon Investment Partners XII Ltd., Ser. 2012-1AR, Class DR, 4.06%, due 5/5/23 | 2,300,000 | 2,304,171 | ñµ | ||||||||
Octagon Investment Partners XIV Ltd., Ser. 2012-1A, Class C, 4.28%, due 1/15/24 | 400,000 | 403,093 | ñµ |
Principal Amount | Value† | ||||||||||
Octagon Investment Partners XVII Ltd., Ser. 2013-1A, Class E, 4.73%, due 10/25/25 | $ | 600,000 | $ | 530,656 | ñµ | ||||||
Octagon Investment Partners XX Ltd., Ser. 2014-1A, Class E, 5.51%, due 8/12/26 | 250,000 | 223,936 | ñµ | ||||||||
OZLM Funding IV Ltd., Ser. 2013-4A, Class C, 3.78%, due 7/22/25 | 1,200,000 | 1,138,914 | ñµ | ||||||||
OZLM Funding V Ltd., Ser. 2013-5A, Class D, 5.03%, due 1/17/26 | 950,000 | 857,144 | ñµ | ||||||||
OZLM VII Ltd., Ser. 2014-7A, Class C, 3.87%, due 7/17/26 | 3,200,000 | 3,086,483 | ñµ | ||||||||
OZLM XI Ltd., Ser. 2015-11A, Class D, 5.67%, due 1/30/27 | 1,200,000 | 1,098,872 | ñµ | ||||||||
OZLM XII Ltd., Ser. 2015-12A, Class SUB, due 4/30/27 | 1,000,000 | 904,100 | fñ | ||||||||
Race Point VI CLO Ltd., Ser. 2012-6RA, Class DR, 4.34%, due 5/24/23 | 625,000 | 629,719 | ñµ | ||||||||
Sound Point CLO I Ltd., Ser. 2012-1A, Class D, 4.86%, due 10/20/23 | 3,000,000 | 3,010,158 | ñµ |
See Notes to Schedule of Investments
20
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Principal Amount | Value† | ||||||||||
Structured Asset Securities Corp. Mortgage Loan Trust, Ser. 2005-4XS, Class 1A3, 5.00%, due 3/25/35 | $ | 281,126 | $ | 283,004 | a | ||||||
Symphony CLO IX LP, Ser. 2012-9A, Class E, 5.28%, due 4/16/22 | 1,000,000 | 976,459 | ñµ | ||||||||
Symphony CLO XII Ltd., Ser. 2013-12A, Class D, 3.78%, due 10/15/25 | 750,000 | 722,385 | ñµ | ||||||||
Venture IX CDO Ltd., Ser. 2007-9A, Class D, 4.42%, due 10/12/21 | 2,500,000 | 2,514,485 | ñµ | ||||||||
Venture XIV CLO Ltd., Ser. 2013-14A, Class D, 4.01%, due 8/28/25 | 2,400,000 | 2,342,349 | ñµ | ||||||||
Venture XIX CLO Ltd., Ser. 2014-19A, Class D, 4.25%, due 1/15/27 | 2,500,000 | 2,458,438 | ñµ | ||||||||
Voya CLO Ltd., Ser. 2014-3A, Class SUB, due 7/25/26 | 2,000,000 | 1,580,734 | ñ | ||||||||
Total Asset-Backed Securities (Cost $73,442,296) | 73,934,864 | ||||||||||
Bank Loan Obligationsµ (9.4%) | |||||||||||
Advertising (0.4%) | |||||||||||
Affinion Group, Inc., 1st Lien Term Loan B, 6.75%, due 4/30/18 | 3,240,459 | 3,100,989 |
Principal Amount | Value† | ||||||||||
CBS Outdoor Americas Capital LLC, Term Loan 3.00%, due 1/31/21 | $ | 750,000 | $ | 748,943 | Ø | ||||||
Extreme Reach, Inc., 1st Lien Term Loan, 6.75%, due 12/31/25 | 980,632 | 987,986 | |||||||||
Extreme Reach, Inc., 2nd Lien Term Loan, 10.50%, due 12/31/25 | 1,593,000 | 1,585,035 | |||||||||
6,422,953 | |||||||||||
Aerospace & Defense (0.1%) | |||||||||||
The SI Organization, Inc., 1st Lien Term Loan, 5.75%, due 10/24/19 | 1,426,437 | 1,433,569 | |||||||||
The SI Organization, Inc., Delayed Draw 1st Lien Term Loan, 5.75%, due 11/23/19 | 95,054 | 95,529 | †† | ||||||||
1,529,098 | |||||||||||
Auto Components (0.1%) | |||||||||||
TI Group Automotive Systems LLC, Term Loan, 4.25%, due 7/2/21 | 496,250 | 496,662 | |||||||||
Visteon Corp., Initial Term Loan, 3.50%, due 4/9/21 | 595,500 | 595,250 | |||||||||
1,091,912 | |||||||||||
Building Materials (0.1%) | |||||||||||
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, due 9/18/20 | 714,367 | 716,453 | Ø |
Principal Amount | Value† | ||||||||||
Chemicals (0.1%) | |||||||||||
Axalta Coating Systems US Holdings, Inc., Term Loan 3.75%, due 2/1/20 | $ | 710,186 | $ | 711,606 | |||||||
Commercial Services & Supplies (0.8%) | |||||||||||
Accuvant, Inc., Term Loan B, 6.25%, due 12/15/21 | 2,040,000 | 2,047,650 | |||||||||
Aramark Services, Inc., 1st Lien Term Loan F, 3.25%, due 2/21/21 | 743,120 | 743,120 | |||||||||
Indiana Toll Road Concession Co. LLC, Swap Claim | 2,322,432 | 2,177,280 | ≠ØN | ||||||||
Indiana Toll Road Concession Co. LLC, Term Loan A, due 6/28/15 | 6,279,921 | 5,897,223 | ≠Ø | ||||||||
Indiana Toll Road Concession Co. LLC, Term Loan B, due 6/28/15 | 290,355 | 272,661 | ≠Ø | ||||||||
Indiana Toll Road Concession Co. LLC, Term Loan C, due 6/28/15 | 886,852 | 832,807 | ≠Ø | ||||||||
Insight Global, Inc., 5.25%, due 12/31/19 | 492,443 | 493,674 | |||||||||
iQor US, Inc., 2nd Lien Term Loan, 9.75%, due 2/18/22 | 293,667 | 274,211 | Ø | ||||||||
12,738,626 | |||||||||||
Communications Equipment (0.1%) | |||||||||||
Riverbed Technology, Inc., Term Loan B, 6.00%, due 2/25/22 | 1,567,000 | 1,583,454 |
See Notes to Schedule of Investments
21
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Principal Amount | Value† | ||||||||||
Diversified Financial Services (0.5%) | |||||||||||
4L Technologies, Inc., Term Loan B, 5.50%, due 4/3/20 | $ | 1,814,880 | $ | 1,768,002 | Ø | ||||||
BATS Global Markets Holdings, Inc., Term Loan, 5.75%, due 1/31/20 | 335,596 | 338,113 | |||||||||
Connolly Corp., Term Loan, 5.00%, due 5/9/21 | 1,354,763 | 1,362,810 | |||||||||
Environmental Resources Management, 1st Lien Term Loan, 5.00%, due 5/9/21 | 2,881,000 | 2,823,380 | N | ||||||||
Twin River Management Group, Inc., 1st Lien Term Loan, 5.25%, due 4/10/20 | 1,323,369 | 1,323,025 | |||||||||
7,615,330 | |||||||||||
Diversified Telecommunication Services (0.3%) | |||||||||||
Fairpoint Communications, Inc., Term Loan B, 7.50%, due 2/14/19 | 2,301,151 | 2,341,421 | |||||||||
Global Telcom Link Corp., 2nd Lien Term Loan, 9.00%, due 5/21/20 | 2,825,000 | 2,712,000 | ØN | ||||||||
Level 3 Communications, Inc., Term Loan, 4.50%, due 1/31/22 | 200,000 | 200,126 | |||||||||
5,253,547 |
Principal Amount | Value† | ||||||||||
Electric Utilities (0.2%) | |||||||||||
Texas Competitive Electric Holdings Co., Term Loan, 4.25%, due 6/6/16 | $ | 3,300,000 | $ | 3,317,886 | ≠Ø | ||||||
Food Products (0.2%) | |||||||||||
Del Monte Corp., 2nd Lien Term Loan, 8.25%, due 7/26/21 | 1,917,000 | 1,725,300 | Ø | ||||||||
Ferrara Candy Co., Term Loan, 7.50%, due 6/8/17 | 1,875,899 | 1,873,554 | N | ||||||||
3,598,854 | |||||||||||
Health Care Equipment & Supplies (0.1%) | |||||||||||
Hologic, Inc., Refinanced Term Loan, 3.25%, due 8/1/19 | 544,342 | 545,398 | |||||||||
US Renal Care, Inc., 1st Lien Term Loan, 4.25%, due 7/3/19 | 494,975 | 497,242 | |||||||||
1,042,640 | |||||||||||
Health Care Providers & Services (0.2%) | |||||||||||
21st Century Oncology, Inc., Term Loan, due 4/28/22 | 2,804,000 | 2,789,980 | ^^N | ||||||||
Genesis HealthCare DE LLC, Term Loan, 10.00%, due 10/2/17 | 169,254 | 172,639 | N | ||||||||
MPH Acquisition Holdings LLC, Initial Term Loan, 4.00%, due 3/31/21 | 653,781 | 653,231 | |||||||||
3,615,850 |
Principal Amount | Value† | ||||||||||
Healthcare—Products (0.1%) | |||||||||||
Curo Health Services Holdings, Inc., Term Loan B, 6.50%, due 2/2/22 | $ | 1,546,000 | $ | 1,557,595 | |||||||
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, due 6/30/21 | 446,625 | 445,062 | |||||||||
2,002,657 | |||||||||||
Hotels, Restaurants & Leisure (1.3%) | |||||||||||
Amaya BV, 1st Lien Term Loan, 5.00%, due 7/29/21 | 3,019,825 | 3,021,727 | |||||||||
Amaya BV, 2nd Lien Term Loan, 8.00%, due 7/29/22 | 1,095,000 | 1,104,921 | |||||||||
Aristocrat Leisure, Term Loan B, 4.75%, due 9/29/21 | 3,128,108 | 3,153,915 | |||||||||
Boyd Gaming Corp., 1st Lien Term Loan, due 4/17/22 | 314,000 | 315,570 | ^^ | ||||||||
Caesars Entertainment Corp., 1st Lien Term Loan, 7.00%, due 10/9/20 | 1,481,250 | 1,415,527 | |||||||||
Caesars Entertainment Operating Co., Inc., Term Loan B, 9.75%, due 3/1/17 | 2,119,810 | 1,944,629 | |||||||||
ClubCorp Club Operations, Inc., Term Loan B, 4.50%, due 7/24/20 | 500,000 | 503,125 | Ø | ||||||||
Fitness International LLC, 1st Lien Term Loan B, 5.50%, due 6/10/20 | 1,526,914 | 1,446,751 |
See Notes to Schedule of Investments
22
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Principal Amount | Value† | ||||||||||
Great Wolf Resorts, Inc., Term Loan B, 5.75%, due 8/6/20 | $ | 1,497,380 | $ | 1,497,380 | |||||||
Harrah's Operating Co., Inc., Term Loan B5, 6.01%, due 1/28/18 | 1,835,830 | 1,678,866 | Ø | ||||||||
Harrah's Operating Co., Inc., Term Loan B6, 7.01%, due 1/28/18 | 837,804 | 764,496 | Ø | ||||||||
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, due 9/23/20 | 616,506 | 618,590 | |||||||||
Mohegan Tribal Gaming Authority, 1st Lien Term Loan B, 5.50%, due 11/19/19 | 1,461,500 | 1,454,455 | |||||||||
Scientific Games International, Inc., Initial Term Loan, 6.00%, due 10/18/20 | 494,987 | 499,799 | |||||||||
SeaWorld Parks & Entertainment, Inc., Term Loan B2, 3.00%, due 5/14/20 | 484,893 | 474,711 | |||||||||
Varsity Brands LLC, Term Loan B, 6.00%, due 12/10/21 | 196,113 | 198,156 | |||||||||
20,092,618 | |||||||||||
Household Products (0.2%) | |||||||||||
Huish Detergent, Inc., 1st Lien Term Loan, 5.50%, due 3/23/20 | 2,018,336 | 1,936,169 |
Principal Amount | Value† | ||||||||||
KIK Custom Products, Inc., 1st Lien Term Loan, 5.50%, due 4/29/19 | $ | 493,730 | $ | 493,833 | |||||||
Prestige Brands, Inc., Term Loan, 4.50%, due 4/28/21 | 496,528 | 498,236 | |||||||||
2,928,238 | |||||||||||
Independent Power & Renewable Electricity Producers (0.1%) | |||||||||||
NRG Energy, Inc., 4.50%, due 2/4/21 | 1,980,000 | 1,937,925 | Ø | ||||||||
Insurance (0.5%) | |||||||||||
Asurion LLC, 1st Lien Term Loan, 5.00%, due 12/31/20 | 850,535 | 854,635 | |||||||||
Asurion LLC, 2nd Lien Term Loan, 8.50%, due 2/19/21 | 5,002,000 | 5,069,527 | |||||||||
Cunningham Lindsey US, Inc., 2nd Lien Initial Term Loan, 9.25%, due 6/10/20 | 1,000,000 | 970,000 | ØN | ||||||||
Hyperion Insurance Group Ltd., Term Loan B, due 3/26/22 | 1,283,000 | 1,294,226 | ^^ | ||||||||
8,188,388 | |||||||||||
Internet Software & Services (0.4%) | |||||||||||
Answers Corp., Term Loan, 6.25%, due 10/3/21 | 647,378 | 617,708 | |||||||||
ProQuest LLC, Term Loan B, 5.25%, due 9/23/21 | 1,759,590 | 1,767,297 | |||||||||
Travelclick, 1st Lien Term Loan, 5.50%, due 5/8/21 | 458,623 | 457,096 |
Principal Amount | Value† | ||||||||||
Travelport LLC, Term Loan B, 5.75%, due 8/15/21 | $ | 2,853,350 | $ | 2,880,542 | Ø | ||||||
5,722,643 | |||||||||||
Machinery (0.2%) | |||||||||||
Dynacast International LLC, Term Loan, 5.25%, due 1/29/22 | 747,000 | 755,717 | |||||||||
Husky Injection Molding Systems Ltd., 1st Lien Term Loan, 4.25%, due 6/30/21 | 746,250 | 750,757 | |||||||||
Milacron LLC, Term Loan B, 4.00%, due 3/28/20 | 594,000 | 596,228 | |||||||||
Milacron LLC, Term Loan B, due 9/28/20 | 600,000 | 603,000 | ^^ | ||||||||
2,705,702 | |||||||||||
Media (1.2%) | |||||||||||
Charter Communications Operating LLC, Term Loan F, 3.00%, due 1/31/21 | 744,318 | 742,145 | |||||||||
Endemol, 1st Lien Term Loan, 6.75%, due 8/6/21 | 2,706,400 | 2,695,574 | |||||||||
IMG Worldwide, Inc., 1st Lien Term Loan, 5.25%, due 3/19/21 | 2,317,488 | 2,320,384 | |||||||||
IMG Worldwide, Inc., 2nd Lien Term Loan, 8.25%, due 3/21/22 | 1,262,000 | 1,229,403 | Ø | ||||||||
NEP/NCP Holdco, Inc., Incremental Term Loan, 4.25%, due 1/22/20 | 2,507,055 | 2,486,171 |
See Notes to Schedule of Investments
23
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Principal Amount | Value† | ||||||||||
NEP/NCP Holdco, Inc., Term Loan, due 7/22/20 | $ | 766,000 | $ | 763,128 | ^^ | ||||||
RentPath, Inc., 1st Lien Term Loan, 6.25%, due 12/11/21 | 1,081,433 | 1,090,895 | |||||||||
Springer Science+Business Media GmbH, 4.75%, due 8/15/20 | 2,220,079 | 2,229,093 | ^^Ø | ||||||||
Thomson Learning, 1st Lien Term Loan, 7.00%, due 3/6/21 | 2,994,617 | 3,010,518 | |||||||||
Top Right Group Ltd., Term Loan B, due 4/13/22 | 1,965,000 | 1,945,350 | |||||||||
18,512,661 | |||||||||||
Metals & Mining (0.1%) | |||||||||||
FMG Resources August 2006 Pty Ltd., Term Loan B, 3.75%, due 6/30/19 | 743,086 | 670,063 | |||||||||
Miscellaneous Manufacturing (0.2%) | |||||||||||
Filtration Group, Inc., 2nd Lien Term Loan, 8.25%, due 11/15/21 | 400,000 | 401,620 | Ø | ||||||||
Gates Global LLC, Term Loan, 4.25%, due 6/12/21 | 721,375 | 721,375 | |||||||||
Novolex Holdings, Inc., 1st Lien Term Loan, 6.00%, due 12/4/21 | 256,265 | 258,828 | |||||||||
Novolex Holdings, Inc., 2st Lien Term Loan, 9.75%, due 6/3/22 | 950,000 | 957,125 | N |
Principal Amount | Value† | ||||||||||
Trinseo Materials Operating SCA, Term Loan B, due 10/28/21 | $ | 467,000 | $ | 468,896 | ^^ | ||||||
2,807,844 | |||||||||||
Multiline Retail (0.1%) | |||||||||||
JC Penney Co., Inc., 1st Lien Term Loan, 5.00%, due 6/13/19 | 968,680 | 962,975 | |||||||||
JC Penney Corp., Inc., Term Loan, 6.00%, due 5/21/18 | 1,166,466 | 1,165,731 | |||||||||
2,128,706 | |||||||||||
Oil & Gas Services (0.1%) | |||||||||||
Expro Oilfield Services PLC, Term Loan B, 5.75%, due 8/12/21 | 1,300,465 | 1,154,397 | |||||||||
Preferred Proppants LLC, Term Loan B, 6.75%, due 8/12/20 | 405,426 | 331,436 | |||||||||
1,485,833 | |||||||||||
Oil, Gas & Consumable Fuels (0.2%) | |||||||||||
Bowie Resources Holdings LLC, 2nd Lien Term Loan, 11.75%, due 12/31/20 | 35,100 | 34,047 | N | ||||||||
Energy Transfer Equity LP, Term Loan, 3.25%, due 12/2/19 | 750,000 | 746,347 | Ø | ||||||||
Energy Transfer Equity LP, Term Loan, due 4/24/21 | 478,000 | 479,616 | ^^ | ||||||||
Fieldwood Energy LLC, 2nd Lien Term Loan, 8.38%, due 9/30/20 | 1,097,000 | 850,175 | Ø |
Principal Amount | Value† | ||||||||||
Penn Products Terminals LLC, Term Loan B, 4.75%, due 4/1/22 | $ | 1,089,000 | $ | 1,101,251 | N | ||||||
3,211,436 | |||||||||||
Packaging & Containers (0.1%) | |||||||||||
Ardagh Holdings USA, Inc., 1st Lien Term Loan B, 4.00%, due 12/17/19 | 495,000 | 497,104 | |||||||||
Kloeckner Pentaplast of America, Inc., Initial Term Loan, due 4/22/20 | 214,671 | 215,342 | |||||||||
Kloeckner Pentaplast of America, Inc., Term Loan B, due 4/22/20 | 502,329 | 503,902 | |||||||||
1,216,348 | |||||||||||
Pharmaceuticals (0.3%) | |||||||||||
Alvogen Pharma US, Inc., 1st Lien Term Loan, 6.00%, due 4/2/22 | 313,000 | 315,216 | |||||||||
Atrium Innovations, Inc., 1st Lien Term Loan, 4.25%, due 1/29/21 | 1,752,049 | 1,729,413 | Ø | ||||||||
Packaging Coordinators, Inc. Term Loan, 5.25%, due 8/12/21 | 1,828,810 | 1,826,524 | ØN | ||||||||
Valeant Pharmaceuticals International, Inc., Term Loan, 4.00%, due 4/1/22 | 1,305,000 | 1,313,456 | |||||||||
5,184,609 | |||||||||||
Real Estate Invesment Trusts (0.0%) | |||||||||||
Communications Sales & Leasing, Inc., Term Loan B, 5.00%, due 10/16/22 | 477,000 | 475,808 |
See Notes to Schedule of Investments
24
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Principal Amount | Value† | ||||||||||
Real Estate Management & Development (0.1%) | |||||||||||
Realogy Group LLC, New Term Loan B, 3.75%, due 3/5/20 | $ | 744,347 | $ | 746,907 | |||||||
Software (0.5%) | |||||||||||
Ascend Learning LLC, 2nd Lien Term Loan, 9.50%, due 11/28/20 | 2,000,000 | 1,982,080 | Ø | ||||||||
Ascend Learning LLC, Term Loan B, 6.00%, due 12/31/20 | 736,426 | 740,660 | |||||||||
First Data Corp., Extended Term Loan, 4.18%, due 3/24/21 | 500,000 | 503,440 | Ø | ||||||||
First Data Corp., Term Loan C1, 3.68%, due 3/24/18 | 250,000 | 250,470 | |||||||||
P2 Energy Solutions, Inc., 2nd Lien Term Loan, 9.00%, due 4/30/21 | 605,000 | 558,869 | Ø | ||||||||
Progressive Solutions, Inc., 1st Lien Term Loan, 5.50%, due 10/16/20 | 1,328,398 | 1,330,059 | |||||||||
Progressive Solutions, Inc., 2nd Lien Term Loan, 9.50%, due 10/22/21 | 2,073,000 | 2,052,270 | ØN | ||||||||
TeamViewer US LCC, 1st Lien Term Loan, 6.00%, due 12/11/20 | 932,315 | 918,917 | |||||||||
8,336,765 |
Principal Amount | Value† | ||||||||||
Specialty Retail (0.0%) | |||||||||||
Payless, Inc., 1st Lien Term Loan, 5.00%, due 3/5/21 | $ | 154,955 | $ | 150,371 | |||||||
Steel—Specialty (0.0%) | |||||||||||
Signode Industrial Group US, Inc., 1st Lien Term Loan, 3.75%, due 4/8/21 | 608,333 | 607,001 | |||||||||
Technology Hardware, Storage & Peripherals (0.1%) | |||||||||||
Eastman Kodak Co., Term Loan, 7.25%, due 7/31/19 | 1,971,168 | 1,976,096 | |||||||||
Telecommunications (0.2%) | |||||||||||
ConvergeOne Holdings Corp., 1st Lien Term Loan, 6.00%, due 6/16/20 | 2,437,361 | 2,432,803 | |||||||||
Transportation (0.1%) | |||||||||||
Coyote Logistics LLC, Term Loan B, 6.25%, due 3/24/22 | 802,000 | 806,347 | N | ||||||||
Wireless Telecommunication Services (0.1%) | |||||||||||
SBA Senior Finance II LLC, Term Loan B-1A, 4.00%, due 3/24/21 | 744,375 | 743,757 | |||||||||
Total Bank Loan Obligations (Cost $142,938,661) | 144,309,735 | ||||||||||
Corporate Debt Securities (3.9%) | |||||||||||
Aerospace & Defense (0.1%) | |||||||||||
Bombardier, Inc., 7.50%, due 3/15/18 | 645,000 | 691,440 | ñ | ||||||||
TransDigm, Inc., 6.00%, due 7/15/22 | 330,000 | 333,300 | Ø | ||||||||
1,024,740 |
Principal Amount | Value† | ||||||||||
Auto Components (0.2%) | |||||||||||
American Axle & Manufacturing, Inc., 5.13%, due 2/15/19 | $ | 650,000 | $ | 669,500 | Ø | ||||||
Icahn Enterprises LP, 4.88%, due 3/15/19 | 725,000 | 738,702 | Ø | ||||||||
Schaeffler Holding Finance BV, 6.88% Cash/7.63% PIK, due 8/15/18 | 695,000 | 726,275 | cñØ | ||||||||
ZF North America Capital, Inc., 4.00%, due 4/29/20 | 290,000 | 291,813 | ñ | ||||||||
2,426,290 | |||||||||||
Banks (0.2%) | |||||||||||
Bancolombia SA, 5.13%, due 9/11/22 | 245,000 | 250,022 | Ø | ||||||||
CIT Group, Inc., 5.25%, due 3/15/18 | 650,000 | 673,725 | Ø | ||||||||
Citigroup, Inc., Ser. M, 6.30%, due 5/15/24 | 375,000 | 379,425 | ص | ||||||||
ICICI Bank Ltd., 6.37%, due 4/30/22 | 100,000 | 104,250 | µ | ||||||||
Industrial Senior Trust, 5.50%, due 11/1/22 | 245,000 | 241,448 | ñØ | ||||||||
Lloyds Banking Group PLC, 7.50%, due 6/27/24 | 500,000 | 533,750 | ص | ||||||||
VTB Bank OJSC Via VTB Capital SA, 6.95%, due 10/17/22 | 250,000 | 228,471 | Ø | ||||||||
Wells Fargo & Co., Ser. S, 5.90%, due 6/15/24 | 350,000 | 366,625 | ص | ||||||||
2,777,716 |
See Notes to Schedule of Investments
25
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Principal Amount | Value† | ||||||||||
Building Products (0.0%) | |||||||||||
Associated Materials LLC, 9.13%, due 11/1/17 | $ | 175,000 | $ | 148,750 | Ø | ||||||
Chemicals (0.0%) | |||||||||||
Momentive Performance Materials, Inc., 10.00%, due 10/15/20 | 613,000 | 766 | ≠Ø | ||||||||
Communications Equipment (0.1%) | |||||||||||
Avaya, Inc., 7.00%, due 4/1/19 | 485,000 | 487,425 | ñ | ||||||||
Avaya, Inc., 10.50%, due 3/1/21 | 1,135,000 | 998,800 | ñ | ||||||||
1,486,225 | |||||||||||
Construction & Engineering (0.0%) | |||||||||||
Michael Baker Holdings LLC, 8.88% Cash/9.63% PIK, due 4/15/19 | 304,000 | 278,160 | cNñ | ||||||||
Consumer Finance (0.1%) | |||||||||||
Navient Corp., 8.45%, due 6/15/18 | 700,000 | 780,990 | Ø | ||||||||
Containers & Packaging (0.0%) | |||||||||||
Ardagh Holdings USA, Inc., 3.27%, due 12/15/19 | 325,000 | 320,531 | ñص | ||||||||
Diversified Consumer Services (0.0%) | |||||||||||
Service Corp. International, 7.63%, due 10/1/18 | 575,000 | 664,125 | Ø | ||||||||
Diversified Financial Services (0.2%) | |||||||||||
Comcel Trust via Comunicaciones Celulares SA, 6.88%, due 2/6/24 | 270,000 | 289,575 | ñØ | ||||||||
Corolla Trust, 0.00%, due 8/28/39 | 2,954,000 | 2,329,968 | ñص | ||||||||
2,619,543 |
Principal Amount | Value† | ||||||||||
Diversified Telecommunication Services (0.4%) | |||||||||||
FairPoint Communications, Inc., 8.75%, due 8/15/19 | $ | 1,115,000 | $ | 1,193,050 | ñØ | ||||||
Intelsat Jackson Holdings SA, 5.50%, due 8/1/23 | 4,683,000 | 4,407,874 | Ø | ||||||||
Intelsat Luxembourg SA, 6.75%, due 6/1/18 | 575,000 | 579,312 | Ø | ||||||||
Sprint Capital Corp., 8.75%, due 3/15/32 | 600,000 | 615,000 | Ø | ||||||||
6,795,236 | |||||||||||
Electric Utilities (0.1%) | |||||||||||
Energy Future Intermediate Holding Co. LLC, 11.75%, due 3/1/22 | 1,325,815 | 1,494,857 | ≠ñØ | ||||||||
Energy Equipment & Services (0.0%) | |||||||||||
CHC Helicopter SA, 9.25%, due 10/15/20 | 270,000 | 235,656 | Ø | ||||||||
PHI, Inc., 5.25%, due 3/15/19 | 240,000 | 231,600 | |||||||||
467,256 | |||||||||||
Food Products (0.1%) | |||||||||||
ESAL GmbH, 6.25%, due 2/5/23 | 250,000 | 248,750 | ñØ | ||||||||
Minerva Luxembourg SA, 7.75%, due 1/31/23 | 240,000 | 240,600 | ñØ | ||||||||
Premier Foods Finance PLC, 6.50%, due 3/15/21 | 400,000 | 579,179 | ñØ | ||||||||
1,068,529 | |||||||||||
Gas Utilities (0.1%) | |||||||||||
Niska Gas Storage Canada Finance Corp., 6.50%, due 4/1/19 | 1,148,000 | 886,830 |
Principal Amount | Value† | ||||||||||
Health Care Providers & Services (0.1%) | |||||||||||
Community Health Systems, Inc., 5.13%, due 8/15/18 | $ | 350,000 | $ | 363,125 | Ø | ||||||
Community Health Systems, Inc., 6.88%, due 2/1/22 | 500,000 | 530,625 | Ø | ||||||||
HCA, Inc., 5.00%, due 3/15/24 | 715,000 | 763,262 | Ø | ||||||||
Tenet Healthcare Corp., 8.13%, due 4/1/22 | 400,000 | 436,500 | Ø | ||||||||
2,093,512 | |||||||||||
Healthcare—Products (0.0%) | |||||||||||
Kinetic Concepts, Inc., 10.50%, due 11/1/18 | 100,000 | 107,625 | Ø | ||||||||
Hotels, Restaurants & Leisure (0.1%) | |||||||||||
Caesars Entertainment Resort Properties LLC, 8.00%, due 10/1/20 | 753,000 | 753,000 | |||||||||
Isle of Capri Casinos, Inc., 5.88%, due 3/15/21 | 15,000 | 15,488 | |||||||||
Isle of Capri Casinos, Inc., 5.88%, due 3/15/21 | 90,000 | 92,925 | ñ | ||||||||
MGM Resorts International, 6.00%, due 3/15/23 | 800,000 | 828,000 | |||||||||
Royal Caribbean Cruises Ltd., 7.25%, due 3/15/18 | 320,000 | 354,784 | Ø | ||||||||
2,044,197 | |||||||||||
Household Durables (0.1%) | |||||||||||
KB Home, 7.50%, due 9/15/22 | 350,000 | 365,750 | Ø |
See Notes to Schedule of Investments
26
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Principal Amount | Value† | ||||||||||
Lennar Corp., 6.95%, due 6/1/18 | $ | 575,000 | $ | 633,938 | Ø | ||||||
Standard Pacific Corp., 8.38%, due 5/15/18 | 460,000 | 528,425 | Ø | ||||||||
1,528,113 | |||||||||||
Household Products (0.1%) | |||||||||||
Reynolds Group Issuer, Inc., 7.13%, due 4/15/19 | 550,000 | 569,938 | |||||||||
Reynolds Group Issuer, Inc., 5.75%, due 10/15/20 | 525,000 | 548,625 | Ø | ||||||||
The Sun Products Corp., 7.75%, due 3/15/21 | 655,000 | 575,581 | ñØ | ||||||||
1,694,144 | |||||||||||
Independent Power & Renewable Electricity Producers (0.0%) | |||||||||||
Calpine Corp., 5.75%, due 1/15/25 | 325,000 | 326,641 | Ø | ||||||||
Insurance (0.5%) | |||||||||||
Ambac Assurance Corp., 5.10%, due 6/7/20 | 2,433,885 | 2,826,348 | ñØ | ||||||||
Liberty Mutual Group, Inc., 7.00%, due 3/15/37 | 550,000 | 567,188 | ñص | ||||||||
Syncora Holdings Ltd., Ser. A, 6.88%, due 9/30/17 | 665,000 | 295,925 | µ | ||||||||
TIG FINCO PLC, 8.50%, due 3/2/20 | 695,500 | 1,112,965 | ñµ | ||||||||
TIG FINCO PLC, 8.75%, due 4/2/20 | 2,050,477 | 3,147,482 | ñ | ||||||||
7,949,908 |
Principal Amount | Value† | ||||||||||
Machinery (0.1%) | |||||||||||
CNH Industrial Capital LLC, 3.63%, due 4/15/18 | $ | 725,000 | $ | 726,812 | Ø | ||||||
Navistar International Corp., 8.25%, due 11/1/21 | 275,000 | 271,906 | Ø | ||||||||
SPX Corp., 6.88%, due 9/1/17 | 490,000 | 533,488 | Ø | ||||||||
1,532,206 | |||||||||||
Marine (0.1%) | |||||||||||
Hapag- Lloyd AG, 9.75%, due 10/15/17 | 800,000 | 832,000 | ñØ | ||||||||
Stena AB, 7.00%, due 2/1/24 | 280,000 | 268,800 | ñØ | ||||||||
1,100,800 | |||||||||||
Media (0.2%) | |||||||||||
Cenveo Corp., 8.50%, due 9/15/22 | 1,320,000 | 1,105,500 | ñ | ||||||||
DISH DBS Corp., 5.88%, due 7/15/22 | 650,000 | 654,875 | Ø | ||||||||
DISH DBS Corp., 5.00%, due 3/15/23 | 639,000 | 610,245 | |||||||||
iHeart- Communications, Inc., 9.00%, due 3/1/21 | 360,000 | 345,150 | Ø | ||||||||
WideOpen West Finance LLC, 10.25%, due 7/15/19 | 800,000 | 859,160 | |||||||||
3,574,930 | |||||||||||
Metals & Mining (0.1%) | |||||||||||
AK Steel Corp., 8.75%, due 12/1/18 | 575,000 | 609,500 | Ø | ||||||||
ArcelorMittal, 7.00%, due 2/25/22 | 725,000 | 787,531 | Øa | ||||||||
Severstal OAO Via Steel Capital SA, 5.90%, due 10/17/22 | 250,000 | 234,725 | ñØ |
Principal Amount | Value† | ||||||||||
United States Steel Corp., 7.00%, due 2/1/18 | $ | 600,000 | $ | 637,500 | Ø | ||||||
2,269,256 | |||||||||||
Multiline Retail (0.0%) | |||||||||||
Family Tree Escrow LLC, 5.25%, due 3/1/20 | 110,000 | 115,225 | ñ | ||||||||
Oil, Gas & Consumable Fuels (0.3%) | |||||||||||
Alpha Natural Resources, Inc., 7.50%, due 8/1/20 | 196,000 | 71,540 | ñ | ||||||||
Arch Coal, Inc., 8.00%, due 1/15/19 | 645,000 | 267,675 | ñØ | ||||||||
Carrizo Oil & Gas, Inc., 6.25%, due 4/15/23 | 161,000 | 163,415 | |||||||||
Chesapeake Energy Corp., 7.25%, due 12/15/18 | 550,000 | 589,875 | Ø | ||||||||
CITGO Petroleum Corp., 6.25%, due 8/15/22 | 215,000 | 210,700 | ñØ | ||||||||
EP Energy LLC, 6.88%, due 5/1/19 | 600,000 | 618,246 | Ø | ||||||||
Kinder Morgan Finance Co. LLC, 6.00%, due 1/15/18 | 600,000 | 659,094 | ñØ | ||||||||
Linn Energy LLC, 6.25%, due 11/1/19 | 500,000 | 423,750 | Ø | ||||||||
Petrobras Global Finance BV, 6.25%, due 3/17/24 | 170,000 | 169,694 | |||||||||
Regency Energy Partners LP, 8.38%, due 6/1/19 | 495,000 | 517,275 | ñØ | ||||||||
Tesoro Corp., 5.38%, due 10/1/22 | 625,000 | 653,125 | Ø |
See Notes to Schedule of Investments
27
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Principal Amount | Value† | ||||||||||
Tesoro Logistics LP, 5.50%, due 10/15/19 | $ | 275,000 | $ | 290,813 | ñØ | ||||||
The Williams Cos., Inc., 4.55%, due 6/24/24 | 470,000 | 462,200 | Ø | ||||||||
5,097,402 | |||||||||||
Pharmaceuticals (0.1%) | |||||||||||
Valeant Pharmaceuticals International, Inc., 5.63%, due 12/1/21 | 725,000 | 742,219 | ñØ | ||||||||
Real Estate Management & Development (0.0%) | |||||||||||
TRI Pointe Holdings, Inc., 4.38%, due 6/15/19 | 280,000 | 275,800 | ñØ | ||||||||
Road & Rail (0.1%) | |||||||||||
Avis Budget Car Rental LLC, 4.88%, due 11/15/17 | 345,000 | 352,762 | Ø | ||||||||
The Hertz Corp., 6.75%, due 4/15/19 | 650,000 | 672,614 | Ø | ||||||||
1,025,376 | |||||||||||
Specialty Retail (0.1%) | |||||||||||
Petco Holdings, Inc., 8.50% Cash/9.25% PIK, due 10/15/17 | 944,000 | 972,320 | cñØ | ||||||||
Wireless Telecommunication Services (0.3%) | |||||||||||
Eileme 2 AB, 11.75%, due 1/31/20 | 400,000 | 505,826 | Ø | ||||||||
Hughes Satellite Systems Corp., 7.63%, due 6/15/21 | 450,000 | 501,750 | Ø | ||||||||
NII International Telecom SCA, 7.88%, due 8/15/19 | 2,778,000 | 2,569,650 | ≠ñØ |
Principal Amount | Value† | ||||||||||
NII International Telecom SCA, 11.38%, due 8/15/19 | $ | 909,000 | $ | 854,460 | ≠ñ | ||||||
T-Mobile USA, Inc., 5.25%, due 9/1/18 | 650,000 | 672,750 | Ø | ||||||||
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC, 7.75%, due 2/2/21 | 250,000 | 251,620 | ñØ | ||||||||
5,356,056 | |||||||||||
Total Corporate Debt Securities (Cost $61,734,115) | 61,046,274 | ||||||||||
Municipal Notes (0.8%) | |||||||||||
Puerto Rico (0.8%) | |||||||||||
Puerto Rico Commonwealth Development Bank Senior Notes, Ser. B-1A, 7.75%, due 6/30/15 | 2,013,351 | 2,010,231 | N | ||||||||
Puerto Rico Commonwealth GO Bonds, Ser. A, 8.00%, due 7/1/35 | 12,361,000 | 9,610,678 | Ø | ||||||||
Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement, Ser. B, 6.00%, due 7/1/39 | 315,000 | 215,784 | Ø | ||||||||
Total Municipal Notes (Cost $13,518,652) | 11,836,693 | ||||||||||
Number of Contracts | |||||||||||
Purchased Options (0.3%) | |||||||||||
Call Options (0.1%) | |||||||||||
Alcatel- Lucent, Call, Jun 2015 @ 3.5 | 10 | 150 |
Number of Contracts | Value† | ||||||||||
Allscripts Healthcare Solutions, Inc., Call, May 2015 @ 14 | 135 | $ | 5,940 | ||||||||
Applied Materials, Inc., Call, Jul 2015 @ 25 | 230 | 1,840 | |||||||||
AT&T, Inc., Call, Jun 2015 @ 46 | 1,342 | 1,342 | f | ||||||||
AT&T, Inc., Call, Jun 2015 @ 47 | 4,610 | 9,220 | f | ||||||||
Dresser-Rand Group, Inc., Call, Jun 2015 @ 75 | 343 | 281,260 | |||||||||
General Electric Co., Call, Jan 2016 @ 27 | 2,543 | 350,934 | |||||||||
MGM Resorts International, Call, Sep 2015 @ 23 | 318 | 34,980 | |||||||||
Molson Coors Brewing Co., Call, Jan 2016 @ 82.5 | 879 | 307,650 | |||||||||
Starwood Hotels & Resorts Worldwide, Inc., Call, Nov 2015 @ 87.5 | 635 | 384,175 | |||||||||
Talisman Energy, Inc., Call, Jul 2015 @ 6 | 138 | 27,600 | f | ||||||||
1,405,091 | |||||||||||
Put Options (0.2%) | |||||||||||
Altera Corp., Put, May 2015 @ 40 | 133 | 31,920 | |||||||||
AT&T, Inc., Put, Jun 2015 @ 33 | 697 | 32,062 | |||||||||
Cumulus Media, Inc., Put, Sep 2015 @ 2.5 | 926 | 46,300 | |||||||||
Cumulus Media, Inc., Put, Sep 2015 @ 5 | 232 | 62,640 | |||||||||
Delta Air Lines, Inc., Put, Sep 2015 @ 44 | 78 | 24,570 |
See Notes to Schedule of Investments
28
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Number of Contracts | Value† | ||||||||||
DIRECTV, Put, Jun 2015 @ 85 | 223 | $ | 20,516 | ||||||||
Dresser- Rand Group, Inc., Put, Sep 2015 @ 70 | 93 | 13,020 | |||||||||
EuroTrust A/S, Put, May 2015 @ 3700 | 237 | 351,805 | |||||||||
Halliburton Co., Put, Jul 2015 @ 40 | 108 | 3,672 | |||||||||
Hudson City Bancorp, Inc., Put, May 2015 @ 10 | 635 | 47,625 | |||||||||
iShares Russell 2000 ETF, Put, Sep 2015 @ 111 | 1,426 | 456,320 | |||||||||
Lorillard, Inc., Put, Jun 2015 @ 67.5 | 71 | 3,195 | |||||||||
NCR Corp., Put, May 2015 @ 27 | 395 | 23,700 | |||||||||
Pharmacyclics, Inc., Put, Aug 2015 @ 220 | 46 | 5,520 | |||||||||
SPDR S&P 500 ETF Trust, Put, May 2015 @ 200 | 1,519 | 63,798 | |||||||||
SPDR S&P 500 ETF Trust, Put, Jun 2015 @ 206 | 512 | 179,200 | |||||||||
SPDR S&P 500 ETF Trust, Put, Jun 2015 @ 205 | 5,000 | 1,880,000 | |||||||||
SPDR S&P 500 ETF Trust, Put, Jul 2015 @ 205 | 919 | 418,145 | |||||||||
Talisman Energy, Inc., Put, Jan 2016 @ 3 | 1,075 | 5,375 | f | ||||||||
Time Warner Cable, Inc., Put, Jul 2015 @ 150 | 75 | 33,750 | |||||||||
United Continental Holdings, Inc., Put, Sep 2015 @ 60 | 467 | 272,728 | |||||||||
3,975,861 | |||||||||||
Total Purchased Options (Cost $6,927,676) | 5,380,952 |
Number of Shares | Value† | ||||||||||
Short-Term Investments (15.0%) | |||||||||||
Mutual Funds (0.2%) | |||||||||||
AP Alternative Assets LP | 74,936 | $ | 2,735,164 | *Ø | |||||||
Money Market Funds (14.8%) | |||||||||||
Morgan Stanley Institutional Liquidity Fund | 227,387,271 | 227,387,271 | Ø | ||||||||
Total Short-Term Investments (Cost $229,605,533) | 230,122,435 | ||||||||||
Total Long Positions (101.9%) (Cost $1,540,833,470) | 1,571,279,870 | ## | |||||||||
Cash, receivables and other assets, less liabilities (25.8%) | 398,218,194 | ±Ø††† | |||||||||
Short Positions (see summary below) ((27.7)%) | (427,944,921 | ) | |||||||||
Total Net Assets (100.0%) | $ | 1,541,553,143 | |||||||||
Short Positions ((27.7)%) | |||||||||||
Common Stocks Sold Short (17.1%)£ØØ | |||||||||||
Aerospace & Defense (0.2%) | |||||||||||
The Boeing Co. | (10,250 | ) | (1,469,235 | ) | |||||||
Triumph Group, Inc. | (25,500 | ) | (1,510,620 | ) | |||||||
(2,979,855 | ) | ||||||||||
Airlines (0.0%) | |||||||||||
American Airlines Group, Inc. | (624 | ) | (30,130 | ) | |||||||
Auto Components (0.1%) | |||||||||||
Gentherm, Inc. | (30,805 | ) | (1,624,348 | )* | |||||||
Banks (0.3%) | |||||||||||
BB&T Corp. | (6,805 | ) | (260,563 | ) | |||||||
Canadian Western Bank | (31,400 | ) | (816,426 | ) | |||||||
First Midwest Bancorp, Inc. | (25,990 | ) | (444,429 | ) | |||||||
FirstMerit Corp. | (25,804 | ) | (499,823 | ) | |||||||
M&T Bank Corp. | (377 | ) | (45,116 | ) |
Number of Shares | Value† | ||||||||||
Royal Bank of Canada | (14,441 | ) | $ | (960,038 | ) | ||||||
UMB Financial Corp. | (28,800 | ) | (1,433,952 | ) | |||||||
Wintrust Financial Corp. | (11,038 | ) | (537,992 | ) | |||||||
(4,998,339 | ) | ||||||||||
Beverages (0.0%) | |||||||||||
The Boston Beer Co., Inc. Class A | (450 | ) | (111,510 | )* | |||||||
Biotechnology (0.3%) | |||||||||||
Amgen, Inc. | (12,844 | ) | (2,028,196 | ) | |||||||
Celgene Corp. | (14,866 | ) | (1,606,420 | )* | |||||||
Exact Sciences Corp. | (20,600 | ) | (430,540 | )* | |||||||
Keryx Biopharmaceuticals, Inc. | (45,801 | ) | (488,239 | )* | |||||||
(4,553,395 | ) | ||||||||||
Building Products (0.1%) | |||||||||||
LIXIL Group Corp. | (52,800 | ) | (1,100,539 | ) | |||||||
Capital Markets (0.1%) | |||||||||||
Deutsche Bank AG | (31,084 | ) | (994,124 | ) | |||||||
Julius Baer Group Ltd. | (23,868 | ) | (1,249,269 | )* | |||||||
(2,243,393 | ) | ||||||||||
Chemicals (0.6%) | |||||||||||
Cabot Corp. | (22,200 | ) | (948,828 | ) | |||||||
Calgon Carbon Corp. | (22,837 | ) | (506,753 | ) | |||||||
CF Industries Holdings, Inc. | (4,000 | ) | (1,149,880 | ) | |||||||
International Flavors & Fragrances, Inc. | (11,319 | ) | (1,298,855 | ) | |||||||
Kaneka Corp. | (125,000 | ) | (871,487 | ) | |||||||
Kuraray Co. Ltd. | (13,800 | ) | (186,614 | ) | |||||||
Potash Corp. of Saskatchewan, Inc. | (35,100 | ) | (1,145,664 | ) | |||||||
Praxair, Inc. | (25,000 | ) | (3,048,250 | ) |
See Notes to Schedule of Investments
29
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Rayonier Advanced Materials, Inc. | (50,300 | ) | $ | (840,513 | ) | ||||||
(9,996,844 | ) | ||||||||||
Commercial Services & Supplies (0.4%) | |||||||||||
HNI Corp. | (24,648 | ) | (1,149,583 | ) | |||||||
Rollins, Inc. | (26,400 | ) | (654,720 | ) | |||||||
RR Donnelley & Sons Co. | (107,800 | ) | (2,007,236 | ) | |||||||
Stericycle, Inc. | (15,936 | ) | (2,126,340 | )* | |||||||
(5,937,879 | ) | ||||||||||
Communications Equipment (0.2%) | |||||||||||
Arista Networks, Inc. | (11,400 | ) | (729,714 | )* | |||||||
Harris Corp. | (27,100 | ) | (2,174,504 | ) | |||||||
Mitel Networks Corp. | (8,804 | ) | (81,789 | )* | |||||||
(2,986,007 | ) | ||||||||||
Diversified Telecommunication Services (0.8%) | |||||||||||
AT&T, Inc. | (287,263 | ) | (9,950,790 | ) | |||||||
Telecom Italia SpA | (2,244,062 | ) | (2,648,595 | )* | |||||||
(12,599,385 | ) | ||||||||||
Electric Utilities (0.1%) | |||||||||||
CEZ AS | (46,443 | ) | (1,206,598 | ) | |||||||
NextEra Energy, Inc. | (7,239 | ) | (730,632 | ) | |||||||
(1,937,230 | ) | ||||||||||
Electronic Equipment, Instruments & Components (0.3%) | |||||||||||
Anixter International, Inc. | (28,882 | ) | (2,039,069 | )* | |||||||
Hirose Electric Co. Ltd. | (2,200 | ) | (309,768 | ) | |||||||
Ibiden Co. Ltd. | (25,400 | ) | (444,236 | ) | |||||||
Japan Display, Inc. | (211,000 | ) | (866,777 | ) | |||||||
Kyocera Corp. | (3,300 | ) | (172,265 | ) | |||||||
Ryosan Co. Ltd. | (6,500 | ) | (154,797 | ) | |||||||
Taiyo Yuden Co. Ltd. | (37,000 | ) | (547,019 | ) |
Number of Shares | Value† | ||||||||||
Yaskawa Electric Corp. | (25,900 | ) | $ | (355,853 | ) | ||||||
(4,889,784 | ) | ||||||||||
Energy Equipment & Services (0.2%) | |||||||||||
Halliburton Co. | (27,825 | ) | (1,362,034 | ) | |||||||
National Oilwell Varco, Inc. | (21,172 | ) | (1,151,968 | ) | |||||||
(2,514,002 | ) | ||||||||||
Food & Staples Retailing (0.7%) | |||||||||||
CVS Health Corp. | (18,700 | ) | (1,856,723 | ) | |||||||
Sysco Corp. | (45,810 | ) | (1,696,344 | ) | |||||||
Walgreens Boots Alliance, Inc. | (26,095 | ) | (2,164,059 | ) | |||||||
Wal-Mart Stores, Inc. | (22,205 | ) | (1,733,100 | ) | |||||||
Woolworths Ltd. | (110,326 | ) | (2,561,509 | ) | |||||||
(10,011,735 | ) | ||||||||||
Food Products (0.8%) | |||||||||||
Campbell Soup Co. | (53,065 | ) | (2,372,536 | ) | |||||||
Ezaki Glico Co. Ltd. | (13,800 | ) | (574,713 | ) | |||||||
Flowers Foods, Inc. | (57,000 | ) | (1,273,380 | ) | |||||||
General Mills, Inc. | (30,906 | ) | (1,710,338 | ) | |||||||
House Foods Group, Inc. | (29,600 | ) | (604,467 | ) | |||||||
Ingredion, Inc. | (13,400 | ) | (1,063,960 | ) | |||||||
Kewpie Corp. | (35,300 | ) | (861,269 | ) | |||||||
Kikkoman Corp. | (20,000 | ) | (570,377 | ) | |||||||
McCormick & Co., Inc. | (20,200 | ) | (1,521,060 | ) | |||||||
MEIJI Holdings Co. Ltd. | (5,300 | ) | (608,867 | ) | |||||||
The Hain Celestial Group, Inc. | (24,280 | ) | (1,462,627 | )* | |||||||
(12,623,594 | ) | ||||||||||
Health Care Equipment & Supplies (1.1%) | |||||||||||
Abbott Laboratories | (45,489 | ) | (2,111,599 | ) | |||||||
Becton Dickinson and Co. | (13,185 | ) | (1,857,371 | ) |
Number of Shares | Value† | ||||||||||
Boston Scientific Corp. | (93,912 | ) | $ | (1,673,512 | )* | ||||||
Getinge AB Class B | (54,858 | ) | (1,333,318 | ) | |||||||
Medtronic PLC | (24,737 | ) | (1,841,670 | ) | |||||||
St. Jude Medical, Inc. | (27,571 | ) | (1,931,348 | ) | |||||||
Stryker Corp. | (20,459 | ) | (1,887,138 | ) | |||||||
Sysmex Corp. | (17,900 | ) | (990,439 | ) | |||||||
Tornier NV | (11,996 | ) | (310,336 | )* | |||||||
Varian Medical Systems, Inc. | (19,427 | ) | (1,726,089 | )* | |||||||
Zimmer Holdings, Inc. | (15,721 | ) | (1,726,795 | ) | |||||||
(17,389,615 | ) | ||||||||||
Health Care Providers & Services (0.6%) | |||||||||||
Amerisource- Bergen Corp. | (16,306 | ) | (1,863,776 | ) | |||||||
Cardinal Health, Inc. | (21,199 | ) | (1,787,924 | ) | |||||||
Henry Schein, Inc. | (15,056 | ) | (2,064,178 | )* | |||||||
Laboratory Corp. of America Holdings | (15,945 | ) | (1,906,384 | )* | |||||||
McKesson Corp. | (7,819 | ) | (1,746,764 | ) | |||||||
(9,369,026 | ) | ||||||||||
Hotels, Restaurants & Leisure (0.1%) | |||||||||||
Texas Roadhouse, Inc. | (42,500 | ) | (1,428,000 | ) | |||||||
Household Durables (0.1%) | |||||||||||
Lennar Corp. Class A | (37,141 | ) | (1,701,058 | ) | |||||||
Nikon Corp. | (31,300 | ) | (445,038 | ) | |||||||
(2,146,096 | ) | ||||||||||
Household Products (0.1%) | |||||||||||
The Clorox Co. | (12,900 | ) | (1,368,690 | ) | |||||||
Industrial Conglomerates (0.4%) | |||||||||||
3M Co. | (9,500 | ) | (1,485,705 | ) | |||||||
Danaher Corp. | (22,077 | ) | (1,807,665 | ) | |||||||
Siemens AG ADR | (20,150 | ) | (2,192,118 | ) | |||||||
(5,485,488 | ) |
See Notes to Schedule of Investments
30
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Insurance (0.5%) | |||||||||||
Primerica, Inc. | (47,933 | ) | $ | (2,215,463 | ) | ||||||
Reinsurance Group of America, Inc. | (16,300 | ) | (1,493,406 | ) | |||||||
The Allstate Corp. | (19,900 | ) | (1,386,234 | ) | |||||||
The Travelers Cos., Inc. | (20,550 | ) | (2,077,811 | ) | |||||||
(7,172,914 | ) | ||||||||||
Internet & Catalog Retail (0.1%) | |||||||||||
Expedia, Inc. | (19,704 | ) | (1,856,708 | ) | |||||||
Travelport Worldwide Ltd. | (16,196 | ) | (256,383 | ) | |||||||
(2,113,091 | ) | ||||||||||
Internet Software & Services (0.2%) | |||||||||||
Alibaba Group Holding Ltd. ADR | (47,139 | ) | (3,831,929 | )* | |||||||
IT Services (0.2%) | |||||||||||
International Business Machines Corp. | (9,100 | ) | (1,558,739 | ) | |||||||
iPayment Holdings, Inc. | (27,027 | ) | (97,297 | )*N | |||||||
The Western Union Co. | (32,100 | ) | (650,988 | ) | |||||||
(2,307,024 | ) | ||||||||||
Leisure Products (0.1%) | |||||||||||
Mattel, Inc. | (36,993 | ) | (1,041,723 | ) | |||||||
Life Sciences Tools & Services (0.2%) | |||||||||||
Quintiles Transnational Holdings, Inc. | (28,278 | ) | (1,862,955 | )* | |||||||
Thermo Fisher Scientific, Inc. | (15,050 | ) | (1,891,484 | ) | |||||||
(3,754,439 | ) | ||||||||||
Machinery (1.1%) | |||||||||||
Caterpillar, Inc. | (12,816 | ) | (1,113,454 | ) | |||||||
Cummins, Inc. | (10,050 | ) | (1,389,513 | ) | |||||||
Deere & Co. | (34,312 | ) | (3,105,922 | ) | |||||||
Dover Corp. | (26,361 | ) | (1,996,055 | ) |
Number of Shares | Value† | ||||||||||
Hitachi Construction Machinery Co. Ltd. | (51,900 | ) | $ | (921,414 | ) | ||||||
Kennametal, Inc. | (56,950 | ) | (2,016,599 | ) | |||||||
Kone OYJ Class B | (51,305 | ) | (2,207,225 | ) | |||||||
Parker- Hannifin Corp. | (9,100 | ) | (1,086,176 | ) | |||||||
Tennant Co. | (34,871 | ) | (2,241,857 | ) | |||||||
The Manitowoc Co., Inc. | (57,496 | ) | (1,134,396 | ) | |||||||
(17,212,611 | ) | ||||||||||
Media (0.5%) | |||||||||||
Comcast Corp. Class A | (5,422 | ) | (313,175 | ) | |||||||
Dex Media, Inc. | (173,688 | ) | (456,799 | )* | |||||||
Discovery Communications, Inc. Class A | (70,875 | ) | (2,293,515 | )* | |||||||
Gannett Co., Inc. | (56,100 | ) | (1,925,352 | ) | |||||||
Omnicom Group, Inc. | (33,800 | ) | (2,560,688 | ) | |||||||
(7,549,529 | ) | ||||||||||
Metals & Mining (0.0%) | |||||||||||
Alcoa, Inc. | (30,000 | ) | (402,600 | ) | |||||||
Multiline Retail (0.4%) | |||||||||||
Dollar Tree, Inc. | (54,480 | ) | (4,162,817 | )* | |||||||
JC Penney Co., Inc. | (260,344 | ) | (2,160,855 | )* | |||||||
(6,323,672 | ) | ||||||||||
Multi-Utilities (0.2%) | |||||||||||
Wisconsin Energy Corp. | (57,002 | ) | (2,799,938 | ) | |||||||
Oil, Gas & Consumable Fuels (0.3%) | |||||||||||
Boardwalk Pipeline Partners LP | (57,679 | ) | (1,009,959 | ) | |||||||
Exxon Mobil Corp. | (34,300 | ) | (2,996,791 | ) | |||||||
(4,006,750 | ) | ||||||||||
Paper & Forest Products (0.1%) | |||||||||||
Domtar Corp. | (52,700 | ) | (2,277,694 | ) | |||||||
Pharmaceuticals (1.3%) | |||||||||||
AbbVie, Inc. | (4,888 | ) | (316,058 | ) |
Number of Shares | Value† | ||||||||||
Eisai Co. Ltd. | (13,700 | ) | $ | (913,206 | ) | ||||||
Endo International PLC | (13,850 | ) | (1,164,300 | )* | |||||||
Johnson & Johnson | (24,308 | ) | (2,411,354 | ) | |||||||
Merck & Co., Inc. | (37,046 | ) | (2,206,460 | ) | |||||||
Novartis AG ADR | (21,195 | ) | (2,157,651 | ) | |||||||
Novo Nordisk A/S ADR | (29,184 | ) | (1,642,184 | ) | |||||||
Ono Pharmaceutical Co. Ltd. | (8,900 | ) | (964,575 | ) | |||||||
Pacira Pharmaceuticals, Inc. | (5,513 | ) | (377,530 | )* | |||||||
Pfizer, Inc. | (61,984 | ) | (2,103,117 | ) | |||||||
Sagent Pharmaceuticals, Inc. | (30,800 | ) | (717,948 | )* | |||||||
Sanofi ADR | (42,405 | ) | (2,143,573 | ) | |||||||
Shionogi & Co. Ltd. | (28,500 | ) | (939,493 | ) | |||||||
Valeant Pharmaceuticals International, Inc. | (6,900 | ) | (1,496,817 | )* | |||||||
(19,554,266 | ) | ||||||||||
Professional Services (0.1%) | |||||||||||
Nielsen NV | (26,000 | ) | (1,168,440 | ) | |||||||
Real Estate Investment Trusts (1.6%) | |||||||||||
CBL & Associates Properties, Inc. | (79,500 | ) | (1,431,795 | ) | |||||||
Digital Realty Trust, Inc. | (14,487 | ) | (918,621 | ) | |||||||
Gaming and Leisure Properties, Inc. | (40,405 | ) | (1,442,458 | ) | |||||||
Inland Real Estate Corp. | (173,679 | ) | (1,787,157 | ) | |||||||
National Retail Properties, Inc. | (28,787 | ) | (1,105,421 | ) | |||||||
Pebblebrook Hotel Trust | (22,265 | ) | (956,059 | ) | |||||||
Post Properties, Inc. | (8,364 | ) | (478,170 | ) |
See Notes to Schedule of Investments
31
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
PS Business Parks, Inc. | (29,465 | ) | $ | (2,249,653 | ) | ||||||
Realty Income Corp. | (26,433 | ) | (1,241,558 | ) | |||||||
Regency Centers Corp. | (24,087 | ) | (1,512,182 | ) | |||||||
Retail Opportunity Investments Corp. | (29,310 | ) | (491,822 | ) | |||||||
Retail Properties of America, Inc. Class A | (87,854 | ) | (1,327,474 | ) | |||||||
Simon Property Group, Inc. | (41,818 | ) | (7,589,549 | ) | |||||||
Taubman Centers, Inc. | (27,642 | ) | (1,990,500 | ) | |||||||
(24,522,419 | ) | ||||||||||
Real Estate Management & Development (0.0%) | |||||||||||
Altisource Portfolio Solutions SA | (16,872 | ) | (409,146 | )* | |||||||
Road & Rail (0.3%) | |||||||||||
Knight Transportation, Inc. | (41,988 | ) | (1,213,453 | ) | |||||||
Old Dominion Freight Line, Inc. | (18,872 | ) | (1,342,365 | )* | |||||||
Werner Enterprises, Inc. | (55,719 | ) | (1,497,170 | ) | |||||||
(4,052,988 | ) | ||||||||||
Semiconductors & Semiconductor Equipment (0.2%) | |||||||||||
KLA-Tencor Corp. | (38,550 | ) | (2,266,740 | ) | |||||||
Maxim Integrated Products, Inc. | (45,500 | ) | (1,493,765 | ) | |||||||
(3,760,505 | ) | ||||||||||
Software (0.4%) | |||||||||||
NetScout Systems, Inc. | (30,478 | ) | (1,252,646 | )* | |||||||
VMware, Inc. Class A | (27,214 | ) | (2,397,553 | )* |
Number of Shares | Value† | ||||||||||
Workday, Inc. Class A | (23,200 | ) | $ | (2,116,072 | )* | ||||||
(5,766,271 | ) | ||||||||||
Specialty Retail (0.9%) | |||||||||||
Barnes & Noble, Inc. | (105,212 | ) | (2,304,143 | )* | |||||||
Bed Bath & Beyond, Inc. | (30,329 | ) | (2,136,981 | )* | |||||||
Five Below, Inc. | (65,100 | ) | (2,195,172 | )* | |||||||
Guess?, Inc. | (170,400 | ) | (3,120,024 | ) | |||||||
Outerwall, Inc. | (36,586 | ) | (2,430,408 | ) | |||||||
Staples, Inc. | (2,188 | ) | (35,708 | ) | |||||||
Tiffany & Co. | (17,500 | ) | (1,530,900 | ) | |||||||
(13,753,336 | ) | ||||||||||
Technology Hardware, Storage & Peripherals (0.2%) | |||||||||||
Diebold, Inc. | (45,115 | ) | (1,568,648 | ) | |||||||
Seagate Technology PLC | (33,362 | ) | (1,959,017 | ) | |||||||
(3,527,665 | ) | ||||||||||
Textiles, Apparel & Luxury Goods (0.1%) | |||||||||||
Coach, Inc. | (11,584 | ) | (442,625 | ) | |||||||
Michael Kors Holdings Ltd. | (23,000 | ) | (1,422,780 | )* | |||||||
(1,865,405 | ) | ||||||||||
Thrifts & Mortgage Finance (0.1%) | |||||||||||
Home Capital Group, Inc. | (20,800 | ) | (820,967 | ) | |||||||
Tobacco (0.0%) | |||||||||||
Reynolds American, Inc. | (2,078 | ) | (152,317 | ) | |||||||
Trading Companies & Distributors (0.4%) | |||||||||||
Fastenal Co. | (76,667 | ) | (3,267,547 | ) | |||||||
WW Grainger, Inc. | (9,785 | ) | (2,430,888 | ) | |||||||
(5,698,435 | ) | ||||||||||
Total Common Stocks Sold Short (Proceeds $(267,279,181)) | (264,170,958 | ) | |||||||||
Exchange Traded Funds Sold Short (9.9%)£ØØ | |||||||||||
Energy Select Sector SPDR Fund | (115,880 | ) | (9,580,958 | ) |
Number of Shares | Value† | ||||||||||
Health Care Select Sector SPDR Fund | (89,375 | ) | $ | (6,406,400 | ) | ||||||
Industrial Select Sector SPDR Fund | (72,605 | ) | (4,039,016 | ) | |||||||
iShares MSCI Emerging Markets ETF | (122,824 | ) | (5,266,693 | ) | |||||||
iShares Nasdaq Biotechnology ETF | (15,605 | ) | (5,206,764 | ) | |||||||
iShares Russell 2000 ETF | (177,219 | ) | (21,471,854 | ) | |||||||
iShares U.S. Real Estate ETF | (229,303 | ) | (17,312,377 | ) | |||||||
Materials Select Sector SPDR Fund | (82,637 | ) | (4,166,558 | ) | |||||||
Powershares QQQ Trust Series 1 | (47,240 | ) | (5,084,441 | ) | |||||||
SPDR S&P 500 ETF Trust | (208,043 | ) | (43,381,126 | ) | |||||||
SPDR S&P MidCap 400 ETF Trust | (91,721 | ) | (25,053,591 | ) | |||||||
Vanguard REIT ETF | (14,125 | ) | (1,121,243 | ) | |||||||
WisdomTree Japan Hedged Equity Fund | (91,700 | ) | (5,173,714 | ) | |||||||
Total Exchange Traded Funds Sold Short (Proceeds $(147,180,849)) | (153,264,735 | ) | |||||||||
Principal Amount | |||||||||||
Corporate Debt Securities Sold Short (0.7%)£ØØ | |||||||||||
Commercial Services & Supplies (0.0%) | |||||||||||
ACCO Brands Corp., 6.75%, due 4/30/20 | $ | (275,000 | ) | (292,187 | ) |
See Notes to Schedule of Investments
32
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (Unaudited) (cont'd)
Principal Amount | Value† | ||||||||||
Diversified Financial Services (0.1%) | |||||||||||
Alphabet Holding Co., Inc., 7.75% Cash/8.50% PIK, due 11/1/17 | $ | (1,773,200 | ) | $ | (1,773,200 | )c | |||||
Health Care Providers & Services (0.1%) | |||||||||||
HCA, Inc., 5.88%, due 5/1/23 | (650,000 | ) | (706,063 | ) | |||||||
IT Services (0.2%) | |||||||||||
iPayment, Inc., 9.50%, due 12/15/19 | (431,775 | ) | (412,345 | )ñ | |||||||
Sungard Availability Services Capital, Inc., 8.75%, due 4/1/22 | (3,036,000 | ) | (2,170,740 | )ñ | |||||||
(2,583,085 | ) | ||||||||||
Metals & Mining (0.0%) | |||||||||||
Cliffs Natural Resources, Inc., 7.75%, due 3/31/20 | (230,000 | ) | (167,900 | )ñ | |||||||
Cliffs Natural Resources, Inc., 7.75%, due 3/31/20 | (5,000 | ) | (3,650 | ) | |||||||
Cliffs Natural Resources, Inc., 6.25%, due 10/1/40 | (133,000 | ) | (65,170 | ) | |||||||
(236,720 | ) | ||||||||||
Oil, Gas & Consumable Fuels (0.1%) | |||||||||||
Rice Energy, Inc., 6.25%, due 5/1/22 | (365,000 | ) | (370,475 | ) | |||||||
SESI LLC, 7.13%, due 12/15/21 | (1,028,000 | ) | (1,079,400 | ) | |||||||
Williams Partners LP, 4.88%, due 5/15/23 | (450,000 | ) | (457,670 | ) | |||||||
(1,907,545 | ) |
Principal Amount | Value† | ||||||||||
Specialty Retail (0.2%) | |||||||||||
Staples, Inc., 4.38%, due 1/12/23 | $ | (3,000,000 | ) | $ | (3,010,428 | ) | |||||
Total Corporate Debt Securities Sold Short (Proceeds $(10,143,554)) | (10,509,228 | ) | |||||||||
Total Short Positions (Proceeds $(424,603,585)) | (427,944,921 | ) |
See Notes to Schedule of Investments
33
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (Unaudited) 4/30/15
TOP TEN EQUITY HOLDINGS LONG POSITIONS (as a % of Net Assets)
Country | Industry | ||||||||||||||||||
1 | CBRE Group, Inc. | United States | Real Estate Management & Development | 1.5 | % | ||||||||||||||
2 | Verint Systems, Inc. | United States | Software | 1.3 | % | ||||||||||||||
3 | Covanta Holding Corp. | United States | Commercial Services & Supplies | 1.1 | % | ||||||||||||||
4 | PPL Corp. | United States | Electric Utilities | 1.1 | % | ||||||||||||||
5 | Apollo Global Management LLC | United States | Capital Markets | 1.1 | % | ||||||||||||||
6 | Cheniere Energy Partners LP Holdings LLC | United States | Oil, Gas & Consumable Fuels | 1.0 | % | ||||||||||||||
7 | The Williams Cos., Inc. | United States | Oil, Gas & Consumable Fuels | 0.9 | % | ||||||||||||||
8 | CVS Health Corp. | United States | Food & Staples Retailing | 0.9 | % | ||||||||||||||
9 | Cheniere Energy Partners LP | United States | Oil, Gas & Consumable Fuels | 0.9 | % | ||||||||||||||
10 | Roadrunner Transportation Systems, Inc. | United States | Road & Rail | 0.9 | % |
TOP TEN EQUITY HOLDINGS SHORT POSITIONS (as a % of Net Assets)
Country | Industry | ||||||||||||||||||
1 | Fastenal Co. | United States | Trading Companies & Distributors | (0.6 | )% | ||||||||||||||
2 | Wisconsin Energy Corp. | United States | Multi-Utilities | (0.6 | )% | ||||||||||||||
3 | WW Grainger, Inc. | United States | Trading Companies & Distributors | (0.5 | )% | ||||||||||||||
4 | PS Business Parks, Inc. | United States | Real Estate Investment Trusts | (0.5 | )% | ||||||||||||||
5 | Tennant Co. | United States | Machinery | (0.5 | )% | ||||||||||||||
6 | Anixter International, Inc. | United States | Electronic Equipment, Instruments & Components | (0.5 | )% | ||||||||||||||
7 | Dover Corp. | United States | Machinery | (0.4 | )% | ||||||||||||||
8 | Taubman Centers, Inc. | United States | Real Estate Investment Trusts | (0.4 | )% | ||||||||||||||
9 | Guess?, Inc. | United States | Specialty Retail | (0.4 | )% | ||||||||||||||
10 | Praxair, Inc. | United States | Chemicals | (0.4 | )% |
Number of Shares | Value† | ||||||||||
Long Positions (99.8%) | |||||||||||
Common Stocks (75.2%) | |||||||||||
Aerospace & Defense (1.8%) | |||||||||||
Honeywell International, Inc. | 2,050 | $ | 206,886 | Ø | |||||||
KLX, Inc. | 3,350 | 140,399 | *Ø | ||||||||
MacDonald Dettwiler & Associates Ltd. | 448 | 35,565 | Ø | ||||||||
United Technologies Corp. | 1,900 | 216,125 | Ø | ||||||||
598,975 | |||||||||||
Airlines (0.7%) | |||||||||||
Delta Air Lines, Inc. | 600 | 26,784 | |||||||||
United Continental Holdings, Inc. | 3,553 | 212,256 | *Ø | ||||||||
239,040 | |||||||||||
Auto Components (1.9%) | |||||||||||
American Axle & Manufacturing Holdings, Inc. | 6,909 | 172,241 | *Ø |
Number of Shares | Value† | ||||||||||
Delphi Automotive PLC | 2,976 | $ | 247,008 | Ø | |||||||
Lear Corp. | 657 | 72,947 | Ø | ||||||||
Visteon Corp. | 1,450 | 147,030 | *Ø | ||||||||
639,226 | |||||||||||
Banks (3.0%) | |||||||||||
Chongqing Rural Commercial Bank Co. Ltd. Class H | 61,000 | 54,413 | Ø | ||||||||
Citizens Financial Group, Inc. | 5,650 | 147,183 | Ø | ||||||||
ING Groep NV CVA | 3,468 | 53,205 | *Ø | ||||||||
Israel Discount Bank Ltd. Class A | 21,451 | 37,683 | *Ø | ||||||||
Kasikornbank PCL | 3,700 | 23,490 | Ø | ||||||||
Mitsubishi UFJ Financial Group, Inc. | 19,400 | 137,824 | Ø | ||||||||
Mizuho Financial Group, Inc. | 91,600 | 174,615 | Ø |
Number of Shares | Value† | ||||||||||
Sumitomo Mitsui Financial Group, Inc. | 4,300 | $ | 187,758 | Ø | |||||||
Sumitomo Mitsui Trust Holdings, Inc. | 31,000 | 136,460 | Ø | ||||||||
Turkiye Garanti Bankasi AS | 16,595 | 52,801 | Ø | ||||||||
1,005,432 | |||||||||||
Beverages (0.9%) | |||||||||||
Ambev SA ADR | 1,300 | 8,229 | |||||||||
Ambev SA | 1,378 | 8,662 | |||||||||
Davide Campari- Milano SpA | 7,218 | 55,823 | Ø | ||||||||
PepsiCo, Inc. | 1,543 | 146,770 | Ø | ||||||||
The Coca-Cola Co. | 2,351 | 95,357 | Ø | ||||||||
314,841 | |||||||||||
Biotechnology (3.1%) | |||||||||||
Actelion Ltd. | 397 | 52,238 | *Ø | ||||||||
Alexion Pharmaceuticals, Inc. | 702 | 118,799 | * | ||||||||
BioMarin Pharmaceutical, Inc. | 1,277 | 143,088 | *Ø |
See Notes to Schedule of Investments
34
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Cepheid | 2,617 | $ | 146,814 | *Ø | |||||||
Receptos, Inc. | 1,276 | 188,006 | *Ø | ||||||||
United Therapeutics Corp. | 1,512 | 241,451 | *£Ø | ||||||||
Vertex Pharmaceuticals, Inc. | 1,277 | 157,428 | * | ||||||||
1,047,824 | |||||||||||
Building Products (0.3%) | |||||||||||
LIXIL Group Corp. | 5,400 | 112,555 | Ø | ||||||||
Capital Markets (4.0%) | |||||||||||
Apollo Global Management LLC Class A | 16,487 | 376,893 | Ø | ||||||||
Apollo Investment Corp. | 13,657 | 109,256 | Ø | ||||||||
Azimut Holding SpA | 800 | 23,482 | |||||||||
Capital Southwest Corp. | 217 | 10,331 | |||||||||
Jafco Co. Ltd. | 3,100 | 116,153 | Ø | ||||||||
Morgan Stanley | 1,579 | 58,912 | Ø | ||||||||
Nomura Holdings, Inc. | 20,600 | 133,641 | Ø | ||||||||
Solar Capital Ltd. | 12,297 | 242,989 | Ø | ||||||||
The Blackstone Group LP | 5,659 | 231,793 | Ø | ||||||||
The Goldman Sachs Group, Inc. | 309 | 60,694 | Ø | ||||||||
1,364,144 | |||||||||||
Chemicals (1.8%) | |||||||||||
Air Products & Chemicals, Inc. | 1,425 | 204,388 | Ø | ||||||||
Asahi Kasei Corp. | 4,000 | 37,666 | Ø | ||||||||
FMC Corp. | 1,597 | 94,718 | Ø | ||||||||
Nissan Chemical Industries Ltd. | 4,500 | 89,181 | Ø | ||||||||
Nitto Denko Corp. | 1,300 | 83,311 | Ø | ||||||||
Shin-Etsu Chemical Co. Ltd. | 1,200 | 73,355 | Ø | ||||||||
Ube Industries Ltd. | 22,000 | 36,499 | Ø | ||||||||
619,118 |
Number of Shares | Value† | ||||||||||
Commercial Services & Supplies (1.8%) | |||||||||||
Covanta Holding Corp. | 19,021 | $ | 385,936 | Ø | |||||||
Steelcase, Inc. Class A | 2,812 | 49,407 | Ø | ||||||||
Tyco International PLC | 4,250 | 167,365 | Ø | ||||||||
602,708 | |||||||||||
Communications Equipment (0.5%) | |||||||||||
Juniper Networks, Inc. | 5,966 | 157,681 | Ø | ||||||||
Construction & Engineering (0.4%) | |||||||||||
Taisei Corp. | 23,000 | 133,235 | Ø | ||||||||
Consumer Finance (0.1%) | |||||||||||
Springleaf Holdings, Inc. | 707 | 35,350 | *Ø | ||||||||
Containers & Packaging (0.7%) | |||||||||||
Berry Plastics Group, Inc. | 3,165 | 108,306 | *Ø | ||||||||
Nampak Ltd. | 24,762 | 88,681 | Ø | ||||||||
Pact Group Holdings Ltd. | 16,510 | 53,666 | Ø | ||||||||
250,653 | |||||||||||
Diversified Consumer Services (1.5%) | |||||||||||
Regis Corp. | 8,725 | 144,137 | *Ø | ||||||||
Service Corp. International | 7,218 | 199,794 | Ø | ||||||||
ServiceMaster Global Holdings, Inc. | 1,713 | 59,201 | *Ø | ||||||||
Stonemor Partners LP | 3,216 | 98,410 | Ø | ||||||||
501,542 | |||||||||||
Diversified Financial Services (0.4%) | |||||||||||
ORIX Corp. | 8,900 | 136,868 | Ø | ||||||||
Diversified Telecommunication Services (0.5%) | |||||||||||
Sunrise Communications Group AG | 576 | 53,837 | *ñØ | ||||||||
Telecom Italia SpA | 108,843 | 104,750 | *Ø | ||||||||
158,587 | |||||||||||
Electric Utilities (2.8%) | |||||||||||
ALLETE, Inc. | 1,710 | 86,013 | Ø | ||||||||
American Electric Power Co., Inc. | 2,841 | 161,568 | Ø | ||||||||
Enel SpA | 5,952 | 28,212 | Ø | ||||||||
Exelon Corp. | 1,364 | 46,403 | Ø |
Number of Shares | Value† | ||||||||||
OGE Energy Corp. | 1,888 | $ | 61,700 | Ø | |||||||
Pinnacle West Capital Corp. | 1,028 | 62,914 | Ø | ||||||||
Portland General Electric Co. | 856 | 30,097 | Ø | ||||||||
PPL Corp. | 11,144 | 379,230 | Ø | ||||||||
The Kansai Electric Power Co., Inc. | 5,400 | 54,269 | *Ø | ||||||||
Xcel Energy, Inc. | 748 | 25,365 | Ø | ||||||||
935,771 | |||||||||||
Electrical Equipment (0.3%) | |||||||||||
Nidec Corp. | 1,100 | 82,285 | Ø | ||||||||
Sensata Technologies Holding NV | 598 | 33,016 | * | ||||||||
115,301 | |||||||||||
Electronic Equipment, Instruments & Components (0.6%) | |||||||||||
Belden, Inc. | 1,675 | 140,616 | Ø | ||||||||
Hitachi Ltd. | 4,000 | 27,292 | Ø | ||||||||
Keyence Corp. | 100 | 53,385 | Ø | ||||||||
221,293 | |||||||||||
Energy Equipment & Services (0.1%) | |||||||||||
Halliburton Co. | 890 | 43,566 | Ø | ||||||||
Food & Staples Retailing (1.3%) | |||||||||||
CVS Health Corp. | 3,037 | 301,544 | Ø | ||||||||
Sysco Corp. | 482 | 17,848 | Ø | ||||||||
Walgreens Boots Alliance, Inc. | 1,575 | 130,615 | Ø | ||||||||
450,007 | |||||||||||
Food Products (0.8%) | |||||||||||
Cal-Maine Foods, Inc. | 1,515 | 67,736 | |||||||||
Kellogg Co. | 1,047 | 66,306 | Ø | ||||||||
Oceana Group Ltd. | 2,155 | 19,243 | Ø | ||||||||
The JM Smucker Co. | 893 | 103,516 | Ø | ||||||||
256,801 | |||||||||||
Health Care Equipment & Supplies (3.4%) | |||||||||||
Alere, Inc. | 5,898 | 280,037 | *Ø | ||||||||
Edwards Lifesciences Corp. | 1,404 | 177,816 | *Ø |
See Notes to Schedule of Investments
35
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Globus Medical, Inc. Class A | 4,275 | $ | 102,130 | * | |||||||
Insulet Corp. | 2,552 | 76,177 | * | ||||||||
Intuitive Surgical, Inc. | 319 | 158,218 | *Ø | ||||||||
NuVasive, Inc. | 2,042 | 91,339 | * | ||||||||
STERIS Corp. | 2,000 | 133,000 | Ø | ||||||||
The Cooper Cos., Inc. | 829 | 147,620 | Ø | ||||||||
1,166,337 | |||||||||||
Health Care Providers & Services (1.4%) | |||||||||||
Accretive Health, Inc. | 7,362 | 41,374 | *Ø | ||||||||
Brookdale Senior Living, Inc. | 3,871 | 140,246 | *Ø | ||||||||
Fresenius SE & Co. KGaA | 679 | 40,396 | Ø | ||||||||
Mediclinic International Ltd. | 2,963 | 31,376 | |||||||||
Omnicare, Inc. | 2,425 | 213,352 | |||||||||
466,744 | |||||||||||
Health Care Technology (0.4%) | |||||||||||
HMS Holdings Corp. | 7,084 | 120,499 | *Ø | ||||||||
Hotels, Restaurants & Leisure (2.6%) | |||||||||||
Accor SA | 3,698 | 202,779 | Ø | ||||||||
Aramark | 5,675 | 174,393 | |||||||||
Bloomin' Brands, Inc. | 7,500 | 169,950 | Ø | ||||||||
Churchill Downs, Inc. | 2,250 | 268,132 | Ø | ||||||||
Pinnacle Entertainment, Inc. | 1,606 | 59,037 | *Ø | ||||||||
874,291 | |||||||||||
Household Durables (0.4%) | |||||||||||
Rinnai Corp. | 500 | 37,936 | Ø | ||||||||
Sony Corp. | 3,200 | 96,742 | *Ø | ||||||||
134,678 | |||||||||||
Independent Power & Renewable Electricity Producers (1.2%) | |||||||||||
AES Corp. | 12,513 | 165,797 | Ø | ||||||||
EDP Renovaveis SA | 4,557 | 31,855 | Ø | ||||||||
NRG Energy, Inc. | 8,034 | 202,778Ø | |||||||||
400,430 | |||||||||||
Industrial Conglomerates (0.5%) | |||||||||||
Alliance Global Group, Inc. | 145,490 | 82,683 | Ø |
Number of Shares | Value† | ||||||||||
Toshiba Corp. | 20,000 | $ | 80,131 | Ø | |||||||
162,814 | |||||||||||
Insurance (1.7%) | |||||||||||
American International Group, Inc. | 3,100 | 174,499 | Ø | ||||||||
Assured Guaranty Ltd. | 8,432 | 219,148 | Ø | ||||||||
BB Seguridade Participacoes SA ADR | 3,349 | 38,748 | Ø | ||||||||
MetLife, Inc. | 1,350 | 69,241 | |||||||||
Sampo OYJ Class A | 1,056 | 51,168 | Ø | ||||||||
Sanlam Ltd. | 5,495 | 35,539 | Ø | ||||||||
588,343 | |||||||||||
Internet Software & Services (1.3%) | |||||||||||
AOL, Inc. | 3,650 | 145,635 | *Ø | ||||||||
Baidu, Inc. ADR | 163 | 32,646 | * | ||||||||
Equinix, Inc. | 738 | 188,876 | Ø | ||||||||
Google, Inc. Class A | 133 | 72,986 | *Ø | ||||||||
440,143 | |||||||||||
IT Services (0.9%) | |||||||||||
Computer Sciences Corp. | 2,700 | 174,015 | Ø | ||||||||
Visa, Inc. Class A | 2,150 | 142,007 | Ø | ||||||||
316,022 | |||||||||||
Life Sciences Tools & Services (0.1%) | |||||||||||
Thermo Fisher Scientific, Inc. | 383 | 48,135 | Ø | ||||||||
Machinery (0.9%) | |||||||||||
Amada Holdings Co. Ltd. | 8,500 | 85,776 | Ø | ||||||||
FANUC Corp. | 200 | 43,993 | Ø | ||||||||
ITT Corp. | 1,750 | 69,387 | |||||||||
Komatsu Ltd. | 2,000 | 40,238 | Ø | ||||||||
Makita Corp. | 1,300 | 64,876 | Ø | ||||||||
304,270 | |||||||||||
Marine (0.1%) | |||||||||||
Nippon Yusen KK | 12,000 | 37,722 | Ø | ||||||||
Media (2.6%) | |||||||||||
CBS Corp. Class B | 3,625 | 225,221 | Ø | ||||||||
Cineplex, Inc. | 881 | 35,269 | Ø | ||||||||
Liberty Global PLC Series C | 2,885 | 145,548 | *Ø |
Number of Shares | Value† | ||||||||||
Time Warner, Inc. | 1,497 | $ | 126,362 | Ø | |||||||
Time, Inc. | 9,550 | 218,027 | Ø | ||||||||
Viacom, Inc. Class B | 575 | 39,934 | £ | ||||||||
Videocon d2h Ltd. ADR | 7,600 | 84,588 | *Ø | ||||||||
874,949 | |||||||||||
Metals & Mining (0.1%) | |||||||||||
Nippon Steel & Sumitomo Metal Corp. | 18,000 | 46,822 | Ø | ||||||||
Multiline Retail (0.6%) | |||||||||||
Dollar Tree, Inc. | 1,725 | 131,807 | *Ø | ||||||||
Takashimaya Co. Ltd. | 7,000 | 65,327 | Ø | ||||||||
197,134 | |||||||||||
Multi-Utilities (0.9%) | |||||||||||
CMS Energy Corp. | 867 | 29,417 | Ø | ||||||||
Dominion Resources, Inc. | 1,046 | 74,977 | Ø | ||||||||
NiSource, Inc. | 4,625 | 200,818 | Ø | ||||||||
305,212 | |||||||||||
Oil, Gas & Consumable Fuels (5.4%) | |||||||||||
Anadarko Petroleum Corp. | 1,225 | 115,272 | Ø | ||||||||
Caltex Australia Ltd. | 756 | 21,085 | Ø | ||||||||
Cheniere Energy Partners LP | 8,964 | 292,137 | Ø | ||||||||
Cheniere Energy Partners LP Holdings LLC | 13,823 | 349,722 | Ø | ||||||||
Encana Corp. | 2,391 | 33,976 | |||||||||
Freehold Royalties Ltd. | 2,000 | 29,540 | |||||||||
GasLog Ltd. | 3,101 | 69,121 | Ø | ||||||||
Golar LNG Ltd. | 3,275 | 117,884 | Ø | ||||||||
Kinder Morgan, Inc. | 2,507 | 107,676 | |||||||||
Liquefied Natural Gas Ltd. | 21,578 | 77,710 | *Ø | ||||||||
SemGroup Corp. Class A | 3,170 | 266,882 | Ø | ||||||||
Targa Resources Corp. | 368 | 38,629 | Ø |
See Notes to Schedule of Investments
36
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
The Williams Cos., Inc. | 6,063 | $ | 310,365 | Ø | |||||||
1,829,999 | |||||||||||
Personal Products (0.2%) | |||||||||||
Asaleo Care Ltd. | 41,544 | 60,450 | Ø | ||||||||
Pharmaceuticals (5.1%) | |||||||||||
Actavis PLC | 785 | 222,045 | *Ø | ||||||||
Bayer AG | 346 | 49,801 | *Ø | ||||||||
Impax Laboratories, Inc. | 3,189 | 144,334 | * | ||||||||
Jazz Pharmaceuticals PLC | 1,148 | 205,148 | *Ø | ||||||||
Mallinckrodt PLC | 1,850 | 209,383 | *Ø | ||||||||
Mylan NV | 2,871 | 207,458 | * | ||||||||
Nektar Therapeutics | 11,804 | 112,374 | *Ø | ||||||||
Novartis AG | 395 | 40,319 | Ø | ||||||||
Perrigo Co. PLC | 550 | 100,804 | Ø | ||||||||
Shire PLC ADR | 858 | 208,932 | |||||||||
Teva Pharmaceutical Industries Ltd. ADR | 551 | 33,291 | |||||||||
Zoetis, Inc. | 4,262 | 189,318 | £ | ||||||||
1,723,207 | |||||||||||
Professional Services (0.4%) | |||||||||||
Nielsen NV | 2,805 | 126,057 | Ø | ||||||||
Real Estate Investment Trusts (3.0%) | |||||||||||
Apollo Commercial Real Estate Finance, Inc. | 8,591 | 146,820 | Ø | ||||||||
CyrusOne, Inc. | 3,383 | 109,880 | Ø | ||||||||
Easterly Government Properties, Inc. | 4,275 | 67,331 | *Ø | ||||||||
NorthStar Realty Finance Corp. | 9,951 | 186,681 | Ø | ||||||||
Simon Property Group, Inc. | 1,268 | 230,129 | Ø | ||||||||
STAG Industrial, Inc. | 6,640 | 144,287 | Ø | ||||||||
The Macerich Co. | 891 | 72,848 |
Number of Shares | Value† | ||||||||||
Xenia Hotels & Resorts, Inc. | 3,073 | $ | 67,330 | Ø | |||||||
1,025,306 | |||||||||||
Real Estate Management & Development (4.1%) | |||||||||||
Altus Group Ltd. | 1,700 | 28,434 | Ø | ||||||||
CBRE Group, Inc. Class A | 12,942 | 496,196 | *Ø | ||||||||
Daito Trust Construction Co. Ltd. | 300 | 34,935 | Ø | ||||||||
Daiwa House Industry Co. Ltd. | 8,700 | 194,228 | Ø | ||||||||
DO Deutsche Office AG | 23,763 | 113,037 | *Ø | ||||||||
Kennedy Wilson Europe Real Estate PLC | 11,600 | 199,071 | Ø | ||||||||
Mitsubishi Estate Co. Ltd. | 3,000 | 70,612 | Ø | ||||||||
Pruksa Real Estate PCL | 41,077 | 34,149 | Ø | ||||||||
Tokyo Tatemono Co. Ltd. | 14,000 | 101,509 | Ø | ||||||||
Tokyu Fudosan Holdings Corp. | 15,300 | 113,693 | Ø | ||||||||
1,385,864 | |||||||||||
Road & Rail (2.4%) | |||||||||||
Canadian Pacific Railway Ltd. | 560 | 106,725 | |||||||||
Roadrunner Transportation Systems, Inc. | 11,908 | 291,389 | * | ||||||||
Ryder System, Inc. | 2,383 | 227,243 | Ø | ||||||||
Swift Transportation Co. | 8,476 | 205,119 | * | ||||||||
830,476 | |||||||||||
Semiconductors & Semiconductor Equipment (1.0%) | |||||||||||
Applied Materials, Inc. | 4,800 | 94,992 | Ø | ||||||||
Broadcom Corp. Class A | 3,550 | 156,928 | Ø |
Number of Shares | Value† | ||||||||||
SCREEN Holdings Co. Ltd. | 13,000 | $ | 88,252 | Ø | |||||||
340,172 | |||||||||||
Software (2.2%) | |||||||||||
Nintendo Co. Ltd. | 300 | 50,370 | Ø | ||||||||
PTC, Inc. | 6,750 | 258,795 | *Ø | ||||||||
Verint Systems, Inc. | 7,268 | 446,473 | *£Ø | ||||||||
755,638 | |||||||||||
Specialty Retail (0.9%) | |||||||||||
Advance Auto Parts, Inc. | 341 | 48,763 | Ø | ||||||||
ANN, Inc. | 3,525 | 133,456 | *Ø | ||||||||
JB Hi-Fi Ltd. | 2,007 | 31,002 | Ø | ||||||||
Tiffany & Co. | 1,085 | 94,916 | Ø | ||||||||
308,137 | |||||||||||
Technology Hardware, Storage & Peripherals (0.8%) | |||||||||||
NCR Corp. | 3,140 | 86,161 | * | ||||||||
Ricoh Co. Ltd. | 3,300 | 34,105 | |||||||||
Western Digital Corp. | 1,436 | 140,355 | £ | ||||||||
260,621 | |||||||||||
Textiles, Apparel & Luxury Goods (0.5%) | |||||||||||
PVH Corp. | 1,625 | 167,944 | Ø | ||||||||
Thrifts & Mortgage Finance (0.0%) | |||||||||||
Federal National Mortgage Association | 4,780 | 12,954 | *Ø | ||||||||
Trading Companies & Distributors (0.5%) | |||||||||||
Air Lease Corp. | 3,296 | 127,325 | Ø | ||||||||
Mitsubishi Corp. | 1,700 | 36,680 | Ø | ||||||||
164,005 | |||||||||||
Water Utilities (0.1%) | |||||||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADR | 1,700 | 10,013 | |||||||||
Cia de Saneamento Basico do Estado de Sao Paulo | 4,820 | 28,476 | Ø | ||||||||
38,489 |
See Notes to Schedule of Investments
37
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Wireless Telecommunication Services (0.2%) | |||||||||||
SoftBank Corp. | 900 | $ | 56,259 | Ø | |||||||
Turkcell Iletisim Hizmetleri AS | 6,701 | 29,837 | Ø | ||||||||
86,096 | |||||||||||
Total Common Stocks (Cost $24,556,534) | 25,540,478 | ||||||||||
Preferred Stocks (0.3%) | |||||||||||
Banks (0.3%) | |||||||||||
National Bank of Greece SA , Ser. A, 9.00% (Cost $205,657) | 11,804 | 108,361 | *Ø | ||||||||
Exchange Traded Funds (1.1%) | |||||||||||
iPATH S&P 500 VIX Short-Term Futures ETN | 4,185 | 91,275 | * | ||||||||
PowerShares DB U.S. Dollar Index Bullish Fund | 11,050 | 275,256 | *Ø | ||||||||
Total Exchange Traded Funds (Cost $376,616) | 366,531 | ||||||||||
Number of Contracts | |||||||||||
Purchased Options (0.2%) | |||||||||||
Put Options (0.2%) | |||||||||||
Delta Air Lines, Inc., Put, Sep 2015 @ 44 | 6 | 1,890 | |||||||||
EuroTrust A/S, Put, May 2015 @ 3700 | 8 | 11,875 | |||||||||
NCR Corp., Put, May 2015 @ 27 | 18 | 1,080 | |||||||||
SPDR S&P 500 ETF Trust, Put, May 2015 @ 200 | 66 | 2,772 | |||||||||
SPDR S&P 500 ETF Trust, Put, Jun 2015 @ 206 | 22 | 7,700 | |||||||||
SPDR S&P 500 ETF Trust, Put, Jul 2015 @ 205 | 43 | 19,565 |
Number of Shares | Value† | ||||||||||
United Continental Holdings, Inc., Put, Sep 2015 @ 60 | 35 | $ | 20,440 | ||||||||
Total Purchased Options (Cost $89,869) | 65,322 | ||||||||||
Number of Shares | |||||||||||
Short-Term Investments (23.0%) | |||||||||||
Mutual Funds (0.6%) | |||||||||||
AP Alternative Assets LP | 5,700 | 208,050 | *Ø | ||||||||
Money Market Funds (22.4%) | |||||||||||
Morgan Stanley Institutional Liquidity Fund | 7,618,511 | 7,618,511 | Ø | ||||||||
Total Short-Term Investments (Cost $7,797,459) | 7,826,561 | ||||||||||
Total Long Positions (99.8%) (Cost $33,026,135) | 33,907,253 | ## | |||||||||
Cash, receivables and other assets, less liabilities (36.9%) | 12,520,206 | ±Ø††† | |||||||||
Short Positions (see summary below) ((36.7)%) | (12,458,710 | ) | |||||||||
Total Net Assets (100.0%) | $ | 33,968,749 | |||||||||
Short Positions ((36.7)%) | |||||||||||
Common Stocks Sold Short (32.7%)£ØØ | |||||||||||
Aerospace & Defense (0.4%) | |||||||||||
The Boeing Co. | (475 | ) | (68,086 | ) | |||||||
Triumph Group, Inc. | (1,200 | ) | (71,088 | ) | |||||||
(139,174 | ) | ||||||||||
Auto Components (0.2%) | |||||||||||
Gentherm, Inc. | (1,194 | ) | (62,960 | )* | |||||||
Banks (0.6%) | |||||||||||
Canadian Western Bank | (1,500 | ) | (39,002 | ) | |||||||
First Midwest Bancorp, Inc. | (1,981 | ) | (33,875 | ) |
Number of Shares | Value† | ||||||||||
FirstMerit Corp. | (1,968 | ) | $ | (38,120 | ) | ||||||
UMB Financial Corp. | (1,400 | ) | (69,706 | ) | |||||||
Wintrust Financial Corp. | (842 | ) | (41,039 | ) | |||||||
(221,742 | ) | ||||||||||
Beverages (0.0%) | |||||||||||
The Boston Beer Co., Inc. Class A | (34 | ) | (8,425 | )* | |||||||
Biotechnology (0.5%) | |||||||||||
Amgen, Inc. | (460 | ) | (72,639 | ) | |||||||
Celgene Corp. | (614 | ) | (66,349 | )* | |||||||
Exact Sciences Corp. | (680 | ) | (14,212 | )* | |||||||
Keryx Biopharmaceuticals, Inc. | (1,525 | ) | (16,256 | )* | |||||||
(169,456 | ) | ||||||||||
Building Products (0.1%) | |||||||||||
LIXIL Group Corp. | (1,800 | ) | (37,518 | ) | |||||||
Capital Markets (0.2%) | |||||||||||
Deutsche Bank AG | (1,033 | ) | (33,037 | ) | |||||||
Julius Baer Group Ltd. | (794 | ) | (41,559 | )* | |||||||
(74,596 | ) | ||||||||||
Chemicals (1.3%) | |||||||||||
Cabot Corp. | (1,025 | ) | (43,809 | ) | |||||||
Calgon Carbon Corp. | (1,070 | ) | (23,743 | ) | |||||||
CF Industries Holdings, Inc. | (175 | ) | (50,307 | ) | |||||||
International Flavors & Fragrances, Inc. | (377 | ) | (43,261 | ) | |||||||
Kaneka Corp. | (6,000 | ) | (41,831 | ) | |||||||
Kuraray Co. Ltd. | (600 | ) | (8,114 | ) | |||||||
Potash Corp. of Saskatchewan, Inc. | (1,700 | ) | (55,488 | ) | |||||||
Praxair, Inc. | (1,175 | ) | (143,268 | ) | |||||||
Rayonier Advanced Materials, Inc. | (2,400 | ) | (40,104 | ) | |||||||
(449,925 | ) |
See Notes to Schedule of Investments
38
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Commercial Services & Supplies (0.7%) | |||||||||||
HNI Corp. | (1,873 | ) | $ | (87,357 | ) | ||||||
Rollins, Inc. | (2,007 | ) | (49,773 | ) | |||||||
Stericycle, Inc. | (658 | ) | (87,797 | )* | |||||||
(224,927 | ) | ||||||||||
Communications Equipment (0.1%) | |||||||||||
Arista Networks, Inc. | (500 | ) | (32,005 | )* | |||||||
Diversified Telecommunication Services (0.3%) | |||||||||||
Telecom Italia SpA | (86,152 | ) | (101,682 | )* | |||||||
Electric Utilities (0.6%) | |||||||||||
CEZ AS | (1,545 | ) | (40,139 | ) | |||||||
Edison International | (236 | ) | (14,382 | ) | |||||||
Iberdrola SA | (2,235 | ) | (14,960 | ) | |||||||
IDACORP, Inc. | (307 | ) | (18,521 | ) | |||||||
Otter Tail Corp. | (1,751 | ) | (52,373 | ) | |||||||
The Southern Co. | (1,234 | ) | (54,666 | ) | |||||||
(195,041 | ) | ||||||||||
Electronic Equipment, Instruments & Components (0.9%) | |||||||||||
Anixter International, Inc. | (2,206 | ) | (155,744 | )* | |||||||
Hirose Electric Co. Ltd. | (100 | ) | (14,080 | ) | |||||||
Ibiden Co. Ltd. | (1,200 | ) | (20,988 | ) | |||||||
Japan Display, Inc. | (9,800 | ) | (40,258 | ) | |||||||
Kyocera Corp. | (200 | ) | (10,440 | ) | |||||||
Ryosan Co. Ltd. | (300 | ) | (7,145 | ) | |||||||
Taiyo Yuden Co. Ltd. | (1,700 | ) | (25,133 | ) | |||||||
Yaskawa Electric Corp. | (1,200 | ) | (16,487 | ) | |||||||
(290,275 | ) | ||||||||||
Energy Equipment & Services (0.1%) | |||||||||||
National Oilwell Varco, Inc. | (707 | ) | (38,468 | ) | |||||||
Food & Staples Retailing (1.2%) | |||||||||||
CVS Health Corp. | (772 | ) | (76,652 | ) | |||||||
Walgreens Boots Alliance, Inc. | (1,078 | ) | (89,398 | ) | |||||||
Wal-Mart Stores, Inc. | (1,695 | ) | (132,295 | ) |
Number of Shares | Value† | ||||||||||
Woolworths Ltd. | (4,288 | ) | $ | (99,557 | ) | ||||||
(397,902 | ) | ||||||||||
Food Products (1.9%) | |||||||||||
Campbell Soup Co. | (3,040 | ) | (135,918 | ) | |||||||
Ezaki Glico Co. Ltd. | (600 | ) | (24,987 | ) | |||||||
Flowers Foods, Inc. | (2,650 | ) | (59,201 | ) | |||||||
General Mills, Inc. | (2,356 | ) | (130,381 | ) | |||||||
House Foods Group, Inc. | (1,400 | ) | (28,590 | ) | |||||||
Ingredion, Inc. | (600 | ) | (47,640 | ) | |||||||
Kewpie Corp. | (1,600 | ) | (39,038 | ) | |||||||
Kikkoman Corp. | (1,000 | ) | (28,519 | ) | |||||||
McCormick & Co., Inc. | (950 | ) | (71,535 | ) | |||||||
MEIJI Holdings Co. Ltd. | (200 | ) | (22,976 | ) | |||||||
The Hain Celestial Group, Inc. | (809 | ) | (48,734 | )* | |||||||
(637,519 | ) | ||||||||||
Gas Utilities (0.2%) | |||||||||||
AGL Resources, Inc. | (289 | ) | (14,528 | ) | |||||||
Northwest Natural Gas Co. | (807 | ) | (37,687 | ) | |||||||
Piedmont Natural Gas Co., Inc. | (396 | ) | (14,826 | ) | |||||||
Southwest Gas Corp. | (214 | ) | (11,770 | ) | |||||||
(78,811 | ) | ||||||||||
Health Care Equipment & Supplies (2.1%) | |||||||||||
Abbott Laboratories | (1,879 | ) | (87,223 | ) | |||||||
Becton Dickinson and Co. | (544 | ) | (76,633 | ) | |||||||
Boston Scientific Corp. | (3,879 | ) | (69,124 | )* | |||||||
Getinge AB Class B | (1,825 | ) | (44,356 | ) | |||||||
Medtronic PLC | (1,022 | ) | (76,088 | ) | |||||||
St. Jude Medical, Inc. | (1,139 | ) | (79,787 | ) | |||||||
Stryker Corp. | (845 | ) | (77,943 | ) |
Number of Shares | Value† | ||||||||||
Sysmex Corp. | (900 | ) | $ | (49,799 | ) | ||||||
Varian Medical Systems, Inc. | (803 | ) | (71,347 | )* | |||||||
Zimmer Holdings, Inc. | (649 | ) | (71,286 | ) | |||||||
(703,586 | ) | ||||||||||
Health Care Providers & Services (1.1%) | |||||||||||
AmerisourceBergen Corp. | (673 | ) | (76,924 | ) | |||||||
Cardinal Health, Inc. | (876 | ) | (73,882 | ) | |||||||
Henry Schein, Inc. | (622 | ) | (85,276 | )* | |||||||
Laboratory Corp. of America Holdings | (659 | ) | (78,790 | )* | |||||||
McKesson Corp. | (323 | ) | (72,158 | ) | |||||||
(387,030 | ) | ||||||||||
Hotels, Restaurants & Leisure (0.2%) | |||||||||||
Texas Roadhouse, Inc. | (2,000 | ) | (67,200 | ) | |||||||
Household Durables (0.1%) | |||||||||||
Nikon Corp. | (1,500 | ) | (21,328 | ) | |||||||
Household Products (0.2%) | |||||||||||
The Clorox Co. | (625 | ) | (66,312 | ) | |||||||
Industrial Conglomerates (0.7%) | |||||||||||
3M Co. | (425 | ) | (66,466 | ) | |||||||
Danaher Corp. | (912 | ) | (74,675 | ) | |||||||
Siemens AG ADR | (950 | ) | (103,350 | ) | |||||||
(244,491 | ) | ||||||||||
Insurance (0.7%) | |||||||||||
Reinsurance Group of America, Inc. | (775 | ) | (71,006 | ) | |||||||
The Allstate Corp. | (900 | ) | (62,694 | ) | |||||||
The Travelers Cos., Inc. | (975 | ) | (98,582 | ) | |||||||
(232,282 | ) | ||||||||||
IT Services (0.3%) | |||||||||||
International Business Machines Corp. | (400 | ) | (68,516 | ) | |||||||
The Western Union Co. | (1,068 | ) | (21,659 | ) | |||||||
(90,175 | ) |
See Notes to Schedule of Investments
39
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Leisure Products (0.2%) | |||||||||||
Mattel, Inc. | (2,825 | ) | $ | (79,552 | ) | ||||||
Life Sciences Tools & Services (0.5%) | |||||||||||
Quintiles Transnational Holdings, Inc. | (1,168 | ) | (76,948 | )* | |||||||
Thermo Fisher Scientific, Inc. | (622 | ) | (78,173 | ) | |||||||
(155,121 | ) | ||||||||||
Machinery (2.6%) | |||||||||||
Caterpillar, Inc. | (977 | ) | (84,882 | ) | |||||||
Cummins, Inc. | (500 | ) | (69,130 | ) | |||||||
Deere & Co. | (1,439 | ) | (130,258 | ) | |||||||
Dover Corp. | (2,004 | ) | (151,743 | ) | |||||||
Hitachi Construction Machinery Co. Ltd. | (2,500 | ) | (44,384 | ) | |||||||
Kennametal, Inc. | (2,700 | ) | (95,607 | ) | |||||||
Kone OYJ Class B | (1,985 | ) | (85,398 | ) | |||||||
Parker-Hannifin Corp. | (450 | ) | (53,712 | ) | |||||||
Tennant Co. | (2,659 | ) | (170,947 | ) | |||||||
(886,061 | ) | ||||||||||
Media (0.9%) | |||||||||||
Discovery Communications, Inc. Class A | (3,350 | ) | (108,406 | )* | |||||||
Gannett Co., Inc. | (2,600 | ) | (89,232 | ) | |||||||
Omnicom Group, Inc. | (1,600 | ) | (121,216 | ) | |||||||
(318,854 | ) | ||||||||||
Multi-Utilities (1.8%) | |||||||||||
Alliant Energy Corp. | (1,354 | ) | (81,876 | ) | |||||||
Ameren Corp. | (13 | ) | (532 | ) | |||||||
Avista Corp. | (2,089 | ) | (68,143 | ) | |||||||
Consolidated Edison, Inc. | (1,872 | ) | (115,222 | ) | |||||||
DTE Energy Co. | (782 | ) | (62,271 | ) | |||||||
NorthWestern Corp. | (428 | ) | (22,294 | ) | |||||||
PG&E Corp. | (273 | ) | (14,447 | ) | |||||||
Public Service Enterprise Group, Inc. | (1,533 | ) | (63,681 | ) | |||||||
Wisconsin Energy Corp. | (3,847 | ) | (188,965 | ) | |||||||
(617,431 | ) | ||||||||||
Oil, Gas & Consumable Fuels (1.0%) | |||||||||||
Boardwalk Pipeline Partners LP | (4,390 | ) | (76,869 | ) |
Number of Shares | Value† | ||||||||||
Exxon Mobil Corp. | (1,625 | ) | $ | (141,976 | ) | ||||||
ONEOK, Inc. | (296 | ) | (14,238 | ) | |||||||
Spectra Energy Corp. | (2,876 | ) | (107,131 | ) | |||||||
(340,214 | ) | ||||||||||
Paper & Forest Products (0.3%) | |||||||||||
Domtar Corp. | (2,500 | ) | (108,050 | ) | |||||||
Pharmaceuticals (2.4%) | |||||||||||
Eisai Co. Ltd. | (600 | ) | (39,994 | ) | |||||||
Endo International PLC | (650 | ) | (54,642 | )* | |||||||
Johnson & Johnson | (1,004 | ) | (99,597 | ) | |||||||
Merck & Co., Inc. | (1,530 | ) | (91,127 | ) | |||||||
Novartis AG ADR | (876 | ) | (89,177 | ) | |||||||
Novo Nordisk A/S ADR | (1,205 | ) | (67,805 | ) | |||||||
Ono Pharmaceutical Co. Ltd. | (400 | ) | (43,352 | ) | |||||||
Pacira Pharmaceuticals, Inc. | (184 | ) | (12,600 | )* | |||||||
Pfizer, Inc. | (2,560 | ) | (86,861 | ) | |||||||
Sagent Pharmaceuticals, Inc. | (1,400 | ) | (32,634 | )* | |||||||
Sanofi ADR | (1,752 | ) | (88,564 | ) | |||||||
Shionogi & Co. Ltd. | (1,300 | ) | (42,854 | ) | |||||||
Valeant Pharmaceuticals International, Inc. | (300 | ) | (65,079 | )* | |||||||
(814,286 | ) | ||||||||||
Professional Services (0.2%) | |||||||||||
Nielsen NV | (1,200 | ) | (53,928 | ) | |||||||
Real Estate Investment Trusts (3.1%) | |||||||||||
CBL & Associates Properties, Inc. | (3,700 | ) | (66,637 | ) | |||||||
Digital Realty Trust, Inc. | (1,104 | ) | (70,005 | ) | |||||||
Gaming and Leisure Properties, Inc. | (1,565 | ) | (55,871 | ) | |||||||
Inland Real Estate Corp. | (13,213 | ) | (135,962 | ) | |||||||
National Retail Properties, Inc. | (825 | ) | (31,680 | ) |
Number of Shares | Value† | ||||||||||
Pebblebrook Hotel Trust | (1,693 | ) | $ | (72,697 | ) | ||||||
Post Properties, Inc. | (636 | ) | (36,360 | ) | |||||||
PS Business Parks, Inc. | (2,252 | ) | (171,940 | ) | |||||||
Regency Centers Corp. | (1,836 | ) | (115,264 | ) | |||||||
Retail Opportunity Investments Corp. | (2,227 | ) | (37,369 | ) | |||||||
Retail Properties of America, Inc. Class A | (6,698 | ) | (101,207 | ) | |||||||
Taubman Centers, Inc. | (2,104 | ) | (151,509 | ) | |||||||
(1,046,501 | ) | ||||||||||
Road & Rail (0.9%) | |||||||||||
Knight Transportation, Inc. | (3,198 | ) | (92,423 | ) | |||||||
Old Dominion Freight Line, Inc. | (1,440 | ) | (102,427 | )* | |||||||
Werner Enterprises, Inc. | (4,245 | ) | (114,063 | ) | |||||||
(308,913 | ) | ||||||||||
Semiconductors & Semiconductor Equipment (0.5%) | |||||||||||
KLA-Tencor Corp. | (1,800 | ) | (105,840 | ) | |||||||
Maxim Integrated Products, Inc. | (2,100 | ) | (68,943 | ) | |||||||
(174,783 | ) | ||||||||||
Software (0.4%) | |||||||||||
NetScout Systems, Inc. | (1,016 | ) | (41,758 | )* | |||||||
Workday, Inc. Class A | (1,100 | ) | (100,331 | )* | |||||||
(142,089 | ) | ||||||||||
Specialty Retail (1.2%) | |||||||||||
Bed Bath & Beyond, Inc. | (1,307 | ) | (92,091 | )* | |||||||
Five Below, Inc. | (3,050 | ) | (102,846 | )* | |||||||
Guess?, Inc. | (8,000 | ) | (146,480 | ) | |||||||
Tiffany & Co. | (825 | ) | (72,171 | ) | |||||||
(413,588 | ) |
See Notes to Schedule of Investments
40
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Technology Hardware, Storage & Peripherals (0.6%) | |||||||||||
Diebold, Inc. | (3,442 | ) | $ | (119,678 | ) | ||||||
Seagate Technology PLC | (1,293 | ) | (75,925 | ) | |||||||
(195,603 | ) | ||||||||||
Textiles, Apparel & Luxury Goods (0.2%) | |||||||||||
Michael Kors Holdings Ltd. | (1,100 | ) | (68,046 | )* | |||||||
Thrifts & Mortgage Finance (0.1%) | |||||||||||
Home Capital Group, Inc. | (1,000 | ) | (39,469 | ) | |||||||
Trading Companies & Distributors (1.1%) | |||||||||||
Fastenal Co. | (4,439 | ) | (189,189 | ) | |||||||
WW Grainger, Inc. | (747 | ) | (185,577 | ) | |||||||
(374,766 | ) | ||||||||||
Total Common Stocks Sold Short (Proceeds $(11,205,850)) | (11,110,085 | ) | |||||||||
Exchange Traded Funds Sold Short (4.0%)£ØØ | |||||||||||
iShares MSCI Emerging Markets ETF | (4,090 | ) | (175,379 | ) | |||||||
iShares Nasdaq Biotechnology ETF | (520 | ) | (173,503 | ) | |||||||
iShares Russell 2000 ETF | (921 | ) | (111,588 | ) | |||||||
Powershares QQQ Trust Series 1 | (1,834 | ) | (197,394 | ) | |||||||
SPDR S&P 500 ETF Trust | (568 | ) | (118,440 | ) | |||||||
Utilities Select Sector SPDR Fund | (8,073 | ) | (356,988 | ) | |||||||
Vanguard REIT ETF | (547 | ) | (43,421 | ) | |||||||
WisdomTree Japan Hedged Equity Fund | (3,047 | ) | (171,912 | ) | |||||||
Total Exchange Traded Funds Sold Short (Proceeds $(1,295,484)) | (1,348,625 | ) | |||||||||
Total Short Positions (Proceeds $(12,501,334)) | (12,458,710 | ) |
See Notes to Schedule of Investments
41
Notes to Schedule of Investments (Unaudited)
† In accordance with Accounting Standards Codification ("ASC") 820 "Fair Value Measurement" ("ASC 820"), all investments held by each of Neuberger Berman Absolute Return Multi-Manager Fund ("Absolute Return Multi-Manager") and Neuberger Berman Long Short Multi-Manager Fund ("Long Short Multi-Manager"), (each individually a "Fund," and collectively, the "Funds") are carried at the value that Neuberger Berman Management LLC ("Management") believes a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Funds' investments, some of which are discussed below. Significant management judgment may be necessary to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
• Level 1 – quoted prices in active markets for identical investments
• Level 2 – other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
• Level 3 – unobservable inputs (including a Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Funds' investments (long and short positions) in equity securities, exchange traded funds, preferred stocks, purchased option contracts, written option contracts, rights, closed-end funds and warrants, for which market quotations are readily available, is generally determined by Management by obtaining valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price ("NOCP") provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern time, unless that price is outside the range of the "inside" bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no reported sale of a security on a particular day, the independent pricing service may value the security based on reported market quotations.
