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
Annual Report
October 31, 2015
Contents
THE FUNDS | |||||
President's Letter | 1 | ||||
PORTFOLIO COMMENTARY | |||||
Absolute Return Multi-Manager Fund | 2 | ||||
Long Short Multi-Manager Fund | 5 | ||||
FUND EXPENSE INFORMATION | 10 | ||||
SCHEDULE OF INVESTMENTS | |||||
Absolute Return Multi-Manager Fund | 12 | ||||
Long Short Multi-Manager Fund | 36 | ||||
FINANCIAL STATEMENTS | 58 | ||||
FINANCIAL HIGHLIGHTS (ALL CLASSES)/ PER SHARE DATA | |||||
Absolute Return Multi-Manager Fund | 93 | ||||
Long Short Multi-Manager Fund | 95 | ||||
Report of Independent Registered Public Accounting Firm | 99 | ||||
Directory | 100 | ||||
Trustees and Officers | 101 | ||||
Proxy Voting Policies and Procedures | 110 | ||||
Quarterly Portfolio Schedule | 110 | ||||
Notice to Shareholders | 110 | ||||
Board Consideration of the Management and Sub-Advisory Agreements | 111 |
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 annual shareholder report for Neuberger Berman Absolute Return Multi-Manager Fund and Neuberger Berman Long Short Multi-Manager Fund.
The global financial markets were volatile at times and generated mixed results during the 12 month reporting period ended October 31, 2015. Investor risk appetite fluctuated given incoming global economic data, uncertainties regarding central bank monetary policies, falling commodity prices and numerous geopolitical issues. Despite experiencing its first correction (a decline of at least 10%) since 2011, the U.S. equity market, as measured by the S&P 500 Index, gained 5.20% over the 12-month period. In contrast, international developed market equities were largely flat, while emerging markets equities fell sharply. Within fixed income, longer-term U.S. Treasury yields declined and the overall bond market, as measured by the Barclays U.S. Aggregate Bond Index, gained 1.96% during the period. Hedge fund strategies, as measured by the HFRX Absolute Return Index, returned 3.15% for the period, underperforming the S&P 500 but outperforming the Barclays U.S. Aggregate Bond Index.
Looking ahead, we believe the U.S. economy will continue to expand, but growth could remain relatively muted. Against this backdrop, we anticipate the U.S. Federal Reserve will move toward policy normalization and begin to raise interest rates, which we believe could be a tailwind for hedge fund strategies. Additionally, hedge fund strategy alpha (returns due to strategic trading and stock picking) has been historically positive but cyclical, and we anticipate a rebound in hedge fund strategy performance following the recent period of negative alpha from these strategies. While the last few months have been challenging, we maintain high conviction in our subadvisers and believe they are well positioned for the current and coming environment.
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 (Unaudited)
Neuberger Berman Absolute Return Multi-Manager Fund Institutional Class generated a –2.10% total return for the 12 months ended October 31, 2015. During the period, the Fund underperformed its primary benchmark, the HFRX Absolute Return Index, which posted a 3.15% return. (Performance for all share classes is provided in the table following this letter.)
Global financial markets were volatile during the reporting period given mixed economic data, shifting central bank monetary policy and a number of geopolitical issues. Despite periods of weakness, the U.S. equity market generated positive results. Within fixed income, Treasury yields declined and the curve flattened, while high yield produced weak results.
After performing in line with expectations relative to the primary benchmark in the first 10 months of the period, the Fund underperformed in September and October 2015. Overall, gains from equity long/short and credit strategies were outpaced by losses from the event driven strategies.
Following several large deal breaks, crowded event driven trades experienced severe selling pressure in October 2014, but rebounded strongly over the next few months. Meanwhile, the pace of corporate activity accelerated throughout the 12-month period. Both of these factors were tailwinds for our event driven subadvisers. However, as the fiscal year progressed, several large event driven hedge funds that underperformed began to de-risk and raise cash to meet anticipated redemptions. This led to selling pressure in crowded trades, which intensified in September and October 2015, more than offsetting our subadvisers' previous gains.
The period also marked the end of U.S. Federal Reserve (Fed) quantitative easing. We thought this would lead to increased market volatility and therefore we increased our equity long/short allocation. This was prudent for most of the period and, as we entered September 2015, some of our sector-focused equity long/short subadvisers were among our best performers. However, this sharply reversed over the next two months. For example, the Health Care sector experienced a dramatic and rather indiscriminate decline following concerns about potential legislation against drug price increases. As such, our subadviser that is focused on the sector gave back all previous gains. That said, positive performance for the equity long/short strategy in aggregate was driven by outperformance from some of our global and sector diversified subadvisers.
In the credit allocation, our asset-backed securities subadviser was responsible for the majority of gains. Despite negative performance for high yield indices during the period, our credit long/short subadviser generated a small gain, driven by several positive events on both the long and short sides of the portfolio.
During the reporting period, the portfolio's aggregate use of financial futures contracts, forward contracts, swap contracts and options detracted from performance.
While the last few months have been challenging, we have high conviction in our subadvisers and believe they are well positioned for the current and coming environment. Rising interest rates seem elusive, but we are optimistic that the Fed will act sooner rather than later.
While "hedge fund alpha" (returns due to strategic trading and stock picking) has been historically positive in the long term, it can be cyclical over the short to medium terms. Broadly speaking, periods of negative alpha have often been followed by periods of strong positive alpha, and we anticipate a similar rebound in the medium term. For example, we think some of our equity long/short subadvisers, particularly those focused on the Health Care and Energy sectors, should benefit from what seem to be current valuation mismatches. Similarly, with merger arbitrage spreads near multi-year highs, we think those portions of our event driven subadvisers' portfolios have the ability to rebound strongly. Still, we anticipate further selling pressure in crowded special situations trades and have tactically reduced our non-merger event driven exposure. Lastly, we anticipate heightened fixed income volatility over the next several months and think our credit and global macro/managed futures subadvisers are well-positioned for such an environment.
Sincerely,
DAVID KUPPERMAN AND JEFF MAJIT
PORTFOLIO 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 without notice.
The opinions expressed are those of the Fund's portfolio managers and subadvisers. The opinions are as of the date of this report and are subject to change without notice.
2
Absolute Return Multi-Manager Fund (Unaudited)
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 | 6.2 | % | — | % | |||||
Bank Loan Obligations | 8.0 | — | |||||||
Business Development Companies | 0.2 | — | |||||||
Closed-End Funds | 0.2 | — | |||||||
Common Stocks | 51.9 | (18.0 | ) | ||||||
Corporate Debt Securities | 4.0 | (0.6 | ) | ||||||
Exchange Traded Funds | 0.5 | (8.8 | ) | ||||||
Exchange Traded Notes | — | (0.4 | ) | ||||||
Master Limited Partnerships | 2.2 | (0.2 | ) | ||||||
Mortgage-Backed Securities | 4.7 | — | |||||||
Municipal Notes | 0.1 | — | |||||||
Preferred Stocks | 0.1 | — | |||||||
Purchased Options | 0.6 | — | |||||||
Rights | 0.0 | — | |||||||
U.S. Treasury Securities | 0.1 | — | |||||||
Warrants | 0.0 | — | |||||||
Short-Term Investments | 15.7 | — | |||||||
Cash, receivables and other | |||||||||
assets, less liabilities | 33.5 | * | — | ||||||
Total | 128.0 | % | (28.0 | )% |
* Percentage includes appreciation/depreciation from derivatives, if any.
PERFORMANCE HIGHLIGHTS3
Inception | Average Annual Total Return Ended 10/31/2015 | ||||||||||||||
Date | 1 Year | Life of Fund | |||||||||||||
At NAV | |||||||||||||||
Institutional Class | 05/15/2012 | –2.10 | % | 2.52 | % | ||||||||||
Class A | 05/15/2012 | –2.47 | % | 2.14 | % | ||||||||||
Class C | 05/15/2012 | –3.21 | % | 1.37 | % | ||||||||||
Class R64 | 12/31/2013 | –2.14 | % | 2.53 | % | ||||||||||
With Sales Charge | |||||||||||||||
Class A | –8.11 | % | 0.41 | % | |||||||||||
Class C | –4.15 | % | 1.37 | % | |||||||||||
Index | |||||||||||||||
HFRX Absolute Return Index1,2 | 3.15 | % | 2.58 | % | |||||||||||
S&P 500® Index1,2 | 5.20 | % | 15.99 | % | |||||||||||
Barclays U.S. Aggregate Bond Index1,2 | 1.96 | % | 2.09 | % |
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 annual period ending October 31, 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
Absolute Return Multi-Manager Fund (Unaudited)
COMPARISON OF A $1,000,000 INVESTMENT
(000's omitted)
This graph shows the change in value of a hypothetical $1,000,000 investment in the Fund over the past 10 fiscal years, or since the Fund's inception if it has not operated for 10 years. The graph is based on the Institutional Class shares only; the performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses (see Performance Highlights chart on previous page). The result is compared with benchmarks, which include a broad-based market index and may include a more narrowly based index. Market indices have not been reduced to reflect any of the fees and costs of investing. The results shown in the graph 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. Results represent past performance and do not indicate future results.
4
Long Short Multi-Manager Fund Commentary (Unaudited)
The Neuberger Berman Long Short Multi-Manager Fund Institutional Class generated a –2.36% total return for the 12 months ended October 31, 2015. During this period, the Fund underperformed its benchmarks, the HFRX Equity Hedge Index and the S&P 500® Index, which returned –0.96% and 5.20%, respectively. (Performance for all share classes is provided in the table immediately following this letter.)
The global financial markets were volatile during the reporting period given mixed economic data, shifting central bank monetary policy and a number of geopolitical issues. Despite periods of weakness, U.S. equities generated positive results. Elsewhere, international developed equities were flat overall and emerging market equities fell sharply.
Over the 12-month period, performance was due predominantly to losses from the long side of the portfolio, while shorts in aggregate were approximately flat for the period. From a sector perspective, losses were driven by the Energy, Industrials and Utilities sectors. In contrast, Consumer Discretionary, Communications and Health Care provided gains.
Within Energy, the bulk of the losses occurred during the third quarter of 2015, as extreme price volatility in stocks tied to energy commodities challenged performance on the long side of the portfolio. This was particularly frustrating for our long positons in natural gas pipeline companies, which fell as much as the broader energy sector despite operating under take-or-pay contracts and as a result having limited direct exposure to the underlying commodity price. The Fund's exposure to industrials also struggled, driven largely by losses from long positions in transportation companies.
Some of the largest individual winners over the period were from the Health Care sector. Two of our holdings benefited from merger and acquisition activity, including a long position in a biopharmaceutical company that reached a deal to be acquired by a competitor, and a long position in a provider of injectable pharmaceutical drugs and infusion technologies that agreed to be bought by a large global biopharmaceutical company. Both companies received bids that represented substantial premiums from where their stocks were trading. Long positions within Consumer Discretionary also performed well. Examples include 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. Both reported strong earnings results.
During the reporting period, the portfolio's aggregate use of financial forward contracts, swap contracts and options contributed to performance.
While the last few months have been challenging, we have high conviction in our subadvisers and believe they are well positioned for the current and coming environment. "Hedge fund alpha" (returns due to strategic trading and stock picking) is historically positive in the long term, but it can be highly cyclical over the short to medium terms. Broadly speaking, we believe the recent period of negative alpha may be followed by a period of strong positive alpha as has typically been the case historically. Further, we believe that heightened equity market volatility should be beneficial to the Fund over the medium term if our subadvisers are able to find and monetize shorts more effectively and use periodic selloffs to build attractive long positions.
Sincerely,
DAVID KUPPERMAN AND JEFF MAJIT
PORTFOLIO 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 without notice.
The opinions expressed are those of the Fund's portfolio managers and subadvisers. The opinions are as of the date of this report and are subject to change without notice.
5
Long Short Multi-Manager Fund (Unaudited)
TICKER SYMBOLS
Institutional Class | NLMIX | ||
Class A | NLMAX | ||
Class C | NLMCX |
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets)
Long | Short | ||||||||||
Business Development Companies | 0.6 | % | — | % | |||||||
Common Stocks | 65.4 | (32.5 | ) | ||||||||
Closed-End Funds | 0.6 | — | |||||||||
Exchange Traded Funds | 1.2 | (4.2 | ) | ||||||||
Exchange Traded Notes | — | (1.1 | ) | ||||||||
Master Limited Partnerships | 5.6 | (0.4 | ) | ||||||||
Preferred Stocks | 0.3 | — | |||||||||
Purchased Options | 0.4 | — | |||||||||
Short-Term Investments | 17.4 | — | |||||||||
Cash, receivables and other | |||||||||||
assets, less liabilities | 46.7 | * | — | ||||||||
Total | 138.2 | % | (38.2 | )% |
* Percentage includes appreciation/depreciation from derivatives, if any.
PERFORMANCE HIGHLIGHTS
Inception | Average Annual Total Return Ended 10/31/2015 | ||||||||||||||
Date | 1 Year | Life of Fund | |||||||||||||
At NAV | |||||||||||||||
Institutional Class | 12/19/2013 | –2.36 | % | 0.77 | % | ||||||||||
Class A | 12/19/2013 | –2.71 | % | 0.43 | % | ||||||||||
Class C | 12/19/2013 | –3.41 | % | –0.33 | % | ||||||||||
With Sales Charge | |||||||||||||||
Class A | –8.28 | % | –2.71 | % | |||||||||||
Class C | –4.37 | % | –0.33 | % | |||||||||||
Index | |||||||||||||||
HFRX Equity Hedge Index1,2 | –0.96 | % | 0.76 | % | |||||||||||
S&P 500® Index1,2 | 5.20 | % | 9.89 | % |
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 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 annual period ending October 31, 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.
6
Long Short Multi-Manager Fund (Unaudited)
COMPARISON OF A $1,000,000 INVESTMENT
(000's omitted)
This graph shows the change in value of a hypothetical $1,000,000 investment in the Fund over the past 10 fiscal years, or since the Fund's inception if it has not operated for 10 years. The graph is based on the Institutional Class shares only; the performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses (see Performance Highlights chart on previous page). The result is compared with benchmarks, which include a broad-based market index and may include a more narrowly based index. Market indices have not been reduced to reflect any of the fees and costs of investing. The results shown in the graph 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. Results represent past performance and do not indicate future results.
7
Endnotes
1 Please see "Glossary of Indices" on page 9 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 performance information for the Institutional Class has not been adjusted to take into account differences in class specific operating expenses. The Institutional Class has higher expenses and typically lower returns than Class R6.
* On or about January 1, 2016, it is anticipated that Neuberger Berman Management LLC (NBM) and Neuberger Berman LLC (NB LLC) will transfer to Neuberger Berman Fixed Income LLC (NBFI) their rights and obligations pertaining to all services they provide to any Fund under any investment management, investment sub-advisory, and/or administration agreement, as applicable (the "Agreements"). Following such transfer, NBFI will be renamed Neuberger Berman Investment Advisers LLC (NBIA). In addition, on the date of the transfer, the services previously provided by NB Alternative Investment Management LLC (NBAIM) will be provided by NBIA.
NBM currently serves as each Fund's investment manager and administrator and NB LLC, NBFI and NBAIM currently serve as certain Funds' adviser or sub-adviser. Following the consolidation, the investment professionals of NBM, NB LLC, NBFI and NBAIM who currently provide services to the Funds under the Agreements will continue to provide the same services, except that they will provide those services in their new capacities as investment professionals of NBIA. Further, the consolidation will not result in any change in the investment processes currently employed by any Fund, the nature or level of services provided to any Fund, or the fees any Fund pays under its Agreements.
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.
8
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. |
9
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 October 31, 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.
10
Expense Information as of 10/31/15 (Unaudited)
Neuberger Berman Alternative Funds | |||||||||||||||||||||||||||||||||||
ACTUAL | HYPOTHETICAL (5% ANNUAL RETURN BEFORE EXPENSES)(2) | ||||||||||||||||||||||||||||||||||
Beginning Account Value 5/1/15 | Ending Account Value 10/31/15 | Expenses Paid During the Period(1) 5/1/15 - 10/31/15 | Expense Ratio | Beginning Account Value 5/1/15 | Ending Account Value 10/31/15 | Expenses Paid During the Period(1) 5/1/15 - 10/31/15 | Expense Ratio | ||||||||||||||||||||||||||||
Absolute Return Multi-Manager Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 947.50 | $ | 13.55 | 2.76 | % | $ | 1,000.00 | $ | 1,011.29 | $ | 13.99 | 2.76 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 945.50 | $ | 15.30 | 3.12 | % | $ | 1,000.00 | $ | 1,009.48 | $ | 15.80 | 3.12 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 942.40 | $ | 18.95 | 3.87 | % | $ | 1,000.00 | $ | 1,005.70 | $ | 19.56 | 3.87 | % | |||||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 947.50 | $ | 13.20 | 2.69 | % | $ | 1,000.00 | $ | 1,011.64 | $ | 13.64 | 2.69 | % | |||||||||||||||||||
Long Short Multi-Manager Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 949.10 | $ | 14.30 | 2.91 | % | $ | 1,000.00 | $ | 1,010.54 | $ | 14.75 | 2.91 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 947.90 | $ | 16.05 | 3.27 | % | $ | 1,000.00 | $ | 1,008.72 | $ | 16.56 | 3.27 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 943.60 | $ | 19.74 | 4.03 | % | $ | 1,000.00 | $ | 1,004.89 | $ | 20.37 | 4.03 | % |
(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 184/365 (to reflect the one-half year period shown), unless otherwise indicated.
(2) Hypothetical expenses are equal to the annualized expense ratios for each class, multiplied by the average account value over the period (assuming a 5% annual return), multiplied by 184/365 (to reflect the one-half year period shown).
11
Schedule of Investments Neuberger Berman Absolute Return
Multi-Manager Fund 10/31/15
Number of Shares | Value† | ||||||||||
Long Positions (94.5%) | |||||||||||
Common Stocks (51.9%) | |||||||||||
Aerospace & Defense (1.6%) | |||||||||||
B/E Aerospace, Inc. | 114,449 | $ | 5,373,380 | ||||||||
Honeywell International, Inc. | 36,910 | 3,812,065 | £b | ||||||||
Precision Castparts Corp. | 77,332 | 17,848,999 | Ø | ||||||||
27,034,444 | |||||||||||
Air Freight & Logistics (0.6%) | |||||||||||
FedEx Corp. | 35,133 | 5,482,505 | Ø | ||||||||
Norbert Dentressangle SA | 2,000 | 435,461 | Ø | ||||||||
TNT Express NV | 201,010 | 1,690,961 | Ø | ||||||||
UTi Worldwide, Inc. | 59,600 | 424,948 | * | ||||||||
XPO Logistics, Inc. | 91,548 | 2,541,372 | *£b | ||||||||
10,575,247 | |||||||||||
Airlines (0.2%) | |||||||||||
AMR Corp. | 14,383 | 54,943 | *fN | ||||||||
Delta Air Lines, Inc. | 29,216 | 1,485,341 | |||||||||
United Continental Holdings, Inc. | 32,058 | 1,933,418 | * | ||||||||
3,473,702 | |||||||||||
Auto Components (0.8%) | |||||||||||
Delphi Automotive PLC | 18,420 | 1,532,360 | Ø | ||||||||
Remy International, Inc. | 25,000 | 737,250 | Ø | ||||||||
Visteon Corp. | 96,022 | 10,473,119 | *£bØ | ||||||||
12,742,729 | |||||||||||
Automobiles (0.2%) | |||||||||||
Bayerische Motoren Werke AG | 33,713 | 3,461,089 | Ø | ||||||||
Banks (1.7%) | |||||||||||
Banca Popolare di Milano Scarl | 335,636 | 315,565 | |||||||||
Banco Popolare SC | 20,192 | 302,198 | * | ||||||||
Bank of America Corp. | 379,500 | 6,368,010 | Ø |
Number of Shares | Value† | ||||||||||
BOC Hong Kong Holdings Ltd. | 406,000 | $ | 1,298,261 | Ø | |||||||
City National Corp. | 28,865 | 2,586,304 | Ø | ||||||||
DBS Group Holdings Ltd. | 149,500 | 1,838,110 | Ø | ||||||||
Mitsubishi UFJ Financial Group, Inc. | 265,700 | 1,718,424 | Ø | ||||||||
Mizuho Financial Group, Inc. | 978,500 | 2,015,558 | Ø | ||||||||
National Penn Bancshares, Inc. | 26,500 | 319,060 | |||||||||
Royal Bank of Canada | 4,451 | 254,513 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 45,000 | 1,795,215 | Ø | ||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 429,000 | 1,646,738 | Ø | ||||||||
SunTrust Banks, Inc. | 108,550 | 4,506,996 | |||||||||
Swedbank AB Class A | 99,870 | 2,292,315 | Ø | ||||||||
Unione di Banche Italiane SpA | 42,585 | 318,903 | |||||||||
27,576,170 | |||||||||||
Beverages (1.0%) | |||||||||||
Anheuser-Busch InBev SA | 14,479 | 1,730,703 | |||||||||
Carlsberg A/S Class B | 14,326 | 1,174,409 | Ø | ||||||||
Cott Corp. | 431,541 | 4,509,603 | |||||||||
Davide Campari- Milano SpA | 130,649 | 1,119,175 | |||||||||
Marie Brizard Wine & Spirits SA | 16,788 | 361,096 | * | ||||||||
SABMiller PLC ADR | 20,000 | 1,229,000 | |||||||||
The Coca-Cola Co. | 157,250 | 6,659,538 | £bØ | ||||||||
16,783,524 | |||||||||||
Biotechnology (1.4%) | |||||||||||
Actelion Ltd. | 13,947 | 1,938,710 | *Ø | ||||||||
Alexion Pharmaceuticals, Inc. | 21,865 | 3,848,240 | *Ø | ||||||||
Biogen, Inc. | 10,319 | 2,997,773 | * | ||||||||
Cepheid | 91,022 | 3,040,135 | * | ||||||||
Incyte Corp. | 38,847 | 4,565,688 | * |
Number of Shares | Value† | ||||||||||
QLT, Inc. | 697,316 | $ | 1,938,538 | * | |||||||
United Therapeutics Corp. | 9,252 | 1,356,621 | *£b | ||||||||
Vertex Pharmaceuticals, Inc. | 31,660 | 3,949,268 | * | ||||||||
23,634,973 | |||||||||||
Building Products (0.1%) | |||||||||||
LIXIL Group Corp. | 38,000 | 813,582 | Ø | ||||||||
Capital Markets (1.2%) | |||||||||||
Flow Traders | 14,294 | 557,925 | ñ | ||||||||
GP Investments Acquisition Corp. Class U | 214,260 | 2,121,174 | *Ø | ||||||||
Jafco Co. Ltd. | 42,600 | 1,627,391 | Ø | ||||||||
Morgan Stanley | 54,300 | 1,790,271 | |||||||||
Nomura Holdings, Inc. | 290,400 | 1,826,716 | Ø | ||||||||
NorthStar Asset Management Group, Inc. | 107,069 | 1,566,419 | |||||||||
RCS Capital Corp. Class A | 338,492 | 256,611 | *£b | ||||||||
WL Ross Holding Corp. | 989,700 | 9,916,794 | *£b | ||||||||
19,663,301 | |||||||||||
Chemicals (1.8%) | |||||||||||
AgroFresh Solutions, Inc. | 136,037 | 961,782 | * | ||||||||
Air Products & Chemicals, Inc. | 52,800 | 7,338,144 | |||||||||
Asahi Kasei Corp. | 121,000 | 742,533 | Ø | ||||||||
Cytec Industries, Inc. | 51,312 | 3,818,639 | Ø | ||||||||
Monsanto Co. | 26,050 | 2,428,381 | Ø | ||||||||
Nissan Chemical Industries Ltd. | 51,300 | 1,274,112 | Ø | ||||||||
Nitto Denko Corp. | 18,800 | 1,205,539 | Ø | ||||||||
Olin Corp. | 190,572 | 3,655,171 | Ø | ||||||||
Shin-Etsu Chemical Co. Ltd. | 16,300 | 969,347 | Ø | ||||||||
Sigma-Aldrich Corp. | 44,500 | 6,217,540 | Ø | ||||||||
Ube Industries Ltd. | 298,000 | 625,729 | Ø | ||||||||
29,236,917 |
See Notes to Schedule of Investments
12
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (cont'd)
Number of Shares | Value† | ||||||||||
Commercial Services & Supplies (0.3%) | |||||||||||
Spotless Group Holdings Ltd. | 1,102,315 | $ | 1,683,314 | Ø | |||||||
Tyco International PLC | 84,415 | 3,076,082 | £b | ||||||||
4,759,396 | |||||||||||
Communications Equipment (0.1%) | |||||||||||
Alcatel-Lucent ADR | 109,000 | 439,270 | *Ø | ||||||||
ARRIS Group, Inc. | 71,490 | 2,020,307 | *Ø | ||||||||
2,459,577 | |||||||||||
Construction & Engineering (0.1%) | |||||||||||
Taisei Corp. | 358,000 | 2,326,468 | Ø | ||||||||
Consumer Finance (0.4%) | |||||||||||
PRA Group, Inc. | 58,417 | 3,201,252 | *Ø | ||||||||
Springleaf Holdings, Inc. | 11,219 | 526,283 | *£b | ||||||||
Synchrony Financial | 116,225 | 3,575,081 | *£b | ||||||||
7,302,616 | |||||||||||
Containers & Packaging (0.4%) | |||||||||||
Berry Plastics Group, Inc. | 200,291 | 6,709,749 | *Ø | ||||||||
Pact Group Holdings Ltd. | 160,422 | 582,112 | |||||||||
7,291,861 | |||||||||||
Diversified Consumer Services (0.4%) | |||||||||||
Houghton Mifflin Harcourt Co. | 129,350 | 2,533,966 | * | ||||||||
Service Corp. International | 74,114 | 2,094,462 | Ø | ||||||||
ServiceMaster Global Holdings, Inc. | 34,761 | 1,239,230 | * | ||||||||
Steiner Leisure Ltd. | 4,858 | 307,803 | * | ||||||||
6,175,461 | |||||||||||
Diversified Financial Services (1.4%) | |||||||||||
Acasta Enterprises, Inc. Class A | 416,192 | 3,071,469 | *Ø | ||||||||
Alignvest Acquisition Corp. Class A | 254,139 | 1,928,005 | * | ||||||||
Double Eagle Acquisition Corp. | 180,403 | 1,876,191 | * | ||||||||
Gores Holdings, Inc. | 195,856 | 2,044,737* |
Number of Shares | Value† | ||||||||||
ORIX Corp. | 121,800 | $ | 1,778,740 | Ø | |||||||
Pace Holdings Corp. | 1,169,431 | 12,279,025 | *£bØ | ||||||||
22,978,167 | |||||||||||
Diversified Telecommunication Services (0.2%) | |||||||||||
AT&T, Inc. | 9,910 | 332,084 | Ø | ||||||||
FairPoint Communications, Inc. | 20,220 | 324,329 | *Ø | ||||||||
Globalstar, Inc. | 283,836 | 510,905 | *Ø | ||||||||
Intelsat SA | 238,270 | 1,577,347 | *Ø | ||||||||
Koninklijke KPN NV | 35,000 | 128,549 | Ø | ||||||||
Premiere Global Services, Inc. | 42,000 | 574,560 | *Ø | ||||||||
3,447,774 | |||||||||||
Electric Utilities (1.0%) | |||||||||||
American Electric Power Co., Inc. | 7,645 | 433,089 | Ø | ||||||||
Cleco Corp. | 68,000 | 3,604,000 | Ø | ||||||||
Edison International | 23,910 | 1,447,033 | |||||||||
Exelon Corp. | 15,303 | 427,260 | Ø | ||||||||
Hawaiian Electric Industries, Inc. | 28,500 | 833,910 | Ø | ||||||||
ITC Holdings Corp. | 13,699 | 448,231 | Ø | ||||||||
NextEra Energy, Inc. | 30,135 | 3,093,659 | |||||||||
OGE Energy Corp. | 26,685 | 760,790 | |||||||||
Pepco Holdings, Inc. | 92,900 | 2,473,927 | Ø | ||||||||
The Kansai Electric Power Co., Inc. | 73,100 | 936,610 | *Ø | ||||||||
UIL Holdings Corp. | 22,448 | 1,144,624 | Ø | ||||||||
15,603,133 | |||||||||||
Electrical Equipment (0.1%) | |||||||||||
Nidec Corp. | 14,700 | 1,107,735 | Ø | ||||||||
Electronic Equipment, Instruments & Components (0.1%) | |||||||||||
Axis Communications AB | 16,400 | 654,576 | Ø | ||||||||
Hitachi Ltd. | 73,000 | 421,122 | Ø | ||||||||
Keyence Corp. | 2,500 | 1,301,521 | Ø | ||||||||
2,377,219 |
Number of Shares | Value† | ||||||||||
Energy Equipment & Services (0.5%) | |||||||||||
Baker Hughes, Inc. | 13,600 | $ | 716,448 | Ø | |||||||
Cameron International Corp. | 84,071 | 5,717,669 | *Ø | ||||||||
Halliburton Co. | 29,446 | 1,130,137 | £b | ||||||||
7,564,254 | |||||||||||
Food & Staples Retailing (0.5%) | |||||||||||
CVS Health Corp. | 39,031 | 3,855,482 | Ø | ||||||||
Rite Aid Corp. | 491,585 | 3,873,690 | * | ||||||||
7,729,172 | |||||||||||
Food Products (1.4%) | |||||||||||
Boulder Brands, Inc. | 232,519 | 2,060,118 | * | ||||||||
Diamond Foods, Inc. | 3,500 | 138,670 | * | ||||||||
GrainCorp. Ltd. Class A | 18,000 | 115,391 | Ø | ||||||||
Nomad Foods Ltd. | 1,322,763 | 18,849,373 | *fØ | ||||||||
The JM Smucker Co. | 9,876 | 1,159,344 | £b | ||||||||
Warrnambool Cheese & Butter Factory Co. Holding Ltd. | 10,000 | 68,458 | *Ø | ||||||||
22,391,354 | |||||||||||
Gas Utilities (0.2%) | |||||||||||
AGL Resources, Inc. | 33,586 | 2,099,125 | Ø | ||||||||
Atmos Energy Corp. | 6,048 | 381,024 | Ø | ||||||||
The Laclede Group, Inc. | 3,143 | 184,086 | |||||||||
2,664,235 | |||||||||||
Health Care Equipment & Supplies (0.8%) | |||||||||||
ArthroCare Corp. | 46,000 | 16,100 | *fN | ||||||||
CR Bard, Inc. | 19,360 | 3,607,736 | |||||||||
Edwards Lifesciences Corp. | 26,700 | 4,195,905 | * | ||||||||
Greatbatch, Inc. | 9,239 | 493,825 | *£b | ||||||||
Intuitive Surgical, Inc. | 9,104 | 4,521,046 | *Ø | ||||||||
Sirona Dental Systems, Inc. | 5,865 | 640,047 | * | ||||||||
13,474,659 |
See Notes to Schedule of Investments
13
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (cont'd)
Number of Shares | Value† | ||||||||||
Health Care Providers & Services (2.0%) | |||||||||||
Accretive Health, Inc. | 141,702 | $ | 290,489 | * | |||||||
Amica Mature Lifestyles, Inc. | 14,000 | 196,467 | Ø | ||||||||
Brookdale Senior Living, Inc. | 408,784 | 8,547,673 | *£b | ||||||||
Centene Corp. | 49,760 | 2,959,725 | * | ||||||||
Cigna Corp. | 30,300 | 4,061,412 | Ø | ||||||||
Fresenius SE & Co. KGaA | 17,567 | 1,289,447 | |||||||||
Health Net, Inc. | 23,387 | 1,502,849 | *Ø | ||||||||
Humana, Inc. | 10,857 | 1,939,386 | Ø | ||||||||
IPC Healthcare, Inc. | 36,000 | 2,826,000 | * | ||||||||
Kindred Healthcare, Inc. | 45,866 | 614,604 | £b | ||||||||
Laboratory Corp. of America Holdings | 21,844 | 2,681,133 | *Ø | ||||||||
Molina Healthcare, Inc. | 52,186 | 3,235,532 | * | ||||||||
Synergy Health PLC | 2,000 | 78,112 | f | ||||||||
WellCare Health Plans, Inc. | 33,982 | 3,010,805 | * | ||||||||
33,233,634 | |||||||||||
Health Care Technology (0.3%) | |||||||||||
athenahealth, Inc. | 16,384 | 2,497,741 | * | ||||||||
Cerner Corp. | 40,050 | 2,654,914 | *Ø | ||||||||
5,152,655 | |||||||||||
Hotels, Restaurants & Leisure (1.1%) | |||||||||||
Ainsworth Game Technology Ltd. | 323,303 | 727,915 | Ø | ||||||||
Belmond Ltd. Class A | 3,000 | 32,220 | *Ø | ||||||||
Bloomin' Brands, Inc. | 200,350 | 3,399,939 | £bØ | ||||||||
Bob Evans Farms, Inc. | 76,829 | 3,324,391 | |||||||||
Hilton Worldwide Holdings, Inc. | 79,997 | 1,999,125 | Ø | ||||||||
MGM Resorts International | 287,326 | 6,663,090 | * |
Number of Shares | Value† | ||||||||||
Morgans Hotel Group Co. | 166,330 | $ | 597,125 | *£b | |||||||
Pinnacle Entertainment, Inc. | 40,874 | 1,430,999 | *Ø | ||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 2,000 | 159,740 | Ø | ||||||||
18,334,544 | |||||||||||
Household Durables (0.3%) | |||||||||||
Lennar Corp. Class B | 59,573 | 2,468,705 | Ø | ||||||||
Rinnai Corp. | 7,500 | 594,571 | Ø | ||||||||
Sony Corp. | 59,700 | 1,696,998 | Ø | ||||||||
4,760,274 | |||||||||||
Independent Power & Renewable Electricity Producers (0.5%) | |||||||||||
Abengoa Yield PLC | 83,844 | 1,553,629 | Ø | ||||||||
Calpine Corp. | 64,557 | 1,001,279 | * | ||||||||
Dynegy, Inc. | 43,407 | 843,398 | * | ||||||||
NextEra Energy Partners LP | 39,049 | 1,025,427 | |||||||||
NRG Yield, Inc. Class A | 57,204 | 785,411 | |||||||||
Pattern Energy Group, Inc. | 83,643 | 1,956,410 | |||||||||
TerraForm Power, Inc. Class A | 36,458 | 665,358 | *Ø | ||||||||
Vivint Solar, Inc. | 15,500 | 183,365 | *Ø | ||||||||
8,014,277 | |||||||||||
Industrial Conglomerates (1.0%) | |||||||||||
Alliance Global Group, Inc. | 1,997,600 | 775,341 | |||||||||
Danaher Corp. | 30,460 | 2,842,223 | |||||||||
General Electric Co. | 438,538 | 12,682,519 | £bØ | ||||||||
Toshiba Corp. | 270,000 | 761,686 | *Ø | ||||||||
17,061,769 | |||||||||||
Insurance (1.8%) | |||||||||||
Aspen Insurance Holdings Ltd. | 2,000 | 97,220 | Ø | ||||||||
National Interstate Corp. | 83,906 | 2,408,102 | Ø | ||||||||
PartnerRe Ltd. | 33,050 | 4,593,950 | Ø | ||||||||
Sampo OYJ Class A | 57,163 | 2,795,981 | Ø | ||||||||
StanCorp Financial Group, Inc. | 8,500 | 975,120 | Ø |
Number of Shares | Value† | ||||||||||
Symetra Financial Corp. | 8,750 | $ | 277,638 | Ø | |||||||
Syncora Holdings Ltd. | 22,879 | 8,923 | *Ø | ||||||||
Talanx AG | 36,788 | 1,180,041 | |||||||||
The Chubb Corp. | 55,967 | 7,239,332 | Ø | ||||||||
The Dai-ichi Life Insurance Co. Ltd. | 85,500 | 1,479,089 | Ø | ||||||||
The Hartford Financial Services Group, Inc. | 58,859 | 2,722,817 | Ø | ||||||||
WMIH Corp. | 437,180 | 1,023,001 | *£b | ||||||||
XL Group PLC | 125,504 | 4,779,192 | £b | ||||||||
29,580,406 | |||||||||||
Internet & Catalog Retail (0.3%) | |||||||||||
Liberty Ventures Series A | 119,438 | 5,203,914 | *Ø | ||||||||
Travelport Worldwide Ltd. | 24,553 | 332,693 | |||||||||
5,536,607 | |||||||||||
Internet Software & Services (1.3%) | |||||||||||
Alphabet, Inc. Class A | 6,038 | 4,452,361 | * | ||||||||
Alphabet, Inc. Class C | 1,762 | 1,252,447 | *£b | ||||||||
eBay, Inc. | 33,324 | 929,739 | * | ||||||||
Jiayuan.com International Ltd. ADR | 12,500 | 82,500 | *Ø | ||||||||
Rocket Fuel, Inc. | 300 | 1,380 | *£b | ||||||||
Xoom Corp. | 58,250 | 1,452,755 | *Ø | ||||||||
Yahoo!, Inc. | 352,311 | 12,549,318 | *£b | ||||||||
Youku Tudou, Inc. ADR | 46,126 | 1,122,707 | *£b | ||||||||
21,843,207 | |||||||||||
IT Services (0.8%) | |||||||||||
Computer Sciences Corp. | 133,150 | 8,866,459 | Ø | ||||||||
InterXion Holding NV | 200 | 5,876 | *Ø | ||||||||
Link Administration Holdings Ltd. | 227,000 | 1,145,931 | *f | ||||||||
Visa, Inc. Class A | 46,200 | 3,584,196 | £b | ||||||||
13,602,462 | |||||||||||
Life Sciences Tools & Services (0.3%) | |||||||||||
Affymetrix, Inc. | 171,890 | 1,581,388 | *£b | ||||||||
Illumina, Inc. | 18,690 | 2,677,903 | * |
See Notes to Schedule of Investments
14
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (cont'd)
Number of Shares | Value† | ||||||||||
WuXi PharmaTech Cayman, Inc. ADR | 9,500 | $ | 424,650 | * | |||||||
4,683,941 | |||||||||||
Machinery (1.1%) | |||||||||||
EnPro Industries, Inc. | 22,461 | 1,103,060 | Ø | ||||||||
FANUC Corp. | 12,400 | 2,187,874 | Ø | ||||||||
Makita Corp. | 19,300 | 1,057,501 | Ø | ||||||||
Mueller Water Products, Inc. Class A | 757,026 | 6,661,829 | £bØ | ||||||||
SPX FLOW, Inc. | 138,822 | 4,706,066 | * | ||||||||
Xylem, Inc. | 75,600 | 2,752,596 | £b | ||||||||
18,468,926 | |||||||||||
Marine (0.0%) | |||||||||||
Nippon Yusen KK | 158,000 | 413,394Ø | |||||||||
Media (3.5%) | |||||||||||
Altice NV Class A | 46,532 | 805,910*Ø | |||||||||
Cablevision Systems Corp. Class A | 86,300 | 2,812,517 | £bØ | ||||||||
CBS Corp. Class B | 90,164 | 4,194,429 | Ø | ||||||||
Cineplex, Inc. | 12,545 | 483,437 | |||||||||
Cumulus Media, Inc. Class A | 131,550 | 60,395 | * | ||||||||
DISH Network Corp. Class A | 46,733 | 2,942,777 | *Ø | ||||||||
Gray Television, Inc. | 266,000 | 4,226,740 | *Ø | ||||||||
Journal Media Group, Inc. | 8,500 | 104,040 | |||||||||
Liberty Global PLC Class A | 3,994 | 177,813 | * | ||||||||
Liberty Global PLC LiLAC Series A | 199 | 7,685 | * | ||||||||
Liberty Global PLC LiLAC Series C | 434 | 16,778 | * | ||||||||
Loral Space & Communications, Inc. | 77,360 | 3,458,766 | *Ø |
Number of Shares | Value† | ||||||||||
Martha Stewart Living Omnimedia, Inc. Class A | 18,000 | $ | 108,720 | *Ø | |||||||
Media General, Inc. | 50,000 | 743,000 | *Ø | ||||||||
Meredith Corp. | 4,500 | 211,590 | Ø | ||||||||
New Media Investment Group, Inc. | 61,128 | 984,161 | |||||||||
Nexstar Broadcasting Group, Inc. Class A | 28,190 | 1,500,554 | Ø | ||||||||
SFX Entertainment, Inc. | 47,500 | 44,180 | * | ||||||||
Sinclair Broadcast Group, Inc. Class A | 23,910 | 717,539 | Ø | ||||||||
Starz Class A | 2,495 | 83,607 | * | ||||||||
The EW Scripps Co. Class A | 75,041 | 1,655,404 | Ø | ||||||||
Time Warner Cable, Inc. | 109,709 | 20,778,885 | £bØ | ||||||||
Time Warner, Inc. | 5,000 | 376,700 | |||||||||
Tribune Co. Class 1C Litigation | 300,000 | 750 | *N | ||||||||
Tribune Media Co. Class A | 94,514 | 3,811,750 | Ø | ||||||||
Twenty-First Century Fox, Inc. Class A | 120,200 | 3,688,938 | £b | ||||||||
Videocon d2h Ltd. ADR | 66,792 | 652,558 | *£b | ||||||||
Wolters Kluwer NV | 105,321 | 3,566,561 | Ø | ||||||||
58,216,184 | |||||||||||
Metals & Mining (0.4%) | |||||||||||
Electrum Special Acquisition Corp. Class U | 224,632 | 2,268,783 | *Ø | ||||||||
Gold Fields Ltd. ADR | 616,671 | 1,560,178 |
Number of Shares | Value† | ||||||||||
Nippon Steel & Sumitomo Metal Corp. | 18,900 | $ | 383,151 | Ø | |||||||
SunCoke Energy, Inc. | 473,675 | 2,349,428 | Ø | ||||||||
6,561,540 | |||||||||||
Multiline Retail (0.1%) | |||||||||||
Europris ASA | 97,669 | 462,094 | *ñ | ||||||||
Takashimaya Co. Ltd. | 87,000 | 777,711 | Ø | ||||||||
1,239,805 | |||||||||||
Multi-Utilities (0.4%) | |||||||||||
CMS Energy Corp. | 14,383 | 518,795 | Ø | ||||||||
Dominion Resources, Inc. | 27,033 | 1,930,967 | Ø | ||||||||
DTE Energy Co. | 9,017 | 735,697 | Ø | ||||||||
NiSource, Inc. | 12,071 | 231,281 | Ø | ||||||||
Sempra Energy | 32,671 | 3,345,837 | Ø | ||||||||
TECO Energy, Inc. | 18,100 | 488,700 | Ø | ||||||||
7,251,277 | |||||||||||
Oil, Gas & Consumable Fuels (2.4%) | |||||||||||
Anadarko Petroleum Corp. | 53,152 | 3,554,806 | Ø | ||||||||
BG Group PLC ADR | 241,810 | 3,860,497 | Ø | ||||||||
BG Group PLC | 13,000 | 205,418 | Ø | ||||||||
Caltex Australia Ltd. | 25,300 | 566,373 | |||||||||
Canadian Natural Resources Ltd. | 115,600 | 2,684,232 | Ø | ||||||||
Cheniere Energy Partners LP Holdings LLC | 238,639 | 4,696,416 | Ø | ||||||||
Cheniere Energy, Inc. | 69,383 | 3,435,846 | * | ||||||||
Columbia Pipeline Group, Inc. | 49,822 | 1,034,803 | Ø | ||||||||
Enbridge, Inc. | 33,932 | 1,448,557 | Ø | ||||||||
Encana Corp. | 118,020 | 900,493 | £b | ||||||||
EQT GP Holdings LP | 24,527 | 648,494 |
See Notes to Schedule of Investments
15
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (cont'd)
Number of Shares | Value† | ||||||||||
Freehold Royalties Ltd. | 59,700 | $ | 463,410 | ||||||||
Golar LNG Ltd. | 11,077 | 321,344 | Ø | ||||||||
Hess Corp. | 40,350 | 2,268,073 | |||||||||
HollyFrontier Corp. | 4,882 | 239,072 | |||||||||
Kinder Morgan, Inc. | 17,261 | 472,088 | Ø | ||||||||
Noble Energy, Inc. | 6,775 | 242,816 | |||||||||
Penn Virginia Corp. | 31,555 | 19,529 | * | ||||||||
Phillips 66 | 7,373 | 656,566 | Ø | ||||||||
Plains GP Holdings LP Class A | 89,580 | 1,392,969 | Ø | ||||||||
SemGroup Corp. Class A | 43,393 | 1,976,551 | |||||||||
Tallgrass Energy GP LP | 26,626 | 637,426 | |||||||||
Teekay Corp. | 52,691 | 1,692,962 | |||||||||
The Williams Cos., Inc. | 156,344 | 6,166,207 | Ø | ||||||||
Whiting Petroleum Corp. | 2,000 | 34,460 | * | ||||||||
39,619,408 | |||||||||||
Paper & Forest Products (0.0%) | |||||||||||
Wausau Paper Corp. | 18,250 | 186,333 | |||||||||
Personal Products (0.1%) | |||||||||||
Asaleo Care Ltd. | 1,389,411 | 1,733,861 | Ø | ||||||||
Pharmaceuticals (3.2%) | |||||||||||
Allergan PLC | 71,436 | 22,035,863 | *Ø | ||||||||
Bristol-Myers Squibb Co. | 84,414 | 5,567,103 | |||||||||
Horizon Pharma PLC | 1,938 | 30,465 | * | ||||||||
Impax Laboratories, Inc. | 84,978 | 2,942,788 | *Ø | ||||||||
Mylan NV | 148,360 | 6,541,193 | *Ø | ||||||||
Perrigo Co. PLC | 27,076 | 4,270,968 | Ø | ||||||||
Revance Therapeutics, Inc. | 25,541 | 1,000,441 | *£b | ||||||||
Shire PLC ADR | 14,568 | 3,307,665 | |||||||||
Zoetis, Inc. | 157,308 | 6,765,817 | £b | ||||||||
52,462,303 |
Number of Shares | Value† | ||||||||
Professional Services (0.0%) | |||||||||
Towers Watson & Co. Class A | 600 | $ | 74,136 | Ø | |||||
Real Estate Investment Trusts (2.5%) | |||||||||
Apollo Commercial Real Estate Finance, Inc. | 119,613 | 1,986,772 | Ø | ||||||
BioMed Realty Trust, Inc. | 160,217 | 3,750,680 | Ø | ||||||
Colony Capital, Inc. Class A | 34,848 | 708,808 | |||||||
CyrusOne, Inc. | 43,673 | 1,540,783 | Ø | ||||||
Equinix, Inc. | 9,239 | 2,741,027 | |||||||
Host Hotels & Resorts, Inc. | 92,143 | 1,596,838 | |||||||
Mack-Cali Realty Corp. | 167,700 | 3,649,152 | Ø | ||||||
New Senior Investment Group, Inc. | 790,482 | 7,920,630 | |||||||
New York REIT, Inc. | 239,146 | 2,726,264 | |||||||
Newcastle Investment Corp. | 215,576 | 1,060,634 | |||||||
NorthStar Realty Finance Corp. | 336,622 | 4,042,830 | Ø | ||||||
Simon Property Group, Inc. | 13,485 | 2,716,688 | Ø | ||||||
STAG Industrial, Inc. | 136,982 | 2,810,871 | Ø | ||||||
Strategic Hotels & Resorts, Inc. | 136,500 | 1,924,650 | *Ø | ||||||
Ventas, Inc. | 49,057 | 2,635,342 | Ø | ||||||
41,811,969 | |||||||||
Real Estate Management & Development (1.4%) | |||||||||
Altus Group Ltd. | 28,750 | 418,849 | |||||||
CBRE Group, Inc. Class A | 92,759 | 3,458,056 | * | ||||||
Conwert Immobilien Invest SE | 2,000 | 28,668 | *Ø | ||||||
Daiwa House Industry Co. Ltd. | 195,600 | 5,134,559 | Ø | ||||||
Hulic Co. Ltd. | 118,800 | 1,109,584 | Ø |
Number of Shares | Value† | ||||||||||
Kennedy Wilson Europe Real Estate PLC | 268,125 | $ | 4,943,564 | Ø | |||||||
LEG Immobilien AG | 31,449 | 2,508,989 | *Ø | ||||||||
Megaworld Corp. | 8,281,000 | 827,924 | |||||||||
Mitsubishi Estate Co. Ltd. | 36,000 | 772,074 | Ø | ||||||||
Pruksa Real Estate PCL | 1,070,100 | 841,908 | |||||||||
Tokyo Tatemono Co. Ltd. | 101,600 | 1,262,416 | Ø | ||||||||
Tokyu Fudosan Holdings Corp. | 210,300 | 1,478,230 | Ø | ||||||||
22,784,821 | |||||||||||
Road & Rail (0.9%) | |||||||||||
Canadian Pacific Railway Ltd. | 27,605 | 3,878,503 | |||||||||
Hertz Global Holdings, Inc. | 318,153 | 6,203,983 | *Ø | ||||||||
Swift Transportation Co. | 270,179 | 4,222,898 | *Ø | ||||||||
Union Pacific Corp. | 8,243 | 736,512 | £b | ||||||||
15,041,896 | |||||||||||
Semiconductors & Semiconductor Equipment (2.7%) | |||||||||||
Altera Corp. | 143,928 | 7,563,416 | Ø | ||||||||
Atmel Corp. | 470,303 | 3,574,303 | Ø | ||||||||
Broadcom Corp. Class A | 473,415 | 24,333,531 | Ø | ||||||||
EZchip Semiconductor Ltd. | 42,550 | 1,038,645 | * | ||||||||
Freescale Semiconductor Ltd. | 42,250 | 1,414,952 | * | ||||||||
Integrated Silicon Solution, Inc. | 30,000 | 674,400 | Ø | ||||||||
KLA-Tencor Corp. | 23,047 | 1,546,915 | |||||||||
Magnachip Semiconductor Corp. | 30,655 | 162,165 | *Ø |
See Notes to Schedule of Investments
16
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (cont'd)
Number of Shares | Value† | ||||||||||
Micron Technology, Inc. | 55,373 | $ | 916,977 | * | |||||||
OmniVision Technologies, Inc. | 9,250 | 267,048 | *Ø | ||||||||
Pericom Semiconductor Corp. | 8,000 | 139,600 | Ø | ||||||||
PMC-Sierra, Inc. | 132,100 | 1,574,632 | * | ||||||||
SCREEN Holdings Co. Ltd. | 179,000 | 1,057,593 | Ø | ||||||||
SunPower Corp. | 27,839 | 747,199 | *Ø | ||||||||
45,011,376 | |||||||||||
Software (1.2%) | |||||||||||
Epiq Systems, Inc. | 12,000 | 165,600 | Ø | ||||||||
Nintendo Co. Ltd. | 3,100 | 495,586 | £b | ||||||||
Nuance Communications, Inc. | 368,674 | 6,256,398 | * | ||||||||
PTC, Inc. | 93,100 | 3,299,464 | *Ø | ||||||||
SolarWinds, Inc. | 24,550 | 1,424,636 | * | ||||||||
Solera Holdings, Inc. | 60,765 | 3,321,415 | Ø | ||||||||
Synchronoss Technologies, Inc. | 4,700 | 165,346 | * | ||||||||
Verint Systems, Inc. | 90,200 | 4,291,716 | *£b | ||||||||
Yodlee, Inc. | 39,151 | 656,954 | * | ||||||||
20,077,115 | |||||||||||
Specialty Retail (0.7%) | |||||||||||
Gulliver International Co. Ltd. | 197,300 | 1,987,665 | Ø | ||||||||
Office Depot, Inc. | 953,325 | 7,264,336 | *Ø | ||||||||
Vitamin Shoppe, Inc. | 70,382 | 2,019,260 | * | ||||||||
11,271,261 | |||||||||||
Technology Hardware, Storage & Peripherals (1.4%) | |||||||||||
EMC Corp. | 593,917 | 15,572,504 | £b | ||||||||
Hewlett- Packard Co. | 124,482 | 3,356,034 | |||||||||
NCR Corp. | 147,405 | 3,920,973 | *Ø | ||||||||
SanDisk Corp. | 3,250 | 250,250 | |||||||||
23,099,761 |
Number of Shares | Value† | ||||||||
Textiles, Apparel & Luxury Goods (0.5%) | |||||||||
Coach, Inc. | 126,670 | $ | 3,952,104 | Ø | |||||
PVH Corp. | 44,780 | 4,072,741 | Ø | ||||||
8,024,845 | |||||||||
Thrifts & Mortgage Finance (0.1%) | |||||||||
Hudson City Bancorp, Inc. | 204,179 | 2,066,291 | |||||||
Trading Companies & Distributors (0.5%) | |||||||||
AerCap Holdings NV | 144,574 | 5,999,821 | *Ø | ||||||
Avolon Holdings Ltd. | 7,895 | 240,876 | *Ø | ||||||
Mitsubishi Corp. | 21,900 | 398,155 | Ø | ||||||
United Rentals, Inc. | 15,187 | 1,136,899 | *£b | ||||||
7,775,751 | |||||||||
Transportation Infrastructure (0.4%) | |||||||||
Macquarie Infrastructure Corp. | 94,671 | 7,531,078 | Ø | ||||||
Water Utilities (0.1%) | |||||||||
American Water Works Co., Inc. | 35,634 | 2,043,966 | Ø | ||||||
Wireless Telecommunication Services (0.1%) | |||||||||
T-Mobile US, Inc. | 22,475 | 851,578 | * | ||||||
Total Common Stocks (Cost $898,806,197) | 860,071,410 | ||||||||
Business Development Companies (0.2%) | |||||||||
Solar Capital Ltd. (Cost $3,276,040) | 173,313 | 3,000,049 | Ø | ||||||
Preferred Stocks (0.1%) | |||||||||
National Bank of Greece SA, Ser. A, 9.00% (Cost $3,572,349) | 222,541 | 2,341,131 | *Ø | ||||||
Exchange Traded Funds (0.5%) | |||||||||
iShares MSCI Brazil Capped ETF | 74,104 | 1,694,758 | £b | ||||||
PowerShares DB U.S. Dollar Index Bullish Fund | 286,025 | 7,222,131 | *Ø | ||||||
Total Exchange Traded Funds (Cost $8,371,353) | 8,916,889 |
Number of Shares | Value† | ||||||||||
Closed-End Funds (0.2%) | |||||||||||
AP Alternative Assets LP | 87,325 | $ | 3,231,025 | * | |||||||
BlackRock Floating Rate Income Strategies Fund, Inc. | 45,148 | 588,278 | Ø | ||||||||
Blackstone/GSO Strategic Credit Fund | 36,389 | 529,096 | Ø | ||||||||
Invesco Senior Income Trust | 142,579 | 590,277 | Ø | ||||||||
Voya Prime Rate Trust | 114,577 | 579,760 | Ø | ||||||||
Total Closed-End Funds (Cost $5,024,915) | 5,518,436 | ||||||||||
Master Limited Partnerships (2.2%) | |||||||||||
Capital Markets (0.4%) | |||||||||||
Apollo Global Management LLC, Class A | 170,837 | 3,121,192 | Ø | ||||||||
The Blackstone Group LP | 106,664 | 3,526,312 | Ø | ||||||||
6,647,504 | |||||||||||
Oil, Gas & Consumable Fuels (1.8%) | |||||||||||
Antero Midstream Partners LP | 27,914 | 664,911 | |||||||||
Boardwalk Pipeline Partners LP | 182,559 | 2,340,406 | Ø | ||||||||
Cheniere Energy Partners LP | 198,470 | 5,559,145 | Ø | ||||||||
Delek Logistics Partners LP | 78 | 2,554 | |||||||||
Dominion Midstream Partners LP | 30,378 | 995,183 | |||||||||
Energy Transfer Equity LP | 133,029 | 2,866,775 | Ø | ||||||||
Energy Transfer Partners LP | 61,020 | 2,694,643 | |||||||||
Enterprise Products Partners LP | 72,031 | 1,990,217 | |||||||||
EQT Midstream Partners LP | 20,134 | 1,490,721 |
See Notes to Schedule of Investments
17
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (cont'd)
Number of Shares | Value† | ||||||||||
Magellan Midstream Partners LP | 1,100 | $ | 70,191 | Ø | |||||||
MPLX LP | 33,658 | 1,305,594 | Ø | ||||||||
NuStar GP Holdings LLC | 74,096 | 2,164,344 | |||||||||
Phillips 66 Partners LP | 13,014 | 789,169 | |||||||||
Rose Rock Midstream LP | 21,737 | 588,855 | |||||||||
Sunoco Logistics Partners LP | 66,336 | 1,926,397 | Ø | ||||||||
Sunoco LP | 47,589 | 1,641,345 | |||||||||
Tallgrass Energy Partners LP | 11,929 | 516,764 | |||||||||
Valero Energy Partners LP | 10,933 | 546,541 | |||||||||
Western Gas Equity Partners LP | 501 | 21,608 | |||||||||
Western Gas Partners LP | 9,752 | 498,522 | |||||||||
Western Refining Logistics LP | 21,407 | 555,083 | £b | ||||||||
29,228,968 | |||||||||||
Total Master Limited Partnerships (Cost $39,465,722) | 35,876,472 | ||||||||||
Number of Rights | |||||||||||
Rights (0.0%) | |||||||||||
Biotechnology (0.0%) | |||||||||||
Ambit Biosciences Corp. (Daiichi Sankyo Co. Ltd.) | 70,000 | 42,000 | *fN | ||||||||
Chelsea Therapeutics International Ltd. (H Lundbeck A/S) | 3,500 | 385 | *fN | ||||||||
Durata Therapeutics, Inc. (Actavis PLC) | 40,000 | 6,400 | *fN | ||||||||
Prosensa Holding NV | 20,000 | 19,800 | *fN |
Number of Rights | Value† | ||||||||||
Trius Therapeutics Inc. (Cubist Pharmaceuticals Inc.) | 24,000 | $ | 3,120 | *fN | |||||||
71,705 | |||||||||||
Food & Staples Retailing (0.0%) | |||||||||||
Safeway, Inc. (Casa Ley) | 112,000 | 39,200 | *N | ||||||||
Safeway, Inc. (Property Development Centers) | 112,000 | 5,600 | *N | ||||||||
44,800 | |||||||||||
Health Care Providers & Services (0.0%) | |||||||||||
Community Health Systems, Inc., due 1/4/16 | 23,891 | 227 | *Ø | ||||||||
Life Sciences Tools & Services (0.0%) | |||||||||||
Furiex Pharmaceuticals, Inc. (Actavis PLC) | 1,500 | 14,655 | *fN | ||||||||
Pharmaceuticals (0.0%) | |||||||||||
Omthera Pharmaceuticals, Inc. (AstraZeneca PLC) | 100 | — | *fN | ||||||||
Wireless Telecommunication Services (0.0%) | |||||||||||
Leap Wireless International, Inc. (AT&T Inc.) | 60,000 | 222,000 | *N | ||||||||
Total Rights (Cost $474) | 353,387 | ||||||||||
Number of Warrants | |||||||||||
Warrants (0.0%) | |||||||||||
Diversified Financial Services (0.0%) | |||||||||||
Acasta Enterprises, Inc., due 9/8/20 | 219,049 | 55,282 | * | ||||||||
Alignvest Acquisition Corp., due 6/15/23 | 149,494 | 38,871 | * | ||||||||
94,153 | |||||||||||
Insurance (0.0%) | |||||||||||
TIG Holdings, Inc., due 12/31/15 | 73 | — | *fN |
Number of Warrants | Value† | ||||||||||
Metals & Mining (0.0%) | |||||||||||
HudBay Minerals, Inc., due 7/20/18 | 1,360 | $ | 551 | * | |||||||
Total Warrants (Cost $133,616) | 94,704 | ||||||||||
Principal Amount | |||||||||||
Bank Loan Obligationsµ (8.0%) | |||||||||||
Advertising (0.3%) | |||||||||||
Affinion Group, Inc., 1st Lien Term Loan B, 6.75%, due 4/30/18 | $ | 3,224,093 | 3,090,518 | Ø | |||||||
Extreme Reach, Inc., 1st Lien Term Loan, 6.75%, due 12/31/25 | 727,413 | 724,685 | |||||||||
Extreme Reach, Inc., 2nd Lien Term Loan, 10.50%, due 12/31/25 | 1,593,000 | 1,573,088 | N | ||||||||
5,388,291 | |||||||||||
Aerospace & Defense (0.2%) | |||||||||||
Standard Aero Ltd., 1st Lien Term Loan, 5.25%, due 6/25/22 | 1,879,000 | 1,871,954 | Ø | ||||||||
The SI Organization, Inc., 1st Lien Term Loan, 5.75%, due 10/24/19 | 1,432,221 | 1,424,344 | Ø | ||||||||
3,296,298 | |||||||||||
Biotechnology (0.2%) | |||||||||||
AgroFresh, Inc., Term Loan, 5.75%, due 7/2/21 | 2,956,590 | 2,939,353 | Ø | ||||||||
Building Materials (0.0%) | |||||||||||
Jeld-Wen, Inc., Term Loan, 5.00%, due 6/26/22 | 593,000 | 593,374 | Ø |
See Notes to Schedule of Investments
18
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (cont'd)
Principal Amount | Value† | ||||||||||
Building Products (0.1%) | |||||||||||
Builders FirstSource, Inc., Term Loan B, 6.00%, due 7/24/22 | $ | 1,616,000 | $ | 1,601,860 | Ø | ||||||
Commercial Services & Supplies (0.9%) | |||||||||||
Accuvant, Inc., Term Loan B, 6.25%, due 12/15/21 | 3,092,460 | 3,073,132 | Ø | ||||||||
Capstone Logistics Acquisition, Inc., Term Loan B, 5.50%, due 10/3/21 | 1,255,658 | 1,244,671 | N | ||||||||
First Advantage Corp., Term Loan B, 6.25%, due 6/29/22 | 1,895,336 | 1,871,644 | N | ||||||||
Insight Global, Inc., Term Loan, 6.00%, due 12/31/19 | 489,924 | 487,784 | N | ||||||||
iQor US, Inc., 2nd Lien Term Loan, 9.75%, due 2/18/22 | 293,667 | 224,655 | N | ||||||||
Merrill Communications LLC, 1st Lien Term Loan, 6.25%, due 5/29/22 | 457,249 | 448,104 | N | ||||||||
Protection One, Inc., 1st Lien Term Loan, 5.00%, due 6/19/21 | 2,003,000 | 1,988,478 | Ø | ||||||||
Protection One, Inc., 2nd Lien Term Loan, 9.75%, due 6/19/22 | 1,019,000 | 1,001,168 | N | ||||||||
SITEL Worldwide Corp., 1st Lien Term Loan, 6.50%, due 8/17/21 | 2,652,000 | 2,613,891 |
Principal Amount | Value† | ||||||||||
Universal Services of America, Delayed Draw Term Loan, 4.75%, due 7/27/22 | $ | 84,575 | $ | 81,756 | |||||||
Universal Services of America, Term Loan B, 4.75%, due 7/27/22 | 1,199,425 | 1,159,448 | |||||||||
14,194,731 | |||||||||||
Communications Equipment (0.1%) | |||||||||||
Riverbed Technology, Inc., Term Loan B, 6.00%, due 2/25/22 | 1,559,165 | 1,559,165 | Ø | ||||||||
Containers & Packaging (0.0%) | |||||||||||
Prolamina Corp., Term Loan B, 5.00%, due 8/6/22 | 622,000 | 615,780 | Ø | ||||||||
Diversified Consumer Services (0.0%) | |||||||||||
Weight Watchers International, Inc., Initial Tranch, due 4/2/16 | 318,000 | 310,050 | ^^¢ | ||||||||
Diversified Financial Services (0.3%) | |||||||||||
4L Technologies, Inc., Term Loan B, 5.50%, due 4/3/20 | 1,805,760 | 1,706,443 | N | ||||||||
BATS Global Markets Holdings, Inc., Term Loan, 5.75%, due 1/31/20 | 316,839 | 317,631 | N | ||||||||
Environmental Resources Management, 1st Lien Term Loan, 5.00%, due 5/9/21 | 2,881,000 | 2,866,595 | N | ||||||||
4,890,669 |
Principal Amount | Value† | ||||||||||
Diversified Telecommunication Services (0.3%) | |||||||||||
Fairpoint Communications, Inc., Term Loan B, 7.50%, due 2/14/19 | $ | 2,289,411 | $ | 2,290,235 | Ø | ||||||
Global Telcom Link Corp., 2nd Lien Term Loan, 9.00%, due 5/21/20 | 2,825,000 | 2,154,062 | N | ||||||||
4,444,297 | |||||||||||
Electric Utilities (0.2%) | |||||||||||
Texas Competitive Electric Holdings Co., Term Loan, 4.25%, due 6/6/16 | 3,300,000 | 3,297,954 | Ø | ||||||||
Electronic Equipment, Instruments & Components (0.1%) | |||||||||||
Lixens France SA, 2nd Lien Term Loan, due 7/31/23 | 693,000 | 682,605 | ^^N | ||||||||
Lixens France SA, Term Loan B, 5.00%, due 7/31/22 | 522,000 | 515,042 | |||||||||
TTM Technologies, Inc., Term Loan B, 6.00%, due 5/8/21 | 309,225 | 289,125 | Ø | ||||||||
1,486,772 | |||||||||||
Energy Equipment & Services (0.0%) | |||||||||||
Pacific Drilling SA, Term Loan, 4.50%, due 5/18/18 | 1,320,000 | 710,596 | ^^ | ||||||||
Food Products (0.2%) | |||||||||||
Del Monte Corp., 2nd Lien Term Loan, 8.25%, due 7/26/21 | 1,917,000 | 1,738,489 | N |
See Notes to Schedule of Investments
19
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (cont'd)
Principal Amount | Value† | ||||||||||
Ferrara Candy Co., Term Loan, 7.50%, due 6/8/17 | $ | 1,866,276 | $ | 1,842,947 | |||||||
3,581,436 | |||||||||||
Health Care Equipment & Supplies (0.1%) | |||||||||||
Physio- Control International, Inc., 1st Lien Term Loan, 5.50%, due 5/19/22 | 775,000 | 761,437 | N | ||||||||
Health Care Providers & Services (0.3%) | |||||||||||
21st Century Oncology, Inc., Term Loan, 6.50%, due 4/28/22 | 2,796,990 | 2,688,607 | N | ||||||||
Beacon Health Strategies LLC, Term Loan B, 4.75%, due 9/30/21 | 1,374,095 | 1,347,987 | Ø | ||||||||
Genesis HealthCare DE LLC, Term Loan, 10.00%, due 10/2/17 | 169,254 | 171,581 | N | ||||||||
4,208,175 | |||||||||||
Healthcare—Products (0.1%) | |||||||||||
Curo Health Services Holdings, Inc., Term Loan B, 6.50%, due 2/2/22 | 1,538,270 | 1,534,424 | N | ||||||||
Hotels, Restaurants & Leisure (0.5%) | |||||||||||
Amaya Holdings BV, 1st Lien Term Loan, 5.00%, due 7/29/21 | 3,004,707 | 2,930,130 | Ø | ||||||||
Amaya Holdings BV, 1st Lien Term Loan, 8.00%, due 7/29/22 | 287,438 | 288,516 | Ø |
Principal Amount | Value† | ||||||||||
Caesars Entertainment Operating Co., Inc., Term Loan B, due 3/1/17 | $ | 1,119,810 | $ | 995,231 | ≠Ø | ||||||
Caesars Entertainment Resort Properties LLC, 1st Lien Term Loan, 7.00%, due 10/9/20 | 1,473,750 | 1,392,458 | Ø | ||||||||
Harrah's Entertainment, Inc., Term Loan B5, due 1/28/18 | 1,835,830 | 1,652,761 | ≠Ø | ||||||||
Harrah's Entertainment, Inc., Term Loan B6, due 1/28/18 | 837,804 | 766,239 | ≠Ø | ||||||||
8,025,335 | |||||||||||
Household Products (0.1%) | |||||||||||
Huish Detergent, Inc., 1st Lien Term Loan, 5.50%, due 3/23/20 | 2,018,336 | 1,945,675 | Ø | ||||||||
KIK Custom Products, Inc., Term Loan B, 6.00%, due 8/24/22 | 380,000 | 376,200 | |||||||||
2,321,875 | |||||||||||
Independent Power & Renewable Electricity Producers (0.2%) | |||||||||||
Invenergy Thermal Operating I LLC, Term Loan B, 6.50%, due 10/9/22 | 694,000 | 687,060 | N | ||||||||
NRG Energy, Inc., Term Loan, 4.50%, due 2/4/21 | 1,970,000 | 1,918,287 | Ø | ||||||||
2,605,347 |
Principal Amount | Value† | ||||||||||
Insurance (0.4%) | |||||||||||
Asurion LLC, 1st Lien Term Loan, 5.00%, due 12/31/20 | $ | 409,118 | $ | 389,685 | Ø | ||||||
Asurion LLC, 2nd Lien Term Loan, 8.50%, due 2/19/21 | 4,124,000 | 3,703,022 | |||||||||
Asurion LLC, Term Loan B, 5.00%, due 7/30/22 | 1,193,450 | 1,126,319 | |||||||||
Confie | 421,913 | 421,913 | |||||||||
Seguros Holding II Co., 1st Lien Term Loan B, 5.75%, due 11/9/18 | |||||||||||
Cunningham Lindsey US, Inc., 2nd Lien Initial Term Loan, 9.25%, due 6/10/20 | 1,000,000 | 695,000 | N | ||||||||
Hyperion Insurance Group Ltd., Term Loan B, 5.50%, due 3/26/22 | 348,916 | 348,916 | |||||||||
6,684,855 | |||||||||||
Internet Software & Services (0.6%) | |||||||||||
AF Borrower LLC, Initial Term Loan, 10.00%, due 1/30/23 | 534,000 | 523,988 | N | ||||||||
Ancestry.com, Inc., Term Loan B, 5.00%, due 8/17/22 | 1,657,500 | 1,653,356 | |||||||||
Answers Corp., Term Loan, 6.25%, due 10/3/21 | 2,141,361 | 1,570,324 | N | ||||||||
ProQuest LLC, Term Loan B, 5.25%, due 9/23/21 | 1,750,749 | 1,723,034 | N |
See Notes to Schedule of Investments
20
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (cont'd)
Principal Amount | Value† | ||||||||||
Travel- | $ | 456,371 | $ | 452,378 | N | ||||||
click, 1st Lien Term Loan, 5.50%, due 5/8/21 | |||||||||||
Travelport LLC, Term Loan B, 5.75%, due 8/15/21 | 4,033,032 | 3,996,614 | Ø | ||||||||
9,919,694 | |||||||||||
Media (0.9%) | |||||||||||
Cablevision Systems Corp., Term Loan B, 5.00%, due 9/25/22 | 896,000 | 898,563 | |||||||||
Cirque du Soleil, Inc., 2nd Lien Term Loan, 9.25%, due 6/25/23 | 830,000 | 814,437 | N | ||||||||
Endemol, 1st Lien Term Loan, 6.75%, due 8/6/21 | 2,692,800 | 2,561,526 | Ø | ||||||||
NEP/NCP Holdco, Inc., Incremental Term Loan, 4.25%, due 1/22/20 | 1,681,666 | 1,610,195 | Ø | ||||||||
NEP/NCP Holdco, Inc., Term Loan, 10.00%, due 7/22/20 | 766,000 | 746,214 | N | ||||||||
Numericable U.S. LLC, Tranche Loan B-6, due 1/22/23 | 998,000 | 986,204 | ^^ | ||||||||
RentPath, Inc., 1st Lien Term Loan, 6.25%, due 12/11/21 | 1,076,012 | 954,067 | Ø | ||||||||
Springer Science+ Business Media GmbH, Term Loan B, 4.75%,due 8/14/20 | 2,208,979 | 2,186,889 | Ø |
Principal Amount | Value† | ||||||||||
Thomson Learning, 1st Lien Term Loan, 7.00%, due 3/6/21 | $ | 2,994,617 | $ | 2,972,906 | Ø | ||||||
Top Right Group Ltd., Term Loan B, 6.00%, due 4/13/22 | 1,305,728 | 1,298,389 | N | ||||||||
15,029,390 | |||||||||||
Miscellaneous Manufacturing (0.1%) | |||||||||||
Novolex Holdings, Inc., 1st Lien Term Loan, 6.00%, due 12/4/21 | 1,458,915 | 1,457,092 | Ø | ||||||||
Novolex Holdings, Inc., 2st Lien Term Loan, 9.75%, due 6/3/22 | 950,000 | 939,711 | N | ||||||||
2,396,803 | |||||||||||
Multiline Retail (0.3%) | |||||||||||
JC Penney Co., Inc., 1st Lien Term Loan, 5.00%, due 6/13/19 | 963,800 | 958,682 | Ø | ||||||||
JC Penney Corp., Inc., Term Loan, 6.00%, due 5/21/18 | 4,065,670 | 4,050,424 | Ø | ||||||||
5,009,106 | |||||||||||
Oil & Gas Services (0.1%) | |||||||||||
Expro Oilfield Services PLC, Term Loan B, 5.75%, due 8/12/21 | 1,293,930 | 1,063,106 | Ø | ||||||||
Preferred Proppants LLC, Term Loan B, 6.75%, due 8/12/20 | 403,389 | 229,427 | N | ||||||||
1,292,533 |
Principal Amount | Value† | ||||||||||
Oil, Gas & Consumable Fuels (0.1%) | |||||||||||
Arch Coal,Inc., 1st Lien Term Loan, 6.25%, due 5/16/18 | $ | 774,009 | $ | 399,102 | Ø | ||||||
Bowie Resources Holdings LLC, 2nd Lien Term Loan, 11.75%, due 12/31/20 | 35,100 | 33,696 | N | ||||||||
Fieldwood Energy LLC, 2nd Lien Term Loan, 8.38%, due 9/30/20 | 3,347,000 | 1,212,083 | Ø | ||||||||
1,644,881 | |||||||||||
Packaging & Containers (0.0%) | |||||||||||
Kloeckner Pentaplast of America, Inc., Initial Term Loan, 5.00%, due 4/22/20 | 214,134 | 214,401 | Ø | ||||||||
Kloeckner Pentaplast of America, Inc., Term Loan B, 5.00%, due 4/22/20 | 501,074 | 501,700 | Ø | ||||||||
716,101 | |||||||||||
Personal Products (0.1%) | |||||||||||
Coty/Galleria, Term Loan A, due 10/22/22 | 1,007,333 | 1,008,280 | ^^N | ||||||||
Coty/Galleria, Term Loan B, due 10/22/22 | 503,667 | 505,556 | ^^ | ||||||||
1,513,836 | |||||||||||
Pharmaceuticals (0.1%) | |||||||||||
Alvogen Pharma US, Inc., 1st Lien Term Loan, 6.00%, due 4/2/22 | 305,178 | 299,074 | N |
See Notes to Schedule of Investments
21
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (cont'd)
Principal Amount | Value† | ||||||||||
Atrium Innovations, Inc., 1st Lien Term Loan, 4.25%, due 1/29/21 | $ | 1,743,201 | $ | 1,626,982 | N | ||||||
Packaging Coordinators, Inc., Term Loan, 5.25%, due 8/12/21 | 321,912 | 318,693 | N | ||||||||
2,244,749 | |||||||||||
Professional Services (0.2%) | |||||||||||
Duff & Phelps Corp., 2nd Lien Term Loan, 9.50%, due 8/14/21 | 2,679,000 | 2,652,210 | N | ||||||||
Real Estate Investment Trusts (0.0%) | |||||||||||
Communications Sales & Leasing, Inc., Term Loan B, 5.00%, due 10/16/22 | 475,808 | 448,449 | Ø | ||||||||
Road & Rail (0.0%) | |||||||||||
Quality Distribution, Inc., 1st Lien Term Loan, 5.75%, due 7/31/22 | 700,000 | 682,500 | Ø | ||||||||
Software (0.5%) | |||||||||||
Ascend Learning LLC, 2nd Lien Term Loan, 9.50%, due 11/28/20 | 2,000,000 | 1,978,340 | N | ||||||||
Ascend Learning LLC, Term Loan B, 5.50%, due 12/31/20 | 732,697 | 730,865 | |||||||||
CT Technologies Intermediate Holdings, Inc., Term Loan, 5.25%, due 11/5/21 | 550,620 | 547,179 |
Principal Amount | Value† | ||||||||||
P2 Energy Solutions, Inc., 2nd Lien Term Loan, 9.00%, due 4/30/21 | $ | 605,000 | $ | 529,375 | N | ||||||
Progressive Solutions, Inc., 1st Lien Term Loan, 5.50%, due 10/16/20 | 1,271,651 | 1,272,452 | |||||||||
Progressive Solutions, Inc., 2nd Lien Term Loan, 9.50%, due 10/22/21 | 2,073,000 | 2,047,088 | |||||||||
TeamViewer US LCC, 1st Lien Term Loan, 6.00%, due 12/11/20 | 927,630 | 920,673 | N | ||||||||
8,025,972 | |||||||||||
Technology Hardware, Storage & Peripherals (0.1%) | |||||||||||
Eastman Kodak Co., Term Loan, 7.25%, due 7/31/19 | 1,961,137 | 1,863,904 | Ø | ||||||||
Telecommunications (0.2%) | |||||||||||
ConvergeOne Holdings Corp., 1st Lien Term Loan, 6.00%, due 6/16/20 | 2,425,082 | 2,400,831 | N | ||||||||
Textiles, Apparel & Luxury Goods (0.0%) | |||||||||||
FULLBEAUTY Brands, Inc., Term Loan B, 5.75%, due 10/15/22 | 658,000 | 624,001 | N | ||||||||
Trading Companies & Distributors (0.1%) | |||||||||||
US LBM Holdings LLC, 1st Lien Term Loan, 6.25%, due 8/19/22 | 1,390,000 | 1,338,751 | |||||||||
Total Bank Loan Obligations (Cost $137,454,672) | 132,855,785 |
Principal Amount | Value† | ||||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government (0.1%) | |||||||||||
U.S. Treasury Bond, 3.00%, due 5/15/45 (Cost $1,054,417) | $ | 1,025,000 | $ | 1,038,680 | £b | ||||||
Mortgage-Backed Securities (4.7%) | |||||||||||
Collateralized Mortgage Obligations (1.3%) | |||||||||||
Alternative Loan Trust, Ser. 2005-21CB, Class A17, 6.00%, due 6/25/35 | 962,823 | 982,472 | Ø | ||||||||
Alternative Loan Trust, Ser. 2005-J2 Class 1A5, 0.70%, due 4/25/35 | 2,319,216 | 2,017,114 | µ | ||||||||
Banc of America Alternative Loan Trust, Ser. 2005-6, Class 2CB2, 6.00%, due 7/25/35 | 620,732 | 594,153 | Ø | ||||||||
Bellemeade Re Ltd., Ser. 2015-1A, Class M2, 4.50%, due 7/25/25 | 630,000 | 627,289 | ñµ | ||||||||
Chase Mortgage Finance Trust, Ser. 2007-A2, Class 3A2, 2.64%, due 7/25/37 | 460,984 | 440,272 | µ | ||||||||
CHL Mortgage Pass-Through Trust, Ser. 2005-19, Class 1A1, 5.50%, due 8/25/35 | 254,277 | 243,384 |
See Notes to Schedule of Investments
22
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (cont'd)
Principal Amount | Value† | ||||||||||
Citicorp Mortgage Securities, Inc., Ser. 2006-3, Class 1A10, 6.25%, due 6/25/36 | $ | 2,770,337 | $ | 2,915,755 | |||||||
Citicorp Mortgage Securities, Inc., Ser. 2006-3, Class 1A9, 5.75%, due 6/25/36 | 621,912 | 642,731 | Ø | ||||||||
Citicorp Mortgage Securities, Inc., Ser. 2006-4, Class 1A2, 6.00%, due 8/25/36 | 670,781 | 677,373 | Ø | ||||||||
Fannie Mae Connecticut Avenue Securities, Ser. 2015-C02, Class 1M2, 4.20%, due 5/25/25 | 250,000 | 237,804 | µ | ||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes, Ser. 2015-HQA1, Class B, 8.99%, due 3/25/28 | 4,000,000 | 3,950,019 | µ | ||||||||
GSR Mortgage Loan Trust, Ser. 2005-AR6, Class 3A2, 2.73%, due 9/25/35 | 435,610 | 417,820 | µ | ||||||||
JP Morgan Alternative Loan Trust, Ser. 2005-A2, Class 1A1, 0.72%, due 1/25/36 | 114,144 | 105,146 | µ |
Principal Amount | Value† | ||||||||||
JP Morgan Alternative Loan Trust, Ser. 2006-S4, Class A3A, 5.78%, due 12/25/36 | $ | 661,245 | $ | 633,135 | aØ | ||||||
JP Morgan Alternative Loan Trust, Ser. 2006-S4, Class A6, 5.71%, due 12/25/36 | 558,849 | 537,174 | a | ||||||||
JP Morgan Mortgage Trust, Ser. 2007-A1, Class 4A1, 2.73%, due 7/25/35 | 239,290 | 239,613 | µ | ||||||||
JP Morgan Mortgage Trust, Ser. 2007-A1, Class 5A6, 2.64%, due 7/25/35 | 290,034 | 279,439 | µ | ||||||||
MASTR Alternative Loans Trust, Ser. 2004-10, Class 4A1, 6.00%, due 9/25/19 | 109,777 | 112,933 | |||||||||
WaMu Mortgage Pass-Through Certificates Trust, Ser. 2004-S1, Class 1A11, 5.50%, due 3/25/34 | 170,922 | 179,954 | |||||||||
Washington Mutual Mortgage Pass-Through Certificates Trust, Ser. 2005-1, Class 1A1, 5.50%, due 3/25/35 | 893,641 | 896,618 |
Principal Amount | Value† | ||||||||||
Wells Fargo Mortgage Backed Securities Trust, Ser. 2005-9, Class 1A12, 5.50%, due 10/25/35 | $ | 950,587 | $ | 955,128 | |||||||
Wells Fargo Mortgage Backed Securities Trust, Ser. 2006-13, Class A5, 6.00%, due 10/25/36 | 279,107 | 287,904 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, Ser. 2007-10, Class 2A5, 6.25%, due 7/25/37 | 971,223 | 973,835 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, Ser. 2007-12, Class A6, 5.50%, due 9/25/37 | 670,571 | 684,056 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, Ser. 2007-14, Class 1A1, 6.00%, due 10/25/37 | 759,747 | 772,023 | Ø | ||||||||
Wells Fargo Mortgage Backed Securities Trust, Ser. 2007-16, Class 1A7, 6.00%, due 12/28/37 | 193,730 | 199,498 | |||||||||
20,602,642 |
See Notes to Schedule of Investments
23
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (cont'd)
Principal Amount | Value† | ||||||||||
Commercial Mortgage-Backed (3.4%) | |||||||||||
ACRE Commercial Mortgage Trust, Ser. 2014-FL2, Class D, 3.60%, due 8/15/31 | $ | 1,500,000 | $ | 1,484,965 | ñµ | ||||||
BAMLL Commercial Mortgage Securities Trust, Ser. 2013-DSNY, Class F, 3.70%, due 9/15/26 | 4,600,000 | 4,567,107 | ñص | ||||||||
BAMLL Commercial Mortgage Securities Trust, Ser. 2014-ICTS, Class E, 3.15%, due 6/15/28 | 3,450,000 | 3,435,905 | ñص | ||||||||
BAMLL Commercial Mortgage Securities Trust, Ser. 2014-INLD, Class D, 3.71%, due 12/15/29 | 100,000 | 99,560 | ñµ | ||||||||
Boca Hotel Portfolio Trust, Ser. 2013-BOCA, Class E, 3.95%, due 8/15/26 | 1,500,000 | 1,499,313 | ñص | ||||||||
CDGJ Commercial Mortgage Trust, Ser. 2014-BXCH, Class DPB, 4.05%, due 12/15/27 | 1,400,000 | 1,378,967 | ñµ | ||||||||
CDGJ Commercial Mortgage Trust, Ser. 2014-BXCH, Class EPA, 4.45%, due 12/15/27 | 1,900,000 | 1,880,863 | ñµ |
Principal Amount | Value† | ||||||||||
CDGJ Commercial Mortgage Trust, Ser. 2014-BXCH, Class EPB, 5.20%, due 12/15/27 | $ | 1,500,000 | $ | 1,477,464 | ñµ | ||||||
Citigroup Commercial Mortgage Trust, Ser. 2015-SHP2, Class E, 4.55%, due 7/15/27 | 550,000 | 548,445 | ñµ | ||||||||
COMM Mortgage Trust, Ser. 2007-C9, Class G, 5.80%, due 12/10/49 | 1,200,000 | 1,182,935 | ñµ | ||||||||
COMM Mortgage Trust, Ser. 2014-PAT, Class E, 3.35%, due 8/13/27 | 4,800,000 | 4,742,171 | ñص | ||||||||
CSMC Trust, Ser. 2015-DEAL, Class E, 4.20%, due 4/15/29 | 2,600,000 | 2,569,727 | ñµ | ||||||||
CSMC Trust, Ser. 2015-SAND, Class E, 4.05%, due 8/15/30 | 2,300,000 | 2,295,567 | ñµ | ||||||||
CSMC Trust, Ser. 2015-SAND, Class F, 4.90%, due 8/15/30 | 1,100,000 | 1,098,849 | ñµ | ||||||||
Hilton USA Trust, Ser. 2013-HLT, Class DFX, 4.41%, due 11/5/30 | 600,000 | 601,516 | ñ | ||||||||
Hilton USA Trust, Ser. 2013-HLT, Class EFX, 4.45%, due 11/5/30 | 2,200,000 | 2,215,166 | ñµ |
Principal Amount | Value† | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Ser. 2014-BXH, Class E, 3.95%, due 4/15/27 | $ | 1,400,000 | $ | 1,393,648 | ñµ | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Ser. 2014-CBM, Class E, 4.05%, due 10/15/29 | 1,700,000 | 1,689,153 | ñµ | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Ser. 2014-FL5, Class D, 3.70%, due 7/15/31 | 1,150,000 | 1,142,478 | ñµ | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Ser. 2014-INN, Class E, 3.80%, due 6/15/29 | 1,800,000 | 1,786,669 | ñµ | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Ser. 2015-CSMO, Class D, 3.50%, due 1/15/32 | 7,000,000 | 6,942,883 | ñص | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Ser. 2015-CSMO, Class E, 4.15%, due 1/15/32 | 800,000 | 786,112 | ñص | ||||||||
NorthStar, Ser. 2013-1A, Class B, 5.20%, due 8/25/29 | 500,000 | 505,350 | ñµ |
See Notes to Schedule of Investments
24
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (cont'd)
Principal Amount | Value† | ||||||||||
PFP III Ltd., Ser. 2014-1, Class D, 4.30%, due 6/14/31 | $ | 3,300,000 | $ | 3,295,661 | ñµ | ||||||
PFP Ltd., Ser. 2015-2, Class D, 4.19%, due 7/14/34 | 1,800,000 | 1,800,462 | ñµ | ||||||||
PFP Ltd., Ser. 2015-2, Class E, 4.79%, due 7/14/34 | 1,900,000 | 1,895,372 | ñµ | ||||||||
Resource Capital Corp., Ser. 2015-CRE3, Class D, 4.20%, due 3/15/32 | 2,400,000 | 2,399,993 | ñµ | ||||||||
Wells Fargo Commercial Mortgage Trust, Ser. 2014-TISH, Class WTS2, 3.45%, due 2/15/27 | 1,700,000 | 1,652,470 | ñµ | ||||||||
56,368,771 | |||||||||||
Total Mortgage-Backed Securities (Cost $77,389,998) | 76,971,413 | ||||||||||
Corporate Debt Securities (4.0%) | |||||||||||
Air Freight & Logistics (0.0%) | |||||||||||
UTi Worldwide, Inc., 4.50%, due 3/1/19 | 311,000 | 308,279 | £b | ||||||||
XPO Logistics, Inc., 6.50%, due 6/15/22 | 643,000 | 573,877 | £bñ | ||||||||
882,156 | |||||||||||
Banks (1.1%) | |||||||||||
First National of Colorado Statutory Trust, 1.57%, due 9/15/37 | 5,000,000 | 3,400,000 | N |
Principal Amount | Value† | ||||||||||
First National of Nebraska Statutory Trust, 2.03%, due 3/15/37 | $ | 7,500,000 | $ | 5,287,500 | N | ||||||
Sterling Capital Trust,1.63%, due 10/1/37 | 14,000,000 | 9,870,000 | N | ||||||||
18,557,500 | |||||||||||
Biotechnology (0.0%) | |||||||||||
AMAG Pharmaceuticals, Inc., 7.88%, due 9/1/23 | 664,000 | 619,180 | ñØ | ||||||||
Capital Markets (0.4%) | |||||||||||
Emigrant Capital Trust V, 1.88%, due 7/1/37 | 10,000,000 | 6,200,000 | #µ | ||||||||
Chemicals (0.0%) | |||||||||||
Momentive Performance Materials, Inc., 10.00%, due 10/15/20 | 613,000 | 766 | ≠Ø | ||||||||
Commercial Services & Supplies (0.1%) | |||||||||||
Constellis Holdings LLC, 9.75%, due 5/15/20 | 560,000 | 506,800 | ñØ | ||||||||
Eco-Bat Finance PLC, 7.75%, due 2/15/17 | 864,000 | 931,291 | |||||||||
1,438,091 | |||||||||||
Communications Equipment (0.1%) | |||||||||||
Avaya, Inc., 7.00%, due 4/1/19 | 1,437,000 | 1,167,563 | £bñ | ||||||||
Construction & Engineering (0.0%) | |||||||||||
Michael Baker Holdings LLC, 8.88% Cash/9.63% PIK, due 4/15/19 | 318,630 | 259,683 | c# | ||||||||
Diversified Financial Services (0.1%) | |||||||||||
Corolla Trust, 0.00%, due 8/28/39 | 2,954,000 | 2,112,110 | ñص |
Principal Amount | Value† | ||||||||||
Diversified Telecommunication Services (0.3%) | |||||||||||
FairPoint Communications, Inc., 8.75%, due 8/15/19 | $ | 1,115,000 | $ | 1,148,450 | ñØ | ||||||
Intelsat Jackson Holdings SA, 5.50%, due 8/1/23 | 4,683,000 | 3,886,890 | £b | ||||||||
Intelsat Luxembourg SA, 7.75%, due 6/1/21 | 1,200,000 | 708,000 | Ø | ||||||||
5,743,340 | |||||||||||
Electric Utilities (0.2%) | |||||||||||
Energy Future Intermediate Holding Co. LLC, 11.75%, due 3/1/22 | 2,528,649 | 2,708,816 | ≠ñ | ||||||||
Gas Utilities (0.2%) | |||||||||||
Niska Gas Storage Canada Finance Corp., 6.50%, due 4/1/19 | 3,012,000 | 2,680,680 | Ø | ||||||||
Hotels, Restaurants & Leisure (0.0%) | |||||||||||
Caesars Entertainment Resort Properties LLC, 8.00%, due 10/1/20 | 856,000 | 849,580 | £b | ||||||||
Household Products (0.2%) | |||||||||||
Reynolds Group Issuer, Inc., 7.13%, due 4/15/19 | 550,000 | 559,969 | £b | ||||||||
The Sun Products Corp., 7.75%, due 3/15/21 | 2,407,000 | 2,256,562 | £bñ | ||||||||
2,816,531 | |||||||||||
Insurance (0.5%) | |||||||||||
Ambac Assurance Corp., 5.10%, due 6/7/20 | 2,433,885 | 2,586,002 | ñ£bØ |
See Notes to Schedule of Investments
25
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (cont'd)
Principal Amount | Value† | ||||||||||
Syncora Holdings Ltd., Ser. A, 6.88%, due 9/30/17 | $ | 665,000 | $ | 152,950 | µ | ||||||
TIG FINCO PLC, 8.50%, due 3/2/20 | 140,000 | 225,774 | ص | ||||||||
TIG FINCO PLC, 8.50%, due 3/2/20 | 2,149,500 | 3,466,429 | ñص | ||||||||
Wayne Merger Sub LLC, 8.25%, due 8/1/23 | 1,660,600 | 1,654,373 | £bñ | ||||||||
8,085,528 | |||||||||||
IT Services (0.0%) | |||||||||||
First Data Corp., 7.00%, due 12/1/23 | 379,000 | 386,580 | ñ | ||||||||
Media (0.2%) | |||||||||||
Cenveo Corp., 8.50%, due 9/15/22 | 389,000 | 285,915 | £bñ | ||||||||
DISH DBS Corp., 5.00%, due 3/15/23 | 639,000 | 591,075 | £b | ||||||||
Neptune Finco Corp., 10.13%, due 1/15/23 | 1,000,000 | 1,057,500 | £bñ | ||||||||
Neptune Finco Corp., 6.63%, due 10/15/25 | 200,000 | 210,500 | £bñ | ||||||||
WideOpenWest Finance LLC, 10.25%, due 7/15/19 | 800,000 | 799,000 | £b | ||||||||
2,943,990 | |||||||||||
Metals & Mining (0.1%) | |||||||||||
United States Steel Corp., 2.75%, due 4/1/19 | 1,500,000 | 1,497,188 | £b | ||||||||
Oil, Gas & Consumable Fuels (0.2%) | |||||||||||
Cobalt International Energy, Inc., 3.13%, due 5/15/24 | 2,943,000 | 1,892,717 | Ø |
Principal Amount | Value† | ||||||||||
Midstates Petroleum Co., Inc., 10.00%, due 6/1/20 | $ | 2,506,800 | $ | 1,740,672 | ñ | ||||||
3,633,389 | |||||||||||
Semiconductors & Semiconductor Equipment (0.1%) | |||||||||||
SunEdison, Inc., 2.63%, due 6/1/23 | 2,778,000 | 1,293,506 | £bñ | ||||||||
Specialty Retail (0.1%) | |||||||||||
Petco Holdings, Inc., 8.50% Cash/9.25% PIK, due 10/15/17 | 944,000 | 960,520 | £bcñ | ||||||||
Transportation (0.1%) | |||||||||||
OPE KAG Finance Sub, Inc., 7.88%, due 7/31/23 | 1,323,000 | 1,375,920 | £bñ | ||||||||
Total Corporate Debt Securities (Cost $68,821,121) | 66,212,617 | ||||||||||
Asset-Backed Securities (6.2%) | |||||||||||
Allegro CLO II Ltd., Ser. 2014-1A, Class C, 4.47%, due 1/21/27 | 1,400,000 | 1,326,672 | ñµ | ||||||||
AMMC CLO 16 Ltd., Ser. 2015-16A, Class E, 5.92%, due 4/14/27 | 750,000 | 654,552 | ñµ | ||||||||
AMMC CLO XII Ltd., Ser. 2013-12A, Class D1, 4.06%, due 5/10/25 | 750,000 | 724,077 | ñµ | ||||||||
Ares XXVIII CLO Ltd., Ser. 2013-3A, Class D, 3.82%, due 10/17/24 | 1,100,000 | 1,047,086 | ñµ |
Principal Amount | Value† | ||||||||||
Atlas Senior Loan Fund II Ltd., Ser. 2012-2A, Class D, 4.57%, due 1/30/24 | $ | 2,200,000 | $ | 2,147,810 | ñµ | ||||||
Atlas Senior Loan Fund V Ltd., Ser. 2014-1A, Class C, 3.32%, due 7/16/26 | 900,000 | 866,940 | ñµ | ||||||||
Babson CLO Ltd., Ser. 2013-IA, Class D, 3.82%, due 4/20/25 | 1,450,000 | 1,323,892 | ñµ | ||||||||
Babson CLO Ltd., Ser. 2015-2A, Class E, 5.84%, due 7/20/27 | 550,000 | 479,489 | ñµ | ||||||||
Bear Stearns Asset Backed Securities Trust, Ser. 2007-2, Class A2, 0.52%, due 1/25/47 | 1,170,602 | 1,101,351 | µ | ||||||||
Canyon Capital CLO Ltd., Ser. 2012-1A, Class D, 4.59%, due 1/15/24 | 500,000 | 491,885 | ñµ | ||||||||
Carlyle Global Market Strategies CLO Ltd., Ser. 2014-1A, Class D, 3.77%, due 4/17/25 | 700,000 | 654,213 | ñµ |
See Notes to Schedule of Investments
26
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (cont'd)
Principal Amount | Value† | ||||||||||
Carlyle Global Market Strategies CLO Ltd., Ser. 2014-2A, Class D, 3.82%, due 5/15/25 | $ | 1,400,000 | $ | 1,318,249 | ñµ | ||||||
Carlyle Global Market Strategies CLO Ltd., Ser. 2015-2A, Class D, 5.57%, due 4/27/27 | 1,100,000 | 956,283 | ñµ | ||||||||
Catamaran CLO Ltd., Ser. 2015-1A, Class D, 3.97%, due 4/22/27 | 600,000 | 550,139 | ñµ | ||||||||
Catamaran CLO Ltd., Ser. 2015-1A, Class E, 5.47%, due 4/22/27 | 800,000 | 652,833 | ñµ | ||||||||
Cedar Funding III CLO Ltd., Ser. 2014-3A, Class E, 5.23%, due 5/20/26 | 1,200,000 | 984,887 | ñµ | ||||||||
CIFC Funding Ltd., Ser. 2006-1BA, Class B2L, 4.32%, due 12/22/20 | 1,900,000 | 1,904,333 | ñµ | ||||||||
CIFC Funding Ltd., Ser. 2013-2A, Class A3L, 2.97%, due 4/21/25 | 800,000 | 778,848 | ñµ | ||||||||
ColumbusNova CLO IV Ltd., Ser. 2007-2A, Class D, 4.82%, due 10/15/21 | 900,000 | 895,400 | ñµ |
Principal Amount | Value† | ||||||||||
Country- wide Asset-Backed Certificates, Ser. 2005-7, Class AF4, 4.87%, due 10/25/35 | $ | 403,315 | $ | 412,785 | µ | ||||||
Cumberland Park CLO Ltd., Ser. 2015-2A, Class E, 5.27%, due 7/20/26 | 550,000 | 460,645 | ñµ | ||||||||
Drive Auto Receivables Trust, Ser. 2015-AA, Class D, 4.12%, due 7/15/22 | 1,000,000 | 996,494 | ñ | ||||||||
Drive Auto Receivables Trust, Ser. 2015-DA, Class C, 3.38%, due 11/15/21 | 3,600,000 | 3,604,505 | ñ | ||||||||
DT Auto Owner Trust, Ser. 2015-1A, Class D, 4.26%, due 2/15/22 | 1,500,000 | 1,507,914 | ñ | ||||||||
Exeter Automobile Receivables Trust, Ser. 2013-1A, Class C, 3.52%, due 2/15/19 | 1,800,000 | 1,811,489 | ñ | ||||||||
Exeter Automobile Receivables Trust, Ser. 2013-2A, Class D, 6.81%, due 8/17/20 | 1,800,000 | 1,859,854 | ñ | ||||||||
Exeter Automobile Receivables Trust, Ser. 2014-1A, Class D, 5.53%, due 2/16/21 | 3,000,000 | 3,019,493 | ñ |
Principal Amount | Value† | ||||||||||
Exeter Automobile Receivables Trust, Ser. 2014-2A, Class D, 4.93%, due 12/15/20 | $ | 2,700,000 | $ | 2,690,309 | ñ | ||||||
Exeter Automobile Receivables Trust, Ser. 2014-3A, Class C, 4.17%, due 6/15/20 | 300,000 | 303,734 | ñ | ||||||||
Exeter Automobile Receivables Trust, Ser. 2014-3A, Class D, 5.69%, due 4/15/21 | 2,200,000 | 2,205,602 | ñ | ||||||||
Exeter Automobile Receivables Trust, Ser. 2015-3A, Class C, 4.83%, due 8/16/21 | 1,000,000 | 994,378 | ñ | ||||||||
Flagship Credit Auto Trust, Ser. 2015-2, Class C, 4.08%, due 12/15/21 | 1,400,000 | 1,396,960 | ñ | ||||||||
Gale Force 4 CLO Ltd., Ser. 2007-4A, Class E, 6.73%, due 8/20/21 | 1,300,000 | 1,285,495 | ñµ | ||||||||
Golub Capital Partners CLO 22B Ltd., Ser. 2015-22A, Class C, 4.42%, due 2/20/27 | 900,000 | 868,922 | ñµ |
See Notes to Schedule of Investments
27
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (cont'd)
Principal Amount | Value† | ||||||||||
Golub Capital Partners CLO Ltd., Ser. 2011-10AR, Class DR, 4.17%, due 10/20/21 | $ | 750,000 | $ | 737,816 | ñµ | ||||||
Halcyon Loan Advisors Funding Ltd., Ser. 2012-2A, Class E, 5.75%, due 12/20/24 | 300,000 | 236,084 | ñµ | ||||||||
Invitation Homes Trust, Ser. 2015-SFR3, Class E, 3.95%, due 8/17/32 | 4,250,000 | 4,151,521 | ñص | ||||||||
Jamestown CLO VII Ltd., Ser. 2015-7A, Class C, 4.03%, due 7/25/27 | 400,000 | 363,602 | ñµ | ||||||||
JP Morgan Mortgage Acquisition Trust, Ser. 2007-CH1, Class AF3, 4.57%, due 11/25/36 | 505,187 | 512,137 | aØ | ||||||||
JP Morgan Mortgage Acquisition Trust, Ser. 2007-CH1, Class AF6, 4.57%, due 11/25/36 | 561,463 | 564,525 | a | ||||||||
Kingsland VI Ltd., Ser. 2013-6A, Class D, 3.94%, due 10/28/24 | 3,000,000 | 2,870,013 | ñµ | ||||||||
KKR CLO Trust, Ser. 2012-1A, Class C, 4.79%, due 12/15/24 | 600,000 | 608,914 | ñµ | ||||||||
LCM XI LP, Ser. 11A, Class D2, 4.27%, due 4/19/22 | 2,600,000 | 2,538,255 | ñµ |
Principal Amount | Value† | ||||||||||
Madison Park Funding XVI Ltd., Ser. 2015-16A, Class C, 4.00%, due 4/20/26 | $ | 450,000 | $ | 425,079 | ñµ | ||||||
Magnetite XV Ltd., Ser. 2015-15A, Class D, 4.32%, due 10/25/27 | 750,000 | 712,035 | fñµ | ||||||||
Magnetite XV Ltd., Ser. 2015-15A, Class E, 6.77%, due 10/25/27 | 700,000 | 642,971 | fñµ | ||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Ser. 2006-HE3, Class A2C, 0.36%, due 4/25/36 | 1,174,928 | 1,156,259 | ص | ||||||||
Morgan Stanley ABS Capital I, Inc. Trust, Ser. 2006-NC4, Class A2C, 0.35%, due 6/25/36 | 1,395,630 | 1,251,138 | ص | ||||||||
Nationstar Home Equity Loan Trust, Ser. 2007-C, Class 2AV2, 0.33%, due 6/25/37 | 466,793 | 452,474 | µ | ||||||||
Nelder Grove CLO Ltd., Ser. 2014-1A, Class D1, 4.85%, due 8/28/26 | 1,400,000 | 1,382,150 | ñµ | ||||||||
Ocean Trails CLO IV, Ser. 2013-4A, Class D, 4.31%, due 8/13/25 | 400,000 | 389,389 | ñµ |
Principal Amount | Value† | ||||||||||
Ocean Trails CLO V, Ser. 2014-5A, Class D, 4.25%, due 10/13/26 | $ | 2,050,000 | $ | 1,973,298 | ñص | ||||||
Ocean Trails CLO V, Ser. 2014-5A, Class E, 5.64%, due 10/13/26 | 400,000 | 337,093 | ñµ | ||||||||
Octagon Investment Partners XII Ltd., Ser. 2012-1A, Class DR, 4.08%, due 5/5/23 | 2,300,000 | 2,252,994 | ñµ | ||||||||
Octagon Investment Partners XIV Ltd., Ser. 2012-1A, Class C, 4.32%, due 1/15/24 | 400,000 | 389,233 | ñµ | ||||||||
Octagon Investment Partners XVII Ltd., Ser. 2013-1A, Class E, 4.80%, due 10/25/25 | 600,000 | 493,171 | ñµ | ||||||||
Octagon Investment Partners XX Ltd., Ser. 2014-1A, Class E, 5.56%, due 8/12/26 | 250,000 | 207,292 | ñµ | ||||||||
Octagon Investment Partners XXII Ltd., Ser. 2014-1A, Class E1, 5.57%, due 11/22/25 | 600,000 | 519,499 | ñµ | ||||||||
OZLM Funding IV Ltd., Ser. 2013-4A, Class C, 3.52%, due 7/22/25 | 1,200,000 | 1,101,400 | ñµ |
See Notes to Schedule of Investments
28
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (cont'd)
Principal Amount | Value† | ||||||||||
OZLM Funding IV Ltd., Ser. 2013-4A, Class D, 4.97%, due 7/22/25 | $ | 700,000 | $ | 584,699 | ñµ | ||||||
OZLM Funding V Ltd., Ser. 2013-5A, Class D, 5.07%, due 1/17/26 | 1,650,000 | 1,443,782 | ñص | ||||||||
OZLM VII Ltd., Ser. 2014-7A, Class C, 3.92%, due 7/17/26 | 3,200,000 | 3,024,669 | ñص | ||||||||
OZLM XI Ltd., Ser. 2015-11A, Class D, 5.70%, due 1/30/27 | 1,200,000 | 1,042,074 | ñµ | ||||||||
OZLM XII Ltd., Ser. 2015-12A, Class SUB, due 4/30/27 | 1,000,000 | 737,385 | ñ | ||||||||
Pinnacle Park CLO Ltd., Ser. 2014-1A, Class C, 3.42%, due 4/15/26 | 600,000 | 592,521 | ñµ | ||||||||
Sound Point CLO I Ltd., Ser. 2012-1A, Class D, 4.90%, due 10/20/23 | 3,000,000 | 2,935,123 | ñµ | ||||||||
Sound Point CLO I Ltd., Ser. 2012-1A, Class E, 6.32%, due 10/20/23 | 300,000 | 297,557 | ñµ | ||||||||
Sound Point CLO IX Ltd., Ser. 2015-2A, Class D, 4.02%, due 7/20/27 | 1,600,000 | 1,442,693 | ñµ |
Principal Amount | Value† | ||||||||||
Sound Point CLO IX Ltd., Ser. 2015-2A, Class E, 5.97%, due 7/20/27 | $ | 1,000,000 | $ | 854,534 | ñµ | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust, Ser. 2005-4XS, Class 1A3, 5.00%, due 3/25/35 | 149,802 | 150,365 | a | ||||||||
Symphony CLO IX LP, Ser. 2012-9A, Class E, 5.32%, due 4/16/22 | 1,000,000 | 957,398 | ñµ | ||||||||
Symphony CLO XI Ltd., Ser. 2013-11A, Class D, 4.32%, due 1/17/25 | 1,700,000 | 1,655,232 | ñµ | ||||||||
Symphony CLO XII Ltd., Ser. 2013-12A, Class D, 3.82%, due 10/15/25 | 750,000 | 713,390 | ñµ | ||||||||
Symphony CLO XVI Ltd., Ser. 2015-16A, Class D, 3.93%, due 7/15/28 | 1,300,000 | 1,218,281 | ñµ | ||||||||
Venture IX CDO Ltd., Ser. 2007-9A, Class D, 4.47%, due 10/12/21 | 2,500,000 | 2,468,354 | ñص | ||||||||
Venture X CLO Ltd., Ser. 2012-10A, Class D, 4.52%, due 7/20/22 | 500,000 | 488,755 | ñµ | ||||||||
Venture XIV CLO Ltd., Ser. 2013-14A, Class D, 4.08%, due 8/28/25 | 2,400,000 | 2,209,437 | ñµ |
Principal Amount | Value† | ||||||||||
Venture XIX CLO Ltd., Ser. 2014-19A, Class D, 4.32%, due 1/15/27 | $ | 2,500,000 | $ | 2,336,075 | ñµ | ||||||
VOLT XXXVI LLC, Ser. 2015-NP10, Class A1, 3.63%, due 7/25/45 | 4,035,512 | 4,015,301 | añØ | ||||||||
VOLT XXXVIII LLC, Ser. 2015-NP12, Class A1, 3.88%, due 9/25/45 | 4,238,730 | 4,230,844 | añ | ||||||||
Voya CLO Ltd., Ser. 2013-2A, Class D, 5.30%, due 4/25/25 | 450,000 | 384,132 | ñµ | ||||||||
Voya CLO Ltd., Ser. 2014-3A, Class SUB, 0.00%, due 7/25/26 | 2,000,000 | 1,167,437 | ñµ | ||||||||
Total Asset-Backed Securities (Cost $105,934,126) | 103,495,898 | ||||||||||
Municipal Notes (0.1%) | |||||||||||
Puerto Rico (0.1%) | |||||||||||
Puerto Rico Commonwealth GO Bonds, Ser. A, 8.00%, due 7/1/35 (Cost $2,620,469) | 2,875,000 | 2,087,969 | Ø | ||||||||
Number of Contracts | |||||||||||
Purchased Options (0.6%) | |||||||||||
Call Options (0.1%) | |||||||||||
Boardwalk Pipeline Partners LP, Dec 2015 @ 14 | 145 | 2,900 | |||||||||
Boardwalk Pipeline Partners LP, Jan 2016 @ 14 | 206 | 5,150 | |||||||||
Cheniere Energy Partners LP, Mar 2016 @ 28 | 64 | 11,072 |
See Notes to Schedule of Investments
29
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (cont'd)
Number of Contracts | Value† | ||||||||||
Cheniere Energy Partners LP Holdings LLC, Jan 2016 @ 22.5 | 13 | $ | 130 | f | |||||||
Columbia Pipeline Partners LP, Jan 2016 @ 22.5 | 13 | — | f | ||||||||
Crestwood Equity Partners LP, Jan 2016 @ 5 | 257 | — | f | ||||||||
Crestwood Equity Partners LP, Apr 2016 @ 2.5 | 257 | 12,850 | |||||||||
DCP Midstream Partners LP, Jan 2016 @ 30 | 77 | 9,625 | |||||||||
GasLog Ltd., Feb 2016 @ 15 | 206 | 2,060 | |||||||||
Macy's, Inc., Feb 2016 @ 65 | 624 | 49,920 | |||||||||
Maxim Integrated Products, Inc., Nov 2015 @ 41 | 117 | 25,740 | |||||||||
Monsanto Co., Jan 2017 @ 135 | 300 | 18,900 | |||||||||
NRG Yield, Inc., Nov 2015 @ 22.5 | 73 | — | f | ||||||||
Pattern Energy Group, Inc., Mar 2016 @ 22.5 | 8 | 360 | |||||||||
Pfizer, Inc., Mar 2016 @ 34 | 1,291 | 213,015 | |||||||||
Plains GP Holdings LP, Feb 2016 @ 20 | 154 | 3,080 | |||||||||
Plains GP Holdings LP, Feb 2016 @ 21 | 26 | 260 | |||||||||
SanDisk Corp., Jan 2016 @ 62.5 | 195 | 284,700 | |||||||||
Starwood Hotels & Resorts Worldwide, Inc., Nov 2015 @ 87.5 | 616 | 43,120 | |||||||||
SunEdison, Inc., Jan 2016 @ 20 | 1,232 | 4,928 |
Number of Contracts | Value† | ||||||||||
Time Warner, Inc., Jan 2016 @ 77.5 | 559 | $ | 147,017 | ||||||||
834,827 | |||||||||||
Put Options (0.5%) | |||||||||||
Allergan PLC, Nov 2015 @ 300 | 24 | 23,040 | |||||||||
Altera Corp., Jan 2016 @ 45 | 399 | 21,945 | |||||||||
Atmel Corp., Nov 2015 @ 9 | 799 | 103,870 | |||||||||
Brookdale Senior Living, Inc., Nov 2015 @ 22.5 | 745 | 167,625 | |||||||||
Cigna Corp., Jan 2017 @ 130 | 295 | 392,350 | |||||||||
Cumulus Media, Inc., Dec 2015 @ 2.5 | 1,316 | 250,040 | |||||||||
DISH Network Corp., Jan 2016 @ 57.5 | 150 | 26,250 | |||||||||
EURO STOXX 50 Index, Nov 2015 @ 3100 | 325 | 16,082 | |||||||||
General Electric Co., Nov 2015 @ 35 | 2,322 | 1,388,556 | |||||||||
Humana, Inc., Jan 2016 @ 185 | 99 | 122,760 | |||||||||
iShares Russell 2000 ETF, Dec 2015 @ 112 | 2,783 | 528,770 | |||||||||
iShares Russell 2000 ETF, Dec 2015 @ 108 | 1,944 | 262,440 | |||||||||
Magnachip Semiconductor Corp., Jun 2016 @ 5 | 235 | 35,250 | |||||||||
MGM Resorts International, Jan 2016 @ 18 | 698 | 18,846 | |||||||||
Micron Technology, Inc., Jan 2016 @ 14 | 502 | 29,116 |
Number of Contracts | Value† | ||||||||||
Micron Technology, Inc., Jan 2016 @ 19 | 493 | $ | 162,690 | ||||||||
Mylan NV, Jan 2016 @ 42 | 392 | 111,720 | |||||||||
Office Depot, Inc., Jan 2016 @ 7 | 1,500 | 97,500 | |||||||||
Perrigo Co. PLC, Dec 2015 @ 145 | 60 | 33,000 | |||||||||
S&P 500 Index, Mar 2016 @ 1975 | 350 | 1,746,500 | |||||||||
S&P 500 Index, Mar 2016 @ 1900 | 600 | 2,286,000 | |||||||||
SPDR S&P 500 ETF Trust, Nov 2015 @ 200 | 174 | 13,572 | |||||||||
SPDR S&P 500 ETF Trust, Dec 2015 @ 185 | 3,341 | 314,054 | |||||||||
SPDR S&P 500 ETF Trust, Dec 2015 @ 195 | 2,661 | 494,946 | |||||||||
United Continental Holdings, Inc., Dec 2015 @ 55 | 320 | 34,880 | |||||||||
Yahoo!, Inc., Jan 2016 @ 33 | 740 | 85,100 | |||||||||
8,766,902 | |||||||||||
Total Purchased Options (Cost $18,691,689) | 9,601,729 | ||||||||||
Number of Shares | |||||||||||
Short-Term Investments (15.7%) | |||||||||||
Morgan Stanley Institutional Liquidity Fund Treasury Portfolio Institutional Class, 0.01% (Cost $259,368,124) | 259,368,124 | 259,368,124 | ز | ||||||||
Total Long Positions (94.5%) (Cost $1,629,985,282) | 1,567,804,693 | ## | |||||||||
Cash, receivables and other assets, less liabilities (33.5%) | 554,736,086 | ±†††Ø |
See Notes to Schedule of Investments
30
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (cont'd)
Number of Shares | Value† | ||||||||||
Short Positions (see summary below) ((28.0)%) | $ | (464,205,861 | ) | ||||||||
Total Net Assets (100.0%) | $ | 1,658,334,918 | |||||||||
Short Positions ((28.0)%)£ØØ | |||||||||||
Common Stocks Sold Short (18.0%) | |||||||||||
Air Freight & Logistics (0.3%) | |||||||||||
Expeditors International of Washington, Inc. | (49,072 | ) | (2,443,295 | ) | |||||||
FedEx Corp. | (5,400 | ) | (842,670 | ) | |||||||
Royal Mail PLC | (320,000 | ) | (2,196,718 | ) | |||||||
(5,482,683 | ) | ||||||||||
Airlines (0.2%) | |||||||||||
American Airlines Group, Inc. | (4,455 | ) | (205,910 | ) | |||||||
Deutsche Lufthansa AG | (246,996 | ) | (3,647,711 | )* | |||||||
(3,853,621 | ) | ||||||||||
Automobiles (0.4%) | |||||||||||
Nissan Motor Co. Ltd. | (206,300 | ) | (2,138,552 | ) | |||||||
Tata Motors Ltd. ADR | (85,500 | ) | (2,528,235 | )* | |||||||
Toyota Motor Corp. | (30,500 | ) | (1,868,565 | ) | |||||||
(6,535,352 | ) | ||||||||||
Banks (0.8%) | |||||||||||
BB&T Corp. | (3,396 | ) | (126,161 | ) | |||||||
Canadian Western Bank | (63,000 | ) | (1,210,760 | ) | |||||||
Commonwealth Bank of Australia | (15,088 | ) | (819,248 | ) | |||||||
DNB ASA | (80,079 | ) | (1,019,749 | ) | |||||||
M&T Bank Corp. | (14,442 | ) | (1,730,874 | ) | |||||||
National Australia Bank Ltd. | (36,385 | ) | (776,989 | ) | |||||||
National Bank of Canada | (26,200 | ) | (867,790 | ) |
Number of Shares | Value† | ||||||||||
Royal Bank of Canada | (36,568 | ) | $ | (2,078,160 | ) | ||||||
Standard Bank Group Ltd. | (113,795 | ) | (1,183,504 | ) | |||||||
The PNC Financial Services Group, Inc. | (29,850 | ) | (2,694,261 | ) | |||||||
UniCredit SpA | (101,934 | ) | (659,099 | ) | |||||||
(13,166,595 | ) | ||||||||||
Beverages (0.1%) | |||||||||||
The Boston Beer Co., Inc. Class A | (6,026 | ) | (1,323,249 | )* | |||||||
Biotechnology (0.3%) | |||||||||||
Amgen, Inc. | (7,721 | ) | (1,221,308 | ) | |||||||
Gilead Sciences, Inc. | (10,509 | ) | (1,136,338 | ) | |||||||
Intrexon Corp. | (17,488 | ) | (587,597 | )* | |||||||
Kite Pharma, Inc. | (9,813 | ) | (667,774 | )* | |||||||
Regeneron Pharmaceuticals, Inc. | (1,320 | ) | (735,755 | )* | |||||||
Sarepta Therapeutics, Inc. | (27,717 | ) | (666,871 | )* | |||||||
(5,015,643 | ) | ||||||||||
Capital Markets (0.1%) | |||||||||||
Eaton Vance Corp. | (32,140 | ) | (1,160,575 | ) | |||||||
Chemicals (0.6%) | |||||||||||
Kaneka Corp. | (178,000 | ) | (1,578,372 | ) | |||||||
Kuraray Co. Ltd. | (19,700 | ) | (242,977 | ) | |||||||
Novozymes A/S Class B | (18,313 | ) | (849,180 | ) | |||||||
Praxair, Inc. | (24,150 | ) | (2,682,824 | ) | |||||||
Syngenta AG ADR | (27,100 | ) | (1,823,559 | ) | |||||||
The Valspar Corp. | (17,200 | ) | (1,392,340 | ) | |||||||