The value of the Funds' investments (long and short positions) in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid quotations, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Funds:
Corporate Debt Securities. Inputs used to value corporate debt securities generally include relative credit information, observed market movements, sector news, spread to the U.S. Treasury market, and other market information, which may include benchmark yields, reported trades, broker-dealer quotes, issuer spreads, benchmark securities, bids, offers, and reference data, such as market research publications, when available ("Other Market Information").
See Notes to Financial Statements
42
Notes to Schedule of Investments (Unaudited) (cont'd)
Asset-Backed Securities and Mortgage-Backed Securities. Inputs used to value asset-backed securities and mortgage-backed securities generally include models that consider a number of factors, which may include the following: prepayment speeds, cash flows, spread adjustments and Other Market Information.
Municipal Notes. Inputs used to value municipal notes include current trades, bid-wanted lists (which inform the market that a holder is interested in selling a position and that offers will be considered), offerings, general information on market movement, direction, trends, and specific data on specialty issues.
The value of bank loan obligations is determined by Management primarily by obtaining valuations from independent pricing services based on broker quotes (generally Level 2 or Level 3 inputs depending on the number of quotes available).
The value of financial futures contracts ("financial futures") is determined by Management by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
The value of forward foreign currency contracts ("forward contracts") is determined by Management by obtaining valuations from an independent pricing service based on actual traded currency rates on an independent pricing service's network, along with other traded and quoted currency rates provided to the pricing service by leading market participants (Level 2 inputs).
The value of total return swap contracts ("total return swaps") is determined by Management by obtaining valuations from an independent pricing service using the underlying index and stated London Interbank Offered Rate ("LIBOR") (Level 2 inputs).
The value of equity swap contracts ("equity swaps") is determined by Management by obtaining valuations from an independent pricing service using the underlying security and stated LIBOR rate or Federal Funds floating rate (Level 2 inputs).
The value of credit default swap contracts ("credit default swaps") is determined by Management by obtaining valuations from an independent pricing service using a model that considers a number of factors, which may include default probabilities, credit curves, recovery rates and cash flows (Level 2 inputs).
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in investment companies, with the exception of closed-end funds, are valued using the respective fund's daily calculated net asset value per share (Level 2 inputs).
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount a Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Neuberger Berman Alternative Funds' Board of Trustees (the "Board") has approved in the good faith belief that the resulting valuation will reflect the fair value of the security. Numerous factors may be considered when determining the fair value of a security based on Level 2 or Level 3 inputs, including available analyst, media or other reports, trading in financial futures or American Depositary Receipts ("ADRs") and whether the issuer of the security being fair valued has other securities outstanding.
The value of the Funds' investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in local currency values are translated from the local currency into U.S. dollars using the exchange rates as of the end of regular trading on the New York Stock Exchange ("NYSE") on business days, usually 4:00 p.m. Eastern time. The Board has approved the use of Interactive Data Pricing and Reference Data, Inc. ("Interactive") to assist in determining the
See Notes to Financial Statements
43
Notes to Schedule of Investments (Unaudited) (cont'd)
fair value of foreign equity securities when changes in the value of a certain index suggest that the closing prices on the foreign exchanges may no longer represent the amount that a Fund could expect to receive for those securities or on days when foreign markets are closed and U.S. markets are open. In each of these events, Interactive will provide adjusted prices for certain foreign equity securities using a statistical analysis of historical correlations of multiple factors (Level 2 inputs). The Board has also approved the use of Interactive to evaluate the prices of foreign income securities as of the close of the NYSE. Interactive utilizes benchmark spread and yield curves and evaluates available market activity from the local close to the close of the NYSE (Level 2 inputs) to assist in determining prices for certain foreign income securities. In the case of both foreign equity and foreign income securities, in the absence of precise information about the market values of these foreign securities as of the close of the NYSE, the Board has determined on the basis of available data that prices adjusted or evaluated in this way are likely to be closer to the prices a Fund could realize on a current sale than are the prices of those securities established at the close of the foreign markets in which the securities primarily trade.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
The following is a summary, categorized by Level, of inputs used to value the Funds' investments as of April 30, 2015:
Asset Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3§ | Total | ||||||||||||||||
Absolute Return Multi-Manager | |||||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Air Freight & Logistics | $ | 2,166,204 | $ | 2,760,238 | $ | — | $ | 4,926,442 | |||||||||||
Airlines | 3,138,050 | 41,567 | — | 3,179,617 | |||||||||||||||
Banks | 6,361,658 | 23,528,199 | — | 29,889,857 | |||||||||||||||
Beverages | 11,855,176 | 2,887,894 | — | 14,743,070 | |||||||||||||||
Biotechnology | 35,412,371 | 1,570,549 | — | 36,982,920 | |||||||||||||||
Building Products | 1,915,844 | 2,407,429 | — | 4,323,273 | |||||||||||||||
Capital Markets | 19,458,197 | 6,047,317 | — | 25,505,514 | |||||||||||||||
Chemicals | 42,971,660 | 7,644,442 | — | 50,616,102 | |||||||||||||||
Construction & Engineering | — | 2,873,251 | — | 2,873,251 | |||||||||||||||
Containers & Packaging | 1,425,195 | 4,273,822 | — | 5,699,017 | |||||||||||||||
Diversified Financial Services | 736,290 | 22,030,091 | — | 22,766,381 | |||||||||||||||
Diversified Telecommunication Services | 5,298,697 | 7,223,353 | — | 12,522,050 | |||||||||||||||
Electric Utilities | 8,980,187 | 1,154,732 | — | 10,134,919 | |||||||||||||||
Electrical Equipment | 4,349,180 | 1,735,472 | — | 6,084,652 | |||||||||||||||
Electronic Equipment, Instruments & Components | 3,046,308 | 3,438,671 | — | 6,484,979 | |||||||||||||||
Food & Staples Retailing | 7,261,124 | — | — | 7,261,124 | |||||||||||||||
Food Products | 6,054,381 | 718,673 | — | 6,773,054 | |||||||||||||||
Health Care Equipment & Supplies | 36,109,254 | 21,319 | — | 36,130,573 | |||||||||||||||
Health Care Providers & Services | 20,184,791 | 2,154,596 | — | 22,339,387 | |||||||||||||||
Hotels, Restaurants & Leisure | 35,137,243 | 5,229,050 | — | 40,366,293 | |||||||||||||||
Household Durables | 1,422,805 | 2,972,223 | — | 4,395,028 |
See Notes to Financial Statements
44
Notes to Schedule of Investments (Unaudited) (cont'd)
Asset Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3§ | Total | ||||||||||||||||
Industrial Conglomerates | $ | — | $ | 4,185,195 | $ | — | $ | 4,185,195 | |||||||||||
Insurance | 26,683,756 | 2,665,238 | — | �� | 29,348,994 | ||||||||||||||
Machinery | 4,662,905 | 5,478,651 | — | 10,141,556 | |||||||||||||||
Marine | — | 858,177 | — | 858,177 | |||||||||||||||
Media | 85,752,984 | 1,230,121 | 750 | 86,983,855 | |||||||||||||||
Metals & Mining | 7,952,453 | 1,019,677 | — | 8,972,130 | |||||||||||||||
Multiline Retail | 20,386,462 | 1,269,214 | — | 21,655,676 | |||||||||||||||
Oil, Gas & Consumable Fuels | 31,628,403 | 1,758,367 | — | 33,386,770 | |||||||||||||||
Personal Products | — | 1,815,353 | — | 1,815,353 | |||||||||||||||
Pharmaceuticals | 60,665,343 | 2,706,777 | — | 63,372,120 | |||||||||||||||
Real Estate Management & Development | 7,378,171 | 18,910,603 | — | 26,288,774 | |||||||||||||||
Semiconductors & Semiconductor Equipment | 18,546,949 | 1,941,499 | — | 20,488,448 | |||||||||||||||
Software | 25,399,519 | 822,711 | — | 26,222,230 | |||||||||||||||
Specialty Retail | 11,163,456 | 1,021,055 | — | 12,184,511 | |||||||||||||||
Technology Hardware, Storage & Peripherals | 9,655,465 | 737,900 | — | 10,393,365 | |||||||||||||||
Trading Companies & Distributors | 6,377,210 | 763,816 | — | 7,141,026 | |||||||||||||||
Wireless Telecommunication Services | — | 2,647,161 | — | 2,647,161 | |||||||||||||||
Other Common Stocks^ | 237,245,832 | — | — | 237,245,832 | |||||||||||||||
Total Common Stocks | 806,783,523 | 150,544,403 | 750 | 957,328,676 | |||||||||||||||
Preferred Stocks^ | 2,042,926 | — | — | 2,042,926 | |||||||||||||||
Exchange Traded Funds | 8,226,021 | — | — | 8,226,021 | |||||||||||||||
Rights | |||||||||||||||||||
Biotechnology | — | 71,705 | — | 71,705 | |||||||||||||||
Food & Staples Retailing | — | — | 39,066 | 39,066 | |||||||||||||||
Pharmaceuticals | — | 14,655 | — | 14,655 | |||||||||||||||
Wireless Telecommunication Services | — | 151,200 | — | 151,200 | |||||||||||||||
Other Rights^ | 320 | — | — | 320 | |||||||||||||||
Total Rights | 320 | 237,560 | 39,066 | 276,946 | |||||||||||||||
Warrants | |||||||||||||||||||
Diversified Financial Services | — | 2,678,775 | — | 2,678,775 | |||||||||||||||
Insurance | — | — | — | — | |||||||||||||||
Media | — | 105,243 | — | 105,243 | |||||||||||||||
Other Warrants^ | 1,860 | — | — | 1,860 | |||||||||||||||
Total Warrants | 1,860 | 2,784,018 | — | 2,785,878 | |||||||||||||||
Mortgage-Backed Securities^ | — | 73,988,470 | — | 73,988,470 | |||||||||||||||
Asset-Backed Securities | — | 72,648,064 | 1,286,800 | 73,934,864 | |||||||||||||||
Bank Loan Obligations | |||||||||||||||||||
Advertising | — | 5,434,967 | 987,986 | 6,422,953 | |||||||||||||||
Commercial Services & Supplies | — | 10,561,346 | 2,177,280 | 12,738,626 |
See Notes to Financial Statements
45
Notes to Schedule of Investments (Unaudited) (cont'd)
Asset Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3§ | Total | ||||||||||||||||
Diversified Financial Services | $ | — | $ | 4,791,950 | $ | 2,823,380 | $ | 7,615,330 | |||||||||||
Diversified Telecommunication Services | — | 2,541,547 | 2,712,000 | 5,253,547 | |||||||||||||||
Food Products | — | 1,725,300 | 1,873,554 | 3,598,854 | |||||||||||||||
Health Care Providers & Services | — | 653,231 | 2,962,619 | 3,615,850 | |||||||||||||||
Insurance | — | 7,218,388 | 970,000 | 8,188,388 | |||||||||||||||
Media | — | 17,421,766 | 1,090,895 | 18,512,661 | |||||||||||||||
Miscellaneous Manufacturing | — | 1,850,719 | 957,125 | 2,807,844 | |||||||||||||||
Oil, Gas & Consumable Fuels | — | 2,076,138 | 1,135,298 | 3,211,436 | |||||||||||||||
Pharmaceuticals | — | 3,358,085 | 1,826,524 | 5,184,609 | |||||||||||||||
Software | — | 6,284,495 | 2,052,270 | 8,336,765 | |||||||||||||||
Transportation | — | — | 806,347 | 806,347 | |||||||||||||||
Other Bank Loan Obligations^ | — | 58,016,525 | — | 58,016,525 | |||||||||||||||
Total Bank Loan Obligations | — | 121,934,457 | 22,375,278 | 144,309,735 | |||||||||||||||
Corporate Debt Securities | |||||||||||||||||||
Chemicals | — | — | 766 | 766 | |||||||||||||||
Other Corporate Debt Securities^ | — | 61,045,508 | — | 61,045,508 | |||||||||||||||
Total Corporate Debt Securities | — | 61,045,508 | 766 | 61,046,274 | |||||||||||||||
Municipal Notes | — | 11,836,693 | — | 11,836,693 | |||||||||||||||
Purchased Options | 5,365,015 | 15,937 | — | 5,380,952 | |||||||||||||||
Short-Term Investments | — | 230,122,435 | — | 230,122,435 | |||||||||||||||
Total Long Positions | $ | 822,419,665 | $ | 725,157,545 | $ | 23,702,660 | $ | 1,571,279,870 | |||||||||||
Long Short Multi-Manager | |||||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Banks | 147,183 | 858,249 | — | 1,005,432 | |||||||||||||||
Beverages | 259,018 | 55,823 | — | 314,841 | |||||||||||||||
Biotechnology | 995,586 | 52,238 | — | 1,047,824 | |||||||||||||||
Building Products | — | 112,555 | — | 112,555 | |||||||||||||||
Capital Markets | 1,090,868 | 273,276 | — | 1,364,144 | |||||||||||||||
Chemicals | 299,106 | 320,012 | — | 619,118 | |||||||||||||||
Construction & Engineering | — | 133,235 | — | 133,235 | |||||||||||||||
Containers & Packaging | 108,306 | 142,347 | — | 250,653 | |||||||||||||||
Diversified Financial Services | — | 136,868 | — | 136,868 | |||||||||||||||
Diversified Telecommunication Services | — | 158,587 | — | 158,587 | |||||||||||||||
Electric Utilities | 853,290 | 82,481 | — | 935,771 | |||||||||||||||
Electrical Equipment | 33,016 | 82,285 | — | 115,301 | |||||||||||||||
Electronic Equipment, Instruments & Components | 140,616 | 80,677 | — | 221,293 | |||||||||||||||
Food Products | 237,558 | 19,243 | — | 256,801 |
See Notes to Financial Statements
46
Notes to Schedule of Investments (Unaudited) (cont'd)
Asset Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3§ | Total | ||||||||||||||||
Health Care Providers & Services | $ | 394,972 | $ | 71,772 | $ | — | $ | 466,744 | |||||||||||
Hotels, Restaurants & Leisure | 671,512 | 202,779 | — | 874,291 | |||||||||||||||
Household Durables | — | 134,678 | — | 134,678 | |||||||||||||||
Independent Power & Renewable Electricity Producers | 368,575 | 31,855 | — | 400,430 | |||||||||||||||
Industrial Conglomerates | — | 162,814 | — | 162,814 | |||||||||||||||
Insurance | 501,636 | 86,707 | — | 588,343 | |||||||||||||||
Machinery | 69,387 | 234,883 | — | 304,270 | |||||||||||||||
Marine | — | 37,722 | — | 37,722 | |||||||||||||||
Metals & Mining | — | 46,822 | — | 46,822 | |||||||||||||||
Multiline Retail | 131,807 | 65,327 | — | 197,134 | |||||||||||||||
Oil, Gas & Consumable Fuel | 1,740,916 | 89,083 | — | 1,829,999 | |||||||||||||||
Personal Products | — | 60,450 | — | 60,450 | |||||||||||||||
Pharmaceuticals | 1,633,087 | 90,120 | — | 1,723,207 | |||||||||||||||
Real Estate Management & Development | 524,630 | 861,234 | — | 1,385,864 | |||||||||||||||
Semiconductors & Semiconductor Equipment | 251,920 | 88,252 | — | 340,172 | |||||||||||||||
Software | 705,268 | 50,370 | — | 755,638 | |||||||||||||||
Specialty Retail | 277,135 | 31,002 | — | 308,137 | |||||||||||||||
Technology Hardware, Storage & Peripherals | 226,516 | 34,105 | — | 260,621 | |||||||||||||||
Trading Companies & Distributors | 127,325 | 36,680 | — | 164,005 | |||||||||||||||
Wireless Telecommunication Services | — | 86,096 | — | 86,096 | |||||||||||||||
Other Common Stocks^ | 8,740,618 | — | — | 8,740,618 | |||||||||||||||
Total Common Stocks | 20,529,851 | 5,010,627 | — | 25,540,478 | |||||||||||||||
Preferred Stocks^ | 108,361 | — | — | 108,361 | |||||||||||||||
Exchange Traded Funds | 366,531 | — | — | 366,531 | |||||||||||||||
Purchased Options | 65,322 | — | — | 65,322 | |||||||||||||||
Short-Term Investments | — | 7,826,561 | — | 7,826,561 | |||||||||||||||
Total Long Positions | $ | 21,070,065 | $ | 12,837,188 | $ | — | $ | 33,907,253 |
^ The Schedule of Investments provides information on the industry categorization for the portfolio.
See Notes to Financial Statements
47
Notes to Schedule of Investments (Unaudited) (cont'd)
§ The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
Beginning balance as of 11/1/14 | Accrued discounts/ (premiums) | Realized gain/loss and change in unrealized appreciation/ (depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 4/30/15 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/15 | |||||||||||||||||||||||||||||||
Investments in Securities: | |||||||||||||||||||||||||||||||||||||||
Absolute Return Multi-Manager | |||||||||||||||||||||||||||||||||||||||
Common Stocks‡ | |||||||||||||||||||||||||||||||||||||||
Media | $ | 750 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 750 | $ | — | |||||||||||||||||||||
Rights‡ | |||||||||||||||||||||||||||||||||||||||
Food & Staples Retailing | — | — | 39,066 | — | — | — | — | 39,066 | 39,066 | ||||||||||||||||||||||||||||||
Pharmaceuticals | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Bank Loan ObligationsΩ | |||||||||||||||||||||||||||||||||||||||
Advertising | 7,302,863 | 1,086 | 14,569 | 2,502 | (4,740,034 | ) | — | (1,593,000 | ) | 987,986 | 7,501 | ||||||||||||||||||||||||||||
Commercial Services & Supplies | 1,730,212 | — | 447,068 | — | — | — | — | 2,177,280 | 447,068 | ||||||||||||||||||||||||||||||
Diversified Financial Services | — | 771 | (4,391 | ) | 19 | — | 2,826,981 | — | 2,823,380 | (4,392 | ) | ||||||||||||||||||||||||||||
Diversified Telecommunication Services | — | 5,093 | (92,188 | ) | — | — | 2,799,095 | — | 2,712,000 | (92,188 | ) | ||||||||||||||||||||||||||||
Electrical Components & Equipment | 663,300 | 1,981 | (1,981 | ) | — | (663,300 | ) | — | — | — | — | ||||||||||||||||||||||||||||
Food Products | — | 10,219 | 72,285 | — | (9,634 | ) | 1,800,684 | — | 1,873,554 | 72,015 | |||||||||||||||||||||||||||||
Health Care Providers & Services | 179,144 | 1,034 | 11,153 | 2,775,960 | (4,672 | ) | — | — | 2,962,619 | 10,980 | |||||||||||||||||||||||||||||
Hotels, Restaurants & Leisure | 494,518 | 360 | (360 | ) | — | (494,518 | ) | — | — | — | — | ||||||||||||||||||||||||||||
Insurance | 1,000,000 | (192 | ) | (29,808 | ) | — | — | — | — | 970,000 | (29,808 | ) | |||||||||||||||||||||||||||
Media | 3,207,931 | 1,693 | 42,963 | 1,398,465 | (2,329,707 | ) | — | (1,230,450 | ) | 1,090,895 | 30,285 | ||||||||||||||||||||||||||||
Miscellaneous Manufacturing | — | 737 | 30,133 | 926,255 | — | — | — | 957,125 | 30,133 | ||||||||||||||||||||||||||||||
Oil & Gas Services | 970,900 | — | — | — | — | — | (970,900 | ) | — | — | |||||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels | 35,276 | 125 | 19,975 | 1,276,590 | (196,668 | ) | — | — | 1,135,298 | 16,677 |
See Notes to Financial Statements
48
Notes to Schedule of Investments (Unaudited) (cont'd)
Beginning balance as of 11/1/14 | Accrued discounts/ (premiums) | Realized gain/loss and change in unrealized appreciation/ (depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 4/30/15 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/15 | |||||||||||||||||||||||||||||||
Personal Products | $ | 940,275 | $ | 818 | $ | 11,540 | $ | 578,928 | $ | (1,531,561 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||
Pharmaceuticals | 2,160,956 | 1,404 | 16,977 | 744,268 | (1,097,081 | ) | — | — | 1,826,524 | 10,087 | |||||||||||||||||||||||||||||
Software | 4,620,490 | 523 | 20,207 | — | — | — | (2,588,950 | ) | 2,052,270 | 20,207 | |||||||||||||||||||||||||||||
Transportation | — | 120 | 22,659 | 1,252,356 | (468,788 | ) | — | — | 806,347 | 14,053 | |||||||||||||||||||||||||||||
Asset-Backed SecuritiesΩ | — | — | — | 1,286,800 | — | — | — | 1,286,800 | — | ||||||||||||||||||||||||||||||
Corporate Debt SecuritiesΩ | |||||||||||||||||||||||||||||||||||||||
Chemicals | — | — | (2,321 | ) | — | (13,770 | ) | 16,857 | — | 766 | (16,091 | ) | |||||||||||||||||||||||||||
Diversified Financial Services | 2,304,120 | — | — | — | — | — | (2,304,120 | ) | — | — | |||||||||||||||||||||||||||||
Total | $ | 25,610,735 | $ | 25,772 | $ | 617,546 | $ | 10,242,143 | $ | (11,549,733 | ) | $ | 7,443,617 | $ | (8,687,420 | ) | $ | 23,702,660 | $ | 555,593 |
‡ As of the period ended April 30, 2015, these investments did not have a material impact on the Fund's net assets and, therefore, disclosure of unobservable inputs used in formulating valuations is not presented.
Ω These securities are valued based on a single quotation obtained from a dealer. The Fund does not have access to unobservable inputs and therefore cannot disclose such inputs used in formulating such quotation.
As of the six months ended April 30, 2015, certain securities were transferred from one level (as of October 31, 2014) to another. $79,078,700 and $2,471,232 was transferred from Level 1 to Level 2 for Absolute Return Multi-Manager and Long Short Multi-Manager, respectively. Interactive provided adjusted prices for these securities as of April 30, 2015, as stated in the description of the valuation methods of foreign equity securities in footnote † above. In addition, $7,443,617 was transferred from Level 2 to Level 3 for Absolute Return Multi-Manager as a result of a decrease in the number of observable quotations that were readily available to the independent pricing service. In addition, $8,687,420 was transferred from Level 3 to Level 2 for Absolute Return Multi-Manager as a result of an increase in the number of observable inputs that were readily available to the independent pricing service. In addition, $1,251,638 was transferred from Level 2 to Level 1 as a result of obtaining quoted prices in the active market.
The following is a summary, categorized by Level, of inputs used to value the Funds' derivatives as of April 30, 2015:
Asset Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Absolute Return Multi-Manager | |||||||||||||||||||
Forward contracts (unrealized appreciation) | $ | — | $ | 1,190,356 | $ | — | $ | 1,190,356 | |||||||||||
Equity swaps (unrealized appreciation) | — | 1,694,005 | — | 1,694,005 | |||||||||||||||
Over the counter credit default swaps (unrealized appreciation) | — | 661,127 | — | 661,127 | |||||||||||||||
Total | $ | — | $ | 3,545,488 | $ | — | $ | 3,545,488 |
See Notes to Financial Statements
49
Notes to Schedule of Investments (Unaudited) (cont'd)
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Long Short Multi-Manager | |||||||||||||||||||
Forward contracts (unrealized appreciation) | $ | — | $ | 30,118 | $ | — | $ | 30,118 | |||||||||||
Equity swaps (unrealized appreciation) | — | 170,244 | — | 170,244 | |||||||||||||||
Total return swaps (unrealized appreciation) | — | 7,650 | — | 7,650 | |||||||||||||||
Total | $ | — | $ | 208,012 | $ | — | $ | 208,012 |
The following is a summary, categorized by Level, of inputs used to value the Funds' investments as of April 30, 2015:
Liability Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3§ | Total | ||||||||||||||||
Absolute Return Multi-Manager | |||||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks Sold Short | |||||||||||||||||||
Building Products | $ | — | $ | (1,100,539 | ) | $ | — | $ | (1,100,539 | ) | |||||||||
Capital Markets | — | (2,243,393 | ) | — | (2,243,393 | ) | |||||||||||||
Chemicals | (8,938,743 | ) | (1,058,101 | ) | — | (9,996,844 | ) | ||||||||||||
Diversified Telecommunication Services | (9,950,790 | ) | (2,648,595 | ) | — | (12,599,385 | ) | ||||||||||||
Electric Utilities | (730,632 | ) | (1,206,598 | ) | — | (1,937,230 | ) | ||||||||||||
Electronic Equipment, Instruments & Components | (2,039,069 | ) | (2,850,715 | ) | — | (4,889,784 | ) | ||||||||||||
Food & Staples Retailing | (7,450,226 | ) | (2,561,509 | ) | — | (10,011,735 | ) | ||||||||||||
Food Products | (9,403,901 | ) | (3,219,693 | ) | — | (12,623,594 | ) | ||||||||||||
Health Care Equipment & Supplies | (15,065,858 | ) | (2,323,757 | ) | — | (17,389,615 | ) | ||||||||||||
Household Durables | (1,701,058 | ) | (445,038 | ) | — | (2,146,096 | ) | ||||||||||||
IT Services | (2,209,727 | ) | — | (97,297 | ) | (2,307,024 | ) | ||||||||||||
Machinery | (14,083,972 | ) | (3,128,639 | ) | — | (17,212,611 | ) | ||||||||||||
Pharmaceuticals | (16,736,992 | ) | (2,817,274 | ) | — | (19,554,266 | ) | ||||||||||||
Other Common Stocks Sold Short^ | (150,158,842 | ) | — | — | (150,158,842 | ) | |||||||||||||
Total Common Stocks Sold Short | (238,469,810 | ) | (25,603,851 | ) | (97,297 | ) | (264,170,958 | ) | |||||||||||
Exchange Traded Funds Sold Short | (153,264,735 | ) | — | — | (153,264,735 | ) | |||||||||||||
Corporate Debt Securities Sold Short^ | — | (10,509,228 | ) | — | (10,509,228 | ) | |||||||||||||
Total Short Positions | $ | (391,734,545 | ) | $ | (36,113,079 | ) | $ | (97,297 | ) | $ | (427,944,921 | ) | |||||||
Long Short Multi-Manager | |||||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks Sold Short | |||||||||||||||||||
Building Products | — | (37,518 | ) | — | (37,518 | ) | |||||||||||||
Capital Markets | — | (74,596 | ) | — | (74,596 | ) | |||||||||||||
Chemicals | (399,980 | ) | (49,945 | ) | — | (449,925 | ) | ||||||||||||
Diversified Telecommunication Services | — | (101,682 | ) | — | (101,682 | ) | |||||||||||||
Electric Utilities | (139,942 | ) | (55,099 | ) | — | (195,041 | ) | ||||||||||||
Electronic Equipment, Instruments & Components | (155,744 | ) | (134,531 | ) | — | (290,275 | ) | ||||||||||||
Food & Staples Retailing | (298,345 | ) | (99,557 | ) | — | (397,902 | ) |
See Notes to Financial Statements
50
Notes to Schedule of Investments (Unaudited) (cont'd)
Level 1 | Level 2 | Level 3§ | Total | ||||||||||||||||
Food Products | $ | (493,409 | ) | $ | (144,110 | ) | $ | — | $ | (637,519 | ) | ||||||||
Health Care Equipment & Supplies | (609,431 | ) | (94,155 | ) | — | (703,586 | ) | ||||||||||||
Household Durables | — | (21,328 | ) | — | (21,328 | ) | |||||||||||||
Machinery | (756,279 | ) | (129,782 | ) | — | (886,061 | ) | ||||||||||||
Pharmaceuticals | (688,086 | ) | (126,200 | ) | — | (814,286 | ) | ||||||||||||
Other Common Stocks Sold Short^ | (6,500,366 | ) | — | — | (6,500,366 | ) | |||||||||||||
Total Common Stocks Sold Short | (10,041,582 | ) | (1,068,503 | ) | — | (11,110,085 | ) | ||||||||||||
Exchange Traded Funds Sold Short | (1,348,625 | ) | — | — | (1,348,625 | ) | |||||||||||||
Total Short Positions | $ | (11,390,207 | ) | $ | (1,068,503 | ) | $ | — | $ | (12,458,710 | ) |
^ The Schedule of Investments provides information on the industry categorization for the portfolio.
§ The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
Beginning balance as of 11/1/14 | Accrued discounts/ (premiums) | Realized gain/loss and change in unrealized appreciation/ (depreciation) | Purchases/ Covers | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 4/30/15 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 4/30/15 | |||||||||||||||||||||||||||||||
Investments in Securities: | |||||||||||||||||||||||||||||||||||||||
Absolute Return Multi-Manager | |||||||||||||||||||||||||||||||||||||||
Common Stocks Sold Short | |||||||||||||||||||||||||||||||||||||||
IT ServicesΩ | $ | — | $ | — | $ | (53,362 | ) | $ | (43,935 | ) | $ | — | $ | — | $ | — | $ | (97,297 | ) | $ | (53,362 | ) | |||||||||||||||||
Total | $ | — | $ | — | $ | (53,362 | ) | $ | (43,935 | ) | $ | — | $ | — | $ | — | $ | (97,297 | ) | $ | (53,362 | ) |
Ω These securities are valued based on a single quotation obtained from a dealer. The Fund does not have access to unobservable inputs and therefore cannot disclose such inputs used in formulating such quotation.
The following is a summary, categorized by Level, of inputs used to value the Funds' derivatives as of April 30, 2015:
Liability Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Absolute Return Multi-Manager | |||||||||||||||||||
Forward contracts (unrealized depreciation) | $ | — | $ | (756,173 | ) | $ | — | $ | (756,173 | ) | |||||||||
Financial futures (unrealized depreciation) | — | (47,206 | ) | — | (47,206 | ) | |||||||||||||
Over the counter credit default swaps (unrealized depreciation) | — | (435,033 | ) | — | (435,033 | ) | |||||||||||||
Centrally cleared credit default index swaps (unrealized depreciation) | — | (1,446,342 | ) | — | (1,446,342 | ) | |||||||||||||
Total return swaps (unrealized depreciation) | — | (392,886 | ) | — | (392,886 | ) | |||||||||||||
Options Written | (2,044,801 | ) | — | — | (2,044,801 | ) | |||||||||||||
Total | $ | (2,044,801 | ) | $ | (3,077,640 | ) | $ | — | $ | (5,122,441 | ) |
See Notes to Financial Statements
51
Notes to Schedule of Investments (Unaudited) (cont'd)
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Long Short Multi-Manager | |||||||||||||||||||
Forward contracts (unrealized depreciation) | $ | — | $ | (32,525 | ) | $ | — | $ | (32,525 | ) | |||||||||
Total return swaps (unrealized depreciation) | — | (10,384 | ) | — | (10,384 | ) | |||||||||||||
Options Written | (17,445 | ) | — | — | (17,445 | ) | |||||||||||||
Total | $ | (17,445 | ) | $ | (42,909 | ) | $ | — | $ | (60,354 | ) |
## At April 30, 2015, selected Fund information on a U.S. federal income tax basis was as follows:
Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||
Absolute Return Multi-Manager | $ | 1,540,833,470 | $ | 68,495,944 | $ | (38,049,544 | ) | $ | 30,446,400 | ||||||||||
Long Short Multi-Manager | 33,026,135 | 1,482,090 | (600,972 | ) | 881,118 |
* Security did not produce income during the last twelve months.
^^ All or a portion of this security has not settled as of April 30, 2015 and thus may not have an interest rate in effect. Interest rates do not take effect until settlement.
± At April 30, 2015, outstanding call and put options written were as follows:
Absolute Return Multi-Manager | |||||||||||||||||||
Name of Issuer | Contracts | Exercise Price | Expiration Date | Market Value of Options | |||||||||||||||
AT&T, Inc., Call | 2,457 | $ | 40 | June 2015 | $ | (12,285 | ) | ||||||||||||
AT&T, Inc., Put | 2,375 | 25 | June 2015 | (4,750 | ) | ||||||||||||||
Delta Air Lines, Inc., Call | 78 | 55 | September 2015 | (6,864 | ) | ||||||||||||||
Delta Air Lines, Inc., Put | 78 | 39 | September 2015 | (11,076 | ) | ||||||||||||||
Dresser-Rand Group, Inc., Call | 343 | 80 | June 2015 | (137,200 | ) | ||||||||||||||
General Electric Co., Put | 2,543 | 23 | January 2016 | (127,150 | ) | ||||||||||||||
iShares Russell 2000 ETF, Put | 1,426 | 90 | September 2015 | (82,708 | ) | ||||||||||||||
MGM Resorts International, Put | 318 | 19 | September 2015 | (31,800 | ) | ||||||||||||||
Molson Coors Brewing Co., Put | 879 | 67.5 | January 2016 | (421,920 | ) | ||||||||||||||
SPDR S&P 500 ETF Trust, Put | 5,000 | 190 | June 2015 | (555,000 | ) | ||||||||||||||
Starwood Hotels & Resorts Worldwide, Inc., Put | 635 | 82.5 | November 2015 | (352,425 | ) | ||||||||||||||
Talisman Energy, Inc., Call | 138 | 8 | July 2015 | (690 | ) | ||||||||||||||
Talisman Energy, Inc., Put | 702 | 7 | June 2015 | (3,510 | ) | ||||||||||||||
Time Warner Cable, Inc., Call | 213 | 155 | May 2015 | (83,070 | ) | ||||||||||||||
United Continental Holdings, Inc., Call | 467 | 72.5 | September 2015 | (86,395 | ) | ||||||||||||||
United Continental Holdings, Inc., Put | 467 | 52.5 | September 2015 | (127,958 | ) | ||||||||||||||
Total | $ | (2,044,801 | ) | ||||||||||||||||
Long Short Multi-Manager | |||||||||||||||||||
Name of Issuer | Contracts | Exercise Price | Expiration Date | Market Value of Options | |||||||||||||||
Delta Air Lines, Inc, Call. | 6 | $ | 55 | September 2015 | $ | (528 | ) | ||||||||||||
Delta Air Lines, Inc., Put | 6 | 39 | September 2015 | (852 | ) | ||||||||||||||
United Continental Holdings, Inc., Call | 35 | 72.5 | September 2015 | (6,475 | ) | ||||||||||||||
United Continental Holdings, Inc., Put | 35 | 52.5 | September 2015 | (9,590 | ) | ||||||||||||||
Total | $ | (17,445 | ) |
See Notes to Financial Statements
52
Notes to Schedule of Investments (Unaudited) (cont'd)
≠ Security had an event of default.
£ All or a portion of this security has been pledged as collateral. At April 30, 2015, Absolute Return Multi-Manager had pledged securities in the amount of $98,795,488 to cover collateral requirements for borrowing in connection with securities sold short and option contracts written. At April 30, 2015, Long Short Multi-Manager had pledged securities in the amount of $324,573 to cover collateral requirements for borrowing in connection with securities sold short and option contracts written.
a Step Bond: Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a rating change made by a rating agency.
c Payment-in-kind (PIK) security for which part of the income earned may be paid as additional principal.
f Value of the security was determined using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security.
ñ Securities were purchased or sold short under Rule 144A of the Securities Act of 1933, as amended (the "1933 Act"), or are private placements and, unless registered under the 1933 Act or exempted from registration, may only be sold to qualified institutional investors. These securities have been deemed by the investment manager to be liquid. At April 30, 2015, these securities amounted to $128,557,991 of long positions and $(2,750,985) of short positions, or 8.30% and (1.8%), respectively, of net assets for Absolute Return Multi-Manager. At April 30, 2015, these securities amounted to $53,837 of long positions or 0.16% of net assets for Long Short Multi-Manager.
N These securities have been deemed by the investment manager to be illiquid. At April 30, 2015, these securities amounted to $46,793,508 of long positions and $(97,297) of short positions, or 3.0% and (0.0%), respectively, of net assets for Absolute Return Multi-Manager.
Ø All or a portion of this security or cash is segregated in connection with obligations for securities sold short and/or delayed delivery purchase commitments and/or call and put options written and/or forward contracts and/or swaps and/or financial futures.
ØØ At April 30, 2015, Absolute Return Multi-Manager had deposited $358,007,566 in one or more accounts to satisfy collateral requirements for borrowing in connection with securities sold short. In addition, Absolute Return Multi-Manager had deposited $15,470,002 in a segregated account for swaps. At April 30, 2015, Long Short Multi-Manager had deposited $12,938,418 in one or more accounts to satisfy collateral requirements for borrowing in connection with securities sold short.
µ Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of April 30, 2015 and their final maturities.
†† As of April 30, 2015, Absolute Return Multi-Manager's value of unfunded loan commitments was $95,529 pursuant to the following loan agreement:
Borrower | Principal Amount | Value | |||||||||
The SI Organization, Inc., Delayed Draw 1st Lien Term Loan, due 11/23/19 | $ | 95,054 | $ | 95,529 |
††† See Note A-12 in the Notes to Financial Statements for the Funds' open positions in derivatives at April 30, 2015.
See Notes to Financial Statements
53
Statements of Assets and Liabilities (Unaudited)
Neuberger Berman Alternative Funds
ABSOLUTE RETURN MULTI-MANAGER FUND | LONG SHORT MULTI-MANAGER FUND | ||||||||||
April 30, 2015 | April 30, 2015 | ||||||||||
Assets | |||||||||||
Investments in securities, at value* (Note A)—see Schedule of Investments: | |||||||||||
Unaffiliated issuers | $ | 1,571,279,870 | $ | 33,907,253 | |||||||
Due from Custodian | 1,605,000 | 13,542 | |||||||||
Foreign Currency* | 23,617,846 | 809,830 | |||||||||
Cash collateral segregated for short sales (Note A-10) | 358,007,566 | 12,938,418 | |||||||||
Cash collateral segregated for swap contracts (Note A-12) | 15,470,002 | — | |||||||||
Dividends and interest receivable | 3,293,940 | 38,213 | |||||||||
Foreign tax reclaims | 68,592 | 1,517 | |||||||||
Receivable for securities sold | 77,051,151 | 1,891,033 | |||||||||
Receivable for Fund shares sold | 5,327,571 | — | |||||||||
Receivable from administrator—net (Note B) | — | 27,004 | |||||||||
Open swap contracts, at value (Note A-12) | 2,355,132 | 177,894 | |||||||||
Receivable for variation margin on open centrally cleared swap contracts (Note A-12) | 21,606 | — | |||||||||
Receivable for variation margin on financial futures contracts (Note A-12) | 32,766 | — | |||||||||
Receivable for open forward foreign currency contracts (Note A-12) | 1,190,356 | 30,118 | |||||||||
Prepaid expenses and other assets | 123,874 | 24,749 | |||||||||
Total Assets | 2,059,445,272 | 49,859,571 | |||||||||
Liabilities | |||||||||||
Investments sold short, at value** (Note A-10) | 427,944,921 | 12,458,710 | |||||||||
Options contracts written, at value*** (Note A-12) | 2,044,801 | 17,445 | |||||||||
Due to Custodian | 2,469,143 | 1,207,143 | |||||||||
Dividends and interest payable for short sales | 762,280 | 19,003 | |||||||||
Open swap contracts, at value (Note A-12) | 827,919 | 10,384 | |||||||||
Payable to administrator—net (Note B) | 418,402 | — | |||||||||
Payable to investment manager (Note B) | 2,083,006 | 47,002 | |||||||||
Payable for securities purchased | 78,289,665 | 1,910,044 | |||||||||
Payable for Fund shares redeemed | 1,574,470 | 54,164 | |||||||||
Payable for open forward foreign currency contracts (Note A-12) | 756,173 | 32,525 | |||||||||
Accrued expenses and other payables | 721,349 | 134,402 | |||||||||
Total Liabilities | 517,892,129 | 15,890,822 | |||||||||
Net Assets | $ | 1,541,553,143 | $ | 33,968,749 | |||||||
Net Assets consist of: | |||||||||||
Paid-in capital | $ | 1,531,015,957 | $ | 32,898,493 | |||||||
Undistributed net investment income (loss) | (7,555,420 | ) | (554,686 | ) | |||||||
Accumulated net realized gains (losses) on investments | (9,724,478 | ) | 533,039 | ||||||||
Net unrealized appreciation (depreciation) in value of investments | 27,817,084 | 1,091,903 | |||||||||
Net Assets | $ | 1,541,553,143 | $ | 33,968,749 | |||||||
Net Assets | |||||||||||
Institutional Class | 1,218,014,973 | 32,833,650 | |||||||||
Class A | 215,715,230 | 813,977 | |||||||||
Class C | 91,304,835 | 321,122 | |||||||||
Class R6 | 16,518,105 | — |
See Notes to Financial Statements
54
Statements of Assets and Liabilities (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
ABSOLUTE RETURN MULTI-MANAGER FUND | LONG SHORT MULTI-MANAGER FUND | ||||||||||
April 30, 2015 | April 30, 2015 | ||||||||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | |||||||||||
Institutional Class | 110,251,529 | 3,098,139 | |||||||||
Class A | 19,616,128 | 77,052 | |||||||||
Class C | 8,474,145 | 30,713 | |||||||||
Class R6 | 1,494,912 | — | |||||||||
Net Asset Value, offering and redemption price per share | |||||||||||
Institutional Class | $ | 11.05 | $ | 10.60 | |||||||
Class R6 | $ | 11.05 | — | ||||||||
Net Asset Value and redemption price per share | |||||||||||
Class A | $ | 11.00 | $ | 10.56 | |||||||
Offering Price per share | |||||||||||
Class A‡ | $ | 11.67 | $ | 11.20 | |||||||
Net Asset Value and offering price per share | |||||||||||
Class C^ | $ | 10.77 | $ | 10.46 | |||||||
*Cost of Investments | |||||||||||
Unaffiliated issuers | $ | 1,540,833,470 | $ | 33,026,135 | |||||||
Total cost of foreign currency | $ | 23,981,931 | $ | 809,299 | |||||||
**Proceeds from investments sold short | $ | 424,603,585 | $ | 12,501,334 | |||||||
***Premium received from option contracts written | $ | 2,722,151 | $ | 20,099 |
‡ On single retail sales of less than $50,000. On sales of $50,000 or more or in certain other circumstances described in the Fund's prospectus, offering price is reduced.
^ Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See Notes to Financial Statements
55
Statements of Operations (Unaudited)
Neuberger Berman Alternative Funds
ABSOLUTE RETURN MULTI-MANAGER FUND | LONG SHORT MULTI-MANAGER FUND | ||||||||||
For the Six Months Ended April 30, 2015 | For the Six Months Ended April 30, 2015 | ||||||||||
Investment Income: | |||||||||||
Income (Note A): | |||||||||||
Dividend income—unaffiliated issuers | $ | 16,681,402 | $ | 226,442 | |||||||
Interest income—unaffiliated issuers | 10,590,705 | 415 | |||||||||
Foreign taxes withheld (Note A-6) | (260,443 | ) | (5,967 | ) | |||||||
Total income | $ | 27,011,664 | $ | 220,890 | |||||||
Expenses: | |||||||||||
Investment management fees (Note B) | 12,920,641 | 279,124 | |||||||||
Administration fees (Note B) | 473,314 | 9,851 | |||||||||
Administration fees (Note B): | |||||||||||
Institutional Class | 557,123 | 14,298 | |||||||||
Class A | 225,654 | 758 | |||||||||
Class C | 92,600 | 307 | |||||||||
Class R6 | 2,147 | — | |||||||||
Distribution fees (Note B): | |||||||||||
Class A | 282,064 | 948 | |||||||||
Class C | 462,998 | 1,537 | |||||||||
Shareholder servicing agent fees: | |||||||||||
Institutional Class | 51,147 | 1,207 | |||||||||
Class A | 43,118 | 156 | |||||||||
Class C | 10,230 | 81 | |||||||||
Class R6 | 1,014 | — | |||||||||
Audit fees | 43,340 | 19,836 | |||||||||
Custodian and accounting fees (Note A) | 355,666 | 73,187 | |||||||||
Legal fees | 94,847 | 66,068 | |||||||||
Registration and filing fees | 117,718 | 40,554 | |||||||||
Reimbursement of expenses previously assumed by Management (Note B) | 564,086 | — | |||||||||
Shareholder reports | 74,384 | 9,917 | |||||||||
Trustees' fees and expenses | 17,835 | 15,929 | |||||||||
Short sales expense (Note A-10) | 1,352,282 | 22,480 | |||||||||
Dividend expense on securities sold short (Note A-10) | 3,963,228 | 114,193 | |||||||||
Miscellaneous | 44,480 | — | |||||||||
Total expenses | 21,749,916 | 670,431 | |||||||||
Expenses reimbursed by Management (Note B) | — | (207,189 | ) | ||||||||
Expenses reduced by custodian fee expense offset arrangement (Note A-14) | (716 | ) | — | ||||||||
Total net expenses | 21,749,200 | 463,242 | |||||||||
Net investment income (loss) | $ | 5,262,464 | $ | (242,352 | ) |
See Notes to Financial Statements
56
Statements of Operations (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
ABSOLUTE RETURN MULTI-MANAGER FUND | LONG SHORT MULTI-MANAGER FUND | ||||||||||
For the Six Months Ended April 30, 2015 | For the Six Months Ended April 30, 2015 | ||||||||||
Realized and Unrealized Gain (Loss) on Investments (Note A): | |||||||||||
Net realized gain (loss) on: | |||||||||||
Sales of investment securities of unaffiliated issuers | $ | 18,344,851 | $ | 899,625 | |||||||
Sales of investment securities of unaffiliated issuers sold short | (17,434,894 | ) | (599,071 | ) | |||||||
Forward foreign currency contracts | 16,065,609 | 582,342 | |||||||||
Foreign currency | (982,458 | ) | (97,891 | ) | |||||||
Financial futures contracts | (53,122 | ) | — | ||||||||
Option contracts written | 3,227,449 | (921 | ) | ||||||||
Swap contracts | (6,796,349 | ) | (123,332 | ) | |||||||
Change in net unrealized appreciation (depreciation) in value of: | |||||||||||
Unaffiliated investment securities | 27,360,035 | 243,731 | |||||||||
Unaffiliated investment securities sold short | 7,223,967 | 356,268 | |||||||||
Forward foreign currency contracts | (8,519,403 | ) | (336,539 | ) | |||||||
Foreign currency | 502,721 | 39,003 | |||||||||
Financial futures contracts | (8,437 | ) | — | ||||||||
Option contracts written | (203,506 | ) | 2,654 | ||||||||
Swap contracts | 5,072,425 | 182,036 | |||||||||
Net gain (loss) on investments | 43,798,888 | 1,147,905 | |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 49,061,352 | $ | 905,553 |
See Notes to Financial Statements
57
Statements of Changes in Net Assets
Neuberger Berman Alternative Funds
ABSOLUTE RETURN MULTI-MANAGER FUND | LONG SHORT MULTI-MANAGER FUND | ||||||||||||||||||
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | Six Months Ended April 30, 2015 (Unaudited) | Period from December 19, 2013 (Commencement of Operations) to October 31, 2014 | ||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||
From Operations (Note A): | |||||||||||||||||||
Net investment income (loss) | $ | 5,262,464 | $ | (2,746,039 | ) | $ | (242,352 | ) | $ | (240,221 | ) | ||||||||
Net realized gain (loss) on investments | 12,371,086 | 14,520,979 | 660,752 | 68,059 | |||||||||||||||
Change in net unrealized appreciation (depreciation) of investments | 31,427,802 | (8,859,928 | ) | 487,153 | 604,750 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | 49,061,352 | 2,915,012 | 905,553 | 432,588 | |||||||||||||||
Distributions to Shareholders From (Note A): | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Institutional Class | (8,525,491 | ) | — | (45,980 | ) | — | |||||||||||||
Class A | (487,888 | ) | — | — | — | ||||||||||||||
Class R6 | (230,674 | ) | — | — | — | ||||||||||||||
Net realized gain on investments: | |||||||||||||||||||
Institutional Class | (27,552,033 | ) | (2,978,909 | ) | (215,474 | ) | — | ||||||||||||
Class A | (5,035,780 | ) | (1,210,727 | ) | (4,770 | ) | — | ||||||||||||
Class C | (2,071,630 | ) | (239,295 | ) | (2,078 | ) | — | ||||||||||||
Class R6 | (688,496 | ) | — | — | — | ||||||||||||||
Total distributions to shareholders | (44,591,992 | ) | (4,428,931 | ) | (268,302 | ) | — | ||||||||||||
From Fund Share Transactions (Note D): | |||||||||||||||||||
Proceeds from shares sold: | |||||||||||||||||||
Institutional Class | 312,514,905 | 1,255,772,758 | 6,186,299 | 31,805,466 | |||||||||||||||
Class A | 53,425,536 | 410,998,109 | 351,636 | 1,304,866 | |||||||||||||||
Class C | 11,467,847 | 82,073,906 | 134,496 | 263,695 | |||||||||||||||
Class R6 | — | 39,264,828 | — | — | |||||||||||||||
Proceeds from reinvestment of dividends and distributions: | |||||||||||||||||||
Institutional Class | 31,496,277 | 2,604,571 | 253,039 | — | |||||||||||||||
Class A | 4,809,481 | 1,098,266 | 4,770 | — | |||||||||||||||
Class C | 1,512,286 | 179,005 | 2,058 | — | |||||||||||||||
Class R6 | 919,170 | — | — | — | |||||||||||||||
Payments for shares redeemed: | |||||||||||||||||||
Institutional Class | (404,403,724 | ) | (305,059,216 | ) | (5,043,113 | ) | (1,405,540 | ) | |||||||||||
Class A | (86,004,882 | ) | (296,348,593 | ) | (424,932 | ) | (445,888 | ) | |||||||||||
Class C | (17,362,749 | ) | (7,428,396 | ) | (69,746 | ) | (18,196 | ) | |||||||||||
Class R6 | (16,603,011 | ) | (6,625,000 | ) | — | — | |||||||||||||
Net increase (decrease) from Fund share transactions | (108,228,864 | ) | 1,176,530,238 | 1,394,507 | 31,504,403 | ||||||||||||||
Net Increase (Decrease) in Net Assets | (103,759,504 | ) | 1,175,016,319 | 2,031,758 | 31,936,991 | ||||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of period | 1,645,312,647 | 470,296,328 | 31,936,991 | — | |||||||||||||||
End of period | $ | 1,541,553,143 | $ | 1,645,312,647 | $ | 33,968,749 | $ | 31,936,991 | |||||||||||
Undistributed net investment income (loss) at end of period | (7,555,420 | ) | (3,573,831 | ) | (554,686 | ) | (266,354 | ) |
See Notes to Financial Statements
58
Notes to Financial Statements Alternative and
Multi-Asset Class Funds (Unaudited)
Note A—Summary of Significant Accounting Policies:
1 General: Neuberger Berman Alternative Funds (the "Trust") is a Delaware statutory trust organized pursuant to an Amended and Restated Trust Instrument dated March 27, 2014. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"), and its shares are registered under the 1933 Act. Each Fund is a separate operating series of the Trust, and is diversified. Each Fund offers Institutional Class shares, Class A shares and Class C shares. Absolute Return Multi-Manager also offers Class R6 shares. Long Short Multi-Manager had no operations until December 19, 2013, other than matters relating to its organization and registration of shares under the 1933 Act. The Board may establish additional series or classes of shares without the approval of shareholders.
The assets of each Fund belong only to that Fund, and the liabilities of each Fund are borne solely by that Fund and no other.
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 "Financial Services—Investment Companies."
The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("GAAP") requires Management to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates.
2 Portfolio valuation: Investment securities are valued as indicated in the notes following the Funds' Schedule of Investments.
3 Foreign currency translation: The accounting records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars using the exchange rate as of the end of regular trading on the NYSE on business days, usually 4:00 p.m. Eastern time, to determine the value of investments, other assets and liabilities. Purchase and sale prices of securities, and income and expenses, are translated into U.S. dollars at the prevailing rate of exchange on the respective dates of such transactions. Net unrealized foreign currency gain (loss), if any, arises from changes in the value of assets and liabilities, other than investments in securities, as a result of changes in exchange rates and is stated separately in the Statements of Operations.
4 Securities transactions and investment income: Securities transactions are recorded on trade date for financial reporting purposes. Dividend income is recorded on the ex-dividend date or, for certain foreign dividends, as soon as the Fund becomes aware of the dividends. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income, including accretion of discount (adjusted for original issue discount, where applicable) and amortization of premium, where applicable, and accretion of discount on short-term investments, if any, is recorded on the accrual basis. Realized gains and losses from securities transactions and foreign currency transactions, if any, are recorded on the basis of identified cost and stated separately in the Statements of Operations.
5 Income tax information: Each Fund is treated as a separate entity for U.S. federal income tax purposes. It is the policy of each fund to continue to qualify for treatment as regulated investment companies ("RIC") by complying with the requirements of the U.S. Internal Revenue Code applicable to RICs and to distribute substantially all of its net investment income and net realized capital gains to its shareholders. To the extent a Fund distributes substantially all of its net investment income and net realized capital gains to shareholders, no federal income or excise tax provision is required.
59
The Funds have adopted the provisions of ASC 740 "Income Taxes" ("ASC 740"). ASC 740 sets forth a minimum threshold for financial statement recognition of a tax position taken, or expected to be taken, in a tax return. The Funds recognize interest and penalties, if any, related to unrecognized tax positions as an income tax expense in the Statements of Operations. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the tax years for which the applicable statutes of limitations have not yet expired. As of April 30, 2015, the Funds did not have any unrecognized tax positions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities held by each Fund, timing differences and differing characterization of distributions made by each Fund.
As determined on October 31, 2014, permanent differences resulting primarily from different book and tax accounting were reclassified at year end. Such differences may be attributed to the tax treatment of one or more of the following: netting of net ordinary losses with short-term capital gains, income recognized on swap transactions, non-deductible stock issuance costs, the tax treatment of foreign currency gains and losses, payments in lieu of dividends on short sales and gains from passive foreign investment companies. These reclassifications had no effect on net income, net asset value ("NAV") or NAV per share of each Fund. For the year ended October 31, 2014, the Funds recorded the following permanent reclassifications:
Paid-in Capital | Undistributed Net Investment Income (Loss) | Accumulated Net Realized Gains (Losses) on Investments | |||||||||||||
Absolute Return Multi-Manager | $ | 84,246 | $ | (853,356 | ) | $ | 769,110 | ||||||||
Long Short Multi-Manager | (417 | ) | (26,133 | ) | 26,550 |
The tax character of distributions paid during the period ended October 31, 2014 and the year ended October 31, 2013 was as follows:
Distributions Paid From: | |||||||||||||||||||||||||||||||||||||||||||
Ordinary Income | Tax-Exempt Income | Long-Term Capital Gain | Return of Capital | Total | |||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | 2014 | 2013 | 2014 | 2013 | 2014 | 2013 | ||||||||||||||||||||||||||||||||||
Absolute Return Multi-Manager | $ | 4,428,931 | $ | 190,445 | $ | — | $ | — | $ | — | $ | 2,411 | $ | — | $ | — | $ | 4,428,931 | $ | 192,856 | |||||||||||||||||||||||
Long Short Multi-Manager | — | (1) | — | — | (1) | — | — | (1) | — | — | (1) | — | — | (1) | — |
(1) Period from December 19, 2013 (commencement of operations) to October 31, 2014.
As of October 31, 2014, the components of distributable earnings (accumulated losses) on a U.S. federal income tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gain | Unrealized Appreciation (Depreciation) | Loss Carryforwards and Deferrals | Other Temporary Differences | Total | ||||||||||||||||||||||
Absolute Return Multi-Manager | $ | 37,448,192 | $ | — | $ | (26,844,450 | ) | $ | — | $ | (4,535,916 | ) | $ | 6,067,826 | |||||||||||||
Long Short Multi-Manager | 281,920 | — | 224,305 | — | (73,220 | ) | 433,005 |
60
The differences between book basis and tax basis distributable earnings are primarily due to: wash sale loss deferrals, amortization of organizational costs, mark-to-market on certain swap contract transactions, unsettled wash sale loss deferrals, straddle loss deferrals, mark-to-market adjustments on passive foreign investment companies, constructive sales gains and delayed settlement compensation on bank loans.
To the extent each Fund's net realized capital gains, if any, can be offset by capital loss carryforwards, if any, it is the policy of each Fund not to distribute such gains.
6 Foreign taxes: Foreign taxes withheld, if any, represent amounts withheld by foreign tax authorities, net of refunds recoverable.
7 Distributions to shareholders: Each Fund may earn income, net of expenses, daily on its investments. Distributions from net investment income and net realized capital gains, if any, generally are distributed once a year (usually in December) and are recorded on the ex-date.
8 Expense allocation: Certain expenses are applicable to multiple funds within the complex of related investment companies. Expenses directly attributable to a Fund are charged to that Fund. Expenses of the Trust that are not directly attributable to a particular series of the Trust (e.g., a Fund) are allocated among the series of the Trust, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the series can otherwise be made fairly. Expenses borne by the complex of related investment companies, which includes open-end and closed-end investment companies for which Management serves as investment manager, that are not directly attributable to a particular investment company in the complex (e.g., the Trust) or series thereof are allocated among the investment companies in the complex or series thereof, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the investment companies in the complex or series thereof can otherwise be made fairly. Each Fund's expenses (other than those specific to each class) are allocated proportionally each day among the classes based upon the relative net assets of each class.
9 Investments in foreign securities: Investing in foreign securities may involve certain sovereign and other risks, in addition to the credit and market risks normally associated with domestic securities. These additional risks include the possibility of adverse political and economic developments (including political instability, nationalization, expropriation, or confiscatory taxation) and the potentially adverse effects of unavailability of public information regarding issuers, less governmental supervision and regulation of financial markets, reduced liquidity of certain financial markets, and the lack of uniform accounting, auditing, and financial reporting standards or the application of standards that are different or less stringent than those applied in the United States. Foreign securities also may experience greater price volatility, higher rates of inflation, and delays in settlement.
10 Securities sold short: Each Fund may engage in short sales, which are sales of securities which have been borrowed from a third party on the expectation that the market price will decline. If the price of the securities decreases, a Fund will make a profit by purchasing the securities in the open market at a price lower than the one at which it sold the securities. If the price of the securities increases, a Fund may have to cover its short positions at a price higher than the short sale price, resulting in a loss. Gains are limited to the price at which a Fund sold the security short, while losses are potentially unlimited in size. The Funds pledge securities and/or other assets to the lender as collateral. Proceeds received from short sales may be maintained by the lender as collateral or may be released to the Funds and used to purchase additional securities or for any other purpose. Proceeds maintained by the lender are included in the "Cash collateral segregated for short sales" on the Statements of Assets and Liabilities. The Funds are required to segregate an amount of cash, cash equivalents or other appropriate liquid marketable securities with the custodian in an amount at least equal to the current market value of the securities sold short (less any additional collateral held by the lender). The Funds are contractually responsible to the lender for any dividends and interest payable on securities while those securities are in a short position. These dividends and interest are recorded as an expense of the Funds and are excluded from the contractual expense limitation. At April 30, 2015, Absolute Return Multi-Manager and Long Short Multi-Manager had pledged cash in the amount of $358,007,566 and $12,938,418, respectively, to J.P. Morgan Chase Bank, N.A. ("JPM"), as collateral for short sales.
61
In addition, JPM has a perfected security interest in these Absolute Return Multi-Manager and Long Short Multi-Manager assets. At April 30, 2015, Absolute Return Multi-Manager and Long Short Multi-Manager had pledged securities in the amount of $98,795,488 and $324,573, respectively, to JPM to cover collateral requirements for borrowing in connection with securities sold short.
11 Investment company securities and exchange-traded funds: The Funds may invest in shares of other registered investment companies, including exchange-traded funds ("ETFs"), within the limitations prescribed by the 1940 Act. Some ETFs seek to track the performance of a particular market index. These indices include both broad-based market indices and more narrowly-based indices, including those relating to particular sectors, markets, regions or industries. However, some ETFs have actively-managed investment objectives. ETF shares are traded like traditional equity securities on a national securities exchange or NASDAQ. A Fund will indirectly bear its proportionate share of any management fees and other expenses paid by such other investment companies, which will increase expenses and decrease returns.
12 Derivative instruments: During the six months ended April 30, 2015, the Funds' use of derivatives, as described below, for each Fund, was limited to over the counter ("OTC") credit default swaps, centrally cleared credit default swaps, financial futures, equity swaps, total return swaps, forward contracts, and purchased and written option transactions. The Funds have adopted the provisions of ASC 815 "Derivatives and Hedging" ("ASC 815"). The disclosure requirements of ASC 815 distinguish between derivatives that qualify for hedge accounting and those that do not. Because investment companies value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting. Accordingly, even though a Fund's investments in derivatives may represent economic hedges, they are considered non-hedge transactions for purposes of this disclosure.
Credit default swap contracts: During the six months ended April 30, 2015, Absolute Return Multi-Manager used centrally cleared and OTC credit default swaps as part of its investment strategies, to hedge against unfavorable changes in the value of investments and to protect against adverse movements in interest rates or credit performance with counterparties. When a Fund is the buyer of an OTC credit default swap contract, it is entitled to receive the par (or other agreed-upon) value of a referenced debt obligation (or basket of debt obligations) from the counterparty if a credit event occurs. In return, the Fund pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Fund would have spent the stream of payments and received no proceeds from the contract. When a Fund is the seller of an OTC credit default swap contract, it receives the stream of payments, but is obligated to pay to the buyer of the protection an amount up to the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If a Fund is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Fund could be required to make (or the risk of loss) would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Fund for the same referenced obligation. As the seller, the Fund may add economic leverage to its portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the swap. The net periodic payments paid or received on the swap contract are accrued daily as a component of unrealized appreciation (depreciation) and are recorded as realized gain upon receipt or realized loss upon payment. The Fund also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation of the swap. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the centrally clearing party daily. For financial reporting purposes, unamortized upfront payments, if any, are netted with unrealized appreciation or depreciation on swap contracts to determine the market value of swaps as presented in the table below.
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At April 30, 2015, Absolute Return Multi-Manager had outstanding OTC credit default swaps as follows:
OTC Credit Default Swap Contracts—Buy Protection
Swap Counterparty | Reference Entity | Notional Amount(1) | Contract Annual Fixed Rate* | Termination Date | Credit Spread at April 30, 2015 | Market Value | Unamortized Upfront Payments Received (Paid) | Unrealized Appreciation (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Total Fair Value | |||||||||||||||||||||||||||||||||
J.P. Morgan Chase Bank, N.A. | Avon Products, Inc., 6.500%, 03/01/19 | $ | 2,000,000 | 1.000 | % | March 20, 2020 | 5.477 | $ | 378,087 | $ | (328,112 | ) | $ | 49,975 | $ | (2,278 | ) | $ | 47,697 | ||||||||||||||||||||||||
J.P. Morgan Chase Bank, N.A. | Best Buy Co., Inc., 5.500%, 03/15/21 | 3,000,000 | 5.000 | March 20, 2020 | 2.200 | (385,758 | ) | 309,109 | (76,649 | ) | (17,083 | ) | (93,732 | ) | |||||||||||||||||||||||||||||
J.P. Morgan Chase Bank, N.A. | Darden Restaurants, Inc., 6.200%, 10/15/17 | 5,000,000 | 1.000 | March 20, 2020 | 0.899 | (26,498 | ) | (151,035 | ) | (177,533 | ) | (5,694 | ) | (183,227 | ) | ||||||||||||||||||||||||||||
J.P. Morgan Chase Bank, N.A. | JC Penney Co., Inc., 6.375%, 10/15/36 | 2,000,000 | 5.000 | March 20, 2020 | 6.726 | 137,308 | (321,580 | ) | (184,271 | ) | (11,389 | ) | (195,660 | ) | |||||||||||||||||||||||||||||
J.P. Morgan Chase Bank, N.A. | JC Penney Co., Inc., 6.375%, 10/15/36 | 1,000,000 | 5.000 | March 20, 2020 | 6.726 | 68,654 | (163,205 | ) | (94,551 | ) | (5,694 | ) | (100,245 | ) | |||||||||||||||||||||||||||||
J.P. Morgan Chase Bank, N.A. | Staples, Inc., 2.750%, 01/12/18 | 3,000,000 | 1.000 | March 20, 2020 | 1.534 | 74,203 | (99,654 | ) | (25,451 | ) | (3,417 | ) | (28,868 | ) | |||||||||||||||||||||||||||||
J.P. Morgan Chase Bank, N.A. | Staples, Inc., 4.375%, 01/12/23 | 1,000,000 | 1.000 | September 20, 2019 | 1.287 | 12,678 | (44,594 | ) | (31,916 | ) | (1,139 | ) | (33,055 | ) | |||||||||||||||||||||||||||||
J.P. Morgan Chase Bank, N.A. | United States Steel Corp., 6.650%, 06/01/37 | 2,000,000 | 5.000 | June 20, 2020 | 5.298 | 25,503 | (59,465 | ) | (33,962 | ) | (11,389 | ) | (45,351 | ) | |||||||||||||||||||||||||||||
Total | $ | 284,177 | $ | (858,536 | ) | $ | (574,358 | ) | $ | (58,083 | ) | $ | (632,441 | ) |
* The contract annual fixed rate represents the annual fixed rate of interest paid by the Fund (as a buyer of protection) on the notional amount of the OTC credit default swap contract.
(1) For the six months ended April 30, 2015, the average notional value of OTC credit default swaps for Absolute Return Multi-Manager was $18,142,857.
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Certain clearinghouses currently offer clearing for limited types of derivative transactions, including certain credit default swaps. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty that is then cleared through a central clearinghouse. Upon acceptance of a swap by a central clearinghouse, the original swap is extinguished and replaced with a swap with the clearinghouse, thereby reducing or eliminating the Fund's exposure to the credit risk of the original counterparty. A Fund typically will be required to post specified levels of both initial and variation margin with the clearinghouse or at the instruction of the clearinghouse; the margin required by a clearinghouse may be greater than the margin the Fund would be required to post in an uncleared derivative transaction. For the six months ended April 30, 2015, only the credit default index swaps in Absolute Return was centrally cleared.
At April 30, 2015, Absolute Return Multi-Manager had outstanding centrally cleared credit default index swaps as follows:
Absolute Return Multi-Manager Fund |
Centrally Cleared Credit Default Swap Index Contracts—Buy Protection
Swap Counterparty | Reference Entity | Notional Amount(1) | Contract Annual Fixed Rate* | Termination Date | Credit Spread at April 30, 2015 | Market Value | Unamortized Upfront Payments Received (Paid) | Unrealized Appreciation (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Total Fair Value | |||||||||||||||||||||||||||||||||||||
ICE Clear Credit | CDX North America Investment Grade | $ | 10,000,000 | 1.000 | December 20, 2019 | 0.636 | $ | (162,642 | ) | $ | (104,570 | ) | $ | (58,072 | ) | $ | (11,389 | ) | $ | (69,461 | ) | ||||||||||||||||||||||||||
ICE Clear Credit | iTraxx Europe Crossover | 11,000,000 | 5.000 | December 20, 2019 | 2.701 | (1,201,977 | ) | (725,954 | ) | (476,022 | ) | (70,334 | ) | (546,356 | ) | ||||||||||||||||||||||||||||||||
Index | |||||||||||||||||||||||||||||||||||||||||||||||
Total | $(1,364,619) | $(830,524) | $(534,094) | $(81,723) | $(615,817) |
* The contract annual fixed rate represents the annual fixed rate of interest paid by the Fund (as a buyer of protection) on the notional amount of the credit default index swaps.
(1) For the six months ended April 30, 2015, the average notional value of credit default index swaps for Absolute Return Multi-Manager was $22,445,840.
Financial futures contracts: During the six months ended April 30, 2015, Absolute Return Multi-Manager used financial futures for economic hedging purposes. At April 30, 2015, Long Short Multi-Manager did not have any outstanding financial futures.
At the time a Fund enters into a financial futures contract, it is required to deposit with the futures commission merchant a specified amount of cash or liquid securities, known as "initial margin," which is a percentage of the value of the financial futures contract being traded that is set by the exchange upon which the futures contract is traded. Each day, the futures contract is valued at the official settlement price of the board of trade or U.S. commodity exchange on which such futures contract is traded. Subsequent payments, known as "variation margin," to and from the broker are made on a daily basis as the market price of the financial futures contract fluctuates. Daily variation margin adjustments, arising from this "mark to market," are recorded by a Fund as unrealized gains or losses.
Although some financial futures by their terms call for actual delivery or acquisition of the underlying securities or currency, in most cases the contracts are closed out prior to delivery by offsetting purchases or sales of matching financial futures. When the contracts are closed, the Fund recognizes a gain or loss. Risks of entering into futures contracts include the possibility there may be an illiquid market, possibly at a time of rapidly declining prices, and/or a change in the value of the contract may not correlate with changes in the value of the underlying securities. Futures executed on regulated futures exchanges have minimal counterparty risk to a fund because the exchange's
64
clearinghouse assumes the position of the counterparty in each transaction. Thus, a Fund is exposed to risk only in connection with the clearinghouse and not in connection with the original counterparty to the transaction.
For U.S. federal income tax purposes, the futures transactions undertaken by a Fund may cause that Fund to recognize gains or losses from marking contracts to market even though its positions have not been sold or terminated, may affect the character of the gains or losses recognized as long-term or short-term, and may affect the timing of some capital gains and losses realized by the Fund. Also, a Fund's losses on transactions involving futures contracts may be deferred rather than being taken into account currently in calculating such Fund's taxable income.
At April 30, 2015, open positions in financial futures contracts were as follows:
Absolute Return Multi-Manager Fund | |||||||||||||||
Expiration | Open Contracts | Position | Unrealized Appreciation (Depreciation) | ||||||||||||
June 2015 | 45 U.S. Treasury Note 2 Year | Short | $ | (47,206 | ) |
During the six months ended April 30, 2015, the average notional value of financial futures contracts was $(9,861,830) for short positions.
Equity swap contracts: During the six months ended April 30, 2015, Absolute Return Multi-Manager used equity swaps to provide investment exposure to certain investments, primarily foreign securities. Long Short Multi-Manager used equity swaps to provide investment exposure to certain foreign investments. Equity swaps are two-party contracts in which counterparties exchange the return on a specified reference security, basket of securities, security index or index component for the return based on a fixed or floating interest rate on another equity security or basket of securities during the period of the swap. Equity swaps are marked to market daily based on the value of the underlying reference entity and the change, if any, is recorded as an unrealized gain or loss. Equity swaps normally do not involve the delivery of securities or other underlying assets. If the other party to an equity swap defaults, a Fund's risk of loss consists of the net amount of payments that such Fund is contractually entitled to receive, if any. Equity swaps are derivatives and their value can be very volatile. To the extent that the Adviser or Sub-Adviser, as applicable, does not accurately analyze and predict future market trends, the values of assets or economic factors, a Fund may suffer a loss, which may exceed the related amounts shown in the Statements of Assets and Liabilities. Periodic payments received or paid by a Fund are recorded as realized gains or losses.
At April 30, 2015, the outstanding equity swaps* for the Funds were as follows:
Absolute Return Multi-Manager | |||||||||||
Counterparty | Description | Value | |||||||||
J.P. Morgan Chase Bank, N.A. | The Fund receives or pays the total return on long and short positions and pays or receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions. | $ | 1,694,005 |
* The following table represents the individual long and short positions and related values of the equity swaps as of April 30, 2015.
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions | |||||||||||||||
Brazil | |||||||||||||||
Porto Sudeste Royalties FIP | 3,857,792 | $ | 4,664,047 | $ | (1,527,057 | ) | |||||||||
SLC Agricola SA | 121,749 | 574,206 | 130,924 | ||||||||||||
(1,396,133 | ) |
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Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Canada | |||||||||||||||
Athabasca Oil Corp. | 1,658,318 | $ | 3,185,771 | $ | (148,156 | ) | |||||||||
France | |||||||||||||||
Alstom SA | 72,521 | 2,235,742 | 47,154 | ||||||||||||
Klepierre | 21,287 | 1,011,868 | 23,094 | ||||||||||||
Plastic Omnium SA | 77,366 | 1,773,397 | 390,110 | ||||||||||||
Vallourec SA | 19,600 | 439,203 | 22,962 | ||||||||||||
483,320 | |||||||||||||||
Hong Kong | |||||||||||||||
Hutchison Whampoa Ltd. | 233,873 | 2,976,083 | 469,905 | ||||||||||||
Ireland | |||||||||||||||
Bank of Ireland | 5,619,739 | 2,188,857 | (11,864 | ) | |||||||||||
CRH PLC | 37,524 | 1,035,576 | 22,615 | ||||||||||||
Kerry Group PLC | 22,449 | 1,640,954 | 10,851 | ||||||||||||
Origin Enterprises PLC | 68,500 | 635,328 | (17,699 | ) | |||||||||||
Permanent TSB Group Holdings PLC | 85,200 | 431,067 | 47,267 | ||||||||||||
51,170 | |||||||||||||||
United Kingdom | |||||||||||||||
Aldermore Group PLC | 295,993 | 1,003,372 | 64,349 | ||||||||||||
Associated British Foods PLC | 27,216 | 1,109,986 | 83,570 | ||||||||||||
AstraZeneca PLC | 30,373 | 2,114,849 | (18,466 | ) | |||||||||||
British American Tobacco PLC | 21,061 | 1,151,098 | 10,308 | ||||||||||||
Close Brothers Group PLC | 35,599 | 830,999 | 5,062 | ||||||||||||
Henderson Group PLC | 35,695 | 157,580 | (4,546 | ) | |||||||||||
Infinis Energy PLC | 432,412 | 1,719,036 | (460,561 | ) | |||||||||||
Pearson PLC | 46,272 | 954,212 | (16,649 | ) | |||||||||||
Prudential PLC | 66,751 | 1,599,969 | 69,150 | ||||||||||||
Randgold Resources Ltd. | 14,415 | 1,075,180 | 23,205 | ||||||||||||
Rexam PLC | 469,471 | 4,148,986 | 27,112 | ||||||||||||
Spire Healthcare Group PLC | 88,979 | 443,855 | (6,107 | ) | |||||||||||
St. James's Place PLC | 107,939 | 1,270,384 | 208,367 | ||||||||||||
Standard Chartered PLC | 51,003 | 759,102 | 78,597 | ||||||||||||
UBM PLC | 130,904 | 976,306 | 157,987 | ||||||||||||
United Utilities Group PLC | 75,222 | 1,050,695 | 70,478 | ||||||||||||
291,856 | |||||||||||||||
United States | |||||||||||||||
Atlas Energy Group LLC | 107,796 | 1 | 835,418 | ||||||||||||
Safeway, Inc. | 858,584 | — | 149,737 | ||||||||||||
985,155 | |||||||||||||||
Total Long Positions of Equity Swaps | 737,117 |
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Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Short Positions | |||||||||||||||
France | |||||||||||||||
L'Oreal SA | (5,452 | ) | $ | (947,667 | ) | $ | (95,790 | ) | |||||||
LVMH Moet Hennessy Louis Vuitton SA | (5,786 | ) | (965,254 | ) | (52,146 | ) | |||||||||
Sanofi | (13,026 | ) | (1,127,841 | ) | (206,073 | ) | |||||||||
(354,009 | ) | ||||||||||||||
Hong Kong | |||||||||||||||
CK Hutchison Holdings Ltd. | (159,969 | ) | (2,922,917 | ) | (554,872 | ) | |||||||||
Ireland | |||||||||||||||
Experian PLC | (63,670 | ) | (1,129,703 | ) | (11,824 | ) | |||||||||
Spain | |||||||||||||||
Mediaset Espana Comunicacion SA | (93,868 | ) | (1,080,564 | ) | (196,353 | ) | |||||||||
Total Short Positions of Equity Swaps | (1,117,058 | ) | |||||||||||||
Total Long and Short Positions of Equity Swaps | (379,941 | ) | |||||||||||||
Financing Costs and Other Payables | 2,073,946 | ||||||||||||||
Equity Swaps, at Value | $ | 1,694,005 |
(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.
(b) For the period ended April 30, 2015, the average notional value of equity swaps was $64,243,865 for long positions and $(17,431,733) for short positions, respectively, for Absolute Return Multi-Manager.
Long Short Multi-Manager | |||||||||||
Counterparty | Description | Value | |||||||||
J.P. Morgan Chase Bank, N.A. | The Fund receives or pays the total return on long and short positions and pays or receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions. | $ | 170,244 |
* The following table represents the individual long and short positions and related values of the equity swaps as of April 30, 2015.
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions | |||||||||||||||
Brazil | |||||||||||||||
SLC Agricola SA | 9,286 | $ | 47,204 | $ | 6,578 | ||||||||||
Canada | |||||||||||||||
Veresen, Inc. | 4,453 | 54,162 | 12,791 | ||||||||||||
France | |||||||||||||||
Alstom SA | 2,416 | 75,029 | 1,024 | ||||||||||||
Klepierre | 707 | 33,737 | 636 | ||||||||||||
Plastic Omnium SA | 2,573 | 61,972 | 9,981 | ||||||||||||
Vallourec SA | 650 | 14,565 | 761 | ||||||||||||
12,402 |
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Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Ireland | |||||||||||||||
Bank of Ireland | 187,352 | $ | 73,144 | $ | (567 | ) | |||||||||
CRH PLC | 1,251 | 34,878 | 401 | ||||||||||||
Kerry Group PLC | 748 | 54,675 | 364 | ||||||||||||
Origin Enterprises PLC | 2,300 | 21,332 | (594 | ) | |||||||||||
Permanent TSB Group Holdings PLC | 2,900 | 14,672 | 1,609 | ||||||||||||
1,213 | |||||||||||||||
United Kingdom | |||||||||||||||
Aldermore Group PLC | 9,836 | 33,531 | 1,950 | ||||||||||||
Associated British Foods PLC | 905 | 37,699 | 1,990 | ||||||||||||
AstraZeneca PLC | 1,010 | 69,945 | (233 | ) | |||||||||||
British American Tobacco PLC | 701 | 38,593 | 63 | ||||||||||||
Close Brothers Group PLC | 1,187 | 28,146 | (269 | ) | |||||||||||
Henderson Group PLC | 1,191 | 5,258 | (152 | ) | |||||||||||
Infinis Energy PLC | 16,649 | 55,537 | (7,083 | ) | |||||||||||
Pearson PLC | 1,539 | 33,465 | (2,282 | ) | |||||||||||
Prudential PLC | 2,221 | 53,436 | 2,100 | ||||||||||||
Randgold Resources Ltd. | 479 | 35,727 | 771 | ||||||||||||
Spire Healthcare Group PLC | 2,962 | 14,587 | (15 | ) | |||||||||||
St. James's Place PLC | 3,594 | 44,601 | 4,636 | ||||||||||||
Standard Chartered PLC | 1,697 | 25,298 | 2,574 | ||||||||||||
UBM PLC | 4,355 | 33,090 | 4,646 | ||||||||||||
United Utilities Group PLC | 2,504 | 34,976 | 2,346 | ||||||||||||
11,042 | |||||||||||||||
Total Long Positions of Equity Swaps | 44,026 | ||||||||||||||
Short Positions | |||||||||||||||
France | |||||||||||||||
L'Oreal SA | (179 | ) | (32,162 | ) | (2,096 | ) | |||||||||
LVMH Moet Hennessy Louis Vuitton SA | (194 | ) | (34,248 | ) | 135 | ||||||||||
Sanofi | (433 | ) | (37,982 | ) | (6,358 | ) | |||||||||
(8,319 | ) | ||||||||||||||
Ireland | |||||||||||||||
Experian PLC | (2,122 | ) | (37,571 | ) | (474 | ) | |||||||||
Spain | |||||||||||||||
Mediaset Espana Comunicacion SA | (3,123 | ) | (36,502 | ) | (5,981 | ) | |||||||||
Total Short Positions of Equity Swaps | (14,774 | ) | |||||||||||||
Total Long and Short Positions of Equity Swaps | 29,252 | ||||||||||||||
Financing Costs and Other Payables | 140,992 | ||||||||||||||
Equity Swaps, at Value | $ | 170,244 |
(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.
(b) For the period ended April 30, 2015, the average notional value of equity swaps was $857,441 for long positions and $(132,006) for short positions, respectively, for Long Short Multi-Manager.
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Total return swap contracts: During the six months ended April 30, 2015, Absolute Return Multi-Manager used total return swaps to hedge certain indices and provide investment exposure to certain investments, primarily foreign securities. Long Short Multi-Manager used total return swaps to hedge certain indices and provide investment exposure to certain foreign investments. Total return swaps involve commitments to pay fixed or floating rate interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the reference security or index underlying the total return swap exceeds or falls short of the offsetting interest rate obligation, a Fund will receive a payment or make a payment to the counterparty, respectively. Certain risks may arise when entering into total return swap transactions, including counterparty default, liquidity or unfavorable changes in the value of the underlying reference security or index. The value of the total return swaps is adjusted daily and the change in value, if any, is recorded as unrealized appreciation or depreciation in the Statements of Assets and Liabilities. Payments received or made at the end of each measurement period are recorded as realized gain or loss in the Statements of Operations.
At April 30, 2015, the outstanding total return swaps were as follows:
Absolute Return Multi-Manager Fund
Rate Type | |||||||||||||||||||||||||||||||||||
Swap Counterparty | Notional Amount(1) | Termination Date | Variable-rate Payments Made/ (Received) by the Fund | Reference Entity | Accrued Net Interest Receivable (Payable) | Unrealized Appreciation (Depreciation) | Upfront Payments | Total Fair Value | |||||||||||||||||||||||||||
J.P. Morgan Chase Bank, N.A. | EUR(2) 4,920,759 | February 23, 2016 | (0.479 | %)(3) | The EURO STOXX 50 Index | $ | (956 | ) | $ | (391,930 | ) | $ | — | $ | (392,886 | ) |
(1) For the six months ended April 30, 2015, the average notional value of total return swaps of Absolute Return Multi-Manager was $6,863,230.
(2) EUR Euro
(3) 1 month EURIBOR minus 0.45% at April 15, 2015.
Long Short Multi-Manager Fund
Rate Type | |||||||||||||||||||||||||||||||||||
Swap Counterparty | Notional Amount(1) | Termination Date | Variable-rate Payments Made/ (Received) by the Fund | Reference Entity | Accrued Net Interest Receivable (Payable) | Unrealized Appreciation (Depreciation) | Upfront Payments | Total Fair Value | |||||||||||||||||||||||||||
J.P. Morgan Chase Bank, N.A. | $ | 355,582 | April 15, 2016 | 0.710 | %(2) | BOC Hong Kong Holdings Ltd. | $ | (13 | ) | $ | 802 | $ | — | $ | 789 | ||||||||||||||||||||
J.P. Morgan Chase Bank, N.A. | 107,391 | April 8, 2016 | 0.741 | %(3) | Chongging Rural Commercial Bank | (4 | ) | 4,947 | — | 4,943 | |||||||||||||||||||||||||
J.P. Morgan Chase Bank, N.A. | 12,698 | April 4, 2016 | 1.930 | %(4) | Piraeus Bank SA | (9 | ) | 1,927 | — | 1,918 | |||||||||||||||||||||||||
J.P. Morgan Chase Bank, N.A. | EUR(5) 165,864 | February 19, 2016 | (0.479 | %)(6) | The EURO STOXX 50 Index | (33 | ) | (10,351 | ) | — | (10,384 | ) | |||||||||||||||||||||||
Total |
|
|
|
| $ | (59 | ) | $ | (2,675 | ) | $ | — | $ | (2,734 | ) |
(1) For the six months ended April 30, 2015, the average notional value of total return swaps for Long Short Multi-Manager was $255,393.
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(2) 1 month HIBOR plus 0.50% at April 15, 2015.
(3) 1 month HIBOR plus 0.50% at April 15, 2015.
(4) 1 month LIBOR plus 1.75% at April 15, 2015.
(5) EUR Euro
(6) 1 month EURIBOR minus 0.45% at April 15, 2015.
Forward foreign currency contracts: During the six months ended April 30, 2015, each Fund used forward contracts to hedge foreign currency.
A forward contract is an agreement between two parties to buy or sell a specific currency for another at a set price on a future date, and is individually negotiated and privately traded by currency traders and their customers in the interbank market. The market value of a forward contract fluctuates with changes in forward currency exchange rates. Forward contracts are marked to market daily, and the change in value is recorded by a Fund as an unrealized gain or loss. At the consummation of a forward contract to purchase or sell currency, a Fund may either exchange the currencies specified at the maturity of the forward contract or enter into a closing transaction involving the purchase or sale of an offsetting forward contract. Closing transactions with respect to forward contracts are usually performed with the counterparty to the original forward contract. The gain or loss arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing a contract is included in "Net realized gain (loss) from forward foreign currency contracts" in the Statements of Operations. These contracts may involve market risk in excess of the unrealized gain or loss reflected in a Fund's Statements of Assets and Liabilities. In addition, a Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar.