Tronox Ltd. Class A | (169,254 | ) | (1,051,067 | ) | |||||||
(9,620,319 | ) |
Number of Shares | Value† | ||||||||||
Commercial Services & Supplies (0.2%) | |||||||||||
MSA Safety, Inc. | (40,716 | ) | $ | (1,770,331 | ) | ||||||
Stericycle, Inc. | (8,537 | ) | (1,036,136 | )* | |||||||
(2,806,467 | ) | ||||||||||
Communications Equipment (0.2%) | |||||||||||
Motorola Solutions, Inc. | (26,300 | ) | (1,840,211 | ) | |||||||
NETGEAR, Inc. | (15,515 | ) | (642,321 | )* | |||||||
Nokia OYJ ADR | (59,950 | ) | (444,829 | ) | |||||||
Palo Alto Networks, Inc. | (5,700 | ) | (917,700 | )* | |||||||
(3,845,061 | ) | ||||||||||
Containers & Packaging (0.2%) | |||||||||||
Silgan Holdings, Inc. | (28,700 | ) | (1,459,969 | ) | |||||||
WestRock Co. | (33,350 | ) | (1,792,896 | ) | |||||||
(3,252,865 | ) | ||||||||||
Diversified Financial Services (0.1%) | |||||||||||
FirstRand Ltd. | (306,725 | ) | (1,125,700 | ) | |||||||
Electric Utilities (0.1%) | |||||||||||
Duke Energy Corp. | (8,564 | ) | (612,069 | ) | |||||||
NextEra Energy, Inc. | (7,239 | ) | (743,156 | ) | |||||||
The Southern Co. | (4,736 | ) | (213,593 | ) | |||||||
(1,568,818 | ) | ||||||||||
Electrical Equipment (0.1%) | |||||||||||
Sensata Technologies Holding NV | (40,400 | ) | (1,942,836 | )* | |||||||
Electronic Equipment, Instruments & Components (0.2%) | |||||||||||
Hirose Electric Co. Ltd. | (3,100 | ) | (375,211 | ) | |||||||
Ibiden Co. Ltd. | (36,200 | ) | (498,805 | ) | |||||||
Japan Display, Inc. | (301,100 | ) | (945,944 | )* | |||||||
Kyocera Corp. | (4,700 | ) | (212,603 | ) | |||||||
Ryosan Co. Ltd. | (9,200 | ) | (222,639 | ) |
See Notes to Schedule of Investments
31
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (cont'd)
Number of Shares | Value† | ||||||||||
Taiyo Yuden Co. Ltd. | (52,800 | ) | $ | (743,482 | ) | ||||||
Yaskawa Electric Corp. | (37,000 | ) | (438,891 | ) | |||||||
(3,437,575 | ) | ||||||||||
Energy Equipment & Services (0.3%) | |||||||||||
Calfrac Well Services Ltd. | (244,300 | ) | (431,579 | ) | |||||||
Halliburton Co. | (13,440 | ) | (515,827 | ) | |||||||
Schlumberger Ltd. | (60,214 | ) | (4,706,327 | ) | |||||||
(5,653,733 | ) | ||||||||||
Food & Staples Retailing (0.4%) | |||||||||||
CVS Health Corp. | (21,240 | ) | (2,098,087 | ) | |||||||
Sysco Corp. | (73,123 | ) | (3,016,324 | ) | |||||||
Walgreens Boots Alliance, Inc. | (12,607 | ) | (1,067,561 | ) | |||||||
Wal-Mart Stores, Inc. | (11,685 | ) | (668,849 | ) | |||||||
(6,850,821 | ) | ||||||||||
Food Products (0.6%) | |||||||||||
B&G Foods, Inc. | (30,160 | ) | (1,094,506 | ) | |||||||
Campbell Soup Co. | (34,500 | ) | (1,752,255 | ) | |||||||
Ezaki Glico Co. Ltd. | (15,200 | ) | (725,986 | ) | |||||||
House Foods Group, Inc. | (31,600 | ) | (545,974 | ) | |||||||
Kewpie Corp. | (33,500 | ) | (765,169 | ) | |||||||
Kikkoman Corp. | (21,000 | ) | (657,748 | ) | |||||||
MEIJI Holdings Co. Ltd. | (11,200 | ) | (882,557 | ) | |||||||
Mondelez International, Inc. Class A | (24,348 | ) | (1,123,904 | ) | |||||||
Nestle SA | (24,530 | ) | (1,876,137 | ) | |||||||
Yakult Honsha Co. Ltd. | (9,800 | ) | (518,828 | ) | |||||||
(9,943,064 | ) | ||||||||||
Gas Utilities (0.0%) | |||||||||||
Piedmont Natural Gas Co., Inc. | (8,041 | ) | (460,830 | ) |
Number of Shares | Value† | ||||||||||
Health Care Equipment & Supplies (1.0%) | |||||||||||
Coloplast A/S Class B | (48,723 | ) | $ | (3,495,634 | ) | ||||||
CR Bard, Inc. | (5,255 | ) | (979,269 | ) | |||||||
DENTSPLY International, Inc. | (10,692 | ) | (650,608 | ) | |||||||
Getinge AB Class B | (33,033 | ) | (827,029 | ) | |||||||
LivaNova PLC | (43,900 | ) | (2,909,692 | )* | |||||||
Medtronic PLC | (18,739 | ) | (1,385,187 | ) | |||||||
Sirona Dental Systems, Inc. | (15,223 | ) | (1,661,286 | )* | |||||||
St. Jude Medical, Inc. | (13,137 | ) | (838,272 | ) | |||||||
Stryker Corp. | (13,720 | ) | (1,311,906 | ) | |||||||
Sysmex Corp. | (25,500 | ) | (1,457,549 | ) | |||||||
Varian Medical Systems, Inc. | (6,599 | ) | (518,220 | )* | |||||||
(16,034,652 | ) | ||||||||||
Health Care Providers & Services (0.8%) | |||||||||||
Amerisource Bergen Corp. | (34,847 | ) | (3,363,084 | ) | |||||||
Anthem, Inc. | (11,035 | ) | (1,535,520 | ) | |||||||
Cardinal Health, Inc. | (10,755 | ) | (884,061 | ) | |||||||
Centene Corp. | (14,759 | ) | (877,865 | )* | |||||||
HCA Holdings, Inc. | (15,496 | ) | (1,065,970 | )* | |||||||
Henry Schein, Inc. | (8,309 | ) | (1,260,558 | )* | |||||||
McKesson Corp. | (5,893 | ) | (1,053,669 | ) | |||||||
Patterson Cos., Inc. | (27,076 | ) | (1,283,402 | ) | |||||||
UnitedHealth Group, Inc. | (6,699 | ) | (789,008 | ) | |||||||
VCA, Inc. | (15,763 | ) | (863,340 | )* | |||||||
(12,976,477 | ) | ||||||||||
Hotels, Restaurants & Leisure (0.2%) | |||||||||||
Cracker Barrel Old Country Store, Inc. | (12,188 | ) | (1,675,362 | ) | |||||||
Jack in the Box, Inc. | (4,750 | ) | (354,018 | ) | |||||||
Sonic Corp. | (68,100 | ) | (1,943,574 | ) | |||||||
(3,972,954 | ) | ||||||||||
Household Durables (0.3%) | |||||||||||
DR Horton, Inc. | (62,050 | ) | (1,826,752 | ) |
Number of Shares | Value† | ||||||||||
Lennar Corp. Class A | (53,608 | ) | $ | (2,684,153 | ) | ||||||
(4,510,905 | ) | ||||||||||
Independent Power & Renewable Electricity Producers (0.0%) | |||||||||||
NRG Yield, Inc. Class C | (32,574 | ) | (470,369 | ) | |||||||
Industrial Conglomerates (0.1%) | |||||||||||
Danaher Corp. | (16,178 | ) | (1,509,569 | ) | |||||||
Insurance (0.9%) | |||||||||||
ACE Ltd. | (33,371 | ) | (3,788,943 | ) | |||||||
Hannover Rueck SE | (10,813 | ) | (1,250,882 | ) | |||||||
Insurance Australia Group Ltd. | (219,040 | ) | (870,653 | ) | |||||||
Primerica, Inc. | (127,338 | ) | (6,065,109 | ) | |||||||
The Progressive Corp. | (46,100 | ) | (1,527,293 | ) | |||||||
The Travelers Cos., Inc. | (14,609 | ) | (1,649,210 | ) | |||||||
(15,152,090 | ) | ||||||||||
Internet & Catalog Retail (0.2%) | |||||||||||
Expedia, Inc. | (19,111) | (2,604,829 | ) | ||||||||
Internet Software & Services (0.6%) | |||||||||||
Alibaba Group Holding Ltd. ADR | (117,276 | ) | (9,831,247 | )* | |||||||
Envestnet, Inc. | (5,850 | ) | (174,681 | )* | |||||||
(10,005,928 | ) | ||||||||||
IT Services (0.1%) | |||||||||||
International Business Machines Corp. | (12,900 | ) | (1,807,032 | ) | |||||||
iPayment Holdings, Inc. | (27,027 | ) | (121,622 | )*N | |||||||
(1,928,654 | ) | ||||||||||
Life Sciences Tools & Services (0.2%) | |||||||||||
Illumina, Inc. | (5,834 | ) | (835,896 | )* |
See Notes to Schedule of Investments
32
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (cont'd)
Number of Shares | Value† | ||||||||||
Quintiles Transnational Holdings, Inc. | (18,041 | ) | $ | (1,148,310 | )* | ||||||
Thermo Fisher Scientific, Inc. | (8,731 | ) | (1,141,840 | ) | |||||||
Waters Corp. | (6,638 | ) | (848,336 | )* | |||||||
(3,974,382 | ) | ||||||||||
Machinery (1.0%) | |||||||||||
Cummins, Inc. | (15,975 | ) | (1,653,572 | ) | |||||||
Deere & Co. | (32,600 | ) | (2,542,800 | ) | |||||||
Dover Corp. | (34,792 | ) | (2,241,649 | ) | |||||||
Hitachi Construction Machinery Co. Ltd. | (74,100 | ) | (1,147,575 | ) | |||||||
Lincoln Electric Holdings, Inc. | (26,017 | ) | (1,556,077 | ) | |||||||
Parker- Hannifin Corp. | (16,700 | ) | (1,748,490 | ) | |||||||
Pentair PLC | (48,206 | ) | (2,695,679 | ) | |||||||
Tennant Co. | (23,215 | ) | (1,344,613 | ) | |||||||
Wabtec Corp. | (11,263 | ) | (933,365 | ) | |||||||
(15,863,820 | ) | ||||||||||
Marine (0.0%) | |||||||||||
Mitsui OSK Lines Ltd. | (198,000 | ) | (528,742 | ) | |||||||
Media (1.0%) | |||||||||||
Cablevision Systems Corp. Class A | (8,024 | ) | (261,502 | ) | |||||||
Charter Communications, Inc. Class A | (37,212 | ) | (7,105,259 | )* | |||||||
John Wiley & Sons, Inc. Class A | (26,500 | ) | (1,386,745 | ) | |||||||
Lions Gate Entertainment Corp. | (2,073 | ) | (80,785 | ) | |||||||
New Media Investment Group, Inc. | (46,520 | ) | (748,972 | ) |
Number of Shares | Value† | ||||||||||
Omnicom Group, Inc. | (32,350 | ) | $ | (2,423,662 | ) | ||||||
TEGNA, Inc. | (52,000 | ) | (1,406,080 | ) | |||||||
Viacom, Inc. Class B | (55,751 | ) | (2,749,082 | ) | |||||||
(16,162,087 | ) | ||||||||||
Metals & Mining (0.0%) | |||||||||||
United States Steel Corp. | (42,862 | ) | (500,628 | ) | |||||||
Multiline Retail (0.3%) | |||||||||||
JC Penney Co., Inc. | (500,613 | ) | (4,590,621 | )* | |||||||
Multi-Utilities (0.1%) | |||||||||||
Consolidated Edison, Inc. | (24,436 | ) | (1,606,667 | ) | |||||||
Oil, Gas & Consumable Fuels (0.4%) | |||||||||||
Cobalt International Energy, Inc. | (76,506 | ) | (586,801 | )* | |||||||
ONEOK, Inc. | (4,783 | ) | (162,239 | ) | |||||||
Range Resources Corp. | (90,400 | ) | (2,751,776 | ) | |||||||
Royal Dutch Shell PLC Class B ADR | (53,853 | ) | (2,837,515 | ) | |||||||
Targa Resources Corp. | (5,183 | ) | (296,208 | ) | |||||||
Tesoro Corp. | (1,860 | ) | (198,890 | ) | |||||||
Western Refining, Inc. | (5,666 | ) | (235,819 | ) | |||||||
(7,069,248 | ) | ||||||||||
Paper & Forest Products (0.1%) | |||||||||||
Domtar Corp. | (47,100 | ) | (1,942,404 | ) | |||||||
Personal Products (0.3%) | |||||||||||
Coty, Inc. Class A | (66,700 | ) | (1,930,965 | ) | |||||||
The Estee Lauder Cos., Inc. Class A | (28,726 | ) | (2,311,294 | ) | |||||||
(4,242,259 | ) | ||||||||||
Pharmaceuticals (0.7%) | |||||||||||
Eisai Co. Ltd. | (19,600 | ) | (1,225,972 | ) |
Number of Shares | Value† | ||||||||||
Horizon Pharma PLC | (47,277 | ) | $ | (743,194 | )* | ||||||
Johnson & Johnson | (14,128 | ) | (1,427,352 | ) | |||||||
Mallinckrodt PLC | (14,446 | ) | (948,669 | )* | |||||||
Merck & Co., Inc. | (24,958 | ) | (1,364,204 | ) | |||||||
Novartis AG ADR | (15,883 | ) | (1,436,300 | ) | |||||||
Ono Pharmaceutical Co. Ltd. | (12,700 | ) | (1,739,834 | ) | |||||||
Sanofi ADR | (17,072 | ) | (859,404 | ) | |||||||
Shionogi & Co. Ltd. | (40,700 | ) | (1,669,373 | ) | |||||||
Valeant Pharmaceuticals International, Inc. | (8,142 | ) | (763,475 | )* | |||||||
(12,177,777 | ) | ||||||||||
Professional Services (0.0%) | |||||||||||
Nielsen Holdings PLC | (10,704 | ) | (508,547 | ) | |||||||
Real Estate Investment Trusts (0.8%) | |||||||||||
Digital Realty Trust, Inc. | (23,797 | ) | (1,760,026 | ) | |||||||
Duke Realty Corp. | (54,687 | ) | (1,132,021 | ) | |||||||
Federal Realty Investment Trust | (4,034 | ) | (578,839 | ) | |||||||
Gaming and Leisure Properties, Inc. | (16,816 | ) | (490,523 | ) | |||||||
Mack-Cali Realty Corp. | (77,053 | ) | (1,676,673 | ) | |||||||
Pennsylvania Real Estate Investment Trust | (130,800 | ) | (2,940,384 | ) | |||||||
Regency Centers Corp. | (24,493 | ) | (1,664,544 | ) | |||||||
SL Green Realty Corp. | (9,122 | ) | (1,082,052 | ) | |||||||
Sun Communities, Inc. | (15,988 | ) | (1,071,516 | ) |
See Notes to Schedule of Investments
33
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (cont'd)
Number of Shares | Value† | ||||||||||
Tanger Factory Outlet Centers, Inc. | (28,731 | ) | $ | (1,004,148 | ) | ||||||
(13,400,726 | ) | ||||||||||
Real Estate Management & Development (0.1%) | |||||||||||
The Howard Hughes Corp. | (13,500 | ) | (1,668,330 | )* | |||||||
Road & Rail (0.7%) | |||||||||||
Canadian National Railway Co. | (26,955 | ) | (1,646,681 | ) | |||||||
JB Hunt Transport Services, Inc. | (24,363 | ) | (1,860,603 | ) | |||||||
Knight Transportation, Inc. | (75,567 | ) | (1,920,913 | ) | |||||||
Landstar System, Inc. | (19,681 | ) | (1,240,690 | ) | |||||||
Norfolk Southern Corp. | (18,931 | ) | (1,515,048 | ) | |||||||
Werner Enterprises, Inc. | (92,511 | ) | (2,447,841 | ) | |||||||
(10,631,776 | ) | ||||||||||
Semiconductors & Semiconductor Equipment (0.7%) | |||||||||||
Avago Technologies Ltd. | (58,667 | ) | (7,223,668 | ) | |||||||
Lam Research Corp. | (11,416 | ) | (874,351 | ) | |||||||
Maxim Integrated Products, Inc. | (2,369 | ) | (97,082 | ) | |||||||
NXP Semiconductors NV | (14,877 | ) | (1,165,613 | )* | |||||||
SunEdison, Inc. | (32,324 | ) | (235,965 | )* | |||||||
Texas Instruments, Inc. | (30,700 | ) | (1,741,304 | ) | |||||||
(11,337,983 | ) | ||||||||||
Software (0.2%) | |||||||||||
FactSet Research Systems, Inc. | (3,108 | ) | (544,273 | ) |
Number of Shares | Value† | ||||||||||
VMware, Inc. Class A | (4,265 | ) | $ | (256,540 | )* | ||||||
Workday, Inc. Class A | (27,600 | ) | (2,179,572 | )* | |||||||
(2,980,385 | ) | ||||||||||
Specialty Retail (0.7%) | |||||||||||
Fast Retailing Co. Ltd. | (1,300 | ) | (474,867 | ) | |||||||
Foot Locker, Inc. | (12,000 | ) | (813,000 | ) | |||||||
L Brands, Inc. | (20,100 | ) | (1,929,198 | ) | |||||||
Outerwall, Inc. | (64,463 | ) | (3,867,780 | ) | |||||||
Staples, Inc. | (208,488 | ) | (2,708,259 | ) | |||||||
Tiffany & Co. | (8,736 | ) | (720,196 | ) | |||||||
Tractor Supply Co. | (12,178 | ) | (1,125,126 | ) | |||||||
(11,638,426 | ) | ||||||||||
Technology Hardware, Storage & Peripherals (0.1%) | |||||||||||
SanDisk Corp. | (9,741 | ) | (750,057 | ) | |||||||
Textiles, Apparel & Luxury Goods (0.4%) | |||||||||||
Coach, Inc. | (16,118 | ) | (502,881 | ) | |||||||
lululemon athletica, Inc. | (62,299 | ) | (3,063,242 | )* | |||||||
Michael Kors Holdings Ltd. | (83,900 | ) | (3,241,896 | )* | |||||||
(6,808,019 | ) | ||||||||||
Thrifts & Mortgage Finance (0.3%) | |||||||||||
BofI Holding, Inc. | (36,988 | ) | (2,959,410 | )* | |||||||
Home Capital Group, Inc. | (92,900 | ) | (2,262,821 | ) | |||||||
(5,222,231 | ) | ||||||||||
Trading Companies & Distributors (0.5%) | |||||||||||
Applied Industrial Technologies, Inc. | (11,471 | ) | (473,867 | ) | |||||||
Fastenal Co. | (82,553 | ) | (3,232,776 | ) |
Number of Shares | Value† | ||||||||||
MSC Industrial Direct Co., Inc. Class A | (37,698 | ) | $ | (2,366,303 | ) | ||||||
WW Grainger, Inc. | (10,106 | ) | (2,122,260 | ) | |||||||
(8,195,206 | ) | ||||||||||
Wireless Telecommunication Services (0.0%) | |||||||||||
NII Holdings, Inc. | (86,404 | ) | (606,556 | )* | |||||||
Total Common Stocks Sold Short ($(302,252,646)) | (298,619,111 | ) | |||||||||
Exchange Traded Funds Sold Short (8.8%) | |||||||||||
Alerian MLP ETF | (200,114 | ) | (2,719,549 | ) | |||||||
Energy Select Sector SPDR Fund | (187,152 | ) | (12,731,951 | ) | |||||||
Health Care Select Sector SPDR Fund | (199,944 | ) | (14,264,005 | ) | |||||||
iShares Russell 2000 ETF | (182,476 | ) | (21,046,782 | ) | |||||||
iShares U.S. Real Estate ETF | (195,766 | ) | (14,752,926 | ) | |||||||
Materials Select Sector SPDR Fund | (47,602 | ) | (2,155,419 | ) | |||||||
SPDR S&P 500 ETF Trust | (185,572 | ) | (38,585,986 | ) | |||||||
SPDR S&P MidCap 400 ETF Trust | (123,616 | ) | (32,475,159 | ) | |||||||
SPDR S&P Oil & Gas Exploration & Production ETF | (45,913 | ) | (1,702,454 | ) | |||||||
Utilities Select Sector SPDR Fund | (128,691 | ) | (5,630,231 | ) | |||||||
Total Exchange Traded Funds Sold Short (Proceeds ($148,027,599)) | (146,064,462 | ) |
See Notes to Schedule of Investments
34
Schedule of Investments Neuberger Berman Absolute Return Multi-Manager Fund (cont'd)
Number of Shares | Value† | ||||||||||
Exchange Traded Notes Sold Short (0.4%) | |||||||||||
JPMorgan | (166,535 | ) | $ | (5,528,962 | ) | ||||||
Alerian MLP Index ETN | |||||||||||
(Proceeds $(5,832,440)) | |||||||||||
Master Limited Partnerships Sold Short (0.2%) | |||||||||||
Capital Markets (0.1%) | |||||||||||
KKR & Co. LP | (105,150 | ) | (1,803,322 | ) | |||||||
Gas Utilities (0.0%) | |||||||||||
Ferrellgas Partners LP | (16,282 | ) | (332,153 | ) | |||||||
Oil, Gas & Consumable Fuels (0.1%) | |||||||||||
Holly Energy Partners LP | (1,465 | ) | (50,176 | ) | |||||||
Legacy Reserves LP | (96 | ) | (383 | ) | |||||||
Memorial Production Partners LP | (29,655 | ) | (165,475 | ) | |||||||
ONEOK Partners LP | (13,866 | ) | (441,355 | ) | |||||||
Targa Resources Partners LP | (6,288 | ) | (188,640 | ) | |||||||
TC PipeLines LP | (8,486 | ) | (438,387 | ) | |||||||
(1,284,416 | ) | ||||||||||
Total Master Limited Partnerships Sold Short (Proceeds $(3,441,927)) | (3,419,891 | ) | |||||||||
Principal Amount | |||||||||||
Corporate Debt Securities Sold Short (0.6%) | |||||||||||
Hotels, Restaurants & Leisure (0.1%) | |||||||||||
Wynn Las Vegas LLC, 5.50%, due 3/1/25 | $ | (1,470,000 | ) | (1,390,694 | )ñ | ||||||
IT Services (0.1%) | |||||||||||
iPayment, Inc., 9.50%, due 12/15/19 | (431,775 | ) | (450,125 | )ñ |
Principal Amount | Value† | ||||||||||
Sungard Availability Services Capital, Inc., 8.75%, due 4/1/22 | $ | (3,036,000 | ) | $ | (1,927,860 | )ñ | |||||
(2,377,985 | ) | ||||||||||
Metals & Mining (0.0%) | |||||||||||
Cliffs Natural Resources, Inc., 7.75%, due 3/31/20 | (230,000 | ) | (96,600 | )ñ | |||||||
Cliffs Natural Resources, Inc., 7.75%, due 3/31/20 | (5,000 | ) | (2,100 | ) | |||||||
Cliffs Natural Resources, Inc., 6.25%, due 10/1/40 | (133,000 | ) | (39,900 | ) | |||||||
(138,600 | ) | ||||||||||
Multiline Retail (0.1%) | |||||||||||
Macy's Retail Holdings, Inc., 4.50%, due 12/15/34 | (1,844,000 | ) | (1,662,956 | ) | |||||||
Oil, Gas & Consumable Fuels (0.1%) | |||||||||||
SandRidge Energy, Inc., 8.75%, due 6/1/20 | (1,736,000 | ) | (1,065,470 | )ñ | |||||||
SESI LLC, 7.13%, due 12/15/21 | (1,028,000 | ) | (1,003,667 | ) | |||||||
(2,069,137 | ) |
Principal Amount | Value† | ||||||||||
Specialty Retail (0.2%) | |||||||||||
Staples, Inc., 4.38%, due 1/12/23 | $ | (3,000,000 | ) | $ | (2,934,063 | ) | |||||
Total Corporate Debt Securities Sold Short (Proceeds $(10,859,156)) | (10,573,435 | ) | |||||||||
Total Short Positions (Proceeds $(470,413,768)) | (464,205,861 | ) |
See Notes to Schedule of Investments
35
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund 10/31/15
Number of Shares | Value† | ||||||||||
Long Positions (91.5%) | |||||||||||
Common Stocks (65.4%) | |||||||||||
Aerospace & Defense (0.5%) | |||||||||||
Honeywell International, Inc. | 1,775 | $ | 183,322 | Ø | |||||||
Air Freight & Logistics (1.0%) | |||||||||||
FedEx Corp. | 2,348 | 366,405 | Ø | ||||||||
Airlines (0.6%) | |||||||||||
Delta Air Lines, Inc. | 1,955 | 99,392 | £b | ||||||||
United Continental Holdings, Inc. | 2,145 | 129,365*£b | |||||||||
228,757 | |||||||||||
Auto Components (1.2%) | |||||||||||
Delphi Automotive PLC | 1,233 | 102,573 | £b | ||||||||
Visteon Corp. | 2,885 | 314,667 | *£b | ||||||||
417,240 | |||||||||||
Automobiles (0.3%) | |||||||||||
Bayerische Motoren Werke AG | 1,176 | 120,732 | Ø | ||||||||
Banks (2.8%) | |||||||||||
Banca Popolare | 11,600 | 10,907 | Ø | ||||||||
di Milano Scarl | |||||||||||
Banco Popolare SC | 698 | 10,447 | *Ø | ||||||||
Bank of America Corp. | 18,500 | 310,430 | Ø | ||||||||
DBS Group Holdings Ltd. | 5,200 | 63,934 | |||||||||
Mitsubishi UFJ Financial Group, Inc. | 10,500 | 67,909 | Ø | ||||||||
Mizuho Financial Group, Inc. | 36,900 | 76,008 | Ø | ||||||||
Sumitomo Mitsui Financial Group, Inc. | 1,800 | 71,809 | Ø | ||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 18,000 | 69,094 | Ø | ||||||||
SunTrust Banks, Inc. | 5,300 | 220,056 | Ø | ||||||||
Swedbank AB Class A | 3,461 | 79,440 | Ø | ||||||||
Unione di Banche Italiane SpA | 1,472 | 11,023 | Ø | ||||||||
991,057 |
Number of Shares | Value† | ||||||||||
Beverages (1.3%) | |||||||||||
Anheuser-Busch InBev SA | 505 | $ | 60,364 | ||||||||
Carlsberg A/S Class B | 500 | 40,989 | Ø | ||||||||
Davide Campari- Milano SpA | 4,559 | 39,054 | |||||||||
The Coca-Cola Co. | 7,650 | 323,977 | Ø | ||||||||
464,384 | |||||||||||
Biotechnology (3.3%) | |||||||||||
Actelion Ltd. | 486 | 67,557 | *Ø | ||||||||
Alexion Pharmaceuticals, Inc. | 1,277 | 224,752 | *Ø | ||||||||
Biogen, Inc. | 603 | 175,177 | *Ø | ||||||||
Cepheid | 5,318 | 177,621 | * | ||||||||
Incyte Corp. | 2,269 | 266,676 | *Ø | ||||||||
United Therapeutics Corp. | 324 | 47,508 | *Ø | ||||||||
Vertex Pharmaceuticals, Inc. | 1,850 | 230,769 | * | ||||||||
1,190,060 | |||||||||||
Building Products (0.1%) | |||||||||||
LIXIL Group Corp. | 1,400 | 29,974 | Ø | ||||||||
Capital Markets (2.0%) | |||||||||||
Flow Traders | 499 | 19,477 | ñ | ||||||||
Jafco Co. Ltd. | 1,600 | 61,123 | Ø | ||||||||
Morgan Stanley | 2,650 | 87,370 | |||||||||
Nomura Holdings, Inc. | 11,000 | 69,194 | Ø | ||||||||
WL Ross Holding Corp. | 48,275 | 483,715 | *£b | ||||||||
720,879 | |||||||||||
Chemicals (1.8%) | |||||||||||
Air Products & Chemicals, Inc. | 2,580 | 358,568 | |||||||||
Asahi Kasei Corp. | 5,000 | 30,683 | Ø | ||||||||
Monsanto Co. | 1,275 | 118,856 | Ø | ||||||||
Nissan Chemical Industries Ltd. | 2,000 | 49,673 | Ø | ||||||||
Nitto Denko Corp. | 700 | 44,887 | Ø | ||||||||
Shin-Etsu Chemical Co. Ltd. | 600 | 35,682 | Ø |
Number of Shares | Value† | ||||||||||
Ube Industries Ltd. | 11,000 | $ | 23,097 | Ø | |||||||
661,446 | |||||||||||
Commercial Services & Supplies (1.2%) | |||||||||||
Covanta Holding Corp. | 13,563 | 227,316 | Ø | ||||||||
Spotless Group Holdings Ltd. | 38,518 | 58,819 | Ø | ||||||||
Tyco International PLC | 4,120 | 150,133 | £b | ||||||||
436,268 | |||||||||||
Construction & Engineering (0.2%) | |||||||||||
Taisei Corp. | 13,000 | 84,481 | Ø | ||||||||
Consumer Finance (1.1%) | |||||||||||
PRA Group, Inc. | 3,902 | 213,830 | *£bØ | ||||||||
Springleaf Holdings, Inc. | 366 | 17,169 | *Ø | ||||||||
Synchrony Financial | 5,650 | 173,794 | *£b | ||||||||
404,793 | |||||||||||
Containers & Packaging (1.3%) | |||||||||||
Berry Plastics Group, Inc. | 13,395 | 448,732 | *Ø | ||||||||
Pact Group Holdings Ltd. | 5,537 | 20,092 | Ø | ||||||||
468,824 | |||||||||||
Diversified Consumer Services (1.0%) | |||||||||||
Houghton Mifflin Harcourt Co. | 6,350 | 124,397 | * | ||||||||
Service Corp. International | 4,951 | 139,915 | £b | ||||||||
ServiceMaster Global Holdings, Inc. | 2,351 | 83,813 | *£b | ||||||||
348,125 | |||||||||||
Diversified Financial Services (1.3%) | |||||||||||
ORIX Corp. | 5,200 | 75,940 | Ø | ||||||||
Pace Holdings Corp. | 38,200 | 401,100 | *Ø | ||||||||
477,040 | |||||||||||
Electric Utilities (3.3%) | |||||||||||
American Electric Power Co., Inc. | 3,263 | 184,849 | Ø | ||||||||
Edison International | 1,182 | 71,535 |
See Notes to Schedule of Investments
36
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (cont'd)
Number of Shares | Value† | ||||||||||
Enel SpA | 5,952 | $ | 27,463 | Ø | |||||||
Exelon Corp. | 1,888 | 52,713 | Ø | ||||||||
ITC Holdings Corp. | 634 | 20,744 | Ø | ||||||||
NextEra Energy, Inc. | 1,863 | 191,256 | Ø | ||||||||
OGE Energy Corp. | 4,078 | 116,264 | Ø | ||||||||
Pinnacle West Capital Corp. | 1,028 | 65,288 | Ø | ||||||||
PPL Corp. | 7,623 | 262,231 | Ø | ||||||||
The Kansai Electric Power Co., Inc. | 2,800 | 35,876 | *Ø | ||||||||
UIL Holdings Corp. | 781 | 39,823 | Ø | ||||||||
Westar Energy, Inc. | 2,226 | 88,372 | Ø | ||||||||
Xcel Energy, Inc. | 748 | 26,651 | Ø | ||||||||
1,183,065 | |||||||||||
Electrical Equipment (0.1%) | |||||||||||
Nidec Corp. | 600 | 45,214 | Ø | ||||||||
Electronic Equipment, Instruments & Components (0.2%) | |||||||||||
Hitachi Ltd. | 3,000 | 17,306 | Ø | ||||||||
Keyence Corp. | 100 | 52,061 | Ø | ||||||||
69,367 | |||||||||||
Energy Equipment & Services (0.1%) | |||||||||||
Halliburton Co. | 1,014 | 38,917 | Ø | ||||||||
Food & Staples Retailing (0.7%) | |||||||||||
CVS Health Corp. | 2,608 | 257,618 | Ø | ||||||||
Food Products (0.1%) | |||||||||||
The JM Smucker Co. | 345 | 40,500 | |||||||||
Gas Utilities (0.1%) | |||||||||||
Atmos Energy Corp. | 289 | 18,207 | Ø | ||||||||
The Laclede Group, Inc. | 149 | 8,727 | |||||||||
26,934 | |||||||||||
Health Care Equipment & Supplies (1.9%) | |||||||||||
CR Bard, Inc. | 940 | 175,169 | Ø | ||||||||
Edwards Lifesciences Corp. | 1,560 | 245,154 | *Ø | ||||||||
Greatbatch, Inc. | 320 | 17,104 | *Ø | ||||||||
Intuitive Surgical, Inc. | 532 | 264,191 | *Ø | ||||||||
701,618 |
Number of Shares | Value† | ||||||||||
Health Care Providers & Services (2.4%) | |||||||||||
Accretive Health, Inc. | 5,968 | $ | 12,235 | *£b | |||||||
Brookdale Senior Living, Inc. | 5,914 | 123,662 | *£b | ||||||||
Centene Corp. | 2,907 | 172,908 | *Ø | ||||||||
Fresenius SE & Co. KGaA | 612 | 44,922 | |||||||||
Laboratory Corp. of America Holdings | 1,276 | 156,616 | *Ø | ||||||||
Molina Healthcare, Inc. | 3,049 | 189,038 | *Ø | ||||||||
WellCare Health Plans, Inc. | 1,985 | 175,871 | *Ø | ||||||||
875,252 | |||||||||||
Health Care Technology (0.8%) | |||||||||||
athenahealth, Inc. | 957 | 145,895 | *Ø | ||||||||
Cerner Corp. | 2,340 | 155,118 | *Ø | ||||||||
301,013 | |||||||||||
Hotels, Restaurants & Leisure (0.9%) | |||||||||||
Ainsworth Game Technology Ltd. | 11,141 | 25,084 | Ø | ||||||||
Bloomin' Brands, Inc. | 9,775 | 165,882 | Ø | ||||||||
Hilton Worldwide Holdings, Inc. | 5,345 | 133,571 | |||||||||
324,537 | |||||||||||
Household Durables (0.3%) | |||||||||||
Rinnai Corp. | 300 | 23,783 | Ø | ||||||||
Sony Corp. | 2,400 | 68,221 | Ø | ||||||||
92,004 | |||||||||||
Independent Power & Renewable Electricity Producers (1.8%) | |||||||||||
Abengoa Yield PLC | 3,683 | 68,246 | |||||||||
AES Corp. | 5,562 | 60,904 | |||||||||
Calpine Corp. | 2,741 | 42,513 | * | ||||||||
Dynegy, Inc. | 1,522 | 29,573 | * | ||||||||
EDP Renovaveis SA | 4,557 | 33,138 | Ø | ||||||||
NextEra Energy Partners LP | 3,005 | 78,911 | |||||||||
NRG Energy, Inc. | 13,958 | 179,919 | Ø | ||||||||
NRG Yield, Inc. Class A | 2,811 | 38,595 | Ø |
Number of Shares | Value† | ||||||||||
NRG Yield, Inc. Class C | 3,257 | $ | 47,031 | ||||||||
Pattern Energy Group, Inc. | 3,544 | 82,894 | |||||||||
661,724 | |||||||||||
Industrial Conglomerates (1.8%) | |||||||||||
Alliance Global Group, Inc. | 68,990 | 26,777 | |||||||||
Danaher Corp. | 1,480 | 138,099 | |||||||||
General Electric Co. | 15,100 | 436,692 | £b | ||||||||
Toshiba Corp. | 10,000 | 28,211 | *Ø | ||||||||
629,779 | |||||||||||
Insurance (0.5%) | |||||||||||
Sampo OYJ Class A | 1,987 | 97,189 | Ø | ||||||||
Talanx AG | 1,282 | 41,123 | |||||||||
The Dai-ichi Life Insurance Co. Ltd. | 2,800 | 48,438 | Ø | ||||||||
186,750 | |||||||||||
Internet Software & Services (0.8%) | |||||||||||
Alphabet, Inc. Class A | 295 | 217,530 | *Ø | ||||||||
Alphabet, Inc. Class C | 64 | 45,492 | * | ||||||||
eBay, Inc. | 1,160 | 32,364 | * | ||||||||
295,386 | |||||||||||
IT Services (1.8%) | |||||||||||
Computer Sciences Corp. | 6,305 | 419,850 | £bØ | ||||||||
Link Administration Holdings Ltd. | 9,300 | 46,949*f | |||||||||
Visa, Inc. Class A | 2,250 | 174,555 | £b | ||||||||
641,354 | |||||||||||
Life Sciences Tools & Services (0.4%) | |||||||||||
Illumina, Inc. | 1,092 | 156,462 | *Ø | ||||||||
Machinery (1.6%) | |||||||||||
FANUC Corp. | 400 | 70,576 | Ø | ||||||||
Makita Corp. | 700 | 38,355 | Ø | ||||||||
Mueller Water Products, Inc. Class A | 36,850 | 324,280 | Ø | ||||||||
Xylem, Inc. | 3,675 | 133,807 | £b | ||||||||
567,018 | |||||||||||
Marine (0.0%) | |||||||||||
Nippon Yusen KK | 6,000 | 15,699 | Ø |
See Notes to Schedule of Investments
37
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (cont'd)
Number of Shares | Value† | ||||||||||
Media (1.5%) | |||||||||||
CBS Corp. Class B | 4,602 | $ | 214,085 | £bØ | |||||||
Cineplex, Inc. | 435 | 16,763 | Ø | ||||||||
Twenty-First Century Fox, Inc. Class A | 5,850 | 179,536 | £b | ||||||||
Wolters Kluwer NV | 3,635 | 123,095 | Ø | ||||||||
533,479 | |||||||||||
Metals & Mining (0.2%) | |||||||||||
Nippon Steel & Sumitomo Metal Corp. | 700 | 14,191 | Ø | ||||||||
SunCoke Energy, Inc. | 13,540 | 67,158 | Ø | ||||||||
81,349 | |||||||||||
Multiline Retail (0.1%) | |||||||||||
Europris ASA | 3,400 | 16,086 | *ñØ | ||||||||
Takashimaya Co. Ltd. | 3,000 | 26,818 | Ø | ||||||||
42,904 | |||||||||||
Multi-Utilities (1.3%) | |||||||||||
CMS Energy Corp. | 1,489 | 53,708 | Ø | ||||||||
Dominion Resources, Inc. | 2,278 | 162,717 | Ø | ||||||||
DTE Energy Co. | 508 | 41,448 | Ø | ||||||||
NiSource, Inc. | 555 | 10,634 | Ø | ||||||||
SCANA Corp. | 562 | 33,282 | |||||||||
Sempra Energy | 1,482 | 151,772 | Ø | ||||||||
453,561 | |||||||||||
Oil, Gas & Consumable Fuels (4.3%) | |||||||||||
Caltex Australia Ltd. | 865 | 19,364 | Ø | ||||||||
Canadian Natural Resources Ltd. | 5,650 | 131,193 | Ø | ||||||||
Cheniere Energy Partners LP Holdings LLC | 15,950 | 313,896 | Ø | ||||||||
Cheniere Energy, Inc. | 522 | 25,850 | * | ||||||||
Columbia Pipeline Group, Inc. | 2,057 | 42,724 | Ø | ||||||||
Enbridge, Inc. | 1,871 | 79,873 | Ø | ||||||||
Encana Corp. | 4,137 | 31,565 | Ø | ||||||||
EQT GP Holdings LP | 1,296 | 34,266 | |||||||||
Freehold Royalties Ltd. | 2,052 | 15,928 | Ø |
Number of Shares | Value† | ||||||||||
GasLog Ltd. | 3,876 | $ | 44,845 | Ø | |||||||
Golar LNG Ltd. | 3,642 | 105,654 | Ø | ||||||||
Kinder Morgan, Inc. | 3,028 | 82,816 | Ø | ||||||||
Phillips 66 | 434 | 38,648 | Ø | ||||||||
Plains GP Holdings LP Class A | 5,447 | 84,701 | |||||||||
SemGroup Corp. Class A | 4,295 | 195,637 | Ø | ||||||||
Tallgrass Energy GP LP | 1,312 | 31,409 | |||||||||
Teekay Corp. | 2,100 | 67,473 | Ø | ||||||||
The Williams Cos., Inc. | 5,249 | 207,021 | Ø | ||||||||
1,552,863 | |||||||||||
Personal Products (0.2%) | |||||||||||
Asaleo Care Ltd. | 47,834 | 59,693 | Ø | ||||||||
Pharmaceuticals (4.5%) | |||||||||||
Allergan PLC | 2,196 | 677,400 | *£bØ | ||||||||
Bristol-Myers Squibb Co. | 4,087 | 269,538 | Ø | ||||||||
Impax Laboratories, Inc. | 4,965 | 171,938 | *Ø | ||||||||
Shire PLC ADR | 851 | 193,219 | Ø | ||||||||
Zoetis, Inc. | 6,892 | 296,425 | £b | ||||||||
1,608,520 | |||||||||||
Real Estate Investment Trusts (3.9%) | |||||||||||
Apollo Commercial Real Estate Finance, Inc. | 7,992 | 132,747 | Ø | ||||||||
BioMed Realty Trust, Inc. | 8,760 | 205,072 | Ø | ||||||||
CyrusOne, Inc. | 2,922 | 103,088 | £b | ||||||||
Equinix, Inc. | 451 | 133,803 | Ø | ||||||||
Host Hotels & Resorts, Inc. | 6,172 | 106,961 | |||||||||
Mack-Cali Realty Corp. | 8,200 | 178,432 | Ø | ||||||||
Simon Property Group, Inc. | 901 | 181,515 | £b | ||||||||
STAG Industrial, Inc. | 9,151 | 187,779 | |||||||||
Ventas, Inc. | 3,281 | 176,255 | £b | ||||||||
1,405,652 | |||||||||||
Real Estate Management & Development (2.7%) | |||||||||||
Altus Group Ltd. | 995 | 14,496 | Ø | ||||||||
CBRE Group, Inc. Class A | 6,207 | 231,397 | *£b | ||||||||
Daiwa House Industry Co. Ltd. | 7,300 | 191,627 | Ø |
Number of Shares | Value† | ||||||||||
Hulic Co. Ltd. | 4,100 | $ | 38,294 | Ø | |||||||
Kennedy Wilson Europe Real Estate PLC | 13,125 | 241,993 | Ø | ||||||||
LEG Immobilien AG | 1,086 | 86,641 | *Ø | ||||||||
Megaworld Corp. | 290,000 | 28,994 | |||||||||
Mitsubishi Estate Co. Ltd. | 1,000 | 21,446 | Ø | ||||||||
Pruksa Real Estate PCL | 36,977 | 29,092 | |||||||||
Tokyo Tatemono Co. Ltd. | 3,600 | 44,731 | Ø | ||||||||
Tokyu Fudosan Holdings Corp. | 7,900 | 55,530 | Ø | ||||||||
984,241 | |||||||||||
Road & Rail (1.6%) | |||||||||||
Canadian Pacific Railway Ltd. | 1,847 | 259,504 | Ø | ||||||||
Swift Transportation Co. | 18,078 | 282,559 | *£bØ | ||||||||
Union Pacific Corp. | 287 | 25,643 | £b | ||||||||
567,706 | |||||||||||
Semiconductors & Semiconductor Equipment (1.3%) | |||||||||||
Atmel Corp. | 16,325 | 124,070 | Ø | ||||||||
Broadcom Corp. Class A | 5,125 | 263,425 | Ø | ||||||||
SCREEN Holdings Co. Ltd. | 7,000 | 41,358 | Ø | ||||||||
SunPower Corp. | 1,527 | 40,985 | *Ø | ||||||||
469,838 | |||||||||||
Software (1.1%) | |||||||||||
Nintendo Co. Ltd. | 100 | 15,987 | Ø | ||||||||
PTC, Inc. | 4,525 | 160,366 | *Ø | ||||||||
Verint Systems, Inc. | 4,400 | 209,352 | *£b | ||||||||
385,705 | |||||||||||
Specialty Retail (0.2%) | |||||||||||
Gulliver International Co. Ltd. | 6,800 | 68,505 | Ø |
See Notes to Schedule of Investments
38
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (cont'd)
Number of Shares | Value† | ||||||||||
Textiles, Apparel & Luxury Goods (1.1%) | |||||||||||
Coach, Inc. | 6,200 | $ | 193,440 | Ø | |||||||
PVH Corp. | 2,180 | 198,271 | Ø | ||||||||
391,711 | |||||||||||
Trading Companies & Distributors (0.2%) | |||||||||||
Mitsubishi Corp. | 900 | 16,362 | Ø | ||||||||
United Rentals, Inc. | 530 | 39,676 | * | ||||||||
56,038 | |||||||||||
Transportation Infrastructure (0.2%) | |||||||||||
Macquarie Infrastructure Corp. | 928 | 73,822 | Ø | ||||||||
Water Utilities (0.4%) | |||||||||||
American Water Works Co., Inc. | 2,523 | 144,719 | Ø | ||||||||
Total Common Stocks (Cost $24,157,754) | 23,584,304 | ||||||||||
Business Development Companies (0.6%) | |||||||||||
Solar Capital Ltd. | 11,570 | 200,277 | £b | ||||||||
(Cost $226,810) | |||||||||||
Preferred Stocks (0.3%) | |||||||||||
Banks (0.3%) | |||||||||||
National Bank of Greece SA, Ser. A, 9.00% (Cost $205,657) | 11,804 | 124,178 | *£b | ||||||||
Exchange Traded Funds (1.2%) | |||||||||||
iShares MSCI Brazil Capped ETF | 2,587 | 59,165 | |||||||||
PowerShares DB U.S. Dollar Index Bullish Fund | 13,950 | 352,237 | *Ø | ||||||||
(Cost $387,184) | 411,402 | ||||||||||
Closed-End Funds (0.6%) | |||||||||||
AP Alternative Assets LP (Cost $183,913) | 5,833 | 215,821 | *Ø | ||||||||
Master Limited Partnerships (5.6%) | |||||||||||
Capital Markets (1.2%) | |||||||||||
Apollo Global Management LLC, Class A | 11,412 | 208,497 | Ø | ||||||||
The Blackstone Group LP | 7,137 | 235,949 | Ø | ||||||||
444,446 |
Number of Shares | Value† | ||||||||||
Oil, Gas & Consumable Fuels (4.4%) | |||||||||||
Antero Midstream Partners LP | 1,382 | $ | 32,919 | Ø | |||||||
Boardwalk Pipeline Partners LP | 9,488 | 121,636 | Ø | ||||||||
Cheniere Energy Partners LP | 12,152 | 340,378 | Ø | ||||||||
Delek Logistics Partners LP | 4 | 131 | |||||||||
Dominion Midstream Partners LP | 1,708 | 55,954 | Ø | ||||||||
Energy Transfer Equity LP | 6,691 | 144,191 | Ø | ||||||||
Energy Transfer Partners LP | 3,025 | 133,584 | Ø | ||||||||
Enterprise Products Partners LP | 3,713 | 102,590 | |||||||||
EQT Midstream Partners LP | 1,136 | 84,109 | Ø | ||||||||
Magellan Midstream Partners LP | 65 | 4,148 | Ø | ||||||||
MPLX LP | 1,768 | 68,581 | Ø | ||||||||
NuStar GP Holdings LLC | 3,956 | 115,555 | |||||||||
Phillips 66 Partners LP | 668 | 40,508 | |||||||||
Rose Rock Midstream LP | 1,156 | 31,316 | |||||||||
Sunoco Logistics Partners LP | 3,581 | 103,992 | Ø | ||||||||
Sunoco LP | 1,665 | 57,426 | |||||||||
Tallgrass Energy Partners LP | 610 | 26,425 | |||||||||
Valero Energy Partners LP | 425 | 21,246 | Ø | ||||||||
Western Gas Equity Partners LP | 25 | 1,078 | |||||||||
Western Gas Partners LP | 947 | 48,411 | |||||||||
Western Refining Logistics LP | 1,055 | 27,356 | Ø | ||||||||
1,561,534 | |||||||||||
Total Master Limited Partnerships (Cost $2,217,479) | 2,005,980 |
Number of Contracts | Value† | ||||||||||
Purchased Options (0.4%) | |||||||||||
Call Options (0.0%) | |||||||||||
Boardwalk Pipeline Partners LP, Dec 2015 @ 14 | 6 | $ | 120 | ||||||||
Boardwalk Pipeline Partners LP, Jan 2016 @ 14 | 9 | 225 | |||||||||
Cheniere Energy Partners LP, Mar 2016 @ 28 | 4 | 692 | |||||||||
Cheniere Energy Partners LP Holdings LLC, Jan 2016 @ 22.5 | 1 | 10 | f | ||||||||
Columbia Pipeline Partners LP, Jan 2016 @ 22.5 | 1 | — | f | ||||||||
Crestwood Equity Partners LP, Jan 2016 @ 5 | 12 | — | f | ||||||||
Crestwood Equity Partners LP, Apr 2016 @ 2.5 | 12 | 600 | |||||||||
DCP Midstream Partners LP, Jan 2016 @ 30 | 3 | 375 | |||||||||
GasLog Ltd., Feb 2016 @ 15 | 9 | 90 | |||||||||
NRG Yield, Inc., Nov 2015 @ 22.5 | 3 | — | f | ||||||||
Plains GP Holdings LP, Feb 2016 @ 20 | 7 | 140 | |||||||||
Plains GP Holdings LP, Feb 2016 @ 21 | 1 | 10 | |||||||||
2,262 | |||||||||||
Put Options (0.4%) | |||||||||||
Brookdale Senior Living, Inc., Nov 2015 @ 22.5 | 50 | 11,250 | |||||||||
EURO STOXX 50 Index, Nov 2015 @ 3100 | 10 | 495 | |||||||||
General Electric Co., Nov 2015 @ 35 | 113 | 67,574 | |||||||||
iShares Russell 2000 ETF, Dec 2015 @ 112 | 135 | 25,650 |
See Notes to Schedule of Investments
39
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (cont'd)
Number of Contracts | Value† | ||||||||||
SPDR S&P 500 ETF Trust, Nov 2015 @ 200 | 5 | $ | 390 | ||||||||
SPDR S&P 500 ETF Trust, Dec 2015 @ 185 | 163 | 15,322 | |||||||||
SPDR S&P 500 ETF Trust, Dec 2015 @ 195 | 131 | 24,366 | |||||||||
United Continental Holdings, Inc., Dec 2015 @ 55 | 21 | 2,289 | |||||||||
147,336 | |||||||||||
Total Purchased Options (Cost $266,628) | 149,598 | ||||||||||
Number of Shares | Value† | ||||||||||
Short-Term Investments (17.4%) | |||||||||||
Morgan Stanley Institutional Liquidity Fund Treasury Portfolio Institutional Class, 0.01% (Cost $6,255,896) | 6,255,896 | 6,255,896 | ز | ||||||||
Total Long Positions (91.5%) (Cost $33,901,321) | 32,947,456 | ## | |||||||||
Cash, receivables and other assets, less liabilities (46.7%) | 16,806,531 | ±†††Ø | |||||||||
Short Positions (see summary below) ((38.2)%) | (13,742,321 | ) | |||||||||
Total Net Assets (100.0%) | $ | 36,011,666 | |||||||||
Short Positions ((38.2)%)£ØØ | |||||||||||
Common Stocks Sold Short (32.5%) | |||||||||||
Air Freight & Logistics (0.8%) | |||||||||||
Expeditors International of Washington, Inc. | (3,279 | ) | (163,262 | ) | |||||||
FedEx Corp. | (200 | ) | (31,210 | ) |
Number of Shares | Value† | ||||||||||
Royal Mail PLC | (15,725 | ) | $ | (107,948 | ) | ||||||
(302,420 | ) | ||||||||||
Airlines (0.5%) | |||||||||||
Deutsche Lufthansa AG | (11,627 | ) | (171,711 | )* | |||||||
Automobiles (0.8%) | |||||||||||
Nissan Motor Co. Ltd. | (7,900 | ) | (81,893 | ) | |||||||
Tata Motors Ltd. ADR | (4,200 | ) | (124,194 | )* | |||||||
Toyota Motor Corp. | (1,200 | ) | (73,518 | ) | |||||||
(279,605 | ) | ||||||||||
Banks (1.1%) | |||||||||||
Canadian Western Bank | (3,050 | ) | (58,616 | ) | |||||||
Common wealth Bank of Australia | (522 | ) | (28,344 | ) | |||||||
DNB ASA | (2,790 | ) | (35,529 | ) | |||||||
National Australia Bank Ltd. | (1,259 | ) | (26,885 | ) | |||||||
National Bank of Canada | (1,300 | ) | (43,058 | ) | |||||||
Standard Bank Group Ltd. | (3,966 | ) | (41,248 | ) | |||||||
The PNC Financial Services Group, Inc. | (1,450 | ) | (130,877 | ) | |||||||
UniCredit SpA | (3,559 | ) | (23,012 | ) | |||||||
(387,569 | ) | ||||||||||
Beverages (0.2%) | |||||||||||
The Boston Beer Co., Inc. Class A | (403 | ) | (88,495 | )* | |||||||
Biotechnology (0.6%) | |||||||||||
Amgen, Inc. | (270 | ) | (42,709 | ) | |||||||
Gilead Sciences, Inc. | (614 | ) | (66,392 | ) | |||||||
Intrexon Corp. | (610 | ) | (20,496 | )* | |||||||
Kite Pharma, Inc. | (342 | ) | (23,273 | )* | |||||||
Regeneron Pharmaceuticals, Inc. | (45 | ) | (25,082 | )* | |||||||
Sarepta Therapeutics, Inc. | (1,000 | ) | (24,060 | )* | |||||||
(202,012 | ) |
Number of Shares | Value† | ||||||||||
Capital Markets (0.1%) | |||||||||||
Eaton Vance Corp. | (1,112 | ) | $ | (40,154 | ) | ||||||
Chemicals (1.2%) | |||||||||||
Kaneka Corp. | (7,000 | ) | (62,071 | ) | |||||||
Kuraray Co. Ltd. | (700 | ) | (8,634 | ) | |||||||
Novozymes A/S Class B | (638 | ) | (29,584 | ) | |||||||
Praxair, Inc. | (1,175 | ) | (130,531 | ) | |||||||
Syngenta AG ADR | (1,350 | ) | (90,841 | ) | |||||||
The Valspar Corp. | (850 | ) | (68,808 | ) | |||||||
Tronox Ltd. Class A | (8,244 | ) | (51,195 | ) | |||||||
(441,664 | ) | ||||||||||
Commercial Services & Supplies (0.5%) | |||||||||||
MSA Safety, Inc. | (2,723 | ) | (118,396 | ) | |||||||
Stericycle, Inc. | (499 | ) | (60,564 | )* | |||||||
(178,960 | ) | ||||||||||
Communications Equipment (0.5%) | |||||||||||
Motorola Solutions, Inc. | (1,250 | ) | (87,463 | ) | |||||||
NETGEAR, Inc. | (633 | ) | (26,206 | )* | |||||||
Palo Alto Networks, Inc. | (300 | ) | (48,300 | )* | |||||||
(161,969 | ) | ||||||||||
Containers & Packaging (0.5%) | |||||||||||
Silgan Holdings, Inc. | (1,920 | ) | (97,670 | ) | |||||||
WestRock Co. | (1,625 | ) | (87,360 | ) | |||||||
(185,030 | ) | ||||||||||
Diversified Financial Services (0.1%) | |||||||||||
FirstRand Ltd. | (10,691 | ) | (39,237 | ) | |||||||
Electric Utilities (0.7%) | |||||||||||
Duke Energy Corp. | (1,096 | ) | (78,331 | ) | |||||||
Edison International | (236 | ) | (14,283 | ) | |||||||
Iberdrola SA | (2,276 | ) | (16,261 | ) | |||||||
IDACORP, Inc. | (307 | ) | (20,523 | ) | |||||||
Otter Tail Corp. | (1,751 | ) | (48,047 | ) | |||||||
The Southern Co. | (1,459 | ) | (65,801 | ) | |||||||
(243,246 | ) | ||||||||||
Electrical Equipment (0.3%) | |||||||||||
Sensata Technologies Holding NV | (1,950 | ) | (93,775 | )* |
See Notes to Schedule of Investments
40
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (cont'd)
Number of Shares | Value† | ||||||||||
Electronic Equipment, Instruments & Components (0.4%) | |||||||||||
Hirose Electric Co. Ltd. | (100 | ) | $ | (12,104 | ) | ||||||
Ibiden Co. Ltd. | (1,400 | ) | (19,291 | ) | |||||||
Japan Display, Inc. | (11,400 | ) | (35,814 | )* | |||||||
Kyocera Corp. | (200 | ) | (9,047 | ) | |||||||
Ryosan Co. Ltd. | (300 | ) | (7,260 | ) | |||||||
Taiyo Yuden Co. Ltd. | (2,000 | ) | (28,162 | ) | |||||||
Yaskawa Electric Corp. | (1,400 | ) | (16,607 | ) | |||||||
(128,285 | ) | ||||||||||
Energy Equipment & Services (0.1%) | |||||||||||
Calfrac Well Services Ltd. | (12,500 | ) | (22,082 | ) | |||||||
Food & Staples Retailing (0.6%) | |||||||||||
CVS Health Corp. | (1,241 | ) | (122,586 | ) | |||||||
Walgreens Boots Alliance, Inc. | (736 | ) | (62,324 | ) | |||||||
Wal-Mart Stores, Inc. | (782 | ) | (44,762 | ) | |||||||
(229,672 | ) | ||||||||||
Food Products (1.0%) | |||||||||||
B&G Foods, Inc. | (1,051 | ) | (38,141 | ) | |||||||
Campbell Soup Co. | (1,675 | ) | (85,073 | ) | |||||||
Ezaki Glico Co. Ltd. | (600 | ) | (28,657 | ) | |||||||
House Foods Group, Inc. | (1,200 | ) | (20,733 | ) | |||||||
Kewpie Corp. | (1,300 | ) | (29,693 | ) | |||||||
Kikkoman Corp. | (1,000 | ) | (31,321 | ) | |||||||
MEIJI Holdings Co. Ltd. | (400 | ) | (31,520 | ) | |||||||
Nestle SA | (852 | ) | (65,164 | ) | |||||||
Yakult Honsha Co. Ltd. | (400 | ) | (21,177 | ) | |||||||
(351,479 | ) | ||||||||||
Gas Utilities (0.1%) | |||||||||||
Northwest Natural Gas Co. | (807 | ) | (38,550 | ) | |||||||
Piedmont Natural Gas Co., Inc. | (193 | ) | (11,061 | ) | |||||||
(49,611 | ) | ||||||||||
Health Care Equipment & Supplies (2.1%) | |||||||||||
Coloplast A/S Class B | (2,239 | ) | (160,637 | ) | |||||||
CR Bard, Inc. | (307 | ) | (57,209 | ) |
Number of Shares | Value† | ||||||||||
Getinge AB Class B | (1,139 | ) | $ | (28,517 | ) | ||||||
LivaNova PLC | (2,150 | ) | (142,502 | )* | |||||||
Medtronic PLC | (1,095 | ) | (80,942 | ) | |||||||
Sirona Dental Systems, Inc. | (889 | ) | (97,017 | )* | |||||||
St. Jude Medical, Inc. | (768 | ) | (49,006 | ) | |||||||
Stryker Corp. | (801 | ) | (76,592 | ) | |||||||
Sysmex Corp. | (1,000 | ) | (57,159 | ) | |||||||
Varian Medical Systems, Inc. | (229 | ) | (17,983 | )* | |||||||
(767,564 | ) | ||||||||||
Health Care Providers & Services (1.6%) | |||||||||||
Amerisource Bergen Corp. | (1,758 | ) | (169,664 | ) | |||||||
Cardinal Health, Inc. | (628 | ) | (51,622 | ) | |||||||
HCA Holdings, Inc. | (905 | ) | (62,255 | )* | |||||||
Henry Schein, Inc. | (484 | ) | (73,428 | )* | |||||||
McKesson Corp. | (344 | ) | (61,507 | ) | |||||||
Patterson Cos., Inc. | (1,582 | ) | (74,987 | ) | |||||||
UnitedHealth Group, Inc. | (391 | ) | (46,052 | ) | |||||||
VCA, Inc. | (921 | ) | (50,443 | )* | |||||||
(589,958 | ) | ||||||||||
Hotels, Restaurants & Leisure (0.3%) | |||||||||||
Jack in the Box, Inc. | (250 | ) | (18,632 | ) | |||||||
Sonic Corp. | (3,350 | ) | (95,609 | ) | |||||||
(114,241 | ) | ||||||||||
Household Durables (0.2%) | |||||||||||
DR Horton, Inc. | (3,050 | ) | (89,792 | ) | |||||||
Independent Power & Renewable Electricity Producers (0.1%) | |||||||||||
NRG Yield, Inc. Class C | (1,894 | ) | (27,349 | ) | |||||||
Industrial Conglomerates (0.2%) | |||||||||||
Danaher Corp. | (945 | ) | (88,178 | ) | |||||||
Insurance (0.7%) | |||||||||||
Hannover Rueck SE | (375 | ) | (43,381 | ) | |||||||
Insurance Australia Group Ltd. | (7,577 | ) | (30,118 | ) | |||||||
Primerica, Inc. | (2,150 | ) | (102,404 | ) | |||||||
The Progressive Corp. | (2,200 | ) | (72,886 | ) | |||||||
(248,789 | ) |
Number of Shares | Value† | ||||||||||
IT Services (0.2%) | |||||||||||
International Business Machines Corp. | (625 | ) | $ | (87,550 | ) | ||||||
Life Sciences Tools & Services (0.6%) | |||||||||||
Illumina, Inc. | (202 | ) | (28,942 | )* | |||||||
Quintiles Transnational Holdings, Inc. | (1,052 | ) | (66,960 | )* | |||||||
Thermo Fisher Scientific, Inc. | (510 | ) | (66,698 | ) | |||||||
Waters Corp. | (382 | ) | (48,820 | )* | |||||||
(211,420 | ) | ||||||||||
Machinery (2.2%) | |||||||||||
Cummins, Inc. | (800 | ) | (82,808 | ) | |||||||
Deere & Co. | (1,600 | ) | (124,800 | ) | |||||||
Dover Corp. | (2,328 | ) | (149,993 | ) | |||||||
Hitachi Construction Machinery Co. Ltd. | (2,900 | ) | (44,912 | ) | |||||||
Lincoln Electric Holdings, Inc. | (1,741 | ) | (104,129 | ) | |||||||
Parker-Hannifin Corp. | (825 | ) | (86,377 | ) | |||||||
Pentair PLC | (800 | ) | (44,736 | ) | |||||||
Tennant Co. | (1,553 | ) | (89,950 | ) | |||||||
Wabtec Corp. | (753 | ) | (62,401 | ) | |||||||
(790,106 | ) | ||||||||||
Marine (0.1%) | |||||||||||
Mitsui OSK Lines Ltd. | (7,000 | ) | (18,693 | ) | |||||||
Media (0.7%) | |||||||||||
John Wiley & Sons, Inc. Class A | (1,300 | ) | (68,029 | ) | |||||||
Omnicom Group, Inc. | (1,550 | ) | (116,126 | ) | |||||||
TEGNA, Inc. | (2,500 | ) | (67,600 | ) | |||||||
(251,755 | ) | ||||||||||
Multi-Utilities (1.9%) | |||||||||||
Alliant Energy Corp. | (1,354 | ) | (79,913 | ) | |||||||
Ameren Corp. | (13 | ) | (568 | ) | |||||||
Avista Corp. | (2,089 | ) | (70,713 | ) | |||||||
Consolidated Edison, Inc. | (2,936 | ) | (193,042 | ) | |||||||
DTE Energy Co. | (782 | ) | (63,803 | ) | |||||||
NorthWestern Corp. | (938 | ) | (50,830 | ) | |||||||
PG&E Corp. | (273 | ) | (14,578 | ) | |||||||
Public Service Enterprise Group, Inc. | (1,533 | ) | (63,298 | ) |
See Notes to Schedule of Investments
41
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (cont'd)
Number of Shares | Value† | ||||||||||
WEC Energy Group, Inc. | (2,734 | ) | $ | (140,965 | ) | ||||||
(677,710 | ) | ||||||||||
Oil, Gas & Consumable Fuels (0.7%) | |||||||||||
ONEOK, Inc. | (513 | ) | (17,401 | ) | |||||||
Range Resources Corp. | (4,425 | ) | (134,697 | ) | |||||||
Spectra Energy Corp. | (2,876 | ) | (82,168 | ) | |||||||
Targa Resources Corp. | (275 | ) | (15,716 | ) | |||||||
(249,982 | ) | ||||||||||
Paper & Forest Products (0.3%) | |||||||||||
Domtar Corp. | (2,250 | ) | (92,790 | ) | |||||||
Personal Products (0.6%) | |||||||||||
Coty, Inc. Class A | (3,200 | ) | (92,640 | ) | |||||||
The Estee Lauder Cos., Inc. Class A | (1,485 | ) | (119,483 | ) | |||||||
(212,123 | ) | ||||||||||
Pharmaceuticals (1.7%) | |||||||||||
Eisai Co. Ltd. | (700 | ) | (43,785 | ) | |||||||
Horizon Pharma PLC | (2,762 | ) | (43,419 | )* | |||||||
Johnson & Johnson | (826 | ) | (83,451 | ) | |||||||
Mallinckrodt PLC | (844 | ) | (55,425 | )* | |||||||
Merck & Co., Inc. | (1,458 | ) | (79,694 | ) | |||||||
Novartis AG ADR | (928 | ) | (83,919 | ) | |||||||
Ono Pharmaceutical Co. Ltd. | (500 | ) | (68,497 | ) | |||||||
Sanofi ADR | (997 | ) | (50,189 | ) | |||||||
Shionogi & Co. Ltd. | (1,500 | ) | (61,525 | ) | |||||||
Valeant Pharmaceuticals International, Inc. | (476 | ) | (44,635 | )* | |||||||
(614,539 | ) | ||||||||||
Professional Services (0.1%) | |||||||||||
Nielsen Holdings PLC | (716 | ) | (34,017 | ) | |||||||
Real Estate Investment Trusts (2.3%) | |||||||||||
Digital Realty Trust, Inc. | (1,594 | ) | (117,892 | ) | |||||||
Duke Realty Corp. | (3,654 | ) | (75,638 | ) | |||||||
Federal Realty Investment Trust | (270 | ) | (38,742 | ) |
Number of Shares | Value† | ||||||||||
Mack-Cali Realty Corp. | (5,148 | ) | $ | (112,021 | ) | ||||||
Pennsylvania Real Estate Investment Trust | (6,350 | ) | (142,748 | ) | |||||||
Regency Centers Corp. | (1,631 | ) | (110,843 | ) | |||||||
SL Green Realty Corp. | (610 | ) | (72,358 | ) | |||||||
Sun Communities, Inc. | (1,067 | ) | (71,510 | ) | |||||||
Tanger Factory Outlet Centers, Inc. | (1,922 | ) | (67,174 | ) | |||||||
(808,926 | ) | ||||||||||
Real Estate Management & Development (0.2%) | |||||||||||
The Howard Hughes Corp. | (640 | ) | (79,091 | )* | |||||||
Road & Rail (1.8%) | |||||||||||
Canadian National Railway Co. | (1,800 | ) | (109,962 | ) | |||||||
JB Hunt Transport Services, Inc. | (1,301 | ) | (99,357 | ) | |||||||
Knight Transportation, Inc. | (4,133 | ) | (105,061 | ) | |||||||
Landstar System, Inc. | (1,317 | ) | (83,023 | ) | |||||||
Norfolk Southern Corp. | (1,258 | ) | (100,678 | ) | |||||||
Werner Enterprises, Inc. | (5,245 | ) | (138,783 | ) | |||||||
(636,864 | ) | ||||||||||
Semiconductors & Semiconductor Equipment (0.2%) | |||||||||||
Texas Instruments, Inc. | (1,500 | ) | (85,080 | ) | |||||||
Software (0.4%) | |||||||||||
FactSet Research Systems, Inc. | (208 | ) | (36,425 | ) | |||||||
Workday, Inc. Class A | (1,375 | ) | (108,584 | )* | |||||||
(145,009 | ) | ||||||||||
Specialty Retail (0.7%) | |||||||||||
Fast Retailing Co. Ltd. ADR | (447 | ) | (16,244 | ) | |||||||
Foot Locker, Inc. | (600 | ) | (40,650 | ) | |||||||
L Brands, Inc. | (925 | ) | (88,782 | ) | |||||||
Tiffany & Co. | (584 | ) | (48,145 | ) |
Number of Shares | Value† | ||||||||||
Tractor Supply Co. | (814 | ) | $ | (75,205 | ) | ||||||
(269,026 | ) | ||||||||||
Textiles, Apparel & Luxury Goods (0.8%) | |||||||||||
lululemon athletica, Inc. | (2,706 | ) | (133,054 | )* | |||||||
Michael Kors Holdings Ltd. | (4,050 | ) | (156,492 | )* | |||||||
(289,546 | ) | ||||||||||
Thrifts & Mortgage Finance (0.3%) | |||||||||||
Home Capital Group, Inc. | (4,275 | ) | (104,129 | ) | |||||||
Trading Companies & Distributors (1.4%) | |||||||||||
Applied Industrial Technologies, Inc. | (600 | ) | (24,786 | ) | |||||||
Fastenal Co. | (4,711 | ) | (184,483 | ) | |||||||
MSC Industrial Direct Co., Inc. Class A | (2,518 | ) | (158,055 | ) | |||||||
WW Grainger, Inc. | (676 | ) | (141,960 | ) | |||||||
(509,284 | ) | ||||||||||
Total Common Stocks Sold Short (Proceeds $(11,879,934)) | (11,690,487 | ) | |||||||||
Exchange Traded Funds Sold Short (4.2%) | |||||||||||
Alerian MLP ETF | (8,328 | ) | (113,178 | ) | |||||||
Energy Select Sector SPDR Fund | (3,098 | ) | (210,757 | ) | |||||||
SPDR S&P 500 ETF Trust | (1,748 | ) | (363,462 | ) | |||||||
SPDR S&P Oil & Gas Exploration & Production ETF | (2,087 | ) | (77,386 | ) | |||||||
Utilities Select Sector SPDR Fund | (16,948 | ) | (741,475 | ) | |||||||
Total Exchange Traded Funds Sold Short (Proceeds $(1,492,763)) | (1,506,258 | ) | |||||||||
Exchange Traded Notes Sold Short (1.1%) | |||||||||||
JPMorgan Alerian MLP Index ETN (Proceeds $(382,948)) | (11,449 | ) | (380,107 | ) |
See Notes to Schedule of Investments
42
Schedule of Investments Neuberger Berman Long Short
Multi-Manager Fund (cont'd)
Number of Shares | Value† | ||||||||||
Master Limited Partnerships Sold Short (0.4%) | |||||||||||
Capital Markets (0.2%) | |||||||||||
KKR & Co. LP | (5,150 | ) | $ | (88,322 | ) | ||||||
Gas Utilities (0.0%) | |||||||||||
Ferrellgas Partners LP | (369 | ) | (7,528) | ||||||||
Oil, Gas & Consumable Fuels (0.2%) | |||||||||||
Holly Energy Partners LP | (86 | ) | (2,945 | ) | |||||||
Legacy Reserves LP | (4 | ) | (16 | ) | |||||||
Memorial Production Partners LP | (1,345 | ) | (7,505 | ) | |||||||
ONEOK Partners LP | (815 | ) | (25,941 | ) | |||||||
Targa Resources Partners LP | (358 | ) | (10,740 | ) | |||||||
TC PipeLines LP | (435 | ) | (22,472 | ) | |||||||
(69,619 | ) | ||||||||||
Total Master Limited Partnerships Sold Short (Proceeds $(166,492)) | (165,469 | ) | |||||||||
Total Short Positions (Proceeds $(13,922,137)) | (13,742,321 | ) |
See Notes to Schedule of Investments
43
Notes to Schedule of Investments
† 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, business development companies, exchange traded funds, exchange traded notes, preferred stocks, exchange traded purchased option contracts and written option contracts, rights, closed-end funds, master limited partnerships 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 services 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
44
Notes to Schedule of Investments (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.
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 forward foreign currency contracts ("forward contracts") is determined by Management by obtaining valuations from independent pricing services based on actual traded currency rates on independent pricing services' networks, along with other traded and quoted currency rates provided to the pricing services 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 independent pricing services 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 independent pricing services 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 independent pricing services using a model that considers a number of factors, which may include default probabilities, credit curves, recovery rates and cash flows (Level 2 inputs).
Investments in non-exchange traded investment companies are valued using the respective fund's daily calculated net asset value per share (Level 2 inputs).
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
If a valuation is not available from independent pricing services, 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 contracts ("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
See Notes to Financial Statements
45
Notes to Schedule of Investments (cont'd)
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 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 October 31, 2015:
Asset Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3§ | Total | ||||||||||||||||
Absolute Return Multi-Manager | |||||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Airlines | $ | 3,418,759 | $ | 54,943 | $ | — | $ | 3,473,702 | |||||||||||
Banks | 17,263,864 | 10,312,306 | — | 27,576,170 | |||||||||||||||
Building Products | — | 813,582 | — | 813,582 | |||||||||||||||
Capital Markets | 16,209,194 | 3,454,107 | — | 19,663,301 | |||||||||||||||
Chemicals | 24,419,657 | 4,817,260 | — | 29,236,917 | |||||||||||||||
Commercial Services & Supplies | 3,076,082 | 1,683,314 | — | 4,759,396 | |||||||||||||||
Construction & Engineering | — | 2,326,468 | — | 2,326,468 | |||||||||||||||
Containers & Packaging | 6,709,749 | 582,112 | — | 7,291,861 | |||||||||||||||
Diversified Financial Services | 21,199,427 | 1,778,740 | — | 22,978,167 | |||||||||||||||
Electric Utilities | 14,666,523 | 936,610 | — | 15,603,133 | |||||||||||||||
Electrical Equipment | — | 1,107,735 | — | 1,107,735 | |||||||||||||||
Electronic Equipment, Instruments & Components | 654,576 | 1,722,643 | — | 2,377,219 | |||||||||||||||
Food Products | 3,358,132 | 19,033,222 | — | 22,391,354 | |||||||||||||||
Health Care Equipment & Supplies | 13,458,559 | — | 16,100 | 13,474,659 | |||||||||||||||
Health Care Providers & Services | 33,155,522 | 78,112 | — | 33,233,634 | |||||||||||||||
Hotels, Restaurants & Leisure | 17,606,629 | 727,915 | — | 18,334,544 | |||||||||||||||
Household Durables | 2,468,705 | 2,291,569 | — | 4,760,274 | |||||||||||||||
Industrial Conglomerates | 15,524,742 | 1,537,027 | — | 17,061,769 |
See Notes to Financial Statements
46
Notes to Schedule of Investments (cont'd)
Asset Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3§ | Total | ||||||||||||||||
Insurance | $ | 28,101,317 | $ | 1,479,089 | $ | — | $ | 29,580,406 | |||||||||||
IT Services | 12,456,531 | 1,145,931 | — | 13,602,462 | |||||||||||||||
Machinery | 15,223,551 | 3,245,375 | — | 18,468,926 | |||||||||||||||
Marine | — | 413,394 | — | 413,394 | |||||||||||||||
Media | 58,215,434 | — | 750 | 58,216,184 | |||||||||||||||
Metals & Mining | 6,178,389 | 383,151 | — | 6,561,540 | |||||||||||||||
Multiline Retail | 462,094 | 777,711 | — | 1,239,805 | |||||||||||||||
Oil, Gas & Consumable Fuels | 39,053,035 | 566,373 | — | 39,619,408 | |||||||||||||||
Personal Products | — | 1,733,861 | — | 1,733,861 | |||||||||||||||
Real Estate Management & Development | 11,358,126 | 11,426,695 | — | 22,784,821 | |||||||||||||||
Semiconductors & Semiconductor Equipment | 43,953,783 | 1,057,593 | — | 45,011,376 | |||||||||||||||
Software | 19,581,529 | 495,586 | — | 20,077,115 | |||||||||||||||
Specialty Retail | 9,283,596 | 1,987,665 | — | 11,271,261 | |||||||||||||||
Trading Companies & Distributors | 7,377,596 | 398,155 | — | 7,775,751 | |||||||||||||||
Other Common Stocks^ | 337,251,215 | — | — | 337,251,215 | |||||||||||||||
Total Common Stocks | 781,686,316 | 78,368,244 | 16,850 | 860,071,410 | |||||||||||||||
Business Development Companies | 3,000,049 | — | — | 3,000,049 | |||||||||||||||
Preferred Stocks^ | 2,341,131 | — | — | 2,341,131 | |||||||||||||||
Exchange Traded Funds | 8,916,889 | — | — | 8,916,889 | |||||||||||||||
Closed-End Funds | — | 5,518,436 | — | 5,518,436 | |||||||||||||||
Master Limited Partnerships^ | 35,876,472 | — | — | 35,876,472 | |||||||||||||||
Rights | |||||||||||||||||||
Biotechnology | — | 68,200 | 3,505 | 71,705 | |||||||||||||||
Food & Staples Retailing | — | — | 44,800 | 44,800 | |||||||||||||||
Life Sciences Tools & Services | — | — | 14,655 | 14,655 | |||||||||||||||
Pharmaceuticals | — | — | — | — | |||||||||||||||
Wireless Telecommunication Services | — | — | 222,000 | 222,000 | |||||||||||||||
Other Rights^ | 227 | — | — | 227 | |||||||||||||||
Total Rights | 227 | 68,200 | 284,960 | 353,387 | |||||||||||||||
Warrants | |||||||||||||||||||
Insurance | — | — | 0 | z | 0 | z | |||||||||||||
Other Warrants^ | 94,704 | — | — | 94,704 | |||||||||||||||
Total Warrants | 94,704 | — | — | 94,704 | |||||||||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government | — | 1,038,680 | — | 1,038,680 | |||||||||||||||
Collateralized Mortgage Obligations | — | 20,602,642 | — | 20,602,642 | |||||||||||||||
Commercial Mortgage-Backed Securities | — | 56,368,771 | — | 56,368,771 | |||||||||||||||
Asset-Backed Securities | — | 103,495,898 | — | 103,495,898 |
See Notes to Financial Statements
47
Notes to Schedule of Investments (cont'd)
Asset Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3§ | Total | ||||||||||||||||
Bank Loan Obligations | |||||||||||||||||||
Commercial Services & Supplies | $ | — | $ | 13,746,627 | $ | 448,104 | $ | 14,194,731 | |||||||||||
Diversified Financial Services | — | 2,024,074 | 2,866,595 | 4,890,669 | |||||||||||||||
Electronic Equipment, Instruments & Components | — | 1,197,647 | 289,125 | 1,486,772 | |||||||||||||||
Food Products | — | 1,738,489 | 1,842,947 | 3,581,436 | |||||||||||||||
Household Products | — | 1,945,675 | 376,200 | 2,321,875 | |||||||||||||||
Independent Power & Renewable Electricity Producers | — | 1,918,287 | 687,060 | 2,605,347 | |||||||||||||||
Insurance | — | 5,914,026 | 770,829 | 6,684,855 | |||||||||||||||
Professional Services | — | — | 2,652,210 | 2,652,210 | |||||||||||||||
Other Bank Loan Obligations^ | — | 94,437,890 | — | 94,437,890 | |||||||||||||||
Total Bank Loan Obligations | — | 122,922,715 | 9,933,070 | 132,855,785 | |||||||||||||||
Corporate Debt Securities | |||||||||||||||||||
Banks | — | — | 18,557,500 | 18,557,500 | |||||||||||||||
Capital Markets | — | — | 6,200,000 | 6,200,000 | |||||||||||||||
Chemicals | — | — | 766 | 766 | |||||||||||||||
Other Corporate Debt Securities^ | — | 41,454,351 | — | 41,454,351 | |||||||||||||||
Total Corporate Debt Securities | — | 41,454,351 | 24,758,266 | 66,212,617 | |||||||||||||||
Municipal Notes | — | 2,087,969 | — | 2,087,969 | |||||||||||||||
Purchased Options | 9,601,599 | 130 | — | 9,601,729 | |||||||||||||||
Short-Term Investments | — | 259,368,124 | — | 259,368,124 | |||||||||||||||
Total Long Positions | 841,517,387 | 691,294,160 | 34,993,146 | 1,567,804,693 | |||||||||||||||
Long Short Multi-Manager | |||||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Banks | 642,303 | 348,754 | — | 991,057 | |||||||||||||||
Building Products | — | 29,974 | — | 29,974 | |||||||||||||||
Capital Markets | 590,563 | 130,316 | — | 720,879 | |||||||||||||||
Chemicals | 477,424 | 184,022 | — | 661,446 | |||||||||||||||
Commercial Services & Supplies | 377,449 | 58,819 | — | 436,268 | |||||||||||||||
Construction & Engineering | — | 84,481 | — | 84,481 | |||||||||||||||
Containers & Packaging | 448,732 | 20,092 | — | 468,824 | |||||||||||||||
Diversified Financial Services | 401,100 | 75,940 | — | 477,040 | |||||||||||||||
Electric Utilities | 1,147,190 | 35,875 | — | 1,183,065 | |||||||||||||||
Electrical Equipment | — | 45,214 | — | 45,214 | |||||||||||||||
Electronic Equipment, Instruments & Components | — | 69,367 | — | 69,367 | |||||||||||||||
Hotels, Restaurants & Leisure | 299,453 | 25,084 | — | 324,537 | |||||||||||||||
Household Durables | — | 92,004 | — | 92,004 | |||||||||||||||
Industrial Conglomerates | 574,791 | 54,988 | — | 629,779 |
See Notes to Financial Statements
48
Notes to Schedule of Investments (cont'd)
Asset Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3§ | Total | ||||||||||||||||
Insurance | $ | 138,312 | $ | 48,438 | $ | — | $ | 186,750 | |||||||||||
IT Services | 594,405 | 46,949 | — | 641,354 | |||||||||||||||
Machinery | 458,087 | 108,931 | — | 567,018 | |||||||||||||||
Marine | — | 15,699 | — | 15,699 | |||||||||||||||
Metals & Mining | 67,158 | 14,191 | — | 81,349 | |||||||||||||||
Multiline Retail | 16,086 | 26,818 | — | 42,904 | |||||||||||||||
Oil, Gas & Consumable Fuels | 1,533,499 | 19,364 | — | 1,552,863 | |||||||||||||||
Personal Products | — | 59,693 | — | 59,693 | |||||||||||||||
Real Estate Management & Development | 574,526 | 409,715 | — | 984,241 | |||||||||||||||
Semiconductors & Semiconductor Equipment | 428,479 | 41,359 | — | 469,838 | |||||||||||||||
Software | 369,718 | 15,987 | — | 385,705 | |||||||||||||||
Specialty Retail | — | 68,505 | — | 68,505 | |||||||||||||||
Trading Companies & Distributors | 39,676 | 16,362 | — | 56,038 | |||||||||||||||
Other Common Stocks^ | 12,258,412 | — | — | 12,258,412 | |||||||||||||||
Total Common Stocks | 21,437,363 | 2,146,941 | — | 23,584,304 | |||||||||||||||
Business Development Companies | 200,277 | — | — | 200,277 | |||||||||||||||
Preferred Stocks^ | 124,178 | — | — | 124,178 | |||||||||||||||
Exchange Traded Funds | 411,402 | — | — | 411,402 | |||||||||||||||
Closed-End Funds | — | 215,821 | — | 215,821 | |||||||||||||||
Master Limited Partnerships^ | 2,005,980 | — | — | 2,005,980 | |||||||||||||||
Purchased Options | 149,588 | 10 | — | 149,598 | |||||||||||||||
Short-Term Investments | — | 6,255,896 | — | 6,255,896 | |||||||||||||||
Total Long Positions | 24,328,788 | 8,618,668 | — | 32,947,456 |
^ The Schedule of Investments provides information on the industry categorization for the portfolio.
z A zero balance reflects actual amounts rounding to less than $1.
§ 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 10/31/15 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 10/31/15 | ||||||||||||||||||||||||||||
Investments in Securities: | ||||||||||||||||||||||||||||||||||||
Absolute Return Multi-Manager | ||||||||||||||||||||||||||||||||||||
Common Stocks‡ | ||||||||||||||||||||||||||||||||||||
Health Care Equipment & Supplies | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 16,100 | $ | — | $ | 16,100 | $ | — | ||||||||||||||||||
Media | 750 | — | — | — | — | — | — | 750 | — |
See Notes to Financial Statements
49
Notes to Schedule of Investments (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 10/31/15 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 10/31/15 | ||||||||||||||||||||||||||||
Rights‡ | ||||||||||||||||||||||||||||||||||||
Biotechnology | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 3,505 | $ | — | $ | 3,505 | $ | — | ||||||||||||||||||
Food & Staples Retailing | — | — | 44,800 | — | — | — | — | 44,800 | 44,800 | |||||||||||||||||||||||||||
Life Sciences Tools & Services | — | — | — | — | — | 14,655 | — | 14,655 | — | |||||||||||||||||||||||||||
Pharmaceuticals | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Wireless Telecommunication Services | — | — | 70,800 | — | — | 151,200 | — | 222,000 | 70,800 | |||||||||||||||||||||||||||
Warrants‡ | ||||||||||||||||||||||||||||||||||||
Insurance | — | — | (132,197 | ) | 132,197 | — | — | — | — | (132,197 | ) | |||||||||||||||||||||||||
Bank Loan ObligationsΩ | ||||||||||||||||||||||||||||||||||||
Advertising | 7,302,863 | 1,140 | 7,160 | 2,502 | (4,717,228 | ) | — | (2,596,437 | ) | — | — | |||||||||||||||||||||||||
Commercial Services & Supplies | 1,730,212 | 322 | 585,090 | 453,106 | (2,320,626 | ) | — | — | 448,104 | (2,613 | ) | |||||||||||||||||||||||||
Diversified Financial Services | — | 2,255 | 37,340 | 19 | — | 2,826,981 | — | 2,866,595 | 37,340 | |||||||||||||||||||||||||||
Electrical Components & Equipment | 663,300 | 1,981 | (1,981 | ) | — | (663,300 | ) | — | — | — | — | |||||||||||||||||||||||||
Electronic Equipment, Instruments & Components | — | 645 | (1,183 | ) | 635,941 | (346,278 | ) | — | — | 289,125 | (9,895 | ) | ||||||||||||||||||||||||
Food Products | — | 20,846 | 40,674 | — | (19,257 | ) | 1,800,684 | — | 1,842,947 | 40,189 | ||||||||||||||||||||||||||
Health Care Providers & Services | 179,144 | — | — | — | — | — | (179,144 | ) | — | — | ||||||||||||||||||||||||||
Hotels, Restaurants & Leisure | 494,518 | 360 | (360 | ) | — | (494,518 | ) | — | — | — | — | |||||||||||||||||||||||||
Household Products | — | 444 | 10,951 | 1,111,500 | (746,695 | ) | — | — | 376,200 | 5,487 |
See Notes to Financial Statements
50
Notes to Schedule of Investments (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 10/31/15 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 10/31/15 | ||||||||||||||||||||||||||||
Independent Power & Renewable Electricity Producers | $ | — | $ | 32 | $ | 6,908 | $ | 680,120 | $ | — | $ | — | $ | — | $ | 687,060 | $ | 6,908 | ||||||||||||||||||
Insurance | 1,000,000 | 461 | 9,222 | 1,697,480 | (936,334 | ) | — | (1,000,000 | ) | 770,829 | 3,574 | |||||||||||||||||||||||||
Media | 3,207,931 | 2,289 | (35,193 | ) | — | (3,175,027 | ) | — | — | — | — | |||||||||||||||||||||||||
Oil & Gas Services | 970,900 | — | — | — | — | — | (970,900 | ) | — | — | ||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels | 35,276 | — | — | — | — | — | (35,276 | ) | — | — | ||||||||||||||||||||||||||
Personal Products | 940,275 | 818 | 11,540 | 578,928 | (1,531,561 | ) | — | — | — | — | ||||||||||||||||||||||||||
Pharmaceuticals | 2,160,956 | 79 | 6,803 | 744,268 | (1,087,891 | ) | — | (1,824,215 | ) | — | — | |||||||||||||||||||||||||
Professional Services | — | 1,602 | 25,183 | 2,625,425 | — | — | — | 2,652,210 | 25,188 | |||||||||||||||||||||||||||
Software | 4,620,490 | — | — | — | — | — | (4,620,490 | ) | — | — | ||||||||||||||||||||||||||
Corporate Debt SecuritiesΩ | ||||||||||||||||||||||||||||||||||||
Banks | — | 56,960 | (154,460 | ) | 18,655,000 | — | — | — | 18,557,500 | (154,460 | ) | |||||||||||||||||||||||||
Capital Markets | — | 24,432 | (129,432 | ) | 6,305,000 | — | — | — | 6,200,000 | (129,432 | ) | |||||||||||||||||||||||||
Chemicals | — | — | (2,322 | ) | — | (13,770 | ) | 16,858 | — | 766 | (16,091 | ) | ||||||||||||||||||||||||
Diversified Financial Services | 2,304,120 | — | — | — | — | — | (2,304,120 | ) | — | — | ||||||||||||||||||||||||||
Total | $ | 25,610,735 | $ | 114,666 | $ | 399,343 | $ | 33,621,486 | $ | (16,052,485 | ) | $ | 4,829,983 | $ | (13,530,582 | ) | $ | 34,993,146 | $ | (210,402 | ) |
‡ As of the year ended October 31, 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 year ended October 31, 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, $13,530,582 was transferred from Level 3 to Level 2 for Absolute Return Multi-Manager. In addition, $4,829,983 was transferred from Level 2 to Level 3 for Absolute Return Multi-Manager. Bank loans, contingent value rights and corporate debt securities that transferred in or out of Level 3 were primarily due to the pricing methodology being based on a single broker quote (Level 3) or the pricing methodology being based on dated inputs by Management (Level 3). In addition, $58,458,180 and $1,642,639 was transferred from Level 1 to Level 2 for Absolute Return Multi-Manager and Long
See Notes to Financial Statements
51
Notes to Schedule of Investments (cont'd)
Short Multi-Manager, respectively. Interactive provided adjusted prices for these securities as of October 31, 2015, as stated in the description of the valuation methods of foreign equity securities in footnote † above.
The following is a summary, categorized by Level, of inputs used to value the Funds' derivatives as of October 31, 2015:
Asset Valuation Inputs | ||||||||||||||||
Level 1 | Level 2 | Level 3§ | Total | |||||||||||||
Absolute Return Multi-Manager | ||||||||||||||||
Forward contracts (unrealized appreciation) | $ | — | $ | 1,339,144 | $ | — | $ | 1,339,144 | ||||||||
OTC swap contracts (unrealized appreciation) | — | 3,287,641 | 171,716 | 3,459,357 | ||||||||||||
Total | $ | — | $ | 4,626,785 | $ | 171,716 | $ | 4,798,501 | ||||||||
Long Short Multi-Manager | ||||||||||||||||
Forward contracts (unrealized appreciation) | $ | — | $ | 51,609 | $ | — | $ | 51,609 | ||||||||
OTC swap contracts (unrealized appreciation) | — | 37,663 | — | 37,663 | ||||||||||||
Total | $ | — | $ | 89,272 | $ | — | $ | 89,272 |
§ 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 10/31/15 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 10/31/15 | |||||||||||||||||||||||||||||||
Investments in Securities: | |||||||||||||||||||||||||||||||||||||||
Absolute Return Multi-Manager | |||||||||||||||||||||||||||||||||||||||
Equity SwapsΩ | |||||||||||||||||||||||||||||||||||||||
United States | $ | — | $ | — | $ | 171,716 | $ | — | $ | — | $ | — | $ | — | $ | 171,716 | $ | 171,716 | |||||||||||||||||||||
Total | $ | — | $ | — | $ | 171,716 | $ | — | $ | — | $ | — | $ | — | $ | 171,716 | $ | 171,716 |
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' short investments as of October 31, 2015:
Liability Valuation Inputs | ||||||||||||||||
Level 1 | Level 2 | Level 3§ | Total | |||||||||||||
Absolute Return Multi-Manager | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks Sold Short | ||||||||||||||||
Automobiles | $ | (2,528,235 | ) | $ | (4,007,117 | ) | $ | — | $ | (6,535,352 | ) | |||||
Banks | (11,570,358 | ) | (1,596,237 | ) | — | (13,166,595 | ) | |||||||||
Chemicals | (7,798,970 | ) | (1,821,349 | ) | — | (9,620,319 | ) | |||||||||
Electronic Equipment, Instruments & Components | — | (3,437,575 | ) | — | (3,437,575 | ) |
See Notes to Financial Statements
52
Notes to Schedule of Investments (cont'd)
Level 1 | Level 2 | Level 3§ | Total | |||||||||||||
Food Products | $ | (5,846,802 | ) | $ | (4,096,262 | ) | $ | — | $ | (9,943,064 | ) | |||||
Health Care Equipment & Supplies | (14,577,103 | ) | (1,457,549 | ) | — | (16,034,652 | ) | |||||||||
Insurance | (14,281,437 | ) | (870,653 | ) | — | (15,152,090 | ) | |||||||||
IT Services | (1,807,032 | ) | — | (121,622 | ) | (1,928,654 | ) | |||||||||
Machinery | (14,716,245 | ) | (1,147,575 | ) | — | (15,863,820 | ) | |||||||||
Marine | — | (528,742 | ) | — | (528,742 | ) | ||||||||||
Pharmaceuticals | (7,542,598 | ) | (4,635,179 | ) | — | (12,177,777 | ) | |||||||||
Specialty Retail | (11,163,559 | ) | (474,867 | ) | — | (11,638,426 | ) | |||||||||
Other Common Stocks Sold Short^ | (182,592,045 | ) | — | — | (182,592,045 | ) | ||||||||||
Total Common Stocks Sold Short | (274,424,384 | ) | (24,073,105 | ) | (121,622 | ) | (298,619,111 | ) | ||||||||
Exchange Traded Funds Sold Short | (146,064,462 | ) | — | — | (146,064,462 | ) | ||||||||||
Exchange Traded Notes Sold Short | (5,528,962 | ) | — | — | (5,528,962 | ) | ||||||||||
Master Limited Partnerships Sold Short^ | (3,419,891 | ) | — | — | (3,419,891 | ) | ||||||||||
Corporate Debt Securities Sold Short^ | — | (10,573,435 | ) | — | (10,573,435 | ) | ||||||||||
Total Short Positions | $ | (429,437,699 | ) | $ | (34,646,540 | ) | $ | (121,622 | ) | $ | (464,205,861 | ) | ||||
Long Short Multi-Manager | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks Sold Short | ||||||||||||||||
Automobiles | $ | (124,194 | ) | $ | (155,411 | ) | $ | — | $ | (279,605 | ) | |||||
Banks | (332,340 | ) | (55,229 | ) | — | (387,569 | ) | |||||||||
Chemicals | (370,959 | ) | (70,705 | ) | — | (441,664 | ) | |||||||||
Electronic Equipment, Instruments & Components | — | (128,285 | ) | — | (128,285 | ) | ||||||||||
Food Products | (188,378 | ) | (163,101 | ) | — | (351,479 | ) | |||||||||
Health Care Equipment & Supplies | (710,405 | ) | (57,159 | ) | — | (767,564 | ) | |||||||||
Insurance | (218,671 | ) | (30,118 | ) | — | (248,789 | ) | |||||||||
Machinery | (745,194 | ) | (44,912 | ) | — | (790,106 | ) | |||||||||
Marine | — | (18,693 | ) | — | (18,693 | ) | ||||||||||
Pharmaceuticals | (440,732 | ) | (173,807 | ) | — | (614,539 | ) | |||||||||
Other Common Stocks Sold Short^ | (7,662,194 | ) | — | — | (7,662,194 | ) | ||||||||||
Total Common Stocks Sold Short | (10,793,067 | ) | (897,420 | ) | — | (11,690,487 | ) | |||||||||
Exchange Traded Funds Sold Short | (1,506,258 | ) | — | — | (1,506,258 | ) | ||||||||||
Exchange Traded Notes Sold Short | (380,107 | ) | — | — | (380,107 | ) | ||||||||||
Master Limited Partnerships Sold Short^ | (165,469 | ) | — | — | (165,469 | ) | ||||||||||
Total Short Positions | $ | (12,844,901 | ) | $ | (897,420 | ) | $ | — | $ | (13,742,321 | ) |
^ The Schedule of Investments provides information on the industry categorization for the portfolio.
See Notes to Financial Statements
53
Notes to Schedule of Investments (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 10/31/15 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 10/31/15 | |||||||||||||||||||||||||||||
Investments in Securities: | |||||||||||||||||||||||||||||||||||||
Absolute Return Multi-Manager | |||||||||||||||||||||||||||||||||||||
Common Stocks Sold ShortΩ | |||||||||||||||||||||||||||||||||||||
IT Services | $ | — | $ | — | $ | (77,687 | ) | $ | (43,935 | ) | $ | — | $ | — | $ | — | $ | (121,622 | ) | $ | (77,687 | ) | |||||||||||||||
Total | $ | — | $ | — | $ | (77,687 | ) | $ | (43,935 | ) | $ | — | $ | — | $ | — | $ | (121,622 | ) | $ | (77,687 | ) |
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 year ended October 31, 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, ($6,347,353) and (200,662) 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 October 31, 2015, as stated in the description of the valuation methods of foreign equity securities in footnote † above.
The following is a summary, categorized by Level, of inputs used to value the Funds' derivatives as of October 31, 2015:
Liability Valuation Inputs | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Absolute Return Multi-Manager | ||||||||||||||||
Forward contracts (unrealized depreciation) | $ | — | $ | (3,459,789 | ) | $ | — | $ | (3,459,789 | ) | ||||||
OTC swap contracts (unrealized depreciation) | — | (7,472,048 | ) | — | (7,472,048 | ) | ||||||||||
Centrally cleared swap contracts (unrealized depreciation) | — | (1,131,898 | ) | — | (1,131,898 | ) | ||||||||||
Options written | (2,784,183 | ) | — | — | (2,784,183 | ) | ||||||||||
Total | $ | (2,784,183 | ) | $ | (12,063,735 | ) | $ | — | $ | (14,847,918 | ) | |||||
Long Short Multi-Manager | ||||||||||||||||
Forward contracts (unrealized depreciation) | $ | — | $ | (145,999 | ) | $ | — | $ | (145,999 | ) | ||||||
OTC swap contracts (unrealized depreciation) | — | (94,041 | ) | — | (94,041 | ) | ||||||||||
Options written | (8,930 | ) | — | — | (8,930 | ) | ||||||||||
Total | $ | (8,930 | ) | $ | (240,040 | ) | $ | — | $ | (248,970 | ) |
See Notes to Financial Statements
54
Notes to Schedule of Investments (cont'd)
## At October 31, 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 | $ | 1,663,652,085 | $ | 27,338,195 | $ | (123,185,587 | ) | $ | (95,847,392 | ) | ||||||
Long Short Multi-Manager | 34,880,087 | 590,284 | (2,522,915 | ) | (1,932,631 | ) |
* Security did not produce income during the last twelve months.
^^ All or a portion of this security has not settled as of October 31, 2015 and thus may not have an interest rate in effect. Interest rates do not take effect until settlement.
± At October 31, 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 | |||||||||||
Brookdale Senior Living, Inc., Call | 745 | $ | 25 | November 2015 | $ | (14,900 | ) | ||||||||
Brookdale Senior Living, Inc., Put | 745 | 20 | November 2015 | (59,600 | ) | ||||||||||
Cablevision Systems Corp., Call | 703 | 33 | December 2015 | (24,605 | ) | ||||||||||
EMC Corp., Call | 787 | 30 | November 2015 | (3,148 | ) | ||||||||||
General Electric Co., Call | 2,322 | 35 | November 2015 | (6,966 | ) | ||||||||||
iShares Russell 2000 ETF, Put | 1,944 | 90 | December 2015 | (34,992 | ) | ||||||||||
Macy's, Inc., Put | 624 | 57.5 | February 2016 | (570,960 | ) | ||||||||||
Monsanto Co., Put | 300 | 105 | January 2017 | (525,000 | ) | ||||||||||
Pfizer, Inc., Put | 1,291 | 30 | March 2016 | (96,825 | ) | ||||||||||
Rite Aid Corp., Call | 109 | 8 | December 2015 | (1,308 | ) | ||||||||||
S&P 500 Index, Put | 600 | 1,700 | March 2016 | (1,002,000 | ) | ||||||||||
Starwood Hotels & Resorts Worldwide, Inc., Put | 616 | 82.5 | November 2015 | (308,000 | ) | ||||||||||
SunEdison, Inc., Call | 1,232 | 25 | January 2016 | (4,928 | ) | ||||||||||
Time Warner Cable, Inc., Call | 163 | 195 | November 2015 | (28,525 | ) | ||||||||||
Time Warner, Inc., Call | 559 | 90 | January 2016 | (15,652 | ) | ||||||||||
Time Warner, Inc., Put | 559 | 62.5 | January 2016 | (31,304 | ) | ||||||||||
United Continental Holdings, Inc., Call | 320 | 65 | December 2015 | (41,920 | ) | ||||||||||
United Continental Holdings, Inc., Put | 320 | 50 | December 2015 | (12,800 | ) | ||||||||||
Youku Tudou, Inc., Call | 30 | 25 | November 2015 | (750 | ) | ||||||||||
Total | $ | (2,784,183 | ) | ||||||||||||
Long Short Multi-Manager | |||||||||||||||
Name of Issuer | Contracts | Exercise Price | Expiration Date | Market Value of Options | |||||||||||
Brookdale Senior Living, Inc., Call | 50 | $ | 25 | November 2015 | $ | (1,000 | ) | ||||||||
Brookdale Senior Living, Inc., Put | 50 | 20 | November 2015 | (4,000 | ) | ||||||||||
General Electric Co., Call | 113 | 35 | November 2015 | (339 | ) | ||||||||||
United Continental Holdings, Inc., Call | 21 | 65 | December 2015 | (2,751 | ) | ||||||||||
United Continental Holdings, Inc., Put | 21 | 50 | December 2015 | (840 | ) | ||||||||||
Total | $ | (8,930 | ) |
See Notes to Financial Statements
55
Notes to Schedule of Investments (cont'd)
≠ Security had an event of default.
¢ All or a portion of this security was purchased on a delayed delivery basis.
£ At October 31, 2015, Absolute Return Multi-Manager had pledged securities in the amount of $107,920,513 to cover collateral requirements for borrowing in connection with securities sold short and option contracts written. At October 31, 2015, Long Short Multi-Manager had pledged securities in the amount of $4,685,518 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.
b All or a portion of this security has been pledged as collateral.
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 otherwise restricted 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 October 31, 2015, these securities amounted to $182,022,218 of long positions and $(4,930,749) of short positions, or 11.0% and (0.3)%, respectively, of net assets for Absolute Return Multi-Manager. At October 31, 2015, these securities amounted to $35,563 of long positions or 0.1% of net assets for Long Short Multi-Manager.
N These securities have been deemed by the investment manager to be illiquid. At October 31, 2015, these securities amounted to $62,527,558 of long positions and $(121,622) of short positions, or 3.8% and (0.0)%, of net assets for Absolute Return Multi-Manager.
Ø All or a portion of this security and/or cash is segregated in connection with obligations for securities sold short and/or delayed delivery purchase commitments and/or call and put options contracts written and/or forward contracts and/or swap contracts.
ØØ At October 31, 2015, Absolute Return Multi-Manager had deposited $471,088,911 in one or more accounts to satisfy collateral requirements for borrowing in connection with securities sold short. At October 31, 2015, Long Short Multi-Manager had deposited $14,292,788 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 October 31, 2015 and their final maturities.
² The rate shown is the annualized seven day yield as of October 31, 2015.
††† See Note A in the Notes to Financial Statements for the Funds' open positions in derivatives at October 31, 2015.
# These securities have been deemed by the investment manager to be illiquid, and are restricted securities subject to restrictions on resale. Securities were purchased under Rule 144A of the 1933 Act or are otherwise restricted and, unless registered under the 1933 Act or exempted from registration, may only be sold to qualified institutional investors.
See Notes to Financial Statements
56
Notes to Schedule of Investments (cont'd)
At October 31, 2015, these securities amounted to $6,459,683 or 0.4% of net assets for Absolute Return Multi-Manager.
Fund: | Restricted Security | Acquisition Date | Acquisition Cost | Acquisition Cost Percentage of Net Assets as of Acquisition Date | Value as 10/31/15 | Fair Value Percentage of Net Assets as of 10/31/15 | |||||||||||||||||||||
Absolute Return Multi-Manager | Emigrant Capital Trust V, 1.88%, due 7/1/37 | 7/29/15 | $ | 6,305,000 | 0.4 | % | $ | 6,200,000 | 0.4 | % | |||||||||||||||||
Absolute Return Multi-Manager | Michael Baker Holdings LLC, 8.88% Cash/9.63% PIK, due 4/15/19 | 4/4/14 | $ | 599,940 | 0.0 | % | $ | 259,683 | 0.0 | % | |||||||||||||||||
Total |
|
| $ | 6,904,940 | 0.4 | % | $ | 6,459,683 | 0.4 | % |
See Notes to Financial Statements
57
Statements of Assets and Liabilities
Neuberger Berman Alternative Funds
ABSOLUTE RETURN MULTI-MANAGER FUND | LONG SHORT MULTI-MANAGER FUND | |||||||
October 31, 2015 | October 31, 2015 | |||||||
Assets | ||||||||
Investments in securities, at value* (Note A)—see Schedule of Investments: | ||||||||
Unaffiliated issuers | $ | 1,567,804,693 | $ | 32,947,456 | ||||
Due from custodian | 378,444 | — | ||||||
Foreign currency* | 76,694,957 | 3,198,393 | ||||||
Cash collateral segregated for short sales (Note A) | 471,088,911 | 14,292,788 | ||||||
Cash collateral segregated for swap contracts (Note A) | 37,632,652 | — | ||||||
Dividends and interest receivable | 3,188,793 | 63,736 | ||||||
Foreign tax reclaims | 154,471 | 2,982 | ||||||
Receivable for securities sold | 99,264,028 | 3,048,629 | ||||||
Receivable for Fund shares sold | 2,029,380 | 30 | ||||||
Receivable from administrator—net (Note B) | — | 54,459 | ||||||
OTC swap contracts, at value (Note A) | 3,459,357 | 37,663 | ||||||
Receivable for forward foreign currency contracts (Note A) | 1,339,144 | 51,609 | ||||||
Prepaid expenses and other assets | 85,349 | 12,586 | ||||||
Total Assets | 2,263,120,179 | 53,710,331 | ||||||
Liabilities | ||||||||
Investments sold short, at value** (Note A) | 464,205,861 | 13,742,321 | ||||||
Option contracts written, at value*** (Note A) | 2,784,183 | 8,930 | ||||||
Due to custodian | 31,146,480 | 1,203,825 | ||||||
Dividends and interest payable for short sales | 851,212 | 24,150 | ||||||
OTC swap contracts, at value (Note A) | 7,472,048 | 94,041 | ||||||
Payable to administrator—net (Note B) | 275,109 | — | ||||||
Payable to investment manager (Note B) | 2,328,338 | 54,321 | ||||||
Payable for securities purchased | 87,328,432 | 2,326,380 | ||||||
Payable for Fund shares redeemed | 4,505,338 | — | ||||||
Payable for variation margin on centrally cleared swap contracts (Note A) | 12,497 | — | ||||||
Payable for forward foreign currency contracts (Note A) | 3,459,789 | 145,999 | ||||||
Accrued expenses and other payables | 415,974 | 98,698 | ||||||
Total Liabilities | 604,785,261 | 17,698,665 | ||||||
Net Assets | $ | 1,658,334,918 | $ | 36,011,666 | ||||
Net Assets consist of: | ||||||||
Paid-in capital | $ | 1,742,836,636 | $ | 37,134,160 | ||||
Undistributed net investment income (loss) | 4,301,704 | 35,414 | ||||||
Accumulated net realized gains (losses) on investments | (28,483,751 | ) | (218,022 | ) | ||||
Net unrealized appreciation (depreciation) in value of investments | (60,319,671 | ) | (939,886 | ) | ||||
Net Assets | $ | 1,658,334,918 | $ | 36,011,666 | ||||
Net Assets | ||||||||
Institutional Class | $ | 1,343,277,662 | $ | 33,493,767 | ||||
Class A | 210,616,828 | 1,214,615 | ||||||
Class C | 87,052,676 | 1,303,284 | ||||||
Class R6 | 17,387,752 | — |
See Notes to Financial Statements
58
Statements of Assets and Liabilities (cont'd)
Neuberger Berman Alternative Funds (cont'd)
ABSOLUTE RETURN MULTI-MANAGER FUND | LONG SHORT MULTI-MANAGER FUND | |||||||
October 31, 2015 | October 31, 2015 | |||||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | ||||||||
Institutional Class | 128,291,953 | 3,328,527 | ||||||
Class A | 20,245,238 | 121,317 | ||||||
Class C | 8,572,943 | 132,014 | ||||||
Class R6 | 1,660,376 | — | ||||||
Net Asset Value, offering and redemption price per share | ||||||||
Institutional Class | $ | 10.47 | $ | 10.06 | ||||
Class R6 | $ | 10.47 | — | |||||
Net Asset Value and redemption price per share | ||||||||
Class A | $ | 10.40 | $ | 10.01 | ||||
Offering Price per share | ||||||||
Class A‡ | $ | 11.03 | $ | 10.62 | ||||
Net Asset Value and offering price per share | ||||||||
Class C^ | $ | 10.15 | $ | 9.87 | ||||
*Cost of Investments: | ||||||||
Unaffiliated issuers | $ | 1,629,985,282 | $ | 33,901,321 | ||||
Total cost of foreign currency | $ | 76,660,777 | $ | 3,215,206 | ||||
**Proceeds from investments sold short | $ | 470,413,768 | $ | 13,922,137 | ||||
***Premium received from option contracts written | $ | 4,939,440 | $ | 9,074 |
‡ 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
59
Statements of Operations
Neuberger Berman Alternative Funds
ABSOLUTE RETURN MULTI-MANAGER FUND | LONG SHORT MULTI-MANAGER FUND | |||||||
For the Year Ended October 31, 2015 | For the Year Ended October 31, 2015 | |||||||
Investment Income: | ||||||||
Income (Note A): | ||||||||
Dividend income—unaffiliated issuers | $ | 16,991,876 | $ | 520,834 | ||||
Interest income—unaffiliated issuers | 21,333,568 | 465 | ||||||
Foreign taxes withheld (Note A) | (380,581 | ) | (13,090 | ) | ||||
Total income | $ | 37,944,863 | $ | 508,209 | ||||
Expenses: | ||||||||
Investment management fees (Note B) | 26,777,867 | 614,925 | ||||||
Administration fees (Note B) | 981,993 | 21,703 | ||||||
Administration fees (Note B): | ||||||||
Institutional Class | 1,166,493 | 31,181 | ||||||
Class A | 447,986 | 1,854 | ||||||
Class C | 185,330 | 1,200 | ||||||
Class R6 | 4,791 | — | ||||||
Distribution fees (Note B): | ||||||||
Class A | 559,976 | 2,317 | ||||||
Class C | 926,642 | 5,998 | ||||||
Shareholder servicing agent fees: | ||||||||
Institutional Class | 81,855 | 1,906 | ||||||
Class A | 68,353 | 363 | ||||||
Class C | 17,780 | 241 | ||||||
Class R6 | 1,475 | — | ||||||
Audit fees | 104,400 | 59,300 | ||||||
Custodian and accounting fees (Note A) | 787,809 | 182,929 | ||||||
Legal fees | 330,578 | 174,940 | ||||||
Registration and filing fees | 246,653 | 65,108 | ||||||
Reimbursement of expenses previously assumed by Management (Note B) | 1,045,688 | — | ||||||
Shareholder reports | 170,659 | — | ||||||
Trustees' fees and expenses | 35,371 | 28,349 | ||||||
Short sales expense (Note A) | 2,802,962 | 56,713 | ||||||
Dividend and interest expense on securities sold short (Note A) | 9,234,379 | 264,607 | ||||||
Miscellaneous | 103,357 | — | ||||||
Total expenses | 46,082,397 | 1,513,634 | ||||||
Expenses reimbursed by Management (Note B) | — | (469,554 | ) | |||||
Expenses reduced by custodian fee expense offset arrangement (Note A) | (1,537 | ) | — | |||||
Total net expenses | 46,080,860 | 1,044,080 | ||||||
Net investment income (loss) | $ | (8,135,997 | ) | $ | (535,871 | ) |
See Notes to Financial Statements
60
Statements of Operations (cont'd)
Neuberger Berman Alternative Funds (cont'd)
ABSOLUTE RETURN MULTI-MANAGER FUND | LONG SHORT MULTI-MANAGER FUND | |||||||
For the Year Ended October 31, 2015 | For the Year Ended October 31, 2015 | |||||||
Realized and Unrealized Gain (Loss) on Investments (Note A): | ||||||||
Net realized gain (loss) on: | ||||||||
Sales of investment securities of unaffiliated issuers | 1,093,250 | 181,787 | ||||||
Sales of investment securities of unaffiliated issuers sold short | 1,427,766 | (2,919 | ) | |||||
Forward foreign currency contracts | 20,332,813 | 754,285 | ||||||
Foreign currency | (2,664,637 | ) | (173,710 | ) | ||||
Financial futures contracts | (86,561 | ) | — | |||||
Option contracts written | 6,383,180 | 22,871 | ||||||
Swap contracts | (7,659,897 | ) | 10,128 | |||||
Change in net unrealized appreciation (depreciation) in value of: | ||||||||
Unaffiliated investment securities | (65,266,954 | ) | (1,591,252 | ) | ||||
Unaffiliated investment securities sold short | 16,773,210 | 493,460 | ||||||
Forward foreign currency contracts | (11,074,231 | ) | (428,522 | ) | ||||
Foreign currency | 1,038,154 | 23,387 | ||||||
Financial futures contracts | 38,769 | — | ||||||
Option contracts written | 1,274,401 | 144 | ||||||
Swap contracts | 507,698 | (41,853 | ) | |||||
Net gain (loss) on investments | (37,883,039 | ) | (752,194 | ) | ||||
Net increase (decrease) in net assets resulting from operations | $ | (46,019,036 | ) | $ | (1,288,065 | ) |
See Notes to Financial Statements
61
Statements of Changes in Net Assets
Neuberger Berman Alternative Funds
ABSOLUTE RETURN MULTI-MANAGER FUND | LONG SHORT MULTI-MANAGER FUND | ||||||||||||||||||
Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2015 | 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) | $ | (8,135,997 | ) | $ | (2,746,039 | ) | $ | (535,871 | ) | $ | (240,221 | ) | |||||||
Net realized gain (loss) on investments | 18,825,914 | 14,520,979 | 792,442 | 68,059 | |||||||||||||||
Change in net unrealized appreciation (depreciation) of investments | (56,708,953 | ) | (8,859,928 | ) | (1,544,636 | ) | 604,750 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | (46,019,036 | ) | 2,915,012 | (1,288,065 | ) | 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 | 777,256,787 | 1,255,772,758 | 15,632,134 | 31,805,466 | |||||||||||||||
Class A | 100,675,177 | 410,998,109 | 938,672 | 1,304,866 | |||||||||||||||
Class C | 24,880,211 | 82,073,906 | 1,321,493 | 263,695 | |||||||||||||||
Class R6 | 25,419,293 | 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 | (668,142,543 | ) | (305,059,216 | ) | (11,780,124 | ) | (1,405,540 | ) | |||||||||||
Class A | (126,053,207 | ) | (296,348,593 | ) | (541,005 | ) | (445,888 | ) | |||||||||||
Class C | (29,562,427 | ) | (7,428,396 | ) | (199,995 | ) | (18,196 | ) | |||||||||||
Class R6 | (39,577,206 | ) | (6,625,000 | ) | |||||||||||||||
Net increase (decrease) from Fund share transactions | 103,633,299 | 1,176,530,238 | 5,631,042 | 31,504,403 | |||||||||||||||
Net Increase (Decrease) in Net Assets | 13,022,271 | 1,175,016,319 | 4,074,675 | 31,936,991 | |||||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of year | 1,645,312,647 | 470,296,328 | 31,936,991 | — | |||||||||||||||
End of year | $ | 1,658,334,918 | $ | 1,645,312,647 | $ | 36,011,666 | $ | 31,936,991 | |||||||||||
Undistributed net investment income (loss) at end of period | 4,301,704 | (3,573,831 | ) | 35,414 | (266,354 | ) |
See Notes to Financial Statements
62
Notes to Financial Statements Alternative and
Multi-Asset Class Funds
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.
63
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 October 31, 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, 2015, 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, 2015, 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 | $ | (41,484 | ) | $ | 25,255,585 | $ | (25,214,101 | ) | ||||
Long Short Multi-Manager | (868 | ) | 883,619 | (882,751 | ) |
The tax character of distributions paid during the year ended October 31, 2015 and the period ended October 31, 2014 was as follows:
Distributions Paid From: | |||||||||||||||||||||||||||||||||||||||||||
Ordinary Income | Tax-Exempt Income | Long-Term Capital Gain | Return of Capital | Total | |||||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | 2014 | ||||||||||||||||||||||||||||||||||
Absolute Return Multi-Manager | $ | 43,555,538 | $ | 4,428,931 | $ | — | $ | — | $ | 1,036,454 | $ | — | $ | — | $ | — | $ | 44,591,992 | $ | 4,428,931 | |||||||||||||||||||||||
Long Short Multi-Manager | 268,302 | — | (1) | — | — | (1) | — | — | (1) | — | — | (1) | 268,302 | — | (1) |
(1) Period from December 19, 2013 (commencement of operations) to October 31, 2014.
As of October 31, 2015, 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 | $ | 13,192,016 | $ | — | $ | (91,484,690 | ) | $ | — | $ | (6,209,044 | ) | $ | (84,501,718 | ) | |||||||||
Long Short Multi-Manager | 811,119 | 128,619 | (1,953,351 | ) | — | (108,881 | ) | (1,122,494 | ) |
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
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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.
Foreign capital gains on certain foreign securities may be subject to foreign taxes, which are accrued as applicable. At October 31, 2015, there were no outstanding balances of accrued capital gains taxes for the Funds.
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 Absolute Return Multi-Manager and Long Short Multi-Manager to pass through to its shareholders substantially all Real Estate Investment Trust ("REIT") distributions and other income it receives, less operating expenses. The distributions received from REITs held by Absolute Return Multi-Manager and Long Short Multi-Manager are generally composed of income, capital gains, and/or return of REIT capital, but the REITs do not report this information to Absolute Return Multi-Manager and Long Short Multi-Manager until the following calendar year. At October 31, 2015, Absolute Return Multi-Manager and Long Short Multi-Manager estimated these amounts for the period January 1, 2015 to October 31, 2015 within the financial statements since the information is not available from the REITs until after each Fund's fiscal year-end. All estimates are based upon REIT information sources available to Absolute Return Multi-Manager and Long Short Multi-Manager together with actual IRS Forms 1099-DIV received to date. For the year ended October 31, 2015, the character of distributions paid to shareholders of Absolute Return Multi-Manager and Long Short Multi-Manager disclosed within the Statements of Changes in Net Assets is based on estimates made at that time. Based on past experience it is possible that a portion of Absolute Return Multi-Manager's and Long Short Multi-Manager's distributions during the current fiscal year, if any, 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 Absolute Return Multi-Manager and Long Short Multi-Manager 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 Absolute Return Multi-Manager and Long Short Multi-Manager of the actual breakdown of distributions paid to Absolute Return Multi-Manager and Long Short Multi-Manager during its fiscal year, estimates previously recorded are adjusted on the books of Absolute Return Multi-Manager and Long Short Multi-Manager to reflect actual results. As a result, the composition Absolute Return Multi-Manager's and Long Short Multi-Manager's distributions as reported herein may differ from the final composition determined after calendar year-end and reported to Absolute Return Multi-Manager and Long Short Multi-Manager shareholders on IRS Form 1099-DIV.
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.
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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 October 31, 2015, Absolute Return Multi-Manager and Long Short Multi-Manager had pledged cash in the amount of $471,088,911 and $14,292,788, respectively, to J.P. Morgan Chase Bank, N.A. ("JPM"), as collateral for short sales. In addition, JPM has a perfected security interest in these Absolute Return Multi-Manager and Long Short Multi-Manager assets. At October 31, 2015, Absolute Return Multi-Manager and Long Short Multi-Manager had pledged securities in the amount of $107,920,513 and $4,685,518, respectively, to JPM to cover collateral requirements for borrowing in connection with securities sold short.
11 Investment company securities, exchange-traded funds and exchange-traded notes: 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. The Funds may also invest in exchange-traded notes ("ETNs"). ETNs are senior, unsecured, unsubordinated debt securities that are linked to the performance of a particular market index or strategy. The issuer of the ETN pays the Fund an amount based on the returns of the underlying index or strategy, plus principal at maturity. A Fund will bear any applicable fees to the issuer upon redemption or maturity, which will increase expenses and decrease returns.
12 Derivative instruments: During the year ended October 31, 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
66
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 year ended October 31, 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.
At October 31, 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 | 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 | 5.000 | September 20, 2020 | $ | 320,330 | $ | (126,297 | ) | $ | 194,033 | $ | (11,111 | ) | $ | 182,922 | |||||||||||||||
J.P. Morgan Chase Bank, N.A. | Avon Products, Inc., 6.500%, 03/01/19 | 1,000,000 | 5.000 | December 20, 2020 | 171,257 | (173,611 | ) | (2,354 | ) | (5,556 | ) | (7,910 | ) | |||||||||||||||||||
J.P. Morgan Chase Bank, N.A. | Best Buy Co., Inc., 5.500%, 03/15/21 | 3,000,000 | 5.000 | September 20, 2020 | (464,595 | ) | 358,129 | (106,466 | ) | (16,666 | ) | (123,132 | ) | |||||||||||||||||||
J.P. Morgan Chase Bank, N.A. | Darden Restaurants, Inc., 6.200%, 10/15/17 | 5,000,000 | 1.000 | September 20, 2020 | (22,392 | ) | 34,546 | 12,154 | (5,556 | ) | 6,598 |
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Swap | Reference | Notional | Contract | Termination | Market | Unamortized | Unrealized | Accrued | Total | ||||||||||||||||||||||||||
J.P. Morgan
| JC Penney
| $ | 3,000,000 | 5.000 | September 20, 2020
| $ | 156,527 | $ | (140,330 | ) | $ | 16,197 | $ | (16,667 | ) | $ | (470 | ) | |||||||||||||||||
J.P. Morgan
| Staples, Inc.,
| 3,000,000 | 1.000 | September 20, 2020
| 95,913 | (86,859 | ) | 9,054 | (3,333 | ) | 5,721 | ||||||||||||||||||||||||
J.P. Morgan
| United States
| 1,000,000 | 5.000 | December 20, 2018
| 198,715 | (184,356 | ) | 14,359 | (5,556 | ) | 8,803 | ||||||||||||||||||||||||
J.P. Morgan | United States | 2,000,000 | 5.000 | September 20, 2020 | 592,663 | (43,953 | ) | 548,710 | (11,111 | ) | 537,599 | ||||||||||||||||||||||||
Total | $ | 1,048,418 | $ | (362,731 | ) | $ | 685,687 | $ | (75,556 | ) | $ | 610,131 |
* 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 swaps.
(1) For the year ended October 31, 2015, the average notional value of OTC credit default swaps for Absolute Return Multi-Manager was $18,307,692.
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. 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. For the year ended October 31, 2015, only the credit default index swaps in Absolute Return were centrally cleared.
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At October 31, 2015, Absolute Return Multi-Manager had outstanding centrally cleared credit default index swaps as follows:
Centrally Cleared Credit Default Swap Index Contracts—Buy Protection
Clearinghouse | Reference | Notional | Contract | Termination | Market | Unamortized | Unrealized | Accrued | Total | ||||||||||||||||||||||||||||
ICE Clear | CDX North
| $ | 10,000,000 | 1.000 | June 20, | $ | (112,700 | ) | $ | 131,929 | $ | 19,229 | $ | (11,111 | ) | $ | 8,118 | ||||||||||||||||||||
ICE Clear | iTraxx | 11,000,000 | 5.000 | June 20, | (940,886 | ) | 863,525 | (77,361 | ) | (67,201 | ) | (144,562 | ) | ||||||||||||||||||||||||
Total | $ | (1,053,586 | ) | $ | 995,454 | $ | (58,132 | ) | $ | (78,312 | ) | $ | (136,444 | ) |
* 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 centrally cleared credit default index swaps.
(1) For the year ended October 31, 2015, the average notional value of credit default index swaps for Absolute Return Multi-Manager was $18,875,831.
Financial futures contracts: During the year ended October 31, 2015, Absolute Return Multi-Manager used financial futures for economic hedging purposes. At October 31, 2015, Absolute Return Multi-Manager and 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 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.
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During the year ended October 31, 2015, the average notional value of financial futures contracts for Absolute Return Multi-Manager was $(6,067,806) for short positions.
Equity swap contracts: During the year ended October 31, 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 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 future market trends, the values of assets or economic factors are not accurately analyzed and predicted, the 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 October 31, 2015, the outstanding equity swaps* for the Funds were as follows:
Absolute Return Multi-Manager | ||||||||
Counterparty | Description | Expiration Date(s) | Value | |||||
J.P. Morgan Chase Bank, N.A. | The Fund receives the total return on long positions and pays a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions. The Fund pays the total return on short positions and receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions. | 12/17/15-9/19/16 | $ | (4,924,242 | ) |
* The following table represents the individual long and short positions and related values of the equity swaps as of October 31, 2015.
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | |||||||||
Long Positions | ||||||||||||
Brazil | ||||||||||||
Porto Sudeste Royalties FIP | 3,867,765 | $ | 4,670,237 | $ | (2,313,403 | ) | ||||||
Canada | ||||||||||||
Athabasca Oil Corp. | 1,608,346 | 2,811,280 | (892,483 | ) | ||||||||
France | ||||||||||||
Alstom SA | 56,182 | 1,737,899 | 94,512 | |||||||||
Klepierre | 50,392 | 2,324,419 | 68,062 | |||||||||
Schneider Electric SE | 38,550 | 2,270,629 | 64,295 | |||||||||
Societe Television Francaise 1 | 117,270 | 1,645,987 | (135,268 | ) | ||||||||
Vivendi SA | 34,288 | 819,938 | 6,362 | |||||||||
97,963 | ||||||||||||
Ireland | ||||||||||||
Bank of Ireland | 6,201,035 | 2,386,032 | (74,402 | ) | ||||||||
CRH PLC | 123,345 | 3,454,741 | (82,822 | ) | ||||||||
Kerry Group PLC | 14,779 | 1,081,813 | 120,002 | |||||||||
Permanent TSB Group Holdings PLC | 209,296 | 1,115,286 | (109,520 | ) | ||||||||
Shire PLC | 31,995 | 2,325,404 | 103,778 | |||||||||
(42,964 | ) |
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Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | |||||||||
Netherlands | ||||||||||||
Euronext NV | 26,047 | $ | 1,135,032 | $ | 10,099 | |||||||
United Kingdom | ||||||||||||
Alent PLC | 327,817 | 2,414,483 | 106,266 | |||||||||
Associated British Foods PLC | 45,555 | 2,240,552 | 185,811 | |||||||||
AstraZeneca PLC | 17,028 | 1,124,105 | (34,583 | ) | ||||||||
BG Group PLC | 758,327 | 12,185,537 | (202,909 | ) | ||||||||
Diageo PLC | 41,397 | 1,131,934 | 66,880 | |||||||||
Pearson PLC | 40,700 | 692,039 | (151,507 | ) | ||||||||
Premier Oil PLC | 427,700 | 787,474 | (335,825 | ) | ||||||||
Prudential PLC | 62,792 | 1,370,761 | 99,633 | |||||||||
Rexam PLC | 935,914 | 8,166,217 | (375,070 | ) | ||||||||
RSA Insurance Group PLC | 281,851 | 1,806,651 | 22,166 | |||||||||
SABMiller PLC | 227,119 | 13,875,526 | 112,033 | |||||||||
Spire Healthcare Group PLC | 98,847 | 508,929 | 62,353 | |||||||||
UBM PLC | 136,651 | 1,107,146 | (28,560 | ) | ||||||||
(473,312 | ) | |||||||||||
United States | ||||||||||||
Atlas Energy Group LLC | 103,890 | 252,788 | (37,735 | ) | ||||||||
MarkWest Energy Partners LP | 68,113 | 4,477,179 | (1,502,003 | ) | ||||||||
Northern Tier Energy LP | 24,819 | 653,861 | 12,281 | |||||||||
Safeway, Inc. | 429,292 | 0 | z | 150,252 | ||||||||
Safeway, Inc. | 429,292 | 0 | z | 21,464 | ||||||||
The Williams Cos., Inc. | 89,691 | 3,424,788 | 112,625 | |||||||||
(1,243,116 | ) | |||||||||||
Total Long Positions of Portfolio Equity Swaps | (4,857,216 | ) | ||||||||||
Short Positions | ||||||||||||
France | ||||||||||||
Legrand SA | (20,649 | ) | (1,076,673 | ) | (57,298 | ) | ||||||
L'Oreal SA | (6,527 | ) | (1,116,718 | ) | (75,092 | ) | ||||||
LVMH Moet Hennessy Louis Vuitton SE | (6,659 | ) | (1,093,744 | ) | (148,164 | ) | ||||||
Sanofi | (11,783 | ) | (1,099,364 | ) | (90,752 | ) | ||||||
(371,306 | ) | |||||||||||
Ireland | ||||||||||||
Experian PLC | (84,359 | ) | (1,355,224 | ) | (85,706 | ) | ||||||
Ryanair Holdings PLC | (37,329 | ) | (553,310 | ) | (849 | ) | ||||||
(86,555 | ) | |||||||||||
Netherlands | ||||||||||||
Royal Dutch Shell PLC | (337,761 | ) | (9,220,252 | ) | 368,482 | |||||||
Spain | ||||||||||||
Banco Bilbao Vizcaya Argentaria SA | (212,082 | ) | (1,853,304 | ) | 24,890 | |||||||
Mediaset Espana Comunicacion SA | (104,444 | ) | (1,182,004 | ) | (87,683 | ) | ||||||
Repsol SA | (46,176 | ) | (591,109 | ) | 8,438 | |||||||
(54,355 | ) |
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Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | |||||||||
United Kingdom | ||||||||||||
Aberdeen Asset Management PLC | (225,033 | ) | $ | (1,197,298 | ) | $ | (5,442 | ) | ||||
Barratt Developments PLC | (68,859 | ) | (645,892 | ) | (4,295 | ) | ||||||
Berkeley Group Holdings PLC | (11,053 | ) | (559,098 | ) | (6,267 | ) | ||||||
easyJet PLC | (20,917 | ) | (562,565 | ) | (1,733 | ) | ||||||
(17,737 | ) | |||||||||||
United States | ||||||||||||
Energy Transfer Equity LP | (136,993 | ) | (2,948,405 | ) | (3,795 | ) | ||||||
Total Short Positions of Equity Swaps | (165,266 | ) | ||||||||||
Total Long and Short Positions of Equity Swaps | (5,022,482 | ) | ||||||||||
Financing Costs and Other Receivables (Payables) | 98,240 | |||||||||||
J.P. Morgan Chase Bank, N.A. Equity Swaps, at value | $ | (4,924,242 | ) |
z A zero balance reflects actual amounts rounding to less than $1.
Counterparty | Description | Expiration Date(s) | Value | ||||||
Morgan Stanley | The Fund receives the total return on long positions and pays a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign | ||||||||
| currencies based on the local currencies of the positions. The Fund pays the | ||||||||
| total return on short positions and receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions. | 7/11/16 | $ | (1,524 | ) |
* The following table represents the individual short position and related values of the equity swaps as of October 31, 2015.
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | |||||||||
Short Positions | ||||||||||||
United States | ||||||||||||
Utilities Select Sector SPDR Fund | (960 | ) | $ | (40,537 | ) | $ | (1,463 | ) | ||||
Total Short Positions of Equity Swaps | (1,463 | ) | ||||||||||
Financing Costs and Other Receivables (Payables) | (61 | ) | ||||||||||
Morgan Stanley Equity Swaps, at value | $ | (1,524 | ) | |||||||||
Total Equity Swaps, at value | $ | (4,925,766 | ) |
(a) Notional value represents the value (including any fees or commissions) of the long and short positions when they were established.
(b) For the year ended October 31, 2015, the average notional value of equity swaps was $63,939,293 for long positions and $(16,413,364) for short positions, respectively for Absolute Return Multi-Manager.
72
Long Short Multi-Manager | |||||||||
Counterparty | Description | Expiration Date(s) | Value | ||||||
J.P. Morgan Chase Bank, N.A. | The Fund receives the total return on long positions and pays a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions. The Fund pays the total return on short positions and receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions. | 3/17/16- 9/19/16 | $ | (44,779 | ) |
* The following table represents the individual long and short positions and related values of the equity swaps as of October 31, 2015.
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | |||||||||
Long Positions | ||||||||||||
Canada | ||||||||||||
Veresen, Inc. | 4,453 | $ | 49,015 | $ | (10,260 | ) | ||||||
France | ||||||||||||
Alstom SA | 1,939 | 59,706 | 3,536 | |||||||||
Klepierre | 1,737 | 79,437 | 3,031 | |||||||||
Schneider Electric SE | 1,346 | 78,981 | 2,545 | |||||||||
Societe Television Francaise 1 | 4,095 | 56,775 | (4,022 | ) | ||||||||
Vivendi SA | 1,197 | 28,289 | 557 | |||||||||
5,647 | ||||||||||||
Ireland | ||||||||||||
Bank of Ireland | 213,544 | 81,743 | (2,138 | ) | ||||||||
CRH PLC | 4,304 | 120,756 | (3,096 | ) | ||||||||
Kerry Group PLC | 510 | 37,168 | 4,304 | |||||||||
Permanent TSB Group Holdings PLC | 7,229 | 38,626 | (3,887 | ) | ||||||||
Shire PLC | 1,117 | 81,271 | 3,536 | |||||||||
(1,281 | ) | |||||||||||
Netherlands | ||||||||||||
Euronext NV | 908 | 39,548 | 372 | |||||||||
United Kingdom | ||||||||||||
Associated British Foods PLC | 1,579 | 76,863 | 7,238 | |||||||||
AstraZeneca PLC | 591 | 39,302 | (1,487 | ) | ||||||||
Diageo PLC | 1,446 | 39,360 | 2,514 | |||||||||
Pearson PLC | 1,661 | 28,243 | (6,183 | ) | ||||||||
Premier Oil PLC | 14,898 | 29,181 | (13,449 | ) | ||||||||
Prudential PLC | 2,192 | 47,161 | 4,169 | |||||||||
Spire Healthcare Group PLC | 3,391 | 16,975 | 2,623 | |||||||||
UBM PLC | 4,720 | 38,470 | (1,215 | ) | ||||||||
(5,790 | ) | |||||||||||
United States | ||||||||||||
Williams Partners LP | 2,967 | 111,820 | (11,536 | ) | ||||||||
Total Long Positions of Portfolio Equity Swaps | (22,848 | ) |
73
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | |||||||||
Short Positions | ||||||||||||
France | ||||||||||||
Legrand SA | (720 | ) | $ | (37,179 | ) | $ | (2,361 | ) | ||||
L'Oreal SA | (228 | ) | (38,309 | ) | (3,323 | ) | ||||||
LVMH Moet Hennessy Louis Vuitton SE | (232 | ) | (37,226 | ) | (6,042 | ) | ||||||
Sanofi | (411 | ) | (37,761 | ) | (3,751 | ) | ||||||
(15,477 | ) | |||||||||||
Ireland | ||||||||||||
Experian PLC | (2,940 | ) | (46,665 | ) | (3,553 | ) | ||||||
Ryanair Holdings PLC | (1,303 | ) | (19,313 | ) | (30 | ) | ||||||
(3,583 | ) | |||||||||||
Spain | ||||||||||||
Banco Bilbao Vizcaya Argentaria SA | (7,404 | ) | (64,477 | ) | 645 | |||||||
Mediaset Espana Comunicacion SA | (3,575 | ) | (41,555 | ) | (1,905 | ) | ||||||
Repsol SA | (1,612 | ) | (20,680 | ) | 339 | |||||||
(921 | ) | |||||||||||
United Kingdom | ||||||||||||
Aberdeen Asset Management PLC | (7,840 | ) | (41,129 | ) | (774 | ) | ||||||
Barratt Developments PLC | (2,380 | ) | (22,063 | ) | (410 | ) | ||||||
Berkeley Group Holdings PLC | (380 | ) | (19,237 | ) | (200 | ) | ||||||
easyJet PLC | (730 | ) | (19,633 | ) | (61 | ) | ||||||
(1,445 | ) | |||||||||||
Total Short Positions of Equity Swaps | (21,426 | ) | ||||||||||
Total Long and Short Positions of Equity Swaps | (44,274 | ) | ||||||||||
Financing Costs and Other Receivables (Payables) | (505 | ) | ||||||||||
J.P. Morgan Chase Bank, N.A. Equity Swaps, at value | $ | (44,779 | ) | |||||||||
Counterparty | Description | Expiration Date(s) | Value | |||||||||
Morgan Stanley | The Fund receives the total return on long positions and pays a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions. The Fund pays the total return on short positions and receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions. | 7/11/16 | $ | (73 | ) |
* The following table represents the individual short position and related values of the equity swaps as of October 31, 2015.
74
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | |||||||||
Short Positions | ||||||||||||
United States | ||||||||||||
Utilities Select Sector SPDR Fund | (40 | ) | $ | (1,689 | ) | $ | (61 | ) | ||||
Total Short Positions of Equity Swaps | (61 | ) | ||||||||||
Financing Costs and Other Receivables (Payables) | (12 | ) | ||||||||||
Morgan Stanley Equity Swaps, at value | $ | (73 | ) | |||||||||
Total Equity Swaps, at value | $ | (44,852 | ) |
(a) Notional value represents the value (including any fees or commissions) of the long and short positions when they were established.
(b) For the year ended October 31, 2015, the average notional value of equity swaps was $1,000,102 for long positions and $(190,948) for short positions, respectively for Long Short Multi-Manager.
Total return swap contracts: During the year ended October 31, 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 October 31, 2015, the Funds had outstanding total return swaps as follows:
Absolute Return Multi-Manager Fund |
Short Total Return Swaps
Swap Counterparty | Notional Amount(1)(2) | Termination Date | Variable-rate | Reference Entity | Accrued Net Interest Receivable (Payable) | Unrealized Appreciation (Depreciation) | Total Fair Value | ||||||||||||||||||
J.P. Morgan Chase Bank, N.A. | $ | 553,618 | September 6, 2016 | 0.303 | % (3) | Amorepacific Corp. | $ | (52 | ) | $ | (55,723 | ) | $ | (55,775 | ) | ||||||||||
J.P. Morgan Chase Bank, N.A. | 568,988 | September 19, 2016 | 0.304 | % (3) | Delta Electronics, Inc. | (72 | ) | (23,453 | ) | (23,525 | ) | ||||||||||||||
J.P. Morgan Chase Bank, N.A. | 109,297 | September 19, 2016 | 0.306 | % (3) | Delta Electronics, Inc. | (2 | ) | 2,140 | 2,138 | ||||||||||||||||
J.P. Morgan Chase Bank, N.A. | 105,791 | September 6, 2016 | 0.556 | % (4) | Amorepacific Corp. | (3 | ) | (124 | ) | (127 | ) | ||||||||||||||
J.P. Morgan Chase Bank, N.A. | 294,544 | June 30, 2016 | 2.804 | % (5) | Bank Mandiri | (344 | ) | 45,223 | 44,879 |
75
Swap Counterparty | Notional Amount(1)(2) | Termination Date | Variable-rate | Reference Entity | Accrued Net Interest Receivable (Payable) | Unrealized Appreciation (Depreciation) | Total Fair Value | ||||||||||||||||||
J.P. Morgan Chase Bank, N.A. | $ | 305,316 | July 11, 2016 | 2.804 | % (5) | Bank Rakyat Indonesia | $ | (357 | ) | $ | 11,702 | $ | 11,345 | ||||||||||||
J.P. Morgan Chase Bank, N.A. | 917,503 | August 22, 2016 | 2.804 | % (5) | Bank Central Asia | (1,072 | ) | (37,650 | ) | (38,722 | ) | ||||||||||||||
Totals | $ | (1,902 | ) | $ | (57,885 | ) | $ | (59,787 | ) |
(1) Notional value represents the value (including any fees or commissions) of the short positions when they were established.
(2) For the year ended October 31, 2015, the average notional value of total return swaps of Absolute Return Multi-Manager was $4,786,373.
(3) 1 month LIBOR minus 0.50% at October 15, 2015.
(4) 1 month LIBOR minus 0.75% at October 15, 2015.
(5) 1 month LIBOR minus 3.00% at October 15, 2015.
Long Short Multi-Manager Fund |
Long Total Return Swaps
Swap Counterparty | Notional Amount(1)(2) | Termination Date | Variable-rate | Reference Entity | Accrued Net Interest Receivable (Payable) | Unrealized Appreciation (Depreciation) | Total Fair Value | ||||||||||||||||||
J.P. Morgan Chase Bank, N.A. | HKD | (3 | ) 412,721 | April 15, 2016 | 0.741 | % (4) | BOC Hong Kong Holdings Ltd. | $ | (16 | ) | $ | (8,983 | ) | $ | (8,999 | ) | |||||||||
Short Total Return Swaps | |||||||||||||||||||||||||
Swap Counterparty | Notional Amount(1)(2) | Termination Date | Variable-rate | Reference Entity | Accrued Net Interest Receivable (Payable) | Unrealized Appreciation (Depreciation) | Total Fair Value | ||||||||||||||||||
J.P. Morgan Chase Bank, N.A. | $ | 22,554 | September 6, 2016 | 0.303 | % (5) | Amorepacific Corp. | $ | (2 | ) | $ | (2,270 | ) | $ | (2,272 | ) | ||||||||||
J.P. Morgan Chase Bank, N.A. | 23,277 | September 19, 2016 | 0.304 | % (5) | Delta Electronics, Inc. | (3 | ) | (959 | ) | (962 | ) | ||||||||||||||
J.P. Morgan Chase Bank, N.A. | 11,792 | June 30, 2016 | 2.804 | % (5) | Bank Mandiri | (14 | ) | 1,810 | 1,796 | ||||||||||||||||
J.P. Morgan Chase Bank, N.A. | 12,317 | July 11, 2016 | 2.804 | % (6) | Bank Rakyat Indonesia | (14 | ) | 472 | 458 |
76
Swap Counterparty | Notional Amount(1)(2) | Termination Date | Variable-rate | Reference Entity | Accrued Net Interest Receivable (Payable) | Unrealized Appreciation (Depreciation) | Total Fair Value | ||||||||||||||||||
J.P. Morgan Chase Bank, N.A. | $ | 37,505 | August 22, 2016 | 2.804 | % (6) | Bank Central Asia | $ | (44 | ) | $ | (1,503 | ) | $ | (1,547 | ) | ||||||||||
Totals | $ | (77 | ) | $ | (2,450 | ) | $ | (2,527 | ) | ||||||||||||||||
Total total return swaps | $ | (93 | ) | $ | (11,433 | ) | $ | (11,526 | ) |
(1) Notional value represents the value (including any fees or commissions) of the long and short positions when they were established.
(2) For the year ended October 31, 2015, the average notional value of total return swaps of Long Short Multi-Manager was $205,041.
(3) HKD Hong Kong Dollar
(4) 1 month HIBOR plus 0.50% at October 15, 2015.
(5) 1 month LIBOR minus 0.50% at October 15, 2015.
(6) 1 month LIBOR minus 3.00% at October 15, 2015.
Forward foreign currency contracts: During the year ended October 31, 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) on 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 October 31, 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 | 2,806,415 | $ | 1,958,142 | 11/18/15 | $ | 41,567 | ||||||||||||||||
Australian Dollar | J.P. Morgan Chase ank, N.A | 27,700 | 20,253 | 11/18/15 | (515 | ) | |||||||||||||||||
Australian Dollar | J.P. Morgan Chase ank, N.A | 350,800 | 256,587 | 11/18/15 | (6,625 | ) | |||||||||||||||||
Canadian Dollar | J.P. Morgan Chase ank, N.A | 306,300 | 230,960 | 11/18/15 | 3,263 | ||||||||||||||||||
Canadian Dollar | J.P. Morgan Chase ank, N.A | 965,700 | 731,555 | 11/18/15 | 6,902 | ||||||||||||||||||
Canadian Dollar | J.P. Morgan Chase ank, N.A | 432,000 | 330,338 | 11/18/15 | 6 | ||||||||||||||||||
Czech Koruna | J.P. Morgan Chase ank, N.A | 14,588 | 594 | 11/18/15 | (2 | ) |
77
Buy | Counterparty | Contracts to Receive | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Czech Koruna | J.P. Morgan Chase Bank, N.A | 27,070,600 | $ | 1,119,716 | 11/18/15 | $ | (20,866 | ) | |||||||||||||||
Danish Krone | J.P. Morgan Chase Bank, N.A | 423,400 | 62,699 | 11/18/15 | (250 | ) | |||||||||||||||||
Danish Krone | J.P. Morgan Chase Bank, N.A | 2,259,650 | 338,867 | 11/18/15 | (5,585 | ) | |||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 220,400 | 246,234 | 11/18/15 | (3,827 | ) | |||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 2,069,592 | 2,331,869 | 11/18/15 | (55,626 | ) | |||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 2,247,800 | 2,590,520 | 11/18/15 | (118,274 | ) | |||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 1,719,500 | 1,943,099 | 11/18/15 | (51,905 | ) | |||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 3,532,879 | 4,024,843 | 11/18/15 | (139,202 | ) | |||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 5,905,593 | 6,678,700 | 11/18/15 | (183,426 | ) | |||||||||||||||||
Hong Kong Dollar | J.P. Morgan Chase Bank, N.A | 4,953,300 | 638,991 | 11/18/15 | 122 | ||||||||||||||||||
Hong Kong Dollar | J.P. Morgan Chase Bank, N.A | 4,784,100 | 617,277 | 11/18/15 | 5 | ||||||||||||||||||
Israeli New Shekel | J.P. Morgan Chase Bank, N.A | 716,100 | 185,018 | 11/18/15 | 72 | ||||||||||||||||||
Israeli New Shekel | J.P. Morgan Chase Bank, N.A | 3,599,700 | 917,789 | 11/18/15 | 12,623 | ||||||||||||||||||
Japanese Yen | J.P. Morgan Chase Bank, N.A | 306,883,500 | 2,507,224 | 11/18/15 | 36,270 | ||||||||||||||||||
Japanese Yen | J.P. Morgan Chase Bank, N.A | 595,145,000 | 5,000,000 | 11/18/15 | (67,354 | ) | |||||||||||||||||
Japanese Yen | J.P. Morgan Chase Bank, N.A | 599,169,550 | 5,000,000 | 11/18/15 | (33,998 | ) | |||||||||||||||||
Japanese Yen | J.P. Morgan Chase Bank, N.A | 253,864,832 | 2,115,260 | 11/18/15 | (11,192 | ) | |||||||||||||||||
Norwegian Krone | J.P. Morgan Chase Bank, N.A | 8,459,700 | 1,017,391 | 11/18/15 | (22,002 | ) | |||||||||||||||||
Norwegian Krone | J.P. Morgan Chase Bank, N.A | 232,300 | 28,242 | 11/18/15 | (909 | ) | |||||||||||||||||
Norwegian Krone | J.P. Morgan Chase Bank, N.A | 8,169,032 | 1,009,046 | 11/18/15 | (47,858 | ) | |||||||||||||||||
Norwegian Krone | J.P. Morgan Chase Bank, N.A | 306,900 | 36,247 | 11/18/15 | (136 | ) | |||||||||||||||||
Philippine Peso | J.P. Morgan Chase Bank, N.A | 46,006,600 | 977,201 | 11/17/15 | 5,673 | ||||||||||||||||||
Philippine Peso | J.P. Morgan Chase Bank, N.A | 12,742,500 | 272,043 | 11/17/15 | 185 | ||||||||||||||||||
Pound Sterling | J.P. Morgan Chase Bank, N.A | 252,087 | 385,106 | 11/18/15 | 3,476 | ||||||||||||||||||
Pound Sterling | J.P. Morgan Chase Bank, N.A | 358,200 | 561,362 | 11/18/15 | (9,212 | ) | |||||||||||||||||
Pound Sterling | J.P. Morgan Chase Bank, N.A | 420,144 | 655,404 | 11/18/15 | (7,770 | ) | |||||||||||||||||
Pound Sterling | J.P. Morgan Chase Bank, N.A | 305,700 | 467,845 | 11/18/15 | 3,379 | ||||||||||||||||||
Singapore Dollar | J.P. Morgan Chase Bank, N.A | 1,360,000 | 966,385 | 11/18/15 | 3,889 | ||||||||||||||||||
South African Rand | J.P. Morgan Chase Bank, N.A | 31,981,288 | 2,286,267 | 11/18/15 | 18,758 | ||||||||||||||||||
South African Rand | J.P. Morgan Chase Bank, N.A | 25,593,700 | 1,951,907 | 11/18/15 | (107,262 | ) | |||||||||||||||||
South African Rand | J.P. Morgan Chase Bank, N.A | 5,101,900 | 371,876 | 11/18/15 | (4,161 | ) | |||||||||||||||||
South African Rand | J.P. Morgan Chase Bank, N.A | 13,108,600 | 975,686 | 11/18/15 | (30,894 | ) | |||||||||||||||||
South African Rand | J.P. Morgan Chase Bank, N.A | 1,211,848 | 89,754 | 11/18/15 | (2,411 | ) | |||||||||||||||||
South African Rand | J.P. Morgan Chase Bank, N.A | 7,465,500 | 553,439 | 11/18/15 | (15,369 | ) | |||||||||||||||||
Swedish Krona | J.P. Morgan Chase Bank, N.A | 15,449,000 | 1,811,132 | 11/18/15 | (2,302 | ) | |||||||||||||||||
Swedish Krona | J.P. Morgan Chase Bank, N.A | 8,815,300 | 1,054,691 | 11/18/15 | (22,561 | ) | |||||||||||||||||
Swedish Krona | J.P. Morgan Chase Bank, N.A | 6,331,414 | 738,324 | 11/18/15 | 2,983 | ||||||||||||||||||
Swedish Krona | J.P. Morgan Chase Bank, N.A | 12,103,472 | 1,471,379 | 11/18/15 | (54,257 | ) | |||||||||||||||||
Swiss Franc | J.P. Morgan Chase Bank, N.A | 22,600 | 23,771 | 11/18/15 | (897 | ) | |||||||||||||||||
Swiss Franc | J.P. Morgan Chase Bank, N.A | 2,146,500 | 2,205,774 | 11/18/15 | (33,210 | ) | |||||||||||||||||
Swiss Franc | J.P. Morgan Chase Bank, N.A | 1,005,000 | 1,033,529 | 11/18/15 | (16,326 | ) | |||||||||||||||||
Thai Baht | J.P. Morgan Chase Bank, N.A | 12,029,100 | 339,067 | 11/18/15 | (1,050 | ) | |||||||||||||||||
Thai Baht | J.P. Morgan Chase Bank, N.A | 1,031,700 | 28,530 | 11/18/15 | 461 | ||||||||||||||||||
Total | $ | (937,600 | ) |
78
Sell | Counterparty | Contracts to Deliver | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Australian Dollar | J.P. Morgan Chase Bank, N.A | 506,400 | $ | 364,496 | 11/18/15 | $ | 3,661 | ||||||||||||||||
Australian Dollar | J.P. Morgan Chase Bank, N.A | 5,908,724 | 4,333,565 | 11/18/15 | 123,308 | ||||||||||||||||||
Australian Dollar | J.P. Morgan Chase Bank, N.A | 726,020 | 517,277 | 11/18/15 | (48 | ) | |||||||||||||||||
Canadian Dollar | J.P. Morgan Chase Bank, N.A | 274,200 | 210,899 | 11/18/15 | 1,222 | ||||||||||||||||||
Canadian Dollar | J.P. Morgan Chase Bank, N.A | 287,700 | 216,913 | 11/18/15 | (3,087 | ) | |||||||||||||||||
Canadian Dollar | J.P. Morgan Chase Bank, N.A | 2,982,315 | 2,293,838 | 11/18/15 | 13,306 | ||||||||||||||||||
Czech Koruna | J.P. Morgan Chase Bank, N.A | 25,878,788 | 1,086,392 | 11/18/15 | 35,920 | ||||||||||||||||||
Czech Koruna | J.P. Morgan Chase Bank, N.A | 1,206,400 | 50,506 | 11/18/15 | 1,536 | ||||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 3,021,700 | 3,388,332 | 11/18/15 | 64,911 | ||||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 4,395,300 | 4,853,150 | 11/18/15 | 18,974 | ||||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 11,952,301 | 13,357,748 | 11/18/15 | 211,994 | ||||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 1,755,112 | 1,987,657 | 11/18/15 | 57,295 | ||||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 971,349 | 1,082,539 | 11/18/15 | 14,200 | ||||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 154,629 | 174,075 | 11/18/15 | 4,006 | ||||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 265,600 | 296,402 | 11/18/15 | 4,281 | ||||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 10,909,894 | 12,039,428 | 11/18/15 | 40,167 | ||||||||||||||||||
Hong Kong Dollar | J.P. Morgan Chase Bank, N.A | 19,505,441 | 2,514,124 | 11/18/15 | (2,620 | ) | |||||||||||||||||
Israeli New Shekel | J.P. Morgan Chase Bank, N.A | 54,200 | 13,989 | 11/18/15 | (20 | ) | |||||||||||||||||
Israeli New Shekel | J.P. Morgan Chase Bank, N.A | 6,126,437 | 1,609,154 | 11/18/15 | 25,658 | ||||||||||||||||||
Japanese Yen | J.P. Morgan Chase Bank, N.A | 1,179,046,900 | 9,500,000 | 11/18/15 | (272,107 | ) | |||||||||||||||||
Japanese Yen | J.P. Morgan Chase Bank, N.A | 8,243,829,526 | 66,423,465 | 11/18/15 | (1,902,557 | ) | |||||||||||||||||
Japanese Yen | J.P. Morgan Chase Bank, N.A | 318,645,291 | 2,568,821 | 11/18/15 | (72,156 | ) | |||||||||||||||||
Japanese Yen | J.P. Morgan Chase Bank, N.A | 2,003,085,150 | 16,500,000 | 11/18/15 | (101,852 | ) | |||||||||||||||||
Japanese Yen | J.P. Morgan Chase Bank, N.A | 304,195,769 | 2,518,794 | 11/18/15 | (2,423 | ) | |||||||||||||||||
Japanese Yen | J.P. Morgan Chase Bank, N.A | 263,212,700 | 2,196,111 | 11/18/15 | 14,567 | ||||||||||||||||||
Japanese Yen | J.P. Morgan Chase Bank, N.A | 179,398,600 | 1,490,746 | 11/18/15 | 3,865 | ||||||||||||||||||
Norwegian Krone | J.P. Morgan Chase Bank, N.A | 3,805,500 | 466,130 | 11/18/15 | 18,366 | ||||||||||||||||||
Norwegian Krone | J.P. Morgan Chase Bank, N.A | 8,355,500 | 1,017,307 | 11/18/15 | 34,178 | ||||||||||||||||||
Philippine Peso | J.P. Morgan Chase Bank, N.A | 12,320,700 | 263,055 | 11/17/15 | (161 | ) | |||||||||||||||||
Philippine Peso | J.P. Morgan Chase Bank, N.A | 94,132,600 | 2,009,877 | 11/17/15 | (1,149 | ) | |||||||||||||||||
Pound Sterling | J.P. Morgan Chase Bank, N.A | 240,200 | 367,738 | 11/18/15 | (2,520 | ) | |||||||||||||||||
Pound Sterling | J.P. Morgan Chase Bank, N.A | 229,100 | 347,181 | 11/18/15 | (5,967 | ) | |||||||||||||||||
Pound Sterling | J.P. Morgan Chase Bank, N.A | 304,700 | 467,178 | 11/18/15 | (2,504 | ) | |||||||||||||||||
Pound Sterling | J.P. Morgan Chase Bank, N.A | 77,000 | 116,654 | 11/18/15 | (2,038 | ) | |||||||||||||||||
Pound Sterling | J.P. Morgan Chase Bank, N.A | 438,157 | 680,129 | 11/18/15 | 4,728 | ||||||||||||||||||
Singapore Dollar | J.P. Morgan Chase Bank, N.A | 1,360,000 | 966,127 | 11/18/15 | (4,147 | ) | |||||||||||||||||
Singapore Dollar | J.P. Morgan Chase Bank, N.A | 410,900 | 294,131 | 11/18/15 | 980 | ||||||||||||||||||
Singapore Dollar | J.P. Morgan Chase Bank, N.A | 2,283,525 | 1,643,669 | 11/18/15 | 14,519 | ||||||||||||||||||
South African Rand | J.P. Morgan Chase Bank, N.A | 52,084,888 | 4,015,034 | 11/18/15 | 261,058 | ||||||||||||||||||
Swedish Krona | J.P. Morgan Chase Bank, N.A | 6,920,400 | 819,021 | 11/18/15 | 8,753 | ||||||||||||||||||
Swedish Krona | J.P. Morgan Chase Bank, N.A | 8,915,300 | 1,057,752 | 11/18/15 | 13,914 | ||||||||||||||||||
Swedish Krona | J.P. Morgan Chase Bank, N.A | 9,258,379 | 1,122,021 | 11/18/15 | 38,014 |
79
Sell | Counterparty | Contracts to Deliver | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Swedish Krona | J.P. Morgan Chase Bank, N.A | 12,098,900 | $ | 1,480,625 | 11/18/15 | $ | 64,038 | ||||||||||||||||
Swedish Krona | J.P. Morgan Chase Bank, N. | 8,243,100 | 970,072 | 11/18/15 | 4,937 | ||||||||||||||||||
Swiss Franc | J.P. Morgan Chase Bank, N.A | 701,500 | 712,086 | 11/18/15 | 2,068 | ||||||||||||||||||
Swiss Franc | J.P. Morgan Chase Bank, N.A | 1,267,255 | 1,303,342 | 11/18/15 | 20,699 | ||||||||||||||||||
Swiss Franc | J.P. Morgan Chase Bank, N.A | 893,800 | 919,916 | 11/18/15 | 15,263 | ||||||||||||||||||
Swiss Franc | J.P. Morgan Chase Bank, N.A | 612,029 | 643,284 | 11/18/15 | 23,823 | ||||||||||||||||||
Swiss Franc | J.P. Morgan Chase Bank, N.A | 347,700 | 356,895 | 11/18/15 | 4,973 | ||||||||||||||||||
Swiss Franc | J.P. Morgan Chase Bank, N.A | 1,022,200 | 1,064,940 | 11/18/15 | 30,328 | ||||||||||||||||||
Thai Baht | J.P. Morgan Chase Bank, N.A | 43,866,073 | 1,225,436 | 11/18/15 | (7,199 | ) | |||||||||||||||||
Total | $ | (1,183,045 | ) |
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 | 106,656 | $ | 74,418 | 11/18/15 | $ | 1,580 | ||||||||||||||||
Australian Dollar | J.P. Morgan Chase Bank, N.A. | 13,400 | 9,801 | 11/18/15 | (253 | ) | |||||||||||||||||
Australian Dollar | J.P. Morgan Chase Bank, N.A | 1,100 | 804 | 11/18/15 | (20 | ) | |||||||||||||||||
Canadian Dollar | J.P. Morgan Chase Bank, N.A | 15,300 | 11,700 | 11/18/15 | 0 | z | |||||||||||||||||
Canadian Dollar | J.P. Morgan Chase Bank, N.A | 35,800 | 27,120 | 11/18/15 | 256 | ||||||||||||||||||
Czech Koruna | J.P. Morgan Chase Bank, N.A | 1,036,085 | 42,855 | 11/18/15 | (798 | ) | |||||||||||||||||
Czech Koruna | J.P. Morgan Chase Bank, N.A | 556 | 23 | 11/18/15 | 0 | z | |||||||||||||||||
Danish Krone | J.P. Morgan Chase Bank, N.A | 85,889 | 12,880 | 11/18/15 | (212 | ) | |||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 85,400 | 98,421 | 11/18/15 | (4,494 | ) | |||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 241,089 | 272,650 | 11/18/15 | (7,488 | ) | |||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 8,900 | 9,943 | 11/18/15 | (154 | ) | |||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 78,678 | 88,649 | 11/18/15 | (2,115 | ) | |||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 64,600 | 73,000 | 11/18/15 | (1,950 | ) | |||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 147,785 | 168,365 | 11/18/15 | (5,823 | ) | |||||||||||||||||
Hong Kong Dollar | J.P. Morgan Chase Bank, N.A | 52,400 | 6,761 | 11/18/15 | 0 | z | |||||||||||||||||
Hong Kong Dollar | J.P. Morgan Chase Bank, N.A | 154,700 | 19,957 | 11/18/15 | 4 | ||||||||||||||||||
Hong Kong Dollar | J.P. Morgan Chase Bank, N.A | 183,500 | 23,676 | 11/18/15 | 1 | ||||||||||||||||||
Israeli New Shekel | J.P. Morgan Chase Bank, N.A | 136,600 | 34,828 | 11/18/15 | 479 | ||||||||||||||||||
Israeli New Shekel | J.P. Morgan Chase Bank, N.A | 10,900 | 2,813 | 11/18/15 | 4 | ||||||||||||||||||
Japanese Yen | J.P. Morgan Chase Bank, N.A | 10,946,650 | 91,210 | 11/18/15 | (483 | ) | |||||||||||||||||
Japanese Yen | J.P. Morgan Chase Bank, N.A | 27,852,786 | 234,000 | 11/18/15 | (3,152 | ) | |||||||||||||||||
Japanese Yen | J.P. Morgan Chase Bank, N.A | 8,975,500 | 73,330 | 11/18/15 | 1,060 | ||||||||||||||||||
Norwegian Krone | J.P. Morgan Chase Bank, N.A | 321,800 | 38,701 | 11/18/15 | (837 | ) | |||||||||||||||||
Norwegian Krone | J.P. Morgan Chase Bank, N.A | 8,900 | 1,082 | 11/18/15 | (35 | ) | |||||||||||||||||
Philippine Peso | J.P. Morgan Chase Bank, N.A | 1,778,600 | 37,778 | 11/17/15 | 219 | ||||||||||||||||||
Philippine Peso | J.P. Morgan Chase Bank, N.A | 390,700 | 8,341 | 11/17/15 | 6 | ||||||||||||||||||
Pound Sterling | J.P. Morgan Chase Bank, N.A | 10,900 | 16,681 | 11/18/15 | 121 | ||||||||||||||||||
Pound Sterling | J.P. Morgan Chase Bank, N.A | 12,914 | 20,145 | 11/18/15 | (239 | ) | |||||||||||||||||
Pound Sterling | J.P. Morgan Chase Bank, N.A | 10,700 | 16,769 | 11/18/15 | (275 | ) |
80
Buy | Counterparty | Contracts to Receive | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Pound Sterling | J.P. Morgan Chase Bank, N.A | 11,806 | $ | 18,036 | 11/18/15 | $ | 162 | ||||||||||||||||
Singapore Dollar | J.P. Morgan Chase Bank, N.A | 51,700 | 36,737 | 11/18/15 | 148 | ||||||||||||||||||
South African Rand | J.P. Morgan Chase Bank, N.A | 107,800 | 7,696 | 11/18/15 | 74 | ||||||||||||||||||
South African Rand | J.P. Morgan Chase Bank, N.A | 104,300 | 8,041 | 11/18/15 | (524 | ) | |||||||||||||||||
South African Rand | J.P. Morgan Chase Bank, N.A | 974,400 | 74,313 | 11/18/15 | (4,084 | ) | |||||||||||||||||
South African Rand | J.P. Morgan Chase Bank, N.A | 249,400 | 18,489 | 11/18/15 | (514 | ) | |||||||||||||||||
South African Rand | J.P. Morgan Chase Bank, N.A | 46,144 | 3,418 | 11/18/15 | (92 | ) | |||||||||||||||||
South African Rand | J.P. Morgan Chase Bank, N.A | 500,300 | 37,238 | 11/18/15 | (1,179 | ) | |||||||||||||||||
South African Rand | J.P. Morgan Chase Bank, N.A | 18,000 | 1,312 | 11/18/15 | (15 | ) | |||||||||||||||||
South African Rand | J.P. Morgan Chase Bank, N.A | 1,216,674 | 86,977 | 11/18/15 | 714 | ||||||||||||||||||
Swedish Krona | J.P. Morgan Chase Bank, N.A | 494,138 | 60,071 | 11/18/15 | (2,215 | ) | |||||||||||||||||
Swedish Krona | J.P. Morgan Chase Bank, N.A | 241,343 | 28,144 | 11/18/15 | 113 | ||||||||||||||||||
Swedish Krona | J.P. Morgan Chase Bank, N.A | 335,500 | 40,140 | 11/18/15 | (858 | ) | |||||||||||||||||
Swedish Krona | J.P. Morgan Chase Bank, N.A | 587,400 | 68,863 | 11/18/15 | (88 | ) | |||||||||||||||||
Swiss Franc | J.P. Morgan Chase Bank, N.A | 38,200 | 39,284 | 11/18/15 | (620 | ) | |||||||||||||||||
Swiss Franc | J.P. Morgan Chase Bank, N.A | 81,800 | 84,059 | 11/18/15 | (1,265 | ) | |||||||||||||||||
Thai Baht | J.P. Morgan Chase Bank, N.A | 38,600 | 1,067 | 11/18/15 | 17 | ||||||||||||||||||
Thai Baht | J.P. Morgan Chase Bank, N.A | 552,000 | 15,559 | 11/18/15 | (48 | ) | |||||||||||||||||
Total | $ | (34,872 | ) |
z A zero balance reflects actual amounts rounding to less than $1.
Sell | Counterparty | Contracts to Deliver | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Australian Dollar | J.P. Morgan Chase Bank, N.A | 225,558 | $ | 165,428 | 11/18/15 | $ | 4,707 | ||||||||||||||||
Australian Dollar | J.P. Morgan Chase Bank, N.A | 27,581 | 19,651 | 11/18/15 | (2 | ) | |||||||||||||||||
Canadian Dollar | J.P. Morgan Chase Bank, N.A | 113,533 | 87,324 | 11/18/15 | 507 | ||||||||||||||||||
Canadian Dollar | J.P. Morgan Chase Bank, N.A | 9,400 | 7,230 | 11/18/15 | 42 | ||||||||||||||||||
Czech Koruna | J.P. Morgan Chase Bank, N.A | 50,900 | 2,131 | 11/18/15 | 65 | ||||||||||||||||||
Czech Koruna | J.P. Morgan Chase Bank, N.A | 985,741 | 41,381 | 11/18/15 | 1,368 | ||||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 9,900 | 11,048 | 11/18/15 | 159 | ||||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 67,801 | 76,784 | 11/18/15 | 2,213 | ||||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 22,400 | 25,019 | 11/18/15 | 382 | ||||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 37,273 | 41,540 | 11/18/15 | 545 | ||||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 454,311 | 507,733 | 11/18/15 | 8,058 | ||||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 72,200 | 79,721 | 11/18/15 | 312 | ||||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 115,500 | 129,514 | 11/18/15 | 2,481 | ||||||||||||||||||
Euro | J.P. Morgan Chase Bank, N.A | 465,235 | 513,402 | 11/18/15 | 1,713 | ||||||||||||||||||
Hong Kong Dollar | J.P. Morgan Chase Bank, N.A | 290,613 | 37,458 | 11/18/15 | (39 | ) | |||||||||||||||||
Israeli New Shekel | J.P. Morgan Chase Bank, N.A | 245,675 | 64,528 | 11/18/15 | 1,029 | ||||||||||||||||||
Japanese Yen | J.P. Morgan Chase Bank, N.A | 2,292,100 | 19,047 | 11/18/15 | 49 | ||||||||||||||||||
Japanese Yen | J.P. Morgan Chase Bank, N.A | 445,262,097 | 3,587,635 | 11/18/15 | (102,760 | ) | |||||||||||||||||
Japanese Yen | J.P. Morgan Chase Bank, N.A | 10,941,011 | 88,203 | 11/18/15 | (2,478 | ) | |||||||||||||||||
Japanese Yen | J.P. Morgan Chase Bank, N.A | 11,520,200 | 96,119 | 11/18/15 | 638 |
81
Sell | Counterparty | Contracts to Deliver | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Japanese Yen | J.P. Morgan Chase Bank, N.A | 11,453,334 | $ | 94,836 | 11/18/15 | $ | (91 | ) | |||||||||||||||
Norwegian Krone | J.P. Morgan Chase Bank, N.A | 327,200 | 39,838 | 11/18/15 | 1,338 | ||||||||||||||||||
Norwegian Krone | J.P. Morgan Chase Bank, N.A | 146,200 | 17,908 | 11/18/15 | 706 | ||||||||||||||||||
Philippine Peso | J.P. Morgan Chase Bank, N.A | 3,609,400 | 77,066 | 11/17/15 | (44 | ) | |||||||||||||||||
Pound Sterling | J.P. Morgan Chase Bank, N.A | 12,900 | 19,779 | 11/18/15 | (106 | ) | |||||||||||||||||
Pound Sterling | J.P. Morgan Chase Bank, N.A | 8,400 | 12,729 | 11/18/15 | (219 | ) | |||||||||||||||||
Pound Sterling | J.P. Morgan Chase Bank, N.A | 16,668 | 25,873 | 11/18/15 | 180 | ||||||||||||||||||
Singapore Dollar | J.P. Morgan Chase Bank, N.A | 93,132 | 67,036 | 11/18/15 | 592 | ||||||||||||||||||
Singapore Dollar | J.P. Morgan Chase Bank, N.A | 51,700 | 36,727 | 11/18/15 | (158 | ) | |||||||||||||||||
South African Rand | J.P. Morgan Chase Bank, N.A | 2,087,830 | 160,943 | 11/18/15 | 10,464 | ||||||||||||||||||
Swedish Krona | J.P. Morgan Chase Bank, N.A | 321,000 | 37,776 | 11/18/15 | 192 | ||||||||||||||||||
Swedish Krona | J.P. Morgan Chase Bank, N.A | 479,300 | 58,655 | 11/18/15 | 2,537 | ||||||||||||||||||
Swedish Krona | J.P. Morgan Chase Bank, N.A | 264,900 | 31,351 | 11/18/15 | 335 | ||||||||||||||||||
Swedish Krona | J.P. Morgan Chase Bank, N.A | 351,830 | 42,638 | 11/18/15 | 1,444 | ||||||||||||||||||
Swedish Krona | J.P. Morgan Chase Bank, N.A | 338,900 | 40,209 | 11/18/15 | 529 | ||||||||||||||||||
Swiss Franc | J.P. Morgan Chase Bank, N.A | 11,700 | 12,306 | 11/18/15 | 464 | ||||||||||||||||||
Swiss Franc | J.P. Morgan Chase Bank, N.A | 34,700 | 35,714 | 11/18/15 | 593 | ||||||||||||||||||
Swiss Franc | J.P. Morgan Chase Bank, N.A | 40,200 | 41,881 | 11/18/15 | 1,193 | ||||||||||||||||||
Swiss Franc | J.P. Morgan Chase Bank, N.A | 48,218 | 49,591 | 11/18/15 | 788 | ||||||||||||||||||
Swiss Franc | J.P. Morgan Chase Bank, N.A | 18,700 | 18,982 | 11/18/15 | 55 | ||||||||||||||||||
Swiss Franc | J.P. Morgan Chase Bank, N.A | 25,001 | 26,278 | 11/18/15 | 973 | ||||||||||||||||||
Thai Baht | J.P. Morgan Chase Bank, N.A | 1,655,157 | 46,238 | 11/18/15 | (272 | ) | |||||||||||||||||
Total | $ | (59,518 | ) |
For the year ended October 31, 2015, Absolute Return Multi-Manager's and Long Short Multi-Manager's investments in forward contracts had an average notional value of $106,207,041 and $4,130,972, 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 a Fund writes a call option on an underlying asset it does not own, its exposure on such an option is theoretically unlimited. 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.
Written option transactions were used in an attempt to generate incremental returns for Absolute Return Multi-Manager and Long Short Multi-Manager for the year ended October 31, 2015. Written option transactions for
82
Absolute Return Multi-Manager and Long Short Multi-Manager for the year ended October 31, 2015 were as follows:
Absolute Return Multi-Manager | |||||||||||
Number of Contracts | Premium Received | ||||||||||
Outstanding 10/31/14 | 29,136 | $ | 3,120,532 | ||||||||
Options written | 50,660 | 11,651,477 | |||||||||
Options closed | (55,780 | ) | (8,007,764 | ) | |||||||
Options exercised | (33 | ) | (5,568 | ) | |||||||
Options expired | (10,014 | ) | (1,819,237 | ) | |||||||
Outstanding 10/31/15 | 13,969 | $ | 4,939,440 | ||||||||
Long Short Multi-Manager | |||||||||||
Number of Contracts | Premium Received | ||||||||||
Outstanding 10/31/14 | — | $ | — | ||||||||
Options written | 433 | 34,502 | |||||||||
Options closed | (114 | ) | (12,755 | ) | |||||||
Options exercised | — | — | |||||||||
Options expired | (64 | ) | (12,673 | ) | |||||||
Outstanding 10/31/15 | 255 | $ | 9,074 |
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 year ended October 31, 2015.
For the year ended October 31, 2015, Absolute Return Multi-Manager and Long Short Multi-Manager had an average market value of $6,621,623 and $52,572 in purchased options, respectively, and $(2,247,445) and $(5,647) in written options, respectively.
At October 31, 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 swap contracts | OTC swap contracts, at value(2) | $ | 1,482,071 | $ | — | $ | 1,977,286 | $ | 3,459,357 | |||||||||
Forward contracts | Receivable for forward foreign currency contracts | — | 1,339,144 | — | 1,339,144 | |||||||||||||
Option contracts purchased | Investments in securities, at value | — | — | 9,601,729 | 9,601,729 | |||||||||||||
Total Value—Assets | $ | 1,482,071 | $ | 1,339,144 | $ | 11,579,015 | $ | 14,400,230 |
83
Derivative Type | Statements of Assets and Liabilities Location | Credit Risk | Currency Risk | Equity Risk | Total | |||||||||||
Long Short Multi-Manager | ||||||||||||||||
OTC swap contracts | OTC swap contracts, at value(2) | $ | — | $ | 37,663 | $ | 37,663 | |||||||||
Forward contracts | Receivable for forward foreign currency contracts | 51,609 | — | 51,609 | ||||||||||||
Option contracts purchased | Investments in securities, at value | — | 149,598 | 149,598 | ||||||||||||
Total Value—Assets | $ | 51,609 | $ | 187,261 | $ | 238,870 |
Liability Derivatives
Absolute Return Multi-Manager | |||||||||||||||||
OTC swap contracts | OTC swap contracts, at value(2) | $ | (509,209 | ) | $ | — | $ | (6,962,839 | ) | $ | (7,472,048 | ) | |||||
Centrally cleared credit default index swaps | Receivable/Payable for variation margin on centrally cleared swap contracts(1) | (1,131,898 | ) | — | — | (1,131,898 | ) | ||||||||||
Forward contracts | Payable for forward foreign currency contracts | — | (3,459,789 | ) | — | (3,459,789 | ) | ||||||||||
Option contracts written | Option contracts written, at value | — | — | (2,784,183 | ) | (2,784,183 | ) | ||||||||||
Total Value—Liabilities | $ | (1,641,107 | ) | $ | (3,459,789 | ) | $ | (9,747,022 | ) | $ | (14,847,918 | ) | |||||
Long Short Multi-Manager | |||||||||||||||||
OTC swap contracts | OTC swap contracts, at value(2) | $ | — | $ | (94,041 | ) | $ | (94,041 | ) | ||||||||
Forward contracts | Payable for forward foreign currency contracts | (145,999 | ) | — | (145,999 | ) | |||||||||||
Option contracts written | Option contracts written, at value | — | (8,930 | ) | (8,930 | ) | |||||||||||
Total Value—Liabilities | $ | (145,999 | ) | $ | (102,971 | ) | $ | (248,970 | ) |
(1) "Centrally cleared swap contracts" reflects the cumulative unrealized appreciation (depreciation) of centrally cleared default index swaps as of October 31, 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 centrally cleared swap contracts is reported within the Statements of Assets and Liabilities under the caption "Receivable/Payable for variation margin on centrally cleared swap contracts."
(2) "OTC swap contracts" reflects the appreciation (depreciation) of the OTC swap contracts plus accrued interest as of October 31, 2015, which is reflected in the Statements of Assets and Liabilities under the caption "OTC swap contracts, at value."
84
The impact of the use of these derivative instruments on the Statements of Operations during the year ended October 31, 2015, was as follows:
Realized Gain (Loss)
Derivative Type | Statements of Operations Location | Credit Risk | Currency Risk | Equity Risk | Total | |||||||||||||
Absolute Return Multi-Manager | ||||||||||||||||||
Forward contracts | Net realized gain (loss) on: Forward foreign currency contracts | $ | — | $ | 20,332,813 | $ | — | $ | 20,332,813 | |||||||||
Financial futures | Net realized gain (loss) on: Financial futures contracts | — | — | (86,561 | ) | (86,561 | ) | |||||||||||
Option contracts written | Net realized gain (loss) on: Option contracts written | — | — | 6,383,180 | 6,383,180 | |||||||||||||
Option contracts purchased | Net realized gain (loss) on: Sales of investment securities of unaffiliated issuers | — | — | (11,726,577 | ) | (11,726,577 | ) | |||||||||||
Swap contracts | Net realized gain (loss) on: Swaps contracts | (1,527,228 | ) | — | (6,132,669 | ) | (7,659,897 | ) | ||||||||||
Total Realized Gain (Loss) | $ | (1,527,228 | ) | $ | 20,332,813 | $ | (11,562,627 | ) | $ | 7,242,958 | ||||||||
Long Short Multi-Manager | ||||||||||||||||||
Forward contracts | Net realized gain (loss) on: Forward foreign currency contracts | $ | 754,285 | $ | — | $ | 754,285 | |||||||||||
Option contracts written | Net realized gain (loss) on: Option contracts written | — | 22,871 | 22,871 | ||||||||||||||
Option contracts purchased | Net realized gain (loss) on: Sales of investment securities of unaffiliated issuers | — | 11,479 | 11,479 | ||||||||||||||
Swap contracts | Net realized gain (loss) on: Swap contracts | — | 10,128 | 10,128 | ||||||||||||||
Total Realized Gain (Loss) | $ | 754,285 | $ | 44,478 | $ | 798,763 |
Change in Appreciation
(Depreciation)
Derivative Type | Statements of Operations Location | Credit Risk | Currency Risk | Equity Risk | Total | |||||||||||||
Absolute Return Multi-Manager | ||||||||||||||||||
Forward contracts | Change in net unrealized appreciation (depreciation) in value of: Forward foreign currency contracts | $ | — | $ | 20,332,813 | $ | — | $ | 20,332,813 | |||||||||
Financial futures | Change in net unrealized appreciation (depreciation) in value of : Financial futures contracts | — | — | (86,561 | ) | (86,561 | ) |
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Derivative Type | Statements of Operations Location | Credit Risk | Currency Risk | Equity Risk | Total | |||||||||||||
Option contracts written | Change in net unrealized appreciation (depreciation) in value of: Option contracts written | $ | — | $ | — | $ | 1,274,401 | $ | 1,274,401 | |||||||||
Option contracts purchased | Change in net unrealized appreciation (depreciation) in value of: Unaffiliated investment securities | — | — | (6,299,175 | ) | (6,299,175 | ) | |||||||||||
Swap contracts | Change in net unrealized appreciation (depreciation) in value of: Swap contracts | 551,802 | — | (44,104 | ) | 507,698 | ||||||||||||
Total Change in Appreciation (Depreciation) | $ | 551,802 | $ | (11,074,231 | ) | $ | (5,030,109 | ) | $ | (15,552,538 | ) | |||||||
Derivative Type | Statements of Operations Location | Credit Risk | Currency Risk | Equity Risk | Total | |||||||||||||
Long Short Multi-Manager | ||||||||||||||||||
Forward contracts | Change in net unrealized appreciation (depreciation) in value of: Forward foreign currency contracts | $ | (428,522 | ) | $ | — | $ | (428,522 | ) | |||||||||
Option contracts written | Change in net unrealized appreciation (depreciation) in value of: Option contracts written | — | 144 | 144 | ||||||||||||||
Option contracts purchased | Change in net unrealized appreciation (depreciation) in value of: Unaffiliated investment securities | — | (117,030 | ) | (117,030 | ) | ||||||||||||
Swap contracts | Change in net unrealized appreciation (depreciation) in value of: Swap contracts | — | (41,853 | ) | (41,853 | ) | ||||||||||||
Total Change in Appreciation (Depreciation) | $ | (428,522 | ) | $ | (158,739 | ) | $ | (587,261 | ) |
While the Funds may receive rights and warrants in connection with their investments in securities, these rights and warrants are not considered "derivative instruments" under ASC 815.
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 October 31, 2015.
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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 swap contracts | $ | 3,459,357 | $ | — | $ | 3,459,357 | ||||||
Forward contracts | 1,339,144 | — | 1,339,144 | |||||||||
Total | $ | 4,798,501 | $ | — | $ | 4,798,501 |
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. | $ | 4,798,501 | $ | (4,798,501 | ) | $ | — | $ | — |
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 swap contracts | $ | (7,472,048 | ) | $ | — | $ | (7,472,048 | ) | ||||
Forward contracts | (3,459,789 | ) | — | (3,459,789 | ) | |||||||
Total | $ | (10,931,837 | ) | $ | — | $ | (10,931,837 | ) |
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. | $ | (10,930,313 | ) | $ | 4,798,501 | $ | — | $ | (6,131,812 | ) | ||||||
Morgan Stanley | (1,524 | ) | — | — | $ | (1,524 | ) | |||||||||
$ | (10,931,837 | ) | $ | 4,798,501 | $ | — | $ | (6,133,336 | ) |
(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 October 31, 2015, in the event of a counterparty failure.
(c) Net Amount represents amounts under-collateralized by the Fund to each counterparty as of October 31, 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 | |||||||||
OTC swap contracts | $ | 37,663 | $ | — | $ | 37,663 | ||||||
Forward contracts | 51,609 | — | 51,609 | |||||||||
Total | $ | 89,272 | $ | — | $ | 89,272 |
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. | $ | 89,272 | $ | (89,272 | ) | $ | — | $ | — |
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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 swap contracts | $ | (94,041 | ) | $ | — | $ | (94,041 | ) | ||||
Forward contracts | (145,999 | ) | — | (145,999 | ) | |||||||
Total | $ | (240,040 | ) | $ | — | $ | (240,040 | ) |
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. | $ | (239,967 | ) | $ | 89,272 | $ | — | $ | (150,695 | ) | ||||||
Morgan Stanley | (73 | ) | — | — | (73 | ) | ||||||||||
$ | (240,040 | ) | $ | 89,272 | $ | — | $ | (150,768 | ) |
(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 October 31, 2015, in the event of a counterparty failure.
(c) Net Amount represents amounts under-collateralized by the Fund to each counterparty as of October 31, 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 year ended October 31, 2015, the impact of this arrangement was a reduction of expenses of $1,537.
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—Investment Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
Each Fund retains Management as its investment manager under an Investment 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 year ended October 31, 2015, the Investment Management fee pursuant to the Investment 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.
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
88
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 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 year ended October 31, 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 | $ | 877,087 | |||||
Absolute Return Multi-Manager Class A | 99,667 | ||||||
Absolute Return Multi-Manager Class C | 51,481 | ||||||
Absolute Return Multi-Manager Class R6 | 17,453 |
At October 31, 2015, contingent liabilities to Management under the agreements were as follows:
Expenses Reimbursed in Year Ending, October 31, | |||||||||||||||||||
2013 | 2014 | 2015 | |||||||||||||||||
Subject to Repayment until October 31, | |||||||||||||||||||
Class | Contractual Expense Limitation(1) | Expiration | 2016 | 2017 | 2018 | ||||||||||||||
Absolute Return Multi-Manager Institutional Class(2) | 1.97 | % | 10/31/18 | $ | 386,940 | $ | 759,554 | $ | — | ||||||||||
Absolute Return Multi-Manager Class A(2) | 2.33 | % | 10/31/18 | 90,488 | 316,015 | — | |||||||||||||
Absolute Return Multi-Manager Class C(2) | 3.08 | % | 10/31/18 | — | 48,666 | — | |||||||||||||
Absolute Return Multi-Manager Class R6 | 1.90 | % | 10/31/18 | — | 700 | (4) | — | ||||||||||||
Long Short Multi-Manager Institutional Class | 1.97 | % | 10/31/18 | — | 459,171 | (3) | 448,751 | ||||||||||||
Long Short Multi-Manager Class A | 2.33 | % | 10/31/18 | — | 13,772 | (3) | 12,486 | ||||||||||||
Long Short Multi-Manager Class C | 3.08 | % | 10/31/18 | — | 6,443 | (3) | 8,317 |
(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 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.
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(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., SLS Management, LLC, Sound Point Capital Management, L.P., TPH Asset Management , LLC, 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., SLS Management, LLC, and TPH Asset 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 year ended October 31, 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 | $ | 24,619 | $ | — | $ | — | $ | — | |||||||||
Absolute Return Multi-Manager Class C | — | 50,849 | — | — | |||||||||||||
Long Short Multi-Manager Class A | — | — | — | — | |||||||||||||
Long Short Multi-Manager Class C | — | 939 | — | — |
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Note C—Securities Transactions:
During the year ended October 31, 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 of U.S. Government and Agency Obligations | Purchases excluding U.S. Government and Agency Obligations | Securities Sold Short of U.S. Government and Agency Obligations | Securities Sold Short excluding U.S. Government and Agency Obligations | Sales and Maturities excluding U.S. Government and Agency Obligations | Covers on Securities Sold Short of U.S. Government and Agency Obligations | Covers excluding U.S. Government and Agency Obligations on Securities Sold Short | |||||||||||||||||||||||||
Absolute Return Multi-Manager | $ | 1,054,468 | $ | 7,395,457,657 | $ | 603,909 | $ | 1,671,410,376 | $ | 7,176,336,015 | $ | 596,609 | $ | 1,601,482,434 | |||||||||||||||||
Long Short Multi-Manager | — | 206,432,262 | — | 55,934,369 | 195,124,125 | — | 51,217,738 |
During the year ended October 31, 2015, no brokerage commissions on securities transactions were paid to affiliated brokers.
Note D—Fund Share Transactions:
Share activity for the years ended October 31, 2015 and October 31, 2014 was as follows:
For the Year Ended October 31, 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 | 71,125,409 | 2,935,348 | (61,686,045 | ) | 12,374,712 | 113,457,577 | 238,078 | (27,639,014 | ) | 86,056,641 | |||||||||||||||||||||||
Class A | 9,264,349 | 449,484 | (11,646,620 | ) | (1,932,787 | ) | 37,374,025 | 100,758 | (26,819,529 | ) | 10,655,254 | ||||||||||||||||||||||
Class C | 2,336,117 | 143,890 | (2,791,308 | ) | (311,301 | ) | 7,568,959 | 16,621 | (687,034 | ) | 6,898,546 | ||||||||||||||||||||||
Class R6 | 2,320,277 | 85,584 | (3,693,288 | ) | (1,287,427 | ) | 3,539,971 | — | (592,168 | ) | 2,947,803 | (2) | |||||||||||||||||||||
Long Short Multi-Manager | |||||||||||||||||||||||||||||||||
Institutional Class | 1,472,166 | 24,496 | (1,134,638 | ) | 362,024 | 3,102,815 | — | (136,312 | ) | 2,966,503 | (1) | ||||||||||||||||||||||
Class A | 89,290 | 463 | (52,122 | ) | 37,631 | 126,914 | — | (43,228 | ) | 83,686 | (1) | ||||||||||||||||||||||
Class C | 127,351 | 201 | (19,845 | ) | 107,707 | 26,084 | — | (1,777 | ) | 24,307 | (1) |
(1) Period from December 19, 2013 (Commencement of Operations) to October 31, 2014.
(2) Period from December 30, 2013 (Commencement of Operations) to October 31, 2014.
Other: At October 31, 2015, there was an affiliated investor owning 37.5% of Long Short Multi-Manager's outstanding shares.
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Note E—Lines of Credit:
At October 31, 2015, each 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. Absolute Return Multi-Manager Fund, Long Short Multi-Manager Fund, and another multi-managed fund in the complex are subject to a separate limitation under the Credit Facility and collectively can only borrow $200,000,000 at any one time. Series of other investment companies managed by Management also participate in this line of credit on the substantially the same terms except that they are not subject to that $200,000,000 limitation. Under the terms of the Credit Facility, each Fund has agreed to pay its 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 the level of its access to the Credit Facility, 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 October 31, 2015. During the period from June 12, 2015 (the date the Funds became participants in the Credit Facility) through October 31, 2015, neither of the Funds utilized this line of credit.
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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. Amounts that round to [$0.00 to less than $0.01] per share or [$(0.01) to less than $0.00] per share are presented as $0.00 or $(0.00), respectively. Ratios that round to [0.00% to less than 0.01%] or [(0.01)% to less than 0.00%] 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 Year | 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 Year | Total Return†† | Net Assets, End of Year (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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 11.00 | $ | (0.04 | ) | $ | (0.19 | ) | $ | (0.23 | ) | $ | (0.07 | ) | $ | (0.23 | ) | $ | — | $ | (0.30 | ) | $ | 10.47 | (2.10 | )% | $ | 1,343.3 | 2.71 | % | 1.97 | % | 2.71 | %ا | 1.97 | %ا | (0.40 | )% | 433 | % | 452 | % | |||||||||||||||||||||||||||||||||
10/31/2014 | $ | 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 | % | ||||||||||||||||||||||||||||||||||||
10/31/2013 | $ | 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 10.92 | $ | (0.08 | ) | $ | (0.18 | ) | $ | (0.26 | ) | $ | (0.03 | ) | $ | (0.23 | ) | $ | — | $ | (0.26 | ) | $ | 10.40 | (2.47 | )% | $ | 210.6 | 3.06 | % | 2.33 | % | 3.06 | %ا | 2.33 | %ا | (0.71 | )% | 433 | % | 452 | % | |||||||||||||||||||||||||||||||||
10/31/2014 | $ | 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 | % | ||||||||||||||||||||||||||||||||||||
10/31/2013 | $ | 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 10.72 | $ | (0.16 | ) | $ | (0.18 | ) | $ | (0.34 | ) | $ | — | $ | (0.23 | ) | $ | — | $ | (0.23 | ) | $ | 10.15 | (3.21 | )% | $ | 87.1 | 3.81 | % | 3.08 | % | 3.81 | %ا | 3.08 | %ا | (1.48 | )% | 433 | % | 452 | % | ||||||||||||||||||||||||||||||||||
10/31/2014 | $ | 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 | % | ||||||||||||||||||||||||||||||||||||
10/31/2013 | $ | 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 11.01 | $ | (0.01 | ) | $ | (0.22 | ) | $ | (0.23 | ) | $ | (0.08 | ) | $ | (0.23 | ) | $ | — | $ | (0.31 | ) | $ | 10.47 | (2.14 | )% | $ | 17.4 | 2.66 | % | 1.90 | % | 2.66 | %ا | 1.90 | %ا | (0.08 | )% | 433 | % | 452 | % | |||||||||||||||||||||||||||||||||
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 | %ØØ | 257 | %ØØ |
See Notes to Financial Highlights
93
94
Financial Highlights (cont'd)
Net Asset Value, Beginning of Year | 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 Year | Total Return†† | Net Assets, End of Year (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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 10.39 | $ | (0.15 | ) | $ | (0.09 | ) | $ | (0.24 | ) | $ | (0.02 | ) | $ | (0.07 | ) | $ | — | $ | (0.09 | ) | $ | 10.06 | (2.36 | )% | $ | 33.5 | 4.15 | % | 3.26 | % | 2.86 | % | 1.97 | % | (1.46 | )% | 536 | % | 570 | % | |||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 10.36 | $ | (0.19 | ) | $ | (0.09 | ) | $ | (0.28 | ) | $ | — | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | 10.01 | (2.71 | )% | $ | 1.2 | 4.58 | % | 3.68 | % | 3.23 | % | 2.33 | % | (1.79 | )% | 536 | % | 570 | % | ||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 10.29 | $ | (0.26 | ) | $ | (0.09 | ) | $ | (0.35 | ) | $ | — | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | $ | 9.87 | (3.41 | )% | $ | 1.3 | 5.38 | % | 4.46 | % | 4.00 | % | 3.08 | % | (2.52 | )% | 536 | % | 570 | % | ||||||||||||||||||||||||||||||||||
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
95
96
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 | ||||||||||||||||||||||
Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | |||||||||||||||||||||||||
Absolute Return Multi-Manager Fund Institutional Class | 2.71 | % | 1.97 | % | 2.55 | % | 2.04 | % | 2.30 | % | 2.01 | % | |||||||||||||||
Absolute Return Multi-Manager Fund Class A | 3.06 | % | 2.33 | % | 2.90 | % | 2.38 | % | 2.63 | % | 2.35 | % | |||||||||||||||
Absolute Return Multi-Manager Fund Class C | 3.81 | % | 3.08 | % | 3.66 | % | 3.15 | % | 3.39 | % | 3.10 | % | |||||||||||||||
Absolute Return Multi-Manager Fund Class R6 | 2.66 | % | 1.90 | % | 2.46 | % | 1.98 | %(1) | — | — |
(1) Period from December 31, 2014 (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.
97
Notes to Financial Highlights (cont'd)
§ After repayment of expenses previously reimbursed and/or fees previously waived by Management, as applicable. Had Absolute Return Multi-Manager 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, 2015 | |||||||||
Absolute Return Multi-Manager Fund Institutional Class | 2.64 | % | 1.90 | % | |||||
Absolute Return Multi-Manager Fund Class A | 3.02 | % | 2.29 | % | |||||
Absolute Return Multi-Manager Fund Class C | 3.75 | % | 3.02 | % | |||||
Absolute Return Multi-Manager Fund Class R6 | 2.59 | % | 1.83 | % |
98
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Neuberger Berman Alternative Funds and Shareholders of
Neuberger Berman Absolute Return Multi-Manager Fund
Neuberger Berman Long Short Multi-Manager Fund
We have audited the accompanying statements of assets and liabilities of Neuberger Berman Absolute Return Multi-Manager Fund and Neuberger Berman Long Short Multi-Manager Fund (the "Funds"), two of the series constituting the Neuberger Berman Alternative Funds, including the schedules of investments, as of October 31, 2015, and the related statements of operations for the year then ended, the statements of changes in net assets and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds' internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2015 by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Neuberger Berman Absolute Return Multi-Manager Fund and Neuberger Berman Long Short Multi-Manager Fund, at October 31, 2015, the results of their operations for the year then ended, the changes in their net assets and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
December 23, 2015
99
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
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
TPH Asset Management, LLC
Heritage Plaza
1111 Bagby, Suite 4920
Houston, Texas 77002
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
100
Trustees and Officers
The following tables set forth information concerning the Trustees and Officers of each of the Funds. All persons named as Trustees and Officers also serve in similar capacities for other funds administered or managed by Management and/or NBAIM. Each Fund's Statement of Additional Information includes additional information about the Trustees as of the time of the Fund's most recent public offering and is available upon request, without charge, by calling (800) 877-9700.
Information about the Board of Trustees
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||
Independent Trustees | |||||||||||
Faith Colish (1935) | Trustee since inception | Counsel, Carter Ledyard & Milburn LLP (law firm) since October 2002; formerly, Attorney-at-Law and President, Faith Colish, A Professional Corporation, 1980 to 2002. | 59 | Formerly, Director, 1997 to 2003, and Advisory Director, 2003 to 2006, ABA Retirement Funds (formerly, American Bar Retirement Association) (not-for-profit membership corporation). | |||||||
Michael J. Cosgrove (1949) | Trustee since 2015 | President, Carragh Consulting USA, since 2014; formerly, Executive, General Electric Company, 1982 to 2014, including President, Mutual Funds and Global Investment Programs, GE Asset Management, 2011 to 2014, President and Chief Executive Officer, Mutual Funds and Intermediary Business, GE Asset Management, 2007 to 2011, and President, Institutional Sales and Marketing, GE Asset Management, 1998 to 2007. | 59 | Director, The Gabelli Go Anywhere Trust, since 2015; Director, America Press, Inc. (not-for-profit Jesuit publisher), since 2015; Director, Fordham University, since 2001; Director, Skin Cancer Foundation (not-for-profit), since 2006; formerly, Director, GE Investments Funds, Inc., 1997 to 2014; Trustee, GE Institutional Funds, 1997 to 2014; Director, GE Asset Management, 1988 to 2014; Director, Elfun Trusts, 1988 to 2014. |
101
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||
Marc Gary (1952) | Trustee since 2015 | Executive Vice Chancellor and Chief Operating Officer, Jewish Theological Seminary, since 2012; formerly, Executive Vice President and General Counsel, Fidelity Investments, 2007 to 2012; Executive Vice President and General Counsel, BellSouth Corporation, 2004 to 2007; Vice President and Associate General Counsel, BellSouth Corporation, 2000 to 2004; Associate, Partner, and National Litigation Practice Co-Chair, Mayer, Brown LLP, 1981 to 2000; Associate Independent Counsel, Office of Independent Counsel, 1990 to 1992. | 59 | Trustee, Jewish Theological Seminary, since 2015; Director, Counsel on Call (privately held for-profit company), since 2012; Director, Lawyers Committee for Civil Rights Under Law (not-for-profit), since 2005; formerly, Director, Equal Justice Works (not-for-profit), 2005 to 2014; Director, Corporate Counsel Institute, Georgetown University Law Center, 2007 to 2012; Director, Greater Boston Legal Services (not-for-profit), 2007 to 2012. |
102
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||
Martha C. Goss (1949) | Trustee since 2007 | President, Woodhill Enterprises Inc./Chase Hollow Associates LLC (personal investment vehicle), since 2006; formerly, Consultant, Resources Global Professionals (temporary staffing), 2002 to 2006. | 59 | Director, American Water (water utility), since 2003; Director, Allianz Life of New York (insurance), since 2005; Director, Berger Group Holdings, Inc. (engineering consulting firm), since 2013; Director, Financial Women's Association of New York (not-for-profit association), since 2003; Trustee Emerita, Brown University, since 1998; Director, Museum of American Finance (not-for-profit), since 2013; formerly, Non-Executive Chair and Director, Channel Reinsurance (financial guaranty reinsurance), 2006 to 2010; formerly, Director, Ocwen Financial Corporation (mortgage servicing), 2005 to 2010; formerly, Director, Claire's Stores, Inc. (retailer), 2005 to 2007; formerly, Director, Parsons Brinckerhoff Inc. (engineering consulting firm), 2007 to 2010; formerly, Director, Bank Leumi (commercial bank), 2005 to 2007; formerly, Advisory Board Member, Attensity (software developer), 2005 to 2007. |
103
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||
Michael M. Knetter (1960) | Trustee since 2007 | President and Chief Executive Officer, University of Wisconsin Foundation, since October 2010; formerly, Dean, School of Business, University of Wisconsin—Madison; formerly, Professor of International Economics and Associate Dean, Amos Tuck School of Business—Dartmouth College, 1998 to 2002. | 59 | Board Member, American Family Insurance (a mutual company, not publicly traded), since March 2009; formerly, Trustee, Northwestern Mutual Series Fund, Inc., 2007 to 2011; formerly, Director, Wausau Paper, 2005 to 2011; formerly, Director, Great Wolf Resorts, 2004 to 2009. | |||||||
Howard A. Mileaf (1937) | Trustee since inception | Retired; formerly, Vice President and General Counsel, WHX Corporation (holding company), 1993 to 2001. | 59 | Formerly, Director, Webfinancial Corporation (holding company), 2002 to 2008; formerly, Director, WHX Corporation (holding company), 2002 to 2005; formerly, Director, State Theatre of New Jersey (not-for-profit theatre), 2000 to 2005. | |||||||
George W. Morriss (1947) | Trustee since 2007 | Adjunct Professor, Columbia University School of International and Public Affairs, since October 2012; formerly, Executive Vice President and Chief Financial Officer, People's Bank, Connecticut (a financial services company), 1991 to 2001. | 59 | Director and Treasurer, National Association of Corporate Directors, Connecticut Chapter, since 2011; Trustee, Steben Alternative Investment Funds, Steben Select Multi-Strategy Fund, and Steben Select Multi-Strategy Master Fund, since 2013; formerly, Manager, Larch Lane Multi-Strategy Fund complex (which consisted of three funds), 2006 to 2011; formerly, Member, NASDAQ Issuers' Affairs Committee, 1995 to 2003. |
104
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||
Tom D. Seip (1950) | Trustee since inception; Chairman of the Board since 2008; formerly Lead Independent Trustee from 2006 to 2008 | General Partner, Ridgefield Farm LLC (a private investment vehicle); formerly, President and CEO, Westaff, Inc. (temporary staffing), May 2001 to January 2002; formerly, Senior Executive, The Charles Schwab Corporation, 1983 to 1998, including Chief Executive Officer, Charles Schwab Investment Management, Inc.; Trustee, Schwab Family of Funds and Schwab Investments, 1997 to 1998; and Executive Vice President-Retail Brokerage, Charles Schwab & Co., Inc., 1994 to 1997. | 59 | Director, H&R Block, Inc. (financial services company), since May 2001; Chairman, Governance and Nominating Committee, H&R Block, Inc., since 2011; formerly, Chairman, Compensation Committee, H&R Block, Inc., 2006 to 2010; formerly, Director, Forward Management, Inc. (asset management company), 1999 to 2006. | |||||||
Candace L. Straight (1947) | Trustee since inception | Private investor and consultant specializing in the insurance industry; formerly, Advisory Director, Securitas Capital LLC (a global private equity investment firm dedicated to making investments in the insurance sector), 1998 to 2003. | 59 | Public Member, Board of Governors and Board of Trustees, Rutgers University, since 2011; Director, Montpelier Re Holdings Ltd. (reinsurance company), since 2006; formerly, Director, National Atlantic Holdings Corporation (property and casualty insurance company), 2004 to 2008; formerly, Director, The Proformance Insurance Company (property and casualty insurance company), 2004 to 2008; formerly, Director, Providence Washington Insurance Company (property and casualty insurance company), 1998 to 2006; formerly, Director, Summit Global Partners (insurance brokerage firm), 2000 to 2005. | |||||||
Peter P. Trapp (1944) | Trustee since inception | Retired; formerly, Regional Manager for Mid-Southern Region, Ford Motor Credit Company, September 1997 to 2007; formerly, President, Ford Life Insurance Company, April 1995 to August 1997. | 59 | None. |
105
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||
Trustees who are "Interested Persons" | |||||||||||
Joseph V. Amato* (1962) | Trustee since 2009 | President and Director, Neuberger Berman Group LLC, since 2009; President and Chief Executive Officer, Neuberger and Neuberger Berman Holdings LLC (including its predecessor, Neuberger Berman Inc.), since 2007; Chief Investment Officer (Equities) and Managing Director, Management, since 2009; Managing Director, Neuberger Berman Fixed Income LLC ("NBFI"), since 2007; Board member of NBFI since 2006; formerly, Global Head of Asset Management of Lehman Brothers Holdings Inc.'s ("LBHI") Investment Management Division, 2006 to 2009; formerly, member of LBHI's Investment Management Division's Executive Management Committee, 2006 to 2009; formerly, Managing Director, Lehman Brothers Inc. ("LBI"), 2006 to 2008; formerly, Chief Recruiting and Development Officer, LBI, 2005 to 2006; formerly, Global Head of LBI's Equity Sales and a Member of its Equities Division Executive Committee, 2003 to 2005. | 59 | Member of Board of Advisors, McDonough School of Business, Georgetown University, since 2001; Member of New York City Board of Advisors, Teach for America, since 2005; Trustee, Montclair Kimberley Academy (private school), since 2007; Member of Board of Regents, Georgetown University, since 2013. | |||||||
Robert Conti* (1956) | Chief Executive Officer, President and Trustee since 2008; prior thereto, Executive Vice President in 2008 and Vice President from inception to 2008 | Managing Director, Neuberger, since 2007; Managing Director, NBFI, since 2009; formerly, Senior Vice President, Neuberger, 2003 to 2006; formerly, Vice President, Neuberger, 1999 to 2003; President and Chief Executive Officer, Management, since 2008; formerly, Senior Vice President, Management, 2000 to 2008. | 59 | Director, Staten Island Mental Health Society, since 1994; formerly, Chairman of the Board, Staten Island Mental Health Society, 2008 to 2011. |
106
(1) The business address of each listed person is 605 Third Avenue, New York, New York 10158.
(2) Pursuant to the Trust's Trust Instrument, each of these Trustees shall hold office for life or until his or her successor is elected or the Trust terminates; except that (a) any Trustee may resign by delivering a written resignation; (b) any Trustee may be removed with or without cause at any time by a written instrument signed by at least two-thirds of the other Trustees; (c) any Trustee who requests to be retired, or who has become unable to serve, may be retired by a written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any shareholder meeting by a vote of at least two-thirds of the outstanding shares.
(3) Except as otherwise indicated, each individual has held the positions shown for at least the last five years.
* Indicates a Trustee who is an "interested person" within the meaning of the 1940 Act. Mr. Amato and Mr. Conti are interested persons of the Trust by virtue of the fact that each is an officer of Management, Neuberger and/or their affiliates.
107
Information about the Officers of the Trust
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | |||||||||
Andrew B. Allard (1961) | Chief Legal Officer since 2013 (only for purposes of sections 307 and 406 of the Sarbanes-Oxley Act of 2002) and Anti-Money Laundering Compliance Officer since inception | General Counsel and Senior Vice President, Management, since 2013; Senior Vice President, Neuberger, since 2006 and Employee since 1999; Deputy General Counsel, Neuberger, since 2004; formerly, Vice President, Neuberger, 2000 to 2005; formerly, Employee, Management, 1994 to 1999; Chief Legal Officer (only for purposes of sections 307 and 406 of the Sarbanes-Oxley Act of 2002), ten registered investment companies for which Management acts as investment manager and administrator (ten since 2013); Anti-Money Laundering Compliance Officer, ten registered investment companies for which Management acts as investment manager and administrator (six since 2002, one since 2003, one since 2005, one since 2006 and one since 2013). | |||||||||
Claudia A. Brandon (1956) | Executive Vice President since 2008 and Secretary since inception | Senior Vice President, Neuberger, since 2007 and Employee since 1999; Senior Vice President, Management, since 2008 and Assistant Secretary since 2004; formerly, Vice President, Neuberger, 2002 to 2006; formerly, Vice President-Mutual Fund Board Relations, Management, 2000 to 2008; formerly, Vice President, Management, 1986 to 1999 and Employee 1984 to 1999; Executive Vice President, ten registered investment companies for which Management acts as investment manager and administrator (nine since 2008 and one since 2013); Secretary, ten registered investment companies for which Management acts as investment manager and administrator (three since 1985, three since 2002, one since 2003, one since 2005, one since 2006 and one since 2013). | |||||||||
Agnes Diaz (1971) | Vice President since 2013 | Senior Vice President, Neuberger, since 2012; Employee, Management, since 1996; formerly, Vice President, Neuberger, 2007 to 2012; Vice President, ten registered investment companies for which Management acts as investment manager and administrator (ten since 2013). | |||||||||
Anthony DiBernardo (1979) | Assistant Treasurer since 2011 | Senior Vice President, Neuberger, since 2014; Employee, Management, since 2003; formerly, Vice President, Neuberger, 2009 to 2014; Assistant Treasurer, ten registered investment companies for which Management acts as investment manager and administrator (nine since 2011 and one since 2013). | |||||||||
Sheila R. James (1965) | Assistant Secretary since inception | Vice President, Neuberger, since 2008 and Employee since 1999; formerly, Assistant Vice President, Neuberger, 2007; formerly, Employee, Management, 1991 to 1999; Assistant Secretary, ten registered investment companies for which Management acts as investment manager and administrator (six since 2002, one since 2003, one since 2005, one since 2006 and one since 2013). |
108
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | |||||||||
Brian Kerrane (1969) | Chief Operating Officer since 2015 and Vice President since 2008 | Managing Director, Neuberger, since 2014; Vice President, Management, since 2008 and Employee since 1991; formerly, Senior Vice President, Neuberger, 2006 to 2014; Chief Operating Officer, ten registered investment companies for which Management acts as investment manager and administrator (ten since 2015); Vice President, ten registered investment companies for which Management acts as investment manager and administrator (nine since 2008 and one since 2013). | |||||||||
Kevin Lyons (1955) | Assistant Secretary since inception | Assistant Vice President, Neuberger, since 2008 and Employee since 1999; formerly, Employee, Management, 1993 to 1999; Assistant Secretary, ten registered investment companies for which Management acts as investment manager and administrator (seven since 2003, one since 2005, one since 2006 and one since 2013). | |||||||||
Anthony Maltese (1959) | Vice President since 2015 | Senior Vice President, Neuberger, since 2014 and Employee since 2000; Vice President, ten registered investment companies for which Management acts as investment manager and administrator (ten since 2015). | |||||||||
Owen F. McEntee, Jr. (1961) | Vice President since 2008 | Vice President, Neuberger, since 2006; Employee, Management, since 1992; Vice President, ten registered investment companies for which Management acts as investment manager and administrator (nine since 2008 and one since 2013). | |||||||||
John M. McGovern (1970) | Treasurer and Principal Financial and Accounting Officer since inception | Senior Vice President, Neuberger, since 2007; Employee, Management, since 1993; Treasurer and Principal Financial and Accounting Officer, ten registered investment companies for which Management acts as investment manager and administrator (eight since 2005, one since 2006 and one since 2013); formerly, Vice President, Neuberger, 2004 to 2006; formerly, Assistant Treasurer, eight registered investment companies for which Management acts as investment manager and administrator, 2002 to 2005. | |||||||||
Frank Rosato (1971) | Assistant Treasurer since inception | Vice President, Neuberger, since 2006; Employee, Management, since 1995; Assistant Treasurer, ten registered investment companies for which Management acts as investment manager and administrator (eight since 2005, one since 2006 and one since 2013). | |||||||||
Chamaine Williams (1971) | Chief Compliance Officer since inception | Senior Vice President, Neuberger, since 2007; Chief Compliance Officer, Management, since 2006; Chief Compliance Officer, ten registered investment companies for which Management acts as investment manager and administrator (eight since 2005, one since 2006 and one since 2013); formerly, Senior Vice President, LBI, 2007 to 2008; formerly, Vice President, LBI, 2003 to 2006; formerly, Chief Compliance Officer, Lehman Brothers Asset Management Inc., 2003 to 2007; formerly, Chief Compliance Officer, Lehman Brothers Alternative Investment Management LLC, 2003 to 2007 |
(1) The business address of each listed person is 605 Third Avenue, New York, New York 10158.
(2) Pursuant to the By-Laws of the Trust, each officer elected by the Trustees shall hold office until his or her successor shall have been elected and qualified or until his or her earlier death, inability to serve, or resignation. Officers serve at the pleasure of the Trustees and may be removed at any time with or without cause.
(3) Except as otherwise indicated, each individual has held the positions shown for at least the last five years
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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).
Notice to Shareholders
In early 2016 you will receive information to be used in filing your 2015 tax returns, which will include a notice of the exact tax status of all distributions paid to you by a Fund during calendar year 2015. Please consult your own tax advisor for details as to how this information should be reflected on your tax returns.
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Board Consideration of the Existing Management and Sub-Advisory Agreements
On an annual basis, the Board of Trustees ("Board") of Neuberger Berman Alternative Funds ("Trust"), including the Trustees who are not "interested persons" of Neuberger Berman Management LLC ("Management") (including its affiliates) or the Trust ("Independent Fund Trustees"), considers whether to continue the management agreement with Management ("Management Agreement"), the advisory agreement between Management and NB Alternative Investment Management LLC ("NBAIM") ("Advisory Agreement") and separate sub-advisory agreements among Management, NBAIM and each subadviser with respect to Neuberger Berman Absolute Return Multi-Manager Fund ("ARMM") and Long Short Multi-Manager Fund ("LSMM") (each a "Fund"). With respect to ARMM, the Board considered the sub-advisory agreements among Management, NBAIM and each of the following subadvisers: 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., SLS Management, LLC, Sound Point Capital Management, L.P., and Visium Asset Management, LP (each, a "Sub-Advisory Agreement"; collectively with the Management Agreement and Advisory Agreement, the "Agreements"). With respect to LSMM, the Board considered the sub-advisory agreements among Management, NBAIM and each of the following subadvisers: 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 (each, a "Sub-Advisory Agreement"; collectively with the Management Agreement and Advisory Agreement, the "Agreements"). Throughout the process, the Independent Fund Trustees are advised by counsel that is experienced in Investment Company Act of 1940 matters and that is independent of Management ("Independent Counsel"). At a meeting held on September 8, 2015, the Board, including the Independent Fund Trustees, approved the continuation of the Agreements for each Fund.
In evaluating the Agreements with respect to each Fund, the Board, including the Independent Fund Trustees, reviewed extensive materials provided by Management, NBAIM, and each Subadviser in response to questions submitted by or on behalf of the Independent Fund Trustees and Independent Counsel and met with senior representatives of Management regarding its personnel, operations and financial condition as they relate to the Funds. The annual contract review extends over at least three regular meetings of the Board to ensure that Management, NBAIM and each Subadviser have time to respond to any questions the Independent Fund Trustees may have on their initial review of the materials and that the Independent Fund Trustees have time to consider those responses.
In connection with its deliberations, the Board also considered the broad range of information relevant to the annual contract review that is provided to the Board (including its various standing committees) at meetings throughout the year, including investment performance reports and related portfolio information for each Fund, as well as periodic reports on, among other matters, pricing and valuation; brokerage and execution; compliance; and shareholder and other services provided by Management, NBAIM and their affiliates. To assist the Board in its deliberations regarding the annual 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 annual contract review, such as Fund performance or compliance matters.
The Independent Fund Trustees received from Independent Counsel a memorandum discussing the legal standards for their consideration of the proposed continuation of the Agreements. During the course of the year and during their deliberations regarding the annual contract review, the Contract Review Committee and the Independent Fund Trustees met with Independent Counsel separately from representatives of Management, NBAIM and the Subadvisers.
In connection with its approval of the continuation of the Agreements, the Board evaluated the overall fairness of the Agreements to each Fund and whether the Agreements were in the best interests of each Fund and its shareholders. The Board considered all factors it deemed relevant with respect to each Fund, including the following factors: (1) the nature, extent, and quality of the services provided by Management, NBAIM and the Subadvisers; (2) the investment performance of each Fund compared to a market index and a peer group of investment companies, and the contribution of each sleeve to each Fund's overall performance; (3) the costs of the services provided and the loss realized by Management, and its affiliates from its relationship with each Fund; (4) the extent to which economies of scale have been or might be realized as each Fund grows; and (5) whether fee levels reflect any such potential economies of scale for the
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benefit of each Fund's shareholders. The Board also inquires whether there are any other business relationships between Neuberger Berman and the Subadvisers that might result in the negotiations between them being less than arms-length.
The Board's determination to approve the continuation of the Agreements was based on a comprehensive consideration of all information provided to the Board throughout the year and specifically in connection with the annual contract review. The Board members did not identify any particular information or factor that was all-important or controlling, and each Trustee may have attributed different weights to the various factors. The Board focused on the overall costs and benefits of the Agreements to each Fund and, through each Fund, their shareholders.
With respect to the nature, extent and quality of the services provided, the Board considered the investment philosophy and decision-making processes of Management, NBAIM and each Subadviser, and the qualifications, experience, and capabilities of, and the resources available to, the portfolio management personnel of Management, NBAIM and each Subadviser who perform services for the Funds. The Board noted that Management also provides certain administrative services, including fund accounting and compliance oversight. The Board noted that Management and NBAIM, together with the Funds, had obtained from the Securities and Exchange Commission an exemptive order that permitted Management to add or replace subadvisers to the Funds without a shareholder vote, provided the Independent Fund Trustees approve the new subadviser and certain other steps are taken. In this context, the Board considered Management's and NBAIM's responsibilities for designing an overall investment program for each Fund and then identifying the Subadvisers who will carry out the different portions of that program based on NBAIM's due diligence of those Subadvisers. The Board noted that under the multi-manager arrangement, NBAIM is continually assessing the need for new subadvisers and the appropriateness of potential candidates, and noted the likelihood Management and/or NBAIM would in the future have to due diligence additional subadvisers. The Board noted that NBAIM is responsible for allocating each Fund's portfolio among the various Subadvisers and determining when and how to rebalance the allocations among the Subadvisers in the wake of disparate growth and changes in the markets and the broader economy, and to make certain other investment decisions, subject to Management's general oversight.
The Board further noted that Management and NBAIM are responsible for overseeing the Subadvisers pursuant to the Agreements and related subadviser oversight policies and procedures approved by the Board. Under these procedures, NBAIM is responsible for overseeing the investment performance of the Subadvisers and evaluating the risk and return of each Subadviser and each Fund as a whole, in addition to other significant oversight responsibilities, subject to Management's general oversight. The Board also considered that Management's responsibilities include daily monitoring of investment, operational, enterprise, legal, regulatory and compliance risks as they relate to the Funds, and considered information regarding Management's process for managing risk. The Board also considered the experience and staffing of the portfolio management and investment research personnel of NBAIM, and the general structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of each Fund.
The Board also considered the size and scope of the activities necessary to periodically evaluate the compliance programs and other operational aspects of each Subadviser. In addition, the Board considered the scope and compliance history of the compliance programs of Management, NBAIM and each Subadviser, including the Funds' Chief Compliance Officer's and NBAIM's assessment of the compliance programs of the Subadvisers. The Board noted the positive compliance history of Management, NBAIM, and each Subadviser as no significant compliance problems were reported to the Board with respect to any of the firms. The Board also considered whether there were any pending lawsuits, enforcement proceedings or regulatory investigations involving Management, NBAIM or any Subadviser, and reviewed information regarding their financial condition, history of operations and any conflicts of interests in managing the Funds. As in past years, the Board also considered the manner in which Management addressed various non-routine matters that arose during the year, some of them a result of developments in the broader fund industry or the regulations governing it. In addition, the Board considered actions taken by Management and NBAIM in response to recent market conditions, including actions taken in response to regulatory concerns about changes in fixed-income market liquidity and potential volatility, and considered the overall performance of Management and NBAIM in this context.
The Board considered the policies and practices regarding brokerage and allocation of portfolio transactions of each of the Subadvisers and noted that Management and NBAIM monitored the quality of the execution services provided by
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each Subadviser. The Board also reviewed whether the Subadvisers would use brokers to execute Fund transactions that provide research and other services to the Subadvisers, and the types of benefits potentially derived from such services by the Subadvisers, the Funds and other clients of the Subadvisers.
With respect to investment performance, the Board considered information regarding each Fund's performance on both an absolute basis and relative to a market index and the average performance of a composite peer group (as constructed by an independent organization) of investment companies pursuing broadly similar strategies. The Board also considered information regarding each Subadviser's performance. The Board also reviewed the Funds' performance in relation to certain measures of the degree of investment risk undertaken by the Fund. The Board factored into its evaluation of the Funds' performance the limitations inherent in the methodology for constructing peer groups and determining which investment companies should be included in which peer groups. It also considered that the nature of the Funds makes it difficult to find an appropriate market index or truly comparable peer group. In this regard, the Board noted that performance, especially short-term performance, is only one of the factors that it deems relevant to its consideration of the Funds' Agreements and that, after considering all relevant factors, it may be appropriate to approve the continuation of the Agreements notwithstanding a Fund's underperformance.
With respect to the overall fairness of the Agreements, the Board considered the fee structures for the Funds under the Agreements as compared to a peer group of comparable funds and any fall-out benefits likely to accrue to Management and NBAIM or their affiliates from their relationship with the Funds. The Board also considered the profitability of Management and its affiliates from their association with the Funds, and year-over-year changes in each of Management's reported expense categories.
The Board reviewed a comparison of the Funds' management fees and overall expense ratios to a peer group of broadly comparable funds. The Board noted that the comparative management fee analysis includes, in the Funds' management fees, the separate administrative fees 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. Noting that the Funds' management fees were higher than the peer group mean and median, the Board considered whether specific portfolio management, administration or oversight needs contributed to the size of the management fee. In addition, the Board considered the contractual limit on expenses for each class of the Funds. Management indicated that similar comparative information was not available with respect to the amount paid to NBAIM or to each Subadviser. The Board did, however, consider the allocation of duties and responsibilities among Management, NBAIM, and the Subadvisers and, in light of that, the amount of fees retained by each. The Board noted, however, that Management, and not the Funds, pays the fee to NBAIM and the Subadvisers. In this connection, the Board considered whether there are other business arrangements between Management or NBAIM and any Subadviser that could give rise to potential conflicts in the selection of subadvisers. The Board also monitors throughout the year the potential effect on the profitability of Management and NBAIM resulting from changes in Subadvisers and/or their fees. The Board considered the fees the Subadvisers charge for similar products, if any. The Board also considered fees charged to an unregistered fund of funds managed by NBAIM that uses some of the same strategies used by the Funds and noted differences that reduced the usefulness of the comparison. The Board also evaluated any apparent or anticipated economies of scale in relation to the services Management provides to the Funds. The Board considered that each Fund's fee structure provides for a reduction of payments resulting from the use of breakpoints and whether those breakpoints are set at appropriate asset levels. It also considered whether the fees were set at an appropriate level and compared the fee structures to that of the peer group. In concluding that the benefits accruing to Management and its affiliates by virtue of their relationship with the Funds were reasonable in light of the costs of providing the investment advisory and other services and the benefits accruing to the Funds, the Board reviewed specific data as to Management's loss on the Funds for a recent period. The Board also carefully examined Management's cost allocation methodology. It also considered whether any of the Sub-Advisory Agreements will provide for breakpoints in the fees and, as a general matter, the way in which such breakpoints should factor into the fees paid by the Funds. The Board considered the profitability of Management and NBAIM and recognized that Management and NBAIM should each be entitled to earn a reasonable level of profits for services they provide to the Funds, and, based on its review, concluded that the reported level of profitability of Management and NBAIM, if any, was reasonable.
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With regard to the investment performance of each Fund and the costs of the services provided to each Fund, the Board considered the following information. Where a Fund has more than one class of shares outstanding, information for a single class has been provided as identified below and the Board looked at the Institutional Class fees as a proxy for all of the Fund's classes:
• Neuberger Berman Absolute Return Multi-Manager Fund (Institutional Class)—The Board considered that, as compared to its peer group, the Fund's contractual management fee and actual management fee net of fees waived by Management were both higher than the median. The Board considered that as compared to its peer group, the Fund's performance was lower than the median for the 1-year period. The Board also considered that, as compared to its benchmark, the Fund's performance as of December 31, 2014 was lower for the 1-year period, however, as of July 31, 2015, it was higher for the 1- and 3-year periods. The Fund was launched in 2012 and therefore does not have long-term performance.
• Neuberger Berman Long Short Multi-Manager Fund (Institutional Class)—The Board considered that, as compared to its peer group, the Fund's contractual management fee was higher than the median, but the actual management fee net of fees waived by Management was lower than the median. The Board considered that as compared to its peer group, the Fund's performance was higher than the median for the 1-year period. The Board also considered that, as compared to its benchmark, the Fund's performance was higher for the 1-year period. The Fund was launched in 2013 and therefore does not have intermediate- and long-term performance.
Conclusions as to Existing Agreements
In approving the continuation of the Agreements, the Board concluded that the terms of each Agreement are fair and reasonable to each Fund and that approval of the continuation of the Agreements is in the best interests of each Fund and its shareholders. In reaching this determination, the Board considered that Management, NBAIM, and each Subadviser could be expected to provide a high level of service to each Fund; that the performance of each Fund was satisfactory over time, or, in the case of an underperforming Fund, that it retained confidence in Management's, NBAIM's, and each Subadviser's capabilities to manage the Fund; that each Fund's fee structure appeared to the Board to be reasonable given the nature, extent and quality of services provided; and that the benefits accruing to Management and its affiliates by virtue of their relationship with the Funds were reasonable in light of the costs of providing the investment advisory and other services and the benefits accruing to each Fund. The Board's conclusions may be based in part on its consideration of materials prepared in connection with the Agreements in prior years and on the Board's ongoing regular review of each Fund's performance and operations throughout the year, in addition to material prepared specifically for the most recent annual review of the Agreements.
Board Consideration of Additional Sub-Advisory Agreement
TPH Asset Management, LLC
At meetings held on March 25-26, 2015, the Board of the Trust, including the Independent Fund Trustees, considered and approved a separate sub-advisory agreement ("Sub-Advisory Agreement") among Management, NBAIM and TPH Asset Management, LLC (an "Additional Subadviser"), which will be responsible for managing a portion of the assets of Neuberger Berman Absolute Return Multi-Manager Fund and Neuberger Berman Long Short Multi-Manager Fund. The Independent Fund Trustees were advised by Independent Counsel.
In evaluating the Sub-Advisory Agreement, the Board, including the Independent Fund Trustees, reviewed extensive materials furnished by the Additional Subadviser in response to questions submitted by management, NBAIM, the Board and Independent Counsel, and met with senior representatives of Management regarding the Subadviser's personnel, operations and financial condition as they relate to the Funds. In addition, the Board, including the Independent Trustees, met with senior representatives of the Additional Subadviser regarding its personnel and operations.
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The Board noted that Management and NBAIM, together with the Funds, had obtained from the Securities and Exchange Commission an exemptive order that permitted Management to add or replace subadvisers to the Funds without a shareholder vote, provided the Independent Fund Trustees approve the new subadviser and certain other steps are taken. In this context, the Board considered Management's and NBAIM's responsibilities for designing an overall investment program for each Fund and then identifying the Subadvisers who will carry out the different portions of that program based on NBAIM's due diligence of those Subadvisers. The Board further noted that Management and NBAIM, pursuant to their agreements with each Fund and related subadviser oversight policies and procedures approved by the Board, are responsible for overseeing the subadvisers.
The Board evaluated the overall fairness of the Sub-Advisory Agreement to each Fund and whether the Sub-Advisory Agreement was in the best interests of each Fund and its shareholders. The Board considered the following factors with respect to each Fund, among others, in connection with its approval of the Sub-Advisory Agreement: (1) the nature, extent, and quality of the services to be provided by the Additional Subadviser; and (2) the expected costs of the services to be provided. In their deliberations, the Board members did not identify any particular information that was all-important or controlling, and each Trustee may have attributed different weights to the various factors.
The Board received and considered information regarding the nature, extent and quality of services to be provided to each Fund by the Additional Subadviser under the Sub-Advisory Agreement. The Board considered the experience and staffing of the portfolio management and investment research personnel of the Additional Subadviser who would perform services for the Funds, as well as the resources available to it. The Board reviewed the performance for accounts managed by the Additional Subadviser that were substantially similar in strategy to the strategy the Additional Subadviser will use for the Funds, noting that the accounts may not be subject to the same 1940 Act restrictions as the Funds. The Board considered the policies and practices regarding brokerage and allocation of portfolio transactions of the Additional Subadviser and noted that Management and NBAIM would monitor the quality of the execution services provided by the Additional Subadviser.
The Board also reviewed whether the Additional Subadviser would use brokers to execute transactions for each Fund that provide research and other services to the Additional Subadviser, and the types of benefits potentially derived from such services by the Additional Subadviser, the Funds and other clients of the Additional Subadviser. The Board also considered the compliance program and compliance history of the Additional Subadviser, including the Funds' Chief Compliance Officer's and NBAIM's assessment of the compliance program of the Additional Subadviser. The Board also considered whether there were any pending lawsuits, enforcement proceedings or regulatory investigations involving the Additional Subadviser, and reviewed information regarding its financial condition, history of operations and any conflicts of interests in managing the Funds.
With respect to the overall fairness of the Sub-Advisory Agreement, the Board had previously considered each Fund's fee structure as compared to a peer group of comparable funds and any fall-out benefits likely to accrue to Management or its affiliates. Management indicated that similar comparative information was not available with respect to the amount paid to the Additional Subadviser. The Board did, however, consider an estimate of the costs of the services to be provided and estimated profit or loss that would be realized by management and NBAIM as a result of adding the Additional Subadviser, as well as the fees the Additional Subadviser charges for similar products. The Board noted, however, that Management, and not the Funds, pays the fee to the Additional Subadviser and therefore the fees charged by the Additional Subadviser will not change the overall expenses of each Fund. The Board also considered whether there are other business arrangements between Management or NBAIM and the Additional Subadviser that could give rise to potential conflicts. It considered whether the Sub-Advisory Agreement will or should provide for breakpoints in the fees and, as a general matter, the way in which any such breakpoints should factor into the fees paid by each Fund.
Conclusions as to Additional Sub-Advisory Agreement
In approving the Sub-Advisory Agreement, the Board concluded that the Sub-Advisory Agreement is fair and reasonable and that approval of the Sub-Advisory Agreement is in the best interests of each Fund and its shareholders. In reaching this determination, the Board considered that the Additional Subadviser could be expected to provide a high level of
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service to each Fund; that the Additional Subadviser's fees appeared to the Board to be reasonable given the nature and quality of services expected to be provided; and that the expected benefits accruing to the Additional Subadviser and its affiliates and Management and its affiliates by virtue of their relationship with the Funds were reasonable in light of the expected costs of providing the sub-advisory services and the expected benefits accruing to each Fund.
Board Consideration of Additional Sub-Advisory Agreement
GSA Capital Partners LLP
At meetings held on March 25-26, 2015, the Board of the Trust, including Independent Fund Trustees, considered and approved a separate sub-advisory agreement ("Sub-Advisory Agreement") among Management, NBAIM and GSA Capital Partners LLP (an "Additional Subadviser"), which will be responsible for managing a portion of the assets of Neuberger Berman Absolute Return Multi-Manager Fund. The Independent Fund Trustees were advised by Independent Counsel.
In evaluating the Sub-Advisory Agreement, the Board, including the Independent Fund Trustees, reviewed extensive materials furnished by the Additional Subadviser in response to questions submitted by management, NBAIM, the Board and Independent Counsel, and met with representatives of Management regarding the Subadviser's personnel, operations and financial condition as they relate to the Fund. In addition, the Board, including the Independent Trustees, met with senior representatives of the Additional Subadviser regarding its personnel and operations.
The Board noted that Management and NBAIM, together with the Fund, had obtained from the Securities and Exchange Commission an exemptive order that permitted Management to add or replace subadvisers to the Fund without a shareholder vote, provided the Independent Fund Trustees approve the new subadviser and certain other steps are taken. In this context, the Board considered Management's and NBAIM's responsibilities for designing an overall investment program for the Fund and then identifying the Subadvisers who will carry out the different portions of that program based on NBAIM's due diligence of those Subadvisers. The Board further noted that Management and NBAIM, pursuant to their agreements with the Fund and related subadviser oversight policies and procedures approved by the Board, are responsible for overseeing the subadvisers.
The Board evaluated the overall fairness of the Sub-Advisory Agreement to the Fund and whether the Sub-Advisory Agreement was in the best interests of the Fund and its shareholders. The Board considered the following factors with respect to the Fund, among others, in connection with its approval of the Sub-Advisory Agreement: (1) the nature, extent, and quality of the services to be provided by the Additional Subadviser; and (2) the expected costs of the services to be provided. In their deliberations, the Board members did not identify any particular information that was all-important or controlling, and the Trustee may have attributed different weights to the various factors.