At April 30, 2015, open forward contracts for each Fund were as follows:
Absolute Return Multi-Manager
Buy | Counterparty | Contracts to Receive | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Australian Dollar | J.P. Morgan Chase Bank, N.A. | 3,526,415 | $ | 2,738,389 | 05/20/15 | $ | 49,729 | ||||||||||||||||
Australian Dollar | J.P. Morgan Chase Bank, N.A. | 3,288,000 | 2,629,059 | 05/29/15 | (30,779 | ) | |||||||||||||||||
Brazilian Real | J.P. Morgan Chase Bank, N.A. | 934,900 | 296,089 | 05/20/15 | 12,423 | ||||||||||||||||||
Brazilian Real | J.P. Morgan Chase Bank, N.A. | 13,713,554 | 4,298,920 | 06/02/15 | 204,824 | ||||||||||||||||||
Canadian Dollar | J.P. Morgan Chase Bank, N.A. | 1,343,500 | 1,069,752 | 05/20/15 | 43,548 | ||||||||||||||||||
Czech Koruna | J.P. Morgan Chase Bank, N.A. | 29,344,000 | 1,201,334 | 05/20/15 | (637 | ) | |||||||||||||||||
Danish Krone | J.P. Morgan Chase Bank, N.A. | 9,887,230 | 1,521,115 | 05/20/15 | (33,209 | ) | |||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A. | 11,650,775 | 13,057,882 | 05/20/15 | 26,892 | ||||||||||||||||||
Hong Kong Dollar | J.P. Morgan Chase Bank, N.A. | 10,549,900 | 1,361,253 | 05/20/15 | (69 | ) | |||||||||||||||||
Japanese Yen | J.P. Morgan Chase Bank, N.A. | 694,022,751 | 5,789,209 | 05/20/15 | 24,170 | ||||||||||||||||||
Norwegian Krone | J.P. Morgan Chase Bank, N.A. | 9,523,000 | 1,252,434 | 05/20/15 | 11,685 | ||||||||||||||||||
Philippine Peso | J.P. Morgan Chase Bank, N.A. | 89,380,445 | 1,996,882 | 05/20/15 | 5,612 | ||||||||||||||||||
Pound Sterling | J.P. Morgan Chase Bank, N.A. | 911,400 | 1,367,198 | 05/20/15 | 31,633 | ||||||||||||||||||
Swedish Krona | J.P. Morgan Chase Bank, N.A. | 19,316,200 | 2,292,689 | 05/20/15 | 25,974 | ||||||||||||||||||
Swiss Franc | J.P. Morgan Chase Bank, N.A. | 3,175,700 | 3,282,972 | 05/20/15 | 122,802 | ||||||||||||||||||
Thai Baht | J.P. Morgan Chase Bank, N.A. | 48,762,200 | 1,480,783 | 05/20/15 | (2,346 | ) | |||||||||||||||||
Total | $ | 492,252 |
70
Sell | Counterparty | Contracts to Deliver | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Australian Dollar | J.P. Morgan Chase Bank, N.A. | 9,801,954 | $ | 7,559,285 | 05/20/15 | $ | (190,512 | ) | |||||||||||||||
Brazilian Real | J.P. Morgan Chase Bank, N.A. | 934,900 | 293,948 | 05/20/15 | (14,564 | ) | |||||||||||||||||
Brazilian Real | J.P. Morgan Chase Bank, N.A. | 22,256,314 | 7,576,319 | 06/02/15 | 267,001 | ||||||||||||||||||
Canadian Dollar | J.P. Morgan Chase Bank, N.A. | 6,112,295 | 4,909,681 | 05/20/15 | (155,312 | ) | |||||||||||||||||
Danish Krone | J.P. Morgan Chase Bank, N.A. | 9,887,230 | 1,498,545 | 05/20/15 | 10,639 | ||||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A. | 630,000 | 716,268 | 05/07/15 | 8,846 | ||||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A. | 18,716,179 | 21,087,349 | 05/20/15 | 67,547 | ||||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A. | 2,676,000 | 2,937,722 | 05/29/15 | (68,012 | ) | |||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A. | 632,000 | 704,938 | 07/16/15 | (5,407 | ) | |||||||||||||||||
Hong Kong Dollar | J.P. Morgan Chase Bank, N.A. | 39,203,734 | 5,055,174 | 05/20/15 | (3,023 | ) | |||||||||||||||||
Israeli New Shekel | J.P. Morgan Chase Bank, N.A. | 4,226,737 | 1,048,520 | 05/20/15 | (46,046 | ) | |||||||||||||||||
Japanese Yen | J.P. Morgan Chase Bank, N.A. | 9,313,183,795 | 78,261,671 | 05/20/15 | 251,166 | ||||||||||||||||||
Norwegian Krone | J.P. Morgan Chase Bank, N.A. | 9,523,000 | 1,220,299 | 05/20/15 | (43,820 | ) | |||||||||||||||||
Philippine Peso | J.P. Morgan Chase Bank, N.A. | 89,380,445 | 2,020,354 | 05/20/15 | 17,859 | ||||||||||||||||||
Pound Sterling | J.P. Morgan Chase Bank, N.A. | 566,000 | 869,229 | 05/07/15 | 440 | ||||||||||||||||||
Pound Sterling | J.P. Morgan Chase Bank, N.A. | 1,098,724 | 1,661,691 | 05/20/15 | (24,649 | ) | |||||||||||||||||
Pound Sterling | J.P. Morgan Chase Bank, N.A. | 573,000 | 884,689 | 07/16/15 | 5,588 | ||||||||||||||||||
South African Rand | J.P. Morgan Chase Bank, N.A. | 60,956,088 | 5,111,942 | 05/20/15 | 1,738 | ||||||||||||||||||
Swedish Krona | J.P. Morgan Chase Bank, N.A. | 6,436,466 | 762,144 | 05/20/15 | (10,471 | ) | |||||||||||||||||
Swiss Franc | J.P. Morgan Chase Bank, N.A. | 6,159,500 | 6,478,428 | 05/20/15 | (127,317 | ) | |||||||||||||||||
Thai Baht | J.P. Morgan Chase Bank, N.A. | 48,762,200 | 1,478,678 | 05/20/15 | 240 | ||||||||||||||||||
Total | $ | (58,069 | ) |
Long Short Multi-Manager
Buy | Counterparty | Contracts to Receive | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Australian Dollar | J.P. Morgan Chase Bank, N.A. | 71,800 | $ | 56,163 | 05/20/15 | $ | 604 | ||||||||||||||||
Australian Dollar | J.P. Morgan Chase Bank, N.A. | 128,000 | 102,348 | 05/29/15 | (1,198 | ) | |||||||||||||||||
Brazilian Real | J.P. Morgan Chase Bank, N.A. | 106,900 | 33,856 | 05/20/15 | 1,420 | ||||||||||||||||||
Brazilian Real | J.P. Morgan Chase Bank, N.A. | 392,551 | 123,057 | 06/02/15 | 5,863 | ||||||||||||||||||
Canadian Dollar | J.P. Morgan Chase Bank, N.A. | 46,600 | 37,096 | 05/20/15 | 1,520 | ||||||||||||||||||
Czech Koruna | J.P. Morgan Chase Bank, N.A. | 947,936 | 38,443 | 05/20/15 | 345 | ||||||||||||||||||
Danish Krone | J.P. Morgan Chase Bank, N.A. | 280,190 | 43,106 | 05/20/15 | (941 | ) | |||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A. | 367,454 | 410,450 | 05/20/15 | 2,232 | ||||||||||||||||||
Hong Kong Dollar | J.P. Morgan Chase Bank, N.A. | 239,500 | 30,903 | 05/20/15 | (2 | ) | |||||||||||||||||
Japanese Yen | J.P. Morgan Chase Bank, N.A. | 16,717,200 | 140,784 | 05/20/15 | (755 | ) | |||||||||||||||||
Norwegian Krone | J.P. Morgan Chase Bank, N.A. | 314,697 | 40,996 | 05/20/15 | 778 | ||||||||||||||||||
Philippine Peso | J.P. Morgan Chase Bank, N.A. | 3,774,483 | 84,327 | 05/20/15 | 237 | ||||||||||||||||||
Pound Sterling | J.P. Morgan Chase Bank, N.A. | 25,933 | 39,192 | 05/20/15 | 610 | ||||||||||||||||||
Swedish Krona | J.P. Morgan Chase Bank, N.A. | 589,160 | 69,834 | 05/20/15 | 886 | ||||||||||||||||||
Swiss Franc | J.P. Morgan Chase Bank, N.A. | 111,467 | 115,029 | 05/20/15 | 4,514 | ||||||||||||||||||
Thai Baht | J.P. Morgan Chase Bank, N.A. | 1,734,594 | 52,675 | 05/20/15 | (83 | ) | |||||||||||||||||
Total | $ | 16,030 |
71
Sell | Counterparty | Contracts to Deliver | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Australian Dollar | J.P. Morgan Chase Bank, N.A. | 285,277 | $ | 219,986 | 05/20/15 | $ | (5,567 | ) | |||||||||||||||
Brazilian Real | J.P. Morgan Chase Bank, N.A. | 106,900 | 33,611 | 05/20/15 | (1,665 | ) | |||||||||||||||||
Brazilian Real | J.P. Morgan Chase Bank, N.A. | 504,350 | 171,831 | 06/02/15 | 6,194 | ||||||||||||||||||
Canadian Dollar | J.P. Morgan Chase Bank, N.A. | 204,586 | 163,944 | 05/20/15 | (5,587 | ) | |||||||||||||||||
Danish Krone | J.P. Morgan Chase Bank, N.A. | 280,190 | 42,466 | 05/20/15 | 300 | ||||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A. | 589,311 | 659,808 | 05/20/15 | (2,036 | ) | |||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A. | 103,000 | 113,074 | 05/29/15 | (2,618 | ) | |||||||||||||||||
Hong Kong Dollar | J.P. Morgan Chase Bank, N.A. | 719,693 | 92,777 | 05/20/15 | (80 | ) | |||||||||||||||||
Israeli New Shekel | J.P. Morgan Chase Bank, N.A. | 140,875 | 34,944 | 05/20/15 | (1,538 | ) | |||||||||||||||||
Japanese Yen | J.P. Morgan Chase Bank, N.A. | 403,956,943 | 3,387,694 | 05/20/15 | 4,009 | ||||||||||||||||||
Norwegian Krone | J.P. Morgan Chase Bank, N.A. | 314,697 | 40,207 | 05/20/15 | (1,567 | ) | |||||||||||||||||
Philippine Peso | J.P. Morgan Chase Bank, N.A. | 3,774,483 | 85,170 | 05/20/15 | 606 | ||||||||||||||||||
Pound Sterling | J.P. Morgan Chase Bank, N.A. | 32,019 | 48,447 | 05/20/15 | (696 | ) | |||||||||||||||||
South African Rand | J.P. Morgan Chase Bank, N.A. | 2,114,349 | 175,694 | 05/20/15 | (1,560 | ) | |||||||||||||||||
Swedish Krona | J.P. Morgan Chase Bank, N.A. | 204,475 | 24,216 | 05/20/15 | (328 | ) | |||||||||||||||||
Swiss Franc | J.P. Morgan Chase Bank, N.A. | 210,767 | 219,801 | 05/20/15 | (6,235 | ) | |||||||||||||||||
Thai Baht | J.P. Morgan Chase Bank, N.A. | 1,734,594 | 52,523 | 05/20/15 | (69 | ) | |||||||||||||||||
Total | $ | (18,437 | ) |
For the six months ended April 30, 2015, Absolute Return Multi-Manager's and Long Short Multi-Manager's investments in forward contracts had an average value of $105,857,184 and $3,717,522, respectively.
Options: Premiums received by a Fund upon writing a covered call option or a put option are recorded in the liability section of the Statement of Assets and Liabilities and are subsequently adjusted to the current market value. When an option is exercised, closed, or expired, a Fund realizes a gain or loss and the liability is eliminated.
When writing a covered call option, a Fund, in return for the premium, gives up the opportunity for profit from a price increase in the underlying security above the exercise price, but conversely retains the risk of loss should the price of the security decline. When writing a put option, a Fund, in return for the premium, takes the risk that it must purchase the underlying security at a price that may be higher than the current market price of the security. If a covered call or put option that a Fund has written expires unexercised, the Fund will realize a gain in the amount of the premium. All securities covering outstanding options are held in escrow by the custodian bank.
Written option transactions were used in an attempt to generate incremental returns for Absolute Return Multi-Manager and Long Short Multi-Manager for the six months ended April 30, 2015. Written option transactions for Absolute Return Multi-Manager and Long Short Multi-Manager for the six months ended April 30, 2015 were as follows:
Absolute Return Multi-Manager
Number of Contracts | Premium Received | ||||||||||
Outstanding 10/31/14 | 29,136 | $ | 3,120,532 | ||||||||
Options written | 25,992 | 4,964,086 | |||||||||
Options closed | (30,112 | ) | (3,942,810 | ) | |||||||
Options exercised | (33 | ) | (5,568 | ) | |||||||
Options expired | (6,864 | ) | (1,414,089 | ) | |||||||
Outstanding 4/30/15 | 18,119 | $ | 2,722,151 |
72
Long Short Multi-Manager
Number of Contracts | Premium Received | ||||||||||
Outstanding 10/31/14 | — | $ | — | ||||||||
Options written | 96 | 21,610 | |||||||||
Options closed | (14 | ) | (1,511 | ) | |||||||
Options exercised | — | — | |||||||||
Options expired | — | — | |||||||||
Outstanding 4/30/15 | 82 | $ | 20,099 |
Premiums paid by a Fund upon purchasing a call or put option are recorded in the Assets section of the Fund's Statement of Assets and Liabilities and are subsequently adjusted to the current market value. When an option is exercised, closed, or expired, a Fund realizes a gain or loss and the asset is eliminated.
For purchased call options, a Fund's loss is limited to the amount of the option premium paid.
Purchased option transactions were used in an attempt to manage or adjust the risk profile and the investment exposure of each Fund to certain securities and enhance returns for the six months ended April 30, 2015.
For the six months ended April 30, 2015, Absolute Return Multi-Manager and Long Short Multi-Manager had an average market value of $5,876,058 and $39,072 in purchased options, respectively, and $(1,681,391) and $(11,103) in written options, respectively.
At April 30, 2015, the Funds had the following derivatives (which did not qualify as hedging instruments under ASC 815), grouped by primary risk exposure:
Asset Derivatives
Derivative Type | Statements of Assets and Liabilities Location | Credit Risk | Currency Risk | Equity Risk | Total | ||||||||||||||||||
Absolute Return Multi-Manager | |||||||||||||||||||||||
OTC credit default swaps | Open swap contracts, at value | $ | 661,127 | $ | — | $ | — | $ | 661,127 | ||||||||||||||
Equity swaps | Open swap contracts, at value | — | — | 1,694,005 | 1,694,005 | ||||||||||||||||||
Forward contracts | Receivable for open forward foreign currency contracts | — | 1,190,356 | — | 1,190,356 | ||||||||||||||||||
Option contracts purchased | Investments in securities, at value | — | — | 5,380,952 | 5,380,952 | ||||||||||||||||||
Total Value—Assets | $ | 661,127 | $ | 1,190,356 | $ | 7,074,957 | $ | 8,926,440 | |||||||||||||||
Long Short Multi-Manager | |||||||||||||||||||||||
Equity swaps | Open swap contracts, at value | $ | — | $ | 170,244 | $ | 170,244 | ||||||||||||||||
Forward contracts | Receivable for open forward foreign currency contracts | 30,118 | — | 30,118 | |||||||||||||||||||
Total return swaps | Open swap contracts, at value | — | 7,650 | 7,650 | |||||||||||||||||||
Total Value—Assets | $ | 30,118 | $ | 177,894 | $ | 208,012 |
73
Liability Derivatives
Derivative Type | Statements of Assets and Liabilities Location | Credit Risk | Currency Risk | Equity Risk | Total | ||||||||||||||||||
Absolute Return Multi-Manager | |||||||||||||||||||||||
OTC credit default swaps | Open swap contracts, at value | $ | (435,033 | ) | $ | — | $ | — | $ | (435,033 | ) | ||||||||||||
Total return swaps | Open swap contracts, at value | — | — | (392,886 | ) | (392,886 | ) | ||||||||||||||||
Centrally cleared credit default index swaps | Receivable/Payable for variation margin on open centrally cleared swap contracts(2) | — | — | (1,446,342 | ) | (1,446,342 | ) | ||||||||||||||||
Financial futures | Receivable/Payable for variation margin on financial futures contracts(1) | — | — | (47,206 | ) | (47,206 | ) | ||||||||||||||||
Forward contracts | Payable for open forward foreign currency contracts | — | (756,173 | ) | — | (756,173 | ) | ||||||||||||||||
Option contracts written | Written options,at value | — | — | (2,044,801 | ) | (2,044,801 | ) | ||||||||||||||||
Total Value—Liabilities | $ | (435,033 | ) | $ | (756,173 | ) | $ | (3,931,235 | ) | $ | (5,122,441 | ) | |||||||||||
Long Short Multi-Manager | |||||||||||||||||||||||
Forward contracts | Payable for open forward foreign currency contracts | $ | (32,525 | ) | $ | — | $ | (32,525 | ) | ||||||||||||||
Total return swaps | Open swap contracts, at value | — | (10,384 | ) | (10,384 | ) | |||||||||||||||||
Option contracts written | Option contracts written, at value | — | (17,445 | ) | (17,445 | ) | |||||||||||||||||
Total Value—Liabilities | $ | (32,525 | ) | $ | (27,829 | ) | $ | (60,354 | ) |
(1) "Financial futures" reflects the cumulative appreciation (depreciation) of financial futures as of April 30, 2015, which is reflected in the Statements of Assets and Liabilities under the caption "Net unrealized appreciation (depreciation) in value of investments." The outstanding variation margin as of April 30, 2015, if any, is reflected in the Statements of Assets and Liabilities under the caption "Receivable/Payable for variation margin on financial futures contracts."
(2) "Centrally cleared credit default index swaps" reflects the cumulative unrealized appreciation (depreciation) of centrally cleared credit default index swaps as of April 30, 2015, which is reflected in the Statements of Assets and Liabilities under the caption "Net unrealized appreciation (depreciation) in value of investments". Only the current day's variation margin on open centrally cleared credit default index swaps contracts is reported within the Statements of Assets and Liabilities under the caption "Receivable/Payable for variation margin on open centrally cleared swap contracts."
74
The impact of the use of these derivative instruments on the Statement of Operations during the six months ended April 30, 2015, was as follows:
Absolute Return Multi-Manager
Realized Gain (Loss)
Derivative Type | Statements of Operations Location | Credit Risk | Currency Risk | Equity Risk | Total | ||||||||||||||||||
Forward contracts | Net realized gain (loss) on: forward foreign currency contracts | $ | — | $ | 16,065,609 | $ | — | $ | 16,065,609 | ||||||||||||||
Financial futures | Net realized gain (loss) on: financial futures contracts | — | — | (53,122 | ) | (53,122 | ) | ||||||||||||||||
Option contracts written | Net realized gain (loss) on: option contracts written | — | — | 3,227,449 | 3,227,449 | ||||||||||||||||||
Option contracts purchased | Net realized gain(loss) on: sales of investment securities of unaffiliated issuers | — | — | (9,889,300 | ) | (9,889,300 | ) | ||||||||||||||||
Swap contracts | Net realized gain (loss) on: swaps contracts | 554,346 | — | (7,350,695 | ) | (6,796,349 | ) | ||||||||||||||||
Total Realized Gain (Loss) | $ | 554,346 | $ | 16,065,609 | $ | (14,065,668 | ) | $ | 2,554,287 | ||||||||||||||
Long Short Multi-Manager | |||||||||||||||||||||||
Forward contracts | Net realized gain (loss) on: forward foreign currency exchange contracts | $ | — | $ | 582,342 | $ | — | $ | 582,342 | ||||||||||||||
Option contracts written | Net realized gain (loss) on: option contracts written | — | — | (921 | ) | (921 | ) | ||||||||||||||||
Option contracts purchased | Net realized gain (loss) on: sales of investment securities of unaffiliated issuers | — | — | (14,716 | ) | (14,716 | ) | ||||||||||||||||
Swap contracts | Net realized gain (loss) on: swap contracts | — | — | (123,332 | ) | (123,332 | ) | ||||||||||||||||
Total Realized Gain (Loss) | $ | — | $ | 582,342 | $ | (138,969 | ) | $ | 443,373 | ||||||||||||||
Change in Appreciation (Depreciation) | |||||||||||||||||||||||
Statements of Operations Location | Credit Risk | Currency Risk | Equity Risk | Total | |||||||||||||||||||
Derivative Type | |||||||||||||||||||||||
Forward contracts | Change in net unrealized appreciation (depreciation) in value of: forward foreign currency contracts | $ | — | $ | (8,519,403 | ) | $ | — | $ | (8,519,403 | ) | ||||||||||||
Financial futures | Change in net unrealized appreciation (depreciation) in value of: financial futures contracts | — | — | (8,437 | ) | (8,437 | ) |
75
Statements of Operations Location | Credit Risk | Currency Risk | Equity Risk | Total | |||||||||||||||||||
Option contracts written | Change in net unrealized appreciation (depreciation) in value of: options contracts written | — | — | (203,506 | ) | (203,506 | ) | ||||||||||||||||
Option contracts purchased | Change in net unrealized appreciation (depreciation) in value of: unaffiliated investment securities | — | — | 1,244,061 | 1,244,061 | ||||||||||||||||||
Swap contracts | Change in net unrealized appreciation (depreciation) in value of: swap contracts | (1,170,143 | ) | — | 6,242,568 | 5,072,425 | |||||||||||||||||
Total Change in Appreciation (Depreciation) | $ | (1,170,143 | ) | $ | (8,519,403 | ) | $ | 7,274,686 | $ | (2,414,860 | ) | ||||||||||||
Long Short Multi-Manager | |||||||||||||||||||||||
Forward contracts | Change in net unrealized appreciation (depreciation) in value of: forward foreign currency contracts | $ | — | $ | (336,539 | ) | $ | — | $ | (336,539 | ) | ||||||||||||
Option contracts written | Change in net unrealized appreciation (depreciation) in value of: option contracts written | — | — | 2,654 | 2,654 | ||||||||||||||||||
Option contracts purchased | Change in net unrealized appreciation (depreciation) in value of: unaffiliated investment securities | — | — | (24,547 | ) | (24,547 | ) | ||||||||||||||||
Swap contracts | Change in net unrealized appreciation (depreciation) in value of: swap contracts | — | — | 182,036 | 182,036 | ||||||||||||||||||
Total Change in Appreciation (Depreciation) | $ | — | $ | (336,539 | ) | $ | 160,143 | $ | (176,396 | ) |
The Funds disclose both gross and net information for assets and liabilities related to derivatives, repurchase and reverse repurchase agreements, and securities lending and securities borrowing transactions that are eligible for offset or subject to an enforceable master netting or similar agreement. The Funds' derivative assets and liabilities at fair value by type are reported gross in the Statements of Assets and Liabilities. The following tables present the Funds' derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement and net of the related collateral received by the Funds for assets and pledged by the Funds for liabilities as of April 30, 2015.
76
Absolute Return Multi-Manager
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statements of Assets and Liabilities | Net Amounts of Assets Presented in the Statements of Assets and Liabilities | ||||||||||||
OTC credit default swaps | $ | 661,127 | $ | — | $ | 661,127 | |||||||||
Equity swaps | 1,694,005 | — | 1,694,005 | ||||||||||||
Forward contracts | 1,190,356 | — | 1,190,356 | ||||||||||||
Total | $ | 3,545,488 | $ | — | $ | 3,545,488 |
Gross Amounts Not Offset in the Statements of Assets and Liabilities | |||||||||||||||||||
Counterparty | Net Amounts of Assets Presented in the Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Received(a) | Net Amount(b) | |||||||||||||||
J.P. Morgan Chase Bank N.A. | $ | 3,545,488 | $ | (756,173 | ) | $ | — | $ | 2,789,315 |
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statements of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities | ||||||||||||
OTC credit default swaps | $ | (435,033 | ) | $ | — | $ | (435,033 | ) | |||||||
Total return swaps | (392,886 | ) | — | (392,886 | ) | ||||||||||
Forward contracts | (756,173 | ) | — | (756,173 | ) | ||||||||||
Total | $ | (1,584,092 | ) | $ | — | $ | (1,584,092 | ) |
Gross Amounts Not Offset in the Statements of Assets and Liabilities | |||||||||||||||||||
Counterparty | Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Pledged(a) | Net Amount(c) | |||||||||||||||
J.P. Morgan Chase Bank N.A. | $ | (1,584,092 | ) | $ | 756,173 | $ | 827,919 | $ | — |
(a) Collateral received (or pledged) is limited to an amount not to exceed 100% of the net amount of assets (or liabilities) in the tables presented above, for each respective counterparty.
(b) Net Amount represents amounts subject to loss as of April 30, 2015, in the event of a counterparty failure.
(c) Net Amount represents amounts under-collateralized by the Fund to each counterparty as of April 30, 2015.
Long Short Multi-Manager
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statements of Assets and Liabilities | Net Amounts of Assets Presented in the Statements of Assets and Liabilities | ||||||||||||
Equity swaps | $ | 170,244 | $ | — | $ | 170,244 | |||||||||
Forward contracts | 30,118 | — | 30,118 | ||||||||||||
Total return swaps | 7,650 | — | 7,650 | ||||||||||||
Total | $ | 208,012 | $ | — | $ | 208,012 |
77
Gross Amounts Not Offset in the Statements of Assets and Liabilities | |||||||||||||||||||
Counterparty | Net Amounts of Assets Presented in the Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Received(a) | Net Amount(b) | |||||||||||||||
J.P. Morgan Chase Bank N.A. | $ | 208,011 | $ | (30,118 | ) | $ | — | $ | 177,893 |
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statements of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities | ||||||||||||
Total return swaps | $ | (10,384 | ) | $ | — | $ | (10,384 | ) | |||||||
Forward contracts | (32,525 | ) | 30,118 | (2,407 | ) | ||||||||||
Total | $ | (42,909 | ) | $ | 30,118 | $ | (12,791 | ) |
Gross Amounts Not Offset in the Statements of Assets and Liabilities | |||||||||||||||||||
Counterparty | Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Pledged(a) | Net Amount(c) | |||||||||||||||
J.P. Morgan Chase Bank N.A. | $ | (42,409 | ) | $ | 30,118 | $ | 12,291 | $ | — |
(a) Collateral received (or pledged) is limited to an amount not to exceed 100% of the net amount of assets (or liabilities) in the tables presented above, for each respective counterparty.
(b) Net Amount represents amounts subject to loss as of April 30, 2015, in the event of a counterparty failure.
(c) Net Amount represents amounts under-collateralized by the Fund to each counterparty as of April 30, 2015.
13 Indemnifications: Like many other companies, the Trust's organizational documents provide that its officers ("Officers") and trustees ("Trustees") are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims against the Trust.
14 Expense offset arrangement: Absolute Return Multi-Manager has an expense offset arrangement in connection with its custodian contract. For the six months ended April 30, 2015, the impact of this arrangement was a reduction of expenses of $716.
15 Other: All net investment income and realized and unrealized capital gains and losses of each Fund are allocated, on the basis of relative net assets, pro rata among its respective classes.
Note B—Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
Each Fund retains Management as its investment manager under a Management Agreement. For such investment management services, each Fund pays Management a fee at the annual rate of 1.700% of the first $250 million of the Fund's average daily net assets, 1.675% of the next $250 million, 1.650% of the next $250 million, 1.625% of the next $250 million, 1.600% of the next $500 million, 1.575% of the next $2.5 billion, and 1.550% of average daily net assets in excess of $4 billion. Accordingly, for the six months ended April 30, 2015, the fee pursuant to the Management Agreement was equivalent to an annual effective rate of 1.64% and 1.70% of Absolute Return Multi-Manager's and Long Short Multi- Manager's average daily net assets, respectively.
78
Each Fund retains Management as its administrator under an Administration Agreement. Each Fund pays Management an administration fee at the annual rate of 0.06% of its average daily net assets under this agreement. In addition, Institutional Class of each Fund pays Management an administration fee at the annual rate of 0.09% of its average daily net assets, Class A and Class C of each Fund pays Management an administration fee at the annual rate of 0.20% of its average daily net assets and Class R6 of Absolute Return Multi-Manager pays Management an administration fee at the annual rate of 0.02% of its average daily net assets under this agreement. Additionally, Management retains JPM as its sub-administrator under a Sub-Administration Agreement. Management pays JPM a fee for all services received under the agreement.
Management has contractually agreed to waive current payment of fees and/or reimburse certain expenses of the Institutional Class, Class A, Class C and Class R6 of each Fund that offers those classes so that the total annual operating expenses of those classes do not exceed the expense limitations as detailed in the following table. These undertakings apply to each Fund's direct expenses and exclude interest, taxes, brokerage commissions, acquired fund fees and expenses, extraordinary expenses, as of August 12, 2014, fees related to short sales and dividend and interest expenses relating to short sales, if any; consequently, net expenses may exceed the contractual expense limitations. Each Fund has agreed that each of its respective classes will repay Management for fees and expenses waived or reimbursed for that class provided that repayment does not cause that class' annual operating expenses to exceed its contractual expense limitation in place at the time the fees and expenses were waived or reimbursed. Any such repayment must be made within three years after the year in which Management incurred the expense. During the six months ended April 30, 2015, the following classes repaid Management under their contractual expense limitation agreements as follows:
Class | Expenses Repaid to Management | ||||||
Absolute Return Multi-Manager Institutional Class | $ | 474,085 | |||||
Absolute Return Multi-Manager Class A | 53,050 | ||||||
Absolute Return Multi-Manager Class C | 28,751 | ||||||
Absolute Return Multi-Manager Class R6 | 8,230 |
At April 30, 2015, contingent liabilities to Management under the agreements were as follows:
Expenses Reimbursed in Fiscal Period Ending, October 31, | |||||||||||||||||||||||||||
2012 | 2013 | 2014 | 2015 | ||||||||||||||||||||||||
Contractual | Subject to Repayment until October 31, | ||||||||||||||||||||||||||
Class | Expense Limitation(1) | Expiration | 2015 | 2016 | 2017 | 2018 | |||||||||||||||||||||
Absolute Return Multi-Manager Institutional Class(2) | 1.97 | % | 10/31/18 | $ | 342,287 | $ | 447,655 | $ | 759,554 | $ | — | ||||||||||||||||
Absolute Return Multi-Manager Class A(2) | 2.33 | % | 10/31/18 | — | 137,135 | 316,015 | — | ||||||||||||||||||||
Absolute Return Multi-Manager Class C(2) | 3.08 | % | 10/31/18 | — | — | 71,396 | — | ||||||||||||||||||||
Absolute Return Multi-Manager Class R6 | 1.90 | % | 10/31/18 | — | — | 9,923 | (4) | — | |||||||||||||||||||
Long Short Multi-Manager Institutional Class | 1.97 | % | 10/31/18 | — | — | 459,171 | (3) | 200,282 | |||||||||||||||||||
Long Short Multi-Manager Class A | 2.33 | % | 10/31/18 | — | — | 13,772 | (3) | 4,907 | |||||||||||||||||||
Long Short Multi-Manager Class C | 3.08 | % | 10/31/18 | — | — | 6,443 | (3) | 2,000 |
(1) Expense limitation per annum of the respective class' average daily net assets.
(2) Prior to February 28, 2013, the contractual expense limitations were 2.45%, 2.81% and 3.56% for the Institutional Class, Class A and Class C shares, respectively. In addition, from January 2, 2013 to February 28, 2013, Management had voluntarily undertaken to waive current payment of fees and/or reimburse certain expenses of
79
Institutional Class, Class A and Class C shares so that their Operating Expenses were limited to 1.97%, 2.33% and 3.08%, respectively, per annum of their average daily net assets. These voluntarily waived fees are not subject to recovery by Management.
(3) Period from December 19, 2013 (Commencement of Operations) to October 31, 2014.
(4) Period from December 31, 2013 (Commencement of Operations) to October 31, 2014.
NB Alternative Investment Management LLC ("NBAIM"), as the investment adviser to the Funds, is retained by Management to provide day-to-day investment management services, including oversight of each Fund's investments and handling its day-to-day business, including the oversight of the subadvisers' investment activities, and receives a monthly fee paid by Management. As investment manager, Management is responsible for overseeing the investment activities of NBAIM. Several individuals who are Officers and/or Trustees of the Trust are also employees of NBAIM and/or Management.
Management and NBAIM engage Blue Jay Capital Management, LLC, Cloud Gate Capital LLC, Cramer Rosenthal McGlynn, LLC, GAMCO Asset Management Inc., Good Hill Partners LP, Lazard Asset Management LLC, Levin Capital Strategies, L.P., MacKay Shields LLC, SLS Management, LLC, Sound Point Capital Management, L.P., and Visium Asset Management, LP as subadvisers of Absolute Return Multi-Manager to provide investment management services. Management and NBAIM engage Blue Jay Capital Management, LLC, Cloud Gate Capital LLC, Cramer Rosenthal McGlynn, LLC, Lazard Asset Management LLC, Levin Capital Strategies, L.P. and SLS Management, LLC as subadvisers of Long Short Multi-Manager to provide investment management services. Management compensates the subadvisers out of the investment advisory fees it receives from each Fund.
Each Fund also has a distribution agreement with Management with respect to each class of shares. Management acts as agent in arranging for the sale of class shares without sales commission or other compensation, except as described below for Class A and Class C shares, and bears advertising and promotion expenses.
However, Management receives fees from Class A and Class C under their distribution plans (each a "Plan", collectively, the "Plans") pursuant to Rule 12b-1 under the 1940 Act. The Plans provide that, as compensation for administrative and other services provided to these classes, Management's activities and expenses related to the sale and distribution of these classes, and ongoing services provided to investors in these classes, Management receives from each of these respective classes a fee at the annual rate of 0.25% of Class A's and 1.00% of Class C's average daily net assets. Management receives this amount to provide distribution and shareholder servicing for these classes and pays a portion of it to institutions that provide such services. Those institutions may use the payments for, among other purposes, compensating employees engaged in sales and/or shareholder servicing. The amount of fees paid by each class during any year may be more or less than the cost of distribution and other services provided to that class. FINRA rules limit the amount of annual distribution fees that may be paid by a mutual fund and impose a ceiling on the cumulative distribution fees paid. The Trust's Plans comply with those rules.
Class A shares of each Fund are generally sold with an initial sales charge of up to 5.75% and no contingent deferred sales charge ("CDSC"), except that a CDSC of 1.00% applies to certain redemptions made within 18 months following purchases of $1 million or more without an initial sales charge. Class C shares of each Fund are sold with no initial sales charge and a 1.00% CDSC if shares are sold within one year after purchase.
For the six months ended April 30, 2015, Management, acting as underwriter and broker-dealer, received net initial sales charges from the purchase of Class A shares and CDSCs from the redemption of Class A and Class C shares as follows:
Underwriter | Broker-Dealer | ||||||||||||||||||
Net Initial Sales Charges | CDSC | Net Initial Sales Charges | CDSC | ||||||||||||||||
Absolute Return Multi-Manager Class A | $ | 7,658 | $ | — | $ | — | $ | — | |||||||||||
Absolute Return Multi-Manager Class C | — | 28,404 | — | — | |||||||||||||||
Long Short Multi-Manager Class A | — | — | — | — | |||||||||||||||
Long Short Multi-Manager Class C | — | — | — | — |
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Note C—Securities Transactions:
During the six months ended April 30, 2015, there were purchase and sale transactions of long-term securities (excluding equity swaps, total return swaps, credit default swaps, forward contracts, financial futures and option contracts) as follows:
Purchases | Securities Sold Short | Sales | Covers on Securities Sold Short | ||||||||||||||||
Absolute Return Multi-Manager | $ | 3,636,714,326 | $ | 867,835,191 | $ | 3,518,569,852 | $ | 862,399,955 | |||||||||||
Long Short Multi-Manager | 112,068,734 | 28,630,845 | 103,308,326 | 25,929,247 |
During the six months ended April 30, 2015, no brokerage commissions on securities transactions were paid to affiliated brokers.
Note D—Fund Share Transactions:
Share activity for the six months ended April 30, 2015 and for the year ended October 31, 2014 was as follows:
For the Six Months Ended April 30, 2015 | For the Year Ended October 31, 2014 | ||||||||||||||||||||||||||||||||||
Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | ||||||||||||||||||||||||||||
Absolute Return Multi-Manager: | |||||||||||||||||||||||||||||||||||
Institutional Class | 28,575,199 | 2,935,348 | (37,176,259 | ) | (5,665,712 | ) | 113,457,577 | 238,078 | (27,639,014 | ) | 86,056,641 | ||||||||||||||||||||||||
Class A | 4,919,097 | 449,484 | (7,930,478 | ) | (2,561,897 | ) | 37,374,025 | 100,758 | (26,819,529 | ) | 10,655,254 | ||||||||||||||||||||||||
Class C | 1,076,737 | 143,890 | (1,630,726 | ) | (410,099 | ) | 7,568,959 | 16,621 | (687,034 | ) | 6,898,546 | ||||||||||||||||||||||||
Class R6 | — | 85,584 | (1,538,475 | ) | (1,452,891 | ) | 3,539,971 | — | (592,168 | ) | 2,947,803 | ||||||||||||||||||||||||
Long Short Multi-Manager: | |||||||||||||||||||||||||||||||||||
Institutional Class | 586,374 | 24,496 | (479,234 | ) | 131,636 | 3,102,815 | — | (136,312 | ) | 2,966,503 | (1) | ||||||||||||||||||||||||
Class A | 33,780 | 463 | (40,877 | ) | (6,634 | ) | 126,914 | — | (43,228 | ) | 83,686 | (1) | |||||||||||||||||||||||
Class C | 12,892 | 201 | (6,687 | ) | 6,406 | 26,084 | — | (1,777 | ) | 24,307 | (1) |
(1) Period from December 19, 2013 (Commencement of Operations) to October 31, 2014.
Other: At April 30, 2015, there was an affiliated investor owning 41.9% of Long Short Multi-Manager's outstanding shares.
Note E—Subsequent Event:
Subsequent to April 30, 2015, each Fund became a participant in a syndicated committed, unsecured $700,000,000 line of credit (the "Credit Facility"), to be used only for temporary or emergency purposes. Other investment companies managed by Management also participate in this line of credit on the same terms. Under the terms of the Credit Facility, each Fund has agreed to pay its pro rata share of the annual commitment fee, based on the ratio of its individual net assets to the net assets of all participants at the time the fee is due and payable, and interest
81
charged on any borrowing made by such Fund and other costs incurred by such Fund. Because several mutual funds participate in the Credit Facility, there is no assurance that an individual Fund will have access to all or any part of the $700,000,000 at any particular time.
Note F—Unaudited Financial Information:
The financial information included in this interim report is taken from the records of each Fund without audit by an independent registered public accounting firm. Annual reports contain audited financial statements.
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Financial Highlights
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. Per share amounts that round to less than $0.01 or $(0.01) per share are presented as $0.00 or $(0.00), respectively. Ratios that round to less than 0.00%, or (0.00)% per share are presented as 0.00% or (0.00)%, respectively. Net Asset amounts with a zero balance, if any, may reflect actual amounts rounding to less than $0.1 million. A "—" indicates that the line item was not applicable in the corresponding period.
Net Asset Value, Beginning of Period | Net Investment Income (Loss)@ | Net Gains or Losses on Securities (both realized and unrealized) | Total From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Tax Return of Capital | Total Distributions | Net Asset Value, End of Period | Total Return†† | Net Assets, End of Period (in millions) | Ratio of Gross Expenses to Average Net Assets# | Ratio of Gross Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales) | Ratio of Net Expenses to Average Net Assets | Ratio of Net Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Absolute Return Multi-Manager Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/15 (Unaudited) | $ | 11.00 | $ | 0.04 | $ | 0.31 | $ | 0.35 | $ | (0.07 | ) | $ | (0.23 | ) | $ | — | $ | (0.30 | ) | $ | 11.05 | 3.33 | %** | $ | 1,218.0 | 2.64 | %* | 1.97 | %* | 2.64 | %*ا | 1.97 | %*ا | 0.77 | %* | 221 | %** | 226 | %** | ||||||||||||||||||||||||||||||||||||
10/31/14 | $ | 10.86 | $ | (0.01 | ) | $ | 0.22 | $ | 0.21 | $ | — | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | 11.00 | 1.96 | % | $ | 1,275.3 | 2.64 | % | 2.13 | % | 2.55 | %Ø | 2.04 | %Ø | (0.10 | %) | 329 | % | 257 | % | ||||||||||||||||||||||||||||||||||||
10/31/13 | $ | 10.00 | $ | (0.08 | ) | $ | 1.00 | $ | 0.92 | $ | (0.02 | ) | $ | (0.04 | ) | $ | — | $ | (0.06 | ) | $ | 10.86 | 9.19 | % | $ | 324.3 | 2.89 | % | 2.60 | % | 2.30 | %Ø | 2.01 | %Ø | (0.74 | %) | 421 | % | 330 | % | |||||||||||||||||||||||||||||||||||
Period from 5/15/2012^ to 10/31/2012 | $ | 10.00 | $ | (0.08 | ) | $ | 0.08 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 10.00 | 0.00 | %** | $ | 33.2 | 7.86 | %*‡ | 7.50 | %*‡ | 2.81 | %*‡ | 2.45 | %*‡ | (1.81 | %)*‡ | 270 | %** | 213 | %** | ||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/15 (Unaudited) | $ | 10.92 | $ | 0.02 | $ | 0.32 | $ | 0.34 | $ | (0.03 | ) | $ | (0.23 | ) | $ | — | $ | (0.26 | ) | $ | 11.00 | 3.15 | %** | $ | 215.7 | 3.00 | %* | 2.33 | %* | 3.00 | %*ا | 2.33 | %*ا | 0.43 | %* | 221 | %** | 226 | %** | ||||||||||||||||||||||||||||||||||||
10/31/14 | $ | 10.82 | $ | (0.04 | ) | $ | 0.21 | $ | 0.17 | $ | — | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | 10.92 | 1.60 | % | $ | 242.2 | 3.02 | % | 2.49 | % | 2.90 | %Ø | 2.38 | %Ø | (0.40 | %) | 329 | % | 257 | % | ||||||||||||||||||||||||||||||||||||
10/31/13 | $ | 9.99 | $ | (0.12 | ) | $ | 0.99 | $ | 0.87 | $ | — | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | 10.82 | 8.70 | % | $ | 124.7 | 3.27 | % | 2.99 | % | 2.62 | %Ø | 2.34 | %Ø | (1.17 | %) | 421 | % | 330 | % | ||||||||||||||||||||||||||||||||||||
Period from 5/15/2012^ to 10/31/2012 | $ | 10.00 | $ | (0.09 | ) | $ | 0.08 | $ | (0.01 | ) | $ | — | $ | — | $ | — | $ | — | $ | 9.99 | (0.10 | %)** | $ | 1.8 | 8.67 | %*‡ | 8.26 | %*‡ | 3.22 | %*‡ | 2.81 | %*‡ | (2.02 | %)*‡ | 270 | %** | 213 | %** | |||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/15 (Unaudited) | $ | 10.72 | $ | (0.02 | ) | $ | 0.30 | $ | 0.28 | $ | — | $ | (0.23 | ) | $ | — | $ | (0.23 | ) | $ | 10.77 | 2.71 | %** | $ | 91.3 | 3.75 | %* | 3.08 | %* | 3.75 | %*ا | 3.08 | %*ا | (0.35 | %)* | 221 | %** | 226 | %** | ||||||||||||||||||||||||||||||||||||
10/31/14 | $ | 10.71 | $ | (0.13 | ) | $ | 0.21 | $ | 0.08 | $ | — | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | 10.72 | 0.77 | % | $ | 95.3 | 3.77 | % | 3.26 | % | 3.66 | %Ø | 3.15 | %Ø | (1.18 | %) | 329 | % | 257 | % | ||||||||||||||||||||||||||||||||||||
10/31/13 | $ | 9.95 | $ | (0.21 | ) | $ | 1.01 | $ | 0.80 | $ | — | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | 10.71 | 8.03 | % | $ | 21.3 | 4.01 | % | 3.72 | % | 3.38 | %Ø | 3.09 | %Ø | (1.94 | %) | 421 | % | 330 | % | ||||||||||||||||||||||||||||||||||||
Period from 5/15/2012^ to 10/31/2012 | $ | 10.00 | $ | (0.13 | ) | $ | 0.08 | $ | (0.05 | ) | $ | — | $ | — | $ | — | $ | — | $ | 9.95 | (0.50 | %)** | $ | 0.2 | 13.12 | %*‡ | 12.74 | %*‡ | 3.94 | %*‡ | 3.56 | %*‡ | (2.86 | %)*‡ | 270 | %** | 213 | %** | |||||||||||||||||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/15 (Unaudited) | $ | 11.01 | $ | 0.08 | $ | 0.27 | $ | 0.35 | $ | (0.08 | ) | $ | (0.23 | ) | $ | — | $ | (0.31 | ) | $ | 11.05 | 3.29 | %** | $ | 16.5 | 2.62 | %* | 1.90 | %* | 2.62 | %*ا | 1.90 | %*ا | 1.44 | %* | 221 | %** | 226 | %** | ||||||||||||||||||||||||||||||||||||
Period from 12/31/2013^ to 10/31/2014 | $ | 10.99 | $ | 0.01 | $ | 0.01 | $ | 0.02 | $ | — | $ | — | $ | — | $ | — | $ | 11.01 | 0.18 | %** | $ | 32.5 | 2.56 | %* | 2.08 | %* | 2.46 | %*Ø | 1.98 | %*Ø | 0.10 | %* | 329 | % | 257 | %ØØ |
See Notes to Financial Highlights
83
84
Financial Highlights (cont'd)
Net Asset Value, Beginning of Period | Net Investment Income (Loss)@ | Net Gains or Losses on Securities (both realized and unrealized) | Total From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Tax Return of Capital | Total Distributions | Net Asset Value, End of Period | Total Return†† | Net Assets, End of Period (in millions) | Ratio of Gross Expenses to Average Net Assets# | Ratio of Gross Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales) | Ratio of Net Expenses to Average Net Assets | Ratio of Net Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long Short Multi-Manager Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/15 (Unaudited) | $ | 10.39 | $ | (0.08 | ) | $ | 0.38 | $ | 0.30 | $ | (0.02 | ) | $ | (0.07 | ) | $ | — | $ | (0.09 | ) | $ | 10.60 | 2.88 | %** | $ | 32.8 | 4.06 | %* | 3.23 | %* | 2.80 | %* | 1.97 | %* | (1.46 | %)* | 310 | %** | 329 | %** | |||||||||||||||||||||||||||||||||||
Period from 12/19/2013^ to 10/31/2014 | $ | 10.00 | $ | (0.11 | ) | $ | 0.50 | $ | 0.39 | $ | — | $ | — | $ | — | $ | — | $ | 10.39 | 3.90 | %** | $ | 30.8 | 5.09 | %*‡ | 4.50 | %*‡ | 2.64 | %*‡ | 2.05 | %*‡ | (1.26 | %)*‡ | 293 | %** | 168 | %** | ||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/15 (Unaudited) | $ | 10.36 | $ | (0.09 | ) | $ | 0.36 | $ | 0.27 | $ | — | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | 10.56 | 2.64 | %** | $ | 0.8 | 4.46 | %* | 3.62 | %* | 3.16 | %* | 2.33 | %* | (1.80 | %)* | 310 | %** | 329 | %** | ||||||||||||||||||||||||||||||||||||
Period from 12/19/2013^ to 10/31/2014 | $ | 10.00 | $ | (0.15 | ) | $ | 0.51 | $ | 0.36 | $ | — | $ | — | $ | — | $ | — | $ | 10.36 | 3.60 | %** | $ | 0.9 | 5.87 | %*‡ | 5.30 | %*‡ | 2.99 | %*‡ | 2.42 | %*‡ | (1.66 | %)*‡ | 293 | %** | 168 | %** | ||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/15 (Unaudited) | $ | 10.29 | $ | (0.13 | ) | $ | 0.37 | $ | 0.24 | $ | — | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | 10.46 | 2.36 | %** | $ | 0.3 | 5.22 | %* | 4.38 | %* | 3.92 | %* | 3.08 | %* | (2.57 | %)* | 310 | %** | 329 | %** | ||||||||||||||||||||||||||||||||||||
Period from 12/19/2013^ to 10/31/2014 | $ | 10.00 | $ | (0.21 | ) | $ | 0.50 | $ | 0.29 | $ | — | $ | — | $ | — | $ | — | $ | 10.29 | 2.90 | %** | $ | 0.3 | 8.18 | %*‡ | 7.59 | %*‡ | 3.73 | %*‡ | 3.15 | %*‡ | (2.34 | %)*‡ | 293 | %** | 168 | %** |
See Notes to Financial Highlights
85
86
Notes to Financial Highlights
@ Calculated based on the average number of shares outstanding during each fiscal period.
†† Total return based on per share NAV reflects the effects of changes in NAV on the performance of each Fund during each fiscal period. Returns assume income dividends and other distributions, if any, were reinvested but do not reflect the effect of sales charges. Results represent past performance and do not indicate future results. Current returns may be lower or higher than the performance data quoted. Investment returns and principal may fluctuate and shares when redeemed may be worth more or less than original cost. Total return would have been lower if Management had not reimbursed and/or waived certain expenses. Total return would have been higher if Management had not recouped previously reimbursed and/or waived expenses.
# Represents the annualized ratios of net expenses to average daily net assets if Management had not reimbursed certain expenses and/or waived a portion of the investment management fee.
‡ Organization expense, which is a non-recurring expense, is included in these ratios on a non-annualized basis.
** Not annualized.
* Annualized.
^ The date investment operations commenced.
Ø After reimbursement of expenses and/or waiver of a portion of the investment management fee by Management. The Fund is required to calculate an expense ratio without taking into consideration any expense reductions related to expense offset arrangements. Had the Fund not received expense reductions related to expense offset arrangements, the annualized ratios of net expenses to average daily net assets would have been:
Including Dividend and Interest Expense Relating to Short Sales | Excluding Dividend and Interest Expense Relating to Short Sales | Including Dividend and Interest Expense Relating to Short Sales | Excluding Dividend and Interest Expense Relating to Short Sales | Including Dividend and Interest Expense Relating to Short Sales | Excluding Dividend and Interest Expense Relating to Short Sales | ||||||||||||||||||||||
Six Months Ended April 30, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | |||||||||||||||||||||||||
Absolute Return Multi-Manager Fund Institutional Class | 2.64 | % | 1.97 | % | 2.55 | % | 2.04 | % | 2.30 | % | 2.01 | % | |||||||||||||||
Absolute Return Multi-Manager Fund Class A | 3.00 | % | 2.33 | % | 2.90 | % | 2.38 | % | 2.63 | % | 2.35 | % | |||||||||||||||
Absolute Return Multi-Manager Fund Class C | 3.75 | % | 3.08 | % | 3.66 | % | 3.15 | % | 3.39 | % | 3.10 | % | |||||||||||||||
Absolute Return Multi-Manager Fund Class R6 | 2.62 | % | 1.90 | % | 2.46 | % | 1.98 | %(1) | — | — |
(1) Period from December 31, 2013 (Commencement of Operations) to October 31, 2014.
ØØ Portfolio turnover is calculated at the Fund level. Percentage indicated was calculated for the year ended October 31, 2014 for Absolute Return Multi-Manager.
87
Notes to Financial Highlights (cont'd)
§ After repayment of expenses previously reimbursed and/or fees previously waived by Management, as applicable. Had the Fund not made such repayments, the annualized ratios of net expenses to average daily net assets would have been:
Including Dividend and Interest Expense Relating to Short Sales | Excluding Dividend and Interest Expense Relating to Short Sales | ||||||||||
Six Months Ended April 30, 2015 | |||||||||||
Absolute Return Multi-Manager Fund Institutional Class | 2.56 | % | 1.89 | % | |||||||
Absolute Return Multi-Manager Fund Class A | 2.95 | % | 2.27 | % | |||||||
Absolute Return Multi-Manager Fund Class C | 3.69 | % | 3.01 | % | |||||||
Absolute Return Multi-Manager Fund Class R6 | 2.54 | % | 1.86 | % |
88
Directory
Investment Manager, Administrator and Distributor
Neuberger Berman Management LLC
605 Third Avenue, 2nd Floor
New York, NY 10158-0180
800.877.9700 or 212.476.8800
Intermediary Client Services 800.366.6264
Sub-Advisers
NB Alternative Investment Management LLC
605 Third Avenue, 22nd Floor
New York, NY 10158
Blue Jay Capital Management, LLC
2121 Avenue of the Stars, Suite 2420
Los Angeles, CA 90067
Cloud Gate Capital LLC
900 North Michigan Avenue, Suite 1600
Chicago, IL 60611
Cramer Rosenthal McGlynn, LLC
520 Madison Avenue, 20th Floor
New York, NY 10022
GAMCO Asset Management Inc.
One Corporate Center
Rye, NY 10580
Good Hill Partners LP
1599 Post Road East
Westport, CT 06880
Lazard Asset Management LLC
30 Rockefeller Plaza
New York, NY 10112
Levin Capital Strategies, L.P.
595 Madison Avenue, 17th Floor
New York, NY 10022
MacKay Shields LLC
1345 Avenue of the Americas, 43rd Floor
New York, NY 10105
SLS Management, LLC
140 West 57th Street, 7th Floor
New York, New York 10019
Sound Point Capital Management, L.P.
375 Park Avenue
New York, NY 10152
Visium Asset Management, LP
888 Seventh Avenue, 22nd Floor
New York, NY 10019
Custodian
J.P. Morgan Chase Bank, N.A.
14201 Dallas Parkway
Dallas, TX 75254
Shareholder Servicing Agent
State Street Bank and Trust Company
2 Avenue de Lafayette
Boston, MA 02111
For Institutional Class Shareholders
Address correspondence to:
Neuberger Berman Management LLC
605 Third Avenue, Mail Drop 2-7
New York, NY 10158-0180
Attn: Intermediary Client Services
800.366.6264
For Class A, Class C and Class R6 Shareholders:
Please contact your investment provider
Legal Counsel
K&L Gates LLP
1601 K Street, NW
Washington, DC 20006-1600
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
89
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities is available, without charge, by calling 800-877-9700 (toll-free) and on the Securities and Exchange Commission's website, at www.sec.gov. Information regarding how the Trust 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 800-877-9700 (toll-free), on the Securities and Exchange Commission's website at www.sec.gov, and on Management's website at www.nb.com.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings for each Fund with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Trust's Forms N-Q are available on the Securities and Exchange Commission's website at www.sec.gov and may be reviewed and copied at the Securities and Exchange Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 800-877-9700 (toll-free).
90
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91
Investment manager: Neuberger Berman Management LLC
Investment adviser: NB Alternative Investment Management LLC
Neuberger Berman Management LLC
605 Third Avenue 2nd Floor
New York, NY 10158–0180
Shareholder Services
800.877.9700
Institutional Services
800.366.6264
www.nb.com
Statistics and projections in this report are derived from sources deemed to be reliable but cannot be regarded as a representation of future results of the Funds. This report is prepared for the general information of shareholders and is not an offer of shares of the Funds. Shares are sold only through the currently effective prospectus, which must precede or accompany this report.
N0087 06/15
Neuberger Berman
Alternative and Multi-Asset Class Funds
Institutional Class Shares
Class A Shares
Class C Shares
Flexible Select Fund
Global Allocation Fund
Inflation Managed Fund
(Formerly Inflation Navigator Fund)
Long Short Fund
Multi-Asset Income Fund
Semi-Annual Report
April 30, 2015
Contents
THE FUNDS | |||||||
President's Letter | 1 | ||||||
PORTFOLIO COMMENTARY | |||||||
Flexible Select Fund | 2 | ||||||
Global Allocation Fund | 4 | ||||||
Inflation Managed Fund (Formerly Inflation Navigator Fund) | 6 | ||||||
Long Short Fund | 8 | ||||||
Multi-Asset Income Fund | 10 | ||||||
FUND EXPENSE INFORMATION | 15 | ||||||
SCHEDULE OF INVESTMENTS/TOP TEN HOLDINGS | |||||||
Flexible Select Fund | 17 | ||||||
Global Allocation Fund | 23 | ||||||
Positions by Industry | 34 | ||||||
Inflation Managed Fund (Formerly Inflation Navigator Fund) | 37 | ||||||
Long Short Fund | 41 | ||||||
Multi-Asset Income Fund | 47 | ||||||
FINANCIAL STATEMENTS | 61 | ||||||
FINANCIAL HIGHLIGHTS (ALL CLASSES)/ PER SHARE DATA | |||||||
Flexible Select Fund | 97 | ||||||
Global Allocation Fund | 97 | ||||||
Inflation Managed Fund (Formerly Inflation Navigator Fund) | 99 | ||||||
Long Short Fund | 101 | ||||||
Multi-Asset Income Fund | 101 | ||||||
Directory | 104 | ||||||
Proxy Voting Policies and Procedures | 105 | ||||||
Quarterly Portfolio Schedule | 105 | ||||||
Board Consideration of the Management and Sub-Advisory Agreements | 106 |
The "Neuberger Berman" name and logo are registered service marks of Neuberger Berman Group LLC. "Neuberger Berman Management LLC" and the individual Fund names in this piece are either service marks or registered service marks of Neuberger Berman Management LLC. ©2015 Neuberger Berman Management LLC. All rights reserved.
President's Letter
Dear Shareholder,
I am pleased to present this semi-annual shareholder report for Neuberger Berman Flexible Select Fund, Neuberger Berman Global Allocation Fund, Neuberger Berman Inflation Managed Fund (formerly Neuberger Berman Inflation Navigator Fund), and Neuberger Berman Long Short Fund. This report also includes the new Neuberger Berman Multi-Asset Income Fund, which was launched on March 27, 2015.
The global financial markets experienced periods of volatility but largely generated positive results during the six months ended April 30, 2015. Investor sentiment was challenged at times given mixed global economic data, questions regarding future central bank monetary policy and a host of geopolitical issues. Despite several setbacks, the global equity market posted positive returns during the period. In the U.S., the S&P 500® Index reached several new all-time highs. Elsewhere, optimism regarding the European Central Bank's aggressive actions to stimulate growth supported a number of international developed market equities. While emerging markets equities also rose, their gains were less robust. Within fixed income, longer-term Treasury yields declined and the yield curve flattened. Finally, inflation was largely benign, partially due to lower oil prices.
Looking ahead, we think the U.S. economy is likely to continue to strengthen as the year progresses. However, data suggest that expansion may be modest and is unlikely to trigger a sharp uptick in inflation. This scenario, along with ongoing slack in the broader global economy, leads us to believe the U.S. Federal Reserve's (Fed) initial interest rate hike will not occur until later in the year. Furthermore, we believe the Fed will take a cautious and measured approach in terms of monetary tightening after interest rate "liftoff" begins.
Thank you for your continued support and trust. We look forward to continue serving your investment needs in the years to come.
Sincerely,
ROBERT CONTI
PRESIDENT AND CEO
NEUBERGER BERMAN MUTUAL FUNDS
1
Flexible Select Fund Commentary
Neuberger Berman Flexible Select Fund Institutional Class generated a 3.32% total return for the six months ended April 30, 2015 but underperformed its benchmark, the Russell 3000® Index, which provided a 4.74% return. (Performance for all share classes is provided in the table immediately following this letter.)
The Fund seeks to provide long-term capital appreciation with lower volatility than the broader equity market, with a focus on mitigating downside risk. To pursue this objective, the Fund combines the core securities selected by a diversified group of experienced Neuberger Berman portfolio managers, who have the flexibility to use an all-cap, all-style equity approach in addition to the incidental use of cash and bonds in an attempt to decrease risk. As of April 30, 2015, the allocation was 88.0% equity, 5.2% fixed income and 6.7% cash and cash equivalents.
Recent macroeconomic data in the U.S. have pointed to a slowdown after several quarters of solid economic growth. The March jobs report came in significantly below consensus, and wage growth has been generally flat. The advanced estimate of GDP for the first quarter of 2015 showed output in the U.S. increasing at 0.2%, well below expectations of 1%. The estimate was hurt, in part, by the strong dollar. However, transitory factors were at play as well: similar to last year, weather played a role, and the ports shutdown on the West Coast also contributed to disruptions. The Federal Open Market Committee (FOMC) also characterized the softer economic growth in the winter months as transitory. Nevertheless, in March the FOMC cut its projections for the expected path of the federal funds rate, implying a slower pace of tightening.
In the equity portion of the portfolio, industry sector allocation had a negative contribution to relative performance during the six-month period. The overweight to Energy versus the benchmark was the most significant detractor. Security selection had a positive contribution to relative performance. The largest contributions came from holdings in Financials and Consumer Staples. Conversely, the largest negative security selection came from holdings in Consumer Discretionary. From a sector perspective, Materials and Industrials ended up being the portfolio's largest and third largest overweights, respectively—positioning that reflected a positive outlook on the U.S. economy. Health Care ended up as the second largest overweight in the portfolio as the portfolio managers added to their positions in the large- and mega-cap pharmaceuticals space. The overweight to Energy decreased significantly during the reporting period as a result of both market movements and active trimming.
The portfolio's largest underweights ended up being Consumer Staples and Telecommunication Services, followed by Information Technology. The underweight to Information Technology increased slightly during the period as managers trimmed positions that have met price targets. The underweight to Financials, which was the largest underweight at the start of the period, has decreased meaningfully as managers selectively added names as the fundamentals for the sector improved.
Overall, we are optimistic on the U.S. economy and equity markets—we anticipate U.S. macroeconomic data will improve from the recent slowdown. However, we acknowledge that equity valuations in certain segments of the market are more expensive. We think the threat of increased volatility—from risks such as continued sluggishness in Europe, slower growth in China and other emerging economies, and ongoing geopolitical issues—as a factor that warrants caution. We believe that the onset of Fed tightening, when it does come, may ultimately mean the economy, employment and inflation are moving in a positive direction, which is an attractive backdrop for stocks.
Sincerely,
JOSEPH V. AMATO
PORTFOLIO MANAGER
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change.
The opinions expressed are those of the Fund's portfolio manager. The opinions are as of the date of this report and are subject to change without notice.
2
Flexible Select Fund
TICKER SYMBOLS
Institutional Class | NFLIX | ||||||
Class A | NFLAX | ||||||
Class C | NFLCX |
SECTOR ALLOCATION
(as a % of Total Investments)
Consumer Discretionary | 11.3 | % | |||||
Consumer Staples | 5.2 | ||||||
Energy | 7.4 | ||||||
Financials | 14.5 | ||||||
Health Care | 14.3 | ||||||
Industrials | 11.5 | ||||||
Information Technology | 15.5 | ||||||
Materials | 5.2 | ||||||
Telecommunication Services | 0.7 | ||||||
Utilities | 2.3 | ||||||
Exchange Traded Funds | 0.2 | ||||||
Mutual Funds | 5.1 | ||||||
Short-Term Investments | 6.8 | ||||||
Total | 100.0 | % |
PERFORMANCE HIGHLIGHTS
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2015 | |||||||||||||||||
Date | 04/30/2015 | 1 Year | Life of Fund | ||||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 05/31/2013 | 3.32 | % | 8.58 | % | 11.89 | % | ||||||||||||
Class A | 05/31/2013 | 3.13 | % | 8.22 | % | 11.48 | % | ||||||||||||
Class C | 05/31/2013 | 2.86 | % | 7.40 | % | 10.68 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | –2.82 | % | 2.02 | % | 8.10 | % | |||||||||||||
Class C | 1.86 | % | 6.40 | % | 10.68 | % | |||||||||||||
Index | |||||||||||||||||||
Russell 3000® Index1,2 | 4.74 | % | 12.74 | % | 15.23 | % |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Management LLC (Management) had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the total annual operating expense ratios for fiscal year 2014 were 1.22%, 1.70% and 2.44% for Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratios were 0.89%, 1.25% and 2.00% for Institutional Class, Class A and Class C shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ending April 30, 2015 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
3
Global Allocation Fund Commentary
Neuberger Berman Global Allocation Fund1 Institutional Class generated a 4.76% total return for the 6 months ended April 30, 2015 and outperformed its custom benchmark, a 60/40 combination of the MSCI All Country World Index and the Barclays Global Aggregate Index, which provided a 2.38% return for the period. (Performance for all share classes is provided in the table immediately following this letter.) The benchmark changed during the reporting period; the prior custom benchmark was a 50/50 combination of the MSCI World Index and the J.P. Morgan Global Government Bond Index.
In January of 2015, the Fund was enhanced to include broader access to the firm's entire investment platform and two new portfolio managers were added to the portfolio. The Fund employs a diversified, flexible approach to accessing opportunities across the global marketplace. It incorporates both strategic and tactical asset allocation decision making and active management. Systematic and discretionary tactical overlays complement these allocations. As part of the change, the benchmark was modified as noted above.
In general, global equity markets generated positive returns during the reporting period. U.S. stocks lagged other regions, particularly since the beginning of 2015. ln terms of the fixed income markets, non-U.S. and emerging market debt fixed income were negative, while U.S. fixed income generated positive returns. The U.S. has seen some slowdown in jobs and wage data so far this year, as well as weak GDP growth hurt by a strong dollar. The outlook for the eurozone, on the other hand, improved, with upside GDP growth revisions due to a weaker euro, supportive wage increases, a near-term boost from lower oil prices, and the European Central Bank's monetary policy actions. China's growth has been slowing, but the country's leadership has proven itself willing to provide support in an effort to keep the economy on track.
In the period since the Fund's enhancement mentioned above, the largest positive contributor to the Fund's outperformance came from fixed income. Both the underweight to the asset class as a whole and security selection (the Fund's holdings were changed to be weighted toward short duration high income and emerging markets debt, and away from government securities), added to performance.
During the period, the Fund was overweighted to equities relative to its benchmark, a decision that further added to relative performance. Conversely, security selection in equities was a drag on returns. The Fund's use of opportunistic investments (derivatives [such as futures, swap contracts and forwards], currencies and tactical overlays) was an overall positive contributor to performance, while the presence of cash detracted slightly.
Looking ahead, we are optimistic on the global economy. We believe the recent weakness in the U.S. is temporary and that growth should re-accelerate. We believe growth in Europe will turn up and China will stabilize, albeit at a lower level. We anticipate inflation will remain subdued, but acknowledge the prospect of a modest increase in the second half of the year. We maintain a modest bias towards risk asset classes, while acknowledging that valuations in certain segments of the equity market have grown richer. Caution is warranted in what may be a higher-volatility environment going forward, with risks from the uncertain path of global growth and ongoing geopolitical issues. In fixed income, we favor credit, particularly high yield, over most developed market government securities. We also favor emerging markets debt with a bias toward hard currency sovereigns.
Sincerely,
ERIK KNUTZEN, BRADLEY TANK, WAI LEE AND AJAY JAIN
PORTFOLIO CO-MANAGERS
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change.
The opinions expressed are those of the Fund's portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
1 Much of the Fund's investment exposure is accomplished through the use of derivatives, including total return swaps, futures and forwards, which may not require the Fund to deposit the full notional amount of its investments with counterparties. The Fund's resulting cash balances are invested in money market mutual funds.
4
Global Allocation Fund
TICKER SYMBOLS
Institutional Class | NGLIX | ||||||
Class A | NGLAX | ||||||
Class C | NGLCX |
PERFORMANCE HIGHLIGHTS3
Six Month | Average Annual Total Return Ended 04/30/2015 | ||||||||||||||||||
Inception Date | Period Ended 04/30/2015 | 1 Year | Life of Fund | ||||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 12/29/2010 | 4.76 | % | 1.93 | % | 7.59 | % | ||||||||||||
Class A | 12/29/2010 | 4.56 | % | 1.63 | % | 7.21 | % | ||||||||||||
Class C | 12/29/2010 | 4.15 | % | 0.82 | % | 6.40 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | –1.48 | % | –4.25 | % | 5.76 | % | |||||||||||||
Class C | 3.15 | % | –0.17 | % | 6.40 | % | |||||||||||||
Index | |||||||||||||||||||
60% MSCI All Country World Index and 40% Barclays Global Aggregate Index1,2 | 2.38 | % | 3.23 | % | 6.67 | % | |||||||||||||
MSCI All Country World Index1,2 | 5.24 | % | 8.02 | % | 9.66 | % | |||||||||||||
50% MSCI World Index and 50% J.P. Morgan Global Government Bond Index1,2 | 1.79 | % | 1.88 | % | 6.11 | % | |||||||||||||
MSCI World Index1,2 | 5.38 | % | 7.99 | % | 10.89 | % |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Management LLC (Management) had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the total annual operating expense ratios for fiscal year 2014 were 3.13%, 3.51% and 4.26% for Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratios were 1.53%, 1.89% and 2.64% for Institutional Class, Class A and Class C shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ending April 30, 2015 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
5
Inflation Managed Fund Commentary*
Neuberger Berman Inflation Managed Fund (previously Neuberger Berman Inflation Navigator Fund) Institutional Class generated a -0.39% total return for the six months ended April 30, 2015. During this same time period, the Barclays U.S. 1-10 Year Treasury Inflation-Protected Securities (TIPS) Index provided a 0.60% return while the U.S. Consumer Price Index declined 0.35%.1 (Performance for all share classes is provided in the table immediately following this letter.)
Despite several setbacks, the overall fixed income market posted a positive return over the six-month period. Short-term Treasury yields moved higher as the market anticipated a U.S. Federal Reserve (Fed) interest rate hike in 2015. In contrast, longer-term rates declined given a number of flights to quality triggered by geopolitical issues and concerns over global growth. The yield on the 10-year Treasury began the period at 2.34% and fell as low as 1.64% in late January 2015, before ending the period at 2.03%. Most non-Treasury securities produced positive returns, but generated mixed results versus equal-duration Treasuries. Finally, inflation expectations were muted during the reporting period.
The Fund's underperformance during the reporting period was driven by its allocations to commodities, master limited partnerships (MLPs) and energy-related equities. The Fund used Treasury futures during the reporting period to assist in managing its duration positioning, which was a drag on results. On the upside, the Fund's exposures to high yield corporate bonds, senior floating rate loans, TIPS and material equities contributed the most to portfolio performance. Elsewhere, the Fund's dynamic overlay (flexible use of strategies in an attempt to capitalize on short-term changes in inflation expectations) did not meaningfully impact performance during the period.
The Fund's use of futures detracted from the Fund's performance.
Looking ahead, we continue to believe the decision as to when the Fed will start raising rates will be data dependent. Thus far in 2015, economic data has been generally muted and inflation has remained benign. While oil prices have fallen sharply since their peak in June 2014, this has yet to equate to a meaningful increase in consumer spending. While we believe growth in the U.S. will gain some traction as the year progresses, we do not anticipate seeing a robust expansion. In such an environment, we anticipate that inflation will remain contained.
Sincerely,
THANOS BARDAS, ANDREW JOHNSON AND THOMAS J. MARTHALER
PORTFOLIO CO-MANAGERS
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change.
The opinions expressed are those of the Fund's portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
* Effective February 28, 2015, Neuberger Berman Inflation Navigator Fund changed its name to Neuberger Berman Inflation Managed Fund.
1 Consumer Price Index (CPI) is a measure that examines the weighted average of prices of a basket of consumer goods and services, such as transportation, food and medical care. The CPI is one of the most frequently used statistics for identifying periods of inflation or deflation. The CPI is available monthly, so the value shown is from October 31, 2014 to April 30, 2015, and is not seasonally adjusted.
6
Inflation Managed Fund
TICKER SYMBOLS
Institutional Class | NDRIX | ||||||
Class A | NDRAX | ||||||
Class C | NDRCX |
PORTFOLIO BY TYPE OF
INVESTMENT STRATEGY
(as a % of Total Investment Strategies)
Commodities | 8.8 | % | |||||
Emerging Markets | 8.3 | ||||||
Global Treasury Inflation Protected Securities | 25.8 | ||||||
High Yield Securities | 8.2 | ||||||
Loans | 4.4 | ||||||
Master Limited Partnerships | 14.0 | ||||||
Real Estate Investment Trusts | 9.7 | ||||||
S&P Energy | 10.6 | ||||||
S&P Materials | 10.2 | ||||||
Total | 100.0 | % |
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets)
Common Stocks | 44.3 | % | |||||
Government Securities | 12.0 | ||||||
U.S. Treasury Securities | 12.5 | ||||||
Mutual Funds | 29.5 | ||||||
Short-Term Investments | 1.2 | ||||||
Cash, receivables and other assets, less liabilities | 0.5 | ||||||
Total | 100.0 | % |
PERFORMANCE HIGHLIGHTS4
Six Month | Average Annual Total Return Ended 04/30/2015 | ||||||||||||||||||
Inception Date | Period Ended 04/30/2015 | 1 Year | Life of Fund | ||||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 12/19/2012 | –0.39 | % | –0.30 | % | 3.84 | % | ||||||||||||
Class A | 12/19/2012 | –0.61 | % | –0.71 | % | 3.47 | % | ||||||||||||
Class C | 12/19/2012 | –0.98 | % | –1.44 | % | 2.69 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | –6.30 | % | –6.38 | % | 0.92 | % | |||||||||||||
Class C | –1.96 | % | –2.42 | % | 2.69 | % | |||||||||||||
Index | |||||||||||||||||||
Barclays U.S. 1-10 Year | |||||||||||||||||||
Treasury TIPS Index1,2 | 0.60 | % | 0.97 | % | –1.12 | % |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Management LLC (Management) had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the total annual operating expense ratios for fiscal year 2014 were 3.53%, 3.95% and 4.74% for Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratios were 1.00%, 1.36% and 2.11% for Institutional Class, Class A and Class C shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ending April 30, 2015 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
7
Long Short Fund Commentary
Neuberger Berman Long Short Fund Institutional Class generated a 1.88% total return for the six months ended April 30, 2015 but underperformed its primary benchmark, the HFRX Equity Hedge Index, which returned 3.76% for the period. The Fund also underperformed the S&P 500® Index, which provided a 4.40% return for the period. (Performance for all share classes is provided in the table immediately following this letter.)
The global financial markets largely posted positive results during the reporting period. Still, there were periods of volatility given mixed global economic data, shifting central bank monetary policy, declining oil prices and a number of geopolitical issues. Economic growth in the U.S. moderated during the period, partially attributed to severe winter weather in parts of the country. Elsewhere, growth remained tepid in Europe and Japan.
We maintained our positive outlook on risk assets, such as equities and high yield bonds, during the reporting period. This was reflected in the Fund's net notional long exposure, which began the period at approximately 55% net long, then moved to a high of about 66% at the closing of the period. Given our outlook for an ongoing economic expansion in the U.S., we continued to favor more cyclical industries, including those within the Consumer Discretionary and Industrials sectors.
We categorize our long investment exposure into three groups: Capital Growth, Total Return and Opportunistic. During the period we reduced our allocation to Total Return in favor of Capital Growth. We found what seemed to us to be more compelling opportunities in Capital Growth relative to Total Return, as higher interest rates could negatively impact longer duration assets and cash flows. The portfolio's short exposure includes "Fundamental" shorts and "Market" shorts. During the period, our Market shorts consisted primarily of sector-based exchange traded funds, coupled with short futures positions on broad-based U.S. equity indices and U.S. Treasuries. During the period, we found more shorting opportunities based on underlying company fundamentals.
The Fund's use of futures and options detracted from the Fund's performance overall.
Looking ahead, our base case scenario still revolves around a modest economic expansion. However, we remain mindful that our constructive view on risk assets is not without risks. For example, while the U.S. Federal Reserve will most likely be gradual in its approach to an interest rate hike, a regime change from the past few years of robust global liquidity may bring about unintended consequences. We also monitor a weak Chinese economy that still struggles from an imbalanced economy. In Europe, persistent low to negative growth, combined with prolonged deflation concerns, remain key risks to the global economy. In our view, this will force European Central Bank policy makers to react with additional monetary stimulus to prevent a downward spiral in the region. Furthermore, we think deteriorating oil prices further destabilize an already unpredictable Russian state and Middle East region. We highlight these risks because the current environment necessitates a flexible approach. Moreover, we strongly believe the greatest risks to the global economy are still those that are unknown today—be they financial or geopolitical in nature. As always, we must be ready and able to adapt if the facts change.
Sincerely,
CHARLES KANTOR
PORTFOLIO MANAGER
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change.
The opinions expressed are those of the Fund's portfolio manager. The opinions are as of the date of this report and are subject to change without notice.
8
Long Short Fund
TICKER SYMBOLS
Institutional Class | NLSIX | ||||||
Class A | NLSAX | ||||||
Class C | NLSCX |
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets)
Long | Short | ||||||||||
Common Stocks | 70.8 | % | (8.6 | )% | |||||||
Corporate Debt Securities | 9.0 | — | |||||||||
Exchange Traded Funds | — | (5.6 | ) | ||||||||
Purchased Options | 0.1 | — | |||||||||
Short-Term Investments | 15.9 | — | |||||||||
Cash, receivables and other assets, less liabilities | 18.4 | — | |||||||||
Total | 114.2 | % | (14.2 | )% |
PERFORMANCE HIGHLIGHTS
Six Month | Average Annual Total Return Ended 04/30/2015 | ||||||||||||||||||
Inception Date | Period Ended 04/30/2015 | 1 Year | Life of Fund | ||||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 12/29/2011 | 1.88 | % | 4.61 | % | 9.25 | % | ||||||||||||
Class A | 12/29/2011 | 1.61 | % | 4.19 | % | 8.85 | % | ||||||||||||
Class C | 12/29/2011 | 1.24 | % | 3.36 | % | 8.05 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | –4.25 | % | –1.82 | % | 6.94 | % | |||||||||||||
Class C | 0.24 | % | 2.36 | % | 8.05 | % | |||||||||||||
Index | |||||||||||||||||||
HFRX Equity Hedge Index1,2 | 3.76 | % | 5.09 | % | 6.26 | % | |||||||||||||
S&P 500® Index1,2 | 4.40 | % | 12.98 | % | 19.06 | % |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Management LLC (Management) had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the total annual operating expense ratios for fiscal year 2014 were 1.73%, 2.11% and 2.85% for Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratios for the semi-annual period ending April 30, 2015 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
9
Multi-Asset Income Fund Commentary
We are pleased to provide the first annual report for Neuberger Berman Multi-Asset Income Fund, which was launched on March 27, 2015. The Fund is designed as a flexible, actively-managed, multi-asset class income product focused on generating attractive income, with capital appreciation as a secondary objective. The Fund provides diversification across a broad array of asset classes and makes tactical allocation shifts as market conditions evolve.
Since its inception through April 30, 2015, the Fund generated a 1.22% total return and outperformed its custom benchmark, a 60/40 combination of the Barclays U.S. Aggregate Bond Index and the S&P 500® Index, which provided a 0.67% return for the same period. (Performance for all share classes is provided in the table immediately following this letter.)
The Fund's portfolio management team employs a top-down approach to allocating across asset classes. The allocation to asset classes may be achieved by investing directly in securities or by investing in underlying funds, including affiliated funds and exchange-traded funds. Neuberger Berman's Asset Allocation Committee makes the top-down allocation decisions and has the flexibility to take advantage of tactical opportunities during market dislocations. The underlying portfolios are managed by a group of Neuberger Berman's leading investment professionals who make the actual security selection decisions.
Since the Fund's launch, security selection in both the equity and fixed income segments contributed positively to performance. Within equities, the Fund's holdings emphasized securities offering higher yields than the index. Within fixed income, the Fund's holdings were focused on short duration high income and emerging markets debt, and less on government securities.
The Fund's use of opportunistic investments (such as derivatives, specifically forward contracts) contributed positively to performance.
The Fund was initially constructed to reflect a modest overweight to equities and underweight to fixed income relative to the benchmark, reflecting our optimistic view of the global economy. We believe the recent weakness in the U.S. is temporary and that growth there should re-accelerate. We believe growth in Europe will turn up and China will stabilize, albeit at a lower level. We anticipate inflation to remain subdued, but acknowledge the prospect of a modest increase in the second half of the year. While we maintain a modest bias towards risk asset classes (e.g., high yield bonds, equities, currencies), we acknowledge that valuations in certain segments of the equity market have grown richer. Caution is warranted in what may be a higher-volatility environment going forward, with risks from the uncertain path of global growth and ongoing geopolitical issues. In fixed income, we favor credit, particularly high yield, over most developed market government securities. We also favor emerging markets debt with a bias toward hard currency sovereigns.
Sincerely,
ERIK KNUTZEN, BRADLEY TANK, WAI LEE AND AJAY JAIN
PORTFOLIO CO-MANAGERS
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change.
The opinions expressed are those of the Fund's portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
10
Multi-Asset Income Fund
TICKER SYMBOLS
Institutional Class | NANIX | ||||||
Class A | NANAX | ||||||
Class C | NANCX | ||||||
Class R6 | NRANX |
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets)
Common Stocks | 42.6 | % | |||||
Exchange Traded Funds | 5.3 | ||||||
Mutual Funds | 41.3 | ||||||
U.S. Treasury Securities | 8.9 | ||||||
U.S. Government Agency Securities | 1.0 | ||||||
Short-Term Investments | 1.4 | ||||||
Liabilities, less cash, receivables and other assets | (0.5) | ||||||
Total | 100.0 | % |
PERFORMANCE HIGHLIGHTS
Inception Date | Cumulative Total Return Ended 04/30/2015 Life of Fund | ||||||||||
At NAV | |||||||||||
Institutional Class | 03/27/2015 | 1.22 | % | ||||||||
Class A | 03/27/2015 | 1.19 | % | ||||||||
Class C | 03/27/2015 | 1.12 | % | ||||||||
Class R6 | 03/27/2015 | 1.23 | % | ||||||||
With Sales Charge | |||||||||||
Class A | –3.08 | % | |||||||||
Class C | 0.12 | % | |||||||||
Index | |||||||||||
60% Barclays U.S. Aggregrate Bond Index and 40% S&P 500® Index1,2 | 0.67 | % | |||||||||
Barclays U.S. Aggregate Bond Index1,2 | 0.07 | % |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Management LLC (Management) had not reimbursed certain expenses and/or waived a portion of the investment management fees during the period shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the estimated total annual operating expense ratios for fiscal year 2015 are 1.36%, 1.73%, 2.48% and 1.29% for Institutional Class, Class A, Class C and Class R6 shares, respectively (before expense reimbursements and/or fee waivers, if any). The estimated total annual operating expense ratios are 0.78%, 1.15%, 1.90% and 0.71% for Institutional Class, Class A, Class C and Class R6 shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the period from March 27 through April 30, 2015 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 4.25% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
11
Endnotes
1 Please see "Glossary of Indices" on page 13 for a description of indices. Please note that individuals cannot invest directly in any index. The HFRX Equity Hedge Index takes into account fees and expenses of investing since it is based on the underlying hedge funds' net returns. The other indices described in this report do not take into account any fees, expenses or tax consequences of investing in the individual securities that they track. Data about the performance of an index are prepared or obtained by Neuberger Berman Management LLC ("Management") and reflect the reinvestment of income dividends and other distributions, if any. The Fund may invest in securities not included in a described index and generally does not invest in all securities included in a described index.
2 The date used to calculate Life of Fund performance for the index is the inception date of the oldest share class.
3 During the period from December 29, 2010 through April 30, 2011, Neuberger Berman Global Allocation Fund had only one shareholder and the Fund was relatively small, which could have impacted Fund performance. The same techniques used to produce returns in a small fund may not work to produce similar returns in a larger fund.
4 Effective February 28, 2015, Neuberger Berman Inflation Navigator Fund changed its name to Neuberger Berman Inflation Managed Fund.
For more complete information on any of the Neuberger Berman Alternative and Multi-Asset Class Funds, call Neuberger Berman Management LLC at (800) 877-9700, or visit our website at www.nb.com.
12
Glossary of Indices
Barclays Global Aggregate Index: | The index measures global investment grade debt from twenty-four different local currency markets and includes fixed-rate treasury, government-related, corporate and securitized bonds from both developed and emerging markets issuers. The index is largely comprised of three major regional aggregate components: the Barclays U.S. Aggregate Bond Index, the Barclays Pan-European Aggregate Bond Index, and the Barclays Asian-Pacific Aggregate Index. In addition to securities from these three indices, the Barclays Global Aggregate Index also includes investment grade Eurodollar, Euro-Yen, Canadian, and 144A Index-eligible securities not already in these three indices. | ||||||
Barclays U.S. Aggregate Bond Index: | The index measures the investment grade, U.S. dollar-denominated, fixed-rate, taxable bond market and includes Treasuries, government-related and corporate securities, mortgage-backed securities (MBS) (agency fixed-rate and hybrid adjustable rate mortgage (ARM) pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS) (agency and nonagency). | ||||||
60% Barclays U.S. Aggregate Bond Index and 40% S&P 500® Index: | The blended index is composed of 60% Barclays U.S. Aggregate Bond Index (described above) and 40% S&P 500® Index (described on following page), and is rebalanced monthly. | ||||||
Barclays U.S. 1-10 Year Treasury Inflation-Protected Securities (TIPS) Index: | The index is the 1-10 year component of the Barclays U.S. TIPS Index (Series-L). The Barclays U.S. TIPS Index (Series-L) tracks the performance of inflation-protection securities issued by the U.S. Treasury. | ||||||
HFRX Equity Hedge Index: | The index comprises equity hedge strategies. Equity hedge strategies maintain positions both long and short in primarily equity and equity derivative securities. A wide variety of investment processes can be employed to arrive at an investment decision, including both quantitative and fundamental techniques; strategies can be broadly diversified or narrowly focused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed, holding period, concentrations of market capitalizations and valuation ranges of typical portfolios. Equity hedge managers would typically maintain at least 50%, and may in some cases be substantially entirely invested, in equities, both long and short. Constituent funds are selected from an eligible pool of the more than 7,500 funds worldwide that report to the Hedge Fund Research (HFR) Database. Constituent funds must meet all of the following criteria: report monthly; report performance net of all fees; be U.S. dollar-denominated; be active and accepting new investments; have a minimum 24 months track record; and the fund's manager must have at least $50 million in assets under management. The index is rebalanced quarterly. | ||||||
MSCI All Country World Index: | The index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The index consists of 46 country indices comprising 23 developed and 23 emerging market country indices. The developed market country indices included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The emerging market country indices included are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, the Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey, and the UAE. | ||||||
60% MSCI All Country World Index and 40% Barclays Global Aggregate Index: | The blended index is composed of 60% MSCI All Country World Index (described above) and 40% Barclays Global Aggregate Index (described above), and is rebalanced monthly. |
13
Glossary of Indices (cont'd)
MSCI World Index: | The index is a free float-adjusted market capitalization-weighted index that is designed to measure the equity market performance of developed markets. The index consists of the following 23 developed market country indices: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom, and the United States. | ||||||
50% MSCI World Index and 50% J.P. Morgan Global Government Bond Index: | The blended index is composed of 50% MSCI World Index (described above) and 50% J.P. Morgan Global Government Bond Index, and is rebalanced monthly. The J.P. Morgan Global Government Bond Index tracks the performance of local currency denominated bonds issued by developed market governments. The index consists of issues from the following 13 developed international bond markets: Australia, Belgium, Canada, Denmark, France, Germany, Italy, Japan, Netherlands, Spain, Sweden, United Kingdom and United States. | ||||||
Russell 3000® Index: | The index is a float-adjusted market capitalization-weighted index that measures the performance of the 3,000 largest U.S. public companies based on total market capitalization. The index is rebalanced annually in June. | ||||||
S&P 500® Index: | The index is a float-adjusted market capitalization-weighted index that focuses on the large-cap segment of the U.S. equity market, and includes a significant portion of the total value of the market. |
14
Information About Your Fund's Expenses (Unaudited)
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds (if applicable); and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees (if applicable), and other Fund expenses. This example is intended to help you understand your ongoing costs (in U.S. dollars) of investing in a Fund and compare these costs with the ongoing costs of investing in other mutual funds.
This table is designed to provide information regarding costs related to your investments. The following examples are based on an investment of $1,000 made at the beginning of the six month period ended April 30, 2015 and held for the entire period. The table illustrates each Fund's costs in two ways:
Actual Expenses and Performance: | The first section of the table provides information about actual account values and actual expenses in dollars, based on the Fund's actual performance during the period indicated. You may use the information in this line, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section of the table under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid over the period. | ||||||
Hypothetical Example for Comparison Purposes: | The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return at 5% per year before expenses. This return is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund versus other funds. To do so, compare the expenses shown in this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. |
Please note that the expenses in the table are meant to highlight your ongoing costs only and do not include any transaction costs, such as sales charges (loads) (if applicable). Therefore, the information under the heading "Hypothetical (5% annual return before expenses)" is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
15
Expense Information as of 4/30/15 (Unaudited)
Neuberger Berman Alternative Funds | |||||||||||||||||||||||||||||||||||
ACTUAL | HYPOTHETICAL (5% ANNUAL RETURN BEFORE EXPENSES)(4) | ||||||||||||||||||||||||||||||||||
Beginning Account Value 11/1/14 | Ending Account Value 4/30/15 | Expenses Paid During the Period(1) 11/1/14 - 4/30/15 | Expense Ratio | Beginning Account Value 11/1/14 | Ending Account Value 4/30/15 | Expenses Paid During the Period(1) 11/1/14 - 4/30/15 | Expense Ratio | ||||||||||||||||||||||||||||
Flexible Select Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,033.20 | $ | 4.18 | 0.83 | % | $ | 1,000.00 | $ | 1,020.68 | $ | 4.16 | 0.83 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,031.30 | $ | 5.99 | 1.19 | % | $ | 1,000.00 | $ | 1,018.89 | $ | 5.96 | 1.19 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 1,028.60 | $ | 9.76 | 1.94 | % | $ | 1,000.00 | $ | 1,015.17 | $ | 9.69 | 1.94 | % | |||||||||||||||||||
Global Allocation Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,047.60 | $ | 5.48 | 1.08 | % | $ | 1,000.00 | $ | 1,019.44 | $ | 5.41 | 1.08 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,045.60 | $ | 7.30 | 1.44 | % | $ | 1,000.00 | $ | 1,017.65 | $ | 7.20 | 1.44 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 1,041.50 | $ | 11.09 | 2.19 | % | $ | 1,000.00 | $ | 1,013.93 | $ | 10.94 | 2.19 | % | |||||||||||||||||||
Inflation Managed Fund(2) | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 996.10 | $ | 3.46 | 0.70 | % | $ | 1,000.00 | $ | 1,021.32 | $ | 3.51 | 0.70 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 993.90 | $ | 5.24 | 1.06 | % | $ | 1,000.00 | $ | 1,019.54 | $ | 5.31 | 1.06 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 990.20 | $ | 8.88 | 1.80 | % | $ | 1,000.00 | $ | 1,015.87 | $ | 9.00 | 1.80 | % | |||||||||||||||||||
Long Short Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,018.80 | $ | 8.31 | 1.66 | % | $ | 1,000.00 | $ | 1,016.56 | $ | 8.30 | 1.66 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,016.10 | $ | 10.20 | 2.04 | % | $ | 1,000.00 | $ | 1,014.68 | $ | 10.19 | 2.04 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 1,012.40 | $ | 13.87 | 2.78 | % | $ | 1,000.00 | $ | 1,011.01 | $ | 13.86 | 2.78 | % | |||||||||||||||||||
Multi-Asset Income Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,012.20 | $ | 0.41 | (3) | 0.42 | % | $ | 1,000.00 | $ | 1,022.71 | $ | 2.11 | 0.42 | % | ||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,011.90 | $ | 0.72 | (3) | 0.75 | % | $ | 1,000.00 | $ | 1,021.08 | $ | 3.76 | 0.75 | % | ||||||||||||||||||
Class C | $ | 1,000.00 | $ | 1,011.20 | $ | 1.37 | (3) | 1.42 | % | $ | 1,000.00 | $ | 1,017.75 | $ | 7.10 | 1.42 | % | ||||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 1,012.30 | $ | 0.35 | (3) | 0.36 | % | $ | 1,000.00 | $ | 1,023.01 | $ | 1.81 | 0.36 | % |
(1) For each class, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown), unless otherwise indicated.
(2) Effective February 28, 2015, Neuberger Berman lnflation Navigator Fund changed its name to Neuberger Berman lnflation Managed Fund.
(3) For each class, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 35/365 (to reflect the period shown of March 27, 2015 (Commencement of Operations) to April 30, 2015).
(4) Hypothetical 5% annual return before expenses is calculated by multiplying the number of days in the most recent period divided by 365.