The Board received and considered information regarding the nature, extent and quality of services to be provided to the Fund by the Additional Subadviser under the Sub-Advisory Agreement. The Board considered the experience and staffing of the portfolio management and investment research personnel of the Additional Subadviser who would perform services for the Fund, as well as the resources available to it. The Board reviewed the performance for accounts managed by the Additional Subadviser that were substantially similar in strategy to the strategy the Additional Subadviser will use for the Fund, noting that the accounts may not be subject to the same 1940 Act restrictions as the Fund. The Board considered the policies and practices regarding brokerage and allocation of portfolio transactions of the Additional Subadviser and noted that Management and NBAIM would monitor the quality of the execution services provided by the Additional Subadviser.
The Board also reviewed whether the Additional Subadviser would use brokers to execute transactions for the Fund that provide research and other services to the Additional Subadviser, and the types of benefits potentially derived from such services by the Additional Subadviser, the Fund and other clients of the Additional Subadviser. The Board also considered the compliance program and compliance history of the Additional Subadviser, including the Fund's Chief Compliance Officer's and NBAIM's assessment of the compliance program of the Additional Subadviser. The Board also considered whether there were any pending lawsuits, enforcement proceedings or regulatory investigations involving the
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Additional Subadviser, and reviewed information regarding its financial condition, history of operations and any conflicts of interests in managing the Fund.
With respect to the overall fairness of the Sub-Advisory Agreement, the Board had previously considered the Fund's fee structure as compared to a peer group of comparable funds and any fall-out benefits likely to accrue to Management or its affiliates. Management indicated that similar comparative information was not available with respect to the amount paid to the Additional Subadviser. The Board did, however, consider an estimate of the costs of the services to be provided and estimated profit or loss that would be realized by management and NBAIM as a result of adding the Additional Subadviser, as well as the fees the Additional Subadviser charges for similar products. The Board noted, however, that Management, and not the Fund, pays the fee to the Additional Subadviser and therefore the fees charged by the Additional Subadviser will not change the overall expenses of the Fund. The Board also considered whether there are other business arrangements between Management or NBAIM and the Additional Subadviser that could give rise to potential conflicts. It considered whether the Sub-Advisory Agreement will or should provide for breakpoints in the fees and, as a general matter, the way in which any such breakpoints should factor into the fees paid by the Fund.
Conclusions as to Additional Sub-Advisory Agreement
In approving the Sub-Advisory Agreement, the Board concluded that the Sub-Advisory Agreement is fair and reasonable and that approval of the Sub-Advisory Agreement is in the best interests of the Fund and its shareholders. In reaching this determination, the Board considered that the Additional Subadviser could be expected to provide a high level of service to the Fund; that the Additional Subadviser's fees appeared to the Board to be reasonable given the nature and quality of services expected to be provided; and that the expected benefits accruing to the Additional Subadviser and its affiliates and Management and its affiliates by virtue of their relationship with the Fund were reasonable in light of the expected costs of providing the sub-advisory services and the expected benefits accruing to the Fund.
Board Consideration of Additional Sub-Advisory Agreement
Portland Hill Capital LLP
At meetings held on September 8-9, 2015, the Board of the Trust, including Independent Fund Trustees, considered and approved a separate sub-advisory agreement ("Sub-Advisory Agreement") among Management, NBAIM and Portland Hill Capital LLP (an "Additional Subadviser"), which will be responsible for managing a portion of the assets of Neuberger Berman Absolute Return Multi-Manager Fund and Neuberger Berman Long Short Multi-Manager Fund. The Independent Fund Trustees were advised by Independent Counsel.
In evaluating the Sub-Advisory Agreement, the Board, including the Independent Fund Trustees, reviewed extensive materials furnished by the Additional Subadviser in response to questions submitted by management, NBAIM, the Board and Independent Counsel, and met with representatives of Management regarding the Subadviser's personnel, operations and financial condition as they relate to the Funds. In addition, the Board, including the Independent Trustees, met with senior representatives of the Additional Subadviser regarding its personnel and operations.
The Board noted that Management and NBAIM, together with the Funds, had obtained from the Securities and Exchange Commission an exemptive order that permitted Management to add or replace subadvisers to the Funds without a shareholder vote, provided the Independent Fund Trustees approve the new subadviser and certain other steps are taken. In this context, the Board considered Management's and NBAIM's responsibilities for designing an overall investment program for the Funds and then identifying the Subadvisers who will carry out the different portions of that program based on NBAIM's due diligence of those Subadvisers. The Board further noted that Management and NBAIM, pursuant to their agreements with the Funds and related subadviser oversight policies and procedures approved by the Board, are responsible for overseeing the subadvisers.
The Board evaluated the overall fairness of the Sub-Advisory Agreement to the Funds and whether the Sub-Advisory Agreement was in the best interests of each Fund and its shareholders. The Board considered the following factors with
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respect to the Funds, among others, in connection with its approval of the Sub-Advisory Agreement: (1) the nature, extent, and quality of the services to be provided by the Additional Subadviser; and (2) the expected costs of the services to be provided. In their deliberations, the Board members did not identify any particular information that was allimportant or controlling, and the Trustee may have attributed different weights to the various factors.
The Board received and considered information regarding the nature, extent and quality of services to be provided to the Funds by the Additional Subadviser under the Sub-Advisory Agreement. The Board considered the experience and staffing of the portfolio management and investment research personnel of the Additional Subadviser who would perform services for the Funds, as well as the resources available to it. The Board reviewed the performance for accounts managed by the Additional Subadviser that were substantially similar in strategy to the strategy the Additional Subadviser will use for the Funds, noting that the accounts may not be subject to the same 1940 Act restrictions as the Funds. The Board considered the policies and practices regarding brokerage and allocation of portfolio transactions of the Additional Subadviser and noted that Management and NBAIM would monitor the quality of the execution services provided by the Additional Subadviser.
The Board also reviewed whether the Additional Subadviser would use brokers to execute transactions for the Funds that provide research and other services to the Additional Subadviser, and the types of benefits potentially derived from such services by the Additional Subadviser, the Funds and other clients of the Additional Subadviser. The Board also considered the compliance program and compliance history of the Additional Subadviser, including the Funds' Chief Compliance Officer's and NBAIM's assessment of the compliance program of the Additional Subadviser. The Board also considered whether there were any pending lawsuits, enforcement proceedings or regulatory investigations involving the Additional Subadviser, and reviewed information regarding its financial condition, history of operations and any conflicts of interests in managing the Funds.
With respect to the overall fairness of the Sub-Advisory Agreement, the Board had previously considered each Fund's fee structure as compared to a peer group of comparable funds and any fall-out benefits likely to accrue to Management or its affiliates. Management indicated that similar comparative information was not available with respect to the amount paid to the Additional Subadviser. The Board did, however, consider an estimate of the costs of the services to be provided and estimated profit or loss that would be realized by management and NBAIM as a result of adding the Additional Subadviser, as well as the fees the Additional Subadviser charges for similar products. The Board noted, however, that Management, and not the Funds, pays the fee to the Additional Subadviser and therefore the fees charged by the Additional Subadviser will not change the overall expenses of the Funds. The Board also considered whether there are other business arrangements between Management or NBAIM and the Additional Subadviser that could give rise to potential conflicts. It considered whether the Sub-Advisory Agreement will or should provide for breakpoints in the fees and, as a general matter, the way in which any such breakpoints should factor into the fees paid by the Funds.
Conclusions as to Additional Sub-Advisory Agreement
In approving the Sub-Advisory Agreement, the Board concluded that the Sub-Advisory Agreement is fair and reasonable and that approval of the Sub-Advisory Agreement is in the best interests of each Fund and its shareholders. In reaching this determination, the Board considered that the Additional Subadviser could be expected to provide a high level of service to each Fund; that the Additional Subadviser's fees appeared to the Board to be reasonable given the nature and quality of services expected to be provided; and that the expected benefits accruing to the Additional Subadviser and its affiliates and Management and its affiliates by virtue of their relationship with each Fund were reasonable in light of the expected costs of providing the sub-advisory services and the expected benefits accruing to each Fund.
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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.
M0257 12/15
Neuberger Berman
Alternative and Multi-Asset Class Funds
Institutional Class Shares
Class A Shares
Class C Shares
Class R6 Shares
Flexible Select Fund
Global Allocation Fund
Inflation Managed Fund
(Formerly Inflation Navigator Fund)
Long Short Fund
Long Short Credit Fund
Multi-Asset Income Fund
Annual Report
October 31, 2015
Contents
THE FUNDS | |||||
President's Letter | 1 | ||||
PORTFOLIO COMMENTARY | |||||
Flexible Select Fund | 2 | ||||
Global Allocation Fund | 6 | ||||
Inflation Managed Fund (Formerly Inflation Navigator Fund) | 9 | ||||
Long Short Fund | 12 | ||||
Long Short Credit Fund | 15 | ||||
Multi-Asset Income Fund | 18 | ||||
FUND EXPENSE INFORMATION | 24 | ||||
SCHEDULE OF INVESTMENTS | |||||
Flexible Select Fund | 26 | ||||
Global Allocation Fund | 28 | ||||
Positions by Industry | 39 | ||||
Inflation Managed Fund (Formerly Inflation Navigator Fund) | 42 | ||||
Long Short Fund | 46 | ||||
Long Short Credit Fund | 50 | ||||
Multi-Asset Income Fund | 52 | ||||
FINANCIAL STATEMENTS | 68 | ||||
FINANCIAL HIGHLIGHTS (ALL CLASSES)/ PER SHARE DATA | |||||
Flexible Select Fund | 124 | ||||
Global Allocation Fund | 124 | ||||
Inflation Managed Fund (Formerly Inflation Navigator Fund) | 126 | ||||
Long Short Fund | 128 | ||||
Long Short Credit Fund | 130 | ||||
Multi-Asset Income Fund | 130 |
Reports of Independent Registered Public Accounting Firms | 133 | ||||
Directory | 135 | ||||
Trustees and Officers | 136 | ||||
Proxy Voting Policies and Procedures | 145 | ||||
Quarterly Portfolio Schedule | 145 | ||||
Board Consideration of the Management and Sub-Advisory Agreements | 146 | ||||
Notice to Shareholders | 150 |
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 annual shareholder report for Neuberger Berman Flexible Select Fund, Neuberger Berman Global Allocation Fund, Neuberger Berman Inflation Managed Fund, Neuberger Berman Long Short Fund and Neuberger Berman Multi-Asset Income Fund. This report also includes the new Neuberger Berman Long Short Credit Fund, which was launched on June 29, 2015.
The global financial markets were volatile at times and generated mixed results during the 12 months ended October 31, 2015. Investor risk appetite fluctuated given incoming global economic data, uncertainties regarding central bank monetary policy, falling commodity prices and numerous geopolitical issues. Despite experiencing its first correction (a decline of at least 10%) since 2011, the U.S. equity market, as measured by the S&P 500® Index, gained 5.20% over the 12-month period. In contrast, international developed market equities were largely flat, while emerging markets equities fell sharply. Within fixed income, longer-term U.S. Treasury yields declined and the overall bond market, as measured by the Barclays U.S. Aggregate Bond Index, gained 1.96% during the period. Finally, inflation remained tepid, partially a reflection of moderating growth in many countries and lower commodity prices.
Looking ahead, we believe the U.S. economy will continue to expand. However, growth could remain relatively muted, while inflation could edge somewhat higher as the year progresses. Against this backdrop, we expect the U.S. Federal Reserve (Fed) to move toward policy normalization. In our view, the Fed will be very gradual in its tightening cycle and we anticipate two to three rate hikes over the next 12 months, with a fed funds rate of 0.75%—1.0% by the end of 2016. From an investment perspective, the last few months have been challenging, but we maintain high conviction in our portfolio managers and believe they are well positioned for the current and coming environment.
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
Flexible Select Fund Commentary (Unaudited)
Neuberger Berman Flexible Select Fund Institutional Class generated a 0.13% total return for the 12 months ended October 31, 2015 but underperformed its benchmark, the Russell 3000® Index, which provided a 4.49% return. (Performance for all share classes is provided in the table immediately following this letter.)
Effective October 1, 2015, the Flexible Select Fund underwent a number of structural changes and enhancements. The Fund is now being co-managed by Joseph V. Amato, who has been managing the Fund since its inception in 2013, and Erik Knutzen, CFA, CAIA, Neuberger Berman's Multi-Asset Class Chief Investment Officer. The portfolio managers determine the Fund's asset allocation using a variety of fundamental and quantitative analyses, and may use Neuberger Berman's fundamental research capabilities, as well as the views of Neuberger Berman's Asset Allocation Committee.
The method for determining the equity sleeve of the Flexible Select Fund has been redesigned to result in a more concentrated, highest-conviction portfolio, consisting of approximately 45–65 names. In selecting the underlying equity securities, the Fund now employs a methodology to systematically extract security selection insights from a select group of underlying managers with a track record of security selection skill. These insights are packaged and delivered in a portfolio that we seek to optimize for risk/reward subject to target levels of risk, as well as limits on sector, market capitalization and individual security weight deviations from the Russell 3000 Index.
The range of eligible strategies for implementing the fixed income allocation of the Fund has been broadened to include a larger group of Neuberger Berman bond funds across different types and maturities of fixed income instruments. In addition to the Neuberger Berman Core Bond Fund, eligible strategies include the Neuberger Berman High Income Bond Fund, Neuberger Berman Short Duration Bond Fund, Neuberger Berman Short Duration High Income Fund, Neuberger Berman Floating Rate Income Fund, Neuberger Berman Emerging Markets Debt Fund and Neuberger Berman Unconstrained Bond Fund.
As of October 31, 2015, the allocation was approximately 85.0% equity, 11.8% fixed income and 3.2% cash and cash equivalents.
A wave of policy-related developments in the U.S. were instrumental in stabilizing investor sentiment and supporting risk assets during October after a pronounced sell-off in August and September. Positive resolutions were reached with respect to the debt ceiling (suspended through March 2017) and budget (agreement for fiscal years 2016 and 2017) and Paul Ryan assumed the position of Speaker of the House of Representatives. The U.S. continues to be among the strongest developed economies as domestic growth remains positive.
Since the Fund's repositioning on October 1, 2015 through the end of the reporting period, industry sector allocations in the equity portion of the portfolio delivered positive contributions to relative performance led by an underweight to Utilities and an overweight to Energy. Security selection had a negative contribution to relative performance, driven by holdings in the Health Care and Industrials sectors. Our fixed income holdings contributed positively to absolute performance during the month.
Over the 12-month reporting period, industry sector allocation in the equity portion of the portfolio had a positive contribution to relative performance, led by underweights to Utilities and Telecommunication Services. Security selection had a negative contribution to relative performance, driven by holdings in the Consumer Discretionary and Energy sectors. The portfolio's fixed income holdings contributed positively to absolute performance during the 12-month period.
Recent economic data have reflected a more resilient growth backdrop. In the U.S., October's employment report was strong on nearly every metric—the headline payroll figure increased by 271,000, the prior two months were revised higher by 12,000 and the unemployment rate edged down to 5.0%. Perhaps most encouraging was the gain in average hourly earnings, which were up 0.4% month-over-month and 2.5% year-over-year. Overall, we anticipate a stable growth backdrop. We remain constructive on risk assets, with a bias towards equities and to credit over government securities.
Sincerely,
JOSEPH V. AMATO AND ERIK KNUTZEN*
PORTFOLIO 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 without notice.
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.
* Erik Knutzen became a Portfolio Manager of Neuberger Berman Flexible Select Fund effective October 1, 2015.
Flexible Select Fund
TICKER SYMBOLS
Institutional Class | NFLIX | ||
Class A | NFLAX | ||
Class C | NFLCX |
SECTOR ALLOCATION
(as a % of Total Investments*) | |||||||
Consumer Discretionary | 10.2 | % | |||||
Consumer Staples | 6.2 | ||||||
Energy | 7.1 | ||||||
Financials | 16.8 | ||||||
Health Care | 14.2 | ||||||
Industrials | 11.1 | ||||||
Information Technology | 17.3 | ||||||
Materials | 1.5 | ||||||
Utilities | 0.5 | ||||||
Mutual Funds | 11.8 | ||||||
Short-Term Investments | 3.3 | ||||||
Total | 100.0 | % |
* Derivatives, if any, are excluded from this chart.
PERFORMANCE HIGHLIGHTS
Average Annual Total Return Ended 10/31/2015 | |||||||||||||
Inception Date | 1 Year | Life of Fund | |||||||||||
At NAV | |||||||||||||
Institutional Class | 05/31/2013 | 0.13 | % | 7.90 | % | ||||||||
Class A | 05/31/2013 | –0.23 | % | 7.51 | % | ||||||||
Class C | 05/31/2013 | –0.95 | % | 6.70 | % | ||||||||
With Sales Charge | |||||||||||||
Class A | –5.99 | % | 4.91 | % | |||||||||
Class C | –1.92 | % | 6.70 | % | |||||||||
Index | |||||||||||||
Russell 3000® Index1,2 | 4.49 | % | 11.77 | % |
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 annual period ending October 31, 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.
Flexible Select Fund
COMPARISON OF A $1,000,000 INVESTMENT
(000's omitted)
This graph shows the change in value of a hypothetical $1,000,000 investment in the Fund over the past 10 fiscal years, or since the Fund's inception if it has not operated for 10 years. The graph is based on the Institutional Class shares only; the performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses (see Performance Highlights chart on previous page). The result is compared with benchmarks, which include a broad-based market index and may include a more narrowly based index. Market indices have not been reduced to reflect any of the fees and costs of investing. The results shown in the graph 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. Results represent past performance and do not indicate future results.
Global Allocation Fund Commentary (Unaudited)
Neuberger Berman Global Allocation Fund Institutional Class generated a –1.12% total return for the 12 months ended October 31, 2015 and underperformed its custom benchmark, a 60/40 combination of the MSCI All Country World Index and the Barclays Global Aggregate Index, which provided a –0.73% 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 and incorporates both strategic and tactical asset allocation decision making and active management. As part of the change, the benchmark was modified as noted above.
The global equity markets generated mixed returns during the reporting period. U.S. stocks outperformed other regions; non-U.S. developed stocks performed positively, while emerging markets stocks were challenged. In the fixed income markets, returns for non-U.S. and emerging markets were negative, while U.S. fixed income generated positive returns. The U.S. continues to be among the strongest developed economies as domestic growth remains positive. The eurozone is benefiting from the European Central Bank's monetary policies as business conditions have improved amidst lower oil prices and a weaker euro, contributing to increased GDP growth. Japan is aided by stimulus from the Bank of Japan and a weaker yen, but the economy faces threats from slowing growth in China, stagnating business and consumer confidence, and low wage inflation.
In the period since the Fund's enhancement mentioned above, equities have been the largest positive contributors to the Fund's performance. The overweight to the asset class as a whole added to performance, particularly security selection within non-U.S. developed equities. Security selection within U.S. equity markets was a drag on returns.
During the period, the Fund was underweighted to fixed income relative to its benchmark, a decision that added to performance as equity markets broadly outperformed fixed income markets. Security selection within fixed income detracted from returns primarily due to allocations within non-U.S. developed bonds and to emerging markets debt. The Fund's aggregate use of derivatives (futures contracts, forward contracts and swaps) detracted from performance.
Looking ahead, we are optimistic on the global economy, although financial markets remain dynamic and risks, of course, remain. Recent economic data have reflected a more resilient growth backdrop. In the U.S., October's employment report was strong on nearly every metric. Data outside of the U.S. is also showing signs of improvement as the purchasing manager indices for China, the eurozone and Japan all rose in October. Overall, we anticipate a more stable growth backdrop in the U.S. and abroad as the positive effects of additional monetary stimulus, low interest rates and low commodity prices work their way through the global economy. We remain constructive on risk assets, with a bias towards equities, particularly in the U.S. and Europe. In fixed income, we currently favor credit over developed market government securities. We are cautious on both emerging markets equities and debt.
Sincerely,
ERIK KNUTZEN, BRADLEY TANK, WAI LEE AND AJAY JAIN
PORTFOLIO 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 without notice.
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.
Global Allocation Fund
TICKER SYMBOLS
Institutional Class | NGLIX | ||
Class A | NGLAX | ||
Class C | NGLCX |
PERFORMANCE HIGHLIGHTS3
Average Annual Total Return Ended 10/31/2015 | |||||||||||||
Inception Date | 1 Year | Life of Fund | |||||||||||
At NAV | |||||||||||||
Institutional Class | 12/29/2010 | –1.12 | % | 5.50 | % | ||||||||
Class A | 12/29/2010 | –1.52 | % | 5.13 | % | ||||||||
Class C | 12/29/2010 | –2.29 | % | 4.34 | % | ||||||||
With Sales Charge | |||||||||||||
Class A | –7.22 | % | 3.85 | % | |||||||||
Class C | –3.25 | % | 4.34 | % | |||||||||
Index | |||||||||||||
60% MSCI All Country World Index and 40% Barclays Global Aggregate Index1,2 | –0.73 | % | 5.28 | % | |||||||||
MSCI All Country World Index1,2 | 0.50 | % | 7.58 | % | |||||||||
50% MSCI World Index and 50% J.P. Morgan Global Government Bond Index1,2 | 0.20 | % | 5.12 | % | |||||||||
MSCI World Index1,2 | 2.33 | % | 9.04 | % |
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 annual period ending October 31, 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.
Global Allocation Fund
COMPARISON OF A $1,000,000 INVESTMENT
(000's omitted)
This graph shows the change in value of a hypothetical $1,000,000 investment in the Fund over the past 10 fiscal years, or since the Fund's inception if it has not operated for 10 years. The graph is based on the Institutional Class shares only; the performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses (see Performance Highlights chart on previous page). The result is compared with benchmarks, which include a broad-based market index and may include a more narrowly based index. Market indices have not been reduced to reflect any of the fees and costs of investing. The results shown in the graph 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. Results represent past performance and do not indicate future results.
Inflation Managed Fund Commentary* (Unaudited)
Neuberger Berman Inflation Managed Fund Institutional Class generated a –9.98% total return for the 12 months ended October 31, 2015. During this same time period, the Barclays U.S. 1-10 Year Treasury Inflation-Protected Securities (TIPS) Index provided a –1.24% return while the U.S. Consumer Price Index was up 0.2%.1 (Performance for all share classes is provided in the table immediately following this letter.)
Despite periods of volatility, the overall fixed income market posted a positive return over the 12-month period. Short-term Treasury yields rose in anticipation of the first U.S. Federal Reserve (Fed) interest rate hike in nearly a decade. In contrast, longer-term rates declined given several flights to quality, triggered by signs of moderating global growth and numerous geopolitical issues. The yield on the 10-year Treasury began the period at 2.35% and fell to as low as 1.68% in late January 2015, before ending the period at 2.16%. Most non-Treasury securities produced modest gains but generated mixed results versus equal-duration Treasuries during the period. Inflation expectations remained muted during the period.
The Fund's underperformance during the reporting period was largely driven by its allocations to commodities, master limited partnerships (MLPs) and energy- and materials-related equities. The Fund's emerging markets equity exposure was also a headwind for performance. On the upside, the Fund's exposures to real estate investment trusts (REITs) and senior floating rate loans contributed the most to its 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 financial futures contracts had a positive impact on its performance.
Looking ahead, we anticipate that growth in the U.S. will continue to be driven by solid consumer spending, supported by stronger corporate balance sheets, lower energy costs and subdued inflation. In our view, the U.S. economy could expand by 2.5% (+/– 0.5%) in 2016. The sharp decline in energy prices has kept inflation muted, but the base effects of this downward spiral are set to dissipate, which should put upward pressure on the Consumer Price Index. All told, we believe inflation could move up to 2.0% (+/– 0.3) in 2016. In terms of the Fed, we have long felt that the timing of its initial rate hike was not as important as the pace and magnitude of future rate hikes. While we believe a decision on rate hikes will be data dependent, we see this as being a very slow and moderate process, likely taking several years before normalization ultimately occurs.
Sincerely,
THANOS BARDAS, ANDREW JOHNSON AND THOMAS J. MARTHALER
PORTFOLIO 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 without notice.
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 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 October 31, 2015, and is not seasonally adjusted.
* Effective February 28, 2015, Neuberger Berman Inflation Navigator Fund changed its name to Neuberger Berman Inflation Managed Fund.
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 | 9.1 | % | |||
Emerging Markets | 5.3 | ||||
Global Treasury Inflation Protected Securities | 28.2 | ||||
High Yield Securities | 10.2 | ||||
Loans | 3.7 | ||||
Master Limited Partnerships | 13.1 | ||||
Real Estate Investment Trusts | 9.3 | ||||
S&P Energy | 10.8 | ||||
S&P Materials | 10.3 | ||||
Total | 100.0 | % |
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets)
Common Stocks | 43.4 | % | |||
Government Securities | 12.9 | ||||
U.S. Treasury Securities | 13.7 | ||||
Mutual Funds | 28.3 | ||||
Short-Term Investments | 1.0 | ||||
Cash, receivables and other assets, less liabilities | 0.7 | * | |||
Total | 100.0 | % |
* Percentage includes appreciation/depreciation from derivatives, if any.
PERFORMANCE HIGHLIGHTS4
Average Annual Total Return Ended 10/31/2015 | |||||||||||||
Inception Date | 1 Year | Life of Fund | |||||||||||
At NAV | |||||||||||||
Institutional Class | 12/19/2012 | –9.98 | % | –0.42 | % | ||||||||
Class A | 12/19/2012 | –10.21 | % | –0.72 | % | ||||||||
Class C | 12/19/2012 | –10.92 | % | –1.49 | % | ||||||||
Class R65 | 05/11/2015 | –9.88 | % | –0.39 | % | ||||||||
With Sales Charge | |||||||||||||
Class A | –15.35 | % | –2.75 | % | |||||||||
Class C | –11.80 | % | –1.49 | % | |||||||||
Index | |||||||||||||
Barclays U.S. 1-10 Year Treasury TIPS Index1,2 | –1.24 | % | –1.56 | % |
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 annual period ending October 31, 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.
Inflation Managed Fund
COMPARISON OF A $1,000,000 INVESTMENT
(000's omitted)
This graph shows the change in value of a hypothetical $1,000,000 investment in the Fund over the past 10 fiscal years, or since the Fund's inception if it has not operated for 10 years. The graph is based on the Institutional Class shares only; the performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses (see Performance Highlights chart on previous page). The result is compared with benchmarks, which include a broad-based market index and may include a more narrowly based index. Market indices have not been reduced to reflect any of the fees and costs of investing. The results shown in the graph 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. Results represent past performance and do not indicate future results.
Long Short Fund Commentary (Unaudited)
Neuberger Berman Long Short Fund Institutional Class generated a –1.45% total return for the 12 months ended October 31, 2015 and underperformed its primary benchmark, the HFRX Equity Hedge Index, which returned –0.96% for the period. The Fund also underperformed the S&P 500® Index, which provided a 5.20% return for the period. (Performance for all share classes is provided in the table immediately following this letter.)
The global financial markets generally posted modest gains during the reporting period. The markets experienced periods of elevated volatility due to mixed economic data, uncertainties surrounding monetary policy, falling commodity prices and a host of geopolitical issues. Economic growth in the U.S. was uneven but remained in expansionary mode while inflation remained benign. During the period, expectations increased that the U.S. Federal Reserve (Fed) was getting closer to raising rates for the first time in nearly a decade. Elsewhere, growth was generally muted in Europe and Japan, whereas China's growth expansion moderated during the period.
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 low of about 50%, before closing the period at roughly 52%. 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 aggregate use of derivatives (futures contracts, option contracts and swap contracts) detracted from performance during the period.
Looking ahead, we maintain our view that a mix of higher risk assets such as U.S. equities and high yield bonds can present attractive risk-adjusted returns for those market participants that can afford to take on longer-term time horizons, or who believe in the gradual normalization of future growth. We believe the U.S. economy will continue to grow steadily, while a still highly accommodative Fed may create a longer-than-expected (albeit certainly slower than expected) U.S. business cycle. Should more robust growth eventually appear, we believe markets are much more prepared today for an eventual interest rate hike, especially for monetary tightening related to higher inflation. For now, however, it seems to us that the market worry leans toward too little growth (stagnation) as opposed to too much growth (potential for more inflation).
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 without notice.
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.
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 | 72.1 | % | (8.0 | )% | |||||||
Corporate Debt Securities | 4.0 | — | |||||||||
Exchange Traded Funds | — | (3.9 | ) | ||||||||
Purchased Options | 0.0 | — | |||||||||
Short-Term Investments | 22.1 | — | |||||||||
Cash, receivables and other assets, less liabilities | 13.7 | * | — | ||||||||
Total | 111.9 | % | (11.9 | )% |
* Percentage includes appreciation/depreciation from derivatives, if any.
PERFORMANCE HIGHLIGHTS
Average Annual Total Return Ended 10/31/2015 | |||||||||||||
�� | Inception Date | 1 Year | Life of Fund | ||||||||||
At NAV | |||||||||||||
Institutional Class | 12/29/2011 | –1.45 | % | 7.07 | % | ||||||||
Class A | 12/29/2011 | –1.89 | % | 6.67 | % | ||||||||
Class C | 12/29/2011 | –2.56 | % | 5.90 | % | ||||||||
With Sales Charge | |||||||||||||
Class A | –7.55 | % | 5.04 | % | |||||||||
Class C | –3.53 | % | 5.90 | % | |||||||||
Index | |||||||||||||
HFRX Equity Hedge Index1,2 | –0.96 | % | 4.15 | % | |||||||||
S&P 500® Index1,2 | 5.20 | % | 16.60 | % |
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 annual period ending October 31, 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.
Long Short Fund
COMPARISON OF A $1,000,000 INVESTMENT
(000's omitted)
This graph shows the change in value of a hypothetical $1,000,000 investment in the Fund over the past 10 fiscal years, or since the Fund's inception if it has not operated for 10 years. The graph is based on the Institutional Class shares only; the performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses (see Performance Highlights chart on previous page). The result is compared with benchmarks, which include a broad-based market index and may include a more narrowly based index. Market indices have not been reduced to reflect any of the fees and costs of investing. The results shown in the graph 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. Results represent past performance and do not indicate future results.
Long Short Credit Fund Commentary (Unaudited)
We are pleased to provide the first annual report for Neuberger Berman Long Short Credit Fund, which was launched on June 29, 2015. The Fund seeks total return, including current income, consistent with managing volatility and preservation of capital.
For the period since its inception through October 31, 2015, the Fund's Institutional Class generated a –2.06% total return, resulting in mixed performance versus its benchmarks. During the period, the Fund outperformed the HFRX Fixed Income-Credit Index, which provided a –2.68% return, and the BofA Merrill Lynch U.S. High Yield Master II Index, which provided a –2.69% return. The Fund underperformed the Barclays U.S. Aggregate Bond Index, which provided a 1.88% return. (Performance for all share classes is provided in the table immediately following this letter.)
The credit markets have been quite volatile since June. From June through September, the Merrill Lynch High Yield Index posted four consecutive months of negative returns, only the second time ever that this has occurred, the last time being 1994. U.S. Federal Reserve (Fed) induced macro gyrations, continued concerns over commodity prices, deteriorating growth trajectories in China and a sense of dread on earnings estimates for the third quarter of 2015 all contributed to the volatility. In October, we saw the high yield bond market, together with other risk assets, post a solid rally. Following months of weakness, we believed that risk assets were in a technically oversold position and investor sentiment was as bearish as we can remember. One spark that helped ignite the rally was the weak September payroll numbers, which helped allay concerns of a Fed rate hike. Together with the stabilization in Chinese growth data, we believed that this produced the foundation for the rally. As earnings season in the U.S. progressed and companies began to beat lowered expectations, we saw growth fears further allayed and the rally became a feeding frenzy, culminating in the historic rally.
The Fund's performance during the period was driven by the Energy, Mining and Materials sectors where there was overall downward pressure, as well as the Industrials sector, where we saw some adverse idiosyncratic events.
The Fund's aggregate use of derivatives (such as option contracts, swaptions, futures contracts, swap contracts and forward contracts) as overlay hedges to the portfolio had a negative impact to the Fund's performance.
Looking forward, we will continue to build a portfolio that we believe can capture significant idiosyncratic opportunities. As risk premiums and volatility in credit have increased, we see increased return possibilities. This has far reaching implications. While we can rationalize market behavior, it is not our intent to sell you a series of returns you can buy through the market. Our portfolio is meant to benefit from both long and short fundamental idiosyncratic positioning. We are encouraged by what we believe we can achieve in the current environment and are of the view that the portfolio has the potential to be handsomely rewarded from both our long and short positioning.
Sincerely,
RICK DOWDLE AND NORMAN MILNER
PORTFOLIO 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 without notice.
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.
Long Short Credit Fund
TICKER SYMBOLS
Institutional Class | NLNIX | ||
Class A | NLNAX | ||
Class C | NLNCX | ||
Class R6 | NRLNX |
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets)
Long | Short | ||||||||
Common Stocks | 0.6 | % | — | % | |||||
Corporate Debt Securities | 26.9 | (2.5 | ) | ||||||
Government Securities | — | (0.7 | ) | ||||||
Cash, receivables and other assets, less liabilities | 75.7 | * | — | ||||||
Total | 103.2 | % | (3.2 | )% |
* Percentage includes appreciation/depreciation from derivatives, if any.
PERFORMANCE HIGHLIGHTS
Inception Date | Cumulative Total Return Ended 10/31/2015 Life of Fund | ||||||||
At NAV | |||||||||
Institutional Class | 06/29/2015 | –2.06 | % | ||||||
Class A | 06/29/2015 | –2.17 | % | ||||||
Class C | 06/29/2015 | –2.41 | % | ||||||
Class R6 | 06/29/2015 | –2.03 | % | ||||||
With Sales Charge | |||||||||
Class A | –6.30 | % | |||||||
Class C | –3.39 | % | |||||||
Index | |||||||||
HFRX Fixed Income-Credit Index1,2 | –2.68 | % | |||||||
Barclays U.S. Aggregate Bond Index1,2 | 1.88 | % | |||||||
BofA Merrill Lynch U.S. High Yield Master II Index1,2 | –2.69 | % |
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.
For the period ended October 31, 2015, the 30-day SEC yields were 1.93%, 1.48%, 0.82% and 2.00% for Institutional Class, Class A, Class C and Class R6 shares, respectively. Absent expense reimbursements and/or fee waivers, the 30-day SEC yields would have been 1.47%, 0.82% and 2.32% for Class A, Class C and Class R6 shares, respectively. Absent repayment, the 30-day SEC yield would have been 2.63% for Institutional Class shares.
As stated in the Fund's most recent prospectus, the estimated total annual operating expense ratios for fiscal year 2015 were 1.52%, 1.89%, 2.64% and 1.45% 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 1.20%, 1.57%, 2.32% and 1.13% 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 June 29, 2015 through October 31, 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.
Long Short Credit Fund
COMPARISON OF A $1,000,000 INVESTMENT
(000's omitted)
This graph shows the change in value of a hypothetical $1,000,000 investment in the Fund over the past 10 fiscal years, or since the Fund's inception if it has not operated for 10 years. The graph is based on the Institutional Class shares only; the performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses (see Performance Highlights chart on previous page). The result is compared with benchmarks, which include a broad-based market index and may include a more narrowly based index. Market indices have not been reduced to reflect any of the fees and costs of investing. The results shown in the graph 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. Results represent past performance and do not indicate future results.
Multi-Asset Income Fund Commentary (Unaudited)
Since its inception on March 27, 2015 through October 31, 2015, the Neuberger Berman Multi-Asset Income Fund Institutional Class generated a –3.43% total return and underperformed its custom benchmark, a 60/40 combination of the Barclays U.S. Aggregate Bond Index and the S&P 500® Index, which provided a 1.07% return for the period. (Performance for all share classes is provided in the table immediately following this letter.)
Global equity markets generated mixed returns since the Fund's inception. U.S. stocks outperformed other regions, as non-U.S. developed and emerging markets stocks were challenged. In fixed income markets, non-U.S. developed fixed income was negative and U.S. fixed income was flat. The U.S. continues to be among the strongest developed economies as domestic growth remains positive. The eurozone appears to be benefiting from the European Central Bank's monetary policy actions as business conditions improve amidst lower oil prices and a weaker euro, contributing to increased GDP growth. Japan was aided by stimulus from the Bank of Japan and a weaker yen, but the economy faces threats from slowing growth in China, stagnating business and consumer confidence, and low wage inflation.
Since the Fund's launch, its overweight position to equities contributed positively to performance, as equities outperformed fixed income. Allocations to Master Limited Partnerships and non-U.S. developed equities, however, detracted from performance. Within equities, the Fund's holdings emphasized securities that, in our view, offered the potential for higher yields than the benchmark index. The Fund's underweight position to fixed income contributed positively to performance, but allocations to credit sectors hurt. Within fixed income, the Fund's holdings were focused less on government securities than was the benchmark index. The Fund's aggregate use of derivatives (futures contracts, forward contracts and option contracts), had a positive impact on performance.
Looking ahead, we are optimistic on the global economy, although financial markets remain dynamic and risks, of course, remain. Recent economic data have reflected a more resilient growth backdrop. In the U.S., October's employment report was strong on nearly every metric. Data outside of the U.S. is also showing signs of improvement as purchasing manager indices for China, the eurozone and Japan all rose in October. Overall, we anticipate a more stable growth backdrop in the U.S. and abroad as the positive effects of additional monetary stimulus, low interest rates and low commodity prices work their way through the global economy. We remain constructive on risk asset classes (e.g., high yield bonds, equities, currencies), with a bias towards equities, particularly in the U.S. and Europe, and currently favor credit over developed market government securities. We are cautious on both emerging markets equities and debt.
Sincerely,
ERIK KNUTZEN, BRADLEY TANK, WAI LEE AND AJAY JAIN
PORTFOLIO 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 without notice.
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.
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 | 40.9 | % | |||||
Convertible Bonds | 0.3 | ||||||
Exchange Traded Funds | 5.7 | ||||||
Mutual Funds | 43.3 | ||||||
Preferred Stocks | 2.0 | ||||||
U.S. Government Agency Securities | 0.8 | ||||||
U.S. Treasury Securities | 6.3 | ||||||
Short-Term Investments | 1.0 | ||||||
Liabilities, less cash, receivables and other assets | (0.3 | )* | |||||
Total | 100.0 | % |
* Percentage includes appreciation/depreciation from derivatives, if any.
PERFORMANCE HIGHLIGHTS2
Inception Date | Cumulative Total Return Ended 10/31/2015 Life of Fund | ||||||||
At NAV | |||||||||
Institutional Class | 03/27/2015 | –3.43 | % | ||||||
Class A | 03/27/2015 | –3.64 | % | ||||||
Class C | 03/27/2015 | –4.07 | % | ||||||
Class R6 | 03/27/2015 | –3.39 | % | ||||||
With Sales Charge | |||||||||
Class A | –7.70 | % | |||||||
Class C | –5.01 | % | |||||||
Index | |||||||||
60% Barclays U.S. Aggregate Bond Index and 40% S&P 500 Index1,2 | 1.07 | % | |||||||
Barclays U.S. Aggregate Bond Index1,2 | –0.02 | % |
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.
For the period ended October 31, 2015, the 30-day SEC yields were 3.84%, 3.33%, 2.73% and 3.92% for Institutional Class, Class A, Class C and Class R6 shares, respectively. Absent expense reimbursements and/or fee waivers, the 30-day SEC yields would have been 0.07%, –0.30%, –0.97% and 0.43% for Institutional Class, Class A, Class C and Class R6 shares, respectively.
As stated in the Fund's most recent prospectus, the estimated total annual operating expense ratios for fiscal year 2015 were 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, 2015 through October 31, 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.
Multi-Asset Income Fund
COMPARISON OF A $1,000,000 INVESTMENT
(000's omitted)
This graph shows the change in value of a hypothetical $1,000,000 investment in the Fund over the past 10 fiscal years, or since the Fund's inception if it has not operated for 10 years. The graph is based on the Institutional Class shares only; the performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses (see Performance Highlights chart on previous page). The result is compared with benchmarks, which include a broad-based market index and may include a more narrowly based index. Market indices have not been reduced to reflect any of the fees and costs of investing. The results shown in the graph 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. Results represent past performance and do not indicate future results.
Endnotes
1 Please see "Glossary of Indices" on page 22 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* 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.
5 The performance information for Class R6 prior to the class' inception date is that of the Institutional Class of Neuberger Berman Inflation Managed Fund. The performance information for the Institutional Class has not been adjusted to take into account differences in class specific operating expenses. The Institutional Class has higher expenses and typically lower returns than Class R6.
* On or about January 1, 2016, it is anticipated that Neuberger Berman Management LLC (NBM) and Neuberger Berman LLC (NB LLC) will transfer to Neuberger Berman Fixed Income LLC (NBFI) their rights and obligations pertaining to all services they provide to any Fund under any investment management, investment sub-advisory, and/or administration agreement, as applicable (the "Agreements"). Following such transfer, NBFI will be renamed Neuberger Berman Investment Advisers LLC (NBIA). In addition, on the date of the transfer, the services previously provided by NB Alternative Investment Management LLC (NBAIM) will be provided by NBIA.
NBM currently serves as each Fund's investment manager and administrator and each of NB LLC, NBFI and NBAIM currently serve as certain Funds' adviser or sub-adviser. Following the consolidation, the investment professionals of NBM, NB LLC, NBFI and NBAIM who currently provide services to the Funds under the Agreements will continue to provide the same services, except that they will provide those services in their new capacities as investment professionals of NBIA. Further, the consolidation will not result in any change in the investment processes currently employed by any Fund, the nature or level of services provided to any Fund, or the fees any Fund pays under its Agreements.
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.
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. | ||
BofA Merrill Lynch U.S. High Yield Index: | The index is an unmanaged market value-weighted index of all domestic and Yankee high-yield bonds, including deferred interest bonds and payment-in-kind securities. Qualifying bonds must have at least one year remaining to maturity, a fixed coupon schedule and a minimum amount outstanding of $100 million. Qualifying bonds are capitalization weighted, provided the total allocation to an individual issuer does not exceed 2%. | ||
HFRX Fixed Income-Credit Index: | The index tracks the performance of hedge fund strategies with exposure to credit across a broad continuum of credit sub-strategies, including Corporate, Sovereign, Distressed, Convertible, Asset Backed, Capital Structure Arbitrage, Multi-Strategy and other Relative Value and Event Driven sub-strategies. The investment thesis across all strategies is predicated on realization of a valuation discrepancy between the related credit instruments. Strategies may also include and utilize equity securities, credit derivatives, government fixed income, commodities, currencies or other hybrid securities. 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. Constituents are weighted by a representative optimization methodology. The index is rebalanced quarterly. |
Glossary of Indices (cont'd)
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. | ||
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. |
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 October 31, 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.
Expense Information as of 10/31/15 (Unaudited)
Neuberger Berman Alternative Funds | |||||||||||||||||||||||||||||||||
ACTUAL | HYPOTHETICAL (5% ANNUAL RETURN BEFORE EXPENSES)(5) | ||||||||||||||||||||||||||||||||
Beginning Account Value 5/1/15 | Ending Account Value 10/31/15 | Expenses Paid During the Period(1) 5/1/15 - 10/31/15 | Expense Ratio | Beginning Account Value 5/1/15 | Ending Account Value 10/31/15 | Expenses Paid During the Period(1) 5/1/15 - 10/31/15 | Expense Ratio | ||||||||||||||||||||||||||
Flexible Select Fund | |||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 969.20 | $ | 4.12 | 0.83 | % | $ | 1,000.00 | $ | 1,021.02 | $ | 4.03 | 0.83 | % | |||||||||||||||||
Class A | $ | 1,000.00 | $ | 967.40 | $ | 5.95 | 1.20 | % | $ | 1,000.00 | $ | 1,019.16 | $ | 6.11 | 1.20 | % | |||||||||||||||||
Class C | $ | 1,000.00 | $ | 963.00 | $ | 9.60 | 1.94 | % | $ | 1,000.00 | $ | 1,015.43 | $ | 9.86 | 1.94 | % | |||||||||||||||||
Global Allocation Fund | |||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 943.80 | $ | 4.80 | 0.98 | % | $ | 1,000.00 | $ | 1,020.27 | $ | 4.99 | 0.98 | % | |||||||||||||||||
Class A | $ | 1,000.00 | $ | 941.80 | $ | 6.56 | 1.34 | % | $ | 1,000.00 | $ | 1,018.45 | $ | 6.82 | 1.34 | % | |||||||||||||||||
Class C | $ | 1,000.00 | $ | 938.20 | $ | 10.21 | 2.09 | % | $ | 1,000.00 | $ | 1,014.67 | $ | 10.61 | 2.09 | % | |||||||||||||||||
Inflation Managed Fund(2) | |||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 903.80 | $ | 3.41 | 0.71 | % | $ | 1,000.00 | $ | 1,021.63 | $ | 3.62 | 0.71 | % | |||||||||||||||||
Class A | $ | 1,000.00 | $ | 903.40 | $ | 5.13 | 1.07 | % | $ | 1,000.00 | $ | 1,019.81 | $ | 5.45 | 1.07 | % | |||||||||||||||||
Class C | $ | 1,000.00 | $ | 899.60 | $ | 8.71 | 1.82 | % | $ | 1,000.00 | $ | 1,016.03 | $ | 9.25 | 1.82 | % | |||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 907.30 | $ | 2.96 | (3) | 0.65 | % | $ | 1,000.00 | $ | 1,021.93 | $ | 3.31 | 0.65 | % | ||||||||||||||||
Long Short Fund | |||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 967.40 | $ | 8.18 | 1.65 | % | $ | 1,000.00 | $ | 1,016.89 | $ | 8.39 | 1.65 | % | |||||||||||||||||
Class A | $ | 1,000.00 | $ | 965.60 | $ | 10.01 | 2.02 | % | $ | 1,000.00 | $ | 1,015.02 | $ | 10.26 | 2.02 | % | |||||||||||||||||
Class C | $ | 1,000.00 | $ | 962.40 | $ | 13.65 | 2.76 | % | $ | 1,000.00 | $ | 1,011.29 | $ | 13.99 | 2.76 | % | |||||||||||||||||
Long Short Credit Fund | |||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 979.40 | $ | 3.90 | (4) | 1.15 | % | $ | 1,000.00 | $ | 1,019.41 | $ | 5.85 | 1.15 | % | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 978.30 | $ | 5.08 | (4) | 1.50 | % | $ | 1,000.00 | $ | 1,017.64 | $ | 7.63 | 1.50 | % | ||||||||||||||||
Class C | $ | 1,000.00 | $ | 975.90 | $ | 7.44 | (4) | 2.20 | % | $ | 1,000.00 | $ | 1,014.12 | $ | 11.17 | 2.20 | % | ||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 979.70 | $ | 3.66 | (4) | 1.08 | % | $ | 1,000.00 | $ | 1,019.76 | $ | 5.50 | 1.08 | % | ||||||||||||||||
Multi-Asset Income Fund | |||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 954.00 | $ | 2.12 | 0.43 | % | $ | 1,000.00 | $ | 1,023.04 | $ | 2.19 | 0.43 | % | |||||||||||||||||
Class A | $ | 1,000.00 | $ | 952.30 | $ | 3.94 | 0.80 | % | $ | 1,000.00 | $ | 1,021.17 | $ | 4.08 | 0.80 | % | |||||||||||||||||
Class C | $ | 1,000.00 | $ | 948.60 | $ | 7.61 | 1.55 | % | $ | 1,000.00 | $ | 1,017.39 | $ | 7.88 | 1.55 | % | |||||||||||||||||
Class R6 | $ | 1,000.00 | $ | 954.40 | $ | 1.77 | 0.36 | % | $ | 1,000.00 | $ | 1,023.39 | $ | 1.84 | 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 184/365 (to reflect the one-half year period shown), unless otherwise indicated.
(2) Effective February 28, 2015. Formerly, Inflation Navigator Fund through February 27, 2015.
(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 174/365 (to reflect the period May 11, 2015 (Commecement of Operations) to October 31, 2015).
(4) 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 125/365 (to reflect the period June 29, 2015 (Commecement of Operations) to October 31, 2015).
(5) Hypothetical expenses are equal to the annualized expense ratios for each class, multiplied by the average account value over the period (assuming a 5% annual return), multiplied by 184/365 (to reflect the one-half year period shown).
Schedule of Investments Flexible Select Fund 10/31/15
Number of Shares | Value† | ||||||||||
Road & Rail (1.5%) | |||||||||||
Avis Budget Group, Inc. | 29,916 | $ | 1,494,005 | * | |||||||
Semiconductors & Semiconductor Equipment (2.4%) | |||||||||||
ASML Holding NV | 13,778 | 1,278,461 | |||||||||
NXP Semiconductors NV | 13,247 | 1,037,902 | * | ||||||||
2,316,363 | |||||||||||
Software (8.8%) | |||||||||||
Activision Blizzard, Inc. | 90,940 | 3,161,074 | |||||||||
Adobe Systems, Inc. | 18,023 | 1,597,919 | * | ||||||||
Check Point Software Technologies Ltd. | 8,388 | 712,477 | * | ||||||||
Intuit, Inc. | 26,436 | 2,575,660 | |||||||||
Mobileye NV | 12,948 | 589,393 | * | ||||||||
8,636,523 | |||||||||||
Specialty Retail (2.1%) | |||||||||||
Express, Inc. | 36,495 | 704,354 | * | ||||||||
Lithia Motors, Inc. Class A | 11,493 | 1,349,163 | |||||||||
2,053,517 | |||||||||||
Technology Hardware, Storage & Peripherals (4.9%) | |||||||||||
Apple, Inc. | 24,062 | 2,875,409 | |||||||||
SanDisk Corp. | 25,619 | 1,972,663 | |||||||||
4,848,072 | |||||||||||
Textiles, Apparel & Luxury Goods (2.3%) | |||||||||||
Deckers Outdoor Corp. | 22,131 | 1,231,811 | * | ||||||||
Luxottica Group SpA ADR | 8,451 | 592,922 | |||||||||
Under Armour, Inc. Class A | 4,161 | 395,628 | * | ||||||||
2,220,361 | |||||||||||
Trading Companies & Distributors (1.3%) | |||||||||||
AerCap Holdings NV | 29,921 | 1,241,721 | * | ||||||||
Total Common Stocks (Cost $77,571,601) | 83,799,706 | ||||||||||
Mutual Funds (11.8%) | |||||||||||
Neuberger Berman Core Bond Fund Institutional Class | 840,510 | 8,730,925 | §§ |
See Notes to Schedule of Investments
Schedule of Investments Flexible Select Fund (cont'd)
Number of Shares | Value† | ||||||||||
Neuberger Berman Unconstrained Bond Fund Institutional Class | 313,065 | $ | 2,934,884 | §§ | |||||||
Total Mutual Funds (Cost $11,632,509) | 11,665,809 | ||||||||||
Short-Term Investments (3.3%) | |||||||||||
State Street Institutional Treasury Money Market Fund Premier Class, 0.00% (Cost $3,211,986) | 3,211,986 | 3,211,986 | d | ||||||||
Total Investments (100.1%) (Cost $92,416,096) | 98,677,501 | ## | |||||||||
Liabilities, less cash, receivables and other assets [(0.1%)] | (71,343) | ||||||||||
Total Net Assets (100.0%) | $ | 98,606,158 |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund 10/31/15
Number of Shares | Value† | ||||||||||
Long Positions (109.7%) | |||||||||||
Common Stocks (54.6%) | |||||||||||
Australia (0.9%) | |||||||||||
BHP Billiton Ltd. ADR | 906 | $ | 29,798 | È | |||||||
Dexus Property Group | 3,183 | 17,473 | |||||||||
Echo Entertainment Group Ltd. | 4,811 | 17,388 | |||||||||
Fortescue Metals Group Ltd. | 9,152 | 13,523 | ØØ | ||||||||
Goodman Group | 4,383 | 18,805 | |||||||||
GPT Group | 3,587 | 12,148 | |||||||||
Harvey Norman Holdings Ltd. | 1,830 | 5,141 | |||||||||
Qantas Airways Ltd. | 19,156 | 53,958 | * | ||||||||
Scentre Group | 15,512 | 45,499 | |||||||||
213,733 | |||||||||||
Austria (0.4%) | |||||||||||
OMV AG | 1,992 | 53,010 | |||||||||
voestalpine AG | 1,075 | 38,933 | |||||||||
91,943 | |||||||||||
Belgium (0.2%) | |||||||||||
Cie d'Entreprises CFE | 130 | 16,125 | |||||||||
D'ieteren SA | 662 | 22,407 | |||||||||
38,532 | |||||||||||
Canada (1.0%) | |||||||||||
Alimentation Couche-Tard, Inc. Class B | 456 | 19,616 | ØØ | ||||||||
CGI Group, Inc. Class A | 555 | 20,615 | * | ||||||||
Empire Co. Ltd., A Shares | 978 | 20,486 | |||||||||
Finning International, Inc. | 948 | 15,152 | |||||||||
George Weston Ltd. | 134 | 11,285 | |||||||||
H&R Real Estate Investment Trust | 1,117 | 17,922 | |||||||||
Hudson's Bay Co. | 952 | 16,549 |
Number of Shares | Value† | ||||||||||
Kinross Gold Corp. | 6,463 | $ | 12,999 | *ØØ | |||||||
Loblaw Cos. Ltd. | 106 | 5,585 | |||||||||
Magna International, Inc. | 528 | 27,846 | ØØ | ||||||||
Metro, Inc. | 1,799 | 51,441 | |||||||||
Valeant Pharmaceuticals International, Inc. | 72 | 6,720 | * | ||||||||
226,216 | |||||||||||
Denmark (0.1%) | |||||||||||
AP Moeller— Maersk A/S Class A | 9 | 12,892 | |||||||||
AP Moeller— Maersk A/S Class B | 5 | 7,372 | |||||||||
20,264 | |||||||||||
Finland (0.4%) | |||||||||||
Fortum OYJ | 1,171 | 17,577 | |||||||||
Orion Oyj Class B | 380 | 13,589 | |||||||||
UPM— Kymmene OYJ | 2,982 | 55,910 | |||||||||
87,076 | |||||||||||
France (0.5%) | |||||||||||
Renault SA | 715 | 67,405 | |||||||||
Sanofi | 160 | 16,160 | |||||||||
Sanofi ADR | 831 | 41,833 | ØØ | ||||||||
125,398 | |||||||||||
Germany (0.5%) | |||||||||||
Daimler AG | 295 | 25,618 | ØØ | ||||||||
Freenet AG | 795 | 26,821 | |||||||||
Hannover Rueck SE | 302 | 34,936 | ØØ | ||||||||
Kabel Deutschland Holding AG | 154 | 19,602 | ØØ | ||||||||
Porsche Automobil Holding SE (Preference Shares) | 84 | 3,935 | |||||||||
110,912 | |||||||||||
Hong Kong (0.3%) | |||||||||||
Cathay Pacific Airways Ltd. | 6,000 | 11,869 | |||||||||
MTR Corp. Ltd. | 2,000 | 9,074 |
Number of Shares | Value† | ||||||||||
SmarTone Telecommunications Holdings Ltd. | 4,500 | $ | 7,909 | ||||||||
WH Group Ltd. | 32,000 | 17,605 | ñ* | ||||||||
Wharf Holdings Ltd. | 4,000 | 23,853 | |||||||||
70,310 | |||||||||||
Ireland (0.2%) | |||||||||||
Ryanair Holdings PLC | 1,566 | 23,248 | |||||||||
Ryanair Holdings PLC ADR | 465 | 36,364 | |||||||||
59,612 | |||||||||||
Israel (0.7%) | |||||||||||
Check Point Software Technologies Ltd. | 458 | 38,902 | *ØØ | ||||||||
Teva Pharmaceutical Industries Ltd. ADR | 2,319 | 137,262 | g@ | ||||||||
176,164 | |||||||||||
Italy (1.4%) | |||||||||||
ACEA SpA | 1,432 | 20,581 | |||||||||
Atlantia SpA | 926 | 25,661 | |||||||||
Banca Popolare di Sondrio SCARL | 1,079 | 4,929 | |||||||||
Banco Popolare SC | 469 | 7,019 | * | ||||||||
Buzzi Unicem SpA | 777 | 13,150 | |||||||||
Enel SpA | 5,864 | 27,057 | ØØ | ||||||||
Eni SpA | 3,089 | 50,477 | |||||||||
ERG SpA | 1,603 | 22,757 | |||||||||
Finmeccanica SpA | 1,248 | 16,331 | * | ||||||||
Intesa Sanpaolo SpA | 2,896 | 10,089 | |||||||||
Luxottica Group SpA | 142 | 9,955 | |||||||||
Luxottica Group SpA ADR | 461 | 32,344 | ØØ | ||||||||
Mediaset SpA | 1,265 | 6,427 | |||||||||
Mediobanca SpA | 757 | 7,617 | |||||||||
Recordati SpA | 1,606 | 39,930 | |||||||||
Salini Impregilo SpA | 2,082 | 8,631 | |||||||||
Societa Iniziative Autostradali e Servizi SpA | 1,068 | 12,249 |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund (cont'd)
Number of Shares | Value† | ||||||||||
UniCredit SpA | 1,552 | $ | 10,035 | ||||||||
Unipol Gruppo Finanziario SpA | 3,341 | 15,577 | |||||||||
340,816 | |||||||||||
Japan (2.5%) | |||||||||||
Alps Electric Co. Ltd. | 300 | 9,312 | |||||||||
Dai Nippon Printing Co. Ltd. | 1,000 | 10,342 | |||||||||
Daiichi Sankyo Co. Ltd. | 800 | 15,711 | |||||||||
Dentsu, Inc. | 200 | 11,244 | |||||||||
Fuji Heavy Industries Ltd. | 500 | 19,337 | |||||||||
FUJIFILM Holdings Corp. | 400 | 15,955 | |||||||||
Iida Group Holdings Co. Ltd. | 300 | 5,623 | |||||||||
ITOCHU Corp. | 1,100 | 13,764 | |||||||||
Japan Airlines Co. Ltd. | 1,500 | 56,510 | ØØ | ||||||||
JX Holdings, Inc. | 7,200 | 28,272 | |||||||||
Medipal Holdings Corp. | 2,100 | 36,649 | |||||||||
Mitsubishi Corp. | 2,500 | 45,451 | |||||||||
Mitsubishi Materials Corp. | 8,000 | 27,907 | |||||||||
Mitsubishi UFJ Financial Group, Inc. | 1,400 | 9,054 | ØØ | ||||||||
MS&AD Insurance Group Holdings, Inc. | 300 | 8,844 | |||||||||
Nippon Telegraph & Telephone Corp. | 1,200 | 43,994 | |||||||||
Nippon Yusen KK | 10,000 | 26,164 | |||||||||
Nissan Motor Co. Ltd. | 1,400 | 14,513 | |||||||||
NTT DOCOMO, Inc. | 400 | 7,790 | |||||||||
Otsuka Holdings Co. Ltd. | 200 | 6,656 |
Number of Shares | Value† | ||||||||||
Resona Holdings, Inc. | 6,500 | $ | 34,394 | ØØ | |||||||
Sojitz Corp. | 10,100 | 22,215 | |||||||||
Sumitomo Corp. | 900 | 9,843 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 600 | 23,936 | |||||||||
Tokyo Broadcasting System Holdings, Inc. | 1,500 | 22,286 | |||||||||
Tokyo Electric Power Co., Inc. | 4,600 | 31,379 | * | ||||||||
Toppan Printing Co. Ltd. | 2,000 | 17,935 | |||||||||
Toyota Industries Corp. | 200 | 10,510 | |||||||||
585,590 | |||||||||||
Netherlands (1.7%) | |||||||||||
Aegon NV | 868 | 5,349 | |||||||||
AerCap Holdings NV | 2,373 | 98,479 | *g@ | ||||||||
ASML Holding NV | 701 | 65,046 | ÈØØ | ||||||||
Heineken Holding NV | 315 | 25,262 | ØØ | ||||||||
ING Groep NV | 806 | 11,730 | |||||||||
Koninklijke Ahold NV | 1,056 | 21,506 | |||||||||
NN Group NV | 1,421 | 44,644 | |||||||||
NXP Semiconductors NV | 696 | 54,532 | * | ||||||||
Randstad Holding NV | 326 | 19,476 | |||||||||
Royal Dutch Shell PLC, A Shares | 1,695 | 44,160 | |||||||||
390,184 | |||||||||||
Norway (0.0%) | |||||||||||
Telenor ASA | 262 | 4,943 | |||||||||
Portugal (0.2%) | |||||||||||
EDP—Energias de Portugal SA | 4,828 | 17,881 | |||||||||
Jeronimo Martins SGPS SA | 470 | 6,608 | |||||||||
Portucel SA | 2,834 | 11,546 | |||||||||
36,035 | |||||||||||
Singapore (0.2%) | |||||||||||
Mapletree Industrial Trust | 233 | 254 |
Number of Shares | Value† | ||||||||||
Wilmar International Ltd. | 20,800 | $ | 46,350 | ||||||||
46,604 | |||||||||||
South Africa (0.1%) | |||||||||||
Mondi PLC | 1,132 | 26,246 | ØØ | ||||||||
Spain (0.5%) | |||||||||||
Abengoa Yield PLC | 481 | 8,913 | È | ||||||||
Acciona SA | 284 | 23,894 | |||||||||
Gamesa Corporacion Tecnologica SA | 1,228 | 19,425 | |||||||||
Iberdrola SA | 3,567 | 25,484 | |||||||||
Repsol SA | 3,380 | 42,651 | |||||||||
120,367 | |||||||||||
Sweden (0.5%) | |||||||||||
Boliden AB | 1,245 | 23,841 | |||||||||
Skanska AB, B Shares | 1,020 | 19,878 | ØØ | ||||||||
Svenska Cellulosa AB SCA, B Shares | 357 | 10,530 | |||||||||
Tele2 AB, B Shares | 2,294 | 22,957 | |||||||||
Telefonaktiebolaget LM Ericsson B Shares | 4,788 | 46,711 | |||||||||
TeliaSonera AB | 1,039 | 5,318 | |||||||||
129,235 | |||||||||||
Switzerland (1.3%) | |||||||||||
Adecco SA | 360 | 26,806 | * | ||||||||
Baloise Holding AG | 43 | 5,164 | |||||||||
BKW AG | 390 | 14,816 | |||||||||
Clariant AG | 1,180 | 21,727 | * | ||||||||
Coca-Cola HBC AG | 1,043 | 24,922 | * | ||||||||
Flughafen Zuerich AG | 27 | 20,459 | |||||||||
Lonza Group AG | 316 | 46,419 | * | ||||||||
Novartis AG | 54 | 4,909 | |||||||||
Schindler Holding AG | 124 | 20,147 | |||||||||
Swiss Life Holding AG | 253 | 60,431 | * | ||||||||
Swiss Re AG | 539 | 50,113 | ØØ | ||||||||
295,913 | |||||||||||
United Kingdom (3.6%) | |||||||||||
3i Group PLC | 6,820 | 52,674 | |||||||||
Barclays PLC | 2,077 | 7,428 | |||||||||
BP PLC | 8,033 | 47,851 | ØØ |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund (cont'd)
Number of Shares | Value† | ||||||||||
BT Group PLC | 4,479 | $ | 32,107 | ||||||||
Carillion PLC | 3,893 | 18,334 | |||||||||
Carnival PLC | 370 | 20,631 | ØØ | ||||||||
Domino's Pizza Group PLC | 1,531 | 25,750 | |||||||||
DS Smith PLC | 7,552 | 45,055 | |||||||||
Fiat Chrysler Automobiles NV | 2,381 | 35,137 | * | ||||||||
G4S PLC | 60 | 224 | |||||||||
GKN PLC | 5,138 | 22,748 | |||||||||
Grafton Group PLC | 1,434 | 14,900 | |||||||||
Halfords Group PLC | 3,120 | 20,918 | |||||||||
Home Retail Group PLC | 7,721 | 13,367 | |||||||||
HSBC Holdings PLC | 1,304 | 10,204 | |||||||||
Imperial Tobacco Group PLC | 566 | 30,530 | ØØ | ||||||||
Inchcape PLC | 2,337 | 28,804 | ØØ | ||||||||
J Sainsbury PLC | 2,971 | 12,201 | |||||||||
Keller Group PLC | 1,916 | 24,087 | |||||||||
Moneysuper- market.com Group PLC | 8,548 | 44,040 | |||||||||
National Express Group PLC | 9,435 | 43,548 | |||||||||
QinetiQ Group PLC | 8,607 | 29,722 | |||||||||
Rentokil Initial PLC | 12,573 | 29,946 | |||||||||
Rexam PLC | 2,598 | 21,627 | ØØ | ||||||||
Segro PLC | 3,205 | 22,224 | ØØ | ||||||||
Taylor Wimpey PLC | 10 | 31 | |||||||||
Unilever NV | 1,017 | 45,745 | ØØ | ||||||||
William Hill PLC | 4,501 | 22,003 | |||||||||
WM Morrison Supermarkets PLC | 25,054 | 65,080 | |||||||||
Workspace Group PLC | 1,838 | 27,130 | |||||||||
WPP PLC | 1,085 | 24,387 | |||||||||
838,433 | |||||||||||
United States (37.4%) | |||||||||||
Aaron's, Inc. | 245 | 6,044 | |||||||||
Abbott Laboratories | 440 | 19,712 |
Number of Shares | Value† | ||||||||||
Acadia Healthcare Co., Inc. | 386 | $ | 23,704 | *È | |||||||
Activision Blizzard, Inc. | 4,515 | 156,941 | ØØ | ||||||||
Adobe Systems, Inc. | 894 | 79,262 | * | ||||||||
Aetna, Inc. | 540 | 61,981 | ØØ | ||||||||
Alaska Air Group, Inc. | 1,253 | 95,541 | g@ | ||||||||
Allergan PLC | 217 | 66,938 | *ØØ | ||||||||
Allison Transmission Holdings, Inc. | 976 | 28,011 | ØØ | ||||||||
Allscripts Healthcare Solutions, Inc. | 3,001 | 42,194 | *È | ||||||||
Alphabet, Inc. Class A | 27 | 19,910 | * | ||||||||
Alphabet, Inc. Class C | 23 | 16,349 | * | ||||||||
Ambarella, Inc. | 156 | 7,713 | *È | ||||||||
Amdocs Ltd. | 950 | 56,591 | ØØ | ||||||||
AMERCO | 147 | 59,728 | g@ | ||||||||
American Express Co. | 225 | 16,484 | |||||||||
American Financial Group, Inc. | 532 | 38,405 | |||||||||
American International Group, Inc. | 1,680 | 105,941 | ÈØØ | ||||||||
Amgen, Inc. | 112 | 17,716 | |||||||||
Amicus Therapeutics, Inc. | 757 | 5,678 | *È | ||||||||
Anacor Pharmaceuticals, Inc. | 316 | 35,522 | * | ||||||||
Anthem, Inc. | 114 | 15,863 | |||||||||
Apple, Inc. | 1,855 | 221,672 | g@ | ||||||||
Arrow Electronics, Inc. | 704 | 38,713 | * | ||||||||
Ashland, Inc. | 198 | 21,725 | ØØ | ||||||||
Assurant, Inc. | 1,752 | 142,841 | g@ | ||||||||
Assured Guaranty Ltd. | 236 | 6,476 | |||||||||
AT&T, Inc. | 2,032 | 68,092 | g@ | ||||||||
Avery Dennison Corp. | 371 | 24,104 | |||||||||
Avnet, Inc. | 1,757 | 79,821 | g@ | ||||||||
AVX Corp. | 3,792 | 51,192 | g@ | ||||||||
Baker Hughes, Inc. | 250 | 13,170 | |||||||||
Bank of America Corp. | 3,639 | 61,062 | g@ |
Number of Shares | Value† | ||||||||||
Bank of Hawaii Corp. | 130 | $ | 8,512 | ||||||||
Bank of the Ozarks, Inc. | 367 | 18,357 | È | ||||||||
BankUnited, Inc. | 3,295 | 122,508 | ØØ | ||||||||
Bemis Co., Inc. | 812 | 37,173 | |||||||||
Berkshire Hathaway, Inc. Class B | 375 | 51,007 | *g@ | ||||||||
Best Buy Co., Inc. | 1,044 | 36,571 | |||||||||
Boeing Co. | 345 | 51,084 | ÈØØ | ||||||||
Bristol-Myers Squibb Co. | 602 | 39,702 | |||||||||
Bunge Ltd. | 372 | 27,141 | |||||||||
Burlington Stores, Inc. | 804 | 38,656 | *ØØ | ||||||||
CA, Inc. | 1,335 | 36,993 | ÈØØ | ||||||||
Cablevision Systems Corp. Class A | 374 | 12,189 | |||||||||
Cabot Corp. | 703 | 25,266 | |||||||||
Cabot Oil & Gas Corp. | 6,229 | 135,232 | g@ | ||||||||
Capital One Financial Corp. | 402 | 31,718 | ØØ | ||||||||
Carnival Corp. | 809 | 43,751 | |||||||||
CDW Corp. | 2,031 | 90,765 | g@ | ||||||||
Chemtura Corp. | 631 | 20,154 | *È | ||||||||
Chimera Investment Corp. | 728 | 10,250 | |||||||||
Cigna Corp. | 192 | 25,736 | |||||||||
Cintas Corp. | 303 | 28,206 | È | ||||||||
Cisco Systems, Inc. | 3,874 | 111,765 | g@ | ||||||||
Citigroup, Inc. | 2,095 | 111,391 | g@ | ||||||||
CME Group, Inc. | 1,474 | 139,249 | ØØ | ||||||||
Comcast Corp. Class A | 285 | 17,847 | |||||||||
Community Health Systems, Inc. | 135 | 3,785 | * | ||||||||
Compass Minerals International, Inc. | 109 | 8,855 | |||||||||
Computer Sciences Corp. | 373 | 24,838 | |||||||||
ConAgra Foods, Inc. | 485 | 19,667 | |||||||||
Concho Resources, Inc. | 238 | 27,587 | * |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund (cont'd)
Number of Shares | Value† | ||||||||||
Cooper Tire & Rubber Co. | 228 | $ | 9,528 | ||||||||
Costco Wholesale Corp. | 1,046 | 165,394 | g@ | ||||||||
CVS Health Corp. | 2,485 | 245,468 | g@ | ||||||||
Deckers Outdoor Corp. | 1,086 | 60,447 | *Èg@ | ||||||||
Delta Air Lines, Inc. | 1,825 | 92,783 | ØØ | ||||||||
Domtar Corp. | 146 | 6,021 | |||||||||
Dynegy, Inc. | 640 | 12,435 | * | ||||||||
Edison International | 184 | 11,136 | |||||||||
Electronic Arts, Inc. | 219 | 15,783 | *È | ||||||||
Ensco PLC Class A | 1,102 | 18,326 | È | ||||||||
Entergy Corp. | 426 | 29,036 | |||||||||
Eversource Energy | 1,230 | 62,656 | g@ | ||||||||
Exelon Corp. | 668 | 18,651 | |||||||||
FedEx Corp. | 388 | 60,547 | g@ | ||||||||
Fiserv, Inc. | 223 | 21,522 | * | ||||||||
Flowers Foods, Inc. | 832 | 22,464 | |||||||||
Foot Locker, Inc. | 559 | 37,872 | |||||||||
General Dynamics Corp. | 263 | 39,077 | ØØ | ||||||||
General Electric Co. | 304 | 8,792 | * | ||||||||
General Motors Co. | 233 | 8,134 | * | ||||||||
Genuine Parts Co. | 259 | 23,507 | |||||||||
Gilead Sciences, Inc. | 211 | 22,815 | |||||||||
GNC Holdings, Inc. Class A | 995 | �� | 29,601 | ØØ | |||||||
Goldman Sachs Group, Inc. | 113 | 21,188 | ØØ | ||||||||
Goodyear Tire & Rubber Co | 794 | 26,075 | |||||||||
Hartford Financial Services Group,Inc. | 248 | 11,472 | |||||||||
Hasbro, Inc. | 266 | 20,437 | È | ||||||||
HCA Holdings, Inc. | 1,488 | 102,360 | *g@ |
Number of Shares | Value† | ||||||||||
Health Net, Inc. | 87 | $ | 5,591 | * | |||||||
Hewlett- Packard Co. | 954 | 25,720 | |||||||||
HollyFrontier Corp. | 223 | 10,920 | |||||||||
Hologic, Inc. | 384 | 14,922 | * | ||||||||
Home Depot, Inc. | 500 | 61,820 | g@ | ||||||||
ICON PLC | 589 | 37,619 | *ØØ | ||||||||
Infinera Corp. | 2,716 | 53,668 | *È | ||||||||
Ingredion, Inc. | 278 | 26,427 | |||||||||
Intercontinental Exchange, Inc. | 404 | 101,970 | g@ | ||||||||
Intuit, Inc. | 873 | 85,056 | ØØ | ||||||||
Isle of Capri Casinos, Inc. | 493 | 9,431 | * | ||||||||
JC Penney Co., Inc. | 2,654 | 24,337 | *È | ||||||||
JetBlue Airways Corp. | 3,787 | 94,069 | *ØØ | ||||||||
Johnson & Johnson | 343 | 34,653 | |||||||||
JPMorgan Chase & Co. | 4,122 | 264,838 | ÈØØ | ||||||||
Juniper Networks, Inc. | 371 | 11,646 | |||||||||
Keurig Green Mountain, Inc. | 320 | 16,240 | È | ||||||||
Kohl's Corp. | 105 | 4,843 | È | ||||||||
Kroger Co. | 305 | 11,529 | |||||||||
Lamar Advertising Co. Class A | 565 | 31,883 | |||||||||
Lennar Corp. Class A | 964 | 48,267 | ØØ | ||||||||
Liberty Interactive Corp. QVC Group Class A | 1,092 | 29,888 | *ØØ | ||||||||
Liberty Media Corp. Class C | 653 | 25,565 | * | ||||||||
Lithia Motors, Inc. Class A | 604 | 70,904 | ØØ | ||||||||
LyondellBasell Industries NV Class A | 460 | 42,739 | È | ||||||||
Manitowoc Co., Inc. | 3,439 | 52,617 | g@ | ||||||||
Manpower Group, Inc. | 237 | 21,752 | |||||||||
Markit Ltd. | 2,305 | 70,302 | *ØØ | ||||||||
Medtronic PLC | 96 | 7,096 | |||||||||
Merck & Co., Inc. | 379 | 20,716 | |||||||||
MetLife, Inc. | 926 | 46,652 | ØØ | ||||||||
Microsoft Corp. | 605 | 31,847 | È | ||||||||
Mobileye NV | 558 | 25,400 | * | ||||||||
Mondelez International, Inc. Class A | 1,411 | 65,132 | g@ |
Number of Shares | Value† | ||||||||||
News Corp. Class A | 1,105 | $ | 17,017 | ||||||||
NIKE, Inc. Class B | 258 | 33,806 | |||||||||
Nuance Communications, Inc. | 3,552 | 60,277 | *ÈØØ | ||||||||
O'Reilly Automotive, Inc. | 218 | 60,225 | *g@ | ||||||||
ONE Gas, Inc. | 754 | 36,825 | È | ||||||||
Patterson Cos., Inc. | 736 | 34,886 | ÈØØ | ||||||||
PBF Energy, Inc. Class A | 166 | 5,644 | |||||||||
People's United Financial, Inc. | 1,699 | 27,099 | ÈØØ | ||||||||
PepsiCo, Inc. | 164 | 16,759 | |||||||||
Pfizer, Inc. | 4,244 | 143,532 | ÈØØ | ||||||||
Pioneer Natural Resources Co. | 234 | 32,091 | ØØ | ||||||||
PNC Financial Services Group, Inc. | 961 | 86,740 | g@ | ||||||||
Popular, Inc. | 412 | 12,183 | |||||||||
Priceline Group, Inc. | 10 | 14,542 | * | ||||||||
Procter & Gamble Co. | 269 | 20,546 | |||||||||
Prologis, Inc. | 134 | 5,726 | |||||||||
Prudential Financial, Inc. | 365 | 30,113 | |||||||||
Public Service Enterprise Group, Inc. | 1,344 | 55,494 | g@ | ||||||||
Regions Financial Corp. | 705 | 6,592 | |||||||||
Reinsurance Group of America, Inc. | 365 | 32,938 | |||||||||
Rite Aid Corp. | 1,655 | 13,041 | * | ||||||||
Roper Technologies, Inc. | 105 | 19,567 | |||||||||
Rowan Cos. PLC Class A | 422 | 8,305 | È | ||||||||
Ryder System, Inc. | 319 | 22,898 | È | ||||||||
Sabre Corp. | 188 | 5,512 | |||||||||
SanDisk Corp. | 2,261 | 174,097 | ØØg@ | ||||||||
Schlumberger Ltd. | 1,176 | 91,916 | g@ | ||||||||
Sensient Technologies Corp. | 1,083 | 70,687 | ØØ | ||||||||
Skechers U.S.A., Inc. Class A | 229 | 7,145 | * |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund (cont'd)
Number of Shares | Value† | ||||||||||
Spirit Aero Systems Holdings, Inc. Class A | 2,835 | $ | 149,518 | *ØØ | |||||||
SS&C Technologies Holdings, Inc. | 256 | 18,982 | |||||||||
Stanley Black & Decker, Inc. | 304 | 32,218 | |||||||||
Starwood Property Trust, Inc. | 1,067 | 21,436 | |||||||||
SunTrust Banks, Inc. | 898 | 37,285 | |||||||||
SUPERVALU, Inc. | 1,454 | 9,553 | * | ||||||||
SYNNEX Corp. | 70 | 6,191 | |||||||||
Synopsys, Inc. | 509 | 25,440 | *ØØ | ||||||||
T-Mobile US, Inc. | 373 | 14,133 | * | ||||||||
Target Corp. | 558 | 43,066 | |||||||||
Teleflex, Inc. | 266 | 35,378 | ÈØØ | ||||||||
Telephone & Data Systems, Inc. | 1,341 | 38,406 | |||||||||
Teradyne, Inc. | 1,190 | 23,229 | g@ | ||||||||
Tesoro Corp. | 52 | 5,560 | |||||||||
Texas Capital Bancshares, Inc. | 326 | 17,995 | * | ||||||||
Texas Instruments, Inc. | 635 | 36,017 | ØØ | ||||||||
Thermo Fisher Scientific, Inc. | 552 | 72,191 | ØØ | ||||||||
Thomson Reuters Corp. | 246 | 10,091 | |||||||||
Time Warner Cable, Inc. | 105 | 19,887 | |||||||||
Time Warner, Inc. | 681 | 51,307 | g@ | ||||||||
Time, Inc. | 743 | 13,805 | È | ||||||||
Total System Services, Inc. | 736 | 38,603 | |||||||||
Triumph Group, Inc. | 399 | 18,585 | |||||||||
Twenty-First Century Fox, Inc. Class A | 2,805 | 86,085 | ØØ | ||||||||
Tyler Technologies, Inc. | 66 | 11,244 | * | ||||||||
Tyson Foods, Inc. Class A | 1,018 | 45,158 | ØØg@ | ||||||||
UGI Corp. | 768 | 28,163 | ØØ | ||||||||
Under Armour, Inc. Class A | 314 | 29,855 | *È | ||||||||
United Continental Holdings, Inc. | 354 | 21,350 | * |
Number of Shares | Value† | ||||||||||
UnitedHealth Group, Inc. | 1,438 | $ | 169,368 | g@ | |||||||
Universal Health Services, Inc. Class B | 53 | 6,471 | |||||||||
Valero Energy Corp. | 1,784 | 117,601 | ØØ | ||||||||
VeriFone Systems, Inc. | 437 | 13,171 | * | ||||||||
Verizon Communications, Inc. | 1,108 | 51,943 | g@ | ||||||||
VF Corp. | 292 | 19,716 | |||||||||
Voya Financial, Inc. | 636 | 25,803 | |||||||||
Wal-Mart Stores, Inc. | 237 | 13,566 | |||||||||
Walgreens Boots Alliance, Inc. | 129 | 10,924 | |||||||||
Walt Disney Co. | 1,045 | 118,858 | ØØ | ||||||||
Waste Management, Inc. | 578 | 31,073 | È | ||||||||
Weatherford International PLC | 1,971 | 20,183 | *È | ||||||||
Wells Fargo & Co. | 2,023 | 109,525 | g@ | ||||||||
WhiteWave Foods Co. | 629 | 25,776 | * | ||||||||
Whole Foods Market, Inc. | 287 | 8,599 | |||||||||
Xerox Corp. | 2,122 | 19,926 | |||||||||
Zebra Technologies Corp. Class A | 767 | 58,982 | *Èg@ | ||||||||
Zimmer Biomet Holdings, Inc. | 1,320 | 138,032 | ØØ | ||||||||
8,817,088 | |||||||||||
Total Common Stocks (Cost $12,382,770) | 12,851,614 | ||||||||||
Principal Amounta | |||||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government (4.6%) | |||||||||||
U.S. Treasury Bonds, 5.50%, due 8/15/28 | $ | 30,000 | 40,452 | ||||||||
U.S. Treasury Bonds, 4.50%, due 2/15/36 | 25,000 | 32,524 |
Principal Amounta | Value† | ||||||||||
U.S. Treasury Bonds, 3.88%, due 8/15/40 | $ | 15,000 | $ | 17,772 | |||||||
U.S. Treasury Inflation- Indexed Bonds, 0.25%, due 1/15/25 | 10,062 | 9,677 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 3.88%, due 4/15/29 | 36,244 | 50,216 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 3.38%, due 4/15/32 | 80,561 | 111,266 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 2.38%, due 1/15/25 | 25,286 | 29,109 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 2.38%, due 1/15/27 | 41,363 | 48,524 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 1.75%, due 1/15/28 | 22,752 | 25,286 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 2.50%, due 1/15/29 | 22,201 | 26,798 |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund (cont'd)
Principal Amounta | Value† | ||||||||||
U.S. Treasury Inflation- Indexed Bonds, 0.63%, due 1/15/24 | $ | 51,071 | $ | 51,004 | |||||||
U.S. Treasury Inflation- Indexed Bonds, 0.63%, due 2/15/43 | 72,563 | 62,633 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 0.13%, due 4/15/17 | 47,218 | 47,186 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 2.13%, due 2/15/40 | 5,513 | 6,617 | |||||||||
U.S. Treasury Inflation- Indexed Notes, 0.13%, due 1/15/22 | 10,530 | 10,286 | |||||||||
U.S. Treasury Inflation- Indexed Notes, 0.13%, due 1/15/23 | 25,813 | 24,962 | |||||||||
U.S. Treasury Notes, 4.38%, due 11/15/39 | 25,000 | 31,914 | |||||||||
U.S. Treasury Notes, 3.00%, due 11/15/44 | 95,000 | 96,227 |
Principal Amounta | Value† | ||||||||||
U.S. Treasury Notes, 2.38%, due 8/15/24 | $ | 55,000 | $ | 56,240 | |||||||
U.S. Treasury Notes, 0.75%, due 2/28/18 | 65,000 | 64,805 | |||||||||
U.S. Treasury Notes, 2.75%, due 2/15/24 | 10,000 | 10,547 | |||||||||
U.S. Treasury Notes, 1.13%, due 3/31/20 | 20,000 | 19,725 | |||||||||
U.S. Treasury Notes, 0.38%, due 3/31/16 | 215,000 | 215,115 | |||||||||
Total U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government (Cost $1,109,586) | 1,088,885 | ||||||||||
U.S. Government Agency Securities (0.1%) | |||||||||||
United States (0.1%) | |||||||||||
Federal Home Loan Bank, Bonds, 5.50%, due 7/15/36 (Cost $35,306) | 25,000 | 33,338 | |||||||||
Mortgage-Backed Securities (0.7%) | |||||||||||
Fannie Mae (0.3%) | |||||||||||
Pass- Through Certificates, 4.50%, TBA, 30 Year Maturity | 60,000 | 65,004 | Ø |
Principal Amounta | Value† | ||||||||||
Freddie Mac (0.4%) | |||||||||||
Pass- Through Certificates, 4.00%, TBA, 30 Year Maturity | $ | 85,000 | $ | 90,292 | Ø | ||||||
Total Mortgage- Backed Securities (Cost $155,481) | 155,296 | ||||||||||
Government Securities (7.8%) | |||||||||||
Sovereign (7.8%) | |||||||||||
Australia Government Bond, Senior Unsecured Notes, 2.00%, due 8/21/35 | AUD | 25,000 | 21,955 | ||||||||
Australia Government Bond, Senior Unsecured Notes, 3.25%, due 4/21/29 | AUD | 45,000 | 33,115 | ||||||||
Bundes- republik Deutschland, Bonds,, 2.50%, due 7/4/44 | EUR | 5,000 | 7,203 | ||||||||
Canadian Government Bond, Bonds, 4.25%, due 12/1/21 | CAD | 22,985 | 22,427 | ||||||||
Canadian Government Bond, Bonds, 4.25%, due 6/1/18 | CAD | 190,000 | 158,842 | ||||||||
European Investment Bank, Senior Unsecured Euro Medium- Term Notes, 4.63%, due 4/15/20 | EUR | 55,000 | 72,946 |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund (cont'd)
Principal Amounta | Value† | ||||||||||
France Government Bond OAT, Bonds, 1.75%, due 11/25/24 | EUR | 125,000 | $ | 150,312 | |||||||
France Government Bond OAT, Unsecured Notes, 0.70%, due 7/25/30 | EUR | 10,004 | 12,486 | ñ | |||||||
Ireland Government Bond, Bonds, 2.00%, due 2/18/45 | EUR | 10,000 | 10,752 | ||||||||
Ireland Government Bond, Bonds, 2.40%, due 5/15/30 | EUR | 10,000 | 12,111 | ||||||||
Italy Buoni Poliennali Del Tesoro, Bonds, 2.35%, due 9/15/35 | EUR | 5,963 | 8,089 | ||||||||
Italy Buoni Poliennali Del Tesoro, Bonds, 4.00%, due 2/1/37 | EUR | 30,000 | 41,897 | ||||||||
Italy Buoni Poliennali Del Tesoro, Bonds, 2.55%, due 9/15/41 | EUR | 32,517 | 45,351 |
Principal Amounta | Value† | ||||||||||
Japan Government Ten Year Bond, Senior Unsecured Notes, 0.40%, due 3/20/25 | JPY | 11,000,000 | $ | 92,307 | |||||||
Japan Government Twenty Year Bond, Senior Unsecured Notes, 1.20%, due 3/20/35 | JPY | 7,000,000 | 59,610 | ||||||||
Mexican Bonos, Senior Unsecured Bonds, Ser. M, 7.75%, due 11/13/42 | MXN | 690,000 | 46,875 | ||||||||
New Zealand Government Bond, Senior Unsecured Notes, Ser. 423, 5.50%, due 4/15/23 | NZD | 5,000 | 3,939 | ||||||||
New Zealand Government Bond, Senior Unsecured Notes, 2.00%, due 9/20/25 | NZD | 20,000 | 13,966 | ||||||||
New Zealand Government Bond, Senior Unsecured Notes, 2.50%, due 9/20/35 | NZD | 60,000 | 42,088 |
Principal Amounta | Value† | ||||||||||
New Zealand Government Bond, Senior Unsecured Notes, Ser. 427, 4.50%, due 4/15/27 | NZD | 120,000 | $ | 90,273 | |||||||
South Africa Government Bond, Bonds, Ser. R214, 6.50%, due 2/28/41 | ZAR | 730,000 | 39,587 | ||||||||
Spain Government Bond, Senior Unsecured Notes, 4.65%, due 7/30/25 | EUR | 50,000 | 69,740 | ñ | |||||||
Spain Government Bond, Bonds, 5.15%, due 10/31/44 | EUR | 15,000 | 24,188 | ñ | |||||||
Spain Government Inflation Linked Bond, Senior Unsecured Notes, 1.00%, due 11/30/30 | EUR | 19,925 | 21,725 | ñ | |||||||
United Kingdom Gilt, Bonds, 1.75%, due 7/22/19 | GBP | 180,000 | 284,414 | ||||||||
United Kingdom Gilt, Bonds, 4.25%, due 12/7/27 | GBP | 60,000 | 114,421 |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund (cont'd)
Principal Amounta | Value† | ||||||||||
United Kingdom Gilt, Bonds, 1.75%, due 9/7/22 | GBP | 115,000 | $ | 179,395 | |||||||
United Kingdom Gilt Inflation Linked Bonds, Senior Unsecured Notes, 0.13%, due 3/22/29 | GBP | 5,471 | 9,385 | ||||||||
United Kingdom Gilt Inflation Linked Bonds, Bonds, 0.13%, due 3/22/44 | GBP | 42,861 | 83,889 | ||||||||
United Kingdom Gilt Inflation Linked Bonds, Bonds, 0.25%, due 3/22/52 | GBP | 16,098 | 35,422 | ||||||||
United Kingdom Gilt Inflation Linked Bonds, Bonds, 0.13%, due 3/22/24 | GBP | 10,715 | 17,753 | ||||||||
Total Government Securities (Cost $1,873,199) | 1,826,463 | ||||||||||
Number of Shares | |||||||||||
Exchange Traded Funds (2.3%) | |||||||||||
iShares 10+ Year Credit Bond ETF | 1,900 | 109,250 |
Number of Shares | Value† | ||||||||||
iShares Core U.S. Aggregate Bond ETF | 477 | $ | 52,208 | ||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 500 | 58,210 | |||||||||
iShares MSCI ACWI ETF | 2,689 | 156,150 | |||||||||
SPDR Barclays International Treasury Bond ETF | 1,001 | 52,342 | |||||||||
SPDR Barclays Long Term Corporate Bond ETF | 2,700 | 104,922 | |||||||||
Total Exchange Traded Funds (Cost $535,388) | 533,082 | ||||||||||
Mutual Funds (36.9%) | |||||||||||
Neuberger Berman Emerging Markets Debt Fund Institutional Class | 76,021 | 639,154 | §§ØØ | ||||||||
Neuberger Berman Emerging Markets Equity Fund Institutional Class | 156,647 | 2,297,680 | §§ØØ | ||||||||
Neuberger Berman High Income Bond Fund Institutional Class | 134,797 | 1,147,477 | §§ØØ | ||||||||
Neuberger Berman International Equity Fund Institutional Class | 265,492 | 2,960,732 | §§ØØ | ||||||||
Neuberger Berman Long Short Credit Fund Institutional Class | 105,628 | 1,029,765 | §§ØØ |
Number of Shares | Value† | ||||||||||
Neuberger Berman Risk Balanced Commodity Strategy Fund Institutional Class | 101,752 | $ | 630,506 | *§§ØØ | |||||||
Total Mutual Funds (Cost $9,022,784) | 8,705,314 | ||||||||||
Redeemable Preference Shares (0.0%) | |||||||||||
Ireland (0.0%) | |||||||||||
Ryanair Holdings PLC, B Shares (Cost $522) | 1,607 | 520 | Ñf* | ||||||||
Short-Term Investments (2.7%) | |||||||||||
State Street Institutional Liquid Reserves Fund Premier Class, 0.15% (Cost $642,894) | 642,894 | 642,894 | dØØ | ||||||||
Total Long Positions (109.7%) (Cost $25,757,930) | 25,837,406 | ## | |||||||||
Short Positions (see summary below) ((15.7)%) | (3,689,915 | ) | |||||||||
Cash, receivables and other assets, less liabilities (6.0%) | 1,410,776 | e | |||||||||
Total Net Assets (100.0%) | $ | 23,558,267 | |||||||||
Short Positions ((15.7)%)‡g | |||||||||||
Common Stocks Sold Short (15.6%) | |||||||||||
Australia (0.3%) | |||||||||||
AMP Ltd. | (2,371 | ) | (9,616 | ) | |||||||
BHP Billiton PLC | (761 | ) | (12,207 | ) | |||||||
Commonwealth Bank of Australia | (194 | ) | (10,534 | ) | |||||||
CSL Ltd. | (176 | ) | (11,699 | ) | |||||||
Sydney Airport | (2,679 | ) | (12,243 | ) | |||||||
Transurban Group | (1,774 | ) | (13,145 | ) | |||||||
(69,444 | ) |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund (cont'd)
Number of Shares | Value† | ||||||||||
Belgium (0.1%) | |||||||||||
Anheuser- Busch InBev NV | (164 | ) | $ | (19,603 | ) | ||||||
Canada (0.4%) | |||||||||||
Element Financial Corp. | (955 | ) | (12,350 | )* | |||||||
Enbridge, Inc. | (270 | ) | (11,541 | ) | |||||||
Gildan Activewear, Inc. | (438 | ) | (12,592 | ) | |||||||
IGM Financial, Inc. | (543 | ) | (15,697 | ) | |||||||
MacDonald Dettwiler & Associates Ltd. | (208 | ) | (12,398 | ) | |||||||
Open Text Corp. | (319 | ) | (14,786 | ) | |||||||
Peyto Exploration & Development Corp. | (500 | ) | (10,324 | ) | |||||||
Potash Corp. of Saskatchewan, Inc. | (583 | ) | (11,806 | ) | |||||||
(101,494 | ) | ||||||||||
Chile (0.1%) | |||||||||||
Antofagasta PLC | (2,247 | ) | (18,238 | ) | |||||||
France (0.7%) | |||||||||||
Accor SA | (436 | ) | (21,690 | ) | |||||||
Bureau Veritas SA | (1,007 | ) | (22,778 | ) | |||||||
Edenred | (520 | ) | (9,564 | ) | |||||||
Essilor International SA | (173 | ) | (22,753 | ) | |||||||
Imerys SA | (266 | ) | (18,220 | ) | |||||||
Ingenico Group SA | (121 | ) | (14,290 | ) | |||||||
Pernod Ricard SA | (187 | ) | (22,044 | ) | |||||||
Remy Cointreau SA | (233 | ) | (16,242 | ) | |||||||
Sodexo SA | (174 | ) | (15,493 | ) | |||||||
(163,074 | ) | ||||||||||
Germany (0.8%) | |||||||||||
Bayer AG | (128 | ) | (17,081 | ) | |||||||
Beiersdorf AG | (227 | ) | (21,575 | ) | |||||||
HUGO BOSS AG | (150 | ) | (15,437 | ) | |||||||
LEG Immobilien AG | (259 | ) | (20,663 | )* | |||||||
MTU Aero Engines AG | (179 | ) | (16,568 | ) |
Number of Shares | Value† | ||||||||||
SAP SE | (302 | ) | $ | (23,871 | ) | ||||||
Symrise AG | (359 | ) | (23,647 | ) | |||||||
TUI AG | (786 | ) | (14,649 | ) | |||||||
United Internet AG | (363 | ) | (18,863 | ) | |||||||
Vonovia SE | (605 | ) | (20,185 | ) | |||||||
(192,539 | ) | ||||||||||
Hong Kong (0.2%) | |||||||||||
ASM Pacific Technology Ltd. | (1,400 | ) | (9,941 | ) | |||||||
Haitong International Securities Group Ltd. | (24,000 | ) | (13,355 | ) | |||||||
Hong Kong & China Gas Co. Ltd. | (6,000 | ) | (12,180 | ) | |||||||
(35,476 | ) | ||||||||||
Ireland (0.1%) | |||||||||||
Glanbia PLC | (1,039 | ) | (20,154 | ) | |||||||
James Hardie Industries PLC | (1,097 | ) | (14,201 | ) | |||||||
(34,355 | ) | ||||||||||
Italy (0.2%) | |||||||||||
Brunello Cucinelli SpA | (827 | ) | (14,978 | ) | |||||||
Salvatore Ferragamo SpA | (697 | ) | (18,932 | ) | |||||||
Yoox Net-A- Porter Group SpA | (327 | ) | (11,093 | )* | |||||||
(45,003 | ) | ||||||||||
Japan (0.8%) | |||||||||||
Honda Motor Co. Ltd. | (490 | ) | (16,210 | ) | |||||||
Hulic Co. Ltd. | (1,813 | ) | (16,933 | ) | |||||||
Inpex Corp. | (2,207 | ) | (21,037 | ) | |||||||
Kubota Corp. | (1,000 | ) | (15,502 | ) | |||||||
Odakyu Electric Railway Co. Ltd. | (2,428 | ) | (23,733 | ) | |||||||
Oji Holdings Corp. | (4,000 | ) | (20,716 | ) | |||||||
SoftBank Group Corp. | (400 | ) | (22,411 | ) | |||||||
Sumitomo Realty & Development Co. Ltd. | (1,000 | ) | (32,928 | ) | |||||||
Takeda Pharmaceutical Co. Ltd. | (338 | ) | (16,505 | ) | |||||||
(185,975 | ) |
Number of Shares | Value† | ||||||||||
Jordan (0.1%) | |||||||||||
Hikma Pharmaceuticals PLC | (564 | ) | $ | (18,815 | ) | ||||||
Mexico (0.1%) | |||||||||||
Fresnillo PLC | (2,353 | ) | (26,480 | ) | |||||||
Netherlands (0.2%) | |||||||||||
Arcadis NV | (881 | ) | (22,234 | ) | |||||||
ASML Holding NV | (161 | ) | (14,980 | ) | |||||||
OCI NV | (494 | ) | (13,974 | )* | |||||||
(51,188 | ) | ||||||||||
Singapore (0.1%) | |||||||||||
Global Logistic Properties Ltd. | (9,400 | ) | (15,034 | ) | |||||||
StarHub Ltd. | (5,200 | ) | (13,340 | ) | |||||||
(28,374 | ) | ||||||||||
South Africa (0.1%) | |||||||||||
Randgold Resources Ltd. | (329 | ) | (22,154 | ) | |||||||
Spain (0.4%) | |||||||||||
Banco Bilbao Vizcaya Argentaria SA | (1,096 | ) | (9,449 | ) | |||||||
Ferrovial SA | (750 | ) | (18,936 | ) | |||||||
Gas Natural SDG SA | (917 | ) | (19,875 | ) | |||||||
Red Electrica Corp. SA | (265 | ) | (23,371 | ) | |||||||
Zardoya Otis SA | (1,727 | ) | (21,270 | ) | |||||||
(92,901 | ) | ||||||||||
Sweden (0.4%) | |||||||||||
Alfa Laval AB | (1,261 | ) | (22,184 | ) | |||||||
Assa Abloy AB, B Shares | (903 | ) | (17,968 | ) | |||||||
Hennes & Mauritz AB, B shares | (522 | ) | (20,303 | ) | |||||||
Lundin Petroleum AB | (1,644 | ) | (23,764 | )* | |||||||
Meda AB, A Shares | (742 | ) | (10,917 | ) | |||||||
(95,136 | ) | ||||||||||
Switzerland (0.6%) | |||||||||||
Cie Financiere Richemont SA | (263 | ) | (22,563 | ) | |||||||
LafargeHolcim Ltd. | (337 | ) | (19,008 | )* | |||||||
Nestle SA | (255 | ) | (19,503 | ) | |||||||
Roche Holding AG | (64 | ) | (17,372 | ) | |||||||
SGS SA | (12 | ) | (22,872 | ) |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund (cont'd)
Number of Shares | Value† | ||||||||||
Syngenta AG | (57 | ) | $ | (19,191 | ) | ||||||
Wolseley PLC | (261 | ) | (15,358 | ) | |||||||
(135,867 | ) | ||||||||||
United Kingdom (2.3%) | |||||||||||
Admiral Group PLC | (557 | ) | (13,850 | ) | |||||||
Amec Foster Wheeler PLC | (1,671 | ) | (18,315 | ) | |||||||
AO World PLC | (4,510 | ) | (11,013 | )* | |||||||
Associated British Foods PLC | (385 | ) | (20,506 | ) | |||||||
AVEVA Group PLC | (471 | ) | (14,914 | ) | |||||||
Babcock International Group PLC | (1,229 | ) | (18,264 | ) | |||||||
British American Tobacco PLC | (307 | ) | (18,266 | ) | |||||||
BTG PLC | (1,907 | ) | (16,228 | )* | |||||||
Bunzl PLC | (643 | ) | (18,427 | ) | |||||||
Burberry Group PLC | (634 | ) | (12,980 | ) | |||||||
Compass Group PLC | (1,260 | ) | (21,736 | ) | |||||||
Diageo PLC | (761 | ) | (22,038 | ) | |||||||
Drax Group PLC | (2,924 | ) | (11,747 | ) | |||||||
Hammerson PLC | (1,713 | ) | (16,808 | ) | |||||||
Hargreaves Lansdown PLC | (714 | ) | (15,894 | ) | |||||||
Imagination Technologies Group PLC | (3,570 | ) | (12,190 | )* | |||||||
Informa PLC | (2,031 | ) | (17,784 | ) | |||||||
Inmarsat PLC | (1,024 | ) | (15,549 | ) | |||||||
InterContinental Hotels Group PLC | (404 | ) | (16,199 | ) | |||||||
Intertek Group PLC | (434 | ) | (17,563 | ) | |||||||
Kier Group PLC | (904 | ) | (19,190 | ) | |||||||
Pearson PLC | (1,003 | ) | (13,321 | ) | |||||||
Pennon Group PLC | (1,478 | ) | (18,479 | ) | |||||||
Petrofac Ltd. | (1,103 | ) | (14,334 | ) | |||||||
RELX PLC | (1,318 | ) | (23,610 | ) | |||||||
Rolls-Royce Holdings PLC | (1,840 | ) | (19,501 | ) | |||||||
Rotork PLC | (6,897 | ) | (19,925 | ) | |||||||
Smith & Nephew PLC | (1,239 | ) | (21,201 | ) | |||||||
Telecity Group PLC | (1,074 | ) | (19,454 | ) |
Number of Shares | Value† | ||||||||||
United Utilities Group PLC | (1,349 | ) | $ | (20,557 | ) | ||||||
Weir Group PLC | (853 | ) | (14,031 | ) | |||||||
Whitbread PLC | (264 | ) | (20,211 | ) | |||||||
(554,085 | ) | ||||||||||
United States (7.6%) | |||||||||||
Adobe Systems, Inc. | (229 | ) | (20,303 | )* | |||||||
Affiliated Managers Group, Inc. | (88 | ) | (15,863 | )* | |||||||
Alliance Data Systems Corp. | (85 | ) | (25,271 | )* | |||||||
Amazon.com, Inc. | (33 | ) | (20,655 | )* | |||||||
American Tower Corp. | (205 | ) | (20,957 | ) | |||||||
American Water Works Co., Inc. | (386 | ) | (22,141 | ) | |||||||
AMETEK, Inc. | (412 | ) | (22,586 | ) | |||||||
Amphenol Corp. Class A | (396 | ) | (21,471 | ) | |||||||
Anadarko Petroleum Corp. | (309 | ) | (20,666 | ) | |||||||
Analog Devices, Inc. | (337 | ) | (20,260 | ) | |||||||
Annaly Capital Management, Inc. | (1,904 | ) | (18,945 | ) | |||||||
Becton Dickinson and Co. | (137 | ) | (19,525 | ) | |||||||
Brown & Brown, Inc. | (401 | ) | (12,940 | ) | |||||||
Brown-Forman Corp. Class B | (181 | ) | (19,219 | ) | |||||||
Chevron Corp. | (270 | ) | (24,538 | ) | |||||||
Coca-Cola Co. | (329 | ) | (13,933 | ) | |||||||
Colgate Palmolive Co. | (301 | ) | (19,971 | ) | |||||||
ConocoPhillips | (419 | ) | (22,354 | ) | |||||||
CONSOL Energy, Inc. | (1,115 | ) | (7,426 | ) | |||||||
Cooper Cos., Inc. | (129 | ) | (19,654 | ) | |||||||
CoStar Group, Inc. | (100 | ) | (20,307 | )* | |||||||
Crown Holdings, Inc. | (445 | ) | (23,603 | )* | |||||||
Dominion Resources, Inc. | (322 | ) | (23,000 | ) | |||||||
Donaldson Co., Inc. | (721 | ) | (21,774 | ) |
Number of Shares | Value† | ||||||||||
Emerson Electric Co. | (280 | ) | $ | (13,224 | ) | ||||||
Exxon Mobil Corp. | (294 | ) | (24,326 | ) | |||||||
Facebook, Inc. Class A | (218 | ) | (22,229 | )* | |||||||
Fastenal Co. | (572 | ) | (22,399 | ) | |||||||
Federal Realty Investment Trust | (143 | ) | (20,519 | ) | |||||||
FleetCor Technologies, Inc. | (152 | ) | (22,019 | )* | |||||||
General Electric Co. | (527 | ) | (15,241 | ) | |||||||
Graco, Inc. | (332 | ) | (24,369 | ) | |||||||
Hershey Co. | (240 | ) | (21,286 | ) | |||||||
Howard Hughes Corp. | (166 | ) | (20,514 | )* | |||||||
Hudson City Bancorp, Inc. | (1,733 | ) | (17,538 | ) | |||||||
IDEX Corp. | (305 | ) | (23,412 | ) | |||||||
IDEXX Laboratories, Inc. | (279 | ) | (19,145 | )* | |||||||
ITC Holdings Corp. | (700 | ) | (22,904 | ) | |||||||
J.B. Hunt Transport Services, Inc. | (213 | ) | (16,267 | ) | |||||||
J.M. Smucker Co. | (175 | ) | (20,543 | ) | |||||||
Kansas City Southern | (227 | ) | (18,786 | ) | |||||||
Kennedy- Wilson Holdings, Inc. | (629 | ) | (15,423 | ) | |||||||
Kimberly-Clark Corp. | (182 | ) | (21,787 | ) | |||||||
Kinder Morgan, Inc. | (605 | ) | (16,547 | ) | |||||||
KLA-Tencor Corp. | (400 | ) | (26,848 | ) | |||||||
Lennox International, Inc. | (180 | ) | (23,906 | ) | |||||||
Macquarie Infrastructure Corp. | (265 | ) | (21,081 | ) | |||||||
Martin Marietta Materials, Inc. | (114 | ) | (17,687 | ) | |||||||
MasterCard, Inc. Class A | (238 | ) | (23,560 | ) | |||||||
McDonald's Corp. | (158 | ) | (17,735 | ) | |||||||
Medtronic PLC | (279 | ) | (20,624 | ) | |||||||
Monsanto Co. | (228 | ) | (21,254 | ) |
See Notes to Schedule of Investments
Schedule of Investments Global Allocation Fund (cont'd)
Number of Shares | Value† | ||||||||||
National Fuel Gas Co. | (395 | ) | $ | (20,749 | ) | ||||||
Netflix, Inc. | (154 | ) | (16,690 | )* | |||||||
Newell Rubbermaid, Inc. | (499 | ) | (21,173 | ) | |||||||
Nordson Corp. | (344 | ) | (24,507 | ) | |||||||
Oracle Corp. | (541 | ) | (21,012 | ) | |||||||
Paychex, Inc. | (356 | ) | (18,362 | ) | |||||||
Plum Creek Timber Co., Inc. | (463 | ) | (18,863 | ) | |||||||
PPG Industries, Inc. | (233 | ) | (24,293 | ) | |||||||
Precision Castparts Corp. | (97 | ) | (22,389 | ) | |||||||
Priceline Group, Inc. | (18 | ) | (26,176 | )* | |||||||
PTC, Inc. | (689 | ) | (24,418 | )* | |||||||
QUALCOMM, Inc. | (379 | ) | (22,520 | ) | |||||||
Realty Income Corp. | (474 | ) | (23,444 | ) | |||||||
Restoration Hardware Holdings, Inc. | (141 | ) | (14,536 | )* | |||||||
Rice Energy, Inc. | (535 | ) | (8,164 | )* | |||||||
Sempra Energy | (242 | ) | (24,783 | ) | |||||||
Signet Jewelers Ltd. | (158 | ) | (23,849 | ) | |||||||
Sirius XM Holdings, Inc. | (4,603 | ) | (18,780 | )* | |||||||
Solera Holdings, Inc. | (315 | ) | (17,218 | ) | |||||||
Southern Co. | (516 | ) | (23,272 | ) | |||||||
Southern Copper Corp. | (830 | ) | (23,041 | ) | |||||||
Starbucks Corp. | (353 | ) | (22,087 | ) | |||||||
Stericycle, Inc. | (153 | ) | (18,570 | )* | |||||||
TFS Financial Corp. | (985 | ) | (17,297 | ) | |||||||
Toro Co. | (315 | ) | (23,710 | ) | |||||||
Tyco International PLC | (603 | ) | (21,973 | ) | |||||||
Under Armour, Inc. Class A | (233 | ) | (22,154 | )* | |||||||
Union Pacific Corp. | (188 | ) | (16,798 | ) | |||||||
United Technologies Corp. | (155 | ) | (15,254 | ) | |||||||
Ventas, Inc. | (359 | ) | (19,285 | ) | |||||||
Vornado Realty Trust | (218 | ) | (21,920 | ) |
Number of Shares | Value† | ||||||||||
WEC Energy Group, Inc. | (445 | ) | $ | (22,944 | ) | ||||||
WhiteWave Foods Co. | (412 | ) | (16,884 | )* | |||||||
Williams Cos., Inc. | (471 | ) | (18,576 | ) | |||||||
WR Grace & Co. | (226 | ) | (22,668 | )* | |||||||
Wynn Resorts Ltd. | (215 | ) | (15,039 | ) | |||||||
(1,781,933 | ) | ||||||||||
Total Common Stocks Sold Short (Proceeds $(3,586,664)) | (3,672,134 | ) | |||||||||
Redeemable Preference Shares Sold Short (0.0%) | |||||||||||
United Kingdom (0.0%) | |||||||||||
Rolls-Royce Holdings PLC, C Shares (Proceeds $(263)) | (170,568 | ) | (263 | )Ñ*f | |||||||
Rights Sold Short (0.1%) | |||||||||||
United States (0.1%) | |||||||||||
Furiex Pharmaceuticals, Inc. (Proceeds $(17,518)) | (1,793 | ) | (17,518 | )Ñ*f | |||||||
Total Short Positions (Proceeds $(3,604,445)) | (3,689,915 | ) |
See Notes to Schedule of Investments
LONG POSITIONS BY INDUSTRY GLOBAL ALLOCATION FUND (UNAUDITED)
Industry | Investments at Value† | Percentage of Net Assets | |||||||||
Mutual Funds | $ | 8,705,314 | 36.9 | % | |||||||
Government Securities | 1,826,463 | 7.8 | % | ||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government | 1,088,885 | 4.6 | % | ||||||||
Diversified Financial Services | 755,321 | 3.2 | % | ||||||||
Food & Staples Retailing | 691,882 | 2.9 | % | ||||||||
Insurance | 639,896 | 2.7 | % | ||||||||
Oil, Gas & Consumable Fuels | 623,813 | 2.6 | % | ||||||||
Software | 586,127 | 2.5 | % | ||||||||
Media | 556,787 | 2.4 | % | ||||||||
Exchange Traded Funds | 533,082 | 2.3 | % | ||||||||
Pharmaceuticals | 526,014 | 2.2 | % | ||||||||
Airlines | 486,212 | 2.1 | % | ||||||||
Health Care Providers & Services | 479,923 | 2.0 | % | ||||||||
Computers & Peripherals | 421,489 | 1.8 | % | ||||||||
Aerospace & Defense | 402,796 | 1.7 | % | ||||||||
Commercial Banks | 370,022 | 1.6 | % | ||||||||
Food Products | 357,705 | 1.5 | % | ||||||||
Specialty Retail | 286,083 | 1.2 | % | ||||||||
Electric Utilities | 279,567 | 1.2 | % | ||||||||
Electronic Equipment, Instruments & Components | 275,994 | 1.2 | % | ||||||||
Communications Equipment | 223,790 | 0.9 | % | ||||||||
Health Care Equipment & Supplies | 215,140 | 0.9 | % | ||||||||
Diversified Telecommunication Services | 206,397 | 0.9 | % | ||||||||
Chemicals | 202,298 | 0.9 | % | ||||||||
Textiles, Apparel & Luxury Goods | 193,268 | 0.8 | % | ||||||||
Semiconductors & Semiconductor Equipment | 186,537 | 0.8 | % | ||||||||
IT Services | 180,852 | 0.8 | % | ||||||||
Automobiles | 174,079 | 0.7 | % | ||||||||
Life Science Tools & Services | 156,229 | 0.7 | % | ||||||||
Mortgage-Backed Securities | 155,296 | 0.7 | % | ||||||||
Metals & Mining | 155,856 | 0.7 | % | ||||||||
Energy Equipment & Services | 151,900 | 0.6 | % | ||||||||
Thrifts & Mortgage Finance | 149,607 | 0.6 | % | ||||||||
Commercial Services & Supplies | 141,830 | 0.6 | % | ||||||||
Real Estate Investment Trusts | 138,495 | 0.6 | % | ||||||||
Road & Rail | 135,248 | 0.6 | % | ||||||||
Machinery | 132,993 | 0.6 | % | ||||||||
Multiline Retail | 132,592 | 0.6 | % | ||||||||
Wireless Telecommunication Services | 118,016 | 0.5 | % | ||||||||
Hotels, Restaurants & Leisure | 116,951 | 0.5 | % | ||||||||
Trading Companies & Distributors | 106,425 | 0.5 | % | ||||||||
Containers & Packaging | 103,855 | 0.4 | % | ||||||||
Paper & Forest Products | 99,723 | 0.4 | % | ||||||||
Auto Components | 96,707 | 0.4 | % | ||||||||