16
Schedule of Investments Flexible Select Fund (Unaudited) 4/30/15
TOP TEN EQUITY HOLDINGS
1 | Neuberger Berman Core Bond Fund | 4.9 | % | ||||||||
Institutional Class | |||||||||||
2 | Apple, Inc. | 1.7 | % | ||||||||
3 | JPMorgan Chase & Co. | 1.7 | % | ||||||||
4 | Bristol-Myers Squibb Co. | 1.5 | % | ||||||||
5 | Pfizer, Inc. | 1.4 | % |
6 | Johnson & Johnson | 1.2 | % | ||||||||
7 | Actavis PLC | 1.1 | % | ||||||||
8 | American Express Co. | 1.1 | % | ||||||||
9 | eBay, Inc. | 1.1 | % | ||||||||
10 | Schlumberger Ltd. | 1.1 | % |
Number of Shares | Value† | ||||||||||
Common Stocks (87.8%) | |||||||||||
Aerospace & Defense (2.6%) | |||||||||||
BE Aerospace, Inc. | 1,614 | $ | 96,501 | ||||||||
Boeing Co. | 7,034 | 1,008,254 | |||||||||
General Dynamics Corp. | 2,176 | 298,808 | |||||||||
Honeywell International, Inc. | 5,846 | 589,978 | |||||||||
L-3 Communications Holdings, Inc. | 82 | 9,423 | |||||||||
Lockheed Martin Corp. | 46 | 8,584 | |||||||||
Precision Castparts Corp. | 988 | 204,210 | |||||||||
Raytheon Co. | 739 | 76,856 | |||||||||
Textron, Inc. | 5,651 | 248,531 | |||||||||
United Technologies Corp. | 1,046 | 118,982 | |||||||||
2,660,127 | |||||||||||
Air Freight & Logistics (0.4%) | |||||||||||
FedEx Corp. | 1,903 | 322,692 | |||||||||
United Parcel Service, Inc. Class B | 576 | 57,905 | |||||||||
380,597 | |||||||||||
Airlines (0.8%) | |||||||||||
American Airlines Group, Inc. | 4,327 | 208,929 | |||||||||
Delta Air Lines, Inc. | 11,197 | 499,834 | |||||||||
United Continental Holdings, Inc. | 1,953 | 116,673 | * | ||||||||
825,436 | |||||||||||
Auto Components (0.4%) | |||||||||||
BorgWarner, Inc. | 3,705 | 219,336 | |||||||||
Delphi Automotive PLC | 2,458 | 204,014 | |||||||||
423,350 |
Number of Shares | Value† | ||||||||||
Automobiles (0.1%) | |||||||||||
General Motors Co. | 1,614 | $ | 56,587 | ||||||||
Banks (3.9%) | |||||||||||
BankUnited, Inc. | 2,548 | 83,727 | |||||||||
Citigroup, Inc. | 3,879 | 206,828 | |||||||||
First Republic Bank | 1,352 | 78,808 | |||||||||
Itau Unibanco Holding SA ADR, Preference Shares | 12,767 | 163,673 | |||||||||
JPMorgan Chase & Co. | 26,347 | 1,666,711 | |||||||||
M&T Bank Corp. | 621 | 74,315 | |||||||||
People's United Financial, Inc. | 3,597 | 54,351 | |||||||||
PNC Financial Services Group, Inc. | 2,339 | 214,557 | |||||||||
SVB Financial Group | 2,862 | 379,959 | * | ||||||||
U.S. Bancorp | 8,844 | 379,142 | |||||||||
Wells Fargo & Co. | 11,579 | 638,003 | |||||||||
3,940,074 | |||||||||||
Beverages (0.9%) | |||||||||||
Anheuser-Busch InBev NV ADR | 1,639 | 196,746 | |||||||||
Coca-Cola Co. | 7,299 | 296,047 | |||||||||
Dr Pepper Snapple Group, Inc. | 2,954 | 220,309 | |||||||||
PepsiCo, Inc. | 1,879 | 178,731 | |||||||||
891,833 | |||||||||||
Biotechnology (1.9%) | |||||||||||
Amgen, Inc. | 3,185 | 502,943 | |||||||||
Atara Biotherapeutics, Inc. | 1,692 | 70,133 | * | ||||||||
Biogen, Inc. | 269 | 100,587 | * | ||||||||
Celgene Corp. | 3,641 | 393,447 | * | ||||||||
Gilead Sciences, Inc. | 815 | 81,916 | * | ||||||||
Regeneron Pharmaceuticals, Inc. | 1,234 | 564,506 | * |
Number of Shares | Value† | ||||||||||
Vertex Pharmaceuticals, Inc. | 1,369 | $ | 168,770 | * | |||||||
1,882,302 | |||||||||||
Capital Markets (1.4%) | |||||||||||
BlackRock, Inc. | 977 | 355,570 | |||||||||
Goldman Sachs Group, Inc. | 4,915 | 965,404 | |||||||||
Invesco Ltd. | 3,269 | 135,402 | |||||||||
1,456,376 | |||||||||||
Chemicals (3.6%) | |||||||||||
Ashland, Inc. | 2,723 | 344,078 | |||||||||
Chemtura Corp. | 3,904 | 117,628 | * | ||||||||
Dow Chemical Co. | 4,997 | 254,847 | |||||||||
E.I. du Pont de Nemours & Co. | 3,319 | 242,951 | |||||||||
Ecolab, Inc. | 2,412 | 270,096 | |||||||||
FMC Corp. | 1,789 | 106,106 | |||||||||
International Flavors & Fragrances, Inc. | 939 | 107,750 | |||||||||
LyondellBasell Industries NV Class A | 2,675 | 276,916 | |||||||||
Minerals Technologies, Inc. | 7,719 | 522,808 | |||||||||
Monsanto Co. | 2,264 | 258,005 | |||||||||
Mosaic Co. | 3,102 | 136,488 | |||||||||
Orion Engineered Carbons SA | 2,759 | 54,021 | |||||||||
Potash Corp. of Saskatchewan, Inc. | 5,919 | 193,196 | |||||||||
Praxair, Inc. | 1,534 | 187,041 | |||||||||
Scotts Miracle-Gro Co. Class A | 1,299 | 83,799 | |||||||||
Sensient Technologies Corp. | 3,892 | 254,381 | |||||||||
Sigma-Aldrich Corp. | 7 | 972 | |||||||||
WR Grace & Co. | 2,271 | 219,651 | * | ||||||||
3,630,734 |
See Notes to Schedule of Investments
17
Schedule of Investments Flexible Select Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Commercial Services & Supplies (2.0%) | |||||||||||
ADT Corp. | 10,850 | $ | 407,960 | ||||||||
Covanta Holding Corp. | 8,404 | 170,517 | |||||||||
Healthcare Services Group, Inc. | 5,487 | 166,091 | |||||||||
Pitney Bowes, Inc. | 27,538 | 616,025 | |||||||||
Stericycle, Inc. | 1,876 | 250,315 | * | ||||||||
Tetra Tech, Inc. | 7,244 | 196,385 | |||||||||
Tyco International PLC | 4,553 | 179,297 | |||||||||
1,986,590 | |||||||||||
Communications Equipment (0.4%) | |||||||||||
Cisco Systems, Inc. | 12,468 | 359,453 | |||||||||
Construction & Engineering (0.2%) | |||||||||||
Quanta Services, Inc. | 6,044 | 174,732 | * | ||||||||
Consumer Finance (1.1%) | |||||||||||
American Express Co. | 14,427 | 1,117,371 | |||||||||
Discover Financial Services | 53 | 3,073 | |||||||||
1,120,444 | |||||||||||
Containers & Packaging (0.7%) | |||||||||||
Packaging Corp. of America | 1,666 | 115,270 | |||||||||
Sealed Air Corp. | 13,146 | 599,458 | |||||||||
714,728 | |||||||||||
Distributors (0.1%) | |||||||||||
LKQ Corp. | 3,101 | 83,944 | * | ||||||||
Diversified Consumer Services (0.2%) | |||||||||||
H&R Block, Inc. | 6,021 | 182,075 | |||||||||
Diversified Financial Services (2.8%) | |||||||||||
Berkshire Hathaway, Inc. Class B | 6,581 | 929,303 | * | ||||||||
CME Group, Inc. | 7,755 | 705,007 | |||||||||
Intercontinental Exchange, Inc. | 1,555 | 349,144 | |||||||||
McGraw-Hill Financial, Inc. | 11 | 1,148 | |||||||||
Moody's Corp. | 4,738 | 509,430 | |||||||||
MSCI, Inc. | 4,759 | 291,203 | |||||||||
2,785,235 | |||||||||||
Diversified Telecommunication Services (0.6%) | |||||||||||
BCE, Inc. | 6,282 | 277,099 | |||||||||
Level 3 Communications, Inc. | 1,327 | 74,232 | * |
Number of Shares | Value† | ||||||||||
Verizon Communications, Inc. | 4,104 | $ | 207,006 | ||||||||
558,337 | |||||||||||
Electric Utilities (1.1%) | |||||||||||
ALLETE, Inc. | 3,382 | 170,115 | |||||||||
Exelon Corp. | 8,225 | 279,814 | |||||||||
Great Plains Energy, Inc. | 2,886 | 75,555 | |||||||||
ITC Holdings Corp. | 7,254 | 261,144 | |||||||||
NextEra Energy, Inc. | 3,035 | 306,323 | |||||||||
1,092,951 | |||||||||||
Electrical Equipment (0.3%) | |||||||||||
ABB Ltd. ADR | 2,837 | 61,761 | * | ||||||||
Eaton Corp. PLC | 816 | 56,084 | |||||||||
Hubbell, Inc. Class B | 855 | 93,050 | |||||||||
Sensata Technologies Holding NV | 1,841 | 101,641 | * | ||||||||
312,536 | |||||||||||
Electronic Equipment, Instruments & Components (1.4%) | |||||||||||
Amphenol Corp. Class A | 6,413 | 355,088 | |||||||||
CDW Corp. | 10,699 | 409,986 | |||||||||
Corning, Inc. | 13,080 | 273,765 | |||||||||
IPG Photonics Corp. | 1,192 | 105,587 | * | ||||||||
TE Connectivity Ltd. | 2,537 | 168,837 | |||||||||
Universal Display Corp. | 1,644 | 72,451 | * | ||||||||
1,385,714 | |||||||||||
Energy Equipment & Services (1.1%) | |||||||||||
FMC Technologies, Inc. | 1,408 | 62,093 | * | ||||||||
Schlumberger Ltd. | 11,423 | 1,080,730 | |||||||||
1,142,823 | |||||||||||
Food & Staples Retailing (1.4%) | |||||||||||
Costco Wholesale Corp. | 5,440 | 778,192 | |||||||||
CVS Health Corp. | 4,797 | 476,294 | |||||||||
Smart & Final Stores, Inc. | 5,852 | 101,357 | * | ||||||||
Walgreens Boots Alliance, Inc. | 1,256 | 104,160 | |||||||||
1,460,003 |
Number of Shares | Value† | ||||||||||
Food Products (1.7%) | |||||||||||
ConAgra Foods, Inc. | 2,100 | $ | 75,915 | ||||||||
Kraft Foods Group, Inc. | 2,326 | 197,128 | |||||||||
Mead Johnson Nutrition Co. | 1,555 | 149,156 | |||||||||
Mondelez International, Inc. Class A | 9,196 | 352,851 | |||||||||
Nestle SA ADR | 1,166 | 90,505 | |||||||||
Tyson Foods, Inc. Class A | 7,405 | 292,497 | |||||||||
Unilever NV | 2,862 | 124,440 | |||||||||
WhiteWave Foods Co. | 9,720 | 427,388 | * | ||||||||
1,709,880 | |||||||||||
Gas Utilities (0.1%) | |||||||||||
National Fuel Gas Co. | 1,345 | 86,685 | |||||||||
Health Care Equipment & Supplies (1.6%) | |||||||||||
Abbott Laboratories | 2,716 | 126,077 | |||||||||
Becton, Dickinson & Co. | 734 | 103,398 | |||||||||
C.R. Bard, Inc. | 370 | 61,635 | |||||||||
Cooper Cos., Inc. | 1,626 | 289,542 | |||||||||
Hill-Rom Holdings, Inc. | 2,001 | 99,930 | |||||||||
IDEXX Laboratories, Inc. | 2,671 | 334,863 | * | ||||||||
Medtronic PLC | 1,129 | 84,054 | |||||||||
Sirona Dental Systems, Inc. | 2,163 | 200,618 | * | ||||||||
West Pharmaceutical Services, Inc. | 1,268 | 67,559 | |||||||||
Zimmer Holdings, Inc. | 1,969 | 216,275 | |||||||||
1,583,951 | |||||||||||
Health Care Providers & Services (2.6%) | |||||||||||
Aetna, Inc. | 2,021 | 215,984 | |||||||||
Anthem, Inc. | 1,066 | 160,891 | |||||||||
Brookdale Senior Living, Inc. | 4,398 | 159,339 | * | ||||||||
Cardinal Health, Inc. | 2,200 | 185,548 | |||||||||
DaVita HealthCare Partners, Inc. | 2,540 | 205,994 | * | ||||||||
Express Scripts Holding Co. | 6,929 | 598,666 | * | ||||||||
HCA Holdings, Inc. | 1,343 | 99,395 | * | ||||||||
Henry Schein, Inc. | 1,600 | 219,360 | * |
See Notes to Schedule of Investments
18
Schedule of Investments Flexible Select Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
McKesson Corp. | 1,159 | $ | 258,921 | ||||||||
Premier, Inc. Class A | 4,193 | 158,915 | * | ||||||||
Providence Service Corp. | 2,880 | 122,458 | * | ||||||||
UnitedHealth Group, Inc. | 959 | 106,833 | |||||||||
VCA, Inc. | 3,151 | 160,606 | * | ||||||||
2,652,910 | |||||||||||
Hotels, Restaurants & Leisure (1.8%) | |||||||||||
Accor SA | 1,512 | 82,910 | |||||||||
Darden Restaurants, Inc. | 2,880 | 183,658 | |||||||||
Dunkin' Brands Group, Inc. | 3,605 | 187,857 | |||||||||
Hilton Worldwide Holdings, Inc. | 8,529 | 247,000 | * | ||||||||
Hyatt Hotels Corp. Class A | 1,900 | 110,295 | * | ||||||||
McDonald's Corp. | 3,280 | 316,684 | |||||||||
Starbucks Corp. | 3,497 | 173,381 | |||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 1,842 | 158,320 | |||||||||
Wendy's Co. | 14,479 | 146,527 | |||||||||
Wynn Resorts Ltd. | 1,589 | 176,490 | |||||||||
1,783,122 | |||||||||||
Household Durables (0.9%) | |||||||||||
D.R. Horton, Inc. | 2,051 | 52,096 | |||||||||
Jarden Corp. | 1,985 | 101,592 | * | ||||||||
Lennar Corp. Class A | 8,111 | 371,484 | |||||||||
Newell Rubbermaid, Inc. | 6,487 | 247,349 | |||||||||
Toll Brothers, Inc. | 2,935 | 104,310 | * | ||||||||
876,831 | |||||||||||
Household Products (0.9%) | |||||||||||
Church & Dwight Co., Inc. | 2,366 | 192,048 | |||||||||
Colgate-Palmolive Co. | 736 | 49,518 | |||||||||
Energizer Holdings, Inc. | 1,258 | 171,868 | |||||||||
Procter & Gamble Co. | 6,452 | 512,999 | |||||||||
926,433 |
Number of Shares | Value† | ||||||||||
Independent Power and Renewable Electricity Producers (0.4%) | |||||||||||
AES Corp. | 7,436 | $ | 98,527 | ||||||||
Calpine Corp. | 7,293 | 159,060 | * | ||||||||
NRG Yield, Inc. Class A | 3,680 | 181,056 | |||||||||
438,643 | |||||||||||
Industrial Conglomerates (1.4%) | |||||||||||
3M Co. | 3,442 | 538,294 | |||||||||
Danaher Corp. | 5,060 | 414,313 | |||||||||
General Electric Co. | 10,599 | 287,021 | |||||||||
Koninklijke Philips NV | 2,754 | 78,792 | |||||||||
Raven Industries, Inc. | 672 | 13,400 | |||||||||
Roper Technologies, Inc. | 632 | 106,283 | |||||||||
1,438,103 | |||||||||||
Insurance (2.7%) | |||||||||||
Allstate Corp. | 2,656 | 185,017 | |||||||||
Aon PLC | 6,332 | 609,328 | |||||||||
Assurant, Inc. | 739 | 45,419 | |||||||||
Lincoln National Corp. | 6,651 | 375,715 | |||||||||
Marsh & McLennan Cos., Inc. | 3,248 | 182,407 | |||||||||
MetLife, Inc. | 3,941 | 202,134 | |||||||||
Progressive Corp. | 10,691 | 285,022 | |||||||||
Prudential PLC | 4,100 | 102,080 | |||||||||
Reinsurance Group of America, Inc. | 1,721 | 157,678 | |||||||||
Travelers Cos., Inc. | 4,145 | 419,101 | |||||||||
Unum Group | 1,736 | 59,302 | |||||||||
Willis Group Holdings PLC | 1,787 | 86,902 | |||||||||
2,710,105 | |||||||||||
Internet & Catalog Retail (0.4%) | |||||||||||
Amazon.com, Inc. | 655 | 276,266 | * | ||||||||
Priceline Group, Inc. | 87 | 107,689 | * | ||||||||
383,955 | |||||||||||
Internet Software & Services (2.6%) | |||||||||||
eBay, Inc. | 18,686 | 1,088,646 | * | ||||||||
Facebook, Inc. Class A | 4,374 | 344,540 | * | ||||||||
Google, Inc. Class A | 960 | 526,819 | * | ||||||||
Google, Inc. Class C | 1,019 | 547,550 | * |
Number of Shares | Value† | ||||||||||
Qihoo 360 Technology Co. Ltd. ADR | 1,452 | $ | 87,556 | * | |||||||
Twitter, Inc. | 423 | 16,480 | * | ||||||||
2,611,591 | |||||||||||
IT Services (3.7%) | |||||||||||
Accenture PLC Class A | 896 | 83,014 | |||||||||
Alliance Data Systems Corp. | 540 | 160,547 | * | ||||||||
Amdocs Ltd. | 7,177 | 395,237 | |||||||||
Automatic Data Processing, Inc. | 1,789 | 151,242 | |||||||||
Fiserv, Inc. | 1,713 | 132,929 | * | ||||||||
IBM Corp. | 4,495 | 769,949 | |||||||||
Leidos Holdings, Inc. | 3,442 | 143,325 | |||||||||
MasterCard, Inc. Class A | 3,650 | 329,266 | |||||||||
NeuStar, Inc. Class A | 9,567 | 287,010 | * | ||||||||
Teradata Corp. | 1,845 | 81,162 | * | ||||||||
VeriFone Systems, Inc. | 6,574 | 235,152 | * | ||||||||
Visa, Inc. Class A | 5,772 | 381,241 | |||||||||
WEX, Inc. | 5,137 | 578,991 | * | ||||||||
3,729,065 | |||||||||||
Leisure Products (0.1%) | |||||||||||
Polaris Industries, Inc. | 997 | 136,549 | |||||||||
Life Sciences Tools & Services (0.1%) | |||||||||||
Charles River Laboratories International, Inc. | 945 | 65,356 | * | ||||||||
Thermo Fisher Scientific, Inc. | 332 | 41,726 | |||||||||
107,082 | |||||||||||
Machinery (0.9%) | |||||||||||
Deere & Co. | 1,913 | 173,165 | |||||||||
Dover Corp. | 1,380 | 104,494 | |||||||||
Ingersoll-Rand PLC | 1,537 | 101,196 | |||||||||
Lincoln Electric Holdings, Inc. | 2,353 | 157,321 | |||||||||
Mueller Industries, Inc. | 3,190 | 111,777 | |||||||||
Stanley Black & Decker, Inc. | 1,604 | 158,315 | |||||||||
Valmont Industries, Inc. | 981 | 123,626 | |||||||||
929,894 | |||||||||||
Media (4.5%) | |||||||||||
Comcast Corp. Class A | 5,320 | 307,283 |
See Notes to Schedule of Investments
19
Schedule of Investments Flexible Select Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Comcast Corp. Class A Special | 8,953 | $ | 515,603 | ||||||||
Cumulus Media, Inc. Class A | 44,575 | 101,631 | * | ||||||||
Gannett Co., Inc. | 7,807 | 267,936 | |||||||||
Lions Gate Entertainment Corp. | 3,152 | 97,744 | |||||||||
Markit Ltd. | 8,623 | 221,180 | * | ||||||||
Mediaset Espana Comunicacion SA | 10,406 | 141,050 | * | ||||||||
Omnicom Group, Inc. | 1,861 | 140,989 | |||||||||
Pearson PLC | 6,685 | 135,096 | |||||||||
Pearson PLC ADR | 9,700 | 196,328 | |||||||||
Regal Entertainment Group Class A | 11,768 | 258,896 | |||||||||
Scholastic Corp. | 3,581 | 145,532 | |||||||||
Thomson Reuters Corp. | 2,041 | 83,803 | |||||||||
Time Warner, Inc. | 3,889 | 328,271 | |||||||||
Twenty-First Century Fox, Inc. Class A | 11,152 | 380,060 | |||||||||
Viacom, Inc. Class B | 7,114 | 494,067 | |||||||||
Walt Disney Co. | 6,987 | 759,627 | |||||||||
4,575,096 | |||||||||||
Metals & Mining (0.7%) | |||||||||||
Allegheny Technologies, Inc. | 3,549 | 120,631 | |||||||||
Carpenter Technology Corp. | 3,045 | 131,696 | |||||||||
Dominion Diamond Corp. | 7,886 | 155,433 | |||||||||
Goldcorp, Inc. | 16,464 | 310,017 | |||||||||
717,777 | |||||||||||
Multi-Utilities (0.6%) | |||||||||||
Alliant Energy Corp. | 1,099 | 66,457 | |||||||||
CenterPoint Energy, Inc. | 8,468 | 177,574 | |||||||||
NiSource, Inc. | 2,219 | 96,349 | |||||||||
Wisconsin Energy Corp. | 5,503 | 270,307 | |||||||||
610,687 | |||||||||||
Multiline Retail (0.5%) | |||||||||||
Dollar Tree, Inc. | 1,673 | 127,834 | * | ||||||||
Kohl's Corp. | 865 | 61,977 | |||||||||
Macy's, Inc. | 1,364 | 88,155 |
Number of Shares | Value† | ||||||||||
Nordstrom, Inc. | 1,231 | $ | 93,015 | ||||||||
Target Corp. | 1,122 | 88,447 | |||||||||
459,428 | |||||||||||
Oil, Gas & Consumable Fuels (6.3%) | |||||||||||
Anadarko Petroleum Corp. | 6,806 | 640,445 | |||||||||
Antero Resources Corp. | 2,166 | 95,975 | * | ||||||||
Apache Corp. | 1,105 | 75,582 | |||||||||
Cabot Oil & Gas Corp. | 28,437 | 961,739 | |||||||||
Canadian Natural Resources Ltd. | 254 | 8,445 | |||||||||
Cenovus Energy, Inc. | 1,643 | 30,921 | |||||||||
Cheniere Energy, Inc. | 1,040 | 79,550 | * | ||||||||
Chevron Corp. | 687 | 76,298 | |||||||||
ConocoPhillips | 2,600 | 176,592 | |||||||||
Devon Energy Corp. | 2,736 | 186,622 | |||||||||
Enbridge, Inc. | 4,626 | 242,079 | |||||||||
EOG Resources, Inc. | 9,726 | 962,388 | |||||||||
Exxon Mobil Corp. | 2,900 | 253,373 | |||||||||
Noble Energy, Inc. | 2,605 | 132,126 | |||||||||
Occidental Petroleum Corp. | 7,626 | 610,843 | |||||||||
Pioneer Natural Resources Co. | 2,821 | 487,412 | |||||||||
Range Resources Corp. | 7,875 | 500,535 | |||||||||
Royal Dutch Shell PLC ADR Class A | 3,927 | 249,090 | |||||||||
Spectra Energy Corp. | 207 | 7,711 | |||||||||
Targa Resources Corp. | 492 | 51,645 | |||||||||
Teekay Corp. | 9,566 | 475,526 | |||||||||
Veresen, Inc. | 2,459 | 36,344 | |||||||||
6,341,241 | |||||||||||
Paper & Forest Products (0.1%) | |||||||||||
International Paper Co. | 1,556 | 83,588 | |||||||||
Personal Products (0.3%) | |||||||||||
Estee Lauder Cos., Inc. Class A | 3,970 | 322,721 | |||||||||
Pharmaceuticals (8.1%) | |||||||||||
AbbVie, Inc. | 2,113 | 136,627 |
Number of Shares | Value† | ||||||||||
Actavis PLC | 4,043 | $ | 1,143,603 | * | |||||||
Bristol-Myers Squibb Co. | 23,547 | 1,500,650 | |||||||||
Eli Lilly & Co. | 1,561 | 112,189 | |||||||||
Impax Laboratories, Inc. | 2,075 | 93,914 | * | ||||||||
Johnson & Johnson | 12,379 | 1,227,997 | |||||||||
Merck & Co., Inc. | 1,858 | 110,662 | |||||||||
Novartis AG ADR | 1,906 | 194,031 | |||||||||
Pacira Pharmaceuticals, Inc. | 857 | 58,687 | * | ||||||||
Pfizer, Inc. | 42,287 | 1,434,798 | |||||||||
Roche Holding AG | 406 | 116,179 | |||||||||
Roche Holding AG ADR | 585 | 20,990 | |||||||||
Sanofi ADR | 14,696 | 742,883 | |||||||||
Shire PLC ADR | 400 | 97,404 | |||||||||
Teva Pharmaceutical Industries Ltd. ADR | 9,480 | 572,782 | |||||||||
Valeant Pharmaceuticals International, Inc. | 68 | 14,751 | * | ||||||||
Zoetis, Inc. | 14,442 | 641,514 | |||||||||
8,219,661 | |||||||||||
Professional Services (1.0%) | |||||||||||
Nielsen NV | 7,734 | 347,566 | |||||||||
Verisk Analytics, Inc. Class A | 8,198 | 615,178 | * | ||||||||
962,744 | |||||||||||
Real Estate Investment Trusts (2.2%) | |||||||||||
American Capital Agency Corp. | 331 | 6,830 | |||||||||
American Tower Corp. | 3,637 | 343,806 | |||||||||
Blackstone Mortgage Trust, Inc. Class A | 4,325 | 132,907 | |||||||||
Corrections Corporation of America | 2,056 | 75,640 | |||||||||
Crown Castle International Corp. | 1,522 | 127,133 | |||||||||
Iron Mountain, Inc. | 3,070 | 105,884 | |||||||||
NorthStar Realty Finance Corp. | 13,208 | 247,782 | |||||||||
Outfront Media, Inc. | 7,624 | 218,961 |
See Notes to Schedule of Investments
20
Schedule of Investments Flexible Select Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Plum Creek Timber Co., Inc. | 3,407 | $ | 143,775 | ||||||||
Starwood Property Trust, Inc. | 17,964 | 431,316 | |||||||||
Starwood Waypoint Residential Trust, Inc. | 3,262 | 83,964 | |||||||||
Vornado Realty Trust | 907 | 93,865 | |||||||||
Weyerhaeuser Co. | 6,093 | 191,991 | |||||||||
2,203,854 | |||||||||||
Real Estate Management & Development (0.3%) | |||||||||||
Brookfield Asset Management, Inc. Class A | 4,923 | 265,104 | |||||||||
Road & Rail (1.1%) | |||||||||||
Avis Budget Group, Inc. | 1,484 | 80,344 | * | ||||||||
Canadian National Railway Co. | 293 | 18,904 | |||||||||
Canadian Pacific Railway Ltd. | 934 | 178,002 | |||||||||
CSX Corp. | 4,264 | 153,888 | |||||||||
Hertz Global Holdings, Inc. | 10,284 | 214,319 | * | ||||||||
Norfolk Southern Corp. | 1,127 | 113,658 | |||||||||
Old Dominion Freight Line, Inc. | 1,042 | 74,117 | * | ||||||||
Union Pacific Corp. | 2,632 | 279,597 | |||||||||
1,112,829 | |||||||||||
Semiconductors & Semiconductor Equipment (1.4%) | |||||||||||
Altera Corp. | 2,449 | 102,074 | |||||||||
Analog Devices, Inc. | 1,650 | 102,036 | |||||||||
ASML Holding NV | 2,633 | 281,836 | |||||||||
Intel Corp. | 5,521 | 179,709 | |||||||||
Linear Technology Corp. | 11 | 507 | |||||||||
ON Semiconductor Corp. | 4,692 | 54,052 | * | ||||||||
Skyworks Solutions, Inc. | 756 | 69,741 | |||||||||
Texas Instruments, Inc. | 11,012 | 596,961 | |||||||||
1,386,916 |
Number of Shares | Value† | ||||||||||
Software (3.3%) | |||||||||||
Activision Blizzard, Inc. | 9,055 | $ | 206,590 | ||||||||
Adobe Systems, Inc. | 1,041 | 79,178 | * | ||||||||
ANSYS, Inc. | 1,173 | 100,690 | * | ||||||||
Check Point Software Technologies Ltd. | 4,301 | 359,047 | * | ||||||||
FireEye, Inc. | 1,877 | 77,520 | * | ||||||||
Intuit, Inc. | 5,026 | 504,258 | |||||||||
Microsoft Corp. | 21,520 | 1,046,733 | |||||||||
NICE-Systems Ltd. ADR | 3,696 | 221,206 | |||||||||
Nuance Communications, Inc. | 7,387 | 113,243 | * | ||||||||
Oracle Corp. | 12,643 | 551,488 | |||||||||
VMware, Inc. Class A | 996 | 87,748 | * | ||||||||
3,347,701 | |||||||||||
Specialty Retail (1.9%) | |||||||||||
Bed Bath & Beyond, Inc. | 2,043 | 143,950 | * | ||||||||
Best Buy Co., Inc. | 2,301 | 79,730 | |||||||||
DSW, Inc. Class A | 3,001 | 108,846 | |||||||||
Five Below, Inc. | 2,706 | 91,246 | * | ||||||||
GNC Holdings, Inc. Class A | 6,049 | 260,409 | |||||||||
Home Depot, Inc. | 6,230 | 666,485 | |||||||||
Office Depot, Inc. | 8,377 | 77,236 | * | ||||||||
Tiffany & Co. | 2,414 | 211,177 | |||||||||
TJX Cos., Inc. | 5,016 | 323,733 | |||||||||
1,962,812 | |||||||||||
Technology Hardware, Storage & Peripherals (2.7%) | |||||||||||
Apple, Inc. | 13,384 | 1,675,008 | |||||||||
EMC Corp. | 16,720 | 449,935 | |||||||||
SanDisk Corp. | 9,152 | 612,635 | |||||||||
2,737,578 | |||||||||||
Textiles, Apparel & Luxury Goods (0.5%) | |||||||||||
Coach, Inc. | 4,726 | 180,580 | |||||||||
Columbia Sportswear Co. | 84 | 5,267 | |||||||||
Luxottica Group SpA ADR | 451 | 29,595 | |||||||||
NIKE, Inc. Class B | 984 | 97,259 | |||||||||
PVH Corp. | 1,404 | 145,103 | |||||||||
Ralph Lauren Corp. | 696 | 92,853 | |||||||||
550,657 |
Number of Shares | Value† | ||||||||||
Trading Companies & Distributors (0.3%) | |||||||||||
NOW, Inc. | 5,775 | $ | 138,023 | * | |||||||
W.W. Grainger, Inc. | 663 | 164,709 | |||||||||
302,732 | |||||||||||
Transportation Infrastructure (0.4%) | |||||||||||
Macquarie Infrastructure Co. LLC | 3,771 | 312,088 | |||||||||
Wesco Aircraft Holdings, Inc. | 9,021 | 141,449 | * | ||||||||
453,537 | |||||||||||
Water Utilities (0.2%) | |||||||||||
American Water Works Co., Inc. | 3,037 | 165,577 | |||||||||
Wireless Telecommunication Services (0.1%) | |||||||||||
SBA Communications Corp. Class A | 1,255 | 145,354 | * | ||||||||
Total Common Stocks (Cost $76,672,584) | 88,539,374 | ||||||||||
Preferred Stocks (0.2%) | |||||||||||
Banks (0.1%) | |||||||||||
HSBC Holdings PLC, Ser. 2, 8.00% | 2,596 | 68,171 | |||||||||
JPMorgan Chase & Co. Ser. O 5.50% | 20 | 492 | |||||||||
U.S. Bancorp, Ser. F, 6.50% | 2,837 | 84,486 | |||||||||
Wells Fargo & Co., 5.20% | 20 | 488 | |||||||||
153,637 | |||||||||||
Marine (0.1%) | |||||||||||
Seaspan Corp., Ser. C, 9.50% | 2,083 | 54,887 | |||||||||
Total Preferred Stocks (Cost $202,963) | 208,524 | ||||||||||
Exchange Traded Funds (0.2%) | |||||||||||
iShares MSCI EMU ETF | 2,744 | 108,223 | |||||||||
SPDR S&P 500 ETF Trust | 73 | 15,222 | |||||||||
WisdomTree Europe Hedged Equity Fund | 1,221 | 78,462 | |||||||||
Total Exchange Traded Funds (Cost $197,636) | 201,907 |
See Notes to Schedule of Investments
21
Schedule of Investments Flexible Select Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Mutual Funds (5.1%) | |||||||||||
Central Fund of Canada Ltd. Class A | 14,759 | $ | 176,813 | ||||||||
Neuberger Berman Core Bond Fund Institutional Class | 473,079 | 4,994,263 | § | ||||||||
Total Mutual Funds (Cost $5,086,822) | 5,171,076 | ||||||||||
Short-Term Investments (6.8%) | |||||||||||
State Street Institutional Treasury Money Market Fund Premier Class (Cost $6,868,828) | 6,868,828 | 6,868,828 | |||||||||
Total Investments (100.1%) (Cost $89,028,833) | 100,989,709 | ## | |||||||||
Liabilities, less cash, receivables and other assets [(0.1%)] | (88,665 | ) | |||||||||
Total Net Assets (100.0%) | $ | 100,901,044 |
See Notes to Schedule of Investments
22
Schedule of Investments Global Allocation Fund (Unaudited) 4/30/15
TOP TEN HOLDINGS LONG POSITIONS
Country | Industry | ||||||||||||||||||
1 | Neuberger Berman International Equity Fund Institutional Class | United States | Mutual Funds | 12.8 | % | ||||||||||||||
2 | Neuberger Berman Emerging Markets Equity Fund Institutional Class | United States | Mutual Funds | 11.6 | % | ||||||||||||||
3 | Neuberger Berman High Income Bond Fund Institutional Class | United States | Mutual Funds | 5.1 | % | ||||||||||||||
4 | Neuberger Berman Emerging Markets Debt Fund Institutional Class | United States | Mutual Funds | 5.0 | % | ||||||||||||||
5 | Neuberger Berman Risk Balanced Commodity Strategy Fund Institutional Class | United States | Mutual Funds | 3.0 | % | ||||||||||||||
6 | iShares MSCI ACWI ETF | United States | Exchange Traded Funds | 2.0 | % | ||||||||||||||
7 | United Kingdom Gilt, Bonds, 1.75%, due 7/22/19 | United Kingdom | Sovereign | 1.1 | % | ||||||||||||||
8 | United Kingdom Gilt, Bonds, 1.75%, due 9/7/22 | United Kingdom | Sovereign | 1.1 | % | ||||||||||||||
9 | JPMorgan Chase & Co. | United States | Banks | 1.1 | % | ||||||||||||||
10 | Apple, Inc. | United States | Technology Hardware, Storage & Peripherals | 1.1 | % |
TOP TEN EQUITY HOLDINGS SHORT POSITIONS
Country | Industry | ||||||||||||||||||
1 | Tullow Oil PLC | United Kingdom | Oil, Gas & Consumable Fuels | (0.1 | )% | ||||||||||||||
2 | Contra Furiex Pharmaceuticals | United States | Pharmaceuticals | (0.1 | )% | ||||||||||||||
3 | Lundin Petroleum AB | Sweden | Oil, Gas & Consumable Fuels | (0.1 | )% | ||||||||||||||
4 | Southern Copper Corp. | United States | Metals & Mining | (0.1 | )% | ||||||||||||||
5 | Drillisch AG | Germany | Wireless Telecommunication Services | (0.1 | )% | ||||||||||||||
6 | WABCO Holdings, Inc. | United States | Machinery | (0.1 | )% | ||||||||||||||
7 | Williams Cos., Inc. | United States | Oil, Gas & Consumable Fuels | (0.1 | )% | ||||||||||||||
8 | Priceline Group, Inc. | United States | IT Services | (0.1 | )% | ||||||||||||||
9 | Starbucks Corp. | United States | Hotels, Restaurants & Leisure | (0.1 | )% | ||||||||||||||
10 | NiSource, Inc. | United States | Multi-Utilities | (0.1 | )% |
Number of Shares | Value† | ||||||||||
Long Positions (104.0%) | |||||||||||
Common Stocks (48.9%) | |||||||||||
Australia (0.5%) | |||||||||||
Caltex Australia Ltd. | 689 | $ | 19,216 | ||||||||
Fortescue Metals Group Ltd. | 6,412 | 10,832 | ØØ | ||||||||
Qantas Airways Ltd. | 16,073 | 42,962 | * | ||||||||
Tabcorp Holdings Ltd. | 3,277 | 12,589 | |||||||||
Telstra Corp. Ltd. | 10,515 | 51,689 | |||||||||
137,288 | |||||||||||
Belgium (0.2%) | |||||||||||
Anheuser-Busch InBev NV ADR | 144 | 17,286 | ØØ | ||||||||
Delhaize Group SA | 417 | 33,568 | |||||||||
50,854 |
Number of Shares | Value† | ||||||||||
Canada (1.9%) | |||||||||||
Alimentation Couche-Tard, Inc. Class B | 930 | $ | 35,597 | ØØ | |||||||
BCE, Inc. | 1,163 | 51,300 | ØØ | ||||||||
Brookfield Asset Management, Inc. Class A | 1,597 | 85,998 | ØØ | ||||||||
Canadian National Railway Co. | 505 | 32,583 | ØØ | ||||||||
Canadian Natural Resources Ltd. | 492 | 16,359 | |||||||||
Canadian Pacific Railway Ltd. | 269 | 51,266 | ØØ | ||||||||
Enbridge Income Fund Holdings, Inc. | 416 | 13,402 | |||||||||
Enbridge, Inc. | 792 | 41,445 | ØØ | ||||||||
Finning International, Inc. | 780 | 15,981 | ØØ |
Number of Shares | Value† | ||||||||||
George Weston Ltd. | 544 | $ | 44,936 | ||||||||
Kinross Gold Corp. | 5,182 | 12,585 | *ØØ | ||||||||
Magna International, Inc. | 1,062 | 53,518 | ØØ | ||||||||
Metro, Inc. | 842 | 24,342 | |||||||||
Potash Corp. of Saskatchewan, Inc. | 1,235 | 40,310 | ØØ | ||||||||
Sun Life Financial, Inc. | 416 | 13,325 | ØØ | ||||||||
532,947 | |||||||||||
Denmark (0.2%) | |||||||||||
AP Moeller - Maersk A/S Class A | 18 | 34,702 | |||||||||
AP Moeller - Maersk A/S Class B | 6 | 11,908 | ØØ | ||||||||
Vestas Wind Systems A/S | 381 | 17,281 | ØØ | ||||||||
63,891 |
See Notes to Schedule of Investments
23
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Finland (0.6%) | |||||||||||
Fortum OYJ | 1,016 | $ | 20,063 | ||||||||
Neste Oil OYJ | 2,550 | 69,355 | |||||||||
UPM-Kymmene OYJ | 3,382 | 61,196 | ØØ | ||||||||
Valmet OYJ | 840 | 9,735 | ØØ | ||||||||
160,349 | |||||||||||
France (0.8%) | |||||||||||
Boiron SA | 412 | 45,885 | ØØ | ||||||||
Genfit | 141 | 6,131 | *ØØ | ||||||||
Groupe Fnac | 138 | 8,312 | *ØØ | ||||||||
Peugeot SA | 1,728 | 32,669 | * | ||||||||
Sanofi | 154 | 15,676 | |||||||||
Sanofi ADR | 1,794 | 90,687 | ØØ | ||||||||
Valeo SA | 110 | 17,635 | ØØ | ||||||||
216,995 | |||||||||||
Germany (1.1%) | |||||||||||
Bayerische Motoren Werke AG (Preference Shares) | 375 | 34,267 | |||||||||
Daimler AG | 168 | 16,153 | ØØ | ||||||||
Deutsche Lufthansa AG | 1,104 | 15,226 | * | ||||||||
Hannover Rueck SE | 231 | 23,481 | ØØ | ||||||||
Kabel Deutschland Holding AG | 144 | 19,298 | *ØØ | ||||||||
Merck KGaA | 254 | 27,383 | ØØ | ||||||||
Porsche Automobil Holding SE (Preference Shares) | 359 | 34,063 | |||||||||
RWE AG | 381 | 9,468 | ØØ | ||||||||
Volkswagen AG | 138 | 34,957 | ØØ | ||||||||
Volkswagen AG (Preference Shares) | 300 | 77,234 | ØØ | ||||||||
291,530 | |||||||||||
Hong Kong (0.2%) | |||||||||||
Cathay Pacific Airways Ltd. | 6,000 | 15,435 | |||||||||
Cheung Kong Infrastructure Holdings Ltd. | 4,000 | 33,937 | ØØ | ||||||||
49,372 | |||||||||||
Ireland (0.5%) | |||||||||||
ICON PLC | 753 | 48,448 | *ØØ | ||||||||
Ryanair Holdings PLC ADR | 708 | 45,914 | ØØ |
Number of Shares | Value† | ||||||||||
Smurfit Kappa Group PLC | 1,201 | $ | 36,770 | ||||||||
XL Group PLC | 601 | 22,285 | È | ||||||||
153,417 | |||||||||||
Israel (0.9%) | |||||||||||
Check Point Software Technologies Ltd. | 556 | 46,415 | *ØØ | ||||||||
Teva Pharmaceutical Industries Ltd. ADR | 3,138 | 189,598 | ØØ | ||||||||
236,013 | |||||||||||
Italy (0.2%) | |||||||||||
Enel SpA | 5,081 | 24,084 | |||||||||
Luxottica Group SpA ADR | 647 | 42,456 | ØØ | ||||||||
66,540 | |||||||||||
Japan (1.8%) | |||||||||||
Asahi Kasei Corp. | 2,377 | 22,383 | |||||||||
BRIDGESTONE Corp. | 500 | 20,942 | |||||||||
Central Japan Railway Co. | 100 | 17,861 | ØØ | ||||||||
Fujitsu Frontech Ltd. | 799 | 9,901 | ØØ | ||||||||
Heiwa Corp. | 600 | 12,510 | |||||||||
Iwasaki Electric Co. Ltd. | 8,302 | 19,169 | ØØ | ||||||||
Japan Airlines Co. Ltd. | 1,400 | 46,679 | |||||||||
Kanto Denka Kogyo Co. Ltd. | 1,002 | 6,246 | ØØ | ||||||||
Kawasaki Kisen Kaisha Ltd. | 13,294 | 34,340 | ØØ | ||||||||
Kobe Steel Ltd. | 8,000 | 14,541 | |||||||||
Mitsubishi Electric Corp. | 1,413 | 18,453 | ØØ | ||||||||
Mitsubishi UFJ Financial Group, Inc. | 8,400 | 59,676 | |||||||||
Mizuho Financial Group, Inc. | 28,500 | 54,329 | |||||||||
Nippon Telegraph & Telephone Corp. | 200 | 13,505 | ØØ | ||||||||
Resona Holdings, Inc. | 2,700 | 14,397 | ØØ | ||||||||
Sala Corp. | 2,884 | 14,417 | ØØ | ||||||||
Seiko Epson Corp. | 700 | 12,232 |
Number of Shares | Value† | ||||||||||
Shinagawa Refractories Co. Ltd. | 5,699 | $ | 15,236 | ØØ | |||||||
Sojitz Corp. | 10,100 | 19,749 | |||||||||
Tosoh Corp. | 2,000 | 10,722 | |||||||||
Toyo Tire & Rubber Co. Ltd. | 700 | 13,409 | ØØ | ||||||||
TOYOTA MOTOR Corp. | 400 | 27,844 | |||||||||
Yamaguchi Financial Group, Inc. | 1,000 | 12,535 | ØØ | ||||||||
491,076 | |||||||||||
Luxembourg (0.0%) | |||||||||||
APERAM SA | 256 | 9,760 | * | ||||||||
Netherlands (1.2%) | |||||||||||
Aegon NV | 4,541 | 35,828 | |||||||||
Akzo Nobel NV | 270 | 20,659 | ØØ | ||||||||
ASML Holding NV | 752 | 80,494 | ØØ | ||||||||
Heineken Holding NV | 292 | 20,355 | ØØ | ||||||||
Koninklijke Ahold NV | 2,130 | 41,267 | |||||||||
Koninklijke Philips NV | 443 | 12,674 | ØØ | ||||||||
Royal Dutch Shell PLC, A Shares | 1,020 | 32,161 | |||||||||
Royal Dutch Shell PLC ADR Class A | 648 | 41,103 | ØØ | ||||||||
Unilever NV | 1,265 | 55,002 | ØØ | ||||||||
339,543 | |||||||||||
Norway (0.0%) | |||||||||||
Orkla ASA | 1,584 | 12,439 | |||||||||
Singapore (0.1%) | |||||||||||
Yangzijiang Shipbuilding Holdings Ltd. | 19,800 | 21,865 | ØØ | ||||||||
South Africa (0.1%) | |||||||||||
Mondi PLC | 1,154 | 23,366 | ØØ | ||||||||
Spain (0.2%) | |||||||||||
ACS Actividades de Construccion y Servicios SA | 505 | 17,794 | ØØ | ||||||||
Prosegur Cia de Seguridad SA | 3,116 | 17,962 | ØØ | ||||||||
Repsol SA | 1,032 | 21,274 | ØØ | ||||||||
57,030 |
See Notes to Schedule of Investments
24
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Sweden (0.4%) | |||||||||||
Electrolux AB, Ser. B | 411 | $ | 12,306 | ||||||||
Holmen AB, B Shares | 350 | 11,581 | ØØ | ||||||||
Peab AB | 1,981 | 16,708 | ØØ | ||||||||
Skanska AB, B Shares | 772 | 17,179 | ØØ | ||||||||
Tele2 AB, B Shares | 1,524 | 20,327 | |||||||||
Telefonaktiebolaget LM Ericsson, B Shares | 2,192 | 23,973 | |||||||||
102,074 | |||||||||||
Switzerland (1.2%) | |||||||||||
ABB Ltd. ADR | 1,989 | 43,300 | *ØØ | ||||||||
Autoneum Holding AG | 52 | 11,483 | *ØØ | ||||||||
Clariant AG | 1,093 | 23,996 | *ØØ | ||||||||
Forbo Holding AG | 19 | 23,011 | *ØØ | ||||||||
Givaudan SA | 9 | 16,841 | *ØØ | ||||||||
Logitech International SA | 837 | 12,565 | ØØ | ||||||||
Lonza Group AG | 334 | 47,224 | *ØØ | ||||||||
Nestle SA | 157 | 12,181 | |||||||||
Novartis AG | 120 | 12,249 | |||||||||
Novartis AG ADR | 165 | 16,797 | ØØ | ||||||||
Swiss Life Holding AG | 240 | 56,952 | *ØØ | ||||||||
Swiss Re AG | 490 | 43,467 | |||||||||
320,066 | |||||||||||
United Kingdom (3.1%) | |||||||||||
3 | i Group PLC | 2,509 | 19,437 | ||||||||
Acacia Mining PLC | 2,505 | 11,110 | ØØ | ||||||||
Aggreko PLC | 790 | 19,928 | ØØ | ||||||||
Barclays PLC ADR | 1,084 | 17,062 | È | ||||||||
Bellway PLC | 1,449 | 44,053 | |||||||||
Berkeley Group Holdings PLC | 353 | 13,591 | ØØ | ||||||||
BP PLC | 7,268 | 52,420 | |||||||||
BT Group PLC | 8,579 | 59,835 | ØØ | ||||||||
Carillion PLC | 2,711 | 13,526 | ØØ | ||||||||
Carnival PLC | 401 | 18,244 | ØØ | ||||||||
easyJet PLC | 1,328 | 36,720 | |||||||||
Evraz PLC | 23,883 | 69,359 | ØØ | ||||||||
Fiat Chrysler Automobiles NV | 724 | 10,781 | * | ||||||||
G4S PLC | 4,760 | 21,351 | ØØ | ||||||||
HSBC Holdings PLC | 1,428 | 14,265 |
Number of Shares | Value† | ||||||||||
Imperial Tobacco Group PLC | 506 | $ | 24,708 | ØØ | |||||||
Inchcape PLC | 1,841 | 23,418 | ØØ | ||||||||
International Consolidated Airlines Group SA | 6,797 | 56,695 | * | ||||||||
Lamprell PLC | 8,540 | 18,392 | *ØØ | ||||||||
Melrose Industries PLC | 4,067 | 16,504 | ØØ | ||||||||
National Express Group PLC | 18,242 | 80,337 | ØØ | ||||||||
National Grid PLC | 1,674 | 22,521 | ØØ | ||||||||
Pace PLC | 2,805 | 17,784 | ØØ | ||||||||
Persimmon PLC | 609 | 15,812 | *ØØ | ||||||||
Rexam PLC | 2,262 | 20,077 | ØØ | ||||||||
Royal Bank of Scotland Group PLC | 6,705 | 34,739 | *ØØ | ||||||||
Segro PLC | 2,612 | 17,159 | ØØ | ||||||||
Tate & Lyle PLC | 1,418 | 12,984 | ØØ | ||||||||
Taylor Wimpey PLC | 6,330 | 16,073 | ØØ | ||||||||
Trinity Mirror PLC | 3,866 | 10,919 | *ØØ | ||||||||
UBM PLC | 2,158 | 18,629 | ØØ | ||||||||
828,433 | |||||||||||
United States (33.7%) | |||||||||||
3M Co. | 182 | 28,463 | ØØ | ||||||||
Achillion Pharmaceuticals, Inc. | 551 | 4,821 | *È | ||||||||
Actavis PLC | 376 | 106,355 | *ØØ | ||||||||
Activision Blizzard, Inc. | 4,265 | 97,306 | ÈØØ | ||||||||
ADT Corp. | 487 | 18,311 | È | ||||||||
Aetna, Inc. | 459 | 49,053 | ØØ | ||||||||
Akorn, Inc. | 230 | 9,577 | *ÈØØ | ||||||||
Alaska Air Group, Inc. | 532 | 34,080 | ÈØØ | ||||||||
Altria Group, Inc. | 364 | 18,218 | ØØ | ||||||||
Amdocs Ltd. | 976 | 53,748 | ØØ | ||||||||
American Airlines Group, Inc. | 1,570 | 75,807 | ØØ | ||||||||
American Capital Agency Corp. | 2,518 | 51,959 | ØØ | ||||||||
American Express Co. | 971 | 75,204 | ØØ | ||||||||
American Financial Group, Inc. | 408 | 25,786 | ØØ |
Number of Shares | Value† | ||||||||||
American International Group, Inc. | 1,744 | $ | 98,170 | ÈØØ | |||||||
Amgen, Inc. | 127 | 20,055 | ØØ | ||||||||
AmTrust Financial Services, Inc. | 880 | 52,334 | ØØ | ||||||||
Annaly Capital Management, Inc. | 3,373 | 33,966 | ØØ | ||||||||
Anthem, Inc. | 937 | 141,421 | ØØ | ||||||||
Apollo Residential Mortgage, Inc. | 1,577 | 25,011 | ØØ | ||||||||
Apple, Inc. | 2,354 | 294,603 | ØØ | ||||||||
Archer-Daniels- Midland Co. | 648 | 31,674 | ØØ | ||||||||
Ashland, Inc. | 504 | 63,685 | ØØ | ||||||||
AT&T, Inc. | 952 | 32,977 | |||||||||
Atmos Energy Corp. | 348 | 18,792 | ØØ | ||||||||
Automatic Data Processing, Inc. | 273 | 23,079 | ØØ | ||||||||
Avery Dennison Corp. | 393 | 21,847 | ØØ | ||||||||
Axis Capital Holdings Ltd. | 235 | 12,234 | È | ||||||||
Bank of America Corp. | 2,113 | 33,660 | ØØ | ||||||||
BankUnited, Inc. | 3,447 | 113,268 | ØØ | ||||||||
Berkshire Hathaway, Inc. Class B | 835 | 117,910 | *ØØ | ||||||||
Best Buy Co., Inc. | 746 | 25,849 | ØØ | ||||||||
Big Lots, Inc. | 474 | 21,600 | È | ||||||||
Bill Barrett Corp. | 674 | 7,818 | *ØØ | ||||||||
Boeing Co. | 580 | 83,137 | ØØ | ||||||||
Bristol-Myers Squibb Co. | 659 | 41,998 | ØØ | ||||||||
Bunge Ltd. | 292 | 25,220 | ØØ | ||||||||
Cablevision Systems Corp. Class A | 2,721 | 54,366 | ÈØØ | ||||||||
Cabot Oil & Gas Corp. | 6,051 | 204,645 | ØØ | ||||||||
CBIZ, Inc. | 1,552 | 14,030 | *È | ||||||||
CDW Corp. | 293 | 11,228 | ØØ | ||||||||
CenturyLink, Inc. | 341 | 12,262 | ØØ | ||||||||
Charles River Laboratories International, Inc. | 416 | 28,771 | *ØØ |
See Notes to Schedule of Investments
25
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Chevron Corp. | 113 | $ | 12,550 | ØØ | |||||||
Chimera Investment Corp. | 1,743 | 26,476 | |||||||||
Cigna Corp. | 901 | 112,301 | ØØ | ||||||||
Cintas Corp. | 305 | 24,385 | |||||||||
Cisco Systems, Inc. | 1,438 | 41,458 | ØØ | ||||||||
Citigroup, Inc. | 794 | 42,336 | ØØ | ||||||||
CME Group, Inc. | 1,195 | 108,637 | ØØ | ||||||||
Comcast Corp. Class A | 299 | 17,270 | ØØ | ||||||||
ConAgra Foods, Inc. | 417 | 15,075 | ØØ | ||||||||
Concho Resources, Inc. | 450 | 56,997 | *ØØ | ||||||||
CONSOL Energy, Inc. | 231 | 7,503 | È | ||||||||
Cooper Cos., Inc. | 632 | 112,540 | ØØ | ||||||||
Costco Wholesale Corp. | 1,240 | 177,382 | ØØ | ||||||||
CVS Health Corp. | 998 | 99,091 | ØØ | ||||||||
Darden Restaurants, Inc. | 1,082 | 68,999 | ØØ | ||||||||
Delek US Holdings, Inc. | 484 | 17,869 | |||||||||
Delta Air Lines, Inc. | 1,019 | 45,488 | ØØ | ||||||||
DeVry Education Group, Inc. | 727 | 21,984 | ØØ | ||||||||
DIRECTV | 121 | 10,975 | *ØØ | ||||||||
Domino's Pizza, Inc. | 143 | 15,423 | È | ||||||||
Duke Energy Corp. | 243 | 18,850 | ØØ | ||||||||
Dynegy, Inc. | 739 | 24,587 | * | ||||||||
Dynex Capital, Inc. | 2,338 | 18,704 | |||||||||
E.I. du Pont de v Nemours & Co. | 241 | 17,641 | ØØ | ||||||||
eBay, Inc. | 3,119 | 181,713 | *ØØ | ||||||||
Enphase Energy, Inc. | 430 | 5,405 | *ØØ | ||||||||
Entercom Communications Corp. Class A | 964 | 11,452 | *ØØ | ||||||||
Entergy Corp. | 979 | 75,559 | ØØ | ||||||||
Esperion Therapeutics, Inc. | 141 | 13,413 | *È | ||||||||
Everest Re Group Ltd. | 196 | 35,066 | ØØ |
Number of Shares | Value† | ||||||||||
Exelon Corp. | 2,037 | $ | 69,299 | ÈØØ | |||||||
Exxon Mobil Corp. | 330 | 28,832 | ØØ | ||||||||
Fairchild Semiconductor International, Inc. | 1,448 | 26,303 | *ØØ | ||||||||
Fiserv, Inc. | 284 | 22,038 | *ØØ | ||||||||
Freescale Semiconductor Ltd. | 1,531 | 59,847 | *ØØ | ||||||||
Fresh Del Monte Produce, Inc. | 305 | 11,264 | |||||||||
General Dynamics Corp. | 183 | 25,130 | ØØ | ||||||||
General Electric Co. | 494 | 13,378ØØ | |||||||||
Genpact Ltd. | 1,582 | 34,583 | *ØØ | ||||||||
Gilead Sciences, Inc. | 580 | 58,296 | *ØØ | ||||||||
GNC Holdings, Inc. Class A | 1,096 | 47,183 | ØØ | ||||||||
Goldman Sachs Group, Inc. | 564 | 110,781 | ØØ | ||||||||
Google, Inc. Class A | 27 | 14,817 | *ØØ | ||||||||
Google, Inc. Class C | 22 | 11,821 | * | ||||||||
Graham Holdings Co. Class B | 37 | 37,848 | |||||||||
Haemonetics Corp. | 667 | 27,034 | * | ||||||||
Hartford Financial Services Group, Inc. | 958 | 39,058 | ØØ | ||||||||
Hasbro, Inc. | 313 | 22,157 | È | ||||||||
HCA Holdings, Inc. | 672 | 49,735 | *ØØ | ||||||||
Hewlett-Packard Co. | 2,059 | 67,885 | ÈØØ | ||||||||
IBM Corp. | 192 | 32,888 | ØØ | ||||||||
IDT Corp. Class B | 450 | 7,664 | È | ||||||||
IHS, Inc. Class A | 419 | 52,572 | *ØØ | ||||||||
Infinera Corp. | 614 | 11,543 | *È | ||||||||
Ingredion, Inc. | 224 | 17,786 | ØØ | ||||||||
Intel Corp. | 1,146 | 37,302 | ØØ | ||||||||
Intercontinental Exchange, Inc. | 745 | 167,275 | ØØ | ||||||||
Intrexon Corp. | 126 | 4,893 | *È | ||||||||
Intuit, Inc. | 872 | 87,488 | ØØ | ||||||||
ITC Holdings Corp. | 1,019 | 36,684 | ØØ | ||||||||
JC Penney Co., Inc. | 5,093 | 42,272 | *È |
Number of Shares | Value† | ||||||||||
JetBlue Airways Corp. | 1,738 | $ | 35,681 | *È | |||||||
Johnson & Johnson | 390 | 38,688 | ØØ | ||||||||
JPMorgan Chase & Co. | 4,838 | 306,052 | ØØ | ||||||||
Kohl's Corp. | 198 | 14,187 | ØØ | ||||||||
Lam Research Corp. | 211 | 15,947 | ØØ | ||||||||
Leidos Holdings, Inc. | 1,218 | 50,718 | ØØ | ||||||||
Lennar Corp. Class A | 1,747 | 80,013 | ÈØØ | ||||||||
Lithia Motors, Inc. Class A | 545 | 54,353 | ØØ | ||||||||
LKQ Corp. | 557 | 24,255 | *ØØ | ||||||||
Manhattan Associates, Inc. | 876 | 46,043 | *È | ||||||||
Manpower Group, Inc. | 218 | 18,602 | ØØ | ||||||||
Marvell Technology Group Ltd. | 1,140 | 15,971 | |||||||||
Media General, Inc. | 651 | 10,995 | *È | ||||||||
Merck & Co., Inc. | 438 | 26,087 | ØØ | ||||||||
Merge Healthcare, Inc. | 2,050 | 10,189 | *ØØ | ||||||||
Meritor, Inc. | 718 | 9,420 | *ØØ | ||||||||
MetLife, Inc. | 657 | 33,698 | ØØ | ||||||||
MFA Financial, Inc. | 1,858 | 14,437 | |||||||||
Micron Technology, Inc. | 2,902 | 81,633 | *ØØ | ||||||||
Microsoft Corp. | 1,607 | 78,164 | ØØ | ||||||||
Mondelez International, Inc. Class A | 690 | 26,475 | ØØ | ||||||||
National Fuel Gas Co. | 224 | 14,437 | È | ||||||||
Newell Rubbermaid, Inc. | 1,687 | 64,325 | ØØ | ||||||||
NextEra Energy, Inc. | 229 | 23,113 | ØØ | ||||||||
NIKE, Inc. Class B | 255 | 25,204 | ØØ | ||||||||
NorthWestern Corp. | 205 | 10,678 | ØØ | ||||||||
Nuance Communications, Inc. | 6,179 | 94,724 | *ØØ | ||||||||
O'Reilly Automotive, Inc. | 50 | 10,892 | *È |
See Notes to Schedule of Investments
26
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Office Depot, Inc. | 8,819 | $ | 81,311 | *ØØ | |||||||
Oracle Corp. | 1,412 | 61,591 | ØØ | ||||||||
Packaging Corp. of America | 1,122 | 77,631 | ØØ | ||||||||
PAM Transportation Services, Inc. | 172 | 10,077 | *ØØ | ||||||||
Parker Hannifin Corp. | 135 | 16,114 | ØØ | ||||||||
PartnerRe Ltd. | 106 | 13,568 | ØØ | ||||||||
PBF Energy, Inc. Class A | 375 | 10,643 | ØØ | ||||||||
PepsiCo, Inc. | 187 | 17,787 | |||||||||
Pfizer, Inc. | 4,986 | 169,175 | ØØ | ||||||||
PG&E Corp. | 222 | 11,748 | |||||||||
Pilgrim's Pride Corp. | 2,194 | 54,192 | È | ||||||||
Pioneer Natural Resources Co. | 509 | 87,945 | ØØ | ||||||||
Pitney Bowes, Inc. | 1,482 | 33,152 | ØØ | ||||||||
PNC Financial Services Group, Inc. | 234 | 21,465 | ØØ | ||||||||
Polaris Industries, Inc. | 258 | 35,336 | |||||||||
Procter & Gamble Co. | 1,349 | 107,259 | ØØ | ||||||||
QUALCOMM, Inc. | 217 | 14,756 | ØØ | ||||||||
Range Resources Corp. | 197 | 12,521 | ØØ | ||||||||
Reinsurance Group of America, Inc. | 403 | 36,923 | ØØ | ||||||||
REX American Resources Corp. | 183 | 11,569 | *È | ||||||||
Rite Aid Corp. | 2,053 | 15,829 | * | ||||||||
Rock-Tenn Co. Class A | 193 | 12,155 | ØØ | ||||||||
Royal Caribbean Cruises Ltd. | 859 | 58,464 | ØØ | ||||||||
Ruby Tuesday, Inc. | 1,179 | 8,583 | *ØØ | ||||||||
SanDisk Corp. | 1,713 | 114,668 | ØØ | ||||||||
Sanmina Corp. | 966 | 19,639 | * | ||||||||
Schlumberger Ltd. | 395 | 37,371 | ØØ | ||||||||
Schnitzer Steel Industries, Inc. Class A | 576 | 10,034 | ØØ | ||||||||
Seaboard Corp. | 13 | 46,800 | *ØØ |
Number of Shares | Value† | ||||||||||
Skyworks Solutions, Inc. | 259 | $ | 23,893 | ØØ | |||||||
Sonoco Products Co. | 386 | 17,250 | ØØ | ||||||||
SP Plus Corp. | 668 | 15,204 | *ØØ | ||||||||
Spirit AeroSystems Holdings, Inc. Class A | 2,184 | 111,144 | *ØØ | ||||||||
SS&C Technologies Holdings, Inc. | 210 | 12,636 | ØØ | ||||||||
Staples, Inc. | 2,485 | 40,555 | ØØ | ||||||||
Teekay Tankers Ltd. Class A | 1,126 | 7,094 | ØØ | ||||||||
Teradata Corp. | 1,149 | 50,545 | *È | ||||||||
Teradyne, Inc. | 810 | 14,783 | ØØ | ||||||||
Tesoro Corp. | 371 | 31,843 | ØØ | ||||||||
Tessera Technologies, Inc. | 387 | 13,975 | |||||||||
Texas Instruments, Inc. | 300 | 16,263 | ØØ | ||||||||
Thomson Reuters Corp. | 317 | 13,016 | ØØ | ||||||||
Time Warner, Inc. | 191 | 16,122 | ØØ | ||||||||
TJX Cos., Inc. | 418 | 26,978 | ØØ | ||||||||
Tractor Supply Co. | 622 | 53,529 | ØØ | ||||||||
TRW Automotive Holdings Corp. | 158 | 16,599 | * | ||||||||
Twenty-First Century Fox, Inc. Class A | 582 | 19,835 | ØØ | ||||||||
UGI Corp. | 603 | 20,990 | ØØ | ||||||||
United Continental Holdings, Inc. | 1,383 | 82,620 | *ØØ | ||||||||
United States Steel Corp. | 1,994 | 47,896 | ÈØØ | ||||||||
UnitedHealth Group, Inc. | 728 | 81,099 | ØØ | ||||||||
VF Corp. | 239 | 17,311 | ØØ | ||||||||
Valero Energy Corp. | 1,861 | 105,891 | ØØ | ||||||||
VeriFone Systems, Inc. | 2,195 | 78,515 | *ØØ | ||||||||
Verisk Analytics, Inc. Class A | 963 | 72,264 | *ØØ | ||||||||
Verizon Communications, Inc. | 1,401 | 70,666 | ØØ | ||||||||
Visa, Inc. Class A | 293 | 19,353 | È |
Number of Shares | Value† | ||||||||||
Voya Financial, Inc. | 1,867 | $ | 79,049 | ØØ | |||||||
VSE Corp. | 92 | 6,545 | ØØ | ||||||||
WageWorks, Inc. | 809 | 40,774 | *ØØ | ||||||||
Wal-Mart Stores, Inc. | 1,401 | 73,913 | ØØ | ||||||||
Walt Disney Co. | 620 | 67,406 | ØØ | ||||||||
Wells Fargo & Co. | 2,797 | 154,115 | ØØ | ||||||||
West Corp. | 1,492 | 46,177 | ØØ | ||||||||
WhiteWave Foods Co. | 2,954 | 129,887 | *ØØ | ||||||||
Zimmer Holdings, Inc. | 995 | 109,291 | ØØ | ||||||||
9,275,396 | |||||||||||
Total Common Stocks (Cost $12,998,890) | 13,440,244 | ||||||||||
Principal Amounta | |||||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government (4.5%) | |||||||||||
U.S. Treasury Bonds, 3.00%, due 11/15/44 | $ | 95,000 | 99,921 | ||||||||
U.S. Treasury Bonds, 3.88%, due 8/15/40 | 5,000 | 6,075 | |||||||||
U.S. Treasury Bonds, 4.38%, due 11/15/39 | 25,000 | 32,584 | |||||||||
U.S. Treasury Bonds, 4.50%, due 2/15/36 | 65,000 | 86,018 | |||||||||
U.S. Treasury Bonds, 5.38%, due 2/15/31 | 5,000 | 6,971 |
See Notes to Schedule of Investments
27
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Principal Amounta | Value† | ||||||||||
U.S. Treasury Inflation Indexed Bonds, 0.13%, due 4/15/17 | $ | 10,333 | $ | 10,554 | |||||||
U.S. Treasury Inflation Indexed Bonds, 0.13%, due 1/15/22 | 15,554 | 15,745 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.13%, due 1/15/23 | 20,335 | 20,502 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.63%, due 1/15/24 | 60,349 | 63,206 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.63%, due 2/15/43 | 15,312 | 14,848 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 1.75%, due 1/15/28 | 33,608 | 39,421 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 2.00%, due 1/15/26 | 35,473 | 42,144 |
Principal Amounta | Value† | ||||||||||
U.S. Treasury Inflation Indexed Bonds, 2.13%, due 2/15/40 | $ | 65,149 | $ | 86,302 | |||||||
U.S. Treasury Inflation Indexed Bonds, 2.38%, due 1/15/25 | 6,225 | 7,570 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 2.38%, due 1/15/27 | 11,638 | 14,398 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 2.50%, due 1/15/29 | 5,466 | 6,988 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 3.38%, due 4/15/32 | 99,164 | 145,593 | |||||||||
U.S. Treasury Notes, 0.25%, due 12/31/15 | 185,000 | 185,072 | |||||||||
U.S. Treasury Notes, 0.75%, due 2/28/18 | 75,000 | 74,719 | |||||||||
U.S. Treasury Notes, 1.13%, due 3/31/20 | 20,000 | 19,706 |
Principal Amounta | Value† | ||||||||||
U.S. Treasury Notes, 1.63%, due 11/15/22 | $ | 20,000 | $ | 19,689 | |||||||
U.S. Treasury Notes, 2.00%, due 10/31/21 | 65,000 | 65,995 | |||||||||
U.S. Treasury Notes, 2.38%, due 8/15/24 | 70,000 | 72,155 | |||||||||
U.S. Treasury Notes, 2.75%, due 2/15/24 | 35,000 | 37,198 | |||||||||
U.S. Treasury Notes, 3.25%, due 3/31/17 | 60,000 | 63,052 | |||||||||
Total U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government (Cost $1,241,129) | 1,236,426 | ||||||||||
U.S. Government Agency Securities (0.1%) | |||||||||||
Federal Home Loan Bank, Bonds, 5.50%, due 7/15/36 (Cost $35,489) | 25,000 | 34,048 | ØØ | ||||||||
Mortgage-Backed Securities (0.5%) | |||||||||||
Fannie Mae (0.3%) | |||||||||||
Pass- Through Certificates, 4.50%, TBA, 30 Year Maturity | 60,000 | 65,297 | Ø |
See Notes to Schedule of Investments
28
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Principal Amounta | Value† | ||||||||||
Freddie Mac (0.2%) | |||||||||||
Pass- Through Certificates, 4.00%, TBA, 30 Year Maturity | $ | 60,000 | $ | 64,050 | Ø | ||||||
Total Mortgage-Backed Securities (Cost $129,159) | 129,347 | ||||||||||
Government Securities (7.8%) | |||||||||||
Sovereign (7.8%) | |||||||||||
Australia Government Bond, Senior Unsecured Notes, 2.00%, due 8/21/35 | AUD | 15,000 | 15,420 | ||||||||
Australia Government Bond, Senior Unsecured Notes, 2.75%, due 4/21/24 | AUD | 50,000 | 40,154 | ||||||||
Australia Government Bond, Senior Unsecured Notes, 3.25% due 4/21/25 | AUD | 40,000 | 33,382 | ||||||||
Canadian Government Bond, Bonds, 1.25%, due 2/1/16 | CAD | 105,000 | 87,376 | ||||||||
Canadian Government Bond, Bonds, 4.25%, due 12/1/21 | CAD | 22,635 | 25,034 | ||||||||
Canadian Government Bond, Bonds, 4.25%, due 6/1/18 | CAD | 185,000 | 169,811 |
Principal Amounta | Value† | ||||||||||
European Investment Bank, Senior Unsecured Euro Medium- Term Notes, 4.63%, due 4/15/20 | EUR | 100,000 | $ | 137,632 | |||||||
France Government Bond OAT, Bonds, 1.75%, due 11/25/24 | EUR | 95,000 | 118,395 | ||||||||
Italy Buoni Poliennali Del Tesoro, Bonds, 2.55%, due 9/15/41 | EUR | 42,939 | 65,006 | ||||||||
Italy Buoni Poliennali Del Tesoro, Bonds, 4.00%, due 2/1/37 | EUR | 55,000 | 78,820 | ||||||||
Japan Government Twenty Year Bond, Senior Unsecured Notes, 1.20%, due 3/20/35 | JPY | 7,000,000 | 59,689 | ||||||||
Mexican Bonos, Bonds, Ser. M, 7.75%, due 11/13/42 | MXN | 690,000 | 51,879 | ||||||||
New Zealand Government Bond, Senior Unsecured Notes, 2.00%, due 9/20/25 | NZD | 20,000 | 16,037 |
Principal Amounta | Value† | ||||||||||
New Zealand Government Bond, Senior Unsecured Notes, 2.50%, due 9/20/35 | NZD | 50,000 | $ | 42,093 | |||||||
New Zealand Government Bond, Senior Unsecured Notes, Ser. 423, 5.50%, due 4/15/23 | NZD | 105,000 | 92,291 | ||||||||
South Africa Government Bond, Bonds, Ser. R214, 6.50%, due 2/28/41 | ZAR | 805,000 | 53,314 | ||||||||
Spain Government Bond, Bonds, 5.15%, due 10/31/44 | EUR | 5,000 | 8,762 | ñ | |||||||
Spain Government Bond, Senior Unsecured Notes, 4.20%, due 1/31/37 | EUR | 10,000 | 14,788 | ñ | |||||||
Spain Government Bond, Senior Unsecured Notes, 4.65%, due 7/30/25 | EUR | 80,000 | 116,453 | ñ | |||||||
United Kingdom Gilt Inflation Linked Bonds, Bonds, 0.13%, due 3/22/44 | GBP | 42,349 | 85,248 |
See Notes to Schedule of Investments
29
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Principal Amounta | Value† | ||||||||||
United Kingdom Gilt Inflation Linked Bonds, Bonds, 0.25%, due 3/22/52 | GBP | 10,604 | $ | 24,049 | |||||||
United Kingdom Gilt Inflation Linked Bonds, Senior Unsecured Notes, 0.13%, due 3/22/29 | GBP | 43,241 | 75,878 | ||||||||
United Kingdom Gilt, Bonds, 1.75%, due 7/22/19 | GBP | 200,000 | 314,451 | ||||||||
United Kingdom Gilt, Bonds, 1.75%, due 9/7/22 | GBP | 200,000 | 309,781 | ||||||||
United Kingdom Gilt, Bonds, 4.25%, due 12/7/27 | GBP | 60,000 | 114,896 | ||||||||
Total Government Securities (Cost $2,165,312) | 2,150,639 | ||||||||||
Number of Shares | |||||||||||
Exchange Traded Funds (3.9%) | |||||||||||
iShares 10+ Year Credit Bond ETF | 1,300 | 79,651 | ØØ | ||||||||
iShares Core U.S. Aggregate Bond ETF | 1,674 | 185,580 | ØØ | ||||||||
iShares MSCI ACWI ETF | 8,932 | 551,462 | ØØ |
Number of Shares | Value† | ||||||||||
SPDR Barclays International Treasury Bond ETF | 3,426 | $ | 185,552 | ØØ | |||||||
SPDR Barclays Long Term Corporate Bond ETF | 1,900 | 77,938 | ØØ | ||||||||
Total Exchange Traded Funds (Cost $1,065,296) | 1,080,183 | ||||||||||
Mutual Funds (37.5%) | |||||||||||
Neuberger Berman Emerging Markets Debt Fund Institutional Class | 148,236 | 1,388,211 | §ØØ | ||||||||
Neuberger Berman Emerging Markets Equity Fund Institutional Class | 187,444 | 3,197,875 | §ØØ | ||||||||
Neuberger Berman High Income Bond Fund Institutional Class | 153,180 | 1,393,318 | §ØØ | ||||||||
Neuberger Berman International Equity Fund Institutional Class | 301,887 | 3,526,442 | §ØØ | ||||||||
Neuberger Berman Risk Balanced Commodity Strategy Fund Institutional Class | 111,878 | 822,119 | §ØØ | ||||||||
Total Mutual Funds (Cost $9,772,157) | 10,327,965 | ||||||||||
Short-Term Investments (0.8%) | |||||||||||
State Street Institutional Liquid Reserves Fund Premier Class (Cost $222,936) | 222,936 | 222,936 | ØØ | ||||||||
Total Long Positions (104.0%) (Cost $27,630,368) | 28,621,788 | ## |
Number of Shares | Value† | ||||||||||
Cash, receivables and other assets, less liabilities (4.9%) | $ | 1,352,991 | c | ||||||||
Short Positions (see summary below) ((8.9)%) | (2,454,535 | ) | |||||||||
Total Net Assets (100.0%) | $ | 27,520,244 | |||||||||
Short Positions ((8.9)%) | |||||||||||
Common Stocks Sold Short (8.9%)‡ | |||||||||||
Australia (0.1%) | |||||||||||
Coca-Cola Amatil Ltd. | (951 | ) | (7,699 | ) | |||||||
Iluka Resources Ltd. | (1,678 | ) | (10,693 | ) | |||||||
Santos Ltd. | (1,639 | ) | (10,674 | ) | |||||||
(29,066 | ) | ||||||||||
Belgium (0.1%) | |||||||||||
Anheuser-Busch InBev NV | (108 | ) | (13,149 | ) | |||||||
UCB SA | (179 | ) | (12,894 | ) | |||||||
(26,043 | ) | ||||||||||
Canada (0.2%) | |||||||||||
Amaya, Inc. | (274 | ) | (6,411 | )* | |||||||
BCE, Inc. | (236 | ) | (10,404 | ) | |||||||
Element Financial Corp. | (734 | ) | (10,525 | )* | |||||||
Franco-Nevada Corp. | (210 | ) | (10,903 | ) | |||||||
IGM Financial, Inc. | (287 | ) | (10,854 | ) | |||||||
Paramount Resources Ltd. Class A | (305 | ) | (9,022 | )* | |||||||
Peyto Exploration & Development Corp. | (333 | ) | (9,680 | ) | |||||||
(67,799 | ) | ||||||||||
Denmark (0.1%) | |||||||||||
Chr Hansen Holding A/S | (324 | ) | (15,686 | ) | |||||||
GN Store Nord A/S | (650 | ) | (14,033 | ) | |||||||
William Demant Holding A/S | (171 | ) | (14,067 | )* | |||||||
(43,786 | ) |
See Notes to Schedule of Investments
30
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
France (0.5%) | |||||||||||
Bureau Veritas SA | (651 | ) | $ | (15,330 | ) | ||||||
Danone SA | (189 | ) | (13,676 | ) | |||||||
Dassault Systemes SA | (163 | ) | (12,560 | ) | |||||||
Eurofins Scientific SE | (43 | ) | (12,112 | ) | |||||||
Groupe Eurotunnel SE | (952 | ) | (15,263 | ) | |||||||
Imerys SA | (184 | ) | (14,005 | ) | |||||||
Legrand SA | (217 | ) | (12,548 | ) | |||||||
LVMH Moet Hennessy Louis Vuitton SE | (70 | ) | (12,241 | ) | |||||||
Pernod-Ricard SA | (103 | ) | (12,801 | ) | |||||||
Remy Cointreau SA | (206 | ) | (15,498 | ) | |||||||
Sartorius Stedim Biotech | (38 | ) | (9,692 | ) | |||||||
(145,726 | ) | ||||||||||
Germany (0.3%) | |||||||||||
BASF SE | (134 | ) | (13,313 | ) | |||||||
Beiersdorf AG | (117 | ) | (10,177 | ) | |||||||
Deutsche Wohnen AG | (385 | ) | (10,099 | ) | |||||||
Drillisch AG | (362 | ) | (16,648 | ) | |||||||
Linde AG | (62 | ) | (12,115 | ) | |||||||
MAN SE | (90 | ) | (9,764 | ) | |||||||
SAP SE | (200 | ) | (15,113 | ) | |||||||
United Internet AG | (291 | ) | (13,010 | ) | |||||||
(100,239 | ) | ||||||||||
Italy (0.2%) | |||||||||||
Brunello Cucinelli SpA | (584 | ) | (10,833 | ) | |||||||
Salvatore Ferragamo SpA | (449 | ) | (13,962 | ) | |||||||
Snam SpA | (2,761 | ) | (14,382 | ) | |||||||
Yoox SpA | (327 | ) | (10,301 | )* | |||||||
(49,478 | ) | ||||||||||
Japan (0.5%) | |||||||||||
Asahi Co. Ltd. | (850 | ) | (7,508 | ) | |||||||
Daiichi Sankyo Co. Ltd. | (764 | ) | (13,270 | ) | |||||||
Hirose Electric Co. Ltd. | (105 | ) | (14,784 | ) | |||||||
Honda Motor Co. Ltd. | (390 | ) | (13,075 | ) | |||||||
Hulic Co. Ltd. | (813 | ) | (8,702 | ) | |||||||
Inpex Corp. | (1,207 | ) | (15,148 | ) | |||||||
Konami Corp. | (436 | ) | (8,002 | ) | |||||||
LIXIL Group Corp. | (500 | ) | (10,422 | ) |
Number of Shares | Value† | ||||||||||
Odakyu Electric Railway Co. Ltd. | (1,428 | ) | $ | (14,369 | ) | ||||||
Sumitomo Realty & Development Co. Ltd. | (303 | ) | (11,695 | ) | |||||||
Takeda Pharmaceutical Co. Ltd. | (238 | ) | (12,219 | ) | |||||||
(129,194 | ) | ||||||||||
Mexico (0.1%) | |||||||||||
Fresnillo PLC | (1,425 | ) | (15,805 | ) | |||||||
Netherlands (0.1%) | |||||||||||
ASML Holding NV | (130 | ) | (13,990 | ) | |||||||
OCI NV | (358 | ) | (10,673 | )* | |||||||
(24,663 | ) | ||||||||||
Spain (0.3%) | |||||||||||
Atresmedia Corp. de Medios de Comunicacion SA | (905 | ) | (14,618 | ) | |||||||
Banco Bilbao Vizcaya Argentaria SA | (1,155 | ) | (11,606 | ) | |||||||
Inditex SA | (349 | ) | (11,199 | ) | |||||||
Mediaset Espana Comunicacion SA | (1,109 | ) | (15,032 | )* | |||||||
Obrascon Huarte Lain SA | (372 | ) | (8,629 | ) | |||||||
Zardoya Otis SA | (1,177 | ) | (15,174 | ) | |||||||
(76,258 | ) | ||||||||||
Sweden (0.2%) | |||||||||||
Assa Abloy AB Class B | (242 | ) | (14,039 | ) | |||||||
Lundin Petroleum AB | (1,049 | ) | (16,980 | )* | |||||||
Volvo AB, | (895 | ) | (12,365 | ) | |||||||
B Shares | |||||||||||
Wallenstam AB, B Shares | (662) | (11,161) | |||||||||
(54,545 | ) | ||||||||||
Switzerland (0.4%) | |||||||||||
Barry Callebaut AG | (13 | ) | (15,771 | )* | |||||||
Cie Financiere Richemont SA | (139 | ) | (12,389 | ) | |||||||
Dufry AG | (97 | ) | (14,263 | )* | |||||||
PSP Swiss Property AG | (126 | ) | (11,752 | )* |
Number of Shares | Value† | ||||||||||
SGS SA | (7 | ) | $ | (13,563 | ) | ||||||
Swatch Group AG | (27 | ) | (12,070 | ) | |||||||
Swiss Prime Site AG | (147 | ) | (12,889 | )* | |||||||
Syngenta AG | (37 | ) | (12,381 | ) | |||||||
(105,078 | ) | ||||||||||
United Kingdom (1.6%) | |||||||||||
Antofagasta PLC | (624 | ) | (7,469 | ) | |||||||
Ashtead Group PLC | (747 | ) | (12,809 | ) | |||||||
Associated British Foods PLC | (227 | ) | (9,910 | ) | |||||||
British American Tobacco PLC | (191 | ) | (10,494 | ) | |||||||
BTG PLC | (1,215 | ) | (13,406 | )* | |||||||
Burberry Group PLC | (371 | ) | (9,891 | ) | |||||||
Capita PLC | (683 | ) | (11,955 | ) | |||||||
Diageo PLC | (427 | ) | (11,855 | ) | |||||||
Essentra PLC | (910 | ) | (13,358 | ) | |||||||
Experian PLC | (828 | ) | (14,788 | ) | |||||||
Glencore PLC | (3,007 | ) | (14,285 | )* | |||||||
Grainger PLC | (2,990 | ) | (9,697 | ) | |||||||
Greene King PLC | (1,045 | ) | (13,286 | ) | |||||||
Hammerson PLC | (1,106 | ) | (11,332 | ) | |||||||
Hargreaves Lansdown PLC | (625 | ) | (11,740 | ) | |||||||
Imagination Technologies Group PLC | (2,993 | ) | (9,028 | )* | |||||||
IMI PLC | (479 | ) | (9,179 | ) | |||||||
Inmarsat PLC | (923 | ) | (14,213 | ) | |||||||
Intertek Group PLC | (373 | ) | (14,907 | ) | |||||||
Jardine Lloyd Thompson Group PLC | (673 | ) | (10,960 | ) | |||||||
Johnson Matthey PLC | (227 | ) | (11,606 | ) | |||||||
Kier Group | (515 | ) | (12,775 | ) | |||||||
PLC | |||||||||||
N Brown Group PLC | (1,526 | ) | (8,011 | ) | |||||||
Next PLC | (86 | ) | (9,669 | ) | |||||||
Oxford Instruments PLC | (724 | ) | (10,307 | ) | |||||||
Pennon Group PLC | (1,031 | ) | (13,531 | ) | |||||||
Polymetal International PLC | (773 | ) | (6,279 | ) |
See Notes to Schedule of Investments
31
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Provident Financial PLC | (269 | ) | $ | (12,408 | ) | ||||||
Rotork PLC | (346 | ) | (12,486 | ) | |||||||
RPC Group PLC | (1,522 | ) | (13,988 | ) | |||||||
Serco Group PLC | (2,811 | ) | (5,743 | ) | |||||||
Sports Direct International PLC | (1,284 | ) | (12,137 | )* | |||||||
St. James's Place PLC | (693 | ) | (9,453 | ) | |||||||
Telecity Group PLC | (1,003 | ) | (13,605 | ) | |||||||
Tesco PLC | (3,257 | ) | (10,978 | ) | |||||||
Tullow Oil PLC | (2,824 | ) | (17,930 | ) | |||||||
United Utilities Group PLC | (624 | ) | (9,283 | ) | |||||||
Vectura Group PLC | (4,898 | ) | (11,717 | )* | |||||||
WM Morrison Supermarkets PLC | (3,834 | ) | (10,932 | ) | |||||||
(447,400 | ) | ||||||||||
United States (4.2%) | |||||||||||
Akorn, Inc. | (185 | ) | (7,703 | )* | |||||||
Albany Molecular Research, Inc. | (355 | ) | (6,411 | )* | |||||||
Alliance Data Systems Corp. | (48 | ) | (14,271 | )* | |||||||
Amazon.com, Inc. | (37 | ) | (15,606 | )* | |||||||
American Campus Communities, Inc. | (307 | ) | (12,323 | ) | |||||||
American Tower Corp. | (128 | ) | (12,100 | ) | |||||||
AMETEK, Inc. | (291 | ) | (15,254 | ) | |||||||
Amphenol Corp. Class A | (242 | ) | (13,400 | ) | |||||||
Analog Devices, Inc. | (241 | ) | (14,903 | ) | |||||||
Arthur J. Gallagher & Co. | (192 | ) | (9,183 | ) | |||||||
Bluebird Bio, | (79 | ) | (10,522 | )* | |||||||
Inc. | |||||||||||
BorgWarner, Inc. | (206 | ) | (12,195 | ) | |||||||
Brown-Forman Corp. Class B | (150 | ) | (13,534 | ) | |||||||
CMS Energy Corp. | (421 | ) | (14,284 | ) | |||||||
Coca-Cola Co. | (316 | ) | (12,817 | ) | |||||||
Colgate- Palmolive Co. | (193 | ) | (12,985 | ) | |||||||
Contra Furiex Pharmaceuticals | (1,793 | ) | (17,518 | )^^ |
Number of Shares | Value† | ||||||||||
CoStar Group, Inc. | (75 | ) | $ | (15,332 | )* | ||||||
Dealertrack Technologies, Inc. | (209 | ) | (8,216 | )* | |||||||
Dominion Resources, Inc. | (218 | ) | (15,626 | ) | |||||||
Donaldson Co., Inc. | (403 | ) | (15,060 | ) | |||||||
Emerson Electric Co. | (169 | ) | (9,942 | ) | |||||||
Fastenal Co. | (311 | ) | (13,255 | ) | |||||||
Federal Realty Investment Trust | (73 | ) | (9,758 | ) | |||||||
FleetCor Technologies, Inc. | (97 | ) | (15,606 | )* | |||||||
FMC Corp. | (242 | ) | (14,353 | ) | |||||||
Freeport- McMoRan, Inc. | (552 | ) | (12,845 | ) | |||||||
General Growth Properties, Inc. | (340 | ) | (9,316 | ) | |||||||
Global Payments, Inc. | (156 | ) | (15,644 | ) | |||||||
Hershey Co. | (150 | ) | (13,788 | ) | |||||||
Honeywell International, Inc. | (80 | ) | (8,074 | ) | |||||||
Howard Hughes Corp. | (83 | ) | (12,323 | )* | |||||||
IAC/InterActiveCorp | (184 | ) | (12,847 | ) | |||||||
IDEX Corp. | (169 | ) | (12,677 | ) | |||||||
IDEXX Laboratories, Inc. | (79 | ) | (9,904 | )* | |||||||
Illinois Tool Works, Inc. | (105 | ) | (9,826 | ) | |||||||
Intuitive Surgical, Inc. | (15 | ) | (7,440 | )* | |||||||
Investors Bancorp, Inc. | (1,088 | ) | (12,882 | ) | |||||||
ITC Holdings Corp. | (424 | ) | (15,264 | ) | |||||||
J.B. Hunt Transport Services, Inc. | (177 | ) | (15,434 | ) | |||||||
Jarden Corp. | (286 | ) | (14,637 | )* | |||||||
Kansas City Southern | (118 | ) | (12,094 | ) | |||||||
Kinder Morgan, Inc. | (303 | ) | (13,014 | ) | |||||||
Lennox International, Inc. | (140 | ) | (14,834 | ) |
Number of Shares | Value† | ||||||||||
Liberty Property Trust | (376 | ) | $ | (13,100 | ) | ||||||
LKQ Corp. | (339 | ) | (9,177 | )* | |||||||
Martin Marietta Materials, Inc. | (103 | ) | (14,693 | ) | |||||||
MasterCard, Inc. Class A | (160 | ) | (14,434 | ) | |||||||
Mobile Mini, Inc. | (246 | ) | (9,481 | ) | |||||||
Monsanto Co. | (120 | ) | (13,675 | ) | |||||||
Motorola Solutions, Inc. | (205 | ) | (12,249 | ) | |||||||
Netflix, Inc. | (24 | ) | (13,356 | )* | |||||||
NetSuite, Inc. | (99 | ) | (9,461 | )* | |||||||
Newell Rubbermaid, Inc. | (330 | ) | (12,583 | ) | |||||||
NiSource, Inc. | (366 | ) | (15,892 | ) | |||||||
Nordson Corp. | (195 | ) | (15,532 | ) | |||||||
ORBCOMM, Inc. | (2,099 | ) | (12,636 | )* | |||||||
Packaging Corp. of America | (189 | ) | (13,077 | ) | |||||||
Pall Corp. | (146 | ) | (14,209 | ) | |||||||
Panera Bread Co. Class A | (83 | ) | (15,146 | )* | |||||||
PGT, Inc. | (585 | ) | (6,622 | )* | |||||||
Plum Creek Timber Co., Inc. | (322 | ) | (13,588 | ) | |||||||
Polaris Industries, Inc. | (99 | ) | (13,559 | ) | |||||||
Power Solutions International, Inc. | (107 | ) | (6,827 | )* | |||||||
Precision Castparts Corp. | (68 | ) | (14,055 | ) | |||||||
Priceline Group, Inc. | (13 | ) | (16,092 | )* | |||||||
Public Storage | (56 | ) | (10,523 | ) | |||||||
Realty Income | (243 | ) | (11,414 | ) | |||||||
Corp. | |||||||||||
Restoration Hardware Holdings, Inc. | (107 | ) | (9,220 | )* | |||||||
Rice Energy, Inc. | (370 | ) | (9,113 | )* | |||||||
Rockwell Collins, Inc. | (121 | ) | (11,777 | ) | |||||||
Sempra Energy | (134 | ) | (14,227 | ) | |||||||
Sherwin- Williams Co. | (42 | ) | (11,676 | ) | |||||||
Signature Bank | (112 | ) | (15,018 | )* |
See Notes to Schedule of Investments
32
Schedule of Investments Global Allocation Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Signet Jewelers Ltd. | (109 | ) | $ | (14,620 | ) | ||||||
Simon Property Group, Inc. | (49 | ) | (8,893 | ) | |||||||
Sirius XM Holdings, Inc. | (3,656 | ) | (14,441 | )* | |||||||
Southern Copper Corp. | (520 | ) | (16,942 | ) | |||||||
Starbucks Corp. | (322 | ) | (15,965 | ) | |||||||
SunEdison, Inc. | (385 | ) | (9,748 | )* | |||||||
Under Armour, Inc. Class A | (180 | ) | (13,959 | )* | |||||||
Union Pacific Corp. | (100 | ) | (10,623 | ) | |||||||
United Natural Foods, Inc. | (187 | ) | (12,615 | )* | |||||||
United Parcel Service, Inc. Class B | (104 | ) | (10,455 | ) | |||||||
VeriSign, Inc. | (202 | ) | (12,829 | )* | |||||||
Verizon Communications, Inc. | (236 | ) | (11,904 | ) | |||||||
WABCO Holdings, Inc. | (132 | ) | (16,427 | )* | |||||||
Williams Cos., Inc. | (316 | ) | (16,176 | ) | |||||||
WR Grace & Co. | (154 | ) | (14,895 | )* | |||||||
Wynn Resorts Ltd. | (104 | ) | (11,551 | ) | |||||||
(1,139,455 | ) | ||||||||||
Total Short Positions (Proceeds $(2,391,793)) | (2,454,535 | ) |
See Notes to Schedule of Investments
33
LONG POSITIONS BY INDUSTRY GLOBAL ALLOCATION FUND (UNAUDITED)
Industry | Investments at Value† | Percentage of Net Assets | |||||||||
Mutual Funds | $ | 10,327,965 | 37.5 | % | |||||||
Government Securities | 2,150,639 | 7.8 | % | ||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government | 1,236,426 | 4.5 | % | ||||||||
Exchange Traded Funds | 1,080,183 | 3.9 | % | ||||||||
Oil, Gas & Consumable Fuels | 924,872 | 3.3 | % | ||||||||
Banks | 877,899 | 3.1 | % | ||||||||
Pharmaceuticals | 790,155 | 2.8 | % | ||||||||
Food & Staples Retailing | 545,925 | 2.0 | % | ||||||||
Insurance | 542,175 | 2.0 | % | ||||||||
Airlines | 533,307 | 1.9 | % | ||||||||
Software | 524,367 | 1.9 | % | ||||||||
Technology Hardware, Storage & Peripherals | 511,854 | 1.9 | % | ||||||||
Diversified Financial Services | 472,871 | 1.7 | % | ||||||||
Food Products | 450,979 | 1.6 | % | ||||||||
Health Care Providers & Services | 433,609 | 1.6 | % | ||||||||
Semiconductors & Semiconductor Equipment | 386,411 | 1.4 | % | ||||||||
IT Services | 365,467 | 1.3 | % | ||||||||
Specialty Retail | 348,962 | 1.3 | % | ||||||||
Electric Utilities | 301,589 | 1.1 | % | ||||||||
Diversified Telecommunication Services | 299,898 | 1.1 | % | ||||||||
Media | 270,283 | 1.0 | % | ||||||||
Household Durables | 269,184 | 1.0 | % | ||||||||
Automobiles | 267,968 | 1.0 | % | ||||||||
Health Care Equipment & Supplies | 248,865 | 0.9 | % | ||||||||
Chemicals | 222,483 | 0.8 | % | ||||||||
Aerospace & Defense | 219,411 | 0.8 | % | ||||||||
Internet Software & Services | 208,351 | 0.8 | % | ||||||||
Professional Services | 204,787 | 0.7 | % | ||||||||
Commercial Services & Supplies | 196,470 | 0.7 | % | ||||||||
Road & Rail | 192,124 | 0.7 | % | ||||||||
Real Estate Investment Trusts | 187,712 | 0.7 | % | ||||||||
Metals & Mining | 186,117 | 0.7 | % | ||||||||
Containers & Packaging | 185,730 | 0.7 | % | ||||||||
Hotels, Restaurants & Leisure | 182,302 | 0.7 | % | ||||||||
Auto Components | 133,586 | 0.5 | % | ||||||||
Life Sciences Tools & Services | 130,574 | 0.5 | % | ||||||||
Capital Markets | 130,218 | 0.5 | % | ||||||||
Mortgage-Backed Securities | 129,347 | 0.5 | % | ||||||||
Communications Equipment | 109,514 | 0.4 | % | ||||||||
Household Products | 107,259 | 0.4 | % | ||||||||
Electrical Equipment | 103,608 | 0.4 | % | ||||||||
Biotechnology | 101,478 | 0.4 | % | ||||||||
Paper & Forest Products | 96,143 | 0.3 | % | ||||||||
Real Estate Management & Development | 85,998 | 0.3 | % | ||||||||
Textiles, Apparel & Luxury Goods | 84,971 | 0.3 | % | ||||||||
Marine | 80,950 | 0.3 | % | ||||||||
Multiline Retail | 78,059 | 0.3 | % | ||||||||
Consumer Finance | 75,204 | 0.3 | % | ||||||||
Machinery | 73,638 | 0.3 | % | ||||||||
Leisure Products | 70,003 | 0.3 | % | ||||||||
Construction & Engineering | 65,207 | 0.2 | % | ||||||||
Diversified Consumer Services | 59,832 | 0.2 | % | ||||||||
Energy Equipment & Services | 55,763 | 0.2 | % | ||||||||
Beverages | 55,428 | 0.2 | % |
See Notes to Schedule of Investments
34
LONG POSITIONS BY INDUSTRY GLOBAL ALLOCATION FUND (UNAUDITED) (cont'd)
Industry | Investments at Value† | Percentage of Net Assets | |||||||||
Industrial Conglomerates | $ | 54,515 | 0.2 | % | |||||||
Multi-Utilities | 54,415 | 0.2 | % | ||||||||
Gas Utilities | 54,219 | 0.2 | % | ||||||||
Distributors | 47,673 | 0.2 | % | ||||||||
Tobacco | 42,926 | 0.1 | % | ||||||||
Trading Companies & Distributors | 35,730 | 0.1 | % | ||||||||
Electronic Equipment, Instruments & Components | 30,867 | 0.1 | % | ||||||||
U.S. Government Agency Securities | 34,048 | 0.1 | % | ||||||||
Independent Power and Renewable Electricity Producers | 24,587 | 0.1 | % | ||||||||
Wireless Telecommunication Services | 20,327 | 0.1 | % | ||||||||
Construction Materials | 15,236 | 0.1 | % | ||||||||
Health Care Technology | 10,189 | 0.0 | % | ||||||||
Short-Term Investments and Other Assets—Net | 1,575,927 | 5.7 | % | ||||||||
Short Positions (see summary on next page) | |||||||||||
(2,454,535 | ) | (8.9 | )% | ||||||||
$ | 27,520,244 | 100.0 | % |
See Notes to Schedule of Investments
35
SHORT POSITIONS BY INDUSTRY GLOBAL ALLOCATION FUND (UNAUDITED)
Industry | Investments at Value† | Percentage of Net Assets | |||||||||
Chemicals | $ | (143,731 | ) | (0.5 | )% | ||||||
Machinery | (142,699 | ) | (0.5 | )% | |||||||
Oil, Gas & Consumable Fuels | (117,737 | ) | (0.4 | )% | |||||||
Real Estate Investment Trusts | (112,347 | ) | (0.4 | )% | |||||||
Metals & Mining | (95,221 | ) | (0.4 | )% | |||||||
Pharmaceuticals | (88,727 | ) | (0.3 | )% | |||||||
Real Estate Management & Development | (88,318 | ) | (0.3 | )% | |||||||
Beverages | (87,353 | ) | (0.3 | )% | |||||||
Textiles, Apparel & Luxury Goods | (85,345 | ) | (0.3 | )% | |||||||
IT Services | (76,047 | ) | (0.3 | )% | |||||||
Internet Software & Services | (75,839 | ) | (0.3 | )% | |||||||
Professional Services | (70,543 | ) | (0.3 | )% | |||||||
Specialty Retail | (68,947 | ) | (0.3 | )% | |||||||
Hotels, Restaurants & Leisure | (62,359 | ) | (0.2 | )% | |||||||
Multi-Utilities | (60,029 | ) | (0.2 | )% | |||||||
Health Care Equipment & Supplies | (55,136 | ) | (0.2 | )% | |||||||
Food Products | (53,145 | ) | (0.2 | )% | |||||||
Road & Rail | (52,520 | ) | (0.2 | )% | |||||||
Diversified Telecommunication Services | (49,157 | ) | (0.2 | )% | |||||||
Semiconductors & Semiconductor Equipment | (47,669 | ) | (0.2 | )% | |||||||
Internet & Catalog Retail | (47,274 | ) | (0.2 | )% | |||||||
Building Products | (45,917 | ) | (0.2 | )% | |||||||
Software | (45,136 | ) | (0.2 | )% | |||||||
Electrical Equipment | (44,571 | ) | (0.2 | )% | |||||||
Media | (44,091 | ) | (0.2 | )% | |||||||
Banks | (39,506 | ) | (0.2 | )% | |||||||
Electronic Equipment, Instruments & Components | (38,491 | ) | (0.1 | )% | |||||||
Food & Staples Retailing | (34,525 | ) | (0.1 | )% | |||||||
Aerospace & Defense | (33,906 | ) | (0.1 | )% | |||||||
Insurance | (29,596 | ) | (0.1 | )% | |||||||
Construction Materials | (28,698 | ) | (0.1 | )% | |||||||
Household Durables | (27,220 | ) | (0.1 | )% | |||||||
Containers & Packaging | (27,065 | ) | (0.1 | )% | |||||||
Trading Companies & Distributors | (26,064 | ) | (0.1 | )% | |||||||
Water Utilities | (22,814 | ) | (0.1 | )% | |||||||
Capital Markets | (22,594 | ) | (0.1 | )% | |||||||
Construction & Engineering | (21,404 | ) | (0.1 | )% | |||||||
Life Sciences Tools & Services | (18,523 | ) | (0.1 | )% | |||||||
Wireless Telecommunication Services | (16,648 | ) | (0.1 | )% | |||||||
Electric Utilities | (15,264 | ) | (0.1 | )% | |||||||
Transportation Infrastructure | (15,263 | ) | (0.1 | )% | |||||||
Commercial Services & Supplies | (15,224 | ) | (0.1 | )% | |||||||
Gas Utilities | (14,382 | ) | (0.1 | )% | |||||||
Leisure Products | (13,559 | ) | (0.0 | )% | |||||||
Automobiles | (13,075 | ) | (0.0 | )% | |||||||
Household Products | (12,985 | ) | (0.0 | )% | |||||||
Consumer Finance | (12,408 | ) | (0.0 | )% | |||||||
Communications Equipment | (12,249 | ) | (0.0 | )% | |||||||
Auto Components | (12,195 | ) | (0.0 | )% | |||||||
Diversified Financial Services | (10,525 | ) | (0.0 | )% | |||||||
Biotechnology | (10,522 | ) | (0.0 | )% | |||||||
Tobacco | (10,494 | ) | (0.0 | )% | |||||||
Air Freight & Logistics | (10,455 | ) | (0.0 | )% | |||||||
Personal Products | (10,177 | ) | (0.0 | )% | |||||||
Multiline Retail | (9,669 | ) | (0.0 | )% | |||||||
Distributors | (9,177 | ) | (0.0 | )% | |||||||
Total Common Stocks Sold Short | $ | (2,454,535 | ) | (8.9 | )% |
See Notes to Schedule of Investments
36
Schedule of Investments Inflation Managed Fundb (Unaudited) 4/30/15
TOP TEN HOLDINGS
1 | Neuberger Berman Risk Balanced Commodity Strategy Fund Institutional Class | 8.7 | % | ||||||||
2 | Neuberger Berman Emerging Markets Equity Fund Institutional Class | 8.2 | % | ||||||||
3 | Neuberger Berman High Income Bond Fund Institutional Class | 8.2 | % | ||||||||
4 | Neuberger Berman Floating Rate Income Fund Institutional Class | 4.4 | % | ||||||||
5 | U.S. Treasury Inflation Indexed Bonds, 0.63%, due 1/15/24 | 2.9 | % | ||||||||
6 | Exxon Mobil Corp. | 2.6 | % | ||||||||
7 | United Kingdom Gilt Inflation Linked Bonds, Senior Unsecured Notes, 0.13%, due 3/22/29 | 2.4 | % | ||||||||
8 | United Kingdom Gilt Inflation Linked Bonds, Bonds, 0.13%, due 3/22/44 | 2.0 | % | ||||||||
9 | Chevron Corp. | 1.5 | % | ||||||||
10 | Energy Transfer Equity LP | 1.4 | % |
Number of Shares | Value† | ||||||||||
Common Stocks (44.3%) | |||||||||||
Chemicals (7.7%) | |||||||||||
Air Products & Chemicals, Inc. | 674 | $ | 96,672 | ||||||||
Airgas, Inc. | 122 | 12,356 | |||||||||
Celanese Corp. Class A | 77 | 5,110 | |||||||||
CF Industries Holdings, Inc. | 145 | 41,683 | |||||||||
Chase Corp. | 71 | 2,542 | |||||||||
Dow Chemical Co. | 3,544 | 180,744 | |||||||||
E.I. du Pont de Nemours & Co. | 3,018 | 220,917 | |||||||||
Eastman Chemical Co. | 430 | 32,774 | |||||||||
Ecolab, Inc. | 778 | 87,120 | |||||||||
FMC Corp. | 235 | 13,938 | |||||||||
Innophos Holdings, Inc. | 51 | 2,695 | |||||||||
International Flavors & Fragrances, Inc. | 252 | 28,917 | |||||||||
LyondellBasell Industries NV Class A | 1,211 | 125,363 | |||||||||
Monsanto Co. | 1,370 | 156,125 | |||||||||
Mosaic Co. | 1,010 | 44,440 | |||||||||
OMNOVA Solutions, Inc. | 439 | 3,508 | * | ||||||||
PPG Industries, Inc. | 421 | 93,277 | |||||||||
Praxair, Inc. | 816 | 99,495 | |||||||||
Sensient Technologies Corp. | 88 | 5,752 | |||||||||
Sherwin- Williams Co. | 221 | 61,438 | |||||||||
Sigma-Aldrich Corp. | 328 | 45,566 | |||||||||
Zep, Inc. | 144 | 2,863 | |||||||||
1,363,295 | |||||||||||
Construction Materials (0.3%) | |||||||||||
Martin Marietta Materials, Inc. | 87 | 12,410 |
Number of Shares | Value† | ||||||||||
Vulcan Materials Co. | 380 | $ | 32,498 | ||||||||
44,908 | |||||||||||
Containers & Packaging (0.7%) | |||||||||||
Avery Dennison Corp. | 317 | 17,622 | |||||||||
Ball Corp. | 454 | 33,328 | |||||||||
Berry Plastics Group, Inc. | 94 | 3,216 | * | ||||||||
MeadWestvaco Corp. | 586 | 28,597 | |||||||||
Owens-Illinois, Inc. | 543 | 12,983 | * | ||||||||
Rock-Tenn Co. Class A | 110 | 6,928 | |||||||||
Sealed Air Corp. | 653 | 29,777 | |||||||||
132,451 | |||||||||||
Energy Equipment & Services (1.7%) | |||||||||||
Atwood Oceanics, Inc. | 140 | 4,673 | |||||||||
Baker Hughes, Inc. | 477 | 32,656 | |||||||||
Cameron International Corp. | 122 | 6,688 | * | ||||||||
Ensco PLC Class A | 198 | 5,402 | |||||||||
FMC Technologies, Inc. | 74 | 3,263 | * | ||||||||
Halliburton Co. | 941 | 46,062 | |||||||||
Helmerich & Payne, Inc. | 103 | 8,031 | |||||||||
National Oilwell Varco, Inc. | 532 | 28,946 | |||||||||
Noble Corp. PLC | 358 | 6,197 | |||||||||
PHI, Inc. | 167 | 5,232 | * | ||||||||
Schlumberger Ltd. | 1,494 | 141,347 | |||||||||
SEACOR Holdings, Inc. | 48 | 3,488 | * | ||||||||
Superior Energy Services, Inc. | 168 | 4,284 | |||||||||
296,269 |
Number of Shares | Value† | ||||||||||
Gas Utilities (0.5%) | |||||||||||
Suburban Propane Partners LP | 2,000 | $ | 89,300 | ||||||||
Hotels, Restaurants & Leisure (0.6%) | |||||||||||
Cedar Fair LP | 1,700 | 95,931 | |||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 195 | 16,760 | |||||||||
112,691 | |||||||||||
Household Durables (0.1%) | |||||||||||
TRI Pointe Homes, Inc. | 1,275 | 18,207 | * | ||||||||
Independent Power and Renewable Electricity Producers (0.4%) | |||||||||||
NRG Yield, Inc. Class A | 1,400 | 68,880 | |||||||||
Internet Software & Services (0.1%) | |||||||||||
Equinix, Inc. | 70 | 17,915 | |||||||||
Metals & Mining (1.1%) | |||||||||||
Alcoa, Inc. | 3,704 | 49,708 | |||||||||
Allegheny Technologies, Inc. | 211 | 7,172 | |||||||||
Century Aluminum Co. | 371 | 4,782 | * | ||||||||
Freeport- McMoRan, Inc. | 2,498 | 58,128 | |||||||||
Newmont Mining Corp. | 1,420 | 37,616 | ØØ | ||||||||
Nucor Corp. | 720 | 35,179 | |||||||||
192,585 | |||||||||||
Multi-Utilities (0.9%) | |||||||||||
CenterPoint Energy, Inc. | 2,500 | 52,425 | |||||||||
NiSource, Inc. | 1,800 | 78,156 | |||||||||
Sempra Energy | 300 | 31,851 | |||||||||
162,432 | |||||||||||
Oil, Gas & Consumable Fuels (20.4%) | |||||||||||
Alliance Holdings GP LP | 2,400 | 119,280 |
See Notes to Schedule of Investments
37
Schedule of Investments Inflation Managed Fundb (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Anadarko Petroleum Corp. | 608 | $ | 57,213 | ||||||||
Apache Corp. | 417 | 28,523 | |||||||||
Cabot Oil & Gas Corp. | 247 | 8,354 | |||||||||
Chesapeake Energy Corp. | 565 | 8,910 | |||||||||
Chevron Corp. | 2,347 | 260,658 | |||||||||
Cimarex Energy Co. | 101 | 12,564 | |||||||||
ConocoPhillips | 1,531 | 103,985 | |||||||||
CONSOL Energy, Inc. | 107 | 3,475 | |||||||||
Crestwood Equity Partners LP | 14,000 | 91,560 | |||||||||
Crestwood Midstream Partners LP | 7,800 | 123,786 | |||||||||
Delek US Holdings, Inc. | 54 | 1,994 | |||||||||
Devon Energy Corp. | 576 | 39,289 | |||||||||
Energy Transfer Equity LP | 3,800 | 253,308 | |||||||||
Energy Transfer Partners LP | 4,159 | 240,286 | |||||||||
Enterprise Products Partners LP | 7,000 | 239,750 | |||||||||
EOG Resources, Inc. | 649 | 64,219 | |||||||||
EP Energy Corp. Class A | 158 | 2,334 | * | ||||||||
EQT Corp. | 118 | 10,613 | |||||||||
Exxon Mobil Corp. | 5,208 | 455,023 | ØØ | ||||||||
Green Plains, Inc. | 91 | 2,834 | |||||||||
Hess Corp. | 362 | 27,838 | |||||||||
Kinder Morgan, Inc. | 2,007 | 86,201 | |||||||||
Marathon Oil Corp. | 749 | 23,294 | |||||||||
Marathon Petroleum Corp. | 371 | 36,569 | |||||||||
Murphy Oil Corp. | 100 | 4,761 | |||||||||
Navios Maritime Acquisition Corp. | 735 | 2,800 | |||||||||
Newfield Exploration Co. | 249 | 9,771 | * | ||||||||
NGL Energy Partners LP | 2,100 | 61,446 | |||||||||
Noble Energy, Inc. | 348 | 17,651 | |||||||||
Nordic American Tankers Ltd. | 138 | 1,688 | |||||||||
NuStar GP Holdings LLC | 3,200 | 124,960 |
Number of Shares | Value† | ||||||||||
Occidental Petroleum Corp. | 873 | $ | 69,927 | ||||||||
ONEOK, Inc. | 2,501 | 120,298 | |||||||||
PBF Energy, Inc. Class A | 96 | 2,724 | |||||||||
Phillips 66 | 750 | 59,482 | |||||||||
Pioneer Natural Resources Co. | 150 | 25,917 | |||||||||
QEP Resources, Inc. | 74 | 1,665 | |||||||||
REX American Resources Corp. | 72 | 4,552 | * | ||||||||
Southwestern Energy Co. | 245 | 6,867 | * | ||||||||
Spectra Energy Corp. | 4,662 | 173,659 | |||||||||
Teekay LNG Partners LP | 3,700 | 145,854 | |||||||||
Teekay Offshore Partners LP | 3,100 | 72,726 | |||||||||
Teekay Tankers Ltd. Class A | 696 | 4,385 | |||||||||
Tesoro Corp. | 220 | 18,883 | |||||||||
Valero Energy Corp. | 791 | 45,008 | |||||||||
Western Gas Partners LP | 1,800 | 131,202 | |||||||||
Williams Cos., Inc. | 4,248 | 217,455 | |||||||||
3,625,541 | |||||||||||
Paper & Forest Products (0.4%) | |||||||||||
Domtar Corp. | 86 | 3,717 | |||||||||
International Paper Co. | 1,341 | 72,039 | |||||||||
75,756 | |||||||||||
Real Estate Investment Trusts (9.1%) | |||||||||||
Alexandria Real Estate Equities, Inc. | 300 | 27,714 | |||||||||
Altisource Residential Corp. | 515 | 9,862 | |||||||||
American Homes 4 Rent Class A | 2,080 | 35,131 | |||||||||
American Tower Corp. | 1,110 | 104,928 | |||||||||
AvalonBay Communities, Inc. | 495 | 81,348 | |||||||||
Boston Properties, Inc. | 815 | 107,833 | |||||||||
CBL & Associates Properties, Inc. | 1,150 | 20,712 |
Number of Shares | Value† | ||||||||||
CoreSite Realty Corp. | 360 | $ | 17,309 | ||||||||
Crown Castle International Corp. | 650 | 54,294 | |||||||||
DCT Industrial Trust, Inc. | 750 | 24,780 | |||||||||
Douglas Emmett, Inc. | 920 | 26,220 | |||||||||
Equity Residential | 1,330 | 98,234 | |||||||||
Essex Property Trust, Inc. | 145 | 32,183 | |||||||||
Federal Realty Investment Trust | 290 | 38,764 | |||||||||
General Growth Properties, Inc. | 1,595 | 43,703 | |||||||||
HCP, Inc. | 677 | 27,276 | ØØ | ||||||||
Health Care REIT, Inc. | 695 | 50,054 | |||||||||
Host Hotels & Resorts, Inc. | 2,185 | 44,006 | |||||||||
Hudson Pacific Properties, Inc. | 420 | 12,667 | |||||||||
Kimco Realty Corp. | 1,505 | 36,270 | |||||||||
LaSalle Hotel Properties | 680 | 24,949 | |||||||||
Macerich Co. | 385 | 31,478 | |||||||||
National Retail Properties, Inc. | 750 | 28,800 | |||||||||
OMEGA Healthcare Investors, Inc. | 740 | 26,707 | |||||||||
Plum Creek Timber Co., Inc. | 520 | 21,944 | |||||||||
Prologis, Inc. | 1,530 | 61,506 | |||||||||
Public Storage | 380 | 71,406 | |||||||||
Regency Centers Corp. | 410 | 25,740 | |||||||||
Simon Property Group, Inc. | 865 | 156,989 | |||||||||
SL Green Realty Corp. | 435 | 53,227 | |||||||||
Sovran Self Storage, Inc. | 305 | 26,639 | |||||||||
Spirit Realty Capital, Inc. | 1,920 | 21,677 | |||||||||
Sunstone Hotel Investors, Inc. | 1,591 | 24,788 | |||||||||
Urstadt Biddle Properties, Inc. Class A | 305 | 6,329 | |||||||||
Ventas, Inc. | 1,015 | 69,933 | |||||||||
Vornado Realty Trust | 390 | 40,361 | |||||||||
Weyerhaeuser Co. | 1,175 | 37,024 | |||||||||
1,622,785 |
See Notes to Schedule of Investments
38
Schedule of Investments Inflation Managed Fundb (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Real Estate Management & Development (0.3%) | |||||||||||
Brookfield Asset Management, Inc. Class A | 570 | $ | 30,694 | ||||||||
Brookfield Property Partners LP | 40 | 927 | |||||||||
Forest City Enterprises, Inc. Class A | 1,135 | 26,968 | * | ||||||||
58,589 | |||||||||||
Total Common Stocks (Cost $7,039,212) | 7,881,604 | ||||||||||
Principal Amounta | |||||||||||
Government Securities (12.0%) | |||||||||||
Sovereign (12.0%) | |||||||||||
Australia Government Bond, Senior Unsecured Notes, 2.00%, due 8/21/35 | AUD | 90,000 | 92,519 | ||||||||
Canadian Government Bond, Bonds, 1.50%, due 12/1/44 | CAD | 43,378 | 47,001 | ||||||||
Italy Buoni Poliennali Del Tesoro, Bonds, 2.35%, due 9/15/35 | EUR | 100,396 | 148,616 | ||||||||
Italy Buoni Poliennali Del Tesoro, Bonds, 2.55%, due 9/15/41 | EUR | 144,920 | 219,394 | ||||||||
Mexican Bonos, Bonds, 7.75%, due 11/13/42 | MXN | 1,555,000 | 116,915 |
Principal Amounta | Value† | ||||||||||
New Zealand Government Bond, Senior Unsecured Notes, 2.00%, due 9/20/25 | NZD | 280,000 | $ | 224,512 | |||||||
New Zealand Government Bond, Senior Unsecured Notes, 2.50%, due 9/20/35 | NZD | 215,000 | 180,998 | ||||||||
South Africa Government Bond, Bonds, 6.50%, due 2/28/41 | ZAR | 1,540,000 | 101,992 | ||||||||
Sweden Inflation Linked Bond, Bonds, 3.50%, due 12/1/28 | SEK | 205,000 | 49,578 | ||||||||
United Kingdom Gilt Inflation Linked Bonds, Bonds, 0.13%, due 3/22/44 | GBP | 179,982 | 362,303 | ||||||||
United Kingdom Gilt Inflation Linked Bonds, Senior Unsecured Notes, 0.13%, due 3/22/29 | GBP | 243,230 | 426,816 |
Principal Amounta | Value† | ||||||||||
United Kingdom Gilt Inflation Linked, Bonds, 0.25%, due 3/22/52 | GBP | 74,225 | $ | 168,347 | |||||||
Total Government Securities (Cost $2,058,491) | 2,138,991 | ||||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government (12.5%) | |||||||||||
U.S. Treasury Inflation Indexed Bonds, 0.13%, due 4/15/17 | $ | 87,828 | 89,708 | ||||||||
U.S. Treasury Inflation Indexed Bonds, 1.13%, due 1/15/21 | 64,371 | 69,274 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.13%, due 1/15/22 | 77,768 | 78,722 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.13%, due 7/15/22 | 45,925 | 46,632 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.13%, due 1/15/23 | 122,010 | 123,011 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 0.25%, due 1/15/25 | 44,589 | 45,163 |
See Notes to Schedule of Investments
39
Schedule of Investments Inflation Managed Fundb (Unaudited) (cont'd)
Principal Amounta | Value† | ||||||||||
U.S. Treasury Inflation Indexed Bonds, 0.63%, due 1/15/24 | $ | 497,881 | $ | 521,453 | |||||||
U.S. Treasury Inflation Indexed Bonds, 0.63%, due 2/15/43 | 107,182 | 103,933 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 1.75%, due 1/15/28 | 145,633 | 170,822 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 2.00%, due 1/15/26 | 212,839 | 252,863 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 2.13%, due 2/15/40 | 157,444 | 208,564 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 2.38%, due 1/15/25 | 80,928 | 98,404 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 2.38%, due 1/15/27 | 64,007 | 79,188 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 2.50%, due 1/15/29 | 54,655 | 69,882 |
Principal Amounta | Value† | ||||||||||
U.S. Treasury Inflation Indexed Bonds, 3.38%, due 4/15/32 | $ | 152,052 | $ | 223,243 | |||||||
U.S. Treasury Inflation Indexed Bonds, 3.88%, due 4/15/29 | 28,552 | 41,949 | |||||||||
Total U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government (Cost $2,192,896) | 2,222,811 | ||||||||||
Number of Shares | |||||||||||
Mutual Funds (29.5%) | |||||||||||
Neuberger Berman Emerging Markets Equity Fund Institutional Class | 85,813 | 1,464,008 | § | ||||||||
Neuberger Berman Floating Rate Income Fund Institutional Class | 76,483 | 776,842 | § | ||||||||
Neuberger Berman High Income Bond Fund Institutional Class | 159,732 | 1,452,922 | § | ||||||||
Neuberger Berman Risk Balanced Commodity Strategy Fund Institutional Class | 211,730 | 1,555,863 | *§ | ||||||||
Total Mutual Funds (Cost $5,662,381) | 5,249,635 |
Number of Shares | Value† | ||||||||||
Short-Term Investments (1.2%) | |||||||||||
State Street Institutional Liquid Reserves Fund Premier Class (Cost $223,101) | 223,101 | $ | 223,101 | ØØ | |||||||
Total Investments (99.5%) (Cost $17,176,081) | 17,716,142 | ## | |||||||||
Cash, receivables and other assets, less liabilities (0.5%) | 86,616 | c | |||||||||
Total Net Assets (100.0%) | $ | 17,802,758 |
See Notes to Schedule of Investments
40
Schedule of Investments Long Short Fund (Unaudited) 4/30/15
TOP TEN EQUITY HOLDINGS LONG POSITIONS
1 | Brookfield Infrastructure Partners LP | 2.8 | % | ||||||||
2 | Enbridge, Inc. | 2.8 | % | ||||||||
3 | DaVita HealthCare Partners, Inc. | 2.6 | % | ||||||||
4 | Zimmer Holdings, Inc. | 2.4 | % | ||||||||
5 | PVH Corp. | 2.1 | % |
6 | Home Depot, Inc. | 1.8 | % | ||||||||
7 | Markit Ltd. | 1.7 | % | ||||||||
8 | Delta Air Lines, Inc. | 1.5 | % | ||||||||
9 | Verisk Analytics, Inc. Class A | 1.5 | % | ||||||||
10 | Visa, Inc. Class A | 1.4 | % |
TOP TEN EQUITY HOLDINGS SHORT POSITIONS
1 | iShares Russell Mid-Cap ETF | (1.1 | )% | ||||||||
2 | iShares Russell 2000 ETF | (1.0 | )% | ||||||||
3 | Utilities Select Sector SPDR Fund | (0.8 | )% | ||||||||
4 | Consolidated Edison, Inc. | (0.6 | )% | ||||||||
5 | Siemens AG ADR | (0.6 | )% |
6 | CGI Group, Inc. Class A | (0.6 | )% | ||||||||
7 | Vanguard REIT ETF | (0.6 | )% | ||||||||
8 | Consumer Discretionary Select Sector SPDR Fund | (0.5 | )% | ||||||||
9 | Industrial Select Sector SPDR Fund | (0.5 | )% | ||||||||
10 | iShares MSCI Emerging Markets ETF | (0.5 | )% |
Number of Shares | Value† | ||||||||||
Long Positions (95.8%) | |||||||||||
Common Stocks (70.8%) | |||||||||||
Aerospace & Defense (0.3%) | |||||||||||
United Technologies Corp. | 93,000 | $ | 10,578,750 | ||||||||
Airlines (1.5%) | |||||||||||
Delta Air Lines, Inc. | 1,144,066 | 51,071,106 | |||||||||
Automobiles (0.3%) | |||||||||||
General Motors Co. | 329,220 | 11,542,453 | |||||||||
Banks (3.1%) | |||||||||||
Citigroup, Inc. | 643,900 | 34,332,748 | ØØ | ||||||||
JPMorgan Chase & Co. | 552,500 | 34,951,150 | |||||||||
U.S. Bancorp | 198,300 | 8,501,121 | |||||||||
Wells Fargo & Co. | 492,500 | 27,136,750 | |||||||||
104,921,769 | |||||||||||
Capital Markets (0.6%) | |||||||||||
BlackRock, Inc. | 38,500 | 14,011,690 | |||||||||
Moelis & Co. Class A | 173,000 | 4,679,650 | |||||||||
18,691,340 | |||||||||||
Chemicals (0.9%) | |||||||||||
Ashland, Inc. | 242,800 | 30,680,208 | |||||||||
Communications Equipment (0.3%) | |||||||||||
Motorola Solutions, Inc. | 160,000 | 9,560,000 |
Number of Shares | Value† | ||||||||||
Consumer Finance (1.7%) | |||||||||||
American Express Co. | 213,800 | $ | 16,558,810 | ||||||||
Springleaf Holdings, Inc. | 374,200 | 18,710,000 | * | ||||||||
Synchrony Financial | 690,417 | 21,506,490 | *ØØ | ||||||||
56,775,300 | |||||||||||
Diversified Financial Services (0.8%) | |||||||||||
CME Group, Inc. | 310,000 | 28,182,100 | |||||||||
Electric Utilities (3.2%) | |||||||||||
Brookfield Infrastructure Partners LP | 2,186,749 | 96,063,884 | ØØ | ||||||||
Eversource Energy | 272,400 | 13,282,224 | ØØ | ||||||||
109,346,108 | |||||||||||
Electrical Equipment (1.2%) | |||||||||||
Hubbell, Inc. Class B | 218,794 | 23,811,351 | |||||||||
Sensata Technologies Holding NV | 314,874 | 17,384,194 | * | ||||||||
41,195,545 | |||||||||||
Electronic Equipment, Instruments & Components (1.6%) | |||||||||||
Amphenol Corp. Class A | 284,000 | 15,725,080 | |||||||||
CDW Corp. | 480,000 | 18,393,600 | ØØ | ||||||||
Zebra Technologies Corp. Class A | 219,400 | 20,202,352 | * | ||||||||
54,321,032 |
Number of Shares | Value† | ||||||||||
Energy Equipment & Services (0.3%) | |||||||||||
Patterson- UTI Energy, Inc. | 502,500 | $ | 11,230,875 | ||||||||
Food & Staples Retailing (1.3%) | |||||||||||
Costco Wholesale Corp. | 135,600 | 19,397,580 | |||||||||
CVS Health Corp. | 248,000 | 24,623,920 | ØØ | ||||||||
44,021,500 | |||||||||||
Health Care Equipment & Supplies (3.1%) | |||||||||||
Sirona Dental Systems, Inc. | 262,900 | 24,383,975 | *ØØ | ||||||||
Zimmer Holdings, Inc. | 743,000 | 81,611,120 | ØØ | ||||||||
105,995,095 | |||||||||||
Health Care Providers & Services (3.2%) | |||||||||||
Accretive Health, Inc. | 1,278,675 | 7,186,153 | * | ||||||||
DaVita HealthCare Partners, Inc. | 1,090,600 | 88,447,660 | *ØØ | ||||||||
HCA Holdings, Inc. | 182,900 | 13,536,429 | * | ||||||||
109,170,242 | |||||||||||
Hotels, Restaurants & Leisure (4.5%) | |||||||||||
Darden Restaurants, Inc. | 473,600 | 30,201,472 | |||||||||
Dunkin' Brands Group, Inc. | 429,200 | 22,365,612 | ØØ |
See Notes to Schedule of Investments
41
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Hilton Worldwide Holdings, Inc. | 915,100 | $ | 26,501,296 | * | |||||||
McDonald's Corp. | 284,700 | 27,487,785 | |||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 366,700 | 31,517,865 | |||||||||
Wyndham Worldwide Corp. | 190,100 | 16,234,540 | |||||||||
154,308,570 | |||||||||||
Household Durables (1.0%) | |||||||||||
Lennar Corp. Class A | 632,600 | 28,973,080 | ØØ | ||||||||
Newell Rubbermaid, Inc. | 150,000 | 5,719,500 | |||||||||
34,692,580 | |||||||||||
Independent Power and Renewable Electricity Producers (1.2%) | |||||||||||
Calpine Corp. | 830,400 | 18,111,024 | *ØØ | ||||||||
Dynegy, Inc. | 240,124 | 7,988,925 | * | ||||||||
NRG Yield, Inc. Class A | 280,000 | 13,776,000 | |||||||||
39,875,949 | |||||||||||
Internet & Catalog Retail (1.6%) | |||||||||||
Amazon.com, Inc. | 36,100 | 15,226,258 | * | ||||||||
Vipshop Holdings Ltd. ADS | 1,356,115 | 38,364,493 | * | ||||||||
53,590,751 | |||||||||||
Internet Software & Services (3.2%) | |||||||||||
eBay, Inc. | 596,700 | 34,763,742 | * | ||||||||
Google, Inc. Class A | 48,400 | 26,560,468 | * | ||||||||
Google, Inc. Class C | 19,453 | 10,452,875 | * | ||||||||
Qihoo 360 Technology Co. Ltd. ADR | 629,249 | 37,943,715 | *ØØ | ||||||||
109,720,800 |
Number of Shares | Value† | ||||||||||
IT Services (2.6%) | |||||||||||
Genpact Ltd. | 1,004,155 | $ | 21,950,828 | * | |||||||
Visa, Inc. Class A | 728,600 | 48,124,030 | |||||||||
WEX, Inc. | 173,900 | 19,600,269 | * | ||||||||
89,675,127 | |||||||||||
Machinery (1.3%) | |||||||||||
Ingersoll- Rand PLC | 370,000 | 24,360,800 | |||||||||
Valmont Industries, Inc. | 167,347 | 21,089,069 | ØØ | ||||||||
45,449,869 | |||||||||||
Media (1.7%) | |||||||||||
Markit Ltd. | 2,200,407 | 56,440,440 | * | ||||||||
Metals & Mining (0.6%) | |||||||||||
Steel Dynamics, Inc. | 849,240 | 18,793,681 | |||||||||
Multi-Utilities (1.3%) | |||||||||||
NiSource, Inc. | 570,300 | 24,762,426 | |||||||||
Wisconsin Energy Corp. | 421,400 | 20,699,168 | ØØ | ||||||||
45,461,594 | |||||||||||
Multiline Retail (0.4%) | |||||||||||
Dollar General Corp. | 169,300 | 12,309,803 | |||||||||
Oil, Gas & Consumable Fuels (5.6%) | |||||||||||
Antero Resources Corp. | 126,000 | 5,583,060 | * | ||||||||
Cabot Oil & Gas Corp. | 400,400 | 13,541,528 | |||||||||
Columbia Pipeline Partners LP | 345,900 | 9,356,595 | * | ||||||||
Enbridge, Inc. | 1,820,000 | 95,240,600 | |||||||||
PDC Energy, Inc. | 187,200 | 10,621,728 | * | ||||||||
Rice Energy, Inc. | 1,350,963 | 33,274,219 | * | ||||||||
Teekay Corp. | 494,700 | 24,591,537 | ØØ | ||||||||
192,209,267 |
Number of Shares | Value† | ||||||||||
Pharmaceuticals (1.9%) | |||||||||||
Bristol- Myers Squibb Co. | 615,800 | $ | 39,244,934 | ||||||||
Impax Laboratories, Inc. | 546,117 | 24,717,255 | * | ||||||||
63,962,189 | |||||||||||
Professional Services (2.5%) | |||||||||||
Nielsen NV | 731,000 | 32,851,140 | |||||||||
Verisk Analytics, Inc. Class A | 672,242 | 50,445,040 | * | ||||||||
83,296,180 | |||||||||||
Real Estate Investment Trusts (1.7%) | |||||||||||
General Growth Properties, Inc. | 550,200 | 15,075,480 | |||||||||
Outfront Media, Inc. | 595,501 | 17,102,789 | ØØ | ||||||||
Weyerhaeuser Co. | 794,800 | 25,044,148 | |||||||||
57,222,417 | |||||||||||
Real Estate Management & Development (1.3%) | |||||||||||
Brookfield Asset Management, Inc. Class A | 832,200 | 44,813,970 | |||||||||
Road & Rail (1.0%) | |||||||||||
Canadian Pacific Railway Ltd. | 180,000 | 34,304,400 | |||||||||
Semiconductors & Semiconductor Equipment (1.2%) | |||||||||||
Altera Corp. | 462,497 | 19,276,875 | |||||||||
ASML Holding NV | 198,000 | 21,193,920 | ØØ | ||||||||
40,470,795 | |||||||||||
Software (0.5%) | |||||||||||
Activision Blizzard, Inc. | 795,900 | 18,158,458 | ØØ | ||||||||
Specialty Retail (4.3%) | |||||||||||
Asbury Automotive Group, Inc. | 295,000 | 24,788,850 | * |
See Notes to Schedule of Investments
42
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Five Below, Inc. | 881,826 | $ | 29,735,173 | *ØØ | |||||||
Home Depot, Inc. | 578,000 | 61,834,440 | ØØ | ||||||||
Tractor Supply Co. | 365,888 | 31,488,321 | ØØ | ||||||||
147,846,784 | |||||||||||
Technology Hardware, Storage & Peripherals (1.7%) | |||||||||||
Apple, Inc. | 120,000 | 15,018,000 | ØØ | ||||||||
EMC Corp. | 392,700 | 10,567,557 | |||||||||
SanDisk Corp. | 456,400 | 30,551,416 | |||||||||
56,136,973 | |||||||||||
Textiles, Apparel & Luxury Goods (2.4%) | |||||||||||
lululemon athletica, Inc. | 156,000 | 9,927,840 | * | ||||||||
PVH Corp. | 693,000 | 71,621,550 | ØØ | ||||||||
81,549,390 | |||||||||||
Tobacco (1.1%) | |||||||||||
Lorillard, Inc. | 377,900 | 26,400,094 | |||||||||
Philip Morris International, Inc. | 149,131 | 12,447,965 | |||||||||
38,848,059 | |||||||||||
Transportation Infrastructure (1.2%) | |||||||||||
Wesco Aircraft Holdings, Inc. | 2,658,000 | 41,677,440 | * | ||||||||
Water Utilities (0.9%) | |||||||||||
American Water Works Co., Inc. | 547,800 | 29,866,056 | |||||||||
Wireless Telecommunication Services (0.7%) | |||||||||||
SBA Communications Corp. Class A | 205,000 | 23,743,100 | *ØØ | ||||||||
Total Common Stocks (Cost $2,108,851,368) | 2,411,708,065 |
Principal Amount | Value† | ||||||||||
Corporate Debt Securities (9.0%) | |||||||||||
Airlines (0.5%) | |||||||||||
UAL Corp., Guaranteed Notes, 6.00%, due 12/1/20 | $ | 4,970,000 | $ | 5,280,625 | |||||||
UAL Corp., Guaranteed Notes, Ser. B, 6.00%, due 7/15/28 | 10,970,000 | 10,970,000 | |||||||||
16,250,625 | |||||||||||
Coal (0.3%) | |||||||||||
Alpha Natural Resources, Inc., Secured Notes, Ser. B, 7.50%, due 8/1/20 | 10,393,000 | 3,793,445 | ñ | ||||||||
Arch Coal, Inc., Guaranteed Notes, 7.00%, due 6/15/19 | 28,219,000 | 6,208,180 | |||||||||
10,001,625 | |||||||||||
Electric (0.9%) | |||||||||||
DPL, Inc., Senior Unsecured Notes, 7.25%, due 10/15/21 | 28,571,000 | 30,856,680 | |||||||||
Entertainment (0.1%) | |||||||||||
Regal Entertainment Group, Senior Unsecured Notes, 5.75%, due 3/15/22 | 2,595,000 | 2,666,363 |
Principal Amount | Value† | ||||||||||
Food (0.6%) | |||||||||||
SUPERVALU, Inc., Senior Unsecured Notes, 6.75%, due 6/1/21 | $ | 19,440,000 | $ | 20,096,100 | |||||||
Healthcare-Services (0.4%) | |||||||||||
Select Medical Corp., Guaranteed Notes, 6.38%, due 6/1/21 | 14,893,000 | 14,781,302 | |||||||||
Home Builders (0.9%) | |||||||||||
KB Home, Guaranteed Notes, 7.00%, due 12/15/21 | 16,195,000 | 16,883,287 | |||||||||
KB Home, Guaranteed Notes, 7.50%, due 9/15/22 | 11,684,000 | 12,209,780 | |||||||||
29,093,067 | |||||||||||
Iron-Steel (0.8%) | |||||||||||
AK Steel Corp., Guaranteed Notes, 7.63%, due 5/15/20 | 24,475,000 | 21,232,062 | |||||||||
AK Steel Corp., Guaranteed Notes, 7.63%, due 10/1/21 | 2,520,000 | 2,079,000 | |||||||||
United States Steel Corp., Senior Unsecured Notes, 7.38%, due 4/1/20 | 2,940,000 | 3,072,300 |
See Notes to Schedule of Investments
43
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Principal Amount | Value† | ||||||||||
United States Steel Corp., Senior Unsecured Notes, 7.50%, due 3/15/22 | $ | 2,086,000 | $ | 2,135,543 | |||||||
28,518,905 | |||||||||||
Media (0.7%) | |||||||||||
Clear Channel Worldwide Holdings, Inc., Guaranteed Notes, Ser. B, 7.63%, due 3/15/20 | 11,735,000 | 12,351,087 | |||||||||
Sinclair Television Group, Inc., Guaranteed Notes, 6.13%, 10/1/22 | 12,563,000 | 13,253,965 | |||||||||
25,605,052 | |||||||||||
Oil & Gas (1.5%) | |||||||||||
Carrizo Oil & Gas, Inc., Guaranteed Notes, 7.50%, due 9/15/20 | 1,750,000 | 1,841,525 | |||||||||
Chesapeake Energy Corp., Guaranteed Notes, 4.88%, due 4/15/22 | 5,752,000 | 5,306,220 | |||||||||
Chesapeake Energy Corp., Guaranteed Notes, 5.75%, due 3/15/23 | 1,700,000 | 1,632,000 |
Principal Amount | Value† | ||||||||||
Clayton Williams Energy, Inc., Guaranteed Notes, 7.75%, due 4/1/19 | $ | 2,800,000 | $ | 2,681,000 | |||||||
Forest Oil Corp., Guaranteed Notes, 7.25%, due 6/15/19 | 19,771,000 | 4,942,750 | |||||||||
Gulfport Energy Corp., Guaranteed Notes, 6.63% due 5/1/23 | 1,375,000 | 1,402,500 | ñ | ||||||||
Gulfport Energy Corp., Guaranteed Notes, 7.75%, due 11/1/20 | 900,000 | 949,500 | |||||||||
Halcon Resources Corp., Secured Notes, 8.63%, due 2/1/20 | 925,000 | 962,000 | ñØ | ||||||||
PDC Energy, Inc., Guaranteed Notes, 7.75%, due 10/15/22 | 4,195,000 | 4,467,675 | |||||||||
Rice Energy, Inc., Guaranteed Notes, 7.25% due 5/1/23 | 1,850,000 | 1,924,000 | ñ |
Principal Amount | Value† | ||||||||||
Sanchez Energy Corp., Guaranteed Notes, 6.13%, due, 1/15/23 | $ | 1,154,000 | $ | 1,130,920 | |||||||
SandRidge Energy, Inc., Guaranteed Notes, 7.50%, due 2/15/23 | 18,175,000 | 11,950,062 | |||||||||
SandRidge Energy, Inc., Guaranteed Notes, 7.50%, due 3/15/21 | 9,835,000 | 6,761,563 | |||||||||
Stone Energy Corp., Guaranteed Notes, 7.50%, 11/15/22 | 4,625,000 | 4,255,000 | |||||||||
50,206,715 | |||||||||||
Retail (0.1%) | |||||||||||
Rite Aid Corp., Guaranteed Notes, 6.13%, due 4/1/23 | 2,750,000 | 2,849,688 | ñ | ||||||||
Telecommunications (2.0%) | |||||||||||
Frontier Communications Corp., Senior Unsecured Notes, 6.88%, due 1/15/25 | 7,020,000 | 6,798,800 | |||||||||
Frontier Communications Corp., Senior Unsecured Notes, 7.63%, due 4/15/24 | 15,967,000 | 16,266,381 |
See Notes to Schedule of Investments
44
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Principal Amount | Value† | ||||||||||
MetroPCS Wireless, Inc., Guaranteed Notes, 6.63%, due 11/15/20 | $ | 4,910,000 | $ | 5,124,812 | |||||||
Sprint Capital Corp., Guaranteed Notes, 6.88%, 11/15/28 | 17,456,000 | 15,797,680 | |||||||||
Sprint Nextel Corp., Senior Unsecured Notes, 6.00%, due 11/15/22 | 15,425,000 | 14,518,781 | |||||||||
T-Mobile USA, Inc., Guaranteed Notes, 6.13%, due 1/15/22 | 4,090,000 | 4,217,813 | |||||||||
T-Mobile USA, Inc., Guaranteed Notes, 6.38%, due 3/1/25 | 1,335,000 | 1,371,032 | |||||||||
T-Mobile USA, Inc., Guaranteed Notes, 6.50%, due 1/15/24 | 5,475,000 | 5,714,531 | |||||||||
69,809,830 | |||||||||||
Transportation (0.2%) | |||||||||||
Teekay Offshore Partners LP, Senior Unsecured Notes, 6.00%, due 7/30/19 | 7,495,000 | 6,726,763 | |||||||||
Total Corporate Debt Securities (Cost $358,231,516) | 307,462,715 |
Contracts | Value† | ||||||||||
Purchased Options (0.1%) | |||||||||||
SPDR S&P 500 ETF Trust, Put, Jun 2015 @ 190 | 6,200 | $ | 477,400 | ||||||||
SPDR S&P 500 ETF Trust, Put, Jun 2015 @ 210 | 1,700 | 870,400 | |||||||||
Total Options (Cost $2,677,780) | 1,347,800 | ||||||||||
Number of Shares | |||||||||||
Short-Term Investments (15.9%) | |||||||||||
State Street Institutional Government Money Market Fund Premier Class (Cost $540,753,554) | 540,753,554 | 540,753,554 | ØØ | ||||||||
Total Long Positions (95.8%) (Cost $3,010,514,218) | 3,261,272,134 | ## | |||||||||
Cash, receivables and other assets, less liabilities (18.4%) | 628,243,304 | c | |||||||||
Short Positions (see summary below) ((14.2)%) | (483,066,480 | ) | |||||||||
Total Net Assets (100.0%) | $ | 3,406,448,958 | |||||||||
Short Positions ((14.2)%) | |||||||||||
Common Stocks Sold Short (8.6%)‡ | |||||||||||
Auto Components (0.1%) | |||||||||||
Gentherm, Inc. | (38,616 | ) | (2,036,222 | )* | |||||||
Banks (0.6%) | |||||||||||
CIT Group, Inc. | (144,900 | ) | (6,524,847 | ) | |||||||
M&T Bank Corp. | (114,600 | ) | (13,714,182 | ) | |||||||
(20,239,029 | ) | ||||||||||
Capital Markets (0.3%) | |||||||||||
Cohen & Steers, Inc. | (107,801 | ) | (4,081,346 | ) |
Number of Shares | Value† | ||||||||||
Franklin Resources, Inc. | (99,800 | ) | $ | (5,145,688 | ) | ||||||
(9,227,034 | ) | ||||||||||
Commercial Services & Supplies (0.3%) | |||||||||||
Waste Connections, Inc. | (229,580 | ) | (10,884,388 | ) | |||||||
Electric Utilities (0.3%) | |||||||||||
Southern Co. | (230,000 | ) | (10,189,000 | ) | |||||||
Electronic Equipment, Instruments & Components (0.3%) | |||||||||||
Corning, Inc. | (428,827 | ) | (8,975,349 | ) | |||||||
Energy Equipment & Services (0.3%) | |||||||||||
FMC Technologies, Inc. | (100,000 | ) | (4,410,000 | )* | |||||||
National Oilwell Varco, Inc. | (103,000 | ) | (5,604,230 | ) | |||||||
(10,014,230 | ) | ||||||||||
Health Care Providers & Services (0.3%) | |||||||||||
Amsurg Corp. | (136,000 | ) | (8,529,920 | )* | |||||||
Hotels, Restaurants & Leisure (0.4%) | |||||||||||
Chuy's Holdings, Inc. | (95,100 | ) | (2,151,162 | )* | |||||||
Panera Bread Co. Class A | (65,100 | ) | (11,879,448 | )* | |||||||
(14,030,610 | ) | ||||||||||
Industrial Conglomerates (0.6%) | |||||||||||
Siemens AG ADR | (187,000 | ) | (20,343,730 | ) | |||||||
IT Services (0.7%) | |||||||||||
CGI Group, Inc. Class A | (472,862 | ) | (19,893,304 | )* | |||||||
FleetCor Technologies, Inc. | (22,000 | ) | (3,539,580 | )* | |||||||
(23,432,884 | ) | ||||||||||
Machinery (0.8%) | |||||||||||
Caterpillar, Inc. | (59,700 | ) | (5,186,736 | ) | |||||||
Dover Corp. | (55,400 | ) | (4,194,888 | ) |
See Notes to Schedule of Investments
45
Schedule of Investments Long Short Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
PACCAR, Inc. | (105,000 | ) | $ | (6,861,750 | ) | ||||||
Parker- Hannifin Corp. | (65,000 | ) | (7,758,400 | ) | |||||||
Rexnord Corp. | (141,000 | ) | (3,735,090 | )* | |||||||
(27,736,864 | ) | ||||||||||
Multi-Utilities (0.6%) | |||||||||||
Consolidated Edison, Inc. | (340,900 | ) | (20,982,395 | ) | |||||||
Oil, Gas & Consumable Fuels (0.6%) | |||||||||||
Cheniere Energy, Inc. | (60,000 | ) | (4,589,400 | )* | |||||||
Energy Transfer Partners LP | (80,000 | ) | (4,622,400 | ) | |||||||
Kinder Morgan, Inc. | (300,000 | ) | (12,885,000 | ) | |||||||
(22,096,800 | ) | ||||||||||
Professional Services (0.1%) | |||||||||||
Dun & Bradstreet Corp. | (35,000 | ) | (4,468,450 | ) | |||||||
Road & Rail (0.2%) | |||||||||||
Hertz Global Holdings, Inc. | (324,400 | ) | (6,760,496 | )* | |||||||
Semiconductors & Semiconductor Equipment (0.2%) | |||||||||||
Xilinx, Inc. | (184,600 | ) | (8,004,256 | ) | |||||||
Specialty Retail (1.5%) | |||||||||||
Advance Auto Parts, Inc. | (107,700 | ) | (15,401,100 | ) | |||||||
Bed Bath & Beyond, Inc. | (173,400 | ) | (12,217,764 | )* | |||||||
Sally Beauty Holdings, Inc. | (450,000 | ) | (14,044,500 | )* | |||||||
Sonic Automotive, Inc. Class A | (410,060 | ) | (9,574,901 | ) | |||||||
(51,238,265 | ) | ||||||||||
Textiles, Apparel & Luxury Goods (0.4%) | |||||||||||
Coach, | (100,000 | ) | (3,821,000 | ) | |||||||
Inc. |
Number of Shares | Value† | ||||||||||
Michael Kors Holdings Ltd. | (162,577 | ) | $ | (10,057,013 | )* | ||||||
(13,878,013 | ) | ||||||||||
Total Common Stocks Sold Short (Proceeds $(284,295,968)) | (293,067,935 | ) | |||||||||
Exchange Traded Funds Sold Short (5.6%) | |||||||||||
Consumer Discretionary Select Sector SPDR Fund | (227,000 | ) | (17,095,370 | ) | |||||||
Industrial Select Sector SPDR Fund | (290,000 | ) | (16,132,700 | ) | |||||||
iShares Core S&P Small-Cap ETF | (77,000 | ) | (8,878,870 | ) | |||||||
iShares MSCI Australia ETF | (101,000 | ) | (2,355,320 | ) | |||||||
iShares MSCI Emerging Markets ETF | (370,000 | ) | (15,865,600 | ) | |||||||
iShares Russell 2000 ETF | (273,500 | ) | (33,137,260 | ) | |||||||
iShares Russell Mid-Cap ETF | (220,000 | ) | (37,743,200 | ) | |||||||
SPDR S&P Retail ETF | (126,500 | ) | (12,236,345 | ) | |||||||
Utilities Select Sector SPDR Fund | (604,000 | ) | (26,708,880 | ) | |||||||
Vanguard REIT ETF | (250,000 | ) | (19,845,000 | ) | |||||||
Total Exchange Traded Funds Sold Short (Proceeds $(166,955,139)) | (189,998,545 | ) | |||||||||
Total Short Positions (Proceeds $(451,251,107)) | (483,066,480 | ) |
See Notes to Schedule of Investments
46
Schedule of Investments Multi-Asset Income Fund (Unaudited) 4/30/15
TOP TEN HOLDINGS
1 | Neuberger Berman High Income Bond Fund Institutional Class | 15.5 | % | ||||||||
2 | Neuberger Berman Floating Rate Income Fund Institutional Class | 15.4 | % | ||||||||
3 | Neuberger Berman Emerging Markets Debt Fund Institutional Class | 10.5 | % | ||||||||
4 | U.S. Treasury Bonds, 3.00%, due 11/15/44 | 2.7 | % | ||||||||
5 | iShares 10+ Year Credit Bond ETF | 2.3 | % | ||||||||
6 | SPDR Barclays Long Term Corporate Bond ETF | 2.3 | % | ||||||||
7 | U.S. Treasury Inflation Indexed Bonds, 3.38%, due 4/15/32 | 2.3 | % | ||||||||
8 | U.S. Treasury Bonds, 4.50%, due 2/15/36 | 1.9 | % | ||||||||
9 | Federal Home Loan Bank, Bonds, 5.50%, due 7/15/36 | 1.0 | % | ||||||||
10 | U.S. Treasury Bonds, 4.38%, due 11/15/39 | 0.9 | % |
Number of Shares | Value† | ||||||||||
Common Stocks (42.6%) | |||||||||||
Aerospace & Defense (0.7%) | |||||||||||
BAE Systems PLC | 2,278 | $ | 17,648 | ||||||||
Boeing Co. | 45 | 6,450 | |||||||||
L-3 Communications Holdings, Inc. | 82 | 9,423 | |||||||||
Lockheed Martin Corp. | 393 | 73,334 | |||||||||
Northrop Grumman Corp. | 33 | 5,083 | |||||||||
Raytheon Co. | 74 | 7,696 | |||||||||
119,634 | |||||||||||
Air Freight & Logistics (0.1%) | |||||||||||
United Parcel Service, Inc. Class B | 79 | 7,942 | |||||||||
Airlines (0.3%) | |||||||||||
Air New Zealand Ltd. | 3,660 | 7,521 | |||||||||
Cathay Pacific Airways Ltd. | 7,000 | 18,007 | |||||||||
easyJet PLC | 233 | 6,443 | |||||||||
Japan Airlines Co. Ltd. | 200 | 6,669 | |||||||||
Singapore Airlines Ltd. | 800 | 7,371 | |||||||||
46,011 | |||||||||||
Automobiles (1.0%) | |||||||||||
Bayerische Motoren Werke AG (Preference Shares) | 74 | 6,762 | |||||||||
Daimler AG | 801 | 77,014 | ØØ | ||||||||
Ford Motor Co. | 342 | 5,404 | |||||||||
General Motors Co. | 1,400 | 49,084 |
Number of Shares | Value† | ||||||||||
Porsche Automobil Holding SE (Preference Shares) | 116 | $ | 11,006 | ||||||||
Volkswagen AG | 64 | 16,212 | |||||||||
165,482 | |||||||||||
Banks (1.1%) | |||||||||||
Australia & New Zealand Banking Group Ltd. | 2,325 | 62,212 | |||||||||
Banco Santander SA | 429 | 3,244 | |||||||||
Barclays PLC | 1,233 | 4,824 | |||||||||
BOC Hong Kong Holdings Ltd. | 1,000 | 3,885 | |||||||||
Hang Seng Bank Ltd. | 400 | 7,798 | |||||||||
JPMorgan Chase & Co. | 1,023 | 64,715 | ØØ | ||||||||
Wells Fargo & Co. | 700 | 38,570 | |||||||||
185,248 | |||||||||||
Beverages (0.6%) | |||||||||||
Coca-Cola Co. | 1,299 | 52,687 | |||||||||
PepsiCo, Inc. | 448 | 42,614 | |||||||||
95,301 | |||||||||||
Capital Markets (0.7%) | |||||||||||
Apollo Investment Corp. | 4,400 | 35,200 | |||||||||
BlackRock, Inc. | 19 | 6,915 | |||||||||
Blackstone Group LP | 900 | 36,864 | |||||||||
FS Investment Corp. | 3,350 | 35,074 | |||||||||
114,053 | |||||||||||
Chemicals (1.3%) | |||||||||||
Air Products & Chemicals, Inc. | 50 | 7,172 | |||||||||
BASF SE | 593 | 58,913 |
Number of Shares | Value† | ||||||||||
Dow Chemical Co. | 280 | $ | 14,280 | ||||||||
E.I. du Pont de Nemours & Co. | 1,019 | 74,591 | |||||||||
LyondellBasell Industries NV Class A | 493 | 51,035 | |||||||||
Yara International ASA | 177 | 9,069 | |||||||||
215,060 | |||||||||||
Commercial Services & Supplies (0.1%) | |||||||||||
R.R. Donnelley & Sons Co. | 255 | 4,748 | |||||||||
West Corp. | 65 | 2,012 | |||||||||
6,760 | |||||||||||
Communications Equipment (0.6%) | |||||||||||
Cisco Systems, Inc. | 3,544 | 102,174 | ØØ | ||||||||
Construction & Engineering (0.2%) | |||||||||||
Skanska AB, B Shares | 224 | 4,985 | |||||||||
Vinci SA | 312 | 19,136 | |||||||||
24,121 | |||||||||||
Containers & Packaging (0.2%) | |||||||||||
Amcor Ltd. | 792 | 8,432 | |||||||||
Rock-Tenn Co. Class A | 120 | 7,557 | |||||||||
Smurfit Kappa Group PLC | 229 | 7,011 | |||||||||
23,000 | |||||||||||
Diversified Financial Services (0.5%) | |||||||||||
CME Group, Inc. | 724 | 65,819 | |||||||||
Industrivarden AB, C Shares | 285 | 5,938 | |||||||||
71,757 |
See Notes to Schedule of Investments
47
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Diversified Telecommunication Services (1.1%) | |||||||||||
AT&T, Inc. | 1,352 | $ | 46,833 | ||||||||
BT Group PLC | 461 | 3,215 | |||||||||
HKT Trust & HKT Ltd. | 3,000 | 4,026 | |||||||||
PCCW Ltd. | 7,000 | 4,679 | |||||||||
Singapore Telecommunications Ltd. | 6,000 | 19,973 | |||||||||
TDC A/S | 439 | 3,342 | |||||||||
Telenor ASA | 289 | 6,527 | |||||||||
TeliaSonera AB | 1,789 | 11,123 | |||||||||
Telstra Corp. Ltd. | 5,945 | 29,224 | |||||||||
Verizon Communications, Inc. | 1,100 | 55,484 | |||||||||
Windstream Holdings, Inc. | 45 | 522 | |||||||||
184,948 | |||||||||||
Electric Utilities (1.6%) | |||||||||||
American Electric Power Co., Inc. | 140 | 7,962 | |||||||||
CLP Holdings Ltd. | 2,500 | 21,884 | |||||||||
Duke Energy Corp. | 286 | 22,185 | |||||||||
EDP - Energias de Portugal SA | 2,089 | 8,353 | |||||||||
Enel SpA | 1,833 | 8,688 | |||||||||
Entergy Corp. | 247 | 19,063 | |||||||||
Exelon Corp. | 1,000 | 34,020 | |||||||||
Fortum OYJ | 624 | 12,322 | |||||||||
NextEra Energy, Inc. | 792 | 79,937 | ØØ | ||||||||
Power Assets Holdings Ltd. | 1,500 | 15,092 | |||||||||
PPL Corp. | 341 | 11,604 | |||||||||
Spark Infrastructure Group | 2,068 | 3,180 | |||||||||
SSE PLC | 967 | 22,912 | |||||||||
267,202 | |||||||||||
Electrical Equipment (0.1%) | |||||||||||
Eaton Corp. PLC | 69 | 4,742 | |||||||||
Emerson Electric Co. | 53 | 3,118 | |||||||||
7,860 | |||||||||||
Electronic Equipment, Instruments & Components (0.1%) | |||||||||||
Avnet, Inc. | 190 | 8,100 | |||||||||
AVX Corp. | 268 | 3,690 | |||||||||
Corning, Inc. | 168 | 3,516 | |||||||||
15,306 |
Number of Shares | Value† | ||||||||||
Energy Equipment & Services (0.4%) | |||||||||||
Schlumberger Ltd. | 650 | $ | 61,496 | ||||||||
Food & Staples Retailing (0.6%) | |||||||||||
Delhaize Group SA | 50 | 4,025 | |||||||||
J Sainsbury PLC | 1,162 | 4,832 | |||||||||
Sysco Corp. | 120 | 4,444 | |||||||||
Wal-Mart Stores, Inc. | 403 | 31,454 | |||||||||
Wesfarmers Ltd. | 879 | 30,298 | |||||||||
Woolworths Ltd. | 628 | 14,581 | |||||||||
89,634 | |||||||||||
Food Products (0.5%) | |||||||||||
Archer- Daniels- Midland Co. | 150 | 7,332 | |||||||||
Campbell Soup Co. | 100 | 4,471 | |||||||||
ConAgra Foods, Inc. | 312 | 11,279 | |||||||||
General Mills, Inc. | 41 | 2,269 | |||||||||
Kraft Foods Group, Inc. | 110 | 9,323 | |||||||||
Orkla ASA | 1,056 | 8,292 | |||||||||
Unilever NV | 800 | 34,784 | |||||||||
Wilmar International Ltd. | 2,300 | 5,649 | |||||||||
83,399 | |||||||||||
Gas Utilities (0.3%) | |||||||||||
AGL Resources, Inc. | 192 | 9,652 | |||||||||
AmeriGas Partners LP | 800 | 38,984 | |||||||||
New Jersey Resources Corp. | 69 | 2,105 | |||||||||
Snam SpA | 640 | 3,334 | |||||||||
54,075 | |||||||||||
Health Care Equipment & Supplies (0.0%) | |||||||||||
Baxter International, Inc. | 93 | 6,393 | |||||||||
Health Care Providers & Services (0.2%) | |||||||||||
Aetna, Inc. | 55 | 5,878 | |||||||||
Anthem, Inc. | 69 | 10,414 | |||||||||
Ramsay Health Care Ltd. | 136 | 6,704 | |||||||||
Sonic Healthcare Ltd. | 1,002 | 15,704 | |||||||||
38,700 |
Number of Shares | Value† | ||||||||||
Hotels, Restaurants & Leisure (0.7%) | |||||||||||
Carnival Corp. | 95 | $ | 4,177 | ||||||||
Cedar Fair LP | 1,000 | 56,430 | |||||||||
International Game Technology PLC | 49 | 1,003 | * | ||||||||
Las Vegas Sands Corp. | 600 | 31,728 | |||||||||
McDonald's Corp. | 168 | 16,221 | |||||||||
Tabcorp Holdings Ltd. | 2,325 | 8,932 | |||||||||
118,491 | |||||||||||
Household Durables (0.1%) | |||||||||||
Bellway PLC | 109 | 3,314 | |||||||||
Berkeley Group Holdings PLC | 154 | 5,929 | |||||||||
9,243 | |||||||||||
Household Products (1.1%) | |||||||||||
Colgate- Palmolive Co. | 63 | 4,238 | |||||||||
Kimberly- Clark Corp. | 500 | 54,845 | |||||||||
Procter & Gamble Co. | 1,519 | 120,776 | ØØ | ||||||||
179,859 | |||||||||||
Independent Power and Renewable Electricity Producers (0.4%) | |||||||||||
NRG Yield, Inc. Class A | 650 | 31,980 | |||||||||
TerraForm Power, Inc. Class A | 900 | 35,577 | * | ||||||||
67,557 | |||||||||||
Industrial Conglomerates (0.7%) | |||||||||||
General Electric Co. | 1,993 | 53,970 | |||||||||
Koninklijke Philips NV | 1,100 | 31,471 | |||||||||
Siemens AG ADR | 250 | 27,198 | |||||||||
112,639 | |||||||||||
Insurance (2.7%) | |||||||||||
Aegon NV | 1,164 | 9,184 | |||||||||
Aflac, Inc. | 216 | 13,617 | |||||||||
Ageas | 147 | 5,523 | |||||||||
Allianz SE | 375 | 63,831 | |||||||||
Amlin PLC | 407 | 2,852 | |||||||||
Aviva PLC | 586 | 4,715 | |||||||||
AXA SA | 1,628 | 41,165 | |||||||||
Catlin Group Ltd. | 839 | 9,324 | ^^ |
See Notes to Schedule of Investments
48
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
CNA Financial Corp. | 217 | $ | 8,745 | ||||||||
CNO Financial Group, Inc. | 448 | 7,616 | |||||||||
CNP Assurances | 543 | 9,760 | |||||||||
Direct Line Insurance Group PLC | 1,677 | 8,187 | |||||||||
Gjensidige Forsikring ASA | 280 | 4,871 | |||||||||
Hannover Rueck SE | 79 | 8,030 | |||||||||
Insurance Australia Group Ltd. | 1,644 | 7,535 | |||||||||
Legal & General Group PLC | 3,656 | 14,533 | |||||||||
Mapfre SA | 2,016 | 7,492 | |||||||||
Marsh & McLennan Cos., Inc. | 95 | 5,335 | |||||||||
MetLife, Inc. | 1,008 | 51,700 | |||||||||
Muenchener Rueckversicherungs- Gesellschaft AG in Muenchen | 143 | 27,913 | |||||||||
Old Mutual PLC | 2,472 | 8,867 | |||||||||
Phoenix Group Holdings | 970 | 12,518 | |||||||||
Sampo Oyj | 252 | 12,210 | |||||||||
SCOR SE | 130 | 4,679 | |||||||||
Standard Life PLC | 638 | 4,561 | |||||||||
Swiss Life Holding AG | 29 | 6,882 | |||||||||
Swiss Re AG | 360 | 31,935 | * | ||||||||
Travelers Cos., Inc. | 86 | 8,695 | |||||||||
Unipol Gruppo Finanziario SpA | 796 | 4,176 | |||||||||
Zurich Insurance Group AG | 120 | 37,038 | * | ||||||||
443,489 | |||||||||||
Internet Software & Services (0.3%) | |||||||||||
Equinix, Inc. | 200 | 51,186 | |||||||||
IT Services (0.3%) | |||||||||||
Automatic Data Processing, Inc. | 111 | 9,384 | |||||||||
IBM Corp. | 191 | 32,716 | |||||||||
42,100 |
Number of Shares | Value† | ||||||||||
Leisure Products (0.4%) | |||||||||||
Hasbro, Inc. | 969 | $ | 68,596 | ØØ | |||||||
Life Sciences Tools & Services (0.0%) | |||||||||||
Lonza Group AG | 26 | 3,676 | * | ||||||||
Machinery (0.3%) | |||||||||||
Deere & Co. | 500 | 45,260 | |||||||||
Yangzijiang Shipbuilding Holdings Ltd. | 6,900 | 7,620 | |||||||||
52,880 | |||||||||||
Marine (0.0%) | |||||||||||
AP Moeller - Maersk A/S Class A | 2 | 3,856 | |||||||||
Media (0.7%) | |||||||||||
Cablevision Systems Corp. Class A | 453 | 9,051 | |||||||||
Cinemark Holdings, Inc. | 119 | 5,073 | |||||||||
Gannett Co., Inc. | 133 | 4,565 | |||||||||
Informa PLC | 371 | 3,160 | |||||||||
Lagardere SCA | 1,200 | 38,521 | |||||||||
Omnicom Group, Inc. | 44 | 3,333 | |||||||||
Pearson PLC | 830 | 16,773 | |||||||||
ProSiebenSat.1 Media AG | 134 | 6,851 | |||||||||
Time Warner Cable, Inc. | 69 | 10,731 | |||||||||
Wolters Kluwer NV | 256 | 8,294 | |||||||||
106,352 | |||||||||||
Metals & Mining (1.1%) | |||||||||||
BHP Billiton PLC | 1,421 | 34,156 | |||||||||
Fortescue Metals Group Ltd. | 3,499 | 5,911 | |||||||||
Franco-Nevada Corp. | 700 | 36,281 | |||||||||
Goldcorp, Inc. | 700 | 13,181 | |||||||||
Kobe Steel Ltd. | 2,000 | 3,635 | |||||||||
Rio Tinto PLC | 1,047 | 46,854 | |||||||||
Southern Copper Corp. | 1,250 | 40,725 | |||||||||
180,743 | |||||||||||
Multi-Utilities (1.4%) | |||||||||||
AGL Energy Ltd. | 280 | 3,359 | |||||||||
Centrica PLC | 3,354 | 13,096 |
Number of Shares | Value† | ||||||||||
Consolidated Edison, Inc. | 195 | $ | 12,002 | ||||||||
Dominion Resources, Inc. | 1,125 | 80,640 | ØØ | ||||||||
National Grid PLC | 3,114 | 41,894 | |||||||||
NiSource, Inc. | 850 | 36,907 | |||||||||
PG&E Corp. | 265 | 14,024 | |||||||||
Public Service Enterprise Group, Inc. | 75 | 3,115 | |||||||||
Sempra Energy | 275 | 29,197 | |||||||||
234,234 | |||||||||||
Multiline Retail (0.1%) | |||||||||||
Kohl's Corp. | 50 | 3,583 | |||||||||
Marks & Spencer Group PLC | 515 | 4,361 | |||||||||
Target Corp. | 153 | 12,061 | |||||||||
20,005 | |||||||||||
Oil, Gas & Consumable Fuels (8.4%) | |||||||||||
Alliance Holdings GP LP | 975 | 48,458 | |||||||||
BP PLC | 1,859 | 13,408 | |||||||||
Caltex Australia Ltd. | 109 | 3,040 | |||||||||
Chevron Corp. | 414 | 45,979 | |||||||||
ConocoPhillips | 1,172 | 79,602 | ØØ | ||||||||
Crestwood Midstream Partners LP | 2,575 | 40,865 | |||||||||
Energy Transfer Equity LP | 1,275 | 84,992 | ØØ | ||||||||
Energy Transfer Partners LP | 1,650 | 95,314 | |||||||||
Eni SpA | 2,003 | 38,429 | |||||||||
Enterprise Products Partners LP | 1,850 | 63,363 | ØØ | ||||||||
Exxon Mobil Corp. | 1,205 | 105,281 | ØØ | ||||||||
Golar LNG Ltd. | 1,000 | 35,995 | |||||||||
Neste Oil OYJ | 390 | 10,607 | |||||||||
NuStar Energy LP | 600 | 40,308 | |||||||||
Occidental Petroleum Corp. | 82 | 6,568 | |||||||||
ONEOK, Inc. | 700 | 33,670 | |||||||||
PBF Energy, Inc. Class A | 272 | 7,719 | |||||||||
Phillips 66 | 88 | 6,979 | |||||||||
Plains GP Holdings LP Class A | 1,800 | 52,920 | |||||||||
Repsol SA | 1,193 | 24,592 |
See Notes to Schedule of Investments
49
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||||
Royal Dutch Shell PLC, A Shares | 1,776 | $ | 55,998 | ||||||||
Royal Dutch Shell PLC, B Shares | 994 | 31,824 | |||||||||
Spectra Energy Corp. | 2,957 | 110,148 | ØØ | ||||||||
Statoil ASA | 850 | 18,020 | |||||||||
Teekay Corp. | 800 | 39,768 | |||||||||
Teekay LNG Partners LP | 1,125 | 44,348 | |||||||||
Tesoro Corp. | 43 | 3,691 | |||||||||
Total SA | 1,643 | 88,968 | ØØ | ||||||||
Valero Energy Corp. | 189 | 10,754 | |||||||||
Western Gas Partners LP | 625 | 45,556 | |||||||||
Williams Cos., Inc. | 1,275 | 65,267 | |||||||||
Woodside Petroleum Ltd. | 313 | 8,632 | |||||||||
1,361,063 | |||||||||||
Paper & Forest Products (0.2%) | |||||||||||
International Paper Co. | 85 | 4,566 | |||||||||
Stora Enso Oyj, R Shares | 369 | 3,883 | |||||||||
UPM-Kymmene OYJ | 1,031 | 18,656 | |||||||||
27,105 | |||||||||||
Pharmaceuticals (4.7%) | |||||||||||
AbbVie, Inc. | 341 | 22,049 | |||||||||
AstraZeneca PLC | 1,049 | 71,989 | ØØ | ||||||||
Boiron SA | 67 | 7,462 | |||||||||
Bristol-Myers Squibb Co. | 1,367 | 87,119 | |||||||||
Eisai Co. Ltd. | 200 | 13,332 | |||||||||
Eli Lilly & Co. | 923 | 66,336 | ØØ | ||||||||
GlaxoSmithKline PLC | 3,861 | 89,176 | ØØ | ||||||||
GlaxoSmithKline PLC ADR | 1,200 | 55,380 | |||||||||
Johnson & Johnson | 1,117 | 110,806 | ØØ | ||||||||
Merck & Co., Inc. | 733 | 43,658 | |||||||||
Pfizer, Inc. | 2,583 | 87,641 | ØØ | ||||||||
Sanofi | 992 | 100,976 | ØØ | ||||||||
Takeda Pharmaceutical Co. Ltd. | 300 | 15,402 | |||||||||
771,326 |
Number of Shares | Value† | ||||||||||
Real Estate Investment Trusts (1.9%) | |||||||||||
AvalonBay Communities, Inc. | 300 | $ | 49,302 | ||||||||
Chimera Investment Corp. | 133 | 2,017 | |||||||||
Communications Sales & Leasing, Inc. | 54 | 1,612 | * | ||||||||
Extra Space Storage, Inc. | 500 | 32,965 | |||||||||
Outfront Media, Inc. | 1,700 | 48,824 | |||||||||
Prologis, Inc. | 1,300 | 52,260 | ØØ | ||||||||
Simon Property Group, Inc. | 200 | 36,298 | |||||||||
Starwood Property Trust, Inc. | 1,350 | 32,414 | |||||||||
Weyerhaeuser Co. | 1,700 | 53,567 | |||||||||
309,259 | |||||||||||
Road & Rail (0.2%) | |||||||||||
National Express Group PLC | 990 | 4,360 | |||||||||
Norfolk Southern Corp. | 29 | 2,925 | |||||||||
Union Pacific Corp. | 300 | 31,869 | |||||||||
39,154 | |||||||||||
Semiconductors & Semiconductor Equipment (0.5%) | |||||||||||
Intel Corp. | 1,350 | 43,942 | |||||||||
Texas Instruments, Inc. | 514 | 27,864 | |||||||||
71,806 | |||||||||||
Software (1.0%) | |||||||||||
Microsoft Corp. | 2,739 | 133,225 | ØØ | ||||||||
Oracle Corp. | 800 | 34,896 | |||||||||
168,121 | |||||||||||
Specialty Retail (0.5%) | |||||||||||
Best Buy Co., Inc. | 900 | 31,185 | |||||||||
Hennes & Mauritz AB, B Shares | 493 | 19,600 | |||||||||
Home Depot, Inc. | 300 | 32,094 | |||||||||
Staples, Inc. | 302 | 4,929 | |||||||||
87,808 |
Number of Shares | Value† | ||||||||||
Technology Hardware, Storage & Peripherals (0.5%) | |||||||||||
Apple, Inc. | 300 | $ | 37,545 | ||||||||
Canon, Inc. | 900 | 32,089 | |||||||||
Hewlett-Packard Co. | 245 | 8,078 | |||||||||
77,712 | |||||||||||
Textiles, Apparel & Luxury Goods (0.0%) | |||||||||||
Yue Yuen Industrial Holdings Ltd. | 1,000 | 3,774 | |||||||||
Thrifts & Mortgage Finance (0.0%) | |||||||||||
New York Community Bancorp, Inc. | 194 | 3,335 | |||||||||
Tobacco (1.5%) | |||||||||||
Altria Group, Inc. | 602 | 30,130 | |||||||||
British American Tobacco PLC | 1,273 | 69,943 | ØØ | ||||||||
Imperial Tobacco Group PLC | 1,085 | 52,981 | |||||||||
Imperial Tobacco Group PLC ADR | 350 | 34,031 | |||||||||
Lorillard, Inc. | 83 | 5,798 | |||||||||
Philip Morris International, Inc. | 447 | 37,311 | |||||||||
Reynolds American, Inc. | 207 | 15,173 | |||||||||
245,367 | |||||||||||
Trading Companies & Distributors (0.0%) | |||||||||||
Sojitz Corp. | 1,900 | 3,715 | |||||||||
Wireless Telecommunication Services (0.6%) | |||||||||||
Tele2 AB, B Shares | 1,418 | 18,913 | |||||||||
Vodafone Group PLC | 22,527 | 79,367 | ØØ | ||||||||
98,280 | |||||||||||
Total Common Stocks (Cost $6,824,281) | 6,948,287 |
See Notes to Schedule of Investments
50
Schedule of Investments Multi-Asset Income Fund (Unaudited) (cont'd)
Principal Amount | Value† | ||||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government (8.9%) | |||||||||||
U.S. Treasury Bonds, 3.00%, due 11/15/44 | $ | 420,000 | $ | 441,755 | |||||||
U.S. Treasury Bonds, 4.38%, due 11/15/39 | 115,000 | 149,886 | |||||||||
U.S. Treasury Bonds, 4.50%, due 2/15/36 | 230,000 | 304,373 | |||||||||
U.S. Treasury Inflation Indexed Bonds, 3.38%, due 4/15/32 | 251,216 | 368,836 | |||||||||
U.S. Treasury Notes, 1.63%, due 11/15/22 | 95,000 | 93,523 | |||||||||
U.S. Treasury Notes, 2.75%, due 2/15/24 | 85,000 | 90,339 | |||||||||
Total U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government (Cost $1,485,602) | 1,448,712 | ||||||||||
U.S. Government Agency Securities (1.0%) | |||||||||||
Federal Home Loan Bank, Bonds, 5.50%, due 7/15/36 (Cost $161,492) | 115,000 | 156,621 | |||||||||
Number of Shares | |||||||||||
Exchange Traded Funds (5.3%) | |||||||||||
iShares 10+ Year Credit Bond ETF | 6,100 | 373,747 | |||||||||
iShares Core U.S. Aggregate Bond ETF | 309 | 34,255 | |||||||||
SPDR Barclays International Treasury Bond ETF | 647 | 35,042 | |||||||||
SPDR Barclays Long Term Corporate Bond ETF | 9,000 | 369,180 | |||||||||
Vanguard S&P 500 ETF | 241 | 46,055 | |||||||||
Total Exchange Traded Funds (Cost $878,331) | 858,279 |
Number of Shares | Value† | ||||||||||
Mutual Funds (41.3%) | |||||||||||
Neuberger Berman Emerging Markets Debt Fund Institutional Class | 181,969 | $ | 1,704,118 | §ØØ | |||||||
Neuberger Berman Floating Rate Income Fund Institutional Class | 246,799 | 2,506,749 | §ØØ | ||||||||
Neuberger Berman High Income Bond Fund Institutional Class | �� | 277,175 | 2,521,180 | §ØØ | |||||||
Total Mutual Funds (Cost $6,666,773) | 6,732,047 | ||||||||||
Short-Term Investments (1.4%) | |||||||||||
State Street Institutional Liquid Reserves Fund Premier Class (Cost $228,685) | 228,685 | 228,685 | ØØ | ||||||||
Total Investments (100.5%) (Cost $16,245,164) | 16,372,631 | ## | |||||||||
Liabilities, less cash, receivables and other assets [(0.5%)] | (73,926 | )c | |||||||||
Total Net Assets (100.0%) | $ | 16,298,705 |
See Notes to Schedule of Investments
51
Notes to Schedule of Investments (Unaudited)
† In accordance with Accounting Standards Codification ("ASC") 820 "Fair Value Measurement" ("ASC 820"), all investments held by each of Neuberger Berman Flexible Select Fund ("Flexible Select"), Neuberger Berman Global Allocation Fund ("Global Allocation"), Neuberger Berman Inflation Managed Fund ("Inflation Managed"), (formerly, Neuberger Berman Inflation Navigator Fund), Neuberger Berman Long Short Fund ("Long Short") and Neuberger Berman Multi-Asset Income Fund ("Multi-Asset Income"), (each individually a "Fund," and collectively, the "Funds") are carried at the value that Neuberger Berman Management LLC ("Management") believes a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Funds' investments, some of which are discussed below. Significant management judgment may be necessary to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
• Level 1 – quoted prices in active markets for identical investments
• Level 2 – other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
• Level 3 – unobservable inputs (including a Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Funds' investments (long and short positions) in equity securities, exchange traded funds, preferred stock, purchased option contracts and written option contracts, for which market quotations are readily available, is generally determined by Management by obtaining valuations from an independent pricing service based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price ("NOCP") provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern time, unless that price is outside the range of the "inside" bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no reported sale of a security on a particular day, the independent pricing service may value the security based on reported market quotations.
The value of the Funds' investments in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid quotations, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Funds:
Corporate Debt Securities. Inputs used to value corporate debt securities generally include relative credit information, observed market movements, sector news, spread to the U.S. Treasury market, and other market information, which may include benchmark yields, reported trades, broker-dealer quotes, issuer spreads, benchmark securities, bids, offers, and reference data, such as market research publications, when available ("Other Market Information").
See Notes to Financial Statements
52
Notes to Schedule of Investments (Unaudited) (cont'd)
U.S. Treasury Securities. Inputs used to value U.S. Treasury securities generally include quotes from several inter-dealer brokers and Other Market Information.
U.S. Government Agency Securities. Inputs used to value U.S. Government Agency securities generally include obtaining benchmark quotes and Other Market Information.
Sovereign Debt. Inputs used to value sovereign debt generally include dealer quotes, bond market activity, discounted cash flow models, and other relevant information such as credit spreads, benchmark curves and Other Market Information.
The value of financial futures contracts is determined by Management by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
The value of forward foreign currency contracts ("forward contracts") is determined by Management by obtaining valuations from an independent pricing service based on actual traded currency rates on an independent pricing service's network, along with other traded and quoted currency rates provided to the pricing service by leading market participants (Level 2 inputs).
The value of total return swaps is determined by Management by obtaining valuations from an independent pricing service using the underlying index and stated London Interbank Offered Rate ("LIBOR") (Level 2 inputs).
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in investment companies, with the exception of closed-end funds, if any, are valued using the respective fund's daily calculated net asset value per share (Level 2 inputs).
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount a Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Neuberger Berman Alternative Funds' Board of Trustees (the "Board") has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Numerous factors may be considered when determining the fair value of a security based on Level 2 or Level 3 inputs, including available analyst, media or other reports, trading in futures or American Depositary Receipts ("ADRs") and whether the issuer of the security being fair valued has other securities outstanding.
The value of the Funds' investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in local currency values are translated from the local currency into U.S. dollars using the exchange rates as of the end of regular trading on the New York Stock Exchange ("NYSE") on business days, usually 4:00 p.m., Eastern time. The Board has approved the use of Interactive Data Pricing and Reference Data, Inc. ("Interactive") to assist in determining the fair value of foreign equity securities when changes in the value of a certain index suggest that the closing prices on the foreign exchanges may no longer represent the amount that a Fund could expect to receive for those securities or on days when foreign markets are closed and U.S. markets are open. In each of these events, Interactive will provide adjusted prices for certain foreign equity securities using a statistical analysis of historical correlations of multiple factors (Level 2 inputs). The Board has also approved the use of Interactive to evaluate the prices of foreign income securities as of the close of the NYSE. Interactive utilizes benchmark spread and yield curves and evaluates available market activity from the local close to the close of the NYSE (Level 2 inputs) to assist in determining prices for certain foreign income securities. In the case of both foreign equity and foreign income securities, in the absence of precise information about the market values of these foreign securities as of the close of the NYSE, the Board has determined on the basis of available data that prices adjusted or evaluated in this way are
See Notes to Financial Statements
53
Notes to Schedule of Investments (Unaudited) (cont'd)
likely to be closer to the prices a Fund could realize on a current sale than are the prices of those securities established at the close of the foreign markets in which the securities primarily trade.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
The following is a summary, categorized by Level, of inputs used to value the Funds' investments as of April 30, 2015:
Asset Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Flexible Select | |||||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks^ | $ | 88,539,374 | $ | — | $ | — | $ | 88,539,374 | |||||||||||
Preferred Stocks^ | 208,524 | — | — | 208,524 | |||||||||||||||
Exchange Traded Funds | 201,907 | — | — | 201,907 | |||||||||||||||
Mutual Funds | 176,813 | 4,994,263 | — | 5,171,076 | |||||||||||||||
Short-Term Investments | — | 6,868,828 | — | 6,868,828 | |||||||||||||||
Total Investments | 89,126,618 | 11,863,091 | — | 100,989,709 | |||||||||||||||
Global Allocation | |||||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks^ | |||||||||||||||||||
Australia | — | 137,288 | — | 137,288 | |||||||||||||||
Belgium | 17,286 | 33,568 | — | 50,854 | |||||||||||||||
Denmark | — | 63,891 | — | 63,891 | |||||||||||||||
Finland | — | 160,349 | — | 160,349 | |||||||||||||||
France | 98,999 | 117,996 | — | 216,995 | |||||||||||||||
Germany | — | 291,530 | — | 291,530 | |||||||||||||||
Hong Kong | — | 49,372 | — | 49,372 | |||||||||||||||
Ireland | 116,647 | 36,770 | — | 153,417 | |||||||||||||||
Italy | 42,456 | 24,084 | — | 66,540 | |||||||||||||||
Japan | — | 491,076 | — | 491,076 | |||||||||||||||
Luxembourg | — | 9,760 | — | 9,760 | |||||||||||||||
Netherlands | 189,273 | 150,270 | — | 339,543 | |||||||||||||||
Norway | — | 12,439 | — | 12,439 | |||||||||||||||
Singapore | — | 21,865 | — | 21,865 | |||||||||||||||
South Africa | — | 23,366 | — | 23,366 | |||||||||||||||
Spain | — | 57,030 | — | 57,030 | |||||||||||||||
Sweden | — | 102,074 | — | 102,074 | |||||||||||||||
Switzerland | 60,097 | 259,969 | — | 320,066 | |||||||||||||||
United Kingdom | 40,965 | 787,468 | — | 828,433 | |||||||||||||||
Other Common Stocksß | 10,044,356 | — | — | 10,044,356 | |||||||||||||||
Total Common Stocks | 10,610,079 | 2,830,165 | — | 13,440,244 |
See Notes to Financial Statements
54
Notes to Schedule of Investments (Unaudited) (cont'd)
Asset Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government | $ | — | $ | 1,236,426 | $ | — | $ | 1,236,426 | |||||||||||
U.S. Government Agency Securities | — | 34,048 | — | 34,048 | |||||||||||||||
Mortgage-Backed Securities | — | 129,347 | — | 129,347 | |||||||||||||||
Government Securities | — | 2,150,639 | — | 2,150,639 | |||||||||||||||
Exchange Traded Funds | 1,080,183 | — | — | 1,080,183 | |||||||||||||||
Mutual Funds | — | 10,327,965 | — | 10,327,965 | |||||||||||||||
Short-Term Investments | — | 222,936 | — | 222,936 | |||||||||||||||
Total Long Positions | 11,690,262 | 16,931,526 | — | 28,621,788 | |||||||||||||||
Inflation Managed | |||||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks^ | 7,881,604 | — | — | 7,881,604 | |||||||||||||||
Government Securities | — | 2,138,991 | — | 2,138,991 | |||||||||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government | — | 2,222,811 | — | 2,222,811 | |||||||||||||||
Mutual Funds | — | 5,249,635 | — | 5,249,635 | |||||||||||||||
Short-Term Investments | — | 223,101 | — | 223,101 | |||||||||||||||
Total Investments | 7,881,604 | 9,834,538 | — | 17,716,142 | |||||||||||||||
Long Short | |||||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks^ | 2,411,708,065 | — | — | 2,411,708,065 | |||||||||||||||
Corporate Debt Securities^ | — | 307,462,715 | — | 307,462,715 | |||||||||||||||
Purchased Options | 1,347,800 | — | — | 1,347,800 | |||||||||||||||
Short-Term Investments | — | 540,753,554 | — | 540,753,554 | |||||||||||||||
Total Long Positions | 2,413,055,865 | 848,216,269 | — | 3,261,272,134 | |||||||||||||||
Multi-Asset Income | |||||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Aerospace & Defense | 101,986 | 17,648 | 119,634 | ||||||||||||||||
Airlines | — | 46,011 | — | 46,011 | |||||||||||||||
Automobiles | 54,488 | 110,994 | — | 165,482 | |||||||||||||||
Banks | 103,285 | 81,963 | — | 185,248 | |||||||||||||||
Chemicals | 147,078 | 67,982 | — | 215,060 | |||||||||||||||
Construction & Engineering | — | 24,121 | — | 24,121 | |||||||||||||||
Containers & Packaging | 7,557 | 15,443 | — | 23,000 | |||||||||||||||
Diversified Financial Services | 65,819 | 5,938 | — | 71,757 | |||||||||||||||
Diversified Telecommunication Services | 102,839 | 82,109 | — | 184,948 |
See Notes to Financial Statements
55
Notes to Schedule of Investments (Unaudited) (cont'd)
Asset Valuation Inputs | |||||||||||||||||||
�� | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Electric Utilities | $ | 174,771 | $ | 92,431 | $ | — | $ | 267,202 | |||||||||||
Food & Staples Retailing | 35,898 | 53,736 | — | 89,634 | |||||||||||||||
Food Products | 69,458 | 13,941 | — | 83,399 | |||||||||||||||
Gas Utilities | 50,741 | 3,334 | — | 54,075 | |||||||||||||||
Health Care Providers & Services | 16,292 | 22,408 | — | 38,700 | |||||||||||||||
Hotels, Restaurants & Leisure | 109,559 | 8,932 | — | 118,491 | |||||||||||||||
Household Durables | — | 9,243 | — | 9,243 | |||||||||||||||
Insurance | 95,708 | 347,781 | — | 443,489 | |||||||||||||||
Life Sciences Tools & Services | — | 3,676 | — | 3,676 | |||||||||||||||
Machinery | 45,260 | 7,620 | — | 52,880 | |||||||||||||||
Marine | — | 3,856 | — | 3,856 | |||||||||||||||
Media | 32,753 | 73,599 | — | 106,352 | |||||||||||||||
Metals & Mining | 90,187 | 90,556 | — | 180,743 | |||||||||||||||
Multi-Utilities | 175,885 | 58,349 | — | 234,234 | |||||||||||||||
Multiline Retail | 15,644 | 4,361 | — | 20,005 | |||||||||||||||
Oil, Gas & Consumable Fuels | 1,067,545 | 293,518 | — | 1,361,063 | |||||||||||||||
Paper & Forest Products | 4,566 | 22,539 | — | 27,105 | |||||||||||||||
Pharmaceuticals | 472,989 | 298,337 | — | 771,326 | |||||||||||||||
Road & Rail | 34,794 | 4,360 | — | 39,154 | |||||||||||||||
Specialty Retail | 68,208 | 19,600 | — | 87,808 | |||||||||||||||
Technology Hardware, Storage & Peripherals | 45,623 | 32,089 | — | 77,712 | |||||||||||||||
Textiles, Apparel & Luxury Goods | — | 3,774 | — | 3,774 | |||||||||||||||
Tobacco | 122,443 | 122,924 | — | 245,367 | |||||||||||||||
Trading Companies & Distributors | — | 3,715 | — | 3,715 | |||||||||||||||
Wireless Telecommunication Services | — | 98,280 | — | 98,280 | |||||||||||||||
Other Common Stocksß | 1,491,743 | — | — | 1,491,743 | |||||||||||||||
Total Common Stocks | 4,803,119 | 2,145,168 | — | 6,948,287 | |||||||||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government | — | 1,448,712 | — | 1,448,712 | |||||||||||||||
U.S. Government Agency Securities | — | 156,621 | — | 156,621 | |||||||||||||||
Exchange Traded Funds | 858,279 | — | — | 858,279 | |||||||||||||||
Mutual Funds | — | 6,732,047 | — | 6,732,047 | |||||||||||||||
Short-Term Investments | — | 228,685 | — | 228,685 | |||||||||||||||
Total Investments | $ | 5,661,398 | $ | 10,711,233 | $ | — | $ | 16,372,631 |
^ The Schedule of Investments (or Long Positions by Industry for Global Allocation) provides information on the industry categorization for the portfolio.
See Notes to Financial Statements
56
Notes to Schedule of Investments (Unaudited) (cont'd)
The following is a summary, categorized by Level, of inputs used to value the Funds' derivatives as of April 30, 2015:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Global Allocation | |||||||||||||||||||
Forward contracts (unrealized appreciation) | $ | — | $ | 132,727 | $ | — | $ | 132,727 | |||||||||||
Futures contracts (unrealized appreciation) | 53,049 | — | — | 53,049 | |||||||||||||||
Total | $ | 53,049 | $ | 132,727 | $ | — | $ | 185,776 | |||||||||||
Inflation Managed | |||||||||||||||||||
Futures contracts (unrealized appreciation) | $ | 43,151 | $ | — | $ | — | $ | 43,151 | |||||||||||
Total | $ | 43,151 | $ | — | $ | — | $ | 43,151 | |||||||||||
Long Short | |||||||||||||||||||
Futures contracts (unrealized appreciation) | $ | 813,605 | $ | — | $ | — | $ | 813,605 | |||||||||||
Total | $ | 813,605 | $ | — | $ | — | $ | 813,605 | |||||||||||
Multi-Asset Income | |||||||||||||||||||
Forward contracts (unrealized appreciation) | $ | 62,833 | $ | — | $ | — | $ | 62,833 | |||||||||||
Total | $ | 62,833 | $ | — | $ | — | $ | 62,833 |
The following is a summary, categorized by Level, of inputs used to value the Funds' investments as of April 30, 2015:
Liability Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Global Allocation | |||||||||||||||||||
Common Stocks Sold Short^ | |||||||||||||||||||
Australia | $ | — | $ | (29,066 | ) | $ | — | $ | (29,066 | ) | |||||||||
Belgium | — | (26,043 | ) | — | (26,043 | ) | |||||||||||||
Denmark | (14,067 | ) | (29,719 | ) | — | (43,786 | ) | ||||||||||||
France | (9,692 | ) | (136,034 | ) | — | (145,726 | ) | ||||||||||||
Germany | — | (100,239 | ) | — | (100,239 | ) | |||||||||||||
Italy | (10,833 | ) | (38,645 | ) | — | (49,478 | ) | ||||||||||||
Japan | — | (129,194 | ) | — | (129,194 | ) | |||||||||||||
Mexico | — | (15,805 | ) | — | (15,805 | ) | |||||||||||||
Netherlands | — | (24,663 | ) | — | (24,663 | ) | |||||||||||||
Spain | — | (76,258 | ) | — | (76,258 | ) | |||||||||||||
Sweden | — | (54,545 | ) | — | (54,545 | ) | |||||||||||||
Switzerland | — | (105,078 | ) | — | (105,078 | ) | |||||||||||||
United Kingdom | (9,028 | ) | (438,372 | ) | — | (447,400 | ) | ||||||||||||
United States | (1,121,937 | ) | (17,518 | ) | — | (1,139,455 | ) | ||||||||||||
Other Common Stock Sold Shortß | (67,799 | ) | — | — | (67,799 | ) | |||||||||||||
Total Common Stocks Sold Short | (1,233,356 | ) | (1,221,179 | ) | — | (2,454,535 | ) | ||||||||||||
Total Short Positions | $ | (1,233,356 | ) | $ | (1,221,179 | ) | $ | — | $ | (2,454,535 | ) | ||||||||
Long Short | |||||||||||||||||||
Common Stocks Sold Short^ | $ | (293,067,935 | ) | $ | — | $ | — | $ | (293,067,935 | ) | |||||||||
Exchange Traded Funds Sold Short | (189,998,545 | ) | — | — | (189,998,545 | ) | |||||||||||||
Total Short Positions | $ | (483,066,480 | ) | $ | — | $ | — | $ | (483,066,480 | ) |
See Notes to Financial Statements
57
Notes to Schedule of Investments (Unaudited) (cont'd)
^ The Schedule of Investments (or Short Positions by Industry for Global Allocation) provides information on the industry categorization for the portfolio.
ß Represents a geographic location and/or industry where all securities were Level 1 securities. Please refer to the Schedule of Investments for additional information.
The following is a summary, categorized by Level, of inputs used to value the Funds' derivatives as of April 30, 2015:
Liability Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Global Allocation | |||||||||||||||||||
Forward contracts (unrealized depreciation) | $ | — | $ | (140,172 | ) | $ | — | $ | (140,172 | ) | |||||||||
Futures contracts (unrealized depreciation) | (26,029 | ) | — | — | (26,029 | ) | |||||||||||||
Total | $ | (26,029 | ) | $ | (140,172 | ) | $ | — | $ | (166,201 | ) | ||||||||
Inflation Managed | |||||||||||||||||||
Futures contracts (unrealized depreciation) | $ | (22,301 | ) | $ | — | $ | — | $ | (22,301 | ) | |||||||||
Total | $ | (22,301 | ) | $ | — | $ | — | $ | (22,301 | ) | |||||||||
Long Short | |||||||||||||||||||
Futures contracts (unrealized depreciation) | $ | (2,727,072 | ) | $ | — | $ | — | $ | (2,727,072 | ) | |||||||||
Option contracts | (186,000 | ) | — | — | (186,000 | ) | |||||||||||||
Total | $ | (2,913,072 | ) | $ | — | $ | — | $ | (2,913,072 | ) | |||||||||
Multi-Asset Income | |||||||||||||||||||
Forward contracts (unrealized depreciation) | $ | (60,200 | ) | $ | — | $ | — | $ | (60,200 | ) | |||||||||
Total | $ | (60,200 | ) | $ | — | $ | — | $ | (60,200 | ) |
As of the six months ended April 30, 2015, certain securities were transferred from one level (as of October 31, 2014) to another. Based on beginning of period market values as of November 1, 2014, $2,404,504 was transferred from Level 1 to Level 2 for Global Allocation. Interactive provided adjusted prices for these securities as of April 30, 2015, as stated in the description of the valuation methods of foreign equity securities in footnote † above.
## At April 30, 2015, selected fund information on a U.S. federal income tax basis was as follows:
Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||
Flexible Select | $ | 89,307,948 | $ | 12,819,133 | $ | 1,137,372 | $ | 11,681,761 | |||||||||||
Global Allocation | 27,652,332 | 1,368,586 | 399,130 | 969,456 | |||||||||||||||
Inflation Managed | 17,035,804 | 1,335,968 | 655,630 | 680,338 | |||||||||||||||
Long Short | 3,012,120,330 | 340,091,103 | 90,939,299 | 249,151,804 | |||||||||||||||
Multi-Asset Income | 16,243,985 | 285,571 | 156,925 | 128,646 |
* Security did not produce income during the last twelve months.
‡‡ At April 30, 2015, Long Short had outstanding put options written as follows:
Name of Issuer | Contracts | Exercise Price | Expiration Date | Market Value of Options | |||||||||||||||
SPDR S&P 500 ETF Trust, Put | 6,200 | 180 | June 2015 | $ | (186,000 | ) | |||||||||||||
$ | (186,000 | ) |
See Notes to Financial Statements
58
Notes to Schedule of Investments (Unaudited) (cont'd)
At April 30, 2015, Long Short had deposited $117,180,000 in a segregated account to cover requirements on put options written.
ñ Securities were purchased under Rule 144A of the Securities Act of 1933, as amended (the "1933 Act"), or are private placements and, unless registered under the 1933 Act or exempted from registration, may only be sold to qualified institutional investors. These securities have been deemed by the investment manager to be liquid. At April 30, 2015, these securities amounted to $140,003 or 0.5% of net assets for Global Allocation and $10,931,633 or 0.3% of net assets for Long Short.
Ø All or a portion of this security was purchased on a when-issued basis. At April 30, 2015, these securities amounted to $129,347 for Global Allocation and $962,000 for Long Short.
È All or a portion of this security is on loan.
ØØ All or a portion of this security is segregated in connection with obligations for common stocks sold short and/or forward foreign currency contracts and/or financial futures contracts and/or when-issued security purchase commitments.
‡ At April 30, 2015, Global Allocation had deposited $1,386,122 in a segregated account to cover collateral requirements for borrowing in connection with securities sold short. For Global Allocation, this collateral is made up of the proceeds from the securities sold short and collateral received from security lending activities. At April 30, 2015, Long Short had deposited $513,369,197 in a segregated account to cover collateral requirements for borrowing in connection with securities sold short.
§ Affiliated issuer (see Note F of Notes to Financial Statements).
a Principal amount is stated in the currency in which security is denominated.
AUD = Australian Dollar
CAD = Canadian Dollar
EUR = Euro
GBP = Pound Sterling
JPY = Japanese Yen
MXN = Mexican Peso
NZD = New Zealand Dollar
SEK = Swedish Krona
ZAR = South African Rand
b Effective February 28, 2015, Neuberger Berman Inflation Navigator Fund changed its name to Neuberger Berman Inflation Managed Fund.
c See Note A-14 in the Notes to Financial Statements for the Funds' open positions in derivatives at April 30, 2015.
^^ Value of the security was determined using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security.
See Notes to Financial Statements
59
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60
Statements of Asset and Liabilities (Unaudited)
Neuberger Berman Alternative Funds
FLEXIBLE SELECT FUND | GLOBAL ALLOCATION FUND | INFLATION MANAGED FUNDa | |||||||||||||
April 30, 2015 | April 30, 2015 | April 30, 2015 | |||||||||||||
Assets | |||||||||||||||
Investments in securities, at value*† (Notes A & F)—see Schedule of Investments: | |||||||||||||||
Unaffiliated issuers | $ | 95,995,446 | $ | 18,293,823 | $ | 12,466,507 | |||||||||
Affiliated issuers | 4,994,263 | 10,327,965 | 5,249,635 | ||||||||||||
100,989,709 | 28,621,788 | 17,716,142 | |||||||||||||
Foreign currency* | — | 128,458 | 17,293 | ||||||||||||
Cash collateral segregated for short sales (Note A-11) | — | 1,150,000 | — | ||||||||||||
Cash collateral segregated for futures contracts (Note A-14) | — | 167,849 | 82,885 | ||||||||||||
Cash collateral segregated for option contracts (Note A-14) | — | — | — | ||||||||||||
Dividends and interest receivable | 97,775 | 58,245 | 35,124 | ||||||||||||
Receivable for securities sold | 331,320 | 54,067 | 10,608 | ||||||||||||
Receivable for Fund shares sold | — | 107,125 | — | ||||||||||||
Receivable from Management—net (Note B) | 9,967 | 32,271 | 29,908 | ||||||||||||
Cash collateral for securities loaned (Note A-12) | — | 234,564 | — | ||||||||||||
Receivable for variation margin (Note A-14) | — | 12,783 | 10,878 | ||||||||||||
Receivable for open forward foreign currency contracts (Note A-14) | — | 132,727 | — | ||||||||||||
Prepaid expenses and other assets | 30,675 | 40,682 | 38,400 | ||||||||||||
Total Assets | 101,459,446 | 30,740,559 | 17,941,238 | ||||||||||||
Liabilities | |||||||||||||||
Investments sold short, at value** (Note A) | — | 2,454,535 | — | ||||||||||||
Interest payable for short sales | — | 4,752 | — | ||||||||||||
Payable for collateral on securities loaned (Note A-12) | — | 234,564 | — | ||||||||||||
Payable to investment manager—net (Notes A & B) | 48,955 | 8,214 | 6,488 | ||||||||||||
Option contracts written, at value*** (Note A-14) | — | — | — | ||||||||||||
Payable for securities purchased | 421,826 | 237,124 | 11,787 | ||||||||||||
Payable for Fund shares redeemed | — | 35,395 | 25,000 | ||||||||||||
Payable to administrator—net (Note B) | — | — | — | ||||||||||||
Payable to trustees | 1,118 | 1,119 | 1,119 | ||||||||||||
Payable for organization costs | — | — | — | ||||||||||||
Payable for open forward foreign currency contracts (Note A-14) | — | 140,172 | — | ||||||||||||
Accrued expenses and other payables | 86,503 | 104,440 | 94,086 | ||||||||||||
Total Liabilities | 558,402 | 3,220,315 | 138,480 | ||||||||||||
Net Assets | $ | 100,901,044 | $ | 27,520,244 | $ | 17,802,758 | |||||||||
Net Assets consist of: | |||||||||||||||
Paid-in capital | $ | 87,125,717 | $ | 26,303,570 | $ | 17,206,697 | |||||||||
Undistributed net investment income (loss) | 107,730 | — | — | ||||||||||||
Distributions in excess of net investment income | — | (494,646 | ) | (49,141 | ) | ||||||||||
Accumulated net realized gains (losses) on investments | 1,706,702 | 757,365 | 84,888 | ||||||||||||
Net unrealized appreciation (depreciation) in value of investments | 11,960,895 | 953,955 | 560,314 | ||||||||||||
Net Assets | $ | 100,901,044 | $ | 27,520,244 | $ | 17,802,758 | |||||||||
Net Assets | |||||||||||||||
Institutional Class | 100,070,348 | 11,024,400 | 15,331,340 | ||||||||||||
Class A | 658,258 | 9,237,890 | 2,060,816 | ||||||||||||
Class C | 172,438 | 7,257,954 | 410,602 | ||||||||||||
Class R6 | — | — | — |
See Notes to Financial Statements
61
Statements of Asset and Liabilities (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
FLEXIBLE SELECT FUND | GLOBAL ALLOCATION FUND | INFLATION MANAGED FUNDa | |||||||||||||
April 30, 2015 | April 30, 2015 | April 30, 2015 | |||||||||||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | |||||||||||||||
Institutional Class | 8,331,490 | 998,678 | 1,446,889 | ||||||||||||
Class A | 54,972 | 840,052 | 195,198 | ||||||||||||
Class C | 14,496 | 668,762 | 39,264 | ||||||||||||
Class R6 | — | — | — | ||||||||||||
Net Asset Value, offering and redemption price per share | |||||||||||||||
Institutional Class | $ | 12.01 | $ | 11.04 | $ | 10.60 | |||||||||
Class R6 | — | — | — | ||||||||||||
Net Asset Value and redemption price per share | |||||||||||||||
Class A | $ | 11.97 | $ | 11.00 | $ | 10.56 | |||||||||
Offering Price per share | |||||||||||||||
Class A‡ | $ | 12.70 | $ | 11.67 | $ | 11.20 | |||||||||
Net Asset Value and offering price per share | |||||||||||||||
Class C^ | $ | 11.90 | $ | 10.85 | $ | 10.46 | |||||||||
†Securities on loan, at value: | |||||||||||||||
Unaffiliated issuers | $ | — | $ | 229,233 | $ | — | |||||||||
*Cost of Investments: | |||||||||||||||
Unaffiliated issuers | $ | 84,140,594 | $ | 17,858,211 | $ | 11,513,700 | |||||||||
Affiliated issuers | 4,888,239 | 9,772,157 | 5,662,381 | ||||||||||||
Total cost of investments | $ | 89,028,833 | $ | 27,630,368 | $ | 17,176,081 | |||||||||
Total cost of foreign currency | $ | — | $ | 124,468 | $ | 17,889 | |||||||||
**Proceeds from investments sold short | $ | — | $ | 2,391,793 | $ | — | |||||||||
***Premium received from option contracts written | $ | — | $ | — | $ | — |
‡ On single retail sales of less than $50,000. On sales of $50,000 or more or in certain other circumstances described in the Fund's prospectus, offering price is reduced.
^ Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
a Formerly Inflation Navigator Fund. See Note A of Notes to Financial Statements.
See Notes to Financial Statements
62
Statements of Asset and Liabilities (Unaudited) (cont'd)
Neuberger Berman Alternative Funds
LONG SHORT FUND | MULTI-ASSET INCOME FUND | ||||||||||
April 30, 2015 | April 30, 2015 | ||||||||||
Assets | |||||||||||
Investments in securities, at value*† (Notes A & F)—see Schedule of Investments: | |||||||||||
Unaffiliated issuers | $ | 3,261,272,134 | $ | 9,640,584 | |||||||
Affiliated issuers | — | 6,732,047 | |||||||||
3,261,272,134 | 16,372,631 | ||||||||||
Foreign currency* | — | 64 | |||||||||
Cash collateral segregated for short sales (Note A-11) | 513,369,197 | — | |||||||||
Cash collateral segregated for futures contracts (Note A-14) | 21,719,060 | — | |||||||||
Cash collateral segregated for option contracts (Note A-14) | 117,180,000 | — | |||||||||
Dividends and interest receivable | 7,885,114 | 51,426 | |||||||||
Receivable for securities sold | 35,051,700 | 27,677 | |||||||||
Receivable for Fund shares sold | 5,547,229 | — | |||||||||
Receivable from Management—net (Note B) | — | 15,169 | |||||||||
Cash collateral for securities loaned (Note A-12) | — | — | |||||||||
Receivable for variation margin (Note A-14) | 4,944,693 | — | |||||||||
Receivable for open forward foreign currency contracts (Note A-14) | — | 62,833 | |||||||||
Prepaid expenses and other assets | 94,177 | — | |||||||||
Total Assets | 3,967,063,304 | 16,529,800 | |||||||||
Liabilities | |||||||||||
Investments sold short, at value** (Note A) | 483,066,480 | — | |||||||||
Dividends payable for short sales | 215,635 | — | |||||||||
Payable for collateral on securities loaned (Note A-12) | — | — | |||||||||
Payable to investment manager—net (Notes A & B) | 3,096,108 | 3,230 | |||||||||
Option contracts written, at value*** (Note A-14) | 186,000 | — | |||||||||
Payable for securities purchased | 67,978,219 | 75,718 | |||||||||
Payable for Fund shares redeemed | 4,827,455 | 308 | |||||||||
Payable to administrator—net (Note B) | 725,280 | — | |||||||||
Payable to trustees | 1,100 | 3,058 | |||||||||
Payable for organization costs | — | 61,237 | |||||||||
Payable for open forward foreign currency contracts (Note A-14) | — | 60,200 | |||||||||
Accrued expenses and other payables | 518,069 | 27,344 | |||||||||
Total Liabilities | 560,614,346 | 231,095 | |||||||||
Net Assets | $ | 3,406,448,958 | $ | 16,298,705 | |||||||
Net Assets consist of: | |||||||||||
Paid-in capital | $ | 3,172,128,532 | $ | 16,160,649 | |||||||
Undistributed net investment income (loss) | — | 1,933 | |||||||||
Distributions in excess of net investment income | (2,465,443 | ) | — | ||||||||
Accumulated net realized gains (losses) on investments | 18,888,813 | 5,926 | |||||||||
Net unrealized appreciation (depreciation) in value of investments | 217,897,056 | 130,197 | |||||||||
Net Assets | $ | 3,406,448,958 | $ | 16,298,705 | |||||||
Net Assets | |||||||||||
Institutional Class | 2,811,015,314 | 11,234,639 | |||||||||
Class A | 388,394,602 | 507,869 | |||||||||
Class C | 207,039,042 | 508,463 | |||||||||
Class R6 | — | 4,047,734 |
See Notes to Financial Statements
63
Statements of Asset and Liabilities (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
LONG SHORT FUND | MULTI-ASSET INCOME FUND | ||||||||||
April 30, 2015 | April 30, 2015 | ||||||||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | |||||||||||
Institutional Class | 213,146,665 | 1,113,763 | |||||||||
Class A | 29,706,329 | 50,350 | |||||||||
Class C | 16,211,873 | 50,409 | |||||||||
Class R6 | — | 401,294 | |||||||||
Net Asset Value, offering and redemption price per share | |||||||||||
Institutional Class | $ | 13.19 | $ | 10.09 | |||||||
Class R6 | — | 10.09 | |||||||||
Net Asset Value and redemption price per share | |||||||||||
Class A | $ | 13.07 | $ | 10.09 | |||||||
Offering Price per share | |||||||||||
Class A‡ | $ | 13.87 | $ | 10.54 | |||||||
Net Asset Value and offering price per share | |||||||||||
Class C^ | $ | 12.77 | $ | 10.09 | |||||||
†Securities on loan, at value: | |||||||||||
Unaffiliated issuers | $ | — | $ | — | |||||||
*Cost of Investments: | |||||||||||
Unaffiliated issuers | $ | 3,010,514,218 | $ | 9,578,391 | |||||||
Affiliated issuers | — | 6,666,773 | |||||||||
Total cost of investments | $ | 3,010,514,218 | $ | 16,245,164 | |||||||
Total cost of foreign currency | $ | — | $ | 64 | |||||||
**Proceeds from investments sold short | $ | 451,251,107 | $ | — | |||||||
***Premium received from option contracts written | $ | 1,053,980 | $ | — |
‡ On single retail sales of less than $50,000. On sales of $50,000 or more or in certain other circumstances described in the Fund's prospectus, offering price is reduced.
^ Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See Notes to Financial Statements
64
Statements of Operations (Unaudited)
Neuberger Berman Alternative Funds
FLEXIBLE SELECT FUND | GLOBAL ALLOCATION FUND | INFLATION MANAGED FUNDa | |||||||||||||
For the Six Months Ended April 30, 2015 | For the Six Months Ended April 30, 2015 | For the Six Months Ended April 30, 2015 | |||||||||||||
Investment Income: | |||||||||||||||
Income (Note A): | |||||||||||||||
Dividend income—unaffiliated issuers | $ | 726,117 | $ | 142,829 | $ | 120,577 | |||||||||
Dividend income—affiliated issuers (Notes A-16 & F) | 79,279 | 42,864 | 80,579 | ||||||||||||
Interest and other income—unaffiliated issuers | 4 | 6,204 | — | ||||||||||||
Income from securities loaned—net (Note A-12) | — | 1,018 | — | ||||||||||||
Foreign taxes withheld (Note A-6) | (11,029 | ) | (5,237 | ) | (36 | ) | |||||||||
Total income | $ | 794,371 | $ | 187,678 | $ | 201,120 | |||||||||
Expenses: | |||||||||||||||
Investment management fees (Note B) | 296,882 | 90,815 | 63,071 | ||||||||||||
Administration fees (Note B) | 29,688 | 8,383 | 5,822 | ||||||||||||
Administration fees (Note B): | |||||||||||||||
Institutional Class | 44,145 | 5,183 | 7,620 | ||||||||||||
Class A | 691 | 9,498 | 2,105 | ||||||||||||
Class C | 169 | 6,927 | 369 | ||||||||||||
Class R6 | — | — | — | ||||||||||||
Distribution fees (Note B): | |||||||||||||||
Class A | 864 | 11,873 | 2,632 | ||||||||||||
Class C | 843 | 34,638 | 1,844 | ||||||||||||
Shareholder servicing agent fees: | |||||||||||||||
Institutional Class | 3,401 | 690 | 671 | ||||||||||||
Class A | 178 | 1,646 | 394 | ||||||||||||
Class C | 67 | 1,015 | 111 | ||||||||||||
Class R6 | — | — | — | ||||||||||||
Organization expense (Note A-8) | — | — | — | ||||||||||||
Audit fees | 27,770 | 32,084 | 36,448 | ||||||||||||
Custodian and accounting fees | 47,240 | 89,269 | 33,700 | ||||||||||||
Insurance expense | 1,396 | 516 | 249 | ||||||||||||
Legal fees | 57,360 | 62,108 | 65,466 | ||||||||||||
Registration and filing fees | 24,059 | 26,460 | 28,094 | ||||||||||||
Shareholder reports | 1,248 | 2,333 | 1,440 | ||||||||||||
Trustees' fees and expenses | 15,959 | 15,959 | 15,959 | ||||||||||||
Short sales expense (Note A-11) | — | 24,017 | — | ||||||||||||
Dividend expense on securities sold short (Note A-11) | — | 23,449 | — | ||||||||||||
Miscellaneous | 2,760 | 15,760 | 12,810 | ||||||||||||
Total expenses | 554,720 | 462,623 | 278,805 | ||||||||||||
Expenses reimbursed by Management (Note B) | (131,930 | ) | (233,192 | ) | (185,108 | ) | |||||||||
Investment management fees waived (Notes A & B) | (7,570 | ) | (23,108 | ) | (20,381 | ) | |||||||||
Total net expenses | 415,220 | 206,323 | 73,316 | ||||||||||||
Net investment income (loss) | $ | 379,151 | $ | (18,645 | ) | $ | 127,804 |
See Notes to Financial Statements
65
Statements of Operations (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
FLEXIBLE SELECT FUND | GLOBAL ALLOCATION FUND | INFLATION MANAGED FUNDa | |||||||||||||
For the Six Months Ended April 30, 2015 | For the Six Months Ended April 30, 2015 | For the Six Months Ended April 30, 2015 | |||||||||||||
Realized and Unrealized Gain (Loss) on Investments (Note A): | |||||||||||||||
Net realized gain (loss) on: | |||||||||||||||
Sales of investment securities of unaffiliated issuers | 1,888,922 | 775,574 | 320,980 | ||||||||||||
Sales of investment securities of affiliated issuers | 24,294 | 19,294 | (99,133 | ) | |||||||||||
Sales of investment securities of unaffiliated issuers sold short | — | (502,813 | ) | — | |||||||||||
Realized gain distributions from affiliated issuers | 11,723 | — | 7,209 | ||||||||||||
Forward foreign currency contracts | — | (1,194 | ) | — | |||||||||||
Foreign currency | 415 | (59,112 | ) | 3,967 | |||||||||||
Financial futures contracts | — | 632,996 | (71,468 | ) | |||||||||||
Option contracts written | — | — | — | ||||||||||||
Total return swap contracts | — | 111,835 | — | ||||||||||||
Change in net unrealized appreciation (depreciation) in value of: | |||||||||||||||
Unaffiliated investment securities | 966,949 | 1,059,377 | (279,954 | ) | |||||||||||
Affiliated investment securities | 4,210 | 555,808 | (182,522 | ) | |||||||||||
Unaffiliated investment securities sold short | — | (669,158 | ) | — | |||||||||||
Forward foreign currency contracts | — | (10,405 | ) | — | |||||||||||
Foreign currency | 138 | 19,582 | (1,222 | ) | |||||||||||
Financial futures contracts | — | (185,656 | ) | 35,531 | |||||||||||
Option contracts written | — | — | — | ||||||||||||
Total return swap contracts | — | (456,795 | ) | — | |||||||||||
Net gain (loss) on investments | 2,896,651 | 1,289,333 | (266,612 | ) | |||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 3,275,802 | $ | 1,270,688 | $ | (138,808 | ) |
a Formerly Inflation Navigator Fund. See Note A of Notes to Financial Statements.
See Notes to Financial Statements
66
Statements of Operations (Unaudited) (cont'd)
Neuberger Berman Alternative Funds
LONG SHORT FUND | MULTI-ASSET INCOME FUND | ||||||||||
For the Six Months Ended April 30, 2015 | Period from March 27, 2015 (Commencement of Operations) to April 30, 2015 | ||||||||||
Investment Income: | |||||||||||
Income (Note A): | |||||||||||
Dividend income—unaffiliated issuers | $ | 18,670,778 | $ | 27,951 | |||||||
Dividend income—affiliated issuers (Notes A-16 & F) | — | 26,773 | |||||||||
Interest and other income—unaffiliated issuers | 16,002,734 | 6,267 | |||||||||
Income from securities loaned-net (Note A-12) | — | — | |||||||||
Foreign taxes withheld (Note A-6) | (286,606 | ) | (1,350 | ) | |||||||
Total income | $ | 34,386,906 | $ | 59,641 | |||||||
Expenses: | |||||||||||
Investment management fees (Note B) | 18,240,273 | 6,874 | |||||||||
Administration fees (Note B) | 990,384 | 917 | |||||||||
Administration fees (Note B): | |||||||||||
Institutional Class | 1,216,539 | 940 | |||||||||
Class A | 389,098 | 102 | |||||||||
Class C | 208,763 | 102 | |||||||||
Class R6 | — | 77 | |||||||||
Distribution fees (Note B): | |||||||||||
Class A | 486,372 | 121 | |||||||||
Class C | 1,043,815 | 485 | |||||||||
Shareholder servicing agent fees: | |||||||||||
Institutional Class | 128,024 | 322 | |||||||||
Class A | 45,054 | 253 | |||||||||
Class C | 15,727 | 253 | |||||||||
Class R6 | — | 277 | |||||||||
Organization expense (Note A-8) | — | 61,237 | |||||||||
Audit fees | 16,265 | 4,795 | |||||||||
Custodian and accounting fees | 256,338 | 8,596 | |||||||||
Insurance expense | 36,712 | — | |||||||||
Legal fees | 59,857 | 10,255 | |||||||||
Registration and filing fees | 250,759 | 740 | |||||||||
Shareholder reports | 91,594 | 3,196 | |||||||||
Trustees' fees and expenses | 15,959 | 3,058 | |||||||||
Short sales expense (Note A-11) | 1,504,391 | — | |||||||||
Dividend expense on securities sold short (Note A-11) | 4,267,785 | — | |||||||||
Miscellaneous | 70,691 | 323 | |||||||||
Total expenses | 29,334,400 | 102,923 | |||||||||
Expenses reimbursed by Management (Note B) | — | (92,541 | ) | ||||||||
Investment management fees waived (Note A) | — | (3,543 | ) | ||||||||
Total net expenses | 29,334,400 | 6,839 | |||||||||
Net investment income (loss) | $ | 5,052,506 | $ | 52,802 |
See Notes to Financial Statements
67
Statements of Operations (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
LONG SHORT FUND | MULTI-ASSET INCOME FUND | ||||||||||
For the Six Months Ended April 30, 2015 | Period from March 27, 2015 (Commencement of Operations) to April 30, 2015 | ||||||||||
Realized and Unrealized Gain (Loss) on Investments (Note A): | |||||||||||
Net realized gain (loss) on: | |||||||||||
Sales of investment securities of unaffiliated issuers | 26,717,507 | 3,384 | |||||||||
Sales of investment securities of affiliated issuers | — | — | |||||||||
Sales of investment securities of unaffiliated issuers sold short | — | — | |||||||||
Realized gain distributions from affiliated issuers | — | — | |||||||||
Forward foreign currency contracts | — | 2,190 | |||||||||
Foreign currency | 205 | 352 | |||||||||
Financial futures contracts | (20,261,724 | ) | — | ||||||||
Option contracts written | 780,543 | — | |||||||||
Total return swap contracts | — | — | |||||||||
Change in net unrealized appreciation (depreciation) in value of: | |||||||||||
Unaffiliated investment securities | 38,712,221 | 62,193 | |||||||||
Affiliated investment securities | — | 65,274 | |||||||||
Unaffiliated investment securities sold short | (200,153 | ) | — | ||||||||
Forward foreign currency contracts | — | 2,633 | |||||||||
Foreign currency | — | 97 | |||||||||
Financial futures contracts | 7,082,169 | — | |||||||||
Option contracts written | 708,091 | — | |||||||||
Total return swap contracts | — | — | |||||||||
Net gain (loss) on investments | 53,538,859 | 136,123 | |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 58,591,365 | $ | 188,925 |
See Notes to Financial Statements
68
Statements of Changes in Net Assets
Neuberger Berman Alternative Funds
FLEXIBLE SELECT FUND | GLOBAL ALLOCATION FUND | INFLATION MANAGED FUNDa | LONG SHORT FUND | MULTI-ASSET INCOME FUND | |||||||||||||||||||||||||||||||||||
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | Period from March 27, 2015 (Commencement of Operations) to April 30, 2015 (Unaudited) | |||||||||||||||||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||||||||||||||||||||||
From Operations (Note A): | |||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 379,151 | $ | 900,336 | $ | (18,645 | ) | $ | (460,298 | ) | $ | 127,804 | $ | 265,509 | $ | 5,052,506 | $ | 130,674 | $ | 52,802 | |||||||||||||||||||
Net realized gain (loss) on investments | 1,925,354 | 1,759,644 | 976,580 | 2,308,067 | 161,555 | (38,105 | ) | 7,236,531 | 19,939,826 | 5,926 | |||||||||||||||||||||||||||||
Net increase from payments by affiliates (Note B) | — | — | — | 10,922 | — | — | — | 60,836 | — | ||||||||||||||||||||||||||||||
Change in net unrealized appreciation (depreciation) of investments | 971,297 | 7,109,249 | 312,753 | (1,689,740 | ) | (428,167 | ) | 622,153 | 46,302,328 | 88,112,575 | 130,197 | ||||||||||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 3,275,802 | 9,769,229 | 1,270,688 | 168,951 | (138,808 | ) | 849,557 | 58,591,365 | 108,243,911 | 188,925 | |||||||||||||||||||||||||||||
Distributions to Shareholders From (Note A): | |||||||||||||||||||||||||||||||||||||||
Net investment income: | |||||||||||||||||||||||||||||||||||||||
Institutional Class | (969,549 | ) | (335,177 | ) | (291,025 | ) | (1,423,702 | ) | (160,335 | ) | (332,927 | ) | (5,407,991 | ) | — | (35,245 | ) | ||||||||||||||||||||||
Class A | (5,661 | ) | (302 | ) | (213,455 | ) | (632,740 | ) | (17,710 | ) | (1,920 | ) | — | — | (1,444 | ) | |||||||||||||||||||||||
Class C | (320 | ) | (17 | ) | (119,683 | ) | (373,622 | ) | (1,928 | ) | (1,167 | ) | — | — | (1,124 | ) | |||||||||||||||||||||||
Class R6 | — | — | — | — | — | — | — | — | (13,056 | ) | |||||||||||||||||||||||||||||
Net realized gain on investments: | |||||||||||||||||||||||||||||||||||||||
Institutional Class | (1,799,899 | ) | — | — | — | — | — | (9,561,658 | ) | (5,606,352 | ) | — | |||||||||||||||||||||||||||
Class A | (12,953 | ) | — | — | — | — | — | (1,445,208 | ) | (2,452,314 | ) | — | |||||||||||||||||||||||||||
Class C | (3,158 | ) | — | — | — | — | — | (779,780 | ) | (609,411 | ) | — | |||||||||||||||||||||||||||
Total distributions to shareholders | (2,791,540 | ) | (335,496 | ) | (624,163 | ) | (2,430,064 | ) | (179,973 | ) | (336,014 | ) | (17,194,637 | ) | (8,668,077 | ) | (50,869 | ) | |||||||||||||||||||||
From Fund Share Transactions (Note D): | |||||||||||||||||||||||||||||||||||||||
Proceeds from shares sold: | |||||||||||||||||||||||||||||||||||||||
Institutional Class | 55,672 | 8,535 | 1,534,558 | 3,525,689 | 1,778,664 | 1,024,850 | 628,288,274 | 2,043,724,867 | 11,105,000 | ||||||||||||||||||||||||||||||
Class A | 123,768 | 540,373 | 1,217,423 | 7,858,510 | 359,917 | 2,379,608 | 79,392,013 | 405,081,481 | 502,101 | ||||||||||||||||||||||||||||||
Class C | 31,250 | 18,500 | 1,013,501 | 4,320,936 | 110,000 | 199,190 | 24,814,933 | 112,535,003 | 503,000 | ||||||||||||||||||||||||||||||
Class R6 | — | — | — | — | — | — | — | — | 4,000,000 | ||||||||||||||||||||||||||||||
Proceeds from reinvestment of dividends and distributions: | |||||||||||||||||||||||||||||||||||||||
Institutional Class | 2,769,448 | 335,177 | 288,150 | 1,413,385 | 160,335 | 332,927 | 9,519,935 | 4,822,872 | 35,245 | ||||||||||||||||||||||||||||||
Class A | 18,353 | 302 | 196,325 | 502,685 | 17,499 | 1,920 | 1,289,389 | 2,249,144 | 1,444 | ||||||||||||||||||||||||||||||
Class C | 3,478 | 17 | 112,130 | 359,737 | 1,928 | 1,167 | 570,226 | 466,547 | 1,124 | ||||||||||||||||||||||||||||||
Class R6 | — | — | — | — | — | — | — | — | 13,056 | ||||||||||||||||||||||||||||||
Payments for shares redeemed: | |||||||||||||||||||||||||||||||||||||||
Institutional Class | — | (162,561 | ) | (3,524,429 | ) | (8,502,926 | ) | (3,217,062 | ) | (932,595 | ) | (489,352,633 | ) | (526,844,014 | ) | (321 | ) | ||||||||||||||||||||||
Class A | (124,306 | ) | (76,021 | ) | (1,958,144 | ) | (6,038,449 | ) | (471,135 | ) | (281,537 | ) | (85,671,144 | ) | (546,927,034 | ) | — | ||||||||||||||||||||||
Class C | — | — | (1,028,855 | ) | (2,120,187 | ) | — | — | (31,194,691 | ) | (22,735,877 | ) | — | ||||||||||||||||||||||||||
Net increase (decrease) from Fund share transactions | 2,877,663 | 664,322 | (2,149,341 | ) | 1,319,380 | (1,259,854 | ) | 2,725,530 | 137,656,302 | 1,472,372,989 | 16,160,649 | ||||||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | 3,361,925 | 10,098,055 | (1,502,816 | ) | (941,733 | ) | (1,578,635 | ) | 3,239,073 | 179,053,030 | 1,571,948,823 | 16,298,705 | |||||||||||||||||||||||||||
Net Assets: | |||||||||||||||||||||||||||||||||||||||
Beginning of period | 97,539,119 | 87,441,064 | 29,023,060 | 29,964,793 | 19,381,393 | 16,142,320 | 3,227,395,928 | 1,655,447,105 | — | ||||||||||||||||||||||||||||||
End of period | $ | 100,901,044 | $ | 97,539,119 | $ | 27,520,244 | $ | 29,023,060 | $ | 17,802,758 | $ | 19,381,393 | $ | 3,406,448,958 | $ | 3,227,395,928 | $ | 16,298,705 | |||||||||||||||||||||
Undistributed net investment income (loss) at end of period | $ | 107,730 | $ | 704,109 | $ | — | $ | 148,162 | $ | — | $ | 3,028 | $ | — | $ | — | $ | 1,933 | |||||||||||||||||||||
Distributions in excess of net investment income at end of period | $ | — | $ | — | $ | (494,646 | ) | $ | — | $ | (49,141 | ) | $ | — | $ | (2,465,443 | ) | $ | (2,109,958 | ) | $ | — |
a Formerly Inflation Navigator Fund. See Note A of Notes to Financial Statements.
See Notes to Financial Statements
69
70
Notes to Financial Statements Alternative Funds (Unaudited)
Note A—Summary of Significant Accounting Policies:
1 General: Neuberger Berman Alternative Funds (the "Trust") is a Delaware statutory trust organized pursuant to an Amended and Restated Trust Instrument dated March 27, 2014. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"), and its shares are registered under the Securities Act of 1933, as amended (the "1933 Act"). Each Fund is a separate operating series of the Trust. Under the 1940 Act, the status of a Fund that was registered as non-diversified may, under certain circumstances, change to that of a diversified Fund (Global Allocation and Long Short became diversified in December 2013 and December 2014, respectively). Flexible Select, Inflation Managed and Multi-Asset Income are each diversified. Inflation Managed had no operations until December 19, 2012, other than matters relating to its organization and its registration of shares under the 1933 Act. Flexible Select had no operations until May 31, 2013, other than matters relating to its organization and its registration of shares under the 1933 Act. Multi-Asset Income had no operations until March 27, 2015, other than matters relating to its organization and its registration of shares under the 1933 Act. Each Fund offers Institutional Class shares, Class A shares and Class C shares. Multi-Asset Income also offers Class R6. The Board may establish additional series or classes of shares without the approval of shareholders. Effective February 28, 2015, Neuberger Berman Inflation Navigator Fund changed its name to Neuberger Berman Inflation Managed Fund.
The assets of each Fund belong only to that Fund, and the liabilities of each Fund are borne solely by that Fund and no other.
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 "Financial Services—Investment Companies."
The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("GAAP") requires Management to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates.
2 Portfolio valuation: Investment securities are valued as indicated in the notes following the Funds' Schedule of Investments.
3 Foreign currency translation: The accounting records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars using the exchange rate as of the end of regular trading on the NYSE on business days, usually 4:00 p.m. Eastern time, to determine the value of investments, other assets and liabilities. Purchase and sale prices of securities, and income and expenses, are translated into U.S. dollars at the prevailing rate of exchange on the respective dates of such transactions. Net unrealized foreign currency gain (loss), if any, arises from changes in the value of assets and liabilities, other than investments in securities, as a result of changes in exchange rates and is stated separately in the Statements of Operations.
4 Securities transactions and investment income: Securities transactions are recorded on trade date for financial reporting purposes. Dividend income is recorded on the ex-dividend date or, for certain foreign dividends, as soon as the Fund becomes aware of the dividends. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income, including accretion of discount on securities, accretion of original issue discount, where applicable, and accretion of discount on short-term investments, if any, is recorded on the accrual basis. Realized gains and losses from securities transactions and foreign currency transactions, if any, are recorded on the basis of identified cost and stated separately in the Statements of Operations.
5 Income tax information: Each Fund is treated as a separate entity for U.S. federal income tax purposes. It is the policy of each of Flexible Select, Global Allocation, Inflation Managed and Long Short to continue to, and the
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intention of Multi-Asset Income to, qualify for treatment as a regulated investment company by complying with the requirements of the U.S. Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its net investment income and net realized capital gains to its shareholders. To the extent a Fund distributes substantially all of its net investment income and net realized capital gains to shareholders, no federal income or excise tax provision is required.
The Funds have adopted the provisions of ASC 740 "Income Taxes" ("ASC 740"). ASC 740 sets forth a minimum threshold for financial statement recognition of a tax position taken, or expected to be taken, in a tax return. The Funds recognize interest and penalties, if any, related to unrecognized tax positions as an income tax expense in the Statements of Operations. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the tax years for which the applicable statutes of limitations have not yet expired. As of April 30, 2015, the Funds did not have any unrecognized tax positions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities held by each Fund, timing differences and differing characterization of distributions made by each Fund.
As determined on October 31, 2014, permanent differences resulting primarily from different book and tax accounting were reclassified at year end. Such differences may be attributed to the tax treatment of one or more of the following: gains and losses from passive foreign investment companies (PFICs), swaps, foreign currencies, foreign futures and partnerships; net operating losses written off or netted against short term gains; non-deductible stock issuance costs and excise taxes; distributions from real estate investment trusts (REITs); capitalized dividends on short sales; and deflation adjustments on U.S. Treasury inflation protected bonds (TIPs). These reclassifications had no effect on net income, net asset value ("NAV") or NAV per share of each Fund. For the year ended October 31, 2014, the Funds recorded the following permanent reclassifications:
Paid-in Capital | Undistributed Net Investment Income (Loss) | Accumulated Net Realized Gains (Losses) on Investments | |||||||||||||
Flexible Select | $ | 1 | $ | 4,601 | $ | (4,602 | ) | ||||||||
Global Allocation | (9,938 | ) | 1,239,983 | (1,230,045 | ) | ||||||||||
Inflation Managed | (1,120 | ) | (83,874 | ) | 84,994 | ||||||||||
Long Short | (467,617 | ) | (2,198,018 | ) | 2,665,635 |
The tax character of distributions paid during the years ended October 31, 2014 and October 31, 2013 was as follows:
Distributions Paid From: | |||||||||||||||||||||||||||||||||||||||||||
Ordinary Income | Tax-Exempt Income | Long-Term Capital Gain | Return of Capital | Total | |||||||||||||||||||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | 2014 | 2013 | 2014 | 2013 | 2014 | 2013 | ||||||||||||||||||||||||||||||||||
Flexible Select | $ | 335,496 | $ | — | (2) | $ | — | $ | — | (2) | $ | — | $ | — | (2) | $ | — | $ | — | (2) | $ | 335,496 | $ | — | (2) | ||||||||||||||||||
Global Allocation | 2,430,064 | 231,962 | — | — | — | — | — | — | 2,430,064 | 231,962 | |||||||||||||||||||||||||||||||||
Inflation Managed | 336,014 | — | (1) | — | — | (1) | — | — | (1) | — | — | (1) | 336,014 | — | (1) | ||||||||||||||||||||||||||||
Long Short | 7,970,437 | 1,285,427 | — | — | 697,640 | — | — | — | 8,668,077 | 1,285,427 |
(1) Period from December 19, 2012 (Commencement of Operations) to October 31, 2013.
(2) Period from May 31, 2013 (Commencement of Operations) to October 31, 2013.
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As of October 31, 2014, the components of distributable earnings (accumulated losses) on a U.S. federal income tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gain | Unrealized Appreciation (Depreciation) | Loss Carryforwards and Deferrals | Other Temporary Differences | Total | ||||||||||||||||||||||
Flexible Select | $ | 1,367,185 | $ | 1,190,435 | $ | 10,757,748 | $ | — | $ | (24,303 | ) | $ | 13,291,065 | ||||||||||||||
Global Allocation | 624,099 | — | 27,489 | (68,747 | ) | (12,692 | ) | 570,149 | |||||||||||||||||||
Inflation Managed | 4,215 | — | 1,142,120 | (204,754 | ) | (26,739 | ) | 914,842 | |||||||||||||||||||
Long Short | — | 12,748,561 | 182,285,095 | (2,070,580 | ) | (39,378 | ) | 192,923,698 |
The differences between book basis and tax basis distributable earnings are primarily due to: losses disallowed and recognized on wash sales, straddles and unsettled short sales; mark-to-market adjustments on PFICs, swaps, futures contracts and forward contracts; adjustments related to partnerships, REITs and TIPs; deferral of "late year ordinary loss" (as defined in the Internal Revenue Code of 1986, as amended); and amortization of organizational costs.
To the extent each Fund's net realized capital gains, if any, can be offset by capital loss carryforwards, it is the policy of each Fund not to distribute such gains. For taxable years beginning after December 22, 2010, the capital loss carryforward rules allow for regulated investment companies to carry forward capital losses indefinitely and to retain the character of capital loss carryforwards as short-term or long-term. As determined at October 31, 2014, the Funds had unused capital loss carryforwards available for federal income tax purposes to offset net realized capital gains, if any, as follows:
Capital Loss Carryforwards (No Expiration Date) | |||||||||||
Long-Term | Short-Term | ||||||||||
Global Allocation | $ | — | $ | 68,747 | |||||||
Inflation Managed | — | 204,754 |
During the year ended October 31, 2014, Flexible Select and Global Allocation utilized capital loss carryforwards of $54,983 and $669,860, respectively.
Under current tax regulations, capital losses realized on investment transactions after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. Under the Act, the Funds may also defer any realized late-year ordinary losses as occurring on the first day of the following fiscal year. Late-year ordinary losses represent ordinary losses realized on investment transactions after December 31 and specified losses (ordinary losses from the sale, exchange, or other disposition of property, net foreign currency losses and net passive foreign investment company mark to market losses) realized on investment transactions after October 31. For the year ended October 31, 2014, Long Short elected to defer the following late-year ordinary losses:
Late-Year Ordinary Loss | |||||||
Deferral | |||||||
Long Short | $ | 2,070,580 |
6 Foreign taxes: Foreign taxes withheld, if any, represent amounts withheld by foreign tax authorities, net of refunds recoverable.
7 Distributions to shareholders: Each Fund may earn income, net of expenses, daily on its investments. Distributions from net investment income and net realized capital gains, if any, generally are distributed once a year (usually in December) and are recorded on the ex-date.
It is the policy of each of Flexible Select, Inflation Managed and Long Short to pass through to its shareholders substantially all REIT distributions and other income it receives, less operating expenses. The distributions
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received from REITs held by Flexible Select, Inflation Managed and Long Short are generally composed of income, capital gains, and/or return of REIT capital, but the REITs do not report this information to Flexible Select, Inflation Managed and Long Short until the following calendar year. At October 31, 2014, Flexible Select, Inflation Managed and Long Short estimated these amounts within the financial statements because the information is not available from the REITs until after each Fund's fiscal year-end. At April 30, 2015, Flexible Select, Inflation Managed and Long Short estimated these amounts for the period January 1, 2015 to April 30, 2015 within the financial statements because the 2015 information is not available from the REITs until after each Fund's fiscal period. For the year ended October 31, 2014, the character of distributions paid to shareholders of Flexible Select, Inflation Managed and Long Short disclosed within the Statements of Changes in Net Assets is based on estimates made at that time. All estimates are based upon REIT information sources available to Flexible Select, Inflation Managed and Long Short together with actual IRS Forms 1099-DIV received to date. Based on past experience it is possible that a portion of Flexible Select's, Inflation Managed's and Long Short's distributions during the current fiscal year will be considered tax return of capital, but the actual amount of the tax return of capital, if any, is not determinable until after each Fund's fiscal year-end. After calendar year-end, when Flexible Select, Inflation Managed and Long Short learn the nature of the distributions paid by REITs during that year, distributions previously identified as income are often recharacterized as return of capital and/or capital gain. After all applicable REITs have informed Flexible Select, Inflation Managed and Long Short of the actual breakdown of distributions paid to Flexible Select, Inflation Managed and Long Short during its fiscal year, estimates previously recorded are adjusted on the books of Flexible Select, Inflation Managed and Long Short to reflect actual results. As a result, the composition of Flexible Select's, Inflation Managed's and Long Short's distributions as reported herein may differ from the final composition determined after calendar year-end and reported to Flexible Select, Inflation Managed and Long Short shareholders on IRS Form 1099-DIV.
8 Organization expenses: Costs incurred by Multi-Asset Income in connection with its organization, which amounted to $61,237 and are reflected in Organization expense in the Statements of Operations, have been expensed as incurred.
9 Expense allocation: Certain expenses are applicable to multiple funds within the complex of related investment companies. Expenses directly attributable to a Fund are charged to that Fund. Expenses of the Trust that are not directly attributable to a particular series of the Trust (e.g., a Fund) are allocated among the series of the Trust, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the series can otherwise be made fairly. Expenses borne by the complex of related investment companies, which includes open-end and closed-end investment companies for which Management serves as investment manager, that are not directly attributable to a particular investment company in the complex (e.g., the Trust) or series thereof are allocated among the investment companies or series thereof in the complex on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the investment companies or series thereof in the complex can otherwise be made fairly. Each Fund's expenses (other than those specific to each class) are allocated proportionally each day among the classes based upon the relative net assets of each class.
10 Investments in foreign securities: Investing in foreign securities may involve certain sovereign and other risks, in addition to the credit and market risks normally associated with domestic securities. These additional risks include the possibility of adverse political and economic developments (including political instability, nationalization, expropriation, or confiscatory taxation) and the potentially adverse effects of unavailability of public information regarding issuers, less governmental supervision and regulation of financial markets, reduced liquidity of certain financial markets, and the lack of uniform accounting, auditing, and financial reporting standards or the application of standards that are different or less stringent than those applied in the United States. Foreign securities also may experience greater price volatility, higher rates of inflation, and delays in settlement.
11 Securities sold short: Each Fund may engage in short sales, which are sales of securities which have been borrowed from a third party on the expectation that the market price will decline. If the price of the securities decreases, a Fund will make a profit by purchasing the securities in the open market at a price lower than the one at which it sold the securities. If the price of the securities increases, a Fund may have to cover its short positions at
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a price higher than the short sale price, resulting in a loss. Gains are limited to the price at which a Fund sold the security short, while losses are potentially unlimited in size. The Funds pledge securities and/or other assets, which may include cash collateral from securities lending activities, to the lender as collateral. Proceeds received from short sales may be maintained by the lender as collateral or may be released to the Funds and used to purchase additional securities or for any other purpose. Proceeds maintained by the lender are included in the "Cash collateral segregated for short sales" on the Statements of Assets and Liabilities. The Funds are required to segregate an amount of cash, cash equivalents or other appropriate liquid marketable securities with the custodian in an amount at least equal to the current market value of the securities sold short (less any additional collateral held by the lender) and, for Global Allocation, the amount of any securities lending cash collateral used to finance short sales until the Fund replaces a borrowed security. The Funds are contractually responsible to the lender for any dividends and interest payable on securities while those securities are in a short position. These dividends and interest are recorded as an expense of the Funds and are excluded from the contractual expense limitation. At April 30, 2015, Global Allocation had pledged cash in the amount of $1,150,000 to State Street Bank and Trust Company ("State Street"), as collateral for short sales, in addition to cash collateral received from securities lending activities for the Fund. In addition, State Street has a perfected security interest in these Global Allocation assets. At April 30, 2015, Long Short had pledged cash in the amount of $513,369,197 to State Street to cover collateral requirements for borrowing in connection with securities sold short.
12 Security lending: Global Allocation, Long Short and Multi-Asset Income, using State Street as its lending agent, may loan securities to qualified brokers and dealers in exchange for negotiated lender's fees. These fees disclosed within the Statements of Operations under the caption, "Income from securities loaned-net" are net of expenses retained by State Street as compensation for its services as lending agent. For the six months ended April 30, 2015, Global Allocation received net income under the securities lending arrangement of $1,018. The Funds receive cash collateral at the beginning of each transaction equal to at least 102% of the prior day's market value of the loaned securities (105% in the case of international securities). Some or all of the cash collateral may be used to finance short sales. As of April 30, 2015, approximately 100% of the cash collateral received by Global Allocation was used to finance short sales.
As of April 30, 2015, Global Allocation had outstanding loans of securities to certain approved brokers for which it received collateral as follows:
Value of Loaned Securities | Value of Collateral | ||||||||||
Global Allocation | $ | 229,233 | $ | 234,564 |
13 Investment company securities and exchange-traded funds: The Funds may invest in shares of other registered investment companies, including exchange-traded funds ("ETFs"), within the limitations prescribed by the 1940 Act or pursuant to an exemptive order from the Securities and Exchange Commission ("SEC") that permits the Funds to invest in both affiliated and unaffiliated investment companies, including exchange-traded funds, in excess of the limits in Section 12(d)(1)(A) of the 1940 Act, as amended, subject to the terms and conditions of such order (see Note A-16 for more information about the exemptive order). Some ETFs seek to track the performance of a particular market index. These indices include both broad-based market indices and more narrowly-based indices, including those relating to particular sectors, markets, regions or industries. However, some ETFs have an actively-managed investment objective. ETF shares are traded like traditional equity securities on a national securities exchange or NASDAQ. A Fund will indirectly bear its proportionate share of any management fees and other expenses paid by such other investment companies, which will increase expenses and decrease returns.
14 Derivative instruments: During the six months ended April 30, 2015, the Funds' use of derivatives, as described below for each Fund, except for Flexible Select (which did not engage in any derivative use), was limited to total return swaps, financial futures contracts, forward foreign currency contracts, and purchased and written option transactions. The Funds have adopted the provisions of ASC 815 "Derivatives and Hedging" ("ASC 815"). The disclosure requirements of ASC 815 distinguish between derivatives that qualify for hedge accounting and those
75
that do not. Because investment companies value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting. Accordingly, even though a Fund's investments in derivatives may represent economic hedges, they are considered non-hedge transactions for purposes of this disclosure.
Total return swap contracts: During the six months ended April 30, 2015, Global Allocation used total return swaps to provide investment exposure to the benchmark indices (which were 50% MSCI World Index and 50% J.P. Morgan Global Government Bond Index at the time Global Allocation used total return swaps). Total return swaps involve commitments to pay fixed or floating rate interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the reference security or index underlying the total return swap exceeds or falls short of the offsetting interest rate obligation, a Fund will receive a payment or make a payment to the counterparty, respectively. Certain risks may arise when entering into total return swap transactions, including counterparty default, liquidity or unfavorable changes in the value of the underlying reference security or index. The value of the swap is adjusted daily and the change in value, if any, is recorded as unrealized appreciation or depreciation in the Statements of Assets and Liabilities. Payments received or made at the end of each measurement period are recorded as realized gain or loss in the Statements of Operations.
At April 30, 2015, there were no total return swap contracts outstanding for Global Allocation.
For the six months ended April 30, 2015, the average notional value of total return swap contracts for Global Allocation was $13,369,705.
Financial futures contracts: During the six months ended April 30, 2015, Global Allocation used financial futures contracts in an effort to enhance returns and to manage or adjust the risk profile and the investment exposure of the Fund to certain asset classes, countries and regions. In addition, Global Allocation also utilized financial futures contracts to provide investment exposure to certain indices and markets other than the benchmark indices. During the six months ended April 30, 2015, Inflation Managed used financial futures contracts for economic hedging purposes, including as a maturity or duration management device. During the six months ended April 30, 2015, Long Short used financial futures contracts on the broader market index and U.S. Treasuries in an effort either to enhance returns or to manage or adjust the risk profile and the investment exposure of the Fund.
At the time a Fund enters into a financial futures contract, it is required to deposit with the futures commission merchant a specified amount of cash or liquid securities, known as "initial margin," which is a percentage of the value of the financial futures contract being traded that is set by the exchange upon which the futures contract is traded. Each day, the futures contract is valued at the official settlement price of the board of trade or U.S. commodity exchange on which such futures contract is traded. Subsequent payments, known as "variation margin," to and from the broker are made on a daily basis, or as needed, as the market price of the financial futures contract fluctuates. Daily variation margin adjustments, arising from this "mark to market," are recorded by a Fund as unrealized gains or losses.
Although some financial futures contracts by their terms call for actual delivery or acquisition of the underlying securities or currency, in most cases the contracts are closed out prior to delivery by offsetting purchases or sales of matching financial futures contracts. When the contracts are closed, a Fund recognizes a gain or loss. Risks of entering into futures contracts include the possibility there may be an illiquid market, possibly at a time of rapidly declining prices, and/or a change in the value of the contract may not correlate with changes in the value of the underlying securities. Futures executed on regulated futures exchanges have minimal counterparty risk to a Fund because the exchange's clearinghouse assumes the position of the counterparty in each transaction. Thus, a Fund is exposed to risk only in connection with the clearinghouse and not in connection with the original counterparty to the transaction.
For U.S. federal income tax purposes, the futures transactions undertaken by a Fund may cause that Fund to recognize gains or losses from marking contracts to market even though its positions have not been sold or terminated, may affect the character of the gains or losses recognized as long-term or short-term, and may affect the
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timing of some capital gains and losses realized by the Fund. Also, a Fund's losses on transactions involving futures contracts may be deferred rather than being taken into account currently in calculating such Fund's taxable income.
At April 30, 2015, open positions in financial futures contracts were as follows:
Fund | Expiration | Open Contracts | Position | Unrealized Appreciation (Depreciation) | |||||||||||||||
Global Allocation | June 2015 | 1 Canadian Treasury Bond, 10 Year | Short | $ | 1,414 | ||||||||||||||
Global Allocation | June 2015 | 1 AUD/USD Currency | Short | (2,287 | ) | ||||||||||||||
Global Allocation | June 2015 | 1 CAD Currency | Short | (2,253 | ) | ||||||||||||||
Global Allocation | June 2015 | 1 CHF Currency | Short | (7,071 | ) | ||||||||||||||
Global Allocation | June 2015 | 2 Euro-Schatz | Short | (37 | ) | ||||||||||||||
Global Allocation | June 2015 | 6 GBP Currency | Short | (3,918 | ) | ||||||||||||||
Global Allocation | June 2015 | 1 NZD Currency | Short | (823 | ) | ||||||||||||||
Global Allocation | June 2015 | 2 UK Long Gilt Bond | Short | 817 | |||||||||||||||
Global Allocation | June 2015 | 1 U.S. Treasury Long Bond | Short | 2,166 | |||||||||||||||
Global Allocation | June 2015 | 1 U.S. Treasury Note, 2 Year | Short | (1,142 | ) | ||||||||||||||
Global Allocation | June 2015 | 1 U.S. Treasury Note, 5 Year | Short | 69 | |||||||||||||||
Global Allocation | June 2015 | 1 U.S. Treasury Note, 10 Year | Short | (1,443 | ) | ||||||||||||||
Global Allocation | June 2015 | 1 ZAR Currency | Short | 47 | |||||||||||||||
Global Allocation | May 2015 | 9 OMX Stockholm 30 Index | Long | (6,750 | ) | ||||||||||||||
Global Allocation | June 2015 | 1 CAD Currency | Long | 3,363 | |||||||||||||||
Global Allocation | June 2015 | 4 Canadian Treasury Bond, 10 Year | Long | 85 | |||||||||||||||
Global Allocation | June 2015 | 2 Euro-Bund | Long | (67 | ) | ||||||||||||||
Global Allocation | June 2015 | 4 EUR Currency | Long | 20,133 | |||||||||||||||
Global Allocation | June 2015 | 5 FTSE 100 Index | Long | 6,275 | |||||||||||||||
Global Allocation | June 2015 | 1 GBP Currency | Long | 647 | |||||||||||||||
Global Allocation | June 2015 | 5 JPY Currency | Long | 1,136 | |||||||||||||||
Global Allocation | June 2015 | 3 Nikkei 225 Index | Long | 240 | |||||||||||||||
Global Allocation | June 2015 | 2 S&P 500 E-Mini Index | Long | (238 | ) | ||||||||||||||
Global Allocation | June 2015 | 3 TOPIX Index | Long | 15,111 | |||||||||||||||
Global Allocation | June 2015 | 2 U.S. Treasury Note, 2 Year | Long | 1,123 | |||||||||||||||
Global Allocation | December 2015 | 1 New Zealand Treasury Bill, 90 Day | Long | 423 | |||||||||||||||
Total | $ | 27,020 | |||||||||||||||||
Inflation Managed | June 2015 | 1 Mini Japanese Government Bond, 10 Year | Short | $ | (355 | ) | |||||||||||||
Inflation Managed | June 2015 | 2 Canadian Treasury Bond, 10 Year | Short | 2,829 | |||||||||||||||
Inflation Managed | June 2015 | 2 Euro-Bund | Short | (4 | ) | ||||||||||||||
Inflation Managed | June 2015 | 2 MXN Currency | Short | 1,054 | |||||||||||||||
Inflation Managed | June 2015 | 5 NZD Currency | Short | (1,236 | ) | ||||||||||||||
Inflation Managed | June 2015 | 1 SEK Currency | Short | (6,343 | ) | ||||||||||||||
Inflation Managed | June 2015 | 3 U.S. Treasury Note, 10 Year | Short | (6,131 | ) | ||||||||||||||
Inflation Managed | June 2015 | 1 U.S. Treasury Long Bond | Short | (413 | ) | ||||||||||||||
Inflation Managed | June 2015 | 5 U.S. Treasury Bond, Ultra Long | Short | (5,494 | ) | ||||||||||||||
Inflation Managed | June 2015 | 3 ZAR Currency | Short | 141 | |||||||||||||||
Inflation Managed | June 2015 | 2 AUD Currency | Long | (1,463 | ) | ||||||||||||||
Inflation Managed | June 2015 | 3 CAD Currency | Long | 5,432 |
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Fund | Expiration | Open Contracts | Position | Unrealized Appreciation (Depreciation) | |||||||||||||||
Inflation Managed | June 2015 | 4 EUR Currency | Long | $ | 25,089 | ||||||||||||||
Inflation Managed | June 2015 | 1 EuroYen, 3Month | Long | (31 | ) | ||||||||||||||
Inflation Managed | June 2015 | 3 GBP Currency | Long | 1,941 | |||||||||||||||
Inflation Managed | June 2015 | 1 UK Long Gilt Bond | Long | (831 | ) | ||||||||||||||
Inflation Managed | June 2015 | 3 U.S. Treasury Note, 10 Year | Long | 4,100 | |||||||||||||||
Inflation Managed | December 2015 | 1 Canadian Banker's Acceptance | Long | 1,147 | |||||||||||||||
Inflation Managed | December 2015 | 2 New Zealand Bank Bill, 3 Month | Long | 1,418 | |||||||||||||||
Total | $ | 20,850 | |||||||||||||||||
Long Short | June 2015 | 470 Russell 2000 Mini Index | Short | $ | 753,245 | ||||||||||||||
Long Short | June 2015 | 110 S&P MidCap 400 E-Mini Index | Short | 60,360 | |||||||||||||||
Long Short | June 2015 | 3,611 S&P 500 E-Mini Index | Short | (2,727,072 | ) | ||||||||||||||
Total | $ | (1,913,467 | ) |
During the six months ended April 30, 2015, the average notional value of financial futures contracts was:
Long positions | Short positions | ||||||||||
Global Allocation | $ | 6,766,039 | $ | (5,790,089 | ) | ||||||
Inflation Managed | $ | 3,895,372 | $ | (2,910,272 | ) | ||||||
Long Short | $ | — | $ | (361,540,329 | ) |
At April 30, 2015, the notional value of financial futures contracts was:
Long Positions | Short Positions | ||||||||||
Global Allocation | $ | 4,883,199 | $ | (2,345,397 | ) | ||||||
Inflation Managed | $ | 3,751,532 | $ | (2,885,751 | ) | ||||||
Long Short | $ | — | $ | (448,977,695 | ) |
At April 30, 2015, the Funds had deposited the following in segregated accounts to cover margin requirements on open financial futures contracts:
Global Allocation | $ | 167,849 | |||||
Inflation Managed | $ | 82,885 | |||||
Long Short | $ | 21,719,060 |
Forward foreign currency contracts: During the six months ended April 30, 2015, Global Allocation used forward foreign currency contracts ("forward contracts") to manage or adjust the risk profile and investment exposure of the Fund, including altering investment exposures to certain currencies provided by the Fund's total return swaps, described above. During the period ended April 30, 2015, Multi-Asset Income entered into forward contracts to obtain or reduce exposure to certain markets, establish net short or long positions for currencies and alter the Fund's exposure to markets and currencies.
A forward contract is an agreement between two parties to buy or sell a specific currency for another at a set price on a future date, and is individually negotiated and privately traded by currency traders and their customers in the interbank market. The market value of a forward contract fluctuates with changes in forward currency exchange rates. Forward contracts are marked to market daily, and the change in value is recorded by a Fund as an unrealized gain or loss. At the consummation of a forward contract to purchase or sell currency, a Fund may either exchange the currencies specified at the maturity of the forward contract or enter into a closing transaction involving the purchase or sale of an offsetting forward contract. Closing transactions with respect to forward
78
contracts are usually performed with the counterparty to the original forward contract. The gain or loss arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing a contract is included in "Net realized gain (loss) from forward foreign currency contracts" in the Statements of Operations. These contracts may involve market risk in excess of the unrealized gain or loss reflected in a Fund's Statement of Assets and Liabilities. In addition, a Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar.
At April 30, 2015, open forward contracts were as follows:
Global Allocation
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
136,837 | Australian Dollar | $ | 106,012 | Royal Bank of Canada. | 6/26/15 | $ | 1,960 | ||||||||||||||||||||
25,924 | Australian Dollar | 20,132 | Societe Generale | 6/26/15 | 323 | ||||||||||||||||||||||
228,774 | Australian Dollar | 174,524 | State Street Bank London | 6/26/15 | 5,991 | ||||||||||||||||||||||
515,105 | Brazilian Real | 161,399 | Barclays Bank PLC Wholesale | 5/15/15 | 8,965 | ||||||||||||||||||||||
71,463 | Canadian Dollar | 57,904 | Royal Bank of Canada | 6/26/15 | 1,283 | ||||||||||||||||||||||
79,219 | Canadian Dollar | 64,915 | Societe Generale | 6/26/15 | 695 | ||||||||||||||||||||||
164,911 | Canadian Dollar | 135,910 | State Street Bank London | 6/26/15 | 671 | ||||||||||||||||||||||
22,121 | Euro Currency | 23,748 | Royal Bank of Canada | 6/26/15 | 1,108 | ||||||||||||||||||||||
39,756 | Euro Currency | 42,603 | Societe Generale | 6/26/15 | 2,067 | ||||||||||||||||||||||
592,017 | Euro Currency | 645,655 | State Street Bank London | 6/26/15 | 19,542 | ||||||||||||||||||||||
3,830,434,784 | Indonesian Rupiah | 292,132 | Barclays Bank PLC Wholesale | 5/15/15 | 2,423 | ||||||||||||||||||||||
5,612,293 | Japanese Yen | 47,196 | Royal Bank of Canada | 6/26/15 | (165 | ) | |||||||||||||||||||||
10,999,543 | Japanese Yen | 92,418 | Societe Generale | 6/26/15 | (243 | ) | |||||||||||||||||||||
29,126,147 | Japanese Yen | 243,604 | State Street Bank London | 6/26/15 | 470 | ||||||||||||||||||||||
172,217 | New Zealand Dollar | 131,316 | Societe Generale | 6/26/15 | (543 | ) | |||||||||||||||||||||
99,171 | New Zealand Dollar | 73,733 | State Street Bank London | 6/26/15 | 1,573 | ||||||||||||||||||||||
17,719,467 | New Taiwan Dollar | 567,586 | Barclays Bank PLC Wholesale | 5/15/15 | 10,926 | ||||||||||||||||||||||
3,825,336 | Norwegian Krone | 478,940 | Societe Generale | 6/26/15 | 28,348 | ||||||||||||||||||||||
786,906 | Norwegian Krone | 100,229 | State Street Bank London | 6/26/15 | 4,125 | ||||||||||||||||||||||
277,125 | Pound Sterling | 408,648 | Societe Generale | 6/26/15 | 16,585 | ||||||||||||||||||||||
30,387 | Pound Sterling | 45,351 | State Street Bank London | 6/26/15 | 1,276 | ||||||||||||||||||||||
3,322,505 | South African Rand | 275,992 | Barclays Bank PLC Wholesale | 5/15/15 | 2,838 | ||||||||||||||||||||||
2,133,780 | Swedish Krona | 245,191 | Societe Generale | 6/26/15 | 11,121 | ||||||||||||||||||||||
1,537,644 | Swedish Krona | 178,212 | State Street Bank London | 6/26/15 | 6,491 | ||||||||||||||||||||||
76,492 | Swiss Franc | 80,398 | Societe Generale | 6/26/15 | 1,748 | ||||||||||||||||||||||
Total | $ | 129,578 | |||||||||||||||||||||||||
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
22,974 | Australian Dollar | $ | 17,486 | Royal Bank of Canada | 6/26/15 | $ | (642 | ) | |||||||||||||||||||
456,731 | Australian Dollar | 347,530 | Societe Generale | 6/26/15 | (12,854 | ) | |||||||||||||||||||||
108,383 | Australian Dollar | 86,014 | State Street Bank London | 6/26/15 | 494 | ||||||||||||||||||||||
115,949 | Canadian Dollar | 91,667 | Societe Generale | 6/26/15 | (4,363 | ) | |||||||||||||||||||||
486,857 | Canadian Dollar | 389,283 | State Street Bank London | 6/26/15 | (13,938 | ) |
79
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
49,687,796 | Chilean Peso | $ | 80,161 | Barclays Bank PLC Wholesale | 5/15/15 | $ | (995 | ) | |||||||||||||||||||
5,894,638 | Czech Koruna | 230,262 | Barclays Bank PLC Wholesale | 5/15/15 | (10,917 | ) | |||||||||||||||||||||
27,664 | Euro Currency | 29,487 | Royal Bank of Canada | 6/26/15 | (1,597 | ) | |||||||||||||||||||||
227,937 | Euro Currency | 246,985 | Societe Generale | 6/26/15 | (9,128 | ) | |||||||||||||||||||||
165,127 | Euro Currency | 181,469 | State Street Bank London | 6/26/15 | (4,070 | ) | |||||||||||||||||||||
98,575,112 | Hungarian Forint | 355,346 | Barclays Bank PLC Wholesale | 5/15/15 | (8,864 | ) | |||||||||||||||||||||
6,273,092 | Japanese Yen | 52,259 | Societe Generale | 6/26/15 | (309 | ) | |||||||||||||||||||||
6,985,257 | Japanese Yen | 58,405 | State Street Bank London | 6/26/15 | (131 | ) | |||||||||||||||||||||
1,910,779 | Mexican Peso | 126,160 | Barclays Bank PLC Wholesale | 5/15/15 | 1,704 | ||||||||||||||||||||||
851,381 | New Zealand Dollar | 635,591 | Societe Generale | 6/26/15 | (10,908 | ) | |||||||||||||||||||||
171,562 | New Zealand Dollar | 128,926 | State Street Bank London | 6/26/15 | (1,350 | ) | |||||||||||||||||||||
400,989 | Norwegian Krone | 50,822 | Royal Bank of Canada | 6/26/15 | (2,354 | ) | |||||||||||||||||||||
732,749 | Norwegian Krone | 93,716 | Societe Generale | 6/26/15 | (3,456 | ) | |||||||||||||||||||||
2,011,932 | Norwegian Krone | 257,818 | State Street Bank London | 6/26/15 | (8,989 | ) | |||||||||||||||||||||
778,654 | Polish Zloty | 206,052 | Barclays Bank PLC Wholesale | 5/15/15 | (10,180 | ) | |||||||||||||||||||||
103,542 | Pound Sterling | 157,486 | Societe Generale | 6/26/15 | (1,393 | ) | |||||||||||||||||||||
34,965 | Pound Sterling | 53,600 | State Street Bank London | 6/26/15 | (52 | ) | |||||||||||||||||||||
224,004 | Singapore Dollar | 164,089 | Barclays Bank PLC Wholesale | 5/15/15 | (5,166 | ) | |||||||||||||||||||||
148,366,091 | South Korean Won | 134,768 | Barclays Bank PLC Wholesale | 5/15/15 | (2,944 | ) | |||||||||||||||||||||
133,895 | Swedish Krona | 15,314 | Royal Bank of Canada | 6/26/15 | (769 | ) | |||||||||||||||||||||
930,708 | Swedish Krona | 108,052 | Societe Generale | 6/26/15 | (3,746 | ) | |||||||||||||||||||||
2,077,102 | Swedish Krona | 243,840 | State Street Bank London | 6/26/15 | (5,663 | ) | |||||||||||||||||||||
46,773 | Swiss Franc | 47,673 | Societe Generale | 6/26/15 | (2,557 | ) | |||||||||||||||||||||
430,549 | Swiss Franc | 450,488 | State Street Bank London | 6/26/15 | (11,886 | ) | |||||||||||||||||||||
Total | $ | (137,023 | ) |
Multi-Asset Income
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||
79,679 | Australian Dollar | $ | 61,730 | Royal Bank of Canada | 6/26/15 | $ | 1,141 | ||||||||||||||||
61,614 | Australian Dollar | 47,632 | Societe Generale | 6/26/15 | 984 | ||||||||||||||||||
32,549 | Australian Dollar | 24,534 | State Street Bank and Trust Company | 6/26/15 | 1,148 | ||||||||||||||||||
84,714 | Australian Dollar | 64,130 | State Street Bank London | 6/26/15 | 2,714 | ||||||||||||||||||
40,020 | Canadian Dollar | 32,182 | Royal Bank of Canada | 6/26/15 | 963 | ||||||||||||||||||
56,819 | Canadian Dollar | 46,631 | Societe Generale | 6/26/15 | 427 | ||||||||||||||||||
107,695 | Canadian Dollar | 88,755 | State Street Bank London | 6/26/15 | 439 | ||||||||||||||||||
13,469 | Euro Currency | 14,581 | Societe Generale | 6/26/15 | 553 | ||||||||||||||||||
329,045 | Euro Currency | 358,867 | State Street Bank London | 6/26/15 | 10,852 | ||||||||||||||||||
3,276,814 | Japanese Yen | 27,489 | Royal Bank of Canada | 6/26/15 | (30 | ) | |||||||||||||||||
6,431,047 | Japanese Yen | 54,117 | Societe Generale | 6/26/15 | (225 | ) | |||||||||||||||||
16,732,726 | Japanese Yen | 139,949 | State Street Bank London | 6/26/15 | 270 | ||||||||||||||||||
101,720 | New Zealand Dollar | 77,556 | Societe Generale | 6/26/15 | (315 | ) | |||||||||||||||||
43,455 | New Zealand Dollar | 32,129 | State Street Bank and Trust Company | 6/26/15 | 869 | ||||||||||||||||||
56,561 | New Zealand Dollar | 42,047 | State Street Bank London | 6/26/15 | 903 | ||||||||||||||||||
2,108,071 | Norwegian Krone | 264,471 | Societe Generale | 6/26/15 | 15,086 | ||||||||||||||||||
226,901 | Norwegian Krone | 27,869 | State Street Bank and Trust Company | 6/26/15 | 2,221 |
80
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
323,511 | Norwegian Krone | $ | 41,206 | State Street Bank London | 6/26/15 | $ | 1,696 | ||||||||||||||||||||
77,752 | Pound Sterling | 116,094 | Societe Generale | 6/26/15 | 3,212 | ||||||||||||||||||||||
92,591 | Pound Sterling | 135,300 | State Street Bank and Trust Company | 6/26/15 | 6,775 | ||||||||||||||||||||||
9,439 | Pound Sterling | 13,994 | State Street Bank London | 6/26/15 | 489 | ||||||||||||||||||||||
1,292,972 | Swedish Krona | 149,419 | Societe Generale | 6/26/15 | 5,894 | ||||||||||||||||||||||
518,442 | Swedish Krona | 58,587 | State Street Bank and Trust Company | 6/26/15 | 3,688 | ||||||||||||||||||||||
321,914 | Swedish Krona | 37,328 | State Street Bank London | 6/26/15 | 1,341 | ||||||||||||||||||||||
43,410 | Swiss Franc | 45,758 | Societe Generale | 6/26/15 | 861 | ||||||||||||||||||||||
Total | $ | 61,956 | |||||||||||||||||||||||||
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
14,017 | Australian Dollar | $ | 10,646 | Royal Bank of Canada | 6/26/15 | $ | (414 | ) | |||||||||||||||||||
209,361 | Australian Dollar | 159,693 | Societe Generale | 6/26/15 | (5,503 | ) | |||||||||||||||||||||
54,069 | Australian Dollar | 40,767 | State Street Bank and Trust Company | 6/26/15 | (1,896 | ) | |||||||||||||||||||||
63,402 | Australian Dollar | 50,314 | State Street Bank London | 6/26/15 | 287 | ||||||||||||||||||||||
72,710 | Canadian Dollar | 59,589 | Societe Generale | 6/26/15 | (630 | ) | |||||||||||||||||||||
64,648 | Canadian Dollar | 51,110 | State Street Bank and Trust Company | 6/26/15 | (2,433 | ) | |||||||||||||||||||||
221,791 | Canadian Dollar | 176,213 | State Street Bank London | 6/26/15 | (7,476 | ) | |||||||||||||||||||||
10,507 | Euro Currency | 11,154 | Royal Bank of Canada | 6/26/15 | (652 | ) | |||||||||||||||||||||
168,036 | Euro Currency | 182,072 | Societe Generale | 6/26/15 | (6,735 | ) | |||||||||||||||||||||
59,648 | Euro Currency | 66,156 | State Street Bank London | 6/26/15 | (865 | ) | |||||||||||||||||||||
1,345,821 | Japanese Yen | 11,298 | Societe Generale | 6/26/15 | 20 | ||||||||||||||||||||||
3,496,198 | Japanese Yen | 29,093 | State Street Bank and Trust Company | 6/26/15 | (205 | ) | |||||||||||||||||||||
3,967,165 | Japanese Yen | 33,170 | State Street Bank London | 6/26/15 | (74 | ) | |||||||||||||||||||||
410,993 | New Zealand Dollar | 307,746 | Societe Generale | 6/26/15 | (4,343 | ) | |||||||||||||||||||||
77,112 | New Zealand Dollar | 56,883 | State Street Bank and Trust Company | 6/26/15 | (1,672 | ) | |||||||||||||||||||||
85,279 | New Zealand Dollar | 64,098 | State Street Bank London | 6/26/15 | (659 | ) | |||||||||||||||||||||
226,882 | Norwegian Krone | 28,603 | Royal Bank of Canada | 6/26/15 | (1,485 | ) | |||||||||||||||||||||
421,196 | Norwegian Krone | 53,861 | Societe Generale | 6/26/15 | (1,995 | ) | |||||||||||||||||||||
250,336 | Norwegian Krone | 31,117 | State Street Bank and Trust Company | 6/26/15 | (2,081 | ) | |||||||||||||||||||||
1,153,517 | Norwegian Krone | 147,876 | State Street Bank London | 6/26/15 | (5,095 | ) | |||||||||||||||||||||
60,782 | Pound Sterling | 92,447 | Societe Generale | 6/26/15 | (820 | ) | |||||||||||||||||||||
20,254 | Pound Sterling | 31,050 | State Street Bank London | 6/26/15 | (29 | ) | |||||||||||||||||||||
72,979 | Swedish Krona | 8,311 | Royal Bank of Canada | 6/26/15 | (455 | ) | |||||||||||||||||||||
544,724 | Swedish Krona | 63,381 | Societe Generale | 6/26/15 | (2,052 | ) | |||||||||||||||||||||
182,776 | Swedish Krona | 20,704 | State Street Bank and Trust Company | 6/26/15 | (1,251 | ) | |||||||||||||||||||||
1,206,121 | Swedish Krona | 141,606 | State Street Bank London | 6/26/15 | (3,274 | ) | |||||||||||||||||||||
17,970 | Swiss Franc | 18,316 | State Street Bank and Trust Company | 6/26/15 | (983 | ) | |||||||||||||||||||||
237,368 | Swiss Franc | 248,360 | State Street Bank London | 6/26/15 | (6,553 | ) | |||||||||||||||||||||
Total | $ | (59,323 | ) |
For the six months ended April 30, 2015, investment in forward contracts had an average value of:
Global Allocation | $ | 7,539,284 | |||||
Multi-Asset Income | $ | 2,980,765 |
81
Options: Premiums received by a Fund upon writing a covered call option or a put option are recorded in the liability section of the Fund's Statement of Assets and Liabilities and are subsequently adjusted to the current market value. When an option is exercised, closed, or expired, a Fund realizes a gain or loss and the liability is eliminated.
When writing a covered call option, a Fund, in return for the premium, gives up the opportunity for profit from a price increase in the underlying security above the exercise price, but conversely retains the risk of loss should the price of the security decline. When writing a put option, a Fund, in return for the premium, takes the risk that it must purchase the underlying security at a price that may be higher than the current market price of the security. If a covered call or a put option that a Fund has written expires unexercised, a Fund will realize a gain in the amount of the premium. All securities covering outstanding written options are held in escrow by the custodian bank.
Written option transactions were used in an attempt to generate incremental returns for Long Short for the six months ended April 30, 2015. Written option transactions for Long Short for the six months ended April 30, 2015 were:
Long Short
Number of Contracts | Premium Received | ||||||||||
Outstanding 10/31/2014 | 1,760 | $ | 307,729 | ||||||||
Options written | 8,700 | 1,555,835 | |||||||||
Options expired | (2,500 | ) | (501,855 | ) | |||||||
Options exercised | — | — | |||||||||
Options closed | (1,760 | ) | (307,729 | ) | |||||||
Outstanding 4/30/2015 | 6,200 | $ | 1,053,980 |
Premiums paid by a Fund upon purchasing a call or put option are recorded in the asset section of the Fund's Statement of Assets and Liabilities and are subsequently adjusted to the current market value. When an option is exercised, closed, or expired, a Fund realizes a gain or loss and the asset is eliminated.
For purchased call options, a Fund's loss is limited to the amount of the option premium paid.
Purchased option transactions were used either for hedging purposes or in an attempt to generate incremental returns for Long Short for the six months ended April 30, 2015.
For the six months ended April 30, 2015, Long Short had an average market value of $762,843 in purchased options and $(157,034) in written options.
At April 30, 2015, the Funds (except Flexible Select) had the following derivatives (which did not qualify as hedging instruments under ASC 815), grouped by primary risk exposure:
Asset Derivatives
Derivative Type | Statements of Assets and Liabilities Location | Interest Rate Risk | Currency Risk | Equity Risk | Total | ||||||||||||||||||
Global Allocation | |||||||||||||||||||||||
Futures contracts | Receivable/Payable for variation margin(1) | $ | 6,097 | $ | 25,326 | $ | 21,626 | $ | 53,049 | ||||||||||||||
Forward contracts | Receivable for open forward foreign currency contracts | — | 132,727 | — | 132,727 | ||||||||||||||||||
Total Value—Assets | $ | 6,097 | $ | 158,053 | $ | 21,626 | $ | 185,776 |
82
Derivative Type | Statements of Assets and Liabilities Location | Interest Rate Risk | Currency Risk | Equity Risk | Total | ||||||||||||||||||
Inflation Managed | |||||||||||||||||||||||
Futures contracts | Receivable/Payable for variation margin(1) | $ | 9,494 | $ | 33,657 | $ | — | $ | 43,151 | ||||||||||||||
Total Value—Assets | $ | 9,494 | $ | 33,657 | $ | — | $ | 43,151 | |||||||||||||||
Long Short | |||||||||||||||||||||||
Futures contracts | Receivable/Payable for variation margin(1) | $ | — | $ | — | $ | 813,605 | $ | 813,605 | ||||||||||||||
Option contracts purchased | Investments in securities, at value | — | — | 1,347,800 | 1,347,800 | ||||||||||||||||||
Total Value—Assets | $ | — | $ | — | $ | 2,161,405 | $ | 2,161,405 | |||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||
Forward contracts | Receivable for open forward foreign currency contracts | $ | — | $ | 62,833 | $ | — | $ | 62,833 | ||||||||||||||
Total Value—Assets | $ | — | $ | 62,833 | $ | — | $ | 62,833 |
Liability Derivatives
Derivative Type | Statements of Assets and Liabilities Location | Interest Rate Risk | Currency Risk | Equity Risk | Total | ||||||||||||||||||
Global Allocation | |||||||||||||||||||||||
Futures contracts | Receivable/Payable for variation margin(1) | $ | (2,689 | ) | $ | (16,352 | ) | $ | (6,988 | ) | $ | (26,029 | ) | ||||||||||
Forward contracts | Payable for open forward foreign currency contracts | — | (140,172 | ) | — | (140,172 | ) | ||||||||||||||||
Total Value—Liabilities | $ | (2,689 | ) | $ | (156,524 | ) | $ | (6,988 | ) | $ | (166,201 | ) | |||||||||||
Inflation Managed | |||||||||||||||||||||||
Futures contracts | Receivable/Payable for variation margin(1) | $ | (13,259 | ) | $ | (9,042 | ) | $ | — | $ | (22,301 | ) | |||||||||||
Total Value—Liabilities | $ | (13,259 | ) | $ | (9,042 | ) | $ | — | $ | (22,301 | ) | ||||||||||||
Long Short | |||||||||||||||||||||||
Futures contracts | Receivable/Payable for variation margin(1) | $ | — | $ | — | $ | (2,727,072 | ) | $ | (2,727,072 | ) | ||||||||||||
Option contracts written | Option contracts written, at value | — | — | (186,000 | ) | (186,000 | ) | ||||||||||||||||
Total Value—Liabilities | $ | — | $ | — | $ | (2,913,072 | ) | $ | (2,913,072 | ) |
83
Derivative Type | Statements of Assets and Liabilities Location | Interest Rate Risk | Currency Risk | Equity Risk | Total | ||||||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||
Forward contracts | Payable for open forward foreign currency contracts | $ | — | $ | (60,200 | ) | $ | — | $ | (60,200 | ) | ||||||||||||
Total Value—Liabilities | $ | — | $ | (60,200 | ) | $ | — | $ | (60,200 | ) |
(1) "Futures contracts" reflects the cumulative appreciation (depreciation) of futures contracts as of April 30, 2015, which is reflected in the Statements of Assets and Liabilities under the caption "Net unrealized appreciation (depreciation) in value of investments." The outstanding variation margin as of April 30, 2015, if any, is reflected in the Statements of Assets and Liabilities under the caption "Receivable/Payable for variation margin."
The impact of the use of these derivative instruments on the Statements of Operations during the six months ended April 30, 2015, was as follows:
Realized Gain (Loss)
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Total | ||||||||||||||||||
Global Allocation | |||||||||||||||||||||||
Swap contracts | Net realized gain (loss) on: total return swap contracts | $ | — | $ | — | $ | 111,835 | $ | 111,835 | ||||||||||||||
Futures contracts | Net realized gain (loss) on: financial futures contracts | 171,662 | 212,711 | 248,623 | 632,996 | ||||||||||||||||||
Forward contracts | Net realized gain (loss) on: forward foreign currency contracts | — | (1,194 | ) | — | (1,194 | ) | ||||||||||||||||
Total Realized Gain (Loss) | $ | 171,662 | $ | 211,517 | $ | 360,458 | $ | 743,367 | |||||||||||||||
Inflation Managed | |||||||||||||||||||||||
Futures contracts | Net realized gain (loss) on: financial futures contracts | $ | (92,173 | ) | $ | 20,705 | $ | — | $ | (71,468 | ) | ||||||||||||
Total Realized Gain (Loss) | $ | (92,173 | ) | $ | 20,705 | $ | — | $ | (71,468 | ) | |||||||||||||
Long Short | |||||||||||||||||||||||
Futures contracts | Net realized gain (loss) on: financial futures contracts | $ | — | $ | — | $ | (20,261,724 | ) | $ | (20,261,724 | ) | ||||||||||||
Option contracts purchased | Net realized gain (loss) on: sales of investment securities of unaffiliated issuers | — | — | 169,222 | 169,222 | ||||||||||||||||||
Option contracts written | Net realized gain (loss) on: option contracts written | — | — | 780,543 | 780,543 | ||||||||||||||||||
Total Realized Gain (Loss) | $ | — | $ | — | $ | (19,311,959 | ) | $ | (19,311,959 | ) | |||||||||||||
Multi-Asset Income | |||||||||||||||||||||||
Forward contracts | Net realized gain (loss) on: forward foreign currency contracts | $ | — | $ | 2,190 | $ | — | $ | 2,190 | ||||||||||||||
Total Realized Gain (Loss) | $ | — | $ | 2,190 | $ | — | $ | 2,190 |
84
Change in Appreciation (Depreciation)
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Total | ||||||||||||||||||
Global Allocation | |||||||||||||||||||||||
Swap contracts | Change in net unrealized appreciation (depreciation) in value of: total return swap contracts | $ | — | $ | — | $ | (456,795 | ) | $ | (456,795 | ) | ||||||||||||
Futures contracts | Change in net unrealized appreciation (depreciation) in value of: financial futures contracts | (85,814 | ) | (80,347 | ) | (19,495 | ) | (185,656 | ) | ||||||||||||||
Forward contracts | Change in net unrealized appreciation (depreciation) in value of: forward foreign currency contracts | — | (10,405 | ) | — | (10,405 | ) | ||||||||||||||||
Total Change in Appreciation (Depreciation) | $ | (85,814 | ) | $ | (90,752 | ) | $ | (476,290 | ) | $ | (652,856 | ) | |||||||||||
Inflation Managed | |||||||||||||||||||||||
Futures contracts | Change in net unrealized appreciation (depreciation) in value of: financial futures contracts | $ | 11,261 | $ | 24,270 | $ | — | $ | 35,531 | ||||||||||||||
Total Change in Appreciation (Depreciation) | $ | 11,261 | $ | 24,270 | $ | — | $ | 35,531 | |||||||||||||||
Long Short | |||||||||||||||||||||||
Futures contracts | Change in net unrealized appreciation (depreciation) in value of: financial futures contracts | $ | — | $ | — | $ | 7,082,169 | $ | 7,082,169 | ||||||||||||||
Option contracts purchased | Change in net unrealized appreciation (depreciation) in value of: unaffiliated investment securities | — | — | (1,278,947 | ) | (1,278,947 | ) | ||||||||||||||||
Option contracts written | Change in net unrealized appreciation (depreciation) in value of: option contracts written | — | — | 708,091 | 708,091 | ||||||||||||||||||
Total Change in Appreciation (Depreciation) | $ | — | $ | — | $ | 6,511,313 | $ | 6,511,313 |
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Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Total | ||||||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||
Forward contracts | Change in net unrealized appreciation (depreciation) in value of: forward foreign currency contracts | $ | — | $ | 2,633 | $ | — | $ | 2,633 | ||||||||||||||
Total Change in Appreciation (Depreciation) | $ | — | $ | 2,633 | $ | — | $ | 2,633 |
The Funds adopted the provisions of Accounting Standards Update 2011-11 Disclosures about Offsetting Assets and Liabilities ("ASU 2011-11"). ASU 2011-11 is intended to enhance disclosure requirements on the offsetting of financial assets and liabilities. Pursuant to ASU 2011-11, an entity is required to disclose both gross and net information for assets and liabilities related to derivatives, repurchase and reverse repurchase agreements, and securities lending and securities borrowing transactions that are eligible for offset or subject to an enforceable master netting or similar agreement. ASU 2011-11 is applicable to only Global Allocation and Multi-Asset Income at April 30, 2015. Global Allocation's and Multi-Asset Income's derivative assets and liabilities at fair value by type are reported gross in the Statements of Assets and Liabilities. The following tables present Global Allocation's and Multi-Asset Income's derivative assets and liabilities by counterparty, net of amounts available for offset and net of the related collateral received by Global Allocation and Multi-Asset Income for assets and pledged by Global Allocation and Multi-Asset Income for liabilities as of April 30, 2015.
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statements of Assets and Liabilities | Net Amounts of Assets Presented in the Statements of Assets and Liabilities | ||||||||||||
Global Allocation | |||||||||||||||
Forward contracts | $ | 132,727 | $ | — | $ | 132,727 | |||||||||
Securities lending | 229,233 | — | 229,233 | ||||||||||||
Total | $ | 361,960 | $ | — | $ | 361,960 | |||||||||
Multi-Asset Income | |||||||||||||||
Forward contracts | $ | 62,833 | $ | — | $ | 62,833 | |||||||||
Total | $ | 62,833 | $ | — | $ | 62,833 |
Gross Amounts Not Offset in the Statements of Assets and Liabilities
Counterparty | Net Amounts of Assets Presented in the Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Received(a) | Net Amount(b) | |||||||||||||||
Global Allocation | |||||||||||||||||||
Barclays Bank PLC Wholesale | $ | 26,856 | $ | (26,856 | ) | $ | — | $ | — | ||||||||||
Royal Bank of Canada | 4,351 | (4,351 | ) | — | — | ||||||||||||||
Societe Generale | 60,887 | (49,500 | ) | — | 11,387 | ||||||||||||||
State Street Bank London | 40,633 | (40,633 | ) | — | — | ||||||||||||||
State Street Bank and Trust Company | 229,233 | — | (229,233 | ) | — | ||||||||||||||
Total | $ | 361,960 | $ | (121,340 | ) | $ | (229,233 | ) | $ | 11,387 |
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Counterparty | Net Amounts of Assets Presented in the Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Received(a) | Net Amount(b) | |||||||||||||||
Multi-Asset Income | |||||||||||||||||||
Royal Bank of Canada | $ | 2,104 | $ | (2,104 | ) | $ | — | $ | — | ||||||||||
Societe Generale | 27,037 | (22,618 | ) | — | 4,419 | ||||||||||||||
State Street Bank and Trust Company | 14,701 | (10,521 | ) | — | 4,180 | ||||||||||||||
State Street Bank London | 18,991 | (18,991 | ) | — | — | ||||||||||||||
Total | $ | 62,833 | $ | (54,234 | ) | $ | — | $ | 8,599 |
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statements of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities | ||||||||||||
Global Allocation | |||||||||||||||
Forward contracts | $ | (140,172 | ) | $ | — | $ | (140,172 | ) | |||||||
Total | $ | (140,172 | ) | $ | — | $ | (140,172 | ) | |||||||
Multi-Asset Income | |||||||||||||||
Forward contracts | $ | (60,200 | ) | $ | — | $ | (60,200 | ) | |||||||
Total | $ | (60,200 | ) | $ | — | $ | (60,200 | ) |
Gross Amounts Not Offset in the Statements of Assets and Liabilities
Counterparty | Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Pledged(a) | Net Amount(c) | |||||||||||||||
Global Allocation | |||||||||||||||||||
Barclays Bank PLC Wholesale | $ | (39,066 | ) | $ | 26,856 | $ | 12,210 | $ | — | ||||||||||
Royal Bank of Canada | (5,527 | ) | 4,351 | 1,176 | — | ||||||||||||||
Societe Generale | (49,500 | ) | 49,500 | — | — | ||||||||||||||
State Street Bank London | (46,079 | ) | 40,633 | 5,446 | — | ||||||||||||||
Total | $ | (140,172 | ) | $ | 121,340 | $ | 18,832 | $ | — | ||||||||||
Multi-Asset Income | |||||||||||||||||||
Royal Bank of Canada | $ | (3,036 | ) | $ | 2,104 | $ | 932 | $ | — | ||||||||||
Societe Generale | (22,618 | ) | 22,618 | — | — | ||||||||||||||
State Street Bank and Trust Company | (10,521 | ) | 10,521 | — | — | ||||||||||||||
State Street Bank London | (24,025 | ) | 18,991 | 5,034 | — | ||||||||||||||
Total | $ | (60,200 | ) | $ | 54,234 | $ | 5,966 | $ | — |
(a) Collateral received (or pledged) is limited to an amount not to exceed 100% of the net amount of assets (or liabilities) in the tables presented above, for each respective counterparty.
(b) Net Amount represents amounts subject to loss as of April 30, 2015, in the event of a counterparty failure.
(c) Net Amount represents amounts under-collateralized by Global Allocation and Multi-Asset Income to each counterparty as of April 30, 2015.
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15 Indemnifications: Like many other companies, the Trust's organizational documents provide that its officers ("Officers") and trustees ("Trustees") are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims against the Trust.
16 Transactions with other funds managed by Neuberger Berman Management LLC: Neuberger Berman Alternative Funds and Management have obtained an exemptive order from the Securities and Exchange Commission ("SEC") that permits the Funds to invest in both affiliated and unaffiliated investment companies, including exchange-traded funds, in excess of the limits in Section 12(d)(1)(A) of the 1940 Act, as amended, subject to the terms and conditions of such order. Through April 30, 2015, Flexible Select invested in Neuberger Berman Core Bond Fund (an "Underlying Fund"). Through April 30, 2015 Global Allocation invested in Neuberger Berman Emerging Markets Debt Fund, Neuberger Berman Emerging Markets Equity Fund, Neuberger Berman High Income Bond Fund, Neuberger Berman International Equity Fund, Neuberger Berman Risk Balanced Commodity Strategy Fund and Neuberger Berman Short Duration High Income Fund (collectively the "Underlying Funds"). Through April 30, 2015, Inflation Managed invested in Neuberger Berman Emerging Markets Equity Fund, Neuberger Berman Floating Rate Income Fund, Neuberger Berman High Income Bond Fund and Neuberger Berman Risk Balanced Commodity Strategy Fund (collectively the "Underlying Funds"). Through April 30, 2015, Multi-Asset Income invested in Neuberger Berman Emerging Markets Debt Fund, Neuberger Berman Floating Rate Income Fund and Neuberger Berman High Income Bond Fund (collectively the "Underlying Funds") (See Note F).
For the Funds' investments in the Underlying Funds, Management waived a portion of its management fee equal to the management fee it received from the Underlying Funds on those assets (the "Arrangement"). For the fiscal period ended April 30, 2015, management fees waived under this Arrangement are reflected in the Statements of Operations under the caption "Investment management fees waived." For the fiscal period ended April 30, 2015, income earned under this Arrangement on Flexible Select's, Global Allocation's, Inflation Managed's and Multi-Asset Income's investments is reflected in the Statements of Operations under the caption "Dividend income-affiliated issuers." For the fiscal period ended April 30, 2015, management fees waived and income earned under this Arrangement on Flexible Select's, Global Allocation's, Inflation Managed's and Multi-Asset Income's investments in the Underlying Funds were as follows:
Management fees waived | Income earned | ||||||||||
Flexible Select | $ | 7,570 | $ | 79,279 | |||||||
Global Allocation | 23,108 | 42,864 | |||||||||
Inflation Managed | 20,381 | 80,579 | |||||||||
Multi-Asset Income | 2,801 | 26,773 |
17 Other: All net investment income and realized and unrealized capital gains and losses of each Fund are allocated, on the basis of relative net assets, pro rata among its respective classes.
Note B—Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
Each Fund retains Management as its investment manager under a Management Agreement. For such investment management services, Flexible Select pays Management a fee at the annual rate of 0.600% of the first $250 million of the Fund's average daily net assets, 0.575% of the next $250 million, 0.550% of the next $250 million, 0.525% of the next $250 million, 0.500% of the next $500 million, 0.475% of the next $2.5 billion, and 0.450% of the average daily net assets in excess of $4 billion. Global Allocation pays Management a fee at the annual rate of 0.650% of the first $1 billion of the Fund's average daily net assets, 0.625% of the next $1 billion, and 0.600% of average daily net assets in excess of $2 billion. Inflation Managed pays Management a fee at the annual rate of 0.650% of the
88
first $250 million of the Fund's average daily net assets, 0.625% of the next $250 million, 0.600% of the next $250 million, 0.575% of the next $250 million, 0.550% of the next $500 million, 0.525% of the next $2.5 billion, and 0.500% of the average daily net assets in excess of $4 billion. Long Short pays Management a fee at the annual rate of 1.200% of the first $250 million of the Fund's average daily net assets, 1.175% of the next $250 million, 1.150% of the next $250 million, 1.125% of the next $250 million, 1.100% of the next $500 million, 1.075% of the next $2.5 billion, and 1.050% of average daily net assets in excess of $4 billion. Multi-Asset Income pays Management a fee at the annual rate of 0.450% of the first $250 million of the Fund's average daily net assets, 0.425% of the next $250 million, 0.400% of the next $250 million, 0.375% of the next $250 million, 0.350% of the next $500 million, 0.325% of the next $2.5 billion, and 0.300% of average daily net assets in excess of $4 billion. Accordingly, for the six months ended April 30, 2015, the fee pursuant to the Management Agreement was equivalent to an annual effective rate of 0.60% (0.58% after management fee waiver (See Note A-16)), 0.65% (0.48% after management fee waiver (See Note A-16)), 0.65% (0.44% after management fee waiver (See Note A-16)), 1.11% and 0.45% (0.27% after management fee waiver (See Note A-16)) of Flexible Select's, Global Allocation's, Inflation Managed's, Long Short's and Multi-Asset Income's average daily net assets, respectively.
Each Fund retains Management as its administrator under an Administration Agreement. Each Fund pays Management an administration fee at the annual rate of 0.06% of its average daily net assets under this agreement. In addition, Institutional Class of each Fund pays Management an administration fee at the annual rate of 0.09% of its average daily net assets under this agreement and Class A and Class C of each Fund (except Multi-Asset Income) pays Management an administration fee at the annual rate of 0.20% (0.21% for Multi-Asset Income) of its average daily net assets under this agreement. Multi-Asset Income's Class R6 pays Management an administration fee of 0.02% of its average daily net assets. Additionally, Management retains State Street as its sub-administrator under a Sub-Administration Agreement. Management pays State Street a fee for all services received under the agreement.
Management has contractually agreed to waive fees and/or reimburse certain expenses of the Institutional Class, Class A, Class C and Class R6 of each Fund so that the total annual operating expenses of those classes do not exceed the expense limitations as detailed in the following table. These undertakings apply to a Fund's direct expenses and exclude interest, taxes, brokerage commissions, acquired fund fees and expenses, dividend and interest expenses relating to short sales and extraordinary expenses, if any; consequently, net expenses may exceed the contractual expense limitations. Each Fund has agreed that each of its respective classes will repay Management for fees and expenses waived or reimbursed for that class provided that repayment does not cause that class' annual operating expenses to exceed its contractual expense limitation in place at the time the fees and expenses were waived or reimbursed, or the expense limitation in place at the time the Fund repays Management, whichever is lower. Any such repayment must be made within three years after the year in which Management incurred the expense.
During the six months ended April 30, 2015, there was no repayment to Management under these agreements.
At April 30, 2015, contingent liabilities to Management under the agreements were as follows:
Expenses Reimbursed In Fiscal Period Ending October 31, | |||||||||||||||||||||||||||
2012 | 2013 | 2014 | 2015 | ||||||||||||||||||||||||
Subject to Repayment Until October 31, | |||||||||||||||||||||||||||
Class | Contractual Expense Limitation(1) | Expiration | 2015 | 2016 | 2017 | 2018 | |||||||||||||||||||||
Flexible Select Institutional Class | 0.85 | % | 10/31/18 | $ | — | $ | 216,729 | (5) | $ | 281,744 | $ | 130,568 | |||||||||||||||
Flexible Select Class A | 1.21 | % | 10/31/18 | — | 2,426 | (5) | 1,301 | 1,076 | |||||||||||||||||||
Flexible Select Class C | 1.96 | % | 10/31/18 | — | 2,202 | (5) | 480 | 286 | |||||||||||||||||||
Global Allocation Institutional Class | 0.90 | %(4) | 10/31/18 | 342,304 | 253,136 | 297,504 | 95,262 | ||||||||||||||||||||
Global Allocation Class A | 1.26 | %(4) | 10/31/18 | 125,936 | 141,365 | 168,872 | 79,817 |
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Expenses Reimbursed In Fiscal Period Ending October 31, | |||||||||||||||||||||||||||
2012 | 2013 | 2014 | 2015 | ||||||||||||||||||||||||
Subject to Repayment Until October 31, | |||||||||||||||||||||||||||
Class | Contractual Expense Limitation(1) | Expiration | 2015 | 2016 | 2017 | 2018 | |||||||||||||||||||||
Inflation Managed Institutional Class | 0.90 | % | 10/31/18 | — | 438,126 | (3) | 374,332 | 161,065 | |||||||||||||||||||
Inflation Managed Class A | 1.26 | % | 10/31/18 | — | 5,378 | (3) | 9,441 | 20,391 | |||||||||||||||||||
Inflation Managed Class C | 2.01 | % | 10/31/18 | — | 5,378 | (3) | 3,221 | 3,652 | |||||||||||||||||||
Long Short Institutional Class | 1.70 | % | 10/31/18 | — | (2) | — | — | — | |||||||||||||||||||
Long Short Class A | 2.06 | % | 10/31/18 | — | (2) | — | — | — | |||||||||||||||||||
Long Short Class C | 2.81 | % | 10/31/18 | — | (2) | — | — | — | |||||||||||||||||||
Multi-Asset Income Institutional Class | 0.65 | %(7) | 10/31/18 | — | — | — | 61,661 | (6) | |||||||||||||||||||
Multi-Asset Income Class A | 1.02 | %(7) | 10/31/18 | — | — | — | 3,262 | (6) | |||||||||||||||||||
Multi-Asset Income Class C | 1.77 | %(7) | 10/31/18 | — | — | — | 3,264 | (6) | |||||||||||||||||||
Multi-Asset Income Class R6 | 0.58 | %(7) | 10/31/18 | — | — | — | 24,354 | (6) |
(1) Expense limitation per annum of the respective class' average daily net assets.
(2) Period from December 29, 2011 (Commencement of Operations) to October 31, 2012.
(3) Period from December 19, 2012 (Commencement of Operations) to October 31, 2013.
(4) Prior to February 28, 2013, the contractual expense limitation was 1.20% for Institutional Class, 1.56% for Class A and 2.31% for Class C.
(5) Period from May 31, 2013 (Commencement of Operations) to October 31, 2013.
(6) Period from March 27, 2015 (Commencement of Operations) to April 30, 2015.
(7) In addition, Management voluntarily waived its fees as necessary to maintain a minimum yield for Multi-Asset Income on March 27, 2015, for Institutional Class, Class A, Class C and Class R6 and March 30, 2015, for Class A and Class C. For the period ended April 30, 2015, voluntary reimbursements for Institutional Class, Class A, Class C and Class R6 of Multi-Asset Income amounted to $456, $43, $84 and $159, respectively.
Neuberger Berman Fixed Income LLC ("NBFI"), as the sub-adviser to Global Allocation, Inflation Managed and Multi-Asset Income, is retained by Management to provide day-to-day investment management services and receives a monthly fee paid by Management. As investment manager, Management is responsible for overseeing the investment activities of NBFI. Neuberger Berman LLC ("Neuberger"), as the sub-adviser to Flexible Select and Long Short, is retained by Management to furnish it with investment recommendations and research information without added cost to the Fund. Several individuals who are Officers and/or Trustees of the Trust are also employees of NBFI, Neuberger and/or Management.
Each Fund also has a distribution agreement with Management with respect to each class of shares. Management acts as agent in arranging for the sale of class shares without sales commission or other compensation, except as described below for Class A and Class C shares, and bears advertising and promotion expenses.
However, Management receives fees from Class A and Class C under their distribution plans (each a "Plan", collectively the "Plans") pursuant to Rule 12b-1 under the 1940 Act. The Plans provide that, as compensation for administrative and other services provided to these classes, Management's activities and expenses related to the sale and distribution of these classes, and ongoing services provided to investors in these classes, Management receives from each of these classes a fee at the annual rate of 0.25% of Class A's and 1.00% of Class C's average daily net assets. Management receives this amount to provide distribution and shareholder servicing for these classes and pays a portion of it to institutions that provide such services. Those institutions may use the payments
90
for, among other purposes, compensating employees engaged in sales and/or shareholder servicing. The amount of fees paid by each class during any year may be more or less than the cost of distribution and other services provided to that class. FINRA rules limit the amount of annual distribution fees that may be paid by a mutual fund and impose a ceiling on the cumulative distribution fees paid. The Trust's Plans comply with those rules.
Class A shares of each Fund (except Multi-Asset Income) are generally sold with an initial sales charge of up to 5.75%. Class A shares of Multi-Asset Income are generally sold with an initial sales charge of up to 4.25%. Class A shares of each Fund are generally sold with no contingent deferred sales charge ("CDSC"), except that a CDSC of 1.00% will apply to certain redemptions made within 18 months following purchases of $1 million or more without an initial sales charge. Class C shares of each Fund are sold with no initial sales charge and a 1.00% CDSC if shares are sold within one year after purchase.
For the six months ended April 30, 2015, Management, acting as underwriter and broker-dealer, received net initial sales charges from the purchase of Class A shares and CDSCs from the redemption of Class A and Class C shares as follows:
Underwriter | Broker-Dealer | ||||||||||||||||||
Net Initial Sales Charge | CDSC | Net Initial Sales Charge | CDSC | ||||||||||||||||
Flexible Select Class A | $ | 109 | $ | — | $ | — | $ | — | |||||||||||
Flexible Select Class C | — | 46 | — | — | |||||||||||||||
Global Allocation Class A | 406 | — | — | — | |||||||||||||||
Global Allocation Class C | — | 1,396 | — | — | |||||||||||||||
Inflation Managed Class A | — | — | — | — | |||||||||||||||
Inflation Managed Class C | — | — | — | — | |||||||||||||||
Long Short Class A | 94,956 | — | — | — | |||||||||||||||
Long Short Class C | — | 30,118 | — | — | |||||||||||||||
Multi-Asset Income Class A(1) | — | — | — | — | |||||||||||||||
Multi-Asset Income Class C(1) | — | — | — | — |
(1) Period from March 27, 2015 (Commencement of Operations) to April 30, 2015.
On June 3, 2014, Management made a voluntary contribution to certain of the Funds in connection with a payment matter related to the Funds' investment in a State Street money market fund as follows:
Contribution Amount | |||||||
Global Allocation | $ | 10,922 | |||||
Long Short | 60,836 |
Note C—Securities Transactions:
During the six months ended April 30, 2015, there were purchase and sale transactions of long-term securities (excluding total return swaps, financial futures contracts, forward foreign currency contracts and option contracts) as follows:
Purchases of U.S. Government and Agency Obligations | Purchases excluding U.S. Government and Agency Obligations | Securities Sold Short | Sales and Maturities of U.S. Government and Agency Obligations | Sales and Maturities excluding U.S. Government and Agency Obligations | Covers on Securities Sold Short | ||||||||||||||||||||||
Flexible Select | $— | $25,467,798 | $— | $— | $24,260,406 | $— | |||||||||||||||||||||
Global Allocation | 2,208,360 | 39,759,859 | 7,603,367 | 991,759 | 23,971,493 | 15,059,717 |
91
Purchases of U.S. Government and Agency Obligations | Purchases excluding U.S. Government and Agency Obligations | Securities Sold Short | Sales and Maturities of U.S. Government and Agency Obligations | Sales and Maturities excluding U.S. Government and Agency Obligations | Covers on Securities Sold Short | ||||||||||||||||||||||
Inflation Managed | $1,764,643 | $5,131,410 | $— | $1,778,168 | $6,529,266 | $— | |||||||||||||||||||||
Long Short | — | 895,597,548 | 480,891,144 | — | 795,170,742 | 409,531,252 | |||||||||||||||||||||
Multi-Asset Income(1) | 1,644,942 | 15,033,237 | — | — | 690,419 | — |
(1) Period from March 27, 2015 (Commencement of Operations) to April 30, 2015.
During the six months ended April 30, 2015, no brokerage commissions on securities transactions were paid to affiliated brokers.
Note D—Fund Share Transactions:
Share activity for the six months ended April 30, 2015 and for the year ended October 31, 2014 was as follows:
For the Six Months Ended April 30, 2015 | For the Year Ended October 31, 2014 | ||||||||||||||||||||||||||||||||||
Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | ||||||||||||||||||||||||||||
Flexible Select: | |||||||||||||||||||||||||||||||||||
Institutional Class | 4,723 | 233,709 | — | 238,432 | 769 | 30,471 | (14,743 | ) | 16,497 | ||||||||||||||||||||||||||
Class A | 10,388 | 1,551 | (10,374 | ) | 1,565 | 46,439 | 27 | (6,595 | ) | 39,871 | |||||||||||||||||||||||||
Class C | 2,640 | 295 | — | 2,935 | 1,559 | 2 | — | 1,561 | |||||||||||||||||||||||||||
Global Allocation: | |||||||||||||||||||||||||||||||||||
Institutional Class | 144,314 | 26,930 | (324,054 | ) | (152,810 | ) | 320,306 | 129,312 | (780,344 | ) | (330,726 | ) | |||||||||||||||||||||||
Class A | 112,834 | 18,400 | (180,536 | ) | (49,302 | ) | 717,157 | 46,075 | (553,785 | ) | 209,447 | ||||||||||||||||||||||||
Class C | 94,370 | 10,618 | (96,560 | ) | 8,428 | 395,709 | 33,247 | (194,404 | ) | 234,552 | |||||||||||||||||||||||||
Inflation Managed: | |||||||||||||||||||||||||||||||||||
Institutional Class | 167,958 | 15,521 | (308,618 | ) | (125,139 | ) | 95,566 | 32,833 | (90,643 | ) | 37,756 | ||||||||||||||||||||||||
Class A | 34,091 | 1,699 | (45,326 | ) | (9,536 | ) | 220,368 | 189 | (26,069 | ) | 194,488 | ||||||||||||||||||||||||
Class C | 10,681 | 189 | — | 10,870 | 18,279 | 115 | — | 18,394 | |||||||||||||||||||||||||||
Long Short: | |||||||||||||||||||||||||||||||||||
Institutional Class | 48,160,136 | 735,130 | (37,517,830 | ) | 11,377,436 | 159,546,263 | 382,464 | (41,372,231 | ) | 118,556,496 | |||||||||||||||||||||||||
Class A | 6,128,596 | 100,264 | (6,620,050 | ) | (391,190 | ) | 32,183,453 | 179,358 | (42,735,854 | ) | (10,373,043 | ) | |||||||||||||||||||||||
Class C | 1,957,692 | 45,292 | (2,461,836 | ) | (458,852 | ) | 9,063,806 | 37,716 | (1,825,631 | ) | 7,275,891 | ||||||||||||||||||||||||
Multi-Asset Income: | |||||||||||||||||||||||||||||||||||
Institutional Class(1) | 1,110,301 | 3,494 | (32 | ) | 1,113,763 | — | — | — | — | ||||||||||||||||||||||||||
Class A(1) | 50,207 | 143 | — | 50,350 | — | — | — | — | |||||||||||||||||||||||||||
Class C(1) | 50,298 | 111 | — | 50,409 | — | — | — | — | |||||||||||||||||||||||||||
Class R6(1) | 400,000 | 1,294 | — | 401,294 | — | — | — | — |
(1) Period from March 27, 2015 (Commencement of Operations) to April 30, 2015.
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Note E—Lines of Credit:
At April 30, 2015, each Fund (other than Multi-Asset Income) was a participant in a syndicated committed, unsecured $700,000,000 line of credit (the "Credit Facility"), to be used only for temporary or emergency purposes. Other investment companies managed by Management also participate in this line of credit on the same terms. Under the terms of the Credit Facility, each Fund (other than Multi-Asset Income) has agreed to pay its pro rata share of the annual commitment fee, based on the ratio of its individual net assets to the net assets of all participants at the time the fee is due and payable, and interest charged on any borrowing made by such Fund and other costs incurred by such Fund. Because several mutual funds participate in the Credit Facility, there is no assurance that an individual Fund will have access to all or any part of the $700,000,000 at any particular time. There were no loans outstanding under the Credit Facility at April 30, 2015. During the period from January 9, 2015 (the commencement date of the Credit Facility) through April 30, 2015, none of the Funds utilized this line of credit. The Credit Facility replaced the State Street lines of credit referred to below.
During the reporting period, prior to the commencement of the Credit Facility, and on January 9, 2015, each Fund (other than Multi-Asset Income) was a participant in a committed, unsecured $300,000,000 line of credit with State Street and an uncommitted, unsecured $100,000,000 line of credit with State Street, both to be used only for temporary or emergency purposes. During the period ended April 30, 2015, none of the Funds utilized either line of credit with State Street.
Note F—Investments in Affiliates(1):
Balance of Shares Held October 31, 2014 | Gross Purchases and Additions | Gross Sales and Reductions | Balance of Shares Held April 30, 2015 | Value April 30, 2015 | Distributions from Investments in Affiliated Issuers(2) | Net Realized Gain (Loss) from Investments in Affiliated Issuers | |||||||||||||||||||||||||
Flexible Select | |||||||||||||||||||||||||||||||
Neuberger Berman Core Bond Fund Institutional Class | 582,729 | 41,209 | 150,859 | 473,079 | $ | 4,994,263 | $ | 91,002 | $ | 24,294 | |||||||||||||||||||||
Global Allocation | |||||||||||||||||||||||||||||||
Neuberger Berman Emerging Markets Debt Fund Institutional Class | — | 148,236 | — | 148,236 | $ | 1,388,211 | $ | 21,277 | $ | — | |||||||||||||||||||||
Neuberger Berman Emerging Markets Equity Fund Institutional Class | — | 187,444 | — | 187,444 | 3,197,875 | — | — | ||||||||||||||||||||||||
Neuberger Berman High Income Fund Institutional Class | — | 153,180 | — | 153,180 | 1,393,318 | 18,196 | — | ||||||||||||||||||||||||
Neuberger Berman International Equity Fund Institutional Class | — | 301,887 | — | 301,887 | 3,526,442 | — | — | ||||||||||||||||||||||||
Neuberger Berman Short Duration High Income Fund Institutional Class | — | 137,958 | 137,958 | — | — | 3,391 | 19,294 |
93
Balance of Shares Held October 31, 2014 | Gross Purchases and Additions | Gross Sales and Reductions | Balance of Shares Held April 30, 2015 | Value April 30, 2015 | Distributions from Investments in Affiliated Issuers(2) | Net Realized Gain (Loss) from Investments in Affiliated Issuers | |||||||||||||||||||||||||
Neuberger Berman Risk Balanced Commodity Strategy Fund Institutional Class | — | 111,878 | — | 111,878 | $ | 822,119 | $ | — | $ | — | |||||||||||||||||||||
Total | $ | 10,327,965 | $ | 42,864 | $ | 19,294 | |||||||||||||||||||||||||
Inflation Managed | |||||||||||||||||||||||||||||||
Neuberger Berman Emerging Markets Equity Fund Institutional Class | 103,341 | 11,166 | 28,694 | 85,813 | $ | 1,464,008 | $ | 19,481 | $ | 10,500 | |||||||||||||||||||||
Neuberger Berman Floating Rate Income Fund Institutional Class | 91,688 | 8,803 | 24,008 | 76,483 | 776,842 | 17,839 | (4,552 | ) | |||||||||||||||||||||||
Neuberger Berman High Income Bond Fund Institutional Class | 102,045 | 93,666 | 35,979 | 159,732 | 1,452,922 | 44,275 | (9,292 | ) | |||||||||||||||||||||||
Neuberger Berman Risk Balanced Commodity Strategy Fund Institutional Class | 238,082 | 16,038 | 42,390 | 211,730 | 1,555,863 | 203 | * | (95,789 | ) | ||||||||||||||||||||||
Total | $ | 5,249,635 | $ | 81,798 | $ | (99,133 | ) | ||||||||||||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||||||
Neuberger Berman Emerging Markets Debt Fund Institutional Class | — | 181,969 | — | 181,969 | $ | 1,704,118 | $ | 7,590 | $ | — | |||||||||||||||||||||
Neuberger Berman Floating Rate Income Fund Institutional Class | — | 246,799 | — | 246,799 | 2,506,749 | 7,639 | — | ||||||||||||||||||||||||
Neuberger Berman High Income Bond Fund Institutional Class | — | 277,175 | — | 277,175 | 2,521,180 | 11,544 | — | ||||||||||||||||||||||||
Total | $ | 6,732,047 | $ | 26,773 | $ | — |
(1) Affiliated issuers, as defined in the 1940 Act.
(2) Distributions received include distributions from net investment income and net realized capital gains, if any, from the Underlying Fund.
* Security did not produce income during the last twelve months.
Other: At April 30, 2015, there were affiliated investors owning 0.2%, 24.7% and 92.8% of Flexible Select's, Inflation Managed's and Multi-Asset Income's outstanding shares, respectively.
94
Note G—Recent Accounting Pronouncement:
In June 2014, FASB issued ASU 2014-11 Transfers & Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures to improve the financial reporting of repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into repurchase agreements or securities lending transactions. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2015, and interim periods within those fiscal years. Management is evaluating the impact, if any, of this guidance on the Funds' financial statement disclosures.
Note H—Unaudited Financial Information:
The financial information included in this interim report is taken from the records of each Fund without audit by an independent registered public accounting firm. Annual reports contain audited financial statements.
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Financial Highlights
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. Per share amounts that round to less than $0.01 or $(0.01) per share are presented as $0.00 or $(0.00), respectively. Ratios that round to less than 0.00% or (0.00%) per share are presented as 0.00% or (0.00%), respectively. Net Asset amounts with a zero balance, if any, may reflect actual amounts, rounding to less than $0.1 million. A "—" indicates that the line item was not applicable in the corresponding period.