Construction & Engineering | 87,055 | 0.4 | % | ||||||||
Biotechnology | 81,731 | 0.3 | % | ||||||||
Capital Markets | 81,479 | 0.3 | % | ||||||||
Internet Software & Services | 80,299 | 0.3 | % | ||||||||
Office Electronics | 78,908 | 0.3 | % | ||||||||
Multi-Utilities | 76,075 | 0.3 | % | ||||||||
Distributors | 74,718 | 0.3 | % | ||||||||
Beverages | 66,943 | 0.3 | % | ||||||||
Gas Utilities | 64,988 | 0.3 | % |
See Notes to Schedule of Investments
LONG POSITIONS BY INDUSTRY GLOBAL ALLOCATION FUND (UNAUDITED) (cont'd)
Industry | Investments at Value† | Percentage of Net Assets | |||||||
Household Durables | $ | 64,451 | 0.3 | % | |||||
Pharmaceutical | 62,297 | 0.3 | % | ||||||
Air Freight & Logistics | 60,547 | 0.3 | % | ||||||
Transportation | 58,369 | 0.2 | % | ||||||
Banks | 55,985 | 0.2 | % | ||||||
Consumer Finance | 48,202 | 0.2 | % | ||||||
Marine | 46,428 | 0.2 | % | ||||||
Professional Services | 46,282 | 0.2 | % | ||||||
Retail REITs | 45,499 | 0.2 | % | ||||||
Health Care Technology | 42,194 | 0.2 | % | ||||||
Retail | 37,872 | 0.2 | % | ||||||
U.S. Government Agency Securities | 33,338 | 0.1 | % | ||||||
Tobacco | 30,530 | 0.1 | % | ||||||
Industrial Conglomerates | 28,359 | 0.1 | % | ||||||
Industrial & Office REITs | 27,950 | 0.1 | % | ||||||
Internet & Catalog Retail | 27,909 | 0.1 | % | ||||||
Real Estate Holding & Development | 23,853 | 0.1 | % | ||||||
Casinos & Gaming | 22,003 | 0.1 | % | ||||||
Business Services | 21,752 | 0.1 | % | ||||||
Independent Power and Renewable Electricity Producers | 21,348 | 0.1 | % | ||||||
Household Products | 20,546 | 0.1 | % | ||||||
Leisure Equipment & Products | 20,437 | 0.1 | % | ||||||
Heavy Electrical Equipment | 19,425 | 0.1 | % | ||||||
Diversified REITs | 18,805 | 0.1 | % | ||||||
Technology Hardware, Storage & Peripherals | 15,955 | 0.1 | % | ||||||
Capital Goods | 14,900 | 0.1 | % | ||||||
Materials | 13,150 | 0.1 | % | ||||||
Medical Services | 6,471 | 0.0 | % | ||||||
Short-Term Investments and Other Assets-Net | 2,053,670 | 8.7 | % | ||||||
Short Positions (see summary on the next page) | (3,689,915 | ) | (15.7 | )% | |||||
$ | 23,558,267 | 100.0 | % |
See Notes to Schedule of Investments
SHORT POSITIONS BY INDUSTRY GLOBAL ALLOCATION FUND (UNAUDITED)
Industry | Investments at Value† | Percentage of Net Assets | |||||||
Machinery | $ | (210,684 | ) | (0.9 | )% | ||||
Oil, Gas & Consumable Fuels | (209,263 | ) | (0.9 | )% | |||||
Hotels, Restaurants & Leisure | (164,839 | ) | (0.7 | )% | |||||
Real Estate Investment Trusts | (160,741 | ) | (0.7 | )% | |||||
Real Estate Management & Development | (141,680 | ) | (0.6 | )% | |||||
Chemicals | (136,833 | ) | (0.6 | )% | |||||
Software | (136,522 | ) | (0.6 | )% | |||||
Health Care Equipment & Supplies | (122,902 | ) | (0.5 | )% | |||||
Textiles, Apparel & Luxury Goods | (119,636 | ) | (0.5 | )% | |||||
Food Products | (118,876 | ) | (0.5 | )% | |||||
Pharmaceuticals | (114,436 | ) | (0.5 | )% | |||||
Beverages | (113,079 | ) | (0.5 | )% | |||||
Metals & Mining | (102,120 | ) | (0.4 | )% | |||||
IT Services | (89,212 | ) | (0.4 | )% | |||||
Aerospace & Defense | (86,373 | ) | (0.4 | )% | |||||
Internet & Catalog Retail | (85,627 | ) | (0.4 | )% | |||||
Semiconductors & Semiconductor Equipment | (84,219 | ) | (0.4 | )% | |||||
Internet Software & Services | (80,853 | ) | (0.3 | )% | |||||
Road & Rail | (75,584 | ) | (0.3 | )% | |||||
Media | (73,495 | ) | (0.3 | )% | |||||
Multi-Utilities | (70,727 | ) | (0.3 | )% | |||||
Electric Utilities | (69,547 | ) | (0.3 | )% | |||||
Materials | (69,116 | ) | (0.3 | )% | |||||
Commercial Services & Supplies | (68,371 | ) | (0.3 | )% | |||||
Professional Services | (63,213 | ) | (0.3 | )% | |||||
Water Utilities | (61,177 | ) | (0.3 | )% | |||||
Capital Markets | (60,809 | ) | (0.3 | )% | |||||
Construction & Engineering | (60,360 | ) | (0.3 | )% | |||||
Specialty Retail | (58,688 | ) | (0.2 | )% | |||||
Trading Companies & Distributors | (56,184 | ) | (0.2 | )% | |||||
Gas Utilities | (52,804 | ) | (0.2 | )% | |||||
Transportation | (46,469 | ) | (0.2 | )% | |||||
Building Products | (41,874 | ) | (0.2 | )% | |||||
Household Products | (41,758 | ) | (0.2 | )% | |||||
Insurance | (36,406 | ) | (0.1 | )% | |||||
Electrical Equipment | (35,810 | ) | (0.1 | )% | |||||
Electronic Equipment, Instruments & Components | (35,761 | ) | (0.1 | )% | |||||
Wireless Telecommunication Services | (35,751 | ) | (0.1 | )% | |||||
Thrifts & Mortgage Finance | (34,835 | ) | (0.1 | )% | |||||
Energy Equipment & Services | (32,649 | ) | (0.1 | )% | |||||
Containers & Packaging | (23,603 | ) | (0.1 | )% | |||||
Communications Equipment | (22,520 | ) | (0.1 | )% | |||||
Personal Products | (21,575 | ) | (0.1 | )% | |||||
Household Durables | (21,173 | ) | (0.1 | )% | |||||
Paper & Forest Products | (20,716 | ) | (0.1 | )% | |||||
Banks | (19,983 | ) | (0.1 | )% | |||||
Tobacco | (18,266 | ) | (0.1 | )% | |||||
Automobiles | (16,210 | ) | (0.1 | )% | |||||
Diversified Telecommunication Services | (15,549 | ) | (0.1 | )% | |||||
Industrial Conglomerates | (15,241 | ) | (0.1 | )% | |||||
Diversified Financial Services | (12,350 | ) | (0.1 | )% | |||||
Independent Power and Renewable Electricity Producers | (11,747 | ) | 0.0 | % | |||||
Biotechnology | (11,699 | ) | 0.0 | % | |||||
Total Common Stocks Sold Short | $ | (3,689,915 | ) | (15.7 | )% |
See Notes to Schedule of Investments
Schedule of Investments Inflation Managed Fundb 10/31/15
Number of Shares | Value† | ||||||||||
Common Stocks (43.4%) | |||||||||||
Chemicals (8.1%) | |||||||||||
Air Products & Chemicals, Inc. | 606 | $ | 84,222 | ||||||||
Airgas, Inc. | 154 | 14,809 | |||||||||
Celanese Corp. Class A | 81 | 5,755 | |||||||||
CF Industries Holdings, Inc. | 740 | 37,570 | |||||||||
Chase Corp. | 102 | 4,530 | * | ||||||||
Chemtura Corp. | 77 | 2,459 | * | ||||||||
Core Molding Technologies, Inc. | 135 | 2,705 | * | ||||||||
Dow Chemical Co. | 3,587 | 185,340 | |||||||||
E.I. du Pont de Nemours & Co. | 3,018 | 191,341 | |||||||||
Eastman Chemical Co. | 484 | 34,930 | |||||||||
Ecolab, Inc. | 796 | 95,799 | |||||||||
FMC Corp. | 207 | 8,427 | |||||||||
FutureFuel Corp. | 185 | 2,851 | |||||||||
Hawkins, Inc. | 80 | 3,315 | |||||||||
Innophos Holdings, Inc. | 22 | 935 | |||||||||
International Flavors & Fragrances, Inc. | 206 | 23,908 | |||||||||
KMG Chemicals, Inc. | 77 | 1,620 | |||||||||
Kraton Performance Polymers, Inc. | 197 | 4,017 | * | ||||||||
Kronos Worldwide, Inc. | 74 | 585 | |||||||||
LSB Industries, Inc. | 117 | 1,831 | * | ||||||||
LyondellBasell Industries NV Class A | 1,342 | 124,685 | |||||||||
Monsanto Co. | 1,519 | 141,601 | |||||||||
Mosaic Co. | 1,017 | 34,364 |
Number of Shares | Value† | ||||||||||
OMNOVA Solutions, Inc. | 1,168 | $ | 8,386 | * | |||||||
PPG Industries, Inc. | 823 | 85,806 | |||||||||
Praxair, Inc. | 720 | 79,985 | |||||||||
Rayonier Advanced Materials, Inc. | 137 | 1,263 | |||||||||
Sensient Technologies Corp. | 93 | 6,070 | |||||||||
Sherwin- Williams Co. | 241 | 64,306 | |||||||||
Sigma- Aldrich Corp. | 253 | 35,349 | |||||||||
Stepan Co. | 64 | 3,388 | |||||||||
Trecora Resources | 292 | 4,158 | * | ||||||||
Tredegar Corp. | 148 | 2,111 | |||||||||
Trinseo SA | 190 | 6,166 | * | ||||||||
1,304,587 | |||||||||||
Construction Materials (0.4%) | |||||||||||
Martin Marietta Materials, Inc. | 147 | 22,807 | |||||||||
United States Lime & Minerals, Inc. | 16 | 782 | |||||||||
US Concrete, Inc. | 18 | 998 | * | ||||||||
Vulcan Materials Co. | 367 | 35,445 | |||||||||
60,032 | |||||||||||
Containers & Packaging (0.9%) | |||||||||||
AEP Industries, Inc. | 38 | 3,040 | * | ||||||||
AptarGroup, Inc. | 37 | 2,722 | |||||||||
Avery Dennison Corp. | 352 | 22,869 | |||||||||
Ball Corp. | 364 | 24,934 | |||||||||
Greif, Inc. Class A | 52 | 1,705 | |||||||||
Owens- Illinois, Inc. | 520 | 11,206 | * | ||||||||
Sealed Air Corp. | 621 | 30,503 |
Number of Shares | Value† | ||||||||||
WestRock Co. | 835 | $ | 44,890 | ||||||||
141,869 | |||||||||||
Electric Utilities (0.3%) | |||||||||||
NextEra Energy, Inc. | 450 | 46,197 | |||||||||
Energy Equipment & Services (1.8%) | |||||||||||
Baker Hughes, Inc. | 616 | 32,451 | |||||||||
Bristow Group, Inc. | 110 | 3,820 | |||||||||
Cameron International Corp. | 162 | 11,018 | * | ||||||||
Ensco PLC Class A | 839 | 13,952 | |||||||||
FMC Technologies, Inc. | 226 | 7,645 | * | ||||||||
Halliburton Co. | 1,120 | 42,986 | |||||||||
Hornbeck Offshore Services, Inc. | 219 | 2,959 | * | ||||||||
ION Geophysical Corp. | 3,839 | 1,420 | * | ||||||||
Key Energy Services, Inc. | 3,104 | 1,631 | * | ||||||||
National Oilwell Varco, Inc. | 498 | 18,745 | |||||||||
Noble Corp. PLC | 580 | 7,813 | |||||||||
PHI, Inc. | 419 | 7,978 | * | ||||||||
Schlumberger Ltd. | 1,570 | 122,711 | |||||||||
Superior Energy Services, Inc. | 389 | 5,508 | |||||||||
Tesco Corp. | 487 | 3,896 | |||||||||
284,533 | |||||||||||
Gas Utilities (0.4%) | |||||||||||
Suburban Propane Partners LP | 1,750 | 60,200 | |||||||||
Hotels, Restaurants & Leisure (1.2%) | |||||||||||
Cedar Fair LP | 3,000 | 168,000 | |||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 340 | 27,156 | |||||||||
195,156 | |||||||||||
Independent Power and Renewable Electricity Producers (0.5%) | |||||||||||
NRG Yield, Inc. Class C | 6,000 | 86,640 |
See Notes to Schedule of Investments
Schedule of Investments Inflation Managed Fundb (cont'd)
Number of Shares | Value† | ||||||||||
Metals & Mining (0.8%) | |||||||||||
Alcoa, Inc. | 3,947 | $ | 35,247 | ||||||||
Century Aluminum Co. | 106 | 384 | * | ||||||||
Cliffs Natural Resources, Inc. | 103 | 284 | |||||||||
Commercial Metals Co. | 175 | 2,515 | |||||||||
Freeport- McMoRan, Inc. | 2,437 | 28,683 | |||||||||
Haynes International | 71 | 2,801 | |||||||||
Newmont Mining Corp. | 1,250 | 24,325 | ØØ | ||||||||
Nucor Corp. | 854 | 36,124 | |||||||||
Real Industry, Inc. | 94 | 893 | * | ||||||||
Reliance Steel & Aluminum Co. | 11 | 660 | |||||||||
Schnitzer Steel Industries, Inc. Class A | 51 | 860 | |||||||||
United States Steel Corp. | 50 | 584 | |||||||||
133,360 | |||||||||||
Multi-Utilities (0.5%) | |||||||||||
Sempra Energy | 850 | 87,048 | |||||||||
Oil, Gas & Consumable Fuels (19.0%) | |||||||||||
Alliance Holdings GP LP | 4,000 | 117,040 | |||||||||
Alon USA Energy, Inc. | 179 | 2,998 | |||||||||
Anadarko Petroleum Corp. | 655 | 43,806 | |||||||||
Apache Corp. | 538 | 25,356 | |||||||||
Ardmore Shipping Corp. | 230 | 3,301 | |||||||||
Cabot Oil & Gas Corp. | 231 | 5,015 | |||||||||
Chesapeake Energy Corp. | 637 | 4,542 | |||||||||
Chevron Corp. | 2,596 | 235,924 | |||||||||
Cimarex Energy Co. | 95 | 11,216 | |||||||||
Clean Energy Fuels Corp. | 615 | 3,475 | * | ||||||||
ConocoPhillips | 1,599 | 85,307 |
Number of Shares | Value† | ||||||||||
Crestwood Equity Partners LP | 31,450 | $ | 90,890 | ||||||||
Devon Energy Corp. | 590 | 24,739 | |||||||||
Energy Transfer Equity LP | 9,200 | 198,260 | |||||||||
Energy Transfer Partners LP | 3,850 | 170,016 | |||||||||
Enterprise Products Partners LP | 7,700 | 212,751 | |||||||||
EOG Resources, Inc. | 678 | 58,206 | |||||||||
EQT Corp. | 153 | 10,109 | |||||||||
Exxon Mobil Corp. | 5,556 | 459,703 | ØØ | ||||||||
Hess Corp. | 311 | 17,481 | |||||||||
Kinder Morgan, Inc. | 2,109 | 57,681 | |||||||||
Marathon Oil Corp. | 905 | 16,634 | |||||||||
Marathon Petroleum Corp. | 753 | 39,005 | |||||||||
Navios Maritime Acquisition Corp. | 1,206 | 4,317 | |||||||||
Newfield Exploration Co. | 318 | 12,780 | * | ||||||||
Noble Energy, Inc. | 526 | 18,852 | |||||||||
NuStar GP Holdings LLC | 2,700 | 78,867 | |||||||||
Occidental Petroleum Corp. | 1,029 | 76,702 | |||||||||
ONEOK, Inc. | 2,604 | 88,328 | |||||||||
PBF Energy, Inc. Class A | 115 | 3,910 | |||||||||
Phillips 66 | 745 | 66,342 | |||||||||
Pioneer Natural Resources Co. | 175 | 24,000 | |||||||||
Renewable Energy Group, Inc. | 332 | 2,619 | * | ||||||||
REX American Resources Corp. | 93 | 5,107 | * | ||||||||
Ship Finance International Ltd. | 258 | 4,409 |
Number of Shares | Value† | ||||||||||
Southwestern Energy Co. | 323 | $ | 3,566 | * | |||||||
Spectra Energy Corp. | 5,136 | 146,736 | |||||||||
Teekay Corp. | 3,200 | 102,816 | |||||||||
Teekay LNG Partners LP | 4,900 | 121,716 | |||||||||
Teekay Tankers Ltd. Class A | 448 | 3,423 | |||||||||
Tesoro Corp. | 182 | 19,461 | |||||||||
Valero Energy Corp. | 716 | 47,199 | |||||||||
Western Gas Partners LP | 3,400 | 173,808 | |||||||||
Williams Cos., Inc. | 4,296 | 169,434 | |||||||||
3,067,847 | |||||||||||
Paper & Forest Products (0.4%) | |||||||||||
Domtar Corp. | 139 | 5,732 | |||||||||
International Paper Co. | 1,234 | 52,680 | |||||||||
Resolute Forest Products, Inc. | 68 | 508 | * | ||||||||
Wausau Paper Corp. | 140 | 1,429 | |||||||||
60,349 | |||||||||||
Real Estate Investment Trusts (8.9%) | |||||||||||
American Homes 4 Rent Class A | 1,459 | 24,074 | |||||||||
American Tower Corp. | 842 | 86,078 | |||||||||
AvalonBay Communities, Inc. | 424 | 74,128 | |||||||||
Boston Properties, Inc. | 557 | 70,098 | |||||||||
CoreSite Realty Corp. | 415 | 22,804 | |||||||||
Crown Castle International Corp. | 644 | 55,036 | |||||||||
DCT Industrial Trust, Inc. | 415 | 15,405 | |||||||||
Digital Realty Trust, Inc. | 308 | 22,780 | |||||||||
Douglas Emmett, Inc. | 796 | 24,318 | |||||||||
Equinix, Inc. | 131 | 38,865 | |||||||||
Equity Commonwealth | 674 | 19,351 | * | ||||||||
Equity Lifestyle Properties, Inc. | 321 | 19,414 |
See Notes to Schedule of Investments
Schedule of Investments Inflation Managed Fundb (cont'd)
Number of Shares | Value† | ||||||||||
Equity Residential | 1,214 | $ | 93,866 | ||||||||
Essex Property Trust, Inc. | 264 | 58,196 | |||||||||
Extra Space Storage, Inc. | 213 | 16,878 | |||||||||
Federal Realty Investment Trust | 278 1,377 | 39,890 39,864 | |||||||||
General Growth Properties, Inc. | |||||||||||
HCP, Inc. | 583 | 21,688 | ØØ | ||||||||
Host Hotels & Resorts, Inc. | 1,907 | 33,048 | |||||||||
Hudson Pacific Properties, Inc. | 371 | 10,599 | |||||||||
Kimco Realty Corp. | 1,471 | 39,379 | |||||||||
LaSalle Hotel Properties | 440 | 12,940 | |||||||||
National Retail Properties, Inc. | 692 | 26,296 | |||||||||
OMEGA Healthcare Investors, Inc. | 680 | 23,474 | |||||||||
Plum Creek Timber Co., Inc. | 376 | 15,318 | |||||||||
Prologis, Inc. | 1,132 | 48,370 | |||||||||
Public Storage | 387 | 88,801 | |||||||||
Regency Centers Corp. | 403 | 27,388 | |||||||||
Simon Property Group, Inc. | 735 | 148,073 | |||||||||
SL Green Realty Corp. | 314 | 37,247 | |||||||||
Sovran Self Storage, Inc. | 159 | 15,879 | |||||||||
Taubman Centers, Inc. | 265 | 20,400 | |||||||||
Ventas, Inc. | 876 | 47,059 | |||||||||
Vornado Realty Trust | 307 | 30,869 | |||||||||
Welltower, Inc. | 492 | 31,916 | |||||||||
Weyerhaeuser Co. | 1,072 | 31,442 | |||||||||
1,431,231 |
Number of Shares | Value† | ||||||||||
Real Estate Management & Development (0.2%) | |||||||||||
Brookfield Asset Management, Inc. Class A | 741 | $ | 25,913 | ||||||||
Forest City Enterprises, Inc. Class A | 735 | 16,243 | * | ||||||||
42,156 | |||||||||||
Total Common Stocks (Cost $7,499,630) | 7,001,205 | ||||||||||
Principal Amounta | |||||||||||
Government Securities (12.9%) | |||||||||||
Sovereign (12.9%) | |||||||||||
Australia Government Bond, Senior Unsecured Notes, 2.00%, due 8/21/35 | AUD | 160,000 | 140,510 | ||||||||
Canadian Government Bond, Bonds, 1.50%, due 12/1/44 | CAD | 66,073 | 59,018 | ||||||||
France Government Bond OAT, Unsecured Notes, 0.70%, due 7/25/30 | EUR | 75,024 | 93,639 | ñ | |||||||
Italy Buoni Poliennali Del Tesoro, Bonds, 2.55%, due 9/15/41 | EUR | 162,585 | 226,752 | ||||||||
Mexican Bonos, Bonds, Ser. M, 7.75%, due 11/13/42 | MXN | 1,805,000 | 122,622 | ||||||||
New Zealand Government Bond, Senior Unsecured Notes, 2.00%, due 9/20/25 | NZD | 248,670 | 173,640 |
Principal Amounta | Value† | ||||||||||
New Zealand Government Bond, Senior Unsecured Notes, 2.50%, due 9/20/35 | NZD | 325,000 | $ | 227,975 | |||||||
South Africa Government Bond, Bonds, 6.50%, due 2/28/41 | ZAR | 1,800,000 | 97,612 | ||||||||
Spain Government Inflation Linked Bond, Senior Unsecured Notes, 1.00%, due 11/30/30 | EUR | 114,566 | 124,920 | ñ | |||||||
United Kingdom Gilt Inflation Linked Bonds, Bonds, 0.13%, due 3/22/24 | GBP | 101,803 | 168,664 | ||||||||
United Kingdom Gilt Inflation Linked Bonds, Bonds, 0.13%, due 3/22/44 | GBP | 182,158 | 356,528 | ||||||||
United Kingdom Gilt Inflation Linked Bonds, Senior Unsecured Notes, 0.13%, due 3/22/29 | GBP | 21,882 | 37,541 | ||||||||
United Kingdom Gilt Inflation Linked, Bonds, 0.25%, due 3/22/52 | GBP | 112,683 | 247,955 | ||||||||
Total Government Securities (Cost $2,178,819) | 2,077,376 |
See Notes to Schedule of Investments
Schedule of Investments Inflation Managed Fundb (cont'd)
Principal Amounta | Value† | ||||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government (13.7%) | |||||||||||
U.S. Treasury Inflation- Indexed Bonds, 0.13%, due 1/15/22 | $ | 21,060 | $ | 20,572 | |||||||
U.S. Treasury Inflation- Indexed Bonds, 0.13%, due 7/15/22 | 20,727 | 20,260 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 0.13%, due 1/15/23 | 123,901 | 119,820 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 0.63%, due 1/15/24 | 398,350 | 397,831 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 2.38%, due 1/15/25 | 126,436 | 145,553 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 2.38%, due 1/15/27 | 212,724 | 249,552 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 1.75%, due 1/15/28 | 182,019 | 202,290 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 3.88%, due 4/15/29 | 123,228 | 170,735 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 2.50%, due 1/15/29 | 199,809 | 241,183 |
Principal Amounta | Value† | ||||||||||
U.S. Treasury Inflation- Indexed Bonds, 3.38%, due 4/15/32 | $ | 187,977 | $ | 259,621 | |||||||
U.S. Treasury Inflation- Indexed Bonds, 2.13%, due 2/15/40 | 99,239 | 119,100 | |||||||||
U.S. Treasury Inflation- Indexed Bonds, 0.63%, due 2/15/43 | 300,617 | 259,478 | |||||||||
Total U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government (Cost $2,250,764) | 2,205,995 | ||||||||||
Number of Shares | |||||||||||
Mutual Funds (28.3%) | |||||||||||
Neuberger Berman Emerging Markets Equity Fund Institutional Class | 57,674 | 845,956 | §§ | ||||||||
Neuberger Berman Floating Rate Income Fund Institutional Class | 61,229 | 603,445 | §§ | ||||||||
Neuberger Berman High Income Bond Fund Institutional Class | 193,868 | 1,650,321 | §§ | ||||||||
Neuberger Berman Risk Balanced Commodity Strategy Fund Institutional Class | 235,026 | 1,456,338 | *§§ | ||||||||
Total Mutual Funds (Cost $5,372,800) | 4,556,060 |
Number of Shares | Value† | ||||||||||
Short-Term Investments (1.0%) | |||||||||||
State Street Institutional Liquid Reserves Fund Premier Class, 0.15% (Cost $161,218) | 161,218 | $ | 161,218 | dØØ | |||||||
Total Investments (99.3%) (Cost $17,463,231) | 16,001,854 | ## | |||||||||
Cash, receivables and other assets, less liabilities (0.7%) | 110,725 | e | |||||||||
Total Net Assets (100.0%) | $16,112,579 |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund 10/31/15
Number of Shares | Value† | ||||||||||
Long Positions (98.2%) | |||||||||||
Common Stocks (72.1%) | |||||||||||
Airlines (1.2%) | |||||||||||
Delta Air Lines, Inc. | 770,166 | $ | 39,155,239 | g@ | |||||||
Banks (2.8%) | |||||||||||
Citigroup, Inc. | 511,200 | 27,180,504 | |||||||||
JPMorgan Chase & Co. | 550,236 | 35,352,663 | |||||||||
U.S. Bancorp | 725,000 | 30,580,500 | |||||||||
93,113,667 | |||||||||||
Capital Markets (1.6%) | |||||||||||
BlackRock, Inc. | 78,900 | 27,770,433 | |||||||||
Invesco Ltd. | 418,393 | 13,878,096 | |||||||||
KKR & Co. LP | 671,442 | 11,515,230 | |||||||||
53,163,759 | |||||||||||
Chemicals (1.2%) | |||||||||||
Ashland, Inc. | 342,150 | 37,540,698 | g@ | ||||||||
Consumer Finance (1.0%) | |||||||||||
American Express Co. | 179,300 | 13,135,518 | |||||||||
Springleaf Holdings, Inc. | 441,000 | 20,687,310 | * | ||||||||
Synchrony Financial | 17 | 523 | *g@ | ||||||||
33,823,351 | |||||||||||
Diversified Financial Services (2.4%) | |||||||||||
CME Group, Inc. | 310,000 | 29,285,700 | |||||||||
Markit Ltd. | 1,624,819 | 49,556,979 | * | ||||||||
78,842,679 | |||||||||||
Electric Utilities (3.2%) | |||||||||||
Brookfield Infrastructure Partners LP | 2,136,279 | 89,851,895 | |||||||||
Eversource Energy | 272,400 | 13,876,056 | |||||||||
103,727,951 | |||||||||||
Electrical Equipment (0.6%) | |||||||||||
Sensata Technologies Holding NV | 375,774 | 18,070,972 | * | ||||||||
Electronic Equipment, Instruments & Components (2.8%) | |||||||||||
Amphenol Corp. Class A | 312,200 | 16,927,484 |
Number of Shares | Value† | ||||||||||
CDW Corp. | 943,300 | $ | 42,156,077 | ||||||||
Zebra Technologies Corp. Class A | 402,239 | 30,932,179 | * | ||||||||
90,015,740 | |||||||||||
Food & Staples Retailing (2.5%) | |||||||||||
Costco Wholesale Corp. | 115,600 | 18,278,672 | |||||||||
CVS Health Corp. | 461,600 | 45,596,848 | |||||||||
Fresh Market, Inc. | 740,552 | 18,454,556 | * | ||||||||
82,330,076 | |||||||||||
Food Products (1.5%) | |||||||||||
ConAgra Foods, Inc. | 1,209,700 | 49,053,335 | |||||||||
Health Care Equipment & Supplies (1.9%) | |||||||||||
Sirona Dental Systems, Inc. | 267,500 | 29,192,275 | * | ||||||||
Zimmer Biomet Holdings, Inc. | 311,300 | 32,552,641 | g@ | ||||||||
61,744,916 | |||||||||||
Health Care Providers & Services (3.2%) | |||||||||||
Accretive Health, Inc. | 1,278,675 | 2,621,284 | * | ||||||||
DaVita HealthCare Partners, Inc. | 1,090,600 | 84,532,406 | *g@ | ||||||||
UnitedHealth Group, Inc. | 143,000 | 16,842,540 | |||||||||
103,996,230 | |||||||||||
Hotels, Restaurants & Leisure (3.8%) | |||||||||||
Darden Restaurants, Inc. | 481,600 | 29,806,224 | |||||||||
Hilton Worldwide Holdings, Inc. | 674,200 | 16,848,258 | |||||||||
McDonald's Corp. | 192,700 | 21,630,575 | |||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 325,000 | 25,957,750 | |||||||||
Wyndham Worldwide Corp. | 179,000 | 14,561,650 |
Number of Shares | Value† | ||||||||||
Yum! Brands, Inc. | 209,200 | $ | 14,834,372 | ||||||||
123,638,829 | |||||||||||
Household Durables (1.2%) | |||||||||||
Lennar Corp. Class A | 632,600 | 31,674,282 | |||||||||
Newell Rubbermaid, Inc. | 150,000 | 6,364,500 | |||||||||
38,038,782 | |||||||||||
Independent Power and Renewable Electricity Producers (0.7%) | |||||||||||
Calpine Corp. | 315,100 | 4,887,201 | * | ||||||||
NRG Energy, Inc. | 178,100 | 2,295,709 | |||||||||
NRG Yield, Inc. Class A | 287,000 | 3,940,510 | |||||||||
NRG Yield, Inc. Class C | 808,000 | 11,667,520 | |||||||||
22,790,940 | |||||||||||
Internet & Catalog Retail (1.1%) | |||||||||||
Vipshop Holdings Ltd. ADR | 1,704,925 | 34,985,061 | *g@ | ||||||||
Internet Software & Services (2.5%) | |||||||||||
Alphabet, Inc. Class A | 54,600 | 40,261,494 | * | ||||||||
Alphabet, Inc. Class C | 19,453 | 13,827,387 | * | ||||||||
eBay, Inc. | 1,012,000 | 28,234,800 | * | ||||||||
82,323,681 | |||||||||||
IT Services (3.3%) | |||||||||||
First Data Corp. Class A | 1,931,200 | 30,590,208 | * | ||||||||
PayPal Holdings, Inc. | 138,300 | 4,980,183 | * | ||||||||
Visa, Inc. Class A | 689,400 | 53,483,652 | |||||||||
WEX, Inc. | 213,600 | 19,204,776 | * | ||||||||
108,258,819 | |||||||||||
Life Sciences Tools & Services (1.2%) | |||||||||||
Mettler- Toledo International | 74,400 | 23,137,656 | * | ||||||||
Thermo Fisher Scientific, Inc. | 129,700 | 16,962,166 | |||||||||
40,099,822 |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund (cont'd)
Number of Shares | Value† | ||||||||||
Machinery (1.8%) | |||||||||||
Ingersoll- Rand PLC | 461,000 | $ | 27,318,860 | ||||||||
Valmont Industries, Inc. | 274,900 | 29,810,156 | |||||||||
57,129,016 | |||||||||||
Multi-Utilities (1.3%) | |||||||||||
NiSource, Inc. | 570,300 | 10,926,948 | |||||||||
WEC Energy Group, Inc. | 624,900 | 32,219,844 | g@ | ||||||||
43,146,792 | |||||||||||
Multiline Retail (1.2%) | |||||||||||
Dollar General Corp. | 597,500 | 40,492,575 | |||||||||
Oil, Gas & Consumable Fuels (4.0%) | |||||||||||
Cabot Oil & Gas Corp. | 423,900 | 9,202,869 | |||||||||
Columbia Pipeline Group, Inc. | 273,800 | 5,686,826 | |||||||||
Enbridge, Inc. | 2,111,000 | 90,118,590 | |||||||||
Genesis Energy LP | 271,687 | 10,951,703 | |||||||||
Teekay Corp. | 491,400 | 15,788,682 | |||||||||
131,748,670 | |||||||||||
Pharmaceuticals (1.2%) | |||||||||||
Bristol-Myers Squibb Co. | 615,800 | 40,612,010 | g@ | ||||||||
Professional Services (2.4%) | |||||||||||
Nielsen Holdings PLC | 701,000 | 33,304,510 | |||||||||
Verisk Analytics, Inc. | 615,542 | 44,078,963 | *g@ | ||||||||
77,383,473 | |||||||||||
Real Estate Investment Trusts (2.1%) | |||||||||||
General Growth Properties, Inc. | 550,200 | 15,928,290 | |||||||||
Outfront Media, Inc. | 647,301 | 15,282,777 | |||||||||
Starwood Property Trust, Inc. | 723,200 | 14,529,088 | |||||||||
Weyerhaeuser Co. | 794,800 | 23,311,484 | |||||||||
69,051,639 |
Number of Shares | Value† | ||||||||||
Real Estate Management & Development (1.3%) | |||||||||||
Brookfield Asset Management, Inc. Class A | 1,248,300 | $ | 43,653,051 | ||||||||
Road & Rail (0.8%) | |||||||||||
Canadian Pacific Railway Ltd. | 194,300 | 27,299,150 | |||||||||
Semiconductors & Semiconductor Equipment (2.1%) | |||||||||||
Altera Corp. | 353,407 | 18,571,538 | |||||||||
ASML Holding NV | 176,000 | 16,331,040 | |||||||||
Broadcom Corp. Class A | 642,081 | 33,002,963 | |||||||||
67,905,541 | |||||||||||
Software (0.7%) | |||||||||||
Activision Blizzard, Inc. | 627,400 | 21,808,424 | |||||||||
Specialty Retail (4.6%) | |||||||||||
Asbury Automotive Group, Inc. | 242,602 | 19,214,078 | * | ||||||||
Five Below, Inc. | 1,144,000 | 39,284,960 | *g@ | ||||||||
Home Depot, Inc. | 432,400 | 53,461,936 | g@ | ||||||||
Party City Holdco, Inc. | 545,900 | 8,641,597 | * | ||||||||
Tractor Supply Co. | 326,000 | 30,119,140 | |||||||||
150,721,711 | |||||||||||
Technology Hardware, Storage & Peripherals (2.5%) | |||||||||||
Apple, Inc. | 128,000 | 15,296,000 | |||||||||
EMC Corp. | 893,309 | 23,422,562 | |||||||||
SanDisk Corp. | 416,300 | 32,055,100 | |||||||||
Western Digital Corp. | 163,300 | 10,911,706 | |||||||||
81,685,368 | |||||||||||
Textiles, Apparel & Luxury Goods (2.7%) | |||||||||||
lululemon athletica, Inc. | 537,000 | 26,404,290 | * | ||||||||
PVH Corp. | 680,000 | 61,846,000 | g@ | ||||||||
88,250,290 |
Number of Shares | Value† | ||||||||||
Tobacco (0.6%) | |||||||||||
Philip Morris International, Inc. | 149,131 | $ | 13,183,180 | ||||||||
Reynolds American, Inc. | 160,000 | 7,731,200 | |||||||||
20,914,380 | |||||||||||
Trading Companies & Distributors (0.3%) | |||||||||||
AerCap Holdings NV | 266,900 | 11,076,350 | * | ||||||||
Transportation Infrastructure (1.0%) | |||||||||||
Wesco Aircraft Holdings, Inc. | 2,698,900 | 33,628,294 | * | ||||||||
Water Utilities (1.1%) | |||||||||||
American Water Works Co., Inc. | 600,000 | 34,416,000 | |||||||||
Wireless Telecommunication Services (0.7%) | |||||||||||
SBA Communications Corp. Class A | 205,000 | 24,399,100 | * | ||||||||
Total Common Stocks (Cost $2,180,928,969) | 2,360,036,381 | ||||||||||
Principal Amount | |||||||||||
Corporate Debt Securities (4.0%) | |||||||||||
Healthcare-Services (0.3%) | |||||||||||
Select Medical Corp., Guaranteed Notes, 6.38%, due 6/1/21 | $ | 11,103,000 | 9,826,155 | ||||||||
Holding Companies—Diversified (0.4%) | |||||||||||
Argos Merger Sub, Inc., Senior Unsecured Notes, 7.13%, due 3/15/23 | 13,775,000 | 14,498,187 | ñ | ||||||||
Media (0.2%) | |||||||||||
Cablevision Systems Corp., Senior Unsecured Notes, 5.88%, due 9/15/22 | 3,050,000 | 2,531,500 |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund (cont'd)
Principal Amount | Value† | ||||||||||
Sinclair Television Group, Inc., Guaranteed Notes, 6.13%, due 10/1/22 | $ | 3,063,000 | $ | 3,147,233 | |||||||
5,678,733 | |||||||||||
Oil & Gas (0.3%) | |||||||||||
Forest Oil Corp., Guaranteed Notes, 7.25%, due 6/15/19 | 19,771,000 | 2,767,940 | c | ||||||||
Gulfport Energy Corp., Guaranteed Notes, 6.63%, due 5/1/23 | 1,375,000 | 1,258,125 | |||||||||
Gulfport Energy Corp., Guaranteed Notes, 7.75%, due 11/1/20 | 950,000 | 940,500 | |||||||||
PDC Energy, Inc., Guaranteed Notes, 7.75%, due 10/15/22 | 4,895,000 | 4,919,475 | |||||||||
9,886,040 | |||||||||||
Packing & Containers (0.4%) | |||||||||||
Ball Corp., Guaranteed Notes, 5.25%, due 7/1/25 | 12,800,000 | 13,008,000 | |||||||||
Pipelines (0.8%) | |||||||||||
Genesis Energy LP/Genesis Energy Finance Corp., Guaranteed Notes, 6.75%, due 8/1/22 | 12,100,000 | 11,797,500 | |||||||||
Niska Gas Storage Canada ULC/Niska Gas Storage Canada Finance Corp., Guaranteed Notes, 6.50%, due 4/1/19 | 15,656,000 | 13,933,840 | |||||||||
25,731,340 |
Principal Amount | Value† | ||||||||||
Retail (0.3%) | |||||||||||
Party City Holdings, Inc., Guaranteed Notes, 6.13%, due 8/15/23 | $ | 9,250,000 | $ | 9,527,500 | ñ | ||||||
Software (0.4%) | |||||||||||
First Data Corp., Guaranteed Notes, 7.00%, due 12/1/23 | 13,785,000 | 14,060,700 | Øñ | ||||||||
Telecommunications (0.9%) | |||||||||||
Level 3 Financing, Inc., Guaranteed Notes, 5.38%, due 1/15/24 | 9,190,000 | 9,304,875 | Øñ | ||||||||
Sprint Capital Corp., Guaranteed Notes, 6.88%, due 11/15/28 | 12,315,000 | 10,221,450 | |||||||||
Sprint Nextel Corp., Senior Unsecured Notes, 6.00%, due 11/15/22 | 10,865,000 | 9,284,034 | |||||||||
28,810,359 | |||||||||||
Total Corporate Debt Securities (Cost $152,770,406) | 131,027,014 | ||||||||||
Contracts | |||||||||||
Options (0.0%) | |||||||||||
Purchased Options (0.0%) | |||||||||||
Starwood Hotels & Resorts Worldwide, Inc., Call November 2015 @ 92.5 | 2,500 | 25,000 | |||||||||
Synchrony Financial, Call November 2015 @ 40 | 6,904 | 34,520 | |||||||||
Total Options (Cost $716,789) | 59,520 |
Number of Shares | Value† | ||||||||||
Short-Term Investments (22.1%) | |||||||||||
State Street Institutional Government Money Market Fund Premier Class, 0.00% (Cost $721,758,598) | 721,758,598 | $ | 721,758,598 | dØØ | |||||||
Total Long Positions (98.2%) (Cost $3,056,174,762) | 3,212,881,513 | ## | |||||||||
Cash, receivables and other assets, less liabilities (13.7%) | 448,774,195 | @@e | |||||||||
Short Positions (see summary below) ((11.9)%) | (389,579,556 | ) | |||||||||
Total Net Assets (100.0%) | $ | 3,272,076,152 | |||||||||
Short Positions ((11.9)%)‡g | |||||||||||
Common Stocks Sold Short (8.0%) | |||||||||||
Aerospace & Defense (0.1%) | |||||||||||
KLX, Inc. | (100,000 | ) | (3,911,000 | )* | |||||||
Capital Markets (0.9%) | |||||||||||
Franklin Resources, Inc. | (396,400 | ) | (16,157,264 | ) | |||||||
Waddell & Reed Financial, Inc. | (336,000 | ) | (12,411,840 | ) | |||||||
(28,569,104 | ) | ||||||||||
Commercial Services & Supplies (0.4%) | |||||||||||
Ritchie Bros Auctioneers, Inc. | (547,600 | ) | (14,221,172 | ) | |||||||
Construction & Engineering (0.5%) | |||||||||||
Fluor Corp. | (320,400 | ) | (15,318,324 | ) | |||||||
Electric Utilities (0.3%) | |||||||||||
Southern Co | (190,000 | ) | (8,569,000 | ) | |||||||
Electrical Equipment (0.4%) | |||||||||||
ABB Ltd. | (300,000 | ) | (5,663,412 | )* | |||||||
AMETEK, Inc. | (160,000 | ) | (8,771,200 | ) | |||||||
(14,434,612 | ) | ||||||||||
Health Care Providers & Services (0.3%) | |||||||||||
Laboratory Corp. of America Holdings | (42,800 | ) | (5,253,272 | )* |
See Notes to Schedule of Investments
Schedule of Investments Long Short Fund (cont'd)
Number of Shares | Value† | ||||||||||
Quest Diagnostics, Inc. | (76,400 | ) | $ | (5,191,380 | ) | ||||||
(10,444,652 | ) | ||||||||||
Hotels, Restaurants & Leisure (0.3%) | |||||||||||
BJ's Restaurants, Inc. | (79,925 | ) | (3,431,180 | )* | |||||||
Chuy's Holdings, Inc. | (229,200 | ) | (6,236,532 | )* | |||||||
(9,667,712 | ) | ||||||||||
IT Services (0.9%) | |||||||||||
CGI Group, Inc. | (234,262 | ) | (8,700,491 | )* | |||||||
Cognizant Technology Solutions Corp. Class A | (269,400 | ) | (18,348,834 | )* | |||||||
NeuStar, Inc. Class A | (90,000 | ) | (2,447,100 | )* | |||||||
(29,496,425 | ) | ||||||||||
Multi-Utilities (0.4%) | |||||||||||
Consolidated Edison, Inc. | (200,000 | ) | (13,150,000 | ) | |||||||
Multiline Retail (0.3%) | |||||||||||
Target Corp. | (108,000 | ) | (8,335,440 | ) | |||||||
Oil, Gas & Consumable Fuels (1.1%) | |||||||||||
Dominion Midstream Partners LP | (238,084 | ) | (7,799,632 | ) | |||||||
Magellan Midstream Partners LP | (266,600 | ) | (17,011,746 | ) | |||||||
Phillips 66 Partners LP | (165,503 | ) | (10,036,102 | ) | |||||||
(34,847,480 | ) | ||||||||||
Semiconductors & Semiconductor Equipment (0.3%) | |||||||||||
Avago Technologies Ltd. | (93,452 | ) | (11,506,745 | ) | |||||||
Specialty Retail (0.8%) | |||||||||||
Group 1 Automotive, Inc. | (93,600 | ) | (8,138,520 | ) | |||||||
Sally Beauty Holdings, Inc. | (370,000 | ) | (8,698,700 | )* | |||||||
Sonic Automotive, Inc. Class A | (440,060 | ) | (10,975,096 | ) | |||||||
(27,812,316 | ) |
Number of Shares | Value† | ||||||||||
Technology Hardware, Storage & Peripherals (0.5%) | |||||||||||
Seagate Technology PLC | (419,100 | ) | $ | (15,950,946 | ) | ||||||
Textiles, Apparel & Luxury Goods (0.5%) | |||||||||||
Ralph Lauren Corp. | (85,800 | ) | (9,504,066 | ) | |||||||
Tumi Holdings, Inc. | (330,500 | ) | (5,297,915 | )* | |||||||
(14,801,981 | ) | ||||||||||
Total Common Stocks Sold Short (Proceeds $(266,428,209)) | (261,036,909 | ) | |||||||||
Exchange Traded Funds Sold Short (3.9%) | |||||||||||
Consumer Discretionary Select Sector SPDR Fund | (248,000 | ) | (20,080,560 | ) | |||||||
iShares Core S&P Small-Cap ETF | (77,000 | ) | (8,704,850 | ) | |||||||
iShares Russell 2000 ETF | (57,800 | ) | (6,666,652 | ) | |||||||
iShares Russell Mid-Cap ETF | (220,000 | ) | (36,324,200 | ) | |||||||
SPDR S&P Retail ETF | (296,500 | ) | (13,606,385 | ) | |||||||
Utilities Select Sector SPDR Fund | (530,000 | ) | (23,187,500 | ) | |||||||
Vanguard REIT ETF | (250,000 | ) | (19,972,500 | ) | |||||||
Total Exchange Traded Funds Sold Short (Proceeds $(112,387,791)) | (128,542,647 | ) | |||||||||
Total Short Positions (Proceeds $(378,816,000)) | (389,579,556 | ) |
See Notes to Schedule of Investments
Schedule of Investments Long Short Credit Fund 10/31/15
Number of Shares | Value† | ||||||||||
Long Positions (27.5%) | |||||||||||
Common Stocks (0.6%) | |||||||||||
Oil, Gas & Consumable Fuels (0.4%) | |||||||||||
Kinder Morgan, Inc. | 5,000 | $ | 136,750 | ||||||||
Real Estate Investment Trusts (0.2%) | |||||||||||
Annaly Capital Management, Inc. | 5,000 | 49,750 | |||||||||
Total Common Stocks (Cost $212,506) | 186,500 | ||||||||||
Principal Amounta | |||||||||||
Corporate Debt Securities (26.9%) | |||||||||||
Diversified Financial Services (0.9%) | |||||||||||
Nationstar Mortgage LLC/Nationstar Capital Corp., Guaranteed Notes, 9.63%, due 5/1/19 | $ | 250,000 | 257,188 | ||||||||
Media (2.5%) | |||||||||||
Cablevision Systems Corp., Senior Unsecured Notes, 8.63%, due 9/15/17 | 250,000 | 266,875 | |||||||||
CSC Holdings LLC, Senior Unsecured Notes, 7.88%, due 2/15/18 | 300,000 | 318,000 | |||||||||
WideOpenWest Finance LLC/ WideOpenWest Capital Corp., Guaranteed Notes, 13.38%, due 10/15/19 | 150,000 | 152,625 | |||||||||
737,500 | |||||||||||
Mining (1.3%) | |||||||||||
First Quantum Minerals Ltd., Guaranteed Notes, 7.25%, due 10/15/19 | 200,000 | 156,000 | ñ | ||||||||
FMG Resources (August 2006) Pty Ltd., Guaranteed Notes, 6.88%, due 4/1/22 | 100,000 | 71,500 | ñ |
Principal Amounta | Value† | ||||||||||
HudBay Minerals, Inc., Guaranteed Notes, 9.50%, due 10/1/20 | $ | 200,000 | $ | 174,500 | |||||||
402,000 | |||||||||||
Oil & Gas (7.7%) | |||||||||||
California Resources Corp., Guaranteed Notes, 5.00%, due 1/15/20 | 100,000 | 72,750 | |||||||||
Chesapeake Energy Corp., Guaranteed Notes, 6.50%, due 8/15/17 | 900,000 | 826,875 | |||||||||
Citgo Holding, Inc., Senior Secured Notes, 10.75%, due 2/15/20 | 250,000 | 251,250 | ñ | ||||||||
Drill Rigs Holdings, Inc., Senior Secured Notes, 6.50%, due 10/1/17 | 200,000 | 136,376 | ñ | ||||||||
Harvest Operations Corp., Guaranteed Notes, 6.88%, due 10/1/17 | 250,000 | 210,000 | |||||||||
PBF Holding Co. LLC/PBF Finance Corp., Senior Secured Notes, 8.25%, due 2/15/20 | 415,000 | 435,750 | |||||||||
Seadrill Ltd., Senior Unsecured Notes, 6.13%, due 9/15/17 | 500,000 | 372,500 | ñ** | ||||||||
2,305,501 | |||||||||||
Packing & Containers (4.8%) | |||||||||||
Ardagh Packaging Finance PLC, Guaranteed Notes, 9.25%, due 10/15/20 | EUR | 375,000 | 432,885 |
Principal Amounta | Value† | ||||||||||
Beverage Packaging Holdings Luxembourg II SA/Beverage Packaging Holdings II Issuer, Inc., Guaranteed Notes, 6.00%, due 6/15/17 | $ | 1,000,000 | $ | 1,005,000 | ñ | ||||||
1,437,885 | |||||||||||
Software (1.8%) | |||||||||||
First Data Corp., Secured Notes, 8.75%, due 1/15/22 | 250,000 | 263,250 | ñ | ||||||||
First Data Corp., Guaranteed Notes, 12.63%, due 1/15/21 | 250,000 | 286,562 | |||||||||
549,812 | |||||||||||
Telecommunications (7.9%) | |||||||||||
EarthLink Holdings Corp., Senior Secured Notes, 7.38%, due 6/1/20 | 550,000 | 572,000 | |||||||||
EarthLink, Inc., Guaranteed Notes, 8.88%, due 5/15/19 | 150,000 | 154,875 | |||||||||
Intelsat Jackson Holdings SA, Guaranteed Notes, 7.25%, due 4/1/19 | 250,000 | 235,000 | |||||||||
Intelsat Luxembourg SA, Guaranteed Notes, 6.75%, due 6/1/18 | 200,000 | 177,500 | |||||||||
Intelsat Luxembourg SA, Guaranteed Notes, 8.13%, due 6/1/23 | 200,000 | 118,500 | |||||||||
Sprint Communications, Inc., Senior Unsecured Notes, 8.38%, due 8/15/17 | 650,000 | 665,437 |
See Notes to Schedule of Investments
Schedule of Investments Long Short Credit Fund (cont'd)
Principal Amounta | Value† | ||||||||||
Sprint Corp., $ Guaranteed Notes, 7.13%, due 6/15/24 | 250,000 | $ | 219,688 | ||||||||
Sprint Nextel Corp., Guaranteed Notes, 9.00%, due 11/15/18 | 200,000 | 219,874 | ñ | ||||||||
2,362,874 | |||||||||||
Total Corporate Debt Securities (Cost $8,424,112) | 8,052,760 | ||||||||||
Total Long Positions (27.5%) (Cost $8,636,618) | 8,239,260 | ## | |||||||||
Cash, receivables and other assets, less liabilities (75.7%) | 22,693,853 | @@ØØe | |||||||||
Short Positions (see summary below) ((3.2)%) | (966,854 | ) | |||||||||
Total Net Assets (100.0%) | $ | 29,966,259 | |||||||||
Short Positions ((3.2)%)‡ | |||||||||||
Corporate Debt Securities Sold Short ((2.5)%) | |||||||||||
Healthcare—Services (1.8%) | |||||||||||
HCA, Inc., Guaranteed Notes, 5.38%, due 2/1/25 | (200,000 | ) | (206,750 | ) | |||||||
Tenet Healthcare Corp., Senior Unsecured Notes, 6.75%, due 6/15/23 | (350,000 | ) | (353,063 | ) | |||||||
(559,813 | ) | ||||||||||
Lodging (0.7%) | |||||||||||
MGM Resorts Int'l, Guaranteed Notes, 6.00%, due 3/15/23 | (200,000 | ) | (205,000 | ) | |||||||
Total Corporate Debt Securities Sold Short (Cost $755,185) | (764,813 | ) |
Principal Amounta | Value† | ||||||||||
Government Securities Sold Short (0.7%) | |||||||||||
Sovereign (0.7%) | |||||||||||
South Africa Government International Bond, Senior Unsecured Notes, 4.67%, due 1/17/24 (Cost $201,481) | $ | (200,000 | ) | $ | (202,041 | ) | |||||
Total Short Positions (Proceeds $(956,666)) | (966,854 | ) |
See Notes to Schedule of Investments
Schedule of Investments Multi-Asset Income Fund 10/31/15
Number of Shares | Value† | ||||||||
Common Stocks (40.9%) | |||||||||
Aerospace & Defense (0.8%) | |||||||||
BAE Systems PLC | 946 | $ | 6,421 | ||||||
General Dynamics Corp. | 88 | 13,075 | |||||||
L-3 Communications Holdings, Inc. | 48 | 6,067 | |||||||
Lockheed Martin Corp. | 370 | 81,337 | |||||||
Northrop Grumman Corp. | 30 | 5,633 | |||||||
Raytheon Co. | 16 | 1,878 | |||||||
114,411 | |||||||||
Air Freight & Logistics (0.3%) | |||||||||
United Parcel Service, Inc. Class B | 443 | 45,638 | @ | ||||||
Airlines (0.2%) | |||||||||
Cathay Pacific Airways Ltd. | 7,000 | 13,847 | |||||||
easyJet PLC | 188 | 5,072 | |||||||
Japan Airlines Co. Ltd. | 200 | 7,535 | |||||||
Singapore Airlines Ltd. | 1,000 | 7,693 | |||||||
34,147 | |||||||||
Automobiles (0.3%) | |||||||||
General Motors Co. | 800 | 27,928 | |||||||
Porsche Automobil Holding SE (Preference Shares) | 41 | 1,920 | |||||||
Renault SA | 102 | 9,616 | |||||||
39,464 | |||||||||
Banks (1.2%) | |||||||||
Australia & New Zealand Banking Group Ltd. | 1,613 | 31,196 | |||||||
Banca Popolare di Sondrio SCARL | 528 | 2,412 | |||||||
Barclays PLC | 3,244 | 11,602 | |||||||
BOC Hong Kong Holdings Ltd. | 2,000 | 6,395 | |||||||
Dah Sing Banking Group Ltd. | 1,200 | 2,274 | |||||||
Danske Bank A/S | 116 | 3,190 | |||||||
DBS Group Holdings Ltd. | 4 | 49 | |||||||
Hang Seng Bank Ltd. | 300 | 5,488 |
Number of Shares | Value† | ||||||||
HSBC Holdings PLC | 3 | $ | 24 | ||||||
ING Groep NV | 343 | 4,992 | |||||||
Intesa Sanpaolo SpA | 712 | 2,275 | |||||||
Intesa Sanpaolo SpA | 953 | 3,320 | |||||||
JPMorgan Chase & Co. | 1,021 | 65,599 | |||||||
Oversea-Chinese Banking Corp. Ltd. | 8 | 51 | |||||||
PNC Financial Services Group, Inc. | 17 | 1,534 | |||||||
Resona Holdings, Inc. | 400 | 2,117 | |||||||
Societe Generale SA | 89 | 4,141 | |||||||
UniCredit SpA | 602 | 3,893 | |||||||
Wells Fargo & Co. | 650 | 35,191 | |||||||
185,743 | |||||||||
Beverages (0.5%) | |||||||||
Coca-Cola Co. | 1,227 | 51,963 | @ | ||||||
PepsiCo, Inc. | 308 | 31,475 | ØØ | ||||||
83,438 | |||||||||
Biotechnology (0.1%) | |||||||||
Amgen, Inc. | 103 | 16,293 | @ | ||||||
CSL Ltd. | 56 | 3,722 | |||||||
20,015 | |||||||||
Capital Markets (0.4%) | |||||||||
3i Group PLC | 2,047 | 15,810 | |||||||
BlackRock, Inc. | 9 | 3,168 | |||||||
FS Investment Corp. | 3,150 | 30,744 | |||||||
Macquarie Group Ltd. | 42 | 2,543 | |||||||
UBS Group AG | 800 | 16,009 | |||||||
68,274 | |||||||||
Chemicals (1.0%) | |||||||||
Air Products & Chemicals, Inc. | 13 | 1,806 | |||||||
BASF SE | 514 | 42,126 | |||||||
Dow Chemical Co. | 382 | 19,738 | @ | ||||||
E.I. du Pont de Nemours & Co. | 692 | 43,873 | |||||||
LyondellBasell Industries NV Class A | 480 | 44,597 | |||||||
152,140 | |||||||||
Communications Equipment (0.6%) | |||||||||
Cisco Systems, Inc. | 3,249 | 93,734 | @ | ||||||
Telefonaktiebolaget LM Ericsson B Shares | 236 | 2,302 | |||||||
96,036 |
Number of Shares | Value† | ||||||||
Construction & Engineering (0.1%) | |||||||||
Vinci SA | 261 | $ | 17,617 | ||||||
Containers & Packaging (0.1%) | |||||||||
Amcor Ltd. | 244 | 2,357 | |||||||
BillerudKorsnas AB | 152 | 2,756 | |||||||
DS Smith PLC | 1,456 | 8,686 | |||||||
13,799 | |||||||||
Distributors (0.0%) | |||||||||
Jardine Cycle & Carriage Ltd. | 200 | 4,631 | |||||||
Diversified Financial Services (0.5%) | |||||||||
CME Group, Inc. | 668 | 63,106 | |||||||
Industrivarden AB, C Shares | 493 | 8,973 | |||||||
72,079 | |||||||||
Diversified Telecommunication Services (1.3%) | |||||||||
AT&T, Inc. | 1,252 | 41,955 | @ | ||||||
BT Group PLC ADR | 980 | 70,237 | |||||||
Elisa OYJ | 70 | 2,639 | |||||||
Frontier Communications Corp. | 5,400 | 27,756 | |||||||
Nippon Telegraph & Telephone Corp. | 100 | 3,666 | |||||||
PCCW Ltd. | 4,003 | 2,145 | |||||||
Singapore Telecommunications Ltd. | 2,700 | 7,629 | |||||||
Swisscom AG | 5 | 2,580 | |||||||
TDC A/S | 369 | 1,934 | |||||||
Telenor ASA | 788 | 14,866 | |||||||
TeliaSonera AB | 2,772 | 14,188 | |||||||
Telstra Corp. Ltd. | 2,948 | 11,296 | |||||||
200,891 | |||||||||
Electric Utilities (1.6%) | |||||||||
American Electric Power Co., Inc. | 62 | 3,512 | |||||||
BKW AG | 61 | 2,318 | |||||||
Cheung Kong Infrastructure Holdings Ltd. | 1,000 | 9,309 | |||||||
CLP Holdings Ltd. | 1,000 | 8,726 | |||||||
Duke Energy Corp. | 160 | 11,435 | |||||||
EDP—Energias de Portugal SA | 3,471 | 12,855 | |||||||
Endesa SA | 213 | 4,743 | |||||||
Enel SpA | 1,672 | 7,715 | |||||||
Entergy Corp. | 101 | 6,884 | |||||||
Exelon Corp. | 1,050 | 29,316 | |||||||
FirstEnergy Corp. | 51 | 1,591 | |||||||
Fortum OYJ | 318 | 4,773 | |||||||
Hawaiian Electric Industries, Inc. | 223 | 6,525 |
See Notes to Schedule of Investments
Schedule of Investments Multi-Asset Income Fund (cont'd)
Number of Shares | Value† | ||||||||||
NextEra Energy, Inc. | 896 | $ | 91,984 | ||||||||
Power Assets Holdings Ltd. | 1,000 | 9,959 | |||||||||
PPL Corp. | 377 | 12,969 | |||||||||
SSE PLC | 642 | 14,994 | |||||||||
Terna Rete Elettrica Nazionale SpA | 514 | 2,616 | |||||||||
Tohoku Electric Power Co., Inc. | 200 | 2,808 | |||||||||
245,032 | |||||||||||
Electrical Equipment (0.0%) | |||||||||||
Eaton Corp. PLC | 74 | 4,137 | |||||||||
Emerson Electric Co. | 35 | 1,653 | |||||||||
5,790 | |||||||||||
Electronic Equipment, Instruments & Components (0.2%) | |||||||||||
Avnet, Inc. | 229 | 10,403 | @ | ||||||||
AVX Corp. | 767 | 10,355 | |||||||||
Corning, Inc. | 249 | 4,631 | |||||||||
25,389 | |||||||||||
Energy Equipment & Services (0.3%) | |||||||||||
Schlumberger Ltd. | 600 | 46,896 | |||||||||
Food & Staples Retailing (0.5%) | |||||||||||
Axfood AB | 138 | 2,489 | |||||||||
J Sainsbury PLC | 2,733 | 11,224 | |||||||||
Wal-Mart Stores, Inc. | 352 | 20,148 | @ | ||||||||
Walgreens Boots Alliance, Inc. | 22 | 1,863 | |||||||||
Wesfarmers Ltd. | 646 | 18,065 | |||||||||
WM Morrison Supermarkets PLC | 3,378 | 8,775 | |||||||||
Woolworths Ltd. | 797 | 13,654 | |||||||||
76,218 | |||||||||||
Food Products (0.2%) | |||||||||||
Archer-Daniels- Midland Co. | 192 | 8,767 | |||||||||
Campbell Soup Co. | 135 | 6,857 | |||||||||
ConAgra Foods, Inc. | 205 | 8,313 | |||||||||
General Mills, Inc. | 51 | 2,963 | |||||||||
Wilmar International Ltd. | 2,300 | 5,125 | |||||||||
32,025 | |||||||||||
Gas Utilities (0.4%) | |||||||||||
AGL Resources, Inc. | 129 | 8,063 | |||||||||
AmeriGas Partners LP | 800 | 34,112 | |||||||||
Atmos Energy Corp. | 72 | 4,536 |
Number of Shares | Value† | ||||||||||
Snam SpA | 1,652 | $ | 8,556 | ||||||||
55,267 | |||||||||||
Health Care Providers & Services (0.1%) | |||||||||||
Anthem, Inc. | 45 | 6,262 | |||||||||
Primary Health Care Ltd. | 44 | 116 | |||||||||
Ramsay Health Care Ltd. | 89 | 3,912 | |||||||||
Sonic Healthcare Ltd. | 263 | 3,597 | |||||||||
13,887 | |||||||||||
Hotels, Restaurants & Leisure (0.7%) | |||||||||||
Betfair Group PLC | 47 | 2,338 | |||||||||
Carnival Corp. | 300 | 16,224 | @ | ||||||||
Carnival PLC | 47 | 2,621 | |||||||||
Cedar Fair LP | 1,000 | 56,000 | |||||||||
Echo Entertainment Group Ltd. | 1,275 | 4,608 | |||||||||
McDonald's Corp. | 125 | 14,031 | |||||||||
Sands China Ltd. | 400 | 1,440 | |||||||||
Tabcorp Holdings Ltd. | 1,925 | 6,434 | |||||||||
Tatts Group Ltd. | 901 | 2,530 | |||||||||
106,226 | |||||||||||
Household Durables (0.1%) | |||||||||||
Barratt Developments PLC | 429 | 4,051 | |||||||||
Iida Group Holdings Co. Ltd. | 100 | 1,874 | |||||||||
Persimmon PLC | 279 | 8,576 | * | ||||||||
Redrow PLC | 316 | 2,261 | |||||||||
Taylor Wimpey PLC | 1,396 | 4,261 | |||||||||
21,023 | |||||||||||
Household Products (1.2%) | |||||||||||
Colgate-Palmolive Co. | 26 | 1,725 | |||||||||
Kimberly-Clark Corp. | 579 | 69,312 | |||||||||
Procter & Gamble Co. | 1,349 | 103,037 | @ | ||||||||
Svenska Cellulosa AB SCA, B Shares | 110 | 3,244 | |||||||||
177,318 | |||||||||||
Independent Power and Renewable Electricity Producers (0.5%) | |||||||||||
NextEra Energy Partners LP | 1,225 | 32,168 | |||||||||
NRG Yield, Inc. Class A | 650 | 8,925 | |||||||||
NRG Yield, Inc. Class C | 1,850 | 26,714 |
Number of Shares | Value† | ||||||||||
TerraForm Power, Inc. Class A | 800 | $ | 14,600 | * | |||||||
82,407 | |||||||||||
Industrial Conglomerates (0.7%) | |||||||||||
General Electric Co. | 1,700 | 49,164 | |||||||||
Koninklijke Philips NV | 1,050 | 28,287 | |||||||||
Siemens AG ADR | 250 | 25,142 | |||||||||
102,593 | |||||||||||
Insurance (2.0%) | |||||||||||
Aegon NV | 995 | 6,132 | |||||||||
Aflac, Inc. | 88 | 5,610 | |||||||||
Allianz SE | 308 | 53,971 | |||||||||
AXA SA | 1,326 | 35,469 | |||||||||
Direct Line Insurance Group PLC | 831 | 5,052 | |||||||||
Insurance Australia Group Ltd. | 694 | 2,759 | |||||||||
Legal & General Group PLC | 3,055 | 12,320 | |||||||||
MetLife, Inc. | 1,053 | 53,050 | |||||||||
Muenchener Rueckversicherungs- Gesellschaft AG in Muenchen | 114 | 22,753 | |||||||||
NN Group NV | 103 | 3,236 | |||||||||
Old Mutual PLC | 4,035 | 13,206 | |||||||||
Progressive Corp. | 123 | 4,075 | |||||||||
Prudential Financial, Inc. | 79 | 6,517 | |||||||||
QBE Insurance Group Ltd. | 470 | 4,399 | |||||||||
Sampo Oyj, A Shares | 151 | 7,386 | |||||||||
Standard Life PLC | 451 | 2,926 | |||||||||
Swiss Life Holding AG | 10 | 2,389 | * | ||||||||
Swiss Re AG | 236 | 21,942 | |||||||||
Travelers Cos., Inc. | 72 | 8,128 | |||||||||
Unipol Gruppo Finanziario SpA | 1,273 | 5,935 | |||||||||
Zurich Insurance Group AG | 98 | 25,907 | * | ||||||||
303,162 | |||||||||||
Internet Software & Services (0.0%) | |||||||||||
Moneysuper market.com Group PLC | 705 | 3,632 | |||||||||
IT Services (0.3%) | |||||||||||
Amdocs Ltd. | 131 | 7,804 | |||||||||
Automatic Data Processing, Inc. | 52 | 4,523 | |||||||||
IBM Corp. | 185 | 25,915 | @ | ||||||||
Xerox Corp. | 561 | 5,268 | @ | ||||||||
43,510 |
See Notes to Schedule of Investments
Schedule of Investments Multi-Asset Income Fund (cont'd)
Number of Shares | Value† | ||||||||||
Leisure Products (0.3%) | |||||||||||
Hasbro, Inc. | 550 | $ | 42,256 | ||||||||
Machinery (0.0%) | |||||||||||
Stanley Black & Decker, Inc. | 27 | 2,862 | |||||||||
Yangzijiang Shipbuilding Holdings Ltd. | 3,100 | 2,759 | |||||||||
5,621 | |||||||||||
Marine (0.1%) | |||||||||||
AP Moeller— Maersk A/S Class A | 3 | 4,297 | |||||||||
AP Moeller— Maersk A/S Class B | 2 | 2,949 | |||||||||
7,246 | |||||||||||
Media (0.5%) | |||||||||||
ITV PLC | 1,844 | 7,175 | |||||||||
Lagardere SCA | 1,100 | 32,067 | |||||||||
Pearson PLC | 3 | 40 | |||||||||
ProSiebenSat.1 Media SE | 59 | 3,191 | |||||||||
Regal Entertainment Group Class A | 1,200 | 23,256 | |||||||||
Stroeer SE | 41 | 2,587 | |||||||||
Tokyo Broadcasting System Holdings, Inc. | 100 | 1,486 | |||||||||
69,802 | |||||||||||
Metals & Mining (1.1%) | |||||||||||
Anglo American PLC | 410 | 3,455 | |||||||||
BHP Billiton Ltd. | 1,950 | 31,981 | |||||||||
BHP Billiton PLC | 818 | 13,121 | |||||||||
Boliden AB | 268 | 5,132 | |||||||||
Fortescue Metals Group Ltd. | 4,868 | 7,193 | |||||||||
Franco-Nevada Corp. | 650 | 32,948 | |||||||||
Glencore PLC | 1,026 | 1,779 | * | ||||||||
Rio Tinto Ltd. | 179 | 6,401 | |||||||||
Rio Tinto PLC | 833 | 30,287 | |||||||||
Southern Copper Corp. | 1,200 | 33,312 | |||||||||
voestalpine AG | 196 | 7,099 | |||||||||
172,708 | |||||||||||
Multi-Utilities (1.4%) | |||||||||||
AGL Energy Ltd. | 637 | 7,554 | |||||||||
Centrica PLC | 3,637 | 12,677 | |||||||||
Consolidated Edison, Inc. | 129 | 8,482 | |||||||||
Dominion Resources, Inc. | 1,075 | 76,787 | |||||||||
National Grid PLC | 1,951 | 27,815 |
Number of Shares | Value† | ||||||||||
NiSource, Inc. | 401 | $ | 7,683 | ||||||||
PG&E Corp. | 81 | 4,325 | |||||||||
Public Service Enterprise Group, Inc. | 116 | 4,790 | |||||||||
Sempra Energy | 275 | 28,163 | |||||||||
WEC Energy Group, Inc. | 600 | 30,936 | |||||||||
209,212 | |||||||||||
Multiline Retail (0.4%) | |||||||||||
Harvey Norman Holdings Ltd. | 1,976 | 5,552 | |||||||||
Marks & Spencer Group PLC | 958 | 7,576 | |||||||||
Target Corp. | 576 | 44,456 | |||||||||
57,584 | |||||||||||
Oil, Gas & Consumable Fuels (7.3%) | |||||||||||
Alliance Holdings GP LP | 1,325 | 38,769 | |||||||||
American Midstream Partners LP | 1,500 | 17,040 | |||||||||
BP PLC | 16 | 95 | |||||||||
Chevron Corp. | 243 | 22,084 | @ | ||||||||
Columbia Pipeline Group, Inc. | 850 | 17,654 | |||||||||
ConocoPhillips | 836 | 44,601 | |||||||||
Crestwood Equity Partners LP | 10,800 | 31,212 | |||||||||
CVR Energy, Inc. | 143 | 6,358 | |||||||||
Energy Transfer Equity LP | 3,050 | 65,727 | |||||||||
Energy Transfer Partners LP | 1,649 | 72,820 | |||||||||
Eni SpA | 191 | 3,121 | |||||||||
Enterprise Products Partners LP | 2,700 | 74,601 | |||||||||
ERG SpA | 163 | 2,314 | |||||||||
Exxon Mobil Corp. | 1,101 | 91,097 | @ | ||||||||
Golar LNG Ltd. | 850 | 24,658 | |||||||||
HollyFrontier Corp. | 177 | 8,668 | |||||||||
Kinder Morgan, Inc. | 900 | 24,615 | |||||||||
NuStar Energy LP | 600 | 30,390 | |||||||||
Occidental Petroleum Corp. | 47 | 3,503 | |||||||||
OMV AG | 279 | 7,425 | |||||||||
ONEOK, Inc. | 1,050 | 35,616 | |||||||||
PBF Energy, Inc. Class A | 167 | 5,678 | @ | ||||||||
Phillips 66 | 164 | 14,604 | @ | ||||||||
Plains GP Holdings LP Class A | 1,700 | 26,435 | |||||||||
Repsol SA | 929 | 11,723 |
Number of Shares | Value† | ||||||||||
Royal Dutch Shell PLC, A Shares | 2,121 | $ | 55,258 | ||||||||
Royal Dutch Shell PLC, B Shares | 1,092 | 28,618 | |||||||||
Spectra Energy Corp. | 1,538 | 43,941 | |||||||||
Statoil ASA | 664 | 10,644 | |||||||||
Teekay Corp. | 1,300 | 41,769 | |||||||||
Teekay LNG Partners LP | 1,725 | 42,849 | |||||||||
Tesoro Corp. | 25 | 2,673 | |||||||||
TOTAL SA | 1,319 | 64,030 | |||||||||
Valero Energy Corp. | 326 | 21,490 | @ | ||||||||
Western Gas Equity Partners LP | 700 | 30,191 | |||||||||
Western Gas Partners LP | 725 | 37,062 | |||||||||
Western Refining, Inc. | 38 | 1,582 | |||||||||
Williams Cos., Inc. | 1,525 | 60,146 | |||||||||
Woodside Petroleum Ltd. | 163 | 3,419 | |||||||||
1,124,480 | |||||||||||
Paper & Forest Products (0.2%) | |||||||||||
Domtar Corp. | 168 | 6,928 | @ | ||||||||
International Paper Co. | 39 | 1,665 | |||||||||
Mondi PLC | 259 | 6,005 | |||||||||
Portucel SA | 647 | 2,636 | |||||||||
Stora Enso Oyj, R Shares | 273 | 2,535 | |||||||||
UPM-Kymmene OYJ | 870 | 16,312 | |||||||||
36,081 | |||||||||||
Personal Products (0.3%) | |||||||||||
Unilever NV | 900 | 40,482 | |||||||||
Pharmaceuticals (3.9%) | |||||||||||
Almirall SA | 121 | 2,332 | |||||||||
AstraZeneca PLC | 836 | 53,491 | |||||||||
Bristol-Myers Squibb Co. | 996 | 65,686 | @ | ||||||||
Eli Lilly & Co. | 553 | 45,108 | |||||||||
GlaxoSmithKline PLC | 3,134 | 67,881 | |||||||||
GlaxoSmithKline PLC ADR | 1,150 | 49,519 | |||||||||
Johnson & Johnson | 1,037 | 104,768 | @ | ||||||||
Merck & Co., Inc. | 615 | 33,616 | @ | ||||||||
Pfizer, Inc. | 2,300 | 77,786 | @ | ||||||||
Recordati SpA | 215 | 5,346 | |||||||||
Sanofi | 818 | 82,620 | |||||||||
Takeda Pharmaceutical Co. Ltd. | 300 | 14,650 | |||||||||
602,803 |
See Notes to Schedule of Investments
Schedule of Investments Multi-Asset Income Fund (cont'd)
Number of Shares | Value† | ||||||||||
Real Estate Investment Trusts (4.8%) | |||||||||||
Altisource Residential Corp. | 640 | $ | 9,210 | ||||||||
American Campus Communities, Inc. | 350 | 14,199 | |||||||||
Annaly Capital Management, Inc. | 1,150 | 11,442 | |||||||||
AvalonBay Communities, Inc. | 200 | 34,966 | |||||||||
Blackstone Mortgage Trust, Inc. Class A | 450 | 12,384 | |||||||||
Brandywine Realty Trust | 912 | 12,312 | |||||||||
Care Capital Properties, Inc. | 85 | 2,801 | |||||||||
CBL & Associates Properties, Inc. | 1,075 | 15,673 | |||||||||
Corporate Office Properties Trust | 634 | 14,582 | |||||||||
Crown Castle International Corp. | 740 | 63,240 | |||||||||
Digital Realty Trust, Inc. | 300 | 22,188 | |||||||||
EPR Properties | 265 | 15,055 | |||||||||
Equinix, Inc. | 200 | 59,336 | |||||||||
HCP, Inc. | 300 | 11,160 | |||||||||
Highwoods Properties, Inc. | 375 | 16,294 | |||||||||
Kimco Realty Corp. | 970 | 25,967 | |||||||||
LaSalle Hotel Properties | 320 | 9,411 | |||||||||
Liberty Property Trust | 430 | 14,629 | |||||||||
Mid-America Apartment Communities, Inc. | 200 | 17,038 | |||||||||
National Retail Properties, Inc. | 323 | 12,274 | |||||||||
NorthStar Realty Finance Corp. | 942 | 11,313 | |||||||||
OMEGA Healthcare Investors, Inc. | 425 | 14,671 | |||||||||
Prologis, Inc. | 1,240 | 52,985 | |||||||||
Public Storage | 111 | 25,470 | |||||||||
Retail Opportunity Investments Corp. | 475 | 8,612 | |||||||||
RLJ Lodging Trust | 260 | 6,523 | |||||||||
Simon Property Group, Inc. | 283 | 57,013 | |||||||||
Spirit Realty Capital, Inc. | 1,210 | 12,318 | |||||||||
STAG Industrial, Inc. | 720 | 14,774 |
Number of Shares | Value† | ||||||||||
Starwood Property Trust, Inc. | 1,785 | $ | 35,861 | ||||||||
Sun Communities, Inc. | 125 | 8,378 | |||||||||
Ventas, Inc. | 403 | 21,649 | |||||||||
Welltower, Inc. | 234 | 15,180 | |||||||||
Weyerhaeuser Co. | 1,645 | 48,248 | |||||||||
WP GLIMCHER, Inc. | 1,100 | 12,782 | |||||||||
739,938 | |||||||||||
Real Estate Management & Development (0.1%) | |||||||||||
Brookfield Property Partners LP | 650 | 15,301 | * | ||||||||
Semiconductors & Semiconductor Equipment (0.7%) | |||||||||||
ASM International NV | 62 | 2,373 | |||||||||
Intel Corp. | 899 | 30,440 | @ | ||||||||
KLA-Tencor Corp. | 47 | 3,154 | |||||||||
Maxim Integrated Products, Inc. | 600 | 24,588 | |||||||||
Texas Instruments, Inc. | 726 | 41,179 | @ | ||||||||
101,734 | |||||||||||
Software (1.0%) | |||||||||||
Microsoft Corp. | 2,376 | 125,073 | @ | ||||||||
Oracle Corp. | 750 | 29,130 | |||||||||
154,203 | |||||||||||
Specialty Retail (0.4%) | |||||||||||
Best Buy Co., Inc. | 928 | 32,508 | |||||||||
Foot Locker, Inc. | 161 | 10,908 | |||||||||
Hennes & Mauritz AB, B Shares | 200 | 7,779 | |||||||||
Kingfisher PLC | 427 | 2,324 | |||||||||
L Brands, Inc. | 107 | 10,270 | @ | ||||||||
TJX Cos., Inc. | 41 | 3,001 | |||||||||
66,790 | |||||||||||
Technology Hardware, Storage & Peripherals (0.3%) | |||||||||||
Apple, Inc. | 250 | 29,875 | |||||||||
Canon, Inc. | 400 | 11,945 | |||||||||
41,820 | |||||||||||
Thrifts & Mortgage Finance (0.1%) | |||||||||||
New York Community Bancorp, Inc. | 434 | 7,170 | |||||||||
Tobacco (1.4%) | |||||||||||
Altria Group, Inc. | 588 | 35,556 | @ | ||||||||
British American Tobacco PLC | 1,032 | 61,402 | |||||||||
Imperial Tobacco Group PLC | 659 | 35,547 |
Number of Shares | Value† | ||||||||||
Imperial Tobacco Group PLC ADR | 350 | $ | 37,720 | ||||||||
Philip Morris International, Inc. | 382 | 33,769 | @ | ||||||||
Reynolds American, Inc. | 319 | 15,414 | |||||||||
219,408 | |||||||||||
Transportation Infrastructure (0.0%) | |||||||||||
Atlantia SpA | 120 | 3,325 | |||||||||
Wireless Telecommunication Services (0.4%) | |||||||||||
Vodafone Group PLC | 19,301 | 63,749 | |||||||||
Total Common Stocks (Cost $6,576,567) | 6,270,411 | ||||||||||
Preferred Stocks (2.0%) | |||||||||||
Real Estate Investment Trusts (2.0%) | |||||||||||
Alexandria Real Estate Equities, Inc., Ser. E, 6.45% | 600 | 15,402 | |||||||||
Apartment Investment & Management Co., Ser. A, 6.88% | 600 | 15,660 | |||||||||
Ashford Hospitality Trust, Inc., Ser. D, 8.45% | 600 | 15,138 | |||||||||
Cedar Realty Trust, Inc., Ser. B, 7.25% | 600 | 14,994 | |||||||||
CubeSmart, Ser. A, 7.75% | 600 | 15,786 | |||||||||
DuPont Fabros Technology, Inc., Ser. B, 7.63% | 600 | 15,300 | |||||||||
Equity Commonwealth, Ser. E, 7.25% | 600 | 15,354 | |||||||||
Essex Property Trust, Inc., Ser. H, 7.13% | 600 | 15,438 | |||||||||
First Potomac Realty Trust, Ser. A, 7.75% | 600 | 15,408 | |||||||||
General Growth Properties, Inc., Ser. A, 6.38% | 600 | 15,558 | |||||||||
Hersha Hospitality Trust, Ser. C, 6.88% | 600 | 15,330 | |||||||||
Kilroy Realty Corp., Ser. G, 6.88% | 600 | 15,408 | |||||||||
Kite Realty Group Trust, Ser. A, 8.25% | 600 | 15,300 |
See Notes to Schedule of Investments
Schedule of Investments Multi-Asset Income Fund (cont'd)
Number of Shares | Value† | ||||||||||
PS Business Parks, Inc., Ser. S, 6.45% | 600 | $ | 15,696 | ||||||||
Regency Centers Corp., Ser. 6, 6.63% | 600 | 15,588 | |||||||||
Retail Properties of America, Inc., Ser. A, 7.00% | 600 | 15,180 | |||||||||
Sabra Health Care REIT, Inc., Ser. A, 7.13% | 600 | 15,372 | |||||||||
SL Green Realty Corp., Ser. I, 6.50% | 600 | 15,732 | |||||||||
Sunstone Hotel Investors, Inc., Ser. D, 8.00% | 600 | 15,294 | |||||||||
VEREIT, Inc., Ser. F, 6.70% | 600 | 14,886 | |||||||||
Total Preferred Stocks (Cost $308,135) | 307,824 | ||||||||||
Principal Amount | |||||||||||
Convertible Bonds (0.3%) | |||||||||||
Real Estate Investment Trusts (0.3%) | |||||||||||
Extra Space Storage LP, Company Guranteed, 3.13%, due 10/1/35 (Cost $40,000) | $ | 40,000 | 42,350 | ñ | |||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government (6.3%) | |||||||||||
U.S. Treasury Bonds, 5.50%, due 8/15/28 | 65,000 | 87,647 | |||||||||
U.S. Treasury Bonds, 3.88%, due 8/15/40 | 10,000 | 11,848 | |||||||||
U.S. Treasury Bonds, 4.50%, due 2/15/36 | 20,000 | 26,019 | |||||||||
U.S. Treasury Bonds, 4.38%, due 11/15/39 | 90,000 | 114,891 | |||||||||
U.S. Treasury Bonds, 3.00%, due 11/15/44 | 330,000 | 334,263 | h | ||||||||
U.S. Treasury Inflation-Indexed Bonds, 1.75%, due 1/15/28 | 11,376 | 12,643 | |||||||||
U.S. Treasury Inflation-Indexed Bonds, 0.25%, due 1/15/25 | 25,156 | 24,192 |
Principal Amount | Value† | ||||||||||
U.S. Treasury Inflation-Indexed Bonds, 3.38%, due 4/15/32 | 201,404 | $ | 278,165 | ||||||||
U.S. Treasury | 10,000 | 10,547 | |||||||||
Notes, 2.75%, due 2/15/24 | |||||||||||
U.S. Treasury Notes, 1.63%, due 11/15/22 | 30,000 | 29,463 | |||||||||
U.S. Treasury Notes, 0.38%, due 3/31/16 | 40,000 | 40,021 | |||||||||
Total U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government (Cost $1,023,244) | 969,699 | ||||||||||
U.S. Government Agency Securities (0.8%) | |||||||||||
Federal Home Loan Bank, Bonds, 5.50%, due 7/15/36 (Cost $126,386) | 90,000 | 120,018 | |||||||||
Number of Shares | |||||||||||
Exchange Traded Funds (5.7%) | |||||||||||
iShares 10+ Year Credit Bond ETF | 6,600 | 379,500 | |||||||||
iShares Core U.S. Aggregate Bond ETF | 303 | 33,163 | |||||||||
SPDR Barclays International Treasury Bond ETF | 621 | 32,472 | * | ||||||||
SPDR Barclays Long Term Corporate Bond ETF | 9,800 | 380,828 | |||||||||
Vanguard S&P 500 ETF | 241 | 45,925 | |||||||||
Total Exchange Traded Funds (Cost $924,174) | 871,888 | ||||||||||
Mutual Funds (43.3%) | |||||||||||
Neuberger Berman Emerging Markets Debt Fund Institutional Class | 182,438 | 1,533,858 | §§ØØ | ||||||||
Neuberger Berman Floating Rate Income Fund Institutional Class | 193,562 | 1,907,671 | §§ØØ |
Number of Shares | Value† | ||||||||||
Neuberger Berman Global Long Short Fund Institutional Class | 43,732 | $ | 433,404 | §§ØØ | |||||||
Neuberger Berman High Income Bond Fund Institutional Class | 272,506 | 2,319,739 | §§ØØ | ||||||||
Neuberger | 45,159 | 440,252 | §§ØØ | ||||||||
Berman Long Short Credit Fund Institutional Class | |||||||||||
Total Mutual Funds (Cost $6,982,970) | 6,634,924 | ||||||||||
Short-Term Investments (1.0%) | |||||||||||
State Street Institutional Liquid Reserves Fund Premier Class, 0.15% (Cost $163,251) | 163,251 | 163,251 | dØØ | ||||||||
Total Investments (100.3%) (Cost $16,144,727) | 15,380,365 | ## | |||||||||
Liabilities, less cash, receivables and other assets [(0.3%)] | (49,436)e | ||||||||||
Total Net Assets (100.0%) | $ | 15,330,929 |
See Notes to Schedule of Investments
Notes to Schedule of Investments
† 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"), Neuberger Berman Long Short Credit Fund ("Long Short Credit") 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, exchange traded 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 services 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
Notes to Schedule of Investments (cont'd)
Convertible Bonds. Inputs used to value convertible bonds generally include underlying stock data, dealer quotes, conversion premiums, listed bond and preferred stock prices and other market information, which may include benchmark curves, trade execution data, and sensitivity analysis, when available.
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.
Emerging Markets Debt, Sovereign Debt and Quasi-Sovereign Debt. Inputs used to value emerging markets debt, sovereign debt and quasi-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 ("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 independent pricing services based on actual traded currency rates on independent pricing services' networks, along with other traded and quoted currency rates provided to the pricing services by leading market participants (Level 2 inputs).
The value of credit default swap contracts ("credit default swaps") is determined by Management by obtaining valuations from independent pricing services using a model that considers a number of factors, which may include default probabilities, credit curves, recovery rates and cash flows (Level 2 inputs).
The value of equity swap contracts ("equity swaps"), total return swap contracts ("total return swaps") and total return basket swap contracts ("total return basket swaps") is determined by Management by obtaining valuations from independent pricing services using the underlying index and stated London Interbank Offered Rate ("LIBOR") (Level 2 inputs).
Options and total return swaps on futures contracts that are traded over-the-counter ("OTC") are generally valued on the basis of quotations provided by broker-dealers or prices provided by pricing service providers who use a series of techniques including simulated pricing models and/or curve fitting (bootstrapping), which aids in determining the present value of the contracts. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, yield curves, credit curves, volatility surfaces, and exchange rates. These contracts are generally categorized as Level 2 within the fair value hierarchy.
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in non-exchange traded 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 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
See Notes to Financial Statements
Notes to Schedule of Investments (cont'd)
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 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 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 Funds' investments as of October 31, 2015:
Asset Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Flexible Select | |||||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks^ | $ | 83,799,706 | $ | — | $ | — | $ | 83,799,706 | |||||||||||
Mutual Funds | — | 11,665,809 | — | 11,665,809 | |||||||||||||||
Short-Term Investments | — | 3,211,986 | — | 3,211,986 | |||||||||||||||
Total Investments | 83,799,706 | 14,877,795 | — | 98,677,501 | |||||||||||||||
Global Allocation | |||||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks^ | |||||||||||||||||||
Australia | 83,756 | 129,977 | — | 213,733 | |||||||||||||||
Hong Kong | — | 70,310 | — | 70,310 | |||||||||||||||
Japan | — | 585,590 | — | 585,590 | |||||||||||||||
Singapore | — | 46,604 | — | 46,604 | |||||||||||||||
Other Common Stocksß | 11,935,377 | — | 11,935,377 | ||||||||||||||||
Total Common Stocks | 12,019,133 | 832,481 | — | 12,851,614 |
See Notes to Financial Statements
Notes to Schedule of Investments (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 | $ | — | $ | 1,088,885 | $ | — | $ | 1,088,885 | |||||||||||
U.S. Government Agency Securities | — | 33,338 | — | 33,338 | |||||||||||||||
Mortgage-Backed Securities^ | — | 155,296 | — | 155,296 | |||||||||||||||
Government Securities^ | — | 1,826,463 | — | 1,826,463 | |||||||||||||||
Exchange Traded Funds | 533,082 | — | — | 533,082 | |||||||||||||||
Mutual Funds | — | 8,705,314 | — | 8,705,314 | |||||||||||||||
Redeemable Preference Shares^ | — | 520 | — | 520 | |||||||||||||||
Short-Term Investments | — | 642,894 | — | 642,894 | |||||||||||||||
Total Long Positions | 12,552,215 | 13,285,191 | — | 25,837,406 | |||||||||||||||
Inflation Managed | |||||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks^ | 7,001,205 | — | — | 7,001,205 | |||||||||||||||
Government Securities | — | 2,077,376 | — | 2,077,376 | |||||||||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government | — | 2,205,995 | — | 2,205,995 | |||||||||||||||
Mutual Funds | — | 4,556,060 | — | 4,556,060 | |||||||||||||||
Short-Term Investments | — | 161,218 | — | 161,218 | |||||||||||||||
Total Investments | 7,001,205 | 9,000,649 | — | 16,001,854 | |||||||||||||||
Long Short | |||||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks^ | 2,360,036,381 | — | — | 2,360,036,381 | |||||||||||||||
Corporate Debt Securities^ | — | 131,027,014 | — | 131,027,014 | |||||||||||||||
Purchased Options | 59,520 | — | — | 59,520 | |||||||||||||||
Short-Term Investments | — | 721,758,598 | — | 721,758,598 | |||||||||||||||
Total Long Positions | 2,360,095,901 | 852,785,612 | — | 3,212,881,513 | |||||||||||||||
Long Short Credit | |||||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks^ | 186,500 | — | — | 186,500 | |||||||||||||||
Corporate Debt Securities^ | — | 8,052,760 | — | 8,052,760 | |||||||||||||||
Total Investments | 186,500 | 8,052,760 | — | 8,239,260 | |||||||||||||||
Multi-Asset Income | |||||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks | |||||||||||||||||||
Airlines | 5,072 | 29,075 | — | 34,147 | |||||||||||||||
Banks | 138,173 | 47,570 | — | 185,743 | |||||||||||||||
Biotechnology | 16,293 | 3,722 | — | 20,015 | |||||||||||||||
Capital Markets | 65,731 | 2,543 | — | 68,274 | |||||||||||||||
Containers & Packaging | 11,442 | 2,357 | — | 13,799 |
See Notes to Financial Statements
Notes to Schedule of Investments (cont'd)
Asset Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Distributors | $ | — | $ | 4,631 | $ | — | $ | 4,631 | |||||||||||
Diversified Telecommunication Services | 176,155 | 24,736 | — | 200,891 | |||||||||||||||
Electric Utilities | 214,230 | 30,802 | — | 245,032 | |||||||||||||||
Food & Staples Retailing | 44,499 | 31,719 | — | 76,218 | |||||||||||||||
Food Products | 26,900 | 5,125 | — | 32,025 | |||||||||||||||
Health Care Providers & Services | 6,262 | 7,625 | — | 13,887 | |||||||||||||||
Hotels, Restaurants & Leisure | 91,214 | 15,012 | — | 106,226 | |||||||||||||||
Household Durables | 19,149 | 1,874 | — | 21,023 | |||||||||||||||
Insurance | 296,004 | 7,158 | — | 303,162 | |||||||||||||||
Machinery | 2,862 | 2,759 | — | 5,621 | |||||||||||||||
Media | 68,316 | 1,486 | — | 69,802 | |||||||||||||||
Metals & Mining | 127,133 | 45,575 | — | 172,708 | |||||||||||||||
Multi-Utilities | 201,658 | 7,554 | — | 209,212 | |||||||||||||||
Multiline Retail | 52,032 | 5,552 | — | 57,584 | |||||||||||||||
Oil, Gas & Consumable Fuels | 1,121,061 | 3,419 | — | 1,124,480 | |||||||||||||||
Pharmaceuticals | 588,153 | 14,650 | — | 602,803 | |||||||||||||||
Technology Hardware, Storage & Peripherals | 29,875 | 11,945 | — | 41,820 | |||||||||||||||
Other Common Stocks^ | 2,661,308 | — | — | 2,661,308 | |||||||||||||||
Total Common Stocks | 5,963,522 | 306,889 | — | 6,270,411 | |||||||||||||||
Preferred Stocks^ | 307,824 | — | — | 307,824 | |||||||||||||||
Convertible Bonds^ | — | 42,350 | — | 42,350 | |||||||||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government | — | 969,699 | — | 969,699 | |||||||||||||||
U.S. Government Agency Securities | — | 120,018 | — | 120,018 | |||||||||||||||
Exchange Traded Funds | 871,888 | — | — | 871,888 | |||||||||||||||
Mutual Funds | — | 6,634,924 | — | 6,634,924 | |||||||||||||||
Short-Term Investments | — | 163,251 | — | 163,251 | |||||||||||||||
Total Investments | $ | 7,143,234 | $ | 8,237,131 | $ | — | $ | 15,380,365 |
^ The Schedule of Investments (or Long Positions by Industry for Global Allocation) provides information on the industry categorization for the portfolio.
The following is a summary, categorized by Level, of inputs used to value the Funds' derivatives as of October 31, 2015:
Asset Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Global Allocation | |||||||||||||||||||
Forward contracts (unrealized appreciation) | $ | — | $ | 151,897 | $ | — | $ | 151,897 | |||||||||||
Futures contracts (unrealized appreciation) | 74,148 | — | — | 74,148 | |||||||||||||||
Total | $ | 74,148 | $ | 151,897 | $ | — | $ | 226,045 |
See Notes to Financial Statements
Notes to Schedule of Investments (cont'd)
Asset Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Inflation Managed | |||||||||||||||||||
Futures contracts (unrealized appreciation) | $ | 8,105 | $ | — | $ | — | $ | 8,105 | |||||||||||
Total | $ | 8,105 | $ | — | $ | — | $ | 8,105 | |||||||||||
Long Short | |||||||||||||||||||
Futures contracts (unrealized appreciation) | $ | 139,820 | $ | — | $ | — | $ | 139,820 | |||||||||||
Swap contracts | — | 614,218 | — | 614,218 | |||||||||||||||
Total | $ | 139,820 | $ | 614,218 | $ | — | $ | 754,038 | |||||||||||
Long Short Credit | |||||||||||||||||||
Forward contracts (unrealized appreciation) | $ | — | $ | 9,676 | $ | — | $ | 9,676 | |||||||||||
Futures contracts (unrealized appreciation) | 4,613 | — | — | 4,613 | |||||||||||||||
Swap contracts | — | 144,335 | — | 144,335 | |||||||||||||||
Total | $ | 4,613 | $ | 154,011 | $ | — | $ | 158,624 | |||||||||||
Multi-Asset Income | |||||||||||||||||||
Forward contracts (unrealized appreciation) | $ | — | $ | 83,031 | $ | — | $ | 83,031 | |||||||||||
Futures contracts (unrealized appreciation) | 21,990 | — | — | 21,990 | |||||||||||||||
Total | $ | 21,990 | $ | 83,031 | $ | — | $ | 105,021 |
The following is a summary, categorized by Level, of inputs used to value the Funds' short investments as of October 31, 2015:
Liability Valuation Inputs | Level 1 | Level 2 | Level 3§ | Total | |||||||||||||||
Global Allocation | |||||||||||||||||||
Common Stocks Sold Short^ | |||||||||||||||||||
Australia | $ | (12,207 | ) | $ | (57,237 | ) | $ | — | $ | (69,444 | ) | ||||||||
Hong Kong | — | (35,476 | ) | — | (35,476 | ) | |||||||||||||
Ireland | (20,154 | ) | (14,201 | ) | — | (34,355 | ) | ||||||||||||
Japan | — | (185,975 | ) | — | (185,975 | ) | |||||||||||||
Singapore | — | (28,374 | ) | — | (28,374 | ) | |||||||||||||
Other Common Stocks Sold Shortß | (3,318,510 | ) | — | — | (3,318,510 | ) | |||||||||||||
Total Common Stocks Sold Short | (3,350,871 | ) | (321,263 | ) | — | (3,672,134 | ) | ||||||||||||
Redeemable Preference Shares Sold Short^ | — | (263 | ) | — | (263 | ) | |||||||||||||
Rights Sold Short^ | — | — | (17,518 | ) | (17,518 | ) | |||||||||||||
Total Short Positions | $ | (3,350,871 | ) | $ | (321,526 | ) | $ | (17,518 | ) | $ | (3,689,915 | ) | |||||||
Long Short | |||||||||||||||||||
Common Stocks Sold Short^ | $ | (261,036,909 | ) | $ | — | $ | — | $ | (261,036,909 | ) | |||||||||
Exchange Traded Funds Sold Short | (128,542,647 | ) | — | — | (128,542,647 | ) | |||||||||||||
Total Short Positions | $ | (389,579,556 | ) | $ | — | $ | — | $ | (389,579,556 | ) | |||||||||
Long Short Credit | |||||||||||||||||||
Corporate Debt Securities^ | $ | — | $ | (764,813 | ) | $ | — | $ | (764,813 | ) | |||||||||
Government Securities^ | — | (202,041 | ) | — | (202,041 | ) | |||||||||||||
Total Short Positions | $ | — | $ | (966,854 | ) | $ | — | $ | (966,854 | ) |
See Notes to Financial Statements
Notes to Schedule of Investments (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) | Change in unrealized appreciation/ (depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance, as of 10/31/15 | Net change in unrealized appreciation/ (depreciation) from investments still held as of 10/31/15 | ||||||||||||||||||||||||||||||||||
Investments in Securities: | |||||||||||||||||||||||||||||||||||||||||||
Global Allocation | |||||||||||||||||||||||||||||||||||||||||||
Rights Sold Short‡‡ | |||||||||||||||||||||||||||||||||||||||||||
United States | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (17,518 | ) | $ | — | $ | (17,518 | ) | $ | — | |||||||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (17,518 | ) | $ | — | $ | (17,518 | ) | $ | — |
‡‡ For the year ended October 31, 2015, Global Allocation's Level 3 investments were valued based on using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. The investments did not have a material impact on the Fund's net assets; therefore, unobservable inputs used in formulating such valuations are not presented.
As of the year ended October 31, 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, $(17,518) was transferred from Level 2 to Level 3 for Global Allocation. Contingent value rights that transferred in or out of Level 3 were primarily due to the pricing methodology being based on dated inputs by Management (Level 3). In addition, $46,300 in long positions and $(331,324) in short positions were transferred from Level 1 to Level 2 for Global Allocation, respectively. Interactive provided adjusted prices for these securities as of October 31, 2015, as stated in the description of the valuation methods of foreign equity securities in footnote † above.
^ The Schedule of Investments (or Short Positions by Industry for Global Allocation) provides information on the industry categorization for the portfolio.
ß All Level 1 securities that represent multiple geographic locations and/or industries. 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 October 31, 2015:
Liability Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Global Allocation | |||||||||||||||||||
Forward contracts (unrealized depreciation) | $ | — | $ | (138,049 | ) | $ | — | $ | (138,049 | ) | |||||||||
Futures contracts (unrealized depreciation) | (49,942 | ) | — | — | (49,942 | ) | |||||||||||||
Total | $ | (49,942 | ) | $ | (138,049 | ) | $ | — | $ | (187,991 | ) | ||||||||
Inflation Managed | |||||||||||||||||||
Futures contracts (unrealized depreciation) | $ | (51,673 | ) | $ | — | $ | — | $ | (51,673 | ) | |||||||||
Total | $ | (51,673 | ) | $ | — | $ | — | $ | (51,673 | ) |
See Notes to Financial Statements
Notes to Schedule of Investments (cont'd)
Liability Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
Long Short | |||||||||||||||||||
Futures contracts (unrealized depreciation) | $ | (14,995,765 | ) | $ | — | $ | — | $ | (14,995,765 | ) | |||||||||
Swap contracts | — | (2,896,345 | ) | — | (2,896,345 | ) | |||||||||||||
Option contracts | (7,387,940 | ) | — | — | (7,387,940 | ) | |||||||||||||
Total | $ | (22,383,705 | ) | $ | (2,896,345 | ) | $ | — | $ | (25,280,050 | ) | ||||||||
Long Short Credit | |||||||||||||||||||
Futures contracts (unrealized depreciation) | $ | (29,688 | ) | $ | — | $ | — | $ | (29,688 | ) | |||||||||
Swap contracts | — | (384,073 | ) | — | (384,073 | ) | |||||||||||||
Option contracts | (18,350 | ) | — | — | (18,350 | ) | |||||||||||||
Total | $ | (48,038 | ) | $ | (384,073 | ) | $ | — | $ | (432,111 | ) | ||||||||
Multi-Asset Income | |||||||||||||||||||
Forward contracts (unrealized depreciation) | $ | — | $ | (80,439 | ) | $ | — | $ | (80,439 | ) | |||||||||
Futures contracts (unrealized depreciation) | (2,710 | ) | — | — | (2,710 | ) | |||||||||||||
Option contracts | (13,309 | ) | — | — | (13,309 | ) | |||||||||||||
Total | $ | (16,019 | ) | $ | (80,439 | ) | $ | — | $ | (96,458 | ) |
## At October 31, 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 | $ | 92,562,676 | $ | 7,041,279 | $ | 926,454 | $ | 6,114,825 | |||||||||
Global Allocation | 25,914,745 | 849,837 | 927,176 | (77,339 | ) | ||||||||||||
Inflation Managed | 17,460,230 | 459,754 | 1,918,130 | (1,458,376 | ) | ||||||||||||
Long Short | 3,069,865,684 | 299,537,337 | 156,521,508 | 143,015,829 | |||||||||||||
Long Short Credit | 8,636,618 | 34,759 | 432,117 | (397,358 | ) | ||||||||||||
Multi-Asset Income | 16,093,079 | 213,898 | 926,612 | (712,714 | ) |
* Security did not produce income during the last twelve months.
c Security had an event of default.
@@ At October 31, 2015, the Funds had outstanding call and put options written as follows:
Fund | Name of Issuer | Contracts | Exercise Price | Expiration Date | Market Value of Options | ||||||||||||
Long Short | Starwood Hotels & Resorts Worldwide, Inc., Put | 2,500 | 77.5 | November 2015 | $ | (587,500 | ) | ||||||||||
Long Short | Synchrony Financial, Put | 6,904 | 40 | November 2015 | (6,800,440 | ) | |||||||||||
Total | $ | (7,387,940 | ) | ||||||||||||||
Long Short Credit | Enterprise Products Partners LP, Put | 50 | 27 | November 2015 | $ | (2,650 | ) | ||||||||||
Long Short Credit | Kinder Morgan, Inc., Put | 50 | 30 | November 2015 | (13,350 | ) | |||||||||||
Long Short Credit | Plains All American Pipeline LP, Put | 50 | 30 | November 2015 | (2,350 | ) | |||||||||||
Total | $ | (18,350 | ) |
See Notes to Financial Statements
Notes to Schedule of Investments (cont'd)
Fund | Name of Issuer | Contracts | Exercise Price | Expiration Date | Market Value of Options | ||||||||||||||||||
Multi-Asset Income | Altria Group, Inc., Call | 5 | 61.5 | November 2015 | $ | (340 | ) | ||||||||||||||||
Multi-Asset Income | Amgen, Inc., Call | 1 | 160 | November 2015 | (298 | ) | |||||||||||||||||
Multi-Asset Income | AT&T, Inc., Call | 12 | 34.5 | November 2015 | (132 | ) | |||||||||||||||||
Multi-Asset Income | Avnet, Inc., Call | 2 | 47 | November 2015 | (80 | ) | |||||||||||||||||
Multi-Asset Income | Bristol-Myers Squibb Co., Call | 3 | 68 | November 2015 | (228 | ) | |||||||||||||||||
Multi-Asset Income | Carnival Corp., Call | 3 | 55 | November 2015 | (213 | ) | |||||||||||||||||
Multi-Asset Income | Chevron Corp., Call | 2 | 95 | November 2015 | (128 | ) | |||||||||||||||||
Multi-Asset Income | Cisco Systems, Inc., Call | 12 | 30 | November 2015 | (420 | ) | |||||||||||||||||
Multi-Asset Income | Coca-Cola Co., Call | 7 | 43 | November 2015 | (280 | ) | |||||||||||||||||
Multi-Asset Income | Domtar Corp., Call | 1 | 40 | November 2015 | (175 | ) | |||||||||||||||||
Multi-Asset Income | Dow Chemical Co., Call | 3 | 50 | November 2015 | (711 | ) | |||||||||||||||||
Multi-Asset Income | Exxon Mobil Corp., Call | 6 | 85 | November 2015 | (336 | ) | |||||||||||||||||
Multi-Asset Income | IBM Corp., Call | 1 | 155 | November 2015 | (3 | ) | |||||||||||||||||
Multi-Asset Income | Intel Corp., Call | 8 | 34 | November 2015 | (520 | ) | |||||||||||||||||
Multi-Asset Income | Johnson & Johnson, Call | 5 | 100 | November 2015 | (1,025 | ) | |||||||||||||||||
Multi-Asset Income | L Brands, Inc., Call | 1 | 100 | November 2015 | (86 | ) | |||||||||||||||||
Multi-Asset Income | Merck & Co., Inc., Call | 6 | 53 | November 2015 | (1,500 | ) | |||||||||||||||||
Multi-Asset Income | Microsoft Corp., Call | 10 | 49 | November 2015 | (3,800 | ) | |||||||||||||||||
Multi-Asset Income | PBF Energy, Inc., Call | 1 | 35 | November 2015 | (95 | ) | |||||||||||||||||
Multi-Asset Income | Pfizer, Inc., Call | 13 | 35.5 | November 2015 | (325 | ) | |||||||||||||||||
Multi-Asset Income | Philip Morris International, Inc., Call | 3 | 90 | November 2015 | (255 | ) | |||||||||||||||||
Multi-Asset Income | Phillips 66, Call | 1 | 87.5 | November 2015 | (310 | ) | |||||||||||||||||
Multi-Asset Income | Procter & Gamble Co., Call | 6 | 76 | November 2015 | (774 | ) | |||||||||||||||||
Multi-Asset Income | Texas Instruments, Inc., Call | 2 | 55 | November 2015 | (452 | ) | |||||||||||||||||
Multi-Asset Income | United Parcel Service, Inc., Call | 1 | 105 | November 2015 | (51 | ) | |||||||||||||||||
Multi-Asset Income | Valero Energy Corp., Call | 3 | 65 | November 2015 | (711 | ) | |||||||||||||||||
Multi-Asset Income | Wal-Mart Stores, Inc., Call | 3 | 61.5 | November 2015 | (36 | ) | |||||||||||||||||
Multi-Asset Income | Xerox Corp., Call | 5 | 11 | November 2015 | (25 | ) | |||||||||||||||||
Total | $ | (13,309 | ) |
At October 31, 2015, Long Short, Long Short Credit and Multi-Asset Income had deposited $26,285,598, $1,049,750 and $15,478 in a segregated account to cover requirements on options written, respectively.
ñ Securities were purchased under Rule 144A of the Securities Act of 1933, as amended (the "1933 Act"), or are otherwise restricted 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 October 31, 2015, these securities amounted to $145,744 or 0.6% of net assets for Global Allocation, $218,559 or 1.4% of net assets for Inflation Managed, $47,391,262 or 1.4% of net assets for Long Short, $2,475,750 or 8.3% of net assets for Long Short Credit and $42,350 or 0.3% of net assets for Multi-Asset Income.
Ñ These securities have been deemed by the investment manager to be illiquid. At October 31, 2015, these securities amounted to approximately $520 and $(17,781) or 0.0% and (0.1)% of net assets for Global Allocation.
Ø All or a portion of this security was purchased on a when-issued basis. At October 31, 2015, these securities amounted to $155,296 for Global Allocation and $23,365,575 for Long Short. For TBA (to be announced) securities, the maturity date was not known at the time of investment.
@ All or a portion of this security has been pledged as collateral.
È All or a portion of this security is on loan.
See Notes to Financial Statements
Notes to Schedule of Investments (cont'd)
ØØ All or a portion of this security is segregated in connection for when-issued security purchase commitments and/or obligations for common stocks sold short and/or written options and/or forward contracts and/or swap contracts and/or financial futures contracts.
g At October 31, 2015, Global Allocation had pledged securities in the amount of $2,884,661 to cover collateral requirements for borrowing in connection with securities sold short. At October 31, 2015, Long Short had pledged securities in the amount of $50,048,413 to cover collateral requirements for borrowing in connection with securities sold short and written and/or purchased options.
h At October 31, 2015, Multi-Asset Income pledged securities in the amount of $57,076 to cover collateral requirements for borrowing in connection with financial futures.
‡ At October 31, 2015, Global Allocation had deposited $1,383,720 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 October 31, 2015, Long Short and Long Short Credit had deposited $400,341,467 and $967,611 in segregated accounts to cover collateral requirements for borrowing in connection with securities sold short.
** 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.
§§ Affiliated issuer (see Note F of Notes to Financial Statements).
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.
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
ZAR = South African Rand
b Effective February 28, 2015. Formerly, Inflation Navigator Fund through February 27, 2015.
d The rate shown is the annualized seven day yield at year-end.
e See Note A in the Notes to Financial Statements for the Funds' open positions in derivatives at October 31, 2015.
See Notes to Financial Statements
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Statements of Asset and Liabilities
Neuberger Berman Alternative Funds
FLEXIBLE SELECT FUND | GLOBAL ALLOCATION FUND | INFLATION MANAGED FUNDa | |||||||||||
October 31, 2015 | October 31, 2015 | October 31, 2015 | |||||||||||
Assets | |||||||||||||
Investments in securities, at value*† (Notes A & F)—see Schedule of Investments: | |||||||||||||
Unaffiliated issuers | $ | 87,011,692 | $ | 17,132,092 | $ | 11,445,794 | |||||||
Affiliated issuers | 11,665,809 | 8,705,314 | 4,556,060 | ||||||||||
98,677,501 | 25,837,406 | 16,001,854 | |||||||||||
Cash | 22,100 | — | — | ||||||||||
Foreign currency* | — | 53,145 | 256 | ||||||||||
Cash collateral segregated for short sales (Note A) | — | 1,150,000 | — | ||||||||||
Cash collateral segregated for financial futures contracts (Note A) | — | 197,557 | 64,123 | ||||||||||
Cash collateral segregated for option contracts (NoteA) | — | — | — | ||||||||||
Cash collateral segregated for swap contracts (Note A) | — | — | — | ||||||||||
Dividends and interest receivable | 86,923 | 51,576 | 45,918 | ||||||||||
Receivable for securities sold | 1,357 | 386,488 | 206,090 | ||||||||||
Receivable for Fund shares sold | — | 22,774 | 2,010 | ||||||||||
Receivable from Management-net (Note B) | 22,351 | 46,328 | 17,096 | ||||||||||
Receivable for variation margin on centrally cleared swap contracts | — | — | — | ||||||||||
Receivable for variation margin on financial futures (Note A) | — | — | — | ||||||||||
OTC swap contracts, at value (Note A) | — | — | — | ||||||||||
Cash collateral for securities loaned (Note A) | — | 233,817 | — | ||||||||||
Receivable for forward foreign currency contracts (Note A-14) | — | 151,897 | — | ||||||||||
Prepaid expenses and other assets | 16,059 | 18,276 | 28,072 | ||||||||||
Total Assets | 98,826,291 | 28,149,264 | 16,365,419 | ||||||||||
Liabilities | |||||||||||||
Investments sold short, at value** (Note A) | — | 3,689,915 | — | ||||||||||
OTC swap contracts, at value (Note A) | — | — | — | ||||||||||
Interest payable for short sales | — | 4,667 | — | ||||||||||
Payable for collateral on securities loaned (Note A) | — | 233,817 | — | ||||||||||
Payable to investment manager—net (Notes A & B) | 46,247 | 7,230 | 6,538 | ||||||||||
Option contracts written, at value*** (Note A) | — | — | — | ||||||||||
Due to custodian | 1,357 | — | — | ||||||||||
Payable for securities purchased | 39,973 | 265,460 | 107,798 | ||||||||||
Payable for Fund shares redeemed | — | 28,309 | — | ||||||||||
Payable to administrator—net (Note B) | — | — | — | ||||||||||
Payable to trustees | 2,189 | 2,189 | 2,189 | ||||||||||
Payable for variation margin on financial futures contracts (Note A) | — | 38,948 | 747 | ||||||||||
Payable for forward foreign currency contracts (Note A) | — | 138,049 | — | ||||||||||
Distributions payable | — | — | — | ||||||||||
Accrued expenses and other payables | 130,367 | 182,413 | 135,568 | ||||||||||
Total Liabilities | 220,133 | 4,590,997 | 252,840 | ||||||||||
Net Assets | $ | 98,606,158 | $ | 23,558,267 | $ | 16,112,579 | |||||||
Net Assets consist of: | |||||||||||||
Paid-in capital | $ | 87,931,836 | $ | 23,892,048 | $ | 17,939,739 | |||||||
Undistributed net investment income (loss) | 499,392 | — | — | ||||||||||
Distributions in excess of net investment income | — | (250,183 | ) | (847 | ) | ||||||||
Accumulated net realized gains (losses) on investments | 3,914,546 | (115,314 | ) | (321,741 | ) | ||||||||
Net unrealized appreciation (depreciation) in value of investments | 6,260,384 | 31,716 | (1,504,572 | ) | |||||||||
Net Assets | $ | 98,606,158 | $ | 23,558,267 | $ | 16,112,579 |
See Notes to Financial Statements
Statements of Asset and Liabilities (cont'd)
Neuberger Berman Alternative Funds (cont'd)
FLEXIBLE SELECT FUND | GLOBAL ALLOCATION FUND | INFLATION MANAGED FUNDa | |||||||||||||
October 31, 2015 | October 31, 2015 | October 31, 2015 | |||||||||||||
Net Assets | |||||||||||||||
Institutional Class | $ | 98,097,920 | $ | 8,919,476 | $ | 14,195,120 | |||||||||
Class A | 356,668 | 8,075,808 | 367,210 | ||||||||||||
Class C | 151,570 | 6,562,983 | 261,082 | ||||||||||||
Class R6 | — | — | 1,289,167 | ||||||||||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | |||||||||||||||
Institutional Class | 8,428,165 | 856,390 | 1,480,994 | ||||||||||||
Class A | 30,799 | 779,757 | 38,495 | ||||||||||||
Class C | 13,222 | 644,543 | 27,755 | ||||||||||||
Class R6 | — | — | 134,448 | ||||||||||||
Net Asset Value, offering and redemption price per share | |||||||||||||||
Institutional Class | $ | 11.64 | $ | 10.42 | $ | 9.58 | |||||||||
Class R6 | — | — | 9.59 | ||||||||||||
Net Asset Value and redemption price per share | |||||||||||||||
Class A | $ | 11.58 | $ | 10.36 | $ | 9.54 | |||||||||
Offering Price per share | |||||||||||||||
Class A‡ | $ | 12.29 | $ | 10.99 | $ | 10.12 | |||||||||
Net Asset Value and offering price per share | |||||||||||||||
Class C^ | $ | 11.46 | $ | 10.18 | $ | 9.41 | |||||||||
†Securities on loan, at value: | |||||||||||||||
Unaffiliated issuers | $ | — | $ | 228,266 | $ | — | |||||||||
*Cost of Investments: | |||||||||||||||
Unaffiliated issuers | $ | 80,783,587 | $ | 16,735,146 | $ | 12,090,431 | |||||||||
Affiliated issuers | 11,632,509 | 9,022,784 | 5,372,800 | ||||||||||||
Total cost of investments | $ | 92,416,096 | $ | 25,757,930 | $ | 17,463,231 | |||||||||
Total cost of foreign currency | $ | — | $ | 53,458 | $ | 246 | |||||||||
**Proceeds from investments sold short | $ | — | $ | 3,604,445 | $ | — | |||||||||
***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
Statements of Asset and Liabilities (cont'd)
Neuberger Berman Alternative Funds
LONG SHORT FUND | LONG SHORT CREDIT FUND | MULTI-ASSET INCOME FUND | |||||||||||
October 31, 2015 | October 31, 2015 | October 31, 2015 | |||||||||||
Assets | |||||||||||||
Investments in securities, at value*† (Notes A & F)—see Schedule of Investments: | |||||||||||||
Unaffiliated issuers | $ | 3,212,881,513 | $ | 8,239,260 | $ | 8,745,441 | |||||||
Affiliated issuers | — | — | 6,634,924 | ||||||||||
3,212,881,513 | 8,239,260 | 15,380,365 | |||||||||||
Cash | 5,731,640 | 19,632,247 | — | ||||||||||
Foreign currency* | 49,676 | 103,309 | — | ||||||||||
Cash collateral segregated for short sales (Note A) | 400,341,467 | 967,611 | — | ||||||||||
Cash collateral segregated for financial futures contracts (Note A) | 20,582,980 | 59,000 | — | ||||||||||
Cash collateral segregated for option contracts (Note A) | 26,285,598 | 1,049,750 | 15,478 | ||||||||||
Cash collateral segregated for swap contracts (Note A) | 1,750,000 | 699,027 | — | ||||||||||
Dividends and interest receivable | 4,082,655 | 178,674 | 53,747 | ||||||||||
Receivable for securities sold | 73,247,787 | — | — | ||||||||||
Receivable for Fund shares sold | 5,878,273 | 625,040 | — | ||||||||||
Receivable from Management-net (Note B) | — | — | 45,121 | ||||||||||
Receivable for variation margin on centrally cleared swap contracts | — | 419,057 | — | ||||||||||
Receivable for variation margin on financial futures contracts (Note A) | 2,196,107 | 4,808 | 2,442 | ||||||||||
OTC swap contracts, at value (Note A) | 614,218 | 125,920 | — | ||||||||||
Cash collateral for securities loaned (Note A) | — | — | — | ||||||||||
Receivable for forward foreign currency contracts (Note A) | — | 9,676 | 83,031 | ||||||||||
Prepaid expenses and other assets | 112,947 | 47,090 | 36,849 | ||||||||||
Total Assets | 3,753,754,861 | 32,160,469 | 15,617,033 | ||||||||||
Liabilities | |||||||||||||
Investments sold short, at value** (Note A) | 389,579,556 | 966,854 | — | ||||||||||
OTC swap contracts, at value (Note A) | 2,896,345 | 384,073 | — | ||||||||||
Interest payable for short sales | 474,811 | 15,776 | — | ||||||||||
Payable for collateral on securities loaned (Note A) | — | — | — | ||||||||||
Payable to investment manager—net (Notes A & B) | 3,102,516 | 17,924 | 2,422 | ||||||||||
Option contracts written, at value*** (Note A) | 7,387,940 | 18,350 | 13,309 | ||||||||||
Due to custodian | — | — | 5,416 | ||||||||||
Payable for securities purchased | 65,479,204 | 587,751 | 26,780 | ||||||||||
Payable for Fund shares redeemed | 11,457,493 | 119 | 242 | ||||||||||
Payable to administrator—net (Note B) | 714,959 | 15,375 | — | ||||||||||
Payable to trustees | 2,189 | 2,153 | 2,153 | ||||||||||
Payable for variation margin on financial futures contracts (Note A) | — | — | — | ||||||||||
Payable for forward foreign currency contracts (Note A) | — | — | 80,439 | ||||||||||
Distributions payable | — | 31,763 | 36,137 | ||||||||||
Accrued expenses and other payables | 583,696 | 154,072 | 119,206 | ||||||||||
Total Liabilities | 481,678,709 | 2,194,210 | 286,104 | ||||||||||
Net Assets | $ | 3,272,076,152 | $ | 29,966,259 | $ | 15,330,929 | |||||||
Net Assets consist of: | |||||||||||||
Paid-in capital | $ | 3,153,108,136 | $ | 30,623,544 | $ | 16,249,379 | |||||||
Undistributed net investment income (loss) | — | — | — | ||||||||||
Distributions in excess of net investment income | (6,400,482 | ) | (20,891 | ) | (6,700 | ) | |||||||
Accumulated net realized gains (losses) on investments | (3,489,910 | ) | (300,840 | ) | (162,665 | ) | |||||||
Net unrealized appreciation (depreciation) in value of investments | 128,858,408 | (335,554 | ) | (749,085 | ) | ||||||||
Net Assets | $ | 3,272,076,152 | $ | 29,966,259 | $ | 15,330,929 |
See Notes to Financial Statements
Statements of Asset and Liabilities (cont'd)
Neuberger Berman Alternative Funds (cont'd)
LONG SHORT FUND | LONG SHORT CREDIT FUND | MULTI-ASSET INCOME FUND | |||||||||||||
October 31, 2015 | October 31, 2015 | October 31, 2015 | |||||||||||||
Net Assets | |||||||||||||||
Institutional Class | $ | 2,719,800,083 | $ | 22,771,564 | $ | 10,595,537 | |||||||||
Class A | 361,658,285 | 1,315,827 | 477,806 | ||||||||||||
Class C | 190,617,784 | 1,006,167 | 472,639 | ||||||||||||
Class R6 | — | 4,872,701 | 3,784,947 | ||||||||||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | |||||||||||||||
Institutional Class | 213,176,714 | 2,336,613 | 1,123,328 | ||||||||||||
Class A | 28,646,906 | 135,008 | 50,659 | ||||||||||||
Class C | 15,515,480 | 103,246 | 50,111 | ||||||||||||
Class R6 | — | 500,000 | 401,294 | ||||||||||||
Net Asset Value, offering and redemption price per share | |||||||||||||||
Institutional Class | $ | 12.76 | $ | 9.75 | $ | 9.43 | |||||||||
Class R6 | — | 9.75 | 9.43 | ||||||||||||
Net Asset Value and redemption price per share | |||||||||||||||
Class A | $ | 12.62 | $ | 9.75 | $ | 9.43 | |||||||||
Offering Price per share | |||||||||||||||
Class A | $ | 13.39 | $ | 10.18 | $ | 9.85 | |||||||||
Net Asset Value and offering price per share | |||||||||||||||
Class C | $ | 12.29 | $ | 9.75 | $ | 9.43 | |||||||||
†Securities on loan, at value: | |||||||||||||||
Unaffiliated issuers | $ | — | $ | — | $ | — | |||||||||
*Cost of Investments: | |||||||||||||||
Unaffiliated issuers | $ | 3,056,174,762 | $ | 8,636,618 | $ | 9,161,757 | |||||||||
Affiliated issuers | — | — | 6,982,970 | ||||||||||||
Total cost of investments | $ | 3,056,174,762 | $ | 8,636,618 | $ | 16,144,727 | |||||||||
Total cost of foreign currency | $ | 50,627 | $ | 104,022 | $ | — | |||||||||
**Proceeds from investments sold short | $ | 378,816,000 | $ | 956,666 | $ | — | |||||||||
***Premium received from option contracts written | $ | 7,434,936 | $ | 13,362 | $ | 5,860 |
‡ 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
Statements of Operations
Neuberger Berman Alternative Funds
FLEXIBLE SELECT FUND | GLOBAL ALLOCATION FUND | INFLATION MANAGED FUNDa | |||||||||||
For the Year Ended October 31, 2015 | For the Year Ended October 31, 2015 | For the Year Ended October 31, 2015 | |||||||||||
Investment Income: | |||||||||||||
Income (Note A): | |||||||||||||
Dividend income—unaffiliated issuers | $ | 1,449,919 | $ | 274,976 | $ | 307,054 | |||||||
Dividend income—affiliated issuers (Notes A and F) | 163,902 | 112,733 | 150,482 | ||||||||||
Interest and other income—unaffiliated issuers | 4 | 37,426 | 65,628 | ||||||||||
Income from securities loaned—net (Note A) | — | 953 | — | ||||||||||
Foreign taxes withheld (Note A) | (24,086 | ) | (10,679 | ) | (121 | ) | |||||||
Total income | $ | 1,589,739 | $ | 415,409 | $ | 523,043 | |||||||
Expenses: | |||||||||||||
Investment management fees (Note B) | 595,891 | 173,522 | 132,238 | ||||||||||
Administration fees (Note B) | 59,589 | 16,018 | 12,207 | ||||||||||
Administration fees (Note B): | |||||||||||||
Institutional Class | 88,692 | 9,724 | 16,073 | ||||||||||
Class A | 1,206 | 18,116 | 3,565 | ||||||||||
Class C | 332 | 13,666 | 712 | ||||||||||
Class R6 | — | — | 69 | ||||||||||
Distribution fees (Note B): | |||||||||||||
Class A | 1,508 | 22,645 | 4,456 | ||||||||||
Class C | 1,661 | 68,330 | 3,559 | ||||||||||
Shareholder servicing agent fees: | |||||||||||||
Institutional Class | 4,541 | 1,084 | 1,014 | ||||||||||
Class A | 357 | 3,002 | 910 | ||||||||||
Class C | 109 | 2,011 | 188 | ||||||||||
Class R6 | — | — | 3,646 | ||||||||||
Organization expense (Note A) | — | — | — | ||||||||||
Audit fees | 52,000 | 64,700 | 65,500 | ||||||||||
Custodian and accounting fees | 103,839 | 226,275 | 97,779 | ||||||||||
Insurance expense | 2,935 | 934 | 519 | ||||||||||
Legal fees | 145,213 | 145,382 | 129,125 | ||||||||||
Registration and filing fees | 48,928 | 59,180 | 64,000 | ||||||||||
Shareholder reports | 2,178 | 6,900 | 3,008 | ||||||||||
Trustees' fees and expenses | 34,054 | 33,987 | 33,985 | ||||||||||
Short sales expense (Note A) | — | 39,664 | — | ||||||||||
Dividend and interest expense on securities sold short (Note A) | — | 53,228 | — | ||||||||||
Interest expense | 45 | 1,166 | 879 | ||||||||||
Miscellaneous | 8,249 | 33,626 | 27,692 | ||||||||||
Total expenses | 1,151,327 | 993,160 | 601,124 | ||||||||||
Expenses reimbursed by Management (Note B) | (302,764 | ) | (549,467 | ) | (406,404 | ) | |||||||
Investment management fees waived (Note A) | (15,553 | ) | (59,494 | ) | (41,178 | ) | |||||||
Total net expenses | 833,010 | 384,199 | 153,542 | ||||||||||
Net investment income (loss) | $ | 756,729 | $ | 31,210 | $ | 369,501 |
See Notes to Financial Statements
Statements of Operations (cont'd)
Neuberger Berman Alternative Funds (cont'd)
FLEXIBLE SELECT FUND | GLOBAL ALLOCATION FUND | INFLATION MANAGED FUNDa | |||||||||||||
For the Year Ended October 31, 2015 | For the Year Ended October 31, 2015 | For the Year Ended October 31, 2015 | |||||||||||||
Realized and Unrealized Gain (Loss) on Investments (Note A): | |||||||||||||||
Net realized gain (loss) on: | |||||||||||||||
Sales of investment securities of unaffiliated issuers | 4,076,513 | (632,322 | ) | (21,523 | ) | ||||||||||
Sales of investment securities of affiliated issuers | 59,013 | (116,949 | ) | (525,281 | ) | ||||||||||
Sales of investment securities of unaffiliated issuers sold short | — | 515,933 | — | ||||||||||||
Realized gain distributions from affiliated issuers | 11,723 | — | 7,209 | ||||||||||||
Forward foreign currency contracts | — | 80,920 | — | ||||||||||||
Foreign currency | 32 | (51,577 | ) | (2,164 | ) | ||||||||||
Financial futures contracts | — | 389,347 | 82,554 | ||||||||||||
Option contracts and swaptions written | — | — | — | ||||||||||||
Swap contracts | — | 111,835 | — | ||||||||||||
Change in net unrealized appreciation (depreciation) in value of: | |||||||||||||||
Unaffiliated investment securities | (4,659,798 | ) | 1,020,711 | (1,877,398 | ) | ||||||||||
Affiliated investment securities | (68,514 | ) | (317,470 | ) | (586,516 | ) | |||||||||
Unaffiliated investment securities sold short | — | (691,886 | ) | — | |||||||||||
Forward foreign currency contracts | — | 10,888 | — | ||||||||||||
Foreign currency | (902 | ) | 13,536 | (252 | ) | ||||||||||
Financial futures contracts | — | (188,470 | ) | (28,887 | ) | ||||||||||
Option contracts written | — | — | — | ||||||||||||
Swap contracts | — | (456,795 | ) | — | |||||||||||
Net gain (loss) on investments | (581,933 | ) | (312,299 | ) | (2,952,258 | ) | |||||||||
Net increase (decrease) in net assets resulting from operations | $ | 174,796 | $ | (281,089 | ) | $ | (2,582,757 | ) |
a Formerly Inflation Navigator Fund. See Note A of Notes to Financial Statements.
See Notes to Financial Statements
Statements of Operations (cont'd)
Neuberger Berman Alternative Funds
LONG SHORT FUND | LONG SHORT CREDIT FUND | MULTI-ASSET INCOME FUND | |||||||||||
For the Year Ended October 31, 2015 | Period from June 29, 2015 (Commencement of Operations) to October 31, 2015 | Period from March 27, 2015 (Commencement of Operations) to October 31, 2015 | |||||||||||
Investment Income: | |||||||||||||
Income (Note A): | |||||||||||||
Dividend income—unaffiliated issuers | $ | 35,950,075 | $ | 4,050 | $ | 201,864 | |||||||
Dividend income—affiliated issuers (Notes A and F) | — | — | 182,742 | ||||||||||
Interest and other income—unaffiliated issuers | 25,944,714 | 156,365 | 25,001 | ||||||||||
Income from securities loaned—net (Note A) | — | — | — | ||||||||||
Foreign taxes withheld (Note A) | (591,744 | ) | — | (5,958 | ) | ||||||||
Total income | $ | 61,303,045 | $ | 160,415 | $ | 403,649 | |||||||
Expenses: | |||||||||||||
Investment management fees (Note B) | 37,201,002 | 69,726 | 42,254 | ||||||||||
Administration fees (Note B) | 2,020,521 | 5,229 | 5,634 | ||||||||||
Administration fees (Note B): | |||||||||||||
Institutional Class | 2,492,420 | 5,697 | 5,819 | ||||||||||
Class A | 782,873 | 737 | 618 | ||||||||||
Class C | 413,485 | 717 | 614 | ||||||||||
Class R6 | — | 339 | 467 | ||||||||||
Distribution fees (Note B): | |||||||||||||
Class A | 978,592 | 877 | 736 | ||||||||||
Class C | 2,067,423 | 3,413 | 2,924 | ||||||||||
Shareholder servicing agent fees: | |||||||||||||
Institutional Class | 187,840 | 1,561 | 1,811 | ||||||||||
Class A | 78,438 | 1,521 | 1,616 | ||||||||||
Class C | 22,918 | 1,510 | 1,571 | ||||||||||
Class R6 | — | 1,508 | 1,635 | ||||||||||
Organization expense (Note A) | — | 99,533 | 64,186 | ||||||||||
Audit fees | 33,800 | 27,500 | 30,000 | ||||||||||
Custodian and accounting fees | 543,197 | 38,216 | 101,516 | ||||||||||
Insurance expense | 88,389 | — | 247 | ||||||||||
Legal fees | 148,912 | 77,145 | 41,180 | ||||||||||
Registration and filing fees | 333,850 | 21,793 | 32,274 | ||||||||||
Shareholder reports | 273,887 | 5,000 | 20,000 | ||||||||||
Trustees' fees and expenses | 37,117 | 10,405 | 18,598 | ||||||||||
Short sales expense (Note A) | 3,110,751 | — | — | ||||||||||
Dividend and interest expense on securities sold short (Note A) | 8,556,654 | 4,914 | — | ||||||||||
Interest expense | 16,266 | — | 29 | ||||||||||
Miscellaneous | 153,659 | 1,288 | 2,198 | ||||||||||
Total expenses | 59,541,994 | 378,629 | 375,927 | ||||||||||
Expenses reimbursed by Management (Note B) | — | (265,191 | ) | (312,045 | ) | ||||||||
Investment management fees waived (Note A) | — | (4,710 | ) | (20,907 | ) | ||||||||
Total net expenses | 59,541,994 | 108,728 | 42,975 | ||||||||||
Net investment income (loss) | $ | 1,761,051 | $ | 51,687 | $ | 360,674 |
See Notes to Financial Statements
Statements of Operations (cont'd)
Neuberger Berman Alternative Funds (cont'd)
LONG SHORT FUND | LONG SHORT CREDIT FUND | MULTI-ASSET INCOME FUND | |||||||||||
For the Year Ended October 31, 2015 | Period from June 29, 2015 (Commencement of Operations) to October 31, 2015 | Period from March 27, 2015 (Commencement of Operations) to October 31, 2015 | |||||||||||
Realized and Unrealized Gain (Loss) on Investments (Note A): | |||||||||||||
Net realized gain (loss) on: | |||||||||||||
Sales of investment securities of unaffiliated issuers | (20,623,793 | ) | 30,734 | (187,309 | ) | ||||||||
Sales of investment securities of affiliated issuers | — | — | (9,772 | ) | |||||||||
Sales of investment securities of unaffiliated issuers sold short | 7,396,816 | — | — | ||||||||||
Realized gain distributions from affiliated issuers | — | — | — | ||||||||||
Forward foreign currency contracts | — | (11,476 | ) | 66,913 | |||||||||
Foreign currency | (70,425 | ) | 3,011 | 3,739 | |||||||||
Financial futures contracts | (4,413,790 | ) | (17,743 | ) | (48,714 | ) | |||||||
Option contracts and swaptions written | 1,867,223 | 42,895 | 11,544 | ||||||||||
Swap contracts | (753,311 | ) | (311,116 | ) | — | ||||||||
Change in net unrealized appreciation (depreciation) in value of: | |||||||||||||
Unaffiliated investment securities | (55,338,944 | ) | (397,358 | ) | (416,316 | ) | |||||||
Affiliated investment securities | — | — | (348,046 | ) | |||||||||
Unaffiliated investment securities sold short | 20,851,664 | (10,188 | ) | — | |||||||||
Forward foreign currency contracts | — | 9,676 | 2,592 | ||||||||||
Foreign currency | (951 | ) | (302 | ) | 854 | ||||||||
Financial futures contracts | (5,853,069 | ) | (25,075 | ) | 19,280 | ||||||||
Option contracts and swaptions written | (112,893 | ) | (4,988 | ) | (7,449 | ) | |||||||
Swap contracts | (2,282,127 | ) | 92,681 | — | |||||||||
Net gain (loss) on investments | (59,333,600 | ) | (599,249 | ) | (912,684 | ) | |||||||
Net increase (decrease) in net assets resulting from operations | $ | (57,572,549 | ) | $ | (547,562 | ) | $ | (552,010 | ) |
See Notes to Financial Statements
Statements of Changes in Net Assets
Neuberger Berman Alternative Funds
FLEXIBLE SELECT FUND | GLOBAL ALLOCATION FUND | INFLATION MANAGED FUNDa | |||||||||||||||||||||||
Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||||||||
From Operations (Note A): | |||||||||||||||||||||||||
Net investment income (loss) | $ | 756,729 | $ | 900,336 | $ | 31,210 | $ | (460,298 | ) | $ | 369,501 | $ | 265,509 | ||||||||||||
Net realized gain (loss) on investments | 4,147,281 | 1,759,644 | 297,187 | 2,308,067 | (459,205 | ) | (38,105 | ) | |||||||||||||||||
Net increase from payments by affiliates (Note B) | — | — | — | 10,922 | — | — | |||||||||||||||||||
Change in net unrealized appreciation (depreciation) of investments | (4,729,214 | ) | 7,109,249 | (609,486 | ) | (1,689,740 | ) | (2,493,053 | ) | 622,153 | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | 174,796 | 9,769,229 | (281,089 | ) | 168,951 | (2,582,757 | ) | 849,557 | |||||||||||||||||
Distributions to Shareholders From (Note A): | |||||||||||||||||||||||||
Net investment income: | |||||||||||||||||||||||||
Institutional Class | (929,244 | ) | (335,177 | ) | (291,025 | ) | (1,423,702 | ) | (160,335 | ) | (332,927 | ) | |||||||||||||
Class A | (5,414 | ) | (302 | ) | (213,455 | ) | (632,740 | ) | (17,710 | ) | (1,920 | ) | |||||||||||||
Class C | (252 | ) | (17 | ) | (119,683 | ) | (373,622 | ) | (1,928 | ) | (1,167 | ) | |||||||||||||
Class R6 | — | — | — | — | — | — | |||||||||||||||||||
Net realized gain on investments: | |||||||||||||||||||||||||
Institutional Class | (1,840,204 | ) | — | — | — | — | — | ||||||||||||||||||
Class A | (13,200 | ) | — | — | — | — | — | ||||||||||||||||||
Class C | (3,226 | ) | — | — | — | — | — | ||||||||||||||||||
Total distributions to shareholders | (2,791,540 | ) | (335,496 | ) | (624,163 | ) | (2,430,064 | ) | (179,973 | ) | (336,014 | ) | |||||||||||||
From Fund Share Transactions (Note D): | |||||||||||||||||||||||||
Proceeds from shares sold: | |||||||||||||||||||||||||
Institutional Class | 1,157,293 | 8,535 | 2,515,508 | 3,525,689 | 9,824,664 | 1,024,850 | |||||||||||||||||||
Class A | 146,287 | 540,373 | 2,375,082 | 7,858,510 | 452,417 | 2,379,608 | |||||||||||||||||||
Class C | 31,250 | 18,500 | 2,005,763 | 4,320,936 | 110,000 | 199,190 | |||||||||||||||||||
Class R6 | — | — | — | — | 2,123,633 | — | |||||||||||||||||||
Proceeds from reinvestment of dividends and distributions: | |||||||||||||||||||||||||
Institutional Class | 2,769,448 | 335,177 | 288,150 | 1,413,385 | 160,335 | 332,927 | |||||||||||||||||||
Class A | 18,353 | 302 | 196,325 | 502,685 | 17,499 | 1,920 | |||||||||||||||||||
Class C | 3,478 | 17 | 112,130 | 359,737 | 1,928 | 1,167 | |||||||||||||||||||
Class R6 | — | — | — | — | — | — | |||||||||||||||||||
Payments for shares redeemed: | |||||||||||||||||||||||||
Institutional Class | — | (162,561 | ) | (5,993,667 | ) | (8,502,926 | ) | (10,219,188 | ) | (932,595 | ) | ||||||||||||||
Class A | (427,326 | ) | (76,021 | ) | (3,760,596 | ) | (6,038,449 | ) | (2,054,536 | ) | (281,537 | ) | |||||||||||||
Class C | (15,000 | ) | — | (2,298,236 | ) | (2,120,187 | ) | (110,204 | ) | — | |||||||||||||||
Class R6 | — | — | — | — | (812,632 | ) | — | ||||||||||||||||||
Net increase (decrease) from Fund share transactions | 3,683,783 | 664,322 | (4,559,541 | ) | 1,319,380 | (506,084 | ) | 2,725,530 | |||||||||||||||||
Net Increase (Decrease) in Net Assets | 1,067,039 | 10,098,055 | (5,464,793 | ) | (941,733 | ) | (3,268,814 | ) | 3,239,073 | ||||||||||||||||
Net Assets: | |||||||||||||||||||||||||
Beginning of year | 97,539,119 | 87,441,064 | 29,023,060 | 29,964,793 | 19,381,393 | 16,142,320 | |||||||||||||||||||
End of year | $ | 98,606,158 | $ | 97,539,119 | $ | 23,558,267 | $ | 29,023,060 | $ | 16,112,579 | $ | 19,381,393 | |||||||||||||
Undistributed net investment income (loss) at end of year | $ | 499,392 | $ | 704,109 | $ | — | $ | 148,162 | $ | — | $ | 3,028 | |||||||||||||
Distributions in excess of net investment income at end of year | $ | — | $ | — | $ | (250,183 | ) | $ | — | $ | (847 | ) | $ | — |
a Formerly Inflation Navigator Fund. See Note A of Notes to Financial Statements.
See Notes to Financial Statements
LONG SHORT FUND | LONG SHORT CREDIT FUND | MULTI-ASSET INCOME FUND | |||||||||||||||||
Year Ended October 31, 2015 | Year Ended October 31, 2014 | Period from June 29, 2015 (Commencement of Operations) to October 31, 2015 | Period from March 27, 2015 (Commencement of Operations) to October 31, 2015 | ||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||
From Operations (Note A): | |||||||||||||||||||
Net investment income (loss) | $ | 1,761,051 | $ | 130,674 | $ | 51,687 | $ | 360,674 | |||||||||||
Net realized gain (loss) on investments | (16,597,280 | ) | 19,939,826 | (263,695 | ) | (163,599 | ) | ||||||||||||
Net increase from payments by affiliates (Note B) | — | 60,836 | — | — | |||||||||||||||
Change in net unrealized appreciation (depreciation) of investments | (42,736,320 | ) | 88,112,575 | (335,554 | ) | (749,085 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | (57,572,549 | ) | 108,243,911 | (547,562 | ) | (552,010 | ) | ||||||||||||
Distributions to Shareholders From (Note A): | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Institutional Class | (4,409,898 | ) | — | (85,053 | ) | (255,461 | ) | ||||||||||||
Class A | — | — | (3,409 | ) | (10,532 | ) | |||||||||||||
Class C | — | — | (908 | ) | (8,311 | ) | |||||||||||||
Class R6 | — | — | (23,469 | ) | (93,689 | ) | |||||||||||||
Net realized gain on investments: | |||||||||||||||||||
Institutional Class | (10,559,751 | ) | (5,606,352 | ) | — | — | |||||||||||||
Class A | (1,445,208 | ) | (2,452,314 | ) | — | — | |||||||||||||
Class C | (779,780 | ) | (609,411 | ) | — | — | |||||||||||||
Total distributions to shareholders | (17,194,637 | ) | (8,668,077 | ) | (112,839 | ) | (367,993 | ) | |||||||||||
From Fund Share Transactions (Note D): | |||||||||||||||||||
Proceeds from shares sold: | |||||||||||||||||||
Institutional Class | 1,207,863,852 | 2,043,724,867 | 23,253,671 | 11,175,000 | |||||||||||||||
Class A | 153,230,211 | 405,081,481 | 1,342,090 | 505,113 | |||||||||||||||
Class C | 44,433,285 | 112,535,003 | 1,031,820 | 503,000 | |||||||||||||||
Class R6 | — | — | 5,000,000 | 4,000,000 | |||||||||||||||
Proceeds from reinvestment of dividends and distributions: | |||||||||||||||||||
Institutional Class | 9,519,935 | 4,822,872 | 4,433 | 57,340 | |||||||||||||||
Class A | 1,289,389 | 2,249,144 | 121 | 1,530 | |||||||||||||||
Class C | 570,226 | 466,547 | 12 | 1,135 | |||||||||||||||
Class R6 | — | — | — | 13,056 | |||||||||||||||
Payments for shares redeemed: | |||||||||||||||||||
Institutional Class | (1,066,158,964 | ) | (526,844,014 | ) | (5,487 | ) | (2,296 | ) | |||||||||||
Class A | (172,178,965 | ) | (546,927,034 | ) | — | — | |||||||||||||
Class C | (59,121,559 | ) | (22,735,877 | ) | — | (2,946 | ) | ||||||||||||
Class R6 | — | — | — | — | |||||||||||||||
Net increase (decrease) from Fund share transactions | 119,447,410 | 1,472,372,989 | 30,626,660 | 16,250,932 | |||||||||||||||
Net Increase (Decrease) in Net Assets | 44,680,224 | 1,571,948,823 | 29,966,259 | 15,330,929 | |||||||||||||||
Net Assets: | |||||||||||||||||||
Beginning of year | 3,227,395,928 | 1,655,447,105 | — | — | |||||||||||||||
End of year | $ | 3,272,076,152 | $ | 3,227,395,928 | $ | 29,966,259 | $ | 15,330,929 | |||||||||||
Undistributed net investment income (loss) at end of year | $ | — | $ | — | $ | — | $ | — | |||||||||||
Distributions in excess of net investment income at end of year | $ | (6,400,482 | ) | $ | (2,109,958 | ) | $ | (20,891 | ) | $ | (6,700 | ) |
Notes to Financial Statements Alternative Funds
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, Long Short Credit 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. Long Short Credit had no operations until June 29, 2015, 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. Long Short Credit, Inflation Managed and Multi-Asset Income also offer 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
intention of Long Short Credit and 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 October 31, 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, 2015, 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 loss netted against short term capital gains or written-off, current and prior year partnership basis adjustments, non-taxable distributions from real estate investment trusts ("REITs") and other underlying investments, paydown losses on mortgage backed and asset backed securities, gains and losses on swap contracts, futures, foreign currency gains and losses, gains and losses from passive foreign investment companies (PFICs), non-deductible stock issuance fees, affiliated capital gain reclass to ordinary income, distributions in excess and re-designated, deemed distributions on shareholder redemptions and deflation adjustments on U.S. Treasury inflation protected bonds (TIPs). For the year ended October 31, 2015, 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 | ) | $ | (26,536 | ) | $ | 26,537 | |||||
Global Allocation | (1,322 | ) | 194,608 | (193,286 | ) | ||||||||
Inflation Managed | (20,728 | ) | (193,403 | ) | 214,131 | ||||||||
Long Short | (811,504 | ) | (1,641,677 | ) | 2,453,181 | ||||||||
Long Short Credit | (3,116 | ) | 40,261 | (37,145 | ) | ||||||||
Multi-Asset Income | (1,553 | ) | 619 | 934 |
The tax character of distributions paid during the years ended October 31, 2015 and October 31, 2014 was as follows:
Distributions Paid From: | |||||||||||||||||||||||||||||||||||||||||
Ordinary Income | Tax-Exempt Income | Long-Term Capital Gain | Return of Capital | Total | |||||||||||||||||||||||||||||||||||||
2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | 2014 | ||||||||||||||||||||||||||||||||
Flexible Select | $ | 1,589,876 | $ | 335,496 | $ | — | $ | — | $ | 1,201,664 | $ | — | $ | — | $ | — | $ | 2,791,540 | $ | 335,496 | |||||||||||||||||||||
Global Allocation | 624,099 | 2,430,064 | — | — | 64 | — | — | — | 624,163 | 2,430,064 | |||||||||||||||||||||||||||||||
Inflation Managed | 179,973 | 336,014 | — | — | — | — | — | — | 179,973 | 336,014 | |||||||||||||||||||||||||||||||
Long Short | 4,409,898 | 7,970,437 | — | — | 12,784,739 | 697,640 | — | — | 17,194,637 | 8,668,077 | |||||||||||||||||||||||||||||||
Long Short Credit | 112,839 | (2) | — | — | (2) | — | — | (2) | — | — | (2) | — | 112,839 | (2) | — | ||||||||||||||||||||||||||
Multi-Asset Income | 367,993 | (1) | — | — | (1) | — | — | (1) | — | — | (1) | — | 367,993 | (1) | — |
(1) Period from March 27, 2015 (Commencement of Operations) to October 31, 2015.
(2) Period from June 29, 2015 (Commencement of Operations) to October 31, 2015.
As of October 31, 2015, 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 | $ | 521,905 | $ | 4,061,125 | $ | 6,113,804 | $ | — | $ | (22,512 | ) | $ | 10,674,322 | ||||||||||||
Global Allocation | — | 43,069 | (126,570 | ) | (226,599 | ) | (23,681 | ) | (333,781 | ) | |||||||||||||||
Inflation Managed | — | — | (1,452,577 | ) | (374,583 | ) | — | (1,827,160 | ) | ||||||||||||||||
Long Short | — | — | 132,038,398 | (13,019,050 | ) | (51,332 | ) | 118,968,016 | |||||||||||||||||
Long Short Credit | 135,375 | — | (412,836 | ) | (325,915 | ) | (53,909 | ) | (657,285 | ) | |||||||||||||||
Multi-Asset Income | 38,841 | — | (707,932 | ) | (199,990 | ) | (49,369 | ) | (918,450 | ) |
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; timing differences of distribution payments, swaps, futures contracts and forward contracts; adjustments related to post-October capital loss and late-year ordinary loss deferrals, unamortized organization expenses, and tax adjustments related to REITs, TIPs, PFICs, short sales, partnerships, futures, swap contracts and other investments.
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, 2015, 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 | ||||||||
Inflation Managed | $ | — | $ | 374,583 | |||||
Long Short | — | 4,372,583 | |||||||
Long Short Credit | 20,334 | 305,581 | |||||||
Multi-Asset Income | — | 199,990 |
During the year ended October 31, 2015, Global Allocation utilized capital loss carryforwards of $68,747.
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, 2015, Long Short elected to defer the following late-year ordinary losses:
Late-Year Ordinary Loss | |||||
Deferral | |||||
Global Allocation | $ | 226,599 | |||
Long Short | 8,646,467 |
6 Foreign taxes: Foreign taxes withheld, if any, represent amounts withheld by foreign tax authorities, net of refunds recoverable.
Foreign capital gains on certain foreign securities may be subject to foreign taxes, which are accrued as applicable. At October 31, 2015, there were no outstanding balances of accrued capital gains taxes for any Fund.
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, Global Allocation, Inflation Managed, Long Short and Multi-Asset Income to pass through to its shareholders substantially all REIT distributions and other income it receives, less operating expenses. The distributions received from REITs held by Flexible Select, Global Allocation, Inflation Managed, Long Short and Multi-Asset Income are generally composed of income, capital gains, and/or return of REIT capital, but the REITs do not report this information to Flexible Select, Global Allocation, Inflation Managed, Long Short and Multi-Asset Income until the following calendar year. At October 31, 2015, Flexible Select, Global Allocation, 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 October 31, 2015, Flexible Select, Global Allocation, Inflation Managed, Long Short and Multi-Asset Income estimated these amounts for the period January 1, 2015 to October 31, 2015 within the financial statements because the 2015 information is not available from the REITs until after each Fund's fiscal year-end. All estimates are based upon REIT information sources available to Flexible Select, Global Allocation, Inflation Managed, Long Short and Multi-Asset Income together with actual IRS Forms 1099-DIV received to date. For the year ended October 31, 2015, the character of distributions paid to shareholders of Flexible Select, Global Allocation, Inflation Managed and Long Short disclosed within the Statements of Changes in Net Assets is based on estimates made at that time. Based on past experience it is possible that a portion of Flexible Select's, Global Allocation's, Inflation Managed's, Long Short's and Multi-Asset Income'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, Global Allocation, Inflation Managed, Long Short and Multi-Asset Income 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, Global Allocation, Inflation Managed, Long Short and Multi-Asset Income of the actual breakdown of distributions paid to Flexible Select, Global Allocation, Inflation Managed, Long Short and Multi-Asset Income during its fiscal year, estimates previously recorded are adjusted on the books of Flexible Select, Global Allocation, Inflation Managed, Long Short and Multi-Asset Income to reflect actual results. As a result, the composition of Flexible Select's, Global Allocation'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, Global Allocation, Inflation Managed and Long Short shareholders on IRS Form 1099-DIV.
8 Organization expenses: Costs incurred by Long Short Credit and Multi-Asset Income in connection with their organization, which amounted to $99,533 and $64,186, respectively, 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 Dollar rolls: The Funds may enter into dollar roll transactions with respect to mortgage-backed securities. In a dollar roll transaction, a Fund sells securities for delivery in the current month and simultaneously agrees to repurchase substantially similar (i.e., same type and coupon) securities on a specified future date from the same party. During the period before this repurchase, a Fund forgoes principal and interest payments on the securities. A Fund is compensated by the difference between the current sales price and the forward price for the future purchase (often referred to as the "drop"), as well as by the interest earned on the cash proceeds of the initial sale. Dollar rolls may increase fluctuations in a Fund's NAV and may be viewed as a form of leverage. There is a risk that the counterparty will be unable or unwilling to complete the transaction as scheduled, which may result in losses to a Fund.
12 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, 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 October 31, 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 October 31, 2015, Long Short and Long Short Credit had pledged cash in the amount of $400,341,467 and $967,611 to State Street to cover collateral requirements for borrowing in connection with securities sold short, respectively.
At October 31, 2015, Global Allocation and Long Short had pledged securities in the amount of $2,884,661 and $50,048,390, respectively, to State Street to cover collateral requirements for borrowing in connection with securities sold short.
13 Security lending: Each Fund (except Inflation Managed), 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 year ended October 31, 2015, Global Allocation received net income under the securities lending arrangement of $953. 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 October 31, 2015, approximately 100% of the cash collateral received by Global Allocation was used to finance short sales.
As of October 31, 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 | $ | 228,266 | $ | 233,817 |
14 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.
15 Derivative instruments: During the year ended October 31, 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, total return basket swaps, equity swaps, over the counter ("OTC") credit default swaps, swaptions, centrally cleared credit default swaps, financial futures, 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.
Total return swap contracts: During the year ended October 31, 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). During the year ended October 31, 2015, Long Short used total return swaps in an attempt to increase returns, reduce risks and for hedging purposes. During the period ended October 31, 2015, Long Short Credit used total return swaps to replace more traditional direct investments and to hedge risk. 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 October 31, 2015, there were no total return swap contracts outstanding for Global Allocation. During the year ended October 31, 2015, the average notional value of total return swap contracts was $7,199,072 for Global Allocation.
At October 31, 2015, the Funds had outstanding OTC total return swap contracts as follows:
Long Short
Short Total Return Swaps
Swap Counterparty | Reference Entity | Notional Value(3) | Termination Date | Variable-rate | Unrealized Appreciation (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Total Fair Value | ||||||||||||||||||
Goldman Sachs International | S&P Oil & Gas Exploration & Production Select Industry Index | $ | (3,277,467 | ) | February 13, 2017 | (2.254 | )%(1) | $ | 38,584 | $ | (14,473 | ) | $ | 24,111 | |||||||||||
Goldman Sachs International | Alerian MLP Infrastructure Index | $ | (9,759,588 | ) | February 13, 2017 | (0.554 | )%(2) | 520,908 | (1,121 | ) | 519,787 | ||||||||||||||
$ | 559,492 | $ | (15,594 | ) | $ | 543,898 |
(1) 1 month LIBOR as of October 13, 2015 minus 2.45%
(2) 1 month LIBOR as of October 13, 2015 minus 0.75%.
(3) Notional value represents the value (including any fees or commissions) of the short positions when they were established.
Long Short Credit
Short Total Return Swaps
Swap Counterparty | Reference Entity | Notional Value(1) | Termination Date | Unrealized Appreciation (Depreciation) | |||||||||||||||
Bank of America N.A | Bovespa Index Futures | $ | (976,611 | ) | December 16, 2015 | $ | 13,005 | ||||||||||||
$ | 13,005 |
(1) Notional value represents the value (including any fees or commissions) of the short positions when they were established.
Total return basket swap contracts: During the year ended October 31, 2015, Long Short used total return basket swaps in an attempt to increase returns, reduce risks and for hedging purposes. During the period ended October 31, 2015, Long Short Credit used total return basket swaps to replace more traditional direct investments and to hedge risk. Certain Funds may enter into an total return basket swap agreement to obtain exposure to a portfolio of long and short securities. Under the terms of the agreement, the swap is designed to function as a portfolio of direct investments in long and short equity or fixed income positions. The Funds have the ability to trade in and out of long and short positions within the swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on defined market rates plus or minus a specified spread and are referred to herein as "financing costs". Positions within the swap are reset periodically, and financing costs are reset monthly. During a reset, any unrealized gains (losses) on positions and accrued financing costs become available for cash settlement between the Funds and the swap counterparty. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Funds and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of a International Swaps and Derivatives Association (ISDA) agreement between the Funds and the counterparty. A change in the market value of a total return basket swap contract is recognized as a change in
unrealized appreciation (depreciation) on swap contracts in the Statements of Operations. Cash settlements between a Fund and the counterparty are recognized as realized gains (losses) on swap contracts in the Statements of Operations. At October 31, 2015, Long Short and Long Short Credit had total return basket swaps outstanding as follows:
At October 31, 2015, the outstanding OTC total return basket swaps* were as follows:
Long Short
Counterparty | Description | Expiration Date(s) | Value | ||||||||||||
Goldman Sachs & Co. | The Fund pays the total return on short positions and receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions. | 10/3/2016- 3/30/2017 | $ | (2,826,025 | ) |
* The following table represents the individual short positions and related values of the total return basket swaps as of October 31, 2015.
Reference Entity | Shares | Notional Value(a) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Short Positions | |||||||||||||||
GSCBNMLP INDEX | |||||||||||||||
Tesoro Logistics LP | (13,255 | ) | $ | (1,321,195 | ) | $ | (105,163 | ) | |||||||
Valero Energy Partners LP | (12,706 | ) | (1,266,466 | ) | (100,807 | ) | |||||||||
Shell Midstream Partners LP | (12,348 | ) | (1,230,764 | ) | (97,965 | ) | |||||||||
Western Gas Partners LP | (11,551 | ) | (1,151,407 | ) | (91,648 | ) | |||||||||
Spectra Energy Partners LP | (11,031 | ) | (1,099,485 | ) | (87,516 | ) | |||||||||
ONEOK Partners LP | (10,449 | ) | (1,041,485 | ) | (82,899 | ) | |||||||||
MPLX LP | (10,190 | ) | (1,015,704 | ) | (80,847 | ) | |||||||||
Targa Resources Partners LP | (10,170 | ) | (1,013,792 | ) | (80,693 | ) | |||||||||
(91,700 | ) | (9,140,298 | ) | (727,538 | ) | ||||||||||
GSCBNMLP INDEX | |||||||||||||||
Tesoro Logistics LP | (13,255 | ) | (1,266,596 | ) | (159,762 | ) | |||||||||
Valero Energy Partners LP | (12,706 | ) | (1,214,128 | ) | (153,144 | ) | |||||||||
Shell Midstream Partners LP | (12,348 | ) | (1,179,902 | ) | (148,827 | ) | |||||||||
Western Gas Partners LP | (11,551 | ) | (1,103,824 | ) | (139,231 | ) | |||||||||
Spectra Energy Partners LP | (11,031 | ) | (1,054,048 | ) | (132,953 | ) | |||||||||
ONEOK Partners LP | (10,449 | ) | (998,445 | ) | (125,939 | ) | |||||||||
MPLX LP | (10,190 | ) | (973,729 | ) | (122,822 | ) | |||||||||
Targa Resources Partners LP | (10,170 | ) | (971,896 | ) | (122,591 | ) | |||||||||
(91,700 | ) | (8,762,568 | ) | (1,105,269 | ) | ||||||||||
GSCBNUTL INDEX | |||||||||||||||
Pattern Energy Group Inc. | (8,305 | ) | (790,984 | ) | (186,711 | ) | |||||||||
8Point3 Energy Partners LP | (8,304 | ) | (790,927 | ) | (186,698 | ) | |||||||||
TerraForm Power Inc. | (8,259 | ) | (786,609 | ) | (185,679 | ) | |||||||||
NextEra Energy Partners LP | (7,894 | ) | (751,872 | ) | (177,479 | ) | |||||||||
Abengoa Yield PLC | (7,543 | ) | (718,423 | ) | (169,583 | ) | |||||||||
TerraForm Global Inc. | (7,195 | ) | (685,418 | ) | (161,793 | ) | |||||||||
(47,500 | ) | (4,524,233 | ) | (1,067,943 | ) |
Reference Entity | Shares | Notional Value(a) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Short Positions | |||||||||||||||
GSCBNINV INDEX | |||||||||||||||
FS Investment Corp. | (14,337 | ) | $ | (1,403,029 | ) | $ | (4,165 | ) | |||||||
Prospect Capital Corp. | (10,597 | ) | (1,036,977 | ) | (3,078 | ) | |||||||||
Ares Capital Corp. | (7,198 | ) | (704,398 | ) | (2,091 | ) | |||||||||
New Mountain Finance Corp. | (7,137 | ) | (698,424 | ) | (2,073 | ) | |||||||||
Triangle Capital Corp. | (6,872 | ) | (672,462 | ) | (1,996 | ) | |||||||||
Apollo Investment Corp. | (6,777 | ) | (663,149 | ) | (1,969 | ) | |||||||||
Fifth Street Finance Corp. | (6,395 | ) | (625,835 | ) | (1,858 | ) | |||||||||
PennantPark Investment Corp. | (3,683 | ) | (360,437 | ) | (1,070 | ) | |||||||||
THL Credit Inc. | (3,572 | ) | (349,568 | ) | (1,038 | ) | |||||||||
Medley Capital Corp. | (3,432 | ) | (335,886 | ) | (997 | ) | |||||||||
(70,000 | ) | (6,850,165 | ) | (20,335 | ) | ||||||||||
GSCBNINV INDEX | |||||||||||||||
FS Investment Corp. | (14,440 | ) | (1,430,410 | ) | 13,165 | ||||||||||
Prospect Capital Corp. | (10,672 | ) | (1,057,215 | ) | 9,730 | ||||||||||
Ares Capital Corp. | (7,249 | ) | (718,145 | ) | 6,609 | ||||||||||
New Mountain Finance Corp. | (7,188 | ) | (712,054 | ) | 6,553 | ||||||||||
Triangle Capital Corp. | (6,921 | ) | (685,586 | ) | 6,310 | ||||||||||
Apollo Investment Corp. | (6,825 | ) | (676,090 | ) | 6,222 | ||||||||||
Fifth Street Finance Corp. | (6,441 | ) | (638,049 | ) | 5,872 | ||||||||||
PennantPark Investment Corp. | (3,710 | ) | (367,471 | ) | 3,382 | ||||||||||
THL Credit Inc. | (3,598 | ) | (356,390 | ) | 3,280 | ||||||||||
Medley Capital Corp. | (3,456 | ) | (342,440 | ) | 3,152 | ||||||||||
(70,500 | ) | (6,983,850 | ) | 64,275 | |||||||||||
Total Short Positions of Total Return Basket Swaps | $ | (2,856,810 | ) | ||||||||||||
Net Cash and Other Receivables (Payables) | 30,785 | ||||||||||||||
Total Return Basket Swaps, at Value Goldman Sachs & Co. | $ | (2,826,025 | ) | ||||||||||||
Long Short Credit | |||||||||||||||
Counterparty | Description | Expiration Date | Value | ||||||||||||
Goldman Sachs & Co. | The Fund pays the total return short positions and receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions. | 4/20/2017 | $ | (6,425 | ) |
* The following table represents the individual short positions and related values of the total return basket swaps as of October 31, 2015.
Reference Entity | Shares | Notional Value(a) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Short Positions | |||||||||||||||
GSCBOSCS INDEX | |||||||||||||||
First Quantum Minerals Ltd. | 507 | $ | (45,247 | ) | $ | (3,305 | ) | ||||||||
HudBay Minerals, Inc. | 493 | (44,017 | ) | (3,216 | ) | ||||||||||
(1,000 | ) | (89,264 | ) | (6,521 | ) | ||||||||||
Total Short Positions of Total Return Basket Swaps | (6,521 | ) | |||||||||||||
Net Cash and Other Receivables (Payables) | 96 | ||||||||||||||
Total Return Basket Swaps, at Value Goldman Sachs & Co. | $ | (6,425 | ) |
(a) Notional value represents the value (including any fees or commissions) of the short positions when they were established.
Equity swap contracts: During the period ended October 31, 2015, Long Short Credit used equity swaps to replace more traditional direct investments 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 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 future market trends, the values of assets or economic factors are not accurately analyzed and predicted, the 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 the Fund are recorded as realized gains or losses.
At October 31, 2015, the outstanding OTC equity swaps* for Long Short Credit were as follows:
Counterparty | Description | Expiration Date | Value | ||||||||||||
Goldman Sachs International | The Fund receives the total return on long positions` and pays a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions. | 2/5/2017 | $ | 38,466 |
* The following table represents the individual long positions and related values of the equity swaps as of October 31, 2015.
Reference Entity | Shares | Notional Value(a) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions | |||||||||||||||
Vallourec SA | 10,000 | $ | 148,518 | $ | 38,653 | ||||||||||
Total Long Positions of Equity Swaps | 38,653 | ||||||||||||||
Financing Costs and Other Payables | (187 | ) | |||||||||||||
Equity Swaps, at Value Goldman Sachs International | 38,466 |
(a) Notional value represents the value (including any fees or commissions) of the long positions when they were established.
For the year ended October 31, 2015, the average notional value of total return swaps, total return basket swaps and equity swaps was:
Long positions | Short positions | ||||||||
Long Short | $ | — | $ | (10,876,485 | ) | ||||
Long Short Credit | $ | 7,833,089 | $ | (50,647 | ) |
Credit default swap contracts: During the period ended October 31, 2015, Long Short Credit used credit default swaps to replace more traditional direct investments, to establish net short or long positions for individual markets, currencies or securities and to hedge risk. 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 swaps.
At October 31, 2015, Long Short Credit had outstanding OTC credit default swaps as follows:
OTC Credit Default Swap Contracts—Buy Protection
Swap Counterparty | Reference Entity | Notional Amount | Contract Annual Fixed Rate* | Termination Date | Market Value | Unamortized Upfront Payments Received (Paid) | Unrealized Appreciation (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Total Fair Value | ||||||||||||||||||||||||||||||
Goldman Sachs & Co. | Chile (Republic of) | $ | 500,000 | 1.00 | % | December 20, 2020 | $ | 5,210 | $ | (5,560 | ) | $ | (350 | ) | $ | (569 | ) | $ | (919 | ) | |||||||||||||||||||
Goldman Sachs & Co. | South Africa (Republic of) | 500,000 | 1.00 | % | December 20, 2020 | 35,470 | (45,415 | ) | (9,945 | ) | (569 | ) | (10,514 | ) | |||||||||||||||||||||||||
Goldman Sachs & Co. | Turkey (Republic of) | 500,000 | 1.00 | % | December 20, 2020 | 35,416 | (50,064 | ) | (14,648 | ) | (570 | ) | (15,218 | ) | |||||||||||||||||||||||||
Total | $ | 76,096 | $ | (101,039 | ) | $ | (24,943 | ) | $ | (1,708 | ) | $ | (26,651 | ) |
* 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.
OTC Credit Default Swap Contracts—Sell Protection
Swap Counterparty | Reference Entity | Notional Amount | Contract Annual Fixed Rate* | Termination Date | Market Value | Credit Spread at October 31, 2015 | Unamortized Upfront Payments Received (Paid) | Unrealized Appreciation (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Total Fair Value | |||||||||||||||||||||||||||||||||
Goldman Sachs & Co. | Abengoa, S.A. | $ | 500,000 | 5.00 | % | December 20, 2020 | $ | (380,746 | ) | 4.943 | $ | 433,423 | $ | 52,677 | $ | 3,194 | $ | 55,871 | |||||||||||||||||||||||||
Total | $ | (380,746 | ) | $ | 433,423 | $ | 52,677 | $ | 3,194 | $ | 55,871 |
* The contract annual fixed rate represents the annual fixed rate of interest received by the Fund (as a seller of protection) on the notional amount of the credit default index swaps.
For the period ended October 31, 2015, the average notional value of OTC credit default swaps for Long Short Credit was $1,491,967.
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. 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.
At October 31, 2015, Long Short Credit had outstanding centrally cleared credit default index swaps as follows:
Centrally Cleared Credit Default Swap Contracts—Sell Protection
Clearinghouse | Reference Entity | Notional Amount(1) | Contract Annual Fixed Rate* | Termination Date | Market Value | Unamortized Upfront Payments Received (Paid) | Unrealized Appreciation (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Total Fair Value | ||||||||||||||||||||||||||||||
ICE Clear Credit LLC | CDX North American High Yield | $ | 1,00,000 | 5.00 | % | December 20, 2020 | $ | 101,844 | $ | (89,859 | ) | $ | 11,985 | $ | 6,430 | $ | 18,415 | ||||||||||||||||||||||
Total | $ | 101,844 | $ | (89,859 | ) | $ | 11,985 | $ | 6,430 | $ | 18,415 |
* The contract annual fixed rate represents the annual fixed rate of interest received by the Fund (as a seller of protection) on the notional amount of the credit default swap contract.
For the period ended October 31, 2015, the average notional value of centrally cleared credit default swaps for Long Short Credit was $5,897,290.
At October 31, 2015, the Funds had deposited the following in segregated accounts to cover margin requirements on credit default swaps, total return swaps, total return basket swaps and equity swaps:
Long Short | $ | 1,750,000 | |||
Long Short Credit | $ | 699,027 |
Financial futures contracts: During the year ended October 31, 2015, Global Allocation used financial futures 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 to provide
investment exposure to certain indices and markets other than the benchmark indices. During the year ended October 31, 2015, Inflation Managed used financial futures for economic hedging purposes, including as a maturity or duration management device. During the year ended October 31, 2015, Long Short used financial futures 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. During the period ended October 31, 2015, Long Short Credit used futures to manage or adjust the risk profile of the Fund or the risk of individual positions, to adjust the duration of the Fund's portfolio, to hedge risk and to alter the Fund's exposure to currencies, interest rates, sectors and individual issuers. During the period ended October 31, 2015, Multi-Asset Income used financial futures in an effort to adjust the investment exposure and/or risk profile of the portfolio based on the portfolio managers team's market views.
At the time 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 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 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, 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 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, a 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.
At October 31, 2015, open positions in financial futures were as follows:
Fund | Expiration | Open Contracts | Position | Unrealized Appreciation (Depreciation) | |||||||
Global Allocation | December 2015 | 2 AUD Currency | Short | $ | (1,337 | ) | |||||
Global Allocation | December 2015 | 1 CAD Currency | Short | (808 | ) | ||||||
Global Allocation | December 2015 | 1 Canadian Treasury Bond, 10 Year | Short | 2,575 | |||||||
Global Allocation | December 2015 | 3 CHF Currency | Short | 2,119 | |||||||
Global Allocation | December 2015 | 4 GBP Currency | Short | (912 | ) | ||||||
Global Allocation | December 2015 | 1 Mini Japanese Government Bond, 10 Year | Short | (790 | ) | ||||||
Global Allocation | December 2015 | 10 Mini MSCI Emerging Markets Index | Short | (21,223 | ) | ||||||
Global Allocation | December 2015 | 1 NOK Currency | Short | (11 | ) | ||||||
Global Allocation | December 2015 | 3 NZD Currency Dollar | Short | (13,659 | ) | ||||||
Global Allocation | December 2015 | 1 UK Long Gilt Bond | Short | (340 | ) |
Fund | Expiration | Open Contracts | Position | Unrealized Appreciation (Depreciation) | |||||||
Global Allocation | December 2015 | 1 U.S. Treasury Note, 10 Year | Short | $ | (332 | ) | |||||
Global Allocation | November 2015 | 1 AEX-Index | Long | (38 | ) | ||||||
Global Allocation | December 2015 | 1 Canadian Treasury Bond, 10 Year | Long | (703 | ) | ||||||
Global Allocation | December 2015 | 2 CAD Currency | Long | 944 | |||||||
Global Allocation | December 2015 | 5 Euro FX Currency | Long | (7,451 | ) | ||||||
Global Allocation | December 2015 | 1 Euro STOXX 50 Index | Long | 2,045 | |||||||
Global Allocation | December 2015 | 1 EuroYen, 90 Day | Long | (27 | ) | ||||||
Global Allocation | December 2015 | 3 FTSE 100 Index | Long | 4,574 | |||||||
Global Allocation | December 2015 | 1 GBP Currency | Long | 216 | |||||||
Global Allocation | December 2015 | 5 JPY Currency | Long | (1,930 | ) | ||||||
Global Allocation | December 2015 | 3 Mini Japanese Government Bond, 10 Year | Long | 1,881 | |||||||
Global Allocation | December 2015 | 8 Mini MSCI Emerging Markets Index | Long | 81 | |||||||
Global Allocation | December 2015 | 1 MXN Currency | Long | 617 | |||||||
Global Allocation | December 2015 | 1 NASDAQ 100 E-Mini Index | Long | 27 | |||||||
Global Allocation | December 2015 | 3 Nikkei 225 Index | Long | 256 | |||||||
Global Allocation | December 2015 | 4 Russell 2000 Mini Index | Long | 4,081 | |||||||
Global Allocation | December 2015 | 4 S&P 500 E-Mini Index | Long | 29,449 | |||||||
Global Allocation | December 2015 | 2 TOPIX Index | Long | 22,508 | |||||||
Global Allocation | December 2015 | 4 U.S. Treasury Bond, Long | Long | 1,785 | |||||||
Global Allocation | December 2015 | 1 U.S. Treasury Note, 5 Year | Long | (8 | ) | ||||||
Global Allocation | December 2015 | 1 U.S. Treasury Note, 10 Year | Long | 628 | |||||||
Global Allocation | December 2015 | 2 UK Long Gilt Bond | Long | (373 | ) | ||||||
Global Allocation | December 2016 | 1 New Zealand Treasury Bill, 90 Day | Long | 362 | |||||||
Total | $ | 24,206 | |||||||||
Inflation Managed | December 2015 | 2 Canadian Treasury Bond, 10 Year | Short | $ | 5,151 | ||||||
Inflation Managed | December 2015 | 2 Euro-OAT | Short | (10,809 | ) | ||||||
Inflation Managed | December 2015 | 1 JPY Currency | Short | (278 | ) | ||||||
Inflation Managed | December 2015 | 1 MXN Currency | Short | (628 | ) | ||||||
Inflation Managed | December 2015 | 1 Mini Japanese Government Bond, 10 Year | Short | (790 | ) | ||||||
Inflation Managed | December 2015 | 6 NZD Currency | Short | (27,317 | ) | ||||||
Inflation Managed | December 2015 | 1 ZAR Currency | Short | (253 | ) | ||||||
Inflation Managed | December 2015 | 1 U.S. Treasury Bond, Long | Short | (1,587 | ) | ||||||
Inflation Managed | December 2015 | 1 U.S. Treasury Note, 10 Year | Short | (332 | ) | ||||||
Inflation Managed | December 2015 | 1 U.S. Treasury Bond, Ultra Long | Short | (746 | ) | ||||||
Inflation Managed | December 2015 | 2 CAD Currency | Long | (426 | ) | ||||||
Inflation Managed | December 2015 | 3 EUR FX Currency | Long | (609 | ) | ||||||
Inflation Managed | December 2015 | 1 EuroYen, 90 Day | Long | (21 | ) | ||||||
Inflation Managed | December 2015 | 5 GBP Currency | Long | 1,545 | |||||||
Inflation Managed | December 2015 | 1 SEK Currency | Long | (7,875 | ) | ||||||
Inflation Managed | December 2015 | 1 UK Long Gilt Bond | Long | 322 | |||||||
Inflation Managed | December 2016 | 1 Canadian Banker's Acceptance | Long | (2 | ) |
Fund | Expiration | Open Contracts | Position | Unrealized Appreciation (Depreciation) | |||||||
Inflation Managed | December 2016 | 3 New Zealand Bank Bill, 90 Day | Long | $ | 1,087 | ||||||
Total | $ | (43,568 | ) | ||||||||
Long Short | December 2015 | 470 Russell 2000 Mini Index | Short | $ | 139,820 | ||||||
Long Short | December 2015 | 3,283 S&P 500 E-Mini Index | Short | (14,658,283 | ) | ||||||
Long Short | December 2015 | 160 S&P MidCap 400 E-Mini Index | Short | (337,482 | ) | ||||||
Total | $ | (14,855,945 | ) | ||||||||
Long Short Credit | December 2015 | 5 S&P 500 E-Mini Index | Short | $ | (29,688 | ) | |||||
Long Short Credit | December 2015 | 40 U.S. Treasury Note, 5 Year | Long | 4,613 | |||||||
Total | $ | (25,075 | ) | ||||||||
Multi-Asset Income | December 2015 | 3 Mini MSCI Emerging Markets Index | Short | $ | 3,170 | ||||||
Multi-Asset Income | December 2015 | 1 U.S. Treasury Note, 5 Year | Short | 656 | |||||||
Multi-Asset Income | December 2015 | 1 Canadian Treasury Bond, 10 Year | Long | (637 | ) | ||||||
Multi-Asset Income | December 2015 | 1 Euro-Bobl | Long | 395 | |||||||
Multi-Asset Income | December 2015 | 1 Euro-OAT | Long | 1,385 | |||||||
Multi-Asset Income | December 2015 | 2 Euro STOXX 50 Index | Long | 4,091 | |||||||
Multi-Asset Income | December 2015 | 2 Mini Japanese Government Bond, 10 Year | Long | 1,253 | |||||||
Multi-Asset Income | December 2015 | 2 TOPIX Index | Long | 10,760 | |||||||
Multi-Asset Income | December 2015 | 2 UK Long Gilt Bond | Long | (1,620 | ) | ||||||
Multi-Asset Income | December 2015 | 1 U.S. Treasury Note, 2 Year | Long | (453 | ) | ||||||
Multi-Asset Income | December 2015 | 1 U.S. Treasury Note, 10 Year | Long | 280 | |||||||
Multi-Asset Income | December 2015 | 2 U.S. Treasury Bond, Long | Long | 0 | |||||||
Total | $ | 19,280 |
For the year ended October 31, 2015, the average notional value of financial futures was:
Long positions | Short positions | |||||||
Global Allocation | $ | 6,440,552 | $ | (4,276,122 | ) | |||
Inflation Managed | $ | 3,844,100 | $ | (2,698,892 | ) | |||
Long Short | $ | — | $ | (388,237,957 | ) | |||
Long Short Credit | $ | 5,228,619 | $ | (238,675 | ) | |||
Multi-Asset Income | $ | 923,127 | $ | (144,777 | ) |
At October 31, 2015, the notional value of financial futures was:
Long positions | Short positions | |||||||
Global Allocation | $ | 6,359,709 | $ | (2,383,618 | ) | |||
Inflation Managed | $ | 3,878,513 | $ | (1,693,699 | ) | |||
Long Short | $ | — | $ | (417,900,355 | ) | |||
Long Short Credit | $ | 4,790,938 | $ | (518,425 | ) | |||
Multi-Asset Income | $ | 2,019,894 | $ | (246,328 | ) |
At October 31, 2015, the Funds had deposited the following in segregated accounts to cover margin requirements on open financial futures:
Global Allocation | $ | 197,557 | |||
Inflation Managed | $ | 64,123 | |||
Long Short | $ | 20,582,980 | |||
Long Short Credit | $ | 59,000 |
Forward foreign currency contracts: During the year ended October 31, 2015, Global Allocation used 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 October 31, 2015, Long Short Credit used forward contracts to alter the Fund's exposure to currencies, interest rates, sectors and individual issuers. During the period ended October 31, 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 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 October 31, 2015, open forward contracts were as follows:
Global Allocation
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||
45,540 | Australian Dollar | $ | 33,314 | Royal Bank of Canada | 12/18/15 | $ | (914 | ) | |||||||||
99,126 | Australian Dollar | 71,747 | Royal Bank of Canada | 12/18/15 | (1,221 | ) | |||||||||||
164,866 | Australian Dollar | 114,750 | Societe Generale | 12/18/15 | 2,549 | ||||||||||||
53,753 | Australian Dollar | 37,676 | Societe Generale | 12/18/15 | 569 | ||||||||||||
173,205 | Australian Dollar | 121,711 | State Street Bank London | 12/18/15 | 1,520 | ||||||||||||
35,104 | Australian Dollar | 24,629 | State Street Bank London | 12/18/15 | 347 | ||||||||||||
160,298 | Australian Dollar | 114,131 | State Street Bank London | 12/18/15 | (82 | ) | |||||||||||
86,265 | Australian Dollar | 62,288 | State Street Bank London | 12/18/15 | (912 | ) | |||||||||||
201,014 | Australian Dollar | 141,650 | State Street Bank London | 12/18/15 | 1,367 | ||||||||||||
107,615 | Australian Dollar | 76,056 | State Street Bank London | 12/18/15 | 510 | ||||||||||||
321,808 | Australian Dollar | 231,650 | State Street Bank London | 12/18/15 | (2,691 | ) | |||||||||||
544,471 | Brazilian Real | 137,949 | Barclays Bank PLC Wholesale | 11/12/15 | 2,907 | ||||||||||||
40,257 | Canadian Dollar | 30,466 | Royal Bank of Canada | 12/18/15 | 313 |
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||
142,620 | Canadian Dollar | $ | 109,428 | Royal Bank of Canada | 12/18/15 | $ | (387 | ) | |||||||||
75,018 | Canadian Dollar | 57,433 | Societe Generale | 12/18/15 | (77 | ) | |||||||||||
155,641 | Canadian Dollar | 119,171 | Societe Generale | 12/18/15 | (174 | ) | |||||||||||
32,973 | Canadian Dollar | 24,940 | Societe Generale | 12/18/15 | 269 | ||||||||||||
19,245 | Canadian Dollar | 14,522 | Societe Generale | 12/18/15 | 192 | ||||||||||||
187,025 | Canadian Dollar | 140,493 | Societe Generale | 12/18/15 | 2,499 | ||||||||||||
102,057 | Canadian Dollar | 77,067 | State Street Bank London | 12/18/15 | 962 | ||||||||||||
152,226 | Canadian Dollar | 115,533 | State Street Bank London | 12/18/15 | 853 | ||||||||||||
46,452 | Canadian Dollar | 34,989 | State Street Bank London | 12/18/15 | 526 | ||||||||||||
173,923 | Canadian Dollar | 129,631 | State Street Bank London | 12/18/15 | 3,344 | ||||||||||||
68,764 | Canadian Dollar | 52,974 | State Street Bank London | 12/18/15 | (400 | ) | |||||||||||
18,057 | Canadian Dollar | 13,794 | State Street Bank London | 12/18/15 | 12 | ||||||||||||
165,780 | Euro | 186,045 | Royal Bank of Canada | 12/18/15 | (3,612 | ) | |||||||||||
46,528 | Euro | 52,208 | Royal Bank of Canada | 12/18/15 | (1,006 | ) | |||||||||||
26,814 | Euro | 30,110 | Royal Bank of Canada | 12/18/15 | (602 | ) | |||||||||||
61,142 | Euro | 70,062 | Royal Bank of Canada | 12/18/15 | (2,778 | ) | |||||||||||
74,463 | Euro | 82,011 | Societe Generale | 12/18/15 | (68 | ) | |||||||||||
50,003 | Euro | 56,637 | Societe Generale | 12/18/15 | (1,611 | ) | |||||||||||
143,622 | Euro | 162,141 | State Street Bank London | 12/18/15 | (4,091 | ) | |||||||||||
80,334 | Euro | 89,500 | State Street Bank London | 12/18/15 | (1,096 | ) | |||||||||||
121,782 | Euro | 135,930 | State Street Bank London | 12/18/15 | (1,915 | ) | |||||||||||
37,979 | Euro | 42,826 | State Street Bank London | 12/18/15 | (1,032 | ) | |||||||||||
15,810 | Euro | 17,960 | State Street Bank London | 12/18/15 | (561 | ) | |||||||||||
30,155 | Euro | 34,174 | State Street Bank London | 12/18/15 | (989 | ) | |||||||||||
11,063 | Euro | 12,134 | State Street Bank London | 12/18/15 | 40 | ||||||||||||
3,020,041,185 | Indonesian Rupiah | 206,923 | Barclays Bank PLC Wholesale | 11/12/15 | 13,125 | ||||||||||||
6,070,189 | Japanese Yen | 50,488 | Royal Bank of Canada | 12/18/15 | (147 | ) | |||||||||||
1,667,585 | Japanese Yen | 13,821 | Royal Bank of Canada | 12/18/15 | 8 | ||||||||||||
10,359,716 | Japanese Yen | 86,595 | Royal Bank of Canada | 12/18/15 | (682 | ) | |||||||||||
5,214,331 | Japanese Yen | 43,332 | Societe Generale | 12/18/15 | (89 | ) | |||||||||||
2,824,931 | Japanese Yen | 23,740 | Societe Generale | 12/18/15 | (312 | ) | |||||||||||
5,938,717 | Japanese Yen | 49,489 | State Street Bank London | 12/18/15 | (239 | ) | |||||||||||
1,406,382 | Japanese Yen | 11,680 | State Street Bank London | 12/18/15 | (17 | ) | |||||||||||
8,616,839 | Japanese Yen | 72,040 | State Street Bank London | 12/18/15 | (580 | ) | |||||||||||
3,330,931 | Japanese Yen | 27,748 | State Street Bank London | 12/18/15 | (124 | ) | |||||||||||
2,095,742 | Japanese Yen | 17,434 | State Street Bank London | 12/18/15 | (54 | ) | |||||||||||
2,683,001 | Japanese Yen | 22,470 | State Street Bank London | 12/18/15 | (220 | ) | |||||||||||
2,376,039 | Japanese Yen | 19,625 | State Street Bank London | 12/18/15 | 79 | ||||||||||||
3,489,879 | Japanese Yen | 28,932 | State Street Bank London | 12/18/15 | 10 | ||||||||||||
13,312,097 | New Taiwan Dollar | 409,477 | Barclays Bank PLC Wholesale | 11/12/15 | 493 | ||||||||||||
37,597 | New Zealand Dollar | 25,730 | Royal Bank of Canada | 12/18/15 | (355 | ) | |||||||||||
315,029 | New Zealand Dollar | 196,499 | State Street Bank London | 12/18/15 | 16,119 | ||||||||||||
86,334 | New Zealand Dollar | 53,916 | State Street Bank London | 12/18/15 | 4,353 | ||||||||||||
227,505 | New Zealand Dollar | 143,052 | State Street Bank London | 12/18/15 | 10,495 | ||||||||||||
42,263 | New Zealand Dollar | 26,438 | State Street Bank London | 12/18/15 | 2,086 | ||||||||||||
22,410 | New Zealand Dollar | 14,520 | State Street Bank London | 12/18/15 | 605 |
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||
154,053 | New Zealand Dollar | $ | 102,753 | State Street Bank London | 12/18/15 | $ | 1,220 | ||||||||||
75,543 | New Zealand Dollar | 51,126 | State Street Bank London | 12/18/15 | (141 | ) | |||||||||||
21,765 | New Zealand Dollar | 14,495 | State Street Bank London | 12/18/15 | 194 | ||||||||||||
354,973 | Norwegian Krone | 42,923 | Royal Bank of Canada | 12/18/15 | (1,176 | ) | |||||||||||
152,986 | Norwegian Krone | 18,014 | Royal Bank of Canada | 12/18/15 | (22 | ) | |||||||||||
155,329 | Norwegian Krone | 18,528 | Royal Bank of Canada | 12/18/15 | (261 | ) | |||||||||||
745,343 | Norwegian Krone | 87,012 | Societe Generale | 12/18/15 | 646 | ||||||||||||
317,711 | Norwegian Krone | 39,408 | Societe Generale | 12/18/15 | (2,043 | ) | |||||||||||
3,093,044 | Norwegian Krone | 376,840 | State Street Bank London | 12/18/15 | (13,077 | ) | |||||||||||
146,964 | Norwegian Krone | 17,831 | State Street Bank London | 12/18/15 | (547 | ) | |||||||||||
412,647 | Norwegian Krone | 50,459 | State Street Bank London | 12/18/15 | (1,929 | ) | |||||||||||
328,876 | Norwegian Krone | 40,132 | State Street Bank London | 12/18/15 | (1,454 | ) | |||||||||||
607,078 | Norwegian Krone | 71,026 | State Street Bank London | 12/18/15 | 370 | ||||||||||||
638,079 | Norwegian Krone | 78,761 | State Street Bank London | 12/18/15 | (3,719 | ) | |||||||||||
187,782 | Norwegian Krone | 23,109 | State Street Bank London | 12/18/15 | (1,024 | ) | |||||||||||
111,894 | Norwegian Krone | 13,032 | State Street Bank London | 12/18/15 | 128 | ||||||||||||
910,308 | Norwegian Krone | 107,423 | State Street Bank London | 12/18/15 | (365 | ) | |||||||||||
714,966 | Polish Zloty | 188,530 | Barclays Bank PLC Wholesale | 11/12/15 | (3,569 | ) | |||||||||||
29,907 | Pound Sterling | 45,336 | Royal Bank of Canada | 12/18/15 | 759 | ||||||||||||
96,372 | Pound Sterling | 147,890 | Royal Bank of Canada | 12/18/15 | 648 | ||||||||||||
13,650 | Pound Sterling | 20,990 | Royal Bank of Canada | 12/18/15 | 48 | ||||||||||||
16,804 | Pound Sterling | 25,502 | Royal Bank of Canada | 12/18/15 | 397 | ||||||||||||
13,241 | Pound Sterling | 20,358 | Societe Generale | 12/18/15 | 50 | ||||||||||||
43,525 | Pound Sterling | 66,737 | Societe Generale | 12/18/15 | 347 | ||||||||||||
64,395 | Pound Sterling | 98,138 | Societe Generale | 12/18/15 | 1,114 | ||||||||||||
69,950 | Pound Sterling | 107,863 | State Street Bank London | 12/18/15 | (50 | ) | |||||||||||
13,285 | Pound Sterling | 20,522 | State Street Bank London | 12/18/15 | (46 | ) | |||||||||||
52,432 | Pound Sterling | 81,048 | State Street Bank London | 12/18/15 | (235 | ) | |||||||||||
11,023 | Pound Sterling | 16,723 | State Street Bank London | 12/18/15 | 267 | ||||||||||||
57,911 | Pound Sterling | 87,786 | State Street Bank London | 12/18/15 | 1,472 | ||||||||||||
42,517 | Pound Sterling | 64,330 | State Street Bank London | 12/18/15 | 1,201 | ||||||||||||
26,322 | Pound Sterling | 40,312 | State Street Bank London | 12/18/15 | 258 | ||||||||||||
37,904 | Pound Sterling | 58,553 | State Street Bank London | 12/18/15 | (132 | ) | |||||||||||
1,888,646 | South African Rand | 137,949 | Barclays Bank PLC Wholesale | 11/12/15 | (1,685 | ) | |||||||||||
216,512 | Swedish Krona | 25,860 | Royal Bank of Canada | 12/18/15 | (490 | ) | |||||||||||
346,063 | Swedish Krona | 42,705 | Royal Bank of Canada | 12/18/15 | (2,155 | ) | |||||||||||
616,080 | Swedish Krona | 74,943 | Royal Bank of Canada | 12/18/15 | (2,754 | ) | |||||||||||
253,046 | Swedish Krona | 30,520 | Royal Bank of Canada | 12/18/15 | (869 | ) | |||||||||||
236,624 | Swedish Krona | 28,285 | Societe Generale | 12/18/15 | (559 | ) | |||||||||||
251,683 | Swedish Krona | 30,536 | Societe Generale | 12/18/15 | (1,046 | ) | |||||||||||
103,977 | Swedish Krona | 12,754 | Societe Generale | 12/18/15 | (571 | ) | |||||||||||
571,397 | Swedish Krona | 67,312 | Societe Generale | 12/18/15 | (359 | ) | |||||||||||
142,143 | Swedish Krona | 17,285 | State Street Bank London | 12/18/15 | (630 | ) | |||||||||||
455,191 | Swedish Krona | 53,886 | State Street Bank London | 12/18/15 | (550 | ) | |||||||||||
154,868 | Swedish Krona | 18,988 | State Street Bank London | 12/18/15 | (841 | ) | |||||||||||
507,124 | Swedish Krona | 61,075 | State Street Bank London | 12/18/15 | (1,653 | ) | |||||||||||
460,522 | Swedish Krona | 54,715 | State Street Bank London | 12/18/15 | (753 | ) |
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||
290,034 | Swedish Krona | $ | 34,193 | State Street Bank London | 12/18/15 | $ | (209 | ) | |||||||||
38,013 | Swiss Franc | 40,149 | Royal Bank of Canada | 12/18/15 | (1,632 | ) | |||||||||||
105,297 | Swiss Franc | 108,323 | Royal Bank of Canada | 12/18/15 | (1,631 | ) | |||||||||||
13,902 | Swiss Franc | 14,324 | Societe Generale | 12/18/15 | (238 | ) | |||||||||||
26,254 | Swiss Franc | 27,438 | Societe Generale | 12/18/15 | (836 | ) | |||||||||||
29,006 | Swiss Franc | 29,761 | State Street Bank London | 12/18/15 | (371 | ) | |||||||||||
23,300 | Swiss Franc | 24,054 | State Street Bank London | 12/18/15 | (445 | ) | |||||||||||
Total | $ | (3,834 | ) | ||||||||||||||
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||
53,594 | Australian Dollar | $ | 37,345 | Royal Bank of Canada | 12/18/15 | $ | (786 | ) | |||||||||
105,803 | Australian Dollar | 74,096 | Royal Bank of Canada | 12/18/15 | (1,181 | ) | |||||||||||
126,385 | Australian Dollar | 89,515 | Royal Bank of Canada | 12/18/15 | (406 | ) | |||||||||||
113,992 | Australian Dollar | 81,642 | Royal Bank of Canada | 12/18/15 | 539 | ||||||||||||
106,941 | Australian Dollar | 75,725 | Societe Generale | 12/18/15 | (361 | ) | |||||||||||
165,062 | Australian Dollar | 116,876 | Societe Generale | 12/18/15 | (562 | ) | |||||||||||
19,165 | Australian Dollar | 13,485 | State Street Bank London | 12/18/15 | (150 | ) | |||||||||||
60,215 | Australian Dollar | 42,641 | State Street Bank London | 12/18/15 | (200 | ) | |||||||||||
370,047 | Australian Dollar | 263,596 | State Street Bank London | 12/18/15 | 315 | ||||||||||||
113,077 | Australian Dollar | 78,720 | State Street Bank London | 12/18/15 | (1,732 | ) | |||||||||||
141,883 | Australian Dollar | 98,992 | State Street Bank London | 12/18/15 | (1,955 | ) | |||||||||||
65,718 | Australian Dollar | 47,884 | State Street Bank London | 12/18/15 | 1,127 | ||||||||||||
47,284 | Australian Dollar | 34,211 | State Street Bank London | 12/18/15 | 570 | ||||||||||||
19,434 | Australian Dollar | 13,713 | State Street Bank London | 12/18/15 | (114 | ) | |||||||||||
703,363 | Canadian Dollar | 531,111 | Royal Bank of Canada | 12/18/15 | (6,652 | ) | |||||||||||
22,633 | Canadian Dollar | 16,882 | Royal Bank of Canada | 12/18/15 | (422 | ) | |||||||||||
139,543 | Canadian Dollar | 106,509 | Royal Bank of Canada | 12/18/15 | (180 | ) | |||||||||||
110,732 | Canadian Dollar | 85,727 | Royal Bank of Canada | 12/18/15 | 1,066 | ||||||||||||
99,357 | Canadian Dollar | 75,494 | Societe Generale | 12/18/15 | (471 | ) | |||||||||||
75,549 | Canadian Dollar | 57,077 | State Street Bank London | 12/18/15 | (685 | ) | |||||||||||
106,063 | Canadian Dollar | 80,232 | State Street Bank London | 12/18/15 | (859 | ) | |||||||||||
126,110 | Canadian Dollar | 94,293 | State Street Bank London | 12/18/15 | (2,125 | ) | |||||||||||
99,310 | Canadian Dollar | 74,834 | State Street Bank London | 12/18/15 | (1,095 | ) | |||||||||||
142,212 | Canadian Dollar | 108,474 | State Street Bank London | 12/18/15 | (255 | ) | |||||||||||
95,447 | Canadian Dollar | 72,911 | State Street Bank London | 12/18/15 | (64 | ) | |||||||||||
10,087,133 | Chilean Peso | 14,715 | Barclays Bank PLC Wholesale | 11/12/15 | 141 | ||||||||||||
3,807,408 | Czech Koruna | 157,491 | Barclays Bank PLC Wholesale | 11/12/15 | 2,958 | ||||||||||||
31,177 | Euro | 34,905 | Royal Bank of Canada | 12/18/15 | 596 | ||||||||||||
112,063 | Euro | 126,847 | Royal Bank of Canada | 12/18/15 | 3,527 | ||||||||||||
70,963 | Euro | 79,567 | Societe Generale | 12/18/15 | 1,476 | ||||||||||||
22,638 | Euro | 25,949 | Societe Generale | 12/18/15 | 1,037 | ||||||||||||
151,568 | Euro | 170,727 | Societe Generale | 12/18/15 | 3,933 | ||||||||||||
139,710 | Euro | 157,677 | State Street Bank London | 12/18/15 | 3,933 |
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||||||||
53,219 | Euro | $ | 60,379 | State Street Bank London | 12/18/15 | $ | 1,814 | ||||||||||||||||
159,182 | Euro | 180,395 | State Street Bank London | 12/18/15 | 5,223 | ||||||||||||||||||
12,596 | Euro | 14,188 | State Street Bank London | 12/18/15 | 326 | ||||||||||||||||||
70,285 | Euro | 80,030 | State Street Bank London | 12/18/15 | 2,684 | ||||||||||||||||||
43,228 | Euro | 48,262 | State Street Bank London | 12/18/15 | 691 | ||||||||||||||||||
92,634,875 | Hungarian Forint | 332,456 | Barclays Bank PLC Wholesale | 11/12/15 | 4,715 | ||||||||||||||||||
5,057,117 | Japanese Yen | 42,208 | Royal Bank of Canada | 12/18/15 | 269 | ||||||||||||||||||
2,996,653 | Japanese Yen | 25,325 | Royal Bank of Canada | 12/18/15 | 473 | ||||||||||||||||||
4,151,264 | Japanese Yen | 34,842 | Royal Bank of Canada | 12/18/15 | 415 | ||||||||||||||||||
2,978,677 | Japanese Yen | 24,949 | Societe Generale | 12/18/15 | 246 | ||||||||||||||||||
4,641,836 | Japanese Yen | 38,789 | Societe Generale | 12/18/15 | 294 | ||||||||||||||||||
8,885,651 | Japanese Yen | 73,760 | Societe Generale | 12/18/15 | 71 | ||||||||||||||||||
3,249,204 | Japanese Yen | 26,970 | State Street Bank London | 12/18/15 | 24 | ||||||||||||||||||
2,217,911 | Japanese Yen | 18,372 | State Street Bank London | 12/18/15 | (21 | ) | |||||||||||||||||
3,484,658 | Japanese Yen | 29,146 | State Street Bank London | 12/18/15 | 248 | ||||||||||||||||||
1,905,214 | Japanese Yen | 15,890 | State Street Bank London | 12/18/15 | 90 | ||||||||||||||||||
2,274,234 | Mexican Peso | 135,879 | Barclays Bank PLC Wholesale | 11/12/15 | (1,726 | ) | |||||||||||||||||
70,813 | New Zealand Dollar | 44,933 | Royal Bank of Canada | 12/18/15 | (2,860 | ) | |||||||||||||||||
75,884 | New Zealand Dollar | 48,956 | Royal Bank of Canada | 12/18/15 | (2,259 | ) | |||||||||||||||||
140,273 | New Zealand Dollar | 92,305 | Royal Bank of Canada | 12/18/15 | (2,367 | ) | |||||||||||||||||
62,205 | New Zealand Dollar | 42,060 | Royal Bank of Canada | 12/18/15 | 76 | ||||||||||||||||||
63,464 | New Zealand Dollar | 40,124 | Societe Generale | 12/18/15 | (2,709 | ) | |||||||||||||||||
50,562 | New Zealand Dollar | 31,750 | Societe Generale | 12/18/15 | (2,375 | ) | |||||||||||||||||
28,260 | New Zealand Dollar | 18,039 | Societe Generale | 12/18/15 | (1,034 | ) | |||||||||||||||||
82,768 | New Zealand Dollar | 52,118 | Societe Generale | 12/18/15 | (3,744 | ) | |||||||||||||||||
133,371 | New Zealand Dollar | 89,697 | Societe Generale | 12/18/15 | (317 | ) | |||||||||||||||||
66,769 | New Zealand Dollar | 41,964 | State Street Bank London | 12/18/15 | (3,099 | ) | |||||||||||||||||
26,686 | New Zealand Dollar | 16,802 | State Street Bank London | 12/18/15 | (1,209 | ) | |||||||||||||||||
71,933 | New Zealand Dollar | 45,476 | State Street Bank London | 12/18/15 | (3,073 | ) | |||||||||||||||||
25,647 | New Zealand Dollar | 16,427 | State Street Bank London | 12/18/15 | (883 | ) | |||||||||||||||||
343,169 | New Zealand Dollar | 228,433 | State Street Bank London | 12/18/15 | (3,177 | ) | |||||||||||||||||
88,957 | New Zealand Dollar | 60,232 | State Street Bank London | 12/18/15 | 193 | ||||||||||||||||||
75,983 | New Zealand Dollar | 51,215 | State Street Bank London | 12/18/15 | (67 | ) | |||||||||||||||||
555,853 | Norwegian Krone | 67,895 | Royal Bank of Canada | 12/18/15 | 2,523 | ||||||||||||||||||
200,805 | Norwegian Krone | 24,884 | Royal Bank of Canada | 12/18/15 | 1,268 | ||||||||||||||||||
416,304 | Norwegian Krone | 49,250 | Societe Generale | 12/18/15 | 289 | ||||||||||||||||||
271,351 | Norwegian Krone | 33,275 | Societe Generale | 12/18/15 | 1,363 | ||||||||||||||||||
491,103 | Norwegian Krone | 60,184 | State Street Bank London | 12/18/15 | 2,427 | ||||||||||||||||||
292,241 | Norwegian Krone | 35,179 | State Street Bank London | 12/18/15 | 809 | ||||||||||||||||||
267,638 | Norwegian Krone | 31,569 | State Street Bank London | 12/18/15 | 93 | ||||||||||||||||||
193,234 | Norwegian Krone | 23,126 | State Street Bank London | 12/18/15 | 400 | ||||||||||||||||||
460,931 | Norwegian Krone | 55,665 | State Street Bank London | 12/18/15 | 1,456 | ||||||||||||||||||
92,110 | Pound Sterling | 142,620 | Royal Bank of Canada | 12/18/15 | 651 | ||||||||||||||||||
12,479 | Pound Sterling | 19,254 | Royal Bank of Canada | 12/18/15 | 20 | ||||||||||||||||||
19,883 | Pound Sterling | 30,641 | State Street Bank London | 12/18/15 | (5 | ) | |||||||||||||||||
49,740 | Pound Sterling | 77,256 | State Street Bank London | 12/18/15 | 593 |
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||
52,923 | Pound Sterling | $ | 81,343 | State Street Bank London | 12/18/15 | $ | (226 | ) | |||||||||
22,244 | Pound Sterling | 34,399 | State Street Bank London | 12/18/15 | 114 | ||||||||||||
103,323 | Pound Sterling | 159,045 | State Street Bank London | 12/18/15 | (206 | ) | |||||||||||
8,189 | Pound Sterling | 12,527 | State Street Bank London | 12/18/15 | (95 | ) | |||||||||||
242,362 | Singapore Dollar | 170,137 | Barclays Bank PLC Wholesale | 11/12/15 | (2,805 | ) | |||||||||||
313,788,348 | South Korean Won | 270,379 | Barclays Bank PLC Wholesale | 11/12/15 | (4,363 | ) | |||||||||||
320,758 | Swedish Krona | 39,057 | Royal Bank of Canada | 12/18/15 | 1,472 | ||||||||||||
293,827 | Swedish Krona | 35,082 | Societe Generale | 12/18/15 | 653 | ||||||||||||
988,947 | Swedish Krona | 121,741 | Societe Generale | 12/18/15 | 5,862 | ||||||||||||
182,160 | Swedish Krona | 21,925 | State Street Bank London | 12/18/15 | 581 | ||||||||||||
252,473 | Swedish Krona | 30,632 | State Street Bank London | 12/18/15 | 1,049 | ||||||||||||
199,699 | Swedish Krona | 23,808 | State Street Bank London | 12/18/15 | 408 | ||||||||||||
102,853 | Swedish Krona | 12,292 | State Street Bank London | 12/18/15 | 240 | ||||||||||||
651,840 | Swedish Krona | 77,711 | State Street Bank London | 12/18/15 | 1,332 | ||||||||||||
30,014 | Swiss Franc | 30,904 | Royal Bank of Canada | 12/18/15 | 492 | ||||||||||||
14,555 | Swiss Franc | 15,087 | Royal Bank of Canada | 12/18/15 | 339 | ||||||||||||
620,679 | Swiss Franc | 637,870 | Societe Generale | 12/18/15 | 8,971 | ||||||||||||
17,434 | Swiss Franc | 17,674 | Societe Generale | 12/18/15 | 9 | ||||||||||||
55,175 | Swiss Franc | 56,767 | State Street Bank London | 12/18/15 | 861 | ||||||||||||
30,386 | Swiss Franc | 31,428 | State Street Bank London | 12/18/15 | 640 | ||||||||||||
25,837 | Swiss Franc | 26,725 | State Street Bank London | 12/18/15 | 546 | ||||||||||||
14,822 | Swiss Franc | 15,262 | State Street Bank London | 12/18/15 | 244 | ||||||||||||
15,136 | Swiss Franc | 15,603 | State Street Bank London | 12/18/15 | 267 | ||||||||||||
28,248 | Swiss Franc | 29,175 | State Street Bank London | 12/18/15 | 553 | ||||||||||||
16,386 | Swiss Franc | 17,172 | State Street Bank London | 12/18/15 | 569 | ||||||||||||
18,958 | Swiss Franc | 19,140 | State Street Bank London | 12/18/15 | (69 | ) | |||||||||||
144,745 | Swiss Franc | 147,124 | State Street Bank London | 12/18/15 | 462 | ||||||||||||
Total | $ | 17,682 |
Long Short Credit
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||
300,000 | Euro Currency | $ | 339,631 | J.P. Morgan Chase Bank N.A. | 11/18/15 | $ | 9,676 |
Multi-Asset Income
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||
29,159 | Australian Dollar | $ | 21,331 | Royal Bank of Canada | 12/18/15 | $ | (585 | ) | |||||||||
64,039 | Australian Dollar | 46,351 | Royal Bank of Canada | 12/18/15 | (789 | ) | |||||||||||
35,951 | Australian Dollar | 25,198 | Societe Generale | 12/18/15 | 380 | ||||||||||||
106,938 | Australian Dollar | 74,431 | Societe Generale | 12/18/15 | 1,653 | ||||||||||||
115,839 | Australian Dollar | 81,400 | State Street Bank London | 12/18/15 | 1,017 | ||||||||||||
20,035 | Australian Dollar | 14,057 | State Street Bank London | 12/18/15 | 198 |
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||
104,939 | Australian Dollar | $ | 74,716 | State Street Bank London | 12/18/15 | $ | (54 | ) | |||||||||
54,849 | Australian Dollar | 39,604 | State Street Bank London | 12/18/15 | (580 | ) | |||||||||||
129,669 | Australian Dollar | 91,375 | State Street Bank London | 12/18/15 | 882 | ||||||||||||
69,451 | Australian Dollar | 49,084 | State Street Bank London | 12/18/15 | 329 | ||||||||||||
208,125 | Australian Dollar | 149,817 | State Street Bank London | 12/18/15 | (1,740 | ) | |||||||||||
95,251 | Canadian Dollar | 73,083 | Royal Bank of Canada | 12/18/15 | (258 | ) | |||||||||||
26,871 | Canadian Dollar | 20,336 | Royal Bank of Canada | 12/18/15 | 209 | ||||||||||||
100,546 | Canadian Dollar | 76,986 | Societe Generale | 12/18/15 | (113 | ) | |||||||||||
22,109 | Canadian Dollar | 16,723 | Societe Generale | 12/18/15 | 181 | ||||||||||||
46,278 | Canadian Dollar | 35,430 | Societe Generale | 12/18/15 | (47 | ) | |||||||||||
120,485 | Canadian Dollar | 90,508 | Societe Generale | 12/18/15 | 1,610 | ||||||||||||
14,060 | Canadian Dollar | 10,645 | State Street Bank London | 12/18/15 | 104 | ||||||||||||
67,557 | Canadian Dollar | 51,015 | State Street Bank London | 12/18/15 | 637 | ||||||||||||
102,055 | Canadian Dollar | 77,455 | State Street Bank London | 12/18/15 | 572 | ||||||||||||
29,040 | Canadian Dollar | 21,874 | State Street Bank London | 12/18/15 | 329 | ||||||||||||
112,867 | Canadian Dollar | 84,124 | State Street Bank London | 12/18/15 | 2,170 | ||||||||||||
40,342 | Canadian Dollar | 31,079 | State Street Bank London | 12/18/15 | (235 | ) | |||||||||||
11,679 | Canadian Dollar | 8,922 | State Street Bank London | 12/18/15 | 8 | ||||||||||||
110,873 | Euro | 124,426 | Royal Bank of Canada | 12/18/15 | (2,415 | ) | |||||||||||
30,563 | Euro | 34,294 | Royal Bank of Canada | 12/18/15 | (661 | ) | |||||||||||
17,265 | Euro | 19,387 | Royal Bank of Canada | 12/18/15 | (388 | ) | |||||||||||
39,268 | Euro | 44,997 | Royal Bank of Canada | 12/18/15 | (1,784 | ) | |||||||||||
31,791 | Euro | 36,009 | Societe Generale | 12/18/15 | (1,024 | ) | |||||||||||
55,206 | Euro | 60,802 | Societe Generale | 12/18/15 | (50 | ) | |||||||||||
93,016 | Euro | 105,009 | State Street Bank London | 12/18/15 | (2,650 | ) | |||||||||||
51,659 | Euro | 57,553 | State Street Bank London | 12/18/15 | (705 | ) | |||||||||||
78,637 | Euro | 87,773 | State Street Bank London | 12/18/15 | (1,236 | ) | |||||||||||
24,508 | Euro | 27,636 | State Street Bank London | 12/18/15 | (666 | ) | |||||||||||
9,471 | Euro | 10,759 | State Street Bank London | 12/18/15 | (336 | ) | |||||||||||
19,401 | Euro | 21,986 | State Street Bank London | 12/18/15 | (637 | ) | |||||||||||
2,002,974 | Japanese Yen | 16,601 | Royal Bank of Canada | 12/18/15 | 10 | ||||||||||||
3,919,620 | Japanese Yen | 32,601 | Royal Bank of Canada | 12/18/15 | (95 | ) | |||||||||||
6,461,707 | Japanese Yen | 54,013 | Royal Bank of Canada | 12/18/15 | (425 | ) | |||||||||||
3,485,306 | Japanese Yen | 28,963 | Societe Generale | 12/18/15 | (60 | ) | |||||||||||
1,833,346 | Japanese Yen | 15,407 | Societe Generale | 12/18/15 | (203 | ) | |||||||||||
3,821,195 | Japanese Yen | 31,843 | State Street Bank London | 12/18/15 | (154 | ) | |||||||||||
925,345 | Japanese Yen | 7,685 | State Street Bank London | 12/18/15 | (11 | ) | |||||||||||
5,592,300 | Japanese Yen | 46,754 | State Street Bank London | 12/18/15 | (377 | ) | |||||||||||
2,117,948 | Japanese Yen | 17,643 | State Street Bank London | 12/18/15 | (79 | ) | |||||||||||
1,591,791 | Japanese Yen | 13,242 | State Street Bank London | 12/18/15 | (41 | ) | |||||||||||
1,768,054 | Japanese Yen | 14,807 | State Street Bank London | 12/18/15 | (145 | ) | |||||||||||
1,550,484 | Japanese Yen | 12,806 | State Street Bank London | 12/18/15 | 52 | ||||||||||||
2,266,530 | Japanese Yen | 18,790 | State Street Bank London | 12/18/15 | 7 | ||||||||||||
23,960 | New Zealand Dollar | 16,397 | Royal Bank of Canada | 12/18/15 | (226 | ) | |||||||||||
210,691 | New Zealand Dollar | 131,419 | State Street Bank London | 12/18/15 | 10,780 |
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||
49,194 | New Zealand Dollar | $ | 30,722 | State Street Bank London | 12/18/15 | $ | 2,480 | ||||||||||
144,370 | New Zealand Dollar | 90,778 | State Street Bank London | 12/18/15 | 6,660 | ||||||||||||
28,135 | New Zealand Dollar | 17,600 | State Street Bank London | 12/18/15 | 1,389 | ||||||||||||
13,798 | New Zealand Dollar | 8,940 | State Street Bank London | 12/18/15 | 372 | ||||||||||||
99,508 | New Zealand Dollar | 66,372 | State Street Bank London | 12/18/15 | 788 | ||||||||||||
49,361 | New Zealand Dollar | 33,407 | State Street Bank London | 12/18/15 | (92 | ) | |||||||||||
13,525 | New Zealand Dollar | 9,008 | State Street Bank London | 12/18/15 | 121 | ||||||||||||
89,008 | Norwegian Krone | 10,480 | Royal Bank of Canada | 12/18/15 | (13 | ) | |||||||||||
104,672 | Norwegian Krone | 12,486 | Royal Bank of Canada | 12/18/15 | (176 | ) | |||||||||||
236,472 | Norwegian Krone | 28,594 | Royal Bank of Canada | 12/18/15 | (784 | ) | |||||||||||
219,163 | Norwegian Krone | 27,184 | Societe Generale | 12/18/15 | (1,409 | ) | |||||||||||
489,073 | Norwegian Krone | 57,095 | Societe Generale | 12/18/15 | 424 | ||||||||||||
2,068,611 | Norwegian Krone | 252,028 | State Street Bank London | 12/18/15 | (8,746 | ) | |||||||||||
273,549 | Norwegian Krone | 33,450 | State Street Bank London | 12/18/15 | (1,279 | ) | |||||||||||
226,580 | Norwegian Krone | 27,649 | State Street Bank London | 12/18/15 | (1,002 | ) | |||||||||||
396,942 | Norwegian Krone | 46,441 | State Street Bank London | 12/18/15 | 242 | ||||||||||||
441,866 | Norwegian Krone | 54,542 | State Street Bank London | 12/18/15 | (2,575 | ) | |||||||||||
127,476 | Norwegian Krone | 15,687 | State Street Bank London | 12/18/15 | (695 | ) | |||||||||||
80,456 | Norwegian Krone | 9,370 | State Street Bank London | 12/18/15 | 92 | ||||||||||||
591,238 | Norwegian Krone | 69,770 | State Street Bank London | 12/18/15 | (237 | ) | |||||||||||
10,403 | Pound Sterling | 15,788 | Royal Bank of Canada | 12/18/15 | 246 | ||||||||||||
18,778 | Pound Sterling | 28,466 | Royal Bank of Canada | 12/18/15 | 477 | ||||||||||||
59,237 | Pound Sterling | 90,903 | Royal Bank of Canada | 12/18/15 | 398 | ||||||||||||
9,095 | Pound Sterling | 13,986 | Royal Bank of Canada | 12/18/15 | 32 | ||||||||||||
8,955 | Pound Sterling | 13,768 | Societe Generale | 12/18/15 | 34 | ||||||||||||
41,771 | Pound Sterling | 63,659 | Societe Generale | 12/18/15 | 722 | ||||||||||||
37,508 | Pound Sterling | 56,845 | Societe Generale | 12/18/15 | 966 | ||||||||||||
23,562 | Pound Sterling | 36,128 | Societe Generale | 12/18/15 | 188 | ||||||||||||
7,245 | Pound Sterling | 10,992 | State Street Bank London | 12/18/15 | 175 | ||||||||||||
27,454 | Pound Sterling | 41,539 | State Street Bank London | 12/18/15 | 775 | ||||||||||||
20,225 | Pound Sterling | 30,974 | State Street Bank London | 12/18/15 | 198 | ||||||||||||
46,782 | Pound Sterling | 72,138 | State Street Bank London | 12/18/15 | (33 | ) | |||||||||||
33,793 | Pound Sterling | 52,236 | State Street Bank London | 12/18/15 | (151 | ) | |||||||||||
8,543 | Pound Sterling | 13,197 | State Street Bank London | 12/18/15 | (30 | ) | |||||||||||
24,630 | Pound Sterling | 38,048 | State Street Bank London | 12/18/15 | (86 | ) | |||||||||||
221,587 | Swedish Krona | 27,344 | Royal Bank of Canada | 12/18/15 | (1,380 | ) | |||||||||||
397,897 | Swedish Krona | 48,402 | Royal Bank of Canada | 12/18/15 | (1,779 | ) | |||||||||||
139,397 | Swedish Krona | 16,649 | Royal Bank of Canada | 12/18/15 | (316 | ) | |||||||||||
163,444 | Swedish Krona | 19,713 | Royal Bank of Canada | 12/18/15 | (561 | ) | |||||||||||
158,252 | Swedish Krona | 18,917 | Societe Generale | 12/18/15 | (374 | ) | |||||||||||
374,074 | Swedish Krona | 44,067 | Societe Generale | 12/18/15 | (235 | ) | |||||||||||
164,108 | Swedish Krona | 19,911 | Societe Generale | 12/18/15 | (682 | ) | |||||||||||
67,704 | Swedish Krona | 8,305 | Societe Generale | 12/18/15 | (372 | ) | |||||||||||
91,451 | Swedish Krona | 11,121 | State Street Bank London | 12/18/15 | (405 | ) | |||||||||||
295,067 | Swedish Krona | 34,931 | State Street Bank London | 12/18/15 | (356 | ) | |||||||||||
96,764 | Swedish Krona | 11,864 | State Street Bank London | 12/18/15 | (526 | ) |
Contracts to Receive | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||
327,951 | Swedish Krona | $ | 39,496 | State Street Bank London | 12/18/15 | $ | (1,069 | ) | |||||||||
296,749 | Swedish Krona | 35,257 | State Street Bank London | 12/18/15 | (485 | ) | |||||||||||
188,358 | Swedish Krona | 22,206 | State Street Bank London | 12/18/15 | (135 | ) | |||||||||||
66,822 | Swiss Franc | 68,742 | Royal Bank of Canada | 12/18/15 | (1,035 | ) | |||||||||||
23,483 | Swiss Franc | 24,802 | Royal Bank of Canada | 12/18/15 | (1,008 | ) | |||||||||||
9,301 | Swiss Franc | 9,583 | Societe Generale | 12/18/15 | (159 | ) | |||||||||||
15,000 | Swiss Franc | 15,676 | Societe Generale | 12/18/15 | (478 | ) | |||||||||||
29,629 | Swiss Franc | 30,400 | State Street Bank London | 12/18/15 | (379 | ) | |||||||||||
16,255 | Swiss Franc | 16,781 | State Street Bank London | 12/18/15 | (311 | ) | |||||||||||
Total | $ | (10,215 | ) | ||||||||||||||
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||
35,846 | Australian Dollar | $ | 24,978 | Royal Bank of Canada | 12/18/15 | $ | (525 | ) | |||||||||
68,344 | Australian Dollar | 47,862 | Royal Bank of Canada | 12/18/15 | (763 | ) | |||||||||||
81,337 | Australian Dollar | 57,608 | Royal Bank of Canada | 12/18/15 | (261 | ) | |||||||||||
71,592 | Australian Dollar | 51,275 | Royal Bank of Canada | 12/18/15 | 339 | ||||||||||||
68,703 | Australian Dollar | 48,649 | Societe Generale | 12/18/15 | (232 | ) | |||||||||||
107,052 | Australian Dollar | 75,801 | Societe Generale | 12/18/15 | (364 | ) | |||||||||||
14,163 | Australian Dollar | 9,965 | State Street Bank London | 12/18/15 | (111 | ) | |||||||||||
38,756 | Australian Dollar | 27,445 | State Street Bank London | 12/18/15 | (129 | ) | |||||||||||
239,409 | Australian Dollar | 170,538 | State Street Bank London | 12/18/15 | 204 | ||||||||||||
73,100 | Australian Dollar | 50,890 | State Street Bank London | 12/18/15 | (1,120 | ) | |||||||||||
92,030 | Australian Dollar | 64,209 | State Street Bank London | 12/18/15 | (1,268 | ) | |||||||||||
44,457 | Australian Dollar | 32,392 | State Street Bank London | 12/18/15 | 762 | ||||||||||||
30,890 | Australian Dollar | 22,350 | State Street Bank London | 12/18/15 | 372 | ||||||||||||
12,289 | Australian Dollar | 8,671 | State Street Bank London | 12/18/15 | (72 | ) | |||||||||||
470,407 | Canadian Dollar | 355,205 | Royal Bank of Canada | 12/18/15 | (4,449 | ) | |||||||||||
14,146 | Canadian Dollar | 10,552 | Royal Bank of Canada | 12/18/15 | (264 | ) | |||||||||||
90,364 | Canadian Dollar | 68,972 | Royal Bank of Canada | 12/18/15 | (117 | ) | |||||||||||
71,811 | Canadian Dollar | 55,595 | Royal Bank of Canada | 12/18/15 | 691 | ||||||||||||
65,755 | Canadian Dollar | 49,962 | Societe Generale | 12/18/15 | (311 | ) | |||||||||||
48,582 | Canadian Dollar | 36,704 | State Street Bank London | 12/18/15 | (440 | ) | |||||||||||
58,255 | Canadian Dollar | 44,067 | State Street Bank London | 12/18/15 | (472 | ) | |||||||||||
82,009 | Canadian Dollar | 61,319 | State Street Bank London | 12/18/15 | (1,382 | ) | |||||||||||
64,125 | Canadian Dollar | 48,321 | State Street Bank London | 12/18/15 | (707 | ) | |||||||||||
90,380 | Canadian Dollar | 68,939 | State Street Bank London | 12/18/15 | (162 | ) | |||||||||||
61,992 | Canadian Dollar | 47,355 | State Street Bank London | 12/18/15 | (41 | ) | |||||||||||
20,888 | Euro | 23,386 | Royal Bank of Canada | 12/18/15 | 399 | ||||||||||||
71,508 | Euro | 80,942 | Royal Bank of Canada | 12/18/15 | 2,251 | ||||||||||||
47,423 | Euro | 53,173 | Societe Generale | 12/18/15 | 986 | ||||||||||||
14,939 | Euro | 17,124 | Societe Generale | 12/18/15 | 684 | ||||||||||||
98,228 | Euro | 110,644 | Societe Generale | 12/18/15 | 2,549 | ||||||||||||
91,510 | Euro | 103,278 | State Street Bank London | 12/18/15 | 2,576 |
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||
34,241 | Euro | $ | 38,848 | State Street Bank London | 12/18/15 | $ | 1,167 | ||||||||||
102,342 | Euro | 115,981 | State Street Bank London | 12/18/15 | 3,358 | ||||||||||||
8,279 | Euro | 9,325 | State Street Bank London | 12/18/15 | 214 | ||||||||||||
45,228 | Euro | 51,499 | State Street Bank London | 12/18/15 | 1,727 | ||||||||||||
27,824 | Euro | 31,064 | State Street Bank London | 12/18/15 | 445 | ||||||||||||
4,267,849 | Japanese Yen | 35,620 | Royal Bank of Canada | 12/18/15 | 227 | ||||||||||||
1,896,560 | Japanese Yen | 16,028 | Royal Bank of Canada | 12/18/15 | 300 | ||||||||||||
2,683,559 | Japanese Yen | 22,523 | Royal Bank of Canada | 12/18/15 | 268 | ||||||||||||
1,905,372 | Japanese Yen | 15,959 | Societe Generale | 12/18/15 | 158 | ||||||||||||
3,011,988 | Japanese Yen | 25,170 | Societe Generale | 12/18/15 | 191 | ||||||||||||
5,738,842 | Japanese Yen | 47,638 | Societe Generale | 12/18/15 | 46 | ||||||||||||
2,136,969 | Japanese Yen | 17,738 | State Street Bank London | 12/18/15 | 16 | ||||||||||||
1,459,297 | Japanese Yen | 12,088 | State Street Bank London | 12/18/15 | (14 | ) | |||||||||||
2,262,980 | Japanese Yen | 18,928 | State Street Bank London | 12/18/15 | 161 | ||||||||||||
1,252,599 | Japanese Yen | 10,447 | State Street Bank London | 12/18/15 | 59 | ||||||||||||
46,449 | New Zealand Dollar | 29,473 | Royal Bank of Canada | 12/18/15 | (1,876 | ) | |||||||||||
48,593 | New Zealand Dollar | 31,349 | Royal Bank of Canada | 12/18/15 | (1,447 | ) | |||||||||||
90,217 | New Zealand Dollar | 59,366 | Royal Bank of Canada | 12/18/15 | (1,522 | ) | |||||||||||
40,136 | New Zealand Dollar | 27,138 | Royal Bank of Canada | 12/18/15 | 49 | ||||||||||||
42,447 | New Zealand Dollar | 26,836 | Societe Generale | 12/18/15 | (1,812 | ) | |||||||||||
31,468 | New Zealand Dollar | 19,760 | Societe Generale | 12/18/15 | (1,478 | ) | |||||||||||
16,605 | New Zealand Dollar | 10,599 | Societe Generale | 12/18/15 | (608 | ) | |||||||||||
52,929 | New Zealand Dollar | 33,328 | Societe Generale | 12/18/15 | (2,394 | ) | |||||||||||
86,943 | New Zealand Dollar | 58,472 | Societe Generale | 12/18/15 | (207 | ) | |||||||||||
42,984 | New Zealand Dollar | 27,015 | State Street Bank London | 12/18/15 | (1,995 | ) | |||||||||||
17,566 | New Zealand Dollar | 11,060 | State Street Bank London | 12/18/15 | (796 | ) | |||||||||||
46,421 | New Zealand Dollar | 29,347 | State Street Bank London | 12/18/15 | (1,983 | ) | |||||||||||
16,561 | New Zealand Dollar | 10,607 | State Street Bank London | 12/18/15 | (570 | ) | |||||||||||
221,413 | New Zealand Dollar | 147,385 | State Street Bank London | 12/18/15 | (2,050 | ) | |||||||||||
58,007 | New Zealand Dollar | 39,276 | State Street Bank London | 12/18/15 | 126 | ||||||||||||
49,348 | New Zealand Dollar | 33,262 | State Street Bank London | 12/18/15 | (43 | ) | |||||||||||
383,902 | Norwegian Krone | 46,892 | Royal Bank of Canada | 12/18/15 | 1,742 | ||||||||||||
123,683 | Norwegian Krone | 15,327 | Royal Bank of Canada | 12/18/15 | 781 | ||||||||||||
263,593 | Norwegian Krone | 31,184 | Societe Generale | 12/18/15 | 183 | ||||||||||||
177,839 | Norwegian Krone | 21,808 | Societe Generale | 12/18/15 | 893 | ||||||||||||
343,206 | Norwegian Krone | 42,059 | State Street Bank London | 12/18/15 | 1,696 | ||||||||||||
180,072 | Norwegian Krone | 21,676 | State Street Bank London | 12/18/15 | 499 | ||||||||||||
174,806 | Norwegian Krone | 20,619 | State Street Bank London | 12/18/15 | 61 | ||||||||||||
137,101 | Norwegian Krone | 16,408 | State Street Bank London | 12/18/15 | 284 | ||||||||||||
304,599 | Norwegian Krone | 36,785 | State Street Bank London | 12/18/15 | 962 | ||||||||||||
59,157 | Pound Sterling | 91,597 | Royal Bank of Canada | 12/18/15 | 418 | ||||||||||||
8,104 | Pound Sterling | 12,504 | Royal Bank of Canada | 12/18/15 | 13 | ||||||||||||
14,874 | Pound Sterling | 22,921 | State Street Bank London | 12/18/15 | (4 | ) | |||||||||||
32,792 | Pound Sterling | 50,933 | State Street Bank London | 12/18/15 | 391 | ||||||||||||
33,649 | Pound Sterling | 51,719 | State Street Bank London | 12/18/15 | (144 | ) | |||||||||||
13,887 | Pound Sterling | 21,475 | State Street Bank London | 12/18/15 | 71 |
Contracts to Deliver | In Exchange For | Counterparty | Settlement Date | Net Unrealized Appreciation (Depreciation) | |||||||||||||
67,193 | Pound Sterling | $ | 103,430 | State Street Bank London | 12/18/15 | $ | (134 | ) | |||||||||
203,783 | Swedish Krona | 24,814 | Royal Bank of Canada | 12/18/15 | 935 | ||||||||||||
190,154 | Swedish Krona | 22,704 | Societe Generale | 12/18/15 | 423 | ||||||||||||
636,921 | Swedish Krona | 78,406 | Societe Generale | 12/18/15 | 3,775 | ||||||||||||
123,200 | Swedish Krona | 14,829 | State Street Bank London | 12/18/15 | 393 | ||||||||||||
165,238 | Swedish Krona | 20,048 | State Street Bank London | 12/18/15 | 686 | ||||||||||||
128,403 | Swedish Krona | 15,308 | State Street Bank London | 12/18/15 | 262 | ||||||||||||
66,764 | Swedish Krona | 7,979 | State Street Bank London | 12/18/15 | 156 | ||||||||||||
420,904 | Swedish Krona | 50,179 | State Street Bank London | 12/18/15 | 860 | ||||||||||||
17,298 | Swiss Franc | 17,811 | Royal Bank of Canada | 12/18/15 | 284 | ||||||||||||
415,108 | Swiss Franc | 426,605 | Societe Generale | 12/18/15 | 6,000 | ||||||||||||
7,344 | Swiss Franc | 7,700 | Societe Generale | 12/18/15 | 258 | ||||||||||||
8,077 | Swiss Franc | 8,340 | Societe Generale | 12/18/15 | 156 | ||||||||||||
12,263 | Swiss Franc | 12,432 | Societe Generale | 12/18/15 | 6 | ||||||||||||
31,122 | Swiss Franc | 32,020 | State Street Bank London | 12/18/15 | 486 | ||||||||||||
19,510 | Swiss Franc | 20,179 | State Street Bank London | 12/18/15 | 411 | ||||||||||||
14,426 | Swiss Franc | 14,922 | State Street Bank London | 12/18/15 | 305 | ||||||||||||
9,780 | Swiss Franc | 10,082 | State Street Bank London | 12/18/15 | 172 | ||||||||||||
15,702 | Swiss Franc | 16,217 | State Street Bank London | 12/18/15 | 307 | ||||||||||||
7,799 | Swiss Franc | 8,127 | State Street Bank London | 12/18/15 | 225 | ||||||||||||
11,652 | Swiss Franc | 12,211 | State Street Bank London | 12/18/15 | 405 | ||||||||||||
13,792 | Swiss Franc | 13,924 | State Street Bank London | 12/18/15 | (50 | ) | |||||||||||
94,009 | Swiss Franc | 95,554 | State Street Bank London | 12/18/15 | 300 | ||||||||||||
Total | $ | 12,807 |
For the year ended October 31, 2015, investments in forward contracts had an average notional value of:
Global Allocation | $ | 10,404,458 | |||
Long Short Credit | $ | 334,400 | |||
Multi-Asset Income | $ | 5,979,088 |
Options: During the year ended October 31, 2015, Long Short used written option transactions in an attempt to generate incremental returns. During the period ended October 31, 2015, Long Short Credit used options (including swaptions and options on futures) to establish net short or long positions for individual markets, currencies or securities, hedge risk and alter the Fund's exposure to currencies, interest rates, sectors and individual issuers. During the period ended October 31, 2015 Multi-Asset Income used written option contracts primarily to seek to enhance yield.
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.
Swaptions are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swaptions is granting or buying the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option. At October 31, 2015, there were no swaptions outstanding.
Options on Exchange-Traded Financial Futures Contracts: A Fund may write or purchase options on exchange-traded financial futures contracts ("futures option") to hedge an existing position or future investment, for speculative purposes or to manage exposure to market movements. A futures option is an option contract in which the underlying instrument is a specific financial futures contract. At October 31, 2015, there were no futures options outstanding.
Written option transactions for Long Short, Long Short Credit and Multi-Asset Income for the period ended October 31, 2015 were:
Long Short
Number of Contracts | Premium Received | ||||||||
Outstanding 10/31/2014 | 1,760 | $ | 307,729 | ||||||
Options written | 19,757 | 9,295,689 | |||||||
Options expired | (9,300 | ) | (1,588,534 | ) | |||||
Options exercised | (1,053 | ) | (272,219 | ) | |||||
Options closed | (1,760 | ) | (307,729 | ) | |||||
Outstanding 10/31/2015 | 9,404 | $ | 7,434,936 |
Long Short Credit
Number of Contracts | Premium Received | ||||||||
Outstanding 6/29/2015 | — | $ | — | ||||||
Options written | 22,000,315 | 83,861 | |||||||
Options expired | (16,000,050 | ) | (28,410 | ) | |||||
Options exercised | (1,000,000 | ) | (4,500 | ) | |||||
Options closed | (5,000,115 | ) | (37,589 | ) | |||||
Outstanding 10/31/2015 | 150 | $ | 13,362 |
Multi-Asset Income
Number of Contracts | Premium Received | ||||||||
Outstanding 3/27/15 | — | $ | — | ||||||
Options written | 369 | 41,811 | |||||||
Options expired | (78 | ) | (3,057 | ) | |||||
Options exercised | — | — | |||||||
Options closed | (165 | ) | (32,894 | ) | |||||
Outstanding 10/31/2015 | 126 | $ | 5,860 |
Premiums paid by a Fund upon purchasing a call or put option are recorded in the asset section of the Fund's Statements 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 year ended October 31, 2015.
At October 31, 2015, the Funds had deposited the following in segregated accounts to cover margin requirements on options:
Long Short | $ | 26,285,598 | |||
Long Short Credit | $ | 1,049,750 | |||
Multi-Asset Income | $ | 15,478 |
For the year ended October 31, 2015, the average market value of purchased options and written options was:
Purchased Options | Written Options | ||||||||
Long Short | $ | 503,917 | $ | (1,151,128 | ) | ||||
Long Short Credit | $ | 688 | $ | (9,874 | ) | ||||
Multi-Asset Income | $ | — | $ | (4,423 | ) |
At October 31, 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 | Credit Risk | Total | |||||||||||||||||
Global Allocation | |||||||||||||||||||||||
Financial futures | Receivable/Payable for variation margin on financial futures contracts(1) | $ | 7,232 | $ | 3,895 | $ | 63,021 | $ | — | $ | 74,148 | ||||||||||||
Forward contracts | Receivable for forward foreign currency contracts | — | 151,897 | — | — | 151,897 | |||||||||||||||||
Total Value-Assets | $ | 7,232 | $ | 155,792 | $ | 63,021 | $ | — | $ | 226,045 | |||||||||||||
Inflation Managed | |||||||||||||||||||||||
Financial futures | Receivable/Payable for variation margin on financial futures contracts(1) | $ | 6,560 | $ | 1,545 | $ | — | $ | — | $ | 8,105 | ||||||||||||
Total Value-Assets | $ | 6,560 | $ | 1,545 | $ | — | $ | — | $ | 8,105 | |||||||||||||
Long Short | |||||||||||||||||||||||
Financial futures | Receivable/Payable for variation margin on financial futures contracts(1) | $ | — | $ | — | $ | 139,820 | $ | — | $ | 139,820 | ||||||||||||
OTC Swap contracts | OTC swap contracts, at value(2) | 614,218 | — | — | — | 614,218 | |||||||||||||||||
Option contracts purchased | Investments in securities, at value | — | — | 59,520 | — | 59,520 | |||||||||||||||||
Total Value-Assets | $ | 614,218 | $ | — | $ | 199,340 | $ | — | $ | 813,558 |
Derivative Type | Statements of Assets and Liabilities Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Total | |||||||||||||||||||||
Long Short Credit | |||||||||||||||||||||||||||
OTC Swap contracts | OTC swap contracts, at value(2) | $ | — | $ | — | $ | 51,531 | $ | 74,389 | $ | 125,920 | ||||||||||||||||
Centrally cleared swap contracts | Receivable/Payable for variation margin on centrally cleared swap contracts(3) | — | — | — | 18,415 | 18,415 | |||||||||||||||||||||
Financial futures | Receivable/Payable for variation margin on financial futures contracts(1) | 4,613 | — | — | — | 4,613 | |||||||||||||||||||||
Forward contracts | Receivable for forward foreign currency contracts | — | 9,676 | — | — | 9,676 | |||||||||||||||||||||
Total Value-Assets | $ | 4,613 | $ | 9,676 | $ | 51,531 | $ | 92,804 | $ | 158,624 | |||||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||
Financial futures | Receivable/Payable for variation margin on financial futures contracts(1) | $ | 21,990 | $ | — | $ | — | $ | — | $ | 21,990 | ||||||||||||||||
Forward contracts | Receivable for forward foreign currency contracts | — | 83,031 | — | — | 83,031 | |||||||||||||||||||||
Total Value-Assets | $ | 21,990 | $ | 83,031 | $ | — | $ | — | $ | 105,021 |
Liability Derivatives
Derivative Type | Statements of Assets and Liabilities Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Total | |||||||||||||||||||||
Global Allocation | |||||||||||||||||||||||||||
Financial futures | Receivable/Payable for variation margin on financial futures contracts(1) | $ | (2,573 | ) | $ | (26,108 | ) | $ | (21,261 | ) | $ | — | $ | (49,942 | ) | ||||||||||||
Forward contracts | Payable for forward foreign currency contracts | — | (138,049 | ) | — | — | (138,049 | ) | |||||||||||||||||||
Total Value-Liabilities | $ | (2,573 | ) | $ | (164,157 | ) | $ | (21,261 | ) | $ | — | $ | (187,991 | ) | |||||||||||||
Inflation Managed | |||||||||||||||||||||||||||
Financial futures | Receivable/Payable for variation margin on financial futures contracts(1) | $ | (14,287 | ) | $ | (37,386 | ) | $ | — | $ | — | $ | (51,673 | ) | |||||||||||||
Total Value-Liabilities | $ | (14,287 | ) | $ | (37,386 | ) | $ | — | $ | — | $ | (51,673 | ) |
Derivative Type | Statements of Assets and Liabilities Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Total | |||||||||||||||||||||
Long Short | |||||||||||||||||||||||||||
Financial futures | Receivable/Payable for variation margin on financial futures contracts(1) | $ | — | $ | — | $ | (14,995,765 | ) | $ | — | $ | (14,995,765 | ) | ||||||||||||||
OTC Swap contracts | OTC swap contracts, at value(2) | (2,896,345 | ) | — | — | — | (2,896,345 | ) | |||||||||||||||||||
Option contracts written | Option contracts written, at value | — | — | (7,387,940 | ) | — | (7,387,940 | ) | |||||||||||||||||||
Total Value-Liabilities | $ | (2,896,345 | ) | $ | — | $ | (22,383,705 | ) | $ | — | $ | (25,280,050 | ) | ||||||||||||||
Long Short Credit | |||||||||||||||||||||||||||
OTC Swap contracts | OTC swap contracts, at value(2) | $ | — | $ | — | $ | (6,521 | ) | $ | (377,552 | ) | $ | (384,073 | ) | |||||||||||||
Financial futures | Receivable/Payable for variation margin on financial futures contracts(1) | — | — | (29,688 | ) | — | (29,688 | ) | |||||||||||||||||||
Option contracts written | Option contracts written, at value | — | — | (18,350 | ) | — | (18,350 | ) | |||||||||||||||||||
Total Value-Liabilities | $ | — | $ | — | $ | (54,559 | ) | $ | (377,552 | ) | $ | (432,111 | ) | ||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||
Financial futures | Receivable/Payable for variation margin on financial futures contracts(1) | $ | (2,710 | ) | $ | — | $ | — | $ | — | $ | (2,710 | ) | ||||||||||||||
Forward contracts | Payable for open forward foreign currency contracts | — | (80,439 | ) | — | — | (80,439 | ) | |||||||||||||||||||
Option contracts written | Option contracts written, at value | — | — | (13,309 | ) | — | (13,309 | ) | |||||||||||||||||||
Total Value-Liabilities | $ | (2,710 | ) | $ | (80,439 | ) | $ | (13,309 | ) | $ | — | $ | (96,458 | ) |
(1) "Financial futures" reflects the cumulative appreciation (depreciation) of futures contracts as of October 31, 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 October 31, 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) "OTC Swap Contracts" reflects the appreciation (depreciation) of the OTC swap contracts plus accrued interest as of October 31, 2015 which is reflected in the Statement of Assets and Liabilities under the caption "OTC swap contracts, at value."
(3) "Centrally Cleared Swap Contracts" reflects cumulative unrealized appreciation or (depreciation). Only the current day's variation margin on centrally cleared swaps is reported within the Statement of Assets and Liabilities as "Receivable/Payable for variation margin on centrally cleared swap contracts."
The impact of the use of these derivative instruments on the Statements of Operations during the year ended October 31, 2015, was as follows:
Realized Gain (Loss)
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Total | |||||||||||||||||
Global Allocation | |||||||||||||||||||||||
Swap contracts | Net realized gain (loss) on: swap contracts | $ | — | $ | — | $ | 111,835 | $ | — | $ | 111,835 | ||||||||||||
Financial futures | Net realized gain (loss) on: financial futures contracts | 189,900 | 265,276 | (65,829 | ) | — | 389,347 | ||||||||||||||||
Forward contracts | Net realized gain (loss) on: forward foreign currency contracts | — | 80,920 | — | — | 80,920 | |||||||||||||||||
Total Realized Gain (Loss) | $ | 189,900 | $ | 346,196 | $ | 46,006 | $ | — | $ | 582,102 | |||||||||||||
Inflation Managed | |||||||||||||||||||||||
Financial futures | Net realized gain (loss) on: financial futures contracts | $ | (48,113 | ) | $ | 130,667 | $ | — | $ | — | $ | 82,554 | |||||||||||
Total Realized Gain (Loss) | $ | (48,113 | ) | $ | 130,667 | $ | — | $ | — | $ | 82,554 | ||||||||||||
Long Short | |||||||||||||||||||||||
Financial futures | Net realized gain (loss) on: financial futures contracts | $ | — | $ | — | $ | (4,413,790 | ) | $ | — | $ | (4,413,790 | ) | ||||||||||
Option contracts purchased | Net realized gain (loss) on: sales of investment securities of unaffiliated issuers | — | — | (2,367,061 | ) | — | (2,367,061 | ) | |||||||||||||||
Option contracts written | Net realized gain (loss) on: option contracts and swaptions written | — | — | 1,867,223 | — | 1,867,223 | |||||||||||||||||
Swap contracts | Net realized gain (loss) on: swap contracts | (753,311 | ) | — | — | — | (753,311 | ) | |||||||||||||||
Total Realized Gain (Loss) | $ | (753,311 | ) | $ | — | $ | (4,913,628 | ) | $ | — | $ | (5,666,939 | ) |
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Total | |||||||||||||||||||||
Long Short Credit | |||||||||||||||||||||||||||
Swap contracts | Net realized gain (loss) on: swap contracts | $ | (52,424 | ) | $ | — | $ | (89,725 | ) | $ | (168,967 | ) | $ | (311,116 | ) | ||||||||||||
Financial futures | Net realized gain (loss) on: financial futures contracts | 28,482 | — | (46,225 | ) | — | (17,743 | ) | |||||||||||||||||||
Forward contracts | Net realized gain (loss) on: forward foreign currency contracts | — | (11,476 | ) | — | — | (11,476 | ) | |||||||||||||||||||
Option contracts purchased | Net realized gain (loss) on: sales of investment securities of unaffiliated issuers | (6,125 | ) | — | 123,125 | — | 117,000 | ||||||||||||||||||||
Option contracts and swaptions written | Net realized gain (loss) on: option contracts and swaptions written | 10,924 | — | 31,971 | — | 42,895 | |||||||||||||||||||||
Total Realized Gain (Loss) | $ | (19,143 | ) | $ | (11,476 | ) | $ | 19,146 | $ | (168,967 | ) | $ | (180,440 | ) | |||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||
Financial futures | Net realized gain (loss) on: financial futures contracts | $ | 21,401 | $ | — | $ | (70,115 | ) | $ | — | $ | (48,714 | ) | ||||||||||||||
Forward contracts | Net realized gain (loss) on: forward foreign currency contracts | — | 66,913 | — | — | 66,913 | |||||||||||||||||||||
Option contracts written | Net realized gain (loss) on: option contracts and swaptions written | — | — | 11,544 | — | 11,544 | |||||||||||||||||||||
Total Realized Gain (Loss) | $ | 21,401 | $ | 66,913 | $ | (58,571 | ) | $ | — | $ | 29,743 |
Change in Appreciation (Depreciation) | |||||||||||||||||||||||||||
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Total | |||||||||||||||||||||
Global Allocation | |||||||||||||||||||||||||||
Swap contracts | Change in net unrealized appreciation (depreciation) in value of: swap contracts | $ | — | $ | — | $ | (456,795 | ) | $ | — | $ | (456,795 | ) | ||||||||||||||
Financial futures | Change in net unrealized appreciation (depreciation) in value of: financial futures contracts | (84,564 | ) | (111,534 | ) | 7,628 | — | (188,470 | ) | ||||||||||||||||||
Forward contracts | Change in net unrealized appreciation (depreciation) in value of: forward foreign currency contracts | — | 10,888 | — | — | 10,888 | |||||||||||||||||||||
Total Change in Appreciation (Depreciation) | $ | (84,564 | ) | $ | (100,646 | ) | $ | (449,167 | ) | $ | — | $ | (634,377 | ) | |||||||||||||
Inflation Managed | |||||||||||||||||||||||||||
Financial futures | Change in net unrealized appreciation (depreciation) in value of: financial futures contracts | $ | 7,299 | $ | (36,186 | ) | $ | — | $ | — | $ | (28,887 | ) | ||||||||||||||
Total Change in Appreciation (Depreciation) | $ | 7,299 | $ | (36,186 | ) | $ | — | $ | — | $ | (28,887 | ) |
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Total | |||||||||||||||||||||
Long Short | |||||||||||||||||||||||||||
Financial futures | Change in net unrealized appreciation (depreciation) in value of: financial futures contracts | $ | — | $ | — | $ | (5,853,069 | ) | $ | — | $ | (5,853,069 | ) | ||||||||||||||
Option contracts purchased | Change in net unrealized appreciation (depreciation) in value of: unaffiliated investment securities | — | — | (606,236) | — | (606,236) | |||||||||||||||||||||
Option contracts written | Change in net unrealized appreciation (depreciation) in value of: option contracts written | — | — | (112,893) | — | (112,893) | |||||||||||||||||||||
Swap contracts | Change in net unrealized appreciation (depreciation) in value of: swap contracts | (2,282,127 | ) | — | — | — | (2,282,127 | ) | |||||||||||||||||||
Total Change in Appreciation (Depreciation) | $ | (2,282,127 | ) | $ | — | $ | (6,572,198 | ) | $ | — | $ | (8,854,325 | ) | ||||||||||||||
Long Short Credit | |||||||||||||||||||||||||||
Swap contracts | Change in net unrealized appreciation (depreciation) in value of: swap contracts | $ | 37,727 | $ | — | $ | $54,954 | $ | 92,681 | ||||||||||||||||||
Financial futures | Change in net unrealized appreciation (depreciation) in value of: financial futures contracts | 4,613 | — | (29,688 | ) | — | (25,075 | ) | |||||||||||||||||||
Forward contracts | Change in net unrealized appreciation (depreciation) in value of: forward foreign currency contracts | — | 9,676 | — | — | 9,676 | |||||||||||||||||||||
Option contracts written | Change in net unrealized appreciation (depreciation) in value of: option contracts written | — | — | (4,988) | — | (4,988) | |||||||||||||||||||||
Total Change in Appreciation (Depreciation) | $ | 42,340 | $ | 9,676 | $ | (34,676 | ) | $ | 54,954 | $ | 72,294 |
Derivative Type | Statements of Operations Location | Interest Rate Risk | Currency Risk | Equity Risk | Credit Risk | Total | |||||||||||||||||||||
Multi-Asset Income | |||||||||||||||||||||||||||
Financial futures | Change in net unrealized appreciation (depreciation) in value of: financial futures contracts | $ | 1,259 | $ | — | $ | 18,021 | $ | — | $ | 19,280 | ||||||||||||||||
Forward contracts | Change in net unrealized appreciation (depreciation) in value of: forward foreign currency contracts | — | 2,592 | — | — | 2,592 | |||||||||||||||||||||
Options contracts written | Change in net unrealized appreciation (depreciation) in value of: options contracts written | — | — | (7,449 | ) | — | (7,449 | ) | |||||||||||||||||||
Total Change in Appreciation (Depreciation) | $1,259 | $2,592 | $10,572 | $— | $14,423 |
While the Funds may receive redeemable preference shares, rights and warrants in connection with their investments in securities, these rights and warrants are not considered "derivative instruments" under ASC 815. Management has concluded that Flexible Select did not hold any derivative instruments during the year ended October 31, 2015 that require additional disclosures pursuant to ASC 815.
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 the Funds except Flexible Select and Inflation Managed at October 31, 2015. 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 derivative assets and liabilities by counterparty, net of amounts available for offset and net of the related collateral received by a Fund for assets and pledged by a Fund for liabilities as of October 31, 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 | $ | 151,897 | $ | — | $ | 151,897 | |||||||||
Securities lending | 228,266 | — | 228,266 | ||||||||||||
Total | $ | 380,163 | $ | — | $ | 380,163 | |||||||||
Long Short | |||||||||||||||
Swap contracts | $ | 614,218 | $ | — | $ | 614,218 | |||||||||
Total | $ | 614,218 | $ | — | $ | 614,218 |
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 | ||||||||||
Long Short Credit | |||||||||||||
OTC Swap contracts | $ | 107,342 | $ | — | $ | 107,342 | |||||||
Forward contracts | 9,676 | 9,676 | |||||||||||
Total | $ | 117,018 | $ | — | $ | 117,018 | |||||||
Multi-Asset Income | |||||||||||||
Forward contracts | 83,031 | — | 83,031 | ||||||||||
Total | $ | 83,031 | $ | — | $ | 83,031 |
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 | $ | 24,339 | $ | (14,148 | ) | $ | — | $ | 10,191 | ||||||||
Royal Bank of Canada | 15,899 | (15,899 | ) | — | — | ||||||||||||
Societe Generale | 32,439 | (19,556 | ) | — | 12,883 | ||||||||||||
State Street Bank London | 79,220 | (64,538 | ) | — | 14,682 | ||||||||||||
State Street Bank and Trust Company | 228,266 | — | (228,266 | ) | — | ||||||||||||
Total | $ | 380,163 | $ | (114,141 | ) | $ | (228,266 | ) | $ | 37,756 | |||||||
Long Short | |||||||||||||||||
Goldman Sachs International | $ | 614,218 | $ | (614,218 | ) | $ | — | — | |||||||||
Total | $ | 614,218 | $ | (614,218 | ) | — | — | ||||||||||
Long Short Credit | |||||||||||||||||
Bank of America N.A. | $ | 13,005 | $ | — | $ | — | $ | 13,005 | |||||||||
Goldman Sachs & Co. | 94,337 | (33,076 | ) | — | 61,261 | ||||||||||||
J.P. Morgan Chase Bank N.A. | 9,676 | — | 9,676 | ||||||||||||||
Total | $ | 117,018 | $ | (33,076 | ) | $ | — | $ | 83,942 | ||||||||
Multi-Asset Income | |||||||||||||||||
Royal Bank of Canada | $ | 10,069 | $ | (10,069 | ) | $ | — | $ | — | ||||||||
Societe Generale | 22,466 | (12,612 | ) | — | 9,854 | ||||||||||||
State Street Bank London. | 50,496 | (41,925 | ) | — | 8,571 | ||||||||||||
Total | $ | 83,031 | $ | (64,606 | ) | $ | — | $ | 18,425 |
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 | $ | (138,049 | ) | $ | — | $ | (138,049 | ) | |||||||
Total | $ | (138,049 | ) | $ | — | $ | (138,049 | ) | |||||||
Long Short | |||||||||||||||
OTC Swap contracts | $ | (2,896,345 | ) | $ | — | $ | (2,896,345 | ) | |||||||
Total | $ | (2,896,345 | ) | $ | — | $ | (2,896,345 | ) | |||||||
Long Short Credit | |||||||||||||||
OTC Swap contracts | $ | (33,076 | ) | — | $ | (33,076 | ) | ||||||||
Total | $ | (33,076 | ) | $ | — | $ | (33,076 | ) | |||||||
Multi-Asset Income | |||||||||||||||
Forward contracts | $ | (80,439 | ) | — | $ | (80,439 | ) | ||||||||
Total | $ | (80,439 | ) | $ | — | $ | (80,439 | ) |
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 | $ | (14,148 | ) | $ | 14,148 | $ | — | $ | — | ||||||||||
Royal Bank of Canada | (39,807 | ) | 15,899 | — | 23,908 | ||||||||||||||
Societe Generale | (19,556 | ) | 19,556 | — | — | ||||||||||||||
State Street Bank London | (64,538 | ) | 64,538 | — | — | ||||||||||||||
Total | $ | (138,049 | ) | $ | 114,141 | $ | — | $ | 23,908 | ||||||||||
Long Short | |||||||||||||||||||
Goldman Sachs International | $ | (2,896,345 | ) | $ | 614,218 | $ | 1,750,000 | $ | (532,127 | ) | |||||||||
Total | $ | (2,896,345 | ) | $ | 614,218 | $ | 1,750,000 | $ | (532,127 | ) | |||||||||
Long Short Credit | |||||||||||||||||||
Goldman Sachs & Co. | $ | (33,076 | ) | $ | 33,076 | $ | — | $ | — | ||||||||||
Total | $ | (33,076 | ) | $ | 33,076 | $ | — | $ | — | ||||||||||
Multi-Asset Income | |||||||||||||||||||
Royal Bank of Canada | $ | (25,902 | ) | $ | 10,069 | $ | — | $ | (15,833 | ) | |||||||||
Societe Generale | (12,612 | ) | 12,612 | — | — | ||||||||||||||
State Street Bank London. | (41,925 | ) | 41,925 | — | — | ||||||||||||||
Total | $ | (80,439 | ) | $ | 64,606 | $ | — | $ | (15,833 | ) |
(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 October 31, 2015, in the event of a counterparty failure.
(c) Net Amount represents amounts under-collateralized by Global Allocation, Long Short and Multi-Asset Income to each counterparty as of October 31, 2015.
16 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.
17 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 October 31, 2015, Flexible Select invested in Neuberger Berman Core Bond Fund and Neuberger Berman Unconstrained (an "Underlying Fund"). Through October 31, 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 October 31, 2015, Inflation Managed invested in Neuberger Berman Emerging Markets Equity Fund, Neuberger Berman Floating Rate Income Fund, Neuberger Berman High Income Bond Fund, Neuberger Berman Long Short Credit and Neuberger Berman Risk Balanced Commodity Strategy Fund (collectively the "Underlying Funds"). Through October 31, 2015, Multi-Asset Income invested in Neuberger Berman Emerging Markets Debt Fund, Neuberger Berman Floating Rate Income Fund, Neuberger Berman High Income Bond Fund and Neuberger Berman Long Short Credit 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 October 31, 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 October 31, 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 October 31, 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 | $ | 15,553 | $ | 163,902 | |||||
Global Allocation | 59,494 | 112,733 | |||||||
Inflation Managed | 41,178 | 150,482 | |||||||
Multi-Asset Income | 20,165 | 182,742 |
18 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—Investment Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
Each Fund retains Management as its investment manager under an Investment 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 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. Long Short Credit pays Management a fee at the annual rate of 0.80% of the average daily net assets. 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 year ended October 31, 2015, the fee pursuant to the Investment Management Agreement was equivalent to an annual effective rate of 0.60% (0.59% after management fee waiver (See Note A)), 0.65% (0.48% after management fee waiver (See Note A)), 0.65% (0.45% after management fee waiver (See Note A)), 1.10% and 0.45% (0.27% after management fee waiver (See Note A)) 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 Long Short Credit and Multi-Asset Income) pays Management an administration fee at the annual rate of 0.20% (0.21% for Long Short Credit and Multi-Asset Income) of its average daily net assets under this agreement. Long Short Credit's and 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 year ended October 31, 2015, there was no repayment to Management under these agreements.
At October 31, 2015, contingent liabilities to Management under the agreements were as follows:
Expenses Reimbursed in Fiscal Period Ending October 31, | |||||||||||||||||||
2013 | 2014 | 2015 | |||||||||||||||||
Subject to Repayment Until October 31, | |||||||||||||||||||
Class | Contractual Expense Limitation(1) | Expiration | 2016 | 2017 | 2018 | ||||||||||||||
Flexible Select Institutional Class | 0.85 | % | 10/31/18 | 216,729 | (4) | 281,744 | $ | 300,067 | |||||||||||
Flexible Select Class A | 1.21 | % | 10/31/18 | 2,426 | (4) | 1,301 | 2,093 | ||||||||||||
Flexible Select Class C | 1.96 | % | 10/31/18 | 2,202 | (4) | 480 | 604 | ||||||||||||
Global Allocation Institutional Class | 0.90 | %(3) | 10/31/18 | 253,136 | 297,504 | 219,561 | |||||||||||||
Global Allocation Class A | 1.26 | %(3) | 10/31/18 | 141,365 | 168,872 | 187,516 | |||||||||||||
Global Allocation Class C | 2.01 | %(3) | 10/31/18 | 71,481 | 105,371 | 142,390 | |||||||||||||
Inflation Managed Institutional Class | 0.90 | % | 10/31/18 | 438,126 | (2) | 374,332 | 352,679 | ||||||||||||
Inflation Managed Class A | 1.26 | % | 10/31/18 | 5,378 | (2) | 9,441 | 36,856 | ||||||||||||
Inflation Managed Class C | 2.01 | % | 10/31/18 | 5,378 | (2) | 3,221 | 7,233 | ||||||||||||
Inflation Managed Class R6 | 0.83 | % | 10/31/18 | — | — | 9,636 | (7) | ||||||||||||
Long Short Institutional Class | 1.70 | % | 10/31/18 | — | — | — | |||||||||||||
Long Short Class A | 2.06 | % | 10/31/18 | — | — | — | |||||||||||||
Long Short Class C | 2.81 | % | 10/31/18 | — | — | — | |||||||||||||
Long Short Credit Institutional Class | 1.20 | %(9) | 10/31/18 | — | — | 189,748 | (8) | ||||||||||||
Long Short Credit Class A | 1.57 | %(9) | 10/31/18 | — | — | 11,947 | (8) | ||||||||||||
Long Short Credit Class C | 2.32 | %(9) | 10/31/18 | — | — | 11,656 | (8) | ||||||||||||
Long Short Credit Class R6 | 1.13 | %(9) | 10/31/18 | — | — | 51,840 | (8) | ||||||||||||
Multi-Asset Income Institutional Class | 0.65 | %(6) | 10/31/18 | — | — | 212,134 | (5) | ||||||||||||
Multi-Asset Income Class A | 1.02 | %(6) | 10/31/18 | — | — | 11,192 | (5) | ||||||||||||
Multi-Asset Income Class C | 1.77 | %(6) | 10/31/18 | — | — | 11,081 | (5) | ||||||||||||
Multi-Asset Income Class R6 | 0.58 | %(6) | 10/31/18 | — | — | 77,638 | (5) |
(1) Expense limitation per annum of the respective class' average daily net assets.
(2) Period from December 19, 2012 (Commencement of Operations) to October 31, 2013.
(3) 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.
(4) Period from May 31, 2013 (Commencement of Operations) to October 31, 2013.
(5) Period from March 27, 2015 (Commencement of Operations) to October 31, 2015.
(6) 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 October 31, 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.
(7) Period from May 11, 2015 (Commencement of Operations) to October 31, 2015.
(8) Period from June 29, 2015 (Commencement of Operations) to October 31, 2015.
(9) In addition, Management voluntarily waived its fees as necessary to maintain a minimum yield for Long Short Credit Income from June 29, 2015 to July 2, 2015, for Institutional Class, Class A, Class C and Class R6. For the
period ended October 31, 2015, voluntary reimbursements for Institutional Class, Class A, Class C and Class R6 of Long Short Credit amounted to $3,229, $257, $394 and $830, respectively.
Neuberger Berman Fixed Income LLC ("NBFI"), as the sub-adviser to Global Allocation, Inflation Managed, Long Short Credit 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 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 Long Short Credit and Multi-Asset Income) are generally sold with an initial sales charge of up to 5.75%. Class A shares of Long Short Credit and 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 year ended October 31, 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 | $ | 112 | $ | — | $ | — | $ | — | |||||||||
Flexible Select Class C | — | 46 | — | — | |||||||||||||
Global Allocation Class A | 732 | — | — | — | |||||||||||||
Global Allocation Class C | — | 1,929 | — | — | |||||||||||||
Inflation Managed Class A | — | — | — | — | |||||||||||||
Inflation Managed Class C | — | 30 | — | — | |||||||||||||
Long Short Class A | 135,579 | — | — | — | |||||||||||||
Long Short Class C | — | 67,502 | — | — | |||||||||||||
Long Short Credit Class A(2) | — | — | — | — | |||||||||||||
Long Short Credit Class C(2) | — | — | — | — | |||||||||||||
Multi-Asset Income Class A(1) | — | — | — | — | |||||||||||||
Multi-Asset Income Class C(1) | — | 29 | — | — |
(1) Period from March 27, 2015 (Commencement of Operations) to October 31, 2015.
(2) Period from June 29, 2015 (Commencement of Operations) to October 31, 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 year ended October 31, 2015, there were purchase and sale transactions of long-term securities (excluding total return swaps, credit default swaps, total return basket swaps, equity swaps, credit default swaptions, financial futures, forward 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 | $ | — | $ | 118,997,521 | $ | — | $ | — | $ | 112,853,795 | $ | — | |||||||||||||||
Global Allocation | 6,840,719 | 51,225,894 | 10,427,674 | 3,902,089 | 38,979,698 | 16,649,777 | |||||||||||||||||||||
Inflation Managed | 8,507,168 | 11,295,671 | — | 8,844,388 | 11,336,147 | — | |||||||||||||||||||||
Long Short | — | 1,845,219,555 | 1,003,212,854 | — | 1,805,305,279 | 940,125,451 | |||||||||||||||||||||
Long Short Credit(2) | — | 8,881,602 | 956,750 | — | 1,120,272 | — | |||||||||||||||||||||
Multi-Asset Income(1) | 1,793,375 | 19,290,316 | — | 655,994 | 4,453,661 | — |
(1) Period from March 27, 2015 (Commencement of Operations) to October 31, 2015.
(2) Period from June 29, 2015 (Commencement of Operations) to October 31, 2015.
During the year ended October 31, 2015, no brokerage commissions on securities transactions were paid to affiliated brokers.
Note D—Fund Share Transactions:
Share activity for the years ended October 31, 2015 and October 31, 2014 was as follows:
For the Year Ended October 31, 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 | 101,398 | 233,709 | — | 335,107 | 769 | 30,471 | (14,743 | ) | 16,497 | ||||||||||||||||||||||||||
Class A | 12,285 | 1,551 | (36,444 | ) | (22,608 | ) | 46,439 | 27 | (6,595 | ) | 39,871 | ||||||||||||||||||||||||
Class C | 2,639 | 295 | (1,273 | ) | 1,661 | 1,559 | 2 | — | 1,561 | ||||||||||||||||||||||||||
Global Allocation: | |||||||||||||||||||||||||||||||||||
Institutional Class | 237,884 | 26,930 | (559,912 | ) | (295,098 | ) | 320,306 | 129,312 | (780,344 | ) | (330,726 | ) | |||||||||||||||||||||||
Class A | 221,902 | 18,400 | (349,899 | ) | (109,597 | ) | 717,157 | 46,075 | (553,785 | ) | 209,447 | ||||||||||||||||||||||||
Class C | 190,599 | 10,618 | (217,008 | ) | (15,791 | ) | 395,709 | 33,247 | (194,404 | ) | 234,552 | ||||||||||||||||||||||||
Inflation Managed: | |||||||||||||||||||||||||||||||||||
Institutional Class | 935,051 | 15,521 | (1,041,606 | ) | (91,034 | ) | 95,566 | 32,833 | (90,643 | ) | 37,756 | ||||||||||||||||||||||||
Class A | 43,540 | 1,699 | (211,478 | ) | (166,239 | ) | 220,368 | 189 | (26,069 | ) | 194,488 | ||||||||||||||||||||||||
Class C | 10,681 | 189 | (11,509 | ) | (639 | ) | 18,279 | 115 | — | 18,394 | |||||||||||||||||||||||||
Class R6(2) | 220,298 | — | (85,850 | ) | 134,448 | — | — | — | — | ||||||||||||||||||||||||||
Long Short: | |||||||||||||||||||||||||||||||||||
Institutional Class | 93,006,874 | 735,130 | (82,334,519 | ) | 11,407,485 | 159,546,263 | 382,464 | (41,372,231 | ) | 118,556,496 | |||||||||||||||||||||||||
Class A | 11,849,324 | 100,264 | (13,400,201 | ) | (1,450,613 | ) | 32,183,453 | 179,358 | (42,735,854 | ) | (10,373,043 | ) | |||||||||||||||||||||||
Class C | 3,514,350 | 45,292 | (4,714,887 | ) | (1,155,245 | ) | 9,063,806 | 37,716 | (1,825,631 | ) | 7,275,891 | ||||||||||||||||||||||||
Long Short Credit: | |||||||||||||||||||||||||||||||||||
Institutional Class(3) | 2,336,720 | 453 | (560 | ) | 2,336,613 | — | — | — | — | ||||||||||||||||||||||||||
Class A(3) | 134,996 | 12 | — | 135,008 | — | — | — | — | |||||||||||||||||||||||||||
Class C(3) | 103,245 | 1 | — | 103,246 | — | — | — | — | |||||||||||||||||||||||||||
Class R6(3) | 500,000 | — | — | 500,000 | — | — | — | — | |||||||||||||||||||||||||||
Multi-Asset Income: | |||||||||||||||||||||||||||||||||||
Institutional Class(1) | 1,117,763 | 5,803 | (238 | ) | 1,123,328 | — | — | — | — | ||||||||||||||||||||||||||
Class A(1) | 50,507 | 152 | — | 50,659 | — | — | — | — | |||||||||||||||||||||||||||
Class C(1) | 50,298 | 113 | (300 | ) | 50,111 | — | — | — | — | ||||||||||||||||||||||||||
Class R6(1) | 400,000 | 1,294 | — | 401,294 | — | — | — | — |
(1) Period from March 27, 2015 (Commencement of Operations) to October 31, 2015.
(2) Period from May 11, 2015 (Commencement of Operations) to October 31, 2015.
(3) Period from June 29, 2015 (Commencement of Operations) to October 31, 2015.
Note E—Lines of Credit:
At October 31, 2015, each 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. Series of other investment companies managed by Management also participate in this line of credit on substantially the same terms except that some do not have access to the full amount of the Credit Facility. Under the terms of the Credit Facility, each Fund has agreed to pay its 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 the level of its access to the Credit Facility, 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 October 31, 2015. During the period from January 9, 2015 (the commencement date of the Credit Facility) through October 31, 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, from November 1, 2014 through January 9, 2015, each Fund other than Neuberger Berman Multi-Asset Income Fund and Neuberger Berman Long Short Credit Fund, which were not yet operational, 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 October 31, 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 October 31, 2015 | Value October 31, 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 | 907,213 | 649,432 | 840,510 | $ | 8,730,925 | $ | 169,769 | $ | 59,013 | ||||||||||||
Neuberger Berman Unconstrained Bond Fund Institutional Class | — | 313,065 | — | 313,065 | 2,934,884 | 5,856 | — | |||||||||||||||
Total | $ | 11,665,809 | $ | 175,625 | $ | 59,013 | ||||||||||||||||
Global Allocation | ||||||||||||||||||||||
Neuberger Berman Emerging Markets Debt Fund Institutional Class | — | 151,920 | 75,899 | 76,021 | $ | 639,154 | $ | 53,249 | $ | (77,226 | ) | |||||||||||
Neuberger Berman Emerging Markets Equity Fund Institutional Class | — | 187,444 | 30,797 | 156,647 | 2,297,680 | — | (45,669 | ) |
Balance of Shares Held October 31, 2014 | Gross Purchases and Additions | Gross Sales and Reductions | Balance of Shares Held October 31, 2015 | Value October 31, 2015 | Distributions from Investments in Affiliated Issuers(2) | Net Realized Gain (Loss) from Investments in Affiliated Issuers | ||||||||||||||||
Neuberger Berman High Income Bond Fund Institutional Class | — | 157,286 | 22,489 | 134,797 | $ | 1,147,477 | $ | 53,938 | $ | (9,246 | ) | |||||||||||
Neuberger Berman International Equity Fund Institutional Class | — | 301,887 | 36,395 | 265,492 | 2,960,732 | — | 4,214 | |||||||||||||||
Neuberger Berman Long Short Credit Fund Institutional Class | — | 105,628 | — | 105,628 | 1,029,765 | 2,155 | — | |||||||||||||||
Neuberger Berman Risk Balanced Commodity Strategy Fund Institutional Class | — | 111,878 | 10,126 | 101,752 | 630,506 | — | (8,316 | ) | ||||||||||||||
Neuberger Berman Short Duration High Income Fund Institutional Class | — | 137,958 | 137,958 | — | — | 3,391 | 19,294 | |||||||||||||||
Total | $ | 8,705,314 | $ | 112,733 | $ | (116,949 | ) | |||||||||||||||
Inflation Managed | ||||||||||||||||||||||
Neuberger Berman Emerging Markets Equity Fund Institutional Class | 103,341 | 51,382 | 97,049 | 57,674 | $ | 845,956 | $ | 19,481 | $ | (161,646 | ) | |||||||||||
Neuberger Berman Floating Rate Income Fund Institutional Class | 91,688 | 53,140 | 83,599 | 61,229 | 603,445 | 36,909 | (20,280 | ) | ||||||||||||||
Neuberger Berman High Income Bond Fund Institutional Class | 102,045 | 207,851 | 116,028 | 193,868 | 1,650,321 | 95,108 | (50,566 | ) | ||||||||||||||
Neuberger Berman Risk Balanced Commodity Strategy Fund Institutional Class | 238,082 | 121,966 | 125,022 | 235,026 | 1,456,338 | 203 | (292,789 | ) | ||||||||||||||
Total | $ | 4,556,060 | $ | 151,701 | $ | (525,281 | ) |
Balance of Shares Held October 31, 2014 | Gross Purchases and Additions | Gross Sales and Reductions | Balance of Shares Held October 31, 2015 | Value October 31, 2015 | Distributions from Investments in Affiliated Issuers(2) | Net Realized Gain (Loss) from Investments in Affiliated Issuers | ||||||||||||||||
Multi-Asset Income | ||||||||||||||||||||||
Neuberger Berman Emerging Markets Debt Fund Institutional Class | — | 187,015 | (4,577 | ) | 182,438 | $ | 1,533,858 | $ | 51,224 | $ | (1,930 | ) | ||||||||||
Neuberger Berman Floating Rate Income Fund Institutional Class | — | 251,272 | (57,710 | ) | 193,562 | 1,907,671 | 52,397 | (7,015 | ) | |||||||||||||
Neuberger Berman Global Long Short Fund Institutional Fund Class | — | 43,732 | — | 43,732 | 433,404 | — | — | |||||||||||||||
Neuberger Berman High Income Fund Institutional Class | — | 284,787 | (12,281 | ) | 272,506 | 2,319,739 | 77,714 | (827 | ) | |||||||||||||
Neuberger Berman Long Short Credit Commodity Strategy Fund Institutional Class | — | 45,159 | — | 45,159 | 440,252 | 1,407 | — |
| ||||||||||||||
Total | $ | 6,634,924 | $ | 182,742 | $ | (9,772 | ) |
(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 October 31, 2015, there were affiliated investors owning 0.2%, 70.1% and 86.2% of Flexible Select's, Inflation Managed's and Long Short Credit's outstanding shares, respectively.
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. At this time, Management is evaluating the impact, if any, of this guidance on the Funds' financial statement disclosures. ASU 2014-11 is effective for Long Short Credit and Multi-Asset Income as of October 31, 2015; however, no additional disclosure was necessary.
Financial Highlights
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. Amounts that round to [$0.00 to less than $0.01] per share or [$(0.01) to less than $0.00] per share are presented as $0.00 or $(0.00), respectively. Ratios that round to [0.00% to less than 0.01%] or [(0.01)% to less than 0.00%] 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 Year | 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 Year | Total Return†† | Net Assets, End of Year (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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 11.96 | $ | 0.09 | $ | (0.07 | ) | $ | 0.02 | $ | (0.12 | ) | $ | (0.22 | ) | $ | (0.34 | ) | $ | — | $ | 11.64 | 0.13 | % | $ | 98.1 | 1.15 | % | 1.15 | %Ø | 0.83 | % | 0.83 | %Ø | 0.77 | % | 123 | % | 123 | %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 | 0.83 | % | 0.83 | %Ø | 0.98 | % | 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* | 0.83 | %‡* | 0.83 | %‡Ø* | 0.95 | %‡* | 20 | %** | 20 | %Ø** | ||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 11.92 | $ | 0.05 | $ | (0.07 | ) | $ | (0.02 | ) | $ | (0.10 | ) | $ | (0.22 | ) | $ | (0.32 | ) | $ | — | $ | 11.58 | (0.23 | ) | % | $ | 0.4 | 1.56 | % | 1.56 | %Ø | 1.20 | % | 1.20 | %Ø | 0.44 | % | 123 | % | 123 | %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 | 0.50 | % | 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* | 0.57 | %‡* | 20 | %** | 20 | %Ø** | ||||||||||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 11.81 | $ | (0.04 | ) | $ | (0.07 | ) | $ | (0.11 | ) | $ | (0.02 | ) | $ | (0.22 | ) | $ | (0.24 | ) | $ | — | $ | 11.46 | (0.95 | ) | % | $ | 0.2 | 2.32 | % | 2.32 | %Ø | 1.94 | % | 1.94 | %Ø | (0.34 | )% | 123 | % | 123 | %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 | (0.14 | )% | 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* | (0.18 | )%‡* | 20 | %** | 20 | %Ø** | |||||||||||||||||||||||||||||||||||||||||||||
Global Allocation Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 10.81 | $ | 0.06 | $ | (0.17 | ) | $ | (0.11 | ) | $ | (0.28 | ) | $ | (0.00 | ) | $ | (0.28 | ) | $ | — | $ | 10.42 | (1.12 | ) | % | $ | 8.9 | 3.29 | % | 2.94 | % | 1.03 | % | 0.69 | % | 0.51 | % | 198 | % | 189 | % | |||||||||||||||||||||||||||||||||||||||||
10/31/2014 | $ | 11.63 | $ | (0.12 | ) | $ | 0.29 | $ | 0.17 | $ | (0.99 | ) | $ | — | $ | (0.99 | ) | $ | 0.00 | $ | 10.81 | 1.37 | % | b | $ | 12.5 | 3.25 | % | 2.72 | % | 1.50 | % | 0.98 | % | (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 | % | 0.98 | % | (0.85 | )% | 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 | %‡*^^ | (0.95 | )%‡* | 268 | %** | 216 | %** |
See Notes to Financial Highlights
Financial Highlights (cont'd)
Net Asset Value, Beginning of Year | 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 Year | Total Return†† | Net Assets, End of Year (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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 10.76 | $ | 0.02 | $ | (0.18 | ) | $ | (0.16 | ) | $ | (0.24 | ) | $ | (0.00 | ) | $ | (0.24 | ) | $ | — | $ | 10.36 | (1.52 | )% | $ | 8.1 | 3.69 | % | 3.34 | % | 1.39 | % | 1.04 | % | 0.16 | % | 198 | % | 189 | % | ||||||||||||||||||||||||||||||||||
10/31/2014 | $ | 11.57 | $ | (0.16 | ) | $ | 0.29 | $ | 0.13 | $ | (0.94 | ) | $ | — | $ | (0.94 | ) | $ | 0.00 | $ | 10.76 | 1.03 | %b | $ | 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 10.60 | $ | (0.06 | ) | $ | (0.18 | ) | $ | (0.24 | ) | $ | (0.18 | ) | $ | (0.00 | ) | $ | (0.18 | ) | $ | — | $ | 10.18 | (2.29 | )% | $ | 6.6 | 4.45 | % | 4.10 | % | 2.14 | % | 1.79 | % | (0.57 | )% | 198 | % | 189 | % | |||||||||||||||||||||||||||||||||
10/31/2014 | $ | 11.43 | $ | (0.25 | ) | $ | 0.30 | $ | 0.05 | $ | (0.88 | ) | $ | — | $ | (0.88 | ) | $ | 0.00 | $ | 10.60 | 0.30 | %b | $ | 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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 10.74 | $ | 0.19 | $ | (1.25 | ) | $ | (1.06 | ) | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | $ | — | $ | 9.58 | (9.98 | )% | $ | 14.2 | 2.88 | % | 2.88 | %Ø | 0.71 | % | 0.71 | %Ø | 1.87 | % | 100 | % | 100 | %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 | 0.69 | % | 0.69 | %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* | 0.69 | %‡* | 0.69 | %‡Ø* | 1.92 | %‡* | 45 | %** | 45 | %Ø** | |||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 10.71 | $ | 0.15 | $ | (1.24 | ) | $ | (1.09 | ) | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | $ | — | $ | 9.54 | (10.21 | )% | $ | 0.4 | 3.33 | % | 3.33 | %Ø | 1.06 | % | 1.06 | %Ø | 1.47 | % | 100 | % | 100 | %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** |
See Notes to Financial Highlights
Financial Highlights (cont'd)
Net Asset Value, Beginning of Year | 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 Year | Total Return†† | Net Assets, End of Year (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) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Inflation Managed Fund§§ (cont'd) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 10.63 | $ | 0.07 | $ | (1.23 | ) | $ | (1.16 | ) | $ | (0.06 | ) | $ | — | $ | (0.06 | ) | $ | — | $ | 9.41 | (10.92 | )% | $ | 0.3 | 4.05 | % | 4.05 | %Ø | 1.81 | % | 1.81 | %Ø | 0.71 | % | 100 | % | 100 | %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 | 0.33 | % | 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* | 0.84 | %‡* | 45 | %** | 45 | %Ø** | |||||||||||||||||||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period from 5/11/2015^ to 10/31/2015 | $ | 10.57 | $ | 0.09 | $ | (1.07 | ) | $ | (0.98 | ) | $ | — | $ | — | $ | — | $ | — | $ | 9.59 | (9.27 | )%** | $ | 1.30 | 3.62 | %* | 3.62 | %Ø* | 0.65 | %* | 0.65 | %Ø* | 2.08 | %* | 100 | %cØ | 100 | %cØ | |||||||||||||||||||||||||||||||||||||
Long Short Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 13.02 | $ | 0.02 | $ | (0.21 | ) | $ | (0.19 | ) | $ | (0.02 | ) | $ | (0.05 | ) | $ | (0.07 | ) | $ | — | $ | 12.76 | (1.45 | )% | $ | 2,719.8 | 1.66 | % | 1.31 | % | 1.66 | % | 1.31 | % | 0.16 | % | 91 | % | 69 | % | ||||||||||||||||||||||||||||||||||
10/31/2014 | $ | 12.48 | $ | 0.02 | $ | 0.58 | $ | 0.60 | $ | — | $ | (0.06 | ) | $ | (0.06 | ) | $ | 0.00 | $ | 13.02 | 4.83 | %b | $ | 2,627.8 | 1.72 | % | 1.48 | % | 1.72 | % | 1.48 | % | 0.17 | % | 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 | %§ | 0.10 | % | 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 | %‡* | 0.40 | %‡* | 93 | %** | 56 | %** | |||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 12.91 | $ | (0.03 | ) | $ | (0.21 | ) | $ | (0.24 | ) | $ | — | $ | (0.05 | ) | $ | (0.05 | ) | $ | — | $ | 12.62 | (1.89 | )% | $ | 361.7 | 2.03 | % | 1.68 | % | 2.03 | % | 1.68 | % | (0.20 | )% | 91 | % | 69 | % | ||||||||||||||||||||||||||||||||||
10/31/2014 | $ | 12.41 | $ | (0.03 | ) | $ | 0.58 | $ | 0.55 | $ | — | $ | (0.05 | ) | $ | (0.05 | ) | $ | 0.00 | $ | 12.91 | 4.47 | %b | $ | 388.6 | 2.09 | % | 1.85 | % | 2.09 | % | 1.85 | % | (0.20 | )% | 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 | %§ | (0.23 | )% | 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 | %‡* | 0.05 | %‡* | 93 | %** | 56 | %** | |||||||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 12.66 | $ | (0.12 | ) | $ | (0.20 | ) | $ | (0.32 | ) | $ | — | $ | (0.05 | ) | $ | (0.05 | ) | $ | — | $ | 12.29 | (2.56 | )% | $ | 190.6 | 2.77 | % | 2.42 | % | 2.77 | %* | 2.42 | % | (0.94 | )% | 91 | % | 69 | % | ||||||||||||||||||||||||||||||||||
10/31/2014 | $ | 12.26 | $ | (0.12 | ) | $ | 0.57 | $ | 0.45 | $ | — | $ | (0.05 | ) | $ | (0.05 | ) | $ | 0.00 | $ | 12.66 | 3.71 | %b | $ | 211.0 | 2.84 | % | 2.60 | % | 2.84 | % | 2.60 | % | (0.94 | )% | 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 | %‡* | (0.69 | )%‡* | 93 | %** | 56 | %** |
See Notes to Financial Highlights
Financial Highlights (cont'd)
Net Asset Value, Beginning of Year | 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 Year | Total Return†† | Net Assets, End of Year (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 Credit Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period from 6/29/2015^ to 10/31/2015 | $ | 10.00 | $ | 0.02 | $ | (0.23 | ) | $ | (0.21 | ) | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | — | $ | 9.75 | (2.06 | )%** | $ | 22.8 | 3.50 | %‡* | 3.45 | %‡* | 1.21 | %‡* | 1.15 | %‡* | 0.64 | %‡* | 32 | %** | 18 | %** | |||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period from 6/29/ 2015^ to 10/31/2015 | $ | 10.00 | $ | 0.01 | $ | (0.23 | ) | $ | (0.22 | ) | $ | (0.03 | ) | $ | — | $ | (0.03 | ) | $ | — | $ | 9.75 | (2.17 | )%** | $ | 1.3 | 4.28 | %‡* | 4.23 | %‡* | 1.55 | %‡* | 1.50 | %‡* | 0.28 | %‡* | 32 | %** | 18 | %** | |||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period from 6/29/2015^ to 10/31/2015 | $ | 10.00 | $ | (0.01 | ) | $ | (0.23 | ) | $ | (0.24 | ) | $ | (0.01 | ) | $ | — | $ | (0.01 | ) | $ | — | $ | 9.75 | (2.41 | )%** | $ | 1.0 | 5.04 | %‡* | 4.98 | %‡* | 2.26 | %‡* | 2.20 | %‡* | (0.43 | )%‡* | 32 | %** | 18 | %** | ||||||||||||||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period from 6/29/ 2015^ to 10/31/2015 | $ | 10.00 | $ | 0.02 | $ | (0.22 | ) | $ | (0.20 | ) | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | — | $ | 9.75 | (2.03 | )%** | $ | 4.9 | 3.49 | %‡* | 3.44 | %‡* | 1.14 | %‡* | 1.08 | %‡* | 0.69 | %‡* | 32 | %** | 18 | %** | |||||||||||||||||||||||||||||||||||
Multi-Asset Income Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period from 3/27/2015^ to 10/31/2015 | $ | 10.00 | $ | 0.23 | $ | (0.57 | ) | $ | (0.34 | ) | $ | (0.23 | ) | $ | — | $ | (0.23 | ) | $ | — | $ | 9.43 | (3.43 | )%** | $ | 10.6 | 3.66 | %‡* | 3.66 | %؇* | 0.43 | %‡* | 0.43 | %؇* | 3.87 | %‡* | 33 | %** | 33 | %Ø** | |||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period from 3/27/2015^ to 10/31/2015 | $ | 10.00 | $ | 0.20 | $ | (0.56 | ) | $ | (0.36 | ) | $ | (0.21 | ) | $ | — | $ | (0.21 | ) | $ | — | $ | 9.43 | (3.64 | )%** | $ | 0.5 | 4.55 | %‡* | 4.55 | %؇* | 0.79 | %‡* | 0.79 | %؇* | 3.50 | %‡* | 33 | %** | 33 | %Ø** | |||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period from 3/27/2015^ to 10/31/2015 | $ | 10.00 | $ | 0.16 | $ | (0.56 | ) | $ | (0.40 | ) | $ | (0.17 | ) | $ | — | $ | (0.17 | ) | $ | — | $ | 9.43 | (4.07 | )%** | $ | 0.5 | 5.29 | %‡* | 5.29 | %؇* | 1.53 | %‡* | 1.53 | %؇* | 2.76 | %‡* | 33 | %** | 33 | %Ø** | |||||||||||||||||||||||||||||||||||
Class R6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period from 3/27/2015^ to 10/31/2015 | $ | 10.00 | $ | 0.23 | $ | (0.57 | ) | $ | (0.34 | ) | $ | (0.23 | ) | $ | — | $ | (0.23 | ) | $ | — | $ | 9.43 | (3.39 | )%** | $ | 3.8 | 3.63 | %‡* | 3.63 | %؇* | 0.36 | %‡* | 0.36 | %؇* | 3.93 | %‡* | 33 | %** | 33 | %Ø** |
See Notes to Financial Highlights
Notes to Financial Highlights
†† 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 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 195% and 185%, respectively, for the year ended October 31, 2015, for Global Allocation.
b 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.
c Portfolio turnover is calculated at the Fund level. Percentage indicated was calculated for the year ended October 31, 2015 for Inflation Managed.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of
Neuberger Berman Alternative Funds and
Shareholders of:
Neuberger Berman Inflation Managed Fund
(formerly Inflation Navigator Fund)
Neuberger Berman Flexible Select Fund
Neuberger Berman Global Allocation Fund
Neuberger Berman Long Short Credit Fund
Neuberger Berman Multi-Asset Income Fund
We have audited the accompanying statements of assets and liabilities of Neuberger Berman Inflation Managed Fund (formerly, Neuberger Berman Inflation Navigator Fund), Neuberger Berman Flexible Select Fund, Neuberger Berman Global Allocation Fund, Neuberger Berman Long Short Credit Fund and Neuberger Berman Multi-Asset Income Fund, five of the series constituting the Neuberger Berman Alternative Funds (the "Funds") including the schedules of investments, as of October 31, 2015, and the related statements of operations for the statements of changes in net assets and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds' internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2015 by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Neuberger Berman Inflation Managed Fund, Neuberger Berman Flexible Select Fund, Neuberger Berman Global Allocation Fund, Neuberger Berman Long Short Credit Fund and Neuberger Berman Multi-Asset Income Fund, at October 31, 2015, the results of their operations, the changes in their net assets and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
December 23, 2015
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders
Neuberger Berman Alternative Funds
We have audited the accompanying statement of assets and liabilities of the Neuberger Berman Long Short Fund, a series of the Neuberger Berman Alternative Funds (the "Trust"), including the schedule of investments, as of October 31, 2015, and the related statement of operations for the year then ended, and the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the three years in the period then ended and for the period December 29, 2011 (commencement of operations) to October 31, 2012. These financial statements and financial highlights are the responsibility of the Trust's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2015, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Neuberger Berman Long Short Fund, as of October 31, 2015, and the results of its operations for the year then ended, and the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the two years in the period then ended and for the period December 29, 2011 (commencement of operations) to October 31, 2012, in conformity with accounting principles generally accepted in the United States of America.
Philadelphia, Pennsylvania
December 23, 2015
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
Trustee and Officer Information
The following tables set forth information concerning the Trustees and Officers of each of the Funds. All persons named as Trustees and Officers also serve in similar capacities for other funds administered or managed by Management, NBFI and/or Neuberger. Each Fund's Statement of Additional Information includes additional information about the Trustees as of the time of the Fund's most recent public offering and is available upon request, without charge, by calling (800) 877-9700.
Information about the Board of Trustees
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||||||||||
Independent Trustees | |||||||||||||||||||
Faith Colish (1935) | Trustee since inception | Counsel, Carter Ledyard & Milburn LLP (law firm) since October 2002; formerly, Attorney-at-Law and President, Faith Colish, A Professional Corporation, 1980 to 2002. | 59 | Formerly, Director, 1997 to 2003, and Advisory Director, 2003 to 2006, ABA Retirement Funds (formerly, American Bar Retirement Association) (not-for-profit membership corporation). | |||||||||||||||
Michael J. Cosgrove (1949) | Trustee since 2015 | President, Carragh Consulting USA, since 2014; formerly, Executive, General Electric Company, 1982 to 2014, including President, Mutual Funds and Global Investment Programs, GE Asset Management, 2011 to 2014, President and Chief Executive Officer, Mutual Funds and Intermediary Business, GE Asset Management, 2007 to 2011, and President, Institutional Sales and Marketing, GE Asset Management, 1998 to 2007. | 59 | Director, The Gabelli Go Anywhere Trust, since 2015; Director, America Press, Inc. (not-for-profit Jesuit publisher), since 2015; Director, Fordham University, since 2001; Director, Skin Cancer Foundation (not-for-profit), since 2006; formerly, Director, GE Investments Funds, Inc., 1997 to 2014; Trustee, GE Institutional Funds, 1997 to 2014; Director, GE Asset Management, 1988 to 2014; Director, Elfun Trusts, 1988 to 2014. |
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||||||||||
Marc Gary (1952) | Trustee since 2015 | Executive Vice Chancellor and Chief Operating Officer, Jewish Theological Seminary, since 2012; formerly, Executive Vice President and General Counsel, Fidelity Investments, 2007 to 2012; Executive Vice President and General Counsel, BellSouth Corporation, 2004 to 2007; Vice President and Associate General Counsel, BellSouth Corporation, 2000 to 2004; Associate, Partner, and National Litigation Practice Co-Chair, Mayer, Brown LLP, 1981 to 2000; Associate Independent Counsel, Office of Independent Counsel, 1990 to 1992. | 59 | Trustee, Jewish Theological Seminary, since 2015; Director, Counsel on Call (privately held for-profit company), since 2012; Director, Lawyers Committee for Civil Rights Under Law (not-for-profit), since 2005; formerly, Director, Equal Justice Works (not-for-profit), 2005 to 2014; Director, Corporate Counsel Institute, Georgetown University Law Center, 2007 to 2012; Director, Greater Boston Legal Services (not-for-profit), 2007 to 2012. |
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||||||||||
Martha C. Goss (1949) | Trustee since 2007 | President, Woodhill Enterprises Inc./Chase Hollow Associates LLC (personal investment vehicle), since 2006; formerly, Consultant, Resources Global Professionals (temporary staffing), 2002 to 2006. | 59 | Director, American Water (water utility), since 2003; Director, Allianz Life of New York (insurance), since 2005; Director, Berger Group Holdings, Inc. (engineering consulting firm), since 2013; Director, Financial Women's Association of New York (not-for-profit association), since 2003; Trustee Emerita, Brown University, since 1998; Director, Museum of American Finance (not-for-profit), since 2013; formerly, Non-Executive Chair and Director, Channel Reinsurance (financial guaranty reinsurance), 2006 to 2010; formerly, Director, Ocwen Financial Corporation (mortgage servicing), 2005 to 2010; formerly, Director, Claire's Stores, Inc. (retailer), 2005 to 2007; formerly, Director, Parsons Brinckerhoff Inc. (engineering consulting firm), 2007 to 2010; formerly, Director, Bank Leumi (commercial bank), 2005 to 2007; formerly, Advisory Board Member, Attensity (software developer), 2005 to 2007. |
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||||||||||
Michael M. Knetter (1960) | Trustee since 2007 | President and Chief Executive Officer, University of Wisconsin Foundation, since October 2010; formerly, Dean, School of Business, University of Wisconsin—Madison; formerly, Professor of International Economics and Associate Dean, Amos Tuck School of Business—Dartmouth College, 1998 to 2002. | 59 | Board Member, American Family Insurance (a mutual company, not publicly traded), since March 2009; formerly, Trustee, Northwestern Mutual Series Fund, Inc., 2007 to 2011; formerly, Director, Wausau Paper, 2005 to 2011; formerly, Director, Great Wolf Resorts, 2004 to 2009. | |||||||||||||||
Howard A. Mileaf (1937) | Trustee since inception | Retired; formerly, Vice President and General Counsel, WHX Corporation (holding company), 1993 to 2001. | 59 | Formerly, Director, Webfinancial Corporation (holding company), 2002 to 2008; formerly, Director, WHX Corporation (holding company), 2002 to 2005; formerly, Director, State Theatre of New Jersey (not-for-profit theatre), 2000 to 2005. | |||||||||||||||
George W. Morriss (1947) | Trustee since 2007 | Adjunct Professor, Columbia University School of International and Public Affairs, since October 2012; formerly, Executive Vice President and Chief Financial Officer, People's Bank, Connecticut (a financial services company), 1991 to 2001. | 59 | Director and Treasurer, National Association of Corporate Directors, Connecticut Chapter, since 2011; Trustee, Steben Alternative Investment Funds, Steben Select Multi-Strategy Fund, and Steben Select Multi-Strategy Master Fund, since 2013; formerly, Manager, Larch Lane Multi-Strategy Fund complex (which consisted of three funds), 2006 to 2011; formerly, Member, NASDAQ Issuers' Affairs Committee, 1995 to 2003. |
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||||||||||
Tom D. Seip (1950) | Trustee since inception; Chairman of the Board since 2008; formerly Lead Independent Trustee from 2006 to 2008 | General Partner, Ridgefield Farm LLC (a private investment vehicle); formerly, President and CEO, Westaff, Inc. (temporary staffing), May 2001 to January 2002; formerly, Senior Executive, The Charles Schwab Corporation, 1983 to 1998, including Chief Executive Officer, Charles Schwab Investment Management, Inc.; Trustee, Schwab Family of Funds and Schwab Investments, 1997 to 1998; and Executive Vice President-Retail Brokerage, Charles Schwab & Co., Inc., 1994 to 1997. | 59 | Director, H&R Block, Inc. (financial services company), since May 2001; Chairman, Governance and Nominating Committee, H&R Block, Inc., since 2011; formerly, Chairman, Compensation Committee, H&R Block, Inc., 2006 to 2010; formerly, Director, Forward Management, Inc. (asset management company), 1999 to 2006. | |||||||||||||||
Candace L. Straight (1947) | Trustee since inception | Private investor and consultant specializing in the insurance industry; formerly, Advisory Director, Securitas Capital LLC (a global private equity investment firm dedicated to making investments in the insurance sector), 1998 to 2003. | 59 | Public Member, Board of Governors and Board of Trustees, Rutgers University, since 2011; Director, Montpelier Re Holdings Ltd. (reinsurance company), since 2006; formerly, Director, National Atlantic Holdings Corporation (property and casualty insurance company), 2004 to 2008; formerly, Director, The Proformance Insurance Company (property and casualty insurance company), 2004 to 2008; formerly, Director, Providence Washington Insurance Company (property and casualty insurance company), 1998 to 2006; formerly, Director, Summit Global Partners (insurance brokerage firm), 2000 to 2005. | |||||||||||||||
Peter P. Trapp (1944) | Trustee since inception | Retired; formerly, Regional Manager for Mid-Southern Region, Ford Motor Credit Company, September 1997 to 2007; formerly, President, Ford Life Insurance Company, April 1995 to August 1997. | 59 | None. |
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||||||||||
Trustees who are "Interested Persons" | |||||||||||||||||||
Joseph V. Amato* (1962) | Trustee since 2009 | President and Director, Neuberger Berman Group LLC, since 2009; President and Chief Executive Officer, Neuberger and Neuberger Berman Holdings LLC (including its predecessor, Neuberger Berman Inc.), since 2007; Chief Investment Officer (Equities) and Managing Director, Management, since 2009; Managing Director, Neuberger Berman Fixed Income LLC ("NBFI"), since 2007; Board member of NBFI since 2006; formerly, Global Head of Asset Management of Lehman Brothers Holdings Inc.'s ("LBHI") Investment Management Division, 2006 to 2009; formerly, member of LBHI's Investment Management Division's Executive Management Committee, 2006 to 2009; formerly, Managing Director, Lehman Brothers Inc. ("LBI"), 2006 to 2008; formerly, Chief Recruiting and Development Officer, LBI, 2005 to 2006; formerly, Global Head of LBI's Equity Sales and a Member of its Equities Division Executive Committee, 2003 to 2005. | 59 | Member of Board of Advisors, McDonough School of Business, Georgetown University, since 2001; Member of New York City Board of Advisors, Teach for America, since 2005; Trustee, Montclair Kimberley Academy (private school), since 2007; Member of Board of Regents, Georgetown University, since 2013. | |||||||||||||||
Robert Conti* (1956) | Chief Executive Officer, President and Trustee since 2008; prior thereto, Executive Vice President in 2008 and Vice President from inception to 2008 | Managing Director, Neuberger, since 2007; Managing Director, NBFI, since 2009; formerly, Senior Vice President, Neuberger, 2003 to 2006; formerly, Vice President, Neuberger, 1999 to 2003; President and Chief Executive Officer, Management, since 2008; formerly, Senior Vice President, Management, 2000 to 2008. | 59 | Director, Staten Island Mental Health Society, since 1994; formerly, Chairman of the Board, Staten Island Mental Health Society, 2008 to 2011. |
(1) The business address of each listed person is 605 Third Avenue, New York, New York 10158.
(2) Pursuant to the Trust's Trust Instrument, each of these Trustees shall hold office for life or until his or her successor is elected or the Trust terminates; except that (a) any Trustee may resign by delivering a written resignation; (b) any Trustee may be removed with or without cause at any time by a written instrument signed by at least two-thirds of the other Trustees; (c) any Trustee who requests to be retired, or who has become unable to serve, may be retired by a written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any shareholder meeting by a vote of at least two-thirds of the outstanding shares.
(3) Except as otherwise indicated, each individual has held the positions shown for at least the last five years.
* Indicates a Trustee who is an "interested person" within the meaning of the 1940 Act. Mr. Amato and Mr. Conti are interested persons of the Trust by virtue of the fact that each is an officer of Management, Neuberger and/or their affiliates.
Information about the Officers of the Trust
Name, (Year of Birth), and Address(1) | Position(s) Time Served(2) | Principal Occupation(s)(3) and Length of | |||||||||
Andrew B. Allard (1961) | Chief Legal Officer since 2013 (only for purposes of sections 307 and 406 of the Sarbanes-Oxley Act of 2002) and Anti-Money Laundering Compliance Officer since inception | General Counsel and Senior Vice President, Management, since 2013; Senior Vice President, Neuberger, since 2006 and Employee since 1999; Deputy General Counsel, Neuberger, since 2004; formerly, Vice President, Neuberger, 2000 to 2005; formerly, Employee, Management, 1994 to 1999; Chief Legal Officer (only for purposes of sections 307 and 406 of the Sarbanes-Oxley Act of 2002), ten registered investment companies for which Management acts as investment manager and administrator (ten since 2013); Anti-Money Laundering Compliance Officer, ten registered investment companies for which Management acts as investment manager and administrator (six since 2002, one since 2003, one since 2005, one since 2006 and one since 2013). | |||||||||
Claudia A. Brandon (1956) | Executive Vice President since 2008 and Secretary since inception | Senior Vice President, Neuberger, since 2007 and Employee since 1999; Senior Vice President, Management, since 2008 and Assistant Secretary since 2004; formerly, Vice President, Neuberger, 2002 to 2006; formerly, Vice President-Mutual Fund Board Relations, Management, 2000 to 2008; formerly, Vice President, Management, 1986 to 1999 and Employee 1984 to 1999; Executive Vice President, ten registered investment companies for which Management acts as investment manager and administrator (nine since 2008 and one since 2013); Secretary, ten registered investment companies for which Management acts as investment manager and administrator (three since 1985, three since 2002, one since 2003, one since 2005, one since 2006 and one since 2013). | |||||||||
Agnes Diaz (1971) | Vice President since 2013 | Senior Vice President, Neuberger, since 2012; Employee, Management, since 1996; formerly, Vice President, Neuberger, 2007 to 2012; Vice President, ten registered investment companies for which Management acts as investment manager and administrator (ten since 2013). | |||||||||
Anthony DiBernardo (1979) | Assistant Treasurer since 2011 | Senior Vice President, Neuberger, since 2014; Employee, Management, since 2003; formerly, Vice President, Neuberger, 2009 to 2014; Assistant Treasurer, ten registered investment companies for which Management acts as investment manager and administrator (nine since 2011 and one since 2013). | |||||||||
Sheila R. James (1965) | Assistant Secretary since inception | Vice President, Neuberger, since 2008 and Employee since 1999; formerly, Assistant Vice President, Neuberger, 2007; formerly, Employee, Management, 1991 to 1999; Assistant Secretary, ten registered investment companies for which Management acts as investment manager and administrator (six since 2002, one since 2003, one since 2005, one since 2006 and one since 2013). |
Name, (Year of Birth), and Address(1) | Position(s) Time Served(2) | Principal Occupation(s)(3) and Length of | |||||||||
Brian Kerrane (1969) | Chief Operating Officer since 2015 and Vice President since 2008 | Managing Director, Neuberger, since 2014; Vice President, Management, since 2008 and Employee since 1991; formerly, Senior Vice President, Neuberger, 2006 to 2014; Chief Operating Officer, ten registered investment companies for which Management acts as investment manager and administrator (ten since 2015); Vice President, ten registered investment companies for which Management acts as investment manager and administrator (nine since 2008 and one since 2013). | |||||||||
Kevin Lyons (1955) | Assistant Secretary since inception | Assistant Vice President, Neuberger, since 2008 and Employee since 1999; formerly, Employee, Management, 1993 to 1999; Assistant Secretary, ten registered investment companies for which Management acts as investment manager and administrator (seven since 2003, one since 2005, one since 2006 and one since 2013). | |||||||||
Anthony Maltese (1959) | Vice President since 2015 | Senior Vice President, Neuberger, since 2014 and Employee since 2000; Vice President, ten registered investment companies for which Management acts as investment manager and administrator (ten since 2015). | |||||||||
Owen F. McEntee, Jr. (1961) | Vice President since 2008 | Vice President, Neuberger, since 2006; Employee, Management, since 1992; Vice President, ten registered investment companies for which Management acts as investment manager and administrator (nine since 2008 and one since 2013). | |||||||||
John M. McGovern (1970) | Treasurer and Principal Financial and Accounting Officer since inception | Senior Vice President, Neuberger, since 2007; Employee, Management, since 1993; Treasurer and Principal Financial and Accounting Officer, ten registered investment companies for which Management acts as investment manager and administrator (eight since 2005, one since 2006 and one since 2013); formerly, Vice President, Neuberger, 2004 to 2006; formerly, Assistant Treasurer, eight registered investment companies for which Management acts as investment manager and administrator, 2002 to 2005. | |||||||||
Frank Rosato (1971) | Assistant Treasurer since inception | Vice President, Neuberger, since 2006; Employee, Management, since 1995; Assistant Treasurer, ten registered investment companies for which Management acts as investment manager and administrator (eight since 2005, one since 2006 and one since 2013). | |||||||||
Chamaine Williams (1971) | Chief Compliance Officer since inception | Senior Vice President, Neuberger, since 2007; Chief Compliance Officer, Management, since 2006; Chief Compliance Officer, ten registered investment companies for which Management acts as investment manager and administrator (eight since 2005, one since 2006 and one since 2013); formerly, Senior Vice President, LBI, 2007 to 2008; formerly, Vice President, LBI, 2003 to 2006; formerly, Chief Compliance Officer, Lehman Brothers Asset Management Inc., 2003 to 2007; formerly, Chief Compliance Officer, Lehman Brothers Alternative Investment Management LLC, 2003 to 2007 |
(1) The business address of each listed person is 605 Third Avenue, New York, New York 10158.
(2) Pursuant to the By-Laws of the Trust, each officer elected by the Trustees shall hold office until his or her successor shall have been elected and qualified or until his or her earlier death, inability to serve, or resignation. Officers serve at the pleasure of the Trustees and may be removed at any time with or without cause.
(3) Except as otherwise indicated, each individual has held the positions shown for at least the last five years
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).
Board Consideration of the Management and Sub-Advisory Agreements
On an annual basis, the Board of Trustees ("Board") of Neuberger Berman Alternative Funds ("Trust"), including the Trustees who are not "interested persons" of Neuberger Berman Management LLC ("Management") (including its affiliates) or the Trust ("Independent Fund Trustees"), considers whether to continue the management agreement with Management (the "Management Agreement") and the sub-advisory agreement between Management and Neuberger Berman LLC ("Neuberger") for Neuberger Berman Flexible Select Fund and Neuberger Berman Long Short Fund (each, a "Fund") and between Management and Neuberger Berman Fixed Income LLC ("NBFI") for Neuberger Berman Global Allocation Fund, Neuberger Berman Inflation Managed Fund (formerly Neuberger Berman Inflation Navigator Fund)(each, a "Fund") (each a "Sub-Advisory Agreement," and collectively with the Management Agreement, the "Agreements"). Throughout the process, the Independent Fund Trustees are advised by counsel that is experienced in Investment Company Act of 1940 matters and that is independent of Management ("Independent Counsel"). At a meeting held on September 8, 2015, the Board, including the Independent Fund Trustees, approved the continuation of the Agreements for each Fund.
In evaluating the Agreements with respect to each Fund, the Board, including the Independent Fund Trustees, reviewed extensive materials provided by Management in response to questions submitted by the Independent Fund Trustees and Independent Counsel, and met with senior representatives of Management regarding its personnel, operations and financial condition as they relate to the Funds. The annual contract review extends over at least two regular meetings of the Board to ensure that Management, Neuberger and NBFI have time to respond to any questions the Independent Fund Trustees may have on their initial review of the materials and that the Independent Fund Trustees have time to consider those responses.
In connection with its deliberations, the Board also considered the broad range of information relevant to the annual contract review that is provided to the Board (including its various standing committees) at meetings throughout the year, including investment performance reports and related portfolio information for each Fund, as well as periodic reports on, among other matters, pricing and valuation; brokerage and execution; compliance; and shareholder and other services provided by Management, Neuberger, NBFI and their affiliates. To assist the Board in its deliberations regarding the annual 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 annual contract review, such as Fund performance or compliance matters.
The Independent Fund Trustees received from Independent Counsel a memorandum discussing the legal standards for their consideration of the proposed continuation of the Agreements. During the course of the year and during their deliberations regarding the annual contract review, the Contract Review Committee and the Independent Fund Trustees met with Independent Counsel separately from representatives of Management, Neuberger, and NBFI.
In connection with its approval of the continuation of the Agreements, the Board evaluated the terms of the Agreements, the overall fairness of the Agreements to each Fund and whether the Agreements were in the best interests of each Fund and its shareholders. The Board considered all factors it deemed relevant with respect to each Fund, including the following factors: (1) the nature, extent, and quality of the services provided by Management and Neuberger or NBFI, as applicable; (2) the investment performance of each Fund compared to an appropriate market index and a peer group of investment companies; (3) the costs of the services provided and the profit or loss realized by Management and its affiliates from their relationship with each Fund; (4) the extent to which economies of scale have been or might be realized as each Fund grows; and (5) whether fee levels reflect any such potential economies of scale for the benefit of each Fund's shareholders. The Board's determination to approve the continuation of the Agreements was based on a comprehensive consideration of all information provided to the Board throughout the year and specifically in connection with the annual contract review. The Board members did not identify any particular information or factor that was all-important or controlling, and each Trustee may have attributed different weights to the various factors. The Board focused on the overall costs and benefits of the Agreements to each Fund and, through the Funds, their shareholders.
With respect to the nature, extent and quality of the services provided, the Board considered the investment philosophy and decision-making processes of Management, Neuberger, and NBFI, and the qualifications, experience and,
capabilities of and the resources available to, the portfolio management personnel of Management, Neuberger or NBFI, as applicable, who perform services for the Funds. The Board noted that Management also provides certain administrative services, including fund accounting and compliance oversight. The Board also considered Management's, Neuberger's and NBFI's policies and practices regarding brokerage and allocation of portfolio transactions and reviewed the quality of the execution services that Management had provided. The Board also reviewed whether Management, Neuberger, or NBFI used brokers to execute Fund transactions that provide research and other services to Management, Neuberger, or NBFI and the types of benefits potentially derived from such services by Management, Neuberger, NBFI, the Funds and other clients of Management, Neuberger and NBFI. The Board also considered that Management's responsibilities include daily management of investment, operational, enterprise, legal, regulatory and compliance risks as they relate to the Funds, and considered information regarding Management's processes for managing risk. In addition, the Board noted the positive compliance history of Management, Neuberger, and NBFI, as no significant compliance problems were reported to the Board with respect to any of the firms. The Board also considered the general structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the Funds.
As in past years, the Board also considered the manner in which Management addressed various non-routine matters that arose during the year, some of them a result of developments in the broader fund industry or the regulations governing it. In addition, the Board considered actions taken by Management, Neuberger and NBFI in response to recent market conditions, including actions taken in response to regulatory concerns about changes in fixed-income market liquidity and potential volatility, and considered the overall performance of Management, Neuberger and NBFI in this context.
With respect to investment performance, the Board considered information regarding each Fund's short-, intermediate- and long-term performance, as applicable, both on an absolute basis and relative to an appropriate market index (or benchmark) and the average performance of a composite peer group (as constructed by an independent organization) of investment companies pursuing broadly similar strategies. For most of the Funds, the Board also reviewed performance in relation to certain measures of the degree of investment risk undertaken by the portfolio managers. The Board factored into its evaluation of the Funds' performance the limitations inherent in the methodology for constructing peer groups and determining which investment companies should be included in which peer groups. In the case of those Funds that had significantly underperformed their benchmark market indices and/or peer groups, the Board discussed with Management each Fund's performance and steps that Management had taken, or intended to take, to improve performance. The Board also considered Management's responsiveness with respect to the Funds that experienced lagging performance. In this regard, the Board noted that performance, especially short-term performance, is only one of the factors that it deems relevant to its consideration of a Fund's Agreements and that, after considering all relevant factors, it may be appropriate to approve the continuation of the Agreements notwithstanding a Fund's underperformance.
With respect to the overall fairness of the Agreements, the Board considered the fee structure for each Fund under the Agreements as compared to a peer group of comparable funds and any fall-out benefits likely to accrue to Management or NBFI or their affiliates from their relationship with each Fund. With respect to Neuberger Berman Flexible Select Fund and Neuberger Berman Inflation Managed Fund, the Board considered that each Fund invests in affiliated underlying funds pursuant to exemptive relief obtained from the Securities and Exchange Commission. The Board further considered, for any assets that Neuberger Berman Flexible Select Fund and Neuberger Berman Inflation Navigator Fund invest in an affiliated underlying fund, Management's undertaking to waive a portion of each Fund's advisory fee equal to the advisory fee it receives from such affiliated underlying fund. The Board also considered the profitability of Management and its affiliates from their association with the Funds, and year-over-year changes in each of Management's reported expense categories. The Board reviewed a comparison of each Fund's management fee and overall expense ratio to a peer group of comparable funds. The Board noted that the comparative management fee analysis includes, in each 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 each peer group. Where a Fund's management fee was higher than the peer group mean and/or median, the Board considered whether specific portfolio management or administration needs contributed to the size of the management fee. In addition, the Board considered the contractual limit on expenses of certain classes of each Fund. The Board noted that Management incurred a loss on certain of the Funds during the review period.
With regard to the investment performance of each Fund and the costs of the services provided to each Fund, the Board considered the following information. Where a Fund has more than one class of shares outstanding, information for a single class has been provided as identified below and the Board looked at the Institutional Class fees as a proxy for all of the Fund's classes:
• Neuberger Berman Flexible Select Fund (Institutional Class)—The Board considered that, as compared to its peer group, the Fund's contractual management fee and actual management fee net of fees waived by Management were both lower than the median. The Board considered that, as compared to its peer group, the Fund's performance was higher than the median for the 1-year period. The Board also considered that, as compared to its benchmark, the Fund's performance was lower for the 1-year period. The Fund was launched in 2013 and therefore does not have intermediate- and long-term performance.
• Neuberger Berman Global Allocation Fund (Institutional Class)—The Board considered that, as compared to its peer group, the Fund's contractual management fee and actual management fee net of fees waived by Management were both lower than the median. The Board considered that, as compared to its peer group, the Fund's performance was lower than the median for the 1-year period and higher than the median for the 3-year period. The Board also considered that, as compared to its benchmark, the Fund's performance was lower for the 1- and 3-year periods. On January 2, 2015, the Fund began comparing its performance to a different benchmark to better reflect its investment universe. The Fund was launched in December 2010 and therefore does not have long-term performance.
• Neuberger Berman Inflation Managed Fund (Institutional Class)—The Board considered that, as compared to its peer group, the Fund's contractual management fee and actual management fee net of fees waived by Management were both lower than the median. The Board considered that, as compared to its peer group, the Fund's performance was lower than the median for the 1-year period. The Board also considered that, as compared to its benchmark, the Fund's performance was higher for the 1-year period. The Fund was launched in December 2012 and therefore does not have intermediate- and long-term performance.
• Neuberger Berman Long Short Fund (Institutional Class)—The Board considered that, as compared to its peer group, the Fund's contractual management fee was lower than the median but its actual management fee was higher than the median. The Board considered that, as compared to its peer group, the Fund's performance was lower than the median for the 1-year period and higher than the median for the 3-year period. The Board also considered that, as compared to its benchmark, the Fund's performance was higher for the 1- and 3-year periods. The Fund was launched in December 2011 and therefore does not have long-term performance.
The Board also considered whether there were other funds or separate accounts that were advised or sub-advised by Management or its affiliates with investment objectives, policies and strategies that were similar to those of any of the Funds. In the cases where such funds or separate accounts exist, the Board compared the fees charged to the comparable Fund to the fees charged to any such funds and/or separate accounts. The Board considered the appropriateness and reasonableness of any differences between the fees charged to a comparable Fund and any such funds and/or separate accounts, including any breakpoints, and determined that differences in fees and fee structures were consistent with the management and other services provided. The Board also evaluated any apparent or anticipated economies of scale in relation to the services Management provides to each Fund. The Board considered whether each Fund's fee structure provides for a reduction of payments resulting from the use of breakpoints and whether any such breakpoints are set at appropriate asset levels. In concluding that the benefits accruing to Management and its affiliates by virtue of their relationship with each Fund were reasonable in light of the costs of providing the investment advisory and other services and the benefits accruing to each Fund, the Board reviewed specific data as to Management's profit or loss on each Fund for a recent period. The Board also considered Management's cost allocation methodology. The Board recognized that Management should be entitled to earn a reasonable level of profits for services it provides to the Funds and, based on its review, concluded that Management's reported level of profitability on each Fund was reasonable.
Conclusions
In approving the continuation of the Agreements, the Board concluded that the terms of each Agreement are fair and reasonable to each Fund and that approval of the continuation of the Agreements is in the best interests of each Fund and its shareholders. In reaching this determination, the Board considered that Management and Neuberger or NBFI, as applicable, could be expected to provide a high level of service to each Fund; that the performance of each Fund was satisfactory over time, or, in the case of significantly underperforming Funds, that it retained confidence in Management's, Neuberger's and NBFI's capabilities to manage the Funds; that each Fund's fee structure appeared to the Board to be reasonable given the nature, extent and quality of services provided; and that the benefits accruing to Management and its affiliates by virtue of their relationship with the Funds were reasonable in light of the costs of providing the investment advisory and other services and the benefits accruing to each Fund. The Board's conclusions may be based in part on its consideration of materials prepared in connection with the approval or continuance of the Agreements in prior years and on the Board's ongoing regular review of Fund performance and operations throughout the year, in addition to material prepared specifically for the most recent annual review of the Agreements.
Notice to Shareholders
In early 2016 you will receive information to be used in filing your 2015 tax returns, which will include a notice of the exact tax status of all distributions paid to you by the Fund during calendar year 2015. Please consult your own tax advisor for details as to how this information should be reflected on your tax returns.
Under most state tax laws, mutual fund dividends which are derived from direct investments in U.S. Government obligations are not taxable, as long as a Fund meets certain requirements. Some states require that a Fund must provide shareholders with a written notice, within 60 days of the close of a Fund's taxable year, designating the portion of the dividends which represents interest which those states consider to have been earned on U.S. Government obligations. The chart below shows the percentage of income derived from such investments for the twelve months ended October 31, 2015. This information should not be used to complete your tax returns.
U.S. Treasury Obligations | Other Direct U.S. Government Obligations | Other Indirect U.S. Government Obligations | Repurchase Agreements | ||||||||||||||
Flexible Select | 0.0 | % | 0.0 | % | 0.0 | % | 0.0 | % | |||||||||
Global Allocation | 2.6 | 0.2 | 0.0 | 0.0 | |||||||||||||
Inflation Managed | 2.2 | 0.0 | 0.0 | 0.0 | |||||||||||||
Long Short | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||
Long Short Credit | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||||||
Multi-Asset Income | 4.2 | 0.8 | 0.0 | 0.0 |
For the fiscal year ended October 31, 2015, each Fund makes the following designation, or up to the maximum amount of such dividends allowable pursuant to the Internal Revenue Code, as qualified dividend income eligible for reduced tax rates. These lower rates range from 5% to 15% depending upon an individual's tax bracket. Complete information regarding each Funds distributions during the calendar year 2015 will be reported in conjunction with Form 1099-DIV.
Fund | Qualified Dividend Income | ||||
Flexible Select | $ | 1,602,402 | |||
Global Allocation | 352,724 | ||||
Inflation Managed | 281,846 | ||||
Long Short | 35,950,075 | ||||
Long Short Credit | 4,050 | ||||
Multi-Asset Income | 330,669 |
Neuberger Berman Global Allocation Fund and Neuberger Berman Long Short Fund hereby designate $113,576 and $12,784,739, respectively, as a capital gain distribution. Neuberger Berman Global Allocation Fund designates $10 as a 1250 gain distributio
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.
L0265 12/15
Neuberger Berman
Alternative and Multi-Asset Class Funds
Institutional Class Shares
Class A Shares
Class C Shares
Global Long Short Fund
Annual Report
October 31, 2015
Contents
PRESIDENT'S LETTER | 1 | ||||
PORTFOLIO COMMENTARY | 2 | ||||
FUND EXPENSE INFORMATION | 7 | ||||
SCHEDULE OF INVESTMENTS | 9 | ||||
POSITIONS BY INDUSTRY | 12 | ||||
FINANCIAL STATEMENTS | 18 | ||||
FINANCIAL HIGHLIGHTS (ALL CLASSES)/ PER SHARE DATA | 37 | ||||
Report of Independent Registered Public Accounting Firm | 40 | ||||
Directory | 41 | ||||
Trustees and Officers | 42 | ||||
Proxy Voting Policies and Procedures | 51 | ||||
Quarterly Portfolio Schedule | 51 | ||||
Board Consideration of the Management and Sub-Advisory Agreements | 51 | ||||
Notice to Shareholders | 53 |
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 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 audited 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 what we judge to be 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.
The period spanning November 2014 through October 2015 can be categorized by significant volatility in equity markets due to ongoing uncertainty relating to central bank monetary policy and economic/corporate-related fundamentals, particularly in the U.S., Europe, China and Japan. Investor expectations regarding those same policies and fundamentals continued shifting, compounding market volatility. Equity markets were also categorized periodically by crowded positioning and then rapid position unwinding, which further contributed to volatility.
Nonetheless, since the Fund's inception, the investment team has maintained a relatively constructive view of global equity markets, with a great deal of interest in capturing fundamental and policy related-opportunities, particularly in Europe and Japan.
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
Global Long Short Fund Commentary (Unaudited)
We are pleased to provide the first annual report for Neuberger Berman Global Long Short Fund. During the period since the Fund's inception on November 12, 2014 through October 31, 2015, its Institutional Class produced a -0.90% total return but underperformed the -0.59% return of its primary benchmark, the HFRX Equity Hedge Index. (Performance for all share classes is provided in the table immediately following this letter.)
In our view, among the most notable developments during the period were the European Central Bank's launch of its long-awaited quantitative easing program in March 2015, followed by a continuation of monetary easing and reform initiatives in Asia, in particular China and Japan. In Europe, the summer was marked by concerns regarding Greece's ability to remain within the eurozone. The period leading up to a positive resolution of that situation was marked by brutal shifts in outcome expectations, which had a significant impact on the direction of equity markets globally.
In the U.S., the economy remained on a steady path even though economic data was mixed, in particular regarding labor, inflation and GDP growth. At the same time, the U.S. was undergoing its own policy transition, having recently exited a quantitative easing program and entering into a period of uncertainty regarding the path of future U.S. Federal Reserve (Fed) interest rate increases. Despite the delays in U.S. rate hikes, we saw the dollar gain strength while the euro weakened. Another notable global trend has been weakness across a number of commodities, especially energy and base metals, where supply, demand and inventory have yet to find equilibrium. Frequent adjustments to investor expectations relating to the direction of foreign exchange rates, commodity prices, global and regional growth, corporate profits and, importantly, market valuations made for uncertain markets conditions.
In the period preceding the Fed's rebasing of rate expectations, we increased our long exposure to Europe, prompted by positive economic momentum and supportive monetary policies. We invested in European businesses we believe have growth potential and that could be reflation beneficiaries, in addition to investing in Japanese businesses that appear to us to be benefiting from increased tourism, primarily from China. We shorted stocks we believed were 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 cater to the aging demographic, particularly businesses that improve the efficiency of the delivery of health care products and services. We have sought exposure to companies that we think can benefit from resilient consumer trends as well as more defensive revenue streams in areas such as defense and health care, and companies that we believe can benefit from the potential liftoff of U.S. interest rates. 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.
The Fund's aggregate use of futures, forwards, options and swaps had an overall negative impact on the Fund's performance.
We have a generally constructive outlook on global equity markets, but recognize that equity valuations around the globe have risen and that we are in the midst of one of the longest U.S. bull markets in history. We believe that while we anticipate continued accommodative monetary policies around the world, save for the U.S., uncertainty regarding economic and corporate fundamentals could continue to foster volatility and market rotations. Finally, one cannot lose sight of potential risks that could result from geopolitical events. Still, we believe there is a supportive 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 are confident we can identify attractive investment themes globally, both long and short, while also seeking to minimize downside risk and striving to deliver uncorrelated returns.
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 without notice.
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.
Global Long Short Fund (Unaudited)
TICKER SYMBOLS
Institutional Class | NGBIX | ||||||
Class A | NGBAX | ||||||
Class C | NGBCX |
PERFORMANCE HIGHLIGHTS
Inception Date | Cumulative Total Return Ended 10/31/2015 Life of Fund | ||||||||||
At NAV | |||||||||||
Institutional Class | 11/12/2014 | -0.90 | % | ||||||||
Class A | 11/12/2014 | -1.20 | % | ||||||||
Class C | 11/12/2014 | -2.00 | % | ||||||||
With Sales Charge | |||||||||||
Class A | -6.88 | % | |||||||||
Class C | -2.98 | % | |||||||||
Index | |||||||||||
HFRX Equity Hedge Index1,2 | -0.59 | % | |||||||||
MSCI All Country World Index1,2 | 0.20 | % |
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 October 31, 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.
Global Long Short Fund (Unaudited)
COMPARISON OF A $1,000,000 INVESTMENT
(000's omitted)
This graph shows the change in value of a hypothetical $1,000,000 investment in the Fund over the past 10 fiscal years, or since the Fund's inception if it has not operated for 10 years. The graph is based on the Institutional Class shares only; the performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses (see Performance Highlights chart on previous page). The result is compared with benchmarks, which include a broad-based market index and may include a more narrowly based index. Market indices have not been reduced to reflect any of the fees and costs of investing. The results shown in the graph 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. Results represent past performance and do not indicate future results.
Endnotes
1 Please see "Glossary of Indices" on page 6 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 for the Fund.
* On or about January 1, 2016, it is anticipated that Neuberger Berman Management LLC (NBM) and Neuberger Berman LLC (NB LLC) will transfer to Neuberger Berman Fixed Income LLC (NBFI) their rights and obligations pertaining to all services they provide to any Fund under any investment management, investment sub-advisory, and/or administration agreement, as applicable (the "Agreements"). Following such transfer, NBFI will be renamed Neuberger Berman Investment Advisers LLC (NBIA). In addition, on the date of the transfer, the services previously provided by NB Alternative Investment Management LLC (NBAIM) will be provided by NBIA.
NBM currently serves as the Fund's investment manager and administrator and each of NB LLC, NBFI and NBAIM currently serve as certain Funds' adviser or sub-adviser. Following the consolidation, the investment professionals of NBM, NB LLC, NBFI and NBAIM who currently provide services to the Fund under the Agreements will continue to provide the same services, except that they will provide those services in their new capacities as investment professionals of NBIA. Further, the consolidation will not result in any change in the investment processes currently employed by the Fund, the nature or level of services provided to the Fund, or the fees the Fund pays under its Agreements.
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.
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. |
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 October 31, 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.
Expense Information as of 10/31/15 (Unaudited)
ACTUAL | HYPOTHETICAL (5% ANNUAL RETURN BEFORE EXPENSES)(2) | ||||||||||||||||||||||||||||||||||
Beginning Account Value 5/1/15 | Ending Account Value 10/31/15 | Expenses Paid During the Period(1) 5/1/15 - 10/31/15 | Expense Ratio | Beginning Account Value 5/1/15 | Ending Account Value 10/31/15 | Expenses Paid During the Period(1) 5/1/15 - 10/31/15 | Expense Ratio | ||||||||||||||||||||||||||||
Global Long Short | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 964.00 | $ | 13.61 | 2.75 | % | $ | 1,000.00 | $ | 1,011.34 | $ | 13.94 | 2.75 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 963.00 | $ | 15.39 | 3.11 | % | $ | 1,000.00 | $ | 1,009.53 | $ | 15.75 | 3.11 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 958.90 | $ | 19.16 | 3.88 | % | $ | 1,000.00 | $ | 1,005.65 | $ | 19.61 | 3.88 | % |
(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 184/365 (to reflect the one-half year period shown), unless otherwise indicated.
(2) Hypothetical expenses are equal to the annualized expense ratios for each class, multiplied by the average account value over the period (assuming a 5% annual return), multiplied by 184/365 (to reflect the one-half year period shown).
Schedule of Investments Neuberger Berman Global Long Short Fund 10/31/15
Number of Shares | Value† | ||||||||||
Long Positions (108.6%) | |||||||||||
Common Stocks (73.9%) | |||||||||||
Belgium (3.2%) | |||||||||||
Ackermans & van Haaren NV | 1,076 | $ | 163,876 | Ø | |||||||
Anheuser-Busch InBev SA | 1,450 | 173,321 | Ø | ||||||||
Ion Beam Applications | 10,741 | 383,278 | Ø | ||||||||
720,475 | |||||||||||
France (9.9%) | |||||||||||
Ingenico Group SA | 2,859 | 337,655 | Ø | ||||||||
Klepierre | 5,958 | 282,870 | Ø | ||||||||
Legrand SA | 2,424 | 133,118 | Ø | ||||||||
Orpea | 4,752 | 381,464 | Ø | ||||||||
SCOR SE | 4,012 | 149,428 | Ø | ||||||||
Thales SA | 8,930 | 647,424 | Ø | ||||||||
Unibail- Rodamco SE | 999 | 279,142 | Ø | ||||||||
2,211,101 | |||||||||||
Germany (10.1%) | |||||||||||
Bayer AG | 634 | 84,602 | Ø | ||||||||
Daimler AG | 3,202 | 278,060 | Ø | ||||||||
Deutsche Wohnen AG | 18,494 | 521,744 | Ø | ||||||||
Fresenius SE & Co. KGaA | 3,136 | 230,188 | Ø | ||||||||
KUKA AG | 2,298 | 194,301 | Ø | ||||||||
ProSiebenSat.1 Media SE | 8,178 | 442,362 | Ø | ||||||||
Vonovia SE | 15,046 | 501,985 | Ø | ||||||||
2,253,242 | |||||||||||
Israel (0.3%) | |||||||||||
Teva Pharmaceutical Industries Ltd. ADR | 994 | 58,835 | Ø | ||||||||
Italy (2.7%) | |||||||||||
Brembo SpA | 2,235 | 98,530 | Ø | ||||||||
Buzzi Unicem SpA | 4,291 | 72,619 | Ø | ||||||||
Ferrari NV | 3,027 | 152,651 | *Ø | ||||||||
Intesa Sanpaolo SpA | 44,432 | 154,787 | Ø | ||||||||
Mediobanca SpA | 12,438 | 125,149 | Ø | ||||||||
603,736 | |||||||||||
Japan (12.2%) | |||||||||||
Chiyoda Corp. | 28,700 | 218,289 | Ø | ||||||||
Daicel Corp. | 12,201 | 161,229 | Ø | ||||||||
Don Quijote Holdings Co. Ltd. | 1,058 | 38,865 | Ø | ||||||||
East Japan Railway Co. | 1,100 | 104,583 | Ø |
Number of Shares | Value† | ||||||||||
Fuji Heavy Industries Ltd. | 7,048 | $ | 272,572 | Ø | |||||||
Japan Airlines Co. Ltd. | 4,400 | 165,762 | Ø | ||||||||
JTEKT Corp. | 13,000 | 224,079 | Ø | ||||||||
Kirin Holdings Co. Ltd. | 5,793 | 82,048 | Ø | ||||||||
Komehyo Co. Ltd. | 3,000 | 58,356 | Ø | ||||||||
Nomura Holdings, Inc. | 9,096 | 57,217 | Ø | ||||||||
Nomura Research Institute Ltd. | 4,070 | 166,343 | Ø | ||||||||
NTT Data Corp. | 1,012 | 50,362 | Ø | ||||||||
NTT DOCOMO, Inc. | 4,527 | 88,165 | Ø | ||||||||
Seibu Holdings, Inc. | 5,800 | 117,385 | Ø | ||||||||
SMC Corp. | 400 | 102,897 | Ø | ||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 32,000 | 122,834 | Ø | ||||||||
Taisei Corp. | 14,184 | 92,175 | Ø | ||||||||
The Hiroshima Bank Ltd. | 15,000 | 83,303 | Ø | ||||||||
Toyota Motor Corp. | 4,470 | 273,852 | Ø | ||||||||
West Japan Railway Co. | 1,700 | 119,437 | Ø | ||||||||
Yaskawa Electric Corp. | 9,300 | 110,316 | Ø | ||||||||
2,710,069 | |||||||||||
Netherlands (0.9%) | |||||||||||
ASML Holding NV | 442 | 41,124 | Ø | ||||||||
NXP Semiconductors NV | 2,119 | 166,024 | *Ø | ||||||||
Royal Dutch Shell PLC Class A ADR | 44 | 2,308 | Ø | ||||||||
209,456 | |||||||||||
South Africa (0.4%) | |||||||||||
Brait SE | 8,123 | 93,222 | *Ø | ||||||||
Sweden (1.0%) | |||||||||||
Assa Abloy AB Class B | 6,236 | 124,084 | Ø | ||||||||
Autoliv, Inc. SDR | 915 | 109,776 | Ø | ||||||||
233,860 | |||||||||||
Switzerland (1.6%) | |||||||||||
Cie Financiere Richemont SA | 2,614 | 224,257 | Ø | ||||||||
Novartis AG | 809 | 73,538 | Ø | ||||||||
UBS Group AG | 3,476 | 69,559 | Ø | ||||||||
367,354 |
Number of Shares | Value† | ||||||||||
Taiwan (1.0%) | |||||||||||
Hermes Microvision, Inc. | 3,225 | $ | 123,629 | Ø | |||||||
Largan Precision Co. Ltd. | 1,077 | 83,692 | Ø | ||||||||
207,321 | |||||||||||
United Kingdom (0.2%) | |||||||||||
Dialog Semiconductor PLC | 963 | 35,634 | *Ø | ||||||||
United States (30.4%) | |||||||||||
Accenture PLC Class A | 1,807 | 193,710 | Ø | ||||||||
Allegion PLC | 1,985 | 129,363 | Ø | ||||||||
Amazon.com, Inc. | 187 | 117,043 | *Ø | ||||||||
Apple, Inc. | 4,332 | 517,674 | £b | ||||||||
Bank of America Corp. | 16,139 | 270,812 | £b | ||||||||
Booz Allen Hamilton Holding Corp. | 11,465 | 337,759 | Ø | ||||||||
Bristol-Myers Squibb Co. | 1,420 | 93,649 | Ø | ||||||||
Citigroup, Inc. | 3,035 | 161,371 | Ø | ||||||||
CVS Health Corp. | 1,319 | 130,291 | £b | ||||||||
Delta Air Lines, Inc. | 1,702 | 86,530 | @b | ||||||||
Eli Lilly & Co. | 1,577 | 128,636 | Ø | ||||||||
Facebook, Inc. Class A | 1,323 | 134,906 | *£b | ||||||||
Fiserv, Inc. | 2,935 | 283,257 | *Ø | ||||||||
JPMorgan Chase & Co. | 2,013 | 129,335 | £b | ||||||||
Lockheed Martin Corp. | 1,465 | 322,051 | £b | ||||||||
NIKE, Inc. Class B | 3,018 | 395,449 | @b | ||||||||
Northrop Grumman Corp. | 669 | 125,605 | £b | ||||||||
Raytheon Co. | 2,795 | 328,133 | Ø | ||||||||
Reinsurance Group of America, Inc. | 1,426 | 128,682 | Ø | ||||||||
salesforce.com, Inc. | 2,355 | 183,007 | *Ø | ||||||||
SBA Communications Corp. Class A | 667 | 79,386 | *Ø | ||||||||
Service Corp. International | 9,690 | 273,839 | Ø | ||||||||
The Charles Schwab Corp. | 8,985 | 274,222 | Ø | ||||||||
The Goldman Sachs Group, Inc. | 545 | 102,187 | Ø | ||||||||
The Home Depot, Inc. | 1,560 | 192,878 | @b | ||||||||
The Sherwin- Williams Co. | 224 | 59,770 | Ø | ||||||||
The Walt Disney Co. | 3,540 | 402,640 | £b |
See Notes to Schedule of Investments
Schedule of Investments Neuberger Berman Global Long Short Fund (cont'd)
Number of Shares | Value† | ||||||||||
Time Warner, Inc. | 1,733 | $ | 130,564 | £b | |||||||
T-Mobile US, Inc. | 11,203 | 424,482 | *Ø | ||||||||
United Continental Holdings, Inc. | 1,365 | 82,323 | *Ø | ||||||||
UnitedHealth Group, Inc. | 596 | 70,197 | Ø | ||||||||
Valero Energy Corp. | 2,266 | 149,375 | Ø | ||||||||
Visa, Inc. Class A | 1,456 | 112,956 | Ø | ||||||||
Wabtec Corp. | 1,276 | 105,742 | £b | ||||||||
Wells Fargo & Co. | 1,704 | 92,255 | Ø | ||||||||
6,750,079 | |||||||||||
Total Common Stocks (Cost $16,101,100) | 16,454,384 | ||||||||||
Exchange Traded Funds (3.0%) | |||||||||||
SPDR S&P Regional Banking ETF (Cost $676,114) | 15,512 | 664,379 | Ø | ||||||||
Participatory Notes (0.4%) | |||||||||||
India (0.4%) | |||||||||||
Glenmark Pharmaceuticals Ltd. (issuer J.P. Morgan Structured Products), Expiration Date 9/23/2016 (Cost $74,658) | 6,000 | 90,943 | *ñ | ||||||||
Number of Contracts | |||||||||||
Purchased Options (0.2%) | |||||||||||
Call Options (0.1%) | |||||||||||
Apple, Inc., Apr 2016 @ 125 | 17 | 9,690 | |||||||||
Apple, Inc., Apr 2016 @ 130 | 16 | 6,432 | |||||||||
Apple, Inc., Apr 2016 @ 135 | 15 | 4,155 | |||||||||
20,277 | |||||||||||
Put Options (0.1%) | |||||||||||
S&P 500 Index, Nov 2015 @ 2025 | 10 | 13,900 | |||||||||
Total Purchased Options (Cost $46,987) | 34,177 |
Number of Shares | Value† | ||||||||||
Short-Term Investment (31.1%) | |||||||||||
Morgan Stanley Institutional Liquidity Fund Treasury Portfolio Institutional Class, 0.01% (Cost $6,930,433) | 6,930,433 | $ | 6,930,433 | ز | |||||||
Total Long Positions (108.6%) (Cost $23,829,292) | 24,174,316 | ## | |||||||||
Cash, receivables and other assets, less liabilities (33.9%) | 7,553,725 | ±†††Ø | |||||||||
Short Positions (see summary below) ((42.5)%) | (9,468,225 | ) | |||||||||
Total Net Assets (100.0%) | $ | 22,259,816 | |||||||||
Short Positions ((42.5)%)£ØØ | |||||||||||
Common Stocks Sold Short (42.5%) | |||||||||||
Brazil (2.1%) | |||||||||||
Banco Bradesco SA ADR | (28,472 | ) | (154,888 | ) | |||||||
Itau Unibanco Holding SA ADR | (24,324 | ) | (166,619 | ) | |||||||
Petroleo Brasileiro SA ADR | (33,187 | ) | (161,953 | )* | |||||||
(483,460 | ) | ||||||||||
Canada (0.1%) | |||||||||||
Finning International, Inc. | (1,415 | ) | (22,616 | ) | |||||||
Denmark (0.7%) | |||||||||||
Carlsberg A/S Class B | (2,064 | ) | (169,202 | ) | |||||||
Finland (1.6%) | |||||||||||
Metso OYJ | (11,798 | ) | (288,924 | ) | |||||||
Wartsila OYJ Abp | (1,413 | ) | (60,381 | ) | |||||||
(349,305 | ) | ||||||||||
France (1.0%) | |||||||||||
Remy Cointreau SA | (1,477 | ) | (102,957 | ) | |||||||
Vallourec SA | (10,122 | ) | (112,420 | ) | |||||||
(215,377 | ) | ||||||||||
Germany (4.5%) | |||||||||||
BASF SE | (2,079 | ) | (170,388 | ) | |||||||
Bertrandt AG | (1,800 | ) | (211,199 | ) | |||||||
ElringKlinger AG | (1,943 | ) | (43,512 | ) |
Number of Shares | Value† | ||||||||||
Infineon Technologies AG | (17,695 | ) | $ | (217,836 | ) | ||||||
Volkswagen AG, Preference Shares | (2,772 | ) | (333,171 | ) | |||||||
(976,106 | ) | ||||||||||
Italy (1.0%) | |||||||||||
Salvatore Ferragamo SpA | (8,523 | ) | (231,496 | ) | |||||||
Japan (1.4%) | |||||||||||
Hitachi Construction Machinery Co. Ltd. | (10,300 | ) | (159,514 | ) | |||||||
Komatsu Ltd. | (9,800 | ) | (161,087 | ) | |||||||
(320,601 | ) | ||||||||||
Luxembourg (1.0%) | |||||||||||
ArcelorMittal | (38,801 | ) | (216,806 | ) | |||||||
Spain (1.0%) | |||||||||||
Repsol SA | (17,254 | ) | (217,719 | ) | |||||||
Sweden (5.2%) | |||||||||||
Alfa Laval AB | (16,423 | ) | (288,917 | ) | |||||||
Atlas Copco AB Class A | (11,221 | ) | (292,886 | ) | |||||||
Sandvik AB | (30,867 | ) | (288,671 | ) | |||||||
SKF AB Class B | (15,906 | ) | (280,008 | ) | |||||||
(1,150,482 | ) | ||||||||||
Switzerland (3.2%) | |||||||||||
ABB Ltd. | (15,186 | ) | (286,682 | )* | |||||||
STMicroelectronics NV | (30,789 | ) | (213,198 | ) | |||||||
The Swatch Group AG | (562 | ) | (219,979 | ) | |||||||
(719,859 | ) | ||||||||||
United States (19.7%) | |||||||||||
Bed Bath & Beyond, Inc. | (1,720 | ) | (102,564 | )* | |||||||
CBS Corp. Class B | (2,709 | ) | (126,023 | ) | |||||||
Chicago Bridge & Iron Co. NV | (2,788 | ) | (125,098 | ) | |||||||
Cummins, Inc. | (1,552 | ) | (160,647 | ) | |||||||
Dover Corp. | (2,851 | ) | (183,690 | ) | |||||||
Emerson Electric Co. | (3,691 | ) | (174,326 | ) | |||||||
Fastenal Co. | (4,486 | ) | (175,672 | ) | |||||||
Flowserve Corp. | (3,976 | ) | (184,327 | ) | |||||||
Fluor Corp. | (3,767 | ) | (180,100 | ) | |||||||
Freeport- McMoRan, Inc. | (3,414 | ) | (40,183 | ) | |||||||
IDEX Corp. | (2,261 | ) | (173,554 | ) | |||||||
International Business Machines Corp. | (815 | ) | (114,165 | ) |
See Notes to Schedule of Investments
Schedule of Investments Neuberger Berman Global Long Short Fund (cont'd)
Number of Shares | Value† | ||||||||||
Jacobs Engineering Group, Inc. | (2,884 | ) | $ | (115,764 | )* | ||||||
KBR, Inc. | (6,176 | ) | (113,885 | ) | |||||||
Kennametal, Inc. | (6,407 | ) | (180,165 | ) | |||||||
MSC Industrial Direct Co., Inc. Class A | (2,774 | ) | (174,124 | ) | |||||||
Norfolk Southern Corp. | (661 | ) | (52,900 | ) | |||||||
Owens-Illinois, Inc. | (2,827 | ) | (60,922 | )* | |||||||
Parker-Hannifin Corp. | (1,667 | ) | (174,535 | ) | |||||||
Pier 1 Imports, Inc. | (17,969 | ) | (133,330 | ) | |||||||
Praxair, Inc. | (1,121 | ) | (124,532 | ) | |||||||
Ralph Lauren Corp. | (1,955 | ) | (216,555 | ) | |||||||
Rockwell Automation, Inc. | (1,599 | ) | (174,547 | ) | |||||||
SPX FLOW, Inc. | (4,539 | ) | (153,872 | )* | |||||||
The Gap, Inc. | (6,282 | ) | (170,996 | ) | |||||||
Urban Outfitters, Inc. | (2,907 | ) | (83,140 | )* | |||||||
Valmont Industries, Inc. | (1,611 | ) | (174,697 | ) | |||||||
Verifone Systems, Inc. | (4,532 | ) | (136,595 | )* | |||||||
Viacom, Inc. Class B | (1,560 | ) | (76,923 | ) | |||||||
WESCO International, Inc. | (3,500 | ) | (171,255 | )* | |||||||
WW Grainger, Inc. | (791 | ) | (166,110 | ) | |||||||
(4,395,196 | ) | ||||||||||
Total Common Stocks Sold Short (Proceeds $(9,461,340)) | (9,468,225 | ) | |||||||||
Total Short Positions (Proceeds $(9,461,340)) | (9,468,225 | ) |
See Notes to Schedule of Investments
LONG POSITIONS BY INDUSTRY GLOBAL LONG SHORT FUND
Industry | Investments at Value† | Percentage of Net Assets | ||||||||
Aerospace & Defense | $ | 1,423,213 | 6.4 | % | ||||||
IT Services | 1,144,387 | 5.1 | % | |||||||
Real Estate Management & Development | 1,023,729 | 4.6 | % | |||||||
Banks | 1,014,697 | 4.6 | % | |||||||
Automobiles | 977,135 | 4.4 | % | |||||||
Media | 975,566 | 4.4 | % | |||||||
Capital Markets | 721,556 | 3.2 | % | |||||||
Health Care Providers & Services | 681,849 | 3.1 | % | |||||||
Exchange Traded Fund | 664,379 | 3.0 | % | |||||||
Machinery | 627,019 | 2.8 | % | |||||||
Textiles, Apparel & Luxury Goods | 619,706 | 2.8 | % | |||||||
Wireless Telecommunication Services | 592,033 | 2.7 | % | |||||||
Real Estate Investment Trusts | 562,012 | 2.5 | % | |||||||
Electronic Equipment, Instruments & Components | 531,663 | 2.4 | % | |||||||
Technology Hardware, Storage & Peripherals | 517,674 | 2.3 | % | |||||||
Pharmaceuticals | 439,260 | 2.0 | % | |||||||
Health Care Equipment & Supplies | 383,278 | 1.7 | % | |||||||
Semiconductors & Semiconductor Equipment | 366,411 | 1.7 | % | |||||||
Airlines | 334,615 | 1.5 | % | |||||||
Construction & Engineering | 310,464 | 1.4 | % | |||||||
Insurance | 278,110 | 1.3 | % | |||||||
Diversified Consumer Services | 273,839 | 1.2 | % | |||||||
Beverages | 255,369 | 1.2 | % | |||||||
Building Products | 253,447 | 1.1 | % | |||||||
Specialty Retail | 251,234 | 1.1 | % | |||||||
Road & Rail | 224,020 | 1.0 | % | |||||||
Chemicals | 220,999 | 1.0 | % | |||||||
Auto Components | 208,306 | 0.9 | % | |||||||
Software | 183,007 | 0.8 | % | |||||||
Diversified Financial Services | 163,876 | 0.7 | % | |||||||
Oil, Gas & Consumable Fuels | 151,683 | 0.7 | % | |||||||
Internet Software & Services | 134,906 | 0.6 | % | |||||||
Electrical Equipment | 133,118 | 0.6 | % | |||||||
Food & Staples Retailing | 130,291 | 0.6 | % | |||||||
Industrial Conglomerates | 117,385 | 0.5 | % | |||||||
Internet & Catalog Retail | 117,043 | 0.5 | % | |||||||
Construction Materials | 72,619 | 0.3 | % | |||||||
Multiline Retail | 38,865 | 0.2 | % | |||||||
Short-Term Investments and Other Assets—Net | 14,609,278 | 65.6 | % | |||||||
Short Positions (see summary on next page) | (9,468,225 | ) | (42.5 | )% | ||||||
$ | 22,259,816 | 100.0 | % |
See Notes to Schedule of Investments
SHORT POSITIONS BY INDUSTRY GLOBAL LONG SHORT FUND
Industry | Investments at Value† | Percentage of Net Assets | ||||||||
Machinery | $ | (3,318,295 | ) | (14.9 | )% | |||||
Trading Companies & Distributors | (709,777 | ) | (3.2 | )% | ||||||
Textiles, Apparel & Luxury Goods | (668,030 | ) | (3.0 | )% | ||||||
Electrical Equipment | (635,555 | ) | (2.9 | )% | ||||||
Construction & Engineering | (534,847 | ) | (2.4 | )% | ||||||
Specialty Retail | (490,030 | ) | (2.2 | )% | ||||||
Semiconductors & Semiconductor Equipment | (431,034 | ) | (1.9 | )% | ||||||
Oil, Gas & Consumable Fuels | (379,672 | ) | (1.7 | )% | ||||||
Automobiles | (333,171 | ) | (1.5 | )% | ||||||
Banks | (321,507 | ) | (1.4 | )% | ||||||
Chemicals | (294,920 | ) | (1.3 | )% | ||||||
Beverages | (272,159 | ) | (1.2 | )% | ||||||
Metals & Mining | (256,989 | ) | (1.2 | )% | ||||||
IT Services | (250,760 | ) | (1.1 | )% | ||||||
Professional Services | (211,199 | ) | (1.0 | )% | ||||||
Media | (202,946 | ) | (0.9 | )% | ||||||
Containers & Packaging | (60,922 | ) | (0.3 | )% | ||||||
Road & Rail | (52,900 | ) | (0.2 | )% | ||||||
Auto Components | (43,512 | ) | (0.2 | )% | ||||||
Total Common Stock Sold Short | $ | (9,468,225 | ) | (42.5 | )% |
See Notes to Schedule of Investments
Notes to Schedule of Investments Global Long Short Fund
† In accordance with Accounting Standards Codification ("ASC") 820 "Fair Value Measurement" ("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, exchange traded funds, exchange traded 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 services 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 independent pricing services based on actual traded currency rates on independent pricing services' networks, along with other traded and quoted currency rates provided to the pricing services by leading market participants (Level 2 inputs).
The value of equity swap contracts ("equity swaps") is determined by Management by obtaining valuations from independent pricing services 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 independent pricing services based on the underlying equity security and applicable exchange rate (Level 1 inputs).
Investments in non-exchange traded investment companies are valued using the respective fund's daily calculated net asset value per share (Level 2 inputs).
See Notes to Financial Statements
Notes to Schedule of Investments Global Long Short Fund (cont'd)
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
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
Notes to Schedule of Investments Global Long Short Fund (cont'd)
The following is a summary, categorized by Level, of inputs used to value the Fund's investments as of October 31, 2015:
Asset Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks^ | |||||||||||||||||||
Japan | $ | — | $ | 2,710,069 | $ | — | $ | 2,710,069 | |||||||||||
Taiwan | — | 207,321 | — | 207,321 | |||||||||||||||
Other Common Stocksß | 13,536,994 | — | — | 13,536,994 | |||||||||||||||
Total Common Stocks | 13,536,994 | 2,917,390 | — | 16,454,384 | |||||||||||||||
Exchange Traded Funds | 664,379 | — | — | 664,379 | |||||||||||||||
Participatory Notes^ | 90,943 | — | — | 90,943 | |||||||||||||||
Purchased Options | 34,177 | — | — | 34,177 | |||||||||||||||
Short-Term Investments | — | 6,930,433 | — | 6,930,433 | |||||||||||||||
Total Long Positions | $ | 14,326,493 | $ | 9,847,823 | $ | — | $ | 24,174,316 |
^ The Schedule of Investments (or Long Positions by Industry and Short Positions by Industry) provides information on the industry categorization for the portfolio.
ß All Level 1 securities that represent multiple geographic locations and/or industries. 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 October 31, 2015:
Asset Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Forward contracts (unrealized appreciation) | $ | — | $ | 78,908 | $ | — | $ | 78,908 | |||||||||||
Swap contracts (unrealized appreciation) | — | 234,769 | — | 234,769 | |||||||||||||||
Financial futures (unrealized appreciation) | 11,573 | — | — | 11,573 | |||||||||||||||
Total | $ | 11,573 | $ | 313,677 | $ | — | $ | 325,250 |
The following is a summary, categorized by Level, of inputs used to value the Fund's investments as of October 31, 2015:
Liability Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Investments: | |||||||||||||||||||
Common Stocks Sold Short^ | |||||||||||||||||||
Japan | $ | — | $ | (320,601 | ) | $ | — | $ | (320,601 | ) | |||||||||
Other Common Stocks Sold Shortß | (9,147,624 | ) | — | — | (9,147,624 | ) | |||||||||||||
Total Common Stocks Sold Short | (9,147,624 | ) | (320,601 | ) | — | (9,468,225 | ) | ||||||||||||
Total Short Positions | $ | (9,147,624 | ) | $ | (320,601 | ) | $ | — | $ | (9,468,225 | ) |
^ The Schedule of Investments (or Long Positions by Industry and Short Positions by Industry) provides information on the industry categorization for the portfolio.
ß All Level 1 securities that represent multiple geographic locations and/or industries. Please refer to the Schedule of Investments for additional information.
See Notes to Financial Statements
Notes to Schedule of Investments Global Long Short Fund (cont'd)
The following is a summary, categorized by Level, of inputs used to value the Fund's derivatives as of October 31, 2015:
Liability Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Forward contracts (unrealized depreciation) | $ | — | $ | (5,723 | ) | $ | — | $ | (5,723 | ) | |||||||||
Swap contracts (unrealized depreciation) | — | (105,104 | ) | — | (105,104 | ) | |||||||||||||
Options written | (3,600 | ) | — | — | (3,600 | ) | |||||||||||||
Total | $ | (3,600 | ) | $ | (110,827 | ) | $ | — | $ | (114,427 | ) |
As of the period ended October 31, 2015, the Fund had no transfers between Levels 1, 2 or 3.
## At October 31, 2015, the cost of investments for U.S. federal income tax basis was $23,958,065. Gross unrealized appreciation of investments was $679,939 and gross unrealized depreciation of investments was $463,688, resulting in net unrealized appreciation of $216,251 based on cost for U.S. federal income tax purposes.
* Security did not produce income during the last twelve months.
± At October 31, 2015, the Fund had an outstanding put option written as follows:
Name of Issuer | Contracts | Exercise Price | Expiration Date | Market Value of Options | ||||||||||
S&P 500 Index, Put | 10 | $ | 1,900 | November 2015 | $ | (3,600 | ) |
£ At October 31, 2015, the Fund had pledged securities in the amount of $1,792,174 to cover collateral requirements for borrowing in connection with securities sold short and option contracts written.
@ At October 31, 2015, the Fund had pledged securities in the amount of $517,621 to cover collateral requirements for borrowing in connection with financial futures.
b All or a portion of this security has been pledged as collateral.
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 October 31, 2015, these securities amounted to $90,943 of long positions or 0.4% of net assets for the Fund.
Ø All or a portion of this security and/or cash is segregated in connection with obligations for securities sold short and/or put options written and/or forward contracts and/or swap contracts and/or financial futures.
ØØ At October 31, 2015, the Fund had deposited $9,025,484 in one or more accounts to satisfy collateral requirements for borrowing in connection with securities sold short.
² The rate shown is the annualized seven day yield as of October 31, 2015.
††† See Note A-13 in the Notes to Financial Statements for the Fund's open positions in derivatives at October 31, 2015.
See Notes to Financial Statements
Statement of Assets and Liabilities
Neuberger Berman Alternative Funds
GLOBAL LONG SHORT FUND | |||||
October 31, 2015 | |||||
Assets | |||||
Investments in securities, at value* (Note A)—see Schedule of Investments: | |||||
Unaffiliated issuers | $ | 24,174,316 | |||
Cash | 8,969 | ||||
Cash collateral segregated for short sales (Note A) | 9,025,484 | ||||
Dividends and interest receivable | 27,129 | ||||
Foreign tax reclaims | 11,820 | ||||
Receivable for securities sold | 487,275 | ||||
Receivable for Fund shares sold | 2,000 | ||||
Receivable from administrator—net (Note B) | 55,390 | ||||
Swap contracts, at value (Note A) | 234,769 | ||||
Receivable for variation margin (Note A) | 5,834 | ||||
Receivable for forward foreign currency contracts (Note A) | 78,908 | ||||
Prepaid expenses and other assets | 28,539 | ||||
Total Assets | 34,140,433 | ||||
Liabilities | |||||
Investments sold short, at value** (Note A) | 9,468,225 | ||||
Option contracts written, at value*** (Note A) | 3,600 | ||||
Due to Custodian | 538 | ||||
Dividends and interest payable for short sales | 15,957 | ||||
Swap contracts, at value (Note A) | 105,104 | ||||
Payable to investment manager (Note B) | 23,790 | ||||
Payable for securities purchased | 2,167,810 | ||||
Payable for forward foreign currency contracts (Note A) | 5,723 | ||||
Accrued expenses and other payables | 89,870 | ||||
Total Liabilities | 11,880,617 | ||||
Net Assets | $ | 22,259,816 | |||
Net Assets consist of: | |||||
Paid-in capital | $ | 22,704,468 | |||
Undistributed net investment income (loss) | (223,119 | ) | |||
Accumulated net realized gains (losses) on investments | (774,403 | ) | |||
Net unrealized appreciation (depreciation) in value of investments | 552,870 | ||||
Net Assets | $ | 22,259,816 |
See Notes to Financial Statements
Statement of Assets and Liabilities (cont'd)
Neuberger Berman Alternative Funds (cont'd)
GLOBAL LONG SHORT FUND | |||||||
October 31, 2015 | |||||||
Net Assets | |||||||
Institutional Class | $ | 20,945,060 | |||||
Class A | 652,769 | ||||||
Class C | 661,987 | ||||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | |||||||
Institutional Class | 2,113,292 | ||||||
Class A | 66,092 | ||||||
Class C | 67,519 | ||||||
Net Asset Value, offering and redemption price per share | |||||||
Institutional Class | $ | 9.91 | |||||
Net Asset Value and redemption price per share | |||||||
Class A | $ | 9.88 | |||||
Offering Price per share | |||||||
Class A‡ | $ | 10.48 | |||||
Net Asset Value and offering price per share | |||||||
Class C^ | $ | 9.80 | |||||
*Cost of Investments: | |||||||
Unaffiliated issuers | $ | 23,829,292 | |||||
Total cost of foreign currency | $ | (1,195 | ) | ||||
**Proceeds from investments sold short | $ | 9,461,340 | |||||
***Premium received from option contracts written | $ | 4,585 |
‡ 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
Statement of Operations
Neuberger Berman Alternative Funds
GLOBAL LONG SHORT FUND | |||||||
For the Period from November 12, 2014 (Commencement of Operations) to October 31, 2015 | |||||||
Investment Income: | |||||||
Income (Note A): | |||||||
Dividend income—unaffiliated issuers | $ | 262,615 | |||||
Interest income—unaffiliated issuers | 1,164 | ||||||
Foreign taxes withheld (Note A) | (22,327 | ) | |||||
Total income | $ | 241,452 | |||||
Expenses: | |||||||
Investment management fees (Note B) | 224,563 | ||||||
Administration fees (Note B) | 10,779 | ||||||
Administration fees (Note B): | |||||||
Institutional Class | 15,166 | ||||||
Class A | 1,138 | ||||||
Class C | 1,091 | ||||||
Distribution fees (Note B): | |||||||
Class A | 1,423 | ||||||
Class C | 5,455 | ||||||
Shareholder servicing agent fees: | |||||||
Institutional Class | 2,455 | ||||||
Class A | 1,807 | ||||||
Class C | 1,672 | ||||||
Organization expense (Note A) | 334,314 | ||||||
Audit fees | 28,501 | ||||||
Custodian and accounting fees (Note A) | 109,023 | ||||||
Legal fees | 113,451 | ||||||
Registration and filing fees | 71,895 | ||||||
Shareholder reports | 20,001 | ||||||
Trustees' fees and expenses | 33,332 | ||||||
Short sales expense (Note A) | 30,147 | ||||||
Dividend expense on securities sold short (Note A) | 103,437 | ||||||
Interest expense | 222 | ||||||
Miscellaneous | 7,492 | ||||||
Total expenses | 1,117,364 | ||||||
Expenses reimbursed by Management (Note B) | (649,602 | ) | |||||
Total net expenses |
467,762 | ||||||
Net investment income (loss) | $ | (226,310 | ) |
See Notes to Financial Statements
Statement of Operations (cont'd)
Neuberger Berman Alternative Funds (cont'd)
GLOBAL LONG SHORT FUND | |||||
For the Period from November 12, 2014 (Commencement of Operations) to October 31, 2015 | |||||
Realized and Unrealized Gain (Loss) on Investments (Note A): | |||||
Net realized gain (loss) on: | |||||
Sales of investment securities of unaffiliated issuers | $ | (915,637 | ) | ||
Sales of investment securities of unaffiliated issuers sold short | 652,653 | ||||
Forward foreign currency contracts | 98,903 | ||||
Foreign currency | (112,989 | ) | |||
Financial futures contracts | (503,015 | ) | |||
Option contracts written | 42,377 | ||||
Swap contracts | (41,623 | ) | |||
Change in net unrealized appreciation (depreciation) in value of: | |||||
Unaffiliated investment securities | 345,024 | ||||
Unaffiliated investment securities sold short | (6,885 | ) | |||
Forward foreign currency contracts | 73,185 | ||||
Foreign currency | (677 | ) | |||
Financial futures contracts | 11,573 | ||||
Option contracts written | 985 | ||||
Swap contracts | 129,665 | ||||
Net gain (loss) on investments | (226,461 | ) | |||
Net increase (decrease) in net assets resulting from operations | $ | (452,771 | ) |
See Notes to Financial Statements
Statement of Changes in Net Assets
Neuberger Berman Alternative Funds
GLOBAL LONG SHORT FUND | |||||
Period from November 12, 2014 (Commencement of Operations) to October 31, 2015 | |||||
Increase (Decrease) in Net Assets: | |||||
From Operations (Note A): | |||||
Net investment income (loss) | $ | (226,310 | ) | ||
Net realized gain (loss) on investments | (779,331 | ) | |||
Change in net unrealized appreciation (depreciation) of investments | 552,870 | ||||
Net increase (decrease) in net assets resulting from operations | (452,771 | ) | |||
From Fund Share Transactions (Note D): | |||||
Proceeds from shares sold: | |||||
Institutional Class | 21,539,461 | ||||
Class A | 718,448 | ||||
Class C | 677,160 | ||||
Payments for shares redeemed: | |||||
Institutional Class | (170,191 | ) | |||
Class A | (52,291 | ) | |||
Net increase (decrease) from Fund share transactions | 22,712,587 | ||||
Net Increase (Decrease) in Net Assets | 22,259,816 | ||||
Net Assets: | |||||
Beginning of period | — | ||||
End of period | $ | 22,259,816 | |||
Undistributed net investment income (loss) at end of period | (223,119 | ) |
See Notes to Financial Statements
Notes to Financial Statements Global Long Short Fund
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.
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 October 31, 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.
As determined on October 31, 2015, permanent differences resulting primarily from different book and tax accounting were reclassified at period end. Such differences are attributed to the tax treatment of: 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 the Fund. For the period ended October 31, 2015, the Fund recorded the following permanent reclassifications.
Paid-In Capital | Undistributed Net Investment Income (Loss) | Accumulated Net Realized Gains (Losses) on Investments | |||||||||
$ | (8,119 | ) | $ | 3,191 | $ | 4,928 |
As of October 31, 2015, 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 | ||||||||||||||||||
$ | 169,736 | $ | — | $ | 60,475 | $ | (481,326 | ) | $ | (193,537 | ) | $ | (444,652 | ) |
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, mark-to-market adjustments on foreign currency contracts, straddle loss deferrals and mark-to-market adjustments on foreign investment companies.
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. For taxable years beginning after December 22, 2010, the capital loss carryforwards 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 on October 31, 2015, the Fund had unused capital loss carryforwards available for federal income tax purposes to offset net realized capital gains as follows:
Long-Term | Short-Term | ||||||
$ | 241,904 | $ | 239,422 |
6 Foreign taxes: Foreign taxes withheld, if any, represent amounts withheld by foreign tax authorities, net of refunds recoverable.
Foreign capital gains on certain foreign securities may be subject to foreign taxes, which are accrued as applicable. At October 31, 2015, there were no outstanding balances of accrued capital gains taxes for the Fund.
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 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. 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 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 October 31, 2015, the Fund had pledged cash in the amount of $9,025,484 to Bank of America N.A., as collateral for short sales. At October 31, 2015, the Fund had pledged securities in the amount of $2,309,795 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 October 31, 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 October 31, 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.
At October 31, 2015, open positions in financial futures for the Fund were as follows:
Expiration | Open Contracts | Position | Unrealized Appreciation (Depreciation) | ||||||
December 2015 | 26 Mini MSCI Emerging Markets Index | Short | $ | 11,573 |
During the period ended October 31, 2015, the average notional value of financial futures was $252,785 for long positions and $(2,964,826) for short positions.
Equity swap contracts: During the period ended October 31, 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 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 future market trends, the values of assets or economic factors are not accurately analyzed and predicted, 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 October 31, 2015, the outstanding equity swaps* for the Fund were as follows:
Counterparty | Description | Expiration Date(s) | Value | ||||||
Bank of America N.A. | The Fund receives the total return on long positions and pays a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions. The Fund pays the total return on short positions and receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions. | 5/16–5/17 | $ | 116,997 |
* The following table represents the individual long and short positions and related values of the equity swaps as of October 31, 2015.
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions | |||||||||||||||
France | |||||||||||||||
Cap Gemini SA | 1,199 | $ | 107,324 | $ | (488 | ) | |||||||||
Ireland | |||||||||||||||
CRH PLC | 9,410 | 254,781 | 3,579 | ||||||||||||
Shire PLC | 1,131 | 88,727 | (2,858 | ) | |||||||||||
721 | |||||||||||||||
Japan | |||||||||||||||
Don Quijote Holdings Co. Ltd. | 3,132 | 125,781 | (9,632 | ) | |||||||||||
NTT Data Corp. | 2,964 | 128,036 | 20,569 | ||||||||||||
10,937 | |||||||||||||||
Sweden | |||||||||||||||
Assa Abloy AB | 2,148 | 41,389 | 1,352 | ||||||||||||
United Kingdom | |||||||||||||||
British American Tobacco PLC | 4,475 | 257,095 | 9,159 | ||||||||||||
Croda International PLC | 3,874 | 167,827 | 5,246 | ||||||||||||
Derwent London PLC | 3,157 | 164,697 | 24,136 | ||||||||||||
Imperial Tobacco Group PLC | 5,841 | 305,446 | 9,621 | ||||||||||||
ITV PLC | 71,147 | 288,256 | (11,423 | ) | |||||||||||
Land Securities Group PLC | 4,143 | 79,929 | 5,591 | ||||||||||||
42,330 |
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | |||||||||||
United States | ||||||||||||||
Facebook, Inc. | 2,005 | $ | 176,919 | $ | 27,530 | |||||||||
Total Long Positions of Portfolio Equity Swaps | 82,382 | |||||||||||||
Short Positions | ||||||||||||||
Australia | ||||||||||||||
BHP Billiton PLC | (14,350 | ) | (224,797 | ) | (5,382 | ) | ||||||||
Chile | ||||||||||||||
Antofagasta PLC | (21,014 | ) | (169,067 | ) | (1,493 | ) | ||||||||
Switzerland | ||||||||||||||
Glencore PLC | (66,840 | ) | (112,935 | ) | (2,986 | ) | ||||||||
United Kingdom | ||||||||||||||
Anglo American PLC | (20,717 | ) | (169,084 | ) | (5,485 | ) | ||||||||
GKN PLC | (15,010 | ) | (71,039 | ) | 4,583 | |||||||||
Pearson PLC | (11,578 | ) | (201,094 | ) | 47,328 | |||||||||
Rio Tinto PLC | (4,705 | ) | (169,498 | ) | (1,569 | ) | ||||||||
44,857 | ||||||||||||||
Total Short Positions of Equity Swaps | 34,996 | |||||||||||||
Total Long and Short Positions of Equity Swaps | 117,378 | |||||||||||||
Financing Costs and Other Receivables (Payables) | (381 | ) | ||||||||||||
Bank of America N.A. Equity Swaps, at value | $ | 116,997 | ||||||||||||
Counterparty | Description | Expiration Date(s) | Value | |||||||||||
Morgan Stanley | The Fund receives the total return on long positions and pays a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions. The Fund pays the total return on short positions and receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions. | 12/16/15–5/3/17 | $ | 12,668 |
* The following table represents the individual long and short positions and related values of the equity swaps as of October 31, 2015.
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Long Positions | |||||||||||||||
Germany | |||||||||||||||
Rheinmetall AG | 5,123 | $ | 319,632 | $ | 2,943 | ||||||||||
United Kingdom | |||||||||||||||
Barclays PLC | 24,920 | 104,065 | (14,938 | ) | |||||||||||
Croda International PLC | 1,448 | 59,816 | 4,874 | ||||||||||||
SABMiller PLC | 4,142 | 232,422 | 22,671 | ||||||||||||
12,607 |
Reference Entity | Shares | Notional Value(a)(b) | Net Unrealized Appreciation (Depreciation) | ||||||||||
United States | |||||||||||||
KBW Bank Index | 5,951 | $ | 444,240 | $ | (12,316 | )(f) | |||||||
Newell Rubbermaid, Inc. | 3,485 | 153,133 | (5,264 | ) | |||||||||
Visa, Inc. | 2,914 | 200,429 | 25,639 | ||||||||||
8,059 | |||||||||||||
Total Long Positions of Portfolio Equity Swaps | 23,609 | ||||||||||||
Short Positions | |||||||||||||
Brazil | |||||||||||||
Ibovespa Index | (65 | ) | (800,697 | ) | 19,948 | ||||||||
United Kingdom | |||||||||||||
ARM Holdings PLC | (14,273 | ) | (224,482 | ) | (1,052 | ) | |||||||
Ashtead Group PLC | (5,429 | ) | (78,297 | ) | (5,397 | ) | |||||||
GKN PLC | (29,343 | ) | (115,950 | ) | (13,965 | ) | |||||||
(20,414 | ) | ||||||||||||
Total Short Positions of Equity Swaps | (466 | ) | |||||||||||
Total Long and Short Positions of Equity Swaps | 23,143 | ||||||||||||
Financing Costs and Other Receivables (Payables) | (10,475 | ) | |||||||||||
Morgan Stanley Equity Swaps, at value | $ | 12,668 | |||||||||||
Total Equity Swaps, at value | $ | 129,665 |
(a) Notional value represents the value (including any fees or commissions) of the long and short positions when they were established.
(b) For the period ended October 31, 2015, the average notional value of equity swaps was $2,521,576 for long positions and $(1,444,695) for short positions, respectively.
(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.
Forward foreign currency contracts: During the period ended October 31, 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.
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 October 31, 2015, open forward contracts for the Fund were as follows:
Sell | Counterparty | Contracts to Deliver | In Exchange For | Settlement Date | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Euro | Bank of America N.A. | 850,000 | $ | 966,597 | 11/24/15 | $ | 31,653 | ||||||||||
Euro | Bank of America N.A. | 1,675,000 | 1,875,749 | 11/24/15 | 33,358 | ||||||||||||
Euro | Bank of America N.A. | 508,000 | 567,056 | 11/24/15 | 8,289 | ||||||||||||
Japanese Yen | Bank of America N.A. | 50,500,000 | 424,181 | 11/24/15 | 5,608 | ||||||||||||
Japanese Yen | Bank of America N.A. | 171,500,000 | 1,415,769 | 11/24/15 | (5,723 | ) | |||||||||||
Total | $ | 73,185 |
For the period ended October 31, 2015, the Fund's investments in forward contracts had an average notional value of $3,109,612.
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.
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 risk for the Fund for the period ended October 31, 2015. Written option transactions for the Fund for the period ended October 31, 2015 were as follows:
Number of Contracts | Premium Received | ||||||||
Outstanding 11/12/14* | — | $ | — | ||||||
Options written | 347 | 115,216 | |||||||
Options closed | (337 | ) | (110,631 | ) | |||||
Options exercised | — | — | |||||||
Options expired | — | — | |||||||
Outstanding 10/31/15 | 10 | $ | 4,585 |
* 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 October 31, 2015.
For the period ended October 31, 2015, the Fund had an average market value of $28,559 in purchased options and $(10,304) in written options.
At October 31, 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 | Swap contacts, at value | $ | — | $ | 234,769 | $ | 234,769 | ||||||||
Financial futures | Receivable/Payable for variation margin(1) | — | 11,573 | 11,573 | |||||||||||
Forward contracts | Receivable for forward foreign currency contracts | 78,908 | — | 78,908 | |||||||||||
Option contracts purchased | Investments in securities, at value | — | 34,177 | 34,177 | |||||||||||
Total Value—Assets | $ | 78,908 | $ | 280,519 | $ | 359,427 |
Liability Derivatives
Equity swaps | Swap contacts, at value | $ | — | $ | (105,104 | ) | $ | (105,104 | ) | ||||||
Forward contracts | Payable for forward foreign currency contracts | (5,723 | ) | — | (5,723 | ) | |||||||||
Option contracts written | Option contracts written, at value | — | (3,600 | ) | (3,600 | ) | |||||||||
Total Value—Liabilities | $ | (5,723 | ) | $ | (108,704 | ) | $ | (114,427 | ) |
(1) "Financial futures" reflects the cumulative appreciation (depreciation) of financial futures as of October 31, 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 October 31, 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 October 31, 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 | $ | 98,903 | $ | — | $ | 98,903 | ||||||||
Financial futures | Net realized gain (loss) on: Financial futures contracts | — | (503,015 | ) | (503,015 | ) | |||||||||
Option contracts written | Net realized gain (loss) on: Option contracts written | — | 42,377 | 42,377 | |||||||||||
Option contracts purchased | Net realized gain (loss) on: Sales of investment securities of unaffiliated issuers | — | (83,462 | ) | (83,462 | ) | |||||||||
Swap contracts | Net realized gain (loss) on: Swap contracts | — | (41,623 | ) | (41,623 | ) | |||||||||
Total Realized Gain (Loss) | $ | 98,903 | $ | (585,723 | ) | $ | (486,820 | ) |
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 | $ | 73,185 | $ | — | $ | 73,185 | ||||||||
Financial futures | Change in net unrealized appreciation (depreciation) in value of: Financial futures | — | 11,573 | 11,573 contracts | |||||||||||
Option contracts written | Change in net unrealized appreciation (depreciation) in value of: Option contracts written | — | 985 | 985 | |||||||||||
Option contracts purchased | Change in net unrealized appreciation (depreciation) in value of: Unaffiliated investment securities | — | (12,810 | ) | (12,810 | ) | |||||||||
Swap contracts | Change in net unrealized appreciation (depreciation) in value of: Swap contracts | — | 129,665 | 129,665 | |||||||||||
Total Change in Appreciation (Depreciation) | $ | 73,185 | $ | 129,413 | $ | 202,598 |
While the Fund may receive rights and warrants in connection with their investments in securities, these rights and warrants are not considered "derivative instruments" under ASC 815.
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 October 31, 2015.
Description | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | ||||||||||||
Equity swaps | $ | 234,769 | $ | — | $ | 234,769 | |||||||||
Forward Contracts | 78,908 | — | 78,908 | ||||||||||||
Total | $ | 313,677 | $ | — | $ | 313,677 |
Gross Amounts Not Offset in the Statements of Assets and Liabilities
Counterparty | Net Amounts of Assets Presented in the Statement of Assets and Liabilities | Financial Instruments | Cash Collateral Received(a) | Net Amount(b) | |||||||||||||
Bank of America N.A. | $ | 237,602 | $ | (47,420 | ) | $ | — | $ | 190,182 | ||||||||
Morgan Stanley | 76,075 | (63,407 | ) | — | 12,668 | ||||||||||||
Total | $ | 313,677 | $ | (110,827 | ) | $ | — | $ | 202,850 |
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities | ||||||||||||
Equity swaps | $ | (105,104 | ) | $ | — | $ | (105,104 | ) | |||||||
Forward Contracts | (5,723 | ) | — | (5,723 | ) | ||||||||||
Total | $ | (110,827 | ) | $ | — | $ | (110,827 | ) |
Gross Amounts Not Offset in the Statements of Assets and Liabilities
Counterparty | Net Amounts of Liabilities Presented in the Statement of Assets and Liabilities | Financial Instruments | Cash Collateral Pledged(a) | Net Amount(c) | |||||||||||||
Bank of America N.A. | $ | (47,420 | ) | $ | 47,420 | $ | — | $ | — | ||||||||
Morgan Stanley | (63,407 | ) | 63,407 | — | — | ||||||||||||
Total | $ | (110,827 | ) | $ | 110,827 | $ | — | $ | — |
(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 October 31, 2015, in the event of a counterparty failure.
(c) Net Amount represents amounts under-collateralized by the Fund to each counterparty as of October 31, 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—Investment Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
The Fund retains Management as its investment manager under an Investment 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 October 31, 2015, the Investment Management fee pursuant to the Investment 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; 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 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 incurred the expense.
During the period ended October 31, 2015, there was no repayment to Management under its contractual expense limitation.
At October 31, 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 | $ | 605,316 | (2) | |||||
Class A | 2.16 | % | 10/31/18 | 22,654 | (2) | ||||||
Class C | 2.91 | % | 10/31/18 | 21,632 | (2) |
(1) Expense limitation per annum of the respective class' average daily net assets.
(2) Period from November 12, 2014 (Commencement of Operations) to October 31, 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 October 31, 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 | — | 300 | — | — |
Note C—Securities Transactions:
During the period ended October 31, 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 | ||||||||||||
$ | 45,680,689 | $ | 32,071,172 | $ | 27,979,382 | $ | 21,957,170 |
During the period ended October 31, 2015, no brokerage commissions on securities transactions were paid to affiliated brokers.
Note D—Fund Share Transactions:
Share activity for the period ended October 31, 2015 was as follows:
For the Period Ended October 31, 2015 | |||||||||||||||||||
Shares Sold | Shares Issued on Reinvestment of Dividends and Distributions | Shares Redeemed | Total | ||||||||||||||||
Institutional Class(1) | 2,130,186 | — | (16,894 | ) | 2,113,292 | ||||||||||||||
Class A(1) | 71,325 | — | (5,233 | ) | 66,092 | ||||||||||||||
Class C(1) | 67,519 | — | — | 67,519 |
(1) Period from November 12, 2014 (Commencement of Operations) to October 31, 2015.
Other: At October 31, 2015, there was an affiliated investor owning 66.8% of the Fund's outstanding shares.
For the period ended October 31, 2015, the Fund recorded a capital contribution from Management in the amount of $2,494. This amount was paid in connection with a loss incurred in the execution of a trade.
Note E—Line of Credit:
At October 31, 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. Series of other investment companies managed by Management also participate in this line of credit on substantially the same terms except that some do not have access to the full amount of the Credit Facility. Under the terms of the Credit Facility, the Fund has agreed to pay its 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 the level of its access to the Credit Facility, 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 October 31, 2015. During the period from January 9, 2015 (the commencement date of the Credit Facility) through October 31, 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 October 31, 2015, the Fund did not utilize either line of credit with State Street.
Financial Highlights
The following table includes selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. Amounts that round to [$0.00 to less than $0.01] per share or [$(0.01) to less than $0.00] per share are presented as $0.00 or $(0.00), respectively. Ratios that round to [0.00% to less than 0.01%] or [(0.01)% to less than 0.00%] 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) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period from 11/12/14^ to 10/31/2015 | $ | 10.00 | $ | (0.12 | ) | $ | 0.03 | $ | (0.09 | ) | $ | — | $ | — | $ | — | $ | — | $ | 9.91 | (0.90 | )%** | $ | 20.9 | 6.09 | %*‡ | 5.35 | %*‡ | 2.56 | %*‡ | 1.82 | %*‡ | (1.21 | )%*‡ | 300 | %** | 187 | %** | ||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period from 11/12/14^ to 10/31/2015 | $ | 10.00 | $ | (0.15 | ) | $ | 0.03 | $ | (0.12 | ) | $ | — | $ | — | $ | — | $ | — | $ | 9.88 | (1.20 | )%** | $ | 0.7 | 6.83 | %*‡ | 6.10 | %*‡ | 2.91 | %*‡ | 2.18 | %*‡ | (1.54 | )%*‡ | 300 | %** | 187 | %** | ||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Period from 11/12/14^ to 10/31/2015 | $ | 10.00 | $ | (0.23 | ) | $ | 0.03 | $ | (0.20 | ) | $ | — | $ | — | $ | — | $ | — | $ | 9.80 | (2.00 | )%** | $ | 0.7 | 7.57 | %*‡ | 6.83 | %*‡ | 3.66 | %*‡ | 2.92 | %*‡ | (2.35 | )%*‡ | 300 | %** | 187 | %** |
See Notes to Financial Highlights
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.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Neuberger Berman Alternative Funds and Shareholders of
Neuberger Berman Global Long Short Fund
We have audited the accompanying statement of assets and liabilities of Neuberger Berman Global Long Short Fund (the "Fund"), one of the series constituting the Neuberger Berman Alternative Funds, including the schedules of investments, as of October 31, 2015, and the related statement of operations, the statement of changes in net assets, and the financial highlights for the period from November 12, 2014 (commencement of operations) to October 31, 2015. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund's internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2015 by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Neuberger Berman Global Long Short Fund at October 31, 2015, the results of its operations, the changes in its net assets and the financial highlights for the period from November 12, 2014 (commencement of operations) to October 31, 2015, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
December 23, 2015
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
Trustees and Officers
The following tables set forth information concerning the Trustees and Officers of the Fund. All persons named as Trustees and Officers also serve in similar capacities for other funds administered or managed by Management and/or NBAIM. The Fund's Statement of Additional Information includes additional information about the Trustees as of the time of the Fund's most recent public offering and is available upon request, without charge, by calling (800) 877-9700.
Information about the Board of Trustees
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||||||||||
Independent Trustees | |||||||||||||||||||
Faith Colish (1935) | Trustee since inception | Counsel, Carter Ledyard & Milburn LLP (law firm) since October 2002; formerly, Attorney-at-Law and President, Faith Colish, A Professional Corporation, 1980 to 2002. | 59 | Formerly, Director, 1997 to 2003, and Advisory Director, 2003 to 2006, ABA Retirement Funds (formerly, American Bar Retirement Association) (not-for-profit membership corporation). | |||||||||||||||
Michael J. Cosgrove (1949) | Trustee since 2015 | President, Carragh Consulting USA, since 2014; formerly, Executive, General Electric Company, 1982 to 2014, including President, Mutual Funds and Global Investment Programs, GE Asset Management, 2011 to 2014, President and Chief Executive Officer, Mutual Funds and Intermediary Business, GE Asset Management, 2007 to 2011, and President, Institutional Sales and Marketing, GE Asset Management, 1998 to 2007. | 59 | Director, The Gabelli Go Anywhere Trust, since 2015; Director, America Press, Inc. (not-for-profit Jesuit publisher), since 2015; Director, Fordham University, since 2001; Director, Skin Cancer Foundation (not-for-profit), since 2006; formerly, Director, GE Investments Funds, Inc., 1997 to 2014; Trustee, GE Institutional Funds, 1997 to 2014; Director, GE Asset Management, 1988 to 2014; Director, Elfun Trusts, 1988 to 2014. |
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||||||||||
Marc Gary (1952) | Trustee since 2015 | Executive Vice Chancellor and Chief Operating Officer, Jewish Theological Seminary, since 2012; formerly, Executive Vice President and General Counsel, Fidelity Investments, 2007 to 2012; Executive Vice President and General Counsel, BellSouth Corporation, 2004 to 2007; Vice President and Associate General Counsel, BellSouth Corporation, 2000 to 2004; Associate, Partner, and National Litigation Practice Co-Chair, Mayer, Brown LLP, 1981 to 2000; Associate Independent Counsel, Office of Independent Counsel, 1990 to 1992. | 59 | Trustee, Jewish Theological Seminary, since 2015; Director, Counsel on Call (privately held for-profit company), since 2012; Director, Lawyers Committee for Civil Rights Under Law (not-for-profit), since 2005; formerly, Director, Equal Justice Works (not-for-profit), 2005 to 2014; Director, Corporate Counsel Institute, Georgetown University Law Center, 2007 to 2012; Director, Greater Boston Legal Services (not-for-profit), 2007 to 2012. |
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||||||||||
Martha C. Goss (1949) | Trustee since 2007 | President, Woodhill Enterprises Inc./Chase Hollow Associates LLC (personal investment vehicle), since 2006; formerly, Consultant, Resources Global Professionals (temporary staffing), 2002 to 2006. | 59 | Director, American Water (water utility), since 2003; Director, Allianz Life of New York (insurance), since 2005; Director, Berger Group Holdings, Inc. (engineering consulting firm), since 2013; Director, Financial Women's Association of New York (not-for-profit association), since 2003; Trustee Emerita, Brown University, since 1998; Director, Museum of American Finance (not-for-profit), since 2013; formerly, Non-Executive Chair and Director, Channel Reinsurance (financial guaranty reinsurance), 2006 to 2010; formerly, Director, Ocwen Financial Corporation (mortgage servicing), 2005 to 2010; formerly, Director, Claire's Stores, Inc. (retailer), 2005 to 2007; formerly, Director, Parsons Brinckerhoff Inc. (engineering consulting firm), 2007 to 2010; formerly, Director, Bank Leumi (commercial bank), 2005 to 2007; formerly, Advisory Board Member, Attensity (software developer), 2005 to 2007. | |||||||||||||||
Michael M. Knetter (1960) | Trustee since 2007 | President and Chief Executive Officer, University of Wisconsin Foundation, since October 2010; formerly, Dean, School of Business, University of Wisconsin — Madison; formerly, Professor of International Economics and Associate Dean, Amos Tuck School of Business — Dartmouth College, 1998 to 2002. | 59 | Board Member, American Family Insurance (a mutual company, not publicly traded), since March 2009; formerly, Trustee, Northwestern Mutual Series Fund, Inc., 2007 to 2011; formerly, Director, Wausau Paper, 2005 to 2011; formerly, Director, Great Wolf Resorts, 2004 to 2009. |
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||||||||||
Howard A. Mileaf (1937) | Trustee since inception | Retired; formerly, Vice President and General Counsel, WHX Corporation (holding company), 1993 to 2001. | 59 | Formerly, Director, Webfinancial Corporation (holding company), 2002 to 2008; formerly, Director, WHX Corporation (holding company), 2002 to 2005; formerly, Director, State Theatre of New Jersey (not-for-profit theatre), 2000 to 2005. | |||||||||||||||
George W. Morriss (1947) | Trustee since 2007 | Adjunct Professor, Columbia University School of International and Public Affairs, since October 2012; formerly, Executive Vice President and Chief Financial Officer, People's Bank, Connecticut (a financial services company), 1991 to 2001. | 59 | Director and Treasurer, National Association of Corporate Directors, Connecticut Chapter, since 2011; Trustee, Steben Alternative Investment Funds, Steben Select Multi-Strategy Fund, and Steben Select Multi-Strategy Master Fund, since 2013; formerly, Manager, Larch Lane Multi-Strategy Fund complex (which consisted of three funds), 2006 to 2011; formerly, Member, NASDAQ Issuers' Affairs Committee, 1995 to 2003. | |||||||||||||||
Tom D. Seip (1950) | Trustee since inception; Chairman of the Board since 2008; formerly Lead Independent Trustee from 2006 to 2008 | General Partner, Ridgefield Farm LLC (a private investment vehicle); formerly, President and CEO, Westaff, Inc. (temporary staffing), May 2001 to January 2002; formerly, Senior Executive, The Charles Schwab Corporation, 1983 to 1998, including Chief Executive Officer, Charles Schwab Investment Management, Inc.; Trustee, Schwab Family of Funds and Schwab Investments, 1997 to 1998; and Executive Vice President-Retail Brokerage, Charles Schwab & Co., Inc., 1994 to 1997. | 59 | Director, H&R Block, Inc. (financial services company), since May 2001; Chairman, Governance and Nominating Committee, H&R Block, Inc., since 2011; formerly, Chairman, Compensation Committee, H&R Block, Inc., 2006 to 2010; formerly, Director, Forward Management, Inc. (asset management company), 1999 to 2006. |
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||||||||||
Candace L. Straight (1947) | Trustee since inception | Private investor and consultant specializing in the insurance industry; formerly, Advisory Director, Securitas Capital LLC (a global private equity investment firm dedicated to making investments in the insurance sector), 1998 to 2003. | 59 | Public Member, Board of Governors and Board of Trustees, Rutgers University, since 2011; Director, Montpelier Re Holdings Ltd. (reinsurance company), since 2006; formerly, Director, National Atlantic Holdings Corporation (property and casualty insurance company), 2004 to 2008; formerly, Director, The Proformance Insurance Company (property and casualty insurance company), 2004 to 2008; formerly, Director, Providence Washington Insurance Company (property and casualty insurance company), 1998 to 2006; formerly, Director, Summit Global Partners (insurance brokerage firm), 2000 to 2005. | |||||||||||||||
Peter P. Trapp (1944) | Trustee since inception | Retired; formerly, Regional Manager for Mid-Southern Region, Ford Motor Credit Company, September 1997 to 2007; formerly, President, Ford Life Insurance Company, April 1995 to August 1997. | 59 | None. |
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||||||||||
Trustees who are "Interested Persons" | |||||||||||||||||||
Joseph V. Amato* (1962) | Trustee since 2009 | President and Director, Neuberger Berman Group LLC, since 2009; President and Chief Executive Officer, Neuberger and Neuberger Berman Holdings LLC (including its predecessor, Neuberger Berman Inc.), since 2007; Chief Investment Officer (Equities) and Managing Director, Management, since 2009; Managing Director, Neuberger Berman Fixed Income LLC ("NBFI"), since 2007; Board member of NBFI since 2006; formerly, Global Head of Asset Management of Lehman Brothers Holdings Inc.'s ("LBHI") Investment Management Division, 2006 to 2009; formerly, member of LBHI's Investment Management Division's Executive Management Committee, 2006 to 2009; formerly, Managing Director, Lehman Brothers Inc. ("LBI"), 2006 to 2008; formerly, Chief Recruiting and Development Officer, LBI, 2005 to 2006; formerly, Global Head of LBI's Equity Sales and a Member of its Equities Division Executive Committee, 2003 to 2005. | 59 | Member of Board of Advisors, McDonough School of Business, Georgetown University, since 2001; Member of New York City Board of Advisors, Teach for America, since 2005; Trustee, Montclair Kimberley Academy (private school), since 2007; Member of Board of Regents, Georgetown University, since 2013. |
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||||||||||
Robert Conti* (1956) | Chief Executive Officer, President and Trustee since 2008; prior thereto, Executive Vice President in 2008 and Vice President from inception to 2008 | Managing Director, Neuberger, since 2007; Managing Director, NBFI, since 2009; formerly, Senior Vice President, Neuberger, 2003 to 2006; formerly, Vice President, Neuberger, 1999 to 2003; President and Chief Executive Officer, Management, since 2008; formerly, Senior Vice President, Management, 2000 to 2008. | 59 | Director, Staten Island Mental Health Society, since 1994; formerly, Chairman of the Board, Staten Island Mental Health Society, 2008 to 2011. |
(1) The business address of each listed person is 605 Third Avenue, New York, New York 10158.
(2) Pursuant to the Trust's Trust Instrument, each of these Trustees shall hold office for life or until his or her successor is elected or the Trust terminates; except that (a) any Trustee may resign by delivering a written resignation; (b) any Trustee may be removed with or without cause at any time by a written instrument signed by at least two-thirds of the other Trustees; (c) any Trustee who requests to be retired, or who has become unable to serve, may be retired by a written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any shareholder meeting by a vote of at least two-thirds of the outstanding shares.
(3) Except as otherwise indicated, each individual has held the positions shown for at least the last five years.
* Indicates a Trustee who is an "interested person" within the meaning of the 1940 Act. Mr. Amato and Mr. Conti are interested persons of the Trust by virtue of the fact that each is an officer of Management, Neuberger and/or their affiliates.
Information about the Officers of the Trust
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | |||||||||
Andrew B. Allard (1961) | Chief Legal Officer since 2013 (only for purposes of sections 307 and 406 of the Sarbanes-Oxley Act of 2002) and Anti-Money Laundering Compliance Officer since inception | General Counsel and Senior Vice President, Management, since 2013; Senior Vice President, Neuberger, since 2006 and Employee since 1999; Deputy General Counsel, Neuberger, since 2004; formerly, Vice President, Neuberger, 2000 to 2005; formerly, Employee, Management, 1994 to 1999; Chief Legal Officer (only for purposes of sections 307 and 406 of the Sarbanes-Oxley Act of 2002), ten registered investment companies for which Management acts as investment manager and administrator (ten since 2013); Anti-Money Laundering Compliance Officer, ten registered investment companies for which Management acts as investment manager and administrator (six since 2002, one since 2003, one since 2005, one since 2006 and one since 2013). | |||||||||
Claudia A. Brandon (1956) | Executive Vice President since 2008 and Secretary since inception | Senior Vice President, Neuberger, since 2007 and Employee since 1999; Senior Vice President, Management, since 2008 and Assistant Secretary since 2004; formerly, Vice President, Neuberger, 2002 to 2006; formerly, Vice President-Mutual Fund Board Relations, Management, 2000 to 2008; formerly, Vice President, Management, 1986 to 1999 and Employee 1984 to 1999; Executive Vice President, ten registered investment companies for which Management acts as investment manager and administrator (nine since 2008 and one since 2013); Secretary, ten registered investment companies for which Management acts as investment manager and administrator (three since 1985, three since 2002, one since 2003, one since 2005, one since 2006 and one since 2013). | |||||||||
Agnes Diaz (1971) | Vice President since 2013 | Senior Vice President, Neuberger, since 2012; Employee, Management, since 1996; formerly, Vice President, Neuberger, 2007 to 2012; Vice President, ten registered investment companies for which Management acts as investment manager and administrator (ten since 2013). | |||||||||
Anthony DiBernardo (1979) | Assistant Treasurer since 2011 | Senior Vice President, Neuberger, since 2014; Employee, Management, since 2003; formerly, Vice President, Neuberger, 2009 to 2014; Assistant Treasurer, ten registered investment companies for which Management acts as investment manager and administrator (nine since 2011 and one since 2013). | |||||||||
Sheila R. James (1965) | Assistant Secretary since inception | Vice President, Neuberger, since 2008 and Employee since 1999; formerly, Assistant Vice President, Neuberger, 2007; formerly, Employee, Management, 1991 to 1999; Assistant Secretary, ten registered investment companies for which Management acts as investment manager and administrator (six since 2002, one since 2003, one since 2005, one since 2006 and one since 2013). |
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | |||||||||
Brian Kerrane (1969) | Chief Operating Officer since 2015 and Vice President since 2008 | Managing Director, Neuberger, since 2014; Vice President, Management, since 2008 and Employee since 1991; formerly, Senior Vice President, Neuberger, 2006 to 2014; Chief Operating Officer, ten registered investment companies for which Management acts as investment manager and administrator (ten since 2015); Vice President, ten registered investment companies for which Management acts as investment manager and administrator (nine since 2008 and one since 2013). | |||||||||
Kevin Lyons (1955) | Assistant Secretary since inception | Assistant Vice President, Neuberger, since 2008 and Employee since 1999; formerly, Employee, Management, 1993 to 1999; Assistant Secretary, ten registered investment companies for which Management acts as investment manager and administrator (seven since 2003, one since 2005, one since 2006 and one since 2013). | |||||||||
Anthony Maltese (1959) | Vice President since 2015 | Senior Vice President, Neuberger, since 2014 and Employee since 2000; Vice President, ten registered investment companies for which Management acts as investment manager and administrator (ten since 2015). | |||||||||
Owen F. McEntee, Jr. (1961) | Vice President since 2008 | Vice President, Neuberger, since 2006; Employee, Management, since 1992; Vice President, ten registered investment companies for which Management acts as investment manager and administrator (nine since 2008 and one since 2013). | |||||||||
John M. McGovern (1970) | Treasurer and Principal Financial and Accounting Officer since inception | Senior Vice President, Neuberger, since 2007; Employee, Management, since 1993; Treasurer and Principal Financial and Accounting Officer, ten registered investment companies for which Management acts as investment manager and administrator (eight since 2005, one since 2006 and one since 2013); formerly, Vice President, Neuberger, 2004 to 2006; formerly, Assistant Treasurer, eight registered investment companies for which Management acts as investment manager and administrator, 2002 to 2005. | |||||||||
Frank Rosato (1971) | Assistant Treasurer since inception | Vice President, Neuberger, since 2006; Employee, Management, since 1995; Assistant Treasurer, ten registered investment companies for which Management acts as investment manager and administrator (eight since 2005, one since 2006 and one since 2013). | |||||||||
Chamaine Williams (1971) | Chief Compliance Officer since inception | Senior Vice President, Neuberger, since 2007; Chief Compliance Officer, Management, since 2006; Chief Compliance Officer, ten registered investment companies for which Management acts as investment manager and administrator (eight since 2005, one since 2006 and one since 2013); formerly, Senior Vice President, LBI, 2007 to 2008; formerly, Vice President, LBI, 2003 to 2006; formerly, Chief Compliance Officer, Lehman Brothers Asset Management Inc., 2003 to 2007; formerly, Chief Compliance Officer, Lehman Brothers Alternative Investment Management LLC, 2003 to 2007. |
(1) The business address of each listed person is 605 Third Avenue, New York, New York 10158.
(2) Pursuant to the By-Laws of the Trust, each officer elected by the Trustees shall hold office until his or her successor shall have been elected and qualified or until his or her earlier death, inability to serve, or resignation. Officers serve at the pleasure of the Trustees and may be removed at any time with or without cause.
(3) Except as otherwise indicated, each individual has held the positions shown for at least the last five years
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 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).
Board Consideration of the Management and Sub-Advisory Agreements
(Global Long Short Fund)
On an annual basis, the Board of Trustees ("Board") of Neuberger Berman Alternative Funds ("Trust"), including the Trustees who are not "interested persons" of Neuberger Berman Management LLC ("Management") (including its affiliates) or the Trust ("Independent Fund Trustees"), considers whether to continue the management agreement with Management (the "Management Agreement") and the separate sub-advisory agreement between Management and Neuberger Berman LLC ("Neuberger") (the "Sub-Advisory Agreement" and collectively with the Management Agreement, the "Agreements") for Neuberger Berman Global Long Short Fund (the "Fund"). Throughout the process, the Independent Fund Trustees are advised by counsel that is experienced in Investment Company Act of 1940 matters and that is independent of Management ("Independent Counsel"). At a meeting held on September 8, 2015, the Board, including the Independent Fund Trustees, approved the continuation of the Agreements for the Fund.
In evaluating the Agreements, the Board, including the Independent Fund Trustees, reviewed extensive materials provided by Management in response to questions submitted by the Independent Fund Trustees and Independent Counsel, and met with senior representatives of Management regarding its personnel, operations and financial condition as they relate to the Fund. The annual contract review extends over at least two regular meetings of the Board to ensure that Management and Neuberger have time to respond to any questions the Independent Fund Trustees may have on their initial review of the materials and that the Independent Fund Trustees have time to consider those responses.
In connection with its deliberations, the Board also considered the broad range of information relevant to the annual contract review that is provided to the Board (including its various standing committees) at meetings throughout the year, including investment performance reports and related portfolio information for the Fund, as well as periodic reports on, among other matters, pricing and valuation; brokerage and execution; compliance; and shareholder and other services provided by Management, Neuberger and their affiliates. To assist the Board in its deliberations regarding the annual 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 annual contract review, such as Fund performance or compliance matters.
The Independent Fund Trustees received from Independent Counsel a memorandum discussing the legal standards for their consideration of the proposed continuation of the Agreements. During the course of the year and during their deliberations regarding the annual contract review, the Contract Review Committee and the Independent Fund Trustees met with Independent Counsel separately from representatives of Management and Neuberger.
In connection with its approval of the continuation 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 provided by Management and Neuberger; (2) the investment performance of the Fund compared to an appropriate market index; (3) the costs of the services provided and the profit or loss realized by Management and its affiliates from their relationship with the Fund; (4) the extent to which economies of scale have been or might be realized as the Fund grows; and (5) whether fee levels reflect any such potential economies of scale for the benefit of the Fund's shareholders. The Board's determination to approve the continuation of the Agreements was based on a comprehensive consideration of all information provided to the Board throughout the year and specifically in connection with the Board's initial approval of the Agreement and with the annual contract review. The Board members did not identify any particular information or factor that was all-important or controlling, as each Trustee may have attributed different weights to the various factors. The Board focused on the overall costs and benefits of the Agreements to the Fund and, through the Fund, its shareholders.
With respect to the nature, extent and quality of the services 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 perform services for the Fund. The Board noted that Management also provides 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 and reviewed the quality of the execution services that Management had provided. The Board also reviewed whether Management or Neuberger used brokers to execute Fund transactions that provide research and other services to Management or Neuberger, and the types of benefits potentially derived from such services by Management, Neuberger, the Fund and other clients of Management and Neuberger. The Board also considered that Management's responsibilities 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 the firms. The Board also considered the general structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the Fund.
As in past years, the Board also considered the manner in which Management addressed various nonroutine matters that arose during the year, some of them a result of developments in the broader fund industry or the regulations governing it. In addition, the Board considered actions taken by Management and Neuberger in response to recent market conditions, including actions taken in response to regulatory concerns about changes in fixed-income market liquidity and potential volatility, and considered the overall performance of Management and Neuberger in this context.
With respect to the overall fairness of the Agreements, the Board considered the fee structure 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, Neuberger, or their affiliates from their relationship with the Fund. The Board also considered the profitability of Management and its affiliates from their association with the Fund and year-over-year changes in each of Management's reported expense categories. The Board reviewed a comparison of the Fund's management fee and overall expense ratio to a peer group of 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 whether specific portfolio management or administration needs contributed to the size of the management fee. In addition, the Board considered the contractual limit on expenses of certain classes of the Fund.
With respect to investment performance, the Board considered information regarding the Fund's performance both on an absolute basis and relative to an appropriate market index (or benchmark). The Board also reviewed performance in relation to certain measures of the degree of investment risk undertaken by the portfolio managers. The Fund was launched in 2014 and while the Board noted that its performance was higher than its benchmark, the Board recognizes
the limitations of relying on very short-term performance. With regard to the costs of services to the Fund, the Board considered that, as compared to its peer group, for the Fund's Institutional Class shares, the Fund's contractual management fee and overall ratio were higher than the median. The Board looked at the Institutional Class fees as a proxy for all of the Fund's classes.
The Board noted that there were no other funds or separate accounts that were advised or sub-advised by Management or its affiliates with investment objectives, policies and strategies that were similar to those of the Fund. The Board also evaluated any apparent or anticipated economies of scale in relation to the services Management provides to the Fund. The Board considered that the Fund's fee structure does not provide for a reduction of payments resulting from the use of breakpoints, and concluded that the fee structure was reasonable in part based on the nature of the Fund, and in part based on existing expense caps. In concluding that the benefits accruing to Management and its affiliates by virtue of their relationship with the Fund were reasonable in light of the costs of providing the investment advisory and other services and the benefits accruing to the Fund, the Board reviewed specific data as to Management's profit or loss on the Fund for a recent period. The Board also considered Management's cost allocation methodology. The Board recognized that Management should be entitled to earn a reasonable level of profits for services it provides to the Fund and, based on its review, concluded that Management's reported level of profitability was reasonable.
Conclusions
In approving the continuation of the Agreements, the Board concluded that the terms of each Agreement are fair and reasonable to the Fund and that approval of the continuation 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 it retained confidence in Management's and Neuberger's capabilities to manage the Fund; that the Fund's fee structure appeared to the Board to be reasonable given the nature, extent and quality of services provided; and that the benefits accruing to Management and its affiliates by virtue of their relationship with the Fund were reasonable in light of the costs of providing the investment advisory and other services and the benefits accruing to the Fund. The Board's conclusions may be based in part on its consideration of materials prepared in connection with the approval or continuance of the Agreements in prior years and on the Board's ongoing regular review of Fund performance and operations throughout the year, in addition to material prepared specifically for the most recent annual review of the Agreements.
Notice to Shareholders
In early 2016 you will receive information to be used in filing your 2015 tax returns, which will include a notice of the exact tax status of all distributions paid to you by a Fund during calendar year 2015. Please consult your own tax advisor for details as to how this information should be reflected on your tax returns.
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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.
Q0315 12/15
Neuberger Berman
Alternative and Multi-Asset Class Funds
Institutional Class Shares
Class A Shares
Class C Shares
Risk Balanced Commodity Strategy Fund
Annual Report
October 31, 2015
Contents
PRESIDENT'S LETTER | 1 | ||||
PORTFOLIO COMMENTARY | 2 | ||||
FUND EXPENSE INFORMATION | 7 | ||||
CONSOLIDATED SCHEDULE OF INVESTMENTS | 9 | ||||
CONSOLIDATED FINANCIAL STATEMENTS | 16 | ||||
CONSOLIDATED FINANCIAL HIGHLIGHTS (ALL CLASSES)/ PER SHARE DATA | 29 | ||||
Report of Independent Registered Public Accounting Firm | 32 | ||||
Directory | 33 | ||||
Trustees and Officers | 34 | ||||
Proxy Voting Policies and Procedures | 42 | ||||
Quarterly Portfolio Schedule | 42 | ||||
Board Consideration of the Management and Sub-Advisory Agreements | 43 | ||||
Notice to Shareholders | 45 |
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 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 audited financial statements for the 12 months ended October 31, 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.
The overall commodity market fell sharply during the 12-month reporting period and is on track for a fifth consecutive calendar year of generating a negative return. There was no escaping the downdraft, as all six segments of the commodity market in which the Fund invests—energy, agriculture, precious metals, industrial metals, softs and livestock—produced poor performance. All but the precious metals sector (–3%) experienced double-digit declines for the period, as measured by the Bloomberg Commodity Index. The worst performer was the energy sector, as it plunged nearly 50% given a supply glut and falling demand. Slower growth in China negatively impacted several commodities, particularly industrial metals. Other headwinds included the strength of the U.S. dollar, which hurt certain energy prices, and the weakening Brazilian real, which pushed coffee and sugar prices sharply lower.
Despite the prolonged downturn, we see some signs of a potential bottom for certain commodities. The challenging supply/demand dynamics may become more balanced in the coming year as we already see a host of production cuts by exploration and production companies. Higher interest rates in the U.S. could also temper borrowing and production across a variety of industries. Elsewhere, growth in China has moderated as it transitions from a manufacturing-driven to a service-driven economy. The latter could lead to stronger demand for commodities that are needed for consumer products, such as automobiles, laptops and cell phones.
To be sure, it is not possible to predict when the commodity cycle will turn. In addition, given continued uncertainties around the globe, we are likely to experience periods of elevated volatility. However, in our view this can lead to opportunities for an actively managed commodities strategy such as ours. Finally, we maintain our belief that commodities are 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
Risk Balanced Commodity Strategy Fund Commentary (Unaudited)
Neuberger Berman Risk Balanced Commodity Strategy Fund1 Institutional Class generated a total return of –26.09% for the 12 months ended October 31, 2015 and underperformed its benchmark, the Bloomberg Commodity Index, which posted a –25.72% return for the period. (Performance for all share classes is provided in the table immediately following this letter.)
The overall commodity market generated poor results during the 12-month period. Weakness in the commodity complex was broad based, as all six sectors within the Bloomberg Commodity Index generated negative results. The weakest return came from the energy sector amid challenging supply/demand trends. The industrial metals sector was also hard hit given concerns over moderating growth in China and falling demand. The precious metals sector produced a more modest decline as it fell 3% over the period. In particular, the price of gold was fairly resilient.
The Fund's Dynamic Core strategy selects weights by focusing on risk, liquidity and yield. The Fund's underperformance relative to the benchmark was largely due to its positioning in the agriculture and precious metals sectors. In agriculture, underweights to soybeans, wheat and corn were not rewarded given these sectors' outperformance versus the benchmark. In the precious metals sector, an underweight to gold was a headwind for results. Relative contributors to performance included the Fund's positioning in the energy, livestock, softs and industrial metals sectors. Within the energy sector, the Fund's underweight to natural gas was beneficial given its sharp decline. In the livestock sector, an overweight to feeder cattle was rewarded as it declined less than the benchmark. Within the softs sectors, an out-of-index allocation to cocoa was additive to results as it posted a double-digit gain during the period. In the industrial metals sector, the benefit of having an out-of-index allocation to lead and an underweight to aluminum offset losses from an overweight to nickel.
The Fund's Tactical Strategy actively manages the Dynamic Core exposures by seeking to take 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 seeks to gain exposure to the commodity markets by investing, directly or indirectly, in futures contracts on individual commodities and other commodity-linked derivative instruments). The Fund's use of derivatives modestly detracted from performance during the reporting period. The losses were in part due to tilts that originated as a result of macroeconomic indicators suggesting that growth would continue to expand albeit at a moderate rate, and despite these conditions unfolding for the most part, defensive commodities rallied.
Looking ahead, we anticipate seeing periods of heightened volatility in the commodity market. This could be driven by a number of factors, including mixed global economic data, shifting monetary policy and geopolitical factors. On the upside, we believe certain commodity prices could be getting closer to stabilizing as supply and demand trends become more balanced. From a portfolio positioning perspective, we have taken a somewhat more defensive stance. In particular, we have reduced our exposures to the energy and industrial metals sectors. Conversely, we have increased our allocation to precious metals and certain commodities in the agriculture and softs sectors that have historically been less volatile.
Sincerely,
WAI LEE, HAKAN KAYA AND THOMAS SONTAG
PORTFOLIO MANAGERS
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 without notice.
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.
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 | 19.7 | % | |||||
Certificates of Deposit | 2.7 | ||||||
Corporate Debt Securities | 45.7 | ||||||
U.S. Treasury Securities | 11.4 | ||||||
Short-Term Investments | 15.6 | ||||||
Cash, receivables and other assets, less liabilities | 4.9 | ||||||
Total | 100.0 | % |
* Derivatives are excluded from this chart.
PORTFOLIO BY INVESTMENT
EXPOSURE TO COMMODITY
DERIVATIVES
(as a % of Total Notional Value) | |||||||
Commodity Futures: | |||||||
Agriculture | 17.4 | % | |||||
Energy | 29.1 | ||||||
Industrial Metals | 17.3 | ||||||
Livestock | 9.0 | ||||||
Precious Metals | 20.2 | ||||||
Softs | 7.0 | ||||||
Total | 100.0 | % |
PERFORMANCE HIGHLIGHTS2
Inception | Average Annual Total Return Ended 10/31/2015 | ||||||||||||||
Date | 1 Year | Life of Fund | |||||||||||||
At NAV | |||||||||||||||
Institutional Class | 08/27/2012 | –26.09 | % | –13.95 | % | ||||||||||
Class A | 08/27/2012 | –26.43 | % | –14.30 | % | ||||||||||
Class C | 08/27/2012 | –26.98 | % | –14.92 | % | ||||||||||
With Sales Charge | |||||||||||||||
Class A | –30.68 | % | –15.88 | % | |||||||||||
Class C | –27.71 | % | –14.92 | % | |||||||||||
Index | |||||||||||||||
Bloomberg Commodity Index1,3 | –25.72 | % | –14.73 | % |
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 annual period ending October 31, 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.
Risk Balanced Commodity Strategy Fund
COMPARISON OF A $1,000,000 INVESTMENT
(000's omitted)
This graph shows the change in value of a hypothetical $1,000,000 investment in the Fund over the past 10 fiscal years, or since the Fund's inception if it has not operated for 10 years. The graph is based on the Institutional Class shares only; the performance of the Fund's share classes will differ primarily due to different sales charge structures and class expenses (see Performance Highlights chart on previous page). The result is compared with benchmarks, which include a broad-based market index and may include a more narrowly based index. Market indices have not been reduced to reflect any of the fees and costs of investing. The results shown in the graph 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. Results represent past performance and do not indicate future results.
Endnotes
1 Please see "Description of Index" on page 6 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* 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.
* On or about January 1, 2016, it is anticipated that Neuberger Berman Management LLC (NBM) and Neuberger Berman LLC (NB LLC) will transfer to Neuberger Berman Fixed Income LLC (NBFI) their rights and obligations pertaining to all services they provide to any Fund under any investment management, investment sub-advisory, and/or administration agreement, as applicable (the "Agreements"). Following such transfer, NBFI will be renamed Neuberger Berman Investment Advisers LLC (NBIA). In addition, on the date of the transfer, the services previously provided by NB Alternative Investment Management LLC (NBAIM) will be provided by NBIA.
NBM currently serves as the Fund's investment manager and administrator and each of NB LLC, NBFI and NBAIM currently serve as certain Funds' adviser or sub-adviser. Following the consolidation, the investment professionals of NBM, NB LLC, NBFI and NBAIM who currently provide services to the Fund under the Agreements will continue to provide the same services, except that they will provide those services in their new capacities as investment professionals of NBIA. Further, the consolidation will not result in any change in the investment processes currently employed by the Fund, the nature or level of services provided to the Fund, or the fees the Fund pays under its Agreements.
Description of Index
Bloomberg 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. |
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 October 31, 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.
Expense Information as of 10/31/15 (Unaudited)
Neuberger Berman Alternative and Multi-Asset Class Funds | |||||||||||||||||||||||||||||||||||
ACTUAL | HYPOTHETICAL (5% ANNUAL RETURN BEFORE EXPENSES)(2) | ||||||||||||||||||||||||||||||||||
Beginning Account Value 5/1/15 | Ending Account Value 10/31/15 | Expenses Paid During the Period(1) 5/1/15 - 10/31/15 | Expense Ratio | Beginning Account Value 5/1/15 | Ending Account Value 10/31/15 | Expenses Paid During the Period(1) 5/1/15 - 10/31/15 | Expense Ratio | ||||||||||||||||||||||||||||
Risk Balanced Commodity Strategy Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 845.80 | $ | 5.12 | 1.10 | % | $ | 1,000.00 | $ | 1,019.66 | $ | 5.60 | 1.10 | % | |||||||||||||||||||
Class A | $ | 1,000.00 | $ | 843.00 | $ | 6.78 | 1.46 | % | $ | 1,000.00 | $ | 1,017.85 | $ | 7.43 | 1.46 | % | |||||||||||||||||||
Class C | $ | 1,000.00 | $ | 841.10 | $ | 10.26 | 2.21 | % | $ | 1,000.00 | $ | 1,014.06 | $ | 11.22 | 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 in the Notes to Consolidated Financial Statements), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown).
(2) Hypothetical expenses are equal to the annualized expense ratios for each class, multiplied by the average account value over the period (assuming a 5% annual return), multiplied by 184/365 (to reflect the one-half year period shown).
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund 10/31/15
PRINCIPAL AMOUNT | VALUE† | ||||||||
U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government (11.4%) | |||||||||
$ | 5,500,000 | U.S. Treasury Notes, 0.25%, due 11/30/15 & 2/29/16 | $ | 5,500,993 | |||||
2,500,000 | U.S. Treasury Notes, 0.38%, due 1/15/16 | 2,501,172 | |||||||
Total U.S. Treasury Securities-Backed by the Full Faith and Credit of the U.S. Government (Cost $8,003,364) | 8,002,165 | ||||||||
Asset-Backed Securities (19.7%) | |||||||||
42,083 | Ally Auto Receivables Trust, Ser. 2013-1, Class A3, 0.63%, due 5/15/17 | 42,077 | |||||||
700,009 | Ally Auto Receivables Trust, Ser. 2012-4, Class A4, 0.80%, due 10/16/17 | 699,772 | |||||||
525,000 | Ally Auto Receivables Trust, Ser. 2015-1, Class A2, 0.92%, due 2/15/18 | 525,102 | |||||||
375,000 | Bank of America Credit Card Trust, Ser. 2014-A2, Class A, 0.47%, due 9/16/19 | 374,400 | µ | ||||||
990,000 | Capital One Multi-Asset Execution Trust, Ser. 2007-A2, Class A2, 0.28%, due 12/16/19 | 985,577 | µ | ||||||
180,705 | CarMax Auto Owner Trust, Ser. 2012-3, Class A3, 0.52%, due 7/17/17 | 180,614 | |||||||
486,048 | CarMax Auto Owner Trust, Ser. 2013-1, Class A3, 0.60%, due 10/16/17 | 485,704 | |||||||
1,300,000 | Chase Issuance Trust, Ser. 2014-A4, Class A4, 0.45%, due 4/16/18 | 1,299,424 | µ | ||||||
1,000,000 | Citibank Credit Card Issuance Trust, Ser. 2005-A9, Class A9, 5.10%, due 11/20/17 | 1,002,390 | |||||||
172,056 | Ford Credit Auto Owner Trust, Ser. 2013-B, Class A3, 0.57%, due 10/15/17 | 172,019 | |||||||
270,612 | Ford Credit Auto Owner Trust, Ser. 2013-C, Class A3, 0.82%, due 12/15/17 | 270,632 | |||||||
630,339 | Honda Auto Receivables Owner Trust, Ser. 2014-3, Class A2, 0.48%, due 12/15/16 | 630,175 | |||||||
530,000 | Huntington Auto Trust, Ser. 2015-1, Class A2, 0.76%, due 10/16/17 | 529,517 | |||||||
466,490 | Hyundai Auto Receivables Trust, Ser. 2015-A, Class A2, 0.68%, due 10/16/17 | 466,432 | |||||||
438,458 | Navient Student Loan Trust, Ser. 2014-8, Class A1, 0.48%, due 8/25/20 | 436,266 | µ | ||||||
94,267 | Nelnet Student Loan Trust, Ser. 2006-1, Class A4, 0.42%, due 11/23/22 | 93,842 | µ | ||||||
44,678 | Nissan Auto Receivables Owner Trust, Ser. 2013-A, Class A3, 0.50%, due 5/15/17 | 44,671 | |||||||
1,445,000 | Nissan Auto Receivables Owner Trust, Ser. 2015-A, Class A2, 0.67%, due 9/15/17 | 1,444,765 | |||||||
467,854 | Nissan Auto Receivables Owner Trust, Ser. 2013-B, Class A3, 0.84%, due 11/15/17 | 467,971 | |||||||
590,000 | Penarth Master Issuer PLC, Ser. 2015-2A, Class A1, 0.60%, due 5/18/19 | 588,042 | ñµ | ||||||
287,030 | SLM Student Loan Trust, Ser. 2014-2, Class A1, 0.45%, due 7/25/19 | 286,408 | µ | ||||||
624,245 | SLM Student Loan Trust, Ser. 2005-9, Class A5, 0.44%, due 1/27/25 | 621,886 | µ | ||||||
352,027 | Toyota Auto Receivables Owner Trust, Ser. 2014-B, Class A2, 0.40%, due 12/15/16 | 351,922 | |||||||
755,000 | Toyota Auto Receivables Owner Trust, Ser. 2015-A, Class A2, 0.71%, due 7/17/17 | 755,005 | |||||||
1,155,000 | USAA Auto Owner Trust, Ser. 2015-1, Class A2, 0.82%, due 3/15/18 | 1,157,164 | |||||||
Total Asset-Backed Securities (Cost $14,004,671) | 13,911,777 | ||||||||
Corporate Debt Securities (45.7%) | |||||||||
Aerospace & Defense (1.1%) | |||||||||
805,000 | Rockwell Collins, Inc., Senior Unsecured Notes, 0.69%, due 12/15/16 | 803,936 | µ | ||||||
Agriculture (1.5%) | |||||||||
1,035,000 | BAT Int'l PLC, Guaranteed Notes, 0.85%, due 6/15/18 | 1,034,141 | ñµ | ||||||
Auto Manufacturers (5.1%) | |||||||||
965,000 | American Honda Finance Corp., Senior Unsecured Notes, 0.82%, due 10/7/16 | 967,692 | µ | ||||||
1,100,000 | Daimler Finance N.A. LLC, Guaranteed Notes, 0.67%, due 8/1/17 | 1,090,154 | ñµ | ||||||
1,120,000 | Toyota Motor Credit Corp., Senior Unsecured Medium-Term Notes, 0.43%, due 9/23/16 | 1,119,158 | µ | ||||||
445,000 | Toyota Motor Credit Corp., Senior Unsecured Notes, 0.61%, due 5/17/16 | 445,489 | µ | ||||||
3,622,493 |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (cont'd)
PRINCIPAL AMOUNT | VALUE† | ||||||||
Banks (13.2%) | |||||||||
$ | 710,000 | Bank of America N.A., Senior Unsecured Notes, 0.78%, due 11/14/16 | $ | 709,910 | µ | ||||
490,000 | Bank of Montreal, Senior Unsecured Medium-Term Notes, 0.84%, due 7/15/16 | 491,033 | µ | ||||||
1,000,000 | Bank of New York Mellon Corp., Senior Unsecured Medium-Term Notes, 0.56%, due 3/4/16 | 1,000,503 | µ | ||||||
965,000 | HSBC USA, Inc., Senior Unsecured Notes, 0.63%, due 6/23/17 | 959,794 | µ | ||||||
1,605,000 | JPMorgan Chase & Co., Senior Unsecured Notes, 0.84%, due 2/15/17 | 1,604,332 | µ | ||||||
530,000 | Mizuho Bank Ltd., Guaranteed Notes, 0.75%, due 4/16/17 | 528,067 | ñµ | ||||||
875,000 | Morgan Stanley, Senior Unsecured Notes, 1.58%, due 2/25/16 | 877,322 | µ | ||||||
395,000 | National Australia Bank Ltd., Senior Unsecured Notes, 0.87%, due 7/25/16 | 395,939 | µ | ||||||
450,000 | Svenska Handelsbanken AB, Senior Unsecured Notes, 0.80%, due 9/23/16 | 450,902 | µ | ||||||
920,000 | U.S. Bank N.A., Senior Unsecured Bank Notes, 0.55%, due 1/30/17 | 919,573 | µ | ||||||
1,340,000 | Wells Fargo & Co., Senior Unsecured Medium-Term Notes, 0.59%, due 9/8/17 | 1,334,481 | µ | ||||||
9,271,856 | |||||||||
Commercial Services (0.8%) | |||||||||
575,000 | ERAC USA Finance LLC, Guaranteed Notes, 5.90%, due 11/15/15 | 575,916 | ñb | ||||||
Computers (0.6%) | |||||||||
390,000 | Apple, Inc., Senior Unsecured Notes, 0.37%, due 5/5/17 | 389,823 | µ | ||||||
Diversified Financial Services (2.3%) | |||||||||
1,639,000 | GE Capital Int'l Funding Co., Guaranteed Notes, 0.96%, due 4/15/16 | 1,638,677 | ñ | ||||||
Electric (0.6%) | |||||||||
460,000 | Electricite de France, Senior Unsecured Notes, 0.78%, due 1/20/17 | 459,765 | ñµ | ||||||
Healthcare—Products (2.1%) | |||||||||
1,470,000 | Medtronic, Inc., Guaranteed Notes, 0.42%, due 2/27/17 | 1,464,146 | µ | ||||||
Healthcare—Services (0.5%) | |||||||||
370,000 | UnitedHealth Group, Inc., Senior Unsecured Notes, 0.77%, due 1/17/17 | 370,412 | µ | ||||||
Insurance (1.4%) | |||||||||
210,000 | Berkshire Hathaway Finance Corp., Guaranteed Notes, 0.47%, due 1/10/17 | 209,941 | µ | ||||||
270,000 | Metropolitan Life Global Funding I, Secured Notes, 0.85%, due 7/15/16 | 270,682 | ñµ | ||||||
495,000 | Principal Life Global Funding II, Senior Secured Notes, 0.70%, due 5/27/16 | 495,647 | ñµ | ||||||
976,270 | |||||||||
Machinery—Construction & Mining (1.1%) | |||||||||
800,000 | Caterpillar Financial Services Corp., Senior Unsecured Global Medium-Term Notes, | 797,290 | µ | ||||||
0.51%, due 6/9/17 |
| ||||||||
Machinery Diversified (0.3%) | |||||||||
210,000 | John Deere Capital Corp., Senior Unsecured Notes, 0.61%, due 10/11/16 | 210,224 | µ |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (cont'd)
PRINCIPAL AMOUNT | VALUE† | ||||||||||
Media (1.1%) | |||||||||||
$ | 770,000 | NBCUniversal Enterprise, Inc., Guaranteed Notes, 0.86%, due 4/15/16 | $ | 770,867 | ñµ | ||||||
Mining (1.0%) | |||||||||||
690,000 | BHP Billiton Finance USA Ltd., Guaranteed Notes, 0.58%, due 9/30/16 | 688,859 | µ | ||||||||
Oil & Gas (4.5%) | |||||||||||
535,000 | BP Capital Markets PLC, Guaranteed Notes, 0.73%, due 11/7/16 | 534,728 | µ | ||||||||
1,350,000 | Chevron Corp., Senior Unsecured Notes, 0.50%, due 3/2/18 | 1,343,076 | µ | ||||||||
400,000 | Devon Energy Corp., Senior Unsecured Notes, 0.79%, due 12/15/15 | 400,023 | µ | ||||||||
910,000 | EOG Resources, Inc., Senior Unsecured Notes, 2.50%, due 2/1/16 | 913,104 | |||||||||
3,190,931 | |||||||||||
Pharmaceuticals (1.6%) | |||||||||||
335,000 | Bayer US Finance LLC, Guaranteed Notes, 0.57%, due 10/7/16 | 334,602 | ñµ | ||||||||
500,000 | Merck & Co., Inc., Senior Unsecured Notes, 2.25%, due 1/15/16 | 501,965 | |||||||||
290,000 | Merck & Co., Inc., Senior Unsecured Notes, 0.51%, due 5/18/16 | 290,214 | µ | ||||||||
1,126,781 | |||||||||||
Pipelines (1.7%) | |||||||||||
1,165,000 | TransCanada PipeLines Ltd., Senior Unsecured Notes, 1.01%, due 6/30/16 | 1,164,357 | µ | ||||||||
Software (1.2%) | |||||||||||
825,000 | Oracle Corp., Senior Unsecured Notes, 0.52%, due 7/7/17 | 824,856 | µ | ||||||||
Telecommunications (2.9%) | |||||||||||
1,450,000 | Cisco Systems, Inc., Senior Unsecured Notes, 0.61%, due 3/3/17 | 1,450,654 | µ | ||||||||
600,000 | Verizon Communications, Inc., Senior Unsecured Notes, 0.70%, due 11/2/15 | 600,000 | |||||||||
2,050,654 | |||||||||||
Transportation (1.1%) | |||||||||||
770,000 | Canadian National Railway Co., Senior Unsecured Notes, 0.50%, due 11/6/15 | 769,995 | µ | ||||||||
Total Corporate Debt Securities (Cost $32,250,018) | 32,202,249 | ||||||||||
Certificates of Deposit (2.7%) | |||||||||||
480,000 | Credit Suisse New York, Yankee CD, 0.74%, due 12/7/15 | 480,000 | µ | ||||||||
950,000 | Nordea Bank Finland PLC, Yankee CD1, 0.41%, due 6/13/16 | 950,014 | µ | ||||||||
450,000 | Sumitomo Mitsui Banking Corp., Yankee CD, 0.56%, due 3/3/16 | 449,939 | µ | ||||||||
Total Certificates of Deposit (Cost $1,880,000) | 1,879,953 |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Risk Balanced Commodity Strategy Fund (cont'd)
NUMBER OF SHARES | VALUE† | ||||||||||
Short-Term Investments (15.6%) | |||||||||||
10,956,557 | State Street Institutional Government Money Market Fund Premier Class, 0.00% (Cost $10,956,557) | $ | 10,956,557 | ††ØØc | |||||||
Total Investments (95.1%) (Cost $67,094,610) | 66,952,701 | ## | |||||||||
Cash, receivables and other assets, less liabilities (4.9%) | 3,453,238 | ± | |||||||||
Total Net Assets (100.0%) | $ | 70,405,939 |
See Notes to Consolidated Schedule of Investments
Notes to Consolidated Schedule of Investments
† 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 the 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.
The value of commodity futures contracts ("commodity futures") 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 non-exchange traded investment companies are valued using the fund's daily calculated net asset value per share (Level 2 inputs).
See Notes to Consolidated Financial Statements
Notes to Consolidated Schedule of Investments (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 October 31, 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 | $ | — | $ | 8,002,165 | $ | — | $ | 8,002,165 | |||||||||||
Asset-Backed Securities | — | 13,911,777 | — | 13,911,777 | |||||||||||||||
Corporate Debt Securities^ | — | 32,202,249 | — | 32,202,249 | |||||||||||||||
Certificates of Deposit | — | 1,879,953 | — | 1,879,953 | |||||||||||||||
Short-Term Investments | — | 10,956,557 | — | 10,956,557 | |||||||||||||||
Total Investments | $ | — | $ | 66,952,701 | $ | — | $ | 66,952,701 |
^ The Consolidated Schedule of Investments provides information on the industry categorization for the portfolio.
As of the year ended October 31, 2015, no securities were transferred from one level (as of October 31, 2014) to another.
See Notes to Consolidated Financial Statements
Notes to Consolidated Schedule of Investments (cont'd)
The following is a summary, categorized by Level, of inputs used to value the Fund's derivatives as of October 31, 2015:
Asset Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Commodity Futures (unrealized appreciation) | $ | 2,887,337 | $ | — | $ | — | $ | 2,887,337 | |||||||||||
Liability Valuation Inputs | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Commodity Futures (unrealized depreciation) | $ | (2,227,947 | ) | $ | — | $ | — | $ | (2,227,947 | ) |
## At October 31, 2015, the cost of investments for U.S. federal income tax purposes was $67,094,610. Gross unrealized appreciation of investments was $7,406 and gross unrealized depreciation of investments was $149,315, resulting in net unrealized depreciation of $141,909 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 otherwise restricted 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 October 31, 2015, these securities amounted to $7,786,560 or 11.1% of net assets.
ØØ All or a portion of this security is segregated in connection with obligations for commodity futures.
†† 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 in the Notes to Consolidated Financial Statements.
b 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 The rate shown is the annualized seven day yield at year-end.
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 October 31, 2015, and their final maturities.
± See Note A in the Notes to Consolidated Financial Statements for the Fund's or Subsidiary's open positions in derivatives at October 31, 2015.
See Notes to Consolidated Financial Statements
Consolidated Statement of Assets and Liabilities*
Neuberger Berman Alternative Funds
RISK BALANCED COMMODITY STRATEGY FUND | |||||
October 31, 2015 | |||||
Assets | |||||
Investments in securities, at value ** (Notes A)—see Schedule of Investments: | |||||
Unaffiliated issuers | $ | 66,952,701 | |||
Cash | 1,238 | ||||
Cash collateral segregated for commodity futures contracts (Note A) | 5,044,672 | ||||
Interest receivable | 89,139 | ||||
Receivable for securities sold | 751,703 | ||||
Receivable for Fund shares sold | 297,349 | ||||
Receivable for variation margin on commodity futures contracts (Note A) | 208,404 | ||||
Prepaid expenses and other assets | 23,940 | ||||
Total Assets | 73,369,146 | ||||
Liabilities | |||||
Payable for securities purchased | 2,502,262 | ||||
Payable for Fund shares redeemed | 217,569 | ||||
Payable to investment manager—net (Note B) | 49,464 | ||||
Payable to trustees | 2,189 | ||||
Payable to administrator—net (Note B) | 32,626 | ||||
Accrued expenses and other payables | 159,097 | ||||
Total Liabilities | 2,963,207 | ||||
Net Assets | $ | 70,405,939 | |||
Net Assets consist of: | |||||
Paid-in capital | $ | 70,457,772 | |||
Undistributed net investment income (loss) | (566,077 | ) | |||
Accumulated net realized gains (losses) on investments | (3,237 | ) | |||
Net unrealized appreciation (depreciation) in value of investments | 517,481 | ||||
Net Assets | $ | 70,405,939 | |||
Net Assets | |||||
Institutional Class | $ | 31,761,085 | |||
Class A | 35,510,311 | ||||
Class C | 3,134,543 | ||||
Shares Outstanding ($.001 par value; unlimited shares authorized) | |||||
Institutional Class | 5,125,662 | ||||
Class A | 5,798,920 | ||||
Class C | 524,425 | ||||
Net Asset Value, offering and redemption price per share | |||||
Institutional Class | $ | 6.20 | |||
Net Asset Value and redemption price per share | |||||
Class A | $ | 6.12 | |||
Offering Price per share | |||||
Class A‡ | $ | 6.49 | |||
Net Asset Value and offering price per share | |||||
Class C^ | $ | 5.98 | |||
** Cost of Investments | $ | 67,094,610 |
‡ 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 Note A of the Notes to Consolidated Financial Statements.
See Notes to Consolidated Financial Statements
Consolidated Statement of Operations*
Neuberger Berman Alternative Funds
RISK BALANCED COMMODITY STRATEGY FUND | |||||
For the Year Ended October 31, 2015 | |||||
Investment Income: | |||||
Income (Note A): | |||||
Interest income—unaffiliated issuers | $ | 355,137 | |||
Expenses: | |||||
Investment management fees (Note B) | 595,524 | ||||
Administration fees (Note B) | 51,045 | ||||
Administration fees (Note B): | |||||
Institutional Class | 22,923 | ||||
Class A | 112,030 | ||||
Class C | 7,180 | ||||
Distribution fees (Note B): | |||||
Class A | 140,037 | ||||
Class C | 35,901 | ||||
Shareholder servicing agent fees: | |||||
Institutional Class | 2,112 | ||||
Class A | 15,366 | ||||
Class C | 4,772 | ||||
Subsidiary administration fees (Note B) | 50,000 | ||||
Audit fees | 81,100 | ||||
Custodian and accounting fees | 78,957 | ||||
Insurance expense | 2,574 | ||||
Legal fees | 118,739 | ||||
Registration and filing fees | 63,213 | ||||
Shareholder reports | 49,262 | ||||
Trustees' fees and expenses | 34,041 | ||||
Miscellaneous | 35,116 | ||||
Total expenses | 1,499,892 | ||||
Expenses reimbursed by Management (Note B) | (322,513 | ) | |||
Total net expenses | 1,177,379 | ||||
Net investment loss | $ | (822,242 | ) | ||
Realized and Unrealized Gain (Loss) on Investments (Note A): | |||||
Net realized gain (loss) on: | |||||
Sales of investment securities of unaffiliated issuers | (3,237 | ) | |||
Commodity futures contracts | (27,878,955 | ) | |||
Change in net unrealized appreciation (depreciation) in value of: | |||||
Unaffiliated investment securities | (105,800 | ) | |||
Commodity futures contracts | 4,785,259 | ||||
Net gain (loss) on investments | (23,202,733 | ) | |||
Net increase (decrease) in net assets resulting from operations | $ | (24,024,975 | ) |
* See Note A of the Notes to Consolidated Financial Statements.
See Notes to Consolidated Financial Statements
Consolidated Statements of Changes in Net Assets*
Neuberger Berman Alternative Funds
RISK BALANCED COMMODITY STRATEGY FUND | |||||||||||
Year Ended October 31, 2015 | Year Ended October 31, 2014 | ||||||||||
Increase (Decrease) in Net Assets: | |||||||||||
From Operations (Note A): | |||||||||||
Net investment income (loss) | $ | (822,242 | ) | $ | (734,530 | ) | |||||
Net realized gain (loss) on investments | (27,882,192 | ) | (3,800,407 | ) | |||||||
Change in net unrealized appreciation (depreciation) of investments | 4,679,459 | (3,938,974 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | (24,024,975 | ) | (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 | 26,233,700 | 13,347,175 | |||||||||
Class A | 43,996,395 | 50,351,242 | |||||||||
Class C | 1,946,364 | 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 | (7,817,274 | ) | (911,849 | ) | |||||||
Class A | (59,467,426 | ) | (12,022,096 | ) | |||||||
Class C | (1,942,796 | ) | (507,868 | ) | |||||||
Net increase (decrease) from Fund share transactions | 2,956,368 | 51,775,093 | |||||||||
Net Increase (Decrease) in Net Assets | (21,076,036 | ) | 43,301,182 | ||||||||
Net Assets: | |||||||||||
Beginning of year | 91,481,975 | 48,180,793 | |||||||||
End of year | $ | 70,405,939 | $ | 91,481,975 | |||||||
Undistributed net investment income (loss) at end of year | $ | (566,077 | ) | $ | (531,223 | ) |
* See Note A of the Notes to Consolidated Financial Statements.
See Notes to Consolidated Financial Statements
Notes to Consolidated Financial Statements Risk Balanced Commodity Strategy Fund
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 October 31, 2015, the value of the Fund's investment in the Subsidiary was as follows:
Investment in Subsidiary | Percentage of Net Assets | ||||||
$ | 12,759,556 | 18.1 | % |
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 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 October 31, 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, 2015, 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, return of capital distributions, 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, 2015, the Fund recorded the following permanent reclassifications:
Paid-in Capital | Undistributed Net Investment Income (Loss) | Accumulated Net Realized Gains (Losses) on Investments | |||||||||
$ | (28,672,734 | ) | $ | 787,388 | $ | 27,885,346 |
The tax character of distributions paid during the years ended October 31, 2015 and October 31, 2014, was as follows:
Distributions Paid From: | |||||||||||||||||||||||
Ordinary Income | Long-Term Capital Gain | Total | |||||||||||||||||||||
2015 | 2014 | 2015 | 2014 | 2015 | 2014 | ||||||||||||||||||
$ | 5,572 | $ | — | $ | 1,857 | $ | — | $ | 7,429 | $ | — |
As of October 31, 2015, 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 | ||||||||||||||||||
$ | — | $ | — | $ | (141,909 | ) | $ | (568,695 | ) | $ | 658,771 | $ | (51,833 | ) |
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 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, 2015, the Fund had unused capital loss carryforwards available for federal income tax purposes to offset net realized capital gains as follows.
Long-Term | Short-Term | ||||||
$ | — | $ | 3,237 |
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, 2015, the Fund elected to defer the following late-year ordinary losses and post October capital losses:
Late-Year Ordinary Loss Deferral | |||
$ | 565,458 |
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 year ended October 31, 2015, the Fund's use of derivatives was limited to commodity futures. 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.
Commodity futures contracts: During the year ended October 31, 2015, the Fund used commodity futures (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 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. 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 October 31, 2015, open positions in commodity futures(1) were:
Expiration | Open Contracts | Position | Unrealized Appreciation (Depreciation) | ||||||
November 2015 | 63 Lead | Long | $ | (26,750 | ) | ||||
November 2015 | 47 Nickel | Long | (249,511 | ) | |||||
November 2015 | 41 Premium High Grade Aluminum | Long | (182,258 | ) | |||||
November 2015 | 74 Zinc | Long | (431,600 | ) | |||||
December 2015 | 70 Lead | Long | (51,432 | ) | |||||
December 2015 | 49 Nickel | Long | 88,029 | ||||||
December 2015 | 37 Premium High Grade Aluminum | Long | (118,067 | ) | |||||
December 2015 | 73 Zinc | Long | (181,842 | ) | |||||
January 2016 | 17 Feeder Cattle | Long | 113,955 | ||||||
January 2016 | 73 Lead | Long | 28,539 |
Unrealized Appreciation Expiration | Open Contracts | Position | (Depreciation) | ||||||
January 2016 | 49 Nickel | Long | $ | (59,757 | ) | ||||
January 2016 | 87 Platinum | Long | (59,509 | ) | |||||
January 2016 | 29 Premium High Grade Aluminum | Long | (81,160 | ) | |||||
January 2016 | 71 Zinc | Long | 21,484 | ||||||
February 2016 | 59 Gold 100 Oz. | Long | 153,990 | ||||||
February 2016 | 64 Lead | Long | (92,622 | ) | |||||
February 2016 | 103 Lean Hogs | Long | (270,311 | ) | |||||
February 2016 | 39 Live Cattle | Long | 140,895 | ||||||
February 2016 | 92 Low Sulphur Gasoil | Long | 154,351 | ||||||
February 2016 | 60 Natural Gas | Long | (24,318 | ) | |||||
February 2016 | 56 New York Harbor ULSD | Long | 166,937 | ||||||
February 2016 | 45 Nickel | Long | (125,842 | ) | |||||
February 2016 | 33 Premium High Grade Aluminum | Long | (8,840 | ) | |||||
February 2016 | 65 RBOB Gasoline | Long | 224,941 | ||||||
February 2016 | 73 WTI Crude Oil | Long | 254,433 | ||||||
February 2016 | 56 Zinc | Long | (50,595 | ) | |||||
March 2016 | 73 Brent Crude Oil | Long | 207,209 | ||||||
March 2016 | 47 Cocoa | Long | 53,855 | ||||||
March 2016 | 17 Coffee 'C' | Long | 539 | ||||||
March 2016 | 54 Copper | Long | 2,253 | ||||||
March 2016 | 216 Corn | Long | (88,454 | ) | |||||
March 2016 | 51 Cotton No. 2 | Long | 46,950 | ||||||
March 2016 | 63 Hard Red Winter Wheat | Long | 792 | ||||||
March 2016 | 42 Silver | Long | 214,299 | ||||||
March 2016 | 36 Soybean | Long | (5,426 | ) | |||||
March 2016 | 66 Soybean Meal | Long | 5,591 | ||||||
March 2016 | 63 Soybean Oil | Long | 13,572 | ||||||
March 2016 | 61 Sugar 11 | Long | 140,548 | ||||||
March 2016 | 69 Wheat | Long | 46,888 | ||||||
November 2015 | 63 Lead | Short | 46,636 | ||||||
November 2015 | 47 Nickel | Short | (84,764 | ) | |||||
November 2015 | 41 Premium High Grade Aluminum | Short | 132,338 | ||||||
November 2015 | 74 Zinc | Short | 195,379 | ||||||
December 2015 | 70 Lead | Short | (23,541 | ) | |||||
December 2015 | 49 Nickel | Short | 54,646 | ||||||
December 2015 | 37 Premium High Grade Aluminum | Short | 101,508 | ||||||
December 2015 | 73 Zinc | Short | (11,348 | ) | |||||
January 2016 | 73 Lead | Short | 91,508 | ||||||
January 2016 | 49 Nickel | Short | 121,809 | ||||||
January 2016 | 29 Premium High Grade Aluminum | Short | 6,405 | ||||||
January 2016 | 71 Zinc | Short | 57,058 | ||||||
$ | 659,390 |
(1) Commodity futures are held by the Subsidiary. See Note A in the Notes to Consolidated Financial Statements.
For the year ended October 31, 2015, the average notional value of commodity futures was $123,813,654 for long positions and $(38,746,287) for short positions.
At October 31, 2015, the notional value of commodity futures was $101,375,538 for long positions and $(30,632,943) for short positions.
At October 31, 2015, the Fund had deposited $5,044,672 in a segregated account to cover margin requirements on open commodity futures.
At October 31, 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 | ||||||||||
Receivable/Payable for | |||||||||||
Commodity Futures | $ | 2,887,337 | variation margin on | ||||||||
Total Value | $ | 2,887,337 | commodity futures contracts(1) |
Liability Derivatives
Commodity Risk | Consolidated Statement of Assets and Liabilities Location | ||||||||||
Receivable/Payable for | |||||||||||
Commodity Futures | $ | (2,227,947 | ) | variation margin on | |||||||
Total Value | $ | (2,227,947 | ) | commodity futures contracts(1) |
(1) "Commodity Futures" reflects the cumulative appreciation (depreciation) of commodity futures contracts as of October 31, 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 October 31, 2015, if any, is reflected in the Consolidated Statement of Assets and Liabilities under the caption "Receivable/Payable for variation margin on futures contracts."
The impact of the use of these derivative instruments on the Consolidated Statement of Operations during the year ended October 31, 2015, was as follows:
Realized Gain (Loss)
Commodity Risk | Consolidated Statement of Operations Location | ||||||||||
Net realized gain | |||||||||||
Commodity Futures | $ | (27,878,955 | ) | (loss) on: commodity | |||||||
Total Realized Gain (Loss) | $ | (27,878,955 | ) | futures contracts |
Change in Appreciation (Depreciation)
Commodity Risk | |||||||||||
Change in net | |||||||||||
Commodity Futures | $ | 4,785,259 | unrealized appreciation (depreciation) in value of: | ||||||||
Total Change in Appreciation (Depreciation) | $ | 4,785,259 | 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.
Note B—Investment Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions with Affiliates:
The Fund retains Management as its investment manager under an Investment 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 year ended October 31, 2015, the management fee pursuant to the Investment 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 year ended October 31, 2015, the management fee pursuant to the Investment 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 year ended October 31, 2015, these Subsidiary expenses amounted to $189,921.
During the year ended October 31, 2015, there was no repayment to Management under this agreement.
At October 31, 2015, contingent liabilities to Management under the agreement were as follows:
Expenses Reimbursed in Fiscal Period Ending October 31, | |||||||||||||||||||||||
2013 | 2014 | 2015 | |||||||||||||||||||||
Subject to Repayment Until October 31, | |||||||||||||||||||||||
Contractual Expense Limitation(1) | Expiration | 2016 | 2017 | 2018 | |||||||||||||||||||
Institutional Class | 1.10 | % | 10/31/18 | $ | 190,694 | $ | 79,267 | $ | 94,559 | ||||||||||||||
Class A | 1.46 | % | 10/31/18 | 236,827 | 260,968 | 210,384 | |||||||||||||||||
Class C | 2.21 | % | 10/31/18 | 29,935 | 27,833 | 17,570 |
(1) Expense limitation per annum of the respective class's average daily net assets.
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 year ended October 31, 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 | $ | 35 | $ | — | $ | — | $ | — | |||||||||||
Class C | — | 158 | — | — |
Note C—Securities Transactions:
During the year ended October 31, 2015, there were purchase and sale transactions of long-term securities (excluding commodity futures) of $17,543,852 and $25,372,427, respectively.
Note D—Fund Share Transactions:
Share activity for the years ended October 31, 2015 and October 31, 2014 was as follows:
For the Year Ended October 31, 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 | 3,786,310 | 224 | (1,104,024 | ) | 2,682,510 | 1,480,892 | (99,657 | ) | 1,381,235 | ||||||||||||||||||||||
Class A | 6,256,219 | 724 | (8,482,580 | ) | (2,225,637 | ) | 5,460,429 | (1,343,785 | ) | 4,116,644 | |||||||||||||||||||||
Class C | 278,804 | 37 | (267,615 | ) | 11,226 | 169,965 | (59,796 | ) | 110,169 |
Other: At October 31, 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 0.9% and 2.1% of the outstanding shares of the Fund, respectively.
Note E—Lines of Credit:
At October 31, 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. Series of other investment companies managed by Management also participate in this line of credit on substantially the same terms except that some do not have access to the full amount of the Credit Facility. Under the terms of the Credit Facility, the Fund has agreed to pay its 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 the level of its access to the Credit Facility, 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 October 31, 2015. During the period from January 9, 2015 (the commencement date of the Credit Facility) through October 31, 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, from November 1, 2014 through 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 October 31, 2015, the Fund did not utilize either line of credit with State Street.
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Consolidated Financial Highlights
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. Amounts that round to [$0.00 to less than $0.01] per share or [$(0.01) to less than $0.00] per share are presented as $0.00 or $(0.00), respectively. Ratios that round to [0.00% to less than 0.01%] or [(0.01)% to less than 0.00%] 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 Year | 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 Year | Total Return†† | Net Assets, End of Year (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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 8.39 | $ | (0.05 | ) | $ | (2.14 | ) | $ | (2.19 | ) | $ | — | $ | (0.00 | ) | $ | (0.00 | ) | $ | 6.20 | (26.09 | )% | $ | 31.8 | 1.47 | % | 1.10 | % | (0.67 | )% | 35 | % | ||||||||||||||||||||||||||
10/31/2014 | $ | 9.01 | $ | (0.07 | ) | $ | (0.55 | ) | $ | (0.62 | ) | $ | — | $ | — | $ | — | $ | 8.39 | (6.88 | )% | $ | 20.5 | 1.62 | % | 1.10 | % | (0.73 | )% | 21 | % | ||||||||||||||||||||||||||||
10/31/2013 | $ | 9.84 | $ | (0.09 | ) | $ | (0.74 | ) | $ | (0.83 | ) | $ | — | $ | — | $ | — | $ | 9.01 | (8.43 | )% | $ | 9.6 | 3.69 | % | 1.10 | % | (0.94 | )% | 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 | %*‡ | (0.99 | )%*‡ | 0 | %** | ||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 8.32 | $ | (0.07 | ) | $ | (2.13 | ) | $ | (2.20 | ) | $ | — | $ | (0.00 | ) | $ | (0.00 | ) | $ | 6.12 | (26.43 | )% | $ | 35.5 | 1.84 | % | 1.46 | % | (1.05 | )% | 35 | % | ||||||||||||||||||||||||||
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^ to10/31/2012 | $ | 10.00 | $ | (0.03 | ) | $ | (0.13 | ) | $ | (0.16 | ) | $ | — | $ | — | $ | — | $ | 9.84 | (1.60 | )%** | $ | 0.1 | 33.04 | %*‡ | 1.46 | %*‡ | (1.36 | )%*‡ | 0 | %** | ||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
10/31/2015 | $ | 8.19 | $ | (0.12 | ) | $ | (2.09 | ) | $ | (2.21 | ) | $ | — | $ | (0.00 | ) | $ | (0.00 | ) | $ | 5.98 | (26.98 | )% | $ | 3.1 | 2.70 | % | 2.21 | % | (1.79 | )% | 35 | % | ||||||||||||||||||||||||||
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
Notes to Consolidated Financial Highlights
†† 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.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees Neuberger Berman Alternative Funds
and Shareholders of Neuberger Berman Risk Balance Commodity Strategy Fund
We have audited the accompanying consolidated statement of assets and liabilities of Neuberger Berman Risk Balance Commodity Strategy Fund (the "Fund"), one of the series constituting the Neuberger Berman Alternative Funds, including the consolidated schedule of investments, as of October 31, 2015, and the related consolidated statement of operations for the year then ended, the consolidated statement of changes in net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund's internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2015 by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the consolidated financial position of Neuberger Berman Risk Balance Commodity Strategy Fund, a series of Neuberger Berman Alternative Funds, at October 31, 2015, and the consolidated results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
December 21, 2015
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
Trustees and Officers
The following tables set forth information concerning the Trustees and Officers of the Fund. All persons named as Trustees and Officers also serve in similar capacities for other funds administered or managed by Management and NBFI The Fund's Statement of Additional Information includes additional information about the Trustees as of the time of the Fund's most recent public offering and is available upon request, without charge, by calling (800) 877-9700.
Information about the Board of Trustees
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||||||||||
Independent Trustees | |||||||||||||||||||
Faith Colish (1935) | Trustee since inception | Counsel, Carter Ledyard & Milburn LLP (law firm) since October 2002; formerly, Attorney-at-Law and President, Faith Colish, A Professional Corporation, 1980 to 2002. | 59 | Formerly, Director, 1997 to 2003, and Advisory Director, 2003 to 2006, ABA Retirement Funds (formerly, American Bar Retirement Association) (not-for-profit membership corporation). | |||||||||||||||
Michael J. Cosgrove (1949) | Trustee since 2015 | President, Carragh Consulting USA, since 2014; formerly, Executive, General Electric Company, 1982 to 2014, including President, Mutual Funds and Global Investment Programs, GE Asset Management, 2011 to 2014, President and Chief Executive Officer, Mutual Funds and Intermediary Business, GE Asset Management, 2007 to 2011, and President, Institutional Sales and Marketing, GE Asset Management, 1998 to 2007. | 59 | Director, The Gabelli Go Anywhere Trust, since 2015; Director, America Press, Inc. (not-for-profit Jesuit publisher), since 2015; Director, Fordham University, since 2001; Director, Skin Cancer Foundation (not-for-profit), since 2006; formerly, Director, GE Investments Funds, Inc., 1997 to 2014; Trustee, GE Institutional Funds, 1997 to 2014; Director, GE Asset Management, 1988 to 2014; Director, Elfun Trusts, 1988 to 2014. |
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||||||||||
Marc Gary (1952) | Trustee since 2015 | Executive Vice Chancellor and Chief Operating Officer, Jewish Theological Seminary, since 2012; formerly, Executive Vice President and General Counsel, Fidelity Investments, 2007 to 2012; Executive Vice President and General Counsel, BellSouth Corporation, 2004 to 2007; Vice President and Associate General Counsel, BellSouth Corporation, 2000 to 2004; Associate, Partner, and National Litigation Practice Co-Chair, Mayer, Brown LLP, 1981 to 2000; Associate Independent Counsel, Office of Independent Counsel, 1990 to 1992. | 59 | Trustee, Jewish Theological Seminary, since 2015; Director, Counsel on Call (privately held for-profit company), since 2012; Director, Lawyers Committee for Civil Rights Under Law (not-for-profit), since 2005; formerly, Director, Equal Justice Works (not-for-profit), 2005 to 2014; Director, Corporate Counsel Institute, Georgetown University Law Center, 2007 to 2012; Director, Greater Boston Legal Services (not-for-profit), 2007 to 2012. | |||||||||||||||
Martha C. Goss (1949) | Trustee since 2007 | President, Woodhill Enterprises Inc./Chase Hollow Associates LLC (personal investment vehicle), since 2006; formerly, Consultant, Resources Global Professionals (temporary staffing), 2002 to 2006. | 59 | Director, American Water (water utility), since 2003; Director, Allianz Life of New York (insurance), since 2005; Director, Berger Group Holdings, Inc. (engineering consulting firm), since 2013; Director, Financial Women's Association of New York (not-for-profit association), since 2003; Trustee Emerita, Brown University, since 1998; Director, Museum of American Finance (not-for-profit), since 2013; formerly, Non-Executive Chair and Director, Channel Reinsurance (financial guaranty reinsurance), 2006 to 2010; formerly, Director, Ocwen Financial Corporation (mortgage servicing), 2005 to 2010; formerly, Director, Claire's Stores, Inc. (retailer), 2005 to 2007; formerly, Director, Parsons Brinckerhoff Inc. (engineering consulting firm), 2007 to 2010; formerly, Director, Bank Leumi (commercial bank), 2005 to 2007; formerly, Advisory Board Member, Attensity (software developer), 2005 to 2007. |
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||||||||||
Michael M. Knetter (1960) | Trustee since 2007 | President and Chief Executive Officer, University of Wisconsin Foundation, since October 2010; formerly, Dean, School of Business, University of Wisconsin—Madison; formerly, Professor of International Economics and Associate Dean, Amos Tuck School of Business—Dartmouth College, 1998 to 2002. | 59 | Board Member, American Family Insurance (a mutual company, not publicly traded), since March 2009; formerly, Trustee, Northwestern Mutual Series Fund, Inc., 2007 to 2011; formerly, Director, Wausau Paper, 2005 to 2011; formerly, Director, Great Wolf Resorts, 2004 to 2009. | |||||||||||||||
Howard A. Mileaf (1937) | Trustee since inception | Retired; formerly, Vice President and General Counsel, WHX Corporation (holding company), 1993 to 2001. | 59 | Formerly, Director, Webfinancial Corporation (holding company), 2002 to 2008; formerly, Director, WHX Corporation (holding company), 2002 to 2005; formerly, Director, State Theatre of New Jersey (not-for-profit theatre), 2000 to 2005. | |||||||||||||||
George W. Morriss (1947) | Trustee since 2007 | Adjunct Professor, Columbia University School of International and Public Affairs, since October 2012; formerly, Executive Vice President and Chief Financial Officer, People's Bank, Connecticut (a financial services company), 1991 to 2001. | 59 | Director and Treasurer, National Association of Corporate Directors, Connecticut Chapter, since 2011; Trustee, Steben Alternative Investment Funds, Steben Select Multi-Strategy Fund, and Steben Select Multi-Strategy Master Fund, since 2013; formerly, Manager, Larch Lane Multi-Strategy Fund complex (which consisted of three funds), 2006 to 2011; formerly, Member, NASDAQ Issuers' Affairs Committee, 1995 to 2003. |
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||||
Tom D. Seip (1950) | Trustee since inception; Chairman of the Board since 2008; formerly Lead Independent Trustee from 2006 to 2008 | General Partner, Ridgefield Farm LLC (a private investment vehicle); formerly, President and CEO, Westaff, Inc. (temporary staffing), May 2001 to January 2002; formerly, Senior Executive, The Charles Schwab Corporation, 1983 to 1998, including Chief Executive Officer, Charles Schwab Investment Management, Inc.; Trustee, Schwab Family of Funds and Schwab Investments, 1997 to 1998; and Executive Vice President-Retail Brokerage, Charles Schwab & Co., Inc., 1994 to 1997. | 59 | Director, H&R Block, Inc. (financial services company), since May 2001; Chairman, Governance and Nominating Committee, H&R Block, Inc., since 2011; formerly, Chairman, Compensation Committee, H&R Block, Inc., 2006 to 2010; formerly, Director, Forward Management, Inc. (asset management company), 1999 to 2006. | |||||||||
Candace L. Straight (1947) | Trustee since inception | Private investor and consultant specializing in the insurance industry; formerly, Advisory Director, Securitas Capital LLC (a global private equity investment firm dedicated to making investments in the insurance sector), 1998 to 2003. | 59 | Public Member, Board of Governors and Board of Trustees, Rutgers University, since 2011; Director, Montpelier Re Holdings Ltd. (reinsurance company), since 2006; formerly, Director, National Atlantic Holdings Corporation (property and casualty insurance company), 2004 to 2008; formerly, Director, The Proformance Insurance Company (property and casualty insurance company), 2004 to 2008; formerly, Director, Providence Washington Insurance Company (property and casualty insurance company), 1998 to 2006; formerly, Director, Summit Global Partners (insurance brokerage firm), 2000 to 2005. | |||||||||
Peter P. Trapp (1944) | Trustee since inception | Retired; formerly, Regional Manager for Mid-Southern Region, Ford Motor Credit Company, September 1997 to 2007; formerly, President, Ford Life Insurance Company, April 1995 to August 1997. | 59 | None. |
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||||||||||
Trustees who are "Interested Persons" | |||||||||||||||||||
Joseph V. Amato* (1962) | Trustee since 2009 | President and Director, Neuberger Berman Group LLC, since 2009; President and Chief Executive Officer, Neuberger and Neuberger Berman Holdings LLC (including its predecessor, Neuberger Berman Inc.), since 2007; Chief Investment Officer (Equities) and Managing Director, Management, since 2009; Managing Director, Neuberger Berman Fixed Income LLC ("NBFI"), since 2007; Board member of NBFI since 2006; formerly, Global Head of Asset Management of Lehman Brothers Holdings Inc.'s ("LBHI") Investment Management Division, 2006 to 2009; formerly, member of LBHI's Investment Management Division's Executive Management Committee, 2006 to 2009; formerly, Managing Director, Lehman Brothers Inc. ("LBI"), 2006 to 2008; formerly, Chief Recruiting and Development Officer, LBI, 2005 to 2006; formerly, Global Head of LBI's Equity Sales and a Member of its Equities Division Executive Committee, 2003 to 2005. | 59 | Member of Board of Advisors, McDonough School of Business, Georgetown University, since 2001; Member of New York City Board of Advisors, Teach for America, since 2005; Trustee, Montclair Kimberley Academy (private school), since 2007; Member of Board of Regents, Georgetown University, since 2013. |
38
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | Number of Funds in Fund Complex Overseen by Fund Trustee | Other Directorships Held Outside Fund Complex by Fund Trustee(3) | |||||||||||||||
Robert Conti* (1956) | Chief Executive Officer, President and Trustee since 2008; prior thereto, Executive Vice President in 2008 and Vice President from inception to 2008 | Managing Director, Neuberger, since 2007; Managing Director, NBFI, since 2009; formerly, Senior Vice President, Neuberger, 2003 to 2006; formerly, Vice President, Neuberger, 1999 to 2003; President and Chief Executive Officer, Management, since 2008; formerly, Senior Vice President, Management, 2000 to 2008. | 59 | Director, Staten Island Mental Health Society, since 1994; formerly, Chairman of the Board, Staten Island Mental Health Society, 2008 to 2011. |
(1) The business address of each listed person is 605 Third Avenue, New York, New York 10158.
(2) Pursuant to the Trust's Trust Instrument, each of these Trustees shall hold office for life or until his or her successor is elected or the Trust terminates; except that (a) any Trustee may resign by delivering a written resignation; (b) any Trustee may be removed with or without cause at any time by a written instrument signed by at least two-thirds of the other Trustees; (c) any Trustee who requests to be retired, or who has become unable to serve, may be retired by a written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any shareholder meeting by a vote of at least two-thirds of the outstanding shares.
(3) Except as otherwise indicated, each individual has held the positions shown for at least the last five years.
* Indicates a Trustee who is an "interested person" within the meaning of the 1940 Act. Mr. Amato and Mr. Conti are interested persons of the Trust by virtue of the fact that each is an officer of Management, Neuberger and/or their affiliates.
39
Information about the Officers of the Trust
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | |||||||||
Andrew B. Allard (1961) | Chief Legal Officer since 2013 (only for purposes of sections 307 and 406 of the Sarbanes-Oxley Act of 2002) and Anti-Money Laundering Compliance Officer since inception | General Counsel and Senior Vice President, Management, since 2013; Senior Vice President, Neuberger, since 2006 and Employee since 1999; Deputy General Counsel, Neuberger, since 2004; formerly, Vice President, Neuberger, 2000 to 2005; formerly, Employee, Management, 1994 to 1999; Chief Legal Officer (only for purposes of sections 307 and 406 of the Sarbanes-Oxley Act of 2002), ten registered investment companies for which Management acts as investment manager and administrator (ten since 2013); Anti-Money Laundering Compliance Officer, ten registered investment companies for which Management acts as investment manager and administrator (six since 2002, one since 2003, one since 2005, one since 2006 and one since 2013). | |||||||||
Claudia A. Brandon (1956) | Executive Vice President since 2008 and Secretary since inception | Senior Vice President, Neuberger, since 2007 and Employee since 1999; Senior Vice President, Management, since 2008 and Assistant Secretary since 2004; formerly, Vice President, Neuberger, 2002 to 2006; formerly, Vice President-Mutual Fund Board Relations, Management, 2000 to 2008; formerly, Vice President, Management, 1986 to 1999 and Employee 1984 to 1999; Executive Vice President, ten registered investment companies for which Management acts as investment manager and administrator (nine since 2008 and one since 2013); Secretary, ten registered investment companies for which Management acts as investment manager and administrator (three since 1985, three since 2002, one since 2003, one since 2005, one since 2006 and one since 2013). | |||||||||
Agnes Diaz (1971) | Vice President since 2013 | Senior Vice President, Neuberger, since 2012; Employee, Management, since 1996; formerly, Vice President, Neuberger, 2007 to 2012; Vice President, ten registered investment companies for which Management acts as investment manager and administrator (ten since 2013). | |||||||||
Anthony DiBernardo (1979) | Assistant Treasurer since 2011 | Senior Vice President, Neuberger, since 2014; Employee, Management, since 2003; formerly, Vice President, Neuberger, 2009 to 2014; Assistant Treasurer, ten registered investment companies for which Management acts as investment manager and administrator (nine since 2011 and one since 2013). | |||||||||
Sheila R. James (1965) | Assistant Secretary since inception | Vice President, Neuberger, since 2008 and Employee since 1999; formerly, Assistant Vice President, Neuberger, 2007; formerly, Employee, Management, 1991 to 1999; Assistant Secretary, ten registered investment companies for which Management acts as investment manager and administrator (six since 2002, one since 2003, one since 2005, one since 2006 and one since 2013). | |||||||||
Brian Kerrane (1969) | Chief Operating Officer since 2015 and Vice President since 2008 | Managing Director, Neuberger, since 2014; Vice President, Management, since 2008 and Employee since 1991; formerly, Senior Vice President, Neuberger, 2006 to 2014; Chief Operating Officer, ten registered investment companies for which Management acts as investment manager and administrator (ten since 2015); Vice President, ten registered investment companies for which Management acts as investment manager and administrator (nine since 2008 and one since 2013). |
Name, (Year of Birth), and Address(1) | Position(s) and Length of Time Served(2) | Principal Occupation(s)(3) | |||||||||
Kevin Lyons (1955) | Assistant Secretary since inception | Assistant Vice President, Neuberger, since 2008 and Employee since 1999; formerly, Employee, Management, 1993 to 1999; Assistant Secretary, ten registered investment companies for which Management acts as investment manager and administrator (seven since 2003, one since 2005, one since 2006 and one since 2013). | |||||||||
Anthony Maltese (1959) | Vice President since 2015 | Senior Vice President, Neuberger, since 2014 and Employee since 2000; Vice President, ten registered investment companies for which Management acts as investment manager and administrator (ten since 2015). | |||||||||
Owen F. McEntee, Jr. (1961) | Vice President since 2008 | Vice President, Neuberger, since 2006; Employee, Management, since 1992; Vice President, ten registered investment companies for which Management acts as investment manager and administrator (nine since 2008 and one since 2013). | |||||||||
John M. McGovern (1970) | Treasurer and Principal Financial and Accounting Officer since inception | Senior Vice President, Neuberger, since 2007; Employee, Management, since 1993; Treasurer and Principal Financial and Accounting Officer, ten registered investment companies for which Management acts as investment manager and administrator (eight since 2005, one since 2006 and one since 2013); formerly, Vice President, Neuberger, 2004 to 2006; formerly, Assistant Treasurer, eight registered investment companies for which Management acts as investment manager and administrator, 2002 to 2005. | |||||||||
Frank Rosato (1971) | Assistant Treasurer since inception | Vice President, Neuberger, since 2006; Employee, Management, since 1995; Assistant Treasurer, ten registered investment companies for which Management acts as investment manager and administrator (eight since 2005, one since 2006 and one since 2013). | |||||||||
Chamaine Williams (1971) | Chief Compliance Officer since inception | Senior Vice President, Neuberger, since 2007; Chief Compliance Officer, Management, since 2006; Chief Compliance Officer, ten registered investment companies for which Management acts as investment manager and administrator (eight since 2005, one since 2006 and one since 2013); formerly, Senior Vice President, LBI, 2007 to 2008; formerly, Vice President, LBI, 2003 to 2006; formerly, Chief Compliance Officer, Lehman Brothers Asset Management Inc., 2003 to 2007; formerly, Chief Compliance Officer, Lehman Brothers Alternative Investment Management LLC, 2003 to 2007. |
(1) The business address of each listed person is 605 Third Avenue, New York, New York 10158.
(2) Pursuant to the By-Laws of the Trust, each officer elected by the Trustees shall hold office until his or her successor shall have been elected and qualified or until his or her earlier death, inability to serve, or resignation. Officers serve at the pleasure of the Trustees and may be removed at any time with or without cause.
(3) Except as otherwise indicated, each individual has held the positions shown for at least the last five years
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).
Board Consideration of the Management and Sub-Advisory Agreements
On an annual basis, the Board of Trustees ("Board") of Neuberger Berman Alternative Funds ("Trust"), including the Trustees who are not "interested persons" of Neuberger Berman Management LLC ("Management") (including its affiliates) or the Trust ("Independent Fund Trustees"), considers whether to continue the management agreement with Management ("the Management Agreement") and the sub-advisory agreement between Management and Neuberger Berman Fixed Income LLC ("NBFI") (the "Sub-Advisory Agreement" and collectively with the Management Agreement, the "Agreements") for Neuberger Berman Risk Balanced Commodity Strategy Fund (the "Fund"). Throughout the process, the Independent Fund Trustees are advised by counsel that is experienced in Investment Company Act of 1940 matters and that is independent of Management ("Independent Counsel"). At a meeting held on September 8, 2015, the Board, including the Independent Fund Trustees, approved the continuation of the Agreements for the Fund.
In evaluating the Agreements, the Board, including the Independent Fund Trustees, reviewed extensive materials provided by Management in response to questions submitted by the Independent Fund Trustees and Independent Counsel, and met with senior representatives of Management regarding its personnel, operations and financial condition as they relate to the Fund. The annual contract review extends over at least two regular meetings of the Board to ensure that Management and NBFI have time to respond to any questions the Independent Fund Trustees may have on their initial review of the materials and that the Independent Fund Trustees have time to consider those responses.
In connection with its deliberations, the Board also considered the broad range of information relevant to the annual contract review that is provided to the Board (including its various standing committees) at meetings throughout the year, including investment performance reports and related portfolio information for the Fund, as well as periodic reports on, among other matters, pricing and valuation; brokerage and execution; compliance; and shareholder and other services provided by Management and NBFI and their affiliates. To assist the Board in its deliberations regarding the annual 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 annual contract review, such as Fund performance or compliance matters.
The Independent Fund Trustees received from Independent Counsel a memorandum discussing the legal standards for their consideration of the proposed continuation of the Agreements. During the course of the year and during their deliberations regarding the annual contract review, the Contract Review Committee and the Independent Fund Trustees met with Independent Counsel separately from representatives of Management and NBFI.
In connection with its approval of the continuation 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 provided by Management and NBFI; (2) the investment performance of the Fund compared to an appropriate market index and a peer group of investment companies; (3) the costs of the services provided and the profit or loss realized by Management and its affiliates from their relationship with the Fund; (4) the extent to which economies of scale have been or might be realized as the Fund grows; and (5) whether fee levels reflect any such potential economies of scale for the benefit of the Fund's shareholders. The Board's determination to approve the continuation of the Agreements was based on a comprehensive consideration of all information provided to the Board throughout the year and specifically in connection with the annual contract review. The Board members did not identify any particular information or factor that was all-important or controlling, and each Trustee may have attributed different weights to the various factors. The Board focused on the overall costs and benefits of the Agreements to the Fund and, through the Fund, its shareholders.
With respect to the nature, extent and quality of the services 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 perform services for the Fund. The Board noted that Management also provides 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 and reviewed the quality of the execution services that Management had
provided. The Board also considered that Management's responsibilities 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 either firm. The Board also considered the general structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the Fund.
As in past years, the Board also considered the manner in which Management addressed various non-routine matters that arose during the year, some of them a result of developments in the broader fund industry or the regulations governing it. In addition, the Board considered actions taken by Management and NBFI in response to recent market conditions, including actions taken in response to regulatory concerns about changes in fixed-income market liquidity and potential volatility, and considered the overall performance of Management and NBFI in this context.
With respect to investment performance, the Board considered information regarding the Fund's short-term performance both on an absolute basis and relative to an appropriate market index (or benchmark) and the average performance of a composite peer group (as constructed by an independent organization) of investment companies pursuing broadly similar strategies. The Board also reviewed performance in relation to certain measures of the degree of investment risk undertaken by the portfolio managers. The Board factored into its evaluation of the Fund's performance the limitations inherent in the methodology for constructing peer groups and determining which investment companies should be included in which peer groups. The Board discussed with Management the Fund's performance and steps that Management had taken, or intended to take, to improve performance. In this regard, the Board noted that performance, especially short-term performance, is only one of the factors that it deems relevant to its consideration of the Fund's Agreements and that, after considering all relevant factors, it may be appropriate to approve the continuation of the Agreements notwithstanding the Fund's underperformance.
With respect to the overall fairness of the Agreements, the Board considered the fee structure 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 or NBFI or their affiliates from their relationship with the Fund. The Board also considered the profitability of Management and its affiliates from their association with the Fund, and year-over-year changes in each of Management's reported expense categories. The Board reviewed a comparison of the Fund's management fee and overall expense ratio to a peer group of 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 each peer group. In addition, the Board considered the contractual limit on expenses of certain classes of the Fund.
The Board considered that, as compared to its peer group, for the Fund's Institutional Class shares, the Fund's contractual management fee and actual management fee net of fees waived by Management were both lower than the median. The Board considered that, as compared to its peer group, the Fund's performance for Institutional Class shares was lower than the median for the 1-year period. The Board also considered that, as compared to its benchmark, the Fund's performance for Institutional Class shares was lower for the 1-year period, but higher for the period since inception. The Fund was launched in 2013 and therefore does not have intermediate- and long-term performance.
The Board noted that there were no other funds or separate accounts that were advised or sub-advised by Management or its affiliates with investment objectives, policies and strategies that were similar to those of the Fund. The Board also evaluated any apparent or anticipated economies of scale in relation to the services Management provides to the Fund. The Board noted that the Fund's fee structure does not provide for a reduction of payments through breakpoints, considered whether the fee was set at an appropriate level, and compared the fee structure to that of the peer group. In concluding that the benefits accruing to Management and its affiliates by virtue of their relationship with the Fund were reasonable in light of the costs of providing the investment advisory and other services and the benefits accruing to the Fund, the Board reviewed specific data as to Management's profit or loss on the Fund for a recent period. The Board also considered Management's cost allocation methodology. The Board recognized that Management should be entitled to earn a reasonable level of profits for services it provides to the Fund and, based on its review, concluded that Management's reported level of profitability on the Fund was reasonable.
Conclusions
In approving the continuation of the Agreements, the Board concluded that the terms of each Agreement are fair and reasonable to the Fund and that approval of the continuation 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; regarding the Fund's underperformance, that it retained confidence in Management's and NBFI's capabilities to manage the Fund; that the Fund's fee structure appeared to the Board to be reasonable given the nature, extent and quality of services provided; and that the benefits accruing to Management and its affiliates by virtue of their relationship with the Fund were reasonable in light of the costs of providing the investment advisory and other services and the benefits accruing to the Fund. The Board's conclusions may be based in part on its consideration of materials prepared in connection with the approval or continuance of the Agreements in prior years and on the Board's ongoing regular review of Fund performance and operations throughout the year, in addition to material prepared specifically for the most recent annual review of the Agreements.
Notice to Shareholders
In early 2016 you will receive information to be used in filing your 2015 tax returns, which will include a notice of the exact tax status of all distributions paid to you by the Fund during calendar year 2015. Please consult your own tax advisor for details as to how this information should be reflected on your tax returns.
Neuberger Berman Risk Balanced Commodity Strategy Fund hereby designates $1,857 as a capital gain distribution.
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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.
M0258 12/15
(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) | A copy of the Code of Ethics is filed herewith. |
(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. |