Net Asset Value, Beginning of Period | Net Investment Income (Loss)@ | Net Gains or Losses on Securities (both realized and unrealized) | Total From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions | Voluntary Contributions from Management | Net Asset Value, End of Period | Total Return†† | Net Assets, End of Period (in millions) | Ratio of Gross Expenses to Average Net Assets# | Ratio of Gross Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales) | Ratio of Net Expenses to Average Net Assets | Ratio of Net Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Flexible Select Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2015 (Unaudited) | $ | 11.96 | $ | 0.05 | $ | 0.34 | $ | 0.39 | $ | (0.12 | ) | $ | (0.22 | ) | $ | (0.34 | ) | $ | — | $ | 12.01 | 3.32 | %** | $ | 100.1 | 1.12 | %* | 1.12 | %Ø* | .83 | %* | .83 | %Ø* | .77 | %* | 26 | %** | 26 | %Ø** | ||||||||||||||||||||||||||||||||||||
10/31/2014 | $ | 10.80 | $ | 0.11 | $ | 1.09 | $ | 1.20 | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | — | $ | 11.96 | 11.16 | % | $ | 96.8 | 1.16 | % | 1.16 | %Ø | .83 | % | .83 | %Ø | .98 | % | 50 | % | 50 | %Ø | |||||||||||||||||||||||||||||||||||||
Period from 5/31/2013^ to 10/31/2013 | $ | 10.00 | $ | 0.04 | $ | 0.76 | $ | 0.80 | $ | — | $ | — | $ | — | $ | — | $ | 10.80 | 8.00 | %** | $ | 87.2 | 1.97 | %‡* | 1.97 | %‡Ø* | .83 | %‡* | .83 | %‡Ø* | .95 | %‡* | 20 | %** | 20 | %Ø** | |||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2015 (Unaudited) | $ | 11.92 | $ | 0.02 | $ | 0.35 | $ | 0.37 | $ | (0.10 | ) | $ | (0.22 | ) | $ | (0.32 | ) | $ | — | $ | 11.97 | 3.13 | %** | $ | 0.7 | 1.52 | %* | 1.52 | %Ø* | 1.19 | %* | 1.19 | %Ø* | .42 | %* | 26 | %** | 26 | %Ø** | ||||||||||||||||||||||||||||||||||||
10/31/2014 | $ | 10.78 | $ | 0.06 | $ | 1.10 | $ | 1.16 | $ | (0.02 | ) | $ | — | $ | (0.02 | ) | $ | — | $ | 11.92 | 10.80 | % | $ | 0.6 | 1.64 | % | 1.64 | %Ø | 1.19 | % | 1.19 | %Ø | .50 | % | 50 | % | 50 | %Ø | |||||||||||||||||||||||||||||||||||||
Period from 5/31/2013^ to 10/31/2013 | $ | 10.00 | $ | 0.02 | $ | 0.76 | $ | 0.78 | $ | — | $ | — | $ | — | $ | — | $ | 10.78 | 7.80 | %** | $ | 0.1 | 5.09 | %‡* | 5.09 | %‡Ø* | 1.19 | %‡* | 1.19 | %‡Ø* | .57 | %‡* | 20 | %** | 20 | %Ø** | |||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2015 (Unaudited) | $ | 11.81 | $ | (0.02 | ) | $ | 0.35 | $ | 0.33 | $ | (0.02 | ) | $ | (0.22 | ) | $ | (0.24 | ) | $ | — | $ | 11.90 | 2.86 | %** | $ | 0.2 | 2.30 | %* | 2.30 | %Ø* | 1.94 | %* | 1.94 | %Ø* | (.34 | %)* | 26 | %** | 26 | %Ø** | |||||||||||||||||||||||||||||||||||
10/31/2014 | $ | 10.75 | $ | (0.02 | ) | $ | 1.08 | $ | 1.06 | $ | (0.00 | ) | $ | — | $ | (0.00 | ) | $ | — | $ | 11.81 | 9.88 | % | $ | 0.1 | 2.38 | % | 2.38 | %Ø | 1.94 | % | 1.94 | %Ø | (.14 | %) | 50 | % | 50 | %Ø | ||||||||||||||||||||||||||||||||||||
Period from 5/31/2013^ to 10/31/2013 | $ | 10.00 | $ | (0.01 | ) | $ | 0.76 | $ | 0.75 | $ | — | $ | — | $ | — | $ | — | $ | 10.75 | 7.50 | %** | $ | 0.1 | 6.71 | %‡* | 6.71 | %‡Ø* | 1.94 | %‡* | 1.94 | %‡Ø* | (.18 | %)‡* | 20 | %** | 20 | %Ø** | ||||||||||||||||||||||||||||||||||||||
Global Allocation Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2015 (Unaudited) | $ | 10.81 | $ | 0.01 | $ | 0.50 | $ | 0.51 | $ | (0.28 | ) | $ | — | $ | (0.28 | ) | $ | — | $ | 11.04 | 4.76 | %** | $ | 11.0 | 2.90 | %* | 2.57 | %* | 1.08 | %* | .75 | %* | .25 | %* | 128 | %a** | 124 | %a** | |||||||||||||||||||||||||||||||||||||
10/31/2014 | $ | 11.63 | $ | (0.12 | ) | $ | 0.29 | $ | 0.17 | $ | (0.99 | ) | $ | — | $ | (0.99 | ) | $ | 0.00 | $ | 10.81 | 1.37 | % | $ | 12.5 | 3.25 | % | 2.72 | % | 1.50 | % | .98 | % | (1.12 | %) | 228 | % | 216 | % | ||||||||||||||||||||||||||||||||||||
10/31/2013 | $ | 10.30 | $ | (0.09 | ) | $ | 1.57 | $ | 1.48 | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | $ | — | $ | 11.63 | 14.56 | % | $ | 17.2 | 3.23 | % | 2.73 | % | 1.48 | % | .98 | % | (.85 | %) | 187 | % | 158 | % | ||||||||||||||||||||||||||||||||||||
10/31/2012 | $ | 10.30 | $ | (0.12 | ) | $ | 1.02 | $ | 0.90 | $ | (0.21 | ) | $ | (0.69 | ) | $ | (0.90 | ) | $ | — | $ | 10.30 | 9.60 | % | $ | 8.9 | 5.01 | % | 4.55 | % | 1.68 | % | 1.22 | % | (1.19 | %) | 446 | % | 423 | % | |||||||||||||||||||||||||||||||||||
Period from 12/29/2010^ to 10/31/2011 | $ | 10.00 | $ | (0.08 | ) | $ | 0.38 | $ | 0.30 | $ | — | $ | — | $ | — | $ | — | $ | 10.30 | 3.00 | %** | $ | 5.8 | 18.45 | %‡* | 18.31 | %‡*^^ | 1.36 | %‡* | 1.21 | %‡*^^ | (.95 | %)‡* | 268 | %** | 216 | %** |
See Notes to Financial Highlights
97
98
Financial Highlights (cont'd)
Net Asset Value, Beginning of Period | Net Investment Income (Loss)@ | Net Gains or Losses on Securities (both realized and unrealized) | Total From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions | Voluntary Contributions from Management | Net Asset Value, End of period | Total Return†† | Net Assets, End of period (in millions) | Ratio of Gross Expenses to Average Net Assets# | Ratio of Gross Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales) | Ratio of Net Expenses to Average Net Assets | Ratio of Net Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Global Allocation Fund (cont'd) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2015 (Unaudited) | $ | 10.76 | $ | (0.00 | ) | $ | 0.48 | $ | 0.48 | $ | (0.24 | ) | $ | — | $ | (0.24 | ) | $ | — | $ | 11.00 | 4.56 | %** | $ | 9.2 | 3.28 | %* | 2.95 | %* | 1.44 | %* | 1.11 | %* | (.09 | %)* | 128 | %a** | 124 | %a** | ||||||||||||||||||||||||||||||||||||
10/31/2014 | $ | 11.57 | $ | (0.16 | ) | $ | 0.29 | $ | 0.13 | $ | (0.94 | ) | $ | — | $ | (0.94 | ) | $ | 0.00 | $ | 10.76 | 1.03 | % | $ | 9.6 | 3.68 | % | 3.16 | % | 1.86 | % | 1.35 | % | (1.49 | %) | 228 | % | 216 | % | ||||||||||||||||||||||||||||||||||||
10/31/2013 | $ | 10.25 | $ | (0.14 | ) | $ | 1.58 | $ | 1.44 | $ | (0.12 | ) | $ | — | $ | (0.12 | ) | $ | — | $ | 11.57 | 14.15 | % | $ | 7.9 | 3.58 | % | 3.07 | % | 1.84 | % | 1.33 | % | (1.25 | %) | 187 | % | 158 | % | ||||||||||||||||||||||||||||||||||||
10/31/2012 | $ | 10.27 | $ | (0.15 | ) | $ | 1.01 | $ | 0.86 | $ | (0.19 | ) | $ | (0.69 | ) | $ | (0.88 | ) | $ | — | $ | 10.25 | 9.24 | % | $ | 3.4 | 5.41 | % | 4.93 | % | 2.07 | % | 1.59 | % | (1.48 | %) | 446 | % | 423 | % | |||||||||||||||||||||||||||||||||||
Period from 12/29/2010^ to 10/31/2011 | $ | 10.00 | $ | (0.14 | ) | $ | 0.41 | $ | 0.27 | $ | — | $ | — | $ | — | $ | — | $ | 10.27 | 2.70 | %** | $ | 0.1 | 22.01 | %‡* | 21.63 | %‡*^^ | 1.96 | %‡* | 1.58 | %‡*^^ | (1.64 | %)‡* | 268 | %** | 216 | %** | ||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2015 (Unaudited) | $ | 10.60 | $ | (0.04 | ) | $ | 0.47 | $ | 0.43 | $ | (0.18 | ) | $ | — | $ | (0.18 | ) | $ | — | $ | 10.85 | 4.15 | %** | $ | 7.3 | 4.03 | %* | 3.70 | %* | 2.19 | %* | 1.86 | %* | (.83 | %)* | 128 | %a** | 124 | %a** | ||||||||||||||||||||||||||||||||||||
10/31/2014 | $ | 11.43 | $ | (0.25 | ) | $ | 0.30 | $ | 0.05 | $ | (0.88 | ) | $ | — | $ | (0.88 | ) | $ | 0.00 | $ | 10.60 | .30 | % | $ | 7.0 | 4.46 | % | 3.95 | % | 2.63 | % | 2.11 | % | (2.27 | %) | 228 | % | 216 | % | ||||||||||||||||||||||||||||||||||||
10/31/2013 | $ | 10.13 | $ | (0.21 | ) | $ | 1.55 | $ | 1.34 | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | — | $ | 11.43 | 13.30 | % | $ | 4.9 | 4.35 | % | 3.85 | % | 2.59 | % | 2.09 | % | (1.99 | %) | 187 | % | 158 | % | ||||||||||||||||||||||||||||||||||||
10/31/2012 | $ | 10.21 | $ | (0.23 | ) | $ | 1.00 | $ | 0.77 | $ | (0.16 | ) | $ | (0.69 | ) | $ | (0.85 | ) | $ | — | $ | 10.13 | 8.34 | % | $ | 2.2 | 6.47 | % | 6.03 | % | 2.78 | % | 2.34 | % | (2.26 | %) | 446 | % | 423 | % | |||||||||||||||||||||||||||||||||||
Period from 12/29/2010^ to 10/31/2011 | $ | 10.00 | $ | (0.18 | ) | $ | 0.39 | $ | 0.21 | $ | — | $ | — | $ | — | $ | — | $ | 10.21 | 2.10 | %** | $ | 0.0 | 25.07 | %‡* | 24.87 | %‡*^^ | 2.52 | %‡* | 2.33 | %‡*^^ | (2.12 | %)‡* | 268 | %** | 216 | %** | ||||||||||||||||||||||||||||||||||||||
Inflation Managed Fund§§ | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2015 (Unaudited) | $ | 10.74 | $ | 0.07 | $ | (0.11 | ) | $ | (0.04 | ) | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | $ | — | $ | 10.60 | (.39 | %)** | $ | 15.3 | 2.81 | %* | 2.81 | %Ø* | .70 | %* | .70 | %Ø* | 1.38 | %* | 36 | %** | 36 | %Ø** | |||||||||||||||||||||||||||||||||||
10/31/2014 | $ | 10.38 | $ | 0.17 | $ | 0.41 | $ | 0.58 | $ | (0.22 | ) | $ | — | $ | (0.22 | ) | $ | — | $ | 10.74 | 5.73 | % | $ | 16.9 | 3.22 | % | 3.22 | %Ø | .69 | % | .69 | %Ø | 1.61 | % | 41 | % | 41 | %Ø | |||||||||||||||||||||||||||||||||||||
Period from 12/19/2012^ to 10/31/2013 | $ | 10.00 | $ | 0.17 | $ | 0.21 | $ | 0.38 | $ | — | $ | — | $ | — | $ | — | $ | 10.38 | 3.80 | %** | $ | 15.9 | 4.55 | %‡* | 4.55 | %‡Ø* | .69 | %‡* | .69 | %‡Ø* | 1.92 | %‡* | 45 | %** | 45 | %Ø** | |||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2015 (Unaudited) | $ | 10.71 | $ | 0.05 | $ | (0.12 | ) | $ | (0.07 | ) | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | $ | — | $ | 10.56 | (.61 | %)** | $ | 2.1 | 3.20 | %* | 3.20 | %Ø* | 1.06 | %* | 1.06 | %Ø* | 1.03 | %* | 36 | %** | 36 | %Ø** | |||||||||||||||||||||||||||||||||||
10/31/2014 | $ | 10.35 | $ | 0.11 | $ | 0.44 | $ | 0.55 | $ | (0.19 | ) | $ | — | $ | (0.19 | ) | $ | — | $ | 10.71 | 5.39 | % | $ | 2.2 | 3.64 | % | 3.64 | %Ø | 1.05 | % | 1.05 | %Ø | 1.01 | % | 41 | % | 41 | %Ø | |||||||||||||||||||||||||||||||||||||
Period from 12/19/2012^ to 10/31/2013 | $ | 10.00 | $ | 0.14 | $ | 0.21 | $ | 0.35 | $ | — | $ | — | $ | — | $ | — | $ | 10.35 | 3.50 | %** | $ | 0.1 | 6.99 | %‡* | 6.99 | %‡Ø* | 1.04 | %‡* | 1.04 | %‡Ø* | 1.59 | %‡* | 45 | %** | 45 | %Ø** | |||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2015 (Unaudited) | $ | 10.63 | $ | 0.01 | $ | (0.12 | ) | $ | (0.11 | ) | $ | (0.06 | ) | $ | — | $ | (0.06 | ) | $ | — | $ | 10.46 | (.98 | %)** | $ | 0.4 | 4.00 | %* | 4.00 | %Ø* | 1.80 | %* | 1.80 | %Ø* | .18 | %* | 36 | %** | 36 | %Ø** | |||||||||||||||||||||||||||||||||||
10/31/2014 | $ | 10.28 | $ | 0.03 | $ | 0.44 | $ | 0.47 | $ | (0.12 | ) | $ | — | $ | (0.12 | ) | $ | — | $ | 10.63 | 4.60 | % | $ | 0.3 | 4.43 | % | 4.43 | %Ø | 1.80 | % | 1.80 | %Ø | .33 | % | 41 | % | 41 | %Ø | |||||||||||||||||||||||||||||||||||||
Period from 12/19/2012^ to 10/31/2013 | $ | 10.00 | $ | 0.07 | $ | 0.21 | $ | 0.28 | $ | — | $ | — | $ | — | $ | — | $ | 10.28 | 2.80 | %** | $ | 0.1 | 7.76 | %‡* | 7.76 | %‡Ø* | 1.79 | %‡* | 1.79 | %‡Ø* | .84 | %‡* | 45 | %** | 45 | %Ø** |
See Notes to Financial Highlights
99
100
Financial Highlights (cont'd)
Net Asset Value, Beginning of Period | Net Investment Income (Loss)@ | Net Gains or Losses on Securities (both realized and unrealized) | Total From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions | Voluntary Contributions from Management | Net Asset Value, End of period | Total Return†† | Net Assets, End of period (in millions) | Ratio of Gross Expenses to Average Net Assets# | Ratio of Gross Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales) | Ratio of Net Expenses to Average Net Assets | Ratio of Net Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long Short Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2015 (Unaudited) | $ | 13.02 | $ | 0.03 | $ | 0.22 | $ | 0.25 | $ | (0.03 | ) | $ | (0.05 | ) | $ | (0.08 | ) | $ | — | $ | 13.19 | 1.88 | %** | $ | 2,811.0 | 1.66 | %* | 1.31 | %* | 1.66 | %* | 1.31 | %* | .42 | %* | 42 | %** | 30 | %** | ||||||||||||||||||||||||||||||||||||
10/31/2014 | $ | 12.48 | $ | 0.02 | $ | 0.58 | $ | 0.60 | $ | — | $ | (0.06 | ) | $ | (0.06 | ) | $ | 0.00 | $ | 13.02 | 4.83 | % | $ | 2,627.8 | 1.72 | % | 1.48 | % | 1.72 | % | 1.48 | % | .17 | % | 61 | % | 44 | % | |||||||||||||||||||||||||||||||||||||
10/31/2013 | $ | 11.09 | $ | 0.01 | $ | 1.47 | $ | 1.48 | $ | (0.01 | ) | $ | (0.08 | ) | $ | (0.09 | ) | $ | — | $ | 12.48 | 13.47 | % | $ | 1,038.2 | 1.75 | % | 1.60 | % | 1.75 | %§ | 1.60 | %§ | .10 | % | 103 | % | 52 | % | ||||||||||||||||||||||||||||||||||||
Period from 12/29/2011^ to 10/31/2012 | $ | 10.00 | $ | 0.04 | $ | 1.05 | $ | 1.09 | $ | — | $ | — | $ | — | $ | — | $ | 11.09 | 10.90 | %** | $ | 92.6 | 2.78 | %‡* | 2.65 | %‡* | 1.83 | %‡* | 1.70 | %‡* | .40 | %‡* | 93 | %** | 56 | %** | |||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2015 (Unaudited) | $ | 12.91 | $ | 0.00 | $ | 0.21 | $ | 0.21 | $ | — | $ | (0.05 | ) | $ | (0.05 | ) | $ | — | $ | 13.07 | 1.61 | %** | $ | 388.4 | 2.04 | %* | 1.69 | %* | 2.04 | %* | 1.69 | %* | .06 | %* | 42 | %** | 30 | %** | |||||||||||||||||||||||||||||||||||||
10/31/2014 | $ | 12.41 | $ | (0.03 | ) | $ | 0.58 | $ | 0.55 | $ | — | $ | (0.05 | ) | $ | (0.05 | ) | $ | 0.00 | $ | 12.91 | 4.47 | % | $ | 388.6 | 2.09 | % | 1.85 | % | 2.09 | % | 1.85 | % | (.20 | %) | 61 | % | 44 | % | ||||||||||||||||||||||||||||||||||||
10/31/2013 | $ | 11.06 | $ | (0.03 | ) | $ | 1.47 | $ | 1.44 | $ | (0.01 | ) | $ | (0.08 | ) | $ | (0.09 | ) | $ | — | $ | 12.41 | 13.08 | % | $ | 502.1 | 2.08 | % | 1.94 | % | 2.08 | %§ | 1.94 | %§ | (.23 | %) | 103 | % | 52 | % | |||||||||||||||||||||||||||||||||||
Period from 12/29/2011^ to 10/31/2012 | $ | 10.00 | $ | 0.00 | $ | 1.06 | $ | 1.06 | $ | — | $ | — | $ | — | $ | — | $ | 11.06 | 10.60 | %** | $ | 27.0 | 3.21 | %‡* | 3.11 | %‡* | 2.17 | %‡* | 2.06 | %‡* | .05 | %‡* | 93 | %** | 56 | %** | |||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2015 (Unaudited) | $ | 12.66 | $ | (0.04 | ) | $ | 0.20 | $ | 0.16 | $ | — | $ | (0.05 | ) | $ | (0.05 | ) | $ | — | $ | 12.77 | 1.24 | %** | $ | 207.0 | 2.78 | %* | 2.43 | %* | 2.78 | %* | 2.43 | %* | (.69 | %)* | 42 | %** | 30 | %** | ||||||||||||||||||||||||||||||||||||
10/31/2014 | $ | 12.26 | $ | (0.12 | ) | $ | 0.57 | $ | 0.45 | $ | — | $ | (0.05 | ) | $ | (0.05 | ) | $ | 0.00 | $ | 12.66 | 3.71 | % | $ | 211.0 | 2.84 | % | 2.60 | % | 2.84 | % | 2.60 | % | (.94 | %) | 61 | % | 44 | % | ||||||||||||||||||||||||||||||||||||
10/31/2013 | $ | 10.99 | $ | (0.12 | ) | $ | 1.46 | $ | 1.34 | $ | (0.00 | ) | $ | (0.07 | ) | $ | (0.07 | ) | $ | — | $ | 12.26 | 12.23 | % | $ | 115.1 | 2.83 | % | 2.68 | % | 2.83 | %§ | 2.68 | %§ | (1.00 | %) | 103 | % | 52 | % | |||||||||||||||||||||||||||||||||||
Period from 12/29/2011^ to 10/31/2012 | $ | 10.00 | $ | (0.06 | ) | $ | 1.05 | $ | 0.99 | $ | — | $ | — | $ | — | $ | — | $ | 10.99 | 9.90 | %** | $ | 3.4 | 4.34 | %‡* | 4.20 | %‡* | 2.95 | %‡* | 2.81 | %‡* | (.69 | %)‡* | 93 | %** | 56 | %** | ||||||||||||||||||||||||||||||||||||||
Multi-Asset Income Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period from 3/27/2015 ^ to 4/30/2015 (Unaudited) | $ | 10.00 | $ | 0.03 | $ | 0.09 | $ | 0.12 | $ | (0.03 | ) | $ | — | $ | (0.03 | ) | $ | — | $ | 10.09 | 1.22 | %** | $ | 11.2 | 3.04 | %‡* | 3.04 | %؇* | .42 | %‡* | .42 | %؇* | 3.50 | %‡* | 5 | %** | 5 | %Ø** | |||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period from 3/27/2015 ^ to 4/30/2015 (Unaudited) | $ | 10.00 | $ | 0.03 | $ | 0.09 | $ | 0.12 | $ | (0.03 | ) | $ | — | $ | (0.03 | ) | $ | — | $ | 10.09 | 1.19 | %** | $ | 0.5 | 3.91 | %‡* | 3.91 | %؇* | .75 | %‡* | .75 | %؇* | 3.11 | %‡* | 5 | %** | 5 | %Ø** | |||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period from 3/27/2015 ^ to 4/30/2015 (Unaudited) | $ | 10.00 | $ | 0.02 | $ | 0.09 | $ | 0.11 | $ | (0.02 | ) | $ | — | $ | (0.02 | ) | $ | — | $ | 10.09 | 1.12 | %** | $ | 0.5 | 4.66 | %‡* | 4.66 | %؇* | 1.42 | %‡* | 1.42 | %؇* | 2.45 | %‡* | 5 | %** | 5 | %Ø** | |||||||||||||||||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period from 3/27/2015 ^ to 4/30/2015 (Unaudited) | $ | 10.00 | $ | 0.03 | $ | 0.09 | $ | 0.12 | $ | (0.03 | ) | $ | — | $ | (0.03 | ) | $ | — | $ | 10.09 | 1.23 | %** | $ | 4.0 | 3.02 | %‡* | 3.02 | %؇* | .36 | %‡* | .36 | %؇* | 3.50 | %‡* | 5 | %** | 5 | %Ø** |
See Notes to Financial Highlights
101
102
Notes to Financial Highlights (Unaudited)
†† Total return based on per share NAV reflects the effects of changes in NAV on the performance of each Fund during each fiscal period. Returns assume income dividends and other distributions, if any, were reinvested, but do not reflect the effect of sales charges. Results represent past performance and do not indicate future results. Current returns may be lower or higher than the performance data quoted. Investment returns and principal may fluctuate and shares when redeemed may be worth more or less than original cost. Total return would have been lower if Management had not reimbursed and/or waived certain expenses. Total return would have been higher if Management had not recouped previously reimbursed and/or waived expenses. The voluntary contribution listed in Note B of the Notes to Financial Statements had no impact on the Funds' total returns for the year ended October 31, 2014.
^ The date investment operations commenced.
‡ Organization expense, which is a non-recurring expense, is included in these ratios on a non-annualized basis.
@ Calculated based on the average number of shares outstanding during each fiscal period.
§ After repayment of expenses previously reimbursed and/or fees previously waived by Management, as applicable. Had the Fund not made such repayments, the annualized ratios of net expenses to average daily net assets would have been:
Including Dividend and Interest Expense Relating to Short Sales | Excluding Dividend and Interest Expense Relating to Short Sales | ||||||||||
Year Ended October 31, 2013 | |||||||||||
Long Short Fund Institutional Class | 1.69 | % | 1.54 | % | |||||||
Long Short Fund Class A | 2.06 | % | 1.92 | % | |||||||
Long Short Fund Class C | 2.81 | % | 2.66 | % |
* Annualized.
** Not annualized.
^^ As of June 22, 2011, Global Allocation's Institutional Class, Class A and Class C contractual expense limitations exclude dividend expenses relating to short sales, if any; consequently, net expenses may exceed the contractual expense limitations.
# Represents the annualized ratios of net expenses to average daily net assets if Management had not reimbursed certain expenses and/or waived a portion of the investment management fee.
Ø Flexible Select, Inflation Managed and Multi-Asset Income did not engage in short sales.
§§ Effective February 28, 2015, Neuberger Berman Inflation Navigator Fund changed its name to Neuberger Berman Inflation Managed Fund.
a The portfolio turnover rates not including mortgage dollar roll transactions, including and excluding securities sold short, were 127% and 123%, respectively, for the six months ended April 30, 2015, for Global Allocation.
103
Directory
Investment Manager, Administrator and Distributor
Neuberger Berman Management LLC
605 Third Avenue, 2nd Floor
New York, NY 10158-0180
800.877.9700 or 212.476.8800
Intermediary Client Services 800.366.6264
Sub-Advisers
Neuberger Berman Fixed Income LLC
190 South LaSalle Street
Chicago, IL 60603
Neuberger Berman LLC
605 Third Avenue
New York, NY 10158-3698
Custodian and Shareholder Servicing Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
For Institutional Class Shareholders
Address correspondence to:
Neuberger Berman Management LLC
605 Third Avenue, Mail Drop 2-7
New York, NY 10158-0180
Attn: Intermediary Client Services
800.366.6264
For Class A and Class C Shareholders:
Please contact your investment provider
Legal Counsel
K&L Gates LLP
1601 K Street, NW
Washington, DC 20006-1600
Independent Registered Public Accounting Firms
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Tait, Weller & Baker LLP
1818 Market Street
Suite 2400
Philadelphia, PA 19103
104
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities is available, without charge, by calling 800-877-9700 (toll-free) and on the Securities and Exchange Commission's website at www.sec.gov. Information regarding how the Trust 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 800-877-9700 (toll-free), on the Securities and Exchange Commission's website at www.sec.gov, and on Management's website at www.nb.com.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings for each Fund with the Securities and Exchange Commission for the first and third quarters of the fiscal year on Form N-Q. The Trust's Forms N-Q are available on the Securities and Exchange Commission's website at www.sec.gov and may be reviewed and copied at the Securities and Exchange Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 800-877-9700 (toll-free).
105
Neuberger Berman Multi-Asset Income Fund: Initial Consideration of the Management and Subadvisory Agreements
At a meeting held on December 17-18, 2014, the Board of the Trust, including the Independent Fund Trustees, evaluated and approved the management agreement with Management (the "Management Agreement") and the sub-advisory agreement between Management and NBFI (the "Sub-Advisory Agreement" and collectively with the Management Agreement, the "Agreements") with respect to Neuberger Berman Multi-Asset Income Fund (the "Fund"). The Independent Fund Trustees were advised by Independent Counsel.
In evaluating the Agreements, the Board, including the Independent Fund Trustees, reviewed extensive materials provided by Management and met with senior representatives of Management regarding its personnel, operations and financial condition as they relate to the Fund.
In connection with its deliberations, the Board also considered the broad range of information relevant to the contract review that is provided to the Board (including its various standing committees) at meetings throughout the year, including periodic reports on, among other matters, pricing and valuation; brokerage and execution; and compliance, shareholder and other services provided by Management and its affiliates. To assist the Board in its deliberations regarding the contract review, the Board has established a Contract Review Committee comprised of Independent Fund Trustees, as well as other committees that focus throughout the year on specific areas relevant to the contract review, such as compliance matters.
The Independent Fund Trustees receive from Independent Counsel a memorandum, at least annually, discussing the legal standards for their consideration of the Agreements. During the course of their deliberations regarding the contract review, the Independent Fund Trustees met with Independent Counsel together with and separately from representatives of Management and NBFI.
In connection with its approval of the Agreements, the Board evaluated the terms of the Agreements, the overall fairness of the Agreements to the Fund and whether the Agreements were in the best interests of the Fund and its shareholders. The Board considered all factors it deemed relevant with respect to the Fund, including the following factors: (1) the nature, extent, and quality of the services to be provided by Management and NBFI; (2) the expected costs of the services to be provided; (3) the extent to which economies of scale might be realized as the Fund grows; and (4) whether proposed fee levels reflect any such potential economies of scale for the benefit of investors in the Fund. While each Trustee may have attributed different weights to the various factors, the Board's determination to approve the Agreements was based on a comprehensive consideration of all information provided to the Board, and the Board members did not identify any particular information or factor that was all-important or controlling. The Board focused on the overall costs and benefits of the Agreements relating to the Fund and, through the Fund, its shareholders.
With respect to the nature, extent and quality of the services to be provided, the Board considered the investment philosophy and decision-making processes of Management and NBFI and the qualifications, experience and capabilities of and the resources available to the portfolio management personnel of Management and NBFI who would perform services for the Fund. The Board noted that Management also would provide certain administrative services, including fund accounting and compliance oversight. The Board also considered Management's and NBFI's policies and practices regarding brokerage and allocation of portfolio transactions for the Fund. The Board also considered that Management's responsibilities will include daily management of investment, operational, enterprise, legal, regulatory and compliance risks as they relate to the Fund, and considered information regarding Management's processes for managing risk. In addition, the Board noted the positive compliance history of Management and NBFI as no significant compliance problems were reported to the Board with respect to any of them. The Board also considered the general structure of the portfolio manager compensation program and whether this structure would provide appropriate incentives to act in the best interests of the Funds. In addition, the Board considered the scope and depth of the compliance programs of Management and NBFI. The Board also considered the manner in which Management addressed various non-routine matters that have arisen from to time to time, some of them a result of developments in the broader fund industry or the regulations governing it.
106
The Board notes that there were no other funds or accounts managed by Management or NBFI with investment objectives, policies and strategies that were similar to those of the Fund.
With respect to the overall fairness of the Agreements, the Board considered the fee structure proposed for the Fund under the Agreements as compared to a peer group of comparable funds and any fall-out benefits likely to accrue to Management and NBFI or their affiliates from their relationship with the Fund. The Board reviewed comparisons of the Fund's proposed management fee and overall expense ratio to a peer group of broadly comparable funds and a larger goup of funds in the same category. The Board noted that the comparative management fee analysis includes, in the Fund's management fee, the separate administrative fee paid to Management, but it was not clear whether this was the case for all funds in the peer group or the full category. The Board considered the mean and median of the management fees and expense ratios of the peer group. The Board considered that the total expense ratio, net of the contractual limit on expenses, for each class was above the median total expense ratio of the peer group, but noted that for all classes except one, it was below the mean and median for the full category. The Board considered whether specific portfolio management or administration needs contributed to the size of the management fee. The Board noted that "other expenses," as a component of the total expense ratio, were expected to be relatively high because the fund would operate in part by investing in other funds managed by NB Management; however, NB Management would rebate to the Fund a portion of the investment advisory fee corresponding to the advisory fees charged by the underlying fund(s). In addition, the Board considered the proposed contractual limit on expenses of each class of the Fund. The Board also noted the breakpoints built into the management fee to account for possible economies of scale, but noted that it may be too soon to evaluate the economies at the start-up phase of a fund. The Board concluded that the benefits expected to accrue to Management and its affiliates by virtue of their relationship to the Fund were reasonable in light of the costs of providing the investment advisory and other services and the benefits expected to accrue to the Fund.
Conclusions
In approving the Agreements, the Board concluded that the terms of each Agreement are fair and reasonable to the Fund and that approval of the Agreements is in the best interests of the Fund and its shareholders. In reaching this determination, the Board considered that Management and NBFI could be expected to provide a high level of service to the Fund; that the Fund's proposed fee structure appeared to the Board to be reasonable given the nature, extent and quality of services expected to be provided; and that the benefits expected to accrue to Management and its affiliates by virtue of their relationship to the Fund were reasonable in light of the costs of providing the investment advisory and other services and the benefits expected to accrue to the Fund. The Board's conclusions may be based in part on its consideration of materials prepared in connection with the Board's ongoing regular review of performance and operations of other funds advised by Management and NBFI, in addition to material prepared specifically for the most recent annual review of the agreements applicable to such other funds.
107
Investment manager: Neuberger Berman Management LLC
Sub-advisers: Neuberger Berman Fixed Income LLC
Neuberger Berman LLC
Neuberger Berman Management LLC
605 Third Avenue 2nd Floor
New York, NY 10158–0180
Shareholder Services
800.877.9700
Institutional Services
800.366.6264
www.nb.com
Statistics and projections in this report are derived from sources deemed to be reliable but cannot be regarded as a representation of future results of the Funds. This report is prepared for the general information of shareholders and is not an offer of shares of the Funds. Shares are sold only through the currently effective prospectus, which must precede or accompany this report.
L0088 06/15
Neuberger Berman
Alternative and Multi-Asset Class Funds
Institutional Class Shares
Class A Shares
Class C Shares
Global Long Short Fund
Semi-Annual Report
April 30, 2015
Contents
PRESIDENT'S LETTER | 1 | ||||||
PORTFOLIO COMMENTARY | 2 | ||||||
FUND EXPENSE INFORMATION | 6 | ||||||
SCHEDULE OF INVESTMENTS/TOP TEN HOLDINGS | 8 | ||||||
POSITIONS BY INDUSTRY | 11 | ||||||
FINANCIAL STATEMENTS | 18 | ||||||
FINANCIAL HIGHLIGHTS (ALL CLASSES)/ PER SHARE DATA | 35 | ||||||
Directory | 38 | ||||||
Proxy Voting Policies and Procedures | 39 | ||||||
Quarterly Portfolio Schedule | 39 | ||||||
Board Consideration of the Management and Sub-Advisory Agreements | 40 |
The "Neuberger Berman" name and logo are registered service marks of Neuberger Berman Group LLC. "Neuberger Berman Management LLC" and the individual Fund names in this piece are either service marks or registered service marks of Neuberger Berman Management LLC. ©2015 Neuberger Berman Management LLC. All rights reserved.
President's Letter
Dear Shareholder,
I am pleased to present the first semi-annual report for Neuberger Berman Global Long Short Fund, which was launched on November 12, 2014. This report includes a portfolio commentary, a listing of the Fund's investments and its unaudited financial statements for the reporting period.
The Fund seeks long term capital appreciation while attempting to protect capital in equity down markets. The investment team combines top-down theme generation with fundamental bottom-up stock analysis in an effort to add value through both stock selection and asset allocation, primarily within the equity asset class. The investment team seeks to identify what they believe are the best equity investment opportunities, both long and short, around the world. Long stock positions consist of good businesses benefiting from thematic tailwinds, and short stock positions consist of what we think are challenged businesses that fall victim to thematic headwinds. The intended result is a differentiated, repeatable and scalable process that is diversified across investment themes, stock positions, sectors and countries.
Thank you for your support and trust. We look forward to continue serving your investment needs in the years to come.
Sincerely,
ROBERT CONTI
PRESIDENT AND CEO
NEUBERGER BERMAN MUTUAL FUNDS
1
Global Long Short Fund Commentary
We are pleased to provide the first semi-annual report for Neuberger Berman Global Long Short Fund. During the period since the Fund's inception on November 12, 2014 through April 30, 2015, its Institutional Class produced a 2.80% total return but underperformed the 4.15% return of its primary benchmark, the HFRX Equity Hedge Index, (Performance for all share classes is provided in the table immediately following this letter.)
The past several months were eventful in the global arena, especially relating to policy developments and corresponding market responses across the world. Late 2014 through early 2015 saw a bottoming of economic fundamentals in the European Union, which was followed in early March by the European Central Bank's launch of its long-awaited quantitative-easing program. Additionally, we saw a continuation of monetary easing and reform initiatives in Asia, in particular China, Japan and India. At the same time, the U.S. was undergoing a transition, having exited its own quantitative easing program and entered into a period of uncertainty regarding the path of future U.S. Federal Reserve (Fed) rate increases. Although the U.S. economy remained on a steady path during the reporting period, economic data was mixed. Of particular note, we saw the dollar gain strength while the euro weakened from the beginning of the period until mid-March, when the Fed suggested that rate hikes in the U.S. could be delayed. This led to a substantial rotation affecting currency, fixed income, commodity and equity markets.
Since the Fund's inception, we have had a constructive view of global equity markets, with a great deal of interest in capturing fundamental and policy related opportunities, particularly in Europe and Japan. In the period preceding the Fed's rebasing of rate expectations, we increased our exposure to Europe—prompted by positive economic momentum and supportive monetary policies—focusing specifically on dollar-earning businesses such as automotive companies, dividend yielding stocks that we believe have growth potential and that could be reflation beneficiaries. We shorted stocks exposed to a slowdown in the resources capital expenditure cycle and hedged some of our currency exposures. Our positioning was more defensive in the U.S., where one of our important themes was to invest in companies that catered to the aging demographic, particularly businesses that improve the efficiency of health care products and services delivery. Our focus on the short side in the U.S. was on what appeared to be challenged business models, such as those suffering from changes in consumer preferences. In other parts of the world, we sought exposure to companies benefiting from the domestic recovery in Japan as well as reform programs in India.
The Fund's use of futures, forwards, options and equity swaps had an overall positive impact on the Fund's performance.
We have a generally positive outlook on global equity markets, but recognize that we are in the midst of one of the longest U.S. bull markets in history, one in which equity valuations around the globe have risen. While we anticipate continued accommodative monetary policies around the world, save for the U.S., we believe that uncertainty regarding Fed decisions could foster more volatility and market rotations. Finally, one cannot lose sight of potential risks that could result from geopolitical events, such as Greece's political tribulations and conflicts in the Middle East. Still, we believe there is a good global backdrop for our unique investment approach. By combining top-down research with bottom-up stock analysis within an unconstrained global long-short strategy, we believe we can identify exciting investment themes globally while also seeking to minimize downside risk.
Sincerely,
DANIEL GEBER
PORTFOLIO MANAGER
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change.
The opinions expressed are those of the Fund's portfolio manager. The opinions are as of the date of this report and are subject to change without notice.
2
Global Long Short Fund
TICKER SYMBOLS
Institutional Class | NGBIX | ||
Class A | NGBAX | ||
Class C | NGBCX |
PERFORMANCE HIGHLIGHTS
Inception Date | Cumulative Total Return Ended 04/30/2015 Life of Fund | ||||||||
At NAV | |||||||||
Institutional Class | 11/12/2014 | 2.80 | % | ||||||
Class A | 11/12/2014 | 2.60 | % | ||||||
Class C | 11/12/2014 | 2.20 | % | ||||||
With Sales Charge | |||||||||
Class A | –3.30 | % | |||||||
Class C | 1.20 | % | |||||||
Index | |||||||||
HFRX Equity Hedge Index1,2 | 4.15 | % | |||||||
MSCI All Country World Index1,2 | 4.92 | % |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Management LLC (Management) had not reimbursed certain expenses and/or waived a portion of the investment management fees during the period shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the estimated total annual operating expense ratios for fiscal year 2015 are 2.71%, 3.07% and 3.82% for Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The estimated total annual operating expense ratios are 2.52%, 2.88% and 3.63% for Institutional Class, Class A and Class C, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the period from November 12, 2014 through April 30, 2015 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
3
Endnotes
1 Please see "Glossary of Indices" on page 5 for a description of indices. Please note that individuals cannot invest directly in any index. The HFRX Equity Hedge Index takes into account fees and expenses of investing since it is based on the underlying hedge funds' net returns. The other indices described in this report do not take into account any fees, expenses or tax consequences of investing in the individual securities that they track. Data about the performance of an index are prepared or obtained by Neuberger Berman Management LLC (Management) and reflect the reinvestment of income dividends and other distributions, if any. The Fund may invest in securities not included in a described index and generally does not invest in all securities included in a described index.
2 The date used to calculate Life of Fund performance for the index is November 12, 2014, the inception date of the oldest share class.
For more complete information on any of the Neuberger Berman Alternative and Multi-Asset Class Funds, call Neuberger Berman Management LLC at (800) 877-9700, or visit our website at www.nb.com.
4
Glossary of Indices
HFRX Equity Hedge Index: | The index comprises equity hedge strategies. Equity hedge strategies maintain positions both long and short in primarily equity and equity derivative securities. A wide variety of investment processes can be employed to arrive at an investment decision, including both quantitative and fundamental techniques; strategies can be broadly diversified or narrowly focused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed, holding period, concentrations of market capitalizations and valuation ranges of typical portfolios. Equity hedge managers would typically maintain at least 50%, and may in some cases be substantially entirely invested, in equities, both long and short. Constituent funds are selected from an eligible pool of the more than 7,500 funds worldwide that report to the Hedge Fund Research (HFR) Database. Constituent funds must meet all of the following criteria: report monthly; report performance net of all fees; be U.S. dollar-denominated; be active and accepting new investments; have a minimum 24 months track record; and the fund's manager must have at least $50 million in assets under management. The index is rebalanced quarterly. | ||
MSCI All Country World Index: | The index is a free float-adjusted market capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. The index consists of 46 country indices comprising 23 developed and 23 emerging market country indices. The developed market country indices included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom, and the United States. The emerging market country indices included are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, the Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey, and the UAE. |
5
Information About Your Fund's Expenses (Unaudited)
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds (if applicable); and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees (if applicable), and other Fund expenses. This example is intended to help you understand your ongoing costs (in U.S. dollars) of investing in a Fund and compare these costs with the ongoing costs of investing in other mutual funds.
This table is designed to provide information regarding costs related to your investments. The following examples are based on an investment of $1,000 made at the beginning of the six month period ended April 30, 2015 and held for the entire period. The table illustrates the Fund's costs in two ways:
Actual Expenses and Performance: | The first section of the table provides information about actual account values and actual expenses in dollars, based on the Fund's actual performance during the period indicated. You may use the information in this line, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section of the table under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid over the period. | ||
Hypothetical Example for Comparison Purposes: | The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return at 5% per year before expenses. This return is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund versus other funds. To do so, compare the expenses shown in this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. |
Please note that the expenses in the table are meant to highlight your ongoing costs only and do not include any transaction costs, such as sales charges (loads) (if applicable). Therefore, the information under the heading "Hypothetical (5% annual return before expenses)" is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
6
Expense Information as of 4/30/15 (Unaudited)
ACTUAL | HYPOTHETICAL (5% ANNUAL RETURN BEFORE EXPENSES)(3) | ||||||||||||||||||||||||||||||||
Beginning Account Value 11/12/14 | Ending Account Value 4/30/15 | Expenses Paid During the Period(1) 11/12/14 - 4/30/15 | Expense Ratio | Beginning Account Value 11/1/14 | Ending Account Value 4/30/15 | Expenses Paid During the Period(2) 11/1/14 - 4/30/15 | Expense Ratio | ||||||||||||||||||||||||||
Global Long Short | |||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,028.00 | $ | 10.82 | 2.29 | % | $ | 1,000.00 | $ | 1,013.44 | $ | 11.43 | 2.29 | % | |||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,026.00 | $ | 12.50 | 2.65 | % | $ | 1,000.00 | $ | 1,011.65 | $ | 13.22 | 2.65 | % | |||||||||||||||||
Class C | $ | 1,000.00 | $ | 1,022.00 | $ | 15.96 | 3.39 | % | $ | 1,000.00 | $ | 1,007.98 | $ | 16.88 | 3.39 | % |
(1) For each class, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 170/365 (to reflect the period shown of November 12, 2014 (Commencement of Operations) to April 30, 2015).
(2) For each class, expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown), unless otherwise indicated.
(3) Hypothetical 5% annual return before expenses is calculated by multiplying the number of days in the most recent period divided by 365.
7
Schedule of Investments Neuberger Berman Global Long Short Fund (Unaudited) 4/30/15
TOP TEN EQUITY HOLDINGS LONG POSITIONS (as a % of Net Assets)
Country | Industry | ||||||||||||
1 | Apple, Inc. | United States | Technology Hardware, Storage & Peripherals | 2.2 | % | ||||||||
2 | Nomura Holdings, Inc. | Japan | Capital Markets | 1.6 | % | ||||||||
3 | Ingenico Group | France | Electronic Equipment, Instruments & Components | 1.5 | % | ||||||||
4 | Mitsubishi UFJ Financial Group, Inc. | Japan | Banks | 1.5 | % | ||||||||
5 | ProSiebenSat.1 Media AG | Germany | Media | 1.5 | % | ||||||||
6 | CVS Health Corp. | United States | Food & Staples Retailing | 1.3 | % | ||||||||
7 | B/E Aerospace, Inc. | United States | Aerospace & Defense | 1.3 | % | ||||||||
8 | Sumitomo Mitsui Financial Group, Inc. | Japan | Banks | 1.2 | % | ||||||||
9 | Mizuho Financial Group, Inc. | Japan | Banks | 1.2 | % | ||||||||
10 | Deutsche Telekom AG | Germany | Diversified Telecommunication Services | 1.2 | % |
TOP TEN EQUITY HOLDINGS SHORT POSITIONS (as a % of Net Assets)
Country | Industry | ||||||||||||
1 | The Swatch Group AG | Switzerland | Textiles, Apparel & Luxury Goods | (1.3 | )% | ||||||||
2 | Philip Morris International, Inc. | United States | Tobacco | (1.3 | )% | ||||||||
3 | Deere & Co. | United States | Machinery | (1.0 | )% | ||||||||
4 | Cie Financiere Richemont SA | Switzerland | Textiles, Apparel & Luxury Goods | (1.0 | )% | ||||||||
5 | Vallourec SA | France | Machinery | (1.0 | )% | ||||||||
6 | Deutsche Lufthansa AG | Germany | Airlines | (0.9 | )% | ||||||||
7 | McDonald's Corp. | United States | Hotels, Restaurants & Leisure | (0.9 | )% | ||||||||
8 | The Coca-Cola Co. | United States | Beverages | (0.9 | )% | ||||||||
9 | Leoni AG | Germany | Auto Components | (0.9 | )% | ||||||||
10 | Wartsila OYJ Abp | Finland | Machinery | (0.8 | )% |
Number of Shares | Value† | ||||||||
Long Positions (99.3%) | |||||||||
Common Stocks (77.8%) | |||||||||
Belgium (1.6%) | |||||||||
Ackermans & | 1,076 | $131,503 van Haaren NV | |||||||
Anheuser-Busch InBev NV | 648 | 78,893 | Ø | ||||||
KBC Groep NV | 1,297 | 85,334 | *Ø | ||||||
295,730 | |||||||||
China (0.6%) | |||||||||
Bank of China Ltd. Class H | 65,000 | 44,538 | |||||||
China Construction Bank Corp. Class H | 46,000 | 44,654 | |||||||
Industrial & Commercial Bank of China Ltd. Class H | 52,000 | 45,108 | |||||||
134,300 | |||||||||
France (8.7%) | |||||||||
Alcatel-Lucent | 18,436 | 64,010 | * | ||||||
Ingenico Group | 2,166 | 271,774 | |||||||
Klepierre | 2,543 | 123,350 | |||||||
LVMH Moet Hennessy Louis Vuitton SE | 869 | 151,959 | Ø | ||||||
Natixis SA | 6,016 | 49,797 |
Number of Shares | Value† | ||||||||
Orpea | 2,545 | $ | 167,645 | Ø | |||||
Safran SA | 1,233 | 90,092 | |||||||
Sanofi | 799 | 81,331 | Ø | ||||||
Schneider Electric SE | 2,519 | 188,291 | |||||||
SCOR SE | 4,012 | 144,399 | Ø | ||||||
Thales SA | 2,329 | 141,780 | |||||||
Unibail- Rodamco SE | 399 | 110,168 | |||||||
1,584,596 | |||||||||
Germany (10.7%) | |||||||||
Bayer AG | 809 | 116,441 | *Ø | ||||||
Daimler AG | 1,781 | 171,237 | Ø | ||||||
Deutsche Annington Immobilien SE | 6,094 | 204,546 | |||||||
Deutsche Telekom AG | 11,737 | 215,734 | Ø | ||||||
Deutsche Wohnen AG | 7,672 | 201,234 | |||||||
Dialog Semiconductor PLC | 3,083 | 139,009 | *Ø | ||||||
Fresenius Medical Care AG & Co. KGaA | 1,084 | 91,101 | Ø | ||||||
Fresenius SE & Co. KGaA | 1,404 | 83,528 | Ø | ||||||
GEA Group AG | 1,655 | 79,483 | Ø | ||||||
Hella KGaA Hueck & Co. | 1,718 | 79,283 | *Ø |
Number of Shares | Value† | ||||||||
KUKA AG | 1,600 | $ | 113,666 | Ø | |||||
LEG Immobilien AG | 945 | 73,320 | *Ø | ||||||
ProSiebenSat.1 Media AG | 5,161 | 263,868 | Ø | ||||||
RTL Group SA | 1,193 | 111,845 | Ø | ||||||
1,944,295 | |||||||||
Hong Kong (0.2%) | |||||||||
Hong Kong Exchanges and Clearing Ltd. | 1,152 | 43,915 | |||||||
Israel (0.7%) | |||||||||
Teva Pharmaceutical Industries Ltd. ADR | 1,976 | 119,390 | Ø | ||||||
Italy (2.6%) | |||||||||
Brembo SpA | 2,235 | 89,406 | Ø | ||||||
Buzzi Unicem SpA | 7,547 | 121,470 | Ø | ||||||
Enel SpA | 27,381 | 129,784 | Ø | ||||||
Intesa Sanpaolo SpA | 38,453 | 129,183 | |||||||
469,843 | |||||||||
Japan (11.0%) | |||||||||
Daicel Corp. | 6,574 | 79,257 | Ø | ||||||
Don Quijote Holdings Co. Ltd. | 529 | 40,360 | |||||||
Fuji Heavy Industries Ltd. | 5,448 | 182,181 | |||||||
Isetan Mitsukoshi Holdings Ltd. | 7,430 | 120,215 |
See Notes to Schedule of Investments
8
Schedule of Investments Neuberger Berman Global Long Short Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||
Japan Airlines Co. Ltd. | 4,000 | $ | 133,369 | ||||||
Kirin Holdings Co. Ltd. | 5,793 | 76,677 | Ø | ||||||
Mitsubishi UFJ Financial Group, Inc. | 37,152 | 263,941 | |||||||
Mizuho Financial Group, Inc. | 113,200 | 215,791 | |||||||
Nissin Kogyo Co. Ltd. | 3,756 | 61,908 | |||||||
Nomura Holdings, Inc. | 43,596 | 282,825 | |||||||
NTT DOCOMO, Inc. | 4,527 | 80,184 | Ø | ||||||
Sumitomo Mitsui Financial Group, Inc. | 5,030 | 219,633 | |||||||
Taisei Corp. | 14,184 | 82,166 | Ø | ||||||
Toshiba Plant Systems & Services Corp. | 4,900 | 68,129 | Ø | ||||||
Toyota Motor Corp. | 1,270 | 88,404 | Ø | ||||||
1,995,040 | |||||||||
Netherlands (2.5%) | |||||||||
ASML Holding NV | 1,042 | 112,133 | |||||||
NXP Semiconductors NV | 1,811 | 174,073 | *Ø | ||||||
Wereldhave NV | 1,097 | 70,416 | |||||||
Wolters Kluwer NV | 2,677 | 86,728 | |||||||
443,350 | |||||||||
Sweden (1.8%) | |||||||||
Assa Abloy AB Class B | 1,397 | 81,045 | Ø | ||||||
Autoliv, Inc. SDR | 1,432 | 170,819 | Ø | ||||||
TeliaSonera AB | 12,154 | 75,563 | Ø | ||||||
327,427 | |||||||||
Switzerland (1.0%) | |||||||||
Geberit AG | 233 | 82,522 | Ø | ||||||
Novartis AG | 809 | 82,576 | Ø | ||||||
165,098 | |||||||||
Taiwan (2.1%) | |||||||||
Hermes Microvision, Inc. | 2,000 | 140,636 | Ø | ||||||
Largan Precision Co. Ltd. | 1,632 | 163,536 | Ø | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 3,382 | 82,656 | Ø | ||||||
386,828 | |||||||||
United States (34.3%) | |||||||||
Accenture PLC Class A | 1,370 | 126,930 | |||||||
Aetna, Inc. | 818 | 87,420 | Ø |
Number of Shares | Value† | ||||||||
Air Products & Chemicals, Inc. | 555 | $ | 79,604 | Ø | |||||
Allegion PLC | 2,111 | 129,088 | Ø | ||||||
American Airlines Group, Inc. | 3,389 | 163,638 | Ø | ||||||
AmerisourceBergen Corp. | 789 | 90,183 | Ø | ||||||
Apple, Inc. | 3,168 | 396,475 | £ | ||||||
B/E Aerospace, Inc. | 4,018 | 240,236 | |||||||
BlackRock, Inc. | 321 | 116,825 | Ø | ||||||
Brookdale Senior Living, Inc. | 3,381 | 122,494 | *Ø | ||||||
Cardinal Health, Inc. | 1,883 | 158,812 | Ø | ||||||
Cigna Corp. | 680 | 84,755 | Ø | ||||||
Costco Wholesale Corp. | 1,096 | 156,783 | Ø | ||||||
CVS Health Corp. | 2,445 | 242,764 | Ø | ||||||
Delta Air Lines, Inc. | 3,388 | 151,240 | Ø | ||||||
Devon Energy Corp. | 1,123 | 76,600 | Ø | ||||||
EOG Resources, Inc. | 737 | 72,926 | Ø | ||||||
FedEx Corp. | 482 | 81,733 | Ø | ||||||
Fiserv, Inc. | 2,678 | 207,813 | *Ø | ||||||
Humana, Inc. | 1,188 | 196,733 | Ø | ||||||
Invesco Ltd. | 2,739 | 113,449 | Ø | ||||||
Lockheed Martin Corp. | 1,015 | 189,399 | Ø | ||||||
Lowe's Cos., Inc. | 3,056 | 210,436 | £ | ||||||
NIKE, Inc. Class B | 1,186 | 117,224 | |||||||
Northrop Grumman Corp. | 1,070 | 164,823 | Ø | ||||||
Pioneer Natural Resources Co. | 429 | 74,123 | Ø | ||||||
Reinsurance Group of America, Inc. | 1,323 | 121,213 | Ø | ||||||
SBA Communications Corp. Class A | 667 | 77,252 | *Ø | ||||||
Sensata Technologies Holding NV | 3,016 | 166,514 | *Ø | ||||||
Service Corp. International | 6,815 | 188,639 | Ø | ||||||
The Allstate Corp. | 1,689 | 117,656 | Ø | ||||||
The Goldman Sachs Group, Inc. | 392 | 76,997 | Ø | ||||||
The Home Depot, Inc. | 1,868 | 199,839 | Ø | ||||||
The PNC Financial Services Group, Inc. | 1,290 | 118,331 | Ø | ||||||
The Sherwin-Williams Co. | 461 | 128,158 | Ø | ||||||
The Walt Disney Co. | 1,961 | 213,200 | Ø | ||||||
T-Mobile US, Inc. | 2,621 | 89,219 | *Ø | ||||||
United Continental Holdings, Inc. | 2,661 | 158,968 | *Ø | ||||||
United Rentals, Inc. | 1,276 | 123,236 | *Ø | ||||||
United Technologies Corp. | 1,660 | 188,825 | Ø | ||||||
UnitedHealth Group, Inc. | 1,081 | 120,423 | Ø |
Number of Shares | Value† | ||||||||
Wabtec Corp. | 1,281 | $ | 120,478 | Ø | |||||
Wells Fargo & Co. | 1,398 | 77,030 | Ø | ||||||
Yahoo!, Inc. | 1,531 | 65,167 | *£ | ||||||
6,203,651 | |||||||||
Total Common Stocks (Cost $13,484,666) | 14,113,463 | ||||||||
Participatory Notes (1.7%) | |||||||||
India (1.7%) | |||||||||
Glenmark Pharmaceuticals Ltd., (issuer J.P. Morgan Structured Products), Expiration Date 9/23/2016 | 6,000 | 83,938 | * | ||||||
Sun Pharmaceutical Industries Ltd., (issuer J.P. Morgan Structured Products), Expiration Date 4/3/2018 | 10,454 | 154,223 | * | ||||||
Tata Motors Ltd., (issuer J.P. Morgan Structured Products), Expiration Date 6/8/2017 | 8,661 | 69,169 | * | ||||||
Total Participatory Notes (Cost $298,848) | 307,330 | ||||||||
Number of Contracts | |||||||||
Purchased Options (0.5%) | |||||||||
Call Options (0.0%) | |||||||||
Energy Select Sector SPDR Fund, Call, Jun 2015 @ 85 | 60 | 7,320 | |||||||
Put Options (0.5%) | |||||||||
EURO STOXX 50 Index, Put, May 2015 @ 3600 | 106 | 87,362 | |||||||
Philadelphia Stock Exchange Semiconductor Index, Put, May 2015 @ 665 | 25 | 6,250 | |||||||
93,612 | |||||||||
Total Purchased Options (Cost $57,536) | 100,932 |
See Notes to Schedule of Investments
9
Schedule of Investments Neuberger Berman Global Long Short Fund (Unaudited) (cont'd)
Number of Shares | Value† | ||||||||
Short-Term Investment (19.3%) | |||||||||
Morgan Stanley Treasury Fund, 0.03%, due 12/31/49 (Cost $3,503,608) | 3,503,608 | $ | 3,503,608 | Ø | |||||
Total Long Positions (99.3%) (Cost $17,344,658) | 18,025,333 | ## | |||||||
Cash, receivables and other assets, less liabilities (19.8%) | 3,597,173 | ±†††Ø | |||||||
Short Positions (see summary below) ((19.1)%) | (3,476,105 | ) | |||||||
Total Net Assets (100.0%) | $ | 18,146,401 | |||||||
Short Positions ((19.1)%) | |||||||||
Common Stocks Sold Short (19.1%)£ØØ | |||||||||
Australia (0.3%) | |||||||||
Woolworths Ltd. | (2,540 | ) | (58,973 | ) | |||||
Finland (1.7%) | |||||||||
Metso OYJ | (5,327 | ) | (151,428 | ) | |||||
Wartsila OYJ Abp | (3,350 | ) | (153,698 | ) | |||||
(305,126 | ) | ||||||||
France (1.5%) | |||||||||
Cie Generale des Etablissements Michelin | (829 | ) | (92,447 | ) | |||||
Vallourec SA | (7,373 | ) | (173,862 | ) | |||||
(266,309 | ) | ||||||||
Germany (2.3%) | |||||||||
BASF SE | (861 | ) | (85,539 | ) | |||||
Deutsche Lufthansa AG | (11,934 | ) | (164,590 | )* | |||||
Leoni AG | (2,414 | ) | (154,594 | ) | |||||
(404,723 | ) | ||||||||
Luxembourg (0.2%) | |||||||||
ArcelorMittal | (4,386 | ) | (46,673 | ) | |||||
Sweden (1.4%) | |||||||||
Alfa Laval AB | (6,794 | ) | (126,816 | ) | |||||
Sandvik AB | (9,921 | ) | (125,392 | ) | |||||
(252,208 | ) | ||||||||
Switzerland (2.2%) | |||||||||
Cie Financiere Richemont SA | (1,981 | ) | (176,572 | ) | |||||
The Swatch Group AG | (514 | ) | (229,787 | ) | |||||
(406,359 | ) |
Number of Shares | Value† | ||||||||
United States (9.5%) | |||||||||
Bed Bath & Beyond, Inc. | (1,513 | ) | $ | (106,606 | )* | ||||
Consolidated Edison, Inc. | (2,075 | ) | (127,716 | ) | |||||
Deere & Co. | (2,087 | ) | (188,915 | ) | |||||
General Mills, Inc. | (2,268 | ) | (125,511 | ) | |||||
Kellogg Co. | (1,320 | ) | (83,596 | ) | |||||
McDonald's Corp. | (1,690 | ) | (163,169 | ) | |||||
Microsoft Corp. | (2,013 | ) | (97,912 | ) | |||||
Monsanto Co. | (1,013 | ) | (115,441 | ) | |||||
Owens-Illinois, Inc. | (5,862 | ) | (140,160 | )* | |||||
Philip Morris International, Inc. | (2,724 | ) | (227,372 | ) | |||||
Praxair, Inc. | (592 | ) | (72,183 | ) | |||||
The Coca-Cola Co. | (3,864 | ) | (156,724 | ) | |||||
Tyson Foods, Inc. Class A | (3,302 | ) | (130,429 | ) | |||||
(1,735,734 | ) | ||||||||
Total Common Stocks Sold Short (Proceeds $(3,483,243)) | (3,476,105 | ) | |||||||
Total Short Positions (Proceeds $(3,483,243)) | (3,476,105 | ) |
See Notes to Schedule of Investments
10
LONG POSITIONS BY INDUSTRY GLOBAL LONG SHORT FUND
Industry | Investments at Value† | Percentage of Net Assets | |||||||
Banks | $ | 1,293,340 | 7.1 | % | |||||
Health Care Providers & Services | 1,203,094 | 6.6 | % | ||||||
Aerospace & Defense | 1,015,155 | 5.6 | % | ||||||
Media | 675,641 | 3.7 | % | ||||||
Semiconductors & Semiconductor Equipment | 648,507 | 3.6 | % | ||||||
Pharmaceuticals | 637,899 | 3.5 | % | ||||||
Airlines | 607,215 | 3.3 | % | ||||||
Capital Markets | 590,096 | 3.3 | % | ||||||
Automobiles | 510,991 | 2.8 | % | ||||||
Real Estate Management & Development | 479,100 | 2.6 | % | ||||||
Electronic Equipment, Instruments & Components | 435,310 | 2.4 | % | ||||||
Specialty Retail | 410,275 | 2.3 | % | ||||||
Auto Components | 401,416 | 2.2 | % | ||||||
Food & Staples Retailing | 399,547 | 2.2 | % | ||||||
Technology Hardware, Storage & Peripherals | 396,475 | 2.2 | % | ||||||
Insurance | 383,268 | 2.1 | % | ||||||
Electrical Equipment | 354,805 | 2.0 | % | ||||||
IT Services | 334,743 | 1.8 | % | ||||||
Machinery | 313,627 | 1.7 | % | ||||||
Real Estate Investment Trusts | 303,934 | 1.7 | % | ||||||
Building Products | 292,655 | 1.6 | % | ||||||
Diversified Telecommunication Services | 291,297 | 1.6 | % | ||||||
Chemicals | 287,019 | 1.6 | % | ||||||
Textiles, Apparel & Luxury Goods | 269,183 | 1.5 | % | ||||||
Wireless Telecommunication Services | 246,655 | 1.4 | % | ||||||
Oil, Gas & Consumable Fuels | 223,649 | 1.2 | % | ||||||
Diversified Consumer Services | 188,639 | 1.0 | % | ||||||
Diversified Financial Services | 175,418 | 1.0 | % | ||||||
Multiline Retail | 160,575 | 0.9 | % | ||||||
Beverages | 155,570 | 0.9 | % | ||||||
Construction & Engineering | 150,295 | 0.8 | % | ||||||
Electric Utilities | 129,784 | 0.7 | % | ||||||
Trading Companies & Distributors | 123,236 | 0.7 | % | ||||||
Construction Materials | 121,470 | 0.7 | % | ||||||
Air Freight & Logistics | 81,733 | 0.4 | % | ||||||
Internet Software & Services | 65,167 | 0.4 | % | ||||||
Communications Equipment | 64,010 | 0.4 | % | ||||||
Purchased Options | 100,932 | 0.5 | % | ||||||
Short-Term Investments and Other Assets—Net | 7,100,781 | 39.1 | % | ||||||
Short Positions (see summary on next page) | (3,476,105 | ) | (19.1 | )% | |||||
$ | 18,146,401 | 100.0 | % |
See Notes to Schedule of Investments
11
SHORT POSITIONS BY INDUSTRY GLOBAL LONG SHORT FUND
Industry | Investments at Value† | Percentage of Net Assets | |||||||
Machinery | $ | (920,111 | ) | (5.1 | )% | ||||
Textiles, Apparel & Luxury Goods | (406,359 | ) | (2.2 | )% | |||||
Food Products | (339,536 | ) | (1.9 | )% | |||||
Chemicals | (273,163 | ) | (1.5 | )% | |||||
Auto Components | (247,041 | ) | (1.4 | )% | |||||
Tobacco | (227,372 | ) | (1.2 | )% | |||||
Airlines | (164,590 | ) | (0.9 | )% | |||||
Hotels, Restaurants & Leisure | (163,169 | ) | (0.9 | )% | |||||
Beverages | (156,724 | ) | (0.9 | )% | |||||
Containers & Packaging | (140,160 | ) | (0.8 | )% | |||||
Multi-Utilities | (127,716 | ) | (0.7 | )% | |||||
Specialty Retail | (106,606 | ) | (0.6 | )% | |||||
Software | (97,912 | ) | (0.5 | )% | |||||
Food & Staples Retailing | (58,973 | ) | (0.3 | )% | |||||
Metals & Mining | (46,673 | ) | (0.2 | )% | |||||
Total Common Stock Sold Short | $ | (3,476,105 | ) | (19.1 | )% |
See Notes to Schedule of Investments
12
Notes to Schedule of Investments Global Long Short Fund (Unaudited)
† In accordance with Accounting Standards Codification ("ASC") 820 "Fair Value Measurements" ("ASC 820"), all investments held by Neuberger Berman Global Long Short Fund (the "Fund") are carried at the value that Neuberger Berman Management LLC ("Management") believes the Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Fund's investments, some of which are discussed below. Significant management judgment may be necessary to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
• Level 1 – quoted prices in active markets for identical investments
• Level 2 – other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
• Level 3 – unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Fund's investments (long and short positions) in equity securities, purchased option contracts and written option contracts, for which market quotations are readily available, is generally determined by Management by obtaining valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price ("NOCP") provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern time, unless that price is outside the range of the "inside" bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no reported sale of a security on a particular day, the independent pricing service may value the security based on reported market quotations.
The value of financial futures contracts ("financial futures") is determined by Management by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
The value of forward foreign currency contracts ("forward contracts") is determined by Management by obtaining valuations from an independent pricing service based on actual traded currency rates on an independent pricing service's network, along with other traded and quoted currency rates provided to the pricing service by leading market participants (Level 2 inputs).
The value of equity swap contracts ("equity swaps") is determined by Management by obtaining valuations from an independent pricing service using the underlying security and stated LIBOR rate or Federal Funds floating rate (Level 2 inputs).
The value of participatory notes is determined by Management by obtaining valuations from an independent pricing service based on the underlying equity security and applicable exchange rate.
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
See Notes to Financial Statements
13
Notes to Schedule of Investments Global Long Short Fund (Unaudited) (cont'd)
Investments in investment companies are valued using the respective fund's daily calculated net asset value per share (Level 2 inputs).
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount the Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Neuberger Berman Alternative Funds' Board of Trustees (the "Board") has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Numerous factors may be considered when determining the fair value of a security based on Level 2 or Level 3 inputs, including available analyst, media or other reports, trading in financial futures or American Depositary Receipts ("ADRs") and whether the issuer of the security being fair valued has other securities outstanding.
The value of the Fund's investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in local currency values are translated from the local currency into U.S. dollars using the exchange rates as of the end of regular trading on the New York Stock Exchange ("NYSE") on business days, usually 4:00 p.m., Eastern time. The Board has approved the use of Interactive Data Pricing and Reference Data, Inc. ("Interactive") to assist in determining the fair value of foreign equity securities when changes in the value of a certain index suggest that the closing prices on the foreign exchanges may no longer represent the amount that the Fund could expect to receive for those securities or on days when foreign markets are closed and U.S. markets are open. In each of these events, Interactive will provide adjusted prices for certain foreign equity securities using a statistical analysis of historical correlations of multiple factors (Level 2 inputs). The Board has also approved the use of Interactive to evaluate the prices of foreign income securities as of the close of the NYSE. Interactive utilizes benchmark spread and yield curves and evaluates available market activity from the local close to the close of the NYSE (Level 2 inputs) to assist in determining prices for certain foreign income securities. In the case of both foreign equity and foreign income securities, in the absence of precise information about the market values of these foreign securities as of the close of the NYSE, the Board has determined on the basis of available data that prices adjusted or evaluated in this way are likely to be closer to the prices the Fund could realize on a current sale than are the prices of those securities established at the close of the foreign markets in which the securities primarily trade.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
See Notes to Financial Statements
14
Notes to Schedule of Investments Global Long Short Fund (Unaudited) (cont'd)
The following is a summary, categorized by Level, of inputs used to value the Fund's investments as of April 30, 2015:
Asset Valuation Inputs | |||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
Investments: | |||||||||||||||||
Common Stocks^ | |||||||||||||||||
Belgium | $ | — | $ | 295,730 | $ | — | $ | 295,730 | |||||||||
China | — | 134,300 | — | 134,300 | |||||||||||||
France | — | 1,584,596 | — | 1,584,596 | |||||||||||||
Germany | — | 1,944,295 | — | 1,944,295 | |||||||||||||
Hong Kong | — | 43,915 | — | 43,915 | |||||||||||||
Italy | — | 469,843 | — | 469,843 | |||||||||||||
Japan | — | 1,995,040 | — | 1,995,040 | |||||||||||||
Netherlands | 174,073 | 269,277 | — | 443,350 | |||||||||||||
Sweden | — | 327,427 | — | 327,427 | |||||||||||||
Switzerland | — | 165,098 | — | 165,098 | |||||||||||||
Taiwan | 82,656 | 304,172 | — | 386,828 | |||||||||||||
Other Common Stocksß | 6,323,041 | — | — | 6,323,041 | |||||||||||||
Total Common Stocks | 6,579,770 | 7,533,693 | — | 14,113,463 | |||||||||||||
Participatory Notes^ | — | 307,330 | — | 307,330 | |||||||||||||
Purchased Options | 100,932 | — | — | 100,932 | |||||||||||||
Short-Term Investments | — | 3,503,608 | — | 3,503,608 | |||||||||||||
Total Long Positions | $ | 6,680,702 | $ | 11,344,631 | $ | — | $ | 18,025,333 |
^ The Schedule of Investments (or Long Positions by Industry and Short Positions by Industry) provides information on the industry categorization for the portfolio.
ß Represents a geographic location where all securities were Level 1 securities. Please refer to the Schedule of Investments for additional information.
The following is a summary, categorized by Level, of inputs used to value the Fund's derivatives as of April 30, 2015:
Asset Valuation Inputs | |||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
Forward contracts (unrealized appreciation) | $ | — | $ | 53,920 | $ | — | $ | 53,920 | |||||||||
Equity swaps (unrealized appreciation) | — | 113,935 | — | 113,935 | |||||||||||||
Total | $ | — | $ | 167,855 | $ | — | $ | 167,855 |
See Notes to Financial Statements
15
Notes to Schedule of Investments Global Long Short Fund (Unaudited) (cont'd)
The following is a summary, categorized by Level, of inputs used to value the Fund's investments as of April 30, 2015:
Liability Valuation Inputs | |||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
Investments: | |||||||||||||||||
Common Stocks Sold Short^ | |||||||||||||||||
Australia | $ | — | $ | (58,973 | ) | $ | — | $ | (58,973 | ) | |||||||
Finland | — | (305,126 | ) | — | (305,126 | ) | |||||||||||
France | — | (266,309 | ) | — | (266,309 | ) | |||||||||||
Germany | — | (404,723 | ) | — | (404,723 | ) | |||||||||||
Luxembourg | — | (46,673 | ) | — | (46,673 | ) | |||||||||||
Sweden | — | (252,208 | ) | — | (252,208 | ) | |||||||||||
Switzerland | — | (406,359 | ) | — | (406,359 | ) | |||||||||||
Other Common Stocks Sold Shortß | (1,735,734 | ) | — | — | (1,735,734 | ) | |||||||||||
Total Common Stocks Sold Short | (1,735,734 | ) | (1,740,371 | ) | — | (3,476,105 | ) | ||||||||||
Total Short Positions | $ | (1,735,734 | ) | $ | (1,740,371 | ) | $ | — | $ | (3,476,105 | ) |
^ The Schedule of Investments (or Long Positions by Industry and Short Positions by Industry) provides information on the industry categorization for the portfolio.
ß Represents a geographic location where all securities were Level 1 securities. Please refer to the Schedule of Investments for additional information.
The following is a summary, categorized by Level, of inputs used to value the Fund's derivatives as of April 30, 2015:
Liability Valuation Inputs | |||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
Forward contracts (unrealized depreciation) | $ | — | $ | (119,226 | ) | $ | — | $ | (119,226 | ) | |||||||
Financial futures (unrealized depreciation) | — | (19,476 | ) | — | (19,476 | ) | |||||||||||
Options written | (35,138 | ) | — | — | (35,138 | ) | |||||||||||
Total | $ | (35,138 | ) | $ | (138,702 | ) | $ | — | $ | (173,840 | ) |
As of the period ending April 30, 2015, the Fund had no transfers between Levels 1, 2 or 3.
## At April 30, 2015, the cost of investments for U.S. federal income tax basis was $17,344,658. Gross unrealized appreciation of investments was $877,644 and gross unrealized depreciation of investments was $196,969, resulting in net unrealized appreciation of $680,675 based on cost for U.S. federal income tax purposes.
* Security did not produce income during the last twelve months.
± At April 30, 2015, Global Long Short had outstanding put options written as follows:
Name of Issuer | Contracts | Exercise Price | Expiration Date | Market Value of Options | |||||||||||
EURO STOXX 50 Index, Put | 106 | EUR | 3,425 | May 2015 | $ | (24,638 | ) | ||||||||
Philadelphia Stock Exchange Semiconductor Index, Put | 25 | $ | 650 | May 2015 | (10,500 | ) | |||||||||
Total | $ | (35,138 | ) |
See Notes to Financial Statements
16
Notes to Schedule of Investments Global Long Short Fund (Unaudited) (cont'd)
£ All or a portion of this security has been pledged as collateral. At April 30, 2015, the Fund had pledged securities in the amount of $672,078 to cover collateral requirements for borrowing in connection with securities sold short and option contracts written.
Ø All or a portion of this security or cash is segregated in connection with obligations for securities sold short and/or call and put options written and/or forward contracts and/or swaps and/or financial futures.
ØØ At April 30, 2015, the Fund had deposited $3,486,558 in one or more accounts to satisfy collateral requirements for borrowing in connection with securities sold short.
††† See Note A-13 in the Notes to Financial Statements for the Fund's open positions in derivatives at April 30, 2015.
See Notes to Financial Statements
17
Statement of Assets and Liabilities (Unaudited)
Neuberger Berman Alternative Funds
GLOBAL LONG SHORT FUND | |||||
April 30, 2015 | |||||
Assets | |||||
Investments in securities, at value* (Note A)—see Schedule of Investments: | |||||
Unaffiliated issuers | $ | 18,025,333 | |||
Cash | 184,268 | ||||
Cash collateral segregated for short sales (Note A-11) | 3,486,558 | ||||
Dividends and interest receivable | 30,276 | ||||
Foreign tax reclaims | 1,955 | ||||
Receivable from administrator—net (Note B) | 133,976 | ||||
Open swap contracts, at value (Note A-13) | 113,935 | ||||
Receivable for variation margin (Note A-13) | 41,639 | ||||
Receivable for open forward foreign currency contracts (Note A-13) | 53,920 | ||||
Prepaid expenses and other assets | 69,831 | ||||
Total Assets | 22,141,691 | ||||
Liabilities | |||||
Investments sold short, at value** (Note A) | 3,476,105 | ||||
Options contracts written, at value*** (Note A) | 35,138 | ||||
Due to Custodian | 45,464 | ||||
Dividends and interest payable for short sales | 3,541 | ||||
Payable to investment manager—(Note B) | 18,246 | ||||
Payable for securities purchased | 189,673 | ||||
Payable for open forward foreign currency contracts (Note A-13) | 119,226 | ||||
Accrued expenses and other payables | 107,897 | ||||
Total Liabilities | 3,995,290 | ||||
Net Assets | $ | 18,146,401 | |||
Net Assets consist of: | |||||
Paid-in capital | $ | 17,753,250 | |||
Undistributed net investment income (loss) | (76,106 | ) | |||
Accumulated net realized gains (losses) on investments | (235,187 | ) | |||
Net unrealized appreciation (depreciation) in value of investments | 704,444 | ||||
Net Assets | $ | 18,146,401 |
See Notes to Financial Statements
18
Statement of Assets and Liabilities (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
GLOBAL LONG SHORT FUND | ||||||
April 30, 2015 | ||||||
Net Assets | ||||||
Institutional Class | $ | 17,038,318 | ||||
Class A | 596,996 | |||||
Class C | 511,087 | |||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | ||||||
Institutional Class | 1,658,269 | |||||
Class A | 58,201 | |||||
Class C | 50,000 | |||||
Net Asset Value, offering and redemption price per share | ||||||
Institutional Class | $ | 10.27 | ||||
Net Asset Value and redemption price per share | ||||||
Class A | $ | 10.26 | ||||
Offering Price per share | ||||||
Class A‡ | $ | 10.88 | ||||
Net Asset Value and offering price per share | ||||||
Class C^ | $ | 10.22 | ||||
*Cost of Investments: | ||||||
Unaffiliated issuers | $ | 17,344,658 | ||||
Total cost of foreign currency | $ | (45,449 | ) | |||
**Proceeds from investments sold short | $ | 3,483,243 | ||||
***Premium received from option contracts written | $ | 22,828 |
‡ On single retail sales of less than $50,000. On sales of $50,000 or more or in certain other circumstances described in the Fund's prospectus, offering price is reduced.
^ Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See Notes to Financial Statements
19
Statement of Operations (Unaudited)
Neuberger Berman Alternative Funds
GLOBAL LONG SHORT FUND | |||||
For the Period from November 12, 2014 (Commencement of Operations) to April 30, 2015 | |||||
Investment Income: | |||||
Income (Note A): | |||||
Dividend income—unaffiliated issuers | $ | 113,247 | |||
Interest income—unaffiliated issuers | 408 | ||||
Foreign taxes withheld (Note A-6) | (13,286 | ) | |||
Total income | $ | 100,369 | |||
Expenses: | |||||
Investment management fees (Note B) | 94,373 | ||||
Administration fees (Note B) | 4,530 | ||||
Administration fees (Note B): | |||||
Institutional Class | 6,355 | ||||
Class A | 504 | ||||
Class C | 474 | ||||
Distribution fees (Note B): | |||||
Class A | 630 | ||||
Class C | 2,372 | ||||
Shareholder servicing agent fees: | |||||
Institutional Class | 924 | ||||
Class A | 789 | ||||
Class C | 785 | ||||
Organization expense (Note A-8) | 334,314 | ||||
Audit fees | 13,687 | ||||
Custodian and accounting fees (Note A) | 44,373 | ||||
Legal fees | 48,023 | ||||
Registration and filing fees | 21,371 | ||||
Shareholder reports | 9,605 | ||||
Trustees' fees and expenses | 15,833 | ||||
Short sales expense (Note A-11) | 7,489 | ||||
Dividend expense on securities sold short (Note A-11) | 27,020 | ||||
Miscellaneous | 4,618 | ||||
Total expenses | 638,069 | ||||
Expenses reimbursed by Management (Note B) | (461,594 | ) | |||
Total net expenses | 176,475 | ||||
Net investment income (loss) | $ | (76,106 | ) |
See Notes to Financial Statements
20
Statement of Operations (Unaudited) (cont'd)
Neuberger Berman Alternative Funds (cont'd)
GLOBAL LONG SHORT FUND | |||||
For the Period from November 12, 2014 (Commencement of Operations) to April 30, 2015 | |||||
Realized and Unrealized Gain (Loss) on Investments (Note A): | |||||
Net realized gain (loss) on: | |||||
Sales of investment securities of unaffiliated issuers | $ | (132,253 | ) | ||
Sales of investment securities of unaffiliated issuers sold short | (232,794 | ) | |||
Forward foreign currency contracts | 259,392 | ||||
Foreign currency | (36,814 | ) | |||
Financial futures contracts | (122,565 | ) | |||
Option contracts written | 23,073 | ||||
Swap contracts | 6,774 | ||||
Change in net unrealized appreciation (depreciation) in value of: | |||||
Unaffiliated investment securities | 680,675 | ||||
Unaffiliated investment securities sold short | 7,138 | ||||
Forward foreign currency contracts | (65,306 | ) | |||
Foreign currency | (212 | ) | |||
Financial futures contracts | (19,476 | ) | |||
Option contracts written | (12,310 | ) | |||
Swap contracts | 113,935 | ||||
Net gain (loss) on investments | 469,257 | ||||
Net increase (decrease) in net assets resulting from operations | $ | 393,151 |
See Notes to Financial Statements
21
Statement of Changes in Net Assets (Unaudited)
Neuberger Berman Alternative Funds
GLOBAL LONG SHORT FUND | |||||
Period from November 12, 2014 (Commencement of Operations) to April 30, 2015 | |||||
Increase (Decrease) in Net Assets: | |||||
From Operations (Note A): | |||||
Net investment income (loss) | $ | (76,106 | ) | ||
Net realized gain (loss) on investments | (235,187 | ) | |||
Change in net unrealized appreciation (depreciation) of investments | 704,444 | ||||
Net increase (decrease) in net assets resulting from operations | 393,151 | ||||
From Fund Share Transactions (Note D): | |||||
Proceeds from shares sold: | |||||
Institutional Class | 16,668,550 | ||||
Class A | 584,700 | ||||
Class C | 500,000 | ||||
Net increase (decrease) from Fund share transactions | 17,753,250 | ||||
Net Increase (Decrease) in Net Assets | 18,146,401 | ||||
Net Assets: | |||||
Beginning of period | — | ||||
End of period | $ | 18,146,401 | |||
Undistributed net investment income (loss) at end of period | (76,106 | ) |
See Notes to Financial Statements
22
Notes to Financial Statements Global Long Short Fund (Unaudited)
Note A—Summary of Significant Accounting Policies:
1 General: Neuberger Berman Alternative Funds (the "Trust") is a Delaware statutory trust organized pursuant to an Amended and Restated Trust Instrument dated March 27, 2014. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"), and its shares are registered under the Securities Act of 1933, as amended (the "1933 Act"). Global Long Short (the "Fund") is a separate operating series of the Trust, and is diversified. The Fund had no operations until November 12, 2014, other than matters relating to its organization and registration of shares under the 1933 Act. The Fund offers Institutional Class shares, Class A shares and Class C shares. The Board may establish additional series or classes of shares without the approval of shareholders.
The assets of the Fund belong only to that Fund, and the liabilities of the Fund are borne solely by that Fund and no other.
The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 "Financial Services—Investment Companies."
The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("GAAP") requires Management to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates.
2 Portfolio valuation: Investment securities are valued as indicated in the notes following the Fund's Schedule of Investments.
3 Foreign currency translation: The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars using the exchange rate as of the end of regular trading on the NYSE on business days, usually 4:00 p.m. Eastern time, to determine the value of investments, other assets and liabilities. Purchase and sale prices of securities, and income and expenses, are translated into U.S. dollars at the prevailing rate of exchange on the respective dates of such transactions. Net unrealized foreign currency gain (loss), if any, arises from changes in the value of assets and liabilities, other than investments in securities, as a result of changes in exchange rates and is stated separately in the Statement of Operations.
4 Securities transactions and investment income: Securities transactions are recorded on trade date for financial reporting purposes. Dividend income is recorded on the ex-dividend date or, for certain foreign dividends, as soon as the Fund becomes aware of the dividends. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income, including accretion of discount (adjusted for original issue discount, where applicable) and amortization of premium, where applicable, and accretion of discount on short-term investments, if any, is recorded on the accrual basis. Realized gains and losses from securities transactions and foreign currency transactions, if any, are recorded on the basis of identified cost and stated separately in the Statement of Operations.
5 Income tax information: The Fund is treated as a separate entity for U.S. federal income tax purposes. It is the intention of the Fund to qualify for treatment as a regulated investment company ("RIC") by complying with the requirements of the U.S. Internal Revenue Code applicable to RICs and to distribute substantially all of its net investment income and net realized capital gains to its shareholders. To the extent the Fund distributes substantially all of its net investment income and net realized capital gains to shareholders, no federal income or excise tax provision is required.
23
The Fund has adopted the provisions of ASC 740 "Income Taxes" ("ASC 740"). ASC 740 sets forth a minimum threshold for financial statement recognition of a tax position taken, or expected to be taken, in a tax return. The Fund recognizes interest and penalties, if any, related to unrecognized tax positions as an income tax expense in the Statement of Operations. As of April 30, 2015, the Fund did not have any unrecognized tax positions.
Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Fund, timing differences and differing characterization of distributions made by the Fund.
To the extent the Fund's net realized capital gains, if any, can be offset by capital loss carryforwards, if any, it is the policy of the Fund not to distribute such gains.
6 Foreign taxes: Foreign taxes withheld, if any, represent amounts withheld by foreign tax authorities, net of refunds recoverable.
7 Distributions to shareholders: The Fund may earn income, net of expenses, daily on its investments. Distributions from net investment income and net realized capital gains, if any, generally are distributed once a year (usually in December). Income distributions and capital gain distributions to shareholders are recorded on the ex-date.
8 Organization expenses: Costs incurred by the Fund in connection with its organization, which amounted to $334,314, and are reflected in "Organization expense" in the Statement of Operations, have been expensed as incurred.
9 Expense allocation: Certain expenses are applicable to multiple funds within the complex of related investment companies. Expenses directly attributable to the Fund are charged to the Fund. Expenses of the Trust that are not directly attributable to a particular series of the Trust (e.g., the Fund) are allocated among the series of the Trust, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the series can otherwise be made fairly. Expenses borne by the complex of related investment companies, which includes open-end and closed-end investment companies for which Management serves as investment manager, that are not directly attributable to a particular investment company in the complex (e.g., the Trust) or series thereof are allocated among the investment companies or series thereof in the complex, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the investment companies or series thereof in the complex can otherwise be made fairly. The Fund's expenses (other than those specific to each class) are allocated proportionally each day among the classes based upon the relative net assets of each class.
10 Investments in foreign securities: Investing in foreign securities may involve certain sovereign and other risks, in addition to the credit and market risks normally associated with domestic securities. These additional risks include the possibility of adverse political and economic developments (including political instability, nationalization, expropriation, or confiscatory taxation) and the potentially adverse effects of unavailability of public information regarding issuers, less governmental supervision and regulation of financial markets, reduced liquidity of certain financial markets, and the lack of uniform accounting, auditing, and financial reporting standards or the application of standards that are different or less stringent than those applied in the United States. Foreign securities also may experience greater price volatility, higher rates of inflation, and delays in settlement.
11 Securities sold short: The Fund may engage in short sales, which are sales of securities which have been borrowed from a third party on the expectation that the market price will decline. If the price of the securities decreases, the Fund will make a profit by purchasing the securities in the open market at a price lower than the one at which it sold the securities. If the price of the securities increases, the Fund may have to cover its short positions at a price higher than the short sale price, resulting in a loss. Gains are limited to the price at which the Fund sold the security short, while losses are potentially unlimited in size. The Fund pledges securities and/or other assets, to the lender as collateral. Proceeds received from short sales may be maintained by the lender as collateral or may be released to the Fund and used to purchase additional securities or for any other purpose. Proceeds maintained by the lender are included in "Cash collateral segregated for short sales" on the Statement of Assets and Liabilities. The
24
Fund is required to segregate an amount of cash, cash equivalents or other appropriate liquid marketable securities with the custodian in an amount at least equal to the current market value of the securities sold short (less any additional collateral held by the lender). The Fund is contractually responsible to the lender for any dividends and interest payable on securities while those securities are in a short position. These dividends and interest are recorded as an expense of the Fund and are excluded from the contractual expense limitation. At April 30, 2015, the Fund had pledged cash in the amount of $3,486,558 to Bank of America N.A., as collateral for short sales. At April 30, 2015, the Fund had pledged securities in the amount of $672,078 to cover collateral requirements for borrowing in connection with securities sold short.
12 Investment company securities and exchange-traded funds: The Fund may invest in shares of other registered investment companies, including exchange-traded funds ("ETFs"), within the limitations prescribed by the 1940 Act. Some ETFs seek to track the performance of a particular market index. These indices include both broad-based market indices and more narrowly-based indices, including those relating to particular sectors, markets, regions or industries. However, some ETFs have actively-managed investment objectives. ETF shares are traded like traditional equity securities on a national securities exchange or NASDAQ. The Fund will indirectly bear its proportionate share of any management fees and other expenses paid by such other investment companies, which will increase expenses and decrease returns.
13 Derivative instruments: During the period ended April 30, 2015, the Fund's use of derivatives, as described below, was limited to financial futures, equity swaps, forward contracts and purchased and written option transactions. The Fund has adopted the provisions of ASC 815 "Derivatives and Hedging" ("ASC 815"). The disclosure requirements of ASC 815 distinguish between derivatives that qualify for hedge accounting and those that do not. Because investment companies value their derivatives at fair value and recognize changes in fair value through the Statement of Operations, they do not qualify for hedge accounting. Accordingly, even though the Fund's investments in derivatives may represent economic hedges, they are considered non-hedge transactions for purposes of this disclosure.
Financial futures contracts: During the period ended April 30, 2015, the Fund used financial futures to enhance returns, to manage or adjust the risk profile of the Fund or individual positions, to replace more traditional direct investments, to obtain investment exposure to certain markets, to establish net short or net long positions for individual markets, currencies or securities and to hedge risk. At the time the Fund enters into a financial futures contract, it is required to deposit with the futures commission merchant a specified amount of cash or liquid securities, known as "initial margin," which is a percentage of the value of the financial futures contract being traded that is set by the exchange upon which the futures contract is traded. Each day, the futures contract is valued at the official settlement price of the board of trade or U.S. commodity exchange on which such futures contract is traded. Subsequent payments, known as "variation margin" to and from the broker are made on a daily basis as the market price of the financial futures contract fluctuates. Daily variation margin adjustments, arising from this "mark to market," are recorded by the Fund as unrealized gains or losses.
Although some financial futures by their terms call for actual delivery or acquisition of the underlying securities or currency, in most cases the contracts are closed out prior to delivery by offsetting purchases or sales of matching financial futures. When the contracts are closed, the Fund recognizes a gain or loss. Risks of entering into futures contracts include the possibility there may be an illiquid market, possibly at a time of rapidly declining prices, and/or a change in the value of the contract may not correlate with changes in the value of the underlying securities. Futures executed on regulated futures exchanges have minimal counterparty risk to a fund because the exchange's clearinghouse assumes the position of the counterparty in each transaction. Thus, the Fund is exposed to risk only in connection with the clearinghouse and not in connection with the original counterparty to the transaction.
For U.S. federal income tax purposes, the futures transactions undertaken by the Fund may cause the Fund to recognize gains or losses from marking contracts to market even though its positions have not been sold or terminated, may affect the character of the gains or losses recognized as long-term or short-term, and may affect the timing of some capital gains and losses realized by the Fund. Also, the Fund's losses on transactions involving futures contracts may be deferred rather than being taken into account currently in calculating the Fund's taxable income.
25
At April 30, 2015, open positions in financial futures contracts were:
Expiration | Open Contracts | Position | Unrealized Appreciation (Depreciation) | ||||||||
May 2015 | 13 FTSE China 50 Index | Long | $ | (1,365 | ) | ||||||
May 2015 | 3 | H-Shares Index | Long | (3,532 | ) | ||||||
June 2015 | 27 EURO STOXX 50 Index | Short | (9,143 | ) | |||||||
June 2015 | 4 | FTSE 100 Index | Short | (4,634 | ) | ||||||
June 2015 | 25 S&P 500 E-Mini Index | Short | (802 | ) | |||||||
Total | $ | (19,476 | ) |
During the period ended April 30, 2015, the average notional value of financial futures contracts was $330,575 for long positions and $(1,265,220) for short positions.
Equity swap contracts: During the period ended April 30, 2015, the Fund used equity swaps to enhance returns, to manage or adjust the risk profile of the Fund or individual positions, to replace more traditional direct investments, to obtain investment exposure to certain markets, to establish net short or net long positions for individual markets, currencies or securities and to hedge risk. Equity swaps are two-party contracts in which counterparties exchange the return on a specified reference security, basket of securities, security index or index component for the return based on a fixed or floating interest rate on another equity security or basket of securities during the period of the swap. Equity swaps are marked to market daily based on the value of the underlying reference entity and the change, if any, is recorded as an unrealized gain or loss. Equity swaps normally do not involve the delivery of securities or other underlying assets. If the other party to an equity swap defaults, the Fund's risk of loss consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Equity swaps are derivatives and their value can be very volatile. To the extent that the adviser or subadviser, as applicable, does not accurately analyze and predict future market trends, the values of assets or economic factors, the Fund may suffer a loss, which may exceed the related amounts shown in the Statement of Assets and Liabilities. Periodic payments received or paid by the Fund are recorded as realized gains or losses.
At April 30, 2015, the outstanding equity swaps* for the Fund were as follows:
Counterparty | Description | Value | |||||
J.P. Morgan Chase Bank, N.A. | The Fund receives or pays the total return on long and short positions and pays or receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions. | $ | 113,935 |
* The following table represents the individual long and short positions and related values of the equity swaps as of April 30, 2015.
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | ||||||||||
Long Positions | |||||||||||||
France | |||||||||||||
Cap Gemini SA | 1,523 | $ | 121,047 | $ | 14,906 | ||||||||
Germany | |||||||||||||
Dialog Semiconductor PLC | 913 | 41,236 | 344 | ||||||||||
Ireland | |||||||||||||
CRH PLC | 6,301 | 152,800 | 24,102 | ||||||||||
Shire PLC | 2,231 | 149,471 | 33,231 | ||||||||||
57,333 |
26
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | ||||||||||
Japan | |||||||||||||
Don Quijote Holdings Co., Ltd. | 1,566 | $ | 125,781 | $ | (6,167 | ) | |||||||
NTT Data Corp. | 2,964 | 128,036 | 5,518 | ||||||||||
(649 | ) | ||||||||||||
Sweden | |||||||||||||
Assa Abloy AB | 716 | 41,389 | 274 | ||||||||||
United Kingdom | |||||||||||||
Ashtead Group PLC | 4,919 | 80,497 | 4,523 | ||||||||||
British American Tobacco PLC | 1,421 | 77,034 | 1,327 | ||||||||||
Croda International PLC | 5,006 | 197,384 | 20,464 | ||||||||||
Derwent London PLC | 1,653 | 80,970 | 6,315 | ||||||||||
Imperial Tobacco Group PLC | 1,790 | 78,745 | 8,960 | ||||||||||
ITV PLC | 38,100 | 135,522 | 12,792 | ||||||||||
Land Securities Group PLC | 4,143 | 79,929 | (499 | ) | |||||||||
53,882 | |||||||||||||
Total Long Positions of Equity Swaps | 126,090 | ||||||||||||
Short Positions | |||||||||||||
Australia | |||||||||||||
Woolworths Ltd. | (1,911 | ) | (43,168 | ) | (1,413 | ) | |||||||
Europe | |||||||||||||
STOXX Europe 600 Food & Beverage | (242 | ) | (172,673 | ) | 3,317 | ||||||||
STOXX Europe 600 Utilities | (747 | ) | (269,912 | ) | (4,366 | ) | |||||||
(1,049 | ) | ||||||||||||
United Kingdom | |||||||||||||
GKN PLC | (20,059 | ) | (109,591 | ) | 1,424 | ||||||||
Smiths Group PLC | (7,235 | ) | (118,777 | ) | (8,384 | ) | |||||||
(6,960 | ) | ||||||||||||
Total Short Positions of Equity Swaps | (9,422 | ) | |||||||||||
Total Long and Short Positions of Equity Swaps | 116,668 | ||||||||||||
Financing Costs and Other Payables | (2,733 | ) | |||||||||||
Equity Swaps, at Value | $ | 113,935 |
(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.
(b) For the period ended April 30, 2015, the average notional value of equity swaps was $1,540,649 for long positions and $(659,655) for short positions, respectively.
Forward foreign currency contracts: During the period ended April 30, 2015, the Fund used forward contracts to enhance returns, to manage or adjust the risk profile of the Fund or individual positions, to replace more traditional direct investments, to obtain investment exposure to certain markets, to establish net short or net long positions for individual markets, currencies or securities and to hedge risk.
27
A forward contract is an agreement between two parties to buy or sell a specific currency for another at a set price on a future date, and is individually negotiated and privately traded by currency traders and their customers in the interbank market. The market value of a forward contract fluctuates with changes in forward currency exchange rates. Forward contracts are marked to market daily, and the change in value is recorded by the Fund as an unrealized gain or loss. At the consummation of a forward contract to purchase or sell currency, the Fund may either exchange the currencies specified at the maturity of the forward contract or enter into a closing transaction involving the purchase or sale of an offsetting forward contract. Closing transactions with respect to forward contracts are usually performed with the counterparty to the original forward contract. The gain or loss arising from the difference between the U.S. dollar cost of the original forward contract and the value of the foreign currency in U.S. dollars upon closing a contract is included in "Net realized gain (loss) on forward foreign currency contracts" in the Statement of Operations. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Fund's Statement of Assets and Liabilities. In addition, the Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar.
At April 30, 2015, open forward contracts for the Fund were as follows:
Buy | Counterparty | Contracts to Receive | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Euro | Bank of America N.A. | 2,000,000 | $ | 2,195,184 | 05/07/15 | $ | 50,597 | ||||||||||
Japanese Yen | Bank of America N.A. | 120,000,000 | 1,006,963 | 05/07/15 | (1,919 | ) | |||||||||||
Total | $ | 48,678 | |||||||||||||||
Sell | Counterparty | Contracts to Deliver | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Euro | Bank of America N.A. | 2,000,000 | $ | 2,136,202 | 05/07/15 | $ | (109,579 | ) | |||||||||
Indian Rupee | Bank of America N.A. | 13,047,000 | 208,518 | 05/07/15 | 3,323 | ||||||||||||
Japanese Yen | Bank of America N.A. | 120,000,000 | 997,316 | 05/07/15 | (7,728 | ) | |||||||||||
Total | $ | (113,984 | ) |
For the period ended April 30, 2015, the Fund's investments in forward contracts had an average value of $8,257,250.
Options: Premiums received by the Fund upon writing a covered call option or a put option are recorded in the liability section of the Fund's Statement of Assets and Liabilities and are subsequently adjusted to the current market value. When an option is exercised, closed, or expired, the Fund realizes a gain or loss and the liability is eliminated.
When writing a covered call option, the Fund, in return for the premium, gives up the opportunity for profit from a price increase in the underlying security above the exercise price, but conversely retains the risk of loss should the price of the security decline. When writing a put option, the Fund, in return for the premium, takes the risk that it must purchase the underlying security at a price that may be higher than the current market price of the security. If a covered call or put option that the Fund has written expires unexercised, the Fund will realize a gain in the amount of the premium. All securities covering outstanding options are held in escrow by the custodian bank.
Written option transactions were used to enhance returns, to manage or adjust the risk profile of the Fund or individual positions, to replace more traditional direct investments, to obtain investment exposure to certain markets, to establish net short or net long positions for individual markets, currencies or securities and to hedge
28
risk for the Fund for the period ended April 30, 2015. Written option transactions for the Fund for the period ended April 30, 2015 were as follows:
Number of Contracts | Premium Received | ||||||||
Outstanding 11/12/14* | — | $ | — | ||||||
Options written | 211 | 45,900 | |||||||
Options closed | (80 | ) | (23,072 | ) | |||||
Options exercised | — | — | |||||||
Options expired | — | — | |||||||
Outstanding at 4/30/15 | 131 | $ | 22,828 |
* The Fund commenced operations on November 12, 2014.
Premiums paid by the Fund upon purchasing a call or put option are recorded in the Assets section of the Fund's Statement of Assets and Liabilities and are subsequently adjusted to the current market value. When an option is exercised, closed, or expires, the Fund realizes a gain or loss and the asset is eliminated.
For purchased call options, the Fund's loss is limited to the amount of the option premium paid.
Purchased option transactions were used to manage or adjust the risk profile of the Fund or individual positions, to replace more traditional direct investments, to obtain investment exposure to certain markets, to establish net short or net long positions for individual markets, currencies or securities and to hedge risk for the period ended April 30, 2015.
For the period ended April 30, 2015, the Fund had an average market value of $25,835 in purchased options and $(12,438) in written options.
At April 30, 2015 the Fund had the following derivatives (which did not qualify as hedging instruments under ASC 815), grouped by primary risk exposure:
Asset Derivatives
Derivative Type | Statement of Assets and Liabilities Location | Currency Risk | Equity Risk | Total | |||||||||||
Equity swaps | Open swap contacts, at value | $ | — | $ | 113,935 | $ | 113,935 | ||||||||
Forward contracts | Receivable for open forward foreign currency contracts | 53,920 | — | 53,920 | |||||||||||
Option contracts purchased | Investments in securities, at value | — | 100,932 | 100,932 | |||||||||||
Total Value—Assets | $ | 53,920 | $ | 214,867 | $ | 268,787 |
29
Liability Derivatives
Derivative Type | Statement of Assets and Liabilities Location | Currency Risk | Equity Risk | Total | |||||||||||
Financial futures | Receivable/Payable for variation margin(1) | $ | — | $ | (19,476 | ) | $ | (19,476 | ) | ||||||
Forward contracts | Payable for open forward foreign currency contracts | (119,226 | ) | — | (119,226 | ) | |||||||||
Option contracts written | Option contracts written, at value | — | (35,138 | ) | (35,138 | ) | |||||||||
Total Value—Liabilities | $ | (119,226 | ) | $ | (54,614 | ) | $ | (173,840 | ) |
(1) "Financial futures" reflects the cumulative appreciation (depreciation) of financial futures as of April 30, 2015, which is reflected in the Statement of Assets and Liabilities under the caption "Net unrealized appreciation (depreciation) in value of investments." The outstanding variation margin as of April 30, 2015, if any, is reflected in the Statement of Assets and Liabilities under the caption "Receivable/Payable for variation margin."
The impact of the use of these derivative instruments on the Statement of Operations during the period ended April 30, 2015, was as follows:
Realized Gain (Loss)
Derivative Type | Statement of Operations Location | Currency Risk | Equity Risk | Total | |||||||||||
Forward contracts | Net realized gain (loss) on: Forward foreign currency contracts | $ | 259,392 | $ | — | $ | 259,392 | ||||||||
Financial futures | Net realized gain (loss) on: Financial futures contracts | — | (122,565 | ) | (122,565 | ) | |||||||||
Option contracts written | Net realized gain (loss) on: Options written | — | 23,073 | 23,073 | |||||||||||
Option contracts purchased | Net realized gain (loss) on: Sales of investment securities of unaffiliated issuers | — | (76,514 | ) | (76,514 | ) | |||||||||
Swap contracts | Net realized gain (loss) on: Swap contracts | — | 6,774 | 6,774 | |||||||||||
Total Realized Gain (Loss) | $ | 259,392 | $ | (169,232 | ) | $ | 90,160 |
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Change in Appreciation (Depreciation)
Derivative Type | Statement of Operations Location | Currency Risk | Equity Risk | Total | |||||||||||
Forward contracts | Change in net unrealized appreciation (depreciation) in value of: Forward foreign currency contracts | $ | (65,306 | ) | $ | — | $ | (65,306 | ) | ||||||
Financial futures | Change in net unrealized appreciation (depreciation) in value of: Financial futures contracts | — | (19,476 | ) | (19,476 | ) | |||||||||
Option contracts written | Change in net unrealized appreciation (depreciation) in value of: Options contracts written | — | (12,310 | ) | (12,310 | ) | |||||||||
Option contracts purchased | Change in net unrealized appreciation (depreciation) in value of: Unaffiliated investment securities | — | 43,396 | 43,396 | |||||||||||
Swap contracts | Change in net unrealized appreciation (depreciation) in value of: Swap contracts | — | 113,935 | 113,935 | |||||||||||
Total Change in Appreciation (Depreciation) | $ | (65,306 | ) | $ | 125,545 | $ | 60,239 |
The Fund discloses both gross and net information for assets and liabilities related to derivatives, repurchase and reverse repurchase agreements, and securities lending and securities borrowing transactions that are eligible for offset or subject to an enforceable master netting or similar agreement. The Fund's derivative assets and liabilities at fair value by type are reported gross in the Statement of Assets and Liabilities. The following tables present the Fund's derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement and net of the related collateral received by the Fund for assets and pledged by the Fund for liabilities as of April 30, 2015.
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statements of Assets and Liabilities | ||||||||||
Equity swaps | $ | 113,935 | $ | — | $ | 113,935 | |||||||
Forward Contracts | 53,920 | — | 53,920 | ||||||||||
Total | $ | 167,855 | $ | — | $ | 167,855 |
Gross Amounts Not Offset in the Statements of Assets and Liabilities
Counterparty | Net Amounts of Assets Presented in the Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Received(a) | Net Amount(b) | |||||||||||||||
J.P. Morgan Chase Bank N.A. | $ | 113,935 | $ | — | $ | — | $ | 113,935 | |||||||||||
Bank of America N.A. | 53,920 | (53,920 | ) | — | — | ||||||||||||||
Total | $ | 167,855 | $ | (53,920 | ) | $ | — | $ | 113,935 |
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Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statements of Assets and Liabilities | ||||||||||
Forward Contracts | $ | (119,226 | ) | $ | — | $ | (119,226 | ) | |||||
Total | $ | (119,226 | ) | $ | — | $ | (119,226 | ) |
Gross Amounts Not Offset in the Statements of Assets and Liabilities
Counterparty | Net Amounts of Assets Presented in the Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Received(a) | Net Amount(c) | |||||||||||||
Bank of America N.A. | $ | (119,226 | ) | $ | 53,920 | $ | — | $ | (65,306 | ) |
(a) Collateral received (or pledged) is limited to an amount not to exceed 100% of the net amount of assets ( or liabilities) in the tables presented above, for each respective counterparty.
(b) Net amount represents amounts subject to loss as of April 30, 2015, in the event of a counterparty failure.
(c) Net Amount represents amounts under-collateralized by the Fund to each counterparty as of April 30, 2015.
14 Indemnifications: Like many other companies, the Trust's organizational documents provide that its officers ("Officers") and trustees ("Trustees") are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims against the Trust.
15 Other: All net investment income and realized and unrealized capital gains and losses of each Fund are allocated, on the basis of relative net assets, pro rata among its respective classes.
Note B—Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
The Fund retains Management as its investment manager under a Management Agreement. For such investment management services, the Fund pays Management a fee at the annual rate of 1.250% of the first $250 million of the Fund's average daily net assets, 1.225% of the next $250 million, 1.200% of the next $250 million, 1.175% of the next $250 million, 1.150% of the next $500 million, 1.125% of the next $2.5 billion, and 1.100% of average daily net assets in excess of $4 billion. Accordingly, for the period ended April 30, 2015, the fee pursuant to the Management Agreement was equivalent to an annual effective rate of 1.25% of the Fund's average daily net assets.
The Fund retains Management as its administrator under an Administration Agreement. The Fund pays Management an administration fee at the annual rate of 0.06% of its average daily net assets under this agreement. In addition, Institutional Class pays Management an administration fee at the annual rate of 0.09% of its average daily net assets, and Class A and Class C pay Management an administration fee at the annual rate of 0.20% of its daily net assets under this agreement. Additionally, Management retains J.P. Morgan Chase Bank, N.A. ("JPM") as its sub-administrator under a Sub-Administration Agreement. Management pays JPM a fee for all services received under this agreement.
Management has contractually agreed to waive fees and/or reimburse certain expenses of the Institutional Class, Class A and Class C of the Fund so that the total annual operating expenses (excluding interest, taxes, brokerage commissions, dividend and interest expenses relating to short sales, acquired fund fees and expenses, and extraordinary expenses, if any; and, consequently, net expenses may exceed the contractual expense limitation) ("Operating Expenses") which exceed the expense limitation as detailed in the following table. The Fund has agreed to repay Management for fees and expenses waived and/or its excess Operating Expenses previously
32
reimbursed by Management, so long as its annual Operating Expenses during that period do not exceed its expense limitation in place at the time the fees and expenses were waived or reimbursed, and the repayment is made within three years after the year in which Management issued the reimbursement or waived fees. During the period ended April 30, 2015, there was no repayment to Management under its contractual expense limitation. At April 30, 2015, the Fund's contingent liabilities to Management under its contractual expense limitation were as follows:
Expenses Reimbursed in Fiscal Period Ending, October 31, | |||||||||||
2015 | |||||||||||
Subject to Repayment until October 31, | |||||||||||
Contractual Expense Limitation(1) | Expiration | 2018 | |||||||||
Institutional Class | 1.80 | % | 10/31/18 | $ | 430,267 | (2) | |||||
Class A | 2.16 | % | 10/31/18 | 16,042 | (2) | ||||||
Class C | 2.91 | % | 10/31/18 | 15,285 | (2) |
(1) Expense limitation per annum of the respective class' average daily net assets.
(2) Period from November 12, 2014 (Commencement of Operations) to April 30, 2015.
Neuberger Berman LLC ("Neuberger"), as the sub-adviser to the Fund, is retained by Management to furnish it with investment recommendations, research information and related services without added cost to the Fund. Several individuals who are Officers and/or Trustees of the Trust are also employees of Neuberger and/or Management.
The Fund also has a distribution agreement with Management with respect to each class of shares. Management acts as agent in arranging for the sale of class shares without sales commission or other compensation, except as described below for Class A and Class C shares, and bears advertising and promotion expenses.
However, Management receives fees from Class A and Class C under their distribution plans (each a "Plan", collectively, the "Plans") pursuant to Rule 12b-1 under the 1940 Act. The Plans provide that, as compensation for administrative and other services provided to these classes, Management's activities and expenses related to the sale and distribution of these classes, and ongoing services provided to investors in these classes, Management receives from each of these respective classes a fee at the annual rate of 0.25% of Class A's and 1.00% of Class C's average daily net assets. Management receives this amount to provide distribution and shareholder servicing for these classes and pays a portion of it to institutions that provide such services. Those institutions may use the payments for, among other purposes, compensating employees engaged in sales and/or shareholder servicing. The amount of fees paid by each class during any year may be more or less than the cost of distribution and other services provided to that class. FINRA rules limit the amount of annual distribution fees that may be paid by a mutual fund and impose a ceiling on the cumulative distribution fees paid. The Trust's Plans comply with those rules.
Class A shares of the Fund are generally sold with an initial sales charge of up to 5.75% and no contingent deferred sales charge ("CDSC"), except that a CDSC of 1.00% applies to certain redemptions made within 18 months following purchases of $1 million or more without an initial sales charge. Class C shares of the Fund are sold with no initial sales charge and a 1.00% CDSC if shares are sold within one year after purchase.
For the period ended April 30, 2015, Management, acting as underwriter and broker-dealer, did not receive any net initial sales charges from the purchase of Class A shares or CDSCs from the redemption of Class A and Class C shares.
33
Note C—Securities Transactions:
During the period ended April 30, 2015, there were purchase and sale transactions of long-term securities (excluding equity swaps, forward contracts, financial futures and option contracts) as follows:
Purchases | Securities Sold Short | Sales | Covers on Securities Sold Short | ||||||||||||
$ | 19,164,074 | $ | 7,265,827 | $ | 5,321,909 | $ | 4,015,370 |
During the period ended April 30, 2015, no brokerage commissions on securities transactions were paid to affiliated brokers.
Note D—Fund Share Transactions:
Share activity for the period ended April 30, 2015 was as follows:
For the Period Ended April 30, 2015 | |||||||||||||||||
Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | ||||||||||||||
Institutional Class(1) | 1,658,269 | — | — | 1,658,269 | |||||||||||||
Class A(1) | 58,201 | — | — | 58,201 | |||||||||||||
Class C(1) | 50,000 | — | — | 50,000 |
(1) Period from November 12, 2014 (Commencement of Operations) to April 30, 2015.
Other: At April 30, 2015, there was an affiliated investor owning 84.9% of the Fund's outstanding shares.
Note E—Line of Credit:
At April 30, 2015, the Fund was a participant in a syndicated committed, unsecured $700,000,000 line of credit (the "Credit Facility"), to be used only for temporary or emergency purposes. Other investment companies managed by Management also participate in this line of credit on the same terms. Under the terms of the Credit Facility, the Fund has agreed to pay its pro rata share of the annual commitment fee, based on the ratio of its individual net assets to the net assets of all participants at the time the fee is due and payable, and interest charged on any borrowing made by the Fund and other costs incurred by the Fund. Because several mutual funds participate in the Credit Facility, there is no assurance that the Fund will have access to all or any part of the $700,000,000 at any particular time. There were no loans outstanding under the Credit Facility at April 30, 2015. During the period from January 9, 2015 (the commencement date of the Credit Facility) through April 30, 2015, the Fund did not utilize this line of credit. The Credit Facility replaced the State Street Bank and Trust Company's ("State Street") lines of credit referred to below.
During the reporting period, prior to the commencement of the Credit Facility, and on January 9, 2015, the Fund was a participant in a committed, unsecured $300,000,000 line of credit with State Street and an uncommitted, unsecured $100,000,000 line of credit with State Street, both to be used only for temporary or emergency purposes. During the period ended April 30, 2015, the Fund did not utilize either line of credit with State Street.
Note F—Unaudited Financial Information:
The financial information included in this interim report is taken from the records of the Fund without audit by an independent registered public accounting firm. Annual reports contain audited financial statements.
34
Financial Highlights
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. Per share amounts that round to less than $0.01 or $(0.01) per share are presented as $0.00 or $(0.00), respectively. Ratios that round to less than 0.00% or (0.00)% per share are presented as 0.00% or (0.00)%, respectively. Net Asset amounts with a zero balance, if any, may reflect actual amounts rounding to less than $0.1 million. A "—" indicates that the line item was not applicable in the corresponding period.
Net Asset Value, Beginning of Period | Net Investment Income (Loss)@ | Net Gains or Losses on Securities (both realized and unrealized) | Total From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Tax Return of Capital | Total Distributions | Net Asset Value, End of Period | |||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||
Period from 11/12/14^ to 4/30/15 | $ | 10.00 | $ | (0.05 | ) | $ | 0.32 | $ | 0.27 | $ | — | $ | — | $ | — | $ | — | $ | 10.27 | ||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||
Period from 11/12/14^ to 4/30/15 | $ | 10.00 | $ | (0.06 | ) | $ | 0.32 | $ | 0.26 | $ | — | $ | — | $ | — | $ | — | $ | 10.26 | ||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||
Period from 11/12/14^ to 4/30/15 | $ | 10.00 | $ | (0.10 | ) | $ | 0.32 | $ | 0.22 | $ | — | $ | — | $ | — | $ | — | $ | 10.22 |
See Notes to Financial Highlights
35
Total Return†† | Net Assets, End of Period (in millions) | Ratio of Gross Expenses to Average Net Assets# | Ratio of Gross Expenses to Average Net Assets (excluding dividend and Interest expense relating to short sales) | Ratio of Net Expenses to Average Net Assets | Ratio of Net Expenses to Average Net Assets (excluding dividend and interest expense relating to short sales) | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate (including securities sold short) | Portfolio Turnover Rate (excluding securities sold short) | |||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||
Period from 11/12/14^ to 4/30/15 | 2.80 | %** | $ | 17.0 | 6.02 | %*‡ | 5.56 | %*‡ | 2.29 | %*‡ | 1.83 | %*‡ | (0.96 | )%*‡ | 81 | %** | 42 | %** | |||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||
Period from 11/12/14^ to 4/30/15 | 2.60 | %** | $ | 0.6 | 6.67 | %*‡ | 6.21 | %*‡ | 2.65 | %*‡ | 2.19 | %*‡ | (1.31 | )%*‡ | 81 | %** | 42 | %** | |||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||
Period from 11/12/14^ to 4/30/15 | 2.20 | %** | $ | 0.5 | 7.43 | %*‡ | 6.99 | %*‡ | 3.39 | %*‡ | 2.94 | %*‡ | (2.10 | )%*‡ | 81 | %** | 42 | %** |
36
Notes to Financial Highlights
@ Calculated based on the average number of shares outstanding during the fiscal period.
†† Total return based on per share NAV reflects the effects of changes in NAV on the performance of the Fund during the fiscal period. Returns assume income dividends and other distributions, if any, were reinvested, but do not reflect the effect of sales charges. Results represent past performance and do not indicate future results. Current returns may be lower or higher than the performance data quoted. Investment returns and principal may fluctuate and shares when redeemed may be worth more or less than original cost. Total return would have been lower if Management had not reimbursed certain expenses.
# Represents the annualized ratios of net expenses to average daily net assets if Management had not reimbursed certain expenses and/or waived a portion of the investment management fee.
^ The date investment operations commenced.
** Not annualized.
* Annualized.
‡ Organization expense, which is a non-recurring expense, is included in these ratios on a non-annualized basis.
37
Directory
Investment Manager, Administrator and Distributor
Neuberger Berman Management LLC
605 Third Avenue, 2nd Floor
New York, NY 10158-0180
800.877.9700 or 212.476.8800
Intermediary Client Services 800.366.6264
Sub-Adviser
Neuberger Berman LLC
605 Third Avenue
New York, NY 10158-3698
Custodian and Shareholder Servicing Agent
J.P. Morgan Chase Bank, N.A.
One Beacon Street
Boston, MA 02108
For Institutional Class Shareholders
Address correspondence to:
Neuberger Berman Management LLC
605 Third Avenue, Mail Drop 2-7
New York, NY 10158-0180
Attn: Intermediary Client Services
800.366.6264
For Class A and Class C Shareholders:
Please contact your investment provider
Legal Counsel
K&L Gates LLP
1601 K Street, NW
Washington, DC 20006-1600
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
38
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities is available, without charge, by calling 800-877-9700 (toll-free) and on the Securities and Exchange Commission's website at www.sec.gov. Information regarding how the Trust 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 800-877-9700 (toll-free), on the Securities and Exchange Commission's website at www.sec.gov, and on Management's website at www.nb.com.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings for the Fund with the Securities and Exchange Commission for the first and third quarters of the fiscal year on Form N-Q. The Trust's Forms N-Q are available on the Securities and Exchange Commission's website at www.sec.gov and may be reviewed and copied at the Securities and Exchange Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 800-877-9700 (toll-free).
39
Neuberger Berman Global Long Short Fund: Initial Consideration of the Management and Subadvisory Agreements
At a meeting held on December 10-11, 2013, the Board of the Trust, including the Independent Fund Trustees, evaluated and approved the management agreement with Management (the "Management Agreement") and the sub-advisory agreement between Management and Neuberger (the "Sub-Advisory Agreement" and collectively with the Management Agreement, the "Agreements") with respect to Neuberger Berman Global Long Short Fund (the "Fund"). The Independent Fund Trustees were advised by Independent Counsel.
In evaluating the Agreements, the Board, including the Independent Fund Trustees, reviewed extensive materials provided by Management and met with senior representatives of Management regarding its personnel, operations and financial condition as they relate to the Fund.
In connection with its deliberations, the Board also considered the broad range of information relevant to the contract review that is provided to the Board (including its various standing committees) at meetings throughout the year, including periodic reports on, among other matters, pricing and valuation; brokerage and execution; and compliance, shareholder and other services provided by Management and its affiliates. To assist the Board in its deliberations regarding the contract review, the Board has established a Contract Review Committee comprised of Independent Fund Trustees, as well as other committees that focus throughout the year on specific areas relevant to the contract review, such as compliance matters.
The Independent Fund Trustees receive from Independent Counsel a memorandum, at least annually, discussing the legal standards for their consideration of the Agreements. During the course of their deliberations regarding the contract review, the Independent Fund Trustees met with Independent Counsel together with and separately from representatives of Management and Neuberger.
In connection with its approval of the Agreements, the Board evaluated the terms of the Agreements, the overall fairness of the Agreements to the Fund and whether the Agreements were in the best interests of the Fund and its shareholders. The Board considered all factors it deemed relevant with respect to the Fund, including the following factors: (1) the nature, extent, and quality of the services to be provided by Management and Neuberger; (2) the expected costs of the services to be provided; (3) the extent to which economies of scale might be realized as the Fund grows; and (4) whether proposed fee levels reflect any such potential economies of scale for the benefit of investors in the Fund. While each Trustee may have attributed different weights to the various factors, the Board's determination to approve the Agreements was based on a comprehensive consideration of all information provided to the Board, and the Board members did not identify any particular information or factor that was all-important or controlling. The Board focused on the overall costs and benefits of the Agreements relating to the Fund and, through the Fund, its shareholders.
With respect to the nature, extent and quality of the services to be provided, the Board considered the investment philosophy and decision-making processes of Management and Neuberger and the qualifications, experience and capabilities of and the resources available to the portfolio management personnel of Management and Neuberger who would perform services for the Fund. The Board noted that Management also would provide certain administrative services, including fund accounting and compliance oversight. The Board also considered Management's and Neuberger's policies and practices regarding brokerage and allocation of portfolio transactions for the Fund. The Board also considered that Management's responsibilities will include daily management of investment, operational, enterprise, legal, regulatory and compliance risks as they relate to the Fund, and considered information regarding Management's processes for managing risk. In addition, the Board noted the positive compliance history of Management and Neuberger as no significant compliance problems were reported to the Board with respect to any of them. The Board also considered the general structure of the portfolio manager compensation program and whether this structure would provide appropriate incentives to act in the best interests of the Funds. In addition, the Board considered the scope and depth of the compliance programs of Management and Neuberger. The Board also considered the manner in which Management addressed various non-routine matters that have arisen from to time to time, some of them a result of developments in the broader fund industry or the regulations governing it.
40
With respect to the overall fairness of the Agreements, the Board considered the fee structure proposed for the Fund under the Agreements as compared to a peer group of comparable funds and any fall-out benefits likely to accrue to Management and Neuberger or their affiliates from their relationship with the Fund. The Board reviewed a comparison of the Fund's proposed management fee and overall expense ratio to a peer group of broadly comparable funds. The Board noted that the comparative management fee analysis includes, in the Fund's management fee, the separate administrative fee paid to Management, but it was not clear whether this was the case for all funds in the peer group. The Board considered the mean and median of the management fees and expense ratios of the peer group. The Board considered that the total expense ratio, net of the contractual limit on expenses, for each class was above the median total expense ratio of the peer group. The Board considered whether specific portfolio management or administration needs contributed to the size of the management fee. In addition, the Board considered the proposed contractual limit on expenses of each class of the Fund. The Board also noted the breakpoints built into the management fee to account for possible economies of scale, but noted that it may be too soon to evaluate the economies at the start-up phase of a fund. The Board also considered the express global mandate of the Fund, as compared to that of Neuberger Berman Long Short Fund. The Board noted that "other expenses," as a component of the total expense ratio, were expected to be relatively high in part because of the costs of global custody. The Board concluded that the benefits expected to accrue to Management and its affiliates by virtue of their relationship to the Fund were reasonable in light of the costs of providing the investment advisory and other services and the benefits expected to accrue to the Fund.
Conclusions
In approving the Agreements, the Board concluded that the terms of each Agreement are fair and reasonable to the Fund and that approval of the Agreements is in the best interests of the Fund and its shareholders. In reaching this determination, the Board considered that Management and Neuberger could be expected to provide a high level of service to the Fund; that the Fund's proposed fee structure appeared to the Board to be reasonable given the nature, extent and quality of services expected to be provided; and that the benefits expected to accrue to Management and its affiliates by virtue of their relationship to the Fund were reasonable in light of the costs of providing the investment advisory and other services and the benefits expected to accrue to the Fund. The Board's conclusions may be based in part on its consideration of materials prepared in connection with the Board's ongoing regular review of performance and operations of other funds advised by Management and Neuberger, in addition to material prepared specifically for the most recent annual review of the agreements applicable to such other funds.
41
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Investment manager: Neuberger Berman Management LLC
Sub-adviser: Neuberger Berman LLC
Neuberger Berman Management LLC
605 Third Avenue, 2nd Floor
New York, NY 10158–0180
Shareholder Services
800.877.9700
Institutional Services
800.366.6264
www.nb.com
Statistics and projections in this report are derived from sources deemed to be reliable but cannot be regarded as a representation of future results of the Fund. This report is prepared for the general information of shareholders and is not an offer of shares of the Fund. Shares are sold only through the currently effective prospectus, which must precede or accompany this report.
Q0145 06/15
Neuberger Berman
Alternative and Multi-Asset Class Funds
Institutional Class Shares
Class A Shares
Class C Shares
Risk Balanced Commodity Strategy Fund
Semi-Annual Report
April 30, 2015
Contents
PRESIDENT'S LETTER | 1 | ||||||
PORTFOLIO COMMENTARY | 2 | ||||||
FUND EXPENSE INFORMATION | 6 | ||||||
CONSOLIDATED SCHEDULE OF INVESTMENTS | 8 | ||||||
CONSOLIDATED FINANCIAL STATEMENTS | 15 | ||||||
CONSOLIDATED FINANCIAL HIGHLIGHTS (ALL CLASSES)/ PER SHARE DATA | 27 | ||||||
Directory | 30 | ||||||
Proxy Voting Policies and Procedures | 31 | ||||||
Quarterly Portfolio Schedule | 31 |
The "Neuberger Berman" name and logo are registered service marks of Neuberger Berman Group LLC. "Neuberger Berman Management LLC" and the individual Fund name in this piece are either service marks or registered service marks of Neuberger Berman Management LLC. ©2015 Neuberger Berman Management LLC. All rights reserved.
President's Letter
Dear Shareholder,
I am pleased to present this semi-annual shareholder report for Neuberger Berman Risk Balanced Commodity Strategy Fund. The report includes a portfolio commentary, a listing of the Fund's investments and its unaudited financial statements for the six months ended April 30, 2015. The Fund seeks to generate returns that are not highly correlated with other major asset classes and that may improve the overall risk-reward profile of an investment portfolio.
It proved to be a challenging environment for most commodities during the reporting period. Among the six segments of the commodity market in which the Fund invests—energy, agriculture, precious metals, industrial metals, softs and livestock—five produced poor performance. Garnering the most headlines was the steep decline in the price of oil. The energy renaissance in the U.S., coupled with weaker global demand, caused the sector to fall sharply. Moderating growth in China had implications for several commodities, particularly industrial metals. Elsewhere, the strengthening U.S. dollar negatively impacted exports for domestic agriculture producers, while the weakening Brazilian real dragged down coffee and sugar prices.
Looking ahead, we believe there are signs of potential stabilization in several commodity sectors. Rig counts in the U.S. are down sharply given lower oil prices. Less supply, along with the potential for improving demand, could help put a floor on oil prices. Continued accommodative monetary policy in some international markets could also be beneficial for global growth and supportive for certain commodities. We are less optimistic for agriculture as, in our opinion, the potential for another bumper crop in the U.S. and the stronger U.S. dollar could prove to be headwinds for the sector.
We note that volatility in most commodity markets has moved higher in recent weeks and months. We believe this presents an opportunity for an actively managed commodities strategy such as ours, where positioning is partially determined by changes in our view of the relative riskiness of individual commodities. Finally, we continue to believe that commodities remain an important long-term investment opportunity and a way for investors to more thoroughly diversify their portfolios.
Thank you for your continued support and trust. We look forward to continue serving your investment needs in the years to come.
Sincerely,
ROBERT CONTI
PRESIDENT AND CEO
NEUBERGER BERMAN MUTUAL FUNDS
1
Risk Balanced Commodity Strategy Fund Commentary (Unaudited)
Neuberger Berman Risk Balanced Commodity Strategy Fund1 Class A at NAV generated a total return of –12.73% for the six months ended April 30, 2015 and underperformed its benchmark, the Bloomberg Commodity Index, which posted a –11.87% return for the period. (Performance for all share classes is provided in the table immediately following this letter.)
The overall commodity market generated weak results during the six-month period. While oil prices rallied off their lows from earlier in the year, it was not enough to overcome their earlier decline. The energy sector fell roughly 30% for the period. Weak performance was also evident in the industrial metals sector, as it was dragged down by signs of moderating growth in China and falling demand. The livestock, agriculture and softs sectors also posted negative returns. Elsewhere, the precious metals sector produced a modest gain during the period, as the prices of some metals, such as gold and silver, were fairly resilient.
The Fund's Dynamic Core strategy selects weights by focusing on risk, liquidity and yield. The Fund's underperformance relative to the index was largely due to its positioning in the agriculture and energy sectors. In agriculture, an underweight to corn was not rewarded. Within the energy sector, the Fund's overweight to Brent Crude was negative for results given its overall sharp decline. On the upside, the Fund's underweight to natural gas was beneficial. Out-of-index allocations to lead and cocoa were also additive to relative performance.
The Fund's Tactical Strategy actively manages the Dynamic Core exposures by taking advantage of short- to medium-term opportunities based on factors including macroeconomics, supply/demand, the pricing relationships between commodities and the shape of the futures curve. The Fund's tactical positioning detracted from performance during the reporting period. In particular, tactical tilts to lean hogs and nickel, along with an underweight to heating oil, were headwinds to performance.
The Fund's use of commodity futures detracted from performance.
Looking ahead, we believe there will continue to be volatility in a number of commodity markets. This could be most pronounced in those sectors seen regularly in the headlines, such as energy and metals. However, from a longer-term perspective, we think that the commodities market may find itself on some firmer ground, which could potentially support higher prices as the year progresses. In the energy sector, much has been made of the excess of supply over demand. While this continues to weigh on prices, potential decreases in U.S. production, coupled with stronger global demand as a result of lower prices, may cause oil prices to further stabilize. In industrial metals, we believe China will likely continue to be the dominant driver of returns. Recent monetary policy action by the People's Bank of China, along with the government's intention to increase investment in infrastructure projects, may support the sector. In the precious metals sector, we believe the prospect of higher U.S. interest rates may be a dampening factor for gold prices, although the downside may be mitigated by reductions in supply likely to occur if gold drops through key price levels. Finally, we remain wary of the agricultural sector as these commodities continue to grapple with multi-year highs in inventories, the potential of another strong harvest in 2015, and potentially lower global demand given the stronger U.S. dollar.
Sincerely,
WAI LEE, HAKAN KAYA, THOMAS SONTAG AND RICHARD GRAU*
PORTFOLIO CO-MANAGERS
* As previously disclosed, effective June 30, 2015, Richard Grau will no longer manage the portfolio.
1 Much of the Fund's investment exposure is accomplished through the use of derivatives which may not require the Fund to deposit the full notional amount of the investment with its counterparties, such as a futures commission merchant. The Fund's resulting cash balances are invested in a variety of conservative fixed income securities.
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change.
The opinions expressed are those of the Fund's portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
2
Risk Balanced Commodity Strategy Fund
TICKER SYMBOLS
Institutional Class | NRBIX | ||||||
Class A | NRBAX | ||||||
Class C | NRBCX |
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Investments) | |||||||
Asset-Backed Securities | 16.0 | % | |||||
Certificates of Deposit | 1.8 | ||||||
Corporate Debt Securities | 37.9 | ||||||
U.S. Treasury Securities | 24.6 | ||||||
Short-Term Investments | 19.7 | ||||||
Total | 100.0 | % |
PORTFOLIO BY INVESTMENT
EXPOSURE TO COMMODITY
DERIVATIVES
(as a % of Total Notional Value) | |||||||
Commodity Futures: | |||||||
Agriculture | 14.7 | % | |||||
Energy | 31.9 | ||||||
Industrial Metals | 20.2 | ||||||
Livestock | 10.2 | ||||||
Precious Metals | 17.7 | ||||||
Softs | 5.3 | ||||||
Total | 100.0 | % |
PERFORMANCE HIGHLIGHTS2
Inception | Six Month Period Ended | Average Annual Total Return Ended 04/30/2015 | |||||||||||||||||
�� | Date | 04/30/2015 | 1 Year | Life of Fund | |||||||||||||||
At NAV | |||||||||||||||||||
Institutional Class | 08/27/2012 | –12.62 | % | –22.92 | % | –10.95 | % | ||||||||||||
Class A | 08/27/2012 | –12.73 | % | –23.17 | % | –11.27 | % | ||||||||||||
Class C | 08/27/2012 | –13.18 | % | –23.79 | % | –11.96 | % | ||||||||||||
With Sales Charge | |||||||||||||||||||
Class A | –17.77 | % | –27.61 | % | –13.21 | % | |||||||||||||
Class C | –14.05 | % | –24.55 | % | –11.96 | % | |||||||||||||
Index | |||||||||||||||||||
Bloomberg Commodity Index1,3 | –11.87 | % | –24.69 | % | –11.79 | % |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit www.nb.com/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Management LLC (Management) had not reimbursed certain expenses and/or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
As stated in the Fund's most recent prospectus, the total annual operating expense ratios for fiscal year 2014 were 1.63%, 1.99% and 2.85% for Institutional Class, Class A and Class C shares, respectively (before expense reimbursements and/or fee waivers, if any). The expense ratios were 1.10%, 1.46% and 2.21% for Institutional Class, Class A and Class C shares, respectively, after expense reimbursements and/or fee waivers. The expense ratios for the semi-annual period ending April 30, 2015 can be found in the Financial Highlights section of this report.
Returns shown with a sales charge reflect the deduction of the current maximum initial sales charge of 5.75% for Class A shares and the contingent deferred sales charge (CDSC) for Class C shares. The CDSC for Class C shares is 1%, which is reduced to 0% after 1 year. The performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses. Please see the prospectus for more information about sales charge structures, if any, and class expenses for your share class.
3
Endnotes
1 Please see "Description of Index" on page 5 for a description of the index. Please note that individuals cannot invest directly in any index. The index described in this report does not take into account any fees, expenses or tax consequences of investing in the individual securities that it tracks. Data about the performance of an index are prepared or obtained by Neuberger Berman Management LLC ("Management") and reflect the reinvestment of income dividends and other distributions, if any. The Fund may invest in securities not included in a described index and generally does not invest in all securities included in a described index.
2 During the period from August 2012 through January 2013, the Fund was relatively small, which could have impacted Fund performance. The same techniques used to produce returns in a small fund may not work to produce similar returns in a larger fund.
3 The date used to calculate Life of Fund performance for the index is the inception date of the oldest share class.
For more complete information on any of the Neuberger Berman Alternative and Multi-Asset Class Funds, call Neuberger Berman Management LLC at (800) 877-9700, or visit our website at www.nb.com.
4
Description of Index
Bloomberg Commodity Index (formerly the Dow Jones-UBS Commodity Index): | The index is a rolling index composed of exchange-traded futures contracts on physical commodities. The index relies primarily on liquidity data of futures contracts, along with U.S. dollar-adjusted production data, in determining the relative quantities of included commodities. The index is designed to be a highly liquid and diversified benchmark for commodities investments. The version of the index that is calculated on a total return basis reflects the returns on a fully collateralized investment in the underlying commodity futures contracts, combined with the returns on cash collateral invested in Treasury Bills. |
5
Information About Your Fund's Expenses (Unaudited)
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds (if applicable); and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees (if applicable), and other Fund expenses. This example is intended to help you understand your ongoing costs (in U.S. dollars) of investing in the Fund and compare these costs with the ongoing costs of investing in other mutual funds.
This table is designed to provide information regarding costs related to your investments. The following examples are based on an investment of $1,000 made at the beginning of the six month period ended April 30, 2015 and held for the entire period. The table illustrates the Fund's costs in two ways:
Actual Expenses and Performance: | The first section of the table provides information about actual account values and actual expenses in dollars, based on the Fund's actual performance during the period indicated. You may use the information in this line, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section of the table under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid over the period. | ||||||
Hypothetical Example for Comparison Purposes: | The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return at 5% per year before expenses. This return is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in this Fund versus other funds. To do so, compare the expenses shown in this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. |
Please note that the expenses in the table are meant to highlight your ongoing costs only and do not include any transaction costs, such as sales charges (loads) (if applicable). Therefore, the information under the heading "Hypothetical (5% annual return before expenses)" is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
6
Expense Information as of 4/30/15 (Unaudited)
Neuberger Berman Alternative and Multi-Asset Class Funds | |||||||||||||||||||||||||||||||||||
ACTUAL | HYPOTHETICAL (5% ANNUAL RETURN BEFORE EXPENSES)(2) | ||||||||||||||||||||||||||||||||||
Beginning Account Value 11/1/14 | Ending Account Value 4/30/15 | Expenses Paid During the Period(1) 11/1/14 - 4/30/15 | Expense Ratio | Beginning Account Value 11/1/14 | Ending Account Value 4/30/15 | Expenses Paid During the Period(1) 11/1/14 - 4/30/15 | Expense Ratio | ||||||||||||||||||||||||||||
Neuberger Berman Risk Balanced Commodity Strategy Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 873.80 | $ | 5.11 | 1.10 | % | $ | 1,000.00 | $ | 1,019.34 | $ | 5.51 | 1.10 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 872.70 | $ | 6.78 | 1.46 | % | $ | 1,000.00 | $ | 1,017.55 | $ | 7.30 | 1.46 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 868.20 | $ | 10.24 | 2.21 | % | $ | 1,000.00 | $ | 1,013.84 | $ | 11.03 | 2.21 | % |
(1) For each class, expenses are equal to the annualized expense ratio for the class, including expenses of the Fund's subsidiary (See Note A-1 in the Notes to Consolidated Financial Statements), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown).
(2) Hypothetical 5% annual return before expenses is calculated by multiplying the number of days in the most recent period divided by 365.
7
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (Unaudited) 4/30/15
PRINCIPAL AMOUNT | VALUE† | ||||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government (9.2%) | |||||||||||
$ | 9,000,000 | U.S. Treasury Notes, 0.38%, due 6/15/15 | $ | 9,003,519 | |||||||
1,000,000 | U.S. Treasury Notes, 0.25%, due 9/15/15 | 1,000,784 | |||||||||
Total U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government (Cost $10,004,184) | 10,004,303 | ||||||||||
Asset-Backed Securities (15.5%) | |||||||||||
173,240 | Ally Auto Receivables Trust, Ser. 2011-5, Class A4, 1.32%, due 7/15/16 | 173,295 | |||||||||
98,043 | Ally Auto Receivables Trust, Ser. 2012-3, Class A3, 0.85%, due 8/15/16 | 98,078 | |||||||||
128,455 | Ally Auto Receivables Trust, Ser. 2013-1, Class A3, 0.63%, due 5/15/17 | 128,509 | |||||||||
800,000 | Ally Auto Receivables Trust, Ser. 2012-4, Class A4, 0.80%, due 10/16/17 | 799,994 | |||||||||
375,000 | Bank of America Credit Card Trust, Ser. 2014-A2, Class A, 0.45%, due 9/16/19 | 375,080 | µ | ||||||||
990,000 | Capital One Multi-Asset Execution Trust, Ser. 2007-A2, Class A2, 0.26%, due 12/16/19 | 986,582 | µ | ||||||||
448,000 | CarMax Auto Owner Trust, Ser. 2012-3, Class A3, 0.52%, due 7/17/17 | 447,767 | |||||||||
957,129 | CarMax Auto Owner Trust, Ser. 2013-1, Class A3, 0.60%, due 10/16/17 | 956,969 | |||||||||
875,000 | Chase Issuance Trust, Ser. 2013-A5, Class A, 0.47%, due 5/15/17 | 875,018 | |||||||||
1,300,000 | Chase Issuance Trust, Ser. 2014-A4, Class A4, 0.41%, due 4/16/18 | 1,299,741 | µ | ||||||||
1,120,000 | Citibank Credit Card Issuance Trust, Ser. 2008-A6, Class A6, 1.38%, due 5/22/17 | 1,120,622 | µ | ||||||||
1,000,000 | Citibank Credit Card Issuance Trust, Ser. 2005-A9, Class A9, 5.10%, due 11/20/17 | 1,025,625 | |||||||||
136,641 | Ford Credit Auto Owner Trust, Ser. 2014-A, Class A2, 0.48%, due 11/15/16 | 136,632 | |||||||||
359,857 | Ford Credit Auto Owner Trust, Ser. 2013-B, Class A3, 0.57%, due 10/15/17 | 359,929 | |||||||||
483,228 | Ford Credit Auto Owner Trust, Ser. 2013-C, Class A3, 0.82%, due 12/15/17 | 483,978 | |||||||||
1,550,000 | Honda Auto Receivables Owner Trust, Ser. 2014-3, Class A2, 0.48%, due 12/15/16 | 1,549,357 | |||||||||
662,543 | Navient Student Loan Trust, Ser. 2014-8, Class A1, 0.46%, due 8/25/20 | 662,543 | µ | ||||||||
193,527 | Nelnet Student Loan Trust, Ser. 2006-1, Class A4, 0.35%, due 11/23/22 | 193,358 | µ | ||||||||
144,132 | Nissan Auto Receivables Owner Trust, Ser. 2015-A, Class A2, 0.50%, due 5/15/17 | 144,141 | |||||||||
1,445,000 | Nissan Auto Receivables Owner Trust, Ser. 2013-A, Class A3, 0.67%, due 9/15/17 | 1,444,900 | |||||||||
664,741 | SLM Student Loan Trust, Ser. 2014-2, Class A1, 0.43%, due 7/25/19 | 664,629 | µ | ||||||||
968,731 | SLM Student Loan Trust, Ser. 2005-9, Class A5, 0.40%, due 1/27/25 | 966,230 | µ | ||||||||
1,104,200 | Toyota Auto Receivables Owner Trust, Ser. 2014-B, Class A2, 0.40%, due 12/15/16 | 1,103,876 | |||||||||
755,000 | Toyota Auto Receivables Owner Trust, Ser. 2015-A, Class A2, 0.71%, due 7/17/17 | 755,324 | |||||||||
103,846 | World Omni Auto Receivables Trust, Ser. 2013-B, Class A2, 0.48%, due 11/15/16 | 103,842 | |||||||||
Total Asset-Backed Securities (Cost $16,931,326) | 16,856,019 | ||||||||||
Corporate Debt Securities (36.9%) | |||||||||||
Aerospace & Defense (0.7%) | |||||||||||
805,000 | Rockwell Collins, Inc., Senior Unsecured Notes, 0.62%, due 12/15/16 | 805,739 | µ | ||||||||
Automobile Manufacturers (3.9%) | |||||||||||
965,000 | American Honda Finance Corp., Senior Unsecured Notes, 0.77%, due 10/7/16 | 969,446 | µ | ||||||||
1,100,000 | Daimler Finance North America LLC, Guaranteed Notes, 0.62%, due 8/1/17 | 1,098,047 | ñµ | ||||||||
445,000 | Toyota Motor Credit Corp., Senior Unsecured Notes, 0.55%, due 5/17/16 | 446,053 | µ | ||||||||
1,120,000 | Toyota Motor Credit Corp., Senior Unsecured Medium-Term Notes, 0.36%, due 9/23/16 | 1,119,928 | µ | ||||||||
410,000 | Volkswagen Group of America Finance LLC, Guaranteed Notes, 0.63%, due 5/23/17 | 409,988 | ñµ | ||||||||
200,000 | Volkswagen Group of America Finance LLC, Guaranteed Notes, 0.70%, due 11/20/17 | 200,046 | ñµ | ||||||||
4,243,508 |
See Notes to Consolidated Schedule of Investments
8
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (Unaudited) (cont'd)
PRINCIPAL AMOUNT | VALUE† | ||||||||||
Banks (11.9%) | |||||||||||
$ | 710,000 | Bank of America N.A., Senior Unsecured Notes, 0.73%, due 11/14/16 | $ | 710,854 | µ | ||||||
490,000 | Bank of Montreal, Senior Unsecured Medium-Term Notes, 0.80%, due 7/15/16 | 492,385 | µ | ||||||||
1,000,000 | Bank of New York Mellon Corp., Senior Unsecured Medium-Term Notes, | 1,001,396 | µ | ||||||||
0.49%, due 3/4/16 |
| ||||||||||
400,000 | Citigroup, Inc., Senior Unsecured Notes, 2.25%, due 8/7/15 | 401,711 | |||||||||
1,000,000 | Goldman Sachs Group, Inc., Senior Unsecured Medium-Term Notes, Ser. B, | 1,000,162 | µ | ||||||||
0.68%, due 7/22/15 |
| ||||||||||
965,000 | HSBC USA, Inc., Senior Unsecured Notes, 0.56%, due 6/23/17 | 963,440 | µ | ||||||||
2,105,000 | JPMorgan Chase & Co., Senior Unsecured Notes, 0.78%, due 2/15/17 | 2,109,431 | µ | ||||||||
230,000 | Mizuho Bank Ltd., Guaranteed Notes, 0.71%, due 4/16/17 | 229,357 | ñµ | ||||||||
875,000 | Morgan Stanley, Senior Unsecured Notes, 1.51%, due 2/25/16 | 880,834 | µ | ||||||||
395,000 | National Australia Bank Ltd., Senior Unsecured Notes, 0.83%, due 7/25/16 | 396,764 | µ | ||||||||
900,000 | Royal Bank of Canada, Senior Unsecured Medium-Term Notes, 0.80%, due 10/30/15 | 901,953 | |||||||||
450,000 | Svenska Handelsbanken AB, Senior Unsecured Notes, 0.73%, due 9/23/16 | 451,841 | µ | ||||||||
655,000 | Toronto-Dominion Bank, Senior Unsecured Medium-Term Notes, 0.46%, due 11/6/15 | 655,559 | µ | ||||||||
920,000 | U.S. Bank N.A., Senior Unsecured Bank Notes, 0.51%, due 1/30/17 | 920,501 | µ | ||||||||
500,000 | Wells Fargo & Co., Senior Unsecured Medium-Term Notes, 0.81%, due 7/20/16 | 501,977 | µ | ||||||||
1,340,000 | Wells Fargo & Co., Senior Unsecured Medium-Term Notes, 0.52%, due 9/8/17 | 1,335,896 | µ | ||||||||
12,954,061 | |||||||||||
Beverages (0.4%) | |||||||||||
460,000 | Anheuser-Busch InBev Finance, Inc., Guaranteed Notes, 0.47%, due 1/27/17 | 459,091 | µ | ||||||||
Computers (0.8%) | |||||||||||
390,000 | Apple, Inc., Senior Unsecured Notes, 0.33%, due 5/5/17 | 389,766 | µ | ||||||||
455,000 | Apple, Inc., Senior Unsecured Notes, 0.33%, due 5/3/16 | 455,316 | µ | ||||||||
845,082 | |||||||||||
Diversified Financial Services (3.3%) | |||||||||||
1,250,000 | American Express Credit Corp., Senior Unsecured Medium-Term Notes, 2.75%, due 9/15/15 | 1,259,612 | |||||||||
2,360,000 | General Electric Capital Corp., Guaranteed Global Medium-Term Notes, 0.93%, due 7/12/16 | 2,376,721 | µØØ | ||||||||
3,636,333 | |||||||||||
Electric (0.4%) | |||||||||||
460,000 | Electricite de France, Senior Unsecured Notes, 0.74%, due 1/20/17 | 460,497 | ñµ | ||||||||
Healthcare—Products (1.4%) | |||||||||||
1,470,000 | Medtronic, Inc., Guaranteed Notes, 0.35%, due 2/27/17 | 1,465,721 | µ | ||||||||
Insurance (0.9%) | |||||||||||
210,000 | Berkshire Hathaway Finance Corp., Guaranteed Notes, 0.42%, due 1/10/17 | 210,161 | µ | ||||||||
270,000 | Metropolitan Life Global Funding I, Secured Notes, 0.81%, due 7/15/16 | 271,250 | ñµ | ||||||||
495,000 | Principal Life Global Funding II, Senior Secured Notes, 0.63%, due 5/27/16 | 495,992 | ñµ | ||||||||
977,403 |
See Notes to Consolidated Schedule of Investments
9
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (Unaudited) (cont'd)
PRINCIPAL AMOUNT | VALUE† | ||||||||||
Machinery—Construction & Mining (0.4%) | |||||||||||
$ | 400,000 | Caterpillar Financial Services Corp., Senior Unsecured Medium-Term Notes, | $ | 400,649 | µ | ||||||
0.50%, due 2/26/16 |
| ||||||||||
Machinery Diversified (0.7%) | |||||||||||
510,000 | John Deere Capital Corp., Senior Unsecured Medium-Term Notes, 0.39%, due 6/15/15 | 510,068 | µ | ||||||||
210,000 | John Deere Capital Corp., Senior Unsecured Notes, 0.57%, due 10/11/16 | 210,529 | µ | ||||||||
720,597 | |||||||||||
Media (1.2%) | |||||||||||
500,000 | DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Guaranteed Notes, 3.50%, due 3/1/16 | 510,373 | |||||||||
770,000 | NBCUniversal Enterprise, Inc., Guaranteed Notes, 0.81%, due 4/15/16 | 772,086 | ñµ | ||||||||
1,282,459 | |||||||||||
Mining (0.4%) | |||||||||||
440,000 | BHP Billiton Finance USA Ltd., Guaranteed Notes, 0.52%, due 9/30/16 | 440,043 | µ | ||||||||
Oil & Gas (2.6%) | |||||||||||
535,000 | BP Capital Markets PLC, Guaranteed Notes, 0.68%, due 11/7/16 | 536,041 | µ | ||||||||
1,350,000 | Chevron Corp., Senior Unsecured Notes, 0.43%, due 3/2/18 | 1,349,981 | µ | ||||||||
400,000 | Devon Energy Corp., Senior Unsecured Notes, 0.72%, due 12/15/15 | 399,470 | µ | ||||||||
500,000 | EOG Resources, Inc., Senior Unsecured Notes, 2.95%, due 6/1/15 | 500,897 | |||||||||
2,786,389 | |||||||||||
Pharmaceuticals (1.0%) | |||||||||||
470,000 | Actavis Funding SCS, Guaranteed Notes, 1.14%, due 9/1/16 | 471,253 | µ | ||||||||
335,000 | Bayer US Finance LLC, Guaranteed Notes, 0.52%, due 10/7/16 | 335,066 | ñµ | ||||||||
290,000 | Merck & Co., Inc., Senior Unsecured Notes, 0.45%, due 5/18/16 | 290,437 | µ | ||||||||
1,096,756 | |||||||||||
Pipelines (1.8%) | |||||||||||
750,000 | Enterprise Products Operating LLC, Guaranteed Notes, 1.25%, due 8/13/15 | 751,270 | |||||||||
1,165,000 | TransCanada PipeLines Ltd., Senior Unsecured Notes, 0.95%, due 6/30/16 | 1,168,325 | µØØ | ||||||||
1,919,595 | |||||||||||
Real Estate Investment Trusts (0.9%) | |||||||||||
1,015,000 | Simon Property Group L.P., Senior Unsecured Notes, 5.10%, due 6/15/15 | 1,020,124 | |||||||||
Software (0.8%) | |||||||||||
825,000 | Oracle Corp., Senior Unsecured Notes, 0.47%, due 7/7/17 | 826,001 | µ |
See Notes to Consolidated Schedule of Investments
10
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (Unaudited) (cont'd)
PRINCIPAL AMOUNT | VALUE† | ||||||||||
Telecommunications (2.7%) | |||||||||||
$ | 875,000 | AT&T, Inc., Senior Unsecured Notes, 2.50%, due 8/15/15 | $ | 879,266 | |||||||
1,450,000 | Cisco Systems, Inc., Senior Unsecured Notes, 0.54%, due 3/3/17 | 1,454,433 | µ | ||||||||
600,000 | Verizon Communications, Inc., Senior Unsecured Notes, 0.70%, due 11/2/15 | 599,919 | |||||||||
2,933,618 | |||||||||||
Transportation (0.7%) | |||||||||||
770,000 | Canadian National Railway Co., Senior Unsecured Notes, 0.46%, due 11/6/15 | 770,192 | µ | ||||||||
Total Corporate Debt Securities (Cost $40,037,579) | 40,043,858 | ||||||||||
Certificates of Deposit (1.7%) | |||||||||||
480,000 | Credit Suisse New York, Yankee CD, 0.67%, due 12/7/15 | 480,000 | µ | ||||||||
950,000 | Nordea Bank Finland PLC, Yankee CD1, 0.41%, due 6/13/16 | 950,162 | µ | ||||||||
450,000 | Sumitomo Mitsui Banking Corp., Yankee CD, 0.56%, due 3/3/16 | 449,912 | µ | ||||||||
Total Certificates of Deposit (Cost $1,880,000) | 1,880,074 | ||||||||||
Short-Term Investments (33.9%) | |||||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Governmenta (14.7%) | |||||||||||
8,000,000 | U.S. Treasury Bill, Disc. Notes, 0.00%, due 6/11/15 | 7,999,952 | |||||||||
8,000,000 | U.S. Treasury Bill, Disc. Notes, 0.01%, due 8/13/15 | 7,999,824 | |||||||||
15,999,776 | |||||||||||
NUMBER OF SHARES | |||||||||||
Money Market Fund (19.2%) | |||||||||||
20,808,595 | State Street Institutional Government Money Market Fund Premier Class | 20,808,595 | ††ØØ | ||||||||
Total Short-Term Investments (Cost $36,806,538) | 36,808,371 | ||||||||||
Total Investments (97.2%) (Cost $105,659,627) | 105,592,625 | ## | |||||||||
Cash, receivables and other assets, less liabilities (2.8%) | 3,082,511 | b | |||||||||
Total Net Assets (100.0%) | $ | 108,675,136 |
See Notes to Consolidated Schedule of Investments
11
Notes to Consolidated Schedule of Investments (Unaudited)
† In accordance with Accounting Standards Codification ("ASC") 820 "Fair Value Measurement" ("ASC 820"), all investments held by Neuberger Berman Risk Balanced Commodity Strategy Fund (the "Fund") are carried at the value that Neuberger Berman Management LLC ("Management") believes the Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Fund's investments, some of which are discussed below. Significant management judgment may be necessary to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
• Level 1 – quoted prices in active markets for identical investments
• Level 2 – other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
• Level 3 – unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Fund's investments in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid quotations, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Fund:
Corporate Debt Securities. Inputs used to value corporate debt securities generally include relative credit information, observed market movements, sector news, spread to the U.S. Treasury market, and other market information, which may include benchmark yields, reported trades, broker-dealer quotes, issuer spreads, benchmark securities, bids, offers, and reference data, such as market research publications, when available ("Other Market Information").
Asset-Backed Securities. Inputs used to value asset-backed securities generally include models that consider a number of factors, which may include the following: prepayment speeds, cash flows, spread adjustments and Other Market Information.
U.S. Treasury Securities. Inputs used to value U.S. Treasury securities generally include quotes from several inter-dealer brokers and Other Market Information.
U.S. Government Agency Securities. Inputs used to value U.S. Government Agency securities generally include obtaining benchmark quotes and Other Market Information.
The value of commodity futures contracts is determined by Management by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Certificates of deposit are valued at amortized cost.
Investments in money market funds are valued using the fund's daily calculated net asset value per share (Level 2 inputs).
See Notes to Consolidated Financial Statements
12
Notes to Consolidated Schedule of Investments (Unaudited) (cont'd)
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount the Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Neuberger Berman Alternative Funds' Board of Trustees (the "Board") has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Numerous factors may be considered when determining the fair value of a security based on Level 2 or Level 3 inputs, including available analyst, media or other reports, trading in futures or American Depositary Receipts ("ADRs") and whether the issuer of the security being fair valued has other securities outstanding.
The value of the Fund's investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in local currency values are translated from the local currency into U.S. dollars using the exchange rates as of the end of regular trading on the New York Stock Exchange ("NYSE") on business days, usually 4:00 p.m., Eastern time. The Board has approved the use of Interactive Data Pricing and Reference Data, Inc. ("Interactive") to evaluate the prices of foreign income securities as of the close of the NYSE. Interactive utilizes benchmark spread and yield curves and evaluates available market activity from the local close to the close of the NYSE (Level 2 inputs) to assist in determining prices for certain foreign income securities. In the absence of precise information about the market values of these foreign securities as of the close of the NYSE, the Board has determined on the basis of available data that prices evaluated in this way are likely to be closer to the prices the Fund could realize on a current sale than are the prices of those securities established at the close of the foreign markets in which the securities primarily trade.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
The following is a summary, categorized by Level, of inputs used to value the Fund's investments as of April 30, 2015:
Asset Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Investments: | |||||||||||||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government | $ | — | $ | 10,004,303 | $ | — | $ | 10,004,303 | |||||||||||
Asset-Backed Securities | — | 16,856,019 | — | 16,856,019 | |||||||||||||||
Corporate Debt Securities^ | — | 40,043,858 | — | 40,043,858 | |||||||||||||||
Certificates of Deposit | — | 1,880,074 | — | 1,880,074 | |||||||||||||||
Short-Term Investments | — | 36,808,371 | — | 36,808,371 | |||||||||||||||
Total Investments | $ | — | $ | 105,592,625 | $ | — | $ | 105,592,625 |
^ The Consolidated Schedule of Investments provides information on the industry categorization for the portfolio.
As of the six months ended April 30, 2015, no securities were transferred from one level (as of October 31, 2014) to another.
See Notes to Consolidated Financial Statements
13
Notes to Consolidated Schedule of Investments (Unaudited) (cont'd)
The following is a summary, categorized by Level, of inputs used to value the Fund's derivatives as of April 30, 2015:
Asset Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Futures Contracts (unrealized appreciation) | $ | 7,256,103 | $ | — | $ | — | $ | 7,256,103 | |||||||||||
Liability Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Futures Contracts (unrealized depreciation) | $ | (5,708,212 | ) | $ | — | $ | — | $ | (5,708,212 | ) |
## At April 30, 2015, the cost of investments for U.S. federal income tax purposes was $105,659,627. Gross unrealized appreciation of investments was $31,303 and gross unrealized depreciation of investments was $98,305, resulting in net unrealized depreciation of $67,002 based on cost for U.S. federal income tax purposes.
ñ Securities were purchased under Rule 144A of the Securities Act of 1933, as amended (the "1933 Act"), or are private placements and, unless registered under the 1933 Act or exempted from registration, may only be sold to qualified institutional investors. These securities have been deemed by the investment manager to be liquid. At April 30, 2015, these securities amounted to $4,272,329 or 3.9% of net assets.
ØØ All or a portion of this security is segregated in connection with obligations for commodity futures contracts.
†† A portion of this security is held by Neuberger Berman Cayman Commodity Fund I Ltd. (the "Subsidiary"), a wholly-owned subsidiary of the Fund. See Note A-1 in the Notes to Consolidated Financial Statements.
a Interest rate represents discount rate at time of purchase, not a coupon rate.
µ Floating rate securities are securities whose yields vary with a designated index or market rate. These securities are shown at their current rates as of April 30, 2015, and their final maturities.
b See Note A-11 in the Notes to Consolidated Financial Statements for the Fund's or Subsidiary's open positions in derivatives at April 30, 2015.
See Notes to Consolidated Financial Statements
14
Consolidated Statement of Assets and Liabilities* (Unaudited)
Neuberger Berman Alternative Funds
RISK BALANCED COMMODITY STRATEGY FUND | |||||||
April 30, 2015 | |||||||
Assets | |||||||
Investments in securities, at value ** (Notes A)—see Schedule of Investments: | |||||||
Unaffiliated issuers | $ | 105,592,625 | |||||
Cash collateral segregated for futures contracts (Note A-11) | 6,636,616 | ||||||
Interest receivable | 113,979 | ||||||
Receivable for Fund shares sold | 309,822 | ||||||
Receivable from Management—net (Note B) | 21,202 | ||||||
Prepaid expenses and other assets | 20,883 | ||||||
Total Assets | 112,695,127 | ||||||
Liabilities | |||||||
Payable for securities purchased | 3,522,420 | ||||||
Payable for Fund shares redeemed | 85,498 | ||||||
Payable for variation margin (Note A-11) | 155,782 | ||||||
Payable to investment manager—net (Note B) | 110,966 | ||||||
Payable to trustees | 1,118 | ||||||
Accrued expenses and other payables | 144,207 | ||||||
Total Liabilities | 4,019,991 | ||||||
Net Assets | $ | 108,675,136 | |||||
Net Assets consist of: | |||||||
Paid-in capital | $ | 123,462,479 | |||||
Undistributed net investment income (loss) | (990,182 | ) | |||||
Accumulated net realized gains (losses) on investments | (15,278,050 | ) | |||||
Net unrealized appreciation (depreciation) in value of investments | 1,480,889 | ||||||
Net Assets | $ | 108,675,136 | |||||
Net Assets | |||||||
Institutional Class | $ | 28,027,772 | |||||
Class A | 76,659,869 | ||||||
Class C | 3,987,495 | ||||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | |||||||
Institutional Class | 3,822,774 | ||||||
Class A | 10,560,955 | ||||||
Class C | 560,705 | ||||||
Net Asset Value, offering and redemption price per share | |||||||
Institutional Class | $ | 7.33 | |||||
Net Asset Value and redemption price per share | |||||||
Class A | $ | 7.26 | |||||
Offering Price per share | |||||||
Class A‡ | $ | 7.70 | |||||
Net Asset Value and offering price per share | |||||||
Class C^ | $ | 7.11 | |||||
** Cost of Investments | $ | 105,659,627 |
‡ On single retail sales of less than $50,000. On sales of $50,000 or more or in certain other circumstances described in the Fund's prospectus, offering price is reduced.
^ Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
* See Notes A-1 and A-2 of the Notes to Consolidated Financial Statements.
See Notes to Consolidated Financial Statements
15
Consolidated Statement of Operations* (Unaudited)
Neuberger Berman Alternative Funds
RISK BALANCED COMMODITY STRATEGY FUND | |||||||
For the Six Months Ended April 30, 2015 | |||||||
Investment Income: | |||||||
Income (Note A): | |||||||
Interest income—unaffiliated issuers | $ | 168,187 | |||||
Expenses: | |||||||
Investment management fees (Note B) | 312,882 | ||||||
Administration fees (Note B) | 26,818 | ||||||
Administration fees (Note B): | |||||||
Institutional Class | 9,724 | ||||||
Class A | 64,198 | ||||||
Class C | 3,589 | ||||||
Distribution fees (Note B): | |||||||
Class A | 80,247 | ||||||
Class C | 17,943 | ||||||
Shareholder servicing agent fees: | |||||||
Institutional Class | 1,169 | ||||||
Class A | 6,412 | ||||||
Class C | 2,164 | ||||||
Subsidiary administration fees (Note B) | 24,795 | ||||||
Audit fees | 42,697 | ||||||
Custodian and accounting fees | 39,965 | ||||||
Insurance expense | 956 | ||||||
Legal fees | 67,496 | ||||||
Registration and filing fees | 35,459 | ||||||
Shareholder reports | 18,184 | ||||||
Trustees' fees and expenses | 15,959 | ||||||
Miscellaneous | 12,972 | ||||||
Total expenses | 783,629 | ||||||
Expenses reimbursed by Management (Note B) | (156,483 | ) | |||||
Total net expenses | 627,146 | ||||||
Net investment income (loss) | $ | (458,959 | ) | ||||
Realized and Unrealized Gain (Loss) on Investments (Note A): | |||||||
Net realized gain (loss) on: | |||||||
Sales of investment securities of unaffiliated issuers | (4,780 | ) | |||||
Commodity futures contracts | (15,266,879 | ) | |||||
Change in net unrealized appreciation (depreciation) in value of: | |||||||
Unaffiliated investment securities | (30,893 | ) | |||||
Commodity futures contracts | 5,673,760 | ||||||
Net gain (loss) on investments | (9,628,792 | ) | |||||
Net increase (decrease) in net assets resulting from operations | $ | (10,087,751 | ) |
* See Notes A-1 and A-2 of the Notes to Consolidated Financial Statements.
See Notes to Consolidated Financial Statements
16
Consolidated Statements of Changes in Net Assets*
Neuberger Berman Alternative Funds | |||||||||||
RISK BALANCED COMMODITY STRATEGY FUND | |||||||||||
Six Months Ended April 30, 2015 (Unaudited) | Year Ended October 31, 2014 | ||||||||||
Increase (Decrease) in Net Assets: | |||||||||||
From Operations (Note A): | |||||||||||
Net investment income (loss) | $ | (458,959 | ) | $ | (734,530 | ) | |||||
Net realized gain (loss) on investments | (15,271,659 | ) | (3,800,407 | ) | |||||||
Change in net unrealized appreciation (depreciation) of investments | 5,642,867 | (3,938,974 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | (10,087,751 | ) | (8,473,911 | ) | |||||||
Distributions to Shareholders From (Note A): | |||||||||||
Net realized gain on investments: | |||||||||||
Institutional Class | (1,696 | ) | — | ||||||||
Class A | (5,449 | ) | — | ||||||||
Class C | (284 | ) | — | ||||||||
Total distributions to shareholders | (7,429 | ) | — | ||||||||
From Fund Share Transactions (Note D): | |||||||||||
Proceeds from shares sold: | |||||||||||
Institutional Class | 15,246,133 | 13,347,175 | |||||||||
Class A | 36,937,282 | 50,351,242 | |||||||||
Class C | 1,680,178 | 1,518,489 | |||||||||
Proceeds from reinvestment of dividends and distributions: | |||||||||||
Institutional Class | 1,696 | — | |||||||||
Class A | 5,433 | — | |||||||||
Class C | 276 | — | |||||||||
Payments for shares redeemed: | |||||||||||
Institutional Class | (5,428,893 | ) | (911,849 | ) | |||||||
Class A | (19,694,123 | ) | (12,022,096 | ) | |||||||
Class C | (1,459,641 | ) | (507,868 | ) | |||||||
Net increase (decrease) from Fund share transactions | 27,288,341 | 51,775,093 | |||||||||
Net Increase (Decrease) in Net Assets | 17,193,161 | 43,301,182 | |||||||||
Net Assets: | |||||||||||
Beginning of period | 91,481,975 | 48,180,793 | |||||||||
End of period | $ | 108,675,136 | $ | 91,481,975 | |||||||
Undistributed net investment income (loss) at end of period | $ | (990,182 | ) | $ | (531,223 | ) |
* See Notes A-1 and A-2 of the Notes to Consolidated Financial Statements.
See Notes to Consolidated Financial Statements
17
Notes to Consolidated Financial Statements Risk Balanced Commodity Strategy Fund (Unaudited)
Note A—Summary of Significant Accounting Policies:
1 General: Neuberger Berman Alternative Funds (the "Trust") is a Delaware statutory trust organized pursuant to an Amended and Restated Trust Instrument dated March 27, 2014. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"), and its shares are registered under the Securities Act of 1933, as amended (the "1933 Act"). The Fund is a separate operating series of the Trust and is non-diversified. The Fund had no operations until August 27, 2012, other than matters relating to its organization and registration of shares under the 1933 Act. The Fund offers Institutional Class shares, Class A shares and Class C shares. The Board may establish additional series or classes of shares without the approval of shareholders.
The assets of the Fund belong only to the Fund, and the liabilities of the Fund are borne solely by the Fund and no other.
The Fund invests in commodity-related instruments through the Subsidiary, which is organized under the laws of the Cayman Islands. Subscription agreements were entered into between the Fund and the Subsidiary with the intent that the Fund will remain the sole shareholder of the Subsidiary. The Subsidiary is governed by its own Board of Directors.
As of April 30, 2015, the value of the Fund's investment in the Subsidiary was as follows:
Investment in Subsidiary | Percentage of Net Assets | ||||||
$ | 22,309,515 | 20.5 | % |
The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 "Financial Services—Investment Companies."
The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("GAAP") requires Management to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates.
2 Consolidation: The accompanying financial statements of the Fund present the consolidated accounts of the Fund and the Subsidiary. All intercompany accounts and transactions have been eliminated in consolidation.
3 Portfolio valuation: Investment securities are valued as indicated in the notes following the Schedule of Investments.
4 Foreign currency translation: The accounting records of the Fund and Subsidiary are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars using the exchange rate as of the end of regular trading on the New York Stock Exchange on business days, usually 4:00 p.m. Eastern time, to determine the value of investments, other assets and liabilities. Purchase and sale prices of securities, and income and expenses, are translated into U.S. dollars at the prevailing rate of exchange on the respective dates of such transactions. Net unrealized foreign currency gain (loss), if any, arises from changes in the value of assets and liabilities, other than investments in securities, as a result of changes in exchange rates and is stated separately in the Consolidated Statement of Operations.
5 Securities transactions and investment income: Securities transactions are recorded on the trade date for financial reporting purposes. Dividend income is recorded on the ex-dividend date or, for certain foreign
18
dividends, as soon as the Fund becomes aware of the dividends. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income, including accretion of discount (adjusted for original issue discount, where applicable) and amortization of premium, where applicable, is recorded on the accrual basis. Realized gains and losses from securities transactions and foreign currency transactions, if any, are recorded on the basis of identified cost and stated separately in the Consolidated Statement of Operations.
6 Income tax information: It is the policy of the Fund to continue to qualify for treatment as a regulated investment company by complying with the requirements of the U.S. Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its net investment income and net realized capital gains to its shareholders. To the extent the Fund distributes substantially all of its net investment income and net realized capital gains to shareholders, no federal income or excise tax provision is required.
The Fund has adopted the provisions of ASC 740 "Income Taxes" ("ASC 740"). ASC 740 sets forth a minimum threshold for financial statement recognition of a tax position taken, or expected to be taken, in a tax return. The Fund recognizes interest and penalties, if any, related to unrecognized tax positions as an income tax expense in the Consolidated Statement of Operations. The Fund is subject to examination by U.S. federal and state tax authorities for returns filed for the tax years for which the applicable statutes of limitations have not yet expired. As of April 30, 2015, the Fund did not have any unrecognized tax positions.
The Subsidiary is a controlled foreign corporation under the U.S. Internal Revenue Code. As a U.S. shareholder of a controlled foreign corporation, the Fund will include in its taxable income its share of the Subsidiary's current earnings and profits (including net realized gains). Any deficit generated by the Subsidiary will be disregarded for purposes of computing the Fund's taxable income in the current period and also disregarded for all future periods.
Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Fund, timing differences and differing characterization of distributions made by the Fund. The Fund may also utilize earnings and profits distributed to shareholders on redemption of shares as a part of the dividends-paid deduction for income tax purposes.
As determined on October 31, 2014, permanent differences resulting primarily from different book and tax accounting were reclassified at year end. Such differences may be attributed to the tax treatment of one or more of the following: net operating losses, ordinary loss netting to reduce short term capital gains, Subsidiary income and gain (loss). These reclassifications had no effect on net income, net asset value ("NAV") or NAV per share of the Fund. For the year ended October 31, 2014, the Fund recorded the following permanent reclassifications:
Paid-in Capital | Undistributed Net Investment Income (Loss) | Accumulated Net Realized Gains (Losses) on Investments | |||||||||
$ | (4,180,742 | ) | $ | 379,297 | $ | 3,801,445 |
As of October 31, 2014, the components of distributable earnings (accumulated losses) on a U.S. federal income tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gain | Unrealized Appreciation (Depreciation) | Loss Carryforwards and Deferrals | Other Temporary Differences | Total | ||||||||||||||||||
$ | — | $ | 1,038 | $ | (36,109 | ) | $ | (530,552 | ) | $ | (4,126,540 | ) | $ | (4,692,163 | ) |
The difference between book basis and tax basis distributable earnings is primarily due to organizational expenses.
To the extent the Fund's net realized capital gains, if any, can be offset by capital loss carryforwards, it is the policy of the Fund not to distribute such gains. For taxable years beginning after December 22, 2010, the capital loss
19
carryforward rules allow for regulated investment companies to carry forward capital losses indefinitely and to retain the character of capital loss carryforwards as short-term or long-term. As determined at October 31, 2014, the Fund had no unused capital loss carryforwards available for federal income tax purposes to offset net realized capital gains.
Under current tax regulations, capital losses realized on investment transactions after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. Under the Regulated Investment Company Modernization Act of 2010, the Fund may also defer any realized late-year ordinary losses as occurring on the first day of the following fiscal year. Late-year ordinary losses represent ordinary losses realized on investment transactions after December 31 and specified losses (ordinary losses from the sale, exchange, or other disposition of property, net foreign currency losses and net passive foreign investment company mark to market losses) realized on investment transactions after October 31. For the year ended October 31, 2014, the Fund elected to defer the following late-year ordinary losses and post October capital losses:
Late-Year Ordinary Loss Deferral | |||
$ | 530,552 |
7 Distributions to shareholders: The Fund may earn income, net of expenses, daily on its investments. Distributions from net investment income and net realized capital gains, if any, generally are distributed once a year (usually in December) and are recorded on the ex-date.
8 Foreign taxes: Foreign taxes withheld, if any, represent amounts withheld by foreign tax authorities, net of refunds recoverable.
9 Expense allocation: Certain expenses are applicable to multiple funds within the complex of related investment companies. Expenses directly attributable to the Fund are charged to the Fund. Expenses of the Trust that are not directly attributable to a particular series of the Trust (e.g., the Fund) are allocated among the series of the Trust, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the series can otherwise be made fairly. Expenses borne by the complex of related investment companies, which includes open-end and closed-end investment companies for which Management serves as investment manager, that are not directly attributable to a particular investment company in the complex (e.g., the Trust) or series thereof are allocated among the investment companies or series thereof in the complex on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the investment companies or series thereof in the complex can otherwise be made fairly. The Fund's expenses (other than those specific to each class) are allocated proportionally each day among the classes based upon the relative net assets of each class.
10 Investments in foreign securities: Investing in foreign securities may involve certain sovereign and other risks, in addition to the credit and market risks normally associated with domestic securities. These additional risks include the possibility of adverse political and economic developments (including political instability, nationalization, expropriation, or confiscatory taxation) and the potentially adverse effects of unavailability of public information regarding issuers, less governmental supervision and regulation of financial markets, reduced liquidity of certain financial markets, and the lack of uniform accounting, auditing, and financial reporting standards or the application of standards that are different or less stringent than those applied in the United States. Foreign securities also may experience greater price volatility, higher rates of inflation, and delays in settlement.
11 Derivative instruments: During the six months ended April 30, 2015, the Fund's use of derivatives was limited to commodity futures contracts. The Fund has adopted the provisions of ASC 815 "Derivatives and Hedging" ("ASC 815"). The disclosure requirements of ASC 815 distinguish between derivatives that qualify for hedge accounting and those that do not. Because investment companies value their derivatives at fair value and recognize changes in fair value through the Consolidated Statement of Operations, they do not qualify for hedge accounting. Accordingly, even though the Fund's investments in derivatives may represent economic hedges, they are considered non-hedge transactions for purposes of this disclosure.
20
Commodity futures contracts: During the six months ended April 30, 2015, the Fund used commodity futures contracts (through investments in the Subsidiary) to provide investment exposure to individual commodities, as well as to manage and/or adjust the risk profile of the Fund.
At the time the Fund or Subsidiary enters into a commodity futures contract, it is required to deposit with the futures commission merchant a specified amount of cash or liquid securities, known as "initial margin," which is a percentage of the value of the commodity futures contract being traded that is set by the exchange upon which the futures contract is traded. Each day, the futures contract is valued at the official settlement price of the board of trade or U.S. commodity exchange on which such futures contract is traded. Subsequent payments, known as "variation margin," to and from the broker are made on a daily basis or as needed as the market price of the commodity futures contract fluctuates. Daily variation margin adjustments, arising from this "mark to market," are recorded by the Fund or Subsidiary as unrealized gains or losses.
Although some commodity futures contracts by their terms call for actual delivery or acquisition of the underlying securities or currency, in most cases the contracts are closed out prior to delivery by offsetting purchases or sales of matching commodity futures contracts. When the contracts are closed, the Fund or Subsidiary recognizes a gain or loss. Risks of entering into futures contracts include the possibility there may be an illiquid market, possibly at a time of rapidly declining prices, and/or a change in the value of the contract may not correlate with changes in the value of the underlying securities. Futures executed on regulated futures exchanges have minimal counterparty risk to the Fund because the exchange's clearinghouse assumes the position of the counterparty in each transaction. Thus, the Fund is exposed to risk only in connection with the clearinghouse and not in connection with the original counterparty to the transaction.
For U.S. federal income tax purposes, the futures transactions undertaken by the Fund or Subsidiary may cause the Fund or Subsidiary to recognize gains or losses from marking contracts to market even though its positions have not been sold or terminated, may affect the character of the gains or losses recognized as long-term or short-term, and may affect the timing of some capital gains and losses realized by the Fund or Subsidiary. Also, the Fund's or Subsidiary's losses on transactions involving futures contracts may be deferred rather than being taken into account currently in calculating the Fund's or Subsidiary's taxable income.
At April 30, 2015, open positions in commodity futures contracts(1) were:
Expiration | Open Contracts | Position | Unrealized Appreciation (Depreciation) | ||||||||||||
May 2015 | 92 Lead | Long | $ | 613,803 | |||||||||||
May 2015 | 48 Nickel | Long | (265,411 | ) | |||||||||||
May 2015 | 71 Premium High Grade Aluminum | Long | 107,839 | ||||||||||||
May 2015 | 86 Zinc | Long | 507,118 | ||||||||||||
June 2015 | 84 Lead | Long | 770,386 | ||||||||||||
June 2015 | 51 Nickel | Long | (51,837 | ) | |||||||||||
June 2015 | 54 Premium High Grade Aluminum | Long | 150,383 | ||||||||||||
June 2015 | 85 Zinc | Long | 623,259 | ||||||||||||
July 2015 | 88 Lead | Long | 676,372 | ||||||||||||
July 2015 | 54 Nickel | Long | 444,479 | ||||||||||||
July 2015 | 113 Platinum | Long | (243,703 | ) | |||||||||||
July 2015 | 47 Premium High Grade Aluminum | Long | 155,394 | ||||||||||||
July 2015 | 90 Zinc | Long | 585,893 | ||||||||||||
August 2015 | 28 Feeder Cattle | Long | (60,544 | ) | |||||||||||
August 2015 | 75 Gold 100 Oz. | Long | (31,892 | ) | |||||||||||
August 2015 | 86 Lead | Long | (8,600 | ) |
21
Expiration | Open Contracts | Position | Unrealized Appreciation (Depreciation) | ||||||||||||
August 2015 | 134 Lean Hogs | Long | $ | (56,709 | ) | ||||||||||
August 2015 | 60 Live Cattle | Long | (57,519 | ) | |||||||||||
August 2015 | 111 Low Sulphur Gasoil | Long | 22,097 | ||||||||||||
August 2015 | 74 Natural Gas | Long | 122,665 | ||||||||||||
August 2015 | 69 New York Harbor ULSD | Long | 74,426 | ||||||||||||
August 2015 | 52 Nickel | Long | 25,896 | ||||||||||||
August 2015 | 55 Premium High Grade Aluminum | Long | 22,738 | ||||||||||||
August 2015 | 92 Zinc | Long | 53,913 | ||||||||||||
September 2015 | 52 Cocoa | Long | (3,900 | ) | |||||||||||
September 2015 | 24 Coffee 'C' | Long | (37,954 | ) | |||||||||||
September 2015 | 65 Copper | Long | 49,530 | ||||||||||||
October 2015 | 73 Sugar 11 | Long | (14,539 | ) | |||||||||||
November 2015 | 52 Soybean | Long | 5,757 | ||||||||||||
December 2015 | 83 Brent Crude Oil | Long | 752,864 | ||||||||||||
December 2015 | 341 Corn | Long | (511,507 | ) | |||||||||||
December 2015 | 59 Cotton No. 2 | Long | 623 | ||||||||||||
December 2015 | 104 Hard Red Winter Wheat | Long | (325,344 | ) | |||||||||||
December 2015 | 83 RBOB Gasoline | Long | 761,277 | ||||||||||||
December 2015 | 51 Silver | Long | (125,084 | ) | |||||||||||
December 2015 | 93 Soybean Meal | Long | (47,020 | ) | |||||||||||
December 2015 | 42 Soybean Oil | Long | 22,671 | ||||||||||||
December 2015 | 106 Wheat | Long | (222,458 | ) | |||||||||||
December 2015 | 91 WTI Crude Oil | Long | 652,105 | ||||||||||||
May 2015 | 92 Lead | Short | (861,325 | ) | |||||||||||
May 2015 | 48 Nickel | Short | 52,628 | ||||||||||||
May 2015 | 71 Premium High Grade Aluminum | Short | (193,807 | ) | |||||||||||
May 2015 | 86 Zinc | Short | (628,499 | ) | |||||||||||
June 2015 | 84 Lead | Short | (669,143 | ) | |||||||||||
June 2015 | 51 Nickel | Short | (423,682 | ) | |||||||||||
June 2015 | 54 Premium High Grade Aluminum | Short | (179,707 | ) | |||||||||||
June 2015 | 85 Zinc | Short | (579,198 | ) | |||||||||||
July 2015 | 88 Lead | Short | 1,987 | ||||||||||||
July 2015 | 54 Nickel | Short | (26,880 | ) | |||||||||||
July 2015 | 47 Premium High Grade Aluminum | Short | (22,325 | ) | |||||||||||
July 2015 | 90 Zinc | Short | (59,625 | ) | |||||||||||
Total | $ | 1,547,891 |
(1) Commodity futures are held by the Subsidiary. See Note A-1 in the Notes to Consolidated Financial Statements.
During the six months ended April 30, 2015, the average notional value of commodity futures contracts was $134,278,418 for long positions and $(42,581,484) for short positions.
At April 30, 2015, the notional value of commodity futures contracts was $158,716,981 for long positions and $(50,392,233) for short positions.
22
At April 30, 2015, the Fund had deposited $6,636,616 in a segregated account to cover margin requirements on open commodity futures contracts.
At April 30, 2015, the Fund had the following derivatives (which did not qualify as hedging instruments under ASC 815), grouped by primary risk exposure:
Asset Derivatives
Commodity Risk | Consolidated Statement of Assets and Liabilities Location | ||||||||||
Futures Contracts | $ | 7,256,103 | Receivable/Payable for | ||||||||
Total Value | $ | 7,256,103 | variation margin(1) |
Liability Derivatives
Commodity Risk | Consolidated Statement of Assets and Liabilities Location | ||||||||||
Futures Contracts | $ | (5,708,212 | ) | Receivable/Payable for | |||||||
Total Value | $ | (5,708,212 | ) | variation margin(1) |
(1) "Futures Contracts" reflects the cumulative appreciation (depreciation) of futures contracts as of April 30, 2015, which is reflected in the Consolidated Statement of Assets and Liabilities under the caption "Net unrealized appreciation (depreciation) in value of investments." The outstanding variation margin as of April 30, 2015, if any, is reflected in the Consolidated Statement of Assets and Liabilities under the caption "Receivable/Payable for variation margin."
The impact of the use of these derivative instruments on the Consolidated Statement of Operations during the six months ended April 30, 2015, was as follows:
Realized Gain (Loss)
Commodity Risk | Consolidated Statement of Operations Location | ||||||||||
Net realized gain | |||||||||||
Futures Contracts | $ | (15,266,879 | ) | (loss) on: commodity | |||||||
Total Realized Gain (Loss) | $ | (15,266,879 | ) | futures contracts |
Change in Appreciation (Depreciation)
Commodity Risk | |||||||||||
Change in net | |||||||||||
Futures Contracts | $ | 5,673,760 | unrealized appreciation (depreciation) in value of: | ||||||||
Total Change in Appreciation (Depreciation) | $ | 5,673,760 | commodity futures contracts |
12 Indemnifications: Like many other companies, the Trust's organizational documents provide that its officers ("Officers") and trustees ("Trustees") are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims against the Trust.
13 Other: All net investment income and realized and unrealized capital gains and losses of the Fund are allocated, on the basis of relative net assets, pro rata among its respective classes.
23
Note B—Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
The Fund retains Management as its investment manager under a Management Agreement. For such investment management services, the Fund pays Management a fee at the annual rate of 0.70% of the first $250 million of the Fund's average daily net assets, 0.675% of the next $250 million, 0.65% of the next $250 million, 0.625% of the next $250 million, 0.60% of the next $500 million, 0.575% of the next $2.5 billion and 0.55% of average daily net assets in excess of $4 billion, less the net asset value of the Subsidiary. Accordingly, for the six months ended April 30, 2015, the management fee pursuant to the Management Agreement was equivalent to an annual effective rate of 0.70% of the Fund's average daily net assets.
Management also serves as investment adviser to the Subsidiary. For such investment management services, the Subsidiary pays Management a fee at the annual rate of 0.70% of the first $250 million of the Subsidiary's average daily net assets, 0.675% of the next $250 million, 0.65% of the next $250 million, 0.625% of the next $250 million, 0.60% of the next $500 million, 0.575% of the next $2.5 billion and 0.55% of average daily net assets in excess of $4 billion. Accordingly, for the six months ended April 30, 2015, the management fee pursuant to the Management Agreement was equivalent to an annual effective rate of 0.70% of the Subsidiary's average daily net assets.
The Fund retains Management as its administrator under an Administration Agreement. The Fund pays Management an administration fee at the annual rate of 0.06% of its average daily net assets under this agreement. In addition, the Fund's Institutional Class pays Management an administration fee at the annual rate of 0.09% of its average daily net assets under this agreement and the Fund's Class A and Class C pays Management an administration fee at the annual rate of 0.20% of its average daily net assets under this agreement. Additionally, Management retains State Street Bank and Trust Company ("State Street") as its sub-administrator under a Sub-Administration Agreement. Management pays State Street a fee for all services received under this agreement. The Subsidiary also retains Management as its administrator, and State Street as its sub-administrator.
Management has contractually agreed to waive fees and/or reimburse certain expenses of the Institutional Class, Class A and Class C of the Fund so that the total annual operating expenses of those classes do not exceed the expense limitations as detailed in the following table. These undertakings apply to the Fund's direct expenses and exclude interest, taxes, brokerage commissions, acquired fund fees and expenses, extraordinary expenses, and dividend and interest expenses relating to short sales, if any; consequently, net expenses may exceed the contractual expense limitations. The Fund has agreed that each of its respective classes will repay Management for fees and expenses waived or reimbursed for that class provided that repayment does not cause that class' annual operating expenses to exceed its contractual expense limitation in place at the time the fees and expenses were waived or reimbursed, or the expense limitation in place at the time the Fund repays Management, whichever is lower. Any such repayment must be made within three years after the year in which Management incurred the expense. The expenses of the Subsidiary are included in the total expenses used to calculate the reimbursement, which the Fund has agreed to share with the Subsidiary. For the six months ended April 30, 2015, these Subsidiary expenses amounted to $101,076.
During the six months ended April 30, 2015, there was no repayment to Management under this agreement.
24
At April 30, 2015, contingent liabilities to Management under the agreement were as follows:
Expenses Reimbursed in Fiscal Period Ending October 31, | |||||||||||||||||||||||||||
2012(2) | 2013 | 2014 | 2015 | ||||||||||||||||||||||||
Subject to Repayment Until October 31, | |||||||||||||||||||||||||||
Contractual Expense Limitation(1) | Expiration | 2015 | 2016 | 2017 | 2018 | ||||||||||||||||||||||
Institutional Class | 1.10 | % | 10/31/18 | $ | 518,969 | $ | 190,694 | $ | 79,267 | $ | 36,777 | ||||||||||||||||
Class A | 1.46 | % | 10/31/18 | 13,769 | 236,827 | 260,968 | 111,704 | ||||||||||||||||||||
Class C | 2.21 | % | 10/31/18 | 12,521 | 29,935 | 27,833 | 8,002 |
(1) Expense limitation per annum of the respective class's average daily net assets.
(2) Period from August 27, 2012 (Commencement of Operations) to October 31, 2012.
Neuberger Berman Fixed Income LLC ("NBFI"), as the sub-adviser to the Fund and the Subsidiary, is retained by Management to provide day-to-day investment management services and receives a monthly fee paid by Management. As investment manager, Management is responsible for overseeing the investment activities of NBFI. Several individuals who are Officers and/or Trustees of the Trust are also employees of NBFI and/or Management.
The Fund also has a distribution agreement with Management with respect to each class of shares. Management acts as agent in arranging for the sale of class shares without sales commission or other compensation, except as described below for Class A and Class C shares, and bears advertising and promotion expenses.
However, Management receives fees from Class A and Class C under their distribution plans (each a "Plan", collectively the "Plans") pursuant to Rule 12b-1 under the 1940 Act. The Plans provide that, as compensation for administrative and other services provided to these classes, Management's activities and expenses related to the sale and distribution of these classes , and ongoing services provided to investors in these classes, Management receives from each of these classes a fee at the annual rate of 0.25% of Class A's and 1.00% of Class C's average daily net assets. Management receives this amount to provide distribution and shareholder servicing for these classes and pays a portion of it to institutions that provide such services. Those institutions may use the payments for, among other purposes, compensating employees engaged in sales and/or shareholder servicing. The amount of fees paid by each class during any year may be more or less than the cost of distribution and other services provided to that class. FINRA rules limit the amount of annual distribution fees that may be paid by a mutual fund and impose a ceiling on the cumulative distribution fees paid. The Trust's Plans comply with those rules.
Class A shares are generally sold with an initial sales charge of up to 5.75% and no contingent deferred sales charge ("CDSC"), except that a CDSC of 1.00% applies to certain redemptions made within 18 months following purchases of $1 million or more without an initial sales charge. Class C shares are sold with no initial sales charge and a 1.00% CDSC if shares are sold within one year after purchase.
For the six months ended April 30, 2015, Management, acting as underwriter and broker-dealer, received net initial sales charges from the purchase of Class A shares and CDSCs from the redemption of Class A and Class C shares as follows:
Underwriter | Broker-Dealer | ||||||||||||||||||
Net Initial Sales Charges | CDSC | Net Initial Sales Charges | CDSC | ||||||||||||||||
Class A | $ | — | $ | — | $ | — | $ | — | |||||||||||
Class C | — | 63 | — | — |
25
Note C—Securities Transactions:
During the six months ended April 30, 2015, there were purchase and sale transactions (excluding commodity futures contracts and short-term investments) of $7,769,183 and $13,641,359, respectively.
Note D—Fund Share Transactions:
Share activity for the six months ended April 30, 2015 and for the year ended October 31, 2014 was as follows:
For the Six Months Ended April 30, 2015 | For the Year Ended October 31, 2014 | ||||||||||||||||||||||||||||||
Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | Shares Sold | Shares Redeemed | Total | |||||||||||||||||||||||||
Institutional Class | 2,109,831 | 224 | (730,433 | ) | 1,379,622 | 1,480,892 | (99,657 | ) | 1,381,235 | ||||||||||||||||||||||
Class A | 5,165,379 | 724 | (2,629,705 | ) | 2,536,398 | 5,460,429 | (1,343,785 | ) | 4,116,644 | ||||||||||||||||||||||
Class C | 237,350 | 37 | (189,881 | ) | 47,506 | 169,965 | (59,796 | ) | 110,169 |
Other: At April 30, 2015, Neuberger Berman Global Allocation Fund and Neuberger Berman Inflation Managed Fund (formerly, Neuberger Berman Inflation Navigator Fund), which are also managed by Management, held 0.8% and 1.4% of the outstanding shares of the Fund, respectively.
Note E—Lines of Credit:
At April 30, 2015, the Fund was a participant in a syndicated committed, unsecured $700,000,000 line of credit (the "Credit Facility"), to be used only for temporary or emergency purposes. Other investment companies managed by Management also participate in this line of credit on the same terms. Under the terms of the Credit Facility, the Fund has agreed to pay its pro rata share of the annual commitment fee, based on the ratio of its individual net assets to the net assets of all participants at the time the fee is due and payable, and interest charged on any borrowing made by the Fund and other costs incurred by the Fund. Because several mutual funds participate in the Credit Facility, there is no assurance that the Fund will have access to all or any part of the $700,000,000 at any particular time. There were no loans outstanding under the Credit Facility at April 30, 2015. During the period from January 9, 2015 (the commencement date of the Credit Facility) through April 30, 2015, the Fund did not utilize this line of credit. The Credit Facility replaced the State Street lines of credit referred to below.
During the reporting period, prior to the commencement of the Credit Facility, and on January 9, 2015, the Fund was a participant in a committed, unsecured $300,000,000 line of credit with State Street and an uncommitted, unsecured $100,000,000 line of credit with State Street, both to be used only for temporary or emergency purposes. During the period ended April 30, 2015, the Fund did not utilize either line of credit with State Street.
Note F—Unaudited Financial Information:
The financial information included in this interim report is taken from the records of the Fund without audit by an independent registered public accounting firm. Annual reports contain audited financial statements.
26
Consolidated Financial Highlights
The following table includes selected data for a share outstanding throughout each period and other performance information derived from the Consolidated Financial Statements. Per share amounts that round to less than $0.01 or $(0.01) per share are presented as $0.00 or $(0.00), respectively. Ratios that round to less than 0.00% or (0.00%) per share are presented as 0.00% or (0.00%), respectively. Net Asset amounts with a zero balance, if any, may reflect actual amounts rounding to less than $0.1 million. A "—" indicates that the line item was not applicable in the corresponding period.
Net Asset Value, Beginning of Period | Net Investment Income (Loss)@ | Net Gains or Losses on Securities (both realized and unrealized) | Total From Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Capital Gains | Total Distributions | Net Asset Value, End of Period | Total Return†† | Net Assets, End of Period (in millions) | Ratio of Gross Expenses to Average Net Assets# | Ratio of Net Expenses to Average Net Assets | Ratio of Net Investment Income/ (Loss) to Average Net Assets | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||||||||||||||||
Risk Balanced Commodity Strategy Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2015 (Unaudited) | $ | 8.39 | $ | (0.03 | ) | $ | (1.03 | ) | $ | (1.06 | ) | $ | — | $ | (0.00 | ) | $ | (0.00 | ) | $ | 7.33 | (12.62 | %)** | $ | 28.0 | 1.44 | %* | 1.10 | %* | (.72 | %)* | 15 | %** | ||||||||||||||||||||||||||
10/31/2014 | $ | 9.01 | $ | (0.07 | ) | $ | (0.55 | ) | $ | (0.62 | ) | $ | — | $ | — | $ | — | $ | 8.39 | (6.88 | %) | $ | 20.5 | 1.62 | % | 1.10 | % | (.73 | %) | 21 | % | ||||||||||||||||||||||||||||
10/31/2013 | $ | 9.84 | $ | (0.09 | ) | $ | (0.74 | ) | $ | (0.83 | ) | $ | — | $ | — | $ | — | $ | 9.01 | (8.43 | %) | $ | 9.6 | 3.69 | % | 1.10 | % | (.94 | %) | 5 | % | ||||||||||||||||||||||||||||
Period from 8/27/2012^ to 10/31/2012 | $ | 10.00 | $ | (0.02 | ) | $ | (0.14 | ) | $ | (0.16 | ) | $ | — | $ | — | $ | — | $ | 9.84 | (1.60 | %)** | $ | 5.0 | 25.60 | %*‡ | 1.10 | %*‡ | (.99 | %)*‡ | 0 | %** | ||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2015 (Unaudited) | $ | 8.32 | $ | (0.04 | ) | $ | (1.02 | ) | $ | (1.06 | ) | $ | — | $ | (0.00 | ) | $ | (0.00 | ) | $ | 7.26 | (12.73 | %)** | $ | 76.7 | 1.81 | %* | 1.46 | %* | (1.08 | %)* | 15 | %** | ||||||||||||||||||||||||||
10/31/2014 | $ | 8.97 | $ | (0.10 | ) | $ | (0.55 | ) | $ | (0.65 | ) | $ | — | $ | — | $ | — | $ | 8.32 | (7.25 | %) | $ | 66.8 | 1.98 | % | 1.46 | % | (1.09 | %) | 21 | % | ||||||||||||||||||||||||||||
10/31/2013 | $ | 9.84 | $ | (0.12 | ) | $ | (0.75 | ) | $ | (0.87 | ) | $ | — | $ | — | $ | — | $ | 8.97 | (8.84 | %) | $ | 35.0 | 3.81 | % | 1.46 | % | (1.27 | %) | 5 | % | ||||||||||||||||||||||||||||
Period from 8/27/2012^ to 10/31/2012 | $ | 10.00 | $ | (0.03 | ) | $ | (0.13 | ) | $ | (0.16 | ) | $ | — | $ | — | $ | — | $ | 9.84 | (1.60 | %)** | $ | 0.1 | 33.04 | %*‡ | 1.46 | %*‡ | (1.36 | %)*‡ | 0 | %** | ||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
4/30/2015 (Unaudited) | $ | 8.19 | $ | (0.07 | ) | $ | (1.01 | ) | $ | (1.08 | ) | $ | — | $ | (0.00 | ) | $ | (0.00 | ) | $ | 7.11 | (13.18 | %)** | $ | 4.0 | 2.66 | %* | 2.21 | %* | (1.83 | %)* | 15 | %** | ||||||||||||||||||||||||||
10/31/2014 | $ | 8.88 | $ | (0.16 | ) | $ | (0.53 | ) | $ | (0.69 | ) | $ | — | $ | — | $ | — | $ | 8.19 | (7.77 | %) | $ | 4.2 | 2.84 | % | 2.21 | % | (1.84 | %) | 21 | % | ||||||||||||||||||||||||||||
10/31/2013 | $ | 9.83 | $ | (0.18 | ) | $ | (0.77 | ) | $ | (0.95 | ) | $ | — | $ | — | $ | — | $ | 8.88 | (9.66 | %) | $ | 3.6 | 4.69 | % | 2.21 | % | (2.03 | %) | 5 | % | ||||||||||||||||||||||||||||
Period from 8/27/2012^ to 10/31/2012 | $ | 10.00 | $ | (0.04 | ) | $ | (0.13 | ) | $ | (0.17 | ) | $ | — | $ | — | $ | — | $ | 9.83 | (1.70 | %)** | $ | 0.1 | 35.12 | %*‡ | 2.21 | %*‡ | (2.11 | %)*‡ | 0 | %** |
See Notes to Consolidated Financial Highlights
27
28
Notes to Consolidated Financial Highlights (Unaudited)
†† Total return based on per share NAV reflects the effects of changes in NAV on the performance of the Fund during each fiscal period. Returns assume income dividends and other distributions, if any, were reinvested, but do not reflect the effect of sales charges. Results represent past performance and do not indicate future results. Current returns may be lower or higher than the performance data quoted. Investment returns and principal may fluctuate and shares when redeemed may be worth more or less than original cost. Total return would have been lower if Management had not reimbursed and/or waived certain expenses.
# Represents the annualized ratios of net expenses to average daily net assets if Management had not reimbursed certain expenses and/or waived a portion of the investment management fee.
@ Calculated based on the average number of shares outstanding during each fiscal period.
^ The date investment operations commenced.
‡ Organization expense, which is a non-recurring expense, is included in these ratios on a non-annualized basis.
* Annualized.
** Not annualized.
29
Directory
Investment Manager, Administrator and Distributor
Neuberger Berman Management LLC
605 Third Avenue, 2nd Floor
New York, NY 10158-0180
800.877.9700 or 212.476.8800
Intermediary Client Services 800.366.6264
Sub-Adviser
Neuberger Berman Fixed Income LLC
190 South LaSalle Street
Chicago, IL 60603
Custodian and Shareholder Servicing Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
For Institutional Class Shareholders
Address correspondence to:
Neuberger Berman Management LLC
605 Third Avenue, Mail Drop 2-7
New York, NY 10158-0180
Attn: Intermediary Client Services
800.366.6264
For Class A and Class C Shareholders:
Please contact your investment provider
Legal Counsel
K&L Gates LLP
1601 K Street, NW
Washington, DC 20006-1600
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
30
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities is available, without charge, by calling 800-877-9700 (toll-free) and on the Securities and Exchange Commission's website, at www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is also available upon request, without charge, by calling 800-877-9700 (toll-free), on the Securities and Exchange Commission's website at www.sec.gov, and on Management's website at www.nb.com.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings for the Fund with the Securities and Exchange Commission for the first and third quarters of the fiscal year on Form N-Q. The Trust's Forms N-Q are available on the Securities and Exchange Commission's website at www.sec.gov and may be reviewed and copied at the Securities and Exchange Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 800-877-9700 (toll-free).
31
Investment manager: Neuberger Berman Management LLC
Sub-adviser: Neuberger Berman Fixed Income LLC
Neuberger Berman Management LLC
605 Third Avenue, 2nd Floor
New York, NY 10158–0180
Shareholder Services
800.877.9700
Institutional Services
800.366.6264
www.nb.com
Statistics and projections in this report are derived from sources deemed to be reliable but cannot be regarded as a representation of future results of the Fund. This report is prepared for the general information of shareholders and is not an offer of shares of the Fund. Shares are sold only through the currently effective prospectus, which must precede or accompany this report.
N0088 06/15
(a) | Based on an evaluation of the disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act) as of a date within 90 days of the filing date of this report, the Chief Executive Officer and President and the Treasurer and Principal Financial and Accounting Officer of the Registrant have concluded that such disclosure controls and procedures are effectively designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is accumulated and communicated to the Registrant’s management to allow timely decisions regarding required disclosure. |
(b) | There were no significant changes in the Registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the Registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
(a)(1) | Not applicable for the period covered by this Form N-CSR. |
(a)(2) | The certifications required by Rule 30a-2(a) under the Act and Section 302 of the Sarbanes-Oxley Act of 2002 (“Sarbanes-Oxley Act”) are filed herewith. |
(a)(3) | Not applicable to the Registrant. |
(b) | The certification required by Rule 30a-2(b) under the Act and Section 906 of the Sarbanes-Oxley Act is furnished herewith. |
By: | /s/ Robert Conti Robert Conti Chief Executive Officer and President |
By: | /s/ Robert Conti Robert Conti Chief Executive Officer and President |
By: | /s/ John M. McGovern John M. McGovern Treasurer and Principal Financial and Accounting Officer